UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-04347

GMO Trust

(Exact name of registrant as specified in charter)

40 Rowes Wharf, Boston, MA 02110

(Address of principal executive offices) (Zip code)

J.B. Kittredge, Chief Executive Officer, 40 Rowes Wharf, Boston, MA 02110

(Name and address of agent for service)

Registrant’s telephone number, including area code: 617-346-7646

Date of fiscal year end: 02/28/14

Date of reporting period: 05/31/13

Item 1. Schedule of Investments.

The Schedules of Investments for each series of the registrant for the periods ended May 31, 2013 are filed herewith.

Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 99.2%
		Capital Goods — 1.2%
	1,488,600	3M Co.		164,147,922
		Consumer Durables & Apparel — 0.7%
	1,604,240	Nike, Inc. – Class B		98,917,438
		Consumer Services — 2.0%
	2,792,000	McDonald’s Corp.		269,623,440
	224,135	Yum! Brands, Inc.		15,185,146
		Total Consumer Services		284,808,586
		Energy — 7.1%
	12,130,592	BP Plc		86,699,796
	4,211,570	Chevron Corp.		516,970,218
	2,029,900	Exxon Mobil Corp.		183,645,053
	3,422,202	Royal Dutch Shell Plc – A Shares		113,893,834
	1,737,378	Total SA		86,839,941
		Total Energy		988,048,842
		Food & Staples Retailing — 4.8%
	414,900	Costco Wholesale Corp.		45,502,083
	754,100	CVS Caremark Corp.		43,421,078
	1,677,309	Sysco Corp.		56,693,044
	11,407,022	Tesco Plc		63,165,062
	655,500	Walgreen Co.		31,306,680
	5,538,500	Wal–Mart Stores, Inc.		414,501,340
	388,258	Woolworths Ltd.		12,207,692
		Total Food & Staples Retailing		666,796,979
		Food, Beverage & Tobacco — 18.1%
	557,190	Anheuser-Busch InBev NV		51,308,987
	2,728,317	British American Tobacco Plc		149,917,420
	15,744,600	Coca-Cola Co. (The)		629,626,554
	399,100	General Mills, Inc.		18,789,628
	7,752,200	Japan Tobacco, Inc.		263,830,581
	3,491,400	Lorillard, Inc.		148,175,016
	2,344,760	Nestle SA (Registered)		155,327,657
	5,162,011	PepsiCo, Inc.		416,935,629
	5,645,430	Philip Morris International, Inc.		513,226,041
	3,679,031	Unilever NV		150,302,460
	447,284	Unilever Plc		18,788,295
		Total Food, Beverage & Tobacco		2,516,228,268
		Health Care Equipment & Services — 9.2%
	5,863,305	Abbott Laboratories		215,007,394
	226,400	AmerisourceBergen Corp.		12,243,712
	440,700	Baxter International, Inc.		30,994,431
	339,100	Becton, Dickinson and Co.		33,442,042
	255,800	Cardinal Health, Inc.		12,012,368
	6,758,580	Express Scripts Holding Co. *		419,842,990

Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	816,965	Laboratory Corp. of America Holdings *		81,279,848
	146,300	McKesson Corp.		16,657,718
	3,196,630	Medtronic, Inc.		163,060,096
	798,145	Quest Diagnostics, Inc.		49,357,287
	322,800	Stryker Corp.		21,430,692
	1,667,544	UnitedHealth Group, Inc.		104,438,281
	1,443,367	Zimmer Holdings, Inc.		113,318,743
		Total Health Care Equipment & Services		1,273,085,602
		Household & Personal Products — 6.0%
	479,153	Church & Dwight Co., Inc.		29,137,294
	4,732,100	Colgate-Palmolive Co.		273,704,664
	299,000	Kimberly-Clark Corp.		28,952,170
	6,287,800	Procter & Gamble Co. (The)		482,651,528
	222,872	Reckitt Benckiser Group Plc		15,937,235
		Total Household & Personal Products		830,382,891
		Pharmaceuticals, Biotechnology & Life Sciences — 17.8%
	127,200	Allergan, Inc.		12,655,128
	676,313	Amgen, Inc.		67,989,746
	1,736,273	AstraZeneca Plc		88,835,022
	2,234,500	Bristol–Myers Squibb Co.		102,809,345
	1,431,200	Eli Lilly & Co.		76,082,592
	838,600	Gilead Sciences, Inc. *		45,686,928
	7,684,966	GlaxoSmithKline Plc		198,834,441
	8,476,300	Johnson & Johnson		713,534,934
	2,801,500	Merck & Co., Inc.		130,830,050
	2,108,873	Novartis AG (Registered)		151,062,777
	154,895	Novo Nordisk A/S – Class B		25,105,014
	20,309,339	Pfizer, Inc.		553,023,301
	634,459	Roche Holding AG		157,305,471
	1,266,765	Sanofi		135,072,818
	497,500	Takeda Pharmaceutical Co. Ltd.		22,050,356
		Total Pharmaceuticals, Biotechnology & Life Sciences		2,480,877,923
		Retailing — 1.9%
	3,566,600	Target Corp.		247,878,700
	452,778	TJX Cos., Inc. (The)		22,915,095
		Total Retailing		270,793,795
		Software & Services — 20.5%
	790,600	Google, Inc. – Class A *		688,146,146
	2,297,370	International Business Machines Corp.		477,898,907
	176,000	Intuit, Inc.		10,285,440
	245,670	Mastercard, Inc. – Class A		140,093,318
	19,770,200	Microsoft Corp.		689,584,576
	19,325,600	Oracle Corp.		652,432,256
	61,200	Paychex, Inc.		2,278,476
	990,435	SAP AG *		74,122,064

Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Software & Services — continued
	609,600	Visa, Inc. – Class A		108,594,144
	27,446	Yahoo! Japan Corp.		12,434,664
		Total Software & Services		2,855,869,991
		Technology Hardware & Equipment — 9.4%
	583,918	Apple, Inc.		262,576,246
	22,543,931	Cisco Systems, Inc.		542,857,859
	1,918,500	EMC Corp. *		47,502,060
	14,196,700	Hewlett-Packard Co.		346,683,414
	1,665,858	Qualcomm, Inc.		105,748,666
		Total Technology Hardware & Equipment		1,305,368,245
		Telecommunication Services — 0.5%
	43,465	NTT Docomo, Inc.		63,503,077
		TOTAL COMMON STOCKS (COST $11,034,527,626)		13,798,829,559
		MUTUAL FUNDS — 0.2%
		Affiliated Issuers — 0.2%
	941,911	GMO U.S. Treasury Fund		23,557,194
		TOTAL MUTUAL FUNDS (COST $23,557,194)		23,557,194
		SHORT-TERM INVESTMENTS — 0.6%
		Money Market Funds — 0.6%
	87,482,808	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (a)		87,482,808
		TOTAL SHORT-TERM INVESTMENTS (COST $87,482,808)		87,482,808
		TOTAL INVESTMENTS — 100.0% (Cost $11,145,567,628)		13,909,869,561
		Other Assets and Liabilities (net) — (0.0%)		(1,651,140	)
		TOTAL NET ASSETS — 100.0%		$13,908,218,421

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of May 31, 2013. Note: Yield rounds to 0.00%.

Country Summary*	% of Investments
United States		84.8	%
United Kingdom		5.3
Switzerland		3.4
Japan		2.6
France		1.6
Netherlands		1.1
Germany		0.5
Belgium		0.4
Denmark		0.2
Australia		0.1
		100.0	%

* The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap agreements and other derivative financial instruments, if any.

Real Estate Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		REAL ESTATE INVESTMENTS — 99.1%
		REAL ESTATE INVESTMENT TRUSTS — 99.1%
		Diversified — 6.2%
	8,500	Duke Realty Corp.		140,845
	5,908	Lexington Realty Trust		74,382
	3,400	Liberty Property Trust		137,972
	600	PS Business Parks, Inc.		45,786
	4,528	Vornado Realty Trust		362,014
		Total Diversified		760,999
		Industrial — 4.8%
	9,200	DCT Industrial Trust, Inc.		67,896
	3,000	First Industrial Realty Trust, Inc.		50,670
	11,660	ProLogis, Inc.		469,898
		Total Industrial		588,464
		Office — 14.1%
	1,670	Alexandria Real Estate Equities, Inc.		114,395
	5,000	BioMed Realty Trust, Inc.		104,650
	3,665	Boston Properties, Inc.		390,615
	5,589	Brandywine Realty Trust		79,140
	2,700	CommonWealth		55,188
	2,100	Corporate Office Properties Trust		55,923
	2,880	Digital Realty Trust, Inc.		175,421
	4,000	Douglas Emmett, Inc.		101,960
	2,800	Franklin Street Properties Corp.		38,136
	2,000	Government Properties Income Trust		48,620
	2,100	Highwoods Properties, Inc.		76,482
	1,700	Hudson Pacific Properties, Inc.		36,703
	1,678	Kilroy Realty Corp.		88,783
	2,800	Mack-Cali Realty Corp.		74,200
	5,800	Piedmont Office Realty Trust, Inc. – Class A		110,142
	1,964	SL Green Realty Corp.		170,829
		Total Office		1,721,187
		Residential — 14.4%
	2,500	American Campus Communities, Inc.		102,075
	2,931	Apartment Investment & Management Co. – Class A		88,692
	2,659	AvalonBay Communities, Inc.		352,743
	1,743	BRE Properties, Inc.		87,133
	2,105	Camden Property Trust		145,771
	875	Equity Lifestyle Properties, Inc.		67,524
	7,626	Equity Residential		431,250
	804	Essex Property Trust, Inc.		126,340

Shares		Description	Value ($)
		Residential — continued
	1,300	Home Properties, Inc.		79,001
	1,000	Mid-America Apartment Communities, Inc.		67,970
	1,300	Post Properties, Inc.		62,140
	5,964	UDR, Inc.		145,343
		Total Residential		1,755,982
		Retail — 25.0%
	4,531	CBL & Associates Properties, Inc.		104,168
	6,797	DDR Corp.		118,676
	1,840	Federal Realty Investment Trust		198,260
	9,958	General Growth Properties, Inc.		204,438
	10,923	Kimco Realty Corp.		241,944
	2,900	Macerich Co. (The)		188,239
	3,579	National Retail Properties, Inc.		128,379
	5,300	Realty Income Corp.		240,885
	2,285	Regency Centers Corp.		117,906
	7,249	Simon Property Group, Inc.		1,206,523
	2,404	Tanger Factory Outlet Centers, Inc.		82,890
	1,473	Taubman Centers, Inc.		118,694
	3,286	Weingarten Realty Investors		104,758
		Total Retail		3,055,760
		Specialized — 34.6%
	1,800	Chesapeake Lodging Trust		40,590
	4,609	Corrections Corp. of America		162,006
	3,800	CubeSmart		59,470
	1,500	EPR Properties		78,630
	3,100	Extra Space Storage, Inc.		129,859
	2,900	Geo Group, Inc. (The)		100,978
	13,785	HCP, Inc.		653,133
	6,984	Health Care, Inc.		475,121
	2,200	Healthcare Realty Trust, Inc.		58,542
	3,600	Healthcare Trust of America Inc. – Class A		41,364
	4,600	Hospitality Properties Trust		134,228
	17,651	Host Hotels & Resorts, Inc.		314,011
	2,400	LaSalle Hotel Properties		63,360
	1,000	LTC Properties, Inc.		41,610
	5,195	Medical Properties Trust, Inc.		77,094
	900	National Health Investors, Inc.		56,043
	3,600	Omega Healthcare Investors, Inc.		116,676
	4,442	Public Storage		674,296
	3,500	RLJ Lodging Trust		81,060
	6,143	Senior Housing Properties Trust		158,797
	1,000	Sovran Self Storage, Inc.		64,870
	4,885	Sunstone Hotel Investors, Inc. *		58,913
	8,167	Ventas, Inc.		582,879
		Total Specialized		4,223,530
		TOTAL REAL ESTATE INVESTMENT TRUSTS (COST $8,700,903)		12,105,922
		TOTAL REAL ESTATE INVESTMENTS (COST $8,700,903)		12,105,922

Real Estate Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 0.5%
		Affiliated Issuers — 0.5%
	2,479	GMO U.S. Treasury Fund		62,000
		TOTAL MUTUAL FUNDS (COST $62,000)		62,000
		SHORT-TERM INVESTMENTS — 0.5%
		Money Market Funds — 0.5%
	59,011	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (a)		59,011
		TOTAL SHORT-TERM INVESTMENTS (COST $59,011)		59,011
		TOTAL INVESTMENTS — 100.1% (Cost $8,821,914)		12,226,933
		Other Assets and Liabilities (net) — (0.1%)		(15,038	)
		TOTAL NET ASSETS — 100.0%		$12,211,895

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of May 31, 2013. Note: Yield rounds to 0.00%.

U.S. Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.4%
		Automobiles & Components — 1.2%
	8,300	Dana Holding Corp.		157,036
	52,900	Delphi Automotive Plc		2,582,049
	427,666	General Motors Co. *		14,493,601
	24,900	TRW Automotive Holdings Corp. *		1,577,415
		Total Automobiles & Components		18,810,101
		Capital Goods — 2.8%
	170,400	3M Co.		18,790,008
	72,400	Danaher Corp.		4,475,768
	27,200	Exelis, Inc.		330,480
	61,100	Fastenal Co.		3,188,198
	77,000	General Dynamics Corp.		5,936,700
	11,950	ITT Corp.		360,292
	32,500	L-3 Communications Holdings, Inc.		2,765,425
	91,900	Raytheon Co.		6,124,216
	11,100	WW Grainger, Inc.		2,857,584
		Total Capital Goods		44,828,671
		Commercial & Professional Services — 0.2%
	30,100	RR Donnelley & Sons Co.		399,427
	20,700	Stericycle, Inc. *		2,272,032
		Total Commercial & Professional Services		2,671,459
		Consumer Durables & Apparel — 1.1%
	64,400	Coach, Inc.		3,751,944
	161,980	Nike, Inc. – Class B		9,987,687
	19,500	VF Corp.		3,585,270
	5,000	Wolverine World Wide, Inc.		261,750
		Total Consumer Durables & Apparel		17,586,651
		Consumer Services — 1.8%
	34,900	Apollo Group, Inc. – Class A *		697,651
	8,900	Choice Hotels International, Inc.		351,372
	8,200	DeVry, Inc.		256,086
	223,700	McDonald’s Corp.		21,602,709
	99,600	Starbucks Corp.		6,281,772
	6,900	Weight Watchers International, Inc.		316,365
		Total Consumer Services		29,505,955
		Diversified Financials — 7.5%
	2,250,259	Bank of America Corp.		30,738,538
	677,200	Citigroup, Inc.		35,207,628
	19,400	Federated Investors, Inc. – Class B		536,798
	58,800	Goldman Sachs Group, Inc. (The)		9,530,304
	665,100	JPMorgan Chase & Co.		36,307,809
	239,200	Morgan Stanley		6,195,280
	15,900	Prospect Capital Corp.		165,201
	149,700	SLM Corp.		3,553,878
		Total Diversified Financials		122,235,436

Shares		Description	Value ($)
		Energy — 8.2%
	121,190	Apache Corp.		9,953,335
	477,944	Chevron Corp.		58,667,626
	99,400	ConocoPhillips		6,097,196
	353,300	Exxon Mobil Corp.		31,963,051
	66,500	Marathon Petroleum Corp.		5,486,250
	163,700	Marathon Oil Corp.		5,629,643
	110,300	Phillips 66		7,342,671
	31,500	Tesoro Corp.		1,941,975
	137,800	Valero Energy Corp.		5,598,814
		Total Energy		132,680,561
		Food & Staples Retailing — 2.5%
	209,800	Sysco Corp.		7,091,240
	88,700	Walgreen Co.		4,236,312
	397,678	Wal–Mart Stores, Inc.		29,762,221
		Total Food & Staples Retailing		41,089,773
		Food, Beverage & Tobacco — 8.3%
	31,350	Brown-Forman Corp. – Class B		2,157,507
	37,200	Campbell Soup Co.		1,592,532
	925,100	Coca-Cola Co. (The)		36,994,749
	147,300	General Mills, Inc.		6,934,884
	37,000	Hershey Co. (The)		3,297,070
	26,900	Hormel Foods Corp.		1,071,158
	47,100	Kellogg Co.		2,922,555
	93,980	Lorillard, Inc.		3,988,511
	30,200	McCormick & Co., Inc. (Non Voting)		2,086,216
	32,000	Monster Beverage Corp. *		1,746,880
	344,175	PepsiCo, Inc.		27,799,015
	455,403	Philip Morris International, Inc.		41,400,687
	76,000	Reynolds American, Inc.		3,656,360
		Total Food, Beverage & Tobacco		135,648,124
		Health Care Equipment & Services — 10.1%
	445,600	Abbott Laboratories		16,340,152
	100,300	Aetna, Inc.		6,056,114
	158,200	Baxter International, Inc.		11,126,206
	46,200	Becton, Dickinson and Co.		4,556,244
	2	Cardinal Health, Inc.		94
	26,980	Cerner Corp. *		2,651,594
	68,900	Cigna Corp.		4,678,310
	29,100	Community Health Systems, Inc.		1,401,747
	137,000	Covidien Plc		8,713,200
	17,170	CR Bard, Inc.		1,770,055
	25,440	Edwards Lifesciences Corp. *		1,690,742
	188,750	Express Scripts Holding Co. *		11,725,150
	81,400	HCA Holdings, Inc.		3,179,484
	18,700	Henry Schein, Inc. *		1,800,623
	37,400	Humana, Inc.		3,021,172
	15,090	Idexx Laboratories, Inc. *		1,244,020
	9,060	Intuitive Surgical, Inc. *		4,507,622

U.S. Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	81,100	Laboratory Corp. of America Holdings *		8,068,639
	18,600	Mednax, Inc. *		1,726,638
	398,800	Medtronic, Inc.		20,342,788
	38,100	Quest Diagnostics, Inc.		2,356,104
	68,300	Stryker Corp.		4,534,437
	70,100	St Jude Medical, Inc.		3,030,423
	440,074	UnitedHealth Group, Inc.		27,561,835
	24,300	Varian Medical Systems, Inc. *		1,628,343
	62,600	WellPoint, Inc.		4,818,322
	74,225	Zimmer Holdings, Inc.		5,827,405
		Total Health Care Equipment & Services		164,357,463
		Household & Personal Products — 4.7%
	34,800	Church & Dwight Co., Inc.		2,116,188
	30,473	Clorox Co.		2,531,697
	210,720	Colgate-Palmolive Co.		12,188,044
	54,160	Estee Lauder Cos., Inc. (The) – Class A		3,670,965
	76,400	Kimberly-Clark Corp.		7,397,812
	634,600	Procter & Gamble Co. (The)		48,711,896
		Total Household & Personal Products		76,616,602
		Insurance — 3.6%
	156,000	AFLAC, Inc.		8,687,640
	64,500	Allstate Corp. (The)		3,111,480
	324,800	American International Group, Inc. *		14,440,608
	42,100	Assurant, Inc.		2,094,054
	197,200	Genworth Financial, Inc. – Class A *		2,131,732
	136,800	Hartford Financial Services Group, Inc. (The)		4,190,184
	77,700	Lincoln National Corp.		2,770,782
	167,600	MetLife, Inc.		7,409,596
	83,700	Prudential Financial, Inc.		5,772,789
	28,900	Torchmark Corp.		1,864,339
	45,900	Travelers Cos., Inc. (The)		3,842,748
	50,100	Unum Group		1,426,848
		Total Insurance		57,742,800
		Materials — 0.2%
	54,900	LyondellBasell Industries NV – Class A		3,659,085
		Media — 0.2%
	89,500	Gannett Co., Inc.		1,924,250
	11,000	John Wiley and Sons, Inc. – Class A		436,700
	29,900	Lamar Advertising Co. – Class A *		1,397,227
		Total Media		3,758,177
		Pharmaceuticals, Biotechnology & Life Sciences — 16.5%
	66,400	Allergan, Inc.		6,606,136
	90,300	Amgen, Inc.		9,077,859
	32,490	Biogen Idec, Inc. *		7,716,050
	337,900	Bristol–Myers Squibb Co.		15,546,779

Shares		Description	Value ($)
		Pharmaceuticals, Biotechnology & Life Sciences — continued
	437,900	Eli Lilly & Co.		23,278,764
	130,700	Gilead Sciences, Inc. *		7,120,536
	943,900	Johnson & Johnson		79,457,502
	1,270,185	Merck & Co., Inc.		59,317,640
	2,137,736	Pfizer, Inc.		58,210,551
	3,300	Techne Corp.		219,483
	19,500	Waters Corp. *		1,885,845
		Total Pharmaceuticals, Biotechnology & Life Sciences		268,437,145
		Real Estate — 0.2%
	109,500	American Capital Agency Corp. REIT		2,825,100
	50,700	ARMOUR Residential, Inc. REIT		261,612
	32,000	CYS Investments, Inc. REIT		328,960
		Total Real Estate		3,415,672
		Retailing — 3.0%
	66,700	AutoNation, Inc. *		3,090,211
	108,000	Bed Bath & Beyond, Inc. *		7,371,000
	7,100	Buckle, Inc. (The)		379,708
	11,744	CST Brands, Inc. *		356,900
	54,300	Dollar Tree, Inc. *		2,608,572
	43,700	GameStop Corp. – Class A		1,449,092
	31,100	Genuine Parts Co.		2,417,714
	15,300	Guess?, Inc.		486,234
	123,800	Home Depot, Inc.		9,738,108
	47,200	Kohl’s Corp.		2,426,552
	7,300	Rent-A-Center, Inc.		267,034
	51,985	Ross Stores, Inc.		3,342,636
	80,560	Sears Holdings Corp. *		3,933,745
	154,900	Staples, Inc.		2,323,500
	171,817	TJX Cos., Inc. (The)		8,695,658
		Total Retailing		48,886,664
		Semiconductors & Semiconductor Equipment — 0.6%
	423,800	Intel Corp.		10,289,864
		Software & Services — 17.3%
	185,100	Accenture Plc – Class A		15,198,561
	52,800	Amdocs Ltd.		1,884,960
	100,900	Automatic Data Processing, Inc.		6,933,848
	19,200	Booz Allen Hamilton Holding Corp.		334,848
	41,500	Citrix Systems, Inc. *		2,670,525
	45,700	Cognizant Technology Solutions Corp. – Class A *		2,954,505
	64,720	Google, Inc. – Class A *		56,332,935
	260,370	International Business Machines Corp.		54,162,168
	66,200	Intuit, Inc.		3,868,728
	2,468,757	Microsoft Corp.		86,110,244
	1,397,615	Oracle Corp.		47,183,482

U.S. Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Software & Services — continued
	79,500	Paychex, Inc.		2,959,785
	1	Symantec Corp. *		22
		Total Software & Services		280,594,611
		Technology Hardware & Equipment — 5.6%
	29,380	Apple, Inc.		13,211,598
	1,000,180	Cisco Systems, Inc.		24,084,334
	378,006	Dell, Inc.		5,046,380
	214,000	EMC Corp. *		5,298,640
	34,000	Harris Corp.		1,704,420
	725,463	Hewlett-Packard Co.		17,715,807
	13,400	Lexmark International, Inc.		408,834
	336,200	Qualcomm, Inc.		21,341,976
	46,100	Western Digital Corp.		2,919,052
		Total Technology Hardware & Equipment		91,731,041
		Telecommunication Services — 1.1%
	269,900	AT&T, Inc.		9,443,801
	49,500	NII Holdings, Inc. *		381,645
	13,100	Telephone & Data Systems, Inc.		304,575
	2,500	United States Cellular Corp. *		99,250
	147,600	Verizon Communications, Inc.		7,155,648
		Total Telecommunication Services		17,384,919
		Transportation — 0.1%
	39,500	CH Robinson Worldwide, Inc.		2,239,255
		Utilities — 0.6%
	61,700	American Electric Power Co., Inc.		2,827,094
	30,900	Entergy Corp.		2,128,392
	94,100	Exelon Corp.		2,949,094
	72,100	Public Service Enterprise Group, Inc.		2,382,184
		Total Utilities		10,286,764
		TOTAL COMMON STOCKS (COST $1,301,328,644)		1,584,456,793
		MUTUAL FUNDS — 0.8%
		Affiliated Issuers — 0.8%
	496,041	GMO U.S. Treasury Fund		12,406,000
		TOTAL MUTUAL FUNDS (COST $12,406,000)		12,406,000

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.6%
		Money Market Funds — 1.6%
	25,778,096	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (a)		25,778,096
		TOTAL SHORT-TERM INVESTMENTS (COST $25,778,096)		25,778,096
		TOTAL INVESTMENTS — 99.8% (Cost $1,339,512,740)		1,622,640,889
		Other Assets and Liabilities (net) — 0.2%		3,704,954
		TOTAL NET ASSETS — 100.0%		$1,626,345,843

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of May 31, 2013. Note: Yield rounds to 0.00%.

U.S. Flexible Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.7%
		Capital Goods — 1.4%
	918,100	3M Co.		101,238,887
	58,900	Danaher Corp.		3,641,198
		Total Capital Goods		104,880,085
		Consumer Durables & Apparel — 0.8%
	990,400	Nike, Inc. – Class B		61,068,064
		Consumer Services — 2.3%
	1,693,800	McDonald’s Corp.		163,570,266
	162,700	Yum! Brands, Inc.		11,022,925
		Total Consumer Services		174,593,191
		Energy — 7.3%
	6,472,483	BP Plc		46,260,146
	2,557,600	Chevron Corp.		313,945,400
	1,256,400	Exxon Mobil Corp.		113,666,508
	1,146,773	Royal Dutch Shell Plc – A Shares		38,165,594
	905,939	Total SA		45,281,850
		Total Energy		557,319,498
		Food & Staples Retailing — 4.8%
	269,800	Costco Wholesale Corp.		29,588,966
	477,100	CVS Caremark Corp.		27,471,418
	1,037,800	Sysco Corp.		35,077,640
	444,000	Walgreen Co.		21,205,440
	3,352,800	Wal–Mart Stores, Inc.		250,923,552
	115,957	Woolworths Ltd.		3,645,945
		Total Food & Staples Retailing		367,912,961
		Food, Beverage & Tobacco — 14.3%
	9,456,300	Coca-Cola Co. (The)		378,157,437
	322,200	General Mills, Inc.		15,169,176
	44,500	Kellogg Co.		2,761,225
	2,151,600	Lorillard, Inc.		91,313,904
	663,083	Nestle SA (Registered)		43,925,659
	3,128,600	PepsiCo, Inc.		252,697,022
	3,411,400	Philip Morris International, Inc.		310,130,374
		Total Food, Beverage & Tobacco		1,094,154,797
		Health Care Equipment & Services — 10.2%
	3,569,300	Abbott Laboratories		130,886,231
	151,900	AmerisourceBergen Corp.		8,214,752
	290,500	Baxter International, Inc.		20,430,865
	219,200	Becton, Dickinson and Co.		21,617,504
	171,400	Cardinal Health, Inc.		8,048,944
	4,039,100	Express Scripts Holding Co. *		250,908,892
	513,100	Laboratory Corp. of America Holdings *		51,048,319
	95,800	McKesson Corp.		10,907,788

Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	1,957,100	Medtronic, Inc.		99,831,671
	500,700	Quest Diagnostics, Inc.		30,963,288
	210,300	Stryker Corp.		13,961,817
	1,029,900	UnitedHealth Group, Inc.		64,502,637
	885,700	Zimmer Holdings, Inc.		69,536,307
		Total Health Care Equipment & Services		780,859,015
		Household & Personal Products — 6.5%
	299,500	Church & Dwight Co., Inc.		18,212,595
	28,900	Clorox Co.		2,401,012
	2,875,100	Colgate-Palmolive Co.		166,295,784
	202,200	Kimberly-Clark Corp.		19,579,026
	3,822,200	Procter & Gamble Co. (The)		293,392,072
		Total Household & Personal Products		499,880,489
		Pharmaceuticals, Biotechnology & Life Sciences — 16.3%
	95,900	Allergan, Inc.		9,541,091
	428,300	Amgen, Inc.		43,056,999
	275,377	AstraZeneca Plc		14,089,444
	1,414,400	Bristol–Myers Squibb Co.		65,076,544
	927,300	Eli Lilly & Co.		49,295,268
	539,800	Gilead Sciences, Inc. *		29,408,304
	3,160,076	GlaxoSmithKline Plc		81,761,188
	4,830,100	Johnson & Johnson		406,597,818
	1,816,000	Merck & Co., Inc.		84,807,200
	589,337	Novartis AG (Registered)		42,215,384
	12,255,700	Pfizer, Inc.		333,722,711
	187,936	Roche Holding AG		46,596,173
	387,382	Sanofi		41,305,829
		Total Pharmaceuticals, Biotechnology & Life Sciences		1,247,473,953
		Retailing — 2.2%
	39,700	Bed Bath & Beyond, Inc. *		2,709,525
	41,500	Home Depot, Inc.		3,264,390
	2,138,200	Target Corp.		148,604,900
	329,800	TJX Cos., Inc. (The)		16,691,178
		Total Retailing		171,269,993
		Software & Services — 21.5%
	475,100	Google, Inc. – Class A *		413,531,791
	1,403,100	International Business Machines Corp.		291,872,862
	141,100	Intuit, Inc.		8,245,884
	146,992	Mastercard, Inc. – Class A		83,822,188
	11,927,500	Microsoft Corp.		416,031,200
	10,904,500	Oracle Corp.		368,135,920
	105,900	Paychex, Inc.		3,942,657
	362,000	Visa, Inc. – Class A		64,486,680
		Total Software & Services		1,650,069,182

U.S. Flexible Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Technology Hardware & Equipment — 10.1%
	346,800	Apple, Inc.		155,949,024
	13,295,400	Cisco Systems, Inc.		320,153,232
	1,217,400	EMC Corp. *		30,142,824
	8,397,700	Hewlett-Packard Co.		205,071,834
	1,024,900	Qualcomm, Inc.		65,060,652
		Total Technology Hardware & Equipment		776,377,566
		TOTAL COMMON STOCKS (COST $6,614,779,035)		7,485,858,794
		MUTUAL FUNDS — 0.5%
		Affiliated Issuers — 0.5%
	1,598,961	GMO U.S. Treasury Fund		39,990,000
		TOTAL MUTUAL FUNDS (COST $39,990,000)		39,990,000
		SHORT-TERM INVESTMENTS — 1.4%
		Money Market Funds — 1.4%
	109,716,336	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (a)		109,716,336
		TOTAL SHORT-TERM INVESTMENTS (COST $109,716,336)		109,716,336
		TOTAL INVESTMENTS — 99.6% (Cost $6,764,485,371)		7,635,565,130
		Other Assets and Liabilities (net) — 0.4%		28,697,684
		TOTAL NET ASSETS — 100.0%		$7,664,262,814

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of May 31, 2013. Note: Yield rounds to 0.00%.

Country Summary*	% of Investments
United States		94.6	%
United Kingdom		2.4
Switzerland		1.8
France		1.2
Australia		0.0	^
		100.0	%

* The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap agreements and other derivative financial instruments, if any.

^ Rounds to 0.0%.

U.S. Growth Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.8%
		Capital Goods — 4.0%
	300	3M Co.		33,081
	51	BE Aerospace, Inc. *		3,235
	50	Colfax Corp. *		2,495
	73	Danaher Corp.		4,513
	80	TransDigm Group, Inc.		11,688
	339	United Technologies Corp.		32,171
	102	WABCO Holdings, Inc. *		7,693
		Total Capital Goods		94,876
		Commercial & Professional Services — 0.2%
	53	IHS, Inc. – Class A *		5,572
		Consumer Durables & Apparel — 2.5%
	47	Carter’s, Inc.		3,387
	193	Michael Kors Holdings Ltd. *		12,124
	276	Nike, Inc. – Class B		17,018
	4	NVR, Inc. *		3,933
	128	Ralph Lauren Corp.		22,412
		Total Consumer Durables & Apparel		58,874
		Consumer Services — 3.1%
	185	H&R Block, Inc.		5,415
	138	Las Vegas Sands Corp.		7,990
	451	McDonald’s Corp.		43,553
	140	Starbucks Corp.		8,830
	123	Wyndham Worldwide Corp.		7,149
		Total Consumer Services		72,937
		Diversified Financials — 0.3%
	83	McGraw-Hill Cos., Inc. (The)		4,528
	52	Moody’s Corp.		3,455
		Total Diversified Financials		7,983
		Energy — 1.3%
	151	Kinder Morgan Inc.		5,735
	65	Oceaneering International, Inc.		4,711
	90	Range Resources Corp.		6,766
	84	Schlumberger Ltd.		6,135
	213	Williams Cos., Inc.		7,493
		Total Energy		30,840
		Food & Staples Retailing — 5.0%
	167	Costco Wholesale Corp.		18,315
	239	CVS Caremark Corp.		13,762
	130	Kroger Co. (The)		4,377
	444	Sysco Corp.		15,007
	767	Wal–Mart Stores, Inc.		57,402
	226	Whole Foods Market, Inc.		11,720

Shares		Description	Value ($)
		Food & Staples Retailing — continued
		Total Food & Staples Retailing		120,583
		Food, Beverage & Tobacco — 16.0%
	622	Altria Group, Inc.		22,454
	181	Brown-Forman Corp. – Class B		12,456
	197	Campbell Soup Co.		8,434
	1,639	Coca-Cola Co. (The)		65,544
	171	Dr Pepper Snapple Group, Inc.		7,863
	169	Flowers Foods, Inc.		5,640
	356	General Mills, Inc.		16,760
	194	Hershey Co. (The)		17,287
	185	HJ Heinz Co.		13,387
	281	Hormel Foods Corp.		11,189
	199	Kellogg Co.		12,348
	60	Kraft Foods Group, Inc.		3,308
	423	Lorillard, Inc.		17,952
	201	McCormick & Co., Inc. (Non Voting)		13,885
	170	Mead Johnson Nutrition Co.		13,782
	246	Monster Beverage Corp. *		13,429
	643	PepsiCo, Inc.		51,935
	689	Philip Morris International, Inc.		62,637
	263	Reynolds American, Inc.		12,653
		Total Food, Beverage & Tobacco		382,943
		Health Care Equipment & Services — 2.9%
	606	Abbott Laboratories		22,222
	55	DaVita, Inc. *		6,824
	345	Express Scripts Holding Co. *		21,431
	66	HCA Holdings, Inc.		2,578
	15	Intuitive Surgical, Inc. *		7,463
	159	Medtronic, Inc.		8,111
		Total Health Care Equipment & Services		68,629
		Household & Personal Products — 6.3%
	237	Church & Dwight Co., Inc.		14,412
	161	Clorox Co.		13,376
	468	Colgate-Palmolive Co.		27,069
	331	Estee Lauder Cos., Inc. (The) – Class A		22,435
	305	Herbalife Ltd.		14,234
	183	Kimberly-Clark Corp.		17,720
	153	Nu Skin Enterprises, Inc. – Class A		8,997
	422	Procter & Gamble Co. (The)		32,393
		Total Household & Personal Products		150,636
		Materials — 1.5%
	64	Eastman Chemical Co.		4,590
	163	Monsanto Co.		16,405
	10	Sherwin-Williams Co. (The)		1,885
	165	W.R. Grace & Co. *		13,944
		Total Materials		36,824

U.S. Growth Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Media — 2.7%
	95	Charter Communications, Inc. – Class A *		10,632
	82	Comcast Corp. – Class A		3,182
	357	Liberty Global, Inc. – Class C *		24,522
	282	News Corp. – Class A		9,055
	1,172	Sirius XM Radio, Inc.		4,079
	152	Virgin Media, Inc.		7,548
	107	Walt Disney Co. (The)		6,749
		Total Media		65,767
		Pharmaceuticals, Biotechnology & Life Sciences — 7.5%
	42	Alexion Pharmaceuticals, Inc. *		4,097
	267	Amgen, Inc.		26,841
	53	Biogen Idec, Inc. *		12,587
	56	BioMarin Pharmaceutical, Inc. *		3,511
	627	Bristol–Myers Squibb Co.		28,848
	21	Celgene Corp. *		2,597
	364	Eli Lilly & Co.		19,350
	537	Gilead Sciences, Inc. *		29,256
	581	Johnson & Johnson		48,909
	47	Medivation, Inc. *		2,282
		Total Pharmaceuticals, Biotechnology & Life Sciences		178,278
		Real Estate — 0.2%
	32	American Tower Corp. REIT		2,491
	53	Realogy Holdings Corp. *		2,737
		Total Real Estate		5,228
		Retailing — 7.4%
	69	Amazon.com, Inc. *		18,563
	7	AutoZone, Inc. *		2,862
	287	Dollar General Corp. *		15,154
	262	Dollar Tree, Inc. *		12,586
	126	Family Dollar Stores, Inc.		7,705
	201	Gap Inc. (The)		8,151
	1,591	Groupon, Inc. *		12,219
	405	Home Depot, Inc.		31,857
	42	Nordstrom, Inc.		2,470
	25	O’Reilly Automotive, Inc. *		2,723
	56	Priceline.com, Inc. *		45,020
	146	Sally Beauty Holdings, Inc. *		4,469
	114	TripAdvisor, Inc. *		7,352
	49	Ulta Salon Cosmetics & Fragrance, Inc. *		4,447
		Total Retailing		175,578
		Semiconductors & Semiconductor Equipment — 1.5%
	158	Avago Technologies Ltd.		5,958
	1,027	Intel Corp.		24,936

Shares		Description	Value ($)
		Semiconductors & Semiconductor Equipment — continued
	162	Skyworks Solutions, Inc. *		3,865
		Total Semiconductors & Semiconductor Equipment		34,759
		Software & Services — 23.7%
	195	Accenture Plc – Class A		16,011
	123	Citrix Systems, Inc. *		7,915
	179	Cognizant Technology Solutions Corp. – Class A *		11,572
	484	eBay, Inc. *		26,184
	73	Equinix, Inc. *		14,793
	238	Facebook, Inc. *		5,795
	135	FleetCor Technologies, Inc. *		11,756
	131	Google, Inc. – Class A *		114,024
	391	International Business Machines Corp.		81,336
	68	Mastercard, Inc. – Class A		38,777
	2,712	Microsoft Corp.		94,595
	1,751	Oracle Corp.		59,114
	296	Pandora Media, Inc. *		5,038
	54	Teradata Corp. *		3,010
	302	Verisign, Inc. *		14,206
	326	Visa, Inc. – Class A		58,074
	73	Workday, Inc. – Class A *		4,689
		Total Software & Services		566,889
		Technology Hardware & Equipment — 10.5%
	318	Apple, Inc.		142,998
	1,052	EMC Corp. *		26,048
	37	F5 Networks, Inc. *		3,079
	71	Motorola Solutions, Inc.		4,115
	127	NetApp, Inc. *		4,766
	1,105	Qualcomm, Inc.		70,145
		Total Technology Hardware & Equipment		251,151
		Telecommunication Services — 1.7%
	140	Crown Castle International Corp. *		9,975
	622	Verizon Communications, Inc.		30,155
		Total Telecommunication Services		40,130
		Transportation — 0.5%
	177	Delta Air Lines, Inc. *		3,188
	36	JB Hunt Transport Services, Inc.		2,652
	93	United Continental Holdings, Inc. *		3,019
	33	United Parcel Service, Inc. – Class B		2,834
		Total Transportation		11,693
		TOTAL COMMON STOCKS (COST $1,935,666)		2,360,170

U.S. Growth Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 1.7%
		Affiliated Issuers — 1.7%
	1,599	GMO U.S. Treasury Fund		39,989
		TOTAL MUTUAL FUNDS (COST $39,981)		39,989
		SHORT-TERM INVESTMENTS — 0.8%
		Money Market Funds — 0.8%
	18,893	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (a)		18,893
		Total Money Market Funds (COST $18,893)		18,893
		TOTAL SHORT-TERM INVESTMENTS (COST $18,893)		18,893
		TOTAL INVESTMENTS — 101.3% (Cost $1,994,540)		2,419,052
		Other Assets and Liabilities (net) — (1.3%)		(31,542	)
		TOTAL NET ASSETS — 100.0%		$2,387,510

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of May 31, 2013. Note: Yield rounds to 0.00%.

U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.7%
		Automobiles & Components — 1.1%
	400	Delphi Automotive Plc		19,524
	2,698	General Motors Co. *		91,435
	100	Lear Corp.		5,998
	200	TRW Automotive Holdings Corp. *		12,670
		Total Automobiles & Components		129,627
		Banks — 2.2%
	1,001	Fifth Third Bancorp		18,218
	1,200	KeyCorp.		12,936
	500	PNC Financial Services Group, Inc.		35,820
	894	SunTrust Banks, Inc.		28,688
	3,970	Wells Fargo & Co.		160,984
		Total Banks		256,646
		Capital Goods — 2.7%
	783	3M Co.		86,341
	300	Danaher Corp.		18,546
	300	Eaton Corp. Plc		19,818
	527	General Dynamics Corp.		40,632
	327	Ingersoll-Rand Plc		18,812
	185	L-3 Communications Holdings, Inc.		15,742
	330	Lockheed Martin Corp.		34,924
	500	Northrop Grumman Corp.		41,195
	638	Raytheon Co.		42,516
		Total Capital Goods		318,526
		Commercial & Professional Services — 0.1%
	200	Avery Dennison Corp.		8,700
	100	Manpowergroup, Inc.		5,727
		Total Commercial & Professional Services		14,427
		Consumer Durables & Apparel — 0.8%
	300	Hasbro, Inc.		13,344
	258	Jarden Corp. *		12,018
	792	Nike, Inc. – Class B		48,835
	174	Whirlpool Corp.		22,230
		Total Consumer Durables & Apparel		96,427
		Consumer Services — 0.9%
	400	H&R Block, Inc.		11,708
	874	McDonald’s Corp.		84,402
	300	Royal Caribbean Cruises Ltd.		10,503
		Total Consumer Services		106,613
		Diversified Financials — 10.6%
	451	Ameriprise Financial, Inc.		36,765
	22,744	Bank of America Corp.		310,683
	2,173	Bank of New York Mellon Corp. (The)		65,320
	2,805	Citigroup, Inc.		145,832

Shares		Description	Value ($)
		Diversified Financials — continued
	662	Goldman Sachs Group, Inc. (The)		107,297
	8,815	JPMorgan Chase & Co.		481,211
	1,913	Morgan Stanley		49,547
	613	SLM Corp.		14,553
	500	State Street Corp.		33,090
		Total Diversified Financials		1,244,298
		Energy — 7.1%
	2,375	Chevron Corp.		291,531
	1,451	ConocoPhillips		89,004
	1,962	Exxon Mobil Corp.		177,502
	300	Hess Corp.		20,223
	507	HollyFrontier Corp.		25,097
	770	Marathon Petroleum Corp.		63,525
	245	Murphy Oil Corp.		15,514
	1,200	Phillips 66		79,884
	300	Tesoro Corp.		18,495
	1,400	Valero Energy Corp.		56,882
		Total Energy		837,657
		Food & Staples Retailing — 5.2%
	1,099	CVS Caremark Corp.		63,280
	1,155	Kroger Co. (The)		38,889
	449	Safeway, Inc.		10,331
	662	Sysco Corp.		22,376
	2,059	Walgreen Co.		98,338
	4,980	Wal–Mart Stores, Inc.		372,703
		Total Food & Staples Retailing		605,917
		Food, Beverage & Tobacco — 6.0%
	540	Archer-Daniels-Midland Co.		17,404
	100	Brown-Forman Corp. – Class B		6,882
	260	Bunge Ltd.		18,096
	300	Campbell Soup Co.		12,843
	500	Coca-Cola Enterprises, Inc.		18,580
	3,866	Coca-Cola Co. (The)		154,601
	200	Constellation Brands, Inc. – Class A *		10,602
	300	Dr Pepper Snapple Group, Inc.		13,794
	554	General Mills, Inc.		26,082
	185	Hershey Co. (The)		16,486
	300	Kellogg Co.		18,615
	441	Lorillard, Inc.		18,716
	2,575	PepsiCo, Inc.		207,983
	1,425	Philip Morris International, Inc.		129,547
	519	Reynolds American, Inc.		24,969
	400	Tyson Foods, Inc. – Class A		10,000
		Total Food, Beverage & Tobacco		705,200
		Health Care Equipment & Services — 9.3%
	2,807	Abbott Laboratories		102,933
	558	Aetna, Inc.		33,692

U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	600	AmerisourceBergen Corp.		32,448
	1,341	Baxter International, Inc.		94,312
	415	Becton, Dickinson and Co.		40,927
	2,842	Boston Scientific Corp. *		26,260
	300	Cardinal Health, Inc.		14,088
	200	Cigna Corp.		13,580
	200	Community Health Systems, Inc.		9,634
	1,100	Covidien Plc		69,960
	100	CR Bard, Inc.		10,309
	581	Express Scripts Holding Co. *		36,092
	762	HCA Holdings, Inc.		29,764
	200	Humana, Inc.		16,156
	100	Laboratory Corp. of America Holdings *		9,949
	482	McKesson Corp.		54,880
	3,193	Medtronic, Inc.		162,875
	265	Quest Diagnostics, Inc.		16,388
	848	Stryker Corp.		56,299
	800	St Jude Medical, Inc.		34,584
	2,197	UnitedHealth Group, Inc.		137,598
	571	WellPoint, Inc.		43,950
	517	Zimmer Holdings, Inc.		40,590
		Total Health Care Equipment & Services		1,087,268
		Household & Personal Products — 3.6%
	500	Avon Products, Inc.		11,785
	157	Clorox Co.		13,044
	824	Colgate-Palmolive Co.		47,660
	93	Energizer Holdings, Inc.		8,901
	274	Estee Lauder Cos., Inc. (The) – Class A		18,572
	654	Kimberly-Clark Corp.		63,327
	3,303	Procter & Gamble Co. (The)		253,538
		Total Household & Personal Products		416,827
		Insurance — 4.0%
	691	AFLAC, Inc.		38,482
	862	Allstate Corp. (The)		41,583
	1,504	American International Group, Inc. *		66,868
	145	Axis Capital Holdings Ltd.		6,316
	810	Genworth Financial, Inc. – Class A *		8,756
	1,100	Hartford Financial Services Group, Inc. (The)		33,693
	100	HCC Insurance Holdings, Inc.		4,285
	659	Lincoln National Corp.		23,500
	1,726	MetLife, Inc.		76,306
	100	PartnerRe Ltd.		9,065
	400	Principal Financial Group, Inc.		15,140
	628	Prudential Financial, Inc.		43,313
	200	Torchmark Corp.		12,902
	937	Travelers Cos., Inc. (The)		78,446
	300	Unum Group		8,544
		Total Insurance		467,199

Shares		Description	Value ($)
		Materials — 0.9%
	109	CF Industries Holdings Inc.		20,815
	500	Huntsman Corp.		9,725
	700	LyondellBasell Industries NV – Class A		46,655
	156	PPG Industries, Inc.		23,963
	102	Reliance Steel & Aluminum Co.		6,708
		Total Materials		107,866
		Media — 2.4%
	500	Cablevision Systems Corp. – Class A		7,560
	600	Gannett Co., Inc.		12,900
	400	Thomson Reuters Corp.		13,360
	300	Time Warner Cable, Inc.		28,653
	2,265	Time Warner, Inc.		132,208
	960	Viacom, Inc. – Class B		63,254
	400	Virgin Media, Inc.		19,864
		Total Media		277,799
		Pharmaceuticals, Biotechnology & Life Sciences — 19.2%
	252	Allergan, Inc.		25,072
	2,138	Amgen, Inc.		214,933
	1,907	Bristol–Myers Squibb Co.		87,741
	3,762	Eli Lilly & Co.		199,988
	644	Forest Laboratories, Inc. *		25,599
	2,934	Gilead Sciences, Inc. *		159,844
	5,878	Johnson & Johnson		494,810
	300	Life Technologies Corp. *		22,230
	9,288	Merck & Co., Inc.		433,750
	700	Mylan, Inc. *		21,336
	18,277	Pfizer, Inc.		497,683
	841	Thermo Fisher Scientific, Inc.		74,260
		Total Pharmaceuticals, Biotechnology & Life Sciences		2,257,246
		Real Estate — 0.3%
	600	American Capital Agency Corp. REIT		15,480
	1,000	Annaly Capital Management, Inc. REIT		13,580
	1,900	Chimera Investment Corp. REIT		5,795
		Total Real Estate		34,855
		Retailing — 1.9%
	100	AutoNation, Inc. *		4,633
	400	Best Buy Co., Inc.		11,020
	144	CST Brands, Inc. *		4,376
	100	Dillard’s, Inc. – Class A		9,227
	300	GameStop Corp. – Class A		9,948
	444	Gap Inc. (The)		18,004
	153	Genuine Parts Co.		11,894
	302	Kohl’s Corp.		15,526
	1,352	Lowe’s Cos., Inc.		56,933

U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Retailing — continued
	143	Sears Holdings Corp. *		6,983
	788	Staples, Inc.		11,820
	485	Target Corp.		33,708
	453	TJX Cos., Inc. (The)		22,926
		Total Retailing		216,998
		Semiconductors & Semiconductor Equipment — 0.8%
	800	Applied Materials, Inc.		12,160
	200	First Solar, Inc. *		10,876
	2,871	Intel Corp.		69,708
		Total Semiconductors & Semiconductor Equipment		92,744
		Software & Services — 14.5%
	1,327	Accenture Plc – Class A		108,960
	1,000	Activision Blizzard, Inc.		14,430
	400	Amdocs Ltd.		14,280
	300	Automatic Data Processing, Inc.		20,616
	369	BMC Software, Inc. *		16,714
	664	CA, Inc.		18,134
	300	Computer Sciences Corp.		13,383
	503	Fidelity National Information Services, Inc.		22,585
	260	Google, Inc. – Class A *		226,306
	1,496	International Business Machines Corp.		311,198
	254	Intuit, Inc.		14,844
	15,109	Microsoft Corp.		527,002
	9,865	Oracle Corp.		333,042
	551	SAIC, Inc.		7,989
	1,800	Symantec Corp. *		40,302
	800	Western Union Co.		13,104
		Total Software & Services		1,702,889
		Technology Hardware & Equipment — 3.4%
	5,681	Cisco Systems, Inc.		136,799
	1,573	Corning, Inc.		24,177
	1,900	Dell, Inc.		25,365
	269	Harris Corp.		13,485
	2,402	Hewlett-Packard Co.		58,657
	1,300	Qualcomm, Inc.		82,524
	543	Seagate Technology Plc		23,392
	300	Western Digital Corp.		18,996
	1,600	Xerox Corp.		14,064
		Total Technology Hardware & Equipment		397,459
		Telecommunication Services — 1.5%
	3,298	AT&T, Inc.		115,397
	600	Centurylink, Inc.		20,490
	2,000	Frontier Communications Corp.		8,280
	4,748	Sprint Nextel Corp. *		34,660
		Total Telecommunication Services		178,827

Shares		Description	Value ($)
		Transportation — 0.2%
	1,000	Delta Air Lines, Inc. *		18,010
		TOTAL COMMON STOCKS (COST $9,179,023)		11,571,325
		MUTUAL FUNDS — 0.8%
		Affiliated Issuers — 0.8%
	3,680	GMO U.S. Treasury Fund		92,028
		TOTAL MUTUAL FUNDS (COST $92,006)		92,028
		RIGHTS/WARRANTS — 0.0%
		Insurance — 0.0%
	160	American International Group, Inc., Warrants, Strike 45.00 *		2,944
		TOTAL RIGHTS/WARRANTS (COST $2,717)		2,944
		SHORT-TERM INVESTMENTS — 0.5%
		Money Market Funds — 0.5%
	58,447	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (a)		58,447
		TOTAL SHORT-TERM INVESTMENTS (COST $58,447)		58,447
		TOTAL INVESTMENTS — 100.0% (Cost $9,332,193)		11,724,744
		Other Assets and Liabilities (net) — 0.0%		3,628
		TOTAL NET ASSETS — 100.0%		$11,728,372

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of May 31, 2013. Note: Yield rounds to 0.00%.

U.S. Small/Mid Cap Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 99.6%
		Automobiles & Components — 2.0%
	542	American Axle & Manufacturing Holdings, Inc. *		9,642
	658	Cooper Tire & Rubber Co.		17,003
	648	Dana Holding Corp.		12,260
	942	Goodyear Tire & Rubber Co. (The) *		14,262
	735	Lear Corp.		44,085
	66	Standard Motor Products, Inc.		2,231
	247	Tenneco, Inc. *		10,957
	664	Thor Industries, Inc.		28,359
	800	TRW Automotive Holdings Corp. *		50,680
		Total Automobiles & Components		189,479
		Banks — 5.7%
	612	Associated Banc Corp.		9,431
	1,316	Astoria Financial Corp.		12,976
	600	Banco Latinoamericano de Comercio Exterior SA		13,758
	725	Bancorpsouth, Inc.		12,441
	236	Bank of Hawaii Corp.		11,890
	111	BankUnited, Inc.		2,728
	30	BofI Holding, Inc. *		1,405
	260	BOK Financial Corp.		16,926
	393	Comerica, Inc.		15,520
	163	Commerce Bancshares, Inc.		7,094
	332	Community Bank System, Inc.		9,748
	810	CVB Financial Corp.		9,291
	60	First Citizens BancShares, Inc. – Class A		11,836
	633	First Horizon National Corp.		7,267
	179	First Interstate Bancsystem, Inc.		3,542
	2,098	First Niagara Financial Group, Inc.		20,497
	725	FirstMerit Corp.		13,681
	508	Flagstar Bancorp, Inc. *		7,117
	400	Flushing Financial Corp.		6,252
	699	FNB Corp.		8,039
	1,131	Fulton Financial Corp.		12,995
	5,845	Hudson City Bancorp, Inc.		49,682
	3,943	Huntington Bancshares, Inc.		30,558
	964	International Bancshares Corp.		20,996
	321	National Penn Bancshares, Inc.		3,171
	1,249	New York Community Bancorp, Inc.		16,337
	76	OFG Bancorp		1,351
	800	Old National Bancorp		10,688
	745	People’s United Financial, Inc.		10,251
	920	Popular, Inc. *		27,600
	185	Prosperity Bancshares, Inc.		9,267
	510	Provident Financial Services, Inc.		7,762
	300	Republic Bancorp, Inc. – Class A		7,143
	854	Susquehanna Bancshares, Inc.		10,257
	1,162	TCF Financial Corp.		16,733
	484	Trustmark Corp.		12,337
	288	UMB Financial Corp.		15,290

Shares		Description	Value ($)
		Banks — continued
	251	United Bankshares, Inc.		6,529
	863	Valley National Bancorp		8,043
	754	Washington Federal, Inc.		13,187
	523	Webster Financial Corp.		12,212
	300	WesBanco, Inc.		7,515
	949	Zions Bancorporation		26,619
		Total Banks		537,962
		Capital Goods — 7.8%
	272	A.O. Smith Corp.		10,662
	393	AAR Corp.		7,884
	317	Actuant Corp. – Class A		10,778
	1,048	Aecom Technology Corp. *		32,268
	332	AGCO Corp.		18,416
	900	Aircastle Ltd.		14,238
	446	Alliant Techsystems, Inc.		35,020
	280	Applied Industrial Technologies, Inc.		13,460
	146	AZZ, Inc.		6,056
	200	Barnes Group, Inc.		6,044
	264	Beacon Roofing Supply, Inc. *		10,882
	307	Belden, Inc.		16,409
	350	Brady Corp. – Class A		11,389
	621	Briggs & Stratton Corp.		14,531
	354	Crane Co.		21,152
	309	Curtiss-Wright Corp.		11,235
	501	EMCOR Group, Inc.		19,915
	447	EnerSys *		22,274
	140	Esterline Technologies Corp. *		10,275
	2,476	Exelis, Inc.		30,083
	174	Gardner Denver, Inc.		13,137
	142	GATX Corp.		7,090
	523	General Cable Corp. *		18,493
	413	Harsco Corp.		9,656
	556	Huntington Ingalls Industries, Inc.		30,702
	110	Idex Corp.		6,056
	869	ITT Corp.		26,200
	51	Kaman Corp.		1,730
	215	Kennametal, Inc.		9,318
	287	Lennox International, Inc.		18,365
	1,035	Manitowoc Co, Inc. (The)		21,745
	494	MasTec, Inc. *		15,709
	498	Meritor, Inc. *		3,606
	255	Moog, Inc. – Class A *		12,768
	282	MRC Global, Inc. *		8,006
	586	Navistar International Corp. *		21,020
	56	Nortek, Inc. *		3,956
	211	Orbital Sciences Corp. *		3,836
	1,026	Oshkosh Corp. *		40,855
	151	Regal-Beloit Corp.		10,194
	303	Snap-On, Inc.		27,600
	701	Terex Corp. *		25,145

U.S. Small/Mid Cap Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Capital Goods — continued
	318	Timken Co. (The)		18,050
	148	Trinity Industries, Inc.		6,058
	610	Tutor Perini Corp. *		11,297
	478	URS Corp.		23,154
	225	Watts Water Technologies, Inc. – Class A		10,710
	181	WESCO International, Inc. *		13,441
		Total Capital Goods		740,868
		Commercial & Professional Services — 4.7%
	653	ABM Industries, Inc.		15,789
	1,128	Avery Dennison Corp.		49,068
	300	Brink’s Co. (The)		8,049
	329	Cintas Corp.		15,020
	773	Deluxe Corp.		28,910
	254	Dun & Bradstreet Corp.		24,927
	439	Equifax, Inc.		26,735
	337	FTI Consulting, Inc. *		12,803
	210	G&K Services, Inc. – Class A		10,145
	162	Herman Miller, Inc.		4,554
	400	HNI Corp.		14,708
	128	Insperity, Inc.		3,860
	395	KAR Auction Services, Inc.		9,263
	510	Kelly Services, Inc. – Class A		9,032
	100	Knoll, Inc.		1,566
	951	Manpowergroup, Inc.		54,464
	242	Mine Safety Appliances Co.		12,081
	2,300	Pitney Bowes, Inc.		33,764
	562	Quad Graphics, Inc.		13,095
	1,585	RR Donnelley & Sons Co.		21,033
	2,039	Steelcase, Inc. – Class A		28,220
	227	Towers Watson & Co. – Class A		17,633
	62	UniFirst Corp.		5,884
	607	United Stationers, Inc.		20,948
		Total Commercial & Professional Services		441,551
		Consumer Durables & Apparel — 3.7%
	600	American Greetings Corp. – Class A		11,040
	206	Columbia Sportswear Co.		12,405
	111	Deckers Outdoor Corp. *		5,959
	310	G-III Apparel Group Ltd. *		13,054
	626	Hanesbrands, Inc.		31,212
	1,364	Hasbro, Inc.		60,671
	333	Helen of Troy Ltd. *		13,210
	694	Iconix Brand Group, Inc. *		20,883
	1,327	Jarden Corp. *		61,812
	1,309	Jones Group, Inc. (The)		19,072
	444	Leggett & Platt, Inc.		14,208
	157	NACCO Industries, Inc. – Class A		8,795
	190	PVH Corp.		21,886
	1,213	Quiksilver, Inc. *		9,546
	399	Skechers U.S.A., Inc. *		8,978

Shares		Description	Value ($)
		Consumer Durables & Apparel — continued
	187	Tempur-Pedic International, Inc. *		7,906
	405	Tupperware Brands Corp.		32,797
		Total Consumer Durables & Apparel		353,434
		Consumer Services — 3.1%
	500	Ameristar Casinos, Inc.		13,100
	805	Apollo Group, Inc. – Class A *		16,092
	136	Bally Technologies, Inc. *		7,745
	244	Bob Evans Farms, Inc.		11,263
	1,069	Boyd Gaming Corp. *		13,929
	800	Bridgepoint Education, Inc. *		10,248
	345	Brinker International, Inc.		13,527
	1,005	Caesars Entertainment Corp. *		14,563
	30	CEC Entertainment, Inc.		1,202
	199	Coinstar, Inc. *		11,590
	308	Cracker Barrel Old Country Store, Inc.		27,554
	814	DeVry, Inc.		25,421
	162	DineEquity, Inc.		11,727
	528	Hillenbrand, Inc.		12,598
	780	International Game Technology		13,946
	34	International Speedway Corp. – Class A		1,178
	200	Jack in the Box, Inc. *		7,298
	311	Marriott Vacations Worldwide Corp. *		13,762
	200	Matthews International Corp. – Class A		7,670
	64	Red Robin Gourmet Burgers, Inc. *		3,361
	718	Regis Corp.		13,218
	415	Ruby Tuesday, Inc. *		3,839
	1,080	Service Corp. International		19,418
	600	Speedway Motorsports, Inc.		10,902
	127	Stewart Enterprises, Inc. – Class A		1,651
	1,601	Wendy’s Co. (The)		9,526
		Total Consumer Services		296,328
		Diversified Financials — 3.5%
	2,727	American Capital Ltd. *		36,351
	1,604	Apollo Investment Corp.		13,297
	544	Ares Capital Corp.		9,335
	1,191	BGC Partners, Inc. – Class A		6,563
	276	Cash America International, Inc.		13,168
	90	Credit Acceptance Corp. *		10,247
	146	DFC Global Corp. *		2,175
	346	Eaton Vance Corp.		14,363
	239	Encore Capital Group, Inc. *		8,525
	248	EZCORP, Inc. – Class A *		4,744
	510	Federated Investors, Inc. – Class B		14,112
	621	Interactive Brokers Group, Inc. – Class A		9,793
	1,747	Janus Capital Group, Inc.		15,321
	586	Knight Capital Group, Inc. – Class A *		2,127
	1,519	NASDAQ OMX Group, Inc. (The)		47,788
	735	Nelnet, Inc. – Class A		28,709
	931	PHH Corp. *		18,769

U.S. Small/Mid Cap Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Diversified Financials — continued
	205	Piper Jaffray Cos., Inc. *		7,321
	30	Portfolio Recovery Associates, Inc. *		4,568
	389	SEI Investments Co.		11,907
	380	Solar Capital Ltd.		8,740
	210	Stifel Financial Corp. *		7,558
	493	Waddell and Reed Financial, Inc. – Class A		22,698
	127	World Acceptance Corp. *		11,730
		Total Diversified Financials		329,909
		Energy — 5.7%
	848	Alon USA Energy, Inc.		15,527
	1,443	Alpha Natural Resources, Inc. *		9,639
	1,156	Arch Coal, Inc.		5,965
	202	Basic Energy Services, Inc. *		2,697
	204	Bristow Group, Inc.		12,821
	461	C&J Energy Services, Inc. *		8,575
	214	Cloud Peak Energy, Inc. *		4,109
	611	CVR Energy, Inc.		38,377
	948	Delek US Holdings, Inc.		34,156
	597	Exterran Holdings, Inc. *		17,265
	410	Helix Energy Solutions Group, Inc. *		9,783
	2,513	HollyFrontier Corp.		124,394
	1,227	Nabors Industries Ltd.		19,644
	267	Newpark Resources, Inc. *		2,977
	433	Patterson-UTI Energy, Inc.		9,097
	819	RPC, Inc.		10,311
	153	SEACOR Holdings, Inc.		11,749
	749	Ship Finance International Ltd.		12,718
	374	Superior Energy Services, Inc. *		9,978
	1,749	Tesoro Corp.		107,826
	1,397	Western Refining, Inc.		46,618
	559	World Fuel Services Corp.		22,768
		Total Energy		536,994
		Food & Staples Retailing — 1.5%
	200	Andersons, Inc. (The)		10,188
	181	Harris Teeter Supermarkets, Inc.		8,507
	410	Ingles Markets, Inc. – Class A		9,028
	7,071	Rite Aid Corp. *		20,789
	2,338	Safeway, Inc.		53,797
	3,122	Supervalu, Inc.		20,168
	200	Village Super Market, Inc.		7,480
	362	Weis Markets, Inc.		14,810
		Total Food & Staples Retailing		144,767
		Food, Beverage & Tobacco — 3.0%
	154	Chiquita Brands International, Inc. *		1,555
	124	Coca-Cola Bottling Co.		7,414
	1,243	Constellation Brands, Inc. – Class A *		65,892
	1,842	Dean Foods Co. *		19,323
	1,588	Dole Food Co., Inc. *		15,038

Shares		Description	Value ($)
		Food, Beverage & Tobaccso — continued
	768	Fresh Del Monte Produce, Inc.		20,559
	468	Ingredion, Inc.		31,880
	1,100	Pilgrim’s Pride Corp. *		13,156
	248	Post Holdings, Inc. *		10,463
	9	Seaboard Corp.		24,798
	1,040	Smithfield Foods, Inc. *		34,258
	405	Universal Corp.		23,745
	471	WhiteWave Foods Co. – Class A *		8,206
	670	WhiteWave Foods Co. – Class B *		11,084
		Total Food, Beverage & Tobacco		287,371
		Health Care Equipment & Services — 5.8%
	756	Alere, Inc. *		19,338
	335	Allscripts Healthcare Solutions, Inc. *		4,640
	181	AMN Healthcare Services, Inc. *		2,424
	192	Chemed Corp.		13,444
	1,274	Community Health Systems, Inc.		61,369
	400	Conmed Corp.		13,172
	100	Greatbatch, Inc. *		3,221
	2,017	Health Management Associates, Inc. – Class A *		27,814
	564	Health Net, Inc. *		17,975
	75	Healthways, Inc. *		1,009
	576	Hill-Rom Holdings, Inc.		20,811
	354	Integra LifeSciences Holdings Corp. *		13,413
	310	Invacare Corp.		4,805
	710	Kindred Healthcare, Inc. *		9,585
	300	LHC Group, Inc. *		6,597
	572	LifePoint Hospitals, Inc. *		28,445
	317	Magellan Health Services, Inc. *		17,276
	419	MedAssets, Inc. *		6,872
	254	Molina Healthcare, Inc. *		9,601
	850	Omnicare, Inc.		39,125
	818	Owens & Minor, Inc.		27,959
	283	Patterson Cos., Inc.		11,060
	400	PharMerica Corp. *		6,244
	547	ResMed, Inc.		26,256
	1,238	Select Medical Holdings Corp.		9,780
	543	STERIS Corp.		24,620
	150	Team Health Holdings, Inc. *		5,860
	228	Teleflex, Inc.		17,859
	508	Tenet Healthcare Corp. *		24,064
	400	Triple-S Management Corp. – Class B *		8,468
	592	Universal Health Services, Inc. – Class B		40,931
	328	Vanguard Health Systems, Inc. *		4,369
	192	WellCare Health Plans, Inc. *		10,011
	143	West Pharmaceutical Services, Inc.		9,803
		Total Health Care Equipment & Services		548,220
		Household & Personal Products — 1.8%
	1,000	Central Garden & Pet Co. – Class A *		7,590
	662	Energizer Holdings, Inc.		63,360

U.S. Small/Mid Cap Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Household & Personal Products — continued
	1,128	Harbinger Group, Inc. *		9,723
	379	Herbalife Ltd.		17,688
	61	Inter Parfums, Inc.		1,829
	208	Nu Skin Enterprises, Inc. – Class A		12,230
	600	Revlon, Inc. – Class A *		11,940
	450	Spectrum Brands Holdings, Inc.		27,131
	235	USANA Health Sciences, Inc. *		16,471
		Total Household & Personal Products		167,962
		Insurance — 12.1%
	383	Allied World Assurance Co Holdings Ltd.		34,244
	980	American Equity Investment Life Holding Co.		15,876
	641	American Financial Group, Inc.		31,127
	300	American National Insurance Co.		29,964
	385	AmTrust Financial Services, Inc.		12,717
	432	Arch Capital Group Ltd. *		22,123
	220	Argo Group International Holdings Ltd.		8,714
	659	Aspen Insurance Holdings Ltd.		24,212
	716	Assurant, Inc.		35,614
	1,519	Assured Guaranty Ltd.		34,360
	1,128	Axis Capital Holdings Ltd.		49,136
	3,876	CNO Financial Group, Inc.		47,830
	467	Endurance Specialty Holdings Ltd.		23,504
	77	Enstar Group Ltd. *		9,723
	412	Everest Re Group Ltd.		53,399
	200	FBL Financial Group, Inc. – Class A		8,218
	1,063	Fidelity National Financial, Inc. – Class A		27,967
	1,284	First American Financial Corp.		30,662
	4,796	Genworth Financial, Inc. – Class A *		51,845
	487	Hanover Insurance Group, Inc. (The)		24,462
	1,031	HCC Insurance Holdings, Inc.		44,178
	700	Horace Mann Educators Corp.		17,010
	200	Kansas City Life Insurance Co.		7,576
	671	Kemper Corp.		22,908
	1,021	Maiden Holdings Ltd.		10,904
	943	MBIA, Inc. *		13,438
	177	Mercury General Corp.		7,926
	407	Montpelier Re Holdings Ltd.		10,171
	400	National Financial Partners Corp. *		10,084
	578	PartnerRe Ltd.		52,396
	294	Platinum Underwriters Holdings Ltd.		16,787
	897	Primerica, Inc.		31,592
	230	ProAssurance Corp.		11,546
	1,109	Protective Life Corp.		42,896
	782	Reinsurance Group of America, Inc.		51,526
	172	RenaissanceRe Holdings Ltd.		14,785
	548	Selective Insurance Group, Inc.		13,004
	695	StanCorp Financial Group, Inc.		31,574
	299	Stewart Information Services Corp.		8,279
	2,136	Symetra Financial Corp.		29,819
	1,120	Torchmark Corp.		72,251

Shares		Description	Value ($)
		Insurance — continued
	566	Tower Group International Ltd.		10,941
	839	Validus Holdings Ltd.		30,296
		Total Insurance		1,137,584
		Materials — 5.1%
	510	A Schulman, Inc.		14,739
	100	AEP Industries, Inc. *		8,348
	189	Axiall Corp.		8,155
	469	Bemis Co., Inc.		18,361
	1,021	Boise, Inc.		8,229
	179	Cabot Corp.		7,328
	55	Clearwater Paper Corp. *		2,631
	1,333	Commercial Metals Co.		20,555
	223	Domtar Corp.		16,161
	491	Ferro Corp. *		3,368
	1,256	Graphic Packaging Holding Co. *		9,659
	162	Greif, Inc. – Class A		8,440
	267	HB Fuller Co.		11,099
	2,799	Huntsman Corp.		54,441
	36	Innospec, Inc.		1,477
	105	International Flavors & Fragrances, Inc.		8,431
	75	KapStone Paper and Packaging Corp.		2,176
	36	Koppers Holdings, Inc.		1,482
	373	Kronos Worldwide, Inc.		6,307
	148	Minerals Technologies, Inc.		6,305
	301	Olin Corp.		7,504
	355	OM Group, Inc. *		10,416
	546	Owens-Illinois, Inc. *		14,988
	260	Packaging Corp. of America		12,740
	310	PH Glatfelter Co.		7,666
	861	PolyOne Corp.		22,119
	501	Reliance Steel & Aluminum Co.		32,951
	245	Resolute Forest Products, Inc. *		3,729
	289	Rock-Tenn Co. – Class A		28,547
	443	RPM International, Inc.		14,677
	235	Schnitzer Steel Industries, Inc. – Class A		5,805
	84	Schweitzer-Mauduit International, Inc.		4,037
	2,013	Sealed Air Corp.		48,352
	352	Valspar Corp.		25,228
	809	Worthington Industries, Inc.		27,813
		Total Materials		484,264
		Media — 3.5%
	1,277	Belo Corp. – Class A		14,328
	1,923	Cablevision Systems Corp. – Class A		29,076
	3,098	Gannett Co., Inc.		66,607
	226	John Wiley and Sons, Inc. – Class A		8,972
	530	LIN TV Corp. – Class A *		6,429
	322	Lions Gate Entertainment Corp. *		9,274
	1,116	Live Nation Entertainment, Inc. *		15,189
	583	Meredith Corp.		23,891

U.S. Small/Mid Cap Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Media — continued
	1,740	New York Times Co. (The) – Class A *		18,392
	1,036	Regal Entertainment Group – Class A		18,337
	610	Scholastic Corp.		18,446
	1,120	Sinclair Broadcast Group, Inc.		30,274
	585	Starz – Class A *		13,502
	703	Valassis Communications, Inc.		18,271
	76	Washington Post Co. (The) – Class B		35,509
		Total Media		326,497
		Pharmaceuticals, Biotechnology & Life Sciences — 2.5%
	77	Bio-Rad Laboratories, Inc. *		8,753
	532	Charles River Laboratories International, Inc. *		23,041
	170	Covance, Inc. *		12,679
	873	Endo Health Solutions, Inc. *		31,690
	370	Hospira, Inc. *		12,832
	402	Myriad Genetics, Inc. *		12,904
	2,433	PDL BioPharma, Inc.		20,072
	1,040	PerkinElmer, Inc.		32,573
	677	QIAGEN NV *		12,646
	360	United Therapeutics Corp. *		23,929
	2,161	Warner Chilcott Plc. – Class A		41,491
		Total Pharmaceuticals, Biotechnology & Life Sciences		232,610
		Real Estate — 3.9%
	187	AG Mortgage Investment Trust, Inc. REIT		4,280
	762	American Capital Mortgage Investment Corp. REIT		16,055
	1,684	Anworth Mortgage Asset Corp. REIT		9,481
	396	Apollo Residential Mortgage, Inc. REIT		7,548
	2,563	ARMOUR Residential, Inc. REIT		13,225
	550	Ashford Hospitality Trust, Inc. REIT		7,266
	810	Brandywine Realty Trust REIT		11,470
	850	Capstead Mortgage Corp. REIT		10,438
	12,083	Chimera Investment Corp. REIT		36,853
	211	Colony Financial, Inc. REIT		4,674
	976	CommonWealth REIT		19,949
	440	Corrections Corp. of America REIT		15,466
	568	Geo Group, Inc. (The) REIT		19,778
	459	Hatteras Financial Corp. REIT		11,851
	751	Hospitality Properties Trust REIT		21,914
	1,598	Invesco Mortgage Capital, Inc. REIT		29,803
	706	iStar Financial, Inc. REIT *		8,408
	1,992	MFA Financial, Inc. REIT		17,490
	2,391	New Residential Investment Corp. REIT *		16,354
	2,391	Newcastle Investment Corp. REIT		12,099
	1,606	NorthStar Realty Finance Corp. REIT		13,539
	431	Pennsylvania Real Estate Investment Trust REIT		8,573
	596	Pennymac Mortgage Investment Trust REIT		12,903
	258	RAIT Financial Trust REIT		1,979
	519	Redwood Trust, Inc. REIT		9,944
	2,410	Two Harbors Investment Corp. REIT		26,582
		Total Real Estate		367,922

Shares		Description	Value ($)
		Retailing — 7.0%
	900	Aaron’s, Inc.		25,281
	199	Abercrombie & Fitch Co. – Class A		9,966
	230	Advance Auto Parts, Inc.		18,750
	508	Aeropostale, Inc. *		7,422
	665	American Eagle Outfitters, Inc.		13,160
	530	ANN, Inc. *		16,260
	480	Asbury Automotive Group, Inc. *		19,776
	510	Ascena Retail Group, Inc. *		10,368
	470	AutoNation, Inc. *		21,775
	710	Barnes & Noble, Inc. *		15,975
	301	Big 5 Sporting Goods Corp.		6,023
	329	Big Lots, Inc. *		11,203
	900	Brown Shoe Co., Inc.		18,720
	360	Cato Corp. (The) – Class A		8,964
	547	Chico’s FAS, Inc.		9,879
	140	Childrens Place Retail Stores, Inc. (The) *		7,466
	264	Conn’s, Inc. *		12,997
	200	Core-Mark Holding Co., Inc.		11,838
	492	Dillard’s, Inc. – Class A		45,397
	284	Express, Inc. *		6,191
	121	Finish Line, Inc. (The) – Class A		2,548
	1,601	GameStop Corp. – Class A		53,089
	155	Genesco, Inc. *		10,475
	346	Group 1 Automotive, Inc.		21,988
	562	Guess?, Inc.		17,860
	79	hhgregg, Inc. *		1,232
	447	HSN, Inc.		25,430
	362	Lithia Motors, Inc. – Class A		18,857
	460	Men’s Wearhouse, Inc. (The)		16,652
	2,886	Office Depot, Inc. *		12,727
	1,628	OfficeMax, Inc.		21,213
	1,471	Penske Auto Group, Inc.		47,234
	673	Rent-A-Center, Inc.		24,618
	588	Sears Holdings Corp. *		28,712
	169	Signet Jewelers Ltd.		11,578
	975	Sonic Automotive, Inc.		22,201
	510	Stage Stores, Inc.		11,735
	229	Williams-Sonoma, Inc.		12,357
		Total Retailing		657,917
		Semiconductors & Semiconductor Equipment — 1.6%
	2,352	Amkor Technology, Inc. *		10,678
	500	Fairchild Semiconductor International, Inc. *		7,255
	1,222	First Solar, Inc. *		66,452
	960	GT Advanced Technologies, Inc. *		4,272
	1,554	Marvell Technology Group Ltd.		16,845
	188	Microsemi Corp. *		4,123
	975	PMC-Sierra, Inc. *		5,860
	599	Spansion, Inc. *		8,206
	1,910	SunEdison, Inc. *		15,414

U.S. Small/Mid Cap Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Semiconductors & Semiconductor Equipment — continued
	780	SunPower Corp. *		15,054
		Total Semiconductors & Semiconductor Equipment		154,159
		Software & Services — 6.4%
	493	Acxiom Corp. *		10,841
	1,778	Amdocs Ltd.		63,475
	872	AOL, Inc.		30,224
	369	AVG Technologies NV *		6,727
	1,627	Booz Allen Hamilton Holding Corp.		28,375
	367	Broadridge Financial Solutions, Inc.		9,960
	286	CACI International, Inc. – Class A *		18,344
	1,575	Compuware Corp. *		17,687
	1,580	Convergys Corp.		28,709
	507	CoreLogic, Inc. *		13,283
	510	CSG Systems International, Inc. *		11,031
	357	DST Systems, Inc.		24,340
	1,921	EarthLink, Inc.		11,392
	850	Electronic Arts, Inc. *		19,541
	100	ePlus, Inc.		4,973
	300	Euronet Worldwide, Inc. *		9,150
	238	Fair Isaac Corp.		11,681
	275	Global Payments, Inc.		13,189
	423	j2 Global, Inc.		17,296
	1,038	Lender Processing Services, Inc.		34,347
	400	Mantech International Corp. – Class A		10,836
	126	MAXIMUS, Inc.		9,403
	1,139	Mentor Graphics Corp.		21,630
	242	NeuStar, Inc. – Class A *		11,727
	372	Rovi Corp. *		9,598
	3,892	SAIC, Inc.		56,434
	72	Solera Holdings, Inc.		3,943
	521	Sykes Enterprises, Inc. *		8,237
	667	Synopsys, Inc. *		24,312
	400	TeleTech Holdings, Inc. *		8,996
	568	Total System Services, Inc.		13,354
	607	Unisys Corp. *		12,535
	1,200	United Online, Inc.		8,172
	355	Valueclick, Inc. *		9,351
	168	VistaPrint NV *		7,720
	92	Websense, Inc. *		2,286
		Total Software & Services		603,099
		Technology Hardware & Equipment — 5.3%
	415	Anixter International, Inc. *		31,843
	1,207	Arris Group, Inc. *		18,262
	1,159	Arrow Electronics, Inc. *		46,082
	1,069	Avnet, Inc. *		36,517
	1,110	AVX Corp.		13,298
	500	Benchmark Electronics, Inc. *		9,750
	4,652	Brocade Communications Systems, Inc. *		25,260

Shares		Description	Value ($)
		Technology Hardware & Equipment — continued
	376	Diebold, Inc.		12,111
	370	Dolby Laboratories, Inc. – Class A		12,950
	321	Electronics for Imaging, Inc. *		8,953
	508	FLIR Systems, Inc.		12,375
	1,462	Harris Corp.		73,290
	1,497	Ingram Micro, Inc. – Class A *		28,608
	900	Insight Enterprises, Inc. *		17,325
	245	Itron, Inc. *		10,290
	633	Jabil Circuit, Inc.		12,698
	723	Lexmark International, Inc.		22,059
	346	NCR Corp. *		11,556
	400	PC Connection, Inc.		6,716
	1,320	Sanmina Corp. *		17,925
	580	SYNNEX Corp. *		23,519
	458	Tech Data Corp. *		22,955
	1,504	Vishay Intertechnology, Inc. *		21,898
	102	Zebra Technologies Corp. *		4,657
		Total Technology Hardware & Equipment		500,897
		Telecommunication Services — 1.3%
	12,213	Frontier Communications Corp.		50,562
	1,323	NII Holdings, Inc. *		10,200
	1,121	T-Mobile US, Inc. *		24,023
	928	Telephone & Data Systems, Inc.		21,576
	754	Vonage Holdings Corp. *		2,066
	1,373	Windstream Corp.		11,025
		Total Telecommunication Services		119,452
		Transportation — 1.5%
	147	Alaska Air Group, Inc. *		8,353
	52	Amerco		8,965
	896	Avis Budget Group, Inc. *		29,711
	135	Copa Holdings SA – Class A		17,728
	1,257	JetBlue Airways Corp. *		7,806
	165	Macquarie Infrastructure Co. LLC		8,989
	525	Republic Airways Holdings, Inc. *		5,633
	197	Ryder System, Inc.		12,419
	721	Skywest, Inc.		10,116
	1,410	US Airways Group, Inc. *		24,774
	510	UTi Worldwide, Inc.		8,073
		Total Transportation		142,567
		Utilities — 1.1%
	63	American States Water Co.		3,347
	210	Avista Corp.		5,609
	1,358	NRG Energy, Inc.		34,656
	400	PNM Resources, Inc.		8,968
	410	Portland General Electric Co.		12,480
	876	UGI Corp.		33,455

U.S. Small/Mid Cap Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Utilities — continued
	113	UNS Energy Corp.		5,298
		Total Utilities		103,813
		TOTAL COMMON STOCKS (COST $7,683,458)		9,405,626
		MUTUAL FUNDS — 0.6%
		Affiliated Issuers — 0.6%
	2,285	GMO U.S. Treasury Fund		57,150
		TOTAL MUTUAL FUNDS (COST $57,150)		57,150
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	13,484	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (a)		13,484
		TOTAL SHORT-TERM INVESTMENTS (COST $13,484)		13,484
		TOTAL INVESTMENTS — 100.3% (Cost $7,754,092)		9,476,260
		Other Assets and Liabilities (net) — (0.3%)		(32,394	)
		TOTAL NET ASSETS — 100.0%		$9,443,866

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of May 31, 2013. Note: Yield rounds to 0.00%.

As of May 31, 2013, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in the value of investments were as follows:

Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Quality Fund		11,268,824,503		2,712,140,596		(71,095,538)		2,641,045,058
Real Estate Fund		9,312,614		3,039,630		(125,311)		2,914,319
U.S. Core Equity Fund		1,372,869,018		260,728,450		(10,956,579)		249,771,871
U.S. Flexible Equities Fund		6,155,316,501		1,550,514,783		(70,266,154)		1,480,248,629
U.S. Growth Fund		2,001,901		439,496		(22,345)		417,151
U.S. Intrinsic Value Fund		9,389,802		2,392,963		(58,021)		2,334,942
U.S. Small/Mid Cap Fund		7,799,559		1,774,604		(97,903)		1,676,701

Investments in Affiliated Issuers

The Fund makes investments in other GMO Trust funds (“underlying funds”). The Schedule of Investments of the underlying funds should be read in conjunction with the Fund’s Schedule of Investments.

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended May 31, 2013 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Value, end of period
Quality Fund
GMO U.S. Treasury Fund	$	129,198,867	$	198,733,000	$	304,444,000	$	31,879	$	—	$	23,557,194
Real Estate Fund
GMO U.S. Treasury Fund	$	—	$	146,000	$	84,000	$	12	$	—	$	62,000
U.S. Core Equity Fund
GMO U.S. Treasury Fund	$	23,294,000	$	14,109,000	$	24,997,000	$	2,133	$	—	$	12,406,000
U.S. Flexible Equities Fund
GMO U.S. Treasury Fund	$	58,187,959	$	39,990,000	$	58,187,959	$	7,169	$	—	$	39,990,000
U.S. Growth Fund
GMO U.S. Treasury Fund	$	40,973	$	19,000	$	20,000	$	10	$	—	$	39,989
U.S. Intrinsic Value Fund
GMO U.S. Treasury Fund	$	83,995	$	36,000	$	28,000	$	23	$	—	$	92,028
U.S. Small/Mid Cap Fund
GMO U.S. Treasury Fund	$	14,998	$	124,000	$	81,848	$	15	$	—	$	57,150

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2013 through May 31, 2013. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2014.

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. Management 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 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 Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) 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 this 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 by the relevant clearing house. If an updated closing price for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model. Unlisted securities (including debt instruments) for which market quotations are readily available are generally valued at the most recent quoted price. In the case of non-emerging market debt instruments with a remaining maturity of sixty days or less, the instrument may be valued at amortized cost which approximates market value, if the issuer is deemed to present minimal credit risk. Shares of open-end registered investment companies are valued at their most recent net asset value. 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 of GMO Trust (the “Trustees”) or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds classify such securities as Level 3 (levels defined below). For the period ended May 31, 2013, the Funds did not reduce the value of any of their over-the-counter (“OTC”) derivatives contracts, if any, based on the creditworthiness of their counterparties. See “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing pricing methodologies are modified for equity securities listed on foreign exchanges and that trade in securities markets that are closed prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, 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). In those cases, the value will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds that were valued using fair value inputs obtained from that independent pricing service as of May 31, 2013. 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 being valued using Level 2 inputs (levels defined below) in the table below.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security. If an updated quote for a security is not available by the time that the Funds calculate their net asset value on any business day, the Funds will generally use a quoted price from a prior day to value that security.

As discussed above, certain of the 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 fair valued using inputs obtained from an independent pricing service. The net aggregate direct and/or indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of May 31, 2013 is as follows:

Securities

Fund Name	Fair valued using      inputs obtained     from an      independent     pricing service
Quality Fund		15.1%
Real Estate Fund		—
U.S. Core Equity Fund		—
U.S. Flexible Equities Fund		5.3%
U.S. Growth Fund		—
U.S. Intrinsic Value Fund		—
U.S. Small/Mid Cap Fund		—

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 methodology 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 liquidity of investments, could cause a security to be reclassified between levels.

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the “Valuation Inputs” table below). At May 31,

2013, there were no direct material Level 3 classes of investments or derivatives with significant unobservable inputs subject to the additional disclosure.

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 with a remaining maturity of greater than 60 days, 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 debt securities such as U.S. government securities with a remaining maturity of less than 60 days valued at amortized cost; certain cleared derivatives and 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; 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 following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of May 31, 2013:

Valuation Inputs as of May 31, 2013

Description	Level 1		Level 2		Level 3		Total
Quality Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	12,207,692	$	—	$	12,207,692
Belgium		—		51,308,987		—		51,308,987
Denmark		—		25,105,014		—		25,105,014
France		—		221,912,759		—		221,912,759
Germany		—		74,122,064		—		74,122,064
Japan		—		361,818,678		—		361,818,678
Netherlands		—		150,302,460		—		150,302,460
Switzerland		—		463,695,905		—		463,695,905
United Kingdom		—		736,071,105		—		736,071,105
United States		11,702,284,895		—		—		11,702,284,895
TOTAL COMMON STOCKS		11,702,284,895		2,096,544,664		—		13,798,829,559
Mutual Funds		23,557,194		—		—		23,557,194
Short-Term Investments		87,482,808		—		—		87,482,808
Total Investments		11,813,324,897		2,096,544,664		—		13,909,869,561
Total	$	11,813,324,897	$	2,096,544,664	$	—	$	13,909,869,561
Real Estate Fund
Asset Valuation Inputs
Common Stocks (Real Estate Investment Trusts)	$	12,105,922	$	—	$	—	$	12,105,922
Mutual Funds		62,000		—		—		62,000
Short-Term Investments		59,011		—		—		59,011
Total Investments		12,226,933		—		—		12,226,933
Total	$	12,226,933	$	—	$	—	$	12,226,933
U.S. Core Equity Fund
Asset Valuation Inputs
Common Stocks	$	1,584,456,793	$	—	$	—	$	1,584,456,793
Mutual Funds		12,406,000		—		—		12,406,000
Short-Term Investments		25,778,096		—		—		25,778,096
Total Investments		1,622,640,889		—		—		1,622,640,889
Total	$	1,622,640,889	$	—	$	—	$	1,622,640,889

Description	Level 1		Level 2		Level 3		Total
U.S. Flexible Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	3,645,945	$	—	$	3,645,945
France		—		86,587,679		—		86,587,679
Switzerland		—		132,737,216		—		132,737,216
United Kingdom		—		180,276,372		—		180,276,372
United States		7,082,611,582		—		—		7,082,611,582
TOTAL COMMON STOCKS		7,082,611,582		403,247,212		—		7,485,858,794
Mutual Funds		39,990,000		—		—		39,990,000
Short-Term Investments		109,716,336		—		—		109,716,336
Total Investments		7,232,317,918		403,247,212		—		7,635,565,130
Total	$	7,232,317,918	$	403,247,212	$	—	$	7,635,565,130
U.S. Growth Fund
Asset Valuation Inputs
Common Stocks	$	2,360,170	$	—	$	—	$	2,360,170
Mutual Funds		39,989		—		—		39,989
Short-Term Investments		18,893		—		—		18,893
Total Investments		2,419,052		—		—		2,419,052
Total	$	2,419,052	$	—	$	—	$	2,419,052
U.S. Intrinsic Value Fund
Asset Valuation Inputs
Common Stocks	$	11,571,325	$	—	$	—	$	11,571,325
Mutual Funds		92,028		—		—		92,028
Rights/warrants		2,944		—		—		2,944
Short-Term Investments		58,447		—		—		58,447
Total Investments		11,724,744		—		—		11,724,744
Total	$	11,724,744	$	—	$	—	$	11,724,744
U.S. Small/Mid Cap Fund
Asset Valuation Inputs
Common Stocks	$	9,405,626	$	—	$	—	$	9,405,626
Mutual Funds		57,150		—		—		57,150
Short-Term Investments		13,484		—		—		13,484
Total Investments		9,476,260		—		—		9,476,260
Total	$	9,476,260	$	—	$	—	$	9,476,260

All of the Funds’ common stocks except for Quality Fund and U.S. Flexible Equities Fund held at period end are classified as Level 1. The classifications for Quality Fund and U.S. Flexible Equities Fund are shown in the tables above. Please refer to the Schedule of Investments for a more detailed categorization of common stocks.

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes.

For all Funds for the period ended May 31, 2013, there were no material transfers between Level 1 and Level 2.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. Dollars at the close of regular trading on the NYSE, generally at 4:00 pm Boston time. Income and expenses denominated in foreign currencies are typically translated into U.S. Dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Investment and other risks

The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times:

	Quality Fund	Real Estate Fund	U.S. Core Equity Fund	U.S. Flexible Equities Fund	U.S. Growth Fund	U.S. Intrinsic Value Fund	U.S. Small/Mid Cap Fund
Market Risk – Equities Risk	X	X	X	X	X	X	X
Market Risk – Fixed Income Investments		X
Market Risk – Asset-Backed Securities		X
Credit Risk		X
Liquidity Risk		X					X
Smaller Company Risk		X	X		X	X	X
Derivatives Risk	X	X	X	X	X	X	X
Non-U.S. Investment Risk	X			X
Currency Risk	X			X
Focused Investment Risk	X	X	X	X	X	X	X
Real Estate Risk		X
Leveraging Risk	X	X	X	X	X	X	X
Counterparty Risk	X	X	X	X	X	X	X
Market Disruption and Geopolitical Risk	X	X	X	X	X	X	X
Large Shareholder Risk	X	X	X	X	X	X	X
Management and Operational Risk	X	X	X	X	X	X	X
Fund of Funds Risk				X
Non-Diversified Funds	X	X		X	X	X

Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.

Each Fund that invests in other GMO Funds and other investment companies is exposed to the risks to which the underlying funds in which it invests are exposed. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and, references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through other GMO Funds and other investment companies.

An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market value of their holdings will decline. Market risks include:

Equities Risk — Funds that invest in equities run the risk that the market prices of those investments will decline. The market prices of equities investment may decline for reasons that directly relate to the issuing company, such as poor management performance or reduced demand for its goods or services. They also may decline due to factors that affect a particular industry, such as a decline in demand, labor or raw material shortages or increased production costs. In addition, market prices may decline as a result of general market conditions not specifically related to a

company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. Equities generally have significant price volatility and the market prices of equities can decline in a rapid or unpredictable manner.

The Funds invest a substantial portion of their assets in equities and, as a result, declines in stock market prices generally are likely to reduce the net asset values of those Funds’ shares.

If a Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate to or will decline for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments.

The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.

Fixed Income Investments — Funds that invest in fixed income securities (including bonds, notes, bills, synthetic debt instruments and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to a number of market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity stemming from the market’s uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market price of fixed income investments with complex structures, such as asset-backed securities and sovereign and quasi-sovereign debt instruments, can decline due to market uncertainty about their credit quality and the reliability of their payment streams. Some fixed income securities also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the fixed income security. When interest rates rise, these securities also may be repaid more slowly than anticipated, which could cause the market price of the Fund’s investment to decrease. During periods of economic uncertainty and change, the market price of a Fund’s investments in below investment grade securities (commonly referred to as “junk bonds”) may be particularly volatile. Often junk bonds are subject to greater sensitivity to interest rate and economic changes than higher rated bonds and can be more difficult to value, exposing a Fund to the risk that the price at which it sells will be less than the value placed on them when they were held by the Fund. See “Credit Risk” and “Liquidity Risk” below for more information about these risks.

A risk run by each Fund with a significant investment in fixed income securities is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases in interest rates (also called “interest rate risk”) is generally greater for Funds investing in fixed income securities with longer durations and in some cases duration can increase.

The extent to which a fixed income security’s price changes with changes in interest rates is referred to as interest rate duration, which can be measured mathematically or empirically. A longer-maturity investment generally has longer interest rate duration because the investment’s fixed rate is locked in for a longer period of time. Floating-rate or adjustable-rate securities, however, generally have shorter interest rate durations because their interest rates are not fixed but rather float up and down as interest rates change. Conversely, inverse floating-rate securities have durations that move in the opposite direction from short-term interest rates and thus tend to underperform fixed rate securities when interest rates rise but outperform them when interest rates decline. Fixed income securities paying no interest, such as zero coupon and principal-only securities, create additional interest rate risk.

The market price of inflation-indexed bonds (including Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”)) normally changes when real interest rates change. Their value typically will decline during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increase during periods of declining real interest rates. Real interest rates may not fluctuate in the same manner as nominal interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities. The market price of a Fund’s inflation-indexed bonds, however, will not necessarily change in the same proportion as changes in nominal interest rates, and short term increases in inflation may lead to a decline in their price. Moreover, if the index measuring inflation falls, the principal value of inflation-indexed bond investments will be adjusted downward, and, consequently, the interest they pay (calculated with respect to a smaller principal amount) will be reduced. In the case of TIPS, the U.S. government guarantees the repayment of the original bond principal upon maturity (as adjusted for inflation). Generally, when interest rates on short term U.S. Treasury obligations equal or approach zero, a Fund that invests a substantial portion of its assets in U.S. Treasury obligations, such as U.S. Treasury Fund, will have a negative return unless the Manager waives or reduces its management fees.

Market risk for fixed income securities denominated in non-U.S. currencies is also affected by currency risk. See “Currency Risk” below.

Asset-Backed Securities — Investments in asset-backed securities not only are subject to all of the market risks described above for fixed income securities but to other market risks as well.

Funds investing in asset-backed securities are exposed to the risk that these securities experience severe credit downgrades, illiquidity, defaults, and declines in market value. These risks are particularly acute during periods of adverse market conditions, such as those that occurred in 2008. Asset-backed securities may be backed by many types of assets, including pools of residential and commercial mortgages, automobile loans, educational loans, home equity loans, and credit-card receivables. They also may be backed by pools of corporate or sovereign bonds, bank loans made to corporations, or a combination of these bonds and loans (commonly referred to as “collateralized debt obligations” or “collateralized loan obligations”) and by the fees earned by service providers.

As described under “Market Risk — Fixed Income Investments” above, the market price of fixed income investments with complex structures, such as asset-backed securities, can decline due to a number of factors, including market uncertainty about their credit quality and the reliability of their payment streams. Payment of interest on asset-backed securities and repayment of principal largely depend on the cash flow

generated by the assets backing the securities, as well as the deal structure (e.g., determination as to the amount of underlying assets or other support needed to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support and the credit quality of the credit-support provider, if any, and the reliability of various other service providers with access to the payment stream. A problem in any one of these areas can lead to a reduction in the payment stream the Manager expected a Fund to receive at the time the Fund purchased the asset-backed security. Asset-backed securities involve risk of loss of principal if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities may have. Asset-backed securities backed by sub-prime mortgage loans, in particular, may cause a Fund to suffer significantly greater declines in value due to defaults, as sub-prime mortgage loans are typically made to less creditworthy borrowers and thus have a higher risk of default than conventional mortgage loans. The obligations of issuers (and obligors of asset-backed securities) also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. See “Credit Risk” below for more information about credit risk.

With the deterioration of worldwide economic and liquidity conditions that occurred and became acute in 2008, the markets for asset-backed securities became fractured, and uncertainty about the creditworthiness of those securities (and underlying assets) caused credit spreads (the difference between yields on asset-backed securities and U.S. Government securities) to widen dramatically. Concurrently, systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions reduced the ability of financial institutions to make markets in many fixed income securities. These events reduced liquidity and contributed to substantial declines in the market prices of asset-backed and other fixed income securities. These conditions may occur again. Also, government actions and proposals affecting the terms of underlying home and consumer loans, changes in demand for products (e.g., automobiles) financed by those loans, and the inability of borrowers to refinance existing loans (e.g., sub-prime mortgages) have had, and may continue to have, adverse valuation and liquidity effects on asset-backed securities.

The market price of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying assets. The insolvency of an entity that generated the assets underlying an asset-backed security is likely to result in a decline in the market price of that security, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the asset-backed security. When interest rates rise, these obligations also may be repaid more slowly than anticipated, which could cause the market price of the Fund’s investment to decrease.

In addition, the existence of insurance on an asset-backed security does not guarantee that the principal and/or interest will be paid because the insurer could default on its obligations. In recent years, a significant number of asset-backed security insurers have defaulted on their obligations.

The risk of investing in asset-backed securities has increased since the deterioration in worldwide economic and liquidity conditions referred to above because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated. See “Focused Investment Risk” below for more information about risks of investing in correlated sectors. A single financial institution may serve as a trustee for many asset-backed securities. As a result, a disruption in that institution’s business may have a material impact on many investments.

• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer’s, guarantor’s, or obligor’s failure to meet its payment obligations or the downgrading of its credit rating. This risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

All fixed income securities are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending upon whether the issuer is a corporation or U.S. or non-U.S. government (or sub-division or instrumentality) and whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the life of a fixed income security. U.S. government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the United States, supported by the ability to borrow from the U.S. Treasury, supported only by the credit of the issuing U.S. government agency, instrumentality, or corporation, or otherwise supported by the United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign debt involve the risk that the governmental entities responsible for repayment may be unable or unwilling to pay interest and repay principal when due. A governmental entity’s willingness or ability to pay interest and repay principal in a timely manner may be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. In addition, payment of principal of fixed income securities guaranteed by the U.S. government can be delayed because the guarantee generally only requires payment upon maturity of the securities. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer may default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued by emerging countries.

In some cases, the credit risk of a fixed income security is reflected in its credit ratings, and a Fund holding such a security is subject to the risk that its rating will be downgraded.

Securities issued by the U.S. Treasury historically have presented minimal credit risk. However, recent events have led to a downgrade in the long-term U.S. credit rating by at least one major rating agency and have introduced greater uncertainty about the ability of the U.S. to repay its obligations. A further credit rating downgrade or a U.S. credit default could decrease the value and increase the volatility of a Fund’s investments.

As described under “Market Risk — Asset-Backed Securities” above, asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors, as described in “Market Risk — Asset-Backed Securities” above.

The obligations of issuers also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives Risk” below for more information regarding risks associated with the use of credit default swaps.

The extent to which the market price of a fixed income security changes in response to a credit event depends on a number of factors and can be difficult to predict. For example, floating rate securities may have final maturities of ten or more years, but their effective durations will tend to be very short. If the issuer of floating rate securities experiences an adverse credit event, or a change occurs in its perceived creditworthiness, the market price of its securities could decline much more than would be predicted by a change in their yield relative to their effective duration.

Credit risk is particularly pronounced for below investment grade securities (commonly referred to as “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many asset-backed securities also are below investment grade. Below investment grade securities have speculative characteristics, often are less liquid than higher quality securities, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. In the event of default of sovereign debt, the Funds may be unable to pursue legal action against the sovereign issuer.

• LIQUIDITY RISK. Liquidity risk is the risk that low trading volume, lack of a market maker, large position size or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits or prevents a Fund from selling particular securities or unwinding derivative positions at desirable prices. In addition to these risks, a Fund is exposed to liquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). All of the Funds are subject to liquidity risk, but those with the greatest risk have principal investment strategies that involve investment in asset-backed securities, emerging country debt securities, securities of companies with smaller market capitalizations or smaller total float-adjusted market capitalizations and emerging market securities. These types of investments can be difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the value placed on them when they were held by the Fund. In addition, Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”) have exhibited periods of greatly reduced liquidity when disruptions in fixed income markets have occurred, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when market prices decline generally.

All of the Funds with benchmarks may buy securities that are less liquid than those in their benchmarks.

• SMALLER COMPANY RISK. Companies with smaller market capitalizations, including small- and mid-cap companies, may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more than the securities of companies with larger market capitalizations. In addition, market risk and liquidity risk are particularly pronounced for securities of these companies.

• DERIVATIVES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates or indices. Derivatives involve the risk that the changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. Derivatives include futures, non-U.S. currency contracts, swap agreements, reverse repurchase agreements and OTC contracts. Derivatives may relate to securities, interest rates, currencies or currency exchange rates, inflation rates, commodities and indices.

Certain derivatives transactions used by the Funds, including certain interest rate swaps and certain credit default index swaps, will be required to be cleared. The Funds will hold cleared derivatives transactions through clearing members, who are futures commission merchants who are members of derivatives clearing houses. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing members generally can require termination of existing cleared derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks of investing directly in securities and other more traditional assets. In particular, a Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed only with the consent of other party to the contract. If the counterparty defaults, the Fund will have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed to it under OTC derivatives contracts, or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., forward currency contracts), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs the risk of having limited recourse if the counterparty defaults. Even when obligations are required by contract to be collateralized, a Fund often will not receive the collateral the day the collateral is called for. The Funds may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Funds. Derivatives risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. In addition, during those periods, a Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives in which it has invested.

Derivatives also present other risks described in this section, including market risk, liquidity risk, currency risk, credit risk and counterparty risk. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values a Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of a Fund’s net asset value.

A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures, potentially resulting in losses for the Fund.

Swap agreements and other OTC derivatives are highly susceptible to liquidity risk (see “Liquidity Risk” above) and counterparty risk (see “Counterparty Risk” below), and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk” below.

A Fund’s use of derivatives may be subject to one or more special tax rules and could generate additional taxable income for shareholders.

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. Because the legislation leaves much to rule making (and many of the rules are not yet final), its ultimate impact remains unclear.

Under recently adopted rules and regulations, transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds will hold cleared derivatives through accounts at clearing members. In cleared derivatives transactions, the Funds will make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.

In many ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements. For example, the Funds may be required to provide more margin for cleared derivatives transactions than for bilateral derivatives transactions. Also, in contrast to a bilateral derivatives transaction, following a period of notice to a Fund, a clearing member generally can require termination of an existing cleared derivatives transaction at any time or an increase in margin requirements above the margin that the clearing member required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions or to terminate those transactions at any time. Any increase in margin requirements or termination of existing cleared derivatives transactions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member, because (as described under “Counterparty Risk” below) margin for cleared derivatives transactions in excess of a clearing house’s margin requirements typically is held by the clearing member. Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of the transaction, including loss of an increase in the value of the transaction and/or loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member and typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent.

These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund, increasing margin or capital requirements, or otherwise limiting liquidity or increasing transaction costs. These regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that the new clearing mechanisms will achieve that result, and in the meantime, as noted above, central clearing exposes the Funds to new kinds of risks and costs.

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to additional and more varied risks than Funds whose investments are limited to U.S. securities. The securities markets of many non-U.S. countries include securities of only a limited number of companies in a limited number of industries. As a result, the market prices of many of those securities fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to the same degree of regulation as U.S. issuers. Reporting, accounting, custody and auditing standards of non-U.S. countries differ, in some cases significantly, from U.S. standards. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs. In addition, some jurisdictions may limit the Fund’s ability to profit from short term trading (as defined in the relevant jurisdiction).

A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments

and (iii) the repatriation of proceeds generated from the sale of those investments. A Fund may seek to collect a refund in respect of taxes paid to a non-U.S. country. In those cases, all or a portion of those taxes could ultimately be recovered by a Fund. However, the recovery process could take several years and the Fund will incur expenses in its efforts to collect the refund, which will reduce the benefit of any recovery. A Fund’s efforts to collect a refund may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. A Fund’s decision to pursue a refund is in its sole discretion, and it may decide not to pursue a refund, even if eligible.

Also, investing in non-U.S. securities exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments.

In some non-U.S. markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the U.S. with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents, and issuers. Fluctuations in non-U.S. currency exchange rates also will affect the market value of a Fund’s non-U.S. investments (see “Currency Risk” below).

U.S. investors are required to maintain a license to invest directly in many non-U.S. markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license is terminated or suspended, to obtain exposure to the market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of the Manager’s clients may preclude other clients, including a Fund, from obtaining a similar license, and this could limit the Fund’s investment opportunities. In addition, the activities of another of the Manager’s clients could cause the suspension or revocation of a license and thereby limit the Funds’ investment opportunities.

Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of assets of issuers of securities in a Fund’s portfolio; greater governmental involvement in the economy; less governmental supervision and regulation of the securities markets and participants in those markets; controls on non-U.S. investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. Dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e., a market freeze); unavailability of currency hedging techniques; differences in, or lack of, auditing and financial reporting standards and resulting unavailability of material information about issuers; slower clearance and settlement; difficulties in obtaining and/or enforcing legal judgments; and significantly smaller market capitalizations of issuers.

• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the non-U.S. currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position, will decline in value relative to the U.S. Dollar. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss both on the hedging instrument and on the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons, including changes in supply and demand in the currency exchange markets, trade balances, actual or perceived changes in interest rates, differences in relative values of similar assets in different currencies, long-term opportunities for investment and capital appreciation, intervention (or the failure to intervene) by governments, central banks or supranational agencies such as the International Monetary Fund, and currency or exchange controls or other political and economic developments in the U.S. or abroad. See “Market Disruption and Geopolitical Risk” below.

Many of the Funds use derivatives to take overweighted or underweighted currency positions relative to the currency exposure of their portfolios. As a result, their currency exposure may differ (in some cases significantly) from the currency exposure of their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money both on its holdings of a particular currency and on the derivative. See also “Non-U.S. Investment Risk” above.

Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. Dollars, in which case the Manager may decide to purchase U.S. Dollars in a parallel market in which the exchange rate is materially and adversely different. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.

Derivative transactions in non-U.S. currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described below under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk” below).

• FOCUSED INVESTMENT RISK. Funds whose investments are focused in particular countries, regions, sectors, companies or industries with high positive correlations to one another (e.g., different industries within broad sectors, such as technology or financial services) or in securities from issuers with high positive correlations to one another (such as GMO U.S. Treasury Fund’s investments in securities issued by the U.S. Treasury and other fixed income securities that are backed by the full faith and credit of the U.S. government) are subject to greater overall risk than funds whose investments are more diversified. A Fund that invests in the securities of a limited number of issuers is particularly exposed to adverse developments affecting those issuers, and a decline in the market price of a particular security held by the Fund is likely to affect the Fund’s performance more than if the Fund invested in the securities of a larger number of issuers.

A Fund that focuses its investments in a particular type of security or sector, or in securities of companies in a particular industry, is vulnerable to events affecting those securities, sectors, or companies. Securities, sectors, or companies that share common characteristics are often subject to

similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments. See also “Real Estate Risk” below.

Similarly, Funds having a significant portion of their assets in investments tied economically to (or related to) a particular geographic region, non-U.S. country (e.g., Taiwan) or particular market (e.g., emerging markets) have more exposure to regional and country economic risks than funds making non-U.S. investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in currency valuation in one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk” above.

• REAL ESTATE RISK. Because Real Estate Fund concentrates its assets in real estate-related investments, the value of its portfolio is subject to factors affecting the real estate industry and may fluctuate more than the value of a portfolio that consists of securities of companies in a broader range of industries. Factors affecting real estate values include the supply of real property in particular markets, overbuilding, changes in zoning laws, casualty or condemnation losses, delays in completion of construction, changes in real estate values, changes in operating costs and property taxes, levels of occupancy, adequacy of rent to cover operating costs, possible environmental liabilities, regulatory limitations on rent, fluctuations in rental income, increased competition and other risks related to local and regional market conditions. The value of real estate-related investments also may be affected by changes in interest rates, macroeconomic developments, and social and economic trends. For instance, during periods of declining interest rates, some mortgage REITs may hold mortgages that the mortgagors elect to prepay, which prepayment may reduce the yield on securities issued by those REITs. Some REITs have relatively small market capitalizations, which can tend to increase the volatility of the market price of their securities. REITs are subject to the risk of fluctuations in income from underlying real estate assets, their inability to manage effectively the cash flows generated by those assets, prepayments and defaults by borrowers, and their failure to qualify for the special tax treatment granted to REITs under the Internal Revenue Code of 1986, as amended, or to maintain their exemption from investment company status under the Investment Company Act of 1940, as amended (the “1940 Act”).

• LEVERAGING RISK. The use of reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives have the potential for unlimited loss, regardless of the size of the initial investment. A Fund’s use of reverse repurchase agreements also subjects it to interest cost based on the difference between the sale and repurchase price of the security involved. A Fund’s portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.

A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.

• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise hold investments it would prefer to sell, resulting in losses for the Fund. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties maintain a specific rating by a nationally recognized rating organization to be considered for potential transactions. To the extent that GMO’s view with respect to a particular counterparty changes (whether due to external events or otherwise), existing transactions are not required to be terminated or modified. Additionally, new transactions may be entered into with a counterparty that is no longer considered eligible if the transaction is primarily designed to reduce the overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lesser notional amount). Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If the counterparty defaults, the Fund will have contractual remedies, but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time that events may occur that prevent settlement. Counterparty risk also is greater when a Fund has concentrated its derivatives with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Significant exposure to a single counterparty increases a Fund’s counterparty risk. Funds that use swap agreements are subject, in particular, to the creditworthiness of the counterparties because some types of swap agreements have durations longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be promptly posted as required.

The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds.

Counterparty risk with respect to derivatives will be affected by new rules and regulations affecting the derivatives market. As described under “Derivatives Risk” above, some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position, rather than the credit risk of its original counterparty to the derivatives transaction. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. A clearing member is obligated by contract and by applicable regulation to segregate all funds received from customers with respect to cleared derivatives transactions from the clearing member’s proprietary assets. However, all funds and other property received by a clearing member from its customers with respect to cleared derivatives are generally held by the clearing member on a commingled basis in an omnibus account, and the clearing member may invest those funds in certain instruments permitted under the applicable regulations. Therefore, a Fund might not be fully protected in the event of the bankruptcy of a Fund’s clearing member because the Fund would be limited to recovering only a pro rata share of all available funds segregated on behalf of the clearing member’s customers for a relevant account class. Also, the clearing member is required to transfer to the clearing house the amount of margin required by the clearing house for cleared derivatives, which amounts are generally held in an omnibus account at the clearing house for all customers of the clearing member. Regulations promulgated by the Commodities Futures Trading Commission require that the clearing member notify the clearing house of the initial margin provided by the clearing member to the clearing house that is attributable to each customer. However, if the clearing member does not accurately report the Funds’ initial margin, the Funds are subject to the risk that a clearing house will use a Fund’s assets held in an omnibus account at the clearing house to satisfy payment obligations of a defaulting customer of the clearing member to the clearing house. In addition, clearing members generally provide the clearing house the net amount of variation margin required for cleared swaps for all of its customers in the aggregate, rather than individually for each customer. The Funds are therefore subject to the risk that a clearing house will not make variation margin payments owed to a Fund if another customer of the clearing member has suffered a loss and is in default, and the risk that a Fund will be required to provide additional variation margin to the clearing house before the clearing house will move the Fund’s cleared derivatives transactions to another clearing member. In addition, if a clearing member does not comply with the applicable regulations or its agreement with the Funds, or in the event of fraud or misappropriation of customer assets by a clearing member, a Fund could have only an unsecured creditor claim in an insolvency of the clearing member with respect to the margin held by the clearing member.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events will disrupt securities markets, adversely affect global economies and markets and thereby decrease the value of the Funds’ investments. The wars in Iraq and Afghanistan have had a substantial effect on the economies and securities markets of the U.S. and other countries. Terrorism in the U.S. and around the world has had a similar global impact and has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation (e.g., the potential manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trade practices, which could disrupt the orderly functioning of these markets or adversely affect the value of investments traded in such markets, including investments of the Funds. While the U.S. government has honored its credit obligations continuously for the last 200 years, it remains possible that the U.S. could default on its obligations. While it is impossible to predict the consequences of such an unprecedented event, it is likely that a default by the U.S. would be highly disruptive to the U.S. and global securities markets and could significantly impair the value of the Funds’ investments. Similarly, political events within the U.S. at times have resulted, and may in the future result, in a shutdown of government services, which could negatively affect the U.S. economy, decrease the value of many Fund investments, and increase uncertainty in or impair the operation of the U.S. or other securities markets. The uncertainty surrounding the sovereign debt of a significant number of European Union countries, as well as the continued existence of the European Union itself, have disrupted and may continue to disrupt markets in the U.S. and around the world. If one or more countries leave the European Union or the European Union dissolves, the world’s securities market likely will be significantly disrupted. Substantial government interventions (e.g., currency controls), also could negatively impact the Funds. War, terrorism, economic uncertainty and related geopolitical events have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment and other factors affecting the value of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs for a period of time and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis. To the extent that a Fund has focused its investments in the stock index of particular region, adverse geopolitical and other events could have a disproportionate impact on the Fund.

• LARGE SHAREHOLDER RISK. To the extent that a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance if it is forced to sell portfolio securities to raise the cash needed to satisfy the redemption request. In addition, GMO Funds and other accounts over which GMO has investment discretion that invest in the Funds are not subject to restrictions on the frequency of trading of Fund shares. Asset Allocation Funds and separate accounts managed by the Manager for its clients hold substantial percentages of the shares of many Funds, and asset allocation decisions by the Manager may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) at times when it would not otherwise do so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio

securities, accelerate the realization of taxable income to shareholders. They also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any). In addition, each Fund that invests in other GMO Funds subject to large shareholder risk is indirectly subject to this risk.

• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on the Manager’s ability to achieve its investment objective. Each Fund runs the risk that the Manager’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. The Manager also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.

For some Funds the Manager’s portfolio managers use quantitative analyses and models. Any imperfections, errors or limitations in those analyses and models could affect the ability of the portfolio managers to implement a Fund’s strategies. By necessity, these analyses and models make simplifying assumptions that limit their effectiveness. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate or may not include the most recent information about a company or a security. The Funds also run the risk that GMO’s assessment of an investment may be wrong. There can be no assurance that key personnel of the Manager will continue to be employed by the Manager. The loss of their services could have an adverse impact on the Manager’s ability to achieve the Funds’ investment objectives.

The Funds also are subject to the risk of loss as a result of other services provided by the Manager and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error and system failures by a service provider. For example, trading delays or errors (both human and systematic) could prevent a Fund from benefiting from potential investment gains or avoiding losses on the security. The Manager is not contractually liable to the Funds for losses associated with operational risk absent the Manager’s willful misfeasance, bad faith, gross negligence or reckless disregard of its contractual obligations to provide services to the Funds. Other Fund service providers also have limitations on their liability to the Funds for losses resulting from their errors.

• FUND OF FUNDS RISK AND RELATED CONSIDERATIONS. Funds that invest in shares of other investment companies, including other GMO Funds, money market funds and Exchange-Traded Funds (“ETFs”) (for purposes of this risk disclosure, “underlying Funds”), are exposed to the risk that the underlying Funds will not perform as expected.

Because a Fund bears the fees and expenses of the underlying Funds in which it invests (absent reimbursement of those expenses), the Fund will incur additional expenses when investing in underlying Funds. In addition, total Fund expenses will increase if a Fund makes a new or further investment in underlying Funds with higher fees or expenses than the average fees and expenses of the underlying Funds then in the Fund’s portfolio.

The Funds also are indirectly exposed to all of the risks of an investment in the underlying Funds. Because some of their underlying Funds (e.g., many of the Fixed Income Funds) invest a substantial portion of their assets in other GMO Funds (pursuant to an exemptive order obtained from the SEC), the Asset Allocation Funds have more tiers of investments than funds in many other groups of investment companies. Funds that invest in shares of other GMO Funds also are subject indirectly to Large Shareholder Risk because those other GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk” above.

Investments in ETFs involve the risk that the ETF’s performance may not track the performance of the index the ETF is designed to track. Unlike the index, an ETF incurs administrative expenses and transaction costs in trading securities. In addition, the timing and magnitude of cash inflows and outflows from and to investors buying and redeeming shares in the ETF could create cash balances that cause the ETF’s performance to deviate from the index (which remains “fully invested” at all times). Performance of an ETF and the index it is designed to track also may diverge because the composition of the index and the securities held by the ETF may occasionally differ. In addition, ETFs often use derivatives to track the performance of the relevant index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed above.

• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act, as amended. This means they are allowed to invest in the securities of a relatively small number of issuers and/or non-U.S. currencies. As a result, they may be subject to greater credit, market and other risks, and poor performance by a single issuer may have a greater impact on their performance, than if they were “diversified.”

The following Funds are not diversified investment companies under the 1940 Act:

• Quality Fund

• Real Estate Fund

• U.S. Flexible Equities Fund

• U.S. Growth Fund

• U.S. Intrinsic Value Fund

Temporary Defensive Positions.

The Funds (other than Quality Fund) normally do not take temporary defensive positions. Quality Fund reserves the right to make tactical allocations of up to 20% of its net assets to investments in cash and high quality debt investments. To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.

Derivative financial instruments

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of the Funds’ portfolios. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap agreements, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Funds may use derivatives as substitutes for direct investment in securities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. Quality Fund and U.S. Flexible Equities Fund also may use currency derivatives (including forward currency contracts, futures contracts, swap agreements, and options) to gain exposure to a given currency.

The Funds also may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). Quality Fund and U.S. Flexible Equities Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Funds may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

In addition, the Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, and in the case of Quality Fund and U.S. Flexible Equities Fund, currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their investment exposures, Quality Fund and U.S. Flexible Equities Fund also may use currency derivatives in an attempt to adjust their currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by their portfolio investments.

The Funds may use derivatives to effect transactions intended as substitutes for securities lending.

The Funds may have investment exposures in excess of their net assets. (i.e., they may be leveraged).

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investments and other risks” above for further information.

For Funds that held derivatives during the period ended May 31, 2013, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use	U.S. Intrinsic Value Fund
Rights and/or warrants
Received as a result of corporate actions		X

Forward currency contracts

The Funds may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Funds’ forward currency contracts is marked to market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Futures contracts

The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts

expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Options

The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

The Funds may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

When an option contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Funds value OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Funds may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap agreements are net settled. When entering into a swap agreement and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Initial upfront payments received or made upon entering into a swap agreement are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or loss.

Interest rate swap agreements involve an exchange by the parties of their respective commitments to pay or right to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal).

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

The values assigned to swap agreements may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap agreement. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Rights and warrants

The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Fund (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.

The following is a summary of the fair valuations of derivative instruments categorized by risk exposure:

Fair Values of Derivative Instruments as of May 31, 2013:

	Credit Contracts		Equity Contracts		Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
U.S. Intrinsic Value Fund
Asset:
Investments, at value (rights and/or warrants)	$	—	$	2,944	$	—	$	—	$	—	$	2,944

The risks referenced in the table above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.

The derivative financial instruments outstanding as of period end, if any, (as disclosed in the Funds’ Schedule of Investments) serve as an indicator of the volume of derivative activity for the Funds during the period.

For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.

Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value ($) / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 86.4%
		U.S. Government — 86.4%
	110,000,000	U.S. Treasury Note, 0.50%, due 11/15/13		110,197,670
	66,200,000	U.S. Treasury Note, 1.25%, due 08/31/15		67,529,164
		Total U.S. Government		177,726,834
		TOTAL DEBT OBLIGATIONS (COST $177,636,234)		177,726,834
		MUTUAL FUNDS — 13.2%
		United States — 13.2%
		Affiliated Issuers
	1,087,899	GMO U.S. Treasury Fund		27,208,354
		TOTAL MUTUAL FUNDS (COST $27,203,300)		27,208,354
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.3%
	505,727	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (a)		505,727
		TOTAL SHORT-TERM INVESTMENTS (COST $505,727)		505,727
		TOTAL INVESTMENTS — 99.9% (Cost $205,345,261)		205,440,915
		Other Assets and Liabilities (net) — 0.1%		187,340
		TOTAL NET ASSETS — 100.0%		$205,628,255

Notes to Schedule of Investments:

^(a)  The rate disclosed is the 7 day net yield as of May 31, 2013. Note: Yield rounds to 0.00%.

Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 66.7%
		Albania — 3.8%
		Foreign Government Obligations
USD	14,281,227	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a)		9,425,610
		Australia — 0.1%
		Asset-Backed Securities
USD	120,734	Crusade Global Trust, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 0.34%, due 04/19/38		118,186
USD	175,728	Medallion Trust, Series 05-1G, Class A1, 3 mo. LIBOR + .08%, 0.36%, due 05/10/36		174,860
		Total Australia		293,046
		United Kingdom — 0.2%
		Asset-Backed Securities
USD	372,169	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .20%, 0.48%, due 01/13/39		362,380
USD	20,535	Granite Master Issuer Plc, Series 06-2, Class A4, 1 mo. LIBOR + .08%, 0.28%, due 12/20/54		20,166
		Total United Kingdom		382,546
		United States — 62.6%
		Asset-Backed Securities — 1.6%
USD	284,697	Alliance Bancorp Trust, Series 07-S1, Class A1, 144A, 1 mo. LIBOR + .20%, 0.59%, due 05/25/37 ¿		14,235
USD	950,486	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.34%, due 07/25/36 ¿		411,085
USD	93,114	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.30%, due 09/25/36 ¿		36,780
USD	794,931	Argent Securities, Inc., Series 06-W5, Class A2C, 1 mo. LIBOR + .15%, 0.34%, due 06/25/36 ¿		281,828
USD	107,573	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.58%, due 01/25/36		88,210
USD	300,000	College Loan Corp. Trust, Series 07-2, Class A1, 3 mo. LIBOR + .25%, 0.53%, due 01/25/24		292,500
USD	110,996	Crest Exeter Street Solar, Series 04-1A, Class A1, 144A, 3 mo. LIBOR + .35%, 0.63%, due 06/28/19		108,776
USD	496,271	First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF5, Class 2A3, 1 mo. LIBOR + .16%, 0.35%, due 04/25/36 ¿		382,129
USD	360,772	Fremont Home Loan Trust, Series 06-A, Class 1A2, 1 mo. LIBOR + .20%, 0.39%, due 05/25/36 ¿		190,025
USD	92,984	Fremont Home Loan Trust, Series 06-B, Class 2A3, 1 mo. LIBOR + .16%, 0.35%, due 08/25/36 ¿		36,728

Par Value		Description	Value ($)
		Asset-Backed Securities — continued
USD	588,008	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.44%, due 11/15/33		540,968
USD	800,000	GS Mortgage Securities Corp., Series 07-EOP, Class A2, 144A, 1 mo. LIBOR + .51%, 1.26%, due 03/06/20		801,520
USD	129,619	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.34%, due 03/25/36 ¿		97,214
USD	628,280	Master Asset-Backed Securities Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .15%, 0.34%, due 06/25/36 ¿		358,120
USD	481,916	Morgan Stanley Capital, Inc., Series 07-HE4, Class A2C, 1 mo. LIBOR + .23%, 0.42%, due 02/25/37 ¿		227,705
USD	32,084	Residential Funding Mortgage Securities II, Series 03-HS1, Class AII, FGIC, 1 mo. LIBOR + .29%, 0.48%, due 12/25/32		27,272
USD	45,834	SBI Heloc Trust, Series 05-HE1, Class 1A, 144A, FSA, 1 mo. LIBOR + .19%, 0.38%, due 11/25/35		43,950
USD	17,009	Structured Asset Securities Corp., Series 05-S6, Class A2, 1 mo. LIBOR + .29%, 0.77%, due 11/25/35		16,860
				3,955,905
		Corporate Debt — 2.0%
USD	1,000,000	Bank of America Corp., 3.30%, due 01/11/23		975,090
USD	1,000,000	Citigroup, Inc., 3.38%, due 03/01/23		992,730
USD	1,000,000	General Electric Capital Corp., 3.10%, due 01/09/23		971,700
USD	1,000,000	Goldman Sachs Group, Inc. (The), 3.63%, due 01/22/23		992,900
USD	1,000,000	JPMorgan Chase & Co., 3.20%, due 01/25/23		979,690
				4,912,110
		U.S. Government — 46.3%
USD	10,000,000	U.S. Treasury Bond, 3.13%, due 02/15/43		9,712,500
USD	18,586,620	U.S. Treasury Inflation Indexed Note, 1.25%, due 04/15/14 (b)		18,871,219
USD	20,000,000	U.S. Treasury Note, 0.75%, due 02/28/18		19,787,500
USD	30,000,000	U.S. Treasury Note, 2.50%, due 03/31/15 (c)		31,207,020
USD	35,000,000	U.S. Treasury Note, 1.63%, due 11/15/22 (c)		33,662,895
				113,241,134
		U.S. Government Agency — 12.7%
USD	30,000,000	Federal National Mortgage Assoc.,TBA, 3.50%, due 01/01/42		31,096,875
		Total United States		153,206,024
		TOTAL DEBT OBLIGATIONS (COST $161,267,394)		163,307,226

Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares/Principal Amount		Description	Value ($)
		MUTUAL FUNDS — 46.8%
		United States
		Affiliated Issuers
	1,014,307	GMO Emerging Country Debt Fund, Class IV		10,437,220
	7,417,054	GMO Short-Duration Collateral Fund		28,555,658
	887,608	GMO U.S. Treasury Fund		22,199,082
	2,030,456	GMO World Opportunity Overlay Fund		53,360,390
		TOTAL MUTUAL FUNDS (COST $106,150,350)		114,552,350
		OPTIONS PURCHASED — 0.3%
		Currency Options
AUD	9,000,000	USD Call/AUD Put, Expires 10/02/13, Strike 0.99, (OTC) (CP-BCLY)		437,400
JPY	850,000,000	USD Call/JPY Put, Expires 02/12/14, Strike 104.00, (OTC) (CP-BCLY)		212,756
		TOTAL OPTIONS PURCHASED (COST $353,561)		650,156
		SHORT-TERM INVESTMENTS — 0.8%
		Money Market Funds — 0.1%
	227,298	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (d)		227,298
		U.S. Government — 0.7%
	1,785,000	U.S. Treasury Bill, 0.06%, due 10/17/13 (c) (e)		1,784,595
		TOTAL SHORT-TERM INVESTMENTS (COST $2,011,090)		2,011,893
		TOTAL INVESTMENTS — 114.6% (Cost $269,782,395)		280,521,625
		Other Assets and Liabilities (net) — (14.6%)		(35,758,248	)
		TOTAL NET ASSETS — 100.0%		$244,763,377

A summary of outstanding financial instruments at May 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
06/18/2013	CITI		AUD	19,200,000		USD	19,457,888	$	1,101,098
06/18/2013	DB		AUD	4,700,000		USD	4,793,012		299,422
06/25/2013	CITI		CAD	5,600,000		USD	5,449,062		50,354
06/25/2013	DB		CAD	2,100,000		USD	2,045,542		21,026
07/23/2013	DB		CHF	14,800,000		USD	15,416,953		(67,850	)
07/30/2013	CITI		EUR	13,900,000		USD	17,919,574		(152,666	)
07/09/2013	CITI		GBP	1,900,000		USD	2,878,268		(7,906	)
07/09/2013	DB		GBP	2,000,000		USD	3,112,960		74,882
06/04/2013	BCLY		JPY	310,000,000		USD	3,292,968		207,009
06/04/2013	CITI		JPY	110,000,000		USD	1,093,477		(1,540	)
06/04/2013	DB		JPY	110,000,000		USD	1,167,047		72,029
08/06/2013	CITI		JPY	240,000,000		USD	2,359,868		(29,931	)
07/16/2013	CITI		NZD	600,000		USD	492,361		16,833
07/16/2013	DB		NZD	3,000,000		USD	2,460,925		83,285
07/02/2013	BCLY		SEK	17,800,000		USD	2,685,337		(348	)
07/02/2013	DB		SEK	9,300,000		USD	1,397,929		(5,266	)
06/04/2013	CITI		USD	2,560,704		JPY	260,000,000		27,519
06/04/2013	DB		USD	2,736,703		JPY	270,000,000		(48,933	)
06/11/2013	BCLY		USD	6,925,893		NOK	40,100,000		(94,736	)
06/11/2013	DB		USD	6,140,224		NOK	35,700,000		(58,621	)
06/18/2013	JPM		USD	27,105,532		AUD	25,800,000		(2,438,595	)
06/25/2013	CITI		USD	15,065,807		CAD	15,300,000		(315,766	)
06/25/2013	DB		USD	5,051,532		CAD	5,100,000		(134,852	)
07/02/2013	CITI		USD	2,792,682		SEK	18,200,000		(46,645	)
07/09/2013	CITI		USD	4,163,494		GBP	2,700,000		(62,089	)
07/16/2013	CITI		USD	15,284,297		NZD	18,300,000		(780,692	)
07/23/2013	DB		USD	1,675,568		CHF	1,600,000		(1,535	)
07/30/2013	CITI		USD	1,682,001		EUR	1,300,000		8,208
								$	(2,286,306	)

Futures Contracts

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
217	Canadian Government Bond 10 Yr.	September 2013	$	28,404,944	$	(291,681	)
322	U.S. Treasury Note 10 Yr. (CBT)	September 2013		41,608,437		(80,899	)
392	U.S. Treasury Note 5 Yr. (CBT)	September 2013		47,986,313		(80,801	)
2	U.S. Treasury Note 2 Yr. (CBT)	September 2013		440,281		(68	)
			$	118,439,975	$	(453,449	)

Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Sales
35	Euro Bund	June 2013	$	6,518,686	$	30,465
35	Japanese Government Bond 10 Yr. (TSE)	June 2013		49,331,015		847,801
20	Australian Government Bond 10 Yr.	June 2013		2,344,441		52,551
221	UK Gilt Long Bond	September 2013		38,803,079		7,564
14	U.S. Long Bond (CBT)	September 2013		1,960,437		3,349
			$	98,957,658	$	941,730

Written Options

Principal Amount				Expiration Date	Description	Premiums		Market Value
	Put	JPY	850,000,000	02/12/2014	USD Call/JPY Put, Strike 110.00 (OTC) (CP-BCLY)	$	121,751	$	(100,582	)

Swap Agreements

Credit Default Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay)^	Annual Premium	Implied Credit Spread (1)	Reference Entity	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Net Unrealized Appreciation/ (Depreciation)
	2,000,000	USD	12/20/2013	BCLY	Receive	0.25%	0.51%	SLM Corp.	2,000,000	USD	$	(1,980	)
	40,000,000	USD	12/20/2015	BCLY	(Pay)	1.00%	0.31%	CDX.NA.IG.19	N/A			(782,878	)
	40,000,000	USD	12/20/2022	BCLY	Receive	1.00%	1.17%	CDX.NA.IG.19	40,000,000	USD		(484,065	)
											$	(1,268,923	)
								Premiums to (Pay) Receive			$	1,604,757

^ Receive - Fund receives premium and sells credit protection. If a credit event occurs, the Fund will either, depending on the terms of the terms of the particular swap agreement, (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.

(Pay) - Fund pays premium and buys credit protection. If a credit event occurs, the Fund will either, depending on the terms of the terms of the particular swap agreement, (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.

⁽¹⁾  Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on the reference security, as of May 31, 2013, 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 agreement.

⁽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 agreement.

Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay)#	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	3,300,000	CHF	9/18/2023	BCLY	Receive	1.20%	6 Month CHF LIBOR	$	(21,218	)
	2,300,000	CHF	9/18/2023	CITI	Receive	1.20%	6 Month CHF LIBOR		(14,788	)
	2,400,000	CHF	9/18/2023	DB	Receive	1.20%	6 Month CHF LIBOR		(15,431	)
	65,400,000	SEK	9/18/2023	BCLY	Receive	2.60%	3 Month SEK STIBOR		160,813
	42,100,000	SEK	9/18/2020	DB	Receive	1.90%	3 Month SEK STIBOR		(102,060	)
	33,300,000	SEK	9/18/2020	CITI	Receive	1.90%	3 Month SEK STIBOR		(80,727	)
								$	(73,411	)
							Premiums to (Pay) Receive	$	(9,339	)

# Receive - Fund receives fixed rate and pays variable rate.
(Pay) - Fund pays fixed rate and receives variable rate.

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund (Pays)/Receives	Net Unrealized Appreciation/ (Depreciation)
	25,000,000	USD	7/31/2013	BCLY	3 Month LIBOR	Barclays MBS Fixed Rate Index	$	(394,917	)
						Premiums to (Pay) Receive	$	—

As of May 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

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.

CHF LIBOR - London Interbank Offered Rate denominated in Swiss Franc.

CP - Counterparty

FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.

FSA - Insured as to the payment of principal and interest by Financial Security Assurance.

LIBOR - London Interbank Offered Rate

OTC - Over-the-Counter

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

TBA - To Be Announced - Delayed Delivery Security

The rates shown on variable rate notes are the current interest rates at May 31, 2013, which are subject to change based on the terms of the security.

¿ These securities are primarily backed by subprime mortgages.

^(a)  Security is backed by U.S. Treasury bonds.

^(b)  Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic.

^(c)  All or a portion of this security has been pledged to cover margin requirements on futures contracts, collateral on swap agreements and forward currency contracts, and/or written options, if any.

^(d)  The rate disclosed is the 7 day net yield as of May 31, 2013. Note: Yield rounds to 0.00%.

^(e)  The rate shown represents yield-to-maturity.

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

CITI - Citibank N.A.

DB - Deutsche Bank AG

JPM - JPMorgan Chase Bank, N.A.

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

USD - United States Dollar

Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 45.1%
		Canada — 12.7%
		Foreign Government Obligations
CAD	4,000,000	Government of Canada, 1.50%, due 06/01/23		3,647,938
CAD	5,000,000	Government of Canada, 3.50%, due 06/01/20		5,369,231
		Total Canada		9,017,169
		France — 7.0%
		Foreign Government Obligations
EUR	3,300,000	Government of France, 4.00%, due 10/25/38		4,994,442
		Germany — 3.9%
		Foreign Government Obligations
EUR	1,500,000	Republic of Deutschland, 4.75%, due 07/04/34 (a)		2,758,329
		Italy — 9.7%
		Foreign Government Obligations
EUR	5,100,000	Italy Buoni Poliennali Del Tesoro, 5.00%, due 08/01/34		6,916,409
		Netherlands — 1.1%
		Foreign Government Obligations
EUR	500,000	Netherlands Government Bond, 3.75%, due 01/15/42		813,734
		Spain — 3.3%
		Foreign Government Obligations
EUR	1,900,000	Government of Spain, 4.70%, due 07/30/41		2,352,765
		United Kingdom — 1.9%
		Foreign Government Obligations
GBP	700,000	United Kingdom Gilt, 4.75%, due 12/07/30		1,347,555
		United States — 5.5%
		U.S. Government
USD	3,849,300	U.S. Treasury Inflation Indexed Note, 1.25%, due 04/15/14 (a) (b)		3,908,241
		TOTAL DEBT OBLIGATIONS (COST $29,801,348)		32,108,644
		MUTUAL FUNDS — 53.2%
		United States
		Affiliated Issuers
	300,941	GMO Emerging Country Debt Fund, Class IV		3,096,684
	2,683,050	GMO Short-Duration Collateral Fund		10,329,744
	348,830	GMO U.S. Treasury Fund		8,724,238
	599,715	GMO World Opportunity Overlay Fund		15,760,522
		TOTAL MUTUAL FUNDS (COST $34,607,454)		37,911,188

Principal Amount / Shares		Description	Value ($)
		OPTIONS PURCHASED — 0.3%
		Currency Options
AUD	3,000,000	USD Call/AUD Put, Expires 10/02/13, Strike 0.99, (OTC) (CP-BCLY)		145,800
JPY	250,000,000	USD Call/JPY Put, Expires 02/12/14, Strike 104.00, (OTC) (CP-BCLY)		62,575
		TOTAL OPTIONS PURCHASED (COST $107,888)		208,375
		SHORT-TERM INVESTMENTS — 1.9%
		Money Market Funds — 0.5%
	356,719	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (c)		356,719
		U.S. Government — 1.4%
	995,000	U.S. Treasury Bill, 0.06%, due 10/17/13 (a) (d)		994,774
		TOTAL SHORT-TERM INVESTMENTS (COST $1,351,045)		1,351,493
		TOTAL INVESTMENTS — 100.5% (Cost $65,867,735)		71,579,700
		Other Assets and Liabilities (net) — (0.5%)		(391,147	)
		TOTAL NET ASSETS — 100.0%		$71,188,553

Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

A summary of outstanding financial instruments at May 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
06/18/2013	CITI		AUD	5,600,000		USD	5,671,975	$	317,911
06/18/2013	DB		AUD	1,400,000		USD	1,427,979		89,462
06/25/2013	CITI		CAD	11,300,000		USD	11,011,247		117,427
06/25/2013	DB		CAD	600,000		USD	584,440		6,008
07/23/2013	DB		CHF	4,300,000		USD	4,478,835		(20,128	)
07/30/2013	CITI		EUR	18,430,000		USD	23,759,551		(202,419	)
07/09/2013	CITI		GBP	600,000		USD	909,174		(2,250	)
07/09/2013	DB		GBP	1,500,000		USD	2,334,720		56,162
06/04/2013	BCLY		JPY	90,000,000		USD	956,023		60,099
06/04/2013	CITI		JPY	30,000,000		USD	297,930		(710	)
06/04/2013	DB		JPY	30,000,000		USD	318,286		19,644
08/06/2013	CITI		JPY	70,000,000		USD	688,295		(8,730	)
07/16/2013	CITI		NZD	200,000		USD	164,120		5,611
07/16/2013	DB		NZD	800,000		USD	656,401		22,364
07/02/2013	BCLY		SEK	5,200,000		USD	784,462		(121	)
07/02/2013	DB		SEK	2,700,000		USD	405,850		(1,529	)
06/04/2013	CITI		USD	688,098		JPY	70,000,000		8,731
06/04/2013	DB		USD	811,974		JPY	80,000,000		(15,598	)
06/11/2013	BCLY		USD	2,020,810		NOK	11,700,000		(27,679	)
06/11/2013	DB		USD	1,771,507		NOK	10,300,000		(16,871	)
06/18/2013	JPM		USD	7,879,515		AUD	7,500,000		(708,894	)
06/25/2013	CITI		USD	4,530,606		CAD	4,600,000		(95,952	)
06/25/2013	DB		USD	1,388,619		CAD	1,400,000		(38,943	)
07/02/2013	CITI		USD	813,425		SEK	5,300,000		(13,754	)
07/09/2013	CITI		USD	1,232,676		GBP	800,000		(17,445	)
07/16/2013	CITI		USD	4,426,604		NZD	5,300,000		(226,106	)
07/23/2013	DB		USD	523,615		CHF	500,000		(480	)
07/30/2013	CITI		USD	517,539		EUR	400,000		2,526
								$	(691,664	)

Futures Contracts

Number of Contracts	Type	Expiration Date		Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
1	Australian Government Bond 10 Yr.		June 2013	$	117,222	$	361
12	Australian Government Bond 3 Yr.		June 2013		1,262,691		13,011
20	Canadian Government Bond 10 Yr.		September 2013		2,617,967		(26,883	)
132	Euro BOBL		June 2013		21,560,204		(5,132	)
2	U.K Gilt Long Bond		September 2013		351,159		(432	)
78	U.S. Treasury Note 10 Yr. (CBT)		September 2013		10,079,063		(19,597	)
				$	35,988,306	$	(38,672	)
Sales
32	Euro Bund		June 2013	$	5,959,941	$	54,727
26	Euro Dollar 90 Day		September 2013		6,479,525		(2,925	)
10	Japanese Government Bond 10 Yr. (TSE)		June 2013		14,094,576		257,270
3	U.S. Long Bond (CBT)		September 2013		420,094		718
				$	26,954,136	$	309,790

Written Options

Principal Amount			Expiration Date	Description	Premiums		Market Value
Put	JPY	250,000,000	02/12/2014	USD Call/JPY Put, Strike 110.00 (OTC) (CP-BCLY)	$	35,809	$	(29,583	)

Swap Agreements

Credit Default Swaps

Notional Amount

Expiration Date

Counterparty

Receive (Pay)^

Annual Premium

Implied Credit Spread(1)

Reference Entity

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

Net Unrealized Appreciation/ (Depreciation)

14,000,000

USD

3/20/2014

DB

(Pay)

1.70%

1.12%

Republic of Italy

NA

$

(112,870

)

Premiums to (Pay) Receive

$

—

^ Receive - Fund receives premium and sells credit protection. If a credit event occurs, the Fund will either, depending on the terms of the terms of the particular swap agreement, (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.

Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

(Pay) - Fund pays premium and buys credit protection. If a credit event occurs, the Fund will either, depending on the terms of the terms of the particular swap agreement, (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.

⁽¹⁾  Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on the reference security, as of May 31, 2013, 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 agreement.

⁽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 agreement.

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay)#		Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	1,000,000	CHF	9/18/2023	DB	Receive		1.20%	6 Month CHF LIBOR	$(6,430)
	800,000	CHF	9/18/2023	BCLY	Receive		1.20%	6 Month CHF LIBOR	(5,144)
	500,000	CHF	9/18/2023	CITI	Receive		1.20%	6 Month CHF LIBOR	(3,215)
	22,600,000	SEK	9/18/2023	BCLY	Receive		2.60%	3 Month SEK STIBOR	55,571
	11,900,000	SEK	9/18/2020	DB	Receive		1.90%	3 Month SEK STIBOR	(28,848)
	9,800,000	SEK	9/18/2020	CITI	Receive		1.90%	3 Month SEK STIBOR	(23,757)
									$(11,823)
						Premiums to (Pay) Receive			$  (3,543)

# Receive - Fund receives fixed rate and pays variable rate.
(Pay) - Fund pays fixed rate and receives variable rate.

As of May 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

BOBL - Bundesobligationen

CHF LIBOR - London Interbank Offered Rate denominated in Swiss Franc.

CP - Counterparty

OTC - Over-the-Counter

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

^(a)  All or a portion of this security has been pledged to cover margin requirements on futures contracts, collateral on swap agreements and forward currency contracts, and/or written options, if any.

^(b)  Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic.

^(c)  The rate disclosed is the 7 day net yield as of May 31, 2013. Note: Yield rounds to 0.00%.

^(d)  The rate shown represents yield-to-maturity.

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

USD - United States Dollar

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

CITI - Citibank N.A.

DB - Deutsche Bank AG

JPM - JPMorgan Chase Bank, N.A.

Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 95.0%
		Asset-Backed Securities — 94.9%
		Airlines — 0.1%
	1,456,859	Aircraft Finance Trust, Series 99-1A, Class A1, 144A, 1 mo. LIBOR + .48%, 0.68%, due 05/15/24		686,545
		Auto Financing — 0.7%
	2,500,000	Chesapeake Funding LLC, Series 12-2A, Class D, 144A, 1 mo. LIBOR + 1.85%, 2.05%, due 05/07/24		2,514,750
	3,600,000	Chesapeake Funding LLC, Series 12-2A, Class C, 144A, 1 mo. LIBOR + 1.55%, 1.75%, due 05/07/24		3,636,360
		Total Auto Financing		6,151,110
		Auto Floor Plan — 4.0%
	5,000,000	Ally Master Owner Trust, Series 12-1, Class D, 144A, 3.12%, due 02/15/17		5,070,250
	5,500,000	Ally Master Owner Trust, Series 12-3, Class D, 144A, 1 mo. LIBOR + 2.35%, 2.55%, due 06/15/17		5,638,359
	3,375,000	Ford Credit Floorplan Master Owner Trust, Series 10-3, Class C, 144A, 4.99%, due 02/15/17		3,576,454
	1,315,000	Ford Credit Floorplan Master Owner Trust, Series 10-5, Class D, 144A, 2.41%, due 09/15/15		1,320,957
	1,000,000	Ford Credit Floorplan Master Owner Trust, Series 11-2, Class C, 2.37%, due 09/15/15		1,004,727
	2,000,000	Ford Credit Floorplan Master Owner Trust, Series 12-2, Class C, 2.86%, due 01/15/19		2,047,000
	5,490,000	Ford Credit Floorplan Master Owner Trust, Series 12-5, Class D, 2.73%, due 09/15/19		5,615,241
	7,430,000	Ford Credit Floorplan Master Owner Trust, Series 13-1, Class C, 1.37%, due 01/15/18		7,407,710
	4,824,000	Ford Credit Floorplan Master Owner Trust, Series 13-1, Class D, 1.82%, due 01/15/18		4,816,571
		Total Auto Floor Plan		36,497,269
		Auto Rental — 4.8%
	3,440,000	Avis Budget Rental Car Funding AESOP LLC, Series 10-5A, Class B, 144A, 5.11%, due 03/20/17		3,754,691
	13,375,000	Avis Budget Rental Car Funding AESOP LLC, Series 11-5A, Class B, 144A, 4.72%, due 02/20/18		14,382,305
	3,000,000	Avis Budget Rental Car Funding AESOP LLC, Series 12-2A, Class B, 144A, 3.89%, due 05/20/18		3,169,260
	10,000,000	Avis Budget Rental Car Funding AESOP LLC, Series 13-1A, Class B, 144A, 2.62%, due 09/20/19		9,962,000
	7,500,000	Hertz Vehicle Financing LLC, Series 13-1A, Class B1, 144A, 1.86%, due 08/25/17		7,475,250
	5,000,000	Hertz Vehicle Financing LLC, Series 09-2A, Class B2, 144A, 5.93%, due 03/25/16		5,344,531
		Total Auto Rental		44,088,037

Par Value ($)		Description	Value ($)
		Auto Retail — 18.4%
	10,160,000	Ally Auto Receivables Trust, Series 12-A, Class D, 144A, 3.15%, due 10/15/18		10,548,112
	6,530,000	American Credit Acceptance Receivables Trust, Series 11-1I, Class D, 8.07%, due 07/16/18		6,738,921
	12,962,000	AmeriCredit Automobile Receivables Trust, Series 12-3, Class E, 144A, 4.46%, due 11/08/19		13,447,401
	3,500,000	AmeriCredit Automobile Receivables Trust, Series 13-1, Class E, 144A, 2.64%, due 07/08/20		3,515,050
	11,365,607	California Republic Auto Receivables Trust, Series 12-1, Class A, 144A, 1.18%, due 08/15/17		11,348,490
	4,500,000	California Republic Auto Receivables Trust, Series 12-1, Class C, 144A, 3.00%, due 01/15/20		4,524,516
	1,151,538	CPS Auto Trust, Series 10-PG5, Class A, 144A, 9.25%, due 01/15/18		1,186,084
	808,381	CPS Auto Trust, Series 12-A, Class C, 144A, 6.51%, due 06/17/19		833,085
	2,000,000	CPS Auto Trust, Series 12-D, Class D, 144A, 4.82%, due 03/16/20		2,039,900
	800,000	CPS Auto Trust, Series 12-D, Class E, 144A, 7.26%, due 03/16/20		813,352
	2,300,000	CPS Auto Trust, Series 13-A, Class D, 144A, 4.41%, due 06/15/20		2,330,498
	1,200,000	CPS Auto Trust, Series 13-A, Class E, 144A, 6.41%, due 06/15/20		1,205,664
	25,000,000	DT Auto Owner Trust, Series 11-3A, Class D, 144A, 5.83%, due 03/15/18		25,917,900
	15,000,000	DT Auto Owner Trust, Series 12-2A, Class D, 144A, 4.35%, due 03/15/19		15,525,000
	7,000,000	Exeter Automobile Receivables Trust, Series 13-1A, Class D, 144A, 5.05%, due 10/15/19		6,982,500
	3,000,000	First Investors Auto Owner Trust, Series 12-2A, Class D, 144A, 3.79%, due 09/16/19		3,131,490
	3,000,000	Flagship Credit Auto Trust, Series 12-1, Class C, 144A, 4.93%, due 05/15/18		3,130,200
	3,000,000	Santander Consumer Acquired Receivables Trust, Series 11-WO, Class C, 144A, 3.19%, due 10/15/15		3,054,390
	5,000,000	Santander Drive Auto Receivables Trust, Series 10-2, Class C, 3.89%, due 07/17/17		5,140,650
	5,750,000	Santander Drive Auto Receivables Trust, Series 11-4, Class D, 4.74%, due 09/15/17		6,112,997
	5,000,000	Santander Drive Auto Receivables Trust, Series 12-2, Class D, 3.87%, due 02/15/18		5,244,500
	25,000,000	Santander Drive Auto Receivables Trust, Series 12-3, Class D, 3.64%, due 05/15/18		26,082,031
	6,000,000	Santander Drive Auto Receivables Trust, Series 13-1, Class C, 1.76%, due 01/15/19		5,971,800
	5,000,000	United Auto Credit Securitization Trust, Series 13-1, Class E, 144A, 4.40%, due 04/15/19		4,989,063
		Total Auto Retail		169,813,594

Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Business Loans — 7.9%
	197,345	Bayview Commercial Asset Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .36%, 0.55%, due 04/25/34		185,504
	307,836	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.56%, due 01/25/35		283,209
	1,004,015	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.58%, due 01/25/36		823,293
	711,389	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, 1 mo. LIBOR + .24%, 0.43%, due 07/25/37		561,997
	648,981	Bayview Financial Acquisition Trust, Series 04-B, Class A1, 144A, 1 mo. LIBOR + .50%, 1.19%, due 05/28/39		283,929
	721,090	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.49%, due 05/28/39		275,817
	1,363,992	Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, 1 mo. LIBOR + .50%, 1.19%, due 02/28/40		972,526
	5,000,000	CIT Equipment Collateral, Series 12-VT1, Class D, 144A, 4.12%, due 10/21/19		5,125,900
	221,243	GE Business Loan Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .29%, 0.49%, due 05/15/32		205,756
	542,777	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.44%, due 11/15/33		499,355
	10,532,782	GE Business Loan Trust, Series 06-2A, Class A, 144A, 1 mo. LIBOR + .18%, 0.38%, due 11/15/34		8,926,532
	17,157,420	GE Business Loan Trust, Series 07-1A, Class A, 144A, 1 mo. LIBOR + .17%, 0.37%, due 04/16/35		15,870,614
	17,537,211	GE Business Loan Trust, Series 07-1A, Class D, 144A, 1 mo. LIBOR + 1.00%, 1.20%, due 04/16/35		12,100,676
	5,800,000	GE Dealer Floorplan Master Note Trust, Series 12-4, Class B, 1 mo. LIBOR + .70%, 0.90%, due 10/20/17		5,802,763
	3,000,000	Great America Leasing Receivables, Series 12-1, Class C, 144A, 3.00%, due 11/15/18		3,141,000
	686,650	Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 0.44%, due 02/25/30		600,778
	508,130	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.44%, due 09/25/30		444,613
	378,042	Lehman Brothers Small Balance Commercial, Series 07-3A, Class 1A2, 144A, 1 mo. LIBOR + .85%, 1.04%, due 10/25/37		375,793
	2,500,000	Navistar Financial Corp. Owner Trust, Series 12-A, Class C, 144A, 2.55%, due 01/18/19		2,515,765
	5,000,000	Navistar Financial Corp. Owner Trust, Series 12-A, Class D, 144A, 3.29%, due 01/18/19		5,023,860
	2,000,000	Navistar Financial Dealer Note Master Trust, Series 11-1, Class C, 144A, 1 mo. LIBOR + 2.50%, 2.69%, due 10/25/16		2,004,600

Par Value ($)		Description	Value ($)
		Business Loans — continued
	7,000,000	Navistar Financial Dealer Note Master Trust, Series 13-1, Class D, 144A, 1 mo. LIBOR + 2.25%, 2.44%, due 01/25/18		7,000,000
		Total Business Loans		73,024,280
		CMBS — 0.7%
	37,590	Citigroup/Deutsche Bank Commercial Mortgage, Series 05-CD1, Class A2FL, 1 mo. LIBOR + .12%, 0.32%, due 07/15/44		37,590
	5,100,000	Commercial Mortgage Pass-Through Certificates, Series 06-FL12, Class AJ, 144A, 1 mo. LIBOR + .13%, 0.33%, due 12/15/20		4,947,000
	263,723	GS Mortgage Securities Corp., Series 07-EOP, Class A1, 144A, 1 mo. LIBOR + .35%, 1.10%, due 03/06/20		263,960
	800,000	GS Mortgage Securities Corp., Series 07-EOP, Class A2, 144A, 1 mo. LIBOR + .51%, 1.26%, due 03/06/20		801,520
		Total CMBS		6,050,070
		CMBS Collateralized Debt Obligations — 0.3%
	1,499,437	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.07%, due 11/23/52		1,500
	232,082	Crest Exeter Street Solar, Series 04-1A, Class A1, 144A, 3 mo. LIBOR + .35%, 0.63%, due 06/28/19		227,440
	2,935,584	Marathon Real Estate CDO, Series 06-1A, Class A1, 144A, 1 mo. LIBOR + .33%, 0.52%, due 05/25/46		2,759,449
		Total CMBS Collateralized Debt Obligations		2,988,389
		Corporate Collateralized Debt Obligations — 1.2%
	6,202,874	Banc of America Funding Corp., Series 12-R4, Class A, 144A, 1 mo. LIBOR + .26%, 0.46%, due 03/04/39		6,047,802
	5,200,000	Morgan Stanley ACES SPC, Series 06-13A, Class A, 144A, 3 mo. LIBOR + .29%, 0.57%, due 06/20/13		5,200,520
				11,248,322
		Credit Cards — 3.0%
	4,750,000	1st Financial Bank USA, Series 10-C, Class D, 144A, 8.35%, due 09/17/18		4,828,672
	8,260,000	1st Financial Bank USA, Series 10-D, Class D, 144A, 7.86%, due 06/17/19		8,714,300
	4,000,000	Capital One Multi-Asset Execution Trust, Series 03-C3, Class C3, 1 mo. LIBOR + 2.25%, 2.45%, due 07/15/16		4,008,400
	10,000,000	Citibank Credit Card Issuance Trust, Series 05-C2, Class C2, 1 mo. LIBOR + .47%, 0.67%, due 03/24/17		9,989,062
		Total Credit Cards		27,540,434

Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Insured Business Loans — 0.0%
	187,325	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .44%, 0.63%, due 10/25/30		135,904
		Insured Other — 0.5%
	294,969	CLI Funding LLC, Series 06-1A, Class A, 144A, AMBAC, 1 mo. LIBOR + .18%, 0.38%, due 08/18/21		290,190
	119,167	GE Seaco Finance SRL, Series 04-1A, Class A, 144A, AMBAC, 1 mo. LIBOR + .30%, 0.50%, due 04/17/19		119,018
	989,425	Henderson Receivables LLC, Series 06-3A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.40%, due 09/15/41		946,979
	1,411,097	Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.40%, due 12/15/41		1,354,512
	538,898	TIB Card Receivables Fund, Series 2005-B, 144A, FGIC, 3 mo. LIBOR + .25%, 0.53%, due 01/05/14		493,092
	300,000	Toll Road Investment Part II, Series 1999B, 144A, MBIA, Zero Coupon, due 02/15/30		112,500
	4,200,000	Toll Road Investment Part II, Series C, 144A, MBIA, Zero Coupon, due 02/15/37		1,043,700
		Total Insured Other		4,359,991
		Insured Residential Asset-Backed Securities (United States) ¿ — 0.1%
	597,992	Ameriquest Mortgage Securities, Inc., Series 04-R6, Class A1, XL, 1 mo. LIBOR + .21%, 0.61%, due 07/25/34		556,133
	180,501	Citigroup Mortgage Loan Trust, Inc., Series 03-HE3, Class A, AMBAC, 1 mo. LIBOR + .38%, 0.57%, due 12/25/33		167,866
	52,786	Quest Trust, Series 04-X1, Class A, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.52%, due 03/25/34		50,147
	650,690	Residential Asset Mortgage Products, Inc., Series 05-RS9, Class AI3, FGIC, 1 mo. LIBOR + .22%, 0.41%, due 11/25/35		598,634
		Total Insured Residential Asset-Backed Securities (United States)		1,372,780
		Insured Residential Mortgage-Backed Securities (United States) — 0.1%
	41,342	Chevy Chase Mortgage Funding Corp., Series 03-4A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .34%, 0.53%, due 10/25/34		35,554
	100,354	Chevy Chase Mortgage Funding Corp., Series 04-1A, Class A2, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.52%, due 01/25/35		75,014
	799,404	Countrywide Home Equity Loan Trust, Series 07-E, Class A, MBIA, 1 mo. LIBOR + .15%, 0.35%, due 06/15/37		536,960
	403,426	GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, 1 mo. LIBOR + .23%, 0.42%, due 10/25/34		345,050
	14,883	GreenPoint Home Equity Loan Trust, Series 04-1, Class A, AMBAC, 1 mo. LIBOR + .23%, 0.65%, due 07/25/29		14,306

Par Value ($)		Description	Value ($)
		Insured Residential Mortgage-Backed Securities (United States) — continued
	24,094	GreenPoint Home Equity Loan Trust, Series 04-4, Class A, AMBAC, 1 mo. LIBOR + .28%, 0.76%, due 08/15/30		19,818
	36,532	Lehman ABS Corp., Series 04-2, Class A, AMBAC, 1 mo. LIBOR + .22%, 0.63%, due 06/25/34		32,971
	8,750	Residential Funding Mortgage Securities II, Series 03-HS1, Class AII, FGIC, 1 mo. LIBOR + .29%, 0.48%, due 12/25/32		7,438
	217,712	SBI Heloc Trust, Series 05-HE1, Class 1A, 144A, FSA, 1 mo. LIBOR + .19%, 0.38%, due 11/25/35		208,764
		Total Insured Residential Mortgage-Backed Securities (United States)		1,275,875
		Insured Time Share — 0.1%
	578,814	Sierra Receivables Funding Co., Series 07-2A, Class A2, 144A, MBIA, 1 mo. LIBOR + 1.00%, 1.20%, due 09/20/19		578,814
		Other — 7.7%
	20,000,000	CKE Restaurant Holdings, Inc., Series 13-1A, Class A2, 144A, 4.47%, due 03/20/43		20,879,200
	10,793,750	Dominos Pizza Master Issuer LLC, Series 12-1A, Class A2, 144A, 5.22%, due 01/25/42		11,959,799
	9,362,651	Fairway Outdoor Funding LLC, Series 12-1A, Class A2, 144A, 4.21%, due 10/15/42		9,733,692
	20,534,522	Sonic Capital LLC, Series 11-1A, Class A2, 144A, 5.44%, due 05/20/41		22,647,771
	6,000,000	Trafigura Securitisation Finance Plc, Series 12-1A, Class A, 144A, 1 mo. LIBOR + 2.40%, 2.60%, due 10/15/15		6,116,250
		Total Other		71,336,712
		Residential Asset-Backed Securities (United States) ¿ — 17.3%
	104,471	Accredited Mortgage Loan Trust, Series 04-4, Class A1B, 1 mo. LIBOR + .39%, 0.58%, due 01/25/35		98,464
	231,061	ACE Securities Corp., Series 06-ASL1, Class A, 1 mo. LIBOR + .14%, 0.47%, due 02/25/36		86,648
	327,701	ACE Securities Corp., Series 06-ASP2, Class A2C, 1 mo. LIBOR + .18%, 0.37%, due 03/25/36		317,051
	2,540,620	ACE Securities Corp., Series 06-ASP5, Class A2C, 1 mo. LIBOR + .18%, 0.37%, due 10/25/36		1,397,341
	1,157,626	ACE Securities Corp., Series 06-HE2, Class A2C, 1 mo. LIBOR + .16%, 0.35%, due 05/25/36		732,199
	81,435	ACE Securities Corp., Series 06-HE3, Class A2B, 1 mo. LIBOR + .09%, 0.28%, due 06/25/36		44,789
	861,167	ACE Securities Corp., Series 06-OP1, Class A2C, 1 mo. LIBOR + .15%, 0.34%, due 04/25/36		800,886
	412,291	ACE Securities Corp., Series 06-SL1, Class A, 1 mo. LIBOR + .16%, 0.51%, due 09/25/35		148,425

Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — continued
	984,593	ACE Securities Corp., Series 06-SL3, Class A1, 1 mo. LIBOR + .10%, 0.39%, due 06/25/36		364,299
	1,145,517	ACE Securities Corp., Series 06-SL3, Class A2, 1 mo. LIBOR + .17%, 0.53%, due 06/25/36		409,522
	83,263	ACE Securities Corp., Series 06-SL4, Class A1, 1 mo. LIBOR + .12%, 0.31%, due 09/25/36		18,734
	409,908	ACE Securities Corp., Series 07-ASL1, Class A2, 1 mo. LIBOR + .17%, 0.36%, due 12/25/36		74,808
	664,134	ACE Securities Corp., Series 07-HE1, Class A2A, 1 mo. LIBOR + .09%, 0.28%, due 01/25/37		232,447
	440,470	ACE Securities Corp., Series 07-WM1, Class A2A, 1 mo. LIBOR + .07%, 0.26%, due 11/25/36		167,378
	1,281,136	Alliance Bancorp Trust, Series 07-S1, Class A1, 144A, 1 mo. LIBOR + .20%, 0.59%, due 05/25/37		64,057
	234,436	Argent Securities, Inc., Series 04-W8, Class A5, 1 mo. LIBOR + .52%, 1.23%, due 05/25/34		227,733
	7,683,095	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.34%, due 07/25/36		3,322,939
	1,257,041	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.30%, due 09/25/36		496,531
	1,222,164	Argent Securities, Inc., Series 06-W2, Class A2B, 1 mo. LIBOR + .19%, 0.38%, due 03/25/36		617,193
	1,271,889	Argent Securities, Inc., Series 06-W5, Class A2C, 1 mo. LIBOR + .15%, 0.34%, due 06/25/36		450,925
	1,421,775	Asset Backed Funding Certificates, Series 06-OPT2, Class A3C, 1 mo. LIBOR + .15%, 0.34%, due 10/25/36		1,165,856
	2,035,501	Asset Backed Funding Certificates, Series 07-NC1, Class A1, 144A, 1 mo. LIBOR + .22%, 0.41%, due 05/25/37		1,849,253
	550,861	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A1, 1 mo. LIBOR + .11%, 0.30%, due 11/25/36		365,110
	1,419,384	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A2, 1 mo. LIBOR + .20%, 0.39%, due 11/25/36		269,257
	237,634	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, 1 mo. LIBOR + .16%, 0.51%, due 02/25/37		107,387
	4,700,000	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A2, 1 mo. LIBOR + .20%, 0.39%, due 02/25/37		4,384,160
	4,864,777	Carrington Mortgage Loan Trust, Series 07-RFC1, Class A1, 1 mo. LIBOR + .05%, 0.24%, due 12/25/36		4,779,644
	885,547	Centex Home Equity, Series 06-A, Class AV3, 1 mo. LIBOR + .16%, 0.35%, due 06/25/36		874,478

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — continued
	10,417	Chase Funding Mortgage Loan Trust, Series 03-3, Class 2A2, 1 mo. LIBOR + .27%, 0.73%, due 04/25/33		10,140
	1,474,017	Citigroup Mortgage Loan Trust, Inc., Series 06-HE3, Class A2C, 1 mo. LIBOR + .16%, 0.35%, due 12/25/36		707,528
	635,531	Citigroup Mortgage Loan Trust, Inc., Series 06-WFH4, Class A3, 1 mo. LIBOR + .15%, 0.34%, due 11/25/36		616,465
	4,111,207	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, 1 mo. LIBOR + .14%, 0.33%, due 02/25/37		3,839,868
	56,090	Equity One ABS, Inc., Series 04-1, Class AV2, 1 mo. LIBOR + .30%, 0.49%, due 04/25/34		41,033
	3,108,599	FBR Securitization Trust, Series 05-3, Class AV24, 1 mo. LIBOR + .34%, 0.87%, due 10/25/35		2,735,567
	27,338,715	First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF3, Class A2B, 1 mo. LIBOR + .20%, 0.39%, due 02/25/36		25,014,924
	930,508	First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF5, Class 2A3, 1 mo. LIBOR + .16%, 0.35%, due 04/25/36		716,491
	400,857	Fremont Home Loan Trust, Series 06-A, Class 1A2, 1 mo. LIBOR + .20%, 0.39%, due 05/25/36		211,139
	143,453	Fremont Home Loan Trust, Series 06-B, Class 2A2, 1 mo. LIBOR + .10%, 0.29%, due 08/25/36		55,678
	2,603,541	Fremont Home Loan Trust, Series 06-B, Class 2A3, 1 mo. LIBOR + .16%, 0.35%, due 08/25/36		1,028,399
	316,770	Household Home Equity Loan Trust, Series 05-2, Class A2, 1 mo. LIBOR + .31%, 0.51%, due 01/20/35		309,643
	306,391	Household Home Equity Loan Trust, Series 05-3, Class A2, 1 mo. LIBOR + .29%, 0.49%, due 01/20/35		301,795
	692,210	Household Home Equity Loan Trust, Series 06-1, Class A1, 1 mo. LIBOR + .16%, 0.36%, due 01/20/36		678,366
	3,633,349	JP Morgan Mortgage Acquisition Corp., Series 06-WMC4, Class A3, 1 mo. LIBOR + .12%, 0.31%, due 12/25/36		1,789,061
	2,262,000	JP Morgan Mortgage Acquisition Corp., Series 07-CH3, Class A3, 1 mo. LIBOR + .15%, 0.34%, due 03/25/37		2,143,245
	1,879,469	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.34%, due 03/25/36		1,409,602
	1,436,069	Master Asset-Backed Securities Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .15%, 0.34%, due 06/25/36		818,559
	2,864,902	Master Asset-Backed Securities Trust, Series 06-HE3, Class A3, 1 mo. LIBOR + .15%, 0.34%, due 08/25/36		1,110,149
	1,769,076	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.35%, due 10/25/36		1,012,796

Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — continued
	802,033	Master Second Lien Trust, Series 06-1, Class A, 1 mo. LIBOR + .16%, 0.51%, due 03/25/36		164,417
	27,413,166	Merrill Lynch First Franklin Mortgage Loan Trust, Series 07-3, Class A2B, 1 mo. LIBOR + .13%, 0.32%, due 06/25/37		20,559,874
	480,590	Merrill Lynch Mortgage Investors, Series 07-HE2, Class A2A, 1 mo. LIBOR + .12%, 0.31%, due 02/25/37		216,266
	206,537	Merrill Lynch Mortgage Trust, Series 06-SD1, Class A, 1 mo. LIBOR + .28%, 0.47%, due 01/25/47		122,166
	171,673	Morgan Stanley Capital, Inc., Series 04-SD1, Class A, 1 mo. LIBOR + .40%, 0.99%, due 08/25/34		163,090
	5,937,797	Morgan Stanley Capital, Inc., Series 06-HE6, Class A2FP, 1 mo. LIBOR + .06%, 0.25%, due 09/25/36		3,904,102
	1,445,212	Morgan Stanley Capital, Inc., Series 06-HE7, Class A2FP, 1 mo. LIBOR + .08%, 0.27%, due 09/25/36		1,199,526
	2,065,341	Morgan Stanley Capital, Inc., Series 06-NC3, Class A2C, 1 mo. LIBOR + .17%, 0.36%, due 03/25/36		1,941,421
	1,491,215	Morgan Stanley Home Equity Loan Trust, Series 07-1, Class A2, 1 mo. LIBOR + .10%, 0.29%, due 12/25/36		879,817
	994,843	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.34%, due 11/25/36		457,628
	900,000	Nomura Home Equity Loan, Inc., Series 06-HE3, Class 2A3, 1 mo. LIBOR + .15%, 0.34%, due 07/25/36		568,688
	682,197	People’s Choice Home Loan Securities Trust, Series 05-4, Class 1A2, 1 mo. LIBOR + .26%, 0.45%, due 12/25/35		314,765
	8,932,556	Residential Asset Mortgage Products, Inc., Series 07-RZ1, Class A2, 1 mo. LIBOR + .16%, 0.35%, due 02/25/37		8,039,300
	10,000,000	Residential Asset Securities Corp., Series 07-KS3, Class AI3, 1 mo. LIBOR + .25%, 0.44%, due 04/25/37		8,550,000
	655,128	SACO I, Trust., Series 05-7, Class A, 1 mo. LIBOR + .28%, 0.75%, due 09/25/35		652,261
	26,092	Saxon Asset Securities Trust, Series 04-1, Class A, 1 mo. LIBOR + .27%, 0.73%, due 03/25/35		18,309
	7,682,416	Securitized Asset Backed Receivables LLC, Series 06-NC2, Class A3, 1 mo. LIBOR + .24%, 0.43%, due 03/25/36		6,530,053
	6,873,212	Securitized Asset Backed Receivables LLC, Series 06-WM1, Class A2C, 1 mo. LIBOR + .29%, 0.48%, due 12/25/35		5,515,752
	749,840	Securitized Asset-Backed Receivables LLC Trust, Series 06-HE1, Class A2C, 1 mo. LIBOR + .16%, 0.35%, due 07/25/36		348,676
	21,733,138	SG Mortgage Securities Trust, Series 06-FRE2, Class A2C, 1 mo. LIBOR + .16%, 0.35%, due 07/25/36		8,693,255

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — continued
	9,288,888	Soundview Home Equity Loan Trust, Series 07-OPT1, Class 2A1, 1 mo. LIBOR + .08%, 0.27%, due 06/25/37		9,056,666
	2,104,520	Specialty Underwriting & Residential Finance, Series 06-BC3, Class A2C, 1 mo. LIBOR + .15%, 0.34%, due 06/25/37		1,266,079
	4,203,101	Specialty Underwriting & Residential Finance, Series 06-BC4, Class A2B, 1 mo. LIBOR + .11%, 0.30%, due 09/25/37		3,509,589
	548,095	Structured Asset Investment Loan Trust, Series 06-1, Class A3, 1 mo. LIBOR + .20%, 0.39%, due 01/25/36		537,133
	148,826	Structured Asset Securities Corp., Series 05-S6, Class A2, 1 mo. LIBOR + .29%, 0.77%, due 11/25/35		147,523
	36,550,000	Wells Fargo Home Equity Trust, Series 06-3, Class M1, 1 mo. LIBOR + .23%, 0.42%, due 01/25/37		7,127,250
	1,489,880	Yale Mortgage Loan Trust, Series 07-1, Class A, 144A, 1 mo. LIBOR + .40%, 0.59%, due 06/25/37		715,143
		Total Residential Asset-Backed Securities (United States)		159,616,711
		Residential Mortgage-Backed Securities (Australian) — 1.5%
	709,141	Crusade Global Trust, Series 04-2, Class A1, 3 mo. LIBOR + .13%, 0.40%, due 11/19/37		708,377
	757,860	Crusade Global Trust, Series 06-1, Class A1, 144A, 3 mo. LIBOR + .06%, 0.34%, due 07/20/38		748,273
	676,109	Crusade Global Trust, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 0.34%, due 04/19/38		661,846
	138,189	Interstar Millennium Trust, Series 03-3G, Class A2, 3 mo. LIBOR + .25%, 0.78%, due 09/27/35		132,091
	1,356,164	Interstar Millennium Trust, Series 04-2G, Class A, 3 mo. LIBOR + .20%, 0.68%, due 03/14/36		1,294,595
	252,047	Interstar Millennium Trust, Series 05-1G, Class A, 3 mo. LIBOR + .12%, 0.68%, due 12/08/36		243,981
	108,901	Interstar Millennium Trust, Series 06-2GA, Class A2, 144A, 3 mo. LIBOR + .08%, 0.57%, due 05/27/38		102,584
	4,573,372	Medallion Trust, Series 05-1G, Class A1, 3 mo. LIBOR + .08%, 0.36%, due 05/10/36		4,550,784
	496,310	Medallion Trust, Series 06-1G, Class A1, 3 mo. LIBOR + .05%, 0.33%, due 06/14/37		489,122
	751,185	Puma Finance Ltd., Series G5, Class A1, 144A, 3 mo. LIBOR + .07%, 0.41%, due 02/21/38		735,861
	567,532	Superannuation Members Home Loans Global Fund, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 0.40%, due 06/12/40		567,449
	61,344	Superannuation Members Home Loans Global Fund, Series 8, Class A1, 3 mo. LIBOR + .07%, 0.42%, due 01/12/37		61,288

Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (Australian) — continued
	3,366,339	Westpac Securitization Trust, Series 07-1G, Class A2A, 144A, 3 mo. LIBOR + .05%, 0.32%, due 05/21/38		3,345,939
		Total Residential Mortgage-Backed Securities (Australian)		13,642,190
		Residential Mortgage-Backed Securities (European) — 1.5%
	1,685,634	Aire Valley Mortgages, Series 06-1A, Class 1A, 144A, 3 mo. LIBOR + .11%, 0.50%, due 09/20/66		1,574,111
	2,286,178	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .20%, 0.48%, due 01/13/39		2,226,052
	287,493	Granite Master Issuer Plc, Series 06-2, Class A4, 1 mo. LIBOR + .08%, 0.28%, due 12/20/54		282,318
	181,576	Granite Master Issuer Plc, Series 06-3, Class A3, 1 mo. LIBOR + .08%, 0.28%, due 12/20/54		177,850
	137,651	Granite Mortgages Plc, Series 04-3, Class 2A1, 3 mo. LIBOR + .28%, 0.56%, due 09/20/44		136,687
	938,583	Kildare Securities Ltd., Series 07-1A, Class A2, 144A, 3 mo. LIBOR + .06%, 0.40%, due 12/10/43		915,118
	335,889	Leek Finance Plc, Series 17A, Class A2B, 144A, 3 mo. LIBOR + .14%, 0.56%, due 12/21/37		344,286
	1,409,619	Paragon Mortgages Plc, Series 12A, Class A2C, 144A, 3 mo. LIBOR + .22%, 0.50%, due 11/15/38		1,250,163
	963,576	Paragon Mortgages Plc, Series 14A, Class A2C, 144A, 3 mo. LIBOR + .20%, 0.48%, due 09/15/39		856,812
	709,589	Paragon Mortgages Plc, Series 7A, Class A1A, 144A, 3 mo. LIBOR + .42%, 0.70%, due 05/15/34		641,256
	3,331,607	Saecure BV, Series 11A, Class A1A, 3 mo. LIBOR + 1.55%, 1.83%, due 07/30/92		3,394,908
	2,000,000	Silverstone Master Issuer, Series 12-1A, Class 1A, 144A, 3 mo. LIBOR + 1.55%, 1.83%, due 01/21/55		2,049,600
		Total Residential Mortgage-Backed Securities (European)		13,849,161
		Residential Mortgage-Backed Securities (United States) — 1.9%
	53,269	Chevy Chase Mortgage Funding Corp., Series 04-3A, Class A2, 144A, 1 mo. LIBOR + .30%, 0.49%, due 08/25/35		39,819
	205,984	Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, 1 mo. LIBOR + .25%, 0.44%, due 02/26/34		180,236
	17,000,000	Stanwich Mortgage Loan Trust, Series 13-NPL2, Class A, 144A, 3.23%, due 04/16/59		17,000,000
		Total Residential Mortgage-Backed Securities (United States)		17,220,055

Par Value ($)		Description	Value ($)
		Student Loans — 14.1%
	2,600,000	College Loan Corp. Trust, Series 07-2, Class A1, 3 mo. LIBOR + .25%, 0.53%, due 01/25/24		2,535,000
	15,000,000	National Collegiate Student Loan Trust, Series 05-2, Class A4, 1 mo. LIBOR + .27%, 0.46%, due 09/25/29		12,825,000
	5,000,000	National Collegiate Student Loan Trust, Series 05-3, Class A4, 1 mo. LIBOR + .28%, 0.47%, due 04/25/29		4,312,500
	10,000,000	National Collegiate Student Loan Trust, Series 06-3, Class A3, 1 mo. LIBOR + .15%, 0.34%, due 10/25/27		9,443,800
	17,843,317	National Collegiate Student Loan Trust, Series 07-1, Class A2, 1 mo. LIBOR + .13%, 0.32%, due 11/25/28		16,995,760
	843,021	Nelnet Student Loan Trust, Series 05-2, Class A4, 3 mo. LIBOR + .08%, 0.36%, due 12/23/19		841,807
	16,277,009	SLC Student Loan Trust, Series 09-AA, Class A, 144A, 4.75%, due 06/15/33		15,300,388
	8,000,000	SLM Student Loan Trust, Series 04-A, Class A3, 3 mo. LIBOR + .40%, 0.68%, due 06/15/33		7,120,000
	4,356,716	SLM Student Loan Trust, Series 04-A, Class B, 3 mo. LIBOR + .58%, 0.86%, due 06/15/33		3,441,806
	8,500,000	SLM Student Loan Trust, Series 04-B, Class A3, 3 mo. LIBOR + .33%, 0.61%, due 03/15/24		7,558,106
	9,000,000	SLM Student Loan Trust, Series 04-B, Class A4, 3 mo. LIBOR + .43%, 0.71%, due 09/15/33		6,930,000
	14,000,000	SLM Student Loan Trust, Series 05-A, Class A3, 3 mo. LIBOR + .20%, 0.48%, due 06/15/23		12,600,000
	13,000,000	SLM Student Loan Trust, Series 06-C, Class A4, 3 mo. LIBOR + .17%, 0.45%, due 03/15/23		12,707,500
	7,834,418	SLM Student Loan Trust, Series 10-A, Class 2A, 144A, 1 mo. LIBOR + 3.25%, 3.45%, due 05/16/44		8,243,277
	6,000,000	SLM Student Loan Trust, Series 11-B, Class A3, 144A, 1 mo. LIBOR + 2.25%, 2.45%, due 06/16/42		6,236,400
	3,000,000	SLM Student Loan Trust, Series 12-B, Class A2, 144A, 3.48%, due 10/15/30		3,185,700
		Total Student Loans		130,277,044
		Time Share — 9.0%
	1,650,971	BXG Receivables Note Trust, Series 10-A, Class B, 144A, 7.50%, due 03/02/26		1,790,148
	3,890,533	BXG Receivables Note Trust, Series 12-A, Class B, 144A, 3.99%, due 12/02/27		3,940,380
	6,251,117	Marriott Vacation Club Owner Trust, Series 12-1A, Class B, 144A, 3.50%, due 05/20/30		6,433,125
	1,844,346	Orange Lake Timeshare Trust, Series 12-AA, 144A Class B, 4.87%, due 03/10/27		1,944,883
	111,769	Sierra Receivables Funding Co., Series 08-1A, Class A2, 144A, 1 mo. LIBOR + 4.00%, 4.20%, due 02/20/20		114,057

Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value ($)/Shares		Description	Value ($)
		Time Share — continued
	259,992	Sierra Receivables Funding Co. LLC, Series 11-1A, Class B, 144A, 4.23%, due 04/20/26		270,325
	5,177,117	Sierra Receivables Funding Co. LLC, Series 12-1A, Class B, 144A, 3.58%, due 11/20/28		5,279,107
	11,647,848	Sierra Receivables Funding Co. LLC, Series 12-2A, Class B, 144A, 3.42%, due 03/20/29		11,811,500
	2,928,825	Sierra Receivables Funding Co. LLC, Series 12-3A, Class B, 144A, 2.66%, due 08/20/29		2,959,486
	7,127,061	Sierra Receivables Funding Co. LLC, Series 13-1A, Class B, 144A, 2.39%, due 11/20/29		7,087,299
	13,807,627	Silverleaf Finance LLC, Series 12-D, Class B, 144A, 4.45%, due 03/17/25		14,124,236
	1,101,104	Silverleaf Finance Vii LLC, Series 10-A, Class B, 144A, 8.00%, due 07/15/22		1,171,988
	478,741	Silverleaf Finance Vii LLC, Series 10-A, Class C, 144A, 10.00%, due 07/15/22		502,678
	3,493,675	Westgate Resorts LLC, Series 12-1, Class B, 144A, 5.50%, due 09/20/25		3,571,191
	1,510,254	Westgate Resorts LLC, Series 12-2A, Class B, 144A, 4.50%, due 01/20/25		1,530,548
	2,265,381	Westgate Resorts LLC, Series 12-2A, Class C, 144A, 9.00%, due 01/20/25		2,334,758
	4,159,967	Westgate Resorts LLC, Series 12-3A, Class A, 144A, 2.50%, due 03/20/25		4,188,567
	7,000,000	Westgate Resorts LLC, Series 13-1A, Class A, 144A, 2.25%, due 08/20/25		7,006,562
	7,000,000	Westgate Resorts LLC, Series 13-1A, Class B, 144A, 3.75%, due 08/20/25		7,000,000
		Total Time Share		83,060,838
		Total Asset-Backed Securities		874,814,125
		U.S. Government Agency — 0.1%
	1,064,670	Agency for International Development Floater (Support of Jamaica), 3 mo. LIBOR + .30%, 0.57%, due 10/01/18 (a)		1,036,674
	19,003	Agency for International Development Floater (Support of Peru), Series A, 6 mo. U.S. Treasury Bill + .35%, 0.43%, due 05/01/14 (a)		18,862
	29,952	Agency for International Development Floater (Support of Peru), Series B, 6 mo. U.S. Treasury Bill +.35%, 0.43%, due 05/01/14 (a)		29,731
	200,000	U.S. Department of Transportation, 144A, 6.00%, due 12/07/21		219,700
		Total U.S. Government Agency		1,304,967
		TOTAL DEBT OBLIGATIONS (COST $834,606,946)		876,119,092
		MUTUAL FUNDS — 3.0%
		Affiliated Issuers — 3.0%
	1,120,580	GMO U.S. Treasury Fund		28,025,712
		TOTAL MUTUAL FUNDS (COST $28,018,507)		28,025,712

Par Value ($)/Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 4.0%
		Money Market Funds — 0.3%
	2,479,418	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (b)		2,479,418
		U.S. Government — 3.7%
	34,000,000	U.S. Treasury Bill, 0.07%, due 11/14/13 (c)		33,989,154
		TOTAL SHORT-TERM INVESTMENTS (COST $36,468,819)		36,468,572
		TOTAL INVESTMENTS — 102.0% (Cost $899,094,272)		940,613,376
		Other Assets and Liabilities (net) — (2.0%)		(18,268,051	)
		TOTAL NET ASSETS — 100.0%		$922,345,325

Notes to Schedule of Investments:

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.

CDO - Collateralized Debt Obligation

CMBS - Commercial Mortgage Backed Security

FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.

FSA - Insured as to the payment of principal and interest by Financial Security Assurance.

LIBOR - London Interbank Offered Rate

MBIA - Insured as to the payment of principal and interest by MBIA Insurance Corp.

XL - Insured as to the payment of principal and interest by XL Capital Assurance.

The rates shown on variable rate notes are the current interest rates at May 31, 2013, which are subject to change based on the terms of the security.

¿ These securities are primarily backed by subprime mortgages.

^(a) Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust.

^(b)  The rate disclosed is the 7 day net yield as of May 31, 2013. Note: Yield rounds to 0.00%.

^(c)  The rate shown represents yield-to-maturity.

Domestic Bond Fund

( A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value ($) / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 12.7%
		U.S. Government — 12.7%
	25,185,420	U.S. Treasury Inflation Indexed Note, 1.25%, due 04/15/14 (a)		25,571,060
		TOTAL DEBT OBLIGATIONS (COST $25,892,881)		25,571,060
		MUTUAL FUNDS — 87.3%
		Affiliated Issuers — 87.3%
	45,578,624	GMO Short-Duration Collateral Fund		175,477,704
	4,620	GMO U.S. Treasury Fund		115,537
		TOTAL MUTUAL FUNDS (COST $156,388,543)		175,593,241
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	98,372	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (b)		98,372
		TOTAL SHORT-TERM INVESTMENTS (COST $98,372)		98,372
		TOTAL INVESTMENTS — 100.0% (Cost $182,379,796)		201,262,673
		Other Assets and Liabilities (net) — (0.0%)		(19,009	)
		TOTAL NET ASSETS — 100.0%		$201,243,664

Notes to Schedule of Investments:

^(a) Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic .

^(b) The rate disclosed is the 7 day net yield as of May 31, 2013. Note: Yield rounds to 0.00%.

Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 86.9%
		Albania — 0.5%
		Foreign Government Obligations
EUR	3,760,000	Albania Government International Bond, 7.50%, due 11/04/15		5,192,500
USD	9,639,573	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a)		6,362,118
		Total Albania		11,554,618
		Argentina — 8.8%
		Foreign Government Obligations — 7.6%
USD	9,000,000	Province of Buenos Aires, Reg S, Step Up, 4.00%, due 05/15/35		3,590,704
EUR	36,000,000	Republic of Argentina, Par Bond, Step Up, 2.26%, due 12/31/38		15,207,070
EUR	17,833,019	Republic of Argentina Discount Bond, 7.82%, due 12/31/33		13,211,721
USD	54,699,940	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		31,042,216
USD	10,520,828	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		6,670,205
DEM	3,830,000	Republic of Argentina Discount Bond, Series DM, 6 mo. DEM LIBOR + .81%, due 03/31/23 (b)		1,908,924
USD	572,070	Republic of Argentina Discount Bond, PIK Shares, 1.00%, due 12/31/33		324,650
EUR	176,101	Republic of Argentina Discount Bond, PIK Shares, 1.00%, due 12/31/33		130,466
USD	110,030	Republic of Argentina Discount Bond, PIK Shares, 1.00%, due 12/31/33		69,759
EUR	338,220,524	Republic of Argentina GDP Linked, expires 12/15/35 (c)		22,639,501
EUR	200,000,000	Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38		85,783,469
USD	5,440,000	Republic of Argentina Par Bond, Step Up, 2.50%, due 12/31/38		1,923,040
				182,501,725
		Judgments — 1.2%
USD	32,000,000	Republic of Argentina Discount Bond, Series L-GL, 6 mo. LIBOR + .81%, due 03/31/23 (b)(d)(e)		19,200,000
USD	15,000,000	Republic of Argentina Global Par Bond, Series L-GP, Step Up, 6.00%, due 03/31/23 (b)(d)(e)		9,600,000
				28,800,000
		Total Argentina		211,301,725
		Bahrain — 0.2%
		Foreign Government Obligations
USD	4,000,000	Bahrain Government International Bond, Reg S, 6.13%, due 07/05/22		4,480,000

Par Value		Description	Value ($)
		Barbados — 0.1%
		Foreign Government Obligations
USD	2,800,000	Government of Barbados, Reg S, 7.00%, due 08/04/22		2,912,000
		Belarus — 0.2%
		Foreign Government Obligations
USD	5,000,000	Republic of Belarus, Reg S, 8.95%, due 01/26/18		5,431,250
		Belize — 0.4%
		Foreign Government Obligations
USD	13,033,400	Republic of Belize, Reg S, Step Up, 5.00%, due 02/20/38		8,862,712
		Bosnia & Herzegovina — 0.3%
		Foreign Government Obligations
DEM	11,161,520	Bosnia & Herzegovina, Series A, 6 mo. DEM LIBOR + .81%, 1.06%, due 12/11/17		6,601,489
		Brazil — 3.5%
		Corporate Debt — 0.6%
USD	12,000,000	Petrobras International Finance Co., 6.88%, due 01/20/40		13,206,787
		Foreign Government Agency — 0.4%
USD	9,000,000	Banco Nacional de Desenvolvimento Economico e Social, Reg S, 5.50%, due 07/12/20		9,967,594
		Foreign Government Obligations — 2.5%
USD	841,667	Brazilian Government International Exit Bonds, 6.00%, due 09/15/13		843,350
USD	11,535	Brazilian Government International Exit Bonds, Odd Lot, 6.00%, due 09/15/13		11,558
USD	9,420	Brazilian Government International Exit Bonds, Odd Lot, 6.00%, due 09/15/13		9,439
USD	12,000	Brazilian Government International Exit Bonds, Odd Lot, 6.00%, due 09/15/13		12,024
USD	41,000,000	Republic of Brazil, 8.25%, due 01/20/34		59,552,500
				60,428,871
		Total Brazil		83,603,252
		Chile — 0.8%
		Corporate Debt
USD	17,000,000	Empresa Nacional de Electricidad SA, 8.13%, due 02/01/97		18,973,360
		Colombia — 0.9%
		Foreign Government Agency — 0.3%
USD	5,000,000	Ecopetrol SA, 7.63%, due 07/23/19		6,125,000

Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value		Description	Value ($)
		Foreign Government Obligations — 0.6%
USD	8,000,000	Republic of Colombia, 8.70%, due 02/15/16		9,260,000
USD	3,800,000	Republic of Colombia, 11.85%, due 03/09/28 (d)		6,053,735
				15,313,735
		Total Colombia		21,438,735
		Congo Republic (Brazzaville) — 3.7%
		Foreign Government Obligations
USD	102,653,694	Republic of Congo, Reg S, Series INTL, Step Up, 3.00%, due 06/30/29		90,335,251
		Costa Rica — 0.3%
		Foreign Government Agency — 0.2%
USD	1,500,000	Instituto Costarricense de Electricidad, 144A, 6.38%, due 05/15/43		1,440,000
USD	2,000,000	Instituto Costarricense de Electricidad, Reg S, 6.95%, due 11/10/21		2,240,000
				3,680,000
		Foreign Government Obligations — 0.1%
USD	3,000,000	Costa Rica Government International Bond, 144A, 5.63%, due 04/30/43		3,072,000
		Total Costa Rica		6,752,000
		Croatia — 1.0%
		Foreign Government Obligations
USD	6,000,000	Croatia Government International Bond, Reg S, 6.38%, due 03/24/21		6,517,500
USD	18,000,000	Croatia Government International Bond, Reg. S, 5.50%, due 04/04/23		18,315,000
		Total Croatia		24,832,500
		Dominican Republic — 3.1%
		Asset-Backed Securities — 1.0%
USD	27,052,008	Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 01/15/26 (d)		24,735,684
		Foreign Government Agency — 0.3%
USD	5,800,000	Banco de Reservas de la Republica Dominicana, Reg S, 7.00%, due 02/01/23		5,887,000
		Foreign Government Obligations — 1.8%
USD	8,000,000	Dominican Republic, Reg S, 8.63%, due 04/20/27		9,760,000
USD	38,607,000	Dominican Republic Discount Bond, 6 mo. LIBOR + .81%, 1.25%, due 08/30/24		34,746,300
				44,506,300
		Total Dominican Republic		75,128,984

Par Value		Description	Value ($)
		Ecuador — 0.1%
		Foreign Government Obligations
USD	11,587,000	Republic of Ecuador, Step Up, Reg S, 10.00%, due 08/15/30 (b)		2,433,270
		El Salvador — 0.4%
		Foreign Government Obligations
USD	10,000,000	El Salvador Government International Bond, Reg S, 7.63%, due 02/01/41		10,600,000
		Gabon — 0.2%
		Foreign Government Obligations
USD	5,000,000	Gabonese Republic, Reg S, 8.20%, due 12/12/17		5,875,000
		Greece — 0.5%
		Foreign Government Obligations
EUR	20,882,000	Hellenic Republic Government Bond, Step Up, 2.00%, due 02/24/36		12,778,835
		Grenada — 0.1%
		Foreign Government Obligations
USD	9,000,000	Republic of Grenada, Reg S, Step Up, 4.50%, due 09/15/25		3,150,000
		Guatemala — 0.2%
		Foreign Government Obligations
USD	3,500,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		4,550,000
		Honduras — 0.3%
		Foreign Government Obligations
USD	8,000,000	Honduras Government International Bond, Reg S, 7.50%, due 03/15/24		7,920,000
		Hungary — 0.7%
		Foreign Government Obligations
USD	10,000,000	Hungary Government International Bond, 5.38%, due 02/21/23		10,000,000
USD	5,500,000	Hungary Government International Bond, 7.63%, due 03/29/41		6,029,375
		Total Hungary		16,029,375
		Iceland — 0.5%
		Foreign Government Obligations
USD	11,000,000	Iceland Government International Bond, Reg S, 5.88%, due 05/11/22		12,485,000

Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value		Description	Value ($)
		Indonesia — 2.4%
		Foreign Government Agency
USD	10,600,000	Majapahit Holding BV, Reg S, 7.75%, due 01/20/20		12,812,750
USD	28,200,000	Majapahit Holding BV, Reg S, 7.88%, due 06/29/37		35,250,000
USD	10,400,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		10,608,000
		Total Indonesia		58,670,750
		Iraq — 0.6%
		Foreign Government Obligations
USD	15,000,000	Republic of Iraq, Reg S, 5.80%, due 01/15/28		13,162,500
		Israel — 0.1%
		Foreign Government Agency
USD	3,000,000	Israel Electric Corp. Ltd., Reg S, 7.88%, due 12/15/26		3,382,500
		Ivory Coast — 1.0%
		Foreign Government Obligations
USD	25,265,000	Ivory Coast Government International Bond, Reg S, Step Up, 5.75%, due 12/31/32		23,433,288
		Jamaica — 0.1%
		Foreign Government Agency
USD	3,000,000	National Road Operating & Construction Co. Ltd., Reg S, 9.38%, due 11/10/24		3,180,000
		Latvia — 0.2%
		Foreign Government Obligations
USD	4,000,000	Republic of Latvia, Reg S, 5.25%, due 06/16/21		4,450,000
		Lithuania — 0.6%
		Foreign Government Obligations
USD	11,500,000	Republic of Lithuania, Reg S, 6.63%, due 02/01/22		14,007,000
		Mexico — 8.6%
		Foreign Government Agency — 2.3%
EUR	34,500,000	Pemex Project Funding Master Trust, Reg S, 5.50%, due 02/24/25		53,697,527
USD	1,360,000	Petroleos Mexicanos, 9.50%, due 09/15/27		1,778,200
				55,475,727
		Foreign Government Obligations — 6.3%
USD	95,984,000	United Mexican States, 5.75%, due 10/12/2110		99,679,384
GBP	27,994,000	United Mexican States, GMTN, 6.75%, due 02/06/24		53,061,232
				152,740,616
		Total Mexico		208,216,343

Par Value		Description	Value ($)
		Mongolia — 0.5%
		Foreign Government Obligations
USD	12,000,000	Mongolia Government International Bond, Reg S, 5.13%, due 12/05/22		11,070,000
		Montenegro — 0.1%
		Foreign Government Obligations
EUR	2,000,000	Montenegro Government International Bond, 7.25%, due 04/08/16		2,651,489
		Nigeria — 0.3%
		Foreign Government Obligations
USD	6,100,000	Nigeria Government International Bond, Reg S, 6.75%, due 01/28/21		6,847,250
		Pakistan — 0.6%
		Foreign Government Obligations
USD	17,000,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		13,600,000
		Panama — 0.3%
		Foreign Government Obligations
USD	5,000,000	Panama Government International Bond, 4.30%, due 04/29/53		4,500,000
USD	1,535,000	Panama Government International Bond, 8.13%, due 04/28/34		2,179,700
		Total Panama		6,679,700
		Peru — 1.1%
		Foreign Government Agency — 0.3%
USD	12,452,000	Peru Enhanced Pass-Through Finance Ltd., Reg S, Zero Coupon, due 06/02/25		8,218,320
		Foreign Government Obligations — 0.8%
USD	5,000,000	Peru Par Bond, Series 30 Yr., Step Up, 4.00%, due 03/07/27		5,000,000
USD	3,784,333	Peru Trust, Series 97-I-P, Class A3, Zero Coupon, due 12/31/15 (d) (f)		2,270,600
USD	1,253,404	Peru Trust, Series 98 I-P, Zero Coupon, due 03/10/16 (d) (f)		752,042
USD	1,934,001	Peru Trust II, Series 98-A LB, Zero Coupon, due 02/28/16 (d) (f)		1,160,401
USD	8,000,000	Republic of Peru, 5.63%, due 11/18/50		9,040,000
				18,223,043
		Total Peru		26,441,363
		Philippines — 4.6%
		Foreign Government Agency — 4.2%
USD	25,651,000	Central Bank of Philippines, Series A, 8.60%, due 06/15/27		37,835,225
USD	40,550,000	National Power Corp., Global Bond, 9.63%, due 05/15/28		63,258,000
				101,093,225

Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value		Description	Value ($)
		Foreign Government Obligations — 0.4%
USD	8,720,000	Republic of Philippines, 6.38%, due 01/15/32		10,943,600
		Total Philippines		112,036,825
		Qatar — 0.2%
		Foreign Government Obligations
USD	5,000,000	Qatar Government International Bond, Reg S, 5.75%, due 01/20/42		5,812,500
		Romania — 0.6%
		Foreign Government Obligations
USD	6,000,000	Romanian Government International Bond, Reg S, 6.75%, due 02/07/22		7,110,000
USD	7,000,000	Romanian Government International Bond, Reg S, 4.38%, due 08/22/23		6,947,500
		Total Romania		14,057,500
		Russia — 4.8%
		Corporate Debt — 4.3%
USD	27,000,000	Gazprom Neft OAO Via GPN Capital SA, Reg S, 4.38%, due 09/19/22		25,920,000
USD	27,000,000	Gazprom OAO Via Gaz Capital SA, Reg S, 8.63%, due 04/28/34		35,505,000
USD	12,000,000	Sberbank of Russia Via SB Capital SA, 144A, 5.13%, due 10/29/22		11,880,000
USD	3,000,000	Sberbank of Russia Via SB Capital SA, Reg S, 5.72%, due 06/16/21		3,225,000
USD	26,600,000	VTB Capital SA, Reg S, 6.25%, due 06/30/35		28,595,000
				105,125,000
		Foreign Government Obligations — 0.5%
USD	10,000,000	Russian Foreign Bond – Eurobond, Reg S, 5.63%, due 04/04/42		10,975,000
		Total Russia		116,100,000
		Senegal — 0.2%
		Foreign Government Obligations
USD	4,750,000	Republic of Senegal, Reg S, 8.75%, due 05/13/21		5,581,250
		Serbia — 1.4%
		Foreign Government Obligations
USD	5,908,404	Republic of Serbia, Reg S, Step Up, 6.75%, due 11/01/24		5,952,717
USD	24,000,000	Republic of Serbia, 7.25%, due 09/28/21		26,550,000
		Total Serbia		32,502,717
		Slovenia — 0.6%
		Foreign Government Obligations
USD	15,000,000	Slovenia Government International Bond, 144A, 5.85%, due 05/10/23		15,075,000

Par Value		Description	Value ($)
		South Africa — 0.2%
		Foreign Government Agency
ZAR	163,000,000	Eskom Holdings Ltd., Zero Coupon, due 12/31/32		2,956,435
ZAR	20,000,000	Transnet Ltd., 13.50%, due 04/18/28		2,554,256
		Total South Africa		5,510,691
		South Korea — 1.0%
		Foreign Government Agency
USD	8,000,000	Export-Import Bank of Korea, 5.13%, due 06/29/20		8,948,880
USD	5,000,000	Korea Gas Corp., Reg S, 6.25%, due 01/20/42		5,995,400
USD	8,000,000	Korea Hydro & Nuclear Power Co. Ltd., Reg S, 4.75%, due 07/13/21		8,668,640
		Total South Korea		23,612,920
		Sri Lanka — 0.5%
		Foreign Government Obligations
USD	8,500,000	Republic of Sri Lanka, Reg S, 6.25%, due 07/27/21		8,776,250
USD	2,000,000	Sri Lanka Government International Bond, Reg S, 5.88%, due 07/25/22		2,000,000
		Total Sri Lanka		10,776,250
		Thailand — 0.5%
		Foreign Government Agency
USD	7,000,000	PTT PCL, 144A, 4.50%, due 10/25/42		6,325,760
USD	4,000,000	PTTEP Canada International Finance Ltd., Reg S, 5.69%, due 04/05/21		4,547,440
		Total Thailand		10,873,200
		Trinidad And Tobago — 0.4%
		Foreign Government Agency
USD	8,000,000	Petroleum Company of Trinidad and Tobago Ltd., Reg S, 9.75%, due 08/14/19		10,240,000
		Tunisia — 2.2%
		Foreign Government Agency
JPY	7,000,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30		52,262,207
		Turkey — 4.4%
		Corporate Debt — 0.2%
USD	5,000,000	Turkiye Halk Bankasi AS, Reg S, 4.88%, due 07/19/17		5,262,500
		Foreign Government Agency — 0.1%
USD	2,000,000	Export Credit Bank of Turkey, Reg S, 5.38%, due 11/04/16		2,170,000

Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value		Description	Value ($)
		Foreign Government Obligations — 4.1%
USD	60,000,000	Republic of Turkey, 6.75%, due 05/30/40		76,200,000
USD	22,000,000	Turkey Government International Bond, 4.88%, due 04/16/43		21,945,000
				98,145,000
		Total Turkey		105,577,500
		Ukraine — 1.7%
		Foreign Government Obligations
USD	4,000,000	City of Kyiv Via Kyiv Finance PLC, Reg S, 9.38%, due 07/11/16		3,840,000
USD	25,500,000	Ukraine Government International Bond, 144A, 7.50%, due 04/17/23		24,766,875
USD	12,500,000	Ukraine Government International Bond, Reg S, 7.80%, due 11/28/22		12,531,250
		Total Ukraine		41,138,125
		United States — 6.0%
		Asset-Backed Securities — 2.1%
USD	2,774,969	Aircraft Finance Trust, Series 99-1A, Class A1, 144A, 1 mo. LIBOR + .48%, 0.68%, due 05/15/24		1,307,704
USD	131,544	Chevy Chase Mortgage Funding Corp., Series 03-4A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .34%, 0.53%, due 10/25/34		113,128
USD	851,475	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .44%, 0.63%, due 10/25/30		617,745
USD	14,298,616	Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, 1 mo. LIBOR + .24%, 0.44%, due 12/15/35 ¿		10,080,524
USD	10,653,917	Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, 1 mo. LIBOR + .24%, 0.44%, due 12/15/35 ¿		6,285,811
USD	5,426,204	Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, XL, 1 mo. LIBOR + .20%, 0.40%, due 05/15/36 ¿		4,408,790
USD	3,251,066	First Franklin Mortgage Loan Asset Backed Certificates, Series 05-FF10, Class A6M, 1 mo. LIBOR + .35%, 0.54%, due 11/25/35 ¿		735,391
USD	207,715	GSAMP Trust, Series 05-HE6, Class A2B, 1 mo. LIBOR + .19%, 0.38%, due 11/25/35 ¿		207,299
USD	9,250,000	Home Equity Asset Trust, Series 07-1, Class 2A4, 1 mo. LIBOR + .23%, 0.42%, due 05/25/37 ¿		1,618,750
USD	11,498,992	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.35%, due 10/25/36 ¿		6,583,173

Par Value		Description	Value ($)
		Asset-Backed Securities — continued
USD	4,114,856	Morgan Stanley Capital, Inc., Series 06-NC3, Class A2C, 1 mo. LIBOR + .17%, 0.36%, due 03/25/36 ¿		3,867,965
USD	13,566,038	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.34%, due 11/25/36 ¿		6,240,378
USD	13,746,919	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, 1 mo. LIBOR + .22%, 0.41%, due 11/25/36 ¿		5,979,910
USD	7,513,041	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, 1 mo. LIBOR + .36%, 0.55%, due 04/25/37 ¿		3,794,085
				51,840,653
		U.S. Government — 3.9%
USD	50,000,000	U.S. Treasury Bond, 2.75%, due 11/15/42 (g)		44,906,250
USD	47,841,300	U.S. Treasury Inflation Indexed Note, 1.25%, due 04/15/14 (h)		48,573,846
				93,480,096
		Total United States		145,320,749
		Uruguay — 0.5%
		Foreign Government Obligations
USD	15,000,000	Uruguay Government International Bond, 4.13%, due 11/20/45		13,050,000
		Venezuela — 13.4%
		Foreign Government Agency — 8.4%
USD	61,785,000	Electricidad de Caracas Finance BV, 8.50%, due 04/10/18		50,910,754
USD	50,500,000	Petroleos de Venezuela SA, Reg S, 12.75%, due 02/17/22		53,277,500
USD	111,750,000	Petroleos de Venezuela SA, Reg S, 9.00%, due 11/17/21		99,457,500
				203,645,754
		Foreign Government Obligations — 5.0%
USD	118,000,000	Republic of Venezuela, Reg S, 11.95%, due 08/05/31		120,360,000
		Total Venezuela		324,005,754
		Vietnam — 0.2%
		Foreign Government Obligations
USD	5,000,000	Socialist Republic of Vietnam, Series 30 Yr., 6 mo. LIBOR + .81%, 1.31%, due 03/13/28		4,337,500

Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value		Description	Value ($)
		Zambia — 0.2%
		Foreign Government Obligations
USD	6,000,000	Zambia Government International Bond, Reg S, 5.38%, due 09/20/22		5,662,500
		TOTAL DEBT OBLIGATIONS (COST $2,033,826,680)		2,097,354,727
		LOAN ASSIGNMENTS — 0.9%
		Angola — 0.1%
USD	2,300,000	Angolan Ministry of Finance Loan Agreement, 6 mo. LIBOR + 5.50%, 5.90%, due 07/08/13		2,313,340
		Dominican Republic — 0.1%
USD	2,000,075	Dominican Republic, 6 mo. LIBOR + 1.75%, 2.21%, due 08/15/15		1,808,732
		Indonesia — 0.4%
USD	2,433,600	Republic of Indonesia Loan Agreement, dated June 14, 1995, 6 mo. LIBOR + .88%, 1.19%, due 12/14/19		2,257,164
USD	2,433,600	Republic of Indonesia Loan Agreement, dated June 14, 1995, 6 mo. LIBOR + .88%, 1.19%, due 12/14/19		2,257,164
USD	3,244,800	Republic of Indonesia Loan Agreement, dated June 14, 1995, 6 mo. LIBOR + .88%, 1.19%, due 12/14/19		3,009,552
USD	1,768,304	Republic of Indonesia Loan Agreement, dated September 29, 1994, 6 mo. LIBOR + .88%, 1.44%, due 12/16/19		1,640,102
EUR	1,569,763	Republic of Indonesia, Indonesia Paris Club Debt, 4.00%, due 06/01/21		1,632,239
		Total Indonesia		10,796,221
		Vietnam — 0.3%
USD	18,000,000	Vietnam Shipbuilding Industry Group Loan Agreement, 6 mo. LIBOR + 1.50%, 4.63%, due 06/26/15 (b)		6,840,000
		TOTAL LOAN ASSIGNMENTS (COST $30,629,423)		21,758,293
		LOAN PARTICIPATIONS — 2.5%
		Egypt — 0.1%
CHF	2,741,350	Paris Club Loan Agreement (Participation with Standard Chartered Bank), due 01/03/24 (d)		1,688,183
		Indonesia — 0.3%
USD	8,017,948	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR +.88%, 1.32%, due 09/29/19		7,436,647

Par Value		Description	Value ($)
		Iraq — 1.4%
JPY	4,347,076,816	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), due 01/01/28		31,091,143
JPY	568,003,413	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), due 01/01/28		3,809,214
		Total Iraq		34,900,357
		Russia — 0.1%
EUR	57,042,402	Russian Foreign Trade Obligations (Participation with GML International Ltd.) (b) (d)		3,305,933
		Vietnam — 0.6%
JPY	1,580,824,897	Socialist Republic of Vietnam Loan Agreement (Participation with Deutsche Bank), 6 mo. JPY LIBOR + .60%, 0.86%, due 09/01/17		14,241,666
		TOTAL LOAN PARTICIPATIONS (COST $67,169,253)		61,572,786
		MUTUAL FUNDS — 2.3%
		United States — 2.3%
		Affiliated Issuers — 2.3%
	3,976,082	GMO Short-Duration Collateral Fund		15,307,916
	1	GMO U.S. Treasury Fund		31
	1,515,449	GMO World Opportunity Overlay Fund		39,825,991
		TOTAL MUTUAL FUNDS (COST $49,729,056)		55,133,938
		RIGHTS/WARRANTS — 0.5%
		Nigeria — 0.2%
	25,000	Central Bank of Nigeria Oil Warrants, Expires 11/15/20		4,500,000
		Uruguay — 0.0%
	4,000,000	Banco Central Del Uruguay Value Recovery Rights, VRRB, Expires 01/02/21 * (d)		—
		Venezuela — 0.3%
	283,235	Republic of Venezuela Oil Warrants, Expires 04/15/20		7,576,536
		TOTAL RIGHTS/WARRANTS (COST $0)		12,076,536

Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares/ Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 5.7%
		Money Market Funds — 1.3%
	31,698,145	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (i)		31,698,145
		Total Money Market Funds		31,698,145
		Repurchase Agreements — 4.4%
	26,946,981	JP Morgan Chase Bank Repurchase Agreement, dated 05/28/13, with a maturity value of $26,947,430 and an effective yield of .30%, collateralized by an emerging sovereign government obligation with a rate of 5.43%, maturity date of 03/27/17 and a market value of $26,630,024 (j)		26,946,981
	12,194,000	JP Morgan Chase Bank Repurchase Agreement, dated 05/28/13, with a maturity value of $12,194,204 and an effective yield of .30%, collateralized by an an emerging sovereign government obligation with a rate of 5.50%, maturity date of 09/25/15 and a market value of $11,803,063 (j)		12,194,000
	5,573,410	JP Morgan Chase Bank Repurchase Agreement, dated 05/28/13, with a maturity value of $5,573,509 and an effective yield of .32%, collateralized by an an emerging sovereign government obligation with a rate of zero coupon, maturity date of 09/05/22 and a market value of $5,372,401 (j)		5,573,410
	21,168,000	JP Morgan Chase Bank Repurchase Agreement, dated 05/28/13, with a maturity value of $21,168,353 and an effective yield of .30%, collateralized by an an emerging sovereign government obligation with a rate of 5.52%, maturity date of 07/28/17 and a market value of $20,411,990 (j)		21,168,000
	4,452,001	JP Morgan Chase Bank Repurchase Agreement, dated 05/10/13, with a maturity value of $4,452,753 and an effective yield of .32%, collateralized by an an emerging sovereign government obligation with a rate of 3.75%, maturity date of 11/06/14 and a market value of $4,193,297 (j)		4,452,001

Par Value ($)		Description	Value ($)
		Repurchase Agreements — continued
	34,700,001	JP Morgan Chase Bank Repurchase Agreement, dated 05/21/13, with a maturity value of $34,702,314 and an effective yield of .30%, collateralized by an an emerging sovereign government obligation with a rate of 3.38%, maturity date of 04/30/15 and a market value of $35,098,362 (j)		34,700,001
		Total Repurchase Agreements (COST $105,034,393)		105,034,393
		TOTAL SHORT-TERM INVESTMENTS (COST $136,732,538)		136,732,538
		TOTAL INVESTMENTS — 98.8% (Cost $2,318,086,950)		2,384,628,818
		Other Assets and Liabilities (net) — 1.2%		29,745,403
		TOTAL NET ASSETS — 100.0%		$2,414,374,221

A summary of outstanding financial instruments at May 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
07/30/2013	CITI		EUR	130,800,000		USD	168,624,482	$	(1,436,595	)
07/09/2013	DB		GBP	35,000,000		USD	54,476,800		1,310,438
06/04/2013	BCLY		JPY	10,400,000,000		USD	110,473,762		6,944,819
08/06/2013	CITI		JPY	10,400,000,000		USD	102,260,950		(1,297,002	)
06/04/2013	CITI		USD	102,231,698		JPY	10,400,000,000		1,297,245
								$	6,818,905

Reverse Repurchase Agreements

Average balance outstanding	$	(9,113,171	)
Average interest rate		0.16	%
Maximum balance outstanding	$	(17,656,013	)

Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund has entered into reverse repurchase agreements. The Fund had no reverse repurchase agreements outstanding at the end of the period.

Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

Credit Linked Options

Number of Contracts			Expiration Date	Descriptions	Premiums		Market Value
Put	USD	100,000,000	04/15/2024	Banco do Brasil Credit Linked Put Option Swap, Brazil 0.44% (d)	$	144,222	$	(948,442	)
Put	USD	62,000,000	03/21/2017	Lebanese Republic Credit Linked Put Option Swap, Lebanon 0.50% (d)		—		229,805
Put	USD	70,000,000	04/03/2018	Turkiye Cumhuriyeti Ziraat Bankasi A.S. Credit Linked Put Option Swap, Turkey 0.40% (d)		—		8,897
Put	USD	70,000,000	07/14/2017	Turkiye Is Bankasi A.S. Credit Linked Put Option Swap, Turkey 0.40% (d)		—		74,900
					$	144,222	$	(634,840	)

Swap Agreements

Credit Default Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) ^	Annual Premium	Implied Credit Spread (1)	Reference Entity	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Net Unrealized Appreciation/ (Depreciation)
	5,000,000	USD	12/20/2013	DB	(Pay)	1.00%	0.91%	Gazprom	N/A		$	(12,566	)
	14,000,000	USD	3/20/2014	DB	(Pay)	1.68%	1.12%	Republic of Italy	N/A			(110,052	)
	39,000,000	USD	3/20/2014	DB	(Pay)	1.49%	0.02%	Republic of Austria	N/A			(580,718	)
	28,000,000	USD	3/20/2014	DB	(Pay)	1.70%	1.12%	Republic of Italy	N/A			(225,740	)
	14,000,000	USD	3/20/2014	DB	(Pay)	1.45%	0.13%	United Kingdom Government	N/A			(190,219	)
	10,000,000	USD	3/20/2014	DB	(Pay)	1.85%	1.12%	Republic of Italy	N/A			(95,718	)
	39,000,000	USD	3/20/2014	DB	(Pay)	1.28%	0.13%	United Kingdom Government	N/A			(462,811	)
	15,000,000	USD	6/20/2014	DB	(Pay)	5.00%	67.37%	Republic of Argentina	N/A			6,047,901
	2,000,000	USD	8/24/2014	DB	(Pay)	4.25%	2.17%	Lebanese Republic	N/A			(73,226	)
	15,000,000	USD	9/20/2014	DB	(Pay)	4.03%	1.02%	Sberbank	N/A			(709,900	)
	5,000,000	USD	12/20/2014	DB	(Pay)	5.00%	55.55%	Republic of Argentina	N/A			2,115,430
	70,000,000	USD	3/20/2015	DB	(Pay)	0.00%	25.00%	Republic of Argentina (d)	N/A			—
	550,500,000	EUR	3/20/2015	DB	(Pay)	3.72%	7.67%	Bolivarian Republic of Venezuela	N/A			41,860,523
	650,000,000	USD	3/20/2015	DB	Receive	3.80%	7.73%	Bolivarian Republic of Venezuela	650,000,000	USD		(37,705,222	)
	412,500,000	USD	4/20/2015	DB	Receive	4.40%	7.77%	Bolivarian Republic of Venezuela	412,500,000	USD		(22,269,468	)
	300,000,000	EUR	4/20/2015	DB	(Pay)	4.32%	7.71%	Bolivarian Republic of Venezuela	N/A			21,220,171
	11,000,000	USD	6/20/2015	DB	(Pay)	5.00%	N/A	CDX 13 Emerging Sovereign	N/A			(537,900	)
	30,000,000	USD	6/20/2015	BCLY	(Pay)	5.00%	N/A	CDX 13 Emerging Sovereign	N/A			(1,467,000	)
	40,000,000	USD	6/20/2015	BCLY	(Pay)	5.00%	N/A	CDX 13 Emerging Sovereign	N/A			(1,956,000	)
	15,000,000	USD	9/20/2015	BCLY	(Pay)	1.00%	0.61%	Republic of Colombia	N/A			(166,180	)
	56,950,000,000	COP	11/20/2015	CITI	Receive	1.81%	0.44%	Republic of Colombia	56,950,000,000	COP		975,824
	15,000,000	USD	2/20/2016	CITI	(Pay)	2.16%	0.67%	Republic of Colombia	N/A			(698,658	)
	56,700,000,000	COP	2/20/2016	CITI	Receive	1.46%	0.46%	Republic of Colombia	56,700,000,000	COP		881,911
	25,000,000	USD	4/20/2016	CITI	(Pay)	1.90%	0.68%	Republic of Colombia	N/A			(925,204	)
	114,800,000,000	COP	4/20/2016	CITI	Receive	1.33%	0.48%	Republic of Colombia	114,800,000,000	COP		1,479,215
	12,833,333	EUR	6/17/2016	DB	Receive	5.60%	9.17%	Republic of Angola	12,833,333	EUR		632,737

Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

Notional Amount			Expiration Date	Counterparty	Receive (Pay) ^	Annual Premium	Implied Credit Spread (1)	Reference Entity	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Net Unrealized Appreciation/ (Depreciation)
	20,000,000	USD	8/20/2016	CITI	(Pay)	2.15%	0.74%	Republic of Colombia	N/A	EUR		(1,022,908	)
	97,680,000,000	COP	8/20/2016	CITI	Receive	1.51%	0.52%	Republic of Colombia	97,680,000,000	COP		1,730,752
	22,500,000	USD	2/20/2017	DB	Receive	2.43%	8.18%	Bolivarian Republic of Venezuela	22,500,000	USD		(3,852,899	)
	32,000,000	PEN	5/20/2017	DB	Receive	0.79%	0.69%	Republic of Peru	32,000,000	PEN		44,651
	2,500,000	USD	5/20/2017	DB	(Pay)	1.05%	0.87%	Republic of Peru	N/A			(18,658	)
	4,500,000	USD	7/20/2017	JPM	Receive	3.33%	6.92%	Republic of Jamaica	4,500,000	USD		(508,959	)
	25,000,000	USD	12/20/2017	JPM	Receive	5.00%	5.89%	Government of Ukraine	25,000,000	USD		(619,633	)
	5,400,000	EUR	3/20/2018	DB	Receive	1.00%	4.49%	Republic of Macedonia	5,400,000	EUR		(1,007,139	)
	10,000,000	USD	12/20/2018	DB	Receive	0.44%	0.50%	United Kingdom Government	10,000,000	USD		(24,833	)
	10,000,000	USD	3/20/2019	DB	Receive	1.62%	2.68%	Republic of Italy	10,000,000	USD		(499,704	)
	30,000,000	USD	3/20/2019	DB	Receive	1.46%	0.41%	Republic of Austria	30,000,000	USD		1,847,773
	20,000,000	USD	3/20/2019	DB	Receive	1.66%	2.68%	Republic of Italy	20,000,000	USD		(957,494	)
	10,000,000	USD	3/20/2019	DB	Receive	1.70%	2.68%	Republic of Italy	10,000,000	USD		(457,790	)
	30,000,000	USD	3/20/2019	DB	Receive	1.25%	0.52%	United Kingdom Government	30,000,000	USD		1,289,559
	10,000,000	USD	3/20/2019	DB	Receive	1.35%	0.52%	United Kingdom Government	10,000,000	USD		487,604
	6,000,000	USD	3/20/2020	BCLY	Receive	1.00%	3.26%	Republic of Croatia	6,000,000	USD		(740,295	)
	6,000,000	USD	6/20/2020	DB	Receive	1.00%	3.47%	Commonwealth of Bahamas	6,000,000	USD		(856,720	)
	30,000,000	USD	3/20/2023	JPM	Receive	1.00%	1.76%	Republic of Turkey	30,000,000	USD		(1,855,514	)
	200,000,000	USD	6/20/2023	DB	(Pay)	1.00%	3.62%	Republic of Croatia	N/A			38,826,331
	160,000,000	EUR	6/20/2023	DB	Receive	1.00%	3.63%	Republic of Croatia	160,000,000	EUR		(41,282,496	)
	6,000,000	USD	6/20/2023	DB	Receive	1.00%	3.47%	Commonwealth of Bahamas	6,000,000	USD		(1,107,502	)
	3,000,000	USD	6/20/2023	DB	Receive	1.00%	3.47%	Commonwealth of Bahamas	3,000,000	USD		(553,751	)
	20,000,000	USD	9/20/2031	GS	(Pay)	1.00%	1.54%	United Mexican States	N/A			1,333,793
											$	(2,778,702	)
					Premiums to (Pay) Receive						$	17,873,800

^ Receive - Fund receives premium and sells credit protection. If a credit event occurs, the Fund will either, depending on the terms of the terms of the particular swap agreement, (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.

(Pay) - Fund pays premium and buys credit protection. If a credit event occurs, the Fund will either, depending on the terms of the terms of the particular swap agreement, (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.

⁽¹⁾  Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on the reference security, as of May 31, 2013, 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 agreement.

⁽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 agreement.

Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund (Pays)/Receives	Net Unrealized Appreciation/ (Depreciation)
	25,000,000	USD	6/20/2013	JPM	3 Month LIBOR +0.55	EMBI + Total Return Index	$	(371,828	)
	50,000,000	USD	6/20/2013	JPM	3 Month LIBOR +0.55	EMBI + Total Return Index		(854,247	)
							$	(1,226,075	)
				Premiums to (Pay) Receive			$	—

As of May 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

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.

DEM LIBOR - London Interbank Offered Rate denominated in Deutsche Marks.

EMBI - Emerging Markets Bond Index.

FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.

GDP - Gross Domestic Product

GMTN - Global Medium Term Note

JPY LIBOR - London Interbank Offered Rate denominated in Japanese Yen.

LIBOR - London Interbank Offered Rate

PIK - Payment In Kind

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.

VRRB - Variable Rate Reduction Bond

XL - Insured as to the payment of principal and interest by XL Capital Assurance.

The rates shown on variable rate notes are the current interest rates at May 31, 2013, which are subject to change based on the terms of the security.

^¿  These securities are primarily backed by subprime mortgages.

* Non-income producing security.

^(a)  Security is backed by U.S. Treasury Bonds.

^(b)  Security is in default.

^(c)  Security is linked to Argentina Republic Gross Domestic Product (GDP). Security does not pay principal over life of security or at expiration. Payments are based on growth of Argentina GDP, subject to certain conditions.

^(d)  Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust.

^(e)  Security represents a judgment against the Government of Argentina (“Argentina”) relating to Argentina’s failure to make payments on sovereign debt held by the Fund. See “Other matters” in Notes to Financial Statements for additional information.

^(f)  These Peru Trust securities are currently in default. See “Other matters” in Notes to Financial Statements for additional information.

^(g)  All or a portion of this security has been pledged to cover margin requirements on futures contracts, collateral on swap agreements and forward currency contracts, and/or written options, if any.

^(h)  Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic.

⁽ⁱ⁾  The rate disclosed is the 7 day net yield as of May 31, 2013. Note: Yield rounds to 0.00%.

^(j)  Repurchase Agreements have an open maturity date and can be closed by either party on demand.

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

Currency Abbreviations:

CHF - Swiss Franc

COP - Colombian Peso

DEM - Deutsche Mark

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

PEN - Peruvian Sol

USD - United States Dollar

ZAR - South African Rand

Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value ($) / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 33.0%
		Canada — 2.6%
		Foreign Government Obligations
CAD	1,500,000	Government of Canada, 8.00%, due 06/01/23		2,225,194
CAD	2,000,000	Government of Canada, 1.50%, due 06/01/23		1,823,969
		Total Canada		4,049,163
		France — 2.9%
		Foreign Government Obligations
EUR	3,000,000	Government of France, 4.00%, due 10/25/38		4,540,402
		Italy — 3.8%
		Foreign Government Obligations
EUR	4,400,000	Buoni Poliennali Del Tesoro, 5.00%, due 08/01/34		5,967,098
		Japan — 8.6%
		Foreign Government Obligations
JPY	1,200,000,000	Japan Government Twenty Year Bond, 2.20%, due 06/20/26		13,537,166
		Spain — 1.6%
		Foreign Government Obligations
EUR	2,000,000	Government of Spain, 4.70%, due 07/30/41		2,476,595
		United States — 13.5%
		U.S. Government
USD	3,079,440	U.S. Treasury Inflation Indexed Note, 1.25%, due 04/15/14 (a)		3,126,592
USD	10,000,000	U.S. Treasury Note, 1.63%, due 11/15/22 (b)		9,617,970
USD	10,000,000	U.S. Treasury Principal Strip Bond, due 11/15/21		8,489,750
		Total United States		21,234,312
		TOTAL DEBT OBLIGATIONS (COST $51,076,513)		51,804,736
		MUTUAL FUNDS — 66.5%
		United States — 66.5%
		Affiliated Issuers
	792,733	GMO Emerging Country Debt Fund, Class IV		8,157,220
	7,873,225	GMO Short-Duration Collateral Fund		30,311,918
	1,098,093	GMO U.S. Treasury Fund		27,463,307
	1,467,757	GMO World Opportunity Overlay Fund		38,572,650
		TOTAL MUTUAL FUNDS (COST $102,553,048)		104,505,095

Principal Amount/ Shares		Description	Value ($)
		OPTIONS PURCHASED — 0.3%
		Currency Options
AUD	6,000,000	USD Call/AUD Put, Expires 10/02/13, Strike 0.99, (OTC) (CP-BCLY)		291,600
JPY	600,000,000	USD Call/JPY Put, Expires 02/12/14, Strike 104.00, (OTC) (CP-BCLY)		150,181
		TOTAL OPTIONS PURCHASED (COST $245,673)		441,781
		SHORT-TERM INVESTMENTS — 2.1%
		Money Market Funds — 0.1%
	203,961	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (c)		203,961
		U.S. Government — 2.0%
	3,150,000	U.S. Treasury Bill, 0.06%, due 10/17/13 (b) (d)		3,149,285
		TOTAL SHORT-TERM INVESTMENTS (COST $3,351,829)		3,353,246
		TOTAL INVESTMENTS — 101.9% (Cost $157,227,063)		160,104,858
		Other Assets and Liabilities (net) — (1.9%)		(2,965,506	)
		TOTAL NET ASSETS — 100.0%		$157,139,352

Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

A summary of outstanding financial instruments at May 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
06/18/2013	CITI		AUD	12,700,000		USD	12,866,469	$	724,217
06/18/2013	DB		AUD	3,000,000		USD	3,057,955		189,706
06/25/2013	CITI		CAD	5,300,000		USD	5,159,625		50,134
06/25/2013	DB		CAD	1,300,000		USD	1,266,288		13,016
07/23/2013	DB		CHF	9,400,000		USD	9,793,484		(41,458	)
07/09/2013	CITI		GBP	1,400,000		USD	2,119,839		(6,815	)
06/04/2013	BCLY		JPY	100,000,000		USD	1,076,790		81,320
06/04/2013	CITI		JPY	2,180,000,000		USD	21,468,632		(232,627	)
06/04/2013	DB		JPY	120,000,000		USD	1,273,142		78,577
07/16/2013	CITI		NZD	500,000		USD	410,301		14,027
07/16/2013	DB		NZD	2,100,000		USD	1,722,183		57,835
07/02/2013	BCLY		SEK	11,600,000		USD	1,750,092		(130	)
07/02/2013	DB		SEK	6,200,000		USD	931,952		(3,511	)
06/04/2013	BCLY		USD	20,820,055		JPY	1,960,000,000		(1,308,831	)
06/04/2013	CITI		USD	2,330,001		JPY	230,000,000		(40,419	)
06/04/2013	DB		USD	2,127,667		JPY	210,000,000		(37,179	)
06/11/2013	BCLY		USD	4,369,451		NOK	25,300,000		(59,519	)
06/11/2013	DB		USD	4,162,324		NOK	24,200,000		(39,781	)
06/18/2013	JPM		USD	19,646,257		AUD	18,700,000		(1,767,509	)
06/25/2013	CITI		USD	9,946,031		CAD	10,100,000		(209,077	)
06/25/2013	DB		USD	3,071,071		CAD	3,100,000		(82,501	)
07/02/2013	CITI		USD	2,480,146		SEK	16,200,000		(35,870	)
07/09/2013	CITI		USD	2,929,104		GBP	1,900,000		(42,930	)
07/09/2013	DB		USD	9,338,880		GBP	6,000,000		(224,646	)
07/16/2013	CITI		USD	10,106,016		NZD	12,100,000		(516,202	)
07/23/2013	DB		USD	1,047,230		CHF	1,000,000		(960	)
07/30/2013	CITI		USD	18,822,933		EUR	14,600,000		159,420
08/06/2013	CITI		USD	19,862,223		JPY	2,020,000,000		251,918
								$	(3,029,795	)

Futures Contracts

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
11	Australian Government Bond 3 Yr.	June 2013	$	1,157,467	$	12,399
123	Canadian Government Bond 10 Yr.	September 2013		16,100,498		(165,330	)
117	Euro BOBL	June 2013		19,110,181		(4,549	)
132	Euro Dollar 90 Day	September 2013		32,896,050		13,300
41	U.S. Long Bond (CBT)	September 2013		5,741,281		(9,732	)
154	U.S. Treasury Note 10 Yr. (CBT)	September 2013		19,899,688		(38,691	)
111	U.S. Treasury Note 5 Yr. (CBT)	September 2013		13,587,961		(22,880	)
			$	108,493,126	$	(215,483	)
Sales
7	Australian Government Bond 10 Yr.	June 2013	$	820,555	$	20,083
24	Euro Bund	June 2013		4,469,956		15,463
3	Japanese Government Bond 10 Yr. (TSE)	June 2013		4,228,373		24,328
79	UK Gilt Long Bond	September 2013		13,870,784		2,704
			$	23,389,668	$	62,578

Written Options

Principal Amount			Expiration Date		Description	Premiums		Market Value
Put	JPY	600,000,000		2/12/2014	USD Call/JPY Put, Strike 110.00 (OTC) (CP-BCLY)	$	85,942	$	(70,999	)

Swap Agreements

Credit Default Swaps

Notional Amount

Expiration Date

Counterparty

Receive (Pay) ^

Annual Premium

Implied Credit Spread (1)

Reference Entity

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

Net Unrealized Appreciation/ (Depreciation)

21,000,000

USD

3/20/2014

DB

(Pay)

1.70%

1.12%

Republic of Italy

N/A

$

(169,305

)

Premiums to (Pay) Receive

$

—

^ Receive - Fund receives premium and sells credit protection. If a credit event occurs, the Fund will either, depending on the terms of the terms of the particular swap agreement, (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.

Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

(Pay) - Fund pays premium and buys credit protection. If a credit event occurs, the Fund will either, depending on the terms of the terms of the particular swap agreement, (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.

⁽¹⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on the reference security, as of May 31, 2013, 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 agreement.

⁽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 agreement.

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	2,200,000	CHF	9/18/2023	BCLY	Receive	1.20%	6 Month CHF LIBOR	$	(14,145	)
	1,300,000	CHF	9/18/2023	CITI	Receive	1.20%	6 Month CHF LIBOR		(8,359	)
	1,600,000	CHF	9/18/2023	DB	Receive	1.20%	6 Month CHF LIBOR		(10,287	)
	43,500,000	SEK	9/18/2023	BCLY	Receive	2.60%	3 Month SEK STIBOR		106,963
	29,100,000	SEK	9/18/2020	DB	Receive	1.90%	3 Month SEK STIBOR		(70,545	)
	23,900,000	SEK	9/18/2020	CITI	Receive	1.90%	3 Month SEK STIBOR		(57,939	)
								$	(54,312	)
							Premiums to (Pay) Receive	$	15,105

# Receive - Fund receives fixed rate and pays variable rate.
(Pay) - Fund pays fixed rate and receives variable rate.

As of May 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

BOBL - Bundesobligationen

CHF LIBOR - London Interbank Offered Rate denominated in Swiss Franc.

CP - Counterparty

OTC - Over-the-Counter

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

(a) Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic.

(b) All or a portion of this security has been pledged to cover margin requirements on futures contracts, collateral on swap agreements and forward currency contracts, and/or written options, if any.

(c) The rate disclosed is the 7 day net yield as of May 31, 2013. Note: Yield rounds to 0.00%.

(d) The rate shown represents yield-to-maturity.

Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

CITI - Citibank N.A.

DB - Deutsche Bank AG

JPM - JPMorgan Chase Bank, N.A.

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

USD - United States Dollar

International Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value ($) / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 35.4%
		Canada — 4.5%
		Foreign Government Obligations
CAD	3,000,000	Government of Canada, 3.50%, due 06/01/20		3,221,539
		France — 4.3%
		Foreign Government Obligations
EUR	2,000,000	Government of France, 4.00%, due 10/25/38		3,026,935
		Italy — 2.4%
		Foreign Government Obligations
EUR	1,250,000	Buoni Poliennali Del Tesoro, 5.00%, due 08/01/34		1,695,198
		Japan — 17.3%
		Foreign Government Obligations
JPY	250,000,000	Japan Government Thirty Year Bond, 2.20%, due 03/20/41		2,741,626
JPY	848,400,000	Japan Government Twenty Year Bond, 2.20%, due 06/20/26		9,570,776
		Total Japan		12,312,402
		Spain — 1.9%
		Foreign Government Obligations
EUR	1,100,000	Government of Spain, 4.70%, due 07/30/41		1,362,127
		United States — 5.0%
		U.S. Government
USD	3,519,360	U.S. Treasury Inflation Indexed Note, 1.25%, due 04/15/14 (a) (b)		3,573,248
		TOTAL DEBT OBLIGATIONS (COST $26,651,930)		25,191,449
		MUTUAL FUNDS — 64.7%
		United States — 64.7%
		Affiliated Issuers
	298,907	GMO Emerging Country Debt Fund, Class IV		3,075,751
	3,980,527	GMO Short-Duration Collateral Fund		15,325,030
	464,406	GMO U.S. Treasury Fund		11,614,799
	611,477	GMO World Opportunity Overlay Fund		16,069,609
		TOTAL MUTUAL FUNDS (COST $39,846,936)		46,085,189

Principal Amount / Shares		Description	Value ($)
		OPTIONS PURCHASED — 0.3%
		Currency Options
AUD	3,000,000	USD Call/AUD Put, Expires 10/02/13, Strike 0.99, (OTC) (CP-BCLY)		145,800
JPY	250,000,000	USD Call/JPY Put, Expires 02/12/14, Strike 104.00, (OTC) (CP-BCLY)		62,575
		TOTAL OPTIONS PURCHASED (COST $107,888)		208,375
		SHORT-TERM INVESTMENTS — 2.2%
		Money Market Funds — 0.5%
	358,145	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (c)		358,145
		Total Money Market Funds (COST $358,145)		358,145
		U.S. Government — 1.7%
	1,250,000	U.S. Treasury Bill, 0.06%, due 10/17/13 (a) (d)		1,249,716
		Total U.S. Government (COST $1,249,159)		1,249,716
		TOTAL SHORT-TERM INVESTMENTS (COST $1,607,304)		1,607,861
		TOTAL INVESTMENTS — 102.6% (Cost $68,214,058)		73,092,874
		Other Assets and Liabilities (net) — (2.6%)		(1,844,244	)
		TOTAL NET ASSETS — 100.0%		$71,248,630

International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

A summary of outstanding financial instruments at May 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
06/18/2013	CITI		AUD	5,700,000		USD	5,777,484	$	327,812
06/18/2013	DBL		AUD	1,300,000		USD	1,325,230		82,322
06/25/2013	CITI		CAD	3,100,000		USD	3,018,826		30,256
06/25/2013	DBL		CAD	600,000		USD	584,440		6,008
07/23/2013	DBL		CHF	4,200,000		USD	4,375,405		(18,931	)
07/09/2013	CITI		GBP	500,000		USD	756,862		(2,658	)
06/04/2013	CITI		JPY	1,440,000,000		USD	14,179,718		(155,059	)
07/16/2013	CITI		NZD	200,000		USD	164,120		5,611
07/16/2013	DBL		NZD	1,000,000		USD	819,921		27,375
07/02/2013	BCLY		SEK	5,200,000		USD	784,462		(120	)
07/02/2013	DBL		SEK	2,700,000		USD	405,850		(1,529	)
06/04/2013	BCLY		USD	12,853,197		JPY	1,210,000,000		(808,003	)
06/04/2013	CITI		USD	1,417,009		JPY	140,000,000		(23,351	)
06/04/2013	DBL		USD	913,147		JPY	90,000,000		(17,223	)
06/11/2013	BCLY		USD	451,481		NOK	2,600,000		(8,563	)
06/11/2013	BCLY		USD	1,517,716		NOK	8,800,000		(18,609	)
06/11/2013	DBL		USD	1,788,694		NOK	10,400,000		(17,022	)
06/18/2013	JPM		USD	9,245,298		AUD	8,800,000		(831,769	)
06/25/2013	CITI		USD	4,333,087		CAD	4,400,000		(91,246	)
06/25/2013	DBL		USD	1,386,531		CAD	1,400,000		(36,854	)
07/02/2013	CITI		USD	1,254,320		SEK	8,200,000		(17,094	)
07/09/2013	CITI		USD	1,232,676		GBP	800,000		(17,445	)
07/09/2013	DBL		USD	7,004,160		GBP	4,500,000		(168,485	)
07/16/2013	CITI		USD	4,510,126		NZD	5,400,000		(230,374	)
07/23/2013	DBL		USD	418,892		CHF	400,000		(384	)
07/30/2013	CITI		USD	19,210,153		EUR	14,900,000		162,248
08/06/2013	CITI		USD	13,175,930		JPY	1,340,000,000		167,114
								$	(1,655,973	)

Futures Contracts

Number of Contracts	Type	Expiration Date		Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
7	Australian Government Bond 3 Yr.		June 2013	$	736,570	$	8,062
55	Canadian Government Bond 10 Yr.		September 2013		7,199,410		(73,928	)
78	Euro BOBL		June 2013		12,740,121		(3,033	)
19	Euro Bund		June 2013		3,538,715		(43,015	)
76	U.S. Treasury Note 10 Yr. (CBT)		September 2013		9,820,625		(19,094	)
4	U.S. Treasury Note 2 Yr. (CBT)		September 2013		880,562		(137	)
				$	34,916,003	$	(131,145	)
Sales
2	Australian Government Bond 10 Yr.		June 2013	$	234,444	$	5,738
38	Euro Dollar 90 Day		June 2013		9,473,400		(28,975	)
2	Japanese Government Bond 10 Yr. (TSE)		June 2013		2,818,915		25,170
3	U.S. Long Bond (CBT)		September 2013		420,094		717
20	UK Gilt Long Bond		September 2013		3,511,591		685
				$	16,458,444	$	3,335

Written Options

Principal Amount			Expiration Date		Description	Premiums		Market Value
Put	JPY	250,000,000		2/12/2014	USD Call/JPY Put, Strike 110.00 (OTC) (CP-BCLY)	$	35,809	$	(29,583	)

Swap Agreements

Credit Default Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) ^	Annual Premium	Implied Credit Spread (1)	Reference Entity	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)			Net Unrealized Appreciation/ (Depreciation)
	9,000,000	USD	3/20/2014	DB	(Pay)	1.70%	1.12%	Republic of Italy		N/A		$	(72,559	)
	6,000,000	USD	3/20/2019	DB	Receive	1.66%	2.68%	Republic of Italy		6,000,000	USD		(287,248	)
												$	(359,807	)
	Premiums to (Pay) Receive											$	—

International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

^ Receive - Fund receives premium and sells credit protection. If a credit event occurs, the Fund will either, depending on the terms of the terms of the particular swap agreement, (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.

(Pay) - Fund pays premium and buys credit protection. If a credit event occurs, the Fund will either, depending on the terms of the terms of the particular swap agreement, (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.

⁽¹⁾  Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on the reference security, as of May 31, 2013, 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 agreement.

⁽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 agreement.

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay)#	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	1,000,000	CHF	9/18/2023	BCLY	Receive	1.20%	6 Month CHF LIBOR	$	(6,429	)
	700,000	CHF	9/18/2023	CITI	Receive	1.20%	6 Month CHF LIBOR		(4,501	)
	600,000	CHF	9/18/2023	DB	Receive	1.20%	6 Month CHF LIBOR		(3,858	)
	20,800,000	SEK	9/18/2023	BCLY	Receive	2.60%	3 Month SEK STIBOR		51,145
	12,800,000	SEK	9/18/2020	DB	Receive	1.90%	3 Month SEK STIBOR		(31,030	)
	10,100,000	SEK	9/18/2020	CITI	Receive	1.90%	3 Month SEK STIBOR		(24,485	)
								$	(19,158	)
	Premiums to (Pay) Receive							$	629

# Receive - Fund receives fixed rate and pays variable rate.
(Pay) - Fund pays fixed rate and receives variable rate.

As of May 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

CHF LIBOR - London Interbank Offered Rate denominated in Swiss Franc.

CP - Counterparty

OTC - Over-the-Counter

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

^(a) All or a portion of this security has been pledged to cover margin requirements on futures contracts, collateral on swap agreements and forward currency contracts, and/or written options, if any.

^(b) Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic.

^(c) The rate disclosed is the 7 day net yield as of May 31, 2013. Note: Yield rounds to 0.00%.

^(d) The rate shown represents yield-to-maturity.

International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

CITI - Citibank N.A.

DB - Deutsche Bank AG

DBL - Deutsche Bank AG London

JPM - JPMorgan Chase Bank, N.A.

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

USD - United States Dollar

Short-Duration Collateral Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 96.9%
		Asset-Backed Securities — 93.3%
		Airlines — 1.5%
	13,458,600	Aircraft Finance Trust, Series 99-1A, Class A1, 144A, 1 mo. LIBOR + .48%, 0.68%, due 05/15/24		6,342,365
	4,673,863	Continental Airlines, Inc., Series 99-1A, 6.55%, due 08/02/20		5,246,411
		Total Airlines		11,588,776
		Business Loans — 8.0%
	1,804,298	Bayview Commercial Asset Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .36%, 0.55%, due 04/25/34		1,696,040
	1,583,157	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.56%, due 01/25/35		1,456,505
	6,597,815	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.58%, due 01/25/36		5,410,208
	6,504,123	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, 1 mo. LIBOR + .24%, 0.43%, due 07/25/37		5,138,257
	23,229,734	Bayview Commercial Asset Trust, Series 07-6A, Class A2, 144A, 1 mo. LIBOR + 1.30%, 1.49%, due 12/25/37		22,300,545
	5,083,684	Bayview Financial Acquisition Trust, Series 04-B, Class A1, 144A, 1 mo. LIBOR + .50%, 1.19%, due 05/28/39		2,224,112
	5,300,011	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.49%, due 05/28/39		2,027,254
	8,313,855	Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, 1 mo. LIBOR + .50%, 1.19%, due 02/28/40		5,927,778
	1,696,194	GE Business Loan Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .29%, 0.49%, due 05/15/32		1,577,461
	3,754,206	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.44%, due 11/15/33		3,453,870
	4,873,001	Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 0.44%, due 02/25/30		4,263,584
	2,806,812	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.44%, due 09/25/30		2,455,960
	3,112,433	Lehman Brothers Small Balance Commercial, Series 07-3A, Class 1A2, 144A, 1 mo. LIBOR + .85%, 1.04%, due 10/25/37		3,093,914
		Total Business Loans		61,025,488
		CMBS — 7.6%
	256,415	Citigroup/Deutsche Bank Commercial Mortgage, Series 05-CD1, Class A2FL, 1 mo. LIBOR + .12%, 0.32%, due 07/15/44		256,415

Par Value ($)		Description	Value ($)
		CMBS — continued
	32,300,000	Commercial Mortgage Pass-Through Certificates, Series 06-FL12, Class AJ, 144A, 1 mo. LIBOR + .13%, 0.33%, due 12/15/20		31,331,000
	9,732,107	GS Mortgage Securities Corp., Series 06-GG6, Class A2, 5.51%, due 04/10/38		9,938,915
	2,057,039	GS Mortgage Securities Corp., Series 07-EOP, Class A1, 144A, 1 mo. LIBOR + .35%, 1.10%, due 03/06/20		2,058,890
	6,300,000	GS Mortgage Securities Corp., Series 07-EOP, Class A2, 144A, 1 mo. LIBOR + .51%, 1.26%, due 03/06/20		6,311,970
	7,545,226	Merrill Lynch Mortgage Trust, Series 06-C1, Class A2, 5.64%, due 05/12/39		7,772,337
		Total CMBS		57,669,527
		CMBS Collateralized Debt Obligations — 2.3%
	4,398,348	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.07%, due 11/23/52		4,398
	1,412,671	Crest Exeter Street Solar, Series 04-1A, Class A1, 144A, 3 mo. LIBOR + .35%, 0.63%, due 06/28/19		1,384,418
	16,926,452	Marathon Real Estate CDO, Series 06-1A, Class A1, 144A, 1 mo. LIBOR + .33%, 0.52%, due 05/25/46		15,910,865
		Total CMBS Collateralized Debt Obligations		17,299,681
		Corporate Collateralized Debt Obligations — 4.5%
	34,200,000	Morgan Stanley ACES SPC, Series 06-13A, Class A, 144A, 3 mo. LIBOR + .29%, 0.57%, due 06/20/13		34,203,420
		Insured Business Loans — 0.1%
	1,600,773	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .44%, 0.63%, due 10/25/30		1,161,361
		Insured Other — 3.5%
	1,182,500	GE Seaco Finance SRL, Series 04-1A, Class A, 144A, AMBAC, 1 mo. LIBOR + .30%, 0.50%, due 04/17/19		1,181,022
	7,428,228	Henderson Receivables LLC, Series 06-3A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.40%, due 09/15/41		7,109,557
	7,055,486	Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.40%, due 12/15/41		6,772,562
	4,033,571	TIB Card Receivables Fund, Series 2005-B,144A, FGIC, 3 mo. LIBOR + .25%, 0.53%, due 01/05/14		3,690,717
	2,988,000	Toll Road Investment Part II, Series 1999B, 144A, MBIA, due 02/15/30		1,120,500
	26,300,000	Toll Road Investment Part II, Series C, 144A, MBIA, due 02/15/37		6,535,550
		Total Insured Other		26,409,908

Short-Duration Collateral Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Insured Residential Asset-Backed Securities (United States) ¿ — 1.2%
	1,630,888	Ameriquest Mortgage Securities, Inc., Series 04-R6, Class A1, XL, 1 mo. LIBOR + .21%, 0.61%, due 07/25/34		1,516,726
	1,815,630	Citigroup Mortgage Loan Trust, Inc., Series 03-HE3, Class A, AMBAC, 1 mo. LIBOR + .38%, 0.57%, due 12/25/33		1,688,536
	498,534	Quest Trust, Series 04-X1, Class A, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.52%, due 03/25/34		473,607
	5,723,110	Residential Asset Mortgage Products, Inc., Series 05-RS9, Class AI3, FGIC, 1 mo. LIBOR + .22%, 0.41%, due 11/25/35		5,265,261
		Total Insured Residential Asset-Backed Securities (United States)		8,944,130
		Insured Residential Mortgage-Backed Securities (United States) — 1.4%
	368,322	Chevy Chase Mortgage Funding Corp., Series 03-4A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .34%, 0.53%, due 10/25/34		316,757
	762,688	Chevy Chase Mortgage Funding Corp., Series 04-1A, Class A2, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.52%, due 01/25/35		570,109
	6,885,186	Countrywide Home Equity Loan Trust, Series 07-E, Class A, MBIA, 1 mo. LIBOR + .15%, 0.35%, due 06/15/37		4,624,780
	3,630,829	GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, 1 mo. LIBOR + .23%, 0.42%, due 10/25/34		3,105,448
	136,237	GreenPoint Home Equity Loan Trust, Series 04-1, Class A, AMBAC, 1 mo. LIBOR + .23%, 0.65%, due 07/25/29		130,958
	192,756	GreenPoint Home Equity Loan Trust, Series 04-4, Class A, AMBAC, 1 mo. LIBOR + .28%, 0.76%, due 08/15/30		158,541
	322,703	Lehman ABS Corp., Series 04-2, Class A, AMBAC, 1 mo. LIBOR + .22%, 0.63%, due 06/25/34		291,239
	76,808	Residential Funding Mortgage Securities II, Series 03-HS1, Class AII, FGIC, 1 mo. LIBOR + .29%, 0.48%, due 12/25/32		65,287
	1,512,526	SBI Heloc Trust, Series 05-HE1, Class 1A, 144A, FSA, 1 mo. LIBOR + .19%, 0.38%, due 11/25/35		1,450,361
		Total Insured Residential Mortgage-Backed Securities (United States)		10,713,480
		Insured Time Share — 0.5%
	3,573,066	Sierra Receivables Funding Co., Series 07-2A, Class A2, 144A, MBIA, 1 mo. LIBOR + 1.00%, 1.20%, due 09/20/19		3,573,066
		Residential Asset-Backed Securities (United States) ¿ — 39.7%
	977,554	Accredited Mortgage Loan Trust, Series 04-4, Class A1B, 1 mo. LIBOR + .39%, 0.58%, due 01/25/35		921,345

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — continued
	2,097,321	ACE Securities Corp., Series 06-ASL1, Class A, 1 mo. LIBOR + .14%, 0.47%, due 02/25/36		786,496
	3,094,956	ACE Securities Corp., Series 06-ASP2, Class A2C, 1 mo. LIBOR + .18%, 0.37%, due 03/25/36		2,994,370
	18,419,492	ACE Securities Corp., Series 06-ASP5, Class A2C, 1 mo. LIBOR + .18%, 0.37%, due 10/25/36		10,130,721
	4,268,747	ACE Securities Corp., Series 06-HE2, Class A2C, 1 mo. LIBOR + .16%, 0.35%, due 05/25/36		2,699,982
	602,620	ACE Securities Corp., Series 06-HE3, Class A2B, 1 mo. LIBOR + .09%, 0.28%, due 06/25/36		331,441
	8,689,959	ACE Securities Corp., Series 06-OP1, Class A2C, 1 mo. LIBOR + .15%, 0.34%, due 04/25/36		8,081,662
	3,003,836	ACE Securities Corp., Series 06-SL1, Class A, 1 mo. LIBOR + .16%, 0.51%, due 09/25/35		1,081,381
	6,921,988	ACE Securities Corp., Series 06-SL3, Class A1, 1 mo. LIBOR + .10%, 0.39%, due 06/25/36		2,561,135
	8,046,114	ACE Securities Corp., Series 06-SL3, Class A2, 1 mo. LIBOR + .17%, 0.53%, due 06/25/36		2,876,486
	4,866,056	ACE Securities Corp., Series 07-HE1, Class A2A, 1 mo. LIBOR + .09%, 0.28%, due 01/25/37		1,703,119
	2,495,995	ACE Securities Corp., Series 07-WM1, Class A2A, 1 mo. LIBOR + .07%, 0.26%, due 11/25/36		948,478
	11,548,732	Alliance Bancorp Trust, Series 07-S1, Class A1, 144A, 1 mo. LIBOR + .20%, 0.59%, due 05/25/37		577,437
	2,065,273	Argent Securities, Inc., Series 04-W8, Class A5, 1 mo. LIBOR + .52%, 1.23%, due 05/25/34		2,006,219
	46,626,881	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.34%, due 07/25/36		20,166,126
	6,983,558	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.30%, due 09/25/36		2,758,505
	9,532,883	Argent Securities, Inc., Series 06-W2, Class A2B, 1 mo. LIBOR + .19%, 0.38%, due 03/25/36		4,814,106
	269,231	Argent Securities, Inc., Series 06-W4, Class A2B, 1 mo. LIBOR + .11%, 0.30%, due 05/25/36		92,212
	7,631,336	Argent Securities, Inc., Series 06-W5, Class A2C, 1 mo. LIBOR + .15%, 0.34%, due 06/25/36		2,705,547
	7,977,737	Asset Backed Funding Certificates, Series 06-OPT2, Class A3C, 1 mo. LIBOR + .15%, 0.34%, due 10/25/36		6,541,745

Short-Duration Collateral Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — continued
	14,563,865	Asset Backed Funding Certificates, Series 07-NC1, Class A1, 144A, 1 mo. LIBOR + .22%, 0.41%, due 05/25/37		13,231,271
	2,857,590	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A1, 1 mo. LIBOR + .11%, 0.30%, due 11/25/36		1,894,011
	8,043,179	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A2, 1 mo. LIBOR + .20%, 0.39%, due 11/25/36		1,525,791
	1,600,902	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, 1 mo. LIBOR + .16%, 0.51%, due 02/25/37		723,448
	79,983	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A1, 1 mo. LIBOR + .12%, 0.31%, due 02/25/37		79,863
	38,100,000	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A2, 1 mo. LIBOR + .20%, 0.39%, due 02/25/37		35,539,680
	5,965,793	Centex Home Equity, Series 06-A, Class AV3, 1 mo. LIBOR + .16%, 0.35%, due 06/25/36		5,891,220
	78,868	Chase Funding Mortgage Loan Trust, Series 03-3, Class 2A2, 1 mo. LIBOR + .27%, 0.73%, due 04/25/33		76,778
	11,147,255	Citigroup Mortgage Loan Trust, Inc., Series 06-HE3, Class A2C, 1 mo. LIBOR + .16%, 0.35%, due 12/25/36		5,350,682
	28,620,327	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, 1 mo. LIBOR + .14%, 0.33%, due 02/25/37		26,731,385
	408,405	Equity One ABS, Inc., Series 04-1, Class AV2, 1 mo. LIBOR + .30%, 0.49%, due 04/25/34		298,774
	8,932,878	First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF5, Class 2A3, 1 mo. LIBOR + .16%, 0.35%, due 04/25/36		6,878,316
	3,427,328	Fremont Home Loan Trust, Series 06-A, Class 1A2, 1 mo. LIBOR + .20%, 0.39%, due 05/25/36		1,805,238
	1,243,256	Fremont Home Loan Trust, Series 06-B, Class 2A2, 1 mo. LIBOR + .10%, 0.29%, due 08/25/36		482,539
	18,526,986	Fremont Home Loan Trust, Series 06-B, Class 2A3, 1 mo. LIBOR + .16%, 0.35%, due 08/25/36		7,318,159
	12,388,032	GE-WMC Mortgage Securities, Series 06-1, Class A2B, 1 mo. LIBOR + .15%, 0.34%, due 08/25/36		5,326,854
	2,084,012	Household Home Equity Loan Trust, Series 05-2, Class A2, 1 mo. LIBOR + .31%, 0.51%, due 01/20/35		2,037,121
	1,819,197	Household Home Equity Loan Trust, Series 05-3, Class A2, 1 mo. LIBOR + .29%, 0.49%, due 01/20/35		1,791,909
	6,279,334	Household Home Equity Loan Trust, Series 06-1, Class A1, 1 mo. LIBOR + .16%, 0.36%, due 01/20/36		6,153,747
	24,841,966	JP Morgan Mortgage Acquisition Corp., Series 06-WMC4, Class A3, 1 mo. LIBOR + .12%, 0.31%, due 12/25/36		12,232,184

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — continued
	1,101,107	Master Asset-Backed Securities Trust, Series 05-FRE1, Class A4, 1 mo. LIBOR + .25%, 0.44%, due 10/25/35		1,081,838
	13,551,622	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.34%, due 03/25/36		10,163,716
	10,142,234	Master Asset-Backed Securities Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .15%, 0.34%, due 06/25/36		5,781,073
	19,624,577	Master Asset-Backed Securities Trust, Series 06-HE3, Class A3, 1 mo. LIBOR + .15%, 0.34%, due 08/25/36		7,604,524
	12,737,345	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.35%, due 10/25/36		7,292,130
	5,219,453	Master Second Lien Trust, Series 06-1, Class A, 1 mo. LIBOR + .16%, 0.51%, due 03/25/36		1,069,988
	4,145,089	Merrill Lynch Mortgage Investors, Series 07-HE2, Class A2A, 1 mo. LIBOR + .12%, 0.31%, due 02/25/37		1,865,290
	1,509,295	Morgan Stanley Capital, Inc., Series 04-SD1, Class A, 1 mo. LIBOR + .40%, 0.99%, due 08/25/34		1,433,830
	31,324,557	Morgan Stanley Capital, Inc., Series 07-HE4, Class A2C, 1 mo. LIBOR + .23%, 0.42%, due 02/25/37		14,800,853
	10,511,037	Morgan Stanley Home Equity Loans, Series 06-3, Class A3, 1 mo. LIBOR + .16%, 0.35%, due 04/25/36		6,832,174
	1,448,609	Morgan Stanley Home Equity Loans, Series 07-2, Class A1, 1 mo. LIBOR + .10%, 0.29%, due 04/25/37		1,028,513
	8,591,824	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.34%, due 11/25/36		3,952,239
	5,281,521	People’s Choice Home Loan Securities Trust, Series 05-4, Class 1A2, 1 mo. LIBOR + .26%, 0.45%, due 12/25/35		2,436,894
	3,278,242	RAAC Series Trust, Series 06-SP1, Class A2, 1 mo. LIBOR + .19%, 0.38%, due 09/25/45		3,172,355
	362,308	Residential Asset Mortgage Products, Inc., Series 05-RS8, Class A2, 1 mo. LIBOR + .29%, 0.48%, due 10/25/33		359,844
	1,627,310	Residential Asset Securities Corp., Series 05-KS12, Class A2, 1 mo. LIBOR + .25%, 0.44%, due 01/25/36		1,611,037
	236,691	Saxon Asset Securities Trust, Series 04-1, Class A, 1 mo. LIBOR + .27%, 0.73%, due 03/25/35		166,091
	249,506	SG Mortgage Securities Trust, Series 05-OPT1, Class A2, 1 mo. LIBOR + .26%, 0.45%, due 10/25/35		248,583
	16,357,859	Specialty Underwriting & Residential Finance, Series 06-BC3, Class A2C, 1 mo. LIBOR + .15%, 0.34%, due 06/25/37		9,840,888

Short-Duration Collateral Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — continued
	4,055,902	Structured Asset Investment Loan Trust, Series 06-1, Class A3, 1 mo. LIBOR + .20%, 0.39%, due 01/25/36		3,974,784
	1,211,865	Structured Asset Securities Corp., Series 05-S6, Class A2, 1 mo. LIBOR + .29%, 0.77%, due 11/25/35		1,201,261
	13,291,301	Yale Mortgage Loan Trust, Series 07-1, Class A, 144A, 1 mo. LIBOR + .40%, 0.59%, due 06/25/37		6,379,824
		Total Residential Asset-Backed Securities (United States)		302,445,212
		Residential Mortgage-Backed Securities (Australian) — 6.2%
	1,546,255	Crusade Global Trust, Series 04-2, Class A1, 3 mo. LIBOR + .13%, 0.40%, due 11/19/37		1,544,589
	3,679,941	Crusade Global Trust, Series 06-1, Class A1, 144A, 3 mo. LIBOR + .06%, 0.34%, due 07/20/38		3,633,390
	5,988,397	Crusade Global Trust, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 0.34%, due 04/19/38		5,862,060
	961,566	Interstar Millennium Trust, Series 03-3G, Class A2, 3 mo. LIBOR + .25%, 0.78%, due 09/27/35		919,132
	9,541,902	Interstar Millennium Trust, Series 04-2G, Class A, 3 mo. LIBOR + .20%, 0.68%, due 03/14/36		9,108,700
	610,219	Interstar Millennium Trust, Series 05-1G, Class A, 3 mo. LIBOR + .12%, 0.68%, due 12/08/36		590,692
	980,106	Interstar Millennium Trust, Series 06-2GA, Class A2, 144A, 3 mo. LIBOR + .08%, 0.57%, due 05/27/38		923,260
	843,493	Medallion Trust, Series 05-1G, Class A1, 3 mo. LIBOR + .08%, 0.36%, due 05/10/36		839,327
	4,135,915	Medallion Trust, Series 06-1G, Class A1, 3 mo. LIBOR + .05%, 0.33%, due 06/14/37		4,076,015
	836,376	Medallion Trust, Series 07-1G, Class A1, 3 mo. LIBOR + .04%, 0.31%, due 02/27/39		833,866
	4,228,691	National RMBS Trust, Series 06-3, Class A1, 144A, 3 mo. LIBOR + .07%, 0.35%, due 10/20/37		4,199,453
	5,274,988	Puma Finance Ltd., Series G5, Class A1, 144A, 3 mo. LIBOR + .07%, 0.41%, due 02/21/38		5,167,378
	5,042,928	Superannuation Members Home Loans Global Fund, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 0.40%, due 06/12/40		5,042,192
	420,641	Superannuation Members Home Loans Global Fund, Series 8, Class A1, 3 mo. LIBOR + .07%, 0.42%, due 01/12/37		420,263
	3,927,396	Westpac Securitization Trust, Series 07-1G, Class A2A, 3 mo. LIBOR + .05%, 0.32%, due 05/21/38		3,903,596
		Total Residential Mortgage-Backed Securities (Australian)		47,063,913

Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (European) — 7.3%
	8,303,309	Aire Valley Mortgages, Series 06-1A, Class 1A, 144A, 3 mo. LIBOR + .11%, 0.50%, due 09/20/66		7,753,954
	16,375,416	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .20%, 0.48%, due 01/13/39		15,944,743
	2,464,223	Granite Master Issuer Plc, Series 06-2, Class A4, 1 mo. LIBOR + .08%, 0.28%, due 12/20/54		2,419,867
	1,258,522	Granite Mortgages Plc, Series 04-3, Class 2A1, 3 mo. LIBOR + .28%, 0.56%, due 09/20/44		1,249,712
	5,698,539	Kildare Securities Ltd., Series 07-1A, Class A2, 144A, 3 mo. LIBOR + .06%, 0.40%, due 12/10/43		5,556,075
	2,873,717	Leek Finance Plc, Series 17A, Class A2B, 144A, 3 mo. LIBOR + .14%, 0.56%, due 12/21/37		2,945,560
	5,900,796	Paragon Mortgages Plc, Series 7A, Class A1A, 144A, 3 mo. LIBOR + .42%, 0.70%, due 05/15/34		5,332,549
	10,043,535	Paragon Mortgages Plc, Series 12A, Class A2C, 144A, 3 mo. LIBOR + .22%, 0.50%, due 11/15/38		8,907,410
	5,850,283	Paragon Mortgages Plc, Series 14A, Class A2C, 144A, 3 mo. LIBOR + .20%, 0.48%, due 09/15/39		5,202,072
		Total Residential Mortgage-Backed Securities (European)		55,311,942
		Residential Mortgage-Backed Securities (United States) — 0.2%
	429,115	Chevy Chase Mortgage Funding Corp., Series 04-3A, Class A2, 144A, 1 mo. LIBOR + .30%, 0.49%, due 08/25/35		320,763
	1,832,171	Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, 1 mo. LIBOR + .25%, 0.44%, due 02/26/34		1,603,150
		Total Residential Mortgage-Backed Securities (United States)		1,923,913
		Student Loans — 9.2%
	20,300,000	College Loan Corp. Trust, Series 07-2, Class A1, 3 mo. LIBOR + .25%, 0.53%, due 01/25/24		19,792,500
	7,357,271	Nelnet Student Loan Trust, Series 05-2, Class A4, 3 mo. LIBOR + .08%, 0.36%, due 12/23/19		7,346,676
	6,843,574	SLM Student Loan Trust, Series 05-1, Class A2, 3 mo. LIBOR + .08%, 0.36%, due 04/27/20		6,811,396
	13,759,820	SLM Student Loan Trust, Series 05-3, Class A4, 3 mo. LIBOR + .07%, 0.35%, due 04/27/20		13,736,703
	9,002,099	SLM Student Loan Trust, Series 07-2, Class A2, 3 mo. LIBOR + .00%, 0.28%, due 07/25/17		8,988,056

Short-Duration Collateral Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value ($) Shares		Description	Value ($)
		Student Loans — continued
	2,817,792	SLM Student Loan Trust, Series 07-6, Class A2, 3 mo. LIBOR + .25%, 0.53%, due 01/25/19		2,822,582
	10,800,000	SLM Student Loan Trust, Series 08-6, Class A3, 3 mo. LIBOR + .75%, 1.03%, due 01/25/19		10,950,188
		Total Student Loans		70,448,101
		Time Share — 0.1%
	955,116	Sierra Receivables Funding Co., Series 08-1A, Class A2, 144A, 1 mo. LIBOR + 4.00%, 4.20%, due 02/20/20		974,666
		Total Asset-Backed Securities		710,756,584
		U.S. Government Agency — 3.6%
	11,850,000	Agency for International Development Floater (Support of Morocco), 6 mo. LIBOR – .02%, 0.40%, due 02/01/25 (a)		11,096,150
	10,125,000	Agency for International Development Floater (Support of Morocco), 6 mo. LIBOR + .15%, 0.57%, due 10/29/26 (a)		9,488,172
	126,683	Agency for International Development Floater (Support of Peru), Series A, 6 mo. U.S. Treasury Bill + .35%, 0.43%, due 05/01/14 (a)		125,748
	7,402,500	Agency for International Development Floater (Support of Tunisia), 6 mo. LIBOR, 0.42%, due 07/01/23 (a)		7,000,973
		Total U.S. Government Agency		27,711,043
		TOTAL DEBT OBLIGATIONS (COST $985,822,378)		738,467,627
		SHORT-TERM INVESTMENTS — 3.0%
		Money Market Funds — 3.0%
	23,145,486	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (b)		23,145,486
		TOTAL SHORT-TERM INVESTMENTS (COST $23,145,486)		23,145,486
		TOTAL INVESTMENTS — 99.9% (Cost $1,008,967,864)		761,613,113
		Other Assets and Liabilities (net) — 0.1%		417,642
		TOTAL NET ASSETS — 100.0%		$762,030,755

Notes to Schedule of Investments:

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.

CDO - Collateralized Debt Obligation

CMBS - Commercial Mortgage Backed Security

FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.

FSA - Insured as to the payment of principal and interest by Financial Security Assurance.

LIBOR - London Interbank Offered Rate

MBIA - Insured as to the payment of principal and interest by MBIA Insurance Corp.

RMBS - Residential Mortgage Backed Security

XL - Insured as to the payment of principal and interest by XL Capital Assurance.

The rates shown on variable rate notes are the current interest rates at May 31, 2013, which are subject to change based on the terms of the security.

¿ These securities are primarily backed by subprime mortgages.

^(a)  Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust.

^(b) The rate disclosed is the 7 day net yield as of May 31, 2013. Note: Yield rounds to 0.00%.

Short-Duration Collateral Share Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares	Description	Value ($)
	MUTUAL FUNDS — 100.1%
	Affiliated Issuers — 100.1%
10,319,688	GMO Short-Duration Collateral Fund		39,730,800
	TOTAL MUTUAL FUNDS (COST $30,876,725)		39,730,800
	SHORT-TERM INVESTMENTS — 0.0%
	Money Market Funds — 0.0%
1,986	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (a)		1,986
	TOTAL SHORT-TERM INVESTMENTS (COST $1,986)		1,986
	TOTAL INVESTMENTS — 100.1% (Cost $30,878,711)		39,732,786
	Other Assets and Liabilities (net) — (0.1%)		(32,079	)
	TOTAL NET ASSETS — 100.0%		$39,700,707

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2013. Note: Yield rounds to 0.00%.

Strategic Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value ($) Shares/ Principal Amount		Description	Value ($)
		DEBT OBLIGATIONS — 22.0%
		United States — 22.0%
		U.S. Government — 22.0%
	78,305,760	U.S. Treasury Inflation Indexed Note, 1.25% , due 04/15/14 (a)		79,504,778
	150,000,000	U.S. Treasury Note, 1.75% , due 01/31/14		151,617,150
	169,000,000	U.S. Treasury Note, 2.38% , due 02/28/15		175,159,205
		TOTAL DEBT OBLIGATIONS (COST $406,711,797)		406,281,133
		MUTUAL FUNDS — 74.4%
		United States — 74.4%
		Affiliated Issuers
	6,939,686	GMO Emerging Country Debt Fund, Class IV		71,409,369
	105,394,919	GMO Short-Duration Collateral Fund		405,770,439
	17,389,294	GMO U.S. Treasury Fund		434,906,244
	17,647,482	GMO World Opportunity Overlay Fund		463,775,825
		TOTAL MUTUAL FUNDS (COST $1,321,493,839)		1,375,861,877
		OPTIONS PURCHASED — 0.3%
		Currency Options — 0.3%
AUD	68,000,000	USD Call/AUD Put, Expires 10/02/13, Strike 0.99, (OTC) (CP-BCLY)		3,304,798
JPY	6,300,000,000	USD Call/JPY Put, Expires 02/12/14, Strike 104.00, (OTC) (CP-BCLY)		1,576,897
		TOTAL OPTIONS PURCHASED (COST $2,634,812)		4,881,695
		SHORT-TERM INVESTMENTS — 3.5%
		Money Market Funds — 0.1%
	2,450,199	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (b)		2,450,199
		U.S. Government — 3.4%
	15,350,000	U.S. Treasury Bill, 0.06%, due 10/17/13 (c)(d)		15,346,516
	35,000,000	U.S. Treasury Bill, 0.07%, due 01/09/14 (c)(d)		34,984,495

Par Value ($)		Description	Value ($)
		U.S. Government — continued
	12,150,000	U.S. Treasury Bill, 0.10%, due 03/06/14 (d)		12,140,693
		Total U.S. Government		62,471,704
		TOTAL SHORT-TERM INVESTMENTS (COST $64,898,698)		64,921,903
		TOTAL INVESTMENTS — 100.2% (Cost $1,795,739,146)		1,851,946,608
		Other Assets and Liabilities (net) — (0.2%)		(4,246,227	)
		TOTAL NET ASSETS — 100.0%		$1,847,700,381

A summary of outstanding financial instruments at May 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
06/18/2013	CITI		AUD	143,400,000		USD	145,333,848	$	8,231,574
06/18/2013	DB		AUD	35,200,000		USD	35,901,460		2,247,346
06/25/2013	CITI		CAD	42,000,000		USD	40,867,423		377,117
06/25/2013	DB		CAD	15,600,000		USD	15,195,451		156,195
07/23/2013	DB		CHF	111,200,000		USD	115,826,139		(519,138	)
07/30/2013	CITI		EUR	103,900,000		USD	133,945,594		(1,141,149	)
07/09/2013	CITI		GBP	14,000,000		USD	21,199,960		(66,584	)
07/09/2013	DB		GBP	15,000,000		USD	23,347,200		561,616
06/04/2013	BCLY		JPY	2,380,000,000		USD	25,281,496		1,589,295
06/04/2013	CITI		JPY	870,000,000		USD	8,649,575		(11,019	)
08/06/2013	CITI		JPY	1,790,000,000		USD	17,600,683		(223,234	)
06/04/2013	DB		JPY	740,000,000		USD	7,851,042		484,560
07/16/2013	CITI		NZD	4,400,000		USD	3,610,644		123,439
07/16/2013	DB		NZD	21,300,000		USD	17,471,173		589,928
07/02/2013	BCLY		SEK	132,400,000		USD	19,973,727		(2,944	)
07/02/2013	DB		SEK	69,200,000		USD	10,401,792		(39,188	)
06/11/2013	BCLY		USD	51,933,301		NOK	300,700,000		(708,147	)
06/04/2013	CITI		USD	19,308,494		JPY	1,960,000,000		202,730
06/25/2013	CITI		USD	112,181,909		CAD	113,930,000		(2,347,136	)
07/02/2013	CITI		USD	20,684,476		SEK	134,800,000		(345,689	)
07/09/2013	CITI		USD	30,685,728		GBP	19,900,000		(456,854	)
07/16/2013	CITI		USD	113,421,025		NZD	135,800,000		(5,793,181	)
07/30/2013	CITI		USD	12,550,316		EUR	9,700,000		61,247
06/04/2013	DB		USD	20,588,365		JPY	2,030,000,000		(380,311	)
06/11/2013	DB		USD	45,418,799		NOK	264,100,000		(428,565	)
06/25/2013	DB		USD	37,804,512		CAD	38,170,000		(1,006,537	)
07/23/2013	DB		USD	12,462,038		CHF	11,900,000		(11,419	)
06/18/2013	JPM		USD	202,556,066		AUD	192,800,000		(18,223,300	)
								$	(17,079,348	)

Strategic Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

Futures Contracts

Number of Contracts	Type	Expiration Date		Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
1,635	Canadian Government Bond 10 Yr.		September 2013	$	214,018,818	$	(2,197,686	)
2,069	U.S. Treasury Note 10 Yr. (CBT)		September 2013		267,353,594		(519,816	)
				$	481,372,412	$	(2,717,502	)
Sales
148	Australian Government Bond 10 Yr.		June 2013	$	17,348,867	$	385,288
2	Euro BOBL		June 2013		326,670		78
260	Euro Bund		June 2013		48,424,522		245,701
262	Japanese Government Bond 10 Yr. (TSE)		June 2013		369,277,886		6,368,178
61	U.S. Long Bond (CBT)		September 2013		8,541,906		14,590
201	U.S. Treasury Note 2 Yr. (CBT)		September 2013		44,248,266		8,819
1,650	UK Gilt Long Bond		September 2013		289,706,243		56,478
				$	777,874,360	$	7,079,132

Written Options

Principal Amount			Expiration Date		Description	Premiums		Market Value
Put	JPY	6,300,000,000		2/12/2014	USD Call/JPY Put, Strike 110.00 (OTC) (CP-BCLY)	$	902,391	$	(745,489	)

Strategic Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

Swap Agreements

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	800,000	CHF	9/18/2023	BCLY	(Pay)	1.20%	6 Month CHF LIBOR	$	5,144
	32,000,000	CHF	9/18/2023	CITI	Receive	1.20%	6 Month CHF LIBOR		(205,748	)
	28,500,000	CHF	9/18/2023	DB	Receive	1.20%	6 Month CHF LIBOR		(183,245	)
	100,000,000	NZD	7/14/2015	BCLY	Receive	4.87%	3 Month NZD Bank Bill Rate		3,008,409
	100,000,000	NZD	7/15/2015	BCLY	Receive	4.86%	3 Month NZD Bank Bill Rate		2,996,035
	100,000,000	NZD	7/15/2015	CITI	Receive	4.85%	3 Month NZD Bank Bill Rate		2,983,956
	470,400,000	SEK	9/18/2023	BCLY	Receive	2.60%	3 Month SEK STIBOR		1,156,674
	384,300,000	SEK	9/18/2020	CITI	Receive	1.90%	3 Month SEK STIBOR		(931,633	)
	211,700,000	SEK	9/18/2020	DB	Receive	1.90%	3 Month SEK STIBOR		(513,211	)
								$	8,316,381
							Premiums to (Pay) Receive	$	(99,813	)

# Receive - Fund receives fixed rate and pays variable rate.
(Pay) - Fund pays fixed rate and receives variable rate.

Notes to Schedule of Investments:

CHF LIBOR - London Interbank Offered Rate denominated in Swiss Franc.

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

^(a) Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic.

^(b) The rate disclosed is the 7 day net yield as of May 31, 2013. Note: Yield rounds to 0.00%.

^(c) All or a portion of this security has been pledged to cover margin requirements on open financial futures contracts and/or collateral on open swap agreements.

^(d) The rate shown represents yield-to-maturity.

Counterparty Abbreviations

BCLY - Barclays Bank PLC

CITI - Citibank N.A.

DB - Deutsche Bank AG

JPM - JPMorgan Chase Bank, N.A.

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

USD - United States Dollar

U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value $/ Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 103.2%
		U.S. Government — 103.2%
	295,900,000	U.S. Treasury Bill, 0.13%, due 07/05/13 (a)		295,875,835
	662,350,000	U.S. Treasury Bill, 0.07%, due 07/11/13 (a)		662,298,887
	162,000,000	U.S. Treasury Bill, 0.10%, due 07/18/13 (a)		161,978,707
	234,900,000	U.S. Treasury Bill, 0.07%, due 07/25/13 (a)		234,875,908
	93,000,000	U.S. Treasury Bill, 0.03%, due 08/08/13 (a)		92,995,350
	28,500,000	U.S. Treasury Bill, 0.03%, due 08/15/13 (a)		28,498,404
	500,000,000	U.S. Treasury Bill, 0.05%, due 10/03/13 (a)		499,915,434
	100,000,000	U.S. Treasury Bill, 0.05%, due 10/10/13 (a)		99,980,300
	178,500,000	U.S. Treasury Bill, 0.06%, due 10/17/13 (a)		178,459,480
	106,500,000	U.S. Treasury Bill, 0.06%, due 10/31/13 (a)		106,472,310
	382,600,000	U.S. Treasury Bill, 0.07%, due 11/14/13 (a)		382,477,948
	281,500,000	U.S. Treasury Bill, 0.08%, due 11/21/13 (a)		281,399,786
	114,000,000	U.S. Treasury Bill, 0.07%, due 11/29/13 (a)		113,961,696
	215,555,000	U.S. Treasury Note, 0.13%, due 09/30/13		215,580,220
		Total U.S. Government		3,354,770,265
		Money Market Funds — 0.0%
	233,552	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (b)		233,552
		TOTAL SHORT-TERM INVESTMENTS (COST $3,354,801,668)		3,355,003,817
		TOTAL INVESTMENTS — 103.2% (Cost $3,354,801,668)		3,355,003,817
		Other Assets and Liabilities (net) — (3.2%)		(104,832,905	)
		TOTAL NET ASSETS — 100.0%		$3,250,170,912

Notes to Schedule of Investments:

^(a)  The rate shown represents yield-to-maturity.

^(b)  The rate disclosed is the 7 day net yield as of May 31, 2013. Note: Yield rounds to 0.00%.

World Opportunity Overlay Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 87.0%
		Asset-Backed Securities — 22.5%
		Business Loans — 1.9%
	989,473	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.56%, due 01/25/35		910,316
	1,434,308	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.58%, due 01/25/36		1,176,132
	6,700,885	Bayview Commercial Asset Trust, Series 07-6A, Class A2, 144A, 1 mo. LIBOR + 1.30%, 1.49%, due 12/25/37		6,432,849
	3,052,744	Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, 1 mo. LIBOR + .50%, 1.19%, due 02/28/40		2,176,606
	949,860	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.44%, due 11/15/33		873,871
	1,173,951	Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 0.44%, due 02/25/30		1,027,136
	774,293	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.44%, due 09/25/30		677,507
	309,307	Lehman Brothers Small Balance Commercial, Series 07-3A, Class 1A2, 144A, 1 mo. LIBOR + .85%, 1.04%, due 10/25/37		307,467
		Total Business Loans		13,581,884
		CMBS — 2.1%
	69,809	Citigroup/Deutsche Bank Commercial Mortgage, Series 05-CD1, Class A2FL, 1 mo. LIBOR + .12%, 0.32%, due 07/15/44		69,809
	11,500,000	Commercial Mortgage Pass-Through Certificates, Series 06-FL12, Class AJ, 144A, 1 mo. LIBOR + .13%, 0.33%, due 12/15/20		11,155,000
	2,146,788	GS Mortgage Securities Corp., Series 06-GG6, Class A2, 5.51%, due 04/10/38		2,192,408
	1,509,045	Merrill Lynch Mortgage Trust, Series 06-C1, Class A2, 5.64%, due 05/12/39		1,554,468
		Total CMBS		14,971,685
		CMBS Collateralized Debt Obligations — 0.5%
	6,777,455	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.07%, due 11/23/52		6,778
	4,028,621	Marathon Real Estate CDO, Series 06-1A, Class A1, 144A, 1 mo. LIBOR + .33%, 0.52%, due 05/25/46		3,786,903
		Total CMBS Collateralized Debt Obligations		3,793,681
		Corporate Collateralized Debt Obligations — 0.7%
	4,800,000	Morgan Stanley ACES SPC, Series 06-13A, Class A, 144A, 3 mo. LIBOR + .29%, 0.57%, due 06/20/13		4,800,480

Par Value ($)		Description	Value ($)
		Insured Other — 1.3%
	2,448,241	CLI Funding LLC, Series 06-1A, Class A, 144A, AMBAC, 1 mo. LIBOR + .18%, 0.38%, due 08/18/21		2,408,579
	2,120,197	Henderson Receivables LLC, Series 06-3A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.40%, due 09/15/41		2,029,241
	1,646,280	Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.40%, due 12/15/41		1,580,264
	751,191	TIB Card Receivables Fund, Series 2005-B,144A, FGIC, 3 mo. LIBOR + .25%, 0.53%, due 01/05/14		687,340
	9,200,000	Toll Road Investment Part II, Series C, 144A, MBIA, Zero Coupon, due 02/15/37		2,286,200
		Total Insured Other		8,991,624
		Insured Residential Asset-Backed Securities (United States) ¿ — 0.7%
	5,440,823	Ameriquest Mortgage Securities, Inc., Series 04-R6, Class A1, XL, 1 mo. LIBOR + .21%, 0.61%, due 07/25/34		5,059,965
		Insured Residential Mortgage-Backed Securities (United States) — 0.0%
	366,673	SBI Heloc Trust, Series 05-HE1, Class 1A, 144A, FSA, 1 mo. LIBOR + .19%, 0.38%, due 11/25/35		351,603
		Insured Time Share — 0.2%
	1,101,974	Sierra Receivables Funding Co., Series 07-2A, Class A2, 144A, MBIA, 1 mo. LIBOR + 1.00%, 1.20%, due 09/20/19		1,101,974
		Residential Asset-Backed Securities (United States) ¿ — 11.3%
	8,529,223	ACE Securities Corp., Series 06-ASP5, Class A2C, 1 mo. LIBOR + .18%, 0.37%, due 10/25/36		4,691,073
	8,609,845	ACE Securities Corp., Series 06-HE2, Class A2C, 1 mo. LIBOR + .16%, 0.35%, due 05/25/36		5,445,727
	130,296	ACE Securities Corp., Series 06-HE3, Class A2B, 1 mo. LIBOR + .09%, 0.28%, due 06/25/36		71,663
	628,253	ACE Securities Corp., Series 06-SL1, Class A, 1 mo. LIBOR + .16%, 0.51%, due 09/25/35		226,171
	1,685,743	ACE Securities Corp., Series 06-SL3, Class A1, 1 mo. LIBOR + .10%, 0.39%, due 06/25/36		623,725
	1,832,828	ACE Securities Corp., Series 06-SL3, Class A2, 1 mo. LIBOR + .17%, 0.53%, due 06/25/36		655,236
	996,031	ACE Securities Corp., Series 06-SL4, Class A1, 1 mo. LIBOR + .12%, 0.31%, due 09/25/36		224,107
	3,981,960	ACE Securities Corp., Series 07-ASL1, Class A2, 1 mo. LIBOR + .17%, 0.36%, due 12/25/36		726,708

World Opportunity Overlay Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — continued
	911,935	ACE Securities Corp., Series 07-WM1, Class A2A, 1 mo. LIBOR + .07%, 0.26%, due 11/25/36		346,535
	9,029,617	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.34%, due 07/25/36		3,905,309
	5,028,162	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.30%, due 09/25/36		1,986,124
	1,676,111	Argent Securities, Inc., Series 06-W2, Class A2B, 1 mo. LIBOR + .19%, 0.38%, due 03/25/36		846,436
	1,828,341	Argent Securities, Inc., Series 06-W5, Class A2C, 1 mo. LIBOR + .15%, 0.34%, due 06/25/36		648,204
	2,132,663	Asset Backed Funding Certificates, Series 06-OPT2, Class A3C, 1 mo. LIBOR + .15%, 0.34%, due 10/25/36		1,748,783
	3,612,297	Asset Backed Funding Certificates, Series 07-NC1, Class A1, 144A, 1 mo. LIBOR + .22%, 0.41%, due 05/25/37		3,281,772
	2,031,299	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A1, 1 mo. LIBOR + .11%, 0.30%, due 11/25/36		1,346,345
	5,109,784	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A2, 1 mo. LIBOR + .20%, 0.39%, due 11/25/36		969,326
	562,817	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, 1 mo. LIBOR + .16%, 0.51%, due 02/25/37		254,337
	1,211,802	Centex Home Equity, Series 06-A, Class AV3, 1 mo. LIBOR + .16%, 0.35%, due 06/25/36		1,196,654
	2,395,278	Citigroup Mortgage Loan Trust, Inc., Series 06-HE3, Class A2C, 1 mo. LIBOR + .16%, 0.35%, due 12/25/36		1,149,733
	5,243,133	Citigroup Mortgage Loan Trust, Inc., Series 06-WFH4, Class A3, 1 mo. LIBOR + .15%, 0.34%, due 11/25/36		5,085,839
	6,413,483	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, 1 mo. LIBOR + .14%, 0.33%, due 02/25/37		5,990,193
	4,091,279	Fremont Home Loan Trust, Series 06-B, Class 2A3, 1 mo. LIBOR + .16%, 0.35%, due 08/25/36		1,616,055
	750,244	Household Home Equity Loan Trust, Series 05-2, Class A2, 1 mo. LIBOR + .31%, 0.51%, due 01/20/35		733,364
	287,242	Household Home Equity Loan Trust, Series 05-3, Class A2, 1 mo. LIBOR + .29%, 0.49%, due 01/20/35		282,933
	5,745,761	JP Morgan Mortgage Acquisition Corp., Series 06-WMC4, Class A3, 1 mo. LIBOR + .12%, 0.31%, due 12/25/36		2,829,213
	142,496	Master Asset-Backed Securities Trust, Series 05-FRE1, Class A4, 1 mo. LIBOR + .25%, 0.44%, due 10/25/35		140,003
	2,851,609	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.34%, due 03/25/36		2,138,707
	2,423,366	Master Asset-Backed Securities Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .15%, 0.34%, due 06/25/36		1,381,318

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — continued
	5,190,528	Master Asset-Backed Securities Trust, Series 06-HE3, Class A3, 1 mo. LIBOR + .15%, 0.34%, due 08/25/36		2,011,330
	2,742,067	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.35%, due 10/25/36		1,569,834
	1,091,656	Master Second Lien Trust, Series 06-1, Class A, 1 mo. LIBOR + .16%, 0.51%, due 03/25/36		223,789
	1,858,830	Merrill Lynch Mortgage Trust, Series 06-SD1, Class A, 1 mo. LIBOR + .28%, 0.47%, due 01/25/47		1,099,498
	2,080,126	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.34%, due 11/25/36		956,858
	8,688,714	Nationstar Home Equity Loan Trust, Series 06-B, Class AV3, 1 mo. LIBOR + .17%, 0.36%, due 09/25/36		8,457,920
	9,100,000	Nomura Home Equity Loan, Inc., Series 06-HE3, Class 2A3, 1 mo. LIBOR + .15%, 0.34%, due 07/25/36		5,750,062
	1,386,399	People’s Choice Home Loan Securities Trust, Series 05-4, Class 1A2, 1 mo. LIBOR + .26%, 0.45%, due 12/25/35		639,685
	1,215,596	Saxon Asset Securities Trust, Series 06-3, Class A2, 1 mo. LIBOR + .11%, 0.30%, due 10/25/46		1,200,401
	8,529,430	Securitized Asset-Backed Receivables LLC Trust, Series 06-HE1, Class A2C, 1 mo. LIBOR + .16%, 0.35%, due 07/25/36		3,966,185
	65,151	SG Mortgage Securities Trust, Series 05-OPT1, Class A2, 1 mo. LIBOR + .26%, 0.45%, due 10/25/35		64,910
	3,443,760	Specialty Underwriting & Residential Finance, Series 06-BC3, Class A2C, 1 mo. LIBOR + .15%, 0.34%, due 06/25/37		2,071,766
	986,571	Structured Asset Investment Loan Trust, Series 06-1, Class A3, 1 mo. LIBOR + .20%, 0.39%, due 01/25/36		966,839
	195,599	Structured Asset Securities Corp., Series 05-S6, Class A2, 1 mo. LIBOR + .29%, 0.77%, due 11/25/35		193,888
		Total Residential Asset-Backed Securities (United States)		79,714,558
		Residential Mortgage-Backed Securities (Australian) — 1.0%
	1,093,568	Crusade Global Trust, Series 06-1, Class A1, 144A, 3 mo. LIBOR + .06%, 0.34%, due 07/20/38		1,079,734
	2,676,874	Interstar Millennium Trust, Series 04-2G, Class A, 3 mo. LIBOR + .20%, 0.68%, due 03/14/36		2,555,343
	1,127,578	Interstar Millennium Trust, Series 05-1G, Class A, 3 mo. LIBOR + .12%, 0.68%, due 12/08/36		1,091,495
	702,911	Medallion Trust, Series 05-1G, Class A1, 3 mo. LIBOR + .08%, 0.36%, due 05/10/36		699,439
	1,502,370	Puma Finance Ltd., Series G5, Class A1, 144A, 3 mo. LIBOR + .07%, 0.41%, due 02/21/38		1,471,722
		Total Residential Mortgage-Backed Securities (Australian)		6,897,733

World Opportunity Overlay Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value ($)/ Principal Amount		Description	Value ($)
		Residential Mortgage-Backed Securities (European) — 2.4%
	5,806,073	Aire Valley Mortgages, Series 06-1A, Class 1A, 144A, 3 mo. LIBOR + .11%, 0.50%, due 09/20/66		5,421,938
	3,030,515	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .20%, 0.48%, due 01/13/39		2,950,813
	1,737,940	Granite Master Issuer Plc, Series 06-3, Class A3, 1 mo. LIBOR + .08%, 0.28%, due 12/20/54		1,702,282
	2,569,929	Kildare Securities Ltd., Series 07-1A, Class A2, 144A, 3 mo. LIBOR + .06%, 0.40%, due 12/10/43		2,505,681
	2,643,035	Paragon Mortgages Plc, Series 12A, Class A2C, 144A, 3 mo. LIBOR + .22%, 0.50%, due 11/15/38		2,344,055
	2,408,940	Paragon Mortgages Plc, Series 14A, Class A2C, 144A, 3 mo. LIBOR + .20%, 0.48%, due 09/15/39		2,142,030
		Total Residential Mortgage-Backed Securities (European)		17,066,799
		Student Loans — 0.4%
	3,100,000	College Loan Corp. Trust, Series 07-2, Class A1, 3 mo. LIBOR + .25%, 0.53%, due 01/25/24		3,022,500
		Total Asset-Backed Securities		159,354,486
		Foreign Government Obligations — 6.4%
GBP	25,000,000	U.K. Treasury Bond, 4.25%, due 12/07/46 (a)		44,913,432
		U.S. Government — 58.0%
	265,931,640	U.S. Treasury Inflation Indexed Note, 1.25%, due 04/15/14 (b) (c)		270,003,585
	65,000,000	U.S. Treasury Strip Coupon, due 05/15/22		54,001,480
	105,000,000	U.S. Treasury Strip Coupon, due 08/15/22		86,372,790
		Total U.S. Government		410,377,855
		U.S. Government Agency — 0.1%
	800,000	U.S. Department of Transportation, 144A, 6.00%, due 12/07/21		878,800
		TOTAL DEBT OBLIGATIONS (COST $654,293,036)		615,524,573
		OPTIONS PURCHASED — 1.8%
		Currency Options — 0.0%
EUR	3,000,000	EUR Call/CHF Put, Expires 06/18/15, Strike 1.56, (OTC) (CP – JPM)		58,489

Principal Amount		Description	Value ($)
		Options on Interest Rate Swaps — 1.8%
AUD	40,000,000	AUD Swaption Put, Expires 04/16/14, Strike 4.07%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 40,000,000 AUD in which it will pay a rate of 4.07% and will receive 6 month AUD BBSW, maturing on 04/17/24. (OTC) (CP – BCYL)		1,233,408
AUD	40,000,000	AUD Swaption Call, Expires 04/16/14, Strike 4.07%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 40,000,000 AUD in which it will pay 6 month AUD BBSW and will receive a rate of 4.07%, maturing on 04/17/24. (OTC) (CP – BCYL)		848,483
AUD	40,000,000	AUD Swaption Call, Expires 04/16/14, Strike 4.08%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 40,000,000 AUD in which it will pay 6 month AUD BBSW and will receive a rate of 4.08%, maturing on 04/17/24. (OTC) (CP – MSCI)		863,374
AUD	40,000,000	AUD Swaption Put, Expires 04/16/14, Strike 4.08%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 40,000,000 AUD in which it will pay a rate of 4.08% and will receive 6 month AUD BBSW, maturing on 04/17/24. (OTC) (CP – MSCI)		1,217,483
AUD	10,000,000	AUD Swaption Put, Expires 04/22/14, Strike 4.08%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 10,000,000 AUD in which it will pay a rate of 4.08% and will receive 6 month AUD BBSW, maturing on 04/24/24. (OTC) (CP – MSCI)		310,649
AUD	10,000,000	AUD Swaption Call, Expires 04/22/14, Strike 4.08%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 10,000,000 AUD in which it will pay 6 month AUD BBSW and will receive a rate of 4.08%, maturing on 04/24/24. (OTC) (CP – MSCI)		214,130
JPY	4,000,000,000	JPY Swaption Call, Expires 03/17/14, Strike 1.75%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 4,000,000,000 JPY in which it will pay 6 month JPY LIBOR and will receive a rate of 1.75%, maturing on 03/19/34. (OTC) (CP – MSCI)		1,260,783
JPY	4,000,000,000	JPY Swaption Put, Expires 03/17/14, Strike 1.75%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 4,000,000,000 JPY in which it will pay a rate of 1.75% and will receive 6 month JPY LIBOR, maturing on 03/19/34. (OTC) (CP – MSCI)		1,697,954

World Opportunity Overlay Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Principal Amount		Description	Value ($)
		Options on Interest Rate Swaps — continued
JPY	4,000,000,000	JPY Swaption Call, Expires 05/19/14, Strike 1.87%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 4,000,000,000 JPY in which it will pay 6 month JPY LIBOR and will receive a rate of 1.87%, maturing on 05/21/34. (OTC) (CP – MSCI)		1,764,731
JPY	4,000,000,000	JPY Swaption Put, Expires 05/19/14, Strike 1.87%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 4,000,000,000 JPY in which it will pay a rate of 1.87% and will receive 6 month JPY LIBOR, maturing on 05/19/34. (OTC) (CP – MSCI)		1,485,083
JPY	2,000,000,000	JPY Swaption Put, Expires 03/14/14, Strike 1.72%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 2,000,000,000 JPY in which it will pay a rate of 1.72% and will receive 6 month JPY LIBOR, maturing on 03/18/34. (OTC) (CP -CITI)		897,994
JPY	2,000,000,000	JPY Swaption Call, Expires 03/14/14, Strike 1.72%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 2,000,000,000 JPY in which it will pay 6 month JPY LIBOR and will receive a rate of 1.72%, maturing on 03/18/34. (OTC) (CP – CITI)		574,606
USD	200,000,000	USD Swaption Call, Expires 10/28/13, Strike 2.50%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 200,000,000 USD in which it will pay 3 month USD LIBOR and will receive a rate of 2.50%, maturing on 10/30/23. (OTC) (CP – CITI)		22,200

Principal Amount / Shares		Description	Value ($)
		Options on Interest Rate Swaps — continued
USD	200,000,000	USD Swaption Call, Expires 10/28/13, Strike 3.10%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 200,000,000 USD in which it will pay 3 month USD LIBOR and will receive a rate of 3.10%, maturing on 10/30/23. (OTC) (CP – CITI)		479,800
		Total Options on Interest Rate Swaps		12,870,678
		TOTAL OPTIONS PURCHASED (COST $17,251,426)		12,929,167
		SHORT-TERM INVESTMENTS — 25.6%
		Money Market Funds — 5.8%
	34,613,725	State Street Institutional Liquid Reserves Fund-Institutional Class, 0.10% (d)		34,613,725
	6,506,698	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (e)		6,506,698
		Total Money Market Fund		41,120,423
		U.S. Government — 19.8%
	100,000,000	U.S. Treasury Bill, 0.07%, due 01/09/14 (f)		99,955,700
	40,000,000	U.S. Treasury Bill, 0.07%, due 11/14/13 (f)		39,987,240
		Total U.S. Government		139,942,940
		TOTAL SHORT-TERM INVESTMENTS (COST $181,017,498)		181,063,363
		TOTAL INVESTMENTS — 114.4% (Cost $852,561,960)		809,517,103
		Other Assets and Liabilities (net) — (14.4%)		(101,902,307	)
		TOTAL NET ASSETS — 100.0%		$707,614,796

A summary of outstanding financial instruments at May 31, 2013 is as follows:

Reverse Repurchase Agreements

Face Value		Description	Market Value
GBP	29,651,225	Barclays Bank, 0.52%, dated 05/21/13, to be repurchased on demand at face value plus accrued interest with a stated maturity date of 06/24/13.	$	(45,057,224	)
			$	(45,057,224	)

World Opportunity Overlay Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

Average balance outstanding	$	(45,078,630	)
Average interest rate		0.52	%
Maximum balance outstanding	$	(47,276,342	)

Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund has entered into reverse repurchase agreements.

