EX-99 3 ana.htm Unassociated Document
 
 
 

 
GMO Trust
            
 
FYE 2/28/2011
            
 
Attachment Filed in Response to Form N-SAR Sub-Item 77P
        
 
Monthly Average Assets
            
               
 
Fund Name
  
 March
  
 April
  
 May
               
04024
GMO Alpha Only Fund
  
    1,711,150,795.71
  
    1,735,835,379.98
  
    1,831,891,523.77
IZGE
GMO Alternative Asset Opportunity Fund
  
         23,049,628.50
  
         23,160,154.99
  
         22,591,248.22
IZEM
GMO Asset Allocation Bond Fund
  
       948,061,375.67
  
       969,590,725.79
  
       960,992,000.08
IZE2
GMO Benchmark-Free Allocation Fund
  
    1,772,935,527.89
  
    1,844,893,866.39
  
    1,774,988,890.22
IZFA
GMO Core Plus Bond Fund
  
       335,404,318.21
  
       341,071,957.10
  
       350,984,246.10
IZFI
GMO Currency Hedged International Bond Fund
       137,848,896.21
  
       139,802,618.98
  
       143,231,800.48
04028
GMO Currency Hedged International Equity Fund
         69,770,460.69
  
       233,950,921.71
  
       225,918,519.93
04031
GMO Developed World Stock Fund
  
       355,849,070.91
  
       367,030,683.91
  
       333,931,335.79
IZFJ
GMO Domestic Bond Fund
  
       775,345,988.98
  
       747,082,698.75
  
       741,328,569.35
04043
GMO Emerging Countries Fund
  
       219,406,324.16
  
       232,523,822.48
  
       210,088,604.84
IZFB
GMO Emerging Country Debt Fund
  
    1,953,648,272.92
  
    1,914,971,136.57
  
    1,786,193,308.75
04018
GMO Emerging Markets Fund
  
    9,691,230,617.09
  
  10,390,564,796.64
  
    9,477,689,512.59
04046
GMO Flexible Equities Fund
  
       408,344,658.63
  
       433,649,636.99
  
       406,240,504.90
04032
GMO Foreign Fund
  
    3,135,529,233.38
  
    3,234,931,043.17
  
    2,803,240,010.52
04056
GMO Foreign Small Companies Fund
  
       400,813,519.88
  
       458,577,179.36
  
       413,659,914.24
IZE4
GMO Global Balanced Asset Allocation Fund
  
    3,190,045,729.92
  
    3,233,485,571.40
  
    3,074,201,614.96
IZFD
GMO Global Bond Fund
  
       213,281,019.95
  
       211,458,842.64
  
       203,705,098.15
IZE3
GMO Global Equity Allocation Fund
  
       740,022,580.36
  
       810,065,340.71
  
       789,729,522.18
IZFL
GMO Inflation Indexed Plus Bond Fund
  
       407,288,179.39
  
       413,008,944.97
  
       417,487,961.65
IZFE
GMO International Bond Fund
  
       207,996,462.35
  
       171,082,923.58
  
       148,669,802.50
44057
GMO International Core Equity Fund
  
    4,342,055,617.98
  
    4,713,691,367.27
  
    4,245,649,388.28
IZE5
GMO International Equity Allocation Fund
  
    1,069,136,130.01
  
    1,105,329,796.18
  
       987,510,572.16
44058
GMO International Growth Equity Fund
  
    2,970,272,634.34
  
    3,162,178,434.71
  
    2,859,818,846.74
04006
GMO International Intrinsic Value Fund
  
    5,376,750,760.44
  
    5,648,044,709.18
  
    5,000,067,726.08
IZE6
GMO International Opportunities Equity Allocation Fund
       696,918,992.01
  
