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)

Sheppard N. Burnett, 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: 02/28/19

Date of reporting period: 11/30/18

Item 1. Schedule of Investments.

The Schedules of Investments for each series of the registrant for the period ended November 30, 2018 are filed herewith.

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 92.5%
		U.S. Government — 85.4%
	42,935,969	U.S. Treasury Inflation Indexed Bond, 0.63%, due 04/15/23 (a)		42,126,447
	23,591,663	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (a)		22,524,982
	63,856,760	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (a)		62,038,339
	54,743,370	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (a)		51,816,596
	30,366,458	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (a)		28,859,206
	59,003,875	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (a)		62,444,231
	42,122,879	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (a)		47,756,814
	2,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.00%, 2.38%, due 01/31/20		2,500,769
	6,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.42%, due 04/30/20 (b)		6,002,240
	5,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.43%, due 10/31/20		4,999,606
		Total U.S. Government		331,069,230
		U.S. Government Agency — 7.1%
	9,500,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.24%, 2.09%, due 03/06/19		9,498,965
	18,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.21%, 2.41%, due 02/10/20		17,988,003
		Total U.S. Government Agency		27,486,968
		TOTAL DEBT OBLIGATIONS (COST $368,378,436)		358,556,198

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 2.9%
		United States — 2.9%
		Affiliated Issuers — 2.9%
	443,625	GMO U.S. Treasury Fund		11,081,760
		TOTAL MUTUAL FUNDS (COST $11,077,337)		11,081,760
		SHORT-TERM INVESTMENTS — 4.3%
		Foreign Government Obligations — 3.8%
JPY	1,682,000,000	Japan Treasury Discount Bill, Zero Coupon, due 01/15/19		14,821,292
		Money Market Funds — 0.5%
	2,101,650	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 2.16% (c)		2,101,650
		TOTAL SHORT-TERM INVESTMENTS (COST $16,905,006)		16,922,942
		TOTAL INVESTMENTS — 99.7% (COST $396,360,779)		386,560,900
		Other Assets and Liabilities (net) — 0.3%		1,165,133
		TOTAL NET ASSETS — 100.0%		$387,726,033

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2018 (Unaudited)

A summary of outstanding financial instruments at November 30, 2018 is as follows:

Forward Currency Contracts

Settlement Date		Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depre- ciation) ($)
	02/05/2019	MSCI		AUD      14,610,000		USD    10,510,653		(179,376	)
	12/03/2018	GS		CAD        1,596,630		USD      1,230,000		28,306
	12/03/2018	JPM		CAD        4,148,899		USD      3,123,936		1,293
	01/14/2019	MSCI		CHF      15,448,277		USD    15,703,315		167,838
	01/24/2019	MSCI		CLP    910,455,000		USD      1,342,359		(13,807	)
	01/24/2019	JPM		COP 2,102,940,000		USD         660,000		11,349
	12/13/2018	BOA		CZK      21,914,950		USD         980,000		24,840
	12/13/2018	DB		CZK      16,111,707		USD         720,000		17,774
	12/19/2018	MSCI		EUR        2,720,000		USD      3,190,363		106,621
	02/13/2019	BCLY		GBP           730,000		USD         956,054		22,209
	02/13/2019	MSCI		GBP        3,700,000		USD      4,845,798		112,611
	12/13/2018	BCLY		HUF    351,558,900		USD      1,260,000		29,501
	12/13/2018	BOA		HUF      84,189,060		USD         300,000		5,328
	12/12/2018	MSCI		IDR 9,926,551,000		USD         670,000		(22,062	)
	01/28/2019	BOA		ILS        4,329,616		USD      1,171,718		2,523
	12/07/2018	BCLY		JPY      47,644,009		USD         430,000		10,198
	12/07/2018	GS		JPY    156,195,365		USD      1,390,000		13,727
	01/15/2019	GS		JPY 1,682,000,000		USD    14,886,840		7,205
	02/08/2019	MSCI		KRW 1,509,367,500		USD      1,341,183		(9,116	)
	01/07/2019	JPM		NOK      14,947,473		USD      1,770,000		27,888
	12/05/2018	JPM		NZD           710,000		USD         469,921		(18,141	)
	12/05/2018	MSCI		NZD        1,480,000		USD         958,581		(58,788	)
	12/05/2018	MSCI		NZD        5,490,000		USD      3,637,921		(135,968	)
	01/24/2019	MSCI		PEN           943,880		USD         280,000		1,330
	02/06/2019	BOA		PHP      20,207,550		USD         377,288		(6,505	)
	12/13/2018	BOA		PLN        2,972,320		USD         800,000		15,822

Settlement Date		Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depre- ciation) ($)
	12/13/2018	DB		PLN    1,093,953		USD             290,000		1,386
	01/28/2019	BOA		RON    4,739,670		USD          1,153,766		395
	02/05/2019	BCLY		SEK    8,342,147		USD             930,000		8,119
	01/14/2019	BCLY		SGD       466,853		USD             340,948		380
	12/13/2018	BOA		THB    9,191,728		USD             280,000		450
	02/13/2019	JPM		TWD  32,400,900		USD          1,065,118		8,388
	12/03/2018	GS		USD    4,413,279		CAD          5,745,529		(88,942	)
	12/05/2018	GS		USD       524,325		NZD             810,000		32,479
	12/05/2018	MSCI		USD    1,187,597		NZD          1,740,000		8,499
	12/07/2018	JPM		USD    2,905,097		JPY      323,443,052		(55,167	)
	12/12/2018	BCLY		USD    1,560,000		IDR 23,925,720,000		108,058
	12/13/2018	DB		USD       370,000		PLN          1,407,748		1,402
	12/19/2018	BCLY		USD    2,136,831		EUR          1,860,000		(28,097	)
	01/07/2019	JPM		USD    9,920,422		NOK        80,929,312		(488,197	)
	01/16/2019	BCLY		USD    1,767,747		TRY          9,849,905		75,270
	01/24/2019	MSCI		USD       279,139		PEN             943,880		(469	)
	02/04/2019	MSCI		USD       390,000		BRL          1,455,987		(14,823	)
	02/05/2019	BCLY		USD  11,059,754		SEK        99,347,005		(81,029	)
	02/11/2019	BCLY		USD       330,000		RUB        21,987,900		(4,979	)
	02/11/2019	BOA		USD    1,332,016		RUB        88,679,650		(21,171	)
	02/20/2019	BCLY		USD       693,020		INR        50,347,880		22,788
	02/21/2019	JPM		USD       901,823		MXN        18,520,742		(2,920	)
	03/04/2019	JPM		USD    3,130,342		CAD          4,148,899		(1,223	)
							$	(356,803	)

Reverse Repurchase Agreements

Average balance outstanding	$	(41,051,668	)
Average interest rate		0.25	%
Maximum balance outstanding	$	(41,051,668	)

Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements. Average interest rate was calculated based on interest received and/or paid during the period that the Fund had entered into the reverse repurchase agreements. The Fund had no reverse repurchase agreements outstanding at the end of the period.

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives		Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month NZD Bank Bill Rate		2.64%	NZD	35,890,000		12/19/2023	Semi-Annually		(12,545	)		226,536			239,081
3 Month CAD LIBOR		2.90%	CAD	5,188,000		12/18/2028	Semi-Annually		—			53,714			53,714
3 Month CAD LIBOR		2.95%	CAD	33,814,000		12/18/2028	Semi-Annually		(32,603	)		458,824			491,427
3 Month CAD LIBOR		2.85%	CAD	889,000		12/18/2028	Semi-Annually		—			6,286			6,286
3 Month CAD LIBOR		2.94%	CAD	4,275,000		12/18/2028	Semi-Annually		—			55,144			55,144
3 Month CAD LIBOR		2.94%	CAD	5,630,000		12/18/2028	Semi-Annually		—			70,737			70,737
3 Month CAD LIBOR		2.74%	CAD	4,143,000		12/18/2028	Semi-Annually		—			(2,344	)		(2,344	)
2.82%		3 Month CAD LIBOR	CAD	4,214,000		12/18/2028	Semi-Annually		—			(20,199	)		(20,199	)
2.77%		6 Month AUD BBSW	AUD	6,042,000		12/19/2028	Semi-Annually		—			4,402			4,402
6 Month AUD BBSW		2.91%	AUD	6,081,000		12/19/2028	Semi-Annually		—			52,820			52,820
2.79%		6 Month AUD BBSW	AUD	8,018,000		12/19/2028	Semi-Annually		—			(3,132	)		(3,132	)

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2018 (Unaudited)

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives		Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
2.94%		6 Month AUD BBSW	AUD	58,704,000		12/19/2028	Semi-Annually		8,981			(621,993	)		(630,974	)
2.97%		6 Month AUD BBSW	AUD	3,995,000		12/19/2028	Semi-Annually		—			(51,271	)		(51,271	)
6 Month CHF LIBOR		0.50%	CHF	5,685,000		12/19/2028	Annually		(5,029	)		53,382			58,411
6 Month CHF LIBOR		0.60%	CHF	3,102,000		12/19/2028	Annually		—			61,544			61,544
0.64%		6 Month CHF LIBOR	CHF	3,715,000		12/19/2028	Annually		—			(86,771	)		(86,771	)
0.43%		6 Month CHF LIBOR	CHF	2,807,000		12/19/2028	Annually		—			(6,614	)		(6,614	)
3 Month NZD Bank Bill Rate		3.05%	NZD	37,179,000		12/19/2028	Semi-Annually		(54,060	)		328,935			382,995
3 Month NZD Bank Bill Rate		3.09%	NZD	1,112,000		12/19/2028	Semi-Annually		—			12,678			12,678
3 Month NZD Bank Bill Rate		3.09%	NZD	1,653,000		12/19/2028	Semi-Annually		—			18,350			18,350
3 Month NZD Bank Bill Rate		3.08%	NZD	1,335,000		12/19/2028	Semi-Annually		—			14,459			14,459
3 Month NZD Bank Bill Rate		3.08%	NZD	2,733,000		12/19/2028	Semi-Annually		—			29,107			29,107
3 Month NZD Bank Bill Rate		3.06%	NZD	2,960,000		12/19/2028	Semi-Annually		—			27,967			27,967
3 Month SEK STIBOR		1.38%	SEK	11,799,000		12/19/2028	Annually		—			28,352			28,352
3 Month SEK STIBOR		1.24%	SEK	26,156,500		12/19/2028	Annually		—			23,584			23,584
3 Month SEK STIBOR		1.23%	SEK	26,156,500		12/19/2028	Annually		—			21,517			21,517
3 Month SEK STIBOR		1.20%	SEK	31,603,000		12/19/2028	Annually		—			17,840			17,840
1.29%		3 Month SEK STIBOR	SEK	37,711,000		12/19/2028	Annually		—			(54,462	)		(54,462	)
6 Month EURIBOR		0.91%	EUR	1,054,000		12/20/2028	Annually		—			3,125			3,125
6 Month EURIBOR		0.92%	EUR	1,285,000		12/20/2028	Annually		—			4,380			4,380
6 Month EURIBOR		0.90%	EUR	2,011,000		12/20/2028	Annually		—			2,060			2,060
1.82%		6 Month GBP LIBOR	GBP	7,997,000		12/20/2028	Semi-Annually		(4,373	)		(22,109	)		(17,736	)
1.62%		6 Month GBP LIBOR	GBP	6,383,000		12/20/2028	Semi-Annually		(9,380	)		(45,172	)		(35,792	)
1.66%		6 Month GBP LIBOR	GBP	2,672,000		12/20/2028	Semi-Annually		—			(31,425	)		(31,425	)
1.67%		6 Month GBP LIBOR	GBP	3,490,000		12/20/2028	Semi-Annually		—			(46,075	)		(46,075	)
1.61%		6 Month GBP LIBOR	GBP	38,002,000		12/20/2028	Semi-Annually		—			(223,296	)		(223,296	)
1.69%		6 Month GBP LIBOR	GBP	380,000		12/20/2028	Semi-Annually		—			(5,861	)		(5,861	)
3 Month USD LIBOR		3.10%	USD	40,695,000		12/20/2028	Semi-Annually		10,005			139,015			129,010
3.06%		3 Month USD LIBOR	USD	3,179,000		12/20/2028	Semi-Annually		—			(207	)		(207	)
3.07%		3 Month USD LIBOR	USD	1,578,000		12/20/2028	Semi-Annually		—			(1,339	)		(1,339	)
								$	(99,004	)	$	492,488		$	591,492

As of November 30, 2018, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

AUD BBSW - Bank Bill Swap Reference Rate denominated in Australian Dollar.

CAD LIBOR - London Interbank Offered Rate denominated in Canadian Dollar.

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

EURIBOR - Euro Interbank Offered Rate

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

NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.

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

USBM - U.S. Treasury 3 Month Bill Money Market Yield.

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

The rates shown on variable rate notes are the current interest rates at November 30, 2018, which are subject to change based on the terms of the security.

† Denominated in U.S. Dollar, unless otherwise indicated.

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

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

(c) The rate disclosed is the 7 day net yield as of November 30, 2018.

Counterparty Abbreviations:

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

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Koruna

EUR - Euro

GBP - British Pound

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

PHP - Philippine Peso

PLN - Polish Zloty

RON - Romanian Leu

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - Taiwan Dollar

USD - United States Dollar

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 48.2%
		United States — 48.2%
		Asset-Backed Securities — 3.8%
	317,010	Bear Stearns Commercial Mortgage Securities Trust, Series 05-PW10, Class AJ, Variable Rate, 5.78%, due 12/11/40		326,854
	16,740,000	Commercial Mortgage Trust, Series 13-WWP, Class A2, 144A, 3.42%, due 03/10/31		16,840,786
	2,900,000	Commercial Mortgage Trust, Series 13-WWP, Class C, 144A, 3.54%, due 03/10/31		2,930,475
	5,000,000	Commercial Mortgage Trust, Series 13-WWP, Class D, 144A, 3.90%, due 03/10/31		5,120,677
		Total Asset-Backed Securities		25,218,792
		U.S. Government — 29.0%
	7,407,000	U.S. Treasury Bond, 3.75%, due 11/15/43		7,971,784
	45,764,000	U.S. Treasury Bond, 3.38%, due 05/15/44 (a)		46,348,564
	8,949,000	U.S. Treasury Note, 2.00%, due 02/28/21		8,790,994
	51,233,000	U.S. Treasury Note, 1.75%, due 11/30/21		49,661,988
	1,945,000	U.S. Treasury Note, 2.00%, due 02/15/23		1,879,280
	36,868,000	U.S. Treasury Note, 2.50%, due 05/15/24		36,165,204
	27,877,000	U.S. Treasury Note, 2.00%, due 08/15/25		26,317,630
	16,615,000	U.S. Treasury Note, 2.25%, due 02/15/27		15,747,256
		Total U.S. Government		192,882,700
		U.S. Government Agency — 15.4%
	13,221,000	Federal Home Loan Mortgage Corp., TBA, 3.50%, due 12/13/48		12,964,586
	33,648,000	Federal National Mortgage Association, TBA, 2.50%, due 12/18/33		32,455,986
	3,009,000	Federal National Mortgage Association, TBA, 3.00%, due 12/13/48		2,868,306
	28,129,000	Federal National Mortgage Association, TBA, 4.00%, due 12/13/48		28,292,719
	26,444,000	Government National Mortgage Association, TBA, 3.50%, due 12/19/48		26,142,890
		Total U.S. Government Agency		102,724,487
		TOTAL DEBT OBLIGATIONS (COST $328,605,865)		320,825,979
		MUTUAL FUNDS — 44.5%
		United States — 44.5%
		Affiliated Issuers — 28.4%
	1,293,541	GMO Emerging Country Debt Fund, Class IV		34,408,186
	5,179,318	GMO Opportunistic Income Fund, Class VI		139,323,650
	607,458	GMO U.S. Treasury Fund		15,174,313
		Total Affiliated Issuers		188,906,149

Shares / Par Value†		Description	Value ($)
		Exchange-Traded Funds — 16.1%
	964,362	iShares iBoxx $ Investment Grade Corporate Bond ETF		107,487,788
		TOTAL MUTUAL FUNDS (COST $303,269,630)		296,393,937
		SHORT-TERM INVESTMENTS — 29.7%
		Foreign Government Obligations — 29.4%
JPY	5,600,000,000	Japan Treasury Discount Bill, Zero Coupon, due 12/03/18		49,332,687
JPY	3,300,000,000	Japan Treasury Discount Bill, Zero Coupon, due 12/17/18		29,072,560
JPY	1,611,500,000	Japan Treasury Discount Bill, Zero Coupon, due 01/28/19		14,201,586
JPY	2,850,000,000	Japan Treasury Discount Bill, Zero Coupon, due 02/12/19		25,119,443
JPY	3,300,000,000	Japan Treasury Discount Bill, Zero Coupon, due 02/25/19		29,089,450
JPY	5,600,000,000	Japan Treasury Discount Bill, Zero Coupon, due 03/11/19		49,368,256
		Total Foreign Government Obligations		196,183,982
		Money Market Funds — 0.3%
	1,741,742	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 2.16% (b)		1,741,742
		TOTAL SHORT-TERM INVESTMENTS (COST $199,158,177)		197,925,724
		TOTAL INVESTMENTS — 122.4% (Cost $831,033,672)		815,145,640
		Other Assets and Liabilities (net) — (22.4%)		(148,915,844	)
		TOTAL NET ASSETS — 100.0%		$666,229,796

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2018 (Unaudited)

A summary of outstanding financial instruments at November 30, 2018 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unreal- ized Appre- ciation (Depre- ciation) ($)
02/05/2019	MSCI		AUD        34,560,000		USD        24,862,982		(424,314	)
12/03/2018	GS		CAD          4,765,962		USD          3,670,000		82,929
12/03/2018	JPM		CAD          9,663,460		USD          7,276,154		3,012
01/14/2019	MSCI		CHF        37,316,867		USD        37,932,936		405,431
01/24/2019	MSCI		CLP   2,157,382,500		USD          3,180,807		(32,716	)
01/24/2019	JPM		COP   5,039,080,000		USD          1,580,000		25,697
12/13/2018	BOA		CZK        55,065,300		USD          2,460,000		59,987
12/13/2018	DB		CZK        37,383,188		USD          1,670,000		40,659
12/19/2018	MSCI		EUR          6,420,000		USD          7,530,714		252,178
02/13/2019	BCLY		GBP          1,760,000		USD          2,305,008		53,546
02/13/2019	MSCI		GBP          8,970,000		USD        11,747,785		273,004
12/13/2018	BCLY		HUF      831,464,700		USD          2,980,000		69,771
12/13/2018	BOA		HUF      182,409,630		USD             650,000		11,544
12/12/2018	MSCI		IDR 22,944,519,000		USD          1,550,000		(49,651	)
01/28/2019	BOA		ILS        10,518,423		USD          2,846,587		6,129
12/03/2018	MSCI		JPY   5,600,000,000		USD        50,142,270		809,582
12/07/2018	BCLY		JPY      130,744,024		USD          1,180,000		27,985
12/07/2018	GS		JPY      375,348,270		USD          3,340,000		32,721
12/17/2018	JPM		JPY   3,300,000,000		USD        29,604,675		498,987
01/28/2019	DB		JPY   1,611,500,000		USD        14,454,133		183,505
02/12/2019	MSCI		JPY   2,850,000,000		USD        25,469,469		201,384
02/25/2019	MSCI		JPY   3,300,000,000		USD        29,411,387		123,561
03/11/2019	GS		JPY   5,600,000,000		USD        49,741,522		(16,298	)
02/08/2019	MSCI		KRW   3,577,760,000		USD          3,179,101		(21,609	)
01/07/2019	JPM		NOK        27,614,823		USD          3,270,000		51,522
12/05/2018	JPM		NZD          2,330,000		USD          1,542,136		(59,533	)
12/05/2018	MSCI		NZD        16,340,000		USD        10,788,288		(444,015	)
01/24/2019	MSCI		PEN          2,258,570		USD             670,000		3,182
02/06/2019	BOA		PHP        47,515,050		USD             887,137		(15,297	)
12/13/2018	BOA		PLN          7,022,106		USD          1,890,000		37,379
12/13/2018	DB		PLN          2,489,686		USD             660,000		3,153
01/28/2019	BOA		RON        11,180,760		USD          2,721,704		933
02/05/2019	BCLY		SEK        26,461,648		USD          2,950,000		25,753
01/14/2019	BCLY		SGD          1,112,209		USD             812,259		906
12/13/2018	BOA		THB        22,322,768		USD             680,000		1,092
02/13/2019	JPM		TWD        79,130,210		USD          2,601,256		20,485
12/03/2018	GS		USD        11,082,314		CAD        14,429,421		(222,101	)
12/05/2018	GS		USD          1,301,102		NZD          2,010,000		80,595
12/05/2018	MSCI		USD          2,873,439		NZD          4,210,000		20,564
12/07/2018	JPM		USD          7,036,571		JPY      783,366,359		(134,151	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unreal- ized Appre- ciation (Depre- ciation) ($)
12/12/2018	BCLY		USD          3,700,000		IDR 56,746,900,000		256,291
12/13/2018	DB		USD             840,000		PLN          3,195,967		3,182
12/19/2018	BCLY		USD          4,975,836		EUR          4,330,000		(66,792	)
01/07/2019	JPM		USD        22,999,022		NOK      187,622,568		(1,131,813	)
01/16/2019	BCLY		USD          4,086,292		TRY        22,768,860		173,993
01/24/2019	MSCI		USD             667,939		PEN          2,258,570		(1,122	)
02/04/2019	MSCI		USD             950,000		BRL          3,546,635		(36,107	)
02/05/2019	BCLY		USD        27,530,233		SEK      247,297,196		(201,699	)
02/11/2019	BCLY		USD             930,000		RUB        61,965,900		(14,032	)
02/11/2019	BOA		USD          3,107,536		RUB      206,885,770		(49,392	)
02/20/2019	BCLY		USD          1,630,635		INR      118,465,600		53,619
02/21/2019	JPM		USD          2,202,454		MXN        45,231,796		(7,132	)
03/04/2019	JPM		USD          7,291,075		CAD          9,663,460		(2,848	)
						$	963,639

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
52	U.S. Long Bond (CBT)	March 2019		7,275,126		38,512
312	U.S. Treasury Note 2 Yr. (CBT)	March 2019		65,827,125		38,573
112	U.S. Treasury Note 5 Yr. (CBT)	March 2019		12,651,625		24,511
25	U.S. Treasury Note 10 Yr. (CBT)	March 2019		2,986,328		11,331
181	U.S. Treasury Ultra 10 Yr. (CBT)	March 2019		22,896,500		112,850
12	U.S. Ultra Bond (CBT)	March 2019		1,828,875		2,605
			$	113,465,579	$	228,382

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives		Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month NZD Bank Bill Rate		2.64%	NZD	88,413,000		12/19/2023	Semi-Annually		(30,905	)		558,059			588,964
3 Month CAD LIBOR		2.90%	CAD	12,307,000		12/18/2028	Semi-Annually		—			127,421			127,421
3 Month CAD LIBOR		2.95%	CAD	78,428,000		12/18/2028	Semi-Annually		(75,618	)		1,064,195			1,139,813
3 Month CAD LIBOR		2.85%	CAD	7,958,000		12/18/2028	Semi-Annually		—			56,272			56,272
3 Month CAD LIBOR		2.94%	CAD	8,712,000		12/18/2028	Semi-Annually		—			112,378			112,378
3 Month CAD LIBOR		2.94%	CAD	13,289,000		12/18/2028	Semi-Annually		—			166,966			166,966
3 Month CAD LIBOR		2.74%	CAD	9,700,000		12/18/2028	Semi-Annually		—			(5,488	)		(5,488	)
2.82%		3 Month CAD LIBOR	CAD	11,393,000		12/18/2028	Semi-Annually		—			(54,611	)		(54,611	)

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2018 (Unaudited)

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives		Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
2.77%		6 Month AUD BBSW	AUD	12,744,000		12/19/2028	Semi-Annually		—			9,286			9,286
6 Month AUD BBSW		2.91%	AUD	13,923,000		12/19/2028	Semi-Annually		—			120,937			120,937
2.79%		6 Month AUD BBSW	AUD	33,831,000		12/19/2028	Semi-Annually		—			(13,215	)		(13,215	)
2.94%		6 Month AUD BBSW	AUD	134,679,000		12/19/2028	Semi-Annually		20,604			(1,426,980	)		(1,447,584	)
2.97%		6 Month AUD BBSW	AUD	4,393,000		12/19/2028	Semi-Annually		—			(56,379	)		(56,379	)
6 Month CHF LIBOR		0.50%	CHF	13,367,000		12/19/2028	Annually		(11,824	)		125,517			137,341
6 Month CHF LIBOR		0.60%	CHF	7,169,000		12/19/2028	Annually		—			142,233			142,233
0.64%		6 Month CHF LIBOR	CHF	8,296,000		12/19/2028	Semi-Annually		—			(193,769	)		(193,769	)
0.43%		6 Month CHF LIBOR	CHF	6,824,000		12/19/2028	Semi-Annually		—			(16,080	)		(16,080	)
3 Month NZD Bank Bill Rate		3.05%	NZD	84,454,000		12/19/2028	Semi-Annually		(122,799	)		747,194			869,993
3 Month NZD Bank Bill Rate		3.09%	NZD	3,757,000		12/19/2028	Semi-Annually		—			42,835			42,835
3 Month NZD Bank Bill Rate		3.09%	NZD	5,582,000		12/19/2028	Semi-Annually		—			61,965			61,965
3 Month NZD Bank Bill Rate		3.08%	NZD	4,508,000		12/19/2028	Semi-Annually		—			48,824			48,824
3 Month NZD Bank Bill Rate		3.08%	NZD	9,231,000		12/19/2028	Semi-Annually		—			98,312			98,312
3 Month NZD Bank Bill Rate		3.06%	NZD	5,930,000		12/19/2028	Semi-Annually		—			56,028			56,028
3 Month SEK STIBOR		1.38%	SEK	27,503,000		12/19/2028	Annually		—			66,087			66,087
3 Month SEK STIBOR		1.24%	SEK	63,427,000		12/19/2028	Annually		—			57,188			57,188
3 Month SEK STIBOR		1.23%	SEK	63,427,000		12/19/2028	Annually		—			52,176			52,176
3 Month SEK STIBOR		1.20%	SEK	75,214,000		12/19/2028	Annually		—			42,459			42,459
1.29%		3 Month SEK STIBOR	SEK	90,535,000		12/19/2028	Annually		—			(130,750	)		(130,750	)
6 Month EURIBOR		0.91%	EUR	2,532,000		12/20/2028	Annually		—			7,507			7,507
6 Month EURIBOR		0.92%	EUR	3,058,000		12/20/2028	Annually		—			10,422			10,422
6 Month EURIBOR		0.90%	EUR	4,823,000		12/20/2028	Annually		—			4,941			4,941
1.56%		6 Month GBP LIBOR	GBP	748,000		12/20/2028	Semi-Annually		—			276			276
1.82%		6 Month GBP LIBOR	GBP	22,097,000		12/20/2028	Semi-Annually		(12,084	)		(61,091	)		(49,007	)
1.62%		6 Month GBP LIBOR	GBP	4,951,000		12/20/2028	Semi-Annually		(7,276	)		(35,038	)		(27,762	)
1.66%		6 Month GBP LIBOR	GBP	3,873,000		12/20/2028	Semi-Annually		—			(45,549	)		(45,549	)
1.67%		6 Month GBP LIBOR	GBP	8,178,000		12/20/2028	Semi-Annually		—			(107,965	)		(107,965	)
1.61%		6 Month GBP LIBOR	GBP	99,645,000		12/20/2028	Semi-Annually		—			(585,505	)		(585,505	)
1.67%		6 Month GBP LIBOR	GBP	1,284,000		12/20/2028	Semi-Annually		—			(16,026	)		(16,026	)
1.69%		6 Month GBP LIBOR	GBP	3,009,000		12/20/2028	Semi-Annually		—			(46,410	)		(46,410	)
3 Month USD LIBOR		3.10%	USD	98,916,000		12/20/2028	Semi-Annually		24,319			337,899			313,580
3.06%		3 Month USD LIBOR	USD	7,591,000		12/20/2028	Semi-Annually		—			(495	)		(495	)
3.07%		3 Month USD LIBOR	USD	5,332,000		12/20/2028	Semi-Annually		—			(4,524	)		(4,524	)
								$	(215,583	)	$	1,317,502		$	1,533,085

As of November 30, 2018, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

AUD BBSW - Bank Bill Swap Reference Rate denominated in Australian Dollar.

CAD LIBOR - London Interbank Offered Rate denominated in Canadian Dollar.

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

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

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

NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.

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

TBA - To Be Announced – Delayed Delivery Security

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

The rates shown on variable rate notes are the current interest rates at November 30, 2018, which are subject to change based on the terms of the security.

† Denominated in U.S. Dollar, unless otherwise indicated.

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

(b) The rate disclosed is the 7 day net yield as of November 30, 2018.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2018 (Unaudited)

Counterparty Abbreviations:

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

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Koruna

EUR - Euro

GBP - British Pound

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

PHP - Philippine Peso

PLN - Polish Zloty

RON - Romanian Leu

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - Taiwan Dollar

USD - United States Dollar

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 89.9%
		Albania — 1.0%
		Foreign Government Obligations
	49,649,849	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b)		37,213,814
		Angola — 0.5%
		Foreign Government Obligations
	18,100,000	Angolan Government International Bond, 144A, 9.38%, due 05/08/48		17,511,750
		Argentina — 4.2%
		Foreign Government Obligations
JPY	407,485,276	Republic of Argentina, Variable Rate, 4.33%, due 12/31/33 (c)		2,246,886
EUR	8,008,646	Republic of Argentina Discount Bond, 7.82%, due 12/31/33		7,967,266
	40,308,593	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		33,708,060
	10,786,557	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		8,761,435
EUR	112,130,000	Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38		69,016,679
EUR	64,150,000	Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38		40,306,448
		Total Argentina		162,006,774
		Armenia — 0.1%
		Foreign Government Obligations
	2,195,000	Republic of Armenia, Reg S, 7.15%, due 03/26/25		2,288,288
		Azerbaijan — 0.5%
		Foreign Government Agency — 0.3%
	7,450,000	Southern Gas Corridor CJSC, Reg S, 6.88%, due 03/24/26		7,791,210
	4,687,000	State Oil Company of the Azerbaijan Republic, Reg S, 6.95%, due 03/18/30		4,798,316
				12,589,526
		Foreign Government Obligations — 0.2%
	7,100,000	Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29		6,558,625
		Total Azerbaijan		19,148,151
		Bahrain — 0.8%
		Foreign Government Obligations
	35,150,000	Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47		32,777,375
		Belarus — 0.1%
		Foreign Government Obligations
	3,700,000	Republic of Belarus International Bond, Reg S, 6.20%, due 02/28/30		3,320,750

Par Value†		Description	Value ($)
		Belize — 0.6%
		Foreign Government Obligations
	40,578,000	Republic of Belize, Reg S, Step Up, 4.94%, due 02/20/34		23,180,182
		Bermuda — 0.1%
		Foreign Government Obligations
	4,300,000	Bermuda Government International Bond, 144A, 4.75%, due 02/15/29		4,289,250
		Brazil — 2.6%
		Foreign Government Agency — 1.8%
GBP	12,895,000	Petrobras Global Finance BV, 6.63%, due 01/16/34		16,308,225
	61,139,000	Petrobras Global Finance BV, 6.85%, due 06/05/2115		54,108,015
				70,416,240
		Foreign Government Obligations — 0.8%
	16,897,000	Republic of Brazil, 7.13%, due 01/20/37		18,565,579
	5,000,000	Republic of Brazil, 5.00%, due 01/27/45		4,170,000
	6,340,000	Republic of Brazil, 5.63%, due 02/21/47		5,725,020
				28,460,599
		Total Brazil		98,876,839
		Cameroon — 0.1%
		Foreign Government Obligations
	4,500,000	Republic of Cameroon International Bond, Reg S, 9.50%, due 11/19/25		4,550,625
		Chile — 1.0%
		Corporate Debt — 0.8%
	4,300,000	Empresa Nacional del Petroleo, 144A, 5.25%, due 11/06/29		4,244,100
	20,411,000	Empresa Nacional de Electricidad SA, 8.13%, due 02/01/97 (c)		25,003,475
	3,600,000	Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47		2,960,460
				32,208,035
		Foreign Government Agency — 0.2%
	8,800,000	Corp Nacional del Cobre de Chile, Reg S, 4.25%, due 07/17/42		7,770,268
		Total Chile		39,978,303
		Colombia — 1.6%
		Foreign Government Agency — 1.2%
	43,011,000	Ecopetrol SA, 7.38%, due 09/18/43		46,532,525
		Foreign Government Obligations — 0.4%
	647,000	Colombia Government International Bond, 8.38%, due 02/15/27		782,017
	7,800,000	Colombia Government International Bond, 5.63%, due 02/26/44		7,901,400

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		Colombia — continued
		Foreign Government Obligations — continued
	3,800,000	Republic of Colombia, 11.85%, due 03/09/28 (b)		5,174,583
				13,858,000
		Total Colombia		60,390,525
		Congo Republic (Brazzaville) — 1.6%
		Foreign Government Obligations
	79,089,609	Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29 (c)		62,283,067
		Costa Rica — 1.0%
		Foreign Government Agency — 0.1%
	5,500,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		4,074,427
		Foreign Government Obligations — 0.9%
	37,631,000	Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45		33,303,435
		Total Costa Rica		37,377,862
		Dominican Republic — 1.8%
		Asset-Backed Securities — 0.5%
	20,039,443	Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24		21,041,415
		Foreign Government Obligations — 1.3%
	17,687,000	Dominican Republic International Bond, Reg S, 8.63%, due 04/20/27		19,964,201
	29,811,000	Dominican Republic International Bond, Reg S, 6.85%, due 01/27/45		28,394,978
				48,359,179
		Total Dominican Republic		69,400,594
		Ecuador — 1.6%
		Foreign Government Obligations
	16,700,000	Ecuador Government International Bond, Reg S, 9.63%, due 06/02/27		15,480,900
	31,400,000	Ecuador Government International Bond, 8.88%, due 10/23/27		27,789,000
	20,100,000	Ecuador Government International Bond, 7.88%, due 01/23/28		16,843,800
		Total Ecuador		60,113,700
		Egypt — 0.9%
		Foreign Government Obligations
	1,400,000	Egypt Government International Bond, Reg S, 8.50%, due 01/31/47		1,275,750
	39,000,000	Egypt Government International Bond, 7.90%, due 02/21/48		33,930,000
		Total Egypt		35,205,750

Par Value†		Description	Value ($)
		El Salvador — 0.6%
		Foreign Government Obligations
	26,275,000	El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35		24,295,047
		Ethiopia — 0.1%
		Foreign Government Obligations
	4,190,000	Federal Democratic Republic of Ethiopia, Reg S, 6.63%, due 12/11/24		3,949,075
		Gabon — 0.3%
		Foreign Government Obligations
	15,300,000	Gabonese Republic, Reg S, 6.38%, due 12/12/24		13,406,625
		Ghana — 0.9%
		Foreign Government Agency — 0.4%
	14,127,725	Saderea, Ltd., Reg S, 12.50%, due 11/30/26		14,975,389
		Foreign Government Obligations — 0.5%
	17,482,000	Republic of Ghana, Reg S, 10.75%, due 10/14/30 (e)		19,951,332
		Total Ghana		34,926,721
		Greece — 0.1%
		Foreign Government Obligations
EUR	5,800,000	Hellenic Republic Government Bond, Reg S, Step Up, 3.00%, due 02/24/36		5,474,514
		Grenada — 0.2%
		Foreign Government Obligations
	7,310,440	Grenada Government International Bond, Reg S, Step Up, 7.00%, due 05/12/30		6,579,396
		Guatemala — 0.5%
		Foreign Government Obligations
	16,195,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		20,263,994
		Honduras — 0.3%
		Foreign Government Obligations
	5,516,000	Honduras Government International Bond, Reg S, 7.50%, due 03/15/24		5,764,220
	6,646,000	Honduras Government International Bond, Reg S, 6.25%, due 01/19/27		6,454,928
		Total Honduras		12,219,148
		Hungary — 0.4%
		Foreign Government Obligations
	12,084,000	Hungary Government International Bond, 7.63%, due 03/29/41		16,177,455

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		Indonesia — 4.1%
		Foreign Government Agency — 1.4%
	3,500,000	Indonesia Asahan Aluminium Persero PT, 144A, 6.76%, due 11/15/48		3,457,300
	3,500,000	Indonesia Asahan Aluminium Persero PT, 144A, 6.53%, due 11/15/28		3,613,750
	12,000,000	Pertamina Persero PT, 144A, 6.50%, due 11/07/48		12,170,460
	14,400,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		14,688,000
	14,200,000	Perusahaan Listrik Negara PT, 144A, 6.25%, due 01/25/49		13,951,500
	6,100,000	Perusahaan Listrik Negara PT, 144A, 6.15%, due 05/21/48		5,962,750
				53,843,760
		Foreign Government Obligations — 2.7%
	30,000,000	Indonesia Government International Bond, 4.35%, due 01/11/48 (e)		26,144,850
	43,091,000	Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37		48,620,222
	28,780,000	Indonesia Government International Bond, Reg S, 5.25%, due 01/17/42		27,981,355
				102,746,427
		Total Indonesia		156,590,187
		Iraq — 0.4%
		Foreign Government Obligations
	15,000,000	Republic of Iraq, Reg S, 5.80%, due 01/15/28		13,575,000
		Israel — 1.3%
		Foreign Government Agency
	7,243,000	Israel Electric Corp., Ltd., Reg S, 7.88%, due 12/15/26		8,610,116
JPY	2,500,000,000	Israel Electric Corp., Ltd., 4.10%, due 01/14/32 (c)		25,382,108
	12,798,000	Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96		15,901,515
		Total Israel		49,893,739
		Ivory Coast — 0.8%
		Foreign Government Obligations
	15,075,650	Ivory Coast Government International Bond, Reg S, Step Up, 5.75%, due 12/31/32		13,304,261
EUR	19,500,000	Ivory Coast Government International Bond, Reg S, 6.63%, due 03/22/48		19,068,106
		Total Ivory Coast		32,372,367
		Jamaica — 0.6%
		Foreign Government Agency — 0.1%
	4,000,000	National Road Operating & Construction Co., Ltd., Reg S, 9.38%, due 11/10/24 (c)		4,807,600

Par Value†		Description	Value ($)
		Jamaica — continued
		Foreign Government Obligations — 0.5%
	16,875,000	Jamaica Government International Bond, 7.88%, due 07/28/45		19,068,750
		Total Jamaica		23,876,350
		Jordan — 0.6%
		Foreign Government Obligations
	5,437,000	Jordan Government International Bond, Reg S, 5.75%, due 01/31/27		5,008,836
	18,550,000	Jordan Government International Bond, Reg S, 7.38%, due 10/10/47		16,347,188
		Total Jordan		21,356,024
		Kazakhstan — 1.2%
		Foreign Government Agency — 0.4%
	14,700,000	KazMunayGas National Co JSC, 144A, 6.38%, due 10/24/48		14,156,541
		Foreign Government Obligations — 0.8%
	28,499,000	Kazakhstan Government International Bond, Reg S, 6.50%, due 07/21/45		32,666,979
		Total Kazakhstan		46,823,520
		Kenya — 0.3%
		Foreign Government Obligations
	11,600,000	Kenya Government International Bond, Reg S, 8.25%, due 02/28/48		9,976,000
		Macedonia — 0.5%
		Foreign Government Obligations
EUR	8,039,000	Macedonia Government International Bond, Reg S, 5.63%, due 07/26/23		10,124,857
EUR	7,300,000	Macedonia Government International Bond, Reg S, 2.75%, due 01/18/25		8,016,402
		Total Macedonia		18,141,259
		Mexico — 8.5%
		Foreign Government Agency — 3.6%
	5,000,000	Petroleos Mexicanos, 144A, 6.50%, due 01/23/29		4,594,000
	96,587,000	Petroleos Mexicanos, 6.75%, due 09/21/47		79,925,742
	68,851,000	Petroleos Mexicanos, Reg S, 6.35%, due 02/12/48		54,777,856
				139,297,598
		Foreign Government Obligations — 4.9%
	138,478,000	United Mexican States, 5.75%, due 10/12/2110		126,984,326
GBP	50,396,000	United Mexican States, 5.63%, due 03/19/2114		60,812,340
				187,796,666
		Total Mexico		327,094,264

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		Morocco — 0.5%
		Foreign Government Agency
	20,800,000	Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44		21,008,000
		Mozambique — 0.1%
		Foreign Government Obligations
	4,744,000	Mozambique International Bond, Reg S, 10.50%, due 01/18/23 (d)		4,477,150
		Nigeria — 0.4%
		Foreign Government Obligations
	10,750,000	Nigeria Government International Bond, Reg S, 7.63%, due 11/28/47		9,070,313
	7,200,000	Nigeria Government International Bond, Reg S, 7.70%, due 02/23/38		6,201,000
		Total Nigeria		15,271,313
		Oman — 0.5%
		Foreign Government Obligations
	21,700,000	Oman Government International Bond, Reg S, 6.75%, due 01/17/48		18,906,125
		Pakistan — 0.9%
		Foreign Government Obligations
	39,562,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		34,927,114
		Panama — 0.7%
		Foreign Government Agency — 0.3%
	9,300,000	Aeropuerto Internacional de Tocumen SA, 144A, 6.00%, due 11/18/48		9,021,000
	3,600,000	Aeropuerto Internacional de Tocumen SA, Reg S, 6.00%, due 11/18/48		3,510,000
				12,531,000
		Foreign Government Obligations — 0.4%
	7,851,000	Panama Government International Bond, 8.13%, due 04/28/34		10,471,271
	4,252,000	Panama Government International Bond, 4.30%, due 04/29/53		3,823,611
				14,294,882
		Total Panama		26,825,882
		Papua New Guinea — 0.0%
		Foreign Government Obligations
	1,400,000	Papua New Guinea Government International Bond, 144A, 8.38%, due 10/04/28		1,391,453
		Paraguay — 0.2%
		Foreign Government Obligations
	8,000,000	Republic of Paraguay, Reg S, 6.10%, due 08/11/44		7,980,000

Par Value†		Description	Value ($)
		Peru — 1.1%
		Foreign Government Agency — 1.0%
	14,304,000	Peru Enhanced Pass-Through Finance Ltd., Reg S, Zero Coupon, due 06/02/25 (c)		12,706,815
	25,895,000	Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47		24,509,618
				37,216,433
		Foreign Government Obligations — 0.1%
	5,000,000	Peru Par Bond, Series 30 Yr., Step Up, 4.00%, due 03/07/27 (b)		4,950,000
		Total Peru		42,166,433
		Philippines — 2.6%
		Foreign Government Agency
	9,000,000	Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97 (c)		15,157,966
	23,300,000	Central Bank of Philippines, Series A, 8.60%, due 06/15/27		29,884,580
	42,012,000	National Power Corp., Global Bond, 9.63%, due 05/15/28		56,802,535
		Total Philippines		101,845,081
		Qatar — 0.3%
		Foreign Government Obligations
	11,000,000	Qatar Government International Bond, 144A, 5.10%, due 04/23/48		11,137,500
		Romania — 0.1%
		Foreign Government Obligations
EUR	5,180,000	Romanian Government International Bond, Reg S, 3.88%, due 10/29/35		5,761,654
		Russia — 4.2%
		Foreign Government Agency — 2.0%
	13,575,000	Gazprom Neft OAO Via GPN Capital SA, Reg S, 4.38%, due 09/19/22		13,235,625
	41,067,000	Gazprom OAO Via Gaz Capital SA, Reg S, 8.63%, due 04/28/34		49,383,067
	15,700,000	Sberbank of Russia Via SB Capital SA, Reg S, 5.13%, due 10/29/22		15,386,000
				78,004,692
		Foreign Government Obligations — 2.2%
	26,000,000	Russian Foreign Bond, 144A, 5.25%, due 06/23/47		23,738,000
	64,400,000	Russian Foreign Bond, Reg S, 5.25%, due 06/23/47		58,797,200
				82,535,200
		Total Russia		160,539,892

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		Rwanda — 0.1%
		Foreign Government Obligations
	5,487,000	Rwanda International Government Bond, Reg S, 6.63%, due 05/02/23		5,438,989
		Saudi Arabia — 0.5%
		Foreign Government Obligations
	21,000,000	Saudi Government International Bond, 144A, 5.00%, due 04/17/49		20,196,750
		Senegal — 0.2%
		Foreign Government Obligations
	10,800,000	Senegal Government International Bond, Reg S, 6.75%, due 03/13/48		8,910,000
		South Africa — 1.3%
		Foreign Government Agency — 0.3%
ZAR	163,000,000	Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32		1,739,315
	8,500,000	Eskom Holdings SOC, Ltd., 144A, 8.45%, due 08/10/28		7,968,750
ZAR	27,300,000	Transnet, Ltd., 13.50%, due 04/18/28		2,229,425
				11,937,490
		Foreign Government Obligations — 1.0%
	19,900,000	Republic of South Africa Government International Bond, 6.30%, due 06/22/48		18,183,625
	21,700,000	Republic of South Africa Government International Bond, 5.65%, due 09/27/47		18,662,000
				36,845,625
		Total South Africa		48,783,115
		Sri Lanka — 0.8%
		Foreign Government Obligations
	11,000,000	Sri Lanka Government International Bond, 144A, 6.75%, due 04/18/28		9,583,750
	1,425,000	Sri Lanka Government International Bond, Reg S, 6.13%, due 06/03/25		1,237,969
	14,280,000	Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26		12,762,750
	10,844,000	Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27		9,190,290
		Total Sri Lanka		32,774,759
		Suriname — 0.4%
		Foreign Government Obligations
	16,178,000	Republic of Suriname, Reg S, 9.25%, due 10/26/26 (e)		15,770,395
		Trinidad And Tobago — 0.3%
		Foreign Government Agency
	6,736,000	Petroleum Company of Trinidad and Tobago Ltd., Reg S, 9.75%, due 08/14/19		6,507,650

Par Value†		Description	Value ($)
		Trinidad And Tobago — continued
		Foreign Government Agency — continued
	7,292,000	Trinidad Generation UnLtd, Reg S, 5.25%, due 11/04/27		6,826,588
		Total Trinidad And Tobago		13,334,238
		Tunisia — 1.8%
		Foreign Government Agency
JPY	7,340,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30 (c)		52,375,457
JPY	2,500,000,000	Banque Centrale de Tunisie SA, 4.20%, due 03/17/31 (c)		17,398,582
		Total Tunisia		69,774,039
		Turkey — 5.0%
		Foreign Government Agency — 0.7%
	7,240,000	Akbank Turk AS, Reg S, Variable Rate, 6.80%, due 04/27/28		5,728,650
	6,400,000	Export Credit Bank of Turkey, 144A, 6.13%, due 05/03/24		5,688,000
	5,000,000	TC Ziraat Bankasi AS, Reg S, 5.13%, due 09/29/23		4,250,000
	12,200,000	Turkiye Vakiflar Bankasi TAO, Reg S, 5.75%, due 01/30/23		10,354,750
				26,021,400
		Foreign Government Obligations — 4.3%
	30,744,000	Republic of Turkey, 6.75%, due 05/30/40		26,478,270
	83,302,000	Republic of Turkey, 6.00%, due 01/14/41		66,120,963
	3,600,000	Republic of Turkey, 6.63%, due 02/17/45		3,033,000
	94,513,000	Republic of Turkey, 5.75%, due 05/11/47		71,475,456
				167,107,689
		Total Turkey		193,129,089
		Ukraine — 2.1%
		Foreign Government Agency — 0.3%
	8,189,000	Oschadbank Via SSB #1 Plc, Reg S, Step Up, 9.63%, due 03/20/25		7,734,510
	3,700,000	Ukreximbank Via Biz Finance Plc, Reg S, 9.75%, due 01/22/25		3,472,265
				11,206,775
		Foreign Government Obligations — 1.8%
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/21		5,687,955
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/22		5,567,575
	6,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/23		5,992,350
	8,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/24		7,651,381
	6,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/25		5,761,875

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		Ukraine — continued
		Foreign Government Obligations — continued
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26		5,176,340
	6,869,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27		5,830,064
	33,100,000	Ukraine Government International Bond, Reg S, 7.38%, due 09/25/32		26,728,250
				68,395,790
		Total Ukraine		79,602,565
		United States — 18.6%
		Asset-Backed Securities — 0.5%
	3,610,608	Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + .24%, 2.55%, due 12/15/35		3,134,599
	1,876,978	Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + .24%, 2.55%, due 12/15/35		1,822,570
	2,499,217	Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. LIBOR + .20%, 2.51%, due 05/15/36		2,342,464
	10,087,927	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + .15%, 2.46%, due 11/25/36		4,895,525
	10,222,433	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + .22%, 2.53%, due 11/25/36		4,988,872
	5,497,793	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + .36%, 2.67%, due 04/25/37		2,878,876
				20,062,906
		Corporate Debt — 0.1%
	385,402	AMBAC Assurance Corp., 144A, 5.10%, due 06/07/20		516,439
	1,693,050	AMBAC LSNI LLC, 144A, Variable Rate, 3 mo. LIBOR + 5.00%, 7.40%, due 02/12/23		1,705,748
				2,222,187
		U.S. Government — 18.0%
	78,070,300	U.S. Treasury Inflation Indexed Note, 0.13%, due 01/15/22 (f)		75,777,167
	200,000,000	U.S. Treasury Note, 1.50%, due 12/31/18		199,886,948
	68,000,000	U.S. Treasury Note, 1.25%, due 01/31/19		67,882,709
	31,500,000	U.S. Treasury Note, 1.38%, due 02/28/19		31,422,203
	6,000,000	U.S. Treasury Note, 1.00%, due 08/31/19		5,926,641
	12,500,000	U.S. Treasury Note, 1.75%, due 09/30/19		12,403,809
	6,000,000	U.S. Treasury Note, 1.50%, due 10/31/19		5,934,375
	46,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.43%, due 07/31/20 (e) (g)		46,018,888
	98,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.43%, due 10/31/20		97,992,269

Par Value†		Description	Value ($)
		United States — continued
		U.S. Government — continued
	51,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.42%, due 04/30/20		51,519,228
	100,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.00%, 2.38%, due 01/31/20		100,030,775
				694,795,012
		Total United States		717,080,105
		Uruguay — 1.3%
		Foreign Government Obligations
	52,218,000	Uruguay Government International Bond, 5.10%, due 06/18/50		49,084,920
		Venezuela — 3.2%
		Foreign Government Agency — 1.3%
	111,465,000	Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18 (d)		14,211,787
	176,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 (d)		27,808,000
	61,967,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 (d)		9,914,720
				51,934,507
		Foreign Government Obligations — 1.9%
	7,000,000	Venezuela Government International Bond, 9.38%, due 01/13/34 (d) (e)		1,890,000
	19,028,000	Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19 (d)		4,387,381
	36,600,000	Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20 (d) (e)		8,097,750
	172,793,000	Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23 (d)		38,878,425
	61,500,000	Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31 (d)		14,298,750
	23,750,000	Venezuela Government International Bond, Reg S, 12.75%, due 08/23/22 (d)		5,575,788
				73,128,094
		Total Venezuela		125,062,601
		Vietnam — 0.6%
		Foreign Government Agency — 0.5%
	25,105,000	Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25		17,212,867
		Foreign Government Obligations — 0.1%
	6,428,000	Socialist Republic of Vietnam, Series 30 Yr, Variable Rate, 6 Mo. LIBOR + .81%, 3.38%, due 03/13/28 (c)		5,560,220
		Total Vietnam		22,773,087
		Zambia — 0.3%
		Foreign Government Obligations
	14,900,000	Zambia Government International Bond, Reg S, 8.97%, due 07/30/27		11,063,250
		TOTAL DEBT OBLIGATIONS (COST $3,800,180,378)		3,471,919,783

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		LOAN ASSIGNMENTS — 0.2%
		Indonesia — 0.0%
	408,070	Republic of Indonesia Loan Agreement, dated September 14, 1994, 6 mo. LIBOR + 0.75%, 3.25%, due 12/16/19 (c)		378,036
EUR	540,685	Republic of Indonesia, Indonesia Paris Club Debt, 4.00%, due 06/01/21 (b)		554,621
		Total Indonesia		932,657
		Kenya — 0.2%
	7,300,000	Republic of Kenya Loan Agreement, 9.34%, due 04/10/25 (b)		6,803,635
		TOTAL LOAN ASSIGNMENTS (COST $8,342,548)		7,736,292
		LOAN PARTICIPATIONS — 1.2%
		Angola — 0.7%
	19,112,500	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 8.75%, due 12/13/23 (c)		17,908,412
	10,277,438	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.60%, due 12/20/23 (c)		9,629,959
		Total Angola		27,538,371
		Egypt — 0.0%
CHF	65,516	Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (b)		60,933
		Indonesia — 0.0%
	1,564,478	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR + 0.88%, 3.48%, due 09/29/19 (c)		1,449,332
	199,751	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR + 0.88%, 3.53%, due 10/14/19 (c)		185,049
		Total Indonesia		1,634,381
		Iraq — 0.5%
EUR	1,063,115	Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (b)		824,155
JPY	152,901,473	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		801,888
JPY	2,753,142,613	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		14,275,206
JPY	359,728,676	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		1,865,321
		Total Iraq		17,766,570

Par Value† / Shares		Description	Value ($)
		Russia — 0.0%
EUR	76,893,500	Russian Foreign Trade Obligations (Participation with GML International Ltd.) (c) (d)		3
		TOTAL LOAN PARTICIPATIONS (COST $69,117,692)		47,000,258
		MUTUAL FUNDS — 2.3%
		United States — 2.3%
		Affiliated Issuers — 2.3%
	568,012	GMO Opportunistic Income Fund, Class VI		15,279,515
	2,970,669	GMO U.S. Treasury Fund		74,207,310
		TOTAL MUTUAL FUNDS (COST $86,145,712)		89,486,825
		RIGHTS/WARRANTS — 0.7%
		Argentina — 0.4%
EUR	335,089,675	Republic of Argentina GDP Linked, Expires 12/15/35 (f)		13,846,347
JPY	740,189,000	Republic of Argentina GDP Linked, Expires 12/15/35 (c) (f)		423,841
		Total Argentina		14,270,188
		Nigeria — 0.1%
	28,000	Central Bank of Nigeria Oil Warrants, Reg S, Expires 11/15/20 (c) (f)		1,435,000
		Ukraine — 0.2%
	14,446,000	Government of Ukraine GDP Linked, Reg S, Expires 05/31/40 (f)		8,033,782
		Uruguay — 0.0%
	4,000,000	Banco Central Del Uruguay Value Recovery Rights, VRRB, Expires 01/02/21 (b) (f)		—
		Venezuela — 0.0%
	1,080,062	Republic of Venezuela Oil Warrants, Expires 04/15/20 (c) (d) (f)		1,080,062
		TOTAL RIGHTS/WARRANTS (COST $55,515,265)		24,819,032
		SHORT-TERM INVESTMENTS — 5.4%
		U.S. Government — 5.4%
	91,000,000	U.S. Treasury Bill, 2.15%, due 01/15/19 (h)		90,753,536
	10,000,000	U.S. Treasury Bill, 2.17%, due 01/17/19 (h)		9,971,531
	20,000,000	U.S. Treasury Bill, 2.22%, due 01/31/19 (h)		19,924,857

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		U.S. Government — continued
	60,000,000	U.S. Treasury Bill, 2.24%, due 02/07/19 (h)		59,747,000
	30,000,000	U.S. Treasury Bill, 2.39%, due 04/04/19 (h)		29,756,508
		TOTAL SHORT-TERM INVESTMENTS (COST $210,131,156)		210,153,432
		TOTAL INVESTMENTS — 99.7% (Cost $4,229,432,751)		3,851,115,622
		Other Assets and Liabilities (net) — 0.3%		11,005,631
		TOTAL NET ASSETS — 100.0%		$3,862,121,253

A summary of outstanding financial instruments at November 30, 2018 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Apprecia- tion (Deprecia- tion) ($)
02/19/2019	GS	EUR	42,027,600		USD	47,964,856		47,744
02/19/2019	BCLY	GBP	53,411,000		USD	68,513,735		168,694
02/19/2019	JPM	GBP	9,000,000		USD	11,580,777		64,322
02/19/2019	MSCI	USD	13,357,258		JPY	1,500,000,000		(50,916	)
							$	229,844

Reverse Repurchase Agreements ⁽ⁱ⁾

Face Value		Description	Value ($)
USD	1,995,021	JP Morgan Securities, Inc., 0.01%, dated 10/24/18 (collateral: Venezuela Government International Bond, 9.38%, due 01/13/34), to be repurchased on demand at face value plus accrued interest.		(1,995,021	)
USD	392,425	JP Morgan Securities, Inc., (1.00)%, dated 10/22/18 (collateral: Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20), to be repurchased on demand at face value plus accrued interest.		(392,425	)
USD	21,661,455	Barclays Bank plc, 1.50%, dated 11/01/18 (collateral: Indonesia Government International Bond, 4.35%, due 01/11/48), to be repurchased on demand at face value plus accrued interest.		(21,661,455	)
USD	4,386,953	JP Morgan Securities, Inc., 1.65%, dated 10/22/18 (collateral: Indonesia Government International Bond, 4.35%, due 01/11/48), to be repurchased on demand at face value plus accrued interest.		(4,386,953	)
USD	12,332,803	JP Morgan Securities, Inc., 1.90%, dated 10/01/18 (collateral: Republic of Suriname, Reg S, 9.25%, due 10/26/26), to be repurchased on demand at face value plus accrued interest.		(12,332,803	)
USD	5,478,579	JP Morgan Securities, Inc., 1.90%, dated 11/20/18 (collateral: Republic of Ghana, Reg S, 10.75%, due 10/04/30), to be repurchased on demand at face value plus accrued interest.		(5,478,579	)
			$	(46,247,236	)
		Average balance outstanding	$	(32,480,067	)
		Average interest rate		(1.39	)%
		Maximum balance outstanding	$	(123,700,530	)

Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements. Average interest rate was calculated based on interest received and/or paid during the period that the Fund had entered into the reverse repurchase agreements.

Credit Linked Options

Principal / Notional Amount			Expiration Date	Description	Premiums ($)			Value ($)
Put Sold	USD	24,000,000	03/10/2020	Lebanon Gap Credit Linked Put Option, Fund receives premium of 0.50% (OTC) (CP-DB) (b)		(361,333	)		(343,286	)
Put Sold	USD	45,000,000	01/20/2021	Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB) (b)		(502,187	)		49,322
Put Sold	USD	46,000,000	04/13/2021	Lebanon Gap Credit Linked Put Option, Fund receives premium of 0.50% (OTC) (CP-DB) (b)		(947,472	)		(1,225,195	)
Put Sold	USD	9,746,000	01/24/2024	Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB) (b)		(20,074	)		46,878
Put Sold	USD	100,000,000	04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.44% (OTC) (CP-DB) (b)		(2,709,667	)		(649,610	)

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2018 (Unaudited)

Credit Linked Options — continued

Principal / Notional Amount			Expiration Date	Description	Premiums ($)			Value ($)
Put Sold	USD	50,797,000	04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.30% (OTC) (CP-DB) (b)		(746,311	)		127,487
					$	(5,287,044	)	$	(1,994,404	)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity

Notional Amount

Annual Premium

Implied Credit Spread (1)

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

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

Buy Protection^:

CDX-EMS30V1-5Y

USD

199,000,000

1.00%

2.07%

N/A

12/20/2023

Quarterly

$

9,561,800

$

9,447,525

$

(114,275

)

OTC Credit Default Swaps

Reference Entity	Counter- party	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX-EM21	BCLY	USD	20,222,950		5.00%		5.00%		N/A		06/20/2019		Quarterly		(504,450	)		(536,919	)		(32,469	)
Republic of Brazil	JPM	USD	50,000,000		1.00%		0.67%		N/A		06/20/2019		Quarterly		1,008,872			(90,454	)		(1,099,326	)
Republic of Croatia	JPM	USD	44,000,000		1.00%		0.21%		N/A		06/20/2019		Quarterly		3,659,820			(191,374	)		(3,851,194	)
Commonwealth of Bahamas	DB	EUR	51,746,000		1.00%		2.53%		N/A		12/20/2020		Quarterly		7,730,397			767,699			(6,962,698	)
Commonwealth of Bahamas	DB	EUR	66,982,145		1.00%		6.62%		N/A		06/20/2025		Quarterly		9,635,537			2,775,143			(6,860,394	)
United States of Mexico	GS	USD	20,000,000		1.00%		2.25%		N/A		09/20/2031		Quarterly		2,640,655			2,297,591			(343,064	)
Sell Protection^:
Commonwealth of Bahamas	DB	USD	61,270,000		1.00%		2.53%		61,270,000 USD		12/20/2020		Quarterly		(7,515,364	)		(1,012,259	)		6,503,105
Republic of Malaysia	JPM	USD	10,000,000		1.00%		0.90%		10,000,000 USD		12/20/2022		Quarterly		(826,278	)		38,925			865,203
Commonwealth of Bahamas	DB	USD	3,487,000		1.00%		2.65%		3,487,000 USD		06/20/2023		Quarterly		(641,463	)		(147,792	)		493,671
Commonwealth of Bahamas	DB	USD	6,975,000		1.00%		2.65%		6,975,000 USD		06/20/2023		Quarterly		(1,263,915	)		(295,625	)		968,290
Republic of Croatia	JPM	USD	40,000,000		1.00%		0.92%		40,000,000 USD		06/20/2023		Quarterly		(6,395,816	)		129,740			6,525,556
Peoples Republic of Malaysia	JPM	USD	20,000,000		1.00%		1.17%		20,000,000 USD		03/20/2024		Quarterly		(932,016	)		(163,103	)		768,913
Peoples Republic of China	JPM	USD	60,000,000		1.00%		0.78%		60,000,000 USD		06/20/2024		Quarterly		(2,413,417	)		677,822			3,091,239
Peoples Republic of China	JPM	USD	4,873,000		1.00%		0.78%		4,873,000 USD		06/20/2024		Quarterly		3,073			55,050			51,977
Republic of Brazil	JPM	USD	27,250,000		1.00%		2.19%		27,250,000 USD		06/20/2024		Quarterly		(2,095,396	)		(1,578,986	)		516,410
Peoples Republic of China	GS	USD	25,000,000		1.00%		0.87%		25,000,000 USD		03/20/2025		Quarterly		(744,727	)		187,674			932,401
Commonwealth of Bahamas	DB	USD	89,694,857		1.00%		6.49%		89,694,857 USD		06/20/2025		Quarterly		(10,800,222	)		(3,544,529	)		7,255,693
Indonesia	GS	USD	36,208,000		1.00%		1.72%		36,208,000 USD		06/20/2025		Quarterly		(3,153,880	)		(1,476,382	)		1,677,498

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2018 (Unaudited)

OTC Credit Default Swaps — continued

Reference Entity	Counter- party	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Indonesia	GS	USD	10,000,000		1.00%		1.72%		10,000,000 USD		06/20/2025		Quarterly		(961,768	)		(407,750	)		554,018
Peoples Republic of China	GS	USD	22,436,000		1.00%		0.89%		22,436,000 USD		06/20/2025		Quarterly		(590,310	)		139,590			729,900
Republic of Brazil	BOA	USD	4,873,000		1.00%		2.43%		4,873,000 USD		12/20/2025		Quarterly		(726,704	)		(409,761	)		316,943
Russia	GS	USD	2,436,000		1.00%		1.94%		2,436,000 USD		12/20/2025		Quarterly		(238,041	)		(136,512	)		101,529
Russia	GS	USD	8,487,000		1.00%		1.99%		8,487,000 USD		12/20/2026		Quarterly		(1,059,663	)		(559,356	)		500,307
Republic of Brazil	JPM	USD	40,000,000		1.00%		2.84%		40,000,000 USD		03/20/2030		Quarterly		(5,674,358	)		(6,031,402	)		(357,044	)
														$	(21,859,434	)	$	(9,512,970	)	$	12,346,464

^ Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(1) As of November 30, 2018, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e., higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

(2) The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract.

OTC Cross-Currency Basis Swaps

Fund Pays

Fund Receives

Counterparty

Notional Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

3 Month EURIBOR plus a spread of (0.35)%

3 Month USD LIBOR

JPM

EUR 122,436,000

09/11/2020

Quarterly

—

5,492,590

5,492,590

$

—

$

5,492,590

$

5,492,590

OTC Cross-Currency Interest Rate Swaps

Fund Pays	Fund Receives		Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
(0.22)%		3 Month USD LIBOR	GS		JPY 14,852,761,000		04/28/2025	Quarterly		—		(278,837	)		(278,837	)
									$	—	$	(278,837	)	$	(278,837	)

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives		Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
(1.53)%		6 Month EURIBOR	EUR	18,000,000		03/20/2048	Annual		—		(400,628	)		(400,628	)
1.76%		6 Month GBP LIBOR	GBP	24,493,000		12/16/2048	Semi-Annually		—		256,565			256,565
								$	—	$	(144,063	)	$	(144,063	)

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2018 (Unaudited)

As of November 30, 2018, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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.

CJSC - Closed Joint-Stock Company

CP - Counterparty

EURIBOR - Euro Interbank Offered Rate

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

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

GDP - Gross Domestic Product

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

OTC - Over-the-Counter

Reg S - Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.

USBM - U.S. Treasury 3 Month Bill Money Market Yield.

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

VRRB - Variable Rate Reduction Bond

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

The rates shown on variable rate notes are the current interest rates at November 30, 2018, which are subject to change based on the terms of the security.

† Denominated in U.S. Dollar, unless otherwise indicated.

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

(b) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs.

(c) Investment valued using significant unobservable inputs.

(d) Security is in default.

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

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

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

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

(i) Reverse repurchase agreements have an open maturity date and can be closed by either party on demand.

Counterparty Abbreviations:

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

Currency Abbreviations:

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

USD - United States Dollar

ZAR - South African Rand

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 71.3%
		Germany — 0.5%
		Corporate Debt — 0.5%
	1,208,000	Deutsche Bank AG, 4.50%, due 04/01/25		1,038,598
		Hong Kong — 0.3%
		Corporate Debt — 0.3%
	750,000	Studio City Co Ltd, 144A, 5.88%, due 11/30/19		748,125
		Ireland — 0.5%
		Corporate Debt — 0.5%
	1,130,000	Park Aerospace Holdings Ltd, 144A, 5.50%, due 02/15/24		1,136,927
		United Kingdom — 0.9%
		Corporate Debt — 0.9%
	2,000,000	Virgin Media Secured Finance Plc, 144A, 5.25%, due 01/15/26		1,872,500
		United States — 69.1%
		Corporate Debt — 16.7%
	1,625,000	Antero Resources Corp., 5.63%, due 06/01/23		1,612,812
	750,000	Arconic, Inc., 6.75%, due 01/15/28		727,500
	1,000,000	Brinker International, Inc., 144A, 5.00%, due 10/01/24		947,500
	2,625,000	CCO Holdings LLC / CCO Holdings Capital Corp., 5.25%, due 09/30/22		2,634,844
	1,125,000	CF Industries, Inc., 4.95%, due 06/01/43		874,687
	1,625,000	CommScope Technologies LLC, 144A, 5.00%, due 03/15/27		1,338,594
	900,000	DCP Midstream Operating LP, 144A, 6.75%, due 09/15/37		906,750
	1,550,000	EMC Corp., 3.38%, due 06/01/23		1,401,595
	1,625,000	Energy Transfer LP, 5.50%, due 06/01/27		1,620,937
	1,000,000	EnLink Midstream Partners LP, 4.15%, due 06/01/25		905,409
	375,000	Equinix, Inc., REIT, 5.38%, due 01/01/22		380,040
	1,250,000	Equinix, Inc., REIT, 5.75%, due 01/01/25		1,271,625
	1,250,000	Frontier Communications Corp., 8.50%, due 04/15/20		1,200,000
	1,125,000	Goodyear Tire & Rubber Co. (The), 5.00%, due 05/31/26		1,026,562
	2,375,000	HCA, Inc., 4.50%, due 02/15/27		2,278,516
	875,000	KB Home, 8.00%, due 03/15/20		913,281
	1,000,000	L Brands, Inc., 6.75%, due 07/01/36		832,500
	1,000,000	Mack-Cali Realty LP, REIT, 4.50%, due 04/18/22		955,101
	250,000	Magellan Health, Inc., 4.40%, due 09/22/24		234,183
	600,000	Murphy Oil Corp., 4.45%, due 12/01/22		576,246
	500,000	NuStar Logistics LP, 5.63%, due 04/28/27		472,500
	875,000	Oceaneering International, Inc., 4.65%, due 11/15/24		769,271

	Par Value† / Shares		Description	Value ($)
			United States — continued
			Corporate Debt — continued
		1,625,000	Pitney Bowes, Inc., 4.70%, due 04/01/23		1,501,094
		500,000	RR Donnelley & Sons Co., 7.88%, due 03/15/21		515,000
		625,000	Sirius XM Radio, Inc., 144A, 5.38%, due 07/15/26		608,594
		2,450,000	Standard Industries, Inc., 144A, 5.38%, due 11/15/24		2,327,500
		1,125,000	Steel Dynamics, Inc., 5.25%, due 04/15/23		1,123,594
		1,500,000	T-Mobile USA, Inc., 5.38%, due 04/15/27		1,458,750
		875,000	Targa Resources Partners LP / Targa Resources Partners Finance Corp., 6.75%, due 03/15/24		908,906
		500,000	USG Corp., 144A, 4.88%, due 06/01/27		500,625
		625,000	VeriSign, Inc., 4.75%, due 07/15/27		596,094
		2,500,000	Wyndham Destinations, Inc., 5.40%, due 04/01/24		2,441,750
			Total Corporate Debt		35,862,360
			U.S. Government — 17.8%
		19,750,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.42%, due 04/30/20 (a)		19,757,374
		16,300,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.43%, due 07/31/20		16,306,693
		2,025,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.43%, due 10/31/20		2,024,841
			Total U.S. Government		38,088,908
			U.S. Government Agency — 34.6%
		54,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.22%, 2.32%, due 02/01/19		53,997,394
		3,300,000	Federal Home Loan Banks, Variable Rate, 1 mo. USD LIBOR – 0.11%, 2.23%, due 05/28/19		3,299,246
		17,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.14%, 2.23%, due 12/26/19		17,003,150
			Total U.S. Government Agency		74,299,790
			Total United States		148,251,058
			TOTAL DEBT OBLIGATIONS (COST $154,093,122)		153,047,208
			MUTUAL FUNDS — 0.8%
			United States — 0.8%
			Affiliated Issuers — 0.8%
		69,284	GMO U.S. Treasury Fund		1,730,707
			TOTAL MUTUAL FUNDS (COST $1,730,376)		1,730,707
			SHORT-TERM INVESTMENTS — 25.5%
			Foreign Government Obligations — 21.4%
JPY		1,731,000,000	Japan Treasury Discount Bill, Zero Coupon, due 12/10/18		15,249,376

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

	Par Value† / Shares		Description	Value ($)
			Foreign Government Obligations — continued
JPY		1,731,550,000	Japan Treasury Discount Bill, Zero Coupon, due 01/09/19		15,257,241
JPY		1,731,000,000	Japan Treasury Discount Bill, Zero Coupon, due 02/12/19		15,256,756
			Total Foreign Government Obligations		45,763,373
			Money Market Funds — 0.2%
		455,476	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 2.16% (b)		455,476
			U.S. Government Agency — 3.9%
		2,950,000	Federal Home Loan Bank Discount Notes, Zero Coupon, due 12/07/18		2,949,257
		1,950,000	Federal Home Loan Bank Discount Notes, Zero Coupon, due 12/13/18		1,948,769
		325,000	Federal Home Loan Bank Discount Notes, Zero Coupon, due 12/14/18		324,774
		3,137,000	Federal Home Loan Bank Discount Notes, Zero Coupon, due 01/09/19		3,129,390
			Total U.S. Government Agency		8,352,190
			TOTAL SHORT-TERM INVESTMENTS (COST $54,942,936)		54,571,039
			TOTAL INVESTMENTS — 97.6% (Cost $210,766,434)		209,348,954
			Other Assets and Liabilities (net) — 2.4%		5,235,831
			TOTAL NET ASSETS — 100.0%		$214,584,785

A summary of outstanding financial instruments at November 30, 2018 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Apprecia- tion (Deprecia- tion) ($)
12/10/2018	JPM	JPY	1,731,000,000		USD	15,717,003		461,616
01/09/2019	MSCI	JPY	1,731,550,000		USD	15,388,546		77,835
02/12/2019	MSCI	JPY	1,731,000,000		USD	15,469,351		122,314
							$	661,765

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
146	U.S. Treasury Note 10 Yr. (CBT)		March 2019		17,440,156		63,755
93	U.S. Treasury Note 2 Yr. (CBT)		March 2019		19,621,547		12,657
238	U.S. Treasury Note 5 Yr. (CBT)		March 2019		26,884,703		51,108
				$	63,946,406	$	127,520
Sales
45	U.S. Long Bond (CBT)		March 2019	$	6,295,781	$	(26,133	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity

Notional Amount

Annual Premium

Implied Credit Spread (1)

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

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

Sell Protection^: CDX-NA.HYS.31.V1-5Y

USD 82,470,000

5.00%

3.91%

82,470,000 USD

12/20/2023

Quarterly

$

5,830,629

$

3,709,583

$

(2,121,046

)

^ Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2018 (Unaudited)

(1) As of November 30, 2018, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity.The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e., higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

(2) The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particularswap contract.

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1 Month USD LIBOR	Total Return on iBoxx High Yield Corp. ETF	BOA		USD	2,030,535	12/10/2018		At Maturity		—			(22,052	)		(22,052	)
3 Month USD LIBOR	Total Return on iBoxx High Yield Corp. ETF	JPM		USD	14,000,000	12/20/2018		Quarterly		(1,818	)		(281,725	)		(279,907	)
1 Month USD LIBOR	Total Return on iBoxx High Yield Corp. ETF	BOA		USD	1,090,841	12/20/2018		At Maturity		—			6,693			6,693
1 Month USD LIBOR	Total Return on iBoxx High Yield Corp. ETF	CITI		USD	3,531,647	12/20/2018		At Maturity		—			13,364			13,364
1 Month USD LIBOR	Total Return on iBoxx High Yield Corp. ETF	CITI		USD	3,971,929	12/20/2018		At Maturity		—			25,746			25,746
1 Month USD LIBOR	Total Return on iBoxx High Yield Corp. ETF	GS		USD	1,174,311	01/04/2019		At Maturity		—			3,878			3,878
3 Month USD LIBOR	Total Return on iBoxx High Yield Corp. ETF	CITI		USD	61,400,001	03/20/2019		Quarterly		(175,416	)		(760,653	)		(585,237	)
									$	(177,234	)	$	(1,014,749	)	$	(837,515	)

As of November 30, 2018, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

ETF - Exchange-Traded Fund

REIT - Real Estate Investment Trust.

USBM - U.S. Treasury 3 Month Bill Money Market Yield.

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

The rates shown on variable rate notes are the current interest rates at November 30, 2018, which are subject to change based on the terms of the security.

† Denominated in U.S. Dollar, unless otherwise indicated.

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

(b) The rate disclosed is the 7 day net yield as of November 30, 2018.

Counterparty Abbreviations:

BOA - Bank of America, N.A.

CITI - Citibank N.A.

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

JPY - Japanese Yen

USD - United States Dollar

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 88.8%
		Asset-Backed Securities — 85.5%
		Auto Retail Subprime — 1.2%
	4,130,000	CFC LLC, Series 14-2A, Class E, 144A, 5.36%, due 11/15/21		4,145,909
	6,265,989	CPS Auto Receivables Trust, Series 14-B, Class D, 144A, 4.62%, due 05/15/20		6,293,841
	1,049,647	CPS Auto Receivables Trust, Series 15-C, Class D, 144A, 4.63%, due 08/16/21		1,062,344
	1,968,190	Exeter Automobile Receivables Trust, Series 14-2A, Class D, 144A, 4.93%, due 12/15/20		1,969,486
		Total Auto Retail Subprime		13,471,580
		CMBS Collateralized Debt Obligations — 1.5%
	2,455,080	ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class A, 144A, 5.45%, due 12/21/42		2,475,990
	8,586,000	ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42		3,716,793
	3,570,989	Capitalsource Real Estate Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + .39%, 2.86%, due 01/20/37 (a)		3,526,352
	7,274,093	GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.61%, due 03/21/46		6,500,507
		Total CMBS Collateralized Debt Obligations		16,219,642
		Collateralized Loan Obligations — 14.1%
	18,135,165	ACIS CLO Ltd., Series 15-6A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.59%, 4.13%, due 05/01/27		18,167,845
	37,489,650	Arrowpoint CLO Ltd., Series 15-4A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.55%, 3.99%, due 04/18/27		37,545,997
	1,705,200	Atrium VIII, Series 8A, Class CR, 144A, Variable Rate, 3 mo. LIBOR+ 2.50%, 4.98%, due 10/23/24		1,706,383
	1,371,680	BFNS LLC, Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.98 %, 3.47%, due 01/25/29		1,371,702
	8,573,000	CIFC Funding Ltd., Series 15-2A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.78%, 3.22%, due 04/15/27		8,517,498
	3,001,600	CIFC Funding Ltd., Series 12-2RA, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.27%, due 01/20/28		2,973,310
	9,875,050	Crown Point CLO II Ltd., Series 13-2A, Class A3LR, 144A, Variable Rate, 3 mo. LIBOR + 1.75%, 4.19%, due 12/31/23		9,847,410
	4,263,000	Halcyon Loan Advisors Funding Ltd., Series 12-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 3.00%, 5.62%, due 08/15/23		4,268,938
	1,465,400	Madison Park Funding XII Ltd, Series 14-12A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 4.82%, due 07/20/26		1,465,453
	10,570,000	Palmer Square Loan Funding Ltd., Series 18-4A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + .90%, 3.15%, due 11/15/26		10,544,875

Par Value†		Description	Value ($)
		Collateralized Loan Obligations — continued
	13,689,000	Saratoga Investment CLO Ltd., Series 13-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 3.36%, 5.83%, due 10/20/25		13,688,261
	12,309,626	Seneca Park CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.57%, due 07/17/26		12,313,085
	1,568,784	Voya CLO Ltd., Series 14-3A, Class A2A, 144A, Variable Rate, 3 mo. LIBOR +1.90%, 4.39%, due 07/25/26		1,566,603
	2,856,722	WhiteHorse IX Ltd, Series 14-9A, Class AR, 144A, Variable Rate, 3 mo. LIBOR +1.16%, 3.61%, due 07/17/26		2,857,079
	6,750,000	Zais CLO 1 Ltd., Series 14-1A, Class A1BR, 144A, Variable Rate, 3 mo. LIBOR +1.50%, 3.94%, due 04/15/28		6,749,825
	20,250,000	Zais CLO 1 Ltd., Series 14-1A, Class A1AR, 144A, Variable Rate, 3 mo. LIBOR +1.15%, 3.59%, due 04/15/28		20,249,575
		Total Collateralized Loan Obligations		153,833,839
		Commercial Mortgage-Backed Securities — 12.1%
	3,152,575	Commercial Mortgage Trust, Series 05-C6, Class G, 144A, Variable Rate,, 5.87%, due 06/10/44		2,363,089
	1,454,200	Core Industrial Trust, Series 15-TEXW, Class D, 144A, Variable Rate, 3.98%, due 02/10/34		1,444,746
	3,550,200	Core Industrial Trust, Series 15-TEXW, Class E, 144A, Variable Rate, 3.98%, due 02/10/34		3,501,224
	5,151,600	Core Industrial Trust, Series 15-WEST, Class C, 144A, 3.49%, due 02/10/37		4,969,256
	23,260,500	Core Industrial Trust, Series 15-WEST, Class E, 144A, Variable Rate, 4.37%, due 02/10/37		22,621,483
	2,229,260	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + .25%, 2.55%, due 04/15/37		2,134,052
	1,023,502	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		1,009,749
	10,742,760	GS Mortgage Securities Corp., Series 16-RENT, Class E, 144A, Variable Rate, 4.20%, due 02/10/29		10,561,378
	6,101,601	GS Mortgage Securities Corp., Series 16-GS2, Class D, 144A, 2.75%, due 05/10/49		5,005,085
	4,264,000	GS Mortgage Securities Trust, Series 11-GC3, Class F, 144A, Variable Rate, 5.00%, due 03/10/44		3,682,125
	16,659,820	GS Mortgage Securities Trust, Series 11-GC3, Class D, 144A, Variable Rate, 5.83%, due 03/10/44		16,857,419
	10,894,775	Hyatt Hotel Portfolio Trust, Series 17-HYT2, Class G, 144A, Variable Rate, 1 mo. LIBOR + 4.15%, 6.60%, due 08/09/32		10,894,747

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		Commercial Mortgage-Backed Securities — continued
	2,432,859	JP Morgan Chase Commercial Mortgage Securities Trust, Series 04-CB9, Class F, 144A, Variable Rate, 5.47%, due 06/12/41		2,311,216
	4,863,088	JP Morgan Chase Commercial Mortgage Securities Trust, Series 04-C3, Class H, 144A, Variable Rate, 6.03%, due 01/15/42		4,864,951
	2,437,598	Merrill Lynch Mortgage Trust, Series 04-BPC1, Class E, 144A, Variable Rate, 5.17%, due 10/12/41		2,437,256
	1,201,206	Morgan Stanley Dean Witter Capital I Trust, Series 01-TOP3, Class F, 144A, Variable Rate, 8.00%, due 07/15/33		1,129,134
	8,543,000	Union Station District of Columbia, Series 2018-USDC, Class E, 144A, Variable Rate,, 4.64%, due 05/09/38		8,101,470
	8,270,894	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 4.13%, due 03/23/45		8,265,501
	3,434,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class D, 144A, Variable Rate, 3.67%, due 04/16/35		3,320,435
	8,563,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class F, 144A, Variable Rate, 3.67%, due 04/16/35		7,939,966
	8,471,000	West Town Mall Trust, Series 17-KNOX, Class E, 144A, Variable Rate, 4.49%, due 07/05/30		8,054,289
		Total Commercial Mortgage-Backed Securities		131,468,571
		Residential Mortgage-Backed Securities – Other — 10.6%
	1,284,173	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + .28%, 2.59%, due 02/25/36		645,244
	20,859,594	American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. LIBOR + .36%, 2.67%, due 02/25/36		3,523,811
	13,743,281	BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25		10,755,574
	5,766,956	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		5,332,659
	8,834,023	BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29		3,086,828
	2,928,137	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		1,057,035
	724,559	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + .32%, 2.63%, due 02/25/37		682,911
	5,612,301	Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33		5,277,189
	7,407,001	Conseco Financial Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29		7,401,203

Par Value†		Description	Value ($)
		Residential Mortgage-Backed Securities – Other — continued
	3,115,890	Conseco Financial Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30		2,892,127
	2,043,552	Countrywide Home Equity Loan Trust, Series 07-E, Class A, FSA, Variable Rate, 1 mo. LIBOR + .15%, 2.46%, due 06/15/37		1,936,117
	628,855	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + .50%, 2.82%, due 10/25/34		586,984
	8,720,114	GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37		8,808,884
	6,933,422	Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.61%, due 09/25/35		3,686,488
	31,512,573	Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + .26%, 2.57%, due 06/25/36		3,806,586
	15,537,856	Home Loan Trust, Series 07-HI1, Class A4, Step Up, 5.93%, due 03/25/37		8,774,813
	4,263,863	Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + .32%, 2.63%, due 03/25/36		829,286
	696,690	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 2.57%, due 02/26/34		657,817
	14,370,814	New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. LIBOR + .20%, 2.51%, due 03/25/36		1,135,363
	8,197,407	New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. LIBOR + .34%, 2.65%, due 03/25/36		647,507
	21,855,189	New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. LIBOR + .40%, 2.71%, due 03/25/36		1,726,180
	1,771,407	Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. LIBOR + .90%, 3.21%, due 08/25/35		1,805,268
	8,341,849	Oakwood Mortgage Investors, Inc., Series 99-C, Class A2, 7.48%, due 08/15/27		8,104,407
	1,579,583	Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28		1,655,521
	2,733,408	Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29		2,767,684
	5,840,166	Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30		5,254,780
	10,971,990	Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30		5,124,377
	1,406,231	Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31		1,199,385
	1,273,167	PHH Mortgage Trust, Series 07-1SL, Class M2, 144A, Step Up, 7.50%, due 12/25/27		1,478,404

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		Residential Mortgage-Backed Securities - Other — continued
	17,830,655	Residential Funding Mortgage Securities II, Series 06-HI4, Class A4, Step Up, 6.22%, due 09/25/36		13,678,748
	1,244,829	SACO I Trust, Series 05-10, Class 2A1, Variable Rate, 1 mo. LIBOR + .52%, 2.83%, due 01/25/36		1,245,662
		Total Residential Mortgage-Backed Securities - Other		115,564,842
		Residential Mortgage-Backed Securities – Prime — 3.0%
	2,044,013	Bear Stearns ARM Trust, Series 05-6, Class 3A1, Variable Rate, 4.39%, due 08/25/35		2,039,948
	1,873,600	Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, U.S. Treasury Yield 1 Year CMT + 2.30%, 4.73%, due 10/25/35		1,888,538
	1,198,707	Citigroup Mortgage Loan Trust, Series 05-3, Class 2A2, Variable Rate, 4.37%, due 08/25/35		1,195,370
	2,902,293	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 4.29%, due 12/25/36		2,745,832
	2,136,385	IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.73%, due 03/25/37		2,056,806
	3,080,382	RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 4.59%, due 09/25/35		3,050,882
	2,128,868	WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 4.13%, due 09/25/35		2,163,970
	1,846,341	WaMu Mortgage Pass-Through Certificates, Series 06-AR19, Class 2A, Variable Rate, COFI + 1.25, 2.27%, due 01/25/47		1,795,741
	15,038,118	Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 07-5, Class A6, 6.00%, due 06/25/37		15,289,725
		Total Residential Mortgage-Backed Securities – Prime		32,226,812
		Residential Mortgage-Backed Securities – Subprime — 1.7%
	1,788,863	Asset Backed Funding Certificates, Series 05-AQ1, Step Up, 4.79%, due 06/25/35		1,827,294
	2,578,393	BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 2.61%, due 05/26/37		2,491,244
	1,723,153	Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M3, Variable Rate 1 mo. LIBOR + 1.08%, 3.39%, due 08/25/35		1,726,068
	3,296,075	Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M4, Variable Rate 1 mo. LIBOR + 1.88%, 4.19%, due 08/25/35		3,316,313
	4,178,672	Bear Stearns Asset-Backed Securities, Inc., Series 07-AQ1, Class A1, Variable Rate, 1 mo. LIBOR + .11%, 2.42%, due 04/25/31		5,774,106
	1,686,400	GSAA Trust, Series 05-1, Class M1, Step Up, 5.30%, due 11/25/34		1,685,290

Par Value†		Description	Value ($)
		Residential Mortgage-Backed Securities – Subprime — continued
	1,480,275	Meritage Mortgage Loan Trust, Series 05-2, Class M2, Variable Rate, 1 mo. LIBOR + .75%, 3.06%, due 11/25/35		1,485,717
		Total Residential Mortgage-Backed Securities – Subprime		18,306,032
		Residential Mortgage-Backed Securities – Alt-A — 1.8%
	1,945,280	Adjustable Rate Mortgage Trust, Series 05-1, Class 5M1, Variable Rate, 1 mo. LIBOR + 1.05%, 3.36%, due 05/25/35		1,951,970
	2,394,801	Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + .70%, 3.01%, due 05/25/36		1,450,815
	2,499,463	Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + .70%, 3.01%, due 10/25/36		1,626,632
	4,679,594	Bear Stearns ARM Trust, Series 07-1, Class 2A1, Variable Rate, 3.94%, due 02/25/47		4,804,071
	3,646,235	Bear Stearns Asset Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34		3,682,440
	6,365,169	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 3.70%, due 07/25/36		4,594,819
	1,727,314	JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37		1,772,778
		Total Residential Mortgage-Backed Securities – Alt-A		19,883,525
		Small Balance Commercial Mortgages — 14.4%
	8,448,000	Barclays Commercial Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.41%, due 08/05/38		7,344,322
	600,261	Bayview Commercial Asset Trust, Series 04-1, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .84%, 3.15%, due 04/25/34		587,496
	333,817	Bayview Commercial Asset Trust, Series 04-1, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 1.80%, 4.11%, due 04/25/34		331,849
	588,276	Bayview Commercial Asset Trust, Series 04-1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 2.85%, 5.16%, due 04/25/34		591,804
	5,852,409	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .31%, 2.62%, due 08/25/35		5,549,088
	3,108,321	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .39%, 2.70%, due 01/25/36		3,001,614
	1,765,692	Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .38%, 2.69%, due 04/25/36		1,686,701
	2,458,522	Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .23%, 2.54%, due 07/25/36		2,372,335

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		Small Balance Commercial Mortgages — continued
	5,028,938	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .28%, 2.59%, due 07/25/36		4,868,246
	7,223,241	Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .25%, 2.56%, due 10/25/36		6,866,108
	863,508	Bayview Commercial Asset Trust, Series 06-3A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .30%, 2.61%, due 10/25/36		822,766
	2,628,263	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .24%, 2.55%, due 07/25/37		2,528,681
	11,004,749	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .27%, 2.58%, due 07/25/37		10,497,479
	5,859,354	Bayview Commercial Asset Trust, Series 07-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .32%, 2.63%, due 07/25/37		5,475,461
	2,284,339	Bayview Commercial Asset Trust, Series 07-6A, Class A3B, 144A, Variable Rate, 1 mo. LIBOR + .85%, 3.16%, due 12/25/37		2,259,142
	19,549,590	Bayview Commercial Asset Trust, Series 07-6A, Class A3A, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 3.56%, due 12/25/37		19,512,561
	3,300,000	Core Industrial Trust, Series 15-WEST, Class D, 144A, Variable Rate, 4.37%, due 02/10/37		3,280,198
	18,133,696	GE Business Loan Trust, Series 06-1X, Class A, Variable Rate, 1 mo. LIBOR + .20%, 2.51%, due 05/15/34		17,608,504
	2,312,097	GE Business Loan Trust, Series 06-2A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .18%, 1.41%, due 11/15/34		2,272,251
	4,724,944	GE Business Loan Trust, Series 07-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .17%, 2.48%, due 04/15/35		4,633,673
	3,789,292	GE Business Loan Trust, Series 07-1A, Class D, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 3.31%, due 04/16/35		3,442,817
	2,344,855	Lehman Brothers Small Balance Commercial, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .31%, 2.62%, due 04/25/31		2,346,497
	6,205,490	Lehman Brothers Small Balance Commercial, Series 06-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .29%, 2.60%, due 09/25/36		6,186,593
	1,925,681	Lehman Brothers Small Balance Commercial, Series 06-3A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + .20%, 2.51%, due 12/25/36		1,889,732
	4,300,000	Lehman Brothers Small Balance Commercial, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .40%, 2.71%, due 06/25/37		4,128,179
	4,121,904	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 2.53%, due 02/25/30		4,058,980
	1,744,539	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .40%, 2.71%, due 09/25/30		1,736,202

Par Value†		Description	Value ($)
		Small Balance Commercial Mortgages — continued
	2,002,843	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + .52%, 2.83%, due 09/25/30		1,976,744
	5,445,606	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M3, 144A, Variable Rate, 1 mo. LIBOR + .53%, 2.84%, due 04/25/31		5,257,114
	2,022,599	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 3.31%, due 04/25/31		1,930,487
	2,554,500	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-2A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + .39%, 2.70%, due 09/25/36		2,459,965
	2,563,200	Morgan Stanley Capital I Trust, Series 12-STAR, Class C, 144A, 3.85%, due 08/05/34		2,556,674
	854,400	Morgan Stanley Capital I Trust, Series 12-STAR, Class D, 144A, 4.06%, due 08/05/34		851,439
	1,534,245	Velocity Commercial Capital Loan Trust, Series 16-2, Class AFL, Variable Rate, 1 mo. LIBOR + 1.80%, 4.11%, due 10/25/46		1,545,666
	8,748,968	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class C, 144A, Variable Rate, 3.46%, due 12/27/49		8,750,368
	3,430,400	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class D, 144A, Variable Rate, 3.83%, due 12/27/49		3,446,424
	2,585,664	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 3.99%, due 12/27/49		2,594,170
		Total Small Balance Commercial Mortgages		157,248,330
		Student Loans – Federal Family Education Loan Program — 5.1%
	7,836,273	AccessLex Institute, Series 04-2, Class A3, Variable Rate, 3 mo. LIBOR + .19%, 2.68%, due 10/25/24		7,746,124
	12,348,337	AccessLex Institute, Series 04-2, Class B, Variable Rate, 3 mo. LIBOR + .70%, 3.19%, due 01/25/43		11,101,287
	24,968,268	AccessLex Institute, Series 07-1, Class A4, Variable Rate 3 mo. LIBOR + 0.06%, 2.55%, due 01/25/23		24,541,248
	5,184,643	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + .32%, 2.71%, due 03/28/35 (a)		4,873,564
	7,137,842	KeyCorp Student Loan Trust, Series 04-A, Class 1A2, Variable Rate, 3 mo. LIBOR + 0.24%, 2.75%, due 10/27/42		6,997,630
		Total Student Loans – Federal Family Education Loan Program		55,259,853

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		Student Loans – Private — 19.6%
	5,995,542	Access Group, Inc., Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + .80%, 3.29%, due 07/25/34		5,846,610
	1,725,067	Access Group, Inc., Series 03-A, Class A2, Variable Rate, 3 mo. USBM +1.20%, 3.61%, due 07/01/38		1,722,616
	5,676,404	KeyCorp Student Loan Trust, Series 05-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.73%, 3.11%, due 09/27/38		5,650,997
	31,059,920	KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + .48%, 2.86%, due 12/27/41		30,630,352
	3,123,725	KeyCorp Student Loan Trust, Series 04-A, Class 2C, Variable Rate, 3 mo. LIBOR + 0.80%, 3.31%, due 04/28/42		3,045,714
	5,622,500	KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. LIBOR + 1.25%, 3.76%, due 07/28/42		4,650,235
	2,266,988	L2L Education Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 0.50%, 2.56%, due 10/15/28		2,193,336
	18,250,000	National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 5.16%, due 03/31/38 (a)		8,166,875
	3,978,633	National Collegiate Student Loan Trust, Series 05-3, Variable Rate, 1 mo. LIBOR + .38%, 2.70%, due 10/25/33		3,829,433
	259,145	National Collegiate Student Loan Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + .21%, 2.52%, due 11/25/27		258,892
	1,088,498	National Collegiate Student Loan Trust, Series 06-3, Class A4, Variable Rate, 1 mo. LIBOR + .27%, 2.59%, due 03/26/29		1,076,936
	2,186,140	National Collegiate Student Loan Trust, Series 05-2, Class A4, Variable Rate, 1 mo. LIBOR + .27%, 2.59%, due 09/25/29		2,173,514
	14,076,625	National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate, 1 mo. LIBOR + 0.24%, 2.56%, due 07/25/30		13,861,530
	8,685,000	National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + .31%, 2.62%, due 05/25/32		8,127,321
	12,306,187	National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. LIBOR + .35%, 2.67%, due 03/25/33		11,660,954
	12,763,500	National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. LIBOR + 0.37%, 2.69%, due 06/25/33		11,940,704
	11,691,500	National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 2.62%, due 10/25/33		10,055,527
	25,000	National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 5.16%, due 03/25/38 (a)		23,000
	75,000	National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 5.50%, due 03/25/38 (a)		70,500

Par Value†		Description	Value ($)
		Student Loans – Private — continued
	10,198,000	SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 28-DayAuct+0.00, due 06/15/32 (a)		10,196,980
	5,200,000	SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 28-DayAuct+0.00, due 09/15/32 (a)		5,200,000
	3,509,557	SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. LIBOR + 1.60%, 3.93%, due 09/15/32		1,208,107
	9,000,000	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + .43%, 2.76%, due 09/15/33		8,731,917
	4,635,893	SLM Private Credit Student Loan Trust, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + .28%, 2.61%, due 12/15/38		4,585,553
	27,685,462	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + .29%, 2.62%, due 06/15/39		27,034,403
	19,638,837	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + .33%, 2.66%, due 06/15/39		19,306,966
	2,672,291	SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. LIBOR + .39%, 2.72%, due 12/15/39		2,117,568
	10,833,717	South Carolina Student Loan Corp., Series 15-A, Class A, Variable Rate, 1 mo. LIBOR + 1.50%, 3.81%, due 01/25/36		10,916,232
		Total Student Loans – Private		214,282,772
		Time Share — 0.4%
	475,727	BXG Receivables Note Trust, Series 12-A, Class B, 144A, 3.99%, due 12/02/27		472,162
	1,794,027	BXG Receivables Note Trust, Series 13-A, Class B, 144A, 4.00%, due 12/04/28		1,780,652
	998,369	Marriott Vacation Club Owner Trust, Series 12-1A, Class B, 144A, Variable Rate, 3.50%, due 05/20/30		990,492
	1,629,308	Westgate Resorts LLC, Series 17-1A, Class A, 144A, 3.05%, due 12/20/30		1,613,512
		Total Time Share		4,856,818
		Total Asset-Backed Securities		932,622,616
		U.S. Government — 0.5%
	2,800,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.42%, due 04/30/20 (b)		2,801,045
	3,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.43%, due 07/31/20 (b)		3,001,232
		Total U.S. Government		5,802,277
		U.S. Government Agency — 2.8%
	6,418,750	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR – .02%, 2.85%, due 02/01/25 (c)		6,208,389

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value† / Shares		Description	Value ($)
		U.S. Government Agency — continued
	6,000,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + .15%, 3.01%, due 10/29/26 (c)		5,784,333
	3,525,000	Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR, 2.88%, due 07/01/23 (c)		3,439,552
	15,000,000	Federal National Mortgage Association, TBA, 4.00%, due 02/13/49		15,055,078
		Total U.S. Government Agency		30,487,352
		TOTAL DEBT OBLIGATIONS (COST $959,579,522)		968,912,245
		MUTUAL FUNDS — 4.5%
		United States — 4.5%
		Affiliated Issuers — 4.5%
	1,952,608	GMO U.S. Treasury Fund		48,776,146
		TOTAL MUTUAL FUNDS (COST $48,776,146)		48,776,146
		SHORT-TERM INVESTMENTS — 5.4%
		Money Market Funds — 0.5%
	5,010,479	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 2.16% (d)		5,010,479
		Repurchase Agreements — 4.9%
	53,956,979	Barclays Bank plc Repurchase Agreement, dated 11/30/18, maturing on 12/3/18 with a maturity value of $53,967,006 and an effective yield of 2.23%, collateralized by a U.S. Treasury Note with maturity date 11/15/24 and a market value of $55,024,740.		53,956,979
		TOTAL SHORT-TERM INVESTMENTS (COST $58,967,458)		58,967,458
		TOTAL INVESTMENTS — 98.7% (Cost $1,067,323,126)		1,076,655,849
		Other Assets and Liabilities (net) — 1.3%		14,716,110
		TOTAL NET ASSETS — 100.0%		$1,091,371,959

A summary of outstanding financial instruments at November 30, 2018 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
862	U.S. Treasury Note 2 Yr. (CBT)	March 2019		181,868,532		117,501
1,364	U.S. Treasury Note 5 Yr. (CBT)	March 2019		154,078,720		292,674
174	U.S. Treasury Ultra 10 Yr. (CBT)	March 2019		22,011,000		100,329
			$	357,958,252	$	510,504
Sales
2	U.S. Long Bond (CBT)	March 2019		279,812		(1,503	)
28	U.S. Treasury Note 10 Yr. (CBT)	March 2019		3,344,688		(6,606	)
			$	3,624,500	$	(8,109	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2018 (Unaudited)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HYS.27.V1-5Y	USD	24,693,500		5.00%		2.97%	N/A		12/20/2021		Quarterly		(1,825,591	)		(1,387,972	)		437,619
Sell Protection^:
CDX.NA.IGS.28.V1-5Y	USD	17,200,000		1.00%		0.57%	17,200,000 USD		06/20/2022		Quarterly		300,982			248,368			(52,614	)
												$	(1,524,609	)	$	(1,139,604	)	$	385,005

OTC Credit Default Swaps

Reference Entity	Counter- party	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HYS.25.V1-5Y	BOA	USD	4,400,000		5.00%		0.76%		N/A		12/20/2020		Quarterly		369,771			(376,492	)		(746,263	)
CDX.NA.HYS.25.V1-5Y	JPM	USD	4,343,000		5.00%		0.76%		N/A		12/20/2020		Quarterly		(26,058	)		(371,615	)		(345,557	)
CDX.NA.HYS.25.V5-5Y	JPM	USD	8,543,000		5.00%		0.76%		N/A		12/20/2020		Quarterly		(847,893	)		(730,994	)		116,899
CDX.NA.IGS.25.V1-5Y	BOA	USD	4,400,000		1.00%		0.63%		N/A		12/20/2020		Quarterly		710,600			(32,715	)		(743,315	)
CDX.NA.IGS.25.V1-5Y	CITI	USD	4,300,000		1.00%		0.63%		N/A		12/20/2020		Quarterly		547,891			(31,971	)		(579,862	)
CDX.NA.HYS.27.V2-5Y	GS	USD	8,580,000		5.00%		1.87%		N/A		12/20/2021		Quarterly		21,450			(786,772	)		(808,222	)
CDX.NA.HYS.27.V2-5Y	JPM	USD	4,300,000		5.00%		1.87%		N/A		12/20/2021		Quarterly		(11,825	)		(394,303	)		(382,478	)
D.R. HORTON INC	BCLY	USD	17,200,000		1.00%		0.69%		N/A		06/20/2022		Quarterly		(165,250	)		(178,262	)		(13,012	)
CDX-NA.HYS.29.V1-5Y	JPM	USD	5,060,000		5.00%		3.76%		N/A		12/20/2022		Quarterly		(301,070	)		(235,434	)		65,636
CDX.NA.HYS.29.V1-5Y	JPM	USD	6,425,250		5.00%		3.76%		N/A		12/20/2022		Quarterly		(282,711	)		(298,957	)		(16,246	)
CDX.NA.HYS.29.V1-5Y	MSCS	USD	3,450,800		5.00%		3.76%		N/A		12/20/2022		Quarterly		(188,414	)		(160,561	)		27,853
Navient Corp.	BCLY	USD	2,576,400		5.00%		3.19%		N/A		12/20/2022		Quarterly		(208,665	)		(167,099	)		41,566
Navient Corp.	BCLY	USD	2,576,400		5.00%		3.19%		N/A		12/20/2022		Quarterly		(198,694	)		(167,099	)		31,595
Navient Corp.	BCLY	USD	3,435,200		5.00%		3.19%		N/A		12/20/2022		Quarterly		(264,646	)		(222,798	)		41,848
CMBX.NA.AS.7	BOA	USD	4,505,000		1.00%		0.67%		N/A		01/17/2047		Monthly		47,352			(67,334	)		(114,686	)
CMBX.NA.AS.7	DB	USD	16,677,794		1.00%		0.67%		N/A		01/17/2047		Monthly		197,705			(249,276	)		(446,981	)
CMBX.NA.AS.7	GS	USD	4,400,000		1.00%		0.67%		N/A		01/17/2047		Monthly		112,812			(65,765	)		(178,577	)
CMBX.NA.AS.7	MSCS	USD	13,270,000		1.00%		0.67%		N/A		01/17/2047		Monthly		205,782			(198,341	)		(404,123	)
CMBX.NA.AA.8	CSI	USD	8,892,000		1.50%		1.30%		N/A		10/17/2057		Monthly		247,717			(91,501	)		(339,218	)
CMBX.NA.AS.8	CGMI	USD	8,892,000		1.00%		0.76%		N/A		10/17/2057		Monthly		73,095			(113,438	)		(186,533	)
CMBX.NA.AS.8	MSCS	USD	3,384,000		1.00%		0.76%		N/A		10/17/2057		Monthly		140,432			(43,171	)		(183,603	)
CMBX.NA.BBB-.8	GS	USD	8,650,000		3.00%		4.77%		N/A		10/17/2057		Monthly		1,299,082			730,183			(568,899	)
CMBX.NA.BBB-.8	CGMI	USD	4,223,000		3.00%		4.77%		N/A		10/17/2057		Monthly		392,728			356,481			(36,247	)
CMBX.NA.BBB-.8	GS	USD	4,224,000		3.00%		4.77%		N/A		10/17/2057		Monthly		400,908			356,566			(44,342	)
CMBX.NA.BBB-.8	CITI	USD	7,500,000		3.00%		4.77%		N/A		10/17/2057		Monthly		596,480			633,107			36,627
CMBX.NA.BBB-.8	CSI	USD	2,108,500		3.00%		4.77%		N/A		10/17/2057		Monthly		144,924			177,987			33,063
CMBX.NA.AAA.9	DB	USD	18,296,200		0.50%		0.49%		N/A		09/17/2058		Monthly		(19,617	)		(10,155	)		9,462
CMBX.NA.BBB-.9	MSCS	USD	8,528,000		3.00%		4.58%		N/A		09/17/2058		Monthly		974,545			732,013			(242,532	)
CMBX.NA.BBB-.9	DB	USD	4,263,000		3.00%		4.58%		N/A		09/17/2058		Monthly		517,160			365,921			(151,239	)
CMBX.NA.BBB-.9	DB	USD	4,400,000		3.00%		4.58%		N/A		09/17/2058		Monthly		950,085			377,680			(572,405	)
CMBX.NA.BBB-.9	GS	USD	1,760,000		3.00%		4.58%		N/A		09/17/2058		Monthly		346,611			151,072			(195,539	)

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2018 (Unaudited)

OTC Credit Default Swaps — continued

Reference Entity	Counter- party	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Sell Protection^:
CDX-NA.HYS.27.V3-5Y	JPM	USD	8,543,000		5.00%		0.63%		8,543,000 USD		12/20/2021		Quarterly		1,230,192			1,103,296			(126,896	)
CDX-NA.HYS.27.V3-5Y	JPM	USD	12,672,000		5.00%		0.63%		12,672,000 USD		12/20/2021		Quarterly		1,795,622			1,636,541			(159,081	)
CDX.NA.HYS.27.V2-5Y	GS	USD	12,870,000		5.00%		0.63%		12,870,000 USD		12/20/2021		Quarterly		1,657,013			1,662,112			5,099
CDX.NA.HYS.27.V2-5Y	JPM	USD	8,600,000		5.00%		0.63%		8,600,000 USD		12/20/2021		Quarterly		1,143,800			1,110,657			(33,143	)
CDX.NA.HYS.27.V3-5Y	BOA	USD	8,545,000		5.00%		0.63%		8,545,000 USD		12/20/2021		Quarterly		1,369,764			1,103,554			(266,210	)
CDX.NA.HYS.29.V1-5Y	BOA	USD	25,885,000		5.00%		1.36%		25,885,000 USD		12/20/2022		Quarterly		4,283,968			3,623,616			(660,352	)
CDX.NA.HYS.29.V1-5Y	MSCS	USD	10,233,600		5.00%		1.36%		10,233,600 USD		12/20/2022		Quarterly		1,547,320			1,432,592			(114,728	)
CDX.NA.HYS.29.V1-5Y	JPM	USD	42,835,000		5.00%		0.45%		42,835,000 USD		12/20/2022		Quarterly		9,136,706			7,237,209			(1,899,497	)
CDX.NA.HYS.29.V1-5Y	BOA	USD	5,115,600		5.00%		1.36%		5,115,600 USD		12/20/2022		Quarterly		742,274			716,128			(26,146	)
CDX.NA.HYS.29.V1-5Y	MSCS	USD	21,567,500		5.00%		0.45%		21,567,500 USD		12/20/2022		Quarterly		4,121,549			3,643,948			(477,601	)
CDX-NA.HYS.31.V1-5Y	GS	USD	10,000,000		5.00%		2.68%		10,000,000 USD		12/20/2023		Quarterly		1,166,000			1,073,906			(92,094	)
CDX-NA.HYS.31.V1-5Y	JPM	USD	18,980,000		5.00%		0.70%		18,980,000 USD		12/20/2023		Quarterly		3,778,918			3,664,566			(114,352	)
CMBX.NA.A.6	CSI	USD	4,217,000		2.00%		2.94%		4,217,000 USD		05/11/2063		Monthly		(52,739	)		(134,102	)		(81,363	)
														$	37,702,674		$	26,760,980		$	(10,941,694	)

^ Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(1) As of November 30, 2018, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e., higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

(2) The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract.

