GMO Series Trust NCSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-22564

GMO Series Trust

(Exact name of the registrant as specified in charter)


40 Rowes Wharf, Boston, MA		02110
(Address of principal executive offices)		(Zip Code)

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

(Name and address of agent for services)

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

Date of fiscal year end: 04/30/13

Date of reporting period: 04/30/13

Item 1. Reports to Stockholders.

The annual reports for each series of the registrant for the periods ended April 30, 2013 are filed herewith.

GMO Series Trust

Annual Report

April 30, 2013

Benchmark-Free Allocation Series Fund

Global Asset Allocation Series Fund

Global Equity Allocation Series Fund

International Equity Allocation Series Fund

For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 will be available on GMO’s website www.dc.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Funds’ Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Series Trust, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Series Trust prospectus can be obtained at www.dc.gmo.com.

TABLE OF CONTENTS


Benchmark-Free Allocation Series Fund:
Management Discussion and Analysis of Fund Performance				1
Performance Graph				1
Investment Concentration Summary				2
Schedule of Investments				3
Global Asset Allocation Series Fund:
Management Discussion and Analysis of Fund Performance				4
Performance Graph				4
Investment Concentration Summary				5
Schedule of Investments				6
Global Equity Allocation Series Fund:
Management Discussion and Analysis of Fund Performance				7
Performance Graph				7
Investment Concentration Summary				8
Schedule of Investments				9
International Equity Allocation Series Fund:
Management Discussion and Analysis of Fund Performance				10
Performance Graph				10
Investment Concentration Summary				11
Schedule of Investments				12
Fund Financial Statements:
Statements of Assets and Liabilities				13
Statements of Operations				14
Statements of Changes in Net Assets				15
Financial Highlights				16
Notes to Financial Statements				20
Report of Independent Registered Public Accounting Firm				43
Fund Expenses				44
Board Review of Management Agreement				45
Tax Information				46
Trustees and Officers				47

Benchmark-Free Allocation Series Fund

(A Series of GMO Series Trust)

Management Discussion and Analysis of Fund Performance

Although GMO Benchmark-Free Allocation Series Fund does not seek to control risk relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the CPI Index is included for comparative purposes.

Since inception on January 24, 2013, Class R6 shares of GMO Benchmark-Free Allocation Series Fund returned +3.5% for the fiscal year ended April 30, 2013, as compared with +0.1% for the CPI Index. The Fund’s exposures to global quality equities and Japanese equities drove most of that outperformance.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Comparison of Change in Value of a $10,000,000 Investment in

GMO Benchmark-Free Allocation Series Fund Class R6 Shares and the CPI Index

As of April 30, 2013

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance data shown above for GMO Benchmark-Free Allocation Series Fund (the “Fund”) reflect the performance data of GMO Benchmark-Free Allocation Fund (the “Institutional Fund”) through January 24, 2013 (the commencement date of the Fund), re-stated to reflect the additional fees and expenses of the Fund. Performance data shown above for the Fund is net of all fees after reimbursement from the Manager. The performance information shown above includes purchase premiums and/or redemption fees charged by the Institutional Fund in effect as of April 30, 2013. The figures assume a purchase at the beginning and redemption at the end of the stated period and reflect a transaction fee of .12% on the purchase and .12% on the redemption. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited.

The Fund invests substantially all of its assets in shares of the Institutional Fund. Prior to January 1, 2012, the Institutional Fund served as a principal component of a broader GMO real return strategy. Beginning on January 1, 2012, the Institutional Fund has been managed as a stand alone investment vehicle.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

Benchmark-Free Allocation Series Fund

(A Series of GMO Series Trust)

Investment Concentration Summary

April 30, 2013 (Unaudited)


Asset Class Summary*	% of Total Net Assets
Common Stocks		60.2	%
Short-Term Investments		26.6
Futures Contracts		12.9
Debt Obligations		9.5
Preferred Stocks		1.1
Investment Funds		0.4
Loan Participations		0.1
Rights/Warrants		0.0	^
Loan Assignments		0.0	^
Options Purchased		0.0	^
Swap Agreements		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Written Options		(0.0	)^
Forward Currency Contracts		(0.5	)
Other		(10.3	)

		100.0	%


Country/Region Summary**	% of Investments
United States		36.4	%
Emerging***		19.7
United Kingdom		12.9
Japan		8.2
France		4.8
Germany		3.4
Spain		2.4
Italy		2.4
Australia		2.0
Switzerland		2.0
Hong Kong		1.9
Netherlands		0.9
Belgium		0.5
Singapore		0.5
Canada		0.4
Denmark		0.2
Austria		0.2
Ireland		0.2
Sweden		0.2
New Zealand		0.2
Finland		0.2
Greece		0.1
Norway		0.1
Portugal		0.1
Israel		0.1

		100.0	%

The table above incorporates aggregate indirect asset class exposure resulting from investments in shares of a series of GMO Trust (the “Institutional Fund”) and the series of GMO Trust in which the Institutional Fund invests (collectively referred to as the “Underlying Funds”) except for GMO Alpha Only Fund because of its short investment exposures.

The table above incorporates aggregate indirect country exposure associated with investments in the Institutional Fund and Underlying Funds except for GMO Alpha Only Fund because of its short investment exposures. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts.

***

The “Emerging” exposure is primarily comprised of: Argentina, Brazil, China, Colombia, Congo, Czech Republic, Dominican Republic, Egypt, Hungary, India, Indonesia, Iraq, Malaysia, Mexico, Panama, Peru, Philippines, Poland, Russia, South Africa, South Korea, Taiwan, Thailand, Turkey, Ukraine and Venezuela.

^	Rounds to 0.0%.

Benchmark-Free Allocation Series Fund

(A Series of GMO Series Trust)

Schedule of Investments

(showing percentage of total net assets)

April 30, 2013

Shares

Description

Value ($)

MUTUAL FUNDS — 98.9%

Affiliated Issuers — 98.9%

5,977,807

GMO Benchmark-Free Allocation Fund, Class III

158,352,116

TOTAL MUTUAL FUNDS (Cost $153,238,612)

158,352,116

TOTAL INVESTMENTS — 98.9%
(Cost $153,238,612)

158,352,116

Other Assets and Liabilities (net) — 1.1%

1,785,442

TOTAL NET ASSETS — 100.0%

$160,137,558

See accompanying notes to the financial statements.

Global Asset Allocation Series Fund

(A Series of GMO Series Trust)

Management Discussion and Analysis of Fund Performance

Since inception on July 31, 2012, Class R6 shares of GMO Global Asset Allocation Series Fund returned +11.4% for the fiscal year ended April 30, 2013, as compared with +12.4% for the Fund’s benchmark, the GMO Global Asset Allocation Index (65% MSCI ACWI [All Country World Index] and 35% Barclays U.S. Aggregate Index).

Underlying fund implementation detracted from relative performance, as six of the underlying equity funds underperformed their respective benchmarks.

Asset allocation added modestly to relative performance due to the Fund’s emphasis on quality stocks and an overweight to Japanese equities.

Comparison of Change in Value of a $10,000,000 Investment in

GMO Global Asset Allocation Series Fund Class R6 Shares and the

GMO Global Asset Allocation Index

As of April 30, 2013

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance data shown above for GMO Global Asset Allocation Series Fund (the “Fund”) reflect the performance data of GMO Global Asset Allocation Fund (the “Institutional Fund”) through July 31, 2012 (the commencement date of the Fund), re-stated to reflect the additional fees and expenses of the Fund. Performance data shown above for the Fund is net of all fees after reimbursement from the Manager. The performance information shown above includes purchase premiums and/or redemption fees charged by the Institutional Fund in effect as of April 30, 2013. The figures assume a purchase at the beginning and redemption at the end of the stated period and reflect a transaction fee of .10% on the purchase and .10% on the redemption. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited.

The Fund invests substantially all of its assets in shares of the Institutional Fund.

*	The GMO Global Asset Allocation Index is comprised of MSCI ACWI prior to June 30, 2002 and GMO Global Asset Allocation (Blend) Index** thereafter.

**	The GMO Global Asset Allocation (Blend) Index is a composite benchmark computed by GMO and comprised of 48.75% S&P 500 Index, 16.25% MSCI ACWI ex-USA and 35% Barclays Capital U.S. Aggregate Index prior to March 30, 2007 and 65% MSCI ACWI and 35% Barclays Capital U.S. Aggregate Index thereafter.

Global Asset Allocation Series Fund

(A Series of GMO Series Trust)

Investment Concentration Summary

April 30, 2013 (Unaudited)


Asset Class Summary*	% of Total Net Assets
Common Stocks		66.8	%
Short-Term Investments		17.6
Debt Obligations		11.9
Futures Contracts		6.3
Preferred Stocks		1.2
Investment Funds		0.1
Loan Participations		0.1
Options Purchased		0.0	^
Loan Assignments		0.0	^
Rights/Warrants		0.0	^
Written Options		(0.1	)
Swap Agreements		(0.1	)
Reverse Repurchase Agreements		(0.1	)
Forward Currency Contracts		(0.2	)
Other		(3.5	)

		100.0	%


Country/Region Summary**	% of Investments
United States		40.6	%
Emerging***		16.5
United Kingdom		9.7
Japan		8.2
France		5.1
Germany		3.0
Spain		2.9
Italy		2.8
Switzerland		2.1
Canada		1.9
Australia		1.7
Hong Kong		1.1
Sweden		1.0
New Zealand		0.6
Singapore		0.6
Netherlands		0.5
Belgium		0.4
Finland		0.2
Austria		0.2
Denmark		0.2
Ireland		0.2
Norway		0.2
Greece		0.1
Portugal		0.1
Israel		0.1

		100.0	%

The table above incorporates aggregate indirect country exposure associated with investments in the Institutional Fund and Underlying Funds except for GMO Alpha Only Fund because of its short investment exposures and GMO Special Situations Fund due to the short-term nature of its investments. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts.

***

^	Rounds to 0.0%.

Global Asset Allocation Series Fund

(A Series of GMO Series Trust)

Schedule of Investments

(showing percentage of total net assets)

April 30, 2013


Shares	Description	Value ($)

	MUTUAL FUNDS — 99.3%

	Affiliated Issuers — 99.3%
52,124,613	GMO Global Asset Allocation Fund, Class III		588,486,882


	TOTAL MUTUAL FUNDS (Cost $556,974,873)		588,486,882


	TOTAL INVESTMENTS — 99.3% (Cost $556,974,873)		588,486,882
	Other Assets and Liabilities (net) — 0.7%		3,928,503


	TOTAL NET ASSETS — 100.0%		$592,415,385

See accompanying notes to the financial statements.

