GMO Climate Change Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 97.6% |
| |||||||||
| Argentina — 0.3% | ||||||||||
| 231,072 | Adecoagro SA | 2,273,749 | ||||||||
|
|
|
|||||||||
| Australia — 0.2% | ||||||||||
| 320,055 | Clean TeQ Water Ltd. * (a) | 60,631 | ||||||||
| 269,918 | IGO Ltd. | 1,264,336 | ||||||||
| 1,399,037 | Sunrise Energy Metals Ltd. * (a) | 471,283 | ||||||||
|
|
|
|||||||||
| Total Australia | 1,796,250 | |||||||||
|
|
|
|||||||||
| Brazil — 0.5% | ||||||||||
| 234,404 | SLC Agricola SA | 795,498 | ||||||||
| 383,300 | Suzano SA | 3,554,954 | ||||||||
|
|
|
|||||||||
| Total Brazil | 4,350,452 | |||||||||
|
|
|
|||||||||
| Canada — 7.5% | ||||||||||
| 476,293 | Anaergia, Inc. * (b) | 104,837 | ||||||||
| 51,100 | Capstone Copper Corp. * | 359,925 | ||||||||
| 644,338 | First Quantum Minerals Ltd. | 8,277,896 | ||||||||
| 1,925,700 | Greenlane Renewables, Inc. * | 134,225 | ||||||||
| 2,585,087 | Ivanhoe Mines Ltd. – Class A * | 37,326,763 | ||||||||
| 1,008,392 | Largo, Inc. * | 2,226,978 | ||||||||
| 1,333,508 | Li-Cycle Holdings Corp. * | 686,357 | ||||||||
| 1,428,500 | NexGen Energy Ltd. * | 11,130,761 | ||||||||
| 225,000 | Northland Power, Inc. (a) | 3,846,436 | ||||||||
|
|
|
|||||||||
| Total Canada | 64,094,178 | |||||||||
|
|
|
|||||||||
| China — 0.8% | ||||||||||
| 1,278,000 | CMOC Group Ltd. – Class H | 1,182,372 | ||||||||
| 1,585,176 | Yutong Bus Co. Ltd. – Class A | 5,338,634 | ||||||||
|
|
|
|||||||||
| Total China | 6,521,006 | |||||||||
|
|
|
|||||||||
| Denmark — 1.4% | ||||||||||
| 21,052 | NKT AS * | 1,828,014 | ||||||||
| 12,595 | ROCKWOOL AS – B Shares | 5,299,229 | ||||||||
| 160,687 | Vestas Wind Systems AS * | 4,508,614 | ||||||||
|
|
|
|||||||||
| Total Denmark | 11,635,857 | |||||||||
|
|
|
|||||||||
| Finland — 1.8% | ||||||||||
| 202,051 | Kemira OYJ | 4,762,475 | ||||||||
| 525,838 | Neste OYJ | 11,039,580 | ||||||||
|
|
|
|||||||||
| Total Finland | 15,802,055 | |||||||||
|
|
|
|||||||||
| France — 12.2% | ||||||||||
| 43,332 | Legrand SA | 4,705,111 | ||||||||
| 335,626 | Nexans SA | 40,848,028 | ||||||||
| 15,775 | Schneider Electric SE | 3,935,549 | ||||||||
| 263,855 | STMicroelectronics NV | 11,110,928 | ||||||||
| 1,719,657 | Valeo SE | 21,269,276 | ||||||||
| 610,969 | Veolia Environnement SA | 20,453,311 | ||||||||
| 114,522 | Waga Energy SA * | 2,246,134 | ||||||||
|
|
|
|||||||||
| Total France | 104,568,337 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Germany — 3.3% | ||||||||||
| 177,301 | E.ON SE | 2,374,436 | ||||||||
| 443,570 | Infineon Technologies AG | 17,946,152 | ||||||||
| 105,636 | Knorr-Bremse AG | 8,135,340 | ||||||||
|
|
|
|||||||||
| Total Germany | 28,455,928 | |||||||||
|
|
|
|||||||||
| Ireland — 0.5% | ||||||||||
| 49,220 | Kingspan Group PLC | 4,741,755 | ||||||||
|
|
|
|||||||||
| Italy — 1.1% | ||||||||||
| 348,420 | Enel SpA | 2,529,775 | ||||||||
| 106,857 | Prysmian SpA | 7,027,955 | ||||||||
|
|
|
|||||||||
| Total Italy | 9,557,730 | |||||||||
|
|
|
|||||||||
| Japan — 4.0% | ||||||||||
| 231,300 | GS Yuasa Corp. | 4,914,917 | ||||||||
| 101,600 | Organo Corp. | 5,722,946 | ||||||||
| 828,300 | Renesas Electronics Corp. | 15,262,764 | ||||||||
| 321,300 | Yokogawa Electric Corp. | 8,275,683 | ||||||||
|
|
|
|||||||||
| Total Japan | 34,176,310 | |||||||||
|
|
|
|||||||||
| Mexico — 2.0% | ||||||||||
| 2,019,769 | Grupo Mexico SAB de CV – Series B | 12,461,581 | ||||||||
| 2,801,626 | Orbia Advance Corp. SAB de CV | 4,592,180 | ||||||||
|
|
|
|||||||||
| Total Mexico | 17,053,761 | |||||||||
|
|
|
|||||||||
| Netherlands — 0.9% | ||||||||||
| 112,529 | Arcadis NV | 7,384,193 | ||||||||
|
|
|
|||||||||
| Norway — 1.9% | ||||||||||
| 713,034 | Austevoll Seafood ASA | 5,818,589 | ||||||||
| 25,987 | Bakkafrost P/F | 1,431,801 | ||||||||
| 245,670 | Mowi ASA | 4,417,778 | ||||||||
| 69,860 | Salmar ASA | 4,265,918 | ||||||||
|
|
|
|||||||||
| Total Norway | 15,934,086 | |||||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| 7,221,500 | GMK Norilskiy Nickel PAO (c) | 112,541 | ||||||||
| 3 | MMC Norilsk Nickel PJSC ADR * (c) | — | ||||||||
| 120,856 | PhosAgro PJSC (c) | 79,363 | ||||||||
| 2,335 | PhosAgro PJSC GDR (c) (d) | 512 | ||||||||
|
|
|
|||||||||
| Total Russia | 192,416 | |||||||||
|
|
|
|||||||||
| South Korea — 6.2% | ||||||||||
| 87,240 | CS Wind Corp. | 3,344,445 | ||||||||
| 139,878 | LG Chem Ltd. | 35,749,755 | ||||||||
| 50,924 | Samsung SDI Co. Ltd. | 13,913,173 | ||||||||
|
|
|
|||||||||
| Total South Korea | 53,007,373 | |||||||||
|
|
|
|||||||||
| Spain — 2.9% | ||||||||||
| 20,833 | Acciona SA | 2,674,675 | ||||||||
| 137,622 | Endesa SA | 2,740,999 | ||||||||
| 203,512 | Iberdrola SA | 2,686,106 | ||||||||
GMO Climate Change Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Spain — continued | ||||||||||
| 145,558 | Redeia Corp. SA | 2,623,198 | ||||||||
| 1,070,490 | Solaria Energia y Medio Ambiente SA * (a) | 13,784,711 | ||||||||
|
|
|
|||||||||
| Total Spain | 24,509,689 | |||||||||
|
|
|
|||||||||
| Switzerland — 0.2% | ||||||||||
| 25,328 | Landis & Gyr Group AG | 2,165,337 | ||||||||
|
|
|
|||||||||
| Ukraine — 0.1% | ||||||||||
| 219,994 | Kernel Holding SA * | 622,962 | ||||||||
|
|
|
|||||||||
| United Kingdom — 0.7% | ||||||||||
| 460,000 | Lifezone Holdings Ltd. * | 4,149,200 | ||||||||
| 180,911 | National Grid PLC | 2,049,720 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 6,198,920 | |||||||||
|
|
|
|||||||||
| United States — 49.1% | ||||||||||
| 51,600 | Advanced Drainage Systems, Inc. | 8,952,084 | ||||||||
| 342,762 | Aemetis, Inc. * (a) | 1,182,529 | ||||||||
| 66,932 | AGCO Corp. | 7,183,812 | ||||||||
| 31,600 | Albemarle Corp. | 3,873,844 | ||||||||
| 78,773 | Alcoa Corp. | 3,487,281 | ||||||||
| 1,004,370 | Ameresco, Inc. – Class A * | 36,679,592 | ||||||||
| 917,361 | Arcadium Lithium PLC * (a) | 4,063,909 | ||||||||
| 649,400 | Array Technologies, Inc. * | 9,208,492 | ||||||||
| 363,291 | BorgWarner, Inc. | 12,954,957 | ||||||||
| 149,800 | Carrier Global Corp. | 9,465,862 | ||||||||
| 5,153,389 | Clean Energy Fuels Corp. * | 16,130,108 | ||||||||
| 122,103 | CNH Industrial NV | 1,283,115 | ||||||||
| 17,300 | Constellation Energy Corp. | 3,758,425 | ||||||||
| 198,839 | Corteva, Inc. | 11,123,054 | ||||||||
| 966,210 | Darling Ingredients, Inc. * | 39,034,884 | ||||||||
| 6,722 | Deere & Co. | 2,519,137 | ||||||||
| 34,967 | Edison International | 2,687,214 | ||||||||
| 47,803 | EnerSys | 5,155,075 | ||||||||
| 106,922 | Enphase Energy, Inc. * | 13,675,324 | ||||||||
| 69,739 | Exelon Corp. | 2,618,699 | ||||||||
| 68,795 | First Solar, Inc. * | 18,695,729 | ||||||||
| 126,956 | Freeport-McMoRan, Inc. | 6,694,390 | ||||||||
| 1,171,395 | Gevo, Inc. * | 800,883 | ||||||||
| 5,761,291 | GrafTech International Ltd. * | 9,506,130 | ||||||||
| 1,249,021 | Green Plains, Inc. * | 21,445,691 | ||||||||
| 22,100 | Hubbell, Inc. | 8,594,469 | ||||||||
| 9,600 | Lennox International, Inc. | 4,824,960 | ||||||||
| 54,748 | Mueller Water Products, Inc. – Class A | 1,016,123 | ||||||||
| 89,500 | NEXTracker, Inc. – Class A * | 4,937,715 | ||||||||
| 86,348 | ON Semiconductor Corp. * | 6,306,858 | ||||||||
| 68,700 | Ormat Technologies, Inc. | 5,179,980 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 25,109 | Owens Corning | 4,546,487 | ||||||||
| 86,172 | Pentair PLC | 7,012,677 | ||||||||
| 183,950 | PotlatchDeltic Corp. – (REIT) | 7,860,183 | ||||||||
| 207,996 | Sensata Technologies Holding PLC | 8,594,395 | ||||||||
| 711,376 | SolarEdge Technologies, Inc. * | 34,850,310 | ||||||||
| 3,757,850 | Sunrun, Inc. * | 54,338,511 | ||||||||
| 59,195 | TE Connectivity Ltd. | 8,861,491 | ||||||||
| 20,000 | Valmont Industries, Inc. | 5,028,000 | ||||||||
| 50,400 | Veralto Corp. | 4,968,432 | ||||||||
| 57,100 | Weyerhaeuser Co. – (REIT) | 1,714,713 | ||||||||
|
|
|
|||||||||
| Total United States | 420,815,524 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $975,375,705) |
835,857,868 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (e) — 1.9% | ||||||||||
| Chile — 1.9% | ||||||||||
| 348,004 | Sociedad Quimica y Minera de Chile SA Sponsored ADR | 16,251,787 | ||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $18,577,609) |
16,251,787 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 0.4% | ||||||||||
| United States — 0.4% | ||||||||||
| Affiliated Issuers — 0.4% | ||||||||||
| 654,839 | GMO U.S. Treasury Fund (f) | 3,274,193 | ||||||||
|
|
|
|||||||||
| Total United States | 3,274,193 | |||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $3,274,193) |
3,274,193 | |||||||||
|
|
|
|||||||||
| RIGHTS/WARRANTS — 0.0% | ||||||||||
| United Kingdom — 0.0% | ||||||||||
| 52,765 | National Grid PLC, expires 06/10/24 * | 131,816 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 131,816 | |||||||||
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS (COST $0) |
131,816 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 99.9% (Cost $997,227,507) |
855,515,664 | |||||||||
| Other Assets and Liabilities (net) — 0.1% | 932,757 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $856,448,421 | |||||||||
|
|
|
|||||||||
Additional information on each restricted security is as follows:
| Issuer Description |
Acquisition Date | Acquisition Cost |
Value as a Percentage of Fund’s Net Assets |
Value as of May 31, 2024 |
||||||||
| PhosAgro PJSC GDR | 08/09/19 | $ | 36,037 | 0.0% | $ | 512 | ||||||
|
|
|
|||||||||||
GMO Climate Change Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2024 (Unaudited)
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (a) | All or a portion of this security is out on loan. |
| (b) | Investment valued using significant unobservable inputs. |
| (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) | All or a portion of this security is purchased with collateral from securities loaned. |
Portfolio Abbreviations:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
PJSC - Private Joint-Stock Company
REIT - Real Estate Investment Trust
GMO Emerging Markets ex-China Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 90.9% |
| |||||||||
| Brazil — 6.6% | ||||||||||
| 12,456 | Alupar Investimento SA | 68,983 | ||||||||
| 63,057 | Ambev SA | 138,822 | ||||||||
| 192,110 | Banco do Brasil SA | 992,215 | ||||||||
| 55,700 | Banco Santander Brasil SA | 294,364 | ||||||||
| 5,100 | BB Seguridade Participacoes SA | 31,372 | ||||||||
| 4,154 | BrasilAgro - Co. Brasileira de Propriedades Agricolas | 20,086 | ||||||||
| 39,687 | Cia de Saneamento de Minas Gerais Copasa MG | 152,296 | ||||||||
| 15,162 | Cia De Sanena Do Parana | 78,858 | ||||||||
| 180,231 | CPFL Energia SA | 1,170,443 | ||||||||
| 21,910 | Cury Construtora e Incorporadora SA | 76,901 | ||||||||
| 75,780 | Engie Brasil Energia SA | 625,475 | ||||||||
| 8,277 | GPS Participacoes e Empreendimentos SA | 29,225 | ||||||||
| 117,000 | Magazine Luiza SA * | 276,073 | ||||||||
| 14,864 | Odontoprev SA | 31,591 | ||||||||
| 45,261 | Petroleo Brasileiro SA Sponsored ADR | 703,808 | ||||||||
| 92,621 | Petroleo Brasileiro SA | 717,910 | ||||||||
| 1,349 | Sao Martinho SA | 6,972 | ||||||||
| 23,357 | Transmissora Alianca de Energia Eletrica SA | 152,484 | ||||||||
| 223,051 | Ultrapar Participacoes SA | 984,230 | ||||||||
| 39,890 | Vale SA Sponsored ADR | 480,674 | ||||||||
| 67,700 | Vibra Energia SA | 277,716 | ||||||||
|
|
|
|||||||||
| Total Brazil | 7,310,498 | |||||||||
|
|
|
|||||||||
| Chile — 0.1% | ||||||||||
| 1,083,762 | Colbun SA | 141,667 | ||||||||
|
|
|
|||||||||
| Colombia — 0.0% | ||||||||||
| 3,904 | Interconexion Electrica SA ESP | 19,342 | ||||||||
|
|
|
|||||||||
| Czech Republic — 0.2% | ||||||||||
| 9,419 | Moneta Money Bank AS | 41,252 | ||||||||
| 331 | Philip Morris CR AS | 217,983 | ||||||||
|
|
|
|||||||||
| Total Czech Republic | 259,235 | |||||||||
|
|
|
|||||||||
| Egypt — 0.6% | ||||||||||
| 72,126 | Abou Kir Fertilizers & Chemical Industries | 94,578 | ||||||||
| 219,851 | Commercial International Bank - Egypt (CIB) | 363,795 | ||||||||
| 307,417 | Eastern Co. SAE | 179,706 | ||||||||
| 46,203 | EFG Holding SAE * | 15,070 | ||||||||
| 50,158 | ElSewedy Electric Co. | 47,242 | ||||||||
| 12,173 | Misr Fertilizers Production Co. SAE | 11,294 | ||||||||
|
|
|
|||||||||
| Total Egypt | 711,685 | |||||||||
|
|
|
|||||||||
| Greece — 0.1% | ||||||||||
| 1,006 | JUMBO SA | 28,846 | ||||||||
| 5,125 | OPAP SA | 81,470 | ||||||||
|
|
|
|||||||||
| Total Greece | 110,316 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Hungary — 3.7% | ||||||||||
| 37,241 | Magyar Telekom Telecommunications PLC | 101,786 | ||||||||
| 40,455 | MOL Hungarian Oil & Gas PLC | 314,678 | ||||||||
| 6,280 | Opus Global Nyrt * | 6,662 | ||||||||
| 70,829 | OTP Bank Nyrt | 3,420,351 | ||||||||
| 12,895 | Richter Gedeon Nyrt | 326,874 | ||||||||
|
|
|
|||||||||
| Total Hungary | 4,170,351 | |||||||||
|
|
|
|||||||||
| India — 17.0% | ||||||||||
| 805 | Amara Raja Energy & Mobility Ltd. | 11,415 | ||||||||
| 2,795 | Ashoka Buildcon Ltd. * | 6,142 | ||||||||
| 31,865 | Berger Paints India Ltd. | 175,604 | ||||||||
| 284,829 | Bharat Petroleum Corp. Ltd. | 2,146,381 | ||||||||
| 78,754 | Brightcom Group Ltd. * | 10,428 | ||||||||
| 40,127 | Castrol India Ltd. | 94,270 | ||||||||
| 38,030 | Chambal Fertilisers & Chemicals Ltd. | 177,088 | ||||||||
| 17,837 | Chennai Petroleum Corp. Ltd. | 195,965 | ||||||||
| 5,532 | Cipla Ltd. | 96,216 | ||||||||
| 2,268 | Colgate-Palmolive India Ltd. | 71,919 | ||||||||
| 8,402 | Coromandel International Ltd. | 131,367 | ||||||||
| 8,607 | Dr Reddy’s Laboratories Ltd. | 596,866 | ||||||||
| 2,651 | Firstsource Solutions Ltd. | 5,866 | ||||||||
| 17,324 | GHCL Ltd. | 104,660 | ||||||||
| 9,274 | Godawari Power & Ispat Ltd. | 108,482 | ||||||||
| 17,476 | Great Eastern Shipping Co. Ltd. | 226,832 | ||||||||
| 16,406 | Gujarat Narmada Valley Fertilizers & Chemicals Ltd. | 124,911 | ||||||||
| 16,505 | Gujarat Pipavav Port Ltd. | 38,511 | ||||||||
| 110,352 | Gujarat State Fertilizers & Chemicals Ltd. | 279,522 | ||||||||
| 5,693 | Gujarat State Petronet Ltd. | 19,839 | ||||||||
| 16,331 | HCL Technologies Ltd. | 259,609 | ||||||||
| 1,184 | ICICI Securities Ltd. | 10,149 | ||||||||
| 524,007 | Indiabulls Housing Finance Ltd. | 993,348 | ||||||||
| 438,022 | Indian Oil Corp. Ltd. | 854,194 | ||||||||
| 53,590 | Indraprastha Gas Ltd. | 283,740 | ||||||||
| 7,960 | Infosys Ltd. Sponsored ADR (a) | 133,330 | ||||||||
| 246,851 | ITC Ltd. | 1,263,996 | ||||||||
| 41,846 | JM Financial Ltd. * | 39,557 | ||||||||
| 1,519 | Kaveri Seed Co. Ltd. | 15,452 | ||||||||
| 1,754 | KNR Constructions Ltd. | 6,679 | ||||||||
| 1,459 | KRBL Ltd. | 4,672 | ||||||||
| 5,082 | LT Foods Ltd. | 12,576 | ||||||||
| 8,639 | Mahanagar Gas Ltd. | 134,493 | ||||||||
| 434,784 | Manappuram Finance Ltd. | 886,160 | ||||||||
| 773 | Motilal Oswal Financial Services Ltd. | 20,603 | ||||||||
| 10,319 | Muthoot Finance Ltd. | 209,231 | ||||||||
| 18,841 | NCC Ltd. | 65,198 | ||||||||
| 2,802 | Nippon Life India Asset Management Ltd. | 20,329 | ||||||||
| 688,918 | NMDC Ltd. | 2,152,169 | ||||||||
| 995,889 | Oil & Natural Gas Corp. Ltd. | 3,178,669 | ||||||||
| 42,830 | One 97 Communications Ltd. * | 185,105 | ||||||||
| 96,623 | Petronet LNG Ltd. | 344,146 | ||||||||
| 556,497 | Power Grid Corp. of India Ltd. | 2,064,039 | ||||||||
GMO Emerging Markets ex-China Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| India — continued | ||||||||||
| 37,881 | PTC India Ltd. | 95,518 | ||||||||
| 10,158 | Rashtriya Chemicals & Fertilizers Ltd. | 18,797 | ||||||||
| 1,717 | Reliance Industries Ltd. | 58,866 | ||||||||
| 16,831 | RITES Ltd. | 141,825 | ||||||||
| 232 | Sanofi India Ltd. | 24,283 | ||||||||
| 19,514 | Shipping Corp. of India Ltd. | 57,654 | ||||||||
| 12,445 | Shriram Finance Ltd. | 356,180 | ||||||||
| 41,040 | Sun TV Network Ltd. | 322,562 | ||||||||
| 3,275 | Tata Consultancy Services Ltd. | 145,383 | ||||||||
| 2,543 | Triveni Engineering & Industries Ltd. | 10,015 | ||||||||
| 25,215 | Ujjivan Small Finance Bank Ltd. | 15,089 | ||||||||
| 2,648 | West Coast Paper Mills Ltd. | 18,980 | ||||||||
| 1,846 | Zensar Technologies Ltd. | 13,577 | ||||||||
|
|
|
|||||||||
| Total India | 19,038,457 | |||||||||
|
|
|
|||||||||
| Indonesia — 5.9% | ||||||||||
| 1,730,000 | AKR Corporindo Tbk. PT | 170,484 | ||||||||
| 409,300 | Aneka Tambang Tbk. PT | 36,945 | ||||||||
| 32,900 | Astra International Tbk. PT | 8,702 | ||||||||
| 193,400 | Bank BTPN Syariah Tbk. PT | 13,875 | ||||||||
| 4,030,000 | Bank Central Asia Tbk. PT | 2,292,959 | ||||||||
| 2,642,200 | Bank Mandiri Persero Tbk. PT | 958,235 | ||||||||
| 4,212,400 | Bank Negara Indonesia Persero Tbk. PT | 1,143,030 | ||||||||
| 5,723,600 | Bank Rakyat Indonesia Persero Tbk. PT | 1,534,149 | ||||||||
| 42,300 | Indah Kiat Pulp & Paper Tbk. PT * | 23,751 | ||||||||
| 29,400 | Indofood CBP Sukses Makmur Tbk. PT | 17,645 | ||||||||
| 59,900 | Indofood Sukses Makmur Tbk. PT | 21,661 | ||||||||
| 786,800 | Medco Energi Internasional Tbk. PT | 68,007 | ||||||||
| 406,200 | Perusahaan Gas Negara Tbk. PT | 39,536 | ||||||||
| 1,188,400 | Sarana Menara Nusantara Tbk. PT | 50,461 | ||||||||
| 666,700 | Semen Indonesia Persero Tbk. PT | 143,187 | ||||||||
| 159,300 | Unilever Indonesia Tbk. PT | 30,644 | ||||||||
|
|
|
|||||||||
| Total Indonesia | 6,553,271 | |||||||||
|
|
|
|||||||||
| Malaysia — 0.0% | ||||||||||
| 2,300 | United Plantations Bhd. | 12,291 | ||||||||
|
|
|
|||||||||
| Mexico — 6.9% | ||||||||||
| 112,895 | Arca Continental SAB de CV | 1,157,329 | ||||||||
| 93,309 | Banco del Bajio SA | 323,102 | ||||||||
| 7,283 | Bolsa Mexicana de Valores SAB de CV | 13,238 | ||||||||
| 8,279 | Coca-Cola Femsa SAB de CV Sponsored ADR | 775,411 | ||||||||
| 539,400 | Credito Real SAB de CV SOFOM ER * (b) | — | ||||||||
| 1,516 | Fomento Economico Mexicano SAB de CV Sponsored ADR | 173,764 | ||||||||
| 1,082 | GCC SAB de CV | 11,833 | ||||||||
| 11,135 | Gentera SAB de CV | 17,201 | ||||||||
| 387 | Gruma SAB de CV – Class B | 7,535 | ||||||||
| 342 | Grupo Aeroportuario del Centro Norte SAB de CV ADR | 27,979 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Mexico — continued | ||||||||||
| 10,087 | Grupo Aeroportuario del Centro Norte SAB de CV | 103,459 | ||||||||
| 2,442 | Grupo Aeroportuario del Sureste SAB de CV – Class B | 82,432 | ||||||||
| 381,083 | Grupo Financiero Banorte SAB de CV – Class O | 3,620,025 | ||||||||
| 18,667 | Grupo Mexico SAB de CV – Series B | 115,172 | ||||||||
| 46,796 | Kimberly-Clark de Mexico SAB de CV – Class A | 98,410 | ||||||||
| 3,384 | Orbia Advance Corp. SAB de CV | 5,547 | ||||||||
| 24,069 | Qualitas Controladora SAB de CV (a) | 308,890 | ||||||||
| 18,042 | Regional SAB de CV | 156,297 | ||||||||
| 179,635 | Wal-Mart de Mexico SAB de CV | 674,961 | ||||||||
|
|
|
|||||||||
| Total Mexico | 7,672,585 | |||||||||
|
|
|
|||||||||
| Pakistan — 0.8% | ||||||||||
| 87,620 | Attock Refinery Ltd. | 119,755 | ||||||||
| 164,283 | Engro Fertilizers Ltd. | 94,449 | ||||||||
| 184,646 | Fauji Fertilizer Bin Qasim Ltd. | 22,115 | ||||||||
| 104,856 | Fauji Fertilizer Co. Ltd. | 53,440 | ||||||||
| 27,396 | Habib Bank Ltd. | 11,207 | ||||||||
| 55,239 | Hub Power Co. Ltd. | 28,497 | ||||||||
| 3,509 | Lucky Cement Ltd. | 11,323 | ||||||||
| 2,961 | Mari Petroleum Co. Ltd. | 29,644 | ||||||||
| 505,991 | Oil & Gas Development Co. Ltd. | 242,868 | ||||||||
| 6,540 | Pakistan Oilfields Ltd. | 11,524 | ||||||||
| 489,959 | Pakistan Petroleum Ltd. | 210,991 | ||||||||
| 130,034 | SUI Northern Gas Pipeline | 30,922 | ||||||||
| 45,725 | United Bank Ltd. | 36,745 | ||||||||
|
|
|
|||||||||
| Total Pakistan | 903,480 | |||||||||
|
|
|
|||||||||
| Philippines — 0.0% | ||||||||||
| 30,600 | Aboitiz Equity Ventures, Inc. | 18,328 | ||||||||
|
|
|
|||||||||
| Poland — 1.7% | ||||||||||
| 365 | Budimex SA | 69,344 | ||||||||
| 90 | Grupa Kety SA | 19,774 | ||||||||
| 95,807 | ORLEN SA | 1,551,929 | ||||||||
| 31,942 | Pepco Group NV * | 197,111 | ||||||||
| 294 | Santander Bank Polska SA | 37,908 | ||||||||
| 3,787 | XTB SA | 64,116 | ||||||||
|
|
|
|||||||||
| Total Poland | 1,940,182 | |||||||||
|
|
|
|||||||||
| Qatar — 0.6% | ||||||||||
| 142,854 | Industries Qatar QSC | 453,835 | ||||||||
| 2,517 | Qatar Electricity & Water Co. QSC | 10,381 | ||||||||
| 3,518 | Qatar Fuel QSC | 13,015 | ||||||||
| 17,704 | Qatar Gas Transport Co. Ltd. | 19,395 | ||||||||
| 14,483 | Qatar Islamic Bank SAQ | 68,687 | ||||||||
| 26,563 | Qatar National Bank QPSC | 98,739 | ||||||||
|
|
|
|||||||||
| Total Qatar | 664,052 | |||||||||
|
|
|
|||||||||
GMO Emerging Markets ex-China Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Russia — 0.4% | ||||||||||
| 4,036,000 | Alrosa PJSC (b) (c) | 33,364 | ||||||||
| 434,347 | Etalon Group PLC GDR (Registered) * (b) | 4,062 | ||||||||
| 131,280 | Evraz PLC * (b) | 3,424 | ||||||||
| 236,860,000 | Federal Grid Co.-Rosseti PJSC * (b) | 2,664 | ||||||||
| 102,255 | Gazprom Neft PJSC (b) | 7,609 | ||||||||
| 897,812 | Gazprom PJSC * (b) | 12,426 | ||||||||
| 783,200 | GMK Norilskiy Nickel PAO (b) | 12,206 | ||||||||
| 6,151,400 | Inter RAO UES PJSC * (b) | 2,774 | ||||||||
| 122,088 | LUKOIL PJSC (b) | 99,223 | ||||||||
| 4,327,340 | Magnitogorsk Iron & Steel Works PJSC * (b) (c) |
26,335 | ||||||||
| 5 | MMC Norilsk Nickel PJSC ADR * (b) | — | ||||||||
| 88,090 | Moscow Exchange MICEX-Rates PJSC (b) | 2,331 | ||||||||
| 93,370 | Novatek PJSC (b) | 11,174 | ||||||||
| 1,403,510 | Novolipetsk Steel PJSC (b) | 29,984 | ||||||||
| 4,917 | PhosAgro PJSC (b) | 3,229 | ||||||||
| 95 | PhosAgro PJSC GDR (b) (c) | 21 | ||||||||
| 11,902 | Polyus PJSC * (b) (c) | 16,073 | ||||||||
| 1 | Polyus PJSC GDR (Registered) (b) (c) | 1 | ||||||||
| 50,074,400 | RusHydro PJSC (b) | 3,496 | ||||||||
| 3,446,432 | Sberbank of Russia PJSC * (b) (c) | 119,102 | ||||||||
| 140,607 | Severstal PAO GDR (Registered) * (b) (c) | 27,656 | ||||||||
| 2,387,800 | Surgutneftegas PJSC (b) | 7,544 | ||||||||
| 657,084 | Tatneft PJSC (b) | 50,067 | ||||||||
|
|
|
|||||||||
| Total Russia | 474,765 | |||||||||
|
|
|
|||||||||
| South Africa — 6.9% | ||||||||||
| 45,633 | Anglo American Platinum Ltd. (a) | 1,496,967 | ||||||||
| 61,808 | AVI Ltd. | 280,098 | ||||||||
| 51,093 | Clicks Group Ltd. | 801,945 | ||||||||
| 7,877 | Coronation Fund Managers Ltd. | 14,604 | ||||||||
| 707,449 | FirstRand Ltd. | 2,454,376 | ||||||||
| 48,275 | Foschini Group Ltd. | 244,268 | ||||||||
| 17,150 | Investec Ltd. | 112,128 | ||||||||
| 7,462 | Kumba Iron Ore Ltd. | 195,621 | ||||||||
| 79,149 | Mr Price Group Ltd. | 749,607 | ||||||||
| 6,655 | Nedbank Group Ltd. (a) | 80,787 | ||||||||
| 79,169 | Ninety One Ltd. | 167,020 | ||||||||
| 15,362 | Omnia Holdings Ltd. | 45,954 | ||||||||
| 68,786 | Sanlam Ltd. | 259,544 | ||||||||
| 29,274 | Shoprite Holdings Ltd. | 389,217 | ||||||||
| 18,787 | Tiger Brands Ltd. | 194,563 | ||||||||
| 34,853 | Truworths International Ltd. | 141,654 | ||||||||
| 18,435 | Woolworths Holdings Ltd. | 53,277 | ||||||||
|
|
|
|||||||||
| Total South Africa | 7,681,630 | |||||||||
|
|
|
|||||||||
| South Korea — 7.1% | ||||||||||
| 822 | BGF retail Co. Ltd. | 69,268 | ||||||||
| 9,332 | Cheil Worldwide, Inc. | 126,180 | ||||||||
| 15,175 | Daou Data Corp. | 126,804 | ||||||||
| 1,747 | DB Insurance Co. Ltd. | 130,933 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| South Korea — continued | ||||||||||
| 52,838 | Dongwon Development Co. Ltd. | 105,551 | ||||||||
| 39,629 | Hanon Systems | 143,398 | ||||||||
| 534 | Hyundai Marine & Fire Insurance Co. Ltd. | 12,663 | ||||||||
| 247 | Hyundai Mobis Co. Ltd. | 38,511 | ||||||||
| 926 | INTOPS Co. Ltd. | 15,771 | ||||||||
| 2,556 | JB Financial Group Co. Ltd. | 26,971 | ||||||||
| 5,225 | Kakaopay Corp. * | 116,988 | ||||||||
| 11,264 | Kangwon Land, Inc. | 121,300 | ||||||||
| 1,888 | KCC Glass Corp. | 55,147 | ||||||||
| 14,226 | Kia Corp. | 1,214,278 | ||||||||
| 29,697 | KT&G Corp. | 1,792,562 | ||||||||
| 3,035 | LOTTE Fine Chemical Co. Ltd. | 105,559 | ||||||||
| 1,930 | Mirae Asset Securities Co. Ltd. | 10,089 | ||||||||
| 7,964 | NH Investment & Securities Co. Ltd. | 70,732 | ||||||||
| 53 | NongShim Co. Ltd. | 17,625 | ||||||||
| 3,122 | Orion Corp. | 206,557 | ||||||||
| 1,893 | S-1 Corp. | 86,918 | ||||||||
| 35,188 | Samsung Electronics Co. Ltd. | 1,864,359 | ||||||||
| 10,140 | Samsung Securities Co. Ltd. | 265,415 | ||||||||
| 227 | Soulbrain Co. Ltd. | 54,314 | ||||||||
| 4,155 | TKG Huchems Co. Ltd. | 59,513 | ||||||||
| 104,000 | Woori Financial Group, Inc. | 1,066,761 | ||||||||
|
|
|
|||||||||
| Total South Korea | 7,904,167 | |||||||||
|
|
|
|||||||||
| Taiwan — 27.8% | ||||||||||
| 9,000 | Acter Group Corp. Ltd. | 65,130 | ||||||||
| 58,000 | Asia Cement Corp. | 74,451 | ||||||||
| 31,000 | Capital Securities Corp. | 22,594 | ||||||||
| 376,000 | Catcher Technology Co. Ltd. | 2,612,467 | ||||||||
| 95,000 | Chicony Electronics Co. Ltd. | 549,508 | ||||||||
| 5,000 | Chicony Power Technology Co. Ltd. * | 23,984 | ||||||||
| 15,000 | China General Plastics Corp. | 8,234 | ||||||||
| 146,000 | Chipbond Technology Corp. | 307,262 | ||||||||
| 28,000 | ChipMOS Technologies, Inc. | 38,308 | ||||||||
| 9,000 | Darfon Electronics Corp. | 18,973 | ||||||||
| 36,000 | Dynapack International Technology Corp. | 105,196 | ||||||||
| 104,000 | Elitegroup Computer Systems Co. Ltd. * | 110,517 | ||||||||
| 187,600 | Evergreen Marine Corp. Taiwan Ltd. | 1,220,400 | ||||||||
| 68,000 | Everlight Electronics Co. Ltd. | 151,657 | ||||||||
| 19,000 | Feng Hsin Steel Co. Ltd. | 43,007 | ||||||||
| 28,000 | First Financial Holding Co. Ltd. | 23,819 | ||||||||
| 17,000 | FLEXium Interconnect, Inc. | 45,924 | ||||||||
| 52,000 | Formosa Advanced Technologies Co. Ltd. | 62,066 | ||||||||
| 177,897 | Foxconn Technology Co. Ltd. | 403,239 | ||||||||
| 5,000 | Fusheng Precision Co. Ltd. | 44,936 | ||||||||
| 25,000 | Giant Manufacturing Co. Ltd. | 168,124 | ||||||||
| 30,000 | Global Brands Manufacture Ltd. | 69,040 | ||||||||
| 13,000 | Global Mixed Mode Technology, Inc. | 122,835 | ||||||||
| 3,000 | Grape King Bio Ltd. | 14,872 | ||||||||
| 39,000 | Greatek Electronics, Inc. | 76,172 | ||||||||
| 28,000 | Hannstar Board Corp. | 51,322 | ||||||||
GMO Emerging Markets ex-China Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Taiwan — continued | ||||||||||
| 290,000 | Hon Hai Precision Industry Co. Ltd. | 1,544,394 | ||||||||
| 1,239 | Innodisk Corp. | 12,653 | ||||||||
| 162,000 | King’s Town Bank Co. Ltd. | 300,495 | ||||||||
| 49,000 | Kung Long Batteries Industrial Co. Ltd. | 223,413 | ||||||||
| 22,000 | Largan Precision Co. Ltd. | 1,553,789 | ||||||||
| 33,000 | MediaTek, Inc. | 1,263,704 | ||||||||
| 219,000 | Micro-Star International Co. Ltd. | 1,300,896 | ||||||||
| 50,000 | Nan Ya Printed Circuit Board Corp. | 301,753 | ||||||||
| 109,528 | Nantex Industry Co. Ltd. | 117,837 | ||||||||
| 8,000 | Nien Made Enterprise Co. Ltd. | 86,825 | ||||||||
| 106,000 | Novatek Microelectronics Corp. | 1,954,155 | ||||||||
| 13,000 | Parade Technologies Ltd. | 308,607 | ||||||||
| 7,000 | Pixart Imaging, Inc. | 35,475 | ||||||||
| 369,000 | Powerchip Semiconductor Manufacturing Corp. * | 283,636 | ||||||||
| 5,000 | Powertech Technology, Inc. | 27,605 | ||||||||
| 118,000 | Primax Electronics Ltd. | 369,074 | ||||||||
| 67,000 | Radiant Opto-Electronics Corp. | 408,668 | ||||||||
| 3,000 | Raydium Semiconductor Corp. | 38,390 | ||||||||
| 25,744 | Shanghai Commercial & Savings Bank Ltd. | 36,652 | ||||||||
| 6,000 | Sigurd Microelectronics Corp. | 14,653 | ||||||||
| 25,000 | Simplo Technology Co. Ltd. | 318,736 | ||||||||
| 18,000 | Sinon Corp. | 22,976 | ||||||||
| 12,750 | Sporton International, Inc. | 96,265 | ||||||||
| 86,000 | T3EX Global Holdings Corp. | 296,040 | ||||||||
| 32,000 | TaiDoc Technology Corp. | 161,228 | ||||||||
| 24,000 | Taiwan Fertilizer Co. Ltd. | 47,334 | ||||||||
| 21,000 | Taiwan Hon Chuan Enterprise Co. Ltd. | 105,777 | ||||||||
| 21,044 | Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR | 3,178,486 | ||||||||
| 241,000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 6,171,511 | ||||||||
| 79,000 | Taiwan Surface Mounting Technology Corp. | 278,215 | ||||||||
| 1,000 | TCI Co. Ltd. | 4,716 | ||||||||
| 9,000 | Test Research, Inc. | 48,030 | ||||||||
| 5,000 | Topkey Corp. | 31,326 | ||||||||
| 19,000 | Transcend Information, Inc. | 69,142 | ||||||||
| 79,000 | Tripod Technology Corp. | 520,353 | ||||||||
| 41,000 | Tung Ho Steel Enterprise Corp. | 87,474 | ||||||||
| 25,000 | TXC Corp. | 87,475 | ||||||||
| 13,816 | United Microelectronics Corp. Sponsored ADR | 117,436 | ||||||||
| 154,000 | United Microelectronics Corp. | 262,173 | ||||||||
| 88,000 | USI Corp. | 43,208 | ||||||||
| 3,000 | Wah Lee Industrial Corp. | 11,541 | ||||||||
| 61,000 | Wisdom Marine Lines Co. Ltd. * | 146,349 | ||||||||
| 1,052,000 | Yang Ming Marine Transport Corp. | 2,324,913 | ||||||||
|
|
|
|||||||||
| Total Taiwan | 31,047,415 | |||||||||
|
|
|
|||||||||
| Thailand — 2.0% | ||||||||||
| 1,193,400 | BTS Group Holdings PCL NVDR | 155,703 | ||||||||
| 1,601,000 | Land & Houses PCL NVDR | 287,214 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Thailand — continued | ||||||||||
| 191,200 | Muangthai Capital PCL NVDR | 231,270 | ||||||||
| 323,900 | PTT Exploration & Production PCL NVDR | 1,361,998 | ||||||||
| 217,700 | PTT PCL NVDR | 194,205 | ||||||||
| 58,200 | Regional Container Lines PCL NVDR | 47,057 | ||||||||
|
|
|
|||||||||
| Total Thailand | 2,277,447 | |||||||||
|
|
|
|||||||||
| United Arab Emirates — 0.1% | ||||||||||
| 12,938 | Emirates NBD Bank PJSC | 54,807 | ||||||||
|
|
|
|||||||||
| Vietnam — 2.4% | ||||||||||
| 8,800 | Dong Phu Rubber JSC | 14,724 | ||||||||
| 144,565 | Duc Giang Chemicals JSC | 719,221 | ||||||||
| 6,700 | IDICO Corp. JSC | 16,807 | ||||||||
| 107,000 | PetroVietNam Ca Mau Fertilizer JSC | 158,432 | ||||||||
| 24,300 | Petrovietnam Fertilizer & Chemicals JSC | 34,504 | ||||||||
| 9,900 | PetroVietnam Gas JSC | 31,250 | ||||||||
| 49,700 | PetroVietnam Technical Services Corp. | 84,852 | ||||||||
| 4,600 | South Basic Chemicals JSC | 12,393 | ||||||||
| 338,800 | SSI Securities Corp. | 464,606 | ||||||||
| 5,500 | Tu Liem Urban Development JSC | 9,941 | ||||||||
| 131,400 | Vietnam Dairy Products JSC | 338,276 | ||||||||
| 49,719 | Vietnam Joint Stock Commercial Bank for Industry & Trade * | 62,560 | ||||||||
| 106,100 | VIX Securities JSC * | 75,609 | ||||||||
| 858,055 | VNDirect Securities Corp. * | 603,981 | ||||||||
|
|
|
|||||||||
| Total Vietnam | 2,627,156 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $157,566,629) |
101,593,127 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (d) — 7.9% | ||||||||||
| Brazil — 6.7% | ||||||||||
| 342,357 | Bradespar SA | 1,251,834 | ||||||||
| 16,195 | Cia de Ferro Ligas da Bahia FERBASA | 24,520 | ||||||||
| 1,350,766 | Cia Energetica de Minas Gerais | 2,559,584 | ||||||||
| 457,331 | Itausa SA | 847,441 | ||||||||
| 357,884 | Petroleo Brasileiro SA | 2,643,798 | ||||||||
| 14,554 | Randon SA Implementos e Participacoes | 26,387 | ||||||||
| 15,431 | Unipar Carbocloro SA – Class B | 146,966 | ||||||||
|
|
|
|||||||||
| Total Brazil | 7,500,530 | |||||||||
|
|
|
|||||||||
| Colombia — 1.2% | ||||||||||
| 35,847 | Bancolombia SA Sponsored ADR | 1,271,135 | ||||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| 3,948,700 | Surgutneftegas PJSC (b) | 29,579 | ||||||||
| 31,500 | Transneft PJSC (b) | 5,523 | ||||||||
|
|
|
|||||||||
| Total Russia | 35,102 | |||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $10,818,726) |
8,806,767 | |||||||||
|
|
|
|||||||||
GMO Emerging Markets ex-China Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| |
Description | Value ($) | ||||||||
| MUTUAL FUNDS — 2.8% | ||||||||||
| United States — 2.8% | ||||||||||
| Affiliated Issuers — 2.8% | ||||||||||
| 620,903 | GMO U.S. Treasury Fund | 3,104,517 | ||||||||
|
|
|
|||||||||
| Total United States | 3,104,517 | |||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $3,104,517) |
3,104,517 | |||||||||
|
|
|
|||||||||
| RIGHTS/WARRANTS — 0.1% | ||||||||||
| Vietnam — 0.1% | ||||||||||
| 170,620 | VNDirect Securities Corp., expires 07/03/24 * (e) |
52,301 | ||||||||
|
|
|
|||||||||
| Total Vietnam | 52,301 | |||||||||
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS (COST $0) |
52,301 | |||||||||
|
|
|
|||||||||
| |
Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 0.0% |
| |||||||||
| Money Market Funds — 0.0% | ||||||||||
| 10,337 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (f) |
10,337 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $10,337) |
10,337 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 101.7% (Cost $171,500,209) |
113,567,049 | |||||||||
| Other Assets and Liabilities (net) — (1.7)% | (1,853,797 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $111,713,252 | |||||||||
|
|
|
|||||||||
Additional information on each restricted security is as follows:
| Issuer Description |
Acquisition Date | Acquisition Cost |
Value as a Percentage of Fund’s Net Assets |
Value as of May 31, 2024 |
||||||||
| Alrosa PJSC | 10/18/21 | $ | 7,054,956 | 0.0% | $ | 33,364 | ||||||
| Magnitogorsk Iron & Steel Works PJSC | 10/18/21 | 4,011,995 | 0.0% | 26,335 | ||||||||
| PhosAgro PJSC GDR | 10/18/21 | 2,465 | 0.0% | 21 | ||||||||
| Polyus PJSC | 10/18/21 | 2,285,367 | 0.0% | 16,073 | ||||||||
| Polyus PJSC GDR (Registered) | 10/22/21 | 4 | 0.0% | 1 | ||||||||
| Sberbank of Russia PJSC | 10/18/21 | 16,614,391 | 0.1% | 119,102 | ||||||||
| Severstal PAO GDR (Registered) | 10/18/21 | 3,190,235 | 0.0% | 27,656 | ||||||||
|
|
|
|||||||||||
| $ | 222,552 | |||||||||||
|
|
|
|||||||||||
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) | Investment valued using significant unobservable inputs. |
| (f) | The rate disclosed is the 7 day net yield as of May 31, 2024. |
Portfolio Abbreviations:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
JSC - Joint-Stock Company
NVDR - Non-Voting Depositary Receipt
PJSC - Private Joint-Stock Company
QPSC - Qatar Private Stock Company
QSC - Qatari Shareholding Company
SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 92.3% |
| |||||||||
| Brazil — 5.6% | ||||||||||
| 33,296 | Alupar Investimento SA | 184,397 | ||||||||
| 119,300 | Banco Santander Brasil SA | 630,478 | ||||||||
| 2,600 | BrasilAgro – Co. Brasileira de Propriedades Agricolas | 12,572 | ||||||||
| 119,400 | Cia de Saneamento de Minas Gerais Copasa MG | 458,190 | ||||||||
| 20,900 | Cia De Sanena Do Parana | 108,701 | ||||||||
| 498,100 | CPFL Energia SA | 3,234,724 | ||||||||
| 91,500 | Cury Construtora e Incorporadora SA | 321,153 | ||||||||
| 254,500 | Engie Brasil Energia SA | 2,100,598 | ||||||||
| 15,100 | Grendene SA | 17,772 | ||||||||
| 12,500 | Grupo SBF SA | 27,686 | ||||||||
| 250,700 | Magazine Luiza SA * | 591,551 | ||||||||
| 15,400 | Odontoprev SA | 32,730 | ||||||||
| 516,100 | Petroleo Brasileiro SA | 4,000,318 | ||||||||
| 354,499 | Petroleo Brasileiro SA Sponsored ADR | 5,512,459 | ||||||||
| 8,100 | Sao Martinho SA | 41,866 | ||||||||
| 41,400 | Transmissora Alianca de Energia Eletrica SA | 270,276 | ||||||||
| 695,500 | Ultrapar Participacoes SA | 3,068,947 | ||||||||
| 65,200 | Vale SA | 784,749 | ||||||||
| 89,664 | Vale SA Sponsored ADR | 1,080,451 | ||||||||
| 18,500 | Vibra Energia SA | 75,890 | ||||||||
|
|
|
|||||||||
| Total Brazil | 22,555,508 | |||||||||
|
|
|
|||||||||
| Chile — 0.1% | ||||||||||
| 1,784,522 | Colbun SA | 233,268 | ||||||||
|
|
|
|||||||||
| China — 24.1% | ||||||||||
| 1,276,000 | 361 Degrees International Ltd. | 730,250 | ||||||||
| 254,000 | 3SBio, Inc. | 198,344 | ||||||||
| 3,064,400 | Agricultural Bank of China Ltd. – Class A | 1,856,456 | ||||||||
| 10,137,000 | Agricultural Bank of China Ltd. – Class H | 4,249,741 | ||||||||
| 1,128,000 | Air China Ltd. – Class H * | 600,983 | ||||||||
| 57,400 | ANTA Sports Products Ltd. | 614,909 | ||||||||
| 15,169 | Autohome, Inc. ADR | 430,800 | ||||||||
| 7,329,000 | Bank of China Ltd. – Class H | 3,474,258 | ||||||||
| 1,278,000 | Bosideng International Holdings Ltd. | 739,478 | ||||||||
| 838,000 | China BlueChemical Ltd. – Class H * | 267,136 | ||||||||
| 6,138,000 | China Cinda Asset Management Co. Ltd. – Class H | 590,652 | ||||||||
| 2,453,878 | China Communications Services Corp. Ltd. – Class H | 1,180,426 | ||||||||
| 15,057,148 | China Construction Bank Corp. – Class H | 10,686,420 | ||||||||
| 483,000 | China Everbright Environment Group Ltd. | 225,496 | ||||||||
| 18,798,000 | China Feihe Ltd. | 9,329,393 | ||||||||
| 1,412,000 | China Lesso Group Holdings Ltd. * | 650,831 | ||||||||
| 1,106,000 | China Medical System Holdings Ltd. | 936,440 | ||||||||
| 331,400 | China Merchants Bank Co. Ltd. – Class A | 1,567,231 | ||||||||
| 200,000 | China Oriental Group Co. Ltd. | 27,977 | ||||||||
| 900,000 | China Overseas Property Holdings Ltd. | 608,792 | ||||||||
| 263,100 | China Petroleum & Chemical Corp. – Class A | 234,319 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| China — continued | ||||||||||
| 1,278,000 | China Petroleum & Chemical Corp. – Class H | 814,148 | ||||||||
| 1 | China Railway Signal & Communication Corp. Ltd. – Class A |
1 | ||||||||
| 17,000 | China Shineway Pharmaceutical Group Ltd. | 18,189 | ||||||||
| 30,000 | Consun Pharmaceutical Group Ltd. | 25,591 | ||||||||
| 98,000 | COSCO Shipping International Hong Kong Co. Ltd. | 49,621 | ||||||||
| 586,000 | COSCO Shipping Ports Ltd. | 406,133 | ||||||||
| 779,000 | Country Garden Services Holdings Co. Ltd. | 566,788 | ||||||||
| 6,982,000 | CSPC Pharmaceutical Group Ltd. | 5,935,887 | ||||||||
| 1,828,000 | Dongfeng Motor Group Co. Ltd. – Class H | 592,971 | ||||||||
| 269,500 | East Buy Holding Ltd. * | 632,017 | ||||||||
| 90,200 | ENN Energy Holdings Ltd. | 833,269 | ||||||||
| 79,000 | Fufeng Group Ltd. | 61,821 | ||||||||
| 512,000 | Greentown Service Group Co. Ltd. | 249,660 | ||||||||
| 10,248,000 | Hua Han Health Industry Holdings Ltd. (a) | 1 | ||||||||
| 115,700 | Industrial & Commercial Bank of China Ltd. – Class A | 86,699 | ||||||||
| 13,997,000 | Industrial & Commercial Bank of China Ltd. – Class H | 7,929,826 | ||||||||
| 10,000 | JNBY Design Ltd. | 18,767 | ||||||||
| 252,000 | Kingboard Holdings Ltd. | 613,079 | ||||||||
| 138,000 | Kingboard Laminates Holdings Ltd. (b) | 149,356 | ||||||||
| 208,000 | Kunlun Energy Co. Ltd. | 216,933 | ||||||||
| 2,472,000 | Lenovo Group Ltd. | 3,560,936 | ||||||||
| 78,900 | Livzon Pharmaceutical Group, Inc. – Class A | 421,630 | ||||||||
| 484,000 | Lonking Holdings Ltd. | 89,706 | ||||||||
| 128,062 | Lufax Holding Ltd. ADR | 573,718 | ||||||||
| 18,000 | Minth Group Ltd. | 35,809 | ||||||||
| 360,000 | Orient Overseas International Ltd. | 6,114,404 | ||||||||
| 3,014,400 | PetroChina Co. Ltd. – Class A | 4,231,266 | ||||||||
| 2,944,000 | PetroChina Co. Ltd. – Class H | 3,018,655 | ||||||||
| 1,609 | Ping An Insurance Group Co. of China Ltd. – Class A | 9,572 | ||||||||
| 771,000 | Sany Heavy Equipment International Holdings Co. Ltd. | 588,572 | ||||||||
| 44,500 | SciClone Pharmaceuticals Holdings Ltd. | 105,482 | ||||||||
| 383,000 | Shanghai Fosun Pharmaceutical Group Co. Ltd. – Class H | 599,448 | ||||||||
| 170,200 | Shanghai Mechanical & Electrical Industry Co. Ltd. – Class A |
309,972 | ||||||||
| 1,600,000 | Sinopec Engineering Group Co. Ltd. – Class H | 1,076,569 | ||||||||
| 164,000 | Sinotruk Hong Kong Ltd. | 381,419 | ||||||||
| 6,957 | Tencent Holdings Ltd. ADR | 323,709 | ||||||||
| 55,900 | Tencent Holdings Ltd. | 2,593,400 | ||||||||
| 520,433 | Vipshop Holdings Ltd. ADR | 8,363,358 | ||||||||
| 323,400 | Weichai Power Co. Ltd. – Class A | 710,847 | ||||||||
| 1,060,000 | Weichai Power Co. Ltd. – Class H | 1,904,109 | ||||||||
| 349,000 | Xiaomi Corp. – Class B * | 781,462 | ||||||||
| 353,500 | Xtep International Holdings Ltd. | 246,086 | ||||||||
| 853,000 | Yuexiu Property Co. Ltd. | 618,448 | ||||||||
| 346,200 | Zai Lab Ltd. * | 648,096 | ||||||||
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| China — continued | ||||||||||
| 336,000 | Zhejiang Expressway Co. Ltd. – Class H | 219,402 | ||||||||
| 350,100 | ZhongAn Online P&C Insurance Co. Ltd. – Class H * |
595,408 | ||||||||
| 19,500 | Zhongsheng Group Holdings Ltd. | 35,382 | ||||||||
|
|
|
|||||||||
| Total China | 96,557,954 | |||||||||
|
|
|
|||||||||
| Colombia — 0.0% | ||||||||||
| 21,034 | Interconexion Electrica SA ESP | 104,208 | ||||||||
|
|
|
|||||||||
| Czech Republic — 0.4% | ||||||||||
| 279,489 | Moneta Money Bank AS | 1,224,085 | ||||||||
| 588 | Philip Morris CR AS | 387,232 | ||||||||
|
|
|
|||||||||
| Total Czech Republic | 1,611,317 | |||||||||
|
|
|
|||||||||
| Egypt — 0.3% | ||||||||||
| 110,045 | Abou Kir Fertilizers & Chemical Industries | 144,301 | ||||||||
| 689,269 | Commercial International Bank – Egypt (CIB) | 1,140,556 | ||||||||
| 127,803 | Eastern Co. SAE | 74,710 | ||||||||
| 21,747 | ElSewedy Electric Co. | 20,483 | ||||||||
| 10,721 | Misr Fertilizers Production Co. SAE | 9,947 | ||||||||
|
|
|
|||||||||
| Total Egypt | 1,389,997 | |||||||||
|
|
|
|||||||||
| Greece — 0.1% | ||||||||||
| 2,297 | JUMBO SA | 65,865 | ||||||||
| 12,951 | OPAP SA | 205,875 | ||||||||
|
|
|
|||||||||
| Total Greece | 271,740 | |||||||||
|
|
|
|||||||||
| Hungary — 3.6% | ||||||||||
| 147,482 | Magyar Telekom Telecommunications PLC | 403,095 | ||||||||
| 141,990 | MOL Hungarian Oil & Gas PLC | 1,104,467 | ||||||||
| 40,252 | Opus Global Nyrt * | 42,699 | ||||||||
| 244,153 | OTP Bank Nyrt | 11,790,211 | ||||||||
| 45,260 | Richter Gedeon Nyrt | 1,147,290 | ||||||||
|
|
|
|||||||||
| Total Hungary | 14,487,762 | |||||||||
|
|
|
|||||||||
| India — 10.6% | ||||||||||
| 68,260 | Berger Paints India Ltd. | 376,173 | ||||||||
| 772,905 | Bharat Petroleum Corp. Ltd. | 5,824,368 | ||||||||
| 317,184 | Brightcom Group Ltd. * | 42,000 | ||||||||
| 17,740 | Castrol India Ltd. | 41,676 | ||||||||
| 179,221 | Chambal Fertilisers & Chemicals Ltd. | 834,549 | ||||||||
| 29,359 | Chennai Petroleum Corp. Ltd. | 322,551 | ||||||||
| 4,256 | Colgate-Palmolive India Ltd. | 134,959 | ||||||||
| 13,553 | Coromandel International Ltd. | 211,904 | ||||||||
| 90,051 | GHCL Ltd. | 544,030 | ||||||||
| 2,748 | Glenmark Life Sciences Ltd. | 27,459 | ||||||||
| 7,655 | Godawari Power & Ispat Ltd. | 89,544 | ||||||||
| 89,987 | Great Eastern Shipping Co. Ltd. | 1,167,997 | ||||||||
| 47,345 | Gujarat Narmada Valley Fertilizers & Chemicals Ltd. | 360,472 | ||||||||
| 31,225 | Gujarat Pipavav Port Ltd. | 72,857 | ||||||||
| 333,272 | Gujarat State Fertilizers & Chemicals Ltd. | 844,179 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| India — continued | ||||||||||
| 10,567 | Gujarat State Petronet Ltd. | 36,824 | ||||||||
| 4,436 | ICICI Securities Ltd. | 38,025 | ||||||||
| 3,528 | IIFL Finance Ltd. | 16,845 | ||||||||
| 1,682,750 | Indiabulls Housing Finance Ltd. | 3,189,949 | ||||||||
| 1,046,886 | Indian Oil Corp. Ltd. | 2,041,550 | ||||||||
| 114,799 | Indraprastha Gas Ltd. | 607,819 | ||||||||
| 126,883 | JM Financial Ltd. * | 119,943 | ||||||||
| 5,928 | Kaveri Seed Co. Ltd. | 60,304 | ||||||||
| 6,956 | KRBL Ltd. | 22,272 | ||||||||
| 17,926 | LT Foods Ltd. | 44,362 | ||||||||
| 26,141 | Mahanagar Gas Ltd. | 406,967 | ||||||||
| 207 | Maharashtra Scooters Ltd. | 19,214 | ||||||||
| 1,848,387 | Manappuram Finance Ltd. | 3,767,312 | ||||||||
| 4,926 | Motilal Oswal Financial Services Ltd. | 131,293 | ||||||||
| 36,072 | Muthoot Finance Ltd. | 731,408 | ||||||||
| 9,618 | Nippon Life India Asset Management Ltd. | 69,781 | ||||||||
| 1,790,760 | NMDC Ltd. | 5,594,305 | ||||||||
| 2,393,115 | Oil & Natural Gas Corp. Ltd. | 7,638,321 | ||||||||
| 91,749 | One 97 Communications Ltd. * | 396,525 | ||||||||
| 339,025 | Petronet LNG Ltd. | 1,207,520 | ||||||||
| 825,490 | Power Grid Corp. of India Ltd. | 3,061,730 | ||||||||
| 156,540 | PTC India Ltd. | 394,719 | ||||||||
| 6,156 | Rashtriya Chemicals & Fertilizers Ltd. | 11,392 | ||||||||
| 60,837 | Redington Ltd. | 145,121 | ||||||||
| 14 | Reliance Industries Ltd. | 480 | ||||||||
| 5,023 | RITES Ltd. | 42,326 | ||||||||
| 618 | Sanofi India Ltd. | 64,685 | ||||||||
| 270 | Share India Securities Ltd. | 4,886 | ||||||||
| 2,838 | Shipping Corp. of India Ltd. | 8,385 | ||||||||
| 4,390 | Shriram Finance Ltd. | 125,643 | ||||||||
| 149,201 | Sun TV Network Ltd. | 1,172,675 | ||||||||
| 8,743 | Triveni Engineering & Industries Ltd. | 34,432 | ||||||||
| 74 | Ujjivan Small Finance Bank Ltd. | 44 | ||||||||
| 927 | UTI Asset Management Co. Ltd. | 10,077 | ||||||||
| 14,029 | West Coast Paper Mills Ltd. | 100,557 | ||||||||
| 3,911 | Zensar Technologies Ltd. | 28,764 | ||||||||
|
|
|
|||||||||
| Total India | 42,241,173 | |||||||||
|
|
|
|||||||||
| Indonesia — 3.1% | ||||||||||
| 2,502,800 | AKR Corporindo Tbk. PT | 246,639 | ||||||||
| 537,800 | Aneka Tambang Tbk. PT | 48,544 | ||||||||
| 710,400 | Bank BTPN Syariah Tbk. PT | 50,965 | ||||||||
| 6,853,700 | Bank Central Asia Tbk. PT | 3,899,566 | ||||||||
| 3,689,100 | Bank Mandiri Persero Tbk. PT | 1,337,910 | ||||||||
| 10,522,200 | Bank Negara Indonesia Persero Tbk. PT | 2,855,188 | ||||||||
| 8,940,300 | Bank Pembangunan Daerah Jawa Timur Tbk. PT | 275,083 | ||||||||
| 11,443,800 | Bank Rakyat Indonesia Persero Tbk. PT | 3,067,387 | ||||||||
| 89,500 | Indah Kiat Pulp & Paper Tbk. PT * | 50,253 | ||||||||
| 47,600 | Indofood CBP Sukses Makmur Tbk. PT | 28,568 | ||||||||
| 78,300 | Indofood Sukses Makmur Tbk. PT | 28,315 | ||||||||
| 9,537,200 | Panin Financial Tbk. PT * | 202,063 | ||||||||
| 783,300 | Perusahaan Gas Negara Tbk. PT | 76,240 | ||||||||
| 2,545,800 | Sarana Menara Nusantara Tbk. PT | 108,099 | ||||||||
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Indonesia — continued | ||||||||||
| 1,428,200 | Semen Indonesia Persero Tbk. PT | 306,733 | ||||||||
| 202,400 | Unilever Indonesia Tbk. PT | 38,935 | ||||||||
|
|
|
|||||||||
| Total Indonesia | 12,620,488 | |||||||||
|
|
|
|||||||||
| Kuwait — 0.1% | ||||||||||
| 35,720 | Humansoft Holding Co. KSC | 301,218 | ||||||||
|
|
|
|||||||||
| Malaysia — 0.0% | ||||||||||
| 232,160 | Hibiscus Petroleum Bhd. | 123,684 | ||||||||
| 8,400 | United Plantations Bhd. | 44,890 | ||||||||
|
|
|
|||||||||
| Total Malaysia | 168,574 | |||||||||
|
|
|
|||||||||
| Mexico — 5.6% | ||||||||||
| 329,019 | Arca Continental SAB de CV | 3,372,898 | ||||||||
| 246,341 | Banco del Bajio SA | 853,006 | ||||||||
| 41,905 | Bolsa Mexicana de Valores SAB de CV | 76,171 | ||||||||
| 27,730 | Coca-Cola Femsa SAB de CV Sponsored ADR | 2,597,192 | ||||||||
| 315,700 | Credito Real SAB de CV SOFOM ER * (a) (b) | — | ||||||||
| 4,371 | GCC SAB de CV | 47,802 | ||||||||
| 78,263 | Gentera SAB de CV | 120,901 | ||||||||
| 5,314 | Grupo Aeroportuario del Centro Norte SAB de CV ADR | 434,738 | ||||||||
| 69,284 | Grupo Aeroportuario del Centro Norte SAB de CV | 710,624 | ||||||||
| 3,009 | Grupo Aeroportuario del Sureste SAB de CV ADR | 1,009,790 | ||||||||
| 2,971 | Grupo Aeroportuario del Sureste SAB de CV – Class B | 100,289 | ||||||||
| 1,177,937 | Grupo Financiero Banorte SAB de CV – Class O | 11,189,586 | ||||||||
| 51,796 | Grupo Mexico SAB de CV – Series B | 319,571 | ||||||||
| 105,126 | Kimberly-Clark de Mexico SAB de CV – Class A | 221,077 | ||||||||
| 11,279 | Orbia Advance Corp. SAB de CV | 18,488 | ||||||||
| 1,365 | Promotora y Operadora de Infraestructura SAB de CV | 14,991 | ||||||||
| 15,900 | Regional SAB de CV | 137,741 | ||||||||
| 361,513 | Wal-Mart de Mexico SAB de CV | 1,358,351 | ||||||||
|
|
|
|||||||||
| Total Mexico | 22,583,216 | |||||||||
|
|
|
|||||||||
| Pakistan — 0.9% | ||||||||||
| 202,370 | Attock Refinery Ltd. | 276,590 | ||||||||
| 54,383 | Bank Alfalah Ltd. | 12,082 | ||||||||
| 576,053 | Engro Fertilizers Ltd. | 331,183 | ||||||||
| 840,562 | Fauji Fertilizer Bin Qasim Ltd. | 100,673 | ||||||||
| 413,745 | Fauji Fertilizer Co. Ltd. | 210,865 | ||||||||
| 146,049 | Habib Bank Ltd. | 59,747 | ||||||||
| 193,543 | Hub Power Co. Ltd. | 99,847 | ||||||||
| 106,490 | International Steels Ltd. | 33,647 | ||||||||
| 240,466 | Kot Addu Power Co. Ltd. | 28,461 | ||||||||
| 18,034 | Lucky Cement Ltd. | 58,192 | ||||||||
| 11,947 | Mari Petroleum Co. Ltd. | 119,609 | ||||||||
| 41,178 | MCB Bank Ltd. | 30,601 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Pakistan — continued | ||||||||||
| 1,823,573 | Oil & Gas Development Co. Ltd. | 875,286 | ||||||||
| 44,115 | Pakistan Oilfields Ltd. | 77,731 | ||||||||
| 2,756,908 | Pakistan Petroleum Ltd. | 1,187,208 | ||||||||
| 545,873 | SUI Northern Gas Pipeline | 129,808 | ||||||||
| 153,740 | United Bank Ltd. | 123,548 | ||||||||
|
|
|
|||||||||
| Total Pakistan | 3,755,078 | |||||||||
|
|
|
|||||||||
| Philippines — 0.1% | ||||||||||
| 65,600 | Aboitiz Equity Ventures, Inc. | 39,290 | ||||||||
| 7,525,800 | Megaworld Corp. | 231,604 | ||||||||
|
|
|
|||||||||
| Total Philippines | 270,894 | |||||||||
|
|
|
|||||||||
| Poland — 1.3% | ||||||||||
| 5,244 | Budimex SA | 996,270 | ||||||||
| 111 | Grupa Kety SA | 24,387 | ||||||||
| 233,332 | ORLEN SA | 3,779,627 | ||||||||
| 68,424 | Pepco Group NV * | 422,238 | ||||||||
|
|
|
|||||||||
| Total Poland | 5,222,522 | |||||||||
|
|
|
|||||||||
| Qatar — 0.6% | ||||||||||
| 658,660 | Industries Qatar QSC | 2,092,505 | ||||||||
| 5,134 | Qatar Fuel QSC | 18,994 | ||||||||
| 25,803 | Qatar Islamic Bank SAQ | 122,374 | ||||||||
|
|
|
|||||||||
| Total Qatar | 2,233,873 | |||||||||
|
|
|
|||||||||
| Russia — 0.6% | ||||||||||
| 31,701,260 | Alrosa PJSC (a) (c) | 262,059 | ||||||||
| 39,977 | Evraz PLC * (a) | 1,043 | ||||||||
| 1,432,600,000 | Federal Grid Co.-Rosseti PJSC * (a) | 16,112 | ||||||||
| 653,911 | Fix Price Group PLC GDR (a) | 15,566 | ||||||||
| 219,070 | Gazprom Neft PJSC (a) | 16,302 | ||||||||
| 1,250,860 | Gazprom PJSC * (a) | 17,312 | ||||||||
| 3,721,200 | GMK Norilskiy Nickel PAO (a) | 57,992 | ||||||||
| 78,536,400 | Inter RAO UES PJSC * (a) | 35,414 | ||||||||
| 3 | LSR Group PJSC GDR (a) | — | ||||||||
| 239,440 | LSR Group PJSC (a) | 20,638 | ||||||||
| 285,469 | LUKOIL PJSC (a) | 232,006 | ||||||||
| 17,490,987 | Magnitogorsk Iron & Steel Works PJSC * (a) (c) |
106,445 | ||||||||
| 474,800 | Mechel PJSC * (a) (c) | 11,318 | ||||||||
| 5 | MMC Norilsk Nickel PJSC ADR * (a) | — | ||||||||
| 249,660 | Mobile TeleSystems PJSC (a) | 7,816 | ||||||||
| 4,133,417 | Moscow Exchange MICEX-Rates PJSC (a) | 109,396 | ||||||||
| 10,015,560 | Novolipetsk Steel PJSC (a) | 213,968 | ||||||||
| 11,924 | PhosAgro PJSC (a) | 7,830 | ||||||||
| 230 | PhosAgro PJSC GDR (a) (c) | 50 | ||||||||
| 80,094 | Polyus PJSC * (a) (c) | 108,163 | ||||||||
| 24,938,000 | RusHydro PJSC (a) | 1,741 | ||||||||
| 13,125,612 | Sberbank of Russia PJSC * (a) (c) | 453,594 | ||||||||
| 706,464 | Severstal PAO GDR (Registered) * (a) (c) | 138,956 | ||||||||
| 68,353 | SFI PJSC (a) | 9,751 | ||||||||
| 63,500,900 | Surgutneftegas PJSC (a) | 200,633 | ||||||||
| 2,860,038 | Tatneft PJSC (a) | 217,923 | ||||||||
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Russia — continued | ||||||||||
| 8,118,000 | Unipro PJSC * (a) | 1,715 | ||||||||
| 556,430 | United Co. Rusal International PJSC * (a) | 2,631 | ||||||||
|
|
|
|||||||||
| Total Russia | 2,266,374 | |||||||||
|
|
|
|||||||||
| South Africa — 6.6% | ||||||||||
| 145,217 | Anglo American Platinum Ltd. (b) | 4,763,770 | ||||||||
| 190,434 | AVI Ltd. | 862,999 | ||||||||
| 190,289 | Clicks Group Ltd. | 2,986,734 | ||||||||
| 2,013,614 | FirstRand Ltd. | 6,985,896 | ||||||||
| 184,700 | Foschini Group Ltd. | 934,568 | ||||||||
| 152,738 | Investec Ltd. | 998,613 | ||||||||
| 17,576 | Kumba Iron Ore Ltd. | 460,766 | ||||||||
| 377,362 | Mr Price Group Ltd. | 3,573,930 | ||||||||
| 451,934 | Ninety One Ltd. | 953,431 | ||||||||
| 529,489 | Sanlam Ltd. | 1,997,871 | ||||||||
| 74,575 | Shoprite Holdings Ltd. | 991,525 | ||||||||
| 44,902 | Tiger Brands Ltd. | 465,017 | ||||||||
| 5,873 | Truworths International Ltd. | 23,870 | ||||||||
| 95,625 | Woolworths Holdings Ltd. | 276,357 | ||||||||
|
|
|
|||||||||
| Total South Africa | 26,275,347 | |||||||||
|
|
|
|||||||||
| South Korea — 2.6% | ||||||||||
| 1,390 | Coway Co. Ltd. | 56,924 | ||||||||
| 35,955 | Daou Data Corp. | 300,443 | ||||||||
| 3,124 | DB Insurance Co. Ltd. | 234,136 | ||||||||
| 168,857 | Dongwon Development Co. Ltd. | 337,315 | ||||||||
| 84,891 | Hanon Systems | 307,178 | ||||||||
| 1,395 | Hyundai Mobis Co. Ltd. | 217,501 | ||||||||
| 63,996 | JB Financial Group Co. Ltd. | 675,297 | ||||||||
| 11,193 | Kakaopay Corp. * | 250,611 | ||||||||
| 24,129 | Kangwon Land, Inc. | 259,841 | ||||||||
| 37,183 | Kia Corp. | 3,173,801 | ||||||||
| 56,596 | KT&G Corp. | 3,416,232 | ||||||||
| 377 | LOTTE Fine Chemical Co. Ltd. | 13,112 | ||||||||
| 1,321 | NH Investment & Securities Co. Ltd. | 11,732 | ||||||||
| 2,779 | Orion Corp. | 183,864 | ||||||||
| 314 | S-1 Corp. | 14,417 | ||||||||
| 30,715 | Samsung Securities Co. Ltd. | 803,967 | ||||||||
|
|
|
|||||||||
| Total South Korea | 10,256,371 | |||||||||
|
|
|
|||||||||
| Sri Lanka — 0.1% | ||||||||||
| 103,983,101 | Anilana Hotels & Properties Ltd. * (d) (e) | 310,125 | ||||||||
|
|
|
|||||||||
| Taiwan — 21.5% | ||||||||||
| 23,000 | Allied Supreme Corp. | 277,964 | ||||||||
| 28,000 | Arcadyan Technology Corp. | 144,723 | ||||||||
| 35,000 | Asia Cement Corp. | 44,927 | ||||||||
| 8,000 | Asia Optical Co., Inc. | 16,500 | ||||||||
| 58,000 | Capital Securities Corp. | 42,273 | ||||||||
| 961,000 | Catcher Technology Co. Ltd. | 6,677,077 | ||||||||
| 318,000 | Chicony Electronics Co. Ltd. | 1,839,407 | ||||||||
| 10,000 | Chicony Power Technology Co. Ltd. * | 47,968 | ||||||||
| 513,000 | Chipbond Technology Corp. | 1,079,628 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Taiwan — continued | ||||||||||
| 10,000 | Chlitina Holding Ltd. | 51,744 | ||||||||
| 406,400 | Coretronic Corp. | 1,391,135 | ||||||||
| 63,000 | Darfon Electronics Corp. | 132,811 | ||||||||
| 101,000 | Dynapack International Technology Corp. | 295,132 | ||||||||
| 235,000 | Elitegroup Computer Systems Co. Ltd. * | 249,726 | ||||||||
| 202,200 | Evergreen Marine Corp. Taiwan Ltd. | 1,315,378 | ||||||||
| 115,000 | Everlight Electronics Co. Ltd. | 256,478 | ||||||||
| 492,000 | Farglory Land Development Co. Ltd. | 1,346,443 | ||||||||
| 5,000 | First Financial Holding Co. Ltd. | 4,253 | ||||||||
| 49,000 | FLEXium Interconnect, Inc. | 132,370 | ||||||||
| 648,778 | Foxconn Technology Co. Ltd. | 1,470,584 | ||||||||
| 4,000 | Foxsemicon Integrated Technology, Inc. | 36,535 | ||||||||
| 7,000 | Fusheng Precision Co. Ltd. | 62,911 | ||||||||
| 55,000 | Giant Manufacturing Co. Ltd. | 369,873 | ||||||||
| 94,000 | Global Brands Manufacture Ltd. | 216,325 | ||||||||
| 18,000 | Global Mixed Mode Technology, Inc. | 170,079 | ||||||||
| 22,000 | Grape King Bio Ltd. | 109,064 | ||||||||
| 15,000 | Greatek Electronics, Inc. | 29,297 | ||||||||
| 56,000 | Hannstar Board Corp. | 102,645 | ||||||||
| 907,000 | Hon Hai Precision Industry Co. Ltd. | 4,830,225 | ||||||||
| 191,000 | Huaku Development Co. Ltd. * | 932,464 | ||||||||
| 170,000 | Kung Long Batteries Industrial Co. Ltd. | 775,105 | ||||||||
| 28,000 | Largan Precision Co. Ltd. | 1,977,549 | ||||||||
| 141,000 | MediaTek, Inc. | 5,399,464 | ||||||||
| 37,000 | Merry Electronics Co. Ltd. | 142,276 | ||||||||
| 721,000 | Micro-Star International Co. Ltd. | 4,282,859 | ||||||||
| 3,000 | Nan Pao Resins Chemical Co. Ltd. | 31,349 | ||||||||
| 106,000 | Nan Ya Printed Circuit Board Corp. | 639,717 | ||||||||
| 358,000 | Nantex Industry Co. Ltd. | 385,157 | ||||||||
| 15,000 | Nien Made Enterprise Co. Ltd. | 162,797 | ||||||||
| 396,810 | Novatek Microelectronics Corp. | 7,315,362 | ||||||||
| 53,000 | Pan-International Industrial Corp. | 64,001 | ||||||||
| 27,000 | Parade Technologies Ltd. | 640,952 | ||||||||
| 26,000 | Pixart Imaging, Inc. | 131,763 | ||||||||
| 790,000 | Powerchip Semiconductor Manufacturing Corp.* | 607,242 | ||||||||
| 125,000 | Powertech Technology, Inc. | 690,132 | ||||||||
| 414,000 | Primax Electronics Ltd. | 1,294,885 | ||||||||
| 22,000 | Qisda Corp. | 27,032 | ||||||||
| 92,000 | Quanta Storage, Inc. | 356,987 | ||||||||
| 218,936 | Radiant Opto-Electronics Corp. | 1,335,404 | ||||||||
| 7,000 | Raydium Semiconductor Corp. | 89,576 | ||||||||
| 321,000 | Shinkong Insurance Co. Ltd. | 942,557 | ||||||||
| 31,000 | Sigurd Microelectronics Corp. | 75,710 | ||||||||
| 71,000 | Simplo Technology Co. Ltd. | 905,209 | ||||||||
| 37,000 | Sinon Corp. | 47,228 | ||||||||
| 221,000 | T3EX Global Holdings Corp. | 760,754 | ||||||||
| 119,000 | TaiDoc Technology Corp. | 599,568 | ||||||||
| 82,000 | Taiwan Fertilizer Co. Ltd. | 161,723 | ||||||||
| 999,000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 25,582,323 | ||||||||
| 248,000 | Taiwan Surface Mounting Technology Corp. | 873,385 | ||||||||
| 62,000 | TCI Co. Ltd. | 292,408 | ||||||||
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Taiwan — continued | ||||||||||
| 32,000 | Test Research, Inc. | 170,773 | ||||||||
| 3,000 | Thinking Electronic Industrial Co. Ltd. | 15,793 | ||||||||
| 29,000 | TPK Holding Co. Ltd. | 34,490 | ||||||||
| 387,000 | Transcend Information, Inc. | 1,408,313 | ||||||||
| 214,160 | Tripod Technology Corp. | 1,410,617 | ||||||||
| 10,000 | TTY Biopharm Co. Ltd. | 23,967 | ||||||||
| 46,000 | TXC Corp. | 160,953 | ||||||||
| 1,000 | Voltronic Power Technology Corp. | 52,408 | ||||||||
| 1,039,000 | Yang Ming Marine Transport Corp. | 2,296,183 | ||||||||
| 8,000 | Zyxel Group Corp. | 10,285 | ||||||||
|
|
|
|||||||||
| Total Taiwan | 85,850,195 | |||||||||
|
|
|
|||||||||
| Thailand — 2.3% | ||||||||||
| 2,556,400 | BTS Group Holdings PCL NVDR | 333,534 | ||||||||
| 3,429,700 | Land & Houses PCL NVDR | 615,277 | ||||||||
| 409,700 | Muangthai Capital PCL NVDR | 495,560 | ||||||||
| 2,122,400 | Pruksa Holding PCL (Foreign Registered) | 577,852 | ||||||||
| 1,122,400 | PTT Exploration & Production PCL | 4,719,687 | ||||||||
| 2,645,800 | PTT PCL | 2,360,256 | ||||||||
| 42,000 | TTW PCL | 10,394 | ||||||||
|
|
|
|||||||||
| Total Thailand | 9,112,560 | |||||||||
|
|
|
|||||||||
| Vietnam — 2.1% | ||||||||||
| 6,500 | CNG Vietnam JSC | 8,608 | ||||||||
| 15,900 | Dong Phu Rubber JSC | 26,604 | ||||||||
| 527,200 | Duc Giang Chemicals JSC | 2,622,858 | ||||||||
| 117,900 | PetroVietNam Ca Mau Fertilizer JSC | 174,571 | ||||||||
| 24,400 | PetroVietnam Gas JSC | 77,021 | ||||||||
| 279,900 | PetroVietnam Technical Services Corp. | 477,868 | ||||||||
| 130,000 | Pha Lai Thermal Power JSC | 84,365 | ||||||||
| 35,600 | Sai Gon-Ha Noi Securities JSC * | 25,423 | ||||||||
| 6,200 | South Basic Chemicals JSC | 16,704 | ||||||||
| 572,900 | SSI Securities Corp. | 785,633 | ||||||||
| 19,300 | Tu Liem Urban Development JSC | 34,885 | ||||||||
| 464,200 | Vietnam Dairy Products JSC | 1,195,037 | ||||||||
| 249,400 | VIX Securities JSC * | 177,727 | ||||||||
| 4,059,090 | VNDirect Securities Corp. * | 2,857,177 | ||||||||
|
|
|
|||||||||
| Total Vietnam | 8,564,481 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $714,392,536) |
369,244,243 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (f) — 5.2% | ||||||||||
| Brazil — 3.4% | ||||||||||
| 1,317,500 | Bradespar SA | 4,817,460 | ||||||||
| 7,100 | Cia de Ferro Ligas da Bahia FERBASA | 10,750 | ||||||||
| 3,707,280 | Cia Energetica de Minas Gerais | 7,024,974 | ||||||||
| 180,047 | Petroleo Brasileiro SA | 1,330,062 | ||||||||
| 45,530 | Unipar Carbocloro SA – Class B | 433,631 | ||||||||
|
|
|
|||||||||
| Total Brazil | 13,616,877 | |||||||||
|
|
|
|||||||||
| Shares / Par Value† |
Description | Value ($) | ||||||||
| Colombia — 1.2% | ||||||||||
| 134,569 | Bancolombia SA Sponsored ADR | 4,771,817 | ||||||||
|
|
|
|||||||||
| Russia — 0.1% | ||||||||||
| 194,570 | Nizhnekamskneftekhim PJSC (a) | 1,576 | ||||||||
| 79,676,700 | Surgutneftegas PJSC (a) | 596,837 | ||||||||
| 86,900 | Transneft PJSC (a) | 15,237 | ||||||||
|
|
|
|||||||||
| Total Russia | 613,650 | |||||||||
|
|
|
|||||||||
| South Korea — 0.5% | ||||||||||
| 45,689 | Samsung Electronics Co. Ltd. | 1,993,459 | ||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $69,775,430) |
20,995,803 | |||||||||
|
|
|
|||||||||
| DEBT OBLIGATIONS — 0.1% | ||||||||||
| United States — 0.1% | ||||||||||
| 300,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.53%, due 01/31/25 (g) | 300,327 | ||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $300,097) |
300,327 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 1.2% | ||||||||||
| United States — 1.2% | ||||||||||
| Affiliated Issuers — 1.2% | ||||||||||
| 1,005,903 | GMO U.S. Treasury Fund | 5,029,518 | ||||||||
|
|
|
|||||||||
| Total United States | 5,029,518 | |||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $5,029,518) |
5,029,518 | |||||||||
|
|
|
|||||||||
| RIGHTS/WARRANTS — 0.1% | ||||||||||
| Vietnam — 0.1% | ||||||||||
| 773,160 | VNDirect Securities Corp., expires 07/03/24 * (e) | 237,002 | ||||||||
|
|
|
|||||||||
| Total Vietnam | 237,002 | |||||||||
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS (COST $0) |
237,002 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.2% | ||||||||||
| Money Market Funds — 0.2% | ||||||||||
| 568,350 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (h) | 568,350 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $568,350) |
568,350 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 99.1% (Cost $790,065,931) |
396,375,243 | |||||||||
| Other Assets and Liabilities (net) — 0.9% | 3,725,132 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $ | 400,100,375 | ||||||||
|
|
|
|||||||||
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2024 (Unaudited)
Additional information on each restricted security is as follows:
| Issuer Description |
Acquisition Date | Acquisition Cost |
Value as a Percentage of Fund’s Net Assets |
Value as of May 31, 2024 |
||||||||
| Alrosa PJSC | 09/14/17 | $ | 46,779,239 | 0.1% | $ | 262,059 | ||||||
| Magnitogorsk Iron & Steel Works PJSC | 02/13/18 | 14,388,116 | 0.0% | 106,445 | ||||||||
| Mechel PJSC | 11/12/21 | 883,911 | 0.0% | 11,318 | ||||||||
| PhosAgro PJSC GDR | 02/09/22 | 5,151 | 0.0% | 50 | ||||||||
| Polyus PJSC | 07/23/20 | 17,665,998 | 0.0% | 108,163 | ||||||||
| Sberbank of Russia PJSC | 11/10/17 | 51,393,929 | 0.1% | 453,594 | ||||||||
| Severstal PAO GDR (Registered) | 10/12/17 | 13,249,420 | 0.0% | 138,956 | ||||||||
|
|
|
|||||||||||
| $ | 1,080,585 | |||||||||||
|
|
|
|||||||||||
A summary of outstanding financial instruments at May 31, 2024 is as follows:
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Buys | ||||||||||||||
| 515 | Mini MSCI Emerging Markets | June 2024 | $27,204,875 | $ | 296,211 | |||||||||
|
|
|
|
|
|||||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
As of May 31, 2024, 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. |
| (h) | The rate disclosed is the 7 day net yield as of May 31, 2024. |
The rates shown on variable rate notes are the current interest rates at May 31, 2024, which are subject to change based on the terms of the security.
Portfolio Abbreviations:
ADR - American Depositary Receipt
Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.
GDR - Global Depositary Receipt
JSC - Joint-Stock Company
NVDR - Non-Voting Depositary Receipt
PJSC - Private Joint-Stock Company
QSC - Qatari Shareholding Company
SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 99.3% |
| |||||||||
| Australia — 3.0% | ||||||||||
| 102,270 | BHP Group Ltd. | 3,043,794 | ||||||||
| 131,246 | BlueScope Steel Ltd. | 1,852,129 | ||||||||
| 933,856 | Brambles Ltd. | 8,876,805 | ||||||||
| 387,997 | Fortescue Ltd. | 6,411,711 | ||||||||
| 173,489 | GrainCorp Ltd. – Class A | 964,229 | ||||||||
| 7,287 | QBE Insurance Group Ltd. | 86,636 | ||||||||
| 89,631 | Rio Tinto Ltd. | 7,709,562 | ||||||||
| 19,554 | Suncorp Group Ltd. | 207,688 | ||||||||
| 154,801 | Super Retail Group Ltd. | 1,357,733 | ||||||||
|
|
|
|||||||||
| Total Australia | 30,510,287 | |||||||||
|
|
|
|||||||||
| Austria — 0.8% | ||||||||||
| 128,927 | Erste Group Bank AG | 6,335,496 | ||||||||
| 17,976 | OMV AG | 908,479 | ||||||||
| 25,828 | Raiffeisen Bank International AG | 477,688 | ||||||||
|
|
|
|||||||||
| Total Austria | 7,721,663 | |||||||||
|
|
|
|||||||||
| Belgium — 2.1% | ||||||||||
| 198,540 | Ageas SA | 9,904,704 | ||||||||
| 28,823 | Bekaert SA | 1,358,372 | ||||||||
| 54,590 | Groupe Bruxelles Lambert NV | 4,186,334 | ||||||||
| 7,420 | KBC Group NV | 541,887 | ||||||||
| 18,036 | Melexis NV | 1,637,604 | ||||||||
| 29,381 | Proximus SADP | 231,632 | ||||||||
| 30,543 | Syensqo SA | 3,056,842 | ||||||||
|
|
|
|||||||||
| Total Belgium | 20,917,375 | |||||||||
|
|
|
|||||||||
| Denmark — 0.0% | ||||||||||
| 1,474 | Schouw & Co. AS | 122,897 | ||||||||
|
|
|
|||||||||
| Finland — 0.4% | ||||||||||
| 895,447 | Nokia OYJ | 3,502,449 | ||||||||
|
|
|
|||||||||
| France — 13.8% | ||||||||||
| 353,808 | AXA SA | 12,774,741 | ||||||||
| 279,995 | Cie de Saint-Gobain SA | 24,721,113 | ||||||||
| 210,647 | Cie Generale des Etablissements Michelin SCA | 8,542,796 | ||||||||
| 105,579 | Coface SA | 1,625,742 | ||||||||
| 179,319 | Credit Agricole SA | 2,917,678 | ||||||||
| 100,483 | Derichebourg SA | 572,817 | ||||||||
| 13,507 | Eurazeo SE | 1,140,133 | ||||||||
| 11,003 | Ipsen SA | 1,443,432 | ||||||||
| 25,959 | IPSOS SA | 1,893,529 | ||||||||
| 34,139 | Metropole Television SA | 519,905 | ||||||||
| 118,958 | Publicis Groupe SA | 13,361,930 | ||||||||
| 191,479 | Sanofi SA | 18,746,167 | ||||||||
| 14,681 | Societe BIC SA * | 1,098,503 | ||||||||
| 477,437 | STMicroelectronics NV – NY Shares | 20,038,031 | ||||||||
| 110,657 | Television Francaise 1 SA | 1,089,695 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| France — continued | ||||||||||
| 14,666 | TotalEnergies SE (a) | 1,077,662 | ||||||||
| 358,414 | TotalEnergies SE (a) | 26,259,002 | ||||||||
|
|
|
|||||||||
| Total France | 137,822,876 | |||||||||
|
|
|
|||||||||
| Germany — 4.6% | ||||||||||
| 8,544 | Allianz SE (Registered) | 2,501,151 | ||||||||
| 295,624 | Deutsche Bank AG (Registered) | 4,919,319 | ||||||||
| 22,632 | Heidelberg Materials AG | 2,373,494 | ||||||||
| 2,953 | Hornbach Holding AG & Co. KGaA | 248,968 | ||||||||
| 5,326 | Indus Holding AG | 156,383 | ||||||||
| 40,876 | Kloeckner & Co. SE | 271,567 | ||||||||
| 61,791 | Mercedes-Benz Group AG | 4,484,621 | ||||||||
| 120,151 | ProSiebenSat.1 Media SE | 998,761 | ||||||||
| 15,233 | RTL Group SA | 510,520 | ||||||||
| 33,105 | Salzgitter AG | 823,279 | ||||||||
| 6,544 | SAP SE | 1,193,353 | ||||||||
| 116,115 | Siemens AG (Registered) | 22,380,126 | ||||||||
| 67,130 | Talanx AG | 5,354,729 | ||||||||
|
|
|
|||||||||
| Total Germany | 46,216,271 | |||||||||
|
|
|
|||||||||
| Hong Kong — 1.2% | ||||||||||
| 282,500 | ASMPT Ltd. | 3,378,431 | ||||||||
| 277,000 | CK Hutchison Holdings Ltd. | 1,352,614 | ||||||||
| 202,800 | Dah Sing Banking Group Ltd. | 175,789 | ||||||||
| 26,869 | Dah Sing Financial Holdings Ltd. | 79,074 | ||||||||
| 1,107,707 | Esprit Holdings Ltd. * | 31,735 | ||||||||
| 5,917 | Hong Kong Resources Holdings Co. Ltd. * | 448 | ||||||||
| 1,045,585 | IGG, Inc. * | 410,247 | ||||||||
| 122,901 | Johnson Electric Holdings Ltd. | 188,182 | ||||||||
| 215,640 | Kerry Logistics Network Ltd. | 247,763 | ||||||||
| 144,326 | Luk Fook Holdings International Ltd. | 354,329 | ||||||||
| 1,009,331 | Pacific Textiles Holdings Ltd. | 195,118 | ||||||||
| 383,023 | Shun Tak Holdings Ltd. * | 36,915 | ||||||||
| 287,500 | Swire Pacific Ltd. – Class A | 2,502,588 | ||||||||
| 57,000 | Techtronic Industries Co. Ltd. | 701,200 | ||||||||
| 277,488 | Television Broadcasts Ltd. * | 126,180 | ||||||||
| 730,000 | VSTECS Holdings Ltd. | 429,869 | ||||||||
| 72,700 | VTech Holdings Ltd. | 521,301 | ||||||||
| 1,753,515 | WH Group Ltd. | 1,194,943 | ||||||||
|
|
|
|||||||||
| Total Hong Kong | 11,926,726 | |||||||||
|
|
|
|||||||||
| Ireland — 0.5% | ||||||||||
| 47,492 | Kingspan Group PLC | 4,575,283 | ||||||||
|
|
|
|||||||||
| Italy — 6.5% | ||||||||||
| 67,555 | Anima Holding SpA | 361,032 | ||||||||
| 251,107 | Assicurazioni Generali SpA | 6,463,138 | ||||||||
| 55,598 | Banca IFIS SpA | 1,224,333 | ||||||||
| 307,486 | BPER Banca SpA | 1,654,805 | ||||||||
| 502,935 | Eni SpA | 7,943,542 | ||||||||
| 66,604 | Esprinet SpA * | 359,032 | ||||||||
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Italy — continued | ||||||||||
| 1,347,883 | Intesa Sanpaolo SpA | 5,309,624 | ||||||||
| 253,051 | MFE-MediaForEurope NV – Class A | 868,966 | ||||||||
| 2,362 | Sesa SpA | 273,855 | ||||||||
| 889,210 | Stellantis NV | 19,701,362 | ||||||||
| 346,137 | UniCredit SpA | 13,780,618 | ||||||||
| 19,898 | Unieuro SpA (b) | 208,648 | ||||||||
| 664,946 | Unipol Gruppo SpA | 6,855,072 | ||||||||
|
|
|
|||||||||
| Total Italy | 65,004,027 | |||||||||
|
|
|
|||||||||
| Japan — 26.2% | ||||||||||
| 56,020 | AOKI Holdings, Inc. | 452,669 | ||||||||
| 55,800 | Bridgestone Corp. | 2,445,795 | ||||||||
| 207,996 | Brother Industries Ltd. | 4,003,197 | ||||||||
| 13,800 | Canon Marketing Japan, Inc. | 390,382 | ||||||||
| 251,700 | Canon, Inc. | 7,325,003 | ||||||||
| 92,300 | Credit Saison Co. Ltd. | 2,000,990 | ||||||||
| 102,000 | Daido Steel Co. Ltd. | 1,030,635 | ||||||||
| 66,290 | Daiwabo Holdings Co. Ltd. | 1,172,765 | ||||||||
| 880,200 | ENEOS Holdings, Inc. | 4,550,845 | ||||||||
| 233,400 | FUJIFILM Holdings Corp. | 5,329,866 | ||||||||
| 9,706 | Fuyo General Lease Co. Ltd. | 769,878 | ||||||||
| 17,453 | Gunze Ltd. | 596,340 | ||||||||
| 33,400 | Hitachi Ltd. | 3,439,788 | ||||||||
| 88,900 | Honda Motor Co. Ltd. | 1,006,678 | ||||||||
| 279,675 | Honda Motor Co. Ltd. Sponsored ADR | 9,486,576 | ||||||||
| 27,800 | Horiba Ltd. | 2,197,774 | ||||||||
| 171,600 | Inpex Corp. | 2,647,746 | ||||||||
| 491,654 | ITOCHU Corp. | 23,209,313 | ||||||||
| 757,504 | Japan Tobacco, Inc. | 21,492,444 | ||||||||
| 26,000 | Kaga Electronics Co. Ltd. | 949,945 | ||||||||
| 62,044 | Kanematsu Corp. | 1,064,476 | ||||||||
| 131,996 | KDDI Corp. | 3,637,119 | ||||||||
| 62,500 | Komatsu Ltd. | 1,836,938 | ||||||||
| 29,293 | Komeri Co. Ltd. | 696,628 | ||||||||
| 49,157 | MCJ Co. Ltd. | 430,409 | ||||||||
| 487,100 | Mitsubishi Corp. | 10,280,924 | ||||||||
| 40,000 | Mitsubishi Electric Corp. | 695,094 | ||||||||
| 1,892,300 | Mitsubishi UFJ Financial Group, Inc. | 20,099,384 | ||||||||
| 278,538 | Mitsui & Co. Ltd. | 14,181,538 | ||||||||
| 39,684 | Modec, Inc. (b) | 681,242 | ||||||||
| 209,900 | NEC Corp. | 15,624,489 | ||||||||
| 49,426 | Nichias Corp. | 1,498,777 | ||||||||
| 328,500 | ORIX Corp. | 7,163,938 | ||||||||
| 82,100 | Otsuka Holdings Co. Ltd. | 3,389,535 | ||||||||
| 947,900 | Panasonic Holdings Corp. | 8,372,647 | ||||||||
| 82,324 | Press Kogyo Co. Ltd. | 354,383 | ||||||||
| 37,219 | Prima Meat Packers Ltd. | 560,915 | ||||||||
| 5,983 | San-A Co. Ltd. | 183,543 | ||||||||
| 64,400 | Sanwa Holdings Corp. | 1,198,894 | ||||||||
| 22,500 | SCREEN Holdings Co. Ltd. | 2,152,240 | ||||||||
| 254,100 | Seiko Epson Corp. | 4,105,715 | ||||||||
| 50,795 | Seiko Group Corp. | 1,481,355 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| 347,112 | Sekisui Chemical Co. Ltd. | 4,981,989 | ||||||||
| 647,700 | Sekisui House Ltd. | 14,584,630 | ||||||||
| 90,300 | Subaru Corp. | 2,018,628 | ||||||||
| 381,700 | Sumitomo Forestry Co. Ltd. | 13,216,019 | ||||||||
| 20,638 | T-Gaia Corp. | 255,608 | ||||||||
| 7,100 | Tokyo Electron Ltd. | 1,507,746 | ||||||||
| 61,000 | Tokyo Gas Co. Ltd. | 1,370,145 | ||||||||
| 101,975 | Tokyu Construction Co. Ltd. | 499,908 | ||||||||
| 12,428 | Towa Pharmaceutical Co. Ltd. | 228,680 | ||||||||
| 231,055 | Toyota Tsusho Corp. | 14,110,286 | ||||||||
| 24,269 | TPR Co. Ltd. | 365,899 | ||||||||
| 24,369 | Valor Holdings Co. Ltd. | 378,845 | ||||||||
| 20,256 | Warabeya Nichiyo Holdings Co. Ltd. | 304,749 | ||||||||
| 1,488,300 | Yamaha Motor Co. Ltd. | 14,573,026 | ||||||||
|
|
|
|||||||||
| Total Japan | 262,584,970 | |||||||||
|
|
|
|||||||||
| Netherlands — 7.0% | ||||||||||
| 879 | ASM International NV | 618,561 | ||||||||
| 3,632 | ASML Holding NV | 3,474,989 | ||||||||
| 99,907 | EXOR NV | 11,219,617 | ||||||||
| 511,951 | Koninklijke Ahold Delhaize NV | 15,877,146 | ||||||||
| 368,056 | Koninklijke Philips NV * | 10,053,395 | ||||||||
| 91,598 | NN Group NV | 4,273,879 | ||||||||
| 162,561 | Randstad NV | 8,591,644 | ||||||||
| 98,763 | Wolters Kluwer NV | 15,751,645 | ||||||||
|
|
|
|||||||||
| Total Netherlands | 69,860,876 | |||||||||
|
|
|
|||||||||
| Norway — 2.5% | ||||||||||
| 466,370 | Elkem ASA * | 974,660 | ||||||||
| 768,072 | Equinor ASA | 22,295,386 | ||||||||
| 35,331 | Europris ASA | 236,527 | ||||||||
| 102,693 | Hoegh Autoliners ASA | 1,225,943 | ||||||||
| 38,577 | Wallenius Wilhelmsen ASA | 412,108 | ||||||||
|
|
|
|||||||||
| Total Norway | 25,144,624 | |||||||||
|
|
|
|||||||||
| Portugal — 0.2% | ||||||||||
| 30,571 | CTT-Correios de Portugal SA | 145,992 | ||||||||
| 253,973 | Navigator Co. SA * | 1,110,657 | ||||||||
| 156,820 | REN – Redes Energeticas Nacionais SGPS SA | 392,002 | ||||||||
| 757,857 | Sonae SGPS SA | 782,309 | ||||||||
|
|
|
|||||||||
| Total Portugal | 2,430,960 | |||||||||
|
|
|
|||||||||
| Singapore — 2.7% | ||||||||||
| 730,000 | ComfortDelGro Corp. Ltd. | 752,592 | ||||||||
| 426,300 | First Resources Ltd. | 445,057 | ||||||||
| 584,500 | Keppel Ltd. | 2,914,220 | ||||||||
| 741,900 | Oversea-Chinese Banking Corp. Ltd. | 7,984,393 | ||||||||
| 428,300 | Sheng Siong Group Ltd. | 472,706 | ||||||||
| 185,500 | United Overseas Bank Ltd. | 4,229,781 | ||||||||
| 87,700 | Venture Corp. Ltd. | 912,550 | ||||||||
| 882,722 | Yangzijiang Financial Holding Ltd. | 212,619 | ||||||||
| 5,308,922 | Yangzijiang Shipbuilding Holdings Ltd. | 8,982,687 | ||||||||
|
|
|
|||||||||
| Total Singapore | 26,906,605 | |||||||||
|
|
|
|||||||||
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Spain — 6.6% |
||||||||||
| 2,439,871 | Banco Bilbao Vizcaya Argentaria SA | 26,475,906 | ||||||||
| 11,374,226 | Banco de Sabadell SA | 24,025,672 | ||||||||
| 164,048 | Banco Santander SA | 865,147 | ||||||||
| 271,627 | CaixaBank SA | 1,555,626 | ||||||||
| 277,058 | Industria de Diseno Textil SA | 13,174,539 | ||||||||
|
|
|
|||||||||
| Total Spain | 66,096,890 | |||||||||
|
|
|
|||||||||
| Sweden — 3.5% | ||||||||||
| 134,654 | Betsson AB * (a) | 48,013 | ||||||||
| 134,654 | Betsson AB (a) | 1,544,199 | ||||||||
| 65,963 | Investor AB – A Shares | 1,776,883 | ||||||||
| 412,512 | Investor AB – B Shares | 11,193,661 | ||||||||
| 20,698 | SSAB AB – A Shares | 120,604 | ||||||||
| 12,582 | Volvo AB – A Shares | 341,935 | ||||||||
| 729,359 | Volvo AB – B Shares | 19,630,617 | ||||||||
|
|
|
|||||||||
| Total Sweden | 34,655,912 | |||||||||
|
|
|
|||||||||
| Switzerland — 5.9% | ||||||||||
| 62,086 | Adecco Group AG (Registered) | 2,356,214 | ||||||||
| 36,168 | Ascom Holding AG (Registered) (b) | 327,099 | ||||||||
| 209 | Forbo Holding AG (Registered) | 255,192 | ||||||||
| 31,657 | Logitech International SA (Registered) (a) | 3,166,017 | ||||||||
| 190,758 | Logitech International SA (Registered) (a) | 19,092,846 | ||||||||
| 119,112 | Roche Holding AG – Genusschein | 30,411,290 | ||||||||
| 57,953 | Sandoz Group AG ADR (b) | 2,056,752 | ||||||||
| 10,851 | u-blox Holding AG | 1,154,488 | ||||||||
| 3,995 | Zehnder Group AG – Class RG | 268,658 | ||||||||
|
|
|
|||||||||
| Total Switzerland | 59,088,556 | |||||||||
|
|
|
|||||||||
| United Kingdom — 11.8% | ||||||||||
| 727,505 | 3i Group PLC | 26,806,333 | ||||||||
| 212,374 | BAE Systems PLC | 3,781,535 | ||||||||
| 1,605,824 | Barratt Developments PLC | 10,412,889 | ||||||||
| 121,982 | Bellway PLC | 4,200,258 | ||||||||
| 11,667 | Berkeley Group Holdings PLC | 787,295 | ||||||||
| 29,019 | British American Tobacco PLC | 897,408 | ||||||||
| 1,877,091 | BT Group PLC | 3,142,692 | ||||||||
| 185,651 | Coca-Cola HBC AG | 6,300,122 | ||||||||
| 83,864 | Crest Nicholson Holdings PLC | 255,727 | ||||||||
| 26,184 | CRH PLC | 2,140,804 | ||||||||
| 488,845 | Ferrexpo PLC * | 260,530 | ||||||||
| 50,364 | Galliford Try Holdings PLC | 172,005 | ||||||||
| 345,636 | GSK PLC | 7,755,384 | ||||||||
| 398,417 | GSK PLC Sponsored ADR | 17,837,129 | ||||||||
| 103,137 | Halfords Group PLC | 203,471 | ||||||||
| 76,115 | Investec PLC | 509,325 | ||||||||
| 990,273 | J Sainsbury PLC | 3,510,957 | ||||||||
| 71,714 | MONY Group PLC | 207,626 | ||||||||
| 85,602 | Next PLC | 10,252,549 | ||||||||
| 59,045 | Persimmon PLC | 1,103,093 | ||||||||
| 209,285 | Redrow PLC | 1,911,105 | ||||||||
| 73,821 | RELX PLC | 3,238,519 | ||||||||
| 15,204 | Rio Tinto PLC Sponsored ADR | 1,065,800 | ||||||||
| Shares / Par Value† |
Description | Value ($) | ||||||||
| United Kingdom — continued | ||||||||||
| 984,229 | Taylor Wimpey PLC | 1,863,352 | ||||||||
| 105,543 | Tesco PLC | 419,839 | ||||||||
| 109,244 | Vesuvius PLC | 682,789 | ||||||||
| 872,051 | Vodafone Group PLC Sponsored ADR | 8,389,131 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 118,107,667 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $884,818,494) |
993,196,914 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (c) — 0.3% | ||||||||||
| Germany — 0.3% | ||||||||||
| 25,194 | Bayerische Motoren Werke AG | 2,435,636 | ||||||||
| 4,226 | Draegerwerk AG & Co. KGaA | 231,303 | ||||||||
|
|
|
|||||||||
| Total Germany | 2,666,939 | |||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $2,557,622) |
2,666,939 | |||||||||
|
|
|
|||||||||
| DEBT OBLIGATIONS — 0.2% | ||||||||||
| United States — 0.2% | ||||||||||
| 2,000,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 5.48%, due 04/30/26 (d) | 2,000,928 | ||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $2,000,453) |
2,000,928 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 6.6% | ||||||||||
| United States — 6.6% | ||||||||||
| Affiliated Issuers — 6.6% | ||||||||||
| 13,259,347 | GMO U.S. Treasury Fund | 66,296,735 | ||||||||
|
|
|
|||||||||
| Total United States | 66,296,735 | |||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $66,296,735) |
66,296,735 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
| Money Market Funds — 0.1% | ||||||||||
| 1,449,710 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (e) | 1,449,710 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $1,449,710) |
1,449,710 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 106.5% (Cost $957,123,014) |
1,065,611,226 | |||||||||
| Other Assets and Liabilities (net) — (6.5)% | (65,186,234 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $1,000,424,992 | |||||||||
|
|
|
|||||||||
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2024 (Unaudited)
A summary of outstanding financial instruments at May 31, 2024 is as follows:
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Buys | ||||||||||||||
| 61 | MSCI EAFE | June 2024 | $ | 7,229,110 | $ | 111,705 | ||||||||
|
|
|
|
|
|||||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
As of May 31, 2024, 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) | All or a portion of this security is out on loan. |
| (c) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
| (d) | 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. |
| (e) | The rate disclosed is the 7 day net yield as of May 31, 2024. |
The rates shown on variable rate notes are the current interest rates at May 31, 2024, which are subject to change based on the terms of the security.