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives		Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)		Net Unrealized Appreciation/ (Depreciation) ($)
1.27%		3 Month USD LIBOR	USD	10,495,000		03/10/2021	Quarterly		—			394,399		394,399
2.55%		3 Month USD LIBOR	USD	21,181,000		03/16/2021	Quarterly		144,649			201,696		57,047
2.10%		3 Month USD LIBOR	USD	4,101,000		11/24/2021	Quarterly		90,788			104,486		13,698
2.59%		3 Month USD LIBOR	USD	3,584,000		02/09/2022	Quarterly		462			43,697		43,235
2.90%		3 Month USD LIBOR	USD	7,624,000		06/22/2022	Quarterly		—			20,367		20,367
2.06%		3 Month USD LIBOR	USD	11,981,000		11/10/2022	Quarterly		163,222			409,360		246,138
2.15%		3 Month USD LIBOR	USD	8,477,000		10/13/2024	Quarterly		164,028			381,275		217,247
2.00%		3 Month USD LIBOR	USD	19,668,000		04/16/2025	Quarterly		(91,173	)		1,142,853		1,234,026
1.65%		3 Month USD LIBOR	USD	5,536,000		05/19/2026	Quarterly		221,123			509,404		288,281
2.88%		3 Month USD LIBOR	USD	7,356,000		06/04/2028	Quarterly		—			102,532		102,532
3.00%		3 Month USD LIBOR	USD	6,581,000		07/30/2028	Quarterly		—			23,991		23,991
								$	693,099		$	3,334,060	$	2,640,961

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2018 (Unaudited)

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)		Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on iBoxx USD Liquid Leveraged Loans Index	3 Month USD LIBOR	JPM		USD	40,000,000		12/20/2018	Quarterly		—		165,828		165,828
Total Return on iBoxx USD Liquid Leveraged Loans Index	3 Month USD LIBOR	MSCS		USD	25,000,000		12/20/2018	Quarterly		—		96,167		96,167
									$	—	$	261,995	$	261,995

As of November 30, 2018, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

CLO - Collateralized Loan Obligation

CMBS - Commercial Mortgage Backed Security

CMT - Constant Maturity Treasury

COFI - Cost of Funds Index

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

LIBOR - London Interbank Offered Rate

TBA - To Be Announced - Delayed Delivery Security

USBM - U.S. Treasury 3 Month Bill Money Market Yield.

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

The rates shown on variable rate notes are the current interest rates at November 30, 2018, which are subject to change based on the terms of the security.

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) Investment valued using significant unobservable inputs.

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

(c) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs.

(d) The rate disclosed is the 7 day net yield as of November 30, 2018.

Counterparty Abbreviations:

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

CGMI - Citigroup Global Markets Inc.

CITI - Citibank N.A.

CSI - Credit Suisse International

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCS - Morgan Stanley Capital Services LLC

Currency Abbreviations:

USD - United States Dollar

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 100.2%
		U.S. Government — 84.9%
	82,000,000	U.S. Treasury Bill, 2.39% due 04/04/19 (a)		81,334,456
	64,000,000	U.S. Treasury Bill, 2.42%, due 04/11/19 (a)		63,444,440
	51,000,000	U.S. Treasury Bill, 2.44%, due 04/18/19 (a)		50,530,857
	20,000,000	U.S. Treasury Bill, 2.45%, due 04/25/19 (a)		19,806,155
	15,000,000	U.S. Treasury Note, 1.75%, due 11/30/19		14,853,516
	101,108,700	U.S. Treasury Note, Variable Rate, USBM + 0.00%, 2.38%, due 01/31/20		101,139,816
	145,902,600	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.42%, due 04/30/20		145,957,076
	54,741,200	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.43%, due 07/31/20		54,763,678
	50,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.43%, due 10/31/20		49,996,055
		TOTAL U.S. GOVERNMENT (COST $581,682,979)		581,826,049
		U.S. Government Agency — 15.2%
	44,480,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – .16%, 2.35%, due 01/28/19		44,482,460
	24,470,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – .16%, 2.43%, due 02/07/20		24,468,150
	35,590,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – .23%, 2.35%, due 05/04/20		35,547,843
		TOTAL U.S. GOVERNMENT AGENCY (COST $104,538,954)		104,498,453

Shares		Description	Value ($)
		Money Market Funds — 0.1%
	433,507	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 2.16% (b)		433,507
		TOTAL SHORT-TERM INVESTMENTS (COST $686,655,440)		686,758,009
		TOTAL INVESTMENTS — 100.2% (Cost $686,655,440)		686,758,009
		Other Assets and Liabilities (net) — (0.2%)		(1,594,326	)
		TOTAL NET ASSETS — 100.0%		$685,163,683

Notes to Schedule of Investments:

USBM - U.S. Treasury 3 Month Bill Money Market Yield.

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

The rates shown on variable rate notes are the current interest rates at November 30, 2018, which are subject to change based on the terms of the security.

† Denominated in U.S. Dollar, unless otherwise indicated.

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

(b) The rate disclosed is the 7 day net yield as of November 30, 2018.

Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes. As of November 30, 2018, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments for U.S. federal income tax purposes were as follows:

	Total Investments								Outstanding Financial Instruments
Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Asset Allocation Bond Fund		396,633,688		25,546		(10,098,334)		(10,072,788)		234,689
Core Plus Bond Fund		831,046,363		5,179,965		(21,080,688)		(15,900,723)		2,725,106
Emerging Country Debt Fund		4,318,812,726		101,158,698		(568,855,802)		(467,697,104)		17,412,631
High Yield Fund		210,863,021		60,903		(1,574,970)		(1,514,067)		(2,195,409)
Opportunistic Income Fund		1,072,095,171		25,956,717		(21,396,039)		4,560,678		(7,151,338)
U.S. Treasury Fund		686,655,440		149,236		(46,667)		102,569		—

Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust (“underlying funds”). A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended November 30, 2018 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Asset Allocation Bond Fund
GMO U.S. Treasury Fund	$	—	$	158,497,551	$	147,400,000	$	337,561	$	(20,214	)	$	4,423		$	11,081,760
Core Plus Bond Fund
GMO Emerging Country Debt Fund, Class IV	$	50,741,626	$	—	$	13,000,000	$	566,358	$	(641,559	)	$	(2,691,881	)	$	34,408,186
GMO Opportunistic Income Fund, Class VI		193,785,692		—		57,400,000		1,389,828		1,827,105			1,110,853			139,323,650
GMO U.S. Treasury Fund		18,513,042		267,650,000		270,990,000		325,025		(6,143	)		7,414			15,174,313
Totals	$	263,040,360	$	267,650,000	$	341,390,000	$	2,281,211	$	1,179,403		$	(1,573,614	)	$	188,906,149
Emerging Country Debt Fund
GMO Opportunistic Income Fund, Class VI	$	15,001,189	$	—	$	—	$	129,507	$	—		$	278,326		$	15,279,515
GMO U.S. Treasury Fund		81,177,603		—		7,000,000		1,215,220		(11,213	)		40,920			74,207,310
Totals	$	96,178,792	$	—	$	7,000,000	$	1,344,727	$	(11,213	)	$	319,246		$	89,486,825
High Yield Fund
GMO U.S. Treasury Fund	$	—	$	78,131,496	$	76,401,794	$	31,877	$	674		$	331		$	1,730,707
Opportunistic Income Fund
GMO U.S. Treasury Fund	$	58,387,949	$	111,870,000	$	121,465,000	$	657,998	$	(40,186	)	$	23,383		$	48,776,146

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2018 through November 30, 2018. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2019.

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 Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon the sale of those securities.

Portfolio valuation

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within that range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. 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 (“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. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended November 30, 2018, the Funds did not reduce the value of any of their 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 valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) in the table below.

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.

U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.

The three levels are defined as follows:

Level 1 – Valuations based on quoted prices for identical securities in active markets.

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).

Level 2 – Valuations determined using other significant direct or indirect observable inputs.

The types of assets and liabilities categorized in Level 2 generally include certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

Level 3 – Valuations based primarily on inputs that are unobservable and significant.

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they may be valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; certain sovereign debt securities valued using comparable securities issued by the sovereign adjusted by a specified spread; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; 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 November 30, 2018:

Description	Level 1		Level 2			Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	13,502,615	$	317,566,615		$	—	$	331,069,230
U.S. Government Agency		27,486,968		—			—		27,486,968
TOTAL DEBT OBLIGATIONS		40,989,583		317,566,615			—		358,556,198
Mutual Funds		11,081,760		—			—		11,081,760
Short-Term Investments		2,101,650		14,821,292			—		16,922,942
Total Investments		54,172,993		332,387,907			—		386,560,900
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		873,977			—		873,977
Swap Contracts
Interest Rate Risk		—		1,714,758			—		1,714,758
Total	$	54,172,993	$	334,976,642		$	—	$	389,149,635
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(1,230,780	)	$	—	$	(1,230,780	)
Swap Contracts
Interest Rate Risk		—		(1,222,270	)		—		(1,222,270	)
Total	$	—	$	(2,453,050	)	$	—	$	(2,453,050	)

Description	Level 1		Level 2			Level 3			Total
Core Plus Bond Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	25,218,792		$	—		$	25,218,792
U.S. Government		192,882,700		—			—			192,882,700
U.S. Government Agency		—		102,724,487			—			102,724,487
TOTAL DEBT OBLIGATIONS		192,882,700		127,943,279			—			320,825,979
Mutual Funds		296,393,937		—			—			296,393,937
Short-Term Investments		1,741,742		196,183,982			—			197,925,724
Total Investments		491,018,379		324,127,261			—			815,145,640
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		3,894,261			—			3,894,261
Futures Contracts
Interest Rate Risk		228,382		—			—			228,382
Swap Contracts
Interest Rate Risk		—		4,117,377			—			4,117,377
Total	$	491,246,761	$	332,138,899		$	—		$	823,385,660
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(2,930,622	)	$	—		$	(2,930,622	)
Swap Contracts
Interest Rate Risk		—		(2,799,875	)		—			(2,799,875	)
Total	$	—	$	(5,730,497	)	$	—		$	(5,730,497	)
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	41,104,321		$	—		$	41,104,321
Corporate Debt		—		9,426,747			25,003,475			34,430,222
Foreign Government Agency		—		742,555,607			127,828,528			870,384,135
Foreign Government Obligations		—		1,713,777,523			117,428,570			1,831,206,093
U.S. Government		619,017,845		75,777,167			—			694,795,012
TOTAL DEBT OBLIGATIONS		619,017,845		2,582,641,365			270,260,573			3,471,919,783
Loan Assignments		—		—			7,736,292			7,736,292
Loan Participations		—		—			47,000,258			47,000,258
Mutual Funds		89,486,825		—			—			89,486,825
Rights/Warrants		—		21,880,129			2,938,903			24,819,032
Short-Term Investments		210,153,432		—			—			210,153,432
Total Investments		918,658,102		2,604,521,494			327,936,026			3,851,115,622
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		280,760			—			280,760
Options
Credit Risk		—		—			223,687			223,687
Swap Contracts
Credit Risk		—		16,516,759			—			16,516,759
Interest Rate Risk		—		5,749,155			—			5,749,155
Total	$	918,658,102	$	2,627,068,168		$	328,159,713		$	3,873,885,983
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(50,916	)	$	—		$	(50,916	)
Options
Credit Risk		—		—			(2,218,091	)		(2,218,091	)
Swap Contracts
Credit Risk		—		(16,582,204	)		—			(16,582,204	)
Interest Rate Risk		—		(679,465	)		—			(679,465	)
Total	$	—	$	(17,312,585	)	$	(2,218,091	)	$	(19,530,676	)

Description	Level 1			Level 2			Level 3		Total
High Yield Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—		$	40,658,510		$	—	$	40,658,510
U.S. Government		38,088,908			—			—		38,088,908
U.S. Government Agency		74,299,790			—			—		74,299,790
TOTAL DEBT OBLIGATIONS		112,388,698			40,658,510			—		153,047,208
Mutual Funds		1,730,707			—			—		1,730,707
Short-Term Investments		8,807,666			45,763,373			—		54,571,039
Total Investments		122,927,071			86,421,883			—		209,348,954
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			661,765			—		661,765
Futures Contracts
Interest Rate Risk		127,520			—			—		127,520
Swap Contracts
Credit Risk		—			3,709,583			—		3,709,583
Interest Rate Risk		—			49,681			—		49,681
Total	$	123,054,591		$	90,842,912		$	—	$	213,897,503
Liability Valuation Inputs
Derivatives^
Futures Contracts
Interest Rate Risk	$	(26,133	)	$	—		$	—	$	(26,133	)
Swap Contracts
Interest Rate Risk		—			(1,064,430	)		—		(1,064,430	)
Total	$	(26,133	)	$	(1,064,430	)	$	—	$	(1,090,563	)
Opportunistic Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	900,565,345		$	32,057,271	$	932,622,616
U.S. Government		5,802,277			—			—		5,802,277
U.S. Government Agency		—			15,055,078			15,432,274		30,487,352
TOTAL DEBT OBLIGATIONS		5,802,277			915,620,423			47,489,545		968,912,245
Mutual Funds		48,776,146			—			—		48,776,146
Short-Term Investments		5,010,479			53,956,979			—		58,967,458
Total Investments		59,588,902			969,577,402			47,489,545		1,076,655,849
Derivatives^
Futures Contracts
Interest Rate Risk		510,504			—			—		510,504
Swap Contracts
Credit Risk		—			32,137,503			—		32,137,503
Interest Rate Risk		—			3,596,055			—		3,596,055
Total	$	60,099,406		$	1,005,310,960		$	47,489,545	$	1,112,899,911
Liability Valuation Inputs
Derivatives^
Futures Contracts
Interest Rate Risk	$	(8,109	)	$	—		$	—	$	(8,109	)
Swap Contracts
Credit Risk		—			(6,516,127	)		—		(6,516,127	)
Total	$	(8,109	)	$	(6,516,127	)	$	—	$	(6,524,236	)

Description	Level 1		Level 2		Level 3		Total
U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	686,758,009	$	—	$	—	$	686,758,009
Total Investments		686,758,009		—		—		686,758,009
Total	$	686,758,009	$	—	$	—	$	686,758,009

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), in the case of forward currency contracts, 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. Excludes purchased options and rights/warrants, if any, which are included in investments.

The underlying funds held at period end are classified above as Level 1. Certain underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds’ portfolio valuation notes which are available on the Securities and Exchange Commission’s website at www.sec.gov or on GMO’s website at www.gmo.com.

For all Funds for the period ended November 30, 2018, there were no significant transfers between Level 1 and Level 2.

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). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Emerging Country Debt Fund’s Level 3 holdings also include the Republic of Albania Par Bond, due 8/13/25, which is valued by applying a 140 basis point spread to the yield of the U.S. Treasury Strip Principal, due 8/15/25. Opportunistic Income Fund’s Level 3 holdings also consists of three U.S. Agency for International Development Floater Bonds which were valued using current LIBOR yield and adjusted by 125 basis points for liquidity considerations. There were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at November 30, 2018.

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, 2018			Purchases		Sales			Accrued Discounts/ Premiums			Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3†		Transfer out of Level 3†		Balances as of November 30, 2018			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2018
Emerging Country Debt Fund
Debt Obligations
Corporate Debt	$	26,126,080		$	—	$	—		$	(1,067	)	$	—		$	(1,121,538	)	$	—	$	—	$	25,003,475		$	(1,121,538	)
Foreign Government Agency		134,381,263			—		—			1,177,109			—			(7,729,844	)		—		—		127,828,528			(7,729,844	)
Foreign Government Obligations		123,199,974			—		(3,206,336	)		2,977,546			—			(5,542,614	)		—		—		117,428,570			(5,542,614	)
Total Debt Obligations		283,707,317			—		(3,206,336	)		4,153,588			—			(14,393,996	)		—		—		270,260,573			(14,393,996	)
Loan Assignments		1,110,398			7,300,000		(224,630	)		10,195			—			(459,671	)		—		—		7,736,292			(459,671	)
Loan Participations		59,670,207			—		(9,652,863	)		1,290,923			(163,281	)		(4,144,728	)		—		—		47,000,258			(4,144,728	)
Rights/Warrants		6,474,227			—		—			—			—			(3,535,324	)		—		—		2,938,903			(3,535,324	)
Total Investments		350,962,149			7,300,000		(13,083,829	)		5,454,706			(163,281	)		(22,533,719	)		—		—		327,936,026			(22,533,719	)
Derivatives
Options		(912,233	)		—		(70,000	)		—			938,847			(1,951,018	)		—		—		(1,994,404	)		(491,946	)
Total	$	350,049,916		$	7,300,000	$	(13,153,829	)#	$	5,454,706		$	775,566		$	(24,484,737	)	$	—	$	—	$	325,941,622		$	(23,025,665	)
Opportunistic Income Fund
Debt Obligations
Asset-Backed Securities	$	37,555,550		$	—	$	(4,886,096	)	$	87,840		$	68,159		$	(768,182	)	$	—	$	—	$	32,057,271		$	(768,182	)
U.S. Government Agency		17,123,540			—		(1,789,224	)		17,920			—			80,038			—		—		15,432,274			80,053
Total	$	54,679,090		$	—	$	(6,675,320	)##	$	105,760		$	68,159		$	(688,144	)	$	—	$	—	$	47,489,545		$	(688,129	)

† 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.

# Includes $9,809,609 of proceeds received from principal paydowns.

## Includes $6,625,320 of proceeds received from principal paydowns.

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 Eastern 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.

Indexed investments

Each Fund may invest in various transactions and instruments that are designed to track the performance of an index (including, but not limited to, securities indices and credit default indices). Indexed securities are securities the redemption values and/or coupons of which are indexed to a specific instrument, group of instruments, index, or other statistic. Indexed securities typically, but not always, are debt securities or deposits whose value at maturity or coupon rate is determined by reference to other securities, securities or inflation indices, currencies, precious metals or other commodities, or other financial indicators. For example, the maturity value of gold-indexed securities depends on the price of gold and, therefore, their price tends to rise and fall with gold prices.

Loan assignments and participations

The Funds (except U.S. Treasury Fund) may invest in direct debt instruments, which are interests in amounts owed to lenders or lending syndicates, to suppliers of goods or services, or to other parties by corporate, governmental or other borrower. Such “loans” may include bank loans, promissory notes, and loan participations, or in the case of suppliers of goods or services, trade claims or other receivables. 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. Unless, under the terms of the loan or other indebtedness a Fund

has direct recourse against the borrower, it may have to rely on the agent to enforce its rights against the borrower. 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. Loan assignments and participations 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 with banks and brokers. Under a repurchase agreement a Fund acquires a security for a relatively short period 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 may be less than the amount owed to the Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency proceedings and 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 each applicable Fund’s Schedule of Investments.

Reverse repurchase agreements

The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. 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 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. As of November 30, 2018, the Funds listed below had entered into reverse repurchase agreements.

Fund Name	Received from reverse repurchase agreements ($)		Market value of securities plus accrued interest ($)
Emerging Country Debt Fund		$46,247,236		$46,355,588

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/deflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation/deflation into the principal value of the bond. Many other issuers adjust the coupon accruals for inflation related changes.

The market price of inflation-indexed bonds normally changes when real interest rates change. 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. Coupon payments received by a Fund from inflation-indexed bonds are generally included in the Fund’s gross income for the period in which they accrue. In addition, any increase/decrease in the principal amount of an inflation-indexed bond is generally included in the Fund’s gross income 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. Investments in when-issued securities also present the risk that the security will not be issued or delivered. Delayed delivery commitments outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Short sales

Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the interest payable on such securities, if any, are reflected as a liability. A Fund is obligated to deliver securities at the trade price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Short sales 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.

	Asset Allocation Bond Fund	Core Plus Bond Fund	Emerging Country Debt Fund	High Yield   Fund	Opportunistic Income Fund	U.S. Treasury Fund
Commodities Risk	X
Counterparty Risk	X	X	X	X	X	X
Credit Risk	X	X	X	X	X	X
Currency Risk	X	X	X	X	X
Derivatives and Short Sales Risk	X	X	X	X	X
Focused Investment Risk	X	X	X	X	X
Fund of Funds Risk	X	X	X	X	X
Futures Contracts Risk		X		X	X
Illiquidity Risk	X	X	X	X	X
Large Shareholder Risk	X	X	X	X	X	X
Leveraging Risk	X	X	X	X	X
Management and Operational Risk	X	X	X	X	X	X
Market Disruption and Geopolitical Risk	X	X	X	X	X	X
Market Risk – Asset-Backed Securities	X	X	X		X
Market Risk – Equities	X				X
Market Risk – Fixed Income	X	X	X	X	X	X
Non-Diversified Funds	X	X	X	X	X
Non-U.S. Investment Risk	X	X	X	X	X
Small Company Risk	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 GMO 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 or other investment companies (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. 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 Underlying Funds.

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.

• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner. The value of commodity-related derivatives or indirect investments in commodities may fluctuate more than the commodity, commodities or commodity index to

which they relate. See “Derivatives and Short Sales Risk” for a discussion of specific risks of a Fund’s derivatives investments, including commodity-related derivatives.

• 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 be forced to hold investments it would prefer to sell, resulting in losses for the Fund. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws, regulations or other requirements. The Funds are not subject to any limit on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments in which financial services firms are exposed (as they were in 2008) 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 (whether or not the obligation is collateralized), 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 during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms 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 posted promptly as required. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean that a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty). Counterparty risk also will be greater if a counterparty’s obligations exceed the value of the collateral held by the Fund (if any).

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 has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” 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. 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. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations or realization on collateral, could be stayed or eliminated under new special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, in the European Union, governmental authorities could reduce, eliminate, or convert to equity the liabilities to the Funds of a counterparty experiencing financial difficulties (sometimes referred to as a “bail in”).

• 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 (and/or in anticipation) of the issuer’s, guarantor’s, or obligor’s failure to meet its payment obligations, or a downgrading of the credit rating of the investment. This risk is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Fixed income investments also are subject to illiquidity risk. See “Illiquidity Risk.”

All fixed income investments 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, a government or government entity, 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 term of a fixed income investment. 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 or quasi-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 ability and willingness 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. 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 many cases, the credit risk and market price of a fixed income investment are reflected in its credit ratings, and a Fund holding a rated investment is subject to the risk that the investment’s rating will be downgraded, resulting in a decrease in the market price of the fixed income investment.

Securities issued by the U.S. government historically have presented minimal credit risk. However, events in 2011 led several major rating agencies to downgrade the long-term credit rating of U.S. bonds and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest on U.S. government securities would decrease, the market price of a Fund’s investments and increase the volatility of a Fund’s portfolio.

As described under “Market Risk — Asset-Backed Securities,” 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 under “Market Risk — Asset-Backed Securities.” The obligations of issuers also may be 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 and Short Sales Risk” for more information regarding risks associated with the use of credit default swaps.

The extent to which the market price of a fixed income investment changes in response to a credit event depends on many factors and can be difficult to predict. For example, even though the effective duration of a long-term floating rate security is very short, an adverse credit event or change in the perceived creditworthiness of its issuer could cause its market price to decline much more than its effective duration would suggest.

Credit risk is particularly pronounced for below investment grade investments (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 investments have speculative characteristics, often are less liquid than higher quality investments, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. Investments in distressed or defaulted or other low quality debt investments generally are considered speculative and may involve substantial risks not normally associated with investments in higher quality investments, including adverse business, financial or economic conditions that lead to payment defaults and insolvency proceedings on the part of their issuers. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer does not make any interest or other payments and a Fund incurs additional expenses in seeking recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt investment proves incorrect, a Fund may lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of a default of sovereign debt, the Funds may be unable to pursue legal action against the issuer.

• 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 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. 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 on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk.”

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

Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars or may only be able to do so at an unfavorable exchange rate. Exchange rates for many currencies are affected by exchange control regulations.

Derivative transactions in foreign currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described 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”).

• DERIVATIVES AND SHORT SALES 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, such as securities, commodities or currencies, reference rates, such as interest rates, currency exchange rates, inflation rates, or indices. Derivatives involve the risk that their value may not change as expected relative to changes in the value of the assets, rates, or indices they are designed to track. Derivatives include, but are not limited to, futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other OTC contracts.

The use of derivatives involves risks that are potentially greater than, the risks of investing directly in securities. 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, or the position transferred, only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still 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 the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments GMO believes are owed to the Fund under an OTC derivatives contract, or those payments may be delayed or made only after the Fund has incurred the cost of litigation.

A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign 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 fundamental fair (or 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 a greater risk of not being able to recover what it is owed if the counterparty defaults.

Derivatives also present other risks described in this section, including market risk, illiquidity 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, inaccurate valuations may result in increased cash payments to counterparties, under-collateralization 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 cost 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.

Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk”) and counterparty risk (see “Counterparty Risk”). These derivatives also are subject to documentation risk, which is the risk that ambiguities, inconsistencies or errors in the documentation relating to a derivative transaction may lead to a dispute with the counterparty or unintended investment results. In addition, see “Commodities Risk” for a discussion of risks specific to commodity-related derivatives. 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.”

A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders. In addition, the tax treatment of a Fund’s use of derivatives will sometimes be unclear.

The Securities and Exchange Commission has proposed a rule under the Investment Company Act of 1940, as amended (the “1940 Act”), regulating the use by registered investment companies of derivatives and many related instruments. That rule, if adopted as proposed, would, among other things, restrict a Fund’s ability to engage in derivatives transactions or so increase the cost of derivatives transactions that a Fund would be unable to implement its investment strategy.

Derivatives Regulation. The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) have adopted similar requirements, which affect a Fund when it enters into a derivatives transaction with a counterparty subject to those requirements. Because these U.S. and European Union requirements are new and evolving (and some of the rules are not yet final), their impact on the Funds remains unclear.

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 hold cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Funds 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 some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements, for example, by requiring that funds provide more margin for their cleared derivatives positions. Also, as a general matter, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivatives position or an increase in the margin required at the outset of a transaction. Clearing houses also have broad rights to increase the margin required for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions 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 margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member (see “Counterparty Risk”). Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that GMO 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 position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and 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 the documentation for typical bilateral derivatives. 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. Also, such documentation typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks may be more pronounced for cleared derivatives due to their more limited liquidity and market history.

Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may be required to indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility.

If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), the Fund may be unable to execute all components of the package on the swap execution facility. In that case, the Fund would need to trade some components of the package on the swap execution facility and other components in another manner, which could subject the Fund to the risk that some components would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.

The U.S. government and the European Union have adopted mandatory minimum margin requirements for bilateral derivatives. New variation margin requirements became effective in March 2017 and new initial margin requirements will become effective in 2020. Such requirements could increase the amount of margin a Fund needs to provide in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.

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 or otherwise limiting liquidity. The implementation of the clearing requirement has increased the cost of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they historically posted for bilateral derivatives. The cost of derivatives transactions is expected to increase further as clearing members raise their fees to cover the cost of additional capital requirements and other regulatory changes applicable to the clearing members. These rules and regulations are new and evolving, and, therefore, their potential impact on the Funds and the financial system are not yet known. While the new rules and 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 they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.

Options. Some Funds are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights any time before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk 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 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, GMO, and other funds advised by GMO likely constitute such a group. When applicable, these limits 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.

Special tax rules apply to a Fund’s transactions in options, which could increase the taxes payable by shareholders subject to U.S. income taxation. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s distributions to be taxable at ordinary income tax rates. See the Funds’ Prospectus and Statement of Additional Information for more information.

Short Investment Exposure. Some Funds may sell securities or currencies short as part of their investment programs in an attempt to increase their returns or for hedging purposes. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange a security or currency to replace the borrowed security or currency when the security or currency sold short has appreciated in value, thus resulting in a loss to the Fund. Purchasing a security or currency to close out a short position can itself cause the price of the security or currency to rise further, thereby exacerbating any losses. A Fund that sells short a security or currency it does not own typically pays borrowing fees to a broker and is required to pay the broker any dividends or interest it receives on a borrowed security.

A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index.

Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A 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 or takes “short” derivative positions.

• FOCUSED INVESTMENT RISK. Funds with investments that are focused in a limited number of asset classes, sectors, industries, issuers, currencies, countries, or regions (or in sectors within a country or region) that are subject to the same or similar risk factors and funds with investments whose prices are closely correlated are subject to greater overall risk than funds with investments that are more diversified or whose prices are not as closely correlated.

A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of those issuers’ securities than Funds investing in the securities of a larger number of issuers. 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 (or related) to a particular geographic region, country or market (e.g., emerging markets), or to sectors within a region, country, or market (e.g., Russian oil) have more exposure to regional and country economic risks than funds making 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 the value of the currency of 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.”

• FUND OF FUNDS RISK. Funds that invest in Underlying Funds (including underlying GMO Funds) are exposed to the risk that the Underlying Funds will not perform as expected. The Funds also are indirectly exposed to all of the risks to which the Underlying Funds are exposed.

Absent reimbursement, a Fund bears the fees and expenses of an Underlying Fund (including purchase premiums and redemption fees, if any) in which it invests, and may incur additional expenses when investing in an Underlying Fund. 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.

In addition, to the extent a Fund invests in shares of underlying GMO Funds, it is indirectly subject to Large Shareholder Risk when an underlying GMO Fund has large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk.”

At any particular time, one Underlying Fund may be purchasing securities of an issuer whose securities are being sold by another Underlying Fund, resulting in a Fund that holds each Underlying Fund indirectly incurring the costs associated with the two transactions without changing its exposure to those securities.

Investments in exchange-traded funds (“ETFs”) involve the risk that an ETF’s performance may not track the performance of the index it is designed to track. In addition, ETFs often use derivatives to track the performance of an index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed in “Derivatives and Short Sales Risk.” ETFs are investment companies that typically hold a portfolio of securities designed to track the price, performance, and dividend yield of a particular securities market index (or sector of an index). As investment companies, ETFs incur their own management and other fees and expenses, such as trustee fees, operating expenses, registration fees, and marketing expenses, and a Fund that invests in ETFs will bear a proportionate share of such fees and expenses. As a result, an investment by a Fund in an ETF could lead to higher operating expenses and lower returns than if the Fund were to invest directly in the securities underlying the ETF.

A Fund’s investments in one or more Underlying Funds could affect the amount, timing and character of its distributions and could cause the Fund to recognize taxable income in excess of the cash generated by such investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.

• FUTURES CONTRACTS RISK. The risk of loss to a Fund resulting from its use of futures contracts (or “futures”) is potentially unlimited. Futures markets are highly volatile, and the use of futures contracts may increase the volatility of the Fund’s net asset value. A Fund’s ability to establish and close out positions in futures contracts is subject to the development and maintenance of a liquid secondary market. A liquid secondary market may not exist for any particular futures contract at any particular time, and a Fund might be unable to effect closing transactions to terminate its exposure to the contract. In using futures contracts, a Fund relies on GMO’s ability to predict market and price movements correctly. The skills needed to use futures contracts successfully are different from those needed for traditional portfolio management. If a Fund uses futures contracts for hedging purposes, it runs the risk that changes in the prices of the contracts will not correlate perfectly with changes in the securities, index, or other asset underlying the contracts or movements in the prices of the Fund’s investments that are the subject of the hedge.

A Fund typically will be required to post margin with its futures commission merchant in connection with its positions in futures contracts. If the Fund has insufficient cash to meet margin requirements, the Fund may have to sell other investments at disadvantageous times. A Fund may be unable to reenter or may be delayed in recovering margin or other amounts deposited with a futures commission merchant or futures clearinghouse. For example, should the futures commission merchant become insolvent, a Fund may be unable to recover all (or any) of the margin it has deposited or realize the value of any increase in the price of its positions.

The Commodity Futures Trading Commission (the “CFTC”) and the various exchanges have established limits (referred to as “speculative position limits”) on the maximum net long or net short positions that any person and certain of its affiliated entities may hold or control in a particular futures contract. In addition, an exchange may impose trading limits on the number of contracts a person may trade on a particular day. An exchange may order the liquidation of positions found to be in violation of these limits, and it may impose sanctions or restrictions. In addition, the Dodd-Frank Wall Street Reform and Consumer Protection Act requires the CFTC to establish speculative position limits on listed futures and economically equivalent OTC derivatives, and those limits may adversely affect the market liquidity of those futures and derivatives. As a result of such limits, positions held by other GMO clients or by GMO or its affiliates may prevent GMO from taking positions on behalf of a Fund in a particular futures contract or OTC derivative.

Futures contracts traded on markets outside the United States generally are not subject to regulation by the CFTC or other U.S. regulators. U.S. regulators neither regulate the activities of a foreign exchange nor have the power to compel enforcement of the rules of a foreign exchange or the laws of the country where the exchange is located. Margin and other payments made by a Fund in foreign countries may not have the same protections as payments in the United States. In addition, foreign futures contracts may be less liquid and more volatile than U.S. contracts.

• ILLIQUIDITY RISK. Illiquidity 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, delays or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity 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). To the extent a Fund’s investments include asset-backed securities, distressed, defaulted or other low quality debt securities, emerging country debt or equity securities, securities of companies with smaller market capitalizations or smaller total float adjusted market capitalizations, or emerging market securities, it is subject to increased illiquidity risk. 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 price at which they were valued when held by the Fund. Illiquidity risk also may be greater in times of financial stress. For example, Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”) have experienced periods of greatly reduced liquidity during disruptions in fixed income markets, 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.

A Fund may buy securities or other investments that are less liquid than those in its benchmark. The more illiquid investments a Fund has, the greater the likelihood of its paying redemption proceeds in-kind.

Historically, the credit markets have experienced periods characterized by a significant lack of liquidity, and they may experience similar periods in the future. A lack of liquidity could require a Fund to sell securities to satisfy collateral posting requirements and meet redemptions, which could, in turn, create downward price pressure on the securities being sold.

A Fund’s ability to use options as part of its investment program depends on the liquidity of the options market. That market may not be liquid when a Fund seeks to close out an option position, and the hours of trading for options on an exchange may not conform to the hours during which the underlying securities 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 those securities that are not immediately reflected in the options markets. If a Fund receives a redemption request and is unable to close out an option it has sold, the Fund may temporarily be leveraged in relation to its assets.

• LARGE SHAREHOLDER RISK. To the extent 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 by forcing the Fund to sell portfolio securities, potentially at disadvantageous prices, to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the outstanding shares of many Funds, and asset allocation decisions by GMO 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 when it would not have otherwise done so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for Fund shareholders. Further, from time to time a Fund may trade in anticipation of a purchase or redemption order that ultimately is not received or differs in size from the actual order, leading to temporary underexposure or overexposure to the Fund’s intended investment program. In addition, redemptions and purchases of shares by a large shareholder or group of shareholders could limit the use of any capital loss carryforwards to offset future realized capital gains (if any) and other losses that would otherwise reduce distributable net investment income. In addition, large shareholders may limit or prevent a Fund’s use of equalization for U.S. federal tax purposes.

To the extent a Fund invests in other GMO Funds subject to large shareholder risk, the Fund is indirectly subject to this risk.

• LEVERAGING RISK. The use of traditional borrowing (including to meet redemption requests), 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, similar to short sales, have the potential for unlimited loss, regardless of the size of the initial investment. Similarly, a Fund’s portfolio will be leveraged and can incur losses if the value of the Fund’s assets declines between the time a redemption request is received or deemed to be received by a Fund (which in some cases may be the business day prior to actual receipt of the transaction activity by the Fund) and the time at which the Fund liquidates assets to meet redemption

requests. Such a decline in the value of a Fund’s assets is more likely in the case of Funds managed from GMO’s non-U.S. offices for which the time period between the NAV determination and corresponding liquidation of assets could be longer due to time zone differences and market schedules. In the case of redemptions representing a significant portion of a Fund’s portfolio, the leverage effects described above can be significant and could expose a Fund and non-redeeming shareholders to material losses.

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.

Some Funds are permitted to purchase securities on margin or to sell securities short, either of which creates leverage. To the extent the market prices of securities pledged to counterparties to secure a Fund’s margin account or short sale decline, the Fund may be required to deposit additional funds with the counterparty to avoid having the pledged securities liquidated to compensate for the decline.

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

For many Funds, GMO uses quantitative models as part of its investment process. GMO’s models may not accurately predict future market movements, or characteristics. In addition, they are based on assumptions that can limit their effectiveness, and they rely on data that is subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. The Funds also run the risk that GMO’s assessment of an investment (including a security’s fundamental fair (or intrinsic) value) is wrong.

GMO relies on quantitative models in making investment decisions. The usefulness of GMO’s models may be diminished by the faulty incorporation of mathematical models into computer code, by reliance on proprietary and third-party technology that includes errors, omissions, bugs, or viruses, and by the retrieval of limited or imperfect data for processing by the model. These risks are present in the ordinary course of business and are more likely to occur when GMO is making changes to its models. Any of these risks could adversely affect a Fund’s performance.

There can be no assurance that key GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’s ability to achieve the Funds’ investment objectives.

The Funds also are subject to a risk of loss resulting from other services provided by GMO 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 could prevent a Fund from benefiting from investment gains or avoiding losses. In addition, a service provider may be unable to provide a net asset value (“NAV”) for a Fund or share class on a timely basis. GMO is not contractually liable to the Funds for losses associated with operational risk absent its 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 contractual limitations on their liability to the Funds for losses resulting from their errors.

The Funds and their service providers (including GMO) are susceptible to cyber-attacks and to technological malfunctions that may have effects similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and disrupting operations. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release or misappropriation of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, and additional compliance costs. The Funds’ service providers regularly experience cyber-attacks and expect they will continue to do so. While GMO has established business continuity plans and systems designed to prevent, detect and respond to cyber-attacks, those plans and systems have inherent limitations. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could have material adverse consequences for those issuers and result in a decline in the market price of their securities. Furthermore, as a result of cyber-attacks, technological disruptions, malfunctions, or failures, an exchange or market may close or suspend trading in specific securities or the entire market, which could prevent the Funds from, among other things, buying or selling securities or accurately pricing their investments. The Funds cannot directly control cyber security plans and systems of their service providers, the Funds’ counterparties, issuers of securities in which the Funds invest, or securities markets and exchanges.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby reducing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or in other economic inputs (e.g., the marked decline in oil prices that began in late 2014) may have material and unexpected effects on both global securities markets and

individual countries, regions, sectors, companies, or industries. Terrorism in the United States and around the world 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 or other fraudulent trading practices, which could disrupt their orderly functioning or reduce the prices of securities traded on them, including securities held by the Funds. Fraud and other deceptive practices committed by an issuer of securities held by a Fund undermine GMO’s due diligence efforts and, when discovered, will likely cause a steep decline in the market price of those securities and thus negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively affect a Fund’s investment program as well as the rates or indices underlying a Fund’s investments.

While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce the value of the Funds’ investments. Similarly, political events within the United States have resulted, and may in the future result, in a shutdown of government services, which could adversely affect the U.S. economy, reduce the value of many Fund investments, and impair the operation of the U.S. or other securities markets. Uncertainty over the sovereign debt of several European Union countries, as well as uncertainty over the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the United States and around the world. If a country changes its currency or if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. In June 2016, the United Kingdom approved a referendum to leave the European Union (commonly known as “Brexit”) and in March 2017, the United Kingdom commenced the formal process of withdrawing from the European Union. Brexit has resulted in volatility in European and global markets and could have negative long-term impacts on financial markets in the United Kingdom and throughout Europe. Considerable uncertainty exists over the potential consequences and precise timeframe for Brexit, how it will be conducted, how negotiations of trade agreements will proceed, and how the financial markets will react, and as this process unfolds markets may be further disrupted. The consequences of the United Kingdom’s or another country’s exit from the European Union also could threaten the stability of the euro for remaining countries and could negatively affect the financial markets of other countries in the European region and beyond. War, terrorism, economic uncertainty, and related geopolitical events, such as sanctions, tariffs, the imposition of exchange controls or other cross-border trade barriers, 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 market price 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 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 a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.

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

Asset-Backed Securities — Investments in asset-backed securities not only are subject to all of the market risks described under “Market Risk — Fixed Income,” but to other market risks as well.

Asset-backed securities are often exposed to greater risk of severe credit downgrades, illiquidity, and defaults than many other types of fixed income investments. These risks become particularly acute during periods of adverse market conditions, such as those that occurred in 2008.

As described under “Market Risk — Fixed Income” the market price of asset-backed securities, like that of other fixed income investments with complex structures, can decline for a variety of reasons, 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., the amount of underlying assets or other support available 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 performance of other service providers with access to the payment stream. A problem in any of these factors can lead to a reduction in the payment stream GMO expected a Fund to receive when the Fund purchased the asset-backed security. Principal repayments of asset-backed securities are at risk if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities have. Asset-backed securities backed by sub-prime mortgage loans, in particular, expose a Fund to potentially greater declines in value due to defaults because sub-prime mortgage loans are typically made to less creditworthy borrowers and thus have a higher risk of default than conventional mortgage loans. The issuance 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” for more information about credit risk.

When worldwide economic and liquidity conditions deteriorated 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 asset-backed (as well as others) fixed income securities. These events reduced liquidity and contributed to substantial declines in the market prices of asset-backed (and other) fixed income securities and 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 depends in part 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 documentation for underlying assets also can affect the rights of holders of those underlying assets. The insolvency of a servicer is likely to result in a decline in the market price of the securities it is servicing, 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, the obligations underlying asset-backed securities may be repaid more slowly than anticipated, and the market price of those securities may decrease.

The existence of insurance on an asset-backed security does not guarantee that the principal and interest will be paid because the insurer could default on its obligations.

The risk of investing in asset-backed securities has increased since 2008 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” for more information about risks of investing in correlated sectors. A single financial institution may serve as a servicer for many asset-backed securities. As a result, a disruption in that institution’s business may have a material impact on the many asset-backed securities it services. The risks associated with asset-backed securities are particularly pronounced for Opportunistic Income Fund, which has invested a substantial portion of its assets in asset-backed securities, and for the Funds that have invested a substantial portion of their assets in Opportunistic Income Fund.

Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as poor performance by the issuer’s management or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may result from 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. The market prices of equities are volatile and can decline in a rapid or unpredictable manner. If a Fund purchases an equity for what GMO believes is less than its fundamental fair (or intrinsic) value, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment. 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 — Funds that invest in fixed income investments (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 market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity due to market 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 uncertainty about their credit quality and the reliability of their payment streams. Some fixed income investments 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 investment. When interest rates rise, fixed income investments also may be repaid more slowly than anticipated, causing a decrease in their market price. During periods of economic uncertainty and change, the market price of a Fund’s investments in below investment grade investments (commonly referred to as “junk bonds”) may be particularly volatile. Often below investment grade investments are subject to greater sensitivity to interest rate and economic changes than higher rated investments and can be more difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. See “Credit Risk” and “Illiquidity Risk” for more information about these risks.

A risk run by each Fund with significant investment in fixed income investments 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 investments with longer durations. In addition, in managing some Funds, GMO may seek to evaluate potential investments in part by considering the volatility of interest rates. The value of a Fund’s investments may be significantly reduced if GMO’s assessment proves incorrect.

The extent to which the market price of a fixed income investment 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 its fixed rate is locked in for a longer period of time. Floating-rate or adjustable-rate investments 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 investments have durations that move in the opposite direction from short-term interest rates and thus tend to underperform fixed rate investments when interest rates rise but outperform them when interest rates decline. Fixed income investments paying no interest, such as zero coupon and principal-only securities, are subject to additional interest rate risk.

The market price of inflation-indexed bonds (including TIPS) typically declines during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increases during periods of declining real 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.

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 GMO waives or reduces its management fees.

Fixed income securities denominated in foreign currencies also are subject to currency risk. See “Currency Risk.”

In response to government intervention, economic or market developments, or other factors, markets for fixed income investments may experience periods of high volatility, reduced liquidity or both. During those periods, a Fund could have unusually high shareholder redemptions, requiring it to generate cash by selling portfolio assets when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value during such periods. In recent years, central banks and governmental financial regulators, including the U.S. Federal Reserve, have kept interest rates historically low by purchasing bonds. However, the U.S. Federal Reserve recently has increased interest rates and continued economic recovery and the Federal Reserve’s conclusion of its quantitative easing program increase the likelihood that interest rates will increase in the United States and throughout the financial system. A substantial increase in interest rates could have an adverse effect on prices for fixed income investments and on the performance of the Funds. Other actions by central banks or regulators (such as intervention in foreign currency markets or currency controls) also could have a material adverse effect on the Funds.

• NON-DIVERSIFIED FUNDS. All of the Funds (except U.S. Treasury Fund) are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of relatively few issuers. As a result, they may be subject to greater credit, market and other risks than if their investments were more diversified, and poor performance by a single investment may have a greater impact on their performance.

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 within the meaning of the 1940 Act.

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. Many non-U.S. securities markets include securities of only a small number of companies in a small number of industries. As a result, the market prices of securities traded on those markets often fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to as much regulation as U.S. issuers, and the reporting, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes, and custodial costs. In addition, some countries limit a Fund’s ability to profit from short-term trading (as defined in that country).

A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no benefit. In addition, a Fund’s pursuit of a tax refund may subject it to administrative and judicial proceedings in the country where it is seeking the refund. A Fund’s decision to seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if it is entitled to one. The outcome of a Fund’s efforts to obtain a refund is inherently unpredictable. Accordingly, a refund is not typically reflected in a Fund’s net asset value until it is received or until GMO is confident that it will be received. In some cases, the amount of a refund could be material to a Fund’s net asset value. Generally, absent a determination that a refund is collectible and free from significant contingencies, a refund is not reflected in a Fund’s net asset value. See “Taxes, Non-U.S. Taxes” in the GMO Trust Statement of Additional Information for additional information.

Investing in non-U.S. securities also exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, government involvement in every country, including the U.S., or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises), 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, including the imposition of economic sanctions.

In some non-U.S. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities 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 United States. Fluctuations in currency exchange rates also affect the market prices of a Fund’s non-U.S. securities (see “Currency Risk”).

The Funds need a license to invest directly in securities traded in many non-U.S. securities 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 to invest in a particular market is terminated or suspended, to obtain exposure to that 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 GMO’s clients may preclude a Fund from obtaining a similar license. In addition, the activities of a GMO client could cause the suspension or revocation of a Fund’s license.

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 issuer assets; greater governmental involvement in the economy or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises); less governmental supervision and regulation of securities markets and participants in those markets; controls on 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; less rigorous auditing and financial reporting standards and resulting unavailability of material information about issuers; slower clearance and settlement; difficulties in obtaining and enforcing legal judgments; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries may depend predominantly on only a few industries or revenues from particular commodities and often are more volatile than the economies of developed countries.

• SMALL COMPANY RISK. Companies with smaller market capitalizations tend to have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers and depend on fewer key employees than larger companies. 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. Market risk and illiquidity risk are particularly pronounced for the securities of these companies.

Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and are taken in response to adverse market, economic, political or other conditions.

The Funds (other than Emerging Country Debt Fund, High Yield Fund and U.S. Treasury Fund) may take temporary defensive positions if deemed prudent by GMO. Many of the Funds have previously taken 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 that are used to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Funds may use derivatives to gain long investment exposure to securities or other assets. In particular, the Funds may use swaps, options, or other derivatives on an index, an ETF, 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 contracts 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 or may use a bond futures contract to short the bond market of a particular country. A 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 GMO 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, ETFs, and currencies without actually having to sell existing investments or make new direct investments. For instance, GMO 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 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 total notional value of its derivative positions. As a result of their derivative positions, the Funds will typically have (or may have, in the case of Opportunistic Income Fund and U.S. Treasury Fund) gross investment exposures in excess of their net assets (i.e., the Funds will be (or may be, in the case of U.S. Treasury Fund) leveraged) and therefore are subject to heightened risk of loss. Each Fund’s (other than U.S. Treasury Fund) 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.

Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges 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 GMO 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 November 30, 2018, 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		Emerging Country Debt Fund		High Yield Fund		Opportunistic Income Fund
Forward currency contracts
Adjust currency exchange rate risk		X		X		X		X		X
Adjust exposure to foreign currencies		X		X		X		X
Futures contracts
Adjust interest rate exposure				X				X		X
Maintain the diversity and liquidity of the portfolio				X				X		X
Options (Purchased)
Adjust interest rate exposure										X
Achieve exposure to a reference entity’s credit										X
Provide a measure of protection against default loss										X
Options (Written)
Achieve exposure to a reference entity’s credit										X
Adjust interest rate exposure										X
Provide a measure of protection against default loss										X
Options (Credit linked)
Achieve exposure to a reference entity’s credit						X

Type of Derivative and Objective for Use	Asset Allocation Bond Fund		Core Plus Bond Fund		Emerging Country Debt Fund		High Yield Fund		Opportunistic Income Fund
Swap contracts
Achieve exposure to a reference entity’s credit						X		X		X
Adjust exposure to certain markets										X
Adjust interest rate exposure		X		X		X				X
Provide a measure of protection against default loss						X		X		X
Provide exposure to the Fund’s benchmark				X				X
Adjust exposure to foreign currencies						X
Rights and/or warrants
Achieve exposure to a reference commodity/economic statistic						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 price 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 settled.

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 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 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. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. 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, if any, which is disclosed in the Schedule of Investments, 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.

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.

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 industry models and inputs provided by primary pricing sources.

Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, basis swaps, currency swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract 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 contract 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 contract 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 contract is recorded as realized gain or loss. The periodic frequency of payments received may differ from periodic payment frequencies made and their frequencies could be monthly, quarterly, semiannually, annually or at maturity.

Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights 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). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.

Inflation swaps involve the exchange of a floating rate linked to an index for a fixed rate interest payment with respect to a notional amount or principal.

Total return swap contracts 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 futures 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 contract, 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 contracts 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 contracts 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.

Correlation swaps involve receiving a stream of payments based on the actual average correlation between or among the price movements of two or more underlying variables over a period of time, in exchange for making a regular stream of payments based on a fixed “strike” correlation level (or vice versa), where both payment streams are based on a notional amount. The underlying variables may include, without limitation, commodity prices, exchange rates, interest rates and stock indices.

Variance swap contracts 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 OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.

The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. 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 contracts 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 valuations of derivative instruments categorized by risk exposure as of November 30, 2018:

The risks referenced in the tables below 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.

	Credit Contracts			Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Asset Allocation Bond Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—	$	873,977		$	—		$	—	$	873,977
Swap Contracts, at value		—			—		—			1,714,758			—		1,714,758
Total	$	—		$	—	$	873,977		$	1,714,758		$	—	$	2,588,735
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	(1,230,780	)	$	—		$	—	$	(1,230,780	)
Swap Contracts, at value		—			—		—			(1,222,270	)		—		(1,222,270	)
Total	$	—		$	—	$	(1,230,780	)	$	(1,222,270	)	$	—	$	(2,453,050	)
Core Plus Bond Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—	$	3,894,261		$	—		$	—	$	3,894,261
Unrealized Appreciation on Futures Contracts		—			—		—			228,382			—		228,382
Swap Contracts, at value		—			—		—			4,117,377			—		4,117,377
Total	$	—		$	—	$	3,894,261		$	4,345,759		$	—	$	8,240,020
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	(2,930,622	)	$	—		$	—	$	(2,930,622	)
Swap Contracts, at value		—			—		—			(2,799,875	)		—		(2,799,875	)
Total	$	—		$	—	$	(2,930,622	)	$	(2,799,875	)	$	—	$	(5,730,497	)
Emerging Country Debt Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—		$	—	$	—		$	—		$	24,819,032	$	24,819,032
Unrealized Appreciation on Forward Currency Contracts		—			—		280,760			—			—		280,760
Options, at value		223,687			—		—			—			—		223,687
Swap Contracts, at value		16,516,759			—		—			5,749,155			—		22,265,914
Total	$	16,740,446		$	—	$	280,760		$	5,749,155		$	24,819,032	$	47,589,393
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	(50,916	)	$	—		$	—	$	(50,916	)
Options, at value		(2,218,091	)		—		—			—			—		(2,218,091	)
Swap Contracts, at value		(16,582,204	)		—		—			(679,465	)		—		(17,261,669	)
Total	$	(18,800,295	)	$	—	$	(50,916	)	$	(679,465	)	$	—	$	(19,530,676	)
High Yield Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—	$	661,765		$	—		$	—	$	661,765
Unrealized Appreciation on Futures Contracts		—			—		—			127,520			—		127,520
Swap Contracts, at value		3,709,583			—		—			49,681			—		3,759,264
Total	$	3,709,583		$	—	$	661,765		$	177,201		$	—	$	4,548,549
Liability Derivatives
Unrealized Depreciation on Futures Contracts	$	—		$	—	$	—		$	(26,133	)	$	—	$	(26,133	)
Swap Contracts, at value		—			—		—			(1,064,430	)		—		(1,064,430	)
Total	$	—		$	—	$	—		$	(1,090,563	)	$	—	$	(1,090,563	)

	Credit Contracts			Equity Contracts		Foreign Currency Contracts		Interest Rate Contracts			Other Contracts		Total
Opportunistic Income Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts	$	—		$	—	$	—	$	510,504		$	—	$	510,504
Swap Contracts, at value		32,137,503			—		—		3,596,055			—		35,733,558
Total	$	32,137,503		$	—	$	—	$	4,106,559		$	—	$	36,244,062
Liability Derivatives
Unrealized Depreciation on Futures Contracts	$	—		$	—	$	—	$	(8,109	)	$	—	$	(8,109	)
Swap Contracts, at value		(6,516,127	)		—		—		—			—		(6,516,127	)
Total	$	(6,516,127	)	$	—	$	—	$	(8,109	)	$	—	$	(6,524,236	)

Subsequent events

In November 2018, the Board of Trustees of GMO Trust approved a stock split for U.S. Treasury Fund of approximately five new shares for every one current share. The splits were effective for shareholders of record after the close of the NYSE on December 4, 2018. Transactions in shares were effected at the relevant class’s post-split price starting December 6, 2018. The ticker symbols and cusips for the share class did not change.

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

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 93.0%
		Argentina — 1.0%
	150,753	Adecoagro SA *		1,052,257
		Australia — 2.0%
	126,816	OZ Minerals Ltd		806,267
	53,371	Quintis Ltd * (a)		—
	226,557	Sandfire Resources NL		1,064,782
	59,710	Tassal Group Ltd		183,645
		Total Australia		2,054,694
		Brazil — 2.4%
	129,600	Cosan SA		1,155,126
	61,100	Duratex SA		193,446
	179,300	Sao Martinho SA		836,245
	28,400	SLC Agricola SA		341,009
		Total Brazil		2,525,826
		Canada — 1.6%
	34,463	Canadian Solar Inc *		582,425
	20,862	Nutrien Ltd		1,074,621
		Total Canada		1,657,046
		China — 3.8%
	752,000	Chaowei Power Holdings Ltd		355,691
	790,000	China Datang Corp Renewable Power Co Ltd – Class H		99,232
	758,000	China High Speed Transmission Equipment Group Co Ltd		892,944
	1,283,000	China Singyes Solar Technologies Holdings Ltd (a)		35,256
	849,000	China Suntien Green Energy Corp Ltd – Class H		233,907
	5,800	Hollysys Automation Technologies Ltd		114,898
	1,146,000	Huaneng Renewables Corp Ltd – Class H		362,188
	564,000	Tianneng Power International Ltd		516,536
	596,000	Wasion Holdings Ltd		315,473
	845,200	Xinjiang Goldwind Science & Technology Co Ltd – Class H		840,857
	120,814	Zhengzhou Yutong Bus Co Ltd – Class A		196,789
		Total China		3,963,771
		Denmark — 4.5%
	62,628	Vestas Wind Systems A/S		4,681,533
		Finland — 0.2%
	17,219	Kemira Oyj		198,492
		France — 7.8%
	16,917	Albioma SA		321,401
	82,823	Electricite de France SA		1,366,511
	16,183	Nexans SA		512,338
	14,245	Schneider Electric SE		1,038,327
	93,146	Suez		1,387,746
	45,096	Valeo SA		1,286,921

Shares		Description	Value ($)
		France — continued
	66,114	Veolia Environnement SA		1,408,813
	13,160	Vilmorin & Cie SA		868,945
		Total France		8,191,002
		Germany — 3.6%
	12,332	CENTROTEC Sustainable AG		153,793
	53,017	E.ON SE		541,942
	20,600	K+S AG (Registered)		363,120
	39,174	Nordex SE *		386,038
	109,374	PNE AG		312,722
	17,373	Siemens AG (Registered)		2,021,785
		Total Germany		3,779,400
		India — 0.1%
	135,024	Rashtriya Chemicals & Fertilizers Ltd		112,959
		Israel — 1.3%
	234,352	Israel Chemicals Ltd		1,375,136
		Italy — 2.1%
	10,614	CNH Industrial NV		104,017
	255,671	Enel SPA		1,390,864
	13,291	Prysmian SPA		243,714
	73,798	Terna Rete Elettrica Nazionale SPA		413,613
		Total Italy		2,152,208
		Japan — 8.5%
	5,500	Central Japan Railway Co		1,132,522
	1,000	Daikin Industries Ltd		111,505
	8,400	East Japan Railway Co		764,192
	31,000	Ebara Corp		805,437
	30,500	GS Yuasa Corp		706,660
	134,400	Hitachi Zosen Corp		461,862
	28,300	Kubota Corp		484,245
	9,600	Kurita Water Industries Ltd		258,062
	4,800	METAWATER Co Ltd		134,719
	42,900	Osaki Electric Co Ltd		308,203
	122,200	Panasonic Corp		1,260,969
	44,300	Sumitomo Forestry Co Ltd		654,744
	43,000	Takuma Co Ltd		606,355
	8,300	Tsukishima Kikai Co Ltd		97,194
	9,600	West Japan Railway Co		670,085
	25,800	Yokogawa Electric Corp		475,918
		Total Japan		8,932,672
		Malaysia — 0.1%
	356,500	George Kent Malaysia BHD		85,649
		Netherlands — 0.8%
	36,933	Arcadis NV		465,786
	25,629	SIF Holding NV		378,281
		Total Netherlands		844,067

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Norway — 5.5%
	139,402	Austevoll Seafood ASA		1,931,611
	13,035	Bakkafrost P/F		669,544
	42,949	Grieg Seafood ASA		566,981
	27,733	Marine Harvest ASA		651,076
	7,483	Norway Royal Salmon ASA		172,354
	19,116	Salmar ASA		1,081,106
	15,783	Yara International ASA		635,795
		Total Norway		5,708,467
		Pakistan — 0.8%
	582,000	Engro Fertilizers Ltd		325,275
	567,500	Fauji Fertilizer Co Ltd		410,146
	20,840	Millat Tractors Ltd.		148,787
		Total Pakistan		884,208
		Poland — 1.9%
	86,080	KGHM Polska Miedz SA *		2,041,263
		Portugal — 0.9%
	270,053	EDP – Energias de Portugal SA		944,758
		Russia — 5.3%
	164,963	MMC Norilsk Nickel PJSC ADR		3,120,605
	81,550	PhosAgro PJSC GDR (Registered)		1,091,181
	124,517	Ros Agro Plc GDR (Registered)		1,362,646
		Total Russia		5,574,432
		South Africa — 0.1%
	14,576	Tongaat Hulett Ltd		71,708
		South Korea — 1.3%
	4,473	LG Chem Ltd		1,382,592
		Spain — 3.3%
	7,274	Acciona SA		669,245
	41,474	Endesa SA		926,598
	31,858	Fomento de Construcciones y Contratas SA *		448,015
	184,782	Iberdrola SA		1,382,322
		Total Spain		3,426,180
		Sweden — 0.7%
	11,879	Holmen AB- B Shares		250,565
	55,646	Svenska Cellulosa AB SCA – Class B		448,593
		Total Sweden		699,158
		Switzerland — 0.2%
	260	Gurit Holding AG		256,731
		Taiwan — 0.2%
	49,000	Delta Electronics Inc		207,598
		Thailand — 0.1%
	193,300	SPCG Pcl		115,375

Shares		Description	Value ($)
		Ukraine — 0.9%
	70,158	Kernel Holding SA		989,692
		United Kingdom — 3.3%
	96,499	Antofagasta Plc		990,266
	29,650	Go-Ahead Group Plc		652,152
	74,631	National Grid Plc		796,686
	103,907	Polypipe Group Plc		454,156
	262,142	Stagecoach Group Plc		525,045
		Total United Kingdom		3,418,305
		United States — 28.7%
	4,900	AGCO Corp.		292,432
	33,700	Albemarle Corp.		3,245,984
	42,500	BorgWarner, Inc.		1,682,150
	21,400	Darling Ingredients, Inc. *		468,232
	2,500	Deere & Co.		387,200
	16,400	Delphi Technologies Plc		280,276
	15,800	Eaton Corp Plc		1,215,652
	10,100	EnerSys		882,437
	31,200	Exelon Corp.		1,447,368
	88,300	First Solar, Inc. *		3,924,935
	459,251	Freeport-McMoRan, Inc.		5,483,457
	11,800	FutureFuel Corp.		203,786
	1,500	Ingersoll-Rand Plc		155,280
	7,100	Johnson Controls International Plc		246,938
	11,900	Mosaic Co. (The)		428,400
	16,200	Owens Corning		844,830
	33,400	PG&E Corp.*		881,092
	2,228	PotlatchDeltic Corp. (REIT)		82,659
	3,000	Rayonier, Inc. (REIT)		94,890
	25,100	Renewable Energy Group, Inc. *		676,445
	2,900	REX American Resources Corp. *		201,811
	8,100	Rexnord Corp. *		229,311
	24,300	Shiloh Industries, Inc. *		193,671
	157,300	SolarEdge Technologies, Inc. *		6,123,689
	5,000	TE Connectivity Ltd.		384,650
		Total United States		30,057,575
		TOTAL COMMON STOCKS (COST $104,369,739)		97,384,754
		PREFERRED STOCKS (b) — 4.4%
		Chile — 4.4%
	104,200	Sociedad Quimica y Minera de Chile SA Sponsored ADR		4,584,800
		TOTAL PREFERRED STOCKS (COST $5,009,244)		4,584,800
		MUTUAL FUNDS — 2.5%
		Affiliated Issuers — 2.5%
	106,351	GMO U.S. Treasury Fund		2,656,648
		TOTAL MUTUAL FUNDS (COST $2,656,648)		2,656,648

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	274,949	State Street Institutional Treasury Money Market Fund – Premier Class, 2.19% (c)		274,949
		TOTAL SHORT-TERM INVESTMENTS (COST $274,949)		274,949
		TOTAL INVESTMENTS — 100.1% (Cost $112,310,580)		104,901,151
		Other Assets and Liabilities (net) — (0.1%)		(144,837	)
		TOTAL NET ASSETS — 100.0%		$104,756,314

Notes to Schedule of Investments:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs.

(b) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(c) The rate disclosed is the 7 day net yield as of November 30, 2018.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 70.5%
		Brazil — 2.4%
	2,734,139	Banco BTG Pactual SA		15,660,882
	1,094,100	Localiza Rent a Car SA		7,620,414
	2,892,800	Rumo SA *		13,054,724
		Total Brazil		36,336,020
		China — 20.4%
	526,476	Alibaba Group Holding Ltd Sponsored ADR *		84,688,929
	65,468,004	China Construction Bank Corp – Class H		55,896,865
	3,147,500	China Mobile Ltd		31,375,064
	45,995,000	Industrial & Commercial Bank of China Ltd – Class H		32,850,536
	51,394	Kweichow Moutai Co Ltd – Class A		4,200,764
	116,020	New Oriental Education & Technology Group Inc Sponsored ADR *		6,631,703
	3,945,905	Ping An Insurance Group Co of China Ltd – Class H		38,454,681
	1,277,484	Tencent Holdings Ltd		51,072,059
		Total China		305,170,601
		France — 1.2%
	74,702	L’Oreal SA		17,627,040
		Hong Kong — 1.3%
	2,378,641	AIA Group Ltd		19,541,447
		India — 12.8%
	1,335,735	Action Construction Equipment Ltd		1,761,217
	499,595	Amber Enterprises India Ltd * (a) (b)		6,627,901
	468,064	Asian Granito India Ltd		1,371,131
	235,386	Asian Paints Ltd		4,555,623
	74,842	Bajaj Finserv Ltd		6,459,659
	439,986	Bombay Burmah Trading Co		8,722,084
	1,201,247	CMI Ltd (c)		2,215,477
	10,683,040	Gayatri Highways Ltd *		183,177
	11,052,457	Gayatri Projects Ltd * (c)		27,754,635
	1,193,104	HDFC Bank Ltd		36,340,387
	75,600	HDFC Bank Ltd ADR		7,667,352
	306,199	Hindustan Unilever Ltd		7,807,824
	9,175,815	ICICI Bank Ltd		46,967,347
	596,100	ICICI Bank Ltd Sponsored ADR		6,062,337
	471,812	Kotak Mahindra Bank Ltd		8,365,598
	304,339	Mahindra & Mahindra Financial Services Ltd		1,952,501
	31,865	Maruti Suzuki India Ltd		3,501,281
	3,821,923	MEP Infrastructure Developers Ltd		2,284,935
	1,503,690	Sangam India Ltd		1,650,219
	1,040,279	Srikalahasthi Pipes Ltd		3,061,521
	136,926	TCNS Clothing Co Ltd *		1,330,312
	404,515	Titan Co Ltd		5,411,968
		Total India		192,054,486

Shares		Description	Value ($)
		Indonesia — 1.4%
	6,386,264	Bank Central Asia Tbk PT		11,650,412
	32,778,700	Telekomunikasi Indonesia Persero Tbk PT		8,482,319
		Total Indonesia		20,132,731
		Japan — 0.3%
	41,800	Daikin Industries Ltd		4,660,909
		Malaysia — 0.2%
	521,800	Public Bank Bhd		3,112,609
		Mexico — 0.3%
	248,300	Fomento Economico Mexicano SAB de CV		2,151,578
	473,807	Grupo Financiero Banorte SAB de CV – Class O		2,171,894
		Total Mexico		4,323,472
		Peru — 0.6%
	40,482	Credicorp Ltd		8,877,298
		Philippines — 2.3%
	4,985,112	Bank of the Philippine Islands		8,950,878
	4,860,242	BDO Unibank Inc		12,092,341
	16,678,940	Puregold Price Club Inc		13,559,133
		Total Philippines		34,602,352
		Russia — 0.3%
	332,779	Sberbank of Russia Sponsored ADR		3,968,955
		South Africa — 2.2%
	2,095,891	FirstRand Ltd		10,082,306
	116,160	Naspers Ltd – N Shares		23,156,854
		Total South Africa		33,239,160
		South Korea — 0.8%
	339,793	Shinhan Financial Group Co Ltd		12,536,942
		Switzerland — 4.6%
	3,925	Givaudan SA (Registered)		9,690,602
	694,592	Nestle SA (Registered)		59,257,726
		Total Switzerland		68,948,328
		Taiwan — 5.2%
	7,968,000	Cathay Financial Holding Co Ltd		12,609,172
	2,602,000	Chunghwa Telecom Co Ltd		9,059,539
	20,957,000	CTBC Financial Holding Co Ltd		13,961,010
	10,976,245	E.Sun Financial Holding Co Ltd		7,430,180
	5,354,000	Far EasTone Telecommunications Co Ltd		12,620,898
	6,294,000	Fubon Financial Holding Co Ltd		10,003,297
	9,281,000	Mega Financial Holding Co Ltd		7,733,750
	1,921,366	Uni-President Enterprises Corp		4,520,187
		Total Taiwan		77,938,033

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Thailand — 6.3%
	1,851,700	Advanced Info Service Pcl (Foreign Registered)		10,082,242
	919,400	Bangkok Bank Pcl NVDR		5,826,157
	2,484,000	Central Pattana Pcl (Foreign Registered)		5,733,297
	1,960,800	CPN Retail Growth Leasehold REIT (Foreign Registered)		1,550,848
	2,089,300	Electricity Generating Pcl (Foreign Registered)		15,263,308
	4,731,600	Glow Energy Pcl (Foreign Registered)		12,526,055
	81,031,624	Land & Houses Pcl (Foreign Registered)		24,967,956
	67,814,862	Quality Houses Pcl (Foreign Registered)		6,115,303
	3,924,812	Tisco Financial Group Pcl (Foreign Registered)		9,566,915
	2,968,323	Workpoint Entertainment Pcl (Foreign Registered)		2,598,921
		Total Thailand		94,231,002
		Turkey — 1.9%
	6,759,534	Akbank Turk AS		9,948,412
	11,343,011	Turkiye Garanti Bankasi AS		17,972,673
		Total Turkey		27,921,085
		United Arab Emirates — 0.3%
	1,181,723	First Abu Dhabi Bank PJSC		4,381,275
		United Kingdom — 5.1%
	1,403,201	Unilever Plc		76,045,378
		United States — 0.6%
	145,566	Colgate-Palmolive Co.		9,246,352
		TOTAL COMMON STOCKS (COST $1,092,402,446)		1,054,895,475
		PREFERRED STOCKS (d) — 2.4%
		Brazil — 2.4%
	822,400	Banco Bradesco SA		8,184,893
	1,377,600	Cia Energetica de Minas Gerais		4,527,876
	2,427,450	Itau Unibanco Holding SA		22,615,163
		Total Brazil		35,327,932
		TOTAL PREFERRED STOCKS (COST $37,752,459)		35,327,932
		INVESTMENT FUNDS — 21.8%
		Brazil — 1.2%
	440,708	iShares MSCI Brazil Capped ETF		17,540,178
		China — 7.8%
	3,901,400	Hang Seng Investment Index Funds Series—Hang Seng CEI ETF		53,770,854
	1,502,800	iShares China Large-Cap ETF		63,147,656
		Total China		116,918,510

Shares / Par Value†		Description	Value ($)
		Russia — 0.8%
	598,500	VanEck Vectors Russia ETF		12,239,325
		Thailand — 2.4%
	80,389,901	Digital Telecommunication Infrastructure Fund		35,669,672
		United States — 9.6%
	2,274,947	iShares MSCI Emerging Markets ETF		93,454,823
	1,011,171	iShares Core MSCI Emerging Markets ETF		50,022,629
		Total United States		143,477,452
		TOTAL INVESTMENT FUNDS (COST $327,746,474)		325,845,137
		DEBT OBLIGATIONS — 1.8%
		Mexico — 1.1%
	17,258,000	Cemex SAB de CV, Reg S, 5.70%, due 01/11/25		16,349,798
		United States — 0.7%
	10,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.43%, due 07/31/20 (e)		10,004,106
		TOTAL DEBT OBLIGATIONS (COST $27,311,753)		26,353,904
		MUTUAL FUNDS — 3.8%
		United States — 3.8%
		Affiliated Issuers — 3.8%
	2,288,532	GMO U.S. Treasury Fund		57,167,534
		TOTAL MUTUAL FUNDS (COST $57,167,534)		57,167,534
		SHORT-TERM INVESTMENTS — 0.8%
		Money Market Funds — 0.5%
	7,577,272	State Street Institutional Treasury Money Market Fund – Premier Class, 2.19% (f)		7,577,272
		U.S. Government — 0.3%
	4,000,000	U.S. Treasury Bill, 2.07%, due 01/03/19 (g)		3,992,293
		TOTAL SHORT-TERM INVESTMENTS (COST $11,570,528)		11,569,565
		TOTAL INVESTMENTS — 101.1% (Cost $1,553,951,194)		1,511,159,547
		Other Assets and Liabilities (net) — (1.1%)		(16,074,776	)
		TOTAL NET ASSETS — 100.0%		$1,495,084,771

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2018 (Unaudited)

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of November 30, 2018
Amber Enterprises India Ltd	12/11/2017	$	6,214,810	0.44%	$	6,627,901

A summary of outstanding financial instruments at November 30, 2018 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
01/24/2019	MSCI		PHP	1,999,356,086		USD	38,279,841		278,707
02/20/2019	MSCI		PHP	1,020,320,426		USD	19,069,628		(290,504	)
01/22/2019	MSCI		THB	2,788,249,378		USD	83,847,242		(1,098,853	)
04/30/2019	MSCI		THB	1,403,077,000		USD	42,533,596		(386,227	)
01/22/2019	MSCI		USD	86,542,890		THB	2,788,249,378		(1,596,795	)
01/24/2019	MSCI		USD	31,122,291		PHP	1,664,115,700		507,034
								$	(2,586,638	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
5,358	SET50 Index	December 2018	$	35,697,354	$	(773,092	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2018, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2018 (Unaudited)

Notes to Schedule of Investments:

ADR - American Depositary Receipt

ETF - Exchange-Traded Fund

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

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.

REIT - Real Estate Investment Trust

USBM - U.S. Treasury 3 Month Bill Money Market Yield.

The rates shown on variable rate notes are the current interest rates at November 30, 2018, which are subject to change based on the terms of the security.

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) The security is restricted as to resale.

(b) Investment valued using significant unobservable inputs.

(c) Affiliated company.

(d) Preferred dividend rates are disclosed to the extent that a stated rate exists.

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

(f) The rate disclosed is the 7 day net yield as of November 30, 2018.

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

Counterparty Abbreviations:

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

PHP - Philippine Peso

THB - Thai Baht

USD - United States Dollar

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 94.5%
		Brazil — 0.6%
	1,150,846	Banco BTG Pactual SA		6,591,934
	474,800	EDP – Energias do Brasil SA		1,680,893
	390,700	Localiza Rent a Car SA		2,721,228
	447,500	Odontoprev SA		1,608,547
	292,700	QGEP Participacoes SA		789,690
	1,175,735	Rumo SA *		5,305,896
	88,000	Ultrapar Participacoes SA Sponsored ADR		1,079,760
		Total Brazil		19,777,948
		Chile — 0.1%
	133,816	Inversiones La Construccion SA		2,136,398
		China — 25.4%
	4,426,000	361 Degrees International Ltd		1,097,229
	1,218,500	AAC Technologies Holdings Inc		8,737,218
	794,000	Agile Group Holdings Ltd		1,084,925
	75,286,290	Agricultural Bank of China Ltd – Class H		34,223,373
	365,000	Agritrade Resources Ltd.		72,310
	5,163,946	Aier Eye Hospital Group Co Ltd – Class A		21,329,791
	122,426	Alibaba Group Holding Ltd Sponsored ADR *		19,693,446
	2,675,400	Anhui Conch Cement Co Ltd – Class A		12,357,123
	3,969,500	Anhui Conch Cement Co Ltd – Class H		20,897,067
	87,261,682	Bank of China Ltd – Class H		38,258,415
	1,896,000	Baoye Group Co Ltd – Class H *		1,015,552
	30,912,256	Beijing Homyear Capital Holdings Co Ltd – Class A		13,575,381
	2,671,428	Beijing North Star Co Ltd – Class A		1,132,235
	281,500	BYD Electronic International Co Ltd		395,050
	232,000	C.banner International Holdings Ltd. *		13,937
	19	Cangzhou Mingzhu Plastic Co Ltd – Class A		13
	581,500	Changyou.com Ltd ADR		11,426,475
	14,900	Cheetah Mobile, Inc. ADR *		94,615
	6,974,560	China Communications Services Corp Ltd – Class H		5,841,537
	146,182,906	China Construction Bank Corp – Class H		124,811,597
	1,575,800	China International Marine Containers Group Co Ltd – Class H		1,691,810
	2,127,368	China International Travel Service Corp Ltd – Class A		17,037,642
	1,284,000	China Jinmao Holdings Group Ltd		619,715
	21,831,000	China Machinery Engineering Corp – Class H		10,908,915
	39,000	China Medical System Holdings Ltd		42,519
	4,617,437	China Mobile Ltd		46,027,763
	148,200	China Mobile Ltd Sponsored ADR		7,371,468
	2,436,800	China Molybdenum Co Ltd		1,407,560
	1,654,200	China Nuclear Engineering Corp Ltd – Class A		1,812,689
	564,000	China Oriental Group Co. Ltd.		364,498
	9,090,000	China Overseas Land & Investment Ltd		31,876,629
	37,600	China Petroleum & Chemical Corp ADR		3,208,784

Shares		Description	Value ($)
		China — continued
	23,446,836	China Petroleum & Chemical Corp – Class A		20,002,665
	30,706,000	China Petroleum & Chemical Corp – Class H		26,284,375
	5,964,000	China Resources Land Ltd		22,201,082
	5,445,644	China Shenhua Energy Co Ltd – Class A		14,823,510
	9,911,500	China Shenhua Energy Co Ltd – Class H		22,202,097
	1,434,364	China Vanke Co Ltd – Class A		5,298,329
	3,593,100	China Vanke Co Ltd – Class H		12,424,425
	831,191	China Yangtze Power Co Ltd – Class A		1,721,180
	28,396,000	Chong Sing Holdings FinTech Gr *		827,491
	363,406	Chongqing Department Store Co Ltd – Class A		1,581,544
	2,680,000	CNOOC Ltd		4,555,726
	7,024,000	COSCO SHIPPING Development Co Ltd – Class H *		790,020
	7,473,000	Country Garden Holdings Co Ltd		9,271,132
	1,130,000	CT Environmental Group Ltd.		46,939
	5,770,566	Daqin Railway Co Ltd – Class A		6,431,642
	814,344	Dashang Co Ltd – Class A		3,005,319
	3,501,755	Dongfang Electric Corp Ltd – Class A *		3,855,293
	1,043,000	Dongyue Group Ltd.		570,622
	1,358,100	Dr Peng Telecom & Media Group Co Ltd – Class A		1,610,934
	959,400	Fang Holdings Ltd ADR *		1,765,296
	3,029,081	Fangda Special Steel Technology Co Ltd – Class A		4,359,945
	2,285,000	FDG Electric Vehicles Ltd. *		23,072
	562,000	FIH Mobile Ltd *		67,520
	22,919,000	GCL-Poly Energy Holdings Ltd *		1,581,833
	180,000	Grand Baoxin Auto Group Ltd.		58,436
	10,392,000	Guangdong Investment Ltd		20,087,643
	404,400	Guangzhou R&F Properties Co Ltd – Class H		630,598
	64,000	Haier Electronics Group Co Ltd *		149,039
	557,922	Hangzhou Robam Appliances Co Ltd – Class A		1,690,186
	1,099,797	Henan Shuanghui Investment & Development Co Ltd – Class A		3,634,281
	3,261,848	Hisense Home Appliances Group Co Ltd – Class A		3,399,464
	1,999,634	HLA Corp Ltd – Class A		2,278,496
	26,000	Hollysys Automation Technologies Ltd		515,060
	10,248,000	Hua Han Health Industry Holdings Ltd * (a)		681,104
	10,623,000	Huabao International Holdings Ltd		4,924,124
	74	Huolinhe Opencut Coal Industry Corp Ltd of Inner Mongolia – Class A		82
	103,297,647	Industrial & Commercial Bank of China Ltd – Class H		73,777,215
	1,491,500	Kingboard Laminates Holdings Ltd		1,428,711
	60,000	Kunlun Energy Co Ltd		72,623
	14,431	Kweichow Moutai Co Ltd – Class A		1,179,539
	137,228	Kweichow Moutai Co Ltd – Class A		11,216,533
	775,000	KWG Property Holding Ltd *		695,897
	493,230	Livzon Pharmaceutical Group Inc – Class A		2,348,394
	2,790,000	Logan Property Holdings Co Ltd		3,287,443
	773,500	Longfor Group Holdings Ltd		2,192,183
	1,168,555	Midea Group Co Ltd – Class A		6,579,267

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		China — continued
	23,400	New Oriental Education & Technology Group Inc Sponsored ADR *		1,337,544
	242,000	NewOcean Energy Holdings Ltd. *		89,698
	885,000	Nine Dragons Paper Holdings Ltd		903,671
	1,097,000	People’s Insurance Co Group of China Ltd (The) – Class H		475,478
	4,400	Phoenix New Media Ltd. ADR *		15,620
	14,427,000	PICC Property & Casualty Co Ltd – Class H		14,881,908
	1,406,000	Ping An Insurance Group Co of China Ltd – Class H		13,702,124
	5,214,400	Qingling Motors Co Ltd – Class H		1,374,710
	127,800	Red Star Macalline Group Corp Ltd		212,376
	2,227,600	SAIC Motor Corp Ltd – Class A		8,007,698
	1,103,800	SDIC Capital Co Ltd – Class A		1,669,262
	6,516,270	Shanghai SMI Holding Co Ltd – Class A		5,648,840
	3,208,000	Shenzhen Investment Ltd		1,049,360
	423,211	Shenzhen World Union Properties Consultancy Inc – Class A		313,063
	1,053,000	Shimao Property Holdings Ltd		2,622,199
	1,215,000	Sino-Ocean Group Holding Ltd		546,263
	2,776,000	Sinopec Shanghai Petrochemical Co Ltd – Class A		2,011,368
	15,104,000	Sinopec Shanghai Petrochemical Co Ltd – Class H		6,887,044
	6,632,000	Skyworth Digital Holdings Ltd		1,627,485
	13,722,103	Suning Universal Co Ltd – Class A		6,310,790
	1,322,465	Tencent Holdings Ltd		52,870,337
	230,000	Truly International Holdings Ltd *		34,688
	10,262,800	Yangzijiang Shipbuilding Holdings Ltd		9,346,621
	4,493,000	Yuzhou Properties Co Ltd		1,982,459
	10,406,000	Zhejiang Expressway Co Ltd – Class H		8,761,803
	500,573	Zhejiang Supor Cookware Co Ltd – Class A		3,896,446
	1,405,921	Zhejiang Weixing New Building Materials Co Ltd – Class A		2,885,204
	93,224	Zhengzhou Yutong Bus Co Ltd – Class A		151,849
		Total China		894,171,498
		Colombia — 0.0%
	2	Ecopetrol SA		2
		Czech Republic — 0.2%
	540,539	Moneta Money Bank AS		1,862,457
	70,000	O2 Czech Republic AS		751,741
	6,261	Philip Morris CR AS		4,031,928
		Total Czech Republic		6,646,126
		Greece — 0.1%
	3,015,258	Eurobank Ergasias SA *		1,925,256
	1,558,412	National Bank of Greece SA *		1,806,621
	1,218,216	Piraeus Bank SA *		1,206,750
		Total Greece		4,938,627

Shares		Description	Value ($)
		India — 3.5%
	317,300	Action Construction Equipment Ltd		418,372
	99,542	Asian Granito India Ltd		291,595
	1,070,235	Aurobindo Pharma Ltd		12,437,120
	140,821	Axis Bank Ltd *		1,262,260
	22,755	Bajaj Finserv Ltd		1,963,998
	1,760,020	Bharat Heavy Electricals Ltd		1,722,267
	133,504	Bombay Burmah Trading Co		2,646,523
	293,346	CMI Ltd		541,022
	574,247	Divi’s Laboratories Ltd		11,763,227
	14,683,757	Gayatri Highways Ltd * (b)		251,775
	16,772,852	Gayatri Projects Ltd * (b)		42,119,538
	307,542	HDFC Bank Ltd		9,367,327
	21,000	HDFC Bank Ltd ADR		2,129,820
	437,416	Hindustan Construction Co Ltd *		73,180
	93,643	Hindustan Unilever Ltd		2,387,820
	2,287,559	ICICI Bank Ltd		11,709,105
	225,400	ICICI Bank Ltd Sponsored ADR		2,292,318
	3,013,682	Jai Balaji Industries Ltd *		737,771
	1,322,083	Kiri Industries Ltd *		9,100,858
	145,807	Kotak Mahindra Bank Ltd		2,585,273
	123,034	Mahindra & Mahindra Financial Services Ltd		789,330
	12,415	Manpasand Beverages Ltd		16,566
	9,600	Maruti Suzuki India Ltd		1,054,834
	917,800	MEP Infrastructure Developers Ltd		548,706
	528,333	Sangam India Ltd		579,817
	129,677	Siemens Ltd		1,769,837
	116,937	Srei Infrastructure Finance Ltd		53,143
	253,494	Srikalahasthi Pipes Ltd		746,028
	109,504	Titan Co Ltd		1,465,044
		Total India		122,824,474
		Indonesia — 3.1%
	71,689,700	Adaro Energy Tbk PT		6,458,202
	6,854,900	Bank Central Asia Tbk PT		12,505,341
	7,868,800	Bank Mandiri Persero Tbk PT		4,083,285
	17,058,300	Bank Negara Indonesia Persero Tbk PT		10,189,581
	79,240,600	Bank Pembangunan Daerah Jawa Timur Tbk PT		3,967,145
	110,116,000	Bank Rakyat Indonesia Persero Tbk PT		27,945,228
	30,484,000	Bukit Asam Tbk PT		8,610,945
	31,485,300	Delta Dunia Makmur Tbk PT *		1,281,398
	7,017,800	Indika Energy Tbk PT		888,043
	6,713,391	Indo Tambangraya Megah Tbk PT		9,996,812
	8,215,100	Matahari Department Store Tbk PT		2,737,351
	174,565,100	Modernland Realty Tbk PT		2,490,447
	225,909,700	Panin Financial Tbk PT *		4,686,595
	12,393,200	Ramayana Lestari Sentosa Tbk PT		1,033,504
	39,748,800	Surya Semesta Internusa Tbk PT		1,253,095
	9,175,500	Telekomunikasi Indonesia Persero Tbk PT		2,374,393
	3,623,300	United Tractors Tbk PT		6,981,241
	16,008,500	Waskita Karya Persero Tbk PT		1,746,077
		Total Indonesia		109,228,683

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Malaysia — 0.2%
	4,577,500	Astro Malaysia Holdings Bhd		1,312,701
	1,440,200	Datasonic Group Bhd		153,158
	4,288,100	Felda Global Ventures Holdings Bhd		906,911
	3,936,988	KSL Holdings Berhad *		665,141
	6,491,800	My EG Services Bhd		1,722,045
	1,044,400	UMW Holdings Bhd		1,260,418
	3,472,967	UOA Development Berhad		1,752,917
		Total Malaysia		7,773,291
		Mexico — 0.6%
	1,630	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand – Class B		2,004
	2,538,500	Corp Inmobiliaria Vesta SAB de CV		3,167,863
	514,900	Credito Real SAB de CV SOFOM ER		513,793
	305,700	Fomento Economico Mexicano SAB de CV		2,648,962
	5,800	Fomento Economico Mexicano SAB de CV Sponsored ADR		503,150
	1,259,700	Gentera SAB de CV		929,593
	224,400	Grupo Financiero Banorte SAB de CV – Class O		1,028,632
	262,100	Kimberly-Clark de Mexico SAB de CV – Class A		388,120
	308,090	Promotora y Operadora de Infraestructura SAB de CV		2,721,591
	478,700	Unifin Financiera SAB de CV SOFOM ENR		1,012,493
	3,052,200	Wal-Mart de Mexico SAB de CV		7,560,863
		Total Mexico		20,477,064
		Pakistan — 0.2%
	627,000	Engro Corp Ltd		1,453,229
	2,346,500	Engro Fertilizers Ltd		1,311,439
	197,000	Fauji Cement Co Ltd		32,716
	37,500	Fauji Fertilizer Co Ltd		27,080
	7,700	Honda Atlas Cars Pakistan Ltd		11,654
	40,500	Hub Power Co Ltd (The)		28,135
	40,900	Lucky Cement Ltd		147,725
	1,860,100	Oil & Gas Development Co Ltd		2,006,639
	440,100	Pakistan Oilfields Ltd		1,558,280
	99,800	Pakistan Petroleum Ltd		124,059
	55,000	Pakistan State Oil Co Ltd		108,069
		Total Pakistan		6,809,025
		Peru — 0.1%
	11,000	Credicorp Ltd		2,412,190
		Philippines — 1.1%
	1,379,433	Bank of the Philippine Islands		2,476,802
	1,211,034	BDO Unibank Inc		3,013,067
	8,932,000	Belle Corp		378,590
	2,524,800	DMCI Holdings Inc		595,084
	1,797,500	Eagle Cement Corp		531,635
	2,748,677	First Gen Corp		931,508
	43,930	GT Capital Holdings Inc		744,982
	7,673,700	LT Group Inc		2,340,701

Shares		Description	Value ($)
		Philippines — continued
	1,229,850	Manila Electric Co		9,034,609
	7,115,000	Manila Water Co Inc		3,660,673
	20,677,000	Megaworld Corp		1,780,403
	7,714,000	Metro Pacific Investments Corp		692,249
	32,477,338	Nickel Asia Corp		1,375,675
	4,380,775	Petron Corp		684,851
	1,353,565	Pilipinas Shell Petroleum Corp		1,225,784
	5,294,538	Puregold Price Club Inc		4,304,191
	6,718,500	Semirara Mining & Power Corp		3,358,653
		Total Philippines		37,129,457
		Poland — 2.6%
	149,377	Bank Millennium SA *		363,423
	299,474	Bank Polska Kasa Opieki SA		8,677,946
	78,078	Budimex SA		2,428,735
	137,116	Ciech SA		1,486,546
	146,136	Grupa Azoty SA		1,259,753
	150,094	Grupa Lotos SA		3,245,718
	64,382	KRUK SA		2,939,905
	1,121	LPP SA		2,318,694
	97,355	Lubelski Wegiel Bogdanka SA *		1,427,398
	403,760	PLAY Communications SA		1,720,054
	800,239	Polski Koncern Naftowy ORLEN SA		23,266,830
	8,724,266	Polskie Gornictwo Naftowe i Gazownictwo SA		14,844,443
	230,823	Powszechna Kasa Oszczednosci Bank Polski SA		2,491,305
	1,783,741	Powszechny Zaklad Ubezpieczen SA		20,195,354
	9,383	Santander Bank Polska SA		881,678
	21,772	Stalprodukt SA		1,869,100
	129,324	Warsaw Stock Exchange		1,275,228
		Total Poland		90,692,110
		Qatar — 1.5%
	681,159	Barwa Real Estate Co		7,159,252
	393,755	Doha Bank QPSC		2,317,558
	235,361	Gulf International Services QSC *		1,189,312
	156,718	Masraf Al Rayan QSC		1,726,823
	35,383	Qatar Electricity & Water Co QSC		1,757,077
	316,000	Qatar Gas Transport Co Ltd Nakilat		1,572,278
	176,773	Qatar Insurance Co SAQ		1,743,008
	107,614	Qatar International Islamic Bank QSC		1,880,886
	43,481	Qatar Islamic Bank SAQ		1,814,123
	547,334	Qatar National Bank QPSC		30,029,349
	102,362	Qatar National Cement Co QSC		1,609,160
	237,288	United Development Co QSC		920,119
		Total Qatar		53,718,945
		Russia — 14.6%
	6,105,910	Aeroflot PJSC		10,411,977
	16,535,110	Alrosa PJSC		24,581,980
	6,441	Etalon Group Plc GDR		12,753
	669,880	Gazprom Neft PJSC		3,631,353
	4,516	Gazprom Neft PJSC Sponsored ADR		123,665