Global Equity Allocation Series Fund

(A Series of GMO Series Trust)

Management Discussion and Analysis of Fund Performance

Since inception on September 4, 2012, Class R6 shares of GMO Global Equity Allocation Series Fund returned +15.3% for the fiscal year ended April 30, 2013, as compared with +16.6% for the Fund’s benchmark, the MSCI ACWI (All Country World Index).

Underlying fund implementation detracted from relative performance, as six of the eight underlying funds underperformed their respective benchmarks.

Asset allocation contributed positively to relative performance. The Fund’s overweight to Japanese equities in particular was a major contributor.

Comparison of Change in Value of a $10,000,000 Investment in

GMO Global Equity Allocation Series Fund Class R6 Shares and the MSCI ACWI +

As of April 30, 2013

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance data shown above for GMO Global Equity Allocation Series Fund (the “Fund”) reflect the performance data of GMO Global Equity Allocation Fund (the “Institutional Fund”) through September 4, 2012 (the commencement date of the Fund), re-stated to reflect the additional fees and expenses of the Fund. Performance data shown above for the Fund is net of all fees after reimbursement from the Manager. The performance information shown above includes purchase premiums and/or redemption fees charged by the Institutional Fund in effect as of April 30, 2013. The figures assume a purchase at the beginning and redemption at the end of the stated period and reflect a transaction fee of .12% on the purchase and .12% on the redemption. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited.

The Fund invests substantially all of its assets in shares of the Institutional Fund.

*	The MSCI ACWI + represents 75% S&P 500 Index and 25% MSCI ACWI ex-USA prior to May 30, 2008 and MSCI ACWI thereafter.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

Global Equity Allocation Series Fund

(A Series of GMO Series Trust)

Investment Concentration Summary

April 30, 2013 (Unaudited)


Asset Class Summary*	% of Total Net Assets
Common Stocks		93.9	%
Short-Term Investments		2.4
Preferred Stocks		1.5
Futures Contracts		0.1
Investment Funds		0.1
Swap Agreements		0.0	^
Rights/Warrants		0.0	^
Private Equity Securities		0.0	^
Forward Currency Contracts		(0.1	)
Other		2.1

		100.0	%


Country/Region Summary**	% of Investments
United States		39.5	%
Emerging***		14.0
Japan		12.3
United Kingdom		10.4
France		5.7
Germany		3.4
Spain		3.3
Italy		3.1
Australia		2.1
Switzerland		1.8
Singapore		0.7
Netherlands		0.5
Belgium		0.5
Hong Kong		0.5
Sweden		0.3
Denmark		0.3
Finland		0.3
Austria		0.2
Canada		0.2
Ireland		0.2
New Zealand		0.2
Norway		0.2
Portugal		0.1
Greece		0.1
Israel		0.1

		100.0	%

*	The table above incorporates aggregate indirect asset class exposure resulting from investments in shares of a series of GMO Trust (the “Institutional Fund”) and the series of GMO Trust in which the Institutional Fund invests (collectively referred to as the “Underlying Funds”).

The table above incorporates aggregate indirect country exposure associated with investments in the Institutional Fund and Underlying Funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts.

***	The “Emerging” exposure is primarily comprised of: Brazil, China, Czech Republic, Egypt, India, Indonesia, Malaysia, Mexico, Peru, Philippines, Poland, Russia, South Africa, South Korea, Taiwan, Thailand and Turkey.

^	Rounds to 0.0%.

Global Equity Allocation Series Fund

(A Series of GMO Series Trust)

Schedule of Investments

(showing percentage of total net assets)

April 30, 2013

Shares

Description

Value ($)

MUTUAL FUNDS — 98.2%

Affiliated Issuers — 98.2%

158,168

GMO Global Equity Allocation Fund, Class III

1,434,587

TOTAL MUTUAL FUNDS (Cost $1,366,088)

1,434,587

TOTAL INVESTMENTS — 98.2%
(Cost $1,366,088)

1,434,587

Other Assets and Liabilities (net) — 1.8%

26,851

TOTAL NET ASSETS — 100.0%

$1,461,438

See accompanying notes to the financial statements.

International Equity Allocation Series Fund

(A Series of GMO Series Trust)

Management Discussion and Analysis of Fund Performance

Class R6 shares of GMO International Equity Allocation Series Fund returned +15.8% for the fiscal year ended April 30, 2013, as compared with +14.1% for the MSCI ACWI (All Country World Index) ex-USA.

The impact from underlying fund implementation was negligible.

Asset allocation added to relative performance. The Fund’s exposure to international value stocks drove most of the outperformance.

Comparison of Change in Value of a $10,000,000 Investment in

GMO International Equity Allocation Series Fund Class R6 Shares and the

MSCI ACWI ex USA

As of April 30, 2013

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance data shown above for GMO International Equity Allocation Series Fund (the “Fund”) reflect the performance data of GMO International Equity Allocation Fund (the “Institutional Fund”) through March 30, 2012 for Class R6 and April 5, 2013 for Class R5 (the respective commencement dates of the Fund’s classes), re-stated to reflect the additional fees and expenses of the Fund. Performance data shown above for the Fund is net of all fees after reimbursement from the Manager. The performance information shown above includes purchase premiums and/or redemption fees charged by the Institutional Fund in effect as of April 30, 2013. The figures assume a purchase at the beginning and redemption at the end of the stated period and reflect a transaction fee of .21% on the purchase and .21% on the redemption. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited.

The Fund invests substantially all of its assets in shares of the Institutional Fund.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

International Equity Allocation Series Fund

(A Series of GMO Series Trust)

Investment Concentration Summary

April 30, 2013 (Unaudited)


Asset Class Summary*	% of Total Net Assets
Common Stocks		93.3	%
Short-Term Investments		2.8
Preferred Stocks		2.6
Futures Contracts		0.2
Investment Funds		0.2
Swap Agreements		0.0	^
Rights/Warrants		0.0	^
Forward Currency Contracts		(0.1	)
Other		1.0

		100.0	%


Country/Region Summary**	% of Investments
Emerging***		24.4	%
Japan		20.5
United Kingdom		16.8
France		8.2
Germany		6.1
Spain		4.7
Italy		4.7
Switzerland		3.1
Australia		2.9
Singapore		1.4
Hong Kong		1.2
Netherlands		1.0
Sweden		0.7
Belgium		0.7
Denmark		0.7
Finland		0.5
Norway		0.5
Ireland		0.4
Canada		0.3
Austria		0.3
New Zealand		0.2
Greece		0.2
Portugal		0.2
Israel		0.2
United States		0.1

		100.0	%

*	The table above incorporates aggregate indirect asset class exposure resulting from investments in shares of a series of GMO Trust (the “Institutional Fund”) and the series of GMO Trust in which the Institutional Fund invests (collectively referred to as the “Underlying Funds”).

***	The “Emerging” exposure is primarily comprised of: Brazil, China, Czech Republic, Egypt, India, Indonesia, Malaysia, Mexico, Peru, Philippines, Poland, Russia, South Africa, South Korea, Taiwan, Thailand and Turkey.

^	Rounds to 0.0%.

International Equity Allocation Series Fund

(A Series of GMO Series Trust)

Schedule of Investments

(showing percentage of total net assets)

April 30, 2013

Shares

Description

Value ($)

MUTUAL FUNDS — 99.4%

Affiliated Issuers — 99.4%

27,589,336

GMO International Equity Allocation Fund, Class III

302,379,125

TOTAL MUTUAL FUNDS (Cost $270,840,840)

302,379,125

TOTAL INVESTMENTS — 99.4%
(Cost $270,840,840)

302,379,125

Other Assets and Liabilities (net) — 0.6%

1,679,992

TOTAL NET ASSETS — 100.0%

$304,059,117

See accompanying notes to the financial statements.

GMO Series Trust Funds

Statements of Assets and Liabilities — April 30, 2013


	Benchmark- Free Allocation Series Fund			Global Asset Allocation Series Fund				Global Equity Allocation Series Fund				International Equity Allocation Series Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)^(a)		$	158,352,116		$	588,486,882			$	1,434,587			$	302,379,125
Cash			1,896,079			4,034,379				19,955				1,723,690
Receivable for Fund shares sold			20,460			199,731				7,919				23,511
Receivable for reimbursement by Manager (Note 5)			250			329				534				247

Total assets			160,268,905			592,721,321				1,462,995				304,126,573

Liabilities:
Payable for Fund shares repurchased			124,638			280,469				—				53,229
Payable to affiliate for (Note 5):
Administration fee			6,484			23,970				56				11,921
Payable for 12b-1 fee – Class R5			—			—				—				1,547
Accrued expenses			225			1,497				1,501				759

Total liabilities			131,347			305,936				1,557				67,456

Net assets		$	160,137,558		$	592,415,385			$	1,461,438			$	304,059,117

Net assets consist of:
Paid-in capital		$	155,024,054		$	560,226,415			$	1,366,265			$	272,245,155
Distributions in excess of net investment income			—			(93,768	)			(208	)			(47,031	)
Accumulated net realized gain			—			770,729				26,882				322,708
Net unrealized appreciation			5,113,504			31,512,009				68,499				31,538,285

		$	160,137,558		$	592,415,385			$	1,461,438			$	304,059,117

Net assets attributable to:
Class R5		$	—		$	—			$	—			$	23,189,830

Class R6		$	160,137,558		$	592,415,385			$	1,461,438			$	280,869,287

Shares outstanding:
Class R5			—			—				—				2,114,021

Class R6			15,473,945			54,674,422				131,181				25,603,786

Net asset value per share:
Class R5		$	—		$	—			$	—			$	10.97

Class R6		$	10.35		$	10.84			$	11.14			$	10.97


(a) Cost of investments – affiliated issuers:		$	153,238,612		$	556,974,873			$	1,366,088			$	270,840,840

See accompanying notes to the financial statements.