Written Options

A summary of open written option contracts for the fund at May 31, 2013 is as follows:

Currency Options

Principal Amount			Expiration Date		Description	Premiums		Market Value
Call	EUR	3,000,000		6/14/2013	EUR Call/CHF Put, Strike 1.56	$	1,097,998	$	—

Options on Interest Rate Swaps

Principal Amount			Expiration Date		Description	Premiums		Market Value
Call	AUD	40,000,000		7/16/2013	Interest Rate Swaption, Strike 3.92%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 40,000,000 AUD in which it will pay 6 month AUD BBSWand will receive a rate of 3.92%, maturing on 07/17/23. (OTC) (CP – BCLY)	$	607,068	$	(299,021	)
Call	AUD	40,000,000		7/16/2013	Interest Rate Swaption, Strike 3.93%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 40,000,000 AUD in which it will pay 6 month AUD BBSW and will receive a rate of 3.93%, maturing on 07/17/23. (OTC) (CP – MSCI)		623,700		(312,764	)
Put	AUD	40,000,000		7/16/2013	Interest Rate Swaption, Strike 3.92%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 40,000,000 AUD in which it will pay a rate of 3.92% and will receive 6 month AUD BBSW, maturing on 07/17/23. (OTC) (CP – BCLY)		607,068		(529,823	)
Put	AUD	40,000,000		7/16/2013	Interest Rate Swaption, Strike 3.93%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 40,000,000 AUD in which it will pay a rate of 3.93% and will receive 6 month AUD BBSW, maturing on 07/17/23. (OTC) (CP – MSCI)		623,700		(511,754	)
Call	AUD	10,000,000		7/19/2013	Interest Rate Swaption, Strike 3.92%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 10,000,000 AUD in which it will pay 6 month AUD BBSW and will receive a rate of 3.92%, maturing on 07/23/23. (OTC) (CP – MSCI)		154,328		(76,583	)
Put	AUD	10,000,000		7/19/2013	Interest Rate Swaption, Strike 3.92%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 10,000,000 AUD in which it will pay a rate of 3.92% and will receive 6 month AUD BBSW, maturing on 07/23/23. (OTC) (CP – MSCI)		154,328		(137,471	)
Call	JPY	2,000,000,000		6/14/2013	Interest Rate Swaption, Strike 1.63%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 2,000,000,000 JPY in which it will pay 6 month JPY LIBOR and will receive a rate of 1.63%, maturing on 06/18/33. (OTC) (CP – CITI)		431,864		(72,928	)
Put	JPY	2,000,000,000		6/14/2013	Interest Rate Swaption, Strike 1.63%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 2,000,000,000 JPY in which it will pay a rate of 1.63% and will receive 6 month JPY LIBOR and, maturing on 06/18/33. (OTC) (CP – CITI)		431,864		(439,879	)
Call	JPY	4,000,000,000		6/17/2013	Interest Rate Swaption, Strike 1.66%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 4,000,000,000 JPY in which it will pay 6 month JPY LIBOR and will receive a rate of 1.66%, maturing on 06/19/33. (OTC) (CP –MSCI)		874,489		(244,846	)

World Opportunity Overlay Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

Principal Amount			Expiration Date		Description	Premiums		Market Value
Put	JPY	4,000,000,000		6/17/2013	Interest Rate Swaption, Strike 1.66%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 4,000,000,000 JPY in which it will pay a rate of 1.66% and will receive 6 month JPY LIBOR and, maturing on 06/19/33. (OTC) (CP – MSCS)		874,489		(766,831	)
Call	JPY	4,000,000,000		8/19/2013	Interest Rate Swaption, Strike 1.78%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 4,000,000,000 JPY in which it will receive 6 month JPY LIBOR and will pay a rate of 1.78%, maturing on 08/21/33. (OTC) (CP – MSCI)		857,821		(1,021,154	)
Put	JPY	4,000,000,000		8/19/2013	Interest Rate Swaption, Strike 1.78%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 4,000,000,000 JPY in which it will pay a rate of 1.78% and will receive 6 month JPY LIBOR and, maturing on 08/21/33. (OTC) (CP – MSCI)		857,821		(838,664	)
Call	USD	400,000,000		10/28/2013	Interest Rate Swaption, Strike 2.80%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 400,000,000 USD in which it will pay 3 month USD LIBOR and will receive a rate of 2.80%, maturing on 10/30/23. (OTC) (CP – CITI)		2,560,000		(262,400	)
					Total Options on Interest Rate Swaps	$	9,658,540	$	(5,514,118	)
					Total Written Options	$	10,756,538	$	(5,514,118	)

Swap Agreements

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed         Rate			Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	150,000,000	CHF	6/14/2013	BCLY	(Pay)		(0.10	)%	3 Month CHF LIBOR	$	5,874
	72,500,000	CHF	6/19/2015	BCLY	Receive		0.05	%	6 Month CHF LIBOR		(147,209	)
	62,000,000	EUR	6/19/2015	BCLY	(Pay)		0.50	%	6 Month EURIBOR		(70,192	)
	6,900,000,000	JPY	6/19/2015	BCLY	Receive		0.20	%	6 Month JPY LIBOR		(120,862	)
	109,000,000	USD	6/19/2015	BCLY	(Pay)		0.50	%	3 Month USD LIBOR		(27,450	)
	98,000,000	CAD	6/19/2015	BOA	Receive		1.50	%	3 Month CAD BA’S		108,992
	72,000,000	EUR	6/19/2015	BOA	(Pay)		0.50	%	6 Month EURIBOR		(81,513	)
	9,800,000,000	JPY	6/19/2015	CITI	Receive		0.20	%	6 Month JPY LIBOR		(171,659	)
	75,000,000	USD	6/19/2015	CITI	(Pay)		0.50	%	3 Month USD LIBOR		(18,887	)
	166,000,000	CAD	6/19/2015	DB	(Pay)		1.50	%	3 Month CAD BA’S		(184,619	)
	73,000,000	CHF	6/19/2015	DB	(Pay)		0.05	%	6 Month CHF LIBOR		148,224
	313,000,000	CAD	6/19/2015	GS	Receive		1.50	%	3 Month CAD BA’S		348,107
	44,000,000	CHF	6/19/2015	GS	(Pay)		0.05	%	6 Month CHF LIBOR		89,340
	16,700,000,000	JPY	6/19/2015	GS	Receive		0.20	%	6 Month JPY LIBOR		(292,521	)
	61,000,000	EUR	6/19/2015	JPM	(Pay)		0.50	%	6 Month EURIBOR		(69,060	)
	236,500,000	USD	6/19/2015	JPM	(Pay)		0.50	%	3 Month USD LIBOR		(59,558	)
	400,500,000	CHF	6/19/2015	UBS	(Pay)		0.05	%	6 Month CHF LIBOR		813,200
	352,000,000	AUD	12/18/2015	N/A(g)	Receive		2.80	%	3 Month AUD BBSW		(656,479	)
	323,000,000	GBP	12/18/2015	N/A(g)	(Pay)		0.75	%	6 Month GBP LIBOR		463,822
	3,922,000,000	SEK	12/18/2015	N/A(g)	Receive		1.50	%	3 Month SEK STIBOR		389,913
	65,000,000	USD	5/15/2022	JPM	(Pay)		0.00	%	3 Month USD LIBOR		(17,292,858	)
	105,000,000	USD	8/15/2022	JPM	(Pay)		0.00	%	3 Month USD LIBOR		(27,678,499	)
	15,000,000	CHF	6/19/2023	BCLY	(Pay)		1.00	%	6 Month CHF LIBOR		313,291
	13,000,000	EUR	6/19/2023	BCLY	Receive		1.85	%	6 Month EURIBOR		155,821
	1,400,000,000	JPY	6/19/2023	BCLY	(Pay)		0.85	%	6 Month JPY LIBOR		263,480
	24,000,000	USD	6/19/2023	BCLY	Receive		1.85	%	3 Month USD LIBOR		(1,117,995	)

World Opportunity Overlay Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed         Rate			Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	21,000,000	CAD	6/19/2023	BOA	(Pay)		2.40	%	3 Month CAD BA’S	$	284,530
	15,000,000	EUR	6/19/2023	BOA	Receive		1.85	%	6 Month EURIBOR		179,794
	2,000,000,000	JPY	6/19/2023	CITI	(Pay)		0.85	%	6 Month JPY LIBOR		376,400
	16,000,000	USD	6/19/2023	CITI	Receive		1.85	%	3 Month USD LIBOR		(745,330	)
	36,000,000	CAD	6/19/2023	DB	Receive		2.40	%	3 Month CAD BA’S		(487,766	)
	15,000,000	CHF	6/19/2023	DB	Receive		1.00	%	6 Month CHF LIBOR		(313,291	)
	68,000,000	CAD	6/19/2023	GS	(Pay)		2.40	%	3 Month CAD BA’S		921,335
	9,000,000	CHF	6/19/2023	GS	Receive		1.00	%	6 Month CHF LIBOR		(187,975	)
	3,400,000,000	JPY	6/19/2023	GS	(Pay)		0.85	%	6 Month JPY LIBOR		639,880
	13,000,000	EUR	6/19/2023	JPM	Receive		1.85	%	6 Month EURIBOR		155,821
	50,000,000	USD	6/19/2023	JPM	Receive		1.85	%	3 Month USD LIBOR		(2,329,156	)
	82,000,000	CHF	6/19/2023	UBS	Receive		1.00	%	6 Month CHF LIBOR		(1,712,657	)
	82,000,000	AUD	12/18/2023	N/A(g)	(Pay)		4.00	%	6 Month AUD BBSW		400,559
	70,000,000	GBP	12/18/2023	N/A(g)	Receive		2.25	%	6 Month GBP LIBOR		(303,119	)
	865,000,000	SEK	12/18/2023	N/A(g)	(Pay)		2.50	%	3 Month SEK STIBOR		(406,496	)
	25,000,000	GBP	12/7/2046	ML	(Pay)		4.36	%	6 Month GBP LIBOR		(10,201,634	)
										$	(58,618,402	)
									Premiums to (Pay) Receive	$	2,631,501

# Receive - Fund receives fixed rate and pays variable rate.
(Pay) - Fund pays fixed rate and receives variable rate.

As of May 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

World Opportunity Overlay Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

Notes to Schedule of Investments:

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.

BBSW - Bank Bill Swap Reference Rate

CAD BA - Canadian Bankers Acceptance Rate

CDO - Collateralized Debt Obligation

CHF LIBOR - London Interbank Offered Rate denominated in Swiss Franc.

CMBS - Commercial Mortgage Backed Security

CP - Counterparty

EURIBOR - Euro Interbank Offered Rate

FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.

FSA - Insured as to the payment of principal and interest by Financial Security Assurance.

GBP LIBOR - London Interbank Offered Rate denominated in British Pounds.

JPY LIBOR - London Interbank Offered Rate denominated in Japanese Yen.

LIBOR - London Interbank Offered Rate

MBIA - Insured as to the payment of principal and interest by MBIA Insurance Corp.

OTC - Over-the-Counter

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

STIBOR - Stockholm Interbank Offered Rate

USD LIBOR - London Interbank Offered Rate denominated in United States Dollars.

XL - Insured as to the payment of principal and interest by XL Capital Assurance.

The rates shown on variable rate notes are the current interest rates at May 31, 2013, which are subject to change based on the terms of the security.

¿ These securities are primarily backed by subprime mortgages.

^(a)  All or a portion of this security has been pledged to cover collateral requirements on reverse repurchase agreements.

^(b)  Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic.

^(c)  All or a portion of this security has been pledged to cover margin requirements on futures contracts, collateral on swap agreements and forward currency contracts, and/or written options, if any.

^(d)  The rate disclosed is the 7 day net yield as of May 31, 2013.

^(e)  The rate disclosed is the 7 day net yield as of May 31, 2013. Note: Yield rounds to 0.00%.

^(f)  The rate shown represents yield-to-maturity.

^(g) Interest rate swap was cleared through the CME Group.

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.

ML - Merrill Lynch Capital Services, Inc.

MSCI - Morgan Stanley & Co. International PLC

UBS - UBS AG

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

SEK - Swedish Krona

USD - United States Dollar

As of May 31, 2013, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in the value of investments were as follows:

Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Asset Allocation Bond Fund		205,345,261		120,340		(24,686)		95,654
Core Plus Bond Fund		298,421,014		7,575,730		(25,475,119)		(17,899,389)
Currency Hedged International Bond Fund		73,294,383		3,771,275		(5,485,958)		(1,714,683)
Debt Opportunities Fund		909,145,693		34,710,705		(3,243,022)		31,467,683
Domestic Bond Fund		198,866,124		2,718,371		(321,822)		2,396,549
Emerging Country Debt Fund		2,330,371,818		238,133,353		(183,876,353)		54,257,000
Global Bond Fund		169,128,849		5,159,076		(14,183,067)		(9,023,991)
International Bond Fund		80,889,149		1,983,069		(9,779,344)		(7,796,275)
Short-Duration Collateral Fund		1,008,797,933		1,979,111		(249,163,931)		(247,184,820)
Short-Duration Collateral Share Fund		32,054,357		7,688,049		(9,620)		7,678,429
Strategic Fixed Income Fund		1,868,808,274		23,150,158		(40,011,824)		(16,861,666)
U.S. Treasury Fund		3,354,801,668		204,543		(2,394)		202,149
World Opportunity Overlay Fund		814,699,142		33,435,769		(38,617,808)		(5,182,039)

Investments in Affiliated Issuers

The Funds make investments in other GMO Trust funds (“underlying funds”). The Schedule of Investments of the underlying funds should be read in conjunction with the Funds’ Schedule of Investments.

A summary of the Funds’ transactions in the shares of other funds of the Trust during the period ended May 31, 2013 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Return of Capital*		Value, end of period
Asset Allocation Bond Fund
GMO U.S. Treasury Fund	$	500,127	$	26,703,173	$	—	$	3,173	$	—	$	—	$	27,208,354
Core Plus Bond Fund
GMO Emerging Country Debt Fund, Class IV	$	10,477,792	$	—	$	—	$	—	$	—	$	—	$	10,437,220
GMO Short-Duration Collateral Fund		28,926,511		—		—		62,881		—		1,627,466		28,555,658
GMO Special Purpose Holding Fund		50,683		—		141,703		—		—		3,986,337		—
GMO U.S. Treasury Fund		39,587,555		9,305,571		26,700,000		5,571		—		—		22,199,082
GMO World Opportunity Overlay Fund		52,142,116		—		—		—		—		—		53,360,390
Totals	$	131,184,657	$	9,305,571	$	26,841,703	$	68,452	$	—	$	5,613,803	$	114,552,350
Currency Hedged International Bond Fund
GMO Emerging Country Debt Fund, Class IV	$	3,108,722	$	—	$	—	$	—	$	—	$	—	$	3,096,684
GMO Short-Duration Collateral Fund		10,463,896		—		—		22,746		—		588,721		10,329,744
GMO Special Purpose Holding Fund		2,968		—		8,297		—		—		233,409		—
GMO U.S. Treasury Fund		6,719,605		2,001,745		—		1,757		—		—		8,724,238
GMO World Opportunity Overlay Fund		15,400,692		—		—		—		—		—		15,760,522
Totals	$	35,695,883	$	2,001,745	$	8,297	$	24,503	$	—	$	822,130	$	37,911,188
Debt Opportunities Fund
GMO U.S. Treasury Fund	$	28,007,742	$	6,766	$	—	$	6,766	$	—	$	—	$	28,025,712
Domestic Bond Fund
GMO Short-Duration Collateral Fund	$	177,756,635	$	—	$	—	$	386,411	$	—	$	10,000,958	$	175,477,704
GMO Special Purpose Holding Fund		801		—		2,238		—		—		62,970		—
GMO U.S. Treasury Fund		365,351		16,200,000		16,450,000		1,168		—		—		115,537
Totals	$	178,122,787	$	16,200,000	$	16,452,238	$	387,579	$	—	$	10,063,928	$	175,593,241

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Return of Capital*		Value, end of period
Emerging Country Debt Fund
GMO Short-Duration Collateral Fund	$	15,506,720	$	—	$	—	$	33,709	$	—	$	872,440	$	15,307,916
GMO Special Purpose Holding Fund		11,561		—		32,323		—		—		909,295		—
GMO U.S. Treasury Fund		31		—		—		—		—		—		31
GMO World Opportunity Overlay Fund		38,916,722		—		—		—		—		—		39,825,991
Totals	$	54,435,034	$	—	$	32,323	$	33,709	$	—	$	1,781,735	$	55,133,938
Global Bond Fund
GMO Emerging Country Debt Fund, Class IV	$	8,188,930	$	—	$	—	$	—	$	—	$	—	$	8,157,220
GMO Short-Duration Collateral Fund		30,705,579		—		—		66,748		—		1,727,560		30,311,918
GMO Special Purpose Holding Fund		24,753		—		69,205		—		—		1,946,842		—
GMO U.S. Treasury Fund		33,345,121		7,007,327		12,900,000		7,327		—		—		27,463,307
GMO World Opportunity Overlay Fund		37,691,995		—		—		—		—		—		38,572,650
Totals	$	109,956,378	$	7,007,327	$	12,969,205	$	74,075	$	—	$	3,674,402	$	104,505,095
International Bond Fund
GMO Emerging Country Debt Fund, Class IV	$	3,087,707	$	—	$	—	$	—	$	—	$	—	$	3,075,751
GMO Short-Duration Collateral Fund		15,524,056		—		—		33,746		—		873,416		15,325,030
GMO Special Purpose Holding Fund		20,231		—		56,564		—		—		1,591,252		—
GMO U.S. Treasury Fund		10,208,382		1,902,533		500,000		2,533		—		—		11,614,799
GMO World Opportunity Overlay Fund		15,702,723		—		—		—		—		—		16,069,609
Totals	$	44,543,099	$	1,902,533	$	556,564	$	36,279	$	—	$	2,464,668	$	46,085,189
Short-Duration Collateral Share Fund
GMO Short-Duration Collateral Fund	$	38,038,518	$	2,219,772	$	52,500	$	82,576	$	—	$	2,137,196	$	39,730,800
Strategic Fixed Income Fund
GMO Emerging Country Debt Fund, Class IV	$	71,686,956	$	—	$	—	$	—	$	—	$	—	$	71,409,369
GMO Short-Duration Collateral Fund		411,040,185		—		—		893,525		—		23,125,977		405,770,439
GMO U.S. Treasury Fund		402,640,955		62,800,000		30,700,000		98,371		—		—		434,906,244
GMO World Opportunity Overlay Fund		453,187,336		—		—		—		—		—		463,775,825
Totals	$	1,338,555,432	$	62,800,000	$	30,700,000	$	991,896	$	—	$	23,125,977	$	1,375,861,877

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2013 through May 31, 2013. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2014.

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. Management 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 sale of those securities.

Portfolio valuation

Typically, the Funds and the underlying funds value debt instruments based on the most recent quoted price supplied by a single pricing source chosen by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager 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) when it believes that the price supplied is not reliable. Although alternative prices may be available for securities held by the Funds and the underlying funds, those alternative sources are not typically part of the valuation process and do not necessarily provide greater certainty about the prices used by the Funds and the underlying funds. See the table below for information about securities for which no alternative pricing source was available. In the case of non-emerging market debt instruments with a remaining maturity of sixty days or less, the instrument may be valued at amortized cost which approximates market value, if the issuer is deemed to represent minimal credit risk.

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 the Manager 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 this 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 by the relevant clearing house. If an updated closing price for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model. Unlisted securities (including debt instruments) for which market quotations are readily available are 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. 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 of GMO Trust (the “Trustees”) or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended May 31, 2013, the Funds did not reduce the value of any of their over-the-counter (“OTC”) derivatives contracts based on the creditworthiness of their counterparties. See “Derivative financial instruments” for a further discussion on valuation of derivatives.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security. If an updated quote for a debt instrument is not available by the time that the Funds calculate their net asset value on any business day, the Funds will generally use a quoted price from a prior day to value that security.

As discussed above, certain of the Funds and 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 valued using prices for which no alternative pricing source was available.

The net aggregate direct and/or indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of May 31, 2013 is as follows:

Securities

Fund Name	Fair valued using methods determined in good faith by or at the   direction of the Trustees		Single source; no alternative pricing source     was available
Asset Allocation Bond Fund		—		—
Core Plus Bond Fund		0.5%		5.8%
Currency Hedged International Bond Fund		0.7%		2.2%
Debt Opportunities Fund		0.1%		3.9%
Domestic Bond Fund		3.2%		8.9%
Emerging Country Debt Fund		2.9%		5.4%
Global Bond Fund		0.9%		2.8%
International Bond Fund		0.9%		2.9%
Short-Duration Collateral Fund		3.6%		10.2%
Short-Duration Collateral Share Fund		3.6%		10.2%
Strategic Fixed Income Fund		0.9%		3.0%
U.S. Treasury Fund		—		—
World Opportunity Overlay Fund		—		2.1%

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 methodology 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 liquidity of investments, could cause a security to be reclassified between levels.

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the “Valuation Inputs” table below). At May 31, 2013, certain Funds directly held material Level 3 investments in asset-backed securities (Debt Opportunities Fund, Emerging Country Debt Fund, Short-Duration Collateral Fund and World Opportunity Overlay Fund), foreign government debt obligations (Emerging Country Debt Fund) and loans (Emerging Country Debt Fund). Each Fund values these investments using unadjusted prices supplied by a third party pricing source (e.g., broker quotes) as described in the Portfolio Valuation note. Additionally, Short-Duration Collateral Fund held material Level 3 U.S. government agency debt obligations subject to this standard. See the “Additional Level 3 information” table below for further information regarding the valuation techniques and unobservable inputs used to measure the fair value of these instruments. Other than as described in this paragraph, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings.

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 with a remaining maturity of greater than 60 days, 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 debt securities such as U.S. government securities with a remaining maturity of less than 60 days valued at amortized cost; certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using broker quotes; certain cleared derivatives and OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; and certain restricted securities valued at the most recent available market or quoted price.

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) even though they are 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; certain derivatives valued using third party valuation services; 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; and third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of May 31, 2013:

Valuation Inputs as of May 31, 2013

Description	Level 1		Level 2		Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	177,726,834	$	—	$	—	$	177,726,834
TOTAL DEBT OBLIGATIONS		177,726,834		—		—		177,726,834
Mutual Funds		27,208,354		—		—		27,208,354
Short-Term Investments		505,727		—		—		505,727
Total Investments		205,440,915		—		—		205,440,915
Total	$	205,440,915	$	—	$	—	$	205,440,915

Description	Level 1			Level 2			Level 3		Total
Core Plus Bond Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	20,166		$	4,611,331	$	4,631,497
Foreign Government Obligations		—			9,425,610			—		9,425,610
Corporate Debt		—			4,912,110			—		4,912,110
U.S. Government		94,369,915			18,871,219			—		113,241,134
U.S. Government Agency		—			31,096,875			—		31,096,875
TOTAL DEBT OBLIGATIONS		94,369,915			64,325,980			4,611,331		163,307,226
Mutual Funds		114,552,350			—			—		114,552,350
Options Purchased		—			650,156			—		650,156
Short-Term Investments		2,011,893			—			—		2,011,893
Total Investments		210,934,158			64,976,136			4,611,331		280,521,625
Derivatives*
Forward Currency Contracts
Foreign currency risk		—			1,961,665			—		1,961,665
Futures Contracts
Interest rate risk		941,730			—			—		941,730
Swap Agreements
Interest rate risk		—			160,813			—		160,813
Total	$	211,875,888		$	67,098,614		$	4,611,331	$	283,585,833
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign currency risk	$	—		$	(4,247,971	)	$	—	$	(4,247,971	)
Futures Contracts
Interest rate risk		(453,449	)		—			—		(453,449	)
Written Options
Foreign currency risk		—			(100,582	)		—		(100,582	)
Swap Agreements
Credit risk		—			(1,268,923	)		—		(1,268,923	)
Interest rate risk		—			(629,141	)		—		(629,141	)
Total	$	(453,449	)	$	(6,246,617	)	$	—	$	(6,700,066	)
Currency Hedged International Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	—		$	3,908,241		$	—	$	3,908,241
Foreign Government Obligations		—			28,200,403			—		28,200,403
TOTAL DEBT OBLIGATIONS		—			32,108,644			—		32,108,644
Mutual Funds		37,911,188			—			—		37,911,188
Options Purchased		—			208,375			—		208,375
Short-Term Investments		1,351,493			—			—		1,351,493
Total Investments		39,262,681			32,317,019			—		71,579,700
Derivatives*
Forward Currency Contracts
Foreign currency risk		—			705,945			—		705,945
Futures Contracts
Interest rate risk		326,087			—			—		326,087
Swap Agreements
Interest rate risk		—			55,571			—		55,571
Total	$	39,588,768		$	33,078,535		$	—	$	72,667,303
Liability Valuation Inputs
Derivatives*
Written Options
Foreign currency risk	$	—		$	(29,583	)	$	—	$	(29,583	)
Forward Currency Contracts
Foreign currency risk		—			(1,397,609	)		—		(1,397,609	)
Futures Contracts
Interest rate risk		(54,969	)		—			—		(54,969	)
Swap Agreements
Credit rate risk		—			(112,870	)		—		(112,870	)
Interest rate risk		—			(67,394	)		—		(67,394	)
Total	$	(54,969	)	$	(1,607,456	)	$	—	$	(1,662,425	)

Description	Level 1		Level 2			Level 3			Total
Debt Opportunities Fund
Asset Valuation Inputs
Debt Obligations
Asset-backed Securities	$	—	$	23,232,261		$	851,581,864		$	874,814,125
U.S. Government Agency		—		219,700			1,085,267			1,304,967
TOTAL DEBT OBLIGATIONS		—		23,451,961			852,667,131			876,119,092
Mutual Funds		28,025,712		—			—			28,025,712
Short-Term Investments		36,468,572		—			—			36,468,572
Total Investments		64,494,284		23,451,961			852,667,131			940,613,376
Total	$	64,494,284	$	23,451,961		$	852,667,131		$	940,613,376
Domestic Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	—	$	25,571,060		$	—		$	25,571,060
Total Debt Obligations		—		25,571,060			—			25,571,060
Mutual Funds		175,593,241		—			—			175,593,241
Short-Term Investments		98,372		—			—			98,372
Total Investments		175,691,613		25,571,060			—			201,262,673
Total	$	175,691,613	$	25,571,060		$	—		$	201,262,673
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	1,307,704		$	75,268,633		$	76,576,337
Corporate Debt		—		142,567,647			—			142,567,647
Foreign Government Agency		—		496,142,681			67,852,207			563,994,888
Foreign Government Obligations		—		1,062,232,172			129,703,587			1,191,935,759
Judgments		—		—			28,800,000			28,800,000
U.S. Government		44,906,250		48,573,846			—			93,480,096
TOTAL DEBT OBLIGATIONS		44,906,250		1,750,824,050			301,624,427			2,097,354,727
Loan Assignments		—		—			21,758,293			21,758,293
Loan Participations		—		—			61,572,786			61,572,786
Mutual Funds		55,133,938		—			—			55,133,938
Rights/warrants		—		—			12,076,536			12,076,536
Short-Term Investments		31,698,145		105,034,393			—			136,732,538
Total Investments		131,738,333		1,855,858,443			397,032,042			2,384,628,818
Derivatives*
Forward Currency Contracts
Foreign currency risk		—		9,552,502			—			9,552,502
Swap Agreements
Credit risk		—		120,774,175			0	**		120,774,175
Options
Credit risk		—		—			313,602			313,602
Total	$	131,738,333	$	1,986,185,120		$	397,345,644		$	2,515,269,097
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign currency risk	$	—	$	(2,733,597	)	$	—		$	(2,733,597	)
Swap Agreements
Credit risk		—		(123,552,877	)		—			(123,552,877	)
Interest rate risk		—		(1,226,075	)		—			(1,226,075	)
Options
Credit risk		—		—			(948,442	)		(948,442	)
Total	$	—	$	(127,512,549	)	$	(948,442	)	$	(128,460,991	)

Description	Level 1			Level 2			Level 3		Total
Global Bond Fund
Asset Valuation Inputs
Debt Obligations
Foreign Government Obligations	$	—		$	30,570,424		$	—	$	30,570,424
U.S. Government		9,617,970			11,616,342			—		21,234,312
TOTAL DEBT OBLIGATIONS		9,617,970			42,186,766			—		51,804,736
Mutual Funds		104,505,095			—			—		104,505,095
Options Purchased		—			441,781			—		441,781
Short-Term Investments		3,353,246			—			—		3,353,246
Total Investments		117,476,311			42,628,547			—		160,104,858
Derivatives*
Forward Currency Contracts
Foreign currency risk		—			1,620,170			—		1,620,170
Futures Contracts
Interest rate risk		88,277			—			—		88,277
Swap Agreements
Interest rate risk		—			106,963			—		106,963
Total	$	117,564,588		$	44,355,680		$	—	$	161,920,268
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign currency risk	$	—		$	(4,649,965	)	$	—	$	(4,649,965	)
Futures Contracts
Interest rate risk		(241,182	)		—			—		(241,182	)
Written Options
Foreign currency risk		—			(70,999	)		—		(70,999	)
Swap Agreements
Credit risk		—			(169,305	)		—		(169,305	)
Interest rate risk		—			(161,275	)		—		(161,275	)
Total	$	(241,182	)	$	(5,051,544	)	$	—	$	(5,292,726	)
International Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	—		$	3,573,248		$	—	$	3,573,248
Foreign Government Obligations		—			21,618,201			—		21,618,201
TOTAL DEBT OBLIGATIONS		—			25,191,449			—		25,191,449
Mutual Funds		46,085,189			—			—		46,085,189
Options Purchased		—			208,375			—		208,375
Short-Term Investments		1,607,861			—			—		1,607,861
Total Investments		47,693,050			25,399,824			—		73,092,874
Derivatives*
Forward Currency Contracts
Foreign currency risk		—			808,746			—		808,746
Futures Contracts
Interest rate risk		40,372			—			—		40,372
Swap Agreements
Interest rate risk		—			51,145			—		51,145
Total	$	47,733,422		$	26,259,715		$	—	$	73,993,137

Description	Level 1			Level 2			Level 3		Total
International Bond Fund (continued)
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign currency risk	$	—		$	(2,464,719	)	$	—	$	(2,464,719	)
Futures Contracts
Interest rate risk		(168,182	)		—			—		(168,182	)
Written Options
Foreign currency risk		—			(29,583	)		—		(29,583	)
Swap Agreements
Credit risk		—			(359,807	)		—		(359,807	)
Interest rate risk		—			(70,303	)		—		(70,303	)
Total	$	(168,182	)	$	(2,924,412	)	$	—	$	(3,092,594	)
Short-Duration Collateral Fund
Asset Valuation Inputs
Debt Obligations
Asset-backed Securities	$	—		$	58,567,280		$	652,189,304	$	710,756,584
U.S. Government Agency		—			—			27,711,043		27,711,043
TOTAL DEBT OBLIGATIONS		—			58,567,280			679,900,347		738,467,627
Short-Term Investments		23,145,486			—			—		23,145,486
Total Investments		23,145,486			58,567,280			679,900,347		761,613,113
Total	$	23,145,486		$	58,567,280		$	679,900,347	$	761,613,113
Short-Duration Collateral Share Fund
Asset Valuation Inputs
Mutual Funds	$	39,730,800		$	—		$	—	$	39,730,800
Short-Term Investments		1,986			—			—		1,986
Total Investments		39,732,786			—			—		39,732,786
Total	$	39,732,786		$	—		$	—	$	39,732,786
Strategic Fixed Income Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	326,776,355		$	79,504,778		$	—	$	406,281,133
TOTAL DEBT OBLIGATIONS		326,776,355			79,504,778			—		406,281,133
Mutual Funds		1,375,861,877			—			—		1,375,861,877
Options Purchased		—			4,881,695			—		4,881,695
Short-Term Investments		64,921,903			—			—		64,921,903
Total Investments		1,767,560,135			84,386,473			—		1,851,946,608
Derivatives*
Forward Currency Contracts
Foreign currency risk		—			14,625,047			—		14,625,047
Futures Contracts
Interest rate risk		7,079,132			—			—		7,079,132
Swap Agreements
Interest rate risk		—			10,150,218			—		10,150,218
Total	$	1,774,639,267		$	109,161,738		$	—	$	1,883,801,005

Description	Level 1			Level 2			Level 3		Total
Strategic Fixed Income Fund (continued)
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign currency risk	$	—		$	(31,704,395	)	$	—	$	(31,704,395	)
Futures Contracts
Interest rate risk		(2,717,502	)		—			—		(2,717,502	)
Written Options
Foreign currency risk		—			(745,489	)		—		(745,489	)
Swap Agreements
Interest rate risk		—			(1,833,837	)		—		(1,833,837	)
Total	$	(2,717,502	)	$	(34,283,721	)	$	—	$	(37,001,223	)
U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	1,999,974,549		$	1,355,029,268		$	—	$	3,355,003,817
Total Investments		1,999,974,549			1,355,029,268			—		3,355,003,817
Total	$	1,999,974,549		$	1,355,029,268		$	—	$	3,355,003,817
World Opportunity Overlay Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	1,702,282		$	157,652,204	$	159,354,486
Foreign Government Obligations		—			44,913,432			—		44,913,432
U.S. Government		—			410,377,855			—		410,377,855
U.S. Government Agency		—			878,800			—		878,800
TOTAL DEBT OBLIGATIONS		—			457,872,369			157,652,204		615,524,573
Options Purchased		—			12,929,167			—		12,929,167
Short-Term Investments		181,063,363			—			—		181,063,363
Total Investments		181,063,363			470,801,536			157,652,204		809,517,103
Derivatives*
Swap Agreements
Interest rate risk		—			6,058,383			—		6,058,383
Total	$	181,063,363		$	476,859,919		$	157,652,204	$	815,575,486
Liability Valuation Inputs
Derivatives*
Written Options
Foreign currency risk	$	—		$	—	**	$	—	$	—
Interest rate risk		—			(5,514,117	)		—		(5,514,117	)
Swap Agreements
Interest rate risk		—		$	(64,676,785	)	$	—	$	(64,676,785	)
Total	$	—		$	(70,190,902	)	$	—	$	(70,190,902	)

* The tables above are based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value.

** Represents the interest in derivatives that were determined to have a fair value of zero at May 31, 2013.

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.

Additional Level 3 information

The following table presents additional information about valuation techniques and inputs used for securities and derivatives, if any, that are measured at fair value and categorized within Level 3 as of May 31, 2013.

Fund Name	Description	Fair Value at May 31, 2013	Valuation Technique(s)	Unobservable Input(s)	Resulting Range of Fair Value
Short-Duration Collateral Fund	Agency for International Development Floater Bonds (Support of Morocco, Peru and Tunisia)	$27,711,043	Current LIBOR yield curve is adjusted to reflect a liquidity discount	Liquidity Discount*	Possible impact to fair value due to range of liquidity discount: $26,903,639 to $28,542,786 or approximately 0.22% of fund net assets.

* The significant unobservable input used in the fair value measurement of Short-Duration Collateral Fund’s Agency for International Development Floater holdings (Support of Morocco, Peru and Tunisia) is the liquidity discount, expressed as a premium ranging from 75 – 175 basis points (currently 125 basis points) over the current yield curve. Increases (decreases) in this input would result in a lower (higher) fair value measurement.

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ summary of levels above.

For all Funds for the period ended May 31, 2013, there were no material transfers between Level 1 and Level 2.

The following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2013				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, 2013				Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2013
Core Plus Bond Fund
Debt Obligations
Asset Backed Securities		$	4,921,731			$	—		$	(605,598	)		$	65,415		$	40,719			$	189,064			$	—		$	—		$	4,611,331			$	231,101
Total		$	4,921,731			$	—		$	(605,598	)#		$	65,415		$	40,719			$	189,064			$	—		$	—		$	4,611,331			$	231,101
Debt Opportunities Fund
Debt Obligations
Asset-Backed Securities		$	708,648,766			$	178,631,335		$	(46,588,975	)		$	3,696,808		$	(190,587	)		$	7,384,517			$	—		$	—		$	851,581,864			$	7,254,636
U.S. Government Agency			1,203,773				—			(121,265	)			4,233			—				(1,474	)			—			—			1,085,267				(1,474	)
Total		$	709,852,539			$	178,631,335		$	(46,710,240	)##		$	3,701,041		$	(190,587	)		$	7,383,043			$	—		$	—		$	852,667,131			$	7,253,162
Emerging Country Debt Fund
Debt Obligations
Asset-Backed Securities		$	78,333,335			$	—		$	(5,866,523	)		$	131,438		$	(4,552,902	)		$	7,223,286			$	—		$	—		$	75,268,634			$	2,242,262
Foreign Government Agency			23,627,005				55,129,686			(7,757,219	)			102,610			(648,749	)			(2,601,126	)			—			—			67,852,207				(3,216,545	)
Foreign Government Obligations			129,375,029				—			(32,953	)			981,566			—				(620,055	)			—			—			129,703,587				(620,055	)
Judgments			28,800,000				—			—				191,055			—				(191,055	)			—			—			28,800,000				(191,055	)
Total Debt Obligations			260,135,369				55,129,686			(13,656,695	)			1,406,669			(5,201,651	)			3,811,050				—			—			301,624,428				(1,785,393	)
Loan Assignments			24,325,626				—			(2,820,160	)			217,244			25,122				10,461				—			—			21,758,293				34,895
Loan Participations			68,578,286				—			(2,608,307	)			368,743			395,722				(5,161,658	)			—			—			61,572,786				(5,038,944	)
Rights and Warrants			11,013,004				—			—				—			—				1,063,532				—			—			12,076,536				1,063,532
Total Investments			364,052,285				55,129,686			(19,085,162	)###			1,992,656			(4,780,807	)			(276,615	)			—			—			397,032,043				(5,725,910	)
Derivatives
Swap Agreements			0	**			—			—				—			—				—				—			—			0	**			—
Options			(519,306	)			—			—				—			—				(115,534	)						—			(634,840	)			(115,534	)
Total		$	363,532,979			$	55,129,686		$	(19,085,162	)		$	1,992,656		$	(4,780,807	)		$	(392,149	)		$	—		$	—		$	396,397,203			$	(5,841,444	)

	Balances as of February 28, 2013		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, 2013		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2013
Short-Duration Collateral Fund
Debt Obligations
Asset-Backed Securities	$	662,203,439	$	—	$	(42,815,945	)	$	(277,092	)	$	(400	)	$	33,079,303		$	—	$	—	$	652,189,305	$	33,088,411
U.S. Government Agency		28,128,653		—		(438,341	)		6,693			—			14,038			—		—		27,711,043		14,038
Total	$	690,332,092	$	—	$	(43,254,286	)####	$	(270,399	)	$	(400	)	$	33,093,341		$	—	$	—	$	679,900,348	$	33,102,449
World Opportunity Overlay Fund
Debt Obligations
Asset-Backed
Securities	$	158,075,294	$	—	$	(7,611,053	)	$	(241,346	)	$	(79	)	$	7,429,388		$	—	$	—	$	157,652,204	$	7,430,643
Options Purchsed		14,676,864		—		(14,275,200	)		—			5,088,000		$	(5,489,664	)		—		—		—		—
Total	$	172,752,158	$	—	$	(21,886,253	)#####	$	(241,346	)	$	5,087,921		$	1,939,724		$	—	$	—	$	157,652,204	$	7,430,643

* The Funds account for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period.

** Represents the interest in derivatives that were determined to have a fair value of zero at May 31, 2013.

# Includes $253,649 of proceeds received from paydowns.

## Includes $31,351,715 of proceeds received from paydowns.

### Includes $6,133,723 of proceeds received from paydowns.

#### Includes $30,785,446 of proceeds received from paydowns.

##### Includes $6,433,458 of proceeds received from paydowns.

The net aggregate direct and/or indirect exposure to investments in securities and derivative financial instruments using Level 3 inputs (based on the Funds’ net assets) as of May 31, 2013 were as follows:

Fund Name	Level 3 securities			Level 3 derivatives
Asset Allocation Bond Fund		—			—
Core Plus Bond Fund		17.9	%		(0.1)	%
Currency Hedged International Bond Fund		18.6	%		(0.1)	%
Debt Opportunities Fund		92.4	%		—
Domestic Bond Fund		77.8	%		—
Emerging Country Debt Fund		17.4	%		(0.1)	%
Global Bond Fund		23.6	%		(0.1)	%
International Bond Fund		25.0	%		(0.1)	%
Short-Duration Collateral Fund		89.2	%		—
Short-Duration Collateral Share Fund		89.3	%		—
Strategic Fixed Income Fund		25.9	%		(0.1)	%
U.S. Treasury Fund		—			—
World Opportunity Overlay Fund		22.3	%		—

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. Dollars at the close of regular trading on the New York Stock Exchange (“NYSE”), generally at 4:00 pm Boston time. Income and expenses denominated in foreign currencies are typically translated into U.S. Dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Loan agreements and participations

The Funds (except Short-Duration Collateral Fund, Short-Duration Collateral Share Fund and U.S. Treasury Fund) may invest in loans to corporate, governmental or other borrowers. A Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. When a Fund purchases assignments of loans, it generally acquires direct rights against the borrower. Loan agreements outstanding at the end of the period if any, are listed in each applicable Fund’s Schedule of Investments.

Repurchase agreements

The Funds may enter into repurchase agreements. Under a repurchase agreement a Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. That Fund, through its custodian, takes possession of securities it acquired under the repurchase agreement. The value of the securities acquired is required by contract to be marked to market daily and additional collateral is required to be transferred so that the market value is at least equal to the amount owed to that Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency proceedings and/or the value of the securities subject to the repurchase agreement is insufficient, that Fund’s recovery of cash from the seller may be delayed and, even if that Fund is able to dispose of the securities, the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. Repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Reverse repurchase agreements

The Funds may enter into reverse repurchase agreements. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes that Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. Reverse repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments. As of May 31, 2013, the Funds listed below had entered into reverse repurchase agreements.

Fund Name	Received from reverse repurchase agreements ($)		Market value of securities plus accrued interest ($)
World Opportunity Overlay Fund		44,929,026		44,988,284

Inflation-indexed bonds

The Funds (except U.S. Treasury Fund) may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that reflects inflation in the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.

The value of inflation-indexed bonds is expected to change in response to changes in real interest rates. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e., stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e., nominal interest rate minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. There can be no assurance, however, that the value of inflation-indexed bonds will be directly correlated to changes in nominal interest rates, and short term increases in inflation may lead to a decline in their value. Coupon payments received by a Fund from inflation-indexed bonds are included in the Funds’ gross income for the period in which they accrue. In addition, any increase or decrease in the principal amount of an inflation-indexed bond will increase or decrease ordinary income to the Fund, even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Delayed delivery commitments and when-issued securities

The Funds (except U.S. Treasury Fund) may purchase or sell securities on a when-issued or forward commitment basis. Payment and delivery may take place a month or more after the date of the transaction. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The purchase of when-issued or delayed delivery securities can cause a Fund’s portfolio to be leveraged. Delayed delivery commitments outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Other matters

Emerging Country Debt Fund

In December 2005, ECDF entered into litigation against the Government of Argentina (“Argentina”) relating to Argentina’s failure to make payments on sovereign debt held by ECDF. A judgment was awarded in ECDF’s favor on September 24, 2007; however, ECDF’s ability to collect on this judgment remains uncertain, and ECDF is not able to transfer or sell the judgment without court consent. In late May 2010, Argentina commenced a public debt exchange in which certain defaulted debts, including legal judgments on those debts, were eligible to be exchanged for currently performing Argentina Bonds. The eligible portion of ECDF’s judgment was tendered in the debt exchange and ECDF received new bonds in June 2010. The remaining portion of ECDF’s judgment, which continues to be valued according to ECDF’s valuation policy, represented 1.2% of the net assets of ECDF as of May 31, 2013.

Peru Trust, Series 1998 I-P; Peru Trust, Series 97-I-P; and Peru Trust II, Series 98-A LB (the “Peru Trusts”) held by ECDF are currently in default. The Peru Trusts hold obligations of Istituto per i Servizi Assicurativi e il Credito all’Espotazione (“SACE”), the Italian Agency for Insurance of Export Credits. The obligations are payable only to the extent SACE recovers amounts from the Government of Peru (“Peru”) in relation to certain export insurance policies. Peru fully paid all of its obligations to SACE on August 24, 2009; however, SACE refused to make the corresponding payments to the Peru Trusts. Subsequent litigation between the Peru Trusts and SACE was commenced in Italy with respect to the outstanding payments, and, on May 8, 2013, the court awarded a judgment in favor of the Peru Trusts. In June 2013, SACE delivered the required payments in satisfaction of the judgment. See “Subsequent events” below for more information. The Peru Trusts, which continue to be valued according to ECDF’s valuation policy, represented 0.2% of the net assets of ECDF as of May 31, 2013.

Investment and other risks

The following chart identifies selected risks of associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.

Asset Allocation Bond Fund

Core Plus Bond Fund

Currency Hedged International Bond Fund

Debt Oppor- tunities Fund

Domestic Bond Fund

Emerging Country Debt Fund

Global Bond Fund

International Bond Fund

Short-Duration Collateral Fund

Short-Duration Collateral Share Fund

Strategic Fixed Income Fund

U.S. Treasury Fund

World Opportunity Overlay Fund

Market Risk – Fixed Income Investments Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Market Risk – Asset-Backed Securities Risk

X

X

X

X

X

X

X

X

X

X

X

X

Credit Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Liquidity Risk

X

X

X

X

X

X

X

X

X

X

X

X

Derivatives Risk

X

X

X

X

X

X

X

X

X

X

X

X

Non-U.S. Investment Risk

X

X

X

X

X

X

X

X

X

X

X

Currency Risk

X

X

X

X

X

X

X

X

X

Focused Investment Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Leveraging Risk

X

X

X

X

X

X

X

X

X

X

Counterparty Risk

X

X

X

X

X

X

X

X

X

X

X

X

Market Disruption and Geopolitical Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Large Shareholder Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Management and Operational Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Fund of Funds Risk

X

X

X

X

X

X

X

X

X

X

Non-Diversified Funds

X

X

X

X

X

X

X

X

X

X

X

X

Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.

Each Fund that invests in other GMO Funds and other investment companies is exposed to the risks to which the underlying funds in which it invests are exposed. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and, references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through other GMO Funds and other investment companies.

An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market value of their holdings will decline. Market risks include:

Fixed Income Investments — Funds that invest in fixed income securities (including bonds, notes, bills, synthetic debt instruments and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to a number of market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity stemming from the market’s uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market price of fixed income investments with complex structures, such as asset-backed securities and sovereign and quasi-sovereign debt instruments, can decline due to market uncertainty about their credit quality and the reliability of their payment streams. Some fixed income securities also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the fixed income security. When interest rates rise, these securities also may be repaid more slowly than anticipated, which could cause the market price of the Fund’s investment to decrease. During periods of economic uncertainty and change, the market price of a Fund’s investments in below investment grade securities (commonly referred to as “junk bonds”) may be particularly volatile. Often junk bonds are subject to greater sensitivity to interest rate and economic changes than higher rated bonds and can be more difficult to value, exposing a Fund to the risk that the price of which it sells them will be less than the value placed on them when they were held by the Fund. See “Credit Risk” and “Liquidity Risk” below for more information about these risks.

A risk run by each Fund with a significant investment in fixed income securities is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases in interest rates (also called “interest rate risk”) is generally greater for Funds investing in fixed income securities with longer durations and in some cases duration can increase.

The extent to which a fixed income security’s price changes with changes in interest rates is referred to as interest rate duration, which can be measured mathematically or empirically. A longer-maturity investment generally has longer interest rate duration because the investment’s fixed rate is locked in for a longer period of time. Floating-rate or adjustable-rate securities, however, generally have shorter interest rate durations because their interest rates are not fixed but rather float up and down as interest rates change. Conversely, inverse floating-rate securities have durations that move in the opposite direction from short-term interest rates and thus tend to underperform fixed rate securities when interest rates rise but outperform them when interest rates decline. Fixed income securities paying no interest, such as zero coupon and principal-only securities, create additional interest rate risk.

The market price of inflation-indexed bonds (including Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”)) normally changes when real interest rates change. Their value typically will decline during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increase during periods of declining real interest rates. Real interest rates may not fluctuate in the same manner as nominal interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities. The market price of a Fund’s inflation-indexed bonds, however, will not necessarily change in the same proportion as changes in nominal interest rates, and short term increases in inflation may lead to a decline in their price. Moreover, if the index measuring inflation falls, the principal value of inflation-indexed bond investments will be adjusted downward, and, consequently, the interest they pay (calculated with respect to a smaller principal amount) will be reduced. In the case of TIPS, the U.S. government guarantees the repayment of the original bond principal upon maturity (as adjusted for inflation).

Generally, when interest rates on short term U.S. Treasury obligations equal or approach zero, a Fund that invests a substantial portion of its assets in U.S. Treasury obligations, such as U.S. Treasury Fund, will have a negative return unless the Manager waives or reduces its management fees.

Market risk for fixed income securities denominated in non-U.S. currencies is also affected by currency risk. See “Currency Risk” below.

Asset-Backed Securities — Investments in asset-backed securities not only are subject to all of the market risks described above for fixed income securities but to other market risks as well.

Funds investing in asset-backed securities are exposed to the risk that these securities experience severe credit downgrades, illiquidity, defaults, and declines in market value. These risks are particularly acute during periods of adverse market conditions, such as those that occurred in 2008. Asset-backed securities may be backed by many types of assets, including pools of residential and commercial mortgages, automobile loans, educational loans, home equity loans, and credit-card receivables. They also may be backed by pools of corporate or sovereign bonds, bank loans made to corporations, or a combination of these bonds and loans (commonly referred to as “collateralized debt obligations” or “collateralized loan obligations”) and by the fees earned by service providers.

As described under “Market Risk — Fixed Income Investments Risk” above, the market price of fixed income investments with complex structures, such as asset-backed securities, can decline due to a number of factors, including market uncertainty about their credit quality and the reliability of their payment streams. Payment of interest on asset-backed securities and repayment of principal largely depend on the cash flow generated by the assets backing the securities, as well as the deal structure (e.g., determination as to the amount of underlying assets or other support needed to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support and the credit quality of the credit-support provider, if any, and the reliability of various other service providers with access to the payment stream. A problem in any one of these areas can lead to a reduction in the payment stream the Manager expected a Fund to receive at the time the Fund purchased the asset-backed security. Asset-backed securities involve risk of loss of principal if obligors of the

underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities may have. Asset-backed securities backed by sub-prime mortgage loans, in particular, may cause a Fund to suffer significantly greater declines in value due to defaults, as sub-prime mortgage loans are typically made to less creditworthy borrowers and thus have a higher risk of default than conventional mortgage loans. The obligations of issuers (and obligors of asset-backed securities) also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. As of the date of this report, many asset-backed securities owned by the Funds that were once rated investment grade are now rated below investment grade. See “Credit Risk” below for more information about credit risk.

With the deterioration of worldwide economic and liquidity conditions that occurred and became acute in 2008, the markets for asset-backed securities became fractured, and uncertainty about the creditworthiness of those securities (and underlying assets) caused credit spreads (the difference between yields on asset-backed securities and U.S. Government securities) to widen dramatically. Concurrently, systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions reduced the ability of financial institutions to make markets in many fixed income securities. These events reduced liquidity and contributed to substantial declines in the market prices of asset-backed and other fixed income securities. These conditions may occur again. Also, government actions and proposals affecting the terms of underlying home and consumer loans, changes in demand for products (e.g., automobiles) financed by those loans, and the inability of borrowers to refinance existing loans (e.g., sub-prime mortgages) have had, and may continue to have, adverse valuation and liquidity effects on asset-backed securities.

The market price of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying assets. The insolvency of an entity that generated the assets underlying an asset-backed security is likely to result in a decline in the market price of that security, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the asset-backed security. When interest rates rise, these obligations also may be repaid more slowly than anticipated, which could cause the market price of the Fund’s investment to decrease.

In addition, the existence of insurance on an asset-based security does not guarantee that the principal and/or interest will be paid because the insurer could default on its obligations. In recent years, a significant number of asset-backed security insurers have defaulted on their obligations.

The risk of investing in asset-backed securities has increased since the deterioration in worldwide economic and liquidity conditions referred to above because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated. See “Focused Investment Risk” below for more information about risks of investing in correlated sectors. A single financial institution may serve as a trustee for many asset-backed securities. As a result, a disruption in that institution’s business may have a material impact on many investments.

• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer’s, guarantor’s or obligor’s failure to meet its payment obligations or the downgrading of its credit rating. This risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

All fixed income securities are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending upon whether the issuer is a corporation or U.S. or non-U.S. government (or sub-division or instrumentality) and whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the life of a fixed income security. U.S. government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the United States, supported by the ability to borrow from the U.S. Treasury, supported only by the credit of the issuing U.S. government agency, instrumentality, or corporation, or otherwise supported by the United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign debt involve the risk that the governmental entities responsible for repayment may be unable or unwilling to pay interest and repay principal when due. A governmental entity’s willingness or ability to pay interest and repay principal in a timely manner may be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. In addition, payment of principal of fixed income securities guaranteed by the U.S. government can be delayed because the guarantee generally only requires payment upon maturity of the securities. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer may default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging countries.

In some cases, the credit risk of a fixed income security is reflected in its credit ratings, and a Fund holding such a security is subject to the risk that its rating will be downgraded.

Securities issued by the U.S. Treasury historically have presented minimal credit risk. However, recent events have led to a downgrade in the long-term U.S. credit rating by at least one major rating agency and have introduced greater uncertainty about the ability of the U.S. to repay its obligations. A further credit rating downgrade or a U.S. credit default could decrease the value and increase the volatility of a Fund’s investments.

As described under “Market Risk — Asset-Backed Securities” above, asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors, as described in “Market Risk — Asset-Backed Securities” above.

The obligations of issuers also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives Risk” below for more information regarding risks associated with the use of credit default swaps.

The extent to which the market price of a fixed income security changes in response to a credit event depends on a number of factors and can be difficult to predict. For example, floating rate securities may have final maturities of ten or more years, but their effective durations will tend to be very short. If the issuer of floating rate securities experiences an adverse credit event, or a change occurs in its perceived creditworthiness, the market price of its securities could decline much more than would be predicted by a change in their yield relative to their effective duration.

Credit risk is particularly pronounced for below investment grade securities (commonly referred to as “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many asset-backed securities also are below investment grade. Below investment grade securities have speculative characteristics, often are less liquid than higher quality securities, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. In the event of default of sovereign debt, the Funds may be unable to pursue legal action against the sovereign issuer.

• LIQUIDITY RISK. Liquidity risk is the risk that low trading volume, lack of a market maker, large position size or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits or prevents a Fund from selling particular securities or unwinding derivative positions at desirable prices. In addition to these risks, a Fund is exposed to liquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). All of the Funds are subject to liquidity risk, but those with the greatest risk have principal investment strategies that involve investment in asset-backed securities, emerging country debt securities, securities of companies with smaller market capitalizations or smaller total float-adjusted market capitalizations and emerging market securities. These types of investments can be difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the value placed on them when they were held by the Fund. In addition, Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”) have exhibited periods of greatly reduced liquidity when disruptions in fixed income markets have occurred, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when market prices decline generally.

All of the Funds with benchmarks may buy securities that are less liquid than those in their benchmarks.

• DERIVATIVES RISK. The Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates or indices. Derivatives involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. Derivatives include futures, non-U.S. currency contracts, swap agreements, reverse repurchase agreements and other OTC contracts. Derivatives may relate to securities, interest rates, currencies or currency exchange rates, inflation rates, commodities and indices.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks of investing directly in securities and other more traditional assets. In particular, a Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed only with the consent of the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed to it under OTC derivatives contracts, or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign currency contracts), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs the risk of having limited recourse if the counterparty defaults. Even when obligations are required by contract to be collateralized, a Fund often will not receive the collateral the day the collateral is called for. The Funds may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Funds. Derivatives risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. In addition, during those periods, a Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives in which it has invested.

Derivatives also present other risks described in this section, including market risk, liquidity risk, currency risk, credit risk and counterparty risk. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values a Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of a Fund’s net asset value.

A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures, potentially resulting in losses for the Fund.

Swap agreements and other OTC derivatives are highly susceptible to liquidity risk (see “Liquidity Risk” above) and counterparty risk (see “Counterparty Risk” below), and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk” below.

A Fund’s use of derivatives may be subject to one or more special tax rules and could generate additional taxable income for shareholders.

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. Because the legislation leaves much to rule making (and many of the rules are not yet final), its ultimate impact remains unclear.

Under recently adopted rules and regulations, transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds will hold cleared derivatives through accounts at clearing members. In cleared derivatives transactions, the Funds will make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.

In many ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements. For example, the Funds may be required to provide more margin for cleared derivatives transactions than for bilateral derivatives transactions. Also, in contrast to a bilateral derivatives transaction, following a period of notice to a Fund, a clearing member generally can require termination of an existing cleared derivatives transaction at any time or an increase in margin requirements above the margin that the clearing member required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions or to terminate those transactions at any time. Any increase in margin requirements or termination of existing cleared derivatives transactions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member, because (as described under “Counterparty Risk” below) margin for cleared derivatives transactions in excess of a clearing house’s margin requirements typically is held by the clearing member. Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of the transaction, including loss of an increase in the value of the transaction and/or loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member and typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent.

These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund, increasing margin or capital requirements, or otherwise limiting liquidity or increasing transaction costs. These regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that the new clearing mechanisms will achieve that result, and in the meantime, as noted above, central clearing exposes the Funds to new kinds of risks and costs.

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to additional and more varied risks than Funds whose investments are limited to U.S. securities. The securities markets of many non-U.S. countries include securities of only a limited number of companies in a limited number of industries. As a result, the market prices of many of those securities fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to the same degree of regulation as U.S. issuers. Reporting, accounting, custody and auditing standards of non-U.S. countries differ, in some cases significantly, from U.S. standards. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs. In addition, some jurisdictions may limit the Fund’s ability to profit from short term trading (as defined in the relevant jurisdiction).

A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments and (iii) the repatriation of proceeds generated from the sale of those investments. A Fund may seek to collect a refund in respect of taxes paid to a non-U.S. country. In those cases, all or a portion of those taxes could ultimately be recovered by a Fund. However, the recovery process could take several years and the Fund will incur expenses in its efforts to collect the refund, which will reduce the benefit of any recovery. A Fund’s efforts to collect a refund may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. A Fund’s decision to pursue a refund is in its sole discretion, and it may decide not to pursue a refund, even if eligible.

Also, investing in non-U.S. securities exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments. In some non-U.S. markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities

prior to receipt) expose a Fund to credit and other risks it does not have in the U.S. with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents, and issuers. Fluctuations in non-U.S. currency exchange rates also will affect the market value of a Fund’s non-U.S. investments (see “Currency Risk” below).

U.S. investors are required to maintain a license to invest directly in many non-U.S. markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license is terminated or suspended, to obtain exposure to the market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of the Manager’s clients may preclude other clients, including a Fund, from obtaining a similar license, and this could limit the Fund’s investment opportunities. In addition, the activities of another of the Manager’s clients could cause the suspension or revocation of a license and thereby limit the Funds’ investment opportunities.

Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of assets of issuers of securities in a Fund’s portfolio; greater governmental involvement in the economy; less governmental supervision and regulation of the securities markets and participants in those markets; controls on non-U.S. investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e., a market freeze); unavailability of currency hedging techniques; differences in, or lack of, auditing and financial reporting standards and resulting unavailability of material information about issuers; slower clearance and settlement; difficulties in obtaining and/or enforcing legal judgments; and significantly smaller market capitalizations of issuers.

• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the non-U.S. currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position, will decline in value relative to the U.S. dollar. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss both on the hedging instrument and on the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons, including changes in supply and demand in the currency exchange markets, trade balances, actual or perceived changes in interest rates, differences in relative values of similar assets in different currencies, long-term opportunities for investment and capital appreciation, intervention (or the failure to intervene) by governments, central banks or supranational agencies such as the International Monetary Fund, and currency or exchange controls or other political and economic developments in the U.S. or abroad. See “Market Disruption and Geopolitical Risk” below.

Many of the Funds use derivatives to take overweighted or underweighted currency positions relative to the currency exposure of their portfolios. As a result, their currency exposure may differ (in some cases significantly) from the currency exposure of their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money both on its holdings of a particular currency and on the derivative. See also “Non-U.S. Investment Risk” above.

Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars, in which case the Manager may decide to purchase U.S. dollars in a parallel market in which the exchange rate is materially and adversely different. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.

Derivative transactions in non-U.S. currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described below under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk” below).

• FOCUSED INVESTMENT RISK. Funds whose investments are focused in particular countries, regions, sectors, companies or industries with high positive correlations to one another (e.g., different industries within broad sectors, such as technology or financial services) or in securities from issuers with high positive correlations to one another (such as GMO U.S. Treasury Fund’s investments in securities issued by the U.S. Treasury and other fixed income securities that are backed by the full faith and credit of the U.S. government) are subject to greater overall risk than funds whose investments are more diversified. A Fund that invests in the securities of a limited number of issuers is particularly exposed to adverse developments affecting those issuers, and a decline in the market price of a particular security held by the Fund is likely to affect the Fund’s performance more than if the Fund invested in the securities of a larger number of issuers.

A Fund that focuses its investments in a particular type of security or sector, or in securities of companies in a particular industry, is vulnerable to events affecting those securities, sectors, or companies. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments.

Similarly, Funds having a significant portion of their assets in investments tied economically to (or related to) a particular geographic region, non-U.S. country (e.g., Taiwan) or particular market (e.g., emerging markets) have more exposure to regional and country economic risks than funds making non-U.S. investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in currency valuation in one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk” above.

• LEVERAGING RISK. The use of reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives have the potential for unlimited loss, regardless of the size of the initial investment. A Fund’s use of reverse repurchase agreements also subjects it to interest costs based on the difference between the sale and repurchase price of the security involved. A Fund’s portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.

A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.

• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or other OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise hold investments it would prefer to sell, resulting in losses for the Fund. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties maintain a specific rating by a nationally recognized rating organization to be considered for potential transactions. To the extent that GMO’s view with respect to a particular counterparty changes (whether due to external events or otherwise), existing transactions are not required to be terminated or modified. Additionally, new transactions may be entered into with a counterparty that is no longer considered eligible if the transaction is primarily designed to reduce the overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lesser notional amount). Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies, but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time that events may occur that prevent settlement. Counterparty risk also is greater when a Fund has concentrated its derivatives with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Significant exposure to a single counterparty increases a Fund’s counterparty risk. Funds that use swap agreements are subject, in particular, to the creditworthiness of the counterparties because some types of swap agreements have durations longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be promptly posted as required.

The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds.

Counterparty risk with respect to derivatives will be affected by new rules and regulations affecting the derivatives market. As described under “Derivatives Risk” above, some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position, rather than the credit risk of its original counterparty to the derivatives transaction. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. A clearing member is obligated by contract and by applicable regulation to segregate all funds received from customers with respect to cleared derivatives transactions from the clearing member’s proprietary assets. However, all funds and other property received by a clearing member from its customers with respect to cleared derivatives are generally held by the clearing member on a commingled basis in an omnibus account, and the clearing member may invest those funds in certain instruments permitted under the applicable regulations. Therefore, a Fund might not be fully protected in the event of the bankruptcy of a Fund’s clearing member because the Fund would be limited to recovering only a pro rata share of all available funds segregated on behalf of the clearing member’s customers for a relevant account class. Also, the clearing member is required to transfer to the clearing house the amount of margin required by the clearing house for cleared derivatives, which amounts are generally held in an omnibus account at the clearing house for all customers of the clearing member. Regulations promulgated by the Commodities Futures Trading Commission require that the clearing member notify the clearing house of the initial margin provided by the clearing member to the clearing house that is attributable to each customer. However, if the clearing member does not accurately report the Funds’ initial margin, the Funds are subject to the risk that a clearing house will use a Fund’s assets held in an omnibus account at the clearing house to satisfy payment obligations of a defaulting customer of the clearing member to the clearing house. In addition, clearing members generally provide the clearing house the net amount of variation margin required for cleared swaps for all of its customers in the aggregate, rather than individually for each customer. The Funds are therefore subject to the risk that a clearing house will not make variation margin payments owed to a Fund if another customer of the clearing member has suffered a loss and is in default, and the risk that a Fund will be required to provide additional variation margin to the clearing house before the clearing house

will move the Fund’s cleared derivatives transactions to another clearing member. In addition, if a clearing member does not comply with the applicable regulations or its agreement with the Funds, or in the event of fraud or misappropriation of customer assets by a clearing member, a Fund could have only an unsecured creditor claim in an insolvency of the clearing member with respect to the margin held by the clearing member.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events will disrupt securities markets, adversely affect global economies and markets and thereby decrease the value of the Funds’ investments. The wars in Iraq and Afghanistan have had a substantial effect on the economies and securities markets of the U.S. and other countries. Terrorism in the U.S. and around the world has had a similar global impact and has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation (e.g., the potential manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trade practices, which could disrupt the orderly functioning of these markets or adversely affect the value of investments traded in such markets, including investments of the Funds. While the U.S. government has honored its credit obligations continuously for the last 200 years, it remains possible that the U.S. could default on its obligations. While it is impossible to predict the consequences of such an unprecedented event, it is likely that a default by the U.S. would be highly disruptive to the U.S. and global securities markets and could significantly impair the value of the Funds’ investments. Similarly, political events within the U.S. at times have resulted, and may in the future result, in a shutdown of government services, which could negatively affect the U.S. economy, decrease the value of many Fund investments, and increase uncertainty in or impair the operation of the U.S. or other securities markets. The uncertainty surrounding the sovereign debt of a significant number of European Union countries, as well as the continued existence of the European Union itself, have disrupted and may continue to disrupt markets in the U.S. and around the world. If one or more countries leave the European Union or the European Union dissolves, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also could negatively impact the Funds. War, terrorism, economic uncertainty and related geopolitical events have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment and other factors affecting the value of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investments and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs for a period of time and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis. To the extent that a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events could have a disproportionate impact on the Fund.

• LARGE SHAREHOLDER RISK. To the extent that a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance if it is forced to sell portfolio securities to raise the cash needed to satisfy the redemption request. In addition, GMO Funds and other accounts over which GMO has investment discretion that invest in the Funds are not subject to restrictions on the frequency of trading of Fund shares. Asset Allocation Funds and separate accounts managed by the Manager for its clients hold substantial percentages of the shares of many Funds, and asset allocation decisions by the Manager may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) at times when it would not otherwise do so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, accelerate the realization of taxable income to shareholders. They also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any). In addition, each Fund that invests in other GMO Funds subject to large shareholder risk is indirectly subject to this risk.

• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on the Manager’s ability to achieve its investment objective. Each Fund runs the risk that the Manager’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. The Manager also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.

For some Funds the Manager’s portfolio managers use quantitative analyses and models. Any imperfections, errors or limitations in those analyses and models could affect the ability of the portfolio managers to implement a Fund’s strategies. By necessity, these analyses and models make simplifying assumptions that limit their effectiveness. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate or may not include the most recent information about a company or a security. The Funds also run the risk that GMO’s assessment of an investment may be wrong. There can be no assurance that key personnel of the Manager will continue to be employed by the Manager. The loss of their services could have an adverse impact on the Manager’s ability to achieve the Funds’ investment objectives.

The Funds also are subject to the risk of loss as a result of other services provided by the Manager and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error and system failures by a service provider. For example, trading delays or errors (both human and systematic) could prevent a Fund from benefiting from potential investment gains or avoiding losses on the security. The Manager is not contractually liable to the Funds for losses associated with operational risk absent the Manager’s willful misfeasance, bad faith, gross negligence or reckless disregard of its contractual obligations to provide services to the Funds. Other Fund service providers also have limitations on their liability to the Funds for losses resulting from their errors.

• FUND OF FUNDS RISK AND RELATED CONSIDERATIONS. Funds that invest in shares of other investment companies, including other GMO Funds, money market funds and Exchange-Traded Funds (“ ETFs”) (for purposes of this risk disclosure, “underlying Funds”), are exposed to the risk that the underlying Funds will not perform as expected.

Because a Fund bears the fees and expenses of the underlying Funds in which it invests (absent reimbursement of those expenses), the Fund will incur additional expenses when investing in underlying Funds. In addition, total Fund expenses will increase if a Fund makes a new or further investment in underlying Funds with higher fees or expenses than the average fees and expenses of the underlying Funds then in the Fund’s portfolio.

The Funds also are indirectly exposed to all of the risks of an investment in the underlying Funds. Funds that invest in shares of other GMO Funds also are subject indirectly to Large Shareholder Risk because those other GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk” above.

Investments in ETFs involve the risk that the ETF’s performance may not track the performance of the index the ETF is designed to track. Unlike the index, an ETF incurs administrative expenses and transaction costs in trading securities. In addition, the timing and magnitude of cash inflows and outflows from and to investors buying and redeeming shares in the ETF could create cash balances that cause the ETF’s performance to deviate from the index (which remains “fully invested” at all times). Performance of an ETF and the index it is designed to track also may diverge because the composition of the index and the securities held by the ETF may occasionally differ. In addition, ETFs often use derivatives to track the performance of the relevant index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed above.

NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the Investment Company Act of 1940, as amended (the “1940 Act”). This means they are allowed to invest in the securities of a relatively small number of issuers and/or non-U.S. currencies. As a result, they may be subject to greater credit, market and other risks, and poor performance by a single issuer may have a greater impact on their performance, than if they were “diversified.”

All of the Funds (except U.S. Treasury Fund) are not diversified investment companies under the 1940 Act. In addition, each of the Funds (other than U.S. Treasury Fund) may invest in shares of one or more other GMO Funds that are not diversified investment companies under the 1940 Act.

Temporary Defensive Positions. If deemed prudent by the Manager, the Funds (other than Domestic Bond Fund, Short-Duration Collateral Fund, Short-Duration Collateral Share Fund and U.S. Treasury Fund) may take temporary defensive positions. Many of the Funds have previously taken temporary defensive positions and have exercised the right to honor redemption requests in-kind.

To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.

Derivative financial instruments

Information in this section is applicable for all Funds.

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of the Funds’ portfolios. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap agreements, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Funds may use derivatives as substitutes for direct investment in securities or other assets. In particular, the Funds may use swaps or other derivatives on an index, a single security, or a basket of securities to gain investment exposures (e.g., by selling protection under a credit default swap). The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap agreements and options) to gain exposure to a given currency.

The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). For example, a Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer. A Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For instance, the Manager may alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed versus variable rates and shorter duration versus longer duration exposure. In adjusting their investment exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

Each of the Funds is not limited in its use of derivatives or in the absolute face value of its derivative positions. As a result of their derivative positions, the Funds will typically have (or may have, in the case of Domestic Bond Fund) gross investment exposures in excess of its net assets (i.e., the Fund will be (or may be, in the case of Domestic Bond Fund) leveraged) and therefore are subject to heightened risk of loss. The Funds’ (other than Domestic Bond Fund) performance can depend substantially, if not primarily, on derivative reference assets that the Funds do not own.

Certain derivatives transactions used by the Funds, including certain interest rate swaps and certain credit default index swaps, will be required to be cleared. The Funds will hold cleared derivatives transactions through clearing members, who are futures commission merchants who are members of derivatives clearing houses. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing members generally can require termination of existing cleared derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investments and other risks” above for further information.

For Funds that held derivatives during the period ended May 31, 2013, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use

Asset Allocation Bond Fund

Core Plus Bond Fund

Currency Hedged International Bond Fund

Domestic Bond Fund

Emerging Country Debt Fund

Global Bond Fund

International Bond Fund

Strategic Fixed Income Fund

World Opportunity Overlay Fund

Forward currency contracts

Adjust currency exchange rate risk

X

X

X

X

Adjust exposure to foreign currencies

X

X

X

X

X

X

Futures contracts

Adjust exposure to certain markets

X

Adjust interest rate exposure

X

X

X

X

X

X

X

Maintain the diversity and liquidity of the portfolio

X

X

X

X

X

X

X

Options (Purchased)

Adjust currency exchange rate risk

X

X

X

X

X

X

Adjust exposure to foreign currencies

X

X

X

X

X

X

Adjust interest rate exposure

X

X

Maintain the diversity and liquidity of the portfolio

X

Options (Written)

Achieve exposure to a reference entity’s credit

X

Adjust currency exchange rate risk

X

X

X

X

X

X

Adjust exposure to foreign currencies

X

X

X

X

X

X

Adjust interest rate exposure

X

X

Maintain the diversity and liquidity of the portfolio

X

Swap agreements

Achieve exposure to a reference entity’s credit

X

X

X

X

Adjust exposure to certain markets

X

X

Adjust interest rate exposure

X

X

X

X

X

X

X

Provide a measure of protection against default loss

X

X

X

X

X

X

Rights and/or warrants

Adjust exposure to certain markets

X

Forward currency contracts

The Funds (except U.S. Treasury Fund) may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked to market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Futures contracts

The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Options

The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

The Funds may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

When an option contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed.

For the period ended May 31, 2013, investment activity in options contracts written by the Funds were as follows:

	Puts						Calls
	Principal Amount of Contracts		Number of Contracts		Premiums		Principal Amount of Contracts		Number of Contracts		Premiums
Core Plus Bond Fund
Outstanding, beginning of period		—		—	$	—		—		—	$	—
Options written		850,000,000		—		121,751		—		—		—
Options bought back		—		—		—		—		—		—
Options expired		—		—		—		—		—		—
Options exercised		—		—		—		—		—		—
Outstanding, end of period		850,000,000		—	$	121,751		—		—	$	—
Currency Hedged International Bond Fund
Outstanding, beginning of period		—		—	$	—		—		—	$	—
Options written		250,000,000		—		35,809		—		—		—
Options bought back		—		—		—		—		—		—
Options expired		—		—		—		—		—		—
Options exercised		—		—		—		—		—		—
Outstanding, end of period		250,000,000		—	$	35,809		—		—	$	—

	Puts								Calls
	Principal Amount of Contracts		Number of Contracts			Premiums			Principal Amount of Contracts			Number of Contracts		Premiums
Global Bond Fund
Outstanding, beginning of period		—		—		$	—			—			—	$	—
Options written		600,000,000		—			85,942			—			—		—
Options bought back		—		—			—			—			—		—
Options expired		—		—			—			—			—		—
Options exercised		—		—			—			—			—		—
Outstanding, end of period		600,000,000		—		$	85,942			—			—	$	—
International Bond Fund
Outstanding, beginning of period		—		—		$	—			—			—	$	—
Options written		250,000,000		—			35,809			—			—		—
Options bought back		—		—			—			—			—		—
Options expired		—		—			—			—			—		—
Options exercised		—		—			—			—			—		—
Outstanding, end of period		250,000,000		—		$	35,809			—			—	$	—
Strategic Fixed Income Fund
Outstanding, beginning of period		—		—		$	—			—			—	$	—
Options written		6,300,000,000		—			902,391			—			—		—
Options bought back		—		—			—			—			—		—
Options expired		—		—			—			—			—		—
Options exercised		—		—			—			—			—		—
Outstanding, end of period		6,300,000,000		—		$	902,391			—			—	$	—
World Opportunity Overlay Fund
Outstanding, beginning of period		—		—		$	—			6,000,000			—	$	2,711,878
Options written		10,090,000,000		2,400			3,806,550			10,490,000,000			—		6,109,270
Options bought back		—		—			—			—			—		—
Options expired		—		(2,400	)		(257,280	)		(3,000,000	)		—		(1,613,880	)
Options exercised		—		—			—			—			—		—
Outstanding, end of period		10,090,000,000		—		$	3,549,270			10,493,000,000			—	$	7,207,268

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Funds value OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Funds may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap agreements are net settled. When entering into a swap agreement and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Initial upfront payments received or made upon entering into a swap agreement are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or loss.

Interest rate swap agreements involve an exchange by the parties of their respective commitments to pay or right to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal).

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

In a credit linked option contract, one party makes payments to another party in exchange for the option to exercise a contract where the buyer has the right to receive a specified return if a credit event (e.g. default or similar event) occurs with respect to a reference entity or entities and a specified decrease in the value of the related collateral occurs. A writer of a credit linked option receives periodic payments in return for its obligation to pay an agreed-upon value to the other party if they exercise their option in the case of a credit event. If no credit event occurs, the seller has no payment obligation and will keep the premiums received.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

The values assigned to swap agreements may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap agreement. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Rights and warrants

The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Additionally, Emerging Country Debt Fund owns warrants linked to the price of oil. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.

The following is a summary of the fair valuations of derivative instruments categorized by risk exposure:

Fair Values of Derivative Instruments as of May 31, 2013:

	Credit Contracts		Commodity Contracts		Equity Contracts		Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Core Plus Bond Fund
Asset:
Investments, at value (purchased options)	$	—	$	—	$	—	$	650,156	$	—	$	—	$	650,156
Unrealized Appreciation on Forward Currency Contracts		—		—		—		1,961,665		—		—		1,961,665
Unrealized Appreciation on Futures Contracts		—		—		—		—		941,730		—		941,730
Unrealized Appreciation on Swap Agreements		—		—		—		—		160,813		—		160,813
Total	$	—	$	—	$	—	$	2,611,821	$	1,102,543	$	—	$	3,714,364

	Credit Contracts		Commodity Contracts		Equity Contracts		Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Core Plus Bond Fund (continued)
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	—	$	(4,247,971)	$	—	$	—	$	(4,247,971)
Unrealized Depreciation on Futures Contracts*		—		—		—		—		(453,449)		—		(453,449)
Written Options, at value		—		—		—		(100,582)		—		—		(100,582)
Unrealized Depreciation on Swap Agreements		(1,268,923)		—		—		—		(629,141)		—		(1,898,064)
Total	$	(1,268,923)	$	—	$	—	$	(4,348,553)	$	(1,082,590)	$	—	$	(6,700,066)
Currency Hedged International Bond Fund
Asset:
Investments, at value (purchased options)	$	—	$	—	$	—	$	208,375	$	—	$	—	$	208,375
Unrealized Appreciation on Forward Currency Contracts		—		—		—		705,945		—		—		705,945
Unrealized Appreciation on Futures Contracts*		—		—		—		—		326,087		—		326,087
Unrealized Appreciation on Swap Agreements		—		—		—		—		55,571		—		55,571
Total	$	—	$	—	$	—	$	914,320	$	381,658	$	—	$	1,295,978
Liability:
Written Options, at value	$	—	$	—	$	—	$	(29,583)	$	—	$	—		(29,583)
Unrealized Depreciation on Forward Currency Contracts		—		—		—		(1,397,609)		—		—		(1,397,609)
Unrealized Depreciation on Futures Contracts*		—		—		—		—		(54,969)		—		(54,969)
Unrealized Depreciation on Swap Agreements		(112,870)		—		—		—		(67,394)		—		(180,264)
Total	$	(112,870)	$	—	$	—	$	(1,427,192)	$	(122,363)	$	—	$	(1,662,425)
Emerging Country Debt Fund
Asset:
Investments, at value (rights and/or warrants)	$	—	$	—	$	—	$	—	$	—	$	12,076,536	$	12,076,536
Unrealized Appreciation on Forward Currency Contracts		—		—		—		9,552,502		—		—		9,552,502
Unrealized Appreciation on Swap Agreements		120,774,175		—		—		—		—		—		120,774,175
Options		313,602		—		—		—		—		—		313,602
Total	$	121,087,777	$	—	$	—	$	9,552,502	$	—	$	12,076,536	$	142,716,815
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	—	$	(2,733,597)	$	—	$	—	$	(2,733,597)
Unrealized Depreciation on Swap Agreements		(123,552,877)		—		—		—		(1,226,075)		—		(124,778,952)
Options		(948,442)		—		—		—		—		—		(948,442)
Total	$	(124,501,319)	$	—	$	—	$	(2,733,597)	$	(1,226,075)	$	—	$	(128,460,991)
Global Bond Fund
Asset:
Investments, at value (purchased options)	$	—	$	—	$	—	$	441,781	$	—	$	—	$	441,781
Unrealized Appreciation on Forward Currency Contracts		—		—		—		1,620,170		—		—		1,620,170
Unrealized Appreciation on Futures Contracts*		—		—		—		—		88,277		—		88,277
Unrealized Appreciation on Swap Agreements		—		—		—		—		106,963		—		106,963
Total	$	—	$	—	$	—	$	2,061,951	$	195,240	$	—	$	2,257,191
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	—		(4,649,965)	$	—	$	—	$	(4,649,965)
Unrealized Depreciation on Futures Contracts*		—		—		—		—		(241,182)		—		(241,182)
Written Options, at value		—		—		—		(70,999)		—		—		(70,999)
Unrealized Depreciation on Swap Agreements		(169,305)		—		—		—		(161,275)		—		(330,580)
Total	$	(169,305)	$	—	$	—	$	(4,720,964)	$	(402,457)	$	—	$	(5,292,726)

	Credit Contracts		Commodity Contracts		Equity Contracts		Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
International Bond Fund
Asset:
Investments, at value (purchased options)	$	—	$	—	$	—	$	208,375	$	—	$	—	$	208,375
Unrealized Appreciation on Forward Currency Contracts		—		—		—		808,746		—		—		808,746
Unrealized Appreciation on Futures Contracts*		—		—		—		—		40,372		—		40,372
Unrealized Appreciation on Swap Agreements		—		—		—		—		51,145		—		51,145
Total	$	—	$	—	$	—	$	1,017,121	$	91,517	$	—	$	1,108,638
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	—	$	(2,464,719)	$	—	$	—	$	(2,464,719)
Unrealized Depreciation on Futures Contracts*		—		—		—		—		(168,182)		—		(168,182)
Written Options, at value		—		—		—		(29,583)		—		—		(29,583)
Unrealized Depreciation on Swap Agreements		(359,807)		—		—		—		(70,303)		—		(430,110)
Total	$	(359,807)	$	—	$	—	$	(2,494,302)	$	(238,485)	$	—	$	(3,092,594)
Strategic Fixed Income Fund
Asset:
Investments, at value (purchased options)	$	—	$	—	$	—	$	4,881,695	$	—	$	—	$	4,881,695
Unrealized Appreciation on Forward Currency Contracts		—		—		—		14,625,047		—		—		14,625,047
Unrealized Appreciation on Futures Contracts*		—		—		—		—		7,079,132		—		7,079,132
Unrealized Appreciation on Swap Agreements		—		—		—		—		10,150,218		—		10,150,218
Total	$	—	$	—	$	—	$	19,506,742	$	17,229,350	$	—	$	36,736,092
Liability:
Written Options, at value	$	—	$	—	$	—	$	(745,489)	$	—	$	—	$	(745,489)
Unrealized Depreciation on Forward Currency Contracts		—		—		—		(31,704,395)		—		—		(31,704,395)
Unrealized Depreciation on Futures Contracts*		—		—		—		—		(2,717,502)		—		(2,717,502)
Unrealized Depreciation on Swap Agreements		—		—		—		—		(1,833,837)		—		(1,833,837)
Total	$	—	$	—	$	—	$	(32,449,884)	$	(4,551,339)	$	—	$	(37,001,223)
World Opportunity Overlay Fund
Asset:
Investments, at value (purchased options)	$	—	$	—	$	—	$	58,489	$	12,870,678	$	—	$	12,929,167
Unrealized Appreciation on Swap Agreements		—		—		—		—		6,058,383		—		6,058,383
Total	$	—	$	—	$	—	$	58,489	$	18,929,061	$	—	$	18,987,550
Liability:
Written Options, at value	$	—	$	—	$	—	$	—	$	(5,514,118)	$	—	$	(5,514,118)
Unrealized Depreciation on Swap Agreements		—		—		—		—		(64,676,785)		—		(64,676,785)
Total	$	—	$	—	$	—	$	—	$	(70,190,903)	$	—	$	(70,190,903)

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.

* The Fair Values of Derivative Instruments table includes cumulative appreciation/(depreciation) of futures contracts as reported in the Schedule of Investments.

The average volume of derivative activity, based on absolute values (forward currency contracts, futures contracts, rights and/or warrants), notional amounts (swap agreements) or principal amounts (options) outstanding at each month-end was as follows for the period ended May 31, 2013.

	Forward Currency Contracts ($)		Futures Contracts ($)			Swap Agreements ($)			Options ($)			Rights and/or Warrants ($)
Asset Allocation Bond Fund		—		905,763	*		—			273,913	*		—
Core Plus Bond Fund		167,099,884		238,416,928			154,855,348			11,622,252			—
Currency Hedged International Bond Fund		78,231,316		68,259,266			23,537,858			3,652,868			—
Domestic Bond Fund		—		—			2,500,000	*		—			—
Emerging Country Debt Fund		547,901,015		—			3,513,146,729			302,000,000			11,845,992
Global Bond Fund		176,211,282		148,353,870			42,474,886			7,969,384			—
International Bond Fund		110,751,407		56,919,501			24,516,925			3,652,868			—
Strategic Fixed Income Fund		1,260,868,827		1,435,149,092			486,468,613			87,001,447			—
World Opportunity Overlay Fund		—		—			5,543,664,505			1,166,773,353			—

* During the period ended May 31, 2013, the Fund did not hold this investment type at any month-end, therefore, the average amount outstanding was calculated using daily outstanding absolute values.

Subsequent events

In June 2013, SACE delivered to the Peru Trusts the required payments in satisfaction of the judgment. Distributions from the Peru Trusts to ECDF are anticipated shortly, pending a final accounting by the administrator of the Peru Trusts of applicable fees and taxes.

Subsequent to May 31, 2013, GMO Strategic Fixed Income Fund received redemption requests in the amount of $479,256,394.

For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.

Foreign Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.4%
		Australia — 5.4%
	1,088,425	Asciano Group		5,215,560
	336,811	Australia and New Zealand Banking Group Ltd		8,785,803
	70,085	BHP Billiton Ltd		2,288,041
	152,791	Leighton Holdings Ltd		2,535,825
	1,097,462	Telstra Corp Ltd		4,962,307
	301,271	Toll Holdings Ltd		1,383,474
		Total Australia		25,171,010
		Brazil — 0.8%
	242,100	BB Seguridade Participacoes SA *		2,035,774
	208,600	Equatorial Energia SA		1,993,670
		Total Brazil		4,029,444
		Denmark — 0.8%
	505	AP Moller–Maersk A/S-Class A		3,608,765
		Finland — 0.3%
	413,599	Nokia Oyj *		1,383,614
		France — 12.2%
	60,131	Accor SA		2,147,746
	382,185	ArcelorMittal		4,829,759
	23,776	Arkema SA		2,445,842
	213,851	AXA		4,317,589
	92,022	BNP Paribas		5,385,094
	39,621	Cap Gemini SA		1,929,732
	36,028	Cie Generale des Etablissements Michelin		3,144,174
	71,170	Compagnie de Saint-Gobain		3,091,021
	74,135	Rexel SA		1,676,737
	86,652	Sanofi		9,239,551
	171,848	Societe Generale		6,853,671
	19,697	Sodexo		1,677,054
	27,503	Technip SA		3,057,334
	63,384	Total SA		3,168,145
	40,539	Valeo SA		2,701,355
	110,894	Veolia Environnement		1,385,000
		Total France		57,049,804
		Germany — 7.8%
	44,645	Allianz SE (Registered)		6,896,160
	96,504	Daimler AG (Registered)		6,129,363
	72,003	Deutsche Bank AG (Registered)		3,345,396
	59,573	Deutsche Post AG (Registered)		1,501,232
	445,818	E.On AG		7,512,542
	36,930	Fresenius Medical Care AG & Co		2,507,270
	81,516	Metro AG		2,763,783
	56,319	Siemens AG (Registered)		5,936,724
		Total Germany		36,592,470

Shares		Description	Value ($)
		Hong Kong — 1.3%
	195,000	Cheung Kong Holdings Ltd		2,746,216
	1,048,000	HKT Trust		1,240,601
	1,224,000	New World Development Ltd		1,939,957
		Total Hong Kong		5,926,774
		Ireland — 0.3%
	22,874	Kerry Group Plc-Class A		1,300,299
		Israel — 0.2%
	765,076	Bezeq Israeli Telecommunication Corp Ltd		989,718
		Italy — 5.9%
	956,535	Enel SPA		3,600,316
	315,149	ENI SPA		7,166,968
	90,620	Lottomatica Group SPA		2,437,057
	1,991,655	Mediaset SPA *		6,183,082
	460,950	Mediobanca SPA		3,032,383
	76,498	Saipem SPA		2,039,937
	415,377	Saras SPA *		614,472
	508,365	Snam Rete Gas SPA		2,410,867
		Total Italy		27,485,082
		Japan — 24.4%
	600,000	Asahi Kasei Corp		4,035,272
	54,400	Astellas Pharma Inc		2,778,000
	94,500	Canon Inc		3,228,924
	24,900	Daito Trust Construction Co Ltd		2,317,453
	1,400	Fuji Media Holdings Inc		2,569,669
	767,000	Hitachi Ltd		5,162,543
	191,100	Honda Motor Co Ltd		7,094,542
	372,300	Itochu Corp		4,613,762
	57,500	Japan Airlines Co Ltd		2,947,313
	139,600	Japan Tobacco Inc		4,751,008
	87,800	KDDI Corp		3,961,007
	49,000	Lawson Inc		3,564,556
	1,404,000	Mazda Motor Corp *		5,400,989
	1,806,700	Mitsubishi UFJ Financial Group Inc		10,485,213
	219,700	Mitsui & Co Ltd		2,751,497
	603,300	Nissan Motor Co Ltd		6,514,998
	57,800	Nitto Denko Corp		3,431,456
	2,307	NTT Docomo Inc		3,370,568
	235,000	Sekisui Chemical Co Ltd		2,338,360
	1,582,000	Shinsei Bank Ltd		3,694,262
	291,000	Sumitomo Mitsui Financial Group Inc		11,488,615
	61,200	TDK Corp		2,317,285
	83,500	Tokio Marine Holdings Inc		2,404,156
	153,200	Toyota Motor Corp		8,940,651
	103,100	Yamada Denki Co Ltd		3,888,990
		Total Japan		114,051,089

Foreign Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Mexico — 1.1%
	825,000	Fibra Uno Administracion SA de CV (REIT)		2,864,007
	401,200	Grupo Financiero Banorte SAB de CV-Class O		2,564,829
		Total Mexico		5,428,836
		Netherlands — 4.2%
	72,297	Akzo Nobel NV		4,624,805
	176,741	Delta Lloyd NV		3,455,998
	563,185	ING Groep NV *		5,251,530
	224,195	Koninklijke Philips NV		6,348,312
		Total Netherlands		19,680,645
		Norway — 0.4%
	204,852	ProSafe SE		1,913,099
		Panama — 0.7%
	27,100	Copa Holdings SA-Class A		3,558,772
		Philippines — 0.4%
	96,150	Cebu Air Inc		180,642
	2,635,900	LT Group Inc *		1,537,095
		Total Philippines		1,717,737
		Russia — 1.9%
	221,518	Gazprom OAO Sponsored ADR *		1,651,936
	240,278	Sberbank Sponsored ADR *		2,921,411
	87,791	TMK OAO (Registered)		955,284
	124,500	Yandex NV-Class A *		3,381,420
		Total Russia		8,910,051
		South Korea — 1.0%
	63,990	LG Display Co Ltd *		1,761,789
	2,116	Samsung Electronics Co Ltd		2,851,016
		Total South Korea		4,612,805
		Spain — 2.2%
	232,807	Atresmedia Corp de Medios de Comunicaion SA		1,529,357
	472,147	Banco Bilbao Vizcaya Argentaria SA		4,425,309
	216,323	Mediaset Espana Comunicacion SA *		1,670,898
	112,411	Repsol YPF SA		2,557,809
		Total Spain		10,183,373
		Sweden — 1.3%
	339,823	Nordea Bank AB		4,175,065
	83,791	Svenska Cellulosa AB-Class B		2,082,173
		Total Sweden		6,257,238

Shares		Description	Value ($)
		Switzerland — 5.0%
	145,308	ABB Ltd		3,179,325
	51,022	Novartis AG (Registered)		3,654,810
	16,637	Roche Holding AG (Non Voting)		4,124,920
	7,765	Syngenta AG (Registered)		3,029,104
	285,989	UBS AG (Registered)		5,017,964
	16,313	Zurich Insurance Group AG		4,314,245
		Total Switzerland		23,320,368
		Taiwan — 0.8%
	168,416	Asustek Computer Inc		1,843,940
	214,000	HTC Corp		1,961,130
		Total Taiwan		3,805,070
		Thailand — 1.0%
	551,100	Bangkok Bank Pcl NVDR		3,721,972
	2,957,200	Land & Houses Pcl NVDR		1,126,681
		Total Thailand		4,848,653
		United Kingdom — 17.0%
	405,993	Aberdeen Asset Management Plc		2,853,237
	201,658	BG Group Plc		3,680,265
	71,652	BHP Billiton Plc		2,060,365
	612,955	BP Plc		4,380,917
	128,276	British American Tobacco Plc		7,048,604
	630,280	BT Group Plc		2,868,125
	25,679	DCC Plc		970,236
	133,658	Diageo Plc		3,948,244
	117,132	Domino Printing Sciences Plc		1,207,028
	152,026	GlaxoSmithKline Plc		3,933,399
	310,518	Howden Joinery Group Plc		1,100,146
	887,602	HSBC Holdings Plc		9,737,917
	109,885	Imperial Tobacco Group Plc		3,943,198
	192,243	Inchcape Plc		1,590,479
	99,594	John Wood Group Plc		1,279,018
	34,467	Johnson Matthey Plc		1,329,511
	127,303	National Express Group Plc		386,936
	162,747	Prudential Plc		2,737,585
	25,525	Renishaw Plc		673,611
	58,441	Rio Tinto Plc		2,496,060
	24,284,687	Rolls-Royce Holdings Plc-C Shares *		36,898
	204,073	Rolls-Royce Holdings Plc		3,701,715
	119,102	Schroders Plc (Non Voting)		3,303,321
	76,882	Travis Perkins Plc		1,868,602
	56,001	Unilever Plc		2,352,340
	840,704	Vodafone Group Plc		2,436,456
	69,969	Weir Group Plc (The)		2,456,225
	32,734	Wolseley Plc		1,664,409

Foreign Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares / Par Value		Description	Value ($)
		United Kingdom — continued
	200,409	WPP Plc		3,411,776
		Total United Kingdom		79,456,623
		TOTAL COMMON STOCKS (COST $412,773,906)		451,281,339
		PREFERRED STOCKS — 1.9%
		Brazil — 0.4%
	81,100	Telefonica Brasil SA 2.60%		2,004,213
		Germany — 1.5%
	30,846	Volkswagen AG 2.11%		6,699,178
		TOTAL PREFERRED STOCKS (COST $8,406,613)		8,703,391
		MUTUAL FUNDS — 0.7%
		United States — 0.7%
		Affiliated Issuers
	124,767	GMO U.S. Treasury Fund		3,120,420
		TOTAL MUTUAL FUNDS (COST $3,120,420)		3,120,420
		SHORT-TERM INVESTMENTS — 0.8%
		Time Deposits — 0.8%
GBP	101,288	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.08%, due 06/03/13		153,897
NOK	75	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.48%, due 06/03/13		13
EUR	813,255	Citibank (New York) Time Deposit, 0.00%, due 06/03/13 (a)		1,057,028
JPY	12,941,894	Citibank (New York) Time Deposit, 0.01%, due 06/03/13		128,839
USD	2,390,419	DBS Bank Ltd (Singapore) Time Deposit, 0.06%, due 06/03/13		2,390,419
USD	113,832	Societe Generale (Paris) Time Deposit, 0.06%, due 06/03/13		113,832
		Total Time Deposits		3,844,028
		TOTAL SHORT-TERM INVESTMENTS (COST $3,844,028)		3,844,028
		TOTAL INVESTMENTS — 99.8% (Cost $428,144,967)		466,949,178
		Other Assets and Liabilities (net) — 0.2%		1,133,239
		TOTAL NET ASSETS — 100.0%		$468,082,417

A summary of outstanding financial instruments at May 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
08/13/2013	DB		JPY	478,446,000		USD	5,141,678	$	377,302

Notes to Schedule of Investments:

ADR - American Depositary Receipt

NVDR - Non-Voting Depository Receipt

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) Rate rounds to 0.00%.

Counterparty Abbreviations:

DB - Deutsche Bank AG

Currency Abbreviations:

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

USD - United States Dollar

Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 94.9%
		Australia — 4.7%
	1,696,323	Asciano Group		8,128,512
	3,056,474	Federation Centres Ltd		7,244,882
	2,167,058	Primary Health Care Ltd		10,538,167
	1,372,910	Toll Holdings Ltd		6,304,574
	2,237,483	Tox Free Solutions Ltd		7,387,619
		Total Australia		39,603,754
		Austria — 1.6%
	236,042	Conwert Immobilien Invest SE		2,753,721
	466,824	Wienerberger AG		5,853,023
	380,997	Zumtobel AG		4,467,957
		Total Austria		13,074,701
		Belgium — 1.5%
	53,515	Compagnie d’Entreprises CFE		3,253,255
	92,601	SA D’Ieteren NV		4,077,443
	104,120	Umicore SA		4,974,882
		Total Belgium		12,305,580
		Brazil — 1.3%
	453,500	BHG SA-Brazil Hospitality Group *		3,817,633
	491,800	Cia de Locacao das Americas		2,463,822
	745,500	Even Construtora e Incorporadora SA		2,916,841
	216,300	Grendene SA		2,002,628
		Total Brazil		11,200,924
		Canada — 3.3%
	220,940	Alamos Gold Inc		3,203,017
	367,200	Canyon Services Group Inc		4,133,324
	1,039,000	Chinook Energy Inc *		1,162,518
	163,700	Corus Entertainment Inc-Class B		3,791,114
	172,300	Karnalyte Resources Inc		1,179,966
	27,200	Karnalyte Resources Inc *		186,274
	827,800	NuVista Energy Ltd *		6,547,345
	478,700	Precision Drilling Corp		4,114,027
	464,900	Western Energy Services Corp		3,174,817
		Total Canada		27,492,402
		Chile — 0.3%
	1,500,000	Administradora de Fondos de Pensiones Provida SA		2,902,115
		Denmark — 0.4%
	77,825	NKT Holding A/S		3,150,523
		Finland — 0.5%
	159,442	Aspo Oyj		1,149,018
	149,348	Tikkurila Oyj		3,287,065
		Total Finland		4,436,083
		France — 9.9%
	57,717	Arkema SA		5,937,359
	156,980	Cap Gemini SA		7,645,676

Shares		Description	Value ($)
		France — continued
	75,969	Compagnie Generale des Etablissements Michelin-Class B		6,629,836
	58,945	Euler Hermes SA		5,695,307
	334,822	Faurecia *		7,481,071
	141,428	Legrand SA		6,931,220
	184,577	Nexity SA		6,601,106
	252,808	Rexel SA		5,717,848
	10,038	SA des Ciments Vicat		638,856
	95,928	Sodexo		8,167,560
	55,244	Technip SA		6,141,125
	244,417	TF1 SA		2,769,539
	138,535	Valeo SA		9,231,412
	302,472	Veolia Environnement		3,777,695
		Total France		83,365,610
		Germany — 5.8%
	302,289	Celesio AG		6,211,488
	112,967	Delticom AG		5,663,524
	283,845	Deutsche Wohnen AG		5,284,358
	96,010	GSW Immobilien AG		3,745,110
	77,444	HeidelbergCement AG		5,836,976
	267,743	Rhoen-Klinikum AG		5,753,688
	414,905	SAF-Holland SA *		4,134,426
	68,357	Salzgitter AG		2,583,879
	372,713	TAG Immobilien AG		4,282,144
	224,876	Tom Tailor Holding AG *		5,124,230
		Total Germany		48,619,823
		Hong Kong — 1.1%
	4,264,910	HKT Trust		5,048,713
	1,110,000	Hopewell Holdings Ltd		3,989,663
		Total Hong Kong		9,038,376
		India — 0.3%
	1,585,122	KEC International Ltd		1,167,805
	632,259	Rolta India Ltd		660,157
	101,200	Sobha Developers Ltd		701,345
		Total India		2,529,307
		Ireland — 0.4%
	62,084	Kerry Group Plc-Class A		3,529,237
		Italy — 6.3%
	1,096,095	Amplifon SPA		5,422,700
	787,889	Autogrill SPA *		10,314,922
	1,497,079	Credito Emiliano SPA		8,070,913
	279,257	Lottomatica Group SPA		7,510,101
	1,963,015	Mediaset SPA *		6,094,169
	935,868	Mediobanca SPA		6,156,656
	941,601	Mediolanum SPA		6,251,915
	1,906,516	Saras SPA *		2,820,329
		Total Italy		52,641,705
		Japan — 23.0%
	789,000	77 Bank Ltd (The)		3,341,703
	1,082,000	Calsonic Kansei Corp		4,676,520

Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	316,500	Capcom		5,053,954
	258,500	Century Tokyo Leasing Corp		6,557,275
	76,200	Cosmos Pharmaceutical Corp		7,698,065
	607,000	Daicel Chemical Industries Ltd		4,847,863
	450,200	Fuji Oil Co Ltd		6,871,081
	1,031,000	GS Yuasa Corp		4,609,599
	205,200	Hitachi Chemical Co Ltd		3,201,573
	416,400	Hitachi Transport System Ltd		6,794,334
	318,300	Ibiden Co Ltd		4,942,073
	145,300	IRISO Electronics Co Ltd		3,989,781
	327,200	Izumi Co Ltd		7,837,583
	690,000	Japan Aviation Electronics Industry Ltd		6,736,513
	442	Japan Logistics Fund Inc		4,083,863
	205,640	K’s Holdings Corp		5,689,098
	377,900	Keihin Corp		5,428,448
	161,500	Kintetsu World Express Inc		6,172,340
	193,200	Kyorin Co Ltd		4,259,777
	1,495,000	Mitsubishi UFJ Lease & Finance Co Ltd		6,777,280
	246,900	Nabtesco Corp		5,070,213
	879,300	NHK Spring Co Ltd		9,917,828
	384,400	Nihon Kohden Corp		13,748,961
	417,000	Nippon Shokubai Co Ltd		4,045,467
	1,072,000	Nippon Soda Co Ltd		5,046,849
	649,000	Nissin Electric Co Ltd		4,012,757
	398,500	Paltac Corp		5,009,704
	857,000	Rengo Co Ltd		4,229,897
	1,330,000	Sanden Corp		4,842,163
	1,290,000	Sanwa Holdings Corp		6,797,206
	308,500	Sumitomo Rubber Industries		4,830,106
	218,400	Tokai Rika Co Ltd		4,029,522
	863,000	Tsubakimoto Chain Co		5,305,968
	187,700	United Arrows Ltd		6,903,396
		Total Japan		193,358,760
		Mexico — 2.4%
	2,550,000	Asesor de Activos Prisma SAPI de CV		4,310,449
	524,700	Banregio Grupo Financiero SAB de CV		3,211,045
	1,643,400	Corp Inmobiliaria Vesta SAB de CV		3,499,455
	135,000	Grupo Aeroportuario del Centro Norte SAB de CV		475,417
	2,008,600	Mexico Real Estate Management SA de CV		4,978,175
	1,181,400	Organizacion Cultiba SAB De CV		3,407,854
		Total Mexico		19,882,395
		Netherlands — 0.5%
	152,634	Imtech NV *		1,838,791
	60,997	Unit 4 Agresso NV		2,145,169
		Total Netherlands		3,983,960
		New Zealand — 0.9%
	2,230,624	Sky City Entertainment Group Ltd		7,401,120
		Norway — 2.0%
	119,287	Fred Olsen Energy ASA		5,007,891
	719,611	ProSafe SE		6,720,397
	524,280	SpareBank 1 SR Bank ASA		4,635,124
		Total Norway		16,363,412

Shares		Description	Value ($)
		Philippines — 0.4%
	472,480	Cebu Air Inc		887,675
	4,490,500	LT Group Inc *		2,618,584
		Total Philippines		3,506,259
		Russia — 0.5%
	157,000	Yandex NV-Class A *		4,264,120
		Singapore — 0.9%
	818,000	ComfortDelgro Corp Ltd		1,229,531
	3,240,640	Mapletree Logistics Trust (REIT)		3,098,590
	1,156,000	MobileOne Ltd		2,871,721
		Total Singapore		7,199,842
		South Korea — 4.1%
	24,465	Daelim Industrial Co Ltd		2,033,083
	350,140	DGB Financial Group Inc		5,215,153
	51,286	Golfzon Co Ltd		2,986,065
	515,340	Kortek Corp		5,743,648
	477,400	Magnachip Semiconductor Corp *		8,831,900
	15,225	Mando Corp		1,310,377
	41,327	S1 Corp		2,375,480
	89,642	Youngone Holding Co Ltd		5,873,950
		Total South Korea		34,369,656
		Spain — 1.2%
	437,847	Atresmedia Corp de Medios de Comunicaion SA		2,876,306
	6,519	Construcciones y Auxiliar de Ferrocarriles SA		2,715,282
	1,300,490	Mapfre SA		4,672,874
		Total Spain		10,264,462
		Sweden — 0.6%
	126,688	Svenska Cellulosa AB-Class B		3,148,146
	2,984,253	Trigon Agri A/S		1,790,389
		Total Sweden		4,938,535
		Switzerland — 3.7%
	156,605	Aryzta AG		8,983,978
	16,947	Kaba Holding AG-Class B (Registered)		6,649,915
	41,047	Sulzer AG		6,857,534
	28,250	Swiss Life Holding AG (Registered)		4,683,262
	19,986	Valora Holding AG		3,890,397
		Total Switzerland		31,065,086
		United Kingdom — 17.3%
	304,357	Aberdeen Asset Management Plc		2,138,959
	449,709	Babcock International Group Plc		7,886,710
	271,354	Berkeley Group Holdings Plc (Unit Shares)		8,681,351
	121,525	DCC Plc		4,591,610
	559,417	Diploma Plc		4,534,260
	275,877	Domino Printing Sciences Plc		2,842,873
	636,189	Euromoney Institutional Investor Plc		9,071,981
	1,899,977	F&C Asset Management Plc		2,775,726
	888,333	Filtrona Plc		9,361,274

Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares / Par Value		Description	Value ($)
		United Kingdom — continued
	667,930	Great Portland Estates Plc (REIT)		5,592,115
	859,217	Howden Joinery Group Plc		3,044,152
	797,166	Inchcape Plc		6,595,173
	1,577,518	ITE Group Plc		7,031,386
	496,181	James Fisher & Sons Plc		7,345,586
	225,380	John Wood Group Plc		2,894,402
	1,187,838	Jupiter Fund Management Plc		5,834,667
	483,760	Keller Group Plc		6,964,965
	313,052	National Express Group Plc		951,518
	55,810	Renishaw Plc		1,472,840
	720,065	Restaurant Group Plc		5,645,488
	1,448,172	RPS Group Plc		4,605,611
	1,872,996	Senior Plc		7,758,154
	182,555	Travis Perkins Plc		4,436,963
	2,844,489	Tyman Plc		9,492,584
	148,452	Weir Group Plc (The)		5,211,329
	2,069,727	Wilmington Group Plc		5,123,211
	194,038	XP Power Ltd		3,617,277
		Total United Kingdom		145,502,165
		TOTAL COMMON STOCKS (COST $687,982,424)		795,989,912
		PREFERRED STOCKS — 1.3%
		Brazil — 0.2%
	285,000	Banco Pine SA		1,767,112
		Chile — 0.5%
	1,475,000	Coca-Cola Embonor SA-Class B 3.93%		4,268,110
		Colombia — 0.4%
	245,255	Banco Davivienda SA 2.20%		3,280,168
		South Korea — 0.2%
	72,080	Daelim Industrial Co Ltd 1.76%		1,975,083
		TOTAL PREFERRED STOCKS (COST $9,870,910)		11,290,473
		RIGHTS/WARRANTS — 0.0%
		Hong Kong — 0.0%
	44,400	Hopewell Holdings Ltd Expires 06/10/13*		—
		TOTAL RIGHTS/WARRANTS (COST $0)		—
		MUTUAL FUNDS — 1.7%
		United States — 1.7%
		Affiliated Issuers
	556,220	GMO U.S. Treasury Fund		13,911,067
		TOTAL MUTUAL FUNDS (COST $13,910,421)		13,911,067
		SHORT-TERM INVESTMENTS — 1.8%
		Time Deposits — 1.8%
USD	237,553	Bank of Tokyo-Mitsubishi (Tokyo) Time Deposit, 0.06%, due 06/03/13		237,553

Par Value		Description	Value ($)
		Time Deposits — continued
USD	4,250,316	BNP Paribas (Paris) Time Deposit, 0.06%, due 06/03/13		4,250,316
AUD	99	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.90%, due 06/03/13		94
GBP	334,073	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.08%, due 06/03/13		507,591
SGD	52,726	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 06/03/13		41,715
EUR	1,192,796	Citibank (New York) Time Deposit, 0.00%, due 06/03/13 (a)		1,550,337
JPY	14,055,171	Citibank (New York) Time Deposit, 0.01%, due 06/03/13		139,921
USD	4,250,316	DBS Bank Ltd (Singapore) Time Deposit, 0.06%, due 06/03/13		4,250,316
USD	4,250,316	Societe Generale (Paris) Time Deposit, 0.06%, due 06/03/13		4,250,316
		Total Time Deposits		15,228,159
		TOTAL SHORT-TERM INVESTMENTS (COST $15,228,159)		15,228,159
		TOTAL INVESTMENTS — 99.7% (Cost $726,991,914)		836,419,611
		Other Assets and Liabilities (net) — 0.3%		2,706,367
		TOTAL NET ASSETS — 100.0%		$839,125,978

A summary of outstanding financial instruments at May 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
08/13/2013	DB		JPY	769,929,000		USD	8,274,136	$	607,166

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) Rate rounds to 0.00%.

Counterparty Abbreviations:

DB - Deutsche Bank AG

Currency Abbreviations:

AUD - Australian Dollar

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

SGD - Singapore Dollar

USD - United States Dollar

Global Focused Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 95.4%
		Australia — 1.3%
	35,316	Tox Free Solutions Ltd		116,605
		Austria — 2.6%
	20,360	Zumtobel AG		238,762
		Brazil — 0.8%
	5,100	Grupo BTG Pactual		78,269
		Canada — 2.6%
	7,900	Suncor Energy Inc		239,648
		France — 14.6%
	24,562	ArcelorMittal		310,396
	2,211	Euler Hermes SA		213,628
	12,644	Rexel SA		285,974
	7,350	Societe Generale		293,134
	3,783	Valeo SA		252,084
		Total France		1,355,216
		Germany — 12.3%
	5,916	Daimler AG (Registered)		375,749
	2,610	Siemens AG (Registered)		275,127
	21,275	TAG Immobilien AG		244,431
	11,037	Tom Tailor Holding AG *		251,499
		Total Germany		1,146,806
		Italy — 9.0%
	10,354	Lottomatica Group SPA		278,452
	111,175	Mediaset SPA *		345,142
	8,043	Saipem SPA		214,479
		Total Italy		838,073
		Japan — 8.7%
	26,000	Hitachi Ltd		175,001
	6,500	Japan Tobacco Inc		221,215
	7,300	K’s Holdings Corp		201,957
	14,400	Keihin Corp		206,853
		Total Japan		805,026
		Mexico — 2.6%
	143,100	Asesor de Activos Prisma SAPI de CV		241,892
		Netherlands — 7.6%
	35,153	ING Groep NV *		327,791
	13,511	Koninklijke Philips NV		382,578
		Total Netherlands		710,369

Shares		Description	Value ($)
		Philippines — 1.5%
	247,400	LT Group Inc *		144,268
		Russia — 5.8%
	22,676	Sberbank Sponsored ADR *		275,705
	9,700	Yandex NV-Class A *		263,452
		Total Russia		539,157
		Spain — 4.6%
	13,646	Atresmedia Corp de Medios de Comunicaion SA		89,643
	35,626	Banco Bilbao Vizcaya Argentaria SA		333,913
		Total Spain		423,556
		Switzerland — 3.4%
	802	Syngenta AG (Registered)		312,858
		Thailand — 2.2%
	29,900	Bangkok Bank Pcl NVDR		201,936
		United Kingdom — 2.3%
	63,979	Lupus Capital Plc		213,510
		United States — 13.5%
	12,900	Cisco Systems, Inc.		310,632
	15,600	Delta Air Lines, Inc. *		280,956
	8,800	EPL Oil & Gas, Inc. *		267,960
	12,800	NVIDIA Corp.		185,472
	7,100	RTI International Metals, Inc *		205,971
		Total United States		1,250,991
		TOTAL COMMON STOCKS (COST $8,020,165)		8,856,942
		MUTUAL FUNDS — 1.4%
		United States — 1.4%
		Affiliated Issuers
	5,199	GMO U.S. Treasury Fund		130,017
		TOTAL MUTUAL FUNDS (COST $130,017)		130,017

Global Focused Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 4.4%
		Time Deposits — 4.4%
USD	26,973	Bank of Tokyo-Mitsubishi (Tokyo) Time Deposit, 0.06%, due 06/03/13		26,973
EUR	36,398	BNP Paribas (Paris) Time Deposit, 0.00%, due 06/03/13 (a)		47,307
JPY	200,559	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 06/03/13		1,997
EUR	36,398	Citibank (New York) Time Deposit, 0.00%, due 06/03/13 (a)		47,307
USD	47,173	DBS Bank Ltd (Singapore) Time Deposit, 0.06%, due 06/03/13		47,173
EUR	19,048	DnB Nor Bank (Oslo) Time Deposit, 0.00%, due 06/03/13 (a)		24,758
USD	22,485	DnB Nor Bank (Oslo) Time Deposit, 0.06%, due 06/03/13		22,485
EUR	36,398	Skandinaviska Enskilda Banken, AB (Stockholm) Time Deposit, 0.00%, due 06/03/13 (a)		47,308
EUR	36,398	Societe Generale (Paris) Time Deposit, 0.00%, due 06/03/13 (a)		47,308
USD	47,173	STD Charter Bank (London) Time Deposit, 0.06%, due 06/03/13		47,173
EUR	36,398	Sumitomo (Tokyo) Time Deposit, 0.00%, due 06/03/13 (a)		47,308
		Total Time Deposits		407,097
		TOTAL SHORT-TERM INVESTMENTS (COST $407,097)		407,097
		TOTAL INVESTMENTS — 101.2% (Cost $8,557,279)		9,394,056
		Other Assets and Liabilities (net) — (1.2%)		(112,457	)
		TOTAL NET ASSETS — 100.0%		$9,281,599

Notes to Schedule of Investments:

ADR - American Depositary Receipt

NVDR - Non-Voting Depository Receipt

* Non-income producing security.

(a) Rate rounds to 0.00%.

Currency Abbreviations:

EUR - Euro

JPY - Japanese Yen

USD - United States Dollar

As of May 31, 2013, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in the value of investments were as follows:

Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Foreign Fund		435,752,565		45,116,919		(13,920,306)		31,196,613
Foreign Small Companies Fund		736,721,924		132,465,804		(32,768,117)		99,697,687
Global Focused Equity Fund		8,580,850		1,054,848		(241,642)		813,206

Investments in Affiliated Issuers

The Funds make investments in other GMO Trust funds (“underlying funds”). The Schedule of Investments of the underlying funds should be read in conjunction with the Fund’s Schedule of Investments.

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended May 31, 2013 is set forth below:

Affiliate	Value, beginning of period			Purchases			Sales Proceeds			Dividend Income*			Distributions of Realized Gains*			Value, end of period
Foreign Fund
GMO U.S. Treasury Fund		$	8,180,610		$	11,706,862		$	16,769,946		$	1,660		$	—		$	3,120,420
Foreign Small Companies Fund
GMO U.S. Treasury Fund		$	20,131,383		$	23,530,748		$	29,759,646		$	4,071		$	—		$	13,911,067
Global Focused Equity Fund
GMO U.S. Treasury Fund		$	270,041		$	396,485		$	536,675		$	80		$	—		$	130,017

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2013 through May 31, 2013. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2014.

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. Management 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 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 Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) 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 this range, then they will be valued at the closing bid price for long positions and closing ask price for short positions. Cleared derivatives are valued using the closing price quoted by the relevant clearing house. If an updated closing price for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model. Unlisted securities (including debt instruments) for which market quotations are readily available are valued at the most recent quoted price. In the case of non-emerging market debt instruments with a remaining maturity of sixty days or less, the instrument, may be valued at amortized cost, which approximates market value, if the issuer is deemed to present minimal credit risk. Shares of open-end registered investment companies are valued at their most recent net asset value. 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 of GMO Trust (“the Trustees”) or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds classify such securities as Level 3 (levels defined below). For the period ended May 31, 2013, the Funds did not reduce the value of any of their over-the-counter (“OTC”) derivatives contracts, if any, based on the creditworthiness of their counterparties. See “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing pricing methodologies are modified for equity securities listed on foreign exchanges and that trade in securities markets that are closed prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, 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). In those cases, the value will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds that were valued using fair value inputs obtained from that independent pricing service as of May 31, 2013. 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 being valued using Level 2 inputs (levels defined below) in the table below.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security. If an updated quote for a security is not available by the time that the Funds calculate their net asset value on any business day, the Funds will generally use a quoted price from a prior day to value that security.

As discussed above, certain of the 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 fair valued using inputs obtained from an independent pricing service. The net aggregate direct and/or indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of May 31, 2013 is as follows:

Securities

Fund Name	Fair valued using inputs obtained from an independent pricing  service
Foreign Fund	94.3%
Foreign Small Companies Fund	86.2%
Global Focused Equity Fund	73.1%

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 methodology 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 liquidity of investments, could cause a security to be reclassified between levels.

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the “Valuation Inputs” table below). At May 31, 2013, there were no direct material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.

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 with a remaining maturity of greater than 60 days, 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 debt securities such as U.S. government securities with a remaining maturity of less than 60 days valued at amortized cost; certain cleared derivatives and 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; 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; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; and certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; certain derivatives valued using third party valuation services; certain equity securities valued based on the last traded exchange price adjusted for the movement in a securities index; and certain securities that are valued using a price from a comparable security related to the same issuer.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of May 31, 2013:

Description	Level 1		Level 2		Level 3		Total
Foreign Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	25,171,010	$	—	$	25,171,010
Brazil		4,029,444		—		—		4,029,444
Denmark		—		3,608,765		—		3,608,765
Finland		—		1,383,614		—		1,383,614
France		—		57,049,804		—		57,049,804
Germany		—		36,592,470		—		36,592,470
Hong Kong		—		5,926,774		—		5,926,774
Ireland		—		1,300,299		—		1,300,299
Israel		—		989,718		—		989,718
Italy		—		27,485,082		—		27,485,082
Japan		—		114,051,089		—		114,051,089
Mexico		5,428,836		—		—		5,428,836
Netherlands		—		19,680,645		—		19,680,645
Norway		—		1,913,099		—		1,913,099
Panama		3,558,772		—		—		3,558,772
Philippines		—		1,717,737		—		1,717,737
Russia		3,381,420		5,528,631		—		8,910,051
South Korea		—		4,612,805		—		4,612,805
Spain		—		10,183,373		—		10,183,373
Sweden		—		6,257,238		—		6,257,238
Switzerland		—		23,320,368		—		23,320,368
Taiwan		—		3,805,070		—		3,805,070
Thailand		—		4,848,653		—		4,848,653
United Kingdom		—		79,419,725		36,898		79,456,623
TOTAL COMMON STOCKS		16,398,472		434,845,969		36,898		451,281,339
Preferred Stocks
Brazil		2,004,213		—		—		2,004,213
Germany		—		6,699,178		—		6,699,178
TOTAL PREFERRED STOCKS		2,004,213		6,699,178		—		8,703,391
Mutual Funds
United States		3,120,420		—		—		3,120,420
TOTAL MUTUAL FUNDS		3,120,420		—		—		3,120,420
Short-Term Investments		3,844,028		—		—		3,844,028
Total Investments		25,367,133		441,545,147		36,898		466,949,178
Derivatives*
Forward Currency Contracts
Foreign currency risk		—		377,302		—		377,302
Total	$	25,367,133	$	441,922,449	$	36,898	$	467,326,480

Description	Level 1		Level 2		Level 3			Total
Foreign Small Companies Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	39,603,754	$	—		$	39,603,754
Austria		—		13,074,701		—			13,074,701
Belgium		—		12,305,580		—			12,305,580
Brazil		11,200,924		—		—			11,200,924
Canada		27,492,402		—		—			27,492,402
Chile		2,902,115		—		—			2,902,115
Denmark		—		3,150,523		—			3,150,523
Finland		—		4,436,083		—			4,436,083
France		—		83,365,610		—			83,365,610
Germany		—		48,619,823		—			48,619,823
Hong Kong		—		9,038,376		—			9,038,376
India		—		2,529,307		—			2,529,307
Ireland		—		3,529,237		—			3,529,237
Italy		—		52,641,705		—			52,641,705
Japan		—		193,358,760		—			193,358,760
Mexico		19,882,395		—		—			19,882,395
Netherlands		—		3,983,960		—			3,983,960
New Zealand		—		7,401,120		—			7,401,120
Norway		—		16,363,412		—			16,363,412
Philippines		—		3,506,259		—			3,506,259
Russia		4,264,120		—		—			4,264,120
Singapore		—		7,199,842		—			7,199,842
South Korea		8,831,900		25,537,756		—			34,369,656
Spain		—		10,264,462		—			10,264,462
Sweden		—		4,938,535		—			4,938,535
Switzerland		—		31,065,086		—			31,065,086
United Kingdom		—		145,502,165		—			145,502,165
TOTAL COMMON STOCKS		74,573,856		721,416,056		—			795,989,912
Preferred Stocks
Brazil		1,767,112		—		—			1,767,112
Chile		4,268,110		—		—			4,268,110
Colombia		3,280,168		—		—			3,280,168
South Korea		—		1,975,083		—			1,975,083
TOTAL PREFERRED STOCKS		9,315,390		1,975,083		—			11,290,473
Rights/Warrants
Hong Kong		—		—		0	**		0	**
TOTAL RIGHTS/WARRANTS		—		—		0	**		0	**
Mutual Funds
United States		13,911,067		—		—			13,911,067
TOTAL MUTUAL FUNDS		13,911,067		—		—			13,911,067
Short-Term Investments		15,228,159		—		—			15,228,159
Total Investments		113,028,472		723,391,139		0	**		836,419,611
Derivatives*
Forward Currency Contracts
Foreign currency risk		—		607,166		—			607,166
Total	$	113,028,472	$	723,998,305	$	0	**	$	837,026,777

Description	Level 1		Level 2		Level 3		Total
Global Focused Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	116,605	$	—	$	116,605
Austria		—		238,762		—		238,762
Brazil		78,269		—		—		78,269
Canada		239,648		—		—		239,648
France		—		1,355,216		—		1,355,216
Germany		—		1,146,806		—		1,146,806
Italy		—		838,073		—		838,073
Japan		—		805,026		—		805,026
Mexico		241,892		—		—		241,892
Netherlands		—		710,369		—		710,369
Philippines		—		144,268		—		144,268
Russia		263,452		275,705		—		539,157
Spain		—		423,556		—		423,556
Switzerland		—		312,858		—		312,858
Thailand		—		201,936		—		201,936
United Kingdom		—		213,510		—		213,510
United States		1,250,991		—		—		1,250,991
TOTAL COMMON STOCKS		2,074,252		6,782,690		—		8,856,942
Mutual Funds
United States		130,017		—		—		130,017
TOTAL MUTUAL FUNDS		130,017		—		—		130,017
Short-Term Investments		407,097		—		—		407,097
Total Investments		2,611,366		6,782,690		—		9,394,056
Total	$	2,611,366	$	6,782,690	$	—	$	9,394,056

The risks referenced in the table above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.

* The tables above are based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value.

** Represents the interest in securities that were determined to have a fair value of zero at May 31, 2013.

The underlying funds held at period end are classified above as Level 1, if any. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes.

For all Funds for the period ended May 31, 2013, there were no material transfers between Level 1 and Level 2.

The following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2013		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, 2013			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2013
Foreign Fund
Common Stock
United Kingdom	$	—	$	30,650	$	—	$	—	$	—	$	6,248	$	—	$	—	$	36,898		$	6,248
Total	$	—	$	30,650	$	—	$	—	$	—	$	6,248	$	—	$	—	$	36,898		$	6,248
Foreign Small Companies Fund
Rights/Warrants
Hong Kong	$	—	$	0	$	—	$	—	$	—	$	—	$	—	$	—	$	0	**	$	—
Total	$	—	$	0	$	—	$	—	$	—	$	—	$	—	$	—	$	0	**	$	—

* The Funds account for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period.

** Represents the interest in securities that were determined to have a fair value of zero at May 31, 2013.

The net aggregate direct and/or indirect exposure to investments in securities using Level 3 inputs (based on the Funds’ net assets) as of May 31, 2013 were as follows:

Fund Name	Level 3 securities
Foreign Fund	0.0%*
Foreign Small Companies Fund	—
Global Focused Equity Fund	—

* Rounds to 0.0%.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. Dollars at the close of regular trading on the NYSE, generally at 4:00 pm Boston time. Income and expenses denominated in foreign currencies are typically translated into U.S. Dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Investment and other risks

The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times:

	Foreign Fund	Foreign Small Companies Fund	Global Focused Equity Fund
Market Risk – Equities Risk	X	X	X
Liquidity Risk	X	X	X
Smaller Company Risk	X	X	X
Derivatives Risk	X	X	X
Non-U.S. Investment Risk	X	X	X
Currency Risk	X	X	X
Focused Investment Risk	X	X	X
Leveraging Risk	X	X	X
Counterparty Risk	X	X	X
Market Disruption and Geopolitical Risk	X	X	X
Large Shareholder Risk	X	X	X
Management and Operational Risk	X	X	X
Non-Diversified Funds	X		X

Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.

Each Fund that invests in other GMO Funds and other investment companies is exposed to the risks to which the underlying funds in which it invests are exposed. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and, references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through other GMO Funds and other investment companies.

An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market value of their holdings will decline. Market risks include:

Equities Risk — Funds that invest in equities run the risk that the market prices of those investments will decline. The market prices of equities may decline for reasons that directly relate to the issuing company, such as poor management performance or reduced demand for its goods or services. They also may decline due to factors that affect a particular industry, such as a decline in demand, labor or raw material shortages or increased production costs. In addition, market prices may decline as a result of general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. Equities generally have significant price volatility and the market prices of equities can decline in a rapid or unpredictable manner.

The Funds invest a substantial portion of their assets in equities and, as a result, declines in stock market prices generally are likely to reduce the net asset values of those Funds’ shares.

If a Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate to or will decline from that value for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments.

The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.

• LIQUIDITY RISK. Liquidity risk is the risk that low trading volume, lack of a market maker, large position size or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits or prevents a Fund from selling particular securities or unwinding derivative positions at desirable prices. In addition to these risks, a Fund is exposed to liquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). All of the Funds are subject to liquidity risk, but those with the greatest risk have principal investment strategies that involve investment in asset-backed securities, emerging country debt securities, securities of companies with smaller market capitalizations or smaller total float-adjusted market capitalizations and emerging market securities. These types of investments can be difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the value placed on them when they were held by the Fund. In addition, Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”) have exhibited periods of greatly reduced liquidity when disruptions in fixed income markets have occurred, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when market prices decline generally.

All of the Funds with benchmarks may buy securities that are less liquid than those in their benchmarks.

• SMALLER COMPANY RISK. Companies with smaller market capitalizations, including small- and mid-cap companies, may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. In addition, market risk and liquidity risk are particularly pronounced for securities of these companies.

• DERIVATIVES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates or indices. Derivatives involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. Derivatives include futures, non-U.S. currency contracts, swap agreements, reverse repurchase agreements and other OTC contracts. Derivatives may relate to securities, interest rates, currencies or currency exchange rates, inflation rates, commodities and indices.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks of investing directly in securities and other more traditional assets. In particular, a Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed only with the consent of the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed to it under OTC derivatives contracts, or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., forward currency contracts), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs the risk of having limited recourse if the counterparty defaults. Even when obligations are required by contract to be collateralized, a Fund often will not receive the collateral the day the collateral is called for. The Funds may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Funds. Derivatives risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. In addition, during those periods, a Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives in which it has invested.

Derivatives also present other risks described in this section, including market risk, liquidity risk, currency risk, credit risk and counterparty risk. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values a Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of a Fund’s net asset value.

A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures, potentially resulting in losses for the Fund.

Swap agreements and other OTC derivatives are highly susceptible to liquidity risk (see “Liquidity Risk” above) and counterparty risk (see “Counterparty Risk” below), and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself.

A Fund’s use of derivatives may be subject to one or more special tax rules and could generate additional taxable income for shareholders.

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. Because the legislation leaves much to rule making (and many of the rules are not yet final), its ultimate impact remains unclear.

Under recently adopted rules and regulations, transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds will hold cleared derivatives through accounts at clearing members. In cleared derivatives transactions, the Funds will make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.

In many ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements. For example, the Funds may be required to provide more margin for cleared derivatives transactions than for bilateral derivatives transactions. Also, in contrast to a bilateral derivatives transaction, following a period of notice to a Fund, a clearing member generally can require termination of an existing cleared derivatives transaction at any time or an increase in margin requirements above the margin that the clearing member required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions or to terminate those transactions at any time. Any increase in margin requirements or termination of existing cleared derivatives transactions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member, because (as described under “Counterparty Risk” below) margin for cleared derivatives transactions in excess of a clearing house’s margin requirements typically is held by the clearing member. Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of the transaction, including loss of an increase in the value of the transaction and/or loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member and typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent.

These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund, increasing margin or capital requirements, or otherwise limiting liquidity or increasing transaction costs. These regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that the new clearing mechanisms will achieve that result, and in the meantime, as noted above, central clearing exposes the Funds to new kinds of risks and costs

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to additional and more varied risks than Funds whose investments are limited to U.S. securities. The securities markets of many non-U.S. countries include securities of only a limited number of companies in a limited number of industries. As a result, the market prices of many of those securities fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to the same degree of regulation as U.S. issuers. Reporting, accounting, custody and auditing standards of non-U.S. countries differ, in some cases significantly, from U.S. standards. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs. In addition, some jurisdictions may limit the Fund’s ability to profit from short term trading (as defined in the relevant jurisdiction).

A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments and (iii) the repatriation of proceeds generated from the sale of those investments. A Fund may seek to collect a refund in respect of taxes paid to a non-U.S. country. In those cases, all or a portion of those taxes could ultimately be recovered by a Fund. However, the recovery process could take several years and the Fund will incur expenses in its efforts to collect the refund, which will reduce the benefit of any recovery. A Fund’s efforts to collect a refund may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. A Fund’s decision to pursue a refund is in its sole discretion, and it may decide not to pursue a refund, even if eligible.

Also, investing in non-U.S. securities exposes a Fund to the risk of nationalization, expropriation or confiscatory taxation of assets of their issuers, adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments.

In some non-U.S. markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the U.S. with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Fluctuations in non-U.S. currency exchange rates also will affect the market value of a Fund’s non-U.S. investments (see “Currency Risk” below).

U.S. investors are required to maintain a license to invest directly in many non-U.S. markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license is terminated or suspended, to obtain exposure to the market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of the Manager’s clients may preclude other clients, including a Fund, from obtaining a similar license, and this could limit the Fund’s investment opportunities. In addition, the activities of another of the Manager’s clients could cause the suspension or revocation of a license and thereby limit the Funds’ investment opportunities.

Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of assets of issuers of securities in a Fund’s portfolio; greater governmental involvement in the economy; less governmental supervision and regulation of the securities markets and participants in those markets; controls on non-U.S. investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. Dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e., a market freeze); unavailability of currency hedging techniques; differences in, or lack of, auditing and financial reporting standards and resulting unavailability of material information about issuers; slower clearance and settlement; difficulties in obtaining and/or enforcing legal judgments; and significantly smaller market capitalizations of issuers.

• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the non-U.S. currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position, will decline in value relative to the U.S. Dollar. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss both on the hedging instrument and on the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons, including changes in supply and demand in the currency exchange markets, trade balances, actual or perceived changes in interest rates, differences in relative values of similar assets in different currencies, long-term opportunities for investment and capital appreciation, intervention (or the failure to intervene) by governments, central banks or supranational agencies such as the International Monetary Fund, and currency or exchange controls or other political and economic developments in the U.S. or abroad. See “Market Disruption and Geopolitical Risk” below.

Many of the Funds use derivatives to take overweighted or underweighted currency positions relative to the currency exposure of their portfolios. As a result, their currency exposure may differ (in some cases significantly) from the currency exposure of their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money both on its holdings of a particular currency and on the derivative. See also “Non-U.S. Investment Risk” above.

Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. Dollars, in which case the Manager may decide to purchase U.S. Dollars in a parallel market in which the exchange rate is materially and adversely different. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.

Derivative transactions in non-U.S. currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described below under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk” below).

• FOCUSED INVESTMENT RISK. Funds whose investments are focused in particular countries, regions, sectors, companies or industries with high positive correlations to one another (e.g., different industries within broad sectors, such as technology or financial services), or in securities from issuers with high positive correlations to one another (such as GMO U.S. Treasury Fund’s investments in securities issued by the U.S. Treasury and other fixed income securities that are backed by the full faith and credit of the U.S. government), are subject to greater overall risk than funds whose investments are more diversified. A Fund that invests in the securities of a limited number of issuers is particularly exposed to adverse developments affecting those issuers, and a decline in the market price of a particular security held by the Fund is likely to affect the Fund’s performance more than if the Fund invested in the securities of a larger number of issuers.

A Fund that focuses its investments in a particular type of security or sector, or in securities of companies in a particular industry, is vulnerable to events affecting those securities, sectors, or companies. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments.

Similarly, Funds having a significant portion of their assets in investments tied economically to (or related to) a particular geographic region, non-U.S. country (e.g., Taiwan) or particular market (e.g., emerging markets) have more exposure to regional and country economic risks than funds making non-U.S. investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in currency valuation in one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk” above.

• LEVERAGING RISK. The use of reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives have the potential for unlimited loss, regardless of the size of the initial investment. A Fund’s use of reverse repurchase agreements also subjects it to interest costs based on the difference between the sale and repurchase price of the security involved. A Fund’s portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.

A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.

• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise hold investments it would prefer to sell, resulting in losses for the Fund. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties maintain a specific rating by a nationally recognized rating organization to be considered for potential transactions. To the extent that GMO’s view with respect to a particular counterparty changes (whether due to external events or otherwise), existing transactions are not required to be terminated or modified. Additionally, new transactions may be entered into with a counterparty that is no longer considered eligible if the transaction is primarily designed to reduce the overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lesser notional amount). Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies, but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time that events may occur that prevent settlement. Counterparty risk also is greater when a Fund has concentrated its derivatives with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Significant exposure to a single counterparty increases a Fund’s counterparty risk. Funds that use swap agreements are subject, in particular, to the creditworthiness of the counterparties because some types of swap agreements have durations longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be promptly posted as required.

The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds.

Counterparty risk with respect to derivatives will be affected by new rules and regulations affecting the derivatives market. As described under “Derivatives Risk” above, some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position, rather than the credit risk of its original counterparty to the derivatives transaction. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. A clearing member is obligated by contract and by applicable regulation to segregate all funds received from customers with respect to cleared derivatives transactions from the clearing member’s proprietary assets. However, all funds and other property received by a clearing member from its customers with respect to cleared derivatives are generally held by the clearing member on a commingled basis in an omnibus account, and the clearing member may invest those funds in certain instruments permitted under the applicable regulations. Therefore, a Fund might not be fully protected in the event of the bankruptcy of a Fund’s clearing member because the Fund would be limited to recovering only a pro rata share of all available funds segregated on behalf of the clearing member’s customers for a relevant account class. Also, the clearing member is required to transfer to the clearing house the amount of margin required by the clearing house for cleared derivatives, which amounts are generally held in an omnibus account at the clearing house for all customers of the clearing member. Regulations promulgated by the Commodities Futures Trading Commission require that the clearing member notify the clearing house of the initial margin provided by the clearing member to the clearing house that is attributable to each customer. However, if the clearing member does not accurately report the Funds’ initial margin, the Funds are subject to the risk that a clearing house will use a Fund’s assets held in an omnibus account at the clearing house to satisfy payment obligations of a defaulting customer of the clearing member to the clearing house. In addition, clearing members generally provide the clearing house the net amount of variation margin required for cleared swaps for all of its customers in the aggregate, rather than individually for each customer. The Funds are therefore subject to the risk that a clearing house will not make variation margin payments owed to a Fund if another customer of the clearing member has suffered a loss and is in default, and the risk that a Fund will be required to provide additional variation margin to the clearing house before the clearing house will move the Fund’s cleared derivatives transactions to another clearing member. In addition, if a clearing member does not comply with the applicable regulations or its agreement with the Funds, or in the event of fraud or misappropriation of customer assets by a clearing member, a Fund could have only an unsecured creditor claim in an insolvency of the clearing member with respect to the margin held by the clearing member.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events will disrupt securities markets, adversely affect global economies and markets and thereby decrease the value of the Funds’ investments. The wars in Iraq and Afghanistan have had a substantial effect on the economies and securities markets of the U.S. and other countries. Terrorism in the U.S. and around the world has had a similar global impact and has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation (e.g., the potential manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trade practices, which could disrupt the orderly functioning of these markets or adversely affect the value of investments traded in these markets, including investments of the Funds. While the U.S. government has honored its credit obligations continuously for the last 200 years, it remains possible that the U.S. could default on its obligations. While it is impossible to predict the consequences of such an unprecedented event, it is likely that a default by the U.S. would be highly disruptive to the U.S. and global securities markets and could significantly impair the value of the Funds’ investments. Similarly, political events within the U.S. at times have resulted, and may in the future result, in a shutdown of government services, which could negatively affect the U.S. economy, decrease the value of many Fund investments, and increase uncertainty in or impair the operation of the U.S. or other securities markets. The uncertainty surrounding the sovereign debt of a significant number of European Union countries as well as the continued existence of the European Union itself, have disrupted and may continue to disrupt markets in the U.S. and around the world. If one or more countries leave the European Union or the European Union dissolves, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also could negatively impact the Funds. War, terrorism, economic uncertainty and related geopolitical events have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment and other factors affecting the value of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs for a period of time and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis. To the extent that a Fund has focused its investments in the stock index of particular region, adverse geopolitical and other events could have a disproportionate impact on the Fund.

• LARGE SHAREHOLDER RISK. To the extent that a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance if it is forced to sell portfolio securities to raise the cash needed to satisfy the redemption request. In addition, GMO Funds and other accounts over which GMO has investment discretion that invest in the Funds are not subject to restrictions on the frequency of trading of Fund shares. Asset Allocation Funds and separate accounts managed by the Manager for its clients hold substantial percentages of the shares of many Funds, and asset allocation decisions by the Manager may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) at times when it would not otherwise do so. Redemptions of a large number of shares also may increase transaction costs, by necessitating a sale of portfolio securities, or accelerate the realization of taxable income to shareholders. They also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any). In addition, each Fund that invests in other GMO Funds subject to large shareholder risk is indirectly subject to this risk.

• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on the Manager’s ability to achieve its investment objective. Each Fund runs the risk that the Manager’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. The Manager also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.

For some Funds the Manager’s portfolio managers use quantitative analyses and models. Any imperfections, errors or limitations in those analyses and models could affect the ability of the portfolio managers to implement a Fund’s strategies. By necessity, these analyses and models make simplifying assumptions that limit their effectiveness. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate or may not include the most recent information about a company or a security. The Funds also run the risk that GMO’s assessment of an investment may be wrong. There can be no assurance that key personnel of the Manager will continue to be employed by the Manager. The loss of their services could have an adverse impact on the Manager’s ability to achieve the Funds’ investment objectives.

The Funds also are subject to the risk of loss as a result of other services provided by the Manager and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error and system failures by a service provider. For example, trading delays or errors (both human and systematic) could prevent a Fund from benefiting from potential investment gains or avoiding losses on the security. The Manager is not contractually liable to the Funds for losses associated with operational risk absent the Manager’s willful misfeasance, bad faith, gross negligence or reckless disregard of its contractual obligations to provide services to the Funds. Other Fund service providers also have limitations on their liability to the Funds for losses resulting from their errors.

• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the Investment Company Act of 1940, as amended (the “1940 Act”). This means they are allowed to invest in the securities of a relatively small number of issuers and/or non-U.S. currencies. As a result, they may be subject to greater credit, market and other risks, and poor performance by a single issuer may have a greater impact on their performance, than if they were “diversified.”

The following Funds are not diversified investment companies under the 1940 Act.

• Foreign Fund

• Global Focused Equity Fund

Temporary Defensive Positions.

The Funds normally do not take temporary defensive positions. To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.

Derivative financial instruments

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of the Funds’ portfolios. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap agreements, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Funds may use derivatives as substitutes for direct investment in securities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives, to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap agreements and options) to gain exposure to a given currency.

The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). A Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their investment exposure, the Funds also may use currency derivatives in an attempt to adjust their currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by their portfolio investments.

The Funds may use derivatives to effect transactions intended as substitutes for securities lending.

The Funds may have investment exposures in excess of their net assets (i.e., they may be leveraged). A Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

Certain derivatives transactions used by the Funds, including certain interest rate swaps and certain credit default index swaps, will be required to be cleared. The Funds will hold cleared derivatives transactions through clearing members, who are futures commission merchants who are members of derivatives clearing houses. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing members generally can require termination of existing cleared derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investment and other risks” above for further information.

For Funds that held derivatives during the period ended May 31, 2013, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use	Foreign   Fund		Foreign Small   Companies Fund
Forward currency contracts
To manage against anticipated currency exchange rate changes		X		X
Rights and/or warrants
Received as a result of corporate actions				X

Forward currency contracts

The Funds may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked to market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Futures contracts

The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Options

The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

The Funds may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

When an option contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Funds value OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Funds may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap agreements are net settled. When entering into a swap agreement and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Initial upfront payments received or made upon entering into a swap agreement are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or loss.

Interest rate swap agreements involve an exchange by the parties of their respective commitments to pay or right to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal).

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

The values assigned to swap agreements may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap agreement. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Rights and warrants

The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.

The following is a summary of the fair valuations of derivative instruments categorized by risk exposure:

Fair Values of Derivative Instruments as of May 31, 2013:

	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Foreign Fund
Asset:
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—		$	377,302	$	—	$	—	$	377,302
Total	$	—	$	—		$	377,302	$	—	$	—	$	377,302
Foreign Small Companies Fund
Asset:
Investments, at value (rights and/or warrants)	$	—	$	0	*	$	—	$	—	$	—	$	0	*
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—		$	607,166	$	—	$	—	$	607,166
Total	$	—	$	—		$	607,166	$	—	$	—	$	607,166

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.

* Represents the interest in securities that were determined to have a fair value of zero at May 31, 2013.

The derivative financial instruments outstanding as of period end, if any, (as disclosed in the Funds’ Schedule of Investments) serve as an indicator of the volume of derivative activity for the Funds during the period.

For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.

Currency Hedged International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares / Par Value		Description	Value ($)
		MUTUAL FUNDS — 98.5%
		United States — 98.5%
		Affiliated Issuers
	5,060,752	GMO International Growth Equity Fund, Class IV		133,198,999
	94,862,656	GMO International Intrinsic Value Fund, Class IV		2,102,156,447
		TOTAL MUTUAL FUNDS (COST $1,946,113,564)		2,235,355,446
		SHORT-TERM INVESTMENTS — 2.5%
		Time Deposits — 2.5%
USD	10,257,107	Bank of Tokyo-Mitsubishi (Tokyo) Time Deposit, 0.06%, due 06/03/13		10,257,107
USD	23,158,864	BNP Paribas (Paris) Time Deposit, 0.06%, due 06/03/13		23,158,864
EUR	7,130	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.00%, due 06/03/13 (a)		9,247
USD	23,158,864	Societe Generale (Paris) Time Deposit, 0.06%, due 06/03/13		23,158,864
		Total Time Deposits		56,584,082
		TOTAL SHORT-TERM INVESTMENTS (COST $56,584,082)		56,584,082
		TOTAL INVESTMENTS — 101.0% (Cost $2,002,697,646)		2,291,939,528
		Other Assets and Liabilities (net) — (1.0%)		(22,975,805	)
		TOTAL NET ASSETS — 100.0%		$2,268,963,723

A summary of outstanding financial instruments at May 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
06/28/2013	BOA		AUD	159,164,645		USD	153,107,475	$	1,051,159
06/28/2013	GS		AUD	23,659,815		USD	23,056,300		453,138
06/28/2013	BBH		CHF	163,670,718		USD	167,996,868		(3,203,947	)
06/28/2013	RBS		DKK	103,180,309		USD	17,803,967		(189,270	)
06/28/2013	BCLY		EUR	201,161,448		USD	259,014,072		(2,478,055	)
06/28/2013	DB		EUR	137,000,000		USD	176,262,556		(1,825,352	)
06/28/2013	JPM		EUR	57,337,006		USD	74,219,200		(313,848	)
06/28/2013	MSCI		EUR	136,990,000		USD	176,219,415		(1,855,493	)
06/28/2013	BCLY		GBP	26,831,394		USD	40,519,000		(241,716	)
06/28/2013	DB		GBP	119,100,000		USD	179,285,875		(1,644,023	)
06/28/2013	MSCI		GBP	164,847,443		USD	247,979,349		(2,447,443	)
06/28/2013	RBS		HKD	191,523,973		USD	24,672,588		(2,829	)
06/28/2013	BCLY		JPY	21,115,564,092		USD	205,673,720		(4,545,340	)
06/28/2013	DB		JPY	9,962,791,081		USD	97,315,975		(1,870,036	)
06/28/2013	GS		JPY	11,040,184,087		USD	107,864,859		(2,047,294	)
06/28/2013	MSCI		JPY	11,096,389,713		USD	108,593,837		(1,877,880	)
06/28/2013	BBH		NOK	431,276,407		USD	73,414,998		(6,337	)
06/28/2013	BBH		NZD	27,948,086		USD	22,550,500		374,548
06/28/2013	BBH		SEK	132,380,391		USD	19,761,190		(214,038	)
06/28/2013	BBH		SGD	28,537,116		USD	22,499,561		(78,468	)
06/28/2013	BCLY		USD	20,906,394		JPY	2,140,584,747		404,508
06/28/2013	BOA		USD	8,364,387		CAD	8,680,126		3,298
								$	(22,554,718	)

Notes to Schedule of Investments:

(a) Rate rounds to 0.00%.