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	14,681,239	Gazprom PJSC Sponsored ADR		70,058,168
	792,758	Globaltrans Investment Plc Sponsored GDR (Registered)		7,441,624
	124,772,000	Inter RAO UES PJSC		7,618,470
	15,450	LSR Group PJSC GDR (Registered)		29,946
	982,794	LUKOIL PJSC Sponsored ADR		72,525,167
	707,707	M.Video PJSC *		4,416,339
	64,746	Magnit PJSC		3,385,308
	287,195	Magnit PJSC Sponsored GDR (Registered)		3,684,083
	2,840,000	Magnitogorsk Iron & Steel OJSC		1,983,878
	5,587	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		50,165
	1,587,773	MMC Norilsk Nickel PJSC ADR		30,035,900
	3,357,475	Mobile TeleSystems PJSC Sponsored ADR		24,878,890
	13,089,577	Moscow Exchange MICEX-RTS PJSC *		17,487,909
	112,390	Novatek PJSC		1,892,006
	334,258	Novatek PJSC Sponsered GDR (Registered)		57,035,590
	1,584,950	Novolipetsk Steel PJSC		3,753,067
	938,304	Novolipetsk Steel PJSC GDR		22,217,308
	575,715	QIWI Plc Sponsored ADR *		8,658,754
	8,026,325	Rostelecom PJSC		8,537,153
	33,228	Rostelecom PJSC Sponsored ADR		214,183
	215,051,000	RusHydro PJSC		1,619,623
	1,518	RussNeft PJSC *		12,511
	140,670	Safmar Financial Investment		1,226,206
	475,300	Sberbank of Russia PJSC		1,374,960
	4,888,234	Sberbank of Russia Sponsored ADR		58,300,496
	8,050	Severstal PJSC		120,524
	788,544	Severstal PJSC GDR (Registered)		11,598,851
	2,878,707	Surgutneftegas PJSC Sponsored ADR		11,470,139
	827,420	Tatneft PJSC		8,772,947
	428,191	Tatneft PJSC Sponsored ADR		27,112,959
	245,725	TCS Group Holding Plc GDR (Registered)		4,261,306
	19,419,000	Unipro PJSC		798,476
		Total Russia		511,334,634
		South Africa — 4.8%
	609,744	Absa Group Ltd		6,776,913
	510,548	Alviva Holdings Ltd		654,607
	108,335	Astral Foods Ltd		1,369,046
	991,061	AVI Ltd		7,140,032
	118,815	Capitec Bank Holdings Ltd		9,421,286
	473,558	Clicks Group Ltd		6,415,312
	503,426	Coronation Fund Managers Ltd		1,622,297
	2,657,720	Delta Property Fund Ltd		882,066
	184,660	Discovery Ltd		2,047,347
	1,666,563	Emira Property Fund Ltd (REIT)		1,787,357
	549,645	Exxaro Resources Ltd		5,153,740
	1,940,602	FirstRand Ltd		9,335,287
	58,569	Foschini Group Ltd (The)		738,941
	5,082,697	Growthpoint Properties Ltd (REIT)		8,666,577
	463,486	Hyprop Investments Ltd (REIT)		2,983,050

Shares		Description	Value ($)
		South Africa — continued
	237,053	Imperial Holdings Ltd		1,084,351
	466,851	Invicta Holdings Ltd		1,178,227
	93,647	JSE Ltd		1,117,969
	609,527	Kumba Iron Ore Ltd		10,907,254
	1,803,607	Lewis Group Ltd		3,763,148
	275,786	Liberty Holdings Ltd		2,128,209
	543,460	Metair Investments Ltd		741,807
	111,280	Mondi Ltd		2,446,988
	55,879	Motus Holdings Ltd *		350,787
	1,188,746	Mr Price Group Ltd		20,660,412
	8,200	Naspers Ltd – N Shares		1,634,695
	3,318,181	Old Mutual Ltd		5,538,072
	167,581	Pioneer Foods Group Ltd		1,027,826
	1,196,575	Rebosis Property Fund Ltd		259,270
	146,033	Reinet Investments SCA		2,131,362
	2,468,183	RMB Holdings Ltd		13,909,066
	1,944,435	SA Corporate Real Estate Ltd (REIT)		546,109
	1,848,090	Sanlam Ltd		10,271,498
	168,345	SPAR Group Ltd (The)		2,377,249
	402,966	Transaction Capital Ltd		536,474
	2,777,275	Truworths International Ltd		17,626,487
	371,739	Wilson Bayly Holmes-Ovcon Ltd		3,908,590
		Total South Africa		169,139,708
		South Korea — 3.5%
	3,672	Amotech Co Ltd *		62,568
	1,936,908	BNK Financial Group Inc		13,286,425
	8,597	CLIO Cosmetics Co Ltd		97,401
	6,260	Cuckoo Holdings Co Ltd		765,310
	168,975	Daou Data Corp		1,434,224
	245,272	Daou Technology Inc		4,415,240
	372,648	DB Insurance Co Ltd		22,505,250
	13,124	Dong Ah Tire & Rubber Co Ltd		365,172
	88,796	Dongsuh Cos Inc		1,413,987
	1,591,252	Dongwon Development Co Ltd		5,748,405
	157,357	Doosan Heavy Industries & Construction Co Ltd *		1,600,312
	12,629	GS Home Shopping Inc		2,204,465
	2,855	Hankook Shell Oil Co Ltd		887,391
	471,266	Hankook Tire Worldwide Co Ltd		7,103,549
	31,980	Hanssem Co Ltd		1,671,821
	43,618	Hyundai Home Shopping Network Corp		3,888,659
	482,262	Hyundai Hy Communications & Network Co Ltd		1,889,241
	60,464	KEPCO Plant Service & Engineering Co Ltd		1,664,048
	687,727	Korea Asset In Trust Co Ltd		2,862,849
	270,882	KT Skylife Co Ltd		2,768,067
	233,487	KT&G Corp		21,664,598
	189,221	Kyobo Securities Co Ltd		1,585,346
	125,816	LF Corp		2,712,948
	47,362	Maeil Holdings Co Ltd		466,111
	4,100	Magnachip Semiconductor Corp. *		28,372
	132,895	Meritz Financial Group Inc		1,359,702

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	2,665	Nexon GT Co Ltd *		17,593
	2,078	PSK Inc		25,860
	14,427	Samsung Electronics Co Ltd GDR		13,538,400
	5,875	Seoyon E-Hwa Co Ltd		20,964
	92,772	Shinhan Financial Group Co Ltd		3,422,899
	45,363	Sindoh Co Ltd		1,951,310
	9,211	Synopex Inc *		22,761
	1,240	Tonymoly Co Ltd		15,155
	28,884	Toptec Co Ltd *		195,235
	4,458	Wonik Holdings Co Ltd *		16,007
		Total South Korea		123,677,645
		Sri Lanka — 0.0%
	103,983,101	Anilana Hotels & Properties Ltd * (b)		703,181
		Taiwan — 20.5%
	11,055,000	AcBel Polytech Inc		6,769,262
	1,256,000	Actron Technology Corp		3,872,559
	66,000	Advanced Wireless Semiconductor Co		86,246
	1,096,532	Advantech Co Ltd		8,342,348
	257,000	Alchip Technologies Ltd.		707,621
	11,187,740	AmTRAN Technology Co Ltd *		4,462,147
	3,583,620	Asustek Computer Inc		25,448,264
	100,000	Aten International Co Ltd		268,010
	186,200	Aurora Corp		580,325
	3,604,000	Catcher Technology Co Ltd		31,167,976
	13,031,400	Cathay Financial Holding Co Ltd		20,621,883
	26,000	Cathay Real Estate Development Co Ltd		16,925
	8,248,740	Chailease Holding Co Ltd		25,910,144
	354,254	Chicony Electronics Co Ltd		695,069
	173,244	Chicony Power Technology Co Ltd		244,980
	3,530,100	Chin-Poon Industrial Co Ltd		4,434,828
	15,200,000	China Development Financial Holding Corp		4,957,589
	20,000	China General Plastics Corp		14,025
	5,649,000	China Life Insurance Co Ltd		5,372,335
	879,000	China Motor Corp		658,948
	552,000	Chong Hong Construction Co Ltd		1,420,927
	40,000	Chunghwa Precision Test Tech Co Ltd		636,079
	5,766,259	Chunghwa Telecom Co Ltd		20,076,729
	138,121	Chunghwa Telecom Co Ltd Sponsored ADR		4,796,942
	333,000	Cleanaway Co Ltd		1,825,665
	65,000	Compeq Manufacturing Co Ltd		43,050
	5,125,400	Coretronic Corp		6,697,155
	47,323,720	CTBC Financial Holding Co Ltd		31,525,836
	2,610,000	CTCI Corp		3,859,885
	1,811,000	Dynapack International Technology Corp		2,493,033
	5,171,189	E.Sun Financial Holding Co Ltd		3,500,547
	658,000	Elite Material Co Ltd		1,566,655
	4,572,084	Far EasTone Telecommunications Co Ltd		10,777,700
	3,672,000	Farglory Land Development Co Ltd		4,296,683
	1,370,000	FLEXium Interconnect Inc		3,609,720
	2,946,000	Formosa Chemicals & Fibre Corp		10,233,016

Shares		Description	Value ($)
		Taiwan — continued
	3,017,000	Formosa Petrochemical Corp		10,966,363
	3,530,000	Formosa Plastics Corp		11,502,850
	3,125,303	Formosan Rubber Group Inc		1,554,832
	6,109,075	Foxconn Technology Co Ltd		12,385,212
	23,752,200	Fubon Financial Holding Co Ltd		37,750,288
	539,000	General Interface Solution Holding Ltd		1,802,412
	6,848,200	Gigabyte Technology Co Ltd		8,697,647
	1,531,000	Globalwafers Co Ltd		18,359,716
	668,000	Grand Pacific Petrochemical		484,710
	464,000	Greatek Electronics Inc		631,846
	385,200	Green Seal Holding Ltd		460,777
	122,000	HannStar Display Corp		29,548
	7,612,754	Highwealth Construction Corp		11,623,240
	1,587,000	Holtek Semiconductor Inc		3,049,008
	1,469,000	Hon Hai Precision Industry Co Ltd		3,448,615
	1,139,000	HTC Corp *		1,684,381
	2,413,000	Huaku Development Co Ltd		4,960,155
	2,939,010	IEI Integration Corp		3,053,277
	2,394,000	Innolux Corp		799,335
	210,000	Kung Long Batteries Industrial Co Ltd		983,872
	2,560,000	Macronix International		1,703,813
	622,785	Makalot Industrial Co Ltd		3,652,501
	180,000	MediaTek Inc		1,394,164
	4,565,000	Mega Financial Holding Co Ltd		3,803,962
	2,418,000	Mercuries Life Insurance Co Ltd *		1,031,306
	2,584,000	Nan Ya Plastics Corp		6,252,662
	481,000	Nantex Industry Co Ltd		451,032
	7,878,000	Nanya Technology Corp		15,739,911
	5,478,810	Novatek Microelectronics Corp		23,211,615
	186,000	On-Bright Electronics Inc		1,181,350
	1,100,000	Phison Electronics Corp		8,996,002
	115,000	Pixart Imaging Inc		354,691
	1,246,000	Quanta Storage Inc		956,421
	11,076,870	Radiant Opto-Electronics Corp		30,451,816
	2,486,720	Realtek Semiconductor Corp		11,508,610
	947,000	Rechi Precision Co Ltd		730,280
	1,545,090	Ruentex Development Co Ltd		2,463,320
	4,420,800	Ruentex Industries Ltd		13,111,116
	898,000	Sercomm Corp		1,831,389
	381,000	Shinkong Insurance Co Ltd		441,812
	17,700	Silicon Motion Technology Corp ADR		634,899
	1,636,068	Simplo Technology Co Ltd		9,986,900
	366,000	Sinbon Electronics Co Ltd		956,898
	2,309,200	Sitronix Technology Corp		8,361,647
	2,219,250	Syncmold Enterprise Corp		4,944,611
	6,813,000	Taiwan Semiconductor Manufacturing Co Ltd		50,315,998
	1,705,410	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		64,106,362
	50,000	Taiwan Styrene Monomer		39,284
	3,043,000	Teco Electric and Machinery Co Ltd		1,694,315
	407,000	Test Research Inc		628,919
	441,000	Tong Hsing Electronic Industries Ltd		1,636,010

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	458,981	Topco Scientific Co Ltd		1,058,653
	1,213,000	Transcend Information Inc		2,691,900
	1,845,160	Tripod Technology Corp		5,009,143
	1,926,000	TXC Corp		2,178,169
	4,003,412	Uni-President Enterprises Corp		9,418,389
	5,248,000	United Integrated Services Co Ltd (c)		10,936,859
	2,690,000	Waterland Financial Holdings Co Ltd		878,983
	2,937,000	Win Semiconductors Corp		12,176,705
	1,137,000	Winbond Electronics Corp		558,957
	376,214	Wistron NeWeb Corp		943,927
	1,311,000	YC INOX Co Ltd		1,053,427
	11,326,000	Yuanta Financial Holding Co Ltd		5,792,625
	268,000	Yulon Finance Corp.		798,564
	84,000	Yulon Nissan Motor Co Ltd		629,241
	3,462,670	Yungtay Engineering Co Ltd		6,602,799
	287,000	Zeng Hsing Industrial Co Ltd		1,325,766
		Total Taiwan		720,846,913
		Thailand — 1.5%
	669,200	Advanced Info Service Pcl (Foreign Registered)		3,643,698
	244,700	Bangkok Bank Pcl NVDR		1,550,642
	660,200	Central Pattana Pcl (Foreign Registered)		1,523,801
	1,250,000	CPN Retail Growth Leasehold REIT (Foreign Registered)		988,658
	576,100	Electricity Generating Pcl (Foreign Registered)		4,208,678
	2,319,001	Glow Energy Pcl (Foreign Registered)		6,139,136
	22,725,500	Land & Houses Pcl (Foreign Registered)		7,002,319
	3,025,300	MC Group Pcl (Foreign Registered)		1,069,219
	4,105,800	Pruksa Holding Pcl (Foreign Registered)		2,324,795
	25,391,292	Quality Houses Pcl (Foreign Registered)		2,289,697
	25,615,300	Star Petroleum Refining Pcl (Foreign Registered)		9,381,192
	2,984,475	Supalai Pcl (Foreign Registered)		1,845,246
	3,022,800	Thai Oil Pcl (Foreign Registered)		7,015,913
	870,500	Tisco Financial Group Pcl (Foreign Registered)		2,121,885
	7,066,150	TTW Pcl (Foreign Registered)		2,621,042
	669,700	Workpoint Entertainment Pcl (Foreign Registered)		586,357
		Total Thailand		54,312,278
		Turkey — 8.5%
	16,372,126	Akbank Turk AS		24,095,841
	17,573	Akcansa Cimento AS		22,447
	642,410	Aksa Akrilik Kimya Sanayii AS		1,023,959
	4,127,514	Albaraka Turk Katilim Bankas AS		998,059
	2,651,672	Anadolu Cam Sanayii AS		1,425,486
	3,599,955	Aselsan Elektronik Sanayi Ve Ticaret AS		18,440,595
	12,284	AvivaSA Emeklilik ve Hayat AS		28,413
	427,371	Aygaz AS		960,485
	1,683,284	BIM Birlesik Magazalar AS		27,284,093
	15,779	Cimsa Cimento Sanayi VE Ticaret AS		22,031
	312,489	Coca-Cola Icecek AS		1,751,233
	7,488,231	Dogan Sirketler Grubu Holding AS *		1,653,483

Shares		Description	Value ($)
		Turkey — continued
	4,931,243	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		2,859,034
	41,757,904	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)		12,991,321
	3,364,541	Enerjisa Enerji AS		3,214,352
	5,270,061	Enka Insaat ve Sanayi AS		4,741,427
	14,015,132	Eregli Demir ve Celik Fabrikalari TAS		20,417,892
	309,267	Ford Otomotiv Sanayi AS		3,209,994
	5,194,966	Haci Omer Sabanci Holding AS		8,207,007
	8,213,630	Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim AS *		9,588,799
	2,405,976	Is Gayrimenkul Yatirim Ortakligi AS (REIT)		461,779
	743,761	Kordsa Teknik Tekstil AS		1,446,000
	107,577	Logo Yazilim Sanayi Ve Ticaret AS *		670,915
	486,661	Mavi Giyim Sanayi Ve Ticaret AS – Class B		3,515,307
	179,205	Otokar Otomotiv Ve Savunma Sanayi AS		2,933,447
	987,094	Selcuk Ecza Deposu Ticaret ve Sanayi AS		551,302
	17,775,348	Soda Sanayii AS		24,392,758
	847,137	TAV Havalimanlari Holding AS		3,809,351
	1,812,109	Tekfen Holding AS		6,966,676
	486,285	Tofas Turk Otomobil Fabrikasi AS		1,809,346
	4,679,180	Trakya Cam Sanayii AS		2,799,320
	956,882	Tupras Turkiye Petrol Rafineriler AS		22,918,877
	90,824	Turk Traktor ve Ziraat Makineleri AS		625,155
	2,539,811	Turkcell Iletisim Hizmetleri AS		6,187,111
	23,160,075	Turkiye Garanti Bankasi AS		36,696,468
	3,237,942	Turkiye Halk Bankasi AS		4,477,476
	2,720,379	Turkiye Is Bankasi – Class C		2,224,914
	31,814,633	Turkiye Sinai Kalkinma Bankasi AS		4,822,199
	17,123,201	Turkiye Vakiflar Bankasi TAO – Class D		13,169,167
	601,038	Ulker Biskuvi Sanayi AS *		1,798,273
	229,968	Verusa Holding AS		666,964
	39,475,643	Yapi ve Kredi Bankasi AS *		13,097,979
		Total Turkey		298,976,735
		United Arab Emirates — 1.2%
	1,192,514	Abu Dhabi Commercial Bank PJSC		2,549,659
	6,550,402	Air Arabia PJSC		1,818,616
	2,737,313	Al Waha Capital PJSC		1,257,634
	13,021,549	DAMAC Properties Dubai Co PJSC		6,626,145
	13,991,456	Dana Gas PJSC		3,524,225
	80,966	DP World Ltd		1,325,928
	5,786,743	Dubai Investments PJSC		2,130,747
	1,947,542	Dubai Islamic Bank PJSC		2,781,955
	1,266,181	Emaar Development PJSC		1,706,320
	3,578,879	Emaar Malls PJSC		1,755,691
	5,583,637	Emaar Properties PJSC		6,870,088
	966,717	Emirates Telecommunications Group Co PJSC		4,379,725
	981,143	First Abu Dhabi Bank PJSC		3,637,618
	17,089,474	RAK Properties PJSC		2,376,894
		Total United Arab Emirates		42,741,245

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — 0.6%
	386,665	Unilever Plc		20,955,007
		TOTAL COMMON STOCKS (COST $3,353,972,797)		3,321,423,184
		PREFERRED STOCKS (d) — 2.9%
		Brazil — 0.3%
	284,200	Banco Bradesco SA		2,828,485
	826,860	Itau Unibanco Holding SA		7,703,382
		Total Brazil		10,531,867
		Colombia — 0.2%
	105,711	Banco Davivienda SA		1,062,994
	141,500	Bancolombia SA Sponsored ADR		5,661,415
	2,926,034	Grupo Aval Acciones y Valores SA		936,439
	32,800	Grupo Aval Acciones y Valores SA ADR		207,952
		Total Colombia		7,868,800
		Russia — 0.8%
	222,598	Bashneft PJSC		6,129,361
	19,790,900	Surgutneftegas OJSC		11,160,366
	4,372	Transneft PJSC		11,443,032
		Total Russia		28,732,759
		South Korea — 1.5%
	1,747,590	Samsung Electronics Co Ltd		52,854,741
		Taiwan — 0.1%
	605,412	CTBC Financial Holding Co Ltd		1,234,594
		TOTAL PREFERRED STOCKS (COST $93,121,681)		101,222,761
		INVESTMENT FUNDS — 1.0%
		Russia — 0.0%
	3,214,692	NCH Eagle Fund LP * (c) (e)		99,636

Shares		Description	Value ($)
		Thailand — 0.3%
	20,378,500	Digital Telecommunication Infrastructure Fund		9,042,111
		United States — 0.7%
	1	iShares MSCI Emerging Markets ETF		41
	530,678	iShares Core MSCI Emerging Markets ETF		26,252,641
		Total United States		26,252,682
		TOTAL INVESTMENT FUNDS (COST $38,120,311)		35,394,429
		MUTUAL FUNDS — 0.6%
		United States — 0.6%
		Affiliated Issuers — 0.6%
	800,764	GMO U.S. Treasury Fund		20,003,088
		TOTAL MUTUAL FUNDS (COST $20,003,088)		20,003,088
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	3,598,138	State Street Institutional Treasury Money Market Fund – Premier Class, 2.19% (f)		3,598,138
		TOTAL SHORT-TERM INVESTMENTS (COST $3,598,138)		3,598,138
		TOTAL INVESTMENTS — 99.1% (Cost $3,508,816,015)		3,481,641,600
		Other Assets and Liabilities (net) — 0.9%		32,189,329
		TOTAL NET ASSETS — 100.0%		$3,513,830,929

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of November 30, 2018
NCH Eagle Fund LP	4/6/09	$	5,452,004	0.00%	$	99,636

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2018 (Unaudited)

A summary of outstanding financial instruments at November 30, 2018 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
4,691	Mini MSCI Emerging Markets	December 2018	$	234,456,180	$	(5,373,519	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)		Net Unrealized Appreciation/ (Depreciation) ($)
Depreciation of Total Return on Asustek Computer Inc + (Daily Fed Funds Rate minus 0.25%)	Appreciation of Total Return on Asustek Computer Inc	MSCI	USD	18,768,731		01/02/2019	At Maturity		—		91,834		91,834
								$	—	$	91,834	$	91,834

As of November 30, 2018, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

ADR - American Depositary Receipt

ETF - Exchange-Traded Fund

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

GDR - Global Depositary Receipt

NVDR - Non-Voting Depositary Receipt

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

QPSC - Qatari Public Shareholding Company

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) Investment valued using significant unobservable inputs.

(b) Affiliated company.

(c) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs.

(d) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(e) Private placement security; restricted as to resale.

(f) The rate disclosed is the 7 day net yield as of November 30, 2018.

Counterparty Abbreviations:

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

USD - United States Dollar

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.6%
		Australia — 3.6%
	34,276	Accent Group Ltd		32,310
	10,207	Adairs Ltd		13,605
	62,775	Australian Pharmaceutical Industries Ltd		67,400
	3,653	Brickworks Ltd		43,777
	5,140	Charter Hall Education Trust (REIT)		10,905
	35,442	Codan Ltd		76,764
	164,024	GDI Property Group (REIT)		151,912
	3,053	IDP Education Ltd		20,501
	15,087	Nine Entertainment Co Holdings Ltd		19,427
	38,804	Sandfire Resources NL		182,373
	26,528	Southern Cross Media Group Ltd		21,049
		Total Australia		640,023
		Austria — 0.8%
	6,688	FACC AG		117,307
	1,066	S IMMO AG		18,852
		Total Austria		136,159
		Belgium — 1.2%
	47,948	AGFA-Gevaert NV *		206,356
	97	Barco NV		10,882
		Total Belgium		217,238
		Brazil — 0.3%
	3,100	Estacio Participacoes SA		19,853
	1,800	Mahle-Metal Leve SA		11,358
	4,800	MRV Engenharia e Participacoes SA		15,061
		Total Brazil		46,272
		Canada — 5.0%
	9,490	BRP Inc Sub Voting		338,130
	5,700	Canaccord Genuity Group Inc		27,928
	14,600	Canfor Corp *		200,103
	6,900	Canfor Pulp Products Inc		99,607
	2,600	Cogeco Inc		121,776
	9,800	Martinrea International Inc		79,217
	900	Wajax Corp		13,060
		Total Canada		879,821
		China — 2.3%
	16,000	Central China Real Estate Ltd		5,884
	541,000	Powerlong Real Estate Holdings Ltd		220,317
	77,000	Road King Infrastructure Ltd		131,357
	44,000	Tianneng Power International Ltd		40,297
		Total China		397,855
		Denmark — 0.4%
	923	Royal Unibrew A/S		67,015
	799	Scandinavian Tobacco Group A/S		10,592
		Total Denmark		77,607
		Finland — 0.9%
	19,156	Finnair Oyj		163,974

Shares		Description	Value ($)
		France — 5.7%
	1,268	Alten SA		115,423
	235	Aubay		8,525
	13,286	Coface SA		123,685
	6,149	Gaztransport Et Technigaz SA		459,983
	2,137	Kaufman & Broad SA		81,684
	133	Mersen SA		3,801
	11,904	Metropole Television SA		211,340
		Total France		1,004,441
		Germany — 4.3%
	60	Amadeus Fire AG		6,416
	3,862	Bauer AG		59,331
	1,155	Borussia Dortmund GmbH & Co KGAA		10,881
	4,223	Deutsche Lufthansa AG (Registered)		103,316
	2,493	Deutz AG		18,388
	5,206	Elmos Semiconductor AG		111,148
	242	Grammer AG		9,062
	13,210	Wacker Neuson SE		263,873
	9,085	Wuestenrot & Wuerttembergische AG		179,910
		Total Germany		762,325
		Hong Kong — 1.7%
	116,000	Johnson Electric Holdings Ltd		259,964
	250,000	Singamas Container Holdings Ltd		33,990
		Total Hong Kong		293,954
		India — 2.2%
	6,591	Larsen & Toubro Infotech Ltd		147,140
	1,682	Mindtree Ltd		21,290
	2,998	Mphasis Ltd		42,698
	4,641	NIIT Technologies Ltd		72,794
	81,209	PTC India Ltd		94,278
	948	Sonata Software Ltd		4,174
		Total India		382,374
		Indonesia — 0.1%
	10,300	Indo Tambangraya Megah Tbk PT		15,338
		Italy — 2.8%
	14,541	ASTM SPA		276,496
	5,109	La Doria SPA		48,272
	400	Massimo Zanetti Beverage Group SPA		2,704
	242	SAES Getters SPA		5,121
	12,535	Societa Iniziative Autostradali e Servizi SPA		169,172
		Total Italy		501,765
		Japan — 25.7%
	7,300	Arakawa Chemical Industries Ltd		105,036
	6,900	Arisawa Manufacturing Co Ltd		50,012
	500	Asahi Yukizai Corp		8,173
	300	Capcom Co Ltd		5,911
	200	Daito Pharmaceutical Co Ltd		6,018
	500	Daitron Co Ltd		6,792
	1,900	Daiwabo Holdings Co Ltd		106,633
	7,300	Denka Co Ltd		235,860

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	2,200	DTS Corp		79,451
	18,800	Fancl Corp		491,793
	5,100	Fujitsu Frontech Ltd		57,189
	2,600	Furuno Electric Co Ltd		29,764
	4,100	Fuyo General Lease Co Ltd		249,126
	200	Hagiwara Electric Holdings Co Ltd		5,661
	300	Hakuto Co Ltd		3,543
	600	Hamakyorex Co Ltd		22,231
	2,000	Haseko Corp		24,253
	10,100	House Foods Group Inc		359,227
	1,600	Innotech Corp		16,608
	15,100	Ishihara Sangyo Kaisha Ltd *		165,852
	200	Kaga Electronics Co Ltd		4,244
	1,800	Kanematsu Corp		23,007
	5,500	Keihin Corp		95,314
	17,800	Kyosan Electric Manufacturing Co Ltd		79,434
	200	Makino Milling Machine Co Ltd		8,155
	1,300	Marubun Corp		9,717
	100	Maruwa Co Ltd		5,690
	3,900	MCJ Co Ltd		27,506
	700	Nippon Systemware Co Ltd		15,311
	7,100	Nisshinbo Holdings Inc		64,846
	1,400	NOF Corp		46,280
	200	NuFlare Technology Inc		10,827
	600	Pegasus Sewing Machine Manufacturing Co Ltd		4,402
	6,200	Prima Meat Packers Ltd		117,774
	3,800	Rion Co Ltd		68,294
	13,800	Rohto Pharmaceutical Co Ltd		437,499
	500	Ryobi Ltd		13,683
	23,300	Showa Corp		311,498
	105,000	Sojitz Corp		372,757
	4,600	T-Gaia Corp		98,154
	1,600	Takasago Thermal Engineering Co Ltd		28,750
	14,100	Tatsuta Electric Wire and Cable Co Ltd		66,661
	1,200	Tokyo Seimitsu Co Ltd		35,934
	1,100	Tokyu Construction Co Ltd		11,112
	11,600	TS Tech Co Ltd		337,775
	10,000	Ube Industries Ltd		228,216
	200	Wowow Inc		5,864
		Total Japan		4,557,837
		Malaysia — 1.5%
	170,400	Padini Holdings Berhad		195,692
	79,200	Supermax Corp Berhad		65,142
		Total Malaysia		260,834
		Netherlands — 0.0%
	1,255	BinckBank NV		6,251
		Norway — 2.0%
	13,134	Austevoll Seafood ASA		181,990
	187	Entra ASA		2,464
	5,832	Grieg Seafood ASA		76,990
	53,122	Kvaerner ASA *		76,830
	723	Norway Royal Salmon ASA		16,653
		Total Norway		354,927

Shares		Description	Value ($)
		Poland — 0.3%
	3,761	Asseco Poland SA		47,714
		Portugal — 1.1%
	7,082	Altri SGPS SA		51,664
	10,394	Navigator Co SA (The)		43,681
	2,849	Semapa-Sociedade de Investimento e Gestao		45,047
	51,764	Sonae SGPS SA		49,128
		Total Portugal		189,520
		Singapore — 2.0%
	26,500	China Sunsine Chemical Holdings Ltd		25,074
	55,700	UMS Holdings Ltd		25,409
	321,100	Yanlord Land Group Ltd		303,064
		Total Singapore		353,547
		South Africa — 0.8%
	2,009	Astral Foods Ltd		25,388
	46,254	Blue Label Telecoms Ltd *		17,569
	12,490	Metair Investments Ltd		17,049
	7,980	Reunert Ltd		42,320
	6,238	Tsogo Sun Holdings Ltd		9,489
	3,235	Wilson Bayly Holmes-Ovcon Ltd		34,014
		Total South Africa		145,829
		South Korea — 7.2%
	874	Chong Kun Dang Pharmaceutical Corp		80,161
	289	Cuckoo Holdings Co Ltd		35,331
	1,899	Daihan Pharmaceutical Co Ltd		67,952
	2,255	DongKook Pharmaceutical Co Ltd		123,863
	3,568	Dongwha Pharm Co Ltd		29,128
	12,914	Dongwon Development Co Ltd		46,652
	580	Green Cross Holdings Corp		12,531
	133	GS Home Shopping Inc		23,216
	392	Huons Co Ltd		25,563
	343	HwaSung Industrial Co Ltd		4,566
	2,312	Hyundai Corp		60,008
	125	Hyundai Home Shopping Network Corp		11,144
	716	KC Co Ltd		8,194
	968	Korea United Pharm Inc		20,661
	687	Korean Reinsurance Co		5,469
	14,809	Kwang Dong Pharmaceutical Co Ltd		90,894
	9,331	Kyungdong Pharm Co Ltd		105,304
	7,498	LF Corp		161,678
	3,890	LOTTE Himart Co Ltd		182,072
	391	Nice Information & Telecommunication Inc		6,557
	2,795	Samjin Pharmaceutical Co Ltd		108,362
	19,728	Seohan Co Ltd		32,575
	3,347	Seoyon E-Hwa Co Ltd		11,965
	793	SL Corp		11,501
	194	Spigen Korea Co Ltd		8,234
		Total South Korea		1,273,581
		Spain — 1.5%
	40,843	Ence Energia y Celulosa SA		258,450
	652	Papeles y Cartones de Europa SA		12,422
		Total Spain		270,872

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Sweden — 3.5%
	3,513	Fabege AB		43,807
	9,810	Granges AB		99,642
	1,164	Hemfosa Fastigheter AB		9,210
	7,483	Hexpol AB		66,147
	3,459	Kindred Group Plc		33,817
	33,104	Klovern AB – B Shares		38,060
	1,421	KNOW IT AB		26,822
	14,996	Nobina AB		96,305
	3,494	Nolato AB – B Shares		152,010
	1,164	Nyfosa AB *		5,447
	850	Oriflame Holding AG *		21,447
	4,850	Resurs Holding AB		31,328
		Total Sweden		624,042
		Switzerland — 4.4%
	2,536	ALSO Holding AG (Registered) *		283,932
	1,011	BKW AG		68,821
	2,674	Bobst Group SA (Registered)		199,730
	276	Georg Fischer AG (Registered)		215,457
	119	Zehnder Group AG – Class RG		4,389
		Total Switzerland		772,329
		Taiwan — 2.2%
	184,000	Coretronic Corp		240,426
	76,000	Wah Lee Industrial Corp		124,775
	49,000	Walsin Lihwa Corp		29,556
		Total Taiwan		394,757
		Turkey — 0.0%
	7,850	Selcuk Ecza Deposu Ticaret ve Sanayi AS		4,384
		United Kingdom — 14.1%
	23,791	Computacenter Plc		326,069
	10,020	Games Workshop Group Plc		388,295
	26,745	IG Group Holdings Plc		202,094
	2,200	John Laing Group Plc		9,204
	588	Keller Group Plc		4,401
	17,902	Morgan Sindall Group Plc		280,474
	1,989	Pagegroup Plc		12,656
	20,307	Plus500 Ltd		393,576
	22,105	QinetiQ Group Plc		83,968
	10,316	Softcat Plc		79,323
	54,834	SThree Plc		200,533
	78,268	Stock Spirits Group Plc		190,796
	48,305	Vesuvius Plc		325,955
		Total United Kingdom		2,497,344
		TOTAL COMMON STOCKS (COST $20,185,103)		17,272,914
		PREFERRED STOCKS (a) — 0.4%
		Germany — 0.4%
	1,142	Sixt SE		77,924
		TOTAL PREFERRED STOCKS (COST $88,816)		77,924

Shares		Description	Value ($)
		MUTUAL FUNDS — 1.7%
		United States — 1.7%
		Affiliated Issuers — 1.7%
	12,088	GMO U.S. Treasury Fund		301,965
		TOTAL MUTUAL FUNDS (COST $301,888)		301,965
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	35,657	State Street Institutional Treasury Money Market Fund – Premier Class, 2.19% (b)		35,657
		TOTAL SHORT-TERM INVESTMENTS (COST $35,657)		35,657
		TOTAL INVESTMENTS — 99.9% (Cost $20,611,464)		17,688,460
		Other Assets and Liabilities (net) — 0.1%		14,726
		TOTAL NET ASSETS — 100.0%		$17,703,186

A summary of outstanding financial instruments at November 30, 2018 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
2	Mini MSCI EAFE	December 2018	$	181,630	$	(12,684)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2018, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(b) The rate disclosed is the 7 day net yield as of November 30, 2018.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.4%
		Australia — 5.4%
	281,212	Abacus Property Group (REIT)		653,459
	53,956	Altium Ltd		900,325
	184,450	Appen Ltd		1,892,693
	567,386	Beach Energy Ltd		636,776
	375,786	Caltex Australia Ltd		7,582,981
	50,538	Coles Group Ltd *		432,547
	1,234,009	Costa Group Holdings Ltd		6,895,494
	112,623	Credit Corp Group Ltd		1,588,490
	237,095	Crown Resorts Ltd		2,035,935
	348,585	CSL Ltd		45,443,769
	2,493,489	CSR Ltd		5,487,977
	3,445,891	Downer EDI Ltd		15,863,438
	110,271	Elders Ltd		547,343
	107,401	IDP Education Ltd		721,216
	787,142	Macquarie Group Ltd		66,239,462
	887,691	Mineral Resources Ltd		9,950,902
	3,487,833	Nine Entertainment Co Holdings Ltd		4,491,239
	1,417,037	OZ Minerals Ltd		9,009,192
	509,074	Pact Group Holdings Ltd		1,279,855
	980,512	Sandfire Resources NL		4,608,249
	1,030,174	Shopping Centres Australasia Property Group (REIT)		1,993,969
	252,701	Southern Cross Media Group Ltd		200,504
	429,091	Super Retail Group Ltd		2,302,805
	319,432	Tassal Group Ltd		982,453
	17,335	Virtus Health Ltd		62,203
	50,538	Wesfarmers Ltd		1,170,401
	223,777	Whitehaven Coal Ltd		701,776
		Total Australia		193,675,453
		Austria — 0.3%
	69,286	Oesterreichische Post AG		2,556,675
	183,994	OMV AG		9,319,165
		Total Austria		11,875,840
		Belgium — 0.4%
	538,793	AGFA-Gevaert NV *		2,318,832
	1,001	Barco NV		112,294
	40,732	D’ieteren SA/NV		1,636,445
	6,577	Elia System Operator SA/NV		439,103
	129,378	KBC Group NV		9,306,194
	79,421	Orange Belgium SA		1,485,089
		Total Belgium		15,297,957
		Denmark — 2.1%
	417,927	Novo Nordisk A/S Sponsored ADR		19,483,757
	683,348	Novo Nordisk A/S – Class B		31,783,489
	11,091	Per Aarsleff Holding A/S		331,346
	14,914	Rockwool International A/S – Class B		3,883,163
	199,386	Royal Unibrew A/S		14,476,471
	7,566	Schouw & Co AB		623,053
	57,835	SimCorp A/S		3,691,174
		Total Denmark		74,272,453

Shares		Description	Value ($)
		Finland — 0.8%
	40,363	DNA Oyj		746,419
	174,952	Neste Oyj		13,696,733
	23,933	Tieto Oyj		691,708
	456,116	UPM-Kymmene Oyj		12,182,616
		Total Finland		27,317,476
		France — 9.1%
	7,525	Alten SA		684,981
	822,598	BNP Paribas SA		41,375,188
	79,933	Christian Dior SE		29,713,637
	618,691	CNP Assurances		14,173,954
	16,807	Dassault Systemes SE		2,020,795
	10,954	Hermes International		5,930,646
	15,143	IPSOS		385,280
	394,924	L’Oreal SA		93,188,147
	20,535	LVMH Moet Hennessy Louis Vuitton SE		5,877,877
	208,823	Metropole Television SA		3,707,375
	804,169	Peugeot SA		17,693,302
	14,184	Safran SA		1,775,392
	195,296	Sanofi		17,705,594
	233,828	Sanofi ADR		10,604,100
	637,497	Societe Generale SA		23,411,894
	2,093,439	STMicroelectronics NV		31,007,834
	1,788,022	STMicroelectronics NV – NY Shares		26,552,127
		Total France		325,808,123
		Germany — 10.8%
	114,812	ADVA Optical Networking SE *		972,319
	478,492	Allianz SE (Registered)		101,465,072
	221,925	BASF SE		16,228,718
	32,954	Bayer AG (Registered)		2,418,186
	925,987	Bayerische Motoren Werke AG		76,035,860
	63,616	Bechtle AG		5,119,855
	5,166	Cewe Stiftung & Co KGAA		401,171
	298,750	Covestro AG		17,304,495
	958,266	Daimler AG (Registered Shares)		54,179,773
	2,236,952	Deutsche Lufthansa AG (Registered)		54,727,238
	682,952	Deutsche Pfandbriefbank AG		8,172,043
	8,615	Diebold Nixdorf AG		543,792
	43,776	Henkel AG & Co KGaA		4,536,890
	6,074	Indus Holding AG		279,659
	50,576	Jenoptik AG		1,538,797
	188,953	RHOEN-KLINIKUM AG		4,757,256
	6,257	Siemens AG (Registered)		728,159
	105,206	Software AG		4,309,632
	45,692	Talanx AG		1,635,057
	173,865	Volkswagen AG		28,915,342
		Total Germany		384,269,314
		Hong Kong — 2.5%
	2,584,073	BOC Hong Kong Holdings Ltd		10,117,766
	2,523,640	Champion (REIT)		1,757,566
	2,067,814	Dah Sing Banking Group Ltd		3,919,985
	411,515	Dah Sing Financial Holdings Ltd		2,283,562
	4,603,096	Esprit Holdings Ltd *		1,073,462

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — continued
	291,645	Fortune Real Estate Investment Trust		334,728
	3,809,645	Global Brands Group Holding Ltd *		183,323
	2,171,001	Hysan Development Co Ltd		10,403,736
	4,988,469	I-CABLE Communications Ltd *		74,926
	1,751,913	Kerry Properties Ltd		6,038,620
	803,257	Luk Fook Holdings International Ltd		2,351,051
	1,419,647	Pacific Textiles Holdings Ltd		1,471,803
	9,434,916	SJM Holdings Ltd		8,558,854
	1,336,673	SmarTone Telecommunications Holdings Ltd		1,666,399
	381,680	Television Broadcasts Ltd		840,507
	47,968,920	WH Group Ltd		35,022,725
	268,477	Wharf Holdings Ltd (The)		720,654
	563,045	Wheelock & Co Ltd		3,239,984
	740,122	Xinyi Automobile Glass Hong Kong Enterprises Ltd *		183,589
		Total Hong Kong		90,243,240
		Ireland — 0.2%
	45,911	ICON Plc *		6,644,240
		Israel — 0.1%
	76,142	Bank Leumi Le-Israel BM		501,059
	647,362	Israel Discount Bank Ltd – Class A		2,241,751
		Total Israel		2,742,810
		Italy — 4.7%
	68,883	De’ Longhi SPA		1,875,775
	4,454,752	Enel SPA		24,234,087
	99,551	ERG SPA		1,814,531
	669,237	EXOR NV		39,468,557
	4,418,924	Fiat Chrysler Automobiles NV *		73,309,949
	860,308	Hera SPA		2,367,537
	1,952,528	Iren SPA		4,247,765
	45,129	La Doria SPA		426,400
	845,625	Mediobanca Banca di Credito Finanziario SPA		7,467,480
	8,580	Reply SPA		479,349
	1,366,110	Societa Cattolica di Assicurazioni SC		11,273,613
		Total Italy		166,965,043
		Japan — 27.6%
	45,814	Alpine Electronics Inc		743,300
	73,353	AOKI Holdings Inc		947,986
	4,136,676	Asahi Kasei Corp		45,404,982
	4,879,650	Astellas Pharma Inc		75,194,349
	111,927	Autobacs Seven Co Ltd		1,715,076
	20,700	Bandai Namco Holdings Inc		871,018
	1,741,921	Brother Industries Ltd		29,148,564
	45,636	Cawachi Ltd		889,549
	3,900	Central Japan Railway Co		803,061
	188,457	CKD Corp		1,908,834
	10,946	Computer Engineering & Consulting Ltd		237,825
	180,533	Cosmo Energy Holdings Co Ltd		4,223,329
	86,819	Daiwabo Holdings Co Ltd		4,872,521
	709,162	DCM Holdings Co Ltd		7,052,036
	226,509	Denka Co Ltd		7,318,407
	81,385	Dexerials Corp		713,625

Shares		Description	Value ($)
		Japan — continued
	61,878	Doutor Nichires Holdings Co Ltd		1,208,601
	15,183	DTS Corp		548,323
	6,621	Ehime Bank Ltd (The)		67,422
	663,392	Fancl Corp		17,353,820
	632,845	Fuji Electric Co Ltd		19,952,471
	266,500	Fuji Media Holdings Inc		4,151,915
	63,600	FUJIFILM Holdings Corp		2,531,227
	245,996	Fujitsu Ltd		15,194,998
	30,189	Fuyo General Lease Co Ltd		1,834,357
	148,912	Geo Holdings Corp		2,506,663
	20,435	Gunze Ltd		803,963
	306,600	Hakuhodo DY Holdings Inc		4,696,323
	153,267	Hanwa Co Ltd		4,598,905
	2,612,578	Hitachi Ltd		76,082,157
	26,600	Honda Motor Co Ltd		750,412
	255,849	House Foods Group Inc		9,099,784
	5,158,868	ITOCHU Corp		91,826,442
	161,711	Kanematsu Corp		2,066,973
	727,100	KDDI Corp		17,084,456
	132,317	Keihin Corp		2,293,033
	53,669	Kohnan Shoji Co Ltd		1,324,900
	238,100	Konica Minolta Inc		2,149,449
	41,595	Kose Corp		6,222,424
	50,667	Mandom Corp		1,487,325
	6,225,612	Marubeni Corp		46,522,831
	2,019	Maruwa Co Ltd		114,884
	9,121,256	Mitsubishi Chemical Holdings Corp		74,825,046
	786,116	Mitsubishi Corp		21,245,876
	1,519,987	Mitsubishi Electric Corp		20,122,867
	716,841	Mitsubishi Gas Chemical Co Inc		11,805,512
	383,533	Mitsui & Co Ltd		6,010,052
	296,614	Mitsui Chemicals Inc		7,550,251
	3,178	Mitsui Sugar Co Ltd		84,665
	80,150	Modec Inc		1,995,306
	76,266	Namura Shipbuilding Co Ltd		377,291
	376,472	NET One Systems Co Ltd		7,815,534
	151,957	Nichias Corp		2,954,101
	111,309	Nippo Corp		1,898,360
	2,153,644	Nippon Telegraph & Telephone Corp		88,840,048
	68,233	Nippon Signal Co Ltd		609,236
	104,512	Nishi-Nippon Financial Holdings Inc		1,138,162
	88,887	Nisshin Seifun Group Inc		1,873,974
	31,300	NTT DOCOMO Inc		726,147
	707	NuFlare Technology Inc		38,274
	134,392	Okinawa Electric Power Co (The)		2,671,661
	205,946	Pola Orbis Holdings Inc		5,822,311
	94,802	Press Kogyo Co Ltd		512,521
	210,896	Prima Meat Packers Ltd		4,006,150
	199,486	Rohto Pharmaceutical Co Ltd		6,324,267
	37,957	San-A Co Ltd		1,595,241
	100,187	Seiko Holdings Corp		2,229,300
	913,928	Sekisui Chemical Co Ltd		14,869,487
	210,500	Showa Corp		2,814,175
	33,455	Softbank Technology Corp		625,952
	11,724,287	Sojitz Corp		41,621,989
	76,500	Sony Corp		4,042,629
	8,910,063	Sumitomo Chemical Co Ltd		48,503,712

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	13,700	Sumitomo Dainippon Pharma Co Ltd		448,060
	85,605	Sumitomo Heavy Industries Ltd		2,853,502
	300	Suntory Beverage & Food Ltd		12,616
	142,203	T-Gaia Corp		3,034,289
	20,550	Tokyo Electron Ltd		2,901,022
	43,361	Tokyo Seimitsu Co Ltd		1,298,432
	151,295	Tokyu Construction Co Ltd		1,528,355
	568,104	Tosoh Corp		8,011,500
	48,637	Towa Pharmaceutical Co Ltd		3,612,581
	1,019,254	Toyota Tsusho Corp		35,238,360
	27,982	TPR Co Ltd		665,458
	228,267	TS Tech Co Ltd		6,646,794
	76,619	TSI Holdings Co Ltd		509,336
	344,616	Ube Industries Ltd		7,864,702
	5,803	UKC Holdings Corp		124,631
	197,814	Valor Holdings Co Ltd		5,107,180
	23,304	Warabeya Nichiyo Holdings Co Ltd		402,341
	26,746	Yahagi Construction Co Ltd		180,134
	547,363	Zeon Corp		5,591,462
		Total Japan		986,099,372
		Malta — 0.0%
	15,858,986	BGP Holdings Plc * (a)		—
		Netherlands — 3.3%
	785,037	ABN AMRO Group NV CVA		20,027,527
	110,527	ASR Nederland NV		4,775,821
	91,694	BinckBank NV		456,723
	16,849	Corbion NV		488,059
	171,411	Heineken Holding NV		15,175,341
	5,729,957	ING Groep NV		69,399,584
	219,402	Koninklijke Ahold Delhaize NV		5,654,031
	12,763	Wolters Kluwer NV		771,600
		Total Netherlands		116,748,686
		New Zealand — 0.1%
	481,967	Air New Zealand Ltd		1,020,917
	208,052	Chorus Ltd		686,225
		Total New Zealand		1,707,142
		Norway — 3.6%
	42,866	Aker ASA – A Shares		2,452,133
	10,483	Austevoll Seafood ASA		145,257
	157,525	Bakkafrost P/F		8,091,290
	437,753	BW LPG Ltd *		1,717,277
	2,839,042	DNB ASA		48,775,009
	2,372,031	Equinor ASA		55,564,527
	857,183	Leroy Seafood Group ASA		7,326,697
	36,333	Salmar ASA		2,054,813
	10,853	SpareBank 1 Nord Norge		80,192
	517,844	Storebrand ASA		4,069,251
		Total Norway		130,276,446

Shares		Description	Value ($)
		Portugal — 0.1%
	130,405	Altri SGPS SA		951,324
	291,299	CTT-Correios de Portugal SA		1,183,336
	156,727	Navigator Co SA (The)		658,641
	639,463	REN-Redes Energeticas Nacionais SGPS SA		1,745,612
		Total Portugal		4,538,913
		Singapore — 0.0%
	43,386	Venture Corp Ltd		475,048
	81,474	Yanlord Land Group Ltd		76,897
		Total Singapore		551,945
		Spain — 1.0%
	394,444	Ebro Foods SA		8,058,215
	330,696	Ence Energia y Celulosa SA		2,092,607
	3,144,843	International Consolidated Airlines Group SA		25,213,957
	492,850	Unicaja Banco SA		595,586
		Total Spain		35,960,365
		Sweden — 5.1%
	192,628	Kindred Group Plc SDR		1,883,208
	52,970	Klovern AB – B Shares		60,901
	11,315	Nolato AB – B Shares		492,272
	101,687	Oriflame Holding AG		2,565,718
	2,800,747	Sandvik AB		41,594,146
	374,746	SAS AB *		921,975
	101,246	Securitas AB – B Shares		1,708,918
	50,275	SKF AB – B Shares		795,558
	3,643,925	Svenska Cellulosa AB SCA – Class B		29,375,673
	32,090	Swedbank AB – A Shares		746,527
	798,956	Swedish Match AB		31,225,263
	5,063,466	Volvo AB – B Shares		70,652,440
	94,381	Wihlborgs Fastigheter AB		1,078,025
		Total Sweden		183,100,624
		Switzerland — 5.0%
	51,443	Ascom Holding AG (Registered)		752,333
	6,111	Autoneum Holding AG		1,199,395
	1,566	Banque Cantonale Vaudoise (Registered)		1,195,785
	5,028	BKW AG		342,270
	303	Bobst Group SA (Registered)		22,632
	13,954	Bucher Industries AG (Registered)		3,811,494
	3,009	Emmi AG (Registered)		2,294,502
	29,441	Galenica AG *		1,370,294
	250,496	GAM Holding AG *		1,320,144
	20,698	Georg Fischer AG (Registered)		16,157,699
	10,879	Implenia AG (Registered)		557,167
	8,453	Kardex AG (Registered) *		1,006,383
	4,802	Komax Holding AG (Registered)		1,240,541
	17,800	Logitech International SA (Registered)		601,818
	453,393	Logitech International SA (Registered)		15,296,806
	78,977	Nestle SA (Registered)		6,737,765
	200,237	Novartis AG (Registered)		18,281,923
	41,399	Roche Holding AG		10,671,516
	191,873	Roche Holding AG – Genusschein		49,807,149

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Switzerland — continued
	328,214	Sika AG (Registered)		40,728,328
	1,448	Valora Holding AG (Registered) *		348,126
	53,896	Vontobel Holding AG (Registered)		3,104,284
	4,556	Zehnder Group AG – Class RG		168,051
	2,356	Zurich Insurance Group AG		740,551
		Total Switzerland		177,756,956
		United Kingdom — 15.2%
	2,947,306	3i Group Plc		31,483,804
	589,068	Ashtead Group Plc		13,282,326
	844,662	AstraZeneca Plc		65,773,096
	42,303	AVEVA Group Plc		1,385,933
	362,801	Barratt Developments Plc		2,145,141
	396,139	Bellway Plc		12,857,076
	665,385	Berkeley Group Holdings Plc (The)		27,423,640
	260,399	Bovis Homes Group Plc		2,859,747
	1,314,640	British American Tobacco Plc		46,027,946
	679,748	Cairn Energy Plc *		1,523,872
	779,336	Coca-Cola HBC AG *		23,311,722
	3,780,523	Debenhams Plc		315,877
	57,199	Diageo Plc Sponsored ADR		8,256,676
	40,126	easyJet Plc		570,717
	1,404,694	Electrocomponents Plc		9,233,064
	2,677,816	Ferrexpo Plc		6,019,296
	72,590	Fevertree Drinks Plc		2,222,664
	6,564,594	Firstgroup Plc *		7,508,452
	363,350	Galliford Try Plc		3,338,220
	5,537,813	GlaxoSmithKline Plc		114,798,463
	117,113	Halfords Group Plc		438,134
	17,200	HSBC Holdings Plc Sponsored ADR		731,688
	294,196	Hunting Plc *		2,132,146
	1,702,031	IG Group Holdings Plc		12,861,093
	1,023,082	Inchcape Plc		7,595,286
	13,671	Indivior Plc *		17,833
	32,426	Intermediate Capital Group Plc		421,198
	294,638	JD Sports Fashion Plc		1,490,381
	6,390,902	Legal & General Group Plc		20,014,381
	152,655	Mondi Plc		3,342,826
	356,328	National Express Group Plc		1,838,991
	401,841	Next Plc		25,090,939
	419,548	Nomad Foods Ltd *		8,483,260
	215,905	Pagegroup Plc		1,373,844
	2,029,114	Persimmon Plc		49,319,019
	744,267	Plus500 Ltd		14,424,865
	218,521	QinetiQ Group Plc		830,072
	119,604	Royal Mail Plc		489,321
	61,871	Savills Plc		574,596
	171,300	Spectris Plc		5,244,979
	332,423	Tate & Lyle Plc		3,046,867
	313,257	Vesuvius Plc		2,113,811
		Total United Kingdom		542,213,262
		TOTAL COMMON STOCKS (COST $3,735,255,828)		3,478,065,660

Shares		Description	Value ($)
		PREFERRED STOCKS (b) — 0.7%
		Germany — 0.7%
	42,611	Bayerische Motoren Werke AG		3,107,423
	6,720	Henkel AG & Co KGaA		778,873
	143,742	Jungheinrich AG		4,804,336
	101,810	Volkswagen AG		17,279,902
		Total Germany		25,970,534
		TOTAL PREFERRED STOCKS (COST $23,788,754)		25,970,534
		MUTUAL FUNDS — 1.2%
		United States — 1.2%
		Affiliated Issuers — 1.2%
	1,734,382	GMO U.S. Treasury Fund		43,324,853
		TOTAL MUTUAL FUNDS (COST $43,324,853)		43,324,853
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Fund — 0.2%
	8,212,300	State Street Institutional Treasury Money Market Fund – Premier Class, 2.19% (c)		8,212,300
		TOTAL SHORT-TERM INVESTMENTS (COST $8,212,300)		8,212,300
		TOTAL INVESTMENTS — 99.5% (Cost $3,810,581,735)		3,555,573,347
		Other Assets and Liabilities (net) — 0.5%		17,640,035
		TOTAL NET ASSETS — 100.0%		$3,573,213,382

A summary of outstanding financial instruments at November 30, 2018 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
390	Mini MSCI EAFE	December 2018	$	35,417,850	$	61,835

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2018, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2018 (Unaudited)

Notes to Schedule of Investments:

ADR - American Depositary Receipt

CVA - Certificaaten van aandelen (Share Certificates)

REIT - Real Estate Investment Trust

SDR - Swedish Depositary Receipt

* Non-income producing security.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs.

(b) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(c) The rate disclosed is the 7 day net yield as of November 30, 2018.

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.6%
		Banks — 6.3%
	3,793,427	US Bancorp		206,590,034
	3,956,692	Wells Fargo & Co.		214,769,242
		Total Banks		421,359,276
		Capital Goods — 7.6%
	1,172,411	3M Co.		243,767,695
	514,294	Honeywell International, Inc.		75,472,645
	537,735	Knorr-Bremse AG *		50,217,431
	1,156,887	United Technologies Corp.		140,955,112
		Total Capital Goods		510,412,883
		Consumer Services — 0.8%
	2,365,446	Compass Group Plc		50,727,029
		Diversified Financials — 2.9%
	1,720,146	American Express Co.		193,120,791
		Food & Staples Retailing — 3.3%
	951,973	Costco Wholesale Corp.		220,172,315
		Food, Beverage & Tobacco — 6.4%
	2,063,921	British American Tobacco Plc		72,261,641
	2,439,355	Coca-Cola Co. (The)		122,943,492
	1,394,849	Nestle SA (Registered)		118,998,750
	278,567	PepsiCo, Inc.		33,968,460
	975,007	Philip Morris International, Inc.		84,367,356
		Total Food, Beverage & Tobacco		432,539,699
		Health Care Equipment & Services — 12.3%
	1,458,247	Abbott Laboratories		107,983,191
	573,629	Anthem, Inc.		166,392,564
	274,667	Becton Dickinson and Co.		69,422,084
	2,337,670	Medtronic Plc		227,992,955
	888,286	UnitedHealth Group, Inc.		249,928,149
		Total Health Care Equipment & Services		821,718,943
		Household & Personal Products — 4.2%
	1,729,340	Reckitt Benckiser Group Plc		143,953,133
	2,516,800	Unilever Plc		136,396,003
		Total Household & Personal Products		280,349,136
		Media & Entertainment — 8.2%
	176,055	Alphabet, Inc. – Class A *		195,359,431
	244,831	Alphabet, Inc. – Class C *		267,950,391
	635,972	Facebook, Inc. – Class A *		89,424,023
		Total Media & Entertainment		552,733,845
		Pharmaceuticals, Biotechnology & Life Sciences — 10.8%
	1,675,508	Johnson & Johnson		246,132,125
	2,149,241	Merck & Co., Inc.		170,520,781
	1,493,136	Novartis AG (Registered)		136,325,444
	664,540	Roche Holding AG – Genusschein		172,503,911
		Total Pharmaceuticals, Biotechnology & Life Sciences		725,482,261

Shares / Par Value†		Description	Value ($)
		Retailing — 2.4%
	9,532	Booking Holdings, Inc. *		18,033,400
	2,884,294	TJX Cos, Inc. (The)		140,897,762
		Total Retailing		158,931,162
		Semiconductors & Semiconductor Equipment — 5.2%
	899,032	QUALCOMM, Inc.		52,377,604
	18,359,790	Taiwan Semiconductor Manufacturing Co Ltd		135,592,419
	1,643,544	Texas Instruments, Inc.		164,107,869
		Total Semiconductors & Semiconductor Equipment		352,077,892
		Software & Services — 18.9%
	1,249,673	Accenture Plc – Class A		205,596,202
	2,171,758	Cognizant Technology Solutions Corp. – Class A		154,694,323
	265,051	Mastercard, Inc. – Class A		53,293,805
	3,284,708	Microsoft Corp.		364,241,270
	6,623,038	Oracle Corp.		322,939,333
	1,072,629	SAP SE		111,099,317
	363,592	Visa, Inc. – Class A		51,524,622
		Total Software & Services		1,263,388,872
		Technology Hardware & Equipment — 9.3%
	528,265	Amphenol Corp. – Class A		46,455,624
	2,248,391	Apple, Inc.		401,517,665
	3,615,186	Cisco Systems, Inc.		173,058,954
		Total Technology Hardware & Equipment		621,032,243
		TOTAL COMMON STOCKS (COST $4,477,505,975)		6,604,046,347
		DEBT OBLIGATIONS — 0.4%
		U.S. Government — 0.4%
	26,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.43%, due 07/31/20		26,010,676
		TOTAL DEBT OBLIGATIONS (COST $26,000,058)		26,010,676
		MUTUAL FUNDS — 0.1%
		Affiliated Issuers — 0.1%
	323,344	GMO U.S. Treasury Fund		8,077,124
		TOTAL MUTUAL FUNDS (COST $8,073,891)		8,077,124
		SHORT-TERM INVESTMENTS — 0.8%
		Money Market Funds — 0.8%
	55,814,714	State Street Institutional Treasury Money Market Fund – Premier Class, 2.19% (a)		55,814,714

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		U.S. Government — 0.0%
	1,500,000	U.S. Treasury Bill, 2.45%, due 04/25/19 (b)		1,485,462
		TOTAL SHORT-TERM INVESTMENTS (COST $57,300,214)		57,300,176
		TOTAL INVESTMENTS — 99.9% (Cost $4,568,880,138)		6,695,434,323
		Other Assets and Liabilities (net) — 0.1%		4,569,096
		TOTAL NET ASSETS — 100.0%		$6,700,003,419

Notes to Schedule of Investments:

USBM - U.S. Treasury 3 Month Bill Money Market Yield.

The rates shown on variable rate notes are the current interest rates at November 30, 2018, which are subject to change based on the terms of the security.

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of November 30, 2018.

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

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 86.4%
		Argentina — 1.0%
	634,100	Adecoagro SA *		4,426,018
		Australia — 4.5%
	1,156,977	Ausdrill Ltd		1,230,728
	233,874	Beach Energy Ltd		262,476
	424,574	Mineral Resources Ltd		4,759,420
	244,343	OZ Minerals Ltd		1,553,476
	946,257	Sandfire Resources NL		4,447,256
	2,761,090	South32 Ltd		6,239,390
	94,962	Woodside Petroleum Ltd		2,164,436
		Total Australia		20,657,182
		Austria — 0.6%
	57,249	OMV AG		2,899,621
		Brazil — 1.6%
	463,800	Cosan SA		4,133,855
	565,257	Sao Martinho SA		2,636,326
	61,300	SLC Agricola SA		736,052
		Total Brazil		7,506,233
		Canada — 1.1%
	115,200	Canadian Solar Inc *		1,946,880
	51,900	Enerflex Ltd		637,105
	21,531	Nutrien Ltd		1,110,138
	30,140	Nutrien Ltd		1,552,539
		Total Canada		5,246,662
		China — 2.2%
	2,222,000	China High Speed Transmission Equipment Group Co Ltd		2,617,576
	2,961,713	Inner Mongolia Eerduosi Resourses Co Ltd – Class A		3,390,001
	1,073,300	Shenzhen Zhongjin Lingnan Nonfemet Co Ltd – Class A		648,961
	3,284,200	Xinjiang Goldwind Science & Technology Co Ltd – Class H		3,267,322
		Total China		9,923,860
		Colombia — 0.7%
	3,125,056	Ecopetrol SA		3,000,402
		Denmark — 2.1%
	129,074	Vestas Wind Systems A/S		9,648,466
		Finland — 0.1%
	53,688	Kemira Oyj		618,889
		France — 4.1%
	206,887	Suez		3,082,328
	181,580	TOTAL SA		10,099,433
	156,205	Veolia Environnement SA		3,328,549
	33,592	Vilmorin & Cie SA		2,218,054
		Total France		18,728,364
		Germany — 0.6%
	33,273	CropEnergies AG		143,103
	46,756	K+S AG (Registered)		824,177
	69,356	Nordex SE *		683,465

Shares		Description	Value ($)
		Germany — continued
	370,435	PNE Wind AG		1,059,149
		Total Germany		2,709,894
		Hungary — 0.6%
	247,117	MOL Hungarian Oil & Gas Plc		2,738,783
		India — 0.4%
	954,634	Oil & Natural Gas Corp Ltd		1,911,568
		Indonesia — 0.1%
	12,245,700	Medco Energi Internasional Tbk PT *		603,266
		Israel — 2.3%
	1,085,021	Israel Chemicals Ltd		6,366,709
	11,605	Israel Corp Ltd (The)		3,381,663
	12,876	Jerusalem Oil Exploration *		809,105
		Total Israel		10,557,477
		Italy — 0.3%
	325,959	Saipem SPA *		1,431,216
		Japan — 4.8%
	93,200	Ebara Corp		2,421,508
	289,600	Hitachi Zosen Corp		995,203
	131,700	Kubota Corp		2,253,537
	21,200	Kurita Water Industries Ltd		569,886
	245,500	Mitsubishi Materials Corp		6,903,013
	29,300	Modec Inc		729,413
	41,500	Nittetsu Mining Co Ltd		2,034,313
	14,400	Organo Corp		398,377
	76,300	Shinko Plantech Co Ltd		774,940
	226,100	Sumitomo Forestry Co Ltd		3,341,705
	132,400	Takuma Co Ltd		1,867,010
		Total Japan		22,288,905
		Netherlands — 0.3%
	62,531	SBM Offshore NV		950,795
	19,601	SIF Holding NV		289,309
		Total Netherlands		1,240,104
		Norway — 7.6%
	673,545	Austevoll Seafood ASA		9,332,913
	47,052	Bakkafrost P/F		2,416,831
	170,390	BW Offshore Ltd *		739,526
	250,243	Equinor ASA		5,861,911
	217,073	Grieg Seafood ASA		2,865,637
	64,106	Marine Harvest ASA		1,504,990
	95,089	Ocean Yield ASA		713,287
	144,638	Odfjell Drilling Ltd *		478,991
	92,147	Salmar ASA		5,211,375
	194,668	Subsea 7 SA		2,105,709
	24,260	TGS NOPEC Geophysical Co ASA		681,200
	78,878	Yara International ASA		3,177,488
		Total Norway		35,089,858
		Pakistan — 0.9%
	2,870,000	Engro Fertilizers Ltd		1,604,019
	1,138,000	Fauji Fertilizer Co Ltd		822,461
	46,120	Millat Tractors Ltd		329,273
	798,400	Oil & Gas Development Co Ltd		861,298

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Pakistan — continued
	86,149	Pakistan Oilfields Ltd		305,031
		Total Pakistan		3,922,082
		Poland — 1.8%
	268,834	KGHM Polska Miedz SA *		6,375,011
	1,228,635	Polskie Gornictwo Naftowe i Gazownictwo SA		2,090,537
		Total Poland		8,465,548
		Russia — 12.8%
	1,636,830	Gazprom Neft PJSC		8,873,093
	161,479	LUKOIL PJSC Sponsored ADR		11,916,324
	680,046	MMC Norilsk Nickel PJSC ADR		12,864,430
	31,880	Novatek PJSC Sponsered GDR (Registered)		5,439,794
	315,037	PhosAgro PJSC GDR (Registered)		4,215,356
	575,419	Ros Agro Plc GDR (Registered)		6,297,073
	610,322	Rosneft PJSC GDR (Registered)		3,853,065
	82,111	Tatneft PJSC Sponsored ADR		5,199,250
	98,620	TMK PJSC GDR (Registered)		328,293
		Total Russia		58,986,678
		Singapore — 0.0%
	2,725,600	Ezra Holdings Ltd * (a)		—
		South Africa — 1.1%
	179,383	African Rainbow Minerals Ltd		1,570,248
	126,555	Sasol Ltd		3,721,259
		Total South Africa		5,291,507
		South Korea — 0.8%
	7,324	Korea Zinc Co Ltd		2,783,591
	1,358	Young Poong Corp		878,285
		Total South Korea		3,661,876
		Spain — 1.5%
	73,130	Fomento de Construcciones y Contratas SA *		1,028,419
	335,203	Repsol SA		5,774,321
		Total Spain		6,802,740
		Sweden — 1.7%
	289,099	Boliden AB		6,489,955
	169,522	Svenska Cellulosa AB SCA – Class B		1,366,609
		Total Sweden		7,856,564
		Switzerland — 0.1%
	436	Gurit Holding AG		430,519
		Thailand — 1.9%
	2,153,900	Esso Thailand Pcl (Foreign Registered)		808,103
	703,164	PTT Exploration & Production Pcl (Foreign Registered)		2,832,827
	3,435,110	PTT Pcl (Foreign Registered)		5,165,708
		Total Thailand		8,806,638
		Turkey — 0.4%
	1,198,966	Koza Anadolu Metal Madencilik Isletmeleri AS *		1,788,090

Shares		Description	Value ($)
		Ukraine — 0.8%
	267,341	Kernel Holding SA		3,771,277
		United Kingdom — 13.8%
	918,201	Anglo American Plc		18,496,894
	346,326	Antofagasta Plc		3,553,972
	627,931	BHP Group Plc		12,090,978
	347,921	BP Plc		2,313,849
	339,132	Central Asia Metals Plc		921,141
	368,754	Glencore Plc *		1,374,618
	78,145	John Wood Group Plc		633,955
	265,614	Petrofac Ltd		1,729,495
	240,435	Polypipe Group Plc		1,050,892
	528,296	Premier Oil Plc *		477,088
	447,227	Rio Tinto Plc		20,439,229
	25,528	Royal Dutch Shell Plc A Shares (London)		773,449
		Total United Kingdom		63,855,560
		United States — 13.8%
	25,100	AGCO Corp.		1,497,968
	89,900	Albemarle Corp.		8,659,168
	34,000	C&J Energy Services, Inc. *		584,120
	270,902	Chesapeake Energy Corp. *		791,034
	13,300	Deere & Co.		2,059,904
	180,008	Denbury Resources, Inc. *		406,818
	135,484	Ensco Plc – Class A		768,194
	92,900	First Solar, Inc. *		4,129,405
	2,218,354	Freeport-McMoRan, Inc.		26,487,147
	29,700	Mosaic Co. (The)		1,069,200
	102,800	Noble Corp Plc *		428,676
	98,600	Renewable Energy Group, Inc. *		2,657,270
	68,600	Rowan Cos Plc – Class A *		950,796
	308,455	SolarEdge Technologies, Inc. *		12,008,153
	126,500	Southwestern Energy Co. *		609,730
	71,400	W&T Offshore, Inc. *		414,834
		Total United States		63,522,417
		TOTAL COMMON STOCKS (COST $367,396,152)		398,388,264
		PREFERRED STOCKS (b) — 10.0%
		Brazil — 4.3%
	2,394,299	Bradespar SA		19,688,259
		Chile — 3.8%
	401,312	Sociedad Quimica y Minera de Chile SA Sponsored ADR		17,657,728
		Russia — 1.9%
	39,101	Bashneft PJSC		1,076,668
	8,633,884	Surgutneftegas OJSC		4,868,768
	357,301	Tatneft PJSC		2,711,122
		Total Russia		8,656,558
		TOTAL PREFERRED STOCKS (COST $34,757,538)		46,002,545

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		RIGHTS/WARRANTS — 0.0%
		Singapore — 0.0%
	2,117,812	Ezion Holdings Ltd, Expires 04/16/23 * (c)		—
		TOTAL RIGHTS/WARRANTS (COST $0)		—
		MUTUAL FUNDS — 3.2%
		United States — 3.2%
		Affiliated Issuers — 3.2%
	603,160	GMO U.S. Treasury Fund		15,066,938
		TOTAL MUTUAL FUNDS (COST $15,063,668)		15,066,938
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Fund — 0.2%
	908,421	State Street Institutional Treasury Money Market Fund – Premier Class, 2.19% (d)		908,421
		TOTAL SHORT-TERM INVESTMENTS (COST $908,421)		908,421
		TOTAL INVESTMENTS — 99.8% (Cost $418,125,779)		460,366,168
		Other Assets and Liabilities (net) — 0.2%		780,994
		TOTAL NET ASSETS — 100.0%		$461,147,162

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 Depositary Receipt

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

* Non-income producing security.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs.

(b) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(c) Investment valued using significant unobservable inputs.

(d) The rate disclosed is the 7 day net yield as of November 30, 2018.

GMO Risk Premium Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 59.5%
		U.S. Government — 48.5%
	85,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.42%, due 04/30/20 (a)		85,031,737
	25,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.43%, due 10/31/19		25,015,568
	92,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.43%, due 07/31/20 (a)		92,037,777
	27,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.43%, due 10/31/20		26,997,870
		Total U.S. Government		229,082,952
		U.S. Government Agency — 11.0%
	8,000,000	Federal Home Loan Banks, Variable Rate, 1 mo. USD LIBOR – 0.11%, 2.20%, due 04/22/19		7,997,882
	10,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.16%, 2.17%, due 06/12/19		10,000,749
	14,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.17%, 2.23%, due 04/03/20		13,996,891
	20,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.24%, 2.20%, due 04/13/20		19,975,118
		Total U.S. Government Agency		51,970,640
		TOTAL DEBT OBLIGATIONS (COST $280,978,784)		281,053,592

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 41.2%
		Money Market Funds — 0.2%
	1,038,163	State Street Institutional Treasury Money Market Fund – Premier Class, 2.19% (b)		1,038,163
		U.S. Government — 31.1%
	2,900,000	U.S. Treasury Bill, 2.44%, due 04/18/19 (c)		2,873,323
	29,750,000	U.S. Treasury Note, 1.25%, due 01/31/19		29,698,685
	70,000,000	U.S. Treasury Note, 1.38%, due 02/28/19		69,827,118
	45,000,000	U.S. Treasury Note, 1.00%, due 03/15/19		44,820,504
		Total U.S. Government		147,219,630
		U.S. Government Agency — 9.9%
	47,000,000	Federal Home Loan Banks, 2.45%, due 04/03/19 (c)		46,611,404
		TOTAL SHORT-TERM INVESTMENTS (COST $194,927,962)		194,869,197
		TOTAL INVESTMENTS — 100.7% (Cost $475,906,746)		475,922,789
		Other Assets and Liabilities (net) — (0.7%)		(3,343,150	)
		TOTAL NET ASSETS — 100.0%		$472,579,639

A summary of outstanding financial instruments at November 30, 2018 is as follows:

Written Options – Puts

Index Options

Description	Counterparty	Exercise Price		Expiration Date		Number of Contracts		Notional Amount			Value ($)
S&P 500 Index	MSLC		2,760.00		12/07/18		681		USD	187,967,577		(2,179,200	)
S&P 500 Index	MSLC		2,675.00		12/03/18		351		USD	96,881,967		(104,949	)
S&P 500 Index	MSLC		2,745.00		12/05/18		347		USD	95,777,899		(770,340	)
FTSE 100 Index	MSLC		7,025.00		12/21/18		1,046		GBP	73,013,310		(1,636,107	)
			TOTAL INDEX OPTIONS – PUTS (Premiums $8,165,921)									(4,690,596	)

As of November 30, 2018, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

GMO Risk Premium Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2018 (Unaudited)

Notes to Schedule of Investments:

USBM - U.S. Treasury 3 Month Bill Money Market Yield.

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

The rates shown on variable rate notes are the current interest rates at November 30, 2018, which are subject to change based on the terms of the security.

† Denominated in U.S. Dollar, unless otherwise indicated.

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

(b) The rate disclosed is the 7 day net yield as of November 30, 2018.

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

Counterparty Abbreviations:

MSLC - Morgan Stanley & Co. LLC

Currency Abbreviations:

GBP - British Pound

USD - United States Dollar

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 95.3%
		Australia — 3.7%
	674	Altium Ltd		11,247
	7,962	Australian Pharmaceutical Industries Ltd		8,549
	25,843	BlueScope Steel Ltd		213,714
	4,831	Caltex Australia Ltd		97,485
	11,781	Costa Group Holdings Ltd		65,831
	1,057	Crown Resorts Ltd		9,076
	4,151	CSL Ltd		541,151
	22,500	CSR Ltd		49,521
	4,224	Macquarie Group Ltd		355,457
	11,447	Nine Entertainment Co Holdings Ltd		14,740
	10,507	OZ Minerals Ltd		66,801
	7,819	Sandfire Resources NL		36,748
		Total Australia		1,470,320
		Austria — 1.1%
	4,800	OMV AG		243,117
	3,665	Raiffeisen Bank International AG		108,183
	2,438	voestalpine AG		81,282
		Total Austria		432,582
		Belgium — 0.1%
	4,294	AGFA-Gevaert NV *		18,480
	75	Barco NV		8,414
	32	UCB SA		2,697
		Total Belgium		29,591
		Brazil — 0.7%
	1,600	Banco do Brasil SA		18,486
	900	Banco Santander Brasil SA		9,951
	3,300	Cia de Saneamento Basico do Estado de Sao Paulo		24,103
	1,000	Estacio Participacoes SA		6,404
	30,700	JBS SA		93,511
	2,500	Kroton Educacional SA		6,791
	6,500	Petrobras Distribuidora SA		41,111
	4,282	Vale SA		58,542
		Total Brazil		258,899
		Canada — 2.6%
	2,800	Bank of Montreal		208,600
	1,400	BRP Inc Sub Voting		49,882
	1,100	Canadian Imperial Bank of Commerce		92,312
	100	Canadian Imperial Bank of Commerce		8,388
	860	Canfor Corp *		11,787
	500	Canfor Pulp Products Inc		7,218
	100	George Weston Ltd		7,231
	600	Husky Energy Inc		7,451
	4,200	Magna International Inc		209,454
	400	Royal Bank of Canada		29,329
	1,200	Royal Bank of Canada		87,912
	3,800	Sun Life Financial Inc		139,802
	1,400	TFI International Inc		46,521
	2,300	Toronto-Dominion Bank (The)		127,338
	400	Transcontinental Inc – Class A		6,036
		Total Canada		1,039,261

Shares		Description	Value ($)
		China — 3.4%
	8,000	Agile Group Holdings Ltd		10,931
	214,000	Agricultural Bank of China Ltd – Class H		97,279
	2,000	Anhui Conch Cement Co Ltd – Class H		10,529
	10,000	ANTA Sports Products Ltd		45,824
	13,000	BAIC Motor Corp Ltd – Class H		8,006
	200	Baidu Inc Sponsored ADR *		37,656
	43,000	Bank of Communications Co Ltd – Class H		32,795
	42,000	China CITIC Bank Corp Ltd – Class H		26,752
	76,000	China Communications Services Corp Ltd – Class H		63,654
	72,200	China National Building Material Co Ltd – Class H		56,702
	102,000	China Petroleum & Chemical Corp – Class H		87,312
	45,000	China Railway Construction Corp Ltd – Class H		57,803
	44,000	China Resources Cement Holdings Ltd		43,336
	5,000	China Resources Pharmaceutical Group Ltd		7,371
	19,500	China Shenhua Energy Co Ltd – Class H		43,681
	202,000	China Telecom Corp Ltd – Class H		109,535
	300	China Yuchai International Ltd		4,215
	6,000	Chongqing Rural Commercial Bank Co Ltd – Class H		3,522
	42,000	Dongfeng Motor Group Co Ltd – Class H		40,627
	40,000	Geely Automobile Holdings Ltd		79,483
	30,000	Guangzhou R&F Properties Co Ltd – Class H		46,780
	7,000	Haier Electronics Group Co Ltd *		16,396
	20,000	Harbin Electric Co Ltd – Class H		6,181
	10,000	Huabao International Holdings Ltd		4,635
	16,500	Kingboard Holdings Ltd		47,420
	18,000	Kingboard Laminates Holdings Ltd		17,242
	9,000	Lee & Man Paper Manufacturing Ltd		8,203
	200	Momo Inc Sponsored ADR *		6,270
	13,000	People’s Insurance Co Group of China Ltd (The) – Class H		5,635
	83,000	Postal Savings Bank of China Co Ltd – Class H		50,365
	14,100	Shanghai Pharmaceuticals Holding Co Ltd – Class H		34,902
	16,000	Shenzhen Expressway Co Ltd – Class H		15,824
	32,000	Shimao Property Holdings Ltd		79,687
	20,500	Sino Biopharmaceutical Ltd		18,823
	18,500	Sinopec Engineering Group Co Ltd – Class H		17,197
	5,500	Sinotruk Hong Kong Ltd		9,068
	6,000	Tianneng Power International Ltd		5,495
	23,000	TravelSky Technology Ltd – Class H		62,094
	31,000	Weichai Power Co Ltd – Class H		33,525
		Total China		1,352,755
		Colombia — 0.1%
	2,700	Ecopetrol SA Sponsored ADR		51,867
		Denmark — 0.4%
	1,635	Novo Nordisk A/S – Class B		76,046
	27	Rockwool International A/S – Class B		7,030
	936	Royal Unibrew A/S		67,959
	314	SimCorp A/S		20,040
		Total Denmark		171,075
		Finland — 1.0%
	519	Neste Oyj		40,632
	13,372	UPM-Kymmene Oyj		357,159
		Total Finland		397,791

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		France — 7.5%
	3,643	BNP Paribas SA		183,236
	779	Christian Dior SE		289,579
	1,718	CNP Assurances		39,359
	422	Dassault Systemes SE		50,739
	129	Ipsen SA		16,625
	260	Jacquet Metal Service		4,764
	200	Kaufman & Broad SA		7,645
	3,627	L’Oreal SA		855,844
	15,565	Peugeot SA		342,461
	1,237	Renault SA		87,072
	4,442	Sanofi		402,713
	1,000	Sanofi ADR		45,350
	36,570	STMicroelectronics NV		541,672
	8,000	STMicroelectronics NV – NY Shares		118,800
	195	TOTAL SA		10,846
		Total France		2,996,705
		Germany — 7.8%
	4,820	Allianz SE (Registered)		1,022,089
	5,226	Bayer AG (Registered)		383,487
	7,739	Bayerische Motoren Werke AG		635,475
	873	Covestro AG		50,567
	21,916	Deutsche Lufthansa AG (Registered)		536,177
	238	Deutsche Pfandbriefbank AG		2,848
	1,706	Duerr AG		63,754
	806	Elmos Semiconductor AG		17,208
	2,621	Freenet AG		54,120
	131	Henkel AG & Co KGaA		13,577
	160	Isra Vision AG		6,266
	2,095	Leoni AG		67,336
	591	Siltronic AG		53,729
	873	Volkswagen AG		145,188
	1,594	Wacker Neuson SE		31,840
		Total Germany		3,083,661
		Greece — 0.0%
	559	Mytilineos Holdings SA		4,867
		Hong Kong — 3.3%
	60,500	BOC Hong Kong Holdings Ltd		236,883
	11,200	Dah Sing Banking Group Ltd		21,232
	8,000	Kerry Properties Ltd		27,575
	24,000	Link (REIT)		229,073
	576,000	WH Group Ltd		420,545
	43,000	Wharf Holdings Ltd (The)		115,422
	26,000	Wharf Real Estate Investment Co Ltd		156,813
	18,000	Wheelock & Co Ltd		103,579
		Total Hong Kong		1,311,122
		Hungary — 0.2%
	2,708	MOL Hungarian Oil & Gas Plc		30,012
	900	OTP Bank Plc		36,093
	1,681	Richter Gedeon Nyrt		33,116
		Total Hungary		99,221

Shares		Description	Value ($)
		India — 0.7%
	388	Bata India Ltd		5,822
	6,013	HCL Technologies Ltd		87,799
	538	Hero MotoCorp Ltd		23,585
	11,445	Hindalco Industries Ltd		37,237
	1,056	Indian Oil Corp Ltd		2,043
	3,105	ITC Ltd		12,758
	428	Just Dial Ltd *		3,055
	2,139	Karnataka Bank Ltd (The)		3,186
	4,517	Mahindra & Mahindra Ltd		51,328
	517	NIIT Technologies Ltd		8,109
	3,486	NMDC Ltd		4,800
	2,833	PTC India Ltd		3,289
	3,365	REC Ltd		4,854
	3,907	Tech Mahindra Ltd		39,729
	1,066	Zee Entertainment Enterprises Ltd		7,458
		Total India		295,052
		Ireland — 0.5%
	100	ICON Plc *		14,472
	6,190	Smurfit Kappa Group Plc		167,327
		Total Ireland		181,799
		Italy — 4.8%
	11,005	Arnoldo Mondadori Editore SPA *		18,851
	139	El.En. SPA		2,397
	78,028	Enel SPA		424,476
	334	ERG SPA		6,088
	9,318	EXOR NV		549,533
	6,584	Fiat Chrysler Automobiles NV *		109,335
	41,600	Fiat Chrysler Automobiles NV *		690,144
	1,790	Mediobanca Banca di Credito Finanziario SPA		15,807
	391	Prima Industrie SPA		9,502
	10,688	Societa Cattolica di Assicurazioni SC		88,201
		Total Italy		1,914,334
		Japan — 24.3%
	900	Arakawa Chemical Industries Ltd		12,950
	2,300	Asahi Group Holdings Ltd		96,607
	46,100	Asahi Kasei Corp		506,003
	37,200	Astellas Pharma Inc		573,244
	20,700	Brother Industries Ltd		346,385
	400	Capcom Co Ltd		7,881
	3,200	Fancl Corp		83,709
	2,500	Fuji Electric Co Ltd		78,821
	600	Fuji Media Holdings Inc		9,348
	600	FUJIFILM Holdings Corp		23,879
	400	Hakuhodo DY Holdings Inc		6,127
	2,300	Hanwa Co Ltd		69,013
	25,200	Haseko Corp		305,586
	25,900	Hitachi Ltd		754,247
	300	Horiba Ltd		14,135
	2,300	Idemitsu Kosan Co Ltd		83,881
	49,600	ITOCHU Corp		882,866
	500	Juki Corp		6,698

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	6,240	K’s Holdings Corp		65,937
	1,400	Kamei Corp		17,083
	24,200	KDDI Corp		568,620
	500	Keihin Corp		8,665
	1,100	Kitz Corp		9,409
	2,700	Konica Minolta Inc		24,374
	200	Kose Corp		29,919
	500	Mandom Corp		14,677
	70,800	Marubeni Corp		529,075
	4,000	Medipal Holdings Corp		91,771
	94,100	Mitsubishi Chemical Holdings Corp		771,937
	7,200	Mitsubishi Corp		194,590
	15,700	Mitsubishi Electric Corp		207,850
	3,100	Mitsubishi Gas Chemical Co Inc		51,053
	300	Modec Inc		7,468
	6,600	NET One Systems Co Ltd		137,016
	1,000	Nichias Corp		19,440
	400	Nihon Unisys Ltd		10,245
	19,200	Nippon Telegraph & Telephone Corp		792,020
	800	Prima Meat Packers Ltd		15,197
	1,300	Rohto Pharmaceutical Co Ltd		41,214
	1,100	Showa Corp		14,706
	116,400	Sojitz Corp		413,228
	87,000	Sumitomo Chemical Co Ltd		473,602
	500	T-Gaia Corp		10,669
	3,100	Tokyo Electron Ltd		437,624
	21,600	Tosoh Corp		304,607
	13,900	Toyota Tsusho Corp		480,560
	3,760	USS Co Ltd		66,766
		Total Japan		9,670,702
		Malaysia — 0.0%
	10,600	Top Glove Corp Berhad		15,171
		Malta — 0.0%
	1,718,063	BGP Holdings Plc * (a)		—
		Mexico — 0.3%
	6,300	ALEATICA SAB de CV		7,788
	5,600	Arca Continental SAB de CV		28,963
	1,000	Megacable Holdings SAB de CV CPO		4,560
	39,000	Wal-Mart de Mexico SAB de CV		96,610
		Total Mexico		137,921
		Netherlands — 1.1%
	3,293	ABN AMRO Group NV CVA		84,010
	253	ASR Nederland NV		10,932
	942	Heineken Holding NV		83,397
	15,085	ING Groep NV		182,705
	2,574	Koninklijke Ahold Delhaize NV		66,332
		Total Netherlands		427,376
		Norway — 1.8%
	217	Aker ASA – A Shares		12,413
	2,468	Aker Solutions ASA *		12,466
	762	Austevoll Seafood ASA		10,559
	345	Bakkafrost P/F		17,721
	12,050	DNB ASA		207,020

Shares		Description	Value ($)
		Norway — continued
	14,481	Equinor ASA		339,216
	818	Grieg Seafood ASA		10,799
	5,688	Kvaerner ASA *		8,227
	2,013	Leroy Seafood Group ASA		17,206
	818	Salmar ASA		46,262
	1,230	SpareBank 1 Nord Norge		9,088
	2,652	SpareBank 1 SR Bank ASA		28,596
		Total Norway		719,573
		Russia — 0.6%
	17,280	Gazprom PJSC Sponsored ADR		82,460
	72,000	Inter RAO UES PJSC		4,396
	1,071	LUKOIL PJSC Sponsored ADR		79,034
	5,391	Sberbank of Russia Sponsored ADR		64,297
		Total Russia		230,187
		Singapore — 0.4%
	3,600	DBS Group Holdings Ltd		64,288
	4,300	Venture Corp Ltd		47,082
	37,400	Yanlord Land Group Ltd		35,299
		Total Singapore		146,669
		South Africa — 0.9%
	6,314	Absa Group Ltd		70,176
	366	Astral Foods Ltd		4,625
	4,307	Barloworld Ltd		35,742
	1,916	Bidvest Group Ltd (The)		28,349
	1,413	Imperial Holdings Ltd		6,463
	1,232	Liberty Holdings Ltd		9,507
	2,134	Mondi Ltd		46,926
	1,413	Motus Holdings Ltd *		8,870
	368	Mr Price Group Ltd		6,396
	25	Naspers Ltd – N Shares		4,984
	2,079	Nedbank Group Ltd		39,791
	2,621	Raubex Group Ltd		3,921
	6,809	Standard Bank Group Ltd		86,020
		Total South Africa		351,770
		South Korea — 1.4%
	47	Chong Kun Dang Pharmaceutical Corp		4,311
	41	Coway Co Ltd		2,871
	2,220	Hana Financial Group Inc		74,638
	128	Hankook Tire Co Ltd		4,891
	505	Hyundai Marine & Fire Insurance Co Ltd		18,036
	4,987	Industrial Bank of Korea		66,061
	1,118	KB Financial Group Inc		47,122
	114	Kia Motors Corp		3,104
	57	LG Corp		3,678
	1,089	LG Electronics Inc		70,690
	80	LOTTE Himart Co Ltd		3,744
	510	Meritz Fire & Marine Insurance Co Ltd		9,660
	75	NHN Entertainment Corp *		3,875
	687	Shinhan Financial Group Co Ltd		25,347
	119	Shinsegae Inc		30,967
	52	SK Holdings Co Ltd		13,095
	1,096	SK Hynix Inc		68,456
	1,800	SK Telecom Co Ltd Sponsored ADR		51,066
	3,340	Woori Bank		46,780
		Total South Korea		548,392

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Spain — 0.5%
	1,388	Amadeus IT Group SA		99,617
	10,574	International Consolidated Airlines Group SA		84,778
		Total Spain		184,395
		Sweden — 4.5%
	1,647	Bufab AB		16,584
	353	Epiroc AB – Class A *		2,892
	1,359	Nobina AB		8,728
	917	Oriflame Holding AG *		23,138
	33,684	Sandvik AB		500,244
	31,426	Svenska Cellulosa AB SCA – Class B		253,342
	1,027	Swedish Orphan Biovitrum AB *		22,182
	6,372	Swedish Match AB		249,034
	2,991	Volvo AB – A Shares		41,545
	48,753	Volvo AB – B Shares		680,269
		Total Sweden		1,797,958
		Switzerland — 4.6%
	522	ALSO Holding AG (Registered) *		58,443
	526	Baloise Holding AG (Registered)		77,401
	327	BKW AG		22,260
	690	Bobst Group SA (Registered)		51,538
	208	Georg Fischer AG (Registered)		162,373
	2,750	Logitech International SA (Registered)		92,781
	6,937	Nestle SA (Registered)		591,816
	616	Novartis AG (Registered)		56,242
	255	Orior AG		21,173
	247	Roche Holding AG		63,670
	1,028	Roche Holding AG – Genusschein		266,852
	2,111	Sika AG (Registered)		261,956
	13	Straumann Holding AG (Registered)		7,974
	322	Swatch Group AG (The) (Registered)		18,874
	152	Swiss Life Holding AG (Registered) *		59,722
	60	Zurich Insurance Group AG		18,860
		Total Switzerland		1,831,935
		Taiwan — 0.8%
	1,093	ASE Technology Holding Co Ltd *		2,202
	4,000	Asustek Computer Inc		28,405
	3,000	Coretronic Corp		3,920
	11,000	CTBC Financial Holding Co Ltd		7,328
	5,000	Formosa Chemicals & Fibre Corp		17,368
	4,000	Formosa Plastics Corp		13,034
	8,000	Fubon Financial Holding Co Ltd		12,715
	8,000	Gigabyte Technology Co Ltd		10,160
	62,000	Inventec Corp		44,642
	4,000	Micro-Star International Co Ltd		9,480
	4,598	Mitac Holdings Corp		4,231
	10,000	Nan Ya Plastics Corp		24,198
	10,000	Novatek Microelectronics Corp		42,366
	1,000	Phison Electronics Corp		8,178
	4,000	Pou Chen Corp		4,363
	7,000	Radiant Opto-Electronics Corp		19,244
	11,000	Sunplus Technology Co Ltd		4,269
	2,304	Topco Scientific Co Ltd		5,314
	2,000	Uni-President Enterprises Corp		4,705
	97,000	United Microelectronics Corp		36,244
	7,000	Walsin Lihwa Corp		4,222
	7,000	Yuanta Financial Holding Co Ltd		3,580
		Total Taiwan		310,168

Shares		Description	Value ($)
		Thailand — 0.3%
	3,500	Amata Corp Pcl NVDR		2,501
	17,900	GFPT Pcl NVDR		7,875
	15,400	Indorama Ventures Pcl NVDR		25,390
	6,200	PTT Exploration & Production Pcl NVDR		24,978
	2,800	PTT Global Chemical Pcl NVDR		6,715
	27,200	PTT Pcl NVDR		40,904
	9,200	Thai Airways International Pcl NVDR *		4,035
		Total Thailand		112,398
		Turkey — 0.2%
	12,547	KOC Holding AS		36,926
	11,367	Turkiye Is Bankasi – Class C		9,297
	17,836	Turkiye Sise ve Cam Fabrikalari AS		17,219
		Total Turkey		63,442
		United Kingdom — 15.7%
	48,521	3i Group Plc		518,313
	3,240	Ashtead Group Plc		73,056
	6,299	AstraZeneca Plc		490,498
	2,133	Barratt Developments Plc		12,612
	735	Bellway Plc		23,855
	5,601	Berkeley Group Holdings Plc (The)		230,843
	861	Bovis Homes Group Plc		9,456
	10,604	British American Tobacco Plc		371,265
	9,658	Coca-Cola HBC AG *		288,893
	588	Computacenter Plc		8,059
	12,763	Diageo Plc		460,916
	15,132	Electrocomponents Plc		99,463
	24,747	Ferrexpo Plc		55,627
	557	Fevertree Drinks Plc		17,055
	48,923	GlaxoSmithKline Plc		1,014,170
	96,627	HSBC Holdings Plc		821,864
	10,134	IG Group Holdings Plc		76,576
	19,452	Inchcape Plc		144,410
	50,976	Legal & General Group Plc		159,641
	489	Mondi Plc		10,708
	1,218	Morgan Sindall Group Plc		19,083
	2,648	Next Plc		165,341
	2,800	Nomad Foods Ltd *		56,616
	22,669	Persimmon Plc		550,986
	7,215	Plus500 Ltd		139,836
	834	QinetiQ Group Plc		3,168
	4,621	Royal Dutch Shell Plc A Shares (London)		140,007
	3,458	RPS Group Plc		6,849
	937	Softcat Plc		7,205
	10,383	Spirent Communications Plc		17,181
	1,773	Tate & Lyle Plc		16,251
	100,605	Thomas Cook Group Plc		38,831
	11,990	TUI AG		171,281
		Total United Kingdom		6,219,915
		TOTAL COMMON STOCKS (COST $31,241,778)		37,858,874

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		PREFERRED STOCKS (b) — 2.0%
		Brazil — 0.6%
	10,733	Banco Bradesco SA		106,820
	5,600	Bradespar SA		46,049
	6,900	Centrais Eletricas Brasileiras SA – Class B *		50,595
	2,700	Cia Energetica de Sao Paulo – Class B		13,591
		Total Brazil		217,055
		Germany — 1.1%
	1,142	Bayerische Motoren Werke AG		83,281
	133	Henkel AG & Co KGaA		15,415
	1,072	Porsche Automobil Holding SE		68,891
	1,662	Volkswagen AG		282,086
		Total Germany		449,673
		South Korea — 0.3%
	97	Hyundai Motor Co		5,695
	67	Hyundai Motor Co 2nd Preference		4,181
	142	LG Electronics Inc		3,763
	3,581	Samsung Electronics Co Ltd		108,305
		Total South Korea		121,944
		TOTAL PREFERRED STOCKS (COST $549,427)		788,672
		MUTUAL FUNDS — 2.2%
		United States — 2.2%
		Affiliated Issuers — 2.2%
	35,104	GMO U.S. Treasury Fund		876,897
		TOTAL MUTUAL FUNDS (COST $876,617)		876,897
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	71,673	State Street Institutional Treasury Money Market Fund – Premier Class, 2.19% (c)		71,673
		TOTAL SHORT-TERM INVESTMENTS (COST $71,673)		71,673
		TOTAL INVESTMENTS — 99.7% (Cost $32,739,495)		39,596,116
		Other Assets and Liabilities (net) — 0.3%		138,760
		TOTAL NET ASSETS — 100.0%		$39,734,876

A summary of outstanding financial instruments at November 30, 2018 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
6	Mini MSCI EAFE	December 2018		544,890		2,730
2	Mini MSCI Emerging Markets	December 2018		99,960		5,496
			$	644,850	$	8,226

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2018, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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.

CVA - Certificaaten van aandelen (Share Certificates)

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs.

(b) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(c) The rate disclosed is the 7 day net yield as of November 30, 2018.