       725,209,894.41
  
       641,860,991.28
04010
GMO International Small Companies Fund
  
    1,076,134,238.85
  
    1,052,434,351.34
  
       748,867,866.45
IZEA
GMO Quality Fund
  
  15,286,328,605.80
  
  15,129,374,847.94
  
  14,193,012,810.47
IZFG
GMO Real Estate Fund
  
         15,109,306.74
  
         15,185,225.42
  
         14,488,043.37
IZFM
GMO Short-Duration Collateral Fund
  
    3,112,344,150.36
  
    2,977,403,010.12
  
    2,956,312,130.66
IZGH
GMO Short-Duration Collateral Share Fund
  
         33,152,592.65
  
         33,132,656.88
  
         33,424,799.45
IZGI
GMO Short-Duration Investment Fund
  
           6,642,872.57
  
           6,682,817.48
  
           6,715,644.36
IZGL
GMO Special Purpose Holding Fund
  
              307,184.18
  
              299,214.63
  
              297,178.42
IZFH
GMO Special Situations Fund
  
       365,370,093.32
  
       363,724,625.76
  
       439,404,872.11
IZE7
GMO Strategic Fixed Income Fund
  
    2,124,433,391.27
  
    2,078,203,266.77
  
    2,099,455,500.30
04070
GMO Strategic Opportunities Allocation Fund
  
    1,906,907,685.22
  
    1,950,026,199.29
  
    1,825,523,207.75
04048
GMO Taiwan Fund
  
         88,025,369.81
  
         64,968,314.30
  
         45,396,851.82
IZEB
GMO Tax-Managed International Equities Fund
       579,763,442.43
  
       598,103,325.00
  
       518,040,271.01
IZED
GMO Tax-Managed U.S. Equities Fund
  
         16,436,256.01
  
         16,765,300.98
  
         15,724,305.12
IZEF
GMO Tobacco-Free Core Fund
  
         22,466,548.52
  
         23,073,599.73
  
         21,632,013.62
IZE8
GMO U.S. Core Equity Fund
  
    2,077,967,225.55
  
    2,128,776,099.89
  
    1,995,560,117.86
IZEG
GMO U.S. Equity Allocation Fund
  
       132,965,298.11
  
       133,542,685.06
  
       120,642,522.29
IZEH
GMO U.S. Growth Fund
  
         42,746,214.79
  
         29,933,665.09
  
           2,122,120.21
IZEI
GMO U.S. Intrinsic Value Fund
  
           7,306,418.28
  
           7,518,879.51
  
           7,020,482.05
IZEJ
GMO U.S. Small/Mid Cap Growth Fund
  
         10,550,386.65
  
         10,828,770.44
  
         10,052,811.90
IZEL
GMO U.S. Small/Mid Cap Value Fund
  
         12,062,166.76
  
         12,506,073.75
  
         11,572,276.06
IZEN
GMO U.S. Treasury Fund
  
       515,643,231.97
  
       632,013,541.75
  
       703,073,651.65
IZE9
GMO World Opportunities Equity Allocation Fund
    1,111,142,704.59
  
    1,143,896,896.89
  
    1,036,348,930.26
IZGM
GMO World Oppportunity Overlay Fund
  
       931,046,128.67
  
       933,245,611.83
  
       935,771,122.91
               
 
Total
  
  70,627,008,308.69
  
  72,602,831,427.69
  
  67,592,131,043.83
               
 
Fund Name
  
 June
  
 July
  
 August
 
 
            
04024
GMO Alpha Only Fund
  
    1,775,922,688.42
  
    1,769,175,922.81
  
    1,818,583,928.47
IZGE
GMO Alternative Asset Opportunity Fund
  
         22,340,196.90
  
         22,286,297.99
  
         20,567,951.17
IZEM
GMO Asset Allocation Bond Fund
  
       628,580,677.40
  
       504,710,744.65
  
       538,690,085.10
IZE2
GMO Benchmark-Free Allocation Fund
  
    1,758,704,000.23
  
    1,772,472,812.65
  
    1,803,902,400.91
IZFA
GMO Core Plus Bond Fund
  
       342,088,400.89
  
       333,596,419.97
  
       342,932,051.24
IZFI
GMO Currency Hedged International Bond Fund
       143,837,270.75
  