GMO Series Trust Funds

Statements of Operations — Year Ended April 30, 2013


	Benchmark- Free Allocation Series Fund*				Global Asset Allocation Series Fund**				Global Equity Allocation Series Fund***				International Equity Allocation Series Fund
Investment Income:
Dividends from affiliated issuers (Note 10)		$	—			$	14,137,412			$	19,679			$	8,138,219

Total investment income			—				14,137,412				19,679				8,138,219

Expenses:
Administration fee (Note 5)			18,918				171,460				258				123,746
12b-1 fee – Class R5 (Note 5)			—				—				—				1,547	****
Registration fees			2,705				2,998				3,000				3,000

Total expenses			21,623				174,458				3,258				128,293

Fees and expenses reimbursed by Manager (Note 5)			(2,705	)			(2,998	)			(3,000	)			(3,000	)

Net expenses			18,918				171,460				258				125,293

Net investment income (loss)			(18,918	)			13,965,952				19,421				8,012,926

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers			—				974,291				1,532				328,740
Realized gains distributions from affiliated issuers (Note 10)			—				—				28,726				—

Net realized gain (loss)			—				974,291				30,258				328,740

Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers			5,113,504				31,512,009				68,499				35,743,862

Net realized and unrealized gain (loss)			5,113,504				32,486,300				98,757				36,072,602

Net increase (decrease) in net assets resulting from operations		$	5,094,586			$	46,452,252			$	118,178			$	44,085,528

*	Period from January 24, 2013 (commencement of operations) through April 30, 2013.

**	Period from July 31, 2012 (commencement of operations) through April 30, 2013.

***	Period from September 4, 2012 (commencement of operations) through April 30, 2013.

****	Period from April 5, 2013 (commencement of operations) through April 30, 2013.

See accompanying notes to the financial statements.

GMO Series Trust Funds

Statements of Changes in Net Assets


	Benchmark- Free Allocation Series Fund				Global Asset Allocation Series Fund				Global Equity Allocation Series Fund				International Equity Allocation Series Fund
	Period from January 24, 2013 (commencement of operations) through April 30, 2013				Period from July 31, 2012 (commencement of operations) through April 30, 2013				Period from September 4, 2012 (commencement of operations) through April 30, 2013				Year Ended April 30, 2013				Period from March 30, 2012 (commencement of operations) through April 30, 2012
Increase (decrease) in net assets:
Operations:
Net investment income (loss)		$	(18,918	)		$	13,965,952			$	19,421			$	8,012,926			$	(7,748	)
Net realized gain (loss)			—				974,291				30,258				328,740				—
Change in net unrealized appreciation (depreciation)			5,113,504				31,512,009				68,499				35,743,862				(4,205,577	)

Net increase (decrease) in net assets from operations			5,094,586				46,452,252				118,178				44,085,528				(4,213,325	)

Distributions to shareholders from:
Net investment income
Class R6			—				(14,067,683	)			(23,005	)			(8,065,989	)			—

Net realized gains
Class R6			—				(195,599	)			—				—				—

Net share transactions (Note 9):
Class R5			—				—				—				21,976,142	*			—
Class R6			155,042,972				560,226,415				1,366,265				62,733,574				187,543,187

Increase (decrease) in net assets resulting from net share transactions			155,042,972				560,226,415				1,366,265				84,709,716				187,543,187

Total increase (decrease) in net assets			160,137,558				592,415,385				1,461,438				120,729,255				183,329,862


Net assets:
Beginning of period			—				—				—				183,329,862				—

End of period		$	160,137,558			$	592,415,385			$	1,461,438			$	304,059,117			$	183,329,862

Distributions in excess of net investment income		$	—			$	(93,768	)		$	(208	)		$	(47,031	)		$	—

*	Period from April 5, 2013 (commencement of operations) through April 30, 2013.

See accompanying notes to the financial statements.

GMO Series Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

BENCHMARK-FREE ALLOCATION SERIES FUND


	Class R6 Shares
	Period from January 24, 2013 (commencement of operations) through April 30, 2013
Net asset value, beginning of period		$	10.00

Income (loss) from investment operations:
Net investment income (loss)^†			(0.00	)^(a)
Net realized and unrealized gain (loss)			0.35

Total from investment operations			0.35

Net asset value, end of period		$	10.35

Total Return^(b)			3.50	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	160,138
Net expenses to average daily net assets^(c)			0.05	%*
Net investment income (loss) to average daily net assets			(0.05	)%*
Portfolio turnover rate			0	%**
Fees and expenses reimbursed by the Manager to average daily net assets			0.01	%*

^(a)	Rounds to less than $0.01.

^(b)	The total return would have been lower had certain expenses not been reimbursed during the period shown.

^(c)	Net expenses exclude expenses incurred indirectly through investment in the Underlying Funds (Note 5).

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.

See accompanying notes to the financial statements.

GMO Series Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

GLOBAL ASSET ALLOCATION SERIES FUND


	Class R6 Shares
	Period from July 31, 2012 (commencement of operations) through April 30, 2013
Net asset value, beginning of period		$	10.00

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.32
Net realized and unrealized gain (loss)			0.79

Total from investment operations			1.11

Less distributions to shareholders:
From net investment income			(0.27	)
From net realized gains			(0.00	)^(b)

Total distributions			(0.27	)

Net asset value, end of period		$	10.84

Total Return^(c)			11.36	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	592,415
Net expenses to average daily net assets^(d)			0.05	%*
Net investment income (loss) to average daily net assets			4.07	%*
Portfolio turnover rate			6	%**
Fees and expenses reimbursed by the Manager to average daily net assets^(e)			0.00	%*

^(a)	Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the fund invests.

^(b)	Rounds to less than $0.01.

^(c)	The total return would have been lower had certain expenses not been reimbursed during the period shown and assumes the effect of reinvested distributions.

^(d)	Net expenses exclude expenses incurred indirectly through investment in the Underlying Funds (Note 5).

^(e)	Fees and expenses reimbursed by the Manager to average daily net assets were less than 0.01%.

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.

See accompanying notes to the financial statements.

GMO Series Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

GLOBAL EQUITY ALLOCATION SERIES FUND


	Class R6 Shares
	Period from September 4, 2012 (commencement of operations) through April 30, 2013
Net asset value, beginning of period		$	10.00

Income (loss) from investment operations:
Net investment income (loss)^†			0.26
Net realized and unrealized gain (loss)			1.23

Total from investment operations			1.49

Less distributions to shareholders:
From net investment income			(0.35	)

Total distributions			(0.35	)

Net asset value, end of period		$	11.14

Total Return^(a)			15.29	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,461
Net expenses to average daily net assets^(b)			0.05	%*
Net investment income (loss) to average daily net assets			3.76	%*
Portfolio turnover rate			46	%**
Fees and expenses reimbursed by the Manager to average daily net assets			0.58	%*

^(a)	The total return would have been lower had certain expenses and purchase premiums and/or redemption fees not been reimbursed during the period shown and assumes the effect of reinvested distributions (Note 11).

^(b)	Net expenses exclude expenses incurred indirectly through investment in the Underlying Funds (Note 5).

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.

See accompanying notes to the financial statements.

GMO Series Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY ALLOCATION SERIES FUND


	Class R5 Shares				Class R6 Shares
	Period from April 5, 2013 (commencement of operations) through April 30, 2013				Year Ended April 30, 2013				Period from March 30, 2012 (commencement of operations) through April 30, 2012
Net asset value, beginning of period		$	10.40			$	9.77			$	10.00

Income (loss) from investment operations:
Net investment income (loss)^†			(0.00	)^(a)			0.33				(0.00	)^(a)
Net realized and unrealized gain (loss)			0.57				1.18				(0.23	)

Total from investment operations			0.57				1.51				(0.23	)

Less distributions to shareholders:
From net investment income			—				(0.31	)			—

Total distributions			—				(0.31	)			—

Net asset value, end of period		$	10.97			$	10.97			$	9.77

Total Return			5.48	%^(b)**			15.77	%^(c)			(2.30	)%^(b)**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	23,190			$	280,869			$	183,330
Net expenses to average daily net assets^(d)			0.15	%*			0.05	%			0.05	*
Net investment income (loss) to average daily net assets			(0.15	)%*			3.26	%			(0.05	)*
Portfolio turnover rate			3	%			3	%			0	%**
Fees and expenses reimbursed by the Manager to average daily net assets^(e)			0.00	%*			0.00	%			0.00	%*

^(a)	Rounds to less than $0.01.

^(b)	The total return would have been lower had certain expenses not been reimbursed during the periods shown.

^(c)	The total return would have been lower had certain expenses not been reimbursed during the period shown and assumes the effect of reinvested distributions.

^(d)	Net expenses exclude expenses incurred indirectly through investment in the Underlying Funds (Note 5).

^(e)	Fees and expenses reimbursed by the Manager to average daily net assets were less than 0.01%.

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.

See accompanying notes to the financial statements.

GMO Series Trust Funds

Notes to Financial Statements

April 30, 2013

1.	Organization

Each of GMO Benchmark-Free Allocation Series Fund (commenced operations on January 24, 2013), Global Asset Allocation Series Fund (commenced operations on July 31, 2012), Global Equity Allocation Series Fund (commenced operations on September 4, 2012) and International Equity Allocation Series Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Series Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on May 27, 2011. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (“Funds”) and to subdivide Funds into classes. The Funds are diversified as that term is defined in the 1940 Act. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”).

Each Fund invests substantially all of its assets in shares of another fund that is a series of GMO Trust that is also managed by GMO (each an “Institutional Fund”). The performance and operations of each Fund are directly affected by the performance and operations of the relevant Institutional Fund. Each Institutional Fund is a fund of funds that invests primarily in shares of other GMO Funds (“Underlying Funds”). Information about the Institutional Funds for their fiscal years ended February 28, 2013 is contained in the Institutional Funds’ financial statements of the same date. Additional selected information about the Institutional Funds and Underlying Funds as of the date of this report can be found in Note 11, “Institutional Fund information”. The financial statements of the Institutional Funds and Underlying Funds are presented separately and can be obtained from the Securities and Exchange Commission’s (“SEC”) EDGAR database on its Internet site at www.sec.gov or by calling (617) 346-7646 (collect) or visiting www.gmo.com and should be read in conjunction with the Funds’ financial statements.