Portfolio Abbreviations:
ADR - American Depositary Receipt
GMO International Opportunistic Value Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 98.6% |
| |||||||||
| Australia — 4.0% | ||||||||||
| 398,600 | BHP Group Ltd. | 11,863,267 | ||||||||
| 157,112 | BlueScope Steel Ltd. | 2,217,147 | ||||||||
| 57,108 | Fortescue Ltd. | 943,718 | ||||||||
| 7,445 | Rio Tinto Ltd. | 640,378 | ||||||||
| 25,862 | Westpac Banking Corp. | 449,106 | ||||||||
|
|
|
|||||||||
| Total Australia | 16,113,616 | |||||||||
|
|
|
|||||||||
| Austria — 1.1% | ||||||||||
| 61,506 | OMV AG | 3,108,417 | ||||||||
| 64,703 | Raiffeisen Bank International AG | 1,196,679 | ||||||||
|
|
|
|||||||||
| Total Austria | 4,305,096 | |||||||||
|
|
|
|||||||||
| Belgium — 1.4% | ||||||||||
| 52,746 | Ageas SA | 2,631,377 | ||||||||
| 16,159 | Groupe Bruxelles Lambert NV | 1,239,182 | ||||||||
| 15,023 | KBC Group NV | 1,097,139 | ||||||||
| 8,249 | Proximus SADP | 65,033 | ||||||||
| 4,187 | UCB SA | 587,313 | ||||||||
|
|
|
|||||||||
| Total Belgium | 5,620,044 | |||||||||
|
|
|
|||||||||
| Canada — 12.3% | ||||||||||
| 140,300 | B2Gold Corp. (a) | 395,284 | ||||||||
| 249,771 | B2Gold Corp. (a) | 699,359 | ||||||||
| 38,900 | Bank of Nova Scotia (a) | 1,841,467 | ||||||||
| 97,901 | Bank of Nova Scotia (a) | 4,633,654 | ||||||||
| 15,300 | Canadian Imperial Bank of Commerce (a) | 758,629 | ||||||||
| 81,492 | Canadian Imperial Bank of Commerce (a) | 4,037,114 | ||||||||
| 9,900 | Canadian Tire Corp. Ltd. – Class A | 988,148 | ||||||||
| 20,600 | Canadian Western Bank | 382,845 | ||||||||
| 9,600 | CI Financial Corp. | 103,047 | ||||||||
| 20,400 | Empire Co. Ltd. – Class A | 483,302 | ||||||||
| 13,700 | Enerplus Corp. (b) | 278,533 | ||||||||
| 36,600 | Great-West Lifeco, Inc. (b) | 1,097,772 | ||||||||
| 27,700 | iA Financial Corp., Inc. | 1,803,513 | ||||||||
| 4,700 | Imperial Oil Ltd. (b) | 332,081 | ||||||||
| 8,970 | Magna International, Inc. (a) (b) | 405,534 | ||||||||
| 25,100 | Magna International, Inc. (a) | 1,135,527 | ||||||||
| 81,174 | Manulife Financial Corp. (a) (b) | 2,107,277 | ||||||||
| 163,800 | Manulife Financial Corp. (a) | 4,254,389 | ||||||||
| 19,500 | Nutrien Ltd. (a) | 1,142,895 | ||||||||
| 57,200 | Nutrien Ltd. (a) | 3,351,967 | ||||||||
| 85,600 | Parex Resources, Inc. | 1,404,947 | ||||||||
| 111,500 | Power Corp. of Canada | 3,237,136 | ||||||||
| 9,700 | Russel Metals, Inc. | 260,266 | ||||||||
| 8,600 | Sun Life Financial, Inc. (a) (b) | 431,025 | ||||||||
| 67,772 | Sun Life Financial, Inc. (a) | 3,397,410 | ||||||||
| 169,500 | Toronto-Dominion Bank | 9,476,430 | ||||||||
| 13,800 | West Fraser Timber Co. Ltd. | 1,103,939 | ||||||||
|
|
|
|||||||||
| Total Canada | 49,543,490 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Denmark — 1.1% | ||||||||||
| 861 | AP Moller - Maersk AS – Class A | 1,510,861 | ||||||||
| 1,116 | AP Moller - Maersk AS – Class B | 2,029,089 | ||||||||
| 51,720 | H Lundbeck AS | 284,146 | ||||||||
| 2,061 | Pandora AS | 338,541 | ||||||||
| 3,954 | Svitzer AS * | 155,013 | ||||||||
|
|
|
|||||||||
| Total Denmark | 4,317,650 | |||||||||
|
|
|
|||||||||
| Finland — 1.5% | ||||||||||
| 935,847 | Nokia OYJ | 3,660,469 | ||||||||
| 166,184 | Outokumpu OYJ | 690,314 | ||||||||
| 40,108 | Stora Enso OYJ – R Shares | 587,556 | ||||||||
| 12,348 | TietoEVRY OYJ | 249,502 | ||||||||
| 36,531 | Valmet OYJ | 983,149 | ||||||||
|
|
|
|||||||||
| Total Finland | 6,170,990 | |||||||||
|
|
|
|||||||||
| France — 13.5% | ||||||||||
| 15,714 | APERAM SA | 453,252 | ||||||||
| 4,936 | Arkema SA | 505,821 | ||||||||
| 104,649 | BNP Paribas SA | 7,724,835 | ||||||||
| 80,145 | Carrefour SA | 1,306,965 | ||||||||
| 71,684 | Cie de Saint-Gobain SA | 6,329,071 | ||||||||
| 5,193 | Ipsen SA | 681,245 | ||||||||
| 282,259 | Orange SA | 3,295,843 | ||||||||
| 103,990 | Sanofi SA | 10,180,823 | ||||||||
| 119,187 | Societe Generale SA | 3,569,988 | ||||||||
| 31,807 | STMicroelectronics NV – NY Shares | 1,334,940 | ||||||||
| 2,533 | Teleperformance SE (b) | 289,755 | ||||||||
| 221,683 | TotalEnergies SE | 16,241,481 | ||||||||
| 27,190 | Valeo SE | 336,295 | ||||||||
| 184,657 | Vivendi SE | 2,033,444 | ||||||||
|
|
|
|||||||||
| Total France | 54,283,758 | |||||||||
|
|
|
|||||||||
| Germany — 4.1% | ||||||||||
| 13,809 | Bayerische Motoren Werke AG | 1,408,551 | ||||||||
| 41,682 | Daimler Truck Holding AG | 1,783,414 | ||||||||
| 218,542 | Deutsche Bank AG (Registered) | 3,636,639 | ||||||||
| 80,777 | Fresenius SE & Co. KGaA * | 2,577,294 | ||||||||
| 5,141 | Henkel AG & Co. KGaA | 411,948 | ||||||||
| 81,247 | Mercedes-Benz Group AG | 5,896,685 | ||||||||
| 74,475 | ProSiebenSat.1 Media SE | 619,077 | ||||||||
|
|
|
|||||||||
| Total Germany | 16,333,608 | |||||||||
|
|
|
|||||||||
| Hong Kong — 3.2% | ||||||||||
| 315,500 | BOC Hong Kong Holdings Ltd. | 991,741 | ||||||||
| 604,000 | CK Asset Holdings Ltd. | 2,392,344 | ||||||||
| 671,500 | CK Hutchison Holdings Ltd. | 3,278,991 | ||||||||
| 66,000 | Kerry Properties Ltd. | 119,354 | ||||||||
| 358,500 | Sun Hung Kai Properties Ltd. | 3,464,009 | ||||||||
| 109,500 | Swire Pacific Ltd. – Class A | 953,160 | ||||||||
| 125,200 | Swire Properties Ltd. | 230,278 | ||||||||
| 1,800 | VTech Holdings Ltd. | 12,907 | ||||||||
GMO International Opportunistic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Hong Kong — continued | ||||||||||
| 1,968,000 | WH Group Ltd. | 1,341,105 | ||||||||
|
|
|
|||||||||
| Total Hong Kong | 12,783,889 | |||||||||
|
|
|
|||||||||
| Italy — 4.5% | ||||||||||
| 112,803 | Banco BPM SpA | 813,871 | ||||||||
| 161,421 | BPER Banca SpA | 868,724 | ||||||||
| 166,670 | Eni SpA | 2,632,448 | ||||||||
| 143,801 | Intesa Sanpaolo SpA | 566,465 | ||||||||
| 109,436 | Leonardo SpA * | 2,814,905 | ||||||||
| 292,028 | Stellantis NV | 6,470,180 | ||||||||
| 47,195 | Tenaris SA ADR | 1,556,019 | ||||||||
| 246,093 | Unipol Gruppo SpA | 2,537,026 | ||||||||
|
|
|
|||||||||
| Total Italy | 18,259,638 | |||||||||
|
|
|
|||||||||
| Japan — 18.9% | ||||||||||
| 88,600 | Bridgestone Corp. | 3,883,467 | ||||||||
| 62,000 | Brother Industries Ltd. | 1,193,284 | ||||||||
| 29,500 | Chubu Electric Power Co., Inc. | 407,565 | ||||||||
| 18,800 | Credit Saison Co. Ltd. | 407,569 | ||||||||
| 121,300 | Daiwa House Industry Co. Ltd. | 3,227,386 | ||||||||
| 357,500 | ENEOS Holdings, Inc. | 1,848,361 | ||||||||
| 170,424 | Honda Motor Co. Ltd. Sponsored ADR | 5,780,782 | ||||||||
| 170,500 | Idemitsu Kosan Co. Ltd. | 1,167,512 | ||||||||
| 227,100 | Inpex Corp. | 3,504,098 | ||||||||
| 95,400 | Isuzu Motors Ltd. | 1,278,544 | ||||||||
| 110,300 | ITOCHU Corp. | 5,206,888 | ||||||||
| 141,500 | Japan Tobacco, Inc. | 4,014,739 | ||||||||
| 72,500 | KDDI Corp. | 1,997,721 | ||||||||
| 97,300 | Kirin Holdings Co. Ltd. | 1,343,707 | ||||||||
| 119,200 | Komatsu Ltd. | 3,503,409 | ||||||||
| 800 | Marubeni Corp. | 15,668 | ||||||||
| 5,600 | Mazda Motor Corp. | 59,039 | ||||||||
| 54,800 | Mitsubishi Electric Corp. | 952,278 | ||||||||
| 6,000 | Mitsubishi Gas Chemical Co., Inc. | 112,611 | ||||||||
| 207,600 | Mitsubishi UFJ Financial Group, Inc. | 2,205,058 | ||||||||
| 82,200 | Mitsui & Co. Ltd. | 4,185,147 | ||||||||
| 62,000 | Mitsui OSK Lines Ltd. | 2,043,668 | ||||||||
| 108,800 | Nippon Yusen KK | 3,449,518 | ||||||||
| 152,700 | Ono Pharmaceutical Co. Ltd. | 2,211,229 | ||||||||
| 155,100 | ORIX Corp. | 3,382,426 | ||||||||
| 79,100 | Otsuka Holdings Co. Ltd. | 3,265,679 | ||||||||
| 414,800 | Panasonic Holdings Corp. | 3,663,861 | ||||||||
| 12,200 | Sekisui House Ltd. | 274,714 | ||||||||
| 59,800 | Shionogi & Co. Ltd. | 2,694,175 | ||||||||
| 29,800 | Sojitz Corp. | 779,622 | ||||||||
| 50,700 | Sumitomo Forestry Co. Ltd. | 1,755,442 | ||||||||
| 7,100 | Sumitomo Heavy Industries Ltd. | 193,179 | ||||||||
| 25,000 | Takeda Pharmaceutical Co. Ltd. | 665,624 | ||||||||
| 41,700 | Tosoh Corp. | 529,158 | ||||||||
| 42,000 | Toyota Tsusho Corp. | 2,564,896 | ||||||||
| 248,100 | Yamaha Motor Co. Ltd. | 2,429,327 | ||||||||
|
|
|
|||||||||
| Total Japan | 76,197,351 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Netherlands — 5.9% | ||||||||||
| 36,646 | ASR Nederland NV | 1,773,607 | ||||||||
| 24,610 | EXOR NV | 2,763,718 | ||||||||
| 329,412 | ING Groep NV | 5,885,062 | ||||||||
| 131,577 | Koninklijke Ahold Delhaize NV | 4,080,600 | ||||||||
| 133,539 | Koninklijke Philips NV * | 3,647,598 | ||||||||
| 59,048 | NN Group NV | 2,755,126 | ||||||||
| 18,093 | Randstad NV | 956,248 | ||||||||
| 73,048 | Signify NV | 1,996,030 | ||||||||
|
|
|
|||||||||
| Total Netherlands | 23,857,989 | |||||||||
|
|
|
|||||||||
| Norway — 1.2% | ||||||||||
| 167,750 | Equinor ASA | 4,869,402 | ||||||||
|
|
|
|||||||||
| Portugal — 0.0% | ||||||||||
| 4,483 | Sonae SGPS SA | 4,628 | ||||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| 9,800 | Surgutneftegas PJSC (c) | 31 | ||||||||
|
|
|
|||||||||
| Singapore — 0.9% | ||||||||||
| 288,400 | Oversea-Chinese Banking Corp. Ltd. | 3,103,786 | ||||||||
| 22,200 | United Overseas Bank Ltd. | 506,206 | ||||||||
|
|
|
|||||||||
| Total Singapore | 3,609,992 | |||||||||
|
|
|
|||||||||
| Spain — 5.0% | ||||||||||
| 48,842 | Acerinox SA | 535,010 | ||||||||
| 539,814 | Banco Bilbao Vizcaya Argentaria SA | 5,857,713 | ||||||||
| 1,701,823 | Banco de Sabadell SA | 3,594,745 | ||||||||
| 1,298,111 | Banco Santander SA | 6,845,908 | ||||||||
| 200,168 | Repsol SA | 3,267,681 | ||||||||
|
|
|
|||||||||
| Total Spain | 20,101,057 | |||||||||
|
|
|
|||||||||
| Sweden — 1.4% | ||||||||||
| 10,418 | Swedbank AB – Class A | 216,917 | ||||||||
| 448,180 | Telefonaktiebolaget LM Ericsson – B Shares | 2,761,487 | ||||||||
| 5,033 | Volvo AB – A Shares | 136,779 | ||||||||
| 95,009 | Volvo AB – B Shares | 2,557,157 | ||||||||
|
|
|
|||||||||
| Total Sweden | 5,672,340 | |||||||||
|
|
|
|||||||||
| Switzerland — 7.1% | ||||||||||
| 49,018 | Adecco Group AG (Registered) | 1,860,273 | ||||||||
| 7,840 | Holcim AG | 688,743 | ||||||||
| 85,101 | Novartis AG Sponsored ADR | 8,776,466 | ||||||||
| 14,788 | Novartis AG (Registered) | 1,530,528 | ||||||||
| 3,267 | Roche Holding AG | 914,326 | ||||||||
| 48,297 | Roche Holding AG – Genusschein | 12,331,033 | ||||||||
| 13,024 | Sandoz Group AG ADR | 462,222 | ||||||||
| 2,009 | Swatch Group AG | 430,344 | ||||||||
| 2,825 | Swisscom AG (Registered) | 1,567,196 | ||||||||
|
|
|
|||||||||
| Total Switzerland | 28,561,131 | |||||||||
|
|
|
|||||||||
GMO International Opportunistic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| United Kingdom — 11.5% |
||||||||||
| 108,421 | 3i Group PLC | 3,994,982 | ||||||||
| 114,595 | abrdn PLC | 228,024 | ||||||||
| 2,031,903 | BT Group PLC | 3,401,884 | ||||||||
| 21,166 | Coca-Cola HBC AG | 718,274 | ||||||||
| 139,303 | GSK PLC Sponsored ADR | 6,236,595 | ||||||||
| 210,472 | HSBC Holdings PLC Sponsored ADR | 9,397,575 | ||||||||
| 1,093,396 | ITV PLC | 1,113,682 | ||||||||
| 381,882 | Kingfisher PLC | 1,292,827 | ||||||||
| 7,005,256 | Lloyds Banking Group PLC | 5,000,777 | ||||||||
| 696,992 | NatWest Group PLC | 2,819,540 | ||||||||
| 40,917 | Rio Tinto PLC Sponsored ADR | 2,868,282 | ||||||||
| 72,992 | Standard Chartered PLC | 727,044 | ||||||||
| 81,302 | Unilever PLC Sponsored ADR | 4,451,284 | ||||||||
| 411,345 | Vodafone Group PLC Sponsored ADR | 3,957,139 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 46,207,909 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $361,532,371) |
396,813,609 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (d) — 0.5% | ||||||||||
| Germany — 0.5% | ||||||||||
| 4,681 | Bayerische Motoren Werke AG | 452,537 | ||||||||
| 5,463 | Henkel AG & Co. KGaA | 494,568 | ||||||||
| 7,728 | Volkswagen AG | 971,109 | ||||||||
|
|
|
|||||||||
| Total Germany | 1,918,214 | |||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $1,863,596) |
1,918,214 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 2.4% | ||||||||||
| United States — 2.4% | ||||||||||
| Affiliated Issuers — 2.4% | ||||||||||
| 1,906,000 | GMO U.S. Treasury Fund | 9,530,001 | ||||||||
|
|
|
|||||||||
| Total United States | 9,530,001 | |||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $9,530,001) |
9,530,001 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.6% | ||||||||||
| Money Market Funds — 0.6% | ||||||||||
| 2,386,758 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (e) | 2,386,758 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $2,386,758) |
2,386,758 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 102.1% (Cost $375,312,726) |
410,648,582 | |||||||||
| Other Assets and Liabilities (net) — (2.1)% | (8,417,083 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $402,231,499 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (a) | Securities are traded on separate exchanges for the same entity. |
| (b) | All or a portion of this security is out on loan. |
| (c) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs. |
| (d) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
| (e) | The rate disclosed is the 7 day net yield as of May 31, 2024. |
Portfolio Abbreviations:
ADR - American Depositary Receipt
PJSC - Private Joint-Stock Company
GMO-Usonian Japan Value Creation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
|
|
COMMON STOCKS — 94.8% | |||||||||
| Automobiles & Components — 6.7% | ||||||||||
| 456,100 | Isuzu Motors Ltd. | 6,112,621 | ||||||||
| 294,500 | Stanley Electric Co. Ltd. | 5,417,917 | ||||||||
|
|
|
|||||||||
| Total Automobiles & Components | 11,530,538 | |||||||||
|
|
|
|||||||||
| Banks — 7.5% | ||||||||||
| 113,700 | Sumitomo Mitsui Financial Group, Inc. | 7,441,561 | ||||||||
| 235,000 | Sumitomo Mitsui Trust Holdings, Inc. | 5,463,644 | ||||||||
|
|
|
|||||||||
| Total Banks | 12,905,205 | |||||||||
|
|
|
|||||||||
| Capital Goods — 23.4% | ||||||||||
| 257,900 | EXEO Group, Inc. | 2,646,095 | ||||||||
| 313,000 | Fuji Corp. | 5,065,842 | ||||||||
| 209,000 | Fujikura Ltd. | 4,312,808 | ||||||||
| 362,100 | Kanematsu Corp. | 6,212,476 | ||||||||
| 57,000 | Kyudenko Corp. | 2,321,083 | ||||||||
| 445,200 | Mitsubishi Electric Corp. | 7,736,392 | ||||||||
| 934,000 | Penta-Ocean Construction Co. Ltd. | 3,761,725 | ||||||||
| 224,000 | THK Co. Ltd. | 4,343,849 | ||||||||
| 41,600 | Toyota Industries Corp. | 3,923,326 | ||||||||
|
|
|
|||||||||
| Total Capital Goods | 40,323,596 | |||||||||
|
|
|
|||||||||
| Consumer Durables & Apparel — 5.6% | ||||||||||
| 371,600 | Sega Sammy Holdings, Inc. | 5,248,807 | ||||||||
| 196,800 | Yamaha Corp. | 4,478,112 | ||||||||
|
|
|
|||||||||
| Total Consumer Durables & Apparel | 9,726,919 | |||||||||
|
|
|
|||||||||
| Financial Services — 5.4% | ||||||||||
| 262,400 | Credit Saison Co. Ltd. | 5,688,621 | ||||||||
| 98,700 | Zenkoku Hosho Co. Ltd. | 3,536,665 | ||||||||
|
|
|
|||||||||
| Total Financial Services | 9,225,286 | |||||||||
|
|
|
|||||||||
| Food, Beverage & Tobacco — 7.7% | ||||||||||
| 280,900 | Kirin Holdings Co. Ltd. | 3,879,212 | ||||||||
| 197,200 | Morinaga & Co. Ltd. | 3,154,043 | ||||||||
| 201,800 | NH Foods Ltd. | 6,194,352 | ||||||||
|
|
|
|||||||||
| Total Food, Beverage & Tobacco | 13,227,607 | |||||||||
|
|
|
|||||||||
| Health Care Equipment & Services — 3.9% | ||||||||||
| 425,500 | H.U. Group Holdings, Inc. | 6,799,097 | ||||||||
|
|
|
|||||||||
| Insurance — 6.3% | ||||||||||
| 158,700 | MS&AD Insurance Group Holdings, Inc. | 3,300,946 | ||||||||
| 422,100 | T&D Holdings, Inc. | 7,630,871 | ||||||||
|
|
|
|||||||||
| Total Insurance | 10,931,817 | |||||||||
|
|
|
|||||||||
| Materials — 7.6% | ||||||||||
| 325,400 | Denka Co. Ltd. | 4,597,365 | ||||||||
| 143,900 | Maruichi Steel Tube Ltd. | 3,433,577 | ||||||||
| 799,100 | Tokai Carbon Co. Ltd. | 5,081,434 | ||||||||
|
|
|
|||||||||
| Total Materials | 13,112,376 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Semiconductors & Semiconductor Equipment — 7.3% |
||||||||||
| 388,400 | Rohm Co. Ltd. | 5,034,240 | ||||||||
| 505,500 | SUMCO Corp. | 7,599,345 | ||||||||
|
|
|
|||||||||
| Total Semiconductors & Semiconductor Equipment | 12,633,585 | |||||||||
|
|
|
|||||||||
| Software & Services — 3.0% | ||||||||||
| 69,000 | NEC Corp. | 5,136,206 | ||||||||
|
|
|
|||||||||
| Technology Hardware & Equipment — 8.0% | ||||||||||
| 165,600 | Amano Corp. | 3,981,045 | ||||||||
| 253,800 | Daiwabo Holdings Co. Ltd. | 4,490,084 | ||||||||
| 234,500 | FUJIFILM Holdings Corp. | 5,354,985 | ||||||||
|
|
|
|||||||||
| Total Technology Hardware & Equipment | 13,826,114 | |||||||||
|
|
|
|||||||||
| Transportation — 2.4% | ||||||||||
| 116,100 | Sankyu, Inc. | 4,193,532 | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $159,352,811) |
163,571,878 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 3.8% | ||||||||||
| Money Market Funds — 3.8% | ||||||||||
| 6,580,191 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (a) |
6,580,191 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $6,580,191) |
6,580,191 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 98.6% (Cost $165,933,002) |
170,152,069 | |||||||||
| Other Assets and Liabilities (net) — 1.4% | 2,399,375 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $172,551,444 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| (a) | The rate disclosed is the 7 day net yield as of May 31, 2024. |
GMO Quality Cyclicals Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 98.7% | ||||||||||
| Brazil — 0.1% | ||||||||||
| 9,452 | Vale SA | 113,765 | ||||||||
|
|
|
|||||||||
| Canada — 4.8% | ||||||||||
| 9,808 | Brookfield Asset Management Ltd. – Class A | 384,866 | ||||||||
| 50,700 | Brookfield Corp. – Class A | 2,204,943 | ||||||||
| 19,696 | Nutrien Ltd. | 1,154,383 | ||||||||
|
|
|
|||||||||
| Total Canada | 3,744,192 | |||||||||
|
|
|
|||||||||
| Finland — 1.3% | ||||||||||
| 47,257 | Neste OYJ | 992,126 | ||||||||
|
|
|
|||||||||
| France — 5.9% | ||||||||||
| 1,925 | LVMH Moet Hennessy Louis Vuitton SE | 1,539,506 | ||||||||
| 13,063 | Safran SA | 3,059,422 | ||||||||
|
|
|
|||||||||
| Total France | 4,598,928 | |||||||||
|
|
|
|||||||||
| Germany — 2.6% | ||||||||||
| 12,816 | Beiersdorf AG | 2,009,253 | ||||||||
|
|
|
|||||||||
| Hong Kong — 1.1% | ||||||||||
| 181,619 | Galaxy Entertainment Group Ltd. | 875,076 | ||||||||
|
|
|
|||||||||
| Ireland — 3.1% | ||||||||||
| 19,745 | Ryanair Holdings PLC Sponsored ADR | 2,401,782 | ||||||||
|
|
|
|||||||||
| Mexico — 6.6% | ||||||||||
| 223,635 | Fomento Economico Mexicano SAB de CV | 2,561,986 | ||||||||
| 423,706 | Grupo Mexico SAB de CV – Series B | 2,614,183 | ||||||||
|
|
|
|||||||||
| Total Mexico | 5,176,169 | |||||||||
|
|
|
|||||||||
| Netherlands — 0.5% | ||||||||||
| 2,694 | IMCD NV | 411,118 | ||||||||
|
|
|
|||||||||
| Russia — 0.1% | ||||||||||
| 33,541 | LUKOIL PJSC (a) | 27,259 | ||||||||
| 72,920 | Novatek PJSC (a) | 8,727 | ||||||||
|
|
|
|||||||||
| Total Russia | 35,986 | |||||||||
|
|
|
|||||||||
| Spain — 6.5% | ||||||||||
| 32,900 | Amadeus IT Group SA | 2,348,481 | ||||||||
| 58,070 | Industria de Diseno Textil SA | 2,761,319 | ||||||||
|
|
|
|||||||||
| Total Spain | 5,109,800 | |||||||||
|
|
|
|||||||||
| United Kingdom — 10.7% | ||||||||||
| 27,162 | Berkeley Group Holdings PLC | 1,832,905 | ||||||||
| 95,034 | Compass Group PLC | 2,668,194 | ||||||||
| 43,537 | Howden Joinery Group PLC | 507,764 | ||||||||
| 64,324 | Persimmon PLC | 1,201,717 | ||||||||
| 60,286 | Shell PLC | 2,176,008 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 8,386,588 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| United States — 55.4% | ||||||||||
| 13,650 | Alphabet, Inc. – Class A * | 2,354,625 | ||||||||
| 12,958 | American Express Co. | 3,109,920 | ||||||||
| 775 | Booking Holdings, Inc. | 2,926,671 | ||||||||
| 45,837 | BorgWarner, Inc. | 1,634,547 | ||||||||
| 19,595 | CarMax, Inc. * | 1,376,745 | ||||||||
| 10,049 | Chevron Corp. | 1,630,953 | ||||||||
| 36,541 | Darling Ingredients, Inc. * | 1,476,256 | ||||||||
| 2,867 | Enphase Energy, Inc. * | 366,689 | ||||||||
| 18,236 | EOG Resources, Inc. | 2,271,294 | ||||||||
| 6,766 | General Electric Co. | 1,117,337 | ||||||||
| 20,943 | Green Plains, Inc. * | 359,591 | ||||||||
| 9,643 | Hilton Worldwide Holdings, Inc. | 1,934,386 | ||||||||
| 20,894 | Intercontinental Exchange, Inc. | 2,797,707 | ||||||||
| 2,416 | Lam Research Corp. | 2,252,775 | ||||||||
| 41,835 | Las Vegas Sands Corp. | 1,883,830 | ||||||||
| 1,378 | Markel Group, Inc. * | 2,262,111 | ||||||||
| 5,050 | Meta Platforms, Inc. – Class A | 2,357,492 | ||||||||
| 22,763 | Micron Technology, Inc. | 2,845,375 | ||||||||
| 14,655 | Otis Worldwide Corp. | 1,453,776 | ||||||||
| 11,232 | SolarEdge Technologies, Inc. * | 550,256 | ||||||||
| 10,003 | Texas Instruments, Inc. | 1,950,685 | ||||||||
| 38,739 | U.S. Bancorp | 1,570,867 | ||||||||
| 47,057 | Wells Fargo & Co. | 2,819,655 | ||||||||
|
|
|
|||||||||
| Total United States | 43,303,543 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $55,955,278) |
77,158,326 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (b) — 1.0% | ||||||||||
| Brazil — 1.0% | ||||||||||
| 220,997 | Bradespar SA | 808,079 | ||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $980,466) |
808,079 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 3.5% | ||||||||||
| United States — 3.5% | ||||||||||
| Affiliated Issuers — 3.5% | ||||||||||
| 550,206 | GMO U.S. Treasury Fund | 2,751,028 | ||||||||
|
|
|
|||||||||
| Total United States | 2,751,028 | |||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $2,751,027) |
2,751,028 | |||||||||
|
|
|
|||||||||
GMO Quality Cyclicals Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 1.1% |
| |||||||||
| Money Market Funds — 1.1% | ||||||||||
| 844,371 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (c) |
844,371 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $844,371) |
844,371 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 104.3% (Cost $60,531,142) |
81,561,804 | |||||||||
| Other Assets and Liabilities (net) — (4.3)% | (3,371,264 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $78,190,540 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (a) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs. |
| (b) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
| (c) | The rate disclosed is the 7 day net yield as of May 31, 2024. |
Portfolio Abbreviations:
ADR - American Depositary Receipt
PJSC - Private Joint-Stock Company
GMO Quality Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 96.8% | ||||||||||
| Banks — 4.1% | ||||||||||
| 4,633,534 | U.S. Bancorp | 187,889,804 | ||||||||
| 3,644,860 | Wells Fargo & Co. | 218,400,011 | ||||||||
|
|
|
|||||||||
| Total Banks | 406,289,815 | |||||||||
|
|
|
|||||||||
| Capital Goods — 6.3% | ||||||||||
| 543,215 | General Electric Co. | 89,706,525 | ||||||||
| 480,068 | Knorr-Bremse AG | 36,971,450 | ||||||||
| 1,892,810 | Otis Worldwide Corp. | 187,766,752 | ||||||||
| 1,300,979 | Safran SA | 304,696,033 | ||||||||
|
|
|
|||||||||
| Total Capital Goods | 619,140,760 | |||||||||
|
|
|
|||||||||
| Consumer Discretionary Distribution & Retail — 4.7% |
||||||||||
| 1,335,535 | Amazon.com, Inc. * | 235,641,796 | ||||||||
| 2,173,484 | TJX Cos., Inc. | 224,086,200 | ||||||||
|
|
|
|||||||||
| Total Consumer Discretionary Distribution & Retail | 459,727,996 | |||||||||
|
|
|
|||||||||
| Consumer Durables & Apparel — 1.4% | ||||||||||
| 166,536 | LVMH Moet Hennessy Louis Vuitton SE | 133,186,034 | ||||||||
|
|
|
|||||||||
| Consumer Services — 3.5% | ||||||||||
| 966,608 | Amadeus IT Group SA | 68,998,819 | ||||||||
| 8,055,112 | Compass Group PLC | 226,156,947 | ||||||||
| 248,995 | Hilton Worldwide Holdings, Inc. | 49,948,397 | ||||||||
|
|
|
|||||||||
| Total Consumer Services | 345,104,163 | |||||||||
|
|
|
|||||||||
| Financial Services — 3.0% | ||||||||||
| 434,683 | American Express Co. | 104,323,920 | ||||||||
| 689,184 | Visa, Inc. – Class A | 187,775,073 | ||||||||
|
|
|
|||||||||
| Total Financial Services | 292,098,993 | |||||||||
|
|
|
|||||||||
| Food, Beverage & Tobacco — 7.0% | ||||||||||
| 4,671,919 | Coca-Cola Co. | 294,003,863 | ||||||||
| 578,227 | Constellation Brands, Inc. – Class A | 144,689,742 | ||||||||
| 3,323,000 | Diageo PLC | 111,876,712 | ||||||||
| 1,321,898 | Nestle SA (Registered) | 140,314,318 | ||||||||
|
|
|
|||||||||
| Total Food, Beverage & Tobacco | 690,884,635 | |||||||||
|
|
|
|||||||||
| Health Care Equipment & Services — 14.1% | ||||||||||
| 2,281,398 | Abbott Laboratories | 233,136,062 | ||||||||
| 409,316 | Cigna Group | 141,058,480 | ||||||||
| 520,264 | Elevance Health, Inc. | 280,151,759 | ||||||||
| 574,963 | Intuitive Surgical, Inc. * | 231,204,121 | ||||||||
| 853,909 | Quest Diagnostics, Inc. | 121,229,461 | ||||||||
| 777,598 | UnitedHealth Group, Inc. | 385,198,721 | ||||||||
|
|
|
|||||||||
| Total Health Care Equipment & Services | 1,391,978,604 | |||||||||
|
|
|
|||||||||
| Household & Personal Products — 3.6% | ||||||||||
| 30,233,444 | Haleon PLC | 125,631,975 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Household & Personal Products — continued | ||||||||||
| 4,094,142 | Unilever PLC | 224,207,804 | ||||||||
|
|
|
|||||||||
| Total Household & Personal Products | 349,839,779 | |||||||||
|
|
|
|||||||||
| Media & Entertainment — 8.3% | ||||||||||
| 2,588,233 | Alphabet, Inc. – Class A * | 446,470,192 | ||||||||
| 788,878 | Meta Platforms, Inc. – Class A | 368,271,917 | ||||||||
|
|
|
|||||||||
| Total Media & Entertainment | 814,742,109 | |||||||||
|
|
|
|||||||||
| Pharmaceuticals, Biotechnology & Life Sciences — 9.8% |
||||||||||
| 250,142 | Eli Lilly & Co. | 205,201,488 | ||||||||
| 2,267,185 | Johnson & Johnson | 332,528,024 | ||||||||
| 1,872,600 | Merck & Co., Inc. | 235,086,204 | ||||||||
| 392,389 | Roche Holding AG – Genusschein | 100,183,488 | ||||||||
| 168,099 | Thermo Fisher Scientific, Inc. | 95,476,870 | ||||||||
|
|
|
|||||||||
| Total Pharmaceuticals, Biotechnology & Life Sciences | 968,476,074 | |||||||||
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment — 11.1% |
||||||||||
| 269,100 | KLA Corp. | 204,389,523 | ||||||||
| 299,112 | Lam Research Corp. | 278,903,993 | ||||||||
| 11,930,790 | Taiwan Semiconductor Manufacturing Co. Ltd. | 305,522,851 | ||||||||
| 1,587,001 | Texas Instruments, Inc. | 309,481,065 | ||||||||
|
|
|
|||||||||
| Total Semiconductors & Semiconductor Equipment | 1,098,297,432 | |||||||||
|
|
|
|||||||||
| Software & Services — 16.2% | ||||||||||
| 791,181 | Accenture PLC – Class A | 223,342,484 | ||||||||
| 1,502,991 | Microsoft Corp. | 623,936,654 | ||||||||
| 2,252,464 | Oracle Corp. | 263,966,256 | ||||||||
| 827,091 | Salesforce, Inc. | 193,903,214 | ||||||||
| 1,610,616 | SAP SE | 293,709,246 | ||||||||
|
|
|
|||||||||
| Total Software & Services | 1,598,857,854 | |||||||||
|
|
|
|||||||||
| Technology Hardware & Equipment — 3.7% | ||||||||||
| 1,904,569 | Apple, Inc. | 366,153,390 | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $5,001,793,164) |
9,534,777,638 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 3.1% | ||||||||||
| Affiliated Issuers — 3.1% | ||||||||||
| 60,413,811 | GMO U.S. Treasury Fund | 302,069,053 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $302,019,235) |
302,069,053 | |||||||||
|
|
|
|||||||||
GMO Quality Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 0.0% |
| |||||||||
| Money Market Funds — 0.0% | ||||||||||
| 1,428,818 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (a) | 1,428,818 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $1,428,818) |
1,428,818 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 99.9% (Cost $5,305,241,217) |
9,838,275,509 | |||||||||
| Other Assets and Liabilities (net) — 0.1% | 13,266,308 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $9,851,541,817 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (a) | The rate disclosed is the 7 day net yield as of May 31, 2024. |
GMO Resource Transition Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 90.8% | ||||||||||
| Argentina — 0.6% | ||||||||||
| 78,620 | Adecoagro SA | 773,621 | ||||||||
|
|
|
|||||||||
| Australia — 2.1% | ||||||||||
| 88,540 | BHP Group Ltd. | 2,635,157 | ||||||||
| 578,245 | Sunrise Energy Metals Ltd. * | 194,789 | ||||||||
|
|
|
|||||||||
| Total Australia | 2,829,946 | |||||||||
|
|
|
|||||||||
| Brazil — 5.4% | ||||||||||
| 230,500 | Sao Martinho SA | 1,191,371 | ||||||||
| 106,360 | SLC Agricola SA | 360,954 | ||||||||
| 73,000 | Suzano SA | 677,046 | ||||||||
| 410,300 | Vale SA | 4,938,384 | ||||||||
|
|
|
|||||||||
| Total Brazil | 7,167,755 | |||||||||
|
|
|
|||||||||
| Canada — 13.7% | ||||||||||
| 273,200 | Anaergia, Inc. * (a) | 60,134 | ||||||||
| 155,400 | First Quantum Minerals Ltd. | 1,996,444 | ||||||||
| 290,754 | Greenlane Renewables, Inc. * | 20,266 | ||||||||
| 686,500 | Ivanhoe Mines Ltd. – Class A* | 9,912,557 | ||||||||
| 531,300 | Largo, Inc. * (b) | 1,173,347 | ||||||||
| 171,500 | Li-Cycle Holdings Corp. * | 88,271 | ||||||||
| 307,400 | NexGen Energy Ltd. * | 2,395,237 | ||||||||
| 25,700 | Teck Resources Ltd. – Class B (c) | 1,337,685 | ||||||||
| 26,000 | Teck Resources Ltd. – Class B (c) | 1,352,317 | ||||||||
|
|
|
|||||||||
| Total Canada | 18,336,258 | |||||||||
|
|
|
|||||||||
| China — 1.9% | ||||||||||
| 305,700 | Henan Shenhuo Coal & Power Co. Ltd. – Class A | 975,854 | ||||||||
| 608,669 | Western Mining Co. Ltd. – Class A | 1,564,788 | ||||||||
|
|
|
|||||||||
| Total China | 2,540,642 | |||||||||
|
|
|
|||||||||
| Finland — 1.3% | ||||||||||
| 84,236 | Neste OYJ | 1,768,472 | ||||||||
|
|
|
|||||||||
| France — 2.7% | ||||||||||
| 7,254 | Eramet SA * | 837,580 | ||||||||
| 81,905 | Veolia Environnement SA | 2,741,920 | ||||||||
|
|
|
|||||||||
| Total France | 3,579,500 | |||||||||
|
|
|
|||||||||
| Italy — 0.8% | ||||||||||
| 61,074 | Tenaris SA | 1,009,086 | ||||||||
|
|
|
|||||||||
| Japan — 0.2% | ||||||||||
| 3,900 | Organo Corp. | 219,680 | ||||||||
|
|
|
|||||||||
| Mexico — 2.9% | ||||||||||
| 632,200 | Grupo Mexico SAB de CV – Series B | 3,900,551 | ||||||||
|
|
|
|||||||||
| Norway — 0.6% | ||||||||||
| 103,614 | Austevoll Seafood ASA | 845,524 | ||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| South Africa — 4.3% | ||||||||||
| 78,899 | African Rainbow Minerals Ltd. | 955,233 | ||||||||
| 665,575 | Impala Platinum Holdings Ltd. | 3,428,610 | ||||||||
| 1,109,977 | Sibanye Stillwater Ltd. | 1,400,955 | ||||||||
|
|
|
|||||||||
| Total South Africa | 5,784,798 | |||||||||
|
|
|
|||||||||
| Spain — 1.2% | ||||||||||
| 122,508 | Solaria Energia y Medio Ambiente SA * | 1,577,537 | ||||||||
|
|
|
|||||||||
| Sweden — 3.4% | ||||||||||
| 130,142 | Boliden AB | 4,561,893 | ||||||||
|
|
|
|||||||||
| United Kingdom — 9.3% | ||||||||||
| 1,639,598 | Glencore PLC | 10,105,983 | ||||||||
| 31,739 | Rio Tinto PLC | 2,234,342 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 12,340,325 | |||||||||
|
|
|
|||||||||
| United States — 40.4% | ||||||||||
| 6,000 | Advanced Drainage Systems, Inc. | 1,040,940 | ||||||||
| 67,919 | Aemetis, Inc. * | 234,320 | ||||||||
| 11,100 | AGCO Corp. | 1,191,363 | ||||||||
| 162,890 | Ameresco, Inc. – Class A * | 5,948,743 | ||||||||
| 472,274 | Arcadium Lithium PLC * | 2,092,174 | ||||||||
| 168,200 | Array Technologies, Inc. * | 2,385,076 | ||||||||
| 383,020 | Clean Energy Fuels Corp. * | 1,198,853 | ||||||||
| 41,700 | Corteva, Inc. | 2,332,698 | ||||||||
| 231,700 | Darling Ingredients, Inc. * | 9,360,680 | ||||||||
| 1,700 | Deere & Co. | 637,092 | ||||||||
| 18,300 | Enphase Energy, Inc. * | 2,340,570 | ||||||||
| 12,100 | First Solar, Inc. * | 3,288,296 | ||||||||
| 52,900 | Freeport-McMoRan, Inc. | 2,789,417 | ||||||||
| 484,566 | GrafTech International Ltd. * | 799,534 | ||||||||
| 198,200 | Green Plains, Inc. * | 3,403,094 | ||||||||
| 34,300 | Liberty Energy, Inc. | 846,867 | ||||||||
| 7,200 | NEXTracker, Inc. – Class A* | 397,224 | ||||||||
| 3,900 | Ormat Technologies, Inc. | 294,060 | ||||||||
| 31,100 | PotlatchDeltic Corp. – (REIT) | 1,328,903 | ||||||||
| 41,400 | ProPetro Holding Corp. * | 396,612 | ||||||||
| 79,800 | SolarEdge Technologies, Inc. * | 3,909,402 | ||||||||
| 452,837 | Sunrun, Inc. * | 6,548,023 | ||||||||
| 2,400 | Valmont Industries, Inc. | 603,360 | ||||||||
| 4,800 | Veralto Corp. | 473,184 | ||||||||
|
|
|
|||||||||
| Total United States | 53,840,485 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $160,373,150) |
121,076,073 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (d) — 7.6% | ||||||||||
| Brazil — 4.5% | ||||||||||
| 1,642,065 | Bradespar SA | 6,004,237 | ||||||||
|
|
|
|||||||||
GMO Resource Transition Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Chile — 3.1% | ||||||||||
| 87,300 | Sociedad Quimica y Minera de Chile SA Sponsored ADR | 4,076,910 | ||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $16,633,155) |
10,081,147 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 1.4% | ||||||||||
| United States — 1.4% | ||||||||||
| Affiliated Issuers — 1.4% | ||||||||||
| 374,690 | GMO U.S. Treasury Fund | 1,873,450 | ||||||||
|
|
|
|||||||||
| Total United States | 1,873,450 | |||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $1,873,450) |
1,873,450 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (a) | Investment valued using significant unobservable inputs. |
| (b) | All or a portion of this security is out on loan. |
| (c) | Securities are traded on separate exchanges for the same entity. |
| (d) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
| (e) | The rate disclosed is the 7 day net yield as of May 31, 2024. |
Portfolio Abbreviations:
ADR - American Depositary Receipt
REIT - Real Estate Investment Trust
| Shares |
Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 0.2% |
| |||||||||
| Money Market Funds — 0.2% | ||||||||||
| 258,764 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (e) | 258,764 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $258,764) |
258,764 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.0% (Cost $179,138,519) |
133,289,434 | |||||||||
| Other Assets and Liabilities (net) — 0.0% | 53,901 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $133,343,335 | |||||||||
|
|
|
|||||||||
GMO Resources Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 89.9% | ||||||||||
| Argentina — 1.4% | ||||||||||
| 806,669 | Adecoagro SA | 7,937,623 | ||||||||
| 996,900 | YPF SA Sponsored ADR * | 23,138,049 | ||||||||
|
|
|
|||||||||
| Total Argentina | 31,075,672 | |||||||||
|
|
|
|||||||||
| Australia — 1.9% | ||||||||||
| 4,203,960 | Beach Energy Ltd. (a) | 4,713,576 | ||||||||
| 991,373 | BHP Group Ltd. | 29,505,575 | ||||||||
| 735,000 | Clean TeQ Water Ltd. * | 139,239 | ||||||||
| 1,632,228 | Santos Ltd. | 8,293,528 | ||||||||
| 1,938,657 | Sunrise Energy Metals Ltd. * | 653,060 | ||||||||
|
|
|
|||||||||
| Total Australia | 43,304,978 | |||||||||
|
|
|
|||||||||
| Austria — 1.3% | ||||||||||
| 580,832 | OMV AG (a) | 29,354,345 | ||||||||
|
|
|
|||||||||
| Brazil — 3.7% | ||||||||||
| 1,229,400 | Enauta Participacoes SA * | 5,183,667 | ||||||||
| 356,500 | PRIO SA | 2,825,033 | ||||||||
| 2,330,928 | Sao Martinho SA | 12,047,723 | ||||||||
| 1,152,482 | SLC Agricola SA | 3,911,183 | ||||||||
| 715,000 | Suzano SA | 6,631,339 | ||||||||
| 4,500,768 | Vale SA | 54,171,387 | ||||||||
|
|
|
|||||||||
| Total Brazil | 84,770,332 | |||||||||
|
|
|
|||||||||
| Canada — 9.9% | ||||||||||
| 654,900 | Anaergia, Inc. * (b) | 144,151 | ||||||||
| 587,800 | ARC Resources Ltd. (a) | 11,122,464 | ||||||||
| 1,603,300 | First Quantum Minerals Ltd. | 20,597,808 | ||||||||
| 696,749 | Greenlane Renewables, Inc. * | 48,565 | ||||||||
| 7,086,700 | Ivanhoe Mines Ltd. – Class A * (a) | 102,326,759 | ||||||||
| 1,273,509 | Largo, Inc. * (a) | 2,812,474 | ||||||||
| 1,740,100 | Li-Cycle Holdings Corp. * (a) | 895,629 | ||||||||
| 409,165 | Logan Energy Corp. * | 258,177 | ||||||||
| 3,665,200 | NexGen Energy Ltd. * (a) | 28,558,952 | ||||||||
| 832,300 | Tamarack Valley Energy Ltd. (a) | 2,344,937 | ||||||||
| 263,200 | Teck Resources Ltd. – Class B (c) | 13,699,560 | ||||||||
| 263,400 | Teck Resources Ltd. – Class B (c) | 13,700,008 | ||||||||
| 92,200 | Tourmaline Oil Corp. (a) | 4,573,640 | ||||||||
| 662,200 | Veren, Inc. (a) | 5,767,762 | ||||||||
| 1,167,100 | Vermilion Energy, Inc. | 14,448,698 | ||||||||
| 726,000 | Whitecap Resources, Inc. (a) | 5,683,569 | ||||||||
|
|
|
|||||||||
| Total Canada | 226,983,153 | |||||||||
|
|
|
|||||||||
| China — 1.1% | ||||||||||
| 3,112,700 | Henan Shenhuo Coal & Power Co. Ltd. – Class A | 9,936,347 | ||||||||
| 6,237,345 | Western Mining Co. Ltd. – Class A | 16,035,183 | ||||||||
|
|
|
|||||||||
| Total China | 25,971,530 | |||||||||
|
|
|
|||||||||
| Finland — 0.8% | ||||||||||
| 933,407 | Neste OYJ | 19,596,189 | ||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| France — 1.6% | ||||||||||
| 74,981 | Eramet SA * (a) | 8,657,644 | ||||||||
| 845,154 | Veolia Environnement SA | 28,293,085 | ||||||||
|
|
|
|||||||||
| Total France | 36,950,729 | |||||||||
|
|
|
|||||||||
| Hong Kong — 0.3% | ||||||||||
| 93,302,000 | United Energy Group Ltd. (a) | 7,639,170 | ||||||||
|
|
|
|||||||||
| Hungary — 0.5% | ||||||||||
| 1,375,658 | MOL Hungarian Oil & Gas PLC | 10,700,529 | ||||||||
|
|
|
|||||||||
| Israel — 0.0% | ||||||||||
| 1 | Equital Ltd. * | 19 | ||||||||
|
|
|
|||||||||
| Italy — 2.1% | ||||||||||
| 2,348,801 | Eni SpA | 37,097,835 | ||||||||
| 682,149 | Tenaris SA | 11,270,703 | ||||||||
|
|
|
|||||||||
| Total Italy | 48,368,538 | |||||||||
|
|
|
|||||||||
| Japan — 0.2% | ||||||||||
| 52,900 | Japan Petroleum Exploration Co. Ltd. | 2,227,242 | ||||||||
| 45,400 | Organo Corp. | 2,557,301 | ||||||||
|
|
|
|||||||||
| Total Japan | 4,784,543 | |||||||||
|
|
|
|||||||||
| Mexico — 2.8% | ||||||||||
| 6,529,140 | Grupo Mexico SAB de CV – Series B | 40,283,522 | ||||||||
| 504,700 | Vista Energy SAB de CV ADR * | 24,452,715 | ||||||||
|
|
|
|||||||||
| Total Mexico | 64,736,237 | |||||||||
|
|
|
|||||||||
| Norway — 2.7% | ||||||||||
| 500,469 | Aker BP ASA | 12,920,771 | ||||||||
| 1,069,161 | Austevoll Seafood ASA | 8,724,701 | ||||||||
| 1,349,971 | Equinor ASA | 39,186,593 | ||||||||
|
|
|
|||||||||
| Total Norway | 60,832,065 | |||||||||
|
|
|
|||||||||
| Portugal — 3.7% | ||||||||||
| 4,080,354 | Galp Energia SGPS SA | 85,806,216 | ||||||||
|
|
|
|||||||||
| Russia — 0.1% | ||||||||||
| 3,574,704 | Gazprom Neft PJSC (d) | 266,013 | ||||||||
| 14,145,410 | Gazprom PJSC * (d) | 195,775 | ||||||||
| 23,291,700 | GMK Norilskiy Nickel PAO (d) | 362,982 | ||||||||
| 248,399 | LUKOIL PJSC (d) | 201,878 | ||||||||
| 9 | MMC Norilsk Nickel PJSC ADR * (d) | — | ||||||||
| 338,098 | PhosAgro PJSC (d) | 222,021 | ||||||||
| 6,533 | PhosAgro PJSC GDR (d) (e) | 1,431 | ||||||||
| 2 | PhosAgro PJSC GDR (Registered) * (d) | — | ||||||||
| 3,476,399 | Tatneft PJSC (d) | 264,887 | ||||||||
|
|
|
|||||||||
| Total Russia | 1,514,987 | |||||||||
|
|
|
|||||||||
| Singapore — 0.0% | ||||||||||
| 2,725,600 | Ezra Holdings Ltd. * (a) (d) | 2 | ||||||||
|
|
|
|||||||||
GMO Resources Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| South Africa — 2.6% | ||||||||||
| 797,962 | African Rainbow Minerals Ltd. | 9,660,961 | ||||||||
| 6,806,640 | Impala Platinum Holdings Ltd. | 35,063,386 | ||||||||
| 11,414,513 | Sibanye Stillwater Ltd. | 14,406,802 | ||||||||
|
|
|
|||||||||
| Total South Africa | 59,131,149 | |||||||||
|
|
|
|||||||||
| Spain — 2.6% | ||||||||||
| 2,493,702 | Repsol SA | 40,708,915 | ||||||||
| 1,406,355 | Solaria Energia y Medio Ambiente SA * (a) | 18,109,649 | ||||||||
|
|
|
|||||||||
| Total Spain | 58,818,564 | |||||||||
|
|
|
|||||||||
| Sweden — 2.1% | ||||||||||
| 1,342,891 | Boliden AB | 47,072,623 | ||||||||
|
|
|
|||||||||
| Ukraine — 0.1% | ||||||||||
| 501,341 | Kernel Holding SA * | 1,419,658 | ||||||||
|
|
|
|||||||||
| United Kingdom — 13.0% | ||||||||||
| 11,013,329 | BP PLC | 68,893,711 | ||||||||
| 16,918,435 | Glencore PLC | 104,280,079 | ||||||||
| 4,479,866 | Harbour Energy PLC | 19,060,713 | ||||||||
| 1,221,000 | Lifezone Holdings Ltd. * | 11,013,420 | ||||||||
| 326,239 | Rio Tinto PLC | 22,966,371 | ||||||||
| 1,994,748 | Shell PLC | 71,999,926 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 298,214,220 | |||||||||
|
|
|
|||||||||
| United States — 35.4% | ||||||||||
| 65,000 | Advanced Drainage Systems, Inc. | 11,276,850 | ||||||||
| 687,620 | Aemetis, Inc. * (a) | 2,372,289 | ||||||||
| 112,600 | AGCO Corp. | 12,085,358 | ||||||||
| 1,080,185 | Ameresco, Inc. – Class A* | 39,448,356 | ||||||||
| 4,880,721 | Arcadium Lithium PLC * (a) | 21,621,594 | ||||||||
| 1,793,800 | Array Technologies, Inc. * | 25,436,084 | ||||||||
| 281,800 | Berry Corp. | 1,964,146 | ||||||||
| 706,400 | California Resources Corp. | 33,448,040 | ||||||||
| 52,974 | Chord Energy Corp. | 9,821,909 | ||||||||
| 3,917,513 | Clean Energy Fuels Corp. * | 12,261,816 | ||||||||
| 552,100 | ConocoPhillips | 64,308,608 | ||||||||
| 430,800 | Corteva, Inc. | 24,098,952 | ||||||||
| 2,395,200 | Darling Ingredients, Inc. * | 96,766,080 | ||||||||
| 16,800 | Deere & Co. | 6,295,968 | ||||||||
| 192,300 | Enphase Energy, Inc. * | 24,595,170 | ||||||||
| 123,800 | First Solar, Inc. * | 33,643,888 | ||||||||
| 546,282 | Freeport-McMoRan, Inc. | 28,805,450 | ||||||||
| 4,836,257 | GrafTech International Ltd. * (a) | 7,979,824 | ||||||||
| 2,047,393 | Green Plains, Inc. * | 35,153,738 | ||||||||
| 63,300 | Gulfport Energy Corp. * | 10,242,573 | ||||||||
| 20,248,155 | Kosmos Energy Ltd. * | 123,513,746 | ||||||||
| 371,100 | Liberty Energy, Inc. | 9,162,459 | ||||||||
| 313,200 | Marathon Oil Corp. | 9,070,272 | ||||||||
| 105,500 | NEXTracker, Inc. – Class A* | 5,820,435 | ||||||||
| 70,100 | Northern Oil & Gas, Inc. | 2,869,193 | ||||||||
| 42,700 | Ormat Technologies, Inc. | 3,219,580 | ||||||||
| 314,900 | PotlatchDeltic Corp. – (REIT) | 13,455,677 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 450,700 | ProPetro Holding Corp. * | 4,317,706 | ||||||||
| 105,700 | SilverBow Resources, Inc. * | 4,143,440 | ||||||||
| 153,400 | SM Energy Co. | 7,735,962 | ||||||||
| 827,524 | SolarEdge Technologies, Inc. * | 40,540,401 | ||||||||
| 4,663,442 | Sunrun, Inc. * (a) | 67,433,371 | ||||||||
| 408,200 | Talos Energy, Inc. * | 4,902,482 | ||||||||
| 28,000 | Valmont Industries, Inc. | 7,039,200 | ||||||||
| 50,600 | Veralto Corp. | 4,988,148 | ||||||||
|
|
|
|||||||||
| Total United States | 809,838,765 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $2,106,261,538) |
2,056,884,213 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (f) — 7.9% | ||||||||||
| Brazil — 6.0% | ||||||||||
| 16,849,926 | Bradespar SA | 61,612,024 | ||||||||
| 10,123,681 | Petroleo Brasileiro SA | 74,786,720 | ||||||||
|
|
|
|||||||||
| Total Brazil | 136,398,744 | |||||||||
|
|
|
|||||||||
| Chile — 1.9% | ||||||||||
| 944,295 | Sociedad Quimica y Minera de Chile SA Sponsored ADR (a) | 44,098,576 | ||||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| 20,237,584 | Surgutneftegas PJSC (d) | 151,594 | ||||||||
| 7,494,797 | Tatneft PJSC (d) | 564,690 | ||||||||
|
|
|
|||||||||
| Total Russia | 716,284 | |||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $238,614,882) |
181,213,604 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 1.7% | ||||||||||
| United States — 1.7% | ||||||||||
| Affiliated Issuers — 1.7% | ||||||||||
| 7,936,358 | GMO U.S. Treasury Fund | 39,681,789 | ||||||||
|
|
|
|||||||||
| Total United States | 39,681,789 | |||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $39,679,907) |
39,681,789 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.0% | ||||||||||
| Money Market Funds — 0.0% | ||||||||||
| 72,191 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (g) | 72,191 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $72,191) |
72,191 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 99.5% (Cost $2,384,628,518) |
2,277,851,797 | |||||||||
| Other Assets and Liabilities (net) — 0.5% | 10,872,079 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $2,288,723,876 | |||||||||
|
|
|
|||||||||
GMO Resources Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2024 (Unaudited)
Additional information on each restricted security is as follows:
| Issuer Description |
Acquisition Date | Acquisition Cost |
Value as a Percentage of Fund’s Net Assets |
Value as of May 31, 2024 |
||||||||
| PhosAgro PJSC GDR | 08/26/16 | $ | 93,496 | 0.0% | $ | 1,431 | ||||||
|
|
|
|||||||||||
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (a) | All or a portion of this security is out on loan. |
| (b) | Investment valued using significant unobservable inputs. |
| (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) | The security is restricted as to resale. |
| (f) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
| (g) | The rate disclosed is the 7 day net yield as of May 31, 2024. |
Portfolio Abbreviations:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
PJSC - Private Joint-Stock Company
REIT - Real Estate Investment Trust
GMO Small Cap Quality Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 97.2% |
| |||||||||
| Automobiles & Components — 3.9% | ||||||||||
| 278,541 | Gentex Corp. | 9,748,935 | ||||||||
| 44,512 | XPEL, Inc. * | 1,691,456 | ||||||||
|
|
|
|||||||||
| Total Automobiles & Components | 11,440,391 | |||||||||
|
|
|
|||||||||
| Capital Goods — 17.3% | ||||||||||
| 126,243 | AAON, Inc. | 9,474,537 | ||||||||
| 22,302 | Allegion PLC | 2,716,830 | ||||||||
| 27,409 | Atkore, Inc. | 4,170,279 | ||||||||
| 57,717 | AZEK Co., Inc. * | 2,768,107 | ||||||||
| 26,244 | Curtiss-Wright Corp. | 7,422,328 | ||||||||
| 12,577 | Kadant, Inc. | 3,597,148 | ||||||||
| 10,114 | Preformed Line Products Co. | 1,358,715 | ||||||||
| 40,668 | RBC Bearings, Inc. * | 12,008,447 | ||||||||
| 41,734 | Woodward, Inc. | 7,783,391 | ||||||||
|
|
|
|||||||||
| Total Capital Goods | 51,299,782 | |||||||||
|
|
|
|||||||||
| Commercial & Professional Services — 1.8% | ||||||||||
| 24,070 | FTI Consulting, Inc. * | 5,170,236 | ||||||||
|
|
|
|||||||||
| Consumer Discretionary Distribution & Retail — 3.7% | ||||||||||
| 131,176 | Ollie’s Bargain Outlet Holdings, Inc. * | 10,812,838 | ||||||||
|
|
|
|||||||||
| Consumer Durables & Apparel — 7.9% | ||||||||||
| 161,830 | Acushnet Holdings Corp. | 10,664,597 | ||||||||
| 142,949 | Malibu Boats, Inc. – Class A * | 5,497,818 | ||||||||
| 17,442 | TopBuild Corp. * | 7,289,884 | ||||||||
|
|
|
|||||||||
| Total Consumer Durables & Apparel | 23,452,299 | |||||||||
|
|
|
|||||||||
| Consumer Staples Distribution & Retail — 1.7% | ||||||||||
| 60,611 | PriceSmart, Inc. | 5,100,416 | ||||||||
|
|
|
|||||||||
| Energy — 1.6% | ||||||||||
| 92,661 | Cactus, Inc. – Class A | 4,758,142 | ||||||||
|
|
|
|||||||||
| Financial Services — 12.1% | ||||||||||
| 71,921 | Cohen & Steers, Inc. | 5,055,327 | ||||||||
| 182,036 | Essent Group Ltd. | 10,321,441 | ||||||||
| 73,639 | Houlihan Lokey, Inc. | 9,967,039 | ||||||||
| 240,313 | StepStone Group, Inc. – Class A | 10,319,040 | ||||||||
|
|
|
|||||||||
| Total Financial Services | 35,662,847 | |||||||||
|
|
|
|||||||||
| Food, Beverage & Tobacco — 6.6% | ||||||||||
| 49,408 | J & J Snack Foods Corp. | 8,039,176 | ||||||||
| 16,379 | John B Sanfilippo & Son, Inc. | 1,651,495 | ||||||||
| 53,189 | Lancaster Colony Corp. | 9,866,559 | ||||||||
|
|
|
|||||||||
| Total Food, Beverage & Tobacco | 19,557,230 | |||||||||
|
|
|
|||||||||
| Health Care Equipment & Services — 5.5% | ||||||||||
| 187,738 | Globus Medical, Inc. – Class A * | 12,599,097 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Health Care Equipment & Services — continued | ||||||||||
| 287,431 | Neogen Corp. * | 3,779,718 | ||||||||
|
|
|
|||||||||
| Total Health Care Equipment & Services | 16,378,815 | |||||||||
|
|
|
|||||||||
| Materials — 5.6% | ||||||||||
| 62,743 | AptarGroup, Inc. | 9,266,514 | ||||||||
| 46,811 | Balchem Corp. | 7,190,169 | ||||||||
|
|
|
|||||||||
| Total Materials | 16,456,683 | |||||||||
|
|
|
|||||||||
| Media & Entertainment — 3.6% | ||||||||||
| 207,511 | New York Times Co. – Class A | 10,624,563 | ||||||||
|
|
|
|||||||||
| Pharmaceuticals, Biotechnology & Life Sciences — 1.3% |
||||||||||
| 10,266 | Medpace Holdings, Inc. * | 3,966,166 | ||||||||
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment — 10.6% |
||||||||||
| 74,903 | Axcelis Technologies, Inc. * | 8,425,839 | ||||||||
| 85,282 | Cirrus Logic, Inc. * | 9,781,845 | ||||||||
| 108,029 | Power Integrations, Inc. | 8,211,284 | ||||||||
| 39,727 | SolarEdge Technologies, Inc. * | 1,946,226 | ||||||||
| 16,528 | Universal Display Corp. | 2,903,970 | ||||||||
|
|
|
|||||||||
| Total Semiconductors & Semiconductor Equipment | 31,269,164 | |||||||||
|
|
|
|||||||||
| Software & Services — 3.7% | ||||||||||
| 80,718 | ASGN, Inc. * | 7,580,227 | ||||||||
| 40,252 | Dolby Laboratories, Inc. – Class A | 3,260,815 | ||||||||
|
|
|
|||||||||
| Total Software & Services | 10,841,042 | |||||||||
|
|
|
|||||||||
| Technology Hardware & Equipment — 5.2% | ||||||||||
| 161,602 | Ciena Corp. * | 7,784,369 | ||||||||
| 32,293 | Fabrinet * | 7,735,142 | ||||||||
|
|
|
|||||||||
| Total Technology Hardware & Equipment | 15,519,511 | |||||||||
|
|
|
|||||||||
| Transportation — 5.1% | ||||||||||
| 47,256 | ArcBest Corp. | 4,986,453 | ||||||||
| 55,612 | Landstar System, Inc. | 10,123,052 | ||||||||
|
|
|
|||||||||
| Total Transportation | 15,109,505 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $263,656,678) |
287,419,630 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 2.6% | ||||||||||
| Affiliated Issuers — 2.6% | ||||||||||
| 1,556,677 | GMO U.S. Treasury Fund | 7,783,387 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $7,783,387) |
7,783,387 | |||||||||
|
|
|
|||||||||
GMO Small Cap Quality Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 0.1% |
| |||||||||
| Money Market Funds — 0.1% | ||||||||||
| 312,509 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (a) | 312,509 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $312,509) |
312,509 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 99.9% (Cost $271,752,574) |
295,515,526 | |||||||||
| Other Assets and Liabilities (net) — 0.1% | 313,528 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $295,829,054 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (a) | The rate disclosed is the 7 day net yield as of May 31, 2024. |
GMO U.S. Equity Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 99.4% | ||||||||||
| Automobiles & Components — 1.9% | ||||||||||
| 1,827 | BorgWarner, Inc. | 65,151 | ||||||||
| 37,420 | Ford Motor Co. | 453,905 | ||||||||
| 44,160 | General Motors Co. | 1,986,758 | ||||||||
|
|
|
|||||||||
| Total Automobiles & Components | 2,505,814 | |||||||||
|
|
|
|||||||||
| Banks — 3.7% | ||||||||||
| 10,294 | Bank of America Corp. | 411,657 | ||||||||
| 1,900 | Capital City Bank Group, Inc. | 51,604 | ||||||||
| 29,709 | Citigroup, Inc. | 1,851,168 | ||||||||
| 2,000 | Community Trust Bancorp, Inc. | 84,220 | ||||||||
| 5,400 | Farmers National Banc Corp. | 65,988 | ||||||||
| 1,500 | First Financial Corp. | 55,560 | ||||||||
| 4,100 | Independent Bank Corp. | 102,746 | ||||||||
| 11,025 | JPMorgan Chase & Co. | 2,233,996 | ||||||||
|
|
|
|||||||||
| Total Banks | 4,856,939 | |||||||||
|
|
|
|||||||||
| Capital Goods — 7.8% | ||||||||||
| 584 | Acuity Brands, Inc. | 151,612 | ||||||||
| 1,140 | AGCO Corp. | 122,356 | ||||||||
| 6,110 | Allison Transmission Holdings, Inc. | 463,199 | ||||||||
| 8,146 | Builders FirstSource, Inc. * | 1,309,795 | ||||||||
| 9,918 | Core & Main, Inc. – Class A * | 570,880 | ||||||||
| 5,021 | Cummins, Inc. | 1,414,566 | ||||||||
| 807 | Eaton Corp. PLC | 268,610 | ||||||||
| 7,634 | Ferguson PLC | 1,570,619 | ||||||||
| 7,358 | Gates Industrial Corp. PLC * | 128,177 | ||||||||
| 3,501 | GMS, Inc. * | 328,954 | ||||||||
| 10,000 | Masterbrand, Inc. * | 167,100 | ||||||||
| 583 | Oshkosh Corp. | 66,305 | ||||||||
| 6,055 | PACCAR, Inc. | 650,913 | ||||||||
| 661 | Tennant Co. | 67,858 | ||||||||
| 4,342 | Trane Technologies PLC | 1,421,831 | ||||||||
| 959 | UFP Industries, Inc. | 114,581 | ||||||||
| 741 | Westinghouse Air Brake Technologies Corp. | 125,400 | ||||||||
| 1,491 | WW Grainger, Inc. | 1,373,897 | ||||||||
|
|
|
|||||||||
| Total Capital Goods | 10,316,653 | |||||||||
|
|
|
|||||||||
| Commercial & Professional Services — 3.7% | ||||||||||
| 37,097 | ACCO Brands Corp. | 188,824 | ||||||||
| 600 | Barrett Business Services, Inc. | 79,404 | ||||||||
| 5,572 | Booz Allen Hamilton Holding Corp. | 848,114 | ||||||||
| 287 | Brady Corp. – Class A | 19,593 | ||||||||
| 884 | CACI International, Inc. – Class A * | 375,240 | ||||||||
| 1,470 | Cimpress PLC * | 121,290 | ||||||||
| 9,600 | Deluxe Corp. | 218,208 | ||||||||
| 2,700 | Heidrick & Struggles International, Inc. | 92,556 | ||||||||
| 5,732 | HNI Corp. | 269,690 | ||||||||
| 3,227 | ICF International, Inc. | 460,654 | ||||||||
| 6,954 | Leidos Holdings, Inc. | 1,022,586 | ||||||||
| 2,864 | Parsons Corp. * | 218,094 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Commercial & Professional Services — continued | ||||||||||
| 2,161 | Republic Services, Inc. – Class A | 400,195 | ||||||||
| 12,800 | Resources Connection, Inc. | 146,560 | ||||||||
| 486 | Science Applications International Corp. | 65,440 | ||||||||
| 18,998 | Steelcase, Inc. – Class A | 259,513 | ||||||||
| 3,000 | TrueBlue, Inc. * | 32,400 | ||||||||
| 846 | Veralto Corp. | 83,399 | ||||||||
|
|
|
|||||||||
| Total Commercial & Professional Services | 4,901,760 | |||||||||
|
|
|
|||||||||
| Consumer Discretionary Distribution & Retail — 6.9% |
||||||||||
| 4,900 | 1-800-Flowers.com, Inc. – Class A * | 47,432 | ||||||||
| 907 | Academy Sports & Outdoors, Inc. | 52,325 | ||||||||
| 30,596 | Amazon.com, Inc. * | 5,398,358 | ||||||||
| 2,281 | Best Buy Co., Inc. | 193,475 | ||||||||
| 27,545 | eBay, Inc. | 1,493,490 | ||||||||
| 9,421 | Gap, Inc. | 272,832 | ||||||||
| 1,330 | Group 1 Automotive, Inc. | 413,603 | ||||||||
| 3,942 | Haverty Furniture Cos., Inc. | 111,992 | ||||||||
| 4,703 | Shoe Carnival, Inc. | 177,538 | ||||||||
| 892 | Signet Jewelers Ltd. | 97,665 | ||||||||
| 2,668 | Williams-Sonoma, Inc. | 782,311 | ||||||||
|
|
|
|||||||||
| Total Consumer Discretionary Distribution & Retail | 9,041,021 | |||||||||
|
|
|
|||||||||
| Consumer Durables & Apparel — 5.3% | ||||||||||
| 1,258 | Carter’s, Inc. | 86,047 | ||||||||
| 998 | Crocs, Inc. * | 155,329 | ||||||||
| 1,364 | Deckers Outdoor Corp. * | 1,492,107 | ||||||||
| 4,134 | DR Horton, Inc. | 611,005 | ||||||||
| 3,898 | Ethan Allen Interiors, Inc. | 113,471 | ||||||||
| 9,645 | Garmin Ltd. | 1,580,333 | ||||||||
| 965 | Johnson Outdoors, Inc. – Class A | 35,116 | ||||||||
| 3,723 | KB Home | 262,844 | ||||||||
| 2,226 | Lennar Corp. – Class A | 356,939 | ||||||||
| 1,407 | M/I Homes, Inc. * | 175,762 | ||||||||
| 2,850 | MasterCraft Boat Holdings, Inc. * | 60,135 | ||||||||
| 1,171 | Meritage Homes Corp. | 206,506 | ||||||||
| 2,219 | Movado Group, Inc. | 58,804 | ||||||||
| 26 | NVR, Inc. * | 199,699 | ||||||||
| 748 | PulteGroup, Inc. | 87,755 | ||||||||
| 6,656 | Taylor Morrison Home Corp. * | 384,917 | ||||||||
| 3,867 | Toll Brothers, Inc. | 470,382 | ||||||||
| 12,502 | Tri Pointe Homes, Inc. * | 484,202 | ||||||||
| 8,356 | Vera Bradley, Inc. * | 68,185 | ||||||||
| 1,232 | Whirlpool Corp. | 114,613 | ||||||||
|
|
|
|||||||||
| Total Consumer Durables & Apparel | 7,004,151 | |||||||||
|
|
|
|||||||||
| Consumer Services — 1.5% | ||||||||||
| 5,626 | Adtalem Global Education, Inc. * | 362,258 | ||||||||
| 252 | Graham Holdings Co. – Class B | 189,612 | ||||||||
| 1,220 | Grand Canyon Education, Inc. * | 173,801 | ||||||||
| 6,222 | H&R Block, Inc. | 308,860 | ||||||||
| 23,369 | Perdoceo Education Corp. | 525,803 | ||||||||
GMO U.S. Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Consumer Services — continued | ||||||||||
| 5,671 | Stride, Inc. * | 389,371 | ||||||||
|
|
|
|||||||||
| Total Consumer Services | 1,949,705 | |||||||||
|
|
|
|||||||||
| Consumer Staples Distribution & Retail — 1.8% | ||||||||||
| 34,382 | Kroger Co. | 1,800,585 | ||||||||
| 567 | Target Corp. | 88,543 | ||||||||
| 6,830 | Walmart, Inc. | 449,141 | ||||||||
|
|
|
|||||||||
| Total Consumer Staples Distribution & Retail | 2,338,269 | |||||||||
|
|
|
|||||||||
| Energy — 5.4% | ||||||||||
| 1,850 | Chesapeake Energy Corp. | 168,221 | ||||||||
| 9,349 | Chevron Corp. | 1,517,343 | ||||||||
| 1,653 | Chord Energy Corp. | 306,483 | ||||||||
| 1,068 | DT Midstream, Inc. | 71,641 | ||||||||
| 8,596 | EOG Resources, Inc. | 1,070,632 | ||||||||
| 6,723 | Exxon Mobil Corp. | 788,339 | ||||||||
| 761 | Gulfport Energy Corp. * | 123,137 | ||||||||
| 82,285 | Kinder Morgan, Inc. | 1,603,735 | ||||||||
| 1,786 | Phillips 66 | 253,808 | ||||||||
| 7,351 | Valero Energy Corp. | 1,155,136 | ||||||||
|
|
|
|||||||||
| Total Energy | 7,058,475 | |||||||||
|
|
|
|||||||||
| Financial Services — 10.6% | ||||||||||
| 8,387 | American Express Co. | 2,012,880 | ||||||||
| 21,726 | Bank of New York Mellon Corp. | 1,295,087 | ||||||||
| 7,982 | Capital One Financial Corp. | 1,098,563 | ||||||||
| 2,760 | Discover Financial Services | 338,542 | ||||||||
| 5,404 | Enova International, Inc. * | 333,157 | ||||||||
| 2,307 | Essent Group Ltd. | 130,807 | ||||||||
| 3,472 | Goldman Sachs Group, Inc. | 1,585,037 | ||||||||
| 6,477 | Jackson Financial, Inc. – Class A | 492,317 | ||||||||
| 13,491 | Janus Henderson Group PLC | 451,948 | ||||||||
| 2,605 | LendingTree, Inc. * | 111,989 | ||||||||
| 60,798 | MGIC Investment Corp. | 1,276,758 | ||||||||
| 12,206 | Nasdaq, Inc. | 720,520 | ||||||||
| 4,060 | NMI Holdings, Inc. – Class A * | 134,711 | ||||||||
| 6,185 | PROG Holdings, Inc. | 233,731 | ||||||||
| 31,579 | Radian Group, Inc. | 986,528 | ||||||||
| 2,162 | Raymond James Financial, Inc. | 265,385 | ||||||||
| 8,571 | State Street Corp. | 647,882 | ||||||||
| 23,412 | Synchrony Financial | 1,025,445 | ||||||||
| 7,214 | T Rowe Price Group, Inc. | 850,026 | ||||||||
|
|
|
|||||||||
| Total Financial Services | 13,991,313 | |||||||||
|
|
|
|||||||||
| Food, Beverage & Tobacco — 0.0% | ||||||||||
| 892 | Universal Corp. | 42,780 | ||||||||
|
|
|
|||||||||
| Health Care Equipment & Services — 1.5% | ||||||||||
| 3,860 | Cigna Group | 1,330,233 | ||||||||
| 750 | Elevance Health, Inc. | 403,860 | ||||||||
| 218 | Humana, Inc. | 78,070 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Health Care Equipment & Services — continued | ||||||||||
| 2,395 | Medtronic PLC | 194,881 | ||||||||
|
|
|
|||||||||
| Total Health Care Equipment & Services | 2,007,044 | |||||||||
|
|
|
|||||||||
| Insurance — 3.3% | ||||||||||
| 507 | Allstate Corp. | 84,933 | ||||||||
| 10,009 | Arch Capital Group Ltd. * | 1,027,224 | ||||||||
| 367 | Assurant, Inc. | 63,663 | ||||||||
| 105 | Brown & Brown, Inc. | 9,398 | ||||||||
| 984 | Chubb Ltd. | 266,487 | ||||||||
| 5,331 | Fidelity National Financial, Inc. | 268,469 | ||||||||
| 19,657 | Hartford Financial Services Group, Inc. | 2,033,517 | ||||||||
| 3,054 | Stewart Information Services Corp. | 193,349 | ||||||||
| 776 | Travelers Cos., Inc. | 167,383 | ||||||||
| 3,859 | Unum Group | 207,846 | ||||||||
|
|
|
|||||||||
| Total Insurance | 4,322,269 | |||||||||
|
|
|
|||||||||
| Materials — 0.7% | ||||||||||
| 423 | NewMarket Corp. | 226,335 | ||||||||
| 654 | Nucor Corp. | 110,428 | ||||||||
| 5,006 | Ryerson Holding Corp. | 118,892 | ||||||||
| 3,097 | Steel Dynamics, Inc. | 414,595 | ||||||||
| 1,248 | Warrior Met Coal, Inc. | 85,401 | ||||||||
|
|
|
|||||||||
| Total Materials | 955,651 | |||||||||
|
|
|
|||||||||
| Media & Entertainment — 8.9% | ||||||||||
| 20,562 | Alphabet, Inc. – Class A * | 3,546,945 | ||||||||
| 24,421 | Alphabet, Inc. – Class C * | 4,248,277 | ||||||||
| 8,331 | Meta Platforms, Inc. – Class A | 3,889,161 | ||||||||
|
|
|
|||||||||
| Total Media & Entertainment | 11,684,383 | |||||||||
|
|
|
|||||||||
| Pharmaceuticals, Biotechnology & Life Sciences — 5.5% |
||||||||||
| 18,019 | Bristol-Myers Squibb Co. | 740,401 | ||||||||
| 10,119 | Johnson & Johnson | 1,484,154 | ||||||||
| 21,765 | Merck & Co., Inc. | 2,732,378 | ||||||||
| 73,537 | Pfizer, Inc. | 2,107,570 | ||||||||
| 106 | Regeneron Pharmaceuticals, Inc. * | 103,897 | ||||||||
|
|
|
|||||||||
| Total Pharmaceuticals, Biotechnology & Life Sciences | 7,168,400 | |||||||||
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment — 13.6% |
||||||||||
| 13,952 | Applied Materials, Inc. | 3,000,796 | ||||||||
| 95,976 | Intel Corp. | 2,960,860 | ||||||||
| 2,787 | KLA Corp. | 2,116,810 | ||||||||
| 582 | Lam Research Corp. | 542,680 | ||||||||
| 4,147 | NVIDIA Corp. | 4,546,481 | ||||||||
| 2,663 | NXP Semiconductors NV | 724,602 | ||||||||
| 16,827 | QUALCOMM, Inc. | 3,433,549 | ||||||||
| 5,899 | Skyworks Solutions, Inc. | 546,601 | ||||||||
|
|
|
|||||||||
| Total Semiconductors & Semiconductor Equipment | 17,872,379 | |||||||||
|
|
|
|||||||||
GMO U.S. Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares / Par Value† |
Description | Value ($) | ||||||||
| Software & Services — 7.3% | ||||||||||
| 1,896 | ASGN, Inc. * | 178,053 | ||||||||
| 4,511 | Cognizant Technology Solutions Corp. – Class A | 298,403 | ||||||||
| 16,586 | International Business Machines Corp. | 2,767,374 | ||||||||
| 15,085 | Microsoft Corp. | 6,262,236 | ||||||||
| 146 | Synopsys, Inc. * | 81,877 | ||||||||
|
|
|
|||||||||
| Total Software & Services | 9,587,943 | |||||||||
|
|
|
|||||||||
| Technology Hardware & Equipment — 9.1% | ||||||||||
| 37,202 | Apple, Inc. | 7,152,084 | ||||||||
| 60,819 | Cisco Systems, Inc. | 2,828,083 | ||||||||
| 42,703 | HP, Inc. | 1,558,660 | ||||||||
| 923 | NetApp, Inc. | 111,157 | ||||||||
| 1,508 | TE Connectivity Ltd. | 225,748 | ||||||||
| 2,216 | Vontier Corp. | 88,596 | ||||||||
|
|
|
|||||||||
| Total Technology Hardware & Equipment | 11,964,328 | |||||||||
|
|
|
|||||||||
| Transportation — 0.9% | ||||||||||
| 25,760 | CSX Corp. | 869,400 | ||||||||
| 1,613 | Union Pacific Corp. | 375,539 | ||||||||
|
|
|
|||||||||
| Total Transportation | 1,244,939 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $110,503,069) |
130,814,216 | |||||||||
|
|
|
|||||||||
| DEBT OBLIGATIONS — 0.2% | ||||||||||
| U.S. Government — 0.2% | ||||||||||
| 240,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 5.48%, due 04/30/26 | 240,112 | ||||||||
| 12,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.53%, due 01/31/25 (a) | 12,013 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 252,125 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $252,079) |
252,125 | |||||||||
|
|
|
|||||||||
| |
Description | Value ($) | ||||||||
| MUTUAL FUNDS — 0.8% |
| |||||||||
| Affiliated Issuers — 0.8% | ||||||||||
| 200,273 | GMO U.S. Treasury Fund | 1,001,361 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $1,001,361) |
1,001,361 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.4% | ||||||||||
| Money Market Funds — 0.4% | ||||||||||
| 591,647 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (b) | 591,647 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $591,647) |
591,647 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.8% (Cost $112,348,156) |
132,659,349 | |||||||||
| Other Assets and Liabilities (net) — (0.8)% | (1,074,288 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $131,585,061 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| * | Non-income producing security. |
| (a) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any. |
| (b) | The rate disclosed is the 7 day net yield as of May 31, 2024. |
The rates shown on variable rate notes are the current interest rates at May 31, 2024, which are subject to change based on the terms of the security.
GMO U.S. Opportunistic Value Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 99.0% | ||||||||||
| Automobiles & Components — 2.4% | ||||||||||
| 94,066 | BorgWarner, Inc. | 3,354,393 | ||||||||
| 409,666 | Ford Motor Co. | 4,969,249 | ||||||||
| 51,926 | General Motors Co. | 2,336,151 | ||||||||
| 17,520 | Lear Corp. | 2,196,132 | ||||||||
| 1,400 | Winnebago Industries, Inc. | 86,870 | ||||||||
|
|
|
|||||||||
| Total Automobiles & Components | 12,942,795 | |||||||||
|
|
|
|||||||||
| Banks — 11.7% | ||||||||||
| 478,520 | Bank of America Corp. | 19,136,015 | ||||||||
| 161,319 | Citigroup, Inc. | 10,051,787 | ||||||||
| 120,901 | JPMorgan Chase & Co. | 24,498,170 | ||||||||
| 28,429 | M&T Bank Corp. | 4,309,836 | ||||||||
| 47,955 | U.S. Bancorp | 1,944,575 | ||||||||
| 70,082 | Wells Fargo & Co. | 4,199,313 | ||||||||
|
|
|
|||||||||
| Total Banks | 64,139,696 | |||||||||
|
|
|
|||||||||
| Capital Goods — 2.8% | ||||||||||
| 24,518 | AGCO Corp. | 2,631,517 | ||||||||
| 15,415 | Allison Transmission Holdings, Inc. | 1,168,611 | ||||||||
| 5,667 | Atkore, Inc. | 862,234 | ||||||||
| 2,232 | Boise Cascade Co. | 306,431 | ||||||||
| 1,811 | Builders FirstSource, Inc. * | 291,191 | ||||||||
| 18,860 | Cummins, Inc. | 5,313,428 | ||||||||
| 3,113 | Encore Wire Corp. | 898,816 | ||||||||
| 13,950 | Mueller Industries, Inc. | 821,795 | ||||||||
| 8,696 | Owens Corning | 1,574,585 | ||||||||
| 13,140 | UFP Industries, Inc. | 1,569,967 | ||||||||
|
|
|
|||||||||
| Total Capital Goods | 15,438,575 | |||||||||
|
|
|
|||||||||
| Commercial & Professional Services — 0.2% | ||||||||||
| 2,156 | HNI Corp. | 101,440 | ||||||||
| 13,884 | ManpowerGroup, Inc. | 1,036,024 | ||||||||
|
|
|
|||||||||
| Total Commercial & Professional Services | 1,137,464 | |||||||||
|
|
|
|||||||||
| Consumer Discretionary Distribution & Retail — 3.0% |
||||||||||
| 23,430 | Academy Sports & Outdoors, Inc. | 1,351,677 | ||||||||
| 10,181 | AutoNation, Inc. * | 1,733,315 | ||||||||
| 46,453 | Best Buy Co., Inc. | 3,940,144 | ||||||||
| 89,279 | eBay, Inc. | 4,840,707 | ||||||||
| 19,751 | Foot Locker, Inc. | 547,695 | ||||||||
| 4,049 | Group 1 Automotive, Inc. | 1,259,158 | ||||||||
| 35,793 | Kohl’s Corp. | 801,405 | ||||||||
| 32,141 | Macy’s, Inc. | 626,107 | ||||||||
| 12,919 | Signet Jewelers Ltd. | 1,414,501 | ||||||||
|
|
|
|||||||||
| Total Consumer Discretionary Distribution & Retail | 16,514,709 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Consumer Durables & Apparel — 2.1% | ||||||||||
| 9,544 | Brunswick Corp. | 787,666 | ||||||||
| 8,423 | Carter’s, Inc. | 576,133 | ||||||||
| 21,039 | Crocs, Inc. * | 3,274,510 | ||||||||
| 2,312 | Garmin Ltd. | 378,821 | ||||||||
| 8,526 | La-Z-Boy, Inc. | 319,896 | ||||||||
| 15,206 | Polaris, Inc. | 1,271,222 | ||||||||
| 7,094 | PulteGroup, Inc. | 832,268 | ||||||||
| 8,768 | Skechers U.S.A., Inc. – Class A * | 626,211 | ||||||||
| 22,268 | Tapestry, Inc. | 968,435 | ||||||||
| 89,168 | VF Corp. | 1,184,151 | ||||||||
| 14,940 | Whirlpool Corp. | 1,389,868 | ||||||||
|
|
|
|||||||||
| Total Consumer Durables & Apparel | 11,609,181 | |||||||||
|
|
|
|||||||||
| Consumer Services — 0.6% | ||||||||||
| 4,417 | Adtalem Global Education, Inc. * | 284,411 | ||||||||
| 490 | Graham Holdings Co. – Class B | 368,691 | ||||||||
| 50,140 | H&R Block, Inc. | 2,488,949 | ||||||||
|
|
|
|||||||||
| Total Consumer Services | 3,142,051 | |||||||||
|
|
|
|||||||||
| Consumer Staples Distribution & Retail — 1.4% | ||||||||||
| 93,346 | Kroger Co. | 4,888,530 | ||||||||
| 158,038 | Walgreens Boots Alliance, Inc. | 2,563,376 | ||||||||
|
|
|
|||||||||
| Total Consumer Staples Distribution & Retail | 7,451,906 | |||||||||
|
|
|
|||||||||
| Energy — 8.0% | ||||||||||
| 100,527 | Chevron Corp. | 16,315,532 | ||||||||
| 36,363 | EOG Resources, Inc. | 4,529,011 | ||||||||
| 139,480 | Exxon Mobil Corp. | 16,355,425 | ||||||||
| 36,961 | Kinder Morgan, Inc. | 720,370 | ||||||||
| 6,328 | Ovintiv, Inc. | 326,968 | ||||||||
| 36,871 | Valero Energy Corp. | 5,793,909 | ||||||||
|
|
|
|||||||||
| Total Energy | 44,041,215 | |||||||||
|
|
|
|||||||||
| Financial Services — 13.1% | ||||||||||
| 9,068 | Affiliated Managers Group, Inc. | 1,474,457 | ||||||||
| 66,818 | Ally Financial, Inc. | 2,603,897 | ||||||||
| 25,549 | American Express Co. | 6,131,760 | ||||||||
| 91,436 | Bank of New York Mellon Corp. | 5,450,500 | ||||||||
| 41,022 | Capital One Financial Corp. | 5,645,858 | ||||||||
| 37,589 | Discover Financial Services | 4,610,667 | ||||||||
| 5,743 | Essent Group Ltd. | 325,628 | ||||||||
| 18,095 | Federated Hermes, Inc. | 600,211 | ||||||||
| 27,266 | Franklin Resources, Inc. | 643,478 | ||||||||
| 25,621 | Goldman Sachs Group, Inc. | 11,696,499 | ||||||||
| 86,717 | Invesco Ltd. | 1,362,324 | ||||||||
| 18,880 | Jackson Financial, Inc. – Class A | 1,435,069 | ||||||||
| 25,907 | Janus Henderson Group PLC | 867,885 | ||||||||
| 153,164 | MGIC Investment Corp. | 3,216,444 | ||||||||
| 27,614 | Morgan Stanley | 2,701,754 | ||||||||
| 10,944 | OneMain Holdings, Inc. | 537,569 | ||||||||
GMO U.S. Opportunistic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Financial Services — continued | ||||||||||
| 91,941 | PayPal Holdings, Inc. * | 5,791,364 | ||||||||
| 88,522 | Radian Group, Inc. | 2,765,427 | ||||||||
| 19,314 | SLM Corp. | 414,478 | ||||||||
| 53,376 | State Street Corp. | 4,034,692 | ||||||||
| 86,785 | Synchrony Financial | 3,801,183 | ||||||||
| 28,669 | T Rowe Price Group, Inc. | 3,378,068 | ||||||||
| 172,699 | Western Union Co. | 2,210,547 | ||||||||
|
|
|
|||||||||
| Total Financial Services | 71,699,759 | |||||||||
|
|
|
|||||||||
| Food, Beverage & Tobacco — 2.8% | ||||||||||
| 77,298 | Archer-Daniels-Midland Co. | 4,826,487 | ||||||||
| 20,472 | Bunge Global SA | 2,202,583 | ||||||||
| 57,936 | General Mills, Inc. | 3,983,100 | ||||||||
| 117,690 | Kraft Heinz Co. | 4,162,695 | ||||||||
| 5,141 | Tyson Foods, Inc. – Class A | 294,322 | ||||||||
|
|
|
|||||||||
| Total Food, Beverage & Tobacco | 15,469,187 | |||||||||
|
|
|
|||||||||
| Health Care Equipment & Services — 8.8% | ||||||||||
| 63,461 | Centene Corp. * | 4,543,173 | ||||||||
| 25,479 | Cigna Group | 8,780,573 | ||||||||
| 114,367 | CVS Health Corp. | 6,816,273 | ||||||||
| 17,087 | Elevance Health, Inc. | 9,201,008 | ||||||||
| 29,287 | GE HealthCare Technologies, Inc. | 2,284,386 | ||||||||
| 15,023 | Humana, Inc. | 5,380,037 | ||||||||
| 66,013 | Medtronic PLC | 5,371,478 | ||||||||
| 17,060 | Premier, Inc. – Class A | 322,775 | ||||||||
| 10,654 | UnitedHealth Group, Inc. | 5,277,672 | ||||||||
|
|
|
|||||||||
| Total Health Care Equipment & Services | 47,977,375 | |||||||||
|
|
|
|||||||||
| Insurance — 2.6% | ||||||||||
| 35,942 | Aflac, Inc. | 3,230,107 | ||||||||
| 24,195 | Arch Capital Group Ltd. * | 2,483,133 | ||||||||
| 17,260 | Fidelity National Financial, Inc. | 869,214 | ||||||||
| 45,611 | Hartford Financial Services Group, Inc. | 4,718,458 | ||||||||
| 49,560 | Unum Group | 2,669,301 | ||||||||
|
|
|
|||||||||
| Total Insurance | 13,970,213 | |||||||||
|
|
|
|||||||||
| Materials — 3.0% | ||||||||||
| 3,516 | Berry Global Group, Inc. | 210,538 | ||||||||
| 23,967 | Commercial Metals Co. | 1,349,821 | ||||||||
| 35,697 | International Paper Co. | 1,609,578 | ||||||||
| 42,228 | LyondellBasell Industries NV – Class A | 4,198,308 | ||||||||
| 37,927 | Mosaic Co. | 1,173,082 | ||||||||
| 22,743 | Nucor Corp. | 3,840,155 | ||||||||
| 30,171 | Steel Dynamics, Inc. | 4,038,992 | ||||||||
|
|
|
|||||||||
| Total Materials | 16,420,474 | |||||||||
|
|
|
|||||||||
| Media & Entertainment — 11.3% | ||||||||||
| 165,687 | Alphabet, Inc. – Class A * | 28,581,007 | ||||||||
| 14,884 | Alphabet, Inc. – Class C * | 2,589,221 | ||||||||
| 295,958 | Comcast Corp. – Class A | 11,847,199 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Media & Entertainment — continued | ||||||||||
| 46,972 | Fox Corp. – Class A | 1,617,246 | ||||||||
| 14,533 | Fox Corp. – Class B | 464,184 | ||||||||
| 36,469 | Meta Platforms, Inc. – Class A | 17,024,823 | ||||||||
|
|
|
|||||||||
| Total Media & Entertainment | 62,123,680 | |||||||||
|
|
|
|||||||||
| Pharmaceuticals, Biotechnology & Life Sciences — 11.8% |
||||||||||
| 169,998 | Bristol-Myers Squibb Co. | 6,985,218 | ||||||||
| 78,585 | Gilead Sciences, Inc. | 5,050,658 | ||||||||
| 14,982 | Incyte Corp. * | 865,810 | ||||||||
| 117,261 | Johnson & Johnson | 17,198,671 | ||||||||
| 97,815 | Merck & Co., Inc. | 12,279,695 | ||||||||
| 412,807 | Pfizer, Inc. | 11,831,049 | ||||||||
| 6,988 | Regeneron Pharmaceuticals, Inc. * | 6,849,358 | ||||||||
| 4,443 | United Therapeutics Corp. * | 1,222,402 | ||||||||
| 217,609 | Viatris, Inc. | 2,306,655 | ||||||||
|
|
|
|||||||||
| Total Pharmaceuticals, Biotechnology & Life Sciences | 64,589,516 | |||||||||
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment — 3.4% |
||||||||||
| 232,405 | Intel Corp. | 7,169,694 | ||||||||
| 48,103 | QUALCOMM, Inc. | 9,815,417 | ||||||||
| 16,122 | Skyworks Solutions, Inc. | 1,493,865 | ||||||||
|
|
|
|||||||||
| Total Semiconductors & Semiconductor Equipment | 18,478,976 | |||||||||
|
|
|
|||||||||
| Software & Services — 2.8% | ||||||||||
| 62,574 | Cognizant Technology Solutions Corp. – Class A | 4,139,270 | ||||||||
| 65,470 | International Business Machines Corp. | 10,923,670 | ||||||||
| 8,812 | Zoom Video Communications, Inc. – Class A * | 540,528 | ||||||||
|
|
|
|||||||||
| Total Software & Services | 15,603,468 | |||||||||
|
|
|
|||||||||
| Technology Hardware & Equipment — 4.9% | ||||||||||
| 24,803 | Arrow Electronics, Inc. * | 3,256,882 | ||||||||
| 14,306 | Avnet, Inc. | 781,107 | ||||||||
| 268,110 | Cisco Systems, Inc. | 12,467,115 | ||||||||
| 5,240 | Crane NXT Co. | 331,273 | ||||||||
| 235,338 | Hewlett Packard Enterprise Co. | 4,153,716 | ||||||||
| 155,412 | HP, Inc. | 5,672,538 | ||||||||
|
|
|
|||||||||
| Total Technology Hardware & Equipment | 26,662,631 | |||||||||
|
|
|
|||||||||
| Telecommunication Services — 2.3% | ||||||||||
| 42,523 | AT&T, Inc. | 774,769 | ||||||||
| 289,250 | Verizon Communications, Inc. | 11,902,638 | ||||||||
|
|
|
|||||||||
| Total Telecommunication Services | 12,677,407 | |||||||||
|
|
|
|||||||||
GMO U.S. Opportunistic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Transportation — 0.0% | ||||||||||
| 1,868 | Matson, Inc. | 239,478 | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $496,892,343) |
542,329,756 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 1.0% | ||||||||||
| Affiliated Issuers — 1.0% | ||||||||||
| 1,056,197 | GMO U.S. Treasury Fund | 5,280,987 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $5,280,987) |
|
5,280,987 |
| |||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.0% | ||||||||||
| Money Market Funds — 0.0% | ||||||||||
| 84,321 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (a) | 84,321 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $84,321) |
84,321 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.0% (Cost $502,257,651) |
547,695,064 | |||||||||
| Other Assets and Liabilities (net) — (0.0)% | (198,921 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $547,496,143 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (a) | The rate disclosed is the 7 day net yield as of May 31, 2024. |
GMO U.S. Small Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 97.5% | ||||||||||
| Automobiles & Components — 0.7% | ||||||||||
| 4,824 | Dana, Inc. | 67,825 | ||||||||
| 1,588 | Patrick Industries, Inc. | 181,985 | ||||||||
| 603 | Winnebago Industries, Inc. | 37,416 | ||||||||
|
|
|
|||||||||
| Total Automobiles & Components | 287,226 | |||||||||
|
|
|
|||||||||
| Banks — 9.7% | ||||||||||
| 2,706 | 1st Source Corp. | 139,142 | ||||||||
| 4,458 | Amalgamated Financial Corp. | 112,698 | ||||||||
| 1,366 | Arrow Financial Corp. | 34,300 | ||||||||
| 19,136 | Associated Banc-Corp. | 409,893 | ||||||||
| 8,098 | BankUnited, Inc. | 232,332 | ||||||||
| 1,866 | Banner Corp. | 87,385 | ||||||||
| 1,196 | Berkshire Hills Bancorp, Inc. | 26,587 | ||||||||
| 600 | Capital City Bank Group, Inc. | 16,296 | ||||||||
| 1,181 | Central Pacific Financial Corp. | 23,951 | ||||||||
| 371 | City Holding Co. | 37,924 | ||||||||
| 470 | Civista Bancshares, Inc. | 6,735 | ||||||||
| 2,452 | Community Trust Bancorp, Inc. | 103,254 | ||||||||
| 900 | Community West Bancshares | 15,633 | ||||||||
| 3,740 | Customers Bancorp, Inc. * | 169,422 | ||||||||
| 2,387 | Eagle Bancorp, Inc. | 43,038 | ||||||||
| 4,598 | East West Bancorp, Inc. | 341,126 | ||||||||
| 1,228 | Enterprise Financial Services Corp. | 47,511 | ||||||||
| 915 | FB Financial Corp. | 33,855 | ||||||||
| 1,004 | Financial Institutions, Inc. | 17,680 | ||||||||
| 11,375 | First BanCorp | 201,679 | ||||||||
| 984 | First Busey Corp. | 22,248 | ||||||||
| 1,441 | First Community Bankshares, Inc. | 50,060 | ||||||||
| 691 | First Financial Bancorp | 15,409 | ||||||||
| 2,252 | First Financial Corp. | 83,414 | ||||||||
| 3,515 | First Horizon Corp. | 55,678 | ||||||||
| 1,097 | First Merchants Corp. | 36,256 | ||||||||
| 400 | Great Southern Bancorp, Inc. | 20,996 | ||||||||
| 8,589 | Hanmi Financial Corp. | 135,363 | ||||||||
| 956 | Heritage Financial Corp. | 17,332 | ||||||||
| 5,053 | Hope Bancorp, Inc. | 53,208 | ||||||||
| 3,074 | Independent Bank Corp. | 77,034 | ||||||||
| 1,903 | International Bancshares Corp. | 108,147 | ||||||||
| 2,896 | Midland States Bancorp, Inc. | 65,797 | ||||||||
| 1,200 | MidWestOne Financial Group, Inc. | 25,692 | ||||||||
| 449 | National Bank Holdings Corp. – Class A | 16,375 | ||||||||
| 2,032 | OceanFirst Financial Corp. | 30,582 | ||||||||
| 4,260 | OFG Bancorp | 158,301 | ||||||||
| 693 | Peoples Bancorp, Inc. | 20,201 | ||||||||
| 3,269 | Popular, Inc. | 290,974 | ||||||||
| 468 | Preferred Bank | 34,969 | ||||||||
| 882 | Premier Financial Corp. | 17,384 | ||||||||
| 2,172 | Provident Financial Services, Inc. | 31,277 | ||||||||
| 407 | QCR Holdings, Inc. | 23,065 | ||||||||
| 2,512 | Renasant Corp. | 75,661 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Banks — continued | ||||||||||
| 613 | Republic Bancorp, Inc. – Class A | 31,747 | ||||||||
| 1,096 | Sandy Spring Bancorp, Inc. | 25,690 | ||||||||
| 1,715 | Simmons First National Corp. – Class A | 29,807 | ||||||||
| 738 | Southside Bancshares, Inc. | 19,786 | ||||||||
| 1,431 | Trustmark Corp. | 41,714 | ||||||||
| 1,839 | Veritex Holdings, Inc. | 37,516 | ||||||||
| 2 | Westamerica BanCorp | 98 | ||||||||
|
|
|
|||||||||
| Total Banks | 3,752,222 | |||||||||
|
|
|
|||||||||
| Capital Goods — 11.8% | ||||||||||
| 138 | Acuity Brands, Inc. | 35,826 | ||||||||
| 979 | AGCO Corp. | 105,076 | ||||||||
| 8,833 | Allison Transmission Holdings, Inc. | 669,630 | ||||||||
| 1,777 | American Woodmark Corp. * | 153,017 | ||||||||
| 5,100 | Apogee Enterprises, Inc. | 331,347 | ||||||||
| 2,714 | AZZ, Inc. | 227,650 | ||||||||
| 1,272 | BlueLinx Holdings, Inc. * | 130,876 | ||||||||
| 1,677 | Boise Cascade Co. | 230,235 | ||||||||
| 350 | Columbus McKinnon Corp. | 13,685 | ||||||||
| 384 | DXP Enterprises, Inc. * | 19,077 | ||||||||
| 16,014 | Gates Industrial Corp. PLC * | 278,964 | ||||||||
| 1,187 | Gibraltar Industries, Inc. * | 89,571 | ||||||||
| 360 | Global Industrial Co. | 12,460 | ||||||||
| 4,230 | GMS, Inc. * | 397,451 | ||||||||
| 1,854 | Greenbrier Cos., Inc. | 102,434 | ||||||||
| 291 | Griffon Corp. | 19,654 | ||||||||
| 1,159 | Hyster-Yale Materials Handling, Inc. | 84,132 | ||||||||
| 9,592 | JELD-WEN Holding, Inc. * | 148,772 | ||||||||
| 4,714 | Kennametal, Inc. | 121,385 | ||||||||
| 14,812 | Masterbrand, Inc. * | 247,509 | ||||||||
| 1,621 | Matrix Service Co. * | 19,582 | ||||||||
| 1,340 | Miller Industries, Inc. | 81,472 | ||||||||
| 15,479 | MRC Global, Inc. * | 205,716 | ||||||||
| 1,630 | Oshkosh Corp. | 185,380 | ||||||||
| 1,152 | Park-Ohio Holdings Corp. | 30,125 | ||||||||
| 539 | Preformed Line Products Co. | 72,409 | ||||||||
| 1,929 | Primoris Services Corp. | 105,632 | ||||||||
| 2,283 | Quanex Building Products Corp. | 75,248 | ||||||||
| 3,745 | Resideo Technologies, Inc. * | 80,892 | ||||||||
| 300 | Rush Enterprises, Inc. – Class B | 12,681 | ||||||||
| 2,204 | Tennant Co. | 226,263 | ||||||||
| 282 | UFP Industries, Inc. | 33,693 | ||||||||
| 1,781 | Wabash National Corp. | 40,268 | ||||||||
|
|
|
|||||||||
| Total Capital Goods | 4,588,112 | |||||||||
|
|
|
|||||||||
| Commercial & Professional Services — 7.1% | ||||||||||
| 1,038 | ABM Industries, Inc. | 49,066 | ||||||||
| 33,149 | ACCO Brands Corp. | 168,729 | ||||||||
| 800 | Barrett Business Services, Inc. | 105,872 | ||||||||
| 6,053 | Brady Corp. – Class A | 413,238 | ||||||||
| 3,228 | BrightView Holdings, Inc. * | 44,579 | ||||||||
| 271 | Cimpress PLC * | 22,360 | ||||||||
GMO U.S. Small Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Commercial & Professional Services — continued | ||||||||||
| 10,995 | Deluxe Corp. | 249,916 | ||||||||
| 20,700 | GEO Group, Inc. * | 300,978 | ||||||||
| 4,971 | Heidrick & Struggles International, Inc. | 170,406 | ||||||||
| 5,123 | HNI Corp. | 241,037 | ||||||||
| 4,785 | Interface, Inc. | 77,086 | ||||||||
| 7,365 | Kelly Services, Inc. – Class A | 160,115 | ||||||||
| 2,166 | ManpowerGroup, Inc. | 161,627 | ||||||||
| 4,656 | MillerKnoll, Inc. | 128,413 | ||||||||
| 429 | Parsons Corp. * | 32,668 | ||||||||
| 4,979 | Pitney Bowes, Inc. | 26,986 | ||||||||
| 10,690 | Resources Connection, Inc. | 122,401 | ||||||||
| 16,536 | Steelcase, Inc. – Class A | 225,882 | ||||||||
| 5,005 | TrueBlue, Inc. * | 54,054 | ||||||||
|
|
|
|||||||||
| Total Commercial & Professional Services | 2,755,413 | |||||||||
|
|
|
|||||||||
| Consumer Discretionary Distribution & Retail — 6.5% | ||||||||||
| 1,801 | 1-800-Flowers.com, Inc. – Class A * | 17,434 | ||||||||
| 6,558 | Aaron’s Co., Inc. | 55,612 | ||||||||
| 1,356 | Buckle, Inc. | 52,260 | ||||||||
| 4,961 | Caleres, Inc. | 172,047 | ||||||||
| 3,090 | Cato Corp. – Class A | 18,540 | ||||||||
| 12,886 | Container Store Group, Inc. * | 8,636 | ||||||||
| 3,407 | Foot Locker, Inc. | 94,476 | ||||||||
| 10,052 | Gap, Inc. | 291,106 | ||||||||
| 5,672 | Genesco, Inc. * | 161,652 | ||||||||
| 1,370 | Group 1 Automotive, Inc. | 426,043 | ||||||||
| 3,001 | Guess?, Inc. | 69,833 | ||||||||
| 4,807 | Haverty Furniture Cos., Inc. | 136,567 | ||||||||
| 876 | Hibbett, Inc. | 75,844 | ||||||||
| 4,684 | Kohl’s Corp. | 104,875 | ||||||||
| 1,692 | Lands’ End, Inc. * | 24,179 | ||||||||
| 13,624 | Macy’s, Inc. | 265,395 | ||||||||
| 9,410 | Sally Beauty Holdings, Inc. * | 114,614 | ||||||||
| 9,848 | Shoe Carnival, Inc. | 371,762 | ||||||||
| 2,073 | Victoria’s Secret & Co. * | 47,244 | ||||||||
| 494 | Weyco Group, Inc. | 15,101 | ||||||||
|
|
|
|||||||||
| Total Consumer Discretionary Distribution & Retail | 2,523,220 | |||||||||
|
|
|
|||||||||
| Consumer Durables & Apparel — 8.0% | ||||||||||
| 1,136 | Bassett Furniture Industries, Inc. | 17,051 | ||||||||
| 1,107 | Beazer Homes USA, Inc. * | 31,793 | ||||||||
| 1,646 | Carter’s, Inc. | 112,586 | ||||||||
| 8,672 | Ethan Allen Interiors, Inc. | 252,442 | ||||||||
| 10,856 | G-III Apparel Group Ltd. * | 326,331 | ||||||||
| 1,368 | Hooker Furnishings Corp. | 23,776 | ||||||||
| 1,124 | Johnson Outdoors, Inc. – Class A | 40,902 | ||||||||
| 3,378 | KB Home | 238,487 | ||||||||
| 10,449 | La-Z-Boy, Inc. | 392,047 | ||||||||
| 2,283 | M/I Homes, Inc. * | 285,192 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Consumer Durables & Apparel — continued | ||||||||||
| 4,561 | Movado Group, Inc. | 120,867 | ||||||||
| 2,574 | Oxford Industries, Inc. | 284,916 | ||||||||
| 571 | Polaris, Inc. | 47,736 | ||||||||
| 2,109 | Taylor Morrison Home Corp. * | 121,964 | ||||||||
| 1,136 | Toll Brothers, Inc. | 138,183 | ||||||||
| 7,208 | Tri Pointe Homes, Inc. * | 279,166 | ||||||||
| 2,400 | Universal Electronics, Inc. * | 27,408 | ||||||||
| 11,651 | Vera Bradley, Inc. * | 95,072 | ||||||||
| 1,300 | VOXX International Corp. * | 4,797 | ||||||||
| 2,869 | Whirlpool Corp. | 266,903 | ||||||||
|
|
|
|||||||||
| Total Consumer Durables & Apparel | 3,107,619 | |||||||||
|
|
|
|||||||||
| Consumer Services — 2.3% | ||||||||||
| 8,052 | Adtalem Global Education, Inc. * | 518,468 | ||||||||
| 16,861 | Perdoceo Education Corp. | 379,373 | ||||||||
|
|
|
|||||||||
| Total Consumer Services | 897,841 | |||||||||
|
|
|
|||||||||
| Consumer Staples Distribution & Retail — 0.9% | ||||||||||
| 1,408 | Ingles Markets, Inc. – Class A | 102,981 | ||||||||
| 5,461 | SpartanNash Co. | 107,309 | ||||||||
| 1,140 | Village Super Market, Inc. – Class A | 34,656 | ||||||||
| 1,444 | Weis Markets, Inc. | 94,654 | ||||||||
|
|
|
|||||||||
| Total Consumer Staples Distribution & Retail | 339,600 | |||||||||
|
|
|
|||||||||
| Energy — 5.9% | ||||||||||
| 2,941 | Chord Energy Corp. | 545,291 | ||||||||
| 2,138 | Crescent Energy Co. – Class A | 26,939 | ||||||||
| 4,870 | FutureFuel Corp. | 20,844 | ||||||||
| 3,275 | Granite Ridge Resources, Inc. | 21,451 | ||||||||
| 1,035 | Gulfport Energy Corp. * | 167,473 | ||||||||
| 2,124 | Kodiak Gas Services, Inc. | 58,516 | ||||||||
| 9,332 | Oil States International, Inc. * | 41,714 | ||||||||
| 11,549 | PBF Energy, Inc. – Class A | 535,065 | ||||||||
| 1,603 | SandRidge Energy, Inc. | 22,378 | ||||||||
| 3,513 | Select Energy Services, Inc. | 38,397 | ||||||||
| 3,042 | SilverBow Resources, Inc. * | 119,246 | ||||||||
| 786 | SM Energy Co. | 39,638 | ||||||||
| 5,776 | Solaris Oilfield Infrastructure, Inc. – Class A | 52,908 | ||||||||
| 2,874 | Vitesse Energy, Inc. | 73,345 | ||||||||
| 20,232 | World Kinect Corp. | 532,911 | ||||||||
|
|
|
|||||||||
| Total Energy | 2,296,116 | |||||||||
|
|
|
|||||||||
| Equity Real Estate Investment Trusts (REITs) — 4.8% | ||||||||||
| 647 | Acadia Realty Trust – (REIT) | 11,154 | ||||||||
| 4,094 | American Assets Trust, Inc. – (REIT) | 89,045 | ||||||||
| 5,273 | Brandywine Realty Trust – (REIT) | 24,309 | ||||||||
| 2,307 | Chatham Lodging Trust – (REIT) | 19,517 | ||||||||
| 50,617 | Diversified Healthcare Trust – (REIT) | 122,999 | ||||||||
GMO U.S. Small Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Equity Real Estate Investment Trusts (REITs) — continued |
||||||||||
| 19,420 | Empire State Realty Trust, Inc. – Class A (REIT) | 185,073 | ||||||||
| 2,932 | EPR Properties – (REIT) | 120,329 | ||||||||
| 5,121 | Hudson Pacific Properties, Inc. – (REIT) | 25,144 | ||||||||
| 13,716 | Industrial Logistics Properties Trust – (REIT) | 51,709 | ||||||||
| 339 | Innovative Industrial Properties, Inc. – (REIT) | 36,537 | ||||||||
| 6,028 | Kilroy Realty Corp. – (REIT) | 202,119 | ||||||||
| 644 | LTC Properties, Inc. – (REIT) | 22,154 | ||||||||
| 25,713 | Park Hotels & Resorts, Inc. – (REIT) | 407,808 | ||||||||
| 27,400 | Piedmont Office Realty Trust, Inc. – Class A (REIT) | 199,746 | ||||||||
| 1,150 | Safehold, Inc. – (REIT) | 22,172 | ||||||||
| 23,300 | Service Properties Trust – (REIT) | 125,354 | ||||||||
| 5,027 | Summit Hotel Properties, Inc. – (REIT) | 30,765 | ||||||||
| 6,647 | Whitestone – (REIT) | 86,677 | ||||||||
| 5,706 | Xenia Hotels & Resorts, Inc. – (REIT) | 82,680 | ||||||||
|
|
|
|||||||||
| Total Equity Real Estate Investment Trusts (REITs) | 1,865,291 | |||||||||
|
|
|
|||||||||
| Financial Services — 12.6% | ||||||||||
| 5,397 | Bread Financial Holdings, Inc. | 225,379 | ||||||||
| 1,220 | Brightsphere Investment Group, Inc. | 27,047 | ||||||||
| 9 | Diamond Hill Investment Group, Inc. | 1,350 | ||||||||
| 1,249 | Enact Holdings, Inc. | 38,357 | ||||||||
| 2,103 | Encore Capital Group, Inc. * | 93,037 | ||||||||
| 9,509 | Enova International, Inc. * | 586,230 | ||||||||
| 1,450 | Essent Group Ltd. | 82,215 | ||||||||
| 1,008 | Green Dot Corp. – Class A * | 9,989 | ||||||||
| 3,040 | Invesco Ltd. | 47,758 | ||||||||
| 10,686 | Jackson Financial, Inc. – Class A | 812,243 | ||||||||
| 4,851 | Janus Henderson Group PLC | 162,508 | ||||||||
| 4,642 | LendingTree, Inc. * | 199,560 | ||||||||
| 1,114 | Merchants Bancorp | 44,616 | ||||||||
| 30,235 | MGIC Investment Corp. | 634,935 | ||||||||
| 9,349 | NMI Holdings, Inc. – Class A * | 310,200 | ||||||||
| 1,054 | Oppenheimer Holdings, Inc. – Class A | 48,147 | ||||||||
| 1,608 | PennyMac Financial Services, Inc. | 145,765 | ||||||||
| 6,962 | PROG Holdings, Inc. | 263,094 | ||||||||
| 22,460 | Radian Group, Inc. | 701,650 | ||||||||
| 1,499 | Regional Management Corp. | 41,223 | ||||||||
| 9,705 | SLM Corp. | 208,269 | ||||||||
| 3,499 | Victory Capital Holdings, Inc. – Class A | 182,053 | ||||||||
| 2,367 | Waterstone Financial, Inc. | 28,641 | ||||||||
| 914 | Westwood Holdings Group, Inc. | 11,096 | ||||||||
|
|
|
|||||||||
| Total Financial Services | 4,905,362 | |||||||||
|
|
|
|||||||||
| Food, Beverage & Tobacco — 1.0% | ||||||||||
| 1,811 | Seneca Foods Corp. – Class A * | 107,066 | ||||||||
| 450 | Turning Point Brands, Inc. | 14,765 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Food, Beverage & Tobacco — continued | ||||||||||
| 5,353 | Universal Corp. | 256,730 | ||||||||
|
|
|
|||||||||
| Total Food, Beverage & Tobacco | 378,561 | |||||||||
|
|
|
|||||||||
| Health Care Equipment & Services — 2.0% | ||||||||||
| 2,533 | AMN Healthcare Services, Inc. * | 141,696 | ||||||||
| 1,104 | National HealthCare Corp. | 116,748 | ||||||||
| 2,077 | Owens & Minor, Inc. * | 36,202 | ||||||||
| 4,585 | Patterson Cos., Inc. | 112,745 | ||||||||
| 16,216 | Premier, Inc. – Class A | 306,807 | ||||||||
| 1,932 | Varex Imaging Corp. * | 29,849 | ||||||||
| 2,438 | Zimvie, Inc. * | 40,593 | ||||||||
|
|
|
|||||||||
| Total Health Care Equipment & Services | 784,640 | |||||||||
|
|
|
|||||||||
| Household & Personal Products — 0.2% | ||||||||||
| 5,631 | Nu Skin Enterprises, Inc. – Class A | 75,174 | ||||||||
|
|
|
|||||||||
| Insurance — 5.8% | ||||||||||
| 5,654 | CNO Financial Group, Inc. | 162,213 | ||||||||
| 2,656 | Employers Holdings, Inc. | 112,030 | ||||||||
| 2,190 | First American Financial Corp. | 121,720 | ||||||||
| 10,024 | Genworth Financial, Inc. – Class A * | 63,051 | ||||||||
| 251 | GoHealth, Inc. – Class A * | 2,628 | ||||||||
| 715 | Horace Mann Educators Corp. | 24,432 | ||||||||
| 17,702 | Old Republic International Corp. | 562,570 | ||||||||
| 8,054 | Stewart Information Services Corp. | 509,899 | ||||||||
| 2,723 | Universal Insurance Holdings, Inc. | 53,670 | ||||||||
| 12,070 | Unum Group | 650,090 | ||||||||
|
|
|
|||||||||
| Total Insurance | 2,262,303 | |||||||||
|
|
|
|||||||||
| Materials — 5.0% | ||||||||||
| 1,514 | AdvanSix, Inc. | 35,882 | ||||||||
| 1,340 | Clearwater Paper Corp. * | 71,208 | ||||||||
| 10,652 | Commercial Metals Co. | 599,921 | ||||||||
| 410 | Hawkins, Inc. | 35,801 | ||||||||
| 3,519 | Koppers Holdings, Inc. | 155,997 | ||||||||
| 2,663 | Minerals Technologies, Inc. | 231,015 | ||||||||
| 172 | NewMarket Corp. | 92,032 | ||||||||
| 1,081 | Olympic Steel, Inc. | 56,363 | ||||||||
| 2,981 | Radius Recycling, Inc. | 51,005 | ||||||||
| 8,245 | Ryerson Holding Corp. | 195,819 | ||||||||
| 2,968 | Sylvamo Corp. | 211,678 | ||||||||
| 943 | TriMas Corp. | 25,103 | ||||||||
| 2,545 | Warrior Met Coal, Inc. | 174,154 | ||||||||
|
|
|
|||||||||
| Total Materials | 1,935,978 | |||||||||
|
|
|
|||||||||
| Media & Entertainment — 0.9% | ||||||||||
| 7,147 | AMC Networks, Inc. – Class A * | 123,929 | ||||||||
| 1,914 | Cargurus, Inc. * | 46,338 | ||||||||
| 59 | Cars.com, Inc. * | 1,194 | ||||||||
| 240 | Lee Enterprises, Inc. * | 3,048 | ||||||||
| 2,761 | Shutterstock, Inc. | 112,179 | ||||||||
GMO U.S. Small Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Media & Entertainment — continued | ||||||||||
| 10,935 | Taboola.com Ltd. * | 43,849 | ||||||||
|
|
|
|||||||||
| Total Media & Entertainment | 330,537 | |||||||||
|
|
|
|||||||||
| Pharmaceuticals, Biotechnology & Life Sciences — 2.1% |
||||||||||
| 5,480 | Exelixis, Inc. * | 118,861 | ||||||||
| 25,028 | Organon & Co. | 533,847 | ||||||||
| 700 | Phibro Animal Health Corp. – Class A | 12,341 | ||||||||
| 3,888 | Supernus Pharmaceuticals, Inc. * | 105,443 | ||||||||
| 6,538 | Vanda Pharmaceuticals, Inc. * | 33,409 | ||||||||
|
|
|
|||||||||
| Total Pharmaceuticals, Biotechnology & Life Sciences | 803,901 | |||||||||
|
|
|
|||||||||
| Real Estate Management & Development — 0.3% | ||||||||||
| 12,743 | Douglas Elliman, Inc. * | 14,527 | ||||||||
| 1,122 | Forestar Group, Inc. * | 38,159 | ||||||||
| 4,025 | Newmark Group, Inc. – Class A | 41,900 | ||||||||
|
|
|
|||||||||
| Total Real Estate Management & Development | 94,586 | |||||||||
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment — 5.2% | ||||||||||
| 945 | ACM Research, Inc. – Class A * | 20,412 | ||||||||
| 4,312 | Amkor Technology, Inc. | 140,528 | ||||||||
| 5,917 | Cirrus Logic, Inc. * | 678,680 | ||||||||
| 4,389 | Cohu, Inc. * | 141,501 | ||||||||
| 1,623 | Diodes, Inc. * | 120,313 | ||||||||
| 5,212 | Kulicke & Soffa Industries, Inc. | 238,032 | ||||||||
| 2,216 | MaxLinear, Inc. * | 39,378 | ||||||||
| 8,687 | Photronics, Inc. * | 237,590 | ||||||||
| 5,464 | SMART Global Holdings, Inc. * | 112,449 | ||||||||
| 7,405 | Veeco Instruments, Inc. * | 301,013 | ||||||||
|
|
|
|||||||||
| Total Semiconductors & Semiconductor Equipment | 2,029,896 | |||||||||
|
|
|
|||||||||
| Software & Services — 0.2% | ||||||||||
| 600 | ASGN, Inc. * | 56,346 | ||||||||
| 2,572 | Unisys Corp. * | 11,034 | ||||||||
|
|
|
|||||||||
| Total Software & Services | 67,380 | |||||||||
|
|
|
|||||||||
| Technology Hardware & Equipment — 4.3% | ||||||||||
| 578 | Arrow Electronics, Inc. * | 75,897 | ||||||||
| 12,313 | Avnet, Inc. | 672,290 | ||||||||
| 5,241 | Benchmark Electronics, Inc. | 225,730 | ||||||||
| 404 | ePlus, Inc. * | 30,235 | ||||||||
| 2,139 | Kimball Electronics, Inc. * | 49,026 | ||||||||
| 1,837 | ScanSource, Inc. * | 87,129 | ||||||||
| 1,322 | TTM Technologies, Inc. * | 24,589 | ||||||||
| 3,088 | Vontier Corp. | 123,458 | ||||||||
| 26,725 | Xerox Holdings Corp. | 375,754 | ||||||||
|
|
|
|||||||||
| Total Technology Hardware & Equipment | 1,664,108 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Telecommunication Services — 0.2% | ||||||||||
| 5,621 | Spok Holdings, Inc. | 85,495 | ||||||||
|
|
|
|||||||||
| Transportation — 0.0% | ||||||||||
| 153 | ArcBest Corp. | 16,145 | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $34,913,378) |
37,846,726 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 2.6% | ||||||||||
| Affiliated Issuers — 2.6% | ||||||||||
| 204,766 | GMO U.S. Treasury Fund | 1,023,828 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $1,023,828) |
1,023,828 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.6% | ||||||||||
| Money Market Funds — 0.6% | ||||||||||
| 231,261 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (a) | 231,261 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $231,261) |
231,261 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.7% (Cost $36,168,467) |
39,101,815 | |||||||||
| Other Assets and Liabilities (net) — (0.7)% | (265,227 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $38,836,588 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (a) | The rate disclosed is the 7 day net yield as of May 31, 2024. |
Portfolio Abbreviations:
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, 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 management 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 May 31, 2024, 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 May 31, 2024:
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Climate Change Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Argentina |
$ | 2,273,749 | $ | — | $ | — | $ | 2,273,749 | ||||||||
| Australia |
— | 1,796,250 | — | 1,796,250 | ||||||||||||
| Brazil |
— | 4,350,452 | — | 4,350,452 | ||||||||||||
| Canada |
63,989,341 | — | 104,837 | 64,094,178 | ||||||||||||
| China |
— | 6,521,006 | — | 6,521,006 | ||||||||||||
| Denmark |
— | 11,635,857 | — | 11,635,857 | ||||||||||||
| Finland |
— | 15,802,055 | — | 15,802,055 | ||||||||||||
| France |
— | 104,568,337 | — | 104,568,337 | ||||||||||||
| Germany |
— | 28,455,928 | — | 28,455,928 | ||||||||||||
| Ireland |
— | 4,741,755 | — | 4,741,755 | ||||||||||||
| Italy |
— | 9,557,730 | — | 9,557,730 | ||||||||||||
| Japan |
— | 34,176,310 | — | 34,176,310 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Climate Change Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| Mexico |
$ | 17,053,761 | $ | — | $ | — | $ | 17,053,761 | ||||||||
| Netherlands |
— | 7,384,193 | — | 7,384,193 | ||||||||||||
| Norway |
— | 15,934,086 | — | 15,934,086 | ||||||||||||
| Russia |
— | — | 192,416 | 192,416 | ||||||||||||
| South Korea |
— | 53,007,373 | — | 53,007,373 | ||||||||||||
| Spain |
— | 24,509,689 | — | 24,509,689 | ||||||||||||
| Switzerland |
— | 2,165,337 | — | 2,165,337 | ||||||||||||
| Ukraine |
— | 622,962 | — | 622,962 | ||||||||||||
| United Kingdom |
4,149,200 | 2,049,720 | — | 6,198,920 | ||||||||||||
| United States |
419,532,409 | 1,283,115 | — | 420,815,524 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
506,998,460 | 328,562,155 | 297,253 | 835,857,868 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Chile |
16,251,787 | — | — | 16,251,787 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
16,251,787 | — | — | 16,251,787 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Rights/Warrants |
||||||||||||||||
| United Kingdom |
131,816 | — | — | 131,816 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS |
131,816 | — | — | 131,816 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
3,274,193 | — | — | 3,274,193 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
3,274,193 | — | — | 3,274,193 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
526,656,256 | 328,562,155 | 297,253 | 855,515,664 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 526,656,256 | $ | 328,562,155 | $ | 297,253 | $ | 855,515,664 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Emerging Markets ex-China Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Brazil |
$ | 1,184,482 | $ | 6,126,016 | $ | — | $ | 7,310,498 | ||||||||
| Chile |
— | 141,667 | — | 141,667 | ||||||||||||
| Colombia |
19,342 | — | — | 19,342 | ||||||||||||
| Czech Republic |
— | 259,235 | — | 259,235 | ||||||||||||
| Egypt |
— | 711,685 | — | 711,685 | ||||||||||||
| Greece |
— | 110,316 | — | 110,316 | ||||||||||||
| Hungary |
— | 4,170,351 | — | 4,170,351 | ||||||||||||
| India |
133,330 | 18,905,127 | — | 19,038,457 | ||||||||||||
| Indonesia |
— | 6,553,271 | — | 6,553,271 | ||||||||||||
| Malaysia |
— | 12,291 | — | 12,291 | ||||||||||||
| Mexico |
7,672,585 | — | 0 | § | 7,672,585 | |||||||||||
| Pakistan |
— | 903,480 | — | 903,480 | ||||||||||||
| Philippines |
— | 18,328 | — | 18,328 | ||||||||||||
| Poland |
— | 1,940,182 | — | 1,940,182 | ||||||||||||
| Qatar |
— | 664,052 | — | 664,052 | ||||||||||||
| Russia |
— | — | 474,765 | 474,765 | ||||||||||||
| South Africa |
— | 7,681,630 | — | 7,681,630 | ||||||||||||
| South Korea |
— | 7,904,167 | — | 7,904,167 | ||||||||||||
| Taiwan |
3,295,922 | 27,751,493 | — | 31,047,415 | ||||||||||||
| Thailand |
— | 2,277,447 | — | 2,277,447 | ||||||||||||
| United Arab Emirates |
— | 54,807 | — | 54,807 | ||||||||||||
| Vietnam |
— | 2,627,156 | — | 2,627,156 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
12,305,661 | 88,812,701 | 474,765 | 101,593,127 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
— | 7,500,530 | — | 7,500,530 | ||||||||||||
| Colombia |
1,271,135 | — | — | 1,271,135 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Emerging Markets ex-China Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Preferred Stocks (continued) |
||||||||||||||||
| Russia |
$ | — | $ | — | $ | 35,102 | $ | 35,102 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
1,271,135 | 7,500,530 | 35,102 | 8,806,767 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Rights/Warrants |
||||||||||||||||
| Vietnam |
— | — | 52,301 | 52,301 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS |
— | — | 52,301 | 52,301 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
3,104,517 | — | — | 3,104,517 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
3,104,517 | — | — | 3,104,517 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
10,337 | — | — | 10,337 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
16,691,650 | 96,313,231 | 562,168 | 113,567,049 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 16,691,650 | $ | 96,313,231 | $ | 562,168 | $ | 113,567,049 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Emerging Markets Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Brazil |
$ | 6,592,910 | $ | 15,962,598 | $ | — | $ | 22,555,508 | ||||||||
| Chile |
— | 233,268 | — | 233,268 | ||||||||||||
| China |
9,691,585 | 86,866,368 | 1 | 96,557,954 | ||||||||||||
| Colombia |
104,208 | — | — | 104,208 | ||||||||||||
| Czech Republic |
— | 1,611,317 | — | 1,611,317 | ||||||||||||
| Egypt |
— | 1,389,997 | — | 1,389,997 | ||||||||||||
| Greece |
— | 271,740 | — | 271,740 | ||||||||||||
| Hungary |
— | 14,487,762 | — | 14,487,762 | ||||||||||||
| India |
— | 42,241,173 | — | 42,241,173 | ||||||||||||
| Indonesia |
— | 12,620,488 | — | 12,620,488 | ||||||||||||
| Kuwait |
— | 301,218 | — | 301,218 | ||||||||||||
| Malaysia |
— | 168,574 | — | 168,574 | ||||||||||||
| Mexico |
22,583,216 | — | 0 | § | 22,583,216 | |||||||||||
| Pakistan |
— | 3,755,078 | — | 3,755,078 | ||||||||||||
| Philippines |
— | 270,894 | — | 270,894 | ||||||||||||
| Poland |
— | 5,222,522 | — | 5,222,522 | ||||||||||||
| Qatar |
— | 2,233,873 | — | 2,233,873 | ||||||||||||
| Russia |
— | — | 2,266,374 | 2,266,374 | ||||||||||||
| South Africa |
— | 26,275,347 | — | 26,275,347 | ||||||||||||
| South Korea |
— | 10,256,371 | — | 10,256,371 | ||||||||||||
| Sri Lanka |
— | — | 310,125 | 310,125 | ||||||||||||
| Taiwan |
— | 85,850,195 | — | 85,850,195 | ||||||||||||
| Thailand |
— | 9,112,560 | — | 9,112,560 | ||||||||||||
| Vietnam |
— | 8,564,481 | — | 8,564,481 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
38,971,919 | 327,695,824 | 2,576,500 | 369,244,243 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
— | 13,616,877 | — | 13,616,877 | ||||||||||||
| Colombia |
4,771,817 | — | — | 4,771,817 | ||||||||||||
| Russia |
— | — | 613,650 | 613,650 | ||||||||||||
| South Korea |
— | 1,993,459 | — | 1,993,459 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
4,771,817 | 15,610,336 | 613,650 | 20,995,803 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Rights/Warrants |
||||||||||||||||
| Vietnam |
— | — | 237,002 | 237,002 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS |
— | — | 237,002 | 237,002 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Emerging Markets Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Debt Obligations |
||||||||||||||||
| United States |
$ | 300,327 | $ | — | $ | — | $ | 300,327 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
300,327 | — | — | 300,327 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
5,029,518 | — | — | 5,029,518 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
5,029,518 | — | — | 5,029,518 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
568,350 | — | — | 568,350 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
49,641,931 | 343,306,160 | 3,427,152 | 396,375,243 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
296,211 | — | — | 296,211 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 49,938,142 | $ | 343,306,160 | $ | 3,427,152 | $ | 396,671,454 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| International Equity Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | 30,510,287 | $ | — | $ | 30,510,287 | ||||||||
| Austria |
— | 7,721,663 | — | 7,721,663 | ||||||||||||
| Belgium |
— | 20,917,375 | — | 20,917,375 | ||||||||||||
| Denmark |
— | 122,897 | — | 122,897 | ||||||||||||
| Finland |
— | 3,502,449 | — | 3,502,449 | ||||||||||||
| France |
20,038,031 | 117,784,845 | — | 137,822,876 | ||||||||||||
| Germany |
— | 46,216,271 | — | 46,216,271 | ||||||||||||
| Hong Kong |
— | 11,926,726 | — | 11,926,726 | ||||||||||||
| Ireland |
— | 4,575,283 | — | 4,575,283 | ||||||||||||
| Italy |
— | 65,004,027 | — | 65,004,027 | ||||||||||||
| Japan |
9,486,576 | 253,098,394 | — | 262,584,970 | ||||||||||||
| Netherlands |
— | 69,860,876 | — | 69,860,876 | ||||||||||||
| Norway |
— | 25,144,624 | — | 25,144,624 | ||||||||||||
| Portugal |
— | 2,430,960 | — | 2,430,960 | ||||||||||||
| Singapore |
— | 26,906,605 | — | 26,906,605 | ||||||||||||
| Spain |
— | 66,096,890 | — | 66,096,890 | ||||||||||||
| Sweden |
— | 34,655,912 | — | 34,655,912 | ||||||||||||
| Switzerland |
5,222,769 | 53,865,787 | — | 59,088,556 | ||||||||||||
| United Kingdom |
29,432,864 | 88,674,803 | — | 118,107,667 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
64,180,240 | 929,016,674 | — | 993,196,914 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Germany |
— | 2,666,939 | — | 2,666,939 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | 2,666,939 | — | 2,666,939 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Debt Obligations |
||||||||||||||||
| United States |
2,000,928 | — | — | 2,000,928 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
2,000,928 | — | — | 2,000,928 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
66,296,735 | — | — | 66,296,735 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
66,296,735 | — | — | 66,296,735 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
1,449,710 | — | — | 1,449,710 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
133,927,613 | 931,683,613 | — | 1,065,611,226 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
111,705 | — | — | 111,705 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 134,039,318 | $ | 931,683,613 | $ | — | $ | 1,065,722,931 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| International Opportunistic Value Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | 16,113,616 | $ | — | $ | 16,113,616 | ||||||||
| Austria |
— | 4,305,096 | — | 4,305,096 | ||||||||||||
| Belgium |
— | 5,620,044 | — | 5,620,044 | ||||||||||||
| Canada |
49,543,490 | — | — | 49,543,490 | ||||||||||||
| Denmark |
— | 4,317,650 | — | 4,317,650 | ||||||||||||
| Finland |
— | 6,170,990 | — | 6,170,990 | ||||||||||||
| France |
1,334,940 | 52,948,818 | — | 54,283,758 | ||||||||||||
| Germany |
— | 16,333,608 | — | 16,333,608 | ||||||||||||
| Hong Kong |
— | 12,783,889 | — | 12,783,889 | ||||||||||||
| Italy |
1,556,019 | 16,703,619 | — | 18,259,638 | ||||||||||||
| Japan |
5,780,782 | 70,416,569 | — | 76,197,351 | ||||||||||||
| Netherlands |
— | 23,857,989 | — | 23,857,989 | ||||||||||||
| Norway |
— | 4,869,402 | — | 4,869,402 | ||||||||||||
| Portugal |
— | 4,628 | — | 4,628 | ||||||||||||
| Russia |
— | — | 31 | 31 | ||||||||||||
| Singapore |
— | 3,609,992 | — | 3,609,992 | ||||||||||||
| Spain |
— | 20,101,057 | — | 20,101,057 | ||||||||||||
| Sweden |
— | 5,672,340 | — | 5,672,340 | ||||||||||||
| Switzerland |
9,238,688 | 19,322,443 | — | 28,561,131 | ||||||||||||
| United Kingdom |
26,910,875 | 19,297,034 | — | 46,207,909 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
94,364,794 | 302,448,784 | 31 | 396,813,609 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Germany |
— | 1,918,214 | — | 1,918,214 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | 1,918,214 | — | 1,918,214 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
9,530,001 | — | — | 9,530,001 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
9,530,001 | — | — | 9,530,001 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
2,386,758 | — | — | 2,386,758 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
106,281,553 | 304,366,998 | 31 | 410,648,582 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 106,281,553 | $ | 304,366,998 | $ | 31 | $ | 410,648,582 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Japan Value Creation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
$ | — | $ | 163,571,878 | $ | — | $ | 163,571,878 | ||||||||
| Short-Term Investments |
6,580,191 | — | — | 6,580,191 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
6,580,191 | 163,571,878 | — | 170,152,069 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 6,580,191 | $ | 163,571,878 | $ | — | $ | 170,152,069 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Quality Cyclicals Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Brazil |
$ | — | $ | 113,765 | $ | — | $ | 113,765 | ||||||||
| Canada |
3,744,192 | — | — | 3,744,192 | ||||||||||||
| Finland |
— | 992,126 | — | 992,126 | ||||||||||||
| France |
— | 4,598,928 | — | 4,598,928 | ||||||||||||
| Germany |
— | 2,009,253 | — | 2,009,253 | ||||||||||||
| Hong Kong |
— | 875,076 | — | 875,076 | ||||||||||||
| Ireland |
2,401,782 | — | — | 2,401,782 | ||||||||||||
| Mexico |
5,176,169 | — | — | 5,176,169 | ||||||||||||
| Netherlands |
— | 411,118 | — | 411,118 | ||||||||||||
| Russia |
— | — | 35,986 | 35,986 | ||||||||||||
| Spain |
— | 5,109,800 | — | 5,109,800 | ||||||||||||
| United Kingdom |
— | 8,386,588 | — | 8,386,588 | ||||||||||||
| United States |
43,303,543 | — | — | 43,303,543 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
54,625,686 | 22,496,654 | 35,986 | 77,158,326 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Quality Cyclicals Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
$ | — | $ | 808,079 | $ | — | $ | 808,079 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | 808,079 | — | 808,079 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
2,751,028 | — | — | 2,751,028 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
2,751,028 | — | — | 2,751,028 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
844,371 | — | — | 844,371 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
58,221,085 | 23,304,733 | 35,986 | 81,561,804 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 58,221,085 | $ | 23,304,733 | $ | 35,986 | $ | 81,561,804 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Quality Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| France |
$ | — | $ | 437,882,067 | $ | — | $ | 437,882,067 | ||||||||
| Germany |
— | 330,680,696 | — | 330,680,696 | ||||||||||||
| Spain |
— | 68,998,819 | — | 68,998,819 | ||||||||||||
| Switzerland |
— | 240,497,806 | — | 240,497,806 | ||||||||||||
| Taiwan |
— | 305,522,851 | — | 305,522,851 | ||||||||||||
| United Kingdom |
— | 687,873,438 | — | 687,873,438 | ||||||||||||
| United States |
7,463,321,961 | — | — | 7,463,321,961 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
7,463,321,961 | 2,071,455,677 | — | 9,534,777,638 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
302,069,053 | — | — | 302,069,053 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
302,069,053 | — | — | 302,069,053 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
1,428,818 | — | — | 1,428,818 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
7,766,819,832 | 2,071,455,677 | — | 9,838,275,509 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 7,766,819,832 | $ | 2,071,455,677 | $ | — | $ | 9,838,275,509 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Resource Transition Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Argentina |
$ | 773,621 | $ | — | $ | — | $ | 773,621 | ||||||||
| Australia |
— | 2,829,946 | — | 2,829,946 | ||||||||||||
| Brazil |
— | 7,167,755 | — | 7,167,755 | ||||||||||||
| Canada |
18,276,124 | — | 60,134 | 18,336,258 | ||||||||||||
| China |
— | 2,540,642 | — | 2,540,642 | ||||||||||||
| Finland |
— | 1,768,472 | — | 1,768,472 | ||||||||||||
| France |
— | 3,579,500 | — | 3,579,500 | ||||||||||||
| Italy |
— | 1,009,086 | — | 1,009,086 | ||||||||||||
| Japan |
— | 219,680 | — | 219,680 | ||||||||||||
| Mexico |
3,900,551 | — | — | 3,900,551 | ||||||||||||
| Norway |
— | 845,524 | — | 845,524 | ||||||||||||
| South Africa |
— | 5,784,798 | — | 5,784,798 | ||||||||||||
| Spain |
— | 1,577,537 | — | 1,577,537 | ||||||||||||
| Sweden |
— | 4,561,893 | — | 4,561,893 | ||||||||||||
| United Kingdom |
— | 12,340,325 | — | 12,340,325 | ||||||||||||
| United States |
53,840,485 | — | — | 53,840,485 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
76,790,781 | 44,225,158 | 60,134 | 121,076,073 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
— | 6,004,237 | — | 6,004,237 | ||||||||||||
| Chile |
4,076,910 | — | — | 4,076,910 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
4,076,910 | 6,004,237 | — | 10,081,147 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
1,873,450 | — | — | 1,873,450 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
1,873,450 | — | — | 1,873,450 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
258,764 | — | — | 258,764 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
82,999,905 | 50,229,395 | 60,134 | 133,289,434 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 82,999,905 | $ | 50,229,395 | $ | 60,134 | $ | 133,289,434 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Resources Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Argentina |
$ | 31,075,672 | $ | — | $ | — | $ | 31,075,672 | ||||||||
| Australia |
— | 43,304,978 | — | 43,304,978 | ||||||||||||
| Austria |
— | 29,354,345 | — | 29,354,345 | ||||||||||||
| Brazil |
— | 84,770,332 | — | 84,770,332 | ||||||||||||
| Canada |
226,839,002 | — | 144,151 | 226,983,153 | ||||||||||||
| China |
— | 25,971,530 | — | 25,971,530 | ||||||||||||
| Finland |
— | 19,596,189 | — | 19,596,189 | ||||||||||||
| France |
— | 36,950,729 | — | 36,950,729 | ||||||||||||
| Hong Kong |
— | 7,639,170 | — | 7,639,170 | ||||||||||||
| Hungary |
— | 10,700,529 | — | 10,700,529 | ||||||||||||
| Israel |
— | 19 | — | 19 | ||||||||||||
| Italy |
— | 48,368,538 | — | 48,368,538 | ||||||||||||
| Japan |
— | 4,784,543 | — | 4,784,543 | ||||||||||||
| Mexico |
64,736,237 | — | — | 64,736,237 | ||||||||||||
| Norway |
— | 60,832,065 | — | 60,832,065 | ||||||||||||
| Portugal |
— | 85,806,216 | — | 85,806,216 | ||||||||||||
| Russia |
— | — | 1,514,987 | 1,514,987 | ||||||||||||
| Singapore |
— | — | 2 | 2 | ||||||||||||
| South Africa |
— | 59,131,149 | — | 59,131,149 | ||||||||||||
| Spain |
— | 58,818,564 | — | 58,818,564 | ||||||||||||
| Sweden |
— | 47,072,623 | — | 47,072,623 | ||||||||||||
| Ukraine |
— | 1,419,658 | — | 1,419,658 | ||||||||||||
| United Kingdom |
11,013,420 | 287,200,800 | — | 298,214,220 | ||||||||||||
| United States |
809,838,765 | — | — | 809,838,765 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
1,143,503,096 | 911,721,977 | 1,659,140 | 2,056,884,213 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
— | 136,398,744 | — | 136,398,744 | ||||||||||||
| Chile |
44,098,576 | — | — | 44,098,576 | ||||||||||||
| Russia |
— | — | 716,284 | 716,284 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
44,098,576 | 136,398,744 | 716,284 | 181,213,604 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
39,681,789 | — | — | 39,681,789 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
39,681,789 | — | — | 39,681,789 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
72,191 | — | — | 72,191 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
1,227,355,652 | 1,048,120,721 | 2,375,424 | 2,277,851,797 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 1,227,355,652 | $ | 1,048,120,721 | $ | 2,375,424 | $ | 2,277,851,797 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Small Cap Quality Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
$ | 287,419,630 | $ | — | $ | — | $ | 287,419,630 | ||||||||
| Mutual Funds |
7,783,387 | — | — | 7,783,387 | ||||||||||||
| Short-Term Investments |
312,509 | — | — | 312,509 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
295,515,526 | — | — | 295,515,526 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 295,515,526 | $ | — | $ | — | $ | 295,515,526 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| U.S. Equity Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
$ | 130,814,216 | $ | — | $ | — | $ | 130,814,216 | ||||||||
| Debt Obligations |
252,125 | — | — | 252,125 | ||||||||||||
| Mutual Funds |
1,001,361 | — | — | 1,001,361 | ||||||||||||
| Short-Term Investments |
591,647 | — | — | 591,647 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
132,659,349 | — | — | 132,659,349 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 132,659,349 | $ | — | $ | — | $ | 132,659,349 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| U.S. Opportunistic Value Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
$ | 542,329,756 | $ | — | $ | — | $ | 542,329,756 | ||||||||
| Mutual Funds |
5,280,987 | — | — | 5,280,987 | ||||||||||||
| Short-Term Investments |
84,321 | — | — | 84,321 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
547,695,064 | — | — | 547,695,064 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 547,695,064 | $ | — | $ | — | $ | 547,695,064 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| U.S. Small Cap Value Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
$ | 37,846,726 | $ | — | $ | — | $ | 37,846,726 | ||||||||
| Mutual Funds |
1,023,828 | — | — | 1,023,828 | ||||||||||||
| Short-Term Investments |
231,261 | — | — | 231,261 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
39,101,815 | — | — | 39,101,815 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 39,101,815 | $ | — | $ | — | $ | 39,101,815 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the Prospectus for more information.
| § | Represents the interest in securities that were determined to have a value of zero at May 31, 2024. |
| ^ | 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.