       144,654,745.35
  
       148,477,607.74
04028
GMO Currency Hedged International Equity Fund
       289,764,406.01
  
       317,337,998.09
  
       329,921,399.79
04031
GMO Developed World Stock Fund
  
       326,180,030.66
  
       331,744,130.28
  
       339,391,551.54
IZFJ
GMO Domestic Bond Fund
  
       723,193,399.93
  
       702,858,278.04
  
       645,261,374.06
04043
GMO Emerging Countries Fund
  
       218,750,007.15
  
       227,497,568.65
  
       236,688,173.23
IZFB
GMO Emerging Country Debt Fund
  
    1,764,269,685.72
  
    1,812,672,365.23
  
    1,899,253,466.56
04018
GMO Emerging Markets Fund
  
    9,593,882,780.37
  
  10,136,220,490.89
  
  10,584,113,446.70
04046
GMO Flexible Equities Fund
  
       386,271,312.34
  
       376,289,830.02
  
       367,463,555.31
04032
GMO Foreign Fund
  
    2,688,030,670.10
  
    2,776,317,200.74
  
    2,808,788,997.09
04056
GMO Foreign Small Companies Fund
  
       405,715,169.13
  
       418,900,903.71
  
       451,161,922.27
IZE4
GMO Global Balanced Asset Allocation Fund
  
    3,083,233,655.06
  
    3,175,524,770.07
  
    3,258,661,510.37
IZFD
GMO Global Bond Fund
  
       196,303,656.44
  
       199,653,739.05
  
       206,945,445.98
IZE3
GMO Global Equity Allocation Fund
  
       814,660,691.63
  
       864,944,225.94
  
       899,507,348.96
IZFL
GMO Inflation Indexed Plus Bond Fund
  
       408,147,854.68
  
       406,621,254.26
  
       394,743,152.33
IZFE
GMO International Bond Fund
  
       148,000,369.00
  
       154,662,513.72
  
       156,590,997.94
44057
GMO International Core Equity Fund
  
    4,471,294,180.03
  
    4,834,604,359.54
  
    4,985,226,216.37
IZE5
GMO International Equity Allocation Fund
  
       982,020,439.80
  
    1,080,073,220.47
  
    1,111,613,678.62
44058
GMO International Growth Equity Fund
  
    2,916,434,550.95
  
    2,999,468,456.02
  
    3,092,156,038.25
04006
GMO International Intrinsic Value Fund
  
    4,982,608,141.18
  
    5,147,332,184.19
  
    5,324,665,205.94
IZE6
GMO International Opportunities Equity Allocation Fund
       621,735,855.29
  
       650,288,820.81
  
       677,257,422.81
04010
GMO International Small Companies Fund
  
       514,022,033.10
  
       392,418,410.75
  
       399,344,535.26
IZEA
GMO Quality Fund
  
  13,601,502,336.65
  
  13,774,992,158.66
  
  13,949,423,267.94
IZFG
GMO Real Estate Fund
  
         13,273,665.97
  
         12,559,504.13
  
         13,126,595.61
IZFM
GMO Short-Duration Collateral Fund
  
    2,871,884,213.20
  
    2,691,031,671.93
  
    2,510,349,867.30
IZGH
GMO Short-Duration Collateral Share Fund
  
         33,376,129.78
  
         33,450,207.36
  
         33,707,719.45
IZGI
GMO Short-Duration Investment Fund
  
           6,538,455.34
  
           6,349,476.21
  
           6,373,367.69
IZGL
GMO Special Purpose Holding Fund
  
              297,151.29
  
              297,164.26
  
              297,200.25
IZFH
GMO Special Situations Fund
  
       673,523,360.67
  
       754,397,721.05
  
       767,611,793.08
IZE7
GMO Strategic Fixed Income Fund
  
    2,079,938,122.17
  
    2,080,817,257.69
  
    2,080,670,953.13
04070
GMO Strategic Opportunities Allocation Fund
  
    1,830,914,584.59
  
    1,874,076,520.30
  
    2,004,629,857.68
04048
GMO Taiwan Fund
  
         49,921,766.63
  
         60,611,914.69
  
         77,660,347.76
IZEB
GMO Tax-Managed International Equities Fund
       511,526,485.49
  