The following table provides information about each Fund’s benchmark (if any), investment objective and the portion of the corresponding Institutional Fund owned by the Fund:



Fund Name	Benchmark	Investment Objective	Percent of Institutional Fund Owned
Benchmark-Free Allocation Series Fund	Not Applicable	Positive total return, not “relative” return		2.7%
Global Asset Allocation Series Fund	GMO Global Asset Allocation Index (65% MSCI ACWI and 35% Barclays U.S. Aggregate Index)	Total return greater than benchmark		11.8%
Global Equity Allocation Series Fund	MSCI ACWI	Total return greater than benchmark		0.1%
International Equity Allocation Series Fund	MSCI ACWI ex USA	Total return greater than benchmark		21.0%

2.	Significant accounting policies

The following is a summary of significant accounting policies followed by each Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and have been consistently followed by the Funds in preparing these financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Funds are maintained in U.S. Dollars.

Portfolio valuation

Shares of the Institutional Funds are valued at their most recent net asset value. See Note 11 for details on Institutional Fund valuation policies.

GMO Series Trust Funds

Notes to Financial Statements — (Continued)

April 30, 2013

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

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

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). At April 30, 2013, there were no Funds with classes of investments or derivatives with direct material Level 3 holdings.

The three levels are defined as follows:

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

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

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

Each Fund classified all of its investments, including investments in the Institutional Funds, as Level 1 as of April 30, 2013. For the summary of valuation inputs (including Level 3 inputs, if any) of the Institutional Funds and Underlying Funds, please refer to their most recent financial statements or for the net aggregate indirect exposure to these valuation methodologies as of the date of this report see Note 11 below.

The Funds had no transfers between levels of the fair value hierarchy during the year ended April 30, 2013.

Cash

Cash, if any, on the Statements of Assets and Liabilities consists of cash balances held with the custodian.

Taxes and distributions

Each Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to distribute substantially all of its net investment income and substantially all of 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.

Each Fund’s policy is to declare and pay distributions of its net investment income, net realized short-term and long-term capital gains, if any, at least annually. Typically, distributions are reinvested in additional shares of each Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.

Foreign taxes paid by the Institutional Funds may be treated, to the extent permissible under the Code and if each Fund so elects, as if paid by U.S. shareholders of each Fund.

Income and capital gain distributions for each Fund are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will likely reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

GMO Series Trust Funds

Notes to Financial Statements — (Continued)

April 30, 2013

U.S. GAAP and tax accounting differences for each Fund primarily relate to reasons described in the following table:

Differences related to:

Benchmark-Free
Allocation Series
Fund

Global Asset
Allocation Series
Fund

Global Equity
Allocation Series
Fund

International
Equity Allocation
Series Fund

Distribution character reclassification

Losses on wash sale transactions

Mutual fund distributions received

There are no significant differences

The tax character of distributions declared by each Fund to shareholders is as follows:


	Tax year ended April 30, 2013						Tax year ended April 30, 2012

Fund Name	Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)		Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)
Benchmark-Free Allocation Series Fund		—		—		—
Global Asset Allocation Series Fund		14,263,282		—		14,263,282
Global Equity Allocation Series Fund		23,005		—		23,005
International Equity Allocation Series Fund		8,065,989		—		8,065,989		—		—		—

Distributions in excess of tax basis earnings and profits, if significant, are reported in the Fund’s financial statements as a return of capital.

As of April 30, 2013, the components of distributable earnings on a tax basis and other tax attributes for each Fund consisted of the following:



Fund Name	Undistributed Ordinary Income (including any net short-term capital gain) ($)		Undistributed Net Long-Term Capital Gain ($)		Late-Year Ordinary Loss Deferral ($)		Capital Loss Carryforwards ($)		Post-October Capital Losses ($)
Benchmark-Free Allocation Series Fund		—		—		—		—		—
Global Asset Allocation Series Fund		770,729		—		(93,768)		—		—
Global Equity Allocation Series Fund		2,441		26,254		(208)		—		—
International Equity Allocation Series Fund		322,708		—		(47,031)		—		—

GMO Series Trust Funds

Notes to Financial Statements — (Continued)

April 30, 2013

As of April 30, 2013, the Funds had no capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Utilization of late-year ordinary losses and losses realized subsequent to April 30, 2013, if any, could be subject to further limitations imposed by the Code related to share ownership activity.

As of April 30, 2013, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in the value of investments were as follows:



Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Benchmark-Free Allocation Series Fund		153,238,612		5,113,504		—		5,113,504
Global Asset Allocation Series Fund		556,974,873		31,512,009		—		31,512,009
Global Equity Allocation Series Fund		1,367,901		66,686		—		66,686
International Equity Allocation Series Fund		270,840,840		31,538,285		—		31,538,285

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including the interpretation of tax laws (e.g., regulations pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.

Security transactions and related investment income

Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Income dividends and capital gain distributions from the Institutional Funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual Fund. Fund investment income, common expenses and realized and unrealized gains and losses are allocated among the classes of shares of the Fund, if applicable, based on the relative net assets of each class. Each Fund incurs fees and expenses indirectly as a shareholder in the Institutional Funds and the Underlying Funds. Because the Underlying Funds owned by the Institutional Funds have different expense and fee levels and the Institutional Funds may own different proportions of the Underlying Funds at different times, the amount of fees and expenses indirectly incurred by a Fund may vary (See Note 5 and Note 11).

State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent. Prior to December 31, 2012, State Street’s fees may have been reduced by an earnings allowance calculated on the average daily cash balances each Fund maintains with State Street. During this same period, each Fund received the benefit of any earnings allowance; earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2013, any cash balances maintained at State Street are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statement of Operations.

GMO Series Trust Funds

Notes to Financial Statements — (Continued)

April 30, 2013

Recent accounting guidance

In December 2011, the Financial Accounting Standards Board issued “Disclosures about Offsetting Assets and Liabilities”. In January 2013, an update was issued entitled “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities”. These pronouncements create new disclosure requirements requiring entities to disclose both gross and net information for derivatives, repurchase agreements, reverse repurchase agreements and securities borrowing and lending transactions that are either offset in the Statements of Assets and Liabilities or subject to enforceable master netting arrangements or similar agreements. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013 and interim periods within those annual periods. At April 30, 2013, the Funds held no investments or financial instruments directly that would be subject to offsetting or impacted by the new pronouncement.

3.	Investment and other risks

The following chart identifies selected risks of investing in the Funds. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.

Benchmark-Free
Allocation Series
Fund

Global Asset
Allocation Series
Fund

Global Equity
Allocation Series
Fund

International
Equity Allocation
Series Fund

Market Risk – Equity Securities Risk

—

Market Risk – Fixed Income Investments Risk

—

Market Risk – Asset-Backed Securities Risk

—

Credit Risk

—

Liquidity Risk

—

Smaller Company Risk

—

Derivatives Risk

—

Non-U.S. Investment Risk

—

Currency Risk

—

Focused Investment Risk

—

Options Risk

—

Real Estate Risk

—

Leveraging Risk

—

Counterparty Risk

—

Short Sales Risk

—

Commodities Risk

—

Natural Resources Risk

—

Market Disruption and Geopolitical Risk

—

Large Shareholder Risk

—

Management and Operational Risk

—

Fund of Funds Risk

—

Non-Diversified Funds

—

GMO Series Trust Funds

Notes to Financial Statements — (Continued)

April 30, 2013

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

Because each Fund invests substantially all of its assets in an Institutional Fund, the most significant risks of investing in a Fund are the risks to which the Fund is exposed through its corresponding Institutional Fund (and, in turn, the Underlying Funds in which the Institutional Fund invests). Those risks include the risks summarized below. Some of the Underlying Funds are non-diversified companies under the 1940 Act and therefore a decline in the market value of a particular security held by those Underlying Funds may affect their performance more than if they were diversified. In addition to the risks to which each Fund is exposed through investment in its corresponding Institutional Fund, the Fund is subject to the risk that cash flows into or out of the Fund will cause its performance to be worse than the performance of its corresponding Institutional Fund.

References in this section to investments made by a Fund include those made by its corresponding Institutional Fund and 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.

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

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

Some of the Funds invest a substantial portion of their assets in equities and generally do not take temporary defensive positions. As a result, declines in stock market prices generally are likely to reduce the net asset values of those Funds’ shares.

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

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

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

GMO Series Trust Funds

Notes to Financial Statements — (Continued)

April 30, 2013

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

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

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

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

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

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

As described under “Market Risk — Fixed Income Investments Risk” above, the market price of fixed income investments with complex structures, such as asset-backed securities, can decline due to a number of factors, including market uncertainty about their credit quality and the reliability of their payment streams. Payment of interest on asset-backed securities and repayment of principal largely depend on the cash flow generated by the assets backing the securities, as well as the deal structure (e.g., determination as to the amount of underlying assets or other support needed to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support and the credit quality of the credit-support provider, if any, and the reliability of various other service providers with access to the payment stream. A problem in any one of these areas can lead to a reduction in the payment stream the Manager expected a Fund to receive at the time the Fund purchased the asset-backed security. Asset-backed securities involve risk of loss of principal if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities may have. Asset-backed securities backed by sub-prime mortgage loans, in particular, may cause a Fund to suffer significantly greater declines in value due to defaults, as sub-prime mortgage loans are typically made to less creditworthy borrowers and thus have a higher risk of default than conventional mortgage loans. The obligations of issuers (and obligors of asset-backed securities) also are subject to bankruptcy, insolvency, and other laws affecting the rights and remedies of creditors. As of the date of this report, many asset-backed securities owned by the Funds that

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were once rated investment grade are now rated below investment grade. See “Credit Risk” below for more information about credit risk.

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

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

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

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

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

All fixed income securities are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending upon whether the issuer is a corporation or U.S. or non-U.S. government (or sub-division or instrumentality) and whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the life of a fixed income security. U.S. government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the United States, supported by the ability to borrow from the U.S. Treasury, supported only by the credit of the issuing U.S. government agency, instrumentality, or corporation, or otherwise supported by the United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign debt involve the risk that the governmental entities responsible for repayment may be unable or unwilling to pay interest and repay principal when due. A governmental entity’s willingness or ability to pay interest and

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repay principal in a timely manner may be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. In addition, payment of principal of fixed income securities guaranteed by the U.S. government can be delayed because the guarantee generally only requires payment upon maturity of the securities. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer may default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging countries.

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

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

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

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

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

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

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

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

• SMALLER COMPANY RISK. Companies with smaller market capitalizations, including small- and mid-cap companies, may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. In addition, their securities often are less widely held and trade less

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frequently and in lesser quantities, and their market prices often fluctuate more than the securities of companies with larger market capitalizations. In addition, market risk and liquidity risk are particularly pronounced for securities of these companies.