Investments in affiliated companies and other Funds of the Trust
An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended May 31, 2024 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 |
$ | 22,390,770 | $ | 205,687,052 | $ | 224,803,629 | $ | 162,325 | ** | $ | — | $ | — | $ | — | $ | 3,274,193 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Emerging Markets ex-China Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 4,681,209 | $ | 8,934,308 | $ | 10,511,000 | $ | 33,257 | $ | — | $ | — | $ | — | $ | 3,104,517 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Emerging Markets Fund | ||||||||||||||||||||||||||||||||
| Anilana Hotels & Properties Ltd. |
$ | 303,354 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 6,771 | $ | 310,125 | ||||||||||||||||
| GMO U.S. Treasury Fund |
1,004,664 | 14,016,854 | 9,992,000 | 14,566 | — | — | — | 5,029,518 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Totals |
$ | 1,308,018 | $ | 14,016,854 | $ | 9,992,000 | $ | 14,566 | $ | — | $ | — | $ | 6,771 | $ | 5,339,643 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| International Equity Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 71,846,735 | $ | 13,600,000 | $ | 19,150,000 | $ | 928,428 | $ | — | $ | — | $ | — | $ | 66,296,735 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| International Opportunistic Value Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 7,130,000 | $ | 8,500,001 | $ | 6,100,000 | $ | 85,208 | $ | — | $ | — | $ | — | $ | 9,530,001 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Quality Cyclicals Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 501,028 | $ | 2,900,000 | $ | 650,000 | $ | 9,418 | $ | — | $ | — | $ | — | $ | 2,751,028 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Quality Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 278,669,053 | $ | 215,700,000 | $ | 192,300,000 | $ | 4,284,915 | $ | — | $ | — | $ | — | $ | 302,069,053 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Resource Transition Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 2,049,511 | $ | 2,223,939 | $ | 2,400,000 | $ | 24,040 | $ | — | $ | — | $ | — | $ | 1,873,450 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Resources Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 56,231,789 | $ | 172,600,000 | $ | 189,150,000 | $ | 838,691 | $ | — | $ | 4,000 | $ | (4,000 | ) | $ | 39,681,789 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Small Cap Quality Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 7,392,442 | $ | 29,540,945 | $ | 29,150,000 | $ | 141,505 | $ | — | $ | — | $ | — | $ | 7,783,387 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| U.S. Equity Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 1,994,361 | $ | 3,000,000 | $ | 3,993,000 | $ | 9,740 | $ | — | $ | — | $ | — | $ | 1,001,361 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| U.S. Opportunistic Value Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 9,902,208 | $ | 5,998,779 | $ | 10,620,000 | $ | 99,583 | $ | — | $ | — | $ | — | $ | 5,280,987 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Affiliate | Value, beginning of period |
Purchases | Sales Proceeds |
Dividend Income* |
Distributions of Realized Gains* |
Net Realized Gain (Loss) |
Net Increase/ Decrease in Unrealized Appreciation/ Depreciation |
Value, end of period |
||||||||||||||||||||||||
| U.S. Small Cap Value Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 573,827 | $ | 450,001 | $ | — | $ | 10,106 | $ | — | $ | — | $ | — | $ | 1,023,828 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| * | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2024 through May 31, 2024. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2025. |
| ** | 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 $113,362 in Climate Change Fund during the period. |
Subsequent events
Subsequent to May 31, 2024, GMO Emerging Markets ex-China Fund received redemption requests in the amount of $34,194,510.
***
For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report available on the SEC’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.
GMO Asset Allocation Bond Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Par Value† / Shares |
Description | Value ($) | ||||||||
| DEBT OBLIGATIONS — 9.9% |
| |||||||||
| U.S. Government — 9.9% | ||||||||||
| 4,000,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.53%, due 01/31/25 (a) | 4,004,362 | ||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $4,000,619) |
4,004,362 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 89.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 4.2% | ||||||||||
| JPY |
270,000,000 | Japan Treasury Discount Bills, Zero Coupon, due 06/17/24 | 1,716,834 | |||||||
|
|
|
|||||||||
| Repurchase Agreements — 84.1% | ||||||||||
| 33,999,875 | Nomura Securities International, Inc. Repurchase Agreement, dated, 05/31/24 maturing on 06/03/24 with a maturity value of $34,014,920 and an effective yield of 5.31%, collateralized by a U.S. Treasury Note with maturity date 11/30/28 and a market value of $34,799,070. | 33,999,875 | ||||||||
|
|
|
|||||||||
| Money Market Funds — 0.9% | ||||||||||
| 357,662 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (b) | 357,662 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $36,193,391) |
36,074,371 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 99.1% (Cost $40,194,010) |
40,078,733 | |||||||||
| Other Assets and Liabilities (net) — 0.9% | 375,512 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $40,454,245 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at May 31, 2024 is as follows:
Forward Currency Contracts
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 06/17/2024 | SSB | JPY | 270,000,000 | USD | 1,864,705 | $ | 144,488 | |||||||||||||
|
|
|
|||||||||||||||||||
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Buys | ||||||||||||||
| 124 | U.S. Long Bond (CBT) | September 2024 | 14,391,750 | (115,997 | ) | |||||||||
| 118 | U.S. Treasury Note 10 Yr. (CBT) | September 2024 | 12,838,031 | 21,537 | ||||||||||
| 91 | U.S. Treasury Note 2 Yr. (CBT) | September 2024 | 18,536,984 | (20,891 | ) | |||||||||
| 278 | U.S. Treasury Note 5 Yr. (CBT) | September 2024 | 29,411,531 | (73,968 | ) | |||||||||
| 271 | U.S. Treasury Ultra 10 Yr. (CBT) | September 2024 | 30,360,469 | (102,050 | ) | |||||||||
| 71 | U.S. Ultra Bond (CBT) | September 2024 | 8,693,063 | (60,117 | ) | |||||||||
|
|
|
|
|
|||||||||||
| $ | 114,231,828 | $ | (351,486 | ) | ||||||||||
|
|
|
|
|
|||||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
As of May 31, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| (a) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any. |
| (b) | The rate disclosed is the 7 day net yield as of May 31, 2024. |
The rates shown on variable rate notes are the current May 31, 2024, which are subject to change based on the terms of the security.
Counterparty Abbreviations:
SSB - State Street Bank and Trust Company
Currency Abbreviations:
JPY - Japanese Yen
USD - United States Dollar
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| DEBT OBLIGATIONS — 92.8% |
| |||||||||
| Albania — 1.8% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.8% | ||||||||||
| 36,649,849 | Albania Government International Bonds, Zero Coupon, due 08/31/25 (a) (b) | 33,994,262 | ||||||||
| EUR |
8,400,000 | Albania Government International Bonds, Reg S, 3.50%, due 11/23/31 | 8,274,522 | |||||||
|
|
|
|||||||||
| Total Albania | 42,268,784 | |||||||||
|
|
|
|||||||||
| Angola — 0.6% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.6% | ||||||||||
| 17,200,000 | Angola Government International Bonds, Reg S, 9.38%, due 05/08/48 | 14,620,000 | ||||||||
|
|
|
|||||||||
| Argentina — 3.7% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 3.7% | ||||||||||
| 19,790,713 | Argentina Republic Government International Bonds, 1.00%, due 07/09/29 | 11,432,078 | ||||||||
| 23,933,493 | Argentina Republic Government International Bonds, Step Up, 0.75%, due 07/09/30 | 13,522,423 | ||||||||
| JPY |
300,295,076 | Argentina Republic Government International Bonds, Variable Rate, 4.33%, due 12/31/33 (c) | 434,408 | |||||||
| EUR |
7,800,000 | Argentina Republic Government International Bonds, Step Up, 2.50%, due 07/09/35 | 3,302,498 | |||||||
| 11,147,942 | Argentina Republic Government International Bonds, Step Up, 3.63%, due 07/09/35 | 4,877,225 | ||||||||
| EUR |
22,930,000 | Argentina Republic Government International Bonds, Step Up, 3.75%, due 01/09/38 | 10,287,956 | |||||||
| 35,898,994 | Argentina Republic Government International Bonds, Step Up, 4.25%, due 01/09/38 (d) | 16,829,377 | ||||||||
| JPY |
246,273,000 | Argentina Republic Government International Bonds, 0.67%, due 12/31/38 (c) | 266,216 | |||||||
| EUR |
6,060,000 | Argentina Republic Government International Bonds, Step Up, 3.00%, due 07/09/41 | 2,423,035 | |||||||
| 11,801,240 | Argentina Republic Government International Bonds, Step Up, 3.50%, due 07/09/41 | 4,850,310 | ||||||||
| 38,547,000 | Argentina Republic Government International Bonds, Step Up, 3.63%, due 07/09/46 | 17,442,517 | ||||||||
|
|
|
|||||||||
| Total Argentina | 85,668,043 | |||||||||
|
|
|
|||||||||
| Armenia — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| 2,400,000 | Republic of Armenia International Bonds, Reg S, 3.60%, due 02/02/31 | 1,959,240 | ||||||||
|
|
|
|||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Bahamas — 1.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.1% | ||||||||||
| 8,040,000 | Bahamas Government International Bonds, Reg S, 6.00%, due 11/21/28 | 7,195,800 | ||||||||
| 4,000,000 | Bahamas Government International Bonds, Reg S, 9.00%, due 06/16/29 | 3,927,200 | ||||||||
| 13,840,000 | Bahamas Government International Bonds, Reg S, 8.95%, due 10/15/32 | 13,424,662 | ||||||||
|
|
|
|||||||||
| Total Bahamas | 24,547,662 | |||||||||
|
|
|
|||||||||
| Bahrain — 2.6% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 2.6% | ||||||||||
| 12,850,000 | Bahrain Government International Bonds, Reg S, 6.00%, due 09/19/44 | 10,610,373 | ||||||||
| 49,190,000 | Bahrain Government International Bonds, Reg S, 7.50%, due 09/20/47 | 47,448,182 | ||||||||
| 450,000 | Bahrain Government International Bonds, Reg S, 6.25%, due 01/25/51 | 377,114 | ||||||||
|
|
|
|||||||||
| Total Bahrain | 58,435,669 | |||||||||
|
|
|
|||||||||
| Barbados — 0.6% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.6% | ||||||||||
| 15,020,000 | Barbados Government International Bonds, Reg S, 6.50%, due 10/01/29 | 14,217,181 | ||||||||
|
|
|
|||||||||
| Belarus — 0.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.4% | ||||||||||
| 7,504,000 | Development Bank of the Republic of Belarus JSC, Reg S, 6.75%, due 05/02/24 (c) (e) | 2,626,400 | ||||||||
| 18,400,000 | Republic of Belarus International Bonds, Reg S, 6.20%, due 02/28/30 (c) (e) | 7,084,000 | ||||||||
|
|
|
|||||||||
| Total Belarus | 9,710,400 | |||||||||
|
|
|
|||||||||
| Benin — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| EUR |
3,350,000 | Benin Government International Bonds, Reg S, 6.88%, due 01/19/52 | 2,925,162 | |||||||
|
|
|
|||||||||
| Bolivia — 0.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.2% | ||||||||||
| 7,600,000 | Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28 (d) | 4,266,564 | ||||||||
|
|
|
|||||||||
| Brazil — 1.8% | ||||||||||
| Corporate Debt — 1.1% | ||||||||||
| 17,316,581 | MV24 Capital BV, Reg S, 6.75%, due 06/01/34 | 16,201,826 | ||||||||
| 7,300,000 | Yinson Boronia Production BV, 144A, 8.95%, due 07/31/42 | 7,365,700 | ||||||||
|
|
|
|||||||||
| 23,567,526 | ||||||||||
|
|
|
|||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Brazil — continued | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.7% | ||||||||||
| 10,500,000 | Brazil Government International Bonds, 4.75%, due 01/14/50 | 7,560,000 | ||||||||
| BRL |
46,254,999 | Rio Smart Lighting SARL, Reg S, 12.25%, due 09/20/32 (f) |
8,985,145 | |||||||
|
|
|
|||||||||
| 16,545,145 | ||||||||||
|
|
|
|||||||||
| Total Brazil | 40,112,671 | |||||||||
|
|
|
|||||||||
| Bulgaria — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| EUR |
2,500,000 | Bulgarian Energy Holding EAD, Reg S, 2.45%, due 07/22/28 | 2,414,099 | |||||||
|
|
|
|||||||||
| Cameroon — 0.3% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.3% | ||||||||||
| EUR |
9,200,000 | Republic of Cameroon International Bonds, Reg S, 5.95%, due 07/07/32 | 7,867,173 | |||||||
|
|
|
|||||||||
| Chile — 2.4% | ||||||||||
| Corporate Debt — 1.2% | ||||||||||
| 15,951,000 | Enel Generacion Chile SA, 8.13%, due 02/01/97 (a) | 14,059,212 | ||||||||
| 9,061,825 | ILAP Holdings Ltd., 144A, 5.00%, due 06/15/33 (c) | 915,244 | ||||||||
| 13,591,746 | Inversiones Latin America Power SpA, 144A, 11.00%, due 06/15/33 | 12,018,909 | ||||||||
| 974,428 | Inversiones Latin America Power SpA, 144A, 12.00%, due 06/15/33 (c) | 964,684 | ||||||||
|
|
|
|||||||||
| 27,958,049 | ||||||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 1.2% | ||||||||||
| 2,600,000 | Banco del Estado de Chile, 144A, Variable Rate, 7.95%, due 05/02/29 | 2,674,750 | ||||||||
| 4,000,000 | Chile Electricity Lux MPC SARL, 144A, 6.01%, due 01/20/33 | 3,996,920 | ||||||||
| 4,200,000 | Chile Government International Bonds, 3.10%, due 05/07/41 | 3,040,590 | ||||||||
| 700,000 | Empresa Nacional del Petroleo, Reg S, 5.25%, due 11/06/29 | 678,321 | ||||||||
| 3,500,000 | Empresa Nacional del Petroleo, Reg S, 3.45%, due 09/16/31 | 2,929,325 | ||||||||
| 18,750,000 | Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47 | 13,746,562 | ||||||||
|
|
|
|||||||||
| 27,066,468 | ||||||||||
|
|
|
|||||||||
| Total Chile | 55,024,517 | |||||||||
|
|
|
|||||||||
| China — 0.0% | ||||||||||
| Corporate Debt — 0.0% | ||||||||||
| 10,200,000 | China Evergrande Group, Reg S, 11.50%, due 01/22/23 (e) | 102,000 | ||||||||
| 13,000,000 | China Evergrande Group, Reg S, 12.00%, due 01/22/24 (e) | 162,500 | ||||||||
| 6,800,000 | China Evergrande Group, Reg S, 10.50%, due 04/11/24 (e) | 68,000 | ||||||||
| 5,500,000 | Scenery Journey Ltd., Reg S, 11.50%, due 10/24/22 (e) | 55,000 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| China — continued | ||||||||||
| Corporate Debt — continued | ||||||||||
| 1,900,000 | Scenery Journey Ltd., Reg S, 13.00%, due 11/06/22 (e) | 19,000 | ||||||||
| 3,300,000 | Scenery Journey Ltd., Reg S, 12.00%, due 10/24/23 (e) | 33,000 | ||||||||
| 3,700,000 | Scenery Journey Ltd., Reg S, 13.75%, due 11/06/23 (e) | 37,000 | ||||||||
|
|
|
|||||||||
| Total China | 476,500 | |||||||||
|
|
|
|||||||||
| Colombia — 4.2% | ||||||||||
| Corporate Debt — 0.6% | ||||||||||
| 11,740,000 | AI Candelaria Spain SA, Reg S, 5.75%, due 06/15/33 | 9,274,600 | ||||||||
| COP |
25,905,189,423 | PA Autopista Rio Magdalena, Reg S, 6.05%, due 06/15/36 | 5,196,702 | |||||||
|
|
|
|||||||||
| 14,471,302 | ||||||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 3.6% | ||||||||||
| 992,000 | Colombia Government International Bonds, 8.38%, due 02/15/27 (a) | 1,007,870 | ||||||||
| 2,800,000 | Colombia Government International Bonds, 11.85%, due 03/09/28 (a) | 3,163,300 | ||||||||
| 74,600,000 | Colombia Government International Bonds, 5.63%, due 02/26/44 | 56,882,500 | ||||||||
| 6,200,000 | Colombia Government International Bonds, 5.20%, due 05/15/49 | 4,333,800 | ||||||||
| 11,720,000 | Ecopetrol SA, 5.88%, due 11/02/51 | 8,013,550 | ||||||||
| COP |
37,736,000,000 | Empresas Publicas de Medellin ESP, Reg S, 8.38%, due 11/08/27 | 8,624,789 | |||||||
|
|
|
|||||||||
| 82,025,809 | ||||||||||
|
|
|
|||||||||
| Total Colombia | 96,497,111 | |||||||||
|
|
|
|||||||||
| Congo Republic (Brazzaville) — 1.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.2% | ||||||||||
| 32,290,719 | Congolese International Bonds, Reg S, Step Up, 6.00%, due 06/30/29 (c) | 26,998,270 | ||||||||
|
|
|
|||||||||
| Costa Rica—1.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.1% | ||||||||||
| 4,400,000 | Costa Rica Government International Bonds, 144A, 6.55%, due 04/03/34 | 4,500,364 | ||||||||
| 17,031,000 | Costa Rica Government International Bonds, Reg S, 7.16%, due 03/12/45 | 17,661,147 | ||||||||
| 3,463,000 | Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43 | 3,031,926 | ||||||||
|
|
|
|||||||||
| Total Costa Rica | 25,193,437 | |||||||||
|
|
|
|||||||||
| Cote D’Ivoire — 0.9% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.9% | ||||||||||
| EUR |
1,400,000 | Ivory Coast Government International Bonds, Reg S, 6.88%, due 10/17/40 | 1,291,877 | |||||||
| EUR |
22,500,000 | Ivory Coast Government International Bonds, Reg S, 6.63%, due 03/22/48 | 19,354,380 | |||||||
|
|
|
|||||||||
| Total Cote D’Ivoire | 20,646,257 | |||||||||
|
|
|
|||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Czech Republic — 0.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.2% | ||||||||||
| 4,058,000 | CEZ AS, Reg S, 5.63%, due 04/03/42 | 3,523,482 | ||||||||
|
|
|
|||||||||
| Dominican Republic — 2.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 2.4% | ||||||||||
| 400,000 | Dominican Republic International Bonds, Reg S, 5.30%, due 01/21/41 | 339,164 | ||||||||
| 500,000 | Dominican Republic International Bonds, Reg S, 6.85%, due 01/27/45 | 490,735 | ||||||||
| 4,210,000 | Dominican Republic International Bonds, Reg S, 6.40%, due 06/05/49 | 3,928,519 | ||||||||
| 59,929,000 | Dominican Republic International Bonds, Reg S, 5.88%, due 01/30/60 | 50,565,094 | ||||||||
|
|
|
|||||||||
| Total Dominican Republic | 55,323,512 | |||||||||
|
|
|
|||||||||
| Ecuador — 2.6% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 2.6% | ||||||||||
| 1,200,000 | Ecuador Government International Bonds, 5.00%, due 02/28/25 (c) | 1,140,000 | ||||||||
| 5,546,892 | Ecuador Government International Bonds, Reg S, Zero Coupon, due 07/31/30 | 2,816,434 | ||||||||
| 27,276,250 | Ecuador Government International Bonds, Reg S, Step Up, 6.00%, due 07/31/30 (d) | 18,193,259 | ||||||||
| 45,187,125 | Ecuador Government International Bonds, Reg S, Step Up, 3.50%, due 07/31/35 | 23,147,105 | ||||||||
| 24,803,750 | Ecuador Government International Bonds, Reg S, Step Up, 2.50%, due 07/31/40 (d) | 11,558,548 | ||||||||
| 3,744,250 | Ecuador Social Bonds SARL, Reg S, Zero Coupon, due 01/30/35 | 2,571,214 | ||||||||
|
|
|
|||||||||
| Total Ecuador | 59,426,560 | |||||||||
|
|
|
|||||||||
| Egypt — 2.9% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 2.9% | ||||||||||
| 10,800,000 | Egypt Government International Bonds, Reg S, 8.50%, due 01/31/47 | 8,410,500 | ||||||||
| 21,800,000 | Egypt Government International Bonds, Reg S, 8.70%, due 03/01/49 | 17,325,986 | ||||||||
| 32,800,000 | Egypt Government International Bonds, Reg S, 8.88%, due 05/29/50 | 26,494,528 | ||||||||
| 17,764,000 | Egypt Government International Bonds, Reg S, 8.15%, due 11/20/59 | 13,416,083 | ||||||||
|
|
|
|||||||||
| Total Egypt | 65,647,097 | |||||||||
|
|
|
|||||||||
| El Salvador — 0.7% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.7% | ||||||||||
| 2,340,000 | El Salvador Government International Bonds, Reg S, 7.63%, due 09/21/34 | 1,597,050 | ||||||||
| 24,000,000 | El Salvador Government International Bonds, Reg S, 7.12%, due 01/20/50 | 15,132,000 | ||||||||
|
|
|
|||||||||
| Total El Salvador | 16,729,050 | |||||||||
|
|
|
|||||||||
| Ethiopia — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| 2,690,000 | Ethiopia International Bonds, Reg S, 6.63%, due 12/11/24 | 1,895,778 | ||||||||
|
|
|
|||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Gabon — 0.8% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.8% | ||||||||||
| 7,400,000 | Gabon Blue Bond Master Trust, 144A, 6.10%, due 08/01/38 | 7,239,592 | ||||||||
| 3,700,000 | Gabon Government International Bonds, Reg S, 6.63%, due 02/06/31 | 2,945,200 | ||||||||
| 9,600,000 | Gabon Government International Bonds, Reg S, 7.00%, due 11/24/31 | 7,642,464 | ||||||||
|
|
|
|||||||||
| Total Gabon | 17,827,256 | |||||||||
|
|
|
|||||||||
| Ghana — 1.9% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.9% | ||||||||||
| 8,200,000 | Ghana Government International Bonds, Reg S, 8.88%, due 05/07/42 (e) | 4,191,922 | ||||||||
| 11,700,000 | Ghana Government International Bonds, Reg S, 8.63%, due 06/16/49 (e) | 5,882,526 | ||||||||
| 25,900,000 | Ghana Government International Bonds, Reg S, 8.95%, due 03/26/51 (e) | 13,256,138 | ||||||||
| 33,200,000 | Ghana Government International Bonds, Reg S, 8.75%, due 03/11/61 (e) | 17,078,080 | ||||||||
| 6,469,920 | Saderea DAC, Reg S, 12.50%, due 11/30/26 (e) | 3,037,433 | ||||||||
|
|
|
|||||||||
| Total Ghana | 43,446,099 | |||||||||
|
|
|
|||||||||
| Grenada — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| 3,396,750 | Grenada Government International Bonds, Reg S, 7.00%, due 05/12/30 | 3,034,996 | ||||||||
|
|
|
|||||||||
| Guatemala — 0.9% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.9% | ||||||||||
| 3,515,000 | Guatemala Government Bonds, Reg S, 8.13%, due 10/06/34 | 3,800,875 | ||||||||
| 4,600,000 | Guatemala Government Bonds, Reg S, 4.65%, due 10/07/41 | 3,598,396 | ||||||||
| 13,300,000 | Guatemala Government Bonds, Reg S, 6.13%, due 06/01/50 | 11,991,413 | ||||||||
|
|
|
|||||||||
| Total Guatemala | 19,390,684 | |||||||||
|
|
|
|||||||||
| Honduras — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| 2,450,000 | Honduras Government International Bonds, Reg S, 5.63%, due 06/24/30 (d) | 2,112,513 | ||||||||
|
|
|
|||||||||
| Hungary — 2.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 2.1% | ||||||||||
| 19,900,000 | Hungary Government International Bonds, 144A, 5.50%, due 06/16/34 | 19,207,281 | ||||||||
| 15,450,000 | Hungary Government International Bonds, 144A, 5.50%, due 03/26/36 | 14,713,807 | ||||||||
| 22,400,000 | Hungary Government International Bonds, Reg S, 3.13%, due 09/21/51 | 13,926,304 | ||||||||
|
|
|
|||||||||
| Total Hungary | 47,847,392 | |||||||||
|
|
|
|||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| India — 0.9% | ||||||||||
| Corporate Debt — 0.9% | ||||||||||
| 3,200,000 | Adani Green Energy UP Ltd/Prayatna Developers Pvt Ltd/Parampujya Solar Energy, 144A, 6.70%, due 03/12/42 | 2,960,000 | ||||||||
| 8,711,250 | Adani Renewable Energy RJ Ltd./Kodangal Solar Parks Pvt Ltd./Wardha Solar Maharash, Reg S, 4.63%, due 10/15/39 | 6,969,348 | ||||||||
| 9,800,000 | Delhi International Airport Ltd., Reg S, 6.45%, due 06/04/29 | 9,702,000 | ||||||||
|
|
|
|||||||||
| Total India | 19,631,348 | |||||||||
|
|
|
|||||||||
| Indonesia — 2.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 2.2% | ||||||||||
| 12,200,000 | Indonesia Asahan Aluminium PT/Mineral Industri Indonesia Persero PT, Reg S, 5.80%, due 05/15/50 | 11,140,430 | ||||||||
| 2,800,000 | Indonesia Government International Bonds, 4.85%, due 01/11/33 | 2,717,400 | ||||||||
| 3,391,000 | Indonesia Government International Bonds, 5.45%, due 09/20/52 | 3,302,190 | ||||||||
| 2,012,920 | LLPL Capital Pte. Ltd., Reg S, 6.88%, due 02/04/39 | 1,993,998 | ||||||||
| 26,200,000 | Minejesa Capital BV, Reg S, 5.63%, due 08/10/37 | 23,255,382 | ||||||||
| 4,900,000 | Perusahaan Penerbit SBSN Indonesia III, Reg S, 4.70%, due 06/06/32 | 4,733,302 | ||||||||
| 2,700,000 | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, Reg S, 6.25%, due 01/25/49 | 2,659,689 | ||||||||
|
|
|
|||||||||
| Total Indonesia | 49,802,391 | |||||||||
|
|
|
|||||||||
| Israel — 0.7% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.7% | ||||||||||
| 14,283,000 | Israel Electric Corp. Ltd., Reg S, 8.10%, due 12/15/96 | 15,866,396 | ||||||||
|
|
|
|||||||||
| Jamaica — 0.5% | ||||||||||
| Corporate Debt — 0.2% | ||||||||||
| 5,863,559 | TransJamaican Highway Ltd., Reg S, 5.75%, due 10/10/36 | 5,111,440 | ||||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 0.3% | ||||||||||
| 2,675,000 | Jamaica Government International Bonds, 7.88%, due 07/28/45 | 3,105,006 | ||||||||
| 4,200,000 | National Road Operating & Constructing Co. Ltd., Reg S, 9.38%, due 11/10/24 | 4,235,700 | ||||||||
|
|
|
|||||||||
| 7,340,706 | ||||||||||
|
|
|
|||||||||
| Total Jamaica | 12,452,146 | |||||||||
|
|
|
|||||||||
| Jordan — 1.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.2% | ||||||||||
| 30,795,000 | Jordan Government International Bonds, Reg S, 7.38%, due 10/10/47 | 26,810,435 | ||||||||
|
|
|
|||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Kazakhstan — 0.8% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.8% | ||||||||||
| 18,980,000 | KazMunayGas National Co. JSC, Reg S, 6.38%, due 10/24/48 | 17,470,900 | ||||||||
|
|
|
|||||||||
| Kenya — 0.9% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.9% | ||||||||||
| 25,694,000 | Kenya Government International Bonds, Reg S, 8.25%, due 02/28/48 | 21,477,101 | ||||||||
|
|
|
|||||||||
| Latvia — 0.3% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.3% | ||||||||||
| 6,850,000 | Latvia Government International Bonds, 144A, 5.13%, due 07/30/34 | 6,734,030 | ||||||||
|
|
|
|||||||||
| Lebanon — 0.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.4% | ||||||||||
| 6,200,000 | Lebanon Government International Bonds, Reg S, 6.85%, due 03/23/27 (e) | 424,700 | ||||||||
| 5,047,000 | Lebanon Government International Bonds, Reg S, 7.00%, due 03/20/28 (e) | 345,720 | ||||||||
| 55,005,000 | Lebanon Government International Bonds, Reg S, 7.15%, due 11/20/31 (e) | 3,767,842 | ||||||||
| 19,100,000 | Lebanon Government International Bonds, 8.20%, due 05/17/33 (e) | 1,308,350 | ||||||||
| 51,714,000 | Lebanon Government International Bonds, 8.25%, due 05/17/34 (e) | 3,542,409 | ||||||||
|
|
|
|||||||||
| Total Lebanon | 9,389,021 | |||||||||
|
|
|
|||||||||
| Mexico — 6.3% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 6.3% | ||||||||||
| 5,200,000 | Comision Federal de Electricidad, Reg S, 5.00%, due 07/30/49 | 4,407,000 | ||||||||
| GBP |
55,806,000 | Mexico Government International Bonds, 5.63%, due 03/19/2114 | 53,722,808 | |||||||
| 4,700,000 | Petroleos Mexicanos, Reg S, 6.63%, due 07/01/24 (d) | 2,925,750 | ||||||||
| 115,700,000 | Petroleos Mexicanos, 7.69%, due 01/23/50 | 83,986,630 | ||||||||
|
|
|
|||||||||
| Total Mexico | 145,042,188 | |||||||||
|
|
|
|||||||||
| Mongolia — 0.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.4% | ||||||||||
| 8,800,000 | Development Bank of Mongolia LLC, 11.00%, due 03/07/26 | 8,932,968 | ||||||||
|
|
|
|||||||||
| Montenegro — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| 1,800,000 | Montenegro Government International Bonds, 144A, 7.25%, due 03/12/31 | 1,810,692 | ||||||||
|
|
|
|||||||||
| Morocco — 0.6% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.6% | ||||||||||
| 8,300,000 | Morocco Government International Bonds, 144A, 6.50%, due 09/08/33 | 8,462,473 | ||||||||
| 5,100,000 | OCP SA, Reg S, 6.88%, due 04/25/44 | 4,824,294 | ||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Morocco — continued | ||||||||||
| Sovereign and Sovereign Agency Issuers — continued | ||||||||||
| 1,500,000 | OCP SA, Reg S, 5.13%, due 06/23/51 | 1,111,635 | ||||||||
|
|
|
|||||||||
| Total Morocco | 14,398,402 | |||||||||
|
|
|
|||||||||
| Mozambique — 0.3% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.3% | ||||||||||
| 6,876,000 | Mozambique International Bonds, Reg S, Step Up, 9.00%, due 09/15/31 | 5,640,658 | ||||||||
|
|
|
|||||||||
| Nigeria — 0.8% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.8% | ||||||||||
| 22,750,000 | Nigeria Government International Bonds, Reg S, 8.25%, due 09/28/51 | 17,946,792 | ||||||||
|
|
|
|||||||||
| Oman — 1.9% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.9% | ||||||||||
| 42,400,000 | Oman Government International Bonds, Reg S, 6.75%, due 01/17/48 | 42,506,000 | ||||||||
| 1,100,000 | Oryx Funding Ltd., Reg S, 5.80%, due 02/03/31 | 1,081,399 | ||||||||
|
|
|
|||||||||
| Total Oman | 43,587,399 | |||||||||
|
|
|
|||||||||
| Pakistan — 0.6% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.6% | ||||||||||
| 13,300,000 | Pakistan Government International Bonds, Reg S, 7.88%, due 03/31/36 | 10,175,963 | ||||||||
| 4,426,000 | Pakistan Water & Power Development Authority, Reg S, 7.50%, due 06/04/31 | 3,326,537 | ||||||||
|
|
|
|||||||||
| Total Pakistan | 13,502,500 | |||||||||
|
|
|
|||||||||
| Panama — 2.8% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 2.8% | ||||||||||
| 1,061,644 | AES Panama Generation Holdings SRL, Reg S, 4.38%, due 05/31/30 | 910,360 | ||||||||
| 3,300,000 | Panama Bonos del Tesoro, Reg S, 6.38%, due 07/25/33 |
3,108,369 | ||||||||
| 8,937,000 | Panama Government International Bonds, 8.13%, due 04/28/34 | 9,503,990 | ||||||||
| 24,100,000 | Panama Government International Bonds, 6.40%, due 02/14/35 | 22,617,850 | ||||||||
| 8,100,000 | Panama Government International Bonds, 8.00%, due 03/01/38 | 8,468,550 | ||||||||
| 23,800,000 | Panama Government International Bonds, 4.50%, due 04/01/56 | 15,141,322 | ||||||||
| 8,200,000 | Panama Government International Bonds, 4.50%, due 01/19/63 | 5,141,400 | ||||||||
|
|
|
|||||||||
| Total Panama | 64,891,841 | |||||||||
|
|
|
|||||||||
| 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 | 1,044,098 | ||||||||
|
|
|
|||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Peru — 1.5% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.5% | ||||||||||
| 13,500,000 | Peru Government International Bonds, 3.60%, due 01/15/72 | 8,457,750 | ||||||||
| 44,845,000 | Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47 | 26,682,775 | ||||||||
|
|
|
|||||||||
| Total Peru | 35,140,525 | |||||||||
|
|
|
|||||||||
| Philippines — 0.7% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.7% | ||||||||||
| 3,500,000 | Bangko Sentral ng Pilipinas International Bonds, 8.60%, due 06/15/97 (c) | 4,497,500 | ||||||||
| 10,400,000 | Philippines Government International Bonds, 3.20%, due 07/06/46 | 7,203,144 | ||||||||
| 3,212,000 | Power Sector Assets & Liabilities Management Corp., 9.63%, due 05/15/28 | 3,671,316 | ||||||||
|
|
|
|||||||||
| Total Philippines | 15,371,960 | |||||||||
|
|
|
|||||||||
| Poland — 2.5% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 2.5% | ||||||||||
| 4,200,000 | Bank Gospodarstwa Krajowego, 144A, 5.38%, due 05/22/33 | 4,105,500 | ||||||||
| 9,500,000 | Republic of Poland Government International Bonds, 5.75%, due 11/16/32 | 9,790,415 | ||||||||
| 26,600,000 | Republic of Poland Government International Bonds, 5.13%, due 09/18/34 | 25,949,896 | ||||||||
| 5,200,000 | Republic of Poland Government International Bonds, 5.50%, due 04/04/53 | 5,018,728 | ||||||||
| 12,400,000 | Republic of Poland Government International Bonds, 5.50%, due 03/18/54 | 11,887,136 | ||||||||
|
|
|
|||||||||
| Total Poland | 56,751,675 | |||||||||
|
|
|
|||||||||
| Republic of North Macedonia — 0.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.4% | ||||||||||
| EUR |
10,700,000 | North Macedonia Government International Bonds, Reg S, 1.63%, due 03/10/28 | 10,132,072 | |||||||
|
|
|
|||||||||
| Romania — 2.9% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 2.9% | ||||||||||
| EUR |
8,900,000 | Romania Government International Bonds, 144A, 6.38%, due 09/18/33 | 10,217,042 | |||||||
| 13,200,000 | Romania Government International Bonds, 144A, 6.38%, due 01/30/34 | 13,158,288 | ||||||||
| EUR |
4,800,000 | Romania Government International Bonds, Reg S, 3.88%, due 10/29/35 | 4,442,106 | |||||||
| EUR |
21,300,000 | Romania Government International Bonds, 144A, 5.63%, due 02/22/36 | 22,794,693 | |||||||
| EUR |
4,500,000 | Romania Government International Bonds, Reg S, 2.88%, due 04/13/42 | 3,255,116 | |||||||
| EUR |
9,500,000 | Romania Government International Bonds, Reg S, 3.38%, due 01/28/50 | 7,040,756 | |||||||
| 5,700,000 | Romania Government International Bonds, Reg S, 7.63%, due 01/17/53 | 6,182,220 | ||||||||
|
|
|
|||||||||
| Total Romania | 67,090,221 | |||||||||
|
|
|
|||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Russia — 0.7% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.7% | ||||||||||
| 6,870,000 | GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27 (a) (e) (g) |
3,435 | ||||||||
| 5,200,000 | GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28 (a) (e) (g) |
2,600 | ||||||||
| 6,800,000 | GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29 (a) (e) (g) |
3,400 | ||||||||
| 6,400,000 | Russia Foreign Bonds – Eurobond, Reg S, 5.10%, due 03/28/35 (c) (e) | 4,076,800 | ||||||||
| 20,000,000 | Russia Foreign Bonds – Eurobond, 144A, 5.10%, due 03/28/35 (c) (e) | 12,740,000 | ||||||||
|
|
|
|||||||||
| Total Russia | 16,826,235 | |||||||||
|
|
|
|||||||||
| Rwanda — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| 4,100,000 | Rwanda International Government Bonds, Reg S, 5.50%, due 08/09/31 | 3,316,367 | ||||||||
|
|
|
|||||||||
| Saudi Arabia — 2.7% | ||||||||||
| Corporate Debt — 0.9% | ||||||||||
| 21,651,165 | ACWA Power Management & Investments One Ltd., Reg S, 5.95%, due 12/15/39 | 20,821,709 | ||||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 1.8% | ||||||||||
| 8,900,000 | Saudi Government International Bonds, Reg S, 4.63%, due 10/04/47 | 7,543,640 | ||||||||
| 11,200,000 | Saudi Government International Bonds, Reg S, 5.00%, due 01/18/53 | 9,755,200 | ||||||||
| 35,600,000 | Saudi Government International Bonds, Reg S, 3.45%, due 02/02/61 | 22,828,500 | ||||||||
|
|
|
|||||||||
| 40,127,340 | ||||||||||
|
|
|
|||||||||
| Total Saudi Arabia | 60,949,049 | |||||||||
|
|
|
|||||||||
| Senegal — 0.3% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.3% | ||||||||||
| EUR |
4,000,000 | Senegal Government International Bonds, Reg S, 5.38%, due 06/08/37 | 3,175,397 | |||||||
| 5,800,000 | Senegal Government International Bonds, Reg S, 6.75%, due 03/13/48 | 4,226,808 | ||||||||
|
|
|
|||||||||
| Total Senegal | 7,402,205 | |||||||||
|
|
|
|||||||||
| Serbia — 0.6% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.6% | ||||||||||
| 3,900,000 | Serbia International Bonds, Reg S, 6.50%, due 09/26/33 | 3,900,000 | ||||||||
| EUR |
13,700,000 | Serbia International Bonds, Reg S, 2.05%, due 09/23/36 | 10,559,627 | |||||||
|
|
|
|||||||||
| Total Serbia | 14,459,627 | |||||||||
|
|
|
|||||||||
| South Africa — 3.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 3.2% | ||||||||||
| 16,900,000 | Eskom Holdings SOC Ltd., Reg S, 8.45%, due 08/10/28 | 16,815,500 | ||||||||
| ZAR |
150,350,000 | Eskom Holdings SOC Ltd., Zero Coupon, due 12/31/32 |
1,688,226 | |||||||
|
Par Value† |
Description | Value ($) | ||||||||
| South Africa — continued | ||||||||||
| Sovereign and Sovereign Agency Issuers — continued |
||||||||||
| ZAR |
532,500,000 | Republic of South Africa Government International Bonds, 6.50%, due 02/28/41 | 16,325,582 | |||||||
| 40,800,000 | Republic of South Africa Government International Bonds, 5.75%, due 09/30/49 | 29,325,000 | ||||||||
| 8,300,000 | Transnet SOC Ltd., Reg S, 8.25%, due 02/06/28 | 8,209,696 | ||||||||
| ZAR |
20,200,000 | Transnet SOC Ltd., Reg S, 13.50%, due 04/18/28 | 1,103,887 | |||||||
|
|
|
|||||||||
| Total South Africa | 73,467,891 | |||||||||
|
|
|
|||||||||
| Sri Lanka — 1.7% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.7% | ||||||||||
| 4,880,000 | Sri Lanka Government International Bonds, Reg S, 6.83%, due 07/18/26 (e) | 2,863,389 | ||||||||
| 8,544,000 | Sri Lanka Government International Bonds, Reg S, 6.20%, due 05/11/27 (e) | 4,988,628 | ||||||||
| 22,600,000 | Sri Lanka Government International Bonds, Reg S, 6.75%, due 04/18/28 (e) | 13,138,736 | ||||||||
| 7,700,000 | Sri Lanka Government International Bonds, Reg S, 7.85%, due 03/14/29 (e) | 4,457,222 | ||||||||
| 23,800,000 | Sri Lanka Government International Bonds, Reg S, 7.55%, due 03/28/30 (e) | 13,657,868 | ||||||||
|
|
|
|||||||||
| Total Sri Lanka | 39,105,843 | |||||||||
|
|
|
|||||||||
| Suriname — 0.9% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.9% | ||||||||||
| 16,324,446 | Suriname Government International Bonds, 144A, 7.95%, due 07/15/33 | 15,100,113 | ||||||||
| 8,195,000 | Suriname Government International Bonds, 144A, Variable Rate, 9.00%, due 12/31/50 | 6,184,848 | ||||||||
|
|
|
|||||||||
| Total Suriname | 21,284,961 | |||||||||
|
|
|
|||||||||
| Tajikistan — 0.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.2% | ||||||||||
| 5,774,000 | Republic of Tajikistan International Bonds, Reg S, 7.13%, due 09/14/27 | 5,419,534 | ||||||||
|
|
|
|||||||||
| Trinidad And Tobago — 1.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.2% | ||||||||||
| 17,400,000 | Heritage Petroleum Co. Ltd., Reg S, 9.00%, due 08/12/29 | 18,117,750 | ||||||||
| 8,600,000 | Telecommunications Services of Trinidad & Tobago Ltd., Reg S, 8.88%, due 10/18/29 | 8,379,668 | ||||||||
|
|
|
|||||||||
| Total Trinidad And Tobago | 26,497,418 | |||||||||
|
|
|
|||||||||
| Tunisia — 1.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.4% | ||||||||||
| JPY |
5,411,700,000 | Tunisian Republic, 4.30%, due 08/02/30 (c) | 21,679,147 | |||||||
| JPY |
1,780,000,000 | Tunisian Republic, 4.20%, due 03/17/31 (c) | 7,017,454 | |||||||
| JPY |
730,000,000 | Tunisian Republic, 3.50%, due 02/03/33 | 2,811,199 | |||||||
|
|
|
|||||||||
| Total Tunisia | 31,507,800 | |||||||||
|
|
|
|||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Turkey — 3.0% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 3.0% | ||||||||||
| 8,544,000 | Istanbul Metropolitan Municipality, Reg S, 6.38%, due 12/09/25 | 8,395,932 | ||||||||
| 20,800,000 | Turkiye Government International Bonds, 4.88%, due 04/16/43 | 14,601,600 | ||||||||
| 59,313,000 | Turkiye Government International Bonds, 5.75%, due 05/11/47 | 45,315,132 | ||||||||
|
|
|
|||||||||
| Total Turkey | 68,312,664 | |||||||||
|
|
|
|||||||||
| Ukraine — 1.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.1% | ||||||||||
| 5,000,000 | NPC Ukrenergo, Reg S, 6.88%, due 11/09/28 (e) | 1,825,000 | ||||||||
| 12,600,000 | State Agency of Roads of Ukraine, Reg S, 6.25%, due 06/24/30 (e) | 3,402,000 | ||||||||
| 3,819,000 | Ukraine Government International Bonds, Reg S, 7.75%, due 09/01/28 (e) | 1,118,967 | ||||||||
| 2,800,000 | Ukraine Government International Bonds, Reg S, 7.75%, due 09/01/28 (e) | 820,400 | ||||||||
| 2,369,000 | Ukraine Government International Bonds, Reg S, 7.75%, due 09/01/29 (e) | 687,010 | ||||||||
| 1,600,000 | Ukraine Government International Bonds, Reg S, 7.75%, due 09/01/29 (e) | 464,000 | ||||||||
| 16,200,000 | Ukraine Government International Bonds, Reg S, 9.75%, due 11/01/30 (e) | 4,860,000 | ||||||||
| 25,400,000 | Ukraine Government International Bonds, Reg S, 7.38%, due 09/25/34 (e) | 6,858,000 | ||||||||
| 20,200,000 | Ukraine Government International Bonds, Reg S, 7.25%, due 03/15/35 (e) | 5,433,800 | ||||||||
| 180,000 | Ukraine Railways Via Rail Capital Markets PLC, Reg S, 7.88%, due 07/15/28 (e) | 107,100 | ||||||||
|
|
|
|||||||||
| Total Ukraine | 25,576,277 | |||||||||
|
|
|
|||||||||
| United Arab Emirates — 1.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.2% | ||||||||||
| 5,600,000 | Abu Dhabi Government International Bonds, Reg S, 3.13%, due 09/30/49 | 3,807,440 | ||||||||
| 5,100,000 | Abu Dhabi Government International Bonds, 144A, 5.50%, due 04/30/54 | 5,061,750 | ||||||||
| 11,300,000 | Finance Department Government of Sharjah, Reg S, 4.00%, due 07/28/50 | 7,217,875 | ||||||||
| 16,400,000 | Finance Department Government of Sharjah, Reg S, 4.38%, due 03/10/51 | 11,253,516 | ||||||||
|
|
|
|||||||||
| Total United Arab Emirates | 27,340,581 | |||||||||
|
|
|
|||||||||
| United States — 0.6% | ||||||||||
| Asset-Backed Securities — 0.3% | ||||||||||
| 554,370 | CWHEQ Revolving Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. USD Term SOFR + 0.35%, 5.67%, due 12/15/35 | 538,041 | ||||||||
| 124,805 | CWHEQ Revolving Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. USD Term SOFR + 0.35%, 5.67%, due 12/15/35 | 123,996 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| Asset-Backed Securities — continued | ||||||||||
| 408,203 | CWHEQ Revolving Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. USD Term SOFR + 0.31%, 5.63%, due 05/15/36 | 386,410 | ||||||||
| 5,841,419 | Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. USD Term SOFR + 0.26%, 5.59%, due 11/25/36 | 1,836,384 | ||||||||
| 5,894,045 | Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.33%, 5.66%, due 11/25/36 | 1,852,894 | ||||||||
| 3,018,239 | WaMu Asset-Backed Certificates WaMu Trust, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. USD Term SOFR + 0.47%, 5.80%, due 04/25/37 | 1,107,752 | ||||||||
|
|
|
|||||||||
| 5,845,477 | ||||||||||
|
|
|
|||||||||
| U.S. Government — 0.3% | ||||||||||
| 8,300,000 | U.S. Treasury Notes, 3.88%, due 11/30/27 (h) | 8,102,551 | ||||||||
|
|
|
|||||||||
| Total United States | 13,948,028 | |||||||||
|
|
|
|||||||||
| Uruguay — 0.5% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.5% | ||||||||||
| UYU |
379,600,000 | Uruguay Government International Bonds, 9.75%, due 07/20/33 | 10,097,774 | |||||||
| 2,218,000 | Uruguay Government International Bonds, 5.10%, due 06/18/50 | 2,072,543 | ||||||||
|
|
|
|||||||||
| Total Uruguay | 12,170,317 | |||||||||
|
|
|
|||||||||
| Uzbekistan — 0.6% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.6% | ||||||||||
| 5,200,000 | Republic of Uzbekistan International Bonds, Reg S, 3.70%, due 11/25/30 | 4,282,200 | ||||||||
| 9,850,000 | Uzbekneftegaz JSC, Reg S, 4.75%, due 11/16/28 | 8,257,846 | ||||||||
|
|
|
|||||||||
| Total Uzbekistan | 12,540,046 | |||||||||
|
|
|
|||||||||
| Venezuela — 3.7% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 3.7% | ||||||||||
| 101,165,000 | C.A. La Electricidad de Caracas, Reg S, 8.50%, due 04/10/18 (c) (e) | 8,346,113 | ||||||||
| 159,800,000 | Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 (e) | 18,856,400 | ||||||||
| 49,667,000 | Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 (e) | 5,960,040 | ||||||||
| 12,300,000 | Petroleos de Venezuela SA, Reg S, 9.75%, due 05/17/35 (e) | 1,678,950 | ||||||||
| 29,228,000 | Venezuela Government International Bonds, Reg S, 7.75%, due 10/13/19 (e) | 4,311,130 | ||||||||
| 33,200,000 | Venezuela Government International Bonds, Reg S, 6.00%, due 12/09/20 (e) | 4,731,000 | ||||||||
| 21,550,000 | Venezuela Government International Bonds, Reg S, 12.75%, due 08/23/22 (e) | 4,202,250 | ||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Venezuela — continued | ||||||||||
| Sovereign and Sovereign Agency Issuers — continued | ||||||||||
| 136,993,000 | Venezuela Government International Bonds, Reg S, 9.00%, due 05/07/23 (e) | 23,494,299 | ||||||||
| 64,400,000 | Venezuela Government International Bonds, Reg S, 11.95%, due 08/05/31 (e) | 12,075,000 | ||||||||
|
|
|
|||||||||
| Total Venezuela | 83,655,182 | |||||||||
|
|
|
|||||||||
| Vietnam — 0.6% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.6% | ||||||||||
| 5,858,000 | Viet Nam Debt & Asset Trading Corp., Reg S, 1.00%, due 10/10/25 | 5,322,462 | ||||||||
| 7,318,000 | Vietnam Government International Bonds, Variable Rate, U.S. (Fed) Prime Rate + 0.81%, 6.50%, due 03/13/28 | 7,240,795 | ||||||||
|
|
|
|||||||||
| Total Vietnam | 12,563,257 | |||||||||
|
|
|
|||||||||
| Zambia — 0.8% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.8% | ||||||||||
| 2,600,000 | Zambia Government International Bonds, Reg S, 5.38%, due 09/20/22 (e) | 1,774,500 | ||||||||
| 22,272,000 | Zambia Government International Bonds, Reg S, 8.97%, due 07/30/27 (e) | 16,976,387 | ||||||||
|
|
|
|||||||||
| Total Zambia | 18,750,887 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $2,756,003,982) |
2,126,065,087 | |||||||||
|
|
|
|||||||||
| LOAN ASSIGNMENTS — 0.9% | ||||||||||
| Chad — 0.3% | ||||||||||
| 7,661,869 | Glencore UK (Chad) Loan Agreement, Tranche B, Variable Rate, 3 mo. LIBOR + 2.25%, 7.85%, due 12/31/27 (c) | 6,186,959 | ||||||||
|
|
|
|||||||||
| Kenya — 0.0% | ||||||||||
| 983,334 | Kenya Government International Bonds, Variable Rate, 6 mo. LIBOR + 6.70%, 12.58%, due 04/10/25 (a) | 959,385 | ||||||||
|
|
|
|||||||||
| Turkey — 0.6% | ||||||||||
| 12,567,857 | Meridiam Eastern Europe Investment S.à.r.l Loan Agreement, 8.85%, due 06/23/28 (a) | 13,364,011 | ||||||||
|
|
|
|||||||||
| TOTAL LOAN ASSIGNMENTS (COST $21,564,355) |
20,510,355 | |||||||||
|
|
|
|||||||||
| LOAN PARTICIPATIONS — 0.3% | ||||||||||
| Angola — 0.3% | ||||||||||
| 5,271,429 | Angola Government International Bonds Loan Agreement (Participation via Avenir Issuer II Ireland DAC), Reg S, 6.93%, due 02/19/27 (c) | 5,056,829 | ||||||||
|
Par Value† / |
Description | Value ($) | ||||||||
| Angola — continued | ||||||||||
| 1,283,333 | Angola Government International Bonds Loan Agreement (Participation with GE Capital EFS Financing, Inc), 7.50%, due 08/30/24 (c) | 1,259,335 | ||||||||
|
|
|
|||||||||
| Total Angola | 6,316,164 | |||||||||
|
|
|
|||||||||
| Iraq — 0.0% | ||||||||||
| EUR |
448,068 | Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (c) | 412,277 | |||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| EUR |
76,893,500 | Russian Foreign Trade Obligations, (Participation with GML International Ltd.) (c) (e) |
2 | |||||||
|
|
|
|||||||||
| Sudan — 0.0% | ||||||||||
| CHF |
11,833,578 | Republic of Sudan, Loan Agreement, Tranche A (Participation via Abu Dhabi Investment Company) (c) (e) | 590,138 | |||||||
| CHF |
5,155,077 | Republic of Sudan, Loan Agreement, Tranche B (Participation via Abu Dhabi Investment Company) (c) (e) | 257,083 | |||||||
|
|
|
|||||||||
| Total Sudan | 847,221 | |||||||||
|
|
|
|||||||||
| TOTAL LOAN PARTICIPATIONS (COST $27,314,971) |
7,575,664 | |||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — 0.6% | ||||||||||
| Colombia — 0.6% | ||||||||||
| 9,300,000 | Bona Fide Investment Holdings II LLC (a) (i) (j) |
12,842,231 | ||||||||
| 595,665 | Bona Fide Investments Feeder LLC (a) (i) (j) | 682,330 | ||||||||
|
|
|
|||||||||
| Total Colombia | 13,524,561 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $9,895,665) |
13,524,561 | |||||||||
|
|
|
|||||||||
| RIGHTS/WARRANTS — 0.9% | ||||||||||
| Argentina — 0.7% | ||||||||||
| EUR |
246,989,675 | Argentina Republic Government International Bonds GDP Linked, Variable Rate, Expires 12/15/35 (k) | 14,970,257 | |||||||
| JPY |
1,723,445,000 | Argentina Republic Government International Bonds GDP Linked, Expires 12/15/35 (a) (k) | 306,081 | |||||||
|
|
|
|||||||||
| Total Argentina | 15,276,338 | |||||||||
|
|
|
|||||||||
| Ukraine — 0.2% | ||||||||||
| 10,646,000 | Ukraine Government International Bonds GDP Linked, Variable Rate, Reg S, Expires 08/01/41 (k) | 5,482,690 | ||||||||
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS (COST $42,051,371) |
20,759,028 | |||||||||
|
|
|
|||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 2.5% |
| |||||||||
| Money Market Funds — 0.2% | ||||||||||
|
|
4,250,317 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (l) | 4,250,317 | |||||||
|
|
|
|||||||||
| Repurchase Agreements — 2.3% | ||||||||||
| 52,999,503 | Nomura Securities International, Inc. Repurchase Agreement, dated, 05/31/24 maturing on 06/03/24 with a maturity value of $53,022,955 and an effective yield of 5.31%, collateralized by a U.S. Treasury Note with maturity date 11/30/28 and a market value of $54,245,300. | 52,999,503 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $57,249,820) |
57,249,820 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 98.0% (Cost $2,914,080,164) |
2,245,684,515 | |||||||||
| Other Assets and Liabilities (net) — 2.0% | 45,643,219 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $2,291,327,734 | |||||||||
|
|
|
|||||||||
Additional information on each restricted security is as follows:
| Issuer Description |
Acquisition Date | Acquisition Cost |
Value as a Percentage of Fund’s Net Assets |
Value as of May 31, 2024 |
||||||||
| Bona Fide Investment Holdings II LLC | 06/07/23 | $ | 9,300,000 | 0.6% | $ | 12,842,231 | ||||||
| Bona Fide Investments Feeder LLC | 12/31/21 | 595,665 | 0.0% | 682,330 | ||||||||
| GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27 | 04/30/20 | 6,694,159 | 0.0% | 3,435 | ||||||||
| GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28 | 03/12/21 | 5,324,804 | 0.0% | 2,600 | ||||||||
| GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29 | 01/26/22 | 5,924,470 | 0.0% | 3,400 | ||||||||
|
|
|
|||||||||||
| $ | 13,533,996 | |||||||||||
|
|
|
|||||||||||
A summary of outstanding financial instruments at May 31, 2024 is as follows:
Forward Currency Contracts
| Settlement Date |
Counter-party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 06/04/2024 | MSCI | BRL | 48,100,000 | USD | 9,589,314 | 428,980 | ||||||||||||||
| 08/02/2024 | MSCI | BRL | 48,100,000 | USD | 9,202,395 | 93,226 | ||||||||||||||
| 08/23/2024 | MSCI | COP | 88,310,000,000 | USD | 22,773,516 | 207,749 | ||||||||||||||
| 07/10/2024 | MSCI | HKD | 739,000,000 | USD | 94,604,109 | 12,605 | ||||||||||||||
| 07/24/2024 | MSCI | JPY | 4,540,100,000 | USD | 29,746,235 | 657,899 | ||||||||||||||
| 07/16/2024 | BCLY | USD | 14,399,330 | TRY | 516,000,000 | 1,012,588 | ||||||||||||||
| 06/28/2024 | BOA | USD | 4,673,320 | ZAR | 89,790,000 | 97,160 | ||||||||||||||
| 06/28/2024 | MSCI | USD | 8,345,677 | ZAR | 159,100,000 | 107,196 | ||||||||||||||
| 06/24/2024 | MSCI | EUR | 147,400,000 | USD | 159,902,026 | (172,142 | ) | |||||||||||||
| 07/16/2024 | MSCI | GBP | 43,800,000 | USD | 54,581,217 | (1,242,589 | ) | |||||||||||||
| 06/04/2024 | MSCI | USD | 9,259,438 | BRL | 48,100,000 | (99,103 | ) | |||||||||||||
| 06/28/2024 | MSCI | ZAR | 610,400,000 | USD | 31,907,998 | (522,131 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| $ | 581,438 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2024 (Unaudited)
Reverse Repurchase Agreements(m)
| Face Value |
Description |
Value ($) | ||||||||
| USD | (1,940,225 | ) | Barclays Bank PLC, 4.55%, dated 01/31/24, (Collateral: Honduras Government International Bonds, Reg S, 5.63%, due 06/24/30), to be repurchased on demand at face value plus accrued interest. | (1,940,225 | ) | |||||
| USD | (835,926 | ) | Nomura International PLC, 4.75%, dated 03/26/24, (Collateral: Ecuador Government International Bonds, Reg S, Step Up, 6.00%, due 07/31/30), to be repurchased on demand at face value plus accrued interest. | (835,926 | ) | |||||
| USD | (315,143 | ) | Nomura International PLC, 4.75%, dated 04/03/24, (Collateral: Ecuador Government International Bonds, Reg S, Step Up, 6.00%, due 07/31/30), to be repurchased on demand at face value plus accrued interest. | (315,143 | ) | |||||
| USD | (633,190 | ) | Nomura International PLC, 4.75%, dated 04/09/24, (Collateral: Ecuador Government International Bonds, Reg S, Step Up, 6.00%, due 07/31/30), to be repurchased on demand at face value plus accrued interest. | (633,190 | ) | |||||
| USD | (1,629,590 | ) | Nomura International PLC, 4.75%, dated 05/14/24, (Collateral: Ecuador Government International Bonds, Reg S, Step Up, 6.00%, due 07/31/30), to be repurchased on demand at face value plus accrued interest. | (1,629,590 | ) | |||||
| USD | (6,980,922 | ) | Morgan Stanley & Co. International PLC, 4.85%, dated 05/15/24, (Collateral: Argentina Republic Government International Bonds, Step Up, 4.25%, due 01/09/38), to be repurchased on demand at face value plus accrued interest. | (6,980,922 | ) | |||||
| USD | (253,989 | ) | Nomura International PLC, 4.75%, dated 05/22/24, (Collateral: Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest. | (253,989 | ) | |||||
| USD | (435,047 | ) | Nomura International PLC, 4.75%, dated 05/22/24, (Collateral: Petroleos Mexicanos, Reg S, 6.63%, due 07/01/24), to be repurchased on demand at face value plus accrued interest. | (435,047 | ) | |||||
| USD | (254,955 | ) | Nomura International PLC, 4.75%, dated 05/30/24, (Collateral: Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest. | (254,955 | ) | |||||
| USD | (254,922 | ) | Nomura International PLC, 4.75%, dated 05/31/24, (Collateral: Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest. | (254,922 | ) | |||||
| USD | (830,707 | ) | Nomura International PLC, 4.75%, dated 05/31/24, (Collateral: Ecuador Government International Bonds, Reg S, Step Up, 2.50%, due 07/31/40), to be repurchased on demand at face value plus accrued interest. | (830,707 | ) | |||||
|
|
|
|||||||||
| $ | (14,364,616 | ) | ||||||||
|
|
|
|||||||||
| Average balance outstanding | $ | (13,136,933 | ) | |||||||
| Average interest rate (net) | (5.33 | )% | ||||||||
| Maximum balance outstanding | $ | (22,389,325 | ) | |||||||
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.
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.40.V1 |
USD | 94,100,000 | 1.00% | 1.51% | N/A | 12/20/2028 | Quarterly | $ | 2,766,540 | $ | 1,893,668 | $ | (872,872 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2024 (Unaudited)
Swap Contracts — continued
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^: |
| |||||||||||||||||||||||||||||||||||||||
| Petrobras Global Finance BV |
CITI | USD | 36,900,000 | 1.00% | 0.28% | N/A | 12/20/2024 | Quarterly | 585,824 | (146,746 | ) | (732,570 | ) | |||||||||||||||||||||||||||
| Republic of Turkey |
BCLY | USD | 12,700,000 | 1.00% | 0.50% | N/A | 12/20/2024 | Quarterly | 1,582,287 | (34,756 | ) | (1,617,043 | ) | |||||||||||||||||||||||||||
| Republic of Turkey |
CITI | USD | 17,900,000 | 1.00% | 0.50% | N/A | 12/20/2024 | Quarterly | 1,213,688 | (48,987 | ) | (1,262,675 | ) | |||||||||||||||||||||||||||
| Commonwealth of Bahamas |
DB | EUR | 13,236,906 | 1.00% | 4.60% | N/A | 06/20/2025 | Quarterly | 1,604,211 | 274,428 | (1,329,783 | ) | ||||||||||||||||||||||||||||
| Republic of Brazil |
MORD | USD | 12,700,000 | 1.00% | 0.66% | N/A | 06/20/2026 | Quarterly | (86,723 | ) | (85,361 | ) | 1,362 | |||||||||||||||||||||||||||
| Republic of Colombia |
MORD | USD | 45,300,000 | 1.00% | 0.82% | N/A | 06/20/2026 | Quarterly | (192,991 | ) | (157,276 | ) | 35,715 | |||||||||||||||||||||||||||
| Republic of South Africa Government International Bonds |
MORD | USD | 34,300,000 | 1.00% | 1.15% | N/A | 06/20/2026 | Quarterly | 195,905 | 102,183 | (93,722 | ) | ||||||||||||||||||||||||||||
| Republic of Egypt |
CITI | USD | 2,300,000 | 1.00% | 4.90% | N/A | 12/20/2027 | Quarterly | 655,500 | 270,246 | (385,254 | ) | ||||||||||||||||||||||||||||
| Republic of Egypt |
JPM | USD | 2,500,000 | 1.00% | 4.90% | N/A | 12/20/2027 | Quarterly | 690,000 | 293,745 | (396,255 | ) | ||||||||||||||||||||||||||||
| Republic of Egypt |
JPM | USD | 2,500,000 | 1.00% | 4.90% | N/A | 12/20/2027 | Quarterly | 725,000 | 293,745 | (431,255 | ) | ||||||||||||||||||||||||||||
| Kingdom of Bahrain |
MORD | USD | 5,400,000 | 1.00% | 1.53% | N/A | 06/20/2028 | Quarterly | 401,901 | 103,833 | (298,068 | ) | ||||||||||||||||||||||||||||
| Republic of Turkey |
MORD | USD | 1,600,000 | 1.00% | 2.19% | N/A | 06/20/2028 | Quarterly | 350,661 | 67,917 | (282,744 | ) | ||||||||||||||||||||||||||||
| Republic of South Africa Government International Bonds |
GS | USD | 30,500,000 | 1.00% | 2.38% | N/A | 06/20/2029 | Quarterly | 2,050,744 | 1,809,257 | (241,487 | ) | ||||||||||||||||||||||||||||
| United States of Mexico |
GS | USD | 14,700,000 | 1.00% | 0.94% | N/A | 06/20/2029 | Quarterly | 1,168,387 | (38,707 | ) | (1,207,094 | ) | |||||||||||||||||||||||||||
| United States of Mexico |
MORD | USD | 14,700,000 | 1.00% | 0.94% | N/A | 06/20/2029 | Quarterly | (28,782 | ) | (38,707 | ) | (9,925 | ) | ||||||||||||||||||||||||||
| United States of Mexico |
GS | USD | 14,700,000 | 1.00% | 1.34% | N/A | 09/20/2031 | Quarterly | 1,940,881 | 305,861 | (1,635,020 | ) | ||||||||||||||||||||||||||||
| Sell Protection^: |
||||||||||||||||||||||||||||||||||||||||
| Commonwealth of Bahamas |
DB | USD | 17,626,321 | 1.00% | 4.59% | 17,626,321 USD | 06/20/2025 | Quarterly | (1,850,318 | ) | (333,138 | ) | 1,517,180 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
| $ | 11,006,175 | $ | 2,637,537 | $ | (8,368,638 | ) | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
| ^ | Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (1) | As of May 31, 2024, 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 Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2024 (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) ($) |
|||||||||||||||||||||
| 0.30% |
JPY-TONA-OIS-COMPOUND | JPY | 8,570,000,000 | 12/21/2027 | Annually | (62,493 | ) | 624,636 | 687,129 | |||||||||||||||||||
| USD-SOFR-COMPOUND |
4.01% | USD | 162,500,000 | 12/21/2027 | Annually | 155,081 | (2,355,098 | ) | (2,510,179 | ) | ||||||||||||||||||
| BRL-CDI |
11.40% | BRL | 233,411,508 | 01/02/2029 | At Maturity | (145,905 | ) | (196,378 | ) | (50,473 | ) | |||||||||||||||||
| 0.58% |
JPY-TONA-OIS-COMPOUND | JPY | 4,360,000,000 | 12/21/2032 | Annually | (100,288 | ) | 944,165 | 1,044,453 | |||||||||||||||||||
| 5.56% |
CL-CLICP-Bloomberg | CLP | 25,400,000,000 | 12/20/2033 | Semi-Annually | 217,080 | (504,510 | ) | (721,590 | ) | ||||||||||||||||||
| 3.20% |
EURIBOR | EUR | 34,000,000 | 12/20/2033 | Semi-Annually | 173,932 | (896,068 | ) | (1,070,000 | ) | ||||||||||||||||||
| 2.80% |
THB-THOR | THB | 930,000,000 | 03/20/2034 | Quarterly | (86,159 | ) | 87,872 | 174,031 | |||||||||||||||||||
| USD-SOFR-COMPOUND |
4.00% | USD | 80,000,000 | 09/18/2034 | Annually | (611,750 | ) | (611,131 | ) | 619 | ||||||||||||||||||
| ZAR-JIBAR-SAFEX |
10.04% | ZAR | 517,900,000 | 03/20/2039 | Quarterly | (734,754 | ) | (686,739 | ) | 48,015 | ||||||||||||||||||
| 2.90% |
EURIBOR | EUR | 25,500,000 | 12/20/2053 | Semi-Annually | 255,170 | (1,598,999 | ) | (1,854,169 | ) | ||||||||||||||||||
| 3.70% |
GBP-SONIA-COMPOUND | GBP | 25,000,000 | 03/20/2054 | Annually | (741,386 | ) | 1,817,275 | 2,558,661 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | (1,681,472 | ) | $ | (3,374,975 | ) | $ | (1,693,503 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
As of May 31, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| (a) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs. |
| (b) | Security is backed by U.S. Treasury Bonds. |
| (c) | Investment valued using significant unobservable inputs. |
| (d) | All or a portion of this security has been pledged to cover collateral requirements on reverse repurchase agreements. |
| (e) | Security is in default. |
| (f) | Security is backed by the United States International Development Finance Corporation. |
| (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 May 31, 2024. |
| (m) | Reverse repurchase agreements have an open maturity date and can be closed by either party on demand. |
The rates shown on variable rate notes are the current interest rates at May 31, 2024 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
CLICP - Chilean Average Chamber Index
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
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 May 31, 2024.
THOR - Thai Overnight Repurchase Rate
TONA - Tokyo Overnight Average Rate
XLCA - Insured as to the payment of principal and interest by XL Capital Assurance.
ZAR JIBAR - Johannesburg Interbank Agreed Rate denominated in South African Rand.
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2024 (Unaudited)
Counterparty Abbreviations:
BCLY - Barclays Bank PLC
BOA - Bank of America, N.A.
CITI - Citibank N.A.
DB - Deutsche Bank AG
GS - Goldman Sachs International
JPM - JPMorgan Chase Bank, N.A.
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
TRY - Turkish Lira
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)
May 31, 2024 (Unaudited)
| Par Value† |
Description | Value ($) | ||||||||
|
|
DEBT OBLIGATIONS — 43.4% |
| ||||||||
| Corporate Debt — 19.8% | ||||||||||
| Australia — 0.2% | ||||||||||
| 300,000 | FMG Resources August 2006 Pty. Ltd., 144A, 5.88%, due 04/15/30 | 290,991 | ||||||||
|
|
|
|||||||||
| Canada — 0.8% | ||||||||||
| 350,000 | Enerflex Ltd., 144A, 9.00%, due 10/15/27 | 357,722 | ||||||||
| 300,000 | goeasy Ltd., 144A, 9.25%, due 12/01/28 | 317,655 | ||||||||
| 350,000 | Parkland Corp., 144A, 4.63%, due 05/01/30 | 318,121 | ||||||||
| 250,000 | Videotron Ltd., 144A, 3.63%, due 06/15/29 | 225,868 | ||||||||
|
|
|
|||||||||
| Total Canada | 1,219,366 | |||||||||
|
|
|
|||||||||
| United Kingdom — 0.4% | ||||||||||
| 400,000 | Jaguar Land Rover Automotive PLC, 144A, 4.50%, due 10/01/27 |
377,257 | ||||||||
| 300,000 | Rolls-Royce PLC, 144A, 3.63%, due 10/14/25 | 289,512 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 666,769 | |||||||||
|
|
|
|||||||||
| United States — 18.4% | ||||||||||
| 400,000 | Advance Auto Parts, Inc., 3.90%, due 04/15/30 | 359,558 | ||||||||
| 300,000 | AECOM, 5.13%, due 03/15/27 | 292,086 | ||||||||
| 400,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 144A, 5.75%, due 04/20/29 | 386,826 | ||||||||
| 400,000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 144A, 6.63%, due 02/01/32 | 400,518 | ||||||||
| 400,000 | APX Group, Inc., 144A, 6.75%, due 02/15/27 | 398,538 | ||||||||
| 300,000 | Arcosa, Inc., 144A, 4.38%, due 04/15/29 | 277,876 | ||||||||
| 350,000 | ASGN, Inc., 144A, 4.63%, due 05/15/28 | 329,187 | ||||||||
| 450,000 | Ashland, Inc., 144A, 3.38%, due 09/01/31 | 377,737 | ||||||||
| 250,000 | Avantor Funding, Inc., 144A, 3.88%, due 11/01/29 | 224,061 | ||||||||
| 300,000 | Ball Corp., 6.00%, due 06/15/29 | 300,488 | ||||||||
| 300,000 | Bath & Body Works, Inc., 6.88%, due 11/01/35 | 302,566 | ||||||||
| 450,000 | Block, Inc., 3.50%, due 06/01/31 | 385,449 | ||||||||
| 350,000 | Boise Cascade Co., 144A, 4.88%, due 07/01/30 | 323,330 | ||||||||
| 350,000 | Brandywine Operating Partnership LP, REIT, 8.88%, due 04/12/29 | 362,236 | ||||||||
| 350,000 | Bread Financial Holdings, Inc., 144A, 9.75%, due 03/15/29 | 366,604 | ||||||||
| 350,000 | Builders FirstSource, Inc., 144A, 6.38%, due 06/15/32 | 348,701 | ||||||||
| 350,000 | BWX Technologies, Inc., 144A, 4.13%, due 06/30/28 | 322,518 | ||||||||
| 300,000 | CNX Resources Corp., 144A, 6.00%, due 01/15/29 | 292,733 | ||||||||
| 350,000 | Crowdstrike Holdings, Inc., 3.00%, due 02/15/29 | 310,782 | ||||||||
| 250,000 | CTR Partnership LP/CareTrust Capital Corp., 144A, REIT, 3.88%, due 06/30/28 | 229,260 | ||||||||
| 250,000 | Delek Logistics Partners LP/Delek Logistics Finance Corp., 144A, 8.63%, due 03/15/29 | 255,634 | ||||||||
| Par Value† |
Description | Value ($) | ||||||||
| Corporate Debt — continued | ||||||||||
| United States — continued | ||||||||||
| 350,000 | Directv Financing LLC/Directv Financing Co.-Obligor, Inc., 144A, 5.88%, due 08/15/27 | 328,654 | ||||||||
| 350,000 | DT Midstream, Inc., 144A, 4.13%, due 06/15/29 | 320,058 | ||||||||
| 400,000 | Dycom Industries, Inc., 144A, 4.50%, due 04/15/29 | 371,631 | ||||||||
| 300,000 | EnLink Midstream LLC, 144A, 5.63%, due 01/15/28 | 296,378 | ||||||||
| 400,000 | Entegris, Inc., 144A, 4.38%, due 04/15/28 | 374,168 | ||||||||
| 300,000 | EQM Midstream Partners LP, 144A, 7.50%, due 06/01/30 | 316,831 | ||||||||
| 350,000 | Esab Corp., 144A, 6.25%, due 04/15/29 | 350,802 | ||||||||
| 300,000 | Fair Isaac Corp., 144A, 5.25%, due 05/15/26 | 296,461 | ||||||||
| 350,000 | Fluor Corp., 4.25%, due 09/15/28 | 330,264 | ||||||||
| 300,000 | Fortrea Holdings, Inc., 144A, 7.50%, due 07/01/30 | 299,849 | ||||||||
| 350,000 | Fortress Transportation & Infrastructure Investors LLC, 144A, 5.50%, due 05/01/28 | 338,276 | ||||||||
| 250,000 | Gartner, Inc., 144A, 3.63%, due 06/15/29 | 225,916 | ||||||||
| 350,000 | HAT Holdings I LLC/HAT Holdings II LLC, 144A, 3.38%, due 06/15/26 | 328,913 | ||||||||
| 350,000 | Hess Midstream Operations LP, 144A, 4.25%, due 02/15/30 |
318,127 | ||||||||
| 400,000 | Hilton Domestic Operating Co., Inc., 144A, 3.75%, due 05/01/29 |
362,463 | ||||||||
| 350,000 | Howard Hughes Corp., 144A, 4.13%, due 02/01/29 | 310,961 | ||||||||
| 350,000 | Howmet Aerospace, Inc., 3.00%, due 01/15/29 | 315,557 | ||||||||
| 400,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.25%, due 05/15/27 | 366,983 | ||||||||
| 375,000 | Iron Mountain Information Management Services, Inc., 144A, 5.00%, due 07/15/32 | 337,982 | ||||||||
| 350,000 | Jefferies Finance LLC/JFIN Co.-Issuer Corp., 144A, 5.00%, due 08/15/28 | 321,762 | ||||||||
| 400,000 | Kaiser Aluminum Corp., 144A, 4.50%, due 06/01/31 | 353,912 | ||||||||
| 450,000 | Kohl’s Corp., 4.63%, due 05/01/31 | 362,893 | ||||||||
| 250,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 144A, 4.75%, due 06/15/29 | 225,934 | ||||||||
| 250,000 | Lamar Media Corp., 4.00%, due 02/15/30 | 224,851 | ||||||||
| 350,000 | Levi Strauss & Co., 144A, 3.50%, due 03/01/31 | 302,522 | ||||||||
| 300,000 | M/I Homes, Inc., 4.95%, due 02/01/28 | 285,255 | ||||||||
| 400,000 | Macy’s Retail Holdings LLC, 144A, 6.13%, due 03/15/32 | 380,564 | ||||||||
| 350,000 | Moog, Inc., 144A, 4.25%, due 12/15/27 | 327,710 | ||||||||
| 400,000 | Mueller Water Products, Inc., 144A, 4.00%, due 06/15/29 | 364,924 | ||||||||
| 225,000 | Murphy Oil USA, Inc., 144A, 3.75%, due 02/15/31 | 195,239 | ||||||||
| 300,000 | Newmark Group, Inc., 144A, 7.50%, due 01/12/29 | 306,361 | ||||||||
| 350,000 | News Corp., 144A, 3.88%, due 05/15/29 | 317,591 | ||||||||
| 350,000 | NextEra Energy Operating Partners LP, 144A, 4.50%, due 09/15/27 |
329,340 | ||||||||
GMO High Yield Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Par Value† |
Description | Value ($) | ||||||||
| Corporate Debt — continued | ||||||||||
| United States — continued | ||||||||||
|
|
450,000 | Nordstrom, Inc., 4.38%, due 04/01/30 | 409,159 | |||||||
| 250,000 | Novelis Corp., 144A, 4.75%, due 01/30/30 | 230,979 | ||||||||
| 350,000 | NRG Energy, Inc., 144A, 3.63%, due 02/15/31 | 299,916 | ||||||||
| 300,000 | NuStar Logistics LP, 6.38%, due 10/01/30 | 299,090 | ||||||||
| 400,000 | OneMain Finance Corp., 3.50%, due 01/15/27 | 369,958 | ||||||||
| 350,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 144A, 7.38%, due 02/15/31 | 361,709 | ||||||||
| 400,000 | Phinia, Inc., 144A, 6.75%, due 04/15/29 | 402,920 | ||||||||
| 350,000 | RingCentral, Inc., 144A, 8.50%, due 08/15/30 | 366,255 | ||||||||
| 300,000 | Royal Caribbean Cruises Ltd., 144A, 9.25%, due 01/15/29 |
319,555 | ||||||||
| 350,000 | Sagicor Financial Co. Ltd., 144A, 5.30%, due 05/13/28 |
335,310 | ||||||||
| 400,000 | Seagate HDD Cayman, 5.75%, due 12/01/34 | 378,276 | ||||||||
| 400,000 | Sensata Technologies, Inc., 144A, 4.38%, due 02/15/30 |
364,872 | ||||||||
| 400,000 | Sirius XM Radio, Inc., 144A, 4.00%, due 07/15/28 | 358,065 | ||||||||
| 400,000 | SLM Corp., 3.13%, due 11/02/26 | 370,663 | ||||||||
| 350,000 | Spirit AeroSystems, Inc., 144A, 9.38%, due 11/30/29 | 375,467 | ||||||||
| 400,000 | Stericycle, Inc., 144A, 3.88%, due 01/15/29 | 363,186 | ||||||||
| 350,000 | Summit Materials LLC/Summit Materials Finance Corp., 144A, 7.25%, due 01/15/31 | 360,885 | ||||||||
| 300,000 | Talen Energy Supply LLC, 144A, 8.63%, due 06/01/30 |
321,765 | ||||||||
| 300,000 | Taylor Morrison Communities, Inc., 144A, 5.75%, due 01/15/28 |
295,341 | ||||||||
| 350,000 | Tempur Sealy International, Inc., 144A, 4.00%, due 04/15/29 |
313,854 | ||||||||
| 400,000 | Tenet Healthcare Corp., 4.63%, due 06/15/28 | 380,141 | ||||||||
| 350,000 | TopBuild Corp., 144A, 4.13%, due 02/15/32 | 305,371 | ||||||||
| 400,000 | Uber Technologies, Inc., 144A, 4.50%, due 08/15/29 | 377,092 | ||||||||
| 350,000 | United Rentals North America, Inc., 3.75%, due 01/15/32 |
299,193 | ||||||||
| 300,000 | Viper Energy, Inc., 144A, 7.38%, due 11/01/31 | 309,871 | ||||||||
| 300,000 | Vistra Operations Co. LLC, 144A, 7.75%, due 10/15/31 |
311,722 | ||||||||
| 300,000 | Vornado Realty LP, REIT, 3.50%, due 01/15/25 | 294,345 | ||||||||
| 300,000 | Western Digital Corp., 4.75%, due 02/15/26 | 293,520 | ||||||||
| 350,000 | Wyndham Hotels & Resorts, Inc., 144A, 4.38%, due 08/15/28 |
324,683 | ||||||||
| 350,000 | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 144A, 7.13%, due 02/15/31 | 359,375 | ||||||||
| 350,000 | XPO, Inc., 144A, 7.13%, due 06/01/31 | 357,120 | ||||||||
| 200,000 | Yum! Brands, Inc., 144A, 4.75%, due 01/15/30 | 188,556 | ||||||||
|
|
|
|||||||||
| Total United States | 28,034,034 | |||||||||
|
|
|
|||||||||
| Total Corporate Debt | 30,211,160 | |||||||||
|
|
|
|||||||||
| Par Value† / Shares |
Description | Value ($) | ||||||||
|
|
U.S. Government — 23.6% | |||||||||
| 3,175,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.53%, due 01/31/25 (a) | 3,178,462 | ||||||||
| 180,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.13%, 5.45%, due 07/31/25 (a) | 180,096 | ||||||||
| 11,695,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.25%, 5.57%, due 01/31/26 (a) | 11,720,698 | ||||||||
| 21,018,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 5.48%, due 04/30/26 (a) | 21,027,752 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 36,107,008 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $65,999,398) |
66,318,168 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 54.9% | ||||||||||
| Repurchase Agreements — 32.1% | ||||||||||
| 48,999,265 | Nomura Securities International, Inc. Repurchase Agreement, dated 05/31/24, maturing on 06/03/24 with a maturity value of $49,020,947 and an effective yield of 5.31%, collateralized by a U.S. Treasury Note with maturity date 11/30/28 and a market value of $50,151,033. | 48,999,265 | ||||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 22.2% | ||||||||||
| JPY |
1,532,000,000 | Japan Treasury Discount Bills, Zero Coupon, due 06/24/24 | 9,741,380 | |||||||
| JPY |
1,769,000,000 | Japan Treasury Discount Bills, Zero Coupon, due 07/16/24 | 11,248,026 | |||||||
| JPY |
2,029,000,000 | Japan Treasury Discount Bills, Zero Coupon, due 07/22/24 | 12,901,080 | |||||||
|
|
|
|||||||||
| Total Sovereign and Sovereign Agency Issuers | 33,890,486 | |||||||||
|
|
|
|||||||||
| Money Market Funds — 0.6% | ||||||||||
| 977,561 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (b) | 977,561 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $85,159,686) |
83,867,312 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 98.3% (Cost $151,159,084) |
150,185,480 | |||||||||
| Other Assets and Liabilities (net) — 1.7% | 2,626,129 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $152,811,609 | |||||||||
|
|
|
|||||||||
GMO High Yield Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
A summary of outstanding financial instruments at May 31, 2024 is as follows:
Forward Currency Contracts
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 07/22/2024 | DB | JPY | 2,029,000,000 | USD | 13,464,495 | 468,633 | ||||||||||||||
| 06/24/2024 | MSCI | JPY | 1,532,000,000 | USD | 10,455,441 | 684,347 | ||||||||||||||
| 07/16/2024 | MSCI | JPY | 1,769,000,000 | USD | 11,857,371 | 537,020 | ||||||||||||||
|
|
|
|||||||||||||||||||
| $ | 1,690,000 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Buys | ||||||||||||||
| 29 | U.S. Treasury Note 10 Yr. (CBT) | September 2024 | 3,155,109 | 5,293 | ||||||||||
| 20 | U.S. Treasury Note 2 Yr. (CBT) | September 2024 | 4,074,063 | (4,591 | ) | |||||||||
| 75 | U.S. Treasury Note 5 Yr. (CBT) | September 2024 | 7,934,766 | (19,956 | ) | |||||||||
|
|
|
|
|
|||||||||||
| $ | 15,163,938 | $ | (19,254 | ) | ||||||||||
|
|
|
|
|
|||||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
Swap Contracts
Centrally Cleared Credit Default Swaps
| Reference Entity |
Notional |
Annual |
Implied |
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.HY.S42.V1 |
USD | 21,330,000 | 5.00% | 3.36% | 21,330,000 | USD | 06/20/2029 | Quarterly | $ | 1,386,715 | $ | 1,440,202 | $ | 53,487 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| ^ | Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (1) | As of May 31, 2024, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. |
| (2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract. |
OTC Total Return Swaps
| Fund Pays |
Fund Receives |
Counterparty |
Notional Amount |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||||||
| SOFR |
Total Return on iBoxx USD Liquid High Yield Index | MSCI | USD | 27,764,000 | 06/20/2024 | Quarterly | (117 | ) | 1,223,972 | 1,224,089 | ||||||||||||||||||||||
| SOFR |
Total Return on iBoxx USD Liquid High Yield Index | MSCI | USD | 9,157,000 | 06/20/2024 | Quarterly | (25 | ) | 240,869 | 240,894 | ||||||||||||||||||||||
| SOFR |
Total Return on iBoxx USD Liquid High Yield Index | BCLY | USD | 15,150,000 | 09/20/2024 | Quarterly | (25 | ) | (49,219 | ) | (49,194 | ) | ||||||||||||||||||||
| SOFR |
Total Return on iBoxx USD Liquid High Yield Index | MSCI | USD | 44,867,000 | 09/20/2024 | Quarterly | 177 | 416,717 | 416,540 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | 10 | $ | 1,832,339 | $ | 1,832,329 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
GMO High Yield Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2024 (Unaudited)
As of May 31, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| (a) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any. |
| (b) | The rate disclosed is the 7 day net yield as of May 31, 2024. |
The rates shown on variable rate notes are the current interest rates at May 31, 2024, 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.
REIT - Real Estate Investment Trust
SOFR - Secured Overnight Financing Rate
Counterparty Abbreviations:
BCLY - Barclays Bank PLC
DB - Deutsche Bank AG
MSCI - Morgan Stanley & Co. International PLC
Currency Abbreviations:
JPY - Japanese Yen
USD - United States Dollar
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Par Value† |
Description | Value ($) | ||||||||
|
|
DEBT OBLIGATIONS — 40.8% | |||||||||
| Canada — 0.3% | ||||||||||
| Corporate Debt — 0.3% | ||||||||||
| 100,000 | CI Financial Corp., 3.20%, due 12/17/30 | 78,295 | ||||||||
| 200,000 | CI Financial Corp., 4.10%, due 06/15/51 | 125,826 | ||||||||
|
|
|
|||||||||
| Total Canada | 204,121 | |||||||||
|
|
|
|||||||||
| Germany — 0.2% | ||||||||||
| Corporate Debt — 0.2% | ||||||||||
| 150,000 | Deutsche Bank AG, Variable Rate, 6.72%, due 01/18/29 | 154,885 | ||||||||
|
|
|
|||||||||
| Ireland — 0.4% | ||||||||||
| Corporate Debt — 0.4% | ||||||||||
| 150,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.65%, due 07/21/27 | 141,890 | ||||||||
| 150,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.30%, due 01/30/32 | 127,765 | ||||||||
|
|
|
|||||||||
| Total Ireland | 269,655 | |||||||||
|
|
|
|||||||||
| Japan — 1.1% | ||||||||||
| Corporate Debt — 1.1% | ||||||||||
| 250,000 | Mitsubishi UFJ Financial Group, Inc., 3.85%, due 03/01/26 | 243,608 | ||||||||
| 200,000 | Mitsubishi UFJ Financial Group, Inc., Variable Rate, 5.48%, due 02/22/31 | 200,919 | ||||||||
| 250,000 | Mizuho Financial Group, Inc., Variable Rate, 4.25%, due 09/11/29 | 238,954 | ||||||||
| 200,000 | Mizuho Financial Group, Inc., Variable Rate, 5.75%, due 05/27/34 | 202,785 | ||||||||
|
|
|
|||||||||
| Total Japan | 886,266 | |||||||||
|
|
|
|||||||||
| Mexico — 0.2% | ||||||||||
| Corporate Debt — 0.2% | ||||||||||
| 150,000 | Southern Copper Corp., 5.88%, due 04/23/45 | 148,212 | ||||||||
|
|
|
|||||||||
| United Kingdom — 0.8% | ||||||||||
| Corporate Debt — 0.8% | ||||||||||
| 200,000 | HSBC Holdings PLC, Variable Rate, 4.58%, due 06/19/29 | 193,057 | ||||||||
| 500,000 | HSBC Holdings PLC, Variable Rate, 3.97%, due 05/22/30 | 465,506 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 658,563 | |||||||||
|
|
|
|||||||||
| United States — 37.8% | ||||||||||
| Corporate Debt — 18.7% | ||||||||||
| 200,000 | Allstate Corp., 4.20%, due 12/15/46 | 161,035 | ||||||||
| 100,000 | Ally Financial, Inc., Variable Rate, 6.99%, due 06/13/29 | 103,348 | ||||||||
| 150,000 | Ally Financial, Inc., Variable Rate, 6.85%, due 01/03/30 | 153,883 | ||||||||
| 200,000 | Altria Group, Inc., 3.40%, due 02/04/41 | 143,240 | ||||||||
| 200,000 | Amazon.com, Inc., 3.30%, due 04/13/27 | 191,418 | ||||||||
| Par Value† |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| Corporate Debt — continued | ||||||||||
|
|
150,000 | Bank of New York Mellon Corp., Variable Rate, 3.44%, due 02/07/28 | 143,188 | |||||||
| 150,000 | Bank of New York Mellon Corp., Variable Rate, 6.47%, due 10/25/34 | 161,551 | ||||||||
| 200,000 | Block Financial LLC, 3.88%, due 08/15/30 | 181,340 | ||||||||
| 150,000 | Booking Holdings, Inc., 3.60%, due 06/01/26 | 145,532 | ||||||||
| 200,000 | Booking Holdings, Inc., 4.63%, due 04/13/30 | 195,226 | ||||||||
| 150,000 | Broadcom, Inc., 144A, 3.42%, due 04/15/33 | 128,186 | ||||||||
| 300,000 | Broadcom, Inc., 144A, 3.19%, due 11/15/36 | 235,466 | ||||||||
| 150,000 | Broadcom, Inc., 144A, 4.93%, due 05/15/37 | 139,621 | ||||||||
| 150,000 | Capital One Financial Corp., Variable Rate, 5.82%, due 02/01/34 | 147,972 | ||||||||
| 150,000 | Carlisle Cos., Inc., 3.75%, due 12/01/27 | 142,355 | ||||||||
| 150,000 | Carlisle Cos., Inc., 2.75%, due 03/01/30 | 130,657 | ||||||||
| 150,000 | CDW LLC/CDW Finance Corp., 3.25%, due 02/15/29 | 135,067 | ||||||||
| 250,000 | Cencora, Inc., 3.25%, due 03/01/25 | 245,725 | ||||||||
| 100,000 | Charles Schwab Corp., Variable Rate, 5.85%, due 05/19/34 | 101,572 | ||||||||
| 150,000 | Charles Schwab Corp., Variable Rate, 6.14%, due 08/24/34 | 155,137 | ||||||||
| 63,000 | Cigna Group, 1.25%, due 03/15/26 | 58,602 | ||||||||
| 150,000 | Cigna Group, 4.80%, due 07/15/46 | 132,219 | ||||||||
| 200,000 | Cigna Group, 3.88%, due 10/15/47 | 151,315 | ||||||||
| 150,000 | Columbia Pipeline Group, Inc., 5.80%, due 06/01/45 | 147,342 | ||||||||
| 150,000 | Comerica, Inc., 4.00%, due 02/01/29 | 137,573 | ||||||||
| 150,000 | Corebridge Financial, Inc., 144A, 6.05%, due 09/15/33 | 153,357 | ||||||||
| 100,000 | Dick’s Sporting Goods, Inc., 3.15%, due 01/15/32 | 84,273 | ||||||||
| 100,000 | Dick’s Sporting Goods, Inc., 4.10%, due 01/15/52 | 70,945 | ||||||||
| 150,000 | Eli Lilly & Co., 4.15%, due 03/15/59 | 121,369 | ||||||||
| 200,000 | Enstar Group Ltd., 4.95%, due 06/01/29 | 190,943 | ||||||||
| 100,000 | Fidelity National Information Services, Inc., 1.15%, due 03/01/26 | 92,789 | ||||||||
| 100,000 | Fidelity National Information Services, Inc., 1.65%, due 03/01/28 | 87,769 | ||||||||
| 150,000 | Fidelity National Information Services, Inc., 3.10%, due 03/01/41 | 106,951 | ||||||||
| 100,000 | Fifth Third Bancorp, Variable Rate, 5.63%, due 01/29/32 | 99,099 | ||||||||
| 200,000 | Fortune Brands Innovations, Inc., 5.88%, due 06/01/33 | 201,457 | ||||||||
| 150,000 | FS KKR Capital Corp., 3.40%, due 01/15/26 | 142,693 | ||||||||
| 300,000 | FS KKR Capital Corp., 3.13%, due 10/12/28 | 260,485 | ||||||||
| 250,000 | GE Capital International Funding Co. Unlimited Co., 4.42%, due 11/15/35 | 229,860 | ||||||||
| 100,000 | General Motors Co., 6.60%, due 04/01/36 | 104,736 | ||||||||
| 150,000 | General Motors Co., 6.25%, due 10/02/43 | 149,556 | ||||||||
| 100,000 | General Motors Co., 6.75%, due 04/01/46 | 105,032 | ||||||||
| 150,000 | Hasbro, Inc., 3.55%, due 11/19/26 | 142,851 | ||||||||
|
|
150,000 | Hasbro, Inc., 3.90%, due 11/19/29 | 137,385 | |||||||
| 150,000 | Howmet Aerospace, Inc., 3.00%, due 01/15/29 | 135,239 | ||||||||
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Par Value† |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| Corporate Debt — continued | ||||||||||
| 100,000 | Illumina, Inc., 5.80%, due 12/12/25 | 100,035 | ||||||||
| 150,000 | International Flavors & Fragrances, Inc., 5.00%, due 09/26/48 | 127,392 | ||||||||
| 150,000 | Jacobs Engineering Group, Inc., 6.35%, due 08/18/28 | 153,876 | ||||||||
| 150,000 | JPMorgan Chase & Co., .Variable Rate, 4.91%, due 07/25/33 | 145,367 | ||||||||
| 150,000 | KeyCorp, 2.25%, due 04/06/27 | 135,744 | ||||||||
| 150,000 | KeyCorp, 4.10%, due 04/30/28 | 140,986 | ||||||||
| 150,000 | KeyCorp, Variable Rate, 4.79%, due 06/01/33 | 136,597 | ||||||||
| 300,000 | Kyndryl Holdings, Inc., 3.15%, due 10/15/31 | 251,941 | ||||||||
| 100,000 | Lazard Group LLC, 4.50%, due 09/19/28 | 96,597 | ||||||||
| 100,000 | Leidos, Inc., 4.38%, due 05/15/30 | 94,056 | ||||||||
| 150,000 | Lennox International, Inc., 5.50%, due 09/15/28 | 150,488 | ||||||||
| 100,000 | Lowe’s Cos., Inc., 4.45%, due 04/01/62 | 77,608 | ||||||||
| 150,000 | Lowe’s Cos., Inc., 5.85%, due 04/01/63 | 146,716 | ||||||||
| 200,000 | Marriott International, Inc., 2.75%, due 10/15/33 | 160,328 | ||||||||
| 150,000 | Merck & Co., Inc., 5.15%, due 05/17/63 | 141,623 | ||||||||
| 150,000 | Meta Platforms, Inc., 3.85%, due 08/15/32 | 138,562 | ||||||||
| 250,000 | Meta Platforms, Inc., 4.65%, due 08/15/62 | 213,738 | ||||||||
| 150,000 | Micron Technology, Inc., 6.75%, due 11/01/29 | 159,144 | ||||||||
| 150,000 | Micron Technology, Inc., 5.88%, due 02/09/33 | 153,570 | ||||||||
| 100,000 | Micron Technology, Inc., 5.88%, due 09/15/33 | 102,436 | ||||||||
| 150,000 | MPLX LP, 5.20%, due 03/01/47 | 134,802 | ||||||||
| 250,000 | MPLX LP, 5.50%, due 02/15/49 | 231,360 | ||||||||
| 100,000 | Mylan, Inc., 5.20%, due 04/15/48 | 80,569 | ||||||||
| 100,000 | Netflix, Inc., 4.38%, due 11/15/26 | 98,127 | ||||||||
| 100,000 | Netflix, Inc., 4.88%, due 04/15/28 | 99,127 | ||||||||
| 200,000 | NVIDIA Corp., 3.50%, due 04/01/50 | 153,098 | ||||||||
| 200,000 | Omega Healthcare Investors, Inc., REIT, 3.38%, due 02/01/31 | 170,177 | ||||||||
| 150,000 | Omega Healthcare Investors, Inc., REIT, 3.25%, due 04/15/33 | 120,181 | ||||||||
| 150,000 | ONEOK, Inc., 6.63%, due 09/01/53 | 160,407 | ||||||||
| 150,000 | Pacific Gas & Electric Co., 3.75%, due 07/01/28 | 139,736 | ||||||||
| 150,000 | Pacific Gas & Electric Co., 4.75%, due 02/15/44 | 124,519 | ||||||||
| 150,000 | PacifiCorp, 5.35%, due 12/01/53 | 134,398 | ||||||||
| 150,000 | PacifiCorp, 5.80%, due 01/15/55 | 142,805 | ||||||||
| 150,000 | Piedmont Operating Partnership LP, 9.25%, due 07/20/28 | 160,133 | ||||||||
| 150,000 | Pilgrim’s Pride Corp., 6.25%, due 07/01/33 | 151,572 | ||||||||
| 200,000 | Pilgrim’s Pride Corp., 6.88%, due 05/15/34 | 211,181 | ||||||||
| 150,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.70%, due 06/15/44 | 124,283 | ||||||||
| 150,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.90%, due 02/15/45 | 127,417 | ||||||||
| 150,000 | PNC Financial Services Group, Inc., Variable Rate, 6.88%, due 10/20/34 | 162,571 | ||||||||
| 150,000 | Progressive Corp., 4.13%, due 04/15/47 | 123,568 | ||||||||
| 150,000 | RTX Corp., 4.45%, due 11/16/38 | 132,480 | ||||||||
| 150,000 | RTX Corp., 4.88%, due 10/15/40 | 136,885 | ||||||||
| Par Value† |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| Corporate Debt — continued | ||||||||||
| 250,000 | Sabra Health Care LP, REIT, 3.20%, due 12/01/31 | 206,019 | ||||||||
| 150,000 | Simon Property Group LP, REIT, 5.85%, due 03/08/53 | 149,111 | ||||||||
| 100,000 | Synchrony Financial, 5.15%, due 03/19/29 | 95,820 | ||||||||
| 100,000 | TC PipeLines LP, 3.90%, due 05/25/27 | 95,620 | ||||||||
| 100,000 | Tyson Foods, Inc., 4.55%, due 06/02/47 | 80,605 | ||||||||
| 350,000 | Union Pacific Corp., 3.80%, due 04/06/71 | 246,781 | ||||||||
| 150,000 | Utah Acquisition Sub, Inc., 5.25%, due 06/15/46 | 122,895 | ||||||||
| 200,000 | Verisk Analytics, Inc., 4.00%, due 06/15/25 | 196,490 | ||||||||
| 100,000 | VMware LLC, 1.40%, due 08/15/26 | 91,582 | ||||||||
| 150,000 | VMware LLC, 4.65%, due 05/15/27 | 147,123 | ||||||||
| 150,000 | VMware LLC, 3.90%, due 08/21/27 | 143,356 | ||||||||
| 300,000 | Vontier Corp., 2.95%, due 04/01/31 | 246,521 | ||||||||
| 150,000 | Vulcan Materials Co., 3.50%, due 06/01/30 | 136,087 | ||||||||
| 150,000 | Westinghouse Air Brake Technologies Corp., 5.61%, due 03/11/34 | 150,458 | ||||||||
| 100,000 | WRKCo, Inc., 4.65%, due 03/15/26 | 98,448 | ||||||||
| 150,000 | WRKCo, Inc., 4.00%, due 03/15/28 | 143,324 | ||||||||
|
|
|
|||||||||
| 14,681,799 | ||||||||||
|
|
|
|||||||||
| U.S. Government — 2.6% | ||||||||||
| 450,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.04%, 5.36%, due 07/31/24 | 449,972 | ||||||||
| 1,100,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.25%, 5.57%, due 01/31/26 (a) | 1,102,417 | ||||||||
| 500,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 5.48%, due 04/30/26 (a) | 500,232 | ||||||||
|
|
|
|||||||||
| 2,052,621 | ||||||||||
|
|
|
|||||||||
| U.S. Government Agency — 16.5% | ||||||||||
| 2,700,000 | Government National Mortgage Association, TBA, 3.50%, due 06/20/54 | 2,409,276 | ||||||||
| 9,500,000 | Uniform Mortgage-Backed Security, TBA, 3.00%, due 06/01/54 | 7,987,330 | ||||||||
| 900,000 | Uniform Mortgage-Backed Security, TBA, 2.50%, due 06/01/54 | 726,614 | ||||||||
| 300,000 | Uniform Mortgage-Backed Security, TBA, 2.00%, due 06/01/54 | 231,394 | ||||||||
| 800,000 | Uniform Mortgage-Backed Security, TBA, 5.50%, due 06/01/54 | 787,023 | ||||||||
| 800,000 | Uniform Mortgage-Backed Security, TBA, 6.00%, due 06/01/54 | 801,099 | ||||||||
|
|
|
|||||||||
| 12,942,736 | ||||||||||
|
|
|
|||||||||
| Total United States | 29,677,156 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $32,156,468) |
31,998,858 | |||||||||
|
|
|
|||||||||
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Par Value† / Shares |
Description | Value ($) | ||||||||
| MUTUAL FUNDS — 23.3% | ||||||||||
| United States — 23.3% | ||||||||||
| Affiliated Issuers — 23.3% | ||||||||||
| 196,141 | GMO Emerging Country Debt Fund, Class VI | 3,850,243 | ||||||||
| 602,517 | GMO Opportunistic Income Fund, Class VI | 14,472,453 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $21,061,149) |
18,322,696 | |||||||||
|
|
|
|||||||||
| COMMON STOCKS — 14.6% | ||||||||||
| United States — 14.6% | ||||||||||
| 65,000 | Amazon.com, Inc.* | 11,468,600 | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $10,097,100) |
11,468,600 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 35.2% | ||||||||||
| Repurchase Agreements — 23.0% | ||||||||||
| 17,999,782 | Nomura Securities International, Inc. Repurchase Agreement, dated, 05/31/24 maturing on 06/03/24 with a maturity value of $18,007,747 and an effective yield of 5.31%, collateralized by a U.S. Treasury Note with maturity date 11/30/28 and a market value of $18,422,882. | 17,999,782 | ||||||||
|
|
|
|||||||||
| Par Value† / Shares |
Description | Value ($) | ||||||||
| Money Market Funds — 0.4% | ||||||||||
| 328,840 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (b) | 328,840 | ||||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 11.8% | ||||||||||
| JPY |
1,455,000,000 | Japan Treasury Discount Bills, Zero Coupon, due 07/01/24 | 9,251,683 | |||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $27,937,322) |
27,580,305 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 113.9% (Cost $91,252,039) |
89,370,459 | |||||||||
| Other Assets and Liabilities (net) — (13.9%) | (10,900,056 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $78,470,403 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at May 31, 2024 is as follows:
Forward Currency Contracts
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 06/04/2024 | MSCI | BRL | 963,667 | USD | 185,510 | 1,985 | ||||||||||||||
| 08/23/2024 | GS | CLP | 40,000,000 | USD | 44,450 | 907 | ||||||||||||||
| 08/23/2024 | MSCI | CLP | 30,000,000 | USD | 33,020 | 364 | ||||||||||||||
| 07/29/2024 | SSB | IDR | 505,959,000 | USD | 31,112 | 42 | ||||||||||||||
| 08/09/2024 | CITI | ILS | 236,203 | USD | 64,149 | 220 | ||||||||||||||
| 08/06/2024 | MSCI | INR | 2,000,000 | USD | 24,007 | 85 | ||||||||||||||
| 08/06/2024 | SSB | INR | 4,000,000 | USD | 47,905 | 61 | ||||||||||||||
| 07/01/2024 | BBH | JPY | 1,455,000,000 | USD | 9,768,805 | 478,864 | ||||||||||||||
| 07/24/2024 | GS | JPY | 85,000,000 | USD | 546,821 | 2,227 | ||||||||||||||
| 07/24/2024 | MSCI | JPY | 28,000,000 | USD | 180,188 | 792 | ||||||||||||||
| 08/23/2024 | SSB | KRW | 100,000,000 | USD | 73,337 | 715 | ||||||||||||||
| 07/16/2024 | BOA | NOK | 1,700,000 | USD | 162,458 | 328 | ||||||||||||||
| 06/25/2024 | MSCI | PEN | 360,000 | USD | 97,160 | 551 | ||||||||||||||
| 07/29/2024 | CITI | PHP | 1,500,000 | USD | 25,634 | 21 | ||||||||||||||
| 08/20/2024 | JPM | PLN | 400,000 | USD | 101,776 | 331 | ||||||||||||||
| 07/24/2024 | CITI | SGD | 120,000 | USD | 89,102 | 79 | ||||||||||||||
| 07/24/2024 | MSCI | SGD | 40,000 | USD | 29,682 | 7 | ||||||||||||||
| 08/20/2024 | BCLY | THB | 9,022,300 | USD | 251,171 | 4,429 | ||||||||||||||
| 08/20/2024 | MSCI | THB | 1,200,000 | USD | 33,399 | 582 | ||||||||||||||
| 08/20/2024 | SSB | THB | 1,200,000 | USD | 33,097 | 280 | ||||||||||||||
| 07/24/2024 | GS | TWD | 1,200,000 | USD | 37,553 | 581 | ||||||||||||||
| 07/24/2024 | SSB | TWD | 5,400,000 | USD | 167,530 | 1,156 | ||||||||||||||
| 06/11/2024 | CITI | USD | 72,964 | AUD | 110,000 | 240 | ||||||||||||||
| 06/11/2024 | SSB | USD | 297,408 | AUD | 450,000 | 2,059 | ||||||||||||||
| 06/28/2024 | MSCI | USD | 270,397 | CAD | 370,000 | 1,207 | ||||||||||||||
| 06/28/2024 | SSB | USD | 885,468 | CAD | 1,207,182 | 684 | ||||||||||||||
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 07/12/2024 | DB | USD | 721,313 | CHF | 650,000 | 2,149 | ||||||||||||||
| 07/16/2024 | BOA | USD | 42,514 | CZK | 1,000,000 | 1,451 | ||||||||||||||
| 07/16/2024 | BBH | USD | 42,095 | CZK | 1,000,000 | 1,871 | ||||||||||||||
| 07/16/2024 | MSCI | USD | 50,703 | CZK | 1,200,000 | 2,056 | ||||||||||||||
| 07/31/2024 | CITI | USD | 249,660 | EUR | 230,000 | 543 | ||||||||||||||
| 07/31/2024 | MSCI | USD | 206,358 | EUR | 190,000 | 332 | ||||||||||||||
| 07/16/2024 | BCLY | USD | 374,832 | GBP | 300,000 | 7,522 | ||||||||||||||
| 07/16/2024 | SSB | USD | 215,866 | GBP | 170,000 | 802 | ||||||||||||||
| 08/09/2024 | MSCI | USD | 40,505 | ILS | 150,000 | 93 | ||||||||||||||
| 08/06/2024 | BCLY | USD | 100,548 | INR | 8,420,556 | 173 | ||||||||||||||
| 07/16/2024 | BOA | USD | 109,315 | NOK | 1,200,000 | 5,130 | ||||||||||||||
| 07/16/2024 | CITI | USD | 1,774,857 | NOK | 19,285,429 | 64,406 | ||||||||||||||
| 08/30/2024 | CITI | USD | 281,430 | NZD | 460,000 | 1,319 | ||||||||||||||
| 06/25/2024 | CITI | USD | 21,302 | PEN | 80,000 | 167 | ||||||||||||||
| 06/25/2024 | GS | USD | 74,672 | PEN | 280,000 | 468 | ||||||||||||||
| 07/25/2024 | DB | USD | 21,783 | RON | 100,000 | 4 | ||||||||||||||
| 07/10/2024 | BCLY | USD | 871,054 | SEK | 9,402,650 | 23,994 | ||||||||||||||
| 07/10/2024 | GS | USD | 66,086 | SEK | 700,000 | 547 | ||||||||||||||
| 07/24/2024 | SSB | USD | 46,181 | TWD | 1,500,000 | 34 | ||||||||||||||
| 06/28/2024 | BOA | USD | 31,569 | ZAR | 600,000 | 309 | ||||||||||||||
| 06/28/2024 | MSCI | USD | 10,484 | ZAR | 200,000 | 142 | ||||||||||||||
| 06/11/2024 | CITI | AUD | 910,000 | USD | 603,858 | (1,732 | ) | |||||||||||||
| 06/28/2024 | BCLY | CAD | 980,000 | USD | 715,914 | (3,471 | ) | |||||||||||||
| 07/12/2024 | DB | CHF | 170,000 | USD | 188,558 | (655 | ) | |||||||||||||
| 07/12/2024 | MSCI | CHF | 2,203,976 | USD | 2,443,022 | (10,043 | ) | |||||||||||||
| 08/23/2024 | GS | COP | 120,000,000 | USD | 30,570 | (93 | ) | |||||||||||||
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2024 (Unaudited)
Forward Currency Contracts — continued
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 07/16/2024 | CITI | CZK | 600,000 | USD | 26,344 | (36 | ) | |||||||||||||
| 07/16/2024 | GS | CZK | 3,042,868 | USD | 127,932 | (5,849 | ) | |||||||||||||
| 07/31/2024 | MSCI | EUR | 1,740,000 | USD | 1,869,969 | (22,876 | ) | |||||||||||||
| 07/16/2024 | CITI | GBP | 240,000 | USD | 301,645 | (4,238 | ) | |||||||||||||
| 06/14/2024 | DB | HUF | 25,230,100 | USD | 70,209 | (14 | ) | |||||||||||||
| 08/06/2024 | MSCI | INR | 2,000,000 | USD | 23,885 | (38 | ) | |||||||||||||
| 07/16/2024 | BOA | NOK | 1,300,000 | USD | 123,579 | (403 | ) | |||||||||||||
| 07/16/2024 | CITI | NOK | 2,400,000 | USD | 224,565 | (4,325 | ) | |||||||||||||
| 08/30/2024 | SSB | NZD | 2,310,000 | USD | 1,416,714 | (3,177 | ) | |||||||||||||
| 08/20/2024 | CITI | PLN | 50,000 | USD | 12,639 | (42 | ) | |||||||||||||
| 07/25/2024 | BCLY | RON | 1,231,041 | USD | 264,441 | (3,763 | ) | |||||||||||||
| 07/25/2024 | CITI | RON | 250,000 | USD | 54,363 | (104 | ) | |||||||||||||
| 07/10/2024 | BOA | SEK | 2,000,000 | USD | 190,192 | (190 | ) | |||||||||||||
| 07/24/2024 | CITI | SGD | 50,000 | USD | 36,831 | (262 | ) | |||||||||||||
| 07/24/2024 | SSB | SGD | 320,686 | USD | 236,786 | (1,115 | ) | |||||||||||||
| 08/20/2024 | MSCI | THB | 3,000,000 | USD | 82,038 | (6 | ) | |||||||||||||
| 07/24/2024 | CITI | TWD | 7,545,600 | USD | 232,232 | (246 | ) | |||||||||||||
| 06/04/2024 | MSCI | USD | 192,119 | BRL | 963,667 | (8,594 | ) | |||||||||||||
| 08/02/2024 | MSCI | USD | 184,367 | BRL | 963,667 | (1,868 | ) | |||||||||||||
| 08/02/2024 | SSB | USD | 38,168 | BRL | 200,000 | (292 | ) | |||||||||||||
| 08/23/2024 | MSCI | USD | 192,046 | CLP | 170,271,500 | (6,695 | ) | |||||||||||||
| 08/23/2024 | GS | USD | 10,222 | COP | 40,000,000 | (1 | ) | |||||||||||||
| 08/23/2024 | MSCI | USD | 178,882 | COP | 693,658,000 | (1,632 | ) | |||||||||||||
| 07/31/2024 | CITI | USD | 348,509 | EUR | 320,000 | (399 | ) | |||||||||||||
| 07/16/2024 | BCLY | USD | 332,701 | GBP | 260,000 | (1,327 | ) | |||||||||||||
| 06/14/2024 | CITI | USD | 55,880 | HUF | 20,000,000 | (214 | ) | |||||||||||||
| 07/29/2024 | CITI | USD | 24,687 | IDR | 400,000,000 | (123 | ) | |||||||||||||
| 07/29/2024 | SSB | USD | 49,498 | IDR | 800,000,000 | (371 | ) | |||||||||||||
| 08/09/2024 | CITI | USD | 27,359 | ILS | 100,000 | (294 | ) | |||||||||||||
| 08/09/2024 | MSCI | USD | 109,089 | ILS | 400,000 | (829 | ) | |||||||||||||
| 07/24/2024 | DB | USD | 241,282 | JPY | 37,000,000 | (4,224 | ) | |||||||||||||
| 07/24/2024 | MSCI | USD | 2,266,312 | JPY | 345,902,084 | (50,124 | ) | |||||||||||||
| 08/23/2024 | CITI | USD | 11,600 | KRW | 15,778,325 | (141 | ) | |||||||||||||
| 07/16/2024 | DB | USD | 70,290 | MXN | 1,200,000 | (28 | ) | |||||||||||||
| 07/16/2024 | JPM | USD | 320,816 | MXN | 5,419,101 | (3,520 | ) | |||||||||||||
| 06/25/2024 | BCLY | USD | 32,515 | PEN | 120,000 | (313 | ) | |||||||||||||
| 06/25/2024 | GS | USD | 43,271 | PEN | 160,000 | (334 | ) | |||||||||||||
| 06/25/2024 | JPM | USD | 21,548 | PEN | 80,000 | (79 | ) | |||||||||||||
| 06/25/2024 | MSCI | USD | 21,547 | PEN | 80,000 | (78 | ) | |||||||||||||
| 07/29/2024 | CITI | USD | 25,945 | PHP | 1,500,000 | (333 | ) | |||||||||||||
| 08/20/2024 | CITI | USD | 38,201 | PLN | 150,000 | (159 | ) | |||||||||||||
| Settlement Date |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 08/20/2024 | MSCI | USD | 25,433 | PLN | 100,000 | (72 | ) | |||||||||||||
| 07/25/2024 | DB | USD | 32,698 | RON | 150,000 | (18 | ) | |||||||||||||
| 07/24/2024 | MSCI | USD | 27,887 | TWD | 900,000 | (158 | ) | |||||||||||||
| 06/28/2024 | BOA | USD | 86,361 | ZAR | 1,600,000 | (1,354 | ) | |||||||||||||
| 06/28/2024 | CITI | USD | 54,213 | ZAR | 1,000,000 | (1,084 | ) | |||||||||||||
| 06/28/2024 | MSCI | USD | 65,235 | ZAR | 1,200,000 | (1,480 | ) | |||||||||||||
| 06/28/2024 | SSB | USD | 76,548 | ZAR | 1,400,000 | (2,167 | ) | |||||||||||||
| 06/28/2024 | BNYM | ZAR | 600,000 | USD | 31,442 | (436 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| $ | 460,890 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Buys | ||||||||||||||
| 39 | U.S. Long Bond (CBT) | September 2024 | 4,526,437 | (36,429 | ) | |||||||||
| 42 | U.S. Treasury Note 10 Yr. (CBT) | September 2024 | 4,569,469 | 7,721 | ||||||||||
| 31 | U.S. Treasury Note 2 Yr. (CBT) | September 2024 | 6,314,797 | (7,116 | ) | |||||||||
| 92 | U.S. Treasury Note 5 Yr. (CBT) | September 2024 | 9,733,312 | (24,479 | ) | |||||||||
| 17 | U.S. Treasury Ultra 10 Yr. (CBT) | September 2024 | 1,904,531 | (6,402 | ) | |||||||||
| 29 | U.S. Ultra Bond (CBT) | September 2024 | 3,550,688 | (24,512 | ) | |||||||||
|
|
|
|
|
|||||||||||
| $ | 30,599,234 | $ | (91,217 | ) | ||||||||||
|
|
|
|
|
|||||||||||
| + | 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) ($) |
|||||||||||||||||||||||||||||
| Buy Protection^: |
||||||||||||||||||||||||||||||||||||||
| CDX.NA.IG.S42 |
USD | 4,000,000 | 1.00% | 0.50% | N/A | 06/20/2029 | Quarterly | $ | (91,822 | ) | $ | (89,476 | ) | $ | 2,346 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
| ^ | Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will,
depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced
index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2024 (Unaudited)
| (1) | As of May 31, 2024, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. |
| (2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract. |
Centrally Cleared Interest Rate Swaps
| Fund Pays |
Fund Receives | Notional Amount |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||
| 3.91% |
3 Month AUD BBSW | AUD | 2,500,000 | 06/19/2026 | Quarterly | — | 10,904 | 10,904 | ||||||||||||||||||
| 3.92% |
3 Month AUD BBSW | AUD | 5,000,000 | 06/19/2026 | Quarterly | 96 | 21,460 | 21,364 | ||||||||||||||||||
| 3.84% |
3 Month AUD BBSW | AUD | 2,000,000 | 06/19/2026 | Quarterly | (21 | ) | 10,517 | 10,538 | |||||||||||||||||
| 3 Month AUD BBSW |
4.27% | AUD | 1,500,000 | 06/19/2026 | Quarterly | — | 270 | 270 | ||||||||||||||||||
|
CAD-CORRA-OIS-COMPOUND |
3.91% | CAD | 5,000,000 | 06/19/2026 | Annually | (3,366 | ) | (15,805 | ) | (12,439 | ) | |||||||||||||||
| 3.94% |
CAD-CORRA-OIS-COMPOUND | CAD | 1,500,000 | 06/19/2026 | Annually | — | 4,044 | 4,044 | ||||||||||||||||||
| 4.25% |
CAD-CORRA-OIS-COMPOUND | CAD | 2,500,000 | 06/19/2026 | Annually | — | (3,898 | ) | (3,898 | ) | ||||||||||||||||
|
CHF-SARON-OIS-COMPOUND |
0.99% | CHF | 10,000,000 | 06/19/2026 | Annually | (1,442 | ) | (60,020 | ) | (58,578 | ) | |||||||||||||||
|
CHF-SARON-OIS-COMPOUND |
1.02% | CHF | 2,000,000 | 06/19/2026 | Annually | (207 | ) | (10,577 | ) | (10,370 | ) | |||||||||||||||
| 0.99% |
CHF-SARON-OIS-COMPOUND | CHF | 1,000,000 | 06/19/2026 | Annually | 324 | 6,066 | 5,742 | ||||||||||||||||||
| 1.30% |
CHF-SARON-OIS-COMPOUND | CHF | 1,000,000 | 06/19/2026 | Annually | — | (851 | ) | (851 | ) | ||||||||||||||||
| EUR-EuroSTR-COMPOUND |
3.16% | EUR | 2,000,000 | 06/19/2026 | Annually | — | (1,275 | ) | (1,275 | ) | ||||||||||||||||
| 2.76% |
EUR-EuroSTR-COMPOUND | EUR | 4,000,000 | 06/19/2026 | Annually | (463 | ) | 36,170 | 36,633 | |||||||||||||||||
| GBP-SONIA-COMPOUND |
4.15% | GBP | 2,000,000 | 06/19/2026 | Annually | — | (25,956 | ) | (25,956 | ) | ||||||||||||||||
| GBP-SONIA-COMPOUND |
4.38% | GBP | 1,500,000 | 06/19/2026 | Annually | (1,634 | ) | (11,502 | ) | (9,868 | ) | |||||||||||||||
| GBP-SONIA-COMPOUND |
4.59% | GBP | 1,000,000 | 06/19/2026 | Annually | — | (2,504 | ) | (2,504 | ) | ||||||||||||||||
| 4.27% |
GBP-SONIA-COMPOUND | GBP | 1,000,000 | 06/19/2026 | Annually | 289 | 10,078 | 9,789 | ||||||||||||||||||
| 4.67% |
GBP-SONIA-COMPOUND | GBP | 2,000,000 | 06/19/2026 | Annually | — | 1,265 | 1,265 | ||||||||||||||||||
| 4.73% |
GBP-SONIA-COMPOUND | GBP | 500,000 | 06/19/2026 | Annually | — | (324 | ) | (324 | ) | ||||||||||||||||
| 4.70% |
3 Month NZD Bank Bill Rate | NZD | 2,500,000 | 06/19/2026 | Quarterly | — | 10,711 | 10,711 | ||||||||||||||||||
| 4.79% |
3 Month NZD Bank Bill Rate | NZD | 3,000,000 | 06/19/2026 | Quarterly | 2,109 | 9,582 | 7,473 | ||||||||||||||||||
| 4.93% |
3 Month NZD Bank Bill Rate | NZD | 2,500,000 | 06/19/2026 | Quarterly | — | 4,004 | 4,004 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate |
5.10% | NZD | 2,000,000 | 06/19/2026 | Quarterly | — | 539 | 539 | ||||||||||||||||||
| 3.27% |
3 Month SEK STIBOR | SEK | 15,000,000 | 06/19/2026 | Quarterly | — | (548 | ) | (548 | ) | ||||||||||||||||
| 3 Month SEK STIBOR |
3.05% | SEK | 30,000,000 | 06/19/2026 | Quarterly | (310 | ) | (10,695 | ) | (10,385 | ) | |||||||||||||||
| 3 Month SEK STIBOR |
3.30% | SEK | 10,000,000 | 06/19/2026 | Quarterly | — | 1,084 | 1,084 | ||||||||||||||||||
| USD-SOFR-COMPOUND |
4.52% | USD | 500,000 | 06/20/2026 | Annually | — | (2,359 | ) | (2,359 | ) | ||||||||||||||||
| 4.33% |
USD-SOFR-COMPOUND | USD | 1,500,000 | 06/20/2026 | Annually | — | 12,308 | 12,308 | ||||||||||||||||||
| 4.83% |
USD-SOFR-COMPOUND | USD | 500,000 | 06/20/2026 | Annually | (216 | ) | (570 | ) | (354 | ) | |||||||||||||||
| 6 Month AUD BBSW |
4.23% | AUD | 400,000 | 06/19/2034 | Semi-annual | (97 | ) | (7,402 | ) | (7,305 | ) | |||||||||||||||
| 6 Month AUD BBSW |
4.28% | AUD | 800,000 | 06/19/2034 | Semi-annual | — | (12,692 | ) | (12,692 | ) | ||||||||||||||||
| 6 Month AUD BBSW |
4.39% | AUD | 6,400,000 | 06/19/2034 | Semi-annual | 1,547 | (64,538 | ) | (66,085 | ) | ||||||||||||||||
| 6 Month AUD BBSW |
4.39% | AUD | 600,000 | 06/19/2034 | Semi-annual | — | (6,054 | ) | (6,054 | ) | ||||||||||||||||
| 6 Month AUD BBSW |
4.39% | AUD | 1,200,000 | 06/19/2034 | Semi-annual | 505 | (11,884 | ) | (12,389 | ) | ||||||||||||||||
| 4.28% |
6 Month AUD BBSW | AUD | 500,000 | 06/19/2034 | Semi-annual | — | 7,853 | 7,853 | ||||||||||||||||||
| 4.36% |
6 Month AUD BBSW | AUD | 400,000 | 06/19/2034 | Semi-annual | — | 4,600 | 4,600 | ||||||||||||||||||
| 4.75% |
6 Month AUD BBSW | AUD | 400,000 | 06/19/2034 | Semi-annual | — | (3,705 | ) | (3,705 | ) | ||||||||||||||||
| 4.60% |
6 Month AUD BBSW | AUD | 3,000,000 | 06/19/2034 | Semi-annual | — | (4,229 | ) | (4,229 | ) | ||||||||||||||||
| 4.60% |
6 Month AUD BBSW | AUD | 300,000 | 06/19/2034 | Semi-annual | — | (415 | ) | (415 | ) | ||||||||||||||||
|
CAD-CORRA-OIS-COMPOUND |
3.39% | CAD | 1,100,000 | 06/19/2034 | Annually | (2,554 | ) | (13,529 | ) | (10,975 | ) | |||||||||||||||
|
CAD-CORRA-OIS-COMPOUND |
3.42% | CAD | 300,000 | 06/19/2034 | Annually | — | (3,123 | ) | (3,123 | ) | ||||||||||||||||
|
CAD-CORRA-OIS-COMPOUND |
3.63% | CAD | 800,000 | 06/19/2034 | Annually | — | 2,006 | 2,006 | ||||||||||||||||||
|
CAD-CORRA-OIS-COMPOUND |
3.77% | CAD | 600,000 | 06/19/2034 | Annually | — | 6,587 | 6,587 | ||||||||||||||||||
| 3.40% |
CAD-CORRA-OIS-COMPOUND | CAD | 1,200,000 | 06/19/2034 | Annually | 2,003 | 13,955 | 11,952 | ||||||||||||||||||
| 3.66% |
CAD-CORRA-OIS-COMPOUND | CAD | 300,000 | 06/19/2034 | Annually | — | (1,200 | ) | (1,200 | ) | ||||||||||||||||
| 3.75% |
CAD-CORRA-OIS-COMPOUND | CAD | 300,000 | 06/19/2034 | Annually | — | (2,873 | ) | (2,873 | ) | ||||||||||||||||
| 3.60% |
CAD-CORRA-OIS-COMPOUND | CAD | 600,000 | 06/19/2034 | Annually | — | (225 | ) | (225 | ) | ||||||||||||||||
| 3.69% |
CAD-CORRA-OIS-COMPOUND | CAD | 600,000 | 06/19/2034 | Annually | — | (3,735 | ) | (3,735 | ) | ||||||||||||||||
|
CHF-SARON-OIS-COMPOUND |
1.13% | CHF | 200,000 | 06/19/2034 | Annually | 575 | (4,112 | ) | (4,687 | ) | ||||||||||||||||
|
CHF-SARON-OIS-COMPOUND |
1.35% | CHF | 200,000 | 06/19/2034 | Annually | — | 405 | 405 | ||||||||||||||||||
| 1.19% |
CHF-SARON-OIS-COMPOUND | CHF | 2,050,000 | 06/19/2034 | Annually | (9,632 | ) | 29,894 | 39,526 | |||||||||||||||||
| 1.18% |
CHF-SARON-OIS-COMPOUND | CHF | 400,000 | 06/19/2034 | Annually | 1,758 | 6,482 | 4,724 | ||||||||||||||||||
| EUR-EuroSTR-COMPOUND |
2.46% | EUR | 800,000 | 06/19/2034 | Annually | 945 | (21,681 | ) | (22,626 | ) | ||||||||||||||||
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2024 (Unaudited)
Swap Contracts — continued
Centrally Cleared Interest Rate Swaps — continued
| Fund Pays |
Fund Receives | Notional Amount |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||
| EUR-EuroSTR-COMPOUND |
2.54% | EUR | 300,000 | 06/19/2034 | Annually | — | (5,999 | ) | (5,999 | ) | ||||||||||||||||
| EUR-EuroSTR-COMPOUND |
2.55% | EUR | 500,000 | 06/19/2034 | Annually | — | (9,432 | ) | (9,432 | ) | ||||||||||||||||
| EUR-EuroSTR-COMPOUND |
2.75% | EUR | 1,100,000 | 06/19/2034 | Annually | — | (437 | ) | (437 | ) | ||||||||||||||||
| 2.52% |
EUR-EuroSTR-COMPOUND | EUR | 800,000 | 06/19/2034 | Annually | 1,062 | 17,782 | 16,720 | ||||||||||||||||||
| 2.45% |
EUR-EuroSTR-COMPOUND | EUR | 200,000 | 06/19/2034 | Annually | — | 5,605 | 5,605 | ||||||||||||||||||
| 2.53% |
EUR-EuroSTR-COMPOUND | EUR | 400,000 | 06/19/2034 | Annually | — | 8,453 | 8,453 | ||||||||||||||||||
| 2.51% |
EUR-EuroSTR-COMPOUND | EUR | 600,000 | 06/19/2034 | Annually | — | 13,812 | 13,812 | ||||||||||||||||||
| 2.48% |
EUR-EuroSTR-COMPOUND | EUR | 600,000 | 06/19/2034 | Annually | — | 15,484 | 15,484 | ||||||||||||||||||
| 2.49% |
EUR-EuroSTR-COMPOUND | EUR | 200,000 | 06/19/2034 | Annually | — | 4,982 | 4,982 | ||||||||||||||||||
| 2.54% |
EUR-EuroSTR-COMPOUND | EUR | 300,000 | 06/19/2034 | Annually | — | 6,099 | 6,099 | ||||||||||||||||||
| 2.61% |
EUR-EuroSTR-COMPOUND | EUR | 400,000 | 06/19/2034 | Annually | — | 5,260 | 5,260 | ||||||||||||||||||
| 2.73% |
EUR-EuroSTR-COMPOUND | EUR | 400,000 | 06/19/2034 | Annually | — | 669 | 669 | ||||||||||||||||||
| GBP-SONIA-COMPOUND |
3.72% | GBP | 200,000 | 06/19/2034 | Annually | (604 | ) | (6,039 | ) | (5,435 | ) | |||||||||||||||
| GBP-SONIA-COMPOUND |
3.93% | GBP | 400,000 | 06/19/2034 | Annually | — | (3,457 | ) | (3,457 | ) | ||||||||||||||||
| GBP-SONIA-COMPOUND |
4.06% | GBP | 200,000 | 06/19/2034 | Annually | — | 896 | 896 | ||||||||||||||||||
| 3.80% |
GBP-SONIA-COMPOUND | GBP | 300,000 | 06/19/2034 | Annually | 329 | 6,653 | 6,324 | ||||||||||||||||||
| 3.61% |
GBP-SONIA-COMPOUND | GBP | 400,000 | 06/19/2034 | Annually | — | 16,541 | 16,541 | ||||||||||||||||||
| 3.96% |
GBP-SONIA-COMPOUND | GBP | 300,000 | 06/19/2034 | Annually | — | 1,808 | 1,808 | ||||||||||||||||||
| 4.05% |
GBP-SONIA-COMPOUND | GBP | 500,000 | 06/19/2034 | Annually | — | (1,523 | ) | (1,523 | ) | ||||||||||||||||
| 4.64% |
3 Month NZD Bank Bill Rate | NZD | 600,000 | 06/19/2034 | Quarterly | — | 403 | 403 | ||||||||||||||||||
| 4.69% |
3 Month NZD Bank Bill Rate | NZD | 200,000 | 06/19/2034 | Quarterly | — | (316 | ) | (316 | ) | ||||||||||||||||
| 4.69% |
3 Month NZD Bank Bill Rate | NZD | 500,000 | 06/19/2034 | Quarterly | — | (790 | ) | (790 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate |
4.46% | NZD | 600,000 | 06/19/2034 | Quarterly | — | (5,835 | ) | (5,835 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate |
4.50% | NZD | 300,000 | 06/19/2034 | Quarterly | (215 | ) | (2,271 | ) | (2,056 | ) | |||||||||||||||
| 3 Month NZD Bank Bill Rate |
4.50% | NZD | 700,000 | 06/19/2034 | Quarterly | (434 | ) | (5,231 | ) | (4,797 | ) | |||||||||||||||
| 3 Month NZD Bank Bill Rate |
4.57% | NZD | 500,000 | 06/19/2034 | Quarterly | — | (1,975 | ) | (1,975 | ) | ||||||||||||||||
| 3 Month SEK STIBOR |
2.85% | SEK | 16,000,000 | 06/19/2034 | Quarterly | — | 2,505 | 2,505 | ||||||||||||||||||
| 3 Month SEK STIBOR |
2.91% | SEK | 3,000,000 | 06/19/2034 | Quarterly | — | 1,773 | 1,773 | ||||||||||||||||||
| 2.69% |
3 Month SEK STIBOR | SEK | 28,000,000 | 06/19/2034 | Quarterly | (1,380 | ) | 33,842 | 35,222 | |||||||||||||||||
| 2.65% |
3 Month SEK STIBOR | SEK | 3,000,000 | 06/19/2034 | Quarterly | — | 4,450 | 4,450 | ||||||||||||||||||
| 2.89% |
3 Month SEK STIBOR | SEK | 2,000,000 | 06/19/2034 | Quarterly | — | (928 | ) | (928 | ) | ||||||||||||||||
| 2.69% |
3 Month SEK STIBOR | SEK | 7,000,000 | 06/19/2034 | Quarterly | (158 | ) | 8,202 | 8,360 | |||||||||||||||||
| 2.74% |
3 Month SEK STIBOR | SEK | 4,000,000 | 06/19/2034 | Quarterly | — | 2,916 | 2,916 | ||||||||||||||||||
| USD-SOFR-COMPOUND |
3.88% | USD | 300,000 | 06/20/2034 | Annually | — | (6,322 | ) | (6,322 | ) | ||||||||||||||||
| USD-SOFR-COMPOUND |
4.22% | USD | 100,000 | 06/20/2034 | Annually | 228 | 668 | 440 | ||||||||||||||||||
| 3.98% |
USD-SOFR-COMPOUND | USD | 200,000 | 06/20/2034 | Annually | — | 2,534 | 2,534 | ||||||||||||||||||
| 4.22% |
USD-SOFR-COMPOUND | USD | 400,000 | 06/20/2034 | Annually | (904 | ) | (2,725 | ) | (1,821 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | (11,867 | ) | $ | 10,560 | $ | 22,427 | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
OTC Total Return Swaps
| Fund Pays |
Fund Receives |
Counterparty |
Notional Amount |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||||||
| Amazon.com, Inc. |
1 Month Federal Funds Rate plus 0.62% | GS | USD | 11,903,450 | 06/21/2024 | At Maturity | $ | — | $ | 434,850 | $ | 434,850 | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
As of May 31, 2024, 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 Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2024 (Unaudited)
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| * | Non-income producing security. |
| (a) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any. |
| (b) | The rate disclosed is the 7 day net yield as of May 31, 2024. |
The rates shown on variable rate notes are the current interest rates at May 31, 2024, 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.