       523,443,088.79
  
       536,106,934.79
IZED
GMO Tax-Managed U.S. Equities Fund
  
         15,395,645.87
  
         15,343,801.81
  
         15,619,992.76
IZEF
GMO Tobacco-Free Core Fund
  
         20,972,111.39
  
         20,744,897.68
  
         21,043,225.01
IZE8
GMO U.S. Core Equity Fund
  
    1,863,633,247.30
  
    1,648,177,355.77
  
    1,680,355,358.15
IZEG
GMO U.S. Equity Allocation Fund
  
       117,903,027.74
  
       119,022,787.99
  
       120,715,855.90
IZEH
GMO U.S. Growth Fund
  
           2,057,887.32
  
           2,054,602.90
  
           2,055,001.41
IZEI
GMO U.S. Intrinsic Value Fund
  
           6,788,005.96
  
           6,699,074.91
  
           6,817,631.90
IZEJ
GMO U.S. Small/Mid Cap Growth Fund
  
           9,702,319.22
  
           9,454,982.79
  
           9,597,325.19
IZEL
GMO U.S. Small/Mid Cap Value Fund
  
         11,048,154.57
  
         10,524,479.75
  
         10,633,409.81
IZEN
GMO U.S. Treasury Fund
  
       689,211,846.04
  
       736,044,908.99
  
    1,085,106,135.16
IZE9
GMO World Opportunities Equity Allocation Fund
    1,012,768,141.14
  
    1,038,596,126.57
  
    1,064,542,039.61
IZGM
GMO World Oppportunity Overlay Fund
  
       933,148,453.82
  
       936,137,885.51
  
       942,164,932.55
               
 
Total
  
  66,561,317,235.29
  
  67,907,155,253.63
  
  69,780,518,276.10
               
 
Fund Name
  
 September
  
 October
  
 November
 
 
            
04024
GMO Alpha Only Fund
  
    1,829,833,280.67
  
    1,830,175,793.28
  
    1,847,827,204.06
IZGE
GMO Alternative Asset Opportunity Fund
  
         21,076,805.37
  
         22,037,886.03
  
         22,678,084.46
IZEM
GMO Asset Allocation Bond Fund
  
       526,427,855.94
  
       531,914,615.73
  
       521,570,720.76
IZE2
GMO Benchmark-Free Allocation Fund
  
    1,844,479,626.72
  
    1,937,098,553.41
  
    1,956,889,376.49
IZFA
GMO Core Plus Bond Fund
  
       346,026,010.39
  
       348,926,577.45
  
       339,652,422.75
IZFI
GMO Currency Hedged International Bond Fund
       149,353,309.69
  
       151,009,347.15
  
       146,933,088.08
04028
GMO Currency Hedged International Equity Fund
       341,422,281.61
  