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

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

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

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

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

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

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

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

Under recently adopted and proposed rules, transactions in some types of interest rate swaps and credit default index swaps on North American and European indices will be required to be cleared. In a cleared derivatives transaction, a Fund’s counterparty is a central derivatives clearing organization, or clearing house (such as CME Clearing, ICE Clearing or LCH.Clearnet), rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house can participate directly in the clearing house, the Funds will hold cleared derivatives transactions through accounts at clearing members, who are futures commission merchants that are members of the clearing houses. The Funds will make and receive payments owed under cleared derivatives transactions (including margin payments) through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing members generally can require termination of existing cleared derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction. In addition, new regulations could, among other things, 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 increasing margin or capital requirements.

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

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

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

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

Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates;

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

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

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

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

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

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

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

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

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characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political, or other developments. See also “Non- U.S. Investment Risk” above.

• OPTIONS RISK. There are various risks associated with transactions in exchange-traded and OTC options. The market value of options written by a fund will be affected by many factors, including changes in the value of underlying securities or indices; changes in the dividend rates of underlying securities (or in the case of indices, the securities comprising such indices); changes in interest rates or exchange rates; changes in the actual or perceived volatility of the stock market and underlying securities; and the remaining time to an option’s expiration. The market value of an option also may be adversely affected if the market for the option is reduced or becomes less liquid. In addition, since an American style option allows the holder to exercise its rights any time prior to expiration of the option, the writer of an American style option has no control over the time when it may be required to fulfill its obligations as a writer of the option. The risk is not present when writing a European style option because the holder may only exercise the option on its expiration date. If a Fund writes a call option and does not hold the underlying security or instrument, the amount of the Fund’s potential loss is theoretically unlimited.

National securities exchanges generally have established limits on the maximum number of options an investor or group of investors acting in concert may write. A Fund, the Manager, and other funds advised by the Manager may constitute such a group. These limits could restrict a Fund’s ability to purchase or sell options on a particular security.

Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of the OTC options (options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While this type of arrangement allows a Fund greater flexibility to tailor an option to its needs, participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets. Therefore, OTC options generally expose 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 selling 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 amount of taxes payable by shareholders. In particular, a fund’s options transactions potentially could cause a substantial portion of a fund’s income to consist of net short-term capital gains, which, when distributed are taxable to shareholders as ordinary income.

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

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

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April 30, 2013

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

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

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

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

Counterparty risk with respect to OTC derivatives may be affected by new regulations affecting the derivatives market. As described under “Derivative Risk” above, some derivatives will be required to be cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position, rather than the credit risk of its original counterparty to the derivative transaction. Clearing members are required to segregate all funds received from customers with respect to cleared derivatives transactions from the clearing member’s proprietary assets. However, all funds and other property received by a clearing broker from its customers are generally held by the clearing broker on a commingled basis in an omnibus account and may be freely accessed by the clearing broker, which may also invest any such funds in certain instruments permitted under the applicable regulations. The assets of the Fund might not be fully protected in the event of the Fund’s clearing member’s bankruptcy, as the Fund would be limited to recovering only a pro rata share of all available funds segregated on behalf of the clearing broker’s customers for a relevant account class. Also, the clearing member transfers to the clearing organization the amount of margin required by the clearing organization for cleared swaps, which amounts are generally held in an omnibus account at the clearing organization for all customers of the clearing member. CFTC regulations require that the clearing member notify the clearing house the amount of initial margin provided by the clearing member to the clearing organization that is attributable to each customer. However, if the clearing member does not provide accurate reporting, the Funds are subject to the risk that a clearing organization will use a Fund’s assets held in an omnibus account at the clearing organization to satisfy payment obligations of a defaulting customer of the clearing member to the clearing organization. In addition, clearing members generally provide to the clearing organization the net amount of variation margin required for cleared swaps for all of its customers in the aggregate, rather than the gross amount of each customer. The Funds are therefore subject to

GMO Series Trust Funds

Notes to Financial Statements — (Continued)

April 30, 2013

the risk that a clearing organization will not make variation margin payments owed to a Fund if another customer of the clearing member has suffered a loss and is in default.

• SHORT SALES RISK. Some Funds may use short sales in their investment programs in an attempt to increase their returns or for hedging purposes.

In implementing their principal investment strategies, GMO Flexible Equities Fund and GMO Alpha Only Fund are permitted to engage in short sales of securities or currencies that they do not own. To do so, these Funds borrow a security (e.g., shares of an exchange-traded fund (“ETF”)) or currency from a broker and sell it to a third party. This type of short sale exposes the Funds to the risk that they will be required to acquire, convert, or exchange securities or currencies to replace the borrowed securities at a time when the securities or currencies sold short have appreciated in value, thus resulting in a loss to the Funds. If a Fund engages in short sales of securities or currencies it does not own, it may have to pay a premium to borrow the securities or currencies and must pay to the lender any dividends or interest it receives on the securities or currencies while they are borrowed. In addition, purchasing securities or currencies to close out a short position can itself cause the price of the securities or currencies to rise further, thereby exacerbating any losses.

Short sales of securities or currencies the Funds do not own involve a form of investment leverage, and the amount of a Fund’s potential loss is theoretically unlimited. GMO Flexible Equities Fund and GMO Alpha Only Fund are subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent they sell short securities or currencies they do not own.

• COMMODITIES RISK. The GMO Asset Allocation Funds (except GMO U.S. Equity Allocation Fund) may invest in GMO Alternative Asset Opportunity Fund, another fund managed by GMO. GMO Alternative Asset Opportunity Fund has significant exposure to commodity markets. Therefore, the net asset value of its shares is affected by factors particular to those markets and may decline and fluctuate in a rapid and unpredictable manner. Commodity prices can be extremely volatile and are affected by many factors, including changes in overall market movements, real or perceived inflationary trends, commodity index volatility, changes in interest rates or currency exchange rates, population growth and changing demographics, nationalization, expropriation, or other confiscation, international regulatory, political and economic developments (e.g., regime changes and changes in economic activity levels), and developments affecting a particular industry or commodity, such as drought, floods, or other weather conditions, livestock disease, trade embargoes, competition from substitute products, transportation bottlenecks or shortages, fluctuations in supply and demand, and tariffs. GMO Alternative Asset Opportunity Fund invests in commodity-related derivatives. The value of these derivatives may fluctuate more than the commodity or commodities or commodity index to which they relate. The GMO Asset Allocation Funds (except GMO U.S. Equity Allocation Fund) are exposed to the risks of investments in commodities to the extent they invest in GMO Alternative Asset Opportunity Fund.

• NATURAL RESOURCES RISK. The GMO Asset Allocation Funds (except GMO U.S. Equity Allocation Fund) may invest in GMO Resources Fund, another fund managed by GMO. GMO Resources Fund concentrates its investments in the natural resources sector, and so is particularly exposed to adverse developments, including adverse price movements, affecting issuers in the natural resources sector and is subject to greater risks than a fund that invests in a wider range of industries. In addition, the market prices of securities of companies in the natural resources sector may be more volatile than those of securities of companies in other industries. Some of the commodities used as raw materials or produced by these companies are subject to broad price fluctuations as a result of industry wide supply and demand factors. Companies in the natural resources sector often have limited pricing power over supplies or for the products they sell, which can affect their profitability. Companies in the natural resources sector also may be subject to special risks associated with natural or man-made disasters. In addition, the natural resources sector can be especially affected by political and economic developments, government regulations including changes in tax law or interpretations of law, energy conservation, and the success of exploration projects. Specifically, the natural resource sector can be significantly affected by import controls, worldwide competition, changes in consumer sentiment and spending, and can be subject to liability for, among other things, environmental damage, depletion of resources, and mandated expenditures for safety and pollution control.

GMO 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 GMO Resources Fund invests primarily in the natural resources sector, it runs the risk of performing poorly during an economic downturn or a decline in demand for natural resources.

The GMO Asset Allocation Funds (except GMO U.S. Equity Allocation Fund) are exposed to the risks of investments in the natural resources sector to the extent they invest in GMO Resources Fund.

GMO Series Trust Funds

Notes to Financial Statements — (Continued)

April 30, 2013

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

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

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

For some Funds the Manager’s portfolio managers use quantitative analyses and models. Any imperfections, errors or limitations in those analyses and models could affect the ability of the portfolio managers to implement a Fund’s strategies. By necessity, these analyses and models make simplifying assumptions that limit their effectiveness. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate or may not include the most recent information about a company or security. The Funds also run the risk that GMO’s assessment of an investment may be wrong.

GMO Series Trust Funds

Notes to Financial Statements — (Continued)

April 30, 2013

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

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

• OPTIONS RISK. The market price of options written by a Fund will be affected by many factors, including changes in the market price or dividend rates of underlying securities (or in the case of indices, the securities comprising such indices); changes in interest rates or exchange rates; changes in the actual or perceived volatility of the relevant stock market and underlying securities; and the time remaining before an option’s expiration. The market 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 prior to the option’s expiration, the writer of an American-style option has no control over when it may be required to fulfill its obligations as a writer of the option. (This risk is not present when writing a European-style option because the holder may only exercise the option on its expiration date.) If a Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.

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 amount of taxes payable by shareholders. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s income to consist of net short-term capital gains, which, when distributed, are taxable to shareholders as ordinary income. See “Distributions and Taxes” below for more information.

• FUND OF FUNDS RISK AND RELATED CONSIDERATIONS. Because each Fund invests substantially all of its assets in an Institutional Fund, which may invest in shares of other investment companies, including other GMO Funds, money market funds, and ETFs (for purposes of this risk disclosure, “underlying Funds”), the Funds are exposed to the risk that the Institutional Funds or the underlying Funds will not perform as expected.

Because a Fund bears the fees and expenses of its corresponding Institutional Fund, and the Institutional Fund bears the fees and expenses of the underlying Funds in which it invests (absent reimbursement of those expenses), the Fund and its corresponding Institutional Fund will incur additional expenses when investing in underlying Funds. In addition, total Fund expenses will increase if an Institutional Fund or its successor increases its fees or incurs additional expenses, or when an Institutional 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 Institutional Fund’s portfolio.

