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 811-04347
GMO Trust
(Exact name of the registrant as specified in charter)
40 Rowes Wharf, Boston, MA | 02110 | |
(Address of principal executive offices) | (Zip Code) |
Sheppard N. Burnett, Chief Executive Officer, 40 Rowes Wharf, Boston, MA 02110
(Name and address of agent for services)
Registrant’s telephone number, including area code: 617-346-7646
Date of fiscal year end: 02/28/17
Date of reporting period: 08/31/16
Item 1. Reports to Stockholders.
The semi-annual reports for each series of the registrant for the period ended August 31, 2016 are filed herewith.
GMO Trust
Semiannual Report
August 31, 2016
Asset Allocation Bond Fund
Core Plus Bond Fund
Currency Hedged International Bond Fund
Debt Opportunities Fund
Emerging Country Debt Fund
Global Bond Fund
U.S. Treasury 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 is available on GMO’s website at www.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. The Funds have a policy with respect to disclosure of portfolio holdings under which they may also make a complete schedule of portfolio holdings available on GMO’s website at www.gmo.com.
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 Trust, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.
An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus regarding specific principal risks for each Fund. General risks may include: market risk-fixed income investments, management and operational risk, market risk-asset backed securities, credit risk and derivatives risk.
The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.
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GMO Asset Allocation Bond Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Debt Obligations | 78.8 | % | ||
Short-Term Investments | 11.4 | |||
Mutual Funds | 8.7 | |||
Forward Currency Contracts | 0.1 | |||
Options Purchased | 0.1 | |||
Swap Contracts | 0.0 | ^ | ||
Other | 0.9 | |||
|
| |||
100.0 | % | |||
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|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. |
^ | Rounds to 0.0%. |
1
GMO Asset Allocation Bond Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 78.8% | ||||||||||
U.S. Government — 78.8% | ||||||||||
124,515,548 | U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/24 (a) | 124,913,874 | ||||||||
71,851,947 | U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (a) | 72,435,744 | ||||||||
74,870,541 | U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/25 (a) | 76,509,832 | ||||||||
65,045,878 | U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (a) | 75,652,714 | ||||||||
18,506,084 | U.S. Treasury Inflation Indexed Bond, 2.00%, due 01/15/26 (a) | 21,535,493 | ||||||||
57,066,475 | U.S. Treasury Inflation Indexed Bond, 2.38%, due 01/15/25 (a) | 67,456,911 | ||||||||
115,242,067 | U.S. Treasury Inflation Indexed Bond, 2.38%, due 01/15/27 (a) | 140,026,372 | ||||||||
147,371,732 | U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (a) | 186,218,478 | ||||||||
12,168,381 | U.S. Treasury Inflation Indexed Bond, 3.88%, due 04/15/29 (a) | 17,460,811 | ||||||||
35,000,000 | U.S. Treasury Note, USBM + 0.19%, 0.53%, due 04/30/18 | 35,036,645 | ||||||||
20,000,000 | U.S. Treasury Note, 0.63%, due 11/30/17 | 19,971,100 | ||||||||
80,000,000 | U.S. Treasury Note, 0.75%, due 02/28/18 | 79,959,360 | ||||||||
25,000,000 | U.S. Treasury Note, 0.75%, due 07/31/18 | 24,969,725 | ||||||||
22,000,000 | U.S. Treasury Note, 0.75%, due 08/31/18 | 21,972,500 | ||||||||
25,000,000 | U.S. Treasury Note, 0.75%, due 02/15/19 | 24,921,875 | ||||||||
25,000,000 | U.S. Treasury Note, 0.88%, due 04/30/17 | 25,051,275 | ||||||||
12,500,000 | U.S. Treasury Note, 0.88%, due 04/15/19 | 12,493,650 | ||||||||
12,500,000 | U.S. Treasury Note, 1.00%, due 05/15/18 | 12,541,013 | ||||||||
37,500,000 | U.S. Treasury Note, 1.00%, due 09/30/19 | 37,549,800 | ||||||||
52,500,000 | U.S. Treasury Note, 1.25%, due 10/31/19 | 52,953,232 | ||||||||
12,500,000 | U.S. Treasury Note, 1.25%, due 02/29/20 | 12,590,825 | ||||||||
12,500,000 | U.S. Treasury Note, 1.38%, due 07/31/18 | 12,630,862 | ||||||||
32,500,000 | U.S. Treasury Note, 1.38%, due 01/31/20 | 32,879,600 | ||||||||
35,000,000 | U.S. Treasury Note, 1.50%, due 01/31/19 | 35,519,540 |
Par Value† / Shares / Principal Amount | Description | Value ($) | ||||||||
U.S. Government — continued | ||||||||||
10,000,000 | U.S. Treasury Note, 1.50%, due 03/31/19 | 10,156,640 | ||||||||
72,500,000 | U.S. Treasury Note, 1.50%, due 10/31/19 | 73,669,642 | ||||||||
25,000,000 | U.S. Treasury Note, 1.63%, due 06/30/19 | 25,491,200 | ||||||||
25,000,000 | U.S. Treasury Note, 1.63%, due 07/31/19 | 25,497,075 | ||||||||
52,500,000 | U.S. Treasury Note, 1.63%, due 08/31/19 | 53,550,000 | ||||||||
10,000,000 | U.S. Treasury Note, 1.75%, due 09/30/19 | 10,238,670 | ||||||||
25,000,000 | U.S. Treasury Note, 2.75%, due 05/31/17 | 25,393,550 | ||||||||
20,000,000 | U.S. Treasury Note, 3.13%, due 05/15/19 | 21,183,600 | ||||||||
19,000,000 | U.S. Treasury Note, 3.38%, due 11/15/19 | 20,427,964 | ||||||||
20,000,000 | U.S. Treasury Note, 3.50%, due 05/15/20 | 21,751,560 | ||||||||
50,000,000 | U.S. Treasury Note, 3.63%, due 08/15/19 | 53,898,450 | ||||||||
25,000,000 | U.S. Treasury Note, 3.63%, due 02/15/20 (b) | 27,192,375 | ||||||||
14,000,000 | U.S. Treasury Note, 4.63%, due 11/15/16 | 14,122,332 | ||||||||
|
| |||||||||
Total U.S. Government | 1,605,824,289 | |||||||||
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| |||||||||
TOTAL DEBT OBLIGATIONS (COST $1,574,021,466) | 1,605,824,289 | |||||||||
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MUTUAL FUNDS — 8.7% | ||||||||||
United States — 8.7% | ||||||||||
Affiliated Issuers — 8.7% | ||||||||||
7,114,228 | GMO U.S. Treasury Fund | 177,926,847 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $177,921,392) | 177,926,847 | |||||||||
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| |||||||||
OPTIONS PURCHASED — 0.1% | ||||||||||
Currency Options — 0.1% | ||||||||||
EUR | 17,897,000 | EUR Call/USD Put, Expires 03/06/17, Strike 1.15, (OTC) (CP-GS) | 340,493 | |||||||
USD | 19,886,000 | USD Call/CHF Put, Expires 03/06/17, Strike 1.00, (OTC) (CP-BCLY) | 314,596 | |||||||
|
| |||||||||
Total Currency Options | 655,089 | |||||||||
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|
Principal Amount | Expiration Date | Description | Floating Rate Index | Pay/Receive Fixed Rate | Exercise Rate | Counterparty | Value ($) | |||||||||||||||||
Options on Interest Rate Swaps — 0.0% | ||||||||||||||||||||||||
EUR | 186,688,000 | 05/18/2017 | Put-OTC 30-Year Interest Rate Swap | 6 month EURIBOR | Pay | 2.05% | MSCI | 575,787 | ||||||||||||||||
|
| |||||||||||||||||||||||
TOTAL OPTIONS PURCHASED (COST $8,167,653) | 1,230,876 | |||||||||||||||||||||||
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2 | See accompanying notes to the financial statements. |
GMO Asset Allocation Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares / Par Value† | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 11.4% | ||||||||||
Money Market Funds — 1.1% | ||||||||||
22,471,594 | State Street Institutional Treasury Money Market Fund-Premier Class, 0.19% (c) | 22,471,594 | ||||||||
|
| |||||||||
Repurchase Agreements — 10.3% | ||||||||||
52,354,935 | Mizuho Securities USA Inc. Repurchase Agreement, dated 8/31/16, maturing on 9/7/16 with a maturity value of $52,358,295 and an effective yield of 0.33%, collateralized by a U.S. Treasury Note with maturity date 5/15/19 and a market value of $53,421,806 | 52,354,935 | ||||||||
159,145,476 | Nomura Securities International Inc. Repurchase Agreement, dated 8/26/16, maturing on 9/2/16 with a maturity value of $159,156,306 and an effective yield of 0.35%, collateralized by a U.S. Treasury Note with maturity date 5/15/24 and a market value of $162,114,584 | 159,145,476 | ||||||||
|
| |||||||||
TOTAL REPURCHASE AGREEMENTS (COST $211,500,411) | 211,500,411 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $233,972,005) | 233,972,005 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.0% (Cost $1,994,082,516) | 2,018,954,017 | |||||||||
Other Assets and Liabilities (net) — 1.0% | 19,378,003 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $2,038,332,020 | |||||||||
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|
A summary of outstanding financial instruments at August 31, 2016 is as follows:
Forward Currency Contracts
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
09/12/2016 | BCLY | AUD | 3,920,000 | USD | 2,902,454 | $ | (42,897 | ) | ||||||||||||||
09/19/2016 | MSCI | CHF | 53,285,660 | USD | 55,576,814 | 1,346,461 | ||||||||||||||||
11/21/2016 | BOA | EUR | 58,929,315 | USD | 66,948,711 | 990,419 | ||||||||||||||||
11/21/2016 | GS | EUR | 7,457,000 | USD | 8,348,149 | 1,692 | ||||||||||||||||
11/07/2017 | GS | EUR | 238,995,000 | USD | 262,404,560 | (9,767,997 | ) | |||||||||||||||
12/22/2017 | JPM | EUR | 62,184,000 | USD | 68,688,446 | (2,295,109 | ) | |||||||||||||||
11/21/2016 | BOA | GBP | 1,786,338 | USD | 2,350,785 | 1,123 | ||||||||||||||||
09/12/2016 | BOA | JPY | 3,852,712,421 | USD | 36,786,736 | (462,466 | ) | |||||||||||||||
09/12/2016 | GS | JPY | 26,790,000 | USD | 267,336 | 8,322 | ||||||||||||||||
09/12/2016 | MSCI | JPY | 1,589,784,104 | USD | 15,673,659 | 303,140 | ||||||||||||||||
09/12/2016 | BCLY | USD | 2,926,434 | AUD | 3,920,000 | 18,916 | ||||||||||||||||
09/12/2016 | BOA | USD | 28,196,897 | JPY | 2,994,877,000 | 758,490 | ||||||||||||||||
09/12/2016 | MSCI | USD | 2,450,000 | JPY | 252,217,774 | (11,481 | ) | |||||||||||||||
09/19/2016 | BCLY | USD | 6,960,000 | CHF | 6,839,314 | 567 | ||||||||||||||||
11/07/2017 | GS | USD | 263,778,782 | EUR | 238,995,000 | 8,393,775 | ||||||||||||||||
12/22/2017 | JPM | USD | 69,205,942 | EUR | 62,184,000 | 1,777,614 | ||||||||||||||||
|
| |||||||||||||||||||||
$ | 1,020,569 | |||||||||||||||||||||
|
|
Swap Contracts
Cross-Currency Basis Swaps
Notional Amount | Expiration Date | Counterparty | Fund Pays | Fund Receives | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
72,119,587,000 | JPY | 3/9/2018 | GS | 3 Month JPY LIBOR plus a spread of (0.60)% | 3 Month USD LIBOR | $ | (3,427,152 | )(d) | ||||||||||
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$ | (3,427,152 | ) | ||||||||||||||||
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| |||||||||||||||||
Premiums to (Pay) Receive | $ | — | ||||||||||||||||
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|
Forward Starting Cross-Currency Basis Swaps | ||||||||||||||||||||
Notional Amount | Starting Date | Expiration | Counterparty | Fund Pays 1 | Fund Receives 2 | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
273,603,000 | EUR | 3/10/2017 | 3/10/2020 | GS | 3 Month USD LIBOR | 3 Month EURIBOR | $ | 781,075 | ||||||||||||
8,265,162,000 | JPY | 4/25/2018 | 4/25/2020 | GS | 3 Month JPY LIBOR | 3 Month USD LIBOR | (101,263 | ) | ||||||||||||
55,343,000 | EUR | 10/12/2016 | 10/12/2023 | GS | 3 Month EURIBOR | 3 Month USD LIBOR | (224,985 | ) |
See accompanying notes to the financial statements. | 3 |
GMO Asset Allocation Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2016 (Unaudited)
Forward Starting Cross-Currency Basis Swaps — continued | ||||||||||||||||||||
Notional Amount | Starting Date | Expiration | Counterparty | Fund Pays 1 | Fund Receives 2 | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
71,456,000 | EUR | 10/28/2016 | 10/28/2023 | GS | 3 Month EURIBOR | 3 Month USD LIBOR | $ | (228,166 | ) | |||||||||||
54,385,000 | EUR | 11/14/2016 | 11/14/2023 | GS | 3 Month EURIBOR | 3 Month USD LIBOR | (86,375 | ) | ||||||||||||
23,725,000 | EUR | 11/30/2016 | 11/30/2023 | GS | 3 Month EURIBOR | 3 Month USD LIBOR | (49,011 | ) | ||||||||||||
23,725,000 | EUR | 11/30/2016 | 11/30/2023 | GS | 3 Month EURIBOR | 3 Month USD LIBOR | (58,829 | ) | ||||||||||||
75,723,000 | EUR | 4/30/2018 | 4/30/2024 | GS | 3 Month EURIBOR | 3 Month USD LIBOR | (311,394 | ) | ||||||||||||
649,528,000 | EUR | 1/23/2020 | 1/23/2025 | GS | 3 Month USD LIBOR | 3 Month EURIBOR | 13,584,502 | |||||||||||||
98,226,000 | EUR | 3/10/2022 | 3/10/2025 | GS | 3 Month USD LIBOR | 3 Month EURIBOR | 834,807 | |||||||||||||
73,783,000 | EUR | 5/12/2020 | 5/12/2025 | GS | 3 Month EURIBOR | 3 Month USD LIBOR | (302,930 | ) | ||||||||||||
20,880,000 | EUR | 9/5/2017 | 9/5/2025 | GS | 3 Month EURIBOR | 3 Month USD LIBOR | (30,950 | ) | ||||||||||||
20,607,000 | EUR | 3/19/2018 | 3/19/2026 | GS | 3 Month EURIBOR | 3 Month USD LIBOR | 72,882 | |||||||||||||
28,777,000 | EUR | 4/6/2021 | 4/6/2026 | GS | 3 Month EURIBOR | 3 Month USD LIBOR | (198,193 | ) | ||||||||||||
8,086,000 | EUR | 4/6/2021 | 4/6/2026 | GS | 3 Month EURIBOR | 3 Month USD LIBOR | (55,690 | ) | ||||||||||||
|
| |||||||||||||||||||
$ | 13,625,480 | |||||||||||||||||||
|
| |||||||||||||||||||
Premiums to (Pay) Receive | $ | (4,376,816 | ) | |||||||||||||||||
|
|
1 | For JPY LIBOR, Fund pays 3 Month JPY LIBOR adjusted by a spread. Spread is (0.75)%. |
For EURIBOR, Fund pays 3 Month EURIBOR adjusted by a spread. Spreads range from (0.45)% to (0.58)%. |
2 | For EURIBOR, Fund receives 3 Month EURIBOR adjusted by a spread. Spreads range from (0.21)% to (0.37)%. |
Interest Rate Swaps | ||||||||||||||||||
Notional Amount | Expiration Date | Counterparty | Receive | Fixed Rate | Variable Rate | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||
16,051,000 | GBP | 6/15/2021 | JPMF (e) | Receive | 1.05% | 6 Month GBP LIBOR | $ | 581,354 | ||||||||||
10,130,000 | GBP | 6/16/2021 | JPMF (e) | Receive | 1.07% | 6 Month GBP LIBOR | 378,679 | |||||||||||
19,865,000 | GBP | 6/16/2021 | JPMF (e) | Receive | 1.21% | 6 Month GBP LIBOR | 908,297 | |||||||||||
1,207,633,000 | SEK | 12/15/2021 | JPMF (f) | Receive | 0.08% | 3 Month SEK STIBOR | 591,242 | |||||||||||
4,681,000 | EUR | 12/17/2025 | JPMF (f) | (Pay) | 0.94% | 6 Month EURIBOR | (100,995 | ) | ||||||||||
241,018,000 | MXN | 1/5/2026 | JPMF (e) | Receive | 6.26% | TIIE | 163,901 | |||||||||||
190,746,000 | MXN | 1/5/2026 | JPMF (e) | Receive | 6.24% | TIIE | 118,093 | |||||||||||
258,080,000 | MXN | 1/8/2026 | JPMF (e) | Receive | 6.29% | TIIE | 207,213 | |||||||||||
352,940,000 | MXN | 1/27/2026 | JPMF (e) | Receive | 6.05% | TIIE | (67,211 | ) | ||||||||||
37,382,000 | GBP | 3/11/2026 | JPMF (e) | (Pay) | 2.12% | 6 Month GBP LIBOR | (6,709,524 | ) | ||||||||||
144,459,000 | MXN | 4/30/2026 | JPMF (e) | Receive | 6.08% | TIIE | (17,705 | ) | ||||||||||
126,698,000 | MXN | 5/11/2026 | JPMF (e) | Receive | 6.31% | TIIE | 105,151 | |||||||||||
125,608,000 | MXN | 5/11/2026 | JPMF (e) | Receive | 6.30% | TIIE | 98,999 | |||||||||||
125,852,000 | MXN | 5/12/2026 | JPMF (e) | Receive | 6.36% | TIIE | 130,697 | |||||||||||
33,227,000 | GBP | 6/17/2026 | JPMF (e) | Receive | 1.80% | 6 Month GBP LIBOR | 1,957,849 | |||||||||||
20,456,000 | GBP | 6/17/2026 | JPMF (e) | Receive | 1.95% | 6 Month GBP LIBOR | 1,404,255 | |||||||||||
69,846,000 | MXN | 7/22/2026 | JPMF (e) | Receive | 6.26% | TIIE | 40,083 | |||||||||||
27,355,000 | NZD | 9/16/2026 | JPMF (f) | Receive | 2.73% | 3 Month NZD Bank Bill Rate | 587,848 | |||||||||||
10,028,000 | NZD | 9/16/2026 | JPMF (f) | Receive | 2.79% | 3 Month NZD Bank Bill Rate | 252,655 | |||||||||||
18,071,000 | NZD | 9/16/2026 | JPMF (f) | Receive | 2.86% | 3 Month NZD Bank Bill Rate | 542,896 | |||||||||||
8,658,000 | NZD | 9/16/2026 | JPMF (f) | Receive | 2.88% | 3 Month NZD Bank Bill Rate | 269,900 |
4 | See accompanying notes to the financial statements. |
GMO Asset Allocation Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2016 (Unaudited)
Interest Rate Swaps — continued | ||||||||||||||||||||
Notional Amount | Expiration Date | Counterparty | Receive | Fixed Rate | Variable Rate | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
16,695,000 | NZD | 9/16/2026 | JPMF (f) | Receive | 2.66% | 3 Month NZD Bank Bill Rate | $ | 283,053 | ||||||||||||
50,648,000 | USD | 9/16/2026 | JPMF (f) | (Pay) | 1.80% | 3 Month USD LIBOR | (284,057 | ) | ||||||||||||
18,688,000 | USD | 9/16/2026 | JPMF (f) | (Pay) | 1.70% | 3 Month USD LIBOR | (15,435 | ) | ||||||||||||
18,688,000 | USD | 9/16/2026 | JPMF (f) | (Pay) | 1.69% | 3 Month USD LIBOR | (6,758 | ) | ||||||||||||
11,213,000 | USD | 9/16/2026 | JPMF (f) | (Pay) | 1.69% | 3 Month USD LIBOR | (3,404 | ) | ||||||||||||
49,024,000 | USD | 9/16/2026 | JPMF (f) | (Pay) | 1.80% | 3 Month USD LIBOR | (258,446 | ) | ||||||||||||
9,775,000 | GBP | 2/17/2027 | JPMF (e) | (Pay) | 1.39% | 6 Month GBP LIBOR | (858,470 | ) | ||||||||||||
9,259,000 | GBP | 5/12/2027 | JPMF (e) | (Pay) | 1.56% | 6 Month GBP LIBOR | (991,101 | ) | ||||||||||||
2,080,000 | EUR | 8/21/2027 | JPMF (f) | (Pay) | 0.56% | 6 Month EURIBOR | (33,006 | ) | ||||||||||||
7,677,000 | EUR | 11/20/2027 | JPMF (f) | (Pay) | 0.64% | 6 Month EURIBOR | (160,469 | ) | ||||||||||||
57,512,000 | EUR | 12/18/2030 | JPMF (f) | Receive | 1.61% | 6 Month EURIBOR | 1,281,006 | |||||||||||||
3,563,000 | GBP | 12/18/2030 | JPMF (e) | Receive | 2.61% | 6 Month GBP LIBOR | 324,440 | |||||||||||||
40,483,000 | GBP | 12/18/2030 | JPMF (e) | Receive | 2.42% | 6 Month GBP LIBOR | 3,202,422 | |||||||||||||
22,600,000 | GBP | 12/18/2030 | JPMF (e) | Receive | 1.20% | 6 Month GBP LIBOR | 1,570,778 | |||||||||||||
46,368,000 | EUR | 12/17/2031 | JPMF (f) | (Pay) | 1.19% | 6 Month EURIBOR | 76,256 | |||||||||||||
10,900,000 | GBP | 12/17/2031 | JPMF (e) | (Pay) | 1.55% | 6 Month GBP LIBOR | (1,461,253 | ) | ||||||||||||
7,434,000 | GBP | 2/9/2032 | JPMF (e) | (Pay) | 1.61% | 6 Month GBP LIBOR | (1,079,324 | ) | ||||||||||||
13,136,000 | GBP | 3/17/2032 | JPMF (e) | (Pay) | 1.72% | 6 Month GBP LIBOR | (2,160,451 | ) | ||||||||||||
18,728,000 | GBP | 6/16/2032 | JPMF (e) | (Pay) | 1.67% | 6 Month GBP LIBOR | (2,866,694 | ) | ||||||||||||
94,491,000 | GBP | 9/14/2032 | JPMF (e) | Receive | 1.46% | 6 Month GBP LIBOR | 10,379,749 | |||||||||||||
4,815,000 | EUR | 12/20/2045 | JPMF (f) | Receive | 1.13% | 6 Month EURIBOR | 127,230 | |||||||||||||
16,109,000 | EUR | 12/20/2045 | JPMF (f) | Receive | 1.22% | 6 Month EURIBOR | 653,517 | |||||||||||||
20,354,000 | EUR | 12/20/2045 | JPMF (f) | Receive | 1.11% | 6 Month EURIBOR | 489,843 | |||||||||||||
601,769,000 | EUR | 12/20/2045 | JPMF (f) | Receive | 1.29% | 6 Month EURIBOR | 30,530,736 | |||||||||||||
20,267,000 | EUR | 12/20/2045 | JPMF (f) | (Pay) | 0.99% | 6 Month EURIBOR | (132,395 | ) | ||||||||||||
17,581,000 | EUR | 12/20/2045 | JPMF (f) | Receive | 1.20% | 6 Month EURIBOR | 645,883 | |||||||||||||
234,577,000 | GBP | 12/20/2045 | JPMF (e) | Receive | 1.60% | 6 Month GBP LIBOR | 30,062,406 | |||||||||||||
30,067,000 | GBP | 3/11/2046 | JPMF (e) | Receive | 2.34% | 6 Month GBP LIBOR | 16,172,356 | |||||||||||||
77,802,000 | GBP | 12/19/2046 | JPMF (e) | (Pay) | 1.54% | 6 Month GBP LIBOR | (9,521,434 | ) | ||||||||||||
42,745,000 | GBP | 2/9/2047 | JPMF (e) | (Pay) | 1.61% | 6 Month GBP LIBOR | (5,790,919 | ) | ||||||||||||
43,642,000 | GBP | 2/17/2047 | JPMF (e) | (Pay) | 1.63% | 6 Month GBP LIBOR | (7,337,795 | ) | ||||||||||||
39,256,000 | GBP | 5/12/2047 | JPMF (e) | (Pay) | 1.69% | 6 Month GBP LIBOR | (7,187,331 | ) | ||||||||||||
11,736,000 | EUR | 8/23/2047 | JPMF (f) | (Pay) | 0.97% | 6 Month EURIBOR | 21,953 | |||||||||||||
7,626,000 | EUR | 8/23/2047 | JPMF (f) | (Pay) | 1.00% | 6 Month EURIBOR | (31,132 | ) | ||||||||||||
93,899,000 | GBP | 9/14/2047 | JPMF (e) | (Pay) | 1.42% | 6 Month GBP LIBOR | (19,510,044 | ) | ||||||||||||
3,313,000 | EUR | 11/22/2047 | JPMF (f) | (Pay) | 0.97% | 6 Month EURIBOR | 4,062 | |||||||||||||
19,961,000 | EUR | 11/22/2047 | JPMF (f) | (Pay) | 1.07% | 6 Month EURIBOR | (382,571 | ) | ||||||||||||
42,000,000 | EUR | 3/14/2048 | JPMF (f) | (Pay) | 1.06% | 6 Month EURIBOR | (1,155,253 | ) | ||||||||||||
17,086,000 | EUR | 3/18/2048 | JPMF (f) | Receive | 0.84% | 6 Month EURIBOR | (82,916 | ) | ||||||||||||
552,243,000 | EUR | 3/18/2048 | JPMF (f) | (Pay) | 1.20% | 6 Month EURIBOR | (26,378,628 | ) | ||||||||||||
|
| |||||||||||||||||||
$ | 9,580,081 | |||||||||||||||||||
|
| |||||||||||||||||||
Premiums to (Pay) Receive | $ | (16,407,482 | ) | |||||||||||||||||
|
|
# | Receive - Fund receives fixed rate and pays variable rate. |
(Pay) - Fund pays fixed rate and receives variable rate. |
See accompanying notes to the financial statements. | 5 |
GMO Asset Allocation Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2016 (Unaudited)
As of August 31, 2016, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
(a) | Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic (Note 2). |
(b) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
(c) | The rate disclosed is the 7 day net yield as of August 31, 2016. |
(d) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2). |
(e) | Swap was cleared through the CME Group Inc. |
(f) | Swap was cleared through the LCH.Clearnet Group Ltd. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 43.