BNYM - The Bank of New York Mellon
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)
May 31, 2024 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
|
|
DEBT OBLIGATIONS — 82.6% |
| ||||||||
| Asset-Backed Securities — 69.3% | ||||||||||
| Auto Retail Subprime — 3.0% | ||||||||||
| 5,000,000 | Bank of America Auto Trust, Series 2023-2A, Class A3, 144A, 5.74%, due 06/15/28 | 5,030,021 | ||||||||
| 3,000,000 | BofA Auto Trust, Class A3, 5.35%, due 11/15/28 | 3,000,742 | ||||||||
| 7,500,000 | GM Financial Consumer Automobile Receivables Trust, Series 21-3, Class A4, 0.73%, due 08/16/27 | 7,119,042 | ||||||||
| 6,000,000 | GM Financial Consumer Automobile Receivables Trust, Series 2024-1, Class A3, 4.85%, due 12/18/28 | 5,945,607 | ||||||||
| 7,000,000 | Hyundai Auto Receivables Trust, Series 24-A, Class A3, 4.99%, due 02/15/29 | 6,960,461 | ||||||||
| 7,000,000 | Nissan Auto Receivables Owner Trust, Series 2023-B, Class A3, 5.93%, due 03/15/28 | 7,055,684 | ||||||||
| 6,000,000 | World Omni Auto Receivables Trust, Class A3, 5.27%, due 09/17/29 | 5,998,137 | ||||||||
|
|
|
|||||||||
| Total Auto Retail Subprime | 41,109,694 | |||||||||
|
|
|
|||||||||
| CMBS CDO — 0.0% | ||||||||||
| 8,586,000 | ARCap Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42 | 467,937 | ||||||||
| 248,403 | GS Mortgage Securities Corp. Trust, Series 06-CC1, Class A, 144A, Variable Rate, 5.33%, due 03/21/46 | 176,366 | ||||||||
|
|
|
|||||||||
| Total CMBS CDO | 644,303 | |||||||||
|
|
|
|||||||||
| Collateralized Loan Obligations — 11.6% | ||||||||||
| 3,564,699 | Crestline Denali CLO XVI Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.38%, 6.71%, due 01/20/30 | 3,570,937 | ||||||||
| 4,328,723 | Generate CLO 4 Ltd., Series 4A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.35%, 6.68%, due 04/20/32 | 4,330,888 | ||||||||
| 6,554,995 | Hayfin U.S. XII Ltd., Series 18-8A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.38%, 6.71%, due 04/20/31 | 6,565,056 | ||||||||
| 25,458,276 | Man GLG U.S. CLO, Series 18-1A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.40%, 6.73%, due 04/22/30 | 25,484,880 | ||||||||
| 1,670,000 | Midocean Credit CLO VIII, Series 18-8A, Class A2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.56%, 6.89%, due 02/20/31 | 1,670,194 | ||||||||
| 5,405,285 | Mountain View CLO IX Ltd., Series 15-9A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.38%, 6.71%, due 07/15/31 | 5,414,745 | ||||||||
| 4,000,000 | Mountain View CLO Ltd., Series 13-1A, Class BRR , 144A, Variable Rate, 3 mo. USD Term SOFR + 1.93%, 7.23%, due 10/12/30 | 4,014,696 | ||||||||
| 5,240,433 | Northwoods Capital XVII Ltd., Series 18-17A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.32%, 6.65%, due 04/22/31 | 5,246,889 | ||||||||
| 18,325,000 | OCP CLO Ltd., Series 14-6A, Class A1R2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.15%, 6.47%, due 10/17/30 | 18,370,428 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Collateralized Loan Obligations — continued | ||||||||||
| 6,866,891 | OFSI BSL VIII Ltd., Series 17-1A, Class BR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.76%, 7.09%, due 08/16/29 | 6,869,123 | ||||||||
| 1,083,456 | OZLM VII Ltd., Series 14-7A, Class SUB, 144A, Variable Rate, 0.00, due 07/17/26 | 25,411 | ||||||||
| 9,448,175 | OZLM XVIII Ltd., Series 18-18A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.28%, 6.61%, due 04/15/31 | 9,464,813 | ||||||||
| 2,190,000 | OZLM XXII Ltd., Series 18-22A, Class A2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.76%, 7.08%, due 01/17/31 | 2,194,914 | ||||||||
| 984,455 | Saranac CLO III Ltd., Series 14-3A, Class ALR, 144A, Variable Rate, U.S. (Fed) Prime Rate + 1.60%, 7.19%, due 06/22/30 | 986,203 | ||||||||
| 3,025,838 | Shackleton CLO Ltd., Series 14-5RA, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.36%, 6.69%, due 05/07/31 | 3,031,597 | ||||||||
| 2,517,426 | Sound Point CLO XIX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.26%, 6.59%, due 04/15/31 | 2,521,706 | ||||||||
| 1,273,590 | Sounds Point CLO IV-R Ltd., Series 13-3RA, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.41%, 6.74%, due 04/18/31 | 1,277,092 | ||||||||
| 1,365,291 | Steele Creek CLO Ltd., Series 17-1A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.51%, 6.84%, due 10/15/30 | 1,368,862 | ||||||||
| 4,726,584 | Steele Creek CLO Ltd., Series 14-1RA, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.33%, 6.66%, due 04/21/31 | 4,730,913 | ||||||||
| 7,640,856 | Steele Creek CLO Ltd., Series 16-1A, Class AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.38%, 6.71%, due 06/15/31 | 7,651,966 | ||||||||
| 476,470 | Telos CLO Ltd., Series 14-5A, Class BR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.74%, 7.06%, due 04/17/28 | 476,322 | ||||||||
| 4,335,500 | Telos CLO Ltd., Series 14-5A, Class CR, 144A, Variable Rate, 3 mo. USD Term SOFR + 2.41%, 7.73%, due 04/17/28 | 4,321,084 | ||||||||
| 4,678,849 | Venture 32 CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.36%, 6.69%, due 07/18/31 | 4,687,009 | ||||||||
| 7,315,910 | Venture 34 CLO Ltd., Series 18-34A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.49%, 6.82%, due 10/15/31 | 7,321,148 | ||||||||
| 1,833,000 | Venture XVII CLO Ltd., Series 14-17A, Class BRR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.66%, 6.99%, due 04/15/27 | 1,833,216 | ||||||||
| 174,656 | Venture XVIII CLO Ltd., Series 14-18A, Class AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.48%, 6.81%, due 10/15/29 | 174,766 | ||||||||
| 9,000,000 | Venture XXIV CLO Ltd., Series 16-24A, Class BRR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.76%, 7.09%, due 10/20/28 | 9,001,458 | ||||||||
| 1,040,172 | Wellfleet CLO Ltd., Series 17-2A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.32%, 6.65%, due 10/20/29 | 1,040,654 | ||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Collateralized Loan Obligations — continued | ||||||||||
| 5,684,041 | Whitehorse XII Ltd., Series 18-12A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.51%, 6.84%, due 10/15/31 | 5,687,809 | ||||||||
| 7,200,000 | Zais CLO 15 Ltd., Series 20-15A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.61%, 6.94%, due 07/28/32 | 7,207,207 | ||||||||
| 1,631,262 | Zais CLO 7 Ltd., Series 17-2A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.55%, 6.88%, due 04/15/30 | 1,632,541 | ||||||||
| 2,798,925 | Zais CLO 8 Ltd., Series 18-1A, Class B, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.71%, 7.04%, due 04/15/29 | 2,797,419 | ||||||||
|
|
|
|||||||||
| Total Collateralized Loan Obligations | 160,971,946 | |||||||||
|
|
|
|||||||||
| Commercial Mortgage-Backed Securities — 20.4% | ||||||||||
| 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 | 11,295,773 | ||||||||
| 11,037,000 | BBCMS Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.27%, due 08/05/38 | 8,632,169 | ||||||||
| 5,499,017 | Bear Stearns Mortgage Funding Trust, Series 06-AR1, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.53%, 5.86%, due 07/25/36 | 4,804,675 | ||||||||
| 4,848,114 | Benchmark Mortgage Trust, Series 18-B2, Class A5, Variable Rate, 3.88%, due 02/15/51 | 4,519,086 | ||||||||
| 7,760,120 | Benchmark Mortgage Trust, Series 18-B8, Class A5, 4.23%, due 01/15/52 | 7,247,346 | ||||||||
| 16,000,000 | Benchmark Mortgage Trust, Series 19-B9, Class A5, 4.02%, due 03/15/52 | 14,794,102 | ||||||||
| 6,240,722 | Benchmark Mortgage Trust, Series 19-B11, Class A5, 3.54%, due 05/15/52 | 5,605,786 | ||||||||
| 3,244,000 | Benchmark Mortgage Trust, Series 18-B7, Class A4, Variable Rate, 4.51%, due 05/15/53 | 3,095,554 | ||||||||
| 8,623,000 | Benchmark Mortgage Trust, Series 20-B19, Class A5, 1.85%, due 09/15/53 | 6,902,639 | ||||||||
| 13,880,000 | Benchmark Mortgage Trust, Series 22-B32, Class A5, Variable Rate, 3.00%, due 01/15/55 | 11,458,122 | ||||||||
| 14,500,000 | Benchmark Mortgage Trust, Series 22-B34, Class A5, Variable Rate, 3.79%, due 04/15/55 | 12,681,310 | ||||||||
| 19,000,000 | Benchmark Mortgage Trust, Series 19-B15, Class A5, 2.93%, due 12/15/72 | 16,407,192 | ||||||||
| 5,832,491 | BX Commercial Mortgage Trust, Series 21-VINO, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.77%, 6.08%, due 05/15/38 | 5,788,748 | ||||||||
| 5,583,620 | BX Commercial Mortgage Trust, Series 21-ACNT, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.96%, 6.28%, due 11/15/38 | 5,559,426 | ||||||||
| 8,000,000 | BX Commercial Mortgage Trust, Series 20-VIV4, Class A, 144A, 2.84%, due 03/09/44 | 6,879,593 | ||||||||
| 8,000,000 | BX Commercial Mortgage Trust, Series 20-VIVA, Class D, 144A, Variable Rate, 3.55%, due 03/11/44 | 6,789,642 | ||||||||
| 8,000,000 | BX Trust, Series 19-OC11, Class A, 144A, 3.20%, due 12/09/41 | 7,066,242 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Commercial Mortgage-Backed Securities — continued | ||||||||||
| 4,895,000 | BX Trust, Series 19-OC11, Class C, 144A, 3.86%, due 12/09/41 | 4,330,582 | ||||||||
| 4,570,000 | BX Trust, Series 19-OC11, Class D, 144A, Variable Rate, 3.94%, due 12/09/41 | 4,006,400 | ||||||||
| 9,000,000 | BX Trust, Series 19-OC11, Class E, 144A, Variable Rate, 3.94%, due 12/09/41 | 7,560,265 | ||||||||
| 4,446,000 | Citigroup Commercial Mortgage Trust, Series 14-GC23, Class B, Variable Rate, 4.18%, due 07/10/47 | 4,405,696 | ||||||||
| 9,352,535 | Citigroup Commercial Mortgage Trust, Series 14-GC23, Class C, Variable Rate, 4.35%, due 07/10/47 | 9,159,364 | ||||||||
| 3,031,837 | COMM Mortgage Trust, Series 15-PC1, Class B, Variable Rate, 4.28%, due 07/10/50 | 2,867,753 | ||||||||
| 15,999,667 | COMM Mortgage Trust, Series 18-COR3, Class A3, 4.23%, due 05/10/51 | 14,876,823 | ||||||||
| 33,025 | Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37 | 32,331 | ||||||||
| 41,285 | 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 | 40,377 | ||||||||
| 5,563,524 | ELP Commercial Mortgage Trust, Series 21-ELP, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.82%, 6.13%, due 11/15/38 | 5,518,320 | ||||||||
| 2,000,000 | Grace Trust, Series 20-GRCE, Class A, 144A, 2.35%, due 12/10/40 | 1,618,894 | ||||||||
| 5,000,000 | GS Mortgage Securities Corp. II, Series 23-SHIP, Class A, 144A, Variable Rate, 4.32%, due 09/10/38 | 4,849,368 | ||||||||
| 5,500,000 | ILPT Commercial Mortgage Trust, Series 22-LPFX, Class A, 144A, 3.38%, due 03/15/32 | 4,582,016 | ||||||||
| 3,446,312 | MHC Commercial Mortgage Trust, Series 21-MHC, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.92%, 6.23%, due 04/15/38 | 3,426,945 | ||||||||
| 4,889,023 | MHC Trust, Series 21-MHC2, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.96%, 6.28%, due 05/15/38 | 4,863,050 | ||||||||
| 14,600,000 | MKT Mortgage Trust, Series 20-525M, Class A, 144A, 2.69%, due 02/12/40 | 11,791,015 | ||||||||
| 3,000,000 | MKT Mortgage Trust, Series 20-525M, Class E, 144A, Variable Rate, 2.94%, due 02/12/40 | 1,900,144 | ||||||||
| 7,130,000 | Taubman Centers Commercial Mortgage Trust, Series 22-DPM, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 2.19%, 7.50%, due 05/15/37 | 7,196,379 | ||||||||
| 5,268,100 | UBS Commercial Mortgage Trust, Series 18-C9, Class A4, Variable Rate, 4.12%, due 03/15/51 | 4,896,771 | ||||||||
| 8,008,000 | UBS Commercial Mortgage Trust, Series 18-C12, Class A5, 4.30%, due 08/15/51 | 7,536,201 | ||||||||
| 1,625,895 | Velocity Commercial Capital Loan Trust, Series 22-1, Class A, 144A, Variable Rate, 3.38%, due 02/25/52 | 1,413,379 | ||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Commercial Mortgage-Backed Securities — continued | ||||||||||
| 4,550,000 | WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 5.81%, due 11/23/43 | 4,469,345 | ||||||||
| 11,594,960 | WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class J, 144A, Variable Rate, 6.30%, due 03/23/45 | 10,051,303 | ||||||||
| 7,939,384 | Wells Fargo Commercial Mortgage Trust, Series 18-C46, Class A4, 4.15%, due 08/15/51 | 7,466,266 | ||||||||
| 2,030,000 | Wells Fargo Commercial Mortgage Trust, Series 19-C51, Class A4, 3.31%, due 06/15/52 | 1,815,354 | ||||||||
| 13,697,000 | WFRBS Commercial Mortgage Trust, Series 14-C21, Class AS, 3.89%, due 08/15/47 | 13,202,553 | ||||||||
|
|
|
|||||||||
| Total Commercial Mortgage-Backed Securities | 283,404,299 | |||||||||
|
|
|
|||||||||
| Residential Mortgage-Backed Securities — Agency — 0.3% |
||||||||||
| 5,008,036 | Federal National Mortgage Association REMICS, Series 20-5, Class PC, 2.50%, due 01/25/50 | 4,156,318 | ||||||||
|
|
|
|||||||||
| Residential Mortgage-Backed Securities — Other — 8.0% |
||||||||||
| 780,566 | ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. USD Term SOFR + 0.39%, 5.72%, due 02/25/36 | 90,720 | ||||||||
| 17,663,707 | American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. USD Term SOFR + 0.47%, 5.80%, due 02/25/36 | 326,938 | ||||||||
| 6,000,000 | AMSR Trust, Series 20-SFR5, Class A, 144A, 1.38%, due 11/17/37 | 5,653,384 | ||||||||
| 13,743,281 | BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25 | 2,393,906 | ||||||||
| 3,392,774 | BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29 | 3,191,691 | ||||||||
| 8,834,023 | BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29 | 851,012 | ||||||||
| 2,928,137 | BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30 | 310,478 | ||||||||
| 105,251 | Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 5.76%, due 02/25/37 | 118,301 | ||||||||
| 1,854,153 | Conseco Finance Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29 | 1,840,906 | ||||||||
| 1,495,150 | Conseco Finance Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30 | 1,435,278 | ||||||||
| 5,535,329 | Conseco Finance Securitizations Corp., Series 02-2, Class M2, Variable Rate, 9.16%, due 03/01/33 | 5,399,050 | ||||||||
| 5,592,106 | Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33 | 5,364,385 | ||||||||
| 4,909,681 | Conseco Finance Securitizations Corp., Series 02-1, Class M2, Variable Rate, 9.55%, due 12/01/33 | 4,704,525 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Residential Mortgage-Backed Securities — Other — — continued |
||||||||||
| 804,062 | CoreVest American Finance Ltd., Series 21-1, Class A, 144A, 1.57%, due 04/15/53 | 742,807 | ||||||||
| 6,490,822 | FirstKey Homes Trust, Series 21-SFR3, Class A, 144A, 2.14%, due 12/17/38 | 5,952,409 | ||||||||
| 460,282 | GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. USD Term SOFR + 0.61%, 5.94%, due 10/25/34 | 443,536 | ||||||||
| 1,497,098 | GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37 | 1,413,060 | ||||||||
| 4,328,989 | Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.50%, due 09/25/35 | 78,176 | ||||||||
| 28,413,966 | Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. USD Term SOFR + 0.37%, 5.70%, due 06/25/36 | 506,263 | ||||||||
| 8,218,224 | Home Loan Trust, Series 06-HI4, Class A4, Step Up, 6.22%, due 09/25/36 | 2,279,788 | ||||||||
| 8,862,290 | Home Loan Trust, Series 07-HI1, Class A4, Step Up, 6.43%, due 03/25/37 | 1,351,552 | ||||||||
| 3,457,620 | Lehman ABS Manufactured Housing Contract Trust, Series 01-B, Class M2, Variable Rate, 7.17%, due 04/15/40 | 3,075,129 | ||||||||
| 3,559,469 | MASTR Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 5.76%, due 03/25/36 | 232,543 | ||||||||
| 128,218 | Mellon Re-REMICS Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.36%, 5.69%, due 02/26/34 | 116,197 | ||||||||
| 963,532 | New Century Home Equity Loan Trust, Series 03-B, Class M1, Variable Rate, 1 mo. USD Term SOFR + 1.09%, 6.41%, due 10/25/33 | 936,427 | ||||||||
| 13,548,195 | New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. USD Term SOFR + 0.31%, 5.64%, due 03/25/36 | 344,873 | ||||||||
| 7,728,168 | New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.45%, 5.78%, due 03/25/36 | 196,633 | ||||||||
| 20,604,147 | New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. USD Term SOFR + 0.51%, 5.84%, due 03/25/36 | 524,143 | ||||||||
| 10,725 | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. USD Term SOFR + 1.01%, 6.33%, due 08/25/35 (a) | 282,180 | ||||||||
| 1,875,019 | Oakwood Mortgage Investors, Inc., Series 01-E, Class A2, 5.05%, due 11/15/19 | 1,675,757 | ||||||||
| 1,091,101 | Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28 | 1,058,593 | ||||||||
| 3,448,629 | Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29 | 3,341,019 | ||||||||
| 6,605,598 | Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30 | 3,433,350 | ||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Residential Mortgage-Backed Securities — Other — continued |
||||||||||
| 11,752,084 | Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30 | 2,182,450 | ||||||||
| 4,922,896 | Oakwood Mortgage Investors, Inc., Series 2001-B, Class M1, 144A, Variable Rate, 7.92%, due 03/15/31 | 4,693,260 | ||||||||
| 2,761,032 | Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31 | 1,348,301 | ||||||||
| 387,261 | Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31 | 353,164 | ||||||||
| 2,563,844 | Oakwood Mortgage Investors, Inc., Series 02-C, Class M1, Variable Rate, 6.89%, due 11/15/32 | 2,419,911 | ||||||||
| 1,502,775 | Progress Residential Trust, Series 21-SFR10, Class A, 144A, 2.39%, due 12/17/40 | 1,323,394 | ||||||||
| 1,149,433 | Towd Point Mortgage Trust, Series 17-5, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.71%, 6.04%, due 02/25/57 | 1,172,720 | ||||||||
| 6,972,000 | Towd Point Mortgage Trust, Series 17-5, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.01%, 6.34%, due 02/25/57 | 7,066,119 | ||||||||
| 9,322,481 | Tricon American Homes, Series 20-SFR1, Class A, 144A, 1.50%, due 07/17/38 | 8,562,792 | ||||||||
| 11,170,307 | Tricon American Homes Trust, Series 19-SFR1, Class A, 144A, 2.75%, due 03/17/38 | 10,628,513 | ||||||||
| 5,671,985 | Tricon American Homes Trust, Series 20-SFR2, Class A, 144A, 1.48%, due 11/17/39 | 4,980,528 | ||||||||
| 2,460,099 | UCFC Manufactured Housing Contract, Series 1998-2, Class M1, 6.73%, due 10/15/29 | 2,286,699 | ||||||||
| 5,217,873 | Verus Securitization Trust, Series 22-5, Class A1, 144A, Step Up, 3.80%, due 04/25/67 | 4,833,346 | ||||||||
|
|
|
|||||||||
| Total Residential Mortgage-Backed Securities — Other | 111,516,206 | |||||||||
|
|
|
|||||||||
| Residential Mortgage-Backed Securities — Performing Loans — 0.9% |
||||||||||
| 2,403,352 | Ajax Mortgage Loan Trust, Series 21-A, Class A1, 144A, Variable Rate, 1.07%, due 09/25/65 | 2,081,811 | ||||||||
| 6,421,522 | CSMC Trust, Series 22-NQM1, Class A1, 144A, Variable Rate, 2.27%, due 11/25/66 | 5,535,766 | ||||||||
| 4,968,800 | Verus Securitization Trust, Series 21-8, Class A1, 144A, Variable Rate, 1.82%, due 11/25/66 | 4,339,527 | ||||||||
|
|
|
|||||||||
| Total Residential Mortgage-Backed Securities — Performing Loans | 11,957,104 | |||||||||
|
|
|
|||||||||
| Residential Mortgage-Backed Securities — Prime — 2.2% |
||||||||||
| 6,758,995 | American Home Mortgage Assets Trust, Series 06-4, Class 1A12, Variable Rate, 1 mo. USD Term SOFR + 0.32%, 5.65%, due 10/25/46 | 3,725,984 | ||||||||
| 428,711 | Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, 1 yr. CMT + 2.30%, 7.67%, due 10/25/35 | 393,859 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Residential Mortgage-Backed Securities — Prime — continued |
||||||||||
| 3,686,107 | CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37 | 1,990,858 | ||||||||
| 1,171,450 | IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 4.25%, due 12/25/36 | 896,893 | ||||||||
| Residential Mortgage-Backed Securities — Prime — continued |
||||||||||
| 810,106 | IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 4.02%, due 03/25/37 | 585,565 | ||||||||
| 6,901,416 | IndyMac INDX Mortgage Loan Trust, Series 06-AR2, Class 1A1A, Variable Rate, 1 mo. USD Term SOFR + 0.55%, 5.88%, due 04/25/46 | 5,752,679 | ||||||||
| 1,606,869 | Morgan Stanley Mortgage Loan Trust, Series 06-2, Class 6A, 6.50%, due 02/25/36 | 705,257 | ||||||||
| 4,387,142 | Structured Adjustable Rate Mortgage Loan Trust, Series 05-9, Class 2A2A, Variable Rate, 1 yr. MTA + 1.40%, 6.51%, due 05/25/35 | 3,622,043 | ||||||||
| 647,620 | WaMu Mortgage Pass-Through Certificates Trust, Series 05-AR10, Class 1A3, Variable Rate, 4.75%, due 09/25/35 | 575,928 | ||||||||
| 849,652 | WaMu Mortgage Pass-Through Certificates Trust, Series 06-AR19, Class 2A, Variable Rate, 1 yr. MTA + 1.25%, 6.36%, due 01/25/47 | 735,613 | ||||||||
| 1,860,105 | 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 | 1,550,933 | ||||||||
| 1,899,616 | 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 | 1,562,669 | ||||||||
| 4,043,782 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 06-8, Class A5, Step Up, 4.14%, due 10/25/36 | 1,354,229 | ||||||||
| 8,293,214 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 07-5, Class A6, 6.00%, due 06/25/37 | 7,121,572 | ||||||||
|
|
|
|||||||||
| Total Residential Mortgage-Backed Securities — Prime | 30,574,082 | |||||||||
|
|
|
|||||||||
| Residential Mortgage-Backed Securities — Subprime — 1.4% |
||||||||||
| 955,846 | ABFC Trust, Series 05-AQ1, Class A5, Step Up, 4.27%, due 06/25/35 | 899,558 | ||||||||
| 821,169 | BCAP LLC Trust, Series 14-RR2, Class 11A3, 144A, Variable Rate, 3.38%, due 05/26/37 | 791,429 | ||||||||
| 10,874,949 | Bravo Mortgage Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.71%, 6.04%, due 07/25/36 | 9,476,556 | ||||||||
| 447,169 | Carrington Mortgage Loan Trust, Series 07-RFC1, Class A3, Variable Rate, 1 mo. USD Term SOFR + 0.25%, 5.58%, due 12/25/36 | 431,046 | ||||||||
| 901,804 | CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 5.28%, due 11/20/34 | 836,376 | ||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Residential Mortgage-Backed Securities — Subprime — continued |
||||||||||
| 2,228,079 | First Franklin Mortgage Loan Trust, Series 06-FF12, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.22%, 5.54%, due 09/25/36 | 2,058,901 | ||||||||
| 2,148,490 | Home Equity Asset Trust, Series 06-2, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.68%, 6.01%, due 05/25/36 | 2,099,039 | ||||||||
| 683,939 | Lehman XS Trust, Series 07-15N, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 0.61%, 5.94%, due 08/25/37 | 639,526 | ||||||||
| 2,683,178 | Residential Asset Mortgage Products Trust, Series 05-RS1, Class MII2, Variable Rate, 1 mo. USD Term SOFR + 0.91%, 6.64%, due 01/25/35 | 2,514,040 | ||||||||
|
|
|
|||||||||
| Total Residential Mortgage-Backed Securities — Subprime | 19,746,471 | |||||||||
|
|
|
|||||||||
| Residential Mortgage-Backed Securities — Alt-A — 2.6% |
||||||||||
| 782,134 | Bear Stearns ALT-A Trust, Series 04-11, Class 1M1, Variable Rate, 1 mo. USD Term SOFR + 1.01%, 6.34%, due 11/25/34 | 763,305 | ||||||||
| 1,802,806 | Bear Stearns ALT-A Trust, Series 07-1, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 5.76%, due 01/25/47 | 1,418,691 | ||||||||
| 1,618,467 | Bear Stearns Asset-Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34 | 1,470,950 | ||||||||
| 3,578,372 | Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 4.65%, due 07/25/36 | 1,983,200 | ||||||||
| 216,308 | Countrywide Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34 | 206,969 | ||||||||
| 2,216,310 | Countrywide Alternative Loan Trust, Series 05-18CB, Class A8, 5.50%, due 05/25/35 | 2,055,854 | ||||||||
| 1,524,127 | Countrywide Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.81%, 6.00%, due 05/25/36 | 659,911 | ||||||||
| 1,552,559 | Countrywide Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.81%, 6.14%, due 10/25/36 | 625,671 | ||||||||
| 4,328,455 | Fieldstone Mortgage Investment Trust, Series 04-4, Class M4, Variable Rate, 1 mo. USD Term SOFR + 2.66%, 7.99%, due 10/25/35 | 2,686,933 | ||||||||
| 10,583,213 | GSAA Home Equity Trust, Series 06-9, Class A3, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 5.76%, due 06/25/36 | 2,079,411 | ||||||||
| 10,910,096 | GSR Mortgage Loan Trust, Series 07-OA2, Class 1A1, Variable Rate, 3.45%, due 06/25/47 | 6,242,936 | ||||||||
| 6,085,925 | HarborView Mortgage Loan Trust, Series 07-4, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 0.55%, 5.65%, due 07/19/47 | 5,430,377 | ||||||||
| 118,346 | JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37 | 92,632 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Residential Mortgage-Backed Securities — Alt-A — continued |
||||||||||
| 1,156,437 | Merrill Lynch First Franklin Mortgage Loan Trust, Series 07-H1, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 3.11%, 8.44%, due 10/25/37 | 1,086,471 | ||||||||
| 2,621,515 | Residential Asset Securitization Trust, Series 25-A8CB, Class A6, 5.00%, due 07/25/35 | 1,460,056 | ||||||||
| 15,290,841 | Residential Asset Securitization Trust, Series 06-A7CB, Class 3A1, 6.50%, due 07/25/36 | 4,026,609 | ||||||||
| 7,950,158 | Terwin Mortgage Trust, Series 06-7, Class 2A3, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.65%, 5.98%, due 08/25/37 | 3,328,520 | ||||||||
|
|
|
|||||||||
| Total Residential Mortgage-Backed Securities — Alt-A | 35,618,496 | |||||||||
|
|
|
|||||||||
| Small Balance Commercial Mortgages — 4.3% | ||||||||||
| 2,455,030 | Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.58%, 5.90%, due 08/25/35 | 2,342,987 | ||||||||
| 1,256,553 | Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.70%, 6.02%, due 01/25/36 | 1,186,915 | ||||||||
| 1,671,151 | Bayview Commercial Asset Trust, Series 06-1A, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.65%, 5.98%, due 04/25/36 | 1,543,635 | ||||||||
| 671,766 | Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.68%, 6.01%, due 04/25/36 | 616,255 | ||||||||
| 953,295 | Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.46%, 5.78%, due 07/25/36 | 904,640 | ||||||||
| 1,949,977 | Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.53%, 5.86%, due 07/25/36 | 1,854,798 | ||||||||
| 2,810,734 | Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.49%, 5.81%, due 10/25/36 | 2,686,387 | ||||||||
| 7,231,343 | Bayview Commercial Asset Trust, Series 06-SP2, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.53%, 5.86%, due 01/25/37 | 6,831,946 | ||||||||
| 1,193,401 | Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.44%, 5.77%, due 03/25/37 | 1,126,336 | ||||||||
| 2,047,032 | Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.47%, 5.80%, due 07/25/37 | 1,920,323 | ||||||||
| 4,445,113 | Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.52%, 5.84%, due 07/25/37 | 4,084,015 | ||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Small Balance Commercial Mortgages — continued | ||||||||||
| 1,369,833 | Bayview Commercial Asset Trust, Series 08-1, Class A4, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.61%, 6.94%, due 01/25/38 | 1,326,541 | ||||||||
| 100,042,703 | FRESB Mortgage Trust, Series 20-SB76, Class X1, IO, Variable Rate, 1.17%, due 05/25/30 | 3,717,917 | ||||||||
| 117,315,289 | FRESB Mortgage Trust, Class X1, Variable Rate, 0.76%, due 04/25/39 | 4,293,611 | ||||||||
| 48,643,549 | FRESB Mortgage Trust, Series 20-SB74, Class X1, Variable Rate, 1.09%, due 03/25/40 | 1,442,855 | ||||||||
| 83,605,623 | FRESB Mortgage Trust, Series 20-SB77, Class X1, IO, Variable Rate, 0.88%, due 06/25/40 | 2,246,316 | ||||||||
| 3,500,000 | Harvest Commercial Capital Loan Trust, Series 19-1, Class M5, 144A, Variable Rate, 5.73%, due 09/25/46 | 3,169,579 | ||||||||
| 2,748,254 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-1A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.61%, 5.94%, due 03/25/37 | 2,531,748 | ||||||||
| 1,540,852 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.51%, 5.84%, due 06/25/37 | 1,528,604 | ||||||||
| 7,031,980 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class M1, 144A, Variable Rate, 5.72%, due 10/25/37 | 6,855,523 | ||||||||
| 5,438,398 | Velocity Commercial Capital Loan Trust, Series 21-4, Class A, 144A, Variable Rate, 2.52%, due 12/26/51 | 4,803,947 | ||||||||
| 1,534,804 | Velocity Commercial Capital Loan Trust, Series 21-4, Class M3, 144A, Variable Rate, 3.81%, due 12/26/51 | 1,216,351 | ||||||||
| 1,121,562 | WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 6.21%, due 12/27/49 | 1,106,227 | ||||||||
|
|
|
|||||||||
| Total Small Balance Commercial Mortgages |
59,337,456 | |||||||||
|
|
|
|||||||||
| Student Loans — Federal Family Education Loan Program — 3.9% |
||||||||||
| 10,745,986 | AccessLex Institute, Series 2004-2, Class A4, Variable Rate, 90 day USD SOFR Average + 0.60%, 5.95%, due 04/26/32 | 10,376,531 | ||||||||
| 3,979,673 | AccessLex Institute, Series 04-2, Class B, Variable Rate, 90 day USD SOFR Average + 0.96%, 6.31%, due 01/25/43 | 3,612,009 | ||||||||
| 2,701,926 | Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 90 day USD SOFR Average + 0.58%, 5.93%, due 03/28/35 | 2,443,172 | ||||||||
| 5,364,626 | SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 90 day USD SOFR Average + 1.16%, 6.52%, due 06/15/21 | 5,298,179 | ||||||||
| 6,274,386 | SLM Student Loan Trust, Series 07-7, Class A4, Variable Rate, 90 day USD SOFR Average + 0.59%, 5.94%, due 01/25/22 | 6,163,688 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Student Loans — Federal Family Education Loan Program — continued |
||||||||||
| 12,015,893 | SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 90 day USD SOFR Average + 1.91%, 7.26%, due 07/25/22 | 12,024,821 | ||||||||
| 13,909,377 | SLM Student Loan Trust, Series 08-5, Class A4, Variable Rate, 90 day USD SOFR Average + 1.96%, 7.31%, due 07/25/23 | 13,935,425 | ||||||||
|
|
|
|||||||||
| Total Student Loans - Federal Family Education Loan Program | 53,853,825 | |||||||||
|
|
|
|||||||||
| Student Loans — Private — 10.7% | ||||||||||
| 973,474 | Access Group, Inc., Series 05-A, Class B, Variable Rate, 3 mo. USD Term SOFR + 1.06%, 6.39%, due 07/25/34 | 952,854 | ||||||||
| 7,283,974 | KeyCorp Student Loan Trust, Series 05-A, Class 2C, Variable Rate, 3 mo. USD Term SOFR + 1.56%, 6.87%, due 12/27/38 | 6,988,925 | ||||||||
| 4,454,493 | KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, U.S. (Fed) Prime Rate + 1.25%, 6.84%, due 07/28/42 | 4,171,942 | ||||||||
| 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 (a) | 1,755,000 | ||||||||
| 7,625,000 | National Collegiate II Commutation Trust, Series 07-4, Class A3R7, Variable Rate, 28 day ARS + 0.00%, 8.07%, due 03/25/38 (a) | 1,525,000 | ||||||||
| 2,633,456 | National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.42%, 5.75%, due 05/25/32 | 2,558,957 | ||||||||
| 4,740,826 | National Collegiate Student Loan Trust, Series 07-2, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.40%, 5.73%, due 01/25/33 | 4,462,094 | ||||||||
| 6,462,669 | National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. USD Term SOFR + 0.46%, 5.79%, due 03/25/33 | 6,231,405 | ||||||||
| 2,319,532 | National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. USD Term SOFR + 0.48%, 5.81%, due 06/25/33 | 2,248,012 | ||||||||
| 13,937,972 | National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.42%, 5.74%, due 10/25/33 | 13,343,672 | ||||||||
| 1,880,945 | National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. USD Term SOFR + 0.65%, 5.98%, due 12/26/33 | 1,840,946 | ||||||||
| 25,000 | National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 8.94%, due 03/25/38 (b) | 19,000 | ||||||||
| 75,000 | National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 8.94%, due 03/25/38 (b) | 57,000 | ||||||||
| 3,419,358 | Navient Private Education Refi Loan Trust, Series 22-A, Class A, 144A, 2.23%, due 07/15/70 | 3,000,728 | ||||||||
| 2,050,591 | Navient Student Loan Trust, Series 2023-BA, Class A1B, 144A, Variable Rate, 30 day USD SOFR Average + 1.70%, 7.02%, due 03/15/72 | 2,064,453 | ||||||||
| 2,443,929 | Nelnet Student Loan Trust, Series 21-A, Class APT1, 144A, 1.36%, due 04/20/62 | 2,205,086 | ||||||||
| 1,939,289 | SLM Private Credit Student Loan Trust, Series 03-A, Class C, Variable Rate, 3 mo. USD Term SOFR + 1.86%, 7.19%, due 06/15/32 | 688,492 | ||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Student Loans — Private — continued | ||||||||||
| 2,590,000 | SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 8.30%, due 06/15/32 (a) | 2,577,050 | ||||||||
| 5,400,350 | SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. USD Term SOFR + 1.86%, 7.19%, due 09/15/32 | 1,519,840 | ||||||||
| 1,250,000 | SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 8.07%, due 09/15/32 (a) | 1,243,750 | ||||||||
| 3,194,704 | SLM Private Credit Student Loan Trust, Series 04-A, Class A3, Variable Rate, 3 mo. USD Term SOFR + 0.66%, 5.99%, due 06/15/33 | 3,175,241 | ||||||||
| 7,819,256 | SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. USD Term SOFR + 0.69%, 6.02%, due 09/15/33 | 7,726,920 | ||||||||
| 13,470,497 | SLM Private Credit Student Loan Trust, Series 05-A, Class A4, Variable Rate, 3 mo. USD Term SOFR + 0.57%, 5.90%, due 12/15/38 | 13,270,719 | ||||||||
| 16,564,330 | SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. USD Term SOFR + 0.55%, 5.88%, due 06/15/39 | 16,090,452 | ||||||||
| 10,085,416 | SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. USD Term SOFR + 0.59%, 5.92%, due 06/15/39 | 9,887,018 | ||||||||
| 1,770,716 | SLM Private Credit Student Loan Trust, Series 06-BW, Class A5, Variable Rate, 3 mo. USD Term SOFR + 0.46%, 5.79%, due 12/15/39 | 1,710,868 | ||||||||
| 7,960,651 | SLM Private Credit Student Loan Trust, Series 06-B, Class A5, Variable Rate, 3 mo. USD Term SOFR + 0.53%, 5.86%, due 12/15/39 | 7,765,436 | ||||||||
| 2,672,291 | SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. USD Term SOFR + 0.65%, 5.98%, due 12/15/39 | 2,480,340 | ||||||||
| 13,529,551 | SLM Private Credit Student Loan Trust, Series 07-A, Class A4A, Variable Rate, 3 mo. USD Term SOFR + 0.50%, 5.83%, due 12/16/41 | 13,350,443 | ||||||||
| 3,594,120 | SLM Student Loan Trust, Series 08-6, Class A4, Variable Rate, 90 day USD SOFR Average + 1.36%, 6.71%, due 07/25/23 | 3,568,315 | ||||||||
| 1,000 | SMB Private Education Loan Trust, Series 23-B, Class R, 144A, 0.00, due 10/16/56 (b) | 825,405 | ||||||||
| 1,045,599 | South Carolina Student Loan Corp., Series 15-A, Class A, Variable Rate, 1 mo. USD Term SOFR + 1.61%, 6.94%, due 01/25/36 | 1,046,280 | ||||||||
|
|
7,760,167 | Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.16%, 6.49%, due 01/25/46 | 7,718,234 | |||||||
|
|
|
|||||||||
| Total Student Loans — Private | 148,069,877 | |||||||||
|
|
|
|||||||||
| Total Asset-Backed Securities | 960,960,077 | |||||||||
|
|
|
|||||||||
| U.S. Government — 7.4% | ||||||||||
| 4,100,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.17%, 5.50%, due 10/31/25 (c) (d) | 4,105,259 | ||||||||
| 45,000,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.25%, 5.57%, due 01/31/26 (c) (d) | 45,098,879 | ||||||||
| 53,000,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 5.48%, due 04/30/26 | 53,024,591 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 102,228,729 | |||||||||
|
|
|
|||||||||
|
Par Value† / |
Description | Value ($) | ||||||||
| U.S. Government Agency — 5.9% | ||||||||||
| 7,500,000 | Federal Home Loan Banks, Variable Rate, 1 day USD SOFR + 0.10%, 5.43%, due 09/04/24 | 7,501,651 | ||||||||
| 4,161,723 | Federal National Mortgage Association, 4.00%, due 05/01/52 | 3,782,429 | ||||||||
| 380,000 | Government National Mortgage Association, TBA, 3.00%, due 06/20/54 | 328,221 | ||||||||
| 600,000 | Government National Mortgage Association, TBA, 3.50%, due 06/20/54 | 535,395 | ||||||||
| 400,000 | Government National Mortgage Association, TBA, 4.00%, due 06/20/54 | 367,669 | ||||||||
| 760,000 | Government National Mortgage Association, TBA, 4.50%, due 06/20/54 | 718,538 | ||||||||
| 720,000 | Government National Mortgage Association, TBA, 5.00%, due 06/20/54 | 698,776 | ||||||||
| 610,000 | Government National Mortgage Association, TBA, 5.50%, due 06/20/54 | 605,075 | ||||||||
| 1,910,000 | Uniform Mortgage-Backed Security, TBA, 5.00%, due 06/01/54 | 1,838,117 | ||||||||
|
|
39,620,000 | Uniform Mortgage-Backed Security, TBA, 5.50%, due 06/01/54 | 38,977,318 | |||||||
| 27,020,000 | Uniform Mortgage-Backed Security, TBA, 6.00%, due 06/01/54 | 27,057,109 | ||||||||
|
|
|
|||||||||
| Total U.S. Government Agency | 82,410,298 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $1,235,325,151) |
1,145,599,104 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 0.9% | ||||||||||
| United States — 0.9% | ||||||||||
| Affiliated Issuers — 0.9% | ||||||||||
| 2,323,242 | GMO U.S. Treasury Fund | 11,616,211 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $11,703,541) |
11,616,211 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 20.1% | ||||||||||
| Repurchase Agreements — 19.8% | ||||||||||
| 275,075,710 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated, 05/31/24 maturing on 06/03/24 with a maturity value of $275,197,202 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 $279,350,913. | 275,075,710 | ||||||||
|
|
|
|||||||||
| Money Market Funds — 0.3% | ||||||||||
| 3,755,110 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (e) | 3,755,110 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $278,830,820) |
278,830,820 | |||||||||
|
|
|
|||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
PURCHASED OPTIONS — 0.0%
| Description | Counterparty | Exercise Rate |
Expiration Date |
Principal/ Notional Amount |
Floating Rate Index |
Pay/Receive Floating Rate |
Value ($) | |||||||||||||||||
| Options on Credit Default Swaps - Puts — 0.0% |
|
|||||||||||||||||||||||
| iTraxx Europe S41 |
JPM | 52.50 | % | 06/19/24 | EUR 83,440,000 | Fixed Spread | Pay | 86,325 | ||||||||||||||||
|
|
|
|||||||||||||||||||||||
| TOTAL PURCHASED OPTIONS (COST $119,183) |
|
86,325 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| TOTAL INVESTMENTS — 103.6% (Cost $1,525,978,695) |
|
1,436,132,460 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Shares |
Description | Value ($) | ||||||||
| SECURITIES SOLD SHORT — (4.0)% |
| |||||||||
| DEBT OBLIGATIONS — (4.0)% | ||||||||||
| U.S. Government Agency — (4.0)% | ||||||||||
| (40,000,000 | ) | Uniform Mortgage-Backed Security, TBA, 2.50%, due 06/01/39 | (35,952,019 | ) | ||||||
| (20,000,000 | ) | Uniform Mortgage-Backed Security, TBA, 5.00%, due 06/01/39 | (19,804,590 | ) | ||||||
|
|
|
|||||||||
| Total U.S. Government Agency | (55,756,609 | ) | ||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (PROCEEDS $55,628,906) |
(55,756,609 | ) | ||||||||
|
|
|
|||||||||
| TOTAL SECURITIES SOLD SHORT (PROCEEDS $55,628,906) |
(55,756,609 | ) | ||||||||
|
|
|
|||||||||
| Other Assets and Liabilities (net) — 0.4% | 6,180,712 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $1,386,556,563 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at May 31, 2024 is as follows:
Forward Currency Contracts
| Settlement Date |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 06/24/2024 | MSCI | EUR | 93,000 | USD | 100,827 | $ | (170 | ) | ||||||||||||
|
|
|
|||||||||||||||||||
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Buys | ||||||||||||||
| 59 | U.S. Long Bond (CBT) | September 2024 | 6,847,687 | (55,192 | ) | |||||||||
| 555 | U.S. Treasury Note 10 Yr. (CBT) | September 2024 | 60,382,266 | 101,338 | ||||||||||
| 1,273 | U.S. Treasury Note 2 Yr. (CBT) | September 2024 | 259,314,079 | (292,240 | ) | |||||||||
| 1,066 | U.S. Treasury Note 5 Yr. (CBT) | September 2024 | 112,779,469 | (283,634 | ) | |||||||||
| 178 | U.S. Treasury Ultra 10 Yr. (CBT) | September 2024 | 19,941,562 | (67,029 | ) | |||||||||
| 29 | U.S. Ultra Bond (CBT) | September 2024 |
|
3,550,688 |
|
(24,555 | ) | |||||||
|
|
|
|
|
|||||||||||
| $ | 462,815,751 | $ | (621,312 | ) | ||||||||||
|
|
|
|
|
|||||||||||
| + | 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)
May 31, 2024 (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 |
| |||||||||||||||||||||||||
| CDX.NA.HYS.42 |
GS | 75.00% | 06/20/24 | USD | (41,800,000 | ) | Fixed Spread | Pay | (2,634 | ) | ||||||||||||||||
| iTraxx Europe S41 |
JPM | 67.50% | 06/19/24 | EUR | (83,440,000 | ) | Fixed Spread | Pay | (5,865 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| Total Written Options On Credit Default Swaps — Puts | (8,499 | ) | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| |
TOTAL WRITTEN OPTIONS (Premiums $51,916) |
$ | (8,499 | ) | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
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% | 2.84% | N/A | 12/20/2027 | Quarterly | (78,499 | ) | (260,513 | ) | (182,014 | ) | |||||||||||||||||||
| CDX.NA.IG.S42 |
USD | 126,451,000 | 1.00% | 0.50% | N/A | 06/20/2029 | Quarterly | (2,747,894 | ) | (2,828,582 | ) | (80,688 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | (2,826,393 | ) | $ | (3,089,095 | ) | $ | (262,702 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
OTC Credit Default Swaps
| Reference Entity |
Counter- |
Notional Amount |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||||
| Buy Protection^: |
| |||||||||||||||||||||||||||||||
| CDX.NA.HY.S33 |
CITI | USD | 8,140,000 | 5.00% | 0.08% | N/A | 12/20/2024 | Quarterly | (196,490 | ) | (220,666 | ) | (24,176 | ) | ||||||||||||||||||
| CDX.NA.HY.S33 |
GS | USD | 5,355,000 | 5.00% | 0.08% | N/A | 12/20/2024 | Quarterly | 121,559 | (145,168 | ) | (266,727 | ) | |||||||||||||||||||
| CDX.NA.HY.S41 |
MORD | USD | 9,001,000 | 5.00% | 4.01% | N/A | 12/20/2028 | Quarterly | (360,570 | ) | (351,783 | ) | 8,787 | |||||||||||||||||||
| CDX.NA.HY.S41 |
MORD | USD | 9,001,000 | 5.00% | 1.57% | N/A | 12/20/2028 | Quarterly | (1,230,427 | ) | (1,258,413 | ) | (27,986 | ) | ||||||||||||||||||
| CMBX.NA.A.7 |
CGMI | USD | 1,420,000 | 2.00% | 131.64% | N/A | 01/17/2047 | Monthly | 89,177 | 69,452 | (19,725 | ) | ||||||||||||||||||||
| CMBX.NA.A.7 |
CGMI | USD | 10,000,000 | 2.00% | 131.64% | N/A | 01/17/2047 | Monthly | 593,750 | 489,100 | (104,650 | ) | ||||||||||||||||||||
| CMBX.NA.A.7 |
GS | USD | 2,840,000 | 2.00% | 131.64% | N/A | 01/17/2047 | Monthly | 156,358 | 138,904 | (17,454 | ) | ||||||||||||||||||||
| CMBX.NA.AS.7 |
BOA | USD | 4,505,000 | 1.00% | 1.94% | N/A | 01/17/2047 | Monthly | 47,352 | 758 | (46,594 | ) | ||||||||||||||||||||
| CMBX.NA.AS.7 |
DB | USD | 7,608,000 | 1.00% | 1.94% | N/A | 01/17/2047 | Monthly | (119,899 | ) | 1,281 | 121,180 | ||||||||||||||||||||
| CMBX.NA.AS.7 |
DB | USD | 16,677,794 | 1.00% | 1.94% | N/A | 01/17/2047 | Monthly | 197,705 | 2,808 | (194,897 | ) | ||||||||||||||||||||
| CMBX.NA.AS.7 |
GS | USD | 4,400,000 | 1.00% | 1.94% | N/A | 01/17/2047 | Monthly | 112,812 | 741 | (112,071 | ) | ||||||||||||||||||||
| CMBX.NA.AS.7 |
MSCI | USD | 13,270,000 | 1.00% | 1.94% | N/A | 01/17/2047 | Monthly | 205,782 | 2,234 | (203,548 | ) | ||||||||||||||||||||
| CMBX.NA.AA.11 |
CGMI | USD | 4,000,000 | 1.50% | 2.01% | N/A | 11/18/2054 | Monthly | (6,041 | ) | 61,084 | 67,125 | ||||||||||||||||||||
| CMBX.NA.AA.11 |
CGMI | USD | 4,626,000 | 1.50% | 2.01% | N/A | 11/18/2054 | Monthly | (63,740 | ) | 70,644 | 134,384 | ||||||||||||||||||||
| CMBX.NA.AA.11 |
MORD | USD | 4,624,500 | 1.50% | 2.01% | N/A | 11/18/2054 | Monthly | (67,279 | ) | 70,621 | 137,900 | ||||||||||||||||||||
| CMBX.NA.AA.11 |
MORD | USD | 4,624,500 | 1.50% | 2.01% | N/A | 11/18/2054 | Monthly | (61,371 | ) | 70,621 | 131,992 | ||||||||||||||||||||
| CMBX.NA.BBB-.11 |
CGMI | USD | 5,752,000 | 3.00% | 7.74% | N/A | 11/18/2054 | Monthly | 1,213,312 | 746,322 | (466,990 | ) | ||||||||||||||||||||
| CMBX.NA.A.8 |
CGMI | USD | 5,000,000 | 2.00% | 5.21% | N/A | 10/17/2057 | Monthly | 262,500 | 49,888 | (212,612 | ) | ||||||||||||||||||||
| CMBX.NA.A.8 |
GS | USD | 8,892,000 | 2.00% | 5.21% | N/A | 10/17/2057 | Monthly | 150,185 | 88,720 | (61,465 | ) | ||||||||||||||||||||
| CMBX.NA.A.8 |
MORD | USD | 2,000,000 | 2.00% | 5.21% | N/A | 10/17/2057 | Monthly | 107,500 | 19,955 | (87,545 | ) | ||||||||||||||||||||
| CMBX.NA.BBB-.8 |
GS | USD | 1,444,000 | 3.00% | 36.58% | N/A | 10/17/2057 | Monthly | 216,864 | 143,949 | (72,915 | ) | ||||||||||||||||||||
| CMBX.NA.BBB-.8 |
GS | USD | 4,224,000 | 3.00% | 36.58% | N/A | 10/17/2057 | Monthly | 400,908 | 421,080 | 20,172 | |||||||||||||||||||||
| CMBX.NA.BBB-.8 |
MSCI | USD | 2,366,000 | 3.00% | 36.58% | N/A | 10/17/2057 | Monthly | 458,413 | 235,861 | (222,552 | ) | ||||||||||||||||||||
| CMBX.NA.BBB-.8 |
MSCI | USD | 3,153,000 | 3.00% | 36.58% | N/A | 10/17/2057 | Monthly | 665,756 | 314,315 | (351,441 | ) | ||||||||||||||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2024 (Unaudited)
Swap Contracts — continued
OTC Credit Default Swaps — continued
| Reference Entity |
Counter- |
Notional Amount |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||||
| CMBX.NA.BBB-.9 |
DB | USD | 1,184,200 | 3.00% | 17.38% | N/A | 09/17/2058 | Monthly | 143,660 | 197,317 | 53,657 | |||||||||||||||||||||
| CMBX.NA.BBB-.9 |
GS | USD | 1,752,000 | 3.00% | 17.38% | N/A | 09/17/2058 | Monthly | 402,960 | 291,927 | (111,033 | ) | ||||||||||||||||||||
| CMBX.NA.BBB-.9 |
MORD | USD | 4,100,000 | 3.00% | 17.38% | N/A | 09/17/2058 | Monthly | 758,500 | 683,163 | (75,337 | ) | ||||||||||||||||||||
| CMBX.NA.BBB-.9 |
MORD | USD | 5,116,800 | 3.00% | 17.38% | N/A | 09/17/2058 | Monthly | 584,727 | 852,587 | 267,860 | |||||||||||||||||||||
| CMBX.NA.AA.12 |
GS | USD | 6,974,000 | 1.50% | 2.10% | N/A | 08/17/2061 | Monthly | (61,732 | ) | 154,927 | 216,659 | ||||||||||||||||||||
| CMBX.NA.A.6 |
CGMI | USD | 15,000,000 | 2.00% | 55.15% | N/A | 05/11/2063 | Monthly | 750,470 | 733,527 | (16,943 | ) | ||||||||||||||||||||
| CMBX.NA.AA.6 |
GS | USD | 4,703,649 | 1.50% | 49.35% | N/A | 05/11/2063 | Monthly | 34,885 | 72,434 | 37,549 | |||||||||||||||||||||
| CMBX.NA.BBB-.6 |
CGMI | USD | 4,274,000 | 3.00% | 27.79% | N/A | 05/11/2063 | Monthly | 1,357,351 | 247,314 | (1,110,037 | ) | ||||||||||||||||||||
| CMBX.NA.A.15 |
CGMI | USD | 5,000,000 | 2.00% | 3.16% | N/A | 11/18/2064 | Monthly | 600,000 | 315,063 | (284,937 | ) | ||||||||||||||||||||
| CMBX.NA.A.15 |
MORD | USD | 3,000,000 | 2.00% | 3.16% | N/A | 11/18/2064 | Monthly | 287,104 | 189,038 | (98,066 | ) | ||||||||||||||||||||
| CMBX.NA.BBB-.15 |
CGMI | USD | 5,000,000 | 3.00% | 5.98% | N/A | 11/18/2064 | Monthly | 796,875 | 744,062 | (52,813 | ) | ||||||||||||||||||||
| CMBX.NA.BBB-.15 |
GS | USD | 5,000,000 | 3.00% | 5.98% | N/A | 11/18/2064 | Monthly | 787,500 | 744,062 | (43,438 | ) | ||||||||||||||||||||
| CMBX.NA.BBB-.15 |
MSCI | USD | 5,000,000 | 3.00% | 5.98% | N/A | 11/18/2064 | Monthly | 718,500 | 744,062 | 25,562 | |||||||||||||||||||||
| CMBX.NA.A.14 |
GS | USD | 2,682,000 | 2.00% | 3.45% | N/A | 12/16/2072 | Monthly | 349,769 | 188,235 | (161,534 | ) | ||||||||||||||||||||
| CMBX.NA.AA.13 |
CGMI | USD | 2,000,000 | 1.50% | 2.15% | N/A | 12/16/2072 | Monthly | 147,237 | 58,335 | (88,902 | ) | ||||||||||||||||||||
| CMBX.NA.AA.13 |
CGMI | USD | 3,000,000 | 1.50% | 2.15% | N/A | 12/16/2072 | Monthly | 138,948 | 87,502 | (51,446 | ) | ||||||||||||||||||||
| CMBX.NA.BBB-.14 |
CGMI | USD | 3,933,500 | 3.00% | 7.78% | N/A | 12/16/2072 | Monthly | 1,111,214 | 805,384 | (305,830 | ) | ||||||||||||||||||||
| CMBX.NA.BBB-.14 |
GS | USD | 1,360,000 | 3.00% | 7.78% | N/A | 12/16/2072 | Monthly | 340,000 | 278,460 | (61,540 | ) | ||||||||||||||||||||
| Sell Protection^: |
| |||||||||||||||||||||||||||||||
| CDX.NA.HY.S33 |
CITI | USD | 4,201,343 | 5.00% | 0.04% | 4,201,343 USD | 12/20/2024 | Quarterly | 444,572 | 114,634 | (329,938 | ) | ||||||||||||||||||||
| CDX.NA.HY.S33 |
CITI | USD | 10,598,036 | 5.00% | 0.04% | 10,598,036 USD | 12/20/2024 | Quarterly | 1,827,631 | 289,168 | (1,538,463 | ) | ||||||||||||||||||||
| CDX.NA.HY.S33 |
GS | USD | 25,937,869 | 5.00% | 0.04% | 25,937,869 USD | 12/20/2024 | Quarterly | 5,736,853 | 707,717 | (5,029,136 | ) | ||||||||||||||||||||
| CDX.NA.HY.S33 |
JPM | USD | 10,394,872 | 5.00% | 0.04% | 10,394,872 USD | 12/20/2024 | Quarterly | 1,704,759 | 283,625 | (1,421,134 | ) | ||||||||||||||||||||
| CDX.NA.HY.S33 |
MORD | USD | 2,769,437 | 5.00% | 0.04% | 2,769,437 USD | 12/20/2024 | Quarterly | 476,620 | 75,564 | (401,056 | ) | ||||||||||||||||||||
| CDX.NA.HY.S41 |
MORD | USD | 63,009,000 | 5.00% | 0.42% | 63,009,000 USD | 12/20/2028 | Quarterly | 11,635,950 | 11,454,916 | (181,034 | ) | ||||||||||||||||||||
| CMBX.NA.AA.7 |
CGMI | USD | 5,000,000 | 1.50% | 54.87% | 5,000,000 USD | 01/17/2047 | Monthly | (125,000 | ) | (109,707 | ) | 15,293 | |||||||||||||||||||
| CMBX.NA.A.9 |
CGMI | USD | 2,500,000 | 2.00% | 6.57% | 2,500,000 USD | 09/17/2058 | Monthly | (74,374 | ) | (140,342 | ) | (65,968 | ) | ||||||||||||||||||
| CMBX.NA.A.9 |
GS | USD | 4,158,800 | 2.00% | 6.57% | 4,158,800 USD | 09/17/2058 | Monthly | 54,550 | (233,462 | ) | (288,012 | ) | |||||||||||||||||||
| CMBX.NA.A.9 |
MORD | USD | 7,600,000 | 2.00% | 6.57% | 7,600,000 USD | 09/17/2058 | Monthly | (698,250 | ) | (426,641 | ) | 271,609 | |||||||||||||||||||
| CMBX.NA.AAA.10 |
GS | USD | 7,540,000 | 0.50% | 0.58% | 7,540,000 USD | 11/17/2059 | Monthly | 68,960 | (12,466 | ) | (81,426 | ) | |||||||||||||||||||
| CMBX.NA.AAA.15 |
CGMI | USD | 10,000,000 | 0.50% | 0.71% | 10,000,000 USD | 11/18/2064 | Monthly | (373,108 | ) | (122,792 | ) | 250,316 | |||||||||||||||||||
| CMBX.NA.AAA.15 |
GS | USD | 2,825,000 | 0.50% | 0.71% | 2,825,000 USD | 11/18/2064 | Monthly | (43,465 | ) | (34,689 | ) | 8,776 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | 32,777,782 | $ | 20,255,232 | $ | (12,522,550 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| ^ | Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (1) | As of May 31, 2024, 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)
May 31, 2024 (Unaudited)
OTC Total Return Swaps
| Fund Pays |
Fund Receives | Counterparty |
Notional Amount |
Expiration Date |
Periodic |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||
| Total Return on Markit iBoxx USD Liquid Investment Grade Index |
SOFR | JPM | USD 22,883,000 | 06/20/2024 | Quarterly | (123 | ) | (41,530 | ) | (41,407 | ) | |||||||||||||||
| Total Return on Markit iBoxx USD Liquid Investment Grade Index |
SOFR | JPM | USD 16,877,000 | 06/20/2024 | At Maturity | 28 | (160,220 | ) | (160,248 | ) | ||||||||||||||||
| Total Return on Markit iBoxx USD Liquid Investment Grade Index |
SOFR | MORD | USD 13,660,000 | 06/20/2024 | At Maturity | — | (23,540 | ) | (23,540 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | (95 | ) | $ | (225,290 | ) | $ | (225,195 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
As of May 31, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| (a) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs. |
| (b) | Investment valued using significant unobservable inputs. |
| (c) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any. |
| (d) | All or a portion of this security is out on loan. |
| (e) | The rate disclosed is the 7 day net yield as of May 31, 2024. |
The rates shown on variable rate notes are the current interest rates at May 31, 2024, 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.
CDO - Collateralized Debt Obligation
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
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 May 31, 2024.
TBA - To Be Announced - Delayed Delivery Security
Counterparty Abbreviations:
BOA - Bank of America, N.A.
CGMI - Citigroup Global Markets Inc.
CITI - Citibank N.A.
DB - Deutsche Bank AG
GS - Goldman Sachs International
JPM - JPMorgan Chase Bank, N.A.
MORD - Morgan Stanley Capital Services LLC
MSCI - Morgan Stanley & Co. International PLC
Currency Abbreviations:
EUR - Euro
USD - United States Dollar
GMO U.S. Treasury Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Par Value† | Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 99.8% |
| |||||||||
| U.S. Government — 89.2% | ||||||||||
| 17,712,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.53%, due 01/31/25 | 17,731,313 | ||||||||
| 5,900,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.17%, 5.49%, due 04/30/25 | 5,906,280 | ||||||||
| 88,577,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.13%, 5.45%, due 07/31/25 | 88,624,365 | ||||||||
| 59,040,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.17%, 5.50%, due 10/31/25 | 59,115,735 | ||||||||
| 117,980,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.25%, 5.57%, due 01/31/26 | 118,239,238 | ||||||||
| 5,920,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 5.48%, due 04/30/26 | 5,922,747 | ||||||||
| 4,486,025 | U.S. Treasury Inflation-Indexed Notes, 0.13%, due 07/15/24 | 4,482,997 | ||||||||
| 24,094,721 | U.S. Treasury Inflation-Indexed Notes, 0.13%, due 10/15/24 | 23,887,255 | ||||||||
| 30,425,639 | U.S. Treasury Inflation-Indexed Notes, 0.25%, due 01/15/25 | 29,856,089 | ||||||||
| 15,617,000 | U.S. Treasury Notes, 1.50%, due 09/30/24 | 15,423,313 | ||||||||
| 36,610,000 | U.S. Treasury Notes, 4.63%, due 06/30/25 | 36,408,359 | ||||||||
| 37,630,000 | U.S. Treasury Notes, 3.13%, due 08/15/25 | 36,764,216 | ||||||||
| 32,410,000 | U.S. Treasury Notes, 4.88%, due 11/30/25 | 32,336,571 | ||||||||
| 32,925,000 | U.S. Treasury Notes, 4.25%, due 12/31/25 | 32,544,305 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 507,242,783 | |||||||||
|
|
|
|||||||||
| U.S. Government Agency — 2.5% | ||||||||||
| 4,000,000 | Federal Home Loan Banks, Variable Rate, 1 day USD SOFR + 0.10%, 5.43%, due 09/04/24 | 4,000,880 | ||||||||
| 10,000,000 | Federal Home Loan Banks, 5.50%, due 09/04/25 | 9,995,224 | ||||||||
|
|
|
|||||||||
| Total U.S. Government Agency | 13,996,104 | |||||||||
|
|
|
|||||||||
| Repurchase Agreements — 8.0% | ||||||||||
| 45,438,374 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated, 05/31/24 maturing on 06/03/24 with a maturity value of $45,458,443 and an effective yield of 5.30%, collateralized by a U.S. Treasury Notes with maturity dates 08/15/25 - 09/30/26 and a market value of $46,157,965. | 45,438,374 | ||||||||
|
|
|
|||||||||
| Shares | Description | Value ($) | ||||||||
| Money Market Funds — 0.1% | ||||||||||
| 799,737 | State Street Institutional Treasury Plus Money Market Fund – Premier Class, 5.24% (a) | 799,737 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $567,721,090) |
567,476,998 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 99.8% (Cost $567,721,090) |
567,476,998 | |||||||||
| Other Assets and Liabilities (net) — 0.2% | 862,979 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $568,339,977 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| (a) | The rate disclosed is the 7 day net yield as of May 31, 2024. |
The rates shown on variable rate notes are the current interest rates at May 31, 2024 which are subject to change based on the terms of the security.
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 management 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 May 31, 2024, 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 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 May 31, 2024:
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Asset Allocation Bond Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Debt Obligations |
||||||||||||||||
| U.S. Government |
$ | 4,004,362 | $ | — | $ | — | $ | 4,004,362 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
4,004,362 | — | — | 4,004,362 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
357,662 | 35,716,709 | — | 36,074,371 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
4,362,024 | 35,716,709 | — | 40,078,733 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | 144,488 | — | 144,488 | ||||||||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
21,537 | — | — | 21,537 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 4,383,561 | $ | 35,861,197 | $ | — | $ | 40,244,758 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs |
||||||||||||||||
| Derivatives^ |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
$ | (373,023 | ) | $ | — | $ | — | $ | (373,023 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (373,023 | ) | $ | — | $ | — | $ | (373,023 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Emerging Country Debt Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Debt Obligations |
||||||||||||||||
| Asset-Backed Securities |
$ | — | $ | 5,845,477 | $ | — | $ | 5,845,477 | ||||||||
| Corporate Debt |
— | 96,098,734 | 15,939,140 | 112,037,874 | ||||||||||||
| Sovereign and Sovereign Agency Issuers |
— | 1,864,998,010 | 135,081,175 | 2,000,079,185 | ||||||||||||
| U.S. Government |
8,102,551 | — | — | 8,102,551 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
8,102,551 | 1,966,942,221 | 151,020,315 | 2,126,065,087 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Loan Assignments |
— | — | 20,510,355 | 20,510,355 | ||||||||||||
| Loan Participations |
— | — | 7,575,664 | 7,575,664 | ||||||||||||
| Investment Funds |
— | — | 13,524,561 | 13,524,561 | ||||||||||||
| Rights/Warrants |
— | 20,452,947 | 306,081 | 20,759,028 | ||||||||||||
| Short-Term Investments |
4,250,317 | 52,999,503 | — | 57,249,820 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
12,352,868 | 2,040,394,671 | 192,936,976 | 2,245,684,515 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | 2,617,403 | — | 2,617,403 | ||||||||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
— | 5,414,883 | — | 5,414,883 | ||||||||||||
| Interest Rate Risk |
— | 3,473,948 | — | 3,473,948 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 12,352,868 | $ | 2,051,900,905 | $ | 192,936,976 | $ | 2,257,190,749 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs |
||||||||||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
$ | — | $ | (2,035,965 | ) | $ | — | $ | (2,035,965 | ) | ||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
— | (883,678 | ) | — | (883,678 | ) | ||||||||||
| Interest Rate Risk |
— | (6,848,923 | ) | — | (6,848,923 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | — | $ | (9,768,566 | ) | $ | — | $ | (9,768,566 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| High Yield Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Debt Obligations |
||||||||||||||||
| Corporate Debt |
$ | — | $ | 30,211,160 | $ | — | $ | 30,211,160 | ||||||||
| U.S. Government |
36,107,008 | — | — | 36,107,008 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
36,107,008 | 30,211,160 | — | 66,318,168 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
977,561 | 82,889,751 | — | 83,867,312 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
37,084,569 | 113,100,911 | — | 150,185,480 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | 1,690,000 | — | 1,690,000 | ||||||||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
5,293 | — | — | 5,293 | ||||||||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
— | 1,440,202 | — | 1,440,202 | ||||||||||||
| Interest Rate Risk |
— | 1,881,558 | — | 1,881,558 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 37,089,862 | $ | 118,112,671 | $ | — | $ | 155,202,533 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs |
||||||||||||||||
| Derivatives^ |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
$ | (24,547 | ) | $ | — | $ | — | $ | (24,547 | ) | ||||||
| Swap Contracts |
||||||||||||||||
| Interest Rate Risk |
— | (49,219 | ) | — | (49,219 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (24,547 | ) | $ | (49,219 | ) | $ | — | $ | (73,766 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| Multi-Sector Fixed Income Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Debt Obligations |
||||||||||||||||
| Corporate Debt |
$ | — | $ | 17,003,501 | $ | — | $ | 17,003,501 | ||||||||
| U.S. Government |
2,052,621 | — | — | 2,052,621 | ||||||||||||
| U.S. Government Agency |
— | 12,942,736 | — | 12,942,736 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
2,052,621 | 29,946,237 | — | 31,998,858 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Common Stocks |
11,468,600 | — | — | 11,468,600 | ||||||||||||
| Mutual Funds |
18,322,696 | — | — | 18,322,696 | ||||||||||||
| Short-Term Investments |
328,840 | 27,251,465 | — | 27,580,305 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
32,172,757 | 57,197,702 | — | 89,370,459 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | 612,309 | — | 612,309 | ||||||||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
7,721 | — | — | 7,721 | ||||||||||||
| Swap Contracts |
||||||||||||||||
| Interest Rate Risk |
— | 806,971 | — | 806,971 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 32,180,478 | $ | 58,616,982 | $ | — | $ | 90,797,460 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs |
||||||||||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
$ | — | $ | (151,419 | ) | $ | — | $ | (151,419 | ) | ||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
(98,938 | ) | — | — | (98,938 | ) | ||||||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
— | (89,476 | ) | — | (89,476 | ) | ||||||||||
| Interest Rate Risk |
— | (361,561 | ) | — | (361,561 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (98,938 | ) | $ | (602,456 | ) | $ | — | $ | (701,394 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Opportunistic Income Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Debt Obligations |
||||||||||||||||
| Asset-Backed Securities |
$ | — | $ | 952,675,692 | $ | 8,284,385 | $ | 960,960,077 | ||||||||
| U.S. Government |
102,228,729 | — | — | 102,228,729 | ||||||||||||
| U.S. Government Agency |
7,501,651 | 74,908,647 | — | 82,410,298 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
109,730,380 | 1,027,584,339 | 8,284,385 | 1,145,599,104 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
11,616,211 | — | — | 11,616,211 | ||||||||||||
| Short-Term Investments |
3,755,110 | 275,075,710 | — | 278,830,820 | ||||||||||||
| Purchased Options |
— | 86,325 | — | 86,325 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
125,101,701 | 1,302,746,374 | 8,284,385 | 1,436,132,460 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
101,338 | — | — | 101,338 | ||||||||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
— | 23,311,361 | — | 23,311,361 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 125,203,039 | $ | 1,326,057,735 | $ | 8,284,385 | $ | 1,459,545,159 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs |
||||||||||||||||
| Debt Obligations |
||||||||||||||||
| U.S. Government Agency |
$ | — | $ | (55,756,609 | ) | $ | — | $ | (55,756,609 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
— | (55,756,609 | ) | — | (55,756,609 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | (170 | ) | — | (170 | ) | ||||||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
(722,650 | ) | — | — | (722,650 | ) | ||||||||||
| Written Options |
||||||||||||||||
| Credit Risk |
— | (8,499 | ) | — | (8,499 | ) | ||||||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
— | (6,145,224 | ) | — | (6,145,224 | ) | ||||||||||
| Interest Rate Risk |
— | (225,290 | ) | — | (225,290 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (722,650 | ) | $ | (62,135,792 | ) | $ | — | $ | (62,858,442 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| U.S. Treasury Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Short-Term Investments |
$ | 463,812,283 | $ | 103,664,715 | $ | — | $ | 567,476,998 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
463,812,283 | 103,664,715 | — | 567,476,998 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 463,812,283 | $ | 103,664,715 | $ | — | $ | 567,476,998 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
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’ 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 May 31, 2024, 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 of asset or liability as compared to a Fund’s total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Emerging Country Debt Fund’s Level 3 holdings also include the Republic of Albania Par Bond, due 8/31/25, which is valued by applying a 140 basis point spread to the yield of the U.S. Treasury Strip Principal, due 8/15/25, 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 270 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.
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 29, 2024 |
Purchases | Sales | Accrued Discounts/ Premiums |
Total Realized Gain/ (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Transfer into Level 3 |
Transfer out of Level 3 |
Balances as of May 31, 2024 |
Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as |
|||||||||||||||||||||||||||||||
| Emerging Country Debt Fund | ||||||||||||||||||||||||||||||||||||||||
| Debt Obligations |
|
|||||||||||||||||||||||||||||||||||||||
| Corporate Debt |
$ | 15,769,296 | $ | — | $ | — | $ | 7,627 | $ | — | $ | 162,217 | $ | — | $ | — $ | 15,939,140 | $ | 162,217 | |||||||||||||||||||||
| Sovereign and Sovereign Agency Issuers |
160,306,605 | — | (4,270,000 | ) | 618,879 | (2,730,000 | ) | 13,972,763 | — | (32,817,072 | )‡ | 135,081,175 | 12,847,175 | |||||||||||||||||||||||||||
| Investment Funds |
13,370,532 | — | (128,002 | ) | — | 33,592 | 248,439 | — | — | 13,524,561 | 248,439 | |||||||||||||||||||||||||||||
| Loan Assignments |
22,151,861 | — | (3,520,176 | ) | 131,953 | 502,477 | 1,244,240 | — | — | 20,510,355 | 1,237,685 | |||||||||||||||||||||||||||||
| Loan Participations |
8,710,556 | — | (1,283,333 | ) | (89,669 | ) | 13,311 | 224,799 | — | — | 7,575,664 | 224,799 | ||||||||||||||||||||||||||||
| Rights/Warrants |
5,204,280 | — | — | — | — | 584,491 | — | (5,482,690 | ) | 306,081 | (17,008 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total Investments |
225,513,130 | — | (9,201,511 | ) | 668,790 | (2,180,620 | ) | 16,436,949 | — | (38,299,762 | ) | 192,936,976 | 14,703,307 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Derivatives |
||||||||||||||||||||||||||||||||||||||||
| Options |
117,019 | — | — | — | 6,444,672 | (6,561,691 | ) | — | — | — | — | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total |
$ | 225,630,149 | $ | — | $ | (9,201,511 | )# | $ | 668,790 | $ | 4,264,052 | $ | 9,875,258 | $ | — | $ | (38,299,762 | ) | $ | 192,936,976 | $ | 14,703,307 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| ‡ | Financial assets transferred between levels were due to a change in observable and/or unobservable inputs. |
| # | Includes $4,803,509 of proceeds received from partial calls and/or principal paydowns as applicable. |
The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended May 31, 2024.
Quantitative information about Level 3 Fair Value Measurements*
| Investment Type | Total Fair Value ($) |
Valuation Methodology |
Unobservable Inputs | Range (Weighted Average) | ||||||
| Emerging Country Debt Fund | ||||||||||
| Sovereign and Sovereign Agency Issuers |
38,165,432 | 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 |
14,059,212 | Fair Value | Discount for lack of liquidity/marketability | 2.70% (N/A) | ||||||
| Loan Assignments |
959,385 | Fair Value | Discount for lack of liquidity/marketability | 5.00% (N/A) | ||||||
| Loan Assignments |
13,364,011 | Fair Value | Vendor price of comparable loan | N/A | ||||||
|
Warrants |
306,081 | Fair Value | Discount for lack of liquidity/marketability | 50% (N/A) | ||||||
| Investment Funds |
13,524,561 | Fair Value | Net asset value statement | N/A | ||||||
| * | The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of May 31, 2024, the value of these securities and/or derivatives for Emerging Country Debt Fund was $112,548,859. The inputs for these investments are not readily available or cannot be reasonably estimated. |
Investments in affiliated companies and other Funds of the Trust
An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended May 31, 2024 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 |
$ | 12,461,563 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 380,668 | $ | 12,842,231 | ||||||||||||||||
| Bona Fide Investments Feeder LLC |
908,969 | — | 128,002 | — | — | 33,592 | (132,229 | ) | 682,330 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Totals |
$ | 13,370,532 | $ | — | $ | 128,002 | $ | — | $ | — | $ | 33,592 | $ | 248,439 | $ | 13,524,561 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Multi-Sector Fixed Income Fund | ||||||||||||||||||||||||||||||||
| GMO Emerging Country Debt Fund, Class VI |
$ | 3,697,253 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 152,990 | $ | 3,850,243 | ||||||||||||||||
| GMO Opportunistic Income Fund, Class VI |
14,460,403 | — | — | 165,632 | — | — | 12,050 | 14,472,453 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Totals |
$ | 18,157,656 | $ | — | $ | — | $ | 165,632 | $ | — | $ | — | $ | 165,040 | $ | 18,322,696 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Opportunistic Income Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 11,616,211 | $ | — | $ | — | $ | 171,952 | $ | — | $ | — | $ | — | $ | 11,616,211 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| * | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2024 through May 31, 2024. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2025. |
***
For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report available on the SEC’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 92.1% |
| |||||||||
| Australia — 2.7% | ||||||||||
| 53,758 | Altium Ltd. (a) | 2,408,894 | ||||||||
| 597,152 | Alumina Ltd. * | 752,912 | ||||||||
| 11,038 | BHP Group Ltd. (a) | 328,517 | ||||||||
| 29,120 | BlueScope Steel Ltd. | 410,938 | ||||||||
| 37,918 | Brambles Ltd. (a) | 360,431 | ||||||||
| 61,522 | GPT Group – (REIT) | 172,588 | ||||||||
| 146,610 | Mirvac Group – (REIT) | 192,555 | ||||||||
| 71,241 | Scentre Group – (REIT) (a) | 150,326 | ||||||||
| 70,191 | Stockland – (REIT) (a) | 211,507 | ||||||||
|
|
|
|||||||||
| Total Australia | 4,988,668 | |||||||||
|
|
|
|||||||||
| Belgium — 0.6% | ||||||||||
| 10,475 | Ageas SA (a) | 522,574 | ||||||||
| 1,799 | Groupe Bruxelles Lambert NV (a) | 137,959 | ||||||||
| 3,884 | UCB SA (a) | 544,811 | ||||||||
|
|
|
|||||||||
| Total Belgium | 1,205,344 | |||||||||
|
|
|
|||||||||
| Brazil — 0.1% | ||||||||||
| 4,388 | Petroleo Brasileiro SA Sponsored ADR (a) | 68,234 | ||||||||
| 3,928 | Vale SA Sponsored ADR (a) | 47,332 | ||||||||
|
|
|
|||||||||
| Total Brazil | 115,566 | |||||||||
|
|
|
|||||||||
| Canada — 2.3% | ||||||||||
| 5,500 | Alimentation Couche-Tard, Inc. (a) | 321,013 | ||||||||
| 372 | BRP, Inc. | 23,250 | ||||||||
| 4,100 | Canadian Tire Corp. Ltd. – Class A (a) | 409,233 | ||||||||
| 600 | CGI, Inc. * (a) | 59,249 | ||||||||
| 900 | Empire Co. Ltd. – Class A (a) | 21,322 | ||||||||
| 1,800 | iA Financial Corp., Inc. | 117,196 | ||||||||
| 1,600 | Magna International, Inc. (a) (b) | 72,384 | ||||||||
| 427 | Magna International, Inc. (a) (b) | 19,305 | ||||||||
| 14,227 | Manulife Financial Corp. (a) (b) | 369,333 | ||||||||
| 9,000 | Manulife Financial Corp. (a) (b) | 233,758 | ||||||||
| 2,200 | Nutrien Ltd. (a) | 128,922 | ||||||||
| 35,933 | Nuvei Corp. (a) | 1,157,042 | ||||||||
| 2,800 | Onex Corp. (a) | 198,493 | ||||||||
| 1,900 | Power Corp. of Canada (a) | 55,162 | ||||||||
| 12,600 | Quebecor, Inc. – Class B (a) | 265,784 | ||||||||
| 176,256 | Resolute Forest Products, Inc. * (c) | 352,512 | ||||||||
| 5,000 | West Fraser Timber Co. Ltd. (a) (b) | 399,978 | ||||||||
| 1,214 | West Fraser Timber Co. Ltd. (a) (b) | 97,132 | ||||||||
|
|
|
|||||||||
| Total Canada | 4,301,068 | |||||||||
|
|
|
|||||||||
| China — 0.7% | ||||||||||
| 111,000 | Bank of Communications Co. Ltd. – Class H | 83,779 | ||||||||
| 17,500 | Beijing Enterprises Holdings Ltd. | 61,688 | ||||||||
| 702,000 | China Construction Bank Corp. – Class H | 498,226 | ||||||||
| 212,000 | China Railway Group Ltd. – Class H | 114,230 | ||||||||
| 308,000 | China Zhongwang Holdings Ltd. * (d) | — | ||||||||
| 187,000 | CITIC Ltd. | 189,644 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| China — continued | ||||||||||
| 20,500 | COSCO Shipping Holdings Co. Ltd. – Class H | 34,328 | ||||||||
| 152,000 | Dongfeng Motor Group Co. Ltd. – Class H | 49,306 | ||||||||
| 13,000 | Kingboard Holdings Ltd. | 31,627 | ||||||||
| 10,500 | Orient Overseas International Ltd. (a) | 178,337 | ||||||||
| 8,500 | Shanghai Pharmaceuticals Holding Co. Ltd. – Class H | 12,620 | ||||||||
| 17,200 | Sinopharm Group Co. Ltd. – Class H | 46,807 | ||||||||
|
|
|
|||||||||
| Total China | 1,300,592 | |||||||||
|
|
|
|||||||||
| Denmark — 1.0% | ||||||||||
| 122 | AP Moller – Maersk AS – Class A (a) | 214,083 | ||||||||
| 232 | AP Moller – Maersk AS – Class B (a) | 421,818 | ||||||||
| 17,636 | Danske Bank AS (a) | 542,159 | ||||||||
| 1,363 | Genmab AS * (a) | 384,719 | ||||||||
| 126 | Pandora AS (a) | 20,697 | ||||||||
| 840 | ROCKWOOL AS – B Shares | 353,422 | ||||||||
|
|
|
|||||||||
| Total Denmark | 1,936,898 | |||||||||
|
|
|
|||||||||
| Finland — 0.4% | ||||||||||
| 142,786 | Nokia OYJ (a) | 558,493 | ||||||||
| 8,703 | Stora Enso OYJ – R Shares (a) | 127,493 | ||||||||
|
|
|
|||||||||
| Total Finland | 685,986 | |||||||||
|
|
|
|||||||||
| France — 1.1% | ||||||||||
| 18,963 | ArcelorMittal SA | 500,293 | ||||||||
| 550 | Cie de Saint-Gobain SA (a) | 48,560 | ||||||||
| 9,490 | Renault SA | 557,444 | ||||||||
| 17,339 | Societe Generale SA | 519,352 | ||||||||
| 7,213 | STMicroelectronics NV – NY Shares | 302,730 | ||||||||
| 19,520 | Vivendi SE (a) | 214,954 | ||||||||
|
|
|
|||||||||
| Total France | 2,143,333 | |||||||||
|
|
|
|||||||||
| Germany — 0.3% | ||||||||||
| 3,329 | Continental AG (a) | 226,886 | ||||||||
| 1,328 | Daimler Truck Holding AG (a) | 56,820 | ||||||||
| 686 | DHL Group (a) | 28,881 | ||||||||
| 2,577 | E.ON SE (a) | 34,512 | ||||||||
| 3,434 | Mercedes-Benz Group AG (a) | 249,230 | ||||||||
| 164 | Siemens AG (Registered) (a) | 31,610 | ||||||||
|
|
|
|||||||||
| Total Germany | 627,939 | |||||||||
|
|
|
|||||||||
| Israel — 0.5% | ||||||||||
| 2,828 | Bank Leumi Le-Israel BM | 23,529 | ||||||||
| 1,952 | Check Point Software Technologies Ltd. * (e) | 293,776 | ||||||||
| 3,851 | Israel Discount Bank Ltd. – Class A | 19,806 | ||||||||
| 36,223 | Teva Pharmaceutical Industries Ltd. Sponsored ADR * (a) | 613,255 | ||||||||
| 4,074 | Teva Pharmaceutical Industries Ltd. * | 68,597 | ||||||||
|
|
|
|||||||||
| Total Israel | 1,018,963 | |||||||||
|
|
|
|||||||||
| Italy — 0.6% | ||||||||||
| 10,282 | Leonardo SpA * (a) | 264,473 | ||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Italy — continued | ||||||||||
| 21,302 | Stellantis NV (a) | 471,968 | ||||||||
| 1,308,364 | Telecom Italia SpA * (a) | 344,891 | ||||||||
|
|
|
|||||||||
| Total Italy | 1,081,332 | |||||||||
|
|
|
|||||||||
| Japan — 10.4% | ||||||||||
| 10,500 | Amano Corp. | 252,421 | ||||||||
| 13,400 | Chubu Electric Power Co., Inc. (a) | 185,131 | ||||||||
| 17,500 | Credit Saison Co. Ltd. (a) | 379,386 | ||||||||
| 20,700 | Daiwabo Holdings Co. Ltd. | 366,213 | ||||||||
| 20,300 | Denka Co. Ltd. | 286,805 | ||||||||
| 16,600 | EXEO Group, Inc. | 170,319 | ||||||||
| 19,300 | Fuji Corp. | 312,367 | ||||||||
| 16,100 | FUJIFILM Holdings Corp. (a) | 367,656 | ||||||||
| 15,000 | Fujikura Ltd. | 309,532 | ||||||||
| 25,200 | H.U. Group Holdings, Inc. (a) | 402,673 | ||||||||
| 47,600 | Honda Motor Co. Ltd. (a) | 539,008 | ||||||||
| 32,700 | Inpex Corp. (a) | 504,553 | ||||||||
| 28,600 | Isuzu Motors Ltd. | 383,295 | ||||||||
| 11,500 | ITOCHU Corp. (a) | 542,876 | ||||||||
| 25,800 | Kanematsu Corp. | 442,645 | ||||||||
| 5,200 | Kansai Electric Power Co., Inc. (a) | 94,105 | ||||||||
| 6,600 | Kawasaki Kisen Kaisha Ltd. (a) | 98,091 | ||||||||
| 21,500 | Kirin Holdings Co. Ltd. (a) | 296,914 | ||||||||
| 4,400 | Kyudenko Corp. | 179,171 | ||||||||
| 9,500 | Maruichi Steel Tube Ltd. | 226,678 | ||||||||
| 30,600 | Mitsubishi Electric Corp. (a) | 531,747 | ||||||||
| 13,600 | Mitsui OSK Lines Ltd. (a) | 448,288 | ||||||||
| 12,200 | Morinaga & Co. Ltd. | 195,128 | ||||||||
| 11,000 | MS&AD Insurance Group Holdings, Inc. (a) | 228,799 | ||||||||
| 4,700 | NEC Corp. (a) | 349,858 | ||||||||
| 12,900 | NH Foods Ltd. | 395,972 | ||||||||
| 13,800 | Nippon Yusen KK (a) | 437,531 | ||||||||
| 5,200 | Nissan Motor Co. Ltd. (a) | 18,598 | ||||||||
| 1,700 | Ono Pharmaceutical Co. Ltd. | 24,617 | ||||||||
| 36,200 | Panasonic Holdings Corp. (a) | 319,749 | ||||||||
| 48,700 | Penta-Ocean Construction Co. Ltd. | 196,141 | ||||||||
| 12,400 | Renesas Electronics Corp. (a) | 228,490 | ||||||||
| 22,800 | Rohm Co. Ltd. (a) | 295,522 | ||||||||
| 7,300 | Sankyu, Inc. | 263,676 | ||||||||
| 25,100 | Sega Sammy Holdings, Inc. | 354,535 | ||||||||
| 19,200 | Sekisui House Ltd. (a) | 432,337 | ||||||||
| 69,420 | Shinko Electric Industries Co. Ltd. (a) | 2,488,007 | ||||||||
| 5,200 | Shionogi & Co. Ltd. (a) | 234,276 | ||||||||
| 21,100 | Stanley Electric Co. Ltd. | 388,177 | ||||||||
| 13,800 | Subaru Corp. (a) | 308,495 | ||||||||
| 31,200 | SUMCO Corp. (a) | 469,040 | ||||||||
| 19,500 | Sumitomo Corp. (a) | 507,439 | ||||||||
| 8,200 | Sumitomo Mitsui Financial Group, Inc. (a) | 536,682 | ||||||||
| 16,600 | Sumitomo Mitsui Trust Holdings, Inc. | 385,943 | ||||||||
| 28,000 | T&D Holdings, Inc. (a) | 506,194 | ||||||||
| 5,500 | TDK Corp. (a) | 276,240 | ||||||||
| 12,600 | THK Co. Ltd. | 244,341 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| 53,000 | Tokai Carbon Co. Ltd. | 337,024 | ||||||||
| 80,700 | Tokyo Electric Power Co. Holdings, Inc. * (a) | 484,479 | ||||||||
| 3,100 | Toyota Industries Corp. (a) | 292,363 | ||||||||
| 1,400 | Toyota Tsusho Corp. (a) | 85,497 | ||||||||
| 11,800 | Yamaha Corp. | 268,505 | ||||||||
| 27,300 | Yamaha Motor Co. Ltd. (a) | 267,314 | ||||||||
| 6,500 | Zenkoku Hosho Co. Ltd. | 232,911 | ||||||||
|
|
|
|||||||||
| Total Japan | 19,373,754 | |||||||||
|
|
|
|||||||||
| Mexico — 0.0% | ||||||||||
| 2,590 | Cemex SAB de CV Sponsored ADR * | 19,503 | ||||||||
|
|
|
|||||||||
| Netherlands — 1.3% | ||||||||||
| 8,945 | Aegon Ltd. (a) | 58,020 | ||||||||
| 4,598 | EXOR NV (a) | 516,358 | ||||||||
| 32,573 | ING Groep NV (a) | 581,928 | ||||||||
| 16,214 | Koninklijke Ahold Delhaize NV (a) | 502,845 | ||||||||
| 20,619 | Koninklijke Philips NV * (a) | 563,205 | ||||||||
| 3,312 | NN Group NV (a) | 154,535 | ||||||||
|
|
|
|||||||||
| Total Netherlands | 2,376,891 | |||||||||
|
|
|
|||||||||
| New Zealand — 0.0% | ||||||||||
| 16,693 | Meridian Energy Ltd. (a) | 69,452 | ||||||||
|
|
|
|||||||||
| Norway — 0.3% | ||||||||||
| 17,453 | Equinor ASA (a) | 506,621 | ||||||||
|
|
|
|||||||||
| Poland — 0.3% | ||||||||||
| 26,712 | ORLEN SA | 432,694 | ||||||||
| 36,448 | PGE Polska Grupa Energetyczna SA * | 62,961 | ||||||||
|
|
|
|||||||||
| Total Poland | 495,655 | |||||||||
|
|
|
|||||||||
| South Africa — 0.1% | ||||||||||
| 13,722 | Bidvest Group Ltd. | 179,405 | ||||||||
|
|
|
|||||||||
| South Korea — 1.1% | ||||||||||
| 1,471 | GS Holdings Corp. | 46,442 | ||||||||
| 178 | Hyundai Glovis Co. Ltd. | 23,168 | ||||||||
| 644 | Hyundai Mobis Co. Ltd. | 100,409 | ||||||||
| 1,638 | Hyundai Motor Co. | 300,579 | ||||||||
| 5,807 | Kia Corp. | 495,664 | ||||||||
| 2,884 | KT Corp. Sponsored ADR (a) | 38,992 | ||||||||
| 2,606 | LG Corp. | 153,336 | ||||||||
| 6,292 | LG Electronics, Inc. | 478,593 | ||||||||
| 127 | NAVER Corp. | 15,722 | ||||||||
| 59 | POSCO Holdings, Inc. | 15,822 | ||||||||
| 4,205 | POSCO Holdings, Inc. Sponsored ADR (a) | 283,459 | ||||||||
| 1,217 | Shinhan Financial Group Co. Ltd. | 41,751 | ||||||||
| 1,257 | SK Telecom Co. Ltd. Sponsored ADR (a) | 25,995 | ||||||||
|
|
|
|||||||||
| Total South Korea | 2,019,932 | |||||||||
|
|
|
|||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Spain — 0.6% | ||||||||||
| 48,988 | Banco Bilbao Vizcaya Argentaria SA (a) | 531,586 | ||||||||
| 115,067 | Banco Santander SA (a) | 606,834 | ||||||||
|
|
|
|||||||||
| Total Spain | 1,138,420 | |||||||||
|
|
|
|||||||||
| Sweden — 0.6% | ||||||||||
| 56,524 | Fastighets AB Balder – B Shares * (a) | 382,709 | ||||||||
| 21,565 | Investor AB – B Shares (a) | 585,174 | ||||||||
| 2,403 | Securitas AB – B Shares (a) | 24,730 | ||||||||
| 7,954 | Skanska AB – B Shares | 140,491 | ||||||||
| 5,685 | Volvo Car AB – Class B * | 19,146 | ||||||||
|
|
|
|||||||||
| Total Sweden | 1,152,250 | |||||||||
|
|
|
|||||||||
| Switzerland — 0.5% | ||||||||||
| 10,861 | Adecco Group AG (Registered) (a) | 412,184 | ||||||||
| 2,095 | Roche Holding AG – Genusschein (a) | 534,888 | ||||||||
|
|
|
|||||||||
| Total Switzerland | 947,072 | |||||||||
|
|
|
|||||||||
| Thailand — 0.4% | ||||||||||
| 97,400 | Kasikornbank PCL NVDR | 347,364 | ||||||||
| 734,300 | Krung Thai Bank PCL NVDR | 343,724 | ||||||||
| 10,600 | PTT Exploration & Production PCL NVDR | 44,573 | ||||||||
| 27,800 | PTT PCL NVDR | 24,800 | ||||||||
| 9,900 | SCB X PCL NVDR | 28,586 | ||||||||
| 7,600 | Thai Oil PCL NVDR | 10,730 | ||||||||
|
|
|
|||||||||
| Total Thailand | 799,777 | |||||||||
|
|
|
|||||||||
| Turkey — 0.3% | ||||||||||
| 23,930 | Akbank TAS | 49,054 | ||||||||
| 19,854 | KOC Holding AS | 146,715 | ||||||||
| 5,634 | Turk Hava Yollari AO * | 52,982 | ||||||||
| 356,794 | Yapi ve Kredi Bankasi AS | 358,046 | ||||||||
|
|
|
|||||||||
| Total Turkey | 606,797 | |||||||||
|
|
|
|||||||||
| United Kingdom — 3.2% | ||||||||||
| 15,145 | 3i Group PLC (a) | 558,047 | ||||||||
| 5,173 | Berkeley Group Holdings PLC (a) | 349,077 | ||||||||
| 331,374 | BT Group PLC (a) | 554,798 | ||||||||
| 6,485 | Coca-Cola HBC AG (a) | 220,070 | ||||||||
| 575,727 | DS Smith PLC | 2,823,618 | ||||||||
| 1,124 | GSK PLC Sponsored ADR (e) | 50,322 | ||||||||
| 103,382 | Kingfisher PLC | 349,990 | ||||||||
| 778 | Shell PLC ADR (a) | 56,623 | ||||||||
| 122,108 | Taylor Wimpey PLC | 231,176 | ||||||||
| 4,667 | Unilever PLC Sponsored ADR (a) | 255,518 | ||||||||
| 54,514 | Vodafone Group PLC Sponsored ADR (a) | 524,425 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 5,973,664 | |||||||||
|
|
|
|||||||||
| United States — 62.7% | ||||||||||
| 5,533 | 3M Co. (e) | 554,075 | ||||||||
| 6,638 | AAON, Inc. (e) | 498,182 | ||||||||
| 8,511 | Acushnet Holdings Corp. (e) | 560,875 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 3,689 | Akamai Technologies, Inc. * (e) | 340,273 | ||||||||
| 266,395 | Albertsons Cos., Inc. – Class A (a) | 5,498,393 | ||||||||
| 1,167 | Allegion PLC (a) (e) | 142,164 | ||||||||
| 12,848 | Ally Financial, Inc. (a) (e) | 500,687 | ||||||||
| 602 | Alphabet, Inc. – Class A * (a) | 103,845 | ||||||||
| 1,522 | Alphabet, Inc. – Class C * (a) | 264,767 | ||||||||
| 2,117 | Amazon.com, Inc. * (a) | 373,523 | ||||||||
| 9,424 | ANSYS, Inc. * (a) (e) | 2,991,649 | ||||||||
| 29,935 | Apartment Income REIT Corp. – (REIT) (e) | 1,159,981 | ||||||||
| 3,295 | AptarGroup, Inc. (a) | 486,639 | ||||||||
| 2,491 | ArcBest Corp. (e) | 262,850 | ||||||||
| 1,603 | Arch Capital Group Ltd. * (e) | 164,516 | ||||||||
| 1,184 | Archer-Daniels-Midland Co. (e) | 73,929 | ||||||||
| 4,255 | ASGN, Inc. * (a) (e) | 399,587 | ||||||||
| 546 | Aspen Technology, Inc. * (e) | 115,015 | ||||||||
| 1,442 | Atkore, Inc. (e) | 219,400 | ||||||||
| 4,046 | Axcelis Technologies, Inc. * (a) | 455,135 | ||||||||
| 3,192 | AZEK Co., Inc. * | 153,088 | ||||||||
| 2,459 | Balchem Corp. | 377,702 | ||||||||
| 1,616 | Bank of America Corp. (a) | 64,624 | ||||||||
| 75,000 | Berkshire Hathaway, Inc. – Class B * (a) | 31,080,000 | ||||||||
| 710 | Best Buy Co., Inc. (e) | 60,222 | ||||||||
| 1,433 | Bio-Rad Laboratories, Inc. – Class A * (e) | 411,070 | ||||||||
| 13,127 | BorgWarner, Inc. | 468,109 | ||||||||
| 2,752 | Builders FirstSource, Inc. * (e) | 442,494 | ||||||||
| 4,877 | Cactus, Inc. – Class A (a) (e) | 250,434 | ||||||||
| 3,936 | Capital One Financial Corp. (a) (e) | 541,712 | ||||||||
| 34,895 | Catalent, Inc. * (a) | 1,877,002 | ||||||||
| 1,396 | CBRE Group, Inc. – Class A * (a) | 122,946 | ||||||||
| 6,120 | Centene Corp. * (e) | 438,131 | ||||||||
| 45,914 | Cerevel Therapeutics Holdings, Inc. * | 1,870,536 | ||||||||
| 56,028 | ChampionX Corp. (a) (e) | 1,827,633 | ||||||||
| 8,504 | Ciena Corp. * | 409,638 | ||||||||
| 4,480 | Cirrus Logic, Inc. * (a) (e) | 513,856 | ||||||||
| 9,944 | Cisco Systems, Inc. (a) (e) | 462,396 | ||||||||
| 9,014 | Citigroup, Inc. (a) | 561,662 | ||||||||
| 24,512 | Cleveland-Cliffs, Inc. * (a) | 423,567 | ||||||||
| 7,582 | Cognizant Technology Solutions Corp. – Class A (e) | 501,549 | ||||||||
| 3,929 | Cohen & Steers, Inc. (e) | 276,169 | ||||||||
| 12,311 | Comcast Corp. – Class A (a) | 492,809 | ||||||||
| 226 | Cummins, Inc. (e) | 63,671 | ||||||||
| 1,378 | Curtiss-Wright Corp. (a) | 389,726 | ||||||||
| 8,430 | CVS Health Corp. (a) | 502,428 | ||||||||
| 4,362 | Discover Financial Services (a) | 535,043 | ||||||||
| 2,122 | Dolby Laboratories, Inc. – Class A (a) (e) | 171,903 | ||||||||
| 2,122 | DR Horton, Inc. (e) | 313,632 | ||||||||
| 4,268 | Dropbox, Inc. – Class A * (e) | 96,158 | ||||||||
| 10,868 | eBay, Inc. (a) (e) | 589,263 | ||||||||
| 28,656 | Endeavor Group Holdings, Inc. – Class A (a) | 768,840 | ||||||||
| 148 | EPAM Systems, Inc. * (a) | 26,334 | ||||||||