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

GMO Series Trust Funds

Notes to Financial Statements — (Continued)

April 30, 2013

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

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

4.	Derivative financial instruments

At April 30, 2013, the Funds held no derivative financial instruments directly. For a listing of derivative financial instruments held by the Institutional Funds or Underlying Funds at the close of their fiscal years, as well as the uses of derivative financial instruments by the Institutional Funds or Underlying Funds, if any, please refer to the Institutional Funds’ or Underlying Funds’ most recent financial statements.

5.	Fees and other transactions with affiliates

Expenses

Shareholders of the Funds do not pay any transaction-based expenses because shares of the Fund are sold without an initial sales charge or a contingent deferred sales charge upon redemption. The Institutional Funds and some Underlying Funds charge the Funds purchase premiums and/or redemption fees. These amounts are retained by the relevant Institutional Fund or Underlying Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties and transfer fees) incurred by the Institutional Fund or Underlying Fund as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. An Institutional Fund or Underlying Fund may impose a new purchase premium and/or redemption fee or modify an existing fee at any time. To the extent that a Fund invests in an Institutional Fund that charges purchase premiums and/or redemption fees, the Fund will pay those costs when it buys and sells shares of the Institutional Fund.

The costs of managing, administering, and operating the Fund cover such things as a Fund’s allocable share of the expenses of its corresponding Institutional Fund and administration and certain other fees and expenses (e.g., state registration fees) of the Fund. See the “Indirect expenses” table in Note 11 for more information.

Management Fees

The Funds do not charge a management fee directly, but certain Funds indirectly bear the management fees of the Institutional Funds and/or Underlying Funds in which the Institutional Funds invest.

Administration Fees

Each class of shares pays the Manager on a monthly basis an administration fee of 0.05% of the class’s average daily net assets for providing administrative support services. Services provided by the Manager may include, without limitation: processing aggregated purchase and redemption orders for shareholders of record; coordinating operation of the National Security Clearing Corporation’s Fund/SERV system with intermediary platforms; providing information about and processing dividend payments; assisting with the production and distribution of shareholder communications to shareholders of record such as proxies, shareholder reports and dividend and tax notices; preparing tax returns and related documentation; assisting with the production of registration statements; paying the Trust’s registration fees pursuant to Section 24(f)(2) of the 1940 Act; providing assistance with respect to the audits of the Funds; establishing and maintaining certain information about the shares on an internet site; maintaining certain of the Trust’s records; preparing and submitting reports to various regulatory agencies; preparing and submitting reports and meeting materials to the Trustees of the Trust and to existing shareholders; supervising, negotiating, and administering contractual arrangements with (to the extent appropriate) and monitoring the performance of, third party accounting agents, custodians, depositories, transfer agents, pricing agents, independent accountants and auditors, attorneys, printers, insurers, and other persons in any capacity deemed to be necessary or desirable to Trust or Fund operations and paying for the expenses of such service providers (excluding any sub-transfer agent/recordkeeping payments, whether paid pursuant to the Trust’s Rule 12b-1 Plan or otherwise); providing direct client service, maintenance, and reporting to platform sponsors, retirement plans, and other shareholders of record,

GMO Series Trust Funds

Notes to Financial Statements — (Continued)

April 30, 2013

and otherwise maintaining the relationships with the recordholders; furnishing office space and equipment, providing bookkeeping and clerical services (excluding determination of net asset value, shareholder services, and fund accounting services for the Fund being supplied by other service providers as the Fund may engage from time to time); and providing individuals affiliated with GMO to serve as officers of the Trust and paying all salaries, fees, and expenses of such officers and Trustees of the Trust who are affiliated with GMO. The Manager has retained State Street Bank to assist it in providing administrative support services.

Sub-transfer Agent/Recordkeeping Payments

Sub-transfer agent/recordkeeping payments are made by Class R5 shares of the Funds to unaffiliated third parties (e.g., financial intermediaries) for providing sub-transfer agency, recordkeeping, and other administrative services to retirement plan participants and other investors who hold shares of the Funds through an omnibus account. Class R5 shares pay for sub-transfer agent/recordkeeping services at an annual rate of 0.10% of Class R5’s average daily net assets. Class R6 shares do not make payments to third parties for sub-transfer agent/recordkeeping services. Sub-transfer agent/recordkeeping payments by Class R5 shares are made pursuant to a distribution and service plan under Rule 12b-1.

Expense Reimbursement

The Manager has contractually agreed to reimburse each Fund for state registration fees to the extent that they are borne by the Fund. The Funds’ contractual expense limitations will continue through at least August 31, 2013, and may not be terminated prior to this date without the action or consent of the Funds’ Board of Trustees.

6.	Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended April 30, 2013 are noted in the table below:



Fund Name	Purchases ($)		Sales ($)
Benchmark-Free Allocation Series Fund		153,238,612		—
Global Asset Allocation Series Fund		586,053,523		30,052,941
Global Equity Allocation Series Fund		1,761,127		396,570
International Equity Allocation Series Fund		93,118,628		8,281,732

7.	Guarantees

In the normal course of business the Funds enter into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, the Manager is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.

8.	Principal shareholders and related parties as of April 30, 2013



Fund Name	Number of shareholders that held more than 10% of the outstanding shares of the Fund		Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund
Benchmark-Free Allocation Series Fund		2		94.11%
Global Asset Allocation Series Fund		3		98.53%
Global Equity Allocation Series Fund		2		100.00%
International Equity Allocation Series Fund		2		90.10%

GMO Series Trust Funds

Notes to Financial Statements — (Continued)

April 30, 2013

9.	Share transactions

The Declaration of Trust permits each Fund to issue an unlimited number of shares of beneficial interest (without par value). Transactions in Fund shares were as follows:


	Period from January 24, 2013 (commencement of operations) through April 30, 2013
	Shares			Amount
Benchmark-Free Allocation Series Fund
Class R6:
Shares sold		15,737,264			$	157,721,228
Shares repurchased		(263,319	)			(2,678,256	)

Net increase (decrease)		15,473,945			$	155,042,972


	Period from July 31, 2012 (commencement of operations) through April 30, 2013
	Shares			Amount
Global Asset Allocation Series Fund
Class R6:
Shares sold		73,103,060			$	752,663,720
Shares issued to shareholders in reinvestment of distributions		1,406,635				14,263,282
Shares repurchased		(19,835,273	)			(206,700,587	)

Net increase (decrease)		54,674,422			$	560,226,415


	Period from September 4, 2012 (commencement of operations) through April 30, 2013
	Shares			Amount
Global Equity Allocation Series Fund
Class R6:
Shares sold		171,248			$	1,796,052
Shares issued to shareholders in reinvestment of distributions		2,282				23,005
Shares repurchased		(42,349	)			(452,792	)

Net increase (decrease)		131,181			$	1,366,265


	Period from April 5, 2013 (commencement of operations) through April 30, 2013
	Shares			Amount
International Equity Allocation Series Fund
Class R5:
Shares sold		2,157,358			$	22,437,831
Shares repurchased		(43,337	)			(461,689	)

Net increase (decrease)		2,114,021			$	21,976,142

GMO Series Trust Funds

Notes to Financial Statements — (Continued)

April 30, 2013


	Year Ended April 30, 2013							Period from March 30, 2012 (commencement of operations) through April 30, 2012
	Shares			Amount				Shares		Amount
International Equity Allocation Series Fund — (continued)
Class R6:
Shares sold		7,681,321			$	71,416,911			18,756,143		$	187,543,187
Shares issued to shareholders in reinvestment of distributions		796,017				8,065,988			—			—
Shares repurchased		(1,629,695	)			(16,749,325	)		—			—

Net increase (decrease)		6,847,643			$	62,733,574			18,756,143		$	187,543,187

10.

Investments in affiliated issuers

A summary of the Funds’ transactions in the shares of the Institutional Funds during the year ended April 30, 2013 is set forth below:


Fund Affiliate	Value, beginning of period			Purchases			Sales Proceeds			Dividend Income			Distributions of Realized Gains			Value, end of period
Benchmark-Free Allocation Series Fund
Benchmark-Free Allocation Fund, Class III		$	—		$	153,238,612		$	—		$	—		$	—		$	158,352,116

Global Asset Allocation Series Fund
Global Asset Allocation Fund, Class III		$	—		$	586,053,523		$	30,052,941		$	14,137,412		$	—		$	588,486,882

Global Equity Allocation Series Fund
Global Equity Allocation Fund, Class III		$	—		$	1,761,127		$	396,570		$	19,679		$	28,726		$	1,434,587

International Equity Allocation Series Fund
International Equity Allocation Fund, Class III		$	181,469,627		$	93,118,628		$	8,281,732		$	8,138,219		$	—		$	302,379,125

11.

Institutional Fund information

Valuation

Shares of the Institutional Funds and other open-end registered investment companies are valued at their most recent net asset value. Investments held by the Institutional Funds and the 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 the Manager deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Unlisted securities (including debt instruments) for which market quotations are readily available are generally valued at the most recent quoted price. If quotations are not readily available or circumstances make an existing methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees of GMO Trust (“Institutional Trustees”) or persons acting at their direction pursuant to procedures approved by the Institutional Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about the Institutional Funds’ and Underlying Funds’ investments in securities and derivatives that were fair valued using methods determined in good faith by or at the direction of the Institutional Trustees. The Institutional Funds and/or the Underlying Funds classify such securities as Level 3. Levels are defined in Note 2.

The foregoing pricing methodologies are modified for equity securities listed on foreign exchanges and that trade in securities markets that are closed prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equity

GMO Series Trust Funds

Notes to Financial Statements — (Continued)

April 30, 2013

securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE). In those cases, the value will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees of the Institutional Funds to reflect estimated valuation changes through the NYSE close. See the table below for information about the Institutional Funds’ and Underlying Funds’ investments in securities and derivatives that were valued using fair value inputs obtained from that independent pricing service as of April 30, 2013. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2. Levels are defined in Note 2.

Typically, the Institutional Funds and Underlying Funds value debt instruments based on the most recent quoted price supplied by a single pricing source chosen by the Manager. Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. Although alternative prices may be available for securities held by the Institutional Funds and Underlying Funds, those alternative sources are not typically part of the valuation process and do not necessarily provide greater certainty about the prices used by the Institutional Funds and Underlying Funds. See the table below for information about the securities for which no alternative pricing source was available. In the case of non-emerging market debt instruments with a remaining maturity of sixty days or less, the instrument may be valued at amortized cost which approximates market value, if the issuer is deemed to present minimal credit risk.