6 | See accompanying notes to the financial statements. |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary† | % of Total Net Assets | |||
Debt Obligations | 72.7 | % | ||
Short-Term Investments | 26.4 | |||
Mutual Funds | 15.0 | |||
Loan Participations | 0.1 | |||
Forward Currency Contracts | 0.1 | |||
Rights/Warrants | 0.1 | |||
Options Purchased | 0.0 | ^ | ||
Loan Assignments | 0.0 | ^ | ||
Written Options/Credit Linked Options | (0.0 | )^ | ||
Reverse Repurchase Agreements | (0.0 | )^ | ||
Futures Contracts | (0.0 | )^ | ||
Swap Contracts | (0.1 | ) | ||
Other | (14.3 | ) | ||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary‡ | % of Investments | |||
United States | 89.5 | % | ||
Other Emerging | 5.2 | ¥ | ||
Mexico | 3.8 | |||
Sweden | 2.9 | |||
New Zealand | 2.3 | |||
United Kingdom | (3.7 | ) | ||
|
| |||
100.0 | % | |||
|
|
† | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. |
‡ | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table is normalized to 100%, therefore the absolute exposure presented for each country may not be representative of the true exposure of the Fund. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security. |
¥ | “Other Emerging” is associated with investments in GMO Emerging Country Debt Fund and is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
^ | Rounds to 0.00%. |
7
GMO Core Plus Bond Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Par Value† / Shares | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 49.0% | ||||||||||
United States | ||||||||||
U.S. Government — 34.0% | ||||||||||
3,192,000 | U.S. Treasury Bond, 3.13%, due 11/15/41 (a) | 3,789,753 | ||||||||
225,000 | U.S. Treasury Bond, 4.50%, due 02/15/36 | 321,504 | ||||||||
7,614,000 | U.S. Treasury Note, 1.38%, due 06/30/18 | 7,690,437 | ||||||||
5,487,000 | U.S. Treasury Note, 1.63%, due 11/30/20 | 5,593,739 | ||||||||
3,218,000 | U.S. Treasury Note, 1.63%, due 05/31/23 | 3,257,597 | ||||||||
2,536,000 | U.S. Treasury Note, 1.63%, due 02/15/26 | 2,543,925 | ||||||||
|
| |||||||||
23,196,955 | ||||||||||
|
| |||||||||
U.S. Government Agency — 15.0% | ||||||||||
1,370,000 | Federal Home Loan Mortgage Corp., TBA, 3.50%, due 09/14/46 | 1,442,139 | ||||||||
1,550,000 | Federal National Mortgage Association, TBA, 2.50%, due 09/19/46 | 1,600,860 | ||||||||
1,420,000 | Federal National Mortgage Association, TBA, 3.00%, due 09/14/46 | 1,472,584 | ||||||||
2,150,000 | Federal National Mortgage Association, TBA, 4.00%, due 09/14/46 | 2,302,516 | ||||||||
3,210,000 | Government National Mortgage Association, TBA, 3.50%, due 09/21/46 | 3,407,666 | ||||||||
|
| |||||||||
10,225,765 | ||||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $33,617,612) | 33,422,720 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 64.8% | ||||||||||
United States | ||||||||||
Affiliated Issuers — 49.8% | ||||||||||
540,910 | GMO Debt Opportunities Fund, Class VI | 13,701,241 | ||||||||
120,941 | GMO Emerging Country Debt Fund, Class IV | 3,636,709 | ||||||||
663,756 | GMO U.S. Treasury Fund | 16,600,545 | ||||||||
|
| |||||||||
33,938,495 | ||||||||||
|
| |||||||||
Exchange-Traded Fund — 15.0% | ||||||||||
82,750 | iShares iBoxx $ Investment Grade Corporate Bond ETF | 10,251,897 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $43,682,992) | 44,190,392 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.6% | ||||||||||
Money Market Funds | ||||||||||
409,771 | State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.20% (b) | 409,771 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $409,771) | 409,771 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 114.4% (Cost $77,710,375) | 78,022,883 | |||||||||
Other Assets and Liabilities (net) — (14.4%) | (9,827,297 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $68,195,586 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2016 is as follows:
Forward Currency Contracts
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
09/12/2016 | BCLY | AUD | 30,000 | USD | 22,213 | $ | (328 | ) | ||||||||||||||
09/19/2016 | MSCI | CHF | 1,621,125 | USD | 1,690,829 | 40,964 | ||||||||||||||||
11/21/2016 | BOA | EUR | 1,458,023 | USD | 1,656,438 | 24,505 | ||||||||||||||||
11/07/2017 | GS | EUR | 4,716,000 | USD | 5,177,932 | (192,748 | ) | |||||||||||||||
11/21/2016 | BOA | GBP | 37,865 | USD | 49,830 | 24 | ||||||||||||||||
09/12/2016 | BOA | JPY | 28,598,225 | USD | 279,000 | 2,503 | ||||||||||||||||
09/12/2016 | MSCI | JPY | 44,438,844 | USD | 435,944 | 6,295 | ||||||||||||||||
09/12/2016 | BCLY | USD | 22,396 | AUD | 30,000 | 145 | ||||||||||||||||
11/07/2017 | GS | USD | 5,205,049 | EUR | 4,716,000 | 165,631 | ||||||||||||||||
|
| |||||||||||||||||||||
$ | 46,991 | |||||||||||||||||||||
|
|
Futures Contracts
Number | Type | Expiration Date | Notional Amount | Net Unrealized Appreciation (Depreciation) | ||||||||||
Buys | ||||||||||||||
1 | U.S. Long Bond (CBT) | December 2016 | $ | 170,375 | $ | (423 | ) | |||||||
22 | U.S. Treasury Note 10 Yr. (CBT) | December 2016 | 2,880,281 | (7,424 | ) | |||||||||
30 | U.S. Treasury Note 2 Yr. (CBT) | December 2016 | 6,549,375 | (4,248 | ) | |||||||||
43 | U.S. Treasury Note 5 Yr. (CBT) | December 2016 | 5,213,750 | (10,475 | ) | |||||||||
7 | U.S. Ultra Bond (CBT) | December 2016 | 1,312,282 | 809 | ||||||||||
|
|
|
| |||||||||||
$ | 16,126,063 | $ | (21,761 | ) | ||||||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
8 | See accompanying notes to the financial statements. |
GMO Core Plus Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2016 (Unaudited)
Swap Contracts
Interest Rate Swaps
Notional Amount | Expiration Date | Counterparty | Receive | Fixed Rate | Variable Rate | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
33,982,000 | SEK | 12/15/2021 | CSS (c) | Receive | 0.08% | 3 Month SEK STIBOR | $ | 16,637 | ||||||||||||
25,742,000 | MXN | 1/5/2026 | CSS (d) | Receive | 6.24% | TIIE | 15,937 | |||||||||||||
21,522,000 | MXN | 6/19/2026 | CSS (d) | Receive | 6.11% | TIIE | (774 | ) | ||||||||||||
770,000 | NZD | 9/16/2026 | CSS (c) | Receive | 2.73% | 3 Month NZD Bank Bill Rate | 16,547 | |||||||||||||
1,414,000 | NZD | 9/16/2026 | CSS (c) | Receive | 2.66% | 3 Month NZD Bank Bill Rate | 23,973 | |||||||||||||
1,470,000 | USD | 9/16/2026 | CSS (c) | (Pay) | 1.68% | 3 Month USD LIBOR | 151 | |||||||||||||
1,451,000 | USD | 9/16/2026 | CSS (c) | (Pay) | 1.80% | 3 Month USD LIBOR | (7,649 | ) | ||||||||||||
1,577,000 | USD | 9/16/2026 | CSS (c) | (Pay) | 1.80% | 3 Month USD LIBOR | (8,845 | ) | ||||||||||||
1,350,000 | GBP | 12/20/2045 | CSS (c) | (Pay) | 1.21% | 6 Month GBP LIBOR | (72,441 | ) | ||||||||||||
|
| |||||||||||||||||||
$ | (16,464 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Premiums to (Pay) Receive | $ | (21,542 | ) | |||||||||||||||||
|
|
# | Receive - Fund receives fixed rate and pays variable rate. |
(Pay) - Fund pays fixed rate and receives variable rate. |
As of August 31, 2016, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
(a) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
(b) | The rate disclosed is the 7 day net yield as of August 31, 2016. |
(c) | Swap was cleared through the LCH.Clearnet Group Ltd. |
(d) | Swap was cleared through the CME Group Inc. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 43.
See accompanying notes to the financial statements. | 9 |
GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary† | % of Total Net Assets | |||
Debt Obligations | 65.2 | % | ||
Short-Term Investments | 33.5 | |||
Forward Currency Contracts | 0.7 | |||
Futures Contracts | 0.4 | |||
Loan Participations | 0.1 | |||
Rights/Warrants | 0.1 | |||
Options Purchased | 0.0 | ^ | ||
Loan Assignments | 0.0 | ^ | ||
Written Options/Credit Linked Options | (0.0 | )^ | ||
Reverse Repurchase Agreements | (0.0 | )^ | ||
Swap Contracts | (0.4 | ) | ||
Other | 0.4 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary‡ | % of Investments | |||
Germany | 17.2 | % | ||
France | 16.2 | |||
United Kingdom | 14.9 | |||
Italy | 14.1 | |||
Spain | 7.7 | |||
Other Emerging | 5.4 | ¥ | ||
Belgium | 4.3 | |||
New Zealand | 4.3 | |||
Sweden | 3.8 | |||
Mexico | 3.5 | |||
Australia | 3.4 | |||
Netherlands | 3.3 | |||
Euro Region§ | 3.1 | |||
Canada | 2.7 | |||
Other Developed | (3.9 | )¨ | ||
|
| |||
100.0 | % | |||
|
|
† | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. |
‡ | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table is normalized to 100%, therefore the absolute exposure presented for each country may not be representative of the true exposure of the Fund. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security. |
¥ | “Other Emerging” is associated with investments in GMO Emerging Country Debt Fund and is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
§ | “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country. |
¨ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
^ | Rounds to 0.00%. |
10
GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 55.6% | ||||||||||
Belgium — 4.2% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 1,130,000 | Belgium Government Bond, Reg S, 4.25%, due 09/28/21 | 1,563,947 | |||||||
EUR | 590,000 | Belgium Government Bond, Reg S, 5.00%, due 03/28/35 | 1,166,483 | |||||||
|
| |||||||||
Total Belgium | 2,730,430 | |||||||||
|
| |||||||||
France — 3.9% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 1,230,000 | France Government Bond OAT, Reg S, 4.50%, due 04/25/41 | 2,483,072 | |||||||
|
| |||||||||
Germany — 4.7% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 1,500,000 | Bundesrepublik Deutschland, Reg S, 4.75%, due 07/04/34 | 3,022,133 | |||||||
|
| |||||||||
Italy — 15.9% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 5,610,000 | Buoni Poliennali Del Tesoro, 3.75%, due 05/01/21 | 7,278,446 | |||||||
EUR | 1,920,000 | Buoni Poliennali Del Tesoro, Reg S, 4.00%, due 02/01/37 | 2,936,222 | |||||||
|
| |||||||||
Total Italy | 10,214,668 | |||||||||
|
| |||||||||
Netherlands — 3.1% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 70,000 | Netherlands Government Bond, Reg S, 4.00%, due 07/15/19 | 88,529 | |||||||
EUR | 1,050,000 | Netherlands Government Bond, 5.50%, due 01/15/28 | 1,899,173 | |||||||
|
| |||||||||
Total Netherlands | 1,987,702 | |||||||||
|
|
Par Value† / Shares | Description | Value ($) | ||||||||
Spain — 9.8% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 380,000 | Government of Spain, 2.10%, due 04/30/17 | 430,420 | |||||||
EUR | 1,010,000 | Government of Spain, Reg S, 4.20%, due 01/31/37 | 1,603,292 | |||||||
EUR | 3,040,000 | Government of Spain, Reg S, 5.50%, due 04/30/21 | 4,244,882 | |||||||
|
| |||||||||
Total Spain | 6,278,594 | |||||||||
|
| |||||||||
United Kingdom — 14.0% | ||||||||||
Foreign Government Obligations | ||||||||||
GBP | 510,000 | United Kingdom Gilt, Reg S, 1.25%, due 07/22/18 | 683,761 | |||||||
GBP | 2,160,000 | United Kingdom Gilt, Reg S, 1.75%, due 07/22/19 | 2,969,481 | |||||||
GBP | 2,630,000 | United Kingdom Gilt, Reg S, 3.50%, due 01/22/45 | 5,310,726 | |||||||
|
| |||||||||
Total United Kingdom | 8,963,968 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $34,712,111) | 35,680,567 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 41.1% | ||||||||||
United States | ||||||||||
Affiliated Issuers | ||||||||||
111,902 | GMO Debt Opportunities Fund, Class VI | 2,834,480 | ||||||||
127,032 | GMO Emerging Country Debt Fund, Class IV | 3,819,839 | ||||||||
787,934 | GMO U.S. Treasury Fund | 19,706,220 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $25,136,619) | 26,360,539 | |||||||||
|
|
OPTIONS PURCHASED — 0.0%
Principal Amount | Expiration Date | Description | Floating Rate Index | Pay/Receive Fixed Rate | Exercise Rate | Counterparty | Value ($) | |||||||||||||||||
Options on Interest Rate Swaps | ||||||||||||||||||||||||
EUR | 954,000 | 05/18/2017 | Put-OTC 30-Year Interest Rate Swap | 6 month EURIBOR | Pay | 2.05% | MSCI | 2,942 | ||||||||||||||||
EUR | 954,000 | 02/18/2017 | Put-OTC 30-Year Interest Rate Swap | 6 month EURIBOR | Pay | 2.05% | MSCI | 1,086 | ||||||||||||||||
EUR | 954,000 | 08/18/2017 | Put-OTC 30-Year Interest Rate Swap | 6 month EURIBOR | Pay | 2.05% | MSCI | 5,816 | ||||||||||||||||
EUR | 1,845,000 | 02/01/2017 | Put-OTC 30-Year Interest Rate Swap | 6 month EURIBOR | Pay | 2.03% | GS | 1,041 | ||||||||||||||||
EUR | 604,000 | 10/13/2016 | Put-OTC 30-Year Interest Rate Swap | 6 month EURIBOR | Pay | 1.90% | GS | 7 | ||||||||||||||||
|
| |||||||||||||||||||||||
TOTAL OPTIONS PURCHASED (COST $196,489) | 10,892 | |||||||||||||||||||||||
|
|
See accompanying notes to the financial statements. | 11 |
GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares / Par Value† | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 2.1% | ||||||||||
Money Market Funds — 0.6% | ||||||||||
358,212 | State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.20% (a) | 358,212 | ||||||||
|
| |||||||||
U.S. Government — 1.5% | ||||||||||
1,000,000 | U.S. Treasury Bill, 0.42%, due 01/26/17 (b) (c) | 998,330 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $1,356,642) | 1,356,542 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 98.8% (Cost $61,401,861) | 63,408,540 | |||||||||
Other Assets and Liabilities (net) — 1.2% | 741,766 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $64,150,306 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2016 is as follows:
Forward Currency Contracts
Settlement Date | Counter- | Currency | Currency | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
09/12/2016 | BCLY | AUD | 210,000 | USD | 155,489 | $(2,298) | ||||||||||||
09/19/2016 | MSCI | CHF | 1,514,300 | USD | 1,579,411 | 38,265 | ||||||||||||
11/21/2016 | BOA | EUR | 25,563,748 | USD | 29,042,591 | 429,647 | ||||||||||||
11/07/2017 | GS | EUR | 1,404,000 | USD | 1,541,522 | (57,383) | ||||||||||||
11/21/2016 | BOA | GBP | 6,812,000 | USD | 8,964,456 | 4,281 | ||||||||||||
09/12/2016 | BOA | JPY | 66,814,179 | USD | 645,140 | (840) | ||||||||||||
09/12/2016 | MSCI | JPY | 41,474,320 | USD | 406,852 | 5,865 | ||||||||||||
09/12/2016 | BCLY | USD | 156,773 | AUD | 210,000 | 1,014 | ||||||||||||
09/12/2016 | BOA | USD | 377,176 | JPY | 40,061,000 | 10,146 | ||||||||||||
11/21/2016 | BOA | USD | 103,962 | GBP | 79,000 | (50) | ||||||||||||
11/07/2017 | GS | USD | 1,549,595 | EUR | 1,404,000 | 49,310 | ||||||||||||
|
| |||||||||||||||||
$477,957 | ||||||||||||||||||
|
|
Futures Contracts
Number | Type | Expiration Date | Notional Amount | Net Unrealized Appreciation (Depreciation) | ||||||||||
Buys | ||||||||||||||
14 | Australian Government Bond 10 Yr. | September 2016 | $ | 1,450,878 | $ | 29,210 | ||||||||
15 | Australian Government Bond 3 Yr. | September 2016 | 1,279,868 | 5,489 | ||||||||||
16 | Canadian Government Bond 10 Yr. | December 2016 | 1,790,697 | 2,533 | ||||||||||
21 | Euro BOBL | September 2016 | 3,129,273 | 9,517 | ||||||||||
8 | Euro Bund | September 2016 | 1,493,632 | 24,195 | ||||||||||
6 | Euro BUXL Bond 30 Yr. | September 2016 | 1,291,558 | 45,282 | ||||||||||
29 | Euro OATs | September 2016 | 5,217,418 | 126,777 | ||||||||||
4 | Short-term Euro-BTP | September 2016 | 504,362 | 933 | ||||||||||
24 | UK Gilt Long Bond | December 2016 | 4,145,245 | 11,008 | ||||||||||
|
|
|
| |||||||||||
$ | 20,302,931 | $ | 254,944 | |||||||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
Swap Contracts
Interest Rate Swaps
Notional Amount | Expiration Date | Counterparty | Receive | Fixed Rate | Variable Rate | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
3,890,000 | EUR | 11/28/2016 | CSS (d) | Receive | 0.10% | 3 Month EURIBOR | $ | 4,139 | ||||||||||||
10,113,000 | EUR | 3/21/2018 | CSS (d) | Receive | (0.22)% | 3 Month EURIBOR | 20,891 | |||||||||||||
665,000 | USD | 12/16/2020 | CSS (d) | (Pay) | 1.92% | 3 Month USD LIBOR | (20,819 | ) | ||||||||||||
7,393,000 | SEK | 12/15/2021 | CSS (e) | Receive | 0.12% | 3 Month SEK STIBOR | 5,354 | |||||||||||||
24,585,000 | SEK | 12/15/2021 | CSS (e) | Receive | 0.08% | 3 Month SEK STIBOR | 12,037 | |||||||||||||
3,602,000 | MXN | 10/28/2024 | BCI (d) | Receive | 6.13% | TIIE | 1,601 |
12 | See accompanying notes to the financial statements. |
GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2016 (Unaudited)
Interest Rate Swaps — continued | ||||||||||||||||||||
Notional Amount | Expiration Date | Counterparty | Receive | Fixed Rate | Variable Rate | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
415,000 | EUR | 12/17/2025 | CSS (e) | (Pay) | 0.94% | 6 Month EURIBOR | $ | (8,954 | ) | |||||||||||
1,066,000 | USD | 12/17/2025 | CSS (d) | (Pay) | 2.43% | 3 Month USD LIBOR | (94,761 | ) | ||||||||||||
18,923,000 | MXN | 1/27/2026 | CSS (d) | Receive | 6.05% | TIIE | (3,604 | ) | ||||||||||||
7,254,000 | MXN | 5/12/2026 | CSS (d) | Receive | 6.36% | TIIE | 7,533 | |||||||||||||
14,880,000 | MXN | 6/19/2026 | CSS (d) | Receive | 6.11% | TIIE | (535 | ) | ||||||||||||
713,000 | NZD | 9/16/2026 | CSS (e) | Receive | 2.73% | 3 Month NZD Bank Bill Rate | 15,322 | |||||||||||||
1,327,000 | NZD | 9/16/2026 | CSS (e) | Receive | 2.66% | 3 Month NZD Bank Bill Rate | 22,498 | |||||||||||||
1,472,000 | USD | 9/16/2026 | CSS (e) | (Pay) | 1.80% | 3 Month USD LIBOR | (8,256 | ) | ||||||||||||
1,373,000 | USD | 9/16/2026 | CSS (e) | (Pay) | 1.68% | 3 Month USD LIBOR | 141 | |||||||||||||
1,361,000 | USD | 9/16/2026 | CSS (e) | (Pay) | 1.80% | 3 Month USD LIBOR | (7,175 | ) | ||||||||||||
490,000 | EUR | 12/18/2030 | CSS (e) | Receive | 1.61% | 6 Month EURIBOR | 10,914 | |||||||||||||
405,000 | USD | 12/19/2035 | CSS (d) | (Pay) | 2.72% | 3 Month USD LIBOR | (73,695 | ) | ||||||||||||
273,000 | EUR | 12/20/2045 | CSS (e) | Receive | 1.20% | 6 Month EURIBOR | 10,029 | |||||||||||||
437,800 | EUR | 12/20/2045 | CSS (e) | (Pay) | 1.29% | 6 Month EURIBOR | (22,212 | ) | ||||||||||||
283,000 | EUR | 12/20/2045 | CSS (e) | Receive | 1.22% | 6 Month EURIBOR | 11,481 | |||||||||||||
224,000 | EUR | 12/20/2045 | CSS (e) | Receive | 1.11% | 6 Month EURIBOR | 5,391 | |||||||||||||
1,262,000 | GBP | 12/20/2045 | CSS (e) | (Pay) | 1.21% | 6 Month GBP LIBOR | (67,719 | ) | ||||||||||||
95,000 | EUR | 11/22/2047 | CSS (e) | (Pay) | 0.97% | 6 Month EURIBOR | 117 | |||||||||||||
|
| |||||||||||||||||||
$ | (180,282 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Premiums to (Pay) Receive | $ | 6,079 | ||||||||||||||||||
|
|
# | Receive - Fund receives fixed rate and pays variable rate. |
(Pay) - Fund pays fixed rate and receives variable rate. |
As of August 31, 2016, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
(a) | The rate disclosed is the 7 day net yield as of August 31, 2016. |
(b) | The rate shown represents yield-to-maturity. |
(c) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
(d) | Swap was cleared through the CME Group Inc. |
(e) | Swap was cleared through the LCH.Clearnet Group Ltd. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 43.