GMO U.S. Equity Fund (formerly U.S. Equity Allocation Fund)

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.7%
		Automobiles & Components — 2.0%
	71,970	American Axle & Manufacturing Holdings, Inc. *		896,027
	71,800	Aptiv Plc		5,162,420
	74,145	BorgWarner, Inc.		2,934,659
	14,761	Cooper-Standard Holding, Inc. *		1,079,324
	74,644	Dana, Inc.		1,083,084
	86,500	Gentex Corp.		1,947,980
	23,409	Lear Corp.		3,189,476
	36,521	Modine Manufacturing Co. *		476,599
	27,930	Stoneridge, Inc. *		747,128
	20,283	Tower International, Inc.		570,358
		Total Automobiles & Components		18,087,055
		Banks — 2.8%
	3,519	American National Bankshares, Inc.		126,790
	67,500	Associated Banc-Corp.		1,563,975
	143,454	Citizens Financial Group, Inc.		5,215,987
	3,744	CNB Financial Corp.		99,815
	4,361	Federal Agricultural Mortgage Corp. – Class C		288,088
	90,973	Fifth Third Bancorp		2,540,876
	2,723	First Bancorp, Inc.		77,415
	4,637	German American Bancorp, Inc.		146,251
	40,493	JPMorgan Chase & Co.		4,502,417
	47,300	Old National Bancorp.		885,929
	61,361	Popular, Inc.		3,460,760
	317,567	Regions Financial Corp.		5,223,977
	4,084	Territorial Bancorp, Inc.		113,739
	25,500	Trustmark Corp.		824,670
		Total Banks		25,070,689
		Capital Goods — 10.6%
	18,120	Applied Industrial Technologies, Inc.		1,181,968
	102,555	Caterpillar, Inc.		13,913,637
	48,026	Cummins, Inc.		7,254,808
	160,800	Eaton Corp Plc		12,371,952
	138,130	Emerson Electric Co.		9,326,538
	29,094	Federal Signal Corp.		682,545
	8,700	Global Brass & Copper Holdings, Inc.		281,619
	83,075	Honeywell International, Inc.		12,191,256
	78,864	Ingersoll-Rand Plc		8,164,001
	30,324	ITT, Inc.		1,681,466
	32,700	Lockheed Martin Corp.		9,824,061
	62,040	Meritor, Inc. *		1,023,660
	28,796	Moog, Inc. – Class A		2,518,210
	17,400	Mueller Industries, Inc.		414,468
	32,731	Oshkosh Corp.		2,334,702
	19,100	Regal Beloit Corp.		1,493,238
	22,279	Resideo Technologies, Inc. *		459,616
	18,804	SPX Corp. *		556,222
	15,423	Teledyne Technologies, Inc. *		3,463,697
	85,891	Textron, Inc.		4,821,921
	55,479	Timken Co. (The)		2,227,482
	28,396	Universal Forest Products, Inc.		785,433
		Total Capital Goods		96,972,500

Shares		Description	Value ($)
		Commercial & Professional Services — 1.6%
	66,499	ACCO Brands Corp.		539,972
	35,009	Brady Corp. – Class A		1,524,992
	27,046	FTI Consulting, Inc. *		1,899,982
	40,604	Herman Miller, Inc.		1,374,851
	13,607	ICF International, Inc.		952,898
	15,680	Insperity, Inc.		1,568,627
	36,000	Interface, Inc.		583,200
	26,968	Kforce, Inc.		854,616
	41,004	Knoll, Inc.		794,247
	11,900	MSA Safety, Inc.		1,296,981
	14,800	Resources Connection, Inc.		249,232
	41,036	Robert Half International, Inc.		2,537,256
	53,200	Steelcase Inc – Class A		861,840
		Total Commercial & Professional Services		15,038,694
		Consumer Durables & Apparel — 3.6%
	29,945	Acushnet Holdings Corp.		684,243
	5,360	Bassett Furniture Industries, Inc.		112,721
	52,954	Brunswick Corp.		2,808,680
	66,399	Callaway Golf Co.		1,137,415
	23,096	Columbia Sportswear Co.		2,109,358
	5,530	Culp, Inc.		113,310
	13,600	Deckers Outdoor Corp. *		1,812,064
	69,636	DR Horton, Inc.		2,591,852
	3,569	Flexsteel Industries, Inc.		88,583
	69,187	Garmin Ltd.		4,612,005
	16,200	Helen of Troy Ltd. *		2,317,086
	3,360	Johnson Outdoors, Inc. – Class A		239,568
	41,790	La-Z-Boy, Inc.		1,221,522
	18,971	Movado Group, Inc.		714,068
	8,200	Oxford Industries, Inc.		659,198
	36,466	PVH Corp.		4,029,858
	71,474	VF Corp.		5,810,121
	59,919	Wolverine World Wide, Inc.		2,073,197
		Total Consumer Durables & Apparel		33,134,849
		Consumer Services — 1.2%
	23,926	Adtalem Global Education, Inc. *		1,381,487
	47,384	Bloomin’ Brands, Inc.		926,357
	33,900	Career Education Corp. *		457,311
	35,100	Carrols Restaurant Group, Inc. *		386,802
	3,148	Graham Holdings Co. – Class B		2,074,406
	11,602	Grand Canyon Education, Inc. *		1,419,621
	26,800	K12, Inc. *		639,448
	32,739	Regis Corp. *		598,142
	64,330	Service Corp. International		2,972,046
		Total Consumer Services		10,855,620
		Diversified Financials — 3.1%
	102,500	Ally Financial, Inc.		2,734,700
	66,900	American Express Co.		7,510,863
	48,014	Ameriprise Financial, Inc.		6,229,817
	101,600	Capital One Financial Corp.		9,111,488
	35,730	Enova International, Inc. *		791,062
	28,393	Raymond James Financial, Inc.		2,263,774
		Total Diversified Financials		28,641,704

GMO U.S. Equity Fund (formerly U.S. Equity Allocation Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Energy — 3.0%
	95,600	Anadarko Petroleum Corp.		5,057,240
	298,086	Denbury Resources, Inc. *		673,674
	311,017	Marathon Oil Corp.		5,190,874
	79,327	Murphy Oil Corp.		2,530,531
	153,104	Phillips 66		14,318,286
		Total Energy		27,770,605
		Food & Staples Retailing — 0.4%
	29,700	Performance Food Group Co. *		1,023,462
	69,680	US Foods Holding Corp. *		2,311,982
		Total Food & Staples Retailing		3,335,444
		Food, Beverage & Tobacco — 3.0%
	364,970	Archer-Daniels-Midland Co.		16,795,919
	81,007	PepsiCo, Inc.		9,877,994
	16,600	Universal Corp.		1,052,440
		Total Food, Beverage & Tobacco		27,726,353
		Health Care Equipment & Services — 6.3%
	19,770	Anthem, Inc.		5,734,684
	197,617	Baxter International, Inc.		13,546,646
	148,421	Danaher Corp.		16,258,036
	81,100	HCA Healthcare, Inc.		11,677,589
	17,000	Humana, Inc.		5,600,990
	33,378	McKesson Corp.		4,155,561
		Total Health Care Equipment & Services		56,973,506
		Household & Personal Products — 3.3%
	93,947	Estee Lauder Cos, Inc. (The) – Class A		13,402,479
	16,164	Inter Parfums, Inc.		998,450
	162,117	Procter & Gamble Co. (The)		15,321,678
		Total Household & Personal Products		29,722,607
		Insurance — 5.1%
	241,488	Aflac, Inc.		11,045,661
	116,102	Allstate Corp. (The)		10,355,138
	64,398	Fidelity National Financial, Inc.		2,163,773
	31,004	First American Financial Corp.		1,498,423
	117,680	Old Republic International Corp.		2,653,684
	280,107	Progressive Corp. (The)		18,568,293
		Total Insurance		46,284,972
		Materials — 4.3%
	20,000	Ashland Global Holdings, Inc.		1,637,800
	45,549	Avery Dennison Corp.		4,390,924
	22,348	Boise Cascade Co.		594,010
	31,959	Cabot Corp.		1,572,383
	68,400	Celanese Corp.		6,903,612
	62,427	Eastman Chemical Co.		4,920,496
	114,192	Huntsman Corp.		2,308,962
	70,779	LyondellBasell Industries NV – Class A		6,604,388
	15,951	Materion Corp.		843,489
	18,700	Mercer International, Inc.		228,888
	59,100	Nucor Corp.		3,570,231
	24,400	PolyOne Corp.		820,328
	40,100	Reliance Steel & Aluminum Co.		3,226,045
	19,300	Resolute Forest Products, Inc. *		211,721
	23,931	Trinseo SA		1,209,233
	15,500	Verso Corp. – Class A *		390,910
		Total Materials		39,433,420

Shares		Description	Value ($)
		Media & Entertainment — 3.4%
	84,700	Activision Blizzard, Inc.		4,224,836
	600	Alphabet, Inc. – Class A *		665,790
	1,000	Alphabet, Inc. – Class C *		1,094,430
	24,900	AMC Networks, Inc. – Class A *		1,490,514
	116,060	Gannett Co., Inc.		1,203,542
	15,344	IAC/InterActiveCorp *		2,730,618
	110,800	Interpublic Group of Cos., Inc. (The)		2,603,800
	36,300	Liberty TripAdvisor Holdings, Inc. – Class A *		690,789
	12,200	Marcus Corp. (The)		518,012
	36,800	National CineMedia, Inc.		254,288
	126,452	News Corp. – Class A		1,641,347
	58,150	News Corp. – Class B		779,210
	52,589	Omnicom Group, Inc.		4,047,776
	19,482	Scholastic Corp.		900,263
	138,785	TEGNA, Inc.		1,844,453
	43,600	Tribune Media Co. – Class A		1,755,336
	115,600	Viacom, Inc. – Class B		3,567,416
	27,200	XO Group, Inc. *		938,400
		Total Media & Entertainment		30,950,820
		Pharmaceuticals, Biotechnology & Life Sciences — 12.9%
	111,500	Amgen, Inc.		23,219,875
	114,600	Bristol-Myers Squibb Co.		6,126,516
	55,597	Bruker Corp.		1,842,485
	239,959	Eli Lilly & Co.		28,468,736
	391,831	Merck & Co., Inc.		31,087,871
	586,838	Pfizer, Inc.		27,129,521
		Total Pharmaceuticals, Biotechnology & Life Sciences		117,875,004
		Real Estate — 2.8%
	129,749	CBRE Group, Inc. – Class A *		5,667,436
	30,200	Chesapeake Lodging Trust. (REIT)		893,014
	53,993	CoreCivic, Inc. (REIT)		1,185,147
	43,700	GEO Group , Inc. (The) (REIT)		1,015,588
	24,200	Hersha Hospitality Trust (REIT)		462,220
	246,581	Host Hotels & Resorts, Inc. (REIT)		4,685,039
	18,988	Jones Lang LaSalle, Inc.		2,719,082
	63,600	Park Hotels & Resorts, Inc. (REIT)		1,960,152
	51,255	Piedmont Office Realty Trust, Inc. – Class A (REIT)		949,755
	1,850	PotlatchDeltic Corp. (REIT)		68,635
	31,800	Rayonier, Inc. (REIT)		1,005,834
	80,900	Retail Properties of America, Inc. – Class A (REIT)		1,018,531
	96,500	Sunstone Hotel Investors, Inc. (REIT)		1,472,590
	104,960	Xenia Hotels & Resorts, Inc. (REIT)		2,132,787
		Total Real Estate		25,235,810
		Retailing — 6.8%
	1,000	Amazon.com, Inc. *		1,690,170
	4,400	America’s Car-Mart Inc.*		326,524
	76,593	American Eagle Outfitters, Inc.		1,603,091
	14,900	Asbury Automotive Group, Inc. *		1,029,888
	66,640	Best Buy Co., Inc.		4,304,278
	26,200	Caleres, Inc.		792,026
	32,400	Dick’s Sporting Goods, Inc.		1,165,752
	148,855	eBay, Inc. *		4,443,322
	35,181	Foot Locker, Inc.		1,984,208
	83,517	Gap Inc. (The)		2,279,179
	16,589	Group 1 Automotive, Inc.		932,302
	114,463	Kohl’s Corp.		7,688,480
	27,900	Liberty Expedia Holdings, Inc. – Class A *		1,169,289
	167,903	Macy’s, Inc.		5,745,641

GMO U.S. Equity Fund (formerly U.S. Equity Allocation Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Retailing — continued
	17,000	Penske Automotive Group, Inc.		741,200
	233,368	Qurate Retail, Inc. *		5,185,437
	20,400	Sonic Automotive, Inc. – Class A		322,116
	62,200	Target Corp.		4,413,712
	281,200	TJX Cos., Inc. (The)		13,736,620
	56,993	Urban Outfitters, Inc. *		2,170,863
		Total Retailing		61,724,098
		Semiconductors & Semiconductor Equipment — 4.3%
	10,251	Cabot Microelectronics Corp.		1,101,777
	22,900	Diodes, Inc. *		797,607
	555,200	Intel Corp.		27,376,912
	53,842	KLA-Tencor Corp.		5,306,667
	41,604	Maxim Integrated Products, Inc.		2,326,496
	111,081	ON Semiconductor Corp. *		2,130,534
	20,700	Rudolph Technologies, Inc. *		439,254
		Total Semiconductors & Semiconductor Equipment		39,479,247
		Software & Services — 6.6%
	38,930	Adobe, Inc. *		9,767,148
	44,020	Amdocs Ltd.		2,857,338
	44,400	Booz Allen Hamilton Holding Corp. – Class A		2,278,164
	10,100	CACI International, Inc. – Class A *		1,665,591
	68,305	Cadence Design Systems, Inc. *		3,076,457
	43,727	Citrix Systems, Inc. *		4,764,931
	25,030	CSG Systems International, Inc.		877,802
	27,300	EVERTEC Inc		746,109
	41,395	Intuit, Inc.		8,880,470
	58,375	Mastercard, Inc. – Class A		11,737,461
	36,753	Microsoft Corp.		4,075,540
	27,148	Progress Software Corp.		954,524
	72,200	Sabre Corp.		1,846,154
	19,710	Sykes Enterprises, Inc. *		544,390
	63,819	Synopsys, Inc. *		5,867,519
		Total Software & Services		59,939,598
		Technology Hardware & Equipment — 8.8%
	56,955	Apple, Inc.		10,171,024
	37,833	Arrow Electronics, Inc. *		2,912,006
	39,978	Avnet, Inc.		1,751,836
	49,600	CDW Corp.		4,596,928
	700,314	Hewlett Packard Enterprise Co.		10,504,710
	851,140	HP, Inc.		19,576,220
	22,020	Insight Enterprises, Inc. *		981,651
	56,700	Keysight Technologies, Inc. *		3,505,194
	46,407	Motorola Solutions, Inc.		6,090,919
	142,295	NetApp, Inc.		9,515,266
	113,003	TE Connectivity Ltd.		8,693,321
	80,222	Vishay Intertechnology, Inc.		1,672,629
		Total Technology Hardware & Equipment		79,971,704
		Telecommunication Services — 2.3%
	83,271	Telephone & Data Systems, Inc.		2,975,273
	298,900	Verizon Communications, Inc.		18,023,670
		Total Telecommunication Services		20,998,943

Shares		Description	Value ($)
		Transportation — 0.2%
	17,865	Landstar System, Inc.		1,948,714
		Utilities — 0.3%
	104,000	Vistra Energy Corp. *		2,441,920
		TOTAL COMMON STOCKS (COST $866,414,979)		899,613,876
		MUTUAL FUNDS — 1.3%
		Affiliated Issuers — 1.3%
	479,855	GMO U.S. Treasury Fund		11,986,782
		TOTAL MUTUAL FUNDS (COST $11,986,782)		11,986,782
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	482,006	State Street Institutional Treasury Money Market Fund – Premier Class, 2.19% (a)		482,006
		TOTAL SHORT-TERM INVESTMENTS (COST $482,006)		482,006
		TOTAL INVESTMENTS — 100.1% (Cost $878,883,767)		912,082,664
		Other Assets and Liabilities (net) — (0.1%)		(982,472	)
		TOTAL NET ASSETS — 100.0%		$911,100,192

A summary of outstanding financial instruments at November 30, 2018 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
67	S&P 500 E-mini	December 2018	$	9,240,305	$	(70,695	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2018, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of November 30, 2018.

Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes. As of November 30, 2018, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments for U.S. federal income tax purposes were as follows:

	Total Investments								Outstanding Financial Instruments
Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Climate Change Fund		113,025,949		3,217,860		(11,342,658)		(8,124,798)		—
Emerging Domestic Opportunities Fund		1,591,842,412		47,471,769		(128,154,634)		(80,682,865)		(3,359,730)
Emerging Markets Fund		3,538,698,729		275,534,727		(332,591,856)		(57,057,129)		(5,281,685)
Foreign Small Companies Fund		20,786,491		757,630		(3,855,661)		(3,098,031)		(12,684)
International Equity Fund		3,831,336,014		221,144,632		(496,907,299)		(275,762,667)		61,835
Quality Fund		4,573,193,679		2,174,606,329		(52,365,685)		2,122,240,644		—
Resources Fund		431,570,946		50,283,184		(21,487,962)		28,795,222		—
Risk Premium Fund		475,907,195		100,725		(85,131)		15,594		3,475,325
Tax-Managed International Equities Fund		33,034,571		8,763,441		(2,201,896)		6,561,545		8,226
U.S. Equity Fund (formerly U.S. Equity Allocation Fund)		879,384,239		74,395,208		(41,696,783)		32,698,425		(70,695)

Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust (“underlying funds”). A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended November 30, 2018 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Climate Change Fund
GMO U.S. Treasury Fund	$	751,549	$	75,768,270	$	73,864,000	$	39,718	$	529		$	300		$	2,656,648
Emerging Domestic Opportunities Fund
CMI Ltd	$	4,657,808	$	—	$	15,696	$	16,804	$	(5,059	)	$	(2,421,576	)	$	2,215,477
Gayatri Highways Ltd		1,147,898		—		—		—		—			(964,721	)		—	#
Gayatri Projects Ltd		34,529,636		3,618,675		1,861,829		—		1,562,974			(10,094,821	)		27,754,635
GMO U.S. Treasury Fund		130,824,583		431,377,426		505,090,000		1,377,975		9,597			45,928			57,167,534
Totals	$	171,159,925	$	434,996,101	$	506,967,525	$	1,394,779	$	1,567,512		$	(13,435,190	)	$	87,137,646
Emerging Markets Fund
Anilana Hotels & Properties Ltd	$	788,630	$	—	$	—	$	—	$	—		$	(85,449	)	$	703,181
Gayatri Highways Ltd		1,802,252		—		37,355		—		(202,290	)		(1,310,832	)		251,775
Gayatri Projects Ltd		54,213,078		—		—		—		—			(12,093,540	)		42,119,538
GMO U.S. Treasury Fund		97,620,412		950,476,976		1,028,120,000		858,007		20,682			5,018			20,003,088
Totals	$	154,424,372	$	950,476,976	$	1,028,157,355	$	858,007	$	(181,608	)	$	(13,484,803	)	$	63,077,582
Foreign Small Companies Fund
GMO U.S. Treasury Fund	$	1,595,796	$	8,061,261	$	9,355,000	$	11,261	$	(169	)	$	77		$	301,965

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation		Value, end of period
International Equity Fund
GMO U.S. Treasury Fund	$	61,069,100	$	452,510,000	$	470,280,000	$	695,946	$	10,107		$	15,646	$	43,324,853
Quality Fund
GMO U.S. Treasury Fund	$	51,092,040	$	76,000,000	$	119,000,000	$	679,021	$	(38,611	)	$	23,695	$	8,077,124
Resources Fund
GMO U.S. Treasury Fund	$	6,504,509	$	128,870,000	$	120,310,000	$	144,264	$	(2,645	)	$	5,074	$	15,066,938
Tax-Managed International Equities Fund
GMO U.S. Treasury Fund	$	1,066,810	$	11,225,000	$	11,415,000	$	13,363	$	(619	)	$	706	$	876,897
U.S. Equity Fund (formerly U.S. Equity Allocation Fund)
GMO U.S. Treasury Fund	$	7,460,010	$	126,520,000	$	121,990,000	$	136,059	$	(6,216	)	$	2,988	$	11,986,782

# No longer an affiliate at period end.

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2018 through November 30, 2018. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2019.

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 Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon the sale of those securities.

Portfolio valuation

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within that range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. 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 (“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. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended November 30, 2018, the Funds did not reduce the value of any of their 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 valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service

approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) in the table below.

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.

U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.

The three levels are defined as follows:

Level 1 – Valuations based on quoted prices for identical securities in active markets.

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).

Level 2 – Valuations determined using other significant direct or indirect observable inputs.

The types of assets and liabilities categorized in Level 2 generally include cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; 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 equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index and/or a security type conversion discount; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of November 30, 2018:

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	1,052,257	$	—	$	—	$	1,052,257

Description	Level 1		Level 2		Level 3			Total
Climate Change Fund (continued)
Asset Valuation Inputs (continued)
Australia	$	—	$	2,054,694	$	0	§	$	2,054,694
Brazil		—		2,525,826		—			2,525,826
Canada		1,657,046		—		—			1,657,046
China		114,898		3,813,617		35,256			3,963,771
Denmark		—		4,681,533		—			4,681,533
Finland		—		198,492		—			198,492
France		—		8,191,002		—			8,191,002
Germany		—		3,779,400		—			3,779,400
India		—		112,959		—			112,959
Israel		—		1,375,136		—			1,375,136
Italy		—		2,152,208		—			2,152,208
Japan		—		8,932,672		—			8,932,672
Malaysia		—		85,649		—			85,649
Netherlands		—		844,067		—			844,067
Norway		—		5,708,467		—			5,708,467
Pakistan		—		884,208		—			884,208
Poland		—		2,041,263		—			2,041,263
Portugal		—		944,758		—			944,758
Russia		—		5,574,432		—			5,574,432
South Africa		—		71,708		—			71,708
South Korea		—		1,382,592		—			1,382,592
Spain		—		3,426,180		—			3,426,180
Sweden		—		699,158		—			699,158
Switzerland		—		256,731		—			256,731
Taiwan		—		207,598		—			207,598
Thailand		—		115,375		—			115,375
Ukraine		—		989,692		—			989,692
United Kingdom		—		3,418,305		—			3,418,305
United States		30,057,575		—		—			30,057,575
TOTAL COMMON STOCKS		32,881,776		64,467,722		35,256			97,384,754
Preferred Stocks
Chile		4,584,800		—		—			4,584,800
TOTAL PREFERRED STOCKS		4,584,800		—		—			4,584,800
Mutual Funds
United States		2,656,648		—		—			2,656,648
TOTAL MUTUAL FUNDS		2,656,648		—		—			2,656,648
Short-Term Investments		274,949		—		—			274,949
Total Investments		40,398,173		64,467,722		35,256			104,901,151
Total	$	40,398,173	$	64,467,722	$	35,256		$	104,901,151
Emerging Domestic Opportunities Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	—	$	36,336,020	$	—		$	36,336,020
China		91,320,632		213,849,969		—			305,170,601
France		—		17,627,040		—			17,627,040
Hong Kong		—		19,541,447		—			19,541,447
India		13,729,689		171,696,896		6,627,901			192,054,486
Indonesia		—		20,132,731		—			20,132,731
Japan		—		4,660,909		—			4,660,909
Malaysia		—		3,112,609		—			3,112,609
Mexico		4,323,472		—		—			4,323,472
Peru		8,877,298		—		—			8,877,298
Philippines		—		34,602,352		—			34,602,352
Russia		—		3,968,955		—			3,968,955
South Africa		—		33,239,160		—			33,239,160
South Korea		—		12,536,942		—			12,536,942

Description	Level 1		Level 2			Level 3		Total
Emerging Domestic Opportunities Fund (continued)
Asset Valuation Inputs (continued)
Switzerland	$	—	$	68,948,328		$	—	$	68,948,328
Taiwan		—		77,938,033			—		77,938,033
Thailand		—		94,231,002			—		94,231,002
Turkey		—		27,921,085			—		27,921,085
United Arab Emirates		—		4,381,275			—		4,381,275
United Kingdom		—		76,045,378			—		76,045,378
United States		9,246,352		—			—		9,246,352
TOTAL COMMON STOCKS		127,497,443		920,770,131			6,627,901		1,054,895,475
Preferred Stocks
Brazil		—		35,327,932			—		35,327,932
TOTAL PREFERRED STOCKS		—		35,327,932			—		35,327,932
Investment Funds
Brazil		17,540,178		—			—		17,540,178
China		63,147,656		53,770,854			—		116,918,510
Russia		12,239,325		—			—		12,239,325
Thailand		—		35,669,672			—		35,669,672
United States		143,477,452		—			—		143,477,452
TOTAL INVESTMENT FUNDS		236,404,611		89,440,526			—		325,845,137
Debt Obligations
Mexico		—		16,349,798			—		16,349,798
United States		10,004,106		—			—		10,004,106
TOTAL DEBT OBLIGATIONS		10,004,106		16,349,798			—		26,353,904
Mutual Funds
United States		57,167,534		—			—		57,167,534
TOTAL MUTUAL FUNDS		57,167,534		—			—		57,167,534
Short-Term Investments		11,569,565		—			—		11,569,565
Total Investments		442,643,259		1,061,888,387			6,627,901		1,511,159,547
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		785,741			—		785,741
Total	$	442,643,259	$	1,062,674,128		$	6,627,901	$	1,511,945,288
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(3,372,379	)	$	—	$	(3,372,379	)
Futures Contracts
Equity Risk		—		(773,092	)		—		(773,092	)
Total	$	—	$	(4,145,471	)	$	—	$	(4,145,471	)
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	1,079,760	$	18,698,188		$	—	$	19,777,948
Chile		—		2,136,398			—		2,136,398
China		45,428,308		848,062,086			681,104		894,171,498
Colombia		2		—			—		2
Czech Republic		—		6,646,126			—		6,646,126
Greece		—		4,938,627			—		4,938,627
India		4,422,138		118,402,336			—		122,824,474
Indonesia		—		109,228,683			—		109,228,683
Malaysia		—		7,773,291			—		7,773,291
Mexico		20,477,064		—			—		20,477,064
Pakistan		—		6,809,025			—		6,809,025
Peru		2,412,190		—			—		2,412,190
Philippines		—		37,129,457			—		37,129,457

Description	Level 1			Level 2		Level 3		Total
Emerging Markets Fund (continued)
Asset Valuation Inputs (continued)
Poland	$	—		$	90,692,110	$	—	$	90,692,110
Qatar		—			53,718,945		—		53,718,945
Russia		33,537,644			477,796,990		—		511,334,634
South Africa		—			169,139,708		—		169,139,708
South Korea		28,372			123,649,273		—		123,677,645
Sri Lanka		—			703,181		—		703,181
Taiwan		69,538,203			640,371,851		10,936,859		720,846,913
Thailand		—			54,312,278		—		54,312,278
Turkey		—			298,976,735		—		298,976,735
United Arab Emirates		—			42,741,245		—		42,741,245
United Kingdom		—			20,955,007		—		20,955,007
TOTAL COMMON STOCKS		176,923,681			3,132,881,540		11,617,963		3,321,423,184
Preferred Stocks
Brazil		—			10,531,867		—		10,531,867
Colombia		7,868,800			—		—		7,868,800
Russia		—			28,732,759		—		28,732,759
South Korea		—			52,854,741		—		52,854,741
Taiwan		—			1,234,594		—		1,234,594
TOTAL PREFERRED STOCKS		7,868,800			93,353,961		—		101,222,761
Investment Funds
Russia		—			—		99,636		99,636
Thailand		—			9,042,111		—		9,042,111
United States		26,252,682			—		—		26,252,682
TOTAL INVESTMENT FUNDS		26,252,682			9,042,111		99,636		35,394,429
Mutual Funds
United States		20,003,088			—		—		20,003,088
TOTAL MUTUAL FUNDS		20,003,088			—		—		20,003,088
Short-Term Investments		3,598,138			—		—		3,598,138
Total Investments		234,646,389			3,235,277,612		11,717,599		3,481,641,600
Derivatives^
Swap Contracts
Equity Risk		—			91,834		—		91,834
Total	$	234,646,389		$	3,235,369,446	$	11,717,599	$	3,481,733,434
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(5,373,519	)	$	—	$	—	$	(5,373,519	)
Foreign Small Companies Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	640,023	$	—	$	640,023
Austria		—			136,159		—		136,159
Belgium		—			217,238		—		217,238
Brazil		—			46,272		—		46,272
Canada		879,821			—		—		879,821
China		—			397,855		—		397,855
Denmark		—			77,607		—		77,607
Finland		—			163,974		—		163,974
France		—			1,004,441		—		1,004,441
Germany		—			762,325		—		762,325
Hong Kong		—			293,954		—		293,954
India		—			382,374		—		382,374
Indonesia		—			15,338		—		15,338
Italy		—			501,765		—		501,765

Description	Level 1			Level 2		Level 3			Total
Foreign Small Companies Fund (continued)
Asset Valuation Inputs (continued)
Japan	$	—		$	4,557,837	$	—		$	4,557,837
Malaysia		—			260,834		—			260,834
Netherlands		—			6,251		—			6,251
Norway		—			354,927		—			354,927
Poland		—			47,714		—			47,714
Portugal		—			189,520		—			189,520
Singapore		—			353,547		—			353,547
South Africa		—			145,829		—			145,829
South Korea		—			1,273,581		—			1,273,581
Spain		—			270,872		—			270,872
Sweden		—			624,042		—			624,042
Switzerland		—			772,329		—			772,329
Taiwan		—			394,757		—			394,757
Turkey		—			4,384		—			4,384
United Kingdom		—			2,497,344		—			2,497,344
TOTAL COMMON STOCKS		879,821			16,393,093		—			17,272,914
Preferred Stocks
Germany		—			77,924		—			77,924
TOTAL PREFERRED STOCKS		—			77,924		—			77,924
Mutual Funds
United States		301,965			—		—			301,965
TOTAL MUTUAL FUNDS		301,965			—		—			301,965
Short-Term Investments		35,657			—		—			35,657
Total Investments		1,217,443			16,471,017		—			17,688,460
Total	$	1,217,443		$	16,471,017	$	—		$	17,688,460
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(12,684	)	$	—	$	—		$	(12,684	)
International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	193,675,453	$	—		$	193,675,453
Austria		—			11,875,840		—			11,875,840
Belgium		—			15,297,957		—			15,297,957
Denmark		19,483,757			54,788,696		—			74,272,453
Finland		—			27,317,476		—			27,317,476
France		37,156,227			288,651,896		—			325,808,123
Germany		—			384,269,314		—			384,269,314
Hong Kong		—			90,243,240		—			90,243,240
Ireland		6,644,240			—		—			6,644,240
Israel		—			2,742,810		—			2,742,810
Italy		73,309,949			93,655,094		—			166,965,043
Japan		—			986,099,372		—			986,099,372
Malta		—			—		0	§		0§
Netherlands		—			116,748,686		—			116,748,686
New Zealand		—			1,707,142		—			1,707,142
Norway		—			130,276,446		—			130,276,446
Portugal		—			4,538,913		—			4,538,913
Singapore		—			551,945		—			551,945
Spain		—			35,960,365		—			35,960,365
Sweden		—			183,100,624		—			183,100,624
Switzerland		601,818			177,155,138		—			177,756,956
United Kingdom		17,471,624			524,741,638		—			542,213,262
TOTAL COMMON STOCKS		154,667,615			3,323,398,045		0	§		3,478,065,660

Description	Level 1		Level 2		Level 3			Total
International Equity Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks
Germany	$	—	$	25,970,534	$	—		$	25,970,534
TOTAL PREFERRED STOCKS		—		25,970,534		—			25,970,534
Mutual Funds
United States		43,324,853		—		—			43,324,853
TOTAL MUTUAL FUNDS		43,324,853		—		—			43,324,853
Short-Term Investments		8,212,300		—		—			8,212,300
Total Investments		206,204,768		3,349,368,579		0	§		3,555,573,347
Derivatives^
Futures Contracts
Equity Risk		61,835		—		—			61,835
Total	$	206,266,603	$	3,349,368,579	$	0	§	$	3,555,635,182
Quality Fund
Asset Valuation Inputs
Common Stocks
Germany	$	—	$	161,316,748	$	—		$	161,316,748
Switzerland		—		427,828,105		—			427,828,105
Taiwan		—		135,592,419		—			135,592,419
United Kingdom		—		403,337,806		—			403,337,806
United States		5,475,971,269		—		—			5,475,971,269
TOTAL COMMON STOCKS		5,475,971,269		1,128,075,078		—			6,604,046,347
Debt Obligations
United States		26,010,676		—		—			26,010,676
TOTAL DEBT OBLIGATIONS		26,010,676		—		—			26,010,676
Mutual Funds
United States		8,077,124		—		—			8,077,124
TOTAL MUTUAL FUNDS		8,077,124		—		—			8,077,124
Short-Term Investments		57,300,176		—		—			57,300,176
Total Investments		5,567,359,245		1,128,075,078		—			6,695,434,323
Total	$	5,567,359,245	$	1,128,075,078	$	—		$	6,695,434,323
Resources Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	4,426,018	$	—	$	—		$	4,426,018
Australia		—		20,657,182		—			20,657,182
Austria		—		2,899,621		—			2,899,621
Brazil		—		7,506,233		—			7,506,233
Canada		5,246,662		—		—			5,246,662
China		—		9,923,860		—			9,923,860
Colombia		3,000,402		—		—			3,000,402
Denmark		—		9,648,466		—			9,648,466
Finland		—		618,889		—			618,889
France		—		18,728,364		—			18,728,364
Germany		—		2,709,894		—			2,709,894
Hungary		—		2,738,783		—			2,738,783
India		—		1,911,568		—			1,911,568
Indonesia		—		603,266		—			603,266
Israel		—		10,557,477		—			10,557,477
Italy		—		1,431,216		—			1,431,216
Japan		—		22,288,905		—			22,288,905
Netherlands		—		1,240,104		—			1,240,104

Description	Level 1			Level 2			Level 3			Total
Resources Fund (continued)
Asset Valuation Inputs (continued)
Norway	$	—		$	35,089,858		$	—		$	35,089,858
Pakistan		—			3,922,082			—			3,922,082
Poland		—			8,465,548			—			8,465,548
Russia		—			58,986,678			—			58,986,678
Singapore		—			—			0	§		0§
South Africa		—			5,291,507			—			5,291,507
South Korea		—			3,661,876			—			3,661,876
Spain		—			6,802,740			—			6,802,740
Sweden		—			7,856,564			—			7,856,564
Switzerland		—			430,519			—			430,519
Thailand		—			8,806,638			—			8,806,638
Turkey		—			1,788,090			—			1,788,090
Ukraine		—			3,771,277			—			3,771,277
United Kingdom		—			63,855,560			—			63,855,560
United States		63,522,417			—			—			63,522,417
TOTAL COMMON STOCKS		76,195,499			322,192,765			0	§		398,388,264
Preferred Stocks
Brazil		—			19,688,259			—			19,688,259
Chile		17,657,728			—			—			17,657,728
Russia		—			8,656,558			—			8,656,558
TOTAL PREFERRED STOCKS		17,657,728			28,344,817			—			46,002,545
Rights/Warrants
Singapore		—			—			0	§		0	§
TOTAL RIGHTS/WARRANTS		—			—			0	§		0	§
Mutual Funds
United States		15,066,938			—			—			15,066,938
TOTAL MUTUAL FUNDS		15,066,938			—			—			15,066,938
Short-Term Investments		908,421			—			—			908,421
Total Investments		109,828,586			350,537,582			0	§		460,366,168
Total	$	109,828,586		$	350,537,582		$	0	§	$	460,366,168
Risk Premium Fund
Asset Valuation Inputs
Debt Obligations
United States	$	281,053,592		$	—		$	—		$	281,053,592
TOTAL DEBT OBLIGATIONS		281,053,592			—			—			281,053,592
Short-Term Investments		194,869,197			—			—			194,869,197
Total Investments		475,922,789			—			—			475,922,789
Total	$	475,922,789		$	—		$	—		$	475,922,789
Liability Valuation Inputs
Derivatives^
Written Options
Equity Risk	$	(3,054,489	)	$	(1,636,107	)	$	—		$	(4,690,596	)
Tax-Managed International Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	1,470,320		$	—		$	1,470,320
Austria		—			432,582			—			432,582
Belgium		—			29,591			—			29,591
Brazil		—			258,899			—			258,899
Canada		1,039,261			—			—			1,039,261
China		48,141			1,304,614			—			1,352,755

Description	Level 1			Level 2		Level 3			Total
Tax-Managed International Equities Fund (continued)
Asset Valuation Inputs (continued)
Colombia	$	51,867		$	—	$	—		$	51,867
Denmark		—			171,075		—			171,075
Finland		—			397,791		—			397,791
France		164,150			2,832,555		—			2,996,705
Germany		—			3,083,661		—			3,083,661
Greece		—			4,867		—			4,867
Hong Kong		—			1,311,122		—			1,311,122
Hungary		—			99,221		—			99,221
India		—			295,052		—			295,052
Ireland		14,472			167,327		—			181,799
Italy		690,144			1,224,190		—			1,914,334
Japan		—			9,670,702		—			9,670,702
Malaysia		—			15,171		—			15,171
Malta		—			—		0	§		0	§
Mexico		137,921			—		—			137,921
Netherlands		—			427,376		—			427,376
Norway		—			719,573		—			719,573
Russia		—			230,187		—			230,187
Singapore		—			146,669		—			146,669
South Africa		—			351,770		—			351,770
South Korea		51,066			497,326		—			548,392
Spain		—			184,395		—			184,395
Sweden		—			1,797,958		—			1,797,958
Switzerland		—			1,831,935		—			1,831,935
Taiwan		—			310,168		—			310,168
Thailand		—			112,398		—			112,398
Turkey		—			63,442		—			63,442
United Kingdom		56,616			6,163,299		—			6,219,915
TOTAL COMMON STOCKS		2,253,638			35,605,236		0	§		37,858,874
Preferred Stocks
Brazil		—			217,055		—			217,055
Germany		—			449,673		—			449,673
South Korea		—			121,944		—			121,944
TOTAL PREFERRED STOCKS		—			788,672		—			788,672
Mutual Funds
United States		876,897			—		—			876,897
TOTAL MUTUAL FUNDS		876,897			—		—			876,897
Short-Term Investments		71,673			—		—			71,673
Total Investments		3,202,208			36,393,908		0	§		39,596,116
Derivatives^
Futures Contracts
Equity Risk		8,226			—		—			8,226
Total	$	3,210,434		$	36,393,908	$	0	§	$	39,604,342
U.S. Equity Fund (formerly U.S. Equity Allocation Fund)
Asset Valuation Inputs
Common Stocks	$	899,613,876		$	—	$	—		$	899,613,876
Mutual Funds		11,986,782			—		—			11,986,782
Short-Term Investments		482,006			—		—			482,006
Total Investments		912,082,664			—		—			912,082,664
Total	$	912,082,664		$	—	$	—		$	912,082,664
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(70,695	)	$	—	$	—		$	(70,695	)

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), in the case of forward currency contracts, 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. Excludes purchased options, fully funded total return swaps and rights/warrants, if any, which are included in investments.

§ Represents the interest in securities that were determined to have a value of zero at November 30, 2018.

The underlying funds held at period end are classified above as Level 1. Certain underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds’ portfolio valuation notes which are available on the Securities and Exchange Commission’s website at www.sec.gov or on GMO’s website at www.gmo.com.

For all Funds for the period ended November 30, 2018, there were no significant transfers between Level 1 and Level 2.

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). At November 30, 2018, there were no material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.

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, 2018		Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3†			Transfer out of Level 3†			Balances as of November 30, 2018			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held  as of November 30, 2018
Climate Change Fund
Common Stocks
Australia	$	12,229	$	—	$	—		$	—	$	—		$	(12,229	)	$	—		$	—		$	0	§	$	(12,229	)
China		—		—		—			—		—			—			35,256	‡		—			35,256			—
Total	$	12,229	$	—	$	—		$	—	$	—		$	(12,229	)	$	35,256		$	—		$	35,256		$	(12,229	)
Emerging Domestic Opportunities Fund
Common Stocks
India	$	27,450,114	$	—	$	(11,250,237	)	$	—	$	1,832,427		$	(11,221,226	)	$	—		$	(183,177	) ‡	$	6,627,901		$	(1,753,355	)
Total	$	27,450,114	$	—	$	(11,250,237	)	$	—	$	1,832,427		$	(11,221,226	)	$	—		$	(183,177	)	$	6,627,901		$	(1,753,355	)
Emerging Markets Fund
Common Stocks
China	$	680,939	$	—	$	—		$	—	$	—		$	165		$	—		$	—		$	681,104		$	165
India		1,802,252		—		(37,355	)		—		(202,290	)		(1,310,832	)		—			(251,775	) ‡		—			—
Taiwan		—		—		—			—		—			—			10,936,859	‡		—			10,936,859			—
	$	2,483,191	$	—	$	(37,355	)	$	—	$	(202,290	)	$	(1,310,667	)	$	10,936,859		$	(251,775	)	$	11,617,963		$	165
Investment Funds
India	$	98,736	$	—	$	(289,993	)	$	—	$	289,993		$	(98,736	)	$	—		$	—		$	—		$	—
Russia		2,704,993		—		(2,217,163	)		—		0			(388,194	)		—			—			99,636			(388,194	)
Total Investment Funds		2,803,729		—		(2,507,156	)		—		289,993		$	(486,930	)		—			—			99,636			(388,194	)
Total	$	5,286,920	$	—	$	(2,544,511	)	$	—	$	87,703		$	(1,797,597	)	$	10,936,859		$	(251,775	)	$	11,717,599		$	(388,029	)
Resources Fund
Common Stocks
Singapore	$	197,420	$	—	$	(189,788	)	$	—	$	(631,111	)	$	623,479		$	—		$	—		$	0	§	$	(22,632	)
Total	$	197,420	$	—	$	(189,788	)	$	—	$	(631,111	)	$	623,479		$	—		$	—		$	0	§	$	(22,632	)

	Balances as of February 28, 2018		Purchases		Sales		Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)		Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3†		Transfer out of Level 3†		Balances as of November 30, 2018		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held  as of November 30, 2018
Tax-Managed International Equities Fund
Rights/Warrants
Brazil	$	1,369	$	—	$	0	$	—	$	0	$	(1,369	)	$	—	$	—	$	—	$	—
Total	$	1,369	$	—	$	0	$	—	$	0	$	(1,369	)	$	—	$	—	$	—	$	—

† 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.

§ Represents the interest in securities that were determined to have a value of zero at November 30, 2018.

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 Eastern 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 some of 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 0.11% of the Fund’s total net assets as of November 30, 2018. 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 GMO Trust’s Board of Trustees. Any costs in respect of this matter will be 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.

	Climate Change Fund	Emerging Domestic Opportunities Fund	Emerging Markets Fund	Foreign Small Companies Fund	International Equity Fund	Quality Fund	Resources Fund	Risk Premium Fund	Tax-Managed International Equities Fund	U.S. Equity Fund (formerly U.S. Equity Allocation Fund)
Commodities Risk	X						X
Counterparty Risk	X	X	X	X	X	X	X	X	X	X
Credit Risk		X						X
Currency Risk	X	X	X	X	X	X	X	X	X
Derivatives and Short Sales Risk	X	X	X	X	X	X	X	X	X	X
Focused Investment Risk	X	X	X	X	X	X	X	X	X	X
Fund of Funds Risk		X	X
Illiquidity Risk	X	X	X	X	X	X	X	X	X	X
Large Shareholder Risk	X	X	X	X	X	X	X	X	X	X
Leveraging Risk	X	X	X	X	X	X	X		X	X
Management and Operational Risk	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
Market Risk – Equities	X	X	X	X	X	X	X	X	X	X

	Climate Change Fund	Emerging Domestic Opportunities Fund	Emerging Markets Fund	Foreign Small Companies Fund	International Equity Fund	Quality Fund	Resources Fund	Risk Premium Fund	Tax-Managed International Equities Fund	U.S. Equity Fund (formerly U.S. Equity Allocation Fund)
Market Risk – Fixed Income		X						X
Merger Arbitrage Risk	X						X
Non-Diversified Funds	X	X	X			X	X	X	X
Non-U.S. Investment Risk	X	X	X	X	X	X	X	X	X
Small Company Risk	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 GMO 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 or other investment companies (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. 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 Underlying Funds.

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.

• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner. The value of commodity-related derivatives or indirect investments in commodities may fluctuate more than the commodity, commodities or commodity index to which they relate. See “Derivatives and Short Sales Risk” for a discussion of specific risks of a Fund’s derivatives investments, including commodity-related derivatives.

• 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 be forced to hold investments it would prefer to sell, resulting in losses for the Fund. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws, regulations or other requirements. The Funds are not subject to any limit on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments in which financial services firms are exposed (as they were in 2008) 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 (whether or not the obligation is collateralized), 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 during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms 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 posted promptly as required. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean that a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty). Counterparty risk also will be greater if a counterparty’s obligations exceed the value of the collateral held by the Fund (if any).

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 has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” 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. 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. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations or realization on collateral, could be stayed or eliminated under new special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, in the European Union, governmental authorities could reduce, eliminate, or convert to equity the liabilities to the Funds of a counterparty experiencing financial difficulties (sometimes referred to as a “bail in”).

• 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 (and/or in anticipation) of the issuer’s, guarantor’s, or obligor’s failure to meet its payment obligations, or a downgrading of the credit rating of the investment. This risk is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Fixed income investments also are subject to illiquidity risk. See “Illiquidity Risk.”

All fixed income investments 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, a government or government entity, 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 term of a fixed income investment. 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 or quasi-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 ability and willingness 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. 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 many cases, the credit risk and market price of a fixed income investment are reflected in its credit ratings, and a Fund holding a rated investment is subject to the risk that the investment’s rating will be downgraded, resulting in a decrease in the market price of the fixed income investment.

Securities issued by the U.S. government historically have presented minimal credit risk. However, events in 2011 led several major rating agencies to downgrade the long-term credit rating of U.S. bonds and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest on U.S. government securities would decrease, the market price of a Fund’s investments and increase the volatility of a Fund’s portfolio.

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 obligations of issuers also may be 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 and Short Sales Risk” for more information regarding risks associated with the use of credit default swaps.

The extent to which the market price of a fixed income investment changes in response to a credit event depends on many factors and can be difficult to predict. For example, even though the effective duration of a long-term floating rate security is very short, an adverse credit event or change in the perceived creditworthiness of its issuer could cause its market price to decline much more than its effective duration would suggest.

Credit risk is particularly pronounced for below investment grade investments (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 investments have speculative characteristics, often are less liquid than higher quality investments, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. Investments in distressed or defaulted or other low quality debt investments generally are considered speculative and may involve substantial risks not normally associated with investments in higher quality investments, including adverse business, financial or economic conditions that lead to payment defaults and insolvency proceedings on the part of their issuers. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer does not make any interest or other payments and a Fund incurs additional expenses in seeking recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt investment proves incorrect, a Fund may lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of a default of sovereign debt, the Funds may be unable to pursue legal action against the issuer.

• 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 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. 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 on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk.”

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

Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars or may only be able to do so at an unfavorable exchange rate. Exchange rates for many currencies are affected by exchange control regulations.

Derivative transactions in foreign currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described 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”).

• DERIVATIVES AND SHORT SALES 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, such as securities, commodities or currencies, reference rates, such as interest rates, currency exchange rates, inflation rates, or indices. Derivatives involve the risk that their value may not change as expected relative to changes in the value of the assets, rates, or indices they are designed to track. Derivatives include, but are not limited to, futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other OTC contracts.

The use of derivatives involves risks that are potentially greater than, the risks of investing directly in securities. 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, or the position transferred, only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still 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 the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments GMO believes are owed to the Fund under an OTC derivatives contract, or those payments may be delayed or made only after the Fund has incurred the cost of litigation.

A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign 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 fundamental fair (or 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 a greater risk of not being able to recover what it is owed if the counterparty defaults. Derivatives also present other risks described in this section, including market risk, illiquidity 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, inaccurate valuations may result in increased cash payments to counterparties, under-collateralization 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 cost 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.

Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk”) and counterparty risk (see “Counterparty Risk”). These derivatives also are subject to documentation risk, which is the risk that ambiguities, inconsistencies or errors in the documentation relating to a derivative transaction may lead to a dispute with the counterparty or unintended investment results. In addition, see “Commodities Risk” for a discussion of risks specific to commodity-related derivatives. 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.”

A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders. In addition, the tax treatment of a Fund’s use of derivatives will sometimes be unclear.

The Securities and Exchange Commission has proposed a rule under the Investment Company Act of 1940, as amended (the “1940 Act”), regulating the use by registered investment companies of derivatives and many related instruments. That rule, if adopted as proposed, would, among other things, restrict a Fund’s ability to engage in derivatives transactions or so increase the cost of derivatives transactions that a Fund would be unable to implement its investment strategy.

Derivatives Regulation. The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) have adopted similar requirements, which affect a Fund when it enters into a derivatives transaction with a counterparty subject to those requirements. Because these U.S. and European Union requirements are new and evolving (and some of the rules are not yet final), their impact on the Funds remains unclear.

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 hold cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Funds 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 some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements, for example, by requiring that funds provide more margin for their cleared derivatives positions. Also, as a general matter, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivatives position or an increase in the margin required at the outset of a transaction. Clearing houses also have broad rights to increase the margin required for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions 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 margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member (see “Counterparty Risk”). Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that GMO 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 position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and 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 the documentation for typical bilateral derivatives. 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. Also, such documentation typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks may be more pronounced for cleared derivatives due to their more limited liquidity and market history.

Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may be required to indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility.

If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), the Fund may be unable to execute all components of the package on the swap execution facility. In that case, the Fund would need to trade some components of the package on the swap execution facility and other components in another manner, which could subject the Fund to the risk that some components would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.

The U.S. government and the European Union have adopted mandatory minimum margin requirements for bilateral derivatives. New variation margin requirements became effective in March 2017 and new initial margin requirements will become effective in 2020. Such requirements could increase the amount of margin a Fund needs to provide in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.

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 or otherwise limiting liquidity. The implementation of the clearing requirement has increased the cost of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they historically posted for bilateral derivatives. The cost of derivatives transactions is expected to increase further as clearing members raise their fees to cover the cost of additional capital requirements and other regulatory changes applicable to the clearing members. These rules and regulations are new and evolving, and, therefore, their potential impact on the Funds and the financial system are not yet known. While the new rules and 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 they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.

Options. The Funds, particularly Risk Premium Fund, are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights any time before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk 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 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, GMO, and other funds advised by GMO likely constitute such a group. When applicable, these limits 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.

Special tax rules apply to a Fund’s transactions in options, which could increase the taxes payable by shareholders subject to U.S. income taxation. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s distributions to be taxable at ordinary income tax rates. See the Funds’ Prospectus and Statement of Additional Information for more information.

Short Investment Exposure. Some Funds may sell securities or currencies short as part of their investment programs in an attempt to increase their returns or for hedging purposes. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange a security or currency to replace the borrowed security or currency when the security or currency sold short has appreciated in value, thus resulting in a loss to the Fund. Purchasing a security or currency to close out a short position can itself cause the price of the security or currency to rise further, thereby exacerbating any losses. A Fund that sells short a security or currency it does not own typically pays borrowing fees to a broker and is required to pay the broker any dividends or interest it receives on a borrowed security.

A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index.

Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A 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 or takes “short” derivative positions.

• FOCUSED INVESTMENT RISK. Funds with investments that are focused in a limited number of asset classes, sectors, industries, issuers, currencies, countries, or regions (or in sectors within a country or region) that are subject to the same or similar risk factors and funds with investments whose prices are closely correlated are subject to greater overall risk than funds with investments that are more diversified or whose prices are not as closely correlated.

A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of those issuers’ securities than Funds investing in the securities of a larger number of issuers. 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 (or related) to a particular geographic region, country or market (e.g., emerging markets), or to sectors within a region, country, or market (e.g., Russian oil) have more exposure to regional and country economic risks than funds making 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 the value of the currency of 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.”

Because Resources Fund concentrates its investments in the natural resources sector, it 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 are often more volatile (particularly in the short term) 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 the supplies they purchase and the products they sell, which can affect their profitability, and are often capital-intensive and use significant amounts of leverage. Projects in the natural resources sector may take extended periods of time to complete, and companies cannot ensure that the market will be favorable at the time the project begins production. Companies in the natural resources sector also may be subject to special risks associated with natural or man-made disasters. In addition, companies in 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, companies in the natural resources sector can be significantly affected by import controls, worldwide competition and cartels, and 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.

Because Climate Change Fund focuses its investments in securities of companies involved in climate change-related industries, the Fund will be more susceptible to events or factors affecting these companies, and the market prices of its portfolio securities may be more volatile than those of mutual funds that are more diversified. Climate Change Fund is particularly exposed to such developments as changes in global and regional climates, environmental protection regulatory actions, changes in government standards and subsidy levels, changes in taxation and other domestic and international political, regulatory and economic developments (such as potential cut-backs on funding for the Environmental Protection Agency and other policies and actions by the Trump administration). Companies involved in alternative fuels also may be adversely affected by the increased use of, or decreases in prices for, oil or other fossil fuels. In addition, scientific developments, such as breakthroughs in the remediation of global warming, and changes in governmental policies relating to the effects of pollution may affect investments in pollution control, which could in turn affect these companies. Such companies also may be significantly affected by technological changes in industries focusing on energy, pollution control and mitigation of global warming. Because society’s focus on climate change issues is relatively new, the emphasis and direction of governmental policies is subject to significant change, and rapid technological change could render even new approaches and products obsolete. Some companies involved in climate change-related industries are in the early stages of operation and have limited operating histories and smaller market capitalizations on average than companies in other sectors. As a result of these and other factors, the market prices of securities of companies involved in climate change-related industries tend to be considerably more volatile than those of companies in more established sectors and industries.

Because Risk Premium Fund may hold a limited number of options contracts relating to relatively few stock indices, the Fund is subject to focused investment risk.

• FUND OF FUNDS RISK. Funds that invest in Underlying Funds (including underlying GMO Funds) are exposed to the risk that the Underlying Funds will not perform as expected. The Funds also are indirectly exposed to all of the risks to which the Underlying Funds are exposed.

Absent reimbursement, a Fund bears the fees and expenses of an Underlying Fund (including purchase premiums and redemption fees, if any) in which it invests, and may incur additional expenses when investing in an Underlying Fund. 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.

In addition, to the extent a Fund invests in shares of underlying GMO Funds, it is indirectly subject to Large Shareholder Risk when an underlying GMO Fund has large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk.”

At any particular time, one Underlying Fund may be purchasing securities of an issuer whose securities are being sold by another Underlying Fund, resulting in a Fund that holds each Underlying Fund indirectly incurring the costs associated with the two transactions without changing its exposure to those securities.

Investments in exchange-traded funds (“ETFs”) involve the risk that an ETF’s performance may not track the performance of the index it is designed to track. In addition, ETFs often use derivatives to track the performance of an index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed in “Derivatives and Short Sales Risk.” ETFs are

investment companies that typically hold a portfolio of securities designed to track the price, performance, and dividend yield of a particular securities market index (or sector of an index). As investment companies, ETFs incur their own management and other fees and expenses, such as trustee fees, operating expenses, registration fees, and marketing expenses, and a Fund that invests in ETFs will bear a proportionate share of such fees and expenses. As a result, an investment by a Fund in an ETF could lead to higher operating expenses and lower returns than if the Fund were to invest directly in the securities underlying the ETF.

A Fund’s investments in one or more Underlying Funds could affect the amount, timing and character of its distributions and could cause the Fund to recognize taxable income in excess of the cash generated by such investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.

• ILLIQUIDITY RISK. Illiquidity 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, delays or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity 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). To the extent a Fund’s investments include asset-backed securities, distressed, defaulted or other low quality debt securities, emerging country debt or equity securities, securities of companies with smaller market capitalizations or smaller total float adjusted market capitalizations, or emerging market securities, it is subject to increased illiquidity risk. 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 price at which they were valued when held by the Fund. Illiquidity risk also may be greater in times of financial stress. For example, Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”) have experienced periods of greatly reduced liquidity during disruptions in fixed income markets, 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.

A Fund may buy securities or other investments that are less liquid than those in its benchmark. The more illiquid investments a Fund has, the greater the likelihood of its paying redemption proceeds in-kind.

Historically, the credit markets have experienced periods characterized by a significant lack of liquidity, and they may experience similar periods in the future. A lack of liquidity could require a Fund to sell securities to satisfy collateral posting requirements and meet redemptions, which could, in turn, create downward price pressure on the securities being sold.

A Fund’s, and particularly Risk Premium Fund’s, ability to use options as part of its investment program depends on the liquidity of the options market. That market may not be liquid when a Fund seeks to close out an option position, and the hours of trading for options on an exchange may not conform to the hours during which the underlying securities 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 those securities that are not immediately reflected in the options markets. If a Fund receives a redemption request and is unable to close out an option it has sold, the Fund may temporarily be leveraged in relation to its assets.

• LARGE SHAREHOLDER RISK. To the extent 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 by forcing the Fund to sell portfolio securities, potentially at disadvantageous prices, to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the outstanding shares of many Funds, and asset allocation decisions by GMO 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 when it would not have otherwise done so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for Fund shareholders. Further, from time to time a Fund may trade in anticipation of a purchase or redemption order that ultimately is not received or differs in size from the actual order, leading to temporary underexposure or overexposure to the Fund’s intended investment program. In addition, redemptions and purchases of shares by a large shareholder or group of shareholders could limit the use of any capital loss carryforwards to offset future realized capital gains (if any) and other losses that would otherwise reduce distributable net investment income. In addition, large shareholders may limit or prevent a Fund’s use of equalization for U.S. federal tax purposes.

To the extent a Fund invests in other GMO Funds subject to large shareholder risk, the Fund is indirectly subject to this risk.

• LEVERAGING RISK. The use of traditional borrowing (including to meet redemption requests), 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, similar to short sales, have the potential for unlimited loss, regardless of the size of the initial investment. Similarly, a Fund’s portfolio will be leveraged and can incur losses if the value of the Fund’s assets declines between the time a redemption request is received or deemed to be received by a Fund (which in some cases may be the business day prior to actual receipt of the transaction activity by the Fund) and the time at which the Fund liquidates assets to meet redemption requests. Such a decline in the value of a Fund’s assets is more likely in the case of Funds managed from GMO’s non-U.S. offices for which the time period between the NAV determination and corresponding liquidation of assets could be longer due to time zone differences and market schedules. In the case of redemptions representing a significant portion of a Fund’s portfolio, the leverage effects described above can be significant and could expose a Fund and non-redeeming shareholders to material losses.

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.

Some Funds are permitted to purchase securities on margin or to sell securities short, either of which creates leverage. To the extent the market prices of securities pledged to counterparties to secure a Fund’s margin account or short sale decline, the Fund may be required to deposit additional funds with the counterparty to avoid having the pledged securities liquidated to compensate for the decline.

• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and may cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times. In the case of Tax-Managed International Equities Fund, GMO’s tax-management strategies may be ineffective or limited by market conditions, the timing of cash flows into and out of the Fund, and current or future changes in tax legislation and regulation.

For many Funds, GMO uses quantitative models as part of its investment process. GMO’s models may not accurately predict future market movements, or characteristics. In addition, they are based on assumptions that can limit their effectiveness, and they rely on data that is subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. The Funds also run the risk that GMO’s assessment of an investment (including a security’s fundamental fair (or intrinsic) value) is wrong.

GMO relies on quantitative models in making investment decisions. The usefulness of GMO’s models may be diminished by the faulty incorporation of mathematical models into computer code, by reliance on proprietary and third-party technology that includes errors, omissions, bugs, or viruses, and by the retrieval of limited or imperfect data for processing by the model. These risks are present in the ordinary course of business and are more likely to occur when GMO is making changes to its models. Any of these risks could adversely affect a Fund’s performance.

There can be no assurance that key GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’s ability to achieve the Funds’ investment objectives.

The Funds also are subject to a risk of loss resulting from other services provided by GMO 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 could prevent a Fund from benefiting from investment gains or avoiding losses. In addition, a service provider may be unable to provide a net asset value (“NAV”) for a Fund or share class on a timely basis. GMO is not contractually liable to the Funds for losses associated with operational risk absent its 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 contractual limitations on their liability to the Funds for losses resulting from their errors.

The Funds and their service providers (including GMO) are susceptible to cyber-attacks and to technological malfunctions that may have effects similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and disrupting operations. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release or misappropriation of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, and additional compliance costs. The Funds’ service providers regularly experience cyber-attacks and expect they will continue to do so. While GMO has established business continuity plans and systems designed to prevent, detect and respond to cyber-attacks, those plans and systems have inherent limitations. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could have material adverse consequences for those issuers and result in a decline in the market price of their securities. Furthermore, as a result of cyber-attacks, technological disruptions, malfunctions, or failures, an exchange or market may close or suspend trading in specific securities or the entire market, which could prevent the Funds from, among other things, buying or selling securities or accurately pricing their

investments. The Funds cannot directly control cyber security plans and systems of their service providers, the Funds’ counterparties, issuers of securities in which the Funds invest, or securities markets and exchanges.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby reducing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or in other economic inputs (e.g., the marked decline in oil prices that began in late 2014) may have material and unexpected effects on both global securities markets and individual countries, regions, sectors, companies, or industries. Terrorism in the United States and around the world 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 or other fraudulent trading practices, which could disrupt their orderly functioning or reduce the prices of securities traded on them, including securities held by the Funds. Fraud and other deceptive practices committed by an issuer of securities held by a Fund undermine GMO’s due diligence efforts and, when discovered, will likely cause a steep decline in the market price of those securities and thus negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively affect a Fund’s investment program as well as the rates or indices underlying a Fund’s investments.

While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce the value of the Funds’ investments. Similarly, political events within the United States have resulted, and may in the future result, in a shutdown of government services, which could adversely affect the U.S. economy, reduce the value of many Fund investments, and impair the operation of the U.S. or other securities markets. Uncertainty over the sovereign debt of several European Union countries, as well as uncertainty over the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the United States and around the world. If a country changes its currency or if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. In June 2016, the United Kingdom approved a referendum to leave the European Union (commonly known as “Brexit”) and in March 2017, the United Kingdom commenced the formal process of withdrawing from the European Union. Brexit has resulted in volatility in European and global markets and could have negative long-term impacts on financial markets in the United Kingdom and throughout Europe. Considerable uncertainty exists over the potential consequences and precise timeframe for Brexit, how it will be conducted, how negotiations of trade agreements will proceed, and how the financial markets will react, and as this process unfolds markets may be further disrupted. The consequences of the United Kingdom’s or another country’s exit from the European Union also could threaten the stability of the euro for remaining countries and could negatively affect the financial markets of other countries in the European region and beyond. War, terrorism, economic uncertainty, and related geopolitical events, such as sanctions, tariffs, the imposition of exchange controls or other cross-border trade barriers, 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 market price 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 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 a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.

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

Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as poor performance by the issuer’s management or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may result from 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. The market prices of equities are volatile and can decline in a rapid or unpredictable manner. If a Fund purchases an equity for what GMO believes is less than its fundamental fair (or intrinsic) value, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment. 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 writing put options on stock indices, GMO expects the Fund’s net asset value to decline 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 relative to those indices when the markets associated with those indices rise sharply because of the Fund’s lack of exposure to the upside of those markets.

Fixed Income — Funds that invest in fixed income investments (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 market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity due to market 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 uncertainty about their credit quality and the reliability of their payment streams. Some fixed income investments 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 investment. When interest rates rise, fixed income investments also may be repaid more slowly than anticipated, causing a decrease in their market price. During periods of economic uncertainty and change, the market price of a Fund’s investments in below investment grade investments (commonly referred to as “junk bonds”) may be particularly volatile. Often below investment grade investments are subject to greater sensitivity to interest rate and economic changes than higher rated investments and can be more difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. See “Credit Risk” and “Illiquidity Risk” for more information about these risks.

A risk run by each Fund with significant investment in fixed income investments 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 investments with longer durations. In addition, in managing some Funds, GMO may seek to evaluate potential investments in part by considering the volatility of interest rates. The value of a Fund’s investments may be significantly reduced if GMO’s assessment proves incorrect.

The extent to which the market price of a fixed income investment 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 its fixed rate is locked in for a longer period of time. Floating-rate or adjustable-rate investments, 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 investments have durations that move in the opposite direction from short-term interest rates and thus tend to underperform fixed rate investments when interest rates rise but outperform them when interest rates decline. Fixed income investments paying no interest, such as zero coupon and principal-only securities, are subject to additional interest rate risk.

The market price of inflation-indexed bonds (including TIPS) typically declines during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increases during periods of declining real 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.

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 GMO waives or reduces its management fees.

Fixed income securities denominated in foreign currencies also are subject to currency risk. See “Currency Risk.”

In response to government intervention, economic or market developments, or other factors, markets for fixed income investments may experience periods of high volatility, reduced liquidity or both. During those periods, a Fund could have unusually high shareholder redemptions, requiring it to generate cash by selling portfolio assets when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value during such periods. In recent years, central banks and governmental financial regulators, including the U.S. Federal Reserve, have kept interest rates historically low by purchasing bonds. However, the U.S. Federal Reserve recently has increased interest rates and continued economic recovery and the Federal Reserve’s conclusion of its quantitative easing program increase the likelihood that interest rates will increase in the United States and throughout the financial system. A substantial increase in interest rates could have an adverse effect on prices for fixed income investments and on the performance of the Funds. Other actions by central banks or regulators (such as intervention in foreign currency markets or currency controls) also could have a material adverse effect on the Funds.

• MERGER ARBITRAGE RISK. Some Funds engage in transactions in which the Fund purchases securities at prices below the value of the consideration GMO expects the Fund to receive upon consummation of a proposed merger, exchange offer, tender offer, or other similar transaction (“merger arbitrage transactions”). The purchase price paid by the Fund may substantially exceed the market price of the securities before the announcement of the transaction.

If a Fund engages in merger arbitrage and the merger later appears unlikely to be consummated or, in fact, is not consummated or is delayed, the market price of the securities purchased by the Fund is likely to decline sharply, resulting in losses to the Fund. The risk/reward payout of merger arbitrage strategies typically is asymmetric, with the losses in failed transactions often far exceeding the

gains in successful transactions. A proposed merger can fail to be consummated for many reasons, including regulatory and antitrust restrictions, industry weakness, company specific events, failed financings, and general market declines.

Merger arbitrage strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated. A Fund’s investments in derivatives or short sales of securities to hedge or otherwise adjust long or short investment exposure in connection with a merger arbitrage may not perform as GMO expected or may otherwise reduce the Fund’s gains or increase its losses. Also, a Fund may be unable to hedge against market fluctuations or other risks. In addition, a Fund may sell securities short when GMO expects the Fund to receive the securities upon consummation of a transaction; if the Fund does not actually receive the securities, the Fund will have an unintended “naked” short position and may be required to cover its short position at a time when the securities sold short have appreciated in value, thus resulting in a loss. A Fund’s merger arbitrage transactions could result in tax inefficiencies, including larger distributions of net investment income and net realized capital gains than otherwise would be the case.

• 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 relatively few issuers. As a result, they may be subject to greater credit, market and other risks than if their investments were more diversified, and poor performance by a single investment may have a greater impact on their performance.

The following Funds are not diversified investment companies within the meaning of the 1940 Act:

• Climate Change Fund

• Emerging Domestic Opportunities Fund

• Emerging Markets Fund

• Quality Fund

• Resources Fund

• Risk Premium Fund

• Tax-Managed International Equities Fund

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. Many non-U.S. securities markets include securities of only a small number of companies in a small number of industries. As a result, the market prices of securities traded on those markets often fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to as much regulation as U.S. issuers, and the reporting, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes, and custodial costs. In addition, some countries limit a Fund’s ability to profit from short-term trading (as defined in that country).

A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no benefit. In addition, a Fund’s pursuit of a tax refund may subject it to administrative and judicial proceedings in the country where it is seeking the refund. A Fund’s decision to seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if it is entitled to one. The outcome of a Fund’s efforts to obtain a refund is inherently unpredictable. Accordingly, a refund is not typically reflected in a Fund’s net asset value until it is received or until GMO is confident that it will be received. In some cases, the amount of a refund could be material to a Fund’s net asset value. Generally, absent a determination that a refund is collectible and free from significant contingencies, a refund is not reflected in a Fund’s net asset value. See “Taxes, Non-U.S. Taxes” in the GMO Trust Statement of Additional Information for additional information. For information on possible special Singapore tax consequences of an investment in the Funds, see the Funds’ Prospectus and Statement of Additional Information.

Investing in non-U.S. securities also exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, government involvement in every country, including the U.S., or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises), 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, including the imposition of economic sanctions.

In some non-U.S. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities 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 United States. Fluctuations in currency exchange rates also affect the market prices of a Fund’s non-U.S. securities (see “Currency Risk”).

The Funds need a license to invest directly in securities traded in many non-U.S. securities 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 to invest in a particular market is terminated or suspended, to obtain exposure to that 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 GMO’s clients may preclude a Fund from obtaining a similar license. In addition, the activities of a GMO client could cause the suspension or revocation of a Fund’s license.

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 issuer assets; greater governmental involvement in the economy or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises); less governmental supervision and regulation of securities markets and participants in those markets; controls on 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; less rigorous auditing and financial reporting standards and resulting unavailability of material information about issuers; slower clearance and settlement; difficulties in obtaining and enforcing legal judgments; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries may depend predominantly on only a few industries or revenues from particular commodities and often are more volatile than the economies of developed countries.

• SMALL COMPANY RISK. Companies with smaller market capitalizations tend to have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers and depend on fewer key employees than larger companies. 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. Market risk and illiquidity risk are particularly pronounced for the securities of these companies.

Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and are taken in response to adverse market, economic, political or other conditions. 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 that are used to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Funds may use derivatives to gain long investment exposure to 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 contracts 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 GMO 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 GMO 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 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 currencies in which its equities are traded.

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). While GMO 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 Risk Premium 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 is subject to heightened risk of loss. Risk Premium 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.

A Fund’s foreign currency exposure may differ significantly from the currencies in which its equities are traded.

Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges 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 GMO 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 November 30, 2018, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use

Climate Change Fund

Emerging Domestic Opportunities Fund

Emerging Markets Fund

Foreign Small Companies Fund

International Equity Fund

Resources Fund

Risk Premium Fund

Tax-Managed International Equities Fund

U.S. Equity Fund (formerly U.S. Equity Allocation Fund)

Forward currency contracts

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

Options (Written)

Substitute for direct equity investment

X

Swap contracts

Substitute for direct equity investment

X

X

Achieve returns comparable to holding and lending a direct equity position

X

X

Rights and/or warrants

Received as a result of corporate actions

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 price 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 settled.

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 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 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. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. 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, if any, which is disclosed in the Schedule of Investments, 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 market of 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 industry models and inputs provided by primary pricing sources.

Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, basis swaps, currency swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract 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 contract 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 contract 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 contract is recorded as realized gain or loss. The periodic frequency of payments received may differ from periodic payment frequencies made and their frequencies could be monthly, quarterly, semiannually, annually or at maturity.

Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights 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). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.

Total return swap contracts 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 futures 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 contract, 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 contracts 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 contracts 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 contracts 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 OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.

The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. 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 contracts 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 valuations of derivative instruments categorized by risk exposure as of November 30, 2018:

The risks referenced in the tables below 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.

	Credit Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Emerging Domestic Opportunities Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—		$	785,741		$	—	$	—	$	785,741
Total	$	—	$	—		$	785,741		$	—	$	—	$	785,741
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(3,372,379	)	$	—	$	—	$	(3,372,379	)
Unrealized Depreciation on Futures Contracts		—		(773,092	)		—			—		—		(773,092	)
Total	$	—	$	(773,092	)	$	(3,372,379	)	$	—	$	—	$	(4,145,471	)
Emerging Markets Fund
Asset Derivatives
Swap Contracts, at value	$	—	$	91,834		$	—		$	—	$	—	$	91,834
Total	$	—	$	91,834		$	—		$	—	$	—	$	91,834
Liability Derivatives
Unrealized Depreciation on Futures Contracts	$	—	$	(5,373,519	)	$	—		$	—	$	—	$	(5,373,519	)
Total	$	—	$	(5,373,519	)	$	—		$	—	$	—	$	(5,373,519	)
Foreign Small Companies Fund
Liability Derivatives
Unrealized Depreciation on Futures Contracts	$	—	$	(12,684	)	$	—		$	—	$	—	$	(12,684	)
Total	$	—	$	(12,684	)	$	—		$	—	$	—	$	(12,684	)
International Equity Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts	$	—	$	61,835		$	—		$	—	$	—	$	61,835
Total	$	—	$	61,835		$	—		$	—	$	—	$	61,835

	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Resources Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—	$	0	§	$	—	$	—	$	—	$	0	§
Total	$	—	$	0	§	$	—	$	—	$	—	$	0	§
Risk Premium Fund
Liability Derivatives
Written Options, at value	$	—	$	(4,690,596	)	$	—	$	—	$	—	$	(4,690,596	)
Total	$	—	$	(4,690,596	)	$	—	$	—	$	—	$	(4,690,596	)
Tax-Managed International Equities Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts	$	—	$	8,226		$	—	$	—	$	—	$	8,226
Total	$	—	$	8,226		$	—	$	—	$	—	$	8,226
U.S. Equity Fund (formerly U.S. Equity Allocation Fund)
Liability Derivatives
Unrealized Depreciation on Futures Contracts	$	—	$	(70,695	)	$	—	$	—	$	—	$	(70,695	)
Total	$	—	$	(70,695	)	$	—	$	—	$	—	$	(70,695	)

§ Represents the interest in securities that were determined to have a value of zero at November 30, 2018.

Subsequent events

Effective January 1, 2019, GMO Emerging Markets Fund’s benchmark is MSCI Emerging Markets Index.

Effective December 1, 2018, GMO Emerging Domestic Opportunities Fund and GMO Emerging Market Fund’s purchase premium and redemption fees were changed from 0.80% to 0.40%.

Effective December 1, 2018, GMO Risk Premium Fund’s management fee was reduced from 0.45% to 0.25%.

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

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 90.1%
		Australia — 1.0%
	9,534	AusNet Services		10,793
	2,998	Australia & New Zealand Banking Group Ltd		59,198
	2,064	Brickworks Ltd		24,735
	6,771	Caltex Australia Ltd		136,632
	340	CIMIC Group Ltd		10,129
	1,954	Crown Resorts Ltd		16,779
	7,034	CSR Ltd		15,481
	2,583	Dexus (REIT)		19,813
	5,206	GPT Group (The) (REIT)		20,112
	4,113	Insurance Australia Group Ltd		21,954
	5,758	Mineral Resources Ltd		64,546
	52,317	Mirvac Group (REIT)		84,031
	10,897	Nine Entertainment Co Holdings Ltd		14,032
	7,145	Sandfire Resources NL		33,580
	138,497	Scentre Group (REIT)		395,929
	7,750	Stockland (REIT)		20,668
	1,810	Westpac Banking Corp		34,472
	17,862	Whitehaven Coal Ltd		56,016
		Total Australia		1,038,900
		Austria — 0.3%
	4,498	OMV AG		227,821
	1,003	Vienna Insurance Group AG Wiener Versicherung Gruppe		25,834
	1,729	voestalpine AG		57,644
	951	Zumtobel Group AG *		9,383
		Total Austria		320,682
		Belgium — 0.1%
	3,708	AGFA-Gevaert NV *		15,958
	168	Barco NV		18,846
	365	KBC Group NV		26,255
		Total Belgium		61,059
		Brazil — 3.0%
	45,239	Banco Bradesco SA		393,092
	17,400	Banco do Brasil SA		201,030
	85,500	Banco Santander Brasil SA		945,356
	65,200	Cia de Saneamento Basico do Estado de Sao Paulo		476,225
	4,400	Cia de Saneamento Basico do Estado de Sao Paulo ADR		31,812
	14,100	Cia de Saneamento de Minas Gerais-COPASA		186,848
	295,200	JBS SA		899,167
	3,800	Mahle-Metal Leve SA		23,978
	18,200	MRV Engenharia e Participacoes SA		57,107
	12,754	Sul America SA		88,755
	23,400	Via Varejo SA		31,362
		Total Brazil		3,334,732

Shares		Description	Value ($)
		China — 12.7%
	442,000	Agile Group Holdings Ltd		603,951
	2,414,000	Agricultural Bank of China Ltd – Class H		1,097,347
	266,500	BAIC Motor Corp Ltd – Class H		164,124
	323,000	Bank of China Ltd – Class H		141,614
	829,000	Bank of Communications Co Ltd – Class H		632,252
	298,000	China Cinda Asset Management Co Ltd – Class H		80,247
	1,032,000	China CITIC Bank Corp Ltd – Class H		657,323
	29,000	China Communications Construction Co Ltd – Class H		28,314
	408,000	China Communications Services Corp Ltd – Class H		341,720
	494,000	China Construction Bank Corp – Class H		421,779
	4,000	China Everbright Ltd		7,491
	566,000	China Huarong Asset Management Co Ltd – Class H		116,847
	91,000	China Lesso Group Holdings Ltd		46,829
	35,000	China Lilang Ltd		28,654
	4,100	China Mobile Ltd Sponsored ADR		203,934
	1,470,000	China Petroleum & Chemical Corp – Class H		1,258,322
	62,000	China Pioneer Pharma Holdings Ltd *		10,154
	620,000	China Railway Construction Corp Ltd – Class H		796,395
	414,000	China Railway Group Ltd – Class H		381,503
	10,000	China Resources Cement Holdings Ltd		9,849
	16,000	China Resources Land Ltd		59,560
	182,500	China Resources Pharmaceutical Group Ltd		269,051
	58,000	China SCE Group Holdings Ltd		20,860
	291,000	China Shenhua Energy Co Ltd – Class H		651,850
	64,000	China Shineway Pharmaceutical Group Ltd		80,037
	2,034,000	China Telecom Corp Ltd – Class H		1,102,942
	52,000	China Travel International Investment Hong Kong Ltd		14,494
	1,200	China Yuchai International Ltd		16,860
	466,000	Chongqing Rural Commercial Bank Co Ltd – Class H		273,503
	99,000	Dah Chong Hong Holdings Ltd		37,009
	600,000	Dongfeng Motor Group Co Ltd – Class H		580,391
	21,000	Far East Horizon Ltd		20,938
	272,400	Guangzhou R&F Properties Co Ltd – Class H		424,765
	278,000	Haier Electronics Group Co Ltd *		651,156
	36,000	Hua Hong Semiconductor Ltd		76,914
	97,000	Kingboard Holdings Ltd		278,774
	78,500	Kingboard Laminates Holdings Ltd		75,195
	565,000	Lonking Holdings Ltd		147,578
	38,000	Maanshan Iron & Steel Co Ltd – Class H		17,601
	43,000	Nexteer Automotive Group Ltd		65,180
	84,000	People’s Insurance Co Group of China Ltd (The) – Class H		36,408
	18,000	PICC Property & Casualty Co Ltd – Class H		18,568
	580,000	Postal Savings Bank of China Co Ltd – Class H		351,951
	21,000	Road King Infrastructure Ltd		35,825
	19,000	Shandong Chenming Paper Holdings Ltd – Class H		11,165
	47,000	Shanghai Industrial Holdings Ltd		102,828
	54,700	Shanghai Pharmaceuticals Holding Co Ltd – Class H		135,400

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		China — continued
	305,500	Shimao Property Holdings Ltd		760,762
	17,000	Sinotruk Hong Kong Ltd		28,029
	78,000	Tianneng Power International Ltd		71,436
	17,000	Uni-President China Holdings Ltd		15,535
	322,000	Weichai Power Co Ltd – Class H		348,228
	63,500	XTEP International Holdings Ltd		34,098
	96,000	Yuzhou Properties Co Ltd		42,358
		Total China		13,885,898
		Colombia — 0.0%
	10,111	Ecopetrol SA		9,708
		Denmark — 0.0%
	94	Schouw & Co AB		7,741
		Egypt — 0.0%
	15,874	Talaat Moustafa Group		8,607
		Finland — 0.4%
	1,766	Fortum Oyj		36,877
	337	Kesko Oyj – B Shares		19,641
	336	Metso Oyj		9,616
	1,875	Neste Oyj		146,791
	518	Orion Oyj – Class B		17,338
	3,149	Stora Enso Oyj – R Shares		40,255
	4,918	UPM-Kymmene Oyj		131,357
		Total Finland		401,875
		France — 1.6%
	181	ArcelorMittal		4,140
	602	AXA SA		14,660
	1,891	BNP Paribas SA		95,114
	4,026	CNP Assurances		92,234
	2,131	Coface SA		19,838
	22	Covivio (REIT)		2,145
	5,866	Credit Agricole SA		72,902
	374	Kaufman & Broad SA		14,296
	1,382	Metropole Television SA		24,536
	10,168	Natixis SA		56,270
	1,438	Neopost SA		39,833
	430	Nexity SA		21,104
	8,012	Peugeot SA		176,280
	1,069	Rallye SA		11,639
	129	Renault SA		9,080
	10,584	Sanofi		959,549
	500	Sanofi ADR		22,675
	256	Schneider Electric SE		18,660
	1,061	Societe Generale SA		38,965
	205	TOTAL SA		11,402
	75	Wendel SA		9,123
		Total France		1,714,445

Shares		Description	Value ($)
		Germany — 3.2%
	3,147	Allianz SE (Registered)		667,327
	231	Axel Springer SE		14,768
	4,456	BASF SE		325,854
	462	Bayer AG (Registered)		33,902
	7,490	Bayerische Motoren Werke AG		615,029
	634	Covestro AG		36,723
	2,784	Daimler AG (Registered Shares)		157,406
	14,838	Deutsche Lufthansa AG (Registered)		363,013
	5,520	Deutsche Pfandbriefbank AG		66,051
	735	Evonik Industries AG		19,850
	2,620	Knorr-Bremse AG *		244,674
	7,163	SAP AG		741,919
	591	Software AG		24,210
	1,216	Volkswagen AG		202,232
		Total Germany		3,512,958
		Greece — 0.0%
	6,562	FF Group * (a)		—
		Hong Kong — 0.5%
	20,500	BOC Hong Kong Holdings Ltd		80,266
	6,000	Cathay Pacific Airways Ltd		8,674
	23,000	CK Asset Holdings Ltd		166,128
	1,500	CLP Holdings Ltd		16,559
	12,000	First Pacific Co Ltd		4,627
	800	Hang Seng Bank Ltd		18,527
	14,000	HK Electric Investments & HK Electric Investments Ltd – Class SS		13,432
	14,500	Kerry Properties Ltd		49,980
	96,000	Li & Fung Ltd		19,698
	8,000	NWS Holdings Ltd		16,867
	4,000	PCCW Ltd		2,351
	38,000	SJM Holdings Ltd		34,471
	13,000	Wharf Real Estate Investment Co Ltd		78,406
	4,000	Yue Yuen Industrial Holdings Ltd		11,656
		Total Hong Kong		521,642
		Hungary — 0.0%
	26,274	Magyar Telekom Telecommunications Plc		41,392
		India — 2.9%
	29,389	Firstsource Solutions Ltd		21,970
	29,712	HCL Technologies Ltd		433,840
	1,863	Hero MotoCorp Ltd		81,672
	2,840	Hexaware Technologies Ltd		13,208
	608	Ipca Laboratories Ltd		6,939
	44,554	ITC Ltd		183,064
	1,960	Jubilant Life Sciences Ltd		21,924
	17,728	Karnataka Bank Ltd (The)		26,405
	14,598	KPIT Technologies Ltd		43,794
	6,481	Larsen & Toubro Infotech Ltd		144,685
	50,004	Mahindra & Mahindra Ltd		568,212

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		India — continued
	10,336	Mindtree Ltd		130,827
	10,246	Mphasis Ltd		145,924
	8,672	NIIT Technologies Ltd		136,020
	85,599	Oil & Natural Gas Corp Ltd		171,404
	188,731	Power Finance Corp Ltd		234,044
	48,079	PTC India Ltd		55,816
	211,562	REC Ltd		305,149
	29,070	Reliance Capital Ltd		94,614
	9,947	Reliance Infrastructure Ltd		47,124
	648	Tata Consultancy Services Ltd		18,390
	19,215	Tata Global Beverages Ltd		60,012
	13,254	Tata Steel Ltd		100,692
	12,321	Tech Mahindra Ltd		125,289
		Total India		3,171,018
		Indonesia — 0.1%
	9,400	Gudang Garam Tbk PT		54,039
	62,700	Indo Tambangraya Megah Tbk PT		93,366
		Total Indonesia		147,405
		Ireland — 0.0%
	820	Bank of Ireland Group Plc		5,206
		Israel — 0.2%
	80	Azrieli Group Ltd		4,022
	11,347	Bank Leumi Le-Israel BM		74,670
	10,565	Bezeq The Israeli Telecommunication Corp Ltd		12,198
	1,075	First International Bank of Israel Ltd		24,255
	2,738	Harel Insurance Investments & Financial Services Ltd		21,254
	2,729	Israel Chemicals Ltd		16,013
	687	Teva Pharmaceutical Industries Ltd *		14,774
		Total Israel		167,186
		Italy — 1.3%
	39,704	A2A SPA		66,913
	792	ASTM SPA		15,060
	6,300	Enav SPA		29,992
	28,353	Enel SPA		154,242
	1,572	ERG SPA		28,653
	5,599	EXOR NV		330,204
	13,900	Fiat Chrysler Automobiles NV *		230,601
	14,171	FinecoBank Banca Fineco SPA		152,360
	29,841	Iren SPA		64,920
	8,086	Mediobanca Banca di Credito Finanziario SPA		71,405
	22,292	Poste Italiane SPA		169,453
	8,179	Societa Cattolica di Assicurazioni SC		67,496
	2,705	Societa Iniziative Autostradali e Servizi SPA		36,506
	55,090	Telecom Italia SPA-RSP		31,051
		Total Italy		1,448,856

Shares		Description	Value ($)
		Japan — 7.1%
	600	AEON Financial Service Co Ltd		11,629
	4,900	Aisin Seiki Co Ltd		194,130
	1,300	Alfresa Holdings Corp		34,615
	29,500	Asahi Kasei Corp		323,798
	14,500	Canon Inc		411,482
	200	Central Japan Railway Co		41,183
	900	Chugoku Bank Ltd (The)		8,392
	1,500	Chugoku Electric Power Co Inc (The)		18,956
	100	Daiichi Sankyo Co Ltd		3,678
	800	DIC Corp		25,475
	400	Eisai Co Ltd		36,834
	4,700	Fuji Electric Co Ltd		148,183
	4,400	FUJIFILM Holdings Corp		175,116
	800	Fukuoka Financial Group Inc		18,299
	2,300	Gree Inc		10,064
	6,100	Hachijuni Bank Ltd (The)		28,074
	400	Hakuhodo DY Holdings Inc		6,127
	4,200	Hiroshima Bank Ltd (The)		25,325
	600	Hisamitsu Pharmaceutical Co Inc		38,394
	7,000	Hitachi Ltd		203,850
	900	Hokuriku Electric Power Co *		8,020
	16,700	Honda Motor Co Ltd		471,123
	1,200	Ibiden Co Ltd		16,725
	1,800	Isuzu Motors Ltd		25,657
	36,100	ITOCHU Corp		642,570
	4	Japan Prime Realty Investment Corp (REIT)		15,629
	5,300	JXTG Holdings Inc		32,141
	500	Kamigumi Co Ltd		11,258
	600	Kaneka Corp		22,497
	17,800	KDDI Corp		418,241
	5,200	Kirin Holdings Co Ltd		122,563
	500	Kitz Corp		4,277
	6,100	Konica Minolta Inc		55,068
	1,400	Kurita Water Industries Ltd		37,634
	500	Kyowa Hakko Kirin Co Ltd		10,280
	900	Kyushu Financial Group Inc		4,223
	21,800	Marubeni Corp		162,907
	300	Maruichi Steel Tube Ltd		8,910
	9,980	Mebuki Financial Group Inc		30,205
	55,900	Mitsubishi Chemical Holdings Corp		458,568
	10,200	Mitsubishi Corp		275,669
	23,400	Mitsubishi Electric Corp		309,789
	1,500	Mitsubishi Gas Chemical Co Inc		24,703
	3,100	Mitsubishi Motors Corp		19,085
	7,900	Mitsubishi Tanabe Pharma Corp		121,490
	3,800	Mitsubishi UFJ Lease & Finance Co Ltd		20,777
	300	Mitsui & Co Ltd		4,701
	800	Mitsui Chemicals Inc		20,364
	4,300	NEC Corp		133,519
	2,100	NET One Systems Co Ltd		43,596
	1,000	Nichiha Corp		27,448
	17,300	Nippon Telegraph & Telephone Corp		713,643

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	1,200	Nippon Flour Mills Co Ltd		20,520
	3,400	Nisshin Seifun Group Inc		71,681
	2,100	Nomura Real Estate Holdings Inc		41,493
	140	Nomura Research Institute Ltd		6,163
	4,100	NTT DOCOMO Inc		95,118
	2,000	Oji Holdings Corp		11,693
	3,500	Resona Holdings Inc		18,610
	200	Sankyo Co Ltd		8,011
	2,900	SBI Holdings Inc		65,933
	3,400	Seiko Epson Corp		54,092
	2,500	Sekisui Chemical Co Ltd		40,675
	1,000	Shinsei Bank Ltd		13,761
	4,700	Showa Denko KK		188,605
	2,400	Showa Shell Sekiyu KK		37,243
	40,500	Sojitz Corp		143,778
	51,400	Sumitomo Chemical Co Ltd		279,806
	1,000	Sumitomo Corp		15,385
	2,200	Sumitomo Dainippon Pharma Co Ltd		71,951
	200	Sumitomo Heavy Industries Ltd		6,667
	4,700	Sumitomo Mitsui Financial Group Inc		173,030
	500	Sumitomo Mitsui Trust Holdings Inc		20,087
	1,250	Suzuken Co Ltd		67,312
	100	Taisho Pharmaceutical Holdings Co Ltd		11,585
	1,000	Teijin Ltd		17,287
	800	Tocalo Co Ltd		7,004
	1,200	Tohoku Electric Power Co Inc		15,708
	900	Tokio Marine Holdings Inc		44,459
	400	Tokyo Electric Power Co Holdings Inc *		2,432
	100	Tokyo Electron Ltd		14,117
	100	Toyoda Gosei Co Ltd		1,934
	3,600	Toyota Tsusho Corp		124,462
	600	USS Co Ltd		10,654
	1,000	Yokohama Rubber Co Ltd (The)		20,971
		Total Japan		7,759,111
		Malaysia — 0.2%
	11,600	AirAsia Berhad		8,561
	16,800	Alliance Financial Group Berhad		16,488
	3,800	Hong Leong Financial Group Berhad		17,554
	32,375	IOI Properties Group Berhad		12,633
	24,800	Petronas Chemicals Group Berhad		54,598
	12,300	RHB Capital Berhad * (b)		—
	71,900	Supermax Corp Berhad		59,137
	7,800	UMW Holdings Bhd		9,433
	8,600	Westports Holdings Berhad		7,752
		Total Malaysia		186,156
		Mexico — 0.9%
	390,400	Wal-Mart de Mexico SAB de CV		967,093

Shares		Description	Value ($)
		Netherlands — 1.0%
	5,211	ABN AMRO Group NV CVA		132,941
	1,328	ASR Nederland NV		57,382
	53,797	ING Groep NV		651,574
	7,953	Koninklijke Ahold Delhaize NV		204,950
	457	Koninklijke Philips NV		17,330
	2,783	Signify NV		74,261
		Total Netherlands		1,138,438
		New Zealand — 0.0%
	3,835	Contact Energy Ltd		15,492
	6,852	Meridian Energy Ltd		15,590
		Total New Zealand		31,082
		Norway — 0.9%
	889	Aker ASA – A Shares		50,855
	2,486	Austevoll Seafood ASA		34,447
	22,587	DNB ASA		388,047
	16,911	Equinor ASA		396,138
	1,069	Gjensidige Forsikring ASA		16,727
	1,753	Marine Harvest ASA		41,154
	3,762	Storebrand ASA		29,562
	3,757	Subsea 7 SA		40,639
		Total Norway		997,569
		Philippines — 0.0%
	555	Globe Telecom Inc		20,885
	2,240	International Container Terminal Services Inc		3,994
	188,000	Megaworld Corp		16,188
	27,300	Robinsons Land Corp		10,646
		Total Philippines		51,713
		Poland — 0.1%
	2,301	Asseco Poland SA		29,191
	510	Bank Handlowy w Warszawie SA		9,268
	45,966	Energa SA *		110,506
		Total Poland		148,965
		Portugal — 0.0%
	41,678	Sonae SGPS SA		39,556
		Qatar — 0.0%
	1,134	Barwa Real Estate Co		11,919
		Russia — 1.7%
	226,082	Gazprom PJSC Sponsored ADR		1,078,853
	319,000	Inter RAO UES PJSC		19,478
	9,754	LUKOIL PJSC Sponsored ADR		719,795
	2,826	Sistema PJSC Sponsered GDR (Registered)		7,234
		Total Russia		1,825,360

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Singapore — 0.1%
	18,700	Golden Agri-Resources Ltd		3,337
	27,900	Hutchison Port Holdings Trust – Class U		7,278
	2,955	Oversea-Chinese Banking Corp Ltd		24,367
	5,600	Singapore Press Holdings Ltd		10,809
	12,900	Suntec Real Estate Investment Trust		16,597
	1,600	United Overseas Bank Ltd		29,378
	2,600	UOL Group Ltd		11,627
	38,400	Yangzijiang Shipbuilding Holdings Ltd		34,972
		Total Singapore		138,365
		South Africa — 3.3%
	83,786	Absa Group Ltd		931,227
	6,329	Imperial Holdings Ltd		28,951
	34,552	Liberty Holdings Ltd		266,634
	21,583	Metair Investments Ltd		29,460
	160,921	MMI Holdings Ltd *		201,383
	3,731	Mondi Ltd		82,043
	6,329	Motus Holdings Ltd *		39,731
	47,857	Nedbank Group Ltd		915,957
	1,117	Omnia Holdings Ltd		6,598
	16,044	Reunert Ltd		85,086
	69,033	Standard Bank Group Ltd		872,117
	16,048	Telkom SA SOC Ltd		65,693
	7,412	Wilson Bayly Holmes-Ovcon Ltd		77,932
		Total South Africa		3,602,812
		South Korea — 3.6%
	714	Daelim Industrial Co Ltd		60,419
	43	DB Insurance Co Ltd		2,597
	2,890	DGB Financial Group Inc		22,742
	90	GS Home Shopping Inc		15,710
	10,797	Hana Financial Group Inc		363,005
	592	Hankook Tire Co Ltd		22,621
	19,711	Hanwha Life Insurance Co Ltd		78,120
	4,946	Hyundai Marine & Fire Insurance Co Ltd		176,646
	60,510	Industrial Bank of Korea		801,558
	238	KB Financial Group Inc		10,031
	7,284	Kia Motors Corp		198,310
	2,511	Korea United Pharm Inc		53,595
	4,781	Korean Reinsurance Co		38,061
	6,057	Kwang Dong Pharmaceutical Co Ltd		37,176
	1,828	LF Corp		39,417
	7,261	LG Corp		468,504
	2,602	LOTTE Himart Co Ltd		121,787
	795	LS Corp		37,636
	1,163	Samjin Pharmaceutical Co Ltd		45,089
	3,388	Samsung Electronics Co Ltd		126,952
	13,800	Shinhan Financial Group Co Ltd		509,162
	266	SK Holdings Co Ltd		66,984
	17,700	SK Telecom Co Ltd Sponsored ADR		502,149
	11,728	Woori Bank *		164,261
		Total South Korea		3,962,532

Shares		Description	Value ($)
		Spain — 0.3%
	530	ACS Actividades de Construccion y Servicios SA		20,373
	20	Banco Santander SA		95
	6,537	Endesa SA		146,047
	24,596	International Consolidated Airlines Group SA		197,200
	184	Repsol SA		3,170
		Total Spain		366,885
		Sweden — 1.2%
	7,549	Alfa Laval AB		162,862
	1,559	Granges AB		15,835
	1,803	Hemfosa Fastigheter AB		14,266
	602	ICA Gruppen AB		21,868
	598	Loomis AB – Class B		20,156
	2,931	Nordea Bank Abp		26,031
	1,803	Nyfosa AB *		8,437
	629	Oriflame Holding AG		15,871
	6,684	Resurs Holding AB		43,175
	8,158	Sandvik AB		121,155
	1,925	Skandinaviska Enskilda Banken AB – Class A		20,080
	3,604	SKF AB – B Shares		57,030
	4,256	SSAB AB – Series A		15,275
	25,752	Svenska Cellulosa AB SCA – Class B		207,601
	17,129	Swedbank AB – A Shares		398,481
	2,308	Telefonaktiebolaget LM Ericsson – B Shares		19,371
	12,738	Volvo AB – B Shares		177,738
		Total Sweden		1,345,232
		Switzerland — 3.4%
	456	BKW AG		31,041
	139	Bucher Industries AG (Registered)		37,968
	40	Inficon Holding AG (Registered) *		18,944
	7,802	Nestle SA (Registered)		665,612
	17,040	Novartis AG (Registered)		1,555,776
	200	Novartis AG Sponsored ADR		18,306
	92	Pargesa Holding SA		6,378
	4,520	Roche Holding AG – Genusschein		1,173,319
	552	Zurich Insurance Group AG		173,508
		Total Switzerland		3,680,852
		Taiwan — 5.8%
	70,000	Asia Vital Components Co Ltd		53,221
	61,000	Asustek Computer Inc		433,178
	9,000	Cathay Financial Holding Co Ltd		14,242
	340	Chang Hwa Commercial Bank Ltd		194
	7,000	China Airlines Ltd		2,506
	54,000	China Development Financial Holding Corp		17,612
	78,775	China Life Insurance Co Ltd		74,917
	69,000	Coretronic Corp		90,160
	250,000	CTBC Financial Holding Co Ltd		166,544
	7,700	Elan Microelectronics Corp		17,758
	37,040	Eva Airways Corp		19,405

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	64,000	Far Eastern New Century Corp		59,333
	72,000	Formosa Chemicals & Fibre Corp		250,094
	92,000	Formosa Plastics Corp		299,791
	127,000	Fubon Financial Holding Co Ltd		201,846
	136,000	Gigabyte Technology Co Ltd		172,729
	242,000	Grand Pacific Petrochemical		176,431
	57,000	Holtek Semiconductor Inc		109,511
	45,000	Inventec Corp		32,402
	56,000	Lite-On Semiconductor Corp		57,593
	11,000	Micro-Star International Co Ltd		26,069
	178,210	Mitac Holdings Corp		163,969
	369,000	Nan Ya Plastics Corp		892,892
	117,000	Novatek Microelectronics Corp		495,684
	28,000	Phison Electronics Corp		228,989
	376,000	Pou Chen Corp		410,076
	134,000	Radiant Opto-Electronics Corp		368,384
	264,094	Shin Kong Financial Holding Co Ltd		90,041
	7,000	Simplo Technology Co Ltd		42,729
	15,000	Sitronix Technology Corp		54,315
	165,350	Synnex Technology International Corp		195,210
	97,385	Taiwan Business Bank		33,432
	18,331	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		689,062
	3,000	Transcend Information Inc		6,658
	35,000	Uni-President Enterprises Corp		82,341
	12,000	United Integrated Services Co Ltd (a)		25,008
	117,000	Walsin Lihwa Corp		70,572
	45,000	WPG Holdings Ltd		54,942
	372,000	Yuanta Financial Holding Co Ltd		190,258
		Total Taiwan		6,370,098
		Thailand — 1.9%
	28,100	Com7 Pcl (Foreign Registered)		16,304
	227,400	Indorama Ventures Pcl (Foreign Registered)		374,919
	21,000	Krung Thai Bank Pcl (Foreign Registered)		12,925
	381,000	PTT Global Chemical Pcl (Foreign Registered)		913,686
	456,800	PTT Pcl (Foreign Registered)		686,934
	236,600	Quality Houses Pcl (Foreign Registered)		21,336
	54,500	Thanachart Capital Pcl (Foreign Registered)		88,244
		Total Thailand		2,114,348
		Turkey — 0.9%
	175,125	KOC Holding AS		515,394
	1,778	TAV Havalimanlari Holding AS		7,995
	475,181	Turkiye Is Bankasi – Class C		388,636
	44,778	Turkiye Vakiflar Bankasi TAO – Class D		34,494
		Total Turkey		946,519
		United Kingdom — 6.5%
	24,450	3i Group Plc		261,181
	5,386	888 Holdings Plc		11,312
	531	AstraZeneca Plc		41,348

Shares		Description	Value ($)
		United Kingdom — continued
	700	AstraZeneca Plc Sponsored ADR		27,874
	13,969	Barratt Developments Plc		82,595
	3,185	Bellway Plc		103,372
	1,850	Berkeley Group Holdings Plc (The)		76,247
	152	BHP Group Plc		2,927
	500	BP Plc Sponsored ADR		20,175
	13,429	British American Tobacco Plc		470,174
	400	British American Tobacco Plc Sponsored ADR		13,948
	2,117	Britvic Plc		23,134
	9,151	Cobham Plc *		11,961
	11,295	Compass Group Plc		242,221
	9,654	Direct Line Insurance Group Plc		40,450
	1,788	easyJet Plc		25,431
	4,185	Electrocomponents Plc		27,508
	2,862	Evraz Plc		16,679
	12,309	Ferrexpo Plc		27,669
	654	Galliford Try Plc		6,008
	22,500	GlaxoSmithKline Plc Sponsored ADR		942,075
	4,999	Grainger Plc		16,173
	45,789	HSBC Holdings Plc		389,460
	4,100	HSBC Holdings Plc Sponsored ADR		174,414
	8,754	IG Group Holdings Plc		66,148
	1,103	Imperial Brands Plc		33,999
	5,193	Investec Plc		31,659
	6,818	J Sainsbury Plc		26,568
	1,649	Land Securities Group Plc (REIT)		17,147
	170,328	Legal & General Group Plc		533,416
	599,897	Lloyds Banking Group Plc		424,601
	1,227	Meggitt Plc		8,135
	1,812	Mondi Plc		39,679
	2,990	Northgate Plc		14,743
	1,804	Pearson Plc		22,214
	11,204	Persimmon Plc		272,321
	5,012	Plus500 Ltd		97,139
	15,832	QinetiQ Group Plc		60,139
	10,256	Quilter Plc		15,217
	10,239	Reckitt Benckiser Group Plc		852,311
	2,867	Royal Dutch Shell Plc A Shares (London)		86,865
	206	Royal Dutch Shell Plc B Shares (London)		6,308
	11,628	Royal Dutch Shell Plc – Class A		351,721
	900	Royal Dutch Shell Plc – Class A Sponsored ADR		54,360
	900	Royal Dutch Shell Plc – Class B Sponsored ADR		55,827
	21,905	Royal Mail Plc		89,617
	1,785	Savills Plc		16,577
	5,923	Segro Plc (REIT)		45,698
	2,321	Spectris Plc		71,066
	9,300	Taylor Wimpey Plc		15,952
	5,174	TUI AG		73,912
	11,908	Unilever Plc		645,345
	5,365	Vesuvius Plc		36,202
	26,154	William Hill Plc		54,105
		Total United Kingdom		7,173,327

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		United States — 23.9%
	5,556	3M Co.		1,155,204
	6,571	Abbott Laboratories		486,583
	5,700	Accenture Plc – Class A		937,764
	1,900	Alphabet, Inc. – Class C *		2,079,417
	7,729	American Express Co.		867,735
	2,800	Amphenol Corp. – Class A		246,232
	2,813	Anthem, Inc.		815,967
	10,875	Apple, Inc.		1,942,058
	1,579	Becton Dickinson and Co.		399,092
	200	Booking Holdings, Inc. *		378,376
	17,281	Cisco Systems, Inc.		827,241
	11,067	Coca-Cola Co. (The)		557,777
	9,520	Cognizant Technology Solutions Corp. – Class A		678,110
	4,314	Costco Wholesale Corp.		997,742
	3,122	Facebook, Inc. – Class A *		438,984
	2,300	Honeywell International, Inc.		337,525
	7,400	Johnson & Johnson		1,087,060
	1,262	Mastercard, Inc. – Class A		253,750
	10,367	Medtronic Plc		1,011,094
	12,311	Merck & Co., Inc.		976,755
	15,351	Microsoft Corp.		1,702,272
	32,079	Oracle Corp.		1,564,172
	1,566	PepsiCo, Inc.		190,958
	4,884	Philip Morris International, Inc.		422,613
	5,293	QUALCOMM, Inc.		308,370
	7,805	Texas Instruments, Inc.		779,329
	13,432	TJX Cos., Inc. (The)		656,153
	4,218	UnitedHealth Group, Inc.		1,186,776
	5,189	United Technologies Corp.		632,228
	18,287	US Bancorp		995,910
	1,800	Visa, Inc. – Class A		255,078
	18,323	Wells Fargo & Co.		994,572
		Total United States		26,162,897
		TOTAL COMMON STOCKS (COST $102,445,992)		98,820,139
		PREFERRED STOCKS (c) — 0.9%
		Brazil — 0.1%
	1,368	Banco Bradesco SA		13,615
	24,700	Banco do Estado do Rio Grande do Sul SA – Class B		139,431
		Total Brazil		153,046
		Colombia — 0.0%
	37,891	Grupo Aval Acciones y Valores SA		12,126
		Germany — 0.3%
	136	Draegerwerk AG & Co KGaA		7,434
	243	Sixt SE		16,581
	2,036	Volkswagen AG		345,564
		Total Germany		369,579

Shares / Par Value†		Description	Value ($)
		South Korea — 0.5%
	12,700	Samsung Electronics Co Ltd		384,103
	148	Samsung Electronics Co Ltd GDR		111,112
		Total South Korea		495,215
		TOTAL PREFERRED STOCKS (COST $1,004,551)		1,029,966
		DEBT OBLIGATIONS — 4.6%
		United States — 4.6%
	5,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.43%, due 10/31/20 (d)		4,999,606
		TOTAL DEBT OBLIGATIONS (COST $5,000,756)		4,999,606
		RIGHTS/WARRANTS — 0.0%
		Thailand — 0.0%
	3,633	BTS Group Holdings Pcl (Foreign Registered), Expires 12/31/19 * (b)		—
		TOTAL RIGHTS/WARRANTS (COST $0)		—
		MUTUAL FUNDS — 3.5%
		United States — 3.5%
		Affiliated Issuers — 3.5%
	154,682	GMO U.S. Treasury Fund		3,863,956
		TOTAL MUTUAL FUNDS (COST $3,863,956)		3,863,956
		SHORT-TERM INVESTMENTS — 1.2%
		Money Market Funds — 0.3%
	315,022	State Street Institutional Treasury Money Market Fund-Premier Class, 2.19% (e)		315,022
		U.S. Government — 0.9%
	1,000,000	U.S. Treasury Bill, 2.11%, due 01/10/19 (d) (f)		997,641
		TOTAL SHORT-TERM INVESTMENTS (COST $1,312,690)		1,312,663
		TOTAL INVESTMENTS — 100.3% (Cost $113,627,945)		110,026,330
		Other Assets and Liabilities (net) — (0.3%)		(353,276	)
		TOTAL NET ASSETS — 100.0%		$109,673,054

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2018 (Unaudited)

A summary of outstanding financial instruments at November 30, 2018 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Apprecia- tion (Deprecia- tion) ($)
01/15/2019	SSB		AUD	1,522,583		USD	1,085,073		(28,587	)
01/14/2019	MSCI		CHF	1,053,392		USD	1,070,783		11,445
02/19/2019	GS		EUR	7,401,451		USD	8,447,057		8,408
02/19/2019	JPM		GBP	3,667,592		USD	4,719,285		26,212
02/19/2019	MSCI		JPY	891,454,608		USD	7,938,259		30,259
01/14/2019	BOA		NOK	9,007,252		USD	1,103,357		53,248
01/14/2019	BCLY		SEK	11,817,548		USD	1,309,021		5,376
								$	106,361

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
736	S&P 500 E-Mini	December 2018	$	101,505,440	$	4,894,734

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2018, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

ADR - American Depositary Receipt

CVA - Certificaaten van aandelen (Share Certificates)

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

USBM - U.S. Treasury 3 Month Bill Money Market Yield.