| 55,110 | Equitrans Midstream Corp. (a) | 786,971 | ||||||||
| 9,562 | Essent Group Ltd. (a) (e) | 542,165 | ||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 5,819 | Etsy, Inc. * (e) | 369,332 | ||||||||
| 160 | Everest Group Ltd. (a) | 62,549 | ||||||||
| 3,584 | Expedia Group, Inc. * (a) | 404,490 | ||||||||
| 1,390 | F5, Inc. * (e) | 234,868 | ||||||||
| 1,698 | Fabrinet * | 406,722 | ||||||||
| 7,854 | Fidelity National Financial, Inc. (e) | 395,527 | ||||||||
| 44,004 | Ford Motor Co. (a) | 533,768 | ||||||||
| 296 | Fox Corp. – Class A (e) | 10,191 | ||||||||
| 16,500 | Fox Corp. – Class B (a) | 527,010 | ||||||||
| 17,583 | Franklin Resources, Inc. (e) | 414,959 | ||||||||
| 1,266 | FTI Consulting, Inc. * (a) (e) | 271,937 | ||||||||
| 95,635 | GCI Liberty, Inc. * (c) (e) | — | ||||||||
| 5,608 | GE HealthCare Technologies, Inc. (e) | 437,424 | ||||||||
| 12,565 | General Motors Co. (a) (e) | 565,299 | ||||||||
| 14,629 | Gentex Corp. (e) | 512,015 | ||||||||
| 9,861 | Globus Medical, Inc. – Class A * (a) (e) | 661,772 | ||||||||
| 47,452 | HashiCorp, Inc. – Class A * (a) | 1,593,438 | ||||||||
| 30,631 | Hess Corp. (a) | 4,720,237 | ||||||||
| 26,329 | Hewlett Packard Enterprise Co. (a) (e) | 464,707 | ||||||||
| 3,868 | Houlihan Lokey, Inc. (a) (e) | 523,534 | ||||||||
| 18,081 | HP, Inc. (a) | 659,956 | ||||||||
| 8,168 | Incyte Corp. * (e) | 472,029 | ||||||||
| 15,235 | Intel Corp. (a) | 470,000 | ||||||||
| 2,907 | International Business Machines Corp. (a) | 485,033 | ||||||||
| 2,599 | J & J Snack Foods Corp. (e) | 422,883 | ||||||||
| 3,800 | Jazz Pharmaceuticals PLC * (e) | 399,950 | ||||||||
| 940 | John B Sanfilippo & Son, Inc. | 94,780 | ||||||||
| 659 | Kadant, Inc. (e) | 188,481 | ||||||||
| 599 | Keysight Technologies, Inc. * (e) | 82,950 | ||||||||
| 26,850 | Kinder Morgan, Inc. (e) | 523,306 | ||||||||
| 13,344 | Kraft Heinz Co. (e) | 471,977 | ||||||||
| 2,394 | Kroger Co. | 125,374 | ||||||||
| 2,796 | Lancaster Colony Corp. (e) | 518,658 | ||||||||
| 2,922 | Landstar System, Inc. (a) | 531,892 | ||||||||
| 1,953 | Lennar Corp. – Class A (a) (e) | 313,164 | ||||||||
| 41,231 | Liberty Broadband Corp. – Class C * (e) | 2,230,185 | ||||||||
| 96,199 | Liberty Global Ltd. – Class A * (a) | 1,603,637 | ||||||||
| 9,025 | Liberty Media Corp.-Liberty Formula One – Class A * (a) | 617,400 | ||||||||
| 7,534 | Malibu Boats, Inc. – Class A * (e) | 289,758 | ||||||||
| 13,820 | Match Group, Inc. * (a) (e) | 423,307 | ||||||||
| 28,160 | McGrath RentCorp | 3,068,877 | ||||||||
| 535 | Medpace Holdings, Inc. * (a) (e) | 206,692 | ||||||||
| 3,284 | Merck & Co., Inc. (a) | 412,273 | ||||||||
| 980 | Meta Platforms, Inc. – Class A (a) | 457,493 | ||||||||
| 3,745 | Moderna, Inc. * (e) | 533,850 | ||||||||
| 5,494 | Mosaic Co. (a) | 169,929 | ||||||||
| 15,698 | Neogen Corp. * (a) (e) | 206,429 | ||||||||
| 10,899 | New York Times Co. – Class A (a) | 558,029 | ||||||||
| 3,012 | Nucor Corp. (a) | 508,576 | ||||||||
| 6,890 | Ollie’s Bargain Outlet Holdings, Inc. * (e) | 567,943 | ||||||||
| 5,863 | ON Semiconductor Corp. * (e) | 428,234 | ||||||||
| 8,111 | Ovintiv, Inc. (a) | 419,095 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 4,760 | PACCAR, Inc. (e) | 511,700 | ||||||||
| 38,822 | Paramount Global – Class B (e) | 462,370 | ||||||||
| 8,818 | PayPal Holdings, Inc. * (a) | 555,446 | ||||||||
| 153,945 | Pershing Square Tontine Holdings Ltd. * (d) | — | ||||||||
| 19,135 | Pfizer, Inc. (a) | 548,409 | ||||||||
| 5,695 | Power Integrations, Inc. (a) (e) | 432,877 | ||||||||
| 587 | Preformed Line Products Co. (e) | 78,858 | ||||||||
| 3,308 | PriceSmart, Inc. (e) | 278,368 | ||||||||
| 2,674 | PulteGroup, Inc. (a) | 313,714 | ||||||||
| 1,532 | QUALCOMM, Inc. (a) | 312,605 | ||||||||
| 2,138 | RBC Bearings, Inc. * (e) | 631,309 | ||||||||
| 566 | Regeneron Pharmaceuticals, Inc. * (a) | 554,771 | ||||||||
| 51,296 | SilverBow Resources, Inc. * (a) | 2,010,803 | ||||||||
| 4,954 | Skyworks Solutions, Inc. (e) | 459,038 | ||||||||
| 2,240 | SolarEdge Technologies, Inc. * (e) | 109,738 | ||||||||
| 1,383 | Solventum Corp. * (e) | 82,067 | ||||||||
| 215,385 | Southwestern Energy Co. * (a) (e) | 1,621,849 | ||||||||
| 638 | SS&C Technologies Holdings, Inc. (a) | 39,588 | ||||||||
| 3,718 | Steel Dynamics, Inc. (e) | 497,729 | ||||||||
| 12,634 | StepStone Group, Inc. – Class A (a) | 542,504 | ||||||||
| 11,478 | Synchrony Financial (a) | 502,736 | ||||||||
| 1,469 | TE Connectivity Ltd. (a) | 219,909 | ||||||||
| 1,374 | Textron, Inc. (a) (e) | 120,376 | ||||||||
| 914 | TopBuild Corp. * (a) | 382,006 | ||||||||
| 7,607 | Tyson Foods, Inc. – Class A (a) | 435,501 | ||||||||
| 127,291 | U.S. Steel Corp. (a) (e) | 4,881,610 | ||||||||
| 224 | United Therapeutics Corp. * (a) (e) | 61,629 | ||||||||
| 905 | Universal Display Corp. (a) | 159,008 | ||||||||
| 577 | Valero Energy Corp. (a) (e) | 90,670 | ||||||||
| 13,309 | Verizon Communications, Inc. (a) | 547,665 | ||||||||
| 43,779 | Viatris, Inc. (e) | 464,057 | ||||||||
| 108,455 | Vizio Holding Corp. – Class A * | 1,164,807 | ||||||||
| 23,919 | Walgreens Boots Alliance, Inc. (e) | 387,966 | ||||||||
| 378 | Westlake Corp. (e) | 60,692 | ||||||||
| 32,145 | Westrock Co. (e) | 1,724,258 | ||||||||
| 2,192 | Woodward, Inc. (a) | 408,808 | ||||||||
| 2,548 | XPEL, Inc. * (e) | 96,824 | ||||||||
| 7,331 | Zoom Video Communications, Inc. – Class A * (a) (e) | 449,684 | ||||||||
|
|
|
|||||||||
| Total United States | 117,352,836 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $169,364,389) |
172,417,718 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (f) — 0.6% | ||||||||||
| Brazil — 0.0% | ||||||||||
| 1,278 | Petroleo Brasileiro SA ADR (a) | 18,927 | ||||||||
|
|
|
|||||||||
| Germany — 0.6% | ||||||||||
| 2,025 | Bayerische Motoren Werke AG (a) | 195,767 | ||||||||
| 8,636 | Porsche Automobil Holding SE | 476,522 | ||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares / Par Value† |
Description | Value ($) | ||||||||
| Germany — continued | ||||||||||
| 3,949 | Volkswagen AG (a) | 496,236 | ||||||||
|
|
|
|||||||||
| Total Germany | 1,168,525 | |||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $1,134,761) |
1,187,452 | |||||||||
|
|
|
|||||||||
| RIGHTS/WARRANTS — 0.3% | ||||||||||
| United States — 0.3% | ||||||||||
| 195,149 | Bristol-Myers Squibb Co. * (c) | 429,328 | ||||||||
| 13,635 | Contra Abiomed, Inc. * (c) | 23,861 | ||||||||
| 38,486 | Pershing Square Holdings Ltd. * (c) | 11,546 | ||||||||
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS (COST $298,336) |
464,735 | |||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — 1.7% | ||||||||||
| United States — 1.7% | ||||||||||
| 1,356,086 | Altaba, Inc.* (c) | 3,186,802 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $2,523,375) |
3,186,802 | |||||||||
|
|
|
|||||||||
| DEBT OBLIGATIONS — 44.9% | ||||||||||
| United States — 44.9% | ||||||||||
| U.S. Government — 20.9% | ||||||||||
| 25,550,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.53%, due 01/31/25 (a) (g) |
25,577,860 | ||||||||
| 1,185,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.17%, 5.49%, due 04/30/25 (a) (g) |
1,186,261 | ||||||||
| 4,967,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.17%, 5.50%, due 10/31/25 (a) (g) |
4,973,372 | ||||||||
| 7,290,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 5.48%, due 04/30/26 (a) (g) |
7,293,383 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 39,030,876 | |||||||||
|
|
|
|||||||||
| U.S. Government Agency — 24.0% | ||||||||||
| 2,500,000 | Uniform Mortgage-Backed Security, TBA, 5.50%, due 06/01/54 |
2,459,447 | ||||||||
| 42,500,000 | Uniform Mortgage-Backed Security, TBA, 6.00%, due 06/01/54 |
42,558,369 | ||||||||
|
|
|
|||||||||
| Total U.S. Government Agency | 45,017,816 | |||||||||
|
|
|
|||||||||
| Total United States | 84,048,692 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $84,005,530) |
84,048,692 | |||||||||
|
|
|
|||||||||
| Shares / Par Value† |
Description | Value ($) | ||||||||
| MUTUAL FUNDS — 2.0% |
| |||||||||
| United States — 2.0% | ||||||||||
| Affiliated Issuers — 2.0% | ||||||||||
| 160,655 | GMO Resources Fund, Class VI | 3,683,820 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $3,875,000) |
3,683,820 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 24.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 6.8% | ||||||||||
| JPY |
2,000,000,000 | Japan Treasury Discount Bills, Zero Coupon, due 07/16/24 | 12,716,819 | |||||||
|
|
|
|||||||||
| Money Market Funds — 0.8% | ||||||||||
| 1,492,250 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (h) |
|
1,492,250 |
| ||||||
|
|
|
|||||||||
| Repurchase Agreements — 16.6% | ||||||||||
| 31,002,790 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 05/31/24, maturing on 06/03/24 with a maturity value of $31,016,483 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 $31,484,633. | 31,002,790 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $45,683,899) |
45,211,859 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 165.8% (Cost $306,885,290) |
310,201,078 | |||||||||
|
|
|
|||||||||
| SECURITIES SOLD SHORT — (60.4)% | ||||||||||
| Common Stocks — (45.8)% | ||||||||||
| Australia — (1.2)% | ||||||||||
| (6,832 | ) | ASX Ltd. | (284,503 | ) | ||||||
| (5,025 | ) | CAR Group Ltd. | (117,337 | ) | ||||||
| (1,760 | ) | Cochlear Ltd. | (379,266 | ) | ||||||
| (18,551 | ) | IDP Education Ltd. | (198,498 | ) | ||||||
| (50,175 | ) | Lottery Corp. Ltd. | (163,392 | ) | ||||||
| (685 | ) | Mineral Resources Ltd. | (32,913 | ) | ||||||
| (6,150 | ) | Ramsay Health Care Ltd. | (193,545 | ) | ||||||
| (201 | ) | REA Group Ltd. | (25,137 | ) | ||||||
| (5,791 | ) | WiseTech Global Ltd. | (376,382 | ) | ||||||
| (5,983 | ) | Xero Ltd. * | (543,222 | ) | ||||||
|
|
|
|||||||||
| Total Australia | (2,314,195 | ) | ||||||||
|
|
|
|||||||||
| Austria — (0.1)% | ||||||||||
| (3,070 | ) | Verbund AG | (252,068 | ) | ||||||
|
|
|
|||||||||
| Belgium — (0.3)% | ||||||||||
| (7,574 | ) | Anheuser-Busch InBev SA | (477,856 | ) | ||||||
| (9 | ) | Lotus Bakeries NV | (95,498 | ) | ||||||
|
|
|
|||||||||
| Total Belgium | (573,354 | ) | ||||||||
|
|
|
|||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Canada — (2.2)% | ||||||||||
| (2,192 | ) | Agnico Eagle Mines Ltd. | (149,516 | ) | ||||||
| (22,400 | ) | AltaGas Ltd. | (505,374 | ) | ||||||
| (7,039 | ) | Brookfield Renewable Corp. – Class A | (222,010 | ) | ||||||
| (10,540 | ) | Cameco Corp. | (585,075 | ) | ||||||
| (14,941 | ) | Enbridge, Inc. | (546,542 | ) | ||||||
| (4,015 | ) | Franco-Nevada Corp. | (497,057 | ) | ||||||
| (14,745 | ) | GFL Environmental, Inc. | (464,025 | ) | ||||||
| (7,516 | ) | Pan American Silver Corp. | (165,352 | ) | ||||||
| (15,296 | ) | Pembina Pipeline Corp. | (567,941 | ) | ||||||
| (6,460 | ) | Restaurant Brands International, Inc. | (443,027 | ) | ||||||
|
|
|
|||||||||
| Total Canada | (4,145,919 | ) | ||||||||
|
|
|
|||||||||
| China — (0.0)% | ||||||||||
| (565 | ) | Yum China Holdings, Inc. | (20,204 | ) | ||||||
|
|
|
|||||||||
| Denmark — (0.2)% | ||||||||||
| (3,031 | ) | Coloplast AS – Class B | (364,560 | ) | ||||||
| (648 | ) | Novo Nordisk AS – Class B | (87,796 | ) | ||||||
|
|
|
|||||||||
| Total Denmark | (452,356 | ) | ||||||||
|
|
|
|||||||||
| Finland — (0.0)% | ||||||||||
| (1,979 | ) | Elisa OYJ | (92,213 | ) | ||||||
|
|
|
|||||||||
| France — (1.0)% | ||||||||||
| (9,647 | ) | Accor SA * | (420,865 | ) | ||||||
| (2,384 | ) | Aeroports de Paris SA | (341,617 | ) | ||||||
| (26,150 | ) | Getlink SE | (460,829 | ) | ||||||
| (223 | ) | Hermes International SCA | (529,317 | ) | ||||||
| (163 | ) | Sartorius Stedim Biotech | (32,470 | ) | ||||||
|
|
|
|||||||||
| Total France | (1,785,098 | ) | ||||||||
|
|
|
|||||||||
| Germany — (1.5)% | ||||||||||
| (2,262 | ) | adidas AG | (572,897 | ) | ||||||
| (540 | ) | Covestro AG * | (29,095 | ) | ||||||
| (14,829 | ) | Delivery Hero SE * | (454,240 | ) | ||||||
| (1,978 | ) | MTU Aero Engines AG | (494,100 | ) | ||||||
| (316 | ) | Rational AG | (269,664 | ) | ||||||
| (21 | ) | Rheinmetall AG | (12,105 | ) | ||||||
| (7,023 | ) | Siemens Energy AG * | (191,245 | ) | ||||||
| (4,030 | ) | Symrise AG | (481,386 | ) | ||||||
| (2,212 | ) | Talanx AG | (176,444 | ) | ||||||
| (888 | ) | Vonovia SE | (27,915 | ) | ||||||
| (2,716 | ) | Zalando SE * | (72,135 | ) | ||||||
|
|
|
|||||||||
| Total Germany | (2,781,226 | ) | ||||||||
|
|
|
|||||||||
| Ireland — (0.8)% | ||||||||||
| (32,145 | ) | Smurfit Kappa Group PLC | (1,567,807 | ) | ||||||
|
|
|
|||||||||
| Israel — (0.3)% | ||||||||||
| (2,099 | ) | CyberArk Software Ltd. * | (481,196 | ) | ||||||
| (261 | ) | Monday.com Ltd. * | (58,962 | ) | ||||||
|
|
|
|||||||||
| Total Israel | (540,158 | ) | ||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Italy — (1.0)% | ||||||||||
| (12,146 | ) | Amplifon SpA | (448,954 | ) | ||||||
| (20 | ) | DiaSorin SpA | (2,158 | ) | ||||||
| (1,316 | ) | Ferrari NV | (542,300 | ) | ||||||
| (32,479 | ) | FinecoBank Banca Fineco SpA | (526,762 | ) | ||||||
| (34,731 | ) | Infrastrutture Wireless Italiane SpA | (380,788 | ) | ||||||
|
|
|
|||||||||
| Total Italy | (1,900,962 | ) | ||||||||
|
|
|
|||||||||
| Japan — (2.7)% | ||||||||||
| (21,800 | ) | Aeon Co. Ltd. | (470,207 | ) | ||||||
| (6,800 | ) | Asahi Intecc Co. Ltd. | (98,265 | ) | ||||||
| (1,400 | ) | Disco Corp. | (550,702 | ) | ||||||
| (2,000 | ) | East Japan Railway Co. | (34,683 | ) | ||||||
| (400 | ) | Ibiden Co. Ltd. | (16,175 | ) | ||||||
| (16,700 | ) | Japan Exchange Group, Inc. | (392,533 | ) | ||||||
| (3,700 | ) | Keisei Electric Railway Co. Ltd. | (132,891 | ) | ||||||
| (6,800 | ) | Kintetsu Group Holdings Co. Ltd. | (144,569 | ) | ||||||
| (7,300 | ) | Kobe Bussan Co. Ltd. | (161,466 | ) | ||||||
| (2,000 | ) | Lasertec Corp. | (514,232 | ) | ||||||
| (500 | ) | McDonald’s Holdings Co. Japan Ltd. | (20,481 | ) | ||||||
| (22,500 | ) | MonotaRO Co. Ltd. | (237,677 | ) | ||||||
| (16,000 | ) | Oriental Land Co. Ltd. | (447,306 | ) | ||||||
| (90,600 | ) | Rakuten Group, Inc. * | (471,222 | ) | ||||||
| (3,200 | ) | Sharp Corp. * | (19,773 | ) | ||||||
| (6,800 | ) | Shiseido Co. Ltd. | (215,813 | ) | ||||||
| (41,700 | ) | SoftBank Corp. | (499,992 | ) | ||||||
| (3,500 | ) | SoftBank Group Corp. | (202,536 | ) | ||||||
| (4,700 | ) | Tobu Railway Co. Ltd. | (83,065 | ) | ||||||
| (20,000 | ) | Tokyu Corp. | (233,339 | ) | ||||||
| (2,400 | ) | West Japan Railway Co. | (47,881 | ) | ||||||
| (1,700 | ) | Zensho Holdings Co. Ltd. | (66,936 | ) | ||||||
|
|
|
|||||||||
| Total Japan | (5,061,744 | ) | ||||||||
|
|
|
|||||||||
| Netherlands — (0.9)% | ||||||||||
| (337 | ) | Adyen NV * | (437,016 | ) | ||||||
| (2,907 | ) | BE Semiconductor Industries NV | (432,468 | ) | ||||||
| (7,827 | ) | OCI NV | (214,663 | ) | ||||||
| (17,182 | ) | Universal Music Group NV | (535,454 | ) | ||||||
|
|
|
|||||||||
| Total Netherlands | (1,619,601 | ) | ||||||||
|
|
|
|||||||||
| Peru — (0.3)% | ||||||||||
| (4,370 | ) | Southern Copper Corp. | (518,413 | ) | ||||||
|
|
|
|||||||||
| Singapore — (0.4)% | ||||||||||
| (126,597 | ) | Grab Holdings Ltd. – Class A * | (464,611 | ) | ||||||
| (239,624 | ) | Seatrium Ltd. * | (312,782 | ) | ||||||
| (5,100 | ) | Singapore Airlines Ltd. | (25,610 | ) | ||||||
|
|
|
|||||||||
| Total Singapore | (803,003 | ) | ||||||||
|
|
|
|||||||||
| Spain — (0.6)% | ||||||||||
| (14,075 | ) | Cellnex Telecom SA * | (514,161 | ) | ||||||
| (14,066 | ) | Ferrovial SE | (555,898 | ) | ||||||
|
|
|
|||||||||
| Total Spain | (1,070,059 | ) | ||||||||
|
|
|
|||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Sweden — (0.5)% | ||||||||||
| (15,618 | ) | Beijer Ref AB | (255,663 | ) | ||||||
| (14,621 | ) | EQT AB | (447,867 | ) | ||||||
| (22 | ) | Evolution AB | (2,373 | ) | ||||||
| (7,721 | ) | H & M Hennes & Mauritz AB – Class B | (136,524 | ) | ||||||
|
|
|
|||||||||
| Total Sweden | (842,427 | ) | ||||||||
|
|
|
|||||||||
| Switzerland — (0.3)% | ||||||||||
| (2,176 | ) | Avolta AG | (88,354 | ) | ||||||
| (332 | ) | Bachem Holding AG | (30,015 | ) | ||||||
| (154 | ) | Partners Group Holding AG | (207,257 | ) | ||||||
| (4,112 | ) | SIG Group AG | (85,643 | ) | ||||||
| (180 | ) | VAT Group AG | (98,710 | ) | ||||||
|
|
|
|||||||||
| Total Switzerland | (509,979 | ) | ||||||||
|
|
|
|||||||||
| United Kingdom — (2.3)% | ||||||||||
| (2,515 | ) | Admiral Group PLC | (87,257 | ) | ||||||
| (45,970 | ) | Auto Trader Group PLC | (483,580 | ) | ||||||
| (2,274 | ) | Flutter Entertainment PLC * | (437,596 | ) | ||||||
| (19,193 | ) | Hargreaves Lansdown PLC | (260,555 | ) | ||||||
| (50,713 | ) | Informa PLC | (551,961 | ) | ||||||
| (4,659 | ) | InterContinental Hotels Group PLC | (473,116 | ) | ||||||
| (4,809 | ) | London Stock Exchange Group PLC | (563,694 | ) | ||||||
| (51,501 | ) | M&G PLC | (131,674 | ) | ||||||
| (2,468 | ) | Melrose Industries PLC | (19,530 | ) | ||||||
| (34,626 | ) | Phoenix Group Holdings PLC | (220,332 | ) | ||||||
| (93,834 | ) | Rolls-Royce Holdings PLC * | (548,072 | ) | ||||||
| (7,074 | ) | Severn Trent PLC | (216,159 | ) | ||||||
| (520 | ) | Spirax-Sarco Engineering PLC | (59,462 | ) | ||||||
| (28,138 | ) | Wise PLC – Class A * | (295,675 | ) | ||||||
|
|
|
|||||||||
| Total United Kingdom | (4,348,663 | ) | ||||||||
|
|
|
|||||||||
| United States — (29.2)% | ||||||||||
| (1,956 | ) | AbbVie, Inc. | (315,385 | ) | ||||||
| (27,474 | ) | AES Corp. | (593,164 | ) | ||||||
| (17,044 | ) | Alcoa Corp. | (754,538 | ) | ||||||
| (3,071 | ) | Alnylam Pharmaceuticals, Inc. * | (455,829 | ) | ||||||
| (8,103 | ) | Amedisys, Inc. * | (738,588 | ) | ||||||
| (1,181 | ) | American Tower Corp. – (REIT) | (231,169 | ) | ||||||
| (1,733 | ) | Amgen, Inc. | (530,038 | ) | ||||||
| (765 | ) | Analog Devices, Inc. | (179,385 | ) | ||||||
| (2,183 | ) | Arthur J Gallagher & Co. | (553,019 | ) | ||||||
| (1,637 | ) | Axon Enterprise, Inc. * | (461,094 | ) | ||||||
| (1,749 | ) | Bill Holdings, Inc. * | (91,035 | ) | ||||||
| (2,850 | ) | Boeing Co. * | (506,189 | ) | ||||||
| (438 | ) | Broadcom, Inc. | (581,905 | ) | ||||||
| (2,249 | ) | Burlington Stores, Inc. * | (539,872 | ) | ||||||
| (10,964 | ) | Caesars Entertainment, Inc. * | (389,880 | ) | ||||||
| (5,361 | ) | Celsius Holdings, Inc. * | (428,773 | ) | ||||||
| (8,676 | ) | Charter Communications, Inc. – Class A * | (2,491,053 | ) | ||||||
| (18,676 | ) | Chesapeake Energy Corp. | (1,698,209 | ) | ||||||
| (31,406 | ) | Chevron Corp. | (5,097,194 | ) | ||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| (170 | ) | Chipotle Mexican Grill, Inc. * | (532,018 | ) | ||||||
| (5,799 | ) | Cloudflare, Inc. – Class A * | (392,534 | ) | ||||||
| (1,052 | ) | Coinbase Global, Inc. – Class A * | (237,668 | ) | ||||||
| (133,034 | ) | Crescent Energy Co. | (1,676,228 | ) | ||||||
| (7,100 | ) | Dayforce, Inc. * | (351,166 | ) | ||||||
| (4,394 | ) | Dexcom, Inc. * | (521,875 | ) | ||||||
| (964 | ) | Dominion Energy, Inc. | (51,979 | ) | ||||||
| (11,997 | ) | DraftKings, Inc. – Class A * | (421,455 | ) | ||||||
| (29,968 | ) | EQT Corp. | (1,231,385 | ) | ||||||
| (1,494 | ) | Equity LifeStyle Properties, Inc. – (REIT) | (93,778 | ) | ||||||
| (723 | ) | Erie Indemnity Co. – Class A | (262,037 | ) | ||||||
| (7,670 | ) | Exact Sciences Corp. * | (348,602 | ) | ||||||
| (429 | ) | Fair Isaac Corp. * | (553,380 | ) | ||||||
| (309 | ) | Fastenal Co. | (20,388 | ) | ||||||
| (7,880 | ) | Fidelity National Information Services, Inc. | (597,934 | ) | ||||||
| (434 | ) | Fortinet, Inc. * | (25,745 | ) | ||||||
| (959 | ) | Gartner, Inc. * | (402,464 | ) | ||||||
| (846 | ) | HubSpot, Inc. * | (516,948 | ) | ||||||
| (1,551 | ) | Hyatt Hotels Corp. – Class A | (228,726 | ) | ||||||
| (2,546 | ) | Insulet Corp. * | (451,126 | ) | ||||||
| (73,982 | ) | International Paper Co. | (3,335,848 | ) | ||||||
| (1,816 | ) | IQVIA Holdings, Inc. * | (397,867 | ) | ||||||
| (3,492 | ) | Iron Mountain, Inc. – (REIT) | (281,769 | ) | ||||||
| (25,227 | ) | Juniper Networks, Inc. | (899,847 | ) | ||||||
| (28,816 | ) | Kroger Co. | (1,509,094 | ) | ||||||
| (575 | ) | Lamb Weston Holdings, Inc. | (50,767 | ) | ||||||
| (4,761 | ) | Lattice Semiconductor Corp. * | (353,457 | ) | ||||||
| (91,377 | ) | Liberty Global Ltd. – Class C * | (1,559,805 | ) | ||||||
| (15,506 | ) | Liberty Media Corp.-Liberty Formula One – Class C * | (1,149,615 | ) | ||||||
| (1,284 | ) | Linde PLC | (559,208 | ) | ||||||
| (5,464 | ) | Live Nation Entertainment, Inc. * | (512,195 | ) | ||||||
| (1,001 | ) | Manhattan Associates, Inc. * | (219,760 | ) | ||||||
| (695 | ) | MarketAxess Holdings, Inc. | (138,256 | ) | ||||||
| (959 | ) | Marvell Technology, Inc. | (65,989 | ) | ||||||
| (1,212 | ) | Mastercard, Inc. – Class A | (541,849 | ) | ||||||
| (937 | ) | McKesson Corp. | (533,706 | ) | ||||||
| (342 | ) | MercadoLibre, Inc. * | (590,148 | ) | ||||||
| (1,290 | ) | MongoDB, Inc. * | (304,517 | ) | ||||||
| (1,004 | ) | Moody’s Corp. | (398,578 | ) | ||||||
| (83 | ) | Motorola Solutions, Inc. | (30,288 | ) | ||||||
| (1,000 | ) | MSCI, Inc. | (495,180 | ) | ||||||
| (13,824 | ) | Newmont Corp. | (579,779 | ) | ||||||
| (4,315 | ) | NiSource, Inc. | (125,394 | ) | ||||||
| (5,001 | ) | Okta, Inc. * | (443,489 | ) | ||||||
| (7,151 | ) | ONEOK, Inc. | (579,231 | ) | ||||||
| (22,294 | ) | Palantir Technologies, Inc. – Class A * | (483,334 | ) | ||||||
| (461 | ) | Palo Alto Networks, Inc. * | (135,954 | ) | ||||||
| (3,390 | ) | Paychex, Inc. | (407,342 | ) | ||||||
| (1,321 | ) | PTC, Inc. * | (232,813 | ) | ||||||
| (2,676 | ) | Repligen Corp. * | (398,965 | ) | ||||||
| (19,037 | ) | Rivian Automotive, Inc. – Class A * | (207,884 | ) | ||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| (12,197 | ) | ROBLOX Corp. – Class A * | (410,063 | ) | ||||||
| (6,495 | ) | Roku, Inc. * | (372,813 | ) | ||||||
| (11,007 | ) | Rollins, Inc. | (502,910 | ) | ||||||
| (7,666 | ) | Samsara, Inc. – Class A * | (260,107 | ) | ||||||
| (41,183 | ) | Schlumberger NV | (1,889,888 | ) | ||||||
| (864 | ) | Seagate Technology Holdings PLC | (80,559 | ) | ||||||
| (717 | ) | Simon Property Group, Inc. – (REIT) | (108,489 | ) | ||||||
| (1,794 | ) | Snap, Inc. – Class A * | (26,946 | ) | ||||||
| (3,272 | ) | Snowflake, Inc. – Class A * | (445,581 | ) | ||||||
| (431 | ) | Starbucks Corp. | (34,575 | ) | ||||||
| (74 | ) | Super Micro Computer, Inc. * | (58,054 | ) | ||||||
| (3,254 | ) | Synopsys, Inc. * | (1,824,843 | ) | ||||||
| (2,991 | ) | Tesla, Inc. * | (532,637 | ) | ||||||
| (119 | ) | Texas Pacific Land Corp. | (73,103 | ) | ||||||
| (21,103 | ) | Toast, Inc. – Class A * | (511,326 | ) | ||||||
| (1,221 | ) | Trade Desk, Inc. – Class A * | (113,284 | ) | ||||||
| (434 | ) | TransDigm Group, Inc. | (582,962 | ) | ||||||
| (3,548 | ) | Uber Technologies, Inc. * | (229,059 | ) | ||||||
| (5,789 | ) | Unity Software, Inc. * | (105,765 | ) | ||||||
| (1,900 | ) | Vail Resorts, Inc. | (358,568 | ) | ||||||
| (1,509 | ) | Vistra Corp. | (149,512 | ) | ||||||
| (1,110 | ) | Watsco, Inc. | (527,139 | ) | ||||||
| (14,328 | ) | Williams Cos., Inc. | (594,755 | ) | ||||||
| (31,779 | ) | WillScot Mobile Mini Holdings Corp. * | (1,253,046 | ) | ||||||
| (918 | ) | Zillow Group, Inc. – Class C * | (37,592 | ) | ||||||
| (2,402 | ) | Zscaler, Inc. * | (408,244 | ) | ||||||
|
|
|
|||||||||
| Total United States | (54,567,503 | ) | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (PROCEEDS $81,913,658) |
(85,766,952 | ) | ||||||||
|
|
|
|||||||||
| Shares / Par Value† |
Description | Value ($) | ||||||||
| PREFERRED STOCKS (f) — (0.2)% | ||||||||||
| Germany — (0.2)% | ||||||||||
| (1,370 | ) | Sartorius AG | (363,143 | ) | ||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (PROCEEDS $542,827) |
(363,143 | ) | ||||||||
|
|
|
|||||||||
| DEBT OBLIGATIONS — (14.4)% | ||||||||||
| United States — (14.4)% | ||||||||||
| U.S. Government Agency — (14.4)% | ||||||||||
| (30,000,000 | ) | Uniform Mortgage-Backed Security, TBA, 2.50%, due 06/01/39 |
(26,964,014 | ) | ||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (PROCEEDS $26,885,156) |
(26,964,014 | ) | ||||||||
|
|
|
|||||||||
| TOTAL SECURITIES SOLD SHORT (PROCEEDS $109,341,641) |
(113,094,109 | ) | ||||||||
|
|
|
|||||||||
| Other Assets and Liabilities (net) — (5.4)% | (9,997,555 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $187,109,414 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at May 31, 2024 is as follows:
Forward Currency Contracts
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
| 07/29/2024 | UBSA | AUD | 291,689 | USD | 194,974 | 593 | ||||||||||||||||
| 06/04/2024 | BCLY | BRL | 5,393,398 | USD | 1,037,791 | 10,653 | ||||||||||||||||
| 06/04/2024 | MSCI | BRL | 8,878,578 | USD | 1,713,702 | 22,835 | ||||||||||||||||
| 08/23/2024 | GS | CLP | 90,000,000 | USD | 100,012 | 2,042 | ||||||||||||||||
| 08/23/2024 | MSCI | CLP | 90,000,000 | USD | 99,061 | 1,091 | ||||||||||||||||
| 07/29/2024 | SSB | IDR | 1,185,857,000 | USD | 72,921 | 99 | ||||||||||||||||
| 08/09/2024 | CITI | ILS | 717,605 | USD | 194,890 | 669 | ||||||||||||||||
| 08/06/2024 | MSCI | INR | 6,000,000 | USD | 72,022 | 254 | ||||||||||||||||
| 08/06/2024 | SSB | INR | 10,000,000 | USD | 119,764 | 151 | ||||||||||||||||
| 08/13/2024 | CITI | JPY | 330,454,400 | USD | 2,154,216 | 30,668 | ||||||||||||||||
| 07/29/2024 | DB | JPY | 1,198,006,614 | USD | 7,713,807 | 32,433 | ||||||||||||||||
| 07/24/2024 | GS | JPY | 221,000,000 | USD | 1,421,734 | 5,791 | ||||||||||||||||
| 07/16/2024 | MSCI | JPY | 2,000,000,000 | USD | 13,405,733 | 607,146 | ||||||||||||||||
| 07/24/2024 | MSCI | JPY | 90,000,000 | USD | 579,174 | 2,546 | ||||||||||||||||
| 07/29/2024 | SSB | JPY | 1,198,006,613 | USD | 7,712,977 | 31,604 | ||||||||||||||||
| 08/23/2024 | SSB | KRW | 270,000,000 | USD | 197,972 | 1,894 | ||||||||||||||||
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
| 06/04/2024 | BCLY | MXN | 37,504,948 | USD | 2,212,982 | 2,452 | ||||||||||||||||
| 06/04/2024 | JPM | MXN | 4,160,874 | USD | 248,126 | 2,886 | ||||||||||||||||
| 06/04/2024 | MSCI | MXN | 37,504,948 | USD | 2,211,377 | 847 | ||||||||||||||||
| 07/16/2024 | BOA | NOK | 4,600,000 | USD | 439,592 | 887 | ||||||||||||||||
| 06/26/2024 | SSB | NOK | 16,054,183 | USD | 1,533,676 | 3,335 | ||||||||||||||||
| 06/25/2024 | MSCI | PEN | 1,040,000 | USD | 280,685 | 1,593 | ||||||||||||||||
| 07/29/2024 | CITI | PHP | 5,000,000 | USD | 85,447 | 72 | ||||||||||||||||
| 08/20/2024 | JPM | PLN | 1,150,000 | USD | 292,605 | 951 | ||||||||||||||||
| 07/24/2024 | CITI | SGD | 360,000 | USD | 267,305 | 238 | ||||||||||||||||
| 07/24/2024 | MSCI | SGD | 120,000 | USD | 89,045 | 22 | ||||||||||||||||
| 08/20/2024 | BCLY | THB | 25,552,251 | USD | 711,348 | 12,543 | ||||||||||||||||
| 08/20/2024 | MSCI | THB | 3,300,000 | USD | 91,848 | 1,599 | ||||||||||||||||
| 08/20/2024 | SSB | THB | 3,900,000 | USD | 107,566 | 909 | ||||||||||||||||
| 07/24/2024 | GS | TWD | 3,300,000 | USD | 103,270 | 1,598 | ||||||||||||||||
| 07/24/2024 | SSB | TWD | 15,300,000 | USD | 474,616 | 3,227 | ||||||||||||||||
| 06/11/2024 | CITI | USD | 212,258 | AUD | 320,000 | 697 | ||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2024 (Unaudited)
Forward Currency Contracts — continued
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
| 06/27/2024 | MSCI | USD | 447,466 | AUD | 688,151 | 10,702 | ||||||||||||||||
| 06/11/2024 | SSB | USD | 852,570 | AUD | 1,290,000 | 5,904 | ||||||||||||||||
| 07/10/2024 | BCLY | USD | 7,554,979 | CAD | 10,367,332 | 57,204 | ||||||||||||||||
| 06/28/2024 | MSCI | USD | 811,191 | CAD | 1,110,000 | 3,622 | ||||||||||||||||
| 06/28/2024 | SSB | USD | 2,517,580 | CAD | 3,432,285 | 1,944 | ||||||||||||||||
| 07/12/2024 | DB | USD | 2,086,258 | CHF | 1,880,000 | 6,215 | ||||||||||||||||
| 07/16/2024 | BOA | USD | 119,040 | CZK | 2,800,000 | 4,063 | ||||||||||||||||
| 07/16/2024 | BBH | USD | 101,028 | CZK | 2,400,000 | 4,489 | ||||||||||||||||
| 07/16/2024 | MSCI | USD | 152,108 | CZK | 3,600,000 | 6,168 | ||||||||||||||||
| 07/31/2024 | CITI | USD | 651,288 | EUR | 600,000 | 1,417 | ||||||||||||||||
| 07/31/2024 | JPM | USD | 1,726,111 | EUR | 1,586,880 | 164 | ||||||||||||||||
| 07/31/2024 | MSCI | USD | 695,101 | EUR | 640,000 | 1,118 | ||||||||||||||||
| 07/16/2024 | BCLY | USD | 1,086,969 | GBP | 870,000 | 21,860 | ||||||||||||||||
| 07/29/2024 | BCLY | USD | 3,432,549 | GBP | 2,696,883 | 4,892 | ||||||||||||||||
| 07/16/2024 | SSB | USD | 596,805 | GBP | 470,000 | 2,218 | ||||||||||||||||
| 08/09/2024 | MSCI | USD | 108,013 | ILS | 400,000 | 248 | ||||||||||||||||
| 08/06/2024 | BCLY | USD | 311,332 | INR | 26,073,064 | 535 | ||||||||||||||||
| 07/16/2024 | BOA | USD | 309,726 | NOK | 3,400,000 | 14,534 | ||||||||||||||||
| 06/26/2024 | BCLY | USD | 197,060 | NOK | 2,154,727 | 8,336 | ||||||||||||||||
| 07/16/2024 | CITI | USD | 5,156,292 | NOK | 56,027,768 | 187,113 | ||||||||||||||||
| 06/26/2024 | MSCI | USD | 17,829,945 | NOK | 194,370,471 | 698,128 | ||||||||||||||||
| 08/30/2024 | CITI | USD | 770,873 | NZD | 1,260,000 | 3,613 | ||||||||||||||||
| 06/25/2024 | CITI | USD | 74,557 | PEN | 280,000 | 583 | ||||||||||||||||
| 06/25/2024 | GS | USD | 191,987 | PEN | 720,000 | 1,230 | ||||||||||||||||
| 07/25/2024 | DB | USD | 54,458 | RON | 250,000 | 9 | ||||||||||||||||
| 07/10/2024 | BCLY | USD | 2,478,611 | SEK | 26,755,521 | 68,274 | ||||||||||||||||
| 07/10/2024 | GS | USD | 198,260 | SEK | 2,100,000 | 1,642 | ||||||||||||||||
| 07/24/2024 | SSB | USD | 120,061 | TWD | 3,900,000 | 96 | ||||||||||||||||
| 06/28/2024 | BOA | USD | 115,753 | ZAR | 2,200,000 | 1,132 | ||||||||||||||||
| 06/28/2024 | MSCI | USD | 20,969 | ZAR | 400,000 | 283 | ||||||||||||||||
| 06/11/2024 | CITI | AUD | 2,630,000 | USD | 1,745,215 | (5,006 | ) | |||||||||||||||
| 06/27/2024 | MSCI | AUD | 4,370,576 | USD | 2,862,432 | (47,476 | ) | |||||||||||||||
| 07/29/2024 | MSCI | AUD | 9,630,269 | USD | 6,392,717 | (24,890 | ) | |||||||||||||||
| 06/28/2024 | BCLY | CAD | 2,830,000 | USD | 2,067,385 | (10,022 | ) | |||||||||||||||
| 07/12/2024 | DB | CHF | 290,000 | USD | 321,658 | (1,117 | ) | |||||||||||||||
| 07/12/2024 | MSCI | CHF | 6,577,275 | USD | 7,290,653 | (29,972 | ) | |||||||||||||||
| 07/31/2024 | SSB | CHF | 5,926,098 | USD | 6,541,994 | (68,136 | ) | |||||||||||||||
| 07/31/2024 | UBSA | CHF | 5,926,098 | USD | 6,542,680 | (67,450 | ) | |||||||||||||||
| 08/23/2024 | GS | COP | 280,000,000 | USD | 71,331 | (217 | ) | |||||||||||||||
| 07/16/2024 | CITI | CZK | 1,400,000 | USD | 61,468 | (83 | ) | |||||||||||||||
| 07/16/2024 | GS | CZK | 8,570,976 | USD | 360,353 | (16,474 | ) | |||||||||||||||
| 07/31/2024 | MSCI | EUR | 5,040,000 | USD | 5,416,462 | (66,263 | ) | |||||||||||||||
| 07/16/2024 | CITI | GBP | 680,000 | USD | 854,481 | (12,190 | ) | |||||||||||||||
| 06/14/2024 | DB | HUF | 75,479,461 | USD | 210,040 | (42 | ) | |||||||||||||||
| 08/06/2024 | MSCI | INR | 9,000,000 | USD | 107,481 | (171 | ) | |||||||||||||||
| 07/16/2024 | BOA | NOK | 3,400,000 | USD | 323,206 | (1,054 | ) | |||||||||||||||
| 06/26/2024 | BCLY | NOK | 18,360,344 | USD | 1,727,456 | (22,716 | ) | |||||||||||||||
| 07/16/2024 | CITI | NOK | 7,900,000 | USD | 739,193 | (14,235 | ) | |||||||||||||||
| 07/31/2024 | SSB | NZD | 3,559,105 | USD | 2,185,491 | (2,273 | ) | |||||||||||||||
| 08/30/2024 | SSB | NZD | 6,600,000 | USD | 4,047,755 | (9,076 | ) | |||||||||||||||
| 08/20/2024 | CITI | PLN | 50,000 | USD | 12,639 | (42 | ) | |||||||||||||||
| 07/25/2024 | BCLY | RON | 3,541,896 | USD | 760,783 | (10,882 | ) | |||||||||||||||
| 07/25/2024 | CITI | RON | 700,000 | USD | 152,216 | (292 | ) | |||||||||||||||
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
| 07/10/2024 | BOA | SEK | 5,500,000 | USD | 523,028 | (523 | ) | |||||||||||||||
| 07/15/2024 | BCLY | SEK | 2,512,612 | USD | 233,293 | (5,945 | ) | |||||||||||||||
| 07/15/2024 | DB | SEK | 3,583,750 | USD | 331,157 | (10,070 | ) | |||||||||||||||
| 07/24/2024 | CITI | SGD | 160,000 | USD | 117,858 | (838 | ) | |||||||||||||||
| 07/24/2024 | SSB | SGD | 885,848 | USD | 654,043 | (3,126 | ) | |||||||||||||||
| 08/20/2024 | MSCI | THB | 9,000,000 | USD | 246,114 | (19 | ) | |||||||||||||||
| 07/24/2024 | CITI | TWD | 21,343,349 | USD | 656,886 | (696 | ) | |||||||||||||||
| 06/04/2024 | BCLY | USD | 1,144,669 | BRL | 5,741,429 | (51,251 | ) | |||||||||||||||
| 08/02/2024 | BCLY | USD | 1,031,420 | BRL | 5,393,398 | (10,019 | ) | |||||||||||||||
| 06/04/2024 | MSCI | USD | 1,700,667 | BRL | 8,530,547 | (76,080 | ) | |||||||||||||||
| 08/02/2024 | MSCI | USD | 1,565,463 | BRL | 8,182,516 | (15,859 | ) | |||||||||||||||
| 08/02/2024 | SSB | USD | 124,046 | BRL | 650,000 | (949 | ) | |||||||||||||||
| 08/23/2024 | MSCI | USD | 546,002 | CLP | 484,096,500 | (19,034 | ) | |||||||||||||||
| 08/23/2024 | GS | USD | 30,667 | COP | 120,000,000 | (3 | ) | |||||||||||||||
| 08/23/2024 | MSCI | USD | 509,342 | COP | 1,975,101,500 | (4,646 | ) | |||||||||||||||
| 07/31/2024 | CITI | USD | 991,071 | EUR | 910,000 | (1,135 | ) | |||||||||||||||
| 07/31/2024 | MSCI | USD | 3,854,623 | EUR | 3,541,729 | (1,781 | ) | |||||||||||||||
| 07/16/2024 | BCLY | USD | 972,512 | GBP | 760,000 | (3,880 | ) | |||||||||||||||
| 07/29/2024 | DB | USD | 439,789 | GBP | 344,161 | (1,122 | ) | |||||||||||||||
| 06/14/2024 | CITI | USD | 167,594 | HUF | 60,000,000 | (597 | ) | |||||||||||||||
| 07/29/2024 | CITI | USD | 49,373 | IDR | 800,000,000 | (247 | ) | |||||||||||||||
| 07/29/2024 | SSB | USD | 160,730 | IDR | 2,600,000,000 | (1,069 | ) | |||||||||||||||
| 08/09/2024 | CITI | USD | 82,078 | ILS | 300,000 | (883 | ) | |||||||||||||||
| 08/09/2024 | MSCI | USD | 313,638 | ILS | 1,150,000 | (2,390 | ) | |||||||||||||||
| 07/29/2024 | BCLY | USD | 422,367 | JPY | 65,774,709 | (633 | ) | |||||||||||||||
| 07/24/2024 | DB | USD | 619,509 | JPY | 95,000,000 | (10,846 | ) | |||||||||||||||
| 07/29/2024 | JPM | USD | 448,298 | JPY | 69,667,177 | (1,606 | ) | |||||||||||||||
| 07/24/2024 | MSCI | USD | 6,518,574 | JPY | 994,915,155 | (144,172 | ) | |||||||||||||||
| 08/23/2024 | CITI | USD | 21,195 | KRW | 28,830,175 | (258 | ) | |||||||||||||||
| 06/04/2024 | BCLY | USD | 2,350,118 | MXN | 39,585,384 | (16,968 | ) | |||||||||||||||
| 08/02/2024 | BCLY | USD | 2,192,541 | MXN | 37,504,948 | (2,366 | ) | |||||||||||||||
| 07/16/2024 | DB | USD | 222,584 | MXN | 3,800,000 | (88 | ) | |||||||||||||||
| 07/16/2024 | JPM | USD | 924,643 | MXN | 15,618,725 | (10,145 | ) | |||||||||||||||
| 06/04/2024 | MSCI | USD | 2,346,899 | MXN | 39,585,385 | (13,749 | ) | |||||||||||||||
| 08/02/2024 | MSCI | USD | 2,190,991 | MXN | 37,504,948 | (816 | ) | |||||||||||||||
| 06/25/2024 | BCLY | USD | 75,869 | PEN | 280,000 | (729 | ) | |||||||||||||||
| 06/25/2024 | GS | USD | 118,996 | PEN | 440,000 | (918 | ) | |||||||||||||||
| 06/25/2024 | JPM | USD | 75,417 | PEN | 280,000 | (277 | ) | |||||||||||||||
| 06/25/2024 | MSCI | USD | 75,414 | PEN | 280,000 | (274 | ) | |||||||||||||||
| 07/29/2024 | CITI | USD | 86,550 | PHP | 5,000,000 | (1,175 | ) | |||||||||||||||
| 08/20/2024 | CITI | USD | 101,869 | PLN | 400,000 | (424 | ) | |||||||||||||||
| 08/20/2024 | MSCI | USD | 76,300 | PLN | 300,000 | (216 | ) | |||||||||||||||
| 07/25/2024 | DB | USD | 87,195 | RON | 400,000 | (48 | ) | |||||||||||||||
| 07/24/2024 | MSCI | USD | 65,069 | TWD | 2,100,000 | (368 | ) | |||||||||||||||
| 06/28/2024 | BOA | USD | 248,197 | ZAR | 4,600,000 | (3,803 | ) | |||||||||||||||
| 06/28/2024 | CITI | USD | 162,640 | ZAR | 3,000,000 | (3,252 | ) | |||||||||||||||
| 06/28/2024 | MSCI | USD | 195,871 | ZAR | 3,600,000 | (4,605 | ) | |||||||||||||||
| 06/28/2024 | SSB | USD | 218,720 | ZAR | 4,000,000 | (6,203 | ) | |||||||||||||||
| 07/31/2024 | SSB | USD | 254,911 | ZAR | 4,683,635 | (6,753 | ) | |||||||||||||||
| 06/28/2024 | BNYM | ZAR | 2,000,000 | USD | 104,806 | (1,452 | ) | |||||||||||||||
|
|
|
|||||||||||||||||||||
| $ | 1,047,676 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2024 (Unaudited)
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||
| Buys | ||||||||||||
| 5 | Australia Government Bond 10 Yr. | June 2024 | 374,791 | (9,735 | ) | |||||||
| 42 | CAC40 10 Euro | June 2024 | 3,666,593 | (65,947 | ) | |||||||
| 30 | CBOE Volatility Index (g) | June 2024 | 413,688 | (3,693 | ) | |||||||
| 67 | Cotton (g) | July 2024 | 2,551,025 | (151,812 | ) | |||||||
| 1 | DAX Index | June 2024 | 506,365 | (6,160 | ) | |||||||
| 23 | FTSE MIB Index | June 2024 | 4,342,615 | 121,884 | ||||||||
| 184 | Iron Ore (g) | July 2024 | 2,124,832 | (96,653 | ) | |||||||
| 7 | Live Cattle Futures (g) | August 2024 | 499,660 | (6,316 | ) | |||||||
| 19 | Natural Gas (g) | June 2024 | 491,530 | 13,663 | ||||||||
| 28 | NY Harbor ULSD Futures (g) | June 2024 | 2,803,819 | (95,235 | ) | |||||||
| 11 | NYMEX Platinum Futures (g) | July 2024 | 573,100 | 56,867 | ||||||||
| 15 | RBOB Gasoline (g) | June 2024 | 1,522,962 | (48,023 | ) | |||||||
| 73 | S&P 500 E-Mini | June 2024 | 19,328,575 | 252,099 | ||||||||
| 155 | Soybean (g) | July 2024 | 9,338,750 | 123,229 | ||||||||
| 53 | Soybean Meal (g) | July 2024 | 1,932,910 | 133,442 | ||||||||
| 33 | Soybean Oil (g) | July 2024 | 901,296 | (5,052 | ) | |||||||
| 140 | Sugar (g) | June 2024 | 2,869,440 | (322,724 | ) | |||||||
| 7 | Swiss Market New Index | |||||||||||
| Futures | June 2024 | 936,352 | 6,658 | |||||||||
| 8 | TOPIX Index | June 2024 | 1,413,766 | 15,168 | ||||||||
| 7 | U.S. Long Bond (CBT) | September 2024 | 812,437 | (6,548 | ) | |||||||
| 39 | U.S. Treasury Note 5 Yr. (CBT) | September 2024 | 4,126,078 | (10,377 | ) | |||||||
| 2 | U.S. Treasury Ultra 10 Yr. (CBT) | September 2024 | 224,063 | (750 | ) | |||||||
| 34 | UK Gilt Long Bond | September 2024 | 4,173,018 | (32,353 | ) | |||||||
|
|
|
|
|
|||||||||
| $ | 65,927,665 | $ | (138,368 | ) | ||||||||
|
|
|
|
|
|||||||||
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||
| Sales | ||||||||||||
| 13 | Canadian Government Bond 10 Yr. | September 2024 | 1,133,893 | 2,790 | ||||||||
| 29 | Cocoa (g) | July 2024 | 2,705,990 | (8,448 | ) | |||||||
| 8 | Cocoa (g) | September 2024 | 686,880 | (65,800 | ) | |||||||
| 31 | Coffee (g) | July 2024 | 2,584,819 | (123,713 | ) | |||||||
| 59 | Copper (g) | July 2024 | 6,787,950 | (371,058 | ) | |||||||
| 331 | Corn (g) | July 2024 | 7,385,438 | 182,838 | ||||||||
| 137 | E-mini Russell 2000 Index | June 2024 | 14,219,230 | 149,322 | ||||||||
| 9 | Euro Bund | June 2024 | 1,263,063 | 23,637 | ||||||||
| 7 | Euro Bund | September 2024 | 987,243 | (428 | ) | |||||||
| 2 | FTSE 100 Index | June 2024 | 212,432 | 495 | ||||||||
| 77 | FTSE Taiwan Index | June 2024 | 5,564,686 | 140,501 | ||||||||
| 7 | Gold (g) | August 2024 | 1,642,060 | 30,455 | ||||||||
| 39 | Hang Seng Index | June 2024 | 4,507,346 | 151,211 | ||||||||
| 188 | IFSC NIFTY 50 Index | June 2024 | 8,530,688 | 149,177 | ||||||||
| 50 | KOSPI 200 Index | June 2024 | 3,261,483 | 6,584 | ||||||||
| 34 | Lean Hogs (g) | July 2024 | 1,320,900 | 65,829 | ||||||||
| 34 | MSCI Singapore | June 2024 | 778,877 | 6,215 | ||||||||
| 4 | OMX Stockholm 30 Index | June 2024 | 99,820 | 454 | ||||||||
| 16 | S&P/TSX 60 | June 2024 | 3,132,969 | (11,379 | ) | |||||||
| 34 | Silver (g) | July 2024 | 5,174,800 | (413,795 | ) | |||||||
| 8 | U.S. Treasury Note 10 Yr. (CBT) | September 2024 | 870,375 | 1,751 | ||||||||
| 4 | U.S. Treasury Note 2 Yr. (CBT) | September 2024 | 814,813 | (168 | ) | |||||||
| 6 | U.S. Ultra Bond (CBT) | September 2024 | 734,625 | 7,887 | ||||||||
| 33 | WCE Canola Futures (g) | July 2024 | 320,085 | (9,002 | ) | |||||||
| 159 | Wheat (g) | July 2024 | 5,394,075 | (846,490 | ) | |||||||
| 25 | WTI Crude (g) | June 2024 | 1,924,750 | 42,018 | ||||||||
|
|
|
|
|
|||||||||
| $ | 82,039,290 | $ | (889,117 | ) | ||||||||
|
|
|
|
|
|||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
Written Options
| Description |
Exercise Price |
Expiration |
Number of Contracts |
Notional Amount |
Value ($) | |||||||||||||||||
| Index Options – Puts |
| |||||||||||||||||||||
| S&P 500 Index |
4,970.00 | 06/07/24 | (4 | ) | USD | (2,111,004 | ) | (160 | ) | |||||||||||||
| S&P 500 Index |
5,100.00 | 06/14/24 | (4 | ) | USD | (2,111,004 | ) | (2,800 | ) | |||||||||||||
| S&P 500 Index |
5,130.00 | 06/21/24 | (4 | ) | USD | (2,111,004 | ) | (5,640 | ) | |||||||||||||
| S&P 500 Index |
5,225.00 | 06/28/24 | (4 | ) | USD | (2,111,004 | ) | (14,760 | ) | |||||||||||||
| S&P 500 Index |
5,305.00 | 07/05/24 | (4 | ) | USD | (2,111,004 | ) | (27,040 | ) | |||||||||||||
| S&P 500 Index |
5,300.00 | 07/12/24 | (4 | ) | USD | (2,111,004 | ) | (28,640 | ) | |||||||||||||
| S&P 500 Index |
5,275.00 | 07/19/24 | (4 | ) | USD | (2,111,004 | ) | (27,916 | ) | |||||||||||||
|
|
|
|||||||||||||||||||||
| Total Index Options – Puts | (106,956 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2024 (Unaudited)
Written Options — continued
| Description |
Counterparty | Exercise |
Expiration Date |
Principal/ Notional Amount |
Floating Rate Index |
Pay/Receive |
Value ($) | |||||||||||||||||||
| Written Options on Credit Default Swaps – Puts |
||||||||||||||||||||||||||
| CDX.NA.HYS.42 |
GS | 104.50% | 06/20/24 | USD | (14,820,000 | ) | Fixed Spread | Pay | (7,453 | ) | ||||||||||||||||
| CDX.NA.HYS.42 |
GS | 75.00% | 06/20/24 | USD | (13,500,000 | ) | Fixed Spread | Pay | (851 | ) | ||||||||||||||||
| CDX.NA.HYS.42 |
GS | 106.00% | 07/17/24 | USD | (22,020,000 | ) | Fixed Spread | Pay | (123,703 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||||||||||
|
|
Total Written Options On Credit Default Swaps – Puts |
(132,007 | ) | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| |
TOTAL WRITTEN OPTIONS (Premiums $564,550) |
|
$ | (238,963 | ) | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
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.S42 |
USD | 12,513,000 | 5.00 | % | 3.36 | % | N/A | 06/20/2029 | Quarterly | (830,117 | ) | (844,878 | ) | (14,761 | ) | |||||||||||||||||||||||||
| CDX.NA.IG.S42 |
USD | 86,640,000 | 1.00 | % | 0.50 | % | N/A | 06/20/2029 | Quarterly | (1,884,037 | ) | (1,938,050 | ) | (54,013 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
| $ | (2,714,154 | ) | $ | (2,782,928 | ) | $ | (68,774 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
OTC Credit Default Swaps
| Reference Entity |
Counterparty |
Notional |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||||||||||||
| Buy Protection^: |
| |||||||||||||||||||||||||||||||||||||||
| CDX.NA.HY.S33 |
CITI | USD | 2,222,000 | 5.00% | 0.08% | N/A | 12/20/2024 | Quarterly | (53,637 | ) | (60,236 | ) | (6,599 | ) | ||||||||||||||||||||||||||
| CDX.NA.HY.S41 |
MORD | USD | 2,723,000 | 5.00% | 4.01% | N/A | 12/20/2028 | Quarterly | (109,080 | ) | (106,422 | ) | 2,658 | |||||||||||||||||||||||||||
| CDX.NA.HY.S41 |
MORD | USD | 2,723,000 | 5.00% | 1.57% | N/A | 12/20/2028 | Quarterly | (372,231 | ) | (380,697 | ) | (8,466 | ) | ||||||||||||||||||||||||||
| CMBX.NA.BBB-.11 |
CGMI | USD | 1,886,000 | 3.00% | 7.74% | N/A | 11/18/2054 | Monthly | 397,828 | 244,708 | (153,120 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.BBB-.9 |
MLCS | USD | 1,973,000 | 3.00% | 17.38% | N/A | 09/17/2058 | Monthly | 158,620 | 328,751 | 170,131 | |||||||||||||||||||||||||||||
| CMBX.NA.A.15 |
CGMI | USD | 2,222,000 | 2.00% | 3.16% | N/A | 11/18/2064 | Monthly | 266,640 | 140,014 | (126,626 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.BBB-.14 |
CGMI | USD | 576,500 | 3.00% | 7.78% | N/A | 12/16/2072 | Monthly | 162,861 | 118,038 | (44,823 | ) | ||||||||||||||||||||||||||||
| Sell Protection^: |
| |||||||||||||||||||||||||||||||||||||||
| CDX.NA.HY.S33 |
CITI | USD | 4,388,727 | 5.00% | 0.04% | 4,388,727 USD | 12/20/2024 | Quarterly | 756,836 | 119,747 | (637,089 | ) | ||||||||||||||||||||||||||||
| CDX.NA.HY.S41 |
MORD | USD | 19,058,000 | 5.00% | 0.42% | 19,058,000 USD | 12/20/2028 | Quarterly | 3,519,464 | 3,464,708 | (54,756 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.A.9 |
CGMI | USD | 1,112,500 | 2.00% | 6.57% | 1,112,500 USD | 09/17/2058 | Monthly | (33,096 | ) | (62,452 | ) | (29,356 | ) | ||||||||||||||||||||||||||
| CMBX.NA.A.9 |
CGMI | USD | 1,780,000 | 2.00% | 6.57% | 1,780,000 USD | 09/17/2058 | Monthly | (44,602 | ) | (99,924 | ) | (55,322 | ) | ||||||||||||||||||||||||||
| CMBX.NA.A.9 |
MLCS | USD | 1,350,000 | 2.00% | 6.57% | 1,350,000 USD | 09/17/2058 | Monthly | 2,641 | (75,785 | ) | (78,426 | ) | |||||||||||||||||||||||||||
| CMBX.NA.A.9 |
MORD | USD | 2,222,000 | 2.00% | 6.57% | 2,222,000 USD | 09/17/2058 | Monthly | (204,146 | ) | (124,736 | ) | 79,410 | |||||||||||||||||||||||||||
| CMBX.NA.AAA.10 |
GS | USD | 4,610,000 | 0.50% | 0.58% | 4,610,000 USD | 11/17/2059 | Monthly | 42,163 | (7,622 | ) | (49,785 | ) | |||||||||||||||||||||||||||
| CMBX.NA.AAA.15 |
CGMI | USD | 4,445,000 | 0.50% | 0.71% | 4,445,000 USD | 11/18/2064 | Monthly | (165,846 | ) | (54,581 | ) | 111,265 | |||||||||||||||||||||||||||
| CMBX.NA.AAA.15 |
GS | USD | 1,730,000 | 0.50% | 0.71% | 1,730,000 USD | 11/18/2064 | Monthly | (26,617 | ) | (21,243 | ) | 5,374 | |||||||||||||||||||||||||||
| CMBX.NA.AAA.14 |
CGMI | USD | 11,125,000 | 0.50% | 0.68% | 11,125,000 USD | 12/16/2072 | Monthly | (218,513 | ) | (103,464 | ) | 115,049 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
| $ | 4,079,285 | $ | 3,318,804 | $ | (760,481 | ) | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2024 (Unaudited)
Swap Contracts — continued
OTC Credit Default Swaps — continued
| ^ | Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (1) | As of May 31, 2024, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. |
| (2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract. |
Centrally Cleared Interest Rate Swaps
| Fund Pays |
Fund Receives | Notional |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||
| 3.91% |
3 Month AUD BBSW | AUD | 7,000,000 | 06/19/2026 | Quarterly | — | 30,532 | 30,532 | ||||||||||||||||||
| 3.92% |
3 Month AUD BBSW | AUD | 16,000,000 | 06/19/2026 | Quarterly | 308 | 68,673 | 68,365 | ||||||||||||||||||
| 3.84% |
3 Month AUD BBSW | AUD | 4,000,000 | 06/19/2026 | Quarterly | (41 | ) | 21,035 | 21,076 | |||||||||||||||||
| 3 Month AUD BBSW |
4.27% | AUD | 4,500,000 | 06/19/2026 | Quarterly | — | 810 | 810 | ||||||||||||||||||
| CAD-CORRA-OIS-COMPOUND |
3.91% | CAD | 16,500,000 | 06/19/2026 | Annually | (11,110 | ) | (52,158 | ) | (41,048 | ) | |||||||||||||||
| 3.94% |
CAD-CORRA-OIS-COMPOUND | CAD | 4,500,000 | 06/19/2026 | Annually | — | 12,132 | 12,132 | ||||||||||||||||||
| 4.25% |
CAD-CORRA-OIS-COMPOUND | CAD | 6,500,000 | 06/19/2026 | Annually | — | (10,134 | ) | (10,134 | ) | ||||||||||||||||
| CHF-SARON-OIS-COMPOUND |
0.99% | CHF | 29,000,000 | 06/19/2026 | Annually | (4,185 | ) | (174,060 | ) | (169,875 | ) | |||||||||||||||
| CHF-SARON-OIS-COMPOUND |
1.02% | CHF | 6,500,000 | 06/19/2026 | Annually | (671 | ) | (34,374 | ) | (33,703 | ) | |||||||||||||||
| 0.99% |
CHF-SARON-OIS-COMPOUND | CHF | 4,000,000 | 06/19/2026 | Annually | 1,294 | 24,264 | 22,970 | ||||||||||||||||||
| 1.30% |
CHF-SARON-OIS-COMPOUND | CHF | 3,000,000 | 06/19/2026 | Annually | — | (2,554 | ) | (2,554 | ) | ||||||||||||||||
| EUR-EuroSTR-COMPOUND |
3.16% | EUR | 5,500,000 | 06/19/2026 | Annually | — | (3,506 | ) | (3,506 | ) | ||||||||||||||||
| 2.76% |
EUR-EuroSTR-COMPOUND | EUR | 11,000,000 | 06/19/2026 | Annually | (1,273 | ) | 99,468 | 100,741 | |||||||||||||||||
| GBP-SONIA-COMPOUND |
4.15% | GBP | 4,500,000 | 06/19/2026 | Annually | — | (58,401 | ) | (58,401 | ) | ||||||||||||||||
| GBP-SONIA-COMPOUND |
4.38% | GBP | 4,500,000 | 06/19/2026 | Annually | (4,902 | ) | (34,505 | ) | (29,603 | ) | |||||||||||||||
| GBP-SONIA-COMPOUND |
4.59% | GBP | 4,000,000 | 06/19/2026 | Annually | — | (10,017 | ) | (10,017 | ) | ||||||||||||||||
| 4.27% |
GBP-SONIA-COMPOUND | GBP | 3,500,000 | 06/19/2026 | Annually | 1,011 | 35,272 | 34,261 | ||||||||||||||||||
| 4.67% |
GBP-SONIA-COMPOUND | GBP | 5,000,000 | 06/19/2026 | Annually | — | 3,161 | 3,161 | ||||||||||||||||||
| 4.73% |
GBP-SONIA-COMPOUND | GBP | 2,000,000 | 06/19/2026 | Annually | — | (1,295 | ) | (1,295 | ) | ||||||||||||||||
| 4.70% |
3 Month NZD Bank Bill Rate | NZD | 7,000,000 | 06/19/2026 | Quarterly | — | 29,990 | 29,990 | ||||||||||||||||||
| 4.79% |
3 Month NZD Bank Bill Rate | NZD | 8,500,000 | 06/19/2026 | Quarterly | 5,975 | 27,148 | 21,173 | ||||||||||||||||||
| 4.93% |
3 Month NZD Bank Bill Rate | NZD | 6,500,000 | 06/19/2026 | Quarterly | — | 10,409 | 10,409 | ||||||||||||||||||
| 3 Month NZD Bank Bill Rate |
5.10% | NZD | 6,500,000 | 06/19/2026 | Quarterly | — | 1,753 | 1,753 | ||||||||||||||||||
| 3.27% |
3 Month SEK STIBOR | SEK | 45,000,000 | 06/19/2026 | Quarterly | — | (1,643 | ) | (1,643 | ) | ||||||||||||||||
| 3 Month SEK STIBOR |
3.05% | SEK | 45,000,000 | 06/19/2026 | Quarterly | (465 | ) | (16,042 | ) | (15,577 | ) | |||||||||||||||
| 3 Month SEK STIBOR |
3.30% | SEK | 65,000,000 | 06/19/2026 | Quarterly | — | 7,045 | 7,045 | ||||||||||||||||||
| USD-SOFR-COMPOUND |
4.52% | USD | 2,500,000 | 06/20/2026 | Annually | — | (11,792 | ) | (11,792 | ) | ||||||||||||||||
| 4.33% |
USD-SOFR-COMPOUND | USD | 4,000,000 | 06/20/2026 | Annually | — | 32,821 | 32,821 | ||||||||||||||||||
| 4.83% |
USD-SOFR-COMPOUND | USD | 1,000,000 | 06/20/2026 | Annually | (431 | ) | (1,140 | ) | (709 | ) | |||||||||||||||
| 6 Month AUD BBSW |
4.23% | AUD | 1,000,000 | 06/19/2034 | Semi-annual | (243 | ) | (18,506 | ) | (18,263 | ) | |||||||||||||||
| 6 Month AUD BBSW |
4.28% | AUD | 2,000,000 | 06/19/2034 | Semi-annual | — | (31,731 | ) | (31,731 | ) | ||||||||||||||||
| 6 Month AUD BBSW |
4.39% | AUD | 18,700,000 | 06/19/2034 | Semi-annual | 4,521 | (188,571 | ) | (193,092 | ) | ||||||||||||||||
| 6 Month AUD BBSW |
4.39% | AUD | 1,600,000 | 06/19/2034 | Semi-annual | — | (16,143 | ) | (16,143 | ) | ||||||||||||||||
| 6 Month AUD BBSW |
4.39% | AUD | 3,800,000 | 06/19/2034 | Semi-annual | 1,600 | (37,631 | ) | (39,231 | ) | ||||||||||||||||
| 4.28% |
6 Month AUD BBSW | AUD | 1,400,000 | 06/19/2034 | Semi-annual | — | 21,988 | 21,988 | ||||||||||||||||||
| 4.36% |
6 Month AUD BBSW | AUD | 1,200,000 | 06/19/2034 | Semi-annual | — | 13,800 | 13,800 | ||||||||||||||||||
| 4.75% |
6 Month AUD BBSW | AUD | 1,000,000 | 06/19/2034 | Semi-annual | — | (9,262 | ) | (9,262 | ) | ||||||||||||||||
| 4.60% |
6 Month AUD BBSW | AUD | 8,900,000 | 06/19/2034 | Semi-annual | — | (12,547 | ) | (12,547 | ) | ||||||||||||||||
| 4.60% |
6 Month AUD BBSW | AUD | 1,000,000 | 06/19/2034 | Semi-annual | — | (1,383 | ) | (1,383 | ) | ||||||||||||||||
| CAD-CORRA-OIS-COMPOUND |
3.39% | CAD | 3,600,000 | 06/19/2034 | Annually | (8,358 | ) | (44,277 | ) | (35,919 | ) | |||||||||||||||
| CAD-CORRA-OIS-COMPOUND |
3.42% | CAD | 1,100,000 | 06/19/2034 | Annually | — | (11,451 | ) | (11,451 | ) | ||||||||||||||||
| CAD-CORRA-OIS-COMPOUND |
3.63% | CAD | 1,800,000 | 06/19/2034 | Annually | — | 4,514 | 4,514 | ||||||||||||||||||
| CAD-CORRA-OIS-COMPOUND |
3.77% | CAD | 1,500,000 | 06/19/2034 | Annually | — | 16,467 | 16,467 | ||||||||||||||||||
| 3.40% |
CAD-CORRA-OIS-COMPOUND | CAD | 3,600,000 | 06/19/2034 | Annually | 6,007 | 41,864 | 35,857 | ||||||||||||||||||
| 3.66% |
CAD-CORRA-OIS-COMPOUND | CAD | 800,000 | 06/19/2034 | Annually | — | (3,201 | ) | (3,201 | ) | ||||||||||||||||
| 3.75% |
CAD-CORRA-OIS-COMPOUND | CAD | 900,000 | 06/19/2034 | Annually | — | (8,619 | ) | (8,619 | ) | ||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2024 (Unaudited)
Swap Contracts — continued
Centrally Cleared Interest Rate Swaps — continued
| Fund Pays |
Fund Receives | Notional |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||
| 3.60% |
CAD-CORRA-OIS-COMPOUND | CAD | 1,700,000 | 06/19/2034 | Annually | — | (638 | ) | (638 | ) | ||||||||||||||||
| 3.69% |
CAD-CORRA-OIS-COMPOUND | CAD | 1,600,000 | 06/19/2034 | Annually | — | (9,960 | ) | (9,960 | ) | ||||||||||||||||
| CHF-SARON-OIS-COMPOUND |
1.13% | CHF | 800,000 | 06/19/2034 | Annually | 2,303 | (16,447 | ) | (18,750 | ) | ||||||||||||||||
| CHF-SARON-OIS-COMPOUND |
1.35% | CHF | 600,000 | 06/19/2034 | Annually | — | 1,215 | 1,215 | ||||||||||||||||||
| 1.19% |
CHF-SARON-OIS-COMPOUND | CHF | 6,110,000 | 06/19/2034 | Annually | (28,707 | ) | 89,099 | 117,806 | |||||||||||||||||
| 1.18% |
CHF-SARON-OIS-COMPOUND | CHF | 1,200,000 | 06/19/2034 | Annually | 5,274 | 19,445 | 14,171 | ||||||||||||||||||
| EUR-EuroSTR-COMPOUND |
2.46% | EUR | 2,400,000 | 06/19/2034 | Annually | 2,834 | (65,043 | ) | (67,877 | ) | ||||||||||||||||
| EUR-EuroSTR-COMPOUND |
2.54% | EUR | 900,000 | 06/19/2034 | Annually | — | (17,998 | ) | (17,998 | ) | ||||||||||||||||
| EUR-EuroSTR-COMPOUND |
2.55% | EUR | 1,600,000 | 06/19/2034 | Annually | — | (30,183 | ) | (30,183 | ) | ||||||||||||||||
| EUR-EuroSTR-COMPOUND |
2.75% | EUR | 3,100,000 | 06/19/2034 | Annually | — | (1,233 | ) | (1,233 | ) | ||||||||||||||||
| 2.52% |
EUR-EuroSTR-COMPOUND | EUR | 2,400,000 | 06/19/2034 | Annually | 3,186 | 53,345 | 50,159 | ||||||||||||||||||
| 2.45% |
EUR-EuroSTR-COMPOUND | EUR | 600,000 | 06/19/2034 | Annually | — | 16,816 | 16,816 | ||||||||||||||||||
| 2.53% |
EUR-EuroSTR-COMPOUND | EUR | 1,100,000 | 06/19/2034 | Annually | — | 23,245 | 23,245 | ||||||||||||||||||
| 2.51% |
EUR-EuroSTR-COMPOUND | EUR | 1,500,000 | 06/19/2034 | Annually | — | 34,531 | 34,531 | ||||||||||||||||||
| 2.48% |
EUR-EuroSTR-COMPOUND | EUR | 1,800,000 | 06/19/2034 | Annually | — | 46,453 | 46,453 | ||||||||||||||||||
| 2.49% |
EUR-EuroSTR-COMPOUND | EUR | 600,000 | 06/19/2034 | Annually | — | 14,946 | 14,946 | ||||||||||||||||||
| 2.54% |
EUR-EuroSTR-COMPOUND | EUR | 1,000,000 | 06/19/2034 | Annually | — | 20,329 | 20,329 | ||||||||||||||||||
| 2.61% |
EUR-EuroSTR-COMPOUND | EUR | 1,200,000 | 06/19/2034 | Annually | — | 15,780 | 15,780 | ||||||||||||||||||
| 2.73% |
EUR-EuroSTR-COMPOUND | EUR | 1,300,000 | 06/19/2034 | Annually | — | 2,175 | 2,175 | ||||||||||||||||||
| GBP-SONIA-COMPOUND |
3.72% | GBP | 800,000 | 06/19/2034 | Annually | (2,417 | ) | (24,157 | ) | (21,740 | ) | |||||||||||||||
| GBP-SONIA-COMPOUND |
3.93% | GBP | 1,100,000 | 06/19/2034 | Annually | — | (9,507 | ) | (9,507 | ) | ||||||||||||||||
| GBP-SONIA-COMPOUND |
4.06% | GBP | 400,000 | 06/19/2034 | Annually | — | 1,793 | 1,793 | ||||||||||||||||||
| 3.80% |
GBP-SONIA-COMPOUND | GBP | 1,100,000 | 06/19/2034 | Annually | 1,206 | 24,395 | 23,189 | ||||||||||||||||||
| 3.61% |
GBP-SONIA-COMPOUND | GBP | 1,000,000 | 06/19/2034 | Annually | — | 41,352 | 41,352 | ||||||||||||||||||
| 3.96% |
GBP-SONIA-COMPOUND | GBP | 900,000 | 06/19/2034 | Annually | — | 5,425 | 5,425 | ||||||||||||||||||
| 4.05% |
GBP-SONIA-COMPOUND | GBP | 1,400,000 | 06/19/2034 | Annually | — | (4,265 | ) | (4,265 | ) | ||||||||||||||||
| 4.64% |
3 Month NZD Bank Bill Rate | NZD | 1,200,000 | 06/19/2034 | Quarterly | — | 806 | 806 | ||||||||||||||||||
| 4.69% |
3 Month NZD Bank Bill Rate | NZD | 500,000 | 06/19/2034 | Quarterly | — | (790 | ) | (790 | ) | ||||||||||||||||
| 4.69% |
3 Month NZD Bank Bill Rate | NZD | 1,500,000 | 06/19/2034 | Quarterly | — | (2,369 | ) | (2,369 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate |
4.46% | NZD | 1,600,000 | 06/19/2034 | Quarterly | — | (15,559 | ) | (15,559 | ) | ||||||||||||||||
| 3 Month NZD Bank Bill Rate |
4.50% | NZD | 400,000 | 06/19/2034 | Quarterly | (287 | ) | (3,029 | ) | (2,742 | ) | |||||||||||||||
| 3 Month NZD Bank Bill Rate |
4.50% | NZD | 2,100,000 | 06/19/2034 | Quarterly | (1,303 | ) | (15,694 | ) | (14,391 | ) | |||||||||||||||
| 3 Month NZD Bank Bill Rate |
4.57% | NZD | 1,600,000 | 06/19/2034 | Quarterly | — | (6,320 | ) | (6,320 | ) | ||||||||||||||||
| 3 Month SEK STIBOR |
2.85% | SEK | 44,000,000 | 06/19/2034 | Quarterly | — | 6,889 | 6,889 | ||||||||||||||||||
| 3 Month SEK STIBOR |
2.91% | SEK | 10,000,000 | 06/19/2034 | Quarterly | — | 5,911 | 5,911 | ||||||||||||||||||
| 2.69% |
3 Month SEK STIBOR | SEK | 83,000,000 | 06/19/2034 | Quarterly | (4,090 | ) | 100,319 | 104,409 | |||||||||||||||||
| 2.65% |
3 Month SEK STIBOR | SEK | 8,000,000 | 06/19/2034 | Quarterly | — | 11,867 | 11,867 | ||||||||||||||||||
| 2.89% |
3 Month SEK STIBOR | SEK | 15,000,000 | 06/19/2034 | Quarterly | — | (6,961 | ) | (6,961 | ) | ||||||||||||||||
| 2.69% |
3 Month SEK STIBOR | SEK | 11,000,000 | 06/19/2034 | Quarterly | (247 | ) | 12,890 | 13,137 | |||||||||||||||||
| 2.74% |
3 Month SEK STIBOR | SEK | 8,000,000 | 06/19/2034 | Quarterly | — | 5,832 | 5,832 | ||||||||||||||||||
| USD-SOFR-COMPOUND |
3.88% | USD | 1,000,000 | 06/20/2034 | Annually | — | (21,074 | ) | (21,074 | ) | ||||||||||||||||
| USD-SOFR-COMPOUND |
4.22% | USD | 200,000 | 06/20/2034 | Annually | 455 | 1,335 | 880 | ||||||||||||||||||
| 3.98% |
USD-SOFR-COMPOUND | USD | 600,000 | 06/20/2034 | Annually | — | 7,601 | 7,601 | ||||||||||||||||||
| 4.22% |
USD-SOFR-COMPOUND | USD | 1,300,000 | 06/20/2034 | Annually | (2,938 | ) | (8,856 | ) | (5,918 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | (35,694 | ) | $ | 11,914 | $ | 47,608 | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2024 (Unaudited)
Swap Contracts — continued
OTC Total Return Swaps
| Fund Pays |
Fund Receives |
Counterparty |
Notional |
Expiration Date |
Periodic |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||
| Total Return on Markit iBoxx USD Liquid Investment Grade Index |
SOFR | JPM | USD | 4,497,000 | 06/20/2024 | Quarterly | (24 | ) | (8,161 | ) | (8,137 | ) | ||||||||||||||||
| Berkshire Hathaway, Inc. |
1 Month Federal Funds Rate plus 0.62% | GS | USD | 31,049,250 | 06/21/2024 | At Maturity | — | (30,750 | ) | (30,750 | ) | |||||||||||||||||
| 1 Month Federal Funds Rate plus 0.06% |
Total Return on MSCI World Daily Total Return Net Growth Index | JPM | USD | 1,545,519 | 12/16/2024 | Monthly | — | (5,125 | ) | (5,125 | ) | |||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index |
1 Month Federal Funds Rate minus 0.17% | JPM | USD | 1,782,848 | 12/16/2024 | Monthly | — | 25,577 | 25,577 | |||||||||||||||||||
| 1 Month Federal Funds Rate plus 0.31% |
Total Return on MSCI World Daily Total Return Net Growth Index | GS | USD | 3,473,374 | 04/30/2025 | Monthly | — | 29,779 | 29,779 | |||||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index |
1 Month Federal Funds Rate plus 0.24% | GS | USD | 3,401,203 | 04/30/2025 | Monthly | — | (18,216 | ) | (18,216 | ) | |||||||||||||||||
| 1 Month Federal Funds Rate plus 0.18% |
Total Return on MSCI World Daily Total Return Net Value Index | UBSA | USD | 1,692,344 | 05/13/2025 | Monthly | 259 | 9,542 | 9,283 | |||||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Value Index |
1 Month Federal Funds Rate plus 0.25% | UBSA | USD | 1,607,087 | 05/13/2025 | Monthly | (249 | ) | (4,997 | ) | (4,748 | ) | ||||||||||||||||
| Total Return on Equity Basket (i) |
1 Month Federal Funds Rate minus 0.40% | GS | USD | 2,143,402 | 06/24/2024 | Monthly | — | 72,640 | 72,640 | |||||||||||||||||||
| Total Return on Equity Basket (i) |
1 Month Federal Funds Rate minus 0.40% | MORD | USD | 2,819,357 | 06/18/2024 | Monthly | — | 265,005 | 265,005 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | (14 | ) | $ | 335,294 | $ | 335,308 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
As of May 31, 2024, 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 security is out on loan. |
| (f) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
| (g) | All or a portion of this security or derivative is owned by GMO Alternative Allocation SPC Ltd., which is a 100% owned subsidiary of GMO Alternative Allocation Fund. |
| (h) | The rate disclosed is the 7 day net yield as of May 31, 2024. |
| (i) | The following table represents the individual long and/or short positions within the custom equity basket swap as of May 31, 2024. |
| Shares | Description | % of Equity Basket |
Value ($) | |||||||||
| Custom equity basket swap with GS as the counterparty: | ||||||||||||
| (31,948) | Allegro EU SA | 14.9 | % | (307,425 | ) | |||||||
| (1,361) | Bid Corp. Ltd. | 1.5 | % | (30,182 | ) | |||||||
| (348) | Budimex | 3.2 | % | (66,114 | ) | |||||||
| (952) | Capitec Bank Holdings Ltd. | 5.2 | % | (108,041 | ) | |||||||
| (1,801) | CD Projekt SA | 2.9 | % | (59,690 | ) | |||||||
| (11,088) | Clicks Group Ltd. | 8.4 | % | (174,035 | ) | |||||||
| (20,316) | Cosan SA | 2.5 | % | (52,696 | ) | |||||||
| (1,380) | Dino Polska SA | 6.7 | % | (137,515 | ) | |||||||
| (10,569) | Doosan Enerbility Co. Ltd. | 7.7 | % | (159,375 | ) | |||||||
| (58,000) | Genscript Biotech Corp. | 3.6 | % | (74,570 | ) | |||||||
| (27,000) | Gulf Energy Development PCL NVDR | 1.4 | % | (29,794 | ) | |||||||
| (147) | Hanmi Pharm Co. Ltd. | 1.5 | % | (30,149 | ) | |||||||
| (26,600) | Hapvida Participacoes e Investimentos SA | 1.0 | % | (20,213 | ) | |||||||
| (652) | HYBE Co. Ltd. | 4.6 | % | (94,607 | ) | |||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2024 (Unaudited)
| Shares | Description | % of Equity Basket |
Value ($) | |||||||||
| (683) | Kakao Corp. | 1.0 | % | (21,520 | ) | |||||||
| (14,000) | Kingdee International Software Group Co. Ltd. | 0.7 | % | (14,415 | ) | |||||||
| (888) | Korea Aerospace Industries Ltd. | 1.6 | % | (33,311 | ) | |||||||
| (28) | LG Energy Solution Ltd. | 0.3 | % | (6,744 | ) | |||||||
| (2,500) | Localiza Rent A Car ADR | 1.0 | % | (20,344 | ) | |||||||
| (22) | LPP SA | 4.7 | % | (97,169 | ) | |||||||
| (903) | POSCO Chemical Co. Ltd. | 8.0 | % | (165,058 | ) | |||||||
| (30,900) | Rede D’Or Sao Luiz SA | 7.8 | % | (161,594 | ) | |||||||
| (60) | Samsung Biologics Co. Ltd. | 1.5 | % | (31,653 | ) | |||||||
| (12,352) | Samsung Heavy Industries Co. Ltd. | 4.0 | % | (82,323 | ) | |||||||
| (1,586) | Shoprite Holdings Ltd. | 1.0 | % | (21,087 | ) | |||||||
| (333) | SK IE Technology Co. Ltd. | 0.5 | % | (10,441 | ) | |||||||
| (1,156) | Yuhan Corp. | 2.8 | % | (57,752 | ) | |||||||
|
|
|
|||||||||||
| TOTAL COMMON STOCKS | $ | (2,067,817 | ) | |||||||||
|
|
|
|||||||||||
| Custom equity basket swap with MORD as the counterparty: | ||||||||||||
| (56,000) | Air China Ltd. – Class H | 1.2 | % | (29,836 | ) | |||||||
| (142,500) | Airports Of Thailand PC NVDR | 9.9 | % | (252,251 | ) | |||||||
| (46,000) | Alibaba Health Information Technology Ltd. | 0.8 | % | (19,389 | ) | |||||||
| (136,000) | Genscript Biotech Corp. | 6.9 | % | (174,854 | ) | |||||||
| (271,800) | Gulf Energy Development PCL NVDR | 11.8 | % | (299,925 | ) | |||||||
| (383) | Hanmi Pharm Co. Ltd. | 3.1 | % | (78,550 | ) | |||||||
| (24,000) | Innovent Biologics, Inc. | 4.3 | % | (108,621 | ) | |||||||
| (2,341) | Kakao Corp. | 2.9 | % | (73,762 | ) | |||||||
| (242,000) | Kingdee International Software Group Co. Ltd. | 9.7 | % | (249,179 | ) | |||||||
| (7,405) | Korea Aerospace Industries Ltd. | 10.9 | % | (277,780 | ) | |||||||
| (56,400) | Nongfu Spring Co. Ltd. – Class H | 11.8 | % | (300,306 | ) | |||||||
| (33) | POSCO Chemical Co. Ltd. | 0.2 | % | (6,032 | ) | |||||||
| (571) | Samsung Biologics Co. Ltd. | 11.7 | % | (301,229 | ) | |||||||
| (40,355) | Samsung Heavy Industries Co. Ltd. | 10.5 | % | (268,955 | ) | |||||||
| (46,500) | Shandong Gold Mining Co. Ltd. –Class H | 3.9 | % | (100,020 | ) | |||||||
| (350) | SK IE Technology Co. Ltd. | 0.4 | % | (10,974 | ) | |||||||
|
|
|
|||||||||||
| TOTAL COMMON STOCKS | $ | (2,551,663 | ) | |||||||||
|
|
|
|||||||||||
The rates shown on variable rate notes are the current interest rates at May 31, 2024, 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.
BNYM - The Bank of New York Mellon
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
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)
May 31, 2024 (Unaudited)
| Shares | Description | Value ($) |
||||||
| MUTUAL FUNDS — 99.9% | ||||||||
| Affiliated Issuers — 99.9% | ||||||||
| 1,105,325 | GMO Climate Change Fund, Class III | 26,218,293 | ||||||
| 4,023,839 | GMO Emerging Country Debt Fund, Class VI | 78,987,953 | ||||||
| 1,461,249 | GMO High Yield Fund, Class VI | 26,375,545 | ||||||
| 176,686,578 | GMO Implementation Fund | 2,394,103,132 | ||||||
| 4,353,020 | GMO Opportunistic Income Fund, Class VI | 104,559,546 | ||||||
|
|
|
|||||||
| TOTAL MUTUAL FUNDS (COST $2,553,401,376) |
2,630,244,469 | |||||||
|
|
|
|||||||
| SHORT-TERM INVESTMENTS — 0.1% |
| |||||||
| Money Market Funds — 0.1% | ||||||||
| 1,526,944 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (a) | 1,526,944 | ||||||
|
|
|
|||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $1,526,944) |
1,526,944 | |||||||
|
|
|
|||||||
| TOTAL INVESTMENTS — 100.0% (Cost $2,554,928,320) |
2,631,771,413 | |||||||
| Other Assets and Liabilities (net) — (0.0%) | (202,859 | ) | ||||||
|
|
|
|||||||
| TOTAL NET ASSETS — 100.0% | $2,631,568,554 | |||||||
|
|
|
|||||||
Notes to Schedule of Investments:
| (a) | The rate disclosed is the 7 day net yield as of May 31, 2024. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 76.2% | ||||||||||
| Australia — 1.4% | ||||||||||
| 61,183 | Accent Group Ltd. (a) | 76,869 | ||||||||
| 159,858 | BHP Group Ltd. (b) | 4,757,747 | ||||||||
| 203,288 | BlueScope Steel Ltd. | 2,868,778 | ||||||||
| 166,950 | Brambles Ltd. (b) | 1,586,950 | ||||||||
| 2,211 | Champion Iron Ltd. (a) | 10,358 | ||||||||
| 46,166 | CSR Ltd. | 274,012 | ||||||||
| 68,789 | Fortescue Ltd. (b) | 1,136,749 | ||||||||
| 233,592 | GPT Group – (REIT) (b) | 655,298 | ||||||||
| 34,665 | GrainCorp Ltd. – Class A | 192,663 | ||||||||
| 95,164 | Grange Resources Ltd. | 24,801 | ||||||||
| 92,272 | Helia Group Ltd. | 253,813 | ||||||||
| 43,009 | HomeCo Daily Needs – (REIT) (b) | 34,818 | ||||||||
| 6,092 | JB Hi-Fi Ltd. | 236,895 | ||||||||
| 8,334 | McMillan Shakespeare Ltd. | 91,935 | ||||||||
| 484,019 | Mirvac Group – (REIT) (b) | 635,703 | ||||||||
| 12,512 | Nufarm Ltd. (a) | 37,406 | ||||||||
| 59,370 | Perenti Ltd. | 39,818 | ||||||||
| 75,544 | Perseus Mining Ltd. | 118,277 | ||||||||
| 10,171 | Rio Tinto Ltd. (b) | 874,853 | ||||||||
| 244,533 | Scentre Group – (REIT) (b) | 515,991 | ||||||||
| 7,526 | Sims Ltd. (a) | 53,370 | ||||||||
| 5,834 | SmartGroup Corp. Ltd. | 31,906 | ||||||||
| 16,858 | Southern Cross Media Group Ltd. (a) | 7,967 | ||||||||
| 197,133 | Stockland – (REIT) (b) | 594,021 | ||||||||
| 32,339 | Super Retail Group Ltd. | 283,640 | ||||||||
| 5,894 | Westpac Banking Corp. | 102,352 | ||||||||
|
|
|
|||||||||
| Total Australia | 15,496,990 | |||||||||
|
|
|
|||||||||
| Austria — 0.4% | ||||||||||
| 31,919 | Erste Group Bank AG | 1,568,506 | ||||||||
| 42,728 | OMV AG (a) | 2,159,407 | ||||||||
| 39,395 | Raiffeisen Bank International AG (a) | 728,608 | ||||||||
| 737 | Strabag SE | 32,516 | ||||||||
| 5,591 | Wienerberger AG | 209,870 | ||||||||
|
|
|
|||||||||
| Total Austria | 4,698,907 | |||||||||
|
|
|
|||||||||
| Belgium — 1.0% | ||||||||||
| 80,986 | Ageas SA | 4,040,205 | ||||||||
| 5,970 | Bekaert SA | 281,354 | ||||||||
| 63 | Cie d’Entreprises CFE | 512 | ||||||||
| 3,411 | Colruyt Group NV | 174,455 | ||||||||
| 21,903 | Groupe Bruxelles Lambert NV | 1,679,672 | ||||||||
| 8,178 | KBC Group NV | 597,245 | ||||||||
| 452 | Melexis NV (a) | 41,040 | ||||||||
| 635 | Orange Belgium SA * | 10,253 | ||||||||
| 91,355 | Proximus SADP | 720,219 | ||||||||
| 9,432 | Syensqo SA | 943,985 | ||||||||
| 15,208 | UCB SA (a) | 2,133,235 | ||||||||
| 2,695 | Umicore SA (a) | 53,378 | ||||||||
|
|
|
|||||||||
| Total Belgium | 10,675,553 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Brazil — 0.6% | ||||||||||
| 3,438 | Alupar Investimento SA | 19,040 | ||||||||
| 109,400 | Ambev SA | 240,847 | ||||||||
| 12,905 | Banco Bradesco SA ADR | 31,746 | ||||||||
| 127,766 | Banco do Brasil SA | 659,890 | ||||||||
| 37,200 | Banco Santander Brasil SA | 196,595 | ||||||||
| 8,687 | BB Seguridade Participacoes SA | 53,437 | ||||||||
| 19,600 | Cia de Saneamento de Minas Gerais Copasa MG | 75,214 | ||||||||
| 3,700 | Cia De Sanena Do Parana | 19,244 | ||||||||
| 87,317 | CPFL Energia SA | 567,047 | ||||||||
| 14,500 | Cury Construtora e Incorporadora SA | 50,893 | ||||||||
| 38,700 | Engie Brasil Energia SA | 319,423 | ||||||||
| 14,402 | Itau Unibanco Holding SA | 73,918 | ||||||||
| 78,200 | Magazine Luiza SA * | 184,520 | ||||||||
| 76,266 | Petroleo Brasileiro SA Sponsored ADR | 1,185,936 | ||||||||
| 11,300 | Petroleo Brasileiro SA | 87,587 | ||||||||
| 24,700 | Ser Educacional SA * | 23,238 | ||||||||
| 123,033 | TIM SA | 371,613 | ||||||||
| 10,249 | TIM SA ADR | 156,092 | ||||||||
| 13,138 | Transmissora Alianca de Energia Eletrica SA | 85,770 | ||||||||
| 128,390 | Ultrapar Participacoes SA | 566,531 | ||||||||
| 51,466 | Vale SA Sponsored ADR (b) | 620,165 | ||||||||
| 6,552 | Vale SA | 78,860 | ||||||||
| 158,000 | Vibra Energia SA | 648,140 | ||||||||
|
|
|
|||||||||
| Total Brazil | 6,315,746 | |||||||||
|
|
|
|||||||||
| Canada — 3.2% | ||||||||||
| 22,700 | Alimentation Couche-Tard, Inc. (b) | 1,324,909 | ||||||||
| 100,976 | B2Gold Corp. (c) | 282,733 | ||||||||
| 51,800 | B2Gold Corp. (a) (c) | 145,942 | ||||||||
| 22,379 | Bank of Nova Scotia (c) | 1,059,197 | ||||||||
| 20,200 | Bank of Nova Scotia (a) (c) | 956,238 | ||||||||
| 6,855 | Brookfield Asset Management Ltd. – Class A (a) | 268,990 | ||||||||
| 35,433 | Brookfield Corp. – Class A | 1,540,981 | ||||||||
| 1,100 | BRP, Inc. (a) | 68,730 | ||||||||
| 17,148 | Canadian Imperial Bank of Commerce (c) | 849,512 | ||||||||
| 16,000 | Canadian Imperial Bank of Commerce (c) | 793,338 | ||||||||
| 16,900 | Canadian Tire Corp. Ltd. – Class A (a) | 1,686,838 | ||||||||
| 6,700 | Canfor Corp. * | 73,639 | ||||||||
| 23,748 | Celestica, Inc. * (c) | 1,327,532 | ||||||||
| 13,838 | Celestica, Inc. * (c) | 773,821 | ||||||||
| 2,000 | CGI, Inc. * (b) | 197,498 | ||||||||
| 15,700 | China Gold International Resources Corp. Ltd. * | 108,461 | ||||||||
| 8,000 | CI Financial Corp. | 85,873 | ||||||||
| 2,903 | Cogeco, Inc. (a) | 101,066 | ||||||||
| 2,900 | DREAM Unlimited Corp. – Class A (a) | 40,427 | ||||||||
| 7,900 | Empire Co. Ltd. – Class A | 187,161 | ||||||||
| 5,200 | Enerplus Corp. | 105,721 | ||||||||
| 600 | EQB, Inc. (a) | 38,572 | ||||||||
| 600 | Fairfax Financial Holdings Ltd. (b) | 675,436 | ||||||||
| 8,600 | Finning International, Inc. | 256,874 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Canada — continued | ||||||||||
| 12,300 | Great-West Lifeco, Inc. (b) | 368,923 | ||||||||
| 16,200 | iA Financial Corp., Inc. | 1,054,762 | ||||||||
| 3,505 | Imperial Oil Ltd. (c) | 247,103 | ||||||||
| 2,400 | Imperial Oil Ltd. (a) (c) | 169,573 | ||||||||
| 6,200 | Interfor Corp. * | 80,698 | ||||||||
| 6,585 | International Petroleum Corp. * | 93,167 | ||||||||
| 1,100 | Linamar Corp. | 57,310 | ||||||||
| 15,200 | Magna International, Inc. (c) | 687,650 | ||||||||
| 1,495 | Magna International, Inc. (c) | 67,589 | ||||||||
| 138,200 | Manulife Financial Corp. (b) (c) | 3,589,479 | ||||||||
| 90,050 | Manulife Financial Corp. (b) (c) | 2,337,698 | ||||||||
| 24,000 | Nutrien Ltd. (b) (c) | 1,406,420 | ||||||||
| 16,850 | Nutrien Ltd. (b) (c) | 987,579 | ||||||||
| 9,500 | Onex Corp. (a) | 673,458 | ||||||||
| 2,408 | Open Text Corp. (b) | 70,434 | ||||||||
| 57,100 | Parex Resources, Inc. (a) | 937,178 | ||||||||
| 53,600 | Power Corp. of Canada | 1,556,148 | ||||||||
| 38,200 | Quebecor, Inc. – Class B (a) | 805,789 | ||||||||
| 7,900 | Resolute Forest Products, Inc. * (d) | 15,800 | ||||||||
| 15,000 | Russel Metals, Inc. | 402,473 | ||||||||
| 5,900 | Sleep Country Canada Holdings, Inc. (a) | 111,035 | ||||||||
| 2,300 | Spin Master Corp. | 49,039 | ||||||||
| 10,800 | Stella-Jones, Inc. (a) | 644,696 | ||||||||
| 22,100 | Sun Life Financial, Inc. (b) (c) | 1,107,635 | ||||||||
| 9,967 | Sun Life Financial, Inc. (c) | 499,646 | ||||||||
| 44,500 | Toronto-Dominion Bank (c) | 2,487,912 | ||||||||
| 5,044 | Toronto-Dominion Bank (b) (c) | 282,060 | ||||||||
| 1,200 | Wajax Corp. (a) | 23,173 | ||||||||
| 23,200 | West Fraser Timber Co. Ltd. (c) | 1,855,898 | ||||||||
| 4,227 | West Fraser Timber Co. Ltd. (a) (c) | 338,202 | ||||||||
|
|
|
|||||||||
| Total Canada | 35,958,016 | |||||||||
|
|
|
|||||||||
| Chile — 0.0% | ||||||||||
| 102,114 | Cencosud SA | 191,756 | ||||||||
| 1,091,789 | Colbun SA | 142,716 | ||||||||
| 16,246 | Empresas CMPC SA | 33,998 | ||||||||
| 11,690 | Enel Chile SA ADR | 34,369 | ||||||||
|
|
|
|||||||||
| Total Chile | 402,839 | |||||||||
|
|
|
|||||||||
| China — 1.9% | ||||||||||
| 66,000 | 361 Degrees International Ltd. | 37,772 | ||||||||
| 254,500 | 3SBio, Inc. | 198,735 | ||||||||
| 3,289,000 | Agricultural Bank of China Ltd. – Class H | 1,378,849 | ||||||||
| 29,029 | Alibaba Group Holding Ltd. Sponsored ADR (b) | 2,274,132 | ||||||||
| 257,500 | BAIC Motor Corp. Ltd. – Class H | 73,558 | ||||||||
| 426,091 | Bank of Communications Co. Ltd. – Class H | 321,597 | ||||||||
| 71,000 | Beijing Enterprises Holdings Ltd. | 250,275 | ||||||||
| 984,000 | China Cinda Asset Management Co. Ltd. – Class H | 94,689 | ||||||||
| 144,000 | China Communications Services Corp. Ltd. – Class H | 69,270 | ||||||||
| 5,151,000 | China Construction Bank Corp. – Class H | 3,655,789 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| China — continued | ||||||||||
| 66,000 | China Dongxiang Group Co. Ltd. | 3,129 | ||||||||
| 448,000 | China Energy Engineering Corp. Ltd. – Class H * | 51,139 | ||||||||
| 298,000 | China Everbright Environment Group Ltd. | 139,126 | ||||||||
| 1,058,000 | China Greenfresh Group Co. Ltd. * (e) | — | ||||||||
| 217,000 | China Lesso Group Holdings Ltd. * | 100,021 | ||||||||
| 96,645 | China Medical System Holdings Ltd. | 81,828 | ||||||||
| 117,000 | China Overseas Grand Oceans Group Ltd. | 31,614 | ||||||||
| 1,664,000 | China Petroleum & Chemical Corp. – Class H | 1,060,048 | ||||||||
| 1,474,042 | China Railway Group Ltd. – Class H | 794,243 | ||||||||
| 204,000 | China Reinsurance Group Corp. – Class H | 14,885 | ||||||||
| 222,500 | China Resources Pharmaceutical Group Ltd. | 165,032 | ||||||||
| 11,000 | China Shineway Pharmaceutical Group Ltd. | 11,769 | ||||||||
| 128,000 | China State Construction International Holdings Ltd. | 169,473 | ||||||||
| 1,776,400 | China Zhongwang Holdings Ltd. * (e) | — | ||||||||
| 683,000 | CITIC Ltd. | 692,659 | ||||||||
| 729,500 | COSCO Shipping Holdings Co. Ltd. – Class H | 1,221,584 | ||||||||
| 468,000 | CRRC Corp. Ltd. – Class H | 280,736 | ||||||||
| 354,000 | CSPC Pharmaceutical Group Ltd. | 300,960 | ||||||||
| 578,000 | Dongfeng Motor Group Co. Ltd. – Class H | 187,493 | ||||||||
| 20,000 | Fosun International Ltd. | 11,235 | ||||||||
| 126,000 | Fufeng Group Ltd. | 98,601 | ||||||||
| 22,000 | Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd. – Class H | 62,743 | ||||||||
| 82,200 | Haier Smart Home Co. Ltd. – Class H | 298,632 | ||||||||
| 15,604 | JD.com, Inc. ADR (b) | 462,190 | ||||||||
| 80,250 | Kingboard Holdings Ltd. (a) | 195,237 | ||||||||
| 72,000 | Kunlun Energy Co. Ltd. | 75,092 | ||||||||
| 42,900 | Legend Holdings Corp. – Class H | 37,553 | ||||||||
| 722,000 | Lenovo Group Ltd. | 1,040,047 | ||||||||
| 17,381 | Livzon Pharmaceutical Group, Inc. – Class H | 59,017 | ||||||||
| 143,000 | Lonking Holdings Ltd. | 26,504 | ||||||||
| 340,000 | Metallurgical Corp. of China Ltd. – Class H | 74,088 | ||||||||
| 13,500 | NetDragon Websoft Holdings Ltd. | 20,285 | ||||||||
| 45,500 | Orient Overseas International Ltd. | 772,793 | ||||||||
| 258,000 | PetroChina Co. Ltd. – Class H | 264,542 | ||||||||
| 646,000 | PICC Property & Casualty Co. Ltd. – Class H | 841,847 | ||||||||
| 124,000 | Poly Property Group Co. Ltd. | 23,572 | ||||||||
| 116,200 | Shanghai Pharmaceuticals Holding Co. Ltd. – Class H | 172,520 | ||||||||
| 84,500 | Sinopec Engineering Group Co. Ltd. – Class H | 56,856 | ||||||||
| 251,200 | Sinopharm Group Co. Ltd. – Class H | 683,597 | ||||||||
| 131,500 | Sinotruk Hong Kong Ltd. | 305,833 | ||||||||
| 172,000 | Skyworth Group Ltd. | 61,508 | ||||||||
| 34,000 | SSY Group Ltd. | 20,514 | ||||||||
| 86,000 | TCL Electronics Holdings Ltd. | 62,487 | ||||||||
| 42,100 | Tencent Holdings Ltd. | 1,953,169 | ||||||||
| 16,000 | Tianjin Port Development Holdings Ltd. | 1,354 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| China — continued | ||||||||||
| 8,000 | Tianneng Power International Ltd. (a) | 6,049 | ||||||||
| 87,000 | Weichai Power Co. Ltd. – Class H | 156,281 | ||||||||
|
|
|
|||||||||
| Total China | 21,504,551 | |||||||||
|
|
|
|||||||||
| Czech Republic — 0.0% | ||||||||||
| 35,890 | Moneta Money Bank AS | 157,188 | ||||||||
| 137 | Philip Morris CR AS | 90,223 | ||||||||
|
|
|
|||||||||
| Total Czech Republic | 247,411 | |||||||||
|
|
|
|||||||||
| Denmark — 0.7% | ||||||||||
| 758 | AP Moller – Maersk AS – Class A (b) | 1,330,120 | ||||||||
| 1,105 | AP Moller – Maersk AS – Class B (b) | 2,009,089 | ||||||||
| 60,540 | Danske Bank AS | 1,861,099 | ||||||||
| 4,678 | Genmab AS * | 1,320,407 | ||||||||
| 35,055 | H Lundbeck AS | 192,590 | ||||||||
| 857 | Matas AS | 14,835 | ||||||||
| 976 | Pandora AS | 160,318 | ||||||||
| 2,749 | ROCKWOOL AS – B Shares | 1,156,616 | ||||||||
| 2,359 | Scandinavian Tobacco Group AS | 33,280 | ||||||||
| 1,242 | Svitzer AS * | 48,691 | ||||||||
|
|
|
|||||||||
| Total Denmark | 8,127,045 | |||||||||
|
|
|
|||||||||
| Egypt — 0.0% | ||||||||||
| 24,100 | Abou Kir Fertilizers & Chemical Industries | 31,602 | ||||||||
| 113,313 | Commercial International Bank – Egypt (CIB) | 187,503 | ||||||||
| 148,086 | Eastern Co. SAE | 86,566 | ||||||||
| 23,452 | ElSewedy Electric Co. | 22,089 | ||||||||
| 64,961 | Misr Fertilizers Production Co. SAE | 60,272 | ||||||||
|
|
|
|||||||||
| Total Egypt | 388,032 | |||||||||
|
|
|
|||||||||
| Finland — 0.4% | ||||||||||
| 7,978 | Kemira OYJ | 188,047 | ||||||||
| 33,130 | Neste OYJ | 695,540 | ||||||||
| 680,811 | Nokia OYJ | 2,662,922 | ||||||||
| 45,823 | Outokumpu OYJ | 190,345 | ||||||||
| 31,891 | Stora Enso OYJ – R Shares | 467,182 | ||||||||
| 4,706 | TietoEVRY OYJ (b) | 95,089 | ||||||||
| 13,769 | Valmet OYJ | 370,561 | ||||||||
|
|
|
|||||||||
| Total Finland | 4,669,686 | |||||||||
|
|
|
|||||||||
| France — 3.7% | ||||||||||
| 237 | Amundi SA * (a) | 18,288 | ||||||||
| 6,713 | APERAM SA (a) | 193,628 | ||||||||
| 61,248 | ArcelorMittal SA | 1,615,880 | ||||||||
| 4,952 | Arkema SA | 507,461 | ||||||||
| 18,784 | AXA SA (b) | 678,223 | ||||||||
| 261 | Axway Software SA (b) | 6,950 | ||||||||
| 7,396 | Ayvens SA | 55,563 | ||||||||
| 31,075 | BNP Paribas SA | 2,293,851 | ||||||||
| 21,626 | Carrefour SA (a) | 352,666 | ||||||||
| 48,899 | Cie de Saint-Gobain SA | 4,317,355 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| France — continued | ||||||||||
| 11,273 | Cie Generale des Etablissements Michelin SCA (b) | 457,177 | ||||||||
| 31,605 | Coface SA (a) | 486,665 | ||||||||
| 27,342 | Credit Agricole SA (a) | 444,878 | ||||||||
| 8,028 | Derichebourg SA | 45,765 | ||||||||
| 5,067 | Eurazeo SE | 427,708 | ||||||||
| 3,722 | Ipsen SA | 488,272 | ||||||||
| 1,932 | IPSOS SA | 140,926 | ||||||||
| 1,350 | LVMH Moet Hennessy Louis Vuitton SE (b) | 1,079,653 | ||||||||
| 2,789 | Metropole Television SA | 42,474 | ||||||||
| 85,774 | Orange SA (b) | 1,001,554 | ||||||||
| 12,008 | Publicis Groupe SA (b) | 1,348,796 | ||||||||
| 6,843 | Quadient SA | 165,121 | ||||||||
| 32,576 | Renault SA | 1,913,520 | ||||||||
| 35,036 | Rexel SA | 1,064,739 | ||||||||
| 11,776 | Rubis SCA | 419,502 | ||||||||
| 9,455 | Safran SA (b) | 2,214,410 | ||||||||
| 41,455 | Sanofi SA (a) | 4,058,525 | ||||||||
| 2,418 | Societe BIC SA * (b) | 180,926 | ||||||||
| 98,889 | Societe Generale SA (a) | 2,962,006 | ||||||||
| 66,999 | STMicroelectronics NV – NY Shares | 2,811,948 | ||||||||
| 26,513 | Television Francaise 1 SA (a) | 261,087 | ||||||||
| 97,965 | TotalEnergies SE | 7,177,351 | ||||||||
| 7,812 | Valeo SE | 96,621 | ||||||||
| 146,450 | Vivendi SE | 1,612,708 | ||||||||
|
|
|
|||||||||
| Total France | 40,942,197 | |||||||||
|
|
|
|||||||||
| Germany — 1.2% | ||||||||||
| 4,034 | 1&1 AG | 76,838 | ||||||||
| 868 | Allianz SE (Registered) (b) | 254,096 | ||||||||
| 109 | Amadeus Fire AG | 13,158 | ||||||||
| 4,425 | Bayerische Motoren Werke AG (b) | 451,361 | ||||||||
| 8,956 | Beiersdorf AG (b) | 1,404,094 | ||||||||
| 11,280 | Continental AG | 768,783 | ||||||||
| 16,719 | Daimler Truck Holding AG (b) | 715,342 | ||||||||
| 98,754 | Deutsche Bank AG (Registered) (b) | 1,643,312 | ||||||||
| 20,198 | Deutz AG | 115,675 | ||||||||
| 2,324 | DHL Group (b) | 97,841 | ||||||||
| 141 | Draegerwerk AG & Co. KGaA | 7,172 | ||||||||
| 8,734 | E.ON SE (b) | 116,967 | ||||||||
| 25,440 | Fresenius SE & Co. KGaA * | 811,696 | ||||||||
| 5,636 | Heidelberg Materials AG | 591,066 | ||||||||
| 2,496 | Henkel AG & Co. KGaA (b) | 200,004 | ||||||||
| 364 | Hornbach Holding AG & Co. KGaA | 30,689 | ||||||||
| 15,445 | Kloeckner & Co. SE | 102,612 | ||||||||
| 274 | Krones AG * | 37,635 | ||||||||
| 45,145 | Mercedes-Benz Group AG (b) | 3,276,500 | ||||||||
| 40,732 | ProSiebenSat.1 Media SE | 338,587 | ||||||||
| 969 | RTL Group SA | 32,475 | ||||||||
| 1,575 | SAF-Holland SE * | 30,279 | ||||||||
| 2,496 | Salzgitter AG | 62,072 | ||||||||
| 5,722 | Siemens AG (Registered) (b) | 1,102,864 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Germany — continued | ||||||||||
| 12,352 | Talanx AG | 985,277 | ||||||||
| 1,086 | Volkswagen AG | 155,718 | ||||||||
|
|
|
|||||||||
| Total Germany | 13,422,113 | |||||||||
|
|
|
|||||||||
| Greece — 0.1% | ||||||||||
| 74,073 | Eurobank Ergasias Services & Holdings SA – Class A * | 161,930 | ||||||||
| 12,055 | FF Group * (e) | — | ||||||||
| 7,749 | JUMBO SA | 222,198 | ||||||||
| 7,056 | Mytilineos SA | 280,994 | ||||||||
| 1,837 | OPAP SA | 29,202 | ||||||||
|
|
|
|||||||||
| Total Greece | 694,324 | |||||||||
|
|
|
|||||||||
| Hong Kong — 0.8% | ||||||||||
| 93,200 | ASMPT Ltd. | 1,114,583 | ||||||||
| 26,600 | Bank of East Asia Ltd. | 35,138 | ||||||||
| 90,000 | BOC Hong Kong Holdings Ltd. | 282,906 | ||||||||
| 29,000 | Chow Sang Sang Holdings International Ltd. | 30,357 | ||||||||
| 234,000 | CITIC Telecom International Holdings Ltd. | 76,850 | ||||||||
| 179,000 | CK Asset Holdings Ltd. | 708,989 | ||||||||
| 223,000 | CK Hutchison Holdings Ltd. | 1,088,928 | ||||||||
| 22,400 | Dah Sing Financial Holdings Ltd. | 65,922 | ||||||||
| 108,000 | E-Commodities Holdings Ltd. | 24,044 | ||||||||
| 164,000 | First Pacific Co. Ltd. | 78,825 | ||||||||
| 137,693 | Galaxy Entertainment Group Ltd. | 663,432 | ||||||||
| 104,000 | Giordano International Ltd. | 25,971 | ||||||||
| 34,500 | Health & Happiness H&H International Holdings Ltd. | 45,038 | ||||||||
| 1,221 | Hong Kong Resources Holdings Co. Ltd. * | 92 | ||||||||
| 206,000 | IGG, Inc. * | 80,827 | ||||||||
| 62,500 | Johnson Electric Holdings Ltd. | 95,698 | ||||||||
| 50,000 | K Wah International Holdings Ltd. | 11,860 | ||||||||
| 9,500 | Kerry Logistics Network Ltd. | 10,915 | ||||||||
| 48,500 | Kerry Properties Ltd. | 87,707 | ||||||||
| 29,800 | Luk Fook Holdings International Ltd. | 73,161 | ||||||||
| 140,000 | Pacific Basin Shipping Ltd. | 49,285 | ||||||||
| 133,000 | Pacific Textiles Holdings Ltd. | 25,711 | ||||||||
| 58,000 | Shun Tak Holdings Ltd. * | 5,590 | ||||||||
| 32,500 | SmarTone Telecommunications Holdings Ltd. | 15,185 | ||||||||
| 102,000 | Sun Hung Kai Properties Ltd. | 985,576 | ||||||||
| 97,000 | Swire Pacific Ltd. – Class A | 844,351 | ||||||||
| 13,800 | Swire Properties Ltd. | 25,382 | ||||||||
| 39,000 | Texhong International Group Ltd. * | 21,994 | ||||||||
| 46,000 | Texwinca Holdings Ltd. | 6,084 | ||||||||
| 190,000 | VSTECS Holdings Ltd. | 111,884 | ||||||||
| 29,000 | VTech Holdings Ltd. | 207,947 | ||||||||
| 1,845,500 | WH Group Ltd. | 1,257,626 | ||||||||
| 71,000 | Yue Yuen Industrial Holdings Ltd. | 131,270 | ||||||||
|
|
|
|||||||||
| Total Hong Kong | 8,289,128 | |||||||||
|
|
|
|||||||||
| Hungary — 0.2% | ||||||||||
| 21,443 | MOL Hungarian Oil & Gas PLC | 166,794 | ||||||||
| 41,833 | OTP Bank Nyrt | 2,020,126 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Hungary — continued | ||||||||||
| 13,214 | Richter Gedeon Nyrt | 334,960 | ||||||||
|
|
|
|||||||||
| Total Hungary | 2,521,880 | |||||||||
|
|
|
|||||||||
| India — 1.8% | ||||||||||
| 24,514 | Arvind Ltd. | 111,884 | ||||||||
| 50,713 | Aurobindo Pharma Ltd. | 723,571 | ||||||||
| 54 | Bajaj Auto Ltd. | 5,891 | ||||||||
| 21,287 | Berger Paints India Ltd. | 117,310 | ||||||||
| 125,550 | Bharat Petroleum Corp. Ltd. | 946,105 | ||||||||
| 5,796 | Castrol India Ltd. | 13,616 | ||||||||
| 32,286 | Chambal Fertilisers & Chemicals Ltd. | 150,341 | ||||||||
| 17,362 | Chennai Petroleum Corp. Ltd. | 190,747 | ||||||||
| 18,687 | Cipla Ltd. | 325,015 | ||||||||
| 1,427 | Colgate-Palmolive India Ltd. | 45,251 | ||||||||
| 2,265 | Coromandel International Ltd. | 35,414 | ||||||||
| 1,336 | Deepak Fertilisers & Petrochemicals Corp. Ltd. | 9,057 | ||||||||