       398,185,990.13
  
       438,473,357.26
04031
GMO Developed World Stock Fund
  
       352,095,953.51
  
       371,388,597.04
  
       379,256,671.63
IZFJ
GMO Domestic Bond Fund
  
       629,085,187.98
  
       612,938,897.95
  
       600,136,898.51
04043
GMO Emerging Countries Fund
  
       246,885,234.39
  
       261,578,892.26
  
       265,558,876.22
IZFB
GMO Emerging Country Debt Fund
  
    1,910,336,979.90
  
    1,976,072,680.76
  
    1,990,480,438.86
04018
GMO Emerging Markets Fund
  
  10,822,152,434.86
  
  11,632,894,151.08
  
  11,770,529,571.00
04046
GMO Flexible Equities Fund
  
       362,742,844.62
  
       352,889,782.82
  
       308,766,177.99
04032
GMO Foreign Fund
  
    2,906,487,462.43
  
    2,964,978,097.12
  
    2,879,910,317.30
04056
GMO Foreign Small Companies Fund
  
       472,296,142.01
  
       502,171,232.51
  
       508,533,275.18
IZE4
GMO Global Balanced Asset Allocation Fund
  
    3,308,937,448.06
  
    3,397,483,947.03
  
    3,410,039,675.48
IZFD
GMO Global Bond Fund
  
       217,911,821.80
  
       224,545,423.25
  
       217,027,719.74
IZE3
GMO Global Equity Allocation Fund
  
       962,024,883.75
  
    1,162,832,584.87
  
    1,221,349,904.97
IZFL
GMO Inflation Indexed Plus Bond Fund
  
       384,348,566.59
  
       398,191,054.19
  
       387,981,223.05
IZFE
GMO International Bond Fund
  
       149,275,157.91
  
       152,245,946.92
  
       149,380,060.05
44057
GMO International Core Equity Fund
  
    5,196,074,873.20
  
    5,498,020,651.86
  
    5,410,247,324.46
IZE5
GMO International Equity Allocation Fund
  
    1,161,825,459.75
  
    1,242,673,891.98
  
    1,256,911,749.88
44058
GMO International Growth Equity Fund
  
    3,258,649,008.00
  
    3,449,266,908.41
  
    3,477,009,163.62
04006
GMO International Intrinsic Value Fund
  
    5,469,359,109.61
  
    5,798,706,805.06
  
    5,806,006,653.02
IZE6
GMO International Opportunities Equity Allocation Fund
       721,427,974.47
  
       762,444,030.75
  
       758,570,933.40
04010
GMO International Small Companies Fund
  
       411,567,498.96
  
       433,145,241.53
  
       439,404,032.55
IZEA
GMO Quality Fund
  
  14,458,051,141.80
  
  15,211,085,498.33
  
  15,348,988,610.58
IZFG
GMO Real Estate Fund
  
         13,757,844.20
  
         14,200,793.35
  
         14,254,913.00
IZFM
GMO Short-Duration Collateral Fund
  
    2,482,428,375.51
  
    2,366,912,101.93
  
    2,303,889,225.62
IZGH
GMO Short-Duration Collateral Share Fund
  
         34,006,656.78
  
         34,309,288.31
  
         34,452,058.73
IZGI
GMO Short-Duration Investment Fund
  
           6,396,307.05
  
           6,417,583.09
  
           6,185,313.95
IZGL
GMO Special Purpose Holding Fund
  
              289,319.59
  
              287,364.19
  
              287,367.34
IZFH
GMO Special Situations Fund
  
       774,472,259.94
  
       764,232,189.55
  
       764,565,692.67
IZE7
GMO Strategic Fixed Income Fund
  
    2,065,048,159.76
  
    2,040,266,321.65
  
    2,081,453,791.12
04070
GMO Strategic Opportunities Allocation Fund
  
    2,111,018,712.16
  
    2,172,722,534.53
  
    2,197,596,938.00
04048
GMO Taiwan Fund
  
         87,634,705.90
  
         89,598,896.94
  
         97,634,663.48
IZEB
GMO Tax-Managed International Equities Fund
       553,736,872.91
  