The rates shown on variable rate notes are the current interest rates at November 30, 2018, which are subject to change based on the terms of the security.

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs.

(b) Investment valued using significant unobservable inputs.

(c) Preferred dividend rates are disclosed to the extent that a stated rate exists.

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

(e) The rate disclosed is the 7 day net yield as of November 30, 2018.

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

Counterparty Abbreviations:

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

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

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

SEK - Swedish Krona

USD - United States Dollar

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	15,372,584	GMO Emerging Country Debt Fund, Class IV		408,910,729
	7,289,286	GMO High Yield Fund, Class VI		147,097,798
	676,770,983	GMO Implementation Fund		8,967,215,530
	21,492,342	GMO Opportunistic Income Fund, Class VI		578,143,994
	10,725,309	GMO Risk Premium Fund, Class VI		291,728,407
	27,710,969	GMO SGM Major Markets Fund, Class VI		867,076,222
	16,406,326	GMO Special Opportunities Fund, Class VI		292,852,911
		TOTAL MUTUAL FUNDS (COST $11,532,236,226)		11,553,025,591
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	6,812,034	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 2.16% (a)		6,812,034
		TOTAL SHORT-TERM INVESTMENTS (COST $6,812,034)		6,812,034
		TOTAL INVESTMENTS — 100.1% (Cost $11,539,048,260)		11,559,837,625
		Other Assets and Liabilities (net) — (0.1%)		(5,965,442	)
		TOTAL NET ASSETS — 100.0%		$11,553,872,183

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2018.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 41.2%
		Australia — 0.9%
	15,157	Altium Ltd		252,914
	14,704	Appen Ltd		150,882
	29,013	Australia & New Zealand Banking Group Ltd		572,882
	213,586	Beach Energy Ltd		239,707
	12,054	Brickworks Ltd		144,455
	219,706	Caltex Australia Ltd		4,433,444
	15,707	Charter Hall Education Trust (REIT)		33,324
	57,766	Charter Hall Group (REIT)		296,005
	40,010	Codan Ltd		86,658
	1,896	Coles Group Ltd *		16,228
	122,560	Costa Group Holdings Ltd		684,851
	6,687	Credit Corp Group Ltd		94,317
	97,130	Cromwell Property Group (REIT)		70,397
	22,322	Crown Resorts Ltd		191,679
	34,948	CSL Ltd		4,556,045
	151,754	CSR Ltd		333,999
	438,040	Downer EDI Ltd		2,016,553
	33,484	GDI Property Group (REIT)		31,011
	150,908	Genworth Mortgage Insurance Australia Ltd		248,842
	9,239	IDP Education Ltd		62,041
	103,533	Macquarie Group Ltd		8,712,494
	3,238	McMillan Shakespeare Ltd		33,581
	109,067	Mineral Resources Ltd		1,222,627
	33,169	Mirvac Group (REIT)		53,275
	3,161	Monadelphous Group Ltd		32,599
	450,275	Nine Entertainment Co Holdings Ltd		579,813
	147,511	OZ Minerals Ltd		937,841
	223,239	Sandfire Resources NL		1,049,187
	79,172	Saracen Mineral Holdings Ltd *		143,131
	604,848	Scentre Group (REIT)		1,729,113
	92,633	Seven West Media Ltd *		46,371
	5,731	St Barbara Ltd		18,598
	91,544	Stockland (REIT)		244,137
	33,374	Super Retail Group Ltd		179,108
	13,028	Virtus Health Ltd		46,748
	187,800	Viva Energy Group Ltd *		271,692
	57,008	Viva Energy REIT		86,387
	1,896	Wesfarmers Ltd		43,909
	87,466	Whitehaven Coal Ltd		274,298
	6,269	WiseTech Global Ltd		86,491
	25,340	WPP AUNZ Ltd		11,474
		Total Australia		30,319,108
		Austria — 0.1%
	65,732	OMV AG		3,329,279
	3,242	POLYTEC Holding AG		33,384
	5,220	S IMMO AG		92,317
	3,638	Vienna Insurance Group AG Wiener Versicherung Gruppe		93,703

Shares		Description	Value ($)
		Austria — continued
	1,836	voestalpine AG		61,212
		Total Austria		3,609,895
		Belgium — 0.0%
	17,832	AGFA-Gevaert NV *		76,744
	4,316	Barco NV		484,176
	1,729	D’ieteren SA		69,464
	8,507	KBC Group NV		611,911
	2,862	UCB SA		241,193
		Total Belgium		1,483,488
		Brazil — 1.5%
	295,600	Banco BTG Pactual SA		1,693,168
	363,500	Banco do Brasil SA		4,199,682
	862,400	Banco Santander Brasil SA		9,535,377
	1,029,900	Cia de Saneamento Basico do Estado de Sao Paulo		7,522,464
	110,400	Cia de Saneamento Basico do Estado de Sao Paulo ADR		798,192
	54,700	Cia de Saneamento de Minas Gerais-COPASA		724,862
	13,200	Construtora Tenda SA *		104,996
	15,100	EDP – Energias do Brasil SA		53,457
	250,200	Estacio Participacoes SA		1,602,282
	178,700	Grendene SA		358,783
	4,414,900	JBS SA		13,447,602
	73,800	Mahle-Metal Leve SA		465,678
	196,400	MRV Engenharia e Participacoes SA		616,256
	9,700	Multiplus SA		62,479
	14,200	Odontoprev SA		51,042
	29,700	Oi SA *		11,064
	982,840	Petrobras Distribuidora SA		6,216,215
	21,500	QGEP Participacoes SA		58,006
	5,900	Smiles Fidelidade SA		67,467
	12,900	Ultrapar Participacoes SA		157,651
	6,301	Ultrapar Participacoes SA Sponsored ADR		77,313
		Total Brazil		47,824,036
		Canada — 1.5%
	28,600	AGF Management Ltd – Class B		107,628
	60,000	Bank of Montreal (a)		4,470,000
	17,200	Bank of Montreal		1,283,285
	43,437	BRP Inc Sub Voting		1,547,667
	9,000	Canaccord Genuity Group Inc		44,097
	4,100	Canadian Imperial Bank of Commerce		343,908
	49,000	Canadian Imperial Bank of Commerce		4,112,069
	36,500	Canfor Corp *		500,256
	10,300	Canfor Pulp Products Inc		148,688
	7,100	Celestica Inc *		73,059
	1,800	Celestica Inc *		18,506
	3,800	Cogeco Inc		177,981

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	300	Constellation Software Inc		205,759
	33,600	Empire Co Ltd – A Shares		636,520
	600	George Weston Ltd		43,384
	4,100	Husky Energy Inc		50,916
	4,500	Interfor Corp *		50,803
	7,300	Labrador Iron Ore Royalty Corp		146,093
	32,700	Magna International Inc (b)		1,630,749
	43,300	Magna International Inc		2,161,008
	4,500	Martinrea International Inc		36,375
	1,000	Methanex Corp		55,440
	3,000	National Bank of Canada		136,831
	1,800	Norbord Inc		50,302
	28,200	Rogers Sugar Inc		120,980
	200,900	Royal Bank of Canada		14,730,499
	48,500	Russel Metals Inc		845,050
	3,400	Stelco Holdings Inc		49,644
	122,300	Sun Life Financial Inc (a) (b)		4,499,417
	27,300	Sun Life Financial Inc		1,006,811
	26,800	TFI International Inc		890,543
	109,100	Toronto-Dominion Bank (The)		6,040,263
	12,500	Toronto-Dominion Bank (The) (a)		691,250
	78,500	Transcontinental Inc – Class A		1,184,605
	3,900	Valener Inc		59,293
	11,200	Wajax Corp		162,523
	35,800	West Fraser Timber Co Ltd		1,868,611
	9,400	ZCL Composites Inc		44,359
		Total Canada		50,225,172
		Chile — 0.0%
	3,516	Inversiones La Construccion SA		56,134
		China — 6.0%
	88,000	361 Degrees International Ltd		21,816
	586,000	7Road Holdings Ltd.		103,081
	41,500	AAC Technologies Holdings Inc		297,574
	3,261,668	Agile Group Holdings Ltd		4,456,758
	35,923,000	Agricultural Bank of China Ltd – Class H		16,329,749
	204,500	Anhui Conch Cement Co Ltd – Class A		944,544
	151,500	Anhui Conch Cement Co Ltd – Class H		797,558
	36,000	Anhui Expressway Co Ltd – Class H		22,010
	12,000	ANTA Sports Products Ltd		54,989
	5,063,000	BAIC Motor Corp Ltd – Class H		3,118,053
	22,500	Baidu Inc Sponsored ADR * (b)		4,236,300
	3,186,000	Bank of China Ltd – Class H		1,396,848
	5,827,000	Bank of Communications Co Ltd – Class H		4,444,069
	44,000	Baoye Group Co Ltd – Class H *		23,568
	1,004,790	Beijing Homyear Capital Holdings Co Ltd – Class A		441,262
	59,900	Beijing North Star Co Ltd – Class A		25,387
	37,500	BYD Electronic International Co Ltd		53,033
	175,000	Cabbeen Fashion Ltd		49,479

Shares		Description	Value ($)
		China — continued
	42,100	Cangzhou Mingzhu Plastic Co Ltd – Class A		27,857
	15,400	Changyou.com Ltd ADR		302,610
	4,028,000	China CITIC Bank Corp Ltd – Class H		2,565,598
	135,000	China Communications Construction Co Ltd – Class H		131,806
	6,938,000	China Communications Services Corp Ltd – Class H		5,810,916
	454,600	China Construction Bank Corp – Class A		438,051
	3,413,000	China Construction Bank Corp – Class H		2,914,034
	292,000	China Everbright Bank Co Ltd – Class H		129,973
	20,000	China Evergrande Group		63,577
	2,154,000	China Greenfresh Group Co Ltd *		277,718
	339,000	China Huarong Asset Management Co Ltd – Class H		69,985
	50,000	China International Marine Containers Group Co Ltd – Class H		53,681
	48,000	China Jinmao Holdings Group Ltd		23,167
	3,279,000	China Lesso Group Holdings Ltd		1,687,385
	573,000	China Lilang Ltd		469,100
	2,850,000	China Machinery Engineering Corp – Class H		1,424,140
	160,500	China Mobile Ltd		1,599,904
	3,144,900	China National Building Material Co Ltd – Class H		2,469,825
	43,700	China National Chemical Engineering Co Ltd – Class A		35,771
	52,500	China Nuclear Engineering Corp Ltd – Class A		57,530
	320,000	China Overseas Land & Investment Ltd		1,122,170
	14,200	China Petroleum & Chemical Corp ADR		1,211,828
	863,898	China Petroleum & Chemical Corp – Class A		736,998
	17,954,000	China Petroleum & Chemical Corp – Class H		15,368,647
	162,000	China Pioneer Pharma Holdings Ltd *		26,531
	8,185,000	China Railway Construction Corp Ltd – Class H		10,513,696
	4,085,042	China Railway Group Ltd – Class H		3,764,388
	300,000	China Resources Cement Holdings Ltd		295,471
	390,000	China Resources Land Ltd		1,451,781
	2,233,500	China Resources Pharmaceutical Group Ltd		3,292,738
	862,000	China SCE Group Holdings Ltd		310,027
	152,479	China Shenhua Energy Co Ltd – Class A		415,061
	498,500	China Shenhua Energy Co Ltd – Class H		1,116,657
	840,000	China Shineway Pharmaceutical Group Ltd		1,050,490
	14,673	China South Publishing & Media Group Co Ltd – Class A		24,322
	27,144,000	China Telecom Corp Ltd – Class H		14,718,907
	888,000	China Tower Corp Ltd – Class H *		129,723
	984,000	China Travel International Investment Hong Kong Ltd		274,268
	169,389	China Vanke Co Ltd – Class A		625,698

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		China — continued
	110,900	China Vanke Co Ltd – Class H		383,476
	157,097	China Yangtze Power Co Ltd – Class A		325,307
	28,100	China Yuchai International Ltd		394,805
	900,000	Chong Sing Holdings FinTech Gr *		26,227
	38,100	Chongqing Department Store Co Ltd – Class A		165,811
	30,600	Chongqing Dima Industry – Class A		12,212
	3,104,000	Chongqing Rural Commercial Bank Co Ltd – Class H		1,821,791
	82,000	CIFI Holdings Group Co Ltd		41,419
	85,000	CNOOC Ltd		143,595
	223,000	COSCO SHIPPING Development Co Ltd – Class H *		25,082
	379,000	Country Garden Holdings Co Ltd		470,194
	100,000	Dah Chong Hong Holdings Ltd		37,382
	356,199	Daqin Railway Co Ltd – Class A		397,005
	38,088	Dashang Co Ltd – Class A		140,563
	96,600	Dongfang Electric Corp Ltd – Class A *		106,353
	5,764,000	Dongfeng Motor Group Co Ltd – Class H		5,575,625
	43,100	Dr Peng Telecom & Media Group Co Ltd – Class A		51,124
	30,500	Fang Holdings Ltd ADR *		56,120
	148,760	Fangda Special Steel Technology Co Ltd – Class A		214,120
	728,000	GCL-Poly Energy Holdings Ltd *		50,245
	528,000	Geely Automobile Holdings Ltd		1,049,170
	99,500	Great Wall Motor Co Ltd – Class H		63,850
	99,700	Gree Electric Appliances Inc of Zhuhai – Class A *		533,554
	15,100	GRG Banking Equipment Co Ltd – Class A		12,688
	268,000	Guangdong Investment Ltd		518,042
	826,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		3,353,545
	4,551,079	Guangzhou R&F Properties Co Ltd – Class H		7,096,690
	2,538,000	Haier Electronics Group Co Ltd *		5,944,726
	24,000	Haitian International Holdings Ltd		51,649
	1,544,000	Harbin Electric Co Ltd – Class H		477,182
	59,800	Henan Shuanghui Investment & Development Co Ltd – Class A		197,609
	21,000	Henan Zhongyuan Expressway Co Ltd – Class A		11,823
	6,500	Hengan International Group Co Ltd		53,347
	97,489	Hisense Home Appliances Group Co Ltd – Class A		101,602
	126,583	HLA Corp Ltd – Class A		144,236
	300	Hollysys Automation Technologies Ltd		5,943
	79,000	Hua Hong Semiconductor Ltd		168,783
	2,676,000	Huabao International Holdings Ltd		1,240,418
	162,000	IGG Inc		196,933
	217,800	Industrial & Commercial Bank of China Ltd – Class A		167,862

Shares		Description	Value ($)
		China — continued
	2,195,000	Industrial and Commercial Bank of China Ltd – Class H		1,567,712
	49,000	JNBY Design Ltd		85,463
	733,500	Kingboard Holdings Ltd		2,108,046
	52,500	Kingboard Laminates Holdings Ltd		50,290
	24,000	Kunlun Energy Co Ltd		29,049
	16,600	Livzon Pharmaceutical Group Inc – Class A		79,037
	445,180	Livzon Pharmaceutical Group Inc – Class H		1,620,127
	92,400	Logan Property Holdings Co Ltd		108,874
	34,000	Longfor Group Holdings Ltd		96,360
	6,714,000	Lonking Holdings Ltd		1,753,702
	14,200	Midea Group Co Ltd – Class A		79,950
	15,900	Momo Inc Sponsored ADR *		498,465
	38,000	Nine Dragons Paper Holdings Ltd		38,802
	13,900	Ningbo Sanxing Medical Electric Co Ltd – Class A		11,999
	111,000	People’s Insurance Co Group of China Ltd (The) – Class H		48,111
	388,000	PICC Property & Casualty Co Ltd – Class H		400,234
	9,909,000	Postal Savings Bank of China Co Ltd – Class H		6,012,896
	1,235,000	Powerlong Real Estate Holdings Ltd		502,943
	102,000	Qingling Motors Co Ltd – Class H		26,891
	186,800	Red Star Macalline Group Corp Ltd – Class H		174,127
	278,000	Road King Infrastructure Ltd		474,249
	35,083	SDIC Capital Co Ltd – Class A		53,056
	356,000	Shanghai Industrial Holdings Ltd		778,870
	316,000	Shanghai Jin Jiang International Hotels Group Co Ltd – Class H		85,356
	2,164,800	Shanghai Pharmaceuticals Holding Co Ltd – Class H		5,358,559
	257,925	Shanghai SMI Holding Co Ltd – Class A		223,591
	38,000	Shenzhen Expressway Co Ltd – Class H		37,583
	152,000	Shenzhen Investment Ltd		49,720
	96,275	Shenzhen World Union Properties Consultancy Inc – Class A		71,218
	8,000	Shenzhou International Group Holdings Ltd		97,604
	3,698,000	Shimao Property Holdings Ltd		9,208,825
	484,000	Sino Biopharmaceutical Ltd		444,415
	82,273	Sinopec Shanghai Petrochemical Co Ltd – Class A		59,611
	684,000	Sinopec Shanghai Petrochemical Co Ltd – Class H		311,887
	1,638,000	Sinotruk Hong Kong Ltd		2,700,712
	210,000	Skyworth Digital Holdings Ltd		51,534
	2,046,000	SSY Group Ltd		2,109,777
	521,321	Suning Universal Co Ltd – Class A		239,755
	15,100	Tencent Holdings Ltd		602,147
	267,500	Texhong Textile Group Ltd		323,292

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		China — continued
	646,000	Tianjin Port Development Holdings Ltd *		70,395
	2,156,000	Tianneng Power International Ltd		1,974,560
	333,000	Times China Holdings Ltd.		312,284
	1,130,000	TravelSky Technology Ltd – Class H		3,050,707
	179,000	Uni-President China Holdings Ltd		163,578
	8,800	Vatti Corp Ltd – Class A		11,220
	2,830,000	Weichai Power Co Ltd – Class H		3,060,511
	523,000	Xinhua Winshare Publishing and Media Co Ltd – Class H		350,966
	2,472,000	Xtep International Holdings Ltd		1,327,419
	20,600	YiChang HEC ChangJiang Pharmaceutical Co Ltd – Class H		75,724
	4,639,000	Yuzhou Properties Co Ltd		2,046,879
	306,000	Zhejiang Expressway Co Ltd – Class H		257,651
	66,286	Zhejiang Weixing New Building Materials Co Ltd – Class A		136,031
	53,294	Zhengzhou Yutong Bus Co Ltd – Class A		86,809
	16,700	Zhongshan Public Utilities Group Co Ltd – Class A		17,061
		Total China		197,162,849
		Colombia — 0.0%
	144,314	Almacenes Exito SA		594,392
	6,343	Ecopetrol SA		6,090
		Total Colombia		600,482
		Czech Republic — 0.0%
	4,675	Moneta Money Bank AS		16,108
	252	Philip Morris CR AS		162,282
		Total Czech Republic		178,390
		Denmark — 0.3%
	574	ALK-Abello A/S *		79,440
	2,262	NetCompany Group A/S *		74,669
	42,600	Novo Nordisk A/S Sponsored ADR		1,986,012
	109,852	Novo Nordisk A/S – Class B		5,109,373
	1,045	Rockwool International A/S – Class B		272,087
	17,781	Royal Unibrew A/S		1,290,994
	8,488	Scandinavian Tobacco Group A/S		112,525
	1,365	Schouw & Co AB		112,406
	7,811	SimCorp A/S		498,517
	3,592	Spar Nord Bank A/S		30,477
		Total Denmark		9,566,500
		Finland — 0.3%
	2,441	Cramo Oyj		45,365
	2,543	DNA Oyj		47,027
	4,169	Finnair Oyj		35,686
	9,849	Metsa Board Oyj		68,605
	61,772	Neste Oyj		4,836,039
	17,316	Stora Enso Oyj – R Shares		221,355
	2,487	Tieto Oyj		71,879
	137,727	UPM-Kymmene Oyj		3,678,615
		Total Finland		9,004,571

Shares		Description	Value ($)
		France — 1.3%
	3,147	AKWEL		57,752
	9,015	Alten SA		820,612
	60,257	BNP Paribas SA		3,030,818
	1,005	Bonduelle SCA		36,264
	14,599	Christian Dior SE (a)		5,426,912
	91,137	CNP Assurances		2,087,911
	29,187	Coface SA		271,714
	9,190	Credit Agricole SA		114,212
	3,776	Dassault Systemes SE		454,009
	8,748	Derichebourg SA		37,611
	2,791	Eramet		226,244
	2,576	Gaztransport Et Technigaz SA		192,701
	564	Hermes International		305,357
	655	Interparfums SA		29,300
	2,125	Ipsen SA		273,867
	4,876	IPSOS (a)		124,059
	2,872	Jacquet Metal Service		52,621
	2,352	Kaufman & Broad SA		89,902
	51,959	L’Oreal SA (a)		12,260,493
	1,070	Lagardere SCA		30,263
	472	LVMH Moet Hennessy Louis Vuitton SE		135,104
	2,254	Mersen SA		64,426
	13,125	Metropole Television SA		233,017
	57,464	Natixis SA		318,007
	2,342	Nexity SA		114,946
	94,185	Peugeot SA		2,072,256
	2,381	Rallye SA		25,924
	48,809	Sanofi		4,425,039
	36,800	Sanofi ADR		1,668,880
	4,034	Schneider Electric SE		294,041
	8,165	SCOR SE		392,321
	27,897	Societe Generale SA		1,024,509
	4,838	Societe Television Francaise 1		46,346
	174,745	STMicroelectronics NV		2,588,307
	322,900	STMicroelectronics NV – NY Shares		4,795,065
	614	Vilmorin & Cie SA		40,542
		Total France		44,161,352
		Germany — 1.8%
	937	Aareal Bank AG		30,908
	55,953	Allianz SE (Registered)		11,864,932
	814	Amadeus Fire AG		87,046
	42,786	BASF SE		3,128,813
	11,594	Bayer AG (Registered)		850,775
	132,556	Bayerische Motoren Werke AG		10,884,612
	3,883	Cewe Stiftung & Co KGAA		301,538
	80,040	Covestro AG (a)		4,636,157
	85,327	Daimler AG (Registered Shares)		4,824,336
	388,880	Deutsche Lufthansa AG (Registered)		9,513,985
	53,557	Deutsche Pfandbriefbank AG		640,851
	73,866	Deutsche Telekom AG (Registered)		1,298,819
	1,660	DWS Group GmbH & Co KGaA *		47,064

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	2,222	Elmos Semiconductor AG		47,440
	1,616	Evonik Industries AG		43,644
	7,135	Henkel AG & Co KGaA		739,462
	4,768	Isra Vision AG		186,713
	5,809	Kloeckner & Co SE		46,943
	14,580	Knorr-Bremse AG *		1,361,582
	524	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		114,161
	697	Nemetschek SE		84,894
	501	Rheinmetall AG		46,641
	27,458	SAP AG		2,844,008
	875	Siemens AG (Registered)		101,828
	21,575	Siemens Healthineers AG *		936,653
	12,320	Software AG		504,673
	2,158	Takkt AG		34,645
	16,656	Talanx AG		596,024
	18,791	Volkswagen AG		3,125,115
	4,783	Wacker Neuson SE		95,542
	654	Washtec AG		48,136
	2,753	Wuestenrot & Wuerttembergische AG		54,518
		Total Germany		59,122,458
		Greece — 0.0%
	95,746	Eurobank Ergasias SA *		61,134
	12,055	FF Group * (c)		—
	49,486	National Bank of Greece SA *		57,368
	38,683	Piraeus Bank SA *		38,319
		Total Greece		156,821
		Hong Kong — 0.4%
	230,000	BOC Hong Kong Holdings Ltd		900,550
	751,400	Champion (REIT)		523,306
	41,700	Dah Sing Banking Group Ltd		79,051
	2,800	Dah Sing Financial Holdings Ltd		15,538
	78,000	Fortune Real Estate Investment Trust		89,523
	8,100	Hang Seng Bank Ltd		187,582
	50,100	Hysan Development Co Ltd		240,086
	841,638	I-CABLE Communications Ltd *		12,641
	35,000	Johnson Electric Holdings Ltd		78,437
	125,800	Kerry Properties Ltd		433,616
	54,800	Luk Fook Holdings International Ltd		160,394
	1,767,900	SJM Holdings Ltd		1,603,745
	6,252,500	WH Group Ltd		4,565,031
	359,100	Wharf Holdings Ltd (The)		963,907
	263,100	Wharf Real Estate Investment Co Ltd		1,586,826
	242,500	Wheelock & Co Ltd		1,395,441
	39,425	Xinyi Automobile Glass Hong Kong Enterprises Ltd *		9,779
		Total Hong Kong		12,845,453
		Hungary — 0.0%
	733,294	Magyar Telekom Telecommunications Plc		1,155,225

Shares		Description	Value ($)
		India — 1.3%
	48,725	Aurobindo Pharma Ltd		566,230
	13,132	Balmer Lawrie & Co Ltd		35,583
	137,242	Balrampur Chini Mills Ltd *		198,736
	55,888	Bharat Heavy Electricals Ltd		54,689
	12,475	Divi’s Laboratories Ltd		255,546
	6,655	Dr Reddy’s Laboratories Ltd		259,002
	476,075	Firstsource Solutions Ltd		355,894
	882,712	HCL Technologies Ltd		12,888,912
	45,259	Hero MotoCorp Ltd		1,984,102
	152,937	Hexaware Technologies Ltd		711,247
	25,697	Hindustan Unilever Ltd		655,252
	108,196	HT Media Ltd		61,780
	354,963	ITC Ltd		1,458,475
	87,812	Jamna Auto Industries Ltd		87,019
	20,330	Jubilant Life Sciences Ltd		227,405
	83,020	Just Dial Ltd *		592,602
	21,206	KPIT Technologies Ltd		63,618
	53,304	Larsen & Toubro Infotech Ltd		1,189,983
	630,772	Mahindra & Mahindra Ltd		7,167,676
	3,014	Merck Ltd		121,319
	119,432	Mphasis Ltd		1,700,960
	199	MRF Ltd		192,361
	77,100	NHPC Ltd		28,807
	102,543	NIIT Technologies Ltd		1,608,382
	10,626	Oil India Ltd		28,475
	1,834	Pfizer India Ltd		71,471
	869	Piramal Enterprises Ltd		27,479
	484,512	Power Finance Corp Ltd		600,841
	696,570	PTC India Ltd		808,670
	37,290	Rajesh Exports Ltd		305,514
	2,703,810	REC Ltd		3,899,879
	374,745	Reliance Capital Ltd		1,219,676
	4,118	Siemens Ltd		56,203
	116,413	Sonata Software Ltd		512,570
	23,346	Suven Life Sciences Ltd		80,669
	113,093	Tech Mahindra Ltd		1,150,014
	65,731	VIP Industries Ltd		503,880
		Total India		41,730,921
		Indonesia — 0.2%
	2,235,500	Adaro Energy Tbk PT		201,386
	181,400	Bank Central Asia Tbk PT		330,927
	203,300	Bank Mandiri Persero Tbk PT		105,497
	498,900	Bank Negara Indonesia Persero Tbk PT		298,012
	1,202,700	Bank Pembangunan Daerah Jawa Timur Tbk PT		60,213
	3,248,600	Bank Rakyat Indonesia Persero Tbk PT		824,429
	1,018,300	Bukit Asam Tbk PT		287,644
	963,400	Delta Dunia Makmur Tbk PT *		39,209
	3,744,500	Erajaya Swasembada Tbk PT		579,437
	38,100	Gudang Garam Tbk PT		219,030
	186,500	Indika Energy Tbk PT		23,600

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Indonesia — continued
	1,020,700	Indo Tambangraya Megah Tbk PT		1,519,909
	247,100	Matahari Department Store Tbk PT		82,336
	1,112,400	Mitra Pinasthika Mustika Tbk PT *		63,943
	5,683,200	Modernland Realty Tbk PT		81,080
	7,551,900	Panin Financial Tbk PT *		156,668
	1,178,300	Ramayana Lestari Sentosa Tbk PT		98,262
	1,305,400	Surya Semesta Internusa Tbk PT		41,153
	117,300	United Tractors Tbk PT		226,009
	508,300	Waskita Karya Persero Tbk PT		55,441
		Total Indonesia		5,294,185
		Ireland — 0.1%
	11,600	ICON Plc *		1,678,752
		Israel — 0.0%
	70,703	Bank Leumi Le-Israel BM		465,267
	8,692	Discount Investment Corp Ltd (Registered) *		23,456
	5,220	First International Bank of Israel Ltd		117,777
	9,801	Harel Insurance Investments & Financial Services Ltd		76,082
	4,077	Nova Measuring Instruments Ltd *		100,444
	88,394	Oil Refineries Ltd		44,558
		Total Israel		827,584
		Italy — 0.8%
	13,836	A2A SPA		23,318
	38,149	ACEA SPA		510,345
	12,559	ASTM SPA		238,808
	93,324	Cofide SPA		47,747
	6,272	El.En. SPA		108,144
	51,651	Enav SPA		245,889
	366,633	Enel SPA		1,994,503
	31,308	ERG SPA		570,656
	153,877	EXOR NV		9,074,966
	16,566	Falck Renewables SPA		45,359
	520,400	Fiat Chrysler Automobiles NV *		8,633,436
	29,208	Fiat Chrysler Automobiles NV *		485,031
	5,940	FinecoBank Banca Fineco SPA		63,864
	92,932	Hera SPA		255,746
	472,208	Iren SPA		1,027,298
	8,260	La Doria SPA		78,044
	9,666	MARR SPA		216,112
	45,775	Mediobanca Banca di Credito Finanziario SPA		404,226
	39,317	Poste Italiane SPA		298,869
	879	Prima Industrie SPA		21,361
	6,240	Recordati SPA		201,159
	92,257	Saras SPA		179,028
	172,127	Societa Cattolica di Assicurazioni SC		1,420,452
	28,250	Societa Iniziative Autostradali e Servizi SPA		381,261

Shares		Description	Value ($)
		Italy — continued
	368,768	Telecom Italia SPA-RSP		207,856
	47,578	Unipol Gruppo SPA		197,698
		Total Italy		26,931,176
		Japan — 4.8%
	24,600	Aisin Seiki Co Ltd		974,613
	900	Alfresa Holdings Corp		23,964
	16,000	AOKI Holdings Inc (a)		206,778
	700	Aozora Bank Ltd		23,057
	845,600	Asahi Kasei Corp		9,281,474
	753,000	Astellas Pharma Inc (a)		11,603,567
	3,700	Bandai Namco Holdings Inc		155,689
	213,700	Brother Industries Ltd		3,575,965
	100,200	Canon Inc		2,843,479
	10,400	Cawachi Ltd		202,720
	1,000	Central Japan Railway Co		205,913
	23,300	CKD Corp		236,000
	32,900	Concordia Financial Group Ltd		154,862
	9,100	Cosmo Energy Holdings Co Ltd (a)		212,882
	8,100	Dai Nippon Printing Co Ltd		187,481
	4,500	Daicel Corp		50,438
	10,000	Daiwabo Holdings Co Ltd		561,227
	12,760	Denka Co Ltd		412,270
	11,500	DTS Corp		415,314
	8,200	Ehime Bank Ltd (The)		83,501
	1,500	Eisai Co Ltd		138,128
	9,500	Elecom Co Ltd		251,332
	3,900	Exedy Corp		100,341
	77,800	Fancl Corp		2,035,188
	70,800	Fuji Electric Co Ltd		2,232,197
	21,300	Fuji Media Holdings Inc		331,842
	1,800	Fujicco Co Ltd		39,621
	29,200	FUJIFILM Holdings Corp		1,162,136
	3,600	Fujitsu Ltd		222,369
	2,800	Fukuoka Financial Group Inc		64,045
	3,200	Fukuyama Transporting Co Ltd		140,586
	1,900	Fuyo General Lease Co Ltd		115,449
	4,700	Gunma Bank Ltd (The)		22,462
	39,800	Hakuhodo DY Holdings Inc		609,634
	1,600	Hamakyorex Co Ltd		59,284
	24,560	Hanwa Co Ltd		736,943
	15,400	Haseko Corp		186,747
	2,500	Heiwado Co Ltd		69,529
	1,700	Hisamitsu Pharmaceutical Co Inc		108,782
	382,000	Hitachi Ltd		11,124,408
	37,100	Honda Motor Co Ltd (a)		1,046,627
	1,100	Hosokawa Micron Corp		50,301
	32,700	House Foods Group Inc		1,163,041
	1,100	Idemitsu Kosan Co Ltd		40,117
	1,200	Infocom Corp		50,117
	3,700	Isuzu Motors Ltd		52,739
	797,200	ITOCHU Corp		14,189,942

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	4,400	Japan Aviation Electronics Industry Ltd		55,597
	5,100	Jeol Ltd		89,323
	7,100	JSR Corp		113,979
	1,800	JTEKT Corp		22,958
	25,500	JXTG Holdings Inc		154,641
	3,100	Kaken Pharmaceutical Co Ltd		158,772
	1,900	Kamigumi Co Ltd		42,782
	97,500	Kanematsu Corp		1,246,235
	1,000	Kasai Kogyo Co Ltd		8,812
	600	Kato Sangyo Co Ltd		18,624
	127,600	KDDI Corp		2,998,180
	9,700	Keihin Corp		168,099
	24,900	Kirin Holdings Co Ltd (a)		586,888
	16,000	Kitz Corp		136,858
	84,400	Konica Minolta Inc		761,921
	1,700	Kose Corp		254,312
	7,100	Kyowa Exeo Corp (a)		179,211
	1,800	Makino Milling Machine Co Ltd		73,394
	394,500	Marubeni Corp		2,948,024
	61,100	MCJ Co Ltd		430,919
	3,300	Medipal Holdings Corp		75,711
	1,592,900	Mitsubishi Chemical Holdings Corp		13,067,150
	62,300	Mitsubishi Corp		1,683,744
	508,800	Mitsubishi Electric Corp (a)		6,735,922
	96,300	Mitsubishi Gas Chemical Co Inc (a)		1,585,945
	99,200	Mitsubishi Tanabe Pharma Corp		1,525,545
	4,100	Mitsubishi UFJ Lease & Finance Co Ltd		22,418
	32,300	Mitsui Chemicals Inc (a)		822,190
	6,000	Mitsui Sugar Co Ltd		159,847
	300	Modec Inc		7,468
	3,400	NEC Corp		105,573
	9,400	NET One Systems Co Ltd		195,143
	26,000	Nichias Corp		505,450
	18,100	Nichiha Corp		496,801
	2,900	Nihon Unisys Ltd		74,277
	24,500	Nippo Corp		417,844
	2,500	Nippon Sheet Glass Co Ltd		21,400
	300	Nippon Shokubai Co Ltd		20,052
	372,000	Nippon Telegraph & Telephone Corp		15,345,386
	2,000	Nippon Flour Mills Co Ltd		34,200
	4,000	Nisshin Oillio Group Ltd (The)		124,250
	16,400	Nisshin Seifun Group Inc		345,755
	19,900	Nisshinbo Holdings Inc		181,753
	900	Nissin Corp		15,528
	2,600	NOF Corp		85,948
	8,000	Nomura Real Estate Holdings Inc		158,068
	500	Noritake Co Ltd		24,889
	17,000	North Pacific Bank Ltd		49,440
	10,200	NTT Data Corp.		118,624
	40,100	NTT DOCOMO Inc		930,303
	15,100	Open House Co Ltd		540,439
	10,000	ORIX Corp		162,374

Shares		Description	Value ($)
		Japan — continued
	9,800	Osaki Electric Co Ltd		70,405
	1,200	Otsuka Holdings Co Ltd		58,655
	80,800	Pola Orbis Holdings Inc		2,284,301
	2,300	Pressance Corp		28,736
	28,700	Prima Meat Packers Ltd		545,181
	6,500	Resona Holdings Inc		34,562
	1,900	Rion Co Ltd		34,147
	34,100	Rohto Pharmaceutical Co Ltd		1,081,066
	6,600	Roland DG Corp		143,251
	4,800	Seiko Holdings Corp		106,807
	119,500	Sekisui Chemical Co Ltd (a)		1,944,249
	8,500	Shimizu Corp.		72,808
	2,900	Shinko Electric Industries Co Ltd		20,640
	1,800	ShinMaywa Industries Ltd		24,231
	2,700	Shizuoka Bank Ltd (The)		24,289
	31,300	Showa Corp		418,450
	8,100	Showa Denko KK (a)		325,043
	1,616,100	Sojitz Corp		5,737,261
	8,400	Sony Corp		443,896
	1,251,700	Sumitomo Chemical Co Ltd		6,813,880
	13,700	Sumitomo Dainippon Pharma Co Ltd (a)		448,060
	3,900	Sumitomo Mitsui Financial Group Inc		143,578
	4,300	Sumitomo Mitsui Trust Holdings Inc		172,749
	300	Suntory Beverage & Food Ltd		12,616
	1,300	Suzuken Co Ltd		70,005
	200	T RAD Co Ltd		4,514
	26,800	T-Gaia Corp		571,851
	400	Taisho Pharmaceutical Holdings Co Ltd		46,341
	3,400	Takara Holdings Inc		43,506
	16,700	Takeda Pharmaceutical Co Ltd		628,681
	10,200	Tatsuta Electric Wire and Cable Co Ltd		48,223
	3,300	Teijin Ltd		57,047
	10,700	Tocalo Co Ltd		93,683
	9,000	Tokio Marine Holdings Inc		444,587
	25,400	Tokyo Electron Ltd		3,585,692
	17,600	Tokyu Construction Co Ltd		177,792
	57,600	Tosoh Corp		812,285
	2,000	Toyo Suisan Kaisha Ltd		68,745
	101,100	Toyota Tsusho Corp (a)		3,495,300
	8,500	TPR Co Ltd		202,144
	37,400	TS Tech Co Ltd		1,089,032
	9,800	UKC Holdings Corp		210,475
	1,600	Ushio Inc		17,962
	10,800	Wacoal Holdings Corp		294,936
	1,800	Yamazaki Baking Co Ltd		37,936
	500	Yellow Hat Ltd		13,165
	12,300	Yuasa Trading Co Ltd		412,755
		Total Japan		157,259,585
		Malaysia — 0.1%
	145,400	Astro Malaysia Holdings Bhd		41,697
	868,900	DRB-Hicom Berhad		385,433

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Malaysia — continued
	136,200	Felda Global Ventures Holdings Bhd		28,806
	156,500	KSL Holdings Berhad *		26,440
	121,400	Malayan Flour Mills Berhad		28,380
	206,100	My EG Services Bhd		54,671
	159,600	Padini Holdings Berhad		183,289
	14,700	Petronas Dagangan Berhad		90,740
	1,309,000	Supermax Corp Berhad		1,076,646
	1,944,500	Top Glove Corp Berhad		2,783,075
	33,200	UMW Holdings Bhd		40,067
	83,000	UOA Development Berhad		41,893
		Total Malaysia		4,781,137
		Mexico — 0.5%
	136,929	Bolsa Mexicana de Valores SAB de CV		236,605
	61,900	Corp Inmobiliaria Vesta SAB de CV		77,247
	17,700	El Puerto de Liverpool SAB de CV – Class C1		105,450
	11,600	Fibra Uno Administracion SA de CV (REIT)		11,683
	4,800	Fomento Economico Mexicano SAB de CV		41,593
	900	Fomento Economico Mexicano SAB de CV Sponsored ADR (b)		78,075
	53,700	Gentera SAB de CV		39,628
	500	Grupo Aeroportuario del Pacifico SAB de CV ADR		34,810
	485	Grupo Aeroportuario del Sureste SAB de CV – Class B		6,497
	148,142	Grupo Herdez SAB de CV		302,925
	215,700	Megacable Holdings SAB de CV CPO		983,453
	5,400	Mexichem SAB de CV		12,602
	11,245	Promotora y Operadora de Infraestructura SAB de CV		99,336
	16,900	Unifin Financiera SAB de CV SOFOM ENR		35,745
	5,904,538	Wal-Mart de Mexico SAB de CV		14,626,632
		Total Mexico		16,692,281
		Netherlands — 0.3%
	22,898	ABN AMRO Group NV CVA		584,164
	25,530	ASR Nederland NV		1,103,140
	6,513	ForFarmers NV		64,035
	32,891	Heineken Holding NV		2,911,903
	196,377	ING Groep NV		2,378,462
	2,822	Intertrust NV		45,405
	1,829	Koninklijke Philips NV		69,355
	2,545	Koninklijke Volkerwessels NV		42,363
	12,784	Signify NV (a)		341,126
	37,281	Wolters Kluwer NV		2,253,860
		Total Netherlands		9,793,813
		New Zealand — 0.0%
	647,630	Air New Zealand Ltd		1,371,829
	16,081	Synlait Milk Ltd *		101,235
		Total New Zealand		1,473,064

Shares		Description	Value ($)
		Norway — 0.7%
	10,764	Aker ASA – A Shares		615,750
	26,769	Aker Solutions ASA *		135,214
	52,941	Austevoll Seafood ASA		733,572
	29,507	Bakkafrost P/F (a)		1,515,631
	2,589	Borregaard ASA		23,892
	455,094	DNB ASA		7,818,558
	25,729	Elkem ASA *		78,337
	2,317	Entra ASA		30,531
	352,117	Equinor ASA (a)		8,248,296
	10,895	Grieg Seafood ASA		143,828
	42,773	Kvaerner ASA *		61,862
	119,002	Leroy Seafood Group ASA		1,017,159
	3,999	Marine Harvest ASA		93,883
	17,920	Salmar ASA		1,013,466
	5,489	Selvaag Bolig ASA		25,088
	24,304	SpareBank 1 Nord Norge		179,580
	10,671	SpareBank 1 SR Bank ASA		115,064
	66,308	Storebrand ASA		521,053
	14,882	Subsea 7 SA		160,977
	16,519	TGS NOPEC Geophysical Co ASA		463,839
		Total Norway		22,995,580
		Pakistan — 0.0%
	13,100	Engro Corp Ltd		30,363
	58,500	Engro Fertilizers Ltd		32,695
	3,300	Lucky Cement Ltd		11,919
	59,500	Oil & Gas Development Co Ltd		64,187
	7,620	Pakistan Oilfields Ltd		26,981
		Total Pakistan		166,145
		Philippines — 0.0%
	279,000	Belle Corp		11,826
	56,200	Eagle Cement Corp		16,622
	107,500	First Gen Corp		36,431
	2,240	Globe Telecom Inc		84,294
	31,400	Jollibee Foods Corp		167,018
	269,200	Lopez Holding Corp		20,941
	266,200	LT Group Inc		81,199
	55,550	Manila Electric Co		408,076
	169,800	Manila Water Co Inc		87,362
	492,000	Megaworld Corp		42,364
	1,228,185	Nickel Asia Corp		52,023
	134,500	Petron Corp		21,026
	38,285	Pilipinas Shell Petroleum Corp		34,671
	95,250	Semirara Mining & Power Corp		47,617
		Total Philippines		1,111,470
		Poland — 0.2%
	108,611	Asseco Poland SA		1,377,888
	9,881	Bank Polska Kasa Opieki SA		286,325
	2,441	Budimex SA		75,931

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Poland — continued
	501	CCC SA		27,750
	3,910	Ciech SA		42,390
	69,960	Cyfrowy Polsat SA *		414,770
	221,733	Energa SA *		533,062
	4,640	Grupa Azoty SA		39,999
	6,134	Grupa Lotos SA		132,645
	60,510	Impexmetal SA *		53,975
	2,120	KRUK SA		96,806
	63	LPP SA		130,310
	2,912	Lubelski Wegiel Bogdanka SA *		42,695
	12,821	PLAY Communications SA		54,619
	24,921	Polski Koncern Naftowy ORLEN SA		724,574
	244,250	Polskie Gornictwo Naftowe i Gazownictwo SA		415,594
	14,011	Powszechna Kasa Oszczednosci Bank Polski SA		151,223
	47,404	Powszechny Zaklad Ubezpieczen SA		536,704
	222	Santander Bank Polska SA		20,860
	684	Stalprodukt SA		58,721
	4,357	Warsaw Stock Exchange		42,963
		Total Poland		5,259,804
		Portugal — 0.0%
	11,899	Altri SGPS SA		86,805
	11,994	Navigator Co SA (The)		50,404
	1,615	Semapa-Sociedade de Investimento e Gestao		25,535
	431,451	Sonae SGPS SA		409,484
		Total Portugal		572,228
		Qatar — 0.0%
	17,189	Barwa Real Estate Co		180,663
	11,991	Doha Bank QPSC		70,577
	7,007	Gulf International Services QSC *		35,407
	4,865	Masraf Al Rayan QSC		53,606
	1,272	Qatar Electricity & Water Co QSC		63,166
	13,840	Qatar Gas Transport Co Ltd		68,862
	5,364	Qatar Insurance Co SAQ		52,890
	3,257	Qatar International Islamic Bank QSC		56,926
	1,532	Qatar Islamic Bank SAQ		63,918
	12,331	Qatar National Bank QPSC		676,537
	3,200	Qatar National Cement Co QSC		50,305
	1,678	Qatar Navigation QSC		31,783
		Total Qatar		1,404,640
		Russia — 1.1%
	197,100	Aeroflot PJSC		336,101
	484,500	Alrosa PJSC		720,284
	30,890	Gazprom Neft PJSC		167,452
	2,694,104	Gazprom PJSC Sponsored ADR		12,856,135
	18,080	Globaltrans Investment Plc Sponsored GDR (Registered)		169,717

Shares		Description	Value ($)
		Russia — continued
	4,528,000	Inter RAO UES PJSC		276,476
	150,076	LUKOIL PJSC Sponsored ADR		11,074,841
	14,840	M.Video PJSC *		92,607
	2,387	Magnit PJSC		124,807
	9,256	Magnit PJSC Sponsored GDR (Registered)		118,734
	143,400	Magnitogorsk Iron & Steel OJSC		100,172
	4,588	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		41,195
	67,866	MMC Norilsk Nickel PJSC ADR		1,283,821
	113,800	Mobile TeleSystems PJSC Sponsored ADR		843,258
	365,870	Moscow Exchange MICEX-RTS PJSC *		488,809
	4,660	Novatek PJSC		78,448
	8,843	Novatek PJSC Sponsered GDR (Registered)		1,508,911
	70,760	Novolipetsk Steel PJSC		167,555
	25,269	Novolipetsk Steel PJSC GDR		598,323
	3,740	PhosAgro PJSC GDR (Registered)		50,043
	16,000	QIWI Plc Sponsored ADR *		240,640
	13,680	Raspadskaya OJSC *		25,554
	349,700	Rostelecom PJSC		371,956
	1,611	Rostelecom PJSC Sponsored ADR		10,384
	6,829,000	RusHydro PJSC		51,431
	5,210	Safmar Financial Investment		45,415
	45,720	Sberbank of Russia PJSC		132,260
	158,306	Sberbank of Russia Sponsored ADR		1,888,068
	4,150	Severstal PJSC		62,134
	23,869	Severstal PJSC GDR (Registered)		351,094
	121,700	Surgutneftegas PJSC		49,686
	8,454	Surgutneftegas PJSC Sponsored ADR		33,685
	37,760	Tatneft PJSC		400,361
	14,362	Tatneft PJSC Sponsored ADR		909,399
	6,125	TCS Group Holding Plc GDR (Registered)		106,218
		Total Russia		35,775,974
		Singapore — 0.1%
	13,900	China Aviation Oil Singapore Corp Ltd		12,598
	67,700	Frasers Centrepoint Trust (REIT)		106,678
	87,800	Japfa Ltd		46,008
	169,000	Mapletree North Asia Commercial Trust (REIT)		139,414
	29,000	Parkway Life Real Estate Investment Trust		57,544
	54,600	UMS Holdings Ltd		24,907
	5,700	United Overseas Bank Ltd		104,660
	183,400	Venture Corp Ltd		2,008,108
	826,600	Yangzijiang Shipbuilding Holdings Ltd		752,808
	416,600	Yanlord Land Group Ltd		393,200
		Total Singapore		3,645,925

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		South Africa — 1.6%
	840,006	Absa Group Ltd		9,336,127
	15,674	Alviva Holdings Ltd		20,097
	3,452	Anglo American Platinum Ltd		111,047
	106,467	Astral Foods Ltd		1,345,440
	36,382	AVI Ltd		262,112
	92,703	Barloworld Ltd		769,299
	12,577	BID Corp Ltd		233,186
	3,730	Bidvest Group Ltd (The)		55,188
	1,616,217	Blue Label Telecoms Ltd *		613,917
	3,816	Capitec Bank Holdings Ltd		302,585
	21,133	Clicks Group Ltd		286,290
	15,986	Coronation Fund Managers Ltd		51,515
	81,255	Delta Property Fund Ltd (REIT)		26,968
	13,581	Dis-Chem Pharmacies Ltd		31,689
	6,211	Discovery Ltd		68,862
	70,955	Emira Property Fund Ltd (REIT)		76,098
	18,222	Exxaro Resources Ltd		170,858
	57,933	FirstRand Ltd		278,687
	7,367	Foschini Group Ltd (The)		92,946
	192,201	Growthpoint Properties Ltd (REIT)		327,725
	16,820	Hyprop Investments Ltd (REIT)		108,255
	11,552	Imperial Holdings Ltd		52,842
	14,273	Invicta Holdings Ltd		36,022
	2,976	JSE Ltd		35,528
	109,251	Kumba Iron Ore Ltd		1,955,005
	55,142	Lewis Group Ltd		115,051
	347,197	Liberty Holdings Ltd		2,679,280
	6,434	Massmart Holdings Ltd		48,878
	1,434,339	Merafe Resources Ltd		152,485
	50,505	Metair Investments Ltd		68,938
	62,576	MMI Holdings Ltd *		78,310
	117,464	Mondi Ltd		2,582,971
	11,552	Motus Holdings Ltd *		72,519
	148,525	Mr Price Group Ltd		2,581,365
	36,439	MTN Group Ltd		229,374
	373,979	Murray & Roberts Holdings Ltd		415,724
	486,467	Nedbank Group Ltd		9,310,712
	346,663	Netcare Ltd		643,029
	12,635	Old Mutual Ltd		21,088
	23,293	Pepkor Holdings Ltd *		35,666
	5,321	Pioneer Foods Group Ltd		32,635
	128,729	Raubex Group Ltd		192,578
	36,583	Rebosis Property Fund Ltd (REIT)		7,927
	73,161	Redefine Properties Ltd (REIT)		50,590
	4,281	Reinet Investments SCA		62,482
	6,583	Resilient Ltd (REIT)		28,496
	286,550	Reunert Ltd		1,519,659
	80,166	RMB Holdings Ltd		451,763
	48,848	Sanlam Ltd		271,492
	1,864	Santam Ltd		42,913
	2,761	Sasol Ltd		81,185
	6,183	SPAR Group Ltd (The)		87,312

Shares		Description	Value ($)
		South Africa — continued
	810,678	Standard Bank Group Ltd		10,241,568
	323,842	Telkom SA SOC Ltd		1,325,660
	100,244	Truworths International Ltd		636,217
	1,332	Vodacom Group Ltd		12,066
	74,414	Wilson Bayly Holmes-Ovcon Ltd		782,414
		Total South Africa		51,510,635
		South Korea — 2.0%
	47,531	BNK Financial Group Inc		326,044
	6,956	Cheil Worldwide Inc		145,776
	6,029	Chong Kun Dang Pharmaceutical Corp		552,965
	11,089	Daou Data Corp		94,121
	7,120	Daou Technology Inc		128,170
	8,807	DB Insurance Co Ltd		531,879
	11,366	DGB Financial Group Inc		89,440
	2,820	Dongsuh Cos Inc		44,906
	21,573	Dongwha Pharm Co Ltd		176,117
	24,043	Dongwon Development Co Ltd		86,856
	4,997	Doosan Heavy Industries & Construction Co Ltd *		50,819
	5,186	F&F Co Ltd		215,769
	1,225	Fila Korea Ltd		55,655
	7,087	Green Cross Holdings Corp		153,115
	2,732	GS Home Shopping Inc		476,886
	70,693	Hana Financial Group Inc		2,376,765
	4,346	Hankook Tire Co Ltd		166,065
	11,275	Hankook Tire Worldwide Co Ltd		169,952
	1,015	Hanssem Co Ltd		53,061
	5,276	Huons Co Ltd		344,054
	3,165	Hyundai Home Shopping Network Corp		282,168
	10,462	Hyundai Hy Communications & Network Co Ltd		40,985
	4,794	Hyundai Marine & Fire Insurance Co Ltd		171,217
	2,077	Hyundai Mobis Co Ltd		334,691
	4,067	Il Dong Pharmaceutical Co Ltd		80,588
	589,811	Industrial Bank of Korea		7,813,047
	76,573	JB Financial Group Co Ltd		390,273
	13,365	Kangwon Land Inc		384,797
	64,126	KB Financial Group Inc		2,702,838
	1,920	KEPCO Plant Service & Engineering Co Ltd		52,841
	177,040	Kia Motors Corp		4,819,988
	15,538	Korea Asset In Trust Co Ltd		64,681
	5,424	Korea United Pharm Inc		115,771
	249	Korea Zinc Co Ltd		94,636
	16,802	Korean Reinsurance Co		133,758
	7,637	KT Hitel Co Ltd *		33,425
	6,301	KT Skylife Co Ltd		64,388
	7,522	KT&G Corp		697,945
	25,588	Kwang Dong Pharmaceutical Co Ltd		157,052
	4,218	Kyobo Securities Co Ltd		35,340
	45,915	LF Corp		990,057

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	46,761	LG Corp		3,017,179
	113,431	LG Electronics Inc		7,363,069
	32,821	LOTTE Himart Co Ltd		1,536,189
	1,509	LS Corp		71,437
	6,289	Meritz Financial Group Inc		64,345
	1,145	S&T Motiv Co Ltd		27,159
	28,512	Samjin Pharmaceutical Co Ltd		1,105,406
	354	Samsung SDS Co Ltd		62,146
	6,821	Seoyon E-Hwa Co Ltd		24,384
	29,836	Shinhan Financial Group Co Ltd		1,100,824
	818	Sindoh Co Ltd		35,187
	9,884	SK Holdings Co Ltd		2,488,988
	239,041	SK Hynix Inc		14,930,531
	241,000	SK Telecom Co Ltd Sponsored ADR		6,837,170
	16,122	SL Corp		233,813
	862	Unid Co Ltd		34,594
	171,766	Woori Bank *		2,405,729
		Total South Korea		67,037,051
		Spain — 0.3%
	20,018	Aena SME SA (a)		3,184,647
	5,912	Almirall SA		101,110
	7,235	Ebro Foods SA		147,806
	50,217	Ence Energia y Celulosa SA		317,767
	16,995	Endesa SA		379,696
	122,738	Iberdrola SA		918,182
	349,503	International Consolidated Airlines Group SA		2,802,160
	18,130	Repsol SA		312,313
	141,805	Unicaja Banco SA		171,365
	981	Viscofan SA		56,171
		Total Spain		8,391,217
		Sweden — 0.9%
	24,547	Acando AB		82,562
	13,790	Alfa Laval AB		297,504
	11,765	Bufab AB		118,466
	7,992	Castellum AB		140,150
	19,486	Electrolux AB – Series B		443,505
	8,521	Granges AB		86,550
	6,557	Hemfosa Fastigheter AB		51,882
	15,811	Hexpol AB		139,763
	8,412	KappAhl AB		22,179
	32,522	Klovern AB – B Shares		37,391
	4,438	KNOW IT AB		83,769
	2,384	Loomis AB – Class B		80,356
	37,752	Nobina AB		242,444
	2,270	Nolato AB – B Shares		98,759
	38,724	Nordea Bank Abp		343,915
	6,557	Nyfosa AB *		30,683
	11,911	Oriflame Holding AG		300,533
	17,218	Peab AB		139,931

Shares		Description	Value ($)
		Sweden — continued
	28,394	Resurs Holding AB		183,409
	458,936	Sandvik AB		6,815,700
	10,392	SKF AB – B Shares		164,444
	36,348	SSAB AB – Series A		130,452
	777,749	Svenska Cellulosa AB – Class B		6,269,860
	67,815	Swedbank AB – A Shares		1,577,617
	46,163	Swedish Match AB (a)		1,804,169
	5,157	Tethys Oil AB		45,722
	10,437	Volvo AB – A Shares		144,971
	698,345	Volvo AB – B Shares		9,744,270
	2,445	Wihlborgs Fastigheter AB		27,927
		Total Sweden		29,648,883
		Switzerland — 1.1%
	3,840	ALSO Holding AG (Registered) *		429,928
	11	Autoneum Holding AG		2,159
	235	Bell Food Group AG (Registered)		74,637
	10,725	BKW AG		730,081
	4,729	Bobst Group SA (Registered)		353,224
	1,929	Bucher Industries AG (Registered)		526,901
	467	Coltene Holding AG (Registered)		39,192
	1,228	Galenica AG *		57,156
	55,875	GAM Holding AG *		294,468
	3,454	Georg Fischer AG (Registered)		2,696,333
	30	Gurit Holding AG		29,623
	851	Inficon Holding AG (Registered) *		403,030
	3,686	Kardex AG (Registered) *		438,842
	704	Landis+Gyr Group AG *		43,850
	42	LEM Holding SA (Registered)		44,296
	2,800	Luxoft Holding Inc *		92,456
	38,379	Nestle SA (Registered)		3,274,228
	89,116	Novartis AG (Registered)		8,136,418
	2,393	Orior AG		198,695
	7,089	Roche Holding AG		1,827,348
	40,279	Roche Holding AG – Genusschein		10,455,781
	40,242	Sika AG (Registered) (a)		4,993,661
	1,414	Swissquote Group Holding SA (Registered)		67,658
	1,604	Zehnder Group AG – Class RG		59,164
	2,066	Zurich Insurance Group AG		649,397
		Total Switzerland		35,918,526
		Taiwan — 2.6%
	298,000	AcBel Polytech Inc		182,473
	32,000	Actron Technology Corp		98,664
	37,000	Advantech Co Ltd		281,494
	77,000	Ardentec Corp		74,146
	251,000	Asia Vital Components Co Ltd		190,834
	539,029	Asustek Computer Inc		3,827,792
	13,000	Aten International Co Ltd		34,841
	8,400	Aurora Corp		26,180
	125,000	Catcher Technology Co Ltd		1,081,020

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	288,000	Cathay Financial Holding Co Ltd		455,753
	215,560	Chailease Holding Co Ltd		677,096
	9,150	Chicony Electronics Co Ltd		17,953
	110,000	Chin-Poon Industrial Co Ltd		138,192
	488,000	China Development Financial Holding Corp		159,165
	150,000	China Life Insurance Co Ltd		142,654
	306,000	China Motor Corp		229,395
	7,000	Chlitina Holding Ltd		55,468
	14,000	Chong Hong Construction Co Ltd		36,038
	205,000	Chunghwa Telecom Co Ltd		713,761
	600	Chunghwa Telecom Co Ltd Sponsored ADR		20,838
	7,000	Cleanaway Co Ltd		38,377
	1,558,000	Coretronic Corp		2,035,776
	1,248,000	CTBC Financial Holding Co Ltd		831,385
	60,000	CTCI Corp		88,733
	96,000	Cyberlink Corp		213,657
	58,000	Dynapack International Technology Corp		79,843
	47,700	Elan Microelectronics Corp		110,007
	15,000	Elite Material Co Ltd		35,714
	206,000	Elitegroup Computer Systems Co Ltd *		88,010
	172,000	Far Eastern Department Stores Ltd		89,564
	258,000	Far Eastern New Century Corp		239,185
	41,000	Far EasTone Telecommunications Co Ltd		96,649
	97,000	Farglory Land Development Co Ltd		113,502
	60,000	Feng TAY Enterprise Co Ltd		383,227
	20,000	FLEXium Interconnect Inc		52,697
	56,000	Formosa Advanced Technologies Co Ltd		59,297
	723,000	Formosa Chemicals & Fibre Corp		2,511,361
	93,000	Formosa Petrochemical Corp		338,042
	425,000	Formosa Plastics Corp		1,384,904
	168,000	Formosa Taffeta Co Ltd		183,660
	84,600	Formosan Rubber Group Inc		42,088
	301,000	Foxconn Technology Co Ltd		610,231
	4,748,000	Fubon Financial Holding Co Ltd		7,546,180
	17,000	General Interface Solution Holding Ltd		56,848
	1,940,000	Gigabyte Technology Co Ltd		2,463,923
	45,000	Globalwafers Co Ltd		539,639
	2,815,000	Grand Pacific Petrochemical		2,052,285
	1,519,400	Great Wall Enterprise Co Ltd		1,602,392
	72,000	Greatek Electronics Inc		98,045
	219,000	Highwealth Construction Corp		334,372
	28,000	Holiday Entertainment Co Ltd		52,798
	711,000	Holtek Semiconductor Inc		1,366,002
	256,200	Hon Hai Precision Industry Co Ltd		601,453
	36,000	HTC Corp *		53,238
	59,000	Huaku Development Co Ltd		121,280
	74,700	IEI Integration Corp		77,604
	69,000	Innolux Corp		23,038
	65,000	International Games System Co Ltd		313,794
	1,813,000	Inventec Corp		1,305,424

Shares		Description	Value ($)
		Taiwan — continued
	44,000	ITEQ Corp		69,942
	601,000	Lite-On Semiconductor Corp		618,101
	81,000	Macronix International		53,910
	42,000	Makalot Industrial Co Ltd		246,321
	5,000	MediaTek Inc		38,727
	83,000	Mercuries Life Insurance Co Ltd *		35,400
	1,898,232	Mitac Holdings Corp		1,746,546
	3,847,000	Nan Ya Plastics Corp		9,308,820
	34,000	Nantex Industry Co Ltd		31,882
	228,000	Nanya Technology Corp		455,534
	4,000	Nien Made Enterprise Co Ltd		29,430
	807,000	Novatek Microelectronics Corp		3,418,949
	3,000	On-Bright Electronics Inc		18,895
	1,045,105	OptoTech Corp		637,562
	1,309,000	Pegatron Corp		2,232,830
	130,000	Phison Electronics Corp		1,063,164
	4,077,000	Pou Chen Corp		4,446,493
	355,000	Quanta Computer Inc		577,604
	1,991,000	Radiant Opto-Electronics Corp		5,473,529
	94,000	Realtek Semiconductor Corp		435,035
	66,600	Ruentex Development Co Ltd		106,180
	221,000	Ruentex Industries Ltd		655,437
	37,000	Sercomm Corp		75,458
	34,000	Sheng Yu Steel Co Ltd		21,676
	80,000	Shinkong Insurance Co Ltd		92,769
	25,000	Sigurd Microelectronics Corp		24,259
	600	Silicon Motion Technology Corp ADR		21,522
	58,800	Simplo Technology Co Ltd		358,927
	9,000	Sinbon Electronics Co Ltd		23,530
	31,050	Sinmag Equipment Corp		121,725
	83,000	Sitronix Technology Corp		300,544
	85,000	Soft-World International Corp		199,738
	47,000	Standard Chemical & Pharmaceutical Co Ltd		46,914
	1,214,000	Sunplus Technology Co Ltd		471,096
	142,500	Syncmold Enterprise Corp		317,498
	212,000	Synnex Technology International Corp		250,284
	32,700	TaiDoc Technology Corp		167,722
	501,000	Taiwan Semiconductor Co Ltd		930,239
	229,000	Taiwan Semiconductor Manufacturing Co Ltd		1,691,232
	152,142	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (b)		5,719,018
	14,000	Taiwan Styrene Monomer		10,999
	388,000	Taiwan Surface Mounting Technology Corp		459,959
	97,000	Teco Electric and Machinery Co Ltd		54,009
	16,000	Test Research Inc		24,724
	41,000	Tong Hsing Electronic Industries Ltd		152,101
	196,843	TOPBI International Holdings Ltd		561,200
	145,485	Topco Scientific Co Ltd		335,565
	24,000	Transcend Information Inc		53,261
	81,000	Tripod Technology Corp		219,895

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	22,000	TXC Corp		24,880
	879,000	Uni-President Enterprises Corp		2,067,927
	162,000	United Integrated Services Co Ltd (c)		337,609
	29,000	Wah Lee Industrial Corp		47,612
	610,000	Walsin Lihwa Corp		367,941
	100,000	Waterland Financial Holdings Co Ltd		32,676
	76,000	Win Semiconductors Corp		315,093
	28,855	Wistron NeWeb Corp		72,398
	67,160	WPG Holdings Ltd		81,998
	40,000	YC INOX Co Ltd		32,141
	66,000	Youngtek Electronics Corp		87,780
	2,940,000	Yuanta Financial Holding Co Ltd		1,503,648
	10,000	Yulon Finance Corp.		29,797
	102,000	Yungtay Engineering Co Ltd		194,499
	6,000	Zeng Hsing Industrial Co Ltd		27,716
		Total Taiwan		86,307,851
		Thailand — 0.7%
	86,900	Advanced Info Service Pcl		473,158
	87,200	Bangkok Dusit Medical Services Pcl NVDR		71,058
	99,500	Central Pattana Pcl NVDR		229,655
	595,200	Com7 Pcl NVDR		345,346
	31,300	Glow Energy Pcl NVDR		82,861
	1,715,200	Home Product Center Pcl NVDR		793,889
	1,784,200	Indorama Ventures Pcl NVDR		2,941,642
	86,200	MC Group Pcl NVDR		30,465
	91,300	Mega Lifesciences Pcl (Foreign Registered)		90,615
	386,000	Mega Lifesciences Pcl NVDR		383,105
	147,500	Pruksa Holding Pcl NVDR		83,518
	1,673,400	PTT Global Chemical Pcl NVDR		4,013,026
	1,675,000	PTT Pcl (Foreign Registered)		2,518,860
	2,313,500	PTT Pcl NVDR		3,479,099
	1,569,600	Quality Houses Pcl		141,541
	68,500	Siam Cement Pcl (The) (Foreign Registered)		922,119
	433,200	Siamgas & Petrochemicals Pcl NVDR		116,949
	77,600	Somboon Advance Technology Pcl NVDR		41,595
	802,200	Star Petroleum Refining Pcl NVDR		293,793
	74,250	Supalai Pcl (Foreign Registered)		45,907
	140,000	Supalai Pcl NVDR		86,559
	5,078,400	Thai Beverage Pcl		2,332,918
	105,700	Thai Oil Pcl NVDR		245,329
	835,700	Thanachart Capital Pcl (Foreign Registered)		1,353,129
	392,400	Thanachart Capital Pcl NVDR		636,608
	62,600	Tipco Asphalt Pcl NVDR		30,332
	223,500	TTW Pcl NVDR		82,903
		Total Thailand		21,865,979
		Turkey — 0.6%
	452,260	Akbank Turk AS		665,618
	19,588	Aksa Akrilik Kimya Sanayii AS		31,222

Shares		Description	Value ($)
		Turkey — continued
	112,180	Albaraka Turk Katilim Bankas AS		27,126
	79,723	Anadolu Cam Sanayii AS		42,857
	139,717	Aselsan Elektronik Sanayi Ve Ticaret AS		715,694
	54,122	BIM Birlesik Magazalar AS		877,255
	9,923	Coca-Cola Icecek AS		55,610
	358,460	Dogan Sirketler Grubu Holding AS *		79,152
	125,123	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		72,544
	171,183	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)		53,187
	121,395	Enerjisa Enerji AS		115,976
	135,485	Enka Insaat ve Sanayi AS		121,895
	743,753	Eregli Demir ve Celik Fabrikalari TAS		1,083,534
	55,484	Ford Otomotiv Sanayi AS		575,888
	161,854	Haci Omer Sabanci Holding AS		255,697
	263,718	Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim AS *		307,871
	1,505,487	KOC Holding AS		4,430,655
	22,679	Kordsa Teknik Tekstil AS		44,092
	10,524	Mavi Giyim Sanayi Ve Ticaret AS – Class B		76,018
	5,302	Otokar Otomotiv Ve Savunma Sanayi AS		86,790
	150,425	Petkim Petrokimya Holding AS		153,081
	112,494	Selcuk Ecza Deposu Ticaret ve Sanayi AS		62,829
	498,954	Soda Sanayii AS		684,705
	100,957	TAV Havalimanlari Holding AS		453,977
	63,592	Tekfen Holding AS		244,480
	15,441	Tofas Turk Otomobil Fabrikasi AS		57,452
	158,430	Trakya Cam Sanayii AS		94,781
	31,038	Tupras Turkiye Petrol Rafineriler AS		743,410
	120,800	Turkcell Iletisim Hizmetleri AS		294,275
	620,215	Turkiye Garanti Bankasi AS		982,713
	144,933	Turkiye Halk Bankasi AS		200,416
	5,943,110	Turkiye Is Bankasi – Class C		4,860,687
	446,267	Turkiye Sinai Kalkinma Bankasi AS		67,641
	726,113	Turkiye Vakiflar Bankasi TAO – Class D		558,441
	19,085	Ulker Biskuvi Sanayi AS *		57,101
	1,673,973	Yapi ve Kredi Bankasi AS *		555,423
		Total Turkey		19,790,093
		United Arab Emirates — 0.0%
	32,088	Abu Dhabi Commercial Bank PJSC		68,606
	198,902	Air Arabia PJSC		55,222
	83,756	Al Waha Capital PJSC		38,481
	325,089	DAMAC Properties Dubai Co PJSC		165,425
	385,199	Dana Gas PJSC		97,025
	2,487	DP World Ltd		40,728
	176,216	Dubai Investments PJSC		64,885
	47,525	Dubai Islamic Bank PJSC		67,887
	32,329	Emaar Development PJSC		43,567
	105,729	Emaar Malls PJSC		51,867

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		United Arab Emirates — continued
	187,648	Emaar Properties PJSC		230,881
	35,656	Emirates Telecommunications Group Co PJSC		161,540
	7,741	First Abu Dhabi Bank PJSC		28,700
	518,450	RAK Properties PJSC		72,109
		Total United Arab Emirates		1,186,923
		United Kingdom — 2.9%
	606,711	3i Group Plc		6,481,027
	15,949	Ashmore Group Plc		75,756
	45,713	Ashtead Group Plc		1,030,738
	92,666	AstraZeneca Plc		7,215,821
	4,965	AVEVA Group Plc		162,664
	86,163	Aviva Plc		447,910
	32,731	BAE Systems Plc		205,759
	83,455	Barratt Developments Plc		493,446
	46,806	Bellway Plc		1,519,134
	110,021	Berkeley Group Holdings Plc (The)		4,534,482
	39,702	Bovis Homes Group Plc		436,014
	411,350	BP Plc		2,735,683
	2,400	BP Plc Sponsored ADR		96,840
	223,366	British American Tobacco Plc		7,820,451
	4,300	British American Tobacco Plc Sponsored ADR		149,941
	14,964	Britvic Plc		163,525
	34,004	BT Group Plc		113,791
	10,795	Central Asia Metals Plc		29,321
	13,892	Close Brothers Group Plc		267,210
	17,232	CMC Markets Plc		24,726
	118,289	Coca-Cola HBC AG *		3,538,295
	63,788	Compass Group Plc		1,367,935
	51,171	Computacenter Plc		701,326
	3,662	Costain Group Plc		17,390
	2,280	Cranswick Plc		82,763
	17,831	Dart Group Plc		190,428
	1,523	Derwent London Plc (REIT)		55,563
	2,300	Diageo Plc Sponsored ADR (b)		332,005
	26,906	Direct Line Insurance Group Plc		112,735
	9,008	Drax Group Plc		45,079
	57,274	EI Group Plc *		134,760
	255,932	Electrocomponents Plc		1,682,243
	10,583	Evraz Plc		61,674
	452,802	Ferrexpo Plc		1,017,825
	6,987	Fevertree Drinks Plc		213,938
	113,770	Firstgroup Plc *		130,128
	47,720	Galliford Try Plc		438,420
	1,267	Games Workshop Group Plc		49,099
	185,435	GlaxoSmithKline Plc		3,844,054
	179,800	GlaxoSmithKline Plc Sponsored ADR		7,528,226
	1,859	Go–Ahead Group Plc		40,889
	16,508	Grainger Plc		53,409
	981	Hikma Pharmaceuticals Plc		22,378

Shares		Description	Value ($)
		United Kingdom — continued
	21,400	HSBC Holdings Plc Sponsored ADR		910,356
	15,342	Hunting Plc		111,189
	246,713	IG Group Holdings Plc		1,864,243
	26,072	Imperial Brands Plc		803,647
	72,047	Inchcape Plc		534,872
	315,201	Indivior Plc *		411,158
	11,084	Intermediate Capital Group Plc		143,976
	33,162	J Sainsbury Plc		129,225
	70,578	JD Sports Fashion Plc		357,008
	19,655	John Laing Group Plc		82,226
	16,565	Land Securities Group Plc (REIT)		172,245
	928,537	Legal & General Group Plc		2,907,898
	2,830,072	Lloyds Banking Group Plc		2,003,097
	21,385	Lookers Plc		24,672
	17,811	Mondi Plc		390,024
	10,316	Morgan Advanced Materials Plc		36,170
	9,205	Morgan Sindall Group Plc		144,217
	21,220	Next Plc		1,324,976
	61,500	Nomad Foods Ltd *		1,243,530
	1,467	Northgate Plc		7,233
	23,094	Numis Corp Plc		80,672
	16,134	Pagegroup Plc		102,664
	97,805	Pearson Plc		1,204,331
	399,862	Persimmon Plc		9,718,922
	114,441	Plus500 Ltd		2,218,016
	5,228	Polypipe Group Plc		22,851
	301,151	QinetiQ Group Plc		1,143,949
	44,209	Reckitt Benckiser Group Plc		3,680,031
	36,908	Redrow Plc		220,955
	5,550	Rotork Plc		18,592
	23,436	Royal Dutch Shell Plc – Class A		708,886
	11,200	Royal Dutch Shell Plc – Class A Sponsored ADR		676,480
	12,100	Royal Dutch Shell Plc – Class B Sponsored ADR (b)		750,563
	56,633	Royal Mail Plc		231,696
	43,911	RPS Group Plc		86,970
	6,068	Safestore Holdings Plc (REIT)		40,867
	32,609	Segro Plc (REIT)		251,588
	26,855	Softcat Plc		206,497
	14,277	Spectris Plc		437,143
	13,760	SSP Group Plc		110,152
	44,119	Stock Spirits Group Plc		107,550
	84,322	Tate & Lyle Plc		772,864
	5,947	Telford Homes Plc		23,455
	9,663	TUI AG		138,039
	64,189	Unilever Plc		3,478,673
	47,908	Vesuvius Plc		323,276
	110,621	William Hill Plc		228,843
		Total United Kingdom		96,251,288

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		United States — 4.2%
	29,949	3M Co.		6,226,996
	37,174	Abbott Laboratories (b)		2,752,735
	31,882	Accenture Plc – Class A		5,245,227
	10,725	Alphabet, Inc. – Class C *		11,737,762
	44,094	American Express Co. (b)		4,950,433
	13,504	Amphenol Corp. – Class A (b)		1,187,542
	13,327	Anthem, Inc. (b)		3,865,763
	52,175	Apple, Inc.		9,317,411
	7,034	Becton Dickinson and Co.		1,777,844
	300	Booking Holdings, Inc.*		567,564
	84,099	Cisco Systems, Inc. (b)		4,025,819
	62,675	Coca-Cola Co. (The) (b)		3,158,820
	53,706	Cognizant Technology Solutions Corp. – Class A		3,825,478
	24,167	Costco Wholesale Corp. (b)		5,589,344
	16,242	Facebook, Inc. – Class A *		2,283,788
	13,110	Honeywell International, Inc.		1,923,893
	42,126	Johnson & Johnson		6,188,309
	6,222	Mastercard, Inc. – Class A (b)		1,251,058
	59,211	Medtronic Plc (b)		5,774,849
	54,939	Merck & Co., Inc. (a)		4,358,860
	83,799	Microsoft Corp.		9,292,471
	153,811	Oracle Corp.		7,499,824
	7,137	PepsiCo, Inc.		870,286
	24,836	Philip Morris International, Inc.		2,149,059
	22,994	QUALCOMM, Inc. (b)		1,339,630
	41,919	Texas Instruments, Inc. (b)		4,185,612
	73,548	TJX Cos., Inc. (The)		3,592,820
	22,704	UnitedHealth Group, Inc. (b)		6,387,997
	29,569	United Technologies Corp.		3,602,687
	96,729	US Bancorp (b)		5,267,861
	8,500	Visa, Inc. – Class A		1,204,535
	100,939	Wells Fargo & Co.		5,478,969
		Total United States		136,881,246
		TOTAL COMMON STOCKS (COST $1,424,222,519)		1,359,655,890
		PREFERRED STOCKS (d) — 0.8%
		Brazil — 0.3%
	159,100	Banco do Estado do Rio Grande do Sul SA – Class B		898,114
	610,200	Braskem SA – Class A		8,553,368
		Total Brazil		9,451,482
		Colombia — 0.0%
	2,927	Banco Davivienda SA		29,433
	4,400	Bancolombia SA Sponsored ADR		176,044
	89,458	Grupo Aval Acciones y Valores SA		28,630
		Total Colombia		234,107

Shares		Description	Value ($)
		Germany — 0.1%
	9,487	Bayerische Motoren Werke AG		691,843
	1,885	Draegerwerk AG & Co KGaA		103,034
	6,368	Henkel AG & Co KGaA		738,075
	2,886	Sixt SE		196,927
	8,093	Volkswagen AG		1,373,600
		Total Germany		3,103,479
		Russia — 0.1%
	5,133	Bashneft PJSC		141,340
	1,204,100	Sberbank of Russia PJSC		3,034,957
	499,500	Surgutneftegas PJSC		281,675
	92	Transneft PJSC		240,796
		Total Russia		3,698,768
		South Korea — 0.3%
	38,442	LG Electronics Inc		1,018,874
	316,358	Samsung Electronics Co Ltd		9,568,045
	1,079	Samsung Electronics Co Ltd GDR		810,064
		Total South Korea		11,396,983
		Sweden — 0.0%
	2,540	Akelius Residential Property AB		92,685
		Taiwan — 0.0%
	14,463	CTBC Financial Holding Co Ltd		29,494
		TOTAL PREFERRED STOCKS (COST $28,370,981)		28,006,998
		RIGHTS/WARRANTS — 0.0%
		Australia — 0.0%
	14,943	Cromwell Property Group, Expires 12/13/18 *		—
		Brazil — 0.0%
	39,608	Oi SA ADR Expires 01/03/19 *		1,946
		TOTAL RIGHTS/WARRANTS (COST $5,868)		1,946
		INVESTMENT FUNDS — 0.0%
		United States — 0.0%
	3,998	iShares Core MSCI Emerging Markets ETF		197,781
	10,762	iShares MSCI Emerging Markets ETF		442,103
		Total United States		639,884
		TOTAL INVESTMENT FUNDS (COST $638,010)		639,884

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 20.7%
		United States — 20.7%
		Asset-Backed Securities — 3.7%
	3,691,920	AccessLex Institute, Series 07-1, Class A4, Variable Rate, 3 mo. LIBOR + 0.06%, 2.55%, due 01/25/23		3,628,779
	258,163	AMMC CLO 21 Ltd., Series 17-21A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.41%, due 11/02/30		258,419
	1,193,500	AMMC CLO XI Ltd., Series 12-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.17%, due 04/30/31		1,193,316
	944,059	AMMC CLO XII Ltd., Series 13-12A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.27%, due 11/10/30		944,049
	377,624	AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.44%, due 07/24/29		378,373
	604,263	AMMC CLO XIV Ltd., Series 14-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.44%, due 07/25/29		605,234
	127,179	Anchorage Capital CLO Ltd., Series 15-6A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.34%, due 07/15/30		127,304
	836,990	Apidos CLO XII, Series 13-12A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.04%, due 04/15/31		835,835
	379,750	Apidos CLO XV, Series 13-15A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.07%, due 04/20/31		379,744
	819,320	Apidos CLO XVI, Series 13-16A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.98%, 3.43%, due 01/19/25		818,908
	325,500	Ares XXXIIR CLO Ltd., Series 14-32RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.00%, due 05/15/30		325,497
	404,799	Atlas Senior Loan Fund III Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.24%, due 11/17/27		404,796
	325,500	Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 07/26/31		325,478
	243,926	Avery Point III CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.56%, due 01/18/25		243,961
	451,625	Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 3.59%, due 04/25/26		451,686
	4,727,123	B&M CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.73%, 3.17%, due 04/16/26		4,707,255
	802,782	Babson CLO Ltd., Series 14-IA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.62%, due 07/20/25		802,942

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	206,530	Bain Capital Credit CLO, Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.27%, due 07/20/30		206,528
	347,200	Barings CLO Ltd., Series 18-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.04%, due 04/15/30		347,195
	596,042	Bayview Commercial Mortgage Pass-Through Trust, Series 06-SP1, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.57%, 3.17%, due 04/25/36		594,206
	201,367	Benefit Street Partners CLO III Ltd., Series 13-IIIA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.32%, due 07/20/29		201,466
	116,250	Black Diamond CLO Ltd., Series 17-IA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.49%, due 04/24/29		116,387
	488,250	BlueMountain CLO Ltd., Series 15-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 3.02%, due 04/20/30		488,243
	325,500	BlueMountain CLO Ltd., Series 15-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.07%, due 04/20/31		325,495
	342,345	Brookside Mill CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.05%, due 01/17/28		342,340
	514,057	Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.14%, due 07/15/31		514,049
	986,364	Carlyle Global Market Strategies CLO Ltd., Series 14-2RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.32%, due 05/15/31		986,354
	330,448	Catamaran CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.07%, due 04/22/30		330,382
	939,711	CBAM Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.15%, due 10/17/29		940,195
	1,548,975	CBAM Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.04%, due 01/15/31		1,548,952
	813,750	Cent CLO, Series C17A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.17%, due 04/30/31		813,784
	619,590	CIFC Funding II Ltd., Series 13-2A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.09%, due 10/18/30		619,518
	260,400	CIFC Funding III Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.27%, due 07/20/30		260,498
	795,684	CIFC Funding IV Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.24%, due 10/24/30		795,879
	2,729,173	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35		403,918
	640,828	Crown Point CLO Ltd., Series 18-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.07%, due 04/20/31		640,819

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	249,305	CVP Cascade CLO-1 Ltd., Series 13-CLO1, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.59%, due 01/16/26		249,333
	320,042	DBUBS Mortgage Trust, Series 11-LC1A, Class A3, 144A, 5.00%, due 11/10/46		327,750
	608,660	Dryden 30 Senior Loan Fund, Series 13-30A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.21%, due 11/15/28		608,654
	856,000	Elevation CLO Ltd, Series 16-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.26%, due 10/25/31		855,914
	309,795	Elevation CLO Ltd., Series 14-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.09%, due 10/15/29		309,790
	237,510	Galaxy XV CLO Ltd., Series 13-15A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.09%, due 10/15/30		238,049
	972,883	Galaxy XX CLO Ltd., Series 15-20A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.07%, due 04/20/31		972,626
	524,055	Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.23%, due 05/16/31		523,994
	4,661,556	GCO Education Loan Funding Master Trust-II, Series 07-1A, Class A6L, 144A, Variable Rate, 3 mo. LIBOR + 0.11%, 2.80%, due 11/25/26		4,635,142
	247,954	GCO Education Loan Funding Trust, Series 06-1, Class A9L, Variable Rate, 3 mo. LIBOR + 0.16%, 2.85%, due 05/25/26		247,094
	790,792	Goldentree Loan Management US CLO 2 Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.07%, due 11/28/30		790,666
	475,562	Goldentree Loan Opportunities XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.04%, due 01/18/31		475,495
	505,998	Greywolf CLO V Ltd., Series 15-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.14%, due 01/27/31		505,910
	2,408,026	GS Mortgage Securities Trust, Series 11-GC3, Class A4, 144A, 4.75%, due 03/10/44		2,465,454
	200,267	Halcyon Loan Advisors Funding Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.59%, due 04/15/25		200,289
	133,266	Halcyon Loan Advisors Funding Ltd., Series 13-1X, Class A1, Variable Rate, 3 mo. LIBOR + 1.15%, 3.59%, due 04/15/25		133,280
	1,699,864	Halcyon Loan Advisors Funding Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.13%, 3.57%, due 04/18/26		1,700,014

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	463,837	Highbridge Loan Management Ltd., Series 6A-2015, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.23%, due 02/05/31		463,831
	154,898	Highbridge Loan Management Ltd., Series 3A-2014, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.24%, due 07/18/29		154,954
	206,530	Highbridge Loan Management Ltd., Series 13-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.12%, due 10/20/29		206,580
	1,377,933	Higher Education Funding I, Series 05-1, Class A5, Variable Rate, 3 mo. LIBOR + 0.16%, 2.84%, due 02/25/32		1,376,828
	644,490	ICG US CLO Ltd., Series 14-2A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.99%, due 01/15/31		644,480
	413,060	Jamestown CLO X Ltd., Series 17-10A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.35%, due 07/17/29		413,464
	248,706	KeyCorp Student Loan Trust, Series 00-A, Class A2, Variable Rate, 3 mo. LIBOR + 0.32%, 3.01%, due 05/25/29		247,888
	803,587	KeyCorp Student Loan Trust, Series 00-B, Class A2, Variable Rate, 3 mo. LIBOR + 0.31%, 2.80%, due 07/25/29		797,911
	214,888	KeyCorp Student Loan Trust, Series 06-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.31%, 2.69%, due 09/27/35		214,901
	1,116,701	KeyCorp Student Loan Trust, Series 99-B, Class CTFS, Variable Rate, 3 mo. LIBOR + 0.90%, 3.59%, due 11/25/36		1,118,092
	7,262	KeyCorp Student Loan Trust, Series 04-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.53%, 3.04%, due 01/27/42		7,265
	541,144	Kingsland VIII Ltd., Series 18-8A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.17%, due 04/20/31		541,135
	244,575	KKR CLO Ltd., Series 9, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.39%, due 07/15/30		244,800
	567,910	LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.07%, due 04/20/31		567,901
	396,212	LCM XXV Ltd., Series 25,A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.42%, due 07/20/30		396,919
	267,661	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 2.53%, due 02/25/30		263,575
	31,384	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 2.56%, due 09/25/30		31,362

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	1,445,304	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 2.58%, due 06/25/37		1,425,169
	564,200	Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.05%, due 04/19/30		564,147
	555,839	Magnetite IX Ltd., Series 14-9A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.49%, due 07/25/26		555,829
	1,627,500	Marathon CLO VI Ltd., Series 14-6A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.32%, due 05/13/28		1,627,482
	1,957,223	Montana Higher Education Student Assistance Corp., Series 12-1, Class A2, Variable Rate, 1 mo. LIBOR + 1.00%, 3.30%, due 05/20/30		1,973,621
	4,167,123	Montana Higher Education Student Assistance Corp., Series 05-1, Class B, Variable Rate, 3 mo. LIBOR + 0.12%, 2.46%, due 06/20/30		4,165,040
	557,631	Mountain View CLO LLC, Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.09%, due 01/16/31		557,669
	2,836,000	Mountain View CLO Ltd., Series 14-1A, Class ARR, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.24%, due 10/15/26		2,825,566
	507,412	Mountain View CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.18%, due 10/12/30		507,402
	3,891,205	National Collegiate Student Loan Trust, Series 07-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.23%, 2.55%, due 03/26/29		3,854,870
	1,082,704	National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate, 1 mo. LIBOR + 0.24%, 2.56%, due 07/25/30		1,066,160
	72,791	Nationslink Funding Corp. Commercial Loan Pass Through Certificate, Series 99-LTL1, Class D, 144A, 6.45%, due 01/22/26		73,427
	248,553	Navient Private Education Loan Trust, Series 14-CTA, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.70%, 3.01%, due 09/16/24		249,027
	357,235	Navient Private Education Loan Trust Class A, Series 14-AA, Class A2A, 144A, 2.74%, due 02/15/29		352,568
	418,798	Navient Private Education Loan Trust Class A, Series 14-AA, Class A2B, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 3.56%, due 02/15/29		423,800
	1,088,228	Navient Student Loan Trust, Series 16-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 1.05%, 3.37%, due 06/25/65		1,097,792

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	1,159,573	Nelnet Student Loan Trust, Series 10-4A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.80%, 3.12%, due 04/25/46		1,168,111
	228,230	Neuberger Berman CLO XV, Series 13-15A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.09%, due 10/15/29		228,204
	276,878	Neuberger Berman CLO XVII Ltd., Series 14-17A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.47%, due 04/22/29		277,200
	436,002	Newcastle CDO V Ltd., Series 04-5A, Class 3, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.20%, due 12/24/39		435,654
	1,707,609	Ocean Trails CLO IV, Series 13-4A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.52%, due 08/13/25		1,704,781
	164,920	Octagon Investment Partners XIV Ltd., Series 12-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.88%, 3.32%, due 07/15/19		164,925
	215,362	Octagon Investment Partners XV Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.25%, due 07/19/30		215,399
	649,027	Octagon Investment Partners XVII Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.09%, due 01/25/31		649,018
	177,026	OFSI Fund V Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.29%, due 08/16/29		177,156
	1,474,175	OFSI Fund VI Ltd., Series 14-6A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.09%, due 03/20/25		1,470,675
	271,750	OHA Credit Partners XIV Ltd., Series 17-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.07%, due 01/21/30		271,711
	454,366	OZLM Funding Ltd., Series 13-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.12%, due 10/22/30		454,312
	1,302,000	OZLM VI Ltd., Series 14-6A, Class XS, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.15%, due 04/17/31		1,301,978
	197,291	OZLM XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.27%, due 10/30/30		197,328
	3,302,599	Palmer Square Loan Funding Ltd., Series 18-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.04%, due 04/15/26		3,273,612
	1,396,022	Seneca Park CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.57%, due 07/17/26		1,396,414
	430,271	Shackleton CLO Ltd., Series 13-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.04%, due 07/15/30		430,264

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	391,191	Silvermore CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 3.79%, due 05/15/26		391,285
	282,512	SLC Student Loan Trust, Series 05-3, Class A3, Variable Rate, 3 mo. LIBOR + 0.12%, 2.45%, due 06/15/29		281,610
	1,024,815	SLM Private Credit Student Loan Trust, Series 04-B, Class A3, Variable Rate, 3 mo. LIBOR + 0.33%, 2.66%, due 03/15/24		1,024,414
	1,071,014	SLM Private Credit Student Loan Trust, Series 07-A, Class A3, Variable Rate, 3 mo. LIBOR + 0.17%, 2.50%, due 12/15/26		1,070,868
	495,655	SLM Private Education Loan Trust, Series 14-A, Class A2B, 144A, Variable Rate, 1 mo. LIBOR + 1.15%, 3.46%, due 01/15/26		497,076
	27,623	SLM Private Education Loan Trust, Series 11-A, Class A2, 144A, 4.37%, due 04/17/28		27,639
	1,323,700	SLM Private Education Loan Trust, Series 11-B, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 2.25%, 4.56%, due 06/16/42		1,353,250
	2,219,654	SLM Private Education Loan Trust, Series 11-A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 2.50%, 4.81%, due 01/15/43		2,255,411
	1,723,653	SLM Private Education Loan Trust, Series 10-A, Class 2A, 144A, Variable Rate, 1 mo. LIBOR + 3.25%, 5.56%, due 05/16/44		1,750,290
	780,713	SLM Private Education Loan Trust, Series 11-C, Class A2B, 144A, 4.54%, due 10/17/44		786,813
	1,617,782	SLM Student Loan Trust, Series 07-3, Class A3, Variable Rate, 3 mo. LIBOR + 0.04%, 2.53%, due 04/25/19		1,614,272
	4,386,832	SLM Student Loan Trust, Series 07-6, Class A4, Variable Rate, 3 mo. LIBOR + 0.38%, 2.87%, due 10/25/24		4,390,781
	1,544,119	SMB Private Education Loan Trust Class A, Series 18-A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.35%, 2.66%, due 03/16/26		1,542,912
	818,000	Sound Point CLO VI-R Ltd, Series 14-2RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.17%, due 10/20/31		817,964
	211,781	South Carolina Student Loan Corp., Series 05, Class A3, Variable Rate, 3 mo. LIBOR + 0.14%, 2.46%, due 12/01/23		211,569
	320,567	South Carolina Student Loan Corp., Series 10-1, Class A2, Variable Rate, 3 mo. LIBOR + 1.00%, 3.49%, due 07/25/25		321,914