See accompanying notes to the financial statements. | 13 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Debt Obligations | 93.8 | % | ||
Mutual Funds | 3.7 | |||
Short-Term Investments | 1.5 | |||
Options Purchased | 0.1 | |||
Written Options | 0.0 | ^ | ||
Swap Contracts | 0.0 | ^ | ||
Forward Currency Contracts | 0.0 | ^ | ||
Other | 0.9 | |||
|
| |||
100.0 | % | |||
|
|
Industry Sector Summary | % of Debt Obligations | |||
Commercial Mortgage-Backed Securities | 24.1 | % | ||
Student Loans | 19.1 | |||
Collateralized Loan Obligations | 17.3 | |||
Residential Mortgage-Backed Securities – Other | 9.2 | |||
Auto Retail Subprime | 8.1 | |||
Residential Mortgage-Backed Securities – Subprime | 6.6 | |||
Residential Mortgage-Backed Securities – Prime | 5.7 | |||
Residential Mortgage-Backed Securities – Alt-A | 4.0 | |||
Time Share | 1.5 | |||
U.S. Government Agency | 1.4 | |||
Auto Retail Prime | 1.3 | |||
Business Equipment Loans | 0.8 | |||
Insured Residential Mortgage-Backed Securities | 0.5 | |||
Consumer Loans | 0.3 | |||
Other | 0.1 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. |
^ | Rounds to 0.0%. |
14
GMO Debt Opportunities Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 93.8% | ||||||||||
Asset-Backed Securities — 92.5% | ||||||||||
Auto Retail Prime — 1.2% | ||||||||||
4,500,000 | California Republic Auto Receivables Trust, Series 12-1, Class C, 144A, 3.00%, due 01/15/20 | 4,508,946 | ||||||||
13,120,000 | California Republic Auto Receivables Trust, Series 13-1, Class C, 144A, 3.25%, due 03/16/20 | 13,204,202 | ||||||||
985,600 | California Republic Auto Receivables Trust, Series 14-1, Class C, 3.40%, due 12/15/20 | 986,683 | ||||||||
|
| |||||||||
Total Auto Retail Prime | 18,699,831 | |||||||||
|
| |||||||||
Auto Retail Subprime — 7.6% | ||||||||||
11,430,000 | AmeriCredit Automobile Receivables Trust, Series 12-2, Class E, 144A, 4.85%, due 08/08/19 | 11,436,049 | ||||||||
3,500,000 | AmeriCredit Automobile Receivables Trust, Series 13-1, Class E, 144A, 2.64%, due 07/08/20 | 3,512,514 | ||||||||
13,720,000 | AmeriCredit Automobile Receivables Trust, Series 14-2, Class E, 3.37%, due 11/08/21 | 13,878,816 | ||||||||
2,804,000 | CarFinance Capital Auto Trust, Series 13-1A, Class D, 144A, 4.68%, due 11/15/19 | 2,818,424 | ||||||||
1,755,000 | CarFinance Capital Auto Trust, Series 13-2A, Class D, 144A, 5.93%, due 08/15/19 | 1,786,740 | ||||||||
2,592,000 | CarFinance Capital Auto Trust, Series 14-1A, Class C, 144A, 3.45%, due 04/15/20 | 2,587,655 | ||||||||
1,330,000 | CarFinance Capital Auto Trust, Series 14-1A, Class D, 144A, 4.90%, due 04/15/20 | 1,322,505 | ||||||||
4,130,000 | CFC LLC, Series 14-2A, Class E, 144A, 5.36%, due 11/15/21 | 3,988,886 | ||||||||
562,026 | CPS Auto Receivables Trust, Series 13-A, Class D, 144A, 4.41%, due 06/15/20 | 561,245 | ||||||||
52,931 | CPS Auto Receivables Trust, Series 13-A, Class E, 144A, 6.41%, due 06/15/20 | 52,943 | ||||||||
2,765,480 | CPS Auto Receivables Trust, Series 13-B, Class D, 144A, 4.66%, due 09/15/20 | 2,761,211 | ||||||||
51,150 | CPS Auto Receivables Trust, Series 13-B, Class E, 144A, 6.41%, due 09/15/20 | 51,148 | ||||||||
4,000,000 | CPS Auto Receivables Trust, Series 14-A, Class C, 144A, 3.29%, due 02/18/20 | 3,963,051 | ||||||||
1,500,000 | CPS Auto Receivables Trust, Series 14-A, Class D, 144A, 5.11%, due 02/18/20 | 1,494,067 | ||||||||
1,049,647 | CPS Auto Receivables Trust, Series 15-C, Class D, 144A, 4.63%, due 08/16/21 | 1,036,493 | ||||||||
388,942 | CPS Auto Trust, Series 12-D, Class D, 144A, 4.82%, due 03/16/20 | 388,656 | ||||||||
6,250,535 | DT Auto Owner Trust, Series 13-1A, Class D, 144A, 3.74%, due 05/15/20 | 6,294,877 | ||||||||
6,539,139 | DT Auto Owner Trust, Series 13-2A, Class D, 144A, 4.18%, due 06/15/20 | 6,596,930 |
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Auto Retail Subprime — continued | ||||||||||
5,847,188 | DT Auto Owner Trust, Series 15-2A, Class D, 144A, 4.25%, due 02/15/22 | 5,837,334 | ||||||||
12,000,000 | Exeter Automobile Receivables Trust, Series 13-2A, Class D, 144A, 6.81%, due 08/17/20 | 12,315,696 | ||||||||
6,000,000 | Exeter Automobile Receivables Trust, Series 14-1A, Class C, 144A, 3.57%, due 07/15/19 | 6,039,153 | ||||||||
6,000,000 | Exeter Automobile Receivables Trust, Series 14-1A, Class D, 144A, 5.53%, due 02/16/21 | 6,063,244 | ||||||||
5,000,000 | Exeter Automobile Receivables Trust, Series 14-2A, Class C, 144A, 3.26%, due 12/16/19 | 5,025,269 | ||||||||
4,875,000 | Exeter Automobile Receivables Trust, Series 14-2A, Class D, 144A, 4.93%, due 12/15/20 | 4,896,778 | ||||||||
3,000,000 | First Investors Auto Owner Trust, Series 12-2A, Class D, 144A, 3.79%, due 09/16/19 | 3,010,493 | ||||||||
1,071,781 | Flagship Credit Auto Trust, Series 12-1, Class C, 144A, 4.93%, due 05/15/18 | 1,075,223 | ||||||||
1,938,500 | Flagship Credit Auto Trust, Series 13-1, Class D, 144A, 5.38%, due 07/15/20 | 1,955,619 | ||||||||
1,144,000 | Flagship Credit Auto Trust, Series 13-2, Class C, 144A, 4.42%, due 12/16/19 | 1,156,909 | ||||||||
3,000,000 | Flagship Credit Auto Trust, Series 14-1, Class C, 144A, 3.34%, due 04/15/20 | 2,984,779 | ||||||||
1,500,000 | Flagship Credit Auto Trust, Series 14-1, Class D, 144A, 4.83%, due 06/15/20 | 1,499,080 | ||||||||
1,400,000 | Flagship Credit Auto Trust, Series 14-1, Class E, 144A, 5.71%, due 08/16/21 | 1,404,222 | ||||||||
|
| |||||||||
Total Auto Retail Subprime | 117,796,009 | |||||||||
|
| |||||||||
Business Equipment Loans — 0.7% | ||||||||||
352,500 | LEAF Receivables Funding 9 LLC, Series 13-1, Class B, 144A, 2.80%, due 09/15/21 | 352,265 | ||||||||
2,841,000 | LEAF Receivables Funding 9 LLC, Series 13-1, Class D, 144A, 5.11%, due 09/15/21 | 2,847,607 | ||||||||
5,700,000 | LEAF Receivables Funding 9 LLC, Series 13-1, Class E1, 144A, 6.00%, due 09/15/21 | 5,838,590 | ||||||||
2,282,000 | LEAF Receivables Funding 9 LLC, Series 13-1, Class E2, 144A, 6.00%, due 09/15/21 | 2,264,429 | ||||||||
|
| |||||||||
Total Business Equipment Loans | 11,302,891 | |||||||||
|
| |||||||||
Collateralized Loan Obligations — 16.2% | ||||||||||
37,276,500 | Arrowpoint CLO Ltd., Series 15-4A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.55%, 2.23%, due 04/18/27 | 37,266,659 |
See accompanying notes to the financial statements. | 15 |
GMO Debt Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Collateralized Loan Obligations — continued | ||||||||||
2,224,283 | Atrium V, Series 5A, Class A3A, 144A, Variable Rate, 3 mo. LIBOR + .24%, 1.05%, due 07/20/20 | 2,221,320 | ||||||||
1,408,000 | Atrium V, Series 5A, Class D, 144A, Variable Rate, 3 mo. LIBOR + 3.70%, 4.51%, due 07/20/20 | 1,409,302 | ||||||||
3,520,000 | Atrium V, Series 5X, Class D, Reg S, Variable Rate, 3 mo. LIBOR + 3.70%, 4.51%, due 07/20/20 | 3,523,256 | ||||||||
3,480,000 | Atrium XI, Series 11A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 2.15%, 2.86%, due 10/23/25 | 3,480,880 | ||||||||
870,000 | BlueMountain CLO Ltd., Series 12-2A, Class C, 144A, Variable Rate, 3 mo. LIBOR + 2.75%, 3.56%, due 11/20/24 | 872,166 | ||||||||
2,322,513 | Carlyle High Yield Partners IX Ltd., Series 06-9A, Class A2, 144A , Variable Rate, 3 mo. LIBOR + .22%, 0.88%, due 08/01/21 | 2,321,612 | ||||||||
16,915,567 | Centurion CDO 9 Ltd., Series 05-9A, Class A1B, 144A, Variable Rate, 3 mo. LIBOR + .25%, 0.93%, due 07/17/19 | 16,915,533 | ||||||||
13,200,000 | CIFC Funding Ltd., Series 13-4X, Class C1,144A, Variable Rate, 3 mo. LIBOR + 3.25%, 4.08%, due 11/27/24 | 13,221,952 | ||||||||
3,750,000 | CIFC Funding Ltd., Series 15-5A, Class D, 144A, Variable Rate, 3 mo. LIBOR + 6.30%, 6.94%, due 10/25/27 | 3,525,623 | ||||||||
4,350,000 | Dorchester Park CLO Ltd., Series 15-1A, Class E, 144A, Variable Rate, 3 mo. LIBOR + 5.25%, 5.95%, due 01/20/27 | 4,026,682 | ||||||||
3,318,234 | Franklin CLO V Ltd., Series 5A, Class B,144A, Variable Rate, 3 mo. LIBOR + .45%, 1.10%, due 06/15/18 | 3,317,772 | ||||||||
20,462,299 | Franklin CLO VI Ltd., Series 6A, Class A,144A, Variable Rate, 3 mo. LIBOR + .23%, 1.02%, due 08/09/19 | 20,112,414 | ||||||||
3,520,000 | GoldenTree Loan Opportunities III Ltd., Series 07-3A, Class C, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 2.01%, due 05/01/22 | 3,482,494 | ||||||||
28,020,000 | Jamestown CLO VI Ltd., Series 15-6A, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 1.60%, 2.41%, due 02/20/27 | 28,023,727 | ||||||||
9,592,000 | Kingsland IV Ltd., Series 07-4X, Class B, Reg S, Variable Rate, 3 mo. LIBOR + .40%, 1.08%, due 04/16/21 | 9,301,468 | ||||||||
22,307,000 | Madison Park Funding X Ltd., Series 12-10A, Class A2, 144A, Variable Rate, 3 mo. LIBOR + 1.40%, 2.10%, due 01/20/25 | 22,304,100 | ||||||||
4,350,000 | Magnetite VI Ltd., Series 12-6A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 1.85%, 2.50%, due 09/15/23 | 4,350,305 | ||||||||
3,520,000 | Magnetite VI Ltd., Series 12-6A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.60%, 3.25%, due 09/15/23 | 3,520,461 |
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Collateralized Loan Obligations — continued | ||||||||||
1,291,223 | Nautique Funding Ltd., Series 06-1A, Class A1B, 144A, Variable Rate, 1 mo. LIBOR + .25%, 0.76%, due 04/15/20 | 1,290,342 | ||||||||
20,880,724 | Rockwall CDO II Ltd., Series 07-1A, Class A1LA, 144A, Variable Rate, 3 mo. LIBOR + .25%, 1.01%, due 08/01/24 | 20,690,167 | ||||||||
7,363,847 | Shasta CLO Ltd., Series 07-1X, Class A2L, Reg S, Variable Rate, 3 mo. LIBOR + .40%, 1.10%, due 04/20/21 | 7,361,130 | ||||||||
3,697,830 | Shinnecock CLO, Series 06-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + .48%, 1.16%, due 07/15/18 | 3,685,179 | ||||||||
36,880,000 | West CLO Ltd., Series 14-2A, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 1.55%, 2.23%, due 01/16/27 | 36,878,340 | ||||||||
|
| |||||||||
Total Collateralized Loan Obligations | 253,102,884 | |||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities — 22.6% | ||||||||||
7,136,026 | Bayview Commercial Asset Trust, Series 04-1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .36%, 0.88%, due 04/25/34 | 6,725,560 | ||||||||
1,019,358 | Bayview Commercial Asset Trust, Series 04-1, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .84%, 1.08%, due 04/25/34 | 950,460 | ||||||||
566,885 | Bayview Commercial Asset Trust, Series 04-1, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 1.80%, 1.72%, due 04/25/34 | 538,289 | ||||||||
7,181,045 | Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.89%, due 01/25/35 | 6,440,445 | ||||||||
9,041,860 | Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .31%, 0.83%, due 08/25/35 | 7,862,282 | ||||||||
10,441,434 | Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .39%, 0.91%, due 01/25/36 | 8,988,227 | ||||||||
10,719,163 | Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .28%, 0.80%, due 07/25/36 | 9,129,172 | ||||||||
1,251,109 | Bayview Commercial Asset Trust, Series 06-3A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .30%, 0.82%, due 10/25/36 | 1,024,473 | ||||||||
21,006,964 | Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .27%, 0.79%, due 07/25/37 | 17,871,571 | ||||||||
6,813,554 | Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .24%, 0.76%, due 07/25/37 | 5,772,838 | ||||||||
7,805,140 | Bayview Commercial Asset Trust, Series 07-4A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .45%, 0.94%, due 09/25/37 | 6,537,494 |
16 | See accompanying notes to the financial statements. |
GMO Debt Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Commercial Mortgage-Backed Securities — continued | ||||||||||
1,715,711 | Bayview Commercial Asset Trust, Series 07-6A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 1.30%, 1.82%, due 12/25/37 | 2,054,335 | ||||||||
4,406,000 | Bear Stearns Commercial Mortgage Securities Trust, Series 05-PWR9, Class E, Variable Rate, 5.14%, due 09/11/42 | 4,191,983 | ||||||||
3,074,400 | Citigroup Commercial Mortgage Trust, Series 04-C2, Class H, 144A, Variable Rate, 6.24%, due 10/15/41 | 2,989,039 | ||||||||
762,987 | CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, Variable Rate, 1 mo. LIBOR + .44%, 0.96%, due 10/25/30 | 694,964 | ||||||||
17,350,500 | Commercial Mortgage Trust, Series 07-GG9, Class AJ, Variable Rate, 5.51%, due 03/10/39 | 15,702,029 | ||||||||
11,274,006 | Commercial Mortgage Trust, Series 10-C1, Class D, 144A, Variable Rate, 6.30%, due 07/10/46 | 12,410,475 | ||||||||
8,718,000 | Core Industrial Trust, Series 15-CALW, Class F, 144A, Variable Rate, 3.98%, due 02/10/34 | 8,706,602 | ||||||||
34,643,000 | Core Industrial Trust, Series 15-WEST, Class E, 144A, Variable Rate, 4.37%, due 02/10/37 | 33,751,552 | ||||||||
5,746,661 | Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + .25%, 0.76%, due 04/15/37 | 4,576,288 | ||||||||
2,467,776 | Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37 | 2,229,145 | ||||||||
5,941,593 | Credit Suisse Mortgage Capital Certificates, Series 06-C4, Class AJ, Variable Rate, 5.54%, due 09/15/39 | 5,908,683 | ||||||||
12,454,322 | Credit Suisse Mortgage Capital Certificates, Series 14-USA, Class A2, 144A, 3.95%, due 09/15/37 | 13,607,615 | ||||||||
8,715,000 | CSMC Trust, Series 14-USA, Class E, 144A, 4.37%, due 09/15/37 | 7,529,919 | ||||||||
1,334,331 | GE Business Loan Trust, Series 05-2A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .24%, 0.75%, due 11/15/33 | 1,272,407 | ||||||||
4,440,823 | GE Business Loan Trust, Series 06-2A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .18%, 0.69%, due 11/15/34 | 4,115,125 | ||||||||
11,672,621 | GE Business Loan Trust, Series 07-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .17%, 0.68%, due 04/16/35 | 10,810,476 | ||||||||
9,461,540 | GE Business Loan Trust, Series 07-1A, Class D, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.51%, due 04/16/35 | 7,958,109 | ||||||||
21,045,865 | GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.57%, due 03/21/46 | 12,995,821 |
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Commercial Mortgage-Backed Securities — continued | ||||||||||
8,360,000 | GS Mortgage Securities Corp., Series 16-GS2, Class D, 2.75%, due 05/10/49 | 6,332,234 | ||||||||
13,230,000 | GS Mortgage Securities Corp., Series 16-RENT, Class E, 144A, Variable Rate, 4.20%, due 02/10/29 | 12,741,709 | ||||||||
8,801,500 | GS Mortgage Securities Trust, Series 11-GC3, Class D, 144A, Variable Rate, 5.82%, due 03/10/44 | 8,977,372 | ||||||||
23,617,189 | Hilton USA Trust, Series 13-HLF, Class EFL, 144A, Variable Rate, 1 mo. LIBOR + 3.75%, 4.25%, due 11/05/30 | 23,640,849 | ||||||||
9,194,906 | Hilton USA Trust, Series 13-HLT, Class EFX, 144A, Variable Rate, 5.61%, due 11/05/30 | 9,215,712 | ||||||||
5,835,375 | Hyatt Hotel Portfolio Trust, Series 15-HYT, Class F, 144A, Variable Rate, 1 mo. LIBOR + 3.49%, 4.00%, due 11/15/29 | 5,498,368 | ||||||||
9,598,123 | JP Morgan Chase Commercial Mortgage Securities Corp., Series 05-CB13, Class AJ, Variable Rate, 5.66%, due 01/12/43 | 9,592,716 | ||||||||
3,000,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 04-C3, Class H, 144A, Variable Rate, 5.65%, due 01/15/42 | 2,805,629 | ||||||||
3,682,500 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 05-CB11, Class G, 144A, Variable Rate, 5.67%, due 08/12/37 | 3,679,966 | ||||||||
7,256,218 | LB-UBS Commercial Mortgage Trust, Series 05-C7, Class F, Variable Rate, 5.35%, due 11/15/40 | 7,148,855 | ||||||||
10,204,214 | Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 0.77%, due 02/25/30 | 9,420,863 | ||||||||
1,689,637 | Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 0.77%, due 09/25/30 | 1,581,263 | ||||||||
5,250,849 | Lehman Brothers Small Balance Commercial, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .31%, 0.83%, due 04/25/31 | 4,740,407 | ||||||||
8,222,793 | Lehman Brothers Small Balance Commercial, Series 06-3A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + .20%, 0.72%, due 12/25/36 | 7,312,109 | ||||||||
16,200,269 | ML-CFC Commercial Mortgage Trust, Series 06-4, Class AJ, 5.24%, due 12/12/49 | 16,229,408 | ||||||||
|
| |||||||||
Total Commercial Mortgage-Backed Securities | 352,262,838 | |||||||||
|
| |||||||||
Consumer Loans — 0.3% | ||||||||||
4,000,000 | Springleaf Funding Trust, Series 14-AA, Class C, 144A, 4.45%, due 12/15/22 | 3,990,455 | ||||||||
|
|
See accompanying notes to the financial statements. | 17 |
GMO Debt Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Insured Residential Mortgage-Backed Securities — 0.4% | ||||||||||
3,368,106 | Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + .70%, 1.22%, due 10/25/36 | 1,879,263 | ||||||||
4,532,313 | Countrywide Home Equity Loan Trust, Series 07-E, Class A, MBIA, Variable Rate, 1 mo. LIBOR + .15%, 0.66%, due 06/15/37 | 3,744,632 | ||||||||
1,539,554 | GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + .23%, 0.99%, due 10/25/34 ¿ | 1,431,705 | ||||||||
|
| |||||||||
Total Insured Residential Mortgage-Backed Securities | 7,055,600 | |||||||||
|
| |||||||||
Other — 0.1% | ||||||||||
10,944,389 | Aircraft Finance Trust, Series 99-1A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .50%, 0.99%, due 05/15/24 | 2,038,393 | ||||||||
|
| |||||||||
Residential Mortgage-Backed Securities — Other — 8.7% | ||||||||||
1,840,363 | ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + .28%, 0.80%, due 02/25/36 ¿ | 1,054,470 | ||||||||
2,343,502 | ACE Securities Corp. Home Equity Loan Trust, Series 06-SL1, Class A, Variable Rate, 1 mo. LIBOR + .32%, 0.84%, due 09/25/35 | 1,369,967 | ||||||||
12,640,594 | American Home Mortgage Investment Trust, Series 06-3, Class 4A, Variable Rate, 1 mo. LIBOR + .38%, 0.90%, due 11/25/35 | 3,875,988 | ||||||||
4,946,643 | Bayview Financial Revolving Asset Trust, Series 04-B, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .50%, 1.52%, due 05/28/39 | 3,297,091 | ||||||||
5,195,506 | Bayview Financial Revolving Asset Trust, Series 04-B, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .65%, 1.82%, due 05/28/39 | 2,874,311 | ||||||||
10,647,898 | Bayview Financial Revolving Asset Trust, Series 05-A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .50%, 1.49%, due 02/28/40 | 8,308,212 | ||||||||
2,354,943 | BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30 | 1,371,511 | ||||||||
2,214,035 | BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29 | 1,811,047 | ||||||||
1,127,559 | Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + .32%, 0.84%, due 02/25/37 | 1,890,046 | ||||||||
3,441,635 | Carrington Mortgage Loan Trust, Series 06-RFC1, Class A3, Variable Rate, 1 mo. LIBOR + .15%, 0.67%, due 05/25/36 | 3,322,030 | ||||||||
10,078,421 | Greenpoint Manufactured Housing, Series 98-1, Class 2A, Variable Rate, 1 mo. LIBOR + .57%, 1.08%, due 05/15/28 | 9,185,054 |
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Residential Mortgage-Backed Securities — Other — continued | ||||||||||
34,023,513 | Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + .26%, 0.78%, due 06/25/36 | 6,592,032 | ||||||||
23,567,749 | LSTAR Securities Investment Trust, Series 14-2, Class A, 144A, Variable Rate, 1 mo. LIBOR + 2.00%, 2.49%, due 12/01/21 | 23,273,152 | ||||||||
4,768,345 | Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + .16%, 0.84%, due 03/25/36 | 1,172,504 | ||||||||
1,110,673 | Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 0.77%, due 02/26/34 | 977,860 | ||||||||
4,758,775 | Meritage Mortgage Loan Trust, Series 05-2, Class M2, Variable Rate, 1 mo. LIBOR + .75%, 1.27%, due 11/25/35 | 4,663,769 | ||||||||
5,339,571 | Merrill Lynch Mortgage Investors Trust, Series 05-SL2, Class M2, Variable Rate, 1 mo. LIBOR + 1.20%, 1.72%, due 12/25/35 | 5,332,378 | ||||||||
10,724,013 | Morgan Stanley Resecuritization Trust, Series 14-R8, Class 2A, 144A, Variable Rate, 1 mo. LIBOR + .16%, 0.65%, due 06/26/47 | 10,085,403 | ||||||||
11,604,704 | Oakwood Mortgage Investors, Inc., Series 99-C, Class A2, 7.48%, due 08/15/27 | 11,542,288 | ||||||||
6,534,742 | PHH Mortgage Trust, Series 07-1SL, Class M2, 144A, 7.00%, due 12/25/27 | 6,945,065 | ||||||||
18,239,206 | Residential Funding Mortgage Securities II, Series 06-HI4, Class A4, 5.72%, due 09/25/36 | 14,759,346 | ||||||||
15,195,203 | Soundview Home Loan Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + .38%, 0.90%, due 11/25/35 | 2,708,668 | ||||||||
26,769,145 | Terwin Mortgage Trust, Series 07-1SL, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .11%, 0.63%, due 01/25/38 | 4,397,250 | ||||||||
4,322,921 | Wells Fargo Mortgage Backed Securities Trust, Series 05-AR14, Class A4, Variable Rate, 3.01%, due 08/25/35 | 4,314,417 | ||||||||
|
| |||||||||
Total Residential Mortgage-Backed Securities — Other | 135,123,859 | |||||||||
|
| |||||||||
Residential Mortgage-Backed Securities — Prime — 6.2% | ||||||||||
10,436,156 | Adjustable Rate Mortgage Trust, Series 05-4, Class 6A1, Variable Rate, 3.15%, due 08/25/35 | 9,347,136 | ||||||||
5,746,196 | BCAP LLC Trust, Series 09-RR13, Class 16A2, 144A, Variable Rate, 3.41%, due 09/26/35 | 5,107,852 | ||||||||
7,530,823 | BCAP LLC Trust, Series 12-RR11, Class 3A3, 144A, Variable Rate, 7.32%, due 04/26/36 | 5,810,822 | ||||||||
7,972,434 | BCAP LLC Trust, Series 12-RR11, Class 5A3, 144A, Variable Rate, 7.11%, due 04/26/37 | 5,830,936 |
18 | See accompanying notes to the financial statements. |
GMO Debt Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Residential Mortgage-Backed Securities — Prime — continued | ||||||||||
8,195,148 | Bear Stearns Alt-A Trust, Series 05-7, Class 21A1, Variable Rate, 3.19%, due 09/25/35 | 7,337,394 | ||||||||
2,872,975 | Chase Mortgage Finance Trust, Series 05-A1, Class 3A1, Variable Rate, 2.67%, due 12/25/35 | 2,641,335 | ||||||||
5,284,777 | Chase Mortgage Finance Trust, Series 07-A1, Class 11M1, Variable Rate, 2.77%, due 03/25/37 | 4,814,185 | ||||||||
11,798,662 | Citigroup Mortgage Loan Trust, Inc., Series 06-AR2, Class 1A2, Variable Rate, 2.94%, due 03/25/36 | 11,476,867 | ||||||||
5,062,360 | IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.02%, due 12/25/36 | 4,459,381 | ||||||||
6,027,845 | Merrill Lynch Mortgage Backed Securities Trust, Series 07-1, Class 1A1, Variable Rate, 3.15%, due 04/25/37 | 5,406,091 | ||||||||
9,579,322 | RBSSP Resecuritization Trust, Series 09-6, Class 3A2, 144A, Variable Rate, 1 mo. LIBOR + .17%, 2.80%, due 01/26/36 | 8,281,019 | ||||||||
3,936,906 | WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 2.72%, due 09/25/35 | 3,809,533 | ||||||||
5,047,594 | WaMu Mortgage Pass-Through Certificates, Series 07-HY2, Class 2A1, Variable Rate, 2.87%, due 11/25/36 | 4,511,519 | ||||||||
15,521,587 | Wells Fargo Mortgage Backed Securities Trust, Series 06-AR12, Class 2A1, Variable Rate, 2.93%, due 09/25/36 | 14,573,606 | ||||||||
3,801,114 | Wells Fargo Mortgage Backed Securities Trust, Series 07-8, Class 1A13, Variable Rate, 1 mo. LIBOR + .37%, 0.89%, due 07/25/37 | 3,266,127 | ||||||||
|
| |||||||||
Total Residential Mortgage-Backed Securities — Prime | 96,673,803 | |||||||||
|
| |||||||||
Residential Mortgage-Backed Securities — Subprime — 5.4% | ||||||||||