       566,119,494.16
  
       564,056,392.39
IZED
GMO Tax-Managed U.S. Equities Fund
  
         16,200,220.16
  
         16,808,382.66
  
         15,927,884.64
IZEF
GMO Tobacco-Free Core Fund
  
         21,799,099.00
  
         22,930,182.21
  
         23,302,835.76
IZE8
GMO U.S. Core Equity Fund
  
    1,709,862,921.64
  
    1,767,958,716.90
  
    1,703,910,412.39
IZEG
GMO U.S. Equity Allocation Fund
  
       125,531,871.80
  
       130,428,083.39
  
         98,090,411.16
IZEH
GMO U.S. Growth Fund
  
           2,109,682.65
  
           2,208,943.35
  
           2,269,800.85
IZEI
GMO U.S. Intrinsic Value Fund
  
           7,077,003.09
  
           7,436,182.08
  
           7,594,206.11
IZEJ
GMO U.S. Small/Mid Cap Growth Fund
  
         10,097,225.93
  
         10,827,094.83
  
         11,289,257.02
IZEL
GMO U.S. Small/Mid Cap Value Fund
  
         11,139,027.67
  
         11,878,842.19
  
         11,829,152.45
IZEN
GMO U.S. Treasury Fund
  
    1,116,811,124.08
  
    1,251,347,909.09
  
    1,306,233,653.36
IZE9
GMO World Opportunities Equity Allocation Fund
    1,106,749,144.54
  
    1,171,831,491.13
  
    1,145,572,162.97
IZGM
GMO World Oppportunity Overlay Fund
  
       943,864,076.79
  
       947,123,827.84
  
       951,819,271.61
               
 
Total
  
  71,660,184,965.11
  
  75,020,749,302.26
  
  75,202,328,935.92
               
 
Fund Name
  
 December
  
 January
  
 February
 
 
            
04024
GMO Alpha Only Fund
  
    1,857,915,299.68
  
    1,929,247,641.46
  
    1,983,650,848.01
IZGE
GMO Alternative Asset Opportunity Fund
  
         24,424,763.14
  
         24,938,802.32
  
         25,240,616.55
IZEM
GMO Asset Allocation Bond Fund
  
       443,002,055.11
  
       448,714,743.52
  
       533,086,067.79
IZE2
GMO Benchmark-Free Allocation Fund
  
    2,352,432,769.90
  
    2,763,152,336.41
  
    3,159,160,179.30
IZFA
GMO Core Plus Bond Fund
  
       227,613,411.10
  
       228,986,140.09
  
       229,084,101.88
IZFI
GMO Currency Hedged International Bond Fund
         70,469,240.72
  
         70,528,736.88
  
         70,373,846.17
04028
GMO Currency Hedged International Equity Fund
       413,189,665.11
  
       455,004,000.66
  
       491,287,996.61
04031
GMO Developed World Stock Fund
  
       385,693,194.31
  
       397,324,783.91
  
       410,223,174.57
IZFJ
GMO Domestic Bond Fund
  
       566,126,045.59
  
       538,449,349.74
  
       536,935,657.65
04043
GMO Emerging Countries Fund
  
       269,053,965.11
  
       277,626,420.67
  
       264,129,890.51
IZFB
GMO Emerging Country Debt Fund
  
    1,916,463,197.04
  
    1,944,800,858.03
  
    1,769,450,248.78
04018
GMO Emerging Markets Fund
  
  11,822,177,677.51
  
  12,219,862,965.54
  
  12,062,134,765.64
04046
GMO Flexible Equities Fund
  
       312,665,401.14
  
       322,537,555.57
  
       340,634,402.38
04032
GMO Foreign Fund
  
    2,734,697,957.33
  
    2,709,355,680.73
  
    2,723,036,141.79
04056
GMO Foreign Small Companies Fund
  
       518,021,404.37
  
       531,906,341.39
  
       544,684,546.93
IZE4
GMO Global Balanced Asset Allocation Fund
  
    3,251,974,550.19
  
    3,422,241,108.59
  
    3,443,453,194.57
IZFD
GMO Global Bond Fund
  
       209,233,791.24
  
       208,642,614.25
  
       208,540,340.53
IZE3
GMO Global Equity Allocation Fund
  
    1,315,835,356.29
  
    1,428,394,099.56
  
    1,455,347,118.94
IZFL
GMO Inflation Indexed Plus Bond Fund
  
       192,003,726.08
  
       149,376,795.72
  
       148,910,505.66
IZFE
GMO International Bond Fund
  
       115,548,954.58
  
       109,766,390.81
  
       108,990,078.99
44057
GMO International Core Equity Fund
  
    5,362,221,486.80
  
    5,520,459,645.35
  
    5,618,125,548.67
IZE5
GMO International Equity Allocation Fund
  
    1,256,138,312.03
  
    1,272,139,426.65
  
    1,283,115,937.07
44058
GMO International Growth Equity Fund
  
    3,467,902,510.02
  
    3,446,517,418.84
  
    3,520,407,525.61
04006
GMO International Intrinsic Value Fund
  
    5,800,704,934.55
  
    5,809,993,326.50
  
    5,939,110,983.64
IZE6
GMO International Opportunities Equity Allocation Fund
       767,755,455.54
  