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	454,983	Symphony CLO V Ltd., Series 07-5A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.19%, due 01/15/24		455,135
	708,453	Symphony CLO XV Ltd., Series 14-15A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.18%, 3.63%, due 10/17/26		708,664
	154,898	Telos CLO, Series 13-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.45%, due 07/17/19		155,033
	734,400	Telos CLO Ltd., Series 14-6A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.27%, 3.72%, due 01/17/27		734,501
	752,267	Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.20%, due 04/17/28		752,254
	693,941	Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.20%, due 01/17/30		693,929
	103,075	THL Credit Wind River CLO Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.37%, due 07/20/30		103,180
	464,692	THL Credit Wind River CLO Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.24%, due 11/20/30		464,689
	1,055,550	TICP CLO I-2 Ltd., Series 18-IA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.63%, 3.14%, due 04/26/28		1,055,533
	1,376,400	TICP CLO III-2 Ltd., Series 18-3R, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 3.02%, due 04/20/28		1,376,379
	1,085,000	Tryon Park CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.99%, due 04/15/29		1,084,984
	224,839	Velocity Commercial Capital Loan Trust, Series 15-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 2.43%, 4.74%, due 06/25/45		225,590
	345,584	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFX, 144A, Variable Rate, 3.00%, due 05/25/47		341,558
	596,534	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 3.56%, due 05/25/47		599,964
	204,315	Venture VII CDO Ltd., Series 06-7A, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 0.23%, 2.70%, due 01/20/22		204,038
	309,795	Voya CLO Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.27%, due 07/20/30		309,761
	774,487	Voya CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.04%, due 10/15/30		774,476
	309,225	Voya CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.63%, 3.07%, due 04/18/31		309,220

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	1,927,356	WhiteHorse IX Ltd, Series 14-9A, Class AR, 144A, Variable Rate, 3 mo. LIBOR +1.16%, 3.61%, due 07/17/26		1,927,597
	1,224,000	WhiteHorse Ltd., Series 18-12A, Class X ,144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.18%, due 10/15/31		1,223,922
	3,711,927	WhiteHorse VIII Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.44%, due 05/01/26		3,704,722
	90,191	Ziggurat CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.35%, due 04/17/29		90,235
		Total Asset-Backed Securities		120,608,867
		U.S. Government — 15.9%
	66,734,745	U.S. Treasury Inflation Indexed Bond, 0.63%, due 04/15/23 (e)		65,476,517
	26,247,537	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (e)		25,060,773
	64,793,336	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (e)		62,948,245
	92,228,565	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (e)		87,297,699
	3,614,851	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/27 (e)		3,420,741
	63,027,312	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (e)		59,898,925
	78,116,078	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (e)		82,670,815
	53,048,938	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (e)		60,144,233
	7,500,000	U.S. Treasury Note, 2.50%, due 06/30/20 (a)		7,465,137
	10,500,000	U.S. Treasury Note, 2.63%, due 07/31/20		10,468,008
	14,700,000	U.S. Treasury Note, 2.63%, due 08/31/20 (a)		14,652,914
	11,500,000	U.S. Treasury Note, 2.75%, due 09/30/20 (a)		11,486,523
	15,350,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.43%, due 10/31/20		15,348,789
	3,500,000	U.S. Treasury Note, 2.88%, due 10/31/20		3,503,418
	15,000,000	U.S. Treasury Note, 2.75%, due 11/30/20		14,983,594
		Total U.S. Government		524,826,331
		U.S. Government Agency — 1.1%
	4,000,000	Federal Home Loan Banks, Zero Coupon, due 12/07/18		3,998,992
	3,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR –0.24%, 2.09%, due 03/06/19		2,999,673
	7,500,000	Federal Home Loan Banks, Step Up, 2.28%, due 09/20/19		7,498,178
	10,500,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR –0.16%, 2.43%, due 02/07/20		10,499,206

Par Value† / Shares		Description	Value ($)
		United States — continued
		U.S. Government Agency — continued
	8,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR –0.24%, 2.20%, due 04/13/20		7,990,047
	70,743	Government National Mortgage Association, Series 12-H15, Class FA, Variable Rate, 1 mo. LIBOR + 0.45%, 2.72%, due 05/20/62		70,747
	1,823,713	Government National Mortgage Association, Series 17-H12, Class FE, Variable Rate, 1 mo. LIBOR + 0.20%, 2.47%, due 06/20/66		1,820,976
	469,013	Government National Mortgage Association, Series 17-H05, Class FJ, Variable Rate, 1 mo. LIBOR + 0.27%, 2.54%, due 01/20/67		468,516
	469,815	Government National Mortgage Association, Series 17-H13, Class FJ, Variable Rate, 1 mo. LIBOR + 0.20%, 2.47%, due 05/20/67		469,204
		Total U.S. Government Agency		35,815,539
		Total United States		681,250,737
		TOTAL DEBT OBLIGATIONS (COST $696,081,282)		681,250,737
		MUTUAL FUNDS — 34.1%
		United States — 34.1%
		Affiliated Issuers — 34.1%
	5,075,032	GMO Emerging Country Debt Fund, Class IV		134,995,848
	13,350,523	GMO Emerging Markets Fund, Class VI		417,604,372
	7,804,484	GMO Opportunistic Income Fund, Class VI		209,940,626
	4,081,954	GMO Risk Premium Fund, Class VI		111,029,144
	4,759,278	GMO SGM Major Markets Fund, Class VI		148,917,792
	5,686,502	GMO Special Opportunities Fund, Class VI		101,504,067
		TOTAL MUTUAL FUNDS (COST $1,092,780,906)		1,123,991,849
		SHORT-TERM INVESTMENTS — 5.1%
		Foreign Government Obligations — 2.4%
JPY	1,900,000,000	Japan Treasury Discount Bill, Zero Coupon, due 12/10/18		16,738,194
JPY	197,000,000	Japan Treasury Discount Bill, Zero Coupon, due 01/09/19		1,735,830
JPY	1,937,000,000	Japan Treasury Discount Bill, Zero Coupon, due 01/15/19		17,068,278
JPY	1,788,000,000	Japan Treasury Discount Bill, Zero Coupon, due 01/28/19		15,757,019
JPY	2,825,000,000	Japan Treasury Discount Bill, Zero Coupon, due 02/12/19		24,899,097

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value† / Shares			Description	Value ($)
			Foreign Government Obligations — continued
GBP	1,300,000		United Kingdom Treasury Bill, Zero Coupon, due 12/10/18		1,656,327
			Total Foreign Government Obligations		77,854,745
			Money Market Funds — 0.2%
	6,004,867		State Street Institutional Treasury Money Market Fund-Premier Class , 2.19% (f)		6,004,867
			Repurchase Agreements — 2.5%
	42,585,405		Daiwa Capital Markets America Inc. Repurchase Agreement, dated 11/30/18, maturing on 12/03/18 with a maturity value of $42,593,532 and an effective yield of 2.29%, collateralized by a U.S. Treasury Note with maturity date 03/31/25 and a market value of $43,478,558.		42,585,405
	39,999,709		Nomura Securities International Inc. Repurchase Agreement, dated 11/30/18, maturing on 12/03/18 with a maturity value of $40,007,309 and an effective yield of 2.28%, collateralized by a U.S. Treasury Note with maturity date 10/15/21 and a market value of $40,822,377.		39,999,709
			Total Repurchase Agreements		82,585,114
			TOTAL SHORT-TERM INVESTMENTS (COST $166,880,732)		166,444,726
			TOTAL INVESTMENTS — 101.9% (Cost $3,408,980,298)		3,359,992,030
			SECURITIES SOLD SHORT — (1.1)%
			Common Stocks — (1.1)%
			Brazil — (0.1)%
	(118,200	)	Pagseguro Digital Ltd – Class A *		(2,836,800	)
			Canada — (0.1)%
	(37,300	)	Agnico Eagle Mines Ltd		(1,309,976	)
	(20,850	)	Algonquin Power & Utilities Corp		(220,802	)
	(47,700	)	Barrick Gold Corp		(608,175	)
	(6,000	)	Cameco Corp		(71,280	)
	(93,900	)	Kinross Gold Corp. *		(254,469	)
	(2,500	)	Maxar Technologies Ltd		(41,400	)
	(21,600	)	Restaurant Brands Intern		(1,259,928	)
	(38,300	)	Yamana Gold Inc		(79,664	)
			Total Canada		(3,845,694	)
			Denmark — (0.0)%
	(478	)	AP Moller - Maersk A/S – Class B		(686,749	)
			Finland — (0.0)%
	(6,760	)	Outokumpu Oyj		(28,244	)

Shares			Description	Value ($)
			France — (0.0)%
	(16,514	)	DBV Technologies SA *		(495,168	)
	(1,605	)	Iliad SA		(216,862	)
	(3,468	)	Wendel SA		(421,874	)
			Total France		(1,133,904	)
			Germany — (0.1)%
	(266,464	)	Deutsche Bank AG (Registered)		(2,445,976	)
	(7,300	)	QIAGEN NV *		(258,712	)
	(74,353	)	thyssenkrupp AG		(1,396,919	)
			Total Germany		(4,101,607	)
			Israel — (0.0)%
	(16,100	)	Tower Semiconductor Ltd *		(253,736	)
	(1,700	)	Wix.com Ltd *		(160,106	)
			Total Israel		(413,842	)
			Italy — (0.1)%
	(11,920	)	BPER Banca		(48,646	)
	(73,125	)	Brembo SPA		(816,490	)
	(634,163	)	Saipem SPA *		(2,784,474	)
			Total Italy		(3,649,610	)
			Japan — (0.2)%
	(18,000	)	Acom Co Ltd		(66,161	)
	(44	)	AEON REIT Investment Corp		(49,195	)
	(20	)	Daiwa House Investment Corp (REIT)		(45,392	)
	(1,700	)	FP Corp.		(103,865	)
	(2,800	)	Fujitsu General Ltd		(39,710	)
	(500	)	Goldwin Inc		(51,951	)
	(10,500	)	Hokkaido Electric Power Co Inc		(72,012	)
	(12	)	Hulic Reit Inc (REIT)		(17,549	)
	(143	)	Invincible Investment Corp (REIT)		(59,401	)
	(29,700	)	Japan Lifeline Co Ltd.		(472,222	)
	(7,400	)	JGC Corp		(108,196	)
	(800	)	JINS Inc		(49,487	)
	(50,500	)	Kansai Paint Co Ltd		(948,116	)
	(13,500	)	Keikyu Corp		(215,590	)
	(74,700	)	Kyushu Electric Power Co Inc		(877,367	)
	(49,500	)	Mitsui OSK Lines Ltd		(1,164,966	)
	(1,800	)	Nifco Inc		(46,009	)
	(18,600	)	Nippon Paint Holdings Co Ltd		(662,367	)
	(205,600	)	Orient Corp		(318,773	)
	(1,600	)	Royal Holdings Co Ltd		(40,335	)
	(3,200	)	Saizeriya Co Ltd		(61,348	)
	(1,000	)	Seria Co Ltd		(42,547	)
	(2,000	)	Shimano Inc		(292,906	)
	(19,400	)	SUMCO Corp.		(299,470	)
	(3,900	)	UACJ Corp.		(81,488	)
	(4,600	)	Universal Entertainment Corp. *		(151,912	)
	(32,100	)	Yahoo Japan Corp		(92,048	)
	(2,800	)	Yaskawa Electric Corp		(88,029	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares			Description	Value ($)
			Japan — continued
	(2,700	)	Yoshinoya Holdings Co Ltd		(46,415	)
			Total Japan		(6,564,827	)
			Netherlands — (0.0)%
	(2,038	)	Boskalis Westminster		(56,575	)
			Norway — (0.0)%
	(12,133	)	Wallenius Wilhelmsen ASA *		(45,535	)
	(1,808	)	Yara International ASA		(72,833	)
			Total Norway		(118,368	)
			Singapore — (0.0)%
	(32,800	)	UOL Group Ltd		(146,674	)
			Spain — (0.1)%
	(377,191	)	Bankia SA		(1,248,508	)
	(37,423	)	Cellnex Telecom SA		(1,038,821	)
	(41,498	)	Ferrovial SA		(855,693	)
	(1,837	)	Masmovil Ibercom SA *		(226,011	)
	(67,169	)	Merlin Properties Socimi SA (REIT)		(849,297	)
	(433	)	Neinor Homes SA *		(6,657	)
			Total Spain		(4,224,987	)
			Sweden — (0.0)%
	(15,678	)	Husqvarna AB-Class B		(123,679	)
			Switzerland — (0.2)%
	(3,819	)	ams AG		(106,751	)
	(98,980	)	Credit Suisse Group AG (Registered)		(1,170,314	)
	(38,029	)	LafargeHolcim Ltd (Registered) *		(1,708,516	)
			Total Switzerland		(2,985,581	)
			United Kingdom — (0.2)%
	(25,392	)	AA Plc		(29,835	)
	(1,353	)	ASOS Plc *		(85,925	)
	(176,891	)	Cobham Plc *		(231,211	)
	(11,110	)	Dechra Pharmaceuticals Plc		(306,900	)
	(43,956	)	GVC Holdings Plc		(414,579	)
	(31,856	)	Just Eat Plc *		(237,061	)
	(494,565	)	Melrose Industries Plc		(1,117,187	)

Shares			Description	Value ($)
			United Kingdom — continued
	(2,555	)	Rhi Magnesita NV		(118,124	)
	(3,127	)	Ted Baker Plc		(72,846	)
	(42,715	)	Travis Perkins Plc		(602,117	)
			Total United Kingdom		(3,215,785	)
			United States — (0.0)%
	(78,587	)	Altice USA, Inc. – Class A		(1,390,204	)
			TOTAL COMMON STOCKS (PROCEEDS $41,178,295)		(35,523,130	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $41,178,295)		(35,523,130	)
			Other Assets and Liabilities (net) — (0.8%)		(28,561,784	)
			TOTAL NET ASSETS — 100.0%		$3,295,907,116

A summary of outstanding financial instruments at November 30, 2018 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
01/15/2019	SSB		AUD	5,958,551		USD	4,246,379		(111,874	)
01/14/2019	MSCI		CHF	3,807,605		USD	3,870,465		41,368
02/19/2019	GS		EUR	31,105,736		USD	35,500,056		35,336
12/10/2018	BCLY		GBP	1,300,000		USD	1,696,979		40,030
02/19/2019	JPM		GBP	16,172,777		USD	20,810,369		115,585
12/10/2018	JPM		JPY	1,900,000,000		USD	17,251,477		506,684
01/09/2019	MSCI		JPY	197,000,000		USD	1,750,769		8,855
01/15/2019	GS		JPY	1,937,000,000		USD	17,143,762		8,297
01/28/2019	DB		JPY	1,788,000,000		USD	16,037,227		203,603
02/12/2019	JPM		JPY	1,130,000,000		USD	10,020,194		1,620
02/12/2019	MSCI		JPY	1,695,000,000		USD	15,004,597		(23,264	)
02/19/2019	MSCI		JPY	3,512,691,556		USD	31,279,951		119,234
01/14/2019	BOA		NOK	42,453,732		USD	5,200,433		250,972
01/14/2019	BCLY		SEK	46,185,216		USD	5,115,902		21,011
								$	1,217,457

Reverse Repurchase Agreements

Average balance outstanding	$	(46,057,969	)
Average interest rate		(0.20	)%
Maximum balance outstanding	$	(46,057,969	)

Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements. Average interest rate was calculated based on interest received and/or paid during the period that the Fund had entered into the reverse repurchase agreements. The Fund had no reverse repurchase agreements outstanding at the end of the period.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2018 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Apprec-iation (Deprec-iation) ($)
Buys
120	Mini MSCI Emerging Markets	December 2018		5,997,600		(141,738	)
Sales
1,991	S&P 500 E-Mini	December 2018		274,588,765		14,535,776

+ Buys - Fund is long the futures contract.
Sales - Fund is short the futures contract.

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives		Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.08%		3 Month USD LIBOR	USD	2,427,000		10/25/2020	Semi-Annual	$	—	$	(5,198	)	$	(5,198	)

OTC Total Return Swaps

Fund Pays	Fund Receives		Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Equity Basket (g)		1 Month Federal Funds Rate minus 0.40%	MORD		USD	7,676,879		05/18/2020		Monthly		—		43,922			43,922
Total Return on Equity Basket (g)		1 Month Federal Funds Rate minus 1.00%	MORD		USD	1,317,793		05/18/2020		Monthly		—		(23,661	)		(23,661	)
Total Return on Equity Basket (g)		1 Month Federal Funds Rate minus 3.38%	MORD		USD	93,711		05/18/2020		Monthly		—		(3,391	)		(3,391	)
Total Return on Equity Basket (g)		1 Month Federal Funds Rate minus 1.00%	MORD		USD	8,398,493		05/18/2020		Monthly		—		3,995			3,995
Total Return on Equity Basket (g)		1 Month Federal Funds Rate minus 0.75%	MORD		USD	934,742		05/18/2020		Monthly		—		15,971			15,971
Total Return on Equity Basket (g)		1 Month Federal Funds Rate minus 0.40%	MORD		USD	564,301		05/18/2020		Monthly		—		16,445			16,445
Total Return on Equity Basket (g)		1 Month Federal Funds Rate minus 1.75%	MORD		USD	1,949,129		05/18/2020		Monthly		—		(18,157	)		(18,157	)
Total Return on Equity Basket (g)		1 Month Federal Funds Rate minus 0.40%	MORD		USD	1,223,023		05/18/2020		Monthly		—		8,762			8,762
Total Return on Equity Basket (g)		1 Month Federal Funds Rate minus 0.75%	MORD		USD	235,417		05/18/2020		Monthly		—		(21,274	)		(21,274	)
											$	—	$	22,612		$	22,612

As of November 30, 2018, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2018 (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.

ADR - American Depositary Receipt

CDO - Collateralized Debt Obligation

CLO - Collateralized Loan Obligation

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.

CVA - Certificaaten van aandelen (Share Certificates)

ETF - Exchange-Traded Fund

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

GDR - Global Depositary Receipt

LIBOR - London Interbank Offered Rate

NVDR - Non-Voting Depositary Receipt

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

REIT - Real Estate Investment Trust

USBM - U.S. Treasury 3 Month Bill Money Market Yield.

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

The rates shown on variable rate notes are the current interest rates at November 30, 2018, which are subject to change based on the terms of the security.

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

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

(b) All or a portion of this security is out on loan.

(c) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs.

(d) Preferred dividend rates are disclosed to the extent that a stated rate exists.

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

(f) The rate disclosed is the 7 day net yield as of November 30, 2018.

(g) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

Counterparty Abbreviations:

BCLY - Barclays Bank plc

BOA - Bank of America N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

AUD - Australian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

SEK - Swedish Krona

USD - United States Dollar

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	2,751,576	GMO Alpha Only Fund, Class IV		56,489,850
	10,209,844	GMO Asset Allocation Bond Fund, Class VI		225,637,557
	13,317,290	GMO Core Plus Bond Fund, Class IV		281,927,031
	2,174,536	GMO Emerging Country Debt Fund, Class IV		57,842,662
	11,383,036	GMO Emerging Markets Fund, Class VI		356,061,369
	19,621,685	GMO International Equity Fund, Class IV		392,826,128
	1,399,653	GMO Opportunistic Income Fund, Class VI		37,650,655
	5,316,163	GMO Quality Fund, Class VI		137,157,005
	1,725,701	GMO Risk Premium Fund, Class VI		46,939,073
	1,821,590	GMO SGM Major Markets Fund, Class VI		56,997,536
	9,860,602	GMO U.S. Equity Fund, Class VI		137,555,404
	3,698,057	GMO U.S. Treasury Fund		92,377,475
		TOTAL MUTUAL FUNDS (COST $1,914,502,236)		1,879,461,745
		DEBT OBLIGATIONS — 0.0%
		Asset-Backed Securities — 0.0%
	29,249	ACE Securities Corp., Series 06-ASL1, Class A,Variable Rate, 1 mo. LIBOR + 0.28%, 2.56%, due 02/25/36		14,697
	20,962	GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 2.78%, due 10/25/34		19,566
	18,529	Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 2.54%, due 02/26/34		17,495
		Total Asset-Backed Securities		51,758
		TOTAL DEBT OBLIGATIONS (COST $47,174)		51,758

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	279,402	State Street Institutional Treasury Money Market Fund-Premier Class , 2.19% (a)		279,402
		TOTAL SHORT-TERM INVESTMENTS (COST $279,402)		279,402
		TOTAL INVESTMENTS — 100.0% (Cost $1,914,828,812)		1,879,792,905
		Other Assets and Liabilities (net) — (0.0%)		(104,683	)
		TOTAL NET ASSETS — 100.0%		$1,879,688,222

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.

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

LIBOR - London Interbank Offered Rate

The rates shown on variable rate notes are the current interest rates at November 30, 2018, which are subject to change based on the terms of the security.

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) The rate disclosed is the 7 day net yield as of November 30, 2018.

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.7%
		Affiliated Issuers — 99.7%
	1,452,940	GMO Emerging Markets Fund, Class VI		45,447,965
	9,831,295	GMO International Equity Fund, Class IV		196,822,524
	3,726,848	GMO Quality Fund, Class VI		96,152,667
	6,867,780	GMO U.S. Equity Fund, Class VI		95,805,534
		TOTAL MUTUAL FUNDS (COST $429,808,131)		434,228,690
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	204,058	State Street Institutional Treasury Money Market Fund-Premier Class, 2.19% (a)		204,058
		TOTAL SHORT-TERM INVESTMENTS (COST $204,058)		204,058
		TOTAL INVESTMENTS — 99.8% (Cost $430,012,189)		434,432,748
		Other Assets and Liabilities (net) — 0.2%		926,315
		TOTAL NET ASSETS — 100.0%		$435,359,063

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2018.

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	14,444,852	GMO Emerging Markets Fund, Class VI		451,834,963
	34,331,651	GMO International Equity Fund, Class IV		687,319,663
	10,837,513	GMO Quality Fund, Class VI		279,607,845
	21,927,501	GMO U.S. Equity Fund, Class VI		305,888,639
		TOTAL MUTUAL FUNDS (COST $1,791,161,279)		1,724,651,110
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	602,634	State Street Institutional Treasury Money Market Fund-Premier Class, 2.19% (a)		602,634
		TOTAL SHORT-TERM INVESTMENTS (COST $602,634)		602,634
		TOTAL INVESTMENTS — 100.0% (Cost $1,791,763,913)		1,725,253,744
		Other Assets and Liabilities (net) — (0.0%)		(84,800	)
		TOTAL NET ASSETS — 100.0%		$1,725,168,944

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2018.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 64.2%
		Australia — 1.1%
	36,784	Abacus Property Group (REIT)		85,476
	43,037	Altium Ltd		718,128
	53,706	Alumina Ltd		87,996
	71,872	Appen Ltd		737,499
	148,173	Australia & New Zealand Banking Group Ltd		2,925,778
	95,610	Australian Pharmaceutical Industries Ltd		102,655
	1,093,659	Beach Energy Ltd		1,227,411
	38,445	Brickworks Ltd		460,724
	844,575	Caltex Australia Ltd		17,042,667
	70,481	Charter Hall Education Trust (REIT)		149,531
	246,613	Charter Hall Group (REIT)		1,263,695
	112,691	Codan Ltd		244,078
	41,373	Coles Group Ltd *		354,105
	419,199	Costa Group Holdings Ltd		2,342,434
	50,361	Credit Corp Group Ltd		710,316
	924,877	Cromwell Property Group (REIT)		670,327
	103,741	Crown Resorts Ltd		890,824
	98,296	CSL Ltd		12,814,495
	139,470	CSR Ltd		306,963
	1,035,261	Downer EDI Ltd		4,765,908
	28,747	Elders Ltd		142,689
	115,427	GDI Property Group (REIT)		106,903
	399,270	Genworth Mortgage Insurance Australia Ltd		658,383
	108,734	GWA Group Ltd		207,475
	516,063	Healthscope Ltd		854,541
	27,537	IDP Education Ltd		184,916
	341,945	Macquarie Group Ltd		28,775,307
	25,797	McMillan Shakespeare Ltd		267,538
	56,205	Metcash Ltd		114,237
	282,143	Mineral Resources Ltd		3,162,787
	9,829	Monadelphous Group Ltd		101,365
	89,649	Monash IVF Group Ltd		62,349
	3,050,172	Nine Entertainment Co Holdings Ltd		3,927,668
	50,774	Northern Star Resources Ltd		296,685
	118,532	NRW Holdings Ltd		158,993
	430,813	OZ Minerals Ltd		2,739,009
	417,234	Sandfire Resources NL		1,960,933
	158,346	Saracen Mineral Holdings Ltd *		286,266
	2,737,274	Scentre Group (REIT)		7,825,200
	282,272	Seven West Media Ltd *		141,303
	54,850	St Barbara Ltd		177,999
	39,852	Stockland (REIT)		106,280
	115,932	Super Retail Group Ltd		622,173
	298,897	Tassal Group Ltd		919,295
	50,166	Virtus Health Ltd		180,009
	318,246	Viva Energy Group Ltd *		460,410
	173,582	Viva Energy REIT		263,036
	41,373	Wesfarmers Ltd		958,151

Shares		Description	Value ($)
		Australia — continued
	282,092	Whitehaven Coal Ltd		884,654
	21,876	WiseTech Global Ltd		301,815
		Total Australia		104,749,379
		Austria — 0.2%
	30,271	FACC AG		530,949
	272,856	OMV AG		13,819,962
	23,033	POLYTEC Holding AG		237,181
	14,552	S IMMO AG		257,355
	18,674	Vienna Insurance Group AG Wiener Versicherung Gruppe		480,984
	25,434	voestalpine AG		847,964
		Total Austria		16,174,395
		Belgium — 0.1%
	300,759	AGFA-Gevaert NV *		1,294,393
	11,547	Barco NV		1,295,361
	32,445	KBC Group NV		2,333,777
	18,884	UCB SA		1,591,434
		Total Belgium		6,514,965
		Brazil — 1.5%
	2,040	Banco Bradesco SA		17,726
	828,500	Banco BTG Pactual SA		4,745,567
	1,097,500	Banco do Brasil SA		12,679,919
	1,843,600	Banco Santander Brasil SA		20,384,300
	2,492,000	Cia de Saneamento Basico do Estado de Sao Paulo		18,201,749
	275,300	Cia de Saneamento Basico do Estado de Sao Paulo ADR		1,990,419
	235,300	Cia de Saneamento de Minas Gerais-COPASA		3,118,101
	46,700	Cielo SA		114,957
	38,900	Construtora Tenda SA *		309,420
	235,200	EDP – Energias do Brasil SA		832,658
	609,300	Estacio Participacoes SA		3,901,959
	492,600	Grendene SA		989,013
	13,456,200	JBS SA		40,987,025
	99,700	Kroton Educacional SA		270,828
	178,400	Mahle-Metal Leve SA		1,125,705
	776,200	MRV Engenharia e Participacoes SA		2,435,528
	221,700	Odontoprev SA		796,905
	1,017,284	Oi SA		1,881,975
	2,631,700	Petrobras Distribuidora SA		16,644,838
	363,100	QGEP Participacoes SA		979,627
	119,200	Smiles Fidelidade SA		1,363,057
	186,600	Ultrapar Participacoes SA		2,280,438
	67,200	Ultrapar Participacoes SA Sponsored ADR		824,544
	492,000	Via Varejo SA		659,406
		Total Brazil		137,535,664

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Canada — 1.8%
	139,500	AGF Management Ltd – Class B		524,969
	899,200	Alignvest Acquisition II Corp – Class A *		6,720,397
	93,500	Bank of Montreal		6,975,994
	168,400	Bank of Montreal		12,545,800
	97,100	Bird Construction Inc		489,647
	100,048	BRP Inc Sub Voting		3,564,725
	12,300	Canadian Imperial Bank of Commerce (a)		1,031,724
	194,100	Canadian Imperial Bank of Commerce		16,288,827
	2,300	Canadian Pacific Railway Ltd (a)		486,542
	137,200	Canfor Corp *		1,880,414
	25,700	Canfor Pulp Products Inc		370,998
	21,600	Celestica Inc *		222,264
	11,800	Cogeco Inc		552,677
	4,200	Constellation Software Inc		2,880,619
	93,700	Empire Co Ltd – A Shares		1,775,057
	43,100	Green Organic Dutchman Holdings Ltd (The) *		107,049
	20,900	Husky Energy Inc		259,549
	15,700	Interfor Corp *		177,248
	14,500	Kirkland Lake Gold Ltd		301,310
	161,700	Magna International Inc (a) (b)		8,063,979
	163,600	Magna International Inc		8,164,916
	12,000	Manulife Financial Corp		198,427
	2,900	Methanex Corp		160,776
	10,300	Metro Inc		355,052
	13,500	Morguard North American Residential (REIT)		177,507
	5,200	Norbord Inc		145,317
	6,700	Northview Apartment Real Estate Investment Trust (REIT)		132,926
	10,500	Rocky Mountain Dealerships Inc		72,784
	501,000	Rogers Sugar Inc		2,149,325
	22,800	Royal Bank of Canada (a)		1,670,328
	546,800	Royal Bank of Canada		40,092,768
	73,600	Russel Metals Inc		1,282,384
	7,600	Stelco Holdings Inc		110,970
	338,500	Sun Life Financial Inc (a)		12,453,415
	73,200	Sun Life Financial Inc		2,699,582
	71,400	TFI International Inc		2,372,566
	36,100	Toronto-Dominion Bank (The)		1,996,330
	399,200	Toronto-Dominion Bank (The)		22,101,496
	20,700	Tourmaline Oil Corp		286,667
	79,400	Transat AT Inc *		421,307
	212,520	Transcontinental Inc – Class A		3,207,034
	6,300	Wajax Corp		91,419
	118,300	West Fraser Timber Co Ltd		6,174,768
		Total Canada		171,737,853
		Chile — 0.0%
	6,516,764	Enel Chile SA		633,661

Shares		Description	Value ($)
		China — 9.6%
	5,325,000	361 Degrees International Ltd		1,320,096
	1,732,000	7Road Holdings Ltd.		304,670
	624,500	AAC Technologies Holdings Inc		4,477,959
	13,459,000	Agile Group Holdings Ltd		18,390,440
	2,403,000	Agricultural Bank of China Ltd – Class A		1,241,237
	121,698,000	Agricultural Bank of China Ltd – Class H		55,321,043
	3,020,219	Anhui Conch Cement Co Ltd – Class A		13,949,772
	3,544,500	Anhui Conch Cement Co Ltd – Class H		18,659,694
	86,000	ANTA Sports Products Ltd		394,088
	92,000	Anton Oilfield Services Group *		11,641
	10,596,000	BAIC Motor Corp Ltd – Class H		6,525,556
	63,400	Baidu Inc Sponsored ADR * (a)		11,936,952
	48,571,000	Bank of China Ltd – Class H		21,295,137
	15,937,000	Bank of Communications Co Ltd – Class H		12,154,647
	15,226,091	Beijing Homyear Capital Holdings Co Ltd – Class A		6,686,668
	1,466,575	Beijing North Star Co Ltd – Class A		621,580
	610,000	BYD Electronic International Co Ltd		862,675
	23,300	Cangzhou Dahua Co Ltd – Class A		61,419
	876,300	Cangzhou Mingzhu Plastic Co Ltd – Class A		579,842
	243,100	Changyou.com Ltd ADR		4,776,915
	5,100	Cheetah Mobile, Inc. ADR *		32,385
	52,000	China BlueChemical Ltd – Class H		16,616
	11,759,000	China CITIC Bank Corp Ltd – Class H		7,489,789
	273,000	China Communications Construction Co Ltd – Class H		266,542
	20,358,000	China Communications Services Corp Ltd – Class H		17,050,827
	12,961,080	China Construction Bank Corp – Class A		12,489,243
	47,102,000	China Construction Bank – Class H		40,215,891
	530,000	China Everbright Bank Co Ltd – Class H		235,909
	482,000	China Evergrande Group		1,532,203
	6,149,000	China Greenfresh Group Co Ltd *		792,799
	9,318,000	China Huarong Asset Management Co Ltd – Class H		1,923,645
	780,700	China International Marine Containers Group Co Ltd – Class H		838,175
	1,098,000	China Jinmao Holdings Group Ltd		529,943
	10,796,000	China Lesso Group Holdings Ltd		5,555,661
	1,571,000	China Lilang Ltd		1,286,136
	11,413,000	China Machinery Engineering Corp – Class H		5,703,057
	2,504,000	China Mobile Ltd		24,960,496
	7,078,700	China Molybdenum Co Ltd – Class A		4,088,844
	7,628,600	China National Building Material Co Ltd – Class H		5,991,067
	662,440	China National Chemical Engineering Co Ltd – Class A		542,249

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		China — continued
	819,500	China Nuclear Engineering Corp Ltd – Class A		898,016
	764,000	China Oriental Group Co. Ltd.		493,753
	5,140,000	China Overseas Land & Investment Ltd		18,024,849
	65,000	China Overseas Property Holdings Ltd		18,526
	25,225	China Petroleum & Chemical Corp ADR		2,152,702
	12,840,345	China Petroleum & Chemical Corp – Class A		10,954,191
	65,076,000	China Petroleum & Chemical Corp – Class H		55,705,139
	25,718,700	China Railway Construction Corp Ltd – Class H		33,035,871
	8,355,000	China Railway Group Ltd – Class H		7,699,177
	3,902,000	China Resources Cement Holdings Ltd		3,843,094
	3,640,000	China Resources Land Ltd		13,549,956
	7,824,000	China Resources Pharmaceutical Group Ltd		11,534,534
	4,569,000	China SCE Property Holdings Ltd		1,643,285
	2,365,254	China Shenhua Energy Co Ltd – Class A		6,438,424
	4,086,000	China Shenhua Energy Co Ltd – Class H		9,152,779
	2,616,000	China Shineway Pharmaceutical Group Ltd		3,271,526
	160,000	China South City Holdings Ltd		24,335
	230,100	China South Publishing & Media Group Co Ltd – Class A		381,419
	130,000	China Suntien Green Energy Corp Ltd – Class H		35,723
	76,854,000	China Telecom Corp Ltd – Class H		41,674,288
	2,336,000	China Tower Corp Ltd – Class H *		341,254
	3,976,000	China Travel International Investment Hong Kong Ltd		1,108,223
	2,810,893	China Vanke Co Ltd – Class A		10,383,023
	1,765,400	China Vanke Co Ltd – Class H		6,104,500
	2,517,502	China Yangtze Power Co Ltd – Class A		5,213,091
	36,200	China Yuchai International Ltd		508,610
	14,068,000	Chong Sing Holdings FinTech Gr *		409,957
	763,566	Chongqing Department Store Co Ltd – Class A		3,323,042
	462,100	Chongqing Dima Industry – Class A		184,423
	8,104,069	Chongqing Rural Commercial Bank Co Ltd – Class H		4,756,418
	972,000	CIFI Holdings Group Co Ltd		490,966
	88,000	Citychamp Watch & Jewellery Group Ltd.		18,671
	985,000	CNOOC Ltd		1,674,399
	3,480,000	COSCO SHIPPING Development Co Ltd – Class H *		391,411
	6,063,000	Country Garden Holdings Co Ltd		7,521,862
	385,000	Dah Chong Hong Holdings Ltd		143,922
	5,619,391	Daqin Railway Co Ltd – Class A		6,263,149
	588,857	Dashang Co Ltd – Class A		2,173,164

Shares		Description	Value ($)
		China — continued
	1,647,585	Dongfang Electric Corp Ltd – Class A *		1,813,926
	14,822,000	Dongfeng Motor Group Co Ltd – Class H		14,337,597
	120,000	Dongyue Group Ltd.		65,184
	672,878	Dr Peng Telecom & Media Group Co Ltd – Class A		798,146
	475,300	Fang Holdings Ltd ADR *		874,552
	2,343,800	Fangda Special Steel Technology Co Ltd – Class A		3,373,578
	11,355,000	GCL-Poly Energy Holdings Ltd *		783,704
	8,409,000	Geely Automobile Holdings Ltd		16,709,231
	2,280,500	Great Wall Motor Co Ltd – Class H		1,463,411
	1,251,700	Gree Electric Appliances Inc of Zhuhai – Class A *		6,698,588
	5,060,000	Guangdong Investment Ltd		9,780,935
	2,378,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		9,654,637
	12,398,000	Guangzhou R&F Properties Co Ltd – Class H		19,332,727
	6,209,000	Haier Electronics Group Co Ltd *		14,543,264
	4,353,700	Harbin Electric Co Ltd – Class H		1,345,535
	86,800	Hebei Chengde Lolo Co – Class A		101,249
	1,026,550	Henan Shuanghui Investment & Development Co Ltd – Class A		3,392,236
	58,500	Hengan International Group Co Ltd		480,121
	921,000	Hi Sun Technology China Ltd *		145,473
	1,618,543	Hisense Home Appliances Group Co Ltd – Class A		1,686,829
	1,997,900	HLA Corp Ltd – Class A		2,276,520
	3,400	Hollysys Automation Technologies Ltd		67,354
	11,157,000	Huabao International Holdings Ltd		5,171,652
	681,000	IGG Inc		827,848
	2,836,146	Industrial & Commercial Bank of China Ltd – Class A		2,185,865
	29,370,000	Industrial and Commercial Bank of China Ltd – Class H		20,976,633
	39,900	Inner Mongolia MengDian HuaNeng Thermal Power Corp Ltd – Class A		12,652
	50,500	Jiangxi Ganyue Expressway – Class A		29,592
	53,600	Jiansu Guotai Internaltional Group Class A		43,051
	557,500	JNBY Design Ltd		972,365
	25,835	Joyoung Co Ltd – Class A		52,840
	822,000	Ju Teng International Holdings Ltd		202,605
	8,000	Jumei International Holding Ltd ADR *		17,200
	2,449,000	Kingboard Holdings Ltd		7,038,315
	963,000	Kingboard Laminates Holdings Ltd		922,460
	538,000	KWG Property Holding Ltd *		483,087
	302,700	Livzon Pharmaceutical Group Inc – Class A		1,441,232
	1,263,730	Livzon Pharmaceutical Group Inc – Class H		4,599,044
	1,528,000	Logan Property Holdings Co Ltd		1,800,435
	510,500	Longfor Group Holdings Ltd		1,446,812

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		China — continued
	15,247,000	Lonking Holdings Ltd		3,982,528
	239,560	Midea Group Co Ltd – Class A		1,348,785
	52,600	Momo Inc Sponsored ADR *		1,649,010
	715,000	Nine Dragons Paper Holdings Ltd		730,084
	97,200	Ningbo Sanxing Medical Electric Co Ltd – Class A		83,906
	38,000	PAX Global Technology Ltd		17,290
	598,000	People’s Insurance Co Group of China Ltd (The) – Class H		259,194
	5,827,000	PICC Property & Casualty Co Ltd – Class H		6,010,735
	25,787,000	Postal Savings Bank of China Co Ltd – Class H		15,647,851
	2,431,000	Powerlong Real Estate Holdings Ltd		990,003
	7,800	Red Star Macalline Group Corp Ltd – Class A		12,962
	431,600	Red Star Macalline Group Corp Ltd – Class H		402,319
	30,500	RiseSun Real Estate Development Co Ltd – Class A		37,032
	7,000	Road King Infrastructure Ltd		11,881
	546,900	SDIC Capital Co Ltd – Class A		827,069
	1,322,000	Shanghai Industrial Holdings Ltd		2,892,322
	1,108,000	Shanghai Jin Jiang International Hotels Group Co Ltd – Class H		299,286
	6,721,000	Shanghai Pharmaceuticals Holding Co Ltd – Class H		16,636,584
	24,300	Shanghai Shimao Co Ltd – Class A		13,912
	4,038,126	Shanghai SMI Holding Co Ltd – Class A		3,500,580
	152,660	Shenzhen Expressway Co Ltd – Class A		182,868
	1,504,000	Shenzhen Expressway Co Ltd – Class H		1,487,476
	1,469,200	Shenzhen World Union Properties Consultancy Inc – Class A		1,086,816
	28,000	Shenzhou International Group Holdings Ltd		341,613
	12,029,576	Shimao Property Holdings Ltd		29,956,264
	1,661,500	Sino Biopharmaceutical Ltd		1,525,612
	36,500	Sino-Ocean Group Holding Ltd		16,328
	1,391,096	Sinopec Shanghai Petrochemical Co Ltd – Class A		1,007,927
	8,488,000	Sinopec Shanghai Petrochemical Co Ltd – Class H		3,870,314
	686,000	Sinotrans Ltd – Class H		276,002
	2,747,000	Sinotruk Hong Kong Ltd		4,529,216
	3,756,000	Skyworth Digital Holdings Ltd		925,782
	4,808,000	SSY Group Ltd		4,957,872
	8,167,071	Suning Universal Co Ltd – Class A		3,756,033
	237,200	Tencent Holdings Ltd		9,482,931
	71,400	Tencent Holdings Ltd ADR		2,861,712
	1,631,000	Texhong Textile Group Ltd		1,971,172
	654,000	Tianjin Development Holdings Ltd		228,296
	914,000	Tianjin Port Development Holdings Ltd *		99,599
	7,408,000	Tianneng Power International Ltd		6,784,573

Shares		Description	Value ($)
		China — continued
	1,425,000	Times China Holdings Ltd.		1,336,351
	3,339,000	TravelSky Technology Ltd – Class H		9,014,433
	1,016,000	Uni-President China Holdings Ltd		928,464
	172,900	Vatti Corp Ltd – Class A		220,456
	35,100	Wangfujing Group Co Ltd – Class A		74,664
	9,373,000	Weichai Power Co Ltd – Class H		10,136,456
	4,662,500	XTEP International Holdings Ltd		2,503,678
	3,064,000	Yadea Group Holdings Ltd		1,072,982
	175,200	YiChang HEC ChangJiang Pharmaceutical Co Ltd – Class H		644,023
	7,865,000	Yuzhou Properties Co Ltd		3,470,296
	4,096,000	Zhejiang Expressway Co Ltd – Class H		3,448,813
	1,051,472	Zhejiang Weixing New Building Materials Co Ltd – Class A		2,157,810
	808,232	Zhengzhou Yutong Bus Co Ltd – Class A		1,316,498
	128,400	Zhongshan Public Utilities Group Co Ltd – Class A		131,175
		Total China		907,761,503
		Colombia — 0.0%
	405,978	Almacenes Exito SA		1,672,117
	31,979	Ecopetrol SA Sponsored ADR (a)		614,317
		Total Colombia		2,286,434
		Czech Republic — 0.0%
	191,142	Moneta Money Bank AS		658,591
	35,000	O2 Czech Republic AS		375,870
		Total Czech Republic		1,034,461
		Denmark — 0.3%
	1,007	ALK-Abello A/S *		139,366
	6,892	NetCompany Group A/S *		227,506
	115,000	Novo Nordisk A/S Sponsored ADR		5,361,300
	332,780	Novo Nordisk A/S – Class B (b)		15,478,072
	1,888	Rockwool International A/S – Class B		491,579
	48,887	Royal Unibrew A/S		3,549,453
	22,029	Scandinavian Tobacco Group A/S		292,036
	1,897	Schouw & Co AB		156,216
	13,084	SimCorp A/S		835,054
	22,545	Spar Nord Bank A/S		191,288
		Total Denmark		26,721,870
		Finland — 0.3%
	5,457	DNA Oyj		100,914
	23,971	Finnair Oyj		205,190
	3,986	Kemira Oyj		45,949
	36,224	Metsa Board Oyj		252,325
	215,455	Neste Oyj		16,867,653
	8,911	Sanoma Oyj		92,009
	79,744	Stora Enso Oyj – R Shares		1,019,390

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Finland — continued
	11,675	Tieto Oyj		337,429
	462,130	UPM-Kymmene Oyj (b)		12,343,247
		Total Finland		31,264,106
		France — 1.5%
	7,454	Alten SA		678,518
	284,319	BNP Paribas SA		14,300,730
	43,446	Christian Dior SE		16,150,259
	286,279	CNP Assurances		6,558,533
	51,734	Coface SA		481,614
	20,191	Dassault Systemes SE (b)		2,427,671
	37,919	Derichebourg SA		163,030
	5,509	Eramet (b)		446,570
	14,611	Gaztransport Et Technigaz SA		1,092,992
	1,004	Hermes International		543,579
	2,642	Interparfums SA		118,184
	6,746	Ipsen SA		869,414
	6,965	Kaufman & Broad SA		266,228
	158,409	L’Oreal SA		37,378,942
	11,365	Lagardere SCA		321,443
	3,693	LVMH Moet Hennessy Louis Vuitton SE		1,057,073
	11,479	Mersen SA		328,104
	53,391	Metropole Television SA		947,887
	212,189	Natixis SA		1,174,260
	5,374	Neopost SA		148,862
	7,196	Nexity SA		353,182
	363,939	Peugeot SA		8,007,375
	12,761	Rallye SA		138,938
	182,334	Sanofi		16,530,455
	59,900	Sanofi ADR		2,716,465
	9,949	Schneider Electric SA		725,189
	21,202	SCOR SE		1,018,737
	125,906	Societe Generale SA		4,623,862
	14,742	Societe Television Francaise 1		141,223
	706,342	STMicroelectronics NV		10,462,275
	795,100	STMicroelectronics NV – NY Shares		11,807,235
	3,168	Vilmorin & Cie SA		209,181
		Total France		142,188,010
		Germany — 2.2%
	205,200	Allianz SE (Registered)		43,513,022
	1,646	Amadeus Fire AG		176,018
	241,963	BASF SE		17,694,037
	12,091	Bauer AG		185,752
	49,539	Bayer AG (Registered)		3,635,205
	429,063	Bayerische Motoren Werke AG		35,231,784
	1,429	Cewe Stiftung & Co KGAA		110,970
	237,540	Covestro AG		13,759,028
	282,086	Daimler AG (Registered Shares)		15,948,970
	1,263,376	Deutsche Lufthansa AG (Registered)		30,908,611
	161,926	Deutsche Pfandbriefbank AG (b)		1,937,569

Shares		Description	Value ($)
		Germany — continued
	93,973	Deutsche Telekom AG (Registered)		1,652,369
	5,059	DWS Group GmbH & Co KGaA *		143,432
	4,362	Eckert & Ziegler AG		330,199
	18,903	Elmos Semiconductor AG		403,580
	3,172	Evonik Industries AG		85,667
	2,718	Gesco AG		77,040
	29,472	Henkel AG & Co KGaA		3,054,441
	8,283	Innogy SE		379,253
	10,487	Isra Vision AG		410,667
	14,995	Kloeckner & Co SE		121,176
	66,317	Knorr-Bremse AG *		6,193,142
	1,592	Nemetschek SE		193,903
	2,835	OHB SE		113,100
	6,687	Salzgitter AG (b)		215,831
	123,991	SAP SE		12,842,572
	64,336	Siemens Healthineers AG *		2,793,071
	1,545	Sixt SE		148,673
	31,721	Software AG		1,299,411
	7,406	Takkt AG		118,898
	37,778	Talanx AG		1,351,860
	52,260	Volkswagen AG		8,691,317
	42,119	Wacker Neuson SE		841,337
	31,622	Wuestenrot & Wuerttembergische AG		626,209
		Total Germany		205,188,114
		Greece — 0.0%
	1,493,870	Eurobank Ergasias SA *		953,843
	772,095	National Bank of Greece SA *		895,067
	603,549	Piraeus Bank SA *		597,868
	124,640	Public Power Corp SA *		186,707
		Total Greece		2,633,485
		Hong Kong — 0.4%
	375,000	Agritrade Resources Ltd.		74,291
	772,000	BOC Hong Kong Holdings Ltd		3,022,715
	520,000	Dah Sing Banking Group Ltd		985,772
	319,200	Dah Sing Financial Holdings Ltd		1,771,291
	142,000	FIH Mobile Ltd *		17,060
	134,000	Hysan Development Co Ltd		642,146
	2,520,213	I-CABLE Communications Ltd *		37,853
	271,000	Johnson Electric Holdings Ltd		607,330
	732,513	Kerry Properties Ltd		2,524,879
	134,000	Luk Fook Holdings International Ltd		392,204
	176,000	NewOcean Energy Holdings Ltd. *		65,235
	256,000	Sa Sa International Holdings Ltd.		104,276
	536,000	Singamas Container Holdings Ltd		72,875
	5,364,000	SJM Holdings Ltd		4,865,936
	11,849,000	WH Group Ltd		8,651,107
	1,058,000	Wharf Holdings Ltd (The)		2,839,915
	763,000	Wharf Real Estate Investment Co Ltd		4,601,854
	833,000	Wheelock & Co Ltd		4,793,412

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — continued
	160,500	Xinyi Automobile Glass Hong Kong Enterprises Ltd *		39,812
		Total Hong Kong		36,109,963
		Hungary — 0.0%
	2,257,270	Magyar Telekom Telecommunications Plc		3,556,085
		India — 1.5%
	426,783	Aurobindo Pharma Ltd		4,959,613
	460,769	Balrampur Chini Mills Ltd *		667,227
	871,979	Bharat Heavy Electricals Ltd		853,275
	211,718	Divi’s Laboratories Ltd		4,336,961
	35,374	Dr Reddy’s Laboratories Ltd		1,376,701
	1,665,930	Firstsource Solutions Ltd		1,245,381
	2,368,269	HCL Technologies Ltd		34,580,260
	146,238	Hero MotoCorp Ltd		6,410,905
	565,096	Hexaware Technologies Ltd		2,628,029
	115,173	Hindustan Construction Co Ltd *		19,268
	37,652	Ipca Laboratories Ltd		429,698
	1,053,568	ITC Ltd		4,328,909
	509,719	Jamna Auto Industries Ltd		505,117
	1,523,344	Jaypee Infratech Ltd *		85,546
	68,095	Jubilant Life Sciences Ltd		761,690
	264,237	Just Dial Ltd *		1,886,141
	64,988	KPIT Technologies Ltd		194,965
	157,209	Larsen & Toubro Infotech Ltd		3,509,604
	1,840,805	Mahindra & Mahindra Ltd		20,917,692
	7,531	Merck Ltd		303,135
	457,902	Mphasis Ltd		6,521,477
	367	MRF Ltd		354,756
	1,055,094	NHPC Ltd		394,215
	304,046	NIIT Technologies Ltd		4,768,945
	19,326	Nucleus Software Exports Ltd		104,570
	662,263	Oil & Natural Gas Corp Ltd		1,326,122
	187,266	Oil India Ltd		501,827
	5,410	Pfizer India Ltd		210,829
	4,209,873	Power Finance Corp Ltd		5,220,644
	1,696,951	PTC India Ltd		1,970,045
	60,355	Rajesh Exports Ltd		494,484
	7,761,865	REC Ltd		11,195,438
	1,059,563	Reliance Capital Ltd		3,448,541
	64,247	Siemens Ltd		876,845
	276,615	Sonata Software Ltd		1,217,943
	68,874	Suven Life Sciences Ltd		237,984
	737,786	Tech Mahindra Ltd		7,502,356
	45,968	TV Today Network Ltd		250,702
	53,318	VIP Industries Ltd		408,725
	342,623	Wipro Ltd		1,595,216
	68,926	Zuari Agro Chemicals Ltd *		230,281
		Total India		138,832,062

Shares		Description	Value ($)
		Indonesia — 0.6%
	35,841,600	Adaro Energy Tbk PT		3,228,808
	2,921,400	Bank Central Asia Tbk PT		5,329,488
	3,572,000	Bank Mandiri Persero Tbk PT		1,853,586
	8,259,600	Bank Negara Indonesia Persero Tbk PT		4,933,778
	15,990,400	Bank Pembangunan Daerah Jawa Timur Tbk PT		800,552
	49,268,900	Bank Rakyat Indonesia Persero Tbk PT		12,503,457
	14,816,000	Bukit Asam Tbk PT		4,185,138
	14,125,000	Delta Dunia Makmur Tbk PT *		574,863
	8,725,200	Erajaya Swasembada Tbk PT		1,350,169
	2,540,600	Gajah Tunggal Tbk PT *		113,953
	85,400	Gudang Garam Tbk PT		490,950
	3,495,500	Harum Energy Tbk PT		334,773
	3,793,200	Indika Energy Tbk PT		479,997
	5,020,100	Indo Tambangraya Megah Tbk PT		7,475,357
	1,976,600	Indofood Sukses Makmur Tbk PT		913,078
	4,330,600	Matahari Department Store Tbk PT		1,442,998
	76,934,400	Modernland Realty Tbk PT		1,097,591
	109,127,800	Panin Financial Tbk PT *		2,263,904
	5,608,200	Ramayana Lestari Sentosa Tbk PT		467,684
	19,138,000	Surya Semesta Internusa Tbk PT		603,332
	1,847,400	United Tractors Tbk PT		3,559,502
	7,931,200	Waskita Karya Persero Tbk PT		865,071
		Total Indonesia		54,868,029
		Ireland — 0.1%
	31,300	ICON Plc * (b)		4,529,736
	1,290	Smurfit Kappa Group Plc		34,871
		Total Ireland		4,564,607
		Israel — 0.3%
	273,732	Bank Leumi Le-Israel BM		1,801,316
	33,881	Discount Investment Corp Ltd (Registered) *		91,430
	26,548	First International Bank of Israel Ltd		598,992
	56,101	Harel Insurance Investments & Financial Services Ltd		435,493
	29,471	Nova Measuring Instruments Ltd *		726,071
	268,909	Oil Refineries Ltd		135,554
	418,600	Orbotech Ltd *		24,287,172
	6,096	SodaStream International Ltd *		878,468
		Total Israel		28,954,496
		Italy — 1.0%
	62,021	A2A SPA		104,524
	178,721	Arnoldo Mondadori Editore SPA *		306,141
	52,369	ASTM SPA		995,793
	25,038	Carraro SpA		58,248
	22,770	Credito Emiliano SPA		134,090
	3,708	El.En. SPA		63,935
	199,427	Enav SPA		949,389
	3,176,780	Enel SPA		17,281,852

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	79,395	ERG SPA		1,447,144
	481,441	EXOR NV		28,393,203
	411,468	Falck Renewables SPA		1,126,625
	1,476,824	Fiat Chrysler Automobiles NV *		24,500,510
	132,146	Fiat Chrysler Automobiles NV *		2,194,431
	97,206	Fincantieri SPA		114,788
	97,315	FinecoBank Banca Fineco SPA		1,046,284
	397,491	Hera SPA		1,093,881
	154,487	IMMSI SPA *		71,221
	1,368,860	Iren SPA		2,977,983
	31,456	La Doria SPA		297,211
	174,804	Mediobanca Banca di Credito Finanziario SPA		1,543,646
	75,953	Piaggio & C SPA		154,113
	203,073	Poste Italiane SPA		1,543,661
	13,622	Prima Industrie SPA		331,033
	3,343	Reply SPA		186,767
	4,202	Sabaf SPA		69,647
	199,624	Saras SPA		387,377
	442,612	Societa Cattolica di Assicurazioni SC		3,652,587
	108,920	Societa Iniziative Autostradali e Servizi SPA		1,469,979
	2,262,500	Telecom Italia SPA *		1,474,223
	2,973,207	Telecom Italia SPA-RSP		1,675,848
	245,153	Unipol Gruppo SPA		1,018,670
		Total Italy		96,664,804
		Japan — 5.5%
	91,700	Aisin Seiki Co Ltd		3,633,007
	3,700	Alfresa Holdings Corp		98,519
	65,200	AOKI Holdings Inc		842,620
	3,000	Aozora Bank Ltd		98,815
	11,800	Asahi Diamond Industrial Co Ltd		73,050
	2,316,600	Asahi Kasei Corp (b)		25,427,464
	2,262,000	Astellas Pharma Inc		34,856,930
	13,500	Bandai Namco Holdings Inc		568,055
	10,200	Bank of the Ryukyus Ltd		116,658
	10,300	Belluna Co Ltd		116,474
	582,800	Brother Industries Ltd		9,752,327
	472,200	Canon Inc		13,400,110
	3,600	Central Japan Railway Co		741,287
	2,600	Chukyo Bank Ltd (The)		53,948
	36,800	CKD Corp		372,738
	22,800	Concordia Financial Group Ltd		107,321
	27,000	Dai Nippon Printing Co Ltd		624,938
	6,600	Dai-ichi Seiko Co Ltd		80,565
	12,900	Daicel Corp		144,590
	25,100	Daiwabo Holdings Co Ltd		1,408,681
	82,100	DCM Holdings Co Ltd		816,417
	40,300	Denka Co Ltd		1,302,075
	4,300	Duskin Co Ltd		99,306
	211,400	Fancl Corp		5,530,060

Shares		Description	Value ($)
		Japan — continued
	249,700	Fuji Electric Co Ltd		7,872,594
	33,800	Fuji Media Holdings Inc		526,584
	6,600	Fuji Pharma Co Ltd		112,031
	122,800	FUJIFILM Holdings Corp (b)		4,887,338
	81,400	Fujitsu Ltd		5,028,020
	1,200	Fuji Oil Holdings Inc		38,431
	13,600	Fuji Soft Inc		617,823
	18,000	Fukuoka Financial Group Inc		411,721
	9,400	Fukuyama Transporting Co Ltd		412,972
	5,200	Fuyo General Lease Co Ltd		315,965
	117,100	Hakuhodo DY Holdings Inc		1,793,671
	10,600	Hamakyorex Co Ltd		392,755
	95,100	Haseko Corp		1,153,222
	8,600	Heiwado Co Ltd		239,180
	6,000	Hisamitsu Pharmaceutical Co Inc		383,936
	1,171,200	Hitachi Ltd		34,107,086
	6,800	Hochiki Corp		78,622
	9,400	Hokuhoku Financial Group Inc		123,168
	211,200	Honda Motor Co Ltd		5,958,157
	2,300	Horiba Ltd		108,368
	4,200	Hosokawa Micron Corp		192,060
	83,500	House Foods Group Inc (b)		2,969,845
	19,200	Idemitsu Kosan Co Ltd		700,225
	4,100	Infocom Corp		171,234
	32,700	Isuzu Motors Ltd (b)		466,096
	2,516,500	ITOCHU Corp		44,793,013
	21,300	Japan Aviation Electronics Industry Ltd		269,139
	7,000	Jeol Ltd		122,600
	3,300	JSP Corp		70,411
	40,800	JSR Corp		654,978
	29,700	JTEKT Corp		378,810
	122,500	JXTG Holdings Inc		742,885
	14,400	Kaken Pharmaceutical Co Ltd		737,523
	7,700	Kamei Corp		93,958
	6,800	Kamigumi Co Ltd		153,113
	267,200	Kanematsu Corp		3,415,322
	7,200	Kato Sangyo Co Ltd		223,489
	321,900	KDDI Corp		7,563,590
	59,000	Keihin Corp (b)		1,022,461
	152,300	Kirin Holdings Co Ltd		3,589,678
	124,600	Kitz Corp		1,065,779
	211,500	Konica Minolta Inc		1,909,318
	36,800	Kose Corp		5,505,114
	20,800	Kyosan Electric Manufacturing Co Ltd		92,821
	4,600	Kyowa Exeo Corp		116,109
	3,300	Makino Milling Machine Co Ltd		134,555
	9,000	Mandom Corp		264,194
	2,728,200	Marubeni Corp		20,387,327
	82,200	MCJ Co Ltd		579,730
	13,600	Medipal Holdings Corp		312,021
	4,487,800	Mitsubishi Chemical Holdings Corp		36,815,088
	338,100	Mitsubishi Corp (b)		9,137,622

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	1,370,200	Mitsubishi Electric Corp		18,139,860
	284,800	Mitsubishi Gas Chemical Co Inc		4,690,314
	427,400	Mitsubishi Tanabe Pharma Corp (b)		6,572,761
	145,300	Mitsui Chemicals Inc		3,698,583
	29,800	Modec Inc		741,860
	18,200	NEC Corp		565,125
	110,200	NET One Systems Co Ltd		2,287,745
	79,000	Nichias Corp		1,535,789
	26,900	Nichiha Corp		738,339
	74,400	Nippo Corp		1,268,882
	6,700	Nippon Chemical Industrial Co Ltd		162,494
	7,600	Nippon Flour Mills Co Ltd		129,959
	11,100	Nippon Sheet Glass Co Ltd		95,018
	4,400	Nippon Shokubai Co Ltd		294,090
	1,000	Nippon Soda Co Ltd		23,845
	1,236,600	Nippon Telegraph & Telephone Corp		51,011,032
	4,800	Nippon Valqua Industries Ltd		116,662
	27,700	Nisshin Oillio Group Ltd (The)		860,429
	58,000	Nisshin Seifun Group Inc		1,222,794
	59,600	Nisshinbo Holdings Inc		544,345
	14,800	NOF Corp		489,242
	98,200	Nomura Real Estate Holdings Inc		1,940,284
	3,500	Noritake Co Ltd		174,222
	232,300	NTT DOCOMO Inc (b)		5,389,261
	17,200	ORIX Corp		279,284
	11,800	Osaki Electric Co Ltd		84,774
	4,800	Otsuka Holdings Co Ltd		234,619
	75,300	Pola Orbis Holdings Inc		2,128,811
	47,000	Prima Meat Packers Ltd		892,805
	48,400	Resona Holdings Inc (b)		257,351
	76,200	Rohto Pharmaceutical Co Ltd		2,415,754
	6,200	Sakata INX Corp		73,907
	9,700	SBI Holdings Inc		220,535
	436,600	Sekisui Chemical Co Ltd		7,103,424
	10,500	Shin-Etsu Polymer Co Ltd		76,954
	3,000	Shionogi & Co Ltd		198,971
	9,200	Shiseido Co Ltd (b)		586,085
	123,600	Showa Corp		1,652,409
	37,100	Showa Denko KK		1,488,778
	27,200	SKY Perfect JSAT Holdings Inc		131,362
	5,157,500	Sojitz Corp		18,309,464
	10,300	Sony Corp		544,302
	1,500	Starzen Co Ltd		58,085
	17,700	Sumitomo Bakelite Co Ltd		643,915
	4,289,500	Sumitomo Chemical Co Ltd		23,350,752
	71,700	Sumitomo Dainippon Pharma Co Ltd (b)		2,344,957
	79,200	Sumitomo Mitsui Financial Group Inc (b)		2,915,734
	11,100	Sumitomo Mitsui Trust Holdings Inc		445,934
	6,800	Sushiro Global Holdings Ltd		373,283
	30,000	T-Gaia Corp		640,132
	5,000	Taikisha Ltd		140,587

Shares		Description	Value ($)
		Japan — continued
	2,900	Taisho Pharmaceutical Holdings Co Ltd		335,970
	8,800	Takasago Thermal Engineering Co Ltd		158,126
	39,100	Takeda Pharmaceutical Co Ltd		1,471,941
	93,200	Tatsuta Electric Wire and Cable Co Ltd		440,627
	15,900	Teijin Ltd		274,865
	41,800	Tocalo Co Ltd		365,975
	10,600	Tochigi Bank Ltd (The)		27,598
	7,600	Token Corp		521,343
	32,000	Tokio Marine Holdings Inc		1,580,752
	82,500	Tokyo Electron Ltd (b)		11,646,441
	12,600	Tokyo Gas Co Ltd (b)		324,911
	3,900	Tokyo Seimitsu Co Ltd		116,784
	104,700	Tokyu Construction Co Ltd (b)		1,057,661
	97,100	Tosoh Corp		1,369,321
	3,800	Toyo Ink SC Holdings Co Ltd		93,984
	14,900	Toyo Suisan Kaisha Ltd		512,150
	409,400	Toyota Tsusho Corp		14,154,062
	130,200	TS Tech Co Ltd		3,791,230
	17,000	Unipres Corp		321,083
	5,900	Vital KSK Holdings Inc		63,179
	28,000	Wacoal Holdings Corp		764,649
	29,700	Warabeya Nichiyo Holdings Co Ltd		512,768
	5,700	Yamazen Corp		60,490
	12,100	Zeon Corp		123,605
		Total Japan		519,853,125
		Luxembourg — 0.0%
	11,700	Orion Engineered Carbons SA		305,604
		Malaysia — 0.2%
	2,267,900	Astro Malaysia Holdings Bhd		650,372
	195,400	Datasonic Group Bhd		20,780
	1,914,100	DRB-Hicom Berhad		849,071
	2,124,500	Felda Global Ventures Holdings Bhd		449,321
	1,915,800	KSL Holdings Berhad *		323,668
	3,216,300	My EG Services Bhd		853,171
	154,400	Padini Holdings Berhad		177,317
	223,200	Petronas Dagangan Berhad		1,377,772
	3,275,700	Supermax Corp Berhad		2,694,246
	355,400	Ta Ann Holdings Berhad		164,160
	4,617,400	Top Glove Corp Berhad		6,608,676
	517,500	UMW Holdings Bhd		624,537
		Total Malaysia		14,793,091
		Mexico — 0.8%
	308,862	Arca Continental SAB de CV		1,597,440
	1,460,246	Bolsa Mexicana de Valores SAB de CV		2,523,213
	300	Cemex SAB de CV Sponsored ADR * (a)		1,542
	16,200	Concentradora Fibra Danhos SA de CV (REIT)		19,102
	1,388,200	Corp Inmobiliaria Vesta SAB de CV		1,732,373

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Mexico — continued
	117,000	Credito Real SAB de CV SOFOM ER		116,749
	42,500	El Puerto de Liverpool SAB de CV – Class C1		253,199
	459,700	Fibra Uno Administracion SA de CV (REIT)		463,003
	211,900	Fomento Economico Mexicano SAB de CV		1,836,163
	37,500	Fomento Economico Mexicano SAB de CV Sponsored ADR (a)		3,253,125
	1,039,200	Gentera SAB de CV		766,875
	11,300	Grupo Aeroportuario del Pacifico SAB de CV ADR		786,706
	24,000	Grupo Aeroportuario del Pacifico SAB de CV – Class B		167,073
	300	Grupo Aeroportuario del Sureste SAB de CV ADR		40,185
	36,095	Grupo Aeroportuario del Sureste SAB de CV – Class B		483,531
	247,513	Grupo Herdez SAB de CV		506,122
	622,700	Grupo Mexico SAB de CV – Series B		1,283,413
	641,600	Megacable Holdings SAB de CV CPO		2,925,283
	243,600	Mexichem SAB de CV		568,495
	229,985	Promotora y Operadora de Infraestructura SAB de CV		2,031,631
	249,600	Unifin Financiera SAB de CV SOFOM ENR		527,926
	21,519,450	Wal-Mart de Mexico SAB de CV		53,307,654
		Total Mexico		75,190,803
		Netherlands — 0.4%
	88,692	ABN AMRO Group NV CVA		2,262,672
	94,816	ASR Nederland NV (b)		4,096,955
	51,709	ForFarmers NV		508,397
	75,816	Heineken Holding NV		6,712,135
	976,703	ING Groep NV		11,829,545
	8,600	Intertrust NV		138,370
	155,882	Koninklijke Ahold Delhaize NV (b)		4,017,109
	16,422	Koninklijke Philips NV		622,720
	26,905	Signify NV		717,929
	1,528	Vastned Retail NV (REIT)		57,223
	128,254	Wolters Kluwer NV		7,753,724
		Total Netherlands		38,716,779
		New Zealand — 0.0%
	1,232,221	Air New Zealand Ltd		2,610,127
		Norway — 0.7%
	32,503	Aker ASA – A Shares		1,859,321
	155,436	Aker Solutions ASA *		785,131
	17,716	Atea ASA *		247,529
	215,795	Austevoll Seafood ASA		2,990,143
	66,231	Bakkafrost P/F		3,401,963
	162,657	BW LPG Ltd *		638,093

Shares		Description	Value ($)
		Norway — continued
	938,565	DNB ASA		16,124,635
	110,582	Elkem ASA *		336,688
	10,211	Entra ASA		134,550
	1,176,048	Equinor ASA (b)		27,548,776
	13,894	Grieg Seafood ASA		183,418
	384,556	Kongsberg Automotive ASA *		405,367
	172,400	Kvaerner ASA *		249,341
	340,628	Leroy Seafood Group ASA		2,911,488
	61,747	Salmar ASA		3,492,103
	24,632	Selvaag Bolig ASA		112,582
	23,706	SpareBank 1 Nord Norge		175,161
	31,806	SpareBank 1 SR Bank ASA		342,961
	341,943	Storebrand ASA		2,687,010
	44,373	Subsea 7 SA		479,980
	60,406	TGS NOPEC Geophysical Co ASA		1,696,148
		Total Norway		66,802,388
		Pakistan — 0.0%
	33,700	Engro Corp Ltd		78,009
	1,036,500	Engro Fertilizers Ltd		579,291
	205,000	Fauji Cement Co Ltd		34,044
	28,000	Fauji Fertilizer Co Ltd		20,219
	12,800	Honda Atlas Cars Pakistan Ltd		19,374
	37,000	Hub Power Co Ltd (The)		25,704
	36,600	Lucky Cement Ltd		132,194
	300	Mari Petroleum Co Ltd		3,053
	954,300	Oil & Gas Development Co Ltd		1,029,480
	174,520	Pakistan Oilfields Ltd		617,930
	31,000	Pakistan Petroleum Ltd		38,535
		Total Pakistan		2,577,833
		Philippines — 0.1%
	4,171,000	Belle Corp		176,791
	839,500	Eagle Cement Corp		248,294
	6,735	Globe Telecom Inc		253,446
	157,030	Jollibee Foods Corp		835,251
	4,079,100	LT Group Inc		1,244,244
	676,960	Manila Electric Co		4,973,020
	1,217,700	Manila Water Co Inc		626,508
	14,698,000	Megaworld Corp		1,265,578
	15,386,551	Nickel Asia Corp		651,743
	2,216,325	Petron Corp		346,481
	1,510,625	Semirara Mining & Power Corp		755,178
		Total Philippines		11,376,534
		Poland — 0.7%
	360,703	Asseco Poland SA		4,576,041
	247,459	Bank Polska Kasa Opieki SA		7,170,692
	36,454	Budimex SA		1,133,957
	15,435	CD Projekt SA *		582,407
	66,136	Ciech SA		717,015

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Poland — continued
	267,805	Cyfrowy Polsat SA *		1,587,731
	355,602	Enea SA *		1,004,782
	1,209,434	Energa SA *		2,907,565
	15,945	EPP NV		22,033
	72,401	Grupa Azoty SA		624,127
	86,319	Grupa Lotos SA		1,866,611
	31,006	KRUK SA		1,415,841
	909	LPP SA		1,880,190
	44,012	Lubelski Wegiel Bogdanka SA *		645,294
	146,255	PGE Polska Grupa Energetyczna SA *		452,195
	200,038	PLAY Communications SA		852,180
	463,485	Polski Koncern Naftowy ORLEN SA		13,475,757
	4,577,930	Polskie Gornictwo Naftowe i Gazownictwo SA		7,789,403
	379,895	Powszechna Kasa Oszczednosci Bank Polski SA		4,100,260
	1,062,147	Powszechny Zaklad Ubezpieczen SA		12,025,532
	10,210	Stalprodukt SA		876,516
	62,265	Warsaw Stock Exchange		613,978
		Total Poland		66,320,107
		Portugal — 0.0%
	36,377	Altri SGPS SA		265,376
	62,829	Mota-Engil SGPS SA *		121,692
	172,625	Navigator Co SA (The)		725,452
	1,238,990	Sonae SGPS SA		1,175,907
		Total Portugal		2,288,427
		Qatar — 0.3%
	290,122	Barwa Real Estate Co		3,049,298
	174,623	Doha Bank QPSC		1,027,794
	118,597	Gulf International Services QSC *		599,287
	63,769	Masraf Al Rayan QSC		702,649
	25,561	Qatar Electricity & Water Co QSC		1,269,329
	232,744	Qatar Gas Transport Co Ltd		1,158,032
	100,581	Qatar Insurance Co SAQ		991,744
	46,941	Qatar International Islamic Bank QSC		820,438
	31,052	Qatar Islamic Bank SAQ		1,295,558
	310,426	Qatar National Bank QPSC		17,031,448
	48,571	Qatar National Cement Co QSC		763,550
	28,093	Qatar Navigation QSC		532,100
		Total Qatar		29,241,227
		Russia — 3.3%
	2,683,880	Aeroflot PJSC		4,576,631
	6,934,970	Alrosa PJSC		10,309,898
	5,939	Etalon Group Plc		11,759
	212,550	Gazprom Neft PJSC		1,152,213
	13,456,130	Gazprom PJSC Sponsored ADR		64,212,007
	306,026	Globaltrans Investment Plc Sponsored GDR (Registered)		2,872,668

Shares		Description	Value ($)
		Russia — continued
	46,934,000	Inter RAO UES PJSC		2,865,749
	13,375	LSR Group PJSC		25,924
	748,904	LUKOIL PJSC Sponsored ADR		55,265,282
	248,750	M.Video PJSC *		1,552,287
	42,714	Magnit PJSC		2,233,343
	249,320	Magnit PJSC Sponsored GDR (Registered)		3,198,229
	784,100	Magnitogorsk Iron & Steel OJSC		547,732
	53,753	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		482,641
	600,307	MMC Norilsk Nickel PJSC ADR		11,356,007
	1,414,400	Mobile TeleSystems PJSC Sponsored ADR		10,480,704
	5,544,780	Moscow Exchange MICEX-RTS PJSC *		7,407,925
	61,950	Novatek PJSC		1,042,885
	144,512	Novatek PJSC Sponsered GDR (Registered)		24,658,579
	1,291,120	Novolipetsk Steel PJSC		3,057,295
	364,544	Novolipetsk Steel PJSC GDR		8,631,730
	105,327	PhosAgro PJSC GDR (Registered)		1,409,329
	230,417	QIWI Plc Sponsored ADR *		3,465,472
	19,580	Raspadskaya OJSC *		36,580
	4,539,435	Rostelecom PJSC		4,828,343
	7,939	Rostelecom PJSC Sponsored ADR		51,174
	106,544,000	RusHydro PJSC		802,419
	1,434	RussNeft PJSC *		11,819
	60,140	Safmar Financial Investment		524,234
	3,517,989	Sberbank of Russia Sponsored ADR		41,957,996
	43,340	Severstal PJSC		648,885
	373,674	Severstal PJSC GDR (Registered)		5,496,445
	1,448,200	Surgutneftegas OJSC		591,252
	2,323,711	Surgutneftegas PJSC Sponsored ADR		9,258,771
	552,420	Tatneft PJSC		5,857,184
	260,814	Tatneft PJSC Sponsored ADR		16,514,684
	66,668	TCS Group Holding Plc GDR (Registered)		1,156,141
	3,610	TMK PJSC GDR (Registered)		12,003
		Total Russia		308,564,219
		Singapore — 0.1%
	69,700	Oversea-Chinese Banking Corp Ltd		574,745
	605,200	Sino Grandness Food Industry Group Ltd *		64,507
	4,700	United Overseas Bank Ltd		86,299
	165,200	Venture Corp Ltd		1,808,830
	8,958,300	Yangzijiang Shipbuilding Holdings Ltd		8,158,576
	1,255,300	Yanlord Land Group Ltd		1,184,790
		Total Singapore		11,877,747
		South Africa — 2.5%
	3,449,632	Absa Group Ltd		38,340,445
	39,768	AECI Ltd		260,352

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		South Africa — continued
	1,494,532	African Phoenix Investments Ltd *		49,725
	248,111	Alviva Holdings Ltd		318,119
	9,112	Anglo American Platinum Ltd		293,124
	57,690	Aspen Pharmacare Holdings Ltd		612,647
	306,411	Astral Foods Ltd		3,872,163
	761,129	AVI Ltd		5,483,502
	519,348	Barloworld Ltd		4,309,829
	13,549	Bid Corp Ltd		251,207
	3,816,558	Blue Label Telecoms Ltd *		1,449,712
	59,912	Capitec Bank Holdings Ltd		4,750,647
	487,793	Clicks Group Ltd		6,608,154
	249,416	Coronation Fund Managers Ltd		803,746
	1,185,741	Delta Property Fund Ltd (REIT)		393,534
	194,014	Dis-Chem Pharmacies Ltd		452,698
	113,720	Discovery Ltd		1,260,827
	1,132,215	Emira Property Fund Ltd (REIT)		1,214,279
	268,086	Exxaro Resources Ltd		2,513,705
	940,200	FirstRand Ltd		4,522,842
	195,302	Foschini Group Ltd (The)		2,464,045
	3,578,608	Growthpoint Properties Ltd (REIT)		6,101,934
	248,377	Hyprop Investments Ltd (REIT)		1,598,583
	378,469	Imperial Holdings Ltd		1,731,229
	208,284	Invicta Holdings Ltd		525,662
	52,957	JSE Ltd		632,207
	652,260	Kumba Iron Ore Ltd		11,671,945
	985,446	Lewis Group Ltd		2,056,091
	972,974	Liberty Holdings Ltd		7,508,329
	97,577	Massmart Holdings Ltd		741,269
	269,759	Metair Investments Ltd		368,213
	246,867	MMI Holdings Ltd *		308,939
	399,663	Mondi Ltd		8,788,377
	194,804	Motus Holdings Ltd *		1,222,906
	906,244	Mr Price Group Ltd		15,750,526
	51,797	MTN Group Ltd		326,049
	952,078	Murray & Roberts Holdings Ltd		1,058,354
	1,222,730	Nedbank Group Ltd		23,402,382
	1,528,871	Netcare Ltd		2,835,920
	110,969	Old Mutual Ltd		185,208
	68,574	Omnia Holdings Ltd		405,075
	288,976	Pepkor Holdings Ltd *		442,475
	83,026	Pioneer Foods Group Ltd		509,224
	557,492	Rebosis Property Fund Ltd (REIT)		120,796
	1,483,929	Redefine Properties Ltd (REIT)		1,026,123
	120,760	Reinet Investments SCA		1,762,501
	84,841	Resilient REIT Ltd		367,259
	779,380	Reunert Ltd		4,133,282
	1,303,897	RMB Holdings Ltd		7,347,911
	1,860,641	SA Corporate Real Estate Ltd (REIT)		522,575
	760,245	Sanlam Ltd		4,225,365
	39,167	Santam Ltd		901,711
	151,092	SPAR Group Ltd (The)		2,133,614
	2,183,521	Standard Bank Group Ltd		27,585,156

Shares		Description	Value ($)
		South Africa — continued
	1,722,704	Steinhoff International Holdings NV *		222,032
	909,829	Telkom SA SOC Ltd		3,724,420
	1,644,985	Truworths International Ltd		10,440,200
	457,140	Tsogo Sun Holdings Ltd		695,355
	47,409	Vodacom Group Ltd		429,449
	307,921	Wilson Bayly Holmes-Ovcon Ltd		3,237,586
		Total South Africa		237,271,534
		South Korea — 2.5%
	78,520	Aekyung Petrochemical Co Ltd		592,384
	669	Amotech Co Ltd *		11,399
	653,407	BNK Financial Group Inc		4,482,114
	24,501	Cheil Worldwide Inc		513,463
	19,747	Chong Kun Dang Pharmaceutical Corp		1,811,145
	1,413	CJ Corp		164,866
	975	CLIO Cosmetics Co Ltd		11,046
	348	Dae Han Flour Mills Co Ltd		57,751
	46,450	Daeduck Electronics Co		386,971
	3,952	Daelim Industrial Co Ltd		334,419
	4,156	Daihan Pharmaceutical Co Ltd		148,714
	81,858	Daou Data Corp		694,794
	112,953	Daou Technology Inc		2,033,312
	129,248	DB Insurance Co Ltd		7,805,647
	13,203	DGB Financial Group Inc		103,895
	2,789	DongKook Pharmaceutical Co Ltd		153,195
	73,053	Dongsuh Cos Inc		1,164,908
	74,571	Dongwha Pharm Co Ltd		608,782
	524,632	Dongwon Development Co Ltd		1,895,235
	77,960	Doosan Heavy Industries & Construction Co Ltd *		792,849
	28,170	F&F Co Ltd		1,172,044
	2,331	GOLFZON Co Ltd		71,575
	24,639	Green Cross Holdings Corp		532,327
	6,313	GS Home Shopping Inc		1,101,970
	216,842	Hana Financial Group Inc		7,290,430
	12,018	Hankook Tire Co Ltd		459,221
	127,328	Hankook Tire Worldwide Co Ltd		1,919,257
	5,922	Hansol Paper Co Ltd		87,270
	15,844	Hanssem Co Ltd		828,278
	21,284	Huons Co Ltd		1,387,955
	35,943	Hyundai Greenfood Co Ltd		429,022
	32,577	Hyundai Home Shopping Network Corp		2,904,325
	205,849	Hyundai Hy Communications & Network Co Ltd		806,405
	71,004	Hyundai Marine & Fire Insurance Co Ltd		2,535,896
	25,052	Hyundai Mobis Co Ltd		4,036,917
	12,012	Il Dong Pharmaceutical Co Ltd		238,020
	1,474,103	Industrial Bank of Korea		19,526,995
	330,047	JB Financial Group Co Ltd		1,682,165
	2,015	Kangnam Jevisco Co Ltd		46,759
	195,639	Kangwon Land Inc		5,632,724

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	192,283	KB Financial Group Inc		8,104,511
	29,956	KEPCO Plant Service & Engineering Co Ltd		824,428
	426,937	Kia Motors Corp		11,623,538
	184,556	Korea Asset In Trust Co Ltd		768,264
	3,598	Korea Zinc Co Ltd		1,367,472
	63,469	Korean Reinsurance Co		505,265
	9,500	KT Corp Sponsored ADR		139,840
	67,372	KT Hitel Co Ltd *		294,866
	73,770	KT Skylife Co Ltd		753,835
	116,805	KT&G Corp		10,838,005
	105,630	Kwang Dong Pharmaceutical Co Ltd		648,328
	80,585	Kyobo Securities Co Ltd		675,163
	34,866	Kyungdong Pharm Co Ltd		393,475
	178,262	LF Corp		3,843,831
	188,840	LG Corp		12,184,599
	316,487	LG Electronics Inc		20,543,905
	117,740	LOTTE Himart Co Ltd		5,510,827
	10,978	LS Corp		519,708
	25,123	Maeil Holdings Co Ltd		247,247
	1,099	Ottogi Corp		726,848
	22,172	S&T Motiv Co Ltd		525,921
	84,715	Samjin Pharmaceutical Co Ltd		3,284,388
	11,356	Samsung SDS Co Ltd		1,993,588
	74,706	Seohan Co Ltd		123,356
	47,572	Shinhan Financial Group Co Ltd		1,755,208
	20,794	Sindoh Co Ltd		894,463
	40,331	SK Holdings Co Ltd		10,156,148
	645,450	SK Hynix Inc		40,314,887
	743,141	SK Telecom Co Ltd Sponsored ADR		21,082,910
	73,442	SL Corp		1,065,111
	180	Taekwang Industrial Co Ltd		218,278
	2,447	Unid Co Ltd		98,204
	142,585	Woori Bank *		1,997,025
		Total South Korea		240,479,886
		Spain — 0.4%
	34,246	Almirall SA		585,691
	417,684	Atlantica Yield Plc		8,194,960
	20,485	Banco Santander SA		97,313
	37,214	Ebro Foods SA		760,256
	284,698	Ence Energia y Celulosa SA		1,801,537
	49,099	Endesa SA		1,096,953
	31,430	Faes Farma SA		124,339
	272,721	Iberdrola SA		2,040,178
	2,370,389	International Consolidated Airlines Group SA		19,004,728
	6,003	Papeles y Cartones de Europa SA		114,373
	108,104	Repsol SA		1,862,236
	298,296	Unicaja Banco SA		360,477
	2,917	Viscofan SA		167,024
		Total Spain		36,210,065

Shares		Description	Value ($)
		Sweden — 1.0%
	53,593	Alfa Laval AB (b)		1,156,212
	11,222	Betsson AB *		90,746
	10,344	Bufab AB		104,157
	7,719	Castellum AB		135,362
	67,192	Electrolux AB – Series B		1,529,301
	43,873	Epiroc AB – Class A *		359,467
	36,123	Granges AB		366,909
	44,036	Hemfosa Fastigheter AB		348,436
	34,467	Hexpol AB		304,674
	168,645	Kindred Group Plc SDR		1,648,740
	145,182	Klovern AB – B Shares		166,919
	8,541	L E Lundbergforetagen AB – B Shares		255,946
	1,364	Loomis AB – Class B		45,976
	17,891	Mr. Green & Co AB *		135,870
	41,964	Nobina AB		269,494
	4,360	Nolato AB – B Shares		189,687
	11,253	Nordea Bank Abp		99,940
	44,036	Nyfosa AB *		206,064
	58,030	Oriflame Holding AG		1,464,185
	29,365	Peab AB		238,650
	120,125	Resurs Holding AB		775,938
	1,066,540	Sandvik AB		15,839,281
	133,066	SAS AB *		327,378
	9,510	Skandinaviska Enskilda Banken AB – Class A		99,200
	56,667	SKF AB – B Shares		896,706
	173,655	SSAB AB – Series A		623,241
	2,507,924	Svenska Cellulosa AB SCA – Class B		20,217,748
	360,272	Swedbank AB – A Shares		8,381,205
	194,459	Swedish Match AB		7,599,960
	11,197	Telefonaktiebolaget LM Ericsson – B Shares		93,976
	39,741	Volvo AB – A Shares		552,005
	2,252,153	Volvo AB – B Shares		31,425,135
		Total Sweden		95,948,508
		Switzerland — 1.4%
	12,612	ALSO Holding AG (Registered) *		1,412,046
	4,534	Ascom Holding AG (Registered)		66,308
	25,652	BKW AG		1,746,204
	9,609	Bobst Group SA (Registered)		717,727
	1,186	Bossard Holding AG (Registered) – A Shares		186,128
	4,941	Bucher Industries AG (Registered)		1,349,619
	10,992	Ceva Logistics AG *		327,224
	14,411	Galenica AG *		670,742
	105,455	GAM Holding AG *		555,761
	11,874	Georg Fischer AG (Registered)		9,269,326
	390	Gurit Holding AG		385,097
	464	Helvetia Holding AG (Registered)		287,280
	2,133	Inficon Holding AG (Registered) *		1,010,180
	9,168	Kardex AG (Registered) *		1,091,508

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Switzerland — continued
	4,120	Landis+Gyr Group AG *		256,625
	94	Lonza Group AG (Registered) *		30,490
	160,932	Nestle SA (Registered)		13,729,591
	375,245	Novartis AG (Registered)		34,260,403
	8,573	Orior AG		711,832
	19,987	Roche Holding AG		5,152,095
	133,258	Roche Holding AG – Genusschein		34,591,637
	157,625	Sika AG (Registered) (b)		19,559,807
	7,290	Swatch Group AG (The) (Registered)		427,313
	1,531	Swiss Re AG		140,056
	2,080	Swissquote Group Holding SA (Registered)		99,526
	1,962	Zehnder Group AG – Class RG		72,370
	7,960	Zurich Insurance Group AG		2,502,032
		Total Switzerland		130,608,927
		Taiwan — 5.8%
	302,000	Ability Enterprise Co Ltd		144,572
	656,000	AcBel Polytech Inc		401,686
	5,000	Acter Co Ltd		29,138
	177,000	Actron Technology Corp		545,735
	20,000	Advanced Wireless Semiconductor Co		26,135
	559,000	Advantech Co Ltd		4,252,838
	2,045,000	Alpha Networks Inc		1,063,556
	485,000	AmTRAN Technology Co Ltd *		193,439
	509,000	Arcadyan Technology Corp		1,129,808
	956,000	Asia Vital Components Co Ltd		726,842
	4,757,799	Asustek Computer Inc		33,786,430
	57,000	Aten International Co Ltd		152,766
	1,954,000	Catcher Technology Co Ltd		16,898,509
	3,343,000	Cathay Financial Holding Co Ltd		5,290,219
	41,000	Cathay Real Estate Development Co Ltd		26,689
	3,191,000	Chailease Holding Co Ltd		10,023,261
	317,000	Chaun-Choung Technology Corp		1,006,812
	452,660	Chicony Electronics Co Ltd		888,148
	478,310	Chicony Power Technology Co Ltd		676,366
	7,284,000	China Development Financial Holding Corp		2,375,729
	66,000	China General Plastics Corp		46,283
	2,377,000	China Life Insurance Co Ltd		2,260,584
	566,000	China Motor Corp		424,306
	1,232,000	Chin-Poon Industrial Co Ltd		1,547,749
	139,000	Chlitina Holding Ltd		1,101,426
	351,000	Chong Hong Construction Co Ltd		903,524
	2,882,000	Chunghwa Telecom Co Ltd		10,034,432
	59,100	Chunghwa Telecom Co Ltd Sponsored ADR		2,052,543
	141,000	Cleanaway Co Ltd		773,029
	4,923,000	Coretronic Corp		6,432,687
	21,512,000	CTBC Financial Holding Co Ltd		14,330,737
	813,000	CTCI Corp		1,202,332
	50,000	Cyberlink Corp		111,280

Shares		Description	Value ($)
		Taiwan — continued
	61,000	Depo Auto Parts Ind Co Ltd		136,467
	848,600	Elan Microelectronics Corp		1,957,068
	297,000	Elite Material Co Ltd		707,138
	642,000	Elitegroup Computer Systems Co Ltd *		274,284
	703,000	Everlight Electronics Co Ltd		711,517
	505,000	Far Eastern Department Stores Ltd		262,965
	2,232,000	Far Eastern New Century Corp		2,069,231
	801,000	Far EasTone Telecommunications Co Ltd		1,888,184
	603,000	Farglory Land Development Co Ltd		705,583
	475,000	Feng TAY Enterprise Co Ltd		3,033,878
	313,000	FLEXium Interconnect Inc		824,702
	244,000	Formosa Advanced Technologies Co Ltd		258,364
	3,191,000	Formosa Chemicals & Fibre Corp		11,084,031
	1,445,000	Formosa Petrochemical Corp		5,252,368
	2,856,000	Formosa Plastics Corp		9,306,555
	498,000	Formosa Taffeta Co Ltd		544,420
	4,869,000	Foxconn Technology Co Ltd		9,871,151
	13,871,000	Fubon Financial Holding Co Ltd		22,045,715
	267,000	General Interface Solution Holding Ltd		892,846
	8,054,000	Gigabyte Technology Co Ltd		10,229,089
	722,000	Globalwafers Co Ltd		8,658,207
	10,024,000	Grand Pacific Petrochemical		7,308,032
	3,283,830	Great Wall Enterprise Co Ltd		3,463,198
	548,000	Greatek Electronics Inc		746,232
	272,000	Green Seal Holding Ltd		325,367
	278,000	HannStar Display Corp		67,330
	3,183,000	Highwealth Construction Corp		4,859,841
	2,171,000	Holtek Semiconductor Inc		4,171,013
	3,023,600	Hon Hai Precision Industry Co Ltd		7,098,183
	564,000	HTC Corp *		834,057
	669,000	Huaku Development Co Ltd		1,375,194
	615,300	IEI Integration Corp		639,222
	6,000	Innodisk Corp		20,551
	3,255,000	Innolux Corp		1,086,816
	196,000	International Games System Co Ltd		946,209
	2,309,000	Inventec Corp		1,662,561
	889,000	ITEQ Corp		1,413,145
	56,000	King Slide Works Co Ltd		610,929
	443,000	Kinik Co		795,690
	143,000	Kung Long Batteries Industrial Co Ltd		669,970
	11,000	LCY Chemical Corp		18,678
	75,000	Lion Travel Service Co Ltd		218,676
	1,888,000	Lite-On Semiconductor Corp		1,941,720
	1,268,000	Macronix International		843,920
	374,000	Makalot Industrial Co Ltd		2,193,430
	91,000	MediaTek Inc		704,827
	3,955,776	Mercuries Life Insurance Co Ltd *		1,687,185
	192,000	Micro-Star International Co Ltd		455,029
	3,437,899	Mitac Holdings Corp		3,163,179
	10,941,000	Nan Ya Plastics Corp		26,474,602

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	448,000	Nantex Industry Co Ltd		420,088
	3,927,000	Nanya Technology Corp		7,845,980
	5,468,000	Novatek Microelectronics Corp		23,165,817
	176,000	On-Bright Electronics Inc		1,117,837
	4,062,445	OptoTech Corp		2,478,277
	4,696,000	Pegatron Corp		8,010,215
	978,000	Phison Electronics Corp		7,998,264
	44,000	Pixart Imaging Inc		135,708
	12,035,566	Pou Chen Corp		13,126,332
	4,111,000	Quanta Computer Inc		6,688,823
	840,000	Quanta Storage Inc		644,778
	10,057,020	Radiant Opto-Electronics Corp		27,648,110
	1,430,000	Realtek Semiconductor Corp		6,618,080
	504,000	Rechi Precision Co Ltd		388,660
	814,240	Ruentex Development Co Ltd		1,298,134
	2,062,600	Ruentex Industries Ltd		6,117,216
	607,000	Sercomm Corp		1,237,921
	672,000	Sheng Yu Steel Co Ltd		428,427
	299,000	Shin Zu Shing Co Ltd		830,786
	215,000	Shinkong Insurance Co Ltd		249,316
	8,600	Silicon Motion Technology Corp ADR		308,482
	800,400	Simplo Technology Co Ltd		4,885,808
	445,000	Sinbon Electronics Co Ltd		1,163,442
	762,000	Sitronix Technology Corp		2,759,213
	416,000	Soft-World International Corp		977,539
	141,000	Standard Chemical & Pharmaceutical Co Ltd		140,743
	2,755,000	Sunplus Technology Co Ltd		1,069,086
	647,750	Syncmold Enterprise Corp		1,443,222
	893,000	Synnex Technology International Corp		1,054,264
	8,000	Systex Corp		16,389
	126,000	TaiDoc Technology Corp		646,269
	27,000	Taiwan Fertilizer Co Ltd		38,745
	2,079,000	Taiwan Semiconductor Co Ltd		3,860,213
	1,321,823	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (a)		49,687,327
	132,000	Taiwan Styrene Monomer		103,709
	1,834,000	Taiwan Surface Mounting Technology Corp		2,174,136
	2,633,000	Teco Electric and Machinery Co Ltd		1,471,290
	5,000	Thinking Electronic Industrial Co Ltd		13,295
	472,000	Tong Hsing Electronic Industries Ltd		1,751,013
	560,700	TOPBI International Holdings Ltd		1,598,557
	1,038,188	Topco Scientific Co Ltd		2,394,610
	626,000	Transcend Information Inc		1,389,225
	1,132,000	Tripod Technology Corp		3,073,094
	694,000	TXC Corp		784,865
	4,075,000	Uni-President Enterprises Corp		9,586,806
	2,111,000	United Integrated Services Co Ltd (c)		4,399,335
	587,000	United Microelectronics Corp		219,335
	176,000	Wah Lee Industrial Corp		288,953
	2,295,000	Walsin Lihwa Corp		1,384,301

Shares		Description	Value ($)
		Taiwan — continued
	1,477,000	Waterland Financial Holdings Co Ltd		482,624
	1,271,000	Win Semiconductors Corp		5,269,524
	303,798	Wistron NeWeb Corp		762,234
	531,000	WPG Holdings Ltd		648,320
	585,000	YC INOX Co Ltd		470,065
	690,000	Youngtek Electronics Corp		917,701
	23,000	Yulon Nissan Motor Co Ltd		172,292
	14,458,000	Yuanta Financial Holding Co Ltd		7,394,470
	3,000	Zeng Hsing Industrial Co Ltd		13,830
	3,627,000	Taiwan Semiconductor Manufacturing Co Ltd		26,786,456
		Total Taiwan		545,417,690
		Thailand — 1.0%
	1,095,400	AP Thailand Pcl (Foreign Registered)		226,826
	169,400	AP Thailand Pcl NVDR		35,078
	1,058,200	Com7 Pcl NVDR		613,987
	218,300	Esso Thailand Pcl NVDR		81,645
	457,000	Glow Energy Pcl (Foreign Registered)		1,209,825
	33,200	Glow Energy Pcl NVDR		87,891
	8,418,400	Home Product Center Pcl NVDR		3,896,499
	5,162,200	Indorama Ventures Pcl NVDR		8,511,011
	464,800	MC Group Pcl (Foreign Registered)		164,272
	922,900	MC Group Pcl NVDR		326,176
	400,500	Mega Lifesciences Pcl (Foreign Registered)		397,497
	540,500	Mega Lifesciences Pcl NVDR		536,446
	418,800	Pruksa Holding Pcl (Foreign Registered)		237,134
	1,798,600	Pruksa Holding Pcl NVDR		1,018,407
	6,213,800	PTT Global Chemical Pcl NVDR		14,901,481
	10,421,000	PTT Pcl (Foreign Registered)		15,671,069
	6,020,700	PTT Pcl NVDR		9,054,080
	3,137,400	SC Asset Corp Pcl (Foreign Registered)		328,839
	760,900	Siam Cement Pcl (The) (Foreign Registered)		10,242,925
	9,725,800	Star Petroleum Refining Pcl		3,561,915
	2,530,300	Star Petroleum Refining Pcl (Foreign Registered)		926,682
	1,722,150	Supalai Pcl (Foreign Registered)		1,064,773
	371,950	Supalai Pcl NVDR		229,970
	15,562,500	Thai Beverage Pcl		7,149,108
	286,700	Thai Oil Pcl (Foreign Registered)		665,430
	1,054,700	Thai Oil Pcl NVDR		2,447,956
	4,269,600	Thanachart Capital Pcl (Foreign Registered)		6,913,149
	104,800	Thanachart Capital Pcl NVDR		170,022
	1,638,600	TTW Pcl (Foreign Registered)		607,805
	1,630,800	TTW Pcl NVDR		604,911
		Total Thailand		91,882,809
		Turkey — 1.8%
	6,558,937	Akbank Turk AS		9,653,182