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

RBS - Royal Bank of Scotland PLC

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 95.4%
		Australia — 0.9%
	6,941	Commonwealth Bank of Australia		440,974
	6,296	CSL Ltd		358,246
	96,333	GPT Group (REIT)		356,765
	320,046	Telstra Corp Ltd		1,447,127
	37,458	Westpac Banking Corp		1,009,526
		Total Australia		3,612,638
		Austria — 0.4%
	23,024	OMV AG		1,062,070
	9,268	Voestalpine AG		307,145
		Total Austria		1,369,215
		Belgium — 0.5%
	20,310	Anheuser-Busch InBev NV		1,870,254
		Canada — 0.1%
	32,400	Research In Motion Ltd *		451,584
		Denmark — 0.2%
	3,944	Novo-Nordisk A/S-Class B		639,235
		Finland — 0.2%
	210,040	Nokia Oyj *		702,647
		France — 7.2%
	98,568	ArcelorMittal		1,245,626
	85,863	AXA		1,733,549
	44,559	BNP Paribas		2,607,577
	18,964	Bouygues SA		503,736
	12,762	Carrefour SA		373,639
	2,893	Casino Guichard-Perrachon SA		302,623
	36,129	CNP Assurances		545,529
	12,185	Compagnie de Saint-Gobain		529,213
	42,061	Credit Agricole SA *		394,360
	9,838	European Aeronautic Defense and Space Co NV		566,478
	156,208	France Telecom SA		1,584,201
	140,058	GDF Suez		2,856,372
	10,765	Lafarge SA		767,659
	30,084	Peugeot SA *		264,859
	22,979	Renault SA		1,773,526
	16,283	Sanofi		1,736,228
	27,659	Societe Generale		1,103,101
	127,572	Total SA		6,376,476
	18,359	Vinci SA		941,539
	79,836	Vivendi SA		1,562,580
		Total France		27,768,871
		Germany — 3.6%
	9,287	Allianz SE (Registered)		1,434,531
	4,808	BASF AG		465,969

Shares		Description	Value ($)
		Germany — continued
	7,303	Bayerische Motoren Werke AG		693,042
	12,643	Bayer AG (Registered)		1,351,125
	3,276	Continental AG		428,638
	11,254	Daimler AG (Registered)		714,787
	18,558	Deutsche Lufthansa AG (Registered) *		398,159
	12,009	Deutsche Bank AG (Registered)		557,961
	20,123	Deutsche Post AG (Registered)		507,097
	118,231	E.ON AG		1,992,327
	7,964	Hannover Rueckversicherung AG (Registered)		599,557
	10,392	HeidelbergCement AG		783,248
	6,396	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		1,193,014
	25,373	RWE AG		865,741
	3,585	Siemens AG (Registered)		377,904
	13,366	Suedzucker AG		452,241
	17,810	ThyssenKrupp AG *		353,196
	3,080	Volkswagen AG		652,487
		Total Germany		13,821,024
		Hong Kong — 0.0%
	37	Esprit Holdings Ltd		56
		Ireland — 0.4%
	50,517	CRH Plc		1,066,786
	8,976	Kerry Group Plc-Class A		510,251
		Total Ireland		1,577,037
		Italy — 4.0%
	1,106,749	Enel SPA		4,165,709
	186,761	ENI SPA		4,247,229
	136,186	Fiat SPA *		1,067,334
	122,652	Finmeccanica SPA *		677,352
	460,953	Intesa Sanpaolo SPA		859,932
	153,751	Mediaset SPA *		477,319
	128,256	Parmalat SPA		396,305
	26,500	Prada SPA		253,816
	17,325	Prysmian SPA		368,765
	1,273,059	Telecom Italia SPA		985,477
	671,539	Telecom Italia SPA-Di RISP		415,181
	255,894	UniCredit SPA		1,436,125
		Total Italy		15,350,544
		Japan — 11.4%
	57,000	Aeon Co Ltd		665,280
	26,000	Ajinomoto Co Inc		357,962
	15,500	Asahi Breweries Ltd		371,647
	14,000	Astellas Pharma Inc		714,927
	6,200	Central Japan Railway Co		682,607
	17,248	Century Tokyo Leasing Corp		437,524
	121,000	Cosmo Oil Co Ltd *		217,437
	14,700	Credit Saison Co Ltd		342,755

Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	26,000	Daiwa House Industry Co Ltd		491,347
	66,000	Daiwa Securities Group Inc		539,864
	1,200	Fast Retailing Co Ltd		403,629
	16,500	FujiFilm Holdings Corp		340,512
	23,000	Fuji Heavy Industries Ltd		518,043
	155,000	Hitachi Ltd		1,043,278
	93	INPEX Corp		395,901
	54,000	Isuzu Motors Ltd		400,895
	158,500	Itochu Corp		1,964,226
	4,400	Japan Airlines Co Ltd		225,534
	16,400	Japan Tobacco Inc		558,141
	48,500	JFE Holdings Inc		996,722
	120,620	JX Holdings Inc		586,002
	44,200	KDDI Corp		1,994,038
	189,000	Marubeni Corp		1,305,005
	287,000	Mazda Motor Corp *		1,104,048
	15,000	Mitsubishi Estate Co Ltd		369,555
	72,000	Mitsubishi Chemical Holdings Corp		340,735
	53,300	Mitsubishi Corp		921,147
	20,000	Mitsui Fudosan Co Ltd		551,767
	61,200	Mitsui & Co Ltd		766,462
	92,000	Mitsui OSK Lines Ltd *		326,750
	375,800	Mizuho Financial Group Inc		715,491
	393,545	Nippon Steel Corp		986,585
	67,700	Nippon Telegraph & Telephone Corp		3,338,965
	179,000	Nippon Yusen Kabushiki Kaisha		458,938
	65,500	Nissan Motor Co Ltd		707,330
	7,400	Nitto Denko Corp		439,321
	78,000	Nomura Holdings Inc		591,432
	1,264	NTT Docomo Inc		1,846,726
	26,900	ORIX Corp		356,747
	14,800	Otsuka Holdings Co Ltd		474,759
	41,000	Ricoh Co Ltd		476,007
	66,600	Showa Shell Sekiyu KK		526,192
	12,000	SoftBank Corp		599,822
	303,000	Sojitz Corp		522,222
	62,400	Sony Corp		1,233,816
	141,900	Sumitomo Corp		1,774,140
	40,000	Sumitomo Metal Mining Co Ltd		502,640
	16,000	Sumitomo Mitsui Financial Group Inc		631,676
	140,000	Sumitomo Mitsui Trust Holdings Inc		573,579
	13,000	Sumitomo Realty & Development Co Ltd		497,178
	180,000	Taisei Corp		564,989
	30,400	Takeda Pharmaceutical Co Ltd		1,347,399
	33,000	Tokyu Land Corp		298,228
	52,000	TonenGeneral Sekiyu KK		510,861
	34,800	Toyota Motor Corp		2,030,905
	45,000	Toyota Tsusho Corp		1,190,740
	11,220	Yamada Denki Co Ltd		423,225
		Total Japan		43,553,653

Shares		Description	Value ($)
		Netherlands — 0.5%
	61,183	Aegon NV		417,439
	4,520	Heineken NV		314,451
	128,445	ING Groep NV *		1,197,711
		Total Netherlands		1,929,601
		Norway — 0.3%
	43,373	Statoil ASA		979,344
		Portugal — 0.2%
	257,680	EDP-Energias de Portugal SA		830,987
	13,797	Portugal Telecom SGPS SA		58,538
		Total Portugal		889,525
		Singapore — 0.8%
	239,000	CapitaCommercial Trust (REIT)		285,872
	141,000	Capitaland Ltd		383,621
	305,019	Global Logistic Properties Ltd		674,587
	98,522	Keppel Land Ltd		289,385
	94,000	SembCorp Industries Ltd		360,066
	59,000	StarHub Ltd		186,987
	30,000	United Overseas Bank Ltd		506,702
	29,386	Venture Corp Ltd		169,865
	146,971	Yanlord Land Group Ltd		165,141
		Total Singapore		3,022,226
		Spain — 4.1%
	20,956	ACS Actividades de Construccion y Servicios SA		585,938
	195,629	Banco Bilbao Vizcaya Argentaria SA		1,833,579
	327,748	Banco Santander SA		2,344,132
	37,873	Distribuidora Internacional de Alimentacion SA		296,824
	40,624	Ferrovial SA		654,217
	60,608	Gas Natural SDG SA		1,252,120
	5,727	Grifols SA *		209,705
	235,220	Iberdrola SA		1,272,324
	12,260	Inditex SA		1,517,669
	250,169	Mapfre SA		898,898
	85,033	Repsol YPF SA		1,934,847
	222,907	Telefonica SA *		3,066,970
		Total Spain		15,867,223
		Sweden — 0.1%
	11,108	Svenska Cellulosa AB-Class B		276,029
		Switzerland — 0.5%
	1,743	Roche Holding AG (Non Voting)		432,153
	609	Swisscom AG (Registered)		259,986
	4,306	Zurich Insurance Group AG		1,138,794
		Total Switzerland		1,830,933

Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — 7.9%
	20,989	Anglo American Plc		480,907
	26,194	ARM Holdings Plc		383,640
	3,462	Associated British Foods Plc		94,870
	65,197	AstraZeneca Plc		3,335,755
	218,014	Aviva Plc		1,095,595
	116,669	BAE Systems Plc		713,202
	92,784	Balfour Beatty Plc		325,223
	501,344	Barclays Plc		2,401,507
	804,320	BP Plc		5,748,643
	258,773	BT Group Plc		1,177,561
	45,963	Diageo Plc		1,357,742
	51,686	Kingfisher Plc		269,275
	1,206,143	Lloyds Banking Group Plc *		1,121,041
	89,560	Marks & Spencer Group Plc		633,813
	9,361	Next Plc		654,634
	38,414	Prudential Plc		646,166
	3,734	Reckitt Benckiser Group Plc		267,013
	12,437	Rio Tinto Plc		531,194
	92,261	Royal Dutch Shell Plc A Shares (London)		3,070,529
	70,431	Royal Dutch Shell Plc B Shares (London)		2,427,963
	326,996	RSA Insurance Group Plc		569,290
	129,745	TUI Travel Plc		700,575
	513,228	Vodafone Group Plc		1,487,393
	9,108	Wolseley Plc		463,110
	28,788	WPP Plc		490,089
		Total United Kingdom		30,446,730
		United States — 52.1%
	24,300	3M Co.		2,679,561
	43,800	Abbott Laboratories		1,606,146
	14,400	Accenture Plc-Class A		1,182,384
	17,586	Aetna, Inc.		1,061,843
	2,400	Affiliated Managers Group, Inc. *		393,600
	18,600	AFLAC, Inc.		1,035,834
	6,100	Alexion Pharmaceuticals, Inc. *		594,994
	3,500	Allergan, Inc.		348,215
	18,000	Allstate Corp. (The)		868,320
	22,600	Altria Group, Inc.		815,860
	25,200	American Capital Agency Corp. (REIT)		650,160
	31,500	American International Group, Inc. *		1,400,490
	8,500	American Tower Corp. (REIT)		661,640
	18,500	Amgen, Inc.		1,859,805
	5,100	Apple, Inc.		2,293,368
	12,300	Assurant, Inc.		611,802
	62,100	AT&T, Inc.		2,172,879
	19,600	Automatic Data Processing, Inc.		1,346,912
	1,000	AutoZone, Inc. *		408,830
	211,600	Bank of America Corp.		2,890,456
	14,900	Baxter International, Inc.		1,047,917
	13,500	Becton, Dickinson and Co.		1,331,370
	4,800	Bed Bath & Beyond, Inc. *		327,600
	25,300	Best Buy Co., Inc.		697,015

Shares		Description	Value ($)
		United States — continued
	3,400	Biogen Idec, Inc. *		807,466
	3,500	BlackRock, Inc.		977,200
	20,800	Bristol – Myers Squibb Co.		957,008
	9,200	Cabot Oil & Gas Corp.		647,312
	22,800	CBS Corp.-Class B (Non Voting)		1,128,600
	4,600	Celgene Corp. *		568,790
	34,500	Chevron Corp.		4,234,875
	15,700	CH Robinson Worldwide, Inc.		890,033
	82,500	Cisco Systems, Inc.		1,986,600
	47,700	Citigroup, Inc.		2,479,923
	22,100	Coach, Inc.		1,287,546
	65,400	Coca-Cola Co. (The)		2,615,346
	11,300	Cognizant Technology Solutions Corp.-Class A *		730,545
	13,000	Colgate-Palmolive Co.		751,920
	36,400	Comcast Corp.-Class A		1,412,320
	10,400	ConAgra Foods, Inc.		350,376
	11,300	Covidien Plc		718,680
	6,200	CR Bard, Inc.		639,158
	6,100	Crown Castle International Corp. *		434,625
	3,444	CST Brands, Inc. *		104,663
	10,400	Danaher Corp.		642,928
	72,500	Dell, Inc.		967,875
	29,000	Delta Air Lines, Inc. *		522,290
	25,600	Discover Financial Services		1,213,696
	9,300	Dollar Tree, Inc. *		446,772
	5,800	Eastman Chemical Co.		415,976
	31,900	eBay, Inc. *		1,725,790
	19,400	Ecolab, Inc.		1,638,718
	36,700	Eli Lilly & Co.		1,950,972
	20,600	EMC Corp. *		510,056
	5,600	Entergy Corp.		385,728
	5,200	EOG Resources, Inc.		671,320
	12,900	Exelon Corp.		404,286
	7,000	Expeditors International of Washington, Inc.		273,210
	10,300	Fastenal Co.		537,454
	8,700	FMC Corp.		545,577
	14,200	Forest Laboratories, Inc. *		564,450
	2,600	Franklin Resources, Inc.		402,506
	13,300	GameStop Corp.-Class A		441,028
	14,600	Gannett Co., Inc.		313,900
	16,400	Gap Inc. (The)		665,020
	34,200	General Growth Properties, Inc. REIT		702,126
	60,100	General Motors Co. *		2,036,789
	23,700	General Dynamics Corp.		1,827,270
	11,500	General Mills, Inc.		541,420
	9,700	Genuine Parts Co.		754,078
	48,200	Genworth Financial, Inc.-Class A *		521,042
	23,400	Gilead Sciences, Inc. *		1,274,832
	9,400	Goldman Sachs Group, Inc. (The)		1,523,552
	5,500	Google, Inc.-Class A *		4,787,255
	54,200	Hartford Financial Services Group, Inc. (The)		1,660,146
	5,400	Helmerich & Payne, Inc.		333,396

Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	13,500	Hertz Global Holdings, Inc. *		348,705
	94,600	Hewlett-Packard Co.		2,310,132
	11,500	HollyFrontier Corp.		569,250
	55,000	Home Depot, Inc.		4,326,300
	17,100	Hormel Foods Corp.		680,922
	8,300	Ingersoll-Rand Plc		477,499
	34,700	Intel Corp.		842,516
	15,100	International Business Machines Corp.		3,141,102
	14,500	International Paper Co.		669,175
	13,200	Intuit, Inc.		771,408
	800	Intuitive Surgical, Inc. *		398,024
	62,400	Johnson & Johnson		5,252,832
	56,300	JPMorgan Chase & Co.		3,073,417
	2,800	Kansas City Southern		309,960
	17,200	Kimberly-Clark Corp.		1,665,476
	8,600	L-3 Communications Holdings, Inc.		731,774
	18,300	Lincoln National Corp.		652,578
	21,200	Lowe’s Cos., Inc.		892,732
	17,200	LyondellBasell Industries NV-Class A		1,146,380
	3,900	M&T Bank Corp.		409,110
	15,700	Marathon Petroleum Corp.		1,295,250
	20,000	Marathon Oil Corp.		687,800
	18,500	Masco Corp.		388,870
	25,400	McDonald’s Corp.		2,452,878
	16,200	Medtronic, Inc.		826,362
	47,100	Merck & Co., Inc.		2,199,570
	33,800	MetLife, Inc.		1,494,298
	196,700	Microsoft Corp.		6,860,896
	10,900	Monsanto Co.		1,096,976
	14,100	Monster Beverage Corp. *		769,719
	9,000	Moody’s Corp.		597,960
	33,500	Morgan Stanley		867,650
	11,100	News Corp.		357,864
	20,300	News Corp.-Class A		651,833
	4,700	NextEra Energy, Inc.		355,414
	29,000	Nike, Inc.-Class B		1,788,140
	4,800	O’Reilly Automotive, Inc. *		522,768
	70,900	Oracle Corp.		2,393,584
	27,500	Paychex, Inc.		1,023,825
	39,700	PepsiCo, Inc.		3,206,569
	150,873	Pfizer, Inc.		4,108,272
	30,700	Philip Morris International, Inc.		2,790,937
	23,600	Phillips 66		1,571,052
	31,900	Pitney Bowes, Inc.		468,292
	4,900	PPG Industries, Inc.		752,689
	52,600	Procter & Gamble Co. (The)		4,037,576
	12,700	Prudential Financial, Inc.		875,919
	21,900	Pulte Homes, Inc. *		472,821
	36,600	Qualcomm, Inc.		2,323,368
	6,600	Raytheon Co.		439,824
	3,000	Regeneron Pharmaceuticals, Inc. *		725,610
	92,600	Regions Financial Corp.		845,438

Shares		Description	Value ($)
		United States — continued
	19,600	Reynolds American, Inc.		942,956
	13,400	Rockwell Collins, Inc.		867,650
	9,600	Ross Stores, Inc.		617,280
	4,600	Sherwin-Williams Co. (The)		867,238
	8,700	Sigma–Aldrich Corp.		727,842
	109,500	Sirius XM Radio, Inc.		381,060
	10,200	Southwestern Energy Co. *		384,438
	34,700	Staples, Inc.		520,500
	16,200	Starbucks Corp.		1,021,734
	8,500	State Street Corp.		562,530
	18,700	Stryker Corp.		1,241,493
	20,600	SunTrust Banks, Inc.		661,054
	41,000	Sysco Corp.		1,385,800
	4,700	Teradata Corp. *		262,025
	9,200	Tesoro Corp.		567,180
	7,300	Time Warner Cable, Inc.		697,223
	15,500	Time Warner, Inc.		904,735
	26,000	TJX Cos., Inc. (The)		1,315,860
	3,900	TransDigm Group, Inc.		569,790
	7,700	Travelers Cos., Inc. (The)		644,644
	13,400	United Continental Holdings, Inc. *		434,964
	28,315	UnitedHealth Group, Inc.		1,773,368
	10,500	United Technologies Corp.		996,450
	16,200	Unum Group		461,376
	15,100	US Bancorp		529,406
	38,600	Valero Energy Corp.		1,568,318
	4,400	Valspar Corp.		315,348
	7,900	Varian Medical Systems, Inc. *		529,379
	3,800	Verisk Analytics, Inc.-Class A *		223,516
	21,200	Verizon Communications, Inc.		1,027,776
	3,400	VF Corp.		625,124
	16,200	Visa, Inc.-Class A		2,885,868
	15,000	Walgreen Co.		716,400
	18,800	Walt Disney Co. (The)		1,185,904
	47,200	Wal–Mart Stores, Inc.		3,532,448
	17,500	WellPoint, Inc.		1,346,975
	31,600	Wells Fargo & Co.		1,281,380
	9,200	Western Digital Corp.		582,544
	22,300	Weyerhaeuser Co. REIT		664,986
	4,000	Whirlpool Corp.		511,040
	5,100	WW Grainger, Inc.		1,312,944
	19,000	Yahoo!, Inc. *		499,700
	9,300	Yum! Brands, Inc.		630,075
		Total United States		199,909,082
		TOTAL COMMON STOCKS (COST $317,265,844)		365,867,451
		PREFERRED STOCKS — 0.5%
		Germany — 0.5%
	3,475	Henkel AG & Co KGaA 1.27%		334,407
	12,089	Porsche Automobil Holding SE 3.14%		997,029

Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares / Par Value		Description	Value ($)
		Germany — continued
	2,279	Volkswagen AG 2.11%		494,957
		Total Germany		1,826,393
		TOTAL PREFERRED STOCKS (COST $1,363,824)		1,826,393
		MUTUAL FUNDS — 2.7%
		United States — 2.7%
		Affiliated Issuers
	415,122	GMO U.S. Treasury Fund		10,382,191
		TOTAL MUTUAL FUNDS (COST $10,379,524)		10,382,191
		SHORT-TERM INVESTMENTS — 0.9%
		Time Deposits — 0.9%
AUD	4,115	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.90%, due 06/03/13		3,938
CAD	3,451	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.28%, due 06/03/13		3,329
EUR	14,453	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.00%, due 06/03/13 (a)		18,785
SGD	2,950	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 06/03/13		2,334
JPY	2,783,208	Citibank (New York) Time Deposit, 0.01%, due 06/03/13		27,708
USD	1,955,048	DBS Bank Ltd (Singapore) Time Deposit, 0.06%, due 06/03/13		1,955,048
NOK	219,596	JPMorgan Chase (New York) Time Deposit, 0.48%, due 06/03/13		37,418
USD	1,443,625	Societe Generale (Paris) Time Deposit, 0.06%, due 06/03/13		1,443,625
		Total Time Deposits		3,492,185
		TOTAL SHORT-TERM INVESTMENTS (COST $3,492,185)		3,492,185
		TOTAL INVESTMENTS — 99.5% (Cost $332,501,377)		381,568,220
		Other Assets and Liabilities (net) — 0.5%		1,982,217
		TOTAL NET ASSETS — 100.0%		$383,550,437

A summary of outstanding financial instruments at May 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
06/20/2013	BNYM		AUD	953,638		USD	983,697	$	72,108
06/20/2013	BOA		AUD	1,237,051		USD	1,230,985		48,479
06/20/2013	SSB		AUD	1,237,051		USD	1,221,848		39,342
06/20/2013	BCLY		CHF	681,600		USD	736,403		23,506
06/20/2013	JPM		CHF	156,782		USD	169,175		5,193
06/20/2013	RBS		CHF	120,216		USD	129,866		4,130
06/20/2013	BBH		EUR	1,803,658		USD	2,367,481		22,989
06/20/2013	BCLY		EUR	2,540,031		USD	3,268,918		(32,752	)
06/20/2013	BOA		EUR	5,367,272		USD	6,992,607		15,936
06/20/2013	DB		EUR	3,796,056		USD	4,937,116		2,797
06/20/2013	JPM		EUR	3,255,700		USD	4,273,142		41,206
06/20/2013	MSCI		EUR	3,213,814		USD	4,218,732		41,242
06/20/2013	SSB		EUR	3,212,222		USD	4,178,525		3,104
06/20/2013	BOA		GBP	1,629,837		USD	2,492,484		16,393
06/20/2013	BBH		JPY	234,977,186		USD	2,396,284		57,019
06/20/2013	BCLY		JPY	145,004,725		USD	1,478,599		35,036
06/20/2013	BNYM		JPY	56,992,510		USD	581,449		14,073
06/20/2013	DB		JPY	204,437,984		USD	2,093,161		57,923
06/20/2013	JPM		JPY	116,965,939		USD	1,192,724		28,295
06/20/2013	MSCI		JPY	197,577,749		USD	2,015,351		48,408
06/20/2013	SSB		JPY	54,955,795		USD	561,297		14,197
06/20/2013	DB		NOK	4,122,132		USD	715,971		13,995
06/20/2013	BBH		SEK	4,025,413		USD	603,144		(4,380	)
06/20/2013	BNYM		SEK	5,113,954		USD	773,038		1,229
06/20/2013	BOA		SEK	3,036,714		USD	454,413		(3,895	)
06/20/2013	BNYM		SGD	3,127,270		USD	2,517,167		42,935
06/20/2013	MSCI		SGD	3,127,271		USD	2,518,487		44,255
06/20/2013	BBH		USD	2,164,641		CAD	2,189,220		(53,825	)
06/20/2013	BBH		USD	256,121		GBP	167,398		(1,805	)
06/20/2013	BBH		USD	1,128,252		JPY	115,346,848		20,059
06/20/2013	BBH		USD	626,512		SEK	4,003,522		(22,291	)
06/20/2013	BCLY		USD	419,705		CAD	429,283		(5,797	)
06/20/2013	BCLY		USD	1,001,403		CHF	959,204		1,846
06/20/2013	BCLY		USD	2,538,767		HKD	19,700,707		(679	)
06/20/2013	BNYM		USD	2,147,138		CAD	2,189,222		(36,320	)
06/20/2013	BNYM		USD	807,826		SEK	5,162,681		(28,663	)
06/20/2013	BNYM		USD	2,482,168		SGD	3,066,619		(55,922	)
06/20/2013	BOA		USD	2,150,905		CAD	2,189,221		(40,088	)
06/20/2013	BOA		USD	1,078,928		GBP	704,616		(8,457	)
06/20/2013	BOA		USD	1,816,038		HKD	14,092,107		(519	)
06/20/2013	BOA		USD	471,124		SEK	3,009,841		(16,873	)
06/20/2013	BOA		USD	1,249,798		SGD	1,544,058		(28,171	)
06/20/2013	DB		USD	2,150,149		CAD	2,189,217		(39,336	)
06/20/2013	DB		USD	3,027,964		HKD	23,497,577		(717	)
06/20/2013	DB		USD	1,133,790		JPY	115,346,848		14,520
06/20/2013	DB		USD	1,915,152		SGD	2,367,511		(42,026	)
06/20/2013	JPM		USD	995,498		CHF	959,219		7,766
06/20/2013	JPM		USD	926,445		GBP	605,670		(6,295	)
06/20/2013	JPM		USD	1,769,770		HKD	13,733,554		(444	)
06/20/2013	JPM		USD	2,744,787		SGD	3,392,840		(60,443	)
06/20/2013	MSCI		USD	727,113		GBP	475,037		(5,424	)
06/20/2013	MSCI		USD	2,538,689		HKD	19,700,708		(601	)
06/20/2013	MSCI		USD	4,033,750		SGD	4,983,355		(91,022	)
06/20/2013	RBS		USD	993,620		CHF	959,219		9,644
06/20/2013	RBS		USD	2,601,775		HKD	20,189,866		(668	)
06/20/2013	RBS		USD	1,572,915		SGD	1,943,689		(35,109	)
06/20/2013	SSB		USD	992,696		HKD	7,703,303		(262	)
06/20/2013	SSB		USD	2,301,502		SGD	2,843,540		(51,752	)
								$	73,089

Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

Futures Contracts

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
3	FTSE/MIB	June 2013	$	333,193	$	33,042
20	MSCI	June 2013		1,163,282		(44,835	)
106	S&P 500 E-Mini Index	June 2013		8,633,700		67,664
60	TOPIX	June 2013		6,602,239		336,467
	Total Buys			16,732,414		392,338
Sales
13	DAX	June 2013	$	3,506,298	$	(5,952	)
13	OMXS 30	June 2013		236,899		2,993
3	S&P Toronto 60	June 2013		419,812		198
27	SPI 200	June 2013		3,155,498		116,280
	Total Sales			7,318,507		113,519

As of May 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) Rate rounds to 0.00%.

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank PLC

BNYM - Bank of New York Mellon

BOA - Bank of America, N.A.

DB - Deutsche Bank AG

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

RBS - Royal Bank Of Scotland PLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

Flexible Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 94.2%
		Japan — 94.2%
	740,000	77 Bank Ltd (The)		3,134,170
	62,600	ABC-Mart Inc		2,264,233
	2,332	Accordia Golf Co Ltd		2,466,163
	28,300	Ahresty Corp		202,199
	22,300	Alconix Corp		442,286
	30,100	Alfresa Holdings Corp		1,564,103
	188,500	Alps Electric Co Ltd		1,291,451
	206,100	AOC Holdings Inc		657,819
	41,600	Arc Land Sakamoto Co Ltd		777,218
	25,200	Arcs Co Ltd		443,957
	145,354	Arnest One Corp		2,631,042
	142,800	ARRK Corp *		389,602
	25,500	Asahi Holdings Inc		426,164
	116,000	Asahi Glass Co Ltd		825,608
	286,000	Asanuma Corp *		209,154
	36,000	ASKUL Corp		553,024
	90,000	Bando Chemical Industries Ltd		324,763
	2,202,000	Bank of Yokohama Ltd (The)		10,792,308
	136,750	Belluna Co Ltd		1,353,494
	250,700	Best Denki Co Ltd *		412,114
	1,256	BIC Camera Inc		508,706
	138,100	Brother Industries Ltd		1,578,184
	406,000	Calsonic Kansei Corp		1,754,776
	63,856	Cawachi Ltd		1,329,702
	11,000	Central Japan Railway Co		1,211,077
	248,220	Century Tokyo Leasing Corp		6,296,506
	1,888,000	Chiba Bank Ltd		11,748,055
	14,900	Chiyoda Integre Co Ltd		201,922
	62,664	Chori Co Ltd		649,938
	258,500	Chubu Electric Power Co Inc		3,340,228
	204,657	Chuetsu Pulp & Paper Co Ltd		310,519
	46,000	Chugoku Marine Paints Ltd		207,584
	44,100	Cocokara fine Inc		1,420,249
	2,481,000	Cosmo Oil Co Ltd *		4,458,357
	11,162	Dai-ichi Life Insurance Co Ltd (The)		15,116,673
	580,150	Daiei Inc *		1,796,969
	90,000	Daihatsu Diesel Manufacturing Co Ltd		450,133
	40,000	Daihatsu Motor Co Ltd		848,482
	247,570	Daiho Corp		283,517
	209,000	Daiichi Jitsugyo Co Ltd		917,323
	16,700	Daiichikosho Co Ltd		425,418
	52,000	Dainichiseika Color & Chemicals Manufacturing Co Ltd		213,624
	29,000	Daio Paper Corp		162,766
	169,400	Daito Trust Construction Co Ltd		15,766,123
	35,000	Daiwa Industries Ltd		196,021
	881,000	Daiwabo Holdings Co Ltd		1,472,643
	84,000	Dai Nippon Printing Co Ltd		715,054
	89,200	DCM Holdings Co Ltd		676,925
	254,912	Dena Co Ltd		5,375,088

Shares		Description	Value ($)
		Japan — continued
	279,000	Denki Kagaku Kogyo K K		925,769
	1,584,000	DIC Corp		3,639,494
	13,900	Doshisha Co Ltd		190,143
	63,000	Eagle Industry Co Ltd		710,579
	229,200	Edion Corp		1,119,084
	31,500	Exedy Corp		790,043
	17,000	F-Tech Inc		270,112
	73,800	Ferrotec Corp		347,217
	49,100	Foster Electric Co Ltd		820,679
	37,452	Fuji Kosan Co Ltd		224,758
	1,306	Fuji Media Holdings Inc		2,397,135
	360,000	Fujikura Ltd		1,262,533
	9,100	Fujimori Kogyo Co Ltd		267,523
	231,600	Fujisash Co Ltd *		360,124
	65,000	Fujitsu General Ltd		625,775
	477,000	Fujitsu Ltd		1,974,628
	544,000	Fuji Electric Co Ltd		1,769,906
	1,567,000	Fukuoka Financial Group Inc		6,359,208
	1,141	FULLCAST Holdings Co Ltd *		334,598
	380,000	Furukawa Electric Co Ltd (The)		925,718
	166,000	Furukawa-Sky Aluminum Corp		497,172
	284,900	Futaba Industrial Co Ltd *		1,360,042
	68,700	Fuyo General Lease Co Ltd		2,525,638
	17,700	G-Tekt Corp		528,655
	1,651	Geo Corp		1,560,185
	231,000	Godo Steel Ltd		372,844
	160,600	Gree Inc		1,599,580
	209,229	GSI Creos Corp		296,776
	83,000	Gulliver International Co Ltd		518,756
	20,400	H-ONE Co Ltd		200,259
	47,058	Hajime Construction Co Ltd		2,615,311
	23,200	Hakuto Co Ltd		223,669
	11,400	Hamakyorex Co Ltd		395,766
	1,017,711	Hanwa Co Ltd		3,731,011
	12,000	Happinet Corp		92,477
	1,783,500	Haseko Corp *		2,316,980
	295,100	Hazama Corp		649,128
	52,900	Heiwa Corp		901,621
	31,100	Heiwado Co Ltd		476,402
	133,000	Higashi Nihon House Co Ltd		929,032
	69,800	Hokkaido Electric Power Co Inc *		913,937
	76,400	Hokuriku Electric Power Co		1,036,956
	136,400	Hoosiers Holdings Co Ltd *		1,348,317
	106,619	Idemitsu Kosan Co Ltd		8,627,870
	16,000	Imasen Electric Industrial Co Ltd		240,998
	253,100	Inabata & Co Ltd		2,004,301
	1,266	INPEX Corp		5,389,358
	663,000	Ishihara Sangyo Kaisha Ltd *		526,372
	148,253	Itochu Enex Co Ltd		792,308
	4,600	Itochu-Shokuhin Co Ltd		160,326
	1,815,400	Itochu Corp		22,497,509
	80,500	Itoki Corp		415,530

Flexible Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	851,200	Iwatani Corp		3,184,164
	233,903	Izumiya Co Ltd		1,015,221
	78,500	Izumi Co Ltd		1,880,349
	529,000	Izutsuya Co Ltd *		525,232
	140,900	Japan Airlines Co Ltd		7,222,199
	4,193	Japan Asia Group Ltd *		228,079
	45,000	Japan Pulp & Paper Co Ltd		129,542
	338,532	JFE Holdings Inc		6,957,160
	143,239	Joshin Denki Co Ltd		1,104,039
	2,760,900	JX Holdings Inc		13,413,144
	75,440	K’s Holdings Corp		2,087,072
	27,300	Kaga Electronics Co Ltd		215,193
	119,100	Kamei Corp		983,969
	56,000	Kanamoto Co Ltd		1,296,483
	59,000	Kandenko Co Ltd		243,220
	2,154,000	Kanematsu Corp *		2,561,231
	369,500	Kansai Electric Power Co Inc (The) *		4,349,863
	25,000	Kasai Kogyo Co Ltd		135,706
	34,400	Kasumi Co Ltd		212,238
	111,000	Kato Works Co Ltd		468,669
	66,900	Kato Sangyo Co Ltd		1,251,067
	120,000	Kawai Musical Instruments Manufacturing Co Ltd		193,191
	2,821,000	Kawasaki Kisen Kaisha Ltd		5,570,155
	104,300	KDDI Corp		4,705,388
	73,300	Keiyo Co Ltd		350,210
	8,000	Kinki Sharyo Co Ltd		24,866
	127,000	Kitagawa Iron Works Co Ltd		199,409
	3,950,000	Kobe Steel Ltd *		5,211,365
	145,060	Kohnan Shoji Co Ltd		1,694,163
	105,300	Kojima Co Ltd		292,875
	43,600	Konaka Co Ltd		444,598
	47,370	Kosaido Co Ltd *		210,702
	209,000	Krosaki Harima Corp		416,069
	758,567	Kumagai Gumi Co Ltd *		751,901
	680,842	Kurabo Industries Ltd		1,223,031
	45,500	Kuroda Electric Co Ltd		576,820
	89,000	Kyodo Printing Co Ltd		261,589
	38,000	Kyoritsu Maintenance Co Ltd		1,211,582
	62,500	Kyowa Exeo Corp		691,442
	94,000	Kyudenko Corp		397,608
	84,800	Kyushu Electric Power Co Inc *		1,159,221
	7,000	Macnica Inc		142,505
	11,600	Mars Engineering Corp		217,857
	2,724,000	Marubeni Corp		18,808,647
	214,300	Marudai Food Co Ltd		638,899
	99,074	Maruetsu Inc (The)		302,867
	468,000	Maruha Nichiro Holdings Inc		846,288
	18,000	Maruzen Showa Unyu Co Ltd		61,713
	830	Marvelous AQL Inc		371,968
	2,200	Matsuda Sangyo Co Ltd		25,960
	18,800	Matsumotokiyoshi Holdings Co Ltd		470,989

Shares		Description	Value ($)
		Japan — continued
	863,000	Mazda Motor Corp *		3,319,839
	26,100	MCJ Co Ltd		41,324
	125,000	Medipal Holdings Corp		1,666,754
	12,300	Meiko Electronics Co Ltd *		102,775
	97,200	Meiwa Corp		336,529
	29,300	Mikuni Coca–Cola Bottling Co Ltd		347,569
	336,844	Mirait Holdings Corp		3,037,874
	123,800	Misawa Homes Co Ltd		2,632,426
	101,000	Mitsuba Corp		1,333,836
	52,700	Mitsubishi Shokuhin Co Ltd		1,297,579
	286,166	Mitsubishi Steel Manufacturing Co Ltd		623,876
	1,377,500	Mitsubishi Chemical Holdings Corp		6,518,930
	1,074,200	Mitsubishi Corp		18,564,658
	244,000	Mitsubishi Gas Chemical Co Inc		1,730,152
	528,392	Mitsubishi Paper Mills Ltd *		506,055
	6,417,900	Mitsubishi UFJ Financial Group Inc		37,246,388
	1,377,700	Mitsubishi UFJ Lease & Finance Co Ltd		6,245,525
	1,293,000	Mitsui Chemicals Inc		2,887,443
	1,405,496	Mitsui Engineer & Shipbuilding Co Ltd		2,282,282
	592,000	Mitsui Matsushima Co Ltd		937,525
	993,000	Mitsui & Co Ltd		12,436,215
	30,000	Mitsui Home Co Ltd		149,798
	1,029,000	Mitsui Mining & Smelting Co Ltd		2,342,645
	1,859,000	Mitsui OSK Lines Ltd *		6,602,485
	5,665,500	Mizuho Financial Group Inc		10,786,621
	130,000	Morinaga Milk Industry Co Ltd		369,659
	59,550	Moshi Moshi Hotline Inc		658,384
	16,100	MTI Ltd		134,082
	46,600	Nagase & Co		600,722
	457,000	Nakayama Steel Works Ltd *		309,802
	155,623	Namura Shipbuilding Co Ltd		1,464,784
	47,100	NEC Capital Solutions Ltd		1,088,962
	901,000	NEC Corp		2,095,137
	6,900	NEC Mobiling Ltd		376,358
	9,800	NEC Fielding Ltd		117,325
	167,000	Nichias Corp		1,069,018
	200	Nichirei Corp		989
	59,900	Nihon Unisys Ltd		543,780
	197,000	Nihon Yamamura Glass Co Ltd		331,710
	14,200	Nintendo Co Ltd		1,402,338
	188,000	Nippon Carbide Industries Co Inc		801,789
	436,000	Nippon Coke & Engineering Co Ltd		478,796
	58,000	Nippon Corp		750,446
	129,000	Nippon Formula Feed Manufacturing Co Ltd		157,648
	2,395,200	Nippon Light Metal Co Ltd		2,689,743
	172,700	Nippon Paper Industries Co Ltd *		2,111,627
	34,000	Nippon Pillar Packing Co Ltd		234,501
	132,000	Nippon Piston Ring Co Ltd		228,077
	110,000	Nippon Road Co Ltd (The)		554,731
	37,400	Nippon Seiki Co Ltd		498,394
	86,000	Nippon Shokubai Co Ltd		834,317
	181,000	Nippon Soda Co Ltd		852,126

Flexible Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	151,000	Nippon Steel Trading Co Ltd		416,992
	129,000	Nippon Denko Co Ltd		394,534
	25,000	Nippon Densetsu Kogyo Co Ltd		262,307
	499,000	Nippon Electric Glass Co Ltd		2,522,076
	1,940,000	Nippon Sheet Glass Co Ltd *		2,032,252
	413,900	Nippon Suisan Kaisha Ltd *		797,515
	441,800	Nippon Telegraph & Telephone Corp		21,789,582
	458,500	Nippon Yakin Koguo Co Ltd *		550,515
	2,641,000	Nippon Yusen Kabushiki Kaisha		6,771,255
	23,900	Nishimatsuya Chain Co Ltd		233,633
	334,984	Nishimatsu Construction Co Ltd		679,735
	95,000	Nissan Tokyo Sales Holdings Co Ltd		303,488
	131,200	Nissan Chemical Industries Ltd		1,595,487
	102,300	Nissan Motor Co Ltd		1,104,731
	130,000	Nissei Build Kogyo Co Ltd		220,965
	87,200	Nissen Holdings Co Ltd		290,332
	180,200	Nisshin Steel Holdings Co Ltd		1,585,654
	206,000	Nisshinbo Holdings Inc		1,492,588
	121,000	Nissin Corp		310,261
	13,950	Nitori Holdings Co Ltd		1,097,724
	63,000	Nittetsu Mining Co Ltd		259,628
	69,400	Nittoc Construction Co Ltd		210,834
	493,000	NS United Kaiun Kaisha Ltd *		721,773
	1,068,000	NTN Corp *		3,205,206
	3,064	NTT Docomo Inc		4,476,558
	678,000	Oki Electric Industry Co Ltd *		1,255,192
	9,900	Okinawa Cellular Telephone Co		240,074
	65,200	Okinawa Electric Power Co		2,502,035
	67,000	Okuwa Co Ltd		664,132
	10,000	Onoken Co Ltd		100,365
	16,800	Oracle Corp		660,396
	612,600	ORIX Corp		8,124,291
	11,800	Pacific Industrial Co Ltd		84,228
	136,000	Pacific Metals Co Ltd		636,416
	36,800	Paltac Corp		462,628
	188	Pasona Group Inc		110,742
	1,638	PGM Holdings KK		1,548,359
	4,900	Piolax Inc		128,258
	60,531	Point Inc		2,691,892
	224,000	Press Kogyo Co Ltd		1,078,268
	588,000	Prima Meat Packers Ltd		1,224,963
	64,700	Raito Kogyo Co Ltd		313,180
	204,000	Rengo Co Ltd		1,006,883
	122,000	Ricoh Company Ltd		1,416,410
	49,000	Riken Corp		200,612
	10,100	Riso Kagaku Corp		217,420
	135,886	Round One Corp		838,331
	304,000	Ryobi Ltd		878,152
	13,000	S Foods Inc		110,854
	15,600	Saint Marc Holdings Co Ltd		731,308
	122,000	San-Ai Oil Co Ltd		466,200
	179,000	Sanden Corp		651,690

Shares		Description	Value ($)
		Japan — continued
	65,000	Sanki Engineering		384,356
	1,800	Sankyo Tateyama Inc		39,082
	31,300	Sankyo Co Ltd		1,373,764
	235,418	Sankyu Inc		874,168
	52,400	Sanoyas Holdings Corp		113,276
	93,800	Sanshin Electronics Co Ltd		582,316
	8,652	Sanyo Housing Nagoya Co Ltd		106,138
	242,000	Sanyo Special Steel Co Ltd		1,131,730
	485,000	Sasebo Heavy Industries Co Ltd *		509,998
	342,000	Sata Construction Co Ltd		260,443
	45,000	Seika Corp		120,630
	518,000	Seikitokyu Kogyo Co Ltd *		411,809
	148,000	Seiko Holdings Corp		601,173
	121,000	Seino Holdings Co Ltd		925,173
	80,516	Senko Co Ltd		397,676
	17,400	Senshukai Co Ltd		139,518
	673,000	Sharp Corp *		3,091,270
	37,800	Shinko Plantech Co Ltd		273,083
	35,700	Shinko Shoji Co Ltd		310,548
	49,000	ShinMaywa Industries Ltd		385,060
	10,094,000	Shinsei Bank Ltd		23,571,351
	154,618	Shinsho Corp		276,007
	64,668	Shiroki Corp		137,766
	817,000	Shizuoka Bank Ltd (The)		8,481,829
	60,000	Showa Sangyo Co Ltd		171,366
	667,900	Showa Shell Sekiyu KK		5,276,927
	31,700	Siix Corp		360,780
	58,000	Sinanen Co Ltd		218,164
	151,400	Skymark Airlines Inc		526,831
	118,400	Sodick Co Ltd		613,069
	6,394,000	Sojitz Corp		11,020,099
	69,600	Stanley Electric Co Ltd		1,269,875
	41,013	Sumida Corp		199,503
	522,176	Sumikin Bussan Corp		1,541,348
	89,500	Sumiseki Holdings Inc *		115,022
	289,000	Sumitomo Chemical Co Ltd		907,428
	20,100	Sumitomo Densetsu Co Ltd		259,939
	438,000	Sumitomo Heavy Industries Ltd		1,824,229
	2,649,000	Sumitomo Light Metal Industries Ltd		2,764,870
	1,930,400	Sumitomo Mitsui Construction Co Ltd *		1,481,112
	23,000	Sumitomo Seika Chemicals Co Ltd		87,061
	1,523,000	Sumitomo Corp		19,041,684
	904,000	Sumitomo Mitsui Financial Group Inc		35,689,717
	3,461,000	Sumitomo Mitsui Trust Holdings Inc		14,179,702
	242,000	Suruga Bank Ltd		3,624,990
	13,852	Suzuken Co Ltd		438,965
	134,000	T RAD Co Ltd		503,810
	33,800	Tachi-S Co Ltd		493,106
	494	Tact Home Co Ltd		854,448
	336,400	Taihei Kogyo Co Ltd		1,216,167
	9,000	Taiho Kogyo Co Ltd		115,785
	77,000	Takashima & Co Ltd		215,555

Flexible Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	4,092	Take And Give Needs Co Ltd		779,055
	78,400	Takeda Pharmaceutical Co Ltd		3,474,872
	33,000	Takiron Co Ltd		136,050
	91,000	TBK Co Ltd		474,667
	37,200	Teikoku Piston Ring Co Ltd		565,308
	346,000	Tekken Corp *		390,893
	25,020	Tera Probe Inc *		274,296
	269,098	TOA Corp *		375,308
	95,000	Toa Road Corp		385,663
	132,000	Toagosei Co Ltd		542,353
	164,688	Tobishima Corp *		175,152
	92,800	Tohoku Electric Power Co Inc *		1,084,716
	41,200	Toho Holdings Co Ltd		738,998
	151,000	Tohto Suisan Co Ltd		220,393
	68,900	Tokai Rika Co Ltd		1,271,218
	9,630	Token Corp		483,176
	625,400	Tokio Marine Holdings Inc		18,006,695
	511,000	Tokuyama Corp		1,621,976
	155,000	Tokyo Tekko Co Ltd		530,833
	196,857	Tokyu Construction Co Ltd *		446,401
	7,600	Tomen Electronics Corp		92,655
	275,000	TonenGeneral Sekiyu KK		2,701,671
	43,000	Toppan Forms Co Ltd		373,359
	143,000	Toppan Printing Co Ltd		930,777
	162,000	Topy Industries Ltd		320,721
	803,000	Tosoh Corp		2,622,058
	29,633	Totetsu Kogyo Co Ltd		443,126
	58,890	Touei Housing Corp		1,017,012
	47,000	Toyo Kohan Co Ltd		151,369
	466,000	Toyo Tire & Rubber Co Ltd		2,559,365
	152,200	Toyota Motor Corp		8,882,292
	298,900	Toyota Tsusho Corp		7,909,157
	7,500	Trancom Co Ltd		199,188
	22,300	TS Tech Co Ltd		698,618
	54,000	Tsukamoto Corp Co Ltd		89,321
	23,300	Tsumura & Co		665,153
	148,300	T – Gaia Corp		1,334,003
	596,000	Ube Industries Ltd		1,151,710
	234,000	Uchida Yoko Co Ltd		589,409
	24,600	UKC Holdings Corp		430,502
	72,700	Unipres Corp		1,339,950
	1,412,000	Unitika Ltd *		801,504
	30,900	Universal Entertainment Corp		563,398
	466,300	UNY Co Ltd		3,071,798
	222,060	Usen Corp *		400,434
	24,700	Valor Co Ltd		442,608
	178	Village Vanguard Co Ltd		331,074
	17,700	Vital KSK Holdings Inc		129,180
	21,901	Warabeya Nichiyo Co Ltd		361,314
	9,100	Welcia Holdings Co Ltd		395,022
	201,310	Yamada Denki Co Ltd		7,593,526
	3,700	Yamaya Corp		52,811

Shares / Par Value		Description	Value ($)
		Japan — continued
	72,200	Yamazen Corp		423,175
	57,500	Yonekyu Corp		422,344
	65,700	Yorozu Corp		1,103,538
	889,000	Yuasa Trading Co Ltd		1,631,917
	84,000	Yurtec Corp		239,047
	131	Zappallas Inc		107,358
		Total Japan		759,051,719
		TOTAL COMMON STOCKS (COST $697,978,203)		759,051,719
		SHORT-TERM INVESTMENTS — 6.4%
		Time Deposits — 6.4%
USD	16,600,401	BNP Paribas (Paris) Time Deposit, 0.06%, due 06/03/13		16,600,401
JPY	81,692,491	Citibank (New York) Time Deposit, 0.01%, due 06/03/13		813,225
USD	13,696,862	DBS Bank Ltd (Singapore) Time Deposit, 0.06%, due 06/03/13		13,696,862
USD	16,600,401	Societe Generale (Paris) Time Deposit, 0.06%, due 06/03/13		16,600,401
USD	4,245,195	STD Charter Bank (London) Time Deposit, 0.06%, due 06/03/13		4,245,195
		Total Time Deposits		51,956,084
		TOTAL SHORT-TERM INVESTMENTS (COST $51,956,084)		51,956,084
		TOTAL INVESTMENTS — 100.6% (Cost $749,934,287)		811,007,803
		Other Assets and Liabilities (net) — (0.6%)		(4,962,788	)
		TOTAL NET ASSETS — 100.0%		$806,045,015

A summary of outstanding financial instruments at May 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
06/28/2013	BCLY		JPY	14,808,312,031		USD	144,513,334	$	(2,912,965	)
06/28/2013	DB		JPY	10,687,546,621		USD	104,395,346		(2,006,074	)
06/28/2013	GS		JPY	11,843,315,913		USD	115,711,622		(2,196,227	)
06/28/2013	MSCI		JPY	11,903,610,287		USD	116,493,629		(2,014,489	)
06/28/2013	GS		USD	24,287,600		JPY	2,440,005,159		4,225
								$	(9,125,530	)

Flexible Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

Futures Contracts

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
390	TOPIX	June 2013	$	42,914,551	$	(3,017,762	)

As of May 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

DB - Deutsche Bank AG

GS - Goldman Sachs International

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

JPY - Japanese Yen

USD - United States Dollar

International Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 93.9%
		Australia — 5.5%
	6,962,373	Arrium Ltd		5,257,947
	1,639,280	Billabong International Ltd *		713,837
	2,111,478	BlueScope Steel Ltd *		10,503,235
	5,663	Caltex Australia Ltd		120,787
	112,960	Commonwealth Bank of Australia		7,176,550
	363,759	CSL Ltd		20,698,095
	19,708	David Jones Ltd		47,282
	5,257,168	Goodman Fielder Ltd *		3,570,654
	1,196,982	Goodman Group (REIT)		5,841,898
	1,202,667	GPT Group (REIT)		4,454,019
	144,060	Insurance Australia Group Ltd		777,443
	1,618,316	Investa Office Fund (REIT)		4,926,657
	337,937	JB Hi–Fi Ltd		4,837,281
	181,826	Macquarie Group Ltd		7,414,230
	3,534,089	Mirvac Group (REIT)		5,633,186
	522,511	Myer Holdings Ltd		1,216,004
	2,197,212	Pacific Brands Ltd		1,599,051
	1,559,624	Qantas Airways Ltd *		2,359,195
	1,951,204	QBE Insurance Group Ltd		29,566,539
	3,063,119	Stockland (REIT)		10,622,775
	1,453,527	TABCORP Holdings Ltd		4,556,629
	513,346	Tatts Group Ltd		1,570,066
	3,549,319	Telstra Corp Ltd		16,048,674
	1,215,856	Westpac Banking Corp		32,768,402
		Total Australia		182,280,436
		Austria — 0.7%
	69,389	Andritz AG		3,778,329
	486	Erste Group Bank AG		15,610
	286,310	OMV AG		13,207,148
	61,599	Raiffeisen Bank International AG		2,088,814
	183,073	Voestalpine AG		6,067,101
		Total Austria		25,157,002
		Belgium — 1.4%
	331,317	Ageas		12,146,740
	239,131	Anheuser-Busch InBev NV		22,020,462
	233,516	Belgacom SA		5,232,138
	95,745	Delhaize Group		6,105,427
	31,559	KBC Groep NV		1,251,014
		Total Belgium		46,755,781
		Canada — 1.9%
	38,100	Alimentation Couche Tard Inc		2,131,469
	350,700	Bombardier Inc		1,589,863
	18,000	Canadian Oil Sands Ltd		348,454
	15,600	Canadian Tire Corp Ltd		1,253,417
	22,800	Canadian Pacific Railway Ltd		3,031,350
	158,400	Encana Corp		3,020,562
	307,030	First Quantum Minerals Ltd		5,496,481

Shares		Description	Value ($)
		Canada — continued
	182,100	Husky Energy Inc		5,144,643
	27,300	Magna International Inc-Class A		1,820,615
	56,055	Methanex Corp		2,480,099
	87,100	Metro Inc-Class A		5,831,310
	923,300	Research In Motion Ltd *		12,868,758
	111,058	Royal Bank of Canada		6,591,173
	327,300	Sherritt International Corp		1,464,839
	320,200	Sun Life Financial Inc		9,376,679
		Total Canada		62,449,712
		Denmark — 0.7%
	25,818	Coloplast A/S		1,472,462
	62,538	GN Store Nord A/S		1,197,096
	121,122	Novo-Nordisk A/S-Class B		19,631,182
		Total Denmark		22,300,740
		Finland — 0.7%
	5,367	Kone Oyj-Class B		471,473
	216,161	Neste Oil Oyj		3,132,711
	5,145,571	Nokia Oyj *		17,213,494
	639	Sampo Oyj-Class A		25,898
	78,972	Tieto Oyj		1,618,859
		Total Finland		22,462,435
		France — 11.5%
	1,027,175	Air France–KLM *		9,884,393
	530,009	AXA		10,700,727
	356,747	BNP Paribas		20,876,706
	110,867	Bouygues SA		2,944,933
	34,340	Carrefour SA		1,005,389
	53,260	Compagnie Generale des Etablissements Michelin-Class B		4,648,015
	54,925	European Aeronautic Defense and Space Co NV		3,162,614
	931,650	France Telecom SA		9,448,436
	423,178	GDF Suez		8,630,379
	219	L’Oreal SA		36,917
	33,477	Lafarge SA		2,387,267
	193,039	Lagardere SCA		4,965,366
	1,399,901	Peugeot SA *		12,324,713
	45,500	Rallye SA		1,787,063
	7,582	Remy Cointreau SA		874,822
	399,289	Renault SA		30,817,249
	858,363	Sanofi		91,525,742
	555,875	Societe Generale		22,169,501
	2,616,652	Total SA		130,789,044
	784,915	Vivendi SA		15,362,645
		Total France		384,341,921
		Germany — 6.3%
	94,948	Allianz SE (Registered)		14,666,293
	126,989	Aurubis AG		7,622,573

International Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	356,990	Bayer AG (Registered)		38,150,595
	21,561	Beiersdorf AG		1,944,523
	45,833	Continental AG		5,996,871
	427,808	Deutsche Lufthansa AG (Registered) *		9,178,551
	55,463	Deutsche Bank AG (Registered)		2,576,916
	233,171	Deutsche Post AG (Registered)		5,875,882
	123,232	Duerr AG		7,989,993
	3,285,523	E.ON AG		55,364,809
	150,750	Leoni AG		7,518,791
	83,743	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		15,620,161
	509,215	RWE AG		17,374,697
	97,590	Salzgitter AG		3,688,879
	148,588	SAP AG *		11,120,026
	215,120	Suedzucker AG		7,278,620
		Total Germany		211,968,180
		Greece — 0.4%
	487,302	Marfin Investment Group Holdings SA *		202,627
	840,917	OPAP SA		6,953,704
	541,909	Public Power Corp SA *		5,406,352
		Total Greece		12,562,683
		Hong Kong — 1.1%
	36,000	AAC Technologies Holdings Inc		205,256
	318,000	Cheung Kong Holdings Ltd		4,478,446
	3,689,900	Esprit Holdings Ltd		5,615,447
	1,307,000	Galaxy Entertainment Group Ltd *		6,784,759
	191,500	Link (REIT)		985,197
	4,270,000	Pacific Basin Shipping Ltd		2,446,859
	180,800	Sands China Ltd		955,066
	265,000	Sun Hung Kai Properties Ltd		3,516,942
	489,500	Swire Pacific Ltd		6,197,868
	179,000	Wharf Holdings Ltd (The)		1,589,613
	951,000	Yue Yuen Industrial Holding		2,746,563
		Total Hong Kong		35,522,016
		Ireland — 0.7%
	459,378	C&C Group Plc		2,737,918
	115,697	DCC Plc		4,371,409
	152,858	Kerry Group Plc-Class A		8,689,390
	73,675	Paddy Power Plc		6,212,042
		Total Ireland		22,010,759
		Israel — 0.1%
	478,277	Africa Israel Investments Ltd *		1,124,486
	289,882	Partner Communications Co Ltd		1,749,332
	1,772	Paz Oil Co Ltd *		273,846
	2,145	Teva Pharmaceutical Industries Ltd		82,167
		Total Israel		3,229,831

Shares		Description	Value ($)
		Italy — 5.2%
	1,792,776	A2A SPA		1,505,666
	169,736	Azimut Holding SPA		3,215,518
	14,479,035	Enel SPA		54,497,854
	2,102,473	ENI SPA		47,813,435
	27,077	Exor SPA		858,114
	1,483,923	Fiat SPA *		11,629,984
	2,287,857	Finmeccanica SPA *		12,634,815
	3,907,696	Intesa Sanpaolo SPA		7,290,010
	16,335	Lottomatica Group SPA		439,300
	808,800	Mediaset SPA *		2,510,915
	812,026	Mediolanum SPA		5,391,581
	206,924	Recordati SPA		2,190,185
	16,452,217	Telecom Italia SPA		12,735,681
	11,790,345	Telecom Italia SPA-Di RISP		7,289,405
	646,887	UniCredit SPA		3,630,451
		Total Italy		173,632,914
		Japan — 21.3%
	13,000	ABC-Mart Inc		470,208
	3,536	Accordia Golf Co Ltd		3,739,431
	1,273	Advance Residence Investment Corp (REIT)		2,633,365
	913,900	Aeon Co Ltd		10,666,663
	459,500	Anritsu Corp		6,205,771
	466,400	Astellas Pharma Inc		23,817,267
	16,700	Bridgestone Corp		542,080
	180,700	Credit Saison Co Ltd		4,213,325
	511,950	Daiei Inc *		1,585,725
	1,746,000	Daikyo Inc		5,206,166
	255,900	Daito Trust Construction Co Ltd		23,816,711
	693,000	Daiwabo Holdings Co Ltd		1,158,390
	6,000	Daiwa House Industry Co Ltd		113,388
	55,000	Daiwa Securities Group Inc		449,887
	296,800	Dena Co Ltd		6,258,340
	1,290,000	DIC Corp		2,963,982
	6,043	Eisai Co Ltd		231,926
	1,051,000	Fuji Electric Co Ltd		3,419,433
	688,000	Fuji Heavy Industries Ltd		15,496,255
	133,000	Fuji Oil Co Ltd		2,029,884
	509,000	Gunze Ltd		1,226,212
	441,000	Hanwa Co Ltd		1,616,742
	4,835,373	Haseko Corp *		6,281,729
	94,800	Hikari Tsushin Inc		5,229,537
	1,000	Hino Motors Ltd		14,189
	769	INPEX Corp		3,273,631
	1,902,200	Itochu Corp		23,573,186
	28,700	J Trust Co Ltd		573,523
	43,687	Japan Tobacco Inc		1,486,800
	467,600	JFE Holdings Inc		9,609,633
	501,000	Juki Corp *		852,805
	4,864,230	JX Holdings Inc		23,631,648
	287,820	K’s Holdings Corp		7,962,634
	174,640	Kakaku.com Inc		4,212,200

International Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	206,700	Kao Corp		6,477,487
	4,308,000	Kawasaki Kisen Kaisha Ltd		8,506,284
	792,400	KDDI Corp		35,748,316
	391,000	Kinugawa Rubber Industrial Co Ltd		2,163,688
	950,000	Kobe Steel Ltd *		1,253,366
	148,584	Kohnan Shoji Co Ltd		1,735,320
	83,000	Kubota Corp		1,202,175
	279,000	Kurimoto Ltd		709,284
	85,000	Lawson Inc		6,183,414
	1,132,100	Leopalace21 Corp *		5,118,135
	340,000	Look Inc		1,128,310
	1,760,000	Marubeni Corp		12,152,430
	3,334,000	Mazda Motor Corp *		12,825,425
	290,994	Medipal Holdings Corp		3,880,122
	43,104	MEIJI Holdings Co Ltd		1,891,788
	11,300	Misawa Homes Co Ltd		240,278
	224,000	Mitsubishi Estate Co Ltd		5,518,687
	223,000	Mitsubishi Heavy Industries Ltd		1,365,018
	1,878,500	Mitsubishi Chemical Holdings Corp		8,889,880
	1,303,200	Mitsubishi Corp		22,522,307
	1,244,783	Mitsui Engineer & Shipbuilding Co Ltd		2,021,312
	125,000	Mitsui Fudosan Co Ltd		3,448,542
	855,100	Mitsui & Co Ltd		10,709,172
	1,462,000	Mitsui Mining & Smelting Co Ltd		3,328,423
	2,195,866	Mitsui OSK Lines Ltd *		7,798,910
	7,951,600	Mizuho Financial Group Inc		15,139,158
	298,100	Namco Bandai Holdings Inc		4,831,975
	54,800	Nintendo Co Ltd		5,411,839
	3,119,500	Nippon Light Metal Co Ltd		3,503,112
	463,700	Nippon Paper Industries Co Ltd *		5,669,723
	1,791,000	Nippon Steel Corp		4,489,891
	593,000	Nippon Telegraph & Telephone Corp		29,246,768
	2,674,000	Nippon Yusen Kabushiki Kaisha		6,855,864
	332,308	Nipro Corp		4,146,925
	99,500	Nitori Holdings Co Ltd		7,829,642
	57,000	Nitto Denko Corp		3,383,962
	369,700	Nomura Holdings Inc		2,803,234
	419,497	North Pacific Bank Ltd		1,378,217
	7,280	NTT Docomo Inc		10,636,209
	1,150,000	Obayashi Corp		5,551,955
	90,700	Ono Pharmaceutical Co Ltd		6,307,125
	263,500	Orient Corp *		756,052
	129,490	Point Inc		5,758,589
	5,114,100	Resona Holdings Inc		22,939,670
	529,000	Ricoh Co Ltd		6,141,646
	650,000	Round One Corp		4,010,090
	96,900	Ryohin Keikaku Co Ltd		7,229,276
	171,500	Sankyo Co Ltd		7,527,174
	176,000	Seven Bank Ltd		626,850
	700	Ship Healthcare Holdings Inc		25,285
	4,200	SHO–BOND Holdings Co Ltd		154,385
	295,200	SoftBank Corp		14,755,629

Shares		Description	Value ($)
		Japan — continued
	4,063,300	Sojitz Corp		7,003,123
	1,832,420	Sumitomo Light Metal Industries Ltd		1,912,572
	1,724,900	Sumitomo Corp		21,565,989
	224,900	Sumitomo Mitsui Financial Group Inc		8,879,002
	554,000	Sumitomo Mitsui Trust Holdings Inc		2,269,736
	82,000	Sumitomo Realty & Development Co Ltd		3,136,043
	2,246,000	Taisei Corp		7,049,812
	644,300	Takeda Pharmaceutical Co Ltd		28,556,890
	238,900	Tokyo Electric Power Co Inc (The) *		1,430,804
	6,000	Tokyu Land Corp		54,223
	334,000	TonenGeneral Sekiyu KK		3,281,302
	85,000	Toshiba Corp		399,902
	594,000	Tosoh Corp		1,939,604
	215,000	Toyobo Co Ltd		350,232
	369,100	Toyota Motor Corp		21,540,433
	662,800	Toyota Tsusho Corp		17,538,271
	1,421,645	Unitika Ltd *		806,979
	769,000	UNY Co Ltd		5,065,865
	483,400	Wacom Co Ltd		5,972,151
	399,390	Yamada Denki Co Ltd		15,065,215
		Total Japan		712,309,132
		Malta — 0.0%
	15,998,662	BGP Holdings Plc *		—
		Netherlands — 1.1%
	1,574,862	Aegon NV		10,744,978
	208,586	CSM NV		4,369,844
	110,231	Delta Lloyd NV		2,155,459
	60,500	Gemalto NV		5,079,813
	144	Heineken NV		10,018
	285,048	ING Groep NV *		2,657,986
	110,027	Koninklijke Philips Electronics NV		3,115,528
	940,415	Koninklijke BAM Groep NV		4,644,347
	44,005	PostNL NV *		119,280
	934,497	SNS REAAL NV *(a)		—
	18,361	Vopak		1,107,897
	64,918	Wereldhave NV (REIT)		4,610,977
		Total Netherlands		38,616,127
		New Zealand — 0.6%
	1,394,186	Chorus Ltd		2,751,324
	940,924	Fletcher Building Ltd		6,225,479
	7,029,785	Telecom Corp of New Zealand		12,863,028
		Total New Zealand		21,839,831
		Norway — 0.3%
	155,263	Aker Solutions ASA		2,287,929
	212,755	TGS Nopec Geophysical Co ASA		7,426,572
		Total Norway		9,714,501

International Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Portugal — 0.4%
	3,708,443	EDP-Energias de Portugal SA		11,959,283
	86,972	Portugal Telecom SGPS SA		369,003
		Total Portugal		12,328,286
		Singapore — 1.4%
	1,130,000	China Minzhong Food Corp Ltd *		912,972
	1,234,000	Ezion Holdings Ltd		2,212,041
	2,623,000	Ezra Holdings Ltd *		2,008,492
	31,920,000	Golden Agri-Resources Ltd		14,492,784
	996,376	Jaya Holdings Ltd		479,346
	3,018,000	Noble Group Ltd		2,465,317
	7,267,000	Singapore Telecommunications		21,495,544
	621,000	Vard Holdings Ltd		546,943
	2,987,000	Yangzijiang Shipbuilding Holdings Ltd		2,072,838
		Total Singapore		46,686,277
		Spain — 7.6%
	157,867	Abengoa SA		371,661
	45,554	ACS Actividades de Construccion y Servicios SA		1,273,707
	75,304	Amadeus IT Holding SA-Class A		2,298,305
	3,149,954	Banco Bilbao Vizcaya Argentaria SA		29,523,688
	10,292,542	Banco Santander SA		73,614,712
	793,315	Distribuidora Internacional de Alimentacion SA		6,217,495
	1,865	Enagas		46,622
	99,161	Ferrovial SA		1,596,909
	122,480	Fomento de Construcciones y Contratas SA		1,235,931
	1,016,296	Gas Natural SDG SA		20,995,985
	308,808	Grifols SA *		11,307,605
	4,092,006	Iberdrola SA		22,133,982
	51,595	Inditex SA		6,386,961
	717,732	Repsol YPF SA		16,331,328
	4,331,084	Telefonica SA *		59,591,233
		Total Spain		252,926,124
		Sweden — 0.8%
	262,399	Boliden AB		3,739,300
	310,963	Investor AB		8,926,706
	131,577	NCC AB-Class B		3,142,013
	134,797	Skandinaviska Enskilda Banken AB-Class A		1,403,168
	74,146	Svenska Handelsbanken AB-A Shares		3,187,073
	305,503	Swedbank AB-Class A		7,275,385
		Total Sweden		27,673,645
		Switzerland — 1.7%
	16,442	ABB Ltd		359,749
	1,765	AMS AG		169,671
	354	Compagnie Financiere Richemont SA-Class A		31,301

Shares		Description	Value ($)
		Switzerland — continued
	132,025	Credit Suisse Group AG (Registered)		3,902,172
	528,003	Novartis AG (Registered)		37,821,930
	34,349	Roche Holding AG (Non Voting)		8,516,372
	1,221	Swatch Group AG		695,897
	1,989	Swiss Life Holding AG (Registered)		329,735
	52,929	Swiss Re AG		3,886,811
		Total Switzerland		55,713,638
		United Kingdom — 22.5%
	958,284	Aberdeen Asset Management Plc		6,734,626
	40,264	Admiral Group Plc		811,857
	80,302	Ashtead Group Plc		760,850
	1,889,607	AstraZeneca Plc		96,680,322
	933,461	Aviva Plc		4,690,960
	149,074	Babcock International Group Plc		2,614,365
	5,409,699	BAE Systems Plc		33,069,698
	11,359,356	Barclays Plc		54,412,881
	242,682	BBA Aviation Plc		1,028,844
	81,396	BG Group Plc		1,485,480
	167,519	BHP Billiton Plc		4,817,037
	12,775,416	BP Plc		91,308,566
	251,278	Bunzl Plc		4,890,684
	2,012,548	Darty Plc		2,156,058
	1,117,801	Diageo Plc		33,019,727
	10,877,962	Dixons Retail Plc *		6,779,246
	788,156	Drax Group Plc		6,831,622
	174,433	easyJet Plc		3,323,834
	1,416,765	FirstGroup Plc		2,689,822
	99	Game Group Plc * (a) (b)		—
	260,982	GlaxoSmithKline Plc		6,752,439
	26,877	Halfords Group Plc		132,166
	16,280	Hargreaves Lansdown Plc		237,224
	3,858,483	Home Retail Group Plc		9,123,861
	774,611	HSBC Holdings Plc		8,498,288
	35,019	Imperial Tobacco Group Plc		1,256,649
	127,193	InterContinental Hotels Group Plc		3,661,413
	40,884	Intertek Group Plc		1,987,586
	2,818,818	ITV Plc		5,582,155
	270,597	Lancashire Holdings Ltd		3,265,155
	30,934,209	Lloyds Banking Group Plc *		28,751,578
	20,673	Micro Focus International Plc		214,360
	338,718	Next Plc		23,687,231
	48,149	Persimmon Plc		885,427
	94,120	Persimmon Plc, Bonus Shares		107,254
	381,268	Playtech Ltd		3,858,831
	721,566	Premier Foods Plc *		789,570
	949,509	Prudential Plc		15,971,794
	15,316	Reckitt Benckiser Group Plc		1,095,225
	109,616	Reed Elsevier Plc		1,225,851
	1,215,156	Rio Tinto Plc		51,900,246
	891,042	Rolls-Royce Holdings Plc		16,162,762
	136,838,814	Rolls-Royce Holdings Plc-C Shares *		207,913

International Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	1,013,890	Royal Bank of Scotland Group Plc *		5,119,757
	179,124	Royal Dutch Shell Group-Class A (Amsterdam)		5,981,354
	1,601,554	Royal Dutch Shell Plc A Shares (London)		53,301,147
	1,056,341	Royal Dutch Shell Plc B Shares (London)		36,415,175
	180,305	SABMiller Plc		9,071,009
	197,123	Scottish & Southern Energy Plc		4,627,022
	198,429	Spectris Plc		6,215,083
	165,697	Standard Life Assurance Plc		980,236
	130,991	Telecity Group Plc		1,917,039
	431,554	Tesco Plc		2,389,683
	3,151,898	Thomas Cook Group Plc *		6,792,077
	805,706	Trinity Mirror Plc *		1,492,104
	436,243	Tullett Prebon Plc		1,938,982
	17,083,481	Vodafone Group Plc		49,509,878
	34,288	Whitbread Plc		1,492,738
	390,187	WH Smith Plc		4,460,559
	1,479,184	William Hill Plc		9,886,457
	555,582	WPP Plc		9,458,263
		Total United Kingdom		754,510,020
		TOTAL COMMON STOCKS (COST $2,880,285,971)		3,136,991,991
		PREFERRED STOCKS — 1.0%
		Germany — 1.0%
	133,654	Henkel AG & Co KGaA 1.27%		12,861,834
	255,653	Porsche Automobil Holding SE 3.14%		21,084,737
		Total Germany		33,946,571
		TOTAL PREFERRED STOCKS (COST $24,638,595)		33,946,571
		RIGHTS/WARRANTS — 0.0%
		Greece — 0.0%
	597,606	Marfin Investment Group Holdings SA, A Rights, Expires 06/27/13 *		777
	597,606	Marfin Investment Group Holdings SA, B Rights, Expires 06/27/13 *		777
		Total Greece		1,554
		Italy — 0.0%
	47,385	Exor SPA Rights, Expires 06/05/13 *		—
	47,385	Exor SPA Preferred Rights, Expires 06/05/13 *		—
		Total Italy		—
		Japan — 0.0%
	28,700	J Trust Co Ltd Rights, Expires 07/30/13 *		74,282
		TOTAL RIGHTS/WARRANTS (COST $77,770)		75,836

Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 2.7%
		Time Deposits — 2.7%
USD	17,097,813	Bank of Tokyo-Mitsubishi (Tokyo) Time Deposit, 0.06%, due 06/03/13		17,097,813
USD	17,097,813	BNP Paribas (Paris) Time Deposit, 0.06%, due 06/03/13		17,097,813
AUD	413	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.90%, due 06/03/13		395
CAD	5,360	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.28%, due 06/03/13		5,170
GBP	338,868	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.08%, due 06/03/13		514,876
NZD	117	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.67%, due 06/03/13		93
EUR	1,820,095	Citibank (New York) Time Deposit, 0.00%, due 06/03/13 (c)		2,365,668
JPY	30,754,415	Citibank (New York) Time Deposit, 0.01%, due 06/03/13		306,160
USD	829,464	DnB Nor Bank (Oslo) Time Deposit, 0.06%, due 06/03/13		829,464
NOK	146,520	JPMorgan Chase (New York) Time Deposit, 0.48%, due 06/03/13		24,967
USD	17,097,813	Skandinaviska Enskilda Banken, AB (Stockholm) Time Deposit, 0.06%, due 06/03/13		17,097,813
USD	17,097,813	Societe Generale (Paris) Time Deposit, 0.06%, due 06/03/13		17,097,813
USD	17,097,813	STD Charter Bank (London) Time Deposit, 0.06%, due 06/03/13		17,097,813
		Total Time Deposits		89,535,858
		TOTAL SHORT-TERM INVESTMENTS (COST $89,535,858)		89,535,858
		TOTAL INVESTMENTS — 97.6% (Cost $2,994,538,194)		3,260,550,256
		Other Assets and Liabilities (net) — 2.4%		78,574,576
		TOTAL NET ASSETS — 100.0%		$3,339,124,832

International Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

A summary of outstanding financial instruments at May 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
06/20/2013	BBH		AUD	12,751,155		USD	13,170,285	$	981,369
06/20/2013	BCLY		AUD	8,349,099		USD	8,616,855		635,893
06/20/2013	BNYM		AUD	8,053,366		USD	8,307,208		608,940
06/20/2013	BOA		AUD	7,282,420		USD	7,515,319		554,004
06/20/2013	MSCI		AUD	18,865,186		USD	19,466,740		1,433,379
06/20/2013	SSB		AUD	33,766,876		USD	34,796,090		2,518,101
06/20/2013	BBH		CAD	15,803,254		USD	15,448,933		211,652
06/20/2013	BCLY		CAD	399,308		USD	390,399		5,392
06/20/2013	BNYM		CAD	15,101,639		USD	14,769,185		208,392
06/20/2013	BOA		CAD	9,798,255		USD	9,578,898		131,555
06/20/2013	DB		CAD	11,994,826		USD	11,702,383		137,137
06/20/2013	JPM		CAD	3,575		USD	3,494		47
06/20/2013	MSCI		CAD	4,840,426		USD	4,733,658		66,586
06/20/2013	RBS		CAD	15,935,808		USD	15,563,103		198,016
06/20/2013	SSB		CAD	12,209,376		USD	11,921,775		149,662
06/20/2013	BBH		CHF	19,892,741		USD	20,768,984		(37,189	)
06/20/2013	DB		CHF	19,892,741		USD	20,636,994		(169,180	)
06/20/2013	BBH		DKK	19,019,332		USD	3,348,120		31,689
06/20/2013	BCLY		DKK	43,705,551		USD	7,705,152		84,146
06/20/2013	BCLY		EUR	20,388,539		USD	26,792,783		290,653
06/20/2013	BOA		EUR	17,672,702		USD	23,222,690		250,753
06/20/2013	DB		EUR	22,926,239		USD	30,125,078		324,308
06/20/2013	MSCI		EUR	15,044,470		USD	19,748,680		193,061
06/20/2013	RBS		EUR	24,908,163		USD	32,717,594		340,612
06/20/2013	SSB		EUR	35,750,976		USD	46,959,622		488,563
06/20/2013	BNYM		HKD	70,280,539		USD	9,056,922		2,517
06/20/2013	BOA		HKD	140,561,077		USD	18,113,532		4,721
06/20/2013	MSCI		HKD	70,280,538		USD	9,056,371		1,966
06/20/2013	BBH		JPY	444,143		USD	4,529		108
06/20/2013	BCLY		JPY	647,890,104		USD	6,606,472		156,542
06/20/2013	BNYM		JPY	1,671,242,954		USD	17,050,368		412,668
06/20/2013	BOA		JPY	1,412,463,814		USD	14,403,475		341,996
06/20/2013	DB		JPY	1,715,760,884		USD	17,567,008		486,120
06/20/2013	JPM		JPY	814,925,612		USD	8,309,954		197,138
06/20/2013	MSCI		JPY	2,618,092,665		USD	26,705,312		641,454
06/20/2013	BBH		NOK	36,961,027		USD	6,431,696		137,441
06/20/2013	BOA		NOK	36,961,027		USD	6,434,571		140,317
06/20/2013	BCLY		NZD	10,517,112		USD	8,614,672		265,040
06/20/2013	BOA		NZD	10,517,112		USD	8,646,433		296,802
06/20/2013	BCLY		SEK	7,678,954		USD	1,149,062		(9,862	)
06/20/2013	BNYM		SEK	40,314,513		USD	6,043,702		(40,651	)
06/20/2013	RBS		SEK	47,993,467		USD	7,256,285		13,008
06/20/2013	BCLY		SGD	30,512,834		USD	24,570,665		429,542
06/20/2013	SSB		SGD	30,512,835		USD	24,583,077		441,954
06/20/2013	BBH		USD	7,387,739		CAD	7,471,627		(183,699	)
06/20/2013	BBH		USD	43,596,115		CHF	40,412,073		(1,328,405	)
06/20/2013	BBH		USD	40,540,139		HKD	314,599,587		(9,542	)
06/20/2013	BBH		USD	3,764,042		NOK	21,857,716		(41,796	)
06/20/2013	BCLY		USD	3,705,533		CHF	3,429,767		(118,278	)
06/20/2013	BCLY		USD	9,440,002		EUR	7,335,117		94,581
06/20/2013	BCLY		USD	24,866,827		HKD	192,964,337		(6,782	)
06/20/2013	BCLY		USD	4,159,246		SEK	26,579,827		(147,761	)
06/20/2013	BCLY		USD	30,763,122		SGD	38,007,222		(692,595	)
06/20/2013	BNYM		USD	7,328,002		CAD	7,471,631		(123,958	)
06/20/2013	BNYM		USD	3,700,755		CHF	3,429,767		(113,500	)
06/20/2013	BNYM		USD	31,039,551		HKD	240,868,781		(7,866	)
06/20/2013	BNYM		USD	14,846,443		JPY	1,517,968,599		265,367

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
06/20/2013	BNYM		USD	6,301,008		SEK	40,268,668		(223,574	)
06/20/2013	BNYM		USD	11,997,215		SGD	14,822,079		(270,293	)
06/20/2013	BOA		USD	27,553,353		CHF	25,506,056		(876,113	)
06/20/2013	BOA		USD	9,464,758		EUR	7,335,117		69,825
06/20/2013	BOA		USD	31,040,551		HKD	240,868,781		(8,866	)
06/20/2013	BOA		USD	398,307		NOK	2,320,180		(3,194	)
06/20/2013	BOA		USD	55,735,276		SGD	68,857,924		(1,256,312	)
06/20/2013	DB		USD	7,338,282		CAD	7,471,619		(134,250	)
06/20/2013	DB		USD	29,103,646		CHF	26,954,633		(911,313	)
06/20/2013	DB		USD	9,491,204		EUR	7,335,006		43,235
06/20/2013	DB		USD	7,979,255		JPY	817,367,707		157,874
06/20/2013	DB		USD	8,578		SEK	54,795		(308	)
06/20/2013	JPM		USD	25,913,042		CHF	24,014,834		(795,498	)
06/20/2013	JPM		USD	7,764,733		HKD	60,254,935		(1,950	)
06/20/2013	JPM		USD	2,971,147		SEK	18,990,125		(105,116	)
06/20/2013	MSCI		USD	7,925,835		AUD	7,966,216		(310,875	)
06/20/2013	MSCI		USD	27,530,364		CHF	25,506,056		(853,123	)
06/20/2013	MSCI		USD	23,728,187		HKD	184,129,190		(6,395	)
06/20/2013	MSCI		USD	22,942,148		JPY	2,335,336,305		306,790
06/20/2013	MSCI		USD	15,395,795		SGD	19,020,196		(347,410	)
06/20/2013	RBS		USD	7,341,041		CAD	7,471,631		(136,997	)
06/20/2013	RBS		USD	3,224,114		CHF	2,984,530		(102,541	)
06/20/2013	RBS		USD	7,645,586		SEK	48,779,995		(283,605	)
06/20/2013	SSB		USD	7,868,311		AUD	7,966,216		(253,351	)
06/20/2013	SSB		USD	18,369,319		CHF	17,004,038		(584,492	)
06/20/2013	SSB		USD	9,516,973		EUR	7,335,080		17,562
06/20/2013	SSB		USD	18,776,182		HKD	145,702,793		(4,952	)
06/20/2013	SSB		USD	54,316,609		SGD	67,108,985		(1,221,369	)
								$	3,045,517

Futures Contracts

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
39	CAC 40	June 2013	$	1,987,153	$	(16,349	)
51	DAX	June 2013		13,755,476		480,038
474	FTSE/MIB	June 2013		52,644,497		2,160,181
98	MSCI	June 2013		5,700,083		(219,693	)
407	TOPIX	June 2013		44,785,185		(1,774,778	)
			$	118,872,394	$	629,399
Sales
386	S&P Toronto 60	June 2013	$	54,015,800	$	650,034

International Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

As of May 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust.

(b) Bankrupt issuer.

(c) Rate rounds to 0.00%.

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank PLC

BNYM - Bank of New York Mellon

BOA - Bank of America, N.A.

DB - Deutsche Bank AG

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

RBS - Royal Bank of Scotland PLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

International Growth Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 95.6%
		Australia — 5.1%
	230,490	BHP Billiton Ltd		7,524,728
	203,921	Coca Cola Amatil Ltd		2,506,567
	64,239	Commonwealth Bank of Australia		4,081,218
	388,547	CSL Ltd		22,108,546
	558,030	Insurance Australia Group Ltd		3,011,497
	39,234	JB Hi–Fi Ltd		561,601
	148,010	QBE Insurance Group Ltd		2,242,791
	178,078	Rio Tinto Ltd		9,225,084
	114,463	Suncorp-Metway Ltd		1,355,274
	2,619,327	Telstra Corp Ltd		11,843,603
	800,784	Westpac Banking Corp		21,581,842
	78,788	Woodside Petroleum Ltd		2,685,395
	728,120	Woolworths Ltd		22,893,716
		Total Australia		111,621,862
		Austria — 0.2%
	164,659	Erste Group Bank AG		5,288,564
	946,419	Immofinanz AG (Entitlement Shares) *		—
	11,200	Verbund AG		233,391
		Total Austria		5,521,955
		Belgium — 1.3%
	173,397	Ageas		6,357,079
	138,255	Anheuser-Busch InBev NV		12,731,260
	43,870	Bekaert NV		1,273,864
	80,210	Colruyt SA		4,094,681
	59,467	Mobistar SA		1,311,956
	34,416	UCB SA		1,872,405
	42,059	Umicore SA		2,009,590
		Total Belgium		29,650,835
		Canada — 2.7%
	22,600	Agrium Inc		2,089,642
	40,100	BCE Inc		1,802,034
	236,100	Canadian National Railway Co		23,959,567
	59,200	Canadian Pacific Railway Ltd		7,870,873
	164,800	Enbridge Inc		7,148,354
	66,200	Potash Corp of Saskatchewan Inc		2,799,971
	92,300	Rogers Communications Inc-Class B		4,184,326
	65,200	Royal Bank of Canada		3,869,550
	44,100	Saputo Inc		2,155,764
	39,296	Valeant Pharmaceuticals International Inc *		3,615,573
		Total Canada		59,495,654
		Denmark — 2.6%
	36,657	Chr Hansen Holding A/S		1,306,817
	130,831	Coloplast A/S-Class B		7,461,604
	107,543	GN Store Nord A/S		2,058,578
	250,798	Novo-Nordisk A/S-Class B		40,648,777

Shares		Description	Value ($)
		Denmark — continued
	147,777	Novozymes A/S-B Shares		5,117,884
		Total Denmark		56,593,660
		Finland — 1.4%
	225,966	Fortum Oyj		4,238,538
	136,224	Kone Oyj-Class B		11,966,832
	98,226	Neste Oil Oyj		1,423,539
	30,974	Nokian Renkaat Oyj		1,291,193
	1,065,304	Nokia Oyj *		3,563,765
	47,554	Orion Oyj-Class B		1,170,448
	30,427	Outotec Oyj		406,385
	122,511	Sampo Oyj-Class A		4,965,365
	63,935	Wartsila Oyj		2,977,966
		Total Finland		32,004,031
		France — 5.8%
	163,858	Air France–KLM *		1,576,788
	981,005	Alcatel-Lucent *		1,670,728
	16,222	AtoS		1,183,387
	104,194	BNP Paribas		6,097,395
	53,337	Bureau Veritas SA		6,164,581
	122,713	Carrefour SA		3,592,729
	36,448	Casino Guichard-Perrachon SA		3,812,648
	90,888	Cie Generale des Etablissements Michelin		7,931,821
	321,922	Credit Agricole SA *		3,018,310
	58,554	Danone SA		4,323,359
	60,665	Dassault Systemes SA		7,603,962
	93,189	Essilor International SA		10,253,091
	80,898	European Aeronautic Defense and Space Co NV		4,658,154
	13,640	ICADE (REIT)		1,229,538
	24,944	Iliad SA		5,218,681
	5,233	Kering		1,137,166
	66,360	L’Oreal SA		11,186,390
	73,706	Lafarge SA		5,256,024
	19,131	Neopost SA		1,271,099
	24,306	Publicis Groupe SA		1,739,103
	23,306	Remy Cointreau SA		2,689,081
	170,085	Sanofi		18,135,865
	152,020	SES SA-Class A FDR		4,491,014
	10,879	Societe BIC SA		1,158,291
	180,806	Societe Generale		7,210,936
	82,238	Suez Environnement SA		1,058,948
	26,011	Valeo SA		1,733,268
	16,709	Vallourec SA		905,935
	22,437	Wendel		2,476,773
		Total France		128,785,065
		Germany — 7.1%
	114,358	Allianz SE (Registered)		17,664,489
	49,246	Aurubis AG		2,956,014

International Growth Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	22,941	BASF AG		2,223,336
	286,912	Bayer AG (Registered)		30,661,541
	56,726	Beiersdorf AG		5,115,951
	234,687	Deutsche Lufthansa AG (Registered) *		5,035,171
	56,972	Duerr AG		3,693,894
	25,546	Fielmann AG		2,670,299
	198,947	Freenet AG		4,251,265
	55,087	Hannover Rueckversicherung AG (Registered)		4,147,139
	37,227	Henkel AG & Co KGaA		3,027,990
	20,120	Hochtief AG		1,403,889
	27,157	Hugo Boss AG		3,023,785
	33,678	Kabel Deutschland Holding AG		3,171,080
	12,648	KUKA AG *		597,730
	27,156	Merck KGaA		4,298,088
	89,291	Metro AG		3,027,393
	96,226	Muenchener Rueckversicherungs AG (Registered)		17,948,552
	23,061	Salzgitter AG		871,700
	286,604	SAP AG *		21,448,865
	482,462	Sky Deutschland AG *		3,211,300
	33,720	Software AG		1,156,066
	43,955	Stada Arzneimittel AG		1,922,219
	109,390	Suedzucker AG		3,701,229
	32,316	Symrise AG		1,316,988
	138,877	ThyssenKrupp AG *		2,754,115
	169,303	TUI AG *		2,060,732
	15,646	Volkswagen AG		3,314,548
	11,249	Wacker Chemie AG		825,175
		Total Germany		157,500,543
		Greece — 0.0%
	6,286	Public Power Corp SA *		62,712
		Hong Kong — 3.5%
	906,000	AAC Technologies Holdings Inc		5,165,614
	313,600	AIA Group Ltd		1,386,425
	66,700	ASM Pacific Technology Ltd		800,694
	358,000	Cheung Kong Infrastructure Holdings Ltd		2,481,615
	481,500	CLP Holdings Ltd		4,051,298
	1,532,000	Galaxy Entertainment Group Ltd *		7,952,755
	228,100	Hang Seng Bank Ltd		3,661,211
	288,000	Henderson Land Development Co Ltd		2,018,603
	276,000	Hongkong Land Holdings Ltd		1,908,116
	4,271,111	Hong Kong & China Gas		12,068,726
	159,700	Hong Kong Exchanges & Clearing Ltd		2,673,412
	26,438	Jardine Matheson Holdings Ltd		1,734,998
	1,205,853	Link (REIT)		6,203,672
	142,000	Luk Fook Holdings International Ltd		369,138
	601,000	New World Development Ltd		952,544
	745,500	Power Assets Holdings Ltd		6,525,107

Shares		Description	Value ($)
		Hong Kong — continued
	628,400	Sands China Ltd		3,319,489
	297,000	Sun Hung Kai Properties Ltd		3,941,629
	794,000	Wharf Holdings Ltd (The)		7,051,133
	2,170,000	Xinyi Glass Holdings Ltd		1,858,958
		Total Hong Kong		76,125,137
		Ireland — 0.9%
	80,403	DCC Plc		3,037,887
	259,508	Elan Corp Plc *		3,255,443
	101,385	Kerry Group Plc-Class A		5,763,347
	102,226	Paddy Power Plc		8,619,372
	1	Prothena Corp Plc *		10
		Total Ireland		20,676,059
		Israel — 0.4%
	154,361	Israel Chemicals Ltd		1,716,815
	32,436	Mellanox Technologies Ltd *		1,791,492
	131,799	Teva Pharmaceutical Industries Ltd		5,048,712
		Total Israel		8,557,019
		Italy — 1.2%
	460,246	Assicurazioni Generali SPA		8,563,418
	187,699	Atlantia SPA		3,196,298
	66,859	Azimut Holding SPA		1,266,592
	685,792	Fiat SPA *		5,374,774
	168,852	Mediolanum SPA		1,121,121
	1,164,673	UniCredit SPA		6,536,364
		Total Italy		26,058,567
		Japan — 22.8%
	8,200	3-D Matrix Ltd *		523,813
	47,000	ABC-Mart Inc		1,699,983
	1,099	Accordia Golf Co Ltd		1,162,227
	11,400	Aeon Mall Co Ltd		298,510
	158,200	Aeon Co Ltd		1,846,445
	219,000	Ajinomoto Co Inc		3,015,138
	135,800	Anritsu Corp		1,834,045
	15,300	Arnest One Corp		276,944
	179,000	Asahi Kasei Corp		1,203,856
	399,500	Astellas Pharma Inc		20,400,940
	79,700	Bridgestone Corp		2,587,052
	22,300	Calbee Inc		2,151,704
	93,150	Canon Inc		3,182,797
	26,600	Central Japan Railway Co		2,928,605
	92,000	Chiyoda Corp		989,388
	189,900	Chugai Pharmaceutical Co Ltd		3,804,563
	86,300	Credit Saison Co Ltd		2,012,230
	3,616	Dai-ichi Life Insurance Co Ltd (The)		4,897,141
	130,000	Daihatsu Motor Co Ltd		2,757,568
	47,000	Dainippon Sumitomo Pharma Co Ltd		649,322
	82,400	Daito Trust Construction Co Ltd		7,669,000
	203,000	Daiwa House Industry Co Ltd		3,836,286

International Growth Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	648,000	Daiwa Securities Group Inc		5,300,486
	172,000	Dena Co Ltd		3,626,801
	127,600	Eisai Co Ltd		4,897,201
	36,700	Fanuc Ltd		5,404,620
	32,500	Fast Retailing Co Ltd		10,931,622
	391,000	Fuji Heavy Industries Ltd		8,806,738
	80,400	Gree Inc		800,786
	289,000	Hankyu Hanshin Holdings Inc		1,535,275
	235,000	Hino Motors Ltd		3,334,307
	15,700	Hirose Electric Co Ltd		2,022,931
	114,100	Hisamitsu Pharmaceutical Co Inc		5,581,647
	1,049,000	Hitachi Ltd		7,060,636
	254,700	Hoya Corp		5,115,003
	9,900	Idemitsu Kosan Co Ltd		801,132
	596,000	IHI Corp		2,179,896
	599	INPEX Corp		2,549,941
	280,000	Isuzu Motors Ltd		2,078,712
	833,600	Itochu Corp		10,330,464
	73,400	Ito En Ltd		1,621,564
	81,200	Izumi Co Ltd		1,945,024
	36,700	J Trust Co Ltd		733,390
	183	Japan Real Estate Investment Corp (REIT)		1,801,815
	1,003	Japan Retail Fund Investment Corp (REIT)		1,904,136
	130,500	Japan Tobacco Inc		4,441,308
	180,500	JFE Holdings Inc		3,709,450
	76,000	JGC Corp		2,521,524
	63,700	K’s Holdings Corp		1,762,281
	100,258	Kakaku.com Inc		2,418,156
	311,900	Kao Corp		9,774,206
	355,300	KDDI Corp		16,028,996
	242,000	Keio Corp		1,612,742
	32,893	Keyence Corp		10,037,391
	777,000	Kintetsu Corp		3,215,300
	1,525,000	Kobe Steel Ltd *		2,011,983
	94,700	Komatsu Ltd		2,371,448
	288,000	Kubota Corp		4,171,403
	82,000	Lawson Inc		5,965,176
	42,700	Makita Corp		2,279,879
	152,000	Marubeni Corp		1,049,528
	2,317,000	Mazda Motor Corp *		8,913,170
	223,400	Medipal Holdings Corp		2,978,822
	332,000	Mitsubishi Estate Co Ltd		8,179,482
	494,000	Mitsubishi Heavy Industries Ltd		3,023,851
	86,800	Mitsubishi Corp		1,500,105
	528,000	Mitsui Engineer & Shipbuilding Co Ltd		857,381
	173,000	Mitsui Fudosan Co Ltd		4,772,782
	2,300,000	Mizuho Financial Group Inc		4,379,001
	158,300	Namco Bandai Holdings Inc		2,565,923
	135	NanoCarrier Co Ltd *		515,631
	1,518,000	NEC Corp		3,529,875

Shares		Description	Value ($)
		Japan — continued
	33,300	Nidec Corp		2,256,167
	38,000	Nintendo Co Ltd		3,752,735
	213	Nippon Building Fund Inc (REIT)		2,190,530
	64,950	Nitori Holdings Co Ltd		5,110,907
	101,300	Nitto Denko Corp		6,013,954
	933,000	Nomura Holdings Inc		7,074,432
	123,000	Nomura Research Institute Ltd		3,554,530
	4,417	NTT Docomo Inc		6,453,315
	568,000	Odakyu Electric Railway Co Ltd		5,522,455
	487,000	OJI Paper Co Ltd		1,695,142
	44,900	Ono Pharmaceutical Co Ltd		3,122,270
	30,300	Oracle Corp		1,191,072
	52,300	Oriental Land Co Ltd		7,131,156
	670,500	Orient Corp *		1,923,845
	7,000	Osaka Securities Exchange Co Ltd		645,093
	309,100	Panasonic Corp *		2,355,692
	128,100	Park24 Co Ltd		2,379,318
	18,150	Point Inc		807,154
	227,600	Rakuten Inc		2,535,763
	216,000	Ricoh Co Ltd		2,507,742
	90,000	Santen Pharmaceutical Co Ltd		3,604,189
	18,100	Sawai Pharmaceuticals Co Ltd		1,988,139
	39,100	Secom Co Ltd		1,971,753
	87,000	Sekisui House Ltd		1,127,853
	586,100	Seven Bank Ltd		2,087,481
	284,000	Sharp Corp *		1,304,488
	34,100	Shimamura Co Ltd		3,917,438
	71,000	Shimano Inc		5,468,024
	276,000	Shimizu Corp		973,389
	52,000	Shin-Etsu Chemical Co Ltd		3,257,861
	533,000	Shinsei Bank Ltd		1,244,653
	86,600	Shionogi & Co Ltd		1,619,023
	154,600	Shiseido Co Ltd		2,196,855
	16,100	SMC Corp		3,053,248
	239,000	SoftBank Corp		11,946,462
	109,900	Stanley Electric Co Ltd		2,005,163
	136,600	Sumitomo Rubber Industries		2,138,711
	193,000	Sumitomo Metal Mining Co Ltd		2,425,235
	196,100	Sumitomo Mitsui Financial Group Inc		7,741,984
	563,000	Sumitomo Mitsui Trust Holdings Inc		2,306,609
	124,000	Sumitomo Realty & Development Co Ltd		4,742,309
	22,000	Suruga Bank Ltd		329,545
	38,000	Suzuken Co Ltd		1,204,208
	51,200	Suzuki Motor Corp		1,245,656
	63,200	Sysmex Corp		4,146,287
	180,500	Takeda Pharmaceutical Co Ltd		8,000,184
	125,200	Terumo Corp		6,163,028
	655,000	Tobu Railway Co Ltd		3,394,083
	804,000	Tokyo Gas Co Ltd		4,323,029
	268,000	Tokyu Land Corp		2,421,971
	269,000	Toray Industries Inc		1,840,119
	1,043,000	Toshiba Corp		4,907,035

International Growth Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	281,000	Tosoh Corp		917,557
	12,900	Toyota Boshoku Corp		183,317
	285,200	Toyota Motor Corp		16,644,084
	104,400	Toyota Tsusho Corp		2,762,516
	89,000	Toyo Suisan Kaisha Ltd		2,865,268
	129,900	Trend Micro Inc		3,953,330
	96,900	Tsumura & Co		2,766,237
	5,400	Tsuruha Holdings Inc		434,764
	100,100	Unicharm Corp		5,597,768
	30,790	USS Co Ltd		3,570,094
	201,200	Wacom Co Ltd		2,485,719
	14,741	Yahoo! Japan Corp		6,678,546
	72,280	Yamada Denki Co Ltd		2,726,442
	85,300	Yamaha Motor Co Ltd		1,320,838
		Total Japan		500,904,242
		Netherlands — 2.3%
	31,428	ASML Holding NV		2,601,048
	60,600	Gemalto NV		5,088,209
	48,337	Heineken NV		3,362,745
	233,071	Koninklijke Philips NV		6,599,645
	275,594	Koninklijke Ahold NV		4,468,473
	34,327	Randstad Holdings NV		1,470,714
	150,050	Reed Elsevier NV		2,458,899
	586,894	Unilever NV		23,976,888
		Total Netherlands		50,026,621
		New Zealand — 0.1%
	1,400,684	Telecom Corp of New Zealand Ltd		2,562,957
		Norway — 0.9%
	101,958	Aker Solutions ASA		1,502,436
	65,744	DNB ASA		1,063,158
	9,751	Fred Olsen Energy ASA		409,365
	1,118,047	Marine Harvest ASA		1,161,790
	120,972	Seadrill Ltd		4,892,676
	251,145	Statoil ASA		5,670,747
	56,111	TGS Nopec Geophysical Co ASA		1,958,649
	64,447	Yara International ASA		2,877,828
		Total Norway		19,536,649
		Singapore — 2.4%
	1,246,000	CapitaCommercial Trust (REIT)		1,490,364
	693,000	Ezion Holdings Ltd		1,242,257
	4,946,000	Golden Agri-Resources Ltd		2,245,655
	189,000	Hyflux Ltd		199,978
	273,900	Keppel Corp Ltd		2,267,152
	2,434,000	Noble Group Ltd		1,988,264
	361,000	Oversea-Chinese Banking Corp Ltd		2,940,795
	935,000	SATS Ltd		2,404,780
	683,000	SembCorp Industries Ltd		2,616,226

Shares		Description	Value ($)
		Singapore — continued
	609,000	Singapore Exchange Ltd		3,551,334
	1,033,000	Singapore Press Holdings Ltd		3,485,052
	1,939,000	Singapore Technologies Engineering Ltd		6,261,309
	4,000,500	Singapore Telecommunications Ltd		11,833,346
	1,317,000	SMRT Corp Ltd		1,489,055
	1,014,000	StarHub Ltd		3,213,637
	157,000	United Overseas Bank Ltd		2,651,740
	1,801,000	Yangzijiang Shipbuilding Holdings Ltd		1,249,809
	891,000	Yanlord Land Group Ltd		1,001,156
		Total Singapore		52,131,909
		Spain — 2.6%
	490,785	Banco Bilbao Vizcaya Argentaria SA		4,599,998
	263,721	Distribuidora Internacional de Alimentacion SA		2,066,876
	95,335	Enagas		2,383,223
	154,903	Ferrovial SA		2,494,590
	42,578	Gas Natural SDG SA		879,633
	55,821	Grifols SA *		2,043,995
	1,145,827	Iberdrola SA		6,197,868
	190,187	Inditex SA		23,543,307
	82,378	Red Electrica de Espana		4,380,027
	340,466	Repsol YPF SA		7,746,989
		Total Spain		56,336,506
		Sweden — 1.9%
	32,965	Boliden AB		469,766
	521,342	Hennes & Mauritz AB-Class B		17,836,083
	108,506	Investor AB-Class B		3,114,844
	92,989	Kinnevik Investment AB		2,465,403
	39,892	Millicom International Cellular SA SDR		3,180,095
	121,710	Scania AB-Class B		2,714,000
	406,756	Skandinaviska Enskilda Banken AB-Class A		4,234,121
	99,531	Svenska Cellulosa AB-Class B		2,473,305
	188,075	Swedbank AB-Class A		4,478,902
		Total Sweden		40,966,519
		Switzerland — 9.2%
	227,651	ABB Ltd		4,980,981
	82,285	Actelion Ltd (Registered)		4,915,054
	18,580	Adecco SA		1,035,415
	66,512	Compagnie Financiere Richemont SA-Class A		5,881,069
	284,632	Credit Suisse Group AG (Registered)		8,412,672
	25,454	Geberit AG (Registered)		6,336,407
	18,120	Holcim Ltd		1,405,386
	11,107	Kuehne & Nagel International AG (Registered)		1,240,882
	813,796	Nestle SA (Registered)		53,909,618
	152,379	Novartis AG (Registered)		10,915,218
	3,247	Pargesa Holding SA		224,610

International Growth Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Switzerland — continued
	17,959	Partners Group Holding AG		4,565,642
	256,257	Roche Holding AG (Non Voting)		63,535,473
	20,528	Schindler Holding AG		2,984,177
	3,469	SGS SA (Registered)		7,773,445
	13,816	Sonova Holding AG (Registered)		1,517,041
	5,881	Straumann Holding AG		805,893
	24,265	Swatch Group AG (The)		2,391,767
	12,716	Swatch Group AG		7,247,358
	10,068	Swiss Life Holding AG (Registered)		1,669,065
	32,323	Swiss Re AG		2,373,621
	5,021	Swisscom AG (Registered)		2,143,499
	11,655	Syngenta AG (Registered)		4,546,582
	16,712	Transocean Ltd		839,240
		Total Switzerland		201,650,115
		United Kingdom — 21.2%
	683,160	Aberdeen Asset Management Plc		4,801,110
	227,288	Admiral Group Plc		4,582,887
	87,033	Aggreko Plc		2,340,957
	177,644	Anglo American Plc		4,070,236
	473,416	ARM Holdings Plc		6,933,705
	437,825	Ashmore Group Plc		2,627,218
	255,034	Ashtead Group Plc		2,416,412
	45,835	ASOS Plc *		2,699,779
	88,892	Associated British Foods Plc		2,435,928
	208,521	AstraZeneca Plc		10,668,819
	193,429	Babcock International Group Plc		3,392,235
	3,453,500	Barclays Plc		16,542,741
	472,784	Barratt Developments Plc *		2,280,899
	541,897	BG Group Plc		9,889,637
	253,968	BHP Billiton Plc		7,302,893
	1,039,676	British American Tobacco Plc		57,128,883
	318,296	British Sky Broadcasting Group Plc		3,763,376
	669,798	BT Group Plc		3,047,954
	291,924	Bunzl Plc		5,681,787
	146,865	Burberry Group Plc		3,212,036
	267,376	Capita Group Plc		3,895,336
	214,909	Chemring Group Plc		917,947
	1,136,661	Cobham Plc		4,906,437
	77,265	Croda International Plc		2,873,266
	948,795	Debenhams Plc		1,347,170
	1,584,925	Diageo Plc		46,818,522
	147,353	easyJet Plc		2,807,822
	155,966	Eurasian Natural Resources Corp Plc		564,422
	372,953	Experian Plc		6,859,166
	1,816,239	GlaxoSmithKline Plc		46,991,912
	252,805	Glencore International Plc		1,229,473
	509,367	HSBC Holdings Plc		5,588,286
	152,625	ICAP Plc		843,856
	116,930	IMI Plc		2,278,137
	160,584	InterContinental Hotels Group Plc		4,622,615

Shares		Description	Value ($)
		United Kingdom — continued
	96,887	Intertek Group Plc		4,710,186
	1,741,343	ITV Plc		3,448,412
	288,029	John Wood Group Plc		3,698,960
	104,694	Kazakhmys Plc		516,133
	4,542	Lancashire Holdings Ltd		54,806
	194,799	LG Group Holdings Plc		1,702,987
	22,876,037	Lloyds Banking Group Plc *		21,261,968
	904,886	Man Group Plc		1,565,335
	214,611	Micro Focus International Plc		2,225,317
	40,603	Mondi Plc		534,459
	143,040	Next Plc		10,003,075
	116,119	Persimmon Plc		2,135,350
	117,392	Persimmon Plc, Bonus Shares		133,774
	187,708	Playtech Ltd		1,899,801
	717,529	Prudential Plc		12,069,633
	24,528	Randgold Resources Ltd		1,929,810
	212,526	Reckitt Benckiser Group Plc		15,197,423
	350,113	Reed Elsevier Plc		3,915,363
	373,170	Resolution Ltd		1,627,771
	133,394	Rightmove Plc		4,130,688
	949,434	Rio Tinto Plc		40,551,055
	304,086	Royal Bank of Scotland Group Plc *		1,535,518
	56,267	SABMiller Plc		2,830,751
	321,948	Sage Group Plc (The)		1,776,978
	152,674	Smiths Group Plc		3,175,788
	262,157	Smith & Nephew Plc		3,066,098
	77,231	Spectris Plc		2,418,987
	1,182,089	Standard Life Assurance Plc		6,993,042
	1,014,069	Taylor Wimpey Plc		1,516,891
	193,752	Telecity Group Plc		2,835,539
	516,579	Tesco Plc		2,860,500
	1,463	Tullett Prebon Plc		6,503
	44,534	Unilever Plc		1,870,665
	83,616	United Business Media Ltd		919,009
	91,927	Whitbread Plc		4,002,070
	722,831	William Hill Plc		4,831,203
	201,231	WPP Plc		3,425,769
		Total United Kingdom		465,741,476
		TOTAL COMMON STOCKS (COST $1,820,516,035)		2,102,510,093
		PREFERRED STOCKS — 1.3%
		Germany — 1.3%
	34,014	Bayerische Motoren Werke AG 4.70%		2,364,972
	21,906	Fuchs Petrolub AG 1.97%		1,874,244
	67,372	Henkel AG & Co KGaA 1.27%		6,483,364
	30,135	Porsche Automobil Holding SE 3.14%		2,485,355
	67,678	Volkswagen AG 2.11%		14,698,404
		Total Germany		27,906,339
		TOTAL PREFERRED STOCKS (COST $24,675,566)		27,906,339

International Growth Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares / Par Value		Description	Value ($)
		RIGHTS/WARRANTS — 0.0%
		Canada — 0.0%
	19,162	Kinross Gold Corp Warrants, Strike 21.30, Expires 09/17/14 *		1,663
		Japan — 0.0%
	36,700	J Trust Co Ltd Rights, Expires 07/30/13 *		94,988
		TOTAL RIGHTS/WARRANTS (COST $241,588)		96,651
		MUTUAL FUNDS — 0.1%
		United States — 0.1%
		Affiliated Issuers
	46,222	GMO U.S. Treasury Fund		1,156,000
		TOTAL MUTUAL FUNDS (COST $1,156,000)		1,156,000
		SHORT-TERM INVESTMENTS — 2.1%
		Time Deposits — 2.1%
USD	11,244,440	Bank of Tokyo-Mitsubishi (Tokyo) Time Deposit, 0.06%, due 06/03/13		11,244,440
USD	11,244,440	BNP Paribas (Paris) Time Deposit, 0.06%, due 06/03/13		11,244,440
AUD	11,766	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.90%, due 06/03/13		11,261
GBP	574,963	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.08%, due 06/03/13		873,598
HKD	392,107	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 06/03/13		50,512
SGD	50,700	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 06/03/13		40,112
EUR	129,936	Citibank (New York) Time Deposit, 0.00%, due 06/03/13 (a)		168,885
JPY	11,550,343	Citibank (New York) Time Deposit, 0.01%, due 06/03/13		114,996
NOK	1,899,844	JPMorgan Chase (New York) Time Deposit, 0.48%, due 06/03/13		323,728
USD	963,895	Skandinaviska Enskilda Banken, AB (Stockholm) Time Deposit, 0.06%, due 06/03/13		963,895
USD	11,244,440	Societe Generale (Paris) Time Deposit, 0.06%, due 06/03/13		11,244,440

Par Value		Description	Value ($)
		Time Deposits — continued
USD	11,244,440	STD Charter Bank (London) Time Deposit, 0.06%, due 06/03/13		11,244,440
		Total Time Deposits		47,524,747
		TOTAL SHORT-TERM INVESTMENTS (COST $47,524,747)		47,524,747
		TOTAL INVESTMENTS — 99.1% (Cost $1,894,113,936)		2,179,193,830
		Other Assets and Liabilities (net) — 0.9%		20,129,135
		TOTAL NET ASSETS — 100.0%		$2,199,322,965

A summary of outstanding financial instruments at May 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
06/20/2013	BNYM		AUD	12,963,743		USD	13,372,360	$	980,229
06/20/2013	BOA		AUD	8,052,212		USD	8,309,730		612,565
06/20/2013	MSCI		AUD	18,233,511		USD	18,141,085		711,547
06/20/2013	SSB		AUD	18,233,511		USD	18,009,421		579,882
06/20/2013	BBH		CAD	6,058,392		USD	5,922,558		81,140
06/20/2013	BCLY		CAD	6,132,028		USD	5,995,217		82,800
06/20/2013	BNYM		CAD	5,393,028		USD	5,274,303		74,420
06/20/2013	BOA		CAD	5,889,212		USD	5,757,368		79,071
06/20/2013	DB		CAD	6,965,352		USD	6,795,532		79,635
06/20/2013	MSCI		CAD	5,959,240		USD	5,827,794		81,977
06/20/2013	RBS		CAD	4,435,972		USD	4,332,224		55,121
06/20/2013	SSB		CAD	10,917,830		USD	10,660,652		133,831
06/20/2013	BBH		DKK	58,369,777		USD	10,275,284		97,253
06/20/2013	BOA		DKK	76,607,781		USD	13,507,239		149,019
06/20/2013	MSCI		DKK	15,505,443		USD	2,731,757		28,048
06/20/2013	BBH		JPY	602,441,931		USD	6,143,668		146,187
06/20/2013	BCLY		JPY	809,847,229		USD	8,257,933		195,673
06/20/2013	BNYM		JPY	944,821,766		USD	9,639,268		233,298
06/20/2013	BOA		JPY	611,292,816		USD	6,233,605		148,010
06/20/2013	MSCI		JPY	954,549,453		USD	9,736,684		233,872
06/20/2013	BBH		NOK	32,689,705		USD	5,688,431		121,558
06/20/2013	BOA		NOK	17,811,027		USD	3,100,734		67,617
06/20/2013	JPM		NOK	51,743,821		USD	9,006,478		194,797
06/20/2013	BNYM		SGD	3,947,476		USD	3,177,358		54,196
06/20/2013	MSCI		SGD	3,947,476		USD	3,179,023		55,862
06/20/2013	RBS		SGD	6,633,763		USD	5,370,511		122,015
06/20/2013	BBH		USD	7,088,349		CHF	6,789,292		12,692
06/20/2013	BBH		USD	5,047,889		GBP	3,299,252		(35,580	)
06/20/2013	BBH		USD	8,215,234		SGD	10,157,151		(179,106	)
06/20/2013	BCLY		USD	32,964		CHF	30,511		(1,052	)
06/20/2013	BCLY		USD	7,197,446		EUR	5,477,050		(78,079	)
06/20/2013	BCLY		USD	4,309,249		GBP	2,814,277		(33,727	)

International Growth Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
06/20/2013	BCLY		USD	5,793,908		HKD	44,960,208	$	(1,580	)
06/20/2013	BCLY		USD	3,266,066		JPY	334,531,365		64,289
06/20/2013	BNYM		USD	1,217,440		CAD	1,241,302		(20,594	)
06/20/2013	BNYM		USD	24,734		CHF	22,923		(759	)
06/20/2013	BNYM		USD	14,799,996		HKD	114,848,858		(3,750	)
06/20/2013	BNYM		USD	6,076,336		JPY	621,272,534		108,609
06/20/2013	BNYM		USD	12,324,292		SGD	15,226,170		(277,662	)
06/20/2013	BOA		USD	1,219,576		CAD	1,241,302		(22,730	)
06/20/2013	BOA		USD	2,576,135		CHF	2,384,720		(81,913	)
06/20/2013	BOA		USD	26,356,308		HKD	204,519,940		(7,528	)
06/20/2013	BOA		USD	11,739,658		SGD	14,503,714		(264,620	)
06/20/2013	DB		USD	1,219,147		CAD	1,241,299		(22,304	)
06/20/2013	DB		USD	5,267,124		CHF	4,878,200		(164,928	)
06/20/2013	DB		USD	654,011		GBP	427,676		(4,274	)
06/20/2013	DB		USD	5,374,311		HKD	41,705,674		(1,272	)
06/20/2013	JPM		USD	11,538,337		HKD	89,538,393		(2,897	)
06/20/2013	MSCI		USD	7,041,950		CHF	6,789,292		59,092
06/20/2013	MSCI		USD	14,767,764		HKD	114,596,892		(3,980	)
06/20/2013	MSCI		USD	9,389,737		JPY	955,803,899		125,563
06/20/2013	MSCI		USD	13,504,316		SGD	16,683,434		(304,728	)
06/20/2013	RBS		USD	16,576,254		SGD	20,483,675		(369,994	)
06/20/2013	SSB		USD	1,226,885		CAD	1,241,301		(30,040	)
06/20/2013	SSB		USD	11,020,848		HKD	85,521,557		(2,906	)
06/20/2013	SSB		USD	2,803,049		SGD	3,463,209		(63,030	)
								$	3,790,835

Futures Contracts

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
419	CAC 40	June 2013	$	21,349,155	$	(88,294	)
319	DAX	June 2013		86,039,153		3,321,774
169	TOPIX	June 2013		18,596,305		(2,531,616	)
			$	125,984,613	$	701,864
Sales
16	FTSE 100	June 2013	$	1,587,013	$	26,260
37	OMXS 30	June 2013		674,251		10,768
326	S&P Toronto 60	June 2013		45,619,561		548,992
306	SPI 200	June 2013		35,762,313		2,409,285
			$	83,643,138	$	2,995,305

As of May 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

FDR - Fiduciary Depositary Receipt

REIT - Real Estate Investment Trust

SDR - Swedish Depository Receipt

* Non-income producing security.

(a) Rate rounds to 0.00%.

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank PLC

BNYM - Bank of New York Mellon

BOA - Bank of America, N.A.

DB - Deutsche Bank AG

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

RBS - Royal Bank of Scotland PLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

SGD - Singapore Dollar

USD - United States Dollar

International Intrinsic Value Extended Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 89.9%
		Australia — 2.6%
	402,982	Arrium Ltd		304,330
	104,395	BlueScope Steel Ltd *		519,297
	5,015	Commonwealth Bank of Australia		318,612
	28,593	CSL Ltd		1,626,958
	34,536	Insurance Australia Group Ltd		186,379
	83,448	Investa Office Fund (REIT)		254,042
	328,212	Mirvac Group (REIT)		523,156
	73,501	QBE Insurance Group Ltd		1,113,759
	220,626	Stockland (REIT)		765,122
	136,279	TABCORP Holdings Ltd		427,218
	72,974	Tatts Group Ltd		223,191
	75,535	Westpac Banking Corp		2,035,735
		Total Australia		8,297,799
		Austria — 0.5%
	20,176	OMV AG		930,696
	15,693	Voestalpine AG		520,071
		Total Austria		1,450,767
		Belgium — 0.5%
	14,020	Ageas		514,001
	7,087	Anheuser-Busch InBev NV		652,609
	14,767	Belgacom SA		330,868
		Total Belgium		1,497,478
		Brazil — 1.2%
	107,291	Banco do Brasil SA		1,261,363
	147,800	Petroleo Brasileiro SA (Petrobras)		1,305,620
	93,000	Vale SA		1,328,695
		Total Brazil		3,895,678
		Canada — 2.1%
	6,500	Alimentation Couche Tard Inc		363,636
	5,000	Canadian Tire Corp Ltd		401,736
	4,100	Canadian Pacific Railway Ltd		545,111
	10,800	Capital Power Corp		223,969
	11,700	Davis & Henderson Income Corp		264,978
	4,200	Empire Co Ltd		272,235
	24,300	First Quantum Minerals Ltd		435,021
	12,200	Genworth MI Canada Inc		286,775
	7,100	Home Capital Group Inc		363,372
	12,900	Husky Energy Inc		364,448
	37,800	Just Energy Group Inc		270,898
	13,500	Parkland Fuel Corp		232,303
	26,200	Petrominerales Ltd		154,660
	14,800	Pretium Resources Inc *		121,341
	110,000	Research In Motion Ltd *		1,533,157
	61,300	Sherritt International Corp		274,350
	20,000	Transcontinental Inc		237,666
	11,800	TransForce Inc		228,317
		Total Canada		6,573,973

Shares		Description	Value ($)
		China — 7.2%
	7,787,000	Bank of China Ltd-Class H		3,657,706
	711,000	Bank of Communications Co Ltd-Class H		541,256
	5,117,000	China Construction Bank-Class H		4,132,031
	407,000	China Mobile Ltd		4,290,695
	198,000	China Overseas Land & Investment Ltd		585,667
	983,000	CNOOC Ltd		1,719,436
	54,500	Hengan International Group Co Ltd		602,693
	4,610,000	Industrial and Commercial Bank of China Ltd-Class H		3,237,221
	2,082,000	PetroChina Co Ltd-Class H		2,411,842
	47,200	Tencent Holdings Ltd		1,855,418
		Total China		23,033,965
		Colombia — 0.1%
	172,155	Ecopetrol SA		368,977
		Denmark — 0.0%
	5,499	Vestas Wind Systems A/S *		80,044
		Finland — 0.4%
	348,352	Nokia Oyj *		1,165,343
	3,208	Sampo Oyj-Class A		130,020
		Total Finland		1,295,363
		France — 9.6%
	108,054	Air France–KLM *		1,039,792
	48,652	AXA		982,270
	22,496	BNP Paribas		1,316,458
	10,839	Carrefour SA		317,339
	6,846	Compagnie Generale des Etablissements Michelin-Class B		597,452
	11,405	European Aeronautic Defense and Space Co NV		656,707
	144,261	France Telecom SA		1,463,039
	29,064	GDF Suez		592,737
	6,746	Lafarge SA		481,062
	28,777	PagesJaunes Groupe *		68,586
	163,471	Peugeot SA *		1,439,197
	26,576	Renault SA		2,051,144
	55,003	Sanofi		5,864,873
	58,568	Societe Generale		2,335,819
	193,947	Total SA		9,694,122
	77,462	Vivendi SA		1,516,115
		Total France		30,416,712
		Germany — 4.3%
	7,579	Allianz SE (Registered)		1,170,702
	10,064	Aurubis AG		604,096
	17,243	Bayer AG (Registered)		1,842,715
	21,347	Deutsche Lufthansa AG (Registered) *		457,997
	35,827	Deutsche Post AG (Registered)		902,836
	220,597	E.ON AG		3,717,311
	1,814	Hugo Boss AG		201,979
	2,381	Merck KGaA		376,850

International Intrinsic Value Extended Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	6,996	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		1,304,929
	57,464	RWE AG		1,960,703
	8,245	Salzgitter AG		311,659
	6,172	SAP AG *		461,900
	7,327	Suedzucker AG		247,910
		Total Germany		13,561,587
		Greece — 0.1%
	31,388	Public Power Corp SA *		313,142
		Hong Kong — 0.5%
	54,800	AIA Group Ltd		242,271
	308,200	Esprit Holdings Ltd		469,032
	42,000	Link (REIT)		216,074
	31,500	Power Assets Holdings Ltd		275,709
	38,000	Wharf Holdings Ltd (The)		337,460
	70,000	Yue Yuen Industrial Holdings		202,165
		Total Hong Kong		1,742,711
		India — 0.2%
	19,900	Tata Motors Ltd Sponsored ADR		545,857
		Ireland — 0.3%
	35,927	C&C Group Plc		214,127
	4,419	Paddy Power Plc		372,596
	23,100	Smurfit Kappa Group Plc		387,535
		Total Ireland		974,258
		Israel — 0.0%
	5,739	Bank Hapoalim BM *		26,555
	28,501	Bezeq Israeli Telecommunication Corp Ltd		36,870
		Total Israel		63,425
		Italy — 4.8%
	3,291	Azimut Holding SPA		62,346
	1,128,749	Enel SPA		4,248,515
	168,182	ENI SPA		3,824,715
	124,947	Fiat SPA *		979,250
	195,725	Finmeccanica SPA *		1,080,902
	657,691	Intesa Sanpaolo SPA		1,226,957
	8,625	Italcementi SPA-Di RISP		29,592
	16,569	Recordati SPA		175,374
	2,168,001	Telecom Italia SPA		1,678,252
	1,102,772	Telecom Italia SPA-Di RISP		681,791
	229,159	UniCredit SPA		1,286,083
		Total Italy		15,273,777
		Japan — 18.0%
	80	Advance Residence Investment Corp (REIT)		165,490
	60,200	Aeon Co Ltd		702,630
	10,100	Aeon Credit Service Co Ltd		269,249

Shares		Description	Value ($)
		Japan — continued
	70,550	Aiful Corp *		685,495
	7,000	Alfresa Holdings Corp		363,745
	19,800	Anritsu Corp		267,409
	23,400	Astellas Pharma Inc		1,194,949
	9,100	Bridgestone Corp		295,385
	38,000	Calsonic Kansei Corp		164,240
	167,000	Cosmo Oil Co Ltd *		300,099
	198,000	Daikyo Inc		590,390
	19,300	Daito Trust Construction Co Ltd		1,796,258
	64,000	Daiwa Securities Group Inc		523,505
	28,300	Dena Co Ltd		596,735
	8,700	Electric Power Development Co Ltd		273,664
	44,000	Fuji Heavy Industries Ltd		991,040
	10,000	Fuji Oil Co Ltd		152,623
	35,000	Gunze Ltd		84,317
	32,000	Hanwa Co Ltd		117,315
	553,000	Haseko Corp *		718,413
	5,200	Hikari Tsushin Inc		286,852
	15,300	IT Holdings Corp		213,323
	161,800	Itochu Corp		2,005,121
	205	Japan Retail Fund Investment Corp (REIT)		389,180
	58,600	JFE Holdings Inc		1,204,287
	315,800	JX Holdings Inc		1,534,235
	27,100	K’s Holdings Corp		749,730
	34,600	Kao Corp		1,084,282
	469,000	Kawasaki Kisen Kaisha Ltd		926,056
	53,100	KDDI Corp		2,395,552
	23,000	Kinugawa Rubber Industrial Co Ltd		127,276
	299,000	Kobe Steel Ltd *		394,481
	11,800	Kyowa Exeo Corp		130,544
	87,800	Leopalace21 Corp *		396,937
	143,000	Marubeni Corp		987,385
	120,000	Mazda Motor Corp *		461,623
	18,000	Medipal Holdings Corp		240,013
	22,000	Mitsubishi Estate Co Ltd		542,014
	65,000	Mitsubishi Heavy Industries Ltd		397,875
	191,500	Mitsubishi Chemical Holdings Corp		906,261
	95,200	Mitsubishi Corp		1,645,276
	79,400	Mitsubishi UFJ Lease & Finance Co Ltd		359,944
	168,000	Mitsui Chemicals Inc		375,167
	179,000	Mitsui Engineer & Shipbuilding Co Ltd		290,665
	18,000	Mitsui Fudosan Co Ltd		496,590
	81,100	Mitsui & Co Ltd		1,015,687
	184,000	Mitsui Mining & Smelting Co Ltd		418,899
	238,000	Mitsui OSK Lines Ltd *		845,289
	382,600	Mizuho Financial Group Inc		728,437
	16,900	Namco Bandai Holdings Inc		273,936
	211,000	NEC Corp		490,648
	23,800	Net One Systems Co Ltd		195,790
	40,000	Nichirei Corp		197,855
	187,000	Nippon Light Metal Co Ltd		209,996
	288,000	Nippon Steel Corp		721,993

International Intrinsic Value Extended Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	38,200	Nippon Telegraph & Telephone Corp		1,884,024
	185,000	Nippon Yusen Kabushiki Kaisha		474,321
	25,800	Nipro Corp		321,962
	30,000	Nisshinbo Holdings Inc		217,367
	105,500	Nomura Holdings Inc		799,949
	53,300	North Pacific Bank Ltd		175,112
	689	NTT Docomo Inc		1,006,641
	2,500	Okinawa Electric Power Co		95,937
	214	ORIX JREIT Inc (REIT)		230,370
	77,000	Penta-Ocean Construction Co Ltd		187,283
	6,690	Point Inc		297,513
	239,300	Resona Holdings Inc		1,073,398
	28,000	Ricoh Co Ltd		325,078
	34,300	Round One Corp		211,609
	6,000	Ryohin Keikaku Co Ltd		447,633
	9,800	Sankyo Co Ltd		430,124
	16,000	Seino Holdings Co Ltd		122,337
	3,400	Shimamura Co Ltd		390,595
	62,000	Shinsei Bank Ltd		144,781
	61,100	Showa Shell Sekiyu KK		482,737
	12,600	SoftBank Corp		629,813
	461,400	Sojitz Corp		795,226
	8,300	Sumisho Computer Systems Corp		168,015
	154,900	Sumitomo Corp		1,936,676
	40,000	Sumitomo Metal Mining Co Ltd		502,639
	16,900	Sumitomo Mitsui Financial Group Inc		667,208
	95,000	Sumitomo Mitsui Trust Holdings Inc		389,215
	12,000	Sumitomo Realty & Development Co Ltd		458,933
	49,900	Takeda Pharmaceutical Co Ltd		2,211,685
	44,000	Toho Zinc Co Ltd		140,497
	65,000	Tokyo Tatemono Co Ltd		486,894
	19	Tokyu REIT Inc (REIT)		110,441
	209,000	Tosoh Corp		682,453
	23,000	Toyota Motor Corp		1,342,265
	38,700	Toyota Tsusho Corp		1,024,036
	23,000	Toyo Engineering Corp		110,846
	62,600	UNY Co Ltd		412,384
	3,610	USS Co Ltd		418,579
	27,480	Yamada Denki Co Ltd		1,036,561
	5,900	Yamato Kogyo Co Ltd		179,978
	30,000	Yokohama Rubber Co Ltd		300,523
		Total Japan		57,215,788
		Mexico — 0.6%
	153,600	America Movil SAB de CV-Class L		154,102
	38,159	America Movil SAB de CV-Class L ADR		759,746
	240,324	Cemex SA de CV CPO *		277,783
	26,104	Cemex SAB de CV Sponsored ADR *		300,196
	69,800	Grupo Financiero Banorte SAB de CV-Class O		446,224
		Total Mexico		1,938,051

Shares		Description	Value ($)
		Netherlands — 0.9%
	149,013	Aegon NV		1,016,687
	115,777	ING Groep NV *		1,079,585
	18,852	Koninklijke Philips Electronics NV		533,814
	53,757	Koninklijke BAM Groep NV		265,485
		Total Netherlands		2,895,571
		New Zealand — 0.4%
	56,379	Fletcher Building Ltd		373,023
	34,242	Sky City Entertainment Group Ltd		113,613
	430,780	Telecom Corp of New Zealand		788,237
		Total New Zealand		1,274,873
		Norway — 0.0%
	6,149	DNB ASA		99,437
		Portugal — 0.3%
	321,143	EDP-Energias de Portugal SA		1,035,648
		Russia — 2.6%
	568,438	Gazprom OAO Sponsored ADR *		4,239,039
	54,127	Lukoil OAO Sponsored ADR		3,167,268
	124,344	Rosneft OJSC GDR (Registered)		816,318
		Total Russia		8,222,625
		Singapore — 0.8%
	289,000	Ezra Holdings Ltd *		221,294
	2,374,000	Golden Agri-Resources Ltd		1,077,878
	424,000	Singapore Telecommunications		1,254,178
	183,000	Swiber Holdings Ltd		109,446
		Total Singapore		2,662,796
		South Korea — 2.8%
	4,850	Hyundai Steel Co		305,682
	18,652	KT&G Corp		1,309,934
	4,861	NHN Corp		1,304,303
	8,836	POSCO		2,501,322
	2,576	Samsung Electronics Co Ltd		3,470,802
		Total South Korea		8,892,043
		Spain — 5.8%
	241,147	Banco Bilbao Vizcaya Argentaria SA		2,260,207
	736,761	Banco Santander SA		5,269,490
	15,078	Distribuidora Internacional de Alimentacion SA		118,172
	5,650	Enagas		141,241
	25,119	Ferrovial SA		404,522
	88,131	Gas Natural SDG SA		1,820,727
	12,728	Grifols SA *		466,060
	333,480	Iberdrola SA		1,803,819
	97,005	Repsol YPF SA		2,207,259
	280,123	Telefonica SA *		3,854,203
		Total Spain		18,345,700

International Intrinsic Value Extended Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Sweden — 0.7%
	29,473	Investor AB		846,071
	32,206	Skandinaviska Enskilda Banken AB-Class A		335,248
	9,128	Svenska Handelsbanken AB-A Shares		392,356
	22,478	Swedbank AB-Class A		535,301
		Total Sweden		2,108,976
		Switzerland — 1.7%
	12,554	ABB Ltd		274,680
	22,867	Credit Suisse Group AG (Registered)		675,864
	39,291	Novartis AG (Registered)		2,814,495
	3,116	Roche Holding AG (Non Voting)		772,570
	541	Swatch Group AG		308,338
	5,870	Swiss Re AG		431,060
		Total Switzerland		5,277,007
		Taiwan — 1.5%
	92,000	Asustek Computer Inc		1,007,283
	208,000	Formosa Chemicals & Fibre Co		487,183
	92,000	HTC Corp		843,103
	34,000	MediaTek Inc		419,720
	337,000	Quanta Computer Inc		721,719
	276,000	Taiwan Semiconductor Manufacturing Co Ltd		1,003,571
	952,000	United Microelectronics Corp		418,234
		Total Taiwan		4,900,813
		Turkey — 0.3%
	125,852	Turkiye IS Bankasi-Class C		465,563
	47,675	Turkiye Halk Bankasi AS		509,723
		Total Turkey		975,286
		United Kingdom — 19.1%
	70,758	Ashtead Group Plc		670,422
	136,054	AstraZeneca Plc		6,961,100
	119,718	Aviva Plc		601,624
	376,727	BAE Systems Plc		2,302,947
	93,104	Balfour Beatty Plc		326,345
	1,031,883	Barclays Plc		4,942,862
	35,503	BHP Billiton Plc		1,020,895
	1,009,960	BP Plc		7,218,395
	222,451	BT Group Plc		1,012,276
	11,908	Bunzl Plc		231,768
	18,951	Cape Plc		76,735
	31,024	Catlin Group Ltd		235,965
	79,720	Cobham Plc		344,114
	178,105	Debenhams Plc		252,887
	27,194	Diageo Plc		803,308
	425,818	Dixons Retail Plc *		265,374
	59,841	Drax Group Plc		518,693
	66,112	GlaxoSmithKline Plc		1,710,529
	22,210	Greencore Group Plc		43,801
	268,049	Home Retail Group Plc		633,835
	55,950	HSBC Holdings Plc		613,830

Shares		Description	Value ($)
		United Kingdom — continued
	23,136	Imperial Tobacco Group Plc		830,230
	56,760	Inchcape Plc		469,591
	35,113	Intermediate Capital Group Plc		247,631
	21,162	Lancashire Holdings Ltd		255,351
	250,320	Legal & General Group Plc		674,343
	2,169,201	Lloyds Banking Group Plc *		2,016,148
	10,706	Next Plc		748,692
	59,635	Prudential Plc		1,003,127
	3,767	Reckitt Benckiser Group Plc		269,373
	21,343	Reed Elsevier Plc		238,682
	62,322	Rio Tinto Plc		2,661,820
	178,988	Royal Bank of Scotland Group Plc *		903,821
	205,934	Royal Dutch Shell Plc-A Shares (London)		6,853,667
	124,769	Royal Dutch Shell Plc-B Shares (London)		4,301,154
	39,017	Scottish & Southern Energy Plc		915,837
	33,075	Standard Life Assurance Plc		195,666
	60,700	TUI Travel Plc		327,757
	2,029,933	Vodafone Group Plc		5,882,978
	122,894	William Hill Plc		821,389
	25,510	WPP Plc		434,284
		Total United Kingdom		60,839,246
		TOTAL COMMON STOCKS (COST $280,699,654)		286,069,373
		PREFERRED STOCKS — 3.1%
		Brazil — 2.7%
	71,800	Gerdau SA 0.61%		436,137
	36	Gerdau SA Sponsored ADR 0.62%		220
	462,429	Petroleo Brasileiro SA (Petrobras) 3.88%		4,315,975
	285,684	Vale SA 0.35%		3,858,828
		Total Brazil		8,611,160
		Germany — 0.4%
	5,532	Henkel AG & Co KGaA 1.27%		532,357
	6,586	Porsche Automobil Holding SE 3.14%		543,174
		Total Germany		1,075,531
		TOTAL PREFERRED STOCKS (COST $12,786,601)		9,686,691
		MUTUAL FUNDS — 1.4%
		United States — 1.4%
		Affiliated Issuers
	182,599	GMO U.S. Treasury Fund		4,566,810
		TOTAL MUTUAL FUNDS (COST $4,565,900)		4,566,810

International Intrinsic Value Extended Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.5%
		Time Deposits — 1.5%
USD	1,417,583	BNP Paribas (Paris) Time Deposit, 0.06%, due 06/03/13		1,417,583
CAD	5,568	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.28%, due 06/03/13		5,371
DKK	57	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.10)%, due 06/03/13		10
GBP	20,850	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.08%, due 06/03/13		31,679
HKD	105,784	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 06/03/13		13,627
JPY	1,559,940	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 06/03/13		15,532
NZD	43,168	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.67%, due 06/03/13		34,310
SGD	17,560	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 06/03/13		13,893
ZAR	91,566	Brown Brothers Harriman (Grand Cayman) Time Deposit, 4.15%, due 06/03/13		9,100
EUR	29,324	Citibank (New York) Time Deposit, 0.00%, due 06/03/13 (a)		38,114
USD	1,626,575	DBS Bank Ltd (Singapore) Time Deposit, 0.06%, due 06/03/13		1,626,575
USD	1,626,575	Societe Generale (Paris) Time Deposit, 0.06%, due 06/03/13		1,626,575
		Total Time Deposits		4,832,369
		TOTAL SHORT-TERM INVESTMENTS (COST $4,832,369)		4,832,369
		TOTAL INVESTMENTS — 95.9% (Cost $302,884,524)		305,155,243
		Other Assets and Liabilities (net) — 4.1%		13,074,784
		TOTAL NET ASSETS — 100.0%		$318,230,027

A summary of outstanding financial instruments at May 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
06/06/2013	BOA		AUD	4,423,489		USD	4,564,957	$	332,095
06/06/2013	MSCI		AUD	695,823		USD	692,296		26,459
06/06/2013	SSB		AUD	695,822		USD	687,270		21,434
06/06/2013	BCLY		CAD	5,460,164		USD	5,268,115		1,753
06/06/2013	BOA		CAD	4,692,012		USD	4,527,759		2,284
06/06/2013	DB		CAD	948,870		USD	915,590		399
06/06/2013	BBH		CHF	1,407,499		USD	1,469,374		(2,546	)
06/06/2013	BCLY		CHF	659,496		USD	688,323		(1,358	)
06/06/2013	BNYM		CHF	785,285		USD	819,662		(1,566	)
06/06/2013	BOA		CHF	1,256,708		USD	1,311,492		(2,736	)
06/06/2013	DB		CHF	673,101		USD	702,534		(1,375	)
06/06/2013	MSCI		CHF	705,428		USD	736,270		(1,445	)
06/06/2013	SSB		CHF	785,704		USD	819,586		(2,080	)
06/06/2013	BBH		EUR	1,074,596		USD	1,410,515		13,796
06/06/2013	BCLY		EUR	6,703,130		USD	8,808,650		96,181
06/06/2013	BOA		EUR	1,817,443		USD	2,385,093		22,850
06/06/2013	DB		EUR	130,977		USD	169,479		(760	)
06/06/2013	MSCI		EUR	130,979		USD	168,623		(1,618	)
06/06/2013	SSB		EUR	130,979		USD	169,940		(301	)
06/06/2013	BCLY		GBP	195,617		USD	299,531		2,314
06/06/2013	BNYM		GBP	3,716,134		USD	5,688,305		42,092
06/06/2013	BOA		GBP	925,821		USD	1,417,643		10,971
06/06/2013	DB		GBP	875,617		USD	1,339,011		8,618
06/06/2013	MSCI		GBP	1,253,607		USD	1,918,826		14,123
06/06/2013	BBH		HKD	17,647,238		USD	2,273,141		(246	)
06/06/2013	BNYM		HKD	71,687,158		USD	9,234,228		(796	)
06/06/2013	BOA		HKD	3,570,132		USD	459,870		(49	)
06/06/2013	JPM		HKD	7,495,014		USD	965,440		(98	)
06/06/2013	MSCI		HKD	1,785,067		USD	229,935		(24	)
06/06/2013	BBH		JPY	32,087,667		USD	327,228		7,803
06/06/2013	BCLY		JPY	75,138,458		USD	766,180		18,195
06/06/2013	BNYM		JPY	87,661,534		USD	894,341		21,692
06/06/2013	JPM		JPY	76,563,512		USD	780,733		18,562
06/06/2013	MSCI		JPY	87,661,534		USD	894,173		21,524
06/06/2013	SSB		JPY	616,196,663		USD	6,293,597		159,510
06/06/2013	BBH		NOK	313,166		USD	53,483		124
06/06/2013	BCLY		NZD	680,313		USD	557,251		16,615
06/06/2013	BOA		NZD	680,313		USD	559,306		18,670
06/06/2013	SSB		SEK	6,476,020		USD	979,249		1,540
06/06/2013	BOA		SGD	4,762,922		USD	3,765,742		(2,550	)
06/06/2013	DB		SGD	9,073,382		USD	7,173,575		(5,034	)
06/06/2013	BBH		USD	1,518,395		CHF	1,407,499		(46,474	)
06/06/2013	BBH		USD	1,403,003		EUR	1,074,596		(6,285	)
06/06/2013	BBH		USD	2,274,070		HKD	17,647,238		(683	)
06/06/2013	BBH		USD	316,718		JPY	32,087,667		2,707
06/06/2013	BBH		USD	53,929		NOK	313,166		(571	)
06/06/2013	BCLY		USD	5,338,343		CAD	5,460,164		(71,981	)
06/06/2013	BCLY		USD	712,522		CHF	659,496		(22,841	)
06/06/2013	BCLY		USD	8,751,285		EUR	6,703,130		(38,815	)
06/06/2013	BCLY		USD	297,456		GBP	195,617		(240	)

International Intrinsic Value Extended Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
06/06/2013	BCLY		USD	741,297		JPY	75,138,458	$	6,688
06/06/2013	BCLY		USD	545,906		NZD	680,313		(5,270	)
06/06/2013	BNYM		USD	847,331		CHF	785,285		(26,103	)
06/06/2013	BNYM		USD	5,652,426		GBP	3,716,134		(6,213	)
06/06/2013	BNYM		USD	9,237,970		HKD	71,687,158		(2,946	)
06/06/2013	BNYM		USD	864,913		JPY	87,661,534		7,736
06/06/2013	BOA		USD	4,250,619		AUD	4,423,489		(17,757	)
06/06/2013	BOA		USD	4,586,970		CAD	4,692,012		(61,496	)
06/06/2013	BOA		USD	1,357,580		CHF	1,256,708		(43,352	)
06/06/2013	BOA		USD	2,372,745		EUR	1,817,443		(10,502	)
06/06/2013	BOA		USD	1,408,031		GBP	925,821		(1,359	)
06/06/2013	BOA		USD	460,068		HKD	3,570,132		(150	)
06/06/2013	BOA		USD	545,766		NZD	680,313		(5,130	)
06/06/2013	BOA		USD	3,855,225		SGD	4,762,922		(86,932	)
06/06/2013	DB		USD	925,736		CAD	948,870		(10,545	)
06/06/2013	DB		USD	726,765		CHF	673,101		(22,856	)
06/06/2013	DB		USD	170,855		EUR	130,977		(616	)
06/06/2013	DB		USD	1,331,717		GBP	875,617		(1,324	)
06/06/2013	DB		USD	7,339,736		SGD	9,073,382		(161,127	)
06/06/2013	JPM		USD	965,843		HKD	7,495,014		(305	)
06/06/2013	JPM		USD	755,803		JPY	76,563,512		6,368
06/06/2013	MSCI		USD	668,552		AUD	695,823		(2,715	)
06/06/2013	MSCI		USD	761,415		CHF	705,428		(23,699	)
06/06/2013	MSCI		USD	170,998		EUR	130,979		(757	)
06/06/2013	MSCI		USD	1,906,227		GBP	1,253,607		(1,524	)
06/06/2013	MSCI		USD	230,024		HKD	1,785,067		(65	)
06/06/2013	MSCI		USD	864,831		JPY	87,661,534		7,818
06/06/2013	SSB		USD	668,643		AUD	695,822		(2,807	)
06/06/2013	SSB		USD	848,789		CHF	785,704		(27,124	)
06/06/2013	SSB		USD	170,995		EUR	130,979		(753	)
06/06/2013	SSB		USD	6,083,267		JPY	616,196,663		50,820
06/06/2013	SSB		USD	1,014,914		SEK	6,476,020		(37,206	)
								$	188,636

Futures Contracts

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
73	FTSE/MIB	June 2013	$	8,107,697	$	615,498
6	MSCI	June 2013		348,985		(13,450	)
49	TOPIX	June 2013		5,391,828		386,053
			$	13,848,510	$	988,101
Sales
27	FTSE 100	June 2013	$	2,678,085	$	(44,357	)
102	OMXS 30	June 2013		1,858,746		28,342
9	S&P Toronto 60	June 2013		1,259,436		15,156
			$	5,796,267	$	(859	)

As of May 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

ADR - American Depositary Receipt

GDR - Global Depository Receipt

OJSC - Open Join-Sotck Company

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) Rate rounds to 0.00%.

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank PLC

BNYM - Bank of New York Mellon

BOA - Bank of America, N.A.