       763,769,535.65
  
       786,828,729.72
04010
GMO International Small Companies Fund
  
       454,229,602.73
  
       460,633,370.96
  
       465,809,939.46
IZEA
GMO Quality Fund
  
  15,613,401,489.24
  
  15,973,255,065.36
  
  16,215,325,184.62
IZFG
GMO Real Estate Fund
  
         14,156,639.10
  
         14,591,863.14
  
         15,274,533.45
IZFM
GMO Short-Duration Collateral Fund
  
    2,282,566,715.90
  
    2,148,870,057.10
  
    2,087,388,769.24
IZGH
GMO Short-Duration Collateral Share Fund
  
         34,669,764.05
  
         34,869,290.40
  
         34,839,450.35
IZGI
GMO Short-Duration Investment Fund
  
           5,952,901.89
  
           5,966,085.93
  
           5,987,843.95
IZGL
GMO Special Purpose Holding Fund
  
              287,399.79
  
              283,269.35
  
              277,541.07
IZFH
GMO Special Situations Fund
  
       761,027,414.11
  
       762,452,502.29
  
       750,960,815.89
IZE7
GMO Strategic Fixed Income Fund
  
    2,346,029,392.43
  
    2,492,354,714.55
  
    2,520,191,274.19
04070
GMO Strategic Opportunities Allocation Fund
  
    2,163,021,999.63
  
    1,882,020,976.04
  
    1,731,742,484.19
04048
GMO Taiwan Fund
  
       113,702,774.30
  
       127,821,739.35
  
       146,046,766.20
IZEB
GMO Tax-Managed International Equities Fund
       566,500,920.57
  
       578,962,864.07
  
       595,258,621.97
IZED
GMO Tax-Managed U.S. Equities Fund
  
         15,804,893.00
  
         16,163,773.58
  
         16,354,272.95
IZEF
GMO Tobacco-Free Core Fund
  
         23,935,913.41
  
         24,528,386.21
  
         25,082,397.03
IZE8
GMO U.S. Core Equity Fund
  
    1,689,924,089.80
  
    1,665,367,259.87
  
    1,693,097,112.37
IZEG
GMO U.S. Equity Allocation Fund
  
         96,263,022.67
  
         96,421,581.24
  
         97,467,737.84
IZEH
GMO U.S. Growth Fund
  
           2,346,700.97
  
           2,385,730.75
  
           2,484,979.18
IZEI
GMO U.S. Intrinsic Value Fund
  
           7,825,545.22
  
           8,166,230.18
  
           8,514,299.60
IZEJ
GMO U.S. Small/Mid Cap Growth Fund
  
         12,039,994.03
  
         12,285,109.91
  
         13,122,880.78
IZEL
GMO U.S. Small/Mid Cap Value Fund
  
         12,383,235.43
  
         12,532,724.83
  
         13,000,999.73
IZEN
GMO U.S. Treasury Fund
  
    1,318,805,446.39
  
    1,570,174,424.83
  
    1,697,678,504.07
IZE9
GMO World Opportunities Equity Allocation Fund
    1,166,959,265.86
  
    1,202,857,018.54
  
    1,233,517,819.41
IZGM
GMO World Oppportunity Overlay Fund
  
       857,442,959.02
  
       846,816,078.39
  
       850,218,955.23
               
 
Total
  
  75,212,543,204.02
  
  76,933,516,835.68
  
  77,875,585,630.73