| 5,692 | Dhampur Bio Organics Ltd. | 8,187 | ||||||||
| 13,565 | Dr Reddy’s Laboratories Ltd. ADR | 931,644 | ||||||||
| 5,236 | Dr Reddy’s Laboratories Ltd. | 363,098 | ||||||||
| 25 | Engineers India Ltd. | 74 | ||||||||
| 14,361 | Exide Industries Ltd. | 84,217 | ||||||||
| 201,745 | GAIL India Ltd. | 495,227 | ||||||||
| 2,583 | GHCL Ltd. | 15,605 | ||||||||
| 6,632 | Great Eastern Shipping Co. Ltd. | 86,081 | ||||||||
| 7,122 | Gujarat Narmada Valley Fertilizers & Chemicals Ltd. | 54,225 | ||||||||
| 74,589 | Gujarat State Fertilizers & Chemicals Ltd. | 188,934 | ||||||||
| 16,875 | HCL Technologies Ltd. | 268,257 | ||||||||
| 12,583 | Hero MotoCorp Ltd. | 773,733 | ||||||||
| 44,128 | Hindalco Industries Ltd. | 363,796 | ||||||||
| 29,848 | Hindustan Petroleum Corp. Ltd. | 193,021 | ||||||||
| 232,868 | Indiabulls Housing Finance Ltd. | 441,442 | ||||||||
| 359,425 | Indian Oil Corp. Ltd. | 700,921 | ||||||||
| 35,801 | Indraprastha Gas Ltd. | 189,553 | ||||||||
| 9,132 | Infosys Ltd. Sponsored ADR (b) | 152,961 | ||||||||
| 1,886 | Infosys Ltd. | 31,972 | ||||||||
| 366,992 | ITC Ltd. | 1,879,175 | ||||||||
| 12,783 | JM Financial Ltd. * | 12,084 | ||||||||
| 34,233 | Karnataka Bank Ltd. | 87,775 | ||||||||
| 5,651 | Mahanagar Gas Ltd. | 87,976 | ||||||||
| 219,911 | Manappuram Finance Ltd. | 448,214 | ||||||||
| 5,999 | Muthoot Finance Ltd. | 121,638 | ||||||||
| 17,300 | NCC Ltd. | 59,865 | ||||||||
| 456,377 | NMDC Ltd. | 1,425,714 | ||||||||
| 975,879 | Oil & Natural Gas Corp. Ltd. | 3,114,801 | ||||||||
| 28,612 | One 97 Communications Ltd. * | 123,657 | ||||||||
| 51,223 | Petronet LNG Ltd. | 182,443 | ||||||||
| 227,669 | Power Finance Corp. Ltd. | 1,349,471 | ||||||||
| 305,714 | Power Grid Corp. of India Ltd. | 1,133,889 | ||||||||
| 40,909 | PTC India Ltd. | 103,153 | ||||||||
| 24,009 | Rashtriya Chemicals & Fertilizers Ltd. | 44,428 | ||||||||
| 115,862 | REC Ltd. | 748,212 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| India — continued | ||||||||||
| 10,243 | Redington Ltd. | 24,434 | ||||||||
| 180 | Reliance Industries Ltd. | 6,171 | ||||||||
| 4,177 | RITES Ltd. | 35,197 | ||||||||
| 7,620 | Shipping Corp. of India Ltd. | 22,513 | ||||||||
| 6,779 | Shriram Finance Ltd. | 194,017 | ||||||||
| 22,462 | Sun TV Network Ltd. | 176,545 | ||||||||
| 3,678 | Tata Consultancy Services Ltd. | 163,273 | ||||||||
| 9,720 | Vardhman Textiles Ltd. | 52,558 | ||||||||
| 2,898 | Zensar Technologies Ltd. | 21,314 | ||||||||
| 43,115 | Zydus Lifesciences Ltd. | 516,619 | ||||||||
|
|
|
|||||||||
| Total India | 20,152,286 | |||||||||
|
|
|
|||||||||
| Indonesia — 0.4% | ||||||||||
| 930,000 | AKR Corporindo Tbk. PT | 91,647 | ||||||||
| 476,800 | Aneka Tambang Tbk. PT | 43,038 | ||||||||
| 164,100 | Astra International Tbk. PT | 43,406 | ||||||||
| 2,346,800 | Bank Central Asia Tbk. PT | 1,335,264 | ||||||||
| 1,291,092 | Bank Mandiri Persero Tbk. PT | 468,235 | ||||||||
| 2,089,200 | Bank Negara Indonesia Persero Tbk. PT | 566,902 | ||||||||
| 1,665,900 | Bank Pembangunan Daerah Jawa Timur Tbk. PT | 51,258 | ||||||||
| 3,023,000 | Bank Rakyat Indonesia Persero Tbk. PT | 810,283 | ||||||||
| 298,900 | Indofood Sukses Makmur Tbk. PT | 108,088 | ||||||||
| 1,399,700 | Kalbe Farma Tbk. PT | 128,225 | ||||||||
| 190,600 | Medco Energi Internasional Tbk. PT | 16,475 | ||||||||
| 1,193,300 | Media Nusantara Citra Tbk. PT | 22,623 | ||||||||
| 793,900 | Sarana Menara Nusantara Tbk. PT | 33,710 | ||||||||
| 445,400 | Semen Indonesia Persero Tbk. PT | 95,658 | ||||||||
|
|
|
|||||||||
| Total Indonesia | 3,814,812 | |||||||||
|
|
|
|||||||||
| Ireland — 0.2% | ||||||||||
| 9,210 | AIB Group PLC | 52,411 | ||||||||
| 28,811 | Bank of Ireland Group PLC | 331,126 | ||||||||
| 1,187 | Kingspan Group PLC | 114,353 | ||||||||
| 15,644 | Origin Enterprises PLC | 52,319 | ||||||||
| 9,611 | Permanent TSB Group Holdings PLC * | 15,989 | ||||||||
| 13,800 | Ryanair Holdings PLC Sponsored ADR (b) | 1,678,632 | ||||||||
|
|
|
|||||||||
| Total Ireland | 2,244,830 | |||||||||
|
|
|
|||||||||
| Israel — 0.3% | ||||||||||
| 8,862 | Bank Leumi Le-Israel BM | 73,732 | ||||||||
| 6,729 | Check Point Software Technologies Ltd. * (a) | 1,012,714 | ||||||||
| 14,349 | Israel Discount Bank Ltd. – Class A | 73,799 | ||||||||
| 189,590 | Oil Refineries Ltd. | 51,582 | ||||||||
| 124,090 | Teva Pharmaceutical Industries Ltd. Sponsored ADR * | 2,100,844 | ||||||||
| 14,260 | Teva Pharmaceutical Industries Ltd. * | 240,105 | ||||||||
|
|
|
|||||||||
| Total Israel | 3,552,776 | |||||||||
|
|
|
|||||||||
| Italy — 1.7% | ||||||||||
| 47,471 | Anima Holding SpA | 253,697 | ||||||||
| 18,994 | Assicurazioni Generali SpA (b) | 488,879 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Italy — continued | ||||||||||
| 16,819 | Banca IFIS SpA | 370,374 | ||||||||
| 31,972 | Banco BPM SpA | 230,677 | ||||||||
| 189,378 | BPER Banca SpA | 1,019,180 | ||||||||
| 201 | Buzzi SpA (a) | 8,498 | ||||||||
| 17,700 | Credito Emiliano SpA | 185,116 | ||||||||
| 119,407 | Eni SpA | 1,885,959 | ||||||||
| 5,322 | Esprinet SpA * | 28,688 | ||||||||
| 915 | Hera SpA | 3,377 | ||||||||
| 203,956 | Intesa Sanpaolo SpA | 803,430 | ||||||||
| 22,059 | Iveco Group NV | 264,507 | ||||||||
| 126,579 | Leonardo SpA * (a) | 3,255,856 | ||||||||
| 25,662 | MFE-MediaForEurope NV – Class A | 88,122 | ||||||||
| 4,445 | Poste Italiane SpA | 61,061 | ||||||||
| 209,710 | Stellantis NV | 4,646,341 | ||||||||
| 4,433,607 | Telecom Italia SpA * (a) | 1,168,722 | ||||||||
| 16,700 | Tenaris SA ADR | 550,599 | ||||||||
| 33,849 | UniCredit SpA | 1,347,617 | ||||||||
| 1,495 | Unieuro SpA (a) | 15,676 | ||||||||
| 234,120 | Unipol Gruppo SpA | 2,413,594 | ||||||||
|
|
|
|||||||||
| Total Italy | 19,089,970 | |||||||||
|
|
|
|||||||||
| Japan — 17.6% | ||||||||||
| 10,300 | ADEKA Corp. | 221,423 | ||||||||
| 5,100 | Aichi Corp. | 37,754 | ||||||||
| 49,000 | Amano Corp. | 1,177,966 | ||||||||
| 2,800 | AOKI Holdings, Inc. | 22,625 | ||||||||
| 3,000 | Arata Corp. | 61,500 | ||||||||
| 4,800 | Asahi Yukizai Corp. | 146,956 | ||||||||
| 8,800 | Axial Retailing, Inc. | 56,199 | ||||||||
| 3,600 | Bando Chemical Industries Ltd. | 41,856 | ||||||||
| 15,400 | Belluna Co. Ltd. | 70,399 | ||||||||
| 9,200 | BML, Inc. | 164,160 | ||||||||
| 31,300 | Bridgestone Corp. (a) (b) | 1,371,925 | ||||||||
| 102,900 | Brother Industries Ltd. | 1,980,466 | ||||||||
| 3,300 | Bunka Shutter Co. Ltd. | 38,154 | ||||||||
| 13,200 | Canon Marketing Japan, Inc. | 373,409 | ||||||||
| 25,300 | Canon, Inc. | 736,284 | ||||||||
| 2,900 | Central Glass Co. Ltd. | 66,241 | ||||||||
| 1,300 | Chiyoda Integre Co. Ltd. | 24,126 | ||||||||
| 128,900 | Chubu Electric Power Co., Inc. (b) | 1,780,853 | ||||||||
| 2,400 | Cosmo Energy Holdings Co. Ltd. | 119,837 | ||||||||
| 180,000 | Credit Saison Co. Ltd. | 3,902,255 | ||||||||
| 10,900 | Dai Nippon Printing Co. Ltd. (b) | 339,498 | ||||||||
| 1,100 | Dai Nippon Toryo Co. Ltd. | 8,731 | ||||||||
| 72,000 | Daicel Corp. | 729,436 | ||||||||
| 3,000 | Dai-Dan Co. Ltd. | 62,504 | ||||||||
| 21,700 | Daido Steel Co. Ltd. | 219,263 | ||||||||
| 1,500 | Daihen Corp. | 79,815 | ||||||||
| 3,600 | Daiichi Jitsugyo Co. Ltd. | 54,259 | ||||||||
| 15,700 | Daiki Aluminium Industry Co. Ltd. | 132,488 | ||||||||
| 34,900 | Daiwa House Industry Co. Ltd. | 928,572 | ||||||||
| 144,500 | Daiwabo Holdings Co. Ltd. | 2,556,411 | ||||||||
| 135,100 | Denka Co. Ltd. | 1,908,740 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| 1,600 | DTS Corp. (b) | 42,562 | ||||||||
| 14,100 | EDION Corp. | 141,168 | ||||||||
| 700 | Elecom Co. Ltd. | 6,907 | ||||||||
| 536,400 | ENEOS Holdings, Inc. | 2,773,317 | ||||||||
| 111,800 | EXEO Group, Inc. | 1,147,086 | ||||||||
| 300 | FCC Co. Ltd. | 4,288 | ||||||||
| 19,700 | Ferrotec Holdings Corp. | 336,784 | ||||||||
| 145,400 | Fuji Corp. | 2,353,270 | ||||||||
| 1,500 | Fuji Electric Co. Ltd. | 89,485 | ||||||||
| 93,200 | FUJIFILM Holdings Corp. (a) | 2,128,292 | ||||||||
| 93,900 | Fujikura Ltd. | 1,937,668 | ||||||||
| 100 | Fukuda Denshi Co. Ltd. | 3,936 | ||||||||
| 1,200 | Fukushima Galilei Co. Ltd. | 46,366 | ||||||||
| 1,000 | FULLCAST Holdings Co. Ltd. | 9,225 | ||||||||
| 100 | Fuyo General Lease Co. Ltd. | 7,932 | ||||||||
| 5,000 | GLOBERIDE, Inc. | 66,293 | ||||||||
| 6,200 | Glory Ltd. | 108,279 | ||||||||
| 38,100 | GungHo Online Entertainment, Inc. | 641,148 | ||||||||
| 163,900 | H.U. Group Holdings, Inc. | 2,618,971 | ||||||||
| 1,000 | Hamakyorex Co. Ltd. | 25,775 | ||||||||
| 4,200 | Hanwa Co. Ltd. | 178,313 | ||||||||
| 62,200 | Haseko Corp. (a) | 703,102 | ||||||||
| 23,100 | Hitachi Construction Machinery Co. Ltd. | 629,441 | ||||||||
| 900 | Hitachi Ltd. (b) | 92,689 | ||||||||
| 52,100 | Hogy Medical Co. Ltd. | 1,309,337 | ||||||||
| 189,000 | Honda Motor Co. Ltd. (b) | 2,140,181 | ||||||||
| 67,579 | Honda Motor Co. Ltd. Sponsored ADR | 2,292,280 | ||||||||
| 11,900 | Horiba Ltd. | 940,774 | ||||||||
| 19,100 | Hosiden Corp. | 243,808 | ||||||||
| 74,600 | Idemitsu Kosan Co. Ltd. | 510,829 | ||||||||
| 300 | Inaba Denki Sangyo Co. Ltd. | 7,407 | ||||||||
| 28,000 | Inabata & Co. Ltd. | 596,908 | ||||||||
| 366,900 | Inpex Corp. | 5,661,178 | ||||||||
| 306,900 | Isuzu Motors Ltd. | 4,113,053 | ||||||||
| 102,600 | ITOCHU Corp. (a) | 4,843,397 | ||||||||
| 17,500 | Itochu Enex Co. Ltd. | 171,780 | ||||||||
| 500 | Itochu-Shokuhin Co. Ltd. | 22,764 | ||||||||
| 7,700 | Itoham Yonekyu Holdings, Inc. | 203,171 | ||||||||
| 5,000 | Itoki Corp. | 49,020 | ||||||||
| 1,700 | Izumi Co. Ltd. | 36,492 | ||||||||
| 30,400 | JAFCO Group Co. Ltd. | 346,242 | ||||||||
| 1,000 | Japan Lifeline Co. Ltd. | 7,264 | ||||||||
| 10,300 | Japan Petroleum Exploration Co. Ltd. | 433,660 | ||||||||
| 45,600 | Japan Post Insurance Co. Ltd. | 878,775 | ||||||||
| 100,300 | Japan Tobacco, Inc. (b) | 2,845,783 | ||||||||
| 43,300 | JFE Holdings, Inc. | 655,540 | ||||||||
| 1,200 | Justsystems Corp. (b) | 21,273 | ||||||||
| 16,500 | Kaga Electronics Co. Ltd. | 602,850 | ||||||||
| 43,200 | Kajima Corp. | 734,008 | ||||||||
| 3,500 | Kamei Corp. | 45,895 | ||||||||
| 43,600 | Kandenko Co. Ltd. | 518,931 | ||||||||
| 2,000 | Kaneka Corp. | 53,818 | ||||||||
| 231,100 | Kanematsu Corp. | 3,964,935 | ||||||||
| 20,100 | Kansai Electric Power Co., Inc. (b) | 363,754 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| 29,300 | Kawasaki Kisen Kaisha Ltd. (b) | 435,466 | ||||||||
| 22,700 | KDDI Corp. (b) | 625,493 | ||||||||
| 171,000 | Kirin Holdings Co. Ltd. (a) | 2,361,500 | ||||||||
| 35,500 | Kobe Steel Ltd. | 462,549 | ||||||||
| 8,600 | Kohnan Shoji Co. Ltd. | 229,855 | ||||||||
| 3,800 | Kokuyo Co. Ltd. | 65,395 | ||||||||
| 43,300 | Komatsu Ltd. (b) | 1,272,631 | ||||||||
| 10,000 | Komeri Co. Ltd. (a) | 237,814 | ||||||||
| 36,500 | K’s Holdings Corp. | 338,513 | ||||||||
| 43,700 | Kumiai Chemical Industry Co. Ltd. | 214,164 | ||||||||
| 5,400 | Kureha Corp. | 99,036 | ||||||||
| 3,000 | Kyokuto Kaihatsu Kogyo Co. Ltd. | 47,765 | ||||||||
| 19,800 | Kyudenko Corp. | 806,271 | ||||||||
| 700 | Life Corp. | 18,284 | ||||||||
| 356,400 | Macromill, Inc. | 2,010,662 | ||||||||
| 18,700 | Marubeni Corp. (b) | 366,250 | ||||||||
| 500 | Maruha Nichiro Corp. | 10,419 | ||||||||
| 76,800 | Maruichi Steel Tube Ltd. | 1,832,514 | ||||||||
| 2,700 | Maruzen Showa Unyu Co. Ltd. | 89,195 | ||||||||
| 7,100 | Matsuda Sangyo Co. Ltd. | 128,133 | ||||||||
| 135,000 | Maxell Ltd. | 1,436,908 | ||||||||
| 113,000 | Mazda Motor Corp. | 1,191,332 | ||||||||
| 12,800 | MCJ Co. Ltd. | 112,074 | ||||||||
| 5,700 | Medipal Holdings Corp. | 83,951 | ||||||||
| 2,100 | Melco Holdings, Inc. | 46,822 | ||||||||
| 16,200 | Mirait One Corp. | 196,852 | ||||||||
| 25,400 | Mirarth Holdings, Inc. | 77,664 | ||||||||
| 27,100 | Mitsubishi Chemical Group Corp. (a) | 143,526 | ||||||||
| 42,900 | Mitsubishi Corp. (b) | 905,464 | ||||||||
| 210,100 | Mitsubishi Electric Corp. | 3,650,979 | ||||||||
| 47,700 | Mitsubishi Gas Chemical Co., Inc. | 895,261 | ||||||||
| 2,900 | Mitsubishi Research Institute, Inc. | 86,644 | ||||||||
| 300 | Mitsubishi Shokuhin Co. Ltd. | 9,962 | ||||||||
| 261,900 | Mitsubishi UFJ Financial Group, Inc. (b) | 2,781,815 | ||||||||
| 46,400 | Mitsui & Co. Ltd. (b) | 2,362,419 | ||||||||
| 17,600 | Mitsui Chemicals, Inc. | 533,230 | ||||||||
| 3,100 | Mitsui DM Sugar Holdings Co. Ltd. | 62,865 | ||||||||
| 89,900 | Mitsui OSK Lines Ltd. | 2,963,318 | ||||||||
| 2,500 | Mitsui-Soko Holdings Co. Ltd. | 68,648 | ||||||||
| 2,500 | MIXI, Inc. | 45,569 | ||||||||
| 35,300 | Mizuno Corp. | 1,837,308 | ||||||||
| 80,300 | Morinaga & Co. Ltd. | 1,284,329 | ||||||||
| 39,500 | Morinaga Milk Industry Co. Ltd. | 816,044 | ||||||||
| 58,700 | MS&AD Insurance Group Holdings, Inc. | 1,220,955 | ||||||||
| 1,100 | Nafco Co. Ltd. | 20,308 | ||||||||
| 4,400 | Nagase & Co. Ltd. | 86,238 | ||||||||
| 36,700 | NEC Corp. (b) | 2,731,866 | ||||||||
| 3,200 | NGK Insulators Ltd. | 42,771 | ||||||||
| 74,400 | NH Foods Ltd. | 2,283,745 | ||||||||
| 18,400 | Nichias Corp. | 557,955 | ||||||||
| 6,600 | Nichiha Corp. | 148,976 | ||||||||
| 5,200 | Nichireki Co. Ltd. | 80,089 | ||||||||
| 2,000 | Nippon Densetsu Kogyo Co. Ltd. | 25,603 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| 9,000 | Nippon Shinyaku Co. Ltd. | 176,227 | ||||||||
| 5,000 | Nippon Soda Co. Ltd. | 161,494 | ||||||||
| 80,500 | Nippon Television Holdings, Inc. | 1,085,636 | ||||||||
| 116,200 | Nippon Yusen KK (a) (b) | 3,684,136 | ||||||||
| 15,200 | Nissan Motor Co. Ltd. | 54,365 | ||||||||
| 1,500 | Nissin Corp. | 42,964 | ||||||||
| 24,400 | Niterra Co. Ltd. | 735,378 | ||||||||
| 900 | Nitta Corp. | 23,515 | ||||||||
| 4,400 | Nittetsu Mining Co. Ltd. | 148,571 | ||||||||
| 700 | Nitto Denko Corp. | 53,592 | ||||||||
| 29,900 | Nojima Corp. | 336,429 | ||||||||
| 29,100 | Nomura Real Estate Holdings, Inc. | 750,264 | ||||||||
| 4,500 | Noritake Co. Ltd. | 114,985 | ||||||||
| 1,700 | NS United Kaiun Kaisha Ltd. | 53,511 | ||||||||
| 1,100 | Obara Group, Inc. | 29,693 | ||||||||
| 68,100 | Oji Holdings Corp. | 275,218 | ||||||||
| 23,300 | Okamura Corp. | 337,684 | ||||||||
| 4,400 | OKUMA Corp. | 188,399 | ||||||||
| 113,800 | Ono Pharmaceutical Co. Ltd. (a) | 1,647,923 | ||||||||
| 67,900 | ORIX Corp. | 1,480,765 | ||||||||
| 1,100 | Osaka Gas Co. Ltd. (b) | 25,045 | ||||||||
| 25,400 | Otsuka Holdings Co. Ltd. (a) | 1,048,650 | ||||||||
| 165,200 | Pacific Industrial Co. Ltd. | 1,634,794 | ||||||||
| 3,200 | PAL GROUP Holdings Co. Ltd. | 37,136 | ||||||||
| 1,100 | PALTAC Corp. | 28,870 | ||||||||
| 306,300 | Panasonic Holdings Corp. | 2,705,498 | ||||||||
| 304,500 | Penta-Ocean Construction Co. Ltd. | 1,226,387 | ||||||||
| 4,500 | Pilot Corp. | 125,489 | ||||||||
| 2,200 | Prima Meat Packers Ltd. | 33,155 | ||||||||
| 2,200 | Raito Kogyo Co. Ltd. | 28,168 | ||||||||
| 43,500 | Renesas Electronics Corp. | 801,558 | ||||||||
| 3,000 | Rengo Co. Ltd. | 20,234 | ||||||||
| 500 | Restar Corp. | 9,571 | ||||||||
| 9,500 | Ricoh Co. Ltd. | 85,310 | ||||||||
| 146,000 | Rohm Co. Ltd. (a) | 1,892,376 | ||||||||
| 800 | Roland DG Corp. | 27,271 | ||||||||
| 4,700 | S Foods, Inc. | 85,086 | ||||||||
| 2,900 | Sakai Moving Service Co. Ltd. | 43,793 | ||||||||
| 1,900 | Sakata INX Corp. | 23,092 | ||||||||
| 10,100 | San-A Co. Ltd. | 309,842 | ||||||||
| 10,400 | San-Ai Obbli Co. Ltd. | 137,600 | ||||||||
| 8,800 | Sanki Engineering Co. Ltd. | 123,092 | ||||||||
| 2,700 | Sankyo Co. Ltd. | 26,326 | ||||||||
| 57,300 | Sankyu, Inc. | 2,069,676 | ||||||||
| 71,300 | Sanwa Holdings Corp. | 1,327,347 | ||||||||
| 1,600 | Sanyo Denki Co. Ltd. | 73,867 | ||||||||
| 1,500 | SB Technology Corp. (a) | 28,282 | ||||||||
| 1,000 | SCREEN Holdings Co. Ltd. | 95,655 | ||||||||
| 176,800 | Sega Sammy Holdings, Inc. (a) | 2,497,280 | ||||||||
| 30,200 | Seiko Epson Corp. | 487,968 | ||||||||
| 49,600 | Sekisui Chemical Co. Ltd. | 711,893 | ||||||||
| 121,900 | Sekisui House Ltd. | 2,744,892 | ||||||||
| 2,900 | Sekisui Jushi Corp. | 44,556 | ||||||||
| 11,600 | Shimamura Co. Ltd. | 555,662 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| 4,200 | Shinagawa Refractories Co. Ltd. | 54,182 | ||||||||
| 36,300 | Shionogi & Co. Ltd. | 1,635,427 | ||||||||
| 800 | Sinanen Holdings Co. Ltd. | 23,696 | ||||||||
| 1,500 | Sinko Industries Ltd. | 36,849 | ||||||||
| 1,000 | Sohgo Security Services Co. Ltd. (b) | 6,038 | ||||||||
| 67,460 | Sojitz Corp. | 1,764,876 | ||||||||
| 136,300 | Stanley Electric Co. Ltd. | 2,507,511 | ||||||||
| 15,200 | Star Micronics Co. Ltd. (a) | 205,819 | ||||||||
| 8,100 | Starts Corp., Inc. | 168,997 | ||||||||
| 90,800 | Subaru Corp. | 2,029,806 | ||||||||
| 174,300 | SUMCO Corp. (a) | 2,620,308 | ||||||||
| 66,800 | Sumitomo Corp. | 1,738,302 | ||||||||
| 3,700 | Sumitomo Densetsu Co. Ltd. | 86,070 | ||||||||
| 104,300 | Sumitomo Forestry Co. Ltd. | 3,611,294 | ||||||||
| 35,300 | Sumitomo Heavy Industries Ltd. | 960,454 | ||||||||
| 47,500 | Sumitomo Mitsui Financial Group, Inc. (a) | 3,108,832 | ||||||||
| 101,400 | Sumitomo Mitsui Trust Holdings, Inc. (a) | 2,357,504 | ||||||||
| 222,100 | Sumitomo Pharma Co. Ltd. * | 431,236 | ||||||||
| 9,100 | Sun Frontier Fudousan Co. Ltd. | 113,007 | ||||||||
| 157,500 | T&D Holdings, Inc. | 2,847,340 | ||||||||
| 6,100 | Takeda Pharmaceutical Co. Ltd. | 162,412 | ||||||||
| 2,700 | Tamron Co. Ltd. | 152,235 | ||||||||
| 18,300 | TDK Corp. | 919,126 | ||||||||
| 72,100 | THK Co. Ltd. | 1,398,176 | ||||||||
| 280,600 | Tokai Carbon Co. Ltd. | 1,784,320 | ||||||||
| 1,900 | Tokai Rika Co. Ltd. | 26,949 | ||||||||
| 276,800 | Tokyo Electric Power Co. Holdings, Inc. * (b) | 1,661,758 | ||||||||
| 118,200 | Tokyo Gas Co. Ltd. (b) | 2,654,937 | ||||||||
| 26,100 | Tokyo Steel Manufacturing Co. Ltd. | 260,566 | ||||||||
| 123,000 | Tosei Corp. | 1,768,963 | ||||||||
| 79,700 | Tosoh Corp. | 1,011,365 | ||||||||
| 8,400 | Toyo Tire Corp. | 150,535 | ||||||||
| 4,900 | Toyoda Gosei Co. Ltd. | 95,338 | ||||||||
| 11,400 | Toyota Boshoku Corp. | 166,889 | ||||||||
| 14,000 | Toyota Industries Corp. | 1,320,350 | ||||||||
| 35,400 | Toyota Tsusho Corp. | 2,161,841 | ||||||||
| 1,300 | Transcosmos, Inc. | 28,047 | ||||||||
| 200 | Tsubakimoto Chain Co. | 7,540 | ||||||||
| 10,000 | Tsugami Corp. | 92,593 | ||||||||
| 18,100 | TV Asahi Holdings Corp. | 231,758 | ||||||||
| 3,600 | Wacoal Holdings Corp. | 88,998 | ||||||||
| 14,700 | YAMABIKO Corp. | 201,128 | ||||||||
| 59,700 | Yamaha Corp. | 1,358,452 | ||||||||
| 512,300 | Yamaha Motor Co. Ltd. (a) | 5,016,301 | ||||||||
| 1,300 | Yamato Kogyo Co. Ltd. | 67,954 | ||||||||
| 23,500 | Yamazen Corp. | 210,298 | ||||||||
| 15,500 | Yellow Hat Ltd. | 205,677 | ||||||||
| 86,800 | Yokogawa Bridge Holdings Corp. | 1,527,489 | ||||||||
| 10,500 | Yokohama Rubber Co. Ltd. | 263,716 | ||||||||
| 6,300 | Yuasa Trading Co. Ltd. | 224,798 | ||||||||
| 38,500 | Zenkoku Hosho Co. Ltd. | 1,379,550 | ||||||||
|
|
|
|||||||||
| Total Japan | 195,968,685 | |||||||||
|
|
|
|||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Kuwait — 0.0% | ||||||||||
| 8,662 | Humansoft Holding Co. KSC | 73,044 | ||||||||
|
|
|
|||||||||
| Malaysia — 0.1% | ||||||||||
| 42,700 | AMMB Holdings Bhd. | 38,578 | ||||||||
| 481,500 | CIMB Group Holdings Bhd. | 701,060 | ||||||||
| 22,600 | IOI Corp. Bhd. | 18,366 | ||||||||
| 74,900 | Kossan Rubber Industries Bhd. | 35,350 | ||||||||
| 53,700 | KPJ Healthcare Bhd. | 21,709 | ||||||||
| 162,100 | Malayan Banking Bhd. | 342,059 | ||||||||
| 42,000 | MISC Bhd. | 74,461 | ||||||||
| 54,300 | Petronas Chemicals Group Bhd. | 77,487 | ||||||||
| 16,500 | PPB Group Bhd. | 51,785 | ||||||||
| 74,000 | Sime Darby Bhd. | 43,749 | ||||||||
|
|
|
|||||||||
| Total Malaysia | 1,404,604 | |||||||||
|
|
|
|||||||||
| Mexico — 0.7% | ||||||||||
| 52,786 | Arca Continental SAB de CV | 541,129 | ||||||||
| 45,046 | Banco del Bajio SA | 155,981 | ||||||||
| 8,778 | Cemex SAB de CV Sponsored ADR * | 66,098 | ||||||||
| 4,270 | Coca-Cola Femsa SAB de CV Sponsored ADR | 399,928 | ||||||||
| 495,200 | Credito Real SAB de CV SOFOM ER * (e) | — | ||||||||
| 16,229 | El Puerto de Liverpool SAB de CV – Class C1 | 123,393 | ||||||||
| 157,715 | Fomento Economico Mexicano SAB de CV | 1,806,800 | ||||||||
| 1,871 | Fomento Economico Mexicano SAB de CV Sponsored ADR | 214,454 | ||||||||
| 5,784 | Grupo Aeroportuario del Centro Norte SAB de CV | 59,325 | ||||||||
| 271 | Grupo Aeroportuario del Centro Norte SAB de CV ADR | 22,170 | ||||||||
| 69 | Grupo Aeroportuario del Sureste SAB de CV ADR | 23,156 | ||||||||
| 4,863 | Grupo Aeroportuario del Sureste SAB de CV – Class B | 164,155 | ||||||||
| 206,622 | Grupo Financiero Banorte SAB de CV – Class O | 1,962,766 | ||||||||
| 298,981 | Grupo Mexico SAB de CV – Series B | 1,844,654 | ||||||||
| 46,849 | Kimberly-Clark de Mexico SAB de CV – Class A | 98,522 | ||||||||
| 14,737 | Qualitas Controladora SAB de CV | 189,128 | ||||||||
| 6,694 | Regional SAB de CV | 57,990 | ||||||||
| 815 | Unifin Financiera SAB de CV * (e) | — | ||||||||
| 114,354 | Wal-Mart de Mexico SAB de CV | 429,674 | ||||||||
|
|
|
|||||||||
| Total Mexico | 8,159,323 | |||||||||
|
|
|
|||||||||
| Netherlands — 2.2% | ||||||||||
| 5,415 | Aalberts NV | 259,097 | ||||||||
| 30,714 | Aegon Ltd. | 199,219 | ||||||||
| 889 | Arcadis NV (b) | 58,336 | ||||||||
| 11,540 | ASR Nederland NV (a) | 558,517 | ||||||||
| 42,012 | EXOR NV | 4,717,973 | ||||||||
| 9,049 | ForFarmers NV | 27,016 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Netherlands — continued | ||||||||||
| 1,889 | IMCD NV (a) | 288,271 | ||||||||
| 221,009 | ING Groep NV (a) | 3,948,404 | ||||||||
| 132,570 | Koninklijke Ahold Delhaize NV (b) | 4,111,396 | ||||||||
| 136,441 | Koninklijke Philips NV * (b) | 3,726,866 | ||||||||
| 59,228 | NN Group NV (a) | 2,763,525 | ||||||||
| 37,906 | Randstad NV (b) | 2,003,401 | ||||||||
| 14,698 | Royal BAM Group NV | 61,783 | ||||||||
| 40,177 | Signify NV (a) | 1,097,833 | ||||||||
| 5,392 | Wolters Kluwer NV (b) | 859,966 | ||||||||
|
|
|
|||||||||
| Total Netherlands | 24,681,603 | |||||||||
|
|
|
|||||||||
| New Zealand — 0.0% | ||||||||||
| 83,962 | Meridian Energy Ltd. (b) | 349,330 | ||||||||
|
|
|
|||||||||
| Norway — 0.8% | ||||||||||
| 40,406 | BW LPG Ltd. | 838,757 | ||||||||
| 92,583 | DNO ASA | 103,630 | ||||||||
| 114,253 | Elkem ASA * | 238,776 | ||||||||
| 168,882 | Equinor ASA | 4,902,261 | ||||||||
| 33,071 | Europris ASA | 221,397 | ||||||||
| 6,227 | Golden Ocean Group Ltd. | 89,607 | ||||||||
| 83,629 | Hafnia Ltd. | 734,917 | ||||||||
| 51,819 | Hoegh Autoliners ASA | 618,612 | ||||||||
| 18,539 | Odfjell Drilling Ltd. | 102,095 | ||||||||
| 19,125 | Orkla ASA | 153,125 | ||||||||
| 3,159 | Selvaag Bolig ASA | 11,351 | ||||||||
| 4,613 | Stolt-Nielsen Ltd. | 213,064 | ||||||||
| 9,618 | Storebrand ASA | 104,234 | ||||||||
| 24,753 | Wallenius Wilhelmsen ASA | 264,430 | ||||||||
|
|
|
|||||||||
| Total Norway | 8,596,256 | |||||||||
|
|
|
|||||||||
| Pakistan — 0.0% | ||||||||||
| 16,982 | Attock Refinery Ltd. | 23,210 | ||||||||
| 30,587 | Engro Fertilizers Ltd. | 17,585 | ||||||||
| 294,574 | Oil & Gas Development Co. Ltd. | 141,391 | ||||||||
| 250,147 | Pakistan Petroleum Ltd. | 107,721 | ||||||||
|
|
|
|||||||||
| Total Pakistan | 289,907 | |||||||||
|
|
|
|||||||||
| Philippines — 0.0% | ||||||||||
| 20,500 | Aboitiz Equity Ventures, Inc. | 12,278 | ||||||||
| 150,080 | Megaworld Corp. | 4,619 | ||||||||
|
|
|
|||||||||
| Total Philippines | 16,897 | |||||||||
|
|
|
|||||||||
| Poland — 0.5% | ||||||||||
| 3,024 | Asseco Poland SA | 63,554 | ||||||||
| 22,159 | Bank Polska Kasa Opieki SA | 902,539 | ||||||||
| 1,074 | Budimex SA | 204,041 | ||||||||
| 12,838 | Cyfrowy Polsat SA * | 40,844 | ||||||||
| 96 | Grupa Kety SA | 21,092 | ||||||||
| 17,526 | Orange Polska SA | 36,560 | ||||||||
| 164,926 | ORLEN SA | 2,671,553 | ||||||||
| 21,339 | Pepco Group NV * | 131,681 | ||||||||
| 137,278 | PGE Polska Grupa Energetyczna SA * | 237,137 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Poland — continued | ||||||||||
| 8,272 | Powszechna Kasa Oszczednosci Bank Polski SA | 125,340 | ||||||||
| 53,558 | Powszechny Zaklad Ubezpieczen SA | 681,634 | ||||||||
| 2,167 | Santander Bank Polska SA | 279,412 | ||||||||
|
|
|
|||||||||
| Total Poland | 5,395,387 | |||||||||
|
|
|
|||||||||
| Portugal — 0.0% | ||||||||||
| 37,937 | Navigator Co. SA * (a) | 165,904 | ||||||||
| 202,578 | Sonae SGPS SA | 209,114 | ||||||||
|
|
|
|||||||||
| Total Portugal | 375,018 | |||||||||
|
|
|
|||||||||
| Qatar — 0.0% | ||||||||||
| 81,453 | Industries Qatar QSC | 258,769 | ||||||||
| 40,449 | Ooredoo QPSC | 104,496 | ||||||||
| 13,335 | Qatar Gas Transport Co. Ltd. | 14,609 | ||||||||
| 5,888 | Qatar Islamic Bank SAQ | 27,925 | ||||||||
| 13,070 | Qatar National Bank QPSC | 48,583 | ||||||||
|
|
|
|||||||||
| Total Qatar | 454,382 | |||||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| 3,038,020 | Alrosa PJSC (e) (f) | 25,114 | ||||||||
| 160,792,062 | Federal Grid Co.-Rosseti PJSC * (e) | 1,808 | ||||||||
| 68,395 | Fix Price Group PLC GDR (e) | 1,628 | ||||||||
| 180,610 | Gazprom Neft PJSC (e) | 13,440 | ||||||||
| 2,050,858 | Gazprom PJSC * (e) | 28,384 | ||||||||
| 455,400 | GMK Norilskiy Nickel PAO (e) | 7,097 | ||||||||
| 6,310,100 | Inter RAO UES PJSC * (e) | 2,845 | ||||||||
| 19,776 | LSR Group PJSC (e) | 1,705 | ||||||||
| 1 | LSR Group PJSC GDR (e) | — | ||||||||
| 74,944 | LUKOIL PJSC (e) | 60,908 | ||||||||
| 1,863,335 | Magnitogorsk Iron & Steel Works PJSC * (e) (f) | 11,340 | ||||||||
| 25,400 | Mechel PJSC * (e) (f) | 605 | ||||||||
| 1 | MMC Norilsk Nickel PJSC ADR * (e) | — | ||||||||
| 16,770 | Mobile TeleSystems PJSC (e) | 525 | ||||||||
| 361,420 | Moscow Exchange MICEX-Rates PJSC (e) | 9,565 | ||||||||
| 3,294,000 | Mosenergo PJSC (e) | 1,103 | ||||||||
| 75,720 | Novatek PJSC (e) | 9,062 | ||||||||
| 1,212,010 | Novolipetsk Steel PJSC (e) | 25,893 | ||||||||
| 3,466 | PhosAgro PJSC (e) | 2,276 | ||||||||
| 67 | PhosAgro PJSC GDR (e) (f) | 15 | ||||||||
| 10,215 | Polyus PJSC * (e) (f) | 13,795 | ||||||||
| 1 | Polyus PJSC GDR (Registered) (e) (f) | 1 | ||||||||
| 24,471,200 | RusHydro PJSC (e) | 1,709 | ||||||||
| 3,677,652 | Sberbank of Russia PJSC * (e) (f) | 127,092 | ||||||||
| 425 | Severstal PAO * (e) (f) | 84 | ||||||||
| 91,185 | Severstal PAO GDR (Registered) * (e) (f) | 17,935 | ||||||||
| 11,580 | SFI PJSC (e) | 1,652 | ||||||||
| 5,940,620 | Surgutneftegas PJSC (e) | 18,769 | ||||||||
| 332,388 | Tatneft PJSC (e) | 25,327 | ||||||||
| 1,300,440 | Unipro PJSC * (e) | 275 | ||||||||
| 50,950 | United Co. Rusal International PJSC * (e) | 241 | ||||||||
|
|
|
|||||||||
| Total Russia | 410,193 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Saudi Arabia — 0.0% | ||||||||||
| 4,251 | Almarai Co. JSC | 59,290 | ||||||||
| 6,554 | Saudi Arabian Oil Co. | 50,667 | ||||||||
| 20,969 | Saudi National Bank | 190,428 | ||||||||
|
|
|
|||||||||
| Total Saudi Arabia | 300,385 | |||||||||
|
|
|
|||||||||
| Singapore — 0.6% | ||||||||||
| 39,000 | Bumitama Agri Ltd. | 20,214 | ||||||||
| 265,400 | ComfortDelGro Corp. Ltd. | 273,614 | ||||||||
| 16,508 | DBS Group Holdings Ltd. | 440,199 | ||||||||
| 35,500 | First Real Estate Investment Trust – (REIT) (a) | 6,297 | ||||||||
| 84,500 | First Resources Ltd. | 88,218 | ||||||||
| 870,300 | Golden Agri-Resources Ltd. | 170,776 | ||||||||
| 126,300 | Keppel Ltd. | 629,711 | ||||||||
| 178,600 | Oversea-Chinese Banking Corp. Ltd. | 1,922,109 | ||||||||
| 40,900 | Sasseur Real Estate Investment Trust – (REIT) | 20,606 | ||||||||
| 37,700 | Sheng Siong Group Ltd. | 41,609 | ||||||||
| 74,700 | StarHub Ltd. | 70,757 | ||||||||
| 37,000 | United Overseas Bank Ltd. | 843,676 | ||||||||
| 25,400 | UOL Group Ltd. | 101,677 | ||||||||
| 12,100 | Venture Corp. Ltd. | 125,905 | ||||||||
| 90,299 | Yangzijiang Financial Holding Ltd. | 21,750 | ||||||||
| 1,299,899 | Yangzijiang Shipbuilding Holdings Ltd. | 2,199,427 | ||||||||
| 134,400 | Yanlord Land Group Ltd. * | 45,822 | ||||||||
|
|
|
|||||||||
| Total Singapore | 7,022,367 | |||||||||
|
|
|
|||||||||
| South Africa — 0.6% | ||||||||||
| 20,661 | Absa Group Ltd. | 164,672 | ||||||||
| 26,946 | Anglo American Platinum Ltd. | 883,950 | ||||||||
| 34,865 | AVI Ltd. | 157,999 | ||||||||
| 7,395 | Barloworld Ltd. | 35,398 | ||||||||
| 43,165 | Bidvest Group Ltd. | 564,351 | ||||||||
| 27,450 | Clicks Group Ltd. | 430,849 | ||||||||
| 427,751 | FirstRand Ltd. | 1,484,010 | ||||||||
| 23,127 | Foschini Group Ltd. | 117,021 | ||||||||
| 23,814 | Investec Ltd. | 155,698 | ||||||||
| 10,013 | Kumba Iron Ore Ltd. | 262,498 | ||||||||
| 15,561 | Motus Holdings Ltd. | 71,473 | ||||||||
| 36,361 | Mr Price Group Ltd. | 344,369 | ||||||||
| 10 | MTN Group Ltd. | 44 | ||||||||
| 16,054 | Nedbank Group Ltd. | 194,884 | ||||||||
| 9,304 | Ninety One Ltd. | 19,628 | ||||||||
| 6,273 | Reunert Ltd. | 22,919 | ||||||||
| 37,117 | Sanlam Ltd. | 140,050 | ||||||||
| 75,491 | Sappi Ltd. | 217,030 | ||||||||
| 18,985 | Shoprite Holdings Ltd. | 252,418 | ||||||||
| 15,522 | Tiger Brands Ltd. | 160,750 | ||||||||
| 77,979 | Truworths International Ltd. | 316,932 | ||||||||
| 22,654 | Woolworths Holdings Ltd. | 65,470 | ||||||||
|
|
|
|||||||||
| Total South Africa | 6,062,413 | |||||||||
|
|
|
|||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| South Korea — 1.8% | ||||||||||
| 5,607 | ABOV Semiconductor Co. Ltd. | 52,853 | ||||||||
| 34,993 | BNK Financial Group, Inc. | 214,331 | ||||||||
| 5,918 | Cheil Worldwide, Inc. | 80,019 | ||||||||
| 6,229 | Coway Co. Ltd. | 255,091 | ||||||||
| 17,323 | Daewon Cable Co. Ltd. * | 44,935 | ||||||||
| 6,725 | Daou Data Corp. | 56,195 | ||||||||
| 1,614 | DB Insurance Co. Ltd. | 120,965 | ||||||||
| 19,254 | Dongwon Development Co. Ltd. | 38,462 | ||||||||
| 238 | F&F Co. Ltd. | 11,548 | ||||||||
| 1,336 | Fila Holdings Corp. | 38,111 | ||||||||
| 2,936 | Global Standard Technology Co. Ltd. | 95,454 | ||||||||
| 11,631 | GS Holdings Corp. | 367,208 | ||||||||
| 15,376 | Hana Financial Group, Inc. | 686,624 | ||||||||
| 1,143 | Handsome Co. Ltd. | 14,819 | ||||||||
| 8,286 | Hankook Tire & Technology Co. Ltd. | 262,557 | ||||||||
| 26,474 | Hanon Systems | 95,796 | ||||||||
| 12,513 | HDC Hyundai Development Co-Engineering & Construction | 158,799 | ||||||||
| 2,849 | Hyundai Engineering & Construction Co. Ltd. | 68,364 | ||||||||
| 3,545 | Hyundai Glovis Co. Ltd. | 461,400 | ||||||||
| 501 | Hyundai Home Shopping Network Corp. | 18,986 | ||||||||
| 10,136 | Hyundai Mobis Co. Ltd. | 1,580,353 | ||||||||
| 6,175 | Hyundai Motor Co. | 1,133,136 | ||||||||
| 2,408 | Hyundai Steel Co. | 51,718 | ||||||||
| 228 | INTOPS Co. Ltd. | 3,883 | ||||||||
| 14,718 | JB Financial Group Co. Ltd. | 155,307 | ||||||||
| 3,491 | Kakaopay Corp. * | 78,163 | ||||||||
| 7,525 | Kangwon Land, Inc. | 81,036 | ||||||||
| 8,230 | KB Financial Group, Inc. | 473,145 | ||||||||
| 4,303 | KB Financial Group, Inc. ADR | 247,595 | ||||||||
| 705 | KCC Glass Corp. | 20,593 | ||||||||
| 46,666 | Kia Corp. | 3,983,234 | ||||||||
| 9,783 | KT Corp. Sponsored ADR | 132,266 | ||||||||
| 27,393 | KT&G Corp. | 1,653,488 | ||||||||
| 10,903 | LG Corp. | 641,529 | ||||||||
| 35,141 | LG Electronics, Inc. | 2,672,958 | ||||||||
| 8,462 | LG Uplus Corp. | 59,095 | ||||||||
| 2,799 | LOTTE Fine Chemical Co. Ltd. | 97,351 | ||||||||
| 7,973 | Mirae Asset Securities Co. Ltd. | 41,677 | ||||||||
| 946 | NAVER Corp. | 117,114 | ||||||||
| 1,054 | Orion Corp. | 69,735 | ||||||||
| 382 | POSCO Holdings, Inc. | 102,440 | ||||||||
| 19,907 | POSCO Holdings, Inc. Sponsored ADR | 1,341,931 | ||||||||
| 2,916 | Samsung E&A Co. Ltd. * | 49,388 | ||||||||
| 12,372 | Samsung Electronics Co. Ltd. | 655,503 | ||||||||
| 26 | Samsung Electronics Co. Ltd. GDR (b) | 35,229 | ||||||||
| 4,100 | Samsung Securities Co. Ltd. | 107,318 | ||||||||
| 11,126 | Shinhan Financial Group Co. Ltd. | 381,695 | ||||||||
| 13,095 | SK Networks Co. Ltd. | 47,943 | ||||||||
| 4,263 | SK Telecom Co. Ltd. Sponsored ADR | 88,159 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| South Korea — continued | ||||||||||
| 52,578 | Woori Financial Group, Inc. | 539,309 | ||||||||
| 3,354 | Youngone Corp. | 82,376 | ||||||||
|
|
|
|||||||||
| Total South Korea | 19,867,184 | |||||||||
|
|
|
|||||||||
| Spain — 2.1% | ||||||||||
| 69,356 | Acerinox SA | 759,718 | ||||||||
| 23,216 | Amadeus IT Group SA (b) | 1,657,214 | ||||||||
| 17,671 | Atresmedia Corp. de Medios de Comunicacion SA | 101,807 | ||||||||
| 541,185 | Banco Bilbao Vizcaya Argentaria SA | 5,872,590 | ||||||||
| 2,026,506 | Banco de Sabadell SA | 4,280,570 | ||||||||
| 836,937 | Banco Santander SA | 4,413,793 | ||||||||
| 33,331 | CaixaBank SA | 190,889 | ||||||||
| 13,744 | Ence Energia y Celulosa SA * | 50,533 | ||||||||
| 596 | Grupo Catalana Occidente SA | 24,724 | ||||||||
| 61,418 | Industria de Diseno Textil SA (b) | 2,920,522 | ||||||||
| 178,668 | Mapfre SA (a) | 430,229 | ||||||||
| 34,234 | Prosegur Compania de Seguridad SA | 65,884 | ||||||||
| 125,634 | Repsol SA | 2,050,936 | ||||||||
|
|
|
|||||||||
| Total Spain | 22,819,409 | |||||||||
|
|
|
|||||||||
| Sweden — 0.7% | ||||||||||
| 4,628 | Betsson AB * (c) | 1,650 | ||||||||
| 4,628 | Betsson AB (b) (c) | 53,073 | ||||||||
| 166,156 | Fastighets AB Balder – B Shares * (a) | 1,124,997 | ||||||||
| 2,745 | Investor AB – A Shares (b) | 73,944 | ||||||||
| 94,814 | Investor AB – B Shares (b) | 2,572,812 | ||||||||
| 9,284 | Securitas AB – B Shares (b) | 95,544 | ||||||||
| 27,296 | Skanska AB – B Shares | 482,128 | ||||||||
| 133,956 | Telefonaktiebolaget LM Ericsson – B Shares | 825,378 | ||||||||
| 4,640 | Volvo AB – A Shares | 126,099 | ||||||||
| 61,985 | Volvo AB – B Shares | 1,668,319 | ||||||||
| 39,368 | Volvo Car AB – Class B * | 132,584 | ||||||||
|
|
|
|||||||||
| Total Sweden | 7,156,528 | |||||||||
|
|
|
|||||||||
| Switzerland — 1.4% | ||||||||||
| 78,802 | Adecco Group AG (Registered) (b) | 2,990,600 | ||||||||
| 393 | Bobst Group SA (Registered) | 29,964 | ||||||||
| 2,724 | Holcim AG (b) | 239,303 | ||||||||
| 9,860 | Logitech International SA (Registered) (c) | 986,881 | ||||||||
| 558 | Logitech International SA (Registered) (c) | 55,806 | ||||||||
| 2,157 | Mobilezone Holding AG (Registered) | 34,387 | ||||||||
| 24,194 | Novartis AG Sponsored ADR | 2,495,127 | ||||||||
| 11,980 | Novartis AG (Registered) | 1,239,905 | ||||||||
| 1,009 | Roche Holding AG (a) | 282,386 | ||||||||
| 25,903 | Roche Holding AG – Genusschein | 6,613,470 | ||||||||
| 6,499 | Sandoz Group AG ADR | 230,650 | ||||||||
| 787 | Sandoz Group AG | 27,839 | ||||||||
| 659 | Swatch Group AG | 141,163 | ||||||||
| 874 | Swisscom AG (Registered) (b) | 484,860 | ||||||||
| 602 | u-blox Holding AG (a) | 64,050 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Switzerland — continued | ||||||||||
| 884 | UBS Group AG (Registered) (b) | 28,182 | ||||||||
|
|
|
|||||||||
| Total Switzerland | 15,944,573 | |||||||||
|
|
|
|||||||||
| Taiwan — 2.7% | ||||||||||
| 2,414 | Acter Group Corp. Ltd. | 17,469 | ||||||||
| 137,014 | ASE Technology Holding Co. Ltd. ADR | 1,477,011 | ||||||||
| 30,000 | Asustek Computer, Inc. | 477,611 | ||||||||
| 212,000 | Catcher Technology Co. Ltd. | 1,472,987 | ||||||||
| 35,000 | Chicony Electronics Co. Ltd. | 202,450 | ||||||||
| 81,000 | Chipbond Technology Corp. | 170,468 | ||||||||
| 9,000 | ChipMOS Technologies, Inc. | 12,313 | ||||||||
| 1,000 | Chlitina Holding Ltd. | 5,174 | ||||||||
| 373,000 | Compal Electronics, Inc. | 428,332 | ||||||||
| 26,440 | Coretronic Corp. | 90,506 | ||||||||
| 8,000 | Dynapack International Technology Corp. | 23,377 | ||||||||
| 44,000 | Elitegroup Computer Systems Co. Ltd. * | 46,757 | ||||||||
| 394,200 | Evergreen Marine Corp. Taiwan Ltd. | 2,564,401 | ||||||||
| 59,000 | Farglory Land Development Co. Ltd. | 161,464 | ||||||||
| 27,701 | FLEXium Interconnect, Inc. | 74,832 | ||||||||
| 97,821 | Foxconn Technology Co. Ltd. | 221,731 | ||||||||
| 3,053 | Fubon Financial Holding Co. Ltd. | 6,939 | ||||||||
| 7,080 | Fusheng Precision Co. Ltd. | 63,629 | ||||||||
| 16,000 | Giant Manufacturing Co. Ltd. | 107,599 | ||||||||
| 15,000 | Global Brands Manufacture Ltd. | 34,520 | ||||||||
| 152,000 | Grand Pacific Petrochemical | 68,093 | ||||||||
| 2,000 | Grape King Bio Ltd. | 9,915 | ||||||||
| 9,000 | Hannstar Board Corp. | 16,496 | ||||||||
| 686,318 | Hon Hai Precision Industry Co. Ltd. | 3,654,984 | ||||||||
| 39,000 | Huaku Development Co. Ltd. * | 190,398 | ||||||||
| 19,279 | Innodisk Corp. | 196,884 | ||||||||
| 30,000 | King’s Town Bank Co. Ltd. | 55,647 | ||||||||
| 20,000 | Kung Long Batteries Industrial Co. Ltd. | 91,189 | ||||||||
| 11,000 | Largan Precision Co. Ltd. | 776,894 | ||||||||
| 70,000 | MediaTek, Inc. | 2,680,585 | ||||||||
| 136,000 | Micro-Star International Co. Ltd. | 807,862 | ||||||||
| 33,000 | Nan Ya Printed Circuit Board Corp. | 199,157 | ||||||||
| 49,903 | Nantex Industry Co. Ltd. | 53,689 | ||||||||
| 5,800 | Nien Made Enterprise Co. Ltd. | 62,948 | ||||||||
| 67,000 | Novatek Microelectronics Corp. | 1,235,174 | ||||||||
| 8,000 | Parade Technologies Ltd. | 189,912 | ||||||||
| 6,000 | Pixart Imaging, Inc. | 30,407 | ||||||||
| 204,000 | Pou Chen Corp. | 236,556 | ||||||||
| 246,000 | Powerchip Semiconductor Manufacturing Corp. * | 189,091 | ||||||||
| 6,000 | Powertech Technology, Inc. | 33,126 | ||||||||
| 63,000 | Primax Electronics Ltd. | 197,048 | ||||||||
| 140,472 | Radiant Opto-Electronics Corp. | 856,812 | ||||||||
| 10,000 | Realtek Semiconductor Corp. | 168,839 | ||||||||
| 16,400 | Ruentex Industries Ltd. | 34,641 | ||||||||
| 19,760 | Shin Zu Shing Co. Ltd. | 121,130 | ||||||||
| 29,000 | Shinkong Insurance Co. Ltd. | 85,153 | ||||||||
| 9,000 | Sigurd Microelectronics Corp. | 21,980 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Taiwan — continued | ||||||||||
| 31,900 | Simplo Technology Co. Ltd. | 406,707 | ||||||||
| 2,945 | Sinmag Equipment Corp. | 14,217 | ||||||||
| 29,000 | T3EX Global Holdings Corp. | 99,827 | ||||||||
| 12,000 | TaiDoc Technology Corp. | 60,461 | ||||||||
| 173,000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 4,430,172 | ||||||||
| 21,897 | Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR (b) | 3,307,323 | ||||||||
| 42,000 | Taiwan Surface Mounting Technology Corp. | 147,912 | ||||||||
| 5,360 | Test Research, Inc. | 28,605 | ||||||||
| 25,000 | Transcend Information, Inc. | 90,976 | ||||||||
| 28,000 | Tripod Technology Corp. | 184,429 | ||||||||
| 8,000 | TTY Biopharm Co. Ltd. | 19,173 | ||||||||
| 19,000 | Tung Ho Steel Enterprise Corp. | 40,537 | ||||||||
| 16,000 | TXC Corp. | 55,984 | ||||||||
| 6,000 | United Microelectronics Corp. | 10,215 | ||||||||
| 28,000 | Wisdom Marine Lines Co. Ltd. * | 67,176 | ||||||||
| 620,000 | Yang Ming Marine Transport Corp. | 1,370,196 | ||||||||
| 332,895 | Yuanta Financial Holding Co. Ltd. | 326,227 | ||||||||
|
|
|
|||||||||
| Total Taiwan | 30,584,317 | |||||||||
|
|
|
|||||||||
| Thailand — 0.6% | ||||||||||
| 856,100 | AP Thailand PCL NVDR | 214,560 | ||||||||
| 168,000 | Bangkok Bank PCL NVDR | 623,964 | ||||||||
| 797,200 | BTS Group Holdings PCL NVDR | 104,011 | ||||||||
| 39,600 | GFPT PCL NVDR | 14,470 | ||||||||
| 304,100 | Kasikornbank PCL NVDR | 1,084,531 | ||||||||
| 4,156,000 | Krung Thai Bank PCL NVDR | 1,945,415 | ||||||||
| 1,069,600 | Land & Houses PCL NVDR | 191,883 | ||||||||
| 127,800 | Muangthai Capital PCL NVDR | 154,583 | ||||||||
| 34,532 | Pruksa Holding PCL NVDR | 9,402 | ||||||||
| 241,400 | PTT Exploration & Production PCL NVDR | 1,015,086 | ||||||||
| 486,300 | PTT PCL NVDR | 433,817 | ||||||||
| 23,600 | Regional Container Lines PCL NVDR | 19,082 | ||||||||
| 682,900 | Sansiri PCL NVDR | 29,595 | ||||||||
| 137,300 | SCB X PCL NVDR | 396,454 | ||||||||
| 7,700 | Siam Cement PCL NVDR | 49,478 | ||||||||
| 52,300 | Somboon Advance Technology PCL NVDR | 21,062 | ||||||||
| 154,400 | Sri Trang Agro-Industry PCL NVDR | 99,253 | ||||||||
| 99,600 | Sri Trang Gloves Thailand PCL NVDR | 30,354 | ||||||||
| 93,300 | Supalai PCL NVDR | 46,979 | ||||||||
| 91,100 | Thai Oil PCL NVDR | 128,620 | ||||||||
|
|
|
|||||||||
| Total Thailand | 6,612,599 | |||||||||
|
|
|
|||||||||
| Turkey — 0.5% | ||||||||||
| 790,701 | Akbank TAS | 1,620,842 | ||||||||
| 430,631 | Aselsan Elektronik Sanayi Ve Ticaret AS | 783,330 | ||||||||
| 23,883 | Dogus Otomotiv Servis ve Ticaret AS | 224,482 | ||||||||
| 101,949 | KOC Holding AS | 753,372 | ||||||||
| 49,647 | Mavi Giyim Sanayi Ve Ticaret AS – Class B | 147,147 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Turkey — continued | ||||||||||
| 19,092 | Turk Hava Yollari AO * | 179,542 | ||||||||
| 111,569 | Vestel Beyaz Esya Sanayi ve Ticaret AS | 82,568 | ||||||||
| 1,512,630 | Yapi ve Kredi Bankasi AS | 1,517,938 | ||||||||
|
|
|
|||||||||
| Total Turkey | 5,309,221 | |||||||||
|
|
|
|||||||||
| United Arab Emirates — 0.1% | ||||||||||
| 107,440 | Emirates NBD Bank PJSC | 455,128 | ||||||||
|
|
|
|||||||||
| United Kingdom — 4.4% | ||||||||||
| 174,864 | 3i Group PLC | 6,443,203 | ||||||||
| 54,388 | abrdn PLC (a) | 108,223 | ||||||||
| 24,794 | BAE Systems PLC (b) | 441,482 | ||||||||
| 9,485 | Balfour Beatty PLC | 45,072 | ||||||||
| 4,859 | Bank of Georgia Group PLC | 230,986 | ||||||||
| 266,135 | Barratt Developments PLC (a) | 1,725,740 | ||||||||
| 22,675 | Bellway PLC | 780,778 | ||||||||
| 36,352 | Berkeley Group Holdings PLC | 2,453,051 | ||||||||
| 8,280 | British American Tobacco PLC (b) | 256,058 | ||||||||
| 2,761,138 | BT Group PLC (a) | 4,622,795 | ||||||||
| 53,192 | Centamin PLC | 81,365 | ||||||||
| 6,403 | Close Brothers Group PLC | 39,199 | ||||||||
| 48,974 | Coca-Cola HBC AG | 1,661,947 | ||||||||
| 66,815 | Compass Group PLC (b) | 1,875,911 | ||||||||
| 7,309 | Crest Nicholson Holdings PLC (a) | 22,287 | ||||||||
| 2,368 | CRH PLC (b) | 193,608 | ||||||||
| 23,265 | Evraz PLC * (e) | 607 | ||||||||
| 116,800 | Ferrexpo PLC * | 62,249 | ||||||||
| 1,720 | Galliford Try Holdings PLC | 5,874 | ||||||||
| 19,945 | GSK PLC | 447,526 | ||||||||
| 68,950 | GSK PLC Sponsored ADR (a) | 3,086,891 | ||||||||
| 30,515 | Howden Joinery Group PLC | 355,891 | ||||||||
| 290,085 | HSBC Holdings PLC | 2,585,493 | ||||||||
| 19,346 | HSBC Holdings PLC Sponsored ADR | 863,799 | ||||||||
| 65,772 | IG Group Holdings PLC | 680,403 | ||||||||
| 22,567 | Imperial Brands PLC | 560,770 | ||||||||
| 17,373 | International Personal Finance PLC | 24,942 | ||||||||
| 22,182 | Investec PLC | 148,431 | ||||||||
| 478,472 | ITV PLC | 487,349 | ||||||||
| 211,322 | J Sainsbury PLC | 749,230 | ||||||||
| 1,636 | Johnson Matthey PLC | 36,791 | ||||||||
| 4,789 | Keller Group PLC | 79,357 | ||||||||
| 482,441 | Kingfisher PLC | 1,633,260 | ||||||||
| 2,018,804 | Lloyds Banking Group PLC | 1,441,145 | ||||||||
| 62,388 | MONY Group PLC | 180,626 | ||||||||
| 7,241 | Morgan Advanced Materials PLC | 28,664 | ||||||||
| 5,953 | Morgan Sindall Group PLC | 192,437 | ||||||||
| 199,338 | NatWest Group PLC | 806,381 | ||||||||
| 67,523 | OSB Group PLC | 401,551 | ||||||||
| 20,286 | Paragon Banking Group PLC | 198,140 | ||||||||
| 44,955 | Persimmon PLC | 839,860 | ||||||||
| 20,638 | Plus500 Ltd. | 587,854 | ||||||||
| 32,369 | Premier Foods PLC | 71,302 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| United Kingdom — continued | ||||||||||
| 65,032 | Redrow PLC | 593,846 | ||||||||
| 3,463 | RELX PLC (b) | 151,921 | ||||||||
| 2,780 | RELX PLC Sponsored ADR (b) | 122,209 | ||||||||
| 13,687 | Rio Tinto PLC Sponsored ADR (b) | 959,459 | ||||||||
| 2,887 | Rio Tinto PLC (b) | 203,237 | ||||||||
| 3,328 | Sage Group PLC (b) | 43,715 | ||||||||
| 16,889 | Serica Energy PLC | 37,836 | ||||||||
| 42,263 | Shell PLC | 1,525,472 | ||||||||
| 2,670 | Shell PLC ADR (b) | 194,323 | ||||||||
| 15,165 | Spirent Communications PLC | 35,671 | ||||||||
| 16,171 | Standard Chartered PLC | 161,073 | ||||||||
| 505,534 | Taylor Wimpey PLC | 957,082 | ||||||||
| 3,340 | TBC Bank Group PLC | 108,746 | ||||||||
| 65,764 | Tesco PLC (b) | 261,603 | ||||||||
| 5,558 | Travis Perkins PLC | 61,319 | ||||||||
| 38,621 | Unilever PLC Sponsored ADR (b) | 2,114,500 | ||||||||
| 21,288 | Vesuvius PLC | 133,053 | ||||||||
| 940,967 | Vodafone Group PLC (b) | 909,726 | ||||||||
| 291,947 | Vodafone Group PLC Sponsored ADR (b) | 2,808,530 | ||||||||
| 35,451 | Zigup PLC | 198,056 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 49,119,905 | |||||||||
|
|
|
|||||||||
| United States — 18.7% | ||||||||||
| 18,167 | 3M Co. (a) (b) | 1,819,243 | ||||||||
| 3,217 | Academy Sports & Outdoors, Inc. (a) | 185,589 | ||||||||
| 972 | Adtalem Global Education, Inc. * (a) | 62,587 | ||||||||
| 1,510 | Affiliated Managers Group, Inc. | 245,526 | ||||||||
| 5,413 | Aflac, Inc. (a) | 486,466 | ||||||||
| 3,604 | AGCO Corp. (a) | 386,817 | ||||||||
| 12,661 | Akamai Technologies, Inc. * (a) | 1,167,851 | ||||||||
| 2,339 | Allison Transmission Holdings, Inc. (a) | 177,320 | ||||||||
| 54,238 | Ally Financial, Inc. | 2,113,655 | ||||||||
| 33,828 | Alphabet, Inc. – Class A * (b) | 5,835,330 | ||||||||
| 9,076 | Alphabet, Inc. – Class C * (b) | 1,578,861 | ||||||||
| 7,266 | Amazon.com, Inc. * (b) | 1,282,013 | ||||||||
| 12,917 | American Express Co. (b) | 3,100,080 | ||||||||
| 9,201 | Arch Capital Group Ltd. * (b) | 944,299 | ||||||||
| 16,565 | Archer-Daniels-Midland Co. (a) | 1,034,319 | ||||||||
| 3,274 | Arrow Electronics, Inc. * | 429,909 | ||||||||
| 2,809 | Aspen Technology, Inc. * (a) | 591,716 | ||||||||
| 3,712 | AT&T, Inc. (b) | 67,633 | ||||||||
| 814 | Atkore, Inc. (a) | 123,850 | ||||||||
| 1,595 | AutoNation, Inc. * (a) | 271,549 | ||||||||
| 2,561 | Avnet, Inc. | 139,831 | ||||||||
| 72,225 | Bank of America Corp. (b) | 2,888,278 | ||||||||
| 13,356 | Bank of New York Mellon Corp. (b) | 796,151 | ||||||||
| 1,033 | Berry Global Group, Inc. (a) | 61,856 | ||||||||
| 8,202 | Best Buy Co., Inc. (a) | 695,694 | ||||||||
| 4,902 | Bio-Rad Laboratories, Inc. – Class A * (a) | 1,406,188 | ||||||||
| 545 | Booking Holdings, Inc. (b) | 2,058,111 | ||||||||
| 90,566 | BorgWarner, Inc. | 3,229,583 | ||||||||
| 23,177 | Bristol-Myers Squibb Co. | 952,343 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 1,406 | Brunswick Corp. (a) | 116,037 | ||||||||
| 9,582 | Builders FirstSource, Inc. * (a) | 1,540,690 | ||||||||
| 3,154 | Bunge Global SA (a) | 339,339 | ||||||||
| 19,169 | Capital One Financial Corp. (b) | 2,638,229 | ||||||||
| 13,737 | CarMax, Inc. * (a) | 965,162 | ||||||||
| 1,200 | Carter’s, Inc. (a) | 82,080 | ||||||||
| 5,609 | CBRE Group, Inc. – Class A * (b) | 493,985 | ||||||||
| 30,432 | Centene Corp. * (a) (b) | 2,178,627 | ||||||||
| 22,070 | Chevron Corp. (b) | 3,581,961 | ||||||||
| 3,620 | Cigna Group (b) | 1,247,524 | ||||||||
| 73,270 | Cisco Systems, Inc. (a) (b) | 3,407,055 | ||||||||
| 52,931 | Citigroup, Inc. | 3,298,131 | ||||||||
| 83,835 | Cleveland-Cliffs, Inc. * | 1,448,669 | ||||||||
| 33,849 | Cognizant Technology Solutions Corp. – Class A (a) (b) | 2,239,111 | ||||||||
| 80,895 | Comcast Corp. – Class A (b) | 3,238,227 | ||||||||
| 2,458 | Commercial Metals Co. | 138,435 | ||||||||
| 3,206 | Corebridge Financial, Inc. (a) | 93,519 | ||||||||
| 999 | Crane NXT Co. (a) | 63,157 | ||||||||
| 3,173 | Crocs, Inc. * | 493,846 | ||||||||
| 3,164 | Cummins, Inc. (a) (b) | 891,394 | ||||||||
| 45,646 | CVS Health Corp. (b) | 2,720,502 | ||||||||
| 25,538 | Darling Ingredients, Inc. * (a) | 1,031,735 | ||||||||
| 19,772 | Discover Financial Services | 2,425,233 | ||||||||
| 7,113 | DR Horton, Inc. (a) (b) | 1,051,301 | ||||||||
| 17,002 | Dropbox, Inc. – Class A * (a) | 383,055 | ||||||||
| 50,114 | eBay, Inc. (b) | 2,717,181 | ||||||||
| 2,458 | Elevance Health, Inc. (a) (b) | 1,323,584 | ||||||||
| 527 | Encore Wire Corp. | 152,161 | ||||||||
| 2,010 | Enphase Energy, Inc. * (a) | 257,079 | ||||||||
| 18,516 | EOG Resources, Inc. (a) | 2,306,168 | ||||||||
| 509 | EPAM Systems, Inc. * (b) | 90,566 | ||||||||
| 19,518 | Etsy, Inc. * (a) | 1,238,807 | ||||||||
| 551 | Everest Group Ltd. | 215,402 | ||||||||
| 12,214 | Expedia Group, Inc. * (b) | 1,378,472 | ||||||||
| 20,488 | Exxon Mobil Corp. (a) | 2,402,423 | ||||||||
| 4,809 | F5, Inc. * (a) | 812,577 | ||||||||
| 3,283 | Federated Hermes, Inc. | 108,897 | ||||||||
| 29,703 | Fidelity National Financial, Inc. (a) | 1,495,843 | ||||||||
| 1,969 | Foot Locker, Inc. (a) | 54,600 | ||||||||
| 211,235 | Ford Motor Co. (b) | 2,562,280 | ||||||||
| 10,451 | Fox Corp. – Class A (a) | 359,828 | ||||||||
| 56,024 | Fox Corp. – Class B | 1,789,407 | ||||||||
| 64,599 | Franklin Resources, Inc. (a) | 1,524,536 | ||||||||
| 431 | Garmin Ltd. (a) | 70,619 | ||||||||
| 23,694 | GE HealthCare Technologies, Inc. (a) (b) | 1,848,132 | ||||||||
| 4,728 | General Electric Co. (b) | 780,782 | ||||||||
| 8,503 | General Mills, Inc. (a) | 584,581 | ||||||||
| 51,070 | General Motors Co. (b) | 2,297,639 | ||||||||
| 11,482 | Gilead Sciences, Inc. (a) | 737,948 | ||||||||
| 3,643 | Goldman Sachs Group, Inc. (a) | 1,663,102 | ||||||||
| 100 | Graham Holdings Co. – Class B (a) | 75,243 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 14,634 | Green Plains, Inc. * (a) | 251,266 | ||||||||
| 640 | Group 1 Automotive, Inc. (a) | 199,027 | ||||||||
| 6,651 | H&R Block, Inc. (a) | 330,156 | ||||||||
| 6,291 | Hartford Financial Services Group, Inc. (b) | 650,804 | ||||||||
| 125,088 | Hewlett Packard Enterprise Co. | 2,207,803 | ||||||||
| 6,760 | Hilton Worldwide Holdings, Inc. (b) | 1,356,056 | ||||||||
| 700 | HNI Corp. (a) | 32,935 | ||||||||
| 81,999 | HP, Inc. | 2,992,963 | ||||||||
| 2,175 | Humana, Inc. (b) | 778,911 | ||||||||
| 30,249 | Incyte Corp. * (a) | 1,748,090 | ||||||||
| 85,316 | Intel Corp. | 2,631,999 | ||||||||
| 14,684 | Intercontinental Exchange, Inc. (a) (b) | 1,966,188 | ||||||||
| 19,730 | International Business Machines Corp. (b) | 3,291,950 | ||||||||
| 5,732 | International Paper Co. (a) | 258,456 | ||||||||
| 13,951 | Invesco Ltd. | 219,170 | ||||||||
| 2,379 | Jackson Financial, Inc. – Class A (a) | 180,828 | ||||||||
| 4,406 | Janus Henderson Group PLC | 147,601 | ||||||||
| 12,876 | Jazz Pharmaceuticals PLC * (a) | 1,355,199 | ||||||||
| 17,133 | Johnson & Johnson (a) | 2,512,897 | ||||||||
| 17,707 | JPMorgan Chase & Co. (b) | 3,587,969 | ||||||||
| 2,055 | Keysight Technologies, Inc. * (a) | 284,576 | ||||||||
| 100,074 | Kinder Morgan, Inc. (a) | 1,950,442 | ||||||||
| 6,081 | Kohl’s Corp. | 136,154 | ||||||||
| 62,028 | Kraft Heinz Co. (a) | 2,193,930 | ||||||||
| 20,833 | Kroger Co. (b) | 1,091,024 | ||||||||
| 1,689 | Lam Research Corp. (a) | 1,574,891 | ||||||||
| 29,237 | Las Vegas Sands Corp. (b) | 1,316,542 | ||||||||
| 1,773 | La-Z-Boy, Inc. | 66,523 | ||||||||
| 2,469 | Lear Corp. | 309,489 | ||||||||
| 6,705 | Lennar Corp. – Class A (a) (b) | 1,075,147 | ||||||||
| 5,852 | LyondellBasell Industries NV – Class A (b) | 581,806 | ||||||||
| 4,073 | M&T Bank Corp. (a) | 617,467 | ||||||||
| 5,780 | Macy’s, Inc. (a) | 112,594 | ||||||||
| 2,140 | ManpowerGroup, Inc. (b) | 159,687 | ||||||||
| 963 | Markel Group, Inc. * (a) | 1,580,851 | ||||||||
| 48,688 | Match Group, Inc. * (a) | 1,491,313 | ||||||||
| 177 | Matson, Inc. | 22,691 | ||||||||
| 9,747 | Medtronic PLC (b) | 793,113 | ||||||||
| 25,277 | Merck & Co., Inc. | 3,173,275 | ||||||||
| 12,273 | Meta Platforms, Inc. – Class A (b) | 5,729,405 | ||||||||
| 20,962 | MGIC Investment Corp. (a) | 440,202 | ||||||||
| 16,373 | Micron Technology, Inc. (b) | 2,046,625 | ||||||||
| 12,856 | Moderna, Inc. * (a) | 1,832,623 | ||||||||
| 4,409 | Morgan Stanley (a) | 431,377 | ||||||||
| 25,291 | Mosaic Co. | 782,251 | ||||||||
| 1,547 | Mueller Industries, Inc. (a) | 91,134 | ||||||||
| 13,596 | Nucor Corp. (b) | 2,295,685 | ||||||||
| 20,126 | ON Semiconductor Corp. * (a) | 1,470,003 | ||||||||
| 2,022 | OneMain Holdings, Inc. (a) | 99,321 | ||||||||
| 23 | Oracle Corp. (b) | 2,695 | ||||||||
| 10,273 | Otis Worldwide Corp. (a) | 1,019,082 | ||||||||
| 29,467 | Ovintiv, Inc. | 1,522,560 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 1,414 | Owens Corning | 256,033 | ||||||||
| 16,882 | PACCAR, Inc. (a) | 1,814,815 | ||||||||
| 128,871 | Paramount Global – Class B (a) | 1,534,854 | ||||||||
| 42,398 | PayPal Holdings, Inc. * (b) | 2,670,650 | ||||||||
| 122,662 | Pfizer, Inc. | 3,515,493 | ||||||||
| 2,448 | Polaris, Inc. (a) | 204,653 | ||||||||
| 2,492 | Premier, Inc. – Class A (a) | 47,149 | ||||||||
| 10,213 | PulteGroup, Inc. | 1,198,189 | ||||||||
| 12,385 | QUALCOMM, Inc. | 2,527,159 | ||||||||
| 12,493 | Radian Group, Inc. | 390,281 | ||||||||
| 3,068 | Regeneron Pharmaceuticals, Inc. * | 3,007,131 | ||||||||
| 1,870 | Signet Jewelers Ltd. | 204,746 | ||||||||
| 906 | Skechers U.S.A., Inc. – Class A * | 64,706 | ||||||||
| 18,638 | Skyworks Solutions, Inc. | 1,726,997 | ||||||||
| 2,250 | SLM Corp. | 48,285 | ||||||||
| 7,849 | SolarEdge Technologies, Inc. * (a) | 384,522 | ||||||||
| 4,541 | Solventum Corp. * (a) | 269,463 | ||||||||
| 2,189 | SS&C Technologies Holdings, Inc. (b) | 135,827 | ||||||||
| 7,039 | State Street Corp. (a) | 532,078 | ||||||||
| 16,461 | Steel Dynamics, Inc. (a) | 2,203,634 | ||||||||
| 51,415 | Synchrony Financial (a) | 2,251,977 | ||||||||
| 4,462 | T Rowe Price Group, Inc. (a) | 525,757 | ||||||||
| 3,771 | Tapestry, Inc. (a) | 164,001 | ||||||||
| 4,704 | TE Connectivity Ltd. | 704,189 | ||||||||
| 6,991 | Texas Instruments, Inc. (a) | 1,363,315 | ||||||||
| 4,780 | Textron, Inc. (a) | 418,776 | ||||||||
| 25,587 | Tyson Foods, Inc. – Class A (a) | 1,464,856 | ||||||||
| 33,974 | U.S. Bancorp (a) | 1,377,646 | ||||||||
| 1,799 | UFP Industries, Inc. | 214,944 | ||||||||
| 1,703 | United Therapeutics Corp. * | 468,546 | ||||||||
| 1,705 | UnitedHealth Group, Inc. (b) | 844,606 | ||||||||
| 7,444 | Unum Group | 400,934 | ||||||||
| 7,205 | Valero Energy Corp. | 1,132,194 | ||||||||
| 87,172 | Verizon Communications, Inc. (b) | 3,587,128 | ||||||||
| 12,366 | VF Corp. (a) | 164,220 | ||||||||
| 185,840 | Viatris, Inc. (a) | 1,969,904 | ||||||||
| 107,249 | Walgreens Boots Alliance, Inc. (a) | 1,739,579 | ||||||||
| 43,651 | Wells Fargo & Co. (a) | 2,615,568 | ||||||||
| 25,482 | Western Union Co. (a) | 326,170 | ||||||||
| 1,504 | Westlake Corp. (a) | 241,482 | ||||||||
| 2,380 | Whirlpool Corp. (a) | 221,411 | ||||||||
| 26,866 | Zoom Video Communications, Inc. – Class A * (a) (b) | 1,647,960 | ||||||||
|
|
|
|||||||||
| Total United States | 208,664,083 | |||||||||
|
|
|
|||||||||
| Vietnam — 0.1% | ||||||||||
| 65,036 | Duc Giang Chemicals JSC | 323,559 | ||||||||
| 7,300 | IDICO Corp. JSC | 18,312 | ||||||||
| 48,100 | PetroVietNam Ca Mau Fertilizer JSC | 71,220 | ||||||||
| 19,500 | PetroVietnam Technical Services Corp. | 33,292 | ||||||||
| 14,900 | Petrovietnam Transportation Corp. | 17,741 | ||||||||
| 12,400 | Sai Gon-Ha Noi Securities JSC * | 8,855 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Vietnam — continued | ||||||||||
| 233,000 | SSI Securities Corp. | 319,519 | ||||||||
| 73,000 | Vietnam Dairy Products JSC | 187,931 | ||||||||
| 110,646 | Vietnam Joint Stock Commercial Bank for Industry & Trade * | 139,224 | ||||||||
| 94,900 | VIX Securities JSC * | 67,627 | ||||||||
| 414,435 | VNDirect Securities Corp. * | 291,719 | ||||||||
|
|
|
|||||||||
| Total Vietnam | 1,478,999 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $850,925,218) |
850,780,832 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (g) — 1.3% | ||||||||||
| Brazil — 0.7% | ||||||||||
| 322,431 | Bradespar SA | 1,178,974 | ||||||||
| 5,600 | Cia de Ferro Ligas da Bahia FERBASA | 8,479 | ||||||||
| 797,603 | Cia Energetica de Minas Gerais | 1,511,388 | ||||||||
| 22,660 | Gerdau SA | 78,153 | ||||||||
| 297,533 | Gerdau SA Sponsored ADR | 1,029,464 | ||||||||
| 274,502 | Itausa SA | 508,656 | ||||||||
| 229,513 | Petroleo Brasileiro SA | 1,695,483 | ||||||||
| 119,976 | Petroleo Brasileiro SA ADR | 1,776,845 | ||||||||
| 2,820 | Unipar Carbocloro SA – Class B | 26,858 | ||||||||
|
|
|
|||||||||
| Total Brazil | 7,814,300 | |||||||||
|
|
|
|||||||||
| Colombia — 0.0% | ||||||||||
| 17,959 | Bancolombia SA Sponsored ADR | 636,826 | ||||||||
|
|
|
|||||||||
| Germany — 0.4% | ||||||||||
| 10,364 | Bayerische Motoren Werke AG | 1,001,942 | ||||||||
| 1,147 | Draegerwerk AG & Co. KGaA | 62,779 | ||||||||
| 623 | Henkel AG & Co. KGaA (b) | 56,400 | ||||||||
| 1,603 | Jungheinrich AG | 62,640 | ||||||||
| 28,562 | Porsche Automobil Holding SE | 1,576,010 | ||||||||
| 512 | Villeroy & Boch AG | 9,401 | ||||||||
| 15,068 | Volkswagen AG | 1,893,462 | ||||||||
|
|
|
|||||||||
| Total Germany | 4,662,634 | |||||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| 12,924 | Bashneft PJSC (e) | 2,773 | ||||||||
| 56,000 | Nizhnekamskneftekhim PJSC (e) | 454 | ||||||||
| 20,810 | Sberbank of Russia PJSC * (e) (f) | 719 | ||||||||
| 9,254,300 | Surgutneftegas PJSC (e) | 69,321 | ||||||||
| 16,100 | Transneft PJSC (e) | 2,823 | ||||||||
|
|
|
|||||||||
| Total Russia | 76,090 | |||||||||
|
|
|
|||||||||
| South Korea — 0.2% | ||||||||||
| 8 | Hyundai Motor Co. (c) | 890 | ||||||||
| 805 | Hyundai Motor Co. (c) | 89,513 | ||||||||
| 1,238 | Hyundai Motor Co. GDR | 69,735 | ||||||||
| 1,194 | LG Electronics, Inc. | 40,659 | ||||||||
| 36,601 | Samsung Electronics Co. Ltd. | 1,596,940 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares / Par Value† |
Description | Value ($) | ||||||||
| South Korea — continued | ||||||||||
| 51 | Samsung Electronics Co. Ltd. (Registered) | 55,947 | ||||||||
|
|
|
|||||||||
| Total South Korea | 1,853,684 | |||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $20,034,450) |
15,043,534 | |||||||||
|
|
|
|||||||||
| RIGHTS/WARRANTS — 0.0% | ||||||||||
| Vietnam — 0.0% | ||||||||||
| 78,940 | VNDirect Securities Corp., expires 07/03/24 * (d) | 24,198 | ||||||||
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS (COST $0) |
24,198 | |||||||||
|
|
|
|||||||||
| DEBT OBLIGATIONS — 15.8% | ||||||||||
| United States — 15.8% | ||||||||||
| U.S. Government — 14.9% | ||||||||||
| 10,000,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.25%, 5.57%, due 01/31/26 | 10,021,973 | ||||||||
| 28,000,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 5.48%, due 04/30/26 | 28,012,991 | ||||||||
| 85,390,349 | U.S. Treasury Inflation-Indexed Notes, 1.38%, due 07/15/33 (b) |
80,276,521 | ||||||||
| 49,878,726 | U.S. Treasury Inflation-Indexed Notes, 1.75%, due 01/15/34 (b) |
48,174,560 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 166,486,045 | |||||||||
|
|
|
|||||||||
| U.S. Government Agency — 0.9% | ||||||||||
| 9,500,000 | Federal Home Loan Banks, Variable Rate, 1 day USD SOFR + 0.10%, 5.43%, due 09/04/24 | 9,502,092 | ||||||||
|
|
|
|||||||||
| Total United States | 175,988,137 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $175,060,343) |
175,988,137 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 19.5% | ||||||||||
| United States — 19.5% | ||||||||||
| Affiliated Issuers — 19.5% | ||||||||||
| 588,768 | GMO Climate Change Fund, Class III | 13,965,580 | ||||||||
| 2,272,385 | GMO Emerging Country Debt Fund, Class VI | 44,606,909 | ||||||||
| 770,852 | GMO High Yield Fund, Class VI | 13,913,888 | ||||||||
| 2,112,958 | GMO Opportunistic Income Fund, Class VI | 50,753,240 | ||||||||
| 2,262,028 | GMO Resources Fund, Class VI | 51,868,307 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| Affiliated Issuers — continued | ||||||||||
| 8,620,323 | GMO U.S. Treasury Fund (h) | 43,101,616 | ||||||||
|
|
|
|||||||||
| Total Affiliated Issuers | 218,209,540 | |||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $231,387,165) |
218,209,540 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 8.4% | ||||||||||
| Money Market Funds — 0.3% | ||||||||||
| 3,188,952 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (i) | 3,188,952 | ||||||||
|
|
|
|||||||||
| Repurchase Agreements — 8.1% | ||||||||||
| 89,999,770 | Nomura Securities International, Inc. Repurchase Agreement, dated 05/31/24, maturing on 06/03/24 with a maturity value of $90,039,595 and an effective yield of 5.31%, collateralized by a U.S. Treasury Note with maturity date 11/30/28 and a market value of $92,115,289. | 89,999,770 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $93,188,722) |
93,188,722 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 121.2% (Cost $1,370,595,898) |
1,353,234,963 | |||||||||
|
|
|
|||||||||
| SECURITIES SOLD SHORT — (17.9)% | ||||||||||
| Common Stocks — (17.8)% | ||||||||||
| Australia — (0.7)% | ||||||||||
| (23,744 | ) | ASX Ltd. | (988,764 | ) | ||||||
| (15,953 | ) | CAR Group Ltd. | (372,511 | ) | ||||||
| (5,918 | ) | Cochlear Ltd. | (1,275,282 | ) | ||||||
| (59,524 | ) | IDP Education Ltd. | (636,915 | ) | ||||||
| (169,536 | ) | Lottery Corp. Ltd. | (552,084 | ) | ||||||
| (1,507 | ) | Mineral Resources Ltd. | (72,410 | ) | ||||||
| (21,199 | ) | Ramsay Health Care Ltd. | (667,148 | ) | ||||||
| (799 | ) | REA Group Ltd. | (99,921 | ) | ||||||
| (19,492 | ) | WiseTech Global Ltd. | (1,266,870 | ) | ||||||
| (19,871 | ) | Xero Ltd. * | (1,804,172 | ) | ||||||
|
|
|
|||||||||
| Total Australia | (7,736,077 | ) | ||||||||
|
|
|
|||||||||
| Austria — (0.1)% | ||||||||||
| (10,005 | ) | Verbund AG | (821,480 | ) | ||||||
|
|
|
|||||||||
| Belgium — (0.2)% | ||||||||||
| (24,688 | ) | Anheuser-Busch InBev SA | (1,557,604 | ) | ||||||
| (38 | ) | Lotus Bakeries NV | (403,215 | ) | ||||||
|
|
|
|||||||||
| Total Belgium | (1,960,819 | ) | ||||||||
|
|
|
|||||||||
| Canada — (1.3)% | ||||||||||
| (7,813 | ) | Agnico Eagle Mines Ltd. | (532,925 | ) | ||||||
| (73,900 | ) | AltaGas Ltd. | (1,667,284 | ) | ||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Canada — continued | ||||||||||
| (27,553 | ) | Brookfield Renewable Corp. – Class A | (869,022 | ) | ||||||
| (36,332 | ) | Cameco Corp. | (2,016,789 | ) | ||||||
| (50,150 | ) | Enbridge, Inc. | (1,834,487 | ) | ||||||
| (13,544 | ) | Franco-Nevada Corp. | (1,676,747 | ) | ||||||
| (47,600 | ) | GFL Environmental, Inc. | (1,497,972 | ) | ||||||
| (26,748 | ) | Pan American Silver Corp. | (588,456 | ) | ||||||
| (49,101 | ) | Pembina Pipeline Corp. | (1,823,120 | ) | ||||||
| (22,267 | ) | Restaurant Brands International, Inc. | (1,527,071 | ) | ||||||
|
|
|
|||||||||
| Total Canada | (14,033,873 | ) | ||||||||
|
|
|
|||||||||
| China — (0.0)% | ||||||||||
| (1,391 | ) | Yum China Holdings, Inc. | (49,742 | ) | ||||||
|
|
|
|||||||||
| Denmark — (0.1)% | ||||||||||
| (10,888 | ) | Coloplast AS – Class B | (1,309,577 | ) | ||||||
| (2,233 | ) | Novo Nordisk AS – Class B | (302,545 | ) | ||||||
|
|
|
|||||||||
| Total Denmark | (1,612,122 | ) | ||||||||
|
|
|
|||||||||
| Finland — (0.0)% | ||||||||||
| (3,958 | ) | Elisa OYJ | (184,425 | ) | ||||||
|
|
|
|||||||||
| France — (0.5)% | ||||||||||
| (32,176 | ) | Accor SA * | (1,403,726 | ) | ||||||
| (8,024 | ) | Aeroports de Paris SA | (1,149,803 | ) | ||||||
| (85,857 | ) | Getlink SE | (1,513,018 | ) | ||||||
| (769 | ) | Hermes International SCA | (1,825,313 | ) | ||||||
| (709 | ) | Sartorius Stedim Biotech | (141,237 | ) | ||||||
| (609 | ) | Sodexo SA | (56,721 | ) | ||||||
|
|
|
|||||||||
| Total France | (6,089,818 | ) | ||||||||
|
|
|
|||||||||
| Germany — (0.9)% | ||||||||||
| (7,799 | ) | adidas AG | (1,975,255 | ) | ||||||
| (3,641 | ) | Covestro AG * | (196,173 | ) | ||||||
| (49,327 | ) | Delivery Hero SE * | (1,510,980 | ) | ||||||
| (6,714 | ) | MTU Aero Engines AG | (1,677,144 | ) | ||||||
| (123 | ) | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | (61,340 | ) | ||||||
| (1,091 | ) | Rational AG | (931,022 | ) | ||||||
| (109 | ) | Rheinmetall AG | (62,830 | ) | ||||||
| (23,530 | ) | Siemens Energy AG * | (640,751 | ) | ||||||
| (13,483 | ) | Symrise AG | (1,610,552 | ) | ||||||
| (7,527 | ) | Talanx AG | (600,403 | ) | ||||||
| (2,478 | ) | Vonovia SE | (77,897 | ) | ||||||
| (10,417 | ) | Zalando SE * | (276,668 | ) | ||||||
|
|
|
|||||||||
| Total Germany | (9,621,015 | ) | ||||||||
|
|
|
|||||||||
| Israel — (0.2)% | ||||||||||
| (7,163 | ) | CyberArk Software Ltd. * | (1,642,118 | ) | ||||||
| (1,245 | ) | Monday.com Ltd. * | (281,258 | ) | ||||||
|
|
|
|||||||||
| Total Israel | (1,923,376 | ) | ||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Italy — (0.6)% | ||||||||||
| (41,161 | ) | Amplifon SpA | (1,521,437 | ) | ||||||
| (281 | ) | DiaSorin SpA | (30,325 | ) | ||||||
| (4,535 | ) | Ferrari NV | (1,868,792 | ) | ||||||
| (103,891 | ) | FinecoBank Banca Fineco SpA | (1,684,960 | ) | ||||||
| (112,566 | ) | Infrastrutture Wireless Italiane SpA | (1,234,164 | ) | ||||||
|
|
|
|||||||||
| Total Italy | (6,339,678 | ) | ||||||||
|
|
|
|||||||||
| Japan — (1.5)% | ||||||||||
| (1,100 | ) | Advantest Corp. | (36,617 | ) | ||||||
| (75,200 | ) | Aeon Co. Ltd. | (1,621,997 | ) | ||||||
| (23,600 | ) | Asahi Intecc Co. Ltd. | (341,037 | ) | ||||||
| (4,600 | ) | Disco Corp. | (1,809,451 | ) | ||||||
| (8,100 | ) | East Japan Railway Co. | (140,466 | ) | ||||||
| (1,400 | ) | Ibiden Co. Ltd. | (56,611 | ) | ||||||
| (56,100 | ) | Japan Exchange Group, Inc. | (1,318,629 | ) | ||||||
| (11,700 | ) | Keisei Electric Railway Co. Ltd. | (420,223 | ) | ||||||
| (25,600 | ) | Kintetsu Group Holdings Co. Ltd. | (544,261 | ) | ||||||
| (25,100 | ) | Kobe Bussan Co. Ltd. | (555,178 | ) | ||||||
| (7,000 | ) | Lasertec Corp. | (1,799,812 | ) | ||||||
| (72,300 | ) | MonotaRO Co. Ltd. | (763,736 | ) | ||||||
| (53,700 | ) | Oriental Land Co. Ltd. | (1,501,272 | ) | ||||||
| (299,200 | ) | Rakuten Group, Inc. * | (1,556,175 | ) | ||||||
| (8,100 | ) | Resona Holdings, Inc. | (56,225 | ) | ||||||
| (10,000 | ) | Sharp Corp. * | (61,790 | ) | ||||||
| (23,500 | ) | Shiseido Co. Ltd. | (745,824 | ) | ||||||
| (148,400 | ) | SoftBank Corp. | (1,779,348 | ) | ||||||
| (11,200 | ) | SoftBank Group Corp. | (648,116 | ) | ||||||
| (16,100 | ) | Tobu Railway Co. Ltd. | (284,542 | ) | ||||||
| (64,200 | ) | Tokyu Corp. | (749,017 | ) | ||||||
| (8,500 | ) | West Japan Railway Co. | (169,580 | ) | ||||||
| (8,100 | ) | Zensho Holdings Co. Ltd. | (318,930 | ) | ||||||
|
|
|
|||||||||
| Total Japan | (17,278,837 | ) | ||||||||
|
|
|
|||||||||
| Netherlands — (0.5)% | ||||||||||
| (1,163 | ) | Adyen NV * | (1,508,159 | ) | ||||||
| (10,108 | ) | BE Semiconductor Industries NV | (1,503,745 | ) | ||||||
| (26,979 | ) | OCI NV | (739,927 | ) | ||||||
| (58,747 | ) | Universal Music Group NV | (1,830,771 | ) | ||||||
|
|
|
|||||||||
| Total Netherlands | (5,582,602 | ) | ||||||||
|
|
|
|||||||||
| Peru — (0.2)% | ||||||||||
| (14,939 | ) | Southern Copper Corp. | (1,772,250 | ) | ||||||
|
|
|
|||||||||
| Singapore — (0.2)% | ||||||||||
| (468,227 | ) | Grab Holdings Ltd. – Class A * | (1,718,393 | ) | ||||||
| (833,655 | ) | Seatrium Ltd. * | (1,088,175 | ) | ||||||
|
|
|
|||||||||
| Total Singapore | (2,806,568 | ) | ||||||||
|
|
|
|||||||||
| Spain — (0.3)% | ||||||||||
| (48,210 | ) | Cellnex Telecom SA * | (1,761,113 | ) | ||||||
| (47,388 | ) | Ferrovial SE | (1,872,807 | ) | ||||||
|
|
|
|||||||||
| Total Spain | (3,633,920 | ) | ||||||||
|
|
|
|||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Sweden — (0.3)% | ||||||||||
| (53,464 | ) | Beijer Ref AB | (875,194 | ) | ||||||
| (50,603 | ) | EQT AB | (1,550,057 | ) | ||||||
| (76 | ) | Evolution AB | (8,198 | ) | ||||||
| (28,756 | ) | H & M Hennes & Mauritz AB – Class B | (508,470 | ) | ||||||
|
|
|
|||||||||
| Total Sweden | (2,941,919 | ) | ||||||||
|
|
|
|||||||||
| Switzerland — (0.2)% | ||||||||||
| (7,502 | ) | Avolta AG | (304,611 | ) | ||||||
| (1,104 | ) | Bachem Holding AG | (99,809 | ) | ||||||
| (96 | ) | Lonza Group AG (Registered) | (52,114 | ) | ||||||
| (560 | ) | Partners Group Holding AG | (753,663 | ) | ||||||
| (12,857 | ) | SIG Group AG | (267,780 | ) | ||||||
| (622 | ) | VAT Group AG | (341,097 | ) | ||||||
|
|
|
|||||||||
| Total Switzerland | (1,819,074 | ) | ||||||||
|
|
|
|||||||||
| United Kingdom — (1.3)% | ||||||||||
| (11,109 | ) | Admiral Group PLC | (385,424 | ) | ||||||
| (154,032 | ) | Auto Trader Group PLC | (1,620,336 | ) | ||||||
| (7,695 | ) | Flutter Entertainment PLC * | (1,480,782 | ) | ||||||
| (62,842 | ) | Hargreaves Lansdown PLC | (853,112 | ) | ||||||
| (174,810 | ) | Informa PLC | (1,902,636 | ) | ||||||
| (16,149 | ) | InterContinental Hotels Group PLC | (1,639,911 | ) | ||||||
| (16,612 | ) | London Stock Exchange Group PLC | (1,947,201 | ) | ||||||
| (193,680 | ) | M&G PLC | (495,188 | ) | ||||||
| (5,769 | ) | Melrose Industries PLC | (45,651 | ) | ||||||
| (119,337 | ) | Phoenix Group Holdings PLC | (759,364 | ) | ||||||
| (314,402 | ) | Rolls-Royce Holdings PLC * | (1,836,381 | ) | ||||||
| (23,368 | ) | Severn Trent PLC | (714,050 | ) | ||||||
| (2,369 | ) | Spirax-Sarco Engineering PLC | (270,894 | ) | ||||||
| (95,842 | ) | Wise PLC – Class A * | (1,007,112 | ) | ||||||
|
|
|
|||||||||
| Total United Kingdom | (14,958,042 | ) | ||||||||
|
|
|
|||||||||
| United States — (8.7)% | ||||||||||
| (6,743 | ) | AbbVie, Inc. | (1,087,241 | ) | ||||||
| (93,022 | ) | AES Corp. | (2,008,345 | ) | ||||||
| (10,525 | ) | Alnylam Pharmaceuticals, Inc. * | (1,562,226 | ) | ||||||
| (4,356 | ) | American Tower Corp. – (REIT) | (852,643 | ) | ||||||
| (6,061 | ) | Amgen, Inc. | (1,853,757 | ) | ||||||
| (2,849 | ) | Analog Devices, Inc. | (668,062 | ) | ||||||
| (7,524 | ) | Arthur J Gallagher & Co. | (1,906,055 | ) | ||||||
| (5,644 | ) | Axon Enterprise, Inc. * | (1,589,746 | ) | ||||||
| (6,029 | ) | Bill Holdings, Inc. * | (313,809 | ) | ||||||
| (9,549 | ) | Boeing Co. * | (1,695,998 | ) | ||||||
| (1,459 | ) | Broadcom, Inc. | (1,938,354 | ) | ||||||
| (7,902 | ) | Burlington Stores, Inc. * | (1,896,875 | ) | ||||||
| (37,760 | ) | Caesars Entertainment, Inc. * | (1,342,746 | ) | ||||||
| (18,481 | ) | Celsius Holdings, Inc. * | (1,478,110 | ) | ||||||
| (25 | ) | Charles Schwab Corp. | (1,832 | ) | ||||||
| (609 | ) | Chipotle Mexican Grill, Inc. * | (1,905,878 | ) | ||||||
| (20,151 | ) | Cloudflare, Inc. – Class A * | (1,364,021 | ) | ||||||
| (3,627 | ) | Coinbase Global, Inc. – Class A * | (819,412 | ) | ||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| (3,844 | ) | Confluent, Inc. – Class A * | (99,829 | ) | ||||||
| (24,312 | ) | Dayforce, Inc. * | (1,202,472 | ) | ||||||
| (14,274 | ) | Dexcom, Inc. * | (1,695,323 | ) | ||||||
| (3,324 | ) | Dominion Energy, Inc. | (179,230 | ) | ||||||
| (41,353 | ) | DraftKings, Inc. – Class A * | (1,452,731 | ) | ||||||
| (36,118 | ) | EQT Corp. | (1,484,089 | ) | ||||||
| (5,921 | ) | Equity LifeStyle Properties, Inc. – (REIT) | (371,661 | ) | ||||||
| (2,417 | ) | Erie Indemnity Co. – Class A | (875,993 | ) | ||||||
| (25,992 | ) | Exact Sciences Corp. * | (1,181,336 | ) | ||||||
| (1,480 | ) | Fair Isaac Corp. * | (1,909,096 | ) | ||||||
| (1,733 | ) | Fastenal Co. | (114,343 | ) | ||||||
| (27,161 | ) | Fidelity National Information Services, Inc. | (2,060,977 | ) | ||||||
| (3,287 | ) | Fortinet, Inc. * | (194,985 | ) | ||||||
| (3,304 | ) | Gartner, Inc. * | (1,386,590 | ) | ||||||
| (2,916 | ) | HubSpot, Inc. * | (1,781,822 | ) | ||||||
| (5,348 | ) | Hyatt Hotels Corp. – Class A | (788,670 | ) | ||||||
| (9,155 | ) | Insulet Corp. * | (1,622,174 | ) | ||||||
| (6,261 | ) | IQVIA Holdings, Inc. * | (1,371,723 | ) | ||||||
| (12,061 | ) | Iron Mountain, Inc. – (REIT) | (973,202 | ) | ||||||
| (2,196 | ) | Lamb Weston Holdings, Inc. | (193,885 | ) | ||||||
| (15,794 | ) | Lattice Semiconductor Corp. * | (1,172,547 | ) | ||||||
| (24,254 | ) | Liberty Media Corp.-Liberty Formula One – Class C * | (1,798,192 | ) | ||||||
| (4,256 | ) | Linde PLC | (1,853,573 | ) | ||||||
| (18,843 | ) | Live Nation Entertainment, Inc. * | (1,766,343 | ) | ||||||
| (3,449 | ) | Manhattan Associates, Inc. * | (757,193 | ) | ||||||
| (2,367 | ) | MarketAxess Holdings, Inc. | (470,867 | ) | ||||||
| (1,074 | ) | Marvell Technology, Inc. | (73,902 | ) | ||||||
| (4,178 | ) | Mastercard, Inc. – Class A | (1,867,858 | ) | ||||||
| (3,053 | ) | McKesson Corp. | (1,738,958 | ) | ||||||
| (1,164 | ) | MercadoLibre, Inc. * | (2,008,575 | ) | ||||||
| (4,511 | ) | MongoDB, Inc. * | (1,064,867 | ) | ||||||
| (3,545 | ) | Moody’s Corp. | (1,407,330 | ) | ||||||
| (359 | ) | Motorola Solutions, Inc. | (131,003 | ) | ||||||
| (3,330 | ) | MSCI, Inc. | (1,648,949 | ) | ||||||
| (46,625 | ) | Newmont Corp. | (1,955,453 | ) | ||||||
| (14,873 | ) | NiSource, Inc. | (432,209 | ) | ||||||
| (17,476 | ) | Okta, Inc. * | (1,549,772 | ) | ||||||
| (25,000 | ) | ONEOK, Inc. | (2,025,000 | ) | ||||||
| (77,468 | ) | Palantir Technologies, Inc. – Class A * | (1,679,506 | ) | ||||||
| (1,589 | ) | Palo Alto Networks, Inc. * | (468,612 | ) | ||||||
| (11,855 | ) | Paychex, Inc. | (1,424,497 | ) | ||||||
| (4,312 | ) | PTC, Inc. * | (759,947 | ) | ||||||
| (9,043 | ) | Repligen Corp. * | (1,348,221 | ) | ||||||
| (65,620 | ) | Rivian Automotive, Inc. – Class A * | (716,570 | ) | ||||||
| (41,331 | ) | ROBLOX Corp. – Class A * | (1,389,548 | ) | ||||||
| (22,388 | ) | Roku, Inc. * | (1,285,071 | ) | ||||||
| (37,630 | ) | Rollins, Inc. | (1,719,315 | ) | ||||||
| (23,530 | ) | Samsara, Inc. – Class A * | (798,373 | ) | ||||||
| (2,894 | ) | Seagate Technology Holdings PLC | (269,837 | ) | ||||||
| (1,839 | ) | Simon Property Group, Inc. – (REIT) | (278,259 | ) | ||||||
| (11,166 | ) | Snap, Inc. – Class A * | (167,713 | ) | ||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| (10,963 | ) | Snowflake, Inc. – Class A * | (1,492,941 | ) | ||||||
| (36 | ) | Starbucks Corp. | (2,888 | ) | ||||||
| (202 | ) | Super Micro Computer, Inc. * | (158,471 | ) | ||||||
| (10,023 | ) | Tesla, Inc. * | (1,784,896 | ) | ||||||
| (381 | ) | Texas Pacific Land Corp. | (234,052 | ) | ||||||
| (71,135 | ) | Toast, Inc. – Class A * | (1,723,601 | ) | ||||||
| (4,208 | ) | Trade Desk, Inc. – Class A * | (390,418 | ) | ||||||
| (1,497 | ) | TransDigm Group, Inc. | (2,010,815 | ) | ||||||
| (12,231 | ) | Uber Technologies, Inc. * | (789,633 | ) | ||||||
| (19,956 | ) | Unity Software, Inc. * | (364,596 | ) | ||||||
| (6,526 | ) | Vail Resorts, Inc. | (1,231,587 | ) | ||||||
| (5,518 | ) | Vistra Corp. | (546,723 | ) | ||||||
| (3,825 | ) | Watsco, Inc. | (1,816,493 | ) | ||||||
| (49,390 | ) | Williams Cos., Inc. | (2,050,179 | ) | ||||||
| (2,987 | ) | Zillow Group, Inc. – Class C * | (122,318 | ) | ||||||
| (8,613 | ) | Zscaler, Inc. * | (1,463,865 | ) | ||||||
|
|
|
|||||||||
| Total United States | (97,436,777 | ) | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (PROCEEDS $166,670,820) |
(198,602,414 | ) | ||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| PREFERRED STOCKS (g) — (0.1)% | ||||||||||
| Germany — (0.1)% | ||||||||||
| (4,629 | ) | Sartorius AG | (1,226,998 | ) | ||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (PROCEEDS $1,710,838) |
(1,226,998 | ) | ||||||||
|
|
|
|||||||||
| TOTAL SECURITIES SOLD SHORT (PROCEEDS $168,381,658) |
(199,829,412 | ) | ||||||||
|
|
|
|||||||||
| Other Assets and Liabilities (net) — (3.3)% | (36,730,542 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $1,116,675,009 | |||||||||
|
|
|
|||||||||
Additional information on each restricted security is as follows:
| Issuer Description |
Acquisition Date | Acquisition Cost |
Value as a Percentage of Fund’s Net Assets |
Value as of May 31, 2024 |
||||||||
| Alrosa PJSC | 12/06/17 | $ | 4,239,436 | 0.0% | $ | 25,114 | ||||||
| Magnitogorsk Iron & Steel Works PJSC | 09/08/17 | 1,550,653 | 0.0% | 11,340 | ||||||||
| Mechel PJSC | 11/15/21 | 47,412 | 0.0% | 605 | ||||||||
| PhosAgro PJSC GDR | 12/03/20 | 1,365 | 0.0% | 15 | ||||||||
| Polyus PJSC | 07/22/20 | 2,148,976 | 0.0% | 13,795 | ||||||||
| Polyus PJSC GDR (Registered) | 02/24/23 | 0 | 0.0% | 1 | ||||||||
| Sberbank of Russia PJSC | 09/09/20 | 12,774,954 | 0.0% | 127,092 | ||||||||
| Sberbank of Russia PJSC | 01/10/22 | 77,024 | 0.0% | 719 | ||||||||
| Severstal PAO | 02/02/21 | 7,249 | 0.0% | 84 | ||||||||
| Severstal PAO GDR (Registered) | 03/16/20 | 1,679,360 | 0.0% | 17,935 | ||||||||
|
|
|
|||||||||||
| $ | 196,700 | |||||||||||
|
|
|
|||||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2024 (Unaudited)
A summary of outstanding financial instruments at May 31, 2024 is as follows:
Futures Contracts
| Number |
Type | Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||
| Buys | ||||||||||||
| 175 | U.S. Treasury Note 10 Yr. (CBT) |
September 2024 | 19,039,453 | 31,941 | ||||||||
| 243 | U.S. Treasury Note 5 Yr. (CBT) |
September 2024 | 25,708,641 | (64,656 | ) | |||||||
|
|
|
|
|
|||||||||
| $ | 44,748,094 | $ | (32,715 | ) | ||||||||
|
|
|
|
|
|||||||||
| + | 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 |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||||||
| Buy Protection^: |
||||||||||||||||||||||||||||||||
| CDX.NA.HY.S42 |
USD 12,450,000 | 5.00% | 3.36% | N/A | 06/20/2029 | Quarterly | $ | (823,903 | ) | $ | (840,624 | ) | $ | (16,721 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| ^ | Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (1) | As of May 31, 2024, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. |
| (2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract. |
OTC Total Return Swaps
| Fund Pays |
Fund Receives |
Counterparty |
Notional Amount |
Expiration Date |
Periodic |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||
| Total Return on Equity Basket (j) |
1 Month Federal Funds Rate minus 0.40% | GS | USD | 6,352,982 | 06/24/2024 | Monthly | — | 173,602 | 173,602 | |||||||||||||||||||
| Total Return on Equity Basket (j) |
1 Month Federal Funds Rate minus 0.40% | MORD | USD | 11,016,346 | 06/18/2024 | Monthly | — | 1,139,659 | 1,139,659 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | — | $ | 1,313,261 | $ | 1,313,261 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
As of May 31, 2024, 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 Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2024 (Unaudited)
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| * | Non-income producing security. |
| (a) | All or a portion of this security is out on loan. |
| (b) | 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. |
| (c) | Securities are traded on separate exchanges for the same entity. |
| (d) | Investment valued using significant unobservable inputs. |
| (e) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs. |
| (f) | The security is restricted as to resale. |
| (g) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
| (h) | All or a portion of this security is purchased with collateral from securities loaned. |
| (i) | The rate disclosed is the 7 day net yield as of May 31, 2024. |
| (j) | Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets. |
The rates shown on variable rate notes are the current interest rates at May 31, 2024, which are subject to change based on the terms of the security.
Portfolio Abbreviations:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
JSC - Joint-Stock Company
NVDR - Non-Voting Depositary Receipt
PJSC - Private Joint-Stock Company
QPSC - Qatar Private Stock Company
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)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) |
||||||||
| MUTUAL FUNDS — 99.8% |
| |||||||||
| Affiliated Issuers — 99.8% | ||||||||||
| 2,513,088 | GMO Alternative Allocation Fund, Class VI | 46,793,707 | ||||||||
| 1,136,467 | GMO Asset Allocation Bond Fund, Class VI | 21,161,007 | ||||||||
| 166,214 | GMO Climate Change Fund, Class III | 3,942,590 | ||||||||
| 575,147 | GMO Emerging Country Debt Fund, Class VI | 11,290,133 | ||||||||
| 730,133 | GMO Emerging Markets ex-China Fund, Class VI | 11,251,353 | ||||||||
| 897,491 | GMO Emerging Markets Fund, Class VI | 22,024,420 | ||||||||
| 2,233,148 | GMO International Equity Fund, Class IV | 56,788,958 | ||||||||
| 1,707,570 | GMO International Opportunistic Value Fund, Class IV | 26,569,788 | ||||||||
| 1,082,838 | GMO-Usonian Japan Value Creation Fund, Class VI | 21,851,662 | ||||||||
| 2,466,342 | GMO Multi-Sector Fixed Income Fund, Class IV | 42,593,733 | ||||||||
| 448,710 | GMO Opportunistic Income Fund, Class VI | 10,778,013 | ||||||||
| 475,035 | GMO Quality Cyclicals Fund, Class VI | 11,391,347 | ||||||||
| 350,811 | GMO Quality Fund, Class VI | 11,127,737 | ||||||||
| 325,050 | GMO Resources Fund, Class VI | 7,453,387 | ||||||||
| 450,297 | GMO Small Cap Quality Fund, Class VI | 11,122,335 | ||||||||
| 1,320,908 | GMO U.S. Equity Fund, Class VI | 19,021,072 | ||||||||
| 1,142,134 | GMO U.S. Opportunistic Value Fund, Class VI | 26,417,566 | ||||||||
| 377,084 | GMO U.S. Small Cap Value Fund, Class VI | 7,515,289 | ||||||||
| 67,943 | GMO U.S. Treasury Fund | 339,713 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $373,723,420) |
369,433,810 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
| Money Market Funds — 0.1% | ||||||||||
| 453,320 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (a) | 453,320 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $453,320) |
453,320 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 99.9% (Cost $374,176,740) |
369,887,130 | |||||||||
| Other Assets and Liabilities (net) — 0.1% | 413,825 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $370,300,955 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
(a) The rate disclosed is the 7 day net yield as of May 31, 2024.
GMO Global Developed Equity Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) |
||||||||
| MUTUAL FUNDS — 100.0% | ||||||||||
| Affiliated Issuers — 100.0% | ||||||||||
| 33,288 | GMO Climate Change Fund, Class III | 789,592 | ||||||||
| 93,108 | GMO Emerging Markets ex-China Fund, Class VI | 1,434,799 | ||||||||
| 801,356 | GMO International Equity Fund, Class IV | 20,378,483 | ||||||||
| 527,913 | GMO International Opportunistic Value Fund, Class IV | 8,214,323 | ||||||||
| 213,413 | GMO-Usonian Japan Value Creation Fund, Class VI | 4,306,669 | ||||||||
| 156,201 | GMO Quality Cyclicals Fund, Class VI | 3,745,706 | ||||||||
| 353,407 | GMO Quality Fund, Class VI | 11,210,069 | ||||||||
| 86,253 | GMO Resources Fund, Class VI | 1,977,782 | ||||||||
| 147,220 | GMO Small Cap Quality Fund, Class VI | 3,636,329 | ||||||||
| 366,693 | GMO U.S. Equity Fund, Class VI | 5,280,379 | ||||||||
| 489,838 | GMO U.S. Opportunistic Value Fund, Class VI | 11,329,966 | ||||||||
| 113,215 | GMO U.S. Small Cap Value Fund, Class VI | 2,256,371 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $65,060,722) |
74,560,468 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
| Money Market Funds — 0.1% | ||||||||||
| 77,149 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (a) | 77,149 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $77,149) |
77,149 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.1% (Cost $65,137,871) |
74,637,617 | |||||||||
| Other Assets and Liabilities (net) — (0.1%) | (39,822 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $74,597,795 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
(a) The rate disclosed is the 7 day net yield as of May 31, 2024.
GMO Global Equity Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| MUTUAL FUNDS — 100.0% |
| |||||||||
| Affiliated Issuers — 100.0% | ||||||||||
| 275,162 | GMO Climate Change Fund, Class III | 6,526,844 | ||||||||
| 2,087,138 | GMO Emerging Markets ex-China Fund, Class VI | 32,162,802 | ||||||||
| 2,613,369 | GMO Emerging Markets Fund, Class VI | 64,132,079 | ||||||||
| 5,488,352 | GMO International Equity Fund, Class IV | 139,568,780 | ||||||||
| 4,693,407 | GMO International Opportunistic Value Fund, Class IV | 73,029,414 | ||||||||
| 1,973,847 | GMO-Usonian Japan Value Creation Fund, Class VI | 39,832,231 | ||||||||
| 1,372,976 | GMO Quality Cyclicals Fund, Class VI | 32,923,971 | ||||||||
| 2,475,207 | GMO Quality Fund, Class VI | 78,513,577 | ||||||||
| 857,889 | GMO Resources Fund, Class VI | 19,671,397 | ||||||||
| 1,347,236 | GMO Small Cap Quality Fund, Class VI | 33,276,720 | ||||||||
| 2,293,694 | GMO U.S. Equity Fund, Class VI | 33,029,191 | ||||||||
| 3,758,453 | GMO U.S. Opportunistic Value Fund, Class VI | 86,933,013 | ||||||||
| 1,007,560 | GMO U.S. Small Cap Value Fund, Class VI | 20,080,672 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $627,896,894) |
659,680,691 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
| Money Market Funds — 0.1% | ||||||||||
| 815,565 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (a) | 815,565 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $815,565) |
815,565 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.1% (Cost $628,712,459) |
660,496,256 | |||||||||
| Other Assets and Liabilities (net) — (0.1%) | (493,003 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $660,003,253 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
(a) The rate disclosed is the 7 day net yield as of May 31, 2024.