338,648 | Argent Securities Inc Asset-Backed Pass-Through Certificates, Series 04-W8, Class A5, Variable Rate, 1 mo. LIBOR + 1.04%, 1.56%, due 05/25/34 | 337,772 | ||||||||
8,532,101 | Bear Stearns Asset-Backed Securities, Inc., Series 07-AQ1, Class A1, Variable Rate, 1 mo. LIBOR + .11%, 0.63%, due 04/25/31 | 8,705,374 | ||||||||
895,259 | Citigroup Mortgage Loan Trust, Inc., Series 03-HE3, Class A, AMBAC, Variable Rate, 1 mo. LIBOR + .38%, 0.90%, due 12/25/33 | 879,212 | ||||||||
3,169,336 | Citigroup Mortgage Loan Trust, Inc., Series 07-AMC4, Class A2B, Variable Rate, 1 mo. LIBOR + .14%, 0.66%, due 05/25/37 | 3,143,769 |
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Residential Mortgage-Backed Securities —Subprime — continued | ||||||||||
6,147,055 | Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, Variable Rate, 1 mo. LIBOR + .14%, 0.66%, due 02/25/37 | 6,018,081 | ||||||||
3,942,896 | CWABS Asset-Backed Certificates, Series 05-17, Class 4AV3, Variable Rate, 1 mo. LIBOR + .38%, 0.87%, due 05/25/36 | 3,871,967 | ||||||||
446,416 | Equity One Mortgage Pass-Through Trust, Series 04-1, Class AV2, Variable Rate, 1 mo. LIBOR + .60%, 1.12%, due 04/25/34 ¿ | 377,623 | ||||||||
3,589,231 | First NLC Trust, Series 05-4, Class A3, Variable Rate, 1 mo. LIBOR + 0.27%, 0.79%, due 02/25/36 | 3,561,713 | ||||||||
136,029 | Fremont Home Loan Trust, Series 06-A, Class 1A2, Variable Rate, 1 mo. LIBOR + .20%, 0.72%, due 05/25/36 | 2,670 | ||||||||
7,658,948 | GE-WMC Mortgage Securities Trust, Series 06-1, Class A2B, Variable Rate, 1 mo. LIBOR + .15%, 0.67%, due 08/25/36 | 4,173,379 | ||||||||
3,213,003 | Home Equity Asset Trust, Series 07-3, Class 2A2, Variable Rate, 1 mo. LIBOR + .18%, 0.70%, due 08/25/37 | 3,191,561 | ||||||||
511,057 | JP Morgan Mortgage Acquisition Trust, Series 07-CH3, Class A3, Variable Rate, 1 mo. LIBOR + .15%, 0.67%, due 03/25/37 | 507,932 | ||||||||
19,185,654 | Master Asset-Backed Securities Trust, Series 06-HE3, Class A3, Variable Rate, 1 mo. LIBOR + .15%, 0.67%, due 08/25/36 | 8,395,859 | ||||||||
3,834,078 | Merrill Lynch Mortgage Investors Trust, Series 07-HE2, Class A2A, Variable Rate, 1 mo. LIBOR + .12%, 0.64%, due 02/25/37 | 1,772,535 | ||||||||
92,944 | Morgan Stanley ABS Capital I, Inc. Trust, Series 06-NC3, Class A2C, Variable Rate, 1 mo. LIBOR + .17%, 0.69%, due 03/25/36 ¿ | 92,732 | ||||||||
4,305,336 | Nationstar Home Equity Loan Trust, Series 07-B, Class 2AV2, Variable Rate, 1 mo. LIBOR + .18%, 0.70%, due 04/25/37 | 4,261,916 | ||||||||
19,205,000 | Nomura Home Equity Loan, Inc. Home Equity Loan Trust, Series 06-HE1, Class M1, Variable Rate, 1 mo. LIBOR + .41%, 0.93%, due 02/25/36 | 17,905,714 | ||||||||
742,504 | Nomura Home Equity Loan, Inc. Home Equity Loan Trust, Series 06-HE3, Class 2A3, Variable Rate, 1 mo. LIBOR + .15%, 0.67%, due 07/25/36 | 641,016 | ||||||||
4,967,490 | Ownit Mortgage Loan Trust, Series 06-3, Class A2C, Variable Rate, 1 mo. LIBOR + .17%, 0.69%, due 03/25/37 | 4,866,787 | ||||||||
5,601,573 | RAMP Trust, Series 07-RZ1, Class A2, Variable Rate, 1 mo. LIBOR + .16%, 0.68%, due 02/25/37 | 5,155,777 | ||||||||
4,640,772 | Securitized Asset-Backed Receivables LLC Trust, Series 06-NC2, Class A3, Variable Rate, 1 mo. LIBOR + .24%, 0.76%, due 03/25/36 | 4,097,558 |
See accompanying notes to the financial statements. | 19 |
GMO Debt Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Residential Mortgage-Backed Securities —Subprime — continued | ||||||||||
1,448,043 | Structured Asset Investment Loan Trust, Series 06-1, Class A3, Variable Rate, 1 mo. LIBOR + .20%, 0.72%, due 01/25/36 | 1,424,965 | ||||||||
|
| |||||||||
Total Residential Mortgage-Backed Securities — Subprime | 83,385,912 | |||||||||
|
| |||||||||
Residential Mortgage-Backed Securities — Alt-A — 3.8% | ||||||||||
3,467,898 | Adjustable Rate Mortgage Trust, Series 05-1, Class 5M1, Variable Rate, 1 mo. LIBOR + 1.05%, 1.57%, due 05/25/35 | 3,219,881 | ||||||||
2,524,978 | Alternative Loan Trust, Series 03-18CB, Class 1A1, 5.25%, due 09/25/33 | 2,542,729 | ||||||||
3,375,612 | Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + .70%, 1.22%, due 05/25/36 | 1,752,616 | ||||||||
10,044,446 | BCAP LLC Trust, Series 12-RR2, Class 1A2, 144A, Variable Rate, 1 mo. LIBOR + .17%, 0.66%, due 08/26/36 | 9,641,180 | ||||||||
5,035,192 | BCAP LLC Trust, Series 12-RR7, Class 1A2, 144A, Variable Rate, 1 mo. LIBOR + .17%, 0.66%, due 08/26/36 | 4,822,515 | ||||||||
8,915,216 | Bear Stearns Alt-A Trust, Series 05-4, Class 24A1, Variable Rate, 3.00%, due 05/25/35 | 8,749,511 | ||||||||
3,455,946 | Bear Stearns ARM Trust, Series 07-1, Class 2A1, Variable Rate, 2.95%, due 02/25/47 | 2,856,173 | ||||||||
10,665,524 | Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 3.10%, due 07/25/36 | 8,502,619 | ||||||||
4,577,289 | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 05-AR1, Class 1A1, Variable Rate, 1 mo. LIBOR + .31%, 0.83%, due 08/25/35 | 3,480,672 | ||||||||
3,936,706 | Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 05-7, Class 2CB1, 5.50%, due 08/25/35 | 3,902,405 | ||||||||
12,752,071 | Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 06-AR10, Class A2A, Variable Rate, 1 mo. LIBOR + .17%, 0.69%, due 12/25/36 | 9,780,207 | ||||||||
|
| |||||||||
Total Residential Mortgage-Backed Securities — Alt-A | 59,250,508 | |||||||||
|
| |||||||||
Student Loans — 17.9% | ||||||||||
8,061,543 | Access Group, Inc., Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + .80%, 1.51%, due 07/25/34 | 6,844,323 | ||||||||
1,664,556 | Access Group, Inc., Series 05-A, Class A3, Variable Rate, 3 mo. LIBOR + .40%, 1.11%, due 07/25/34 | 1,530,409 | ||||||||
7,046,611 | Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + .32%, 0.94%, due 03/28/35 | 6,289,100 |
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Student Loans — continued | ||||||||||
25,090,320 | KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + .48%, 1.12%, due 12/27/41 | 20,668,134 | ||||||||
5,962,500 | National Collegiate II Commutation Trust, Series 07-4, Class A3R3, Variable Rate, 3.97%, due 03/25/38 | 2,668,219 | ||||||||
3,750,000 | National Collegiate II Commutation Trust, Series 07-3, Class A3R3, Variable Rate, 3.97%, due 03/25/38 | 1,650,000 | ||||||||
402,130 | National Collegiate Student Loan Trust, Series 07-1, Class A2, Variable Rate, 1 mo. LIBOR + .13%, 0.65%, due 11/27/28 | 401,773 | ||||||||
10,832,411 | National Collegiate Student Loan Trust, Series 05-2, Class A4, Variable Rate, 1 mo. LIBOR + .27%, 0.79%, due 09/25/29 | 10,254,801 | ||||||||
4,421,368 | National Collegiate Student Loan Trust, Series 05-3, Class A4, Variable Rate, 1 mo. LIBOR + .28%, 0.80%, due 04/25/29 | 4,380,006 | ||||||||
2,450,000 | National Collegiate Student Loan Trust, Series 06-3, Class A4, Variable Rate, 1 mo. LIBOR + .27%, 0.79%, due 03/26/29 | 2,318,411 | ||||||||
6,194,473 | National Collegiate Student Loan Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + .21%, 0.73%, due 11/25/27 | 6,009,736 | ||||||||
48,998,000 | National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate, 1 mo. LIBOR + .24%, 0.76%, due 07/25/30 | 45,997,808 | ||||||||
29,867,411 | National Collegiate Student Loan Trust, Series 06-1, Class A4, Variable Rate, 1 mo. LIBOR + .25%, 0.77%, due 03/27/28 | 29,030,186 | ||||||||
5,280,000 | National Collegiate Student Loan Trust, Series 06-3, Class A5, Variable Rate, 1 mo. LIBOR + .32%, 0.84%, due 10/27/31 | 3,522,349 | ||||||||
75,000 | National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 3.95%, due 03/25/38 | 52,500 | ||||||||
3,525,000 | National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + .31%, 0.83%, due 05/25/32 | 2,485,213 | ||||||||
31,458,000 | SLC Private Student Loan Trust, Series 06-A, Class C, Variable Rate, 3 mo. LIBOR + .45%, 1.13%, due 07/15/36 | 27,656,301 | ||||||||
13,050,000 | SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + .29%, 0.94%, due 06/15/39 | 11,614,726 | ||||||||
11,625,031 | SLM Private Credit Student Loan Trust, Series 04-A, Class A3, Variable Rate, 3 mo. LIBOR + .40%, 1.05%, due 06/15/33 | 10,942,529 | ||||||||
2,737,409 | SLM Private Credit Student Loan Trust, Series 04-A, Class B, Variable Rate, 3 mo. LIBOR + .58%, 1.23%, due 06/15/33 | 2,605,274 | ||||||||
8,500,000 | SLM Private Credit Student Loan Trust, Series 04-B, Class A3, Variable Rate, 3 mo. LIBOR + .33%, 0.98%, due 03/15/24 | 7,973,921 |
20 | See accompanying notes to the financial statements. |
GMO Debt Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Student Loans — continued | ||||||||||
9,000,000 | SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + .43%, 1.08%, due 09/15/33 | 7,869,324 | ||||||||
3,103,396 | SLM Private Credit Student Loan Trust, Series 04-B, Class B, Variable Rate, 3 mo. LIBOR + .47%, 1.12%, due 09/15/33 | 2,876,839 | ||||||||
12,593,835 | SLM Private Credit Student Loan Trust, Series 05-A, Class A3, Variable Rate, 3 mo. LIBOR + .20%, 0.85%, due 06/15/23 | 12,154,127 | ||||||||
6,720,849 | SLM Private Credit Student Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + .40%, 1.05%, due 06/15/39 | 5,990,457 | ||||||||
6,761,595 | SLM Private Credit Student Loan Trust, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + .28%, 0.93%, due 12/15/38 | 6,095,383 | ||||||||
16,372,000 | SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + .33%, 0.98%, due 06/15/39 | 14,586,350 | ||||||||
10,613,523 | SLM Private Education Loan Trust, Series 10-A, Class 2A, 144A, Variable Rate, 1 mo. LIBOR + 3.25%, 3.76%, due 05/16/44 | 10,947,446 | ||||||||
7,000,000 | SLM Private Education Loan Trust, Series 14-A, Class B, 144A, 3.50%, due 11/15/44 | 6,886,905 | ||||||||
6,000,000 | SLM Private Education Loan Trust, Series 11-B, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 2.25%, 2.76%, due 06/16/42 | 6,192,857 | ||||||||
|
| |||||||||
Total Student Loans | 278,495,407 | |||||||||
|
| |||||||||
Time Share — 1.4% | ||||||||||
467,776 | BXG Receivables Note Trust, Series 10-A, Class B, 144A, 7.50%, due 03/02/26 | 475,866 | ||||||||
3,333,473 | BXG Receivables Note Trust, Series 13-A, Class B, 144A, 4.00%, due 12/04/28 | 3,400,403 | ||||||||
1,256,496 | Diamond Resorts Owner Trust, Series 13-2, Class B, 144A, 2.62%, due 05/20/26 | 1,254,704 | ||||||||
2,547,651 | Marriott Vacation Club Owner Trust, Series 12-1A, Class B, 144A, 3.50%, due 05/20/30 | 2,590,816 | ||||||||
576,464 | Orange Lake Timeshare Trust, Series 12-AA, Class B, 144A, 4.87%, due 03/10/27 | 590,456 | ||||||||
1,167,423 | Sierra Timeshare Receivables Funding LLC, Series 12-1A, Class B, 144A, 3.58%, due 11/20/28 | 1,171,665 | ||||||||
2,425,393 | Sierra Timeshare Receivables Funding LLC, Series 12-2A, Class B, 144A, 3.42%, due 03/20/29 | 2,436,589 |
Par Value† / Shares | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Time Share — continued | ||||||||||
648,732 | Sierra Timeshare Receivables Funding LLC, Series 12-3A, Class B, 144A, 2.66%, due 08/20/29 | 647,690 | ||||||||
541,105 | Sierra Timeshare Receivables Funding LLC, Series 13-2A, Class C, 144A, 4.75%, due 11/20/25 | 528,302 | ||||||||
2,432,105 | Silverleaf Finance XV LLC, Series 12-D, Class B, 144A, 4.45%, due 03/17/25 | 2,444,969 | ||||||||
3,178,817 | SilverLeaf Finance XVII LLC, Series 13-A, Class B, 144A, 3.67%, due 03/16/26 | 3,173,783 | ||||||||
1,363,462 | Westgate Resorts LLC, Series 13-1A, Class B, 144A, 3.75%, due 08/20/25 | 1,360,144 | ||||||||
1,207,293 | Westgate Resorts LLC, Series 14-AA, Class A, 144A, 6.25%, due 10/20/26 | 1,202,706 | ||||||||
|
| |||||||||
Total Time Share | 21,278,093 | |||||||||
|
| |||||||||
Total Asset-Backed Securities | 1,440,456,483 | |||||||||
|
| |||||||||
U.S. Government Agency — 1.3% | ||||||||||
483,939 | Agency for International Development Floater (Support of Jamaica), Variable Rate, 3 mo. LIBOR + .30%, 1.13%, due 10/01/18 (a) | 479,026 | ||||||||
7,875,000 | Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + .15%, 1.39%, due 10/29/26 (a) | 7,608,137 | ||||||||
8,393,750 | Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR — .02%, 1.22%, due 02/01/25 (a) | 8,090,105 | ||||||||
4,935,000 | Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR, 1.22%, due 07/01/23 (a) | 4,791,473 | ||||||||
|
| |||||||||
Total U.S. Government Agency | 20,968,741 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $1,474,172,694) | 1,461,425,224 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 3.7% | ||||||||||
United States — 3.7% | ||||||||||
Affiliated Issuers — 3.7% | ||||||||||
2,313,793 | GMO U.S. Treasury Fund | 57,867,964 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $57,871,961) | 57,867,964 | |||||||||
|
|
See accompanying notes to the financial statements. | 21 |
GMO Debt Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
OPTIONS PURCHASED — 0.1%
Principal Amount | Expiration Date | Description | Floating Rate Index | Pay/Receive Fixed Rate | Exercise Rate | Counterparty | Value ($) | |||||||||||||||||
Options on Credit Default Swaps — 0.1% | ||||||||||||||||||||||||
EUR | 87,080,000 | 09/21/2016 | ITRAXX.MAIN.25 | Fixed Spread | Pay | 70.00% | JPM | 118,566 | ||||||||||||||||
EUR | 87,080,000 | 09/21/2016 | ITRAXX.MAIN.25 | Fixed Spread | Pay | 85.00% | JPM | 19,475 | ||||||||||||||||
USD | 26,360,000 | 09/21/2016 | CDX.NA.HY.26 | Fixed Spread | Pay | 100.00% | DB | 12,338 | ||||||||||||||||
USD | 43,560,000 | 10/19/2016 | CDX.NA.HY.26 | Fixed Spread | Pay | 102.00% | DB | 200,221 | ||||||||||||||||
USD | 21,800,000 | 12/21/2016 | CDX.NA.HY.26 | Fixed Spread | Pay | 103.00% | CITI | 341,285 | ||||||||||||||||
USD | 43,800,000 | 12/21/2016 | CDX.NA.HY.26 | Fixed Spread | Pay | 103.00% | CITI | 680,136 | ||||||||||||||||
USD | 8,712,000 | 12/21/2016 | CDX.NA.HY.26 | Fixed Spread | Pay | 104.50% | DB | 200,402 | ||||||||||||||||
|
| |||||||||||||||||||||||
TOTAL OPTIONS PURCHASED (COST $2,397,373) | 1,572,423 | |||||||||||||||||||||||
|
|
Shares / Par Value† | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 1.5% | ||||||||||
Money Market Funds — 0.2% | ||||||||||
3,213,834 | State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.20% (b) | 3,213,834 | ||||||||
|
| |||||||||
U.S. Government — 1.3% | ||||||||||
15,000,000 | U.S. Treasury Bill, 0.27%, due 11/03/16 (c) (d) | 14,992,785 | ||||||||
5,000,000 | U.S. Treasury Bill, 0.46%, due 02/23/17 (c) | 4,988,880 | ||||||||
|
| |||||||||
Total U.S. Government | 19,981,665 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $23,196,302) | 23,195,499 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.1% (Cost $1,557,638,330) | 1,544,061,110 | |||||||||
Other Assets and Liabilities (net) — 0.9% | 13,313,751 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $1,557,374,861 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2016 is as follows:
Forward Currency Contracts
Settlement Date | Counter | Currency | Currency | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
11/21/2016 | BOA | EUR | 10,043,501 | USD | 11,410,271 | $168,800 | ||||||||||||
11/21/2016 | BOA | USD | 808,673 | EUR | 711,807 | (11,963) | ||||||||||||
|
| |||||||||||||||||
$156,837 | ||||||||||||||||||
|
|
Written Options
Written Options on Credit Default Swaps
Principal | Expiration Date | Description | Floating Rate Index | Pay/Receive Floating Rate | Exercise Rate | Counterparty | Premiums | Value ($) | ||||||||||||||||||||
EUR | 174,160,000 | 09/21/2016 | ITRAXX.MAIN.25 | Fixed Spread | Pay | 77.50% | JPM | $ | 179,020 | $ | (88,356 | ) | ||||||||||||||||
USD | 39,540,000 | 09/21/2016 | CDX.NA.HY.26 | Fixed Spread | Pay | 93.00% | DB | 207,585 | (1,277 | ) | ||||||||||||||||||
USD | 21,900,000 | 09/21/2016 | CDX.NA.HY.26 | Fixed Spread | Pay | 100.00% | CITI | 91,980 | (10,251 | ) | ||||||||||||||||||
USD | 10,900,000 | 09/21/2016 | CDX.NA.HY.26 | Fixed Spread | Pay | 100.00% | CITI | 40,330 | (5,102 | ) | ||||||||||||||||||
USD | 43,560,000 | 11/16/2016 | CDX.NA.HY.26 | Fixed Spread | Pay | 99.00% | DB | 148,104 | (156,173 | ) | ||||||||||||||||||
USD | 8,712,000 | 12/21/2016 | CDX.NA.HY.26 | Fixed Spread | Pay | 95.00% | DB | 21,780 | (24,865 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
$ | 688,799 | $ | (286,024 | ) | ||||||||||||||||||||||||
|
|
|
|
22 | See accompanying notes to the financial statements. |
GMO Debt Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2016 (Unaudited)
Swap Contracts
Credit Default Swaps
Notional Amount | Expiration Date | Counterparty | Receive | Annual Premium | Implied Credit Spread (1) | Reference Entity | Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
17,540,000 | USD | 9/20/2016 | GS | (Pay) | 5.00% | 1.83% | MBIA, Inc. | NA | $ | (206,225 | ) | |||||||||||||||||||
4,400,000 | USD | 12/20/2020 | BOA | (Pay) | 1.00% | 1.00% | CDX.NA.HYS25.V1 | NA | 56,982 | |||||||||||||||||||||
75,680,000 | USD | 12/20/2020 | JPM | (Pay) | 5.00% | 1.00% | CDX.NA.HYS25.V1 | NA | (14,278,836 | ) | ||||||||||||||||||||
4,300,000 | USD | 12/20/2020 | CITI | (Pay) | 1.00% | 1.00% | CDX.NA.IGS25.V1 | NA | 372,161 | |||||||||||||||||||||
4,400,000 | USD | 12/20/2020 | BOA | (Pay) | 1.00% | 1.00% | CDX.NA.IGS25.V1 | NA | 371,895 | |||||||||||||||||||||
17,550,000 | EUR | 12/20/2020 | BOA | (Pay) | 1.00% | 1.12% | ITRAXX-EUROPES24V1-5Y | NA | (130,336 | ) | ||||||||||||||||||||
8,775,000 | EUR | 12/20/2020 | BOA | (Pay) | 1.00% | 1.12% | ITRAXX-EUROPES24V1-5Y | NA | 507,612 | |||||||||||||||||||||
116,707,500 | EUR | 12/20/2020 | BOA | Receive | 1.00% | 1.12% | ITRAXX-EUROPES24V1-5Y | 116,707,500 | EUR | 4,280,669 | ||||||||||||||||||||
43,875,000 | EUR | 12/20/2020 | GS | Receive | 1.00% | 1.12% | ITRAXX-EUROPES24V1-5Y | 43,875,000 | EUR | 1,609,274 | ||||||||||||||||||||
3,290,625 | EUR | 12/20/2020 | GS | (Pay) | 1.00% | 1.12% | ITRAXX-EUROPES24V1-5Y | NA | 190,354 | |||||||||||||||||||||
6,581,250 | EUR | 12/20/2020 | GS | (Pay) | 1.00% | 1.12% | ITRAXX-EUROPES24V1-5Y | NA | (48,876 | ) | ||||||||||||||||||||
87,685,000 | EUR | 12/20/2020 | CSS (e) | (Pay) | 1.00% | 0.67% | ITRAXX-EUROPES24V1-5Y | NA | (1,634,061 | ) | ||||||||||||||||||||
88,035,000 | EUR | 12/20/2020 | JPM | Receive | 1.00% | 1.12% | ITRAXX-EUROPES24V1-5Y | 88,035,000 | EUR | 3,229,002 | ||||||||||||||||||||
87,330,000 | EUR | 12/20/2020 | BOA | Receive | 1.00% | 1.12% | ITRAXX-EUROPES24V1-5Y | 87,330,000 | EUR | 3,203,143 | ||||||||||||||||||||
15,280,000 | USD | 6/20/2021 | CSS (e) | Receive | 5.00% | 3.93% | CDX.NA.HYS26.V1 | 15,280,000 | USD | 830,588 | ||||||||||||||||||||
10,423,700 | USD | 6/20/2021 | CSS (e) | (Pay) | 5.00% | 3.93% | CDX.NA.HYS26.V1 | NA | (566,610 | ) | ||||||||||||||||||||
40,668,000 | EUR | 6/20/2021 | CSS (e) | (Pay) | 1.00% | 0.66% | ITRAXX-EUROPES25V1-5Y | NA | (779,918 | ) | ||||||||||||||||||||
4,505,000 | USD | 1/17/2047 | BOA | (Pay) | 1.00% | 1.00% | CMBX.NA.AS.7 | NA | 71,249 | |||||||||||||||||||||
34,800,000 | USD | 1/17/2047 | CSI | (Pay) | 1.00% | 1.00% | CMBX.NA.AS.7 | NA | 550,382 | |||||||||||||||||||||
26,609,000 | USD | 1/17/2047 | DB | (Pay) | 1.00% | 1.00% | CMBX.NA.AS.7 | NA | 420,837 | |||||||||||||||||||||
13,270,000 | USD | 1/17/2047 | MSCS | (Pay) | 1.00% | 1.00% | CMBX.NA.AS.7 | NA | 209,873 | |||||||||||||||||||||
4,400,000 | USD | 1/17/2047 | GS | (Pay) | 1.00% | 1.00% | CMBX.NA.AS.7 | NA | 69,589 | |||||||||||||||||||||
3,384,000 | USD | 10/17/2057 | MSCS | (Pay) | 1.00% | 1.00% | CMBX.NA.AS.8 | NA | 112,306 | |||||||||||||||||||||
874,200 | USD | 9/17/2058 | GS | (Pay) | 0.50% | 0.5% | CMBX.NA.AAA.9 | NA | 34,957 | |||||||||||||||||||||
4,400,000 | USD | 9/17/2058 | DB | (Pay) | 3.00% | 3.00% | CMBX.NA.BBB-.9 | NA | 782,467 | |||||||||||||||||||||
1,760,000 | USD | 9/17/2058 | GS | (Pay) | 3.00% | 3.00% | CMBX.NA.BBB-.9 | NA | 312,987 | |||||||||||||||||||||
13,600,000 | USD | 5/11/2063 | GS | (Pay) | 5.00% | 5.00% | CMBX.NA.BB.6 | NA | 2,358,220 | |||||||||||||||||||||
8,715,000 | USD | 5/11/2063 | DB | (Pay) | 3.00% | 3.00% | CMBX.NA.BBB-.6 | NA | 727,173 | |||||||||||||||||||||
14,963,600 | USD | 5/11/2063 | GS | (Pay) | 3.00% | 3.00% | CMBX.NA.BBB.6 | NA | 1,248,551 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
$ | 3,905,409 | |||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Premiums to (Pay) Receive | $ | (3,325,705 | ) | |||||||||||||||||||||||||||
|
|
^ | Receive - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(Pay) - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(1) | As of August 31, 2016, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. |
See accompanying notes to the financial statements. | 23 |
GMO Debt Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2016 (Unaudited)
The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e., higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract. |
Interest Rate Swaps
Notional Amount | Expiration Date | Counterparty | Receive | Fixed Rate | Variable Rate | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
110,000,000 | USD | 9/21/2017 | CSS (f) | (Pay) | 1.00% | 3 Month USD LIBOR | $ | (24,107 | ) | |||||||||||
89,336,000 | USD | 9/21/2018 | CSS (f) | (Pay) | 1.25% | 3 Month USD LIBOR | (342,187 | ) | ||||||||||||
10,495,000 | USD | 3/10/2021 | CSS (f) | (Pay) | 1.27% | 3 Month USD LIBOR | (36,305 | ) | ||||||||||||
7,392,000 | USD | 3/16/2021 | CSS (f) | (Pay) | 1.75% | 3 Month USD LIBOR | (184,392 | ) | ||||||||||||
9,695,000 | USD | 4/4/2021 | CSS (f) | (Pay) | 1.18% | 3 Month USD LIBOR | 3,935 | |||||||||||||
8,701,000 | USD | 7/20/2021 | CSS (f) | (Pay) | 1.12% | 3 Month USD LIBOR | 36,492 | |||||||||||||
72,873,000 | USD | 9/21/2021 | CSS (f) | (Pay) | 1.50% | 3 Month USD LIBOR | (977,785 | ) | ||||||||||||
26,702,000 | USD | 4/16/2025 | CSS (f) | (Pay) | 2.00% | 3 Month USD LIBOR | (1,327,913 | ) | ||||||||||||
4,092,000 | USD | 5/19/2026 | CSS (f) | (Pay) | 1.65% | 3 Month USD LIBOR | (76,565 | ) | ||||||||||||
1,069,000 | USD | 6/10/2026 | CSS (f) | (Pay) | 1.60% | 3 Month USD LIBOR | (14,783 | ) | ||||||||||||
11,393,000 | USD | 7/18/2026 | CSS (f) | (Pay) | 1.42% | 3 Month USD LIBOR | 32,062 | |||||||||||||
5,928,000 | USD | 8/15/2026 | CSS (f) | (Pay) | 1.46% | 3 Month USD LIBOR | (3,896 | ) | ||||||||||||
22,130,000 | USD | 9/21/2026 | CSS (f) | (Pay) | 1.75% | 3 Month USD LIBOR | (599,525 | ) | ||||||||||||
|
| |||||||||||||||||||
$ | (3,514,969 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Premiums to (Pay) Receive | $ | 622,598 | ||||||||||||||||||
|
|
# | Receive - Fund receives fixed rate and pays variable rate. |
(Pay) - Fund pays fixed rate and receives variable rate. |
As of August 31, 2016, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
¿ | These securities are primarily backed by subprime mortgages. |
(a) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2). |
(b) | The rate disclosed is the 7 day net yield as of August 31, 2016. |
(c) | The rate shown represents yield-to-maturity. |
(d) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
(e) | Swap was cleared through the Intercontinental Exchange, Inc. |
(f) | Swap was cleared through the CME Group Inc. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 43.