DB - Deutsche Bank AG

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

USD - United States Dollar

ZAR - South African Rand

International Intrinsic Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 95.4%
		Australia — 3.5%
	12,240,877	Arrium Ltd		9,244,245
	1,712,894	Bank of Queensland Ltd		14,291,571
	823,884	Bendigo and Adelaide Bank Ltd		7,731,148
	4,131,833	BlueScope Steel Ltd *		20,553,193
	257,678	Commonwealth Bank of Australia		16,370,741
	988,285	CSL Ltd		56,233,980
	10,228,107	Goodman Fielder Ltd *		6,946,902
	1,127,754	Insurance Australia Group Ltd		6,086,103
	2,628,044	Investa Office Fund (REIT)		8,000,583
	441,784	Macquarie Group Ltd		18,014,411
	11,362,450	Mirvac Group (REIT)		18,111,258
	4,427,921	Pacific Brands Ltd		3,222,480
	3,519,833	QBE Insurance Group Ltd		53,335,929
	7,819,939	Stockland (REIT)		27,119,239
	4,396,354	TABCORP Holdings Ltd		13,782,031
	3,838,929	Tatts Group Ltd		11,741,346
	3,135,924	Westpac Banking Corp		84,515,945
		Total Australia		375,301,105
		Austria — 0.4%
	1,167,625	Immofinanz AG (Entitlement Shares) *		—
	685,814	OMV AG		31,635,804
	118,924	Raiffeisen Bank International AG		4,032,697
	396,048	Voestalpine AG		13,125,164
		Total Austria		48,793,665
		Belgium — 0.6%
	661,574	Ageas		24,254,618
	306,336	Anheuser-Busch InBev NV		28,209,058
	529,493	Belgacom SA		11,863,772
	136,520	Mobistar SA		3,011,892
		Total Belgium		67,339,340
		Canada — 0.9%
	149,800	Canadian Tire Corp Ltd		12,036,016
	880,300	First Quantum Minerals Ltd		15,759,217
	109,100	Home Capital Group Inc		5,583,647
	455,600	Husky Energy Inc		12,871,497
	21	Precision Drilling Corp		180
	3,216,300	Research In Motion Ltd *		44,828,102
	298,300	RONA Inc		3,009,615
		Total Canada		94,088,274
		Denmark — 0.1%
	84,417	Novo-Nordisk A/S-Class B		13,682,118
		Finland — 0.5%
	15,620,006	Nokia Oyj *		52,253,653
	100,646	Sampo Oyj-Class A		4,079,177
		Total Finland		56,332,830

Shares		Description	Value ($)
		France — 13.6%
	3,302,032	Air France–KLM *		31,775,095
	2,926,698	AXA		59,089,178
	2,120,536	BNP Paribas		124,093,002
	911,024	Carrefour SA		26,672,501
	455,181	CNP Assurances		6,872,992
	197,234	Compagnie Generale des Etablissements Michelin-Class B		17,212,667
	350,309	European Aeronautic Defense and Space Co NV		20,170,998
	5,078,582	France Telecom SA		51,505,024
	3,132,174	GDF Suez		63,878,200
	164,027	Lafarge SA		11,696,875
	256,121	Lagardere SCA		6,587,967
	1,058,029	PagesJaunes Groupe *		2,521,685
	4,198,458	Peugeot SA *		36,963,179
	1,052,348	Renault SA		81,220,544
	2,903,721	Sanofi		309,618,680
	2,365,958	Societe Generale		94,359,537
	1,228,750	Technicolor *		5,214,961
	9,348,524	Total SA		467,270,587
	2,824,930	Vivendi SA		55,290,570
		Total France		1,472,014,242
		Germany — 5.7%
	323,797	Allianz SE (Registered)		50,015,815
	320,358	Aurubis AG		19,229,636
	687,015	Bayer AG (Registered)		73,419,510
	1,314,248	Deutsche Lufthansa AG (Registered) *		28,196,976
	1,437,232	Deutsche Post AG (Registered)		36,218,076
	172,524	Duerr AG		11,185,939
	10,447,268	E.ON AG		176,048,378
	487,846	Freenet AG		10,424,699
	117,463	Hannover Rueckversicherung AG (Registered)		8,843,020
	581,837	Kloeckner & Co SE *		7,347,444
	84,723	Merck KGaA		13,409,445
	401,751	Metro AG		13,621,284
	280,009	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		52,228,672
	2,399,929	RWE AG		81,886,902
	202,111	Salzgitter AG		7,639,749
	337,332	SAP AG *		25,245,247
	212,822	Suedzucker AG		7,200,867
		Total Germany		622,161,659
		Greece — 0.3%
	2,230,683	OPAP SA		18,445,945
	979,806	Public Power Corp SA *		9,775,028
		Total Greece		28,220,973
		Hong Kong — 0.9%
	1,426,598	CLP Holdings Ltd		12,003,267
	9,627,690	Esprit Holdings Ltd		14,651,827

International Intrinsic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — continued
	8,499,581	Hong Kong & China Gas		24,016,963
	2,315,766	Link (REIT)		11,913,768
	6,990,000	Pacific Basin Shipping Ltd		4,005,514
	1,182,969	Power Assets Holdings Ltd		10,354,123
	525,000	Sun Hung Kai Properties Ltd		6,967,527
	1,181,000	Wharf Holdings Ltd (The)		10,487,894
	1,951,400	Yue Yuen Industrial Holdings		5,635,797
		Total Hong Kong		100,036,680
		Ireland — 0.4%
	903,065	C&C Group Plc		5,382,316
	313,670	DCC Plc		11,851,472
	155,047	Kerry Group Plc-Class A		8,813,826
	113,463	Paddy Power Plc		9,566,841
	689,114	Smurfit Kappa Group Plc		11,560,849
		Total Ireland		47,175,304
		Israel — 0.3%
	1,526,219	Bank Hapoalim BM *		7,062,080
	2,718,220	Bank Leumi Le-Israel *		9,488,914
	4,271,080	Israel Discount Bank Ltd-Class A *		7,134,580
	689,044	Partner Communications Co Ltd		4,158,129
		Total Israel		27,843,703
		Italy — 6.8%
	21,587,978	A2A SPA		18,130,699
	1,332,316	Assicurazioni Generali SPA		24,789,306
	585,947	Azimut Holding SPA		11,100,316
	43,744,376	Enel SPA		164,650,103
	7,890,417	ENI SPA		179,440,087
	295,057	Exor SPA		9,350,839
	6,260,112	Fiat SPA *		49,062,522
	5,304,560	Finmeccanica SPA *		29,294,722
	25,262,672	Intesa Sanpaolo SPA		47,128,827
	211,245	Italcementi SPA-Di RISP		724,769
	12,007,673	Mediaset SPA *		37,277,754
	2,045,564	Mediolanum SPA		13,581,859
	13,436,864	Milano Assicurazioni SPA *		8,619,077
	436,585	Recordati SPA		4,621,029
	73,760,684	Telecom Italia SPA		57,098,234
	40,374,376	Telecom Italia SPA-Di RISP		24,961,542
	10,783,014	UniCredit SPA		60,516,300
		Total Italy		740,347,985
		Japan — 21.4%
	9,558	Accordia Golf Co Ltd		10,107,884
	2,277,600	Aeon Co Ltd		26,583,207
	220,900	Alfresa Holdings Corp		11,478,751
	744,900	Anritsu Corp		10,060,237
	871,500	Astellas Pharma Inc		44,504,178
	348,000	Bridgestone Corp		11,296,034
	1,283,000	Calsonic Kansei Corp		5,545,264

Shares		Description	Value ($)
		Japan — continued
	4,602,000	Cosmo Oil Co Ltd *		8,269,794
	6,499,000	Daikyo Inc		19,378,508
	629,900	Daito Trust Construction Co Ltd		58,625,035
	543,000	Daiwa House Industry Co Ltd		10,261,592
	2,440,000	Daiwa Securities Group Inc		19,958,620
	995,000	Dena Co Ltd		20,980,622
	3,304,000	DIC Corp		7,591,470
	357,400	Electric Power Development Co Ltd		11,242,263
	1,544,000	Fuji Heavy Industries Ltd		34,776,478
	362,000	Fuji Oil Co Ltd		5,524,948
	936,000	Gunze Ltd		2,254,882
	1,197,000	Hanwa Co Ltd		4,388,299
	19,270,500	Haseko Corp *		25,034,689
	168,100	Hikari Tsushin Inc		9,273,050
	118,300	Idemitsu Kosan Co Ltd		9,573,125
	596,200	IT Holdings Corp		8,312,638
	6,422,200	Itochu Corp		79,587,696
	5,713	Japan Retail Fund Investment Corp (REIT)		10,845,794
	2,085,200	JFE Holdings Inc		42,852,879
	11,628,490	JX Holdings Inc		56,494,117
	765,600	K’s Holdings Corp		21,180,574
	1,056,100	Kao Corp		33,095,667
	16,433,000	Kawasaki Kisen Kaisha Ltd		32,447,484
	2,283,700	KDDI Corp		103,026,790
	10,952,000	Kobe Steel Ltd *		14,449,333
	228,500	Kohnan Shoji Co Ltd		2,668,663
	3,352,600	Leopalace21 Corp *		15,156,841
	6,313,000	Marubeni Corp		43,589,938
	11,898,000	Mazda Motor Corp *		45,769,919
	976,600	Medipal Holdings Corp		13,022,013
	916,000	Mitsubishi Estate Co Ltd		22,567,486
	2,708,000	Mitsubishi Heavy Industries Ltd		16,576,091
	6,102,000	Mitsubishi Chemical Holdings Corp		28,877,321
	4,309,800	Mitsubishi Corp		74,483,302
	1,195,000	Mitsubishi Gas Chemical Co Inc		8,473,489
	2,638,700	Mitsubishi UFJ Lease & Finance Co Ltd		11,962,013
	5,730,000	Mitsui Chemicals Inc		12,795,863
	7,144,000	Mitsui Engineer & Shipbuilding Co Ltd		11,600,619
	693,000	Mitsui Fudosan Co Ltd		19,118,715
	3,870,000	Mitsui & Co Ltd		48,467,425
	4,967,000	Mitsui Mining & Smelting Co Ltd		11,307,987
	8,117,000	Mitsui OSK Lines Ltd *		28,828,604
	20,487,700	Mizuho Financial Group Inc		39,006,806
	3,842,000	NEC Corp		8,933,979
	800,600	Net One Systems Co Ltd		6,586,124
	1,390,000	Nichirei Corp		6,875,446
	233,800	Nintendo Co Ltd		23,089,197
	463,000	Nippon Corp		5,990,626
	4,990,600	Nippon Light Metal Co Ltd		5,604,305
	656,000	Nippon Paper Industries Co Ltd *		8,021,002
	12,813,000	Nippon Steel Corp		32,121,149

International Intrinsic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	1,857,000	Nippon Telegraph & Telephone Corp		91,587,264
	8,628,000	Nippon Yusen Kabushiki Kaisha		22,121,313
	1,379,300	Nipro Corp		17,212,506
	976,000	Nisshinbo Holdings Inc		7,071,681
	299,900	Nitto Denko Corp		17,804,391
	4,507,300	Nomura Holdings Inc		34,176,408
	1,643,800	North Pacific Bank Ltd		5,400,547
	31,556	NTT Docomo Inc		46,103,875
	247	Obayashi Corp		1,192
	121,700	Okinawa Electric Power Co		4,670,209
	6,831	ORIX JREIT Inc (REIT)		7,353,539
	286,160	Point Inc		12,725,908
	13,588,000	Resona Holdings Inc		60,949,969
	2,236,000	Ricoh Co Ltd		25,959,775
	1,116,000	Round One Corp		6,885,017
	174,800	Ryohin Keikaku Co Ltd		13,041,046
	303,000	Sankyo Co Ltd		13,298,739
	546,500	Sega Sammy Holdings Inc		12,984,240
	473,000	Seino Holdings Co Ltd		3,616,586
	3,814,700	Seven Bank Ltd		13,586,615
	103,600	Shimamura Co Ltd		11,901,659
	10,721,000	Shinsei Bank Ltd		25,035,511
	2,188,200	Showa Shell Sekiyu KK		17,288,473
	563,500	SoftBank Corp		28,166,657
	11,723,800	Sojitz Corp		20,206,042
	3,921,000	Sumitomo Light Metal Industries Ltd		4,092,508
	5,597,000	Sumitomo Corp		69,977,877
	959,200	Sumitomo Electric Industries Ltd		11,474,059
	1,552,000	Sumitomo Metal Mining Co Ltd		19,502,412
	791,800	Sumitomo Mitsui Financial Group Inc		31,260,086
	3,968,000	Sumitomo Mitsui Trust Holdings Inc		16,256,878
	463,000	Sumitomo Realty & Development Co Ltd		17,707,171
	517,000	Suruga Bank Ltd		7,744,296
	205,800	Suzuken Co Ltd		6,521,737
	2,326,200	Takeda Pharmaceutical Co Ltd		103,102,651
	2,739,000	Tokyo Tatemono Co Ltd		20,516,963
	928,000	TonenGeneral Sekiyu KK		9,116,912
	4,983,000	Tosoh Corp		16,271,125
	1,008,900	Toyota Motor Corp		58,878,739
	1,442,900	Toyota Tsusho Corp		38,180,403
	1,798,500	UNY Co Ltd		11,847,799
	973,690	Yamada Denki Co Ltd		36,728,134
		Total Japan		2,318,825,737
		Malta — 0.0%
	15,984,486	BGP Holdings Plc *		—
		Netherlands — 1.2%
	5,759,174	Aegon NV		39,293,728
	337,397	CSM NV		7,068,414
	5,751,683	ING Groep NV *		53,632,704

Shares		Description	Value ($)
		Netherlands — continued
	721,791	Koninklijke Philips Electronics NV		20,438,255
	1,829,397	Koninklijke BAM Groep NV		9,034,687
		Total Netherlands		129,467,788
		New Zealand — 0.3%
	2,321,176	Chorus Ltd		4,580,671
	1,610,230	Fletcher Building Ltd		10,653,839
	12,023,887	Telecom Corp of New Zealand		22,001,184
		Total New Zealand		37,235,694
		Norway — 0.5%
	2,877,725	DNB ASA		46,536,195
	1,586,141	Golden Ocean Group Ltd *		1,741,483
	251,907	TGS Nopec Geophysical Co ASA		8,793,238
		Total Norway		57,070,916
		Portugal — 0.3%
	10,611,957	EDP-Energias de Portugal SA		34,222,286
		Singapore — 1.4%
	4,979,000	CapitaCommercial Trust (REIT)		5,955,474
	7,574,000	Ezra Holdings Ltd *		5,799,588
	72,683,000	Golden Agri-Resources Ltd		33,000,595
	2,439,000	Ho Bee Investment Ltd		3,864,702
	16,006,000	Noble Group Ltd		13,074,836
	2,271,100	SembCorp Industries Ltd		8,699,432
	2,363,000	Singapore Technologies Engineering Ltd		7,630,466
	16,658,000	Singapore Telecommunications		49,273,809
	4,589,000	Swiber Holdings Ltd		2,744,530
	839,000	United Overseas Bank Ltd		14,170,765
	8,442,000	Yangzijiang Shipbuilding Holdings Ltd		5,858,352
		Total Singapore		150,072,549
		Spain — 8.2%
	12,765,019	Banco Bilbao Vizcaya Argentaria SA		119,643,157
	39,448,267	Banco Santander SA		282,143,402
	3,044,231	Gas Natural SDG SA		62,891,744
	360,065	Grifols SA *		13,184,480
	15,048,788	Iberdrola SA		81,400,076
	966,811	Indra Sistemas SA		12,657,169
	4,101,672	Repsol YPF SA		93,329,755
	16,343,616	Telefonica SA *		224,871,238
		Total Spain		890,121,021
		Sweden — 0.9%
	991,992	Investor AB		28,476,766
	1,299,056	Skandinaviska Enskilda Banken AB-Class A		13,522,507
	353,392	Svenska Handelsbanken AB-A Shares		15,190,111
	1,032,811	Swedbank AB-Class A		24,595,824
	2,537,502	TeliaSonera AB		16,957,986
		Total Sweden		98,743,194

International Intrinsic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Switzerland — 1.9%
	915,916	Credit Suisse Group AG (Registered)		27,071,098
	2,149,542	Novartis AG (Registered)		153,976,071
	117,401	Roche Holding AG (Non Voting)		29,107,997
		Total Switzerland		210,155,166
		United Kingdom — 25.3%
	311,757	Admiral Group Plc		6,286,064
	1,167,742	Amlin Plc		7,362,217
	1,306,766	Ashtead Group Plc		12,381,429
	5,410,493	AstraZeneca Plc		276,823,837
	5,085,483	Aviva Plc		25,556,286
	13,993,598	BAE Systems Plc		85,543,402
	3,247,901	Balfour Beatty Plc		11,384,432
	46,033,019	Barclays Plc		220,504,507
	2,899,152	Barratt Developments Plc *		13,986,665
	2,226,509	BHP Billiton Plc		64,023,642
	45,672,545	BP Plc		326,431,218
	6,569,623	BT Group Plc		29,895,446
	550,415	Bunzl Plc		10,712,860
	769,126	Cape Plc		3,114,301
	1,071,916	Catlin Group Ltd		8,152,885
	2,778,751	Cobham Plc		11,994,575
	3,667,139	Darty Plc		3,928,634
	4,660,504	Debenhams Plc		6,617,332
	1,346,691	Diageo Plc		39,781,114
	20,801,063	Dixons Retail Plc *		12,963,415
	1,753,963	Drax Group Plc		15,203,097
	3,516,149	FirstGroup Plc		6,675,642
	3,362,104	GlaxoSmithKline Plc		86,988,383
	9,651,885	Home Retail Group Plc		22,823,078
	2,681,806	HSBC Holdings Plc		29,422,202
	940,557	Imperial Tobacco Group Plc		33,751,669
	1,791,776	Inchcape Plc		14,823,854
	340,120	InterContinental Hotels Group Plc		9,790,788
	1,441,181	Intermediate Capital Group Plc		10,163,771
	122,616	Jardine Lloyd Thompson Group Plc		1,644,636
	352,635	JD Wetherspoon Plc		3,527,962
	609,242	Lancashire Holdings Ltd		7,351,410
	8,690,463	Legal & General Group Plc		23,411,443
	101,289,811	Lloyds Banking Group Plc *		94,143,085
	6,551,065	Man Group Plc		11,332,493
	2,002,188	Marks & Spencer Group Plc		14,169,412
	665,644	Micro Focus International Plc		6,902,110
	1,173,976	National Express Group Plc		3,568,286
	380,022	Next Plc		26,575,703
	3,868,188	Old Mutual Plc		11,946,239
	2,243,200	Prudential Plc		37,733,110
	2,109,711	Punch Taverns Plc *		423,353
	111,383	Reckitt Benckiser Group Plc		7,964,835
	3,445,445	Rio Tinto Plc		147,157,601

Shares / Par Value		Description	Value ($)
		United Kingdom — continued
	7,720,571	Royal Bank of Scotland Group Plc *		38,985,934
	8,472,806	Royal Dutch Shell Plc A Shares (London)		281,982,550
	5,113,770	Royal Dutch Shell Plc B Shares (London)		176,286,662
	1,231,594	Scottish & Southern Energy Plc		28,908,917
	1,916,666	Spirit Pub Co Plc		1,955,562
	1,054,841	Standard Life Assurance Plc		6,240,264
	8,226,843	Tesco Plc		45,555,246
	9,894,626	Thomas Cook Group Plc *		21,322,091
	3,768,667	TUI Travel Plc		20,349,407
	94,012,541	Vodafone Group Plc		272,459,075
	3,335,957	William Hill Plc		22,296,614
	1,186,003	WPP Plc		20,190,591
		Total United Kingdom		2,741,471,336
		TOTAL COMMON STOCKS (COST $9,740,267,307)		10,360,723,565
		PREFERRED STOCKS — 0.6%
		Germany — 0.6%
	220,155	Henkel AG & Co KGaA, 1.27%		21,186,025
	508,231	Porsche Automobil Holding SE, 3.14%		41,915,867
		Total Germany		63,101,892
		TOTAL PREFERRED STOCKS (COST $43,981,522)		63,101,892
		RIGHTS/WARRANTS — 0.0%
		Italy — 0.0%
	256,035	Exor SPA Rights, Expires 06/05/13 *		—
	256,035	Exor SPA Preferred Rights, Expires 06/05/13 *		—
		TOTAL RIGHTS/WARRANTS (COST $0)		—
		MUTUAL FUNDS — 0.8%
		United States — 0.8%
		Affiliated Issuers
	3,532,301	GMO U.S. Treasury Fund		88,342,847
		TOTAL MUTUAL FUNDS (COST $88,312,206)		88,342,847
		SHORT-TERM INVESTMENTS — 2.3%
		Time Deposits — 2.3%
USD	55,519,919	Bank of Tokyo-Mitsubishi (Tokyo) Time Deposit, 0.06%, due 06/03/13		55,519,919
USD	55,519,919	BNP Paribas (Paris) Time Deposit, 0.06%, due 06/03/13		55,519,919
AUD	408,401	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.90%, due 06/03/13		390,860

International Intrinsic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value		Description	Value ($)
CAD	176	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.28%, due 06/03/13		170
GBP	928,748	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.08%, due 06/03/13		1,411,140
NOK	155	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.48%, due 06/03/13		27
NZD	225	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.67%, due 06/03/13		179
SGD	119,501	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 06/03/13		94,546
EUR	3,160,600	Citibank (New York) Time Deposit, 0.00%, due 06/03/13 (a)		4,107,989
JPY	78,903,720	Citibank (New York) Time Deposit, 0.01%, due 06/03/13		785,463
USD	55,519,919	DBS Bank Ltd (Singapore) Time Deposit, 0.06%, due 06/03/13		55,519,919
USD	55,519,919	Societe Generale (Paris) Time Deposit, 0.06%, due 06/03/13		55,519,919
USD	16,723,288	STD Charter Bank (London) Time Deposit, 0.06%, due 06/03/13		16,723,288
		Total Time Deposits		245,593,338
		TOTAL SHORT-TERM INVESTMENTS (COST $245,593,338)		245,593,338
		TOTAL INVESTMENTS — 99.1% (Cost $10,118,154,373)		10,757,761,642
		Other Assets and Liabilities (net) — 0.9%		97,531,971
		TOTAL NET ASSETS — 100.0%		$10,855,293,613

A summary of outstanding financial instruments at May 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
06/20/2013	BCLY		CAD	5,915,500		USD	5,783,520	$	79,876
06/20/2013	BOA		CAD	58,966,802		USD	57,646,693		791,712
06/20/2013	JPM		CAD	4,792,892		USD	4,684,113		62,872
06/20/2013	BBH		DKK	60,741,127		USD	10,692,731		101,204
06/20/2013	BBH		EUR	34,992,780		USD	45,931,523		446,008
06/20/2013	BCLY		EUR	14,165,746		USD	18,230,748		(182,657	)
06/20/2013	BCLY		EUR	25,706,194		USD	33,780,767		366,460
06/20/2013	BNYM		EUR	25,062,201		USD	32,902,660		325,451
06/20/2013	BOA		EUR	35,637,795		USD	46,493,754		169,813
06/20/2013	DB		EUR	39,227,735		USD	51,261,366		271,027
06/20/2013	GS		EUR	21,206,000		USD	27,855,799		291,089
06/20/2013	JPM		EUR	30,145,551		USD	39,566,367		381,544
06/20/2013	MSCI		EUR	16,414,879		USD	21,547,598		210,647
06/20/2013	RBS		EUR	49,533,742		USD	65,064,007		677,360
06/20/2013	SSB		EUR	46,326,984		USD	60,623,919		405,590
06/20/2013	BBH		GBP	18,913,885		USD	28,938,433		203,971
06/20/2013	BCLY		GBP	11,220,276		USD	17,180,599		134,466
06/20/2013	BNYM		GBP	69,002,974		USD	105,623,197		792,099
06/20/2013	BOA		GBP	35,078,925		USD	53,713,832		421,024
06/20/2013	DB		GBP	11,333,982		USD	17,332,152		113,274
06/20/2013	JPM		GBP	17,597,128		USD	26,916,919		182,908
06/20/2013	MSCI		GBP	29,976,622		USD	45,883,537		342,279
06/20/2013	SSB		GBP	8,798,564		USD	13,459,295		92,290
06/20/2013	BCLY		JPY	819,174,094		USD	8,353,038		197,927
06/20/2013	BOA		JPY	1,116,133,702		USD	11,381,675		270,246
06/20/2013	MSCI		JPY	149,719,850		USD	1,527,186		36,683
06/20/2013	DB		NOK	188,036,216		USD	32,659,919		638,411
06/20/2013	BCLY		NZD	21,624,484		USD	17,712,831		544,956
06/20/2013	BOA		NZD	21,624,485		USD	17,778,138		610,262
06/20/2013	BNYM		SEK	193,269,516		USD	29,094,429		(74,220	)
06/20/2013	BBH		USD	15,360,370		CHF	14,712,316		27,504
06/20/2013	BBH		USD	1,706,382		DKK	9,799,631		2,395
06/20/2013	BBH		USD	101,332,692		HKD	786,361,954		(23,851	)
06/20/2013	BBH		USD	17,781,051		SEK	113,624,116		(632,656	)
06/20/2013	BCLY		USD	20,201,133		CHF	18,697,765		(644,807	)
06/20/2013	BCLY		USD	47,503,550		HKD	368,623,272		(12,956	)
06/20/2013	BCLY		USD	45,668,967		SGD	56,610,066		(880,255	)
06/20/2013	BNYM		USD	20,175,086		CHF	18,697,765		(618,759	)
06/20/2013	BNYM		USD	41,093,123		HKD	318,881,416		(10,888	)
06/20/2013	BNYM		USD	31,880,168		SEK	203,740,737		(1,131,180	)
06/20/2013	BNYM		USD	30,016,103		SGD	37,083,695		(676,252	)
06/20/2013	BOA		USD	12,219,389		CHF	11,311,452		(388,539	)
06/20/2013	BOA		USD	60,401,883		HKD	468,714,654		(16,283	)
06/20/2013	BOA		USD	8,809,641		SEK	56,281,581		(315,504	)
06/20/2013	BOA		USD	184,588,823		SGD	228,049,523		(4,160,761	)
06/20/2013	DB		USD	23,694,515		CHF	22,521,478		(138,898	)
06/20/2013	DB		USD	21,905,643		HKD	169,991,948		(5,184	)
06/20/2013	DB		USD	8,535,983		SEK	54,528,714		(306,393	)
06/20/2013	DB		USD	21,419,315		SGD	26,478,557		(470,029	)
06/20/2013	GS		USD	24,651,845		HKD	191,294,376		(6,946	)
06/20/2013	JPM		USD	71,747,459		HKD	556,765,877		(18,015	)
06/20/2013	JPM		USD	8,531,424		SEK	54,528,714		(301,833	)

International Intrinsic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
06/20/2013	JPM		USD	57,494,616		SGD	71,069,267	$	(1,266,083	)
06/20/2013	MSCI		USD	4,114,381		CHF	3,811,851		(127,498	)
06/20/2013	MSCI		USD	42,235,057		HKD	327,749,187		(10,367	)
06/20/2013	MSCI		USD	9,247,048		SEK	59,095,403		(328,243	)
06/20/2013	RBS		USD	35,291,578		HKD	273,863,848		(9,062	)
06/20/2013	SSB		USD	8,146,444		CHF	7,540,968		(259,211	)
06/20/2013	SSB		USD	86,007,277		SGD	106,430,874		(1,801,372	)
								$	(5,627,354	)

Futures Contracts

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
2,195	FTSE/MIB	June 2013	$	243,786,225	$	19,026,056
135	MSCI	June 2013		7,852,155		(302,638	)
2,572	TOPIX	June 2013		283,015,962		6,496,356
			$	534,654,342	$	25,219,774
Sales
1,658	FTSE 100	June 2013	$	164,454,269	$	(1,784,670	)
4,556	OMXS 30	June 2013		83,023,985		1,284,936
547	S&P Toronto 60	June 2013		76,545,705		509,697
			$	324,023,959	$	9,963

As of May 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) Rate rounds to 0.00%.

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank PLC

BNYM - Bank of New York Mellon

BOA - Bank of America, N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

RBS - Royal Bank of Scotland PLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 95.0%
		Australia — 2.6%
	1,122,573	Arrium Ltd		847,761
	329,698	BlueScope Steel Ltd *		1,640,034
	167,899	Boral Ltd		725,335
	205,813	Downer Edi Ltd		725,265
	30,900	Flight Centre Ltd		1,152,362
	620,264	Goodman Fielder Ltd *		421,282
	33,322	JB Hi–Fi Ltd		476,976
	344,935	Myer Holdings Ltd		802,744
	773,950	PaperlinX Ltd *		43,374
	169,849	Primary Health Care Ltd		825,957
	233,940	TABCORP Holdings Ltd		733,373
		Total Australia		8,394,463
		Austria — 0.3%
	7,373	Flughafen Wien AG		444,345
	1,761,602	Immofinanz AG (Entitlement Shares) *		—
	8,845	RHI AG		309,418
	10,055	Strabag SE		216,775
		Total Austria		970,538
		Belgium — 0.6%
	14,416	Delhaize Group		919,273
	9,628	GIMV NV		499,181
	1,741	Tessenderlo Chemie NV *		18
	10,531	ThromboGenics NV *		437,216
		Total Belgium		1,855,688
		Brazil — 0.4%
	29,300	Companhia de Saneamento de Minas Gerais-Copasa MG *		581,677
	88,800	Estacio Participacoes SA		687,414
		Total Brazil		1,269,091
		Canada — 2.2%
	25,000	Artis Real Estate Investment Trust (REIT)		393,055
	30,500	Davis & Henderson Income Corp		690,755
	18,500	Dorel Industries Inc-Class B		736,074
	12,900	Empire Co Ltd		836,152
	43,400	Ensign Energy Services Inc		710,391
	42,200	Parkland Fuel Corp		726,162
	10,971	Quebecor Inc-Class B		489,634
	69,000	RONA Inc		696,156
	114,800	Sherritt International Corp		513,790
	20,400	Superior Plus Corp		234,548
	23,450	Torstar Corp-Class B		139,784
	44,025	Transcontinental Inc		523,162
	8,100	West Fraser Timber Co Ltd		601,670
		Total Canada		7,291,333

Shares		Description	Value ($)
		China — 0.3%
	534,116	Jiangsu Future Land Co Ltd-Class B *		423,347
	1,522,000	Shenzhen Investment Ltd		645,480
		Total China		1,068,827
		Czech Republic — 0.0%
	3,256	Pegas Nonwovens SA		90,482
		Denmark — 0.3%
	29,145	Pandora A/S		1,006,727
		Finland — 0.5%
	46,191	Huhtamaki Oyj		873,905
	38,083	Tieto Oyj		780,669
		Total Finland		1,654,574
		France — 3.8%
	205,837	Air France–KLM *		1,980,747
	21,032	Bouygues SA		558,668
	17,471	Groupe Steria SCA		267,788
	197,417	PagesJaunes Groupe *		470,520
	166,402	Peugeot SA *		1,465,001
	17,889	Plastic Omnium SA		947,648
	26,102	Rallye SA		1,025,185
	155,663	STMicroelectronics NV		1,451,197
	61,686	Teleperformance		2,903,409
	30,525	UbiSoft Entertainment SA *		399,050
	7,664	Wendel		846,013
		Total France		12,315,226
		Germany — 5.8%
	37,196	Aurubis AG		2,232,707
	17,736	Bechtle AG		875,263
	6,815	Bertrandt AG		736,905
	121,594	Deutsche Lufthansa AG (Registered) *		2,608,779
	34,631	Drillisch AG		562,997
	30,934	Duerr AG		2,005,668
	170,173	Freenet AG		3,636,398
	19,793	Hannover Rueckversicherung AG (Registered)		1,490,085
	37,547	Kloeckner & Co SE *		474,144
	23,736	KUKA AG *		1,121,736
	263,470	Premiere AG *		1,753,675
	106,996	TUI AG *		1,302,340
		Total Germany		18,800,697
		Greece — 1.7%
	111,009	Alapis Holding Industrial and Commercial SA *		5,915
	166,225	Hellenic Telecommunications Organization SA *		1,454,869
	294,857	Intralot SA		787,027
	100,976	Jumbo SA		1,009,731
	671,117	Marfin Investment Group Holdings SA *		279,060

International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Greece — continued
	72,972	Motor Oil (Hellas) Corinth Refineries SA		730,826
	120,480	Public Power Corp SA *		1,201,968
		Total Greece		5,469,396
		Hong Kong — 1.5%
	335,500	AAC Technologies Holdings Inc		1,912,874
	110,000	Great Eagle Holdings Ltd		435,914
	348,800	HKR International Ltd		182,458
	318,000	Kowloon Development Co Ltd		406,966
	119,000	Luk Fook Holdings International Ltd		309,348
	462,000	Melco International Development Ltd		1,007,072
	520,000	Texwinca Holdings Ltd		547,618
		Total Hong Kong		4,802,250
		India — 0.4%
	81,002	Gitanjali Gems Ltd		823,018
	435,747	Housing Development & Infrastructure Ltd *		322,091
	275,905	Rain Commodities Ltd		188,640
		Total India		1,333,749
		Indonesia — 0.2%
	42,939,000	Bakrie & Brothers Tbk PT *		219,188
	3,726,500	Trada Maritime Tbk PT *		531,433
		Total Indonesia		750,621
		Ireland — 2.9%
	66,111	DCC Plc		2,497,889
	517,640	Fyffes Plc		436,177
	102,273	Glanbia Plc		1,406,069
	282,115	Smurfit Kappa Group Plc		4,732,873
	427,401	Total Produce Ltd		351,923
		Total Ireland		9,424,931
		Israel — 0.3%
	252,191	Africa Israel Investments Ltd *		592,931
	167,499	Israel Discount Bank Ltd-Class A *		279,797
		Total Israel		872,728
		Italy — 5.4%
	590,025	A2A SPA		495,534
	57,830	Astaldi SPA		426,615
	82,277	Autostrada Torino-Milano SPA		964,090
	109,487	Azimut Holding SPA		2,074,147
	51,313	Banca Generali SPA		1,110,841
	63,850	Banca Popolare dell’Emilia Romagna Scrl *		534,211
	61,866	Cementir SPA		189,679
	11,354	Danieli & Co SPA		285,622
	84,118	Danieli & Co SPA-RSP		1,375,969
	229,241	Finmeccanica SPA *		1,265,996
	132,989	Iren SPA		150,990
	125,944	Italcementi SPA-Di RISP		432,106

Shares		Description	Value ($)
		Italy — continued
	7,159	Italmobiliare SPA *		150,657
	58,852	Lottomatica Group SPA		1,582,716
	319,958	Mediolanum SPA		2,124,414
	1,916,197	Milano Assicurazioni SPA *		1,229,145
	135,642	Recordati SPA		1,435,701
	10,614	Safilo Group SPA *		202,809
	84,711	Societa Iniziative Autostradali e Servizi SPA		810,446
	236,243	Unipol Gruppo Finanziario SPA		811,382
		Total Italy		17,653,070
		Japan — 29.6%
	35,400	3-D Matrix Ltd *		2,261,341
	1,589	Accordia Golf Co Ltd		1,680,417
	246	Advance Residence Investment Corp (REIT)		508,883
	22,900	Alpen Co Ltd		442,217
	98,600	AOC Holdings Inc		314,706
	117,100	Arnest One Corp		2,119,618
	38,800	ASKUL Corp		596,037
	809	BIC Camera Inc		327,662
	29,600	Canon Marketing Japan Inc		402,400
	63,800	Century Tokyo Leasing Corp		1,618,391
	31,100	Chiba Kogyo Bank Ltd (The) *		229,527
	15,700	Cocokara fine Inc		505,622
	4,900	Cosmos Pharmaceutical Corp		495,020
	230,600	Daiei Inc *		714,265
	40,300	Daiichikosho Co Ltd		1,026,607
	382,000	Daikyo Inc		1,139,035
	138	Daiwahouse Residential Investment Corp (REIT)		529,682
	212	Daiwa Office Investment Corp (REIT)		817,132
	126,400	DCM Holdings Co Ltd		959,230
	125	Dwango Co Ltd		640,724
	143,200	Edion Corp		699,183
	17,000	Fuji Soft Inc		366,277
	117,200	Futaba Industrial Co Ltd *		559,484
	38,800	Fuyo General Lease Co Ltd		1,426,416
	70,800	GMO internet Inc		674,549
	252,000	Godo Steel Ltd		406,739
	85,000	Gulliver International Co Ltd		531,256
	64	GungHo Online Entertainment Inc *		805,338
	236,000	Gunze Ltd		568,539
	2,900	Hajime Construction Co Ltd		161,171
	290,000	Hanwa Co Ltd		1,063,164
	139,400	Hazama Corp		306,636
	287,500	Hitachi Zosen Corp		444,347
	54,900	Hitachi Capital Corp		1,214,780
	64,300	Hoosiers Holdings Co Ltd *		635,607
	92	Industrial & Infrastructure Fund Investment Corp (REIT)		853,444
	423,000	Ishihara Sangyo Kaisha Ltd *		335,830
	95,300	IT Holdings Corp		1,328,739
	52,500	Itochu Enex Co Ltd		280,575

International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	21,500	Ito En Ltd		474,981
	87,500	Izumi Co Ltd		2,095,931
	67,300	J Trust Co Ltd		1,344,882
	240,000	JACCS Co Ltd		1,244,729
	14,000	Jafco Co Ltd		495,882
	108	Japan Excellent Inc (REIT)		621,296
	10,300	Jin Co Ltd		535,784
	77,000	J–Oil Mills Inc		223,852
	20,800	K’s Holdings Corp		575,439
	15,400	Kaga Electronics Co Ltd		121,391
	37,000	Kaken Pharmaceutical Co Ltd		539,772
	72,000	Kamei Corp		594,843
	10,000	Kanamoto Co Ltd		231,515
	798,000	Kanematsu Corp *		948,868
	247,000	Kawasaki Kisen Kaisha Ltd		487,709
	215	Kenedix Realty Investment Corp (REIT)		826,263
	28,000	Kewpie Corp		394,256
	78,600	Kohnan Shoji Co Ltd		917,973
	73,900	Kojima Co Ltd		205,541
	11,500	Komeri Co Ltd		296,807
	47,800	Konaka Co Ltd		487,427
	134,000	Krosaki Harima Corp		266,762
	237,000	Kurabo Industries Ltd		425,735
	314,000	Kurimoto Ltd		798,263
	25,400	Kyorin Co Ltd		560,033
	107,000	Leopalace21 Corp *		483,739
	368,000	Maruha Nichiro Holdings Inc		665,457
	94,600	Matsui Securities Co Ltd		943,619
	28,700	Matsumotokiyoshi Holdings Co Ltd		719,010
	79,400	Misawa Homes Co Ltd		1,688,325
	198,000	Mitsubishi Steel Manufacturing Co Ltd		431,664
	668,000	Mitsui Engineer & Shipbuilding Co Ltd		1,084,716
	260,000	Mitsui Mining & Smelting Co Ltd		591,922
	2,617	Monex Group Inc		966,878
	39,000	MonotaRO Co Ltd		1,061,023
	205	Mori Hills REIT Investment Corp (REIT)		1,206,995
	42,300	Mori Seiki Co Ltd		490,174
	198,000	Morinaga Milk Industry Co Ltd		563,020
	121	NanoCarrier Co Ltd *		462,159
	116,000	Nichias Corp		742,552
	139,000	Nichirei Corp		687,545
	18,300	Nihon Kohden Corp		654,542
	423,000	Nippon Coke & Engineering Co Ltd		464,520
	641,600	Nippon Light Metal Co Ltd		720,499
	91,000	Nippon Soda Co Ltd		428,417
	29,000	Nippon Synthetic Chemical Industry Co Ltd		310,381
	99,000	Nippon Flour Mills Co Ltd		469,721
	77,900	Nipro Corp		972,127
	83,000	Nissan Shatai Co Ltd		920,865
	79,000	Nissan Tokyo Sales Holdings Co Ltd		252,374
	130,200	Nissan Chemical Industries Ltd		1,583,326
	24,100	Nissha Printing Co Ltd *		421,775

Shares		Description	Value ($)
		Japan — continued
	190,000	NS United Kaiun Kaisha Ltd *		278,168
	22,000	Okasan Securities Co Ltd		190,791
	14,600	Okinawa Electric Power Co		560,272
	695,500	Orient Corp *		1,995,576
	964	ORIX JREIT Inc (REIT)		1,037,741
	11,300	Osaka Steel Co Ltd		187,293
	4,300	Pigeon Corp		344,583
	12,900	PLENUS Co Ltd		209,550
	7,720	Point Inc		343,318
	16,300	Pola Orbis Holdings Inc		514,337
	98,000	Press Kogyo Co Ltd		471,742
	100,500	Round One Corp		620,022
	218,000	Ryobi Ltd		629,727
	9,400	Ryohin Keikaku Co Ltd		701,292
	109,000	Seino Holdings Co Ltd		833,420
	53,300	Shinko Electric Industries Co Ltd		589,496
	237,000	ShinMaywa Industries Ltd		1,862,433
	101,000	Showa Corp		1,244,423
	77,200	Sodick Co Ltd		399,738
	232,300	Sojitz Corp		400,370
	25,300	Sumisho Computer Systems Corp		512,142
	764,000	Sumitomo Light Metal Industries Ltd		797,418
	75,000	Taihei Kogyo Co Ltd		271,143
	54,600	Taiyo Yuden Co Ltd		815,369
	93,500	Takara Leben Co Ltd		1,386,733
	106,000	TOA Corp *		147,837
	51,700	Toho Holdings Co Ltd		927,335
	43,000	Tokyo Dome Corp		246,417
	98,000	Tokyo Tatemono Co Ltd		734,086
	102	Tokyu REIT Inc (REIT)		592,893
	200,000	Topy Industries Ltd		395,952
	102,000	Toshiba TEC Corp		520,144
	208,000	Tosoh Corp		679,188
	295,000	Toyo Tire & Rubber Co Ltd		1,620,199
	25,700	TS Tech Co Ltd		805,134
	17,600	Tsumura & Co		502,433
	14,300	Tsuruha Holdings Inc		1,151,320
	57,500	T–Gaia Corp		517,230
	89,000	Uchida Yoko Co Ltd		224,177
	100,000	Uniden Corp *		268,634
	97,500	UNY Co Ltd		642,291
	142,400	Wacom Co Ltd		1,759,277
	22,400	Xebio Co Ltd		436,077
	114,000	Yokohama Rubber Co Ltd		1,141,989
		Total Japan		96,203,579
		Mexico — 0.2%
	209,500	Kimberly-Clark de Mexico SAB de CV-Series A		719,743
		Netherlands — 1.3%
	104,150	Delta Lloyd NV		2,036,551
	18,465	Koninklijke Ten Cate NV		454,597

International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Netherlands — continued
	183,602	Koninklijke BAM Groep NV		906,740
	195,126	SNS REAAL NV * (a)		—
	27,544	Tetragon Financial Group Ltd		302,518
	248,802	TNT NV *		674,400
		Total Netherlands		4,374,806
		New Zealand — 0.1%
	267,369	AMP NZ Office Ltd		231,444
		Norway — 0.7%
	29,491	Cermaq ASA		546,279
	14,975	Fred Olsen Energy ASA		628,678
	34,267	TGS Nopec Geophysical Co ASA		1,196,148
		Total Norway		2,371,105
		Philippines — 0.1%
	1,373,300	Lopez Holding Corp *		196,221
		Poland — 0.0%
	37,884	MCI Management SA *		89,213
		Portugal — 0.4%
	31,322	Portucel Empresa Produtora de Pasta e Papel SA		111,509
	1,234,256	Sonae		1,232,779
		Total Portugal		1,344,288
		Russia — 0.1%
	10,696,252	IDGC Holding JSC *		380,808
		Singapore — 3.5%
	1,341,000	Asiasons Capital Ltd *		1,033,778
	1,129,000	Ausgroup Ltd		351,733
	1,219,000	China Minzhong Food Corp Ltd *		984,879
	248,000	Ezion Holdings Ltd		444,559
	412,000	Ho Bee Investment Ltd		652,832
	157,000	Hong Leong Asia Ltd		210,734
	1,430,000	Jaya Holdings Ltd		687,958
	287,000	Mapletree Commercial Trust (REIT)		302,561
	786,000	Mapletree Industrial Trust (REIT)		865,363
	857,791	Mapletree Logistics Trust (REIT)		820,191
	1,419,000	Suntec Real Estate Investment Trust (REIT)		1,934,011
	1,015,000	Swiber Holdings Ltd		607,038
	1,408,000	Vard Holdings Ltd		1,240,090
	133,000	Wheelock Properties Ltd		204,144
	588,676	Wing Tai Holdings Ltd		981,984
		Total Singapore		11,321,855
		South Africa — 0.1%
	76,176	Basil Read Holdings Ltd *		68,551
	56,841	Stefanutti Stocks Holdings Ltd		53,590
	130,358	Super Group Ltd *		315,509
		Total South Africa		437,650

Shares		Description	Value ($)
		South Korea — 1.3%
	1,255	Dongwon Industries Co Ltd		403,315
	5,919	KCC Engineering & Construction Co		122,735
	7,210	KISCO Corp		170,860
	5,085	KISWIRE Ltd		154,191
	10,411	Kolon Corp		210,976
	9,191	Kolon Industries Inc		410,191
	338	Namyang Dairy Products Co Ltd		284,703
	2,305	Nong Shim Holdings Co Ltd		150,832
	41,665	Partron Co Ltd		913,034
	1,341	SeAH Holdings Corp		133,566
	3,372	SeAH Steel Corp		360,018
	4,180	Silla Co Ltd		106,647
	4,846	SK Gas Co Ltd		350,268
	319	Taekwang Industrial Co Ltd		294,229
		Total South Korea		4,065,565
		Spain — 2.9%
	32,259	ACS Actividades de Construccion y Servicios SA		901,974
	140,574	Bankinter SA		520,332
	14,751	Corp Financiera Alba SA		687,946
	260,148	Distribuidora Internacional de Alimentacion SA		2,038,873
	100,568	Enagas		2,514,040
	139,493	Indra Sistemas SA		1,826,196
	22,791	Obrascon Huarte Lain SA		836,459
		Total Spain		9,325,820
		Sweden — 0.6%
	7,414	Axfood AB		312,088
	48,921	D Carnegie & Co AB * (a)		5,540
	10,524	Hexpol AB		647,887
	24,108	NCC AB-Class B		575,691
	25,816	SAAB AB-Class B		532,371
	63,065	Vostok Gas Ltd SDR * (a)		2,095
		Total Sweden		2,075,672
		Switzerland — 2.4%
	16,864	Actelion Ltd (Registered)		1,007,322
	5,062	Baloise Holding Ltd		495,482
	14,879	GAM Holding AG		259,149
	13,096	Lonza Group AG (Registered)		971,797
	30,420	Swiss Life Holding AG (Registered)		5,043,002
		Total Switzerland		7,776,752
		Taiwan — 0.6%
	506,000	Chipbond Technology Corp		1,341,595
	126,000	L&K Engineering Co Ltd		122,722
	460,000	Long Bon International Co Ltd *		336,146
	430,000	ProMOS Technologies Inc * (a) (b)		—
		Total Taiwan		1,800,463

International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Thailand — 0.4%
	2,087,700	Jasmine International Pcl (Foreign Registered)		621,664
	5,409,974	Sansiri Pcl (Foreign Registered)		715,855
		Total Thailand		1,337,519
		Turkey — 0.4%
	173,828	Ipek Dogal Enerji Kaynaklari Ve Uretim AS *		422,125
	963,229	Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS-Class D		828,073
		Total Turkey		1,250,198
		United Kingdom — 21.1%
	188,482	3i Group Plc		968,316
	280,927	Aberdeen Asset Management Plc		1,974,298
	93,069	Alent Plc		520,881
	209,059	Amlin Plc		1,318,046
	361,865	Ashtead Group Plc		3,428,621
	79,782	Atkins WS Plc		1,061,057
	513,507	Balfour Beatty Plc		1,799,927
	46,319	Beazley Plc		165,212
	94,163	Cape Plc		381,280
	178,557	Carillion Plc		692,445
	222,043	Catlin Group Ltd		1,688,837
	241,994	Cobham Plc		1,044,576
	128,673	Dairy Crest Group Plc		945,080
	492,095	Darty Plc		527,185
	1,183,761	Debenhams Plc		1,680,792
	2,275,640	Dixons Retail Plc *		1,418,200
	48,643	Drax Group Plc		421,630
	294,565	DS Smith Plc		1,072,095
	137,966	easyJet Plc		2,628,952
	554,294	Enterprise Inns Plc *		945,008
	453,891	FirstGroup Plc		861,742
	31,617	Go–Ahead Group Plc		739,133
	122,898	Greene King Plc		1,422,435
	206,882	Halfords Group Plc		1,017,333
	38,137	Hargreaves Lansdown Plc		555,713
	155,544	Henderson Group Plc		390,868
	942,201	Home Retail Group Plc		2,227,951
	153,193	Howden Joinery Group Plc		542,753
	344,273	Inchcape Plc		2,848,265
	54,325	Inmarsat Plc		502,840
	405,329	Intermediate Capital Group Plc		2,858,538
	77,063	Interserve Plc		568,836
	559,893	ITV Plc		1,108,766
	61,577	John Wood Group Plc		790,792
	747,980	Johnston Press Plc *		194,821
	68,528	Jupiter Fund Management Plc		336,610
	276,982	Ladbrokes Plc		865,952
	53,603	Lancashire Holdings Ltd		646,800
	357,893	Man Group Plc		619,108
	602,469	Marston’s Plc		1,303,158

Shares		Description	Value ($)
		United Kingdom — continued
	89,504	Mcbride Plc		140,406
	147,252	Micro Focus International Plc		1,526,866
	107,608	Mitie Group Plc		423,279
	94,068	Mondi Plc		1,238,221
	363,026	National Express Group Plc		1,103,413
	329,482	Pace Plc		1,260,074
	24,366	Phoenix Group Holdings		239,941
	120,005	Playtech Ltd		1,214,576
	548,773	Premier Foods Plc *		600,492
	1,049,304	Punch Taverns Plc *		210,562
	319,115	Qinetiq Group Plc		897,025
	160,608	Resolution Ltd		700,574
	238,443	SIG Plc		633,020
	575,040	Spirit Pub Co Plc		586,710
	110,141	Stagecoach Group Plc		492,507
	1,803,386	Thomas Cook Group Plc *		3,886,146
	345,801	Trinity Mirror Plc *		640,396
	476,994	TUI Travel Plc		2,575,591
	209,148	Tullett Prebon Plc		929,606
	50,264	United Business Media Ltd		552,443
	148,173	Vesuvius Plc		851,782
	171,083	WH Smith Plc		1,955,795
	124,420	William Hill Plc		831,589
		Total United Kingdom		68,575,866
		TOTAL COMMON STOCKS (COST $273,586,705)		308,902,958
		PREFERRED STOCKS — 1.5%
		Brazil — 0.3%
	106,300	Eletropaulo Metropolitana SA, 0.05%		361,811
	68,600	Metalurgica Gerdau SA, 0.49%		526,879
		Total Brazil		888,690
		Germany — 0.7%
	5,006	Biotest AG 1.15%		358,497
	10,233	Fuchs Petrolub AG 1.97%		875,520
	20,378	Jungheinrich AG 2.36%		952,609
		Total Germany		2,186,626
		Russia — 0.5%
	857	Transneft *		1,807,318
		TOTAL PREFERRED STOCKS (COST $4,955,562)		4,882,634
		RIGHTS/WARRANTS — 0.1%
		Greece — 0.0%
	671,117	Marfin Investment Group Holdings SA, A Rights, Expires 06/27/13 *		872
	671,117	Marfin Investment Group Holdings SA, B Rights, Expires 06/27/13 *		872
		Total Greece		1,744

International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares / Par Value		Description	Value ($)
		Japan — 0.1%
	67,300	J Trust Co Ltd Rights, Expires 07/30/13 *		174,188
		Malaysia — 0.0%
	11,833	Coastal Contracts Warrants, Expires 07/18/16 *		1,566
		TOTAL RIGHTS/WARRANTS (COST $95,829)		177,498
		MUTUAL FUNDS — 0.1%
		United States — 0.1%
		Affiliated Issuers
	21,467	GMO U.S. Treasury Fund		536,887
		TOTAL MUTUAL FUNDS (COST $536,887)		536,887
		SHORT-TERM INVESTMENTS — 2.1%
		Time Deposits — 2.1%
USD	1,530,441	Bank of Tokyo-Mitsubishi (Tokyo) Time Deposit, 0.06%, due 06/03/13		1,530,441
USD	1,652,708	BNP Paribas (Paris) Time Deposit, 0.06%, due 06/03/13		1,652,708
CAD	5,408	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.28%, due 06/03/13		5,216
CHF	756	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.00%, due 06/03/13 (c)		790
DKK	58	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.10)%, due 06/03/13		10
GBP	97,687	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.08%, due 06/03/13		148,425
NOK	22,123	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.48%, due 06/03/13		3,770
SEK	53,679	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.10%, due 06/03/13		8,105
SGD	57,720	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 06/03/13		45,666
ZAR	203,647	Brown Brothers Harriman (Grand Cayman) Time Deposit, 4.15%, due 06/03/13		20,239
EUR	59,566	Citibank (New York) Time Deposit, 0.00%, due 06/03/13		77,422
JPY	3,200,696	Citibank (New York) Time Deposit, 0.01%, due 06/03/13		31,875
USD	1,652,708	DBS Bank Ltd (Singapore) Time Deposit, 0.06%, due 06/03/13		1,652,708

Par Value		Description	Value ($)
		Time Deposits — continued
USD	1,652,708	Societe Generale (Paris) Time Deposit, 0.06%, due 06/03/13		1,652,708
		Total Time Deposits		6,830,083
		TOTAL SHORT-TERM INVESTMENTS (COST $6,830,083)		6,830,083
		TOTAL INVESTMENTS — 98.8% (Cost $286,005,066)		321,330,060
		Other Assets and Liabilities (net) — 1.2%		3,917,984
		TOTAL NET ASSETS — 100.0%		$325,248,044

A summary of outstanding financial instruments at May 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
06/20/2013	BOA		CAD	1,649,161		USD	1,612,241	$	22,142
06/20/2013	DB		CAD	743,049		USD	724,933		8,495
06/20/2013	JPM		CAD	2,489,547		USD	2,433,044		32,657
06/20/2013	RBS		CAD	1,404,263		USD	1,371,420		17,449
06/20/2013	BBH		CHF	256,002		USD	276,172		8,415
06/20/2013	DB		CHF	433,013		USD	452,065		(831	)
06/20/2013	MSCI		CHF	433,012		USD	449,126		(3,769	)
06/20/2013	RBS		CHF	167,038		USD	180,447		5,739
06/20/2013	BCLY		EUR	287,906		USD	370,524		(3,712	)
06/20/2013	BOA		EUR	287,906		USD	371,495		(2,741	)
06/20/2013	DB		EUR	287,902		USD	372,534		(1,697	)
06/20/2013	JPM		EUR	638,296		USD	837,771		8,079
06/20/2013	MSCI		EUR	1,264,966		USD	1,660,504		16,233
06/20/2013	SSB		EUR	1,484,706		USD	1,945,567		15,666
06/20/2013	BBH		JPY	103,221,387		USD	1,052,646		25,047
06/20/2013	BCLY		JPY	67,968,422		USD	693,067		16,422
06/20/2013	BNYM		JPY	214,088,358		USD	2,184,174		52,863
06/20/2013	BOA		JPY	193,974,162		USD	1,978,034		46,966
06/20/2013	JPM		JPY	9,434,845		USD	96,209		2,282
06/20/2013	MSCI		JPY	218,921,078		USD	2,233,059		53,638
06/20/2013	SSB		JPY	132,893,083		USD	1,357,319		34,331
06/20/2013	BBH		NOK	5,472,060		USD	952,209		20,348
06/20/2013	DB		NOK	5,298,888		USD	920,361		17,991
06/20/2013	MSCI		NOK	5,843,353		USD	1,016,667		21,577
06/20/2013	BBH		USD	628,378		GBP	410,702		(4,429	)
06/20/2013	BBH		USD	1,599,201		HKD	12,410,118		(376	)
06/20/2013	BCLY		USD	495,450		HKD	3,844,668		(133	)
06/20/2013	BCLY		USD	176,877		SGD	218,528		(3,982	)
06/20/2013	BNYM		USD	1,311,289		GBP	856,657		(9,834	)
06/20/2013	BNYM		USD	3,439,682		HKD	26,692,142		(872	)
06/20/2013	BNYM		USD	454,341		JPY	46,453,934		8,121
06/20/2013	BNYM		USD	1,538,351		SEK	9,831,338		(54,584	)
06/20/2013	BNYM		USD	332,896		SGD	411,280		(7,500	)

International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
06/20/2013	BOA		USD	3,312,538		HKD	25,704,665	$	(946	)
06/20/2013	BOA		USD	348,442		SEK	2,226,068		(12,479	)
06/20/2013	BOA		USD	5,122,259		SGD	6,328,274		(115,459	)
06/20/2013	DB		USD	339,484		GBP	221,998		(2,219	)
06/20/2013	DB		USD	1,428,730		SGD	1,766,196		(31,352	)
06/20/2013	JPM		USD	1,660,416		HKD	12,884,956		(417	)
06/20/2013	JPM		USD	650,135		SGD	803,634		(14,316	)
06/20/2013	MSCI		USD	687,351		GBP	449,060		(5,127	)
06/20/2013	MSCI		USD	1,684,264		HKD	13,069,903		(437	)
06/20/2013	MSCI		USD	456,360		JPY	46,453,933		6,103
06/20/2013	MSCI		USD	1,199,629		NOK	6,967,081		(13,175	)
06/20/2013	RBS		USD	863,709		SEK	5,510,592		(32,038	)
06/20/2013	SSB		USD	634,316		GBP	414,663		(4,349	)
06/20/2013	SSB		USD	1,295,260		HKD	10,051,191		(342	)
								$	113,448

Futures Contracts

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
120	CAC 40	June 2013	$	6,114,316	$	(26,873	)
88	FTSE/MIB	June 2013		9,773,662		488,196
27	IBEX 35	June 2013		2,905,099		(73,811	)
30	TOPIX	June 2013		3,301,119		85,557
			$	22,094,196	$	473,069
Sales
94	OMXS 30	June 2013	$	1,712,962	$	21,761
43	S&P Toronto 60	June 2013		6,017,304		(1,208	)
54	SPI 200	June 2013		6,310,996		322,897
			$	14,041,262	$	343,450

As of May 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

REIT - Real Estate Investment Trust

SDR - Swedish Depository Receipt

* Non-income producing security.

(a) Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust.

(b) Bankrupt issuer.

(c) Rate rounds to 0.00%.

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank PLC

BNYM - Bank of New York Mellon

BOA - Bank of America, N.A.

DB - Deutsche Bank AG

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

RBS - Royal Bank of Scotland PLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

ZAR - South African Rand

Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 94.9%
		Australia — 0.5%
	285,998	Incitec Pivot Ltd		789,225
		Austria — 0.9%
	31,007	OMV AG		1,430,317
		Belgium — 0.1%
	42,544	Nyrstar		218,492
		Brazil — 2.0%
	121,400	Petroleo Brasileiro SA (Petrobras)		1,072,410
	157,700	Vale SA		2,253,068
		Total Brazil		3,325,478
		Canada — 5.9%
	33,400	Agrium Inc		3,088,232
	21,700	Calfrac Well Services Ltd		581,876
	16,800	Canyon Services Group Inc		189,106
	12,100	Encana Corp		230,737
	31,500	Ensign Energy Services Inc		515,607
	13,400	First Quantum Minerals Ltd		239,888
	20,400	Pacific Rubiales Energy Corp		430,924
	51,400	Petrominerales Ltd		303,417
	78,700	Precision Drilling Corp		676,361
	32,600	Savanna Energy Services Corp		226,085
	108,500	Sherritt International Corp		485,594
	51,700	Talisman Energy Inc		604,891
	43,500	Teck Resources Ltd-Class B		1,161,818
	14,500	Total Energy Services Inc		205,594
	36,900	Trican Well Service Ltd		517,152
	55,500	Trinidad Drilling Ltd		392,395
		Total Canada		9,849,677
		China — 2.6%
	1,932,000	Asian Citrus Holdings Ltd		826,225
	268,000	China Oilfield Services Ltd-Class H		563,474
	1,048,000	CNOOC Ltd		1,833,133
	496,000	First Tractor Co Ltd-Class H *		350,986
	1,828,000	Minmetals Resources Ltd *		499,266
	1,430,000	Sinofert Holdings Ltd		327,201
		Total China		4,400,285
		Czech Republic — 0.9%
	52,345	CEZ AS		1,450,275
		Denmark — 1.2%
	7,719	Auriga Industries - Class B *		229,104
	116,018	Vestas Wind Systems A/S *		1,688,772
		Total Denmark		1,917,876

Shares		Description	Value ($)
		France — 4.6%
	104,954	Electricite de France SA		2,381,628
	105,553	Total SA		5,275,893
		Total France		7,657,521
		Germany — 0.9%
	14,127	Aurubis AG		847,980
	17,248	K+S AG		726,741
		Total Germany		1,574,721
		Greece — 0.3%
	79,838	Mytilineos Holdings SA *		469,598
		Hungary — 0.4%
	9,812	MOL Hungarian Oil and Gas Plc		711,680
		Israel — 1.2%
	143,878	Israel Chemicals Ltd		1,600,222
	564	Israel Corp Ltd (The) *		347,760
		Total Israel		1,947,982
		Italy — 2.8%
	113,812	ENI SPA		2,588,258
	182,380	Fiat Industrial SPA		2,097,630
		Total Italy		4,685,888
		Japan — 11.9%
	136	INPEX Corp		578,951
	278,700	Itochu Corp		3,453,815
	16,000	Kubota Corp		231,745
	12,100	Kurita Water Industries Ltd		262,843
	390,000	Marubeni Corp		2,692,868
	190,000	Mitsubishi Materials Corp		602,137
	188,400	Mitsubishi Corp		3,255,987
	249,900	Mitsui & Co Ltd		3,129,718
	244,000	Mitsui Mining & Smelting Co Ltd		555,496
	58,000	Nihon Nohyaku Co Ltd		558,967
	296,500	Nippon Coke & Engineering Co Ltd		325,603
	44,000	Nittetsu Mining Co Ltd		181,328
	36,700	Shinko Plantech Co Ltd		265,136
	221,200	Sumitomo Corp		2,765,608
	70,000	Sumitomo Metal Mining Co Ltd		879,619
		Total Japan		19,739,821
		Netherlands — 0.6%
	3,695	Fugro NV		219,661
	40,615	SBM Offshore NV *		743,233
		Total Netherlands		962,894
		Norway — 6.9%
	167,722	Austevoll Seafood ASA		998,418
	50,007	Cermaq ASA		926,309
	16,368	Fred Olsen Energy ASA		687,159

Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Norway — continued
	850,280	Marine Harvest ASA		883,547
	153,242	Morpol ASA *		298,346
	17,739	Petroleum Geo–Services ASA		263,443
	226,427	Polarcus Ltd *		226,668
	49,955	ProSafe SE		466,526
	56,735	Salmar ASA *		574,367
	80,298	Songa Offshore SE *		74,998
	83,482	Statoil ASA		1,884,988
	20,236	TGS Nopec Geophysical Co ASA		706,372
	76,799	Yara International ASA		3,429,397
		Total Norway		11,420,538
		Poland — 1.5%
	21,379	Jastrzebska Spolka Weglowa SA		518,198
	43,538	KGHM Polska Miedz SA		1,945,095
		Total Poland		2,463,293
		Russia — 6.4%
	494,699	Gazprom OAO Sponsored ADR *		3,689,142
	53,865	Lukoil OAO Sponsored ADR		3,151,937
	60,762	Phosagro OAO GDR		791,819
	246,452	Rosneft OJSC GDR (Registered)		1,617,957
	31,285	Tatneft Sponsored ADR *		1,074,422
	32,224	TMK OAO GDR (Registered)		350,640
		Total Russia		10,675,917
		Singapore — 1.6%
	296,000	Ezra Holdings Ltd *		226,654
	3,940,000	Golden Agri-Resources Ltd		1,788,896
	422,000	Indofood Agri Resources Ltd		334,667
	556,000	Swiber Holdings Ltd		332,526
		Total Singapore		2,682,743
		South Africa — 0.4%
	25,606	Palabora Mining Co Ltd *		273,339
	8,345	Sasol Ltd		372,176
		Total South Africa		645,515
		South Korea — 0.1%
	9,960	Poongsan Corp		236,414
		Spain — 3.8%
	94,078	Endesa SA		2,108,851
	511,153	Iberdrola SA		2,764,867
	67,254	Repsol YPF SA		1,530,302
		Total Spain		6,404,020
		Sweden — 0.6%
	66,453	Boliden AB		946,984
		Taiwan — 0.2%
	739,000	Sinon Corp		373,918

Shares		Description	Value ($)
		Thailand — 0.5%
	74,264	PTT Exploration & Production Pcl (Foreign Registered)		371,309
	42,400	PTT Pcl (Foreign Registered)		454,455
		Total Thailand		825,764
		Turkey — 0.6%
	71,315	Gubre Fabrikalari TAS *		562,612
	215,899	Koza Anadolu Metal Madencilik Isletmeleri AS *		473,269
		Total Turkey		1,035,881
		United Kingdom — 16.6%
	358,030	Amerisur Resources Plc *		248,600
	98,813	Anglo American Plc		2,264,035
	127,553	BHP Billiton Plc		3,667,808
	803,207	BP Plc		5,740,688
	4,300	Ensco Plc - Class A		258,731
	180,310	Eurasian Natural Resources Corp Plc		652,520
	493,490	Glencore International Plc		2,400,003
	124,465	Kazakhmys Plc		613,602
	137,092	Rio Tinto Plc		5,855,305
	104,188	Royal Dutch Shell Plc-A Shares (London)		3,467,470
	68,949	Royal Dutch Shell Plc-B Shares (London)		2,376,874
		Total United Kingdom		27,545,636
		United States — 18.9%
	37,000	AGCO Corp.		2,052,390
	24,900	Apache Corp.		2,045,037
	5,300	Atwood Oceanics, Inc. *		278,303
	21,800	Baker Hughes, Inc.		991,464
	25,300	Basic Energy Services, Inc. *		337,755
	4,600	Berry Petroleum Co. - Class A		199,226
	27,400	C&J Energy Services, Inc. *		509,640
	25,600	Chevron Corp.		3,142,400
	77,800	Chiquita Brands International, Inc. *		785,780
	5,500	Cimarex Energy Co.		385,770
	47,500	ConocoPhillips		2,913,650
	20,800	Deere & Co.		1,811,888
	13,200	Devon Energy Corp.		750,420
	62,500	Dole Food Co., Inc. *		591,875
	23,700	Exxon Mobil Corp.		2,144,139
	83,700	Freeport–McMoRan Copper & Gold, Inc.		2,598,885
	21,800	Helix Energy Solutions Group, Inc. *		520,148
	21,200	Hess Corp.		1,429,092
	4,800	Joy Global, Inc.		259,584
	45,600	Kodiak Oil & Gas Corp *		400,368
	49,300	Marathon Oil Corp.		1,695,427
	13,000	Mosaic Co. (The)		790,660
	23,500	Newfield Exploration Co. *		559,065
	17,600	Noble Corp.		682,000
	3,800	Oil States International, Inc. *		374,300
	79,700	Parker Drilling Co. *		355,462

Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares / Par Value		Description	Value ($)
		United States — continued
	37,800	Pioneer Energy Services Corp. *		263,844
	16,600	RPC, Inc.		208,994
	17,400	Stone Energy Corp. *		391,674
	22,400	Superior Energy Services, Inc. *		597,632
	14,500	Unit Corp. *		654,965
	43,600	Weatherford International Ltd. *		588,164
	4,900	Whiting Petroleum Corp. *		225,743
		Total United States		31,535,744
		TOTAL COMMON STOCKS (COST $163,689,199)		157,924,097
		PREFERRED STOCKS — 2.6%
		Brazil — 2.6%
	162,800	Petroleo Brasileiro SA (Petrobras) 3.88%		1,519,456
	210,387	Vale SA 0.35%		2,841,767
		Total Brazil		4,361,223
		TOTAL PREFERRED STOCKS (COST $5,125,134)		4,361,223
		MUTUAL FUNDS — 1.5%
		United States — 1.5%
		Affiliated Issuers
	99,297	GMO U.S. Treasury Fund		2,483,417
		TOTAL MUTUAL FUNDS (COST $2,483,153)		2,483,417
		SHORT-TERM INVESTMENTS — 0.6%
		Time Deposits — 0.6%
JPY	3,097,598	Australia and New Zealand Banking Group Ltd. (ANZ) Time Deposit, 0.01%, due 06/03/13		30,848
CAD	5,421	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.28%, due 06/03/13		5,229
GBP	5,555	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.08%, due 06/03/13		8,441
SGD	3,290	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 06/03/13		2,603
NOK	1,202,033	Nordea Bank Norge ASA (Oslo) Time Deposit, 0.48%, due 06/03/13		204,823
USD	694,728	Sumitomo (Tokyo) Time Deposit, 0.06%, due 06/03/13		694,728
		Total Time Deposits		946,672
		TOTAL SHORT-TERM INVESTMENTS (COST $946,672)		946,672
		TOTAL INVESTMENTS — 99.6% (Cost $172,244,158)		165,715,409
		Other Assets and Liabilities (net) — 0.4%		727,760
		TOTAL NET ASSETS — 100.0%		$166,443,169

Notes to Schedule of Investments:

ADR - American Depositary Receipt

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

GDR - Global Depository Receipt

* Non-income producing security.

Currency Abbreviations:

CAD - Canadian Dollar

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

SGD - Singapore Dollar

USD - United States Dollar

Risk Premium Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 38.8%
		Affiliated Issuers
	11,130,121	GMO U.S. Treasury Fund		278,364,329
		TOTAL MUTUAL FUNDS (COST $278,323,000)		278,364,329
		SHORT-TERM INVESTMENTS — 8.6%
		Money Market Fund
	61,311,402	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (a)		61,311,402
		TOTAL SHORT-TERM INVESTMENTS (COST $61,311,402)		61,311,402
		TOTAL INVESTMENTS — 47.4% (Cost $339,634,402)		339,675,731
		Other Assets and Liabilities (net) — 52.6%		377,464,476
		TOTAL NET ASSETS — 100.0%		$717,140,207

A summary of outstanding financial instruments at May 31, 2013 is as follows:

Written Options

Number of Contracts		Expiration Date	Descriptions	Premiums	Market Value
Put	5,149	06/21/13	EUR Euro STOXX 50, Strike 2,825	$3,893,247	$	(5,855,203	)
Put	6	06/21/13	GBP FTSE 100, Strike 6,700	9,063		(18,190	)
Put	572	06/21/13	GBP FTSE 100, Strike 6,725	855,106		(1,883,869	)
Put	18	06/21/13	GBP FTSE 100, Strike 6,600	28,455		(35,208	)
Put	235	06/27/13	HKD Hang Seng, Strike 22,600	778,904		(1,076,594	)
Put	834	06/14/13	JPY Nikkei 225, Strike 14,250	3,105,981		(8,675,900	)
Put	11	06/14/13	JPY Nikkei 225, Strike 15,250	41,900		(208,635	)
Put	98	06/14/13	JPY Nikkei 225, Strike 15,000	339,450		(1,605,713	)
Put	1,419	06/22/13	USD S&P 500, Strike 1,650	2,807,268		(4,682,700	)
Put	65	06/22/13	USD S&P 500, Strike 1,625	161,002		(130,000	)
Put	225	06/20/13	AUD SPI 200, Strike 5,175	106,280		(665,723	)
Put	706	06/20/13	AUD SPI 200, Strike 5,200	497,707		(2,257,805	)
Put	4,709	06/21/13	CAD S&P/TSX 60, Strike 715	391,216		(352,011	)
				$13,015,579	$	(27,447,551	)

As of May 31, 2013 for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Risk Premium Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2013. Note: Yield rounds to 0.00%.

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

USD - United States Dollar

Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.7%
		Australia — 4.1%
	511,758	Arrium Ltd		386,477
	17,109	BHP Billiton Ltd		558,552
	155,094	BlueScope Steel Ltd *		771,492
	11,506	Commonwealth Bank of Australia		730,997
	57,563	CSL Ltd		3,275,367
	507,912	Goodman Fielder Ltd *		344,972
	54,055	Goodman Group (REIT)		263,817
	28,954	JB Hi–Fi Ltd		414,452
	26,449	Macquarie Group Ltd		1,078,498
	444,427	Mirvac Group (REIT)		708,397
	136,145	Myer Holdings Ltd		316,841
	187,538	QBE Insurance Group Ltd		2,841,758
	7,458	Rio Tinto Ltd		386,351
	321,721	Stockland (REIT)		1,115,716
	84,675	TABCORP Holdings Ltd		265,446
	201,890	Tatts Group Ltd		617,480
	532,985	Telstra Corp Ltd		2,409,956
	124,964	Westpac Banking Corp		3,367,891
		Total Australia		19,854,460
		Austria — 0.8%
	8,935	Andritz AG		486,524
	15,314	Erste Group Bank AG		491,859
	88,088	Immofinanz AG (Entitlement Shares) *		—
	31,365	OMV AG		1,446,831
	11,960	Raiffeisen Bank International AG		405,562
	27,079	Voestalpine AG		897,407
		Total Austria		3,728,183
		Belgium — 1.6%
	41,633	Ageas		1,526,349
	34,531	Anheuser-Busch InBev NV		3,179,799
	10,700	Belgacom SA		239,743
	26,132	Delhaize Group		1,666,374
	32,336	KBC Groep NV		1,281,815
		Total Belgium		7,894,080
		Canada — 1.3%
	9,300	Alimentation Couche Tard Inc		520,280
	7,400	Canadian Tire Corp Ltd		594,570
	1,900	Canadian National Railway Co		192,813
	2,800	Canadian Pacific Railway Ltd		372,271
	35,400	First Quantum Minerals Ltd		633,734
	16,100	Husky Energy Inc		454,853
	13,800	Magna International Inc-Class A		920,311
	10,100	Metro Inc-Class A		676,191
	79,700	Research In Motion Ltd *		1,110,841
	5,500	Royal Bank of Canada		326,419
	22,000	Sun Life Financial Inc		644,244
		Total Canada		6,446,527

Shares		Description	Value ($)
		Denmark — 0.6%
	8,694	Coloplast A/S		495,839
	15,855	Novo-Nordisk A/S-Class B		2,569,743
		Total Denmark		3,065,582
		Finland — 0.6%
	6,389	Kone Oyj-Class B		561,253
	567,835	Nokia Oyj *		1,899,580
	6,690	Sampo Oyj-Class A		271,145
		Total Finland		2,731,978
		France — 12.7%
	126,818	Air France–KLM *		1,220,356
	100,639	AXA		2,031,872
	67,073	BNP Paribas		3,925,088
	54,003	Bouygues SA		1,434,469
	3,456	Bureau Veritas SA		399,437
	30,147	Carrefour SA		882,629
	8,637	Compagnie Generale des Etablissements Michelin-Class B		753,753
	58,961	Credit Agricole SA *		552,813
	12,581	Dassault Systemes SA		1,576,946
	4,455	Essilor International SA		490,160
	1,613	Esso SAF		104,545
	14,107	European Aeronautic Defense and Space Co NV		812,289
	91,494	France Telecom SA		927,897
	79,975	GDF Suez		1,631,026
	16,002	GDF Suez VVPR Strip *		21
	2,603	L’Oreal SA		438,791
	13,548	Lafarge SA		966,117
	9,585	Lagardere SCA		246,546
	4,045	NYSE Euronext		164,940
	38,936	PagesJaunes Groupe *		92,799
	144,914	Peugeot SA *		1,275,821
	2,330	Remy Cointreau SA		268,839
	60,370	Renault SA		4,659,375
	120,323	Sanofi		12,829,830
	80,277	Societe Generale		3,201,621
	74,959	STMicroelectronics NV		698,819
	364,238	Total SA		18,205,837
	1,621	Unibail-Rodamco SE (REIT)		398,250
	31,456	Veolia Environnement		392,867
	58,231	Vivendi SA		1,139,719
	2,361	Zodiac Aerospace		311,010
		Total France		62,034,482
		Germany — 6.6%
	17,197	Allianz SE (Registered)		2,656,362
	15,112	Aurubis AG		907,105
	57,775	Bayer AG (Registered)		6,174,264
	9,725	Beiersdorf AG		877,069
	26,856	Celesio AG		551,842
	7,908	Continental AG		1,034,697

Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	73,201	Deutsche Lufthansa AG (Registered) *		1,570,515
	15,683	Deutsche Bank AG (Registered)		728,662
	45,524	Deutsche Post AG (Registered)		1,147,199
	16,148	Duerr AG		1,046,988
	225,276	E.ON AG		3,796,157
	29,880	Freenet AG		638,501
	11,465	Hannover Rueckversicherung AG (Registered)		863,125
	7,275	Kabel Deutschland Holding AG		685,005
	2,978	KUKA AG *		140,737
	8,577	Leoni AG		427,786
	5,421	Merck KGaA		858,003
	18,220	Metro AG		617,745
	12,657	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		2,360,847
	51,688	RWE AG		1,763,623
	9,503	Salzgitter AG		359,211
	22,815	SAP AG *		1,707,429
	25,341	Suedzucker AG		857,417
	26,139	TUI AG *		318,160
		Total Germany		32,088,449
		Greece — 0.2%
	63,360	OPAP SA		523,936
	67,281	Public Power Corp SA *		671,228
		Total Greece		1,195,164
		Hong Kong — 1.2%
	29,500	AAC Technologies Holdings Inc		168,196
	88,000	Cheung Kong Holdings Ltd		1,239,318
	256,430	Esprit Holdings Ltd		390,246
	226,000	Galaxy Entertainment Group Ltd *		1,173,187
	292,380	Hong Kong & China Gas		826,168
	42,500	Link (REIT)		218,647
	344,000	Pacific Basin Shipping Ltd		197,124
	66,000	Sun Hung Kai Properties Ltd		875,918
	26,000	Swire Pacific Ltd		329,202
	35,000	Wharf Holdings Ltd (The)		310,818
	115,000	Yue Yuen Industrial Holdings		332,129
		Total Hong Kong		6,060,953
		Ireland — 0.6%
	57,269	C&C Group Plc		341,326
	19,423	Kerry Group Plc-Class A		1,104,123
	9,289	Paddy Power Plc		783,219
	28,048	Smurfit Kappa Group Plc		470,545
		Total Ireland		2,699,213
		Israel — 0.1%
	14,123	Bank Leumi Le-Israel *		49,302
	12,423	Teva Pharmaceutical Industries Ltd		475,877
		Total Israel		525,179

Shares		Description	Value ($)
		Italy — 6.0%
	899,003	A2A SPA		755,029
	45,779	Azimut Holding SPA		867,248
	15,192	Danieli & Co SPA-RSP		248,505
	1,727,001	Enel SPA		6,500,285
	256,296	ENI SPA		5,828,561
	41,804	Exor SPA		1,324,837
	28,981	Fiat Industrial SPA		333,323
	250,436	Fiat SPA *		1,962,748
	256,687	Finmeccanica SPA *		1,417,568
	658,850	Intesa Sanpaolo SPA		1,229,119
	12,149	Lottomatica Group SPA		326,725
	411,876	Mediaset SPA *		1,278,667
	45,025	Mediobanca SPA		296,199
	179,401	Mediolanum SPA		1,191,163
	321,227	Milano Assicurazioni SPA *		206,051
	25,205	Recordati SPA		266,782
	93,444	Snam Rete Gas SPA		443,148
	2,471,494	Telecom Italia SPA		1,913,186
	1,817,161	Telecom Italia SPA-Di RISP		1,123,464
	189,895	UniCredit SPA		1,065,726
	151,188	Unipol Gruppo Finanziario SPA		519,258
		Total Italy		29,097,592
		Japan — 23.9%
	12,800	ABC-Mart Inc		462,974
	779	Accordia Golf Co Ltd		823,817
	150	Advance Residence Investment Corp (REIT)		310,294
	124,800	Aeon Co Ltd		1,456,614
	19,000	Ajinomoto Co Inc		261,587
	16,200	Alfresa Holdings Corp		841,810
	21,000	Anritsu Corp		283,615
	27,500	Arnest One Corp		497,775
	47,300	Astellas Pharma Inc		2,415,430
	13,000	Bridgestone Corp		421,978
	2,400	Calbee Inc		231,573
	5,200	Central Japan Railway Co		572,509
	192,000	Cosmo Oil Co Ltd *		345,024
	15,100	Credit Saison Co Ltd		352,082
	40,050	Daiei Inc *		124,052
	239,000	Daikyo Inc		712,642
	33,600	Daito Trust Construction Co Ltd		3,127,165
	35,000	Daiwa House Industry Co Ltd		661,429
	91,000	Daiwa Securities Group Inc		744,358
	30,200	Dena Co Ltd		636,799
	184,000	DIC Corp		422,770
	12,000	Edion Corp		58,591
	9,200	Eisai Co Ltd		353,090
	2,500	Fast Retailing Co Ltd		840,894
	72,000	Fujitsu Ltd		298,057
	178,000	Fuji Electric Co Ltd		579,124
	97,000	Fuji Heavy Industries Ltd		2,184,792

Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	17,900	Fuji Oil Co Ltd		273,195
	8,500	Fuyo General Lease Co Ltd		312,488
	74,000	Hanwa Co Ltd		271,290
	970,500	Haseko Corp *		1,260,796
	7,300	Hosiden Corp		38,354
	8,900	Idemitsu Kosan Co Ltd		720,210
	175	INPEX Corp		744,974
	333,300	Itochu Corp		4,130,450
	16,000	Izumi Co Ltd		383,256
	23,600	J Trust Co Ltd		471,608
	368	Japan Retail Fund Investment Corp (REIT)		698,626
	6,800	Japan Tobacco Inc		231,424
	73,200	JFE Holdings Inc		1,504,331
	557,400	JX Holdings Inc		2,707,989
	36,660	K’s Holdings Corp		1,014,211
	167,000	Kajima Corp		487,946
	42,000	Kamigumi Co Ltd		317,876
	116,000	Kanematsu Corp *		137,931
	97,600	Kansai Electric Power Co Inc (The) *		1,148,976
	31,000	Kao Corp		971,466
	308,000	Kawasaki Kisen Kaisha Ltd		608,156
	130,800	KDDI Corp		5,900,908
	900	Keyence Corp		274,638
	19,000	Kinugawa Rubber Industrial Co Ltd		105,141
	331,000	Kobe Steel Ltd *		436,699
	24,500	Kohnan Shoji Co Ltd		286,137
	29,000	Kubota Corp		420,037
	53,000	Kurimoto Ltd		134,739
	8,000	Kyudenko Corp		33,839
	10,200	Lawson Inc		742,010
	131,400	Leopalace21 Corp *		594,049
	272,000	Marubeni Corp		1,878,103
	418,000	Mazda Motor Corp *		1,607,987
	62,000	Medipal Holdings Corp		826,710
	26,900	Misawa Homes Co Ltd		571,989
	37,000	Mitsubishi Estate Co Ltd		911,569
	73,000	Mitsubishi Heavy Industries Ltd		446,844
	255,000	Mitsubishi Chemical Holdings Corp		1,206,771
	172,700	Mitsubishi Corp		2,984,655
	179,000	Mitsui Engineer & Shipbuilding Co Ltd		290,665
	19,000	Mitsui Fudosan Co Ltd		524,178
	138,300	Mitsui & Co Ltd		1,732,053
	250,000	Mitsui Mining & Smelting Co Ltd		569,156
	249,000	Mitsui OSK Lines Ltd *		884,357
	1,595,900	Mizuho Financial Group Inc		3,038,455
	16,100	Nagase & Co		207,546
	19,900	Namco Bandai Holdings Inc		322,564
	40	NanoCarrier Co Ltd *		152,780
	150,000	NEC Corp		348,802
	84,500	Nippon Coke & Engineering Co Ltd		92,794
	30,000	Nippon Corp		388,162

Shares		Description	Value ($)
		Japan — continued
	374,200	Nippon Light Metal Co Ltd		420,216
	10,100	Nippon Paper Industries Co Ltd *		123,494
	174,000	Nippon Sheet Glass Co Ltd *		182,274
	89,000	Nippon Steel Corp		223,116
	88,600	Nippon Telegraph & Telephone Corp		4,369,753
	344,000	Nippon Yusen Kabushiki Kaisha		881,981
	71,900	Nipro Corp		897,252
	19,700	Nisshin Steel Holdings Co Ltd		173,348
	12,000	Nisshinbo Holdings Inc		86,947
	9,550	Nitori Holdings Co Ltd		751,488
	17,200	Nitto Denko Corp		1,021,125
	110,400	Nomura Holdings Inc		837,103
	79,500	North Pacific Bank Ltd		261,190
	119,000	NTN Corp *		357,134
	787	NTT Docomo Inc		1,149,821
	97,000	Obayashi Corp		468,295
	18,000	Odakyu Electric Railway Co Ltd		175,007
	10,900	Ono Pharmaceutical Co Ltd		757,968
	4,100	Oriental Land Co Ltd		559,039
	44,500	Orient Corp *		127,682
	29,900	ORIX Corp		396,533
	31,000	Pacific Metals Co Ltd		145,065
	51,500	Penta-Ocean Construction Co Ltd		125,261
	13,410	Point Inc		596,360
	734,600	Resona Holdings Inc		3,295,102
	60,000	Ricoh Co Ltd		696,595
	58,100	Round One Corp		358,440
	9,500	Ryohin Keikaku Co Ltd		708,753
	7,600	Ryosan Co		141,056
	7,600	Sankyo Co Ltd		333,566
	4,600	Shimamura Co Ltd		528,452
	2,500	Shimano Inc		192,536
	107,000	Shinsei Bank Ltd		249,865
	9,300	Ship Healthcare Holdings Inc		335,926
	7,300	SHO–BOND Holdings Co Ltd		268,336
	38,100	SoftBank Corp		1,904,436
	564,700	Sojitz Corp		973,264
	359,000	Sumitomo Light Metal Industries Ltd		374,703
	252,100	Sumitomo Mitsui Construction Co Ltd *		193,425
	259,400	Sumitomo Corp		3,243,213
	55,000	Sumitomo Metal Mining Co Ltd		691,129
	33,100	Sumitomo Mitsui Financial Group Inc		1,306,781
	489,000	Sumitomo Mitsui Trust Holdings Inc		2,003,431
	23,000	Sumitomo Realty & Development Co Ltd		879,622
	16,300	Suzuken Co Ltd		516,542
	264,000	Taisei Corp		828,651
	7,400	Takara Leben Co Ltd		109,752
	63,100	Takeda Pharmaceutical Co Ltd		2,796,740
	103,200	Tokyo Electric Power Co Inc (The) *		618,079
	31,000	Tokyu Land Corp		280,153
	69,000	TonenGeneral Sekiyu KK		677,874

Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	322,000	Tosoh Corp		1,051,435
	236,000	Toyobo Co Ltd		384,440
	58,400	Toyota Motor Corp		3,408,185
	75,500	Toyota Tsusho Corp		1,997,796
	53,701	UNY Co Ltd		353,761
	6,180	USS Co Ltd		716,570
	81,600	Wacom Co Ltd		1,008,125
	2,035	Yahoo! Japan Corp		921,976
	10,660	Yamada Denki Co Ltd		402,101
		Total Japan		116,208,998
		Malta — 0.0%
	1,718,063	BGP Holdings Plc *		—
		Netherlands — 1.4%
	274,415	Aegon NV		1,872,281
	4,808	ASML Holding NV		397,920
	11,677	CSM NV		244,631
	37,424	Delta Lloyd NV		731,790
	12,289	Gemalto NV		1,031,832
	49,539	ING Groep NV *		461,936
	19,113	Koninklijke Philips Electronics NV		541,204
	109,259	Koninklijke BAM Groep NV		539,588
	123,744	PostNL NV *		335,419
	2,406	Vopak		145,177
	4,965	Wereldhave NV (REIT)		352,653
		Total Netherlands		6,654,431
		New Zealand — 0.4%
	123,541	Chorus Ltd		243,799
	57,894	Fletcher Building Ltd		383,047
	719,628	Telecom Corp of New Zealand		1,316,768
		Total New Zealand		1,943,614
		Norway — 0.1%
	11,680	Statoil ASA		263,730
	7,596	TGS Nopec Geophysical Co ASA		265,151
		Total Norway		528,881
		Portugal — 0.6%
	712,848	EDP-Energias de Portugal SA		2,298,849
	8,697	Galp Energia SGPS SA		142,337
	88,211	Portugal Telecom SGPS SA		374,260
		Total Portugal		2,815,446
		Singapore — 2.0%
	317,000	Asiasons Capital Ltd *		244,376
	358,000	CapitaCommercial Trust (REIT)		428,210
	402,000	China Minzhong Food Corp Ltd *		324,792
	398,000	Ezion Holdings Ltd		713,446
	217,000	Ezra Holdings Ltd *		166,162
	4,163,000	Golden Agri-Resources Ltd		1,890,146

Shares		Description	Value ($)
		Singapore — continued
	198,000	Ho Bee Investment Ltd		313,740
	247,200	Jaya Holdings Ltd		118,925
	1,035,000	Noble Group Ltd		845,461
	85,000	Singapore Press Holdings Ltd		286,766
	621,670	Singapore Telecommunications		1,838,879
	143,002	Suntec Real Estate Investment Trust (REIT)		194,903
	341,067	Swiber Holdings Ltd		203,981
	45,800	Triyards Holdings Ltd *		26,482
	86,000	United Overseas Land		453,440
	26,000	United Overseas Bank Ltd		439,142
	233,000	Vard Holdings Ltd		205,214
	69,000	Wilmar International Ltd		176,982
	735,000	Yangzijiang Shipbuilding Holdings Ltd		510,056
	247,000	Yanlord Land Group Ltd		277,537
		Total Singapore		9,658,640
		Spain — 7.5%
	73,525	Abengoa SA		173,097
	27,194	ACS Actividades de Construccion y Servicios SA		760,354
	25,372	Amadeus IT Holding SA-Class A		774,362
	466,361	Banco Bilbao Vizcaya Argentaria SA		4,371,079
	1,438,253	Banco Santander SA		10,286,728
	103,312	Distribuidora Internacional de Alimentacion SA		809,693
	19,681	Enagas		491,994
	49,973	Ferrovial SA		804,776
	132,240	Gas Natural SDG SA		2,731,989
	36,407	Grifols SA *		1,333,113
	3,640	Grifols SA-Class B		98,447
	614,413	Iberdrola SA		3,323,408
	12,853	Inditex SA		1,591,077
	106,849	Mapfre SA		383,926
	129,292	Repsol YPF SA		2,941,920
	409,960	Telefonica SA *		5,640,625
		Total Spain		36,516,588
		Sweden — 0.6%
	40,819	Investor AB		1,171,777
	32,601	Skandinaviska Enskilda Banken AB-Class A		339,360
	11,790	Svenska Handelsbanken AB-A Shares		506,778
	49,006	Swedbank AB-Class A		1,167,051
		Total Sweden		3,184,966
		Switzerland — 1.8%
	25,228	ABB Ltd		551,986
	30,380	Credit Suisse Group AG (Registered)		897,921
	59,852	Novartis AG (Registered)		4,287,321
	4,691	Roche Holding AG (Non Voting)		1,163,070
	673	Swatch Group AG		383,570
	5,435	Swiss Life Holding AG (Registered)		901,010
	8,949	Swiss Re AG		657,164
		Total Switzerland		8,842,042

Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — 22.0%
	149,473	Aberdeen Asset Management Plc		1,050,466
	37,205	Admiral Group Plc		750,177
	73,385	Amlin Plc		462,667
	16,625	ARM Holdings Plc		243,492
	20,070	Associated British Foods Plc		549,983
	255,564	AstraZeneca Plc		13,075,749
	37,454	Aviva Plc		188,219
	35,798	Babcock International Group Plc		627,802
	627,323	BAE Systems Plc		3,834,850
	74,235	Balfour Beatty Plc		260,206
	1,637,084	Barclays Plc		7,841,858
	47,442	Barratt Developments Plc *		228,879
	31,525	BG Group Plc		575,332
	45,040	BHP Billiton Plc		1,295,133
	1,817,308	BP Plc		12,988,680
	35,613	Bunzl Plc		693,144
	173,543	Cobham Plc		749,104
	7,599	Croda International Plc		282,585
	9,955	DCC Plc		376,132
	152,944	Diageo Plc		4,517,950
	73,571	Drax Group Plc		637,703
	33,358	easyJet Plc		635,639
	20,106	Experian Plc		369,780
	136,255	FirstGroup Plc		258,689
	44,721	GlaxoSmithKline Plc		1,157,075
	142,743	Glencore International Plc		694,206
	41,210	Halfords Group Plc		202,648
	256,407	Home Retail Group Plc		606,306
	139,122	HSBC Holdings Plc		1,526,313
	2,021	IMI Plc		39,375
	14,184	Imperial Tobacco Group Plc		508,990
	66,559	Inchcape Plc		550,661
	29,198	InterContinental Hotels Group Plc		840,502
	21,454	Intertek Group Plc		1,042,992
	612,707	Legal & General Group Plc		1,650,586
	3,796,074	Lloyds Banking Group Plc *		3,528,234
	195,428	Man Group Plc		338,065
	39,634	Next Plc		2,771,685
	112,253	Old Mutual Plc		346,674
	11,249	Persimmon Plc		206,861
	11,249	Persimmon Plc, Bonus Shares		12,819
	54,907	Premier Foods Plc *		60,082
	132,108	Prudential Plc		2,222,203
	6,866	Reckitt Benckiser Group Plc		490,978
	44,091	Reed Elsevier Plc		493,076
	154,659	Rio Tinto Plc		6,605,605
	57,279	Rolls-Royce Holdings Plc		1,038,993
	6,816,201	Rolls-Royce Holdings Plc C Shares *		10,357
	116,338	Royal Bank of Scotland Group Plc *		587,462
	90,463	Royal Dutch Shell Group Class A (Amsterdam)		3,020,764
	166,043	Royal Dutch Shell Plc A Shares (London)		5,526,059
	115,873	Royal Dutch Shell Plc B Shares (London)		3,994,482

Shares / Par Value		Description	Value ($)
		United Kingdom — continued
	17,375	SABMiller Plc		874,123
	18,174	Scottish & Southern Energy Plc		426,594
	164,965	Spirit Pub Co Plc		168,313
	133,073	Standard Life Assurance Plc		787,238
	119,892	Tesco Plc		663,889
	567,566	Thomas Cook Group Plc *		1,223,057
	154,102	TUI Travel Plc		832,094
	26,105	Vesuvius Plc		150,066
	1,975,767	Vodafone Group Plc		5,725,998
	13,792	Whitbread Plc		600,439
	199,629	William Hill Plc		1,334,265
	2,693	Wolseley Plc		136,930
	100,307	WPP Plc		1,707,633
		Total United Kingdom		107,198,911
		TOTAL COMMON STOCKS (COST $385,386,823)		470,974,359
		PREFERRED STOCKS — 0.8%
		Germany — 0.8%
	20,553	Henkel AG & Co KGaA, 1.27%		1,977,863
	20,674	Porsche Automobil Holding SE, 3.14%		1,705,068
		Total Germany		3,682,931
		TOTAL PREFERRED STOCKS (COST $2,451,925)		3,682,931
		RIGHTS/WARRANTS — 0.0%
		Italy — 0.0%
	41,804	Exor SPA Rights, Expires 06/05/13 *		—
	41,804	Exor SPA Preferred Rights, Expires 06/05/13 *		—
		Japan — 0.0%
	23,600	J Trust Co Ltd Rights, Expires 07/30/13 *		61,082
		TOTAL RIGHTS/WARRANTS (COST $48,401)		61,082
		MUTUAL FUNDS — 1.1%
		United States — 1.1%
		Affiliated Issuers
	222,960	GMO U.S. Treasury Fund		5,576,221
		TOTAL MUTUAL FUNDS (COST $5,576,221)		5,576,221
		SHORT-TERM INVESTMENTS — 0.9%
		Time Deposits — 0.9%
USD	1,448,877	BNP Paribas (Paris) Time Deposit, 0.06%, due 06/03/13		1,448,877
CAD	4,341	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.28%, due 06/03/13		4,187

Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value		Description	Value ($)
		Time Deposits — continued
CHF	1,228	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.00%, due 06/03/13 (a)		1,284
GBP	65,308	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.08%, due 06/03/13		99,228
NOK	116,544	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.48%, due 06/03/13		19,859
SGD	18,772	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 06/03/13		14,852
EUR	147,481	Citibank (New York) Time Deposit, 0.00%, due 06/03/13 (a)		191,688
JPY	3,925,318	Citibank (New York) Time Deposit, 0.01%, due 06/03/13		39,091
USD	2,489,625	Societe Generale (Paris) Time Deposit, 0.06%, due 06/03/13		2,489,625
		Total Time Deposits		4,308,691
		TOTAL SHORT-TERM INVESTMENTS (COST $4,308,691)		4,308,691
		TOTAL INVESTMENTS — 99.5% (Cost $397,772,061)		484,603,284
		Other Assets and Liabilities (net) — 0.5%		2,222,944
		TOTAL NET ASSETS — 100.0%		$486,826,228

A summary of outstanding financial instruments at May 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
06/20/2013	BBH		CAD	3,434,791		USD	3,357,780	$	46,002
06/20/2013	BNYM		CAD	3,434,791		USD	3,359,176		47,398
06/20/2013	BOA		CAD	869,976		USD	850,500		11,681
06/20/2013	BCLY		EUR	400,802		USD	515,816		(5,168	)
06/20/2013	BCLY		EUR	3,457,407		USD	4,543,413		49,288
06/20/2013	BOA		EUR	1,103,767		USD	1,440,895		6,159
06/20/2013	DB		EUR	3,457,407		USD	4,543,033		48,907
06/20/2013	MSCI		EUR	3,457,407		USD	4,538,493		44,368
06/20/2013	SSB		EUR	3,457,408		USD	4,541,375		47,248
06/20/2013	BNYM		GBP	1,223,477		USD	1,871,430		12,693
06/20/2013	JPM		GBP	1,221,507		USD	1,858,332		2,587
06/20/2013	MSCI		GBP	665,434		USD	1,013,839		2,895
06/20/2013	SSB		GBP	829,926		USD	1,259,155		(1,690	)
06/20/2013	BBH		JPY	242,812,186		USD	2,476,185		58,920
06/20/2013	BCLY		JPY	60,717,680		USD	619,132		14,670
06/20/2013	BNYM		JPY	70,837,293		USD	722,697		17,491
06/20/2013	BOA		JPY	242,812,186		USD	2,476,056		58,791
06/20/2013	DB		JPY	242,812,187		USD	2,486,059		68,795
06/20/2013	JPM		JPY	242,812,186		USD	2,476,003		58,738
06/20/2013	MSCI		JPY	372,595,812		USD	3,800,586		91,289
06/20/2013	BBH		USD	1,082,398		CAD	1,101,740		(20,115	)
06/20/2013	BBH		USD	4,507,481		CHF	4,178,277		(137,346	)
06/20/2013	BCLY		USD	1,179,396		CHF	1,138,565		11,450
06/20/2013	BNYM		USD	1,080,562		CAD	1,101,741		(18,278	)
06/20/2013	BNYM		USD	1,891,431		GBP	1,235,660		(14,184	)
06/20/2013	BOA		USD	4,513,655		CHF	4,178,277		(143,520	)
06/20/2013	DB		USD	4,511,399		CHF	4,178,277		(141,264	)
06/20/2013	JPM		USD	1,890,090		GBP	1,235,660		(12,844	)
06/20/2013	JPM		USD	1,465,510		JPY	149,455,492		22,362
06/20/2013	MSCI		USD	4,509,889		CHF	4,178,277		(139,754	)
06/20/2013	MSCI		USD	1,103,757		GBP	721,106		(8,234	)
06/20/2013	MSCI		USD	2,380,577		JPY	243,848,435		47,004
06/20/2013	SSB		USD	1,269,577		CHF	1,175,217		(40,397	)
06/20/2013	SSB		USD	1,269,881		GBP	830,142		(8,708	)
								$	77,234

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) Rate rounds to 0.00%.

Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

BNYM – Bank of New York Mellon

DB - Deutsche Bank AG

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

SGD - Singapore Dollar

USD - United States Dollar

As of May 31, 2013, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in the value of investments were as follows:

Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)			Net Unrealized Appreciation (Depreciation) ($)
Currency Hedged International Equity Fund		2,012,996,941		291,627,761		(12,685,174	)		278,942,587
Developed World Stock Fund		336,553,987		62,831,770		(17,817,537	)		45,014,233
Flexible Equities Fund		788,137,687		66,307,771		(43,437,655	)		22,870,116
International Core Equity Fund		3,058,446,963		438,298,475		(236,195,182	)		202,103,293
International Growth Equity Fund		1,914,489,014		341,592,090		(76,887,274	)		264,704,816
International Intrinsic Value Extended Markets Fund		304,239,403		27,334,354		(26,418,514	)		915,840
International Intrinsic Value Fund		10,251,896,083		1,326,802,594		(820,937,035	)		505,865,559
International Small Companies Fund		296,482,681		50,365,762		(25,518,383	)		24,847,379
Resources Fund		172,510,527		5,559,587		(12,354,705	)		(6,795,118	)
Risk Premium Fund		339,634,402		41,329		—			41,329
Tax-Managed International Equities Fund		400,114,878		100,523,292		(16,034,886	)		84,488,406

Investments in Affiliated Issuers

The Funds make investments in other GMO Trust funds (“underlying funds”). The Schedule of Investments of the underlying funds should be read in conjunction with the Fund’s Schedule of Investments.

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended May 31, 2013 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Value, end of period
Currency Hedged International Equity Fund
GMO International Growth Equity Fund, Class IV	$	549,081,026	$	11,083,900	$	459,046,256	$	—	$	—	$	133,198,999
GMO International Intrinsic Value Fund, Class IV		1,638,769,861		445,997,902		51,380,300		—		—		2,102,156,447
Total	$	2,187,850,887	$	457,081,802	$	510,426,556	$	—	$	—	$	2,235,355,446
Developed World Stock Fund
GMO U.S. Treasury Fund	$	9,708,326	$	3,713,000	$	3,042,000	$	2,267	$	—	$	10,382,191
International Core Equity Fund
GMO U.S. Treasury Fund	$	86,633,100	$	14,105,000	$	100,745,966	$	8,517	$	—	$	—
International Growth Equity Fund
GMO U.S. Treasury Fund	$	52,767,000	$	55,742,000	$	107,353,000	$	6,441	$	—	$	1,156,000
International Intrinsic Value Extended Markets Fund
GMO U.S. Treasury Fund	$	14,658,000	$	2,291,000	$	12,385,000	$	2,013	$	—	$	4,566,810
International Intrinsic Value Fund
GMO U.S. Treasury Fund	$	88,307,524	$	—	$	—	$	21,331	$	—	$	88,342,847
International Small Companies Fund
GMO U.S. Treasury Fund	$	4,067,469	$	2,224,000	$	5,756,000	$	795	$	—	$	536,887
Resources Fund
GMO U.S. Treasury Fund	$	1,041,000	$	1,825,000	$	383,000	$	417	$	—	$	2,483,417
Risk Premium Fund
GMO U.S. Treasury Fund	$	278,253,028	$	—	$	—	$	67,213	$	—	$	278,364,329
Tax-Managed International Equities Fund
GMO U.S. Treasury Fund	$	5,391,305	$	5,543,000	$	5,358,097	$	824	$	—	$	5,576,221

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2013 through May 31, 2013. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2014.

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. Management 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 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 Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) 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 this 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 by the relevant clearing house. If an updated closing price for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model. Unlisted securities (including debt instruments) for which market quotations are readily available are valued at the most recent quoted price. In the case of non-emerging market debt instruments with a remaining maturity of sixty days or less, the instrument may be valued at amortized cost which approximates market value, if the issuer is deemed to present minimal credit risk. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. 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 of GMO Trust (the “Trustees”) or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended May 31, 2013, the Funds did not reduce the value of any of their over-the-counter (“OTC”) derivatives contracts based on the creditworthiness of their counterparties. See “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing pricing methodologies are modified for equity securities listed on foreign exchanges and that trade in securities markets that are closed prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, 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). In those cases, the value will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds, held either directly or through investments in the underlying funds, that were valued using fair value prices obtained from that independent pricing service as of May 31, 2013. 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 being valued using Level 2 inputs (levels defined below) in the table below.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security. If an updated quote for a security is not available by the time that the Funds calculate their net asset value on any business day, the Funds will generally use a quoted price from a prior day to value that security.

As discussed above, certain of the Funds and 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 fair valued using inputs obtained from an independent pricing service. The net aggregate direct and/or indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of May 31, 2013 is as follows:

Securities

Fund Name	Fair valued using methods determined in good faith by or at  the direction of the Trustees			Fair valued using inputs obtained from an independent pricing service
Currency Hedged International Equity Fund		—			93.7%
Developed World Stock Fund		—			43.6%
Flexible Equities Fund		—			94.2%
International Core Equity Fund		0.0	%^		93.1%
International Growth Equity Fund		—			94.2%
International Intrinsic Value Extended Markets Fund		—			86.0%
International Intrinsic Value Fund		0.0	%^		95.2%
International Small Companies Fund		0.0	%^		93.3%
Resources Fund		—			67.9%
Risk Premium Fund		—			—
Tax-Managed International Equities Fund		—			96.2%

^ Rounds to 0.0%.

Derivatives

Fund Name	Futures contracts fair valued using inputs obtained from an independent pricing service		Options fair valued using inputs obtained from an independent pricing source
Currency Hedged International Equity Fund		0.2%		—
Developed World Stock Fund		0.1%		—
Flexible Equities Fund		(0.4)%		—
International Core Equity Fund		0.0%^		—
International Growth Equity Fund		0.1%		—
International Intrinsic Value Extended Markets Fund		0.3%		—
International Intrinsic Value Fund		0.2%		—
International Small Companies Fund		0.2%		—
Resources Fund		—		—
Risk Premium Fund		—		(3.1)	%
Tax-Managed International Equities Fund		—		—

^ Rounds to 0.0%.

U.S. GAAP requires the Funds to disclose the fair value of their investments into 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 methodology 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 in 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 liquidity of investments, could cause a security to be reclassified between levels.

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the “Valuation Inputs” table below). At May 31, 2013, there were no direct material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.

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 with a remaining maturity of greater than 60 days, 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 debt securities such as U.S. government securities with a remaining maturity of less than 60 days valued at amortized cost; certain centrally cleared and 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; 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; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; and certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; and certain derivatives valued using third party valuation services; certain equity securities valued based on the last traded exchange price adjusted for the movement in a securities index; and certain securities that are valued using a price from a comparable security related to the same issuer.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of May 31, 2013:

Description	Level 1		Level 2			Level 3		Total
Currency Hedged International Equity Fund
Asset Valuation Inputs
Mutual Funds
United States	$	2,235,355,446	$	—		$	—	$	2,235,355,446
TOTAL MUTUAL FUNDS		2,235,355,446		—			—		2,235,355,446
Short-Term Investments		56,584,082		—			—		56,584,082
Total Investments		2,291,939,528		—			—		2,291,939,528
Derivatives*
Forward Currency Contracts
Foreign currency risk		—		2,286,651			—		2,286,651
Total	$	2,291,939,528	$	2,286,651		$	—	$	2,294,226,179
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign currency risk	$	—	$	(24,841,369	)	$	—	$	(24,841,369	)
Total	$	—	$	(24,841,369	)	$	—	$	(24,841,369	)
Developed World Stock Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	3,612,638		$	—	$	3,612,638
Austria		—		1,369,215			—		1,369,215
Belgium		—		1,870,254			—		1,870,254
Canada		451,584		—			—		451,584
Denmark		—		639,235			—		639,235
Finland		—		702,647			—		702,647
France		—		27,768,871			—		27,768,871
Germany		—		13,821,024			—		13,821,024
Hong Kong		—		56			—		56
Ireland		—		1,577,037			—		1,577,037
Italy		—		15,350,544			—		15,350,544
Japan		—		43,553,653			—		43,553,653
Netherlands		—		1,929,601			—		1,929,601
Norway		—		979,344			—		979,344
Portugal		—		889,525			—		889,525
Singapore		—		3,022,226			—		3,022,226
Spain		—		15,867,223			—		15,867,223
Sweden		—		276,029			—		276,029
Switzerland		—		1,830,933			—		1,830,933
United Kingdom		—		30,446,730			—		30,446,730
United States		199,909,082		—			—		199,909,082
TOTAL COMMON STOCKS		200,360,666		165,506,785			—		365,867,451
Preferred Stocks
Germany		—		1,826,393			—		1,826,393
TOTAL PREFERRED STOCKS		—		1,826,393			—		1,826,393
Mutual Funds
United States		10,382,191		—			—		10,382,191
TOTAL MUTUAL FUNDS		10,382,191		—			—		10,382,191
Short-Term Investments		3,492,185		—			—		3,492,185
Total Investments		214,235,042		167,333,178			—		381,568,220

Description	Level 1		Level 2			Level 3			Total
Developed World Stock Fund (continued)
Asset Valuation Inputs (continued)
Derivatives*
Forward Currency Contracts
Foreign currency risk	$	—	$	747,625		$	—		$	747,625
Futures Contracts
Equity risk		67,862		488,782			—			556,644
Total	$	214,302,904	$	168,569,585		$	—		$	382,872,489
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign currency risk	$	—	$	(674,536	)	$	—		$	(674,536	)
Futures Contracts
Equity risk		—		(50,787	)		—			(50,787	)
Total	$	—	$	(725,323	)	$	—		$	(725,323	)
Flexible Equities Fund
Asset Valuation Inputs
Common Stocks
Japan	$	—	$	759,051,719		$	—		$	759,051,719
TOTAL COMMON STOCKS		—		759,051,719			—			759,051,719
Short-Term Investments
Time Deposits		51,956,084		—			—			51,956,084
Total Short-Term Investments		51,956,084		—			—			51,956,084
Total Investments		51,956,084		759,051,719			—			811,007,803
Derivatives*
Forward Currency Contracts
Foreign currency risk		—		4,225			—			4,225
Total	$	51,956,084	$	759,055,944		$	—		$	811,012,028
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Forward currency risk	$	—	$	(9,129,755	)	$	—		$	(9,129,755	)
Futures Contracts
Equity risk		—		(3,017,762	)		—			(3,017,762	)
Total	$	—	$	(12,147,517	)	$	—		$	(12,147,517	)
International Core Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	181,566,599		$	713,837		$	182,280,436
Austria		—		25,157,002			—			25,157,002
Belgium		—		46,755,781			—			46,755,781
Canada		62,449,712		—			—			62,449,712
Denmark		—		22,300,740			—			22,300,740
Finland		—		22,462,435			—			22,462,435
France		—		384,341,921			—			384,341,921
Germany		—		211,968,180			—			211,968,180
Greece		—		12,562,683			—			12,562,683
Hong Kong		—		35,522,016			—			35,522,016
Ireland		—		22,010,759			—			22,010,759
Israel		—		3,229,831			—			3,229,831
Italy		—		173,632,914			—			173,632,914
Japan		—		712,309,132			—			712,309,132
Malta		—		—			0	**		0	**
Netherlands		—		38,616,127			0	**		38,616,127
New Zealand		—		21,839,831			—			21,839,831
Norway		—		9,714,501			—			9,714,501

Description	Level 1		Level 2			Level 3			Total
International Core Equity Fund (continued)
Asset Valuation Inputs (continued)
Portugal	$	—	$	12,328,286		$	—		$	12,328,286
Singapore		—		46,686,277			—			46,686,277
Spain		—		252,926,124			—			252,926,124
Sweden		—		27,673,645			—			27,673,645
Switzerland		—		55,713,638			—			55,713,638
United Kingdom		—		754,194,853			315,167			754,510,020
TOTAL COMMON STOCKS		62,449,712		3,073,513,275			1,029,004			3,136,991,991
Preferred Stocks
Germany		—		33,946,571			—			33,946,571
TOTAL PREFERRED STOCKS		—		33,946,571			—			33,946,571
Rights/warrants
Greece		—		—			1,554			1,554
Italy		—		—			0	**		0	**
Japan		—		74,282			—			74,282
TOTAL RIGHTS/WARRANTS		—		74,282			1,554			75,836
Short-Term Investments		89,535,858		—			—			89,535,858
Total Investments		151,985,570		3,107,534,128			1,030,558			3,260,550,256
Derivatives*
Forward Currency Contracts
Foreign currency risk		—		14,768,478			—			14,768,478
Futures Contracts
Equity risk		650,034		2,640,219			—			3,290,253
Total	$	152,635,604	$	3,124,942,825		$	1,030,558		$	3,278,608,987
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign currency risk	$	—	$	(11,722,961	)	$	—		$	(11,722,961	)
Futures Contracts
Equity risk		—		(2,010,820	)		—			(2,010,820	)
Total	$	—	$	(13,733,781	)	$	—		$	(13,733,781	)
International Growth Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	111,621,862		$	—		$	111,621,862
Austria		—		5,521,955			0	**		5,521,955
Belgium		—		29,650,835			—			29,650,835
Canada		59,495,654		—			—			59,495,654
Denmark		—		56,593,660			—			56,593,660
Finland		—		32,004,031			—			32,004,031
France		—		128,785,065			—			128,785,065
Germany		—		157,500,543			—			157,500,543
Greece		—		62,712			—			62,712
Hong Kong		—		76,125,137			—			76,125,137
Ireland		—		20,676,059			—			20,676,059
Israel		—		8,557,019			—			8,557,019
Italy		—		26,058,567			—			26,058,567
Japan		—		500,904,242			—			500,904,242
Netherlands		—		50,026,621			—			50,026,621
New Zealand		—		2,562,957			—			2,562,957
Norway		—		19,536,649			—			19,536,649
Singapore		—		52,131,909			—			52,131,909
Spain		—		56,336,506			—			56,336,506
Sweden		—		40,966,519			—			40,966,519

Description	Level 1		Level 2			Level 3		Total
International Growth Equity Fund (continued)
Asset Valuation Inputs (continued)
Switzerland	$	—	$	201,650,115		$	—	$	201,650,115
United Kingdom		—		465,607,702			133,774		465,741,476
TOTAL COMMON STOCKS		59,495,654		2,042,880,665			133,774		2,102,510,093
Preferred Stocks
Germany		—		27,906,339			—		27,906,339
TOTAL PREFERRED STOCKS		—		27,906,339			—		27,906,339
Rights/warrants
Canada		1,663		—			—		1,663
Japan		—		94,988			—		94,988
TOTAL RIGHTS/WARRANTS		1,663		94,988			—		96,651
Mutual Funds
United States		1,156,000		—			—		1,156,000
TOTAL MUTUAL FUNDS		1,156,000		—			—		1,156,000
Short-Term Investments		47,524,747		—			—		47,524,747
Total Investments		108,178,064		2,070,881,992			133,774		2,179,193,830
Derivatives*
Forward Currency Contracts
Foreign currency risk		—		5,769,868			—		5,769,868
Futures Contracts
Equity risk		548,992		5,768,087			—		6,317,079
Total	$	108,727,056	$	2,082,419,947		$	133,774	$	2,191,280,777
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign currency risk	$	—	$	(1,979,033	)	$	—	$	(1,979,033	)
Futures Contracts
Equity risk		—		(2,619,910	)		—		(2,619,910	)
Total	$	—	$	(4,598,943	)	$	—	$	(4,598,943	)
International Intrinsic Value Extended Markets Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	8,297,799		$	—	$	8,297,799
Austria		—		1,450,767			—		1,450,767
Belgium		—		1,497,478			—		1,497,478
Brazil		3,895,678		—			—		3,895,678
Canada		6,573,973		—			—		6,573,973
China		—		23,033,965			—		23,033,965
Colombia		368,977		—			—		368,977
Denmark		—		80,044			—		80,044
Finland		—		1,295,363			—		1,295,363
France		—		30,416,712			—		30,416,712
Germany		—		13,561,587			—		13,561,587
Greece		—		313,142			—		313,142
Hong Kong		—		1,742,711			—		1,742,711
India		545,857		—			—		545,857
Ireland		—		974,258			—		974,258
Israel		—		63,425			—		63,425
Italy		—		15,273,777			—		15,273,777
Japan		—		57,215,788			—		57,215,788
Mexico		1,938,051		—			—		1,938,051
Netherlands		—		2,895,571			—		2,895,571
New Zealand		—		1,274,873			—		1,274,873
Norway		—		99,437			—		99,437
Portugal		—		1,035,648			—		1,035,648

Description	Level 1		Level 2			Level 3			Total
International Intrinsic Value Extended Markets Fund (continued)
Asset Valuation Inputs (continued)
Russia	$	—	$	8,222,625		$	—		$	8,222,625
Singapore		—		2,662,796			—			2,662,796
South Korea		—		8,892,043			—			8,892,043
Spain		—		18,345,700			—			18,345,700
Sweden		—		2,108,976			—			2,108,976
Switzerland		—		5,277,007			—			5,277,007
Taiwan		—		4,900,813			—			4,900,813
Turkey		—		975,286			—			975,286
United Kingdom		—		60,839,246			—			60,839,246
TOTAL COMMON STOCKS		13,322,536		272,746,837			—			286,069,373
Preferred Stocks
Brazil		8,611,160		—			—			8,611,160
Germany		—		1,075,531			—			1,075,531
TOTAL PREFERRED STOCKS		8,611,160		1,075,531			—			9,686,691
Mutual Funds
United States		4,566,810		—			—			4,566,810
TOTAL MUTUAL FUNDS		4,566,810		—			—			4,566,810
Short-Term Invesments		4,832,369		—			—			4,832,369
Total Investments		31,332,875		273,822,368			—			305,155,243
Derivatives*
Forward Currency Contracts
Foreign currency risk		—		961,741			—			961,741
Futures Contracts
Equity risk		15,156		1,029,893			—			1,045,049
Total	$	31,348,031	$	275,814,002		$	—		$	307,162,033
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign currency risk	$	—	$	(773,105	)	$	—		$	(773,105	)
Futures Contracts
Equity risk		—		(57,807	)		—			(57,807	)
Total	$	—	$	(830,912	)	$	—		$	(830,912	)
International Intrinsic Value Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	375,301,105		$	—		$	375,301,105
Austria		—		48,793,665			0	**		48,793,665
Belgium		—		67,339,340			—			67,339,340
Canada		94,088,274		—			—			94,088,274
Denmark		—		13,682,118			—			13,682,118
Finland		—		56,332,830			—			56,332,830
France		—		1,472,014,242			—			1,472,014,242
Germany		—		622,161,659			—			622,161,659
Greece		—		28,220,973			—			28,220,973
Hong Kong		—		100,036,680			—			100,036,680
Ireland		—		47,175,304			—			47,175,304
Israel		—		27,843,703			—			27,843,703
Italy		—		740,347,985			—			740,347,985
Japan		—		2,318,825,737			—			2,318,825,737
Malta		—		—			0	**		0	**
Netherlands		—		129,467,788			—			129,467,788
New Zealand		—		37,235,694			—			37,235,694
Norway		—		57,070,916			—			57,070,916
Portugal		—		34,222,286			—			34,222,286

Description	Level 1		Level 2			Level 3			Total
International Intrinsic Value Fund (continued)
Asset Valuation Inputs (continued)
Singapore	$	—	$	150,072,549		$	—		$	150,072,549
Spain		—		890,121,021			—			890,121,021
Sweden		—		98,743,194			—			98,743,194
Switzerland		—		210,155,166			—			210,155,166
United Kingdom		—		2,741,471,336			—			2,741,471,336
TOTAL COMMON STOCKS		94,088,274		10,266,635,291			0	**		10,360,723,565
Preferred Stocks
Germany		—		63,101,892			—			63,101,892
Total PREFERRED STOCKS		—		63,101,892			—			63,101,892
Rights/Warrants
Italy		—		—			0	**		0	**
TOTAL RIGHTS/WARRANTS		—		—			0	**		0	**
Mutual Funds
United States		88,342,847		—			—			88,342,847
TOTAL MUTUAL FUNDS		88,342,847		—			—			88,342,847
Short-Term Investments		245,593,338		—			—			245,593,338
Total Investments		428,024,459		10,329,737,183			0	**		10,757,761,642
Derivatives*
Forward Currency Contracts
Foreign currency risk		—		9,191,348			—			9,191,348
Futures Contracts
Equity risk		509,697		26,807,348			—			27,317,045
Total	$	428,534,156	$	10,365,735,879		$	0	**	$	10,794,270,035
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign currency risk	$	—	$	(14,818,702	)	$	—		$	(14,818,702	)
Futures Contracts
Equity risk		—		(2,087,308	)		—			(2,087,308	)
Total	$	—	$	(16,906,010	)	$	—		$	(16,906,010	)
International Small Companies Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	8,394,463		$	—		$	8,394,463
Austria		—		970,538			0	**		970,538
Belgium		—		1,855,670			18			1,855,688
Brazil		1,269,091		—			—			1,269,091
Canada		7,291,333		—			—			7,291,333
China		—		1,068,827			—			1,068,827
Czech Republic		—		90,482			—			90,482
Denmark		—		1,006,727			—			1,006,727
Finland		—		1,654,574			—			1,654,574
France		—		12,315,226			—			12,315,226
Germany		—		18,800,697			—			18,800,697
Greece		—		5,463,481			5,915			5,469,396
Hong Kong		—		4,802,250			—			4,802,250
India		—		1,333,749			—			1,333,749
Indonesia		—		531,433			219,188			750,621
Ireland		—		9,424,931			—			9,424,931
Israel		—		872,728			—			872,728
Italy		—		17,653,070			—			17,653,070
Japan		—		96,203,579			—			96,203,579
Mexico		719,743		—			—			719,743
Netherlands		—		4,374,806			0	**		4,374,806

Description	Level 1			Level 2			Level 3			Total
International Small Companies Fund (continued)
Asset Valuation Inputs (continued)
New Zealand	$	—		$	231,444		$	—		$	231,444
Norway		—			2,371,105			—			2,371,105
Philippines		—			196,221			—			196,221
Poland		—			89,213			—			89,213
Portugal		—			1,344,288			—			1,344,288
Russia		—			380,808			—			380,808
Singapore		—			11,321,855			—			11,321,855
South Africa		—			437,650			—			437,650
South Korea		—			4,065,565			—			4,065,565
Spain		—			9,325,820			—			9,325,820
Sweden		—			2,068,037			7,635			2,075,672
Switzerland		—			7,776,752			—			7,776,752
Taiwan		—			1,800,463			0	**		1,800,463
Thailand		—			1,337,519			—			1,337,519
Turkey		—			1,250,198			—			1,250,198
United Kingdom		—			68,575,866			—			68,575,866
TOTAL COMMON STOCKS		9,280,167			299,390,035			232,756			308,902,958
Preferred Stocks
Brazil		888,690			—			—			888,690
Germany		—			2,186,626			—			2,186,626
Russia		—			1,807,318			—			1,807,318
TOTAL PREFERRED STOCKS		888,690			3,993,944			—			4,882,634
Rights/Warrants
Greece		—			—			1,744			1,744
Japan		—			174,188			—			174,188
Malaysia		—			1,566			—			1,566
TOTAL RIGHTS/WARRANTS		—			175,754			1,744			177,498
Mutual Funds
United States		536,887			—			—			536,887
TOTAL MUTUAL FUNDS		536,887			—			—			536,887
Short-Term Investments		6,830,083			—			—			6,830,083
Total Investments		17,535,827			303,559,733			234,500			321,330,060
Derivatives*
Forward Currency Contracts
Foreign currency risk		—			440,564			—			440,564
Futures Contracts
Equity risk		—			918,411			—			918,411
Total	$	17,535,827		$	304,918,708		$	234,500		$	322,689,035
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign currency risk	$	—		$	(327,116	)	$	—		$	(327,116	)
Futures Contracts
Equity risk		(1,208	)		(100,684	)		—			(101,892	)
Total	$	(1,208	)	$	(427,800	)	$	—		$	(429,008	)

Description	Level 1			Level 2			Level 3		Total
Resources Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	789,225		$	—	$	789,225
Austria		—			1,430,317			—		1,430,317
Belgium		—			218,492			—		218,492
Brazil		3,325,478			—			—		3,325,478
Canada		9,849,677			—			—		9,849,677
China		—			4,400,285			—		4,400,285
Czech Republic		—			1,450,275			—		1,450,275
Denmark		—			1,917,876			—		1,917,876
France		—			7,657,521			—		7,657,521
Germany		—			1,574,721			—		1,574,721
Greece		—			469,598			—		469,598
Hungary		—			711,680			—		711,680
Israel		—			1,947,982			—		1,947,982
Italy		—			4,685,888			—		4,685,888
Japan		—			19,739,821			—		19,739,821
Netherlands		—			962,894			—		962,894
Norway		—			11,420,538			—		11,420,538
Poland		—			2,463,293			—		2,463,293
Russia		—			10,675,917			—		10,675,917
Singapore		—			2,682,743			—		2,682,743
South Africa		—			645,515			—		645,515
South Korea		—			236,414			—		236,414
Spain		—			6,404,020			—		6,404,020
Sweden		—			946,984			—		946,984
Taiwan		—			373,918			—		373,918
Thailand		—			825,764			—		825,764
Turkey		—			1,035,881			—		1,035,881
United Kingdom		258,731			27,286,905			—		27,545,636
United States		31,535,744			—			—		31,535,744
TOTAL COMMON STOCKS		44,969,630			112,954,467			—		157,924,097
Preferred Stocks
Brazil		4,361,223			—			—		4,361,223
Total PREFERRED STOCKS		4,361,223			—			—		4,361,223
Mutual Funds
United States
Affiliated Issuers		2,483,417			—			—		2,483,417
TOTAL MUTUAL FUNDS		2,483,417			—			—		2,483,417
Short-Term Investments
Time Deposits		946,672			—			—		946,672
Total Short-Term Investments		946,672			—			—		946,672
Total Investments		52,760,942			112,954,467			—		165,715,409
Total	$	52,760,942		$	112,954,467		$	—	$	165,715,409
Risk Premium
Asset Valuation Inputs
Mututal Funds
United States	$	278,364,329		$	—		$	—	$	278,364,329
TOTAL MUTUAL FUNDS		278,364,329			—			—		278,364,329
Short-Term Investments		61,311,402			—			—		61,311,402
Total Investments		339,675,731			—			—		339,675,731
Total	$	339,675,731		$	—		$	—	$	339,675,731
Liability Valuation Inputs
Derivatives*
Written Options
Equity risk	$	(5,164,711	)	$	(22,282,840	)	$	—	$	(27,447,551	)
Total	$	(5,164,711	)	$	(22,282,840	)	$	—	$	(27,447,551	)

Description	Level 1		Level 2			Level 3			Total
Tax-Managed International Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	19,854,460		$	—		$	19,854,460
Austria		—		3,728,183			0	**		3,728,183
Belgium		—		7,894,080			—			7,894,080
Canada		6,446,527		—			—			6,446,527
Denmark		—		3,065,582			—			3,065,582
Finland		—		2,731,978			—			2,731,978
France		—		62,034,461			21			62,034,482
Germany		—		32,088,449			—			32,088,449
Greece		—		1,195,164			—			1,195,164
Hong Kong		—		6,060,953			—			6,060,953
Ireland		—		2,699,213			—			2,699,213
Israel		—		525,179			—			525,179
Italy		—		29,097,592			—			29,097,592
Japan		—		116,208,998			—			116,208,998
Malta		—		—			0	**		0	**
Netherlands		—		6,654,431			—			6,654,431
New Zealand		—		1,943,614			—			1,943,614
Norway		—		528,881			—			528,881
Portugal		—		2,815,446			—			2,815,446
Singapore		—		9,658,640			—			9,658,640
Spain		—		36,516,588			—			36,516,588
Sweden		—		3,184,966			—			3,184,966
Switzerland		—		8,842,042			—			8,842,042
United Kingdom		—		107,175,735			23,176			107,198,911
TOTAL COMMON STOCKS		6,446,527		464,504,635			23,197			470,974,359
Preferred Stocks
Germany		—		3,682,931			—			3,682,931
TOTAL PREFERRED STOCKS		—		3,682,931			—			3,682,931
Mutual Funds
United States		5,576,221		—			—			5,576,221
TOTAL MUTUAL FUNDS		5,576,221		—			—			5,576,221
Rights/warrants
Italy		—		—			0	**		0	**
Japan		—		61,082			—			61,082
TOTAL RIGHTS/WARRANTS		—		61,082			0	**		61,082
Short-Term Investments		4,308,691		—			—			4,308,691
Total Investments		16,331,439		468,248,648			23,197			484,603,284
Derivatives*
Forward Currency Contracts
Foreign currency risk		—		768,736			—			768,736
Total	$	16,331,439	$	469,017,384		$	23,197		$	485,372,020
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign currency risk	$	—	$	(691,502	)	$	—		$	(691,502	)
Total	$	—	$	(691,502	)	$	—		$	(691,502	)

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.

* The tables above are based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value.

** Represents the interest in securities that were determined to have a fair value of zero at May 31, 2013.

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes.

For all Funds for the period ended May 31, 2013, there were no material transfers between Level 1 and Level 2.

The following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2013		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, 2013			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2013
International Core Equity Fund
Common Stocks
Australia	$	—	$	—	$	—	$	—	$	—	$	—		$	713,837	**	$	—	$	713,837		$	—
Netherlands		1,026,047		—		—		—		—		(1,026,047	)		—			—		—			—
United Kingdom		—		153,222		—		—		—		161,945			—			—		315,167			161,945
Total Common Stocks		1,026,047		153,222		—		—		—		(864,102	)		713,837			—		1,029,004			161,945
Rights/Warrants
Greece		—		1,378		—		—		—		176			—			—		1,554			176
Italy		—		0		—		—		—		0			—			—		0	***		0
Total Rights/Warrants		—		1,378		—		—		—		176			—			—		1,554			176
Total	$	1,026,047	$	154,600	$	—	$	—	$	—	$	(863,926	)	$	713,837		$	—	$	1,030,558		$	162,121
International Growth Equity Fund
Common Stocks
Austria	$	—	$	0	$	—	$	—	$	—	$	0		$	—		$	—	$	0	***	$	0
United Kingdom		—		0		—		—		—		133,774			—			—		133,774			133,774
Total	$	—	$	0	$	—	$	—	$	—	$	133,774		$	—		$	—	$	133,774		$	133,774
International Small Companies Fund
Common Stocks
Belgium	$	18	$	—	$	—	$	—	$	—	$	—		$	—		$	—	$	18		$	—
Greece		5,942		—		—		—		—		(27	)		—			—		5,915			(27	)
Indonesia		222,158		—		—		—		—		(2,970	)		—			—		219,188			(2,970	)
Netherlands		214,242		—		—		—		—		(214,242	)		—			—		0	***		(214,242	)
Sweden		7,818		—		—		—		—		(183	)		—			—		7,635			(183	)
Total Common Stocks		450,178		—		—		—		—		(217,422	)		—			—		232,756			(217,422	)
Rights/Warrants
Greece		—		2,266		—		—		—		(522	)		—			—		1,744			(522	)
Total	$	450,178	$	2,266	$	—	$	—	$	—	$	(217,944	)	$	—		$	—	$	234,500		$	(217,944	)
Tax-Managed International Equities Fund
Common Stocks
France	$	21	$	—	$	—	$	—	$	—	$	—		$	—		$	—	$	21		$	—
United Kingdom		—		7,156		—		—		—		16,020			—			—		23,176			16,020
Total Common Stocks		21		7,156		—		—		—		16,020			—			—		23,197			16,020
Rights/Warrants
Italy		—		0		—		—		—		0			—			—		0	***		0
Total	$	21	$	7,156	$	—	$	—	$	—	$	16,020		$	—		$	—	$	23,197		$	16,020

* The Funds account for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period.

** Financial assets transferred between Level 2 and Level 3, if any, were due to a change in observable and/or unobservable inputs.

*** Represents the interest in securities that were determined to have a fair value of zero at May 31, 2013.

The net aggregate direct and/or indirect exposure to investments in securities using Level 3 inputs (based on the Funds’ net assets) as of May 31, 2013 were as follows:

Fund Name	Level 3 securities
Currency Hedged International Equity Fund		0.0	%^
Developed World Stock Fund		—
Flexibible Equities Fund		—
International Core Equity Fund		0.0	%^
International Growth Equity Fund		0.0	%^
International Intrinsic Value Extended Markets Fund		—
International Intrinsic Value Fund		0.0	%^
International Small Companies Fund		0.0	%^
Resources Fund		—
Risk Premium Fund		—
Tax-Managed International Equities Fund		0.0	%^

^ Rounds to 0.0%.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. Dollars at the close of regular trading on the NYSE, generally at 4:00 pm Boston time. Income and expenses denominated in foreign currencies are typically translated into U.S. Dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Investment and other risks

The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times:

	Currency Hedged Interna- tional Equity Fund	Developed World Stock Fund	Flexible Equities Fund	Interna- tional Core Equity Fund	Interna- tional Growth Equity Fund	Interna- tional Intrinsic Value Extended Markets Fund	Interna- tional Intrinsic Value Fund	Interna- tional Small Companies Fund	Resources Fund	Risk Premium Fund	Tax-Managed Interna- tional Equities Fund
Market Risk – Equities Risk	X	X	X	X	X	X	X	X	X	X	X
Options Risk										X
Liquidity Risk	X		X			X		X	X	X	X
Smaller Company Risk	X		X	X	X	X	X	X	X		X
Derivatives Risk	X	X	X	X	X	X	X	X	X	X	X
Non-U.S. Investment Risk	X	X	X	X	X	X	X	X	X	X	X
Currency Risk	X	X	X	X	X	X	X	X	X	X	X
Focused Investment Risk	X	X	X	X	X	X	X	X	X	X	X
Leveraging Risk	X	X	X	X	X	X	X	X	X		X
Counterparty Risk	X	X	X	X	X	X	X	X	X	X	X
Market Risk – Fixed Income Investments										X
Credit Risk										X
Short Sales Risk			X
Natural Resources Risk									X
Commodities Risk									X
Market Disruption and Geopolitical Risk	X	X	X	X	X	X	X	X	X	X	X
Large Shareholder Risk	X	X	X	X	X	X	X	X	X	X	X
Management and Operational Risk	X	X	X	X	X	X	X	X	X	X	X
Fund of Funds Risk	X
Non-Diversified Funds	X	X	X			X			X	X	X

Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.

Each Fund that invests in other GMO Funds and other investment companies is exposed to the risks to which the underlying funds in which it invests are exposed. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and, references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through other GMO Funds and other investment companies.

An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market value of their holdings will decline. Market risks include:

Equities Risk — Funds that invest in equities run the risk that the market prices of those investments will decline. The market prices of equities may decline for reasons that directly relate to the issuing company, such as poor management performance or reduced demand for its goods or services. They also may decline due to factors that affect a particular industry, such as a decline in demand, labor or raw material shortages or increased production costs. In addition, market prices may decline as a result of general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. Equities generally have significant price volatility and the market prices of equities can decline in a rapid or unpredictable manner.

The Funds invest a substantial portion of their assets in equities and, as a result, declines in stock market prices generally are likely to reduce the net asset values of those Funds’ shares.

If a Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate to or will decline from that value for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments.

The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.

Because of Risk Premium Fund’s emphasis on selling put options on stock indices, the Fund’s shares are expected to decline in value when those indices decline in value. Also, Risk Premium Fund’s investment strategy of writing put options on stock indices can be expected to cause the Fund to underperform the equity markets on which its puts were written when those markets rise rapidly because the Fund does not have exposure to the upside of the equity markets.

• OPTIONS RISK. There are various risks associated with transactions in exchange-traded and OTC options. The market value of options written by the Fund will be affected by many factors, including changes in the value of underlying securities or indices; changes in the dividend rates of underlying securities (or in the case of indices, the securities comprising such indices); changes in interest rates or exchange rates; changes in the actual or perceived volatility of the stock market and underlying securities; and the remaining time to an option’s expiration. The market value of an option also may be adversely affected if the market for the option is reduced or becomes less liquid. In addition, since an American style option allows the holder to exercise its rights any time prior to expiration of the option, the writer of an American style option has no control over the time when it may be required to fulfill its obligations as a writer of the option. This risk is not present when writing a European style option because the holder may only exercise the option on its expiration date. If the Fund writes a call option and does not hold the underlying security or instrument, the amount of the Fund’s potential loss is theoretically unlimited.

National securities exchanges generally have established limits on the maximum number of options an investor or group of investors acting in concert may write. The Fund, the Manager, and other funds advised by the Manager may constitute such a group. These limits could restrict the Fund’s ability to purchase or sell options on a particular security.

Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While this type of arrangement allows the Fund greater flexibility to tailor an option to its needs, participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets. Therefore, OTC options generally expose the Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and selling put and call options are highly specialized activities and entail greater than ordinary market risks.

Special tax rules apply to the Fund’s transactions in options, which could increase the amount of taxes payable by shareholders. In particular, the Fund’s options transactions potentially could cause a substantial portion of the Fund’s income to consist of net short-term capital gains, which, when distributed, are taxable to shareholders as ordinary income. Due to Risk Premium Fund’s primary investment strategy of selling put options on various stock indices, a substantial portion of that Fund’s income could consist of short-term capital gains.

• LIQUIDITY RISK. Liquidity risk is the risk that low trading volume, lack of a market maker, large position size or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits or prevents a Fund from selling particular securities or unwinding derivative positions at desirable prices. In addition to these risks, a Fund is also exposed to liquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). All of the Funds are subject to liquidity risk, but those with the greatest risk have principal investment strategies that involve investment in asset-backed securities, emerging country debt securities, securities of companies with smaller market capitalizations or smaller total float-adjusted market capitalizations and emerging market securities. These types of investments can be difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the value placed on them when they were held by the Fund. In addition, Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”) have exhibited periods of greatly reduced liquidity when disruptions in fixed income markets have occurred, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when market prices decline generally.

All of the Funds with benchmarks may buy securities that are less liquid than those in their benchmarks.

Risk Premium Fund’s ability to use options as part of its investment program depends on the liquidity of those instruments. In addition, a liquid market may not exist when Risk Premium Fund seeks to close out an option position. Also, the hours of trading for options on an exchange may not conform to the hours during which the securities held by the Fund are traded. To the extent that the options markets close before the markets for the underlying securities, significant price and rate movements can take place in the markets for underlying securities that are not immediately reflected in the options markets. If Risk Premium Fund receives a redemption request and is unable to close out an option that it has sold, the Fund may temporarily be leveraged in relation to its assets.

• SMALLER COMPANY RISK. Companies with smaller market capitalizations, including small- and mid-cap companies, may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more than the securities of companies with larger market capitalizations. In addition, market risk and liquidity risk are particularly pronounced for securities of these companies.

• DERIVATIVES RISK. The Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates or indices. Derivatives involve the risk that changes in their value may not move as expected relative to the assets, rates or indices they are designed to track. Derivatives include futures, non-U.S. currency contracts, swap agreements, reverse repurchase agreements and other OTC contracts. Derivatives may relate to securities, interest rates, currencies or currency exchange rates, inflation rates, commodities and indices.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks of investing directly in securities and other more traditional assets. In particular, a Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed only with the consent of the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed to it under OTC derivatives contracts, or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., forward currency contracts), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs the risk of having limited recourse if the counterparty defaults. Even when obligations are required by contract to be collateralized, a Fund often will not receive the collateral the day the collateral is called for. The Funds may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Funds. Derivatives risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. In addition, during those periods, a Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives in which it has invested.

Derivatives also present other risks described in this section, including market risk, liquidity risk, currency risk, credit risk and counterparty risk. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values a Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of a Fund’s net asset value.

A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures, potentially resulting in losses for the Fund.

Swap agreements and other OTC derivatives are highly susceptible to liquidity risk (see “Liquidity Risk” above) and counterparty risk (see “Counterparty Risk” below), and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself.

A Fund’s use of derivatives may be subject to one or more special tax rules and could generate additional taxable income for shareholders.

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. Because the legislation leaves much to rule making (and many of the rules are not yet final), its ultimate impact remains unclear.

Under recently adopted rules and regulations, transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds will hold cleared derivatives through accounts at clearing members. In cleared derivatives transactions, the Funds will make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.

In many ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements. For example, the Funds may be required to provide more margin for cleared derivatives transactions than for bilateral derivatives transactions. Also, in contrast to a bilateral derivatives transaction, following a period of notice to a Fund, a clearing member generally can require termination of an existing cleared derivatives transaction at any time or an increase in margin requirements above the margin that the clearing member required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions or to terminate those transactions at any time. Any increase in margin requirements or termination of existing cleared derivatives transactions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member, because (as described under “Counterparty Risk” below) margin for cleared derivatives transactions in excess of a clearing house’s margin requirements typically is held by the clearing member. Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of the transaction, including loss of an increase in the value of the transaction and/or loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member and typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent.

These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund, increasing margin or capital requirements, or otherwise limiting liquidity or increasing transaction costs. These regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that the new clearing mechanisms will achieve that result, and in the meantime, as noted above, central clearing exposes the Funds to new kinds of risks and costs.

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to additional and more varied risks than Funds whose investments are limited to U.S. securities. The securities markets of many non-U.S. countries include securities of only a limited number of companies in a limited number of industries. As a result, the market prices of many of those securities fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to the same degree of regulation as U.S. issuers. Reporting, accounting, custody and auditing standards of non-U.S. countries differ, in some cases significantly, from U.S. standards. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs. In addition, some jurisdictions may limit the Fund’s ability to profit from short term trading (as defined in the relevant jurisdiction).

A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments and (iii) the repatriation of proceeds generated from the sale of those investments. A Fund may seek to collect a refund in respect of taxes paid to a non-U.S. country. In those cases, all or a portion of those taxes could ultimately be recovered by a Fund. However, the recovery process could take several years and the Fund will incur expenses in its efforts to collect the refund, which will reduce the benefit of any recovery. A Fund’s efforts to collect a refund may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. A Fund’s decision to pursue a refund is in its sole discretion, and it may decide not to pursue a refund, even if eligible.

Also, investing in non-U.S. securities exposes a Fund to the risk of nationalization, expropriation or confiscatory taxation of assets of their issuers, adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments.

In some non-U.S. markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the U.S. with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Fluctuations in non-U.S. currency exchange rates also will affect the market value of a Fund’s non-U.S. investments (see “Currency Risk” below).

U.S. investors are required to maintain a license to invest directly in many non-U.S. markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license is terminated or suspended, to obtain exposure to the market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of the Manager’s clients may preclude other clients, including a Fund, from obtaining a similar license, and this could limit the Fund’s investment opportunities. In addition, the activities of another of the Manager’s clients could cause the suspension or revocation of a license and thereby limit the Funds’ investment opportunities.

Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of assets of issuers of securities in a Fund’s portfolio; greater governmental involvement in the economy; less governmental supervision and regulation of the securities markets and participants in those markets; controls on non-U.S. investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. Dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e., a market freeze); unavailability of currency hedging techniques; differences in, or lack of, auditing and financial reporting standards and resulting unavailability of material information about issuers; slower clearance and settlement; difficulties in obtaining and/or enforcing legal judgments; and significantly smaller market capitalizations of issuers.

• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the non-U.S. currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position, will decline in value relative to the U.S. Dollar. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss both on the hedging instrument and on the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons, including changes in supply and demand in the currency exchange markets, trade balances, actual or perceived changes in interest rates, differences in relative values of similar assets in different currencies, long-term opportunities for investment and capital appreciation, intervention (or the failure to intervene) by governments, central banks or supranational agencies such as the International Monetary Fund, and currency or exchange controls or other political and economic developments in the U.S. or abroad. See “Market Disruption and Geopolitical Risk” below.

Many of the Funds use derivatives to take overweighted or underweighted currency positions relative to the currency exposure of their portfolios. As a result, their currency exposure may differ (in some cases significantly) from the currency exposure of their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money both on its holdings of a particular currency and on the derivative. See also “Non-U.S. Investment Risk” above.

Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. Dollars, in which case the Manager may decide to purchase U.S. Dollars in a parallel market in which the exchange rate is materially and adversely different. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.

Derivative transactions in non-U.S. currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described below under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk” below).

• FOCUSED INVESTMENT RISK. Funds whose investments are focused in particular countries, regions, sectors, companies or industries with high positive correlations to one another (e.g., different industries within broad sectors, such as technology or financial services), or in securities from issuers with high positive correlations to one another (such as U.S.Treasury Fund’s investments in securities issued by the U.S. Treasury and other fixed income securities that are backed by the full faith and credit of the U.S. government), are subject to greater overall risk than funds whose investments are more diversified. A Fund that invests in the securities of a limited number of issuers is particularly exposed to adverse developments affecting those issuers, and a decline in the market price of a particular security held by the Fund is likely to affect the Fund’s performance more than if the Fund invested in the securities of a larger number of issuers.

A Fund that focuses its investments in a particular type of security or sector, or in securities of companies in a particular industry, is vulnerable to events affecting those securities, sectors, or companies. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments.

Similarly, Funds having a significant portion of their assets in investments tied economically to (or related to) a particular geographic region, non-U.S. country (e.g., Taiwan) or particular market (e.g., emerging markets) have more exposure to regional and country economic risks than funds making non-U.S. investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in currency valuation in one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk” above.

Because Risk Premium Fund can have substantial exposure through a limited number of options contracts and because the Fund’s exposures may relate to a relatively small number of U.S. and/or international stock indices, the Fund is subject to additional risk.

• LEVERAGING RISK. The use of reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives have the potential for unlimited loss, regardless of the size of the initial investment. A Fund’s use of reverse repurchase agreements also subjects it to interest cost based on the difference between the sale and repurchase price of the security involved. A Fund’s portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.

A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.

• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise hold investments it would prefer to sell, resulting in losses for the Fund. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties maintain a specific rating by a nationally recognized rating organization to be considered for potential transactions. To the extent that GMO’s view with respect to a particular counterparty changes (whether due to external events or otherwise), existing transactions are not required to be terminated or modified. Additionally, new transactions may be entered into with a counterparty that is no longer considered eligible if the transaction is primarily designed to reduce the overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lesser notional amount). Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies, but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time that events may occur that prevent settlement. Counterparty risk also is greater when a Fund has concentrated its derivatives with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Significant exposure to a single counterparty increases a Fund’s counterparty risk. Funds that use swap agreements are subject, in particular, to the creditworthiness of the counterparties because some types of swap agreements have durations longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be promptly posted as required.

The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds.

Counterparty risk with respect to derivatives will be affected by new rules and regulations affecting the derivatives market. As described under “Derivatives Risk” above, some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position, rather than the credit risk of its original counterparty to the derivatives transaction. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. A clearing member is obligated by contract and by applicable regulation to segregate all funds received from customers with respect to cleared derivatives transactions from the clearing member’s proprietary assets. However, all funds and other property received by a clearing member from its customers with respect to cleared derivatives are generally held by the clearing member on a commingled basis in an omnibus account, and the clearing member may invest those funds in certain instruments permitted under the applicable regulations. Therefore, a Fund might not be fully protected in the event of the bankruptcy of a Fund’s clearing member because the Fund would be limited to recovering only a pro rata share of all available funds segregated on behalf of the clearing member’s customers for a relevant account class. Also, the clearing member is required to transfer to the clearing house the amount of margin required by the clearing house for cleared derivatives, which amounts are generally held in an omnibus account at the clearing house for all customers of the clearing member. Regulations promulgated by the Commodities Futures Trading Commission require that the clearing member notify the clearing house of the initial margin provided by the clearing member to the clearing house that is attributable to each customer. However, if the clearing member does not accurately report the Funds’ initial margin, the Funds are subject to the risk that a clearing house will use a Fund’s assets held in an omnibus account at the clearing house to satisfy payment obligations of a defaulting customer of the clearing member to the clearing house. In addition, clearing members generally provide the clearing house the net amount of variation margin required for cleared swaps for all of its customers in the aggregate, rather than individually for each customer. The Funds are therefore subject to the risk that a clearing house will not make variation margin payments owed to a Fund if another customer of the clearing member has suffered a loss and is in default, and the risk that a Fund will be required to provide additional variation margin to the clearing house before the clearing house will move the Fund’s cleared derivatives transactions to another clearing member. In addition, if a clearing member does not comply with the applicable regulations or its agreement with the Funds, or in the event of fraud or misappropriation of customer assets by a clearing member, a Fund could have only an unsecured creditor claim in an insolvency of the clearing member with respect to the margin held by the clearing member.

• MARKET RISK – Fixed Income Investments. Funds that invest in fixed income securities (including bonds, notes, bills, synthetic debt instruments and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to a number of market-related factors, including rising (or, in some limited cases, declining) interest rates and widening credit spreads, or decreased liquidity that reflect the market’s uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market price of fixed income investments with complex structures, such as asset-backed securities and sovereign and quasi-sovereign debt instruments, can decline due to market uncertainty about their credit quality and the reliability of their payment streams. During periods of economic uncertainty and change, the market price of a Fund’s investments in below investment grade securities (commonly referred to as “junk bonds”) may be particularly volatile. Often junk bonds are subject to greater sensitivity to interest rate and economic changes than higher rated bonds and can be more difficult to value, resulting in differences between the prices realized on their sale and the value at which they are carried on the books of a Fund. See “Credit Risk” below and “Liquidity Risk” above for more information about these risks.

A risk run by each Fund with a significant investment in fixed income securities is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases in interest rates (also called “interest rate risk”) is generally greater for Funds investing in fixed income securities with longer durations and in some cases duration can increase.

The extent to which a fixed income security’s price changes with changes in interest rates is referred to as interest rate duration, which can be measured mathematically or empirically. A longer maturity investment generally has longer interest rate duration because the investment’s fixed rate is locked in for a longer period of time. Floating-rate or adjustable-rate securities, however, generally have shorter interest rate durations because their interest rates are not fixed but rather float up and down as interest rates change. Conversely, inverse floating-rate securities have durations that move in the opposite direction from short-term interest rates and thus tend to underperform fixed rate securities when interest rates rise but outperform them when interest rates decline. Fixed income securities paying no interest, such as zero coupon and principal-only securities, create additional interest rate risk.

The market price of inflation-indexed bonds (including Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”)) normally changes when real interest rates change. Their value typically will decline during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increase during periods of declining real interest rates. Real interest rates may not fluctuate in the same manner as nominal interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities. The price of a Fund’s inflation-indexed bonds, however, will not necessarily change in the same proportion as changes in nominal interest rates, and short term increases in inflation may lead to a decline in their price. Moreover, if the index measuring inflation falls, the principal value of inflation-indexed bond investments will be adjusted downward, and, consequently, the interest they pay (calculated with respect to a smaller principal amount) will be reduced. In the case of TIPS, the U.S. government guarantees the repayment of the original bond principal upon maturity (as adjusted for inflation).

Generally, when interest rates on short term U.S. Treasury obligations equal or approach zero, a Fund that invests a substantial portion of its assets in U.S. Treasury obligations, such as U.S. Treasury Fund, will have a negative return unless the Manager waives or reduces its management fees.

Market risk for fixed income securities denominated in non-U.S. currencies is also affected by currency risk.

• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an
asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer’s, guarantor’s or obligor’s failure to meet its payment obligations or the downgrading of its credit rating. This risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

All fixed income securities are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending upon whether the issuer is a corporation or U.S. or non-U.S. government (or sub-division or instrumentality) and whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the life of a fixed income security. U.S. government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the United States, supported by the ability to borrow from the U.S. Treasury, supported only by the credit of the issuing U.S. government agency, instrumentality, or corporation, or otherwise supported by the United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign debt involve the risk that the governmental entities responsible for repayment may be unable or unwilling to pay interest and repay principal when due. A governmental entity’s willingness or ability to pay interest and repay principal in a timely manner may be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. In addition, payment of principal of fixed income securities guaranteed by the U.S. government can be delayed because the guarantee generally only requires payment upon maturity of the securities. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer may default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued by emerging countries.

In some cases, the credit risk of a fixed income security is reflected in its credit ratings, and a Fund holding such a security is subject to the risk that its rating will be downgraded.

Securities issued by the U.S. Treasury historically have presented minimal credit risk. However, recent events have led to a downgrade in the long-term U.S. credit rating by at least one major rating agency and have introduced greater uncertainty about the ability of the U.S. to repay its obligations. A further credit rating downgrade or a U.S. credit default could decrease the value and increase the volatility of the Fund’s investments.

Asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors.

The obligations of issuers also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives Risk” above for more information regarding risks associated with the use of credit default swaps.

The extent to which the market price of a fixed income security changes in response to a credit event depends on a number of factors and can be difficult to predict. For example, floating rate securities may have final maturities of ten or more years, but their effective durations will tend to be very short. If the issuer of floating rate securities experiences an adverse credit event, or a change occurs in its perceived creditworthiness, the market price of its securities could decline much more than would be predicted by a change in their yield relative to their effective duration.

Credit risk is particularly pronounced for below investment grade securities (commonly referred to as “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many asset backed securities also are below investment grade. Below investment grade securities have speculative characteristics, often are less liquid than higher quality securities, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. In the event of default of sovereign debt, the Funds may be unable to pursue legal action against the sovereign issuer.

• SHORT SALES RISK. Some Funds may use short sales in their investment programs in an attempt to increase their returns or for hedging purposes.

In implementing its principal investment strategy, Flexible Equities Fund is permitted to engage in short sales of securities or currencies that it does not own. To do so, the Fund borrows a security (e.g., shares of an exchange-traded fund (“ETF”)) or currency from a broker and sells it to a third party. This type of short sale exposes the Fund to the risk that it will be required to acquire, convert, or exchange securities or currencies to replace the borrowed securities at a time when the securities or currencies sold short have appreciated in value, thus resulting in a loss to the Fund. If a Fund engages in short sales of securities or currencies it does not own, it may have to pay a premium to borrow the securities or currencies

and must pay to the lender any dividends or interest it receives on the securities or currencies while they are borrowed. In addition, purchasing securities or currencies to close out a short position can itself cause the price of the securities or currencies to rise further, thereby exacerbating any losses.

Short sales of securities or currencies the Fund does not own involves a form of investment leverage, and the amount of a Fund’s potential loss is theoretically unlimited. Flexible Equities Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own.

• NATURAL RESOURCES RISK. Resources Fund concentrates its investments in the natural resources sector, and so is particularly exposed to adverse developments, including adverse price movements, affecting issuers in the natural resources sector and is subject to greater risks than a fund that invests in a wider range of industries. In addition, the market prices of securities of companies in the natural resources sector may be more volatile than those of securities of companies in other industries. Some of the commodities used as raw materials or produced by these companies are subject to broad price fluctuations as a result of industry wide supply and demand factors. Companies in the natural resources sector often have limited pricing power over supplies or for the products they sell, which can affect their profitability. Companies in the natural resources sector also may be subject to special risks associated with natural or man-made disasters. In addition, the natural resources sector can be especially affected by political and economic developments, government regulations including changes in tax law or interpretations of law, energy conservation, and the success of exploration projects. Specifically, the natural resource sector can be significantly affected by import controls, worldwide competition, changes in consumer sentiment and spending, and can be subject to liability for, among other things, environmental damage, depletion of resources, and mandated expenditures for safety and pollution control.

Resources Fund’s concentration in the securities of natural resource companies exposes it to the price movements of natural resources to a greater extent than if it were more broadly diversified. Because Resources Fund invests primarily in the natural resources sector, it runs the risk of performing poorly during an economic downturn or a decline in demand for natural resources.

• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors, including changes in overall market movements, real or perceived inflationary trends, commodity index volatility, changes in interest rates or currency exchange rates, population growth and changing demographics, nationalization, expropriation, or other confiscation, international regulatory, political and economic developments (e.g., regime changes and changes in economic activity levels), and developments affecting a particular industry or commodity, such as drought, floods or other weather conditions, livestock disease, trade embargoes, competition from substitute products, transportation bottlenecks or shortages, fluctuations in supply and demand, and tariffs. Alternative Asset Opportunity Fund invests in commodity-related derivatives. The value of these derivatives may fluctuate more than the commodity or commodities or commodity index to which they relate. Certain Funds are exposed to the risks of investments in commodities to the extent they invest in Alternative Asset Opportunity Fund.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events will disrupt securities markets, adversely affect global economies and markets and thereby decrease the value of the Funds’ investments. The wars in Iraq and Afghanistan have had a substantial effect on the economies and securities markets of the U.S. and other countries. Terrorism in the U.S. and around the world has had a similar global impact and has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation (e.g., the potential manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trade practices, which could disrupt the orderly functioning of these markets or adversely affect the value of investments traded in these markets, including investments of the Funds. While the U.S. government has honored its credit obligations continuously for the last 200 years, it remains possible that the U.S. could default on its obligations. While it is impossible to predict the consequences of such an unprecedented event, it is likely that a default by the U.S. would be highly disruptive to the U.S. and global securities markets and could significantly impair the value of the Funds’ investments. Similarly, political events within the U.S. at times have resulted, and may in the future result, in a shutdown of government services, which could negatively affect the U.S. economy, decrease the value of many Fund investments, and increase uncertainty in or impair the operation of the U.S. or other securities markets. The uncertainty surrounding the sovereign debt of a significant number of European Union countries as well as the continued existence of the European Union itself, have disrupted and may continue to disrupt markets in the U.S. and around the world. If one or more countries leave the European Union or the European Union dissolves, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls), also could negatively impact the Funds. War, terrorism, economic uncertainty and related geopolitical events have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment and other factors affecting the value of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs for a period of time and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis. To the extent that a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events could have a disproportionate impact on the Fund.

• LARGE SHAREHOLDER RISK. To the extent that a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance if it is forced to sell portfolio securities to raise the cash needed to satisfy the redemption request. In addition, GMO Funds and other accounts over which GMO has investment discretion that invest in the Funds are not subject to restrictions on the frequency of trading of Fund shares. Asset Allocation Funds and separate accounts managed by the Manager for its clients hold substantial percentages of the shares of many Funds, and asset allocation decisions by the Manager may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) at times when it would not otherwise do so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, accelerate the realization of taxable income to shareholders. They also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any). In addition, each Fund that invests in other GMO Funds subject to large shareholder risk is indirectly subject to this risk.

• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on the Manager’s ability to achieve its investment objective. Each Fund runs the risk that the Manager’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. The Manager also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.

For some Funds the Manager’s portfolio managers use quantitative analyses and models. Any imperfections, errors or limitations in those analyses and models could affect the ability of the portfolio managers to implement a Fund’s strategies. By necessity, these analyses and models make simplifying assumptions that limit their effectiveness. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate or may not include the most recent information about a company or a security. The Funds also run the risk that GMO’s assessment of an investment may be wrong. There can be no assurance that key personnel of the Manager will continue to be employed by the Manager. The loss of their services could have an adverse impact on the Manager’s ability to achieve the Funds’ investment objectives.