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| COMMON STOCKS — 83.5% | ||||||||||
| Argentina — 0.1% | ||||||||||
| 39,648 | Adecoagro SA | 390,136 | ||||||||
| 45,900 | YPF SA Sponsored ADR * (a) | 1,065,339 | ||||||||
|
|
|
|||||||||
| Total Argentina | 1,455,475 | |||||||||
|
|
|
|||||||||
| Australia — 1.8% | ||||||||||
| 189,557 | Accent Group Ltd. | 238,156 | ||||||||
| 109,906 | Altium Ltd. (b) | 4,924,883 | ||||||||
| 1,208,760 | Alumina Ltd. * | 1,524,051 | ||||||||
| 230,653 | Beach Energy Ltd. | 258,613 | ||||||||
| 390,066 | BHP Group Ltd. (b) | 11,609,275 | ||||||||
| 474,276 | BlueScope Steel Ltd. | 6,692,931 | ||||||||
| 382,444 | Brambles Ltd. (b) | 3,635,337 | ||||||||
| 159,990 | CSR Ltd. | 949,599 | ||||||||
| 154,205 | Fortescue Ltd. | 2,548,262 | ||||||||
| 616,065 | GPT Group – (REIT) | 1,728,252 | ||||||||
| 43,840 | GrainCorp Ltd. – Class A | 243,657 | ||||||||
| 391,714 | Grange Resources Ltd. | 102,086 | ||||||||
| 218,966 | Helia Group Ltd. | 602,310 | ||||||||
| 49,194 | HomeCo Daily Needs – (REIT) | 39,825 | ||||||||
| 14,161 | JB Hi-Fi Ltd. | 550,668 | ||||||||
| 8,811 | McMillan Shakespeare Ltd. | 97,197 | ||||||||
| 1,219,527 | Mirvac Group – (REIT) (b) | 1,601,707 | ||||||||
| 20,860 | Rio Tinto Ltd. (b) | 1,794,262 | ||||||||
| 80,239 | Santos Ltd. | 407,703 | ||||||||
| 614,795 | Scentre Group – (REIT) (b) | 1,297,284 | ||||||||
| 79,010 | Southern Cross Media Group Ltd. | 37,339 | ||||||||
| 474,167 | Stockland – (REIT) (b) | 1,428,808 | ||||||||
| 154,510 | Sunrise Energy Metals Ltd. * (a) | 52,049 | ||||||||
| 100,347 | Super Retail Group Ltd. | 880,126 | ||||||||
| 13,383 | Westpac Banking Corp. | 232,402 | ||||||||
|
|
|
|||||||||
| Total Australia | 43,476,782 | |||||||||
|
|
|
|||||||||
| Austria — 0.5% | ||||||||||
| 68,985 | Erste Group Bank AG | 3,389,935 | ||||||||
| 121,957 | OMV AG | 6,163,517 | ||||||||
| 63,574 | Raiffeisen Bank International AG (a) | 1,175,798 | ||||||||
| 1,869 | Strabag SE | 82,460 | ||||||||
| 13,774 | Wienerberger AG | 517,037 | ||||||||
|
|
|
|||||||||
| Total Austria | 11,328,747 | |||||||||
|
|
|
|||||||||
| Belgium — 1.0% | ||||||||||
| 190,085 | Ageas SA | 9,482,904 | ||||||||
| 10,574 | Bekaert SA | 498,332 | ||||||||
| 11,958 | Econocom Group SA | 31,370 | ||||||||
| 43,710 | Groupe Bruxelles Lambert NV | 3,351,981 | ||||||||
| 15,565 | KBC Group NV | 1,136,722 | ||||||||
| 1,487 | Melexis NV (a) | 135,014 | ||||||||
| 1,215 | Orange Belgium SA * | 19,617 | ||||||||
| 236,186 | Proximus SADP | 1,862,029 | ||||||||
| 24,966 | Syensqo SA | 2,498,677 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Belgium — continued | ||||||||||
| 36,661 | UCB SA | 5,142,460 | ||||||||
|
|
|
|||||||||
| Total Belgium | 24,159,106 | |||||||||
|
|
|
|||||||||
| Brazil — 0.8% | ||||||||||
| 8,460 | Alupar Investimento SA | 46,852 | ||||||||
| 195,000 | Ambev SA | 429,298 | ||||||||
| 2,400 | Auren Energia SA | 5,457 | ||||||||
| 41,082 | Banco Bradesco SA ADR | 101,062 | ||||||||
| 160,600 | Banco do Brasil SA | 829,472 | ||||||||
| 78,600 | Banco Santander Brasil SA | 415,386 | ||||||||
| 41,200 | BB Seguridade Participacoes SA | 253,435 | ||||||||
| 1,700 | BrasilAgro—Co. Brasileira de Propriedades Agricolas | 8,220 | ||||||||
| 33,400 | Cia de Saneamento de Minas Gerais Copasa MG | 128,170 | ||||||||
| 9,200 | Cia De Sanena Do Parana | 47,849 | ||||||||
| 191,800 | CPFL Energia SA | 1,245,573 | ||||||||
| 16,700 | Cury Construtora e Incorporadora SA | 58,615 | ||||||||
| 60,400 | Enauta Participacoes SA * | 254,672 | ||||||||
| 81,800 | Engie Brasil Energia SA | 675,163 | ||||||||
| 11,000 | GPS Participacoes e Empreendimentos SA | 38,839 | ||||||||
| 4,500 | Grendene SA | 5,296 | ||||||||
| 21,300 | Itau Unibanco Holding SA | 109,321 | ||||||||
| 165,200 | Magazine Luiza SA * | 389,805 | ||||||||
| 8,000 | Odontoprev SA | 17,003 | ||||||||
| 337,176 | Petroleo Brasileiro SA Sponsored ADR | 5,243,087 | ||||||||
| 21,100 | Petroleo Brasileiro SA | 163,547 | ||||||||
| 20,600 | PRIO SA | 163,242 | ||||||||
| 117,326 | Sao Martinho SA | 606,416 | ||||||||
| 53,100 | Ser Educacional SA * | 49,956 | ||||||||
| 60,820 | SLC Agricola SA | 206,405 | ||||||||
| 35,100 | Suzano SA | 325,538 | ||||||||
| 1,319 | Telefonica Brasil SA ADR | 11,040 | ||||||||
| 253,900 | TIM SA | 766,888 | ||||||||
| 19,947 | TIM SA ADR | 303,793 | ||||||||
| 38,100 | Transmissora Alianca de Energia Eletrica SA | 248,732 | ||||||||
| 305,557 | Ultrapar Participacoes SA | 1,348,294 | ||||||||
| 236,902 | Vale SA | 2,851,360 | ||||||||
| 93,027 | Vale SA Sponsored ADR | 1,120,975 | ||||||||
| 327,600 | Vibra Energia SA | 1,343,866 | ||||||||
|
|
|
|||||||||
| Total Brazil | 19,812,627 | |||||||||
|
|
|
|||||||||
| Canada — 3.8% | ||||||||||
| 8,800 | Algoma Steel Group, Inc. (a) | 67,730 | ||||||||
| 55,903 | Alimentation Couche-Tard, Inc. (b) | 3,262,837 | ||||||||
| 58,000 | Anaergia, Inc. * (a) (c) | 12,766 | ||||||||
| 28,900 | ARC Resources Ltd. (a) | 546,851 | ||||||||
| 185,397 | B2Gold Corp. (d) | 519,112 | ||||||||
| 152,100 | B2Gold Corp. (d) | 428,529 | ||||||||
| 49,098 | Bank of Nova Scotia (d) | 2,323,808 | ||||||||
| 40,200 | Bank of Nova Scotia (d) | 1,903,007 | ||||||||
| 14,311 | Brookfield Asset Management Ltd. – Class A (a) | 561,564 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Canada — continued | ||||||||||
| 73,817 | Brookfield Corp. – Class A (b) | 3,210,301 | ||||||||
| 3,900 | BRP, Inc. | 243,680 | ||||||||
| 40,374 | Canadian Imperial Bank of Commerce (d) | 2,000,128 | ||||||||
| 32,400 | Canadian Imperial Bank of Commerce (d) | 1,606,509 | ||||||||
| 39,900 | Canadian Tire Corp. Ltd. – Class A | 3,982,535 | ||||||||
| 15,378 | Canfor Corp. * | 169,018 | ||||||||
| 51,649 | Celestica, Inc. * (d) | 2,887,221 | ||||||||
| 25,078 | Celestica, Inc. * (d) | 1,402,362 | ||||||||
| 5,300 | CGI, Inc. * (b) | 523,370 | ||||||||
| 47,800 | China Gold International Resources Corp. Ltd. * | 330,219 | ||||||||
| 8,900 | CI Financial Corp. | 95,533 | ||||||||
| 6,987 | Cogeco, Inc. (a) | 243,247 | ||||||||
| 21,780 | Dundee Precious Metals, Inc. | 179,775 | ||||||||
| 10,300 | Empire Co. Ltd. – Class A | 244,020 | ||||||||
| 14,300 | Enerplus Corp. | 290,732 | ||||||||
| 1,398 | EQB, Inc. | 89,873 | ||||||||
| 1,277 | Fairfax Financial Holdings Ltd. (b) | 1,437,554 | ||||||||
| 8,167 | Finning International, Inc. | 243,940 | ||||||||
| 78,800 | First Quantum Minerals Ltd. | 1,012,354 | ||||||||
| 25,300 | Great-West Lifeco, Inc. (b) | 758,842 | ||||||||
| 34,800 | iA Financial Corp., Inc. | 2,265,785 | ||||||||
| 6,479 | Imperial Oil Ltd. (d) | 456,769 | ||||||||
| 4,400 | Imperial Oil Ltd. (a) (d) | 310,884 | ||||||||
| 10,963 | Interfor Corp. * | 142,693 | ||||||||
| 12,665 | International Petroleum Corp. * | 179,189 | ||||||||
| 348,200 | Ivanhoe Mines Ltd. – Class A * (a) | 5,027,753 | ||||||||
| 110,972 | Largo, Inc. * (a) | 245,076 | ||||||||
| 96,800 | Li-Cycle Holdings Corp. * | 49,823 | ||||||||
| 3,500 | Linamar Corp. | 182,351 | ||||||||
| 28,061 | Logan Energy Corp. * | 17,706 | ||||||||
| 39,800 | Magna International, Inc. | 1,800,556 | ||||||||
| 383,939 | Manulife Financial Corp. (b) (d) | 9,972,076 | ||||||||
| 127,907 | Manulife Financial Corp. (b) (d) | 3,320,466 | ||||||||
| 146,100 | NexGen Energy Ltd. * (a) | 1,138,400 | ||||||||
| 49,700 | Nutrien Ltd. (d) | 2,912,461 | ||||||||
| 36,241 | Nutrien Ltd. (d) | 2,124,085 | ||||||||
| 73,479 | Nuvei Corp. | 2,366,024 | ||||||||
| 23,300 | Onex Corp. | 1,651,745 | ||||||||
| 4,166 | Open Text Corp. (b) | 121,856 | ||||||||
| 114,117 | Parex Resources, Inc. (a) | 1,872,994 | ||||||||
| 116,256 | Power Corp. of Canada | 3,375,215 | ||||||||
| 105,800 | Quebecor, Inc. – Class B (a) | 2,231,740 | ||||||||
| 724,783 | Resolute Forest Products, Inc. * (c) | 1,449,566 | ||||||||
| 46,600 | Russel Metals, Inc. | 1,250,348 | ||||||||
| 19,200 | Sleep Country Canada Holdings, Inc. | 361,334 | ||||||||
| 20,918 | Stella-Jones, Inc. (a) | 1,248,680 | ||||||||
| 43,447 | Sun Life Financial, Inc. (b) (d) | 2,177,530 | ||||||||
| 21,906 | Sun Life Financial, Inc.(d) | 1,098,148 | ||||||||
| 20,700 | Tamarack Valley Energy Ltd. (a) | 58,321 | ||||||||
| 13,100 | Teck Resources Ltd. – Class B (d) | 681,360 | ||||||||
| 12,900 | Teck Resources Ltd. – Class B (d) | 671,445 | ||||||||
| 87,500 | Toronto-Dominion Bank (b) (d) | 4,891,962 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Canada — continued | ||||||||||
| 15,278 | Toronto-Dominion Bank (b) (d) | 854,346 | ||||||||
| 4,400 | Tourmaline Oil Corp. | 218,265 | ||||||||
| 36,200 | Veren, Inc. | 315,302 | ||||||||
| 57,400 | Vermilion Energy, Inc. | 710,612 | ||||||||
| 2,943 | Wajax Corp. | 56,832 | ||||||||
| 63,700 | West Fraser Timber Co. Ltd. (d) | 5,095,720 | ||||||||
| 7,132 | West Fraser Timber Co. Ltd. (d) | 570,631 | ||||||||
| 39,700 | Whitecap Resources, Inc. (a) | 310,796 | ||||||||
|
|
|
|||||||||
| Total Canada | 94,364,262 | |||||||||
|
|
|
|||||||||
| Chile — 0.0% | ||||||||||
| 237,838 | Cencosud SA | 446,628 | ||||||||
| 2,348,061 | Colbun SA | 306,933 | ||||||||
| 1,213,462 | Enel Chile SA | 69,542 | ||||||||
| 22,475 | Enel Chile SA ADR | 66,076 | ||||||||
|
|
|
|||||||||
| Total Chile | 889,179 | |||||||||
|
|
|
|||||||||
| China — 1.9% | ||||||||||
| 165,000 | 361 Degrees International Ltd. | 94,429 | ||||||||
| 436,500 | 3SBio, Inc. | 340,855 | ||||||||
| 7,384,000 | Agricultural Bank of China Ltd. – Class H | 3,095,599 | ||||||||
| 60,466 | Alibaba Group Holding Ltd. Sponsored ADR (b) | 4,736,906 | ||||||||
| 863,500 | BAIC Motor Corp. Ltd. – Class H | 246,669 | ||||||||
| 1,377,871 | Bank of Communications Co. Ltd. – Class H | 1,039,963 | ||||||||
| 196,500 | Beijing Enterprises Holdings Ltd. | 692,663 | ||||||||
| 3,376,000 | China Cinda Asset Management Co. Ltd. – Class H | 324,868 | ||||||||
| 268,000 | China Communications Services Corp. Ltd. – Class H | 128,920 | ||||||||
| 10,942,000 | China Construction Bank Corp. – Class H | 7,765,801 | ||||||||
| 1,266,000 | China Energy Engineering Corp. Ltd. – Class H * | 144,514 | ||||||||
| 465,000 | China Everbright Environment Group Ltd. | 217,092 | ||||||||
| 3,659,000 | China Greenfresh Group Co. Ltd. (e) | — | ||||||||
| 135,000 | China High Speed Transmission Equipment Group Co. Ltd. * | 19,133 | ||||||||
| 49,000 | China Hongqiao Group Ltd. (a) | 81,126 | ||||||||
| 675,000 | China Lesso Group Holdings Ltd. * | 311,127 | ||||||||
| 126,925 | China Medical System Holdings Ltd. | 107,466 | ||||||||
| 341,000 | China Overseas Grand Oceans Group Ltd. | 92,139 | ||||||||
| 3,430,000 | China Petroleum & Chemical Corp. – Class H | 2,185,075 | ||||||||
| 3,934,000 | China Railway Group Ltd. – Class H | 2,119,718 | ||||||||
| 275,000 | China Railway Signal & Communication Corp. Ltd. – Class H | 116,413 | ||||||||
| 528,000 | China Reinsurance Group Corp. – Class H | 38,526 | ||||||||
| 512,000 | China Resources Pharmaceutical Group Ltd. | 379,758 | ||||||||
| 308,000 | China State Construction International Holdings Ltd. | 407,794 | ||||||||
| 4,237,600 | China Zhongwang Holdings Ltd. (a) (e) | 1 | ||||||||
| 1,652,158 | CITIC Ltd. | 1,675,522 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| China — continued | ||||||||||
| 1,339,500 | COSCO Shipping Holdings Co. Ltd. – Class H | 2,243,060 | ||||||||
| 987,000 | CRRC Corp. Ltd. – Class H | 592,066 | ||||||||
| 674,000 | CSPC Pharmaceutical Group Ltd. | 573,015 | ||||||||
| 1,196,313 | Dongfeng Motor Group Co. Ltd. – Class H | 388,063 | ||||||||
| 287,000 | Fufeng Group Ltd. (a) | 224,591 | ||||||||
| 44,000 | Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd. – Class H | 125,486 | ||||||||
| 162,400 | Haier Smart Home Co. Ltd. – Class H | 589,998 | ||||||||
| 153,000 | Henan Shenhuo Coal & Power Co. Ltd. – Class A | 488,406 | ||||||||
| 35,369 | JD.com, Inc. ADR (a) (b) | 1,047,630 | ||||||||
| 194,788 | Kingboard Holdings Ltd. | 473,891 | ||||||||
| 110,000 | Kunlun Energy Co. Ltd. | 114,724 | ||||||||
| 120,300 | Legend Holdings Corp. – Class H | 105,307 | ||||||||
| 1,482,000 | Lenovo Group Ltd. | 2,134,833 | ||||||||
| 53,000 | Livzon Pharmaceutical Group, Inc. – Class H | 179,960 | ||||||||
| 345,000 | Lonking Holdings Ltd. | 63,944 | ||||||||
| 587,000 | Metallurgical Corp. of China Ltd. – Class H | 127,911 | ||||||||
| 32,000 | NetDragon Websoft Holdings Ltd. | 48,083 | ||||||||
| 123,000 | Orient Overseas International Ltd. | 2,089,088 | ||||||||
| 500,000 | PetroChina Co. Ltd. – Class H | 512,679 | ||||||||
| 1,326,000 | PICC Property & Casualty Co. Ltd. – Class H | 1,728,002 | ||||||||
| 235,000 | Poly Property Group Co. Ltd. | 44,672 | ||||||||
| 311,700 | Shanghai Pharmaceuticals Holding Co. Ltd. – Class H | 462,775 | ||||||||
| 271,500 | Sinopec Engineering Group Co. Ltd. – Class H | 182,680 | ||||||||
| 505,200 | Sinopharm Group Co. Ltd. – Class H | 1,374,814 | ||||||||
| 289,000 | Sinotruk Hong Kong Ltd. | 672,135 | ||||||||
| 260,000 | Skyworth Group Ltd. | 92,977 | ||||||||
| 87,700 | Tencent Holdings Ltd. | 4,068,715 | ||||||||
| 82,000 | Tianneng Power International Ltd. (a) | 62,005 | ||||||||
| 164,000 | Weichai Power Co. Ltd. – Class H | 294,598 | ||||||||
| 306,600 | Western Mining Co. Ltd. – Class A | 788,218 | ||||||||
|
|
|
|||||||||
| Total China | 48,256,403 | |||||||||
|
|
|
|||||||||
| Colombia — 0.0% | ||||||||||
| 2,059 | Interconexion Electrica SA ESP | 10,201 | ||||||||
|
|
|
|||||||||
| Czech Republic — 0.0% | ||||||||||
| 87,257 | Moneta Money Bank AS | 382,162 | ||||||||
| 325 | Philip Morris CR AS | 214,031 | ||||||||
|
|
|
|||||||||
| Total Czech Republic | 596,193 | |||||||||
|
|
|
|||||||||
| Denmark — 0.8% | ||||||||||
| 1,429 | AP Moller - Maersk AS – Class A | 2,507,574 | ||||||||
| 2,792 | AP Moller - Maersk AS – Class B (b) | 5,076,360 | ||||||||
| 148,554 | Danske Bank AS | 4,566,793 | ||||||||
| 10,930 | Genmab AS * | 3,085,089 | ||||||||
| 46,735 | H Lundbeck AS | 256,759 | ||||||||
| 3,998 | Matas AS | 69,205 | ||||||||
| 1,873 | Pandora AS | 307,660 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Denmark — continued | ||||||||||
| 7,823 | ROCKWOOL AS – B Shares | 3,291,454 | ||||||||
| 2,730 | Svitzer AS * | 107,027 | ||||||||
|
|
|
|||||||||
| Total Denmark | 19,267,921 | |||||||||
|
|
|
|||||||||
| Egypt — 0.0% | ||||||||||
| 57,551 | Abou Kir Fertilizers & Chemical Industries | 75,466 | ||||||||
| 238,395 | Commercial International Bank - Egypt (CIB) | 394,480 | ||||||||
| 373,532 | Eastern Co. SAE | 218,355 | ||||||||
| 19,193 | ElSewedy Electric Co. | 18,077 | ||||||||
| 157,420 | Misr Fertilizers Production Co. SAE | 146,057 | ||||||||
|
|
|
|||||||||
| Total Egypt | 852,435 | |||||||||
|
|
|
|||||||||
| Finland — 0.4% | ||||||||||
| 11,004 | Kemira OYJ | 259,371 | ||||||||
| 111,509 | Neste OYJ | 2,341,049 | ||||||||
| 1,507,451 | Nokia OYJ | 5,896,239 | ||||||||
| 110,984 | Outokumpu OYJ | 461,018 | ||||||||
| 2,141 | Sanoma OYJ | 17,480 | ||||||||
| 70,288 | Stora Enso OYJ – R Shares | 1,029,673 | ||||||||
| 9,492 | TietoEVRY OYJ (b) | 191,794 | ||||||||
| 30,849 | Valmet OYJ | 830,231 | ||||||||
|
|
|
|||||||||
| Total Finland | 11,026,855 | |||||||||
|
|
|
|||||||||
| France — 3.6% | ||||||||||
| 1,191 | Amundi SA * | 91,902 | ||||||||
| 15,719 | APERAM SA | 453,396 | ||||||||
| 154,343 | ArcelorMittal SA | 4,071,965 | ||||||||
| 5,173 | Arkema SA | 530,108 | ||||||||
| 41,003 | AXA SA (b) | 1,480,472 | ||||||||
| 65,162 | BNP Paribas SA | 4,810,038 | ||||||||
| 764 | Caisse Regionale de Credit Agricole Mutuel Nord de France | 12,036 | ||||||||
| 37,919 | Carrefour SA (a) | 618,364 | ||||||||
| 101,899 | Cie de Saint-Gobain SA | 8,996,792 | ||||||||
| 25,221 | Cie Generale des Etablissements Michelin SCA (b) | 1,022,838 | ||||||||
| 72,341 | Coface SA | 1,113,932 | ||||||||
| 61,222 | Credit Agricole SA | 996,136 | ||||||||
| 15,907 | Derichebourg SA | 90,680 | ||||||||
| 3,679 | Eramet SA * | 424,794 | ||||||||
| 8,100 | Eurazeo SE | 683,725 | ||||||||
| 6,321 | Ipsen SA | 829,222 | ||||||||
| 2,021 | IPSOS SA | 147,418 | ||||||||
| 2,797 | LVMH Moet Hennessy Louis Vuitton SE (b) | 2,236,882 | ||||||||
| 1,650 | Mersen SA | 69,058 | ||||||||
| 4,694 | Metropole Television SA | 71,485 | ||||||||
| 185,489 | Orange SA (b) | 2,165,893 | ||||||||
| 26,070 | Publicis Groupe SA (b) | 2,928,307 | ||||||||
| 14,609 | Quadient SA | 352,514 | ||||||||
| 79,936 | Renault SA | 4,695,455 | ||||||||
| 74,837 | Rexel SA | 2,274,286 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| France — continued | ||||||||||
| 25,144 | Rubis SCA | 895,717 | ||||||||
| 19,498 | Safran SA (b) | 4,566,533 | ||||||||
| 86,328 | Sanofi SA | 8,451,679 | ||||||||
| 5,321 | Societe BIC SA * | 398,143 | ||||||||
| 227,580 | Societe Generale SA | 6,816,665 | ||||||||
| 150,164 | STMicroelectronics NV—NY Shares | 6,302,383 | ||||||||
| 371 | Synergie SE | 14,707 | ||||||||
| 83,867 | Television Francaise 1 SA | 825,881 | ||||||||
| 200,839 | TotalEnergies SE (d) | 14,714,357 | ||||||||
| 1,951 | TotalEnergies SE (d) | 143,360 | ||||||||
| 12,291 | Valeo SE | 152,019 | ||||||||
| 41,547 | Veolia Environnement SA (b) | 1,390,862 | ||||||||
| 321,819 | Vivendi SE | 3,543,873 | ||||||||
|
|
|
|||||||||
| Total France | 89,383,877 | |||||||||
|
|
|
|||||||||
| Germany — 1.2% | ||||||||||
| 19,265 | 1&1 AG | 366,950 | ||||||||
| 1,666 | Allianz SE (Registered) (b) | 487,701 | ||||||||
| 272 | Amadeus Fire AG | 32,835 | ||||||||
| 7,471 | Bayerische Motoren Werke AG (b) | 762,060 | ||||||||
| 18,650 | Beiersdorf AG (b) | 2,923,890 | ||||||||
| 26,148 | Continental AG | 1,782,104 | ||||||||
| 35,825 | Daimler Truck Holding AG | 1,532,815 | ||||||||
| 195,841 | Deutsche Bank AG (Registered) (b) | 3,258,884 | ||||||||
| 33,963 | Deutz AG | 194,508 | ||||||||
| 5,709 | DHL Group (b) | 240,351 | ||||||||
| 561 | Draegerwerk AG & Co. KGaA | 28,536 | ||||||||
| 21,454 | E.ON SE (b) | 287,315 | ||||||||
| 47,117 | Fresenius SE & Co. KGaA * | 1,503,328 | ||||||||
| 12,088 | Heidelberg Materials AG | 1,267,709 | ||||||||
| 9,220 | Henkel AG & Co. KGaA (b) | 738,798 | ||||||||
| 502 | Hornbach Holding AG & Co. KGaA | 42,324 | ||||||||
| 25,590 | Kloeckner & Co. SE | 170,012 | ||||||||
| 93,716 | Mercedes-Benz Group AG (b) | 6,801,651 | ||||||||
| 76,139 | ProSiebenSat.1 Media SE | 632,909 | ||||||||
| 2,366 | RTL Group SA | 79,294 | ||||||||
| 41 | SAF-Holland SE * | 788 | ||||||||
| 6,338 | Salzgitter AG | 157,618 | ||||||||
| 12,632 | Siemens AG (Registered) (b) | 2,434,705 | ||||||||
| 25,746 | Talanx AG | 2,053,670 | ||||||||
| 1,547 | Traton SE | 55,182 | ||||||||
| 4,117 | Volkswagen AG | 590,324 | ||||||||
| 4,154 | Wacker Neuson SE | 75,645 | ||||||||
| 792 | Wuestenrot & Wuerttembergische AG | 11,817 | ||||||||
|
|
|
|||||||||
| Total Germany | 28,513,723 | |||||||||
|
|
|
|||||||||
| Greece — 0.1% | ||||||||||
| 137,106 | Eurobank Ergasias Services & Holdings SA – Class A * | 299,726 | ||||||||
| 13,494 | JUMBO SA | 386,931 | ||||||||
| 14,181 | Mytilineos SA | 564,736 | ||||||||
| 2,930 | OPAP SA | 46,577 | ||||||||
|
|
|
|||||||||
| Total Greece | 1,297,970 | |||||||||
|
|
|
|||||||||
| Shares | Description | Value ($) |
||||||||
| Hong Kong — 0.8% | ||||||||||
| 205,900 | ASMPT Ltd. | 2,462,368 | ||||||||
| 83,000 | Bank of East Asia Ltd. | 109,642 | ||||||||
| 187,000 | BOC Hong Kong Holdings Ltd. | 587,815 | ||||||||
| 65,000 | Chow Sang Holdings International Ltd. | 68,041 | ||||||||
| 833,000 | CITIC Telecom International Holdings Ltd. | 273,574 | ||||||||
| 368,500 | CK Asset Holdings Ltd. | 1,459,568 | ||||||||
| 498,000 | CK Hutchison Holdings Ltd. | 2,431,776 | ||||||||
| 74,000 | Dah Sing Banking Group Ltd. | 64,144 | ||||||||
| 46,400 | Dah Sing Financial Holdings Ltd. | 136,552 | ||||||||
| 500,000 | E-Commodities Holdings Ltd. | 111,313 | ||||||||
| 284,000 | First Pacific Co. Ltd. | 136,501 | ||||||||
| 264,025 | Galaxy Entertainment Group Ltd. | 1,272,124 | ||||||||
| 254,000 | Giordano International Ltd. | 63,428 | ||||||||
| 145,000 | Health & Happiness H&H International Holdings Ltd. | 189,289 | ||||||||
| 2,665 | Hong Kong Resources Holdings Co. Ltd. * | 202 | ||||||||
| 617,000 | IGG, Inc. * | 242,087 | ||||||||
| 146,500 | Johnson Electric Holdings Ltd. | 224,316 | ||||||||
| 154,000 | K Wah International Holdings Ltd. | 36,530 | ||||||||
| 30,000 | Kerry Logistics Network Ltd. | 34,469 | ||||||||
| 48,500 | Kerry Properties Ltd. | 87,707 | ||||||||
| 65,000 | Luk Fook Holdings International Ltd. | 159,579 | ||||||||
| 443,000 | Pacific Basin Shipping Ltd. | 155,952 | ||||||||
| 28,000 | PAX Global Technology Ltd. | 22,353 | ||||||||
| 354,000 | Shun Tak Holdings Ltd. * | 34,118 | ||||||||
| 39,500 | SmarTone Telecommunications Holdings Ltd. | 18,456 | ||||||||
| 231,000 | Sun Hung Kai Properties Ltd. | 2,232,039 | ||||||||
| 234,500 | Swire Pacific Ltd. – Class A | 2,041,241 | ||||||||
| 43,800 | Swire Properties Ltd. | 80,561 | ||||||||
| 119,000 | Texhong International Group Ltd. * | 67,111 | ||||||||
| 4,586,000 | United Energy Group Ltd. (a) | 375,482 | ||||||||
| 536,000 | VSTECS Holdings Ltd. | 315,630 | ||||||||
| 74,200 | VTech Holdings Ltd. | 532,058 | ||||||||
| 4,280,500 | WH Group Ltd. | 2,916,971 | ||||||||
| 173,500 | Yue Yuen Industrial Holdings Ltd. | 320,780 | ||||||||
|
|
|
|||||||||
| Total Hong Kong | 19,263,777 | |||||||||
|
|
|
|||||||||
| Hungary — 0.2% | ||||||||||
| 46,588 | Magyar Telekom Telecommunications PLC | 127,333 | ||||||||
| 112,064 | MOL Hungarian Oil & Gas PLC | 871,688 | ||||||||
| 88,523 | OTP Bank Nyrt | 4,274,798 | ||||||||
| 27,163 | Richter Gedeon Nyrt | 688,552 | ||||||||
|
|
|
|||||||||
| Total Hungary | 5,962,371 | |||||||||
|
|
|
|||||||||
| India — 1.7% | ||||||||||
| 38,025 | Arvind Ltd. | 173,550 | ||||||||
| 4,407 | Ashoka Buildcon Ltd. * | 9,684 | ||||||||
| 93,836 | Aurobindo Pharma Ltd. | 1,338,848 | ||||||||
| 1,505 | Avanti Feeds Ltd. | 9,239 | ||||||||
| 44,957 | Berger Paints India Ltd. | 247,753 | ||||||||
| 252,385 | Bharat Petroleum Corp. Ltd. | 1,901,894 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| India — continued | ||||||||||
| 102,260 | Brightcom Group Ltd. * | 13,541 | ||||||||
| 10,685 | Castrol India Ltd. | 25,102 | ||||||||
| 4,820 | CESC Ltd. | 8,525 | ||||||||
| 38,450 | Chambal Fertilisers & Chemicals Ltd. | 179,044 | ||||||||
| 20,411 | Chennai Petroleum Corp. Ltd. | 224,244 | ||||||||
| 521 | Cholamandalam Financial Holdings Ltd. | 6,728 | ||||||||
| 40,598 | Cipla Ltd. | 706,103 | ||||||||
| 3,220 | Colgate-Palmolive India Ltd. | 102,107 | ||||||||
| 11,785 | Coromandel International Ltd. | 184,261 | ||||||||
| 13,297 | Dhampur Bio Organics Ltd. | 19,125 | ||||||||
| 28,658 | Dr Reddy’s Laboratories Ltd. ADR | 1,968,231 | ||||||||
| 10,958 | Dr Reddy’s Laboratories Ltd. | 759,899 | ||||||||
| 1,066 | EID Parry India Ltd. | 8,526 | ||||||||
| 21,888 | Exide Industries Ltd. | 128,357 | ||||||||
| 407,957 | GAIL India Ltd. | 1,001,418 | ||||||||
| 20,493 | GHCL Ltd. | 123,806 | ||||||||
| 7,785 | Godawari Power & Ispat Ltd. | 91,065 | ||||||||
| 21,286 | Great Eastern Shipping Co. Ltd. | 276,284 | ||||||||
| 24,493 | Gujarat Narmada Valley Fertilizers & Chemicals Ltd. | 186,483 | ||||||||
| 9,590 | Gujarat Pipavav Port Ltd. | 22,376 | ||||||||
| 113,495 | Gujarat State Fertilizers & Chemicals Ltd. | 287,483 | ||||||||
| 3,097 | Gujarat State Petronet Ltd. | 10,792 | ||||||||
| 39,705 | HCL Technologies Ltd. | 631,179 | ||||||||
| 27,144 | Hero MotoCorp Ltd. | 1,669,094 | ||||||||
| 84,304 | Hindalco Industries Ltd. | 695,012 | ||||||||
| 55,815 | Hindustan Petroleum Corp. Ltd. | 360,945 | ||||||||
| 2,061 | ICICI Securities Ltd. | 17,667 | ||||||||
| 1,632 | IIFL Finance Ltd. | 7,792 | ||||||||
| 580,808 | Indiabulls Housing Finance Ltd. | 1,101,024 | ||||||||
| 706,727 | Indian Oil Corp. Ltd. | 1,378,200 | ||||||||
| 75,607 | Indraprastha Gas Ltd. | 400,312 | ||||||||
| 27,167 | Infosys Ltd. Sponsored ADR (b) | 455,047 | ||||||||
| 755,779 | ITC Ltd. | 3,869,952 | ||||||||
| 47,734 | JM Financial Ltd. * | 45,123 | ||||||||
| 52,008 | Karnataka Bank Ltd. | 133,351 | ||||||||
| 2,214 | Kaveri Seed Co. Ltd. | 22,522 | ||||||||
| 2,441 | KNR Constructions Ltd. | 9,294 | ||||||||
| 2,407 | KRBL Ltd. | 7,707 | ||||||||
| 3,737 | LT Foods Ltd. | 9,248 | ||||||||
| 10,933 | Mahanagar Gas Ltd. | 170,207 | ||||||||
| 127 | Maharashtra Scooters Ltd. | 11,788 | ||||||||
| 488,111 | Manappuram Finance Ltd. | 994,849 | ||||||||
| 1,116 | Motilal Oswal Financial Services Ltd. | 29,745 | ||||||||
| 13,975 | Muthoot Finance Ltd. | 283,362 | ||||||||
| 2,220 | Nippon Life India Asset Management Ltd. | 16,107 | ||||||||
| 939,725 | NMDC Ltd. | 2,935,686 | ||||||||
| 2,142,633 | Oil & Natural Gas Corp. Ltd. | 6,838,835 | ||||||||
| 60,426 | One 97 Communications Ltd. * | 261,152 | ||||||||
| 106,129 | Petronet LNG Ltd. | 378,004 | ||||||||
| 471,993 | Power Finance Corp. Ltd. | 2,797,663 | ||||||||
| 619,988 | Power Grid Corp. of India Ltd. | 2,299,526 | ||||||||
| 31,712 | PTC India Ltd. | 79,963 | ||||||||
| Shares | Description | Value ($) |
||||||||
| India — continued | ||||||||||
| 1,619 | Rashtriya Chemicals & Fertilizers Ltd. | 2,996 | ||||||||
| 237,614 | REC Ltd. | 1,534,460 | ||||||||
| 19,267 | Redington Ltd. | 45,960 | ||||||||
| 658 | Reliance Industries Ltd. | 22,559 | ||||||||
| 14,830 | RITES Ltd. | 124,964 | ||||||||
| 232 | Sanofi India Ltd. | 24,283 | ||||||||
| 4,556 | Shipping Corp. of India Ltd. | 13,461 | ||||||||
| 15,131 | Shriram Finance Ltd. | 433,054 | ||||||||
| 47,300 | Sun TV Network Ltd. | 371,764 | ||||||||
| 9,278 | Tata Consultancy Services Ltd. | 411,866 | ||||||||
| 2,680 | Triveni Engineering & Industries Ltd. | 10,555 | ||||||||
| 1,295 | UTI Asset Management Co. Ltd. | 14,078 | ||||||||
| 32,688 | Vardhman Textiles Ltd. | 176,752 | ||||||||
| 6,500 | West Coast Paper Mills Ltd. | 46,590 | ||||||||
| 325 | Zensar Technologies Ltd. | 2,390 | ||||||||
| 101,697 | Zydus Lifesciences Ltd. | 1,218,569 | ||||||||
|
|
|
|||||||||
| Total India | 42,379,125 | |||||||||
|
|
|
|||||||||
| Indonesia — 0.4% | ||||||||||
| 2,218,600 | AKR Corporindo Tbk. PT | 218,633 | ||||||||
| 1,669,300 | Aneka Tambang Tbk. PT | 150,679 | ||||||||
| 55,500 | Astra International Tbk. PT | 14,680 | ||||||||
| 5,256,400 | Bank Central Asia Tbk. PT | 2,990,746 | ||||||||
| 3,220,584 | Bank Mandiri Persero Tbk. PT | 1,167,995 | ||||||||
| 4,232,400 | Bank Negara Indonesia Persero Tbk. PT | 1,148,457 | ||||||||
| 1,558,900 | Bank Pembangunan Daerah Jawa Timur Tbk. PT | 47,966 | ||||||||
| 6,670,900 | Bank Rakyat Indonesia Persero Tbk. PT | 1,788,063 | ||||||||
| 31,200 | Indah Kiat Pulp & Paper Tbk. PT * | 17,518 | ||||||||
| 9,500 | Indofood CBP Sukses Makmur Tbk. PT | 5,702 | ||||||||
| 835,000 | Indofood Sukses Makmur Tbk. PT | 301,952 | ||||||||
| 3,820,200 | Kalbe Farma Tbk. PT | 349,963 | ||||||||
| 293,700 | Medco Energi Internasional Tbk. PT | 25,386 | ||||||||
| 2,986,600 | Media Nusantara Citra Tbk. PT | 56,621 | ||||||||
| 7,830,800 | Panin Financial Tbk. PT * | 165,909 | ||||||||
| 122,700 | Perusahaan Gas Negara Tbk. PT | 11,943 | ||||||||
| 1,676,700 | Sarana Menara Nusantara Tbk. PT | 71,195 | ||||||||
| 940,600 | Semen Indonesia Persero Tbk. PT | 202,012 | ||||||||
| 91,900 | Unilever Indonesia Tbk. PT | 17,679 | ||||||||
|
|
|
|||||||||
| Total Indonesia | 8,753,099 | |||||||||
|
|
|
|||||||||
| Ireland — 0.2% | ||||||||||
| 36,192 | AIB Group PLC | 205,957 | ||||||||
| 65,796 | Bank of Ireland Group PLC | 756,197 | ||||||||
| 3,044 | Kingspan Group PLC | 293,253 | ||||||||
| 38,104 | Origin Enterprises PLC | 127,432 | ||||||||
| 24,839 | Permanent TSB Group Holdings PLC * | 41,322 | ||||||||
| 28,768 | Ryanair Holdings PLC Sponsored ADR (b) | 3,499,339 | ||||||||
|
|
|
|||||||||
| Total Ireland | 4,923,500 | |||||||||
|
|
|
|||||||||
| Israel — 0.3% | ||||||||||
| 15,848 | Check Point Software Technologies Ltd. * (a) | 2,385,124 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Israel — continued | ||||||||||
| 53,255 | Israel Discount Bank Ltd. – Class A | 273,899 | ||||||||
| 669,745 | Oil Refineries Ltd. | 182,217 | ||||||||
| 311,617 | Teva Pharmaceutical Industries Ltd. Sponsored ADR * | 5,275,676 | ||||||||
| 27,854 | Teva Pharmaceutical Industries Ltd. * | 468,996 | ||||||||
|
|
|
|||||||||
| Total Israel | 8,585,912 | |||||||||
|
|
|
|||||||||
| Italy — 1.8% | ||||||||||
| 62,365 | Anima Holding SpA | 333,295 | ||||||||
| 13,609 | Arnoldo Mondadori Editore SpA | 34,765 | ||||||||
| 42,361 | Assicurazioni Generali SpA (b) | 1,090,312 | ||||||||
| 40,817 | Banca IFIS SpA | 898,838 | ||||||||
| 76,572 | Banco BPM SpA | 552,465 | ||||||||
| 401,099 | BPER Banca SpA (a) | 2,158,605 | ||||||||
| 1,524 | Buzzi SpA | 64,433 | ||||||||
| 51,955 | Credito Emiliano SpA | 543,371 | ||||||||
| 360,486 | Eni SpA | 5,693,650 | ||||||||
| 12,017 | Esprinet SpA * | 64,778 | ||||||||
| 445,863 | Intesa Sanpaolo SpA (a) | 1,756,358 | ||||||||
| 42,936 | Iveco Group NV | 514,841 | ||||||||
| 270,894 | Leonardo SpA* (a) | 6,967,915 | ||||||||
| 32,417 | MFE-MediaForEurope NV – Class A | 111,319 | ||||||||
| 23,898 | MFE-MediaForEurope NV – Class B | 108,782 | ||||||||
| 24,676 | OVS SpA (a) | 73,365 | ||||||||
| 468,435 | Stellantis NV | 10,378,659 | ||||||||
| 11,492,706 | Telecom Italia SpA * (a) | 3,029,537 | ||||||||
| 34,093 | Tenaris SA ADR | 1,124,046 | ||||||||
| 30,774 | Tenaris SA | 508,459 | ||||||||
| 73,237 | UniCredit SpA | 2,915,756 | ||||||||
| 3,074 | Unieuro SpA (a) | 32,234 | ||||||||
| 523,905 | Unipol Gruppo SpA | 5,401,050 | ||||||||
|
|
|
|||||||||
| Total Italy | 44,356,833 | |||||||||
|
|
|
|||||||||
| Japan — 16.9% | ||||||||||
| 21,700 | ADEKA Corp. | 466,492 | ||||||||
| 13,100 | Aichi Corp. | 96,976 | ||||||||
| 100,700 | Amano Corp. | 2,420,840 | ||||||||
| 4,300 | AOKI Holdings, Inc. | 34,746 | ||||||||
| 6,200 | Arata Corp. | 127,099 | ||||||||
| 2,400 | Artience Co. Ltd. | 51,399 | ||||||||
| 10,200 | Asahi Yukizai Corp. | 312,282 | ||||||||
| 18,500 | Axial Retailing, Inc. | 118,146 | ||||||||
| 9,100 | Bando Chemical Industries Ltd. | 105,802 | ||||||||
| 32,500 | Belluna Co. Ltd. | 148,569 | ||||||||
| 19,400 | BML, Inc. | 346,164 | ||||||||
| 65,200 | Bridgestone Corp. | 2,857,811 | ||||||||
| 217,300 | Brother Industries Ltd. | 4,182,266 | ||||||||
| 7,000 | Bunka Shutter Co. Ltd. | 80,932 | ||||||||
| 5,600 | Canon Electronics, Inc. | 81,919 | ||||||||
| 30,200 | Canon Marketing Japan, Inc. | 854,314 | ||||||||
| 51,900 | Canon, Inc. (b) | 1,510,400 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Japan — continued | ||||||||||
| 4,600 | Central Glass Co. Ltd. | 105,072 | ||||||||
| 3,400 | Chiyoda Integre Co. Ltd. | 63,098 | ||||||||
| 287,100 | Chubu Electric Power Co., Inc. (b) | 3,966,508 | ||||||||
| 3,900 | Cosmo Energy Holdings Co. Ltd. | 194,735 | ||||||||
| 379,700 | Credit Saison Co. Ltd. | 8,231,591 | ||||||||
| 22,900 | Dai Nippon Printing Co. Ltd. (b) | 713,257 | ||||||||
| 12,900 | Dai Nippon Toryo Co. Ltd. | 102,386 | ||||||||
| 147,700 | Daicel Corp. | 1,496,356 | ||||||||
| 8,000 | Dai-Dan Co. Ltd. | 166,676 | ||||||||
| 50,900 | Daido Steel Co. Ltd. | 514,307 | ||||||||
| 2,300 | Daihen Corp. | 122,383 | ||||||||
| 10,600 | Daiichi Jitsugyo Co. Ltd. | 159,763 | ||||||||
| 32,900 | Daiki Aluminium Industry Co. Ltd. | 277,634 | ||||||||
| 72,800 | Daiwa House Industry Co. Ltd. | 1,936,964 | ||||||||
| 292,800 | Daiwabo Holdings Co. Ltd. | 5,180,050 | ||||||||
| 277,600 | Denka Co. Ltd. | 3,922,030 | ||||||||
| 21,800 | EDION Corp. | 218,260 | ||||||||
| 1,500 | Elecom Co. Ltd. | 14,800 | ||||||||
| 1,105,300 | ENEOS Holdings, Inc. | 5,714,666 | ||||||||
| 229,600 | EXEO Group, Inc. | 2,355,733 | ||||||||
| 700 | FCC Co. Ltd. | 10,005 | ||||||||
| 41,400 | Ferrotec Holdings Corp. | 707,759 | ||||||||
| 1,800 | FJ Next Holdings Co. Ltd. | 14,148 | ||||||||
| 300,000 | Fuji Corp. | 4,855,439 | ||||||||
| 2,400 | Fuji Electric Co. Ltd. | 143,176 | ||||||||
| 191,500 | FUJIFILM Holdings Corp. (b) | 4,373,047 | ||||||||
| 193,800 | Fujikura Ltd. | 3,999,149 | ||||||||
| 300 | Fukuda Denshi Co. Ltd. | 11,807 | ||||||||
| 2,500 | Fukushima Galilei Co. Ltd. | 96,595 | ||||||||
| 2,000 | FULLCAST Holdings Co. Ltd. | 18,450 | ||||||||
| 2,500 | G-7 Holdings, Inc. | 25,229 | ||||||||
| 10,600 | GLOBERIDE, Inc. | 140,541 | ||||||||
| 13,100 | Glory Ltd. | 228,782 | ||||||||
| 80,100 | GungHo Online Entertainment, Inc. | 1,347,926 | ||||||||
| 336,800 | H.U. Group Holdings, Inc. | 5,381,753 | ||||||||
| 2,100 | Hamakyorex Co. Ltd. | 54,127 | ||||||||
| 7,300 | Hanwa Co. Ltd. | 309,924 | ||||||||
| 130,800 | Haseko Corp. | 1,478,548 | ||||||||
| 48,500 | Hitachi Construction Machinery Co. Ltd. | 1,321,554 | ||||||||
| 1,300 | Hitachi Ltd. (b) | 133,884 | ||||||||
| 134,100 | Hogy Medical Co. Ltd. | 3,370,098 | ||||||||
| 460,200 | Honda Motor Co. Ltd. (b) | 5,211,171 | ||||||||
| 149,570 | Honda Motor Co. Ltd. Sponsored ADR | 5,073,414 | ||||||||
| 24,500 | Horiba Ltd. | 1,936,887 | ||||||||
| 34,400 | Hosiden Corp. | 439,110 | ||||||||
| 155,800 | Idemitsu Kosan Co. Ltd. | 1,066,853 | ||||||||
| 600 | Inaba Denki Sangyo Co. Ltd. | 14,813 | ||||||||
| 50,500 | Inabata & Co. Ltd. | 1,076,566 | ||||||||
| 813,100 | Inpex Corp. | 12,545,936 | ||||||||
| 649,400 | Isuzu Motors Ltd. | 8,703,215 | ||||||||
| 230,800 | ITOCHU Corp. (a) | 10,895,283 | ||||||||
| 44,300 | Itochu Enex Co. Ltd. | 434,848 | ||||||||
| 1,300 | Itochu-Shokuhin Co. Ltd. | 59,188 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Japan — continued | ||||||||||
| 16,300 | Itoham Yonekyu Holdings, Inc. | 430,090 | ||||||||
| 8,200 | Itoki Corp. | 80,392 | ||||||||
| 3,500 | Izumi Co. Ltd. | 75,131 | ||||||||
| 63,800 | JAFCO Group Co. Ltd. | 726,653 | ||||||||
| 2,200 | Japan Lifeline Co. Ltd. | 15,980 | ||||||||
| 22,800 | Japan Petroleum Exploration Co. Ltd. | 959,946 | ||||||||
| 95,800 | Japan Post Insurance Co. Ltd. | 1,846,198 | ||||||||
| 206,900 | Japan Tobacco, Inc. (b) | 5,870,314 | ||||||||
| 90,900 | JFE Holdings, Inc. | 1,376,180 | ||||||||
| 2,600 | Justsystems Corp. (b) | 46,092 | ||||||||
| 36,000 | Kaga Electronics Co. Ltd. | 1,315,309 | ||||||||
| 82,500 | Kajima Corp. | 1,401,751 | ||||||||
| 8,800 | Kamei Corp. | 115,394 | ||||||||
| 87,900 | Kandenko Co. Ltd. | 1,046,194 | ||||||||
| 4,100 | Kaneka Corp. | 110,328 | ||||||||
| 484,900 | Kanematsu Corp. | 8,319,330 | ||||||||
| 47,300 | Kansai Electric Power Co., Inc. (b) | 855,997 | ||||||||
| 49,100 | Kawasaki Kisen Kaisha Ltd. (b) | 729,740 | ||||||||
| 46,900 | KDDI Corp. (b) | 1,292,319 | ||||||||
| 347,900 | Kirin Holdings Co. Ltd. | 4,804,478 | ||||||||
| 15,400 | Kitz Corp. | 110,643 | ||||||||
| 74,500 | Kobe Steel Ltd. | 970,702 | ||||||||
| 11,700 | Kohnan Shoji Co. Ltd. | 312,710 | ||||||||
| 1,900 | Kokuyo Co. Ltd. | 32,697 | ||||||||
| 84,900 | Komatsu Ltd. | 2,495,297 | ||||||||
| 23,745 | Komeri Co. Ltd. | 564,689 | ||||||||
| 1,200 | Krosaki Harima Corp. | 23,732 | ||||||||
| 76,800 | K’s Holdings Corp. | 712,269 | ||||||||
| 91,700 | Kumiai Chemical Industry Co. Ltd. | 449,401 | ||||||||
| 11,400 | Kureha Corp. | 209,077 | ||||||||
| 40,800 | Kyudenko Corp. | 1,661,407 | ||||||||
| 781,100 | Macromill, Inc. | 4,406,644 | ||||||||
| 40,000 | Marubeni Corp. | 783,421 | ||||||||
| 1,000 | Maruha Nichiro Corp. | 20,839 | ||||||||
| 163,400 | Maruichi Steel Tube Ltd. | 3,898,864 | ||||||||
| 9,000 | Maruzen Showa Unyu Co. Ltd. | 297,317 | ||||||||
| 12,200 | Matsuda Sangyo Co. Ltd. | 220,172 | ||||||||
| 277,600 | Maxell Ltd. | 2,954,709 | ||||||||
| 219,200 | Mazda Motor Corp. | 2,310,973 | ||||||||
| 28,500 | MCJ Co. Ltd. | 249,540 | ||||||||
| 12,100 | Medipal Holdings Corp. | 178,212 | ||||||||
| 4,200 | Melco Holdings, Inc. | 93,645 | ||||||||
| 34,000 | Mirait One Corp. | 413,147 | ||||||||
| 58,400 | Mirarth Holdings, Inc. | 178,565 | ||||||||
| 57,000 | Mitsubishi Chemical Group Corp. | 301,882 | ||||||||
| 91,100 | Mitsubishi Corp. (b) | 1,922,792 | ||||||||
| 436,900 | Mitsubishi Electric Corp. | 7,592,160 | ||||||||
| 100,300 | Mitsubishi Gas Chemical Co., Inc. | 1,882,489 | ||||||||
| 5,800 | Mitsubishi Research Institute, Inc. | 173,289 | ||||||||
| 700 | Mitsubishi Shokuhin Co. Ltd. | 23,245 | ||||||||
| 553,100 | Mitsubishi UFJ Financial Group, Inc. | 5,874,845 | ||||||||
| 97,300 | Mitsui & Co. Ltd. (b) | 4,953,951 | ||||||||
| 37,000 | Mitsui Chemicals, Inc. | 1,120,995 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Japan — continued | ||||||||||
| 213,100 | Mitsui OSK Lines Ltd. (b) | 7,024,283 | ||||||||
| 4,000 | Mitsui-Soko Holdings Co. Ltd. | 109,837 | ||||||||
| 5,200 | MIXI, Inc. | 94,784 | ||||||||
| 72,900 | Mizuno Corp. | 3,794,326 | ||||||||
| 5,300 | Modec, Inc. (a) | 90,983 | ||||||||
| 165,100 | Morinaga & Co. Ltd. | 2,640,632 | ||||||||
| 83,000 | Morinaga Milk Industry Co. Ltd. | 1,714,726 | ||||||||
| 121,100 | MS&AD Insurance Group Holdings, Inc. | 2,518,869 | ||||||||
| 2,300 | Nafco Co. Ltd. | 42,463 | ||||||||
| 8,400 | Nagase & Co. Ltd. | 164,636 | ||||||||
| 75,500 | NEC Corp. (b) | 5,620,052 | ||||||||
| 6,600 | NGK Insulators Ltd. | 88,215 | ||||||||
| 153,300 | NH Foods Ltd. | 4,705,620 | ||||||||
| 47,700 | Nichias Corp. | 1,446,439 | ||||||||
| 15,800 | Nichiha Corp. | 356,639 | ||||||||
| 8,400 | Nichireki Co. Ltd. | 129,375 | ||||||||
| 5,200 | Nippn Corp. | 73,736 | ||||||||
| 18,800 | Nippon Shinyaku Co. Ltd. | 368,118 | ||||||||
| 4,300 | Nippon Soda Co. Ltd. | 138,885 | ||||||||
| 164,700 | Nippon Television Holdings, Inc. | 2,221,170 | ||||||||
| 267,900 | Nippon Yusen KK (b) | 8,493,803 | ||||||||
| 37,400 | Nissan Motor Co. Ltd. | 133,765 | ||||||||
| 3,400 | Nisshin Oillio Group Ltd. | 105,708 | ||||||||
| 3,800 | Nissin Corp. | 108,842 | ||||||||
| 51,400 | Niterra Co. Ltd. | 1,549,115 | ||||||||
| 2,000 | Nitta Corp. | 52,254 | ||||||||
| 12,200 | Nittetsu Mining Co. Ltd. | 411,946 | ||||||||
| 1,300 | Nitto Denko Corp. | 99,528 | ||||||||
| 84,600 | Nojima Corp. | 951,902 | ||||||||
| 61,200 | Nomura Real Estate Holdings, Inc. | 1,577,874 | ||||||||
| 8,800 | Noritake Co. Ltd. | 224,859 | ||||||||
| 3,500 | NS United Kaiun Kaisha Ltd. | 110,171 | ||||||||
| 2,200 | Obara Group, Inc. | 59,386 | ||||||||
| 143,200 | Oji Holdings Corp. | 578,726 | ||||||||
| 49,200 | Okamura Corp. | 713,050 | ||||||||
| 9,300 | OKUMA Corp. | 398,208 | ||||||||
| 233,200 | Ono Pharmaceutical Co. Ltd. (a) | 3,376,939 | ||||||||
| 2,600 | Organo Corp. | 146,453 | ||||||||
| 139,500 | ORIX Corp. | 3,042,220 | ||||||||
| 2,300 | Osaka Gas Co. Ltd. (b) | 52,367 | ||||||||
| 50,200 | Otsuka Holdings Co. Ltd. | 2,072,529 | ||||||||
| 339,400 | Pacific Industrial Co. Ltd. | 3,358,651 | ||||||||
| 500 | PAL GROUP Holdings Co. Ltd. | 5,803 | ||||||||
| 2,300 | PALTAC Corp. | 60,365 | ||||||||
| 702,500 | Panasonic Holdings Corp. | 6,205,069 | ||||||||
| 625,800 | Penta-Ocean Construction Co. Ltd. | 2,520,436 | ||||||||
| 9,400 | Pilot Corp. | 262,132 | ||||||||
| 8,000 | Proto Corp. | 69,243 | ||||||||
| 4,500 | Raito Kogyo Co. Ltd. | 57,616 | ||||||||
| 96,500 | Renesas Electronics Corp. | 1,778,168 | ||||||||
| 6,300 | Rengo Co. Ltd. | 42,491 | ||||||||
| 20,000 | Ricoh Co. Ltd. | 179,601 | ||||||||
| 300,000 | Rohm Co. Ltd. | 3,888,445 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Japan — continued | ||||||||||
| 9,800 | S Foods, Inc. | 177,414 | ||||||||
| 6,100 | Sakai Moving Service Co. Ltd. | 92,116 | ||||||||
| 4,000 | Sakata INX Corp. | 48,614 | ||||||||
| 15,200 | San-A Co. Ltd. | 466,298 | ||||||||
| 31,800 | San-Ai Obbli Co. Ltd. | 420,737 | ||||||||
| 5,700 | Sankyo Co. Ltd. | 55,577 | ||||||||
| 117,700 | Sankyu, Inc. | 4,251,324 | ||||||||
| 172,800 | Sanwa Holdings Corp. | 3,216,907 | ||||||||
| 3,300 | Sanyo Denki Co. Ltd. | 152,350 | ||||||||
| 3,100 | SB Technology Corp. | 58,449 | ||||||||
| 1,700 | SCREEN Holdings Co. Ltd. | 162,614 | ||||||||
| 365,200 | Sega Sammy Holdings, Inc. | 5,158,408 | ||||||||
| 53,500 | Seiko Epson Corp. | 864,446 | ||||||||
| 96,200 | Sekisui Chemical Co. Ltd. | 1,380,728 | ||||||||
| 283,900 | Sekisui House Ltd. | 6,392,738 | ||||||||
| 5,000 | Sekisui Jushi Corp. | 76,821 | ||||||||
| 30,400 | Shimamura Co. Ltd. | 1,456,217 | ||||||||
| 7,600 | Shinagawa Refractories Co. Ltd. | 98,044 | ||||||||
| 6,700 | Shin-Etsu Polymer Co. Ltd. | 64,852 | ||||||||
| 142,374 | Shinko Electric Industries Co. Ltd. | 5,102,672 | ||||||||
| 4,100 | Shinnihon Corp. | 39,654 | ||||||||
| 81,000 | Shionogi & Co. Ltd. | 3,649,300 | ||||||||
| 2,000 | Sinanen Holdings Co. Ltd. | 59,239 | ||||||||
| 9,300 | Sinko Industries Ltd. | 228,462 | ||||||||
| 2,100 | Sohgo Security Services Co. Ltd. | 12,681 | ||||||||
| 133,920 | Sojitz Corp. | 3,503,590 | ||||||||
| 280,200 | Stanley Electric Co. Ltd. | 5,154,840 | ||||||||
| 32,000 | Star Micronics Co. Ltd. | 433,303 | ||||||||
| 17,000 | Starts Corp., Inc. | 354,685 | ||||||||
| 205,500 | Subaru Corp. | 4,593,888 | ||||||||
| 358,300 | SUMCO Corp. (a) | 5,386,440 | ||||||||
| 164,000 | Sumitomo Corp. | 4,267,688 | ||||||||
| 7,800 | Sumitomo Densetsu Co. Ltd. | 181,445 | ||||||||
| 218,400 | Sumitomo Forestry Co. Ltd. | 7,561,904 | ||||||||
| 67,600 | Sumitomo Heavy Industries Ltd. | 1,839,283 | ||||||||
| 97,600 | Sumitomo Mitsui Financial Group, Inc. | 6,387,831 | ||||||||
| 208,500 | Sumitomo Mitsui Trust Holdings, Inc. | 4,847,531 | ||||||||
| 466,600 | Sumitomo Pharma Co. Ltd. * | 905,965 | ||||||||
| 19,200 | Sun Frontier Fudousan Co. Ltd. | 238,433 | ||||||||
| 323,700 | T&D Holdings, Inc. | 5,851,962 | ||||||||
| 12,600 | Takeda Pharmaceutical Co. Ltd. | 335,475 | ||||||||
| 6,700 | Tamron Co. Ltd. | 377,768 | ||||||||
| 43,400 | TDK Corp. | 2,179,786 | ||||||||
| 148,700 | THK Co. Ltd. | 2,883,617 | ||||||||
| 578,500 | Tokai Carbon Co. Ltd. (a) | 3,678,651 | ||||||||
| 4,000 | Tokai Rika Co. Ltd. | 56,734 | ||||||||
| 1,100 | Token Corp. | 76,250 | ||||||||
| 679,300 | Tokyo Electric Power Co. Holdings, Inc. * (b) | 4,078,152 | ||||||||
| 245,900 | Tokyo Gas Co. Ltd. (b) | 5,523,258 | ||||||||
| 54,800 | Tokyo Steel Manufacturing Co. Ltd. | 547,088 | ||||||||
| 253,600 | Tosei Corp. | 3,647,228 | ||||||||
| 160,800 | Tosoh Corp. | 2,040,495 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Japan — continued | ||||||||||
| 4,600 | Towa Pharmaceutical Co. Ltd. | 84,642 | ||||||||
| 17,600 | Toyo Tire Corp. | 315,408 | ||||||||
| 10,200 | Toyoda Gosei Co. Ltd. | 198,460 | ||||||||
| 23,900 | Toyota Boshoku Corp. | 349,882 | ||||||||
| 28,700 | Toyota Industries Corp. | 2,706,718 | ||||||||
| 73,600 | Toyota Tsusho Corp. | 4,494,675 | ||||||||
| 2,800 | Transcosmos, Inc. | 60,409 | ||||||||
| 300 | Tsubakimoto Chain Co. | 11,311 | ||||||||
| 21,000 | Tsugami Corp. | 194,445 | ||||||||
| 38,000 | TV Asahi Holdings Corp. | 486,564 | ||||||||
| 5,500 | Unipres Corp. | 52,410 | ||||||||
| 4,100 | Wacoal Holdings Corp. | 101,359 | ||||||||
| 3,000 | Warabeya Nichiyo Holdings Co. Ltd. | 45,135 | ||||||||
| 36,500 | YAMABIKO Corp. | 499,400 | ||||||||
| 123,200 | Yamaha Corp. | 2,803,371 | ||||||||
| 1,101,200 | Yamaha Motor Co. Ltd. (a) | 10,782,649 | ||||||||
| 1,900 | Yamato Kogyo Co. Ltd. | 99,318 | ||||||||
| 61,500 | Yamazen Corp. | 550,355 | ||||||||
| 38,300 | Yellow Hat Ltd. | 508,221 | ||||||||
| 178,700 | Yokogawa Bridge Holdings Corp. | 3,144,726 | ||||||||
| 22,000 | Yokohama Rubber Co. Ltd. | 552,548 | ||||||||
| 14,300 | Yuasa Trading Co. Ltd. | 510,256 | ||||||||
| 79,300 | Zenkoku Hosho Co. Ltd. | 2,841,515 | ||||||||
|
|
|
|||||||||
| Total Japan | 421,588,969 | |||||||||
|
|
|
|||||||||
| Kuwait — 0.0% | ||||||||||
| 6,164 | Humansoft Holding Co. KSC | 51,979 | ||||||||
|
|
|
|||||||||
| Malaysia — 0.1% | ||||||||||
| 84,900 | AMMB Holdings Bhd. | 76,704 | ||||||||
| 983,300 | CIMB Group Holdings Bhd. | 1,431,678 | ||||||||
| 122,200 | IOI Corp. Bhd. | 99,306 | ||||||||
| 172,500 | KPJ Healthcare Bhd. | 69,737 | ||||||||
| 340,100 | Malayan Banking Bhd. | 717,669 | ||||||||
| 132,100 | MISC Bhd. | 234,196 | ||||||||
| 126,600 | Petronas Chemicals Group Bhd. | 180,660 | ||||||||
| 51,800 | PPB Group Bhd. | 162,574 | ||||||||
| 156,600 | Sime Darby Bhd. | 92,582 | ||||||||
|
|
|
|||||||||
| Total Malaysia | 3,065,106 | |||||||||
|
|
|
|||||||||
| Mexico — 0.8% | ||||||||||
| 134,536 | Arca Continental SAB de CV | 1,379,179 | ||||||||
| 100,268 | Banco del Bajio SA | 347,199 | ||||||||
| 6,738 | Bolsa Mexicana de Valores SAB de CV | 12,248 | ||||||||
| 21,564 | Cemex SAB de CV Sponsored ADR* | 162,377 | ||||||||
| 8,291 | Coca-Cola Femsa SAB de CV Sponsored ADR (a) | 776,535 | ||||||||
| 1,136,700 | Credito Real SAB de CV SOFOM ER * (e) | — | ||||||||
| 52,174 | El Puerto de Liverpool SAB de CV – Class C1 | 396,690 | ||||||||
| 326,938 | Fomento Economico Mexicano SAB de CV | 3,745,436 | ||||||||
| 3,375 | Fomento Economico Mexicano SAB de CV Sponsored ADR | 386,842 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Mexico — continued | ||||||||||
| 5,287 | Gentera SAB de CV | 8,167 | ||||||||
| 25,903 | Grupo Aeroportuario del Centro Norte SAB de CV | 265,679 | ||||||||
| 9,043 | Grupo Aeroportuario del Sureste SAB de CV – Class B | 305,255 | ||||||||
| 436,970 | Grupo Financiero Banorte SAB de CV – Class O | 4,150,912 | ||||||||
| 945,516 | Grupo Mexico SAB de CV – Series B | 5,833,650 | ||||||||
| 22,425 | Kimberly-Clark de Mexico SAB de CV – Class A | 47,159 | ||||||||
| 22,123 | Regional SAB de CV | 191,651 | ||||||||
| 19,685 | Unifin Financiera SAB de CV * (e) | — | ||||||||
| 21,900 | Vista Energy SAB de CV ADR * | 1,061,055 | ||||||||
| 225,627 | Wal-Mart de Mexico SAB de CV | 847,772 | ||||||||
|
|
|
|||||||||
| Total Mexico | 19,917,806 | |||||||||
|
|
|
|||||||||
| Netherlands — 2.2% | ||||||||||
| 12,188 | Aalberts NV | 583,171 | ||||||||
| 75,354 | Aegon Ltd. | 488,766 | ||||||||
| 1,617 | Arcadis NV | 106,108 | ||||||||
| 23,691 | ASR Nederland NV | 1,146,606 | ||||||||
| 9,661 | Brunel International NV (a) | 116,009 | ||||||||
| 94,477 | EXOR NV | 10,609,825 | ||||||||
| 16,510 | HEMA Bondco I B.V. (c) | 179 | ||||||||
| 3,916 | IMCD NV (a) | 597,602 | ||||||||
| 498,346 | ING Groep NV | 8,903,128 | ||||||||
| 303,360 | Koninklijke Ahold Delhaize NV (b) | 9,408,109 | ||||||||
| 306,934 | Koninklijke Philips NV * (b) | 8,383,857 | ||||||||
| 129,077 | NN Group NV | 6,022,615 | ||||||||
| 74,478 | Randstad NV (b) | 3,936,297 | ||||||||
| 25,313 | Royal BAM Group NV | 106,403 | ||||||||
| 86,369 | Signify NV (a) | 2,360,026 | ||||||||
| 11,048 | Wolters Kluwer NV (b) | 1,762,038 | ||||||||
|
|
|
|||||||||
| Total Netherlands | 54,530,739 | |||||||||
|
|
|
|||||||||
| New Zealand — 0.0% | ||||||||||
| 199,171 | Meridian Energy Ltd. (b) | 828,665 | ||||||||
|
|
|
|||||||||
| Norway — 0.9% | ||||||||||
| 24,603 | Aker BP ASA | 635,184 | ||||||||
| 52,559 | Austevoll Seafood ASA | 428,899 | ||||||||
| 82,203 | BW LPG Ltd. | 1,706,389 | ||||||||
| 150,701 | DNO ASA | 168,683 | ||||||||
| 281,952 | Elkem ASA * | 589,247 | ||||||||
| 438,502 | Equinor ASA | 12,728,717 | ||||||||
| 58,949 | Europris ASA | 394,640 | ||||||||
| 172,534 | Hafnia Ltd. | 1,516,199 | ||||||||
| 101,148 | Hoegh Autoliners ASA | 1,207,499 | ||||||||
| 56,862 | Odfjell Drilling Ltd. | 313,142 | ||||||||
| 13,427 | Orkla ASA | 107,503 | ||||||||
| 15,675 | Stolt-Nielsen Ltd. | 723,994 | ||||||||
| 106,321 | Wallenius Wilhelmsen ASA | 1,135,800 | ||||||||
|
|
|
|||||||||
| Total Norway | 21,655,896 | |||||||||
|
|
|
|||||||||
| Shares | Description | Value ($) |
||||||||
| Pakistan — 0.0% | ||||||||||
| 91,879 | Attock Refinery Ltd. | 125,576 | ||||||||
| 166,074 | Engro Fertilizers Ltd. | 95,479 | ||||||||
| 91,491 | Fauji Fertilizer Bin Qasim Ltd. | 10,958 | ||||||||
| 96,098 | Fauji Fertilizer Co. Ltd. | 48,976 | ||||||||
| 54,094 | Habib Bank Ltd. | 22,129 | ||||||||
| 63,052 | Hub Power Co. Ltd. | 32,528 | ||||||||
| 5,479 | Lucky Cement Ltd. | 17,680 | ||||||||
| 2,399 | Mari Petroleum Co. Ltd. | 24,018 | ||||||||
| 18,573 | Nishat Mills Ltd. | 4,866 | ||||||||
| 717,559 | Oil & Gas Development Co. Ltd. | 344,417 | ||||||||
| 14,564 | Pakistan Oilfields Ltd. | 25,662 | ||||||||
| 682,474 | Pakistan Petroleum Ltd. | 293,894 | ||||||||
| 155,152 | SUI Northern Gas Pipeline | 36,895 | ||||||||
| 40,522 | United Bank Ltd. | 32,564 | ||||||||
|
|
|
|||||||||
| Total Pakistan | 1,115,642 | |||||||||
|
|
|
|||||||||
| Philippines — 0.0% | ||||||||||
| 43,200 | Aboitiz Equity Ventures, Inc. | 25,874 | ||||||||
| 11,420 | Manila Electric Co. | 71,629 | ||||||||
| 1,759,024 | Megaworld Corp. | 54,134 | ||||||||
|
|
|
|||||||||
| Total Philippines | 151,637 | |||||||||
|
|
|
|||||||||
| Poland — 0.5% | ||||||||||
| 8,055 | Asseco Poland SA | 169,289 | ||||||||
| 45,919 | Bank Polska Kasa Opieki SA | 1,870,288 | ||||||||
| 2,053 | Budimex SA | 390,035 | ||||||||
| 30,663 | Cyfrowy Polsat SA * | 97,553 | ||||||||
| 39 | Grupa Kety SA | 8,568 | ||||||||
| 79,837 | Orange Polska SA | 166,543 | ||||||||
| 396,815 | ORLEN SA | 6,427,805 | ||||||||
| 45,064 | Pepco Group NV * | 278,086 | ||||||||
| 336,858 | PGE Polska Grupa Energetyczna SA * | 581,895 | ||||||||
| 19,781 | Powszechna Kasa Oszczednosci Bank Polski SA | 299,729 | ||||||||
| 112,304 | Powszechny Zaklad Ubezpieczen SA | 1,429,295 | ||||||||
| 4,259 | Santander Bank Polska SA | 549,153 | ||||||||
| 3,764 | XTB SA | 63,727 | ||||||||
|
|
|
|||||||||
| Total Poland | 12,331,966 | |||||||||
|
|
|
|||||||||
| Portugal — 0.2% | ||||||||||
| 200,588 | Galp Energia SGPS SA | 4,218,187 | ||||||||
| 82,864 | Navigator Co. SA * | 362,375 | ||||||||
| 17,079 | REN - Redes Energeticas Nacionais SGPS SA (a) | 42,693 | ||||||||
| 440,451 | Sonae SGPS SA | 454,662 | ||||||||
|
|
|
|||||||||
| Total Portugal | 5,077,917 | |||||||||
|
|
|
|||||||||
| Qatar — 0.0% | ||||||||||
| 170,738 | Industries Qatar QSC | 542,420 | ||||||||
| 124,580 | Ooredoo QPSC | 321,840 | ||||||||
| 4,764 | Qatar Islamic Bank SAQ | 22,594 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Qatar — continued | ||||||||||
| 25,977 | Qatar National Bank QPSC | 96,561 | ||||||||
|
|
|
|||||||||
| Total Qatar | 983,415 | |||||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| 10,221,010 | Alrosa PJSC (e) (f) | 84,492 | ||||||||
| 376,870,000 | Federal Grid Co.-Rosseti PJSC * (e) | 4,239 | ||||||||
| 214,678 | Fix Price Group PLC GDR (e) | 5,110 | ||||||||
| 415,363 | Gazprom Neft PJSC (e) | 30,909 | ||||||||
| 4,924,596 | Gazprom PJSC * (e) | 68,157 | ||||||||
| 1,279,700 | GMK Norilskiy Nickel PAO (e) | 19,943 | ||||||||
| 18,204,300 | Inter RAO UES PJSC * (e) | 8,209 | ||||||||
| 88,304 | LSR Group PJSC (e) | 7,611 | ||||||||
| 4 | LSR Group PJSC GDR (e) | — | ||||||||
| 192,855 | LUKOIL PJSC (e) | 156,737 | ||||||||
| 5,760,219 | Magnitogorsk Iron & Steel Works PJSC * (e) (f) | 35,055 | ||||||||
| 71,800 | Mechel PJSC * (e) (f) | 1,711 | ||||||||
| 8 | MMC Norilsk Nickel PJSC ADR * (e) | — | ||||||||
| 23,942 | Mobile TeleSystems PJSC (e) | 749 | ||||||||
| 1,472,470 | Moscow Exchange MICEX-Rates PJSC (e) | 38,971 | ||||||||
| 7,545,000 | Mosenergo PJSC (e) | 2,526 | ||||||||
| 191,960 | Novatek PJSC (e) | 22,974 | ||||||||
| 3,493,400 | Novolipetsk Steel PJSC (e) | 74,631 | ||||||||
| 6,115 | PhosAgro PJSC (e) | 4,016 | ||||||||
| 118 | PhosAgro PJSC GDR (e) (f) | 26 | ||||||||
| 25,552 | Polyus PJSC * (e) (f) | 34,507 | ||||||||
| 1 | Polyus PJSC GDR (Registered) (e) (f) | 1 | ||||||||
| 49,974,140 | RusHydro PJSC (e) | 3,489 | ||||||||
| 8,073,970 | Sberbank of Russia PJSC * (e) (f) | 279,020 | ||||||||
| 7,395 | Severstal PAO * (e) (f) | 1,454 | ||||||||
| 261,549 | Severstal PAO GDR (Registered) * (e) (f) | 51,445 | ||||||||
| 29,090 | SFI PJSC (e) | 4,150 | ||||||||
| 27,770,670 | Surgutneftegas PJSC (e) | 87,742 | ||||||||
| 986,916 | Tatneft PJSC (e) | 75,199 | ||||||||
| 725,480 | Unipro PJSC * (e) | 153 | ||||||||
| 55,470 | United Co. Rusal International PJSC * (e) | 262 | ||||||||
| 752,312,000 | VTB Bank PJSC * (e) (f) | 1,647 | ||||||||
|
|
|
|||||||||
| Total Russia | 1,105,135 | |||||||||
|
|
|
|||||||||
| Saudi Arabia — 0.0% | ||||||||||
| 6,155 | Almarai Co. JSC | 85,846 | ||||||||
| 11,367 | Saudi Arabian Oil Co. | 87,876 | ||||||||
| 39,870 | Saudi National Bank | 362,075 | ||||||||
|
|
|
|||||||||
| Total Saudi Arabia | 535,797 | |||||||||
|
|
|
|||||||||
| Singapore — 0.6% | ||||||||||
| 72,800 | Asian Pay Television Trust | 4,362 | ||||||||
| 92,400 | Bumitama Agri Ltd. | 47,893 | ||||||||
| 885,400 | ComfortDelGro Corp. Ltd. | 912,801 | ||||||||
| 33,106 | DBS Group Holdings Ltd. | 882,798 | ||||||||
| 122,400 | First Real Estate Investment Trust – (REIT) | 21,713 | ||||||||
| 314,900 | First Resources Ltd. | 328,755 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Singapore — continued | ||||||||||
| 1,798,600 | Golden Agri-Resources Ltd. | 352,933 | ||||||||
| 116,300 | Japfa Ltd. * | 27,124 | ||||||||
| 159,900 | Keppel Ltd. | 797,235 | ||||||||
| 371,000 | Oversea-Chinese Banking Corp. Ltd. | 3,992,735 | ||||||||
| 55,900 | Sheng Siong Group Ltd. | 61,696 | ||||||||
| 37,800 | Silverlake Axis Ltd. | 8,265 | ||||||||
| 230,000 | StarHub Ltd. | 217,860 | ||||||||
| 77,000 | United Overseas Bank Ltd. | 1,755,758 | ||||||||
| 40,600 | UOL Group Ltd. | 162,522 | ||||||||
| 13,000 | Venture Corp. Ltd. | 135,270 | ||||||||
| 315,300 | Yangzijiang Financial Holding Ltd. | 75,946 | ||||||||
| 2,726,477 | Yangzijiang Shipbuilding Holdings Ltd. | 4,613,194 | ||||||||
| 401,900 | Yanlord Land Group Ltd. * | 137,023 | ||||||||
|
|
|
|||||||||
| Total Singapore | 14,535,883 | |||||||||
|
|
|
|||||||||
| South Africa — 0.6% | ||||||||||
| 35,612 | Absa Group Ltd. | 283,835 | ||||||||
| 1,755 | AECI Ltd. | 8,998 | ||||||||
| 39,227 | African Rainbow Minerals Ltd. | 474,923 | ||||||||
| 60,916 | Anglo American Platinum Ltd. | 1,998,318 | ||||||||
| 53,851 | AVI Ltd. | 244,039 | ||||||||
| 22,785 | Barloworld Ltd. | 109,066 | ||||||||
| 126,999 | Bidvest Group Ltd. | 1,660,420 | ||||||||
| 53,682 | Clicks Group Ltd. | 842,581 | ||||||||
| 14,418 | Coronation Fund Managers Ltd. | 26,731 | ||||||||
| 814,002 | FirstRand Ltd. | 2,824,043 | ||||||||
| 50,968 | Foschini Group Ltd. | 257,894 | ||||||||
| 334,610 | Impala Platinum Holdings Ltd. | 1,723,693 | ||||||||
| 26,359 | Investec Ltd. | 172,337 | ||||||||
| 18,389 | Kumba Iron Ore Ltd. | 482,080 | ||||||||
| 15,683 | Motus Holdings Ltd. | 72,033 | ||||||||
| 96,340 | Mr Price Group Ltd. | 912,420 | ||||||||
| 34,400 | Nedbank Group Ltd. | 417,592 | ||||||||
| 80,932 | Ninety One Ltd. | 170,740 | ||||||||
| 13,945 | Omnia Holdings Ltd. | 41,715 | ||||||||
| 87,512 | Sanlam Ltd. | 330,201 | ||||||||
| 2,007 | Santam Ltd. | 31,996 | ||||||||
| 174,610 | Sappi Ltd. | 501,989 | ||||||||
| 35,265 | Shoprite Holdings Ltd. | 468,872 | ||||||||
| 561,130 | Sibanye Stillwater Ltd. | 708,229 | ||||||||
| 24,128 | Tiger Brands Ltd. | 249,876 | ||||||||
| 175,351 | Truworths International Ltd. | 712,683 | ||||||||
| 50,593 | Woolworths Holdings Ltd. | 146,214 | ||||||||
|
|
|
|||||||||
| Total South Africa | 15,873,518 | |||||||||
|
|
|
|||||||||
| South Korea — 1.8% | ||||||||||
| 46,363 | BNK Financial Group, Inc. | 283,972 | ||||||||
| 9,430 | Cheil Worldwide, Inc. | 127,505 | ||||||||
| 12,855 | Coway Co. Ltd. | 526,440 | ||||||||
| 24,011 | Daewon Cable Co. Ltd. * | 62,283 | ||||||||
| 8,489 | Daou Data Corp. | 70,935 | ||||||||
| 1,741 | DB Insurance Co. Ltd. | 130,483 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| South Korea — continued | ||||||||||
| 105,163 | Dongwon Development Co. Ltd. | 210,077 | ||||||||
| 40 | F&F Co. Ltd. | 1,941 | ||||||||
| 4,902 | Global Standard Technology Co. Ltd. | 159,372 | ||||||||
| 40,998 | GS Holdings Corp. | 1,294,368 | ||||||||
| 31,388 | Hana Financial Group, Inc. | 1,401,650 | ||||||||
| 5,890 | Handsome Co. Ltd. | 76,366 | ||||||||
| 18,730 | Hankook Tire & Technology Co. Ltd. | 593,494 | ||||||||
| 55,909 | Hanon Systems | 202,307 | ||||||||
| 8,417 | HDC Hyundai Development Co-Engineering & Construction | 106,818 | ||||||||
| 7,809 | Hyundai Engineering & Construction Co. Ltd. | 187,382 | ||||||||
| 7,530 | Hyundai Glovis Co. Ltd. | 980,067 | ||||||||
| 1,750 | Hyundai Home Shopping Network Corp. | 66,318 | ||||||||
| 22,228 | Hyundai Mobis Co. Ltd. | 3,465,676 | ||||||||
| 15,428 | Hyundai Motor Co. | 2,831,097 | ||||||||
| 832 | INTOPS Co. Ltd. | 14,170 | ||||||||
| 36,262 | JB Financial Group Co. Ltd. | 382,643 | ||||||||
| 7,372 | Kakaopay Corp. * | 165,059 | ||||||||
| 15,892 | Kangwon Land, Inc. | 171,138 | ||||||||
| 15,874 | KB Financial Group, Inc. | 912,601 | ||||||||
| 9,716 | KB Financial Group, Inc. ADR | 559,059 | ||||||||
| 537 | KCC Glass Corp. | 15,685 | ||||||||
| 103,417 | Kia Corp. | 8,827,286 | ||||||||
| 23,989 | KT Corp. Sponsored ADR | 324,331 | ||||||||
| 57,982 | KT&G Corp. | 3,499,893 | ||||||||
| 26,719 | LG Corp. | 1,572,136 | ||||||||
| 80,784 | LG Electronics, Inc. | 6,144,739 | ||||||||
| 20,864 | LG Uplus Corp. | 145,706 | ||||||||
| 10,767 | LOTTE Fine Chemical Co. Ltd. | 374,484 | ||||||||
| 23,587 | Mirae Asset Securities Co. Ltd. | 123,296 | ||||||||
| 2,751 | NAVER Corp. | 340,571 | ||||||||
| 1,114 | NH Investment & Securities Co. Ltd. | 9,894 | ||||||||
| 2,722 | Orion Corp. | 180,092 | ||||||||
| 52,726 | POSCO Holdings, Inc. Sponsored ADR | 3,554,260 | ||||||||
| 618 | S-1 Corp. | 28,376 | ||||||||
| 8,214 | Samsung E&A Co. Ltd. * | 139,120 | ||||||||
| 12,323 | Samsung Electronics Co. Ltd. | 652,907 | ||||||||
| 246 | Samsung Electronics Co. Ltd. GDR (b) | 333,318 | ||||||||
| 11,720 | Samsung Securities Co. Ltd. | 306,772 | ||||||||
| 24,204 | Shinhan Financial Group Co. Ltd. | 830,357 | ||||||||
| 16,200 | SK Networks Co. Ltd. | 59,311 | ||||||||
| 10,473 | SK Telecom Co. Ltd. Sponsored ADR | 216,582 | ||||||||
| 250 | SNT Motiv Co. Ltd. | 8,282 | ||||||||
| 3,420 | TKG Huchems Co. Ltd. | 48,986 | ||||||||
| 121,702 | Woori Financial Group, Inc. | 1,248,336 | ||||||||
| 9,838 | Youngone Corp. | 241,626 | ||||||||
|
|
|
|||||||||
| Total South Korea | 44,209,567 | |||||||||
|
|
|
|||||||||
| Spain — 2.1% | ||||||||||
| 184,059 | Acerinox SA | 2,016,163 | ||||||||
| 47,882 | Amadeus IT Group SA (b) | 3,417,933 | ||||||||
| 5,951 | Applus Services SA | 82,133 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Spain — continued | ||||||||||
| 53,381 | Atresmedia Corp. de Medios de Comunicacion SA | 307,540 | ||||||||
| 1,187,496 | Banco Bilbao Vizcaya Argentaria SA | 12,885,940 | ||||||||
| 4,213,204 | Banco de Sabadell SA | 8,899,512 | ||||||||
| 1,947,928 | Banco Santander SA | 10,272,878 | ||||||||
| 62,863 | CaixaBank SA | 360,021 | ||||||||
| 1,514 | Faes Farma SA | 6,272 | ||||||||
| 8,882 | Iberdrola SA (b) | 117,231 | ||||||||
| 129,835 | Industria de Diseno Textil SA (b) | 6,173,856 | ||||||||
| 239,459 | Mapfre SA (a) | 576,613 | ||||||||
| 47,480 | Prosegur Compania de Seguridad SA | 91,376 | ||||||||
| 391,616 | Repsol SA | 6,393,010 | ||||||||
| 60,851 | Solaria Energia y Medio Ambiente SA * (a) | 783,579 | ||||||||
|
|
|
|||||||||
| Total Spain | 52,384,057 | |||||||||
|
|
|
|||||||||
| Sweden — 0.8% | ||||||||||
| 18,744 | AcadeMedia AB (b) | 100,661 | ||||||||
| 21,713 | Betsson AB * (d) | 7,742 | ||||||||
| 21,713 | Betsson AB (b) (d) | 249,002 | ||||||||
| 66,016 | Boliden AB | 2,314,072 | ||||||||
| 20,151 | Fabege AB (a) | 172,313 | ||||||||
| 459,737 | Fastighets AB Balder – B Shares * | 3,112,755 | ||||||||
| 2,625 | Investor AB – A Shares (b) | 70,711 | ||||||||
| 227,755 | Investor AB – B Shares (b) | 6,180,214 | ||||||||
| 21,700 | Peab AB – Class B (a) | 141,811 | ||||||||
| 34,455 | Securitas AB – B Shares | 354,586 | ||||||||
| 71,177 | Skanska AB – B Shares | 1,257,195 | ||||||||
| 286,905 | Telefonaktiebolaget LM Ericsson – B Shares | 1,767,782 | ||||||||
| 19,160 | Volvo AB – A Shares | 520,703 | ||||||||
| 122,110 | Volvo AB – B Shares | 3,286,577 | ||||||||
| 90,707 | Volvo Car AB – Class B * | 305,483 | ||||||||
|
|
|
|||||||||
| Total Sweden | 19,841,607 | |||||||||
|
|
|
|||||||||
| Switzerland — 1.4% | ||||||||||
| 173,083 | Adecco Group AG (Registered) | 6,568,640 | ||||||||
| 3,969 | Holcim AG | 348,676 | ||||||||
| 19,808 | Logitech International SA (Registered) (d) | 1,982,570 | ||||||||
| 1,692 | Logitech International SA (Registered) (d) | 169,217 | ||||||||
| 4,895 | Mobilezone Holding AG (Registered) | 78,036 | ||||||||
| 38,953 | Novartis AG Sponsored ADR (a) | 4,017,223 | ||||||||
| 35,609 | Novartis AG (Registered) | 3,685,458 | ||||||||
| 1,976 | Roche Holding AG | 553,017 | ||||||||
| 57,635 | Roche Holding AG – Genusschein | 14,715,182 | ||||||||
| 15,780 | Sandoz Group AG ADR | 560,032 | ||||||||
| 1,047 | Sandoz Group AG | 37,037 | ||||||||
| 891 | Swatch Group AG | 190,860 | ||||||||
| 2,008 | Swisscom AG (Registered) (b) | 1,113,957 | ||||||||
| 1,698 | u-blox Holding AG | 180,658 | ||||||||
| 3,730 | UBS Group AG (Registered) (b) | 118,912 | ||||||||
|
|
|
|||||||||
| Total Switzerland | 34,319,475 | |||||||||
|
|
|
|||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Taiwan — 2.6% | ||||||||||
| 6,000 | Acter Group Corp. Ltd. | 43,420 | ||||||||
| 1,898 | Advantech Co. Ltd. | 20,780 | ||||||||
| 5,000 | Arcadyan Technology Corp. | 25,843 | ||||||||
| 291,768 | ASE Technology Holding Co. Ltd. ADR | 3,145,259 | ||||||||
| 16,000 | Asia Cement Corp. | 20,538 | ||||||||
| 59,799 | Asustek Computer, Inc. | 952,021 | ||||||||
| 3,000 | Bizlink Holding, Inc. | 25,762 | ||||||||
| 468,000 | Catcher Technology Co. Ltd. | 3,251,688 | ||||||||
| 76,490 | Chicony Electronics Co. Ltd. | 442,441 | ||||||||
| 5,000 | Chicony Power Technology Co. Ltd. * | 23,984 | ||||||||
| 159,000 | Chipbond Technology Corp. | 334,621 | ||||||||
| 747,000 | Compal Electronics, Inc. | 857,812 | ||||||||
| 71,080 | Coretronic Corp. | 243,312 | ||||||||
| 23,000 | Dynapack International Technology Corp. | 67,208 | ||||||||
| 101,000 | Elitegroup Computer Systems Co. Ltd. * | 107,329 | ||||||||
| 18,000 | Evergreen International Storage & Transport Corp. | 18,658 | ||||||||
| 848,000 | Evergreen Marine Corp. Taiwan Ltd. | 5,516,520 | ||||||||
| 24,000 | Everlight Electronics Co. Ltd. | 53,526 | ||||||||
| 132,000 | Farglory Land Development Co. Ltd. | 361,241 | ||||||||
| 61,709 | FLEXium Interconnect, Inc. | 166,702 | ||||||||
| 20,000 | Formosa Advanced Technologies Co. Ltd. | 23,872 | ||||||||
| 194,000 | Foxconn Technology Co. Ltd. | 439,739 | ||||||||
| 5,000 | Fusheng Precision Co. Ltd. | 44,936 | ||||||||
| 35,000 | Giant Manufacturing Co. Ltd. | 235,374 | ||||||||
| 22,000 | Global Brands Manufacture Ltd. | 50,629 | ||||||||
| 3,000 | Global Mixed Mode Technology, Inc. | 28,347 | ||||||||
| 3,000 | Greatek Electronics, Inc. | 5,859 | ||||||||
| 22,000 | Hannstar Board Corp. | 40,325 | ||||||||
| 1,551,406 | Hon Hai Precision Industry Co. Ltd. | 8,262,006 | ||||||||
| 80,000 | Huaku Development Co. Ltd. * | 390,561 | ||||||||
| 11,279 | Innodisk Corp. | 115,185 | ||||||||
| 84,000 | King’s Town Bank Co. Ltd. | 155,812 | ||||||||
| 76,000 | Kung Long Batteries Industrial Co. Ltd. | 346,518 | ||||||||
| 13,000 | Largan Precision Co. Ltd. | 918,148 | ||||||||
| 145,000 | MediaTek, Inc. | 5,552,641 | ||||||||
| 265,000 | Micro-Star International Co. Ltd. | 1,574,144 | ||||||||
| 70,000 | Nan Ya Printed Circuit Board Corp. | 422,455 | ||||||||
| 153,502 | Nantex Industry Co. Ltd. | 165,146 | ||||||||
| 5,000 | Nien Made Enterprise Co. Ltd. | 54,266 | ||||||||
| 162,000 | Novatek Microelectronics Corp. | 2,986,539 | ||||||||
| 18,000 | Parade Technologies Ltd. | 427,301 | ||||||||
| 5,000 | Pixart Imaging, Inc. | 25,339 | ||||||||
| 332,566 | Pou Chen Corp. | 385,640 | ||||||||
| 520,000 | Powerchip Semiconductor Manufacturing Corp. * | 399,704 | ||||||||
| 130,000 | Primax Electronics Ltd. | 406,607 | ||||||||
| 280,263 | Radiant Opto-Electronics Corp. | 1,709,470 | ||||||||
| 3,000 | Raydium Semiconductor Corp. | 38,390 | ||||||||
| 20,000 | Realtek Semiconductor Corp. | 337,677 | ||||||||
| 55,000 | Ruentex Industries Ltd. | 116,173 | ||||||||
| 53,280 | Shin Zu Shing Co. Ltd. | 326,611 | ||||||||
| Shares | Description | Value ($) |
||||||||
| Taiwan — continued | ||||||||||
| 66,000 | Shinkong Insurance Co. Ltd. | 193,797 | ||||||||
| 3,000 | Sigurd Microelectronics Corp. | 7,327 | ||||||||
| 42,000 | Simplo Technology Co. Ltd. | 535,476 | ||||||||
| 5,000 | Sinon Corp. | 6,382 | ||||||||
| 6,300 | Sporton International, Inc. | 47,566 | ||||||||
| 62,000 | T3EX Global Holdings Corp. | 213,424 | ||||||||
| 35,000 | TaiDoc Technology Corp. | 176,343 | ||||||||
| 17,000 | Taiwan Fertilizer Co. Ltd. | 33,528 | ||||||||
| 7,000 | Taiwan Hon Chuan Enterprise Co. Ltd. | 35,259 | ||||||||
| 177,000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 4,532,604 | ||||||||
| 77,376 | Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR | 11,686,871 | ||||||||
| 66,000 | Taiwan Surface Mounting Technology Corp. | 232,433 | ||||||||
| 8,000 | Test Research, Inc. | 42,693 | ||||||||
| 4,000 | Topkey Corp. | 25,061 | ||||||||
| 121,000 | Transcend Information, Inc. | 440,325 | ||||||||
| 77,000 | Tripod Technology Corp. | 507,179 | ||||||||
| 12,000 | Tung Ho Steel Enterprise Corp. | 25,602 | ||||||||
| 17,000 | TXC Corp. | 59,483 | ||||||||
| 54,000 | Wisdom Marine Lines Co. Ltd. * | 129,555 | ||||||||
| 1,343,000 | Yang Ming Marine Transport Corp. | 2,968,021 | ||||||||
| 653,365 | Yuanta Financial Holding Co. Ltd. | 640,277 | ||||||||
|
|
|
|||||||||
| Total Taiwan | 64,203,285 | |||||||||
|
|
|
|||||||||
| Thailand — 0.6% | ||||||||||
| 2,245,800 | AP Thailand PCL NVDR | 562,853 | ||||||||
| 342,000 | Bangkok Bank PCL NVDR | 1,270,213 | ||||||||
| 1,683,700 | BTS Group Holdings PCL NVDR | 219,673 | ||||||||
| 132,700 | GFPT PCL NVDR | 48,490 | ||||||||
| 773,400 | Kasikornbank PCL NVDR | 2,758,224 | ||||||||
| 9,458,300 | Krung Thai Bank PCL NVDR | 4,427,412 | ||||||||
| 2,258,800 | Land & Houses PCL NVDR | 405,221 | ||||||||
| 269,800 | Muangthai Capital PCL NVDR | 326,341 | ||||||||
| 293,080 | Pruksa Holding PCL NVDR | 79,795 | ||||||||
| 82,808 | Pruksa Holding PCL (Foreign Registered) | 22,546 | ||||||||
| 521,700 | PTT Exploration & Production PCL NVDR | 2,193,746 | ||||||||
| 1,074,900 | PTT PCL NVDR | 958,893 | ||||||||
| 3,263,000 | Sansiri PCL NVDR | 141,412 | ||||||||
| 294,300 | SCB X PCL NVDR | 849,793 | ||||||||
| 18,900 | Siam Cement PCL NVDR | 121,446 | ||||||||
| 122,000 | Somboon Advance Technology PCL NVDR | 49,131 | ||||||||
| 461,200 | Sri Trang Agro-Industry PCL NVDR | 296,473 | ||||||||
| 364,200 | Supalai PCL NVDR | 183,386 | ||||||||
| 196,800 | Thai Oil PCL NVDR | 277,852 | ||||||||
|
|
|
|||||||||
| Total Thailand | 15,192,900 | |||||||||
|
|
|
|||||||||
| Turkey — 0.5% | ||||||||||
| 1,660,765 | Akbank TAS | 3,404,369 | ||||||||
| 871,325 | Aselsan Elektronik Sanayi Ve Ticaret AS | 1,584,966 | ||||||||
| 47,934 | Dogus Otomotiv Servis ve Ticaret AS | 450,544 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| Turkey — continued | ||||||||||
| 231,613 | KOC Holding AS | 1,711,549 | ||||||||
| 94,861 | Mavi Giyim Sanayi Ve Ticaret AS – Class B | 281,155 | ||||||||
| 46,899 | Turk Hava Yollari AO * | 441,039 | ||||||||
| 124,072 | Vestel Beyaz Esya Sanayi ve Ticaret AS | 91,821 | ||||||||
| 3,615,720 | Yapi ve Kredi Bankasi AS | 3,628,408 | ||||||||
|
|
|
|||||||||
| Total Turkey | 11,593,851 | |||||||||
|
|
|
|||||||||
| Ukraine — 0.0% | ||||||||||
| 36,516 | Kernel Holding SA * | 103,403 | ||||||||
|
|
|
|||||||||
| United Arab Emirates — 0.1% | ||||||||||
| 264,047 | Emirates NBD Bank PJSC | 1,118,534 | ||||||||
|
|
|
|||||||||
| United Kingdom — 5.1% | ||||||||||
| 383,453 | 3i Group PLC | 14,129,070 | ||||||||
| 74,644 | abrdn PLC (a) | 148,529 | ||||||||
| 49,226 | BAE Systems PLC | 876,519 | ||||||||
| 16,420 | Bank of Georgia Group PLC | 780,571 | ||||||||
| 547,857 | Barratt Developments PLC | 3,552,553 | ||||||||
| 44,702 | Bellway PLC | 1,539,243 | ||||||||
| 81,632 | Berkeley Group Holdings PLC | 5,508,568 | ||||||||
| 541,408 | BP PLC | 3,386,769 | ||||||||
| 17,159 | British American Tobacco PLC (b) | 530,639 | ||||||||
| 6,133,954 | BT Group PLC (a) | 10,269,682 | ||||||||
| 117,339 | Centamin PLC | 179,487 | ||||||||
| 98,844 | Coca-Cola HBC AG | 3,354,300 | ||||||||
| 139,113 | Compass Group PLC (b) | 3,905,765 | ||||||||
| 4,401 | CRH PLC | 359,826 | ||||||||
| 1,180,664 | DS Smith PLC | 5,790,494 | ||||||||
| 30,601 | Evraz PLC * (e) | 798 | ||||||||
| 338,518 | Ferrexpo PLC * | 180,413 | ||||||||
| 831,700 | Glencore PLC | 5,126,345 | ||||||||
| 31,833 | GSK PLC | 714,269 | ||||||||
| 150,958 | GSK PLC Sponsored ADR (a) | 6,758,390 | ||||||||
| 12,278 | Halfords Group PLC | 24,222 | ||||||||
| 220,227 | Harbour Energy PLC | 937,011 | ||||||||
| 63,256 | Howden Joinery Group PLC | 737,743 | ||||||||
| 711,976 | HSBC Holdings PLC | 6,345,757 | ||||||||
| 15,460 | HSBC Holdings PLC Sponsored ADR (a) (b) | 690,289 | ||||||||
| 87,038 | IG Group Holdings PLC | 900,397 | ||||||||
| 45,296 | Imperial Brands PLC | 1,125,566 | ||||||||
| 27,836 | International Personal Finance PLC | 39,963 | ||||||||
| 30,824 | Investec PLC | 206,259 | ||||||||
| 969,341 | ITV PLC | 987,325 | ||||||||
| 340,588 | J Sainsbury PLC | 1,207,535 | ||||||||
| 11,440 | Keller Group PLC | 189,569 | ||||||||
| 1,128,159 | Kingfisher PLC | 3,819,281 | ||||||||
| 68,000 | Lifezone Holdings Ltd. * | 613,360 | ||||||||
| 4,225,017 | Lloyds Banking Group PLC | 3,016,073 | ||||||||
| 192,029 | MONY Group PLC | 555,962 | ||||||||
| 23,013 | Morgan Sindall Group PLC | 743,920 | ||||||||
| 446,298 | NatWest Group PLC | 1,805,408 | ||||||||
| 171,640 | OSB Group PLC | 1,020,723 | ||||||||
| 45,981 | Paragon Banking Group PLC | 449,110 | ||||||||
| Shares | Description | Value ($) |
||||||||
| United Kingdom — continued | ||||||||||
| 93,601 | Persimmon PLC | 1,748,677 | ||||||||
| 57,857 | Plus500 Ltd. | 1,648,003 | ||||||||
| 14,028 | Premier Foods PLC | 30,901 | ||||||||
| 48,441 | Reach PLC | 49,962 | ||||||||
| 161,001 | Redrow PLC | 1,470,195 | ||||||||
| 7,034 | RELX PLC (b) | 308,581 | ||||||||
| 4,977 | RELX PLC Sponsored ADR (b) | 218,789 | ||||||||
| 29,334 | Rio Tinto PLC Sponsored ADR (b) | 2,056,313 | ||||||||
| 21,253 | Rio Tinto PLC (b) | 1,496,156 | ||||||||
| 3,674 | Sage Group PLC (b) | 48,260 | ||||||||
| 185,667 | Shell PLC | 6,701,604 | ||||||||
| 6,552 | Shell PLC ADR (b) | 476,855 | ||||||||
| 44,692 | Standard Chartered PLC | 445,159 | ||||||||
| 1,327,114 | Taylor Wimpey PLC | 2,512,506 | ||||||||
| 10,766 | TBC Bank Group PLC | 350,528 | ||||||||
| 114,495 | Tesco PLC (b) | 455,449 | ||||||||
| 85,859 | Unilever PLC Sponsored ADR (b) | 4,700,780 | ||||||||
| 57,671 | Vesuvius PLC | 360,451 | ||||||||
| 1,926,216 | Vodafone Group PLC (b) | 1,862,264 | ||||||||
| 631,358 | Vodafone Group PLC Sponsored ADR (b) | 6,073,664 | ||||||||
| 129,085 | Zigup PLC | 721,165 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 126,243,965 | |||||||||
|
|
|
|||||||||
| United States — 24.2% | ||||||||||
| 47,549 | 3M Co. (a) | 4,761,557 | ||||||||
| 6,718 | Academy Sports & Outdoors, Inc. (a) | 387,561 | ||||||||
| 3,210 | Adtalem Global Education, Inc. * (a) | 206,692 | ||||||||
| 3,300 | Advanced Drainage Systems, Inc. | 572,517 | ||||||||
| 38,098 | Aemetis, Inc. * (a) | 131,438 | ||||||||
| 3,124 | Affiliated Managers Group, Inc. | 507,962 | ||||||||
| 11,559 | Aflac, Inc. (a) | 1,038,808 | ||||||||
| 13,146 | AGCO Corp. (a) | 1,410,960 | ||||||||
| 27,924 | Akamai Technologies, Inc. * (a) | 2,575,710 | ||||||||
| 544,561 | Albertsons Cos., Inc. – Class A | 11,239,739 | ||||||||
| 5,011 | Allison Transmission Holdings, Inc. (a) | 379,884 | ||||||||
| 129,864 | Ally Financial, Inc. (a) | 5,060,800 | ||||||||
| 73,690 | Alphabet, Inc. – Class A * (b) | 12,711,525 | ||||||||
| 20,271 | Alphabet, Inc. – Class C * (b) | 3,526,343 | ||||||||
| 17,829 | Amazon.com, Inc. * (b) | 3,145,749 | ||||||||
| 81,993 | Ameresco, Inc. – Class A * (a) | 2,994,384 | ||||||||
| 27,093 | American Express Co. (b) | 6,502,320 | ||||||||
| 19,272 | ANSYS, Inc. * (b) | 6,117,896 | ||||||||
| 61,215 | Apartment Income REIT Corp. – (REIT) (a) (b) | 2,372,081 | ||||||||
| 239,598 | Arcadium Lithium PLC * (a) | 1,061,419 | ||||||||
| 21,401 | Arch Capital Group Ltd. * (a) (b) | 2,196,385 | ||||||||
| 32,114 | Archer-Daniels-Midland Co. (a) (b) | 2,005,198 | ||||||||
| 89,200 | Array Technologies, Inc. * (a) | 1,264,856 | ||||||||
| 7,184 | Arrow Electronics, Inc. * (a) | 943,331 | ||||||||
| 4,837 | Aspen Technology, Inc. * (a) | 1,018,914 | ||||||||
| 10,069 | AT&T, Inc. (b) | 183,457 | ||||||||
| 1,712 | Atkore, Inc. (a) | 260,481 | ||||||||
| 3,406 | AutoNation, Inc. * (a) | 579,872 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| 4,557 | Avnet, Inc. | 248,812 | ||||||||
| 154,226 | Bank of America Corp. (b) | 6,167,498 | ||||||||
| 28,418 | Bank of New York Mellon Corp. (b) | 1,693,997 | ||||||||
| 13,600 | Berry Corp. | 94,792 | ||||||||
| 2,192 | Berry Global Group, Inc. (a) | 131,257 | ||||||||
| 19,256 | Best Buy Co., Inc. (a) | 1,633,294 | ||||||||
| 13,205 | Bio-Rad Laboratories, Inc. – Class A * (a) | 3,787,986 | ||||||||
| 1,087 | Booking Holdings, Inc. (b) | 4,104,892 | ||||||||
| 202,616 | BorgWarner, Inc. (a) | 7,225,287 | ||||||||
| 49,173 | Bristol-Myers Squibb Co. | 2,020,519 | ||||||||
| 2,929 | Brunswick Corp. (a) | 241,730 | ||||||||
| 23,393 | Builders FirstSource, Inc. * (a) | 3,761,360 | ||||||||
| 6,735 | Bunge Global SA (a) | 724,619 | ||||||||
| 32,900 | California Resources Corp. | 1,557,815 | ||||||||
| 45,158 | Capital One Financial Corp. (a) (b) | 6,215,096 | ||||||||
| 28,475 | CarMax, Inc. * (a) | 2,000,654 | ||||||||
| 2,669 | Carter’s, Inc. (a) | 182,560 | ||||||||
| 72,837 | Catalent, Inc. * | 3,917,902 | ||||||||
| 13,625 | CBRE Group, Inc. – Class A * (b) | 1,199,954 | ||||||||
| 71,546 | Centene Corp. * (a) (b) | 5,121,978 | ||||||||
| 95,838 | Cerevel Therapeutics Holdings, Inc. * | 3,904,440 | ||||||||
| 116,949 | ChampionX Corp. (a) | 3,814,876 | ||||||||
| 46,725 | Chevron Corp. (b) | 7,583,468 | ||||||||
| 2,602 | Chord Energy Corp. | 482,459 | ||||||||
| 7,462 | Cigna Group (b) | 2,571,554 | ||||||||
| 165,087 | Cisco Systems, Inc. (a) (b) | 7,676,546 | ||||||||
| 123,264 | Citigroup, Inc. | 7,680,580 | ||||||||
| 192,541 | Clean Energy Fuels Corp. * (a) | 602,653 | ||||||||
| 205,543 | Cleveland-Cliffs, Inc. * | 3,551,783 | ||||||||
| 82,672 | Cognizant Technology Solutions Corp. – Class A (a) (b) | 5,468,753 | ||||||||
| 190,602 | Comcast Corp. – Class A (b) | 7,629,798 | ||||||||
| 5,668 | Commercial Metals Co. | 319,222 | ||||||||
| 27,100 | ConocoPhillips (a) | 3,156,608 | ||||||||
| 21,200 | Corteva, Inc. | 1,185,928 | ||||||||
| 802 | Crane NXT Co. (a) | 50,702 | ||||||||
| 6,732 | Crocs, Inc. * | 1,047,768 | ||||||||
| 6,973 | Cummins, Inc. (a) | 1,964,503 | ||||||||
| 106,688 | CVS Health Corp. (b) | 6,358,605 | ||||||||
| 170,909 | Darling Ingredients, Inc. * (a) | 6,904,724 | ||||||||
| 800 | Deere & Co. (b) | 299,808 | ||||||||
| 46,820 | Discover Financial Services (b) | 5,742,941 | ||||||||
| 18,152 | DR Horton, Inc. (a) | 2,682,866 | ||||||||
| 39,002 | Dropbox, Inc. – Class A * (a) (b) | 878,715 | ||||||||
| 121,052 | eBay, Inc. (a) (b) | 6,563,439 | ||||||||
| 5,216 | Elevance Health, Inc. (b) | 2,808,712 | ||||||||
| 1,117 | Encore Wire Corp. | 322,511 | ||||||||
| 59,815 | Endeavor Group Holdings, Inc. – Class A | 1,604,836 | ||||||||
| 13,667 | Enphase Energy, Inc. * (a) | 1,748,009 | ||||||||
| 38,163 | EOG Resources, Inc. (a) | 4,753,202 | ||||||||
| 910 | EPAM Systems, Inc. * (b) | 161,916 | ||||||||
| 113,017 | Equitrans Midstream Corp. | 1,613,883 | ||||||||
| 48,081 | Etsy, Inc. * (a) | 3,051,701 | ||||||||
| Shares | Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| 1,351 | Everest Group Ltd. | 528,146 | ||||||||
| 29,584 | Expedia Group, Inc. * (b) | 3,338,850 | ||||||||
| 43,751 | Exxon Mobil Corp. (a) | 5,130,242 | ||||||||
| 11,774 | F5, Inc. * (a) | 1,989,453 | ||||||||
| 7,010 | Federated Hermes, Inc. | 232,522 | ||||||||
| 71,977 | Fidelity National Financial, Inc. (a) | 3,624,762 | ||||||||
| 6,100 | First Solar, Inc. * (a) | 1,657,736 | ||||||||
| 3,750 | Foot Locker, Inc. (a) | 103,988 | ||||||||
| 504,490 | Ford Motor Co. (b) | 6,119,464 | ||||||||
| 13,058 | Fox Corp. – Class A (a) | 449,587 | ||||||||
| 141,367 | Fox Corp. – Class B | 4,515,262 | ||||||||
| 162,119 | Franklin Resources, Inc. (a) | 3,826,008 | ||||||||
| 26,800 | Freeport-McMoRan, Inc. | 1,413,164 | ||||||||
| 546 | Garmin Ltd. (a) | 89,462 | ||||||||
| 201,500 | GCI Liberty, Inc. (a) (c) | — | ||||||||
| 55,744 | GE HealthCare Technologies, Inc. (a) (b) | 4,348,032 | ||||||||
| 9,807 | General Electric Co. (b) | 1,619,528 | ||||||||
| 18,040 | General Mills, Inc. (a) | 1,240,250 | ||||||||
| 122,790 | General Motors Co. (b) | 5,524,322 | ||||||||
| 24,519 | Gilead Sciences, Inc. (a) | 1,575,836 | ||||||||
| 7,687 | Goldman Sachs Group, Inc. (a) | 3,509,269 | ||||||||
| 408,136 | GrafTech International Ltd. * (a) | 673,424 | ||||||||
| 184 | Graham Holdings Co. – Class B (a) | 138,447 | ||||||||
| 131,059 | Green Plains, Inc. * (a) | 2,250,283 | ||||||||
| 1,201 | Group 1 Automotive, Inc. (a) | 373,487 | ||||||||
| 3,100 | Gulfport Energy Corp. * | 501,611 | ||||||||
| 13,761 | H&R Block, Inc. (a) | 683,096 | ||||||||
| 13,797 | Hartford Financial Services Group, Inc. (b) | 1,427,300 | ||||||||
| 97,075 | HashiCorp, Inc. – Class A * (b) | 3,259,779 | ||||||||
| 63,116 | Hess Corp. | 9,726,176 | ||||||||
| 292,398 | Hewlett Packard Enterprise Co. (a) | 5,160,825 | ||||||||
| 14,012 | Hilton Worldwide Holdings, Inc. (b) | 2,810,807 | ||||||||
| 1,800 | HNI Corp. | 84,690 | ||||||||
| 206,521 | HP, Inc. | 7,538,017 | ||||||||
| 4,615 | Humana, Inc. (b) | 1,652,724 | ||||||||
| 81,490 | Incyte Corp. * (a) | 4,709,307 | ||||||||
| 199,586 | Intel Corp. | 6,157,228 | ||||||||
| 30,582 | Intercontinental Exchange, Inc. (a) | 4,094,930 | ||||||||
| 44,071 | International Business Machines Corp. (b) | 7,353,246 | ||||||||
| 12,241 | International Paper Co. (a) | 551,947 | ||||||||
| 29,790 | Invesco Ltd. (a) | 468,001 | ||||||||
| 5,452 | Jackson Financial, Inc. – Class A (a) | 414,407 | ||||||||
| 9,409 | Janus Henderson Group PLC | 315,202 | ||||||||
| 28,309 | Jazz Pharmaceuticals PLC * (a) | 2,979,522 | ||||||||
| 36,586 | Johnson & Johnson (a) | 5,366,069 | ||||||||
| 37,813 | JPMorgan Chase & Co. (b) | 7,662,048 | ||||||||
| 2,932 | Keysight Technologies, Inc. * (a) | 406,023 | ||||||||
| 229,058 | Kinder Morgan, Inc. (a) | 4,464,340 | ||||||||
| 10,744 | Kohl’s Corp. (a) | 240,558 | ||||||||
| 995,351 | Kosmos Energy Ltd. * (a) | 6,071,641 | ||||||||
| 146,530 | Kraft Heinz Co. (a) | 5,182,766 | ||||||||
| 47,021 | Kroger Co. (b) | 2,462,490 | ||||||||
| 3,510 | Lam Research Corp. (a) | 3,272,864 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| 60,906 | Las Vegas Sands Corp. (a) (b) | 2,742,597 | ||||||||
| 2,129 | La-Z-Boy, Inc. | 79,880 | ||||||||
| 4,810 | Lear Corp. | 602,934 | ||||||||
| 17,119 | Lennar Corp. – Class A (a) (b) | 2,745,032 | ||||||||
| 100,475 | Liberty Broadband Corp. – Class C * (a) | 5,434,693 | ||||||||
| 19,700 | Liberty Energy, Inc. (a) | 486,393 | ||||||||
| 191,899 | Liberty Global Ltd. – Class A * | 3,198,956 | ||||||||
| 41,543 | Liberty Media Corp.-Liberty Formula One – Class A * | 2,841,957 | ||||||||
| 12,202 | LyondellBasell Industries NV – Class A | 1,213,123 | ||||||||
| 8,642 | M&T Bank Corp. (a) | 1,310,127 | ||||||||
| 12,343 | Macy’s, Inc. (a) | 240,442 | ||||||||
| 4,612 | ManpowerGroup, Inc. | 344,147 | ||||||||
| 15,400 | Marathon Oil Corp. | 445,984 | ||||||||
| 2,009 | Markel Group, Inc. * (a) | 3,297,954 | ||||||||
| 116,404 | Match Group, Inc. * (a) | 3,565,455 | ||||||||
| 511 | Matson, Inc. | 65,510 | ||||||||
| 57,571 | McGrath RentCorp | 6,274,088 | ||||||||
| 20,680 | Medtronic PLC (b) | 1,682,732 | ||||||||
| 56,494 | Merck & Co., Inc. | 7,092,257 | ||||||||
| 26,714 | Meta Platforms, Inc. – Class A (b) | 12,470,897 | ||||||||
| 41,536 | MGIC Investment Corp. (a) | 872,256 | ||||||||
| 33,941 | Micron Technology, Inc. (a) | 4,242,625 | ||||||||
| 31,546 | Moderna, Inc. * (a) | 4,496,882 | ||||||||
| 9,060 | Morgan Stanley (a) | 886,430 | ||||||||
| 59,420 | Mosaic Co. | 1,837,861 | ||||||||
| 3,462 | Mueller Industries, Inc. (a) | 203,946 | ||||||||
| 2,600 | NEXTracker, Inc. – Class A * | 143,442 | ||||||||
| 3,800 | Northern Oil & Gas, Inc. (a) | 155,534 | ||||||||
| 32,309 | Nucor Corp. | 5,455,375 | ||||||||
| 49,075 | ON Semiconductor Corp. * (a) | 3,584,438 | ||||||||
| 4,091 | OneMain Holdings, Inc. (a) | 200,950 | ||||||||
| 28 | Oracle Corp. (b) | 3,281 | ||||||||
| 2,100 | Ormat Technologies, Inc. (a) | 158,340 | ||||||||
| 21,296 | Otis Worldwide Corp. (a) | 2,112,563 | ||||||||
| 68,661 | Ovintiv, Inc. | 3,547,714 | ||||||||
| 3,260 | Owens Corning | 590,288 | ||||||||
| 40,200 | PACCAR, Inc. (a) | 4,321,500 | ||||||||
| 316,230 | Paramount Global – Class B (a) | 3,766,299 | ||||||||
| 100,734 | PayPal Holdings, Inc. * (b) | 6,345,235 | ||||||||
| 755,227 | Pershing Square Tontine Holdings Ltd. (e) | 1 | ||||||||
| 281,957 | Pfizer, Inc. | 8,080,888 | ||||||||
| 5,227 | Polaris, Inc. (a) | 436,977 | ||||||||
| 15,500 | PotlatchDeltic Corp. – (REIT) (a) (b) | 662,315 | ||||||||
| 5,459 | Premier, Inc. – Class A (a) | 103,284 | ||||||||
| 24,200 | ProPetro Holding Corp. * (a) | 231,836 | ||||||||
| 24,474 | PulteGroup, Inc. | 2,871,290 | ||||||||
| 27,056 | QUALCOMM, Inc. (a) | 5,520,777 | ||||||||
| 24,194 | Radian Group, Inc. | 755,821 | ||||||||
| 7,061 | Regeneron Pharmaceuticals, Inc. * | 6,920,910 | ||||||||
| 4,065 | Signet Jewelers Ltd. | 445,077 | ||||||||
| 110,297 | SilverBow Resources, Inc. * | 4,323,642 | ||||||||
| 1,936 | Skechers U.S.A., Inc. – Class A * | 138,269 | ||||||||
| Shares | Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| 47,458 | Skyworks Solutions, Inc. (a) | 4,397,458 | ||||||||
| 5,833 | SLM Corp. | 125,176 | ||||||||
| 7,400 | SM Energy Co. | 373,182 | ||||||||
| 57,025 | SolarEdge Technologies, Inc. * (a) | 2,793,655 | ||||||||
| 12,644 | Solventum Corp. * (a) | 750,295 | ||||||||
| 435,606 | Southwestern Energy Co. * | 3,280,113 | ||||||||
| 5,372 | SS&C Technologies Holdings, Inc. (b) | 333,333 | ||||||||
| 15,933 | State Street Corp. | 1,204,375 | ||||||||
| 38,982 | Steel Dynamics, Inc. (a) | 5,218,520 | ||||||||
| 229,248 | Sunrun, Inc. * (a) | 3,314,926 | ||||||||
| 123,183 | Synchrony Financial | 5,395,415 | ||||||||
| 9,400 | T Rowe Price Group, Inc. (a) | 1,107,602 | ||||||||
| 15,600 | Talos Energy, Inc. * (a) | 187,356 | ||||||||
| 8,054 | Tapestry, Inc. (a) | 350,268 | ||||||||
| 9,505 | TE Connectivity Ltd. (b) | 1,422,899 | ||||||||
| 14,582 | Texas Instruments, Inc. (a) | 2,843,636 | ||||||||
| 9,067 | Textron, Inc. | 794,360 | ||||||||
| 5,869 | TRU TAJ Liquidation Unit Trust / TRU TAJ Finance, Inc. (e) | 59 | ||||||||
| 160,204 | TRU Taj LLC / TRU Taj Finance, Inc. * (e) | 320,408 | ||||||||
| 64,745 | Tyson Foods, Inc. – Class A | 3,706,651 | ||||||||
| 70,676 | U.S. Bancorp (a) | 2,865,912 | ||||||||
| 265,697 | U.S. Steel Corp. (a) | 10,189,480 | ||||||||
| 3,817 | UFP Industries, Inc. | 456,055 | ||||||||
| 3,926 | United Therapeutics Corp. * (a) | 1,080,160 | ||||||||
| 3,666 | UnitedHealth Group, Inc. (b) | 1,816,026 | ||||||||
| 15,793 | Unum Group (a) | 850,611 | ||||||||
| 16,028 | Valero Energy Corp. | 2,518,640 | ||||||||
| 1,200 | Valmont Industries, Inc. (a) | 301,680 | ||||||||
| 2,600 | Veralto Corp. (b) | 256,308 | ||||||||
| 199,645 | Verizon Communications, Inc. (b) | 8,215,392 | ||||||||
| 25,587 | VF Corp. (a) | 339,795 | ||||||||
| 445,426 | Viatris, Inc. (a) | 4,721,516 | ||||||||
| 226,381 | Vizio Holding Corp. – Class A * | 2,431,332 | ||||||||
| 254,683 | Walgreens Boots Alliance, Inc. (a) | 4,130,958 | ||||||||
| 91,463 | Wells Fargo & Co. (a) (b) | 5,480,463 | ||||||||
| 56,291 | Western Union Co. (a) | 720,525 | ||||||||
| 2,939 | Westlake Corp. (a) | 471,886 | ||||||||
| 2,141 | Westmoreland Mining Holdings (c) | 2,676 | ||||||||
| 65,707 | Westrock Co. (a) | 3,524,524 | ||||||||
| 5,082 | Whirlpool Corp. (a) | 472,778 | ||||||||
| 72,801 | Zoom Video Communications, Inc. – Class A * (a) (b) | 4,465,613 | ||||||||
|
|
|
|||||||||
| Total United States | 603,449,709 | |||||||||
|
|
|
|||||||||
| Vietnam — 0.1% | ||||||||||
| 4,900 | Dong Phu Rubber JSC | 8,199 | ||||||||
| 148,899 | Duc Giang Chemicals JSC | 740,783 | ||||||||
| 110,900 | PetroVietNam Ca Mau Fertilizer JSC | 164,206 | ||||||||
| 7,800 | PetroVietnam Gas JSC | 24,622 | ||||||||
| 48,200 | PetroVietnam Technical Services Corp. | 82,291 | ||||||||
| 552,900 | SSI Securities Corp. | 758,207 | ||||||||
| 141,900 | Vietnam Dairy Products JSC | 365,307 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Vietnam — continued | ||||||||||
| 161,903 | Vietnam Joint Stock Commercial Bank for Industry & Trade * | 203,719 | ||||||||
| 26,600 | VIX Securities JSC * | 18,956 | ||||||||
| 922,635 | VNDirect Securities Corp. * | 649,439 | ||||||||
|
|
|
|||||||||
| Total Vietnam | 3,015,729 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $2,236,517,166) |
2,077,942,525 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (g) —1.6% | ||||||||||
| Brazil — 0.8% | ||||||||||
| 1,518,536 | Bradespar SA | 5,552,551 | ||||||||
| 6,600 | Cia de Ferro Ligas da Bahia FERBASA | 9,993 | ||||||||
| 1,630,350 | Cia Energetica de Minas Gerais | 3,089,372 | ||||||||
| 649,188 | Gerdau SA Sponsored ADR | 2,246,191 | ||||||||
| 516,495 | Itausa SA | 957,073 | ||||||||
| 18,900 | Marcopolo SA | 23,468 | ||||||||
| 846,400 | Petroleo Brasileiro SA | 6,252,615 | ||||||||
| 138,393 | Petroleo Brasileiro SA ADR | 2,049,600 | ||||||||
| 19,000 | Randon SA Implementos e Participacoes | 34,447 | ||||||||
| 12,420 | Unipar Carbocloro SA – Class B | 118,289 | ||||||||
|
|
|
|||||||||
| Total Brazil | 20,333,599 | |||||||||
|
|
|
|||||||||
| Chile — 0.1% | ||||||||||
| 2,051 | Embotelladora Andina SA – Class B | 6,325 | ||||||||
| 45,100 | Sociedad Quimica y Minera de Chile SA Sponsored ADR (a) | 2,106,170 | ||||||||
|
|
|
|||||||||
| Total Chile | 2,112,495 | |||||||||
|
|
|
|||||||||
| Colombia — 0.1% | ||||||||||
| 36,110 | Bancolombia SA Sponsored ADR | 1,280,460 | ||||||||
|
|
|
|||||||||
| Germany — 0.4% | ||||||||||
| 25,625 | Bayerische Motoren Werke AG | 2,477,304 | ||||||||
| 2,287 | Jungheinrich AG | 89,369 | ||||||||
| 71,758 | Porsche Automobil Holding SE | 3,959,502 | ||||||||
| 1,257 | Villeroy & Boch AG | 23,079 | ||||||||
| 37,034 | Volkswagen AG | 4,653,734 | ||||||||
|
|
|
|||||||||
| Total Germany | 11,202,988 | |||||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| 15,222 | Bashneft PJSC (e) | 3,266 | ||||||||
| 79,750 | Nizhnekamskneftekhim PJSC (e) | 646 | ||||||||
| 49,530 | Sberbank of Russia PJSC * (e) (f) | 1,711 | ||||||||
| 20,862,000 | Surgutneftegas PJSC (e) | 156,272 | ||||||||
| 12,313 | Tatneft PJSC (e) | 928 | ||||||||
| 33,700 | Transneft PJSC (e) | 5,909 | ||||||||
|
|
|
|||||||||
| Total Russia | 168,732 | |||||||||
|
|
|
|||||||||
| South Korea — 0.2% | ||||||||||
| 887 | Hyundai Motor Co. | 98,631 | ||||||||
| 3,460 | Hyundai Motor Co. GDR | 194,897 | ||||||||
| Shares / Par Value† |
Description | Value ($) | ||||||||
| South Korea — continued | ||||||||||
| 3,452 | LG Electronics, Inc. | 117,551 | ||||||||
| 87,090 | Samsung Electronics Co. Ltd. | 3,799,829 | ||||||||
| 114 | Samsung Electronics Co. Ltd. (Registered) | 125,058 | ||||||||
|
|
|
|||||||||
| Total South Korea | 4,335,966 | |||||||||
|
|
|
|||||||||
| United States — 0.0% | ||||||||||
| 1,288,200 | NII Holdings, Inc. (c) | 450,870 | ||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $57,455,121) |
39,885,110 | |||||||||
|
|
|
|||||||||
| RIGHTS/WARRANTS — 0.0% | ||||||||||
| Canada — 0.0% | ||||||||||
| 222,285 | Clementia Pharmaceuticals, Inc. * (c) | 222 | ||||||||
|
|
|
|||||||||
| United States — 0.0% | ||||||||||
| 408,963 | Bristol-Myers Squibb Co. * (c) | 899,719 | ||||||||
| 50,914 | Contra Abiomed, Inc. * (c) | 89,099 | ||||||||
| 188,806 | Pershing Square Holdings Ltd. * (c) | 56,642 | ||||||||
|
|
|
|||||||||
| Total United States | 1,045,460 | |||||||||
|
|
|
|||||||||
| Vietnam — 0.0% | ||||||||||
| 175,740 | VNDirect Securities Corp., expires 07/03/24 * (c) | 53,871 | ||||||||
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS (COST $1,235,833) |
1,099,553 | |||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — 0.4% | ||||||||||
| United States — 0.4% | ||||||||||
| 4,418,828 | Altaba, Inc. (c) | 10,384,246 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $5,265,823) |
10,384,246 | |||||||||
|
|
|
|||||||||
| DEBT OBLIGATIONS — 29.4% | ||||||||||
| Netherlands — 0.0% | ||||||||||
| Corporate Debt — 0.0% | ||||||||||
| EUR |
608,780 | HEMA Bondco I B.V., Variable Rate, 10.00%, due 04/19/26 (e) (h) | 66 | |||||||
|
|
|
|||||||||
| United States — 29.4% | ||||||||||
| U.S. Government — 27.8% | ||||||||||
| 158,103,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.53%, due 01/31/25 (b) (i) | 158,272,962 | ||||||||
| 90,000,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.17%, 5.49%, due 04/30/25 | 90,095,799 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares / Par Value† |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| U.S. Government — continued | ||||||||||
| 2,350,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.17%, 5.50%, due 10/31/25 (b) (i) | 2,353,015 | ||||||||
| 59,700,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.25%, 5.57%, due 01/31/26 (b) (i) | 59,831,179 | ||||||||
| 104,600,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 5.48%, due 04/30/26 (b) (i) | 104,648,532 | ||||||||
| 135,925,396 | U.S. Treasury Inflation-Indexed Notes, 1.38%, due 07/15/33 (b) | 127,785,142 | ||||||||
| 152,582,172 | U.S. Treasury Inflation-Indexed Notes, 1.75%, due 01/15/34 (b) | 147,369,020 | ||||||||
| 1,000,000 | U.S. Treasury Notes, 3.13%, due 08/15/25 (b) | 976,992 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 691,332,641 | |||||||||
|
|
|
|||||||||
| U.S. Government Agency — 1.6% | ||||||||||
| 40,500,000 | Federal Home Loan Banks, Variable Rate, 1 day USD SOFR + 0.10%, 5.43%, due 09/04/24 | 40,508,916 | ||||||||
|
|
|
|||||||||
| Total United States | 731,841,557 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $732,617,777) |
731,841,623 | |||||||||
|
|
|
|||||||||
| MUTUAL FUNDS — 0.7% | ||||||||||
| United States — 0.7% | ||||||||||
| Affiliated Issuers — 0.7% | ||||||||||
| 3,528,533 | GMO U.S. Treasury Fund (j) | 17,642,664 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $17,642,945) |
17,642,664 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 3.8% | ||||||||||
| Money Market Funds — 0.3% | ||||||||||
| 597,116 | State Street Global Advisors Liquidity PLC - U.S. Treasury Liquidity Fund – Class D Shares, 5.22% (i) | 597,116 | ||||||||
| 6,398,282 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (k) | 6,398,282 | ||||||||
|
|
|
|||||||||
| Total Money Market Funds | 6,995,398 | |||||||||
|
|
|
|||||||||
| Par Value† / Shares |
Description | Value ($) | ||||||||
| Repurchase Agreements — 3.5% | ||||||||||
| 87,084,270 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 05/31/24, maturing on 06/03/24 with a maturity value of $87,122,732 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 $88,437,726. | 87,084,270 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $94,079,668) |
94,079,668 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 119.4% (Cost $3,144,814,333) |
2,972,875,389 | |||||||||
|
|
|
|||||||||
| SECURITIES SOLD SHORT — (22.0)% | ||||||||||
| Common Stocks — (21.9)% | ||||||||||
| Australia — (0.8)% | ||||||||||
| (58,489 | ) | ASX Ltd. | (2,435,639 | ) | ||||||
| (41,386 | ) | CAR Group Ltd. | (966,386 | ) | ||||||
| (12,848 | ) | Cochlear Ltd. | (2,768,642 | ) | ||||||
| (117,411 | ) | IDP Education Ltd. | (1,256,314 | ) | ||||||
| (511,054 | ) | Lottery Corp. Ltd. | (1,664,218 | ) | ||||||
| (3,209 | ) | Mineral Resources Ltd. | (154,188 | ) | ||||||
| (61,429 | ) | Ramsay Health Care Ltd. | (1,933,215 | ) | ||||||
| (45,363 | ) | WiseTech Global Ltd. | (2,948,339 | ) | ||||||
| (51,779 | ) | Xero Ltd. * | (4,701,235 | ) | ||||||
|
|
|
|||||||||
| Total Australia | (18,828,176 | ) | ||||||||
|
|
|
|||||||||
| Austria — (0.1)% | ||||||||||
| (24,553 | ) | Verbund AG | (2,015,971 | ) | ||||||
|
|
|
|||||||||
| Belgium — (0.2)% | ||||||||||
| (64,049 | ) | Anheuser-Busch InBev SA | (4,040,951 | ) | ||||||
| (78 | ) | Lotus Bakeries NV | (827,652 | ) | ||||||
|
|
|
|||||||||
| Total Belgium | (4,868,603 | ) | ||||||||
|
|
|
|||||||||
| Canada — (1.4)% | ||||||||||
| (14,348 | ) | Agnico Eagle Mines Ltd. | (978,677 | ) | ||||||
| (189,500 | ) | AltaGas Ltd. | (4,275,377 | ) | ||||||
| (59,524 | ) | Brookfield Renewable Corp. – Class A | (1,877,387 | ) | ||||||
| (89,134 | ) | Cameco Corp. | (4,947,828 | ) | ||||||
| (127,286 | ) | Enbridge, Inc. | (4,656,122 | ) | ||||||
| (34,718 | ) | Franco-Nevada Corp. | (4,298,088 | ) | ||||||
| (119,278 | ) | GFL Environmental, Inc. | (3,753,679 | ) | ||||||
| (72,006 | ) | Pan American Silver Corp. | (1,584,132 | ) | ||||||
| (125,565 | ) | Pembina Pipeline Corp. | (4,662,228 | ) | ||||||
| (54,627 | ) | Restaurant Brands International, Inc. | (3,746,320 | ) | ||||||
|
|
|
|||||||||
| Total Canada | (34,779,838 | ) | ||||||||
|
|
|
|||||||||
| Denmark — (0.1)% | ||||||||||
| (26,712 | ) | Coloplast AS – Class B | (3,212,842 | ) | ||||||
| (4,760 | ) | Novo Nordisk AS – Class B | (644,923 | ) | ||||||
|
|
|
|||||||||
| Total Denmark | (3,857,765 | ) | ||||||||
|
|
|
|||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Finland — (0.0)% | ||||||||||
| (13,862 | ) | Elisa OYJ | (645,908 | ) | ||||||
|
|
|
|||||||||
| France — (0.6)% | ||||||||||
| (81,582 | ) | Accor SA * | (3,559,137 | ) | ||||||
| (19,797 | ) | Aeroports de Paris SA | (2,836,821 | ) | ||||||
| (234,159 | ) | Getlink SE | (4,126,475 | ) | ||||||
| (1,886 | ) | Hermes International SCA | (4,476,646 | ) | ||||||
| (1,760 | ) | Sartorius Stedim Biotech | (350,601 | ) | ||||||
|
|
|
|||||||||
| Total France | (15,349,680 | ) | ||||||||
|
|
|
|||||||||
| Germany — (0.9)% | ||||||||||
| (19,133 | ) | adidas AG | (4,845,821 | ) | ||||||
| (8,684 | ) | Covestro AG * | (467,886 | ) | ||||||
| (128,172 | ) | Delivery Hero SE * | (3,926,152 | ) | ||||||
| (18,365 | ) | MTU Aero Engines AG | (4,587,540 | ) | ||||||
| (2,673 | ) | Rational AG | (2,281,048 | ) | ||||||
| (45,620 | ) | Siemens Energy AG * | (1,242,289 | ) | ||||||
| (33,405 | ) | Symrise AG | (3,990,246 | ) | ||||||
| (18,399 | ) | Talanx AG | (1,467,625 | ) | ||||||
| (9,181 | ) | Vonovia SE | (288,610 | ) | ||||||
| (22,815 | ) | Zalando SE * | (605,950 | ) | ||||||
|
|
|
|||||||||
| Total Germany | (23,703,167 | ) | ||||||||
|
|
|
|||||||||
| Ireland — (0.1)% | ||||||||||
| (65,707 | ) | Smurfit Kappa Group PLC | (3,204,726 | ) | ||||||
|
|
|
|||||||||
| Israel — (0.2)% | ||||||||||
| (17,349 | ) | CyberArk Software Ltd. * | (3,977,258 | ) | ||||||
| (3,054 | ) | Monday.com Ltd. * | (689,929 | ) | ||||||
|
|
|
|||||||||
| Total Israel | (4,667,187 | ) | ||||||||
|
|
|
|||||||||
| Italy — (0.6)% | ||||||||||
| (102,675 | ) | Amplifon SpA | (3,795,183 | ) | ||||||
| (11,125 | ) | Ferrari NV | (4,584,412 | ) | ||||||
| (273,842 | ) | FinecoBank Banca Fineco SpA | (4,441,318 | ) | ||||||
| (280,042 | ) | Infrastrutture Wireless Italiane SpA | (3,070,357 | ) | ||||||
|
|
|
|||||||||
| Total Italy | (15,891,270 | ) | ||||||||
|
|
|
|||||||||
| Japan — (1.7)% | ||||||||||
| (191,700 | ) | Aeon Co. Ltd. | (4,134,799 | ) | ||||||
| (57,900 | ) | Asahi Intecc Co. Ltd. | (836,696 | ) | ||||||
| (11,300 | ) | Disco Corp. | (4,444,955 | ) | ||||||
| (141,000 | ) | Japan Exchange Group, Inc. | (3,314,200 | ) | ||||||
| (28,500 | ) | Keisei Electric Railway Co. Ltd. | (1,023,621 | ) | ||||||
| (70,600 | ) | Kintetsu Group Holdings Co. Ltd. | (1,500,970 | ) | ||||||
| (57,900 | ) | Kobe Bussan Co. Ltd. | (1,280,669 | ) | ||||||
| (17,000 | ) | Lasertec Corp. | (4,370,971 | ) | ||||||
| (176,900 | ) | MonotaRO Co. Ltd. | (1,868,671 | ) | ||||||
| (136,800 | ) | Oriental Land Co. Ltd. | (3,824,470 | ) | ||||||
| (733,900 | ) | Rakuten Group, Inc. * | (3,817,103 | ) | ||||||
| (19,900 | ) | Resona Holdings, Inc. | (138,134 | ) | ||||||
| Shares |
Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| (21,400 | ) | Sharp Corp. * | (132,231 | ) | ||||||
| (57,600 | ) | Shiseido Co. Ltd. | (1,828,062 | ) | ||||||
| (359,500 | ) | SoftBank Corp. | (4,310,481 | ) | ||||||
| (27,000 | ) | SoftBank Group Corp. | (1,562,422 | ) | ||||||
| (46,000 | ) | Tobu Railway Co. Ltd. | (812,976 | ) | ||||||
| (169,600 | ) | Tokyu Corp. | (1,978,712 | ) | ||||||
| (20,800 | ) | West Japan Railway Co. | (414,972 | ) | ||||||
| (18,500 | ) | Zensho Holdings Co. Ltd. | (728,421 | ) | ||||||
|
|
|
|||||||||
| Total Japan | (42,323,536 | ) | ||||||||
|
|
|
|||||||||
| Netherlands — (0.5)% | ||||||||||
| (2,849 | ) | Adyen NV * | (3,694,535 | ) | ||||||
| (24,555 | ) | BE Semiconductor Industries NV | (3,652,994 | ) | ||||||
| (66,186 | ) | OCI NV | (1,815,219 | ) | ||||||
| (144,122 | ) | Universal Music Group NV | (4,491,368 | ) | ||||||
|
|
|
|||||||||
| Total Netherlands | (13,654,116 | ) | ||||||||
|
|
|
|||||||||
| Peru — (0.2)% | ||||||||||
| (36,646 | ) | Southern Copper Corp. | (4,347,315 | ) | ||||||
|
|
|
|||||||||
| Singapore — (0.3)% | ||||||||||
| (1,115,905 | ) | Grab Holdings Ltd. – Class A * | (4,095,372 | ) | ||||||
| (2,444,875 | ) | Seatrium Ltd. * | (3,191,309 | ) | ||||||
|
|
|
|||||||||
| Total Singapore | (7,286,681 | ) | ||||||||
|
|
|
|||||||||
| Spain — (0.4)% | ||||||||||
| (125,451 | ) | Cellnex Telecom SA * | (4,582,729 | ) | ||||||
| (116,259 | ) | Ferrovial SE | (4,594,638 | ) | ||||||
|
|
|
|||||||||
| Total Spain | (9,177,367 | ) | ||||||||
|
|
|
|||||||||
| Sweden — (0.3)% | ||||||||||
| (121,235 | ) | Beijer Ref AB | (1,984,589 | ) | ||||||
| (125,237 | ) | EQT AB | (3,836,226 | ) | ||||||
| (188 | ) | Evolution AB | (20,280 | ) | ||||||
| (70,555 | ) | H & M Hennes & Mauritz AB – Class B | (1,247,568 | ) | ||||||
|
|
|
|||||||||
| Total Sweden | (7,088,663 | ) | ||||||||
|
|
|
|||||||||
| Switzerland — (0.2)% | ||||||||||
| (18,404 | ) | Avolta AG | (747,276 | ) | ||||||
| (2,599 | ) | Bachem Holding AG | (234,967 | ) | ||||||
| (1,350 | ) | Partners Group Holding AG | (1,816,866 | ) | ||||||
| (30,320 | ) | SIG Group AG | (631,493 | ) | ||||||
| (1,422 | ) | VAT Group AG | (779,806 | ) | ||||||
|
|
|
|||||||||
| Total Switzerland | (4,210,408 | ) | ||||||||
|
|
|
|||||||||
| United Kingdom — (1.5)% | ||||||||||
| (27,204 | ) | Admiral Group PLC | (943,837 | ) | ||||||
| (370,886 | ) | Auto Trader Group PLC | (3,901,526 | ) | ||||||
| (19,182 | ) | Flutter Entertainment PLC * | (3,691,274 | ) | ||||||
| (138,560 | ) | Hargreaves Lansdown PLC | (1,881,023 | ) | ||||||
| (432,030 | ) | Informa PLC | (4,702,224 | ) | ||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| United Kingdom — continued | ||||||||||
| (39,400 | ) | InterContinental Hotels Group PLC | (4,001,020 | ) | ||||||
| (40,267 | ) | London Stock Exchange Group PLC | (4,719,957 | ) | ||||||
| (435,424 | ) | M&G PLC | (1,113,263 | ) | ||||||
| (292,767 | ) | Phoenix Group Holdings PLC | (1,862,932 | ) | ||||||
| (766,524 | ) | Rolls-Royce Holdings PLC * | (4,477,167 | ) | ||||||
| (59,453 | ) | Severn Trent PLC | (1,816,691 | ) | ||||||
| (7,678 | ) | Spirax-Sarco Engineering PLC | (877,976 | ) | ||||||
| (267,411 | ) | Wise PLC – Class A * | (2,809,968 | ) | ||||||
|
|
|
|||||||||
| Total United Kingdom | (36,798,858 | ) | ||||||||
|
|
|
|||||||||
| United States — (11.8)% | ||||||||||
| (14,408 | ) | AbbVie, Inc. | (2,323,146 | ) | ||||||
| (231,096 | ) | AES Corp. | (4,989,363 | ) | ||||||
| (34,498 | ) | Alcoa Corp. | (1,527,226 | ) | ||||||
| (29,805 | ) | Alnylam Pharmaceuticals, Inc. * | (4,423,956 | ) | ||||||
| (16,570 | ) | Amedisys, Inc. * | (1,510,355 | ) | ||||||
| (10,975 | ) | American Tower Corp. – (REIT) | (2,148,246 | ) | ||||||
| (14,276 | ) | Amgen, Inc. | (4,366,315 | ) | ||||||
| (7,049 | ) | Analog Devices, Inc. | (1,652,920 | ) | ||||||
| (18,457 | ) | Arthur J Gallagher & Co. | (4,675,712 | ) | ||||||
| (13,847 | ) | Axon Enterprise, Inc. * | (3,900,284 | ) | ||||||
| (14,512 | ) | Bill Holdings, Inc. * | (755,350 | ) | ||||||
| (23,282 | ) | Boeing Co. * | (4,135,116 | ) | ||||||
| (3,579 | ) | Broadcom, Inc. | (4,754,880 | ) | ||||||
| (19,022 | ) | Burlington Stores, Inc. * | (4,566,231 | ) | ||||||
| (97,831 | ) | Caesars Entertainment, Inc. * | (3,478,870 | ) | ||||||
| (45,339 | ) | Celsius Holdings, Inc. * | (3,626,213 | ) | ||||||
| (21,196 | ) | Charter Communications, Inc. – Class A * | (6,085,796 | ) | ||||||
| (37,769 | ) | Chesapeake Energy Corp. | (3,434,335 | ) | ||||||
| (64,704 | ) | Chevron Corp. | (10,499,024 | ) | ||||||
| (1,494 | ) | Chipotle Mexican Grill, Inc. * | (4,675,503 | ) | ||||||
| (48,934 | ) | Cloudflare, Inc. – Class A * | (3,312,342 | ) | ||||||
| (8,899 | ) | Coinbase Global, Inc. – Class A * | (2,010,462 | ) | ||||||
| (272,823 | ) | Crescent Energy Co. | (3,437,570 | ) | ||||||
| (62,120 | ) | Dayforce, Inc. * | (3,072,455 | ) | ||||||
| (35,580 | ) | Dexcom, Inc. * | (4,225,837 | ) | ||||||
| (8,155 | ) | Dominion Energy, Inc. | (439,718 | ) | ||||||
| (101,450 | ) | DraftKings, Inc. – Class A * | (3,563,938 | ) | ||||||
| (128,213 | ) | EQT Corp. | (5,268,272 | ) | ||||||
| (13,621 | ) | Equity LifeStyle Properties, Inc. – (REIT) | (854,990 | ) | ||||||
| (5,928 | ) | Erie Indemnity Co. – Class A | (2,148,485 | ) | ||||||
| (62,508 | ) | Exact Sciences Corp. * | (2,840,989 | ) | ||||||
| (3,727 | ) | Fair Isaac Corp. * | (4,807,569 | ) | ||||||
| (5,906 | ) | Fastenal Co. | (389,678 | ) | ||||||
| (66,634 | ) | Fidelity National Information Services, Inc. | (5,056,188 | ) | ||||||
| (408 | ) | Fortinet, Inc. * | (24,203 | ) | ||||||
| (8,106 | ) | Gartner, Inc. * | (3,401,845 | ) | ||||||
| (7,312 | ) | HubSpot, Inc. * | (4,467,998 | ) | ||||||
| (13,120 | ) | Hyatt Hotels Corp. – Class A | (1,934,806 | ) | ||||||
| (22,942 | ) | Insulet Corp. * | (4,065,093 | ) | ||||||
| (151,717 | ) | International Paper Co. | (6,840,920 | ) | ||||||
| (15,361 | ) | IQVIA Holdings, Inc. * | (3,365,441 | ) | ||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| (29,287 | ) | Iron Mountain, Inc. – (REIT) | (2,363,168 | ) | ||||||
| (52,130 | ) | Juniper Networks, Inc. | (1,859,477 | ) | ||||||
| (57,172 | ) | Kroger Co. | (2,994,098 | ) | ||||||
| (1,759 | ) | Lamb Weston Holdings, Inc. | (155,302 | ) | ||||||
| (38,747 | ) | Lattice Semiconductor Corp. * | (2,876,577 | ) | ||||||
| (180,777 | ) | Liberty Global Ltd. – Class C * | (3,085,863 | ) | ||||||
| (99,111 | ) | Liberty Media Corp.-Liberty Formula One – Class C * | (7,348,090 | ) | ||||||
| (10,708 | ) | Linde PLC | (4,663,548 | ) | ||||||
| (42,074 | ) | Live Nation Entertainment, Inc. * | (3,944,017 | ) | ||||||
| (8,462 | ) | Manhattan Associates, Inc. * | (1,857,747 | ) | ||||||
| (5,840 | ) | MarketAxess Holdings, Inc. | (1,161,751 | ) | ||||||
| (2,634 | ) | Marvell Technology, Inc. | (181,246 | ) | ||||||
| (10,526 | ) | Mastercard, Inc. – Class A | (4,705,859 | ) | ||||||
| (7,489 | ) | McKesson Corp. | (4,265,659 | ) | ||||||
| (2,914 | ) | MercadoLibre, Inc. * | (5,028,340 | ) | ||||||
| (11,537 | ) | MongoDB, Inc. * | (2,723,424 | ) | ||||||
| (8,488 | ) | Moody’s Corp. | (3,369,651 | ) | ||||||
| (398 | ) | Motorola Solutions, Inc. | (145,234 | ) | ||||||
| (8,351 | ) | MSCI, Inc. | (4,135,248 | ) | ||||||
| (110,943 | ) | Newmont Corp. | (4,652,949 | ) | ||||||
| (36,487 | ) | NiSource, Inc. | (1,060,312 | ) | ||||||
| (42,438 | ) | Okta, Inc. * | (3,763,402 | ) | ||||||
| (60,475 | ) | ONEOK, Inc. | (4,898,475 | ) | ||||||
| (188,118 | ) | Palantir Technologies, Inc. – Class A * | (4,078,398 | ) | ||||||
| (3,581 | ) | Palo Alto Networks, Inc. * | (1,056,073 | ) | ||||||
| (27,941 | ) | Paychex, Inc. | (3,357,391 | ) | ||||||
| (11,105 | ) | PTC, Inc. * | (1,957,145 | ) | ||||||
| (22,256 | ) | Repligen Corp. * | (3,318,147 | ) | ||||||
| (130,136 | ) | Rivian Automotive, Inc. – Class A * | (1,421,085 | ) | ||||||
| (110,952 | ) | ROBLOX Corp. – Class A * | (3,730,206 | ) | ||||||
| (54,922 | ) | Roku, Inc. * | (3,152,523 | ) | ||||||
| (92,007 | ) | Rollins, Inc. | (4,203,800 | ) | ||||||
| (57,517 | ) | Samsara, Inc. – Class A * | (1,951,552 | ) | ||||||
| (85,959 | ) | Schlumberger NV | (3,944,659 | ) | ||||||
| (5,587 | ) | Seagate Technology Holdings PLC | (520,932 | ) | ||||||
| (4,685 | ) | Simon Property Group, Inc. – (REIT) | (708,887 | ) | ||||||
| (26,728 | ) | Snowflake, Inc. – Class A * | (3,639,819 | ) | ||||||
| (178 | ) | Super Micro Computer, Inc. * | (139,643 | ) | ||||||
| (6,647 | ) | Synopsys, Inc. * | (3,727,638 | ) | ||||||
| (24,040 | ) | Tesla, Inc. * | (4,281,043 | ) | ||||||
| (786 | ) | Texas Pacific Land Corp. | (482,848 | ) | ||||||
| (178,429 | ) | Toast, Inc. – Class A * | (4,323,335 | ) | ||||||
| (10,322 | ) | Trade Desk, Inc. – Class A * | (957,675 | ) | ||||||
| (3,672 | ) | TransDigm Group, Inc. | (4,932,341 | ) | ||||||
| (30,007 | ) | Uber Technologies, Inc. * | (1,937,252 | ) | ||||||
| (48,958 | ) | Unity Software, Inc. * | (894,463 | ) | ||||||
| (15,525 | ) | Vail Resorts, Inc. | (2,929,878 | ) | ||||||
| (12,758 | ) | Vistra Corp. | (1,264,063 | ) | ||||||
| (9,383 | ) | Watsco, Inc. | (4,455,987 | ) | ||||||
| (121,169 | ) | Williams Cos., Inc. | (5,029,725 | ) | ||||||
| (64,968 | ) | WillScot Mobile Mini Holdings Corp. * | (2,561,688 | ) | ||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| (22,929 | ) | Zscaler, Inc. * | (3,897,013 | ) | ||||||
|
|
|
|||||||||
| Total United States | (293,152,286 | ) | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (PROCEEDS $458,355,042) |
(545,851,521 | ) | ||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (g) — (0.1)% | ||||||||||
| Germany — (0.1)% | ||||||||||
| (11,558 | ) | Sartorius AG | (3,063,651 | ) | ||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (PROCEEDS $3,975,536) |
(3,063,651 | ) | ||||||||
|
|
|
|||||||||
| TOTAL SECURITIES SOLD SHORT (PROCEEDS $462,330,578) |
(548,915,172 | ) | ||||||||
|
|
|
|||||||||
| Other Assets and Liabilities (net) — 2.6% | 66,239,875 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $2,490,200,092 | |||||||||
|
|
|
|||||||||
Additional information on each restricted security is as follows:
| Issuer Description |
Acquisition Date | Acquisition Cost |
Value as a Percentage of Fund’s Net Assets |
Value as of May 31, 2024 |
||||||||
| Alrosa PJSC | 12/06/17 | $ | 15,372,968 | 0.0% | $ | 84,492 | ||||||
| Magnitogorsk Iron & Steel Works PJSC | 10/11/17 | 4,815,566 | 0.0% | 35,055 | ||||||||
| Mechel PJSC | 11/12/21 | 133,558 | 0.0% | 1,711 | ||||||||
| PhosAgro PJSC GDR | 10/15/21 | 2,792 | 0.0% | 26 | ||||||||
| Polyus PJSC | 06/27/20 | 5,699,094 | 0.0% | 34,507 | ||||||||
| Polyus PJSC GDR (Registered) | 07/27/20 | 0 | 0.0% | 1 | ||||||||
| Sberbank of Russia PJSC | 07/10/19 | 29,636,901 | 0.0% | 279,020 | ||||||||
| Sberbank of Russia PJSC | 01/10/22 | 183,324 | 0.0% | 1,711 | ||||||||
| Severstal PAO | 02/02/21 | 126,125 | 0.0% | 1,454 | ||||||||
| Severstal PAO GDR (Registered) | 10/23/17 | 5,003,828 | 0.0% | 51,445 | ||||||||
| VTB Bank PJSC | 01/09/20 | 587,690 | 0.0% | 1,647 | ||||||||
|
|
|
|||||||||||
| $ | 491,069 | |||||||||||
|
|
|
|||||||||||
A summary of outstanding financial instruments at May 31, 2024 is as follows:
Forward Currency Contracts
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
| 07/29/2024 | UBSA | AUD | 1,167,447 | USD | 780,360 | 2,374 | ||||||||||||||||
| 06/04/2024 | BCLY | BRL | 20,502,457 | USD | 3,945,056 | 40,496 | ||||||||||||||||
| 06/04/2024 | CITI | BRL | 6,726,756 | USD | 1,322,111 | 41,044 | ||||||||||||||||
| 06/04/2024 | MSCI | BRL | 23,204,074 | USD | 4,484,502 | 65,436 | ||||||||||||||||
| 08/13/2024 | CITI | JPY | 674,726,080 | USD | 4,398,506 | 62,618 | ||||||||||||||||
| 07/29/2024 | DB | JPY | 4,170,669,059 | USD | 26,854,388 | 112,912 | ||||||||||||||||
| 07/29/2024 | SSB | JPY | 4,170,669,058 | USD | 26,851,501 | 110,024 | ||||||||||||||||
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
| 06/04/2024 | BCLY | MXN | 132,848,557 | USD | 7,838,737 | 8,686 | ||||||||||||||||
| 06/04/2024 | JPM | MXN | 35,323,393 | USD | 2,126,730 | 44,781 | ||||||||||||||||
| 06/04/2024 | MSCI | MXN | 132,848,556 | USD | 7,833,052 | 3,001 | ||||||||||||||||
| 06/26/2024 | SSB | NOK | 53,253,384 | USD | 5,087,362 | 11,063 | ||||||||||||||||
| 06/25/2024 | MSCI | PEN | 2,480,000 | USD | 669,326 | 3,799 | ||||||||||||||||
| 06/27/2024 | MSCI | USD | 894,753 | AUD | 1,376,029 | 21,400 | ||||||||||||||||
| 07/10/2024 | BCLY | USD | 26,286,589 | CAD | 36,071,813 | 199,033 | ||||||||||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2024 (Unaudited)
Forward Currency Contracts — continued
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
| 07/31/2024 | JPM | USD | 6,045,312 | EUR | 5,557,687 | 575 | ||||||||||||||||
| 07/29/2024 | BCLY | USD | 11,949,665 | GBP | 9,388,603 | 17,032 | ||||||||||||||||
| 06/26/2024 | BCLY | USD | 62,696,918 | NOK | 683,690,862 | 2,474,884 | ||||||||||||||||
| 06/28/2024 | BOA | USD | 263,075 | ZAR | 5,000,000 | 2,572 | ||||||||||||||||
| 06/28/2024 | MSCI | USD | 62,906 | ZAR | 1,200,000 | 849 | ||||||||||||||||
| 06/27/2024 | MSCI | AUD | 8,904,591 | USD | 5,831,905 | (96,728 | ) | |||||||||||||||
| 07/29/2024 | MSCI | AUD | 33,529,644 | USD | 22,257,481 | (86,659 | ) | |||||||||||||||
| 07/31/2024 | SSB | CHF | 20,724,464 | USD | 22,878,346 | (238,281 | ) | |||||||||||||||
| 07/31/2024 | UBSA | CHF | 20,724,464 | USD | 22,880,746 | (235,882 | ) | |||||||||||||||
| 06/26/2024 | BCLY | NOK | 63,329,255 | USD | 5,958,810 | (77,955 | ) | |||||||||||||||
| 07/31/2024 | SSB | NZD | 12,446,744 | USD | 7,643,004 | (7,950 | ) | |||||||||||||||
| 07/15/2024 | BCLY | SEK | 8,750,159 | USD | 812,442 | (20,703 | ) | |||||||||||||||
| 07/15/2024 | DB | SEK | 12,467,279 | USD | 1,152,041 | (35,030 | ) | |||||||||||||||
| 06/04/2024 | BCLY | USD | 4,356,885 | BRL | 21,853,265 | (195,072 | ) | |||||||||||||||
| 08/02/2024 | BCLY | USD | 3,920,839 | BRL | 20,502,457 | (38,087 | ) | |||||||||||||||
| 06/04/2024 | MSCI | USD | 5,697,772 | BRL | 28,580,022 | (254,891 | ) | |||||||||||||||
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
| 08/02/2024 | MSCI | USD | 3,922,489 | BRL | 20,502,457 | (39,737 | ) | |||||||||||||||
| 07/31/2024 | MSCI | USD | 13,481,455 | EUR | 12,387,115 | (6,228 | ) | |||||||||||||||
| 07/29/2024 | DB | USD | 1,593,857 | GBP | 1,247,287 | (4,066 | ) | |||||||||||||||
| 07/29/2024 | BCLY | USD | 1,460,360 | JPY | 227,419,999 | (2,190 | ) | |||||||||||||||
| 07/29/2024 | JPM | USD | 1,326,150 | JPY | 206,088,852 | (4,751 | ) | |||||||||||||||
| 06/04/2024 | BCLY | USD | 8,935,541 | MXN | 150,510,253 | (64,516 | ) | |||||||||||||||
| 08/02/2024 | BCLY | USD | 7,766,333 | MXN | 132,848,557 | (8,382 | ) | |||||||||||||||
| 06/04/2024 | MSCI | USD | 8,923,302 | MXN | 150,510,253 | (52,277 | ) | |||||||||||||||
| 08/02/2024 | MSCI | USD | 7,760,843 | MXN | 132,848,556 | (2,892 | ) | |||||||||||||||
| 06/25/2024 | BCLY | USD | 173,416 | PEN | 640,000 | (1,667 | ) | |||||||||||||||
| 06/25/2024 | CITI | USD | 322,745 | PEN | 1,200,000 | (716 | ) | |||||||||||||||
| 06/25/2024 | JPM | USD | 172,381 | PEN | 640,000 | (632 | ) | |||||||||||||||
| 07/31/2024 | SSB | USD | 887,449 | ZAR | 16,305,633 | (23,509 | ) | |||||||||||||||
| 06/28/2024 | SSB | ZAR | 6,200,000 | USD | 329,041 | (360 | ) | |||||||||||||||
|
|
|
|||||||||||||||||||||
| $ | 1,723,418 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||
| Buys | ||||||||||||
| 13 | Australia Government Bond 10 Yr. | June 2024 | 974,455 | (33,137 | ) | |||||||
| 148 | CAC40 10 Euro | June 2024 | 12,920,377 | (231,784 | ) | |||||||
| 105 | CBOE Volatility Index(i) | June 2024 | 1,447,908 | (11,075 | ) | |||||||
| 235 | Cotton(i) | July 2024 | 8,947,625 | (530,527 | ) | |||||||
| 4 | DAX Index | June 2024 | 2,025,458 | (23,800 | ) | |||||||
| 29 | E-mini Russell 2000 Index | June 2024 | 3,009,910 | 8,211 | ||||||||
| 80 | FTSE MIB Index | June 2024 | 15,104,748 | 442,205 | ||||||||
| 641 | Iron Ore(i) | July 2024 | 7,402,268 | (336,948 | ) | |||||||
| 26 | Live Cattle Futures(i) | August 2024 | 1,855,880 | (24,501 | ) | |||||||
| 64 | Natural Gas(i) | June 2024 | 1,655,680 | 47,264 | ||||||||
| 99 | NY Harbor ULSD Futures(i) | June 2024 | 9,913,504 | (339,845 | ) | |||||||
| 60 | NYMEX Platinum Futures(i) | July 2024 | 3,126,000 | 309,202 | ||||||||
| 51 | RBOB Gasoline(i) | June 2024 | 5,178,071 | (170,580 | ) | |||||||
| 255 | S&P 500 E-Mini | June 2024 | 67,517,625 | 910,361 | ||||||||
| 544 | Soybean(i) | July 2024 | 32,776,000 | 443,683 | ||||||||
| 184 | Soybean Meal(i) | July 2024 | 6,710,480 | 462,702 | ||||||||
| 117 | Soybean Oil(i) | July 2024 | 3,195,504 | (17,921 | ) | |||||||
| 488 | Sugar(i) | June 2024 | 10,002,048 | (1,125,668 | ) | |||||||
| 23 | Swiss Market New Index Futures | June 2024 | 3,076,584 | 22,039 | ||||||||
| 29 | TOPIX Index | June 2024 | 5,124,903 | 52,479 | ||||||||
| 329 | U.S. Treasury Note 10 Yr. (CBT) | September 2024 | 35,794,172 | 60,483 | ||||||||
| 541 | U.S. Treasury Note 5 Yr. (CBT) | September 2024 | 57,236,109 | (143,946 | ) | |||||||
| 118 | UK Gilt Long Bond | September 2024 | 14,482,826 | (112,097 | ) | |||||||
|
|
|
|
|
|||||||||
| $ | 309,478,135 | $ | (343,200 | ) | ||||||||
|
|
|
|
|
|||||||||
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||
| Sales | ||||||||||||
| 42 | Canadian Government Bond 10 Yr. | September 2024 | 3,663,348 | 9,010 | ||||||||
| 96 | Cocoa(i) | July 2024 | 8,957,760 | 8,553 | ||||||||
| 34 | Cocoa(i) | September 2024 | 2,919,240 | (253,166 | ) | |||||||
| 110 | Coffee(i) | July 2024 | 9,171,937 | (497,602 | ) | |||||||
| 206 | Copper(i) | July 2024 | 23,700,300 | (1,307,879 | ) | |||||||
| 1,157 | Corn(i) | July 2024 | 25,815,562 | 642,851 | ||||||||
| 32 | Euro Bund | June 2024 | 4,490,889 | 88,356 | ||||||||
| 23 | Euro Bund | September 2024 | 3,243,799 | (1,708 | ) | |||||||
| 5 | FTSE 100 Index | June 2024 | 531,080 | 1,388 | ||||||||
| 269 | FTSE Taiwan Index | June 2024 | 19,440,268 | 492,738 | ||||||||
| 25 | Gold(i) | August 2024 | 5,864,500 | 106,587 | ||||||||
| 135 | Hang Seng Index | June 2024 | 15,602,351 | 524,877 | ||||||||
| 654 | IFSC NIFTY 50 Index | June 2024 | 29,675,904 | 518,662 | ||||||||
| 175 | KOSPI 200 Index | June 2024 | 11,415,191 | 19,137 | ||||||||
| 117 | Lean Hogs(i) | July 2024 | 4,545,450 | 227,033 | ||||||||
| 121 | MSCI Singapore | June 2024 | 2,771,887 | 21,451 | ||||||||
| 15 | OMX Stockholm 30 Index | June 2024 | 374,326 | 1,701 | ||||||||
| 55 | S&P/TSX 60 | June 2024 | 10,769,581 | (56,906 | ) | |||||||
| 118 | Silver(i) | July 2024 | 17,959,600 | (1,421,631 | ) | |||||||
| 116 | WCE Canola Futures(i) | July 2024 | 1,125,148 | (31,012 | ) | |||||||
| 559 | Wheat(i) | July 2024 | 18,964,075 | (2,960,202 | ) | |||||||
| 87 | WTI Crude(i) | June 2024 | 6,698,130 | 146,100 | ||||||||
|
|
|
|
|
|||||||||
| $ | 227,700,326 | $ | (3,721,662 | ) | ||||||||
|
|
|
|
|
|||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2024 (Unaudited)
Swap Contracts
Centrally Cleared Credit Default Swaps
| Reference Entity |
Notional Amount |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||||||||||
| Buy Protection^: |
||||||||||||||||||||||||||||||||||||
| CDX.NA.HY.S42 |
USD 25,730,000 | 5.00% | 3.36 | % | N/A | 06/20/2029 | Quarterly | $ | (1,702,734 | ) | $ | (1,737,290 | ) | $ | (34,556 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| ^ | Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (1) | As of May 31, 2024, 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) ($) |
||||||||||||||||||||||||
| 1 Month Federal Funds Rate plus 0.07% |
Total Return on MSCI World Daily Total Return Net Growth Index |
UBSA | USD | 7,121,211 | 08/09/2024 | Monthly | — | 121,124 | 121,124 | |||||||||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index |
1 Month Federal Funds Rate plus 0.11% |
UBSA | USD | 5,951,267 | 08/09/2024 | Monthly | — | (61,503 | ) | (61,503 | ) | |||||||||||||||||||||
| 1 Month Federal Funds Rate plus 0.06% |
Total Return on MSCI World Daily Total Return Net Growth Index |
JPM | USD | 2,766,977 | 12/16/2024 | Monthly | — | (9,175 | ) | (9,175 | ) | |||||||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index |
1 Month Federal Funds Rate minus 0.17% |
JPM | USD | 4,241,249 | 12/16/2024 | Monthly | — | 60,846 | 60,846 | |||||||||||||||||||||||
| 1 Month Federal Funds Rate plus 0.31% |
Total Return on MSCI World Daily Total Return Net Growth Index |
GS | USD | 6,897,481 | 04/30/2025 | Monthly | — | 59,136 | 59,136 | |||||||||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index |
1 Month Federal Funds Rate plus 0.24% |
GS | USD | 4,173,073 | 04/30/2025 | Monthly | — | (22,350 | ) | (22,350 | ) | |||||||||||||||||||||
| 1 Month Federal Funds Rate plus 0.17% |
Total Return on MSCI World Daily Total Return Net Growth Index |
UBSA | USD | 6,468,586 | 05/22/2025 | Monthly | — | 15,602 | 15,602 | |||||||||||||||||||||||
| Total Return on MSCI World Daily Total Return Net Growth Index |
1 Month Federal Funds Rate plus 0.24% |
UBSA | USD | 9,267,923 | 05/22/2025 | Monthly | — | 62,176 | 62,176 | |||||||||||||||||||||||
| Total Return on Equity Basket (l) |
1 Month Federal Funds Rate minus 0.40% |
GS | USD | 15,921,730 | 06/24/2024 | Monthly | — | 490,897 | 490,897 | |||||||||||||||||||||||
| Total Return on Equity Basket (m) |
1 Month Federal Funds Rate minus 0.40% |
MORD | USD | 27,515,732 | 06/18/2024 | Monthly | — | 2,914,423 | 2,914,423 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | — | $ | 3,631,176 | $ | 3,631,176 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
As of May 31, 2024, 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 Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2024 (Unaudited)
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| * | Non-income producing security. |
| (a) | All or a portion of this security is out on loan. |
| (b) | 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. |
| (c) | Investment valued using significant unobservable inputs. |
| (d) | Securities are traded on separate exchanges for the same entity. |
| (e) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs. |
| (f) | The security is restricted as to resale. |
| (g) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
| (h) | Security is in default. |
| (i) | All or a portion of this security or derivative is owned by GMO Implementation SPC Ltd., which is a 100% owned subsidiary of GMO Implementation Fund. |
| (j) | All or a portion of this security is purchased with collateral from securities loaned. |
| (k) | The rate disclosed is the 7 day net yield as of May 31, 2024. |
| (l) | Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets. |
| (m) | The following table represents the individual long and/or short positions within the custom equity basket swap as of May 31, 2024. |
| Shares | Description | % of Equity Basket |
Value ($) | |||||||||||
| (1,284,000 | ) | Air China Ltd. – Class H | 2.8 | % | (684,097 | ) | ||||||||
| (1,234,900 | ) | Airports Of Thailand PC NVDR | 8.9 | % | (2,185,996 | ) | ||||||||
| (244,000 | ) | Alibaba Health Information Technology Ltd. | 0.4 | % | (102,847 | ) | ||||||||
| (1,730,000 | ) | Genscript Biotech Corp. | 9.0 | % | (2,224,250 | ) | ||||||||
| (2,734,500 | ) | Gulf Energy Development PCL NVDR | 12.3 | % | (3,017,458 | ) | ||||||||
| (67,000 | ) | Haidilao International Holding Ltd. | 0.6 | % | (149,518 | ) | ||||||||
| (4,375 | ) | Hanmi Pharm Co. Ltd. | 3.6 | % | (897,276 | ) | ||||||||
| (291,000 | ) | Hapvida Participacoes e Investimentos SA | 0.9 | % | (221,122 | ) | ||||||||
| (179,000 | ) | Innovent Biologics, Inc. | 3.3 | % | (810,132 | ) | ||||||||
| (5,890 | ) | Kakao Corp. | 0.8 | % | (185,587 | ) | ||||||||
| (2,044,000 | ) | Kingdee International Software Group Co. Ltd. | 8.6 | % | (2,104,635 | ) | ||||||||
| (86,432 | ) | Korea Aerospace Industries Ltd. | 13.2 | % | (3,242,284 | ) | ||||||||
| 403,642 | Nokia OYJ | (6.4 | %) | 1,578,804 | ||||||||||
| (434,000 | ) | Nongfu Spring Co. Ltd. – Class H | 9.4 | % | (2,310,866 | ) | ||||||||
| (90,300 | ) | Rede D’Or Sao Luiz SA | 1.9 | % | (472,231 | ) | ||||||||
| (7,167 | ) | Samsung Biologics Co. Ltd. | 15.4 | % | (3,780,919 | ) | ||||||||
| (538,084 | ) | Samsung Heavy Industries Co. Ltd. | 14.6 | % | (3,586,183 | ) | ||||||||
| Shares | Description | % of Equity Basket |
Value ($) | |||||||||||
| (365,250 | ) | Shandong Gold Mining Co. Ltd. – Class H | 3.2 | % | (785,641 | ) | ||||||||
| 73,303 | Stora Enso OYJ – R Shares | (4.4 | %) | 1,073,841 | ||||||||||
| (9,585 | ) | Yuhan Corp. | 1.9 | % | (478,855 | ) | ||||||||
|
|
|
|||||||||||||
| TOTAL COMMON STOCKS | $ | (24,587,252 | ) | |||||||||||
|
|
|
|||||||||||||
The rates shown on variable rate notes are the current interest rates at May 31, 2024, which are subject to change based on the terms of the security.