24 | See accompanying notes to the financial statements. |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary† | % of Total Net Assets | |||
Debt Obligations | 90.6 | % | ||
Short-Term Investments | 6.7 | |||
Loan Participations | 1.7 | |||
Rights/Warrants | 1.0 | |||
Loan Assignments | 0.1 | |||
Forward Currency Contracts | 0.0 | ^ | ||
Options Purchased | 0.0 | ^ | ||
Written Options/Credit Linked Options | (0.1 | ) | ||
Reverse Repurchase Agreements | (0.5 | ) | ||
Swap Contracts | (1.4 | ) | ||
Other | 1.9 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary‡ | % of Investments | |||
Mexico | 13.3 | % | ||
Other Emerging | 12.6 | • | ||
Russia | 7.5 | |||
Brazil | 6.3 | |||
Venezuela | 5.7 | |||
Argentina | 5.5 | |||
Turkey | 5.4 | |||
Indonesia | 4.9 | |||
China | 3.1 | |||
Philippines | 2.6 | |||
Kazakhstan | 2.3 | |||
Hungary | 2.2 | |||
Malaysia | 2.0 | |||
Tunisia | 1.9 | |||
Dominican Republic | 1.9 | |||
Colombia | 1.8 | |||
South Africa | 1.6 | |||
Costa Rica | 1.6 | |||
Pakistan | 1.6 | |||
Peru | 1.6 | |||
Sri Lanka | 1.5 | |||
Israel | 1.4 | |||
Uruguay | 1.4 | |||
Ukraine | 1.3 | |||
Chile | 1.3 | |||
Romania | 1.2 | |||
Croatia | 1.1 | |||
Panama | 1.1 | |||
Angola | 1.1 | |||
Congo | 0.9 | |||
Morocco | 0.9 | |||
Bahrain | 0.8 | |||
Other Developed | 0.6 | ¨ | ||
|
| |||
100.0 | % | |||
|
|
† | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciaton rather than notional amounts. |
‡ | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using a reference security and applying the same methodology to that security. |
• | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
¨ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
^ | Rounds to 0.00%. |
25
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 90.3% | ||||||||||
Albania — 0.9% | ||||||||||
Foreign Government Obligations | ||||||||||
49,649,849 | Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b) | 38,272,019 | ||||||||
|
| |||||||||
Angola — 0.5% | ||||||||||
Foreign Government Obligations | ||||||||||
23,000,000 | Republic of Angola, Reg S, 9.50%, due 11/12/25 (c) | 22,885,000 | ||||||||
|
| |||||||||
Argentina — 4.9% | ||||||||||
Foreign Government Obligations | ||||||||||
9,000,000 | Province of Buenos Aires, Reg S, Step Up, 4.00%, due 05/15/35 | 6,716,250 | ||||||||
16,000,000 | Republic of Argentina, 144A, 7.63%, due 04/22/46 | 18,080,000 | ||||||||
EUR | 8,008,646 | Republic of Argentina Discount Bond, 7.82%, due 12/31/33 | 9,406,992 | |||||||
10,786,557 | Republic of Argentina Discount Bond, 8.28%, due 12/31/33 | 12,593,305 | ||||||||
40,308,593 | Republic of Argentina Discount Bond, 8.28%, due 12/31/33 | 44,944,081 | ||||||||
EUR | 79,650,000 | Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38 | 56,194,848 | |||||||
EUR | 83,430,000 | Republic of Argentina Par Bond, 2.26%, due 12/31/38 | 58,861,722 | |||||||
|
| |||||||||
Total Argentina | 206,797,198 | |||||||||
|
| |||||||||
Armenia — 0.5% | ||||||||||
Foreign Government Obligations | ||||||||||
21,300,000 | Republic of Armenia, Reg S, 7.15%, due 03/26/25 | 22,791,000 | ||||||||
|
| |||||||||
Azerbaijan — 0.8% | ||||||||||
Foreign Government Agency — 0.3% | ||||||||||
4,750,000 | Southern Gas Corridor CJSC, Reg S, 6.88%, due 03/24/26 | 5,308,125 | ||||||||
7,500,000 | State Oil Company of the Azerbaijan Republic, Reg S, 6.95%, due 03/18/30 | 8,118,750 | ||||||||
|
| |||||||||
13,426,875 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 0.5% | ||||||||||
20,000,000 | Republic of Azerbaijan International Bond, Reg S, 4.75%, due 03/18/24 | 20,500,000 | ||||||||
|
| |||||||||
Total Azerbaijan | 33,926,875 | |||||||||
|
| |||||||||
Bahrain — 0.6% | ||||||||||
Foreign Government Obligations | ||||||||||
31,250,000 | Bahrain Government International Bond, Reg S, 6.00%, due 09/19/44 | 27,148,438 | ||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
Belize — 0.4% | ||||||||||
Foreign Government Obligations | ||||||||||
32,486,300 | Republic of Belize, Reg S, Step Up, 5.00%, due 02/20/38 | 18,273,544 | ||||||||
|
| |||||||||
Bosnia & Herzegovina — 0.1% | ||||||||||
Foreign Government Obligations | ||||||||||
DEM | 4,041,240 | Bosnia & Herzegovina, Series A, 6 mo. DEM LIBOR + .81%, 0.63%, due 12/11/17 | 2,155,221 | |||||||
|
| |||||||||
Brazil — 3.3% | ||||||||||
Foreign Government Agency — 2.2% | ||||||||||
GBP | 10,995,000 | Petrobras Global Finance BV, 6.25%, due 12/14/26 | 13,120,603 | |||||||
GBP | 12,225,000 | Petrobras Global Finance BV, 6.63%, due 01/16/34 | 14,066,661 | |||||||
83,000,000 | Petrobras Global Finance BV, 6.85%, due 06/05/15 | 68,182,010 | ||||||||
|
| |||||||||
95,369,274 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 1.1% | ||||||||||
21,897,000 | Republic of Brazil, 7.13%, due 01/20/37 | 26,002,687 | ||||||||
14,435,000 | Republic of Brazil, 8.25%, due 01/20/34 | 18,855,719 | ||||||||
|
| |||||||||
44,858,406 | ||||||||||
|
| |||||||||
Total Brazil | 140,227,680 | |||||||||
|
| |||||||||
Cameroon — 0.6% | ||||||||||
Foreign Government Obligations | ||||||||||
24,000,000 | Republic of Cameroon International Bond, Reg S, 9.50%, due 11/19/25 | 26,490,000 | ||||||||
|
| |||||||||
Chile — 0.9% | ||||||||||
Corporate Debt — 0.5% | ||||||||||
17,000,000 | Empresa Nacional de Electricidad SA, 8.13%, due 02/01/97 | 22,100,000 | ||||||||
|
| |||||||||
Foreign Government Agency — 0.4% | ||||||||||
16,500,000 | Corp Nacional del Cobre de Chile, Reg S, 4.50%, due 09/16/25 | 17,455,845 | ||||||||
|
| |||||||||
Total Chile | 39,555,845 | |||||||||
|
| |||||||||
China — 0.8% | ||||||||||
Foreign Government Agency | ||||||||||
33,000,000 | Export-Import Bank of China via Avi Funding Co. Ltd. (The), Reg S, 3.80%, due 09/16/25 | 35,608,135 | ||||||||
|
| |||||||||
Colombia — 1.7% | ||||||||||
Foreign Government Agency — 0.9% | ||||||||||
36,500,000 | Ecopetrol SA, 7.38%, due 09/18/43 | 39,383,500 | ||||||||
|
|
26 | See accompanying notes to the financial statements. |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Colombia — continued | ||||||||||
Foreign Government Obligations — 0.8% | ||||||||||
25,000,000 | Colombia Government International Bond, 5.63%, due 02/26/44 | 28,843,750 | ||||||||
3,800,000 | Republic of Colombia, 11.85%, due 03/09/28 (a) | 5,857,583 | ||||||||
|
| |||||||||
34,701,333 | ||||||||||
|
| |||||||||
Total Colombia | 74,084,833 | |||||||||
|
| |||||||||
Congo Republic (Brazzaville) — 1.4% | ||||||||||
Foreign Government Obligations | ||||||||||
92,115,116 | Republic of Congo, Reg S, Series INTL, Step Up, 4.00%, due 06/30/29 | 61,717,128 | ||||||||
|
| |||||||||
Costa Rica — 1.3% | ||||||||||
Foreign Government Agency — 0.3% | ||||||||||
15,045,000 | Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43 | 12,976,312 | ||||||||
|
| |||||||||
Foreign Government Obligations — 1.0% | ||||||||||
40,400,000 | Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45 | 44,440,000 | ||||||||
|
| |||||||||
Total Costa Rica | 57,416,312 | |||||||||
|
| |||||||||
Croatia — 1.3% | ||||||||||
Foreign Government Obligations | ||||||||||
24,000,000 | Croatia Government International Bond, Reg S, 5.50%, due 04/04/23 | 26,220,000 | ||||||||
19,470,000 | Croatia Government International Bond, Reg S, 6.00%, due 01/26/24 | 21,855,075 | ||||||||
6,000,000 | Croatia Government International Bond, Reg S, 6.38%, due 03/24/21 | 6,667,500 | ||||||||
|
| |||||||||
Total Croatia | 54,742,575 | |||||||||
|
| |||||||||
Dominican Republic — 3.0% | ||||||||||
Asset-Backed Securities — 0.5% | ||||||||||
22,987,595 | Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24 (a) | 22,869,582 | ||||||||
|
| |||||||||
Foreign Government Agency — 0.2% | ||||||||||
7,370,000 | Banco de Reservas de la Republica Dominicana, Reg S, 7.00%, due 02/01/23 | 7,549,423 | ||||||||
|
| |||||||||
Foreign Government Obligations — 2.3% | ||||||||||
15,200,000 | Dominican Republic, Reg S, 8.63%, due 04/20/27 | 18,430,000 | �� | |||||||
38,607,000 | Dominican Republic Discount Bond, 6 mo. LIBOR + .81%, 1.81%, due 08/30/24 | 37,690,084 | ||||||||
24,000,000 | Dominican Republic International Bond, Reg S, 6.85%, due 01/27/45 | 27,210,000 | ||||||||
10,000,000 | Dominican Republic International Bond, Reg S, 7.45%, due 04/30/44 | 12,000,000 | ||||||||
|
| |||||||||
95,330,084 | ||||||||||
|
| |||||||||
Total Dominican Republic | 125,749,089 | |||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
Ecuador — 0.4% | ||||||||||
Foreign Government Obligations | ||||||||||
17,500,000 | Ecuador Government International Bond, Reg S, 7.95%, due 06/20/24 | 15,334,375 | ||||||||
|
| |||||||||
El Salvador — 0.3% | ||||||||||
Foreign Government Obligations | ||||||||||
13,203,000 | El Salvador Government International Bond, Reg S, 7.63%, due 02/01/41 | 13,863,150 | ||||||||
|
| |||||||||
Ethiopia — 0.3% | ||||||||||
Foreign Government Obligations | ||||||||||
14,000,000 | Federal Democratic Republic of Ethiopia, Reg S, 6.63%, due 12/11/24 | 13,667,500 | ||||||||
|
| |||||||||
Gabon — 0.8% | ||||||||||
Foreign Government Obligations | ||||||||||
33,000,000 | Gabonese Republic, Reg S, 6.38%, due 12/12/24 | 30,607,500 | ||||||||
4,500,000 | Gabonese Republic, Reg S, 6.95%, due 06/16/25 | 4,196,250 | ||||||||
|
| |||||||||
Total Gabon | 34,803,750 | |||||||||
|
| |||||||||
Ghana — 0.6% | ||||||||||
Foreign Government Obligations | ||||||||||
8,000,000 | Republic of Ghana, Reg S, 7.88%, due 08/07/23 | 7,400,000 | ||||||||
15,000,000 | Republic of Ghana, Reg S, 10.75%, due 10/14/30 | 16,951,500 | ||||||||
|
| |||||||||
Total Ghana | 24,351,500 | |||||||||
|
| |||||||||
Greece — 0.5% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 28,882,000 | Hellenic Republic Government Bond, Reg S, Step Up, 3.00%, due 02/24/36 | 19,502,733 | |||||||
|
| |||||||||
Grenada — 0.2% | ||||||||||
Foreign Government Obligations | ||||||||||
12,361,455 | Grenada Government International Bond, Reg S, 7.00%, due 05/12/30 | 6,736,993 | ||||||||
|
| |||||||||
Guatemala — 0.5% | ||||||||||
Foreign Government Obligations | ||||||||||
15,500,000 | Republic of Guatemala, Reg S, 8.13%, due 10/06/34 | 20,808,750 | ||||||||
|
| |||||||||
Honduras — 0.7% | ||||||||||
Foreign Government Obligations | ||||||||||
26,875,000 | Honduras Government International Bond, Reg S, 7.50%, due 03/15/24 | 30,267,969 | ||||||||
|
|
See accompanying notes to the financial statements. | 27 |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Hungary — 1.1% | ||||||||||
Foreign Government Obligations | ||||||||||
31,742,000 | Hungary Government International Bond, 7.63%, due 03/29/41 | 48,366,873 | ||||||||
|
| |||||||||
Iceland — 0.3% | ||||||||||
Foreign Government Obligations | ||||||||||
11,000,000 | Iceland Government International Bond, Reg S, 5.88%, due 05/11/22 | 12,835,438 | ||||||||
|
| |||||||||
Indonesia — 3.6% | ||||||||||
Foreign Government Agency — 1.3% | ||||||||||
28,200,000 | Majapahit Holding BV, Reg S, 7.88%, due 06/29/37 | 37,624,161 | ||||||||
14,400,000 | Pertamina Persero PT, Reg S, 6.50%, due 05/27/41 (c) | 16,812,000 | ||||||||
|
| |||||||||
54,436,161 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 2.3% | ||||||||||
35,780,000 | Indonesia Government International Bond, Reg S, 5.25%, due 01/17/42 | 41,130,541 | ||||||||
43,091,000 | Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37 | 56,401,383 | ||||||||
|
| |||||||||
97,531,924 | ||||||||||
|
| |||||||||
Total Indonesia | 151,968,085 | |||||||||
|
| |||||||||
Iraq — 0.3% | ||||||||||
Foreign Government Obligations | ||||||||||
15,000,000 | Republic of Iraq, Reg S, 5.80%, due 01/15/28 | 12,112,500 | ||||||||
|
| |||||||||
Israel — 1.1% | ||||||||||
Foreign Government Agency | ||||||||||
JPY | 2,500,000,000 | Israel Electric Corp., Ltd., 4.10%, due 01/14/32 | 23,679,505 | |||||||
7,243,000 | Israel Electric Corp., Ltd., Reg S, 7.88%, due 12/15/26 | 9,017,535 | ||||||||
12,143,000 | Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96 | 14,313,561 | ||||||||
|
| |||||||||
Total Israel | 47,010,601 | |||||||||
|
| |||||||||
Ivory Coast — 0.6% | ||||||||||
Foreign Government Obligations | ||||||||||
25,012,350 | Ivory Coast Government International Bond, Reg S, Step Up, 5.75%, due 12/31/32 | 24,856,023 | ||||||||
|
| |||||||||
Jamaica — 0.5% | ||||||||||
Foreign Government Agency — 0.1% | ||||||||||
4,000,000 | National Road Operating & Construction Co., Ltd., Reg S, 9.38%, due 11/10/24 | 4,660,000 | ||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
Jamaica — continued | ||||||||||
Foreign Government Obligations — 0.4% | ||||||||||
12,500,000 | Jamaica Government International Bond, 7.88%, due 07/28/45 | 14,562,500 | ||||||||
|
| |||||||||
Total Jamaica | 19,222,500 | |||||||||
|
| |||||||||
Jordan — 0.3% | ||||||||||
Foreign Government Obligations | ||||||||||
10,000,000 | Jordan Government International Bond, Reg S, 6.13%, due 01/29/26 | 10,825,000 | ||||||||
|
| |||||||||
Kazakhstan — 1.5% | ||||||||||
Foreign Government Obligations | ||||||||||
52,500,000 | Kazakhstan Government International Bond, Reg S, 6.50%, due 07/21/45 | 65,428,125 | ||||||||
|
| |||||||||
Kenya — 0.4% | ||||||||||
Foreign Government Obligations | ||||||||||
17,000,000 | Kenya Government International Bond, Reg S, 6.88%, due 06/24/24 | 16,660,000 | ||||||||
|
| |||||||||
Macedonia — 0.5% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 8,600,000 | Macedonia Government International Bond, 144A, 5.63%, due 07/26/23 | 10,009,058 | |||||||
EUR | 11,000,000 | FYR Macedonia, Reg S, 3.98%, due 07/24/21 | 12,177,928 | |||||||
|
| |||||||||
Total Macedonia | 22,186,986 | |||||||||
|
| |||||||||
Malaysia — 0.7% | ||||||||||
Foreign Government Agency | ||||||||||
25,000,000 | Petronas Capital, Ltd., Reg S, 4.50%, due 03/18/45 | 29,032,373 | ||||||||
|
| |||||||||
Mexico — 9.4% | ||||||||||
Foreign Government Agency — 2.8% | ||||||||||
51,000,000 | Pemex Project Funding Master Trust, 6.63%, due 06/15/35 | 55,080,000 | ||||||||
9,000,000 | Petroleos Mexicanos, 6.50%, due 06/02/41 | 9,540,900 | ||||||||
46,900,000 | Petroleos Mexicanos, 5.63%, due 01/23/46 | 45,225,670 | ||||||||
10,500,000 | Petroleos Mexicanos, 6.38%, due 01/23/45 | 11,057,550 | ||||||||
|
| |||||||||
120,904,120 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 6.6% | ||||||||||
GBP | 46,503,000 | United Mexican States, 5.63%, due 03/19/14 | 70,225,192 | |||||||
183,348,000 | United Mexican States, 5.75%, due 10/12/10 | 209,016,720 | ||||||||
|
| |||||||||
279,241,912 | ||||||||||
|
| |||||||||
Total Mexico | 400,146,032 | |||||||||
|
|
28 | See accompanying notes to the financial statements. |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Mongolia — 0.4% | ||||||||||
Foreign Government Obligations | ||||||||||
18,600,000 | Mongolia Government International Bond, Reg S, 5.13%, due 12/05/22 | 15,624,000 | ||||||||
|
| |||||||||
Morocco — 0.8% | ||||||||||
Foreign Government Agency | ||||||||||
30,000,000 | Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44 | 35,062,500 | ||||||||
|
| |||||||||
Mozambique — 0.1% | ||||||||||
Foreign Government Obligations | ||||||||||
4,500,000 | Mozambique International Bond, 144A, 10.50%, due 01/18/23 | 3,330,000 | ||||||||
|
| |||||||||
Nigeria — 0.1% | ||||||||||
Foreign Government Obligations | ||||||||||
5,400,000 | Nigeria Government International Bond, Reg S, 6.38%, due 07/12/23 (c) | 5,359,500 | ||||||||
|
| |||||||||
Oman — 0.2% | ||||||||||
Foreign Government Obligations | ||||||||||
10,000,000 | Oman Government International Bond, 144A, 4.75%, due 06/15/26 | 10,337,500 | ||||||||
|
| |||||||||
Pakistan — 0.9% | ||||||||||
Foreign Government Obligations | ||||||||||
40,500,000 | Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36 | 40,115,655 | ||||||||
|
| |||||||||
Panama — 1.1% | ||||||||||
Foreign Government Agency — 0.4% | ||||||||||
13,600,000 | AES Panama SRL, Reg S, 6.00%, due 06/25/22 | 14,220,908 | ||||||||
|
| |||||||||
Foreign Government Obligations — 0.7% | ||||||||||
18,908,000 | Panama Government International Bond, 4.30%, due 04/29/53 | 20,609,720 | ||||||||
7,295,000 | Panama Government International Bond, 8.13%, due 04/28/34 | 10,568,631 | ||||||||
|
| |||||||||
31,178,351 | ||||||||||
|
| |||||||||
Total Panama | 45,399,259 | |||||||||
|
| |||||||||
Paraguay — 0.2% | ||||||||||
Foreign Government Obligations | ||||||||||
8,000,000 | Republic of Paraguay, Reg S, 6.10%, due 08/11/44 | 9,180,000 | ||||||||
|
| |||||||||
Peru — 1.6% | ||||||||||
Foreign Government Agency — 0.3% | ||||||||||
12,452,000 | Peru Enhanced Pass-Through Finance Ltd., Reg S, Zero Coupon, due 06/02/25 | 10,261,942 |
Par Value† | Description | Value ($) | ||||||||
Peru — continued | ||||||||||
Foreign Government Obligations — 1.3% | ||||||||||
5,000,000 | Peru Par Bond, Series 30 Yr., Step Up, 4.00%, due 03/07/27 (a) | 4,950,000 | ||||||||
39,120,000 | Republic of Peru, 5.63%, due 11/18/50 | 51,540,600 | ||||||||
|
| |||||||||
56,490,600 | ||||||||||
|
| |||||||||
Total Peru | 66,752,542 | |||||||||
|
| |||||||||
Philippines — 3.3% | ||||||||||
Foreign Government Agency — 2.4% | ||||||||||
25,651,000 | Central Bank of Philippines, Series A, 8.60%, due 06/15/27 | 38,155,863 | ||||||||
40,550,000 | National Power Corp., Global Bond, 9.63%, due 05/15/28 | 64,836,611 | ||||||||
|
| |||||||||
102,992,474 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 0.9% | ||||||||||
27,354,000 | Republic of Philippines, 6.38%, due 01/15/32 | 39,304,689 | ||||||||
|
| |||||||||
Total Philippines | 142,297,163 | |||||||||
|
| |||||||||
Poland — 0.2% | ||||||||||
Foreign Government Obligations | ||||||||||
7,500,000 | Poland Government International Bond, 3.25%, due 04/06/26 | 7,959,375 | ||||||||
|
| |||||||||
Qatar — 0.2% | ||||||||||
Foreign Government Obligations | ||||||||||
5,000,000 | Qatar Government International Bond, Reg S, 5.75%, due 01/20/42 | 6,431,250 | ||||||||
|
| |||||||||
Romania — 0.9% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 14,000,000 | Romanian Government International Bond, 144A, 2.88%, due 05/26/28 | 16,768,005 | |||||||
14,594,000 | Romanian Government International Bond, Reg S, 6.13%, due 01/22/44 | 19,628,930 | ||||||||
|
| |||||||||
Total Romania | 36,396,935 | |||||||||
|
| |||||||||
Russia — 5.0% | ||||||||||
Foreign Government Agency — 2.3% | ||||||||||
30,000,000 | Gazprom Neft OAO Via GPN Capital SA, Reg S, 4.38%, due 09/19/22 | 29,850,000 | ||||||||
38,800,000 | Gazprom OAO Via Gaz Capital SA, Reg S, 8.63%, due 04/28/34 | 50,936,640 | ||||||||
15,700,000 | Sberbank of Russia Via SB Capital SA, Reg S, 5.13%, due 10/29/22 | 15,935,500 | ||||||||
|
| |||||||||
96,722,140 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 2.7% | ||||||||||
31,200,000 | Russian Foreign Bond, Reg S, 5.63%, due 04/04/42 | 35,755,200 |
See accompanying notes to the financial statements. | 29 |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Russia — continued | ||||||||||
Foreign Government Obligations — continued | ||||||||||
66,200,000 | Russian Foreign Bond, Reg S, 5.88%, due 09/16/43 | 78,513,200 | ||||||||
|
| |||||||||
114,268,400 | ||||||||||
|
| |||||||||
Total Russia | 210,990,540 | |||||||||
|
| |||||||||
Rwanda — 0.1% | ||||||||||
Foreign Government Obligations | ||||||||||
5,000,000 | Rwanda International Government Bond, Reg S, 6.63%, due 05/02/23 | 5,112,500 | ||||||||
|
| |||||||||
Serbia — 0.8% | ||||||||||
Foreign Government Obligations | ||||||||||
4,367,078 | Republic of Serbia, Reg S, Step Up, 6.75%, due 11/01/24 | 4,410,749 | ||||||||
24,000,000 | Republic of Serbia, Reg S, 7.25%, due 09/28/21 | 27,810,000 | ||||||||
|
| |||||||||
Total Serbia | 32,220,749 | |||||||||
|
| |||||||||
South Africa — 0.9% | ||||||||||
Foreign Government Agency — 0.5% | ||||||||||
ZAR | 163,000,000 | Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32 | 1,479,107 | |||||||
19,000,000 | Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25 | 18,810,000 | ||||||||
ZAR | 20,000,000 | Transnet, Ltd., 13.50%, due 04/18/28 | 1,507,196 | |||||||
|
| |||||||||
21,796,303 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 0.4% | ||||||||||
15,000,000 | South Africa Government International Bond, 5.88%, due 09/16/25 | 16,781,250 | ||||||||
|
| |||||||||
Total South Africa | 38,577,553 | |||||||||
|
| |||||||||
Sri Lanka — 1.2% | ||||||||||
Foreign Government Obligations | ||||||||||
19,000,000 | Sri Lanka Government International Bond, Reg S, 6.13%, due 06/03/25 | 19,482,980 | ||||||||
13,500,000 | Sri Lanka Government International Bond, 144A, 6.83%, due 07/18/26 | 14,489,145 | ||||||||
17,000,000 | Sri Lanka Government International Bond, Reg S, 6.85%, due 11/03/25 | 18,182,860 | ||||||||
|
| |||||||||
Total Sri Lanka | 52,154,985 | |||||||||
|
| |||||||||
Thailand — 0.2% | ||||||||||
Foreign Government Agency | ||||||||||
7,000,000 | PTT PCL, Reg S, 4.50%, due 10/25/42 | 7,603,750 | ||||||||
|
| |||||||||
Trinidad And Tobago — 0.4% | ||||||||||
Foreign Government Agency — 0.2% | ||||||||||
6,000,000 | Petroleum Company of Trinidad and Tobago Ltd., Reg S, 9.75%, due 08/14/19 | 6,654,000 | ||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
Trinidad And Tobago — continued | ||||||||||
Foreign Government Obligations — 0.2% | ||||||||||
10,000,000 | Trinidad & Tobago Government International Bond, 144A, 4.50%, due 08/04/26 | 10,387,500 | ||||||||
|