The Funds also are subject to the risk of loss as a result of other services provided by the Manager and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error and system failures by a service provider. For example, trading delays or errors (both human and systematic) could prevent a Fund from benefiting from potential investment gains or avoiding losses on the security. The Manager is not contractually liable to the Funds for losses associated with operational risk absent the Manager’s willful misfeasance, bad faith, gross negligence or reckless disregard of its contractual obligations to provide services to the Funds. Other Fund service providers also have limitations on their liability to the Funds for losses resulting from their errors.

• FUND OF FUNDS RISK AND RELATED CONSIDERATIONS. Funds that invest in shares of other investment companies, including other GMO Funds, money market funds and ETFs (for purposes of this risk disclosure, “underlying Funds”), are exposed to the risk that the underlying Funds will not perform as expected.

Because a Fund bears the fees and expenses of the underlying Funds in which it invests (absent reimbursement of those expenses), the Fund will incur additional expenses when investing in underlying Funds. In addition, total Fund expenses will increase if a Fund makes a new or further investment in underlying Funds with higher fees or expenses than the average fees and expenses of the underlying Funds then in the Fund’s portfolio.

The Funds also are indirectly exposed to all of the risks of an investment in the underlying Funds. Because some of their underlying Funds (e.g., many of the Fixed Income Funds) invest a substantial portion of their assets in other GMO Funds (pursuant to an exemptive order obtained from the SEC), the Asset Allocation Funds have more tiers of investments than funds in many other groups of investment companies. Many of the Funds that invest in shares of other GMO Funds are subject indirectly to Large Shareholder Risk because those other GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk” above.

Investments in ETFs involve the risk that the ETF’s performance may not track the performance of the index the ETF is designed to track. Unlike the index, an ETF incurs administrative expenses and transaction costs in trading securities. In addition, the timing and magnitude of cash inflows and outflows from and to investors buying and redeeming shares in the ETF could create cash balances that cause the ETF’s performance to deviate from the index (which remains “fully invested” at all times). Performance of an ETF and the index it is designed to track also may diverge because the composition of the index and the securities held by the ETF may occasionally differ. In addition, ETFs often use derivatives to track the performance of the relevant index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed above.

• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the Investment Company Act of 1940 Act, as amended (the “1940 Act”). This means they are allowed to invest in the securities of a relatively small number of issuers and/or non-U.S. currencies. As a result, they may be subject to greater credit, market and other risks, and poor performance by a single issuer may have a greater impact on their performance, than if they were “diversified.”

The following Funds are not diversified investment companies under the 1940 Act:

• Currency Hedged International Equity Fund

• Developed World Stock Fund

• Flexible Equities Fund

• International Intrinsic Value Extended Markets Fund

• Resources Fund

• Risk Premium Fund

• Tax-Managed International Equities Fund

In addition, Currency Hedged International Equity Fund invests a portion of its assets in shares of one or more other GMO Funds that are not diversified investment companies under the 1940 Act.

Temporary Defensive Positions. The Funds (other than Flexible Equities Fund) normally do not take temporary defensive positions. Flexible Equities Fund may, from time to time, take temporary defensive positions. To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.

Derivative financial instruments

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of the Funds’ portfolios. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap agreements, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Funds may use derivatives as substitutes for direct investment in securities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap agreements and options) to gain exposure to a given currency.

The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). A Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their investment exposure, the Funds also may use currency derivatives in an attempt to adjust their currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by their portfolio investments.

The Funds may use derivatives to effect transactions intended as substitutes for securities lending.

The Funds may have investment exposures in excess of their net assets (i.e., they may be leveraged). A Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

While the Manager expects that Risk Premium Fund’s option positions typically will be fully collateralized at the time when the Fund is selling them, from time to time the Fund may have investment exposures in excess of its net assets (i.e., it may be leveraged). For example, if the Fund receives a redemption request and is unable to close out an option it had sold, the Fund may temporarily have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and therefore be subject to heightened risk of loss. The Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices. The Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

Certain derivatives transactions used by the Funds, including certain interest rate swaps and certain credit default index swaps, will be required to be cleared. The Funds will hold cleared derivatives transactions through clearing members, who are futures commission merchants who are members of derivatives clearing houses. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing members generally can require termination of existing cleared derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investments and other risks” above for further information.

For Funds that held derivatives during the period ended May 31, 2013, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use

Currency Hedged Interna- tional Equity Fund

Developed World Stock Fund

Flexible Equities Fund

Interna- tional Core Equity Fund

Interna- tional Growth Equity Fund

Interna- tional Intrinsic Value Extended Markets Fund

Interna- tional Intrinsic Value Fund

Interna- tional Small Companies Fund

Resources Fund

Risk Premium Fund

Tax-Managed Interna- tional Equities Fund

Forward currency contracts

Adjust exposure to foreign currencies

X

X

X

X

X

X

X

X

To manage against anticipated currency exchange rate changes

X

X

X

X

X

X

X

X

To hedge foreign currency exposure in the underlying Funds’ investments relative to the U.S. Dollar

X

Futures  contracts

Adjust exposure to certain securities markets

X

X

X

X

X

X

Maintain the diversity and liquidity of the portfolio

X

X

X

X

X

X

X

Options (Written)

Used written put option contracts as a substitute for direct equity investment

X

Swap agreements

To achieve returns comparable to holding and lending a direct equity position

Rights and/or warrants

Received as a result of corporate actions

X

X

X

X

X

X

X

X

Forward currency contracts

The Funds may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked to market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Futures contracts

The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Options

The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

The Funds may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

When an option contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed.

For the period ended May 31, 2013, investment activity in options contracts written by the Funds were as follows:

	Puts								Calls
	Principal Amount of Contracts		Number of Contracts			Premiums			Principal Amount of Contracts		Number of Contracts		Premiums
Risk Premium Fund
Outstanding, beginning of period		—		12,048		$	10,179,773			—		—	$	—
Options written		—		42,409			42,035,099			—		—		—
Options bought back		—		(13,134	)		(10,902,965	)		—		—		—
Options expired		—		(27,201	)		(27,932,962	)		—		—		—
Options exercised		—		(75	)		(363,366	)		—		—		—
Outstanding, end of period		—		14,047		$	13,015,579			—		—	$	—

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Funds value OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Funds may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap agreements are net settled. When entering into a swap agreement and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Initial upfront payments received or made upon entering into a swap agreement are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or loss.

Interest rate swap agreements involve an exchange by the parties of their respective commitments to pay or right to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal).

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

Generally, the Funds price their swap agreements daily using industry standard models that may incorporate quotations from market makers or pricing vendors (and if the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the quotations will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close) and record the change in value, if any, as unrealized gain or loss. Gains or losses are realized upon termination of the swap agreements or reset dates, as appropriate.

Swap agreements generally are not traded on publicly traded exchanges. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Rights and warrants

The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.

The following is a summary of the fair valuations of derivative instruments categorized by risk exposure:

Fair values of Derivatives Instruments as of May 31, 2013:

	Credit Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Currency Hedged International Equity Fund
Asset:
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—		$	2,286,651		$	—	$	—	$	2,286,651
Total	$	—	$	—		$	2,286,651		$	—	$	—	$	2,286,651
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(24,841,369	)	$	—	$	—	$	(24,841,369	)
Total	$	—	$	—		$	(24,841,369	)	$	—	$	—	$	(24,841,369	)
Developed World Stock Fund
Asset:
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—		$	747,625		$	—	$	—	$	747,625
Unrealized Appreciation on Futures Contracts*		—		556,644			—			—		—		556,644
Total	$	—	$	556,644		$	747,625		$	—	$	—	$	1,304,269
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(674,536	)	$	—	$	—	$	(674,536	)
Unrealized Depreciation on Futures Contracts*		—		(50,787	)		—			—		—		(50,787	)
Total	$	—	$	(50,787	)	$	(674,536	)	$	—	$	—	$	(725,323	)
Flexible Equities Fund
Asset:
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—		$	4,225		$	—	$	—	$	4,225
Total	$	—	$	—		$	4,225		$	—	$	—	$	4,225
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(9,129,755	)	$	—	$	—	$	(9,129,755	)
Unrealized Depreciation on Futures Contracts*		—		(3,017,762	)		—			—		—		(3,017,762	)
Total	$	—	$	(3,017,762	)	$	(9,129,755	)	$	—	$	—	$	(12,147,517	)
International Core Equity Fund
Asset:
Investments, at value (rights and/or warrants)	$	—	$	75,836		$	—		$	—	$	—	$	75,836
Unrealized Appreciation on Forward Currency Contracts		—		—			14,768,478			—		—		14,768,478
Unrealized Appreciation on Futures Contracts*		—		3,290,253			—			—		—		3,290,253
Total	$	—	$	3,366,089		$	14,768,478		$	—	$	—	$	18,134,567
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(11,722,961	)	$	—	$	—	$	(11,722,961	)
Unrealized Depreciation on Futures Contracts*		—		(2,010,820	)		—			—		—		(2,010,820	)
Total	$	—	$	(2,010,820	)	$	(11,722,961	)	$	—	$	—	$	(13,733,781	)
International Growth Equity Fund
Asset:
Investments, at value (rights and/or warrants)	$	—	$	96,651		$	—		$	—	$	—	$	96,651
Unrealized Appreciation on Forward Currency Contracts		—		—			5,769,868			—		—		5,769,868
Unrealized Appreciation on Futures Contracts*		—		6,317,079			—			—		—		6,317,079
Total	$	—	$	6,413,730		$	5,769,868		$	—	$	—	$	12,183,598
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(1,979,033	)	$	—	$	—	$	(1,979,033	)
Unrealized Depreciation on Futures Contracts*		—		(2,619,910	)		—			—		—		(2,619,910	)
Total	$	—	$	(2,619,910	)	$	(1,979,033	)	$	—	$	—	$	(4,598,943	)

	Credit Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
International Intrinsic Value Extended Markets Fund
Asset:
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—		$	961,741		$	—	$	—	$	961,741
Unrealized Appreciation on Futures Contracts*		—		1,045,049			—			—		—		1,045,049
Total	$	—	$	1,045,049		$	961,741		$	—	$	—	$	2,006,790
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(773,105	)	$	—	$	—	$	(773,105	)
Unrealized Depreciation on Futures Contracts*		—		(57,807	)		—			—		—		(57,807	)
Total	$	—	$	(57,807	)	$	(773,105	)	$	—	$	—	$	(830,912	)
International Intrinsic Value Fund
Assets:
Investments, at value (rights and/or warrants)	$	—	$	0	**	$	—		$	—	$	—	$	0	**
Unrealized Appreciation on Forward Currency Contracts		—		—			9,191,348			—		—		9,191,348
Unrealized Appreciation on Futures Contracts*		—		27,317,045			—			—		—		27,317,045
Total	$	—	$	27,317,045		$	9,191,348		$	—	$	—	$	36,508,393
Liabilities:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(14,818,702	)	$	—	$	—	$	(14,818,702	)
Unrealized Depreciation on Futures Contracts*		—		(2,087,308	)		—			—		—		(2,087,308	)
Total	$	—	$	(2,087,308	)	$	(14,818,702	)	$	—	$	—	$	(16,906,010	)
International Small Companies Fund
Asset:
Investments, at value (rights and/or warrants)	$	—	$	177,498		$	—		$	—	$	—	$	177,498
Unrealized Appreciation on Forward Currency Contracts		—		—			440,564			—		—		440,564
Unrealized Appreciation on Futures Contracts*		—		918,411			—			—		—		918,411
Total	$	—	$	1,095,909		$	440,564		$	—	$	—	$	1,536,473
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(327,116	)	$	—	$	—	$	(327,116	)
Unrealized Depreciation on Futures Contracts*		—		(101,892	)		—			—		—		(101,892	)
Total	$	—	$	(101,892	)	$	(327,116	)	$	—	$	—	$	(429,008	)
Risk Premium Fund
Liability:
Written Options, at value	$	—	$	(27,447,551	)	$	—		$	—	$	—	$	(27,447,551	)
Total	$	—	$	(27,447,551	)	$	—		$	—	$	—	$	(27,447,551	)
Tax-Managed International Equities Fund
Asset:
Investments, at value (rights and/or warrants)	$	—	$	61,082		$	—		$	—	$	—	$	61,082
Unrealized Appreciation on Forward Currency Contracts		—		—			768,736			—		—		768,736
Total	$	—	$	61,082		$	768,736		$	—	$	—	$	829,818
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(691,502	)	$	—	$	—	$	(691,502	)
Total	$	—	$	—		$	(691,502	)	$	—	$	—	$	(691,502	)

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.

* The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments.

** Represents an interest in securities that were determined to have a fair value of zero at May 31, 2013.

The average volume of derivative activity, based on absolute values (forward currency contracts, futures contracts, rights and/or warrants) or, number of contracts (options) outstanding at each month-end, was as follows for the period ended May 31, 2013:

	Forward Currency Contracts ($)		Futures Contracts ($)		Options ($)		Rights/ Warrants ($)
Currency Hedged International Equity Fund		2,160,351,250		—		—		—
Developed World Stock Fund		75,548,467		19,264,430		—		15,949
Flexible Equities Fund		592,470,308		41,087,939		—		—
International Core Equity Fund		1,184,845,242		267,809,516		—		38,432
International Growth Equity Fund		379,839,085		175,169,290		—		34,014
International Intrinsic Value Extended Markets Fund		109,602,716		21,775,595		—		32,751
International Intrinsic Value Fund		1,812,865,400		740,336,314		—		20
International Small Companies Fund		53,734,119		32,691,011		—		65,523
Resources Fund		—		—		—		1,271	*
Risk Premium Fund		—		—		14,019		—
Tax-Managed International Equities Fund		72,178,987		—		—		20,364

* During the period ended May 31, 2013, the Fund did not hold this investment type at any month-end, therefore, the average amount outstanding was calculated using daily outstanding absolute values.

Subsequent Events

The Board of Trustees of GMO Trust approved the liquidation of GMO International Intrinsic Value Extended Markets Fund and the Fund liquidated on June 13, 2013.

The Board of Trustees of GMO Trust approved the liquidation of GMO Flexible Equities Fund and the Fund is expected to liquidate on July 19, 2013.

Subsequent to May 31, 2013, GMO International Core Equity Fund received redemption requests in the amount of $1,288,677,695.

For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.

Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 89.2%
		Brazil — 6.4%
	214,560	Banco do Brasil SA		2,522,468
	11,805	Banco Santander Brasil SA		83,502
	78,295	Banco Santander Brasil SA ADR		558,243
	15,300	BM&FBOVESPA SA		99,224
	7,900	BR Malls Participacoes SA		80,630
	11,800	BR Properties SA		113,769
	7,100	Brasil Brokers Participacoes SA		22,177
	79,252	Cielo SA		2,004,427
	10,450	Duratex SA		71,137
	1,900	Fibria Celulose SA *		20,856
	200	Fleury SA		1,868
	64,500	Gerdau SA		363,787
	7,455	Localiza Rent a Car SA		113,854
	4,700	LPS Brasil Consultoria de Imoveis SA		41,036
	3,200	Multiplan Empreendimentos Imobiliarios SA		82,921
	5,800	Multiplus SA		93,670
	7,500	Qualicorp SA *		66,358
	3,800	Totvs SA		65,610
	21,800	Vale SA		311,458
	122,400	Vale SA Sponsored ADR		1,762,560
		Total Brazil		8,479,555
		China — 22.5%
	224,200	Agile Property Holdings Ltd		271,074
	1,067,802	Agricultural Bank of China Ltd-Class H		499,217
	48,000	Air China Ltd-Class H		39,467
	13,500	Anhui Conch Cement Co Ltd-Class H		43,932
	100	Baidu Inc Sponsored ADR *		9,664
	4,447,000	Bank of China Ltd-Class H		2,088,843
	646,100	Bank of Communications Co Ltd-Class H		491,850
	39,450	Beijing Enterprises Holdings Ltd		321,933
	66,000	Brilliance China Automotive Holdings Ltd *		75,667
	955,000	China CITIC Bank Corp-Class H		511,255
	419,900	China Coal Energy Co Ltd-Class H		273,427
	856,840	China Communications Construction Co Ltd-Class H		794,968
	627,160	China Communications Services Corp Ltd-Class H		410,438
	3,707,720	China Construction Bank-Class H		2,994,022
	37,000	China Life Insurance Co Ltd-Class H *		94,693
	12,000	China Mengniu Dairy Co Ltd		42,057
	110,000	China Merchants Bank Co Ltd-Class H		220,140
	319,500	China Minsheng Banking Corp Ltd		390,356
	463,464	China Mobile Ltd		4,885,953
	3,682	China Mobile Ltd Sponsored ADR		190,728
	198,000	China National Building Material Co Ltd-Class H		209,648
	44,000	China Oilfield Services Ltd-Class H		92,511
	193,600	China Overseas Land & Investment Ltd		572,652
	1,105,083	China Petroleum & Chemical Corp-Class H		1,129,823

Shares		Description	Value ($)
		China — continued
	32,000	China Resources Cement Holdings Ltd		16,821
	34,000	China Resources Land Ltd		103,877
	136,000	China Shenhua Energy Co Ltd-Class H		443,658
	16,000	China State Construction International Holdings Ltd		25,598
	300	China Telecom Corp Ltd ADR		13,935
	3,001,900	China Telecom Corp Ltd-Class H		1,426,334
	360,000	China Unicom Hong Kong Ltd		492,778
	10,300	China Unicom Hong Kong Ltd ADR		139,565
	338,200	Citic Pacific Ltd		397,658
	697,000	CNOOC Ltd		1,219,173
	1,649	CNOOC Ltd ADR		286,662
	108,991	Cosco Pacific Ltd		159,853
	277,000	Country Garden Holdings Co		158,686
	1,379	Ctrip.com International Ltd ADR *		42,956
	597,800	Dongfeng Motor Group Co Ltd-Class H		938,651
	1,588,000	Evergrande Real Estate Group Ltd		633,423
	30,000	Geely Automobile Holdings Ltd		14,743
	31,000	Great Wall Motor Co Ltd-Class H		146,841
	156,800	Guangzhou R&F Properties Co Ltd-Class H		290,569
	318,000	Hopson Development Holdings Ltd *		550,913
	72,000	Huaneng Power International Inc-Class H		73,247
	4,250,000	Industrial and Commercial Bank of China Ltd-Class H		2,984,422
	16,100	Inner Mongolia Yitai Coal Co Ltd-Class B		82,041
	76,000	Jiangsu Expressway Co Ltd		92,561
	36,000	Jiangxi Copper Co Ltd-Class H		69,092
	26,000	Kunlun Energy Co Ltd		49,621
	144,000	Lenovo Group Ltd		147,346
	120,500	Longfor Properties		203,802
	5,200	New Oriental Education & Technology Group Inc Sponsored ADR		116,116
	700	PetroChina Co Ltd ADR		80,976
	86,653	PetroChina Co Ltd-Class H		100,381
	68,600	PICC Property & Casualty Co Ltd-Class H		80,844
	17,500	Ping An Insurance (Group) Co of China Ltd-Class H		129,536
	69,000	Shanghai Industrial Holdings Ltd		210,836
	243,396	Shimao Property Holdings Ltd		523,041
	210,251	Sino-Ocean Land Holdings Ltd		128,456
	56,500	Sun Art Retail Group Ltd		79,520
	580,000	Yangzijiang Shipbuilding Holdings Ltd		402,493
	700	Yanzhou Coal Mining Co Ltd Sponsored ADR		7,042
	130,000	Yanzhou Coal Mining Co Ltd-Class H		131,114
	12,000	Zhejiang Expressway Co Ltd-Class H		10,590
		Total China		29,860,089
		Czech Republic — 1.6%
	59,526	CEZ AS		1,649,232
	1,261	Komercni Banka AS		238,360
	3,575	Pegas Nonwovens SA		99,347

Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Czech Republic — continued
	282	Philip Morris CR AS		156,084
		Total Czech Republic		2,143,023
		Egypt — 0.9%
	14,835	Alexandria Mineral Oils Co		148,379
	36,806	ElSwedy Electric Co		110,287
	8,570	Orascom Construction Industries *		288,683
	30,403	Orascom Telecom Holding SAE GDR (Registered Shares) *		98,404
	1,170,780	Orascom Telecom Media And Technology Holding SAE		81,935
	19,791	Oriental Weavers Co		66,522
	34,712	Sidi Kerir Petrochemicals Co		65,124
	131,908	South Valley Cement *		75,181
	131,514	Telecom Egypt Co		255,385
		Total Egypt		1,189,900
		France — 0.3%
	785	Casino Guichard-Perrachon SA		82,115
	4,169	Danone SA		307,820
		Total France		389,935
		Hungary — 0.1%
	6,522	Magyar Telekom Telecommunications Plc		10,308
	3,403	OTP Bank Plc		72,290
		Total Hungary		82,598
		India — 3.3%
	2,755	Apollo Hospitals Enterprise Ltd		49,068
	613	Bank of Baroda		7,218
	3,285	Cadila Healthcare Ltd		44,700
	42,791	Cairn India Ltd		214,690
	9,898	Canara Bank Ltd		72,348
	14,706	Cipla Ltd		96,819
	1,435	Colgate-Palmolive India Ltd		36,931
	8,699	Dewan Housing Finance Corp Ltd		24,922
	505	Grasim Industries Ltd (a)		26,300
	20,331	HCL Technologies Ltd		268,107
	500	HDFC Bank Ltd ADR		20,120
	43,717	Hindalco Industries Ltd		78,828
	7,279	Indian Oil Corp Ltd		36,838
	9,984	Infosys Technologies Ltd		423,349
	14,060	Infosys Technologies Ltd Sponsored ADR		587,005
	13,181	Kajaria Ceramics Ltd		57,228
	5,991	Lupin Ltd		78,761
	157,335	Manappuram Finance Ltd		48,335
	25,799	Mphasis Ltd		224,308
	27,006	Oil & Natural Gas Corp Ltd		155,436
	17,790	Power Finance Corp		57,504
	4,335	Punjab National Bank Ltd (a)		61,593
	1,577	Reliance Industries Ltd		22,397

Shares		Description	Value ($)
		India — continued
	52,260	Rural Electrification Corp Ltd		204,181
	91,071	Sesa Goa Ltd		259,494
	71,643	Steel Authority of India Ltd		71,092
	86,939	Sterlite Industries India Ltd		142,481
	3,100	Sterlite Industries India Ltd ADR		20,522
	4,751	Sun Pharmaceutical Industries Ltd		86,903
	8,415	Sun TV Network Ltd		61,769
	18,998	Tata Consultancy Services Ltd		503,913
	1,343	Ultratech Cement Ltd		44,698
	3,873	Union Bank of India		15,010
	26,298	Wipro Ltd		154,016
	8,746	Wipro Ltd ADR		66,732
		Total India		4,323,616
		Indonesia — 6.5%
	1,023,000	ACE Hardware Indonesia Tbk PT		99,104
	4,218,500	Astra International Tbk PT		3,032,915
	17,900	Bank Central Asia Tbk PT		18,822
	194,816	Bank Danamon Indonesia Tbk PT		114,112
	1,028,672	Bank Mandiri Persero Tbk PT		1,015,845
	289,000	Bank Negara Indonesia Persero Tbk PT		143,264
	1,215,500	Bank Rakyat Indonesia Persero Tbk PT		1,099,096
	1,116,500	Global Mediacom Tbk PT		295,859
	114,000	Indosat Tbk PT		60,402
	929,000	Kalbe Farma Tbk PT		137,131
	310,000	Lippo Karawaci Tbk PT		58,233
	1,325,500	Media Nusantara Citra Tbk PT		450,753
	242,715	Semen Gresik Persero Tbk PT		444,953
	816,500	Telekomunikasi Indonesia Persero Tbk PT		916,795
	15,200	Telekomunikasi Indonesia Tbk PT Sponsored ADR		687,040
	19,500	XL Axiata Tbk PT		9,946
		Total Indonesia		8,584,270
		Malaysia — 0.4%
	90,880	AMMB Holdings Berhad		215,376
	110,100	CIMB Group Holdings Berhad		294,729
	18,070	Hong Leong Bank Berhad		82,517
		Total Malaysia		592,622
		Mexico — 2.7%
	16,300	Alsea SA		45,692
	373,100	America Movil SAB de CV-Class L		374,319
	97,140	America Movil SAB de CV-Class L ADR		1,934,058
	30,900	Fibra Uno Administracion SA de CV (REIT)		107,270
	12,600	Fomento Economico Mexicano SAB de CV		137,061
	791	Fomento Economico Mexicano Sponsored ADR		85,895
	19,600	Grupo Financiero Banorte SAB de CV-Class O		125,301
	14,000	Grupo Financiero Santander Mexico SAB de CV *		221,480

Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Mexico — continued
	58,600	Grupo Financiero Santander Mexico SAB de CV-Class B		189,169
	3,800	Grupo Televisa SAB Sponsored ADR		99,104
	30,700	Grupo Televisa SAB-Series CPO		160,488
	50,300	Wal-Mart de Mexico SAB de CV-Class V		148,401
		Total Mexico		3,628,238
		Morocco — 0.1%
	15,613	Maroc Telecom		187,905
		Netherlands — 0.0%
	4,700	VimpelCom Ltd Sponsored ADR		46,765
		Peru — 1.2%
	61,937	Compania de Minas Buenaventura SA ADR		1,111,769
	1,078	Credicorp Ltd		148,354
	10,500	Southern Copper Corp		327,075
		Total Peru		1,587,198
		Philippines — 1.6%
	234,200	BDO Unibank Inc *		514,176
	149,800	Bloomberry Resorts Corp *		42,775
	127,300	First Gen Corp *		63,084
	25,100	GT Capital Holdings Inc		444,209
	1,901,800	Lopez Holding Corp *		271,735
	130,847	Metropolitan Bank & Trust		389,923
	4,755	Philippine Long Distance Telephone Co		347,184
	84,500	Puregold Price Club Inc		68,817
	3,120	San Miguel Corp		6,782
		Total Philippines		2,148,685
		Poland — 2.0%
	142	Asseco Poland SA		1,822
	318	Bank Handlowy W Warszawie SA		9,524
	354	Jastrzebska Spolka Weglowa SA		8,581
	59,503	KGHM Polska Miedz SA		2,658,345
		Total Poland		2,678,272
		Russia — 11.1%
	7,100	CTC Media Inc		84,774
	2,682	Eurasia Drilling Co Ltd GDR		109,135
	6,614	Gazprom Neft JSC Sponsored ADR *		124,190
	44,716	Gazprom Neft-Class S		169,273
	574,644	Gazprom OAO Sponsored ADR *		4,285,319
	46,022	KamAZ		43,534
	53,832	Lukoil OAO Sponsored ADR		3,150,006
	1,691	Magnit OJSC		379,593
	876	Magnit OJSC GDR		47,459
	2,908	Mail.ru Group Ltd GDR (Registered Shares)		81,052
	14,600	Mobile Telesystems Sponsored ADR		281,342
	16,393	Moscow Exchange MICEX-RTS		27,395

Shares		Description	Value ($)
		Russia — continued
	108,860	Rosneft OJSC GDR (Registered)		714,666
	607	Rostelecom OJSC		11,351
	248,552	Sberbank Sponsored ADR *		3,022,010
	1,855	Sistema JSFC Sponsored GDR (Registered Shares)		35,033
	113,212	Surgutneftegas Sponsored ADR *		845,943
	21,138	Tatneft Sponsored ADR *		725,943
	230,998	VTB Bank OJSC GDR (Registered Shares) *		659,462
		Total Russia		14,797,480
		South Africa — 1.8%
	82,147	African Bank Investments Ltd		130,202
	2,950	African Rainbow Minerals Ltd		52,480
	1,087	AngloGold Ashanti Ltd		19,721
	3,671	AngloGold Ashanti Ltd Sponsored ADR		66,592
	1,720	Bidvest Group Ltd		44,170
	17,319	Coronation Fund Managers Ltd		107,451
	13,902	Exxaro Resources Ltd		218,021
	21,735	FirstRand Ltd		63,459
	5,727	Gold Fields Ltd		34,796
	9,100	Gold Fields Ltd Sponsored ADR		55,237
	67,090	Growthpoint Properties Ltd		168,828
	1,831	Kumba Iron Ore Ltd		93,905
	18,261	MTN Group Ltd		330,572
	2,850	Naspers Ltd-N Shares		209,817
	2,515	Remgro Ltd		49,340
	27,519	RMB Holdings Ltd		108,604
	2,002	Sanlam Ltd		9,375
	8,493	Sasol Ltd		378,777
	1,300	Sasol Ltd Sponsored ADR		57,694
	500	Sibanye Gold Ltd Sponsored ADR *		1,810
	4,750	Sibanye Gold Ltd *		4,002
	96,154	Telkom South Africa Ltd *		142,157
	5,309	Vodacom Group Ltd		58,925
		Total South Africa		2,405,935
		South Korea — 14.3%
	211	Cheil Industries Inc		16,991
	8,090	Daewoo Securities Co Ltd		78,346
	15,682	DGB Financial Group Inc		233,575
	3,900	Dongbu Insurance Co Ltd		171,134
	7,555	GS Holdings		365,701
	45,751	Hana Financial Group Inc		1,525,793
	15,877	Hanwha Corp		440,961
	84	Honam Petrochemical Corp		12,075
	1,350	Hyosung Corp		70,442
	1,280	Hyundai Hysco		38,989
	3,304	Hyundai Mobis		826,356
	6,170	Hyundai Motor Co		1,147,479
	7,323	Hyundai Steel Co		461,549
	215	Hyundai Wia Corp		31,167

Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	51,635	Industrial Bank of Korea		567,424
	7,802	INTOPS Co Ltd		208,655
	2,060	Kangwon Land Inc		63,191
	32,596	KB Financial Group Inc		1,058,031
	1,700	KB Financial Group Inc ADR		55,505
	35,165	Kia Motors Corp		1,824,848
	109	Korea Kumho Petrochemical Co Ltd		9,013
	777	Korea Zinc Co Ltd		222,298
	19,440	KT Corp		664,573
	29,500	KT Corp Sponsored ADR		497,370
	1,257	LG Chem Ltd		299,333
	16,398	LG Uplus Corp *		169,291
	101	Lotte Shopping Co Ltd		32,554
	5,384	POSCO		1,524,119
	777	POSCO ADR		54,895
	47,580	Samho International Co Ltd *		91,496
	934	Samsung Fire & Marine Insurance Co Ltd		188,191
	1,293	Samsung Life Insurance Co Ltd		120,113
	570	Samsung Securities Co Ltd		25,449
	1,223	Samsung Electronics Co Ltd		1,647,822
	25,593	Shinhan Financial Group Co Ltd		912,452
	8,227	SK Innovation Co Ltd		1,066,781
	73	SK Telecom Co Ltd		13,478
	68,339	SK Telecom Co Ltd ADR		1,387,282
	81,274	Woori Finance Holdings Co Ltd		846,529
		Total South Korea		18,971,251
		Taiwan — 5.1%
	13,871	Asustek Computer Inc		151,870
	741,000	AU Optronics Corp *		337,036
	2,400	AU Optronics Corp Sponsored ADR *		10,704
	46,900	Cheng Shin Rubber Industry Co Ltd		139,683
	288,884	Chunghwa Telecom Co Ltd		918,244
	1,199,577	Compal Electronics Inc		732,620
	38,000	Delta Electronics Inc		181,199
	198,914	Far EasTone Telecommunications Co Ltd		474,035
	64,000	Fubon Financial Holding Co Ltd		84,179
	7,000	Giant Manufacturing Co Ltd		48,524
	244,600	Hon Hai Precision Industry Co Ltd		618,797
	28,000	Innolux Display Corp *		18,685
	1,640	Largan Precision Co Ltd		52,863
	193,669	Lite-On Technology Corp		308,090
	3,793	Novatek Microelectronics Corp Ltd		19,147
	145,100	Powertech Technology Inc		260,995
	830,200	ProMOS Technologies Inc * (a)		—
	238,715	Quanta Computer Inc		511,232
	36,000	Sinopac Holdings Co		17,587
	765,898	Taishin Financial Holding Co Ltd		327,608
	143,928	Taiwan Mobile Co Ltd		524,604
	54,660	Taiwan Semiconductor Manufacturing Co Ltd		198,751
	4,596	TPK Holding Co Ltd		90,466

Shares		Description	Value ($)
		Taiwan — continued
	188,000	United Microelectronics Corp		82,592
	20,400	United Microelectronics Corp Sponsored ADR		44,268
	619,664	Wistron Corp		633,431
		Total Taiwan		6,787,210
		Thailand — 5.0%
	108,590	Advanced Info Service Pcl(Foreign Registered)		939,156
	13,200	Airports of Thailand Pcl (Foreign Registered)		80,401
	145,700	Bangkok Dusit Medical Service Pcl (Foreign Registered)		810,416
	41,200	Bank of Ayudhya Pcl (Foreign Registered) (a)		48,097
	32,550	Banpu Pcl (Foreign Registered)		320,553
	472,000	BTS Rail Mass Transit Growth Infrastructure Fund *		176,172
	122,800	Charoen Pokphand Foods Pcl (Foreign Registered)		117,408
	83,600	Electricity Generating Pcl (Foreign Registered)		433,181
	477,200	Hemaraj Land and Development Pcl (Foreign Registered)		62,769
	90,790	Home Product Center Pcl (Foreign Registered)		48,381
	477,200	Jasmine International Pcl (Foreign Registered)		142,098
	47,110	Kasikornbank Pcl (Foreign Registered) (a)		302,595
	14,300	Kasikornbank Pcl NVDR		91,851
	52,027	PTT Exploration & Production Pcl (Foreign Registered)		260,127
	157,722	PTT Pcl (Foreign Registered)		1,690,508
	47,480	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered) (a)		85,427
	5,400	Ratchaburi Electricity Generating Holding Pcl NVDR		9,805
	636,900	Sansiri Pcl (Foreign Registered)		84,275
	65,700	Shin Corp Pcl		192,424
	38,200	Shin Corp Pcl (Foreign Registered) (a)		115,645
	5,739	Siam Cement Pcl (Foreign Registered) (a)		87,695
	12,200	Siam Cement Pcl NVDR		186,423
	27,100	Thai Airways International Pcl (Foreign Registered)		29,965
	20,300	Thai Airways International Pcl NVDR		22,446
	89,900	Thai Oil Pcl (Foreign Registered)		188,962
	113,000	Thai Tap Water Supply Pcl (Foreign Registered)		40,278
	20,250	Total Access Communication Pcl (Foreign Registered) (a)		79,564
	6,000	Total Access Communication Pcl NVDR		22,705
		Total Thailand		6,669,327
		Turkey — 1.5%
	7,977	Arcelik AS		60,432
	812	BIM Birlesik Magazalar AS		38,330

Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Turkey — continued
	3,557	Bizim Toptan Satis Magazalari AS		61,074
	27,459	Dogus Otomotiv Servis ve Ticaret AS		170,701
	47,299	Haci Omer Sabanci Holding AS		301,959
	5,777	Tofas Turk Otomobil Fabrikasi AS		43,143
	89,679	Turk Telekomunikasyon AS		345,343
	1,590	Turk Traktor ve Ziraat Makineleri AS		50,015
	38,696	Turkcell Iletisim Hizmet AS *		238,126
	61,158	Turkiye Garanti Bankasi AS		315,227
	5,700	Turkiye IS Bankasi-Class C		21,086
	38,231	Turkiye Vakiflar Bankasi TAO-Class D		120,988
	24,685	Turkiye Halk Bankasi AS		263,923
		Total Turkey		2,030,347
		United Kingdom — 0.5%
	2,424	British American Tobacco Plc		133,196
	500	British American Tobacco Plc Sponsored ADR		54,885
	600	Unilever Plc Sponsored ADR		25,206
	11,277	Unilever Plc		473,694
		Total United Kingdom		686,981
		United States — 0.3%
	4,441	Colgate-Palmolive Co.		256,867
	2,000	Tupperware Brands Corp.		161,960
		Total United States		418,827
		TOTAL COMMON STOCKS (COST $126,729,126)		118,690,029
		PREFERRED STOCKS — 7.8%
		Brazil — 5.3%
	32,543	Banco Bradesco SA 0.21%		519,643
	28,300	Banco do Estado do Rio Grande do Sul SA-Class B 0.98%		217,885
	65,200	Bradespar SA 2.43%		664,846
	800	Braskem SA Sponsored ADR *		12,600
	1,200	Companhia de Bebidas das Americas 2.32%		45,410
	3,700	Companhia de Bebidas das Americas ADR 2.43%		140,859
	36,400	Gerdau SA Sponsored ADR 0.62%		222,404
	4,800	Gol Linhas Aereas Inteligentes SA *		20,977
	2,300	Gol Linhas Aereas Inteligentes SA ADR *		10,258
	77,913	Itau Unibanco Holding SA ADR 0.59%		1,171,812
	155,134	Itausa-Investimentos Itau SA 0.65%		669,268
	22,700	Klabin SA 2.09%		134,496
	44,500	Metalurgica Gerdau SA 0.49%		341,780
	8,000	Randon Participacoes SA 0.03%		48,483
	14,400	Suzano Papel e Celulose SA 1.25%		51,568
	19,400	Usinas Siderrurgicas de Minas Gerais SA *		80,705
	49,400	Vale SA 0.35%		667,262
	147,630	Vale SA Sponsored ADR 2.87%		1,990,052
		Total Brazil		7,010,308

Shares		Description	Value ($)
		Russia — 1.9%
	91,591	Sberbank 4.56%		208,212
	1,456,862	Surgutneftegaz OJSC *		881,005
	722	Transneft 0.94%		1,522,618
		Total Russia		2,611,835
		South Korea — 0.6%
	3,733	Hyundai Motor Co 2.15%		304,893
	527	Samsung Electronics Co Ltd (Non-Voting) 0.81%		456,943
		Total South Korea		761,836
		TOTAL PREFERRED STOCKS (COST $12,003,914)		10,383,979
		INVESTMENT FUNDS — 1.5%
		United States — 1.5%
	49,245	iShares MSCI Emerging Markets Index Fund		2,029,387
		TOTAL INVESTMENT FUNDS (COST $2,101,712)		2,029,387
		RIGHTS/WARRANTS — 0.0%
		China — 0.0%
	7,546	PICC Property & Casualty Co Ltd-Class H, Expires 06/30/13 *		3,733
		TOTAL RIGHTS/WARRANTS (COST $3,999)		3,733
		MUTUAL FUNDS — 0.8%
		United States — 0.8%
		Affiliated Issuers
	40,707	GMO U.S. Treasury Fund		1,018,076
		TOTAL MUTUAL FUNDS (COST $1,018,076)		1,018,076
		SHORT-TERM INVESTMENTS — 0.3%
		Time Deposits — 0.3%
USD	79,685	BNP Paribas (Paris) Time Deposit, 0.06%, due 06/03/13		79,685
EUR	8	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.00%, due 06/03/13 (b)		10
HKD	2,242	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 06/03/13		289
SGD	29,089	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 06/03/13		22,953
USD	270,990	Societe Generale (Paris) Time Deposit, 0.06%, due 06/03/13		270,990
		Total Time Deposits		373,927

Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares	Description	Value ($)
	Time Deposits — continued
	TOTAL SHORT-TERM INVESTMENTS (COST $373,927)		373,927
	TOTAL INVESTMENTS — 99.6% (Cost $142,230,754)		132,499,131
	Other Assets and Liabilities (net) — 0.4%		471,000
	TOTAL NET ASSETS — 100.0%		$132,970,131

Notes to Schedule of Investments:

ADR - American Depositary Receipt

CPO - Ordinary Participation Certificate (Certificado de Participacion Ordinares), representing a bundle of shares of the multiple series of one issuer that trade together as a unit.

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

GDR - Global Depository Receipt

NVDR - Non-Voting Depository Receipt

OJSC - Open Joint-Stock Company

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust.

(b) Rounds to 0.00%.

Currency Abbreviations:

EUR - Euro

HKD - Hong Kong Dollar

SGD - Singapore Dollar

USD - United States Dollar

Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 91.6%
		Belgium — 0.9%
	225,254	Anheuser-Busch InBev NV		20,742,593
		Brazil — 2.9%
	1,563,975	Localiza Rent a Car SA		23,885,340
	814,100	LPS Brasil Consultoria de Imoveis SA		7,107,886
	1,201,900	Multiplus SA		19,410,646
	1,229,200	Qualicorp SA *		10,875,591
	435,500	Smiles SA *		5,038,608
		Total Brazil		66,318,071
		China — 8.2%
	3,989,500	Beijing Enterprises Holdings Ltd		32,556,434
	12,964,000	Brilliance China Automotive Holdings Ltd *		14,862,894
	3,694,000	China Mengniu Dairy Co Ltd		12,946,617
	1,973,530	China Mobile Ltd		20,805,445
	78,100	China Mobile Ltd Sponsored ADR		4,045,580
	6,136,000	Dongfeng Motor Group Co Ltd-Class H		9,634,596
	2,175,000	Galaxy Entertainment Group Ltd *		11,290,628
	3,152,000	Great Wall Motor Co Ltd-Class H		14,930,418
	14,974,000	Jiangsu Expressway Co Ltd		18,236,909
	1,196,400	New Oriental Education & Technology Group Inc Sponsored ADR		26,715,612
	2,367,200	Sands China Ltd		12,504,607
	7,148,900	Sun Art Retail Group Ltd		10,061,614
		Total China		188,591,354
		France — 4.5%
	166,953	Casino Guichard-Perrachon SA		17,464,140
	942,688	Danone SA		69,603,763
	96,723	L’Oreal SA		16,304,720
		Total France		103,372,623
		India — 2.6%
	471,124	Apollo Hospitals Enterprise Ltd		8,390,940
	571,954	Cadila Healthcare Ltd		7,782,766
	239,487	Colgate-Palmolive India Ltd		6,163,347
	1,484,844	Kajaria Ceramics Ltd		6,446,804
	1,177,197	Lupin Ltd		15,476,091
	12,584,578	Manappuram Finance Ltd		3,866,157
	1,607,010	Sun TV Network Ltd		11,796,039
		Total India		59,922,144
		Indonesia — 5.3%
	163,011,640	ACE Hardware Indonesia Tbk PT		15,791,897
	24,747,350	Bank Mandiri Persero Tbk PT		24,438,761
	21,312,000	Bank Negara Indonesia Persero Tbk PT		10,564,828
	7,272,800	First Real Estate Investment Trust		7,447,481
	54,566,500	Lippo Karawaci Tbk PT		10,250,208

Shares		Description	Value ($)
		Indonesia — continued
	31,350,500	Media Nusantara Citra Tbk PT		10,661,135
	15,335,700	Semen Gresik Persero Tbk PT		28,113,895
	18,155,000	Sumber Alfaria Trijaya Tbk PT		13,172,883
	1,434,500	Tempo Scan Pacific Tbk PT		698,315
		Total Indonesia		121,139,403
		Japan — 0.3%
	255,500	Suzuki Motor Corp		6,216,116
		Malaysia — 2.3%
	4,829,000	AMMB Holdings Berhad		11,444,205
	15,816,700	CIMB Group Holdings Berhad		42,340,137
		Total Malaysia		53,784,342
		Mexico — 2.9%
	2,451,300	Alsea SA		6,871,486
	6,470,500	Fibra Uno Administracion SA de CV (REIT)		22,462,495
	1,407,400	Grupo Financiero Santander Mexico SAB de CV *		22,265,068
	407,600	Grupo Televisa SAB Sponsored ADR		10,630,208
	1,033,400	Grupo Televisa SAB-Series CPO		5,402,236
		Total Mexico		67,631,493
		Nigeria — 0.7%
	2,349,249	Nestle Nigeria Plc		15,378,121
		Panama — 2.8%
	487,800	Copa Holdings SA-Class A		64,057,896
		Peru — 0.7%
	126,100	Credicorp Ltd		17,353,882
		Philippines — 9.2%
	9,211,324	BDO Unibank Inc *		20,223,066
	24,988,800	Bloomberry Resorts Corp *		7,135,520
	26,717,150	First Gen Corp *		13,239,761
	34,021,040	GMA Holdings Inc		7,872,959
	2,971,520	GT Capital Holdings Inc		52,588,660
	80,148,600	LT Group Inc *		46,737,734
	4,559,700	Metropolitan Bank & Trust		13,587,888
	168,979	Philippine Long Distance Telephone Co		12,337,911
	81,350	Philippine Long Distance Telephone Co Sponsored ADR		5,855,573
	1,632,660	Philippine National Bank *		3,697,620
	16,700,000	Philweb Corp		6,236,113
	16,796,397	Puregold Price Club Inc		13,679,044
	1,120,870	Semirara Mining Corp		7,365,162
		Total Philippines		210,557,011

Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Russia — 3.3%
	1,381,700	CTC Media Inc		16,497,498
	34,604	Magnit OJSC		7,767,853
	185,671	Magnit OJSC GDR		10,059,143
	590,584	Mail.ru Group Ltd GDR (Registered Shares)		16,460,739
	1,035,700	Mobile Telesystems Sponsored ADR		19,957,939
	3,053,777	Moscow Exchange MICEX-RTS		5,103,295
		Total Russia		75,846,467
		South Africa — 1.5%
	331,396	Bidvest Group Ltd		8,510,243
	2,527,693	Coronation Fund Managers Ltd		15,682,401
	3,751,036	Growthpoint Properties Ltd		9,439,269
		Total South Africa		33,631,913
		Switzerland — 1.8%
	619,939	Nestle SA (Registered)		41,067,632
		Taiwan — 0.2%
	799,000	Giant Manufacturing Co Ltd		5,538,679
		Thailand — 16.2%
	5,516,700	Advanced Info Service Pcl(Foreign Registered)		47,711,979
	2,467,600	Airports of Thailand Pcl (Foreign Registered)		15,030,094
	1,201,400	Bangkok Bank Pcl NVDR		8,113,913
	2,996,075	Bangkok Dusit Medical Service Pcl (Foreign Registered)		16,664,837
	185,916,384	BTS Rail Mass Transit Growth Infrastructure Fund *		69,392,408
	51	Charoen Pokphand Foods Pcl (Foreign Registered)		49
	1,944,100	Electricity Generating Pcl (Foreign Registered)		10,073,538
	79,944,200	Hemaraj Land and Development Pcl (Foreign Registered)		10,515,582
	15,745,650	Home Product Center Pcl (Foreign Registered)		8,390,620
	97,546,900	Jasmine International Pcl (Foreign Registered)		29,046,983
	2,633,405	Kasikornbank Pcl NVDR		16,914,762
	6,933,538	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered) (a)		12,474,947
	1,855,300	Ratchaburi Electricity Generating Holding Pcl NVDR		3,368,714
	90,433,300	Sansiri Pcl (Foreign Registered)		11,966,254
	8,860,200	Shin Corp Pcl		25,950,001
	5,685,900	Shin Corp Pcl (Foreign Registered) (a)		17,213,227
	1,524,400	Siam Cement Pcl NVDR		23,293,772
	5,003,800	Thai Airways International Pcl (Foreign Registered)		5,532,747
	3,765,500	Thai Airways International Pcl NVDR		4,163,547

Shares		Description	Value ($)
		Thailand — continued
	2,929,300	Total Access Communication Pcl (Foreign Registered) (a)		11,509,426
	2,294,000	Total Access Communication Pcl NVDR		8,680,830
	2,977,800	Toyo-Thai Corp Pcl (Foreign Registered)		5,318,283
	2,088,075	VGI Global Media Pcl (Foreign Registered)		10,036,452
		Total Thailand		371,362,965
		Turkey — 5.4%
	130,061	BIM Birlesik Magazalar AS		6,139,398
	674,005	Bizim Toptan Satis Magazalari AS		11,572,772
	4,259,959	Dogus Otomotiv Servis ve Ticaret AS		26,482,394
	2,113,447	Pegasus Hava Tasimaciligi AS *		23,645,776
	280,177	Turk Traktor ve Ziraat Makineleri AS		8,813,210
	4,821,312	Turkiye Garanti Bankasi AS		24,850,469
	2,179,972	Turkiye Halk Bankasi AS		23,307,455
		Total Turkey		124,811,474
		United Kingdom — 11.6%
	751,820	British American Tobacco Plc		41,311,559
	1,716,304	Diageo Plc		50,699,445
	5,542,423	HSBC Holdings Plc		60,806,146
	176,700	Unilever Plc Sponsored ADR		7,423,167
	2,502,060	Unilever Plc		105,099,856
		Total United Kingdom		265,340,173
		United States — 8.3%
	1,308,700	Abbott Laboratories		47,990,029
	1,125,880	Colgate-Palmolive Co.		65,120,899
	185,500	Cummins, Inc.		22,191,365
	76,400	Mead Johnson Nutrition Co.		6,193,748
	390,800	Tupperware Brands Corp.		31,646,984
	250,800	Yum! Brands, Inc.		16,991,700
		Total United States		190,134,725
		TOTAL COMMON STOCKS (COST $1,929,266,054)		2,102,799,077
		PREFERRED STOCKS — 1.3%
		Brazil — 0.7%
	714,400	Gol Linhas Aereas Inteligentes SA *		3,122,039
	621,800	Gol Linhas Aereas Inteligentes SA ADR *		2,773,228
	1,532,000	Randon Participacoes SA 0.03%		9,284,415
		Total Brazil		15,179,682
		Russia — 0.6%
	6,052,667	Sberbank 4.56%		13,759,401
		TOTAL PREFERRED STOCKS (COST $31,949,154)		28,939,083

Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares / Par Value		Description	Value ($)
		INVESTMENT FUNDS — 0.2%
		Thailand — 0.2%
	13,255,583	CPN Commercial Growth Leasehold Property Fund		5,768,144
		TOTAL INVESTMENT FUNDS (COST $5,812,739)		5,768,144
		DEBT OBLIGATIONS — 0.3%
		India — 0.3%
	7,750,000	Jaiprakash Associates Ltd, 5.75%, due 09/08/17		7,688,469
		TOTAL DEBT OBLIGATIONS (COST $8,384,793)		7,688,469
		MUTUAL FUNDS — 4.8%
		United States — 4.8%
		Affiliated Issuers
	4,382,512	GMO U.S. Treasury Fund		109,606,617
		TOTAL MUTUAL FUNDS (COST $109,606,617)		109,606,617
		SHORT-TERM INVESTMENTS — 1.8%
		Time Deposits — 1.8%
USD	2,870,752	Australia and New Zealand Banking Group Ltd. (ANZ) Time Deposit, 0.06%, due 06/03/13		2,870,752

Par Value		Description	Value ($)
		Time Deposits — continued
USD	4,660,068	Bank of Tokyo-Mitsubishi (Tokyo) Time Deposit, 0.06%, due 06/03/13		4,660,068
USD	4,660,068	BNP Paribas (Paris) Time Deposit, 0.06%, due 06/03/13		4,660,068
SGD	88,449	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 06/03/13		69,969
USD	4,660,068	Citibank (New York) Time Deposit, 0.06%, due 06/03/13		4,660,068
USD	4,660,068	DnB Nor Bank (Oslo) Time Deposit, 0.06%, due 06/03/13		4,660,068
USD	4,660,068	Nordea Bank Norge ASA (Oslo) Time Deposit, 0.06%, due 06/03/13		4,660,068
USD	4,660,068	Skandinaviska Enskilda Banken, AB (Stockholm) Time Deposit, 0.06%, due 06/03/13		4,660,068
USD	4,660,068	Societe Generale (Paris) Time Deposit, 0.06%, due 06/03/13		4,660,068
USD	4,660,068	STD Charter Bank (London) Time Deposit, 0.06%, due 06/03/13		4,660,068
		Total Time Deposits		40,221,265
		TOTAL SHORT-TERM INVESTMENTS (COST $40,221,265)		40,221,265
		TOTAL INVESTMENTS — 100.0% (Cost $2,125,240,622)		2,295,022,655
		Other Assets and Liabilities (net) — (0.0%)		(32,982	)
		TOTAL NET ASSETS — 100.0%		$2,294,989,673

A summary of outstanding financial instruments at May 31, 2013 is as follows:

Swap Agreements

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund Receives	Net Unrealized Appreciation/ (Depreciation)
	25,015,655	USD	6/24/2013	JPM	MSCI Daily Total Return Thailand	1 month USD LIBOR BBA minus 0.20%	$	(204,386	)
	15,018,940	USD	6/24/2013	JPM	MSCI Daily Total Return Thailand	1 month USD LIBOR BBA minus 0.60%		626,338
	10,016,091	USD	6/24/2013	JPM	MSCI Daily Total Return Thailand	1 month USD LIBOR BBA minus 0.90%		404,488
	25,018,341	USD	6/24/2013	JPM	MSCI Daily Total Return Thailand	1 month USD LIBOR BBA minus 0.60%		390,382
	11,138,501	USD	6/24/2013	GS	MSCI Daily Total Return Thailand	1 month USD LIBOR BBA minus 1.00%		655,380
	15,004,216	USD	6/24/2013	JPM	MSCI Daily Total Return Thailand	1 month USD LIBOR BBA minus 0.60%		436,183
	11,007,401	USD	6/24/2013	JPM	MSCI Daily Total Return Thailand	1 month USD LIBOR BBA minus 0.60%		299,009
							$	2,607,394
					Premiums to (Pay) Receive		$	—

As of May 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Notes to Schedule of Investments:

ADR - American Depositary Receipt

BBA - British Banks Association

CPO - Ordinary Participation Certificate (Certificado de Participacion Ordinares), representing a bundle of shares of the multiple series of one issuer that trade together as a unit.

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

GDR - Global Depository Receipt

MSCI - Morgan Stanley Capital International

NVDR - Non-Voting Depository Receipt

OJSC - Open Joint-Stock Company

REIT - Real Estate Investment Trust

USD LIBOR - London Interbank Offered Rate denominated in United States Dollars.

* Non-income producing security.

(a) Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust.

Counterparty Abbreviations:

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

Currency Abbreviations:

SGD - Singapore Dollar

USD - United States Dollar

Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 90.2%
		Brazil — 6.6%
	14,359,400	Banco do Brasil SA		168,815,805
	697,300	Banco Santander Brasil SA		4,932,344
	5,526,700	Banco Santander Brasil SA ADR		39,405,371
	1,283,700	BM&FBOVESPA SA		8,325,051
	596,900	BR Malls Participacoes SA		6,092,181
	478,000	BR Properties SA		4,608,600
	552,590	Centrais Eletricas Brasileiras SA Sponsored ADR		1,425,682
	5,594,532	Cielo SA		141,495,844
	497,590	Duratex SA		3,387,273
	16,000	Fibria Celulose SA *		175,628
	71,200	Fibria Celulose SA Sponsored ADR *		781,776
	3,191,765	Gerdau SA		18,001,924
	619,000	Grupo BTG Pactual		9,499,734
	391,410	Localiza Rent a Car SA		5,977,692
	216,700	LPS Brasil Consultoria de Imoveis SA		1,892,002
	264,600	Multiplan Empreendimentos Imobiliarios SA		6,856,523
	598,200	Multiplus SA		9,660,911
	135,300	Porto Seguro SA		1,679,090
	1,440,300	Qualicorp SA *		12,743,340
	105,800	Smiles SA *		1,224,075
	178,102	Sul America SA		1,155,859
	174,500	Totvs SA		3,012,891
	2,405,600	Vale SA		34,368,923
	8,497,000	Vale SA Sponsored ADR		122,356,800
		Total Brazil		607,875,319
		China — 22.6%
	12,842,000	Agile Property Holdings Ltd		15,526,924
	72,144,000	Agricultural Bank of China Ltd-Class H		33,728,616
	1,320,000	Anton Oilfield Services Group/Hong Kong *		1,134,373
	7,981	Baidu Inc Sponsored ADR *		771,284
	298,404,152	Bank of China Ltd-Class H		140,166,265
	21,517,203	Bank of Communications Co Ltd-Class A *		16,500,427
	29,152,597	Bank of Communications Co Ltd-Class H		22,192,725
	1,710,000	Beijing Enterprises Holdings Ltd		13,954,506
	3,542,000	Brilliance China Automotive Holdings Ltd *		4,060,812
	2,961,000	Chaowei Power Holdings Ltd *		1,341,089
	52,423,390	China CITIC Bank Corp-Class H		28,064,646
	25,874,700	China Coal Energy Co Ltd-Class H		16,848,901
	45,030,550	China Communications Construction Co Ltd-Class H		41,778,919
	41,403,700	China Communications Services Corp Ltd-Class H		27,096,168
	17,969,856	China Construction Bank-Class A		14,029,547
	249,340,606	China Construction Bank-Class H		201,345,125
	14,109,600	China Eastern Airlines Corp Ltd-Class H *		4,627,422
	10,510,000	China Everbright International Ltd		8,521,975

Shares		Description	Value ($)
		China — continued
	12,152,000	China Everbright Ltd		19,712,447
	2,411,000	China High Speed Transmission Equipment Group Co Ltd *		1,244,512
	2,324,988	China Life Insurance Co Ltd-Class A		6,261,712
	2,607,000	China Life Insurance Co Ltd-Class H		6,671,990
	940,000	China Mengniu Dairy Co Ltd		3,294,483
	8,645,500	China Merchants Bank Co Ltd-Class H		17,302,018
	22,947,500	China Minsheng Banking Corp Ltd		28,036,577
	29,324,237	China Mobile Ltd		309,143,408
	726,600	China Mobile Ltd Sponsored ADR		37,637,880
	2,836,000	China Oilfield Services Ltd-Class H		5,962,733
	12,842,400	China Overseas Land & Investment Ltd		37,986,683
	3,288,927	China Pacific Insurance Group Co Ltd-Class A		9,917,491
	79,093,351	China Petroleum & Chemical Corp-Class H		80,864,041
	1,063,000	China Railway Construction Corp Ltd-Class A		886,201
	12,159,020	China Railway Construction Corp Ltd-Class H		11,970,545
	48,222,000	China Railway Group Ltd-Class H		25,047,113
	1,618,000	China Resources Land Ltd		4,943,304
	5,558,942	China Shenhua Energy Co Ltd-Class A		18,483,730
	8,142,500	China Shenhua Energy Co Ltd-Class H		26,562,395
	14,930,000	China Southern Airlines Co Ltd-Class H		6,859,220
	32,900	China Telecom Corp Ltd ADR		1,528,205
	200,756,800	China Telecom Corp Ltd-Class H		95,388,316
	25,223,200	China Unicom Hong Kong Ltd		34,526,231
	899,100	China Unicom Hong Kong Ltd ADR		12,182,805
	18,528,350	Citic Pacific Ltd		21,785,748
	610,994	CITIC Securities Co Ltd-Class A		1,287,910
	47,967,170	CNOOC Ltd		83,902,846
	33,420	CNOOC Ltd ADR		5,809,733
	78,300	Ctrip.com International Ltd ADR *		2,439,045
	4,297,000	Datang International Power Generation Co Ltd		1,770,788
	28,688,000	Dongfeng Motor Group Co Ltd-Class H		45,045,190
	95,062,474	Evergrande Real Estate Group Ltd		37,918,607
	1,269,000	Galaxy Entertainment Group Ltd *		6,587,497
	1,077,500	Great Wall Motor Co Ltd-Class H		5,103,910
	12,798,000	Guangzhou Automobile Group Co Ltd		13,493,070
	3,103,240	Guangzhou R&F Properties Co Ltd-Class H		5,750,678
	1,458,000	Harbin Power Equipment Co Ltd		1,202,262
	14,348,440	Hopson Development Holdings Ltd *		24,857,668
	4,236,000	Huaneng Power International Inc-Class H		4,309,337
	22,620,981	Industrial and Commercial Bank of China Ltd-Class A		15,384,557
	287,305,037	Industrial and Commercial Bank of China Ltd-Class H		201,750,493
	3,502,000	Jiangsu Expressway Co Ltd		4,265,103
	4,070,000	Kaisa Group Holdings Ltd *		1,150,512

Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		China — continued
	1,156,000	Kunlun Energy Co Ltd		2,206,207
	5,923,000	Lee & Man Paper Manufacturing Ltd		3,915,777
	5,647,600	Lenovo Group Ltd		5,778,829
	3,237,268	Longfor Properties		5,475,192
	4,766,800	Lonking Holdings Ltd *		1,073,819
	718,341	New Oriental Education & Technology Group Inc Sponsored ADR		16,040,555
	6,356,172	Peace Mark Holdings Ltd * (a) (b)		—
	39,000	PetroChina Co Ltd ADR		4,511,520
	15,601,121	PetroChina Co Ltd-Class H		18,072,737
	3,916,800	PICC Property & Casualty Co Ltd-Class H		4,615,903
	1,014,855	Ping An Insurance (Group) Co of China Ltd-Class A		6,522,271
	1,061,000	Ping An Insurance (Group) Co of China Ltd-Class H		7,853,603
	22,307,780	Poly Property Group Co Ltd *		14,921,289
	603,600	Sands China Ltd		3,188,485
	13,716,800	Shimao Property Holdings Ltd		29,476,420
	14,356,000	Skyworth Digital Holdings Ltd		9,627,221
	10,020,000	Sun Art Retail Group Ltd		14,102,501
	7,412,540	Sunac China Holdings Ltd		5,361,708
	676,784	Weichai Power Co Ltd-Class A		2,523,902
	2,499,098	Weichai Power Co Ltd-Class H		9,265,646
	31,002,000	Yangzijiang Shipbuilding Holdings Ltd		21,513,934
	38,800	Yanzhou Coal Mining Co Ltd Sponsored ADR		390,328
	10,720,000	Yanzhou Coal Mining Co Ltd-Class H		10,811,857
	1,520,000	Zhuzhou CSR Times Electric Co Ltd-Class H		4,661,818
		Total China		2,079,830,240
		Czech Republic — 1.6%
	4,187,528	CEZ AS		116,019,992
	93,745	Komercni Banka AS		17,720,131
	202,994	Pegas Nonwovens SA		5,641,085
	3,760	Philip Morris CR AS		2,081,115
		Total Czech Republic		141,462,323
		Egypt — 0.9%
	1,314,852	Al Ezz Steel Rebars SAE *		1,834,576
	1,305,058	Alexandria Mineral Oils Co		13,053,091
	1,600,668	ElSwedy Electric Co		4,796,282
	498,581	Orascom Construction Industries *		16,794,841
	3,877,253	Orascom Telecom Holding SAE GDR (Registered Shares) *		12,549,315
	52,025,370	Orascom Telecom Media And Technology Holding SAE		3,640,923
	6,816,674	Sidi Kerir Petrochemicals Co		12,788,993
	10,307,146	South Valley Cement *		5,874,560
	7,229,448	Telecom Egypt Co		14,038,745
		Total Egypt		85,371,326

Shares		Description	Value ($)
		France — 0.2%
	47,928	Casino Guichard-Perrachon SA		5,013,515
	227,909	Danone SA		16,827,756
		Total France		21,841,271
		Hungary — 0.1%
	2,935,442	Magyar Telekom Telecommunications Plc		4,639,623
	217,443	OTP Bank Plc		4,619,112
		Total Hungary		9,258,735
		India — 3.6%
	1,165,758	Aban Offshore Ltd		6,087,516
	107,057	Apollo Hospitals Enterprise Ltd		1,906,735
	2,148,419	Aurobindo Pharma Ltd		6,476,009
	130,939	Bayer Cropscience Ltd		3,177,235
	145,593	Cadila Healthcare Ltd		1,981,132
	2,558,975	Cairn India Ltd		12,838,821
	1,247,127	Canara Bank Ltd		9,115,754
	683,865	Cipla Ltd		4,502,317
	65,419	Colgate-Palmolive India Ltd		1,683,599
	3,225,068	Dena Bank (b)		4,886,392
	62,037	Financial Technologies India Ltd		907,618
	357,775	Gitanjali Gems Ltd		3,635,160
	80,227	Grasim Industries Ltd (b)		4,178,165
	977,303	HCL Technologies Ltd		12,887,810
	6,416,987	Hexaware Technologies Ltd		9,082,942
	2,643,488	Hindalco Industries Ltd		4,766,578
	4,003,024	Housing Development & Infrastructure Ltd *		2,958,913
	2,989,396	IFCI Ltd		1,347,245
	269,420	Infosys Technologies Ltd		11,424,153
	1,175,890	Infosys Technologies Ltd Sponsored ADR		49,093,407
	1,951,149	Jai Balaji Industries Ltd *		866,143
	381,323	Kajaria Ceramics Ltd		1,655,605
	564,525	Kiri Industries Ltd *		76,095
	288,532	Lupin Ltd		3,793,203
	5,422,783	Manappuram Finance Ltd		1,665,954
	1,536,571	Mphasis Ltd		13,359,652
	1,608,389	Oil & Natural Gas Corp Ltd		9,257,282
	302,860	Punjab National Bank Ltd (b)		4,303,106
	422,046	Reliance Capital Ltd		2,438,977
	75,098	Reliance Industries Ltd		1,066,565
	2,345,414	Rural Electrification Corp Ltd		9,163,579
	20,810,770	Satyam Computer Services Ltd *		40,558,459
	6,304,748	Sesa Goa Ltd		17,964,459
	330,160	Steel Authority of India Ltd		327,620
	4,724,195	Sterlite Industries India Ltd		7,742,313
	562,700	Sterlite Industries India Ltd ADR		3,725,074
	219,608	Sun Pharmaceutical Industries Ltd		4,016,947
	441,291	Sun TV Network Ltd		3,239,237
	943,522	Tata Consultancy Services Ltd		25,026,464
	702,057	Tech Mahindra Ltd		11,972,906

Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		India — continued
	715,391	Union Bank of India		2,772,529
	2,406,481	Welspun Corp Ltd		1,935,672
	1,533,798	Wipro Ltd		8,982,799
		Total India		328,848,141
		Indonesia — 6.6%
	79,612,089	ACE Hardware Indonesia Tbk PT		7,712,492
	266,537,500	Astra International Tbk PT		191,628,652
	52,639,500	Bakrie Telecom Tbk PT *		269,318
	2,248,000	Bank Central Asia Tbk PT		2,363,814
	8,460,168	Bank Danamon Indonesia Tbk PT *		4,955,499
	62,078,702	Bank Mandiri Persero Tbk PT		61,304,606
	17,872,000	Bank Negara Indonesia Persero Tbk PT		8,859,545
	83,615,000	Bank Rakyat Indonesia Persero Tbk PT		75,607,481
	66,625,985	Bhakti Investama Tbk PT		3,662,965
	1,927,960	First Real Estate Investment Trust		1,974,266
	58,646,000	Gajah Tunggal Tbk PT		19,244,286
	81,818,500	Global Mediacom Tbk PT		21,680,946
	8,533,500	Harum Energy Tbk PT		3,403,362
	7,499,000	Indomobil Sukses Internasional Tbk PT *		4,002,615
	203,977,500	Kalbe Farma Tbk PT		30,109,400
	15,533,500	Lippo Karawaci Tbk PT		2,917,937
	8,094,000	Matahari Putra Prima Tbk PT		2,003,440
	72,895,525	Media Nusantara Citra Tbk PT		24,789,048
	12,669,958	Semen Gresik Persero Tbk PT		23,226,971
	3,061,978	Sumber Alfaria Trijaya Tbk PT		2,221,706
	358,285	Tambang Batubara Bukit Asam Persero Tbk PT		445,177
	70,541,000	Telekomunikasi Indonesia Persero Tbk PT		79,205,880
	834,200	Telekomunikasi Indonesia Tbk PT Sponsored ADR		37,705,840
	1,934,000	Tempo Scan Pacific Tbk PT		941,471
		Total Indonesia		610,236,717
		Kazakhstan — 0.1%
	790,289	KazMunaiGas Exploration Production JSC GDR (Registered Shares)		12,241,441
		Malaysia — 0.5%
	4,448,830	AMMB Holdings Berhad		10,543,243
	7,348,100	CIMB Group Holdings Berhad		19,670,321
	1,534,236	Hong Leong Bank Berhad		7,006,116
	18,580,827	Lion Industries Corp Berhad		7,008,683
		Total Malaysia		44,228,363
		Mexico — 2.5%
	645,800	Alsea SA		1,810,307
	48,056,700	America Movil SAB de CV-Class L		48,213,714
	5,568,800	America Movil SAB de CV-Class L ADR		110,874,808
	1,768,100	Fibra Uno Administracion SA de CV (REIT)		6,138,001

Shares		Description	Value ($)
		Mexico — continued
	621,400	Fomento Economico Mexicano SAB de CV		6,759,501
	48,400	Fomento Economico Mexicano Sponsored ADR		5,255,756
	1,375,800	Grupo Financiero Banorte SAB de CV-Class O		8,795,344
	1,305,674	Grupo Financiero Santander Mexico SAB de CV *		20,655,763
	249,300	Grupo Televisa SAB Sponsored ADR		6,501,744
	1,246,600	Grupo Televisa SAB-Series CPO		6,516,767
	2,506,800	Wal-Mart de Mexico SAB de CV-Class V		7,395,877
		Total Mexico		228,917,582
		Morocco — 0.0%
	286,335	Maroc Telecom		3,446,091
		Nigeria — 0.1%
	533,521	Nestle Nigeria Plc		3,492,414
		Panama — 0.4%
	257,962	Copa Holdings SA-Class A		33,875,570
		Peru — 1.2%
	3,817,900	Compania de Minas Buenaventura SA ADR		68,531,305
	71,600	Credicorp Ltd		9,853,592
	1,110,200	Southern Copper Corp		34,582,730
		Total Peru		112,967,627
		Philippines — 1.6%
	13,759,365	BDO Unibank Inc *		30,208,094
	6,315,300	Bloomberry Resorts Corp *		1,803,326
	7,391,100	First Gen Corp *		3,662,681
	12,753,500	GMA Holdings Inc		2,951,344
	1,290,000	GT Capital Holdings Inc		22,829,855
	78,132,850	Lopez Holding Corp *		11,163,855
	21,202,600	LT Group Inc *		12,364,052
	7,653,022	Metropolitan Bank & Trust		22,805,976
	148,266	Philippine Long Distance Telephone Co		10,825,563
	96,912	Philippine Long Distance Telephone Co Sponsored ADR		6,975,726
	735,215	Philippine National Bank *		1,665,102
	23,175,588	Puregold Price Club Inc		18,874,279
	307,170	Semirara Mining Corp		2,018,394
		Total Philippines		148,148,247
		Poland — 2.0%
	171,276	Asseco Poland SA		2,197,759
	6,859,884	Boryszew SA *		828,859
	3,939,038	KGHM Polska Miedz SA		175,979,731
	1,200,311	Synthos SA		1,950,140
		Total Poland		180,956,489

Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Russia — 11.0%
	347,444	Bashneft OAO-Class S		21,769,477
	834,020	CTC Media Inc		9,958,199
	199,566	Etalon Group Ltd *		757,740
	146,279	Eurasia Drilling Co Ltd GDR		5,952,337
	533,553	Gazprom Neft JSC Sponsored ADR *		10,018,439
	1,386,807	Gazprom Neft-Class S		5,249,783
	40,846,323	Gazprom OAO Sponsored ADR *		304,605,163
	3,981,133	Lukoil OAO Sponsored ADR		232,957,944
	89,806	Magnit OJSC		20,159,512
	149,374	Mail.ru Group Ltd GDR (Registered Shares)		4,163,348
	758,800	Mobile Telesystems Sponsored ADR		14,622,076
	1,174,508	Moscow Exchange MICEX-RTS		1,962,770
	8,642,792	Rosneft OJSC GDR (Registered)		56,739,929
	135,000	RUSIA Petroleum-Class S * (b)		1,350
	14,016,296	Sberbank Sponsored ADR *		170,416,574
	7,003,064	Surgutneftegas Sponsored ADR *		52,328,337
	1,323,348	Tatneft Sponsored ADR *		45,447,801
	5,641,901	TNK-BP Holding-Class S *		7,243,118
	586,299	Volga Gas Plc *		796,870
	16,350,642	VTB Bank OJSC GDR (Registered Shares) *		46,678,418
		Total Russia		1,011,829,185
		South Africa — 1.9%
	2,281,820	African Bank Investments Ltd		3,616,665
	181,876	AngloGold Ashanti Ltd		3,299,744
	348,900	AngloGold Ashanti Ltd Sponsored ADR		6,329,046
	88,509	Bidvest Group Ltd		2,272,909
	844,311	Coronation Fund Managers Ltd		5,238,304
	953,250	Exxaro Resources Ltd		14,949,563
	2,233,696	FirstRand Ltd		6,521,623
	393,014	Gold Fields Ltd		2,387,887
	862,900	Gold Fields Ltd Sponsored ADR		5,237,803
	3,811,427	Growthpoint Properties Ltd		9,591,239
	2,921,998	Investec Ltd		20,772,665
	100,615	Kumba Iron Ore Ltd		5,160,160
	1,130,225	MTN Group Ltd		20,460,036
	123,443	Naspers Ltd-N Shares		9,087,868
	59,900	Remgro Ltd		1,175,121
	322,818	RMB Holdings Ltd		1,274,008
	601,876	Sasol Ltd		26,842,873
	83,900	Sasol Ltd Sponsored ADR		3,723,482
	166,750	Sibanye Gold Ltd Sponsored ADR *		603,635
	293,916	Sibanye Gold Ltd *		247,656
	7,333,866	Telkom South Africa Ltd *		10,842,617
	257,629	Vodacom Group Ltd		2,859,420
	421,239	Wilson Bayly Holmes-Ovcon Ltd		6,530,181
		Total South Africa		169,024,505

Shares		Description	Value ($)
		South Korea — 14.0%
	20,010	AtlasBX Co Ltd		743,290
	865,000	BS Financial Group Inc		11,913,812
	2,431	CJ O Shopping Co Ltd		684,041
	716,630	DGB Financial Group Inc		10,673,831
	257,100	Dongbu Insurance Co Ltd		11,281,660
	289,126	Edu Ark Co Ltd * (b)		—
	480,630	GS Holdings		23,264,942
	2,854,978	Hana Financial Group Inc		95,213,323
	680,080	Hankook Tire Co Ltd		11,504,761
	1,012,405	Hanwha Corp		28,118,083
	97,184	Hyosung Corp		5,070,972
	32,960	Hyundai Hysco		1,003,963
	368,330	Hyundai Marine & Fire Insurance Co Ltd		10,564,664
	238,779	Hyundai Mobis		59,720,513
	410,222	Hyundai Motor Co		76,291,942
	478,661	Hyundai Steel Co		30,168,718
	3,347,576	Industrial Bank of Korea		36,786,977
	1,920,521	KB Financial Group Inc		62,338,022
	151,100	KB Financial Group Inc ADR		4,933,415
	2,322,482	Kia Motors Corp		120,522,597
	553,250	KleanNara Co Ltd *		2,774,444
	230,950	Kolon Corp		4,680,139
	211,951	Kolon Industries Inc		9,459,289
	49,343	Korea Zinc Co Ltd		14,116,926
	1,609,826	KT Corp		55,033,299
	1,316,600	KT Corp Sponsored ADR		22,197,876
	493,400	KTB Securities Co Ltd *		1,632,624
	83,467	LG Chem Ltd		19,876,267
	1,148,648	LG Uplus Corp *		11,858,519
	156,070	LIG Insurance Co Ltd		3,410,164
	6,208	Lotte Shopping Co Ltd		2,000,917
	349,540	Meritz Fire & Marine Insurance Co Ltd		4,057,336
	21,009	O Media Holdings Co Ltd *		643,499
	341,556	POSCO		96,688,709
	59,500	POSCO ADR		4,203,675
	285,330	Samsung Card Co		9,420,893
	80,939	Samsung Electronics Co Ltd		109,054,050
	94,598	Samsung Life Insurance Co Ltd		8,787,698
	52,490	Seah Besteel Corp		1,538,053
	1,634,047	Shinhan Financial Group Co Ltd		58,257,718
	5,749	Shinsegae Co Ltd		1,101,462
	32,887	SK Chemicals Co Ltd		1,243,284
	18,762	SK Gas Co Ltd		1,356,115
	579,416	SK Innovation Co Ltd		75,131,847
	329,669	SK Telecom Co Ltd		60,865,300
	1,969,100	SK Telecom Co Ltd ADR		39,972,730
	66,730	SL Corp		936,957
	2,087,901	Tong Yang Securities Inc		7,494,911
	14,630	Woongjin Coway Co Ltd		718,137
	5,239,760	Woori Finance Holdings Co Ltd		54,575,974
		Total South Korea		1,283,888,338

Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Sri Lanka — 0.0%
	27,986,667	Anilana Hotel & Properties (b) (c)		1,658,961
		Taiwan — 4.8%
	3,579,000	Acer Inc *		2,865,560
	2,337,743	Advantech Co Ltd		11,434,541
	43,932,000	AU Optronics Corp *		19,981,981
	2,394,000	Cheng Shin Rubber Industry Co Ltd		7,130,113
	19,720,449	Chunghwa Telecom Co Ltd		62,683,256
	64,677,311	Compal Electronics Inc		39,500,520
	3,100,000	Delta Electronics Inc		14,782,021
	9,682,000	E.Sun Financial Holdings Co Ltd		5,945,022
	11,619,994	Far EasTone Telecommunications Co Ltd		27,691,805
	3,912,000	Fubon Financial Holding Co Ltd		5,145,416
	325,000	Giant Manufacturing Co Ltd		2,252,905
	1,237,000	Highwealth Construction Corp		2,739,938
	16,881,743	Hon Hai Precision Industry Co Ltd		42,707,949
	9,616,740	Lite-On Technology Corp		15,298,376
	1,470,000	Makalot Industrial Co Ltd		6,866,945
	2,921,000	Neo Solar Power Corp *		2,467,268
	9,782,749	Powertech Technology Inc		17,596,459
	15,298,290	Quanta Computer Inc		32,762,814
	57,800	Silicon Motion Technology Corp. ADR		649,672
	52,775,530	Taishin Financial Holding Co Ltd		22,574,377
	7,689,676	Taiwan Mobile Co Ltd		28,028,159
	2,640,044	Taiwan Semiconductor Manufacturing Co Ltd		9,599,538
	311,000	TPK Holding Co Ltd		6,121,641
	16,792,000	United Microelectronics Corp		7,377,090
	1,119,400	United Microelectronics Corp Sponsored ADR		2,429,098
	39,432,272	Wistron Corp		40,308,367
	3,100,970	Yungtay Engineering Co Ltd		6,815,859
		Total Taiwan		443,756,690
		Thailand — 5.2%
	5,252,590	Advanced Info Service Pcl (Foreign Registered)		45,427,786
	552,200	Airports of Thailand Pcl (Foreign Registered)		3,363,437
	15,040,133	Bangchak Petroleum Pcl (Foreign Registered)		16,833,630
	337,000	Bangkok Bank Pcl NVDR		2,276,002
	8,247,086	Bangkok Dusit Medical Service Pcl (Foreign Registered)		45,872,130
	4,128,800	Bank of Ayudhya Pcl (Foreign Registered) (b)		4,819,938
	2,324,700	Banpu Pcl (Foreign Registered)		22,893,676
	60,791,221	BTS Rail Mass Transit Growth Infrastructure Fund *		22,690,035
	6,552,000	Charoen Pokphand Foods Pcl (Foreign Registered)		6,264,314
	640,000	Charoen Pokphand Foods Pcl NVDR		611,899

Shares		Description	Value ($)
		Thailand — continued
	7,692,871	Electricity Generating Pcl (Foreign Registered)		39,861,340
	10,524,900	Esso Thailand Pcl (Foreign Registered)		3,058,870
	6,769,101	Glow Energy Pcl (Foreign Registered)		15,638,511
	20,961,000	Hemaraj Land and Development Pcl (Foreign Registered)		2,757,137
	100,100	Hemaraj Land and Development Pcl NVDR		13,167
	3,796,147	Home Product Center Pcl (Foreign Registered)		2,022,910
	20,787,300	Jasmine International Pcl (Foreign Registered)		6,189,928
	2,410,920	Kasikornbank Pcl (Foreign Registered) (b)		15,485,707
	1,337,900	Kasikornbank Pcl NVDR		8,593,536
	2,594,600	PTT Exploration & Production Pcl (Foreign Registered)		12,972,605
	9,276,570	PTT Pcl (Foreign Registered)		99,428,867
	4,431,352	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered) (b)		7,972,969
	590,700	Ratchaburi Electricity Generating Holding Pcl NVDR		1,072,549
	11,330,050	Saha Pathana Inter-Holding Pcl (Foreign Registered)		9,977,164
	123,571,185	Sansiri Pcl (Foreign Registered)		16,351,102
	2,962,192	Shin Corp Pcl		8,675,750
	2,312,800	Shin Corp Pcl (Foreign Registered) (b)		7,001,662
	28	Siam Cement Pcl (Foreign Registered) (b)		428
	973,200	Siam Cement Pcl NVDR		14,871,096
	3,108,050	Star Block Co Ltd (Foreign Registered) * (a) (b) (d)		—
	1,402,300	Thai Airways International Pcl (Foreign Registered)		1,550,536
	1,621,900	Thai Airways International Pcl NVDR		1,793,349
	5,260,041	Thai Oil Pcl (Foreign Registered)		11,056,160
	41,931,206	Thai Tap Water Supply Pcl (Foreign Registered)		14,945,919
	1,195,810	Total Access Communication Pcl (Foreign Registered) (b)		4,698,422
	732,800	Toyo-Thai Corp Pcl		1,308,764
	442,230	VGI Global Media Pcl (Foreign Registered)		2,125,604
		Total Thailand		480,476,899
		Turkey — 2.0%
	570,942	Aksa Akrilik Kimya Sanayii		2,016,931
	8,359,377	Asya Katilim Bankasi AS *		8,630,390
	2,245,051	Aygaz AS		12,657,769
	36,260	BIM Birlesik Magazalar AS		1,711,617
	170,413	Bizim Toptan Satis Magazalari AS		2,926,018
	7,868,615	Dogus Otomotiv Servis ve Ticaret AS		48,915,908
	2,294,370	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		2,868,152
	115,445	Ford Otomotiv Sanayi AS		1,753,450

Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Turkey — continued
	1,259,202	Haci Omer Sabanci Holding AS		8,038,807
	42,150	Medya Holding AS (a) (b)		—
	511,559	Pegasus Hava Tasimaciligi AS *		5,723,451
	1,070,299	Sinpas Gayrimenkul Yatirim Ortakligi AS		799,882
	5,884,004	Turk Telekomunikasyon AS		22,658,613
	78,593	Turk Traktor ve Ziraat Makineleri AS		2,472,211
	2,974,443	Turkcell Iletisim Hizmet AS *		18,304,041
	18,300	Turkcell Iletisim Hizmetleri AS ADR *		281,271
	3,850,086	Turkiye Garanti Bankasi AS		19,844,482
	1,578,234	Turkiye Halk Bankasi AS		16,873,895
	2,441,157	Turkiye Vakiflar Bankasi TAO-Class D		7,725,385
		Total Turkey		184,202,273
		United Kingdom — 0.4%
	126,485	British American Tobacco Plc		6,950,191
	26,900	British American Tobacco Plc Sponsored ADR		2,952,813
	26,900	Unilever Plc Sponsored ADR		1,130,069
	625,653	Unilever Plc		26,280,761
		Total United Kingdom		37,313,834
		United States — 0.3%
	293,006	Colgate-Palmolive Co.		16,947,467
	27,500	Mead Johnson Nutrition Co.		2,229,425
	91,850	Tupperware Brands Corp.		7,438,013
	49,200	Yum! Brands, Inc.		3,333,300
		Total United States		29,948,205
		TOTAL COMMON STOCKS (COST $8,675,167,867)		8,295,096,786
		PREFERRED STOCKS — 8.2%
		Brazil — 5.2%
	2,269,218	Banco Bradesco SA, 0.21%		36,234,595
	1,695,400	Banco do Estado do Rio Grande do Sul SA-Class B, 0.98%		13,053,108
	3,793,650	Bradespar SA, 2.43%		38,683,965
	126,800	Braskem SA-Class A *		978,618
	243,200	Cia Energetica de Minas Gerais Sponsored ADR, 5.79%		2,483,324
	248,600	Companhia de Bebidas das Americas ADR 2.43%		9,464,202
	2,249,388	Gerdau SA Sponsored ADR 0.62%		13,743,761
	590,300	Gol Linhas Aereas Inteligentes SA *		2,579,703
	529,500	Gol Linhas Aereas Inteligentes SA ADR *		2,361,570
	5,304,325	Itau Unibanco Holding SA ADR 0.59%		79,777,048
	10,449,533	Itausa-Investimentos Itau SA, 0.65%		45,080,626
	1,783,800	Klabin SA, 2.09%		10,568,877
	2,936,300	Metalurgica Gerdau SA, 0.49%		22,552,122
	408,100	Randon Participacoes SA 0.03%		2,473,218
	929,000	Suzano Papel e Celulose SA, 1.25%		3,326,842

Shares		Description	Value ($)
		Brazil — continued
	1,666,200	Usinas Siderrurgicas de Minas Gerais SA *		6,931,479
	10,141,365	Vale SA Sponsored ADR 2.87%		136,705,600
	3,866,810	Vale SA, 0.35%		52,230,280
		Total Brazil		479,228,938
		Russia — 2.3%
	26,319,661	Sberbank 4.56%		59,831,933
	87,503,217	Surgutneftegaz OJSC *		52,915,645
	12,100	Surgutneftegaz Sponsored ADR 11.28%		71,269
	2,625,690	TNK BP Holding *		2,671,217
	44,714	Transneft 0.94%		94,296,854
		Total Russia		209,786,918
		South Korea — 0.7%
	98,672	Hyundai Motor Co, 2.11%		7,992,766
	258,105	Hyundai Motor Co, 2.15%		21,080,728
	42,302	Samsung Electronics Co Ltd (Non-Voting), 0.81%		36,678,572
		Total South Korea		65,752,066
		TOTAL PREFERRED STOCKS (COST $854,848,961)		754,767,922
		INVESTMENT FUNDS — 0.2%
		China — 0.0%
	1,828	The China A Share Fund Ltd-Class S1 * (b) (c)		—
	245,374	The China A Share Fund Ltd-Class S2 * (b) (c)		2,285,902
		Total China		2,285,902
		India — 0.1%
	10,789	Fire Capital Mauritius Private Fund * (b) (c)		8,279,393
	1,371,900	TDA India Technology Fund II LP * (b) (c)		423,796
		Total India		8,703,189
		Poland — 0.0%
	1,749,150	Templeton EE FD * (b) (c)		203,125
		Russia — 0.1%
	6,741,100	NCH Eagle Fund LP * (b) (c)		4,618,328
	2,769	Steep Rock Russia Fund LP * (b) (c)		1,257,787
		Total Russia		5,876,115
		Thailand — 0.0%
	6,491,162	CPN Commercial Growth Leasehold Property Fund *		2,824,618

Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Ukraine — 0.0%
	16,667	Societe Generale Thalmann Ukraine Fund * (b) (c) (e)		4,000
		TOTAL INVESTMENT FUNDS (COST $25,645,263)		19,896,949
		RIGHTS/WARRANTS — 0.0%
		China — 0.0%
	375,408	PICC Property & Casualty Co Ltd-Class H, Expires 06/30/13 *		185,706
		TOTAL RIGHTS/WARRANTS (COST $186,403)		185,706
		MUTUAL FUNDS — 0.7%
		United States — 0.7%
		Affiliated Issuers
	2,391,235	GMO U.S. Treasury Fund		59,804,789
		TOTAL MUTUAL FUNDS (COST $59,804,789)		59,804,789

Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.3%
		Time Deposits — 0.3%
HKD	581,083	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 06/03/13		74,857
SGD	1,576,964	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 06/03/13		1,247,647
ZAR	8,708	Brown Brothers Harriman (Grand Cayman) Time Deposit, 4.15%, due 06/03/13		865
USD	18,908,153	DBS Bank Ltd (Singapore) Time Deposit, 0.06%, due 06/03/13		18,908,153
USD	4,956,224	Societe Generale (Paris) Time Deposit, 0.06%, due 06/03/13		4,956,224
		Total Time Deposits		25,187,746
		TOTAL SHORT-TERM INVESTMENTS (COST $25,187,746)		25,187,746
		TOTAL INVESTMENTS — 99.6% (Cost $9,640,841,029)		9,154,939,898
		Other Assets and Liabilities (net) — 0.4%		38,352,788
		TOTAL NET ASSETS — 100.0%		$9,193,292,686

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, 2013
Anilana Hotel & Properties	2/10/11-2/16/12	$	1,890,310	0.02%	$	1,658,961
The China A Share Fund Ltd-Class S1	10/14/08		—	0.00%		—
The China A Share Fund Ltd-Class S2	4/23/10		2,453,738	0.02%		2,285,902
Fire Capital Mauritius Private Fund **	9/06/06-10/26/09		11,185,180	0.09%		8,279,393
NCH Eagle Fund LP	4/6/09		7,816,032	0.05%		4,618,328
Societe Generale Thalmann Ukraine Fund	7/15/97		199,943	0.00%		4,000
Steep Rock Russia Fund LP	12/22/06-5/13/09		2,250,000	0.01%		1,257,787
TDA India Technology Fund II LP	2/23/00-3/23/04		—	0.00%		423,796
Templeton EE FD	12/05/97-6/24/02		471,720	0.00%		203,125
					$	18,731,292

** GMO Emerging Markets Fund has committed an additional $7,724,246 to this investment.

Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

A summary of outstanding financial instruments at May 31, 2013 is as follows:

Swap Agreements

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund (Pays)/Receives	Net Unrealized Appreciation/ (Depreciation)
	10,456,020	USD	8/6/13	MSCI	Depreciation of Total Return on BZ Multiplus SA minus 10.00%	Appreciation of Total Return on BZ Multiplus SA	$	(702,807	)
	30,447,431	USD	6/28/13	MSCI	Depreciation of Total Return on TT minus 2.00%	Appreciation of Total Return on Asustek Computer Inc		(1,366,675	)
							$	(2,069,482	)
					Premiums to (Pay) Receive		$	—

As of May 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

ADR - American Depositary Receipt

CPO - Ordinary Participation Certificate (Certificado de Participacion Ordinares), representing a bundle of shares of the multiple series of one issuer that trade together as a unit.

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

GDR - Global Depository Receipt

NVDR - Non-Voting Depository Receipt

OJSC - Open Joint-Stock Company

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) Bankrupt issuer.

(b) Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust.

(c) Private placement securities are restricted as to resale.

(d) Affiliated company.

(e) The security is currently in full liquidation.

Counterparty Abbreviations:

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

HKD - Hong Kong Dollar

SGD - Singapore Dollar

USD - United States Dollar

ZAR - South African Rand

Taiwan Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.0%
		Taiwan — 98.0%
	1,427,000	Acer Inc *		1,142,541
	490,000	Advantech Co Ltd		2,396,724
	86,122	Arima Communications Corp		39,052
	41,906	Asia Cement Corp		51,616
	174,323	Asustek Computer Inc		1,908,614
	2,090,000	AU Optronics Corp *		950,613
	214,448	Catcher Technology Co Ltd		1,196,529
	558,000	Cheng Shin Rubber Industry Co Ltd		1,661,906
	58,356	China Life Insurance Co Ltd *		58,598
	84,888	China Petrochemical Development Corp		43,798
	57,897	China Steel Corp		49,079
	481,833	Chinatrust Financial Holding Co Ltd		305,671
	1,862,132	Chunghwa Telecom Co Ltd		5,918,957
	44,000	Compal Communications Inc *		58,467
	5,019,486	Compal Electronics Inc		3,065,562
	7,952	Compeq Manufacturing Co Ltd		3,523
	341,000	Coretronic Corp		301,868
	572,000	Delta Electronics Inc		2,727,521
	13,000	Dynapack International Technology Corp		42,897
	64,000	E Ink Holdings Inc		45,264
	2,775,000	E.Sun Financial Holdings Co Ltd		1,703,929
	82,000	Elan Microelectronics Corp		208,561
	727,767	Far EasTone Telecommunications Co Ltd		1,734,354
	5,985	First Financial Holding Co Ltd		3,606
	11,449	Flexium Interconnect Inc		41,960
	23,000	Formosa Chemicals & Fibre Co		53,871
	10,605	Formosa Petrochemical Corp		27,555
	1,166,455	Fubon Financial Holding Co Ltd		1,534,227
	19,767	Genesis Photonics Inc *		14,237
	116,000	Giant Manufacturing Co Ltd		804,114
	56,531	Gintech Energy Corp *		59,859
	102,000	Grand Pacific Petrochemical Corp		58,842
	572,600	Highwealth Construction Corp		1,268,301
	1,579,329	Hon Hai Precision Industry Co Ltd		3,995,435
	23,000	Hotai Motor Company Ltd		264,844
	5,228	HTC Corp		47,910
	292,377	Innolux Display Corp *		195,111
	11,000	Largan Precision Co Ltd		354,567
	1,719,711	Lite-On Technology Corp		2,735,728
	83,000	Lotes Co Ltd		217,454
	653,151	Macronix International Co Ltd		158,909
	412,000	Makalot Industrial Co Ltd		1,924,613
	5,000	MediaTek Inc		61,724
	64,597	Mega Financial Holding Co Ltd		51,644
	31,180	Nan Ya Plastics Corp		63,283
	1,691,000	Neo Solar Power Corp *		1,428,330
	39,995	Novatek Microelectronics Corp Ltd		201,890
	7,000	Phison Electronics Corp		59,200
	1,753,425	Powertech Technology Inc		3,153,926

Shares / Par Value		Description	Value ($)
		Taiwan — continued
	987,000	Qisda Corp *		239,332
	1,009,856	Quanta Computer Inc		2,162,707
	95,000	Ruentex Development Co Ltd		182,994
	14,000	Senao International Co Ltd		47,989
	92,500	Silicon Motion Technology Corp. ADR		1,039,700
	2,747,923	Taishin Financial Holding Co Ltd		1,175,405
	43,000	Taiwan Cement Corp		56,394
	9,770	Taiwan Glass Industrial Corp		9,446
	510,158	Taiwan Mobile Co Ltd		1,859,479
	72,190	Taiwan Semiconductor Manufacturing Co Ltd		262,492
	95,358	TPK Holding Co Ltd		1,877,002
	26,340	TSRC Corp		52,862
	11,000	Ubright Optronics Corp		48,897
	4,887,000	United Microelectronics Corp		2,146,965
	58,500	United Microelectronics Corp Sponsored ADR		126,945
	2,951,963	Wistron Corp		3,017,549
	2,968,195	Ya Hsin Industrial Co Ltd * (a) (b)		—
	775,152	Yungtay Engineering Co Ltd		1,703,766
	15,000	Zhen Ding Technology Holding Ltd		38,534
		Total Taiwan		60,445,242
		TOTAL COMMON STOCKS (COST $61,673,694)		60,445,242
		INVESTMENT FUNDS — 0.8%
		United States — 0.8%
	35,298	iShares MSCI Taiwan Index Fund		481,465
		TOTAL INVESTMENT FUNDS (COST $500,485)		481,465
		MUTUAL FUNDS — 1.2%
		United States — 1.2%
		Affiliated Issuers
	30,589	GMO U.S. Treasury Fund		765,041
		TOTAL MUTUAL FUNDS (COST $765,041)		765,041
		SHORT-TERM INVESTMENTS — 0.4%
		Time Deposits — 0.4%
USD	124,529	BNP Paribas (Paris) Time Deposit, 0.06%, due 06/03/13		124,529
USD	5,883	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.06%, due 06/03/13		5,883
USD	124,529	Societe Generale (Paris) Time Deposit, 0.06%, due 06/03/13		124,529
		Total Time Deposits		254,941
		TOTAL SHORT-TERM INVESTMENTS (COST $254,941)		254,941

Taiwan Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Description	Value ($)
TOTAL INVESTMENTS — 100.4% (Cost $63,194,161)		61,946,689
Other Assets and Liabilities (net) — (0.4%)		(259,793	)
TOTAL NET ASSETS — 100.0%		$61,686,896

Notes to Schedule of Investments:

ADR - American Depositary Receipt

* Non-income producing security.

(a) Bankrupt issuer.

(b) Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust.

Currency Abbreviations:

USD - United States Dollar

As of May 31, 2013, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in the value of investments were as follows:

Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Emerging Countries Fund		146,402,794		9,527,658		(23,431,321)		(13,903,663)
Emerging Domestic Opportunities Fund		2,128,576,550		226,958,084		(60,511,979)		166,446,105
Emerging Markets Fund		9,845,847,801		723,203,121		(1,414,111,024)		(690,907,903)
Taiwan Fund		65,985,646		3,276,168		(7,315,125)		(4,038,957)

Investments in Affiliated Issuers

The Funds make investments in other GMO Trust funds (“underlying funds”). The Schedule of Investments of the underlying funds should be read in conjunction with the Fund’s Schedule of Investments.

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended May 31, 2013 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Return of Capital		Value, end of period
Emerging Countries Fund
GMO U.S. Treasury Fund	$	1,204,052	$	5,492,168	$	5,678,298	$	244	$	—	$	—	$	1,018,076
Emerging Domestic Opportunities Fund
GMO U.S. Treasury Fund	$	49,003,861	$	526,528,280	$	465,976,053	$	20,616	$	—	$	—	$	109,606,617
Emerging Markets Fund
GMO Special Purpose Holding Fund	$	4,355	$	—	$	12,175	$	—	$	—	$	342,509	$	—
GMO U.S. Treasury Fund		37,905,924		383,652,638		361,768,211		14,028		—		—		59,804,789
	$	37,910,279	$	383,652,638	$	361,780,386	$	14,028	$	—	$	342,509	$	59,804,789
Taiwan Fund
GMO U.S. Treasury Fund	$	735,075	$	7,680,579	$	7,650,808	$	185	$	—	$	—	$	765,041

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2013 through May 31, 2013. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2014.

Investments in Other Affiliated Issuers

An affiliated company is a company in which a Fund has or had ownership of at least 5% of the voting securities. A summary of the

Fund’s transactions involving companies that are or were affiliates during the period ended May 31,2013 is set forth below:

Affiliate	Value, beginning of period			Purchases		Sales Proceeds		Dividend Income		Value, end of period
Emerging Markets Fund
Star Block Co Ltd (Foreign Registered)	$	0	**	$	—	$	—	$	—	$	0	**
Totals	$	0	**	$	—	$	—	$	—	$	0	**

** Represents the interest in securities that were determined to have a value of zero as of May 31, 2013.

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. Management 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 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 Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) 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 this 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 by the relevant clearing house. If an updated closing price for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model. Unlisted securities (including debt instruments) for which market quotations are readily available are generally valued at the most recent quoted price. In the case of non-emerging market debt instruments with a remaining maturity of sixty days or less, the instrument may be valued at amortized cost which approximates market value, if the issuer is deemed to present minimal credit risk. Shares of open-end registered investment companies are valued at their most recent net asset value. 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 of GMO Trust (the “Trustees”) or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds classify such securities as Level 3 (levels defined below). For the period ended May 31, 2013, the Funds did not reduce the value of any of their over-the-counter (“OTC”) derivatives contracts, if any, based on the creditworthiness of their counterparties. See “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing pricing methodologies are modified for equity securities listed on foreign exchanges and that trade in securities markets that are closed prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, 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). In those cases, the value will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds that were valued using fair value inputs obtained from that independent pricing service as of May 31, 2013. 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 being valued using Level 2 inputs (levels defined below) in the table below.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security. If an updated quote for a security is not available by the time that the Funds calculate their net asset value on any business day, the Funds will generally use a quoted price from a prior day to value that security.

As discussed above, certain of the 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 valued using inputs obtained from an independent pricing service. The net aggregate direct and/or indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of May 31, 2013 is as follows:

Securities

Fund Name	Fair valued using methods determined in good faith by or at the direction of the  Trustees	Fair valued using inputs obtained from an independent pricing service
Emerging Countries Fund	0.6%	76.8%
Emerging Domestic Opportunities Fund	1.8%	69.8%
Emerging Markets Fund	0.8%	78.4%
Taiwan Fund	0.0%*	96.1%

* Represents the interest in securities that were determined to have a fair value of zero at May 31, 2013.

Derivatives

Fund Name	Swap agreements fair     valued using  inputs obtained from an independent pricing service
Emerging Countries Fund	—
Emerging Domestic Opportunities Fund	0.1%
Emerging Markets Fund	0.0%*
Taiwan Fund	—

* Rounds to 0.0%.

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 methodology 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 liquidity of investments, could cause a security to be reclassified between levels.

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any, (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the “Valuation Inputs” table below). At May 31, 2013, there were no direct material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.

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 with a remaining maturity of greater than 60 days, 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 debt securities such as U.S. government securities with a remaining maturity of less than 60 days valued at amortized cost; certain cleared derivatives and 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; 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; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; and certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; certain equity securities valued based on the last traded exchange price adjusted for the movement in a securities index; and certain securities that are valued using a price from a comparable security related to the same issuer.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of May 31, 2013:

Valuation Inputs as of May 31, 2013

Description	Level 1		Level 2		Level 3			Total
Emerging Countries Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	8,479,555	$	—	$	—		$	8,479,555
China		887,644		28,972,445		—			29,860,089
Czech Republic		—		2,143,023		—			2,143,023
Egypt		—		1,189,900		—			1,189,900
France		—		389,935		—			389,935
Hungary		—		82,598		—			82,598
India		694,379		3,541,344		87,893			4,323,616
Indonesia		687,040		7,897,230		—			8,584,270
Malaysia		—		592,622		—			592,622
Mexico		3,628,238		—		—			3,628,238
Morocco		—		187,905		—			187,905
Netherlands		46,765		—		—			46,765
Peru		1,587,198		—		—			1,587,198
Philippines		—		2,148,685		—			2,148,685
Poland		—		2,678,272		—			2,678,272
Russia		366,116		14,431,364		—			14,797,480
South Africa		181,333		2,224,602		—			2,405,935
South Korea		1,995,052		16,976,199		—			18,971,251
Taiwan		54,972		6,732,238		0	*		6,787,210
Thailand		—		5,950,304		719,023			6,669,327
Turkey		—		2,030,347		—			2,030,347
United Kingdom		80,091		606,890		—			686,981
United States		418,827		—		—			418,827
TOTAL COMMON STOCKS		19,107,210		98,775,903		806,916			118,690,029
Preferred Stocks
Brazil		7,010,308		—		—			7,010,308
Russia		—		2,611,835		—			2,611,835
South Korea		—		761,836		—			761,836
TOTAL PREFERRED STOCKS		7,010,308		3,373,671		—			10,383,979
Investment Funds
United States		2,029,387		—		—			2,029,387
TOTAL INVESTMENT FUNDS		2,029,387		—		—			2,029,387
Rights/Warrants
China		—		—		3,733			3,733
TOTAL RIGHTS/WARRANTS		—		—		3,733			3,733
Mutual Funds
United States		1,018,076		—		—			1,018,076
TOTAL MUTUAL FUNDS		1,018,076		—		—			1,018,076
Short-Term Investments		373,927		—		—			373,927
Total Investments		29,538,908		102,149,574		810,649			132,499,131
Total	$	29,538,908	$	102,149,574	$	810,649		$	132,499,131

Description	Level 1		Level 2			Level 3		Total
Emerging Domestic Opportunities Fund
Asset Valuation Inputs
Common Stocks
Belgium	$	—	$	20,742,593		$	—	$	20,742,593
Brazil		66,318,071		—			—		66,318,071
China		30,761,192		157,830,162			—		188,591,354
France		—		103,372,623			—		103,372,623
India		—		59,922,144			—		59,922,144
Indonesia		—		121,139,403			—		121,139,403
Japan		—		6,216,116			—		6,216,116
Malaysia		—		53,784,342			—		53,784,342
Mexico		67,631,493		—			—		67,631,493
Nigeria		—		15,378,121			—		15,378,121
Panama		64,057,896		—			—		64,057,896
Peru		17,353,882		—			—		17,353,882
Philippines		5,855,573		204,701,438			—		210,557,011
Russia		36,455,437		39,391,030			—		75,846,467
South Africa		—		33,631,913			—		33,631,913
Switzerland		—		41,067,632			—		41,067,632
Taiwan		—		5,538,679			—		5,538,679
Thailand		—		330,165,365			41,197,600		371,362,965
Turkey		—		124,811,474			—		124,811,474
United Kingdom		7,423,167		257,917,006			—		265,340,173
United States		190,134,725		—			—		190,134,725
TOTAL COMMON STOCKS		485,991,436		1,575,610,041			41,197,600		2,102,799,077
Preferred Stocks
Brazil		15,179,682		—			—		15,179,682
Russia		—		13,759,401			—		13,759,401
TOTAL PREFERRED STOCKS		15,179,682		13,759,401			—		28,939,083
Investment Funds
Thailand		—		5,768,144			—		5,768,144
TOTAL INVESTMENT FUNDS		—		5,768,144			—		5,768,144
Debt Obligations
India		—		7,688,469			—		7,688,469
TOTAL DEBT OBLIGATIONS		—		7,688,469			—		7,688,469
Mutual Funds
United States		109,606,617		—			—		109,606,617
TOTAL MUTUAL FUNDS		109,606,617		—			—		109,606,617
Short-Term Investments		40,221,265		—			—		40,221,265
Total Investments		650,999,000		1,602,826,055			41,197,600		2,295,022,655
Derivatives**
Swap Agreements
Equity risk		—		2,811,780			—		2,811,780
Total	$	650,999,000	$	1,605,637,835		$	41,197,600	$	2,297,834,435
Liability Valuation Inputs
Derivatives**
Swap Agreements
Equity risk	$	—	$	(204,386	)	$	—	$	(204,386	)
Total	$	—	$	(204,386	)	$	—	$	(204,386	)

Description	Level 1		Level 2			Level 3			Total
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	607,875,319	$	—		$	—		$	607,875,319
China		81,311,355		1,998,518,885			0	*		2,079,830,240
Czech Republic		—		141,462,323			—			141,462,323
Egypt		—		85,371,326			—			85,371,326
France		—		21,841,271			—			21,841,271
Hungary		—		9,258,735			—			9,258,735
India		52,818,481		262,661,997			13,367,663			328,848,141
Indonesia		37,705,840		572,261,559			269,318			610,236,717
Kazakhstan		—		12,241,441			—			12,241,441
Malaysia		—		44,228,363			—			44,228,363
Mexico		228,917,582		—			—			228,917,582
Morocco		—		3,446,091			—			3,446,091
Nigeria		—		3,492,414			—			3,492,414
Panama		33,875,570		—			—			33,875,570
Peru		112,967,627		—			—			112,967,627
Philippines		6,975,726		141,172,521			—			148,148,247
Poland		—		180,956,489			—			180,956,489
Russia		24,580,275		987,247,560			1,350			1,011,829,185
South Africa		15,893,966		153,130,539			—			169,024,505
South Korea		71,307,696		1,212,580,642			0	*		1,283,888,338
Sri Lanka		—		—			1,658,961			1,658,961
Taiwan		3,078,770		440,677,920			—			443,756,690
Thailand		—		440,497,773			39,979,126			480,476,899
Turkey		281,271		183,921,002			0	*		184,202,273
United Kingdom		4,082,882		33,230,952			—			37,313,834
United States		29,948,205		—			—			29,948,205
TOTAL COMMON STOCKS		1,311,620,565		6,928,199,803			55,276,418			8,295,096,786
Preferred Stocks
Brazil		479,228,938		—			—			479,228,938
Russia		71,269		209,715,649			—			209,786,918
South Korea		—		65,752,066			—			65,752,066
TOTAL PREFERRED STOCKS		479,300,207		275,467,715			—			754,767,922
Investment Funds
China		—		—			2,285,902			2,285,902
India		—		—			8,703,189			8,703,189
Poland		—		—			203,125			203,125
Russia		—		—			5,876,115			5,876,115
Thailand		—		2,824,618			—			2,824,618
Ukraine		—		—			4,000			4,000
TOTAL INVESTMENT FUNDS		—		2,824,618			17,072,331			19,896,949
Rights/Warrants
China		—		—			185,706			185,706
TOTAL RIGHTS/WARRANTS		—		—			185,706			185,706
Mutual Funds
United States		59,804,789		—			—			59,804,789
TOTAL MUTUAL FUNDS		59,804,789		—			—			59,804,789
Short-Term Investments		25,187,746		—			—			25,187,746
Total Investments		1,875,913,307		7,206,492,136			72,534,455			9,154,939,898
Liability Valuation Inputs
Derivatives**
Swap Agreements
Equity risk		—		(2,069,482	)		—			(2,069,482	)
Total	$	—	$	(2,069,482	)	$	—		$	(2,069,482	)

Description	Level 1		Level 2		Level 3			Total
Taiwan Fund
Asset Valuation Inputs
Common Stocks
Taiwan	$	1,166,645	$	59,278,597	$	0	*	$	60,445,242
TOTAL COMMON STOCKS		1,166,645		59,278,597		0	*		60,445,242
Investment Funds
United States		481,465		—		—			481,465
TOTAL INVESTMENT FUNDS		481,465		—		—			481,465
Mutual Funds
United States		765,041		—		—			765,041
TOTAL MUTUAL FUNDS		765,041		—		—			765,041
Short-Term Investments		254,941		—		—			254,941
Total Investments		2,668,092		59,278,597		0	*		61,946,689
Total	$	2,668,092	$	59,278,597	$	0	*	$	61,946,689

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.

* Represents an interest in securities that were determined to have a value of zero as of May 31, 2013.

** The tables above are based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value.

The underlying funds held at period end are classified above as Level 1 or Level 2. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes.

For all Funds for the period ended May 31, 2013, there were no material transfers between Level 1 and Level 2.

The following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2013		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, 2013		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2013
Emerging Countries Fund
Common Stocks
India		250,834		—		(142,316	)		—		(18,127	)		(2,498	)		—		—			87,893		(4,217	)
Thailand		1,035,503		21,207		(258,140	)		—		57,177			(73,955	)		—		(62,769	)**		719,023		(63,835	)
Total Common Stocks	$	1,286,337	$	21,207	$	(400,456	)	$	—	$	39,050		$	(76,453	)	$	—	$	(62,769	)	$	806,916	$	(68,052	)
Rights and/or Warrants
China	$	—	$	3,999	$	—		$	—	$	—		$	(266	)	$	—	$	—		$	3,733	$	(266	)
Total	$	1,286,337	$	25,206	$	(400,456	)	$	—	$	39,050		$	(76,719	)	$	—	$	(62,769	)	$	810,649	$	(68,318	)
Emerging Domestic Opportuni- ties Fund
Common Stocks
Thailand	$	44,535,710	$	8,773,357	$	(9,852,047	)	$	—	$	2,385,654		$	5,870,507		$	—	$	(10,515,581	)**	$	41,197,600	$	8,801,793
Total Common Stocks	$	44,535,710	$	8,773,357	$	(9,852,047	)	$	—	$	2,385,654		$	5,870,507		$	—	$	(10,515,581	)	$	41,197,600	$	8,801,793

	Balances as of February 28, 2013		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, 2013		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2013
Emerging Markets Fund
Common Stocks
India	$	25,023,685	$	2,667,675	$	(12,099,704	)	$	—	$	(533,776	)	$	(1,690,217	)	$	—	$	—		$	13,367,663	$	(1,704,379	)
Indonesia		—		—		—			—		—			—			269,318		—			269,318		—
Russia		1,350		—		—			—		—			—			—		—			1,350		—
South Korea		3,724,493				(2,892,540	)				(24,483	)		(807,470	)		—		—			—		—
Sri Lanka		1,645,629		—		—			—		—			13,332			—		—			1,658,961		13,332
Thailand		56,616,814		66,254		(13,677,221	)		—		4,758,970			(5,028,554	)		—		(2,757,137	)**		39,979,126		(4,104,923	)
Total Common Stocks		87,011,971		2,733,929		(28,669,465	)		—		4,200,711			(7,512,909	)		269,318		(2,757,137	)		55,276,418		(5,795,970	)
Investment Funds
China	$	2,254,617	$	—	$	—		$	—	$	—		$	31,285		$	—	$	—		$	2,285,902	$	31,285
India		11,315,764		—		(297,423	)		—		(98,377	)		(2,216,775	)		—		—			8,703,189		(2,216,775	)
Poland		208,208		—		—			—		—			(5,083	)		—		—			203,125		(5,083	)
Russia		7,265,136		—		(99,896	)		—		(11,372	)		(1,277,753	)		—		—			5,876,115		(1,277,753	)
Ukraine		4,000		—		—			—		—			—			—		—			4,000		—
Total Investment Funds		21,047,725		—		(397,319	)		—		(109,749	)		(3,468,326	)		—		—			17,072,331		(3,468,326	)
Rights and/or Warrants
China	$	—	$	186,402	$	—		$	—	$	—		$	(696	)	$	—	$	—		$	185,706	$	(696	)
Total	$	108,059,696	$	2,920,331	$	(29,066,784	)	$	—	$	4,090,962		$	(10,981,931	)	$	269,318	$	(2,757,137	)	$	72,534,455	$	(9,264,992	)

* The Funds account for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period.

** Financial assets transferred between Level 2 and Level 3 were due to a change in observable and/or unobservable inputs.

The net aggregate direct and/or indirect exposure to investments in securities using Level 3 inputs (based on the Funds’ net assets) as of May 31, 2013 were as follows:

Fund Name	Level 3 securities
Emerging Countries Fund	0.6%
Emerging Domestic Opportunities Fund	1.8%
Emerging Markets Fund	0.8%
Taiwan Fund	0.0%*

* Represents the interest in securities that were determined to have a fair value of zero at May 31, 2013.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. Dollars at the close of regular trading on the NYSE, generally at 4:00 pm Boston time. Income and expenses denominated in foreign currencies are typically translated into U.S. Dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Other matters

Emerging Markets Fund (“EMF”)

Indian regulators alleged in 2002 that EMF violated some conditions under which it was granted permission to operate in India and have restricted EMF’s locally held assets pending resolution of the dispute. Although these locally held assets remain the property of EMF, a portion of the assets are not permitted to be withdrawn from EMF’s local custodial account located in India. The amount of restricted assets is small relative to the size of EMF, representing approximately 0.09% of the Fund’s total net assets as of May 31, 2013. The effect of this claim on the value of the restricted assets, and all matters relating to EMF’s response to these allegations, are subject to the supervision and control of the Trust’s Board of Trustees. The costs in respect of this matter are being borne by EMF.

Investment and other risks

The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.

	Emerging Countries Fund	Emerging Domestic Opportunities Fund	Emerging Markets Fund	Taiwan Fund
Market Risk – Equities	X	X	X	X
Liquidity Risk	X	X	X	X
Smaller Company Risk	X	X	X	X
Derivatives Risk	X	X	X	X
Non-U.S. Investment Risk	X	X	X	X
Currency Risk	X	X	X	X
Focused Investment Risk	X	X	X	X
Leveraging Risk	X	X	X	X
Counterparty Risk	X	X	X	X
Market Disruption and Geopolitical Risk	X	X	X	X
Large Shareholder Risk	X	X	X	X
Management and Operational Risk	X	X	X	X
Fund of Funds Risk	X	X	X	X
Non-Diversified Funds	X	X	X	X

Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.

Each Fund that invests in other GMO Funds and other investment companies is exposed to the risks to which the underlying funds in which it invests are exposed. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and, references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through other GMO Funds and other investment companies.

An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market value of their holdings will decline. Market risks include:

Equities. Funds that invest in equities run the risk that the market prices of those investments will decline. The market prices of equities may decline for reasons that directly relate to the issuing company, such as poor management performance or reduced demand for its goods or services. They also may decline due to factors that affect a particular industry, such as a decline in demand, labor or raw material shortages or increased production costs. In addition, market prices may decline as a result of general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. Equities generally have significant price volatility and the market prices of equities can decline in a rapid or unpredictable manner.

The Funds invest a substantial portion of their assets in equities and as a result, declines in stock market prices generally are likely to reduce the net asset values of those Funds’ shares.

If a Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate to or will decline for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments.

The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at a lower multiples.

• LIQUIDITY RISK. Liquidity risk is the risk that low trading volume, lack of a market maker, large position size or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits or prevents a Fund from selling particular securities or unwinding derivative positions at desirable prices. In addition to these risks, a Fund is exposed to liquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). All of the Funds are subject to liquidity risk, but those with the greatest risk have principal investment strategies that involve investment in asset-backed securities, emerging country debt securities, securities of companies with smaller market capitalizations or smaller total float-adjusted market capitalizations and emerging market securities. These types of investments can be difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the value placed on them when they were held by the Fund. In addition, TIPS have exhibited periods of greatly reduced liquidity when disruptions in fixed income markets have occurred, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when market prices decline generally.

All of the Funds with benchmarks may buy securities that are less liquid than those in their benchmarks.

• SMALLER COMPANY RISK. Companies with smaller market capitalizations, including small- and mid-cap companies, may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more than the securities of companies with larger market capitalizations. In addition, market risk and liquidity risk are particularly pronounced for securities of these companies.

• DERIVATIVES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates or indices. Derivatives involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. Derivatives include futures, non-U.S. currency contracts, swap agreements, reverse repurchase agreements and other OTC contracts. Derivatives may relate to securities, interest rates, currencies or currency exchange rates, inflation rates, commodities and indices.

Certain derivatives transactions used by the Funds, including certain interest rate swaps and certain credit default index swaps, will be required to be cleared. The Funds will hold cleared derivatives transactions through clearing members, who are futures commission merchants who are members of derivatives clearing houses. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing members generally can require termination of existing cleared derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks of investing directly in securities and other more traditional assets. In particular, a Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed only with the consent of the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed to it under OTC derivatives contracts, or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., forward currency contracts), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs the risk of having limited recourse if the counterparty defaults. Even when obligations are required by contract to be collateralized, a Fund often will not receive the collateral the day the collateral is called for. The Funds may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Funds. Derivatives risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. In addition, during those periods, a Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives in which it has invested.

Derivatives also present other risks described in this section, including market risk, liquidity risk, currency risk, credit risk and counterparty risk. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values a Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of a Fund’s net asset value.

A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures, potentially resulting in losses for the Fund.

Swap agreements and other OTC derivatives are highly susceptible to liquidity risk (see “Liquidity Risk” above) and counterparty risk (see “Counterparty Risk” below), and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself.

A Fund’s use of derivatives may be subject to one or more special tax rules and could generate additional taxable income for shareholders.

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. Because the legislation leaves much to rule making (and many of the rules are not yet final), its ultimate impact remains unclear.

Under recently adopted rules and regulations, transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds will hold cleared derivatives through accounts at clearing members. In cleared derivatives transactions, the Funds will make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.

In many ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements. For example, the Funds may be required to provide more margin for cleared derivatives transactions than for bilateral derivatives transactions. Also, in contrast to a bilateral derivatives transaction, following a period of notice to a Fund, a clearing member generally can require termination of an existing cleared derivatives transaction at any time or an increase in margin requirements above the margin that the clearing member required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions or to terminate those transactions at any time. Any increase in margin requirements or termination of existing cleared derivatives transactions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member, because (as described under “Counterparty Risk” below) margin for cleared derivatives transactions in excess of a clearing house’s margin requirements typically is held by the clearing member. Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of the transaction, including loss of an increase in the value of the transaction and/or loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member and typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent.

These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund, increasing margin or capital requirements, or otherwise limiting liquidity or increasing transaction costs. These regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that the new clearing mechanisms will achieve that result, and in the meantime, as noted above, central clearing exposes the Funds to new kinds of risks and costs.

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to additional and more varied risks than Funds whose investments are limited to U.S. securities. The securities markets of many non-U.S. countries include securities of only a limited number of companies in a limited number of industries. As a result, the market prices of many of those securities fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to the same degree of regulation as U.S. issuers. Reporting, accounting, custody and auditing standards of non-U.S. countries differ, in some cases significantly, from U.S. standards. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs. In addition, some jurisdictions may limit the Fund’s ability to profit from short term trading (as defined in the relevant jurisdiction).

A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments and (iii) the repatriation of proceeds generated from the sale of those investments. A Fund may seek to collect a refund in respect of taxes paid to a non-U.S. country. In those cases, all or a portion of those taxes could ultimately be recovered by a Fund. However, the recovery process could take several years and the Fund will incur expenses in its efforts to collect the refund, which will reduce the benefit of any recovery. A Fund’s efforts to collect a refund may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. A Fund’s decision to pursue a refund is in its sole discretion, and it may decide not to pursue a refund, even if eligible.

Also, investing in non-U.S. securities exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments.

In some non-U.S. markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the U.S. with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents, and issuers. Fluctuations in non-U.S. currency exchange rates also will affect the market value of a Fund’s non-U.S. investments (see “Currency Risk” below).

U.S. investors are required to maintain a license to invest directly in many non-U.S. markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license is terminated or suspended, to obtain exposure to the market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of the Manager’s clients may preclude other clients, including a Fund, from obtaining a similar license, and this could limit the Fund’s investment opportunities. In addition, the activities of another of the Manager’s clients could cause the suspension or revocation of a license and thereby limit the Funds’ investment opportunities.

Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of assets of issuers of securities in a Fund’s portfolio; greater governmental involvement in the economy; less governmental supervision and regulation of the securities markets and participants in those markets; controls on non-U.S. investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. Dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e., a market freeze); unavailability of currency hedging techniques; differences in, or lack of, auditing and financial reporting standards and resulting unavailability of material information about issuers; slower clearance and settlement; difficulties in obtaining and/or enforcing legal judgments; and significantly smaller market capitalizations of issuers.

• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the non-U.S. currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position, will decline in value relative to the U.S. Dollar. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss both on the hedging instrument and on the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons, including changes in supply and demand in the currency exchange markets, trade balances, actual or perceived changes in interest rates, differences in relative values of similar assets in different currencies, long-term opportunities for investment and capital appreciation, intervention (or the failure to intervene) by governments, central banks or supranational agencies such as the International Monetary Fund, and currency or exchange controls or other political and economic developments in the U.S. or abroad. See “Market Disruption and Geopolitical Risk” below.

Many of the Funds use derivatives to take overweighted or underweighted currency positions relative to the currency exposure of their portfolios. As a result, their currency exposure may differ (in some cases significantly) from the currency exposure of their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money both on its holdings of a particular currency and on the derivative. See also “Non-U.S. Investment Risk” above.

Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. Dollars, in which case the Manager may decide to purchase U.S. Dollars in a parallel market in which the exchange rate is materially and adversely different. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.

Derivative transactions in non-U.S. currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described below under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk” below).

• FOCUSED INVESTMENT RISK. Funds whose investments are focused in particular countries, regions, sectors, companies or industries with high positive correlations to one another (e.g., different industries within broad sectors, such as technology or financial services), or in securities from issuers with high positive correlations to one another (such as GMO U.S. Treasury Fund’s investments in securities issued by the U.S. Treasury and other fixed income securities that are backed by the full faith and credit of the U.S. government), are subject to greater overall risk than funds whose investments are more diversified. A Fund that invests in the securities of a limited number of issuers is particularly exposed to adverse developments affecting those issuers, and a decline in the market price of a particular security held by the Fund is likely to affect the Fund’s performance more than if the Fund invested in the securities of a larger number of issuers.

A Fund that focuses its investments in a particular type of security or sector, or in securities of companies in a particular industry, is vulnerable to events affecting those securities, sectors, or companies. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments.

Similarly, Funds having a significant portion of their assets in investments tied economically to (or related to) a particular geographic region, non-U.S. country (e.g., Taiwan) or particular market (e.g., emerging markets) have more exposure to regional and country economic risks than funds making non-U.S. investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in currency valuation in one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk” above.

• LEVERAGING RISK. The use of reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases of a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives have the potential for unlimited loss, regardless of the size of the initial investment. A Fund’s use of reverse repurchase agreements also subjects it to interest costs based on the difference between the sale and repurchase price of the security involved. A Fund’s portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.

A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.

• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise hold investments it would prefer to sell, resulting in losses for the Fund. The Funds are not subject to any limits to their exposure to any one counterparty nor to a requirement that counterparties maintain a specific rating by a nationally recognized rating organization to be considered for potential transactions. To the extent that GMO’s view with respect to a particular counterparty changes (whether due to external events or otherwise), existing transactions are not required to be terminated or modified. Additionally, new transactions may be entered into with a counterparty that is no longer considered eligible if the transaction is primarily designed to reduce the overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lesser notional amount). Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies, but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time that events may occur that prevent settlement. Counterparty risk also is greater when a Fund has concentrated its derivatives with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Significant exposure to a single counterparty increases a Fund’s counterparty risk. Funds that use swap agreements are subject, in particular, to the creditworthiness of the counterparties because some types of swap agreements have durations longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be promptly posted as required.

The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds.

Counterparty risk with respect to derivatives will be affected by new rules and regulations affecting the derivatives market. As described under “Derivatives Risk” above, some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position, rather than the credit risk of its original counterparty to the derivatives transaction. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. A clearing member is obligated by contract and by applicable regulation to segregate all funds received from customers with respect to cleared derivatives transactions from the clearing member’s proprietary assets. However, all funds and other property received by a clearing member from its customers with respect to cleared derivatives are generally held by the clearing member on a commingled basis in an omnibus account, and the clearing member may invest those funds in certain instruments permitted under the applicable regulations. Therefore, a Fund might not be fully protected in the event of the bankruptcy of a Fund’s clearing member because the Fund would be limited to recovering only a pro rata share of all available funds segregated on behalf of the clearing member’s customers for a relevant account class. Also, the clearing member is required to transfer to the clearing house the amount of margin required by the clearing house for cleared derivatives, which amounts are generally held in an omnibus account at the clearing house for all customers of the clearing member. Regulations promulgated by the Commodities Futures Trading Commission require that the clearing member notify the clearing house of the initial margin provided by the clearing member to the clearing house that is attributable to each customer. However, if the clearing member does not accurately report the Funds’ initial margin, the Funds are subject to the risk that a clearing house will use a Fund’s assets held in an omnibus account at the clearing house to satisfy payment obligations of a defaulting customer of the clearing member to the clearing house. In addition, clearing members generally provide the clearing house the net amount of variation margin required for cleared swaps for all of its customers in the aggregate, rather than individually for each customer. The Funds are therefore subject to the risk that a clearing house will not make variation margin payments owed to a Fund if another customer of the clearing member has suffered a loss and is in default, and the risk that a Fund will be required to provide additional variation margin to the clearing house before the clearing house will move the Fund’s cleared derivatives transactions to another clearing member. In addition, if a clearing member does not comply with the applicable regulations or its agreement with the Funds, or in the event of fraud or misappropriation of customer assets by a clearing member, a Fund could have only an unsecured creditor claim in an insolvency of the clearing member with respect to the margin held by the clearing member.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events will disrupt securities markets, adversely affect global economies and markets and thereby decrease the value of the Funds’ investments. The wars in Iraq and Afghanistan have had a substantial effect on the economies and securities markets of the U.S. and other countries. Terrorism in the U.S. and around the world has had a similar global impact and has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation (e.g., the potential manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trade practices, which could disrupt the orderly functioning of these markets or adversely affect the value of investments traded in these markets, including investments of the Funds. While the U.S. government has honored its credit obligations continuously for the last 200 years, it remains possible that the U.S. could default on its obligations. While it is impossible to predict the consequences of such an unprecedented event, it is likely that a default by the U.S. would be highly disruptive to the U.S. and global securities markets and could significantly impair the value of the Funds’ investments. Similarly, political events within the U.S. at times have resulted, and may in the future result, in a shutdown of government services, which could negatively affect the U.S. economy, decrease the value of many Fund investments, and increase uncertainty in or impair the operation of the U.S. or other securities markets. The uncertainty surrounding the sovereign debt of a significant number of European Union countries as well as the continued existence of the European Union itself, have disrupted and may continue to disrupt markets in the U.S. and around the world. If one or more countries leave the European Union or the European Union dissolves, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also could negatively impact the Funds. War, terrorism, economic uncertainty and related geopolitical events have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment and other factors affecting the value of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs for a period of time and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis. To the extent that a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events could have a disproportionate impact on the Fund.

• LARGE SHAREHOLDER RISK. To the extent that a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance if it is forced to sell portfolio securities to raise the cash needed to satisfy the redemption request. In addition, GMO Funds and other accounts over which GMO has investment discretion that invest in the Funds are not subject to restrictions on the frequency of trading of Fund shares. Asset Allocation Funds and separate accounts managed by the Manager for its clients hold substantial percentages of the shares of many Funds, and asset allocation decisions by the Manager may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) at times when it would not otherwise do so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, accelerate the realization of taxable gains to shareholders. They also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any). In addition, each Fund that invests in other GMO Funds subject to large shareholder risk is indirectly subject to this risk.

• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on the Manager’s ability to achieve its investment objective. Each Fund runs the risk that the Manager’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. The Manager also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.

For some Funds the Manager’s portfolio managers use quantitative analyses and models. Any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement a Fund’s strategies. By necessity, these analyses and models make simplifying assumptions that limit their effectiveness. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate or may not include the most recent information about a company or a security. The Funds also run the risk that GMO’s assessment of an investment may be wrong. There can be no assurance that key personnel of the Manager will continue to be employed by the Manager. The loss of their services could have an adverse impact on the Manager’s ability to achieve the Funds’ investment objectives.

The Funds also are subject to the risk of loss as a result of other services provided by the Manager and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error and system failures by a service provider. For example, trading delays or errors (both human and systematic) could prevent a Fund from benefiting from potential investment gains or avoiding losses on the security. The Manager is not contractually liable to the Funds for losses associated with operational risk absent the Manager’s willful misfeasance, bad faith, gross negligence or reckless disregard of its contractual obligations to provide services to the Funds. Other Fund service providers also have limitations on their liability to the Funds for losses resulting from their errors.

• FUND OF FUNDS RISK AND RELATED CONSIDERATIONS. Funds that invest in shares of other investment companies, including other GMO Funds, money market funds and ETFs (for purposes of this risk disclosure, “underlying Funds”), are exposed to the risk that the underlying Funds will not perform as expected.

Because a Fund bears the fees and expenses of the underlying Funds in which it invests (absent reimbursement of those expenses), the Fund will incur additional expenses when investing in underlying Funds. In addition, total Fund expenses will increase if a Fund makes a new or further investment in underlying Funds with higher fees or expenses than the average fees and expenses of the underlying Funds then in the Fund’s portfolio.

The Funds also are indirectly exposed to all of the risks of an investment in the underlying Funds. Many of the Funds that invest in shares of other GMO Funds are subject indirectly to Large Shareholder Risk because those other GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk” above.

Investments in ETFs involve the risk that the ETF’s performance may not track the performance of the index the ETF is designed to track. Unlike the index, an ETF incurs administrative expenses and transaction costs in trading securities. In addition, the timing and magnitude of cash inflows and outflows from and to investors buying and redeeming shares in the ETF could create cash balances that cause the ETF’s performance to deviate from the index (which remains “fully invested” at all times). Performance of an ETF and the index it is designed to track also may diverge because the composition of the index and the securities held by the ETF may occasionally differ. In addition, ETFs often use derivatives to track the performance of the relevant index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed above.

• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the Investment Company Act of 1940, as amended (the “1940 Act”). This means they are allowed to invest in the securities of a relatively small number of issuers and/or non-U.S. currencies. As a result, they may be subject to greater credit, market and other risks, and poor performance by a single issuer may have a greater impact on their performance, than if they were “diversified.”

The following Funds are not diversified investment companies under the 1940 Act:

• Emerging Countries Fund

• Emerging Domestic Opportunities Fund

• Emerging Markets Fund

• Taiwan Fund

Temporary Defensive Positions. The Funds normally do not take temporary defensive positions. To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.

Derivative financial instruments

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of the Funds’ portfolios. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap agreements, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Funds may use derivatives as substitutes for direct investment in securities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap agreements and options) to gain exposure to a given currency.

The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). A Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their investment exposure, the Funds also may use currency derivatives in an attempt to adjust their currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by their portfolio investments.

The Funds may use derivatives to effect transactions intended as substitutes for securities lending.

The Funds may have investment exposures in excess of their net assets (i.e., they may be leveraged). A Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

Certain derivatives transactions used by the Funds, including certain interest rate swaps and certain credit default index swaps, will be required to be cleared. The Funds will hold cleared derivatives transactions through clearing members, who are futures commission merchants who are members of derivatives clearing houses. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing members generally can require termination of existing cleared derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investments and other risks” above for further information.

For Funds that held derivatives during the period ended May 31, 2013, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use	Emerging Countries Fund		Emerging Domestic Opportunities Fund		Emerging Markets Fund
Swap agreements
To achieve returns comparable to holding and lending a direct equity position				X		X
As a substitute for direct investment in securities				X		X
Rights and/or warrants
Received as a result of corporate actions		X				X

Forward currency contracts

The Funds may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked to market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Futures contracts

The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Options

The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium, is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

The Funds may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

When an option contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Funds value OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Funds may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap agreements are net settled. When entering into a swap agreement and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Initial upfront payments received or made upon entering into a swap agreement are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or loss.

Interest rate swap agreements involve an exchange by the parties of their respective commitments to pay or right to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal).

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

The values assigned to swap agreements may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap agreement. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Rights and warrants

The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.

The following is a summary of the fair valuations of derivative instruments categorized by risk exposure:

Fair Values of Derivative Instruments as of May 31, 2013:

	Credit Contracts		Equity Contracts			Foreign Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Emerging Countries Fund
Asset:
Investments, at value (rights and/or warrants)	$	—	$	3,733		$	—	$	—	$	—	$	3,733
Total	$	—	$	3,733		$	—	$	—	$	—	$	3,733
Emerging Domestic Opportunities Fund
Asset:
Unrealized Appreciation on Swap Agreements	$	—	$	2,811,780		$	—	$	—	$	—	$	2,811,780
Total	$	—	$	2,811,780		$	—	$	—	$	—	$	2,811,780
Liability:
Unrealized Depreciation on Swap Agreements	$	—	$	(204,386	)	$	—	$	—	$	—	$	(204,386	)
Total	$	—	$	(204,386	)	$	—	$	—	$	—	$	(204,386	)
Emerging Markets Fund
Asset:
Investments, at value (rights and/or warrants)	$	—	$	185,706		$	—	$	—	$	—	$	185,706
Total	$	—	$	185,706		$	—	$	—	$	—	$	185,706
Liability:
Unrealized Appreciation on Swap Agreements	$	—	$	(2,069,482	)	$	—	$	—	$	—	$	(2,069,482	)
Total	$	—	$	(2,069,482	)	$	—	$	—	$	—	$	(2,069,482	)

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.

The average volume of derivative activity, based on absolute values (rights and/or warrants) or notional amounts (swap agreements) outstanding at each month-end was as follows for the period ended May 31, 2013.

	Swap Agreements ($)		Rights and/or Warrants ($)
Emerging Countries Fund		—		1,244
Emerging Domestic Opportunities Fund		103,021,042		—
Emerging Markets Fund		33,911,346		61,902

Subsequent events

Subsequent to May 31, 2013, GMO Emerging Countries Fund received redemption requests in the amount of $47,290,255.

For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.

Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares / Par Value		Description	Value ($)
		MUTUAL FUNDS — 91.3%
		United States — 91.3%
		Affiliated Issuers
	20,559,172	GMO International Growth Equity Fund, Class IV		541,117,406
	56,912,219	GMO International Intrinsic Value Fund, Class IV		1,261,174,771
	38,515,680	GMO U.S. Core Equity Fund, Class VI		608,547,749
	100,051,035	GMO U.S. Flexible Equities Fund, Class VI		1,119,571,078
	9,061,911	GMO U.S. Treasury Fund		226,638,393
		Total United States		3,757,049,397
		TOTAL MUTUAL FUNDS (COST $3,378,787,510)		3,757,049,397
		INVESTMENT FUNDS — 1.9%
		United States — 1.9%
	1,896,541	Vanguard Emerging Markets ETF		78,744,382
		TOTAL INVESTMENT FUNDS (COST $80,515,350)		78,744,382
		SHORT-TERM INVESTMENTS — 1.2%
		Time Deposits — 1.2%
USD	20,543,318	DBS Bank Ltd (Singapore) Time Deposit, 0.06%, due 06/03/13		20,543,318
USD	7,089,663	Skandinaviska Enskilda Banken, AB (Stockholm) Time Deposit, 0.06%, due 06/03/13		7,089,663
USD	20,543,319	Sumitomo (Tokyo) Time Deposit, 0.06%, due 06/03/13		20,543,319
		Total Time Deposits		48,176,300
		TOTAL SHORT-TERM INVESTMENTS (COST $48,176,300)		48,176,300
		TOTAL INVESTMENTS — 94.4% (Cost $3,507,479,160)		3,883,970,079
		Other Assets and Liabilities (net) — 5.6%		228,751,079
		TOTAL NET ASSETS — 100.0%		$4,112,721,158

A summary of outstanding financial instruments at May 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter-     party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
06/24/13	BBH		AUD	4,922,916		USD	5,163,100	$	458,649
06/24/13	BOA		AUD	2,450,306		USD	2,361,100		19,532
06/24/13	GS		AUD	53,543,712		USD	54,999,919		3,832,327
06/24/13	MSCI		AUD	24,728,831		USD	25,416,960		1,785,526
06/24/13	RBS		AUD	1,157,885		USD	1,136,500		29,999
06/24/13	BBH		CHF	3,530,934		USD	3,678,600		(14,625	)
06/24/13	BCLY		CHF	17,993,349		USD	19,463,126		642,754
06/24/13	DB		CHF	21,633,786		USD	23,179,346		551,211
06/24/13	GS		CHF	18,438,866		USD	19,849,875		563,508
06/24/13	JPM		CHF	6,995,933		USD	7,377,900		60,415
06/24/13	MSCI		CHF	18,228,663		USD	19,600,629		534,126
06/24/13	BOA		DKK	61,167,653		USD	10,703,221		36,870
06/24/13	GS		DKK	3,284,247		USD	575,600		2,896
06/24/13	BBH		EUR	8,351,510		USD	10,912,100		56,114
06/24/13	DB		EUR	111,990,084		USD	146,225,565		651,557
06/24/13	JPM		EUR	68,200,684		USD	89,025,627		372,716
06/24/13	MSCI		EUR	27,747,682		USD	35,953,700		(115,040	)
06/24/13	BOA		GBP	13,282,870		USD	20,199,100		19,972
06/24/13	JPM		GBP	70,640,234		USD	107,724,388		408,856
06/24/13	MSCI		GBP	60,643,385		USD	92,419,063		290,587
06/24/13	BBH		HKD	26,292,927		USD	3,387,200		(243	)
06/24/13	RBS		HKD	213,855,503		USD	27,555,038		3,014
06/24/13	BCLY		JPY	13,961,146,212		USD	142,316,259		3,326,557
06/24/13	BOA		JPY	1,422,997,749		USD	14,320,800		154,196
06/24/13	GS		JPY	1,521,624,165		USD	14,911,700		(236,776	)
06/24/13	MSCI		JPY	5,434,738,010		USD	55,489,861		1,384,517
06/24/13	BOA		NOK	2,209,135		USD	383,100		6,955
06/24/13	MSCI		NOK	46,997,217		USD	8,087,367		85,238
06/24/13	BOA		NZD	146,873		USD	124,900		8,329
06/24/13	JPM		NZD	1,291,983		USD	1,088,432		62,999
06/24/13	BBH		SEK	3,644,461		USD	551,800		1,824
06/24/13	BOA		SEK	7,040,872		USD	1,098,300		35,780
06/24/13	MSCI		SEK	197,740,860		USD	30,351,099		510,539
06/24/13	BBH		SGD	2,169,644		USD	1,736,500		19,920
06/24/13	BOA		SGD	340,578		USD	274,900		5,441
06/24/13	JPM		SGD	19,098,654		USD	15,448,224		337,740
								$	15,893,980

Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

Futures Contracts

Number of Contracts		Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
	Sales
	240	Amsterdam IDX	June 2013	$	22,576,034	$	199,069
	1,704	CAC 40	June 2013		86,823,294		132,254
	290	DAX	June 2013		78,217,412		(2,952,692	)
	1,988	FTSE 100	June 2013		197,186,422		(2,421,339	)
	172	FTSE/MIB	June 2013		19,103,066		(1,490,284	)
	196	Hang Seng	June 2013		27,853,978		379,803
	239	IBEX 35	June 2013		25,715,504		748,628
	261	MSCI Singapore	June 2013		15,180,833		566,973
	1,563	OMXS 30	June 2013		28,482,548		522,632
	24,246	S&P 500 E-Mini Index	June 2013		1,974,836,700		(97,245,720	)
	628	SPI 200	June 2013		73,394,550		2,446,322
	1,729	TOPIX	June 2013		190,254,509		(14,920,042	)
		Total Sales		$	2,739,624,850	$	(114,034,396	)

Swap Agreements

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund (Pays)/Receives	Net Unrealized Appreciation/ (Depreciation)
	37,514,256	USD	7/23/2013	JPM	MSCI Daily Total Return EAFE	1 month USD LIBOR BBA minus 0.09%	$	1,896,243
	50,496,833	USD	8/7/2013	JPM	MSCI Daily Total Return EAFE	1 month USD LIBOR BBA minus 0.09%		1,817,166
	131,925,321	USD	9/30/2013	CSI	MSCI Daily Total Return EAFE	1 month USD LIBOR BBA minus 0.13%		2,848,684
	52,861,426	USD	1/29/2014	CITI	MSCI Daily Total Return EAFE	1 month USD LIBOR BBA minus 0.05%		1,141,445
	44,882,830	USD	2/10/2014	CITI	MSCI Daily Total Return EAFE	1 month USD LIBOR BBA minus 0.02%		1,652,431
	78,715,765	USD	3/13/2014	JPM	MSCI Daily Total Return EAFE	1 month USD LIBOR BBA plus 0.04%		3,153,450
	39,962,002	USD	3/14/2014	BNP	MSCI Daily Total Return EAFE	1 month USD LIBOR BBA plus 0.03%		1,644,526
	80,549,745	USD	3/24/2014	JPM	MSCI Daily Total Return EAFE	1 month USD LIBOR BBA plus 0.04%		4,112,370
	45,896,052	USD	4/3/2014	CITI	MSCI Daily Total Return EAFE	1 month USD LIBOR BBA plus 0.06%		1,387,815
	134,216,893	USD	5/12/2014	BNP	MSCI Daily Total Return EAFE	1 month USD LIBOR BBA plus 0.12%		5,381,087
	214,653,705	USD	5/15/2014	JPM	MSCI Daily Total Return EAFE	1 month USD LIBOR BBA plus 0.11%		8,840,160
							$	33,875,377
						Premiums to (Pay) Receive	$	—

Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

As of May 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

BBA - British Banks Association

USD LIBOR - London Interbank Offered Rate denominated in United States Dollars.

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank PLC

BNP - BNP Paribus

BOA - Bank of America, N.A.

CITI - Citibank N.A.

CSI - Credit Suisse International

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

RBS - Royal Bank of Scotland PLC

Currency Abbreviations:

AUD - Australian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 63.6%
		Affiliated Issuers — 63.6%
	791,020	GMO Short-Duration Collateral Fund		3,045,428
	39,263,405	GMO U.S. Treasury Fund		981,977,759
		TOTAL MUTUAL FUNDS (COST $985,132,298)		985,023,187
		SHORT-TERM INVESTMENTS — 35.0%
		Money Market Funds — 5.9%
	12,853,361	State Street Institutional Liquid Reserves Fund, 0.10% (a) (b)		12,853,361
	78,541,014	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (c)		78,541,014
		Total Money Market Funds		91,394,375
		U.S. Government — 29.1%
	23,000,000	U.S. Treasury Bill, 0.03%, due 08/15/13 (a) (d)		22,998,712
	50,000,000	U.S. Treasury Bill, 0.03%, due 08/22/13 (a) (d)		49,996,650
	94,500,000	U.S. Treasury Bill, 0.03%, due 08/29/13 (a) (d)		94,491,967
	45,000,000	U.S. Treasury Bill, 0.04%, due 09/05/13 (a) (d) (e)		44,995,005
	47,000,000	U.S. Treasury Bill, 0.05%, due 09/19/13 (a) (d)		46,993,326
	52,000,000	U.S. Treasury Bill, 0.05%, due 10/10/13 (a) (d) (e)		51,989,756
	50,000,000	U.S. Treasury Bill, 0.06%, due 07/11/13 (a) (d)		49,996,667
	10,000,000	U.S. Treasury Bill, 0.06%, due 10/17/13 (a) (d)		9,997,730
	5,000,000	U.S. Treasury Bill, 0.07%, due 11/14/13 (a) (d)		4,998,405
	59,000,000	U.S. Treasury Bill, 0.07%, due 11/29/13 (a) (d)		58,980,176
	5,000,000	U.S. Treasury Bill, 0.08%, due 06/06/13 (d) (e)		4,999,938
	10,000,000	U.S. Treasury Bill, 0.14%, due 07/25/13 (a) (d)		9,997,825
		Total U.S. Government		450,436,157
		TOTAL SHORT-TERM INVESTMENTS (COST $541,785,608)		541,830,532
		TOTAL INVESTMENTS — 98.6% (Cost $1,526,917,906)		1,526,853,719
		Other Assets and Liabilities (net) — 1.4%		22,084,550
		TOTAL NET ASSETS — 100.0%		$1,548,938,269

A summary of outstanding financial instruments at May 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
07/17/13	MSCI		AUD	77,900,000		USD	75,074,098	$	748,883
06/13/13	BCLY		GBP	51,300,000		USD	78,574,250		633,853
07/01/13	CSI		GBP	65,300,000		USD	101,389,351		2,190,801
07/15/13	CSI		GBP	18,500,000		USD	28,735,773		634,663
06/13/13	MSCI		GBP	55,000,000		USD	84,008,914		447,084
06/13/13	MSCI		USD	33,191,172		GBP	22,100,000	$	385,490
								$	5,040,774

Futures Contracts

Number of Contracts		Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
	Buys
	837	Euro STOXX 50 Futures	June 2013	$	29,899,920	$	1,237,516
	2,985	FTSE 100	June 2013		295,434,161		5,256,692
	259	Hang Seng	June 2013		36,806,066		(598,065	)
	232	MSCI Singapore	June 2013		13,486,618		(427,562	)
	1,202	MSCI Taiwan	June 2013		35,193,598		(528,039	)
	362	S&P 500 Index	June 2013		147,424,500		2,465,026
				$	558,244,863	$	7,405,568
	Sales
	904	Gold 100 OZ (a)	August 2013	$	125,927,200	$	6,619,863
	219	Japanese Government Bond 10 Yr. (TSE)	June 2013		308,669,963		5,212,738
	525	Light Sweet Crude Oil (a)	June 2013		48,284,250		2,560,231
	131	Live Cattle (a)	August 2013		6,311,580		(27,663	)
	667	Nikkei 225	June 2013		88,077,069		1,746,932
	133	S&P Toronto 60	June 2013		18,669,284		12,102
	281	Silver (a)	July 2013		31,251,415		5,006,561
	333	Sugar 11 (a)	June 2013		6,172,488		452,293
				$	633,363,249	$	21,583,057

Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

As of May 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Consolidated Schedule of Investments:

(a) All or a portion of this security is owned by GMO Alternative Asset SPC Ltd., which is a 100% owned subsidiary of GMO Alternative Asset Opportunity Fund.

(b) The rate disclosed is the 7 day net yield as of May 31, 2013.

(c) The rate disclosed is the 7 day net yield as of May 31, 2013. Note: Yield rounds to 0.00%.

(d) The rate shown represents yield-to-maturity.

(e) All or a portion of this security has been pledged to cover margin requirements on futures contracts, collateral on swap agreements, forward currency contracts, and/or written options, if any.