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

As discussed above, the Institutional Funds and Underlying Funds may 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 Institutional Trustees; fair valued using inputs obtained from an independent pricing service; valued using prices for which no alternative pricing source was available; and/or classified as Level 3.

The net aggregate indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of April 30, 2013 is as follows:

Securities



Fund Name	Fair valued using methods determined in good faith by or at the direction of the Institutional Trustees*		Fair valued using inputs obtained from an independent pricing service**		Single source; no alternative pricing source was available			Valued using Level 3 inputs
Benchmark-Free Allocation Series Fund		0.1%		39.8%		0.2	%		5.4%
Global Asset Allocation Series Fund		0.3%		41.5%		0.5	%		5.5%
Global Equity Allocation Series Fund		0.1%		53.6%		—			0.2%
International Equity Allocation Series Fund		0.3%		89.6%		—			0.3%

Considered Level 3 in the fair value hierarchy.

Considered Level 2 in the fair value hierarchy.

GMO Series Trust Funds

Notes to Financial Statements — (Continued)

April 30, 2013

Derivatives*


Fund Name	Futures contracts fair valued using inputs obtained from an independent pricing service**			Swap agreements fair valued using inputs obtained from an independent pricing service**			Options fair valued using inputs obtained from an independent pricing service**			Valued using Level 3 inputs
Benchmark-Free Allocation Series Fund		(0.2	)%		(0.2	)%		(0.1	)%		0.0	%^
Global Asset Allocation Series Fund		(0.1	)%		(0.1	)%		(0.1	)%		0.0	%^
Global Equity Allocation Series Fund		0.1	%		0.0	%^		—			—
International Equity Allocation Series Fund		0.2	%		0.0	%^		—			—

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

Considered Level 2 in the fair value hierarchy.

Rounds to 0.0%.

Indirect expenses

The Funds incur fees and expenses indirectly as a shareholder in the Institutional Funds and through their indirect exposure to the Underlying Funds. For the year ended April 30, 2013, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:


Fund Name	Indirect Net Expenses (excluding shareholder service fees)		Indirect Shareholder Service Fees		Indirect Interest Expense			Total Indirect Expenses
Benchmark-Free Allocation Series Fund		0.640%		0.147%		<0.001	%		0.787%
Global Asset Allocation Series Fund		0.443%		0.075%		0.001	%		0.519%
Global Equity Allocation Series Fund		0.449%		0.066%		—			0.515%
International Equity Allocation Series Fund		0.584%		0.079%		—			0.663%

Other information

For the year ended April 30, 2013, the portfolio turnover of the Institutional Funds was as follows:


Institutional Fund Name	Portfolio Turnover
Benchmark-Free Allocation Fund		10%
Global Asset Allocation Fund		31%
Global Equity Allocation Fund		22%
International Equity Allocation Fund		21%

As of April 30, 2013, the premium on cash purchases and fee on cash redemptions for the Institutional Funds were as follows:


	Benchmark-Free Allocation Fund		Global Asset Allocation Fund		Global Equity Allocation Fund*		International Equity Allocation Fund
Purchase Premium		0.12%		0.10%		0.12%		0.21%
Redemption Fee		0.12%		0.10%		0.12%		0.21%

During the year ended April 30, 2013, the Manager has reimbursed Global Equity Allocation Series Fund $2,088 for purchase premiums and/or redemption fees incurred through its investment in the Institutional Fund.

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Series Trust and Shareholders of GMO Benchmark-Free Allocation Series Fund, GMO Global Asset Allocation Series Fund, GMO Global Equity Allocation Series Fund and GMO International Equity Allocation Series Fund:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO Benchmark-Free Allocation Series Fund, GMO Global Asset Allocation Series Fund, GMO Global Equity Allocation Series Fund and GMO International Equity Allocation Series Fund (collectively, the “Funds”), at April 30, 2013, the results of each of their operations, the changes in each of their net assets, and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at April 30, 2013 by correspondence with the transfer agent provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

June 19, 2013

GMO Series Trust Funds

Fund Expenses

April 30, 2013 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended April 30, 2013.

As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including indirect management fees, indirect shareholder service fees, and distribution (12b-1) fees for Funds with Class R5 shares, if applicable, and other Fund expenses. This example is intended to help you understand your ongoing costs (in Dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, November 1, 2012 through April 30, 2013, unless otherwise noted.

Actual Expenses

This section of the table for each class below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

This section of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premium and redemption fees Therefore, this section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.


	Actual							Hypothetical
	Beginning Account Value		Ending Account Value		Expenses Paid During the Period*			Beginning Account Value		Ending Account Value		Expenses Paid During the Period*		Annualized Net Expense Ratio
Benchmark-Free Allocation Series Fund
Class R6		$1,000.00		$1,035.00		$2.25	^(a)		$1,000.00		$1,020.63		$4.21		0.84	%
Global Asset Allocation Series Fund
Class R6		$1,000.00		$1,088.60		$2.95			$1,000.00		$1,021.97		$2.86		0.57	%
Global Equity Allocation Series Fund
Class R6		$1,000.00		$1,132.60		$3.01			$1,000.00		$1,021.97		$2.86		0.57	%
International Equity Allocation Series Fund
Class R5		$1,000.00		$1,054.80		$0.57	^(b)		$1,000.00		$1,020.78		$4.06		0.81	%
Class R6		$1,000.00		$1,130.90		$3.75			$1,000.00		$1,021.27		$3.56		0.71	%

Expenses are calculated using the Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended April 30, 2013 multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in year.

^(a)

For the period January 24, 2013 (commencement of operations) through April 30, 2013. Expenses are calculated using the Class’s annualized net expense ratio (including indirect expenses incurred) for the period ended April 30, 2013, multiplied by the average account value over the period, multiplied by 96 days in the period, divided by 365 days in the year.

^(b)

For the period April 5, 2013 (commencement of operations) through April 30, 2013. Expenses are calculated using the Class’s annualized net expense ratio (including indirect expense incurred) for the period ended April 30, 2013, multiplied by the average account value over the period, multiplied by 25 days in the period, divided by 365 days in the year.

GMO Series Trust Funds

Board Review of Management Agreement

April 30, 2013 (Unaudited)

Benchmark-Free Allocation Fund Series Fund

Approval of initial management agreement for GMO Benchmark-Free Allocation Series Fund. In determining to approve the initial management agreement of the Fund, the Trustees, all but one of whom is not an “interested person” of GMO Series Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. At meetings on August 23, 2011 and November 22, 2011, the Trustees discussed materials provided by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to the Trustees for purposes of considering the Manager’s proposal to establish the Trust and the Fund as a series of the Trust, and the proposed new management agreement between the Trust, on behalf of the Fund, and the Manager.

The Trustees noted that the Fund would operate as a “feeder” fund that would invest substantially all of its assets in GMO Benchmark-Free Allocation Fund (“BFAF”), a series of GMO Trust, and that BFAF was also managed by the Manager. As a result, when considering information relevant to approval of the Fund’s management agreement, the Trustees considered information about BFAF as well. The Trustees considered the business reputation of the Manager and its professional liability insurance coverage.

Since the Fund had not yet commenced operations, the Trustees were unable to consider its performance. However, the Trustees considered information prepared by third-party data services concerning BFAF’s investment performance over various periods, including one-, three-, five- and seven-year periods and for the life of BFAF relative to its performance benchmark, and as compared to funds managed by other managers deemed by third-party data services to have similar objectives.

The Trustees gave substantial consideration to the fact that the Fund would not pay a management fee to the Manager under the Fund’s management agreement, but that the Fund would indirectly bear the management fees paid to the Manager by BFAF. The Trustees also considered the fact that the Fund pays GMO an administration fee at an annual rate of 0.05% of the Fund’s average daily net assets. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed to have similar objectives to BFAF. Since the Fund had not yet commenced operations, the Trustees were unable to review the Manager’s profitability with respect to the Fund. The Trustees did, however, consider other so-called “fallout benefits” to the Manager and possible reputational value to be derived from serving as investment manager to the Fund. The Trustees noted that the trustees of GMO Trust had approved renewal of the Manager’s management agreements with BFAF and each underlying GMO fund in which BFAF invests.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors. The Trustees considered the rigor and discipline with which the Manager would be managing the Fund and BFAF and the extent and quality of the resources, including human resources, to be brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services to be provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies. The Trustees also considered the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, and the systems in place to ensure compliance with the foregoing.

The Trustees considered the scope of the services to be provided by the Manager to the Fund and BFAF under the management agreement. The Trustees noted that the Trust’s counsel had advised that, in its experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund would be consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services to be provided by persons other than the Manager, considering, among other things, the Fund’s estimated total expenses, the Manager’s proposed contractual expense reimbursement arrangement with respect to the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services to be provided supported the approval of the Fund’s management agreement.

Following their review, the Trustees who were not “interested persons” of the Trust, in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the Fund’s initial management agreement for an initial period ending on the second anniversary of the agreement’s execution.

GMO Series Trust Funds

Tax Information for the Tax Year Ended April 30, 2013 (Unaudited)

The following information is being provided in order to meet reporting requirements set forth by the Code and/or to meet state-specific requirements. Shareholders should consult their tax advisors.

With respect to distributions paid, the applicable Funds designate the following amounts (or, if subsequently determined to be different, the maximum amount allowable) for the fiscal year ended April 30, 2013:



Fund Name	Dividend Received Deduction (corporate shareholders)⁽¹⁾			Qualified Dividend Income (non-corporate shareholders)⁽¹⁾			Short- Term Capital Gain Dividends⁽²⁾($)		Foreign Taxes Paid⁽³⁾($)		Foreign Source Income⁽³⁾($)
Benchmark-Free Allocation Series Fund		—			—			—		—		—
Global Asset Allocation Series Fund		17.82	%		60.61	%		195,599		657,390		6,483,032
Global Equity Allocation Series Fund		22.30	%		74.95	%		—		1,110		12,347
International Equity Allocation Series Fund		—			92.69	%		—		760,923		8,065,989

(1)

Presented as a percentage of net investment income and short-term capital gain distributions paid, if any.

(2)

These amounts are generally exempt from U.S. withholding taxes for non-U.S. shareholders, provided certain conditions are satisfied by both the Funds and the Funds’ shareholders.