| |||||||||
Total Trinidad And Tobago | 17,041,500 | |||||||||
|
| |||||||||
Tunisia — 1.6% | ||||||||||
Foreign Government Agency | ||||||||||
JPY | 2,500,000,000 | Banque Centrale de Tunisie SA, 4.20%, due 03/17/31 | 17,827,285 | |||||||
JPY | 7,000,000,000 | Banque Centrale de Tunisie SA, 4.30%, due 08/02/30 | 51,837,819 | |||||||
|
| |||||||||
Total Tunisia | 69,665,104 | |||||||||
|
| |||||||||
Turkey — 3.9% | ||||||||||
Foreign Government Obligations | ||||||||||
75,191,000 | Republic of Turkey, 6.00%, due 01/14/41 | 82,240,156 | ||||||||
65,302,000 | Republic of Turkey, 6.75%, due 05/30/40 | 78,035,890 | ||||||||
3,700,000 | Turkey Government International Bond, 6.63%, due 02/17/45 | 4,416,875 | ||||||||
|
| |||||||||
Total Turkey | 164,692,921 | |||||||||
|
| |||||||||
Ukraine — 1.2% | ||||||||||
Foreign Government Obligations | ||||||||||
2,957,000 | Ukraine Government International Bond, 144A, 7.75%, due 09/01/19 | 2,949,608 | ||||||||
7,818,000 | Ukraine Government International Bond, 144A, 7.75%, due 09/01/20 | 7,720,275 | ||||||||
6,019,000 | Ukraine Government International Bond, Reg S, 7.75%, due 09/01/21 | 5,898,620 | ||||||||
6,019,000 | Ukraine Government International Bond, Reg S, 7.75%, due 09/01/22 | 5,874,544 | ||||||||
6,019,000 | Ukraine Government International Bond, Reg S, 7.75%, due 09/01/23 | 5,850,468 | ||||||||
6,019,000 | Ukraine Government International Bond, Reg S, 7.75%, due 09/01/24 | 5,826,392 | ||||||||
6,019,000 | Ukraine Government International Bond, Reg S, 7.75%, due 09/01/25 | 5,802,316 | ||||||||
6,019,000 | Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26 | 5,778,240 | ||||||||
6,869,000 | Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27 | 6,566,764 | ||||||||
|
| |||||||||
Total Ukraine | 52,267,227 | |||||||||
|
| |||||||||
United States — 8.4% | ||||||||||
Asset-Backed Securities — 0.6% | ||||||||||
2,036,165 | Aircraft Finance Trust, Series 99-1A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .50%, 0.99%, due 05/15/24 | 379,236 | ||||||||
319,130 | CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, Variable Rate, 1 mo. LIBOR + .44%, 0.96%, due 10/25/30 | 290,678 |
30 | See accompanying notes to the financial statements. |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
United States — continued | ||||||||||
Asset-Backed Securities — continued | ||||||||||
3,189,971 | Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, XL, 1 mo. LIBOR + .20%, 0.71%, due 05/15/36 ¿ | 2,726,214 | ||||||||
7,736,392 | Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, 1 mo. LIBOR + .24%, 0.75%, due 12/15/35 ¿ | 7,178,081 | ||||||||
4,070,511 | Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, 1 mo. LIBOR + .24%, 0.75%, due 12/15/35 ¿ | 3,456,572 | ||||||||
185,175 | Morgan Stanley Capital, Inc., Series 06-NC3, Class A2C, 1 mo. LIBOR + .17%, 0.69%, due 03/25/36 ¿ | 184,754 | ||||||||
11,633,895 | Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, 1 mo. LIBOR + .22%, 0.74%, due 11/25/36 ¿ | 5,375,602 | ||||||||
11,480,817 | Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.67%, due 11/25/36 ¿ | 5,232,163 | ||||||||
6,311,042 | Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, 1 mo. LIBOR + .36%, 0.88%, due 04/25/37 ¿ | 3,122,779 | ||||||||
|
| |||||||||
27,946,079 | ||||||||||
|
| |||||||||
U.S. Government — 7.8% | ||||||||||
74,539,500 | U.S. Treasury Inflation Indexed Note, 0.13%, due 01/15/22 (e) | 75,154,749 | ||||||||
20,000,000 | U.S. Treasury Note, 0.75%, due 03/15/17 (d) | 20,022,140 | ||||||||
35,000,000 | U.S. Treasury Note, 1.00%, due 03/31/17 (d) | 35,089,320 | ||||||||
30,000,000 | U.S. Treasury Note, 0.63%, due 06/30/17 | 29,994,150 | ||||||||
50,000,000 | U.S. Treasury Note, 1.88%, due 09/30/17 (d) | 50,626,950 | ||||||||
10,000,000 | U.S. Treasury Note, 2.25%, due 11/30/17 | 10,184,770 | ||||||||
110,000,000 | U.S. Treasury Note, 0.75%, due 02/28/18 | 109,944,120 | ||||||||
|
| |||||||||
331,016,199 | ||||||||||
|
| |||||||||
Total United States | 358,962,278 | |||||||||
|
| |||||||||
Uruguay — 1.3% | ||||||||||
Foreign Government Obligations | ||||||||||
51,000,000 | Uruguay Government International Bond, 5.10%, due 06/18/50 | 53,805,000 | ||||||||
|
| |||||||||
Venezuela — 6.4% | ||||||||||
Foreign Government Agency — 3.9% | ||||||||||
138,893,000 | Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18 | 71,182,662 | ||||||||
176,000,000 | Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 | 65,120,000 | ||||||||
80,000,000 | Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 | 29,360,000 | ||||||||
|
| |||||||||
165,662,662 | ||||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
Venezuela — continued | ||||||||||
Foreign Government Obligations — 2.5% | ||||||||||
63,611,000 | Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20 | 28,465,923 | ||||||||
25,028,000 | Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19 | 12,295,005 | ||||||||
146,093,000 | Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23 | 66,107,082 | ||||||||
|
| |||||||||
106,868,010 | ||||||||||
|
| |||||||||
Total Venezuela | 272,530,672 | |||||||||
|
| |||||||||
Vietnam — 0.4% | ||||||||||
Foreign Government Agency — 0.3% | ||||||||||
23,804,000 | Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25 | 13,342,142 | ||||||||
|
| |||||||||
Foreign Government Obligations — 0.1% | ||||||||||
5,000,000 | Socialist Republic of Vietnam, Series 30 Yr., 6 mo. LIBOR + .81%, 1.75%, due 03/13/28 | 4,675,000 | ||||||||
|
| |||||||||
Total Vietnam | 18,017,142 | |||||||||
|
| |||||||||
Zambia — 0.9% | ||||||||||
Foreign Government Obligations | ||||||||||
29,360,000 | Zambia Government International Bond, Reg S, 8.50%, due 04/14/24 | 28,809,500 | ||||||||
7,700,000 | Zambia Government International Bond, Reg S, 8.97%, due 07/30/27 | 7,536,375 | ||||||||
|
| |||||||||
Total Zambia | 36,345,875 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $3,575,311,306) | 3,842,061,623 | |||||||||
|
| |||||||||
LOAN ASSIGNMENTS — 0.1% | ||||||||||
Indonesia | ||||||||||
4,368,000 | Republic of Indonesia Loan Agreement, dated June 14, 1995, 6 mo. LIBOR + 0.88%, 1.19%, due 12/14/19 | 4,100,460 | ||||||||
952,163 | Republic of Indonesia Loan Agreement, dated September 14, 1994, 6 mo. LIBOR + .75%, 1.68%, due 12/01/19 | 871,230 | ||||||||
EUR | 824,498 | Republic of Indonesia, Indonesia Paris Club Debt, due 06/01/21 | 740,347 | |||||||
|
| |||||||||
TOTAL LOAN ASSIGNMENTS (COST $5,599,437) | 5,712,037 | |||||||||
|
| |||||||||
LOAN PARTICIPATIONS — 1.7% | ||||||||||
Angola — 0.9% | ||||||||||
16,875,000 | Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.60%, due 12/20/23 | 14,006,250 |
See accompanying notes to the financial statements. | 31 |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Par Value† / Shares | Description | Value ($) | ||||||||
Angola — continued | ||||||||||
26,062,500 | Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.60%, due 12/13/23 | 21,631,875 | ||||||||
|
| |||||||||
Total Angola | 35,638,125 | |||||||||
|
| |||||||||
Egypt — 0.0% | ||||||||||
CHF | 113,117 | Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (a) | 95,225 | |||||||
|
| |||||||||
Indonesia — 0.1% | ||||||||||
5,475,672 | Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR +.88%, 1.79%, due 09/29/19 | 5,017,084 | ||||||||
|
| |||||||||
Iraq — 0.5% | ||||||||||
JPY | 3,332,755,050 | Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), Variable Rate, due 01/01/28 | 19,443,553 | |||||||
JPY | 435,464,944 | Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), Variable Rate, due 01/01/28 | 2,540,929 | |||||||
|
| |||||||||
Total Iraq | 21,984,482 | |||||||||
|
| |||||||||
Russia — 0.0% | ||||||||||
EUR | 57,042,402 | Russian Foreign Trade Obligations (Participation with GML International Ltd.), (a) (f) | 1,418,582 | |||||||
|
| |||||||||
Vietnam — 0.2% | ||||||||||
JPY | 798,074,000 | Socialist Republic of Vietnam Loan Agreement (Participation with Deutsche Bank), 6 mo. JPY LIBOR + .60%, 0.60%, due 09/01/17 | 7,086,748 | |||||||
|
| |||||||||
TOTAL LOAN PARTICIPATIONS (COST $93,430,794) | 71,240,246 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 3.0% | ||||||||||
United States | ||||||||||
Affiliated Issuers | ||||||||||
568,012 | GMO Debt Opportunities Fund, Class VI | 14,387,737 | ||||||||
4,450,782 | GMO U.S. Treasury Fund | 111,314,046 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $123,155,405) | 125,701,783 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 1.0% | ||||||||||
Argentina — 0.8% | ||||||||||
EUR | 298,220,524 | Republic of Argentina GDP Linked, Expires 12/15/35 | 33,930,315 | |||||||
|
|
Par Value† / Shares | Description | Value ($) | ||||||||
Nigeria — 0.0% | ||||||||||
25,000 | Central Bank of Nigeria Oil Warrants, Expires 01/21/92 | 1,668,952 | ||||||||
|
| |||||||||
Ukraine — 0.1% | ||||||||||
13,276,200 | Government of Ukraine GDP Linked, 144A, Expires 05/31/40 | 4,182,003 | ||||||||
|
| |||||||||
Uruguay — 0.0% | ||||||||||
4,000,000 | Banco Central Del Uruguay Value Recovery Rights, VRRB, Expires 01/02/21 * (a) | — | ||||||||
|
| |||||||||
Venezuela — 0.1% | ||||||||||
959,065 | Republic of Venezuela Oil Warrants, Expires 04/15/20 | 1,678,198 | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $50,000,531) | 41,459,468 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 4.0% | ||||||||||
Money Market Funds — 0.0% | ||||||||||
1,575,713 | State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.20 (g) | 1,575,713 | ||||||||
|
| |||||||||
U.S. Government — 4.0% | ||||||||||
10,000,000 | U.S. Treasury Bill, 0.44%, due 02/09/17 (h) | 9,980,400 | ||||||||
60,000,000 | U.S. Treasury Note, 0.50%, due 02/28/17 | 59,994,120 | ||||||||
21,500,000 | U.S. Treasury Note, 0.63%, due 05/31/17 | 21,500,000 | ||||||||
50,000,000 | U.S. Treasury Note, 0.88%, due 04/30/17 | 50,102,550 | ||||||||
30,000,000 | U.S. Treasury Note, 0.88%, due 05/15/17 | 30,059,760 | ||||||||
|
| |||||||||
Total U.S. Government | 171,636,830 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $173,235,904) | 173,212,543 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.1% (Cost $4,020,733,377) | 4,259,387,700 | |||||||||
Other Assets and Liabilities (net) — (0.1%) | (2,224,127 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $4,257,163,573 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2016 is as follows:
Forward Currency Contracts
Settlement Date | Counter- party | Currency Sold | Currency | Net | ||||||||||||||||||||||
11/21/2016 | BOA | EUR | 52,000,000 | USD | 59,076,420 | $ | 873,958 | |||||||||||||||||||
11/21/2016 | BOA | GBP | 6,000,000 | USD | 7,895,880 | 3,771 | ||||||||||||||||||||
|
| |||||||||||||||||||||||||
$ | 877,729 | |||||||||||||||||||||||||
|
|
32 | See accompanying notes to the financial statements. |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2016 (Unaudited)
Reverse Repurchase Agreements (i)
Face Value | Description | Value ($) | ||||||||
USD | 12,511,889 | JP Morgan Securities, Inc., (0.15)%, dated 07/26/16, (collateral: Pertamina Persero PT, Reg S, 6.50%, due 05/27/41), to be repurchased on demand at face value plus accrued interest. | $ | (12,511,890 | ) | |||||
USD | 2,942,583 | JP Morgan Securities, Inc., (0.10)%, dated 07/12/16, (collateral: Republic of Angola, Reg S, 9.50%, due 11/12/25), to be repurchased on demand at face value plus accrued interest. | (2,942,583 | ) | ||||||
USD | 3,984,958 | JP Morgan Securities, Inc., (0.25)%, dated 07/18/16, (collateral: Nigeria Government International Bond, Reg S, 6.38%, due 07/12/23), to be repurchased on demand at face value plus accrued interest. | (3,984,958 | ) | ||||||
USD | 982,677 | JP Morgan Securities, Inc., (0.25)%, dated 07/12/16, (collateral: Nigeria Government International Bond, Reg S, 6.38%, due 07/12/23), to be repurchased on demand at face value plus accrued interest. | (982,677 | ) | ||||||
|
| |||||||||
$ | (20,422,108 | ) | ||||||||
|
| |||||||||
Average balance outstanding | $ | (25,352,194 | ) | |||||||
Average interest rate | 0.33 | % | ||||||||
Maximum balance outstanding | $ | (45,128,831 | ) |
Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements.
Credit Linked Options
Principal Amount | Expiration Date | Description | Premiums | Value ($) | ||||||||||||||
Put Sold | USD | 62,000,000 | 03/21/2017 | Lebanese Republic Credit Linked Put Option, Fund receives premium of 0.50% (OTC) (CP-DB) (a) | $ | 1,101,360 | $ | 155,360 | ||||||||||
Put Sold | USD | 70,000,000 | 07/14/2017 | Turkiye Is Bankasi A.S. Credit Linked Put Option, Fund receives premium of 0.40% (OTC) (CP-DB) (a) | 1,001,777 | 93,899 | ||||||||||||
Put Sold | USD | 70,000,000 | 04/03/2018 | Turkiye Cumhuriyeti Ziraat Bankasi A.S. Credit Linked Put Option, Fund receives premium of 0.40% (OTC) (CP-DB) (a) | 1,062,443 | 94,240 | ||||||||||||
Put Sold | USD | 45,000,000 | 01/20/2021 | Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB) (a) | 244,688 | 74,137 | ||||||||||||
Put Sold | USD | 43,000,000 | 04/15/2024 | Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.30% (OTC) (CP-DB) (a) | 384,133 | (311,344 | ) | |||||||||||
Put Sold | USD | 100,000,000 | 04/15/2024 | Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.44% (OTC) (CP-DB) (a) | 1,705,000 | (2,242,846 | ) | |||||||||||
|
|
|
| |||||||||||||||
$ | 5,499,401 | $ | (2,136,554 | ) | ||||||||||||||
|
|
|
|
Swap Contracts
Credit Default Swaps
Notional Amount | Expiration Date | Counterparty | Receive | Annual Premium | Implied Credit Spread (1) | Reference Entity | Maximum Potential | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
19,500,000 | USD | 3/20/2017 | DB | Receive | 5.00% | 60.15% | Bolivarian Republic of Venezuela | 19,500,000 | USD | $ | (4,602,988 | ) | ||||||||||||||||
2,500,000 | USD | 5/20/2017 | DB | (Pay) | 1.05% | 0.26% | Republic of Peru | NA | (21,854 | ) | ||||||||||||||||||
32,000,000 | PEN | 5/20/2017 | DB | Receive | 0.79% | 0.21% | Republic of Peru | 32,000,000 | PEN | 59,568 | ||||||||||||||||||
4,500,000 | USD | 7/20/2017 | JPM | Receive | 3.30% | 2.32% | Republic of Jamaica | 4,500,000 | USD | 55,994 | ||||||||||||||||||
5,400,000 | EUR | 3/20/2018 | DB | Receive | 1.00% | 4.37% | Republic of Macedonia | 5,400,000 | EUR | (293,894 | ) | |||||||||||||||||
50,000,000 | USD | 6/20/2019 | JPM | (Pay) | 1.00% | 1.44% | Republic of Brazil | NA | 503,003 |
See accompanying notes to the financial statements. | 33 |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2016 (Unaudited)
Notional Amount | Expiration Date | Counterparty | Receive | Annual Premium | Implied Credit Spread (1) | Reference Entity | Maximum Potential | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
44,000,000 | USD | 6/20/2019 | JPM | (Pay) | 1.00% | 1.54% | Republic of Croatia | NA | $ | 566,200 | ||||||||||||||||||
6,000,000 | USD | 6/20/2020 | DB | Receive | 1.00% | 2.43% | Commonwealth of Bahamas | 6,000,000 | USD | (293,080 | ) | |||||||||||||||||
42,000,000 | EUR | 12/20/2020 | DB | (Pay) | 1.00% | 2.34% | Commonwealth of Bahamas | NA | 2,482,968 | |||||||||||||||||||
57,000,000 | USD | 12/20/2020 | DB | Receive | 1.00% | 2.64% | Commonwealth of Bahamas | 57,000,000 | USD | (3,579,045 | ) | |||||||||||||||||
10,000,000 | USD | 12/20/2022 | JPM | Receive | 1.00% | 1.4% | Republic of Malaysia | 10,000,000 | USD | (214,397 | ) | |||||||||||||||||
15,000,000 | USD | 12/20/2022 | JPM | Receive | 1.00% | 1.83% | Republic of Indonesia | 15,000,000 | USD | (684,996 | ) | |||||||||||||||||
30,000,000 | USD | 3/20/2023 | JPM | Receive | 1.00% | 2.8% | Republic of Turkey | 30,000,000 | USD | (3,105,910 | ) | |||||||||||||||||
40,000,000 | USD | 6/20/2023 | JPM | Receive | 1.00% | 2.46% | Republic of Croatia | 40,000,000 | USD | (3,470,902 | ) | |||||||||||||||||
200,000,000 | USD | 6/20/2023 | DB | (Pay) | 1.00% | 2.46% | Republic of Croatia | NA | 17,354,511 | |||||||||||||||||||
160,000,000 | EUR | 6/20/2023 | DB | Receive | 1.00% | 2.45% | Republic of Croatia | 160,000,000 | EUR | (16,176,386 | ) | |||||||||||||||||
6,000,000 | USD | 6/20/2023 | DB | Receive | 1.00% | 3.31% | Commonwealth of Bahamas | 6,000,000 | USD | (779,902 | ) | |||||||||||||||||
3,000,000 | USD | 6/20/2023 | DB | Receive | 1.00% | 3.31% | Commonwealth of Bahamas | 3,000,000 | USD | (389,951 | ) | |||||||||||||||||
25,000,000 | USD | 9/20/2023 | JPM | Receive | 1.00% | 3.01% | Republic of South Africa | 25,000,000 | USD | (3,044,431 | ) | |||||||||||||||||
24,000,000 | USD | 3/20/2024 | JPM | Receive | 1.00% | 1.53% | Republic of Malaysia | 24,000,000 | USD | (811,456 | ) | |||||||||||||||||
27,250,000 | USD | 6/20/2024 | JPM | Receive | 1.00% | 3.14% | Republic of Brazil | 27,250,000 | USD | (3,811,463 | ) | |||||||||||||||||
22,750,000 | USD | 6/20/2024 | JPM | Receive | 1.00% | 3.14% | Republic of Brazil | 22,750,000 | USD | (3,182,047 | ) | |||||||||||||||||
60,000,000 | USD | 6/20/2024 | JPM | Receive | 1.00% | 1.36% | Peoples Republic of China | 60,000,000 | USD | (1,413,650 | ) | |||||||||||||||||
25,000,000 | USD | 3/20/2025 | GS | Receive | 1.00% | 1.41% | Republic of China | 25,000,000 | USD | (735,455 | ) | |||||||||||||||||
10,000,000 | USD | 6/20/2025 | GS | Receive | 1.00% | 2.09% | Republic of Indonesia | 10,000,000 | USD | (798,511 | ) | |||||||||||||||||
25,000,000 | USD | 6/20/2025 | GS | Receive | 1.00% | 2.09% | Republic of Indonesia | 25,000,000 | USD | (1,996,278 | ) | |||||||||||||||||
91,000,000 | USD | 6/20/2025 | DB | Receive | 1.00% | 5.57% | Commonwealth of Bahamas | 91,000,000 | USD | (8,467,521 | ) | |||||||||||||||||
68,000,000 | EUR | 6/20/2025 | DB | (Pay) | 1.00% | 5.17% | Commonwealth of Bahamas | NA | 6,436,430 | |||||||||||||||||||
20,000,000 | USD | 6/20/2025 | GS | Receive | 1.00% | 1.43% | Republic of China | 20,000,000 | USD | (628,145 | ) | |||||||||||||||||
21,000,000 | USD | 6/20/2026 | GS | Receive | 1.00% | 3.18% | Republic of South Africa | 21,000,000 | USD | (3,581,132 | ) | |||||||||||||||||
40,000,000 | USD | 3/20/2030 | JPM | Receive | 1.00% | 3.26% | Republic of Brazil | 40,000,000 | USD | (8,686,862 | ) | |||||||||||||||||
20,000,000 | USD | 9/20/2031 | GS | (Pay) | 1.00% | 2.09% | United Mexican States | NA | 2,464,642 | |||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | (40,846,940 | ) | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Premiums to (Pay) Receive | $ | 41,498,703 | ||||||||||||||||||||||||||
|
|
^ | Receive - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(Pay) - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(1) | As of August 31, 2016, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e., higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract. |
34 | See accompanying notes to the financial statements. |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2016 (Unaudited)
Cross-Currency Basis Swaps
Notional Amount | Expiration Date | Counterparty | Fund Pays | Fund Receives | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
120,000,000 | EUR | 9/11/2020 | JPM | 3 Month EURIBOR plus a spread of (0.35)% | 3 Month USD LIBOR | $1,802,796 | ||||||||||||
|
| |||||||||||||||||
Premiums to (Pay) Receive | $ | — | ||||||||||||||||
|
|
Cross-Currency Interest Rate Swaps
Notional Amount | Expiration Date | Counterparty | Receive | Fixed Rate | Variable Rate | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
14,000,000,000 | JPY | 4/28/2025 | GS | (Pay) | (0.22)% | 3 Month USD LIBOR | $ | (7,957,025 | ) | |||||||||||
50,000,000 | GBP | 3/10/2026 | JPM | (Pay) | 1.17% | 3 Month USD LIBOR | 2,380,980 | |||||||||||||
|
| |||||||||||||||||||
$ | (5,576,045 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Premiums to (Pay) Receive | $ | — | ||||||||||||||||||
|
|
# | Receive - Fund receives fixed rate and pays variable rate. |
(Pay) - Fund pays fixed rate and receives variable rate. |
Interest Rate Swaps
Notional Amount | Expiration Date | Counterparty | Receive | Fixed Rate | Variable Rate | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
70,000,000 | USD | 9/1/2045 | JPMF (j) | (Pay) | 2.69% | 3 Month USD LIBOR | $ | (16,407,617 | ) | |||||||||||
|
| |||||||||||||||||||
$ | (16,407,617 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Premiums to (Pay) Receive | $ | — | ||||||||||||||||||
|
|
# | Receive - Fund receives fixed rate and pays variable rate. |
(Pay) - Fund pays fixed rate and receives variable rate. |
As of August 31, 2016, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
* | Non-income producing security. |
¿ | These securities are primarily backed by subprime mortgages. |
(a) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2). |
(b) | Security is backed by U.S. Treasury Bonds. |
(c) | All or a portion of this security has been pledged to cover collateral requirements on reverse repurchase agreements (Note 2). |
(d) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
(e) | Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic (Note 2). |
(f) | Security is in default. |
(g) | The rate disclosed is the 7 day net yield as of August 31, 2016. |
(h) | The rate shown represents yield-to-maturity. |
(i) | Reverse repurchase agreements have an open maturity date and can be closed by either party on demand. |
(j) | Swap was cleared through the CME Group Inc. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 43.