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Turkey — continued
	10,332	Akcansa Cimento AS		13,197
	290,691	Aksa Akrilik Kimya Sanayii AS		463,342
	63,035	Albaraka Turk Katilim Bankas AS		15,233
	1,238,239	Anadolu Cam Sanayii AS		665,652
	2,253,935	Aselsan Elektronik Sanayi Ve Ticaret AS		11,545,673
	11,382	Aygaz AS		25,563
	855,813	BIM Birlesik Magazalar AS		13,871,742
	6,629	Borusan Mannesmann Boru Sanayi ve Ticaret AS		10,184
	13,900	Cimsa Cimento Sanayi VE Ticaret AS		19,408
	154,818	Coca-Cola Icecek AS		867,622
	4,934,642	Dogan Sirketler Grubu Holding AS *		1,089,623
	2,296,644	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		1,331,547
	15,063,636	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)		4,686,455
	1,714,698	Enerjisa Enerji AS		1,638,156
	1,046,568	Enka Insaat ve Sanayi AS		941,588
	6,707,416	Eregli Demir ve Celik Fabrikalari TAS		9,771,673
	268,026	Ford Otomotiv Sanayi AS		2,781,939
	2,601,295	Haci Omer Sabanci Holding AS		4,109,526
	1,475,077	Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim AS *		1,722,042
	4,036,058	KOC Holding AS		11,878,137
	350,005	Kordsa Teknik Tekstil AS		680,470
	2,020	Logo Yazilim Sanayi Ve Ticaret AS *		12,599
	223,214	Mavi Giyim Sanayi Ve Ticaret AS – Class B		1,612,346
	33,887	Otokar Otomotiv Ve Savunma Sanayi AS		554,704
	2,741,842	Petkim Petrokimya Holding AS		2,790,263
	446,882	Selcuk Ecza Deposu Ticaret ve Sanayi AS		249,588
	8,281,939	Soda Sanayii AS		11,365,141
	591,302	TAV Havalimanlari Holding AS		2,658,928
	583,638	Tekfen Holding AS		2,243,804
	272,606	Tofas Turk Otomobil Fabrikasi AS		1,014,462
	2,438,394	Trakya Cam Sanayii AS		1,458,769
	490,789	Tupras Turkiye Petrol Rafineriler AS		11,755,193
	3,285	Turk Traktor ve Ziraat Makineleri AS		22,606
	2,553,439	Turkcell Iletisim Hizmetleri AS		6,220,309
	77,800	Turkcell Iletisim Hizmetleri AS ADR		468,356
	8,722,157	Turkiye Garanti Bankasi AS		13,820,005
	2,090,384	Turkiye Halk Bankasi AS		2,890,615
	18,220,894	Turkiye Is Bankasi – Class C		14,902,308
	8,723,512	Turkiye Sinai Kalkinma Bankasi AS		1,322,238
	10,845,500	Turkiye Vakiflar Bankasi TAO – Class D		8,354,763
	297,776	Ulker Biskuvi Sanayi AS *		890,929
	83,452	Verusa Holding AS		242,031
	24,364,866	Yapi ve Kredi Bankasi AS *		8,084,238
		Total Turkey		170,716,149

Shares		Description	Value ($)
		United Arab Emirates — 0.2%
	468,261	Abu Dhabi Commercial Bank PJSC		1,001,167
	3,193,793	Air Arabia PJSC		886,706
	1,228,018	Al Waha Capital PJSC		564,202
	2,280,909	DAMAC Properties Dubai Co PJSC		1,160,663
	6,549,332	Dana Gas PJSC		1,649,672
	42,810	DP World Ltd		701,072
	2,566,319	Dubai Investments PJSC		944,949
	693,522	Dubai Islamic Bank PJSC		990,658
	559,291	Emaar Development PJSC		753,707
	1,669,234	Emaar Malls PJSC		818,876
	2,967,815	Emaar Properties PJSC		3,651,589
	526,964	Emirates Telecommunications Group Co PJSC		2,387,418
	191,784	First Abu Dhabi Bank PJSC		711,045
	7,679,193	RAK Properties PJSC		1,068,063
		Total United Arab Emirates		17,289,787
		United Kingdom — 4.0%
	1,756,791	3i Group Plc		18,766,448
	31,563	888 Holdings Plc		66,290
	50,460	Ashmore Group Plc		239,680
	114,804	Ashtead Group Plc		2,588,605
	383,972	AstraZeneca Plc		29,899,566
	12,275	AVEVA Group Plc		402,154
	428,591	Aviva Plc		2,227,988
	149,436	BAE Systems Plc		939,408
	166,190	Barratt Developments Plc		982,635
	42,321	Beazley Plc		302,167
	165,904	Bellway Plc		5,384,576
	285,279	Berkeley Group Holdings Plc (The)		11,757,687
	150,120	Bovis Homes Group Plc		1,648,644
	14,100	BP Plc Sponsored ADR		568,935
	618,284	British American Tobacco Plc		21,647,251
	34,500	British American Tobacco Plc Sponsored ADR		1,203,015
	90,727	Britvic Plc		991,457
	157,717	BT Group Plc		527,786
	38,180	Central Asia Metals Plc		103,703
	61,407	Close Brothers Group Plc		1,181,152
	63,063	CMC Markets Plc		90,487
	400,916	Coca-Cola HBC AG *		11,992,314
	289,979	Compass Group Plc		6,218,604
	77,788	Computacenter Plc		1,066,127
	41,600	Dart Group Plc		444,272
	18,600	Diageo Plc Sponsored ADR (a)		2,684,910
	44,818	Drax Group Plc		224,283
	284,793	EI Group Plc *		670,090
	791,526	Electrocomponents Plc		5,202,706
	60,746	Evraz Plc		354,006
	1,436,413	Ferrexpo Plc		3,228,824
	18,445	Fevertree Drinks Plc		564,775
	74,366	Galliford Try Plc		683,226

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	5,796	Games Workshop Group Plc		224,606
	4,607	GlaxoSmithKline Plc		95,503
	853,900	GlaxoSmithKline Plc Sponsored ADR		35,752,793
	5,492	Go – Ahead Group Plc		120,797
	33,940	Grafton Group Plc		307,084
	75,152	Grainger Plc		243,143
	22,804	Hikma Pharmaceuticals Plc		520,198
	10,527	Hostelworld Group Plc		27,425
	82,500	HSBC Holdings Plc Sponsored ADR (a)		3,509,550
	1,012,572	IG Group Holdings Plc		7,651,319
	49,961	Imperial Brands Plc		1,540,005
	450,562	Inchcape Plc		3,344,939
	564,321	Indivior Plc *		736,119
	18,116	Intermediate Capital Group Plc		235,318
	29,216	International Personal Finance Plc		81,280
	20,177	J Sainsbury Plc		78,626
	208,527	JD Sports Fashion Plc		1,054,802
	88,201	John Laing Group Plc		368,985
	69,405	Land Securities Group Plc (REIT)		721,684
	4,118,887	Legal & General Group Plc		12,899,114
	10,140,136	Lloyds Banking Group Plc		7,177,088
	138,383	McBride Plc *		236,880
	43,026	Mondi Plc		942,180
	56,323	Morgan Sindall Group Plc		882,425
	42,620	N Brown Group Plc		63,157
	72,655	Next Plc		4,536,576
	228,100	Nomad Foods Ltd *		4,612,182
	5,700	Northgate Plc		28,106
	45,016	Numis Corp Plc		157,249
	58,020	Pagegroup Plc		369,192
	48,907	Paragon Banking Group Plc		262,601
	297,060	Pearson Plc		3,657,877
	1,192,163	Persimmon Plc		28,976,346
	352,563	Plus500 Ltd		6,833,131
	73,316	Premier Oil Plc *		66,209
	855,023	QinetiQ Group Plc		3,247,882
	199,667	Reckitt Benckiser Group Plc		16,620,613
	162,878	Redrow Plc		975,092
	24,918	Rotork Plc		83,473
	129,650	Royal Dutch Shell Plc – Class A		3,921,618
	44,700	Royal Dutch Shell Plc – Class A Sponsored ADR		2,699,880
	51,200	Royal Dutch Shell Plc – Class B Sponsored ADR (a)		3,175,936
	307,878	Royal Mail Plc		1,259,584
	49,770	RPS Group Plc		98,574
	32,336	Safestore Holdings Plc (REIT)		217,778
	42,546	Savills Plc		395,125
	6,363	Schroders Plc		205,735
	176,039	Segro Plc (REIT)		1,358,190
	296,491	Shire Plc ADR		52,057,890
	47,764	Softcat Plc		367,274

Shares		Description	Value ($)
		United Kingdom — continued
	104,006	Spectris Plc		3,184,526
	18,686	St Modwen Properties Plc		91,284
	203,686	Stock Spirits Group Plc		496,530
	383,501	Tate & Lyle Plc		3,515,029
	397,051	Taylor Wimpey Plc		681,034
	71,949	TUI AG		1,027,817
	290,043	Unilever Plc		15,718,653
	372,260	Vesuvius Plc		2,511,954
	136,184	William Hill Plc		281,725
	44,897	WPP Plc		495,597
		Total United Kingdom		377,857,053
		United States — 9.0%
	135,090	3M Co. (b)		28,087,913
	167,957	Abbott Laboratories (a)		12,437,216
	143,955	Accenture Plc – Class A		23,683,477
	48,757	Alphabet, Inc. – Class C * (b)		53,361,124
	198,193	American Express Co. (a)		22,251,128
	60,977	Amphenol Corp. – Class A (a)		5,362,317
	60,092	Anthem, Inc.		17,430,886
	235,052	Apple, Inc.		41,975,586
	240,000	Arconic, Inc. (a) (d)		5,155,200
	501,946	ARRIS International Plc *		15,510,131
	118,210	Avista Corp. (a)		6,149,284
	31,681	Becton Dickinson and Co. (a)		8,007,373
	294,900	Bemis Co., Inc.		14,379,324
	900	Booking Holdings, Inc. *		1,702,692
	250,000	Campbell Soup Co. (a) (d)		9,800,000
	285,100	Cars.com, Inc. * (a)		7,375,537
	378,504	Cisco Systems, Inc. (a)		18,118,986
	281,054	Coca-Cola Co. (The) (a)		14,165,122
	244,105	Cognizant Technology Solutions Corp. – Class A		17,387,599
	109,322	Costco Wholesale Corp. (a)		25,283,992
	102,070	CVS Health Corp.		8,186,015
	454,930	Discovery, Inc. – Class C * (b)		12,706,195
	68,786	Electro Scientific Industries, Inc. *		2,022,308
	65,688	Esterline Technologies Corp. *		7,799,136
	1,469,404	EveryWare Global, Inc. * (e)		2,571,457
	73,316	Facebook, Inc. – Class A *		10,308,963
	58,898	Honeywell International, Inc.		8,643,282
	20,000	II-VI, Inc. *		748,400
	132,296	Integrated Device Technology, Inc. *		6,342,270
	26,803	International Flavors & Fragrances, Inc. (d)		3,763,917
	190,135	Johnson & Johnson		27,930,832
	452,690	Liberty Media Corp.-Liberty SiriusXM – Class C *		18,161,923
	30,446	Macquarie Infrastructure Corp. (a)		1,269,598
	27,886	Mastercard, Inc. – Class A (a)		5,607,038
	266,848	Medtronic Plc		26,025,685
	248,108	Merck & Co., Inc.		19,684,889
	378,508	Microsoft Corp.		41,972,752

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	736,554	Newfield Exploration Co. *		12,484,590
	437,500	Nielsen Holdings Plc (a) (d)		11,886,875
	102,546	NxStage Medical, Inc. *		2,895,899
	1,960,195	OneMarket Ltd. *		1,131,208
	692,342	Oracle Corp.		33,758,596
	32,110	PepsiCo, Inc. (a)		3,915,493
	112,389	Philip Morris International, Inc. (a) (b)		9,725,020
	103,795	QUALCOMM, Inc. (a)		6,047,097
	145,200	Red Hat, Inc. * (d)		25,926,912
	58,884	Tenet Healthcare Corp. * (a)		1,535,106
	189,387	Texas Instruments, Inc.		18,910,292
	332,410	TJX Cos., Inc. (The)		16,238,229
	378,501	Twenty-First Century Fox, Inc. – Class A (d)		18,724,444
	453,041	Twenty-First Century Fox, Inc. – Class B (d)		22,212,600
	102,395	UnitedHealth Group, Inc.		28,809,857
	277,873	United Technologies Corp. (d)		33,856,083
	437,221	US Bancorp		23,811,056
	38,200	Visa, Inc. – Class A		5,413,322
	455,935	Wells Fargo & Co.		24,748,152
		Total United States		853,400,378
		TOTAL COMMON STOCKS (COST $6,389,352,179)		6,067,574,743
		PREFERRED STOCKS (f) — 1.1%
		Brazil — 0.3%
	648,400	Banco do Estado do Rio Grande do Sul SA – Class B		3,660,196
	1,528,200	Braskem SA – Class A		21,421,268
	124,975	Centrais Eletricas Brasileiras SA – Class B *		916,399
		Total Brazil		25,997,863
		Colombia — 0.0%
	42,707	Banco Davivienda SA		429,447
	71,100	Bancolombia SA Sponsored ADR		2,844,711
		Total Colombia		3,274,158
		Germany — 0.2%
	39,216	Bayerische Motoren Werke AG		2,859,842
	4,366	Draegerwerk AG & Co KGaA		238,645
	55,031	Henkel AG & Co KGaA		6,378,301
	21,599	RWE AG		396,709
	13,774	Schaeffler AG		119,186
	9,835	Sixt SE		671,093
	23,356	Volkswagen AG		3,964,143
		Total Germany		14,627,919

Shares / Par Value†		Description	Value ($)
		Russia — 0.2%
	87,589	Bashneft PJSC		2,411,812
	4,133,800	Sberbank of Russia PJSC		10,419,322
	7,176,800	Surgutneftegas OJSC		4,047,098
	1,473	Transneft PJSC		3,855,349
		Total Russia		20,733,581
		South Korea — 0.4%
	96,668	LG Electronics Inc		2,562,106
	1,139,074	Samsung Electronics Co Ltd		34,450,564
	5,004	Samsung Electronics Co Ltd GDR		3,756,776
		Total South Korea		40,769,446
		Taiwan — 0.0%
	220,277	CTBC Financial Holding Co Ltd		449,203
		TOTAL PREFERRED STOCKS (COST $116,501,028)		105,852,170
		RIGHTS/WARRANTS — 0.0%
		Australia — 0.0%
	142,288	Cromwell Property Group, Expires 12/13/18 *		—
		Brazil — 0.0%
	1,356,680	Oi SA ADR, Expires 01/03/19 *		217,069
		Canada — 0.0%
	449,600	Alignvest Acquisition II Corp *		101,517
		United States — 0.0%
	2,616,810	Media General, Inc. CVR * (e)		130,840
		TOTAL RIGHTS/WARRANTS (COST $851,048)		449,426
		INVESTMENT FUNDS — 0.7%
		United States — 0.7%
	961,800	Altaba, Inc. *		63,084,462
	23,986	iShares Core MSCI Emerging Markets ETF		1,186,587
		Total United States		64,271,049
		TOTAL INVESTMENT FUNDS (COST $59,529,607)		64,271,049
		DEBT OBLIGATIONS — 28.1%
		Italy — 0.0%
		Corporate Debt — 0.0%
	1,243,000	Intesa Sanpaolo SPA, 144A, 3.88%, due 07/14/27		1,013,566
	3,977,000	Intesa Sanpaolo SPA, 144A, 4.38%, due 01/12/48		2,823,747
		Total Italy		3,837,313

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		Jamaica — 0.1%
		Corporate Debt — 0.1%
	4,679,000	Digicel Ltd., Reg S, 6.75%, due 03/01/23		3,766,595
	2,530,000	Digicel Ltd, 144A, 6.00%, due 04/15/21		2,235,887
	2,031,000	Digicel Group Ltd, 144A, 8.25%, due 09/30/20		1,355,693
		Total Jamaica		7,358,175
		Luxembourg — 0.1%
	8,571,408	SkillSoft Corp., 1st Lien Term Loan, 7.09%, due 04/28/21 (e)		7,928,552
		Puerto Rico — 0.1%
		Asset-Backed Securities — 0.0%
	1,467,201	GDB Debt Recovery Authority of Commonwealth Puerto Rico, 7.50%, due 08/20/40		1,096,732
	2,529,600	Puerto Rico Commonwealth Government Employees Retirement System – Class A, 6.20%, due 07/01/42 (g)		863,226
	587,400	Puerto Rico Commonwealth Government Employees Retirement System – Class A, 6.20%, due 07/01/39 (g)		200,450
				2,160,408
		Municipal Obligations — 0.1%
	1,518,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, 6.05%, due 07/01/28		1,134,705
	3,357,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 4.90%, due 07/01/20		3,029,692
	1,114,834	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/44		1,070,241
	902,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/47		861,410
	1,000,000	Puerto Rico Public Buildings Authority, 5.00%, due 07/01/32 (g)		606,250
	1,030,000	Puerto Rico Public Buildings Authority, 5.25%, due 07/01/42 (g)		606,413
				7,308,711
		Total Puerto Rico		9,469,119
		Spain — 0.0%
		Bank Loans — 0.0%
	773,669	Abengoa S.A., Term Loan Escrow, 144A, 7.00%, due 03/31/21 (e)		812,352
	371,084	ABG Orphan Holdco S.a r.l., USD Facility 1A Escrow Tranche, 144A, 7.00%, due 03/31/21 (e)		389,638
	601,764	ABG Orphan Holdco S.a r.l., Term Loan Escrow 2, 144A, 7.00%, due 03/31/21 (e)		631,852
				1,833,842

Par Value†		Description	Value ($)
		Spain — continued
		Corporate Debt — 0.0%
	709,449	ABG Orphan Holdco S.a.r.l., 144A, 14.00%, due 02/28/21 (e)		748,469
	737,415	ABG Orphan Holdco S.a.r.l., 144A, 14.00%, due 02/28/21 (e)		763,225
				1,511,694
		Total Spain		3,345,536
		United States — 27.8%
		Asset-Backed Securities — 3.7%
	13,887,087	AccessLex Institute, Series 07-1, Class A4, Variable Rate, 3 mo. LIBOR + 0.06%, 2.55%, due 01/25/23		13,649,583
	707,275	AMMC CLO 21 Ltd., Series 17-21A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.41%, due 11/02/30		707,977
	3,278,000	AMMC CLO XI Ltd., Series 12-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.17%, due 04/30/31		3,277,495
	2,586,393	AMMC CLO XII Ltd., Series 13-12A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.27%, due 11/10/30		2,586,365
	1,034,557	AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.44%, due 07/24/29		1,036,610
	1,655,470	AMMC CLO XIV Ltd., Series 14-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.44%, due 07/25/29		1,658,129
	348,426	Anchorage Capital CLO Ltd., Series 15-6A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.34%, due 07/15/30		348,767
	908,290	Anchorage Capital CLO Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.09%, due 10/13/30		908,275
	2,293,060	Apidos CLO XII, Series 13-12A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.04%, due 04/15/31		2,289,896
	1,043,000	Apidos CLO XV, Series 13-15A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.07%, due 04/20/31		1,042,984
	2,482,058	Apidos CLO XVI, Series 13-16A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.98%, 3.43%, due 01/19/25		2,480,810
	894,000	Ares XXXIIR CLO Ltd., Series 14-32RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.22%, due 05/15/30		893,991
	1,109,007	Atlas Senior Loan Fund III Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.24%, due 11/17/27		1,108,998
	894,000	Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 07/26/31		893,940

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	689,577	Avery Point III CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.56%, due 01/18/25		689,675
	1,240,408	Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 3.59%, due 04/25/26		1,240,576
	12,983,251	B&M CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.73%, 3.17%, due 04/16/26		12,928,683
	2,431,957	Babson CLO Ltd., Series 14-IA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.62%, due 07/20/25		2,432,441
	565,820	Bain Capital Credit CLO, Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.27%, due 07/20/30		565,813
	953,600	Barings CLO Ltd., Series 18-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.04%, due 04/15/30		953,586
	1,637,056	Bayview Commercial Mortgage Pass-Through Trust, Series 06-SP1, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.57%, 2.88%, due 04/25/36		1,632,013
	551,675	Benefit Street Partners CLO III Ltd., Series 13-IIIA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.32%, due 07/20/29		551,947
	319,286	Black Diamond CLO Ltd., Series 17-IA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.49%, due 04/24/29		319,662
	1,341,000	BlueMountain CLO Ltd., Series 15-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 3.02%, due 04/20/30		1,340,980
	894,000	BlueMountain CLO Ltd., Series 15-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.07%, due 04/20/31		893,987
	938,130	Brookside Mill CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.05%, due 01/17/28		938,115
	1,411,881	Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.14%, due 07/15/31		1,411,859
	2,709,091	Carlyle Global Market Strategies CLO Ltd., Series 14-2RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.32%, due 05/15/31		2,709,064
	905,312	Catamaran CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.07%, due 04/22/30		905,132
	2,574,481	CBAM Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.15%, due 10/17/29		2,575,804
	4,243,650	CBAM Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.04%, due 01/15/31		4,243,586

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	2,235,000	Cent CLO, Series C17A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.17%, due 04/30/31		2,235,094
	1,697,460	CIFC Funding II Ltd., Series 13-2A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.09%, due 10/18/30		1,697,261
	715,200	CIFC Funding III Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.27%, due 07/20/30		715,469
	2,179,896	CIFC Funding IV Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.24%, due 10/24/30		2,180,430
	7,495,792	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35		1,109,377
	1,760,063	Crown Point CLO Ltd., Series 18-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.07%, due 04/20/31		1,760,036
	683,010	CVP Cascade CLO-1 Ltd., Series 13-CLO1, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.59%, due 01/16/26		683,084
	966,388	DBUBS Mortgage Trust, Series 11-LC1A, Class A3, 144A, 5.00%, due 11/10/46		989,662
	1,667,740	Dryden 30 Senior Loan Fund, Series 13-30A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.21%, due 11/15/28		1,667,723
	848,730	Elevation CLO Ltd., Series 14-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.09%, due 10/15/29		848,716
	650,693	Galaxy XV CLO Ltd., Series 13-15A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.09%, due 10/15/30		652,172
	2,672,067	Galaxy XX CLO Ltd., Series 15-20A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.07%, due 04/20/31		2,671,361
	1,439,340	Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.23%, due 05/16/31		1,439,172
	12,784,624	GCO Education Loan Funding Master Trust-II, Series 07-1A, Class A6L, 144A, Variable Rate, 3 mo. LIBOR + 0.11%, 2.80%, due 11/25/26		12,712,183
	681,016	GCO Education Loan Funding Trust, Series 06-1, Class A9L, Variable Rate, 3 mo. LIBOR + 0.16%, 2.85%, due 05/25/26		678,654
	2,166,495	Goldentree Loan Management US CLO 2 Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.07%, due 11/28/30		2,166,148
	1,302,875	Goldentree Loan Opportunities XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.04%, due 01/18/31		1,302,690

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	1,386,259	Greywolf CLO V Ltd., Series 15-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.14%, due 01/27/31		1,386,018
	7,271,178	GS Mortgage Securities Trust, Series 11-GC3, Class A4, 144A, 4.75%, due 03/10/44		7,444,587
	548,663	Halcyon Loan Advisors Funding Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.59%, due 04/15/25		548,721
	366,021	Halcyon Loan Advisors Funding Ltd., Series 13-1X, Class A1, Variable Rate, 3 mo. LIBOR + 1.15%, 3.59%, due 04/15/25		366,060
	4,077,738	Halcyon Loan Advisors Funding Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.13%, 3.57%, due 04/18/26		4,078,097
	1,273,950	Highbridge Loan Management Ltd., Series 6A-2015, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.23%, due 02/05/31		1,273,932
	424,365	Highbridge Loan Management Ltd., Series 3A-2014, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.24%, due 07/18/29		424,520
	565,820	Highbridge Loan Management Ltd., Series 13-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.12%, due 10/20/29		565,958
	3,784,553	Higher Education Funding I, Series 05-1, Class A5, Variable Rate, 3 mo. LIBOR + 0.16%, 2.84%, due 02/25/32		3,781,519
	1,770,120	ICG US CLO Ltd., Series 14-2A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.99%, due 01/15/31		1,770,093
	1,131,640	Jamestown CLO X Ltd., Series 17-10A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.35%, due 07/17/29		1,132,748
	681,369	KeyCorp Student Loan Trust, Series 00-A, Class A2, Variable Rate, 3 mo. LIBOR + 0.32%, 3.01%, due 05/25/29		679,126
	2,426,478	KeyCorp Student Loan Trust, Series 00-B, Class A2, Variable Rate, 3 mo. LIBOR + 0.31%, 2.80%, due 07/25/29		2,409,339
	588,719	KeyCorp Student Loan Trust, Series 06-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.31%, 2.69%, due 09/27/35		588,754
	3,059,371	KeyCorp Student Loan Trust, Series 99-B, Class CTFS, Variable Rate, 3 mo. LIBOR + 0.90%, 3.59%, due 11/25/36		3,063,181
	19,896	KeyCorp Student Loan Trust, Series 04-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.53%, 3.04%, due 01/27/42		19,903
	1,486,275	Kingsland VIII Ltd., Series 18-8A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.17%, due 04/20/31		1,486,251

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	670,050	KKR CLO Ltd., Series 9, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.39%, due 07/15/30		670,665
	1,555,874	LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.07%, due 04/20/31		1,555,851
	1,085,481	LCM XXV Ltd., Series 25,A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.42%, due 07/20/30		1,087,420
	735,099	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 2.53%, due 02/25/30		723,877
	85,981	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 2.56%, due 09/25/30		85,920
	3,969,590	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 2.58%, due 06/25/37		3,914,288
	1,549,600	Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.05%, due 04/19/30		1,549,454
	1,683,866	Magnetite IX Ltd., Series 14-9A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.49%, due 07/25/26		1,683,835
	4,470,000	Marathon CLO VI Ltd., Series 14-6A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.32%, due 05/13/28		4,469,951
	6,341,454	Montana Higher Education Student Assistance Corp., Series 12-1, Class A2, Variable Rate, 1 mo. LIBOR + 1.00%, 3.30%, due 05/20/30		6,394,585
	11,416,461	Montana Higher Education Student Assistance Corp., Series 05-1, Class B, Variable Rate, 3 mo. LIBOR + 0.12%, 2.46%, due 06/20/30		11,410,753
	1,527,714	Mountain View CLO LLC, Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.09%, due 01/16/31		1,527,818
	12,762,000	Mountain View CLO Ltd., Series 14-1A, Class ARR, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.24%, due 10/15/26		12,715,049
	1,390,130	Mountain View CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.18%, due 10/12/30		1,390,105
	10,687,364	National Collegiate Student Loan Trust, Series 07-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.23%, 2.55%, due 03/26/29		10,587,570

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	2,972,008	National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate, 1 mo. LIBOR + 0.24%, 2.56%, due 07/25/30		2,926,595
	199,421	Nationslink Funding Corp. Commercial Loan Pass Through Certificate, Series 99-LTL1, Class D, 144A, 6.45%, due 01/22/26		201,165
	682,662	Navient Private Education Loan Trust, Series 14-CTA, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.70%, 3.01%, due 09/16/24		683,964
	1,078,693	Navient Private Education Loan Trust Class A, Series 14-AA, Class A2A, 144A, 2.74%, due 02/15/29		1,064,600
	1,264,588	Navient Private Education Loan Trust Class A, Series 14-AA, Class A2B, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 3.56%, due 02/15/29		1,279,692
	2,988,866	Navient Student Loan Trust, Series 16-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 1.05%, 3.37%, due 06/25/65		3,015,134
	3,501,400	Nelnet Student Loan Trust, Series 10-4A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.80%, 3.12%, due 04/25/46		3,527,182
	625,420	Neuberger Berman CLO XV, Series 13-15A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.09%, due 10/15/29		625,347
	760,459	Neuberger Berman CLO XVII Ltd., Series 14-17A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.47%, due 04/22/29		761,342
	1,197,500	Newcastle CDO V Ltd., Series 04-5A, Class 3, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.20%, due 12/24/39		1,196,544
	14,707,485	Ocean Trails CLO IV, Series 13-4A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.52%, due 08/13/25		14,683,130
	452,960	Octagon Investment Partners XII Ltd., Series 12-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.88%, 3.32%, due 07/15/19		452,975
	590,016	Octagon Investment Partners XV Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.25%, due 07/19/30		590,118
	1,782,582	Octagon Investment Partners XVII Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.09%, due 01/25/31		1,782,555
	484,989	OFSI Fund V Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.29%, due 08/16/29		485,345

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	4,048,885	OFSI Fund VI Ltd., Series 14-6A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.09%, due 03/20/25		4,039,273
	744,500	OHA Credit Partners XIV Ltd., Series 17-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.07%, due 01/21/30		744,394
	1,244,804	OZLM Funding Ltd., Series 13-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.12%, due 10/22/30		1,244,656
	3,576,000	OZLM VI Ltd., Series 14-6A, Class XS, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.15%, due 04/17/31		3,575,939
	540,507	OZLM XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.27%, due 10/30/30		540,611
	9,070,732	Palmer Square Loan Funding Ltd., Series 18-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.04%, due 04/15/26		8,991,119
	3,971,191	Seneca Park CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.57%, due 07/17/26		3,972,307
	1,178,792	Shackleton CLO Ltd., Series 13-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.04%, due 07/15/30		1,178,774
	1,074,422	Silvermore CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 3.79%, due 05/15/26		1,074,681
	850,291	SLC Student Loan Trust, Series 05-3, Class A3, Variable Rate, 3 mo. LIBOR + 0.12%, 2.45%, due 06/15/29		847,576
	3,094,491	SLM Private Credit Student Loan Trust, Series 04-B, Class A3, Variable Rate, 3 mo. LIBOR + 0.33%, 2.66%, due 03/15/24		3,093,282
	2,900,338	SLM Private Credit Student Loan Trust, Series 07-A, Class A3, Variable Rate, 3 mo. LIBOR + 0.17%, 2.50%, due 12/15/26		2,899,942
	1,359,721	SLM Private Education Loan Trust, Series 14-A, Class A2B, 144A, Variable Rate, 1 mo. LIBOR + 1.15%, 3.46%, due 01/15/26		1,363,622
	75,726	SLM Private Education Loan Trust, Series 11-A, Class A2, 144A, 4.37%, due 04/17/28		75,772
	3,635,600	SLM Private Education Loan Trust, Series 11-B, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 2.25%, 4.56%, due 06/16/42		3,716,761
	6,081,076	SLM Private Education Loan Trust, Series 11-A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 2.50%, 4.81%, due 01/15/43		6,179,037

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	5,062,539	SLM Private Education Loan Trust, Series 10-A, Class 2A, 144A, Variable Rate, 1 mo. LIBOR + 3.25%, 5.56%, due 05/16/44		5,140,773
	2,144,262	SLM Private Education Loan Trust, Series 11-C, Class A2B, 144A, 4.54%, due 10/17/44		2,161,017
	5,024,585	SLM Student Loan Trust, Series 07-3, Class A3, Variable Rate, 3 mo. LIBOR + 0.04%, 2.53%, due 04/25/19		5,013,684
	12,044,603	SLM Student Loan Trust, Series 07-6, Class A4, Variable Rate, 3 mo. LIBOR + 0.38%, 2.87%, due 10/25/24		12,055,445
	4,662,559	SMB Private Education Loan Trust Class A, Series 18-A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.35%, 2.66%, due 03/16/26		4,658,916
	2,470,000	Sound Point CLO VI-R Ltd, Series 14-2RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.17%, due 10/20/31		2,469,891
	581,601	South Carolina Student Loan Corp., Series 2005, Class A3, Variable Rate, 3 mo. LIBOR + 0.14%, 2.46%, due 12/01/23		581,020
	880,452	South Carolina Student Loan Corp., Series 10-1, Class A2, Variable Rate, 3 mo. LIBOR + 1.00%, 3.49%, due 07/25/25		884,150
	1,248,738	Symphony CLO V Ltd., Series 07-5A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.19%, due 01/15/24		1,249,155
	2,146,197	Symphony CLO XV Ltd., Series 14-15A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.18%, 3.63%, due 10/17/26		2,146,837
	424,365	Telos CLO, Series 13-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.45%, due 07/17/19		424,736
	2,224,800	Telos CLO Ltd., Series 14-6A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.27%, 3.72%, due 01/17/27		2,225,105
	2,066,133	Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.20%, due 04/17/28		2,066,098
	1,901,155	Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.20%, due 01/17/30		1,901,123
	283,100	THL Credit Wind River CLO Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.37%, due 07/20/30		283,387
	1,273,095	THL Credit Wind River CLO Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.24%, due 11/20/30		1,273,086

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	2,899,114	TICP CLO I-2 Ltd., Series 18-IA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.63%, 3.14%, due 04/26/28		2,899,068
	3,780,343	TICP CLO III-2 Ltd., Series 18-3R, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 3.02%, due 04/20/28		3,780,286
	2,980,000	Tryon Park CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.99%, due 04/15/29		2,979,955
	616,824	Velocity Commercial Capital Loan Trust, Series 15-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 2.43%, 4.74%, due 06/25/45		618,885
	1,043,512	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFX, 144A, Variable Rate, 3.00%, due 05/25/47		1,031,355
	2,970,841	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 3.56%, due 05/25/47		2,987,925
	618,956	Venture VII CDO Ltd., Series 06-7A, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 0.23%, 2.70%, due 01/20/22		618,116
	848,730	Voya CLO Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.27%, due 07/20/30		848,638
	2,121,825	Voya CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.04%, due 10/15/30		2,121,793
	849,300	Voya CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.63%, 3.07%, due 04/18/31		849,286
	638,290	WhiteHorse IX Ltd, Series 14-9A, Class AR, 144A, Variable Rate, 3 mo. LIBOR +1.16%, 3.61%, due 07/17/26		638,370
	3,708,000	WhiteHorse Ltd., Series 18-12A, Class X ,144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.18%, due 10/15/31		3,707,763
	10,169,382	WhiteHorse VIII Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.44%, due 05/01/26		10,149,643
	247,713	Ziggurat CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.35%, due 04/17/29		247,835
				350,338,698
		Bank Loans — 0.5%
	14,490,500	21st Century Oncology Holdings, Inc., Exit Term Loan, 3 mo. LIBOR + 6.13%, 8.57%, due 01/16/23 (e)		13,258,808
	2,803,755	Gibson Brands Inc., DIP Term Loan, 11.33%, due 05/01/19 (e)		2,719,642
	6,007,857	J.C. Penney Corporation, Inc., 2016 Term Loan B, 6.96%, due 06/23/23 (e)		5,196,796
	6,697,780	Murray Energy Corporation, 2018 Term Loan B2, 9.78%, due 10/17/22 (e)		6,061,491

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Bank Loans — continued
	3,851,264	Quorum Health Corp., Term Loan B, 9.09%, due 04/29/22 (e)		3,880,148
	16,103,713	Sears Holding Corp., Incremental Term Loan, 12.25%, due 07/20/20 (e)		16,264,750
	2,400,000	Team Health Holdings, Inc., 1st Lien Term Loan, 3.75%, due 02/06/24 (e)		2,232,000
				49,613,635
		Corporate Debt — 0.6%
	875,000	CHS/Community Health Systems, Inc., 8.00%, due 11/15/19		848,750
	988,000	CHS/Community Health Systems, Inc., 6.88%, due 02/01/22		489,258
	2,191,000	CHS/Community Health Systems, Inc., 144A, 8.13%, due 06/30/24		1,670,638
	634,000	Ferrellgas LP / Ferrellgas Finance Corp., 6.50%, due 05/01/21		540,485
	4,188,000	Ferrellgas LP / Ferrellgas Finance Corp., 6.75%, due 06/15/23		3,517,920
	500,000	Frontier Communications Corp., 9.25%, due 07/01/21		452,500
	4,498,000	Frontier Communications Corp., 6.25%, due 09/15/21		3,463,460
	3,070,000	Frontier Communications Corp., 8.75%, due 04/15/22		2,248,775
	1,491,000	Frontier Communications Corp., 7.13%, due 01/15/23		961,695
	3,348,000	Frontier Communications Corp., 11.00%, due 09/15/25		2,360,340
	5,923,000	Gibson Brands, Inc., 144A, 8.88%, due 08/01/18 (g)		4,916,090
	525,000	JC Penney Corp., Inc., 5.65%, due 06/01/20		433,125
	1,517,000	JC Penney Corp., Inc., 144A, 8.63%, due 03/15/25		891,238
	1,899,000	Momentive Performance Materials, Inc., 4.69%, due 04/24/22		2,084,152
	11,294,000	Murray Energy Corp., 144A, 11.25%, due 04/15/21		7,228,160
	6,000,000	Tenet Healthcare Corp., 5.13%, due 05/01/25		5,688,750
	2,183,000	TRU Taj LLC / TRU Taj Finance, Inc., 144A, 11.00%, due 01/22/19		2,204,830
	5,869,000	TRU Taj LLC / TRU Taj Finance, Inc., 144A, 12.00%, due 08/15/21 (c) (g)		3,917,557
	2,400,000	United States Steel Corp., 6.25%, due 03/15/26		2,194,488
	2,539,000	Veritas US, Inc. / Veritas Bermuda Ltd., 144A, 7.50%, due 02/01/23		2,259,710
	9,876,000	Westmoreland Coal Co., 144A, 8.75%, due 01/01/22 (g)		3,950,400
				52,322,321

Par Value†		Description	Value ($)
		United States — continued
		U.S. Government — 19.1%
	190,358,709	U.S. Treasury Inflation Indexed Bond, 0.63%, due 04/15/23 (h)		186,769,654
	74,726,828	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (h)		71,348,105
	246,693,803	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (h)		239,668,812
	275,198,660	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (h)		260,485,565
	13,931,055	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/27 (h)		13,182,986
	211,439,499	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (h)		200,944,611
	195,577,247	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (h)		206,980,826
	154,823,653	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (h)		175,531,317
	137,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.42%, due 04/30/20 (b)		137,051,152
	77,250,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.43%, due 07/31/20 (b)		77,281,720
	47,000,000	U.S. Treasury Note, 2.63%, due 07/31/20		46,856,797
	40,150,000	U.S. Treasury Note, 2.63%, due 08/31/20		40,021,395
	9,000,000	U.S. Treasury Note, 2.75%, due 09/30/20		8,989,453
	91,950,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.43%, due 10/31/20 (b)		91,942,746
	9,000,000	U.S. Treasury Note, 2.88%, due 10/31/20		9,008,789
	42,000,000	U.S. Treasury Note, 2.75%, due 11/30/20		41,954,063
				1,808,017,991
		U.S. Government Agency — 3.9%
	18,500,000	Federal Home Loan Banks, Zero Coupon, due 12/07/18		18,495,338
	10,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.22%, 2.32%, due 02/01/19		9,999,518
	40,000,000	Federal Home Loan Banks, Step Up, 2.28%, due 09/20/19		39,990,280
	64,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.24%, 2.45%, due 11/25/19		63,951,037
	62,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.14%, 2.23%, due 12/26/19		62,011,487
	28,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.16%, 2.43%, due 02/07/20		27,997,882
	24,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.21%, 2.41%, due 02/10/20		23,984,004
	42,500,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.24%, 2.20%, due 04/13/20		42,447,126

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		U.S. Government Agency — continued
	8,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.14%, 2.31%, due 04/20/20		8,000,682
	64,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.21%, 2.47%, due 05/22/20		63,938,508
	194,300	Government National Mortgage Association, Series 12-H15, Class FA, Variable Rate, 1 mo. LIBOR + 0.45%, 2.72%, due 05/20/62		194,309
	5,008,907	Government National Mortgage Association, Series 17-12H, Class FE, Variable Rate, 1 mo. LIBOR + .20%, 2.47%, due 06/20/66		5,001,389
	1,288,164	Government National Mortgage Association, Series 17-H05, Class FJ, Variable Rate, 1 mo. LIBOR + 0.27%, 2.54%, due 01/20/67		1,286,800
	1,287,128	Government National Mortgage Association, Series 17-H13, Class FJ, Variable Rate, 1 mo. LIBOR + 0.20%, 2.47%, due 05/20/67		1,285,456
				368,583,816
		Total United States		2,628,876,461
		TOTAL DEBT OBLIGATIONS (COST $2,709,520,401)		2,660,815,156
		SHORT-TERM INVESTMENTS — 7.6%
		Foreign Government Obligations — 4.9%
JPY	5,100,000,000	Japan Treasury Discount Bill, Zero Coupon, due 12/10/18		44,928,837
JPY	13,140,000,000	Japan Treasury Discount Bill, Zero Coupon, due 12/17/18 (b)		115,761,646

Par Value†		Description	Value ($)
		Foreign Government Obligations — continued
JPY	11,937,850,000	Japan Treasury Discount Bill, Zero Coupon, due 01/09/19		105,188,218
JPY	7,898,000,000	Japan Treasury Discount Bill, Zero Coupon, due 01/15/19		69,594,867
JPY	1,100,000,000	Japan Treasury Discount Bill, Zero Coupon, due 01/28/19		9,693,915
JPY	10,165,000,000	Japan Treasury Discount Bill, Zero Coupon, due 02/12/19		89,592,679
JPY	2,365,000,000	Japan Treasury Discount Bill, Zero Coupon, due 02/25/19		20,847,439
GBP	8,700,000	United Kingdom Treasury Bill, Zero Coupon, due 12/10/18		11,084,650
		TOTAL FOREIGN GOVERNMENT OBLIGATIONS		466,692,251
		Money Market Funds — 0.6%
	53,717,977	State Street Institutional Treasury Money Market Fund-Premier Class, 2.19% (i) (j)		53,717,977
		U.S. Government — 2.1%
	35,000,000	U.S. Treasury Bill, 2.04%, due 12/26/18 (k)		34,949,156
	83,000,000	U.S. Treasury Bill, 2.17%, due 01/17/19 (b) (k)		82,763,709
	50,900,000	U.S. Treasury Bill, 2.39%, due 04/04/19 (j) (k)		50,486,876
	33,000,000	U.S. Treasury Bill, 2.46%, due 05/02/19 (k)		32,663,641
		Total U.S. Government		200,863,382
		TOTAL SHORT-TERM INVESTMENTS (COST $723,826,174)		721,273,610

PURCHASED OPTIONS — 0.0%

Description	Exercise Price	Expiration Date		Number of Contracts		Notional Amount			Value ($)
Equity Options – Calls — 0.0%
PG&E Corp.	60.00		01/18/19		300		USD	791,400	600
Encana Corp (d)	13.00		04/18/19		6,210		USD	4,173,120	31,050
Total Equity Options – Calls									31,650
Equity Options – Puts — 0.0%
Twenty-First Century Fox, Inc. (c) (d)	40.00		01/18/19		2,653		USD	13,124,391	13,265
United Technologies Corp. (d)	125.00		01/18/19		1,446		USD	17,618,064	805,422
Encana Corp (d)	5.00		04/18/19		26,000		USD	17,472,000	650,000
Total Equity Options – Puts									1,468,687

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares			Description	Value ($)
			TOTAL PURCHASED OPTIONS (COST $1,223,565)		1,500,337
			TOTAL INVESTMENTS — 101.7% (Cost $10,000,804,002)		9,621,736,491
			SECURITIES SOLD SHORT — (3.0)%
			Common Stocks — (2.8)%
			Brazil — (0.1)%
	(418,600	)	Pagseguro Digital Ltd – Class A *		(10,046,399	)
			Canada — (0.2)%
	(94,900	)	Agnico Eagle Mines Ltd		(3,332,888	)
	(102,650	)	Algonquin Power & Utilities Corp		(1,087,064	)
	(198,400	)	Barrick Gold Corp		(2,529,600	)
	(33,500	)	Cameco Corp		(397,980	)
	(770,227	)	Encana Corp (d)		(5,175,925	)
	(207,300	)	Kinross Gold Corp. *		(561,783	)
	(5,100	)	Maxar Technologies Ltd		(84,456	)
	(73,800	)	Restaurant Brands Intern		(4,304,754	)
	(70,100	)	Yamana Gold Inc		(145,808	)
			Total Canada		(17,620,258	)
			China — (0.5)%
	(329,568	)	Alibaba Group Holding Ltd Sponsored ADR *		(53,014,308	)
			Denmark — (0.0)%
	(1,757	)	AP Moller - Maersk A/S – Class A		(2,329,894	)
			France — (0.1)%
	(53,825	)	DBV Technologies SA *		(1,613,929	)
	(25,556	)	Iliad SA		(3,453,034	)
	(8,040	)	Wendel SA		(978,048	)
			Total France		(6,045,011	)
			Germany — (0.2)%
	(896,660	)	Deutsche Bank AG (Registered)		(8,230,789	)
	(13,600	)	QIAGEN NV *		(481,984	)
	(371,655	)	thyssenkrupp AG		(6,982,529	)
	(4,363	)	Zalando SE *		(135,893	)
			Total Germany		(15,831,195	)
			Israel — (0.0)%
	(41,900	)	Tower Semiconductor Ltd *		(660,344	)
			Italy — (0.1)%
	(101,102	)	Banco BPM SPA *		(237,103	)
	(152,466	)	Leonardo SPA		(1,507,882	)
	(1,958,788	)	Saipem SPA *		(8,600,620	)
			Total Italy		(10,345,605	)

Shares			Description	Value ($)
			Japan — (0.5)%
	(64,100	)	Acom Co Ltd		(235,607	)
	(44,200	)	Chiyoda Corp		(125,422	)
	(1,342	)	Daiwa House Investment Corp (REIT)		(3,045,780	)
	(5,500	)	FP Corp.		(336,033	)
	(125	)	GLP J-Reit		(125,705	)
	(1,479	)	Invincible Investment Corp (REIT)		(614,368	)
	(97,400	)	Japan Lifeline Co Ltd.		(1,548,635	)
	(19,000	)	JGC Corp		(277,799	)
	(48,500	)	Kansai Paint Co Ltd		(910,567	)
	(49,700	)	Keikyu Corp		(793,690	)
	(114,400	)	Kyushu Electric Power Co Inc		(1,343,652	)
	(164,700	)	Mitsui OSK Lines Ltd		(3,876,160	)
	(5,400	)	Nabtesco Corp		(149,836	)
	(6,400	)	Nifco Inc		(163,588	)
	(51,300	)	Nippon Paint Holdings Co Ltd		(1,826,850	)
	(631,300	)	Orient Corp		(978,800	)
	(4,900	)	Royal Holdings Co Ltd		(123,525	)
	(9,400	)	Saizeriya Co Ltd		(180,211	)
	(8,700	)	Shimano Inc		(1,274,143	)
	(58,300	)	SUMCO Corp.		(899,955	)
	(746,310	)	Takeda Pharmaceutical Co Ltd		(28,095,252	)
	(5,800	)	UACJ Corp.		(121,187	)
	(14,400	)	Universal Entertainment Corp. *		(475,549	)
	(5,500	)	Yaskawa Electric Corp		(172,914	)
			Total Japan		(47,695,228	)
			Russia — (0.0)%
	(6,300	)	Yandex NV *		(185,850	)
			Singapore — (0.0)%
	(103,800	)	UOL Group Ltd		(464,169	)
			Spain — (0.1)%
	(1,330,116	)	Bankia SA		(4,402,706	)
	(94,799	)	Cellnex Telecom SA		(2,631,516	)
	(42,108	)	Ferrovial SA		(867,825	)
	(5,308	)	Masmovil Ibercom SA *		(653,058	)
			Total Spain		(8,555,105	)
			Sweden — (0.0)%
	(41,308	)	Husqvarna AB-Class B		(325,866	)
			Switzerland — (0.1)%
	(397,146	)	Credit Suisse Group AG (Registered)		(4,695,753	)
	(111,454	)	LafargeHolcim Ltd (Registered) *		(5,007,255	)
			Total Switzerland		(9,703,008	)
			United Kingdom — (0.1)%
	(3,693	)	ASOS Plc *		(234,533	)
	(1,935,805	)	Cobham Plc *		(2,530,250	)
	(18,650	)	Dechra Pharmaceuticals Plc		(515,183	)
	(131,740	)	GVC Holdings Plc		(1,242,529	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares / Par Value†			Description	Value ($)
			United Kingdom — continued
	(89,824	)	Indivior Plc *		(117,169	)
	(99,266	)	Just Eat Plc *		(738,702	)
	(2,202,087	)	Melrose Industries Plc		(4,974,358	)
	(53,929	)	Ocado Group Plc *		(572,847	)
	(7,779	)	Rhi Magnesita NV		(359,643	)
	(4,605	)	Ted Baker Plc		(107,277	)
			Total United Kingdom		(11,392,491	)
			United States — (0.8)%
	(180,519	)	Altice USA, Inc. – Class A		(3,193,381	)
	(106,106	)	CVS Health Corp.		(8,509,701	)
	(410,047	)	Discovery, Inc. – Class A *		(12,596,644	)
	(90,000	)	Finisar Corp. *		(2,101,500	)
	(26,802	)	International Flavors & Fragrances, Inc. (d)		(3,795,967	)
	(104,645	)	KLA-Tencor Corp.		(10,313,812	)
	(1,294,613	)	Pandora Media, Inc. *		(11,250,187	)
	(114,244	)	Seritage Growth Properties (REIT)		(4,334,417	)
	(1,173,496	)	Sirius XM Holdings, Inc.		(7,310,880	)
	(72,403	)	Walt Disney Co. (The)		(8,361,823	)
			Total United States		(71,768,312	)
			TOTAL COMMON STOCKS (PROCEEDS $286,762,407)		(265,983,043	)
			DEBT OBLIGATIONS — (0.2)%
			United States — (0.2)%
			Corporate Debt — (0.2)%
	(2,400,000	)	AK Steel Corp., 6.38%, due 10/15/25		(1,974,000	)
	(2,248,300	)	AK Steel Corp., 7.63%, due 10/01/21		(2,169,610	)

Par Value†			Description	Value ($)
			United States — continued
	(2,300,000	)	Calumet Specialty Products Partners LP / Calumet Finance Corp., 7.75%, due 04/15/23		(2,029,751	)
	(3,600,000	)	Calumet Specialty Products Partners LP / Calumet Finance Corp., 7.63%, due 01/15/22		(3,240,000	)
	(3,000,000	)	Chesapeake Energy Corp., 5.50%, due 09/15/26		(2,611,363	)
	(2,400,000	)	Team Health Holdings, Inc., 144A, 6.38%, due 02/01/25		(2,004,000	)
	(6,000,000	)	Tenet Healthcare Corp., 6.75%, due 06/15/23		(5,970,000	)
	(2,400,000	)	US Concrete, Inc., 6.38%, due 06/01/24		(2,298,000	)
			Total Corporate Debt		(22,296,724	)
			TOTAL DEBT OBLIGATIONS (PROCEEDS $22,574,764)		(22,296,724	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $309,337,171)		(288,279,767	)
			Other Assets and Liabilities (net) — 1.3%		125,528,928
			TOTAL NET ASSETS — 100.0%		$9,458,985,652

A summary of outstanding financial instruments at November 30, 2018 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unreal- ized Apprecia- tion (Deprecia- tion) ($)
01/15/2019	BOA		AUD	2,610,762		USD	1,864,790		(44,795	)
01/15/2019	GS		AUD	7,383,530		USD	5,262,724		(137,800	)
01/15/2019	SSB		AUD	30,915,288		USD	22,054,984		(557,337	)
02/05/2019	GS		AUD	4,830,000		USD	3,466,549		(67,526	)
02/05/2019	MSCI		AUD	84,710,000		USD	60,941,645		(1,040,037	)
02/04/2019	MSCI		BRL	26,555,245		USD	7,205,526		362,801
12/03/2018	GS		CAD	10,908,154		USD	8,400,000		190,047
12/03/2018	JPM		CAD	24,072,941		USD	18,125,850		7,503
01/11/2019	JPM		CAD	8,992,000		USD	6,927,390		152,225
01/14/2019	MSCI		CHF	105,948,059		USD	107,697,168		1,151,077
01/24/2019	MSCI		CLP	5,271,402,500		USD	7,772,064		(79,938	)
01/24/2019	JPM		COP	13,481,950,000		USD	4,220,000		61,496
12/13/2018	BOA		CZK	148,837,400		USD	6,640,000		152,943
12/13/2018	DB		CZK	93,992,446		USD	4,200,000		103,352

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unreal- ized Apprecia- tion (Deprecia- tion) ($)
12/19/2018	MSCI		EUR	15,770,000		USD	18,498,243		619,347
02/19/2019	GS		EUR	142,739,443		USD	162,904,301		162,153
02/19/2019	JPM		EUR	117,373		USD	134,000		179
12/10/2018	BCLY		GBP	8,700,000		USD	11,356,706		267,892
02/13/2019	BCLY		GBP	4,720,000		USD	6,181,612		143,600
02/13/2019	MSCI		GBP	23,530,000		USD	30,816,653		716,142
02/19/2019	JPM		GBP	72,498,850		USD	93,288,113		518,143
12/13/2018	BCLY		HUF	2,034,019,350		USD	7,290,000		170,683
12/13/2018	BOA		HUF	488,296,548		USD	1,740,000		30,902
12/12/2018	MSCI		IDR	50,375,929,000		USD	3,410,000		(102,119	)
01/28/2019	BOA		ILS	27,573,008		USD	7,462,047		16,066
12/07/2018	BCLY		JPY	280,324,051		USD	2,530,000		60,001
12/07/2018	GS		JPY	903,491,062		USD	8,040,000		79,134
12/10/2018	JPM		JPY	5,100,000,000		USD	46,306,595		1,360,047

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2018 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unreal- ized Apprecia- tion (Deprecia- tion) ($)
12/17/2018	BCLY		JPY	13,140,000,000		USD	117,752,381		1,858,823
01/09/2019	MSCI		JPY	11,937,850,000		USD	106,093,475		536,614
01/15/2019	CITI		JPY	2,365,000,000		USD	21,218,020		296,298
01/15/2019	GS		JPY	5,533,000,000		USD	48,970,799		23,701
01/28/2019	DB		JPY	1,100,000,000		USD	9,866,303		125,259
02/12/2019	JPM		JPY	1,700,000,000		USD	15,074,628		2,436
02/12/2019	MSCI		JPY	8,465,000,000		USD	74,934,462		(116,185	)
02/19/2019	MSCI		JPY	15,774,442,913		USD	140,468,866		535,443
02/25/2019	MSCI		JPY	2,365,000,000		USD	21,078,161		88,552
02/08/2019	MSCI		KRW	8,754,331,500		USD	7,778,862		(52,875	)
01/07/2019	JPM		NOK	44,251,276		USD	5,240,000		82,561
01/14/2019	BOA		NOK	169,953,184		USD	20,818,667		1,004,705
12/05/2018	JPM		NZD	7,980,000		USD	5,281,651		(203,893	)
12/05/2018	MSCI		NZD	40,420,000		USD	26,667,761		(1,117,410	)
01/24/2019	MSCI		PEN	5,966,670		USD	1,770,000		8,407
02/06/2019	BOA		PHP	116,876,100		USD	2,182,153		(37,626	)
12/13/2018	BOA		PLN	17,165,148		USD	4,620,000		91,370
12/13/2018	DB		PLN	6,337,383		USD	1,680,000		8,027
01/28/2019	BOA		RON	27,425,270		USD	6,676,064		2,288
01/14/2019	BCLY		SEK	194,002,938		USD	21,489,563		88,257
02/05/2019	BCLY		SEK	51,846,889		USD	5,780,000		50,459
01/14/2019	BCLY		SGD	2,705,003		USD	1,975,496		2,205
12/13/2018	BOA		THB	57,776,576		USD	1,760,000		2,826

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unreal- ized Apprecia- tion (Deprecia- tion) ($)
02/13/2019	JPM		TWD	207,137,910		USD	6,809,267		53,623
12/03/2018	GS		USD	26,867,993		CAD	34,981,094		(539,694	)
12/05/2018	MSCI		USD	7,473,671		NZD	10,950,000		53,485
12/05/2018	GS		USD	3,048,850		NZD	4,710,000		188,858
12/07/2018	JPM		USD	16,887,800		JPY	1,880,229,024		(320,674	)
12/12/2018	BCLY		USD	9,080,000		IDR	139,259,960,000		628,953
12/13/2018	DB		USD	1,760,000		PLN	6,696,312		6,668
12/19/2018	BCLY		USD	11,824,349		EUR	10,290,000		(158,284	)
01/07/2019	GS		USD	4,630,000		NOK	38,051,237		(195,169	)
01/07/2019	JPM		USD	52,252,245		NOK	426,265,978		(2,571,404	)
01/15/2019	JPM		USD	7,229,221		AUD	9,994,292		80,888
01/16/2019	BCLY		USD	10,254,696		TRY	57,139,270		436,642
01/24/2019	MSCI		USD	1,764,556		PEN	5,966,670		(2,963	)
02/04/2019	MSCI		USD	6,650,852		BRL	24,843,547		(249,195	)
02/04/2019	JPM		USD	125,000		BRL	493,449		2,151
02/05/2019	BCLY		USD	70,349,719		SEK	631,933,934		(515,415	)
02/11/2019	BCLY		USD	2,840,000		RUB	189,229,200		(42,851	)
02/11/2019	BOA		USD	7,725,511		RUB	514,329,750		(122,790	)
02/20/2019	BCLY		USD	3,995,055		INR	290,240,720		131,367
02/21/2019	JPM		USD	5,776,176		MXN	118,625,326		(18,705	)
03/04/2019	JPM		USD	18,163,021		CAD	24,072,941		(7,096	)
								$	4,414,818

Reverse Repurchase Agreements

Average balance outstanding	$	(6,858,847	)
Average interest rate		0.51	%
Maximum balance outstanding	$	(105,632,950	)

Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements. Average interest rate was calculated based on interest received and/or paid during the period that the Fund had entered into the reverse repurchase agreements. The Fund had no reverse repurchase agreements outstanding at the end of the period.

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/ Net Unrealized Appreciation (Depreciation) ($)
Buys
1,900	Mini MSCI Emerging Markets	December 2018	$	94,962,000	$	(2,232,683	)
Sales
8,895	S&P 500 E-Mini	December 2018	$	1,226,753,925	$	62,875,325

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2018 (Unaudited)

Written Options

Equity Options

Description	Exercise Price		Expiration Date	Number of Contracts			Notional Amount				Value ($)
Equity Options – Calls
Campbell Soup Co. (d)		39.00	02/15/19		(1,495	)		USD	(5,860,400	)		(310,960	)
Nielsen Holdings Plc (d)		28.00	02/15/19		(4,800	)		USD	(13,041,600	)		(792,000	)
Red Hat, Inc. (d)		175.00	03/15/19		(1,450	)		USD	(25,891,200	)		(1,059,950	)
Encana Corp (d)		9.00	04/18/19		(17,900	)		USD	(12,028,800	)		(716,000	)
Arconic, Inc. (d)		22.00	04/18/19		(4,000	)		USD	(8,592,000	)		(596,000	)
Campbell Soup Co. (d)		39.00	05/17/19		(1,500	)		USD	(5,880,000	)		(480,000	)
Total Equity Options – Calls											$	(3,954,910	)
Equity Options – Puts
Nielson Holdings Plc (d)		26.00	01/18/19		(1,750	)		USD	(4,754,750	)		(192,500	)
Nielson Holdings Plc (d)		25.00	02/15/19		(1,500	)		USD	(4,075,500	)		(172,500	)
Campbell Soup Co. (d)		36.00	02/15/19		(2,300	)		USD	(9,016,000	)		(230,000	)
Arconic, Inc. (d)		19.00	04/18/19		(4,000	)		USD	(8,592,000	)		(296,000	)
Encana Corp (d)		9.00	04/18/19		(17,900	)		USD	(12,028,800	)		(4,618,200	)
Campbell Soup Co. (d)		36.00	05/17/19		(1,500	)		USD	(5,880,000	)		(285,000	)
Total Equity Options – Puts											$	(5,794,200	)
TOTAL WRITTEN EQUITY OPTIONS – (Premiums $8,163,421)											$	(9,749,110	)

Swap Contracts

OTC Credit Default Swaps

Reference Entity	Counterparty	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Sell Protection:^
J.C. Penney Corporation, Inc.	MORD	USD	1,200,000		5.00%		17.17%		1,200,000		06/20/2019		Quarterly	$	(84,000	)	$	(74,295	)	$	9,705

^ Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽¹⁾  As of November 30, 2018, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e., higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

⁽²⁾  The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2018 (Unaudited)

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives		Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.08%		3 Month USD LIBOR	USD	7,330,000		10/25/2020	Quarterly		—			(15,697	)		(15,697	)
3 Month NZD Bank Bill Rate		2.64%	NZD	200,736,000		12/19/2023	Quarterly		(70,168	)		1,267,037			1,337,205
2.82%		3 Month CAD LIBOR	CAD	26,465,000		12/18/2028	Semi-Annual		—			(126,858	)		(126,858	)
3 Month CAD LIBOR		2.90%	CAD	30,089,000		12/18/2028	Semi-Annual		—			311,528			311,528
3 Month CAD LIBOR		2.95%	CAD	196,051,000		12/18/2028	Semi-Annual		(189,028	)		2,660,229			2,849,257
3 Month CAD LIBOR		2.85%	CAD	27,514,000		12/18/2028	Semi-Annual		—			194,553			194,553
3 Month CAD LIBOR		2.94%	CAD	27,646,000		12/18/2028	Semi-Annual		—			356,610			356,610
3 Month CAD LIBOR		2.94%	CAD	35,835,000		12/18/2028	Semi-Annual		—			450,239			450,239
3 Month CAD LIBOR		2.74%	CAD	26,445,000		12/18/2028	Semi-Annual		—			(14,962	)		(14,962	)
1.29%		3 Month SEK STIBOR	SEK	233,994,000		12/19/2028	Quarterly		—			(337,932	)		(337,932	)
3 Month NZD Bank Bill Rate		3.05%	NZD	219,047,000		12/19/2028	Quarterly		(318,502	)		1,937,984			2,256,486
3 Month NZD Bank Bill Rate		3.09%	NZD	12,192,000		12/19/2028	Quarterly		—			139,006			139,006
3 Month NZD Bank Bill Rate		3.09%	NZD	18,110,000		12/19/2028	Quarterly		—			201,037			201,037
3 Month NZD Bank Bill Rate		3.08%	NZD	14,629,000		12/19/2028	Quarterly		—			158,439			158,439
3 Month NZD Bank Bill Rate		3.08%	NZD	29,955,000		12/19/2028	Quarterly		—			319,026			319,026
3 Month NZD Bank Bill Rate		3.06%	NZD	19,264,000		12/19/2028	Quarterly		—			182,012			182,012
3 Month SEK STIBOR		1.38%	SEK	68,527,000		12/19/2028	Quarterly		—			164,663			164,663
3 Month SEK STIBOR		1.24%	SEK	166,895,500		12/19/2028	Quarterly		—			150,479			150,479
3 Month SEK STIBOR		1.23%	SEK	166,895,500		12/19/2028	Quarterly		—			137,292			137,292
3 Month SEK STIBOR		1.20%	SEK	201,459,000		12/19/2028	Quarterly		—			113,725			113,725
3 Month USD LIBOR		3.10%	USD	259,597,000		12/20/2028	Quarterly		63,823			886,788			822,965
3.06%		3 Month USD LIBOR	USD	20,253,000		12/20/2028	Quarterly		—			(1,319	)		(1,319	)
3.07%		3 Month USD LIBOR	USD	10,228,000		12/20/2028	Quarterly		—			(8,678	)		(8,678	)
0.43%		6 Month CHF LIBOR	CHF	17,836,000		12/19/2028	Semi-Annual		—			(42,028	)		(42,028	)
0.64%		6 Month CHF LIBOR	CHF	21,142,000		12/19/2028	Semi-Annual		—			(493,812	)		(493,812	)
2.77%		6 Month AUD BBSW	AUD	26,955,000		12/19/2028	Semi-Annual		—			19,640			19,640
2.79%		6 Month AUD BBSW	AUD	98,313,000		12/19/2028	Semi-Annual		—			(38,402	)		(38,402	)
2.94%		6 Month AUD BBSW	AUD	340,993,000		12/19/2028	Semi-Annual		52,167			(3,612,962	)		(3,665,129	)
2.97%		6 Month AUD BBSW	AUD	22,752,000		12/19/2028	Semi-Annual		—			(291,997	)		(291,997	)
6 Month AUD BBSW		2.91%	AUD	38,204,000		12/19/2028	Semi-Annual		—			331,845			331,845
6 Month CHF LIBOR		0.50%	CHF	35,426,000		12/19/2028	Semi-Annual		(31,337	)		332,651			363,988
6 Month CHF LIBOR		0.60%	CHF	17,973,000		12/19/2028	Semi-Annual		—			356,585			356,585
1.56%		6 Month GBP LIBOR	GBP	13,444,000		12/20/2028	Semi-Annual		—			4,963			4,963
1.61%		6 Month GBP LIBOR	GBP	240,306,000		12/20/2028	Semi-Annual		—			(1,412,016	)		(1,412,016	)
1.62%		6 Month GBP LIBOR	GBP	11,735,000		12/20/2028	Semi-Annual		(17,245	)		(83,047	)		(65,802	)
1.66%		6 Month GBP LIBOR	GBP	18,847,000		12/20/2028	Semi-Annual		—			(221,654	)		(221,654	)
1.67%		6 Month GBP LIBOR	GBP	20,208,000		12/20/2028	Semi-Annual		—			(266,784	)		(266,784	)
1.67%		6 Month GBP LIBOR	GBP	11,873,000		12/20/2028	Semi-Annual		—			(148,190	)		(148,190	)
1.69%		6 Month GBP LIBOR	GBP	8,431,000		12/20/2028	Semi-Annual		—			(130,037	)		(130,037	)
1.82%		6 Month GBP LIBOR	GBP	50,020,000		12/20/2028	Semi-Annual		(27,353	)		(138,288	)		(110,935	)
6 Month EURIBOR		0.91%	EUR	6,730,000		12/20/2028	Semi-Annual		—			19,953			19,953
6 Month EURIBOR		0.92%	EUR	8,162,000		12/20/2028	Semi-Annual		—			27,818			27,818
6 Month EURIBOR		0.90%	EUR	12,840,000		12/20/2028	Semi-Annual		—			13,154			13,154
								$	(537,643	)	$	3,352,593		$	3,890,236

OTC Total Return Swaps

Fund Pays	Fund Receives			Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Equity Basket (l)		1 Month Federal Funds Rate minus 0.40	%	MORD		USD	25,494,433		05/18/2020		Monthly		—		(121,395	)		(121,395	)
Total Return on Equity Basket (l)		1 Month Federal Funds Rate minus 1.00	%	MORD		USD	4,571,023		05/18/2020		Monthly		—		(29,037	)		(29,037	)
Total Return on Equity Basket (l)		1 Month Federal Funds Rate minus 1.00	%	MORD		USD	23,255,033		05/18/2020		Monthly		—		(70,206	)		(70,206	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2018 (Unaudited)

OTC Total Return Swaps — continued

Fund Pays	Fund Receives			Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Equity Basket (l)		1 Month FederalFunds Rateminus 0.75	%	MORD		USD	729,802		05/18/2020		Monthly		—		(65,953	)		(65,953	)
Total Return on Equity Basket (l)		1 Month Federal Funds Rate minus 1.75	%	MORD		USD	8,572,516		05/18/2020		Monthly		—		(100,391	)		(100,391	)
Total Return on Equity Basket (l)		1 Month Federal Funds Rate minus 0.90	%	MORD		USD	574,476		05/18/2020		Monthly		—		(13,166	)		(13,166	)
Total Return on Equity Basket (l)		1 Month Federal Funds Rate minus 0.75	%	MORD		USD	941,518		05/18/2020		Monthly		—		16,087			16,087
Total Return on Equity Basket (l)		1 Month Federal Funds Rate minus 0.40	%	MORD		USD	14,828,089		10/15/2021		Monthly		—		45,464			45,464
												$	—	$	(338,597	)	$	(338,597	)

As of November 30, 2018, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2018 (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.

ADR - American Depositary Receipt

AUD BBSW - Bank Bill Swap Reference Rate denominated in Australian Dollar.

CAD LIBOR - London Interbank Offered Rate denominated in Canadian Dollar.

CDO - Collateralized Debt Obligation

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

CLO - Collateralized Loan Obligation

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.

CVA - Certificaaten van aandelen (Share Certificates)

CVR - Contingent Value Right

DIP - Debtor - in - Possession

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

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

GDR - Global Depositary Receipt

LIBOR - London Interbank Offered Rate

NVDR - Non-Voting Depositary Receipt

NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

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.

REIT - Real Estate Investment Trust

SDR - Swedish Depository Receipt

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

USBM - U.S. Treasury 3 Month Bill Money Market Yield.

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

The rates shown on variable rate notes are the current interest rates at November 30, 2018, which are subject to change based on the terms of the security.

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) All or a portion of this security is out on loan.

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

(c) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs.

(d) All or a portion of this investment is held in connection with one or more holdings within the Fund.

(e) Investment valued using significant unobservable inputs.

(f) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(g) Security is in default.

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

(i) The rate disclosed is the 7 day net yield as of November 30, 2018.

(j) All or a portion of this security or derivative is owned by GMO Implementation SPC Ltd., which is a 100% owned subsidiary of GMO Implementation Fund.

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

(l) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

Counterparty Abbreviations:

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Koruna

EUR - Euro

GBP - British Pound

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

PHP - Philippine Peso

PLN - Polish Zloty

RON - Romanian Leu

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - Taiwan Dollar

USD - United States Dollar

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	1,996,889	GMO Emerging Markets Fund, Class VI		62,462,685
	26,070,053	GMO International Equity Fund, Class IV		521,922,464
		TOTAL MUTUAL FUNDS (COST $657,895,132)		584,385,149
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	308,783	State Street Institutional Treasury Money Market Fund-Premier Class, 2.19% (a)		308,783
		TOTAL SHORT-TERM INVESTMENTS (COST $308,783)		308,783
		TOTAL INVESTMENTS — 100.0% (Cost $658,203,915)		584,693,932
		Other Assets and Liabilities (net) — (0.0%)		(132,433	)
		TOTAL NET ASSETS — 100.0%		$584,561,499

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2018.

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	10,091,882	GMO Emerging Markets Fund, Class VI		315,674,060
	28,308,880	GMO International Equity Fund, Class IV		566,743,780
		TOTAL MUTUAL FUNDS (COST $960,401,249)		882,417,840
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	325,257	State Street Institutional Treasury Money Market Fund-Premier Class, 2.19% (a)		325,257
		TOTAL SHORT-TERM INVESTMENTS (COST $325,257)		325,257
		TOTAL INVESTMENTS — 100.0% (Cost $960,726,506)		882,743,097
		Other Assets and Liabilities (net) — (0.0%)		(61,225	)
		TOTAL NET ASSETS — 100.0%		$882,681,872

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2018.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 75.9%
		United States — 75.9%
		U.S. Government — 51.9%
	41,500,000	U.S. Treasury Note, 1.13%, due 05/31/19 (a)		41,217,930
	5,000,000	U.S. Treasury Note, 1.63%, due 06/30/19		4,972,070
	5,000,000	U.S. Treasury Note, 0.75%, due 07/15/19		4,943,164
	43,000,000	U.S. Treasury Note, 0.88%, due 07/31/19		42,509,531
	5,000,000	U.S. Treasury Note, 1.00%, due 08/31/19		4,938,867
	12,000,000	U.S. Treasury Note, 1.75%, due 09/30/19		11,907,656
	5,000,000	U.S. Treasury Note, 1.50%, due 10/31/19		4,945,313
	209,991,300	U.S. Treasury Note, Variable Rate, USBM + 0.00%, 2.38%, due 01/31/20 (b)		210,055,925
	227,697,400	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.42%, due 04/30/20 (b)		227,782,415
	120,258,800	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.43%, due 07/31/20 (a) (b)		120,308,181
		Total U.S. Government		673,581,052
		U.S. Government Agency — 24.0%
	13,880,000	Federal Home Loan Banks, Variable Rate, 1 mo. USD LIBOR – 0.09%, 2.22%, due 01/14/19		13,880,002
	55,520,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.16%, 2.35%, due 01/28/19		55,523,071
	9,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.23%, 2.39%, due 02/13/19		8,999,314
	13,880,000	Federal Home Loan Banks, Variable Rate, 1 mo. USD LIBOR – 0.08%, 2.24%, due 04/26/19		13,879,297
	19,500,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.19%, 2.43%, due 05/10/19		19,499,969
	15,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.16%, 2.17%, due 06/12/19		15,001,123
	75,000,000	Federal Home Loan Banks, Variable Rate, 1 mo. USD LIBOR – 0.09%, 2.23%, due 07/12/19		74,995,190
	15,500,000	Federal Home Loan Banks, Variable Rate, 1 mo. USD LIBOR – 0.07%, 2.24%, due 01/23/20		15,498,070
	30,530,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.16%, 2.43%, due 02/07/20		30,527,691
	20,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.17%, 2.23%, due 04/03/20		19,995,560
	44,410,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.16%, 2.35%, due 05/04/20		44,357,396
		Total U.S. Government Agency		312,156,683
		Total United States		985,737,735
		TOTAL DEBT OBLIGATIONS (COST $985,626,953)		985,737,735

Par Value† / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 26.5%
		Foreign Government Obligations — 8.0%
JPY	6,875,750,000	Japan Treasury Discount Bill, Zero Coupon, due 01/09/19		60,584,434
JPY	1,900,000,000	Japan Treasury Discount Bill, Zero Coupon, due 03/04/19		16,749,358
JPY	3,065,000,000	Japan Treasury Discount Bill, Zero Coupon, due 03/11/19		27,020,305
		Total Foreign Government Obligations		104,354,097
		Money Market Funds — 1.0%
	1,645,414	SSgA USD Liquidity Fund-Class S2 Shares (a)		1,645,414
	10,673,004	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 2.16% (c)		10,673,004
		Total Money Market Funds		12,318,418
		U.S. Government — 17.5%
	34,480,000	U.S. Treasury Bill, 2.24%, due 02/07/19 (a) (d)		34,334,609
	30,000,000	U.S. Treasury Bill, 2.32%, due 03/21/19 (a) (d)		29,789,400
	80,000,000	U.S. Treasury Bill, 2.39%, due 04/04/19 (d)		79,350,689
	65,000,000	U.S. Treasury Bill, 2.42%, due 04/11/19 (d)		64,435,759
	20,000,000	U.S. Treasury Bill, 2.45%, due 04/25/19 (a) (d)		19,806,156
		Total U.S. Government		227,716,613
		TOTAL SHORT-TERM INVESTMENTS (COST $344,424,932)		344,389,128
		TOTAL INVESTMENTS — 102.4% (Cost $1,330,051,885)		1,330,126,863
		Other Assets and Liabilities (net) — (2.4%)		(31,103,907	)
		TOTAL NET ASSETS — 100.0%		$1,299,022,956

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2018 (Unaudited)

A summary of outstanding financial instruments at November 30, 2018 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold	Currency Purchased		Net Unrealized Apprecia- tion (Deprecia- tion) ($)
12/17/2018	MSCI	AUD        1,315,286		USD             948,624		(12,936	)
12/17/2018	UBS	AUD      77,774,269		USD        55,425,444		(1,432,609	)
01/22/2019	UBS	AUD    150,467,355		USD      107,417,892		(2,651,463	)
02/19/2019	MSCI	AUD      56,239,253		USD        40,599,398		(560,288	)
12/07/2018	MSCI	CAD        9,327,452		USD          7,075,254		54,432
12/07/2018	SSB	CAD        6,042,290		USD          4,567,316		19,253
01/22/2019	UBS	CHF      99,754,216		USD      101,403,280		1,012,260
01/23/2019	MSCI	CHF      35,730,545		USD        36,174,954		213,012
01/29/2019	DB	CHF      44,882,135		USD        45,465,457		267,740
02/25/2019	UBS	CHF      35,000,000		USD        35,533,716		198,741
01/22/2019	MSCI	EUR    141,091,350		USD      163,226,925		2,738,604
01/22/2019	SSB	EUR        6,083,315		USD          7,030,852		111,214
01/22/2019	UBS	EUR           254,258		USD             292,502		3,289
02/19/2019	MSCI	EUR      86,155,607		USD        98,050,250		(178,721	)
01/16/2019	MSCI	GBP      81,609,466		USD      106,182,362		1,922,694
01/09/2019	MSCI	JPY 6,875,750,000		USD        61,105,828		309,070
01/22/2019	GS	JPY    637,289,992		USD          5,685,069		44,230
03/04/2019	GS	JPY 1,900,000,000		USD        16,982,633		110,616
03/11/2019	GS	JPY 3,065,000,000		USD        27,224,601		(8,920	)
02/14/2019	SSB	NZD      91,166,303		USD        61,323,014		(1,420,175	)
12/07/2018	BOA	USD      57,115,946		CAD        74,821,318		(797,553	)
12/07/2018	MSCI	USD        6,212,318		CAD          8,148,808		(78,669	)
12/10/2018	DB	USD        1,711,096		JPY      194,098,149		(499	)
12/10/2018	UBS	USD        1,348,045		JPY      153,355,583		3,486
12/17/2018	GS	USD      11,829,503		AUD        16,374,851		141,579
12/17/2018	JPM	USD        4,520,014		AUD          6,174,865		(5,786	)
12/17/2018	MSCI	USD        6,473,904		AUD          8,830,000		(18,600	)
01/16/2019	JPM	USD        2,573,224		GBP          2,000,000		(18,136	)
01/16/2019	SSB	USD        6,810,520		GBP          5,223,809		(136,875	)
01/22/2019	BCLY	USD      16,059,739		EUR        14,124,976		7,112
01/22/2019	DB	USD        4,447,334		JPY      503,847,369		12,366
01/22/2019	MSCI	USD        5,224,103		EUR          4,565,000		(31,515	)
01/22/2019	MSCI	USD    105,576,745		JPY 11,785,743,194		(1,257,695	)
01/22/2019	UBS	USD        6,078,658		CHF          6,000,000		(40,356	)
02/14/2019	GS	USD        5,482,113		NZD          8,053,184		60,312
02/14/2019	JPM	USD        2,549,299		NZD          3,718,909		10,157
					$	(1,410,629	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
792	Australian Government Bond 10 Yr.	December 2018		75,083,318		213,351
1,090	CAC40 10 Euro	December 2018		61,659,564		(963,859	)
426	Canadian Government Bond 10 Yr.	March 2019		42,721,795		233,228
803	Crude Oil (a)	December 2018		40,896,790		(8,366,143	)
17	DAX Index	December 2018		5,436,286		(364,326	)

Number of Contracts +	Type	Expiration Date	Notional Amount		Value/Net Unrealized Appreciation (Depreciation)
2,778	FTSE 100 Index	December 2018		247,879,058		(9,735,441	)
865	Hang Seng Index	December 2018		147,238,543		1,175,556
4,175	Mini MSCI Emerging Markets	December 2018		208,666,500		(4,458,299	)
895	MSCI Singapore	December 2018		22,818,475		263,988
530	SPI 200	December 2018		55,049,242		(4,506,884	)
136	TOPIX	December 2018		20,029,388		(926,871	)
			$	927,478,959	$	(27,435,700	)
Sales
1,031	Corn (a)	March 2019		19,473,013		55,094
769	FTSE/JSE TOP 40	December 2018		24,902,535		3,239,415
255	Gilt Long Bond	March 2019		39,901,476		(133,649	)
193	Japanese Government Bond 10 Yr. (OSE)	December 2018		256,939,688		(1,505,086	)
235	MSCI Taiwan Index	December 2018		8,585,640		(127,653	)
2,357	S&P 500 E-Mini	December 2018		325,065,655		16,086,519
184	Silver (a)	March 2019		13,079,640		302,314
95	U.S. Treasury Note 10 Yr. (CBT)	March 2019		11,348,047		(869	)
			$	699,295,694	$	17,916,085

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2018, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

USBM - U.S. Treasury 3 Month Bill Money Market Yield.

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

The rates shown on variable rate notes are the current interest rates at November 30, 2018, which are subject to change based on the terms of the security.

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) All or a portion of this security or derivative is owned by GMO Alternative Asset SPC Ltd., which is a 100% owned subsidiary of GMO SGM Major Markets Fund.

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

(c) The rate disclosed is the 7 day net yield as of November 30, 2018.

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

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2018 (Unaudited)

Counterparty Abbreviations:

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

SSB - State Street Bank and Trust Company

UBS - UBS Securities LLC

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NZD - New Zealand Dollar

USD - United States Dollar

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Common Stocks — 82.3%
		Canada — 0.0%
	6,000,000	Jagercor Energy Corp * (a) (b)		45,159
		Germany — 3.4%
	302,500	Brenntag AG		14,031,035
		Netherlands — 4.7%
	2,500	Elastic NV *		178,625
	315,000	InterXion Holding NV *		19,615,050
		Total Netherlands		19,793,675
		United Kingdom — 6.1%
	955,000	Metro Bank Plc *		25,652,335
		United States — 68.1%
	710,000	Ally Financial, Inc.		18,942,800
	91,500	Berkshire Hathaway, Inc. – Class B *		19,968,960
	223,000	Cimpress NV *		26,907,180
	46,500	Credit Acceptance Corp. *		19,038,030
	885,000	Eventbrite, Inc. – Class A *		26,293,350
	920,000	General Motors Co.		34,914,000
	498,772	Interactive Brokers Group, Inc. – Class A		28,853,960
	1,152,650	Redfin Corp. *		19,548,944
	255,000	Shake Shack, Inc. – Class A *		14,165,250
	705,000	Upwork, Inc. *		13,134,150
	600,000	Wayfair, Inc. – Class A *		63,720,000
		Total United States		285,486,624
		TOTAL COMMON STOCKS (COST $277,995,116)		345,008,828

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 17.0%
		Money Market Funds — 0.7%
	2,724,975	State Street Institutional Treasury Money Market Fund-Premier Class, 2.19% (c) (d)		2,724,975
		U.S. Government — 16.3%
	39,500,000	U.S. Treasury Bill, 1.68%, due 12/13/18 (e) (f)		39,476,382
	17,000,000	U.S. Treasury Bill, 2.24%, due 02/07/19 (e)		16,928,317
	12,000,000	U.S. Treasury Bill, 2.45%, due 04/25/19 (e)		11,883,693
		Total U.S. Government		68,288,392
		TOTAL SHORT-TERM INVESTMENTS (COST $71,007,509)		71,013,367
		TOTAL INVESTMENTS — 99.3% (Cost $349,002,625)		416,022,195
		Other Assets and Liabilities (net) — 0.7%		3,111,892
		TOTAL NET ASSETS — 100.0%		$419,134,087

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) Investment valued using significant unobservable inputs.

(b) Affiliated company.

(c) The rate disclosed is the 7 day net yield as of November 30, 2018.

(d) All or a portion of this security is owned by GMO Special Opportunities SPC Ltd., which is a 100% owned subsidiary of GMO Special Opportunities Fund.

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

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

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Common Stocks — 10.0%
		Australia — 0.1%
	11,400	Caltex Australia Ltd		230,041
	7,956	Costa Group Holdings Ltd		44,457
	1,562	Macquarie Group Ltd		131,445
	99,779	Nine Entertainment Co Holdings Ltd		128,484
	15,300	OZ Minerals Ltd		97,274
	28,490	Sandfire Resources NL		133,899
	32,785	Scentre Group (REIT)		93,724
	35,997	Viva Energy Group Ltd *		52,077
	10,186	Viva Energy REIT		15,435
	2,918	WiseTech Global Ltd		40,259
		Total Australia		967,095
		Austria — 0.0%
	600	Oesterreichische Post AG		22,140
		Belgium — 0.0%
	4,800	AGFA-Gevaert NV *		20,658
	700	Orange Belgium SA		13,089
		Total Belgium		33,747
		Brazil — 0.3%
	116,400	Banco do Brasil SA		1,344,822
	17,700	Banco Santander Brasil SA		195,705
	72,100	Cia de Saneamento Basico do Estado de Sao Paulo		526,624
	181,200	JBS SA		551,928
	53,200	Petrobras Distribuidora SA		336,476
		Total Brazil		2,955,555
		Canada — 0.2%
	9,400	Bank of Montreal		701,330
	700	BRP Inc Sub Voting		24,941
	2,000	Canadian Imperial Bank of Commerce		167,839
	1,900	Canfor Pulp Products Inc		27,428
	2,700	Celestica Inc *		27,783
	300	Constellation Software Inc		205,758
	6,900	Green Organic Dutchman Holdings Ltd (The) *		17,138
	2,300	Kirkland Lake Gold Ltd *		47,794
	4,600	Magna International Inc		229,576
	3,000	Royal Bank of Canada		219,968
	1,700	Sun Life Financial Inc		62,543
	7,300	Toronto-Dominion Bank (The)		404,161
		Total Canada		2,136,259
		China — 0.5%
	132,000	Agile Group Holdings Ltd		180,365
	2,411,000	Agricultural Bank of China Ltd – Class H		1,095,984
	168,500	BAIC Motor Corp Ltd – Class H		103,771
	164,000	China Communications Services Corp Ltd – Class H		137,358
	28,000	China Lilang Ltd		22,923

Shares		Description	Value ($)
		China — continued
	1,544,000	China Petroleum & Chemical Corp – Class H		1,321,666
	40,500	China Railway Construction Corp Ltd – Class H		52,023
	128,000	China Resources Pharmaceutical Group Ltd		188,704
	73,000	China SCE Group Holdings Ltd		26,255
	34,000	China Shineway Pharmaceutical Group Ltd		42,520
	120,000	Chongqing Rural Commercial Bank Co Ltd – Class H		70,430
	26,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		105,560
	190,400	Guangzhou R&F Properties Co Ltd – Class H		296,899
	19,000	Haier Electronics Group Co Ltd *		44,503
	9,000	Hua Hong Semiconductor Ltd		19,228
	44,000	IGG Inc		53,488
	7,000	JNBY Design Ltd		12,209
	2,500	Kingboard Holdings Ltd		7,185
	6,500	Momo Inc Sponsored ADR *		203,775
	116,000	Postal Savings Bank of China Co Ltd – Class H		70,390
	24,000	Powerlong Real Estate Holdings Ltd		9,774
	17,000	Red Star Macalline Group Corp Ltd – Class H		15,847
	46,600	Shanghai Pharmaceuticals Holding Co Ltd – Class H		115,350
	101,000	Shimao Property Holdings Ltd		251,512
	44,000	SSY Group Ltd		45,372
	126,000	Tianneng Power International Ltd		115,396
	27,000	XTEP International Holdings Ltd		14,498
	113,000	Yuzhou Properties Co Ltd		49,859
		Total China		4,672,844
		Denmark — 0.1%
	124	ALK-Abello A/S *		17,161
	848	NetCo Group A/S *		27,993
	9,600	Novo Nordisk A/S Sponsored ADR		447,552
	4,900	Novo Nordisk A/S – Class B		227,906
	928	Royal Unibrew A/S		67,378
		Total Denmark		787,990
		France — 0.2%
	1,350	Christian Dior SE		501,838
	5,500	CNP Assurances		126,003
	1,868	Coface SA		17,390
	638	Ipsen SA		82,225
	2,412	L’Oreal SA		569,147
	3,502	Metropole Television SA		62,173
	1,200	Sanofi		108,792
	2,000	Sanofi ADR		90,700
	19,000	STMicroelectronics NV		281,426
	17,200	STMicroelectronics NV – NY Shares		255,420
		Total France		2,095,114
		Germany — 0.2%
	4,410	Allianz SE (Registered)		935,148
	1,100	BASF SE		80,440

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	1,500	Covestro AG		86,885
	10,060	Deutsche Lufthansa AG (Registered)		246,119
	500	Deutsche Pfandbriefbank AG		5,983
	623	DWS Group GmbH & Co KGaA *		17,663
	100	Henkel AG & Co KGaA		10,364
	1,600	RHOEN-KLINIKUM AG		40,283
	4,754	Siemens Healthineers AG *		206,389
	900	Software AG		36,867
	1,100	Volkswagen AG		182,940
		Total Germany		1,849,081
		Hong Kong — 0.0%
	22,600	Champion (REIT)		15,739
	18,500	Dah Sing Banking Group Ltd		35,071
	3,600	Dah Sing Financial Holdings Ltd		19,977
	13,400	Hysan Development Co Ltd		64,215
	7,200	Luk Fook Holdings International Ltd		21,074
	12,700	Pacific Textiles Holdings Ltd		13,166
	111,400	SJM Holdings Ltd		101,056
	13,400	Wheelock & Co Ltd		77,109
		Total Hong Kong		347,407
		India — 0.1%
	1,900	Dr Reddy’s Laboratories Ltd ADR (a)		73,036
	30,400	Infosys Ltd Sponsored ADR (a)		299,744
	21,126	REC Ltd		30,471
		Total India		403,251
		Indonesia — 0.0%
	47,500	Matahari Department Store Tbk PT		15,827
		Ireland — 0.0%
	300	ICON Plc * (b)		43,416
		Israel — 0.0%
	7,000	Teva Pharmaceutical Industries Ltd Sponsored ADR *		150,780
		Italy — 0.2%
	53,300	Enel SPA		289,955
	16,043	EXOR NV		946,143
	33,600	Fiat Chrysler Automobiles NV * (b)		557,424
	19,546	Hera SPA		53,790
	41,309	Iren SPA		89,869
	25,223	Saras SPA		48,946
	2,530	Societa Cattolica di Assicurazioni SC		20,878
	1,089	Societa Iniziative Autostradali e Servizi SPA		14,697
		Total Italy		2,021,702
		Japan — 0.9%
	1,100	Alpine Electronics Inc		17,847
	54,800	Asahi Kasei Corp		601,496

Shares		Description	Value ($)
		Japan — continued
	99,700	Astellas Pharma Inc		1,536,355
	15,700	Brother Industries Ltd		262,717
	1,300	Capcom Co Ltd		25,613
	1,100	Central Japan Railway Co		226,504
	2,900	Dai Nippon Printing Co Ltd		67,123
	1,200	Daiwabo Holdings Co Ltd		67,347
	1,300	Denka Co Ltd		42,002
	2,400	Fancl Corp		62,782
	3,800	Fuji Electric Co Ltd		119,807
	9,100	Fuji Media Holdings Inc		141,773
	500	Fukuyama Transporting Co Ltd		21,967
	200	Fuyo General Lease Co Ltd		12,152
	6,300	Hakuhodo DY Holdings Inc		96,500
	900	Hanwa Co Ltd		27,005
	20,060	Hitachi Ltd		584,177
	1,600	House Foods Group Inc		56,907
	35,300	ITOCHU Corp		628,330
	1,200	Kaken Pharmaceutical Co Ltd		61,460
	1,400	Kanematsu Corp		17,895
	800	Keihin Corp		13,864
	1,200	Kose Corp		179,515
	52,100	Marubeni Corp		389,334
	83,900	Mitsubishi Chemical Holdings Corp		688,263
	4,700	Mitsubishi Gas Chemical Co Inc		77,403
	4,400	Mitsui Chemicals Inc		112,001
	3,300	NET One Systems Co Ltd		68,508
	1,350	Nichias Corp		26,245
	18,800	Nippon Telegraph & Telephone Corp (b)		775,520
	2,300	Nippon Television Holdings Inc		35,998
	1,000	NOF Corp		33,057
	1,500	Nomura Research Institute Ltd		66,036
	10,400	NTT Data Corp.		120,950
	1,900	Pola Orbis Holdings Inc		53,715
	1,380	Prima Meat Packers Ltd		26,214
	4,000	Rohto Pharmaceutical Co Ltd		126,811
	11,100	Sekisui Chemical Co Ltd		180,596
	1,300	Showa Corp		17,380
	600	Showa Denko KK (b)		24,077
	5,500	SKY Perfect JSAT Holdings Inc		26,562
	106,000	Sojitz Corp		376,307
	80,900	Sumitomo Chemical Co Ltd		440,395
	900	Sushiro Global Holdings Ltd		49,405
	2,500	T-Gaia Corp		53,344
	300	Taisho Pharmaceutical Holdings Co Ltd		34,756
	100	Tokyo Electron Ltd		14,117
	400	Towa Pharmaceutical Co Ltd		29,711
	9,200	Toyota Tsusho Corp		318,069
	2,600	TS Tech Co Ltd		75,708
	200	Valor Holdings Co Ltd		5,164
	4,900	Zeon Corp		50,055
		Total Japan		9,166,839

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Luxembourg — 0.0%
	900	Orion Engineered Carbons SA		23,508
		Malaysia — 0.0%
	18,300	Genting Malaysia Berhad		12,551
	43,500	Top Glove Corp Berhad		62,260
		Total Malaysia		74,811
		Malta — 0.0%
	125,500	BGP Holdings Plc * (c)		—
		Mexico — 0.0%
	5,300	El Puerto de Liverpool SAB de CV – Class C1		31,576
	23,200	Gentera SAB de CV		17,120
	7,900	Megacable Holdings SAB de CV CPO		36,019
		Total Mexico		84,715
		Netherlands — 0.0%
	283	Flow Traders		8,806
	1,300	Heineken Holding NV		115,092
	2,643	Wolters Kluwer NV		159,785
		Total Netherlands		283,683
		Norway — 0.1%
	1,063	Aker ASA – A Shares		60,808
	7,767	Austevoll Seafood ASA		107,623
	2,071	Bakkafrost P/F		106,377
	14,602	DNB ASA		250,864
	5,009	Elkem ASA *		15,251
	15,971	Equinor ASA		374,119
	574	Grieg Seafood ASA		7,577
	8,863	Leroy Seafood Group ASA		75,756
	725	Norway Royal Salmon ASA		16,699
	6,839	Storebrand ASA		53,741
		Total Norway		1,068,815
		Poland — 0.0%
	3,912	Cyfrowy Polsat SA *		23,193
		Portugal — 0.0%
	3,493	Altri SGPS SA		25,482
	1,400	Navigator Co SA (The)		5,883
		Total Portugal		31,365
		Singapore — 0.0%
	3,300	Venture Corp Ltd		36,133
		South Africa — 0.1%
	49,002	Absa Group Ltd		544,626
	1,256	Anglo American Platinum Ltd		40,404
	2,328	BID Corp Ltd		43,163
	5,509	Bidvest Group Ltd (The)		81,510

Shares		Description	Value ($)
		South Africa — continued
	6,061	Foschini Group Ltd (The)		76,469
	3,145	Imperial Holdings Ltd		14,386
	6,800	Liberty Holdings Ltd		52,475
	3,145	Motus Holdings Ltd *		19,743
	9,418	Mr Price Group Ltd		163,685
	5,690	Reunert Ltd		30,176
	4,273	Standard Bank Group Ltd		53,982
	26,174	Telkom SA SOC Ltd		107,144
		Total South Africa		1,227,763
		South Korea — 0.2%
	1,962	LG Corp		126,595
	6,977	LG Electronics Inc		452,893
	437	LOTTE Himart Co Ltd		20,454
	893	Samsung SDS Co Ltd		156,769
	158	SK Holdings Co Ltd		39,788
	4,784	SK Hynix Inc		298,809
	26,200	SK Telecom Co Ltd Sponsored ADR		743,294
		Total South Korea		1,838,602
		Spain — 0.1%
	2,313	Almirall SA		39,558
	206	Ebro Foods SA		4,208
	3,887	Enagas SA		106,957
	11,698	Endesa SA		261,353
	8,800	International Consolidated Airlines Group SA		70,555
		Total Spain		482,631
		Sweden — 0.3%
	5,334	Granges AB		54,179
	6,169	Hexpol AB		54,531
	1,000	Kindred Group Plc SDR		9,776
	1,079	L E Lundbergforetagen AB – B Shares		32,334
	1,022	Loomis AB – Class B		34,448
	49	Nolato AB – B Shares		2,132
	3,615	Peab AB		29,379
	2,597	Resurs Holding AB		16,775
	22,366	Sandvik AB		332,159
	133,539	Svenska Cellulosa AB SCA – Class B		1,076,531
	8,538	Swedish Match AB		333,687
	39,341	Volvo AB – B Shares (b)		548,940
	800	Wihlborgs Fastigheter AB		9,138
		Total Sweden		2,534,009
		Switzerland — 0.0%
	100	Autoneum Holding AG		19,627
	516	BKW AG		35,126
	100	Bucher Industries AG (Registered)		27,315
	397	Galenica AG *		18,478
	2,200	GAM Holding AG *		11,594
	100	Georg Fischer AG (Registered)		78,064

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		Switzerland — continued
	248	Landis+Gyr Group AG *		15,447
	630	Roche Holding AG		162,396
	400	Vontobel Holding AG (Registered)		23,039
		Total Switzerland		391,086
		Taiwan — 0.2%
	14,000	Feng TAY Enterprise Co Ltd		89,419
	29,000	Fubon Financial Holding Co Ltd		46,091
	57,000	Gigabyte Technology Co Ltd		72,394
	56,800	Hon Hai Precision Industry Co Ltd		133,343
	270,000	Inventec Corp		194,409
	39,000	Micro-Star International Co Ltd		92,428
	94,000	Novatek Microelectronics Corp		398,242
	248,000	Pou Chen Corp		270,476
	20,200	Ruentex Industries Ltd		59,909
	44,000	Synnex Technology International Corp		51,946
	59,000	Walsin Lihwa Corp		35,588
	109,000	Yuanta Financial Holding Co Ltd		55,747
		Total Taiwan		1,499,992
		Thailand — 0.0%
	137,100	Home Product Center Pcl NVDR		63,457
		Turkey — 0.0%
	21,250	KOC Holding AS		62,539
	12,484	TAV Havalimanlari Holding AS		56,137
	4,003	Tofas Turk Otomobil Fabrikasi AS		14,897
		Total Turkey		133,573
		United Kingdom — 0.5%
	34,305	3i Group Plc		366,454
	36	AstraZeneca Plc		2,803
	1,417	Barratt Developments Plc		8,378
	1,264	Bellway Plc		41,024
	5,967	Berkeley Group Holdings Plc (The)		245,928
	11,739	British American Tobacco Plc		411,004
	6,940	Coca-Cola HBC AG *		207,591
	4,656	Computacenter Plc		63,813
	500	Diageo Plc Sponsored ADR (a)		72,175
	9,245	Electrocomponents Plc		60,768
	27,481	Ferrexpo Plc		61,773
	35,096	Firstgroup Plc *		40,142
	3,258	Galliford Try Plc		29,932
	54,407	GlaxoSmithKline Plc		1,127,853
	1,100	GlaxoSmithKline Plc Sponsored ADR		46,057
	4,271	Greene King Plc		29,982
	2,638	Hunting Plc *		19,119
	38,423	IG Group Holdings Plc		290,337
	8,176	Inchcape Plc		60,698
	15,323	JD Sports Fashion Plc		77,509
	3,195	National Express Group Plc		16,489