Portfolio Abbreviations:
ADR - American Depositary Receipt
Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.
GDR - Global Depositary Receipt
JSC - Joint-Stock Company
NVDR - Non-Voting Depositary Receipt
PJSC - Private Joint-Stock Company
QPSC - Qatar Private Stock Company
QSC - Qatari Shareholding Company
REIT - Real Estate Investment Trust
SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)
SOFR - Secured Overnight Financing Rate
Counterparty Abbreviations:
BCLY - Barclays Bank PLC
BOA - Bank of America, N.A.
CITI - Citibank N.A.
DB - Deutsche Bank AG
GS - Goldman Sachs International
JPM - JPMorgan Chase Bank, N.A.
MORD - Morgan Stanley Capital Services LLC
MSCI - Morgan Stanley & Co. International PLC
SSB - State Street Bank and Trust Company
UBSA - UBS AG
Currency Abbreviations:
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
JPY - Japanese Yen
MXN - Mexican Peso
NOK - Norwegian Krone
NZD - New Zealand Dollar
PEN - Peruvian Sol
SEK - Swedish Krona
USD - United States Dollar
ZAR - South African Rand
GMO International Developed Equity Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) |
||||||||
| MUTUAL FUNDS — 99.9% |
| |||||||||
| Affiliated Issuers — 99.9% | ||||||||||
| 362,243 | GMO Emerging Markets ex-China Fund, Class VI | 5,582,154 | ||||||||
| 7,945,715 | GMO International Equity Fund, Class IV | 202,059,538 | ||||||||
| 3,885,854 | GMO International Opportunistic Value Fund, Class IV | 60,463,890 | ||||||||
| 974,308 | GMO-Usonian Japan Value Creation Fund, Class VI | 19,661,530 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $256,694,969) |
287,767,112 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.1% |
| |||||||||
| Money Market Funds — 0.1% |
| |||||||||
| 371,459 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (a) | 371,459 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $371,459) |
371,459 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.0% (Cost $257,066,428) |
288,138,571 | |||||||||
|
|
|
|||||||||
| Other Assets and Liabilities (net) — (0.0%) | (118,120 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $288,020,451 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| (a) | The rate disclosed is the 7 day net yield as of May 31, 2024. |
GMO International Equity Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) |
||||||||
| MUTUAL FUNDS — 99.9% |
| |||||||||
| Affiliated Issuers — 99.9% | ||||||||||
| 587,052 | GMO Emerging Markets ex-China Fund, Class VI | 9,046,478 | ||||||||
| 3,458,193 | GMO Emerging Markets Fund, Class VI | 84,864,051 | ||||||||
| 5,780,469 | GMO International Equity Fund, Class IV | 146,997,324 | ||||||||
| 3,024,215 | GMO International Opportunistic Value Fund, Class IV | 47,056,784 | ||||||||
| 1,058,857 | GMO-Usonian Japan Value Creation Fund, Class VI | 21,367,726 | ||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $314,578,492) |
309,332,363 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.1% |
| |||||||||
| Money Market Funds — 0.1% |
| |||||||||
| 265,893 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (a) | 265,893 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $265,893) |
265,893 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.0% (Cost $314,844,385) |
309,598,256 | |||||||||
|
|
|
|||||||||
| Other Assets and Liabilities (net) — (0.0%) | (63,717 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $309,534,539 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| (a) | The rate disclosed is the 7 day net yield as of May 31, 2024. |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) |
||||||||
| COMMON STOCKS — 21.9% |
| |||||||||
| Australia — 0.5% | ||||||||||
| 6,380 | BHP Group Ltd. (a) | 189,884 | ||||||||
| 16,457 | BlueScope Steel Ltd. (a) | 232,239 | ||||||||
| 22,207 | Brambles Ltd. (a) | 211,089 | ||||||||
| 44,850 | GPT Group – (REIT) (a) | 125,818 | ||||||||
| 83,063 | Mirvac Group – (REIT) (a) | 109,094 | ||||||||
| 44,089 | Scentre Group – (REIT) (a) | 93,033 | ||||||||
| 34,686 | Stockland – (REIT) (a) | 104,519 | ||||||||
|
|
|
|||||||||
| Total Australia | 1,065,676 | |||||||||
|
|
|
|||||||||
| Belgium — 0.3% | ||||||||||
| 5,649 | Ageas SA (a) | 281,816 | ||||||||
| 800 | Groupe Bruxelles Lambert NV (a) | 61,349 | ||||||||
| 2,245 | UCB SA (a) | 314,907 | ||||||||
|
|
|
|||||||||
| Total Belgium | 658,072 | |||||||||
|
|
|
|||||||||
| Brazil — 0.1% | ||||||||||
| 3,288 | Petroleo Brasileiro SA Sponsored ADR (a) | 51,128 | ||||||||
| 2,430 | Vale SA Sponsored ADR (a) | 29,281 | ||||||||
| 847 | Vale SA | 10,195 | ||||||||
|
|
|
|||||||||
| Total Brazil | 90,604 | |||||||||
|
|
|
|||||||||
| Canada — 1.0% | ||||||||||
| 3,100 | Alimentation Couche-Tard, Inc. (a) | 180,935 | ||||||||
| 885 | Brookfield Asset Management Ltd. – Class A (b) | 34,727 | ||||||||
| 4,574 | Brookfield Corp. – Class A (a) | 198,923 | ||||||||
| 2,400 | Canadian Tire Corp. Ltd. – Class A (a) | 239,551 | ||||||||
| 300 | CGI, Inc. * (a) | 29,625 | ||||||||
| 1,200 | iA Financial Corp., Inc. (a) | 78,130 | ||||||||
| 1,500 | Magna International, Inc. (a) | 67,860 | ||||||||
| 7,100 | Manulife Financial Corp. (a) (c) | 184,409 | ||||||||
| 6,323 | Manulife Financial Corp. (a) (c) | 164,145 | ||||||||
| 1,777 | Nutrien Ltd. (a) (c) | 104,150 | ||||||||
| 1,300 | Nutrien Ltd. (a) (c) | 76,181 | ||||||||
| 1,600 | Onex Corp. (a) | 113,425 | ||||||||
| 1,400 | Power Corp. of Canada (a) | 40,646 | ||||||||
| 7,300 | Quebecor, Inc. – Class B (a) | 153,986 | ||||||||
| 3,200 | West Fraser Timber Co. Ltd. (a) (c) | 255,986 | ||||||||
| 400 | West Fraser Timber Co. Ltd. (a) (c) | 32,004 | ||||||||
|
|
|
|||||||||
| Total Canada | 1,954,683 | |||||||||
|
|
|
|||||||||
| China — 0.4% | ||||||||||
| 78,000 | Bank of Communications Co. Ltd. – Class H | 58,871 | ||||||||
| 13,000 | Beijing Enterprises Holdings Ltd. | 45,825 | ||||||||
| 387,000 | China Construction Bank Corp. – Class H | 274,663 | ||||||||
| 152,000 | China Railway Group Ltd. – Class H | 81,901 | ||||||||
| 286,000 | China Zhongwang Holdings Ltd. (d) | — | ||||||||
| 110,000 | CITIC Ltd. | 111,556 | ||||||||
| 26,000 | COSCO Shipping Holdings Co. Ltd. – Class H | 43,538 | ||||||||
| Shares |
Description | Value ($) |
||||||||
| China — continued | ||||||||||
| 60,000 | Dongfeng Motor Group Co. Ltd. – Class H | 19,463 | ||||||||
| 9,000 | Kingboard Holdings Ltd. | 21,896 | ||||||||
| 4,500 | Orient Overseas International Ltd. (a) | 76,430 | ||||||||
| 9,900 | Shanghai Pharmaceuticals Holding Co. Ltd. – Class H | 14,698 | ||||||||
| 8,000 | Sinopharm Group Co. Ltd. – Class H | 21,771 | ||||||||
|
|
|
|||||||||
| Total China | 770,612 | |||||||||
|
|
|
|||||||||
| Denmark — 0.6% | ||||||||||
| 66 | AP Moller - Maersk AS – Class A (a) | 115,815 | ||||||||
| 131 | AP Moller - Maersk AS – Class B (a) | 238,181 | ||||||||
| 10,897 | Danske Bank AS (a) | 334,992 | ||||||||
| 788 | Genmab AS * (a) | 222,420 | ||||||||
| 73 | Pandora AS (a) | 11,991 | ||||||||
| 475 | ROCKWOOL AS – B Shares (a) | 199,852 | ||||||||
|
|
|
|||||||||
| Total Denmark | 1,123,251 | |||||||||
|
|
|
|||||||||
| Finland — 0.3% | ||||||||||
| 4,263 | Neste OYJ (a) | 89,499 | ||||||||
| 86,641 | Nokia OYJ (a) | 338,887 | ||||||||
| 5,030 | Stora Enso OYJ – R Shares (a) | 73,686 | ||||||||
|
|
|
|||||||||
| Total Finland | 502,072 | |||||||||
|
|
|
|||||||||
| France — 0.8% | ||||||||||
| 9,781 | ArcelorMittal SA | 258,048 | ||||||||
| 318 | Cie de Saint-Gobain SA (a) | 28,077 | ||||||||
| 174 | LVMH Moet Hennessy Louis Vuitton SE (a) | 139,155 | ||||||||
| 5,800 | Renault SA (a) | 340,693 | ||||||||
| 1,209 | Safran SA (a) | 283,154 | ||||||||
| 10,582 | Societe Generale SA (a) | 316,961 | ||||||||
| 4,169 | STMicroelectronics NV—NY Shares | 174,973 | ||||||||
| 11,205 | Vivendi SE (a) | 123,389 | ||||||||
|
|
|
|||||||||
| Total France | 1,664,450 | |||||||||
|
|
|
|||||||||
| Germany — 0.3% | ||||||||||
| 1,156 | Beiersdorf AG (a) | 181,234 | ||||||||
| 1,911 | Continental AG (a) | 130,243 | ||||||||
| 859 | Daimler Truck Holding AG (a) | 36,754 | ||||||||
| 2,034 | Mercedes-Benz Group AG (a) | 147,622 | ||||||||
| 216 | Siemens AG (Registered) (a) | 41,632 | ||||||||
|
|
|
|||||||||
| Total Germany | 537,485 | |||||||||
|
|
|
|||||||||
| Hong Kong — 0.0% | ||||||||||
| 16,386 | Galaxy Entertainment Group Ltd. | 78,951 | ||||||||
|
|
|
|||||||||
| Ireland — 0.1% | ||||||||||
| 1,781 | Ryanair Holdings PLC Sponsored ADR (a) | 216,641 | ||||||||
|
|
|
|||||||||
| Israel — 0.3% | ||||||||||
| 2,589 | Bank Leumi Le-Israel BM | 21,540 | ||||||||
| 1,075 | Check Point Software Technologies Ltd. * (b) | 161,788 | ||||||||
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) |
||||||||
| Israel — continued | ||||||||||
| 17,763 | Teva Pharmaceutical Industries Ltd. Sponsored ADR * (a) | 300,728 | ||||||||
| 5,573 | Teva Pharmaceutical Industries Ltd. * | 93,836 | ||||||||
|
|
|
|||||||||
| Total Israel | 577,892 | |||||||||
|
|
|
|||||||||
| Italy — 0.3% | ||||||||||
| 5,943 | Leonardo SpA * (a) | 152,865 | ||||||||
| 12,604 | Stellantis NV (a) | 279,255 | ||||||||
| 751,056 | Telecom Italia SpA * (a) | 197,982 | ||||||||
|
|
|
|||||||||
| Total Italy | 630,102 | |||||||||
|
|
|
|||||||||
| Japan — 1.7% | ||||||||||
| 8,200 | Chubu Electric Power Co., Inc. (a) | 113,289 | ||||||||
| 26,500 | Honda Motor Co. Ltd. (a) | 300,078 | ||||||||
| 18,800 | Inpex Corp. (a) | 290,079 | ||||||||
| 6,800 | ITOCHU Corp. (a) | 321,005 | ||||||||
| 2,300 | Kansai Electric Power Co., Inc. (a) | 41,624 | ||||||||
| 4,500 | Kawasaki Kisen Kaisha Ltd. (a) | 66,880 | ||||||||
| 7,600 | Mitsui OSK Lines Ltd. (a) | 250,514 | ||||||||
| 8,100 | Nippon Yusen KK (a) | 256,812 | ||||||||
| 20,900 | Panasonic Holdings Corp. (a) | 184,606 | ||||||||
| 6,600 | Renesas Electronics Corp. (a) | 121,616 | ||||||||
| 11,100 | Sekisui House Ltd. (a) | 249,945 | ||||||||
| 2,800 | Shionogi & Co. Ltd. (a) | 126,149 | ||||||||
| 7,900 | Subaru Corp. (a) | 176,602 | ||||||||
| 11,300 | Sumitomo Corp. (a) | 294,054 | ||||||||
| 2,700 | TDK Corp. (a) | 135,609 | ||||||||
| 48,400 | Tokyo Electric Power Co. Holdings, Inc. * (a) | 290,568 | ||||||||
| 800 | Toyota Tsusho Corp. (a) | 48,855 | ||||||||
| 17,400 | Yamaha Motor Co. Ltd. (a) | 170,376 | ||||||||
|
|
|
|||||||||
| Total Japan | 3,438,661 | |||||||||
|
|
|
|||||||||
| Mexico — 0.2% | ||||||||||
| 20,301 | Fomento Economico Mexicano SAB de CV | 232,571 | ||||||||
| 38,446 | Grupo Mexico SAB de CV – Series B | 237,204 | ||||||||
|
|
|
|||||||||
| Total Mexico | 469,775 | |||||||||
|
|
|
|||||||||
| Netherlands — 0.7% | ||||||||||
| 5,172 | Aegon Ltd. (a) | 33,547 | ||||||||
| 2,845 | EXOR NV (a) | 319,495 | ||||||||
| 243 | IMCD NV (a) | 37,083 | ||||||||
| 19,383 | ING Groep NV (a) | 346,284 | ||||||||
| 9,307 | Koninklijke Ahold Delhaize NV (a) | 288,638 | ||||||||
| 11,918 | Koninklijke Philips NV * (a) | 325,538 | ||||||||
| 1,914 | NN Group NV (a) | 89,306 | ||||||||
|
|
|
|||||||||
| Total Netherlands | 1,439,891 | |||||||||
|
|
|
|||||||||
| New Zealand — 0.0% | ||||||||||
| 12,318 | Meridian Energy Ltd. (a) | 51,250 | ||||||||
|
|
|
|||||||||
| Norway — 0.1% | ||||||||||
| 9,557 | Equinor ASA (a) | 277,418 | ||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) |
||||||||
| Poland — 0.1% | ||||||||||
| 15,981 | ORLEN SA | 258,868 | ||||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| 2,505 | LUKOIL PJSC (d) | 2,036 | ||||||||
| 5,410 | Novatek PJSC (d) | 647 | ||||||||
|
|
|
|||||||||
| Total Russia | 2,683 | |||||||||
|
|
|
|||||||||
| South Africa — 0.1% | ||||||||||
| 7,025 | Bidvest Group Ltd. | 91,847 | ||||||||
|
|
|
|||||||||
| South Korea — 0.6% | ||||||||||
| 900 | Hyundai Engineering & Construction Co. Ltd. | 21,596 | ||||||||
| 322 | Hyundai Mobis Co. Ltd. | 50,205 | ||||||||
| 911 | Hyundai Motor Co. | 167,172 | ||||||||
| 3,438 | Kia Corp. | 293,455 | ||||||||
| 1,657 | KT Corp. Sponsored ADR (a) | 22,403 | ||||||||
| 1,631 | LG Corp. | 95,967 | ||||||||
| 3,612 | LG Electronics, Inc. | 274,742 | ||||||||
| 160 | NAVER Corp. | 19,808 | ||||||||
| 76 | POSCO Holdings, Inc. | 20,381 | ||||||||
| 2,400 | POSCO Holdings, Inc. Sponsored ADR (a) | 161,784 | ||||||||
| 698 | Shinhan Financial Group Co. Ltd. | 23,946 | ||||||||
|
|
|
|||||||||
| Total South Korea | 1,151,459 | |||||||||
|
|
|
|||||||||
| Spain — 0.6% | ||||||||||
| 2,968 | Amadeus IT Group SA (a) | 211,863 | ||||||||
| 30,299 | Banco Bilbao Vizcaya Argentaria SA (a) | 328,785 | ||||||||
| 69,531 | Banco Santander SA (a) | 366,689 | ||||||||
| 5,268 | Industria de Diseno Textil SA (a) | 250,502 | ||||||||
|
|
|
|||||||||
| Total Spain | 1,157,839 | |||||||||
|
|
|
|||||||||
| Sweden — 0.3% | ||||||||||
| 29,827 | Fastighets AB Balder – B Shares * (a) | 201,951 | ||||||||
| 12,467 | Investor AB – B Shares (a) | 338,297 | ||||||||
| 5,437 | Skanska AB – B Shares (a) | 96,033 | ||||||||
| 6,618 | Volvo Car AB – Class B * (a) | 22,288 | ||||||||
|
|
|
|||||||||
| Total Sweden | 658,569 | |||||||||
|
|
|
|||||||||
| Switzerland — 0.3% | ||||||||||
| 6,504 | Adecco Group AG (Registered) (a) | 246,832 | ||||||||
| 53 | Roche Holding AG (a) | 14,833 | ||||||||
| 1,146 | Roche Holding AG – Genusschein (a) | 292,593 | ||||||||
|
|
|
|||||||||
| Total Switzerland | 554,258 | |||||||||
|
|
|
|||||||||
| Thailand — 0.2% | ||||||||||
| 55,000 | Kasikornbank PCL NVDR | 196,150 | ||||||||
| 379,800 | Krung Thai Bank PCL NVDR | 177,784 | ||||||||
| 4,800 | PTT Exploration & Production PCL NVDR | 20,184 | ||||||||
| 6,600 | SCB X PCL NVDR | 19,057 | ||||||||
| 13,100 | Thai Oil PCL NVDR | 18,495 | ||||||||
|
|
|
|||||||||
| Total Thailand | 431,670 | |||||||||
|
|
|
|||||||||
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) |
||||||||
| Turkey — 0.2% | ||||||||||
| 15,648 | Akbank TAS | 32,076 | ||||||||
| 13,775 | KOC Holding AS | 101,793 | ||||||||
| 3,234 | Turk Hava Yollari AO * | 30,413 | ||||||||
| 219,644 | Yapi ve Kredi Bankasi AS | 220,415 | ||||||||
|
|
|
|||||||||
| Total Turkey | 384,697 | |||||||||
|
|
|
|||||||||
| United Kingdom — 1.3% | ||||||||||
| 8,754 | 3i Group PLC (a) | 322,558 | ||||||||
| 5,374 | Berkeley Group Holdings PLC (a) | 362,640 | ||||||||
| 190,514 | BT Group PLC (a) | 318,965 | ||||||||
| 3,858 | Coca-Cola HBC AG (a) | 130,923 | ||||||||
| 8,624 | Compass Group PLC (a) | 242,129 | ||||||||
| 602 | GSK PLC Sponsored ADR (b) | 26,952 | ||||||||
| 3,927 | Howden Joinery Group PLC (a) | 45,800 | ||||||||
| 63,471 | Kingfisher PLC (a) | 214,875 | ||||||||
| 5,803 | Persimmon PLC (a) | 108,413 | ||||||||
| 5,439 | Shell PLC (a) | 196,319 | ||||||||
| 450 | Shell PLC ADR (a) | 32,751 | ||||||||
| 72,474 | Taylor Wimpey PLC (a) | 137,209 | ||||||||
| 2,949 | Unilever PLC Sponsored ADR (a) | 161,458 | ||||||||
| 30,786 | Vodafone Group PLC Sponsored ADR (a) | 296,161 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 2,597,153 | |||||||||
|
|
|
|||||||||
| United States — 10.5% | ||||||||||
| 3,136 | 3M Co. (b) | 314,039 | ||||||||
| 2,132 | Akamai Technologies, Inc. * (b) | 196,656 | ||||||||
| 7,426 | Ally Financial, Inc. (a) | 289,391 | ||||||||
| 1,704 | Alphabet, Inc. – Class A * (a) | 293,940 | ||||||||
| 756 | Alphabet, Inc. – Class C * (a) | 131,514 | ||||||||
| 1,274 | Amazon.com, Inc. * (a) | 224,785 | ||||||||
| 1,175 | American Express Co. (a) | 282,000 | ||||||||
| 953 | Arch Capital Group Ltd. * (b) | 97,806 | ||||||||
| 959 | Archer-Daniels-Midland Co. (b) | 59,880 | ||||||||
| 333 | Aspen Technology, Inc. * (b) | 70,146 | ||||||||
| 934 | Bank of America Corp. (a) | 37,351 | ||||||||
| 628 | Best Buy Co., Inc. (b) | 53,267 | ||||||||
| 816 | Bio-Rad Laboratories, Inc. – Class A * (b) | 234,078 | ||||||||
| 70 | Booking Holdings, Inc. (a) | 264,345 | ||||||||
| 11,256 | BorgWarner, Inc. (a) | 401,389 | ||||||||
| 1,633 | Builders FirstSource, Inc. * (b) | 262,570 | ||||||||
| 2,275 | Capital One Financial Corp. (a) | 313,108 | ||||||||
| 1,768 | CarMax, Inc. * (b) | 124,220 | ||||||||
| 964 | CBRE Group, Inc. – Class A * (a) | 84,899 | ||||||||
| 3,538 | Centene Corp. * (b) | 253,285 | ||||||||
| 906 | Chevron Corp. (a) | 147,044 | ||||||||
| 5,702 | Cisco Systems, Inc. (a) (b) | 265,143 | ||||||||
| 5,210 | Citigroup, Inc. (a) | 324,635 | ||||||||
| 14,548 | Cleveland-Cliffs, Inc. * (a) | 251,389 | ||||||||
| 4,300 | Cognizant Technology Solutions Corp. – Class A (a) | 284,445 | ||||||||
| 7,000 | Comcast Corp. – Class A (a) | 280,210 | ||||||||
| 702 | Corebridge Financial, Inc. (b) | 20,477 | ||||||||
| 131 | Cummins, Inc. (b) | 36,907 | ||||||||
| Shares |
Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| 4,872 | CVS Health Corp. (a) | 290,371 | ||||||||
| 3,297 | Darling Ingredients, Inc. * (b) | 133,199 | ||||||||
| 2,521 | Discover Financial Services (a) | 309,226 | ||||||||
| 1,234 | DR Horton, Inc. (b) | 182,385 | ||||||||
| 2,802 | Dropbox, Inc. – Class A * (b) | 63,129 | ||||||||
| 5,900 | eBay, Inc. (a) | 319,898 | ||||||||
| 259 | Enphase Energy, Inc. * (b) | 33,126 | ||||||||
| 1,645 | EOG Resources, Inc. (b) | 204,885 | ||||||||
| 86 | EPAM Systems, Inc. * (a) | 15,302 | ||||||||
| 3,449 | Etsy, Inc. * (b) | 218,908 | ||||||||
| 86 | Everest Group Ltd. (a) | 33,620 | ||||||||
| 2,149 | Expedia Group, Inc. * (a) | 242,536 | ||||||||
| 716 | F5, Inc. * (b) | 120,983 | ||||||||
| 4,540 | Fidelity National Financial, Inc. (b) | 228,634 | ||||||||
| 24,100 | Ford Motor Co. (a) | 292,333 | ||||||||
| 2,645 | Fox Corp. – Class A (b) | 91,067 | ||||||||
| 7,200 | Fox Corp. – Class B (a) | 229,968 | ||||||||
| 9,812 | Franklin Resources, Inc. (b) | 231,563 | ||||||||
| 3,219 | GE HealthCare Technologies, Inc. (a) | 251,082 | ||||||||
| 610 | General Electric Co. (a) | 100,735 | ||||||||
| 7,263 | General Motors Co. (a) | 326,762 | ||||||||
| 1,889 | Green Plains, Inc. * (b) | 32,434 | ||||||||
| 15,218 | Hewlett Packard Enterprise Co. (b) | 268,598 | ||||||||
| 870 | Hilton Worldwide Holdings, Inc. (a) | 174,522 | ||||||||
| 10,191 | HP, Inc. (a) | 371,972 | ||||||||
| 4,644 | Incyte Corp. * (b) | 268,377 | ||||||||
| 8,806 | Intel Corp. (a) | 271,665 | ||||||||
| 1,895 | Intercontinental Exchange, Inc. (b) | 253,741 | ||||||||
| 1,751 | International Business Machines Corp. (a) | 292,154 | ||||||||
| 2,045 | Jazz Pharmaceuticals PLC * (b) | 215,236 | ||||||||
| 346 | Keysight Technologies, Inc. * (b) | 47,914 | ||||||||
| 16,718 | Kinder Morgan, Inc. (a) | 325,834 | ||||||||
| 7,657 | Kraft Heinz Co. (b) | 270,828 | ||||||||
| 1,411 | Kroger Co. (a) | 73,894 | ||||||||
| 218 | Lam Research Corp. (b) | 203,272 | ||||||||
| 3,774 | Las Vegas Sands Corp. (b) | 169,943 | ||||||||
| 214 | Lear Corp. (a) | 26,825 | ||||||||
| 1,247 | Lennar Corp. – Class A (b) | 199,956 | ||||||||
| 124 | Markel Group, Inc. * (a) | 203,557 | ||||||||
| 8,404 | Match Group, Inc. * (b) | 257,415 | ||||||||
| 1,946 | Merck & Co., Inc. (a) | 244,301 | ||||||||
| 1,018 | Meta Platforms, Inc. – Class A (a) | 475,233 | ||||||||
| 2,107 | Micron Technology, Inc. (b) | 263,375 | ||||||||
| 2,165 | Moderna, Inc. * (b) | 308,621 | ||||||||
| 3,051 | Mosaic Co. (a) | 94,367 | ||||||||
| 1,800 | Nucor Corp. (a) | 303,930 | ||||||||
| 3,389 | ON Semiconductor Corp. * (b) | 247,533 | ||||||||
| 1,322 | Otis Worldwide Corp. (b) | 131,142 | ||||||||
| 4,852 | Ovintiv, Inc. (a) | 250,703 | ||||||||
| 2,992 | PACCAR, Inc. (b) | 321,640 | ||||||||
| 23,008 | Paramount Global – Class B (b) | 274,025 | ||||||||
| 4,799 | PayPal Holdings, Inc. * (a) | 302,289 | ||||||||
| 10,984 | Pfizer, Inc. (a) | 314,801 | ||||||||
| 1,712 | PulteGroup, Inc. (a) | 200,852 | ||||||||
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares/ Par Value† |
Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| 886 | QUALCOMM, Inc. (a) | 180,788 | ||||||||
| 353 | Regeneron Pharmaceuticals, Inc. * (a) | 345,997 | ||||||||
| 2,776 | Skyworks Solutions, Inc. (b) | 257,224 | ||||||||
| 1,013 | SolarEdge Technologies, Inc. * (b) | 49,627 | ||||||||
| 784 | Solventum Corp. * (b) | 46,523 | ||||||||
| 369 | SS&C Technologies Holdings, Inc. (a) | 22,896 | ||||||||
| 2,245 | Steel Dynamics, Inc. (b) | 300,538 | ||||||||
| 6,634 | Synchrony Financial (a) | 290,569 | ||||||||
| 875 | TE Connectivity Ltd. (a) | 130,988 | ||||||||
| 902 | Texas Instruments, Inc. (b) | 175,899 | ||||||||
| 830 | Textron, Inc. (a) | 72,716 | ||||||||
| 4,211 | Tyson Foods, Inc. – Class A (a) (b) | 241,080 | ||||||||
| 3,495 | U.S. Bancorp (b) | 141,722 | ||||||||
| 129 | United Therapeutics Corp. * (b) | 35,492 | ||||||||
| 334 | Valero Energy Corp. (a) | 52,485 | ||||||||
| 8,234 | Verizon Communications, Inc. (a) | 338,829 | ||||||||
| 24,200 | Viatris, Inc. (b) | 256,520 | ||||||||
| 13,730 | Walgreens Boots Alliance, Inc. (b) | 222,701 | ||||||||
| 4,269 | Wells Fargo & Co. (b) | 255,799 | ||||||||
| 266 | Westlake Corp. (b) | 42,709 | ||||||||
| 4,000 | Zoom Video Communications, Inc. – Class A * (a) (b) | 245,360 | ||||||||
|
|
|
|||||||||
| Total United States | 20,886,042 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $38,778,264) |
43,722,571 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (e) — 0.4% | ||||||||||
| Brazil — 0.1% | ||||||||||
| 19,936 | Bradespar SA | 72,897 | ||||||||
| 1,278 | Petroleo Brasileiro SA ADR (a) | 18,927 | ||||||||
|
|
|
|||||||||
| Total Brazil | 91,824 | |||||||||
|
|
|
|||||||||
| Germany — 0.3% | ||||||||||
| 1,287 | Bayerische Motoren Werke AG (a) | 124,421 | ||||||||
| 4,846 | Porsche Automobil Holding SE (a) | 267,395 | ||||||||
| 2,178 | Volkswagen AG (a) | 273,690 | ||||||||
|
|
|
|||||||||
| Total Germany | 665,506 | |||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $715,139) |
757,330 | |||||||||
|
|
|
|||||||||
| DEBT OBLIGATIONS — 0.7% | ||||||||||
| United States — 0.7% | ||||||||||
| U.S. Government — 0.7% | ||||||||||
| 1,350,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.20%, 5.53%, due 01/31/25 (a) | 1,351,472 | ||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $1,350,342) |
1,351,472 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) |
||||||||
| MUTUAL FUNDS — 81.0% | ||||||||||
| United States — 81.0% | ||||||||||
| Affiliated Issuers — 81.0% | ||||||||||
| 666,357 | GMO Asset Allocation Bond Fund, Class VI | 12,407,576 | ||||||||
| 110,054 | GMO Climate Change Fund, Class III | 2,610,489 | ||||||||
| 379,045 | GMO Emerging Country Debt Fund, Class VI | 7,440,646 | ||||||||
| 296,216 | GMO Emerging Markets ex-China Fund, Class VI | 4,564,681 | ||||||||
| 466,049 | GMO Emerging Markets Fund, Class VI | 11,436,854 | ||||||||
| 1,404,613 | GMO International Equity Fund, Class IV | 35,719,314 | ||||||||
| 1,067,569 | GMO International Opportunistic Value Fund, Class IV | 16,611,367 | ||||||||
| 727,587 | GMO-Usonian Japan Value Creation Fund, Class VI | 14,682,707 | ||||||||
| 411,928 | GMO Multi-Sector Fixed Income Fund, Class IV | 7,113,995 | ||||||||
| 224,422 | GMO Quality Fund, Class VI | 7,118,666 | ||||||||
| 221,553 | GMO Resources Fund, Class VI | 5,080,217 | ||||||||
| 301,211 | GMO Small Cap Quality Fund, Class VI | 7,439,920 | ||||||||
| 654,883 | GMO U.S. Equity Fund, Class VI | 9,430,308 | ||||||||
| 715,696 | GMO U.S. Opportunistic Value Fund, Class VI | 16,554,042 | ||||||||
| 665,161 | GMO U.S. Treasury Fund | 3,325,804 | ||||||||
|
|
|
|||||||||
| Total Affiliated Issuers | 161,536,586 | |||||||||
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS (COST $147,901,356) |
161,536,586 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 12.6% | ||||||||||
| Money Market Funds — 1.0% | ||||||||||
| 2,044,715 | State Street Institutional Treasury Money Market Fund – Premier Class, 5.24% (f) | 2,044,715 | ||||||||
|
|
|
|||||||||
| Repurchase Agreements — 11.6% | ||||||||||
| 22,999,865 | Nomura Securities International, Inc. Repurchase Agreement, dated 05/31/24, maturing on 06/03/24 with a maturity value of $23,010,042 and an effective yield of 5.31%, collateralized by a U.S. Treasury Note with maturity date 11/30/28 and a market value of $23,540,496. | 22,999,865 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $25,044,580) |
25,044,580 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 116.6% (Cost $213,789,681) |
232,412,539 | |||||||||
|
|
|
|||||||||
| SECURITIES SOLD SHORT — (16.9)% | ||||||||||
| Common Stocks — (16.8)% | ||||||||||
| Australia — (0.7)% | ||||||||||
| (4,131 | ) | ASX Ltd. | (172,026 | ) | ||||||
| (2,812 | ) | CAR Group Ltd. | (65,662 | ) | ||||||
| (1,035 | ) | Cochlear Ltd. | (223,034 | ) | ||||||
| (11,051 | ) | IDP Education Ltd. | (118,247 | ) | ||||||
| (28,726 | ) | Lottery Corp. Ltd. | (93,544 | ) | ||||||
| (3,990 | ) | Ramsay Health Care Ltd. | (125,568 | ) | ||||||
| (3,412 | ) | WiseTech Global Ltd. | (221,761 | ) | ||||||
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) |
||||||||
| Australia — continued | ||||||||||
| (3,637 | ) | Xero Ltd. * | (330,219 | ) | ||||||
|
|
|
|||||||||
| Total Australia | (1,350,061 | ) | ||||||||
|
|
|
|||||||||
| Austria — (0.1)% | ||||||||||
| (1,660 | ) | Verbund AG | (136,298 | ) | ||||||
|
|
|
|||||||||
| Belgium — (0.2)% | ||||||||||
| (4,330 | ) | Anheuser-Busch InBev SA | (273,186 | ) | ||||||
| (5 | ) | Lotus Bakeries NV | (53,055 | ) | ||||||
|
|
|
|||||||||
| Total Belgium | (326,241 | ) | ||||||||
|
|
|
|||||||||
| Canada — (1.2)% | ||||||||||
| (1,133 | ) | Agnico Eagle Mines Ltd. | (77,282 | ) | ||||||
| (12,100 | ) | AltaGas Ltd. | (272,992 | ) | ||||||
| (4,733 | ) | Brookfield Renewable Corp. – Class A | (149,279 | ) | ||||||
| (6,027 | ) | Cameco Corp. | (334,559 | ) | ||||||
| (8,205 | ) | Enbridge, Inc. | (300,139 | ) | ||||||
| (2,423 | ) | Franco-Nevada Corp. | (299,967 | ) | ||||||
| (7,433 | ) | GFL Environmental, Inc. | (233,917 | ) | ||||||
| (4,298 | ) | Pan American Silver Corp. | (94,556 | ) | ||||||
| (8,100 | ) | Pembina Pipeline Corp. | (300,753 | ) | ||||||
| (4,000 | ) | Restaurant Brands International, Inc. | (274,320 | ) | ||||||
|
|
|
|||||||||
| Total Canada | (2,337,764 | ) | ||||||||
|
|
|
|||||||||
| China — (0.0)% | ||||||||||
| (723 | ) | Yum China Holdings, Inc. | (25,855 | ) | ||||||
|
|
|
|||||||||
| Denmark — (0.1)% | ||||||||||
| (1,806 | ) | Coloplast AS – Class B | (217,220 | ) | ||||||
| (270 | ) | Novo Nordisk AS – Class B | (36,582 | ) | ||||||
|
|
|
|||||||||
| Total Denmark | (253,802 | ) | ||||||||
|
|
|
|||||||||
| Finland — (0.0)% | ||||||||||
| (938 | ) | Elisa OYJ | (43,707 | ) | ||||||
|
|
|
|||||||||
| France — (0.5)% | ||||||||||
| (5,908 | ) | Accor SA * | (257,745 | ) | ||||||
| (1,525 | ) | Aeroports de Paris SA | (218,526 | ) | ||||||
| (13,476 | ) | Getlink SE | (237,481 | ) | ||||||
| (136 | ) | Hermes International SCA | (322,812 | ) | ||||||
| (185 | ) | Sartorius Stedim Biotech | (36,853 | ) | ||||||
|
|
|
|||||||||
| Total France | (1,073,417 | ) | ||||||||
|
|
|
|||||||||
| Germany — (0.8)% | ||||||||||
| (1,294 | ) | adidas AG | (327,732 | ) | ||||||
| (544 | ) | Covestro AG * | (29,310 | ) | ||||||
| (8,976 | ) | Delivery Hero SE * | (274,952 | ) | ||||||
| (1,219 | ) | MTU Aero Engines AG | (304,504 | ) | ||||||
| (184 | ) | Rational AG | (157,019 | ) | ||||||
| (4,145 | ) | Siemens Energy AG * | (112,874 | ) | ||||||
| (2,301 | ) | Symrise AG | (274,856 | ) | ||||||
| (1,255 | ) | Talanx AG | (100,107 | ) | ||||||
| Shares |
Description | Value ($) |
||||||||
| Germany — continued | ||||||||||
| (1,286 | ) | Zalando SE * | (34,155 | ) | ||||||
|
|
|
|||||||||
| Total Germany | (1,615,509 | ) | ||||||||
|
|
|
|||||||||
| Israel — (0.2)% | ||||||||||
| (1,183 | ) | CyberArk Software Ltd. * | (271,203 | ) | ||||||
| (118 | ) | Monday.com Ltd. * | (26,657 | ) | ||||||
|
|
|
|||||||||
| Total Israel | (297,860 | ) | ||||||||
|
|
|
|||||||||
| Italy — (0.6)% | ||||||||||
| (7,509 | ) | Amplifon SpA | (277,556 | ) | ||||||
| (739 | ) | Ferrari NV (c) | (304,529 | ) | ||||||
| (42 | ) | Ferrari NV (c) | (17,262 | ) | ||||||
| (17,820 | ) | FinecoBank Banca Fineco SpA | (289,014 | ) | ||||||
| (19,965 | ) | Infrastrutture Wireless Italiane SpA | (218,894 | ) | ||||||
|
|
|
|||||||||
| Total Italy | (1,107,255 | ) | ||||||||
|
|
|
|||||||||
| Japan — (1.5)% | ||||||||||
| (12,300 | ) | Aeon Co. Ltd. | (265,300 | ) | ||||||
| (3,900 | ) | Asahi Intecc Co. Ltd. | (56,358 | ) | ||||||
| (800 | ) | Disco Corp. | (314,687 | ) | ||||||
| (1,200 | ) | East Japan Railway Co. | (20,810 | ) | ||||||
| (9,600 | ) | Japan Exchange Group, Inc. | (225,648 | ) | ||||||
| (2,100 | ) | Keisei Electric Railway Co. Ltd. | (75,425 | ) | ||||||
| (4,100 | ) | Kintetsu Group Holdings Co. Ltd. | (87,167 | ) | ||||||
| (5,500 | ) | Kobe Bussan Co. Ltd. | (121,652 | ) | ||||||
| (1,200 | ) | Lasertec Corp. | (308,539 | ) | ||||||
| (500 | ) | McDonald’s Holdings Co. Japan Ltd. | (20,481 | ) | ||||||
| (13,300 | ) | MonotaRO Co. Ltd. | (140,494 | ) | ||||||
| (1,700 | ) | Odakyu Electric Railway Co. Ltd. | (17,816 | ) | ||||||
| (8,500 | ) | Oriental Land Co. Ltd. | (237,632 | ) | ||||||
| (54,300 | ) | Rakuten Group, Inc. * | (282,421 | ) | ||||||
| (3,200 | ) | Shiseido Co. Ltd. | (101,559 | ) | ||||||
| (23,900 | ) | SoftBank Corp. | (286,566 | ) | ||||||
| (2,200 | ) | SoftBank Group Corp. | (127,308 | ) | ||||||
| (3,400 | ) | Tobu Railway Co. Ltd. | (60,089 | ) | ||||||
| (10,800 | ) | Tokyu Corp. | (126,003 | ) | ||||||
| (1,800 | ) | West Japan Railway Co. | (35,911 | ) | ||||||
| (1,300 | ) | Zensho Holdings Co. Ltd. | (51,186 | ) | ||||||
|
|
|
|||||||||
| Total Japan | (2,963,052 | ) | ||||||||
|
|
|
|||||||||
| Netherlands — (0.5)% | ||||||||||
| (206 | ) | Adyen NV * | (267,137 | ) | ||||||
| (1,669 | ) | BE Semiconductor Industries NV | (248,294 | ) | ||||||
| (4,475 | ) | OCI NV | (122,731 | ) | ||||||
| (9,745 | ) | Universal Music Group NV | (303,690 | ) | ||||||
|
|
|
|||||||||
| Total Netherlands | (941,852 | ) | ||||||||
|
|
|
|||||||||
| Peru — (0.1)% | ||||||||||
| (2,478 | ) | Southern Copper Corp. | (294,023 | ) | ||||||
|
|
|
|||||||||
| Singapore — (0.2)% | ||||||||||
| (71,141 | ) | Grab Holdings Ltd. – Class A * | (261,087 | ) | ||||||
| (137,670 | ) | Seatrium Ltd. * | (179,701 | ) | ||||||
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) |
||||||||
| Singapore — continued | ||||||||||
| (4,300 | ) | Singapore Airlines Ltd. | (21,593 | ) | ||||||
|
|
|
|||||||||
| Total Singapore | (462,381 | ) | ||||||||
|
|
|
|||||||||
| Spain — (0.3)% | ||||||||||
| (7,689 | ) | Cellnex Telecom SA * | (280,879 | ) | ||||||
| (8,429 | ) | Ferrovial SE | (333,120 | ) | ||||||
|
|
|
|||||||||
| Total Spain | (613,999 | ) | ||||||||
|
|
|
|||||||||
| Sweden — (0.2)% | ||||||||||
| (9,392 | ) | Beijer Ref AB | (153,745 | ) | ||||||
| (8,370 | ) | EQT AB | (256,388 | ) | ||||||
| (13 | ) | Evolution AB | (1,402 | ) | ||||||
| (4,063 | ) | H & M Hennes & Mauritz AB – Class B | (71,843 | ) | ||||||
|
|
|
|||||||||
| Total Sweden | (483,378 | ) | ||||||||
|
|
|
|||||||||
| Switzerland — (0.1)% | ||||||||||
| (1,244 | ) | Avolta AG | (50,511 | ) | ||||||
| (92 | ) | Partners Group Holding AG | (123,816 | ) | ||||||
| (2,044 | ) | SIG Group AG | (42,572 | ) | ||||||
| (103 | ) | VAT Group AG | (56,484 | ) | ||||||
|
|
|
|||||||||
| Total Switzerland | (273,383 | ) | ||||||||
|
|
|
|||||||||
| United Kingdom — (1.3)% | ||||||||||
| (2,205 | ) | Admiral Group PLC | (76,502 | ) | ||||||
| (25,277 | ) | Auto Trader Group PLC | (265,901 | ) | ||||||
| (1,351 | ) | Flutter Entertainment PLC * | (259,979 | ) | ||||||
| (11,049 | ) | Hargreaves Lansdown PLC | (149,996 | ) | ||||||
| (28,999 | ) | Informa PLC | (315,626 | ) | ||||||
| (2,664 | ) | InterContinental Hotels Group PLC | (270,526 | ) | ||||||
| (2,750 | ) | London Stock Exchange Group PLC | (322,345 | ) | ||||||
| (29,572 | ) | M&G PLC | (75,608 | ) | ||||||
| (19,795 | ) | Phoenix Group Holdings PLC | (125,959 | ) | ||||||
| (53,494 | ) | Rolls-Royce Holdings PLC * | (312,451 | ) | ||||||
| (3,752 | ) | Severn Trent PLC | (114,649 | ) | ||||||
| (605 | ) | Spirax-Sarco Engineering PLC | (69,181 | ) | ||||||
| (15,583 | ) | Wise PLC – Class A * | (163,747 | ) | ||||||
|
|
|
|||||||||
| Total United Kingdom | (2,522,470 | ) | ||||||||
|
|
|
|||||||||
| United States — (8.2)% | ||||||||||
| (1,118 | ) | AbbVie, Inc. | (180,266 | ) | ||||||
| (188 | ) | AECOM | (16,420 | ) | ||||||
| (16,076 | ) | AES Corp. | (347,081 | ) | ||||||
| (1,738 | ) | Alnylam Pharmaceuticals, Inc. * | (257,971 | ) | ||||||
| (696 | ) | American Tower Corp. – (REIT) | (136,235 | ) | ||||||
| (1,054 | ) | Amgen, Inc. | (322,366 | ) | ||||||
| (326 | ) | Analog Devices, Inc. | (76,444 | ) | ||||||
| (1,217 | ) | Arthur J Gallagher & Co. | (308,303 | ) | ||||||
| (1,015 | ) | Axon Enterprise, Inc. * | (285,895 | ) | ||||||
| (1,205 | ) | Bill Holdings, Inc. * | (62,720 | ) | ||||||
| (1,625 | ) | Boeing Co. * | (288,616 | ) | ||||||
| (250 | ) | Broadcom, Inc. | (332,137 | ) | ||||||
| (1,341 | ) | Burlington Stores, Inc. * | (321,907 | ) | ||||||
| (6,006 | ) | Caesars Entertainment, Inc. * | (213,573 | ) | ||||||
| Shares |
Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| (3,066 | ) | Celsius Holdings, Inc. * | (245,219 | ) | ||||||
| (101 | ) | Chipotle Mexican Grill, Inc. * | (316,082 | ) | ||||||
| (3,328 | ) | Cloudflare, Inc. – Class A * | (225,272 | ) | ||||||
| (602 | ) | Coinbase Global, Inc. – Class A * | (136,004 | ) | ||||||
| (21 | ) | CoStar Group, Inc. * | (1,642 | ) | ||||||
| (4,078 | ) | Dayforce, Inc. * | (201,698 | ) | ||||||
| (2,510 | ) | Dexcom, Inc. * | (298,113 | ) | ||||||
| (551 | ) | Dominion Energy, Inc. | (29,710 | ) | ||||||
| (7,286 | ) | DraftKings, Inc. – Class A * | (255,957 | ) | ||||||
| (120 | ) | Ecolab, Inc. | (27,864 | ) | ||||||
| (5,918 | ) | EQT Corp. | (243,171 | ) | ||||||
| (1,017 | ) | Equity LifeStyle Properties, Inc. – (REIT) | (63,837 | ) | ||||||
| (417 | ) | Erie Indemnity Co. – Class A | (151,133 | ) | ||||||
| (4,416 | ) | Exact Sciences Corp. * | (200,707 | ) | ||||||
| (246 | ) | Fair Isaac Corp. * | (317,323 | ) | ||||||
| (290 | ) | Fastenal Co. | (19,134 | ) | ||||||
| (4,505 | ) | Fidelity National Information Services, Inc. | (341,839 | ) | ||||||
| (548 | ) | Gartner, Inc. * | (229,979 | ) | ||||||
| (510 | ) | HubSpot, Inc. * | (311,635 | ) | ||||||
| (887 | ) | Hyatt Hotels Corp. – Class A | (130,806 | ) | ||||||
| (1,435 | ) | Insulet Corp. * | (254,268 | ) | ||||||
| (1,039 | ) | IQVIA Holdings, Inc. * | (227,635 | ) | ||||||
| (1,992 | ) | Iron Mountain, Inc. – (REIT) | (160,734 | ) | ||||||
| (386 | ) | Lamb Weston Holdings, Inc. | (34,080 | ) | ||||||
| (2,690 | ) | Lattice Semiconductor Corp. * | (199,706 | ) | ||||||
| (4,100 | ) | Liberty Media Corp.-Liberty Formula One – Class C * | (303,974 | ) | ||||||
| (728 | ) | Linde PLC | (317,059 | ) | ||||||
| (3,321 | ) | Live Nation Entertainment, Inc. * | (311,311 | ) | ||||||
| (572 | ) | Manhattan Associates, Inc. * | (125,577 | ) | ||||||
| (418 | ) | MarketAxess Holdings, Inc. | (83,153 | ) | ||||||
| (110 | ) | Marsh & McLennan Cos., Inc. | (22,834 | ) | ||||||
| (527 | ) | Marvell Technology, Inc. | (36,263 | ) | ||||||
| (700 | ) | Mastercard, Inc. – Class A | (312,949 | ) | ||||||
| (527 | ) | McKesson Corp. | (300,174 | ) | ||||||
| (204 | ) | MercadoLibre, Inc. * | (352,018 | ) | ||||||
| (800 | ) | MongoDB, Inc. * | (188,848 | ) | ||||||
| (574 | ) | Moody’s Corp. | (227,872 | ) | ||||||
| (63 | ) | Motorola Solutions, Inc. | (22,989 | ) | ||||||
| (578 | ) | MSCI, Inc. | (286,214 | ) | ||||||
| (8,276 | ) | Newmont Corp. | (347,095 | ) | ||||||
| (2,467 | ) | NiSource, Inc. | (71,691 | ) | ||||||
| (2,886 | ) | Okta, Inc. * | (255,930 | ) | ||||||
| (4,353 | ) | ONEOK, Inc. | (352,593 | ) | ||||||
| (12,793 | ) | Palantir Technologies, Inc. – Class A * | (277,352 | ) | ||||||
| (205 | ) | Palo Alto Networks, Inc. * | (60,457 | ) | ||||||
| (1,981 | ) | Paychex, Inc. | (238,037 | ) | ||||||
| (665 | ) | PTC, Inc. * | (117,200 | ) | ||||||
| (1,588 | ) | Repligen Corp. * | (236,755 | ) | ||||||
| (10,788 | ) | Rivian Automotive, Inc. – Class A * | (117,805 | ) | ||||||
| (7,373 | ) | ROBLOX Corp. – Class A * | (247,880 | ) | ||||||
| (3,563 | ) | Roku, Inc. * | (204,516 | ) | ||||||
| (6,604 | ) | Rollins, Inc. | (301,737 | ) | ||||||
| (4,155 | ) | Samsara, Inc. – Class A * | (140,979 | ) | ||||||
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2024 (Unaudited)
| Shares |
Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| (486 | ) | Seagate Technology Holdings PLC | (45,315 | ) | ||||||
| (46 | ) | Sherwin-Williams Co. | (13,975 | ) | ||||||
| (340 | ) | Simon Property Group, Inc. – (REIT) | (51,445 | ) | ||||||
| (1,865 | ) | Snowflake, Inc. – Class A * | (253,976 | ) | ||||||
| (71 | ) | Starbucks Corp. | (5,696 | ) | ||||||
| (24 | ) | Super Micro Computer, Inc. * | (18,828 | ) | ||||||
| (1,638 | ) | Tesla, Inc. * | (291,695 | ) | ||||||
| (51 | ) | Texas Pacific Land Corp. | (31,330 | ) | ||||||
| (12,134 | ) | Toast, Inc. – Class A * | (294,007 | ) | ||||||
| (563 | ) | Trade Desk, Inc. – Class A * | (52,235 | ) | ||||||
| (248 | ) | TransDigm Group, Inc. | (333,121 | ) | ||||||
| (2,029 | ) | Uber Technologies, Inc. * | (130,992 | ) | ||||||
| (2,800 | ) | Unity Software, Inc. * | (51,156 | ) | ||||||
| (1,132 | ) | Vail Resorts, Inc. | (213,631 | ) | ||||||
| (863 | ) | Vistra Corp. | (85,506 | ) | ||||||
| (670 | ) | Watsco, Inc. | (318,183 | ) | ||||||
| (8,193 | ) | Williams Cos., Inc. | (340,091 | ) | ||||||
| (216 | ) | Zillow Group, Inc. – Class C * | (8,845 | ) | ||||||
| Shares |
Description | Value ($) |
||||||||
| United States — continued | ||||||||||
| (1,493 | ) | Zscaler, Inc. * | (253,750 | ) | ||||||
|
|
|
|||||||||
| Total United States | (16,428,521 | ) | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (PROCEEDS $29,969,446) |
(33,550,828 | ) | ||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (e) — (0.1)% |
| |||||||||
| Germany — (0.1)% | ||||||||||
| (782 | ) | Sartorius AG | (207,283 | ) | ||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (PROCEEDS $292,621) |
(207,283 | ) | ||||||||
|
|
|
|||||||||
| TOTAL SECURITIES SOLD SHORT (PROCEEDS $30,262,067) |
(33,758,111 | ) | ||||||||
|
|
|
|||||||||
| Other Assets and Liabilities (net) — 0.3% | 678,848 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $199,333,276 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at May 31, 2024 is as follows:
Swap Contracts
OTC Total Return Swaps
| Fund Pays |
Fund Receives |
Counterparty |
Notional |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) |
Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||
| Total Return on Equity Basket (g) |
1 Month Federal Funds Rate minus 0.40% | GS | USD 1,148,992 | 06/24/2024 | Monthly | — | 35,470 | 35,470 | ||||||||||||||||||
| Total Return on Equity Basket (g) |
1 Month Federal Funds Rate minus 0.40% | MORD | USD 1,873,107 | 06/18/2024 | Monthly | — | 176,827 | 176,827 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | — | $ | 212,297 | $ | 212,297 | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
As of May 31, 2024, 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 May 31, 2024. |
| (g) | Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets. |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2024 (Unaudited)
The rates shown on variable rate notes are the current interest rates at May 31, 2024, which are subject to change based on the terms of the security.
Portfolio Abbreviations:
ADR - American Depositary Receipt
NVDR - Non-Voting Depositary Receipt
PJSC - Private Joint-Stock Company
REIT - Real Estate Investment Trust
Counterparty Abbreviations:
GS - Goldman Sachs International
MORD - Morgan Stanley Capital Services LLC
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 management 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. Alternative Allocation Fund and Implementation Fund are herein referred to as “Consolidated Alternative Allocation Fund” and “Consolidated Implementation Fund”, respectively.
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 May 31, 2024, 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 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 May 31, 2024:
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Consolidated Alternative Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | 4,988,668 | $ | — | $ | 4,988,668 | ||||||||
| Belgium |
— | 1,205,344 | — | 1,205,344 | ||||||||||||
| Brazil |
115,566 | — | — | 115,566 | ||||||||||||
| Canada |
3,948,556 | — | 352,512 | 4,301,068 | ||||||||||||
| China |
— | 1,300,592 | 0 | § | 1,300,592 | |||||||||||
| Denmark |
— | 1,936,898 | — | 1,936,898 | ||||||||||||
| Finland |
— | 685,986 | — | 685,986 | ||||||||||||
| France |
302,730 | 1,840,603 | — | 2,143,333 | ||||||||||||
| Germany |
— | 627,939 | — | 627,939 | ||||||||||||
| Israel |
907,031 | 111,932 | — | 1,018,963 | ||||||||||||
| Italy |
— | 1,081,332 | — | 1,081,332 | ||||||||||||
| Japan |
— | 19,373,754 | — | 19,373,754 | ||||||||||||
| Mexico |
19,503 | — | — | 19,503 | ||||||||||||
| Netherlands |
— | 2,376,891 | — | 2,376,891 | ||||||||||||
| New Zealand |
— | 69,452 | — | 69,452 | ||||||||||||
| Norway |
— | 506,621 | — | 506,621 | ||||||||||||
| Poland |
— | 495,655 | — | 495,655 | ||||||||||||
| South Africa |
— | 179,405 | — | 179,405 | ||||||||||||
| South Korea |
348,446 | 1,671,486 | — | 2,019,932 | ||||||||||||
| Spain |
— | 1,138,420 | — | 1,138,420 | ||||||||||||
| Sweden |
— | 1,152,250 | — | 1,152,250 | ||||||||||||
| Switzerland |
— | 947,072 | — | 947,072 | ||||||||||||
| Thailand |
— | 799,777 | — | 799,777 | ||||||||||||
| Turkey |
— | 606,797 | — | 606,797 | ||||||||||||
| United Kingdom |
886,888 | 5,086,776 | — | 5,973,664 | ||||||||||||
| United States |
117,352,836 | — | 0 | § | 117,352,836 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
123,881,556 | 48,183,650 | 352,512 | 172,417,718 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
18,927 | — | — | 18,927 | ||||||||||||
| Germany |
— | 1,168,525 | — | 1,168,525 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
18,927 | 1,168,525 | — | 1,187,452 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Rights/Warrants |
||||||||||||||||
| United States |
— | — | 464,735 | 464,735 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS |
— | — | 464,735 | 464,735 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investment Funds |
||||||||||||||||
| United States |
— | — | 3,186,802 | 3,186,802 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS |
— | — | 3,186,802 | 3,186,802 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Debt Obligations |
||||||||||||||||
| United States |
39,030,876 | 45,017,816 | — | 84,048,692 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
39,030,876 | 45,017,816 | — | 84,048,692 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
3,683,820 | — | — | 3,683,820 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
3,683,820 | — | — | 3,683,820 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
1,492,250 | 43,719,609 | — | 45,211,859 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
168,107,429 | 138,089,600 | 4,004,049 | 310,201,078 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | 1,902,061 | — | 1,902,061 | ||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
401,421 | 598,347 | — | 999,768 | ||||||||||||
| Interest Rate Risk |
36,065 | — | — | 36,065 | ||||||||||||
| Physical Commodity Contract Risk |
648,341 | — | — | 648,341 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Consolidated Alternative Allocation Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Derivatives^ (continued) |
||||||||||||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
$ | — | $ | 4,415,966 | $ | — | $ | 4,415,966 | ||||||||
| Equity Risk |
— | 402,543 | — | 402,543 | ||||||||||||
| Interest Rate Risk |
— | 1,066,940 | — | 1,066,940 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 169,193,256 | $ | 146,475,457 | $ | 4,004,049 | $ | 319,672,762 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | (2,314,195 | ) | $ | — | $ | (2,314,195 | ) | ||||||
| Austria |
— | (252,068 | ) | — | (252,068 | ) | ||||||||||
| Belgium |
— | (573,354 | ) | — | (573,354 | ) | ||||||||||
| Canada |
(4,145,919 | ) | — | — | (4,145,919 | ) | ||||||||||
| China |
(20,204 | ) | — | — | (20,204 | ) | ||||||||||
| Denmark |
— | (452,356 | ) | — | (452,356 | ) | ||||||||||
| Finland |
— | (92,213 | ) | — | (92,213 | ) | ||||||||||
| France |
— | (1,785,098 | ) | — | (1,785,098 | ) | ||||||||||
| Germany |
— | (2,781,226 | ) | — | (2,781,226 | ) | ||||||||||
| Ireland |
— | (1,567,807 | ) | — | (1,567,807 | ) | ||||||||||
| Israel |
(540,158 | ) | — | — | (540,158 | ) | ||||||||||
| Italy |
— | (1,900,962 | ) | — | (1,900,962 | ) | ||||||||||
| Japan |
— | (5,061,744 | ) | — | (5,061,744 | ) | ||||||||||
| Netherlands |
— | (1,619,601 | ) | — | (1,619,601 | ) | ||||||||||
| Peru |
(518,413 | ) | — | — | (518,413 | ) | ||||||||||
| Singapore |
(464,611 | ) | (338,392 | ) | — | (803,003 | ) | |||||||||
| Spain |
— | (1,070,059 | ) | — | (1,070,059 | ) | ||||||||||
| Sweden |
— | (842,427 | ) | — | (842,427 | ) | ||||||||||
| Switzerland |
— | (509,979 | ) | — | (509,979 | ) | ||||||||||
| United Kingdom |
— | (4,348,663 | ) | — | (4,348,663 | ) | ||||||||||
| United States |
(54,567,503 | ) | — | — | (54,567,503 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
(60,256,808 | ) | (25,510,144 | ) | — | (85,766,952 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Germany |
— | (363,143 | ) | — | (363,143 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | (363,143 | ) | — | (363,143 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Debt Obligations |
||||||||||||||||
| United States |
— | (26,964,014 | ) | — | (26,964,014 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
— | (26,964,014 | ) | — | (26,964,014 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | (854,385 | ) | — | (854,385 | ) | ||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
(15,072 | ) | (72,107 | ) | — | (87,179 | ) | |||||||||
| Interest Rate Risk |
(60,359 | ) | — | — | (60,359 | ) | ||||||||||
| Physical Commodity Contract Risk |
(2,564,121 | ) | — | — | (2,564,121 | ) | ||||||||||
| Written Options |
||||||||||||||||
| Credit Risk |
— | (132,007 | ) | — | (132,007 | ) | ||||||||||
| Equity Risk |
(106,956 | ) | — | — | (106,956 | ) | ||||||||||
| Swap Contacts |
||||||||||||||||
| Credit Risk |
— | (3,880,090 | ) | — | (3,880,090 | ) | ||||||||||
| Equity Risk |
— | (59,088 | ) | — | (59,088 | ) | ||||||||||
| Interest Rate Risk |
— | (1,063,187 | ) | — | (1,063,187 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (63,003,316 | ) | $ | (58,898,165 | ) | $ | — | $ | (121,901,481 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| Benchmark-Free Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Mutual Funds |
$ | 2,630,244,469 | $ | — | $ | — | $ | 2,630,244,469 | ||||||||
| Short-Term Investments |
1,526,944 | — | — | 1,526,944 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
2,631,771,413 | — | — | 2,631,771,413 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 2,631,771,413 | $ | — | $ | — | $ | 2,631,771,413 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Benchmark-Free Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | 15,496,990 | $ | — | $ | 15,496,990 | ||||||||
| Austria |
— | 4,698,907 | — | 4,698,907 | ||||||||||||
| Belgium |
— | 10,675,553 | — | 10,675,553 | ||||||||||||
| Brazil |
1,993,939 | 4,321,807 | — | 6,315,746 | ||||||||||||
| Canada |
35,740,588 | 201,628 | 15,800 | 35,958,016 | ||||||||||||
| Chile |
34,369 | 368,470 | — | 402,839 | ||||||||||||
| China |
2,736,322 | 18,768,229 | 0 | § | 21,504,551 | |||||||||||
| Czech Republic |
— | 247,411 | — | 247,411 | ||||||||||||
| Denmark |
— | 8,127,045 | — | 8,127,045 | ||||||||||||
| Egypt |
— | 388,032 | — | 388,032 | ||||||||||||
| Finland |
— | 4,669,686 | — | 4,669,686 | ||||||||||||
| France |
2,811,948 | 38,130,249 | — | 40,942,197 | ||||||||||||
| Germany |
— | 13,422,113 | — | 13,422,113 | ||||||||||||
| Greece |
— | 694,324 | 0 | § | 694,324 | |||||||||||
| Hong Kong |
— | 8,289,128 | — | 8,289,128 | ||||||||||||
| Hungary |
— | 2,521,880 | — | 2,521,880 | ||||||||||||
| India |
1,084,605 | 19,067,681 | — | 20,152,286 | ||||||||||||
| Indonesia |
— | 3,814,812 | — | 3,814,812 | ||||||||||||
| Ireland |
1,678,632 | 566,198 | — | 2,244,830 | ||||||||||||
| Israel |
3,113,558 | 439,218 | — | 3,552,776 | ||||||||||||
| Italy |
550,599 | 18,539,371 | — | 19,089,970 | ||||||||||||
| Japan |
2,292,280 | 193,676,405 | — | 195,968,685 | ||||||||||||
| Kuwait |
— | 73,044 | — | 73,044 | ||||||||||||
| Malaysia |
— | 1,404,604 | — | 1,404,604 | ||||||||||||
| Mexico |
8,159,323 | — | 0 | § | 8,159,323 | |||||||||||
| Netherlands |
— | 24,681,603 | — | 24,681,603 | ||||||||||||
| New Zealand |
— | 349,330 | — | 349,330 | ||||||||||||
| Norway |
89,607 | 8,506,649 | — | 8,596,256 | ||||||||||||
| Pakistan |
— | 289,907 | — | 289,907 | ||||||||||||
| Philippines |
— | 16,897 | — | 16,897 | ||||||||||||
| Poland |
— | 5,395,387 | — | 5,395,387 | ||||||||||||
| Portugal |
— | 375,018 | — | 375,018 | ||||||||||||
| Qatar |
— | 454,382 | — | 454,382 | ||||||||||||
| Russia |
— | — | 410,193 | 410,193 | ||||||||||||
| Saudi Arabia |
— | 300,385 | — | 300,385 | ||||||||||||
| Singapore |
— | 7,022,367 | — | 7,022,367 | ||||||||||||
| South Africa |
— | 6,062,413 | — | 6,062,413 | ||||||||||||
| South Korea |
1,809,951 | 18,057,233 | — | 19,867,184 | ||||||||||||
| Spain |
— | 22,819,409 | — | 22,819,409 | ||||||||||||
| Sweden |
— | 7,156,528 | — | 7,156,528 | ||||||||||||
| Switzerland |
2,809,765 | 13,134,808 | — | 15,944,573 | ||||||||||||
| Taiwan |
4,784,334 | 25,799,983 | — | 30,584,317 | ||||||||||||
| Thailand |
— | 6,612,599 | — | 6,612,599 | ||||||||||||
| Turkey |
— | 5,309,221 | — | 5,309,221 | ||||||||||||
| United Arab Emirates |
— | 455,128 | — | 455,128 | ||||||||||||
| United Kingdom |
10,343,319 | 38,775,979 | 607 | 49,119,905 | ||||||||||||
| United States |
208,664,083 | — | — | 208,664,083 | ||||||||||||
| Vietnam |
— | 1,478,999 | — | 1,478,999 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
288,697,222 | 561,657,010 | 426,600 | 850,780,832 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
2,806,309 | 5,007,991 | — | 7,814,300 | ||||||||||||
| Colombia |
636,826 | — | — | 636,826 | ||||||||||||
| Germany |
— | 4,662,634 | — | 4,662,634 | ||||||||||||
| Russia |
— | — | 76,090 | 76,090 | ||||||||||||
| South Korea |
— | 1,853,684 | — | 1,853,684 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
3,443,135 | 11,524,309 | 76,090 | 15,043,534 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Rights/Warrants |
||||||||||||||||
| Vietnam |
— | — | 24,198 | 24,198 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS |
— | — | 24,198 | 24,198 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Benchmark-Free Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Debt Obligations |
||||||||||||||||
| United States |
$ | 47,537,056 | $ | 128,451,081 | $ | — | $ | 175,988,137 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
47,537,056 | 128,451,081 | — | 175,988,137 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
218,209,540 | — | — | 218,209,540 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
218,209,540 | — | — | 218,209,540 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
3,188,952 | 89,999,770 | — | 93,188,722 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
561,075,905 | 791,632,170 | 526,888 | 1,353,234,963 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
31,941 | — | — | 31,941 | ||||||||||||
| Swap Contracts |
||||||||||||||||
| Equity Risk |
— | 1,313,261 | — | 1,313,261 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 561,107,846 | $ | 792,945,431 | $ | 526,888 | $ | 1,354,580,165 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | (7,736,077 | ) | $ | — | $ | (7,736,077 | ) | ||||||
| Austria |
— | (821,480 | ) | — | (821,480 | ) | ||||||||||
| Belgium |
— | (1,960,819 | ) | — | (1,960,819 | ) | ||||||||||
| Canada |
(14,033,873 | ) | — | — | (14,033,873 | ) | ||||||||||
| China |
(49,742 | ) | — | — | (49,742 | ) | ||||||||||
| Denmark |
— | (1,612,122 | ) | — | (1,612,122 | ) | ||||||||||
| Finland |
— | (184,425 | ) | — | (184,425 | ) | ||||||||||
| France |
— | (6,089,818 | ) | — | (6,089,818 | ) | ||||||||||
| Germany |
— | (9,621,015 | ) | — | (9,621,015 | ) | ||||||||||
| Israel |
(1,923,376 | ) | — | — | (1,923,376 | ) | ||||||||||
| Italy |
— | (6,339,678 | ) | — | (6,339,678 | ) | ||||||||||
| Japan |
— | (17,278,837 | ) | — | (17,278,837 | ) | ||||||||||
| Netherlands |
— | (5,582,602 | ) | — | (5,582,602 | ) | ||||||||||
| Peru |
(1,772,250 | ) | — | — | (1,772,250 | ) | ||||||||||
| Singapore |
(1,718,393 | ) | (1,088,175 | ) | — | (2,806,568 | ) | |||||||||
| Spain |
— | (3,633,920 | ) | — | (3,633,920 | ) | ||||||||||
| Sweden |
— | (2,941,919 | ) | — | (2,941,919 | ) | ||||||||||
| Switzerland |
— | (1,819,074 | ) | — | (1,819,074 | ) | ||||||||||
| United Kingdom |
— | (14,958,042 | ) | — | (14,958,042 | ) | ||||||||||
| United States |
(97,436,777 | ) | — | — | (97,436,777 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
(116,934,411 | ) | (81,668,003 | ) | — | (198,602,414 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Germany |
— | (1,226,998 | ) | — | (1,226,998 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | (1,226,998 | ) | — | (1,226,998 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
| |||||||||||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
(64,656 | ) | — | — | (64,656 | ) | ||||||||||
| Swap Contacts |
||||||||||||||||
| Credit Risk |
— | (840,624 | ) | — | (840,624 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (116,999,067 | ) | $ | (83,735,625 | ) | $ | — | $ | (200,734,692 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| Global Asset Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Mutual Funds |
$ | 369,433,810 | $ | — | $ | — | $ | 369,433,810 | ||||||||
| Short-Term Investments |
453,320 | — | — | 453,320 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
369,887,130 | — | — | 369,887,130 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 369,887,130 | $ | — | $ | — | $ | 369,887,130 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Global Developed Equity Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Mutual Funds |
$ | 74,560,468 | $ | — | $ | — | $ | 74,560,468 | ||||||||
| Short-Term Investments |
77,149 | — | — | 77,149 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
74,637,617 | — | — | 74,637,617 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 74,637,617 | $ | — | $ | — | $ | 74,637,617 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Global Equity Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Mutual Funds |
$ | 659,680,691 | $ | — | $ | — | $ | 659,680,691 | ||||||||
| Short-Term Investments |
815,565 | — | — | 815,565 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
660,496,256 | — | — | 660,496,256 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 660,496,256 | $ | — | $ | — | $ | 660,496,256 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Consolidated Implementation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Argentina |
$ | 1,455,475 | $ | — | $ | — | $ | 1,455,475 | ||||||||
| Australia |
— | 43,476,782 | — | 43,476,782 | ||||||||||||
| Austria |
— | 11,328,747 | — | 11,328,747 | ||||||||||||
| Belgium |
— | 24,159,106 | — | 24,159,106 | ||||||||||||
| Brazil |
6,779,957 | 13,032,670 | — | 19,812,627 | ||||||||||||
| Canada |
92,392,522 | 509,408 | 1,462,332 | 94,364,262 | ||||||||||||
| Chile |
66,076 | 823,103 | — | 889,179 | ||||||||||||
| China |
5,784,536 | 42,471,866 | 1 | 48,256,403 | ||||||||||||
| Colombia |
10,201 | — | — | 10,201 | ||||||||||||
| Czech Republic |
— | 596,193 | — | 596,193 | ||||||||||||
| Denmark |
— | 19,267,921 | — | 19,267,921 | ||||||||||||
| Egypt |
— | 852,435 | — | 852,435 | ||||||||||||
| Finland |
— | 11,026,855 | — | 11,026,855 | ||||||||||||
| France |
6,302,383 | 83,081,494 | — | 89,383,877 | ||||||||||||
| Germany |
— | 28,513,723 | — | 28,513,723 | ||||||||||||
| Greece |
— | 1,297,970 | — | 1,297,970 | ||||||||||||
| Hong Kong |
— | 19,263,777 | — | 19,263,777 | ||||||||||||
| Hungary |
— | 5,962,371 | — | 5,962,371 | ||||||||||||
| India |
2,423,278 | 39,955,847 | — | 42,379,125 | ||||||||||||
| Indonesia |
— | 8,753,099 | — | 8,753,099 | ||||||||||||
| Ireland |
3,499,339 | 1,424,161 | — | 4,923,500 | ||||||||||||
| Israel |
7,660,800 | 925,112 | — | 8,585,912 | ||||||||||||
| Italy |
1,124,046 | 43,232,787 | — | 44,356,833 | ||||||||||||
| Japan |
5,073,414 | 416,515,555 | — | 421,588,969 | ||||||||||||
| Kuwait |
— | 51,979 | — | 51,979 | ||||||||||||
| Malaysia |
— | 3,065,106 | — | 3,065,106 | ||||||||||||
| Mexico |
19,917,806 | — | 0 | § | 19,917,806 | |||||||||||
| Netherlands |
— | 54,530,560 | 179 | 54,530,739 | ||||||||||||
| New Zealand |
— | 828,665 | — | 828,665 | ||||||||||||
| Norway |
— | 21,655,896 | — | 21,655,896 | ||||||||||||
| Pakistan |
— | 1,115,642 | — | 1,115,642 | ||||||||||||
| Philippines |
— | 151,637 | — | 151,637 | ||||||||||||
| Poland |
— | 12,331,966 | — | 12,331,966 | ||||||||||||
| Portugal |
— | 5,077,917 | — | 5,077,917 | ||||||||||||
| Qatar |
— | 983,415 | — | 983,415 | ||||||||||||
| Russia |
— | — | 1,105,135 | 1,105,135 | ||||||||||||
| Saudi Arabia |
— | 535,797 | — | 535,797 | ||||||||||||
| Singapore |
— | 14,535,883 | — | 14,535,883 | ||||||||||||
| South Africa |
— | 15,873,518 | — | 15,873,518 | ||||||||||||
| South Korea |
4,654,232 | 39,555,335 | — | 44,209,567 | ||||||||||||
| Spain |
— | 52,384,057 | — | 52,384,057 | ||||||||||||
| Sweden |
— | 19,841,607 | — | 19,841,607 | ||||||||||||
| Switzerland |
4,865,384 | 29,454,091 | — | 34,319,475 | ||||||||||||
| Taiwan |
14,832,130 | 49,371,155 | — | 64,203,285 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Consolidated Implementation Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| Thailand |
$ | — | $ | 15,192,900 | $ | — | $ | 15,192,900 | ||||||||
| Turkey |
— | 11,593,851 | — | 11,593,851 | ||||||||||||
| Ukraine |
— | 103,403 | — | 103,403 | ||||||||||||
| United Arab Emirates |
— | 1,118,534 | — | 1,118,534 | ||||||||||||
| United Kingdom |
21,948,266 | 104,294,901 | 798 | 126,243,965 | ||||||||||||
| United States |
603,126,565 | — | 323,144 | 603,449,709 | ||||||||||||
| Vietnam |
— | 3,015,729 | — | 3,015,729 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
801,916,410 | 1,273,134,526 | 2,891,589 | 2,077,942,525 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
4,295,791 | 16,037,808 | — | 20,333,599 | ||||||||||||
| Chile |
2,106,170 | 6,325 | — | 2,112,495 | ||||||||||||
| Colombia |
1,280,460 | — | — | 1,280,460 | ||||||||||||
| Germany |
— | 11,202,988 | — | 11,202,988 | ||||||||||||
| Russia |
— | — | 168,732 | 168,732 | ||||||||||||
| South Korea |
— | 4,335,966 | — | 4,335,966 | ||||||||||||
| United States |
— | — | 450,870 | 450,870 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
7,682,421 | 31,583,087 | 619,602 | 39,885,110 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Rights/Warrants |
||||||||||||||||
| Canada |
— | — | 222 | 222 | ||||||||||||
| United States |
— | — | 1,045,460 | 1,045,460 | ||||||||||||
| Vietnam |
— | — | 53,871 | 53,871 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS |
— | — | 1,099,553 | 1,099,553 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investment Funds |
||||||||||||||||
| United States |
— | — | 10,384,246 | 10,384,246 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS |
— | — | 10,384,246 | 10,384,246 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Debt Obligations |
||||||||||||||||
| Netherlands |
— | — | 66 | 66 | ||||||||||||
| United States |
456,687,395 | 275,154,162 | — | 731,841,557 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
456,687,395 | 275,154,162 | 66 | 731,841,623 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
17,642,664 | — | — | 17,642,664 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
17,642,664 | — | — | 17,642,664 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
6,398,282 | 87,681,386 | — | 94,079,668 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
1,290,327,172 | 1,667,553,161 | 14,995,056 | 2,972,875,389 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | 3,222,579 | — | 3,222,579 | ||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
918,572 | 2,096,677 | — | 3,015,249 | ||||||||||||
| Interest Rate Risk |
157,849 | — | — | 157,849 | ||||||||||||
| Physical Commodity Contract Risk |
2,393,975 | — | — | 2,393,975 | ||||||||||||
| Swap Contracts |
||||||||||||||||
| Interest Rate Risk |
— | 3,724,204 | — | 3,724,204 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 1,293,797,568 | $ | 1,676,596,621 | $ | 14,995,056 | $ | 2,985,389,245 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | (18,828,176 | ) | $ | — | $ | (18,828,176 | ) | ||||||
| Austria |
— | (2,015,971 | ) | — | (2,015,971 | ) | ||||||||||
| Belgium |
— | (4,868,603 | ) | — | (4,868,603 | ) | ||||||||||
| Canada |
(34,779,838 | ) | — | — | (34,779,838 | ) | ||||||||||
| Denmark |
— | (3,857,765 | ) | — | (3,857,765 | ) | ||||||||||
| Finland |
— | (645,908 | ) | — | (645,908 | ) | ||||||||||
| France |
— | (15,349,680 | ) | — | (15,349,680 | ) | ||||||||||
| Germany |
— | (23,703,167 | ) | — | (23,703,167 | ) | ||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Consolidated Implementation Fund (continued) | ||||||||||||||||
| Liability Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| Ireland |
$ | — | $ | (3,204,726 | ) | $ | — | $ | (3,204,726 | ) | ||||||
| Israel |
(4,667,187 | ) | — | — | (4,667,187 | ) | ||||||||||
| Italy |
— | (15,891,270 | ) | — | (15,891,270 | ) | ||||||||||
| Japan |
— | (42,323,536 | ) | — | (42,323,536 | ) | ||||||||||
| Netherlands |
— | (13,654,116 | ) | — | (13,654,116 | ) | ||||||||||
| Peru |
(4,347,315 | ) | — | — | (4,347,315 | ) | ||||||||||
| Singapore |
(4,095,372 | ) | (3,191,309 | ) | — | (7,286,681 | ) | |||||||||
| Spain |
— | (9,177,367 | ) | — | (9,177,367 | ) | ||||||||||
| Sweden |
— | (7,088,663 | ) | — | (7,088,663 | ) | ||||||||||
| Switzerland |
— | (4,210,408 | ) | — | (4,210,408 | ) | ||||||||||
| United Kingdom |
— | (36,798,858 | ) | — | (36,798,858 | ) | ||||||||||
| United States |
(293,152,286 | ) | — | — | (293,152,286 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
(341,041,998 | ) | (204,809,523 | ) | — | (545,851,521 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Germany |
— | (3,063,651 | ) | — | (3,063,651 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | (3,063,651 | ) | — | (3,063,651 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | (1,499,161 | ) | — | (1,499,161 | ) | ||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
(67,981 | ) | (255,584 | ) | — | (323,565 | ) | |||||||||
| Interest Rate Risk |
(290,888 | ) | — | — | (290,888 | ) | ||||||||||
| Physical Commodity Contract Risk |
(9,017,482 | ) | — | — | (9,017,482 | ) | ||||||||||
| Swap Contacts |
||||||||||||||||
| Credit Risk |
— | (1,737,290 | ) | — | (1,737,290 | ) | ||||||||||
| Interest Rate Risk |
— | (93,028 | ) | — | (93,028 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (350,418,349 | ) | $ | (211,458,237 | ) | $ | — | $ | (561,876,586 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| International Developed Equity Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Mutual Funds |
$ | 287,767,112 | $ | — | $ | — | $ | 287,767,112 | ||||||||
| Short-Term Investments |
371,459 | — | — | 371,459 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
288,138,571 | — | — | 288,138,571 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 288,138,571 | $ | — | $ | — | $ | 288,138,571 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| International Equity Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Mutual Funds |
$ | 309,332,363 | $ | — | $ | — | $ | 309,332,363 | ||||||||
| Short-Term Investments |
265,893 | — | — | 265,893 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
309,598,256 | — | — | 309,598,256 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 309,598,256 | $ | — | $ | — | $ | 309,598,256 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Strategic Opportunities Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | 1,065,676 | $ | — | $ | 1,065,676 | ||||||||
| Belgium |
— | 658,072 | — | 658,072 | ||||||||||||
| Brazil |
80,409 | 10,195 | — | 90,604 | ||||||||||||
| Canada |
1,954,683 | — | — | 1,954,683 | ||||||||||||
| China |
— | 770,612 | 0 | § | 770,612 | |||||||||||
| Denmark |
— | 1,123,251 | — | 1,123,251 | ||||||||||||
| Finland |
— | 502,072 | — | 502,072 | ||||||||||||
| France |
174,973 | 1,489,477 | — | 1,664,450 | ||||||||||||
| Germany |
— | 537,485 | — | 537,485 | ||||||||||||
| Hong Kong |
— | 78,951 | — | 78,951 | ||||||||||||
| Ireland |
216,641 | — | — | 216,641 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Strategic Opportunities Allocation Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| Israel |
$ | 462,516 | $ | 115,376 | $ | — | $ | 577,892 | ||||||||
| Italy |
— | 630,102 | — | 630,102 | ||||||||||||
| Japan |
— | 3,438,661 | — | 3,438,661 | ||||||||||||
| Mexico |
469,775 | — | — | 469,775 | ||||||||||||
| Netherlands |
— | 1,439,891 | — | 1,439,891 | ||||||||||||
| New Zealand |
— | 51,250 | — | 51,250 | ||||||||||||
| Norway |
— | 277,418 | — | 277,418 | ||||||||||||
| Poland |
— | 258,868 | — | 258,868 | ||||||||||||
| Russia |
— | — | 2,683 | 2,683 | ||||||||||||
| South Africa |
— | 91,847 | — | 91,847 | ||||||||||||
| South Korea |
184,187 | 967,272 | — | 1,151,459 | ||||||||||||
| Spain |
— | 1,157,839 | — | 1,157,839 | ||||||||||||
| Sweden |
— | 658,569 | — | 658,569 | ||||||||||||
| Switzerland |
— | 554,258 | — | 554,258 | ||||||||||||
| Thailand |
— | 431,670 | — | 431,670 | ||||||||||||
| Turkey |
— | 384,697 | — | 384,697 | ||||||||||||
| United Kingdom |
517,322 | 2,079,831 | — | 2,597,153 | ||||||||||||
| United States |
20,886,042 | — | — | 20,886,042 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
24,946,548 | 18,773,340 | 2,683 | 43,722,571 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
18,927 | 72,897 | — | 91,824 | ||||||||||||
| Germany |
— | 665,506 | — | 665,506 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
18,927 | 738,403 | — | 757,330 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Debt Obligations |
||||||||||||||||
| United States |
1,351,472 | — | — | 1,351,472 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
1,351,472 | — | — | 1,351,472 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mutual Funds |
||||||||||||||||
| United States |
161,536,586 | — | — | 161,536,586 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL MUTUAL FUNDS |
161,536,586 | — | — | 161,536,586 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
2,044,715 | 22,999,865 | — | 25,044,580 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
189,898,248 | 42,511,608 | 2,683 | 232,412,539 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Swap Contracts |
||||||||||||||||
| Equity Risk |
— | 212,297 | — | 212,297 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 189,898,248 | $ | 42,723,905 | $ | 2,683 | $ | 232,624,836 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | (1,350,061 | ) | $ | — | $ | (1,350,061 | ) | ||||||
| Austria |
— | (136,298 | ) | — | (136,298 | ) | ||||||||||
| Belgium |
— | (326,241 | ) | — | (326,241 | ) | ||||||||||
| Canada |
(2,337,764 | ) | — | — | (2,337,764 | ) | ||||||||||
| China |
(25,855 | ) | — | — | (25,855 | ) | ||||||||||
| Denmark |
— | (253,802 | ) | — | (253,802 | ) | ||||||||||
| Finland |
— | (43,707 | ) | — | (43,707 | ) | ||||||||||
| France |
— | (1,073,417 | ) | — | (1,073,417 | ) | ||||||||||
| Germany |
— | (1,615,509 | ) | — | (1,615,509 | ) | ||||||||||
| Israel |
(297,860 | ) | — | — | (297,860 | ) | ||||||||||
| Italy |
(17,262 | ) | (1,089,993 | ) | — | (1,107,255 | ) | |||||||||
| Japan |
— | (2,963,052 | ) | — | (2,963,052 | ) | ||||||||||
| Netherlands |
— | (941,852 | ) | — | (941,852 | ) | ||||||||||
| Peru |
(294,023 | ) | — | — | (294,023 | ) | ||||||||||
| Singapore |
(261,087 | ) | (201,294 | ) | — | (462,381 | ) | |||||||||
| Spain |
— | (613,999 | ) | — | (613,999 | ) | ||||||||||
| Sweden |
— | (483,378 | ) | — | (483,378 | ) | ||||||||||
| Switzerland |
— | (273,383 | ) | — | (273,383 | ) | ||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Strategic Opportunities Allocation Fund (continued) | ||||||||||||||||
| Liability Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| United Kingdom |
$ | — | $ | (2,522,470 | ) | $ | — | $ | (2,522,470 | ) | ||||||
| United States |
(16,428,521 | ) | — | — | (16,428,521 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
(19,662,372 | ) | (13,888,456 | ) | — | (33,550,828 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Germany |
— | (207,283 | ) | — | (207,283 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | (207,283 | ) | — | (207,283 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (19,662,372 | ) | $ | (14,095,739 | ) | $ | — | $ | (33,758,111 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the Prospectus for more information.
| § | Represents the interest in securities that were determined to have a value of zero at May 31, 2024. |
| ^ | 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 May 31, 2024, 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 29, 2024 |
Purchases | Sales | Accrued Discounts/ Premiums |
Total Realized Gain/ (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Transfer into Level 3 |
Transfer out of Level 3 |
Balances as of May 31, 2024 |
Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2024 |
|||||||||||||||||||||||||||||||
| Consolidated Alternative Allocation Fund | ||||||||||||||||||||||||||||||||||||||||
| Common Stocks | ||||||||||||||||||||||||||||||||||||||||
| Canada |
$ | 352,512 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 352,512 | $ | — | ||||||||||||||||||||
| Rights/Warrants | ||||||||||||||||||||||||||||||||||||||||
| United States |
425,705 | — | — | — | — | 39,030 | — | — | 464,735 | 39,030 | ||||||||||||||||||||||||||||||
| Investment Funds | ||||||||||||||||||||||||||||||||||||||||
| United States |
2,351,936 | 863,287 | — | — | — | (28,421 | ) | — | — | 3,186,802 | (28,421 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total Investments |
$ | 3,130,153 | $ | 863,287 | $ | — | $ | — | $ | — | $ | 10,609 | $ | — | $ | — | $ | 4,004,049 | $ | 10,609 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended May 31, 2024.
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 May 31, 2024, the value of these securities and/or derivatives for Consolidated Alternative Allocation Fund was $4,004,049. The inputs for these investments are not readily available or cannot be reasonably estimated. |
Investments in affiliated companies and other Funds of the Trust
An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended May 31, 2024 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 Resources Fund, Class VI |
$ | 3,309,494 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 374,326 | $ | 3,683,820 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Benchmark-Free Allocation Fund | ||||||||||||||||||||||||||||||||
| GMO Climate Change Fund, Class III |
$ | — | $ | 26,000,000 | $ | 1,670,000 | $ | — | $ | — | $ | 75,561 | $ | 1,812,732 | $ | 26,218,293 | ||||||||||||||||
| GMO Emerging Country Debt Fund, Class VI |
105,862,796 | — | 30,320,264 | — | — | 1,653,917 | 1,791,504 | 78,987,953 | ||||||||||||||||||||||||
| GMO High Yield Fund, Class VI |
34,788,771 | — | 8,860,000 | — | — | 234,902 | 211,872 | 26,375,545 | ||||||||||||||||||||||||
| GMO Implementation Fund |
3,136,528,946 | 15,417,898 | 885,991,079 | — | — | 48,056,880 | 80,090,487 | 2,394,103,132 | ||||||||||||||||||||||||
| GMO Opportunistic Income Fund, Class VI |
138,482,959 | 2,195,738 | 36,352,334 | 1,195,738 | — | 150,906 | 82,277 | 104,559,546 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Totals |
$ | 3,415,663,472 | $ | 43,613,636 | $ | 963,193,677 | $ | 1,195,738 | $ | — | $ | 50,172,166 | $ | 83,988,872 | $ | 2,630,244,469 | ||||||||||||||||
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|
|||||||||||||||||
| Benchmark-Free Fund | ||||||||||||||||||||||||||||||||
| GMO Climate Change Fund, Class III |
$ | — | $ | 13,000,000 | $ | — | $ | — | $ | — | $ | — | $ | 965,580 | $ | 13,965,580 | ||||||||||||||||
| GMO Emerging Country Debt Fund, Class VI |
42,834,449 | — | — | — | — | — | 1,772,460 | 44,606,909 | ||||||||||||||||||||||||
| GMO High Yield Fund, Class VI |
13,713,467 | — | — | — | — | — | 200,421 | 13,913,888 | ||||||||||||||||||||||||
| GMO Opportunistic Income Fund, Class VI |
50,710,981 | — | — | 580,852 | — | — | 42,259 | 50,753,240 | ||||||||||||||||||||||||
| GMO Resources Fund, Class VI |
46,597,781 | — | — | — | — | — | 5,270,526 | 51,868,307 | ||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
1,304,389 | 88,308,831 | 46,511,604 | — | ** | — | — | — | 43,101,616 | |||||||||||||||||||||||
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|||||||||||||||||
| Totals |
$ | 155,161,067 | $ | 101,308,831 | $ | 46,511,604 | $ | 580,852 | $ | — | $ | — | $ | 8,251,246 | $ | 218,209,540 | ||||||||||||||||
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|||||||||||||||||
| Global Asset Allocation Fund | ||||||||||||||||||||||||||||||||
| GMO Alternative Allocation Fund, Class VI |
$ | 44,599,515 | $ | 1,641,949 | $ | — | $ | — | $ | — | $ | — | $ | 552,243 | $ | 46,793,707 | ||||||||||||||||
| GMO Asset Allocation Bond Fund, Class VI |
20,011,560 | 2,130,315 | — | — | — | — | (980,868 | ) | 21,161,007 | |||||||||||||||||||||||
| GMO Climate Change Fund, Class III |
— | 3,670,000 | — | — | — | — | 272,590 | 3,942,590 | ||||||||||||||||||||||||
| GMO Emerging Country Debt Fund, Class VI |
10,841,518 | — | — | — | — | — | 448,615 | 11,290,133 | ||||||||||||||||||||||||
| GMO Emerging Markets ex-China Fund, Class VI |
25,075,781 | 357,132 | 14,136,639 | 357,132 | — | (3,644,612 | ) | 3,599,691 | 11,251,353 | |||||||||||||||||||||||
| GMO Emerging Markets Fund, Class VI |
25,266,027 | — | 4,150,000 | — | — | (1,736,496 | ) | 2,644,889 | 22,024,420 | |||||||||||||||||||||||
| GMO International Equity Fund, Class IV |
46,775,391 | 6,000,000 | 99,030 | — | — | 4,435 | 4,108,162 | 56,788,958 | ||||||||||||||||||||||||
| GMO International Opportunistic Value Fund, Class IV |
24,435,325 | — | — | — | — | — | 2,134,463 | 26,569,788 | ||||||||||||||||||||||||
|
GMO-Usonian Japan Value Creation Fund, Class VI |
14,671,268 | 6,800,000 | — | — | — | — | 380,394 | 21,851,662 | ||||||||||||||||||||||||
| GMO Multi-Sector Fixed Income Fund, Class IV |
41,627,708 | 944,252 | — | — | — | — | 21,773 | 42,593,733 | ||||||||||||||||||||||||
| GMO Opportunistic Income Fund, Class VI |
10,427,550 | 341,645 | — | 121,645 | — | — | 8,818 | 10,778,013 | ||||||||||||||||||||||||
| GMO Quality Cyclicals Fund, Class VI |
10,854,557 | — | — | — | — | — | 536,790 | 11,391,347 | ||||||||||||||||||||||||
| GMO Quality Fund, Class VI |
11,152,873 | — | 285,000 | — | — | 71,980 | 187,884 | 11,127,737 | ||||||||||||||||||||||||
| GMO Resources Fund, Class VI |
6,389,597 | 310,143 | — | — | — | — | 753,647 | 7,453,387 | ||||||||||||||||||||||||
| Affiliate | Value, beginning of period |
Purchases | Sales Proceeds |
Dividend Income* |
Distributions of Realized Gains* |
Net Realized Gain (Loss) |
Net Increase/ Decrease in Unrealized Appreciation/ Depreciation |
Value, end of period |
||||||||||||||||||||||||
| Global Asset Allocation Fund (continued) | ||||||||||||||||||||||||||||||||
| GMO Small Cap Quality Fund, Class VI |
$ | 10,991,749 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 130,586 | $ | 11,122,335 | ||||||||||||||||
| GMO U.S. Equity Fund, Class VI |
18,492,732 | — | 516,261 | — | — | (23,188 | ) | 1,067,789 | 19,021,072 | |||||||||||||||||||||||
| GMO U.S. Opportunistic Value Fund, Class VI |
25,419,205 | — | 235,975 | — | — | 33,145 | 1,201,191 | 26,417,566 | ||||||||||||||||||||||||
| GMO U.S. Small Cap Value Fund, Class VI |
7,198,539 | — | — | — | — | — | 316,750 | 7,515,289 | ||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
602,314 | 7,399 | 270,000 | 7,505 | — | — | — | 339,713 | ||||||||||||||||||||||||
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|
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|
|
|||||||||||||||||
| Totals |
$ | 354,833,209 | $ | 22,202,835 | $ | 19,692,905 | $ | 486,282 | $ | — | $ | (5,294,736 | ) | $ | 17,385,407 | $ | 369,433,810 | |||||||||||||||
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|||||||||||||||||
| Global Developed Equity Allocation Fund | ||||||||||||||||||||||||||||||||
| GMO Climate Change Fund, Class III |
$ | — | $ | 735,000 | $ | — | $ | — | $ | — | $ | — | $ | 54,592 | $ | 789,592 | ||||||||||||||||
| GMO Emerging Markets ex-China Fund, Class VI |
5,035,139 | 60,362 | 3,660,000 | 60,363 | — | (421,992 | ) | 421,290 | 1,434,799 | |||||||||||||||||||||||
| GMO International Equity Fund, Class IV |
18,783,784 | — | — | — | — | — | 1,594,699 | 20,378,483 | ||||||||||||||||||||||||
| GMO International Opportunistic Value Fund, Class IV |
6,711,566 | 900,000 | — | — | — | — | 602,757 | 8,214,323 | ||||||||||||||||||||||||
|
GMO-Usonian Japan Value Creation Fund, Class VI |
2,772,982 | 1,460,000 | — | — | — | — | 73,687 | 4,306,669 | ||||||||||||||||||||||||
| GMO Quality Cyclicals Fund, Class VI |
3,569,199 | — | — | — | — | — | 176,507 | 3,745,706 | ||||||||||||||||||||||||
| GMO Quality Fund, Class VI |
10,982,867 | — | 24,711 | — | — | 5,935 | 245,978 | 11,210,069 | ||||||||||||||||||||||||
| GMO Resources Fund, Class VI |
1,776,813 | — | — | — | — | — | 200,969 | 1,977,782 | ||||||||||||||||||||||||
| GMO Small Cap Quality Fund, Class VI |
3,593,635 | — | — | — | — | — | 42,694 | 3,636,329 | ||||||||||||||||||||||||
| GMO U.S. Equity Fund, Class VI |
4,444,399 | 565,000 | — | — | — | — | 270,980 | 5,280,379 | ||||||||||||||||||||||||
| GMO U.S. Opportunistic Value Fund, Class VI |
10,805,838 | — | — | — | — | — | 524,128 | 11,329,966 | ||||||||||||||||||||||||
| GMO U.S. Small Cap Value Fund, Class VI |
2,161,270 | — | — | — | — | — | 95,101 | 2,256,371 | ||||||||||||||||||||||||
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|
|
|
|
|
|
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|
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|
|
|
|
|
|
|||||||||||||||||
| Totals |
$ | 70,637,492 | $ | 3,720,362 | $ | 3,684,711 | $ | 60,363 | $ | — | $ | (416,057 | ) | $ | 4,303,382 | $ | 74,560,468 | |||||||||||||||
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|
|
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|
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|
|
|
|
|||||||||||||||||
| Global Equity Allocation Fund | ||||||||||||||||||||||||||||||||
| GMO Climate Change Fund, Class III |
$ | — | $ | 7,400,000 | $ | 1,400,000 | $ | — | $ | — | $ | 75,578 | $ | 451,266 | $ | 6,526,844 | ||||||||||||||||
| GMO Emerging Markets ex-China Fund, Class VI |
73,264,436 | 1,045,359 | 42,105,940 | 1,045,359 | — | (12,166,678 | ) | 12,125,625 | 32,162,802 | |||||||||||||||||||||||
| GMO Emerging Markets Fund, Class VI |
81,077,912 | — | 20,371,471 | — | — | (7,581,648 | ) | 11,007,286 | 64,132,079 | |||||||||||||||||||||||
| GMO International Equity Fund, Class IV |
146,614,835 | 7,800,000 | 26,780,699 | — | — | 939,895 | 10,994,749 | 139,568,780 | ||||||||||||||||||||||||
| GMO International Opportunistic Value Fund, Class IV |
71,886,834 | 7,725,000 | 12,659,747 | — | — | 1,545,015 | 4,532,312 | 73,029,414 | ||||||||||||||||||||||||
|
GMO-Usonian Japan Value Creation Fund, Class VI |
29,422,703 | 14,078,063 | 4,362,230 | — | — | (74,894 | ) | 768,589 | 39,832,231 | |||||||||||||||||||||||
| GMO Quality Cyclicals Fund, Class VI |
36,774,104 | — | 5,586,391 | — | — | (693,827 | ) | 2,430,085 | 32,923,971 | |||||||||||||||||||||||
| GMO Quality Fund, Class VI |
89,975,382 | 137,963 | 13,622,799 | — | — | 2,792,066 | (769,035 | ) | 78,513,577 | |||||||||||||||||||||||
| GMO Resources Fund, Class VI |
20,138,162 | — | 2,717,000 | — | — | (64,632 | ) | 2,314,867 | 19,671,397 | |||||||||||||||||||||||
| GMO Small Cap Quality Fund, Class VI |
37,334,995 | — | 4,422,284 | — | — | 777,079 | (413,070 | ) | 33,276,720 | |||||||||||||||||||||||
| GMO U.S. Equity Fund, Class VI |
37,610,164 | — | 6,584,119 | — | — | (957,602 | ) | 2,960,748 | 33,029,191 | |||||||||||||||||||||||
| GMO U.S. Opportunistic Value Fund, Class VI |
88,911,262 | 8,220,135 | 14,527,846 | — | — | 1,782,172 | 2,547,290 | 86,933,013 | ||||||||||||||||||||||||
| GMO U.S. Small Cap Value Fund, Class VI |
21,639,012 | — | 2,445,000 | — | — | (37,790 | ) | 924,450 | 20,080,672 | |||||||||||||||||||||||
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|
|
|
|
|
|
|
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|
|
|
|
|
|
|||||||||||||||||
| Totals |
$ | 734,649,801 | $ | 46,406,520 | $ | 157,585,526 | $ | 1,045,359 | $ | — | $ | (13,665,266 | ) | $ | 49,875,162 | $ | 659,680,691 | |||||||||||||||
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|||||||||||||||||
| Affiliate | Value, beginning of period |
Purchases | Sales Proceeds |
Dividend Income* |
Distributions of Realized Gains* |
Net Realized Gain (Loss) |
Net Increase/ Decrease in Unrealized Appreciation/ Depreciation |
Value, end of period |
||||||||||||||||||||||||
| Consolidated Implementation Fund |
|
|||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
$ | 3,301,486 | $ | 43,262,021 | $ | 28,920,843 | $ | — | ** | $ | — | $ | (24 | ) | $ | 24 | $ | 17,642,664 | ||||||||||||||
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|
|||||||||||||||||
| International Developed Equity Allocation Fund | ||||||||||||||||||||||||||||||||
| GMO Emerging Markets ex-China Fund, Class VI |
$ | 21,157,581 | $ | 829,760 | $ | 16,391,760 | $ | 283,607 | $ | — | $ | (3,347,501 | ) | $ | 3,334,074 | $ | 5,582,154 | |||||||||||||||
| GMO International Equity Fund, Class IV |
185,602,298 | 657,567 | — | — | — | — | 15,799,673 | 202,059,538 | ||||||||||||||||||||||||
| GMO International Opportunistic Value Fund, Class IV |
47,858,092 | 8,325,000 | 154,079 | — | — | 17,916 | 4,416,961 | 60,463,890 | ||||||||||||||||||||||||
|
GMO-Usonian Japan Value Creation Fund, Class VI |
10,805,125 | 8,790,544 | 232,988 | — | — | (3,648 | ) | 302,497 | 19,661,530 | |||||||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Totals |
$ | 265,423,096 | $ | 18,602,871 | $ | 16,778,827 | $ | 283,607 | $ | — | $ | (3,333,233 | ) | $ | 23,853,205 | $ | 287,767,112 | |||||||||||||||
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|
|||||||||||||||||
| International Equity Allocation Fund | ||||||||||||||||||||||||||||||||
| GMO Emerging Markets ex-China Fund, Class VI |
$ | 24,272,532 | $ | 252,834 | $ | 15,558,690 | $ | 252,834 | $ | — | $ | (4,388,691 | ) | $ | 4,468,493 | $ | 9,046,478 | |||||||||||||||
| GMO Emerging Markets Fund, Class VI |
89,931,600 | 182,481 | 8,864,595 | — | — | (3,445,058 | ) | 7,059,623 | 84,864,051 | |||||||||||||||||||||||
| GMO International Equity Fund, Class IV |
142,434,181 | 1,224,714 | 8,392,566 | — | — | 122,556 | 11,608,439 | 146,997,324 | ||||||||||||||||||||||||
| GMO International Opportunistic Value Fund, Class IV |
36,353,186 | 7,875,000 | 560,018 | — | — | 49,667 | 3,338,949 | 47,056,784 | ||||||||||||||||||||||||
|
GMO-Usonian Japan Value Creation Fund, Class VI |
12,374,718 | 9,725,000 | 1,053,214 | — | — | (16,089 | ) | 337,311 | 21,367,726 | |||||||||||||||||||||||
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|
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|
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|
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|
|
|
|||||||||||||||||
| Totals |
$ | 305,366,217 | $ | 19,260,029 | $ | 34,429,083 | $ | 252,834 | $ | — | $ | (7,677,615 | ) | $ | 26,812,815 | $ | 309,332,363 | |||||||||||||||
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|||||||||||||||||
| Strategic Opportunities Allocation Fund | ||||||||||||||||||||||||||||||||
| GMO Asset Allocation Bond Fund, Class VI |
$ | 13,007,297 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (599,721 | ) | $ | 12,407,576 | |||||||||||||||
| GMO Climate Change Fund, Class III |
— | 2,430,000 | — | — | — | — | 180,489 | 2,610,489 | ||||||||||||||||||||||||
| GMO Emerging Country Debt Fund, Class VI |
8,676,483 | — | 1,570,000 | — | — | (561,830 | ) | 895,993 | 7,440,646 | |||||||||||||||||||||||
| GMO Emerging Markets ex-China Fund, Class VI |
17,963,445 | 249,814 | 13,640,000 | 249,814 | — | (2,217,203 | ) | 2,208,625 | 4,564,681 | |||||||||||||||||||||||
| GMO Emerging Markets Fund, Class VI |
16,002,271 | — | 5,100,000 | — | — | (1,396,972 | ) | 1,931,555 | 11,436,854 | |||||||||||||||||||||||
| GMO International Equity Fund, Class IV |
31,688,550 | 7,000,000 | 5,610,000 | — | — | 1,014,452 | 1,626,312 | 35,719,314 | ||||||||||||||||||||||||
| GMO International Opportunistic Value Fund, Class IV |
18,074,314 | — | 2,940,000 | — | — | 340,033 | 1,137,020 | 16,611,367 | ||||||||||||||||||||||||
|
GMO-Usonian Japan Value Creation Fund, Class VI |
10,795,220 | 5,000,000 | 1,400,000 | — | — | 252,538 | 34,949 | 14,682,707 | ||||||||||||||||||||||||
| GMO Multi-Sector Fixed Income Fund, Class IV |
6,634,466 | 1,175,000 | 680,000 | — | — | (800 | ) | (14,671 | ) | 7,113,995 | ||||||||||||||||||||||
| GMO Quality Fund, Class VI |
8,637,364 | — | 1,665,000 | — | — | 432,310 | (286,008 | ) | 7,118,666 | |||||||||||||||||||||||
| GMO Resources Fund, Class VI |
4,563,997 | — | — | — | — | — | 516,220 | 5,080,217 | ||||||||||||||||||||||||
| GMO Small Cap Quality Fund, Class VI |
8,341,628 | — | 1,000,000 | — | — | 189,627 | (91,335 | ) | 7,439,920 | |||||||||||||||||||||||
| GMO U.S. Equity Fund, Class VI |
11,100,197 | — | 2,250,000 | — | — | (43,782 | ) | 623,893 | 9,430,308 | |||||||||||||||||||||||
| GMO U.S. Opportunistic Value Fund, Class VI |
18,332,068 | — | 2,700,000 | — | — | 393,726 | 528,248 | 16,554,042 | ||||||||||||||||||||||||
| GMO U.S. Treasury Fund |
3,277,055 | 48,749 | — | 48,749 | — | — | — | 3,325,804 | ||||||||||||||||||||||||
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|
|||||||||||||||||
| Totals |
$ | 177,094,355 | $ | 15,903,563 | $ | 38,555,000 | $ | 298,563 | $ | — | $ | (1,597,901 | ) | $ | 8,691,569 | $ | 161,536,586 | |||||||||||||||
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|||||||||||||||||
| * | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2024 through May 31, 2024. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2025. |
| ** | 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 $59,504 and $33,147 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.