See accompanying notes to the financial statements. | 35 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary† | % of Total Net Assets | |||
Debt Obligations | 87.5 | % | ||
Short-Term Investments | 12.2 | |||
Forward Currency Contracts | 0.5 | |||
Futures Contracts | 0.1 | |||
Loan Participations | 0.1 | |||
Rights/Warrants | 0.0 | ^ | ||
Options Purchased | 0.0 | ^ | ||
Loan Assignments | 0.0 | ^ | ||
Written Options/Credit Linked Options | (0.0 | )^ | ||
Reverse Repurchase Agreements | (0.0 | )^ | ||
Swap Contracts | (0.3 | ) | ||
Other | (0.1 | ) | ||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary‡ | % of Investments | |||
United States | 31.1 | % | ||
Japan | 20.4 | |||
France | 6.6 | |||
Italy | 5.9 | |||
Other Emerging | 4.6 | ¥ | ||
New Zealand | 4.4 | |||
United Kingdom | 4.2 | |||
Germany | 4.2 | |||
Sweden | 3.9 | |||
Mexico | 3.6 | |||
Spain | 3.3 | |||
Euro Region | 2.1 | § | ||
Belgium | 1.9 | |||
Australia | 1.4 | |||
Netherlands | 1.4 | |||
Canada | 1.0 | |||
|
| |||
100.0 | % | |||
|
|
† | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. |
‡ | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table is normalized to 100%, therefore the absolute exposure presented for each country may not be representative of the true exposure of the Fund. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security. |
¥ | “Other Emerging” is associated with investments in GMO Emerging Country Debt Fund and is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
§ | “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country. |
^ | Rounds to 0.00%. |
36
GMO Global Bond Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Debt Obligations — 78.2% | ||||||||||
Belgium — 1.8% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 159,000 | Belgium Government Bond, Reg S, 4.25%, due 09/28/21 | 220,060 | |||||||
EUR | 85,000 | Belgium Government Bond, Reg S, 5.00%, due 03/28/35 | 168,053 | |||||||
|
| |||||||||
Total Belgium | 388,113 | |||||||||
|
| |||||||||
Canada — 5.3% | ||||||||||
Foreign Government Obligations | ||||||||||
CAD | 1,414,000 | Government of Canada, 1.50%, due 06/01/23 | 1,128,806 | |||||||
|
| |||||||||
France — 7.4% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 921,000 | France Government Bond OAT, Reg S, 3.25%, due 10/25/21 | 1,221,507 | |||||||
EUR | 171,000 | France Government Bond OAT, Reg S, 4.50%, due 04/25/41 | 345,208 | |||||||
|
| |||||||||
Total France | 1,566,715 | |||||||||
|
| |||||||||
Italy — 7.4% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 787,000 | Buoni Poliennali Del Tesoro, 3.75%, due 05/01/21 | 1,021,058 | |||||||
EUR | 268,000 | Buoni Poliennali Del Tesoro, Reg S, 4.00%, due 02/01/37 | 409,848 | |||||||
EUR | 128,000 | Buoni Poliennali Del Tesoro, 4.75%, due 05/01/17 | 147,510 | |||||||
|
| |||||||||
Total Italy | 1,578,416 | |||||||||
|
| |||||||||
Japan — 17.9% | ||||||||||
Foreign Government Obligations | ||||||||||
JPY | 185,750,000 | Japan Government Ten Year Bond, 1.30%, due 09/20/19 | 1,877,122 | |||||||
JPY | 43,300,000 | Japan Government Thirty Year Bond, 1.70%, due 12/20/43 | 558,144 | |||||||
JPY | 101,650,000 | Japan Government Thirty Year Bond, 2.40%, due 12/20/34 | 1,355,350 | |||||||
|
| |||||||||
Total Japan | 3,790,616 | |||||||||
|
| |||||||||
Netherlands — 1.3% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 16,000 | Netherlands Government Bond, Reg S, 4.00%, due 07/15/19 | 20,235 | |||||||
EUR | 146,000 | Netherlands Government Bond, 5.50%, due 01/15/28 | 264,076 | |||||||
|
| |||||||||
Total Netherlands | 284,311 | |||||||||
|
|
Par Value† / Shares | Description | Value ($) | ||||||||
Spain — 4.2% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 55,000 | Government of Spain, 2.10%, due 04/30/17 | 62,298 | |||||||
EUR | 140,000 | Government of Spain, Reg S, 4.20%, due 01/31/37 | 222,238 | |||||||
EUR | 427,000 | Government of Spain, Reg S, 5.50%, due 04/30/21 | 596,238 | |||||||
|
| |||||||||
Total Spain | 880,774 | |||||||||
|
| |||||||||
United Kingdom — 6.0% | ||||||||||
Foreign Government Obligations | ||||||||||
GBP | 73,000 | United Kingdom Gilt, Reg S, 1.25%, due 07/22/18 | 97,871 | |||||||
GBP | 305,000 | United Kingdom Gilt, Reg S, 1.75%, due 07/22/19 | 419,302 | |||||||
GBP | 378,000 | United Kingdom Gilt, Reg S, 3.50%, due 01/22/45 | 763,291 | |||||||
|
| |||||||||
Total United Kingdom | 1,280,464 | |||||||||
|
| |||||||||
United States — 26.9% | ||||||||||
U.S. Government | ||||||||||
6,098,000 | U.S. Treasury Principal Strip Bond, due 11/15/21 | 5,712,411 | ||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $15,334,922) | 16,610,626 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 16.4% | ||||||||||
United States | ||||||||||
Affiliated Issuers | ||||||||||
42,459 | GMO Debt Opportunities Fund, Class VI | 1,075,478 | ||||||||
35,403 | GMO Emerging Country Debt Fund, Class IV | 1,064,581 | ||||||||
53,998 | GMO U.S. Treasury Fund | 1,350,480 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $3,068,752) | 3,490,539 | |||||||||
|
|
See accompanying notes to the financial statements. | 37 |
GMO Global Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
OPTIONS PURCHASED — 0.1%
Principal Amount | Expiration Date | Description | Floating Rate Index | Pay/Receive Fixed Rate | Exercise Rate | Counterparty | Value ($) | |||||||||||||||||
Options on Interest Rate Swaps | ||||||||||||||||||||||||
EUR | 617,000 | 08/18/2017 | Put-OTC 30-Year Interest Rate Swap | 6 month EURIBOR | Pay | 2.05% | MSCI | 3,761 | ||||||||||||||||
EUR | 395,000 | 10/13/2016 | Put-OTC 30-Year Interest Rate Swap | 6 month EURIBOR | Pay | 1.90% | GS | 5 | ||||||||||||||||
EUR | 617,000 | 05/18/2017 | Put-OTC 30-Year Interest Rate Swap | 6 month EURIBOR | Pay | 2.05% | MSCI | 1,903 | ||||||||||||||||
EUR | 617,000 | 02/18/2017 | Put-OTC 30-Year Interest Rate Swap | 6 month EURIBOR | Pay | 2.05% | MSCI | 702 | ||||||||||||||||
EUR | 1,190,000 | 02/01/2017 | Put-OTC 30-Year Interest Rate Swap | 6 month EURIBOR | Pay | 2.03% | GS | 672 | ||||||||||||||||
|
| |||||||||||||||||||||||
TOTAL OPTIONS PURCHASED (COST $127,119) | 7,043 | |||||||||||||||||||||||
|
|
Shares / Par Value† | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 5.2% | ||||||||||
Money Market Funds — 0.5% | ||||||||||
105,202 | State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.20% (a) | 105,202 | ||||||||
|
| |||||||||
U.S. Government — 4.7% | ||||||||||
1,000,000 | U.S. Treasury Bill, 0.41%, due 01/26/17 (b) (c) | 998,330 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $1,103,632) | 1,103,532 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.9% (Cost $19,634,425) | 21,211,740 | |||||||||
Other Assets and Liabilities (net) — 0.1% | 31,286 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $21,243,026 | |||||||||
|
|
38 | See accompanying notes to the financial statements. |
GMO Global Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2016 (Unaudited)
A summary of outstanding financial instruments at August 31, 2016 is as follows:
Forward Currency Contracts
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
09/12/2016 | BCLY | AUD | 361,000 | USD | 272,650 | $ | 1,408 | |||||||||||||||
09/08/2016 | BCLY | CAD | 1,126,000 | USD | 879,857 | 21,200 | ||||||||||||||||
09/19/2016 | MSCI | CHF | 852,850 | USD | 889,520 | 21,550 | ||||||||||||||||
11/21/2016 | MSCI | DKK | 321,000 | USD | 49,016 | 734 | ||||||||||||||||
11/21/2016 | BOA | EUR | 685,729 | USD | 779,046 | 11,525 | ||||||||||||||||
11/21/2016 | GS | EUR | 429,000 | USD | 487,249 | 7,079 | ||||||||||||||||
11/07/2017 | GS | EUR | 917,000 | USD | 1,006,820 | (37,479 | ) | |||||||||||||||
11/21/2016 | BOA | GBP | 162,000 | USD | 213,136 | 49 | ||||||||||||||||
09/12/2016 | BOA | JPY | 41,475,380 | USD | 400,201 | (795 | ) | |||||||||||||||
09/12/2016 | MSCI | JPY | 120,175,474 | USD | 1,192,874 | 30,981 | ||||||||||||||||
09/19/2016 | MSCI | SEK | 611,000 | USD | 73,033 | 1,603 | ||||||||||||||||
09/12/2016 | BCLY | USD | 553,089 | AUD | 746,000 | 7,429 | ||||||||||||||||
09/12/2016 | BOA | USD | 2,258,529 | JPY | 239,885,127 | 60,754 | ||||||||||||||||
09/12/2016 | GS | USD | 153,441 | JPY | 15,378,000 | (4,762 | ) | |||||||||||||||
09/19/2016 | GS | USD | 356,081 | CHF | 342,000 | (8,017 | ) | |||||||||||||||
09/19/2016 | MSCI | USD | 142,820 | SEK | 1,210,000 | (1,362 | ) | |||||||||||||||
11/21/2016 | BOA | USD | 1,458,733 | EUR | 1,284,000 | (21,580 | ) | |||||||||||||||
11/21/2016 | BOA | USD | 503,031 | GBP | 382,248 | (240 | ) | |||||||||||||||
11/21/2016 | GS | USD | 363,655 | EUR | 320,000 | (5,486 | ) | |||||||||||||||
11/21/2016 | MSCI | USD | 157,458 | DKK | 1,032,000 | (2,235 | ) | |||||||||||||||
11/07/2017 | GS | USD | 1,012,093 | EUR | 917,000 | 32,206 | ||||||||||||||||
|
| |||||||||||||||||||||
$ | 114,562 | |||||||||||||||||||||
|
|
Futures Contracts
Number | Type | Expiration Date | Notional Amount | Net Unrealized Appreciation (Depreciation) | ||||||||
Buys | ||||||||||||
2 | Australian Government Bond 10 Yr. | September 2016 | $ | 207,268 | $ | 4,731 | ||||||
2 | Australian Government Bond 3 Yr. | September 2016 | 170,649 | 732 | ||||||||
5 | Euro Bund | September 2016 | 933,520 | 15,899 | ||||||||
1 | Euro BUXL Bond 30 Yr. | September 2016 | 215,260 | 12,849 | ||||||||
1 | Japanese Government Bond 10 Yr. (OSE) | September 2016 | 1,463,394 | (6,287 | ) | |||||||
2 | U.S. Long Bond (CBT) | December 2016 | 340,750 | (847 | ) |
Number | Type | Expiration Date | Notional Amount | Net Unrealized Appreciation (Depreciation) | ||||||||
13 | U.S. Treasury Note 2 Yr. (CBT) | December 2016 | $ | 2,838,063 | $ | (1,840 | ) | |||||
7 | U.S. Ultra Bond (CBT) | December 2016 | 1,312,281 | 809 | ||||||||
2 | UK Gilt Long Bond | December 2016 | 345,437 | 917 | ||||||||
|
|
|
| |||||||||
$ | 7,826,622 | $ | 26,963 | |||||||||
|
|
|
| |||||||||
Sales | ||||||||||||
6 | Canadian Government Bond 10 Yr. | December 2016 | $ | 671,511 | $ | (972 | ) | |||||
7 | Euro BOBL | September 2016 | 1,043,091 | (8,517 | ) | |||||||
4 | U.S. Treasury Note 10 Yr. (CBT) | December 2016 | 523,688 | 1,330 | ||||||||
11 | U.S. Treasury Note 5 Yr. (CBT) | December 2016 | 1,333,750 | 2,501 | ||||||||
|
|
|
| |||||||||
$ | 3,572,040 | $ | (5,658 | ) | ||||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
See accompanying notes to the financial statements. | 39 |
GMO Global Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2016 (Unaudited)
Swap Contracts
Interest Rate Swaps
Notional Amount | Expiration Date | Counterparty | Receive | Fixed Rate | Variable Rate | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
990,000 | EUR | 11/28/2016 | CSS (d) | Receive | 0.10% | 3 Month EURIBOR | $ | 1,053 | ||||||||||||
2,107,000 | EUR | 3/21/2018 | CSS (d) | Receive | (0.22)% | 3 Month EURIBOR | 4,353 | |||||||||||||
206,000 | USD | 12/16/2020 | CSS (d) | (Pay) | 1.92% | 3 Month USD LIBOR | (6,449 | ) | ||||||||||||
7,026,000 | SEK | 12/15/2021 | CSS (e) | Receive | 0.08% | 3 Month SEK STIBOR | 3,440 | |||||||||||||
3,793,000 | SEK | 12/15/2021 | CSS (e) | Receive | 0.12% | 3 Month SEK STIBOR | 2,747 | |||||||||||||
2,634,000 | MXN | 10/25/2024 | BCI (d) | Receive | 6.19% | TIIE | 1,750 | |||||||||||||
1,707,000 | MXN | 10/28/2024 | BCI (d) | Receive | 6.13% | TIIE | 759 | |||||||||||||
319,000 | EUR | 12/17/2025 | CSS (e) | (Pay) | 0.94% | 6 Month EURIBOR | (6,883 | ) | ||||||||||||
330,000 | USD | 12/17/2025 | CSS (d) | (Pay) | 2.43% | 3 Month USD LIBOR | (29,335 | ) | ||||||||||||
10,259,000 | MXN | 1/27/2026 | CSS (d) | Receive | 6.05% | TIIE | (1,954 | ) | ||||||||||||
960,000 | MXN | 6/19/2026 | CSS (d) | Receive | 6.11% | TIIE | (35 | ) | ||||||||||||
14,580,000 | JPY | 9/16/2026 | CSS (e) | (Pay) | (0.02)% | 6 Month JPY LIBOR | 1,522 | |||||||||||||
281,000 | NZD | 9/16/2026 | CSS (e) | Receive | 2.66% | 3 Month NZD Bank Bill Rate | 4,764 | |||||||||||||
409,000 | NZD | 9/16/2026 | CSS (e) | Receive | 2.73% | 3 Month NZD Bank Bill Rate | 8,789 | |||||||||||||
750,000 | USD | 9/16/2026 | CSS (e) | (Pay) | 1.68% | 3 Month USD LIBOR | 77 | |||||||||||||
730,000 | USD | 9/16/2026 | CSS (e) | (Pay) | 1.80% | 3 Month USD LIBOR | (3,848 | ) | ||||||||||||
465,000 | EUR | 12/18/2030 | CSS (e) | Receive | 1.61% | 6 Month EURIBOR | 10,357 | |||||||||||||
126,000 | USD | 12/19/2035 | CSS (d) | (Pay) | 2.72% | 3 Month USD LIBOR | (22,927 | ) | ||||||||||||
160,000 | EUR | 12/20/2045 | CSS (e) | Receive | 1.20% | 6 Month EURIBOR | 5,878 | |||||||||||||
245,800 | EUR | 12/20/2045 | CSS (e) | (Pay) | 1.29% | 6 Month EURIBOR | (12,471 | ) | ||||||||||||
131,000 | EUR | 12/20/2045 | CSS (e) | Receive | 1.11% | 6 Month EURIBOR | 3,153 | |||||||||||||
161,000 | EUR | 12/20/2045 | CSS (e) | Receive | 1.22% | 6 Month EURIBOR | 6,532 | |||||||||||||
425,000 | GBP | 12/20/2045 | CSS (e) | (Pay) | 1.21% | 6 Month GBP LIBOR | (22,806 | ) | ||||||||||||
62,000 | EUR | 11/22/2047 | CSS (e) | (Pay) | 0.97% | 6 Month EURIBOR | 76 | |||||||||||||
|
| |||||||||||||||||||
$ | (51,458 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Premiums to (Pay) Receive | $ | 815 | ||||||||||||||||||
|
|
# | Receive - Fund receives fixed rate and pays variable rate. (Pay) - Fund pays fixed rate and receives variable rate. |
As of August 31, 2016, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
(a) | The rate disclosed is the 7 day net yield as of August 31, 2016. |
(b) | The rate shown represents yield-to-maturity. |
(c) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
(d) | Swap was cleared through the CME Group Inc. |
(e) | Swap was cleared through the LCH.Clearnet Group Ltd. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 43.
40 | See accompanying notes to the financial statements. |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary | % of Total Net Assets | |||
Short-Term Investments | 100.0 | % | ||
Other | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
^ | Rounds to 0.0%. |
41
GMO U.S. Treasury Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Par Value† / Shares | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 100.0% | ||||||||||
U.S. Government — 100.0% | ||||||||||
14,000,000 | U.S. Treasury Bill, 0.23%, due 10/06/16 (a) | 13,996,822 | ||||||||
65,000,000 | U.S. Treasury Bill, 0.22%, due 10/20/16 (a) | 64,980,825 | ||||||||
80,000,000 | U.S. Treasury Bill, 0.36%, due 01/05/17 (a) | 79,901,360 | ||||||||
123,600,000 | U.S. Treasury Bill, 0.37%, due 01/19/17 (a) | 123,421,398 | ||||||||
53,500,000 | U.S. Treasury Bill, 0.46%, due 02/23/17 (a) | 53,381,016 | ||||||||
75,000,000 | U.S. Treasury Bill, 0.47%, due 03/30/17 (a) | 74,794,575 | ||||||||
25,000,000 | U.S. Treasury Bill, 0.45%, due 05/25/17 (a) | 24,918,825 | ||||||||
327,000,000 | U.S. Treasury Note, 0.88%, due 09/15/16 | 327,075,210 | ||||||||
165,000,000 | U.S. Treasury Note, 1.00%, due 09/30/16 | 165,095,205 | ||||||||
154,000,000 | U.S. Treasury Note, 3.00%, due 09/30/16 | 154,332,640 | ||||||||
175,000,000 | U.S. Treasury Note, 1.00%, due 10/31/16 | 175,205,100 | ||||||||
155,000,000 | U.S. Treasury Note, 3.13%, due 10/31/16 | 155,717,960 | ||||||||
45,000,000 | U.S. Treasury Note, 0.63%, due 11/15/16 | 45,027,000 | ||||||||
146,000,000 | U.S. Treasury Note, 4.63%, due 11/15/16 | 147,275,748 | ||||||||
167,000,000 | U.S. Treasury Note, 0.50%, due 11/30/16 | 167,069,639 | ||||||||
265,000,000 | U.S. Treasury Note, 0.88%, due 11/30/16 | 265,354,305 | ||||||||
220,000,000 | U.S. Treasury Note, 2.75%, due 11/30/16 | 221,306,800 | ||||||||
50,000,000 | U.S. Treasury Note, 0.63%, due 12/15/16 | 50,035,050 | ||||||||
15,000,000 | U.S. Treasury Note, 0.50%, due 01/31/17 | 15,004,935 | ||||||||
20,000,000 | U.S. Treasury Note, 0.88%, due 01/31/17 | 20,037,500 | ||||||||
60,000,000 | U.S. Treasury Note, 0.88%, due 02/28/17 | 60,106,260 | ||||||||
30,000,000 | U.S. Treasury Note, 0.75%, due 03/15/17 | 30,033,210 | ||||||||
25,000,000 | U.S. Treasury Note, 1.00%, due 03/31/17 | 25,062,500 | ||||||||
100,000,000 | U.S. Treasury Note, 0.50%, due 04/30/17 | 99,944,100 | ||||||||
60,000,000 | U.S. Treasury Note, 0.88%, due 04/30/17 | 60,123,060 | ||||||||
30,000,000 | U.S. Treasury Note, 0.88%, due 05/15/17 | 30,059,760 | ||||||||
76,000,000 | U.S. Treasury Note, 0.63%, due 05/31/17 | 76,000,000 | ||||||||
35,000,000 | U.S. Treasury Note, 0.75%, due 06/30/17 | 35,030,065 | ||||||||
30,000,000 | U.S. Treasury Note, 2.50%, due 06/30/17 | 30,459,390 | ||||||||
75,000,000 | U.S. Treasury Note, 0.50%, due 07/31/17 | 74,882,850 | ||||||||
95,000,000 | U.S. Treasury Note, 0.88%, due 08/15/17 | 95,167,010 | ||||||||
|
| |||||||||
Total U.S. Government | 2,960,800,118 | |||||||||
|
| |||||||||
Money Market Funds — 0.0% | ||||||||||
1,050,182 | State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.20% (b) | 1,050,182 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $2,961,648,918) | 2,961,850,300 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $2,961,648,918) | 2,961,850,300 | |||||||||
Other Assets and Liabilities (net) — (0.0%) | (759,225 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $2,961,091,075 | |||||||||
|
|
Notes to Schedule of Investments:
(a) | The rate shown represents yield-to-maturity. |
(b) | The rate disclosed is the 7 day net yield as of August 31, 2016. |
42 | See accompanying notes to the financial statements. |
GMO Trust Funds
Schedule of Investments — (Continued)
August 31, 2016 (Unaudited)
144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.
ABS - Asset-Backed Security
AMBAC - Insured as to the payment of principal and interest by AMBAC
Assurance Corporation.
BOBL - Bundesobligationen
CDO - Collateralized Debt Obligation
CJSC - Closed Joint-Stock Company
CP - Counterparty
DEM LIBOR - London Interbank Offered Rate denominated in Deutsche Marks.
ETF - Exchange-Traded Fund
EURIBOR - Euro Interbank Offered Rate
FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.
FSA - Insured as to the payment of principal and interest by Financial Security Assurance.
GBP LIBOR - London Interbank Offered Rate denominated in British Pounds.
GDP - Gross Domestic Product
JPY LIBOR - London Interbank Offered Rate denominated in Japanese Yen
LIBOR - London Interbank Offered Rate
MBIA - Insured as to the payment of principal and interest by MBIA Insurance Corp.
OTC - Over-the-Counter
Reg S - Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona
TBA - To Be Announced-Delayed Delivery Security
TIIE - Tasa de Interes Interbacaria de Equilibrio - 28 - Day Interbank Equilibrium
Interest Rate - Mexico
USBM - U.S. Treasury 3 Month Bill Money Market Yield.
USD LIBOR - London Interbank Offered Rate denominated in United States Dollars.
VRRB - Variable Rate Reduction Bond
XL - Insured as to the payment of principal and interest by XL Capital Assurance.
The rates shown on variable rate notes are the interest rates at August 31, 2016, which are subject to change based on the terms of the security.
Counterparty Abbreviations:
BCI - Barclays Capital Inc.
BCLY - Barclays Bank plc
BOA - Bank of America, N.A.
CITI - Citibank N.A.
CSI - Credit Suisse International
CSS - Credit Suisse Securities (USA) LLC
DB - Deutsche Bank AG
GS - Goldman Sachs International
JPMF - J.P. Morgan Securities LLC
JPM - JPMorgan Chase Bank, N.A.
MSCI - Morgan Stanley & Co. International PLC
MSCS - Morgan Stanley Capital Services LLC
Currency Abbreviations:
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
DEM - Deutsche Mark
DKK - Danish Krone
EUR - Euro
GBP - British Pound
JPY - Japanese Yen
MXN - Mexican Peso
NZD - New Zealand Dollar
PEN - Peruvian Sol
SEK - Swedish Krona
USD - United States Dollar
ZAR - South African Rand
See accompanying notes to the financial statements. | 43 |
Statements of Assets and Liabilities — August 31, 2016 (Unaudited)
Asset Allocation Bond Fund | Core Plus Bond Fund | Currency Hedged International Bond Fund | Debt Opportunities Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | 177,926,847 | $ | 33,938,495 | $ | 26,360,539 | $ | 57,867,964 | ||||||||
Investments in unaffiliated issuers, at value (Note 2)(b) | 1,841,027,170 | 44,084,388 | 37,048,001 | 1,486,193,146 | ||||||||||||
Cash | — | — | — | 62,778 | ||||||||||||
Receivable for investments sold | — | — | — | 401,606 | ||||||||||||
Dividends and interest receivable | 3,972,728 | 92,231 | 345,985 | 3,149,066 | ||||||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | 13,600,519 | 240,067 | 538,528 | 168,800 | ||||||||||||
Receivable for variation margin on open futures contracts (Note 4) | — | 3,859 | — | — | ||||||||||||
Receivable for variation margin on open cleared swap contracts (Note 4) | 908,734 | 13,105 | 11,801 | 53,732 | ||||||||||||
Due from broker (Note 2) | 13,174,483 | 426,260 | 294,803 | 5,306,129 | ||||||||||||
Receivable for open OTC swap contracts (Note 4) | 15,273,266 | — | — | 20,719,683 | ||||||||||||
Interest receivable for open OTC swap contracts | 1,967,254 | — | — | — | ||||||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 46,794 | 28,528 | 18,621 | 51,772 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 2,067,897,795 | 78,826,933 | 64,618,278 | 1,573,974,676 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Payable for investments purchased | 8,752,008 | 10,236,390 | 209,145 | 874,949 | ||||||||||||
Payable for Fund shares repurchased | 2,141,188 | — | — | — | ||||||||||||
Payable for closed swap contracts | — | — | — | 62,771 | ||||||||||||
Payable to affiliate for (Note 5): | ||||||||||||||||
Management fee | 461,486 | 15,392 | 14,471 | 355,282 | ||||||||||||
Shareholder service fee | 134,330 | 6,461 | 8,683 | 78,163 | ||||||||||||
Payable for variation margin on open futures contracts (Note 4) | — | — | 21,689 | — | ||||||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | 12,579,950 | 193,076 | 60,571 | 11,963 | ||||||||||||
Payable for open OTC swap contracts (Note 4) | 5,074,938 | — | — | 14,664,273 | ||||||||||||
Written options outstanding, at value (Note 4)(c) | — | — | — | 286,024 | ||||||||||||
Payable to agents unaffiliated with GMO | 330 | — | — | 231 | ||||||||||||
Payable to Trustees and related expenses | 1,818 | 252 | 37 | 1,037 | ||||||||||||
Accrued expenses | 419,727 | 179,776 | 153,376 | 265,122 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 29,565,775 | 10,631,347 | 467,972 | 16,599,815 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 2,038,332,020 | $ | 68,195,586 | $ | 64,150,306 | $ | 1,557,374,861 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments – affiliated issuers: | $ | 177,921,392 | $ | 33,423,771 | $ | 25,136,619 | $ | 57,871,961 | ||||||||
(b) Cost of investments – unaffiliated issuers: | $ | 1,816,161,124 | $ | 44,286,604 | $ | 36,265,242 | $ | 1,499,766,369 | ||||||||
(c) Premiums on options: | $ | — | $ | — | $ | — | $ | 688,799 |
44 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2016 (Unaudited) — (Continued)
Asset Allocation Bond Fund | Core Plus Bond Fund | Currency Hedged International Bond Fund | Debt Opportunities Fund | |||||||||||||
Net assets consist of: | ||||||||||||||||
Paid-in capital | $ | 2,148,352,181 | $ | 209,335,641 | $ | 73,159,609 | $ | 1,688,571,790 | ||||||||
Accumulated undistributed net investment income | — | — | 546,075 | 25,763,094 | ||||||||||||
Distributions in excess of net investment income | (35,701,059 | ) | (1,291,910 | ) | — | — | ||||||||||
Accumulated net realized gain (loss) | (98,721,387 | ) | (140,147,878 | ) | (12,105,424 | ) | (141,629,747 | ) | ||||||||
Net unrealized appreciation (depreciation) | 24,402,285 | 299,733 | 2,550,046 | (15,330,276 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 2,038,332,020 | $ | 68,195,586 | $ | 64,150,306 | $ | 1,557,374,861 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets attributable to: | ||||||||||||||||
Class III | $ | 381,987,534 | $ | 6,701,330 | $ | 64,150,306 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | — | $ | 61,494,256 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | 1,656,344,486 | $ | — | $ | — | $ | 1,557,374,861 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding: | ||||||||||||||||
Class III | 17,142,676 | 302,672 | 2,275,077 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | — | 2,771,025 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | 74,122,256 | — | — | 61,490,681 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share: | ||||||||||||||||
Class III | $ | 22.28 | $ | 22.14 | $ | 28.20 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | — | $ | 22.19 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | 22.35 | $ | — | $ | — | $ | 25.33 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 45 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2016 (Unaudited) — (Continued)
Emerging Country Debt Fund | Global Bond Fund | U.S. Treasury Fund | ||||||||||
Assets: |
| |||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | 125,701,783 | $ | 3,490,539 | $ | — | ||||||
Investments in unaffiliated issuers, at value (Note 2)(b) | 4,133,685,917 | 17,721,201 | 2,961,850,300 | |||||||||
Receivable for Fund shares sold | 10,000,000 | — | — | |||||||||
Dividends and interest receivable | 69,099,694 | 98,241 | 11,690,924 | |||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | 877,729 | 196,518 | — | |||||||||
Receivable for variation margin on open cleared swap contracts (Note 4) | 107,728 | 3,093 | — | |||||||||
Due from broker (Note 2) | 7,877,195 | 96,772 | — | |||||||||
Receivable for open OTC swap contracts (Note 4) | 34,107,092 | — | — | |||||||||
Interest receivable for open OTC swap contracts | 415,646 | — | — | |||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 3,953 | 15,959 | 287,662 | |||||||||
Receivable for options (Note 4)(c) | 417,636 | — | — | |||||||||
Miscellaneous receivable | 81,044 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total assets | 4,382,375,417 | 21,622,323 | 2,973,828,886 | |||||||||
|
|
|
|
|
| |||||||
Liabilities: | ||||||||||||
Payable for investments purchased | — | 135,308 | — | |||||||||
Payable for Fund shares repurchased | 20,844,766 | — | 11,915,778 | |||||||||
Payable to affiliate for (Note 5): | ||||||||||||
Management fee | 1,340,445 | 5,385 | 235,674 | |||||||||
Shareholder service fee | 422,984 | 4,251 | — | |||||||||
Payable for variation margin on open futures contracts (Note 4) | — | 1,419 | — | |||||||||
Dividend payable | — | — | 224,556 | |||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | — | 81,956 | — | |||||||||
Payable for open OTC swap contracts (Note 4) | 78,727,281 | — | — | |||||||||