Shares		Description	Value ($)
		United Kingdom — continued
	157	Next Plc		9,803
	3,700	Nomad Foods Ltd *		74,814
	40,226	Persimmon Plc		977,721
	14,752	Plus500 Ltd		285,913
	22,645	QinetiQ Group Plc		86,019
	2,251	Royal Mail Plc		9,209
	4,397	Softcat Plc		33,810
	1,033	Spectris Plc		31,629
	2,809	Vesuvius Plc		18,955
	206	Victrex Plc		6,457
		Total United Kingdom		4,814,159
		United States — 5.7%
	32,100	ACCO Brands Corp. (b)		260,652
	8,800	Activision Blizzard, Inc. (a)		438,944
	6,200	Acushnet Holdings Corp.		141,670
	7,500	Adobe, Inc. * (b)		1,881,675
	1,600	Adtalem Global Education, Inc.*		92,384
	4,400	Aflac, Inc.		201,256
	12,200	AGNC Investment Corp. (REIT) (a)		215,940
	1,600	Allstate Corp. (The)		142,704
	400	Alphabet, Inc. – Class C *		437,772
	1,600	American Express Co. (a)		179,632
	200	American National Insurance Co.		25,522
	5,300	Ameriprise Financial, Inc.		687,675
	750	Apergy Corp. * (a)		25,710
	4,000	Apple Hospitality REIT, Inc. (a)		63,480
	800	Apple, Inc.		142,864
	800	Applied Industrial Technologies, Inc.		52,184
	3,800	Arrow Electronics, Inc. * (a)		292,486
	6,000	Avery Dennison Corp. (b)		578,400
	23,600	Baxter International, Inc. (a)		1,617,780
	4,200	BorgWarner, Inc. (a)		166,236
	1,500	Brady Corp. – Class A		65,340
	5,100	Briggs & Stratton Corp.		76,092
	7,600	Bristol-Myers Squibb Co.		406,296
	6,600	Brookfield Property REIT, Inc. – Class A (a)		118,866
	2,300	Bruker Corp.		76,222
	1,500	Brunswick Corp.		79,560
	6,300	Cadence Design Systems, Inc. *		283,752
	2,700	Caterpillar, Inc. (a)		366,309
	10,100	CBRE Group, Inc. – Class A *		441,168
	13,400	CBS Corp. – Class B NVDR		726,012
	300	Central Garden & Pet Co. *		10,155
	6,000	Citizens Financial Group, Inc.		218,160
	4,800	Columbia Sportswear Co.		438,384
	1,400	Cooper-Standard Holding, Inc. *		102,368
	17,800	CoreCivic, Inc. (REIT) (b)		390,710
	1,300	CSG Systems International, Inc. (a)		45,591
	2,200	Cummins, Inc.		332,332
	5,900	Curo Group Holdings Corp. *		78,647
	43,500	Dana, Inc. (a)		631,185

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	16,100	Danaher Corp. (a)		1,763,594
	900	Deluxe Corp. (a)		45,315
	1,900	Eastman Chemical Co.		149,758
	19,300	Eli Lilly & Co. (b)		2,289,752
	9,600	Enova International, Inc. *		212,544
	12,500	Estee Lauder Cos, Inc. (The) – Class A (a)		1,783,250
	5,800	Exelon Corp.		269,062
	700	Exterran Corp. * (b)		15,750
	300	Federal Agricultural Mortgage Corp. – Class C (a)		19,818
	7,200	Fidelity National Financial, Inc.		241,920
	6,700	First American Financial Corp. (a)		323,811
	28,200	Gannett Co., Inc. (a)		292,434
	4,000	Gap Inc. (The)		109,160
	2,400	Garmin Ltd. (a)		159,984
	2,280	Garrett Motion, Inc. * (a)		26,220
	4,200	GEO Group , Inc. (The) (REIT)		97,608
	200	Graham Holdings Co. – Class B		131,792
	600	Group 1 Automotive, Inc. (a)		33,720
	11,300	H&R Block, Inc. (a)		305,213
	2,200	Heidrick & Struggles International, Inc.		80,652
	5,500	Herman Miller, Inc.		186,230
	22,100	Hewlett Packard Enterprise Co. (a)		331,500
	12,600	Honeywell International, Inc. (b)		1,849,050
	10,300	Host Hotels & Resorts, Inc. (REIT) (a)		195,700
	73,100	HP, Inc. (a)		1,681,300
	41,700	Huntsman Corp. (b)		843,174
	1,700	IAC/InterActiveCorp * (b)		302,532
	800	ICF International, Inc.		56,024
	3,300	Insight Enterprises, Inc. * (a)		147,114
	15,400	Intel Corp. (a)		759,374
	900	Inter Parfums, Inc.		55,593
	18,300	Interpublic Group of Cos., Inc. (The) (a)		430,050
	1,700	ITT, Inc. (a)		94,265
	300	Johnson Outdoors, Inc. – Class A		21,390
	11,900	Johnson & Johnson (b)		1,748,110
	200	KB Home		4,222
	4,500	Kimco Realty Corp. (REIT) (a)		73,575
	1,800	KLA-Tencor Corp. (a)		177,408
	22,600	Kohl’s Corp. (a)		1,518,042
	100	Koppers Holdings, Inc. *		1,864
	4,300	Kulicke & Soffa Industries, Inc.		92,880
	2,700	La-Z-Boy, Inc.		78,921
	2,900	Lear Corp. (b)		395,125
	3,300	Legg Mason, Inc. (a)		95,601
	900	Lockheed Martin Corp.		270,387
	7,800	Macy’s, Inc.		266,916
	7,300	Mastercard, Inc. – Class A		1,467,811
	1,100	Materion Corp.		58,168
	900	MDC Holdings, Inc. (a)		26,505
	27,100	Merck & Co., Inc.		2,150,114
	3,000	Meritor, Inc. *		49,500
	35,900	Micron Technology, Inc. *		1,384,304

Shares		Description	Value ($)
		United States — continued
	12,500	Modine Manufacturing Co. *		163,125
	2,500	Moog, Inc. – Class A		218,625
	7,200	Movado Group, Inc.		271,008
	3,700	Murphy Oil Corp. (a)		118,030
	3,800	NetApp, Inc.		254,106
	3,100	Netflix, Inc. * (a)		887,003
	5,600	Old Republic International Corp.		126,280
	7,800	Oracle Corp.		380,328
	16,800	PepsiCo, Inc. (a)		2,048,592
	50,100	Pfizer, Inc. (b)		2,316,123
	6,200	Phillips 66		579,824
	6,400	Piedmont Office Realty Trust, Inc. – Class A (REIT) (a)		118,592
	3,400	Popular, Inc. (a)		191,760
	67	PotlatchDeltic Corp. (REIT) (a)		2,486
	11,800	Procter & Gamble Co. (The) (a)		1,115,218
	800	Progress Software Corp. (b)		28,128
	11,800	Progressive Corp. (The)		782,222
	10,900	PVH Corp. (b)		1,204,559
	9,100	Qurate Retail, Inc. * (a)		202,202
	1,900	Raymond James Financial, Inc. (a)		151,487
	800	Regional Management Corp. *		21,728
	9,800	Regions Financial Corp. (a)		161,210
	1,100	Reliance Steel & Aluminum Co.		88,495
	2,133	Resideo Technologies, Inc. *		44,004
	5,900	Sabre Corp.		150,863
	1,500	Scholastic Corp.		69,315
	400	SEACOR Holdings, Inc. * (a)		16,616
	3,000	Seagate Technology Plc (a)		129,270
	900	Shutterfly, Inc. * (a)		44,991
	1,100	SPX Corp. *		32,538
	7,800	Stoneridge, Inc. *		208,650
	900	Sykes Enterprises, Inc. *		24,858
	3,700	Synopsys, Inc. *		340,178
	4,700	T-Mobile US, Inc. *		321,715
	4,900	TE Connectivity Ltd. (b)		376,957
	400	Tech Data Corp. *		35,980
	600	Teledyne Technologies, Inc. * (a)		134,748
	3,800	Telephone & Data Systems, Inc.		135,774
	8,400	Timken Co. (The) (a)		337,260
	2,200	Tower International, Inc.		61,864
	1,200	Trinseo SA		60,636
	2,500	Triple-S Management Corp. – Class B *		47,700
	4,200	Twenty-First Century Fox, Inc.– Class A		207,774
	500	United States Cellular Corp. * (a)		27,930
	2,800	Universal Corp. (a)		177,520
	1,100	Universal Forest Products, Inc. (a)		30,426
	1,600	Urban Outfitters, Inc. *		60,944
	41,000	Verizon Communications, Inc. (a) (b)		2,472,300
	16,000	Vishay Intertechnology, Inc. (a)		333,600
	400	Visteon Corp. * (a)		29,528
	2,800	Wolverine World Wide, Inc. (a)		96,880

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares / Par Value†		Description	Value ($)
		United States — continued
	19,500	Xenia Hotels & Resorts, Inc. (REIT)		396,240
		Total United States		55,534,411
		TOTAL COMMON STOCKS (COST $102,412,449)		97,814,953
		PREFERRED STOCKS (d) — 0.1%
		Germany — 0.1%
	278	Draegerwerk AG & Co KGaA		15,195
	4,264	Henkel AG & Co KGaA		494,214
	195	Sixt SE		13,306
		Total Germany		522,715
		TOTAL PREFERRED STOCKS (COST $568,924)		522,715
		DEBT OBLIGATIONS — 7.5%
		United States — 7.5%
		U.S. Government — 7.5%
	12,138,210	U.S. Treasury Inflation Indexed Bond, 0.63%, due 04/15/23 (e)		11,909,354
	4,647,779	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (e)		4,437,633
	9,082,116	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (e)		8,823,488
	13,804,450	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (e)		13,066,415
	2,318,747	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/27 (e)		2,194,235
	2,446,878	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (e)		2,325,426
	14,832,688	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (b) (e)		15,697,542
	12,766,076	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (e)		14,473,539
		Total U.S. Government		72,927,632
		Total United States		72,927,632
		TOTAL DEBT OBLIGATIONS (COST $74,924,557)		72,927,632
		MUTUAL FUNDS — 83.6%
		United States — 83.6%
		Affiliated Issuers — 83.6%
	4,707,590	GMO Core Plus Bond Fund, Class IV		99,659,675
	1,136,732	GMO Emerging Country Debt Fund, Class IV		30,237,083
	7,119,784	GMO Emerging Markets Fund, Class VI		222,706,839
	11,535,617	GMO International Equity Fund, Class IV		230,943,053
	986,015	GMO Opportunistic Income Fund, Class VI		26,523,790
	3,808,527	GMO Quality Fund, Class VI		98,260,000
	4,682,223	GMO U.S. Equity Fund, Class VI		65,317,017

Shares			Description	Value ($)
			United States — continued
			Affiliated Issuers — continued
	1,678,773		GMO U.S. Treasury Fund		41,935,751
			TOTAL MUTUAL FUNDS (COST $796,250,173)		815,583,208
			SHORT-TERM INVESTMENTS — 0.1%
			Money Market Funds — 0.1%
	1,369,889		State Street Institutional Treasury Money Market Fund-Premier Class, 2.19% (f)		1,369,889
			TOTAL SHORT-TERM INVESTMENTS (COST $1,369,889)		1,369,889
			TOTAL INVESTMENTS — 101.3% (Cost $975,525,992)		988,218,397
			SECURITIES SOLD SHORT — (1.9)%
			Common Stocks — (1.9)%
			Brazil — (0.0)%
	(13,500	)	Pagseguro Digital Ltd – Class A *		(324,000	)
			Canada — (0.1)%
	(9,300	)	Agnico Eagle Mines Ltd		(326,616	)
	(8,600	)	Cameco Corp		(102,168	)
	(31,600	)	Yamana Gold Inc		(65,728	)
			Total Canada		(494,512	)
			France — (0.0)%
	(6,103	)	DBV Technologies SA *		(182,997	)
	(736	)	Iliad SA		(99,446	)
	(630	)	SMCP SA *		(12,570	)
	(524	)	Wendel SA		(63,743	)
			Total France		(358,756	)
			Germany — (0.1)%
	(584	)	adidas AG		(129,337	)
	(125,143	)	Deutsche Bank AG (Registered) *		(1,148,736	)
	(784	)	GEA Group AG		(21,239	)
			Total Germany		(1,299,312	)
			Israel — (0.0)%
	(1,200	)	Tower Semiconductor Ltd *		(18,912	)
			Italy — (0.0)%
	(22,754	)	Saipem SPA *		(99,908	)
			Japan — (0.1)%
	(171	)	AEON REIT Investment Corp		(191,190	)
	(10,600	)	Chiyoda Corp		(30,079	)
	(16	)	Daiwa House Investment Corp (REIT)		(36,313	)
	(800	)	Dip Corp		(17,974	)

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2018 (Unaudited)

Shares			Description	Value ($)
			Japan — continued
	(200	)	FANUC Corp		(34,398	)
	(300	)	Goldwin Inc		(31,171	)
	(8,000	)	Japan Lifeline Co Ltd.		(127,198	)
	(3,600	)	Kansai Paint Co Ltd		(67,588	)
	(16,900	)	Mitsui OSK Lines Ltd		(397,736	)
	(2,400	)	Nippon Paint Holdings Co Ltd		(85,467	)
	(40,800	)	Orient Corp		(63,258	)
	(2,800	)	Universal Entertainment Corp. *		(92,468	)
	(13,300	)	Yahoo Japan Corp		(38,138	)
	(1,500	)	Yoshinoya Holdings Co Ltd		(25,786	)
			Total Japan		(1,238,764	)
			Netherlands — (0.0)%
	(13,576	)	Altice NV – Class B *		(32,831	)
			Portugal — (0.0)%
	(24,736	)	CTT-Correios de Portugal SA		(100,484	)
			Spain — (0.1)%
	(178,396	)	Bankia SA		(590,494	)
	(275	)	Masmovil Ibercom SA *		(33,834	)
			Total Spain		(624,328	)
			Switzerland — (0.1)%
	(17,394	)	LafargeHolcim Ltd (Registered) *		(781,454	)
			United Kingdom — (0.1)%
	(1,346	)	Dechra Pharmaceuticals Plc		(37,182	)
	(11,257	)	Hochschild Mining Plc		(23,298	)
	(148,909	)	Melrose Industries Plc		(336,375	)
	(4,818	)	Ocado Group Plc *		(51,178	)
	(970	)	Rhi Magnesita NV		(44,846	)
			Total United Kingdom		(492,879	)

Shares			Description	Value ($)
			United States — (1.3)%
	(11,200	)	Acacia Communications, Inc. *		(480,256	)
	(15,400	)	Advanced Micro Devices, Inc. *		(328,020	)
	(1,000	)	Aerie Pharmaceuticals, Inc. *		(39,890	)
	(31,851	)	Altice USA, Inc. – Class A		(563,444	)
	(4,400	)	BioMarin Pharmaceutical, Inc. *		(422,532	)
	(3,600	)	Carvana Co. *		(155,844	)
	(2,300	)	Charter Communications, Inc. – Class A *		(757,160	)
	(400	)	Chipotle Mexican Grill, Inc. *		(189,284	)
	(24,800	)	Clovis Oncology, Inc. *		(426,808	)
	(300	)	Constellation Brands, Inc. – Class A		(58,728	)
	(1,400	)	Continental Resources Inc/OK *		(64,008	)
	(2,000	)	Copart, Inc. *		(102,360	)
	(11,600	)	Coty Inc-Class A		(96,744	)
	(26,600	)	Incyte Corp. *		(1,709,050	)
	(16,600	)	Knight-Swift Transportation Holdings, Inc.		(575,356	)
	(100	)	MercadoLibre, Inc.		(35,197	)
	(14,700	)	Nektar Therapeutics *		(593,733	)
	(109,700	)	Pandora Media, Inc. *		(953,293	)
	(27,300	)	Roku, Inc. *		(1,112,475	)
	(4,600	)	Shake Shack, Inc. *		(255,530	)
	(17,500	)	Square, Inc. – Class A *		(1,222,200	)
	(21,200	)	TESARO, Inc. *		(983,256	)
	(5,300	)	Tesla, Inc. *		(1,857,544	)
	(1,400	)	Wynn Resorts Ltd.		(153,160	)
			Total United States		(13,135,872	)
			TOTAL COMMON STOCKS (PROCEEDS $20,256,663)		(19,002,012	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $20,256,663)		(19,002,012	)
			Other Assets and Liabilities (net) — 0.6%		6,323,859
			TOTAL NET ASSETS — 100.0%		$975,540,244

A summary of outstanding financial instruments at November 30, 2018 is as follows:

Swap Contracts

OTC Total Return Swaps

Fund Pays	Fund Receives		Counterparty	Notional Amount			Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Equity Basket (g)		1 Month Federal Funds Rate minus 1.06%	MORD		USD	72,302	05/18/2020		Monthly		—		1,032			1,032
Total Return on Equity Basket (g)		1 Month Federal Funds Rate minus 0.40%	MORD		USD	54,808	05/18/2020		Monthly		—		(1,249	)		(1,249	)
Total Return on Equity Basket (g)		1 Month Federal Funds Rate minus 1.75%	MORD		USD	495,065	05/18/2020		Monthly		—		(8,992	)		(8,992	)
Total Return on Equity Basket (g)		1 Month Federal Funds Rate minus 1.00%	MORD		USD	1,210,566	05/18/2020		Monthly		—		(20,249	)		(20,249	)
Total Return on Equity Basket (g)		1 Month Federal Funds Rate minus 0.40%	MORD		USD	1,619,152	05/18/2020		Monthly		—		(5,737	)		(5,737	)
Total Return on Equity Basket (g)		1 Month Federal Funds Rate minus 2.38%	MORD		USD	28,746	05/18/2020		Monthly		—		(2,612	)		(2,612	)
										$	—	$	(37,807	)	$	(37,807	)

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2018 (Unaudited)

As of November 30, 2018, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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.

NVDR - Non-Voting Depositary Receipt

REIT - Real Estate Investment Trust

SDR - Swedish Depository Receipt

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) All or a portion of this security is out on loan.

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

(c) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs.

(d) Preferred dividend rates are disclosed to the extent that a stated rate exists.

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

(f) The rate disclosed is the 7 day net yield as of November 30, 2018.

(g) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

Counterparty Abbreviations:

MORD - Morgan Stanley Capital Services LLC

Currency Abbreviations:

USD - United States Dollar

Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes. As of November 30, 2018, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments for U.S. federal income tax purposes were as follows:

	Total Investments								Outstanding Financial Instruments
Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Alpha Only Fund		114,116,156		5,797,562		(9,887,388)		(4,089,826)		5,001,095
Benchmark-Free Allocation Fund		11,666,968,945		27,750,840		(134,882,160)		(107,131,320)		—
Benchmark-Free Fund		3,389,076,435		138,401,510		(203,009,045)		(64,607,535)		15,628,909
Global Asset Allocation Fund		1,989,075,869		40,054,778		(149,337,742)		(109,282,964)		—
Global Developed Equity Allocation Fund		449,600,070		2,592,503		(17,759,825)		(15,167,322)		—
Global Equity Allocation Fund		1,877,331,426		65,937,759		(218,015,441)		(152,077,682)		—
Consolidated Implementation Fund		9,725,399,659		305,407,227		(697,350,162)		(391,942,935)		67,033,115
International Developed Equity Allocation Fund		725,248,260		5,147,833		(145,702,161)		(140,554,328)		—
International Equity Allocation Fund		1,015,070,904		17,447,488		(149,775,295)		(132,327,807)		—
Consolidated SGM Major Markets Fund		1,340,084,125		49,162,074		(59,119,336)		(9,957,262)		(2,921,509)
Consolidated Special Opportunities Fund		354,818,861		93,115,876		(31,912,542)		61,203,334		—
Strategic Opportunities Allocation Fund		975,666,280		22,992,228		(29,442,123)		(6,449,895)		(37,807)

Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust (“underlying funds”). A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended November 30, 2018 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Alpha Only Fund
GMO U.S. Treasury Fund	$	13,848,473	$	148,355,314	$	158,350,000	$	164,859	$	—	$	9,376		$	793		$	3,863,956
Benchmark-Free Allocation Fund
GMO Emerging Country Debt Fund, Class IV	$	338,343,014	$	112,844,805	$	17,784,551	$	4,487,712	$	—	$	(129,488	)	$	(24,363,051	)	$	408,910,729
GMO High Yield Fund, Class VI		—		204,419,676		59,799,473		—		—		1,165,524			1,312,071			147,097,798
GMO Implementation Fund		10,973,015,970		671,605,447		2,042,222,122		40,589,176		—		31,479,626			(666,663,391	)		8,967,215,530
GMO Opportunistic Income Fund, Class VI		542,342,069		91,005,513		65,108,271		4,367,320		—		5,998,578			3,906,105			578,143,994
GMO Risk Premium Fund, Class VI		—		322,967,912		31,119,861		—		—		786,167			(905,811	)		291,728,407
GMO SGM Major Markets Fund, Class VI		1,015,978,511		29,133,326		165,827,547		—		—		6,151,550			(18,359,618	)		867,076,222
GMO Special Opportunities Fund, Class VI		669,099,430		181,622,883		415,906,963		—		154,325,296		55,259,728			(197,222,167	)		292,852,911
Totals	$	13,538,778,994	$	1,613,599,562	$	2,797,768,788	$	49,444,208	$	154,325,296	$	100,711,685		$	(902,295,862	)	$	11,553,025,591

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Benchmark-Free Fund
GMO Emerging Country Debt Fund, Class IV	$	133,185,460	$	27,984,674	$	17,100,000	$	1,541,536	$	—	$	(187,932	)	$	(8,886,354	)	$	134,995,848
GMO Emerging Markets Fund, Class VI		569,680,947		883,352		80,000,000		883,352		—		7,337,354			(80,297,281	)		417,604,372
GMO Opportunistic Income Fund, Class VI		217,604,583		29,636,997		41,000,000		1,526,892		—		4,452,023			(752,977	)		209,940,626
GMO Risk Premium Fund, Class VI		—		111,397,624		—		—		—		—			(368,480	)		111,029,144
GMO SGM Major Markets Fund, Class VI		184,449,116		—		34,000,000		—		—		2,440,994			(3,972,318	)		148,917,792
GMO Special Opportunities Fund, Class VI		323,594,896		60,618,195		226,127,282		—		60,618,195		32,033,592			(88,615,334	)		101,504,067
Totals	$	1,428,515,002	$	230,520,842	$	398,227,282	$	3,951,780	$	60,618,195	$	46,076,031		$	(182,892,744	)	$	1,123,991,849
Global Asset Allocation Fund
GMO Alpha Only Fund, Class IV	$	74,946,917	$	1,544,636	$	15,669,149	$	268,305	$	—	$	(2,421,185	)	$	(1,911,369	)	$	56,489,850
GMO Asset Allocation Bond Fund, Class VI		399,177,319		6,691,525		181,816,436		2,325,988		—		(28,478,157	)		30,063,306			225,637,557
GMO Core Plus Bond Fund, Class IV		249,614,612		122,706,592		93,614,200		1,391,054		—		415,096			2,804,931			281,927,031
GMO Emerging Country Debt Fund, Class IV		55,530,671		14,818,950		8,867,468		652,209		—		(34,496	)		(3,604,995	)		57,842,662
GMO Emerging Markets Fund, Class VI		467,717,958		33,002,097		81,608,039		886,476		—		4,768,679			(67,819,326	)		356,061,369
GMO International Equity Fund, Class IV		519,183,914		50,316,763		100,071,269		3,150,332		—		(14,623,799	)		(61,979,481	)		392,826,128
GMO Opportunistic Income Fund, Class VI		48,813,182		14,761,768		26,470,854		202,791		—		1,719,371			(1,172,812	)		37,650,655
GMO Quality Fund, Class VI		178,367,480		13,719,325		59,783,876		573,594		6,815,283		11,124,701			(6,270,625	)		137,157,005
GMO Risk Premium Fund, Class VI		62,350,340		226,286		16,594,945		226,286		—		(282,095	)		1,239,487			46,939,073
GMO SGM Major Markets Fund, Class VI		73,567,091		1,550,500		17,344,122		—		—		1,013,745			(1,789,678	)		56,997,536
GMO U.S. Equity Fund, Class VI		178,908,774		20,944,457		48,347,978		722,735		13,009,248		(2,193,437	)		(11,756,412	)		137,555,404
GMO U.S. Treasury Fund		167,046,625		70,181,148		144,917,221		2,161,152		—		(120,141	)		187,064			92,377,475
Totals	$	2,475,224,883	$	350,464,047	$	795,105,557	$	12,560,922	$	19,824,531	$	(29,111,718	)	$	(122,009,910	)	$	1,879,461,745
Global Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	46,991,022	$	5,588,323	$	645,310	$	91,897	$	—	$	54,901		$	(6,540,971	)	$	45,447,965
GMO International Equity Fund, Class IV		217,379,783		16,585,633		395,356		1,373,005		—		36,912			(36,784,448	)		196,822,524
GMO Quality Fund, Class VI		102,786,624		4,139,003		13,746,657		321,308		3,817,694		2,620,628			353,069			96,152,667
GMO U.S. Equity Fund, Class VI		101,984,701		8,998,663		6,322,169		414,403		7,459,250		404,633			(9,260,294	)		95,805,534
Totals	$	469,142,130	$	35,311,622	$	21,109,492	$	2,200,613	$	11,276,944	$	3,117,074		$	(52,232,644	)	$	434,228,690
Global Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	608,573,770	$	28,548,713	$	103,885,910	$	1,166,884	$	—	$	6,201,716		$	(87,603,326	)	$	451,834,963
GMO International Equity Fund, Class IV		896,831,372		27,299,166		100,443,777		5,598,487		—		(24,149,851	)		(112,217,247	)		687,319,663
GMO Quality Fund, Class VI		412,807,154		17,892,984		163,163,789		1,258,604		14,954,380		31,442,656			(19,371,160	)		279,607,845
GMO U.S. Equity Fund, Class VI		409,993,568		30,932,963		103,112,207		1,628,051		29,304,913		(5,344,272	)		(26,581,413	)		305,888,639
Totals	$	2,328,205,864	$	104,673,826	$	470,605,683	$	9,652,026	$	44,259,293	$	8,150,249		$	(245,773,146	)	$	1,724,651,110
International Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	67,378,736	$	5,594,874	$	1,049,463	$	129,974	$	—	$	90,594		$	(9,552,056	)	$	62,462,685
GMO International Equity Fund, Class IV		597,172,345		29,395,266		5,861,322		3,753,616		—		(571,396	)		(98,212,429	)		521,922,464
Totals	$	664,551,081	$	34,990,140	$	6,910,785	$	3,883,590	$	—	$	(480,802	)	$	(107,764,485	)	$	584,385,149

Affiliate	Value, beginning of period		Purchases		Sales Proceeds			Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
International Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	402,051,540	$	6,834,639	$	39,732,654		$	723,858	$	—	$	1,908,276		$	(55,387,741	)	$	315,674,060
GMO International Equity Fund, Class IV		748,929,812		6,850,001		76,008,228			4,404,226		—		(6,548,975	)		(106,478,830	)		566,743,780
Totals	$	1,150,981,352	$	13,684,640	$	115,740,882		$	5,128,084	$	—	$	(4,640,699	)	$	(161,866,571	)	$	882,417,840
Consolidated SGM Major Markets Fund
GMO U.S. Treasury Fund	$	1,072,205,111	$	57,075,865	$	1,129,705,815	(a)	$	9,352,205	$	—	$	(781,391	)	$	1,206,230		$	—
Consolidated Special Opportunities Fund
Jagercor Energy Corp	$	70,137	$	—	$	—		$	—	$	—	$	—		$	(24,978	)	$	45,159
Strategic Opportunities Allocation Fund
GMO Core Plus Bond Fund, Class IV	$	99,134,920	$	30,487,118	$	31,044,299		$	487,118	$	—	$	(363,055	)	$	1,444,991		$	99,659,675
GMO Emerging Country Debt Fund, Class IV		39,992,630		4,369,234		11,750,875			456,549		—		(779,145	)		(1,594,761	)		30,237,083
GMO Emerging Markets Fund, Class VI		305,084,580		510,832		45,079,189			510,832		—		5,301,892			(43,111,276	)		222,706,839
GMO International Equity Fund, Class IV		349,818,348		1,794,004		74,675,631	(b)		1,794,004		—		(6,750,067	)		(39,243,601	)		230,943,053
GMO Opportunistic Income Fund, Class VI		45,985,113		283,091		20,304,353			283,091		—		1,734,552			(1,174,613	)		26,523,790
GMO Quality Fund, Class VI		131,528,842		5,046,728		41,083,564			391,774		4,654,954		7,020,183			(4,252,189	)		98,260,000
GMO U.S. Equity Fund, Class VI		130,082,686		6,534,647		63,011,312	(c)		343,929		6,190,718		(372,216	)		(7,916,788	)		65,317,017
GMO U.S. Treasury Fund		93,901,813		12,013,797		64,008,962			1,013,841		—		(11,438	)		40,541			41,935,751
Totals	$	1,195,528,932	$	61,039,451	$	350,958,185		$	5,281,138	$	10,845,672	$	5,780,706		$	(95,807,696	)	$	815,583,208

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2018 through November 30, 2018. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2019.

^(a)  $1,017,970,052 was redeemed in-kind.

^(b)  $37,086,238 was redeemed in-kind.

^(c)  $39,017,646 was redeemed in-kind.

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 Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon the sale of those securities.

Basis of presentation and principles of consolidation: Implementation Fund, Special Opportunities Fund and SGM Major Markets Fund

Implementation Fund, Special Opportunities Fund and SGM Major Markets Fund include the accounts of their wholly-owned subsidiaries Implementation SPC Ltd., Special Opportunities SPC Ltd. and Alternative Asset SPC Ltd. (each a “wholly-owned subsidiary”), respectively, and the accompanying schedules of investments have been consolidated for those accounts. The consolidated schedules of investments include all of the assets and liabilities of each wholly-owned subsidiary.

Portfolio valuation

Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. Direct investments held by the Funds and underlying funds are valued as follows: Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within that range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates its net asset value, the derivative will

generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities 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 (“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. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended November 30, 2018, the Funds did not reduce the value of any of their 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 valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) in the table below and are described in the disclosures of the underlying funds.

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.

U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.

The three levels are defined as follows:

Level 1 – Valuations based on quoted prices for identical securities in active markets.

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).

Level 2 – Valuations determined using other significant direct or indirect observable inputs.

The types of assets and liabilities categorized in Level 2 generally include certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

Level 3 – Valuations based primarily on inputs that are unobservable and significant.

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they may be valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; potential litigation recoveries and interests related to bankruptcy proceedings; 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 relevant index; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of November 30, 2018:

Description	Level 1		Level 2		Level 3			Total
Alpha Only Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	1,038,900	$	—		$	1,038,900
Austria		—		320,682		—			320,682
Belgium		—		61,059		—			61,059
Brazil		31,812		3,302,920		—			3,334,732
China		220,794		13,665,104		—			13,885,898
Colombia		9,708		—		—			9,708
Denmark		—		7,741		—			7,741
Egypt		—		8,607		—			8,607
Finland		—		401,875		—			401,875
France		22,675		1,691,770		—			1,714,445
Germany		—		3,512,958		—			3,512,958
Greece		—		—		0	§		0	§
Hong Kong		—		521,642		—			521,642
Hungary		—		41,392		—			41,392
India		—		3,171,018		—			3,171,018
Indonesia		—		147,405		—			147,405
Ireland		—		5,206		—			5,206
Israel		—		167,186		—			167,186
Italy		230,601		1,218,255		—			1,448,856
Japan		—		7,759,111		—			7,759,111
Malaysia		—		186,156		0	§		186,156
Mexico		967,093		—		—			967,093
Netherlands		—		1,138,438		—			1,138,438
New Zealand		—		31,082		—			31,082
Norway		—		997,569		—			997,569
Philippines		—		51,713		—			51,713
Poland		—		148,965		—			148,965
Portugal		—		39,556		—			39,556
Qatar		—		11,919		—			11,919
Russia		—		1,825,360		—			1,825,360
Singapore		—		138,365		—			138,365
South Africa		—		3,602,812		—			3,602,812
South Korea		502,149		3,460,383		—			3,962,532
Spain		—		366,885		—			366,885
Sweden		—		1,345,232		—			1,345,232
Switzerland		18,306		3,662,546		—			3,680,852
Taiwan		689,062		5,656,028		25,008			6,370,098
Thailand		—		2,114,348		—			2,114,348
Turkey		—		946,519		—			946,519
United Kingdom		1,288,673		5,884,654		—			7,173,327
United States		26,162,897		—		—			26,162,897
TOTAL COMMON STOCKS		30,143,770		68,651,361		25,008			98,820,139

Description	Level 1		Level 2			Level 3			Total
Alpha Only Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks
Brazil	$	—	$	153,046		$	—		$	153,046
Colombia		12,126		—			—			12,126
Germany		—		369,579			—			369,579
South Korea		—		495,215			—			495,215
TOTAL PREFERRED STOCKS		12,126		1,017,840			—			1,029,966
Debt Obligations
United States		4,999,606		—			—			4,999,606
TOTAL DEBT OBLIGATIONS		4,999,606		—			—			4,999,606
Rights/Warrants
Thailand		—		—			0	§		0	§
TOTAL RIGHTS/WARRANTS		—		—			0	§		0	§
Mutual Funds
United States		3,863,956		—			—			3,863,956
TOTAL MUTUAL FUNDS		3,863,956		—			—			3,863,956
Short-Term Investments		1,312,663		—			—			1,312,663
Total Investments		40,332,121		69,669,201			25,008			110,026,330
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		134,948			—			134,948
Futures Contracts
Equity Risk		4,894,734		—			—			4,894,734
Total	$	45,226,855	$	69,804,149		$	25,008		$	115,056,012
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(28,587	)	$	—		$	(28,587	)
Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	11,553,025,591	$	—		$	—		$	11,553,025,591
Short-Term Investments		6,812,034		—			—			6,812,034
Total Investments		11,559,837,625		—			—			11,559,837,625
Total	$	11,559,837,625	$	—		$	—		$	11,559,837,625
Benchmark-Free Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	30,319,108		$	—		$	30,319,108
Austria		—		3,609,895			—			3,609,895
Belgium		—		1,483,488			—			1,483,488
Brazil		875,505		46,948,531			—			47,824,036
Canada		50,225,172		—			—			50,225,172
Chile		—		56,134			—			56,134
China		6,706,071		190,456,778			—			197,162,849
Colombia		600,482		—			—			600,482
Czech Republic		—		178,390			—			178,390
Denmark		1,986,012		7,580,488			—			9,566,500
Finland		—		9,004,571			—			9,004,571
France		6,463,945		37,697,407			—			44,161,352
Germany		—		59,122,458			—			59,122,458
Greece		—		156,821			0	§		156,821
Hong Kong		—		12,845,453			—			12,845,453

Description	Level 1		Level 2			Level 3			Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Hungary	$	—	$	1,155,225		$	—		$	1,155,225
India		—		41,730,921			—			41,730,921
Indonesia		—		5,294,185			—			5,294,185
Ireland		1,678,752		—			—			1,678,752
Israel		—		827,584			—			827,584
Italy		8,633,436		18,297,740			—			26,931,176
Japan		—		157,259,585			—			157,259,585
Malaysia		—		4,781,137			—			4,781,137
Mexico		16,692,281		—			—			16,692,281
Netherlands		—		9,793,813			—			9,793,813
New Zealand		—		1,473,064			—			1,473,064
Norway		—		22,995,580			—			22,995,580
Pakistan		—		166,145			—			166,145
Philippines		—		1,111,470			—			1,111,470
Poland		—		5,259,804			—			5,259,804
Portugal		—		572,228			—			572,228
Qatar		—		1,404,640			—			1,404,640
Russia		1,083,898		34,692,076			—			35,775,974
Singapore		—		3,645,925			—			3,645,925
South Africa		—		51,510,635			—			51,510,635
South Korea		6,837,170		60,199,881			—			67,037,051
Spain		—		8,391,217			—			8,391,217
Sweden		—		29,648,883			—			29,648,883
Switzerland		92,456		35,826,070			—			35,918,526
Taiwan		5,761,378		80,208,864			337,609			86,307,851
Thailand		—		21,865,979			—			21,865,979
Turkey		—		19,790,093			—			19,790,093
United Arab Emirates		—		1,186,923			—			1,186,923
United Kingdom		11,687,941		84,563,347			—			96,251,288
United States		136,881,246		—			—			136,881,246
TOTAL COMMON STOCKS		256,205,745		1,103,112,536			337,609			1,359,655,890
Preferred Stocks
Brazil		—		9,451,482			—			9,451,482
Colombia		234,107		—			—			234,107
Germany		—		3,103,479			—			3,103,479
Russia		—		3,698,768			—			3,698,768
South Korea		—		11,396,983			—			11,396,983
Sweden		—		92,685			—			92,685
Taiwan		—		29,494			—			29,494
TOTAL PREFERRED STOCKS		234,107		27,772,891			—			28,006,998
Rights/Warrants
Australia		—		0	§		—			0	§
Brazil		1,946		—			0	§		1,946
TOTAL RIGHTS/WARRANTS		1,946		0	§		0	§		1,946
Investment Funds
United States		639,884		—			—			639,884
TOTAL INVESTMENT FUNDS		639,884		—			—			639,884
Debt Obligations
United States		110,894,479		570,356,258			—			681,250,737
TOTAL DEBT OBLIGATIONS		110,894,479		570,356,258			—			681,250,737
Mutual Funds
United States		1,123,991,849		—			—			1,123,991,849
TOTAL MUTUAL FUNDS		1,123,991,849		—			—			1,123,991,849

Description	Level 1			Level 2			Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Short-Term Investments	$	6,004,867		$	160,439,859		$	—	$	166,444,726
Total Investments		1,497,972,877			1,861,681,544			337,609		3,359,992,030
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			1,352,595			—		1,352,595
Futures Contracts
Equity Risk		14,535,776			—			—		14,535,776
Swap Contracts
Equity Risk		—			89,095			—		89,095
Total	$	1,512,508,653		$	1,863,123,234		$	337,609	$	3,375,969,496
Liability Valuation Inputs
Common Stocks
Brazil	$	(2,836,800	)	$	—		$	—	$	(2,836,800	)
Canada		(3,845,694	)		—			—		(3,845,694	)
Denmark		—			(686,749	)		—		(686,749	)
Finland		—			(28,244	)		—		(28,244	)
France		—			(1,133,904	)		—		(1,133,904	)
Germany		(258,712	)		(3,842,895	)		—		(4,101,607	)
Israel		(413,842	)		—			—		(413,842	)
Italy		—			(3,649,610	)		—		(3,649,610	)
Japan		—			(6,564,827	)		—		(6,564,827	)
Netherlands		—			(56,575	)		—		(56,575	)
Norway		—			(118,368	)		—		(118,368	)
Singapore		—			(146,674	)		—		(146,674	)
Spain		—			(4,224,987	)		—		(4,224,987	)
Sweden		—			(123,679	)		—		(123,679	)
Switzerland		—			(2,985,581	)		—		(2,985,581	)
United Kingdom		—			(3,215,785	)		—		(3,215,785	)
United States		(1,390,204	)		—			—		(1,390,204	)
TOTAL COMMON STOCKS		(8,745,252	)		(26,777,878	)		—		(35,523,130	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(135,138	)		—		(135,138	)
Futures Contracts
Equity Risk		(141,738	)		—			—		(141,738	)
Swap Contracts
Equity Risk		—			(66,483	)		—		(66,483	)
Interest Rate Risk		—			(5,198	)		—		(5,198	)
Total	$	(8,886,990	)	$	(26,984,697	)	$	—	$	(35,871,687	)
Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,879,461,745		$	—		$	—	$	1,879,461,745
Debt Obligations
Asset-Backed Securities		—			51,758			—		51,758
TOTAL DEBT OBLIGATIONS		—			51,758			—		51,758
Short-Term Investments		279,402			—			—		279,402
Total Investments		1,879,741,147			51,758			—		1,879,792,905
Total	$	1,879,741,147		$	51,758		$	—	$	1,879,792,905

Description	Level 1		Level 2		Level 3		Total
Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	434,228,690	$	—	$	—	$	434,228,690
Short-Term Investments		204,058		—		—		204,058
Total Investments		434,432,748		—		—		434,432,748
Total	$	434,432,748	$	—	$	—	$	434,432,748
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,724,651,110	$	—	$	—	$	1,724,651,110
Short-Term Investments		602,634		—		—		602,634
Total Investments		1,725,253,744		—		—		1,725,253,744
Total	$	1,725,253,744	$	—	$	—	$	1,725,253,744
Consolidated Implementation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	104,749,379	$	—	$	104,749,379
Austria		—		16,174,395		—		16,174,395
Belgium		—		6,514,965		—		6,514,965
Brazil		4,696,938		132,838,726		—		137,535,664
Canada		171,737,853		—		—		171,737,853
Chile		—		633,661		—		633,661
China		24,877,392		882,884,111		—		907,761,503
Colombia		2,286,434		—		—		2,286,434
Czech Republic		—		1,034,461		—		1,034,461
Denmark		5,361,300		21,360,570		—		26,721,870
Finland		—		31,264,106		—		31,264,106
France		14,523,700		127,664,310		—		142,188,010
Germany		—		205,188,114		—		205,188,114
Greece		—		2,633,485		—		2,633,485
Hong Kong		—		36,109,963		—		36,109,963
Hungary		—		3,556,085		—		3,556,085
India		—		138,832,062		—		138,832,062
Indonesia		—		54,868,029		—		54,868,029
Ireland		4,529,736		34,871		—		4,564,607
Israel		24,287,172		4,667,324		—		28,954,496
Italy		24,500,510		72,164,294		—		96,664,804
Japan		—		519,853,125		—		519,853,125
Luxembourg		305,604		—		—		305,604
Malaysia		—		14,793,091		—		14,793,091
Mexico		75,190,803		—		—		75,190,803
Netherlands		—		38,716,779		—		38,716,779
New Zealand		—		2,610,127		—		2,610,127
Norway		—		66,802,388		—		66,802,388
Pakistan		—		2,577,833		—		2,577,833
Philippines		—		11,376,534		—		11,376,534
Poland		—		66,320,107		—		66,320,107
Portugal		—		2,288,427		—		2,288,427
Qatar		—		29,241,227		—		29,241,227
Russia		13,946,176		294,618,043		—		308,564,219
Singapore		—		11,877,747		—		11,877,747
South Africa		—		237,271,534		—		237,271,534
South Korea		21,222,750		219,257,136		—		240,479,886
Spain		8,194,960		28,015,105		—		36,210,065
Sweden		—		95,948,508		—		95,948,508
Switzerland		—		130,608,927		—		130,608,927
Taiwan		52,048,352		488,970,003		4,399,335		545,417,690
Thailand		—		91,882,809		—		91,882,809
Turkey		468,356		170,247,793		—		170,716,149

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
United Arab Emirates	$	—		$	17,289,787		$	—	$	17,289,787
United Kingdom		106,265,091			271,591,962			—		377,857,053
United States		845,933,796			4,895,125			2,571,457		853,400,378
TOTAL COMMON STOCKS		1,400,376,923			4,660,227,028			6,970,792		6,067,574,743
Preferred Stocks
Brazil		—			25,997,863			—		25,997,863
Colombia		3,274,158			—			—		3,274,158
Germany		—			14,627,919			—		14,627,919
Russia		—			20,733,581			—		20,733,581
South Korea		—			40,769,446			—		40,769,446
Taiwan		—			449,203			—		449,203
TOTAL PREFERRED STOCKS		3,274,158			102,578,012			—		105,852,170
Rights/Warrants
Australia		—			0	§		—		0	§
Brazil		217,069			—			—		217,069
Canada		101,517			—			—		101,517
United States		—			—			130,840		130,840
TOTAL RIGHTS/WARRANTS		318,586			0	§		130,840		449,426
Investment Funds
United States		64,271,049			—			—		64,271,049
TOTAL INVESTMENT FUNDS		64,271,049			—			—		64,271,049
Debt Obligations
Italy		—			3,837,313			—		3,837,313
Jamaica		—			7,358,175			—		7,358,175
Luxembourg		—			—			7,928,552		7,928,552
Puerto Rico		606,250			8,862,869			—		9,469,119
Spain		—			—			3,345,536		3,345,536
United States		813,921,977			1,761,423,292			53,531,192		2,628,876,461
TOTAL DEBT OBLIGATIONS		814,528,227			1,781,481,649			64,805,280		2,660,815,156
Short-Term Investments		254,581,359			466,692,251			—		721,273,610
Purchased Options		1,487,072			—			13,265		1,500,337
Total Investments		2,538,837,374			7,010,978,940			71,920,177		9,621,736,491
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			12,716,599			—		12,716,599
Futures Contracts
Equity Risk		62,875,325			—			—		62,875,325
Swap Contracts
Equity Risk		—			61,551			—		61,551
Interest Rate Risk		—			10,737,256			—		10,737,256
Total	$	2,601,712,699		$	7,034,494,346		$	71,920,177	$	9,708,127,222
Liability Valuation Inputs
Common Stocks
Brazil	$	(10,046,399	)	$	—		$	—	$	(10,046,399	)
Canada		(17,620,258	)		—			—		(17,620,258	)
China		(53,014,308	)		—			—		(53,014,308	)
Denmark		—			(2,329,894	)		—		(2,329,894	)
France		—			(6,045,011	)		—		(6,045,011	)
Germany		(481,984	)		(15,349,211	)		—		(15,831,195	)
Israel		(660,344	)		—			—		(660,344	)
Italy		—			(10,345,605	)		—		(10,345,605	)
Japan		—			(47,695,228	)		—		(47,695,228	)
Russia		(185,850	)		—			—		(185,850	)
Singapore		—			(464,169	)		—		(464,169	)
Spain		—			(8,555,105	)		—		(8,555,105	)

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Liability Valuation Inputs (continued)
Sweden	$	—		$	(325,866	)	$	—	$	(325,866	)
Switzerland		—			(9,703,008	)		—		(9,703,008	)
United Kingdom		—			(11,392,491	)		—		(11,392,491	)
United States		(71,768,312	)		—			—		(71,768,312	)
TOTAL COMMON STOCKS		(153,777,455	)		(112,205,588	)		—		(265,983,043	)
Debt Obligations
United States		—			(22,296,724	)		—		(22,296,724	)
TOTAL DEBT OBLIGATIONS		—			(22,296,724	)		—		(22,296,724	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(8,301,781	)		—		(8,301,781	)
Futures Contracts
Equity Risk		(2,232,683	)		—			—		(2,232,683	)
Written Options
Equity Risk		—			(9,749,110	)		—		(9,749,110	)
Swap Contracts
Credit Risk		—			(74,295	)		—		(74,295	)
Equity Risk		—			(400,148	)		—		(400,148	)
Interest Rate Risk		—			(7,384,663	)		—		(7,384,663	)
Total	$	(156,010,138	)	$	(160,412,309	)	$	—	$	(316,422,447	)
International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	584,385,149		$	—		$	—	$	584,385,149
Short-Term Investments		308,783			—			—		308,783
Total Investments		584,693,932			—			—		584,693,932
Total	$	584,693,932		$	—		$	—	$	584,693,932
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	882,417,840		$	—		$	—	$	882,417,840
Short-Term Investments		325,257			—			—		325,257
Total Investments		882,743,097			—			—		882,743,097
Total	$	882,743,097		$	—		$	—	$	882,743,097
Consolidated SGM Major Markets Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	673,581,052		$	—		$	—	$	673,581,052
U.S. Government Agency		312,156,683			—			—		312,156,683
TOTAL DEBT OBLIGATIONS		985,737,735			—			—		985,737,735
Short-Term Investments		240,035,031			104,354,097			—		344,389,128
Total Investments		1,225,772,766			104,354,097			—		1,330,126,863
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			7,240,167			—		7,240,167
Futures Contracts
Equity Risk		20,765,478			—			—		20,765,478
Interest Rate Risk		446,579			—			—		446,579
Physical Commodity Contract Risk		357,408			—			—		357,408
Total	$	1,247,342,231		$	111,594,264		$	—	$	1,358,936,495

Description	Level 1			Level 2			Level 3			Total
Consolidated SGM Major Markets Fund (continued)
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(8,650,796	)	$	—		$	(8,650,796	)
Futures Contracts
Equity Risk		(21,083,333	)		—			—			(21,083,333	)
Interest Rate Risk		(1,639,604	)		—			—			(1,639,604	)
Physical Commodity Contract Risk		(8,366,143	)		—			—			(8,366,143	)
Total	$	(31,089,080	)	$	(8,650,796	)	$	—		$	(39,739,876	)
Consolidated Special Opportunities Fund
Asset Valuation Inputs
Common Stocks
Canada	$	—		$	—		$	45,159		$	45,159
Germany		—			14,031,035			—			14,031,035
Netherlands		19,793,675			—			—			19,793,675
United Kingdom		—			25,652,335			—			25,652,335
United States		285,486,624			—			—			285,486,624
TOTAL COMMON STOCKS		305,280,299			39,683,370			45,159			345,008,828
Short-Term Investments	$	71,013,367		$	—		$	—		$	71,013,367
Total Investments		376,293,666			39,683,370			45,159			416,022,195
Total	$	376,293,666		$	39,683,370		$	45,159		$	416,022,195
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	967,095		$	—		$	967,095
Austria		—			22,140			—			22,140
Belgium		—			33,747			—			33,747
Brazil		—			2,955,555			—			2,955,555
Canada		2,136,259			—			—			2,136,259
China		203,775			4,469,069			—			4,672,844
Denmark		447,552			340,438			—			787,990
France		346,120			1,748,994			—			2,095,114
Germany		—			1,849,081			—			1,849,081
Hong Kong		—			347,407			—			347,407
India		372,780			30,471			—			403,251
Indonesia		—			15,827			—			15,827
Ireland		43,416			—			—			43,416
Israel		150,780			—			—			150,780
Italy		557,424			1,464,278			—			2,021,702
Japan		—			9,166,839			—			9,166,839
Luxembourg		23,508			—			—			23,508
Malaysia		—			74,811			—			74,811
Malta		—			—			0	§		0	§
Mexico		84,715			—			—			84,715
Netherlands		—			283,683			—			283,683
Norway		—			1,068,815			—			1,068,815
Poland		—			23,193			—			23,193
Portugal		—			31,365			—			31,365
Singapore		—			36,133			—			36,133
South Africa		—			1,227,763			—			1,227,763
South Korea		743,294			1,095,308			—			1,838,602
Spain		—			482,631			—			482,631
Sweden		—			2,534,009			—			2,534,009
Switzerland		—			391,086			—			391,086
Taiwan		—			1,499,992			—			1,499,992
Thailand		—			63,457			—			63,457
Turkey		—			133,573			—			133,573

Description	Level 1			Level 2			Level 3			Total
Strategic Opportunities Allocation Fund (continued)
Asset Valuation Inputs (continued)
United Kingdom	$	193,046		$	4,621,113		$	—		$	4,814,159
United States		55,534,411			—			—			55,534,411
TOTAL COMMON STOCKS		60,837,080			36,977,873			0	§		97,814,953
Preferred Stocks
Germany		—			522,715			—			522,715
TOTAL PREFERRED STOCKS		—			522,715			—			522,715
Debt Obligations
United States		—			72,927,632			—			72,927,632
TOTAL DEBT OBLIGATIONS		—			72,927,632			—			72,927,632
Mutual Funds
United States		815,583,208			—			—			815,583,208
TOTAL MUTUAL FUNDS		815,583,208			—			—			815,583,208
Short-Term Investments		1,369,889			—			—			1,369,889
Total Investments		877,790,177			110,428,220			0	§		988,218,397
Derivatives^
Swap Contracts
Equity Risk		—			1,032			—			1,032
Total	$	877,790,177		$	110,429,252		$	0	§	$	988,219,429
Liability Valuation Inputs
Common Stocks
Brazil	$	(324,000	)	$	—		$	—		$	(324,000	)
Canada		(494,512	)		—			—			(494,512	)
France		—			(358,756	)		—			(358,756	)
Germany		—			(1,299,312	)		—			(1,299,312	)
Israel		(18,912	)		—			—			(18,912	)
Italy		—			(99,908	)		—			(99,908	)
Japan		—			(1,238,764	)		—			(1,238,764	)
Netherlands		—			(32,831	)		—			(32,831	)
Portugal		—			(100,484	)		—			(100,484	)
Spain		—			(624,328	)		—			(624,328	)
Switzerland		—			(781,454	)		—			(781,454	)
United Kingdom		—			(492,879	)		—			(492,879	)
United States		(13,135,872	)		—			—			(13,135,872	)
TOTAL COMMON STOCKS		(13,973,296	)		(5,028,716	)		—			(19,002,012	)
Derivatives^
Swap Contracts
Equity Risk		—			(38,839	)		—			(38,839	)
Total	$	(13,973,296	)	$	(5,067,555	)	$	—		$	(19,040,851	)

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), in the case of forward currency contracts, 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. Excludes purchased options and rights/warrants, if any, which are included in investments.

§ Represents the interest in securities that were determined to have a value of zero at November 30, 2018.

The underlying funds held at period end are classified above as Level 1. Certain underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds’ portfolio valuation notes which are available on the Securities and Exchange Commission’s website at www.sec.gov or on GMO’s website at www.gmo.com.

For all Funds for the period ended November 30, 2018, there were no significant transfers between Level 1 and Level 2.

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). Other than Funds with investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor), there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at November 30, 2018.

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, 2018		Purchases		Sales			Accrued Discounts/ Premiums			Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3†			Transfer out of Level 3†			Balances as of November 30, 2018		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2018
Alpha Only Fund
Common Stocks
Taiwan	$	—	$	46,212	$	(20,093	)	$	—		$	377		$	(1,488	)	$	—		$	—		$	25,008	$	(1,488	)
Rights/Warrants
Brazil		5,671		—		0			—			0			(5,671	)		—			—			—		—
Total Investments	$	5,671	$	46,212	$	(20,093	)	$	—		$	377		$	(7,159	)	$	0		$	—		$	25,008	$	(1,488	)
Benchmark-Free Fund
Common Stocks
Taiwan	$	—	$	—	$	—		$	—		$	—		$	—		$	337,609	‡	$	—		$	337,609	$	—
Rights/Warrants
Brazil		113,625		—		0			—			0			(113,625	)		—			—			—		—
Total Investments	$	113,625	$	—	$	0		$	—		$	0		$	(113,625	)	$	337,609		$	—		$	337,609	$	—
Consolidated Implementation Fund
Common Stocks
Taiwan	$	—	$	—	$	—		$	—		$	—		$	—		$	4,399,335	‡	$	—		$	4,399,335	$	—
United Kingdom		0		—		0			—			(235,198	)		235,198			—			—			—		—
United States		—		5,254,767		—			—			—			(2,683,310	)		—			—			2,571,457		(2,683,310	)
Rights/ Warrants
Brazil		203,741		—		0			—			0			(203,741	)		—			—			—		—
Canada		217,232		—		—			—			—			(115,715	)					(101,517	)‡		—		—
United States		48,966		—		(6,111	)		—			(105,144	)		193,129			—			—			130,840		104,672
Debt Obligations
Bank Loans
Luxembourg		—		8,288,900		(38,592	)		40,765			1,076			(363,597	)		—			—			7,928,552		(363,597	)
Spain		6,460,857		1,039,639		(5,432,301	)		(11,223	)		(131,011	)		(92,119	)		—			—			1,833,842		46,070
United States		24,534,800		38,645,550		(12,168,525	)		258,395			105,391			(1,761,976	)		—			—			49,613,635		(1,487,265	)
Corporate Debt																										—
Brazil		30,260,306		—		(27,088,798	)		5,152,097			(17,181,152	)		8,857,547			—			—			—		—
Spain		2,788,545		108,994		(1,292,833	)		(5,893	)		(24,692	)		(62,427	)		—			—			1,511,694		(62,427	)
United States		1,269,450		1,694,560		(795,245	)		44,174			39,203			(47,313	)		3,917,558	‡		(2,204,830	)‡		3,917,557		0	§
Total Investments	$	65,783,897	$	55,032,410	$	(46,822,405	)	$	5,478,315		$	(17,531,527	)	$	3,955,676		$	8,316,893		$	(2,306,347	)	$	71,906,912	$	(4,445,857	)
Purchased Options
United States	$	—	$	849,684	$	(409,995	)	$	—		$	(200,032	)	$	(226,392	)	$	—		$	—		$	13,265	$	(226,392	)
Total Investments	$	65,783,897	$	55,882,094	$	(47,232,400	)	$	5,478,315		$	(17,731,559	)	$	3,729,284		$	8,316,893		$	(2,306,347	)	$	71,920,177	$	(4,672,249	)
Consolidated Special Opportunities Fund
Common Stocks
Canada	$	70,137	$	—	$	—		$	—		$	—		$	(24,978	)	$	—		$	—		$	45,159	$	(24,978	)
Total Investments	$	70,137	$	—	$	—		$	—		$	—		$	(24,978	)	$	—		$	—		$	45,159	$	(24,978	)

† 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 levels were due to a change in observable and/or unobservable inputs.

§ Represents the interest in securities that were determined to have a value of zero at November 30, 2018.

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 Eastern 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 assignments and participations

Certain Funds may invest in direct debt instruments, which are interests in amounts owed to lenders or lending syndicates, to suppliers of goods or services, or to other parties by corporate, governmental or other borrower. Such “loans” may include bank loans, promissory notes, and loan participations, or in the case of suppliers of goods or services, trade claims or other receivables. 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. Unless, under the terms of the loan or other indebtedness a Fund has direct recourse against the borrower, it may have to rely on the agent to enforce its rights against the borrower. 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. Loan assignments and participations 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 with banks and brokers. Under a repurchase agreement a Fund acquires a security for a relatively short period 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 may be less than the amount owed to the Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency proceedings and 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 each applicable Fund’s Schedule of Investments.

Reverse repurchase agreements

The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. 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 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 each applicable Fund’s Schedule of Investments.

Inflation-indexed bonds

Certain 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/deflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation/deflation into the principal value of the bond. Many other issuers adjust the coupon accruals for inflation related changes.

The market price of inflation-indexed bonds normally changes when real interest rates change. 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. Coupon payments received by a Fund from inflation-indexed bonds are generally included in the Fund’s gross income for the period in which they accrue. In addition, any increase/decrease in the principal amount of an inflation-indexed bond is generally included in the Fund’s gross income 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.

Short sales

Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the interest payable on

such securities, if any, are reflected as a liability. A Fund is obligated to deliver securities at the trade price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Short sales outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Some Funds may loan their portfolio securities through an “enhanced custody” program offered by the Funds’ custodian to facilitate the borrowing of securities for the Funds’ short sales. Under the program, a Fund borrows securities from the custodian and sells short those borrowed securities. The Fund may utilize various ways of collateralizing its obligation to return the borrowed securities, including by pledging securities held in the Fund’s custodial account to the custodian, or by lending securities held in the Fund’s custodial account to the custodian. The loans will be secured by collateral from the custodian equal at all times to at least 100% of the market value of the loaned securities. For its participation in the enhanced custody program, the Fund will pay the custodian a securities borrow fee and a financing charge. The following table provides the value of securities on loan under this program as of November 30, 2018:

Fund Name	Value of securities on loan ($)
Benchmark-Free Fund		31,790,363
Implementation Fund		104,272,548
Strategic Opportunities Allocation Fund		17,458,952

Municipal obligations

Municipal obligations are issued by or on behalf of states, territories and possessions of the United States and their political subdivisions, agencies and instrumentalities and the District of Columbia to obtain funds for various public purposes. Municipal notes are generally used to provide for short-term capital needs, such as to finance working capital needs of municipalities or to provide various interim or construction financing, and generally have maturities of one year or less. Municipal bonds, which meet longer-term capital needs and generally have maturities of more than one year when issued, have two principal classifications: “general obligation” bonds and “revenue” bonds. Issuers of general obligation bonds include states, counties, cities, towns and regional districts. The basic security behind general obligation bonds is the issuer’s pledge of its full faith, credit, and taxing power for the payment of principal and interest. Revenue bonds have been issued to fund a wide variety of capital projects. The principal security for a revenue bond is generally the net revenues derived from a particular facility or group of facilities or, in some cases, from the proceeds of a special excise or other specific revenue source. Although the principal security behind these bonds varies widely, many provide additional security in the form of a debt service reserve fund whose monies also may be used to make principal and interest payments on the issuer’s obligations. Municipal obligations at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Trade claims

Certain Funds may purchase trade claims against companies, including companies in bankruptcy or reorganization proceedings. Trade claims generally include claims of suppliers for goods delivered and not paid, claims for unpaid services rendered, claims for contract rejection damages and claims related to litigation. Trade claims are illiquid instruments which generally do not pay interest and there can be no guarantee that the debtor will ever be able to satisfy the obligation on the trade claim. Such claims are typically unsecured and may be subordinated to other unsecured obligations of a debtor, and generally are subject to defenses of the debtor with respect to the underlying transaction giving rise to the trade claim. Trade claims 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

Benchmark- Free Allocation Fund

Benchmark- Free Fund

Global Asset Allocation Fund

Global Developed Equity Allocation Fund

Global Equity Allocation Fund

Implementation Fund

International Developed Equity Allocation Fund

International Equity Allocation Fund

SGM Major Markets Fund

Special Opportunities Fund

Strategic Opportunities Allocation Fund

Commodities Risk

X

X

X

X

X

X

X

Counterparty 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

Currency Risk

X

X

X

X

X

X

X

X

X

X

X

X

Derivatives and Short Sales 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

X

Fund of Funds Risk

X

X

X

X

X

X

X

X

X

X

X

X

Futures Contracts Risk

X

X

X

X

X

Illiquidity 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

Leveraging 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

Market Disruption and Geopolitical Risk

X

X

X

X

X

X

X

X

X

X

X

X

Market Risk– Asset-Backed Securities

X

X

X

X

X

X

X

Market Risk– Equities

X

X

X

X

X

X

X

X

X

X

X

X

Market Risk– Fixed Income

X

X

X

X

X

X

X

X

X

X

X

X

Merger Arbitrage Risk

X

X

X

X

Non-Diversified Funds

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

Small Company Risk

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 GMO 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, other investment companies or in a wholly-owned subsidiary (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. 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 Underlying Funds.

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.

• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner. The value of commodity-related derivatives or indirect investments in commodities may fluctuate more than the commodity, commodities or commodity index to which they relate. See “Derivatives and Short Sales Risk” for a discussion of specific risks of a Fund’s derivatives investments, including commodity-related derivatives.

• 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 be forced to hold investments it would prefer to sell, resulting in losses for the Fund. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws, regulations or other requirements. The Funds are not subject to any limit on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments in which financial services firms are exposed (as they were in 2008) 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 (whether or not the obligation is collateralized), 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 during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms 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 posted promptly as required. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean that a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty). Counterparty risk also will be greater if a counterparty’s obligations exceed the value of the collateral held by the Fund (if any).

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 has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” 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. 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. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations or realization on collateral, could be stayed or eliminated under new special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, in the European Union, governmental authorities could reduce, eliminate, or convert to equity the liabilities to the Funds of a counterparty experiencing financial difficulties (sometimes referred to as a “bail in”).

• 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 (and/or in anticipation) of the issuer’s, guarantor’s, or obligor’s failure to meet its payment obligations, or a downgrading of the credit rating of the investment. This risk is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Fixed income investments also are subject to illiquidity risk. See “Illiquidity Risk.”

All fixed income investments 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, a government or government entity, 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 term of a fixed income investment. 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 or quasi-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 ability and willingness 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. 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 many cases, the credit risk and market price of a fixed income investment are reflected in its credit ratings, and a Fund holding a rated investment is subject to the risk that the investment’s rating will be downgraded, resulting in a decrease in the market price of the fixed income investment.

Securities issued by the U.S. government historically have presented minimal credit risk. However, events in 2011 led several major rating agencies to downgrade the long-term credit rating of U.S. bonds and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest on U.S. government securities would decrease, the market price of a Fund’s investments and increase the volatility of a Fund’s portfolio.

As described under “Market Risk — Asset-Backed Securities,” 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 under “Market Risk — Asset-Backed Securities.”

The obligations of issuers also may be 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 and Short Sales Risk” for more information regarding risks associated with the use of credit default swaps.

The extent to which the market price of a fixed income investment changes in response to a credit event depends on many factors and can be difficult to predict. For example, even though the effective duration of a long-term floating rate security is very short, an adverse credit event or change in the perceived creditworthiness of its issuer could cause its market price to decline much more than its effective duration would suggest.

Credit risk is particularly pronounced for below investment grade investments (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 investments have speculative characteristics, often are less liquid than higher quality investments, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. Investments in distressed or defaulted or other low quality debt investments generally are considered speculative and may involve substantial risks not normally associated with investments in higher quality investments, including adverse business, financial or economic conditions that lead to payment defaults and insolvency proceedings on the part of their issuers. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer does not make any interest or other payments and a Fund incurs additional expenses in seeking recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt investment proves incorrect, a Fund may lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of a default of sovereign debt, the Funds may be unable to pursue legal action against the issuer.

• 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 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. 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 on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk.”

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

Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars or may only be able to do so at an unfavorable exchange rate. Exchange rates for many currencies are affected by exchange control regulations.

Derivative transactions in foreign currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described 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”).

• DERIVATIVES AND SHORT SALES 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, such as securities, commodities or currencies, reference rates, such as interest rates, currency exchange rates, inflation rates, or indices. Derivatives involve the risk that their value may not change as expected relative to changes in the value of the assets, rates, or indices they are designed to track. Derivatives include, but are not limited to, futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other OTC contracts.

The use of derivatives involves risks that are potentially greater than, the risks of investing directly in securities. 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, or the position transferred, only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still 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 the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments GMO believes are owed to the Fund under an OTC derivatives contract, or those payments may be delayed or made only after the Fund has incurred the cost of litigation.

A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign 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 fundamental fair (or 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 a greater risk of not being able to recover what it is owed if the counterparty defaults. Derivatives also present other risks described in this section, including market risk, illiquidity 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, inaccurate valuations may result in increased cash payments to counterparties, under-collateralization 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 cost 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.

Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk”) and counterparty risk (see “Counterparty Risk”). These derivatives also are subject to documentation risk, which is the risk that ambiguities, inconsistencies or errors in the documentation relating to a derivative transaction may lead to a dispute with the counterparty or unintended investment results. In addition, see “Commodities Risk” for a discussion of risks specific to commodity-related derivatives. 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.”

A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders. In addition, the tax treatment of a Fund’s use of derivatives will sometimes be unclear.

The Securities and Exchange Commission has proposed a rule under the Investment Company Act of 1940, as amended (the “1940 Act”), regulating the use by registered investment companies of derivatives and many related instruments. That rule, if adopted as proposed, would, among other things, restrict a Fund’s ability to engage in derivatives transactions or so increase the cost of derivatives transactions that a Fund would be unable to implement its investment strategy.

Derivatives Regulation. The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) have adopted

similar requirements, which affect a Fund when it enters into a derivatives transaction with a counterparty subject to those requirements. Because these U.S. and European Union requirements are new and evolving (and some of the rules are not yet final), their impact on the Funds remains unclear.

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 hold cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Funds 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 some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements, for example, by requiring that funds provide more margin for their cleared derivatives positions. Also, as a general matter, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivatives position or an increase in the margin required at the outset of a transaction. Clearing houses also have broad rights to increase the margin required for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions 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 margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member (see “Counterparty Risk”). Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that GMO 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 position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and 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 the documentation for typical bilateral derivatives. 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. Also, such documentation typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks may be more pronounced for cleared derivatives due to their more limited liquidity and market history.

Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may be required to indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility.

If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), the Fund may be unable to execute all components of the package on the swap execution facility. In that case, the Fund would need to trade some components of the package on the swap execution facility and other components in another manner, which could subject the Fund to the risk that some components would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.

The U.S. government and the European Union have adopted mandatory minimum margin requirements for bilateral derivatives. New variation margin requirements became effective in March 2017 and new initial margin requirements will become effective in 2020. Such requirements could increase the amount of margin a Fund needs to provide in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.

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 or otherwise limiting liquidity. The implementation of the clearing requirement has increased the cost of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they historically posted for bilateral derivatives. The cost of derivatives transactions is expected to increase further as clearing members raise their fees to cover the cost of additional capital requirements and other regulatory changes applicable to the

clearing members. These rules and regulations are new and evolving, and, therefore, their potential impact on the Funds and the financial system are not yet known. While the new rules and 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 they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.

Options. Some Funds are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights any time before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk 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 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, GMO, and other funds advised by GMO likely constitute such a group. When applicable, these limits 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.

Special tax rules apply to a Fund’s transactions in options, which could increase the taxes payable by shareholders subject to U.S. income taxation. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s distributions to be taxable at ordinary income tax rates. See the Funds’ Prospectus and Statement of Additional Information for more information.

Short Investment Exposure. Some Funds may sell securities or currencies short as part of their investment programs in an attempt to increase their returns or for hedging purposes. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange a security or currency to replace the borrowed security or currency when the security or currency sold short has appreciated in value, thus resulting in a loss to the Fund. Purchasing a security or currency to close out a short position can itself cause the price of the security or currency to rise further, thereby exacerbating any losses. A Fund that sells short a security or currency it does not own typically pays borrowing fees to a broker and is required to pay the broker any dividends or interest it receives on a borrowed security.

A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index.

Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A 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 or takes “short” derivative positions.

• FOCUSED INVESTMENT RISK. Funds with investments that are focused in a limited number of asset classes, sectors, industries, issuers, currencies, countries, or regions (or in sectors within a country or region) that are subject to the same or similar risk factors and funds with investments whose prices are closely correlated are subject to greater overall risk than funds with investments that are more diversified or whose prices are not as closely correlated.

A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of those issuers’ securities than Funds investing in the securities of a larger number of issuers. 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 (or related) to a particular geographic region, country or market (e.g., emerging markets), or to sectors within a region, country, or market (e.g., Russian oil) have more exposure to regional and country economic risks than funds making 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 the value of the currency of 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.”

• FUND OF FUNDS RISK. Funds that invest in Underlying Funds (including underlying GMO Funds) or in a wholly-owned subsidiary of a GMO Fund are exposed to the risk that the Underlying Funds or wholly-owned subsidiary will not perform as expected. The Funds also are indirectly exposed to all of the risks to which the Underlying Funds or a wholly-owned subsidiary are exposed.

Absent reimbursement, a Fund bears the fees and expenses of an Underlying Fund (including purchase premiums and redemption fees, if any) and the expenses of a wholly-owned subsidiary in which it invests, and may incur additional expenses when investing in an Underlying Fund or wholly-owned subsidiary. 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.

Because some underlying GMO 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 mutual fund groups and therefore may be subject to greater fund of funds risk. In addition, to the extent a Fund invests in shares of underlying GMO Funds, it is indirectly subject to Large Shareholder Risk when an underlying GMO Fund has large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk.”

At any particular time, one Underlying Fund may be purchasing securities of an issuer whose securities are being sold by another Underlying Fund, resulting in a Fund that holds each Underlying Fund indirectly incurring the costs associated with the two transactions without changing its exposure to those securities.

Investments in exchange-traded funds (“ETFs”) involve the risk that an ETF’s performance may not track the performance of the index it is designed to track. In addition, ETFs often use derivatives to track the performance of an index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed in “Derivatives and Short Sales Risk.” ETFs are investment companies that typically hold a portfolio of securities designed to track the price, performance, and dividend yield of a particular securities market index (or sector of an index). As investment companies, ETFs incur their own management and other fees and expenses, such as trustee fees, operating expenses, registration fees, and marketing expenses, and a Fund that invests in ETFs will bear a proportionate share of such fees and expenses. As a result, an investment by a Fund in an ETF could lead to higher operating expenses and lower returns than if the Fund were to invest directly in the securities underlying the ETF.

A Fund’s investments in one or more Underlying Funds or a wholly-owned subsidiary could affect the amount, timing and character of its distributions and could cause the Fund to recognize taxable income in excess of the cash generated by such investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.

• FUTURES CONTRACTS RISK. The risk of loss to a Fund resulting from its use of futures contracts (or “futures”) is potentially unlimited. Futures markets are highly volatile, and the use of futures contracts may increase the volatility of the Fund’s net asset value. A Fund’s ability to establish and close out positions in futures contracts is subject to the development and maintenance of a liquid secondary market. A liquid secondary market may not exist for any particular futures contract at any particular time, and a Fund might be unable to effect closing transactions to terminate its exposure to the contract. In using futures contracts, a Fund relies on GMO’s ability to predict market and price movements correctly. The skills needed to use futures contracts successfully are different from those needed for traditional portfolio management. If a Fund uses futures contracts for hedging purposes, it runs the risk that changes in the prices of the contracts will not correlate perfectly with changes in the securities, index, or other asset underlying the contracts or movements in the prices of the Fund’s investments that are the subject of the hedge.

A Fund typically will be required to post margin with its futures commission merchant in connection with its positions in futures contracts. If the Fund has insufficient cash to meet margin requirements, the Fund may have to sell other investments at disadvantageous times. A Fund may be unable to reenter or may be delayed in recovering margin or other amounts deposited with a futures commission merchant or futures clearinghouse. For example, should the futures commission merchant become insolvent, a Fund may be unable to recover all (or any) of the margin it has deposited or realize the value of any increase in the price of its positions.

The Commodity Futures Trading Commission (the “CFTC”) and the various exchanges have established limits (referred to as “speculative position limits”) on the maximum net long or net short positions that any person and certain of its affiliated entities may hold or control in a particular futures contract. In addition, an exchange may impose trading limits on the number of contracts a person may trade on a particular day. An exchange may order the liquidation of positions found to be in violation of these limits, and it may impose sanctions or restrictions. In addition, the Dodd-Frank Wall Street Reform and Consumer Protection Act requires the CFTC to establish speculative position limits on listed futures and economically equivalent OTC derivatives, and those limits may adversely affect the market liquidity of those futures and derivatives. As a result of such limits, positions held by other GMO clients or by GMO or its affiliates may prevent GMO from taking positions on behalf of a Fund in a particular futures contract or OTC derivative.

Futures contracts traded on markets outside the United States generally are not subject to regulation by the CFTC or other U.S. regulators. U.S. regulators neither regulate the activities of a foreign exchange nor have the power to compel enforcement of the rules

of a foreign exchange or the laws of the country where the exchange is located. Margin and other payments made by a Fund in foreign countries may not have the same protections as payments in the United States. In addition, foreign futures contracts may be less liquid and more volatile than U.S. contracts.

• ILLIQUIDITY RISK. Illiquidity 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, delays or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity 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). To the extent a Fund’s investments include asset-backed securities, distressed, defaulted or other low quality debt securities, emerging country debt or equity securities, securities of companies with smaller market capitalizations or smaller total float adjusted market capitalizations, or emerging market securities, it is subject to increased illiquidity risk. 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 price at which they were valued when held by the Fund. Illiquidity risk also may be greater in times of financial stress. For example, Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”) have experienced periods of greatly reduced liquidity during disruptions in fixed income markets, 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.

A Fund may buy securities or other investments that are less liquid than those in its benchmark. The more illiquid investments a Fund has, the greater the likelihood of its paying redemption proceeds in-kind.

Historically, the credit markets have experienced periods characterized by a significant lack of liquidity, and they may experience similar periods in the future. A lack of liquidity could require a Fund to sell securities to satisfy collateral posting requirements and meet redemptions, which could, in turn, create downward price pressure on the securities being sold.

A Fund’s, and particularly Risk Premium Fund’s, ability to use options as part of its investment program depends on the liquidity of the options market. That market may not be liquid when a Fund seeks to close out an option position, and the hours of trading for options on an exchange may not conform to the hours during which the underlying securities 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 those securities that are not immediately reflected in the options markets. If a Fund receives a redemption request and is unable to close out an option it has sold, the Fund may temporarily be leveraged in relation to its assets.

• LARGE SHAREHOLDER RISK. To the extent 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 by forcing the Fund to sell portfolio securities, potentially at disadvantageous prices, to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the outstanding shares of many Funds, and asset allocation decisions by GMO 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 when it would not have otherwise done so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for Fund shareholders. Further, from time to time a Fund may trade in anticipation of a purchase or redemption order that ultimately is not received or differs in size from the actual order, leading to temporary underexposure or overexposure to the Fund’s intended investment program. In addition, redemptions and purchases of shares by a large shareholder or group of shareholders could limit the use of any capital loss carryforwards to offset future realized capital gains (if any) and other losses that would otherwise reduce distributable net investment income. In addition, large shareholders may limit or prevent a Fund’s use of equalization for U.S. federal tax purposes.

To the extent a Fund invests in other GMO Funds subject to large shareholder risk, the Fund is indirectly subject to this risk.

• LEVERAGING RISK. The use of traditional borrowing (including to meet redemption requests), 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, similar to short sales, have the potential for unlimited loss, regardless of the size of the initial investment. Similarly, a Fund’s portfolio will be leveraged and can incur losses if the value of the Fund’s assets declines between the time a redemption request is received or deemed to be received by a Fund (which in some cases may be the business day prior to actual receipt of the transaction activity by the Fund) and the time at which the Fund liquidates assets to meet redemption requests. Such a decline in the value of a Fund’s assets is more likely in the case of Funds managed from GMO’s non-U.S. offices for which the time period between the NAV determination and corresponding liquidation of assets could be longer due to time zone

differences and market schedules. In the case of redemptions representing a significant portion of a Fund’s portfolio, the leverage effects described above can be significant and could expose a Fund and non-redeeming shareholders to material losses.

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.

Some Funds are permitted to purchase securities on margin or to sell securities short, either of which creates leverage. To the extent the market prices of securities pledged to counterparties to secure a Fund’s margin account or short sale decline, the Fund may be required to deposit additional funds with the counterparty to avoid having the pledged securities liquidated to compensate for the decline.

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

For many Funds, GMO uses quantitative models as part of its investment process. GMO’s models may not accurately predict future market movements, or characteristics. In addition, they are based on assumptions that can limit their effectiveness, and they rely on data that is subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. The Funds also run the risk that GMO’s assessment of an investment (including a security’s fundamental fair (or intrinsic) value) is wrong.

GMO relies heavily on quantitative models in making investment decisions for SGM Major Markets Fund. The usefulness of GMO’s models may be diminished by the faulty incorporation of mathematical models into computer code, by reliance on proprietary and third-party technology that includes errors, omissions, bugs, or viruses, and by the retrieval of limited or imperfect data for processing by the model. These risks are present in the ordinary course of business and are more likely to occur when GMO is making changes to its models. Any of these risks could adversely affect a Fund’s performance.

There can be no assurance that key GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’s ability to achieve the Funds’ investment objectives.

The Funds also are subject to a risk of loss resulting from other services provided by GMO 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 could prevent a Fund from benefiting from investment gains or avoiding losses. In addition, a service provider may be unable to provide a net asset value (“NAV”) for a Fund or share class on a timely basis. GMO is not contractually liable to the Funds for losses associated with operational risk absent its 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 contractual limitations on their liability to the Funds for losses resulting from their errors.

The Funds and their service providers (including GMO) are susceptible to cyber-attacks and to technological malfunctions that may have effects similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and disrupting operations. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release or misappropriation of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, and additional compliance costs. The Funds’ service providers regularly experience cyber-attacks and expect they will continue to do so. While GMO has established business continuity plans and systems designed to prevent, detect and respond to cyber-attacks, those plans and systems have inherent limitations. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could have material adverse consequences for those issuers and result in a decline in the market price of their securities. Furthermore, as a result of cyber-attacks, technological disruptions, malfunctions, or failures, an exchange or market may close or suspend trading in specific securities or the entire market, which could prevent the Funds from, among other things, buying or selling securities or accurately pricing their investments. The Funds cannot directly control cyber security plans and systems of their service providers, the Funds’ counterparties, issuers of securities in which the Funds invest, or securities markets and exchanges.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby reducing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or in other economic inputs (e.g., the marked decline in oil prices that began in late 2014) may have material and unexpected effects on both global securities markets and individual countries, regions, sectors, companies, or industries. Terrorism in the United States and around the world 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 or other fraudulent trading practices, which could disrupt their orderly functioning or reduce the prices of securities traded on them, including securities held by the Funds. Fraud and other deceptive practices committed by an issuer of securities held by a Fund undermine GMO’s due diligence efforts and, when discovered, will likely cause a steep decline in the market price of those securities and thus negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively affect a Fund’s investment program as well as the rates or indices underlying a Fund’s investments.

While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce the value of the Funds’ investments. Similarly, political events within the United States have resulted, and may in the future result, in a shutdown of government services, which could adversely affect the U.S. economy, reduce the value of many Fund investments, and impair the operation of the U.S. or other securities markets. Uncertainty over the sovereign debt of several European Union countries, as well as uncertainty over the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the United States and around the world. If a country changes its currency or if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. In June 2016, the United Kingdom approved a referendum to leave the European Union (commonly known as “Brexit”) and in March 2017, the United Kingdom commenced the formal process of withdrawing from the European Union. Brexit has resulted in volatility in European and global markets and could have negative long-term impacts on financial markets in the United Kingdom and throughout Europe. Considerable uncertainty exists over the potential consequences and precise timeframe for Brexit, how it will be conducted, how negotiations of trade agreements will proceed, and how the financial markets will react, and as this process unfolds markets may be further disrupted. The consequences of the United Kingdom’s or another country’s exit from the European Union also could threaten the stability of the euro for remaining countries and could negatively affect the financial markets of other countries in the European region and beyond. War, terrorism, economic uncertainty, and related geopolitical events, such as sanctions, tariffs, the imposition of exchange controls or other cross-border trade barriers, 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 market price 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 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 a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.

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

Asset-Backed Securities — Investments in asset-backed securities not only are subject to all of the market risks described under “Market Risk – Fixed Income,” but to other market risks as well.

Asset-backed securities are often exposed to greater risk of severe credit downgrades, illiquidity, and defaults than many other types of fixed income investments. These risks become particularly acute during periods of adverse market conditions, such as those that occurred in 2008.

As described under “Market Risk — Fixed Income” the market price of asset-backed securities, like that of other fixed income investments with complex structures, can decline for a variety of reasons, 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., the amount of underlying assets or other support available 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 performance of other service providers with access to the payment stream. A problem in any of these factors can lead to a reduction in the payment stream GMO expected a Fund to receive when the Fund purchased the asset-backed security. Principal repayments of asset-backed securities are at risk if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities have. Asset-backed securities backed by sub-prime mortgage loans, in particular, expose a Fund to potentially greater declines in value due to defaults because sub-prime mortgage loans are typically made to less creditworthy borrowers and thus have a higher risk of default than conventional mortgage loans. The issuance 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” for more information about credit risk.

When worldwide economic and liquidity conditions deteriorated 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 asset-backed (as well as others) fixed income securities. These events reduced liquidity and contributed to substantial declines in the market prices of asset-backed (and other) fixed income securities and 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 depends in part 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 documentation for underlying assets also can affect the rights of holders of those underlying assets. The insolvency of a servicer is likely to result in a decline in the market price of the securities it is servicing, 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, the obligations underlying asset-backed securities may be repaid more slowly than anticipated, and the market price of those securities may decrease.

The existence of insurance on an asset-backed security does not guarantee that the principal and interest will be paid because the insurer could default on its obligations.

The risk of investing in asset-backed securities has increased since 2008 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” for more information about risks of investing in correlated sectors. A single financial institution may serve as a servicer for many asset-backed securities. As a result, a disruption in that institution’s business may have a material impact on the many asset-backed securities it services.

Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as poor performance by the issuer’s management or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may result from 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. The market prices of equities are volatile and can decline in a rapid or unpredictable manner. If a Fund purchases an equity for what GMO believes is less than its fundamental fair (or intrinsic) value, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment. 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.

To the extent a Fund invests in GMO Risk Premium Fund (“Risk Premium Fund”), the Fund is exposed to Risk Premium Fund’s market risk with respect to equities. Because of Risk Premium Fund’s emphasis on writing put options on stock indices, GMO expects the Fund’s net asset value to decline 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 relative to those indices when the markets associated with those indices rise sharply because of the Fund’s lack of exposure to the upside of those markets.

Fixed Income — Funds that invest in fixed income investments (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 market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity due to market 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 uncertainty about their credit quality and the reliability of their payment streams. Some fixed income investments 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 investment. When interest rates rise, fixed income investments also may be repaid more slowly than anticipated, causing a decrease in their market price. During periods of economic uncertainty and change, the market price of a Fund’s investments in below investment grade investments (commonly referred to as “junk bonds”) may be particularly volatile. Often below investment grade investments are subject to greater sensitivity to interest rate and economic changes than higher rated investments and can be more difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. See “Credit Risk” and “Illiquidity Risk” for more information about these risks.

A risk run by each Fund with significant investment in fixed income investments 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 investments with longer durations. In addition, in managing some Funds,

GMO may seek to evaluate potential investments in part by considering the volatility of interest rates. The value of a Fund’s investments may be significantly reduced if GMO’s assessment proves incorrect.

The extent to which the market price of a fixed income investment 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 its fixed rate is locked in for a longer period of time. Floating-rate or adjustable-rate investments 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 investments have durations that move in the opposite direction from short-term interest rates and thus tend to underperform fixed rate investments when interest rates rise but outperform them when interest rates decline. Fixed income investments paying no interest, such as zero coupon and principal-only securities, are subject to additional interest rate risk.

The market price of inflation-indexed bonds (including TIPS) typically declines during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increases during periods of declining real 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.

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 GMO waives or reduces its management fees.

Fixed income securities denominated in foreign currencies also are subject to currency risk. See “Currency Risk.”

In response to government intervention, economic or market developments, or other factors, markets for fixed income investments may experience periods of high volatility, reduced liquidity or both. During those periods, a Fund could have unusually high shareholder redemptions, requiring it to generate cash by selling portfolio assets when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value during such periods. In recent years, central banks and governmental financial regulators, including the U.S. Federal Reserve, have kept interest rates historically low by purchasing bonds. However, the U.S. Federal Reserve recently has increased interest rates and continued economic recovery, and the Federal Reserve’s conclusion of its quantitative easing program increase the likelihood that interest rates will increase in the United States and throughout the financial system. A substantial increase in interest rates could have an adverse effect on prices for fixed income investments and on the performance of the Funds. Other actions by central banks or regulators (such as intervention in foreign currency markets or currency controls) also could have a material adverse effect on the Funds.

• MERGER ARBITRAGE RISK. Some Funds engage in transactions in which the Fund purchases securities at prices below the value of the consideration GMO expects the Fund to receive upon consummation of a proposed merger, exchange offer, tender offer, or other similar transaction (“merger arbitrage transactions”). The purchase price paid by the Fund may substantially exceed the market price of the securities before the announcement of the transaction.

If a Fund engages in merger arbitrage and the merger later appears unlikely to be consummated or, in fact, is not consummated or is delayed, the market price of the securities purchased by the Fund is likely to decline sharply, resulting in losses to the Fund. The risk/reward payout of merger arbitrage strategies typically is asymmetric, with the losses in failed transactions often far exceeding the gains in successful transactions. A proposed merger can fail to be consummated for many reasons, including regulatory and antitrust restrictions, industry weakness, company specific events, failed financings, and general market declines.

Merger arbitrage strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated. A Fund’s investments in derivatives or short sales of securities to hedge or otherwise adjust long or short investment exposure in connection with a merger arbitrage may not perform as GMO expected or may otherwise reduce the Fund’s gains or increase its losses. Also, a Fund may be unable to hedge against market fluctuations or other risks. In addition, a Fund may sell securities short when GMO expects the Fund to receive the securities upon consummation of a transaction; if the Fund does not actually receive the securities, the Fund will have an unintended “naked” short position and may be required to cover its short position at a time when the securities sold short have appreciated in value, thus resulting in a loss. A Fund’s merger arbitrage transactions could result in tax inefficiencies, including larger distributions of net investment income and net realized capital gains than otherwise would be the case.

• 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 relatively few issuers. As a result, they may be subject to greater credit, market and other risks than if their investments were more diversified, and poor performance by a single investment may have a greater impact on their performance.

The following Funds are not diversified investment companies within the meaning of the 1940 Act:

• Alpha Only Fund

• Implementation Fund

• SGM Major Markets Fund

• Special Opportunities Fund

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 GMO Funds that are not diversified.

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. Many non-U.S. securities markets include securities of only a small number of companies in a small number of industries. As a result, the market prices of securities traded on those markets often fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to as much regulation as U.S. issuers, and the reporting, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes, and custodial costs. In addition, some countries limit a Fund’s ability to profit from short-term trading (as defined in that country).

A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no benefit. In addition, a Fund’s pursuit of a tax refund may subject it to administrative and judicial proceedings in the country where it is seeking the refund. A Fund’s decision to seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if it is entitled to one. The outcome of a Fund’s efforts to obtain a refund is inherently unpredictable. Accordingly, a refund is not typically reflected in a Fund’s net asset value until it is received or until GMO is confident that it will be received. In some cases, the amount of a refund could be material to a Fund’s net asset value. Generally, absent a determination that a refund is collectible and free from significant contingencies, a refund is not reflected in a Fund’s net asset value. See “Taxes, Non-U.S. Taxes” in the GMO Trust Statement of Additional Information for additional information. For information on possible special Australian tax consequences of an investment in the Funds, see the Funds’ Prospectus and Statement of Additional Information.

Investing in non-U.S. securities also exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, government involvement in every country, including the U.S., or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises), 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, including the imposition of economic sanctions.

In some non-U.S. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities 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 United States. Fluctuations in currency exchange rates also affect the market prices of a Fund’s non-U.S. securities (see “Currency Risk”).

The Funds need a license to invest directly in securities traded in many non-U.S. securities 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 to invest in a particular market is terminated or suspended, to obtain exposure to that 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 GMO’s clients may preclude a Fund from obtaining a similar license. In addition, the activities of a GMO client could cause the suspension or revocation of a Fund’s license.

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 issuer assets; greater governmental involvement in the economy or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises); less governmental supervision and regulation of securities markets and participants in those markets; controls on 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; less rigorous auditing and financial reporting standards and resulting unavailability of material information about issuers; slower clearance and settlement; difficulties in obtaining and enforcing legal judgments; and significantly smaller market capitalizations of issuers. In addition, the economies of

emerging countries may depend predominantly on only a few industries or revenues from particular commodities and often are more volatile than the economies of developed countries.

• SMALL COMPANY RISK. Companies with smaller market capitalizations tend to have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers and depend on fewer key employees than larger companies. 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. Market risk and illiquidity risk are particularly pronounced for the securities of these companies.

Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and are taken in response to adverse market, economic, political, or other conditions.

Benchmark-Free Allocation Fund, Benchmark-Free Fund and Implementation Fund may take temporary defensive positions if deemed prudent by GMO.

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

During the period ended November 30, 2018, only Alpha Only Fund, Benchmark-Free Fund, Implementation Fund, SGM Major Markets Fund, Special Opportunities Fund and Strategic Opportunities Allocation Fund held derivative financial instruments directly. For a listing of derivative financial instruments, if any, held by the underlying funds, please refer to the underlying funds’ Schedule of Investments. The derivative information provided below only pertains to direct investments made by Alpha Only Fund, Benchmark-Free Fund, Implementation Fund, SGM Major Markets Fund, Special Opportunities Fund and Strategic Opportunities Allocation Fund (or their respective wholly-owned subsidiary, if any).

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

Use of Derivatives by Alpha Only Fund and Special Opportunities Fund

Alpha Only Fund’s investment program involves having both long and short investment exposures. Alpha Only Fund seeks to construct a portfolio in which it has long investment exposure to asset classes and sub-asset classes that GMO expects will outperform relative to the asset classes and sub-asset classes to which it has short investment exposure.

The Funds may use derivatives to gain long investment exposure to 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 contracts, and options) to gain exposure to a given currency. In addition, Special Opportunities Fund may use derivatives to gain investment exposure to commodities, including the use of exchange-traded futures and foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets.

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 GMO 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 (and in the case of Special Opportunities Fund, commodities) 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 GMO 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 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 currencies in which its equities are traded.

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

Special Opportunities Fund may have investment exposures in excess of its net assets (i.e., it may be leveraged). Alpha Only Fund is not limited in its use of derivatives or in the total notional value of its 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 therefore is subject to heightened risk of loss. Alpha Only 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.

A Fund’s foreign currency exposure may differ significantly from the currencies in which its equities are traded.

Use of Derivatives by Benchmark-Free Fund, Implementation Fund and Strategic Opportunities Allocation Fund

The Funds may use derivatives to gain long investment exposure to securities, commodities 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 exchange-traded futures and forward foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets and may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.

The Funds may use derivatives such as futures, options, and swap contracts, 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 or may use a bond futures contract to short the bond market of a particular country. A 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 Funds may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency. Implementation Fund uses exchange-traded futures and forward contracts as an integral part of its investment program.

The Funds may use derivatives in an attempt to adjust elements of their 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 a Fund holds a large proportion of a certain type of security or commodity and GMO 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 those stocks) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). Long and short swap contracts 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 adjusting investment exposures, each 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. Each Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

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

Each of the Funds is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of their derivative positions, the Funds may have gross investment exposures in excess of their net assets (i.e., the Funds may be leveraged) and therefore are subject to heightened risk of loss. Each 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 SGM Major Markets Fund

The Fund invests in a range of global equity, bond, currency, and commodity markets using exchange traded futures and forward non-U.S. exchange contracts as well as making other investments.

The Fund may use derivatives to gain long and/or short investment exposure to 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 contracts and options) to gain exposure to a given currency.

The Fund may use derivatives in an attempt to adjust its investment exposures. 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 GMO believes is highly correlated with the relevant currency.

The Fund may use derivatives, such as futures, options, and swap contracts, 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 GMO 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 contracts 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 Fund 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 currencies in which its equities are traded.

The Fund is not limited in its use of derivatives or in the total notional 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.

***

Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges 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 GMO 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 November 30, 2018, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use	Alpha Only Fund	Benchmark- Free Fund	Consolidated Implementation Fund*	Consolidated SGM Major Markets Fund*	Consolidated Special Opportunities Fund*	Strategic Opportunities Allocation Fund
Forward currency contracts
Adjust currency exchange rate risk				X
Adjust exposure to foreign currencies	X	X	X	X	X
Manage against anticipated currency exchange rate changes			X
Futures contracts
Adjust exposure to certain securities markets		X	X	X
Substitute for direct investment				X	X
Adjust interest rate exposure			X	X
Maintain the diversity and liquidity of the portfolio		X	X	X
Hedge some or all of the broad market exposure of the underlying funds and/or assets in which the Fund invests	X
Options (Purchased)
Substitute for direct equity investment			X
Options (Written)
Substitute for direct equity investment			X		X
Adjust interest rate exposure			X
Swap contracts
Adjust interest rate exposure		X	X
Substitute for direct investment in securities		X	X			X
Achieve exposure to a reference entity’s credit			X
Rights and/or warrants
Received as a result of corporate actions	X	X	X			X

* Certain derivatives may be held by the 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 price 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 settled.

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 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 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. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. 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, if any, which is disclosed in the Schedule of Investments, 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.

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.

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 market of 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 industry models and inputs provided by primary pricing sources.

Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, basis swaps, currency swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract 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 contract 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 contract 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 contract is recorded as realized gain or loss. The periodic frequency of payments received may differ from periodic payment frequencies made and their frequencies could be monthly, quarterly, semiannually, annually or at maturity.

Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights 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). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.

Inflation swaps involve the exchange of a floating rate linked to an index for a fixed rate interest payment with respect to a notional amount or principal.

Total return swap contracts 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 futures 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 contract, 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 contracts 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 contracts 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.

Correlation swaps involve receiving a stream of payments based on the actual average correlation between or among the price movements of two or more underlying variables over a period of time, in exchange for making a regular stream of payments based on a fixed “strike” correlation level (or vice versa), where both payment streams are based on a notional amount. The underlying variables may include, without limitation, commodity prices, exchange rates, interest rates and stock indices.

Variance swap contracts 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 contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in a dividend index point. A 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 a 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 contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in an index. The 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 the 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.

Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.

The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. 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 contracts 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 valuations of derivative instruments categorized by risk exposure as of November 30, 2018:

The risks referenced in the tables below 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.

	Credit Contracts			Commodity Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Alpha Only Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—		$	—	$	0	§	$	—		$	—		$	—	$	0	§
Unrealized Appreciation on Forward Currency Contracts		—			—		—			134,948			—			—		134,948
Unrealized Appreciation on Futures Contracts		—			—		4,894,734			—			—			—		4,894,734
Total	$	—		$	—	$	4,894,734		$	134,948		$	—		$	—	$	5,029,682
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	—		$	(28,587	)	$	—		$	—	$	(28,587	)
Total	$	—		$	—	$	—		$	(28,587	)	$	—		$	—	$	(28,587	)
Benchmark-Free Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—		$	—	$	1,946		$	—		$	—		$	—	$	1,946
Unrealized Appreciation on Forward Currency Contracts		—			—		—			1,352,595			—			—		1,352,595
Unrealized Appreciation on Futures Contracts		—			—		14,535,776			—			—			—		14,535,776
Swap Contracts, at value		—			—		89,095			—			—			—		89,095
Total	$	—		$	—	$	14,626,817		$	1,352,595		$	—		$	—	$	15,979,412
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	—		$	(135,138	)	$	—		$	—	$	(135,138	)
Unrealized Depreciation on Futures Contracts		—			—		(141,738	)		—			—			—		(141,738	)
Swap Contracts, at value		—			—		(66,483	)		—			(5,198	)		—		(71,681	)
Total	$	—		$	—	$	(208,221	)	$	(135,138	)	$	(5,198	)	$	—	$	(348,557	)
Consolidated Implementation Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—		$	—	$	449,426		$	—		$	—		$	—	$	449,426
Investments, at value (purchased options)		—			—		1,500,337			—			—			—		1,500,337
Unrealized Appreciation on Forward Currency Contracts		—			—		—			12,716,599			—			—		12,716,599
Unrealized Appreciation on Futures Contracts		—			—		62,875,325			—			—			—		62,875,325
Swap Contracts, at value		—			—		61,551			—			10,737,256			—		10,798,807
Total	$	—		$	—	$	64,886,639		$	12,716,599		$	10,737,256		$	—	$	88,340,494
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	—		$	(8,301,781	)	$	—		$	—	$	(8,301,781	)
Unrealized Depreciation on Futures Contracts		—			—		(2,232,683	)		—			—			—		(2,232,683	)
Written Options, at value		—			—		(9,749,110	)		—			—			—		(9,749,110	)
Swap Contracts, at value		(74,295	)		—		(400,148	)		—			(7,384,663	)		—		(7,859,106	)
Total	$	(74,295	)	$	—	$	(12,381,941	)	$	(8,301,781	)	$	(7,384,663	)	$	—	$	(28,142,680	)

	Credit Contracts		Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Consolidated SGM Major Markets Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—		$	—		$	7,240,167		$	—		$	—	$	7,240,167
Unrealized Appreciation on Futures Contracts		—		357,408			20,765,478			—			446,579			—		21,569,465
Total	$	—	$	357,408		$	20,765,478		$	7,240,167		$	446,579		$	—	$	28,809,632
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	—		$	(8,650,796	)	$	—		$	—	$	(8,650,796	)
Unrealized Depreciation on Futures Contracts		—		(8,366,143	)		(21,083,333	)		—			(1,639,604	)		—		(31,089,080	)
Total	$	—	$	(8,366,143	)	$	(21,083,333	)	$	(8,650,796	)	$	91,639,604	)	$	—	$	(39,739,876	)
Strategic Opportunities Allocation Fund
Asset Derivatives
Swap Contracts, at value	$	—	$	—		$	1,032		$	—		$	—		$	—	$	1,032
Total	$	—	$	—		$	1,032		$	—		$	—		$	—	$	1,032
Liability Derivatives
Swap Contracts, at value	$	—	$	—		$	(38,839	)	$	—		$	—		$	—	$	(38,839	)
Total	$	—	$	—		$	(38,839	)	$	—		$	—		$	—	$	(38,839	)

§ Represents the interest in securities that were determined to have a value of zero at November 30, 2018.

For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report available 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) 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.

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/ Sheppard N. Burnett
	Sheppard N. Burnett, Chief Executive Officer

Date: January 28, 2019

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/ Sheppard N. Burnett
	Sheppard N. Burnett, Chief Executive Officer

Date: January 28, 2019

By (Signature and Title):	/s/ Betty Maganzini
	Betty Maganzini, Principal Financial Officer

Date: January 28, 2019