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

CSI - Credit Suisse International

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

AUD - Australian Dollar

GBP - British Pound

USD - United States Dollar

Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 48.1%
		United States — 48.1%
		Affiliated Issuers — 48.1%
	66,091,090	GMO Alpha Only Fund, Class IV		1,605,352,580
	28,123,982	GMO Alternative Asset Opportunity Fund		871,280,965
	13,143,896	GMO Debt Opportunities Fund, Class VI		362,114,325
	15,756,025	GMO Emerging Country Debt Fund, Class IV		162,129,498
	6,162,914	GMO Flexible Equities Fund, Class VI		139,836,522
		TOTAL MUTUAL FUNDS (COST $3,087,493,947)		3,140,713,890
		INVESTMENT FUNDS (a) — 0.2%
		United States — 0.2%
	306,009	iShares MSCI Emerging Markets Index Fund		12,610,631
		TOTAL INVESTMENT FUNDS (COST $12,775,973)		12,610,631
		DEBT OBLIGATIONS (a) — 0.1%
		CMBS Collateralized Debt Obligations — 0.0%
	1,599,399	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.07%, due 11/23/52		1,599
		Insured Other — 0.0%
	2,500,000	Toll Road Investment Part II, Series C, 144A, MBIA, Zero Coupon, due 02/15/37		621,250
		Asset-Backed Securities (Canada) — 0.1%
CAD	1,938,400	Master Asset Vehicle II, Series 09-2, Class A2, 0.78%, due 07/15/56		1,647,663
CAD	352,000	Master Asset Vehicle II, Series 09-2, Class B, Zero Coupon, due 07/15/56		286,897
CAD	150,000	Master Asset Vehicle II, Series 09-2, Class C, Zero Coupon, due 07/15/56		110,683
CAD	2,559,600	Master Asset Vehicle II, Series 09-2, Class A1, 0.78%, due 07/15/56		2,228,154
		Asset-Backed Securities (Canada)		4,273,397
		Total Asset-Backed Securities		4,273,397
		Bank Loans — 0.0%
	992,424	Chrysler Group LLC Term Loan B, 4.75%, due 05/24/17		1,003,589
	380,447	Caesars Entertainment Corp. Term Loan B1, 3.00%, due 01/28/15		378,545

Par Value ($) / Shares		Description	Value ($)
		Bank Loans — continued
	783,178	Caesars Entertainment Corp. Term Loan B3, 3.00%, due 01/28/15		769,473
	1,085,367	Springleaf Financial Funding Co. Term Loan B, 4.25%, due 05/10/17		1,088,080
		Total Bank Loans		3,239,687
		TOTAL DEBT OBLIGATIONS (COST $8,006,265)		8,135,933
		COMMON STOCKS (a) — 43.2%
		Australia — 0.6%
	1,491,214	Arrium Ltd		1,126,156
	131,314	Bank of Queensland Ltd		1,095,621
	61,053	Bendigo and Adelaide Bank Ltd		572,908
	241,795	Billabong International Ltd *		105,291
	462,846	BlueScope Steel Ltd *		2,302,358
	714	Caltex Australia Ltd		15,229
	26,690	Commonwealth Bank of Australia		1,695,663
	98,732	CSL Ltd		5,617,907
	1,128,095	Goodman Fielder Ltd *		766,198
	72,009	Goodman Group (REIT)		351,442
	68,747	GPT Group (REIT)		254,601
	164,792	Insurance Australia Group Ltd		889,326
	281,845	Investa Office Fund (REIT)		858,024
	22,995	JB Hi–Fi Ltd		329,154
	41,110	Macquarie Group Ltd		1,676,323
	1,076,554	Mirvac Group (REIT)		1,715,981
	37,483	Myer Holdings Ltd		87,232
	455,851	Pacific Brands Ltd		331,751
	103,394	Qantas Airways Ltd *		156,401
	370,789	QBE Insurance Group Ltd		5,618,556
	775,401	Stockland (REIT)		2,689,060
	406,697	TABCORP Holdings Ltd		1,274,945
	311,975	Tatts Group Ltd		954,174
	235,194	Telstra Corp Ltd		1,063,458
	332,965	Westpac Banking Corp		8,973,707
	42,739	Woolworths Ltd		1,343,809
		Total Australia		41,865,275
		Austria — 0.1%
	4,602	Andritz AG		250,585
	858	Erste Group Bank AG		27,557
	68,881	OMV AG		3,177,398
	14,072	Raiffeisen Bank International AG		477,179
	41,254	Voestalpine AG		1,367,170
		Total Austria		5,299,889
		Belgium — 0.2%
	70,800	Ageas		2,595,667
	86,319	Anheuser-Busch InBev NV		7,948,708
	60,973	Belgacom SA		1,366,154

Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Belgium — continued
	6,626	Delhaize Group		422,524
	3,269	KBC Groep NV		129,584
	9,161	Mobistar SA		202,109
		Total Belgium		12,664,746
		Brazil — 0.8%
	5,000	Banco Bradesco SA		83,318
	1,063,600	Banco do Brasil SA		12,494,246
	118,400	Banco Santander Brasil SA		835,843
	266,200	Banco Santander Brasil SA ADR		1,898,006
	42,300	BR Malls Participacoes SA		431,729
	61,500	BR Properties SA		592,948
	28,700	Cia de Saneamento Basico do Estado de Sao Paulo		358,448
	443,680	Cielo SA		11,211,113
	44,370	Duratex SA		301,007
	20,700	EDP-Energias Do Brasil SA		119,746
	36,400	Electrobras (Centro)		93,983
	7,200	Fibria Celulose SA *		79,033
	10,800	Fibria Celulose SA Sponsored ADR *		118,584
	45,000	Gol Linhas Aereas Inteligentes SA ADR *		200,700
	83,500	Grupo BTG Pactual		1,281,467
	18,800	Light SA		152,029
	3,400	Multiplan Empreendimentos Imobiliarios SA		88,103
	73,600	Multiplus SA		1,186,232
	65,500	Petroleo Brasileiro SA (Petrobras) ADR		1,163,935
	17,600	Porto Seguro SA		218,418
	94,700	Qualicorp SA *		837,877
	61,457	Sul America SA		399,709
	59,700	Totvs SA		1,030,493
	35,400	Vale SA		505,596
	907,100	Vale SA Sponsored ADR		13,062,240
		Total Brazil		48,744,803
		Canada — 0.2%
	2,800	Alimentation Couche Tard Inc		156,643
	32,900	Bombardier Inc-Class B		149,149
	4,300	Canadian Oil Sands Ltd		83,242
	2,000	Canadian Pacific Railway Ltd		265,908
	13,400	Canadian Tire Corp Ltd-Class A		1,076,653
	8,700	Encana Corp		165,902
	87,400	First Quantum Minerals Ltd		1,564,643
	9,400	Home Capital Group Inc		481,084
	38,900	Husky Energy Inc		1,098,993
	2,500	Magna International Inc		166,723
	3,600	Methanex Corp		159,279
	5,300	Metro Inc		354,833
	316,100	Research In Motion Ltd *		4,405,734
	17,400	RONA Inc		175,553

Shares		Description	Value ($)
		Canada — continued
	9,600	Royal Bank of Canada		569,750
	22,100	Sherritt International Corp		98,909
	18,100	Sun Life Financial Inc		530,037
		Total Canada		11,503,035
		Czech Republic — 0.2%
	348,285	CEZ AS		9,649,608
		Denmark — 0.1%
	2,221	Coloplast A/S		126,669
	4,080	GN Store Nord A/S		78,099
	26,539	Novo-Nordisk A/S-Class B		4,301,378
		Total Denmark		4,506,146
		Egypt — 0.1%
	1,292,520	Al Ezz Steel Rebars SAE *		1,803,416
	409,541	Citadel Capital SAE *		187,279
	176,989	Commercial International Bank		927,557
	293,527	EFG-Hermes Holding SAE *		369,958
	88,648	Egyptian Kuwaiti Holding Co SAE		80,456
	62,617	Juhayna Food Industries		97,829
	175,821	Orascom Telecom Holding SAE *		125,399
	241,328	Orascom Telecom Holding SAE GDR (Registered Shares) *		781,094
	22,648,656	Orascom Telecom Media And Technology Holding SAE		1,585,031
	2,142,751	Palm Hills Developments SAE *		682,860
	96,773	Sidi Kerir Petrochemicals Co		181,559
	36,119	Six of October Development & Investment Co *		99,779
	495,625	Talaat Moustafa Group*		305,270
	332,994	Telecom Egypt Co		646,635
		Total Egypt		7,874,122
		Finland — 0.1%
	1,318	Kone Oyj-Class B		115,782
	14,217	Neste Oil Oyj		206,040
	1,517,505	Nokia Oyj *		5,076,510
	22,109	Sampo Oyj-Class A		896,076
	6,348	Tieto Oyj		130,129
		Total Finland		6,424,537
		France — 2.4%
	309,764	Air France–KLM *		2,980,823
	259,206	AXA		5,233,291
	182,036	BNP Paribas		10,652,667
	8,387	Bouygues SA		222,782
	72,335	Carrefour SA		2,117,786
	29,953	CNP Assurances		452,274
	18,674	Compagnie Generale des Etablissements Michelin-Class B		1,629,684

Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		France — continued
	34,426	European Aeronautic Defense and Space Co NV		1,982,268
	441,227	France Telecom SA		4,474,752
	287,744	GDF Suez		5,868,305
	1,160	L’Oreal SA		195,543
	15,156	Lafarge SA		1,080,784
	32,895	Lagardere SCA		846,127
	62,052	PagesJaunes Groupe *		147,893
	427,236	Peugeot SA *		3,761,378
	3,178	Rallye SA		124,819
	447	Remy Cointreau SA		51,576
	105,586	Renault SA		8,149,156
	384,475	Sanofi		40,995,861
	230,319	Societe Generale		9,185,611
	83,738	Technicolor *		355,394
	1,039,628	Total SA		51,964,072
	265,916	Vivendi SA		5,204,603
		Total France		157,677,449
		Germany — 1.0%
	30,346	Allianz SE (Registered)		4,687,439
	32,462	Aurubis AG		1,948,544
	72,026	Bayer AG (Registered)		7,697,227
	1,875	Beiersdorf AG		169,101
	3,433	Continental AG		449,179
	127,327	Deutsche Lufthansa AG (Registered) *		2,731,778
	7,019	Deutsche Bank AG (Registered)		326,116
	111,238	Deutsche Post AG (Registered)		2,803,182
	20,632	Duerr AG		1,337,716
	997,257	E.ON AG		16,804,896
	43,095	Freenet AG		920,889
	9,249	Hannover Rueckversicherung AG (Registered)		696,296
	54,425	Kloeckner & Co SE *		687,279
	9,989	Leoni AG		498,210
	6,546	Merck KGaA		1,036,061
	31,264	Metro AG		1,059,998
	26,417	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		4,927,426
	210,915	RWE AG		7,196,530
	25,486	Salzgitter AG		963,364
	126,289	SAP AG *		9,451,202
	31,945	Suedzucker AG		1,080,863
		Total Germany		67,473,296
		Greece — 0.0%
	26,612	Marfin Investment Group Holdings SA *		11,065
	208,022	OPAP SA		1,720,172
	106,424	Public Power Corp SA *		1,061,738
		Total Greece		2,792,975

Shares		Description	Value ($)
		Hong Kong — 0.2%
	26,000	AAC Technologies Holdings Inc		148,240
	23,000	Cheung Kong Holdings Ltd		323,913
	103,000	CLP Holdings Ltd		866,632
	1,041,100	Esprit Holdings Ltd		1,584,390
	92,000	Galaxy Entertainment Group Ltd *		477,580
	612,000	Hong Kong & China Gas		1,729,305
	192,500	Link (REIT)		990,341
	171	Melco International Development Ltd		373
	724,000	Pacific Basin Shipping Ltd		414,877
	89,500	Power Assets Holdings Ltd		783,363
	34,400	Sands China Ltd		181,716
	89,000	Sun Hung Kai Properties Ltd		1,181,161
	32,000	Swire Pacific Ltd		405,172
	164,000	Wharf Holdings Ltd (The)		1,456,405
	210,500	Yue Yuen Industrial Holdings		607,941
		Total Hong Kong		11,151,409
		Hungary — 0.0%
	32,713	OTP Bank Plc		694,917
		India — 0.5%
	71,634	Aban Offshore Ltd		374,068
	182,686	Allahabad Bank		392,653
	1,762	Asian Paints Ltd		151,128
	203,091	Aurobindo Pharma Ltd		612,180
	33,839	Bank of Baroda		398,445
	408,388	Cairn India Ltd		2,048,953
	31,403	Canara Bank Ltd		229,537
	27,816	CESC Ltd		162,960
	56,227	Cipla Ltd		370,178
	22,784	Financial Technologies India Ltd		333,336
	56,385	GAIL India Ltd		303,862
	1,738	Grasim Industries Ltd (b)		87,453
	2,229	Grasim Industries Ltd Sponsored GDR		112,280
	122,632	HCL Technologies Ltd		1,617,162
	528,704	Hexaware Technologies Ltd		748,355
	315,697	Hindalco Industries Ltd		569,245
	312,200	Hindalco Industries Ltd GDR, 144A (b)		550,899
	924,691	Housing Development & Infrastructure Ltd *		683,503
	8,783	ICICI Bank Ltd Sponsored ADR		177,958
	27,864	Infosys Technologies Ltd		1,181,510
	149,900	Infosys Technologies Ltd Sponsored ADR		6,258,325
	79,791	Jai Balaji Industries Ltd *		35,420
	62,975	Jindal Steel & Power Ltd		318,365
	22,379	JSW Steel Ltd		269,958
	700,833	NHPC Ltd		239,413
	63,385	NMDC Ltd		131,321
	158,449	NTPC Ltd		428,884
	171,638	Oil & Natural Gas Corp Ltd		987,884
	10,213	Oil India Ltd		103,865
	32,588	Oriental Bank of Commerce		140,262

Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		India — continued
	110,174	Power Grid Corp of India Ltd		220,651
	38,381	Punjab National Bank Ltd (b)		515,519
	174,491	Reliance Energy Ltd		1,117,557
	16,741	Reliance Industries Ltd		237,761
	5,266	Reliance Industries Ltd GDR, 144A		149,271
	56,671	Rural Electrification Corp Ltd		221,415
	1,074,161	Satyam Computer Services Ltd *		2,093,450
	310,958	Sesa Goa Ltd		886,029
	307,175	Steel Authority of India Ltd		304,811
	363,337	Sterlite Industries India Ltd		595,460
	121,300	Sterlite Industries India Ltd ADR		803,006
	19,849	Sun Pharmaceutical Industries Ltd		363,067
	117,684	Tata Consultancy Services Ltd		3,121,510
	175,203	Tata Steel Ltd		903,537
	77,419	Tech Mahindra Ltd		1,320,305
	106,326	UCO Bank		142,198
	29,150	Union Bank of India		112,972
	51,164	United Phosphorus Ltd		140,912
	175,362	Wipro Ltd		1,027,020
	75,457	Wipro Ltd ADR		575,737
		Total India		34,871,550
		Indonesia — 0.8%
	1,129,000	ACE Hardware Indonesia Tbk PT		109,373
	4,017,000	Alam Sutera Realty Tbk PT		432,568
	16,903,500	Astra International Tbk PT		12,152,862
	1,088,500	Bank Central Asia Tbk PT		1,144,577
	5,043,170	Bank Mandiri Persero Tbk PT		4,980,283
	3,571,500	Bank Negara Indonesia Persero Tbk PT		1,770,471
	1,370,000	Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT		170,388
	6,081,270	Bank Rakyat Indonesia Persero Tbk PT		5,498,883
	2,040,500	Bank Tabungan Negara Persero Tbk PT		295,254
	25,329,500	Bhakti Investama Tbk PT		1,392,566
	1,065,000	Bumi Serpong Damai PT		238,623
	1,823,500	Gajah Tunggal Tbk PT		598,369
	9,571,000	Global Mediacom Tbk PT		2,536,202
	843,000	Harum Energy Tbk PT		336,208
	2,250,500	Indomobil Sukses Internasional Tbk PT *		1,201,210
	715,000	Indosat Tbk PT		378,836
	1,461,000	Kalbe Farma Tbk PT		215,660
	1,203,000	Lippo Karawaci Tbk PT		225,981
	5,977,000	Media Nusantara Citra Tbk PT		2,032,553
	1,158,500	Mitra Adiperkasa Tbk PT		1,050,628
	2,503,500	MNC Sky Vision Tbk PT *		688,848
	1,574,500	Modernland Realty Tbk PT *		181,468
	7,055,000	Panin Financial Tbk PT *		197,021
	3,026,500	Ramayana Lestari Sentosa Tbk PT		461,567
	731,150	Semen Gresik Persero Tbk PT		1,340,367
	467,996	Surya Citra Media Tbk PT		138,471
	5,909,000	Telekomunikasi Indonesia Persero Tbk PT		6,634,829

Shares		Description	Value ($)
		Indonesia — continued
	20,600	Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR		931,120
	299,000	Tower Bersama Infrastructure Tbk PT *		182,898
	2,370,000	XL Axiata Tbk PT		1,208,860
		Total Indonesia		48,726,944
		Ireland — 0.1%
	102,250	C&C Group Plc		609,415
	21,147	Kerry Group Plc-Class A		1,202,124
	10,943	Paddy Power Plc		922,678
	51,547	Smurfit Kappa Group Plc		864,772
		Total Ireland		3,598,989
		Israel — 0.0%
	29,582	Africa Israel Investments Ltd *		69,551
	127,011	Bank Hapoalim BM *		587,702
	204,654	Bank Leumi Le-Israel *		714,417
	288,289	Israel Discount Bank Ltd-Class A *		481,569
	65,034	Partner Communications Co Ltd		392,456
	1,642	Teva Pharmaceutical Industries Ltd		62,898
		Total Israel		2,308,593
		Italy — 1.0%
	1,947,383	A2A SPA		1,635,510
	95,109	Assicurazioni Generali SPA		1,769,614
	65,338	Azimut Holding SPA		1,237,777
	4,253,665	Enel SPA		16,010,422
	737,106	ENI SPA		16,762,896
	28,287	Exor SPA		896,460
	610,220	Fiat SPA *		4,782,487
	547,279	Finmeccanica SPA *		3,022,375
	2,145,763	Intesa Sanpaolo SPA		4,003,025
	10,326	Italcementi SPA-Di RISP		35,428
	1,141	Lottomatica Group SPA		30,685
	966,930	Mediaset SPA *		3,001,824
	220,821	Mediolanum SPA		1,466,177
	810,585	Milano Assicurazioni SPA *		519,948
	46,739	Recordati SPA		494,708
	6,575,470	Telecom Italia SPA		5,090,069
	3,713,947	Telecom Italia SPA-Di RISP		2,296,150
	842,949	UniCredit SPA		4,730,783
		Total Italy		67,786,338
		Japan — 3.9%
	1,200	ABC-Mart Inc		43,404
	1,104	Accordia Golf Co Ltd		1,167,514
	84	Advance Residence Investment Corp (REIT)		173,765
	204,100	Aeon Co Ltd		2,382,171
	15,700	Alfresa Holdings Corp		815,828
	88,900	Anritsu Corp		1,200,637
	90,000	Astellas Pharma Inc		4,595,954

Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	400	Avex Group Holding Inc		12,250
	42,600	Bridgestone Corp		1,382,790
	101,000	Calsonic Kansei Corp		436,533
	388,000	Cosmo Oil Co Ltd *		697,236
	13,100	Credit Saison Co Ltd		305,448
	25,100	Daiei Inc *		77,745
	634,000	Daikyo Inc		1,890,441
	64,100	Daito Trust Construction Co Ltd		5,965,811
	45,000	Daiwabo Holdings Co Ltd		75,220
	45,000	Daiwa House Industry Co Ltd		850,408
	196,000	Daiwa Securities Group Inc		1,603,233
	96,500	Dena Co Ltd		2,034,803
	422,000	DIC Corp		969,613
	1,100	Eisai Co Ltd		42,217
	27,600	Electric Power Development Co Ltd		868,176
	200	Fast Retailing Co Ltd		67,271
	71,000	Fuji Electric Co Ltd		230,999
	159,000	Fuji Heavy Industries Ltd		3,581,256
	34,000	Fuji Oil Co Ltd		518,917
	101,000	Gunze Ltd		243,315
	117,000	Hanwa Co Ltd		428,931
	1,760,000	Haseko Corp *		2,286,450
	18,500	Hikari Tsushin Inc		1,020,531
	8,000	Hino Motors Ltd		113,508
	9,700	Idemitsu Kosan Co Ltd		784,948
	69	INPEX Corp		293,733
	47,700	IT Holdings Corp		665,067
	607,200	Itochu Corp		7,524,780
	3,400	J Trust Co Ltd		67,944
	440	Japan Retail Fund Investment Corp (REIT)		835,314
	697,400	Japan Tobacco Inc		23,734,610
	187,200	JFE Holdings Inc		3,847,140
	30,000	Juki Corp *		51,066
	1,190,100	JX Holdings Inc		5,781,803
	74,800	K’s Holdings Corp		2,069,365
	11,700	Kakaku.com Inc		282,196
	92,900	Kao Corp		2,911,263
	1,543,000	Kawasaki Kisen Kaisha Ltd		3,046,700
	218,200	KDDI Corp		9,843,861
	29,000	Kinugawa Rubber Industrial Co Ltd		160,478
	932,000	Kobe Steel Ltd *		1,229,618
	27,986	Kohnan Shoji Co Ltd		326,850
	20,000	Kubota Corp		289,681
	20,000	Kurimoto Ltd		50,845
	5,200	Lawson Inc		378,279
	329,700	Leopalace21 Corp *		1,490,547
	22,000	Look Inc		73,008
	592,000	Marubeni Corp		4,087,633
	1,067,000	Mazda Motor Corp *		4,104,597
	87,204	Medipal Holdings Corp		1,162,780
	2,600	MEIJI Holdings Co Ltd		114,111
	1,300	Misawa Homes Co Ltd		27,643

Shares		Description	Value ($)
		Japan — continued
	83,000	Mitsubishi Estate Co Ltd		2,044,869
	254,000	Mitsubishi Heavy Industries Ltd		1,554,773
	581,500	Mitsubishi Chemical Holdings Corp		2,751,909
	409,100	Mitsubishi Corp		7,070,190
	92,000	Mitsubishi Gas Chemical Co Inc		652,352
	204,600	Mitsubishi UFJ Lease & Finance Co Ltd		927,513
	502,000	Mitsui Chemicals Inc		1,121,033
	711,000	Mitsui Engineer & Shipbuilding Co Ltd		1,154,541
	61,000	Mitsui Fudosan Co Ltd		1,682,887
	345,700	Mitsui & Co Ltd		4,329,504
	490,012	Mitsui Mining & Smelting Co Ltd		1,115,573
	755,134	Mitsui OSK Lines Ltd *		2,681,957
	2,030,800	Mizuho Financial Group Inc		3,866,466
	1,900	Murata Manufacturing Co Ltd		143,594
	19,500	Namco Bandai Holdings Inc		316,080
	432,000	NEC Corp		1,004,549
	62,400	Net One Systems Co Ltd		513,332
	102,000	Nichirei Corp		504,529
	18,700	Nintendo Co Ltd		1,846,740
	36,000	Nippon Corp		465,793
	472,100	Nippon Light Metal Co Ltd		530,155
	90,032	Nippon Paper Industries Co Ltd *		1,100,834
	959,000	Nippon Steel Corp		2,404,134
	176,600	Nippon Telegraph & Telephone Corp		8,709,909
	836,000	Nippon Yusen Kabushiki Kaisha		2,143,419
	151,741	Nipro Corp		1,893,600
	72,000	Nisshinbo Holdings Inc		521,681
	6,600	Nitori Holdings Co Ltd		519,353
	26,800	Nitto Denko Corp		1,591,056
	350,900	Nomura Holdings Inc		2,660,682
	131,986	North Pacific Bank Ltd		433,627
	6,662	NTT Docomo Inc		9,733,291
	69,000	Obayashi Corp		333,117
	8,200	Okinawa Electric Power Co		314,673
	6,000	Ono Pharmaceutical Co Ltd		417,230
	51,000	Orient Corp *		146,333
	608	ORIX JREIT Inc (REIT)		654,509
	400	Pigeon Corp		32,054
	27,749	Point Inc		1,234,033
	1,326,600	Resona Holdings Inc		5,950,556
	203,000	Ricoh Co Ltd		2,356,813
	127,100	Round One Corp		784,126
	19,800	Ryohin Keikaku Co Ltd		1,477,189
	33,600	Sankyo Co Ltd		1,474,711
	41,300	Sega Sammy Holdings Inc		981,242
	42,000	Seino Holdings Co Ltd		321,134
	279,300	Seven Bank Ltd		994,767
	7,600	Shimamura Co Ltd		873,095
	798,000	Shinsei Bank Ltd		1,863,477
	400	Ship Healthcare Holdings Inc		14,448
	164,100	Showa Shell Sekiyu KK		1,296,516
	800	SHO–BOND Holdings Co Ltd		29,407

Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	58,186	SoftBank Corp		2,908,436
	1,319,900	Sojitz Corp		2,274,855
	430,193	Sumitomo Light Metal Industries Ltd		449,010
	48,500	Sumitomo Mitsui Construction Co Ltd *		37,212
	535,500	Sumitomo Corp		6,695,217
	74,500	Sumitomo Electric Industries Ltd		891,177
	114,000	Sumitomo Metal Mining Co Ltd		1,432,521
	73,700	Sumitomo Mitsui Financial Group Inc		2,909,659
	368,000	Sumitomo Mitsui Trust Holdings Inc		1,507,694
	44,000	Sumitomo Realty & Development Co Ltd		1,682,755
	39,000	Suruga Bank Ltd		584,193
	14,800	Suzuken Co Ltd		469,007
	129,000	Taisei Corp		404,909
	256,600	Takeda Pharmaceutical Co Ltd		11,373,108
	59,900	Tokyo Electric Power Co Inc (The) *		358,749
	189,000	Tokyo Tatemono Co Ltd		1,415,737
	11,000	Tokyu Land Corp		99,409
	92,000	TonenGeneral Sekiyu KK		903,831
	49,000	Toshiba Corp		230,532
	468,000	Tosoh Corp		1,528,173
	15,000	Toyobo Co Ltd		24,435
	101,100	Toyota Motor Corp		5,900,126
	150,400	Toyota Tsusho Corp		3,979,716
	109,567	Unitika Ltd *		62,194
	199,300	UNY Co Ltd		1,312,908
	33,200	Wacom Co Ltd		410,168
	2,586	Yahoo! Japan Corp		1,171,611
	103,790	Yamada Denki Co Ltd		3,915,016
		Total Japan		255,789,948
		Kazakhstan — 0.0%
	62,669	KazMunaiGas Exploration Production JSC GDR (Registered Shares)		970,732
		Malaysia — 0.1%
	390,100	AMMB Holdings Berhad		924,494
	529,500	CIMB Group Holdings Berhad		1,417,432
	141,996	Hong Leong Bank Berhad		648,427
	37,700	KLCC Property Holdings Bhd		82,723
	250,000	Malayan Banking Berhad		821,938
	63,100	Public Bank Bhd		345,282
	40,700	Public Bank Bhd (Foreign Market)		221,276
	57,400	RHB Capital Berhad		162,190
		Total Malaysia		4,623,762
		Mexico — 0.2%
	319,000	America Movil SAB de CV		6,351,290
	1,937,400	America Movil SAB de CV-Class L		1,943,730
	11,800	Fomento Economico Mexicano SAB de CV		128,359
	8,100	Fomento Economico Mexicano SAB de CV Sponsored ADR		879,579

Shares		Description	Value ($)
		Mexico — continued
	84,800	Grupo Financiero Banorte SAB de CV-Class O		542,117
	72,400	Grupo Financiero Santander Mexico SAB de CV ADR *		1,145,368
	200	Grupo Financiero Santander Mexico SAB de CV-Class B		646
	26,500	Grupo Televisa SAB Sponsored ADR		691,120
	17,200	Grupo Televisa SAB-Series CPO		89,915
	202,800	Wal-Mart de Mexico SAB de CV-Class V		598,326
		Total Mexico		12,370,450
		Netherlands — 0.4%
	536,789	Aegon NV		3,662,402
	37,844	CSM NV		792,825
	7,424	Delta Lloyd NV		145,169
	7,211	Gemalto NV		605,463
	1,055	Heineken NV		73,395
	451,959	ING Groep NV *		4,214,379
	60,204	Koninklijke Philips Electronics NV		1,704,737
	187,863	Koninklijke BAM Groep NV		927,783
	7,228	PostNL NV *		19,592
	85,275	SNS REAAL NV * (b)		—
	326,844	Unilever NV		13,352,825
	76,300	VimpelCom Ltd Sponsored ADR		759,185
	1,417	Vopak		85,501
	4,375	Wereldhave NV (REIT)		310,746
		Total Netherlands		26,654,002
		New Zealand — 0.1%
	256,309	Chorus Ltd		505,807
	184,720	Fletcher Building Ltd		1,222,171
	1,289,045	Telecom Corp of New Zealand		2,358,681
		Total New Zealand		4,086,659
		Norway — 0.1%
	11,640	Aker Solutions ASA		171,525
	201,884	DNB ASA		3,264,699
	90,652	Golden Ocean Group Ltd *		99,530
	33,522	TGS Nopec Geophysical Co ASA		1,170,141
		Total Norway		4,705,895
		Peru — 0.1%
	407,155	Cia de Minas Buenaventura SA ADR		7,308,432
	3,700	Credicorp Ltd		509,194
		Total Peru		7,817,626
		Philippines — 0.1%
	859,350	BDO Unibank Inc *		1,886,664
	45,950	GT Capital Holdings Inc		813,203
	513,180	Metropolitan Bank & Trust		1,529,274
	9,375	Philippine Long Distance Telephone Co		684,510

Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Philippines — continued
	5,700	Philippine Long Distance Telephone Co Sponsored ADR		410,286
	1,463,400	Puregold Price Club Inc		1,191,798
		Total Philippines		6,515,735
		Poland — 0.2%
	1,305,441	Boryszew SA *		157,732
	5,256	Jastrzebska Spolka Weglowa SA		127,398
	324,327	KGHM Polska Miedz SA		14,489,573
	130,397	Synthos SA		211,855
		Total Poland		14,986,558
		Portugal — 0.1%
	1,108,842	EDP-Energias de Portugal SA		3,575,877
	23,722	Portugal Telecom SGPS SA		100,647
		Total Portugal		3,676,524
		Russia — 1.3%
	5,168	Bashneft OAO-Class S		323,862
	27,103	Gazprom Neft JSC Sponsored ADR *		508,909
	3,898,293	Gazprom OAO Sponsored ADR *		29,070,904
	288,458	Lukoil OAO Sponsored ADR		16,879,247
	972	Magnit OJSC		218,231
	20,858	Magnit OJSC GDR		1,130,028
	1,806	Mobile Telesystems OJSC		14,442
	38,900	Mobile Telesystems Sponsored ADR		749,603
	44,395	Moscow Exchange MICEX-RTS		74,203
	2,060	NovaTek OAO GDR		228,527
	1,020,868	Rosneft OJSC GDR (Registered)		6,701,992
	7,731	Rostelecom OJSC		144,574
	1,169,975	Sberbank Sponsored ADR *		14,225,091
	32,680	Sistema JSFC Sponsored GDR (Registered Shares)		617,177
	577,253	Surgutneftegas Sponsored ADR *		4,313,352
	69,211	Tatneft Sponsored ADR *		2,376,916
	388,994,452	VTB Bank OJSC		560,541
	1,593,220	VTB Bank OJSC GDR (Registered Shares) *		4,548,380
		Total Russia		82,685,979
		Singapore — 0.2%
	376,000	CapitaCommercial Trust (REIT)		449,740
	114,000	China Minzhong Food Corp Ltd *		92,105
	93,967	Ezion Holdings Ltd		168,443
	743,085	Ezra Holdings Ltd *		568,997
	7,883,000	Golden Agri-Resources Ltd		3,579,148
	117,000	Ho Bee Investment Ltd		185,392
	58,000	Jaya Holdings Ltd		27,903
	1,552,000	Noble Group Ltd		1,267,781
	171,000	SembCorp Industries Ltd		655,014
	176,000	Singapore Technologies Engineering Ltd		568,329
	1,646,000	Singapore Telecommunications		4,868,811
	305,000	Swiber Holdings Ltd		182,411

Shares		Description	Value ($)
		Singapore — continued
	64,000	United Overseas Bank Ltd		1,080,963
	62,000	Vard Holdings Ltd		54,606
	820,000	Yangzijiang Shipbuilding Holdings Ltd		569,041
		Total Singapore		14,318,684
		South Africa — 0.2%
	46,616	ABAS Group Ltd		689,422
	700,950	African Bank Investments Ltd		1,110,999
	9,272	African Rainbow Minerals Ltd		164,948
	108,767	AngloGold Ashanti Ltd Sponsored ADR		1,973,033
	81,355	Exxaro Resources Ltd		1,275,868
	107,279	FirstRand Ltd		313,218
	101,914	Gold Fields Ltd Sponsored ADR		618,618
	223,196	Growthpoint Properties Ltd		561,660
	52,500	Investec Ltd		373,226
	9,772	Liberty Holdings Ltd		121,789
	133,992	MTN Group Ltd		2,425,605
	10,343	Naspers Ltd-N Shares		761,451
	7,582	Remgro Ltd		148,744
	76,091	Sasol Ltd		3,393,555
	1,647	Sasol Ltd Sponsored ADR		73,094
	5,275	Sibanye Gold Ltd Sponsored ADR *		19,095
	12,822	Standard Bank Group Ltd		142,002
	186,677	Telkom South Africa Ltd *		275,989
	59,536	Vodacom Group Ltd		660,789
	37,283	Wilson Bayly Holmes-Ovcon Ltd		577,973
		Total South Africa		15,681,078
		South Korea — 2.2%
	124,650	BS Financial Group Inc		1,716,827
	1,539	CJ Corp		169,469
	491	CJ O Shopping Co Ltd		138,159
	9,688	Daelim Industrial Co Ltd		805,089
	23,500	Daewoo Securities Co Ltd		227,580
	15,420	Daewoo Shipbuilding & Marine Engineering Co Ltd		344,626
	27,150	DGB Financial Group Inc		404,385
	38,810	Dongbu Insurance Co Ltd		1,702,999
	24,580	Dongkuk Steel Mill Co Ltd		269,554
	13,700	GS Engineering & Construction Corp		400,979
	67,244	GS Holdings		3,254,950
	232,271	Hana Financial Group Inc		7,746,218
	2,680	Hankook Tire Co Ltd		124,396
	43,300	Hankook Tire WorldwideCo Ltd		732,496
	8,970	Hanwha Chem Corp		140,963
	52,410	Hanwha Corp		1,455,611
	6,173	Honam Petrochemical Corp		887,390
	5,340	Hynix Semiconductor Inc *		149,798
	7,391	Hyosung Corp		385,655
	7,398	Hyundai Engineering & Construction		397,021
	5,754	Hyundai Heavy Industries Co Ltd		992,882
	16,830	Hyundai Hysco		512,642

Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	44,650	Hyundai Marine & Fire Insurance Co Ltd		1,280,677
	1,454	Hyundai Mipo Dockyard		173,964
	28,144	Hyundai Mobis		7,039,032
	50,608	Hyundai Motor Co		9,411,929
	31,780	Hyundai Securities Co Ltd		216,590
	39,876	Hyundai Steel Co		2,513,276
	1,906	Hyundai Wia Corp		276,298
	221,690	Industrial Bank of Korea		2,436,181
	210,090	KB Financial Group Inc		6,819,289
	5,700	KB Financial Group Inc ADR		186,105
	195,057	Kia Motors Corp		10,122,264
	14,997	Kolon Industries Inc		669,310
	2,753	Korea Kumho Petrochemical Co Ltd		227,634
	6,534	Korea Zinc Co Ltd		1,869,362
	4,800	Korean Air Lines Co Ltd *		155,788
	9,960	Korean Reinsurance Co		99,867
	183,270	KT Corp		6,265,244
	30,900	KT Corp Sponsored ADR		520,974
	25,880	KTB Securities Co Ltd *		85,635
	13,496	LG Chem Ltd		3,213,844
	7,627	LG Corp		468,913
	9,266	LG Electronics Inc		658,456
	8,610	LG Fashion Corp		236,246
	12,160	LG International Corp		384,154
	162,100	LG Uplus Corp *		1,673,503
	39,820	LIG Insurance Co Ltd		870,075
	1,524	Lotte Shopping Co Ltd		491,204
	2,042	LS Corp		126,795
	3,396	Mando Corp		292,285
	64,390	Meritz Fire & Marine Insurance Co Ltd		747,416
	4,503	Mirae Asset Securities Co Ltd		186,779
	9,527	MNTech Co Ltd		90,927
	13,140	Poongsan Corp		311,895
	20,298	POSCO		5,746,018
	18,200	POSCO ADR		1,285,830
	2,179	S-Oil Corp		166,489
	10,235	Samsung Engineering Co Ltd		857,215
	2,033	Samsung Fire & Marine Insurance Co Ltd		409,628
	35,110	Samsung Heavy Industries Co Ltd		1,010,329
	4,023	Samsung Life Insurance Co Ltd		373,717
	2,345	Samsung SDI Co Ltd		294,343
	20,950	Samsung Card Co		691,717
	16,601	Samsung Electronics Co Ltd		22,367,521
	11,800	Seah Besteel Corp		345,761
	183,300	Shinhan Financial Group Co Ltd		6,535,087
	1,806	Shinsegae Co Ltd		346,015
	16,846	SK Chemicals Co Ltd		636,858
	3,124	SK Gas Co Ltd		225,802
	53,281	SK Innovation Co Ltd		6,908,847
	27,191	SK Telecom Co Ltd		5,020,149
	84,700	SK Telecom Co Ltd ADR		1,719,410
	6,253	SK Holdings Co Ltd		972,634

Shares		Description	Value ($)
		South Korea — continued
	16,590	SL Corp		232,940
	46,550	STX Corp		104,273
	41,500	STX Pan Ocean Co Ltd *		118,005
	37,300	STX Shipping Co Ltd *		126,778
	16,455	Sungwoo Hitech Co Ltd		221,555
	388,880	Woori Finance Holdings Co Ltd		4,050,469
	38,770	Woori Investment & Securities Co Ltd *		421,080
		Total South Korea		144,270,070
		Spain — 1.3%
	7,662	Abengoa SA		18,038
	5,751	ACS Actividades de Construccion y Servicios SA		160,800
	6,985	Amadeus IT Holding SA-Class A		213,185
	1,156,407	Banco Bilbao Vizcaya Argentaria SA		10,838,685
	3,628,342	Banco Santander SA		25,950,739
	52,946	Distribuidora Internacional de Alimentacion SA		414,957
	5,428	Enagas		135,691
	9,568	Ferrovial SA		154,085
	7,494	Fomento de Construcciones y Contratas SA		75,621
	292,240	Gas Natural SDG SA		6,037,472
	47,989	Grifols SA *		1,757,210
	1,375,411	Iberdrola SA		7,439,700
	4,213	Inditex SA		521,528
	76,000	Indra Sistemas SA		994,966
	356,645	Repsol YPF SA		8,115,124
	1,515,231	Telefonica SA *		20,847,991
		Total Spain		83,675,792
		Sweden — 0.2%
	64,106	Alliance Oil Company Ltd *		451,683
	19,816	Boliden AB		282,387
	93,715	Investor AB		2,690,243
	8,764	NCC AB-Class B		209,281
	128,783	Skandinaviska Enskilda Banken AB-Class A		1,340,564
	28,529	Svenska Handelsbanken AB-A Shares		1,226,282
	97,827	Swedbank AB-Class A		2,329,695
	189,251	TeliaSonera AB		1,264,753
		Total Sweden		9,794,888
		Switzerland — 0.9%
	11,295	ABB Ltd		247,134
	400	AMS AG		38,452
	1,302	Compagnie Financiere Richemont SA-Class A		115,124
	83,930	Credit Suisse Group AG (Registered)		2,480,660
	211,230	Nestle SA (Registered)		13,992,844
	384,729	Novartis AG (Registered)		27,558,905
	66,663	Roche Holding AG (Non Voting)		16,528,183
	374	Swatch Group AG		213,158

Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Switzerland — continued
	254	Swiss Life Holding AG (Registered)		42,108
	4,607	Swiss Re AG		338,312
		Total Switzerland		61,554,880
		Taiwan — 0.9%
	339,000	Acer Inc *		271,423
	291,000	Advanced Semiconductor Engineering Inc		248,588
	192,000	Advantech Co Ltd		939,124
	179,000	Asustek Computer Inc		1,959,821
	4,329,000	AU Optronics Corp *		1,968,997
	109,000	Career Technology MFG Co Ltd		122,588
	324,000	Catcher Technology Co Ltd		1,807,783
	160,000	Cathay Financial Holding Co Ltd		206,512
	196,000	Cheng Shin Rubber Industry Co Ltd		583,752
	49,000	Chipbond Technology Corp		129,917
	1,808,470	Chunghwa Telecom Co Ltd		5,748,383
	500	Chunghwa Telecom Co Ltd ADR		15,680
	3,548,000	Compal Electronics Inc		2,166,877
	372,000	Coretronic Corp		329,310
	132,000	Delta Electronics Inc		629,428
	838,000	E.Sun Financial Holdings Co Ltd		514,556
	83,000	Elite Material Co Ltd		77,506
	1,077,000	Far EasTone Telecommunications Co Ltd		2,566,615
	171,000	Flexium Interconnect Inc		626,699
	185,000	Foxconn Technology Co Ltd		494,008
	212,000	Gintech Energy Corp *		224,481
	243,000	Highwealth Construction Corp		538,241
	3,317,000	Hon Hai Precision Industry Co Ltd		8,391,441
	37,000	ILI Technology Corp		100,002
	777,000	Innolux Display Corp *		518,513
	81,000	Lite-On Technology Corp		128,855
	29,000	Lotes Co Ltd		75,978
	136,000	Makalot Industrial Co Ltd		635,309
	19,000	MediaTek Inc		234,549
	83,000	Motech Industries Inc *		117,683
	1,045,000	Neo Solar Power Corp *		882,676
	22,000	Phison Electronics Corp		186,057
	765,000	Powertech Technology Inc		1,376,023
	842,000	Qisda Corp *		204,172
	785,000	Quanta Computer Inc		1,681,155
	248,000	Radiant Opto-Electronics Corp		935,135
	835,000	Shin Kong Financial Holding Co Ltd *		283,250
	32,632	Silicon Motion Technology Corp		366,784
	63,000	Simplo Technology Co Ltd		284,085
	143,000	Synnex Technology International Corp		199,418
	4,086,000	Taishin Financial Holding Co Ltd		1,747,759
	1,012,000	Taiwan Mobile Co Ltd		3,688,643
	286,000	Taiwan PCB Techvest Co Ltd Sponsored ADR *		386,778
	271,700	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		5,069,922

Shares		Description	Value ($)
		Taiwan — continued
	58,000	Taiwan Surface Mounting Technology Corp		94,884
	99,700	Taiwan Semiconductor Manufacturing Co Ltd		362,522
	47,085	TPK Holding Co Ltd		926,808
	332,000	Tripod Technology Corp		758,976
	522,000	Unimicron Technology Corp		561,273
	1,169,000	United Microelectronics Corp		513,567
	1,655,450	Wistron Corp		1,692,229
	350,000	WPG Holdings Co Ltd		416,181
	50,000	Young Fast Optoelectronics Co Ltd		94,097
	282,000	Yungtay Engineering Co Ltd		619,829
		Total Taiwan		55,704,842
		Thailand — 0.5%
	24,300	Advanced Info Service Pcl NVDR		210,162
	296,800	Advanced Info Service Pcl (Foreign Registered)		2,566,918
	13,500	Bangchak Petroleum Pcl		15,110
	715,800	Bangchak Petroleum Pcl (Foreign Registered)		801,157
	368,960	Bangkok Dusit Medical Service Pcl (Foreign Registered)		2,052,238
	36,600	Bangkok Dusit Medical Services Pcl NVDR		203,577
	350,210	Bank of Ayudhya Pcl (Foreign Registered) (b)		408,833
	59,000	Bank of Ayudhya Pcl NVDR		65,481
	139,150	Banpu Pcl (Foreign Registered)		1,370,351
	2,500	Banpu Pcl NVDR		24,620
	1,643,840	BTS Rail Mass Transit Growth Infrastructure Fund *		613,556
	462,300	Charoen Pokphand Foods Pcl (Foreign Registered)		442,001
	99,600	Charoen Pokphand Foods Pcl NVDR		95,227
	345,050	Electricity Generating Pcl (Foreign Registered)		1,787,909
	1,087,100	Esso Thailand Pcl (Foreign Registered)		315,946
	453,800	Glow Energy Pcl (Foreign Registered)		1,048,405
	188,200	Glow Energy Pcl NVDR		434,794
	232,000	Kasikornbank Pcl NVDR		1,490,171
	516,000	PTT Exploration & Production Pcl (Foreign Registered)		2,579,921
	64,300	PTT Exploration & Production Pcl NVDR		321,490
	49,200	PTT Pcl		527,339
	761,000	PTT Pcl (Foreign Registered)		8,156,610
	320,200	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered) (b)		576,110
	508,800	Ratchaburi Electricity Generating Holding Pcl NVDR		923,840
	72,100	Shin Corp Pcl		211,169
	86,900	Shin Corp Pcl (Foreign Registered) (b)		262,102
	50,500	Siam Cement Pcl NVDR		771,671
	764,100	Thai Oil Pcl (Foreign Registered)		1,606,073

Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Thailand — continued
	53,700	Thai Oil Pcl NVDR		112,873
	2,612,100	Thai Tap Water Supply Pcl (Foreign Registered)		931,054
		Total Thailand		30,926,708
		Turkey — 0.1%
	652,714	Asya Katilim Bankasi AS *		673,875
	417,882	Turk Telekomunikasyon AS		1,609,214
	444,909	Turkcell Iletisim Hizmet AS *		2,737,866
	191,722	Turkiye Garanti Bankasi AS		988,191
	204,728	Turkiye IS Bankasi-Class C		757,348
	232,763	Turkiye Vakiflar Bankasi TAO-Class D		736,611
	80,911	Turkiye Halk Bankasi AS		865,070
	90,265	Yapi ve Kredi Bankasi AS		268,705
		Total Turkey		8,636,880
		United Kingdom — 4.9%
	63,897	Aberdeen Asset Management Plc		449,055
	27,116	Admiral Group Plc		546,749
	76,115	Amlin Plc		479,879
	98,525	Ashtead Group Plc		933,510
	690,462	AstraZeneca Plc		35,326,937
	448,211	Aviva Plc		2,252,411
	9,741	Babcock International Group Plc		170,831
	1,375,886	BAE Systems Plc		8,410,836
	295,440	Balfour Beatty Plc		1,035,565
	4,205,751	Barclays Plc		20,146,088
	217,533	Barratt Developments Plc *		1,049,465
	13,639	BBA Aviation Plc		57,822
	17,522	BG Group Plc		319,777
	183,783	BHP Billiton Plc		5,284,704
	5,433,978	BP Plc		38,837,741
	234,996	British American Tobacco Plc		12,912,720
	428,666	BT Group Plc		1,950,667
	53,008	Bunzl Plc		1,031,706
	43,793	Cape Plc		177,324
	69,376	Catlin Group Ltd		527,666
	191,540	Cobham Plc		826,788
	367,517	Darty Plc		393,723
	32,866	DCC Plc		1,241,783
	340,678	Debenhams Plc		483,719
	151,711	Diageo Plc		4,481,523
	2,142,977	Dixons Retail Plc *		1,335,522
	158,024	Drax Group Plc		1,369,727
	11,823	easyJet Plc		225,288
	15,255	Eurasia Drilling Co Ltd GDR		620,751
	352,888	FirstGroup Plc		669,980
	959,130	GlaxoSmithKline Plc		24,815,735
	1,759	Halfords Group Plc		8,650
	1,934	Hargreaves Lansdown Plc		28,181
	813,030	Home Retail Group Plc		1,922,506
	251,593	HSBC Holdings Plc		2,760,233

Shares		Description	Value ($)
		United Kingdom — continued
	77,602	Imperial Tobacco Group Plc		2,784,727
	120,711	Inchcape Plc		998,674
	34,974	InterContinental Hotels Group Plc		1,006,770
	94,943	Intermediate Capital Group Plc		669,574
	2,752	Intertek Group Plc		133,789
	185,746	ITV Plc		367,835
	19,002	JD Wetherspoon Plc		190,107
	56,966	Lancashire Holdings Ltd		687,379
	529,300	Legal & General Group Plc		1,425,893
	9,276,671	Lloyds Banking Group Plc *		8,622,115
	593,435	Man Group Plc		1,026,564
	153,562	Marks & Spencer Group Plc		1,086,751
	33,165	Micro Focus International Plc		343,890
	82,650	National Express Group Plc		251,213
	45,369	Next Plc		3,172,743
	241,563	Old Mutual Plc		746,025
	3,763	Persimmon Plc		69,199
	7,527	Persimmon Plc, Bonus Shares		8,599
	25,776	Playtech Ltd		260,880
	59,181	Premier Foods Plc *		64,758
	230,445	Prudential Plc		3,876,337
	106,895	Punch Taverns Plc *		21,450
	40,011	Reckitt Benckiser Group Plc		2,861,125
	16,892	Reed Elsevier Plc		188,905
	338,753	Rio Tinto Plc		14,468,388
	59,079	Rolls-Royce Holdings Plc		1,071,642
	12,868,898	Rolls-Royce Holdings Plc C Shares *		19,553
	655,891	Royal Bank of Scotland Group Plc *		3,311,994
	1,070,606	Royal Dutch Shell Plc A Shares (London)		35,630,691
	456,676	Royal Dutch Shell Plc B Shares (London)		15,742,946
	13,026	SABMiller Plc		655,328
	103,930	Scottish & Southern Energy Plc		2,439,522
	13,172	Spectris Plc		412,566
	107,029	Spirit Pub Co Plc		109,201
	157,167	Standard Life Assurance Plc		929,773
	8,949	Telecity Group Plc		130,967
	1,647,881	Tesco Plc		9,124,950
	827,827	Thomas Cook Group Plc *		1,783,897
	55,116	Trinity Mirror Plc *		102,070
	262,304	TUI Travel Plc		1,416,342
	33,153	Tullett Prebon Plc		147,356
	43,308	Unilever Plc		1,819,165
	8,228,388	Vodafone Group Plc		23,846,766
	2,598	Whitbread Plc		113,105
	28,635	WH Smith Plc		327,351
	347,878	William Hill Plc		2,325,117
	125,675	WPP Plc		2,139,496
		Total United Kingdom		322,019,050
		United States — 16.8%
	140,700	3M Co.		15,514,989
	547,500	Abbott Laboratories		20,076,825
	16,100	Allergan, Inc.		1,601,789

Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	25,100	AmerisourceBergen Corp.		1,357,408
	66,400	Amgen, Inc.		6,675,192
	55,100	Apple, Inc.		24,777,368
	47,300	Baxter International, Inc.		3,326,609
	35,700	Becton, Dickinson and Co.		3,520,734
	217,000	Bristol-Myers Squibb Co.		9,984,170
	28,600	Cardinal Health, Inc.		1,343,056
	400,200	Chevron Corp.		49,124,550
	39,000	Church & Dwight Co., Inc.		2,371,590
	2,095,500	Cisco Systems, Inc.		50,459,640
	1,456,100	Coca-Cola Co. (The)		58,229,439
	429,700	Colgate-Palmolive Co.		24,853,848
	11,100	Copa Holdings SA-Class A		1,457,652
	41,500	Costco Wholesale Corp.		4,551,305
	73,200	CVS Caremark Corp.		4,214,856
	145,000	Eli Lilly & Co.		7,708,200
	193,000	EMC Corp. *		4,778,680
	625,900	Express Scripts Holding Co. *		38,880,908
	191,300	Exxon Mobil Corp.		17,306,911
	45,100	General Mills, Inc.		2,123,308
	85,100	Gilead Sciences, Inc. *		4,636,248
	73,700	Google, Inc.-Class A *		64,149,217
	1,300,000	Hewlett-Packard Co.		31,746,000
	218,100	International Business Machines Corp.		45,369,162
	24,000	Intuit, Inc.		1,402,560
	785,800	Johnson & Johnson		66,148,644
	32,300	Kimberly-Clark Corp.		3,127,609
	71,700	Laboratory Corp. of America Holdings *		7,133,433
	304,600	Lorillard, Inc.		12,927,224
	22,600	Mastercard, Inc.-Class A		12,887,650
	259,300	McDonald’s Corp.		25,040,601
	15,200	McKesson Corp.		1,730,672
	299,700	Medtronic, Inc.		15,287,697
	253,400	Merck & Co., Inc		11,833,780
	1,842,600	Microsoft Corp.		64,269,888
	148,300	Nike, Inc.-Class B		9,144,178
	1,806,800	Oracle Corp.		60,997,568
	14,100	Paychex, Inc.		524,943
	476,900	PepsiCo, Inc.		38,519,213
	1,891,200	Pfizer, Inc.		51,497,376
	530,600	Philip Morris International, Inc.		48,236,846
	586,900	Procter & Gamble Co. (The)		45,050,444
	159,900	Qualcomm, Inc.		10,150,452
	71,200	Quest Diagnostics, Inc.		4,403,008
	93,200	Southern Copper Corp.		2,903,180
	36,900	Stryker Corp.		2,449,791
	157,600	Sysco Corp.		5,326,880
	327,200	Target Corp.		22,740,400
	45,000	TJX Cos, Inc. (The)		2,277,450
	159,800	UnitedHealth Group, Inc.		10,008,274
	57,200	Visa, Inc.-Class A		10,189,608
	519,400	Wal-Mart Stores, Inc.		38,871,896

Shares		Description	Value ($)
		United States — continued
	70,300	Walgreen Co.		3,357,528
	24,500	Yum! Brands, Inc.		1,659,875
	124,600	Zimmer Holdings, Inc.		9,782,346
		Total United States		1,100,020,668
		TOTAL COMMON STOCKS (COST $2,695,422,330)		2,817,102,031
		PREFERRED STOCKS (a) — 1.0%
		Brazil — 0.7%
	20,000	AES Tiete SA, 10.21%		215,426
	137,610	Banco Bradesco SA ADR, 0.21%		2,219,649
	239,490	Banco Bradesco SA, 0.21%		3,821,911
	112,200	Banco do Estado do Rio Grande do Sul SA-Class B, 0.98%		863,319
	228,750	Bradespar SA, 2.43%		2,331,503
	17,200	Braskem SA-Class A *		133,228
	13,900	Cia de Bebidas das Americas ADR, 2.45%		529,173
	76,200	Cia Energetica de Minas Gerais Sponsored ADR, 5.79%		779,504
	6,600	Companhia de Bebidas das Americas, 2.32%		249,634
	10,300	Companhia Paranaense de Energia Class B, 1.52%		158,169
	101,600	Eletropaulo Metropolitana SA, 0.05%		346,288
	116,300	Gerdau SA ADR, 0.62%		710,593
	122,100	Gerdau SA, 0.61%		741,676
	22,500	Gol Linhas Aereas Inteligentes SA *		98,434
	337,260	Itau Unibanco Holding SA ADR, 0.59%		5,072,390
	296,060	Itau Unibanco Holding SA, 0.56%		4,444,079
	1,221,670	Itausa-Investimentos Itau SA, 0.65%		5,270,441
	54,700	Klabin SA, 2.09%		324,349
	129,500	Metalurgica Gerdau SA, 0.49%		994,619
	142,200	Petroleo Brasileiro SA (Petrobras), 3.88%		1,327,191
	88,995	Suzano Papel e Celulose SA, 1.25%		317,869
	195,400	Usinas Siderrurgicas de Minas Gerais SA *		812,874
	253,300	Vale SA Sponsored ADR, 2.87%		3,414,484
	957,500	Vale SA, 0.35%		12,933,269
		Total Brazil		48,110,072
		Germany — 0.1%
	23,580	Henkel AG & Co KGaA, 1.27%		2,269,157
	54,124	Porsche Automobil Holding SE, 3.14%		4,463,822
		Total Germany		6,732,979
		Russia — 0.1%
	1,062,224	Sberbank 4.56%		2,415,147
	5,160,945	Surgutneftegaz OJSC *		3,142,556
		Total Russia		5,557,703

Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		South Korea — 0.1%
	13,753	Hyundai Motor Co, 2.11%		1,114,039
	13,801	Hyundai Motor Co, 2.15%		1,127,196
	911	Samsung Electronics Co Ltd (Non-Voting), 0.81%		789,896
		Total South Korea		3,031,131
		Total PREFERRED STOCKS (COST $69,160,205)		63,431,885
		RIGHTS/WARRANTS (a) — 0.0%
		Greece — 0.0%
	26,612	Marfin Investment Group Holdings SA, A Rights, Expires 06/27/13 *		34
	26,612	Marfin Investment Group Holdings SA, B Rights, Expires 06/27/13 *		35
		Total Greece		69
		Italy — 0.0%
	24,016	Exor SPA Rights, Expires 06/05/13 *		—
	24,016	Exor SPA Preferred Rights, Expires 06/05/13 *		—
		Total Italy		—
		Japan — 0.0%
	3,400	J Trust Co Ltd Rights, Expires 07/30/13 *		9,240
		TOTAL RIGHTS/WARRANTS (COST $0)		9,309
		SHORT-TERM INVESTMENTS (a) — 7.3%
		Money Market Funds — 2.9%
	192,673,255	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (c)		192,673,255
		U.S. Government — 4.4%
	86,000,000	U.S. Treasury Bill, 0.09%, due 02/06/14 (d) (e)		85,946,680
	150,000,000	U.S. Treasury Bill, 0.11%, due 04/03/14 (d) (e)		149,857,650
	50,000,000	U.S. Treasury Bill, 0.07%, due 11/14/13 (d) (e)		49,984,050
		Total U.S. Government		285,788,380
		TOTAL SHORT-TERM INVESTMENTS (COST $478,431,561)		478,461,635
		TOTAL INVESTMENTS — 99.9% (Cost $6,351,290,282)		6,520,465,314
		Other Assets and Liabilities (net) — 0.1%		6,729,664
		TOTAL NET ASSETS — 100.0%		$6,527,194,978

A summary of outstanding financial instruments at May 31, 2013 is as follows:

Forward Currency Contracts ^(a)

Settlement Date	Counter-     party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
06/24/2013	GS		AUD	140,283,309		USD	144,052,757	$	9,988,389
06/24/2013	MSCI		AUD	41,569,847		USD	42,726,611		2,999,609
06/27/2013	BCLY		BRL	67,630,244		USD	32,874,900		1,450,397
06/27/2013	DB		BRL	125,303,705		USD	62,123,800		3,901,230
06/24/2013	JPM		CAD	78,714,534		USD	76,520,388		633,477
06/24/2013	MSCI		CAD	78,460,476		USD	76,294,921		652,941
06/24/2013	BCLY		CHF	48,388,887		USD	52,341,508		1,728,506
06/24/2013	DB		CHF	49,091,132		USD	52,732,580		1,385,056
06/24/2013	GS		CHF	49,587,002		USD	53,381,578		1,515,392
06/24/2013	MSCI		CHF	49,021,710		USD	52,711,289		1,436,378
06/24/2013	DB		EUR	188,307,820		USD	245,873,709		1,095,196
06/24/2013	JPM		EUR	114,677,315		USD	149,693,804		626,480
06/24/2013	JPM		GBP	48,381,686		USD	73,684,775		183,683
06/24/2013	MSCI		GBP	48,368,656		USD	73,712,671		231,373
06/27/2013	DB		IDR	211,216,335,000		USD	21,382,500		(122,548	)
06/24/2013	BCLY		JPY	19,425,740,067		USD	199,053,073		5,660,387
06/24/2013	MSCI		JPY	9,712,858,809		USD	99,170,408		2,474,176
08/08/2013	BCLY		KRW	89,013,602,637		USD	79,246,579		702,197
08/08/2013	JPM		KRW	51,443,278,040		USD	45,915,100		522,257
06/24/2013	JPM		NZD	77,262,813		USD	65,090,104		3,762,904
06/26/2013	BCLY		RUB	1,796,107,464		USD	57,128,100		1,089,745
06/27/2013	BCLY		TWD	661,498,844		USD	22,257,700		143,572
06/27/2013	DB		TWD	1,007,122,012		USD	33,509,300		(159,126	)
08/29/2013	DB		USD	38,887,609		CNY	240,694,857		131,275
06/24/2013	JPM		USD	6,005,537		SGD	7,424,652		(131,312	)
								$	41,901,634

Futures Contracts ^(a)

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
22	CAC 40	June 2013	$	1,117,725	$	(17,582	)
4	DAX	June 2013		1,075,748		51,347
109	Euro STOXX 50	June 2013		3,893,777		(59,037	)
207	FTSE/MIB	June 2013		22,923,987		1,454,733
10	IBEX 35	June 2013		1,072,858		(17,763	)
17	MSCI Singapore	June 2013		988,244		(38,383	)
222	S&P 500 E-Mini Index	June 2013		18,081,900		(227,998	)
8	SPI 200	June 2013		936,623		(17,331	)
257	TOPIX	June 2013		28,133,956		(1,527,487	)
			$	78,224,818	$	(399,501	)

Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

Number of Contracts		Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
	Sales
	80	FTSE 100	June 2013	$	7,917,833	$	231,549
	334	OMXS 30	June 2013		6,064,826		87,940
	68	S&P Toronto 60	June 2013		9,545,199		99,991
				$	23,527,858	$	419,480

Written Options ^(a)

Index Options

		Number of Contracts		Expiration Date	Description	Premiums		Market Value
Put	EUR		2,246	6/21/2013	Euro STOXX 50, Strike 2,825	$	1,698,239	$	(2,554,046	)
Put	GBP		16	6/21/2013	FTSE 100, Strike 6,600		25,293		(31,296	)
Put	GBP		10	6/21/2013	FTSE 100, Strike 6,700		15,105		(30,317	)
Put	GBP		234	6/21/2013	FTSE 100, Strike 6,725		349,816		(770,674	)
Put	HKD		143	6/27/2013	Hang Seng, Strike 22,600		473,971		(655,119	)
Put	JPY		416	6/14/2013	Nikkei 225, Strike14,250		1,641,038		(4,327,547	)
Put	JPY		44	6/14/2013	Nikkei 225, Strike15,000		152,406		(720,933	)
Put	USD		13	6/22/2013	S&P 500, Strike 1,660		37,011		(54,080	)
Put	USD		43	6/22/2013	S&P 500, Strike 1,625		106,510		(86,000	)
Put	USD		592	6/22/2013	S&P 500, Strike 1,650		1,171,179		(1,953,600	)
Put	AUD		13	6/20/2013	S&P ASX 200, Strike 4,975		11,190		(17,182	)
Put	AUD		373	6/20/2013	S&P ASX 200, Strike 5,200		263,158		(1,192,863	)
Put	AUD		34	6/20/2013	S&P ASX 200, Strike 5,175		16,060		(100,598	)
Put	CAD		54	6/21/2013	S&P TSX 60, Strike 720		6,835		(4,870	)
Put	CAD		26	6/21/2013	S&P TSX 60, Strike 730		1,994		(3,599	)
Put	CAD		2,000	6/21/2013	S&P TSX 60, Strike 715		167,141		(149,506	)
						$	6,136,946	$	(12,652,230	)

As of May 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

ADR - American Depositary Receipt

CDO - Collateralized Debt Obligation

CMBS - Commercial Mortgage Backed Security

CPO - Ordinary Participation Certificate (Certificado de Participacion Ordinares), representing a bundle of shares of the multiple series of one issuer that trade together as a unit.

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

GDR - Global Depository Receipt

LIBOR - London Interbank Offered Rate

MBIA - Insured as to the payment of principal and interest by MBIA Insurance Corp.

NVDR - Non-Voting Depository Receipt

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) All or a portion of this security is owned by GMO Implementation Fund, which is a 100% owned subsidiary of GMO Benchmark-Free Allocation Fund.

(b) Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust.

(c) The rate disclosed is the 7 day net yield as of May 31, 2013. Note: Yield rounds to 0.00%.

(d) The rate shown represents yield-to-maturity.

(e) All or a portion of this security has been pledged to cover margin requirements on futures contracts, collateral on swap agreements, forward currency contracts, and/or written options, if any.

Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank PLC

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

CNY - Chinese Yuan Renminbi

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

IDR - Indonesian Rupiah

JPY - Japanese Yen

KRW - South Korean Won

NZD - New Zealand Dollar

RUB - Russian Ruble

SGD - Singapore Dollar

TWD - Taiwan Dollar

USD - United States Dollar

Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	19,415,687	GMO Alpha Only Fund, Class IV		471,607,038
	10,177,129	GMO Alternative Asset Opportunity Fund		315,287,452
	34,032,284	GMO Currency Hedged International Equity Fund, Class III		878,032,934
	6,031,736	GMO Debt Opportunities Fund, Class VI		166,174,330
	10,031,247	GMO Emerging Country Debt Fund, Class IV		103,221,531
	42,278,124	GMO Emerging Markets Fund, Class VI		460,408,767
	5,597,729	GMO Flexible Equities Fund, Class VI		127,012,460
	39,276,712	GMO Quality Fund, Class VI		1,003,127,225
	23,316,585	GMO Risk Premium Fund, Class VI		246,922,639
	6,953,323	GMO Special Situations Fund, Class VI		180,230,137
	8,987,926	GMO Strategic Fixed Income Fund, Class VI		149,648,975
		TOTAL MUTUAL FUNDS (COST $3,825,252,866)		4,101,673,488
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	42,643	State Street Eurodollar Time Deposit, 0.01%, due 06/03/2013		42,643
		TOTAL SHORT-TERM INVESTMENTS (COST $42,643)		42,643
		TOTAL INVESTMENTS — 100.0% (Cost $3,825,295,509)		4,101,716,131
		Other Assets and Liabilities (net) — (0.0%)		(65,545	)
		TOTAL NET ASSETS — 100.0%		$4,101,650,586

Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 99.6%
		Affiliated Issuers — 99.6%
	32,198,823	GMO Alpha Only Fund, Class IV		782,109,417
	11,248,512	GMO Alternative Asset Opportunity Fund		348,478,897
	10,034,915	GMO Currency Hedged International Equity Fund, Class III		258,900,818
	4,557,656	GMO Debt Opportunities Fund, Class VI		125,563,413
	2,613,301	GMO Domestic Bond Fund, Class VI		41,551,485
	12,103,309	GMO Emerging Country Debt Fund, Class IV		124,543,048
	40,997,324	GMO Emerging Markets Fund, Class VI		446,460,859
	3,339,737	GMO Flexible Equities Fund, Class VI		75,778,637
	9,391,155	GMO International Core Equity Fund, Class VI		280,138,154
	2,375,952	GMO International Growth Equity Fund, Class IV		62,535,058
	30,176,654	GMO International Intrinsic Value Fund, Class IV		668,714,656
	11,639,233	GMO Risk Premium Fund, Class VI		123,259,476
	6,730,461	GMO Special Situations Fund, Class VI		174,453,554
	18,637,923	GMO Strategic Fixed Income Fund, Class VI		310,321,412
	100,655,560	GMO U.S. Flexible Equities Fund, Class VI		1,126,335,712
		TOTAL MUTUAL FUNDS (COST $4,710,792,546)		4,949,144,596
		DEBT OBLIGATIONS — 0.4%
		Asset-Backed Securities — 0.4%
		Airlines — 0.0%
	416,246	Aircraft Finance Trust, Series 99-1A, Class A1, 144A, 1 mo. LIBOR + .48%, 0.68%, due 05/15/24		196,156
		Business Loans — 0.1%
	56,385	Bayview Commercial Asset Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .36%, 0.55%, due 04/25/34		53,001
	43,977	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.56%, due 01/25/35		40,458
	215,146	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.58%, due 01/25/36		176,420
	203,254	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, 1 mo. LIBOR + .24%, 0.43%, due 07/25/37		160,571
	744,543	Bayview Commercial Asset Trust, Series 07-6A, Class A2, 144A, 1 mo. LIBOR + 1.30%, 1.49%, due 12/25/37		714,761
	216,327	Bayview Financial Acquisition Trust, Series 04-B, Class A1, 144A, 1 mo. LIBOR + .50%, 1.19%, due 05/28/39		94,643
	216,327	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.49%, due 05/28/39		82,745
	259,808	Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, 1 mo. LIBOR + .50%, 1.19%, due 02/28/40		185,243

Shares / Par Value ($)		Description	Value ($)
		Business Loans — continued
	49,165	GE Business Loan Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .29%, 0.49%, due 05/15/32		45,724
	90,463	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.44%, due 11/15/33		83,226
	155,050	Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 0.44%, due 02/25/30		135,660
	120,983	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.44%, due 09/25/30		105,861
	91,647	Lehman Brothers Small Balance Commercial, Series 07-3A, Class 1A2, 144A, 1 mo. LIBOR + .85%, 1.04%, due 10/25/37		91,101
		Total Business Loans		1,969,414
		CMBS — 0.1%
	9,398	Citigroup/Deutsche Bank Commercial Mortgage, Series 05-CD1, Class A2FL, 1 mo. LIBOR + .12%, 0.32%, due 07/15/44		9,398
	1,100,000	Commercial Mortgage Pass-Through Certificates, Series 06-FL12, Class AJ, 144A, 1 mo. LIBOR + .13%, 0.33%, due 12/15/20		1,067,000
	322,018	GS Mortgage Securities Corp., Series 06-GG6, Class A2, 5.51%, due 04/10/38		328,861
	73,842	GS Mortgage Securities Corp., Series 07-EOP, Class A1, 144A, 1 mo. LIBOR + .35%, 1.10%, due 03/06/20		73,909
	300,000	GS Mortgage Securities Corp., Series 07-EOP, Class A2, 144A, 1 mo. LIBOR + .51%, 1.26%, due 03/06/20		300,570
	251,508	Merrill Lynch Mortgage Trust, Series 06-C1, Class A2, 5.64%, due 05/12/39		259,078
		Total CMBS		2,038,816
		CMBS Collateralized Debt Obligations — 0.0%
	499,812	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.07%, due 11/23/52		500
	499,674	Marathon Real Estate CDO, Series 06-1A, Class A1, 144A, 1 mo. LIBOR + .33%, 0.52%, due 05/25/46		469,693
		Total CMBS Collateralized Debt Obligations		470,193
		Corporate Collateralized Debt Obligations — 0.0%
	1,000,000	Morgan Stanley ACES SPC, Series 06-13A, Class A, 144A, 3 mo. LIBOR + .29%, 0.57%, due 06/20/13		1,000,100
		Insured Business Loans — 0.0%
	170,578	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .44%, 0.63%, due 10/25/30		123,549

Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Insured Other — 0.0%
	36,667	GE Seaco Finance SRL, Series 04-1A, Class A, 144A, AMBAC, 1 mo. LIBOR + .30%, 0.50%, due 04/17/19		36,621
	471,155	Henderson Receivables LLC, Series 06-3A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.40%, due 09/15/41		450,943
	470,366	Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.40%, due 12/15/41		451,504
	130,642	TIB Card Receivables Fund, Series 2005-B, 144A, FGIC, 3 mo. LIBOR + .25%, 0.53%, due 01/05/14		119,537
	100,000	Toll Road Investment Part II, Series 1999B, 144A, MBIA, Zero Coupon, due 02/15/30		37,500
	900,000	Toll Road Investors Partnership II, Series C, 144A, MBIA, Zero Coupon, due 02/15/37		223,650
		Total Insured Other		1,319,755
		Insured Residential Asset-Backed Securities (United States) ¿ — 0.0%
	54,363	Ameriquest Mortgage Securities, Inc., Series 04-R6, Class A1, XL, 1 mo. LIBOR + .21%, 0.61%, due 07/25/34		50,558
	63,707	Citigroup Mortgage Loan Trust, Inc., Series 03-HE3, Class A, AMBAC, 1 mo. LIBOR + .38%, 0.57%, due 12/25/33		59,247
	17,595	Quest Trust, Series 04-X1, Class A, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.52%, due 03/25/34		16,716
	192,249	Residential Asset Mortgage Products, Inc., Series 05-RS9, Class AI3, FGIC, 1 mo. LIBOR + .22%, 0.41%, due 11/25/35		176,869
		Total Insured Residential Asset-Backed Securities (United States)		303,390
		Insured Residential Mortgage-Backed Securities (United States) ¿ — 0.0%
	11,275	Chevy Chase Mortgage Funding Corp., Series 03-4A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .34%, 0.53%, due 10/25/34		9,697
	28,099	Chevy Chase Mortgage Funding Corp., Series 04-1A, Class A2, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.52%, due 01/25/35		21,004
	206,298	Countrywide Home Equity Loan Trust, Series 07-E, Class A, MBIA, 1 mo. LIBOR + .15%, 0.35%, due 06/15/37		138,570
	134,475	GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, 1 mo. LIBOR + .23%, 0.42%, due 10/25/34		115,017
	4,580	GreenPoint Home Equity Loan Trust, Series 04-1, Class A, AMBAC, 1 mo. LIBOR + .23%, 0.65%, due 07/25/29		4,402
	8,032	GreenPoint Home Equity Loan Trust, Series 04-4, Class A, AMBAC, 1 mo. LIBOR + .28%, 0.76%, due 08/15/30		6,606
	2,917	Home Equity Loan Trust, Series 03-HS1, Class AII, FGIC, 1 mo. LIBOR + .29%, 0.48%, due 12/25/32		2,480

Par Value ($)		Description	Value ($)
		Insured Residential Mortgage-Backed Securities (United States) ¿ — continued
	10,655	Lehman ABS Corp., Series 04-2, Class A, AMBAC, 1 mo. LIBOR + .22%, 0.63%, due 06/25/34		9,616
	57,293	SBI Heloc Trust, Series 05-HE1, Class 1A, 144A, FSA, 1 mo. LIBOR + .19%, 0.38%, due 11/25/35		54,938
		Total Insured Residential Mortgage-Backed Securities (United States)		362,330
		Insured Time Share — 0.0%
	122,442	Sierra Receivables Funding Co., Series 07-2A, Class A2, 144A, MBIA, 1 mo. LIBOR + 1.00%, 1.20%, due 09/20/19		122,442
		Residential Asset-Backed Securities (United States) ¿ — 0.2%
	37,311	Accredited Mortgage Loan Trust, Series 04-4, Class A1B, 1 mo. LIBOR + .39%, 0.58%, due 01/25/35		35,166
	71,096	ACE Securities Corp., Series 06-ASL1, Class A, 1 mo. LIBOR + .14%, 0.47%, due 02/25/36		26,661
	109,234	ACE Securities Corp., Series 06-ASP2, Class A2C, 1 mo. LIBOR + .18%, 0.37%, due 03/25/36		105,684
	635,155	ACE Securities Corp., Series 06-ASP5, Class A2C, 1 mo. LIBOR + .18%, 0.37%, due 10/25/36		349,335
	144,703	ACE Securities Corp., Series 06-HE2, Class A2C, 1 mo. LIBOR + .16%, 0.35%, due 05/25/36		91,525
	20,359	ACE Securities Corp., Series 06-HE3, Class A2B, 1 mo. LIBOR + .09%, 0.28%, due 06/25/36		11,197
	313,152	ACE Securities Corp., Series 06-OP1, Class A2C, 1 mo. LIBOR + .15%, 0.34%, due 04/25/36		291,231
	98,165	ACE Securities Corp., Series 06-SL1, Class A, 1 mo. LIBOR + .16%, 0.51%, due 09/25/35		35,339
	238,689	ACE Securities Corp., Series 06-SL3, Class A1, 1 mo. LIBOR + .10%, 0.39%, due 06/25/36		88,315
	305,472	ACE Securities Corp., Series 06-SL3, Class A2, 1 mo. LIBOR + .17%, 0.53%, due 06/25/36		109,206
	127,718	ACE Securities Corp., Series 07-HE1, Class A2A, 1 mo. LIBOR + .09%, 0.28%, due 01/25/37		44,701
	97,882	ACE Securities Corp., Series 07-WM1, Class A2A, 1 mo. LIBOR + .07%, 0.26%, due 11/25/36		37,195
	355,871	Alliance Bancorp Trust, Series 07-S1, Class A1, 144A, 1 mo. LIBOR + .20%, 0.59%, due 05/25/37		17,794

Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — continued
	78,145	Argent Securities, Inc., Series 04-W8, Class A5, 1 mo. LIBOR + .52%, 1.23%, due 05/25/34		75,911
	1,267,315	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.34%, due 07/25/36		548,114
	232,785	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.30%, due 09/25/36		91,950
	314,271	Argent Securities, Inc., Series 06-W2, Class A2B, 1 mo. LIBOR + .19%, 0.38%, due 03/25/36		158,707
	238,479	Argent Securities, Inc., Series 06-W5, Class A2C, 1 mo. LIBOR + .15%, 0.34%, due 06/25/36		84,548
	236,963	Asset Backed Funding Certificates, Series 06-OPT2, Class A3C, 1 mo. LIBOR + .15%, 0.34%, due 10/25/36		194,309
	458,704	Asset Backed Funding Certificates, Series 07-NC1, Class A1, 144A, 1 mo. LIBOR + .22%, 0.41%, due 05/25/37		416,733
	103,286	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A1, 1 mo. LIBOR + .11%, 0.30%, due 11/25/36		68,458
	283,877	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A2, 1 mo. LIBOR + .20%, 0.39%, due 11/25/36		53,851
	50,028	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, 1 mo. LIBOR + .16%, 0.51%, due 02/25/37		22,608
	2,400	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A1, 1 mo. LIBOR + .12%, 0.31%, due 02/25/37		2,396
	1,300,000	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A2, 1 mo. LIBOR + .20%, 0.39%, due 02/25/37		1,212,640
	233,039	Centex Home Equity, Series 06-A, Class AV3, 1 mo. LIBOR + .16%, 0.35%, due 06/25/36		230,126
	2,976	Chase Funding Mortgage Loan Trust, Series 03-3, Class 2A2, 1 mo. LIBOR + .27%, 0.73%, due 04/25/33		2,897
	368,504	Citigroup Mortgage Loan Trust, Inc., Series 06-HE3, Class A2C, 1 mo. LIBOR + .16%, 0.35%, due 12/25/36		176,882
	790,617	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, 1 mo. LIBOR + .14%, 0.33%, due 02/25/37		738,436
	17,528	Equity One ABS, Inc., Series 04-1, Class AV2, 1 mo. LIBOR + .30%, 0.49%, due 04/25/34		12,823
	310,170	First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF5, Class 2A3, 1 mo. LIBOR + .16%, 0.35%, due 04/25/36		238,831
	120,257	Fremont Home Loan Trust, Series 06-A, Class 1A2, 1 mo. LIBOR + .20%, 0.39%, due 05/25/36		63,342

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — continued
	47,818	Fremont Home Loan Trust, Series 06-B, Class 2A2, 1 mo. LIBOR + .10%, 0.29%, due 08/25/36		18,559
	557,902	Fremont Home Loan Trust, Series 06-B, Class 2A3, 1 mo. LIBOR + .16%, 0.35%, due 08/25/36		220,371
	83,361	Household Home Equity Loan Trust, Series 05-2, Class A2, 1 mo. LIBOR + .31%, 0.51%, due 01/20/35		81,485
	76,598	Household Home Equity Loan Trust, Series 05-3, Class A2, 1 mo. LIBOR + .29%, 0.49%, due 01/20/35		75,449
	222,496	Household Home Equity Loan Trust, Series 06-1, Class A1, 1 mo. LIBOR + .16%, 0.36%, due 01/20/36		218,046
	844,965	JP Morgan Mortgage Acquisition Corp., Series 06-WMC4, Class A3, 1 mo. LIBOR + .12%, 0.31%, due 12/25/36		416,061
	453,665	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.34%, due 03/25/36		340,249
	359,017	Master Asset-Backed Securities Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .15%, 0.34%, due 06/25/36		204,640
	674,095	Master Asset-Backed Securities Trust, Series 06-HE3, Class A3, 1 mo. LIBOR + .15%, 0.34%, due 08/25/36		261,212
	442,269	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.35%, due 10/25/36		253,199
	178,230	Master Second Lien Trust, Series 06-1, Class A, 1 mo. LIBOR + .16%, 0.51%, due 03/25/36		36,537
	57,225	Morgan Stanley Capital, Inc., Series 04-SD1, Class A, 1 mo. LIBOR + .40%, 0.99%, due 08/25/34		54,364
	271,321	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.34%, due 11/25/36		124,808
	176,051	People’s Choice Home Loan Securities Trust, Series 05-4, Class 1A2, 1 mo. LIBOR + .26%, 0.45%, due 12/25/35		81,230
	9,319	Saxon Asset Securities Trust, Series 04-1, Class A, 1 mo. LIBOR + .27%, 0.73%, due 03/25/35		6,539
	8,144	SG Mortgage Securities Trust, Series 05-OPT1, Class A2, 1 mo. LIBOR + .26%, 0.45%, due 10/25/35		8,114
	478,300	Specialty Underwriting & Residential Finance, Series 06-BC3, Class A2C, 1 mo. LIBOR + .15%, 0.34%, due 06/25/37		287,745
	109,619	Structured Asset Investment Loan Trust, Series 06-1, Class A3, 1 mo. LIBOR + .20%, 0.39%, due 01/25/36		107,427
	38,270	Structured Asset Securities Corp., Series 05-S6, Class A2, 1 mo. LIBOR + .29%, 0.77%, due 11/25/35		37,935

Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — continued
	470,489	Yale Mortgage Loan Trust, Series 07-1, Class A, 144A, 1 mo. LIBOR + .40%, 0.59%, due 06/25/37		225,835
		Total Residential Asset-Backed Securities (United States)		8,696,716
		Residential Mortgage-Backed Securities (Australian) — 0.0%
	121,508	Crusade Global Trust, Series 06-1, Class A1, 144A, 3 mo. LIBOR + .06%, 0.34%, due 07/20/38		119,970
	193,174	Crusade Global Trust, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 0.34%, due 04/19/38		189,099
	40,305	Interstar Millennium Trust, Series 03-3G, Class A2, 3 mo. LIBOR + .25%, 0.78%, due 09/27/35		38,527
	310,234	Interstar Millennium Trust, Series 04-2G, Class A, 3 mo. LIBOR + .20%, 0.68%, due 03/14/36		296,149
	26,531	Interstar Millennium Trust, Series 05-1G, Class A, 3 mo. LIBOR + .12%, 0.68%, due 12/08/36		25,682
	36,300	Interstar Millennium Trust, Series 06-2GA, Class A2, 144A, 3 mo. LIBOR + .08%, 0.57%, due 05/27/38		34,195
	23,430	Medallion Trust, Series 05-1G, Class A1, 3 mo. LIBOR + .08%, 0.36%, due 05/10/36		23,314
	148,893	Medallion Trust, Series 06-1G, Class A1, 3 mo. LIBOR + .05%, 0.33%, due 06/14/37		146,737
	136,685	National RMBS Trust, Series 06-3, Class A1, 144A, 3 mo. LIBOR + .07%, 0.35%, due 10/20/37		135,740
	166,930	Puma Finance Ltd., Series G5, Class A1, 144A, 3 mo. LIBOR + .07%, 0.41%, due 02/21/38		163,525
	162,152	Superannuation Members Home Loans Global Fund, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 0.40%, due 06/12/40		162,128
	17,527	Superannuation Members Home Loans Global Fund, Series 8, Class A1, 3 mo. LIBOR + .07%, 0.42%, due 01/12/37		17,511
	130,478	Westpac Securitization Trust, Series 07-1G, Class A2A, 3 mo. LIBOR + .05%, 0.32%, due 05/21/38		129,688
		Total Residential Mortgage-Backed Securities (Australian)		1,482,265
		Residential Mortgage-Backed Securities (European) — 0.0%
	312,155	Aire Valley Mortgages, Series 06-1A, Class 1A, 144A, 3 mo. LIBOR + .11%, 0.50%, due 09/20/66		291,502
	584,836	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .20%, 0.48%, due 01/13/39		569,455
	82,141	Granite Master Issuer Plc, Series 06-2, Class A4, 1 mo. LIBOR + .08%, 0.28%, due 12/20/54		80,662

Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (European) — continued
	39,329	Granite Mortgages Plc, Series 04-3, Class 2A1, 3 mo. LIBOR + .28%, 0.56%, due 09/20/44		39,054
	178,778	Kildare Securities Ltd., Series 07-1A, Class A2, 144A, 3 mo. LIBOR + .06%, 0.40%, due 12/10/43		174,308
	74,642	Leek Finance Plc, Series 17A, Class A2B, 144A, 3 mo. LIBOR + .14%, 0.56%, due 12/21/37		76,508
	293,671	Paragon Mortgages Plc, Series 12A, Class A2C, 144A, 3 mo. LIBOR + .22%, 0.50%, due 11/15/38		260,451
	206,481	Paragon Mortgages Plc, Series 14A, Class A2C, 144A, 3 mo. LIBOR + .20%, 0.48%, due 09/15/39		183,602
	186,734	Paragon Mortgages Plc, Series 7A, Class A1A, 144A, 3 mo. LIBOR + .42%, 0.70%, due 05/15/34		168,752
		Total Residential Mortgage-Backed Securities (European)		1,844,294
		Residential Mortgage-Backed Securities (United States) — 0.0%
	17,757	Chevy Chase Mortgage Funding Corp., Series 04-3A, Class A2, 144A, 1 mo. LIBOR + .30%, 0.49%, due 08/25/35		13,273
	54,206	Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, 1 mo. LIBOR + .25%, 0.44%, due 02/26/34		47,431
		Total Residential Mortgage-Backed Securities (United States)		60,704
		Student Loans — 0.0%
	700,000	College Loan Corp. Trust, Series 07-2, Class A1, 3 mo. LIBOR + .25%, 0.53%, due 01/25/24		682,500
	306,553	Nelnet Student Loan Trust, Series 05-2, Class A4, 3 mo. LIBOR + .08%, 0.36%, due 12/23/19		306,112
		Total Student Loans		988,612
		Time Share — 0.0%
	50,804	Sierra Receivables Funding Co., Series 08-1A, Class A2, 144A, 1 mo. LIBOR + 4.00%, 4.20%, due 02/20/20		51,844
		Total Asset-Backed Securities		21,030,580
		U.S. Government Agency — 0.0%
	14,976	Agency for International Development Floater (Support of Peru), Series B, 6 mo. U.S. Treasury Bill +.35%, 0.43%, due 05/01/14 (a)		14,865
		TOTAL DEBT OBLIGATIONS (COST $19,604,741)		21,045,445

Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	31,333	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (b)		31,333
		TOTAL SHORT-TERM INVESTMENTS (COST $31,333)		31,333
		TOTAL INVESTMENTS — 100.0% (Cost $4,730,428,620)		4,970,221,374
		Other Assets and Liabilities (net) — (0.0%)		(72,070	)
		TOTAL NET ASSETS — 100.0%		$4,970,149,304

Notes to Schedule of Investments:

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.

CDO - Collateralized Debt Obligation

CMBS - Commercial Mortgage Backed Security

FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.

FSA - Insured as to the payment of principal and interest by Financial Security Assurance.

LIBOR - London Interbank Offered Rate

MBIA - Insured as to the payment of principal and interest by MBIA Insurance Corp.

RMBS - Residential Mortgage Backed Security

XL - Insured as to the payment of principal and interest by XL Capital Assurance.

The rates shown on variable rate notes are the current interest rates at May 31, 2013, which are subject to change based on the terms of the security.

¿ These securities are primarily backed by subprime mortgages.

(a) Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust.

(b) The rate disclosed is the 7 day net yield as of May 31, 2013. Note: Yield rounds to 0.00%.

Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	7,214,335	GMO Currency Hedged International Equity Fund, Class III		186,129,850
	32,466,748	GMO Emerging Markets Fund, Class VI		353,562,889
	1,402,659	GMO Flexible Equities Fund, Class VI		31,826,343
	7,864,738	GMO International Core Equity Fund, Class VI		234,605,122
	4,866,088	GMO International Growth Equity Fund, Class IV		128,075,446
	24,512,495	GMO International Intrinsic Value Fund, Class IV		543,196,888
	5,966,406	GMO U.S. Core Equity Fund, Class VI		94,269,215
	92,146,281	GMO U.S. Flexible Equities Fund, Class VI		1,031,116,890
		TOTAL MUTUAL FUNDS (COST $2,428,767,276)		2,602,782,643
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	20,443	State Street Eurodollar Time Deposit, 0.01%, due 06/03/2013		20,443
		TOTAL SHORT-TERM INVESTMENTS (COST $20,443)		20,443
		TOTAL INVESTMENTS — 100.0% (Cost $2,428,787,719)		2,602,803,086
		Other Assets and Liabilities (net) — (0.0%)		(39,100	)
		TOTAL NET ASSETS — 100.0%		$2,602,763,986

International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	30,434,223	GMO Emerging Markets Fund, Class VI		331,428,686
	1,324,246	GMO Flexible Equities Fund, Class VI		30,047,145
	10,999,398	GMO International Growth Equity Fund, Class IV		289,504,161
	31,298,368	GMO International Intrinsic Value Fund, Class IV		693,571,834
		TOTAL MUTUAL FUNDS (COST $1,207,778,598)		1,344,551,826
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	26,286	State Street Eurodollar Time Deposit, 0.01%, due 06/03/2013		26,286
		TOTAL SHORT-TERM INVESTMENTS (COST $26,286)		26,286
		TOTAL INVESTMENTS — 100.0% (Cost $1,207,804,884)		1,344,578,112
		Other Assets and Liabilities (net) — (0.0%)		(42,586	)
		TOTAL NET ASSETS — 100.0%		$1,344,535,526

International Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	1,865,197	GMO Emerging Markets Fund, Class VI		20,311,993
	1,180,849	GMO Flexible Equities Fund, Class VI		26,793,460
	11,437,385	GMO International Growth Equity Fund, Class IV		301,031,968
	30,370,783	GMO International Intrinsic Value Fund, Class IV		673,016,546
		TOTAL MUTUAL FUNDS (COST $912,716,970)		1,021,153,967
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	25,565	State Street Eurodollar Time Deposit, 0.01%, due 06/03/2013		25,565
		TOTAL SHORT-TERM INVESTMENTS (COST $25,565)		25,565
		TOTAL INVESTMENTS — 100.0% (Cost $912,742,535)		1,021,179,532
		Other Assets and Liabilities (net) — (0.0%)		(26,806	)
		TOTAL NET ASSETS — 100.0%		$1,021,152,726

Special Situations Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value ($) / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 3.9%
		Asset-Backed Securities — 2.2%
		Residential Asset-Backed Securities (Canada) ¿ — 2.2%
CAD	10,238,400	Master Asset Vehicle II, Series 09-2, Class A1, 0.78%, due 07/15/56		8,912,617
CAD	7,753,600	Master Asset Vehicle II, Series 09-2, Class A2, 0.78%, due 07/15/56		6,590,654
CAD	1,408,000	Master Asset Vehicle II, Series 09-2, Class B, Zero Coupon, due 07/15/56		1,147,586
CAD	600,000	Master Asset Vehicle II, Series 09-2, Class C, Zero Coupon, due 07/15/56		442,730
		Residential Asset-Backed Securities (Canada)		17,093,587
		Residential Asset-Backed Securities (United States) ¿ — 0.0%
USD	169,101	Countrywide Asset-Backed Certificates, Series 06-S9, Class A2, MBIA, 5.51%, due 08/25/36		167,917
		Total Asset-Backed Securities		17,261,504
		Convertible Debt — 1.7%
		Bank Loans — 1.7%
USD	1,521,789	Caesars Entertainment Corp. Term Loan B1, 2.00%, due 01/28/15		1,514,181
USD	3,132,712	Caesars Entertainment Corp. Term Loan B3, 2.00%, due 01/28/15		3,077,890
USD	3,969,697	Chrysler Group LLC Term Loan B, 3.75%, due 05/24/17		4,014,356
USD	4,341,467	Springleaf Financial Funding Co. Term Loan B, 3.25%, due 05/10/17		4,352,320
		Total Bank Loans		12,958,747
		TOTAL DEBT OBLIGATIONS (COST $29,632,955)		30,220,251
		MUTUAL FUNDS — 83.2%
		Affiliated Issuers — 83.2%
	25,393,892	GMO U.S. Treasury Fund		635,101,227
		TOTAL MUTUAL FUNDS (COST $634,871,397)		635,101,227
		SHORT-TERM INVESTMENTS — 8.2%
		Money Market Funds — 8.2%
	62,416,010	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (a)		62,416,010
		TOTAL SHORT-TERM INVESTMENTS (COST $62,416,010)		62,416,010
		TOTAL INVESTMENTS — 95.3% (Cost $726,920,362)		727,737,488
		Other Assets and Liabilities (net) — 4.7%		35,877,011
		TOTAL NET ASSETS — 100.0%		$763,614,499

A summary of outstanding financial instruments at May 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
06/24/13	GS		AUD	70,974,233		USD	72,909,607	$	5,081,753
06/24/13	MSCI		AUD	35,373,898		USD	36,358,248		2,552,520
06/24/13	JPM		CAD	64,811,410		USD	63,004,810		521,588
06/24/13	MSCI		CAD	64,602,226		USD	62,819,167		537,614
06/24/13	BCLY		CHF	19,394,748		USD	20,978,998		692,803
06/24/13	DB		CHF	19,676,214		USD	21,135,743		555,144
06/24/13	GS		CHF	19,874,964		USD	21,395,868		607,384
06/24/13	MSCI		CHF	19,648,390		USD	21,127,210		575,715
06/24/13	BBH		EUR	6,315,528		USD	8,177,800		(31,660	)
06/24/13	JPM		NZD	65,906,504		USD	55,522,975		3,209,822
08/29/13	DB		USD	34,789,227		CNY	215,327,920		117,440
06/27/13	DB		USD	8,026,000		IDR	79,088,204,000		26,387
06/27/13	DB		USD	34,292,800		INR	1,899,821,120		(805,521	)
08/08/13	BCLY		USD	17,202,014		KRW	19,040,909,107		(400,577	)
06/27/13	BCLY		USD	8,026,000		MYR	25,169,536		82,527
06/26/13	DB		USD	8,026,000		PHP	326,898,980		(297,873	)
06/24/13	JPM		USD	17,250,159		SGD	21,326,389		(377,176	)
06/27/13	BCLY		USD	8,026,000		THB	235,081,540		(270,867	)
								$	12,377,023

Special Situations Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

Swap Agreements

Forward Starting Dividend Swaps

Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays	Fund Receives	Net Unrealized Appreciation/ (Depreciation)
	686,006	EUR	12/19/2014	12/18/2015	BCLY	25,000 EUR for every 1 dividend EURO STOXX 50 Index point decrease in the actual dividends from a Strike of 79.50	25,000 EUR for every 1 dividend EURO STOXX 50 Index point increase in the actual dividends from a Strike of 79.50	$	296,542
	2,020,000	EUR	12/18/2015	12/16/2016	BCLY	25,000 EUR for every 1 dividend EURO STOXX 50 Index point decrease in the actual dividends from a Strike of 80.80	25,000 EUR for every 1 dividend EURO STOXX 50 Index point increase in the actual dividends from a Strike of 80.80		745,449
	5,436,000	EUR	12/16/2016	12/15/2017	BNP	60,000 EUR for every 1 dividend EURO STOXX 50 Index point decrease in the actual dividends from a Strike of 90.60	60,000 EUR for every 1 dividend EURO STOXX 50 Index point increase in the actual dividends from a Strike of 90.60		855,983
	2,072,500	EUR	12/15/2017	12/21/2018	BCLY	25,000 EUR for every 1 dividend EURO STOXX 50 Index point decrease in the actual dividends from a Strike of 82.90	25,000 EUR for every 1 dividend EURO STOXX 50 Index point increase in the actual dividends from a Strike of 82.90		554,979
	2,065,000	EUR	12/15/2017	12/21/2018	BCLY	25,000 EUR for every 1 dividend EURO STOXX 50 Index point decrease in the actual dividends from a Strike of 82.60	25,000 EUR for every 1 dividend EURO STOXX 50 Index point increase in the actual dividends from a Strike of 82.60		564,493
	2,062,500	EUR	12/15/2017	12/21/2018	BNP	25,000 EUR for every 1 dividend EURO STOXX 50 Index point decrease in the actual dividends from a Strike of 82.50	25,000 EUR for every 1 dividend EURO STOXX 50 Index point increase in the actual dividends from a Strike of 82.50		567,665
	1,007,000	EUR	12/15/2017	12/21/2018	BNP	10,000 EUR for every 1 dividend EURO STOXX 50 Index point decrease in the actual dividends from a Strike of 100.70	10,000 EUR for every 1 dividend EURO STOXX 50 Index point increase in the actual dividends from a Strike of 100.70		(3,806	)
	2,729,225	EUR	12/20/2018	12/20/2019	BNP	30,000 EUR for every 1 dividend EURO STOXX 50 Index point decrease in the actual dividends from a Strike of 101.30	30,000 EUR for every 1 dividend EURO STOXX 50 Index point increase in the actual dividends from a Strike of 101.30		(80,721	)
								$	3,500,584
							Premiums to (Pay) Receive	$	—

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay)#	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	840,000,000	JPY	10/22/2020	CITI	(Pay)	0.97%	6 Month JPY LIBOR BBA	$	(117,214	)
	840,000,000	JPY	10/26/2020	CITI	(Pay)	0.97%	6 Month JPY LIBOR BBA		(118,061	)
	840,000,000	JPY	10/26/2020	CITI	(Pay)	0.97%	6 Month JPY LIBOR BBA		(116,713	)
	840,000,000	JPY	10/27/2020	CITI	(Pay)	0.99%	6 Month JPY LIBOR BBA		(125,543	)
	2,130,000,000	JPY	11/1/2020	MSCS	(Pay)	1.04%	6 Month JPY LIBOR BBA		(394,359	)
								$	(871,890	)
							Premiums to (Pay) Receive	$	—

# Receive - Fund receives fixed rate and pays variable rate.

(Pay) - Fund pays fixed rate and receives variable rate.

Special Situations Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2013 (Unaudited)

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund (Pays)/Receives	Net Unrealized Appreciation/ (Depreciation)
	4,400,000	EUR	12/18/2015	DB	Depreciation of EURO STOXX 50 December 2015 Dividend Future	Appreciation of EURO STOXX 50 December 2015 Dividend Future	$	1,163,276
	8,880,000	EUR	12/16/2016	MSCI	Depreciation of EURO STOXX 50 December 2016 Dividend Future	Appreciation of EURO STOXX 50 December 2016 Dividend Future		1,949,624
	9,125,000	EUR	12/15/2017	MSCI	Depreciation of EURO STOXX 50 December 2017 Dividend Future	Appreciation of EURO STOXX 50 December 2017 Dividend Future		1,358,238
	2,585,250	EUR	12/15/2017	DB	Depreciation of EURO STOXX 50 December 2017 Dividend Future	Appreciation of EURO STOXX 50 December 2017 Dividend Future		208,805
	789,000	EUR	12/21/2018	MSCI	Depreciation of EURO STOXX 50 December 2018 Dividend Future	Appreciation of EURO STOXX 50 December 2018 Dividend Future		(46,791	)
	275,860	EUR	12/21/2018	MSCI	Depreciation of EURO STOXX 50 December 2018 Dividend Future	Appreciation of EURO STOXX 50 December 2018 Dividend Future		(19,262	)
	904,250	EUR	12/21/2018	MSCI	Depreciation of EURO STOXX 50 December 2018 Dividend Future	Appreciation of EURO STOXX 50 December 2018 Dividend Future		(26,944	)
	2,663,701	EUR	12/21/2018	MSCI	Depreciation of EURO STOXX 50 December 2018 Dividend Future	Appreciation of EURO STOXX 50 December 2018 Dividend Future		61,217
	547,500	EUR	12/21/2018	DB	Depreciation of EURO STOXX 50 December 2018 Dividend Future	Appreciation of EURO STOXX 50 December 2018 Dividend Future		(59,139	)
	881,250	EUR	12/20/2019	MSCI	Depreciation of EURO STOXX 50 December 2019 Dividend Future	Appreciation of EURO STOXX 50 December 2019 Dividend Future		(181,315	)
	552,500	EUR	12/20/2019	DB	Depreciation of EURO STOXX 50 December 2019 Dividend Future	Appreciation of EURO STOXX 50 December 2019 Dividend Future		(75,385	)
	3,037,500	EUR	12/20/2019	DB	Depreciation of EURO STOXX 50 December 2019 Dividend Future	Appreciation of EURO STOXX 50 December 2019 Dividend Future		(91,632	)
	2,937,000	EUR	12/20/2019	DB	Depreciation of EURO STOXX 50 December 2019 Dividend Future	Appreciation of EURO STOXX 50 December 2019 Dividend Future		38,992
	5,587,500	EUR	12/20/2019	DB	Depreciation of EURO STOXX 50 December 2019 Dividend Future	Appreciation of EURO STOXX 50 December 2019 Dividend Future		450,363
							$	4,730,047
						Premiums to (Pay) Receive	$	—

As of May 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

BBA - British Banks Association

JPY LIBOR - London Interbank Offered Rate denominated in Japanese Yen.

MBIA - Insured as to the payment of principal and interest by MBIA Insurance Corp.

¿ These securities are primarily backed by subprime mortgages.

(a) The rate disclosed is the 7 day net yield as of May 31, 2013. Note: Yield rounds to 0.00%.

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank PLC

BNP - BNP Paribus

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

MSCS - Morgan Stanley Capital Services LLC

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

CNY - Chinese Yuan Renminbi

EUR - Euro

IDR - Indonesian Rupiah

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MYR - Malaysian Ringgit

NZD - New Zealand Dollar

PHP - Philippine Peso

SGD - Singapore Dollar

THB - Thai Baht

USD - United States Dollar

Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 99.6%
		Affiliated Issuers — 99.6%
	4,312,232	GMO Alpha Only Fund, Class IV		104,744,125
	5,742,708	GMO Currency Hedged International Equity Fund, Class III		148,161,857
	2,904,283	GMO Debt Opportunities Fund, Class VI		80,012,984
	685,664	GMO Domestic Bond Fund, Class VI		10,902,059
	6,007,973	GMO Emerging Country Debt Fund, Class IV		61,822,039
	3,993,066	GMO Emerging Markets Fund, Class VI		43,484,491
	3,505,499	GMO Flexible Equities Fund, Class VI		79,539,772
	3,800,733	GMO International Growth Equity Fund, Class IV		100,035,292
	27,277,281	GMO International Intrinsic Value Fund, Class IV		604,464,536
	7,193,355	GMO Risk Premium Fund, Class VI		76,177,635
	3,200,803	GMO Special Situations Fund, Class VI		82,964,804
	6,963,655	GMO Strategic Fixed Income Fund, Class VI		115,944,854
	69,795,786	GMO U.S. Flexible Equities Fund, Class VI		781,014,841
		TOTAL MUTUAL FUNDS (COST $2,064,378,807)		2,289,269,289
		DEBT OBLIGATIONS — 0.4%
		Asset-Backed Securities — 0.4%
		Business Loans — 0.1%
	645,438	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.58%, due 01/25/36		529,260
	576,872	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.49%, due 05/28/39		220,654
	196,660	GE Business Loan Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .29%, 0.49%, due 05/15/32		182,894
	411,343	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.44%, due 09/25/30		359,925
		Total Business Loans		1,292,733
		CMBS — 0.1%
	600,000	Commercial Mortgage Pass-Through Certificates, Series 06-FL12, Class AJ, 144A, 1 mo. LIBOR + .13%, 0.33%, due 12/15/20		582,000
	600,000	GS Mortgage Securities Corp., Series 07-EOP, Class A2, 144A, 1 mo. LIBOR + .51%, 1.26%, due 03/06/20		601,140
	111,781	Merrill Lynch Mortgage Trust, Series 06-C1, Class A2, 5.64%, due 05/12/39		115,146
		Total CMBS		1,298,286
		Corporate Collateralized Debt Obligations — 0.0%
	1,100,000	Morgan Stanley ACES SPC, Series 06-13A, Class A, 144A, 3 mo. LIBOR + .29%, 0.57%, due 06/20/13		1,100,110

Par Value ($)		Description	Value ($)
		Insured Residential Asset-Backed Securities (United States) ¿ — 0.0%
	59,154	Residential Asset Mortgage Products, Inc., Series 05-RS9, Class AI3, FGIC, 1 mo. LIBOR + .22%, 0.41%, due 11/25/35		54,421
		Insured Residential Mortgage-Backed Securities (United States) — 0.0%
	309,447	Countrywide Home Equity Loan Trust, Series 07-E, Class A, MBIA, 1 mo. LIBOR + .15%, 0.35%, due 06/15/37		207,855
		Insured Time Share — 0.0%
	89,049	Sierra Receivables Funding Co., Series 07-2A, Class A2, 144A, MBIA, 1 mo. LIBOR + 1.00%, 1.20%, due 09/20/19		89,049
		Residential Asset-Backed Securities (United States) ¿ — 0.2%
	387,870	ACE Securities Corp., Series 06-SL3, Class A1, 1 mo. LIBOR + .10%, 0.39%, due 06/25/36		143,512
	228,392	ACE Securities Corp., Series 07-WM1, Class A2A, 1 mo. LIBOR + .07%, 0.26%, due 11/25/36		86,789
	174,595	Argent Securities, Inc., Series 06-W2, Class A2B, 1 mo. LIBOR + .19%, 0.38%, due 03/25/36		88,170
	139,671	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.30%, due 09/25/36		55,170
	143,345	Asset Backed Funding Certificates, Series 07-NC1, Class A1, 144A, 1 mo. LIBOR + .22%, 0.41%, due 05/25/37		130,229
	1,200,000	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A2, 1 mo. LIBOR + .20%, 0.39%, due 02/25/37		1,119,360
	8,929	Chase Funding Mortgage Loan Trust, Series 03-3, Class 2A2, 1 mo. LIBOR + .27%, 0.73%, due 04/25/33		8,692
	1,264,987	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, 1 mo. LIBOR + .14%, 0.33%, due 02/25/37		1,181,498
	929,461	JP Morgan Mortgage Acquisition Corp., Series 06-WMC4, Class A3, 1 mo. LIBOR + .12%, 0.31%, due 12/25/36		457,667
	259,237	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.34%, due 03/25/36		194,428
		Total Residential Asset-Backed Securities (United States)		3,465,515
		Residential Mortgage-Backed Securities (Australian) — 0.0%
	79,593	Interstar Millennium Trust, Series 05-1G, Class A, 3 mo. LIBOR + .12%, 0.68%, due 12/08/36		77,046

Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value ($) / Shares		Description	Value ($)
		Residential Mortgage-Backed Securities (Australian) — continued
	182,670	Westpac Securitization Trust, Series 07-1G, Class A2A, 3 mo. LIBOR + .05%, 0.32%, due 05/21/38		181,563
		Total Residential Mortgage-Backed Securities (Australian)		258,609
		Residential Mortgage-Backed Securities (European) — 0.0%
	319,002	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .20%, 0.48%, due 01/13/39		310,612
	448,162	Paragon Mortgages Plc, Series 7A, Class A1A, 144A, 3 mo. LIBOR + .42%, 0.70%, due 05/15/34		405,004
		Total Residential Mortgage-Backed Securities (European)		715,616
		Student Loans — 0.0%
	459,829	Nelnet Student Loan Trust, Series 05-2, Class A4, 3 mo. LIBOR + .08%, 0.36%, due 12/23/19		459,167
		Total Asset-Backed Securities		8,941,361
		TOTAL DEBT OBLIGATIONS (COST $8,278,763)		8,941,361
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	23,624	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (a)		23,624
		TOTAL SHORT-TERM INVESTMENTS (COST $23,624)		23,624
		TOTAL INVESTMENTS — 100.0% (Cost $2,072,681,194)		2,298,234,274
		Other Assets and Liabilities (net) — (0.0%)		(57,888	)
		TOTAL NET ASSETS — 100.0%		$2,298,176,386

Notes to Schedule of Investments:

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.

CMBS - Commercial Mortgage Backed Security

FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.

LIBOR - London Interbank Offered Rate

MBIA - Insured as to the payment of principal and interest by MBIA Insurance Corp.

The rates shown on variable rate notes are the current interest rates at May 31, 2013, which are subject to change based on the terms of the security.

¿ These securities are primarily backed by subprime mortgages.

(a) The rate disclosed is the 7 day net yield as of May 31, 2013. Note: Yield rounds to 0.00%.

U.S. Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	1,196,106	GMO U.S. Core Equity Fund, Class VI		18,898,481
	1,766,583	GMO U.S. Flexible Equities Fund, Class VI		19,768,066
	92,074	GMO U.S. Small/Mid Cap Fund, Class III		993,480
		TOTAL MUTUAL FUNDS (COST $31,952,111)		39,660,027
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	16,844	State Street Eurodollar Time Deposit, 0.01%, due 06/03/2013		16,844
		TOTAL SHORT-TERM INVESTMENTS (COST $16,844)		16,844
		TOTAL INVESTMENTS — 100.0% (Cost $31,968,955)		39,676,871
		Other Assets and Liabilities (net) — (0.0%)		(14,864	)
		TOTAL NET ASSETS — 100.0%		$39,662,007

World Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	4,563,284	GMO Currency Hedged International Equity Fund, Class III		117,732,716
	2,630,871	GMO Emerging Markets Fund, Class VI		28,650,185
	946,847	GMO Flexible Equities Fund, Class VI		21,483,958
	5,892,521	GMO International Growth Equity Fund, Class IV		155,091,160
	22,499,956	GMO International Intrinsic Value Fund, Class IV		498,599,032
	5,182,255	GMO U.S. Core Equity Fund, Class VI		81,879,625
	63,595,330	GMO U.S. Flexible Equities Fund, Class VI		711,631,743
		TOTAL MUTUAL FUNDS (COST $1,396,109,802)		1,615,068,419
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	27,727	State Street Eurodollar Time Deposit, 0.01%, due 06/03/2013		27,727
		TOTAL SHORT-TERM INVESTMENTS (COST $27,727)		27,727
		TOTAL INVESTMENTS — 100.0% (Cost $1,396,137,529)		1,615,096,146
		Other Assets and Liabilities (net) — 0.00%		137,502
		TOTAL NET ASSETS — 100.0%		$1,615,233,648

As of May 31, 2013, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in the value of investments were as follows:

Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Alpha Only Fund		3,625,111,594		268,542,292		(9,683,807)		258,858,485
Alternative Asset Opportunity Fund		1,519,762,843		14,884,287		(7,793,411)		7,090,876
Benchmark-Free Allocation Fund		6,372,403,703		256,427,481		(108,365,870)		148,061,611
Benchmark-Free Fund		3,826,375,588		357,139,272		(81,798,729)		275,340,543
Global Asset Allocation Fund		4,868,277,561		172,629,993		(70,686,180)		101,943,813
Global Equity Allocation Fund		2,457,265,699		194,185,635		(48,648,248)		145,537,387
International Equity Allocation Fund		1,333,711,759		34,571,700		(23,705,347)		10,866,353
International Opportunities Equity Allocation Fund		1,079,476,495		—		(58,296,963)		(58,296,963)
Special Situations Fund		726,970,838		802,004		(35,354)		766,650
Strategic Opportunities Allocation Fund		2,103,018,579		202,385,584		(7,169,889)		195,215,695
U.S. Equity Allocation Fund		33,031,154		6,645,717		—		6,645,717
World Opportunities Equity Allocation Fund		1,473,746,409		142,070,686		(720,949)		141,349,737

Investments in Affiliated Issuers

The Fund makes investments in other GMO Trust funds (“underlying funds”). The Schedule of Investments of the underlying funds should be read in conjunction with the Fund’s Schedule of Investments.

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended May 31, 2013 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Return of Capital*		Value, end of period
Alpha Only Fund
GMO International Growth Equity Fund, Class IV	$	472,693,875	$	62,218,300	$	11,582,100	$	—	$	—	$	—	$	541,117,406
GMO International Intrinsic Value Fund, Class IV		1,100,163,857		134,156,800		28,596,500		—		—		—		1,261,174,771
GMO U.S. Core Equity Fund, Class VI		523,090,853		54,438,400		17,317,200		—		—		—		608,547,749
GMO U.S. Flexible Equities Fund, Class VI		965,757,640		109,529,500		27,317,600		—		—		—		1,119,571,078
GMO U.S. Treasury Fund		116,540,642		440,045,128		330,000,000		45,128		—		—		226,638,393
Totals	$	3,178,246,867	$	800,388,128	$	414,813,400	$	45,128	$	—	$	—	$	3,757,049,397
Consolidated Alternative Asset Opportunity Fund
GMO Short-Duration Collateral Fund	$	3,084,979	$	—	$	—	$	6,706	$	—	$	173,568	$	3,045,428
GMO U.S. Treasury Fund		616,498,947		365,182,848		—		182,848		—		—		981,977,759
Totals	$	619,583,926	$	365,182,848	$	—	$	189,554	$	—	$	173,568	$	985,023,187
Consolidated Benchmark-Free Allocation Fund
GMO Alpha Only Fund, Class IV	$	1,129,748,983	$	473,300,000	$	—	$	—	$	—	$	—	$	1,605,352,580
GMO Alternative Asset Opportunity Fund		489,287,387		366,818,021		—		—		—		—		871,280,965
GMO Debt Opportunities Fund, Class VI		267,402,815		89,700,000		—		—		—		—		362,114,325
GMO Emerging Country Debt Fund, Class IV		127,099,623		36,500,000		—		—		—		—		162,129,498
GMO Flexible Equities Fund, Class VI		141,469,403		—		12,468,432		—		—		—		139,836,522
Totals	$	2,155,008,211	$	966,318,021	$	12,468,432	$	—	$	—	$	—	$	3,140,713,890
Benchmark-Free Fund
GMO Alpha Only Fund, Class IV	$	457,131,993	$	13,514,768	$	—	$	—	$	—	$	—	$	471,607,038
GMO Alternative Asset Opportunity Fund		188,187,832		120,491,865		—		—		—		—		315,287,452
GMO Currency Hedged International Equity Fund, Class III		927,521,659		11,353,052		119,705,259		—		—		—		878,032,934
GMO Debt Opportunities Fund, Class VI		162,220,146		1,067,244		—		—		—		—		166,174,330

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Return of Capital*		Value, end of period
Benchmark-Free Fund (continued)
GMO Emerging Country Debt Fund, Class IV	$	102,994,675	$	629,192	$	—	$	—	$	—	$	—	$	103,221,531
GMO Emerging Markets Fund, Class VI		490,803,797		2,935,230		—		—		—		—		460,408,767
GMO Flexible Equities Fund, Class VI		128,814,066		—		11,693,653		—		—		—		127,012,460
GMO Quality Fund, Class VI		918,524,954		19,621,410		2,480,959		—		—		—		1,003,127,225
GMO Risk Premium Fund, Class VI		243,009,116		2,533,028		—		—		—		—		246,922,639
GMO Special Situations Fund, Class VI		175,541,690		1,068,495		—		—		—		—		180,230,137
GMO Strategic Fixed Income Fund, Class VI		146,772,924		903,952		—		—		—		—		149,648,975
Totals	$	3,941,522,852	$	174,118,236	$	133,879,871	$	—	$	—	$	—	$	4,101,673,488
Global Asset Allocation Fund
GMO Alpha Only Fund, Class IV	$	729,162,436	$	58,795,850	$	7,384,542	$	—	$	—	$	—	$	782,109,417
GMO Alternative Asset Opportunity Fund		269,060,669		73,138,877		—		—		—		—		348,478,897
GMO Currency Hedged International Equity Fund, Class III		248,043,903		27,860,323		33,944,869		—		—		—		258,900,818
GMO Debt Opportunities Fund, Class VI		119,450,615		5,107,472		1,149,341		—		—		—		125,563,413
GMO Domestic Bond Fund, Class VI		45,628,493		—		393,235		58,658		—		5,273,922		41,551,485
GMO Emerging Country Debt Fund, Class IV		121,041,373		5,152,146		1,174,961		—		—		—		124,543,048
GMO Emerging Markets Fund, Class VI		455,385,222		22,800,478		—		—		—		—		446,460,859
GMO Flexible Equities Fund, Class VI		100,158,243		—		32,333,538		—		—		—		75,778,637
GMO International Core Equity Fund, Class VI		622,763,298		8,011,823		381,008,622		8,011,823		—		—		280,138,154
GMO International Growth Equity Fund, Class IV		28,498,947		65,296,714		28,903,666		—		—		—		62,535,058
GMO International Intrinsic Value Fund, Class IV		358,974,608		298,528,096		—		—		—		—		668,714,656
GMO Risk Premium Fund, Class VI		117,555,180		5,056,312		—		—		—		—		123,259,476
GMO Special Purpose Holding Fund		3,289		—		9,196		—		—		258,692		—
GMO Special Situations Fund, Class VI		165,745,642		7,013,559		1,837,670		—		—		—		174,453,554
GMO Strategic Fixed Income Fund, Class VI		296,449,409		12,681,371		2,861,471		—		—		—		310,321,412
GMO U.S. Flexible Equities Fund, Class VI		1,064,789,143		40,819,368		57,644,679		—		—		—		1,126,335,712
Totals	$	4,742,710,470	$	630,262,389	$	548,645,790	$	8,070,481	$	—	$	5,532,614	$	4,949,144,596
Global Equity Allocation Fund
GMO Currency Hedged International Equity Fund, Class III	$	155,882,479	$	22,615,702	$	3,023,000	$	—	$	—	$	—	$	186,129,850
GMO Emerging Markets Fund, Class VI		325,125,624		55,480,333		3,378,555		—		—		—		353,562,889
GMO Flexible Equities Fund, Class VI		35,579,121		—		6,863,407		—		—		—		31,826,343
GMO International Core Equity Fund, Class VI		469,254,168		6,685,414		265,762,627		6,672,155		—		—		234,605,122
GMO International Growth Equity Fund, Class IV		30,002,710		105,963,328		5,073,107		—		—		—		128,075,446
GMO International Intrinsic Value Fund, Class IV		278,726,153		256,122,868		—		—		—		—		543,196,888
GMO Special Purpose Holding Fund		154		—		429		—		—		12,079		—

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Return of Capital*		Value, end of period
Global Equity Allocation Fund (continued)
GMO SPV I, LLC	$	30	$	—	$	120	$	—	$	—	$	3,953	$	—
GMO U.S. Core Equity Fund, Class VI		77,632,724		10,177,910		1,000,000		—		—		—		94,269,215
GMO U.S. Flexible Equities Fund, Class VI		848,494,082		130,872,698		14,198,656		—		—		—		1,031,116,890
Totals	$	2,220,697,245	$	587,918,253	$	299,299,901	$	6,672,155	$	—	$	16,032	$	2,602,782,643
International Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	357,138,077	$	16,521,608	$	18,352,177	$	—	$	—	$	—	$	331,428,686
GMO Flexible Equities Fund, Class VI		45,162,963		—		19,175,778		—		—		—		30,047,145
GMO International Growth Equity Fund, Class IV		285,931,562		8,370,874		16,471,953		—		—		—		289,504,161
GMO International Intrinsic Value Fund, Class IV		696,941,748		22,356,430		58,999,051		—		—		—		693,571,834
Totals	$	1,385,174,350	$	47,248,912	$	112,998,959	$	—	$	—	$	—	$	1,344,551,826
International Opportunities Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	19,089,766	$	2,646,025	$	—	$	—	$	—	$	—	$	20,311,993
GMO Flexible Equities Fund, Class VI		43,798,347		—		21,411,154		—		—		—		26,793,460
GMO International Growth Equity Fund, Class IV		278,348,071		13,341,463		858,637		—		—		—		301,031,968
GMO International Intrinsic Value Fund, Class IV		625,555,137		19,011,550		2,120,521		—		—		—		673,016,546
Totals	$	966,791,321	$	34,999,038	$	24,390,312	$	—	$	—	$	—	$	1,021,153,967
Special Situations Fund
GMO U.S. Treasury Fund	$	642,686,692	$	17,154,638	$	25,000,000	$	154,638	$	—	$	—	$	635,101,227
Totals	$	642,686,692	$	17,154,638	$	25,000,000	$	154,638	$	—	$	—	$	635,101,227
Strategic Opportunities Allocation Fund
GMO Alpha Only Fund, Class IV	$	62,597,522	$	42,018,298	$	—	$	—	$	—	$	—	$	104,744,125
GMO Currency Hedged International Equity, Class III		142,477,873		—		3,596,416		—		—		—		148,161,857
GMO Debt Opportunities Fund, Class VI		78,618,929		—		—		—		—		—		80,012,984
GMO Domestic Bond Fund, Class VI		11,861,988		—		—		15,306		—		1,376,112		10,902,059
GMO Emerging Country Debt Fund, Class IV		62,062,358		—		—		—		—		—		61,822,039
GMO Emerging Markets Fund, Class VI		45,375,997		1,177,590		—		—		—		—		43,484,491
GMO Flexible Equities Fund, Class VI		84,933,948		—		12,438,075		—		—		—		79,539,772
GMO International Growth Equity Fund, Class IV		174,154,916		—		83,348,898		—		—		—		100,035,292
GMO International Intrinsic Value Fund, Class IV		508,373,819		73,450,385		—		—		—		—		604,464,536
GMO Risk Premium Fund, Class VI		75,746,033		—		—		—		—				76,177,635
GMO Special Situations Fund, Class VI		63,120,913		18,464,993		—		—		—		—		82,964,804
GMO Strategic Fixed Income Fund, Class VI		114,412,850		—		—		—		—		—		115,944,854
GMO U.S. Flexible Equities Fund, Class VI		736,384,617		18,326,810		27,225,497		—		—		—		781,014,841
Totals	$	2,160,121,763	$	153,438,076	$	126,608,886	$	15,306	$	—	$	1,376,112	$	2,289,269,289

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Return of Capital*		Value, end of period
U.S. Equity Allocation Fund
GMO U.S. Core Equity Fund, Class VI	$	38,283,951	$	428,476	$	22,164,198	$	—	$	—	$	—	$	18,898,481
GMO U.S. Flexible Equities Fund, Class VI		40,220,813		500,434		23,002,429		—		—		—		19,768,066
GMO U.S. Small/Mid Cap Fund, Class III		1,979,369		22,575		1,136,316		—		—		—		993,480
Totals	$	80,484,133	$	951,485	$	46,302,943	$	—	$	—	$	—	$	39,660,027
World Opportunities Equity Allocation Fund
GMO Currency Hedged International Equity Fund, Class III	$	105,584,819	$	8,320,477	$	2,700,000	$	—	$	—	$	—	$	117,732,716
GMO Emerging Markets Fund, Class VI		30,728,573		—		—		—		—		—		28,650,185
GMO Flexible Equities Fund, Class VI		30,425,117		—		12,202,000		—		—		—		21,483,958
GMO International Growth Equity Fund, Class IV		153,982,276		—		4,805,299		—		—		—		155,091,160
GMO International Intrinsic Value Fund, Class IV		474,047,552		2,681,523		1,099,966		—		—		—		498,599,032
GMO U.S. Core Equity Fund, Class VI		74,987,226		—		—		—		—		—		81,879,625
GMO U.S. Flexible Equities Fund, Class VI		662,034,180		6,475,000		5,492,196		—		—		—		711,631,743
Totals	$	1,531,789,743	$	17,477,000	$	26,299,461	$	—	$	—	$	—	$	1,615,068,419

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2013 through May 31, 2013. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2014.

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. Management 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 sale of those securities.

Basis of presentation and principles of consolidation: Alternative Asset Opportunity Fund and Benchmark-Free Allocation Fund

Alternative Asset Opportunity Fund and Benchmark-Free Allocation Fund include the accounts of their wholly owned investments in Alternative Asset SPC Ltd. and Implementation Fund (each a “wholly owned subsidiary”), respectively, and the accompanying schedules of investments have been consolidated for those accounts. The consolidated schedules of investments include 100% of the assets and liabilities of each wholly owned subsidiary.

Portfolio valuation

Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. 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 Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) 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 this 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 by the relevant clearing house. If an updated closing price for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model. Unlisted securities (including debt instruments) for which market quotations are readily available are generally valued at the most recent quoted price. 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 of GMO Trust (the “Trustees”) or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended May 31, 2013, the Funds did not reduce the value of any of their over-the-counter (“OTC”) derivatives contracts, if any, based on the creditworthiness of their counterparties. See “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing pricing methodologies are modified for equity securities listed on foreign exchanges and that trade in securities markets that are closed prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, 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). In those cases, the value will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds, either directly or through investments in the underlying funds, that were valued using fair value inputs obtained from that independent pricing service as of May 31, 2013. 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 being valued using Level 2 inputs (levels defined below) in the table below and as described in the disclosures of the underlying funds.

Typically, the Funds and the underlying funds value debt instruments based on the most recent quoted price supplied by a single pricing source chosen by the Manager. Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager 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) when it believes that the price supplied is not reliable. Although alternative prices may be available for securities held by the Funds and the underlying funds, those alternative sources are not typically part of the valuation process and do not necessarily provide greater certainty about the prices used by the Fund and the underlying funds. See the table below for information about securities for which no alternative pricing source was available. In the case of non-emerging market debt instruments with a remaining maturity of sixty days or less, the instrument may be valued at amortized cost which approximates market value, if the issuer is deemed to present minimal credit risk.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security. If an updated quote for a security is not available by the time that the Funds calculate their net asset value on any business day, the Funds will generally use a quoted price from a prior day to value that security.

As discussed above, certain of the Funds and 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, fair valued using inputs obtained from an independent pricing service or valued using prices for which no alternative pricing source was available. The net aggregate direct and/or indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of May 31, 2013 is as follows:

Securities

Fund Name	Fair valued using methods determined in good faith by or at the direction of the  Trustees		Fair valued using inputs obtained from an independent pricing service		Single Source; no alternative pricing source was available
Alpha Only Fund		—		43.0%		—
Consolidated Alternative Asset Opportunity Fund		0.0%^		—		0.0%^
Consolidated Benchmark-Free Allocation Fund		0.1%		37.5%		0.4%
Benchmark-Free Fund		0.2%		40.4%		0.4%
Global Asset Allocation Fund		0.2%		40.6%		0.5%
Global Equity Allocation Fund		0.1%		53.5%		—
International Equity Allocation Fund		0.2%		90.8%		—
International Opportunities Equity Allocation Fund		0.0%^		94.5%		—
Special Situations Fund		—		—		—
Strategic Opportunities Allocation Fund		0.2%		43.7%		0.5%
U.S. Equity Allocation Fund		—		2.6%		—
World Opportunities Equity Allocation Fund		0.0%^		50.2%		—

^ Rounds to 0.0%.

Derivatives

Fund Name	Futures contracts fair valued using inputs obtained from an independent pricing service		Swap agreements fair valued using inputs obtained from an independent pricing service		Options Fair valued using inputs obtained from an independent pricing service
Alpha Only Fund		(0.3)%		0.8%		—
Consolidated Alternative Asset Opportunity Fund		0.4%		—		—
Consolidated Benchmark-Free Allocation Fund		(0.1)%		0.2%		(0.2)%
Benchmark-Free Fund		0.0%^		0.1%		(0.2)%
Global Asset Allocation Fund		0.0%^		0.1%		(0.1)%
Global Equity Allocation Fund		0.1%		(0.1)%		—
International Equity Allocation Fund		0.1%		(0.1)%		—
International Opportunities Equity Allocation Fund		0.2%		(0.1)%		—
Special Situations Fund		—		—		—
Strategic Opportunities Allocation Fund		0.1%		0.1%		(0.1)%
U.S. Equity Allocation Fund		—		—		—
World Opportunities Equity Allocation Fund		0.1%		(0.1)%		—

^ Rounds to 0.0%.

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 methodology 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 liquidity of investments, could cause a security to be reclassified between levels.

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the “Valuation Inputs” table below). At May 31, 2013, there were no direct material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.

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 with a remaining maturity of greater than 60 days, 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 debt securities such as U.S. government securities with a remaining maturity of less than 60 days valued at amortized cost; certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using broker quotes; certain cleared derivatives and 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; 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-back mortgage-backed, loans and sovereign debt) even though they are valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; certain derivatives valued using third party valuation services; 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 valued at zero; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information;

certain equity securities valued based on the last traded exchange price adjusted for the movement in a securities index; and certain securities that are valued using a price from a comparable security related to the same issuer.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of May 31, 2013:

Valuation Inputs as of May 31, 2013

Description	Level 1			Level 2			Level 3		Total
Alpha Only Fund
Asset Valuation Inputs
Mutual Funds
United States	$	3,757,049,397		$	—		$	—	$	3,757,049,397
TOTAL MUTUAL FUNDS		3,757,049,397			—			—		3,757,049,397
Investment Funds
United States		78,744,382			—			—		78,744,382
TOTAL INVESTMENT FUNDS		78,744,382			—			—		78,744,382
Short-term Investments		48,176,300			—			—		48,176,300
Total Investments		3,883,970,079			—			—		3,883,970,079
Derivatives*
Forward Currency Contracts
Foreign currency risk		—			16,260,664			—		16,260,664
Futures Contracts
Equity risk		—			4,995,681			—		4,995,681
Swap Agreements
Equity risk		—			33,875,377			—		33,875,377
Total	$	3,883,970,079		$	55,131,722		$	—	$	3,939,101,801
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign currency risk	$	—		$	(366,684	)	$	—	$	(366,684	)
Futures Contracts
Equity risk		(97,245,720	)		(21,784,357	)		—		(119,030,077	)
Total	$	(97,245,720	)	$	(22,151,041	)	$	—	$	(119,396,761	)
Consolidated Alternative Asset Opportunity Fund
Asset Valuation Inputs
Mutual Funds	$	985,023,187		$	—		$	—	$	985,023,187
Short-term Investments		476,836,102			64,994,430			—		541,830,532
Total Investments		1,461,859,289			64,994,430			—		1,526,853,719
Derivatives*
Forward Currency Contracts
Foreign currency risk		—			5,040,774			—		5,040,774
Futures Contracts
Physical commodity contract risk		14,638,948			—			—		14,638,948
Equity risk		2,477,128			8,241,140			—		10,718,268
Interest rate risk		5,212,738			—			—		5,212,738
Total	$	1,484,188,103		$	78,276,344		$	—	$	1,562,464,447
Liability Valuation Inputs
Derivatives*
Futures Contracts
Physical commodity contract risk	$	(27,663	)	$	—		$	—	$	(27,663	)
Equity risk		—			(1,553,666	)		—		(1,553,666	)
Total	$	(27,663	)	$	(1,553,666	)	$	—	$	(1,581,329	)

Description	Level 1		Level 2		Level 3			Total
Consolidated Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds
United States	$	3,140,713,890	$	—	$	—		$	3,140,713,890
Investment Funds
United States		12,610,631		—		—			12,610,631
Debt Obligations
Canada		—		—		4,273,397			4,273,397
United States		—		—		3,862,536			3,862,536
TOTAL DEBT OBLIGATIONS		—		—		8,135,933			8,135,933
Common Stocks
Australia	$	—	$	41,759,984	$	105,291		$	41,865,275
Austria		—		5,299,889		—			5,299,889
Belgium		—		12,664,746		—			12,664,746
Brazil		48,744,803		—		—			48,744,803
Canada		11,503,035		—		—			11,503,035
Czech Republic		—		9,649,608		—			9,649,608
Denmark		—		4,506,146		—			4,506,146
Egypt		—		7,874,122		—			7,874,122
Finland		—		6,424,537		—			6,424,537
France		—		157,677,449		—			157,677,449
Germany		—		67,473,296		—			67,473,296
Greece		—		2,792,975		—			2,792,975
Hong Kong		—		11,151,409		—			11,151,409
Hungary		—		694,917		—			694,917
India		7,815,026		25,902,653		1,153,871			34,871,550
Indonesia		931,120		47,795,824		—			48,726,944
Ireland		—		3,598,989		—			3,598,989
Israel		—		2,308,593		—			2,308,593
Italy		—		67,786,338		—			67,786,338
Japan		—		255,789,948		—			255,789,948
Kazakhstan		—		970,732		—			970,732
Malaysia		—		4,623,762		—			4,623,762
Mexico		12,370,450		—		—			12,370,450
Netherlands		759,185		25,894,817		0	**		26,654,002
New Zealand		—		4,086,659		—			4,086,659
Norway		—		4,705,895		—			4,705,895
Peru		7,817,626		—		—			7,817,626
Philippines		410,286		6,105,449		—			6,515,735
Poland		—		14,986,558		—			14,986,558
Portugal		—		3,676,524		—			3,676,524
Russia		749,603		81,936,376		—			82,685,979
Singapore		—		14,318,684		—			14,318,684
South Africa		2,683,840		12,997,238		—			15,681,078
South Korea		3,712,319		140,557,751		—			144,270,070
Spain		—		83,675,792		—			83,675,792
Sweden		—		9,794,888		—			9,794,888
Switzerland		—		61,554,880		—			61,554,880
Taiwan		5,839,164		49,865,678		—			55,704,842
Thailand		—		29,679,663		1,247,045			30,926,708
Turkey		—		8,636,880		—			8,636,880
United Kingdom		—		321,990,898		28,152			322,019,050
United States		1,100,020,668		—		—			1,100,020,668
TOTAL COMMON STOCKS		1,203,357,125		1,611,210,547		2,534,359			2,817,102,031
Preferred Stocks
Brazil		48,110,072		—		—			48,110,072
Germany		—		6,732,979		—			6,732,979
Russia		—		5,557,703		—			5,557,703
South Korea		—		3,031,131		—			3,031,131
TOTAL PREFERRED STOCKS		48,110,072		15,321,813		—			63,431,885

Description	Level 1			Level 2			Level 3			Total
Consolidated Benchmark-Free Allocation Fund (continued)
Asset Valuation Inputs (continued)
Rights/warrants
Greece	$	—		$	—		$	69		$	69
Italy		—			—			0	**		0
Japan		—			9,240			—			9,240
TOTAL RIGHTS/WARRANTS		—			9,240			69			9,309
Short-Term Investments		478,461,635			—			—			478,461,635
Total Investments		4,883,253,353			1,626,541,600			10,670,361			6,520,465,314
Derivatives*
Forward Currency Contracts
Foreign currency risk		—			42,314,620			—			42,314,620
Futures Contracts
Equity risk		99,991			1,825,569			—			1,925,560
Total	$	4,883,353,344		$	1,670,681,789		$	10,670,361		$	6,564,705,494
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign currency risk	$	—		$	(412,986	)	$	—		$	(412,986	)
Futures Contracts
Equity risk		(227,998	)		(1,677,583	)		—			(1,905,581	)
Written Options
Equity risk		(2,251,655	)		(10,400,575	)	$	—			(12,652,230	)
Total	$	(2,479,653	)	$	(12,491,144	)	$	—		$	(14,970,797	)
Benchmark-Free Fund
Asset Valuation Inputs
Mutual Funds	$	4,101,673,488		$	—		$	—		$	4,101,673,488
Short-Term Investments		42,643			—			—			42,643
Total Investments		4,101,716,131			—			—			4,101,716,131
Total	$	4,101,716,131		$	—		$	—		$	4,101,716,131
Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	4,949,144,596		$	—		$	—		$	4,949,144,596
Debt Obligations
Asset-Backed Securities		—			315,872			20,714,708			21,030,580
U.S. Government Agency		—			—			14,865			14,865
TOTAL DEBT OBLIGATIONS		—			315,872			20,729,573			21,045,445
Short-Term Investments		31,333			—			—			31,333
Total Investments		4,949,175,929			315,872			20,729,573			4,970,221,374
Total	$	4,949,175,929		$	315,872		$	20,729,573		$	4,970,221,374
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	2,602,782,643		$	—		$	—		$	2,602,782,643
Short-Term Investments		20,443			—			—			20,443
Total Investments		2,602,803,086			—			—			2,602,803,086
Total	$	2,602,803,086		$	—		$	—		$	2,602,803,086
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,344,551,826		$	—		$	—		$	1,344,551,826
Short-Term Investments		26,286			—			—			26,286
Total Investments		1,344,578,112			—			—			1,344,578,112
Total	$	1,344,578,112		$	—		$	—		$	1,344,578,112

Description	Level 1		Level 2			Level 3		Total
International Opportunities Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,021,153,967	$	—		$	—	$	1,021,153,967
Short-Term Investments		25,565		—			—		25,565
Total Investments		1,021,179,532		—			—		1,021,179,532
Total	$	1,021,179,532	$	—		$	—	$	1,021,179,532
Special Situations Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	—		$	17,261,504	$	17,261,504
Bank Loans		—		—			12,958,747		12,958,747
TOTAL DEBT OBLIGATIONS		—		—			30,220,251		30,220,251
Mutual Funds		635,101,227		—			—		635,101,227
Short-Term Investments		62,416,010		—			—		62,416,010
Total Investments		697,517,237		—			30,220,251		727,737,488
Derivatives*
Forward Currency Contracts
Foreign currency risk		—		14,560,697			—		14,560,697
Swap Agreements
Equity risk		—		8,815,626			—		8,815,626
Total	$	697,517,237	$	23,376,323		$	30,220,251	$	751,113,811
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign currency risk	$	—	$	(2,183,674	)	$	—	$	(2,183,674	)
Swap Agreements
Equity risk		—		(584,995	)		—		(584,995	)
Interest rate risk		—		(871,890	)	$	—		(871,890	)
Total	$	—	$	(3,640,559	)	$	—	$	(3,640,559	)
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	2,289,269,289	$	—		$	—	$	2,289,269,289
Debt Obligations
Asset-Backed Securities		—		—			8,941,361		8,941,361
TOTAL DEBT OBLIGATIONS		—		—			8,941,361		8,941,361
Short-Term Investments		23,624		—			—		23,624
Total Investments		2,289,292,913		—			8,941,361		2,298,234,274
Total	$	2,289,292,913	$	—		$	8,941,361	$	2,298,234,274
U.S. Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	39,660,027	$	—		$	—	$	39,660,027
Short-term Investments		16,844		—			—		16,844
Total Investments		39,676,871		—			—		39,676,871
Total	$	39,676,871	$	—		$	—	$	39,676,871
World Opportunities Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,615,068,419	$	—		$	—	$	1,615,068,419
Short-term Investments		27,727		—			—		27,727
Total Investments		1,615,096,146		—			—		1,615,096,146
Total	$	1,615,096,146	$	—		$	—	$	1,615,096,146

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.

* The tables above are based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value.

** Represents the interest in securities that were determined to have a value of zero at May 31, 2013.

The underlying funds held at period end are classified above as Level 1 or Level 2. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes.

For all Funds, for the period ended May 31, 2013, there were no material transfers between Level 1 and Level 2.

The following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2013		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, 2013			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2013
Consolidated Benchmark-Free Allocation Fund
Debt Obligations
Asset-Backed Securities
Canada	$	4,156,599	$	—	$	—		$	4,164	$	—		$	112,634		$	—	$	—	$	4,273,397		$	112,634
United States		397,099		—		—			8,890		—			216,860			—		—		622,849			216,860
Bank Loans
United States		4,983,209		—		(1,719,121	)		2,038		24,462			(50,901	)		—		—		3,239,687			(50,901	)
Common Stock
Australia		—		—		—			—		—			—			105,291		—		105,291			—
India		1,107,369		728,641		(574,055	)		—		(110,196	)		2,112			—		—		1,153,871			(18,446	)
Netherlands		93,629		—		—			—		—			(93,629	)		—		—		—			(93,629	)
Thailand		1,300,860		680,406		(830,171	)		—		189,844			(93,894	)		—		—		1,247,045			(53,719	)
United Kingdom		—		19,615		—			—		—			8,537			—		—		28,152			8,537
Rights/Warrants
Greece		—		0		—			—		—			69			—		—		69			69
Italy		—		0		—			—		—			—			—		—		0	**		—
Total	$	12,038,765	$	1,428,662	$	(3,123,347	)	$	15,092	$	104,110		$	101,788		$	105,291	$	—	$	10,670,361		$	121,405
Global Asset Allocation Fund
Debt Obligations
Asset-Backed Securities	$	21,136,349	$	—	$	(1,459,650	)	$	417,286	$	5,761		$	614,962		$	—	$	—	$	20,714,708		$	626,258
U.S. Government Agency		22,304		—		(7,488	)		48		73			(72	)		—		—	$	14,865			(72	)
Total	$	21,158,653	$	—	$	(1,467,138	)#	$	417,334	$	5,834		$	614,890		$	—	$	—	$	20,729,573		$	626,186
Special Situations Fund
Debt Obligations
Asset-Backed Securities	$	17,233,071	$	—	$	(442,839	)	$	30,628	$	—		$	440,644		$	—	$	—	$	17,261,504		$	440,644
Bank Loans		19,932,835		—		(6,876,486	)		9,421		96,581			(203,604	)		—		—	$	12,958,747			(203,604	)
Total	$	37,165,906	$	—	$	(7,319,325	)##	$	40,049	$	96,581		$	237,040		$	—	$	—	$	30,220,251		$	237,040
Strategic Opportunities Allocation Fund
Debt Obligations
Asset-Backed Securities	$	8,853,321	$	—	$	(270,091	)	$	204,729	$	—		$	153,402		$	—	$	—	$	8,941,361		$	153,402
Total	$	8,853,321	$	—	$	(270,091	)###	$	204,729	$	—		$	153,402		$	—	$	—	$	8,941,361		$	153,402

* The Funds account for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period.

** Represents the interest in securities that were determined to have a value of zero at May 31, 2013.

# Includes $1,208,143 of proceeds received from paydowns.

## Includes $7,379,849 of proceeds received from paydowns.

### Includes $338,098 of proceeds received from paydowns.

The net aggregate direct and/or indirect exposure to investments in securities and derivative financial instruments using Level 3 inputs (based on the Funds’ net assets) as of May 31, 2013 were as follows:

Fund Name	Level 3 securities	Level 3 derivatives
Alpha Only Fund	0.0%^	—
Consolidated Alternative Asset Opportunity Fund	0.2%	—
Consolidated Benchmark-Free Allocation Fund	5.8%	(0.1)%
Benchmark-Free Fund	5.4%	(0.1)%
Global Asset Allocation Fund	5.0%	(0.1)%
Global Equity Allocation Fund	0.1%	—
International Equity Allocation Fund	0.2%	—
International Opportunities Equity Allocation Fund	0.0%^	—
Special Situations Fund	3.9%	—
Strategic Opportunities Allocation Fund	5.9%	(0.1)%
U.S. Equity Allocation Fund	—	—
World Opportunities Equity Allocation Fund	0.0%^	—

^ Rounds to 0.0%.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. Dollars at the close of regular trading on the NYSE, generally at 4:00 pm Boston time. Income and expenses denominated in foreign currencies are typically translated into U.S. Dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Loan agreements and participations

The Funds may invest in loans to corporate, governmental or other borrowers. A Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. When a Fund purchases assignments of loans, it acquires direct rights against the borrower. Loan agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Repurchase agreements

The Funds may enter into repurchase agreements. Under a repurchase agreement a Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. That Fund, through its custodian, takes possession of securities it acquired under the repurchase agreement. The value of the securities acquired is required by contract to be marked to market daily and additional collateral is required to be transferred so that the market value is at least equal to the amount owed to that Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency proceedings and/or the value of the securities subject to the repurchase agreement is insufficient, that Fund’s recovery of cash from the seller may be delayed and, even if that Fund is able to dispose of the securities, the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. Repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Reverse repurchase agreements

The Funds may enter into reverse repurchase agreements. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes that Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. Reverse repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Inflation-indexed bonds

The Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that reflects inflation in the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.

The value of inflation-indexed bonds is expected to change in response to changes in real interest rates. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e., stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e., nominal interest rate minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a

decrease in value of inflation-indexed bonds. There can be no assurance, however, that the value of inflation-indexed bonds will be directly correlated to changes in nominal interest rates, and short term increases in inflation may lead to a decline in their value. Coupon payments received by a Fund from inflation-indexed bonds are included in the Funds’ gross income for the period in which they accrue. In addition, any increase or decrease in the principal amount of an inflation-indexed bond will increase or decrease taxable ordinary income to the Fund, even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Investment and other risks

The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.

Alpha Only Fund

Alterna- tive Asset Opport- unity Fund

Benchmark-Free Allocation Fund

Benchmark-Free Fund

Global Asset Allocation Fund

Global Equity Allocation Fund

Interna- tional Equity Allocation Fund

Interna- tional Opport- unities Equity Allocation Fund

Special Situations Fund

Strategic Opport- unities Allocation Fund

U.S. Equity Allocation Fund

World Opport- unities Equity Allocation Fund

Market Risk – Equities

X

X

X

X

X

X

X

X

X

X

X

X

Market Risk – Fixed Income Investments

X

X

X

X

X

X

X

X

X

X

X

Market Risk – Asset-Backed Securities

X

X

X

X

X

X

X

X

X

X

Credit Risk

X

X

X

X

X

X

X

X

X

X

X

Liquidity Risk

X

X

X

X

X

X

X

X

X

X

X

X

Smaller Company Risk

X

X

X

X

X

X

X

X

X

X

Derivatives Risk

X

X

X

X

X

X

X

X

X

X

X

X

Non-U.S. Investment Risk

X

X

X

X

X

X

X

X

X

X

X

X

Currency Risk

X

X

X

X

X

X

X

X

X

X

X

X

Focused Investment Risk

X

X

X

X

X

X

X

X

X

X

X

Real Estate Risk

X

X

X

X

X

X

X

X

Leveraging Risk

X

X

X

X

X

X

X

X

X

X

X

X

Counterparty Risk

X

X

X

X

X

X

X

X

X

X

X

X

Short Sales Risk

X

X

X

X

X

X

X

X

X

X

X

Natural Resources Risk

X

X

X

X

X

X

X

X

X

Options Risk

X

X

X

X

X

X

X

X

Commodities Risk

X

X

X

X

X

X

X

X

X

Market Disruption and Geopolitical Risk

X

X

X

X

X

X

X

X

X

X

X

X

Large Shareholder Risk

X

X

X

X

X

X

X

X

X

X

X

X

Management and Operational Risk

X

X

X

X

X

X

X

X

X

X

X

X

Fund of Funds Risk

X

X

X

X

X

X

X

X

X

X

X

X

Non-Diversified Funds

X

X

X

X

X

X

X

X

X

X

X

X

Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.

Each Fund that invests in other GMO Funds and other investment companies is exposed to the risks to which the underlying funds in which it invests are exposed. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and, references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through other GMO Funds and other investment companies.

An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market value of their holdings will decline. Market risks include:

Equities. — Funds that invest in equities run the risk that the market prices of those investments will decline. The market prices of equities may decline for reasons that directly relate to the issuing company, such as poor management performance or reduced demand for its goods or services. They also may decline due to factors that affect a particular industry, such as a decline in demand, labor or raw material shortages or increased production costs. In addition, market prices may decline as a result of general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. Equities generally have significant price volatility and the market prices of equities can decline in a rapid or unpredictable manner.

Some of the Funds invest a substantial portion of their assets in equities and, as a result, declines in stock market prices generally are likely to reduce the net asset values of those Funds’ shares.

If a Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate to or will decline for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments.

The market price of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.

GMO Risk Premium Fund’s investment strategy of selling put options on stock indices will likely cause it to underperform the equity markets in sharply rising markets.

Fixed Income Investments. — Funds that invest in fixed income securities (including bonds, notes, bills, synthetic debt instruments and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to a number of market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity stemming from the market’s uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market price of fixed income investments with complex structures, such as asset-backed securities and sovereign and quasi-sovereign debt instruments, can decline due to market uncertainty about their credit quality and the reliability of their payment streams. Some fixed income securities also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the fixed income security. When interest rates rise, these securities also may be repaid more slowly than anticipated, which could cause the market price of the Fund’s investment to decrease. During periods of economic uncertainty and change, the market price of a Fund’s investments in below investment grade securities (commonly referred to as “junk bonds”) may be particularly volatile. Often junk bonds are subject to greater sensitivity to interest rate and economic changes than higher rated bonds and can be more difficult to value, exposing a Fund to the risk that the price of which it sells them will be less than the value placed on them when they were held by the Fund. See “Credit Risk” and “Liquidity Risk” below for more information about these risks.

A risk run by each Fund with a significant investment in fixed income securities is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases in interest rates (also called “interest rate risk”) is generally greater for Funds investing in fixed income securities with longer durations and in some cases duration can increase.

The extent to which a fixed income security’s price changes with changes in interest rates is referred to as interest rate duration, which can be measured mathematically or empirically. A longer-maturity investment generally has longer interest rate duration because the investment’s fixed rate is locked in for a longer period of time. Floating-rate or adjustable-rate securities, however, generally have shorter interest rate durations because their interest rates are not fixed but rather float up and down as interest rates change. Conversely, inverse floating-rate securities have durations that move in the opposite direction from short-term interest rates and thus tend to underperform fixed rate securities when interest rates rise but outperform them when interest rates decline. Fixed income securities paying no interest, such as zero coupon and principal-only securities, create additional interest rate risk.

The market price of inflation-indexed bonds (including Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”)) normally changes when real interest rates change. Their value typically will decline during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increase during periods of declining real interest rates. Real interest rates may not fluctuate in the same manner as nominal interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities. The market price of a Fund’s inflation-indexed bonds, however, will not necessarily change in the same proportion as changes in nominal interest rates, and

short term increases in inflation may lead to a decline in their price. Moreover, if the index measuring inflation falls, the principal value of inflation-indexed bond investments will be adjusted downward, and, consequently, the interest they pay (calculated with respect to a smaller principal amount) will be reduced. In the case of TIPS, the U.S. government guarantees the repayment of the original bond principal upon maturity (as adjusted for inflation). Generally, when interest rates on short term U.S. Treasury obligations equal or approach zero, a Fund that invests a substantial portion of its assets in U.S. Treasury obligations, such as U.S. Treasury Fund, will have a negative return unless the Manager waives or reduces its management fees.

Market risk for fixed income securities denominated in non-U.S. currencies is also affected by currency risk. See “Currency Risk” below.

Asset-Backed Securities. — Investments in asset-backed securities not only are subject to all of the market risks described above for fixed income securities but to other market risks as well.

Funds investing in asset-backed securities are exposed to the risk that these securities experience severe credit downgrades, illiquidity, defaults, and declines in market value. These risks are particularly acute during periods of adverse market conditions, such as those that occurred in 2008. Asset-backed securities may be backed by many types of assets, including pools of residential and commercial mortgages, automobile loans, educational loans, home equity loans, and credit-card receivables. They also may be backed by pools of corporate or sovereign bonds, bank loans made to corporations, or a combination of these bonds and loans (commonly referred to as “collateralized debt obligations” or “collateralized loan obligations”) and by the fees earned by service providers.