(3)

The Funds expect to elect to treat foreign taxes attributed to foreign source income from certain of its investments, as if incurred directly by the Funds’ shareholders.

In early 2014, the Funds will notify applicable shareholders of amounts for use in preparing 2013 U.S. federal income tax forms.

Trustees and Officers (Unaudited)

The following tables present information regarding each Trustee and officer of the Trust as of April 30, 2013. Each Trustee’s and officer’s date of birth (“DOB”) is set forth after his or her name. Unless otherwise noted, (i) each Trustee and officer has engaged in the principal occupation(s) noted in the table for at least the most recent five years, although not necessarily in the same capacity, and (ii) the address of each Trustee and officer is c/o GMO Series Trust, 40 Rowes Wharf, Boston, MA 02110. Each Trustee serves in office for a term of eight years or, if sooner, until the Trustee dies, resigns or is removed, or until the election and qualification of the Trustee’s successor. Each officer serves in office until his or her successor is elected and determined to be qualified to carry out the duties and responsibilities of the office, or until the officer resigns or is removed from office.

Independent Trustees

Name and

Date of Birth

Position(s) Held

with the Trust

Length of

Time Served

Principal
Occupation(s)

During Past
5 Years

Number of
Portfolios in
Fund Complex¹
Overseen

Other

Directorships
Held in the Past
Five Years

Maria D. Furman

DOB: 02/03/1954

Trustee

Since August 2011.

Retired.

Trustee of MassMutual Funds (88 portfolios).

Sandra Whiston

DOB: 03/07/1947

Trustee

Since November 2011.

Retired (August 2008 –present); Head of Institutional Management, Putnam Investments (April 2005 –July 2008).

None.

Interested Trustee and Officer

Name and

Date of Birth

Position(s) Held

with the Trust

Length of

Time Served

Principal
Occupation(s)

During Past
5 Years

Number of
Portfolios in
Fund Complex¹
Overseen

Other

Directorships
Held in the Past
Five Years

Joseph B. Kittredge, Jr.²

DOB: 08/22/1954

Chairman of the Board of Trustees;

President and Chief Executive Officer of the Trust

Chairman of the Board of Trustees since November 2011; Trustee, President and Chief Executive Officer of the Trust since May 2011.

General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 –present); Partner, Ropes & Gray LLP (1988 – 2005).

None.

¹	The Fund Complex includes series of each of GMO Trust and GMO Series Trust. Mr. Kittredge also serves as a Trustee of GMO Trust.

²	Mr. Kittredge is an “interested person” of the Trust, as such term is used in the 1940 Act (an “Interested Trustee”), by virtue of his positions with the Trust and GMO indicated in the table above and his interest as a member of GMO.


Officers

Name and Date of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years¹
Joseph B. Kittredge, Jr. DOB: 08/22/1954	Chairman of the Board of Trustees; President and Chief Executive Officer	Since May 2011.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – present); Partner, Ropes & Gray LLP (1988 – 2005).

Sheppard N. Burnett DOB: 10/24/1968	Treasurer and Chief Financial Officer	Since May 2011.	Head of Fund Treasury and Tax (December 2006 – present), Fund Treasury and Tax Staff (June 2004 – November 2006), Grantham, Mayo, Van Otterloo & Co. LLC.

John L. Nasrah DOB: 05/27/1977	Assistant Treasurer	Since November 2011.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present).

Mahmoodur Rahman DOB: 11/30/1967	Assistant Treasurer	Since November 2011.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

John McGinty DOB: 08/11/1962	Chief Compliance Officer	Since August 2011.	Chief Compliance Officer, Grantham, Mayo, Van Otterloo & Co. LLC (July 2009 – present); Senior Vice President and Deputy General Counsel (January 2007 – July 2009), Vice President and Associate General Counsel (February 2006 – December 2006), Fidelity Investments.

Jason B. Harrison DOB: 01/29/1977	Vice President, Clerk and Chief Legal Officer	Vice President since November 2011; Clerk since May 2011; Chief Legal Officer since September 2011.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (February 2006 – present).

David L. Bohan DOB: 06/21/1964	Vice President and Assistant Clerk	Since November 2011.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present).

Gregory L. Pottle DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2011.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (March 2000 – present).

Anne K. Trinque DOB: 04/15/1978	Vice President and Assistant Clerk	Since November 2011.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (January 2007 – present).

Heather S. Mahoney DOB: 06/10/1974	Vice President and Assistant Clerk	Since November 2011.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (July 2004 – present).

Cheryl I. Wakeham DOB: 10/29/1958	Anti-Money Laundering Officer	Since November 2011.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC (June 1993 – present).

Each of Messrs. Burnett, Bohan, Harrison, Kittredge, and Pottle and Mses. Trinque and Mahoney serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser. Each officer listed in the table above also serves as an officer of GMO Trust


Item 2. Code of Ethics.

	As of April 30, 2013, the registrant has adopted a Code of Ethics that applies to the Principal Executive Officer and Principal Financial Officer pursuant to the Sarbanes-Oxley Act of 2002 (the “Code of Ethics”). During the year ended April 30, 2013, there were no substantive amendments to a provision of the Code of Ethics nor were there any waivers granted from a provision of the Code of Ethics. A copy of the registrant’s Code of Ethics is filed with this Form N-CSR under item 12 (a).

Item 3. Audit Committee Financial Expert.

	The registrant’s Board of Trustees has determined that the registrant does not have an “audit committee financial expert” (as such term has been defined in Form N-CSR) serving on its audit committee. The registrant’s Board believes that, although none of its members individually meets all required elements of the definition of an “audit committee financial expert”, the members of the registrant’s audit committee collectively possess the knowledge and experience necessary to execute all of the audit committee’s functions, duties and powers.

Item 4. Principal Accountant Fees and Services. *

	(a)	AUDIT FEES: The aggregate fees billed to the registrant for professional services rendered by its independent auditors, PricewaterhouseCoopers LLP for the audit of the registrant’s annual financial statements for 2013 and 2012 were $44,000 and $11,000, respectively.

	(b)	AUDIT-RELATED FEES: The aggregate fees billed to the registrant in 2013 and 2012 for engagements for audit-related services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $0 and $0, respectively. The aggregate fees billed in 2013 and 2012 to the registrant’s Investment Advisor and any entity controlling, controlled, or under common control with the Advisor that provides ongoing services to the Funds (each, a “Service Affiliate”) for engagements for audit-related services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $572,762 and $0, respectively.

	(c)	TAX FEES: The aggregate fees billed to the registrant in 2013 and 2012 for professional services rendered by PricewaterhouseCoopers LLP for tax compliance, tax advice, and tax planning, including the preparation of Form 1120 RIC, Form 8613 and review of excise tax distribution calculations, were $12,126 and $0, respectively. The aggregate fees billed in 2013 and 2012 to the registrant’s Service Affiliates for engagements for tax services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $0 and $3,000, respectively.

	(d)	ALL OTHER FEES: No such fees were billed by PricewaterhouseCoopers LLP to the registrant or to the registrant’s Service Affiliates that related directly to the operations and financial reporting of the Funds in 2013 or 2012.

	(e)	(1) The Audit Committee has adopted an Audit and Non-Audit Services Pre-Approval Policy (the “Policy”), which sets forth the procedures and the conditions pursuant to which services to be performed by the independent auditor are to be preapproved. Under the Policy, the Audit Committee pre-approves, on an annual basis, the following services: (1) the engagement, scope and terms of the annual audit; (2) certain audit-related services; (3) certain tax services that the Committee believes would not impair, and are consistent with the SEC’s rules on auditor independence; and (4) certain permissible non-audit services that the Committee believes are routine and recurring services and that would not impair, and are consistent with the SEC’s rules on auditor independence, subject to certain limitations on the projected fees associated with each service. All other types of services not included on the schedule to the policy, or for which the projected fees exceed those provided in the schedule, require the specific pre-approval by the Audit Committee or the Chairperson of the Committee (if timing necessitates that preapproval is required before the Committee’s next regularly scheduled meeting) if they are to be provided by the independent auditor.

	(e)	(2) None.


	(f)	Not applicable.

	(g)	NON-AUDIT FEES: The aggregate fees billed by PricewaterhouseCoopers LLP in 2013 and 2012 for non-audit services rendered to the registrant and the registrant’s Service Affiliates were $584,888 and $0, respectively. For the fiscal year ended April 30, 2013, this amount reflects the amounts disclosed above in Item 4(b),(c),(d), plus $0 in fees billed to the Funds’ Service Affiliates for non-audit services that did not relate directly to the operations and financial reporting of the Funds. For the fiscal year ended April 30, 2012, this amount reflects the amounts disclosed above in Item 4(b),(c),(d), plus $0 in fees billed to the Funds’ Service Affiliates for non-audit services that did not relate directly to the operations and financial reporting of the Funds.

	(h)	The registrant’s Audit Committee has considered whether the provision of non-audit services by the registrant’s independent registered public accounting firm to the registrant’s Investment Advisor, and any entity controlling, controlled, or under common control with the Advisor that provided ongoing services to the registrant that were not pre-approved by the Committee (because such services did not relate directly to the operations and financial reporting of the registrant) was compatible with maintaining the independence of the independent registered public accounting firm.

* Includes information regarding all series of GMO Series Trust.

Item 5. Audit Committee of Listed Registrants.

	Not applicable to this registrant.

Item 6. Schedule of Investments.

	The complete schedule of investments for each series of the registrant is included as part of the annual reports to shareholders filed under Item 1 of this Form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

	Not applicable to this registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

	Not applicable to this registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

	Not applicable to this registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

	There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.

Item 11. 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-CSR 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

	(a)(1) Code of Ethics described in Item 2 is attached hereto as EX-99.CODEETH.

	(a)(2) 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.

	(a)(3) Not applicable to this registrant.

	(b)	Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT.

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 Series Trust

By (Signature and Title):		/s/ J.B. Kittredge
		J.B. Kittredge, Chief Executive Officer

		Date: June 28, 2013

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


By (Signature and Title):		/s/ J.B. Kittredge
		J.B. Kittredge, Principal Executive Officer

		Date: June 28, 2013

By (Signature and Title):		/s/ Sheppard N. Burnett
		Sheppard N. Burnett, Principal Financial Officer

		Date: June 28, 2013

GMO Series Trust N-CSRCertified annual shareholder report (management investment company)