As described under “Market Risk — Fixed Income Investments Risk” above, the market price of fixed income investments with complex structures, such as asset-backed securities, can decline due to a number of factors, including market uncertainty about their credit quality and the reliability of their payment streams. Payment of interest on asset-backed securities and repayment of principal largely depend on the cash flow generated by the assets backing the securities, as well as the deal structure (e.g., determination as to the amount of underlying assets or other support needed to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support and the credit quality of the credit-support provider, if any, and the reliability of various other service providers with access to the payment stream. A problem in any one of these areas can lead to a reduction in the payment stream the Manager expected a Fund to receive at the time the Fund purchased the asset-backed security. Asset-backed securities involve risk of loss of principal if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities may have. Asset-backed securities backed by sub-prime mortgage loans, in particular, may cause a Fund to suffer significantly greater declines in value due to defaults, as sub-prime mortgage loans are typically made to less creditworthy borrowers and thus have a higher risk of default than conventional mortgage loans. The obligations of issuers (and obligors of asset-backed securities) also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. As of the date of this report, many asset-backed securities owned by the Funds that were once rated investment grade are now rated below investment grade. See “Credit Risk” below for more information about credit risk.

With the deterioration of worldwide economic and liquidity conditions that occurred and became acute in 2008, the markets for asset-backed securities became fractured, and uncertainty about the creditworthiness of those securities (and underlying assets) caused credit spreads (the difference between yields on asset-backed securities and U.S. Government securities) to widen dramatically. Concurrently, systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions reduced the ability of financial institutions to make markets in many fixed income securities. These events reduced liquidity and contributed to substantial declines in the market prices of asset-backed and other fixed income securities. These conditions may occur again. Also, government actions and proposals affecting the terms of underlying home and consumer loans, changes in demand for products (e.g., automobiles) financed by those loans, and the inability of borrowers to refinance existing loans (e.g., sub-prime mortgages) have had, and may continue to have, adverse valuation and liquidity effects on asset-backed securities.

The market price of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying assets. The insolvency of an entity that generated the assets underlying an asset-backed security is likely to result in a decline in the market price of that security, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the asset-backed security. When interest rates rise, these obligations also may be repaid more slowly than anticipated, which could cause the market price of the Fund’s investment to decrease.

In addition, the existence of insurance on an asset-based security does not guarantee that the principal and/or interest will be paid because the insurer could default on its obligations. In recent years, a significant number of asset-backed security insurers have defaulted on their obligations.

The risk of investing in asset-backed securities has increased since the deterioration in worldwide economic and liquidity conditions referred to above because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated. See “Focused Investment Risk” below for more information about risks of investing in correlated sectors. A single financial institution may serve as a trustee for many asset-backed securities. As a result, a disruption in that institution’s business may have a material impact on many investments.

• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer’s, guarantor’s, or obligor’s failure to meet its payment obligations or the downgrading of its credit rating. This risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

All fixed income securities are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending upon whether the issuer is a corporation or U.S. or non-U.S. government (or sub-division or instrumentality) and whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the life of a fixed income security. U.S. government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the United States, supported by the ability to borrow from the U.S. Treasury, supported only by the credit of the issuing U.S. government agency, instrumentality, or corporation, or otherwise supported by the United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign debt involve the risk that the governmental entities responsible for repayment may be unable or unwilling to pay interest and repay principal when due. A governmental entity’s willingness or ability to pay interest and repay principal in a timely manner may be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. In addition, payment of principal of fixed income securities guaranteed by the U.S. government can be delayed because the guarantee generally only requires payment upon maturity of the securities. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer may default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued by emerging countries.

In some cases, the credit risk of a fixed income security is reflected in its credit ratings, and a Fund holding such a security is subject to the risk that its rating will be downgraded.

Securities issued by the U.S. Treasury historically have presented minimal credit risk. However, recent events have led to a downgrade in the long-term U.S. credit rating by at least one major rating agency and have introduced greater uncertainty about the ability of the U.S. to repay its obligations. A further credit rating downgrade or a U.S. credit default could decrease the value and increase the volatility of a Fund’s investments.

As described under “Market Risk — Asset-Backed Securities” above, asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors, as described in “Market Risk — Asset Backed Securities” above.

The obligations of issuers also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives Risk” below for more information regarding risks associated with the use of credit default swaps.

The extent to which the market price of a fixed income security changes in response to a credit event depends on a number of factors and can be difficult to predict. For example, floating rate securities may have final maturities of ten or more years, but their effective durations will tend to be very short. If the issuer of floating rate securities experiences an adverse credit event, or a change occurs in its perceived creditworthiness, the market price of its securities could decline much more than would be predicted by a change in their yield relative to their effective duration.

Credit risk is particularly pronounced for below investment grade securities (commonly referred to as “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many asset-backed securities also are below investment grade. Below investment grade securities have speculative characteristics, often are less liquid than higher quality securities, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. In the event of default of sovereign debt, the Funds may be unable to pursue legal action against the sovereign issuer.

• LIQUIDITY RISK. Liquidity risk is the risk that low trading volume, lack of a market maker, large position size or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits or prevents a Fund from selling particular securities or unwinding derivative positions at desirable prices. In addition to these risks, a Fund is exposed to liquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). All of the Funds are subject to liquidity risk, but those with the greatest risk have principal investment strategies that involve investment in asset-backed securities, emerging country debt securities, securities of companies with smaller market capitalizations or smaller total float-adjusted market capitalizations and emerging market securities. These types of investments can be difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the value placed on them when they were held by the Fund. In addition, TIPS have exhibited periods of greatly reduced liquidity when disruptions in fixed income markets have occurred, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when market prices decline generally.

All of the Funds with benchmarks may buy securities that are less liquid than those in their benchmarks.

• SMALLER COMPANY RISK. Companies with smaller market capitalizations, including small- and mid-cap companies, may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. Moreover, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more than the securities of companies with larger market capitalizations. In addition, market risk and liquidity risk are particularly pronounced for securities of these companies.

• DERIVATIVES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates or indices. Derivatives involve the risk that the changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. Derivatives include futures, non-U.S. currency contracts, swap

agreements, reverse repurchase agreements and other OTC contracts. Derivatives may relate to securities, interest rates, currencies or currency exchange rates, inflation rates, commodities and indices.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks of investing directly in securities and other more traditional assets. In particular, a Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed only with the consent of the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed to it under OTC derivatives contracts, or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., non-U.S. currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs the risk of having limited recourse if the counterparty defaults. Even when obligations are required by contract to be collateralized, a Fund often will not receive the collateral the day the collateral is called for. The Funds may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Funds. Derivatives risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. In addition, during those periods, a Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives in which it has invested.

Derivatives also present other risks described in this section, including market risk, liquidity risk, currency risk, credit risk and counterparty risk. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values a Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of a Fund’s net asset value.

A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures, potentially resulting in losses for the Fund.

Swap agreements and other OTC derivatives are highly susceptible to liquidity risk (see “Liquidity Risk” above) and counterparty risk (see “Counterparty Risk” below), and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself.

A Fund’s use of derivatives may be subject to one or more special tax rules and could generate additional taxable income for shareholders.

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. Because the legislation leaves much to rule making (and many of the rules are not yet final), its ultimate impact remains unclear.

Under recently adopted rules and regulations, transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds will hold cleared derivatives through accounts at clearing members. In cleared derivatives transactions, the Funds will make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.

In many ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements. For example, the Funds may be required to provide more margin for cleared derivatives transactions than for bilateral derivatives transactions. Also, in contrast to a bilateral derivatives transaction, following a period of notice to a Fund, a clearing member generally can require termination of an existing cleared derivatives transaction at any time or an increase in margin requirements above the margin that the clearing member required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions or to terminate those transactions at any time. Any increase in margin requirements or termination of existing cleared derivatives transactions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member, because (as described under “Counterparty Risk” below) margin for cleared derivatives transactions in excess of a clearing house’s margin requirements typically is held by the clearing member. Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In

those cases, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of the transaction, including loss of an increase in the value of the transaction and/or loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member and typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent.

These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund, increasing margin or capital requirements, or otherwise limiting liquidity or increasing transaction costs. These regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that the new clearing mechanisms will achieve that result, and in the meantime, as noted above, central clearing exposes the Funds to new kinds of risks and costs.

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to additional and more varied risks than Funds whose investments are limited to U.S. securities. The securities markets of many non-U.S. countries include securities of only a limited number of companies in a limited number of industries. As a result, the market prices of many of those securities fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to the same degree of regulation as U.S. issuers. Reporting, accounting, custody and auditing standards of non-U.S. countries differ, in some cases significantly, from U.S. standards. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs. In addition, some jurisdictions may limit the Fund’s ability to profit from short term trading (as defined in the relevant jurisdiction).

A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments and (iii) the repatriation of proceeds generated from the sale of those investments. A Fund may seek to collect a refund in respect of taxes paid to a non-U.S. country. In those cases, all or a portion of those taxes could ultimately be recovered by a Fund. However, the recovery process could take several years and the Fund will incur expenses in its efforts to collect the refund, which will reduce the benefit of any recovery. A Fund’s efforts to collect a refund may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. A Fund’s decision to pursue a refund is in its sole discretion, and it may decide not to pursue a refund, even if eligible.

Also, investing in non-U.S. securities exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments.

In some non-U.S. markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the U.S. with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents, and issuers. Fluctuations in non-U.S. currency exchange rates also will affect the market value of a Fund’s non-U.S. investments (see “Currency Risk” below).

U.S. investors are required to maintain a license to invest directly in many non-U.S. markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license is terminated or suspended, to obtain exposure to the market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of the Manager’s clients may preclude other clients, including a Fund, from obtaining a similar license, and this could limit the Fund’s investment opportunities. In addition, the activities of another of the Manager’s clients could cause the suspension or revocation of a license and thereby limit the Funds’ investment opportunities.

Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of assets of issuers of securities in a Fund’s portfolio; greater governmental involvement in the economy; less governmental supervision and regulation of the securities markets and participants in those markets; controls on non-U.S. investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e., a market freeze); unavailability of currency hedging techniques; differences in, or lack of, auditing and financial reporting standards and resulting unavailability of material information about issuers; slower clearance and settlement; difficulties in obtaining and/or enforcing legal judgments; and significantly smaller market capitalizations of issuers.

• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the non-U.S. currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position, will decline in value relative to the U.S. dollar. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss both on the hedging instrument and on the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons, including changes in supply and demand in the currency exchange markets, trade balances, actual or perceived changes in interest rates, differences in relative values of similar assets in different currencies, long-term opportunities for investment and capital appreciation, intervention

(or the failure to intervene) by governments, central banks or supranational agencies such as the International Monetary Fund, and currency or exchange controls or other political and economic developments in the U.S. or abroad. See “Market Disruption and Geopolitical Risk” below.

Many of the Funds use derivatives to take overweighted or underweighted currency positions relative to the currency exposure of their portfolios. As a result, their currency exposure may differ (in some cases significantly) from the currency exposure of their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money both on its holdings of a particular currency and on the derivative. See also “Non-U.S. Investment Risk” above.

Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars, in which case the Manager may decide to purchase U.S. dollars in a parallel market in which the exchange rate is materially and adversely different. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.

Derivative transactions in non-U.S. currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described below under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk” below).

• FOCUSED INVESTMENT RISK. Funds whose investments are focused in particular countries, regions, sectors, companies or industries with high positive correlations to one another (e.g., different industries within broad sectors, such as technology or financial services), or in securities from issuers with high positive correlations to one another (such as GMO U.S. Treasury Fund’s investments in securities issued by the U.S. Treasury and other fixed income securities that are backed by the full faith and credit of the U.S. government), are subject to greater overall risk than funds whose investments are more diversified. A Fund that invests in the securities of a limited number of issuers is particularly exposed to adverse developments affecting those issuers, and a decline in the market price of a particular security held by the Fund is likely to affect the Fund’s performance more than if the Fund invested in the securities of a larger number of issuers.

A Fund that focuses its investments in a particular type of security or sector, or in securities of companies in a particular industry, is vulnerable to events affecting those securities, sectors, or companies. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments. See also “Real Estate Risk” below.

Similarly, Funds having a significant portion of their assets in investments tied economically to (or related to) a particular geographic region, non-U.S. country (e.g., Taiwan) or particular market (e.g., emerging markets) have more exposure to regional and country economic risks than funds making non-U.S. investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in currency valuation in one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk” above.

• REAL ESTATE RISK. Because Real Estate Fund concentrates its assets in real estate-related investments, the value of its portfolio is subject to factors affecting the real estate industry and may fluctuate more than the value of a portfolio that consists of securities of companies in a broader range of industries. Factors affecting real estate values include the supply of real property in particular markets, overbuilding, changes in zoning laws, casualty or condemnation losses, delays in completion of construction, changes in real estate values, changes in operating costs and property taxes, levels of occupancy, adequacy of rent to cover operating costs, possible environmental liabilities, regulatory limitations on rent, fluctuations in rental income, increased competition and other risks related to local and regional market conditions. The value of real estate-related investments also may be affected by changes in interest rates, macroeconomic developments, and social and economic trends. For instance, during periods of declining interest rates, some mortgage REITs may hold mortgages that the mortgagors elect to prepay, which prepayment may reduce the yield on securities issued by those REITs. Some REITs have relatively small market capitalizations, which can tend to increase the volatility of the market price of their securities. REITs are subject to the risk of fluctuations in income from underlying real estate assets, their inability to manage effectively the cash flows generated by those assets, prepayments and defaults by borrowers, and their failure to qualify for the special tax treatment granted to REITs under the Internal Revenue Code of 1986, as amended, or to maintain their exemption from investment company status under the Investment Company Act of 1940, as amended (the “1940 Act”).

• LEVERAGING RISK. The use of reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives have the potential for unlimited loss, regardless of the size of the initial investment. A Fund’s use of reverse repurchase agreements also subjects it to interest costs based on the difference between the sale and repurchase price of the security involved. A Fund’s portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.

A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.

• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business

interruption, the Fund could miss investment opportunities or otherwise hold investments it would prefer to sell, resulting in losses for the Fund. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties maintain a specific rating by a nationally recognized rating organization to be considered for potential transactions. To the extent that GMO’s view with respect to a particular counterparty changes (whether due to external events or otherwise), existing transactions are not required to be terminated or modified. Additionally, new transactions may be entered into with a counterparty that is no longer considered eligible if the transaction is primarily designed to reduce the overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lesser notional amount). Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies, but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time that events may occur that prevent settlement. Counterparty risk also is greater when a Fund has concentrated its derivatives with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Significant exposure to a single counterparty increases a Fund’s counterparty risk. Funds that use swap agreements are subject, in particular, to the creditworthiness of the counterparties because some types of swap agreements have durations longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be promptly posted as required.

The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds.

Counterparty risk with respect to derivatives will be affected by new rules and regulations affecting the derivatives market. As described under “Derivatives Risk” above, some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position, rather than the credit risk of its original counterparty to the derivatives transaction. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. A clearing member is obligated by contract and by applicable regulation to segregate all funds received from customers with respect to cleared derivatives transactions from the clearing member’s proprietary assets. However, all funds and other property received by a clearing member from its customers with respect to cleared derivatives are generally held by the clearing member on a commingled basis in an omnibus account, and the clearing member may invest those funds in certain instruments permitted under the applicable regulations. Therefore, a Fund might not be fully protected in the event of the bankruptcy of a Fund’s clearing member because the Fund would be limited to recovering only a pro rata share of all available funds segregated on behalf of the clearing member’s customers for a relevant account class. Also, the clearing member is required to transfer to the clearing house the amount of margin required by the clearing house for cleared derivatives, which amounts are generally held in an omnibus account at the clearing house for all customers of the clearing member. Regulations promulgated by the Commodities Futures Trading Commission require that the clearing member notify the clearing house of the initial margin provided by the clearing member to the clearing house that is attributable to each customer. However, if the clearing member does not accurately report the Funds’ initial margin, the Funds are subject to the risk that a clearing house will use a Fund’s assets held in an omnibus account at the clearing house to satisfy payment obligations of a defaulting customer of the clearing member to the clearing house. In addition, clearing members generally provide the clearing house the net amount of variation margin required for cleared swaps for all of its customers in the aggregate, rather than individually for each customer. The Funds are therefore subject to the risk that a clearing house will not make variation margin payments owed to a Fund if another customer of the clearing member has suffered a loss and is in default, and the risk that a Fund will be required to provide additional variation margin to the clearing house before the clearing house will move the Fund’s cleared derivatives transactions to another clearing member. In addition, if a clearing member does not comply with the applicable regulations or its agreement with the Funds, or in the event of fraud or misappropriation of customer assets by a clearing member, a Fund could have only an unsecured creditor claim in an insolvency of the clearing member with respect to the margin held by the clearing member.

• SHORT SALES RISK. Some Funds may use short sales in their investment programs in an attempt to increase their returns or for hedging purposes.

In implementing its principal investment strategy, Alpha Only Fund is permitted to engage in short sales of securities or currencies that it does not own. To do so, the Fund borrows a security (e.g., shares of an exchange-traded fund (“ETF”)) or currency from a broker and sells it to a third party. This type of short sale exposes the Fund to the risk that it will be required to acquire, convert, or exchange securities or currencies to replace the borrowed securities at a time when the securities or currencies sold short have appreciated in value, thus resulting in a loss to the Fund. If a Fund engages in short sales of securities or currencies it does not own, it may have to pay a premium to borrow the securities or currencies and must pay to the lender any dividends or interest it receives on the securities or currencies while they are borrowed. In addition, purchasing securities or currencies to close out a short position can itself cause the price of the securities or currencies to rise further, thereby exacerbating any losses.

Short sales of securities or currencies the Fund does not own involve a form of investment leverage, and the amount of a Fund’s potential loss is theoretically unlimited. Alpha Only Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own.

• NATURAL RESOURCES RISK. The Funds (except Alternative Asset Opportunity Fund, Implementation Fund, Special Situations Fund and U.S. Equity Allocation Fund) may invest in Resources Fund. Resources Fund concentrates its investments in the natural resources sector, and so is particularly exposed to adverse developments, including adverse price movements, affecting issuers in the natural resources sector and is subject to greater risks than a fund that invests in a wider range of industries. In addition, the market prices of securities of companies in the natural resources sector may be more volatile than those of securities of companies in other industries. Some of the commodities used as raw materials or produced by these companies are subject to broad price fluctuations as a result of industry wide supply and demand factors. Companies in the natural resources sector often have limited pricing power over supplies or for the products they sell, which can affect their profitability. Companies in the natural resources sector also may be subject to special risks associated with natural or man-made disasters. In addition, the natural resources sector can be especially affected by political and economic developments, government regulations including changes in tax law or interpretations of law, energy conservation, and the success of exploration projects. Specifically, the natural resource sector can be significantly affected by import controls, worldwide competition, changes in consumer sentiment and spending, and can be subject to liability for, among other things, environmental damage, depletion of resources, and mandated expenditures for safety and pollution control.

Resources Fund’s concentration in the securities of natural resource companies exposes it to the price movements of natural resources to a greater extent than if it were more broadly diversified. Because Resources Fund invests primarily in the natural resources sector, it runs the risk of performing poorly during an economic downturn or a decline in demand for natural resources.

The Funds (except Alternative Asset Opportunity Fund, Implementation Fund, Special Situations Fund and U.S. Equity Allocation Fund) are exposed to the risks of investments in the natural resources sector to the extent they invest in Resources Fund.

• OPTIONS RISK. The market price of options written by a fund will be affected by many factors, including changes in the market price or dividend rates of underlying securities (or in the case of indices, the securities comprising such indices); changes in interest rates or exchange rates; changes in the actual or perceived volatility of the relevant stock market and underlying securities; and the time remaining before an option’s expiration. The market value of an option also may be adversely affected if the market for the option is reduced or becomes less liquid. In addition, since an American style option allows the holder to exercise its rights any time prior to expiration of the option, the writer of an American style option has no control over the time when it may be required to fulfill its obligations as a writer of the option. (This risk is not present when writing a European style option because the holder may only exercise the option on its expiration date.) If a Fund writes a call option and does not hold the underlying security or instrument, the amount of the Fund’s potential loss is theoretically unlimited.

National securities exchanges generally have established limits on the maximum number of options an investor or group of investors acting in concert may write. A Fund, the Manager, and other funds advised by the Manager may constitute such a group. These limits could restrict a Fund’s ability to purchase or write options on a particular security.

Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (i.e., options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While a Fund has greater flexibility to tailor an OTC option, OTC options generally expose a Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary market risks.

• COMMODITIES RISK. The Funds (except Alpha Only Fund, Implementation Fund, Special Situations Fund and U.S. Equity Allocation Fund) may invest in Alternative Asset Opportunity Fund, which has exposure to commodity markets. Therefore, the net asset value of its shares is affected by factors particular to those markets and may decline and fluctuate in a rapid and unpredictable manner. Commodity prices can be extremely volatile and are affected by many factors, including changes in overall market movements, real or perceived inflationary trends, commodity index volatility, changes in interest rates or currency exchange rates, population growth and changing demographics, nationalization, expropriation, or other confiscation, international regulatory, political and economic developments (e.g., regime changes and changes in economic activity levels), and developments affecting a particular industry or commodity, such as drought, floods or other weather conditions, livestock disease, trade embargoes, competition from substitute products, transportation bottlenecks or shortages, fluctuations in supply and demand and tariffs. Alternative Asset Opportunity Fund invests in commodity-related derivatives. The value of these derivatives may fluctuate more than the commodity or commodities or commodity index to which they relate. The Funds (except Alpha Only Fund, Implementation Fund, Special Situations Fund and U.S. Equity Allocation Fund) are exposed to the risks of investments in commodities to the extent they invest in Alternative Asset Opportunity Fund.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events will disrupt securities markets, adversely affect global economies and markets and thereby decrease the value of the Funds’ investments. The wars in Iraq and Afghanistan have had a substantial effect on the economies and securities markets of the U.S. and other countries. Terrorism in the U.S. and around the world has had a similar global impact and has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation (e.g., the potential manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trade practices, which could disrupt the orderly functioning of these markets or adversely affect the value of investments traded in these markets, including investments of the Funds. While the U.S. government has honored its credit obligations continuously for the last 200 years, it remains possible that the U.S. could default on its obligations. While it is impossible to predict the consequences of such an unprecedented event, it is likely that a default by the U.S. would be highly disruptive to the U.S. and global securities markets and could significantly impair the value of the Funds’ investments. Similarly, political events within the U.S. at times have resulted, and may in the future result, in a shutdown of government services, which could

negatively affect the U.S. economy, decrease the value of many Fund investments, and increase uncertainty in or impair the operation of the U.S. or other securities markets. The uncertainty surrounding the sovereign debt of a significant number of European Union countries as well as the continued existence of the European Union itself, have disrupted and may continue to disrupt markets in the U.S. and around the world. If one or more countries leave the European Union or the European Union dissolves, in the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls), also could negatively impact the Funds. War, terrorism, economic uncertainty and related geopolitical events have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment and other factors affecting the value of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investments and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs for a period of time and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis. To the extent that a Fund has focused its investments in the stock index of particular region, adverse geopolitical and other events could have a disproportionate impact on the Fund.

• LARGE SHAREHOLDER RISK. To the extent that a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance if it is forced to sell portfolio securities to raise the cash needed to satisfy the redemption request. In addition, GMO Funds and other accounts over which GMO has investment discretion that invest in the Funds are not subject to restrictions on the frequency of trading of Fund shares. Asset Allocation Funds and separate accounts managed by the Manager for its clients hold substantial percentages of the shares of many Funds, and asset allocation decisions by the Manager may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) at times when it would not otherwise do so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, accelerate the realization of taxable gains to shareholders. They also potentially limit the RIC Funds’ use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any). In addition, each Fund that invests in other GMO Funds subject to large shareholder risk is indirectly subject to this risk.

• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on the Manager’s ability to achieve its investment objective. Each Fund runs the risk that the Manager’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. The Manager also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.

For some Funds the Manager’s portfolio managers use quantitative analyses and models. Any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement a Fund’s the strategies. By necessity, these analyses and models make simplifying assumptions that limit their effectiveness. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate or may not include the most recent information about a company or a security. The Funds also run the risk that GMO’s assessment of an investment may be wrong. There can be no assurance that key personnel of the Manager will continue to be employed by the Manager. The loss of their services could have an adverse impact on the Manager’s ability to achieve the Funds’ investment objectives.

The Funds also are subject to the risk of loss as a result of other services provided by the Manager and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error and system failures by a service provider. For example, trading delays or errors (both human and systematic) could prevent a Fund from benefiting from potential investment gains or avoiding losses on the security. The Manager is not contractually liable to the Funds for losses associated with operational risk absent the Manager’s willful misfeasance, bad faith, gross negligence or reckless disregard of its contractual obligations to provide services to the Funds. Other Fund service providers also have limitations on their liability to the Funds for losses resulting from their errors.

• FUND OF FUNDS RISK AND RELATED CONSIDERATIONS. Funds that invest in shares of other investment companies, including other GMO Funds, money market funds and ETFs (for purposes of this risk disclosure, “underlying Funds”), are exposed to the risk that the underlying Funds will not perform as expected.

Because a Fund bears the fees and expenses of the underlying Funds in which it invests (absent reimbursement of those expenses), the Fund will incur additional expenses when investing in underlying Funds. In addition, total Fund expenses will increase if a Fund makes a new or further investment in underlying Funds with higher fees or expenses than the average fees and expenses of the underlying Funds then in the Fund’s portfolio.

The Funds also are indirectly exposed to all of the risks of an investment in the underlying Funds. Because some of their underlying Funds invest a substantial portion of their assets in other GMO Funds (pursuant to an exemptive order obtained from the SEC), the Asset Allocation Funds have more tiers of investments than funds in many other groups of investment companies. Many of the Funds that invest in shares of other GMO Funds are subject indirectly to Large Shareholder Risk because those other GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk” above.

Investments in ETFs involve the risk that the ETF’s performance may not track the performance of the index the ETF is designed to track. Unlike the index, an ETF incurs administrative expenses and transaction costs in trading securities. In addition, the timing and magnitude of cash inflows and outflows from and to investors buying and redeeming shares in the ETF could create cash balances that cause the ETF’s performance to deviate from the index (which remains “fully invested” at all times). Performance of an ETF and the index it is designed to track also may diverge because the composition of the index and the securities held by the ETF may occasionally differ. In addition, ETFs often use derivatives to track the performance of the relevant index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed above.

• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of a relatively small number of issuers and/or non-U.S. currencies. As a result, they may be subject to greater credit, market and other risks, and poor performance by a single issuer may have a greater impact on their performance, than if they were “diversified.”

In addition, each of the Funds may invest a portion of its assets in shares of one or more other GMO Funds that are not diversified investment companies under the 1940 Act. Each of the Funds may invest without limitation in other GMO Funds that are not diversified.

The following Funds are not diversified investment companies under the 1940 Act:

• Alpha Only Fund

• Alternative Asset Opportunity Fund

• Implementation Fund

• Special Situations Fund

• U.S. Equity Allocation Fund

Temporary Defensive Positions. The Funds (other than Alternative Asset Opportunity Fund and Benchmark-Free Allocation Fund) normally do not take temporary defensive positions. Alternative Asset Opportunity Fund and Benchmark-Free Allocation Fund may, from time to time, take temporary defensive positions if deemed prudent by the Manager. To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.

Derivative financial instruments

At May 31, 2013, only Alpha Only Fund, Alternative Asset Opportunity Fund, Implementation Fund and Special Situations Fund held derivative financial instruments directly. For a listing of derivative financial instruments held by the underlying funds, if any, please refer to the underlying funds’ Schedule of Investments. The derivative information provided below only pertains to direct investments made by Alpha Only Fund, Alternative Asset Opportunity Fund, Implementation Fund and Special Situations Fund.

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of the Funds’ portfolios. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap agreements, reverse repurchase agreements, and other exchange-traded and OTC contracts.

Use of Derivatives by Alpha Only Fund and Implementation Fund

The manager pursues investment strategies for the Fund that are intended to complement the strategies being pursued by the manager in other Asset Allocation Funds or accounts.

The Funds may use derivatives as a substitute for direct investment in securities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap agreements, and options) to gain exposure to a given currency.

The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero) or the investment exposures of another fund or account that invests in the Fund. A Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio or the portfolio of another fund or account that invests in the Fund. For these purposes, the Fund may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

The Funds may use derivatives in an attempt to adjust elements of their investment exposures (or the investment exposures of another fund or account that invests in the Fund) to various securities, sectors, markets, indices, and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund or another fund or account that invests in the Fund holds a large proportion of stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their investment exposures, the Funds also may use currency derivatives in an attempt to adjust their currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by their portfolio or the portfolio of another fund or account that invests in the Fund.

The Funds may use derivatives to effect transactions intended as substitutes for securities lending.

The Funds are not limited in their use of derivatives or in the absolute face value of their derivative positions. As a result of its derivative positions, Alpha Only Fund will typically have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and Implementation Fund may have gross investment exposures in excess of its net assets (i.e., the Fund may be leveraged) and therefore is subject to

heightened risk of loss. The Funds’ performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though they do not own those assets or indices.

A Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

Use of Derivatives by Alternative Asset Opportunity Fund

The Fund may use derivatives as substitutes for direct investment in global equities, bonds, currencies, commodities, or other assets. In particular, the Fund may use exchange traded futures and forward foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets. The Fund also may use currency derivatives (including forward currency contracts, futures contracts, swap agreements and options) to gain exposure to a given currency.

The Fund may use derivatives in an attempt to reduce its investment exposures (which may result in a reduction below zero). For example, the Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer. The Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives, such as futures, related options, and swap agreements, in an attempt to adjust elements of its investment exposures to individual commodities, various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if the Fund holds a large proportion of a certain type of security or commodity and the Manager believes that another security or commodity will outperform such security or commodity, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). Long and short swap agreements and contracts for differences also may be used for these purposes. Derivatives used to effect synthetic sales and purchases will generally be unwound as actual portfolio securities are sold and purchased. In addition, the Manager may alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed versus variable rates and shorter duration versus longer duration exposure. In adjusting its investment exposure, the Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

The Fund may also use derivatives to effect transactions intended as substitutes for securities lending.

The Fund is not limited in its use of derivatives or in the absolute face value of its derivative positions. As a result of its derivative positions, the Fund will typically have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and therefore is subject to heightened risk of loss. The Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

Use of Derivatives by Special Situations Fund

The Manager pursues investment strategies for the Fund that are intended to complement the strategies being pursued by the Manager in other Asset Allocation Funds or accounts.

The Fund may use derivatives as substitutes for direct investment in securities or other assets. In particular, the Fund may use swaps or other derivatives on an index, a single security or a basket of securities to gain investment exposures (e.g., by selling protection under a credit default swap). The Fund also may use currency derivatives (including forward currency contracts, futures contracts, swap agreements and options) to gain exposure to a given currency.

The Fund may use derivatives in an attempt to reduce its investment exposures (which may result in a reduction below zero) or the investment exposures of another fund or account that invests in the Fund. For example, the Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer. The Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio or the portfolio of another fund or account that invests in the Fund. For these purposes, the Fund may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures or the investment exposures of another fund or account that invests in the Fund to various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if the Fund or another fund or account that invests in the Fund holds a large proportion of stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of those stocks) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In addition, the Manager may alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain exposure to the credit of an issuer through the debt instrument but adjust the interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed versus variable rates and shorter duration versus longer duration exposure. In adjusting investment exposures, the Fund also may use currency derivatives, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio or the portfolio of another fund or account that invests in the Fund.

The Fund may also use derivatives to effect transactions intended as substitutes for securities lending.

The Fund is not limited in its use of derivatives or in the absolute face value of its derivative positions. As a result of its derivative positions, the Fund will typically have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and therefore is subject to heightened risk of loss. The Fund’s performance can depend substantially, if not primarily, on derivative reference assets that the Fund does not own.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investments and other risks” above for further information.

Certain derivatives transactions used by the Funds, including certain interest rate swaps and certain credit default index swaps, will be required to be cleared. The Funds will hold cleared derivatives transactions through clearing members, who are futures commission merchants who are members of derivatives clearing houses. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing members generally can require termination of existing cleared derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.

For Funds that held derivatives during the period ended May 31, 2013, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use	Alpha Only Fund		Consolidated Alternative Asset Opportunity Fund*		Consolidated Benchmark- Free Allocation Fund**		Special Situations Fund
Forward currency contracts
Adjust currency exchange rate risk				X
Adjust exposure to foreign currencies		X		X		X		X
To hedge some or all of the currency exposure of the underlying Funds and assets in which the Fund invests		X
To manage against anticipated currency exchange rate changes		X				X		X
Futures contracts
Adjust exposure to certain securities markets				X		X
Maintain the diversity and liquidity of the portfolio				X		X
To hedge some or all of the broad market exposure of the underlying Funds and assets in which the Fund invests		X
Options (Written)
Used written put option contracts as a substitute for direct equity investment						X
Swap agreements
Adjust exposure to certain securities markets						X		X
Adjust interest rate exposure								X
Adjust exposure to certain companies and industries						X		X
Manage the duration of the portfolio								X
To hedge some or all of the broad market exposure of the assets in which the Fund invests						X		X
To hedge some or all of the broad market exposure of the underlying Funds and assets in which the Fund invests		X
Rights and/or warrants
Received as a result of corporate actions						X

* Certain derivatives are held by Alternative Asset Opportunity Fund’s wholly owned subsidiary.

** Derivatives are held by Benchmark-Free Allocation Fund’s wholly owned subsidiary.

Forward currency contracts

The Funds may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked to market daily using rates supplied by a quotation service and changes in value are recorded

by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Futures contracts

The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Options

The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

The Funds may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

When an option contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed.

For the period ended May 31, 2013, investment activity in options contracts written by the Funds were as follows:

	Puts								Calls
	Principal Amount of Contracts		Number of Contracts			Premiums			Principal Amount of Contracts		Number of Contracts		Premiums
Consolidated Benchmark-Free Allocation Fund
Outstanding, beginning of period		—		4,383		$	3,763,138			—		—	$	—
Options written		—		17,544			17,425,662			—		—		—
Options bought back		—		(5,131	)		(4,289,718	)		—		—		—
Options expired		—		(10,510	)		(10,621,634	)		—		—		—
Options exercised		—		(29	)		(140,502	)		—		—		—
Outstanding, end of period		—		6,257		$	6,136,946			—		—	$	—

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Funds value OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Funds may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap agreements are net settled. When entering into a swap agreement and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Initial upfront payments received or made upon entering into a swap agreement are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or loss.

Interest rate swap agreements involve an exchange by the parties of their respective commitments to pay or right to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal).

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

Forward starting dividend swap agreements involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in a dividend index point. The Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the relevant dividend index point based on a notional amount. For example, if the Fund took a long position on a dividend index swap, the Fund would receive payments if the relevant index point increased in value and would be obligated to pay if that index point decreased in value.

Future swap agreements involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in an index. A Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the index based on a notional amount. For example, if a Fund took a long position on a future swap, the Fund would receive payments if the relevant index increased in value and would be obligated to pay if that index decreased in value.

The values assigned to swap agreements may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap agreement. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Rights and warrants

The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.

The following is a summary of the fair valuations of derivative instruments categorized by risk exposure:

Fair Values of Derivative Instruments as of May 31, 2013:

	Credit Contracts		Commodity Contracts		Equity Contracts		Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Alpha Only Fund
Asset:
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—	$	—	$	16,260,664	$	—	$	—	$	16,260,664
Unrealized Appreciation on Futures Contracts*		—		—		4,995,681		—		—		—		4,995,681
Unrealized Appreciation on Swap Agreements		—		—		33,875,377		—		—		—		33,875,377
Total	$	—	$	—	$	38,871,058	$	16,260,664	$	—	$	—	$	55,131,722
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	—	$	(366,684)	$	—	$	—	$	(366,684)
Unrealized Depreciation on Futures Contracts*		—		—		(119,030,077)		—		—		—		(119,030,077)
Total	$	—	$	—	$	(119,030,077)	$	(366,684)	$	—	$	—	$	(119,396,761)
Consolidated Alternative Asset Opportunity Fund
Asset:
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—	$	—	$	5,040,774	$	—	$	—	$	5,040,774
Unrealized Appreciation on Futures Contracts*		—		14,638,948		10,718,268		—		5,212,738		—		30,569,954
Total	$	—	$	14,638,948	$	10,718,268	$	5,040,774	$	5,212,738	$	—	$	35,610,728
Liability:
Unrealized Depreciation on Futures Contracts*	$	—	$	(27,663)	$	(1,553,666)	$	—		—	$	—	$	(1,581,329)
Total	$	—	$	(27,663)	$	(1,553,666)	$	—	$	—	$	—	$	(1,581,329)
Consolidated Benchmark-Free Allocation Fund
Asset:
Investments (rights and/or warrants)	$	—	$	—	$	9,309	$	—	$	—	$	—	$	9,309
Unrealized Appreciation on Forward Currency Contracts		—		—		—		42,314,620		—		—		42,314,620
Unrealized Appreciation on Futures Contracts*		—		—		1,925,560		—		—		—		1,925,560
Total	$	—	$	—	$	1,934,869	$	42,314,620	$	—	$	—	$	44,249,489
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	—	$	(412,986)	$	—	$	—	$	(412,986)
Unrealized Depreciation on Futures Contracts*		—		—		(1,905,581)		—		—		—		(1,905,581)
Written Options		—		—		(12,652,230)		—		—		—		(12,652,230)
Total	$	—	$	—	$	(14,557,811)	$	(412,986)	$	—	$	—	$	(14,970,797)

	Credit Contracts		Commodity Contracts		Equity Contracts		Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Special Situations Fund
Asset:
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—	$	—	$	14,560,697	$	—	$	—	$	14,560,697
Unrealized Appreciation on Swap Agreements		—		—		8,815,626		—		—		—		8,815,626
Total	$	—	$	—	$	8,815,626	$	14,560,697	$	—	$	—	$	23,376,323
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	—	$	(2,183,674)	$	—	$	—	$	(2,183,674)
Unrealized Depreciation on Swap Agreements		—		—		(584,995)		—		(871,890)		—		(1,456,885)
Total	$	—	$	—	$	(584,995)	$	(2,183,674)	$	(871,890)	$	—	$	(3,640,559)

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.

* The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments.

The average volume of derivative activity, based on absolute values (forward currency contracts, futures contracts, rights and/or warrants), notional amounts (swap agreements) or principal amounts (options) outstanding at each month-end was as follows for the period ended May 31, 2013.

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Swap Agreements ($)		Options ($)		Rights and/ or Warrants ($)
Alpha Only Fund		910,144,384		2,564,706,668		893,886,335		—		—
Consolidated Alternative Asset Opportunity Fund		499,868,436		1,014,555,974		—		—		—
Consolidated Benchmark-Free Allocation Fund		2,158,667,835		106,482,712		11,163,152		118,078		264,172
Special Situations Fund		903,260,505		—		194,597,249		—		—

Subsequent events

Effective June 30, 2012, the premium on cash purchases and the fee on cash redemptions changed to the following fees for the funds listed below:

GMO Benchmark-Free Allocation Fund (purchase premium of 0.11%; redemption fee of 0.11%)

GMO Benchmark-Free Fund (purchase premium of 0.14%; redemption fee of 0.14%)

GMO Global Asset Allocation Fund (purchase premium of 0.11%; redemption fee of 0.11%)

GMO Strategic Opportunities Allocation Fund (purchase premium of 0.06%; redemption fee of 0.06%)

GMO International Equity Allocation Fund (purchase premium of 0.20%; redemption fee of 0.20%)

GMO Global Equity Allocation Fund (purchase premium of 0.11%; redemption fee of 0.11%)

Subsequent to May 31, 2013, GMO Alpha Only Fund and GMO Special Situations Fund received redemption requests in the amounts of $1,580,713,517 and $660,079,394, respectively.

For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.

Implementation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 83.1%
		Australia — 1.2%
	1,491,214	Arrium Ltd		1,126,156
	131,314	Bank of Queensland Ltd		1,095,621
	61,053	Bendigo and Adelaide Bank Ltd		572,908
	241,795	Billabong International Ltd *		105,291
	462,846	BlueScope Steel Ltd *		2,302,358
	714	Caltex Australia Ltd		15,229
	26,690	Commonwealth Bank of Australia		1,695,663
	98,732	CSL Ltd		5,617,907
	1,128,095	Goodman Fielder Ltd *		766,198
	72,009	Goodman Group (REIT)		351,442
	68,747	GPT Group (REIT)		254,601
	164,792	Insurance Australia Group Ltd		889,326
	281,845	Investa Office Fund (REIT)		858,024
	22,995	JB Hi–Fi Ltd		329,154
	41,110	Macquarie Group Ltd		1,676,323
	1,076,554	Mirvac Group (REIT)		1,715,981
	37,483	Myer Holdings Ltd		87,232
	455,851	Pacific Brands Ltd		331,751
	103,394	Qantas Airways Ltd *		156,401
	370,789	QBE Insurance Group Ltd		5,618,556
	775,401	Stockland (REIT)		2,689,060
	406,697	TABCORP Holdings Ltd		1,274,945
	311,975	Tatts Group Ltd		954,174
	235,194	Telstra Corp Ltd		1,063,458
	332,965	Westpac Banking Corp		8,973,707
	42,739	Woolworths Ltd		1,343,809
		Total Australia		41,865,275
		Austria — 0.2%
	4,602	Andritz AG		250,585
	858	Erste Group Bank AG		27,557
	68,881	OMV AG		3,177,398
	14,072	Raiffeisen Bank International AG		477,179
	41,254	Voestalpine AG		1,367,170
		Total Austria		5,299,889
		Belgium — 0.4%
	70,800	Ageas		2,595,667
	86,319	Anheuser-Busch InBev NV		7,948,708
	60,973	Belgacom SA		1,366,154
	6,626	Delhaize Group		422,524
	3,269	KBC Groep NV		129,584
	9,161	Mobistar SA		202,109
		Total Belgium		12,664,746
		Brazil — 1.4%
	5,000	Banco Bradesco SA		83,318
	1,063,600	Banco do Brasil SA		12,494,246
	118,400	Banco Santander Brasil SA		835,843

Shares		Description	Value ($)
		Brazil — continued
	266,200	Banco Santander Brasil SA ADR		1,898,006
	42,300	BR Malls Participacoes SA		431,729
	61,500	BR Properties SA		592,948
	28,700	Cia de Saneamento Basico do Estado de Sao Paulo		358,448
	443,680	Cielo SA		11,211,113
	44,370	Duratex SA		301,007
	20,700	EDP-Energias Do Brasil SA		119,746
	36,400	Electrobras (Centro)		93,983
	7,200	Fibria Celulose SA *		79,033
	10,800	Fibria Celulose SA Sponsored ADR *		118,584
	45,000	Gol Linhas Aereas Inteligentes SA ADR *		200,700
	83,500	Grupo BTG Pactual		1,281,467
	18,800	Light SA		152,029
	3,400	Multiplan Empreendimentos Imobiliarios SA		88,103
	73,600	Multiplus SA		1,186,232
	65,500	Petroleo Brasileiro SA (Petrobras) ADR		1,163,935
	17,600	Porto Seguro SA		218,418
	94,700	Qualicorp SA *		837,877
	61,457	Sul America SA		399,709
	59,700	Totvs SA		1,030,493
	35,400	Vale SA		505,596
	907,100	Vale SA Sponsored ADR		13,062,240
		Total Brazil		48,744,803
		Canada — 0.3%
	2,800	Alimentation Couche Tard Inc		156,643
	32,900	Bombardier Inc-Class B		149,149
	4,300	Canadian Oil Sands Ltd		83,242
	2,000	Canadian Pacific Railway Ltd		265,908
	13,400	Canadian Tire Corp Ltd-Class A		1,076,653
	8,700	Encana Corp		165,902
	87,400	First Quantum Minerals Ltd		1,564,643
	9,400	Home Capital Group Inc		481,084
	38,900	Husky Energy Inc		1,098,993
	2,500	Magna International Inc		166,723
	3,600	Methanex Corp		159,279
	5,300	Metro Inc		354,833
	316,100	Research In Motion Ltd *		4,405,734
	17,400	RONA Inc		175,553
	9,600	Royal Bank of Canada		569,750
	22,100	Sherritt International Corp		98,909
	18,100	Sun Life Financial Inc		530,037
		Total Canada		11,503,035
		Czech Republic — 0.3%
	348,285	CEZ AS		9,649,608
		Denmark — 0.1%
	2,221	Coloplast A/S		126,669
	4,080	GN Store Nord A/S		78,099

Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Denmark — continued
	26,539	Novo-Nordisk A/S-Class B		4,301,378
		Total Denmark		4,506,146
		Egypt — 0.2%
	1,292,520	Al Ezz Steel Rebars SAE *		1,803,416
	409,541	Citadel Capital SAE *		187,279
	176,989	Commercial International Bank		927,557
	293,527	EFG-Hermes Holding SAE *		369,958
	88,648	Egyptian Kuwaiti Holding Co SAE		80,456
	62,617	Juhayna Food Industries		97,829
	175,821	Orascom Telecom Holding SAE *		125,399
	241,328	Orascom Telecom Holding SAE GDR (Registered Shares) *		781,094
	22,648,656	Orascom Telecom Media And Technology Holding SAE		1,585,031
	2,142,751	Palm Hills Developments SAE *		682,860
	96,773	Sidi Kerir Petrochemicals Co		181,559
	36,119	Six of October Development & Investment Co *		99,779
	495,625	Talaat Moustafa Group *		305,270
	332,994	Telecom Egypt Co		646,635
		Total Egypt		7,874,122
		Finland — 0.2%
	1,318	Kone Oyj-Class B		115,782
	14,217	Neste Oil Oyj		206,040
	1,517,505	Nokia Oyj *		5,076,510
	22,109	Sampo Oyj-Class A		896,076
	6,348	Tieto Oyj		130,129
		Total Finland		6,424,537
		France — 4.7%
	309,764	Air France–KLM *		2,980,823
	259,206	AXA		5,233,291
	182,036	BNP Paribas		10,652,667
	8,387	Bouygues SA		222,782
	72,335	Carrefour SA		2,117,786
	29,953	CNP Assurances		452,274
	18,674	Compagnie Generale des Etablissements Michelin-Class B		1,629,684
	34,426	European Aeronautic Defense and Space Co NV		1,982,268
	441,227	France Telecom SA		4,474,752
	287,744	GDF Suez		5,868,305
	1,160	L’Oreal SA		195,543
	15,156	Lafarge SA		1,080,784
	32,895	Lagardere SCA		846,127
	62,052	PagesJaunes Groupe *		147,893
	427,236	Peugeot SA *		3,761,378
	3,178	Rallye SA		124,819
	447	Remy Cointreau SA		51,576
	105,586	Renault SA		8,149,156

Shares		Description	Value ($)
		France — continued
	384,475	Sanofi		40,995,861
	230,319	Societe Generale		9,185,611
	83,738	Technicolor *		355,394
	1,039,628	Total SA		51,964,072
	265,916	Vivendi SA		5,204,603
		Total France		157,677,449
		Germany — 2.0%
	30,346	Allianz SE (Registered)		4,687,439
	32,462	Aurubis AG		1,948,544
	72,026	Bayer AG (Registered)		7,697,227
	1,875	Beiersdorf AG		169,101
	3,433	Continental AG		449,179
	127,327	Deutsche Lufthansa AG (Registered) *		2,731,778
	7,019	Deutsche Bank AG (Registered)		326,116
	111,238	Deutsche Post AG (Registered)		2,803,182
	20,632	Duerr AG		1,337,716
	997,257	E.ON AG		16,804,896
	43,095	Freenet AG		920,889
	9,249	Hannover Rueckversicherung AG (Registered)		696,296
	54,425	Kloeckner & Co SE *		687,279
	9,989	Leoni AG		498,210
	6,546	Merck KGaA		1,036,061
	31,264	Metro AG		1,059,998
	26,417	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		4,927,426
	210,915	RWE AG		7,196,530
	25,486	Salzgitter AG		963,364
	126,289	SAP AG *		9,451,202
	31,945	Suedzucker AG		1,080,863
		Total Germany		67,473,296
		Greece — 0.1%
	26,612	Marfin Investment Group Holdings SA *		11,065
	208,022	OPAP SA		1,720,172
	106,424	Public Power Corp SA *		1,061,738
		Total Greece		2,792,975
		Hong Kong — 0.3%
	26,000	AAC Technologies Holdings Inc		148,240
	23,000	Cheung Kong Holdings Ltd		323,913
	103,000	CLP Holdings Ltd		866,632
	1,041,100	Esprit Holdings Ltd		1,584,390
	92,000	Galaxy Entertainment Group Ltd *		477,580
	612,000	Hong Kong & China Gas		1,729,305
	192,500	Link (REIT)		990,341
	171	Melco International Development Ltd		373
	724,000	Pacific Basin Shipping Ltd		414,877
	89,500	Power Assets Holdings Ltd		783,363
	34,400	Sands China Ltd		181,716

Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — continued
	89,000	Sun Hung Kai Properties Ltd		1,181,161
	32,000	Swire Pacific Ltd		405,172
	164,000	Wharf Holdings Ltd (The)		1,456,405
	210,500	Yue Yuen Industrial Holdings		607,941
		Total Hong Kong		11,151,409
		Hungary — 0.0%
	32,713	OTP Bank Plc		694,917
		India — 1.0%
	71,634	Aban Offshore Ltd		374,068
	182,686	Allahabad Bank		392,653
	1,762	Asian Paints Ltd		151,128
	203,091	Aurobindo Pharma Ltd		612,180
	33,839	Bank of Baroda		398,445
	408,388	Cairn India Ltd		2,048,953
	31,403	Canara Bank Ltd		229,537
	27,816	CESC Ltd		162,960
	56,227	Cipla Ltd		370,178
	22,784	Financial Technologies India Ltd		333,336
	56,385	GAIL India Ltd		303,862
	1,738	Grasim Industries Ltd (a)		87,453
	2,229	Grasim Industries Ltd Sponsored GDR		112,280
	122,632	HCL Technologies Ltd		1,617,162
	528,704	Hexaware Technologies Ltd		748,355
	315,697	Hindalco Industries Ltd		569,245
	312,200	Hindalco Industries Ltd GDR, 144A (a)		550,899
	924,691	Housing Development & Infrastructure Ltd *		683,503
	8,783	ICICI Bank Ltd Sponsored ADR		177,958
	27,864	Infosys Technologies Ltd		1,181,510
	149,900	Infosys Technologies Ltd Sponsored ADR		6,258,325
	79,791	Jai Balaji Industries Ltd *		35,420
	62,975	Jindal Steel & Power Ltd		318,365
	22,379	JSW Steel Ltd		269,958
	700,833	NHPC Ltd		239,413
	63,385	NMDC Ltd		131,321
	158,449	NTPC Ltd		428,884
	171,638	Oil & Natural Gas Corp Ltd		987,884
	10,213	Oil India Ltd		103,865
	32,588	Oriental Bank of Commerce		140,262
	110,174	Power Grid Corp of India Ltd		220,651
	38,381	Punjab National Bank Ltd (a)		515,519
	174,491	Reliance Energy Ltd		1,117,557
	16,741	Reliance Industries Ltd		237,761
	5,266	Reliance Industries Ltd GDR, 144A		149,271
	56,671	Rural Electrification Corp Ltd		221,415
	1,074,161	Satyam Computer Services Ltd *		2,093,450
	310,958	Sesa Goa Ltd		886,029
	307,175	Steel Authority of India Ltd		304,811

Shares		Description	Value ($)
		India — continued
	363,337	Sterlite Industries India Ltd		595,460
	121,300	Sterlite Industries India Ltd ADR		803,006
	19,849	Sun Pharmaceutical Industries Ltd		363,067
	117,684	Tata Consultancy Services Ltd		3,121,510
	175,203	Tata Steel Ltd		903,537
	77,419	Tech Mahindra Ltd		1,320,305
	106,326	UCO Bank		142,198
	29,150	Union Bank of India		112,972
	51,164	United Phosphorus Ltd		140,912
	175,362	Wipro Ltd		1,027,020
	75,457	Wipro Ltd ADR		575,737
		Total India		34,871,550
		Indonesia — 1.4%
	1,129,000	ACE Hardware Indonesia Tbk PT		109,373
	4,017,000	Alam Sutera Realty Tbk PT		432,568
	16,903,500	Astra International Tbk PT		12,152,862
	1,088,500	Bank Central Asia Tbk PT		1,144,577
	5,043,170	Bank Mandiri Persero Tbk PT		4,980,283
	3,571,500	Bank Negara Indonesia Persero Tbk PT		1,770,471
	1,370,000	Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT		170,388
	6,081,270	Bank Rakyat Indonesia Persero Tbk PT		5,498,883
	2,040,500	Bank Tabungan Negara Persero Tbk PT		295,254
	25,329,500	Bhakti Investama Tbk PT		1,392,566
	1,065,000	Bumi Serpong Damai PT		238,623
	1,823,500	Gajah Tunggal Tbk PT		598,369
	9,571,000	Global Mediacom Tbk PT		2,536,202
	843,000	Harum Energy Tbk PT		336,208
	2,250,500	Indomobil Sukses Internasional Tbk PT *		1,201,210
	715,000	Indosat Tbk PT		378,836
	1,461,000	Kalbe Farma Tbk PT		215,660
	1,203,000	Lippo Karawaci Tbk PT		225,981
	5,977,000	Media Nusantara Citra Tbk PT		2,032,553
	1,158,500	Mitra Adiperkasa Tbk PT		1,050,628
	2,503,500	MNC Sky Vision Tbk PT *		688,848
	1,574,500	Modernland Realty Tbk PT *		181,468
	7,055,000	Panin Financial Tbk PT *		197,021
	3,026,500	Ramayana Lestari Sentosa Tbk PT		461,567
	731,150	Semen Gresik Persero Tbk PT		1,340,367
	467,996	Surya Citra Media Tbk PT		138,471
	5,909,000	Telekomunikasi Indonesia Persero Tbk PT		6,634,829
	20,600	Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR		931,120
	299,000	Tower Bersama Infrastructure Tbk PT *		182,898
	2,370,000	XL Axiata Tbk PT		1,208,860
		Total Indonesia		48,726,944
		Ireland — 0.1%
	102,250	C&C Group Plc		609,415
	21,147	Kerry Group Plc-Class A		1,202,124

Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Ireland — continued
	10,943	Paddy Power Plc		922,678
	51,547	Smurfit Kappa Group Plc		864,772
		Total Ireland		3,598,989
		Israel — 0.1%
	29,582	Africa Israel Investments Ltd *		69,551
	127,011	Bank Hapoalim BM *		587,702
	204,654	Bank Leumi Le-Israel *		714,417
	288,289	Israel Discount Bank Ltd-Class A *		481,569
	65,034	Partner Communications Co Ltd		392,456
	1,642	Teva Pharmaceutical Industries Ltd		62,898
		Total Israel		2,308,593
		Italy — 2.0%
	1,947,383	A2A SPA		1,635,510
	95,109	Assicurazioni Generali SPA		1,769,614
	65,338	Azimut Holding SPA		1,237,777
	4,253,665	Enel SPA		16,010,422
	737,106	ENI SPA		16,762,896
	28,287	Exor SPA		896,460
	610,220	Fiat SPA *		4,782,487
	547,279	Finmeccanica SPA *		3,022,375
	2,145,763	Intesa Sanpaolo SPA		4,003,025
	10,326	Italcementi SPA-Di RISP		35,428
	1,141	Lottomatica Group SPA		30,685
	966,930	Mediaset SPA *		3,001,824
	220,821	Mediolanum SPA		1,466,177
	810,585	Milano Assicurazioni SPA *		519,948
	46,739	Recordati SPA		494,708
	6,575,470	Telecom Italia SPA		5,090,069
	3,713,947	Telecom Italia SPA-Di RISP		2,296,150
	842,949	UniCredit SPA		4,730,783
		Total Italy		67,786,338
		Japan — 7.6%
	1,200	ABC-Mart Inc		43,404
	1,104	Accordia Golf Co Ltd		1,167,514
	84	Advance Residence Investment Corp (REIT)		173,765
	204,100	Aeon Co Ltd		2,382,171
	15,700	Alfresa Holdings Corp		815,828
	88,900	Anritsu Corp		1,200,637
	90,000	Astellas Pharma Inc		4,595,954
	400	Avex Group Holding Inc		12,250
	42,600	Bridgestone Corp		1,382,790
	101,000	Calsonic Kansei Corp		436,533
	388,000	Cosmo Oil Co Ltd *		697,236
	13,100	Credit Saison Co Ltd		305,448
	25,100	Daiei Inc *		77,745
	634,000	Daikyo Inc		1,890,441
	64,100	Daito Trust Construction Co Ltd		5,965,811
	45,000	Daiwabo Holdings Co Ltd		75,220

Shares		Description	Value ($)
		Japan — continued
	45,000	Daiwa House Industry Co Ltd		850,408
	196,000	Daiwa Securities Group Inc		1,603,233
	96,500	Dena Co Ltd		2,034,803
	422,000	DIC Corp		969,613
	1,100	Eisai Co Ltd		42,217
	27,600	Electric Power Development Co Ltd		868,176
	200	Fast Retailing Co Ltd		67,271
	71,000	Fuji Electric Co Ltd		230,999
	159,000	Fuji Heavy Industries Ltd		3,581,256
	34,000	Fuji Oil Co Ltd		518,917
	101,000	Gunze Ltd		243,315
	117,000	Hanwa Co Ltd		428,931
	1,760,000	Haseko Corp *		2,286,450
	18,500	Hikari Tsushin Inc		1,020,531
	8,000	Hino Motors Ltd		113,508
	9,700	Idemitsu Kosan Co Ltd		784,948
	69	INPEX Corp		293,733
	47,700	IT Holdings Corp		665,067
	607,200	Itochu Corp		7,524,780
	3,400	J Trust Co Ltd		67,944
	440	Japan Retail Fund Investment Corp (REIT)		835,314
	697,400	Japan Tobacco Inc		23,734,610
	187,200	JFE Holdings Inc		3,847,140
	30,000	Juki Corp *		51,066
	1,190,100	JX Holdings Inc		5,781,803
	74,800	K’s Holdings Corp		2,069,365
	11,700	Kakaku.com Inc		282,196
	92,900	Kao Corp		2,911,263
	1,543,000	Kawasaki Kisen Kaisha Ltd		3,046,700
	218,200	KDDI Corp		9,843,861
	29,000	Kinugawa Rubber Industrial Co Ltd		160,478
	932,000	Kobe Steel Ltd *		1,229,618
	27,986	Kohnan Shoji Co Ltd		326,850
	20,000	Kubota Corp		289,681
	20,000	Kurimoto Ltd		50,845
	5,200	Lawson Inc		378,279
	329,700	Leopalace21 Corp *		1,490,547
	22,000	Look Inc		73,008
	592,000	Marubeni Corp		4,087,633
	1,067,000	Mazda Motor Corp *		4,104,597
	87,204	Medipal Holdings Corp		1,162,780
	2,600	MEIJI Holdings Co Ltd		114,111
	1,300	Misawa Homes Co Ltd		27,643
	83,000	Mitsubishi Estate Co Ltd		2,044,869
	254,000	Mitsubishi Heavy Industries Ltd		1,554,773
	581,500	Mitsubishi Chemical Holdings Corp		2,751,909
	409,100	Mitsubishi Corp		7,070,190
	92,000	Mitsubishi Gas Chemical Co Inc		652,352
	204,600	Mitsubishi UFJ Lease & Finance Co Ltd		927,513
	502,000	Mitsui Chemicals Inc		1,121,033
	711,000	Mitsui Engineer & Shipbuilding Co Ltd		1,154,541

Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	61,000	Mitsui Fudosan Co Ltd		1,682,887
	345,700	Mitsui & Co Ltd		4,329,504
	490,012	Mitsui Mining & Smelting Co Ltd		1,115,573
	755,134	Mitsui OSK Lines Ltd *		2,681,957
	2,030,800	Mizuho Financial Group Inc		3,866,466
	1,900	Murata Manufacturing Co Ltd		143,594
	19,500	Namco Bandai Holdings Inc		316,080
	432,000	NEC Corp		1,004,549
	62,400	Net One Systems Co Ltd		513,332
	102,000	Nichirei Corp		504,529
	18,700	Nintendo Co Ltd		1,846,740
	36,000	Nippon Corp		465,793
	472,100	Nippon Light Metal Co Ltd		530,155
	90,032	Nippon Paper Industries Co Ltd *		1,100,834
	959,000	Nippon Steel Corp		2,404,134
	176,600	Nippon Telegraph & Telephone Corp		8,709,909
	836,000	Nippon Yusen Kabushiki Kaisha		2,143,419
	151,741	Nipro Corp		1,893,600
	72,000	Nisshinbo Holdings Inc		521,681
	6,600	Nitori Holdings Co Ltd		519,353
	26,800	Nitto Denko Corp		1,591,056
	350,900	Nomura Holdings Inc		2,660,682
	131,986	North Pacific Bank Ltd		433,627
	6,662	NTT Docomo Inc		9,733,291
	69,000	Obayashi Corp		333,117
	8,200	Okinawa Electric Power Co		314,673
	6,000	Ono Pharmaceutical Co Ltd		417,230
	51,000	Orient Corp *		146,333
	608	ORIX JREIT Inc (REIT)		654,509
	400	Pigeon Corp		32,054
	27,749	Point Inc		1,234,033
	1,326,600	Resona Holdings Inc		5,950,556
	203,000	Ricoh Co Ltd		2,356,813
	127,100	Round One Corp		784,126
	19,800	Ryohin Keikaku Co Ltd		1,477,189
	33,600	Sankyo Co Ltd		1,474,711
	41,300	Sega Sammy Holdings Inc		981,242
	42,000	Seino Holdings Co Ltd		321,134
	279,300	Seven Bank Ltd		994,767
	7,600	Shimamura Co Ltd		873,095
	798,000	Shinsei Bank Ltd		1,863,477
	400	Ship Healthcare Holdings Inc		14,448
	164,100	Showa Shell Sekiyu KK		1,296,516
	800	SHO–BOND Holdings Co Ltd		29,407
	58,186	SoftBank Corp		2,908,436
	1,319,900	Sojitz Corp		2,274,855
	430,193	Sumitomo Light Metal Industries Ltd		449,010
	48,500	Sumitomo Mitsui Construction Co Ltd *		37,212
	535,500	Sumitomo Corp		6,695,217
	74,500	Sumitomo Electric Industries Ltd		891,177
	114,000	Sumitomo Metal Mining Co Ltd		1,432,521

Shares		Description	Value ($)
		Japan — continued
	73,700	Sumitomo Mitsui Financial Group Inc		2,909,659
	368,000	Sumitomo Mitsui Trust Holdings Inc		1,507,694
	44,000	Sumitomo Realty & Development Co Ltd		1,682,755
	39,000	Suruga Bank Ltd		584,193
	14,800	Suzuken Co Ltd		469,007
	129,000	Taisei Corp		404,909
	256,600	Takeda Pharmaceutical Co Ltd		11,373,108
	59,900	Tokyo Electric Power Co Inc (The) *		358,749
	189,000	Tokyo Tatemono Co Ltd		1,415,737
	11,000	Tokyu Land Corp		99,409
	92,000	TonenGeneral Sekiyu KK		903,831
	49,000	Toshiba Corp		230,532
	468,000	Tosoh Corp		1,528,173
	15,000	Toyobo Co Ltd		24,435
	101,100	Toyota Motor Corp		5,900,126
	150,400	Toyota Tsusho Corp		3,979,716
	109,567	Unitika Ltd *		62,194
	199,300	UNY Co Ltd		1,312,908
	33,200	Wacom Co Ltd		410,168
	2,586	Yahoo! Japan Corp		1,171,611
	103,790	Yamada Denki Co Ltd		3,915,016
		Total Japan		255,789,948
		Kazakhstan — 0.0%
	62,669	KazMunaiGas Exploration Production JSC GDR (Registered Shares)		970,732
		Malaysia — 0.1%
	390,100	AMMB Holdings Berhad		924,494
	529,500	CIMB Group Holdings Berhad		1,417,432
	141,996	Hong Leong Bank Berhad		648,427
	37,700	KLCC Property Holdings Bhd		82,723
	250,000	Malayan Banking Berhad		821,938
	63,100	Public Bank Bhd		345,282
	40,700	Public Bank Bhd (Foreign Market)		221,276
	57,400	RHB Capital Berhad		162,190
		Total Malaysia		4,623,762
		Mexico — 0.4%
	319,000	America Movil SAB de CV		6,351,290
	1,937,400	America Movil SAB de CV-Class L		1,943,730
	11,800	Fomento Economico Mexicano SAB de CV		128,359
	8,100	Fomento Economico Mexicano SAB de CV Sponsored ADR		879,579
	84,800	Grupo Financiero Banorte SAB de CV-Class O		542,117
	72,400	Grupo Financiero Santander Mexico SAB de CV ADR *		1,145,368
	200	Grupo Financiero Santander Mexico SAB de CV-Class B		646
	26,500	Grupo Televisa SAB Sponsored ADR		691,120
	17,200	Grupo Televisa SAB-Series CPO		89,915

Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Mexico — continued
	202,800	Wal-Mart de Mexico SAB de CV-Class V		598,326
		Total Mexico		12,370,450
		Netherlands — 0.8%
	536,789	Aegon NV		3,662,402
	37,844	CSM NV		792,825
	7,424	Delta Lloyd NV		145,169
	7,211	Gemalto NV		605,463
	1,055	Heineken NV		73,395
	451,959	ING Groep NV *		4,214,379
	60,204	Koninklijke Philips Electronics NV		1,704,737
	187,863	Koninklijke BAM Groep NV		927,783
	7,228	PostNL NV *		19,592
	85,275	SNS REAAL NV * (a)		—
	326,844	Unilever NV		13,352,825
	76,300	VimpelCom Ltd Sponsored ADR		759,185
	1,417	Vopak		85,501
	4,375	Wereldhave NV (REIT)		310,746
		Total Netherlands		26,654,002
		New Zealand — 0.1%
	256,309	Chorus Ltd		505,807
	184,720	Fletcher Building Ltd		1,222,171
	1,289,045	Telecom Corp of New Zealand		2,358,681
		Total New Zealand		4,086,659
		Norway — 0.1%
	11,640	Aker Solutions ASA		171,525
	201,884	DNB ASA		3,264,699
	90,652	Golden Ocean Group Ltd *		99,530
	33,522	TGS Nopec Geophysical Co ASA		1,170,141
		Total Norway		4,705,895
		Peru — 0.2%
	407,155	Cia de Minas Buenaventura SA ADR		7,308,432
	3,700	Credicorp Ltd		509,194
		Total Peru		7,817,626
		Philippines — 0.2%
	859,350	BDO Unibank Inc *		1,886,664
	45,950	GT Capital Holdings Inc		813,203
	513,180	Metropolitan Bank & Trust		1,529,274
	9,375	Philippine Long Distance Telephone Co		684,510
	5,700	Philippine Long Distance Telephone Co Sponsored ADR		410,286
	1,463,400	Puregold Price Club Inc		1,191,798
		Total Philippines		6,515,735
		Poland — 0.4%
	1,305,441	Boryszew SA *		157,732
	5,256	Jastrzebska Spolka Weglowa SA		127,398

Shares		Description	Value ($)
		Poland — continued
	324,327	KGHM Polska Miedz SA		14,489,573
	130,397	Synthos SA		211,855
		Total Poland		14,986,558
		Portugal — 0.1%
	1,108,842	EDP-Energias de Portugal SA		3,575,877
	23,722	Portugal Telecom SGPS SA		100,647
		Total Portugal		3,676,524
		Russia — 2.4%
	5,168	Bashneft OAO-Class S		323,862
	27,103	Gazprom Neft JSC Sponsored ADR *		508,909
	3,898,293	Gazprom OAO Sponsored ADR *		29,070,904
	288,458	Lukoil OAO Sponsored ADR		16,879,247
	972	Magnit OJSC		218,231
	20,858	Magnit OJSC GDR		1,130,028
	1,806	Mobile Telesystems OJSC		14,442
	38,900	Mobile Telesystems Sponsored ADR		749,603
	44,395	Moscow Exchange MICEX-RTS		74,203
	2,060	NovaTek OAO GDR		228,527
	1,020,868	Rosneft OJSC GDR (Registered)		6,701,992
	7,731	Rostelecom OJSC		144,574
	1,169,975	Sberbank Sponsored ADR *		14,225,091
	32,680	Sistema JSFC Sponsored GDR (Registered Shares)		617,177
	577,253	Surgutneftegas Sponsored ADR *		4,313,352
	69,211	Tatneft Sponsored ADR *		2,376,916
	388,994,452	VTB Bank OJSC		560,541
	1,593,220	VTB Bank OJSC GDR (Registered Shares) *		4,548,380
		Total Russia		82,685,979
		Singapore — 0.4%
	376,000	CapitaCommercial Trust (REIT)		449,740
	114,000	China Minzhong Food Corp Ltd *		92,105
	93,967	Ezion Holdings Ltd		168,443
	743,085	Ezra Holdings Ltd *		568,997
	7,883,000	Golden Agri-Resources Ltd		3,579,148
	117,000	Ho Bee Investment Ltd		185,392
	58,000	Jaya Holdings Ltd		27,903
	1,552,000	Noble Group Ltd		1,267,781
	171,000	SembCorp Industries Ltd		655,014
	176,000	Singapore Technologies Engineering Ltd		568,329
	1,646,000	Singapore Telecommunications		4,868,811
	305,000	Swiber Holdings Ltd		182,411
	64,000	United Overseas Bank Ltd		1,080,963
	62,000	Vard Holdings Ltd		54,606
	820,000	Yangzijiang Shipbuilding Holdings Ltd		569,041
		Total Singapore		14,318,684
		South Africa — 0.5%
	46,616	ABAS Group Ltd		689,422

Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		South Africa — continued
	700,950	African Bank Investments Ltd		1,110,999
	9,272	African Rainbow Minerals Ltd		164,948
	108,767	AngloGold Ashanti Ltd Sponsored ADR		1,973,033
	81,355	Exxaro Resources Ltd		1,275,868
	107,279	FirstRand Ltd		313,218
	101,914	Gold Fields Ltd Sponsored ADR		618,618
	223,196	Growthpoint Properties Ltd		561,660
	52,500	Investec Ltd		373,226
	9,772	Liberty Holdings Ltd		121,789
	133,992	MTN Group Ltd		2,425,605
	10,343	Naspers Ltd-N Shares		761,451
	7,582	Remgro Ltd		148,744
	76,091	Sasol Ltd		3,393,555
	1,647	Sasol Ltd Sponsored ADR		73,094
	5,275	Sibanye Gold Ltd Sponsored ADR *		19,095
	12,822	Standard Bank Group Ltd		142,002
	186,677	Telkom South Africa Ltd *		275,989
	59,536	Vodacom Group Ltd		660,789
	37,283	Wilson Bayly Holmes-Ovcon Ltd		577,973
		Total South Africa		15,681,078
		South Korea — 4.3%
	124,650	BS Financial Group Inc		1,716,827
	1,539	CJ Corp		169,469
	491	CJ O Shopping Co Ltd		138,159
	9,688	Daelim Industrial Co Ltd		805,089
	23,500	Daewoo Securities Co Ltd		227,580
	15,420	Daewoo Shipbuilding & Marine Engineering Co Ltd		344,626
	27,150	DGB Financial Group Inc		404,385
	38,810	Dongbu Insurance Co Ltd		1,702,999
	24,580	Dongkuk Steel Mill Co Ltd		269,554
	13,700	GS Engineering & Construction Corp		400,979
	67,244	GS Holdings		3,254,950
	232,271	Hana Financial Group Inc		7,746,218
	2,680	Hankook Tire Co Ltd		124,396
	43,300	Hankook Tire WorldwideCo Ltd		732,496
	8,970	Hanwha Chem Corp		140,963
	52,410	Hanwha Corp		1,455,611
	6,173	Honam Petrochemical Corp		887,390
	5,340	Hynix Semiconductor Inc *		149,798
	7,391	Hyosung Corp		385,655
	7,398	Hyundai Engineering & Construction		397,021
	5,754	Hyundai Heavy Industries Co Ltd		992,882
	16,830	Hyundai Hysco		512,642
	44,650	Hyundai Marine & Fire Insurance Co Ltd		1,280,677
	1,454	Hyundai Mipo Dockyard		173,964
	28,144	Hyundai Mobis		7,039,032
	50,608	Hyundai Motor Co		9,411,929
	31,780	Hyundai Securities Co Ltd		216,590
	39,876	Hyundai Steel Co		2,513,276

Shares		Description	Value ($)
		South Korea — continued
	1,906	Hyundai Wia Corp		276,298
	221,690	Industrial Bank of Korea		2,436,181
	210,090	KB Financial Group Inc		6,819,289
	5,700	KB Financial Group Inc ADR		186,105
	195,057	Kia Motors Corp		10,122,264
	14,997	Kolon Industries Inc		669,310
	2,753	Korea Kumho Petrochemical Co Ltd		227,634
	6,534	Korea Zinc Co Ltd		1,869,362
	4,800	Korean Air Lines Co Ltd *		155,788
	9,960	Korean Reinsurance Co		99,867
	183,270	KT Corp		6,265,244
	30,900	KT Corp Sponsored ADR		520,974
	25,880	KTB Securities Co Ltd *		85,635
	13,496	LG Chem Ltd		3,213,844
	7,627	LG Corp		468,913
	9,266	LG Electronics Inc		658,456
	8,610	LG Fashion Corp		236,246
	12,160	LG International Corp		384,154
	162,100	LG Uplus Corp *		1,673,503
	39,820	LIG Insurance Co Ltd		870,075
	1,524	Lotte Shopping Co Ltd		491,204
	2,042	LS Corp		126,795
	3,396	Mando Corp		292,285
	64,390	Meritz Fire & Marine Insurance Co Ltd		747,416
	4,503	Mirae Asset Securities Co Ltd		186,779
	9,527	MNTech Co Ltd		90,927
	13,140	Poongsan Corp		311,895
	20,298	POSCO		5,746,018
	18,200	POSCO ADR		1,285,830
	2,179	S-Oil Corp		166,489
	10,235	Samsung Engineering Co Ltd		857,215
	2,033	Samsung Fire & Marine Insurance Co Ltd		409,628
	35,110	Samsung Heavy Industries Co Ltd		1,010,329
	4,023	Samsung Life Insurance Co Ltd		373,717
	2,345	Samsung SDI Co Ltd		294,343
	20,950	Samsung Card Co		691,717
	16,601	Samsung Electronics Co Ltd		22,367,521
	11,800	Seah Besteel Corp		345,761
	183,300	Shinhan Financial Group Co Ltd		6,535,087
	1,806	Shinsegae Co Ltd		346,015
	16,846	SK Chemicals Co Ltd		636,858
	3,124	SK Gas Co Ltd		225,802
	53,281	SK Innovation Co Ltd		6,908,847
	27,191	SK Telecom Co Ltd		5,020,149
	84,700	SK Telecom Co Ltd ADR		1,719,410
	6,253	SK Holdings Co Ltd		972,634
	16,590	SL Corp		232,940
	46,550	STX Corp		104,273
	41,500	STX Pan Ocean Co Ltd *		118,005
	37,300	STX Shipping Co Ltd *		126,778
	16,455	Sungwoo Hitech Co Ltd		221,555

Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	388,880	Woori Finance Holdings Co Ltd		4,050,469
	38,770	Woori Investment & Securities Co Ltd *		421,080
		Total South Korea		144,270,070
		Spain — 2.5%
	7,662	Abengoa SA		18,038
	5,751	ACS Actividades de Construccion y Servicios SA		160,800
	6,985	Amadeus IT Holding SA-Class A		213,185
	1,156,407	Banco Bilbao Vizcaya Argentaria SA		10,838,685
	3,628,342	Banco Santander SA		25,950,739
	52,946	Distribuidora Internacional de Alimentacion SA		414,957
	5,428	Enagas		135,691
	9,568	Ferrovial SA		154,085
	7,494	Fomento de Construcciones y Contratas SA		75,621
	292,240	Gas Natural SDG SA		6,037,472
	47,989	Grifols SA *		1,757,210
	1,375,411	Iberdrola SA		7,439,700
	4,213	Inditex SA		521,528
	76,000	Indra Sistemas SA		994,966
	356,645	Repsol YPF SA		8,115,124
	1,515,231	Telefonica SA *		20,847,991
		Total Spain		83,675,792
		Sweden — 0.3%
	64,106	Alliance Oil Company Ltd *		451,683
	19,816	Boliden AB		282,387
	93,715	Investor AB		2,690,243
	8,764	NCC AB-Class B		209,281
	128,783	Skandinaviska Enskilda Banken AB-Class A		1,340,564
	28,529	Svenska Handelsbanken AB-A Shares		1,226,282
	97,827	Swedbank AB-Class A		2,329,695
	189,251	TeliaSonera AB		1,264,753
		Total Sweden		9,794,888
		Switzerland — 1.8%
	11,295	ABB Ltd		247,134
	400	AMS AG		38,452
	1,302	Compagnie Financiere Richemont SA-Class A		115,124
	83,930	Credit Suisse Group AG (Registered)		2,480,660
	211,230	Nestle SA (Registered)		13,992,844
	384,729	Novartis AG (Registered)		27,558,905
	66,663	Roche Holding AG (Non Voting)		16,528,183
	374	Swatch Group AG		213,158
	254	Swiss Life Holding AG (Registered)		42,108
	4,607	Swiss Re AG		338,312
		Total Switzerland		61,554,880

Shares		Description	Value ($)
		Taiwan — 1.7%
	339,000	Acer Inc *		271,423
	291,000	Advanced Semiconductor Engineering Inc		248,588
	192,000	Advantech Co Ltd		939,124
	179,000	Asustek Computer Inc		1,959,821
	4,329,000	AU Optronics Corp *		1,968,997
	109,000	Career Technology MFG Co Ltd		122,588
	324,000	Catcher Technology Co Ltd		1,807,783
	160,000	Cathay Financial Holding Co Ltd		206,512
	196,000	Cheng Shin Rubber Industry Co Ltd		583,752
	49,000	Chipbond Technology Corp		129,917
	1,808,470	Chunghwa Telecom Co Ltd		5,748,383
	500	Chunghwa Telecom Co Ltd ADR		15,680
	3,548,000	Compal Electronics Inc		2,166,877
	372,000	Coretronic Corp		329,310
	132,000	Delta Electronics Inc		629,428
	838,000	E.Sun Financial Holdings Co Ltd		514,556
	83,000	Elite Material Co Ltd		77,506
	1,077,000	Far EasTone Telecommunications Co Ltd		2,566,615
	171,000	Flexium Interconnect Inc		626,699
	185,000	Foxconn Technology Co Ltd		494,008
	212,000	Gintech Energy Corp *		224,481
	243,000	Highwealth Construction Corp		538,241
	3,317,000	Hon Hai Precision Industry Co Ltd		8,391,441
	37,000	ILI Technology Corp		100,002
	777,000	Innolux Display Corp *		518,513
	81,000	Lite-On Technology Corp		128,855
	29,000	Lotes Co Ltd		75,978
	136,000	Makalot Industrial Co Ltd		635,309
	19,000	MediaTek Inc		234,549
	83,000	Motech Industries Inc *		117,683
	1,045,000	Neo Solar Power Corp *		882,676
	22,000	Phison Electronics Corp		186,057
	765,000	Powertech Technology Inc		1,376,023
	842,000	Qisda Corp *		204,172
	785,000	Quanta Computer Inc		1,681,155
	248,000	Radiant Opto-Electronics Corp		935,135
	835,000	Shin Kong Financial Holding Co Ltd *		283,250
	32,632	Silicon Motion Technology Corp ADR		366,784
	63,000	Simplo Technology Co Ltd		284,085
	143,000	Synnex Technology International Corp		199,418
	4,086,000	Taishin Financial Holding Co Ltd		1,747,759
	1,012,000	Taiwan Mobile Co Ltd		3,688,643
	286,000	Taiwan PCB Techvest Co Ltd Sponsored ADR *		386,778
	271,700	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		5,069,922
	58,000	Taiwan Surface Mounting Technology Corp		94,884
	99,700	Taiwan Semiconductor Manufacturing Co Ltd		362,522
	47,085	TPK Holding Co Ltd		926,808

Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	332,000	Tripod Technology Corp		758,976
	522,000	Unimicron Technology Corp		561,273
	1,169,000	United Microelectronics Corp		513,567
	1,655,450	Wistron Corp		1,692,229
	350,000	WPG Holdings Co Ltd		416,181
	50,000	Young Fast Optoelectronics Co Ltd		94,097
	282,000	Yungtay Engineering Co Ltd		619,829
		Total Taiwan		55,704,842
		Thailand — 0.9%
	24,300	Advanced Info Service Pcl NVDR		210,162
	296,800	Advanced Info Service Pcl (Foreign Registered)		2,566,918
	13,500	Bangchak Petroleum Pcl		15,110
	715,800	Bangchak Petroleum Pcl (Foreign Registered)		801,157
	368,960	Bangkok Dusit Medical Service Pcl (Foreign Registered)		2,052,238
	36,600	Bangkok Dusit Medical Services Pcl NVDR		203,577
	350,210	Bank of Ayudhya Pcl (Foreign Registered) (a)		408,833
	59,000	Bank of Ayudhya Pcl NVDR		65,481
	139,150	Banpu Pcl (Foreign Registered)		1,370,351
	2,500	Banpu Pcl NVDR		24,620
	1,643,840	BTS Rail Mass Transit Growth Infrastructure Fund *		613,556
	462,300	Charoen Pokphand Foods Pcl (Foreign Registered)		442,001
	99,600	Charoen Pokphand Foods Pcl NVDR		95,227
	345,050	Electricity Generating Pcl (Foreign Registered)		1,787,909
	1,087,100	Esso Thailand Pcl (Foreign Registered)		315,946
	453,800	Glow Energy Pcl (Foreign Registered)		1,048,405
	188,200	Glow Energy Pcl NVDR		434,794
	232,000	Kasikornbank Pcl NVDR		1,490,171
	516,000	PTT Exploration & Production Pcl (Foreign Registered)		2,579,921
	64,300	PTT Exploration & Production Pcl NVDR		321,490
	49,200	PTT Pcl		527,339
	761,000	PTT Pcl (Foreign Registered)		8,156,610
	320,200	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered) (a)		576,110
	508,800	Ratchaburi Electricity Generating Holding Pcl NVDR		923,840
	72,100	Shin Corp Pcl		211,169
	86,900	Shin Corp Pcl (Foreign Registered) (a)		262,102
	50,500	Siam Cement Pcl NVDR		771,671
	764,100	Thai Oil Pcl (Foreign Registered)		1,606,073
	53,700	Thai Oil Pcl NVDR		112,873
	2,612,100	Thai Tap Water Supply Pcl (Foreign Registered)		931,054
		Total Thailand		30,926,708

Shares		Description	Value ($)
		Turkey — 0.3%
	652,714	Asya Katilim Bankasi AS *		673,875
	417,882	Turk Telekomunikasyon AS		1,609,214
	444,909	Turkcell Iletisim Hizmet AS *		2,737,866
	191,722	Turkiye Garanti Bankasi AS		988,191
	204,728	Turkiye IS Bankasi-Class C		757,348
	232,763	Turkiye Vakiflar Bankasi TAO-Class D		736,611
	80,911	Turkiye Halk Bankasi AS		865,070
	90,265	Yapi ve Kredi Bankasi AS		268,705
		Total Turkey		8,636,880
		United Kingdom — 9.5%
	63,897	Aberdeen Asset Management Plc		449,055
	27,116	Admiral Group Plc		546,749
	76,115	Amlin Plc		479,879
	98,525	Ashtead Group Plc		933,510
	690,462	AstraZeneca Plc		35,326,937
	448,211	Aviva Plc		2,252,411
	9,741	Babcock International Group Plc		170,831
	1,375,886	BAE Systems Plc		8,410,836
	295,440	Balfour Beatty Plc		1,035,565
	4,205,751	Barclays Plc		20,146,088
	217,533	Barratt Developments Plc *		1,049,465
	13,639	BBA Aviation Plc		57,822
	17,522	BG Group Plc		319,777
	183,783	BHP Billiton Plc		5,284,704
	5,433,978	BP Plc		38,837,741
	234,996	British American Tobacco Plc		12,912,720
	428,666	BT Group Plc		1,950,667
	53,008	Bunzl Plc		1,031,706
	43,793	Cape Plc		177,324
	69,376	Catlin Group Ltd		527,666
	191,540	Cobham Plc		826,788
	367,517	Darty Plc		393,723
	32,866	DCC Plc		1,241,783
	340,678	Debenhams Plc		483,719
	151,711	Diageo Plc		4,481,523
	2,142,977	Dixons Retail Plc *		1,335,522
	158,024	Drax Group Plc		1,369,727
	11,823	easyJet Plc		225,288
	15,255	Eurasia Drilling Co Ltd GDR		620,751
	352,888	FirstGroup Plc		669,980
	959,130	GlaxoSmithKline Plc		24,815,735
	1,759	Halfords Group Plc		8,650
	1,934	Hargreaves Lansdown Plc		28,181
	813,030	Home Retail Group Plc		1,922,506
	251,593	HSBC Holdings Plc		2,760,233
	77,602	Imperial Tobacco Group Plc		2,784,727
	120,711	Inchcape Plc		998,674
	34,974	InterContinental Hotels Group Plc		1,006,770
	94,943	Intermediate Capital Group Plc		669,574
	2,752	Intertek Group Plc		133,789

Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	185,746	ITV Plc		367,835
	19,002	JD Wetherspoon Plc		190,107
	56,966	Lancashire Holdings Ltd		687,379
	529,300	Legal & General Group Plc		1,425,893
	9,276,671	Lloyds Banking Group Plc *		8,622,115
	593,435	Man Group Plc		1,026,564
	153,562	Marks & Spencer Group Plc		1,086,751
	33,165	Micro Focus International Plc		343,890
	82,650	National Express Group Plc		251,213
	45,369	Next Plc		3,172,743
	241,563	Old Mutual Plc		746,025
	3,763	Persimmon Plc		69,199
	7,527	Persimmon Plc, Bonus Shares		8,599
	25,776	Playtech Ltd		260,880
	59,181	Premier Foods Plc *		64,758
	230,445	Prudential Plc		3,876,337
	106,895	Punch Taverns Plc *		21,450
	40,011	Reckitt Benckiser Group Plc		2,861,125
	16,892	Reed Elsevier Plc		188,905
	338,753	Rio Tinto Plc		14,468,388
	59,079	Rolls-Royce Holdings Plc		1,071,642
	12,868,898	Rolls-Royce Holdings Plc C Shares *		19,553
	655,891	Royal Bank of Scotland Group Plc *		3,311,994
	1,070,606	Royal Dutch Shell Plc A Shares (London)		35,630,691
	456,676	Royal Dutch Shell Plc B Shares (London)		15,742,946
	13,026	SABMiller Plc		655,328
	103,930	Scottish & Southern Energy Plc		2,439,522
	13,172	Spectris Plc		412,566
	107,029	Spirit Pub Co Plc		109,201
	157,167	Standard Life Assurance Plc		929,773
	8,949	Telecity Group Plc		130,967
	1,647,881	Tesco Plc		9,124,950
	827,827	Thomas Cook Group Plc *		1,783,897
	55,116	Trinity Mirror Plc *		102,070
	262,304	TUI Travel Plc		1,416,342
	33,153	Tullett Prebon Plc		147,356
	43,308	Unilever Plc		1,819,165
	8,228,388	Vodafone Group Plc		23,846,766
	2,598	Whitbread Plc		113,105
	28,635	WH Smith Plc		327,351
	347,878	William Hill Plc		2,325,117
	125,675	WPP Plc		2,139,496
		Total United Kingdom		322,019,050
		United States — 32.5%
	140,700	3M Co.		15,514,989
	547,500	Abbott Laboratories		20,076,825
	16,100	Allergan, Inc.		1,601,789
	25,100	AmerisourceBergen Corp.		1,357,408
	66,400	Amgen, Inc.		6,675,192
	55,100	Apple, Inc.		24,777,368
	47,300	Baxter International, Inc.		3,326,609

Shares		Description	Value ($)
		United States — continued
	35,700	Becton, Dickinson and Co.		3,520,734
	217,000	Bristol-Myers Squibb Co.		9,984,170
	28,600	Cardinal Health, Inc.		1,343,056
	400,200	Chevron Corp.		49,124,550
	39,000	Church & Dwight Co., Inc.		2,371,590
	2,095,500	Cisco Systems, Inc.		50,459,640
	1,456,100	Coca-Cola Co. (The)		58,229,439
	429,700	Colgate-Palmolive Co.		24,853,848
	11,100	Copa Holdings SA-Class A		1,457,652
	41,500	Costco Wholesale Corp.		4,551,305
	73,200	CVS Caremark Corp.		4,214,856
	145,000	Eli Lilly & Co.		7,708,200
	193,000	EMC Corp. *		4,778,680
	625,900	Express Scripts Holding Co. *		38,880,908
	191,300	Exxon Mobil Corp.		17,306,911
	45,100	General Mills, Inc.		2,123,308
	85,100	Gilead Sciences, Inc. *		4,636,248
	73,700	Google, Inc.-Class A *		64,149,217
	1,300,000	Hewlett-Packard Co.		31,746,000
	218,100	International Business Machines Corp.		45,369,162
	24,000	Intuit, Inc.		1,402,560
	785,800	Johnson & Johnson		66,148,644
	32,300	Kimberly-Clark Corp.		3,127,609
	71,700	Laboratory Corp. of America Holdings *		7,133,433
	304,600	Lorillard, Inc.		12,927,224
	22,600	Mastercard, Inc.-Class A		12,887,650
	259,300	McDonald’s Corp.		25,040,601
	15,200	McKesson Corp.		1,730,672
	299,700	Medtronic, Inc.		15,287,697
	253,400	Merck & Co., Inc		11,833,780
	1,842,600	Microsoft Corp.		64,269,888
	148,300	Nike, Inc.-Class B		9,144,178
	1,806,800	Oracle Corp.		60,997,568
	14,100	Paychex, Inc.		524,943
	476,900	PepsiCo, Inc.		38,519,213
	1,891,200	Pfizer, Inc.		51,497,376
	530,600	Philip Morris International, Inc.		48,236,846
	586,900	Procter & Gamble Co. (The)		45,050,444
	159,900	Qualcomm, Inc.		10,150,452
	71,200	Quest Diagnostics, Inc.		4,403,008
	93,200	Southern Copper Corp.		2,903,180
	36,900	Stryker Corp.		2,449,791
	157,600	Sysco Corp.		5,326,880
	327,200	Target Corp.		22,740,400
	45,000	TJX Cos, Inc. (The)		2,277,450
	159,800	UnitedHealth Group, Inc.		10,008,274
	57,200	Visa, Inc.-Class A		10,189,608
	519,400	Wal-Mart Stores, Inc.		38,871,896
	70,300	Walgreen Co.		3,357,528
	24,500	Yum! Brands, Inc.		1,659,875

Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	124,600	Zimmer Holdings, Inc.		9,782,346
		Total United States		1,100,020,668
		TOTAL COMMON STOCKS (COST $2,695,422,330)		2,817,102,031
		PREFERRED STOCKS — 1.9%
		Brazil — 1.4%
	20,000	AES Tiete SA, 10.21%		215,426
	137,610	Banco Bradesco SA ADR, 0.21%		2,219,649
	239,490	Banco Bradesco SA, 0.21%		3,821,911
	112,200	Banco do Estado do Rio Grande do Sul SA-Class B, 0.98%		863,319
	228,750	Bradespar SA, 2.43%		2,331,503
	17,200	Braskem SA-Class A*		133,228
	13,900	Cia de Bebidas das Americas ADR, 2.45%		529,173
	76,200	Cia Energetica de Minas Gerais Sponsored ADR, 5.79%		779,504
	6,600	Companhia de Bebidas das Americas, 2.32%		249,634
	10,300	Companhia Paranaense de Energia Class B, 1.52%		158,169
	101,600	Eletropaulo Metropolitana SA, 0.05%		346,288
	116,300	Gerdau SA ADR, 0.62%		710,593
	122,100	Gerdau SA, 0.61%		741,676
	22,500	Gol Linhas Aereas Inteligentes SA *		98,434
	337,260	Itau Unibanco Holding SA ADR, 0.59%		5,072,390
	296,060	Itau Unibanco Holding SA, 0.56%		4,444,079
	1,221,670	Itausa-Investimentos Itau SA, 0.65%		5,270,441
	54,700	Klabin SA, 2.09%		324,349
	129,500	Metalurgica Gerdau SA, 0.49%		994,619
	142,200	Petroleo Brasileiro SA (Petrobras), 3.88%		1,327,191
	88,995	Suzano Papel e Celulose SA, 1.25%		317,869
	195,400	Usinas Siderrurgicas de Minas Gerais SA *		812,874
	253,300	Vale SA Sponsored ADR, 2.87%		3,414,484
	957,500	Vale SA, 0.35%		12,933,269
		Total Brazil		48,110,072
		Germany — 0.2%
	23,580	Henkel AG & Co KGaA, 1.27%		2,269,157
	54,124	Porsche Automobil Holding SE, 3.14%		4,463,822
		Total Germany		6,732,979
		Russia — 0.2%
	1,062,224	Sberbank 4.56%		2,415,147
	5,160,945	Surgutneftegaz OJSC *		3,142,556
		Total Russia		5,557,703

Shares / Par Value		Description	Value ($)
		South Korea — 0.1%
	13,753	Hyundai Motor Co, 2.11%		1,114,039
	13,801	Hyundai Motor Co, 2.15%		1,127,196
	911	Samsung Electronics Co Ltd (Non-Voting), 0.81%		789,896
		Total South Korea		3,031,131
		TOTAL PREFERRED STOCKS (COST $69,160,205)		63,431,885
		INVESTMENT FUNDS — 0.4%
		United States — 0.4%
	306,009	iShares MSCI Emerging Markets Index Fund		12,610,631
		TOTAL INVESTMENT FUNDS (COST $12,775,973)		12,610,631
		DEBT OBLIGATIONS — 0.2%
		Canada — 0.1%
		Asset-Backed Securities
CAD	1,938,400	Master Asset Vehicle II, Series 09-2, Class A2, 0.78%, due 07/15/56		1,647,663
CAD	352,000	Master Asset Vehicle II, Series 09-2, Class B, Zero Coupon, due 07/15/56		286,897
CAD	150,000	Master Asset Vehicle II, Series 09-2, Class C, Zero Coupon, due 07/15/56		110,683
CAD	2,559,600	Master Asset Vehicle II, Series 09-2, Class A1, 0.78%, due 07/15/56		2,228,154
		Total Asset-Backed Securities		4,273,397
		United States — 0.1%
		Bank Loans — 0.1%
USD	992,424	Chrysler Group LLC Term Loan B, 4.75%, due 05/24/17		1,003,589
USD	380,447	Caesars Entertainment Corp. Term Loan B1, 3.00%, due 01/28/15		378,545
USD	783,178	Caesars Entertainment Corp. Term Loan B3, 3.00%, due 01/28/15		769,473
USD	1,085,367	Springleaf Financial Funding Co. Term Loan B, 4.25%, due 05/10/17		1,088,080
		Total Bank Loans		3,239,687
		CMBS Collateralized Debt Obligations — 0.0%
USD	1,599,399	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.07%, due 11/23/52		1,599

Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Par Value ($) / Shares		Description	Value ($)
		Insured Other — 0.0%
	2,500,000	Toll Road Investment Part II, Series C, 144A, MBIA, Zero Coupon, due 02/15/37		621,250
		TOTAL DEBT OBLIGATIONS (COST $8,006,265)		8,135,933
		RIGHTS/WARRANTS — 0.0%
		Greece — 0.0%
	26,612	Marfin Investment Group Holdings SA, A Rights, Expires 06/27/13 *		34
	26,612	Marfin Investment Group Holdings SA, B Rights, Expires 06/27/13 *		35
		Total Greece		69
		Italy — 0.0%
	24,016	Exor SPA Rights, Expires 06/05/13 *		—
	24,016	Exor SPA Preferred Rights, Expires 06/05/13 *		—
		Total Italy		—
		Japan — 0.0%
	3,400	J Trust Co Ltd Rights, Expires 07/30/13 *		9,240
		TOTAL RIGHTS/WARRANTS (COST $0)		9,309
		SHORT-TERM INVESTMENTS — 14.1%
		Money Market Fund — 5.7%
	192,646,011	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (b)		192,646,011
		U.S. Government — 8.4%
	86,000,000	U.S. Treasury Bill, 0.09%, due 02/06/14 (c) (d)		85,946,680
	150,000,000	U.S. Treasury Bill, 0.11%, due 04/03/14 (c) (d)		149,857,650
	50,000,000	U.S. Treasury Bill, 0.07%, due 11/14/13 (c) (d)		49,984,050
		Total U.S. Government		285,788,380
		TOTAL SHORT-TERM INVESTMENTS (COST $478,404,317)		478,434,391
		TOTAL INVESTMENTS — 99.7% (Cost $3,263,769,090)		3,379,724,180
		Other Assets and Liabilities (net) — 0.3%		9,713,655
		TOTAL NET ASSETS — 100.0%	$	3,389,437,835

A summary of outstanding financial instruments at May 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Count- erparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
06/24/2013	GS		AUD	140,283,309		USD	144,052,757	$	9,988,389
06/24/2013	MSCI		AUD	41,569,847		USD	42,726,611		2,999,609
06/27/2013	BCLY		BRL	67,630,244		USD	32,874,900		1,450,397
06/27/2013	DB		BRL	125,303,705		USD	62,123,800		3,901,230
06/24/2013	JPM		CAD	78,714,534		USD	76,520,388		633,477
06/24/2013	MSCI		CAD	78,460,476		USD	76,294,921		652,941
06/24/2013	BCLY		CHF	48,388,887		USD	52,341,508		1,728,506
06/24/2013	DB		CHF	49,091,132		USD	52,732,580		1,385,056
06/24/2013	GS		CHF	49,587,002		USD	53,381,578		1,515,392
06/24/2013	MSCI		CHF	49,021,710		USD	52,711,289		1,436,378
06/24/2013	DB		EUR	188,307,820		USD	245,873,709		1,095,196
06/24/2013	JPM		EUR	114,677,315		USD	149,693,804		626,480
06/24/2013	JPM		GBP	48,381,686		USD	73,684,775		183,683
06/24/2013	MSCI		GBP	48,368,656		USD	73,712,671		231,373
06/27/2013	DB		IDR	211,216,335,000		USD	21,382,500		(122,548	)
06/24/2013	BCLY		JPY	19,425,740,067		USD	199,053,073		5,660,387
06/24/2013	MSCI		JPY	9,712,858,809		USD	99,170,408		2,474,176
08/08/2013	BCLY		KRW	89,013,602,637		USD	79,246,579		702,197
08/08/2013	JPM		KRW	51,443,278,040		USD	45,915,100		522,257
06/24/2013	JPM		NZD	77,262,813		USD	65,090,104		3,762,904
06/26/2013	BCLY		RUB	1,796,107,464		USD	57,128,100		1,089,745
06/27/2013	BCLY		TWD	661,498,844		USD	22,257,700		143,572
06/27/2013	DB		TWD	1,007,122,012		USD	33,509,300		(159,126	)
08/29/2013	DB		USD	38,887,609		CNY	240,694,857		131,275
06/24/2013	JPM		USD	6,005,537		SGD	7,424,652		(131,312	)
								$	41,901,634

Futures Contracts

Number of Contracts	Type	Expiration Date		Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
22	CAC 40		June 2013	$	1,117,725	$	(17,582	)
4	DAX		June 2013		1,075,748		51,347
109	Euro STOXX 50		June 2013		3,893,777		(59,037	)
207	FTSE/MIB		June 2013		22,923,987		1,454,733
10	IBEX 35		June 2013		1,072,858		(17,763	)
17	MSCI Singapore		June 2013		988,244		(38,383	)
222	S&P 500 E-Mini Index		June 2013		18,081,900		(227,998	)
8	SPI 200		June 2013		936,623		(17,331	)
257	TOPIX		June 2013		28,133,956		(1,527,487	)
				$	78,224,818	$	(399,501	)
Sales
80	FTSE 100		June 2013	$	7,917,833	$	231,549
334	OMXS 30		June 2013		6,064,826		87,940
68	S&P Toronto 60		June 2013		9,545,199		99,991
				$	23,527,858	$	419,480

Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Written Options

Index Options

		Number of Contracts		Expiration Date	Description	Premiums		Market Value
Put	EUR		2,246	6/21/2013	Euro STOXX 50, Strike 2,825	$	1,698,239	$	(2,554,046	)
Put	GBP		16	6/21/2013	FTSE 100, Strike 6,600		25,293		(31,296	)
Put	GBP		10	6/21/2013	FTSE 100, Strike 6,700		15,105		(30,317	)
Put	GBP		234	6/21/2013	FTSE 100, Strike 6,725		349,816		(770,674	)
Put	HKD		143	6/27/2013	Hang Seng, Strike 22,600		473,971		(655,119	)
Put	JPY		416	6/14/2013	Nikkei 225, Strike14,250		1,641,038		(4,327,547	)
Put	JPY		44	6/14/2013	Nikkei 225, Strike, 15,000		152,406		(720,933	)
Put	USD		13	6/22/2013	S&P 500, Strike 1,660		37,011		(54,080	)
Put	USD		43	6/22/2013	S&P 500, Strike 1,625		106,510		(86,000	)
Put	USD		592	6/22/2013	S&P 500, Strike 1,650		1,171,179		(1,953,600	)
Put	AUD		13	6/20/2013	S&P ASX 200, Strike 4,975		11,190		(17,182	)
Put	AUD		373	6/20/2013	S&P ASX 200, Strike 5,200		263,158		(1,192,863	)
Put	AUD		34	6/20/2013	S&P ASX 200, Strike 5,175		16,060		(100,598	)
Put	CAD		54	6/21/2013	S&P TSX 60, Strike 720		6,835		(4,870	)
Put	CAD		26	6/21/2013	S&P TSX 60, Strike 730		1,994		(3,599	)
Put	CAD		2,000	6/21/2013	S&P TSX 60, Strike 715		167,141		(149,506	)
						$	6,136,946	$	(12,652,230	)

As of May 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

ADR - American Depositary Receipt

CDO - Collateralized Debt Obligation

CMBS - Commercial Mortgage Backed Security

CPO - Ordinary Participation Certificate (Certificado de Participacion Ordinares), representing a bundle of shares of the multiple series of one issuer that trade together as a unit.

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

GDR - Global Depository Receipt

LIBOR - London Interbank Offered Rate

MBIA - Insured as to the payment of principal and interest by MBIA Insurance Corp.

NVDR - Non-Voting Depository Receipt

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust.

(b) The rate disclosed is the 7 day net yield as of May 31, 2013. Note: Yield rounds to 0.00%.

(c) The rate shown represents yield-to-maturity.

(d) All or a portion of this security has been pledged to cover margin requirements on futures contracts, collateral on swap agreements, forward currency contracts, and/or written options, if any.

Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2013 (Unaudited)

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank PLC

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

CNY - Chinese Yuan Renminbi

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

IDR - Indonesian Rupiah

JPY - Japanese Yen

KRW - South Korean Won

NZD - New Zealand Dollar

RUB - Russian Ruble

SGD - Singapore Dollar

TWD - Taiwan Dollar

USD - United States Dollar

As of May 31, 2013, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in the value of investments were as follows:

Aggregate Cost ($)	Gross Unrealized Appreciation ($)	Gross Unrealized (Depreciation) ($)	Net Unrealized Appreciation (Depreciation) ($)
3,273,419,441	202,861,453	(96,556,714)	106,304,739

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. Management 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 the Fund ultimately realizes upon 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 Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) 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 this 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 by the relevant clearing house. If an updated closing price for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model. Unlisted securities (including debt instruments) for which market quotations are readily available are generally valued at the most recent quoted price. Shares of open-end registered investment companies are valued at their most recent net asset value. 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 of GMO Trust (the “Trustees”) or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Fund classifies such securities as Level 3 (levels defined below). For the period ended May 31, 2013, the Fund did not reduce the value of any of its over-the-counter (“OTC”) derivatives contracts, if any, based on the creditworthiness of its counterparties. See “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing pricing methodologies are modified for equity securities listed on foreign exchanges and that trade in securities markets that are closed prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, 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). In those cases, the value will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Fund that was valued using fair value inputs obtained from that independent pricing service as of May 31, 2013. 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) in the table below.

Typically, the Fund values debt instruments based on the most recent quoted price supplied by a single pricing source chosen by the Manager. Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager 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) when it believes that the price supplied is not reliable. Although alternative prices may be available for securities held by the Fund, those alternative sources are not typically part of the valuation process and do not necessarily provide greater certainty about the prices used by the Fund. See the table below for information about securities for which no alternative pricing source was available. In the case of non-emerging market debt instruments with a remaining maturity of sixty days or less, the instrument may be valued at amortized cost which approximates market value, if the issuer is deemed to present minimal credit risk.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security. If an updated quote for a security is not available by the time that the Fund calculates its net asset value on any business day, the Fund will generally use a quoted price from a prior day to value that security.

As discussed above, the Fund invests 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, fair valued using inputs obtained from an independent pricing service, or valued using prices for which no alternative pricing source was available. The net aggregate direct exposure to these valuation methodologies (based on the Fund’s net assets) as of May 31, 2013 is as follows:

Securities

Fair valued using methods determined in good faith by or at the direction of the Trustees	Fair valued using inputs obtained from an independent pricing service	Single source; no alternative pricing source was available
0.1%	48.0%	0.0%*

Derivatives

Futures contracts fair valued using inputs obtained from an independent pricing service	Options fair valued using inputs obtained from an independent pricing service
0.0%*	(0.3)%

* Rounds to 0.0%.

U.S. GAAP requires the Fund to disclose the fair value of its 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 Fund’s investments. The inputs or methodology 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 liquidity of investments, could cause a security to be reclassified between levels.

U.S. GAAP requires additional disclosures about fair measurements for material Level 3 investments and derivatives, if any (determined by each category of asset or liability as compared to the Fund’s total net assets separately identified in the “Valuation Inputs” table below). At May 31, 2013, there were no direct material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.

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 with a remaining maturity of greater than 60 days, 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 debt securities such as U.S. government securities with a remaining maturity of less than 60 days valued at amortized cost, certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using broker quotes; certain cleared derivatives and OTC derivatives such as swaps, options, swaptions, and forward contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted 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; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; certain derivatives valued using third party valuation services; certain equity securities valued based on the last traded exchange price adjusted for the movement in a securities index; certain securities that are valued using a price from a comparable security related to the same issuer; and potential litigation recoveries and interests related to bankruptcy proceedings valued at zero.

The following is a summary of the respective levels assigned to the Fund’s direct securities and derivatives, if any, as of May 31, 2013:

Valuation Inputs as of May 31, 2013

Description	Level 1		Level 2		Level 3			Total
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	41,759,984	$	105,291		$	41,865,275
Austria		—		5,299,889		—			5,299,889
Belgium		—		12,664,746		—			12,664,746
Brazil		48,744,803		—		—			48,744,803
Canada		11,503,035		—		—			11,503,035
Czech Republic		—		9,649,608		—			9,649,608
Denmark		—		4,506,146		—			4,506,146
Egypt		—		7,874,122		—			7,874,122
Finland		—		6,424,537		—			6,424,537
France		—		157,677,449		—			157,677,449
Germany		—		67,473,296		—			67,473,296
Greece		—		2,792,975		—			2,792,975
Hong Kong		—		11,151,409		—			11,151,409
Hungary		—		694,917		—			694,917
India		7,815,026		25,902,653		1,153,871			34,871,550
Indonesia		931,120		47,795,824		—			48,726,944
Ireland		—		3,598,989		—			3,598,989
Israel		—		2,308,593		—			2,308,593
Italy		—		67,786,338		—			67,786,338
Japan		—		255,789,948		—			255,789,948
Kazakhstan		—		970,732		—			970,732
Malaysia		—		4,623,762		—			4,623,762
Mexico		12,370,450		—		—			12,370,450
Netherlands		759,185		25,894,817		0	**		26,654,002
New Zealand		—		4,086,659		—			4,086,659
Norway		—		4,705,895		—			4,705,895
Peru		7,817,626		—		—			7,817,626
Philippines		410,286		6,105,449		—			6,515,735
Poland		—		14,986,558		—			14,986,558
Portugal		—		3,676,524		—			3,676,524
Russia		749,603		81,936,376		—			82,685,979
Singapore		—		14,318,684		—			14,318,684
South Africa		2,683,840		12,997,238		—			15,681,078
South Korea		3,712,319		140,557,751		—			144,270,070
Spain		—		83,675,792		—			83,675,792
Sweden		—		9,794,888		—			9,794,888
Switzerland		—		61,554,880		—			61,554,880
Taiwan		5,839,164		49,865,678		—			55,704,842
Thailand		—		29,679,663		1,247,045			30,926,708
Turkey		—		8,636,880		—			8,636,880
United Kingdom		—		321,990,898		28,152			322,019,050
United States		1,100,020,668		—		—			1,100,020,668
TOTAL COMMON STOCKS		1,203,357,125		1,611,210,547		2,534,359			2,817,102,031

Description	Level 1			Level 2			Level 3			Total
Asset Valuation Inputs (continued)
Preferred Stocks
Brazil		48,110,072			—			—			48,110,072
Germany		—			6,732,979			—			6,732,979
Russia		—			5,557,703			—			5,557,703
South Korea		—			3,031,131			—			3,031,131
TOTAL PREFERRED STOCKS		48,110,072			15,321,813			—			63,431,885
Investment Funds
United States		12,610,631			—			—			12,610,631
TOTAL INVESTMENT FUNDS		12,610,631			—			—			12,610,631
Debt Obligations
Canada		—			—			4,273,397			4,273,397
United States		—			—			3,862,536			3,862,536
TOTAL DEBT OBLIGATIONS		—			—			8,135,933			8,135,933
Rights/warrants
Greece		—			—			69			69
Italy		—			—			0	**		0	**
Japan		—			9,240			—			9,240
TOTAL RIGHTS/WARRANTS		—			9,240			69			9,309
Short-term Investments		478,434,391			—			—			478,434,391
Total Investments		1,742,512,219			1,626,541,600			10,670,361			3,379,724,180
Derivatives*
Forward Currency Contracts
Foreign currency risk		—			42,314,620			—			42,314,620
Futures Contracts
Equity risk		99,991			1,825,569			—			1,925,560
Total	$	1,742,612,210		$	1,670,681,789		$	10,670,361		$	3,423,964,360
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign currency risk	$	—		$	(412,986	)	$	—		$	(412,986	)
Futures Contracts
Equity risk		(227,998	)		(1,677,583	)		—			(1,905,581	)
Written Options
Equity risk		(2,251,655	)		(10,400,575	)	$	—			(12,652,230	)
Total	$	(2,479,653	)	$	(12,491,144	)	$	—		$	(14,970,797	)

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.

* The tables above are based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value.

** Represents the interest in securities that were determined to have a fair value of zero at May 31, 2013.

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes.

For the period ended May 31, 2013, there were no material transfers between Level 1 and Level 2.

The following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2013		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, 2013			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2013
Common Stock
Australia	$	—	$	—	$	—		$	—	$	—		$	—		$	105,291	$	—	$	105,291		$	—
India		1,107,369		728,641		(574,055	)		—		(110,196	)		2,112			—		—		1,153,871			(18,446	)
Netherlands		93,629		—		—			—		—			(93,629	)		—		—		0	**		(93,629	)
Thailand		1,300,860		680,406		(830,171	)		—		189,844			(93,894	)		—		—		1,247,045			(53,719	)
United Kingdom		—		19,615										8,537							28,152			8,537
Debt Obligations
Asset-Backed Securities
Canada		4,156,599		—		—			4,164		—			112,634			—		—		4,273,397			112,634
United States		397,099		—		—			8,890		—			216,860			—		—		622,849			216,860
Bank Loans
United States		4,983,209		—		(1,719,121	)		2,038		24,462			(50,901	)		—		—		3,239,687			(50,901	)
Rights/Warrants
Greece		—		0		—			—		—			69			—		—		69			69
Italy		—		0		—			—		—			—			—		—		0	**		—
Total	$	12,038,765	$	1,428,662	$	(3,123,347	)	$	15,092	$	104,110		$	101,788		$	105,291	$	—	$	10,670,361		$	121,405

* The Fund accounts for investments and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period.

** Represents the interest in securities that were determined to have a fair value of zero at May 31, 2013.

The net aggregate direct and/or indirect exposure to investments in securities and derivative financial instruments using Level 3 inputs (based on the Fund’s net assets) as of May 31, 2013 were as follows:

Level 3 securities	Level 3 derivatives
0.3%	—

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. Dollars at the close of regular trading on the NYSE, generally at 4:00 pm Boston time. Income and expenses denominated in foreign currencies are typically translated into U.S. Dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Loan agreements and participations

The Fund may invest in loans to corporate, governmental or other borrowers. The Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, (i) the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) the Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, the Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and the Fund may have minimal control over the terms of any loan modification. When the Fund purchases assignments of loans, it acquires direct rights against the borrower. Loan agreements outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities it acquired under the repurchase agreement. The value of the securities acquired is required by contract to be marked to market daily and additional collateral is required to be transferred so that the market value is at least equal to the amount owed to the Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency proceedings and/or the value of the securities subject to the repurchase agreement is insufficient, the Fund’s recovery of cash from the seller may be delayed and, even if the Fund is able to dispose of the securities, the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. Repurchase agreements outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at an agreed upon price and date. The Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. Reverse repurchase agreements outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.

Inflation-indexed bonds

The Fund may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that reflects inflation in the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.

The value of inflation-indexed bonds is expected to change in response to changes in real interest rates. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e., stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e., nominal interest rate minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. There can be no assurance, however, that the value of inflation-indexed bonds will be directly correlated to changes in nominal interest rates, and short term increases in inflation may lead to a decline in their value. Coupon payments received by the Fund from inflation-indexed bonds are included in the Fund’s gross income for the period in which they accrue. In addition, any increase or decrease in the principal amount of an inflation-indexed bond will increase or decrease taxable ordinary income to the Fund, even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.

Investment and other risks

Investing in mutual funds involves many risks. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

An investment in the Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

• MARKET RISK. The Fund is subject to market risk, which is the risk that the market value of its holdings will decline. Market risks include:

Equities. — The Fund runs the risk that the market prices of its equity investments will decline. The market prices of equities may decline for reasons that directly relate to the issuing company, such as poor management performance or reduced demand for its goods or services. They also may decline due to factors that affect a particular industry, such as a decline in demand, labor or raw material shortages or increased production costs. In addition, market prices may decline as a result of general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. Equities generally have significant price volatility and the market prices of equities can decline in a rapid or unpredictable manner.

The Fund invests a substantial portion of its assets in equities and, as a result, declines in stock market prices generally are likely to reduce the net asset values of the Fund’s shares.

If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate to or will decline for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments.

The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.

The Fund’s investment strategy of selling put options on stock indices will likely cause it to underperform the equity markets in sharply rising markets.

Fixed Income Investments. — The Fund’s investments in fixed income securities (including bonds, notes, bills, synthetic debt instruments and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to a number of market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity stemming from the market’s uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market price of fixed income investments with complex structures, such as asset-backed securities and sovereign and quasi-sovereign debt instruments, can decline due to market uncertainty about their credit quality and the reliability of their payment streams. Some fixed income securities also are subject to unscheduled prepayment, and the Fund may be unable to invest prepayments at as high a yield as was provided by the fixed income security. When interest rates rise, these securities also may be repaid more slowly than anticipated, which could cause the market price of the Fund’s investment to decrease. During periods of economic uncertainty and change, the market price of the Fund’s investments in below investment grade securities (commonly referred to as “junk bonds”) may be particularly volatile. Often junk bonds are subject to greater sensitivity to interest rate and economic changes than higher rated bonds and can be more difficult to value, exposing the Fund to the risk that the price of which it sells them will be less than the value placed on them when they were held by the Fund. See “Credit Risk” and “Liquidity Risk” below for more information about these risks.

A risk of the Fund’s investments in fixed income securities is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases in interest rates (also called “interest rate risk”) is generally greater when the Fund invests in fixed income securities with longer durations and in some cases duration can increase.

The extent to which a fixed income security’s price changes with changes in interest rates is referred to as interest rate duration, which can be measured mathematically or empirically. A longer-maturity investment generally has longer interest rate duration because the investment’s fixed rate is locked in for a longer period of time. Floating-rate or adjustable-rate securities, however, generally have shorter interest rate durations because their interest rates are not fixed but rather float up and down as interest rates change. Conversely, inverse floating-rate securities have durations that move in the opposite direction from short-term interest rates and thus tend to underperform fixed rate securities when interest rates rise but outperform them when interest rates decline. Fixed income securities paying no interest, such as zero coupon and principal-only securities, create additional interest rate risk.

The market price of inflation-indexed bonds (including Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”)) normally changes when real interest rates change. Their value typically will decline during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increase during periods of declining real interest rates. Real interest rates may not fluctuate in the same manner as nominal interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities. The market price of the Fund’s inflation-indexed bonds, however, will not necessarily change in the same proportion as changes in nominal interest rates, and short term increases in inflation may lead to a decline in their price. Moreover, if the index measuring inflation falls, the principal value of inflation-indexed bond investments will be adjusted downward, and, consequently, the interest they pay (calculated with respect to a smaller principal amount) will be reduced. In the case of TIPS, the U.S. government guarantees the repayment of the original bond principal upon maturity (as adjusted for inflation). Generally, when interest rates on short term U.S. Treasury obligations equal or approach zero, if the Fund has invested a substantial portion of its assets in U.S. Treasury obligations, such as U.S. Treasury Fund, will have a negative return unless the Manager waives or reduces its management fees.

Market risk for fixed income securities denominated in non-U.S. currencies is also affected by currency risk. See “Currency Risk” below.

• NON-U.S. INVESTMENT RISK. Because the Fund invests in non-U.S. securities, it is subject to additional and more varied risks than funds whose investments are limited to U.S. securities. The securities markets of many non-U.S. countries include securities of only a limited number of companies in a limited number of industries. As a result, the market prices of many of those securities fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to the same degree of regulation as U.S. issuers. Reporting, accounting, custody and auditing standards of non-U.S. countries differ, in some cases significantly, from U.S. standards. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs. In addition, some jurisdictions may limit the Fund’s ability to profit from short term trading (as defined in the relevant jurisdiction).

The Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments and (iii) the repatriation of proceeds generated from the sale of those investments. The Fund may seek to collect a refund in respect of taxes paid to a non-U.S. country. In those cases, all or a portion of those taxes could ultimately be recovered by the Fund. However, the recovery process could take several years and the Fund will incur expenses in its efforts to collect the refund, which will reduce the benefit of any recovery. The Fund’s efforts to collect a refund may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. The Fund’s decision to pursue a refund is in its sole discretion, and it may decide not to pursue a refund, even if eligible.

Also, investing in non-U.S. securities exposes the Fund to the risk of nationalization, expropriation or confiscatory taxation of assets of their issuers, adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments.

In some non-U.S. markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks it does not have in the U.S. with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents, and issuers. Fluctuations in non-U.S. currency exchange rates also will affect the market value of the Fund’s non-U.S. investments (see “Currency Risk” below).

U.S. investors are required to maintain a license to invest directly in many non-U.S. markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, the Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license is terminated or suspended, to obtain exposure to the market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of the Manager’s clients may preclude other clients, including the Fund, from obtaining a similar license, and this could limit the Fund’s investment opportunities. In addition, the activities of another of the Manager’s clients could cause the suspension or revocation of a license and thereby limit the Fund’s investment opportunities.

Because the Fund may invest a significant portion of its assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets), it is subject to greater non-U.S. investment risk than funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of assets of issuers of securities in the Fund’s portfolio; greater governmental involvement in the economy; less governmental supervision and regulation of the securities markets and participants in those markets; controls on non-U.S. investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on the Fund’s ability to exchange local currencies for U.S. Dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e., a market freeze); unavailability of currency hedging techniques; differences in, or lack of, auditing and financial reporting standards and resulting unavailability of material information about issuers; slower clearance and settlement; difficulties in obtaining and/or enforcing legal judgments; and significantly smaller market capitalizations of issuers.

• SMALLER COMPANY RISK. Companies with smaller market capitalizations, including small- and mid-cap companies, may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. Moreover, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more than the securities of companies with larger market capitalizations. In addition, market risk and liquidity risk are particularly pronounced for securities of these companies.

• MANAGEMENT AND OPERATIONAL RISK. The Fund is subject to management risk because it relies on the Manager’s ability to achieve its investment objective. The Fund runs the risk that the Manager’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. The Manager also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.

The Manager’s portfolio managers may use quantitative analyses and models. Any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund’s strategies. By necessity, these analyses and models make simplifying assumptions that limit their effectiveness. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate or may not include the most recent information about a company or a security. The Fund also runs the risk that GMO’s assessment of an investment may be wrong. There can be no assurance that key personnel of the Manager will continue to be employed by the Manager. The loss of their services could have an adverse impact on the Manager’s ability to achieve the Fund’s investment objective.

The Fund also is subject to the risk of loss as a result of other services provided by the Manager and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error and system failures by a service provider. For example, trading delays or errors (both human and systematic) could prevent the Fund from benefiting from potential investment gains or avoiding losses on the security. The Manager is not contractually liable to the Fund for losses associated with operational risk absent the Manager’s willful misfeasance, bad faith, gross negligence or reckless disregard of its contractual obligations to provide services to the Fund. Other Fund service providers also have limitations on their liability to the Fund for losses resulting from their errors.

• LIQUIDITY RISK. Liquidity risk is the risk that low trading volume, lack of a market maker, large position size or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits or prevents the Fund from selling particular securities or unwinding derivative positions at desirable prices. In addition to these risks, the Fund is exposed to liquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). Because the Fund’s principal investment strategies may involve investment in asset-backed securities, emerging country debt securities, securities of companies with smaller market capitalizations or smaller total float-adjusted market capitalizations and emerging market securities, the Fund has increased exposure to liquidity risk. These types of investments can be difficult to value, exposing the Fund to the risk that the price at which it sells them will be less than the value placed on them when they were held by the Fund. In addition, TIPS have exhibited periods of greatly reduced liquidity when disruptions in fixed income markets have occurred, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when market prices decline generally.

• DERIVATIVES RISK. The Fund may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices. Derivatives involve the risk that the changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. Derivatives include futures, non-U.S. currency contracts, swap agreements, reverse repurchase agreements and other OTC contracts. Derivatives may relate to securities, interest rates, currencies or currency exchange rates, inflation rates, commodities and indices.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks of investing directly in securities and other more traditional assets. In particular, the Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed only with the consent of the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed to it under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., non-U.S. currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations

are not fully secured by collateral, the Fund runs the risk of having limited recourse if the counterparty defaults. Even when obligations are required by contract to be collateralized, the Fund often will not receive the collateral the day the collateral is called for. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. In addition, during those periods, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives in which it has invested.

Derivatives also present other risks described in this section, including market risk, liquidity risk, currency risk, credit risk and counterparty risk. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values the Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

The Fund’s use of derivatives may be subject to one or more special tax rules and could generate additional taxable income for shareholders.

Swap agreements and other OTC derivatives are highly susceptible to liquidity risk (see “Liquidity Risk” above) and counterparty risk (see “Counterparty Risk” below), and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself.

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. Because the legislation leaves much to rule making (and many of the rules are not yet final), its ultimate impact remains unclear.

Under recently adopted rules and regulations, transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Fund is not a member of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Fund will hold cleared derivatives through accounts at clearing members. In cleared derivatives transactions, the Fund will make payments (including margin payments) to and receive payments from a clearing house through its accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.

In many ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements. For example, the Fund may be required to provide more margin for cleared derivatives transactions than for bilateral derivatives transactions. Also, in contrast to a bilateral derivatives transaction, following a period of notice to the Fund, a clearing member generally can require termination of an existing cleared derivatives transaction at any time or an increase in margin requirements above the margin that the clearing member required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions or to terminate those transactions at any time. Any increase in margin requirements or termination of existing cleared derivatives transactions by the clearing member or the clearing house could interfere with the ability of the Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose the Fund to greater credit risk to its clearing member, because (as described under “Counterparty Risk” below) margin for cleared derivatives transactions in excess of a clearing house’s margin requirements typically is held by the clearing member. Also, the Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Fund and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Fund is still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of the transaction, including loss of an increase in the value of the transaction and/or loss of hedging protection. In addition, the documentation governing the relationship between the Fund and clearing members is drafted by the clearing members and generally is less favorable to the Fund than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Fund in favor of the clearing member for losses the clearing member incurs as the Fund’s clearing member and typically does not provide the Fund any remedies if the clearing member defaults or becomes insolvent.

These and other new rules and regulations could, among other things, further restrict the Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund, increasing margin or capital requirements, or otherwise limiting liquidity or increasing transaction costs. These regulations are new and evolving, so their potential impact on the Fund and the financial system are not yet known. While the new regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that the new clearing mechanisms will achieve that result, and in the meantime, as noted above, central clearing exposes the Fund to new kinds of risks and costs.

• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of the Fund’s investments. Currency risk includes the risk that the non-U.S. currencies in which the Fund’s investments are traded, in which the Fund receives income, or in which the Fund has taken a position, will decline in value relative to the U.S. Dollar. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss both on the hedging instrument and on the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons, including changes in supply and demand in the currency exchange markets, trade balances, actual or perceived changes in interest rates, differences in relative values of similar assets in different currencies, long-term opportunities for investment and capital appreciation, intervention (or the failure to intervene) by governments, central banks or supranational agencies such as the International Monetary Fund, and currency or exchange controls or other political and economic developments in the U.S. or abroad. See “Market Disruption and Geopolitical Risk” below.

The Fund may use derivatives to take overweighted or underweighted currency positions relative to the currency exposure of its portfolio. If the exchange rates of the currencies involved do not move as expected, the Fund could lose money both on its holdings of a particular currency and on the derivative. See also “Non-U.S. Investment Risk” above.

Some currencies are illiquid (e.g., some emerging country currencies), and the Fund may not be able to convert them into U.S. Dollars, in which case the Manager may decide to purchase U.S. Dollars in a parallel market in which the exchange rate is materially and adversely different. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.

Derivative transactions in non-U.S. currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described below under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk” below).

• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer’s, guarantor’s or obligor’s failure to meet its payment obligations or the downgrading of its credit rating. This risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

All fixed income securities are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending upon whether the issuer is a corporation or U.S. or non-U.S. government (or sub-division or instrumentality) and whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the life of a fixed income security. U.S. government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the United States, supported by

the ability to borrow from the U.S. Treasury, supported only by the credit of the issuing U.S. government agency, instrumentality, or corporation, or otherwise supported by the United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign debt involve the risk that the governmental entities responsible for repayment may be unable or unwilling to pay interest and repay principal when due. A governmental entity’s willingness or ability to pay interest and repay principal in a timely manner may be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. In addition, payment of principal of fixed income securities guaranteed by the U.S. government can be delayed because the guarantee generally only requires payment upon maturity of the securities. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer may default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued by emerging countries.

In some cases, the credit risk of a fixed income security is reflected in its credit ratings, and if the Fund holds such a security, the Fund is subject to the risk that the security’s rating will be downgraded.

Securities issued by the U.S. Treasury historically have presented minimal credit risk. However, recent events have led to a downgrade in the long-term U.S. credit rating by at least one major rating agency and have introduced greater uncertainty about the ability of the U.S. to repay its obligations. A further credit rating downgrade or a U.S. credit default could decrease the value and increase the volatility of the Fund’s investments.

As described under “Market Risk — Asset-Backed Securities” below, asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors, as described in “Market Risk — Asset-Backed Securities” below.

The obligations of issuers also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. The Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives Risk” above for more information regarding risks associated with the use of credit default swaps.

The extent to which the market price of a fixed income security changes in response to a credit event depends on a number of factors and can be difficult to predict. For example, floating rate securities may have final maturities of ten or more years, but their effective durations will tend to be very short. If the issuer of floating rate securities experiences an adverse credit event, or a change occurs in its perceived creditworthiness, the market price of its securities could decline much more than would be predicted by a change in their yield relative to their effective duration.

Credit risk is particularly pronounced for below investment grade securities (commonly referred to as “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many asset-backed securities also are below investment grade. Below investment grade securities have speculative characteristics, often are less liquid than higher quality securities, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. In the event of default of sovereign debt, the Fund may be unable to pursue legal action against the sovereign issuer.

Market Risk — Asset-Backed Securities. — Investments in asset-backed securities not only are subject to all of the market risks described above for fixed income securities but to other market risks as well.

Funds investing in asset-backed securities are exposed to the risk that these securities experience severe credit downgrades, illiquidity, defaults, and declines in market value. These risks are particularly acute during periods of adverse market conditions, such as those that occurred in 2008. Asset-backed securities may be backed by many types of assets, including pools of residential and commercial mortgages, automobile loans, educational loans, home equity loans, and credit-card receivables. They also may be backed by pools of corporate or sovereign bonds, bank loans made to corporations, or a combination of these bonds and loans (commonly referred to as “collateralized debt obligations” or “collateralized loan obligations”) and by the fees earned by service providers.

As described under “Market Risk — Fixed Income Investments Risk” above, the market price of fixed income investments with complex structures, such as asset-backed securities, can decline due to a number of factors, including market uncertainty about their credit quality and the reliability of their payment streams. Payment of interest on asset-backed securities and repayment of principal largely depend on the cash flow generated by the assets backing the securities, as well as the deal structure (e.g., determination as to the amount of underlying assets or other support needed to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support and the credit quality of the credit-support provider, if any, and the reliability of various other service providers with access to the payment stream. A problem in any one of these areas can lead to a reduction in the payment stream the Manager expected the Fund to receive at the time the Fund purchased the asset-backed security. Asset-backed securities involve risk of loss of principal if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities may have. Asset-backed securities backed by sub-prime mortgage loans, in particular, may cause the Fund to suffer significantly greater declines in value due to defaults, as sub-prime mortgage loans are typically made to less creditworthy borrowers and thus have a higher risk of default than conventional mortgage loans. The obligations of issuers (and obligors of asset-backed securities) also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. See “Credit Risk” above for more information about credit risk.

With the deterioration of worldwide economic and liquidity conditions that occurred and became acute in 2008, the markets for asset-backed securities became fractured, and uncertainty about the creditworthiness of those securities (and underlying assets) caused credit spreads (the difference between yields on asset-backed securities and U.S. Government securities) to widen dramatically. Concurrently, systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions reduced the ability of financial institutions to make markets in many fixed income securities. These events reduced liquidity and contributed to substantial declines in the market prices of asset-backed and other fixed income securities. These conditions may occur again. Also, government actions and proposals affecting the terms of underlying home and consumer loans, changes in demand for products (e.g., automobiles) financed by those loans, and the inability of borrowers to refinance existing loans (e.g., sub-prime mortgages) have had, and may continue to have, adverse valuation and liquidity effects on asset-backed securities.

The market price of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying assets. The insolvency of an entity that generated the assets underlying an asset-backed security is likely to result in a decline in the market price of that security, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and the Fund may be unable to invest prepayments at as high a yield as was provided by the asset-backed security. When interest rates rise, these obligations also may be repaid more slowly than anticipated, which could cause the market price of the Fund’s investment to decrease.

In addition, the existence of insurance on an asset-based security does not guarantee that the principal and/or interest will be paid because the insurer could default on its obligations. In recent years, a significant number of asset-backed security insurers have defaulted on their obligations.

The risk of investing in asset-backed securities has increased since the deterioration in worldwide economic and liquidity conditions referred to above because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated. See “Focused Investment Risk” below for more information about risks of investing in correlated sectors. A single financial institution may serve as a trustee for many asset-backed securities. As a result, a disruption in that institution’s business may have a material impact on many investments.

• COUNTERPARTY RISK. To the extent the Fund enters into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or lends its securities, it runs the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise hold investments it would prefer to sell, resulting in losses for the Fund. The Fund is not subject to any limits on its exposure to any one counterparty nor to a requirement that counterparties maintain a specific rating by a nationally recognized rating organization to be considered for potential transactions. To the extent that GMO’s view with respect to a particular counterparty changes (whether due to external events or otherwise), existing transactions are not required to be terminated or modified. Additionally, new transactions may be entered into with a counterparty that is no longer considered eligible if the transaction is primarily designed to reduce the overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lesser notional amount). Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose the Fund to greater counterparty risk than exchange-traded derivatives. The Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to the Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies, but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time that events may occur that prevent settlement. Counterparty risk also is greater when the Fund has concentrated its derivatives with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Significant exposure to a single counterparty increases the Fund’s counterparty risk. To the extent the Fund uses swap agreements, it is subject, in particular, to the creditworthiness of the counterparties because some types of swap agreements have durations longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be promptly posted as required.

The Fund also is subject to counterparty risk because it executes its securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or be unable to dispose of investments it would prefer to sell, resulting in losses for the Fund.

Counterparty risk with respect to derivatives will be affected by new rules and regulations affecting the derivatives market. As described under “Derivatives Risk” above, some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position, rather than the credit risk of its original counterparty to the derivatives transaction. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. A clearing member is obligated by contract and by applicable regulation to segregate all funds received from customers with respect to cleared derivatives transactions from the clearing member’s proprietary assets. However, all funds and other property received by a clearing member from its customers with respect to cleared derivatives are generally held by the clearing member on a commingled basis in an omnibus account, and the clearing member may invest those funds in certain instruments permitted under the applicable regulations. Therefore, the Fund might not be fully protected in the event of the bankruptcy of the Fund’s clearing member because the Fund would be limited to recovering only a pro rata share of all available funds segregated on behalf of the clearing member’s customers for a relevant account class. Also, the clearing member is required to transfer to the clearing house the amount of margin required by the clearing house for cleared derivatives, which amounts are generally held in an omnibus account at the clearing house for all customers of the clearing member. Regulations promulgated by the Commodities Futures Trading Commission require that the clearing member notify the clearing house of the initial margin provided by the clearing member to the clearing house that is attributable to each customer. However, if the clearing member does not accurately report the Fund’s initial margin, the Fund is subject to the risk that a clearing house will use the Fund’s assets held in an omnibus account at the clearing house to satisfy payment obligations of a defaulting customer of the clearing member to the clearing house. In addition, clearing members generally provide the clearing house the net amount of variation margin required for cleared swaps for all of its customers in the aggregate, rather than individually for each customer. The Fund is therefore subject to the risk that a clearing house will not make variation margin payments owed to the Fund if another customer of the clearing member has suffered a loss and is in default, and the risk that the Fund will be required to provide additional variation margin to the clearing house before the clearing house will move the Fund’s cleared derivatives transactions to another clearing member. In addition, if a clearing member does not comply with the applicable regulations or its agreement with the Fund, or in the event of fraud or misappropriation of customer assets by a clearing member, the Fund could have only an unsecured creditor claim in an insolvency of the clearing member with respect to the margin held by the clearing member.

• LEVERAGING RISK. The use of reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., the Fund’s investment exposures exceed its net asset value). Leverage increases the Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives have the potential for unlimited loss, regardless of the size of the initial investment. The Fund’s use of reverse repurchase agreements also subjects it to interest costs based on the difference between the sale and repurchase price of the security involved. The Fund’s portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.

The Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, the Fund may perform as if it were leveraged.

• OPTIONS RISK. The market price of options written by the Fund will be affected by many factors, including changes in the market price or dividend rates of underlying securities (or in the case of indices, the securities comprising such indices); changes in interest rates or exchange rates; changes in the actual or perceived volatility of the relevant stock market and underlying securities; and the time remaining before an option’s expiration. The market value of an option also may be adversely affected if the market for the option is reduced or becomes less liquid. In addition, since an American style option allows the holder to exercise its rights any time prior to expiration of the option, the writer of an American style option has no control over the time when it may be required to fulfill its obligations as a writer of the option. (This risk is not present when writing a European style option because the holder may only exercise the option on its expiration date.) If the Fund writes a call option and does not hold the underlying security or instrument, the amount of the Fund’s potential loss is theoretically unlimited.

National securities exchanges generally have established limits on the maximum number of options an investor or group of investors acting in concert may write. The Fund, the Manager, and other funds advised by the Manager may constitute such a group. These limits could restrict the Fund’s ability to purchase or write options on a particular security.

Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (i.e., options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While the Fund has greater flexibility to tailor an OTC option, OTC options generally expose the Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary market risks.

• REAL ESTATE RISK. To the extent the Fund concentrates its assets in real estate-related investments, the value of its portfolio is subject to factors affecting the real estate industry and may fluctuate more than the value of a portfolio that consists of securities of companies in a broader range of industries. Factors affecting real estate values include the supply of real property in particular markets, overbuilding, changes in zoning laws, casualty or condemnation losses, delays in completion of construction, changes in real estate values, changes in operating costs and property taxes, levels of occupancy, adequacy of rent to cover operating costs, possible environmental liabilities, regulatory limitations on rent, fluctuations in rental income, increased competition and other risks related to local and regional market conditions. The value of real estate-related investments also may be affected by changes in interest rates, macroeconomic developments, and social and economic trends. For instance, during periods of declining interest rates, some mortgage REITs may hold mortgages that the mortgagors elect to prepay, which prepayment may reduce the yield on securities issued by those REITs. Some REITs have relatively small market capitalizations, which can tend to increase the volatility of the market price of their securities. REITs are subject to the risk of fluctuations in income from underlying real estate assets, their inability to manage effectively the cash flows generated by those assets, prepayments and defaults by borrowers, and their failure to qualify for the special tax treatment granted to REITs under the Internal Revenue Code of 1986, as amended, or to maintain their exemption from investment company status under the Investment Company act of 1940, as amended (the “1940 Act”).

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Fund is subject to the risk that geopolitical and other events will disrupt securities markets, adversely affect global economies and markets and thereby decrease the value of the Fund’s investments. The wars in Iraq and Afghanistan have had a substantial effect on the economies and securities markets of the U.S. and other countries. Terrorism in the U.S. and around the world has had a similar global impact and has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation (e.g., the potential manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trade practices, which could disrupt the orderly functioning of these markets or adversely affect the value of investments traded in these markets, including investments of the Fund. While the U.S. government has honored its credit obligations continuously for the last 200 years, it remains possible that the U.S. could default on its obligations. While it is impossible to predict the consequences of such an unprecedented event, it is likely that a default by the U.S. would be highly disruptive to the U.S. and global securities markets and could significantly impair the value of the Fund’s investments. Similarly, political events within the U.S. at times have resulted, and may in the future result, in a shutdown of government services, which could negatively affect the U.S. economy, decrease the value of many Fund investments, and increase uncertainty in or impair the operation of the U.S. or other securities markets. The uncertainty surrounding the sovereign debt of a significant number of European Union countries, as well as the continued existence of the European Union itself, have disrupted and may continue to disrupt markets in the U.S. and around the world. If one or more countries leave the European Union or the European Union dissolves, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls), also could negatively impact the Fund. War, terrorism, economic uncertainty and related geopolitical events have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment and other factors affecting the value of the Fund’s investments. During such market disruptions, the Fund’s exposure to the risks described elsewhere in this “Investments and other risk” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Fund from implementing its investment programs for a period of time and achieving its investment objectives. For example, a market disruption may

adversely affect the orderly functioning of the securities markets and may cause the Fund’s derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates or indices, or to offer them on a more limited basis. To the extent that the Fund has focused its investments in the stock index of particular region, adverse geopolitical and other events could have a disproportionate impact on the Fund.

• SHORT SALES RISK. The Fund may use short sales in its investment programs in an attempt to increase its returns or for hedging purposes.

In implementing its principal investment strategies, the Fund is permitted to engage in short sales of securities or currencies that it does not own. To do so, the Fund borrows a security (e.g., shares of an exchange-traded fund (“ETF”)) or currency from a broker and sells it to a third party. This type of short sale exposes the Fund to the risk that it will be required to acquire, convert, or exchange securities or currencies to replace the borrowed securities at a time when the securities or currencies sold short have appreciated in value, thus resulting in a loss to the Fund. If the Fund engages in short sales of securities or currencies it does not own, it may have to pay a premium to borrow the securities or currencies and must pay to the lender any dividends or interest it receives on the securities or currencies while they are borrowed. In addition, purchasing securities or currencies to close out a short position can itself cause the price of the securities or currencies to rise further, thereby exacerbating any losses.

Short sales of securities or currencies the Fund does not own involve a form of investment leverage, and the amount of a Fund’s potential loss is theoretically unlimited. The Fund is subject to increased leveraging risk and other investment risks described in this “Investments and other risks” section to the extent it sells short securities or currencies it does not own.

• FOCUSED INVESTMENT RISK. Funds whose investments are focused in particular countries, regions, sectors, companies or industries with high positive correlations to one another (e.g., different industries within broad sectors, such as technology or financial services), or in securities from issuers with high positive correlations to one another (such as GMO U.S. Treasury Fund’s investments in securities issued by the U.S. Treasury and other fixed income securities that are backed by the full faith and credit of the U.S. government), are subject to greater overall risk than funds whose investments are more diversified. To the extent the Fund invests in the securities of a limited number of issuers, it is particularly exposed to adverse developments affecting those issuers, and a decline in the market price of a particular security held by the Fund is likely to affect the Fund’s performance more than if the Fund invested in the securities of a larger number of issuers.

To the extent the Fund focuses its investments in a particular type of security or sector, or in securities of companies in a particular industry, it is vulnerable to events affecting those securities, sectors, or companies. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments. See also “Real Estate Risk” above.

Similarly, to the extent the Fund has a significant portion of its assets in investments tied economically to a particular geographic region, non-U.S. country or particular market (e.g., emerging markets), it has more exposure to regional and country economic risks than funds making non-U.S. investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in currency valuation in one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk” above.

• LARGE SHAREHOLDER RISK. To the extent that a large number of shares of the Fund are held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g. GMO asset allocation accounts), the Fund is subject to the risk that a redemption by that shareholder of all or a large portion of its Fund shares will adversely affect the Fund’s performance if it is forced to sell portfolio securities to raise the cash needed to satisfy the redemption request. In addition, GMO Funds and other accounts over which GMO has investment discretion that invest in the Fund are not subject to restrictions on the frequency of trading of Fund shares. Asset allocation decisions by the Manager may result in substantial redemptions from (or investments in) the Fund. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) at times when it would not otherwise do so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, accelerate the realization of taxable gains to shareholders. In addition, to the extent the Fund invests in other GMO Funds subject to large shareholder risk, it is indirectly subject to this risk.

• FUND OF FUNDS RISK AND RELATED CONSIDERATIONS. The Fund may invest in shares of other investment companies, including other GMO Funds, money market funds and ETF (for purposes of this risk disclosure, “underlying Funds”), and is exposed to the risk that the underlying Funds will not perform as expected.

Because the Fund bears the fees and expenses of the underlying Funds in which it invests (absent reimbursement of those expenses), the Fund will incur additional expenses when investing in underlying Funds. In addition, total Fund expenses will increase if the Fund makes a new or further investment in underlying Funds with higher fees or expenses than the average fees and expenses of the underlying Funds then in the Fund’s portfolio.

The Fund also is indirectly exposed to all of the risks of an investment in the underlying Funds.

Investments in ETFs involve the risk that the ETF’s performance may not track the performance of the index the ETF is designed to track. Unlike the index, an ETF incurs administrative expenses and transaction costs in trading securities. In addition, the timing and magnitude of cash inflows and outflows from and to investors buying and redeeming shares in the ETF could create cash balances that cause the ETF’s performance to deviate from the index (which remains “fully invested” at all times). Performance of an ETF and the index it is designed to track also may diverge because the composition of the index and the securities held by the ETF may occasionally differ. In addition, ETFs often use derivatives to track the performance of the relevant index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed above.

• NON-DIVERSIFIED FUNDS. The Fund is a “non-diversified investment company” under the 1940 Act. This means that it is allowed to invest in the securities of a relatively small number of issuers and/or non-U.S. currencies. As a result, it may be subject to greater credit, market and other risks, and poor performance by a single issuer may have a greater impact on its performance, than if it was “diversified.”

Temporary Defensive Positions. The Fund normally does not take temporary defensive positions. To the extent the Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.

Derivative financial instruments

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap agreements, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as substitutes for direct investment in securities or other assets. For example, the Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Fund also may use currency derivatives (including forward currency contracts, futures contracts, swap agreements and options) to gain exposure to a given currency.

The Fund may use derivatives in an attempt to reduce its investment exposures (which may result in a reduction below zero). The Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if the Fund holds a large proportion of stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting its investment exposure, the Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

The Fund may use derivatives to effect transactions intended as substitutes for securities lending.

The Fund is not limited in its use of derivatives or in the absolute face value of its derivative positions. As a result of its derivative positions, the Fund may have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and therefore is subject to heightened risk of loss. The Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

The Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

Certain derivatives transactions used by the Fund, including certain interest rate swaps and certain credit default index swaps, will be required to be cleared. The Fund will hold cleared derivatives transactions through clearing members, who are futures commission merchants who are members of derivatives clearing houses. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing members generally can require termination of existing cleared derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of the Fund to pursue its investment strategy. Also, the Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investments and other risks” above for further information.

The Fund held derivatives during the period ended May 31, 2013. The following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use
Forward currency contracts
Adjust exposure to foreign currencies	X
To manage against anticipated currency exchange rate changes	X
Futures contracts
Adjust exposure to certain securities markets	X
Maintain the diversity and liquidity of the portfolio	X
Options (Written)
Used written put option contracts as substitute for direct equity investments	X
Swap agreements
Adjust exposure to certain securities markets	X
Adjust exposure to certain companies and industries	X
To hedge some or all of the broad market exposure of the assets in which the Fund invests	X
Rights and/or warrants
Received as a result of corporate actions	X

Forward currency contracts

The Fund may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked to market daily using rates supplied by a quotation service and changes in value are recorded by the Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.

Options

The Fund may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. By purchasing options the Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. The Fund pays a premium for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.

The Fund may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies it owns or in which it may invest. Writing options alters the Fund’s exposure to the underlying asset by, in the case of a call option, obligating the Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating the Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, the Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that the Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.

When an option contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed.

For the period ended May 31, 2013, investment activity in options contracts written by the Fund was as follows:

	Puts						Calls
	Principal Amount of Contracts		Number of Contracts		Premiums		Principal Amount of Contracts		Number of Contracts		Premiums
Outstanding, beginning of year		—		4,383		$3,763,138		—		—		$        —
Options written		—		17,544		17,425,662		—		—		—
Options bought back		—		(5,131)		(4,289,718)		—		—		—
Options expired		—		(10,510)		(10,621,634)		—		—		—
Options exercised		—		(29)		(140,502)		—		—		—
Outstanding, end of year		—		6,257		$6,136,946		—		—		$        —

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap agreements are net settled. When entering into a swap agreement and during the term of the transaction, the Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Initial upfront payments received or made upon entering into a swap agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or loss.

Interest rate swap agreements involve an exchange by the parties of their respective commitments to pay or right to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal).

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

The values assigned to swap agreements may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the values assigned to the swap agreement. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that any collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap agreements outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.

As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation / (depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Fund (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.

The following is a summary of the fair valuations of derivative instruments categorized by risk exposure:

Fair Values of Derivative Instruments as of May 31, 2013:

	Credit Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Asset:
Investments (rights and/or warrants)	$	—	$	9,309		$	—		$	—	$	—	$	9,309
Unrealized Appreciation on Forward Currency Contracts		—		—			42,314,620			—		—		42,314,620
Unrealized Appreciation on Futures Contracts*		—		1,925,560			—			—		—		1,925,560
Total	$	—	$	1,934,869		$	42,314,620		$	—	$	—	$	44,249,489
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(412,986	)	$	—	$	—	$	(412,986	)
Unrealized Depreciation on Futures Contracts*		—		(1,905,581	)		—			—		—		(1,905,581	)
Written Options		—		(12,652,230	)		—			—		—		(12,652,230	)
Total	$	—	$	(14,557,811	)	$	(412,986	)	$	—	$	—	$	(14,970,797	)

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.

* The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments.

The average volume of derivative activity, based on absolute values (forward currency contracts, futures contracts, rights and/or warrants), notional amounts (swap agreements) or principal amounts (options) outstanding at each month-end, was as follows for the period ended May 31, 2013:

Forward Currency Contracts ($)	Futures Contracts ($)	Swap Agreements ($)	Options ($)	Rights/ Warrants ($)
2,158,667,835	106,482,712	11,163,152	118,078	264,172

For additional information regarding the Fund, please see the Fund’s most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.

Item 2. Controls and Procedures.

(a) The registrant’s Principal Executive Officer and Principal Financial Officer have concluded as of a date within 90 days of the filing of this report, based on their evaluation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) that the design and operation of such procedures are effective to provide reasonable assurance that information required to be disclosed by the registrant on Form N-Q is recorded, processed, summarized, and reported within the time periods specified in the Commission’s rules and forms.

(b) (1) The Registrant implemented a new accounting system on May 6, 2013. The new system allows for further automation of certain processes.

(b) (2) Except as described in the prior paragraph, there were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s last fiscal quarter that has materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

The certifying officers express no view as to whether the changes in paragraph (b)(1) were material.

Item 3. Exhibits.

Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto as EX- 99.CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) GMO Trust
By (Signature and Title):	/s/ J.B. Kittredge
	J.B. Kittredge, Chief Executive Officer
Date: July 30, 2013

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title):	/s/ J.B. Kittredge
	J.B. Kittredge, Principal Executive Officer
Date: July 30, 2013
By (Signature and Title):	/s/ Sheppard N. Burnett
	Sheppard N. Burnett, Principal Financial Officer
Date: July 30, 2013