Payable for reverse repurchase agreements (Note 2) | 20,422,108 | — | — | |||||||||
Payable for options (Note 4)(c) | 2,554,190 | — | — | |||||||||
Payable to agents unaffiliated with GMO | 627 | — | 563 | |||||||||
Payable to Trustees and related expenses | 1,887 | — | 3,421 | |||||||||
Accrued expenses | 897,556 | 150,978 | 357,819 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 125,211,844 | 379,297 | 12,737,811 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 4,257,163,573 | $ | 21,243,026 | $ | 2,961,091,075 | ||||||
|
|
|
|
|
| |||||||
(a) Cost of investments – affiliated issuers: | $ | 123,155,405 | $ | 3,068,752 | $ | — | ||||||
(b) Cost of investments – unaffiliated issuers: | $ | 3,897,577,972 | $ | 16,565,673 | $ | 2,961,648,918 | ||||||
(c) Premiums on options: | $ | 5,499,401 | $ | — | $ | — |
46 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2016 (Unaudited) — (Continued)
Emerging Country Debt Fund | Global Bond Fund | U.S. Treasury Fund | ||||||||||
Net assets consist of: | ||||||||||||
Paid-in capital | $ | 4,205,776,157 | $ | 35,615,811 | $ | 2,959,730,923 | ||||||
Accumulated undistributed net investment income | 101,337,474 | 220,476 | 9 | |||||||||
Accumulated net realized gain (loss) | (290,731,829 | ) | (16,248,748 | ) | 1,158,761 | |||||||
Net unrealized appreciation | 240,781,771 | 1,655,487 | 201,382 | |||||||||
|
|
|
|
|
| |||||||
$ | 4,257,163,573 | $ | 21,243,026 | $ | 2,961,091,075 | |||||||
|
|
|
|
|
| |||||||
Net assets attributable to: | ||||||||||||
Core Class | $ | — | $ | — | $ | 2,961,091,075 | ||||||
|
|
|
|
|
| |||||||
Class III | $ | 924,099,619 | $ | 21,243,026 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class IV | $ | 3,333,063,954 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
Shares outstanding: | ||||||||||||
Core Class | — | — | 118,398,065 | |||||||||
|
|
|
|
|
| |||||||
Class III | 30,692,453 | 778,089 | — | |||||||||
|
|
|
|
|
| |||||||
Class IV | 110,849,658 | — | — | |||||||||
|
|
|
|
|
| |||||||
Net asset value per share: | ||||||||||||
Core Class | $ | — | $ | — | $ | 25.01 | ||||||
|
|
|
|
|
| |||||||
Class III | $ | 30.11 | $ | 27.30 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class IV | $ | 30.07 | $ | — | $ | — | ||||||
|
|
|
|
|
|
See accompanying notes to the financial statements. | 47 |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2016 (Unaudited)
Asset Allocation Bond Fund | Core Plus Bond Fund | Currency Hedged International Bond Fund | Debt Opportunities Fund | |||||||||||||
Investment Income: |
| |||||||||||||||
Interest | $ | 14,540,065 | $ | 306,713 | $ | 290,294 | $ | 30,447,538 | ||||||||
Dividends from unaffiliated issuers | 1,637,776 | 28,381 | 591 | 1,270 | ||||||||||||
Dividends from affiliated issuers (Note 10) | 1,075,842 | 223,697 | 107,041 | 148,253 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 17,253,683 | 558,791 | 397,926 | 30,597,061 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: |
| |||||||||||||||
Management fee (Note 5) | 2,697,110 | 148,746 | 78,768 | 2,040,125 | ||||||||||||
Shareholder service fee – Class III (Note 5) | 280,014 | 6,722 | 47,261 | — | ||||||||||||
Shareholder service fee – Class IV (Note 5) | — | 55,017 | — | — | ||||||||||||
Shareholder service fee – Class VI (Note 5) | 490,692 | — | — | 448,828 | ||||||||||||
Audit and tax fees | 54,556 | 52,992 | 49,956 | 85,468 | ||||||||||||
Custodian, fund accounting agent and transfer agent fees | 178,480 | 68,172 | 40,112 | 131,284 | ||||||||||||
Legal fees | 45,632 | 12,788 | 11,592 | 38,640 | ||||||||||||
Registration fees | 2,576 | 2,944 | 2,024 | 460 | ||||||||||||
Trustees’ fees and related expenses (Note 5) | 16,468 | 1,104 | 489 | 12,638 | ||||||||||||
Interest expense (Note 2) | 58,268 | 2,478 | 1,790 | — | ||||||||||||
Miscellaneous | 8,648 | 2,856 | 2,580 | 13,832 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 3,832,444 | 353,819 | 234,572 | 2,771,275 | ||||||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (278,576 | ) | (129,076 | ) | (95,680 | ) | (256,344 | ) | ||||||||
Indirectly incurred fees waived or borne by GMO (Note 5) | — | (27,120 | ) | (9,851 | ) | — | ||||||||||
Shareholder service fee waived (Note 5) | — | (6,675 | ) | (2,583 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 3,553,868 | 190,948 | 126,458 | 2,514,931 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 13,699,815 | 367,843 | 271,468 | 28,082,130 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss): |
| |||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments in unaffiliated issuers | (146,458,654 | ) | 1,559,479 | (806,560 | ) | 6,669,105 | ||||||||||
Investments in affiliated issuers | 207,668 | 6,024,438 | 1,543,515 | 39,473 | ||||||||||||
Realized gain distributions from affiliated issuers (Note 10) | 13,727 | 1,558 | 570 | 1,083 | ||||||||||||
Futures contracts | 6,339,183 | 15,840 | 825,234 | — | ||||||||||||
Options | (31,823,476 | ) | (391,981 | ) | (120,552 | ) | 916,594 | |||||||||
Swap contracts | 114,976,075 | (3,077,123 | ) | 482,823 | (9,247,226 | ) | ||||||||||
Foreign currency, forward contracts and foreign currency related transactions | 19,176,283 | (572,072 | ) | (558,507 | ) | (62,560 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (37,569,194 | ) | 3,560,139 | 1,366,523 | (1,683,531 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in unaffiliated issuers | 138,412,734 | (2,064,941 | ) | 2,770,644 | 31,872,872 | |||||||||||
Investments in affiliated issuers | 68,878 | (4,356,378 | ) | (834,719 | ) | (13,134 | ) | |||||||||
Futures contracts | (12,973,233 | ) | (27,291 | ) | (160,164 | ) | — | |||||||||
Options | 39,392,236 | 748,804 | 222,199 | 80,943 | ||||||||||||
Swap contracts | (116,197,468 | ) | 6,637,300 | (643,798 | ) | (1,624,117 | ) | |||||||||
Foreign currency, forward contracts and foreign currency related transactions | (11,923,241 | ) | (56,282 | ) | 498,634 | 123,959 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) | 36,779,906 | 881,212 | 1,852,796 | 30,440,523 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | (789,288 | ) | 4,441,351 | 3,219,319 | 28,756,992 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | 12,910,527 | $ | 4,809,194 | $ | 3,490,787 | $ | 56,839,122 | ||||||||
|
|
|
|
|
|
|
|
48 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2016 (Unaudited) — (Continued)
Emerging Country Debt Fund | Global Bond Fund | U.S. Treasury Fund | ||||||||||
Investment Income: |
| |||||||||||
Interest | $ | 163,024,406 | $ | 236,919 | $ | 7,744,877 | ||||||
Dividends from unaffiliated issuers | 856,850 | 417 | — | |||||||||
Dividends from affiliated issuers (Note 10) | 285,757 | 50,143 | — | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 164,167,013 | 287,479 | 7,744,877 | |||||||||
|
|
|
|
|
| |||||||
Expenses: |
| |||||||||||
Management fee (Note 5) | 7,296,582 | 34,182 | 1,446,687 | |||||||||
Shareholder service fee – Class III (Note 5) | 667,189 | 26,986 | — | |||||||||
Shareholder service fee – Class IV (Note 5) | 1,639,945 | — | — | |||||||||
Audit and tax fees | 85,100 | 51,888 | 24,104 | |||||||||
Custodian, fund accounting agent and transfer agent fees | 577,944 | 37,536 | 220,156 | |||||||||
Legal fees | 98,164 | 11,132 | 72,588 | |||||||||
Registration fees | 25,668 | 2,208 | 368 | |||||||||
Trustees’ fees and related expenses (Note 5) | 31,741 | 267 | 30,213 | |||||||||
Interest expense (Note 2) | — | 1,097 | — | |||||||||
Miscellaneous | 15,916 | 2,579 | 10,304 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 10,438,249 | 167,875 | 1,804,420 | |||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | — | (83,966 | ) | (1,762,339 | ) | |||||||
Indirectly incurred fees waived or borne by GMO (Note 5) | (17,856 | ) | (5,594 | ) | — | |||||||
Shareholder service fee waived (Note 5) | (3,928 | ) | (1,461 | ) | — | |||||||
|
|
|
|
|
| |||||||
Net expenses | 10,416,465 | 76,854 | 42,081 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 153,750,548 | 210,625 | 7,702,796 | |||||||||
|
|
|
|
|
| |||||||
Realized and unrealized gain (loss): |
| |||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments in unaffiliated issuers | 62,257,626 | 563,853 | 1,170,939 | |||||||||
Investments in affiliated issuers | 31,186 | 403,672 | — | |||||||||
Realized gain distributions from affiliated issuers (Note 10) | 2,009 | 128 | — | |||||||||
Futures contracts | — | 393,218 | — | |||||||||
Options | — | (78,123 | ) | — | ||||||||
Swap contracts | (20,310,748 | ) | 275,289 | — | ||||||||
Foreign currency, forward contracts and foreign currency related transactions | (396,298 | ) | 58,287 | — | ||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 41,583,775 | 1,616,324 | 1,170,939 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||
Investments in unaffiliated issuers | 443,571,731 | 717,214 | 431,525 | |||||||||
Investments in affiliated issuers | 439,612 | (18,629 | ) | — | ||||||||
Futures contracts | — | (150,342 | ) | — | ||||||||
Options | 4,235,787 | 144,484 | — | |||||||||
Swap contracts | 22,209,542 | (387,216 | ) | — | ||||||||
Foreign currency, forward contracts and foreign currency related transactions | (1,156,388 | ) | 94,009 | — | ||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) | 469,300,284 | 399,520 | 431,525 | |||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) | 510,884,059 | 2,015,844 | 1,602,464 | |||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | 664,634,607 | $ | 2,226,469 | $ | 9,305,260 | ||||||
|
|
|
|
|
|
See accompanying notes to the financial statements. | 49 |
GMO Trust Funds
Statements of Changes in Net Assets
Asset Allocation Bond Fund | Core Plus Bond Fund | |||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 13,699,815 | $ | 8,396,115 | $ | 367,843 | $ | 2,984,582 | ||||||||
Net realized gain (loss) | (37,569,194 | ) | (421,725,486 | ) | 3,560,139 | (5,184,506 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 36,779,906 | (58,678,738 | ) | 881,212 | (7,494,375 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 12,910,527 | (472,008,109 | ) | 4,809,194 | (9,694,299 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class III | — | (26,485,630 | ) | (51,390 | ) | (2,771,556 | ) | |||||||||
Class IV | — | — | (1,949,546 | ) | (9,179,274 | ) | ||||||||||
Class VI | — | (286,205,734 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | — | (312,691,364 | ) | (2,000,936 | ) | (11,950,830 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | 27,117,344 | (1,399,770 | ) | (45,756,758 | ) | 5,926,234 | ||||||||||
Class IV | — | — | (156,103,756 | ) | 40,867,382 | |||||||||||
Class VI | (243,029,581 | ) | (2,046,673,477 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (215,912,237 | ) | (2,048,073,247 | ) | (201,860,514 | ) | 46,793,616 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (203,001,710 | ) | (2,832,772,720 | ) | (199,052,256 | ) | 25,148,487 | |||||||||
Net assets: | ||||||||||||||||
Beginning of period | 2,241,333,730 | 5,074,106,450 | 267,247,842 | 242,099,355 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 2,038,332,020 | $ | 2,241,333,730 | $ | 68,195,586 | $ | 267,247,842 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income | $ | — | $ | — | $ | — | $ | 341,183 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions in excess of net investment income | $ | (35,701,059 | ) | $ | (49,400,874 | ) | $ | (1,291,910 | ) | $ | — | |||||
|
|
|
|
|
|
|
|
50 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Currency Hedged International Bond Fund | Debt Opportunities Fund | |||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 271,468 | $ | 683,786 | $ | 28,082,130 | $ | 36,619,443 | ||||||||
Net realized gain (loss) | 1,366,523 | 368,668 | (1,683,531 | ) | (23,713,454 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 1,852,796 | (2,133,644 | ) | 30,440,523 | (1,468,755 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 3,490,787 | (1,081,190 | ) | 56,839,122 | 11,437,234 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class III | — | (6,260,770 | ) | — | — | |||||||||||
Class VI | — | — | (8,546,271 | ) | (28,535,302 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | — | (6,260,770 | ) | (8,546,271 | ) | (28,535,302 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | (859,230 | ) | (3,029,814 | ) | — | — | ||||||||||
Class VI | — | — | (139,861,473 | ) | (128,174,824 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (859,230 | ) | (3,029,814 | ) | (139,861,473 | ) | (128,174,824 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class VI | — | — | 924,276 | 2,486,765 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | — | — | 924,276 | 2,486,765 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (859,230 | ) | (3,029,814 | ) | (138,937,197 | ) | (125,688,059 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 2,631,557 | (10,371,774 | ) | (90,644,346 | ) | (142,786,127 | ) | |||||||||
Net assets: | ||||||||||||||||
Beginning of period | 61,518,749 | 71,890,523 | 1,648,019,207 | 1,790,805,334 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 64,150,306 | $ | 61,518,749 | $ | 1,557,374,861 | $ | 1,648,019,207 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income | $ | 546,075 | $ | 274,607 | $ | 25,763,094 | $ | 6,227,235 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 51 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Emerging Country Debt Fund | Global Bond Fund | |||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 153,750,548 | $ | 222,709,081 | $ | 210,625 | $ | 482,386 | ||||||||
Net realized gain (loss) | 41,583,775 | (15,576,974 | ) | 1,616,324 | (587,911 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 469,300,284 | (288,895,476 | ) | 399,520 | (526,840 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 664,634,607 | (81,763,369 | ) | 2,226,469 | (632,365 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class III | (14,189,680 | ) | (60,444,445 | ) | — | — | ||||||||||
Class IV | (53,246,650 | ) | (216,009,314 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (67,436,330 | ) | (276,453,759 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | (31,119,806 | ) | 158,036,105 | (18,224,403 | ) | (8,846,811 | ) | |||||||||
Class IV | (240,005,321 | ) | 113,254,771 | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (271,125,127 | ) | 271,290,876 | (18,224,403 | ) | (8,846,811 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class III | 770,224 | 1,308,961 | — | — | ||||||||||||
Class IV | 2,843,910 | 4,807,531 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | 3,614,134 | 6,116,492 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (267,510,993 | ) | 277,407,368 | (18,224,403 | ) | (8,846,811 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 329,687,284 | (80,809,760 | ) | (15,997,934 | ) | (9,479,176 | ) | |||||||||
Net assets: | ||||||||||||||||
Beginning of period | 3,927,476,289 | 4,008,286,049 | 37,240,960 | 46,720,136 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 4,257,163,573 | $ | 3,927,476,289 | $ | 21,243,026 | $ | 37,240,960 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income | $ | 101,337,474 | $ | — | $ | 220,476 | $ | 9,851 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions in excess of net investment income | $ | — | $ | (11,084,718 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
|
52 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
U.S. Treasury Fund | ||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||
Increase (decrease) in net assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 7,702,796 | $ | 5,710,896 | ||||
Net realized gain (loss) | 1,170,939 | 1,739,205 | ||||||
Change in net unrealized appreciation (depreciation) | 431,525 | (316,810 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | 9,305,260 | 7,133,291 | ||||||
|
|
|
| |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Core Class | (7,702,787 | ) | (5,710,896 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (7,702,787 | ) | (5,710,896 | ) | ||||
|
|
|
| |||||
Net realized gains | ||||||||
Core Class | (103,972 | ) | (1,739,695 | ) | ||||
|
|
|
| |||||
Total distributions from net realized gains | �� | (103,972 | ) | (1,739,695 | ) | |||
|
|
|
| |||||
Net share transactions (Note 9): | ||||||||
Core Class | (1,073,911,401 | ) | 1,789,890,628 | |||||
|
|
|
| |||||
Increase (decrease) in net assets resulting from net share transactions | (1,073,911,401 | ) | 1,789,890,628 | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | (1,072,412,900 | ) | 1,789,573,328 | |||||
Net assets: | ||||||||
Beginning of period | 4,033,503,975 | 2,243,930,647 | ||||||
|
|
|
| |||||
End of period | $ | 2,961,091,075 | $ | 4,033,503,975 | ||||
|
|
|
| |||||
Accumulated undistributed net investment income | $ | 9 | $ | — | ||||
|
|
|
|
See accompanying notes to the financial statements. | 53 |
GMO Trust Funds
(For a share outstanding throughout the period)
ASSET ALLOCATION BOND FUND
Class III Shares | Class VI Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.16 | $ | 26.36 | $ | 24.57 | $ | 24.43 | $ | 24.60 | $ | 25.01 | $ | 22.21 | $ | 26.40 | $ | 24.60 | $ | 24.46 | $ | 24.61 | $ | 25.01 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)†(a) | 0.13 | 0.01 | 0.38 | 0.00 | (b) | (0.02 | ) | 0.32 | 0.14 | 0.06 | 0.22 | 0.03 | 0.01 | 0.56 | ||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.01 | ) | (2.58 | ) | 2.48 | 0.17 | 0.12 | 0.78 | — | (2.61 | ) | 2.68 | 0.16 | 0.11 | 0.57 | |||||||||||||||||||||||||||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total from investment operations | 0.12 | (2.57 | ) | 2.86 | 0.17 | 0.10 | 1.10 | 0.14 | (2.55 | ) | 2.90 | 0.19 | 0.12 | 1.13 | ||||||||||||||||||||||||||||||||||||||||||||||
|
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|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | — | (1.63 | ) | (0.67 | ) | (0.03 | ) | (0.01 | ) | (0.51 | ) | — | (1.64 | ) | (0.70 | ) | (0.05 | ) | (0.01 | ) | (0.53 | ) | ||||||||||||||||||||||||||||||||||||||
From net realized gains | — | — | (0.40 | ) | — | (0.26 | ) | (1.00 | ) | — | — | (0.40 | ) | — | (0.26 | ) | (1.00 | ) | ||||||||||||||||||||||||||||||||||||||||||
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Total distributions | — | (1.63 | ) | (1.07 | ) | (0.03 | ) | (0.27 | ) | (1.51 | ) | — | (1.64 | ) | (1.10 | ) | (0.05 | ) | (0.27 | ) | (1.53 | ) | ||||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 22.28 | $ | 22.16 | $ | 26.36 | $ | 24.57 | $ | 24.43 | $ | 24.60 | $ | 22.35 | $ | 22.21 | $ | 26.40 | $ | 24.60 | $ | 24.46 | $ | 24.61 | ||||||||||||||||||||||||||||||||||||
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Total Return(c) | 0.54 | %** | (9.88 | )% | 11.92 | % | 0.72 | % | 0.42 | % | 4.49 | % | 0.63 | %** | (9.79 | )% | 12.05 | % | 0.79 | % | 0.52 | % | 4.61 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 381,988 | $ | 352,828 | $ | 421,910 | $ | 260,775 | $ | 91,186 | $ | 56,692 | $ | 1,656,344 | ** | $ | 1,888,505 | $ | 4,652,197 | $ | 2,849,433 | $ | 88,029 | $ | 116,591 | |||||||||||||||||||||||||||||||||||
Net operating expenses to average daily net assets(e) | 0.40 | %* | 0.40 | % | 0.40 | % | 0.40 | %(d) | 0.40 | % | 0.40 | %(d) | 0.30 | %* | 0.31 | % | 0.31 | % | 0.31 | %(d) | 0.31 | % | 0.31 | %(d) | ||||||||||||||||||||||||||||||||||||
Interest and/or dividend expenses to average daily net assets(f) | 0.01 | %* | 0.02 | % | 0.01 | % | 0.00 | %(g) | — | 0.01 | % | 0.01 | %* | 0.02 | % | 0.01 | % | 0.00 | %(g) | — | 0.01 | % | ||||||||||||||||||||||||||||||||||||||
Total net expenses to average daily net assets(e) | 0.41 | %* | 0.42 | % | 0.41 | % | 0.40 | % | 0.40 | % | 0.41 | % | 0.31 | %* | 0.33 | % | 0.32 | % | 0.31 | % | 0.31 | % | 0.32 | % | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.20 | %* | 0.03 | % | 1.49 | % | 0.01 | % | (0.08 | )% | 1.31 | % | 1.28 | %* | 0.27 | % | 0.84 | % | 0.13 | % | 0.02 | % | 2.25 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 72 | %(h)** | 177 | %(i) | 177 | % | 32 | % | 233 | % | 319 | % | 72 | %(h)** | 177 | %(i) | 177 | % | 32 | % | 233 | % | 319 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.03 | %* | 0.03 | % | 0.02 | % | 0.02 | % | 0.08 | % | 0.06 | % | 0.03 | %* | 0.03 | % | 0.02 | % | 0.02 | % | 0.07 | % | 0.04 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | Net investment income (loss) was less than $0.01 per share. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(e) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(f) | Interest expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(g) | Ratio is less than 0.01%. |
(h) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 72% of the average value of its portfolio. |
(i) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 123% of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
54 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
CORE PLUS BOND FUND
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited)(a) | Year Ended February 28/29, | Six Months Ended August 31, 2016 (Unaudited)(a) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2013(a) | 2012(a) | 2016(a) | 2015(a) | 2014(a) | 2013(a) | 2012(a) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 21.39 | $ | 23.43 | $ | 22.35 | $ | 22.23 | $ | 21.39 | $ | 21.78 | $ | 21.45 | $ | 23.49 | $ | 22.41 | $ | 22.29 | $ | 21.42 | $ | 21.81 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.06 | 0.24 | 0.21 | 0.21 | 0.21 | 0.39 | 0.07 | 0.27 | 0.21 | 0.21 | 0.24 | 0.39 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.86 | (1.14 | ) | 1.83 | 0.24 | 1.62 | 1.68 | 0.86 | (1.17 | ) | 1.83 | 0.27 | 1.62 | 1.68 | ||||||||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 0.92 | (0.90 | ) | 2.04 | 0.45 | 1.83 | 2.07 | 0.93 | (0.90 | ) | 2.04 | 0.48 | 1.86 | 2.07 | ||||||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.17 | ) | (1.14 | ) | (0.96 | ) | (0.33 | ) | (0.99 | ) | (2.46 | ) | (0.19 | ) | (1.14 | ) | (0.96 | ) | (0.36 | ) | (0.99 | ) | (2.46 | ) | ||||||||||||||||||||||||||||||||||||
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Total distributions | (0.17 | ) | (1.14 | ) | (0.96 | ) | (0.33 | ) | (0.99 | ) | (2.46 | ) | (0.19 | ) | (1.14 | ) | (0.96 | ) | (0.36 | ) | (0.99 | ) | (2.46 | ) | ||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 22.14 | $ | 21.39 | $ | 23.43 | $ | 22.35 | $ | 22.23 | $ | 21.39 | $ | 22.19 | $ | 21.45 | $ | 23.49 | $ | 22.41 | $ | 22.29 | $ | 21.42 | ||||||||||||||||||||||||||||||||||||
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Total Return(c) | 4.31 | %** | (3.93 | )% | 9.25 | % | 2.15 | % | 8.67 | % | 9.88 | % | 4.38 | %** | (3.91 | )% | 9.32 | % | 2.15 | % | 8.85 | % | 9.90 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 6,701 | $ | 52,187 | $ | 51,045 | $ | 48,632 | $ | 48,831 | $ | 46,924 | $ | 61,494 | $ | 215,060 | $ | 191,054 | $ | 191,571 | $ | 190,527 | $ | 188,675 | ||||||||||||||||||||||||||||||||||||
Net operating expenses to average daily net assets(d) | 0.37 | %* | 0.35 | % | 0.37 | % | 0.38 | % | 0.38 | %(e) | 0.39 | %(e) | 0.31 | %* | 0.30 | % | 0.32 | % | 0.33 | % | 0.33 | %(e) | 0.34 | %(e) | ||||||||||||||||||||||||||||||||||||
Interest and/or dividend expenses to average daily net assets(g) | 0.00 | (f)* | 0.01 | % | 0.00 | (f) | 0.00 | %(f) | — | — | 0.00 | %(f)* | 0.01 | % | 0.00 | %(f) | 0.00 | %(f) | — | — | ||||||||||||||||||||||||||||||||||||||||
Total net expenses to average daily net assets(d) | 0.37 | %* | 0.36 | % | 0.37 | % | 0.38 | % | 0.38 | %(e) | 0.39 | %(e) | 0.32 | %* | 0.31 | % | 0.32 | % | 0.33 | % | 0.33 | %(e) | 0.34 | %(e) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 0.60 | %* | 1.14 | % | 0.89 | % | 0.95 | % | 1.02 | % | 1.74 | % | 0.62 | %* | 1.17 | % | 0.94 | % | 0.99 | % | 1.07 | % | 1.75 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 85 | %**(h) | 21 | %(i) | 128 | % | 87 | % | 135 | % | 72 | % | 85 | %**(h) | 21 | %(i) | 128 | % | 87 | % | 135 | % | 72 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(j) | 0.30 | %* | 0.21 | % | 0.15 | % | 0.12 | % | 0.13 | % | 0.12 | % | 0.27 | %* | 0.21 | % | 0.15 | % | 0.12 | % | 0.13 | % | 0.12 | % |
(a) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | Ratio is less than 0.01%. |
(g) | Interest expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(h) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 102% of the average value of its portfolio. |
(i) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 15% of the average value of its portfolio. |
(j) | Ratios include indirect fees waived or borne by GMO. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 55 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
CURRENCY HEDGED INTERNATIONAL BOND FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited)(a) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2013(a) | 2012(a) | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 26.67 | $ | 29.70 | $ | 26.70 | $ | 26.28 | $ | 25.05 | $ | 24.54 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)†(b) | 0.12 | 0.27 | 0.33 | 0.36 | 0.42 | 0.39 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.41 | (0.72 | ) | 4.14 | 0.42 | 1.92 | 2.13 | |||||||||||||||||||||||
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Total from investment operations | 1.53 | (0.45 | ) | 4.47 | 0.78 | 2.34 | 2.52 | |||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | — | (2.58 | ) | (1.47 | ) | (0.33 | ) | (1.11 | ) | (1.23 | ) | |||||||||||||||||||
Return of capital | — | — | — | (0.03 | ) | — | (0.78 | ) | ||||||||||||||||||||||
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Total distributions | — | (2.58 | ) | (1.47 | ) | (0.36 | ) | (1.11 | ) | (2.01 | ) | |||||||||||||||||||
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Net asset value, end of period | $ | 28.20 | $ | 26.67 | $ | 29.70 | $ | 26.70 | $ | 26.28 | $ | 25.05 | ||||||||||||||||||
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Total Return(c) | 5.74 | %** | (1.17 | )% | 17.02 | % | 3.04 | % | 9.43 | % | 10.48 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 64,150 | $ | 61,519 | $ | 71,891 | $ | 71,837 | $ | 69,527 | $ | 72,021 | ||||||||||||||||||
Net operating expenses to average daily net assets(d) | 0.39 | %* | 0.38 | % | 0.36 | % | 0.39 | % | 0.40 | % | 0.39 | %(e) | ||||||||||||||||||
Interest and/or dividend expenses to average daily net assets(f) | 0.01 | %* | 0.01 | % | 0.00 | %(g) | 0.00 | %(g) | — | — | ||||||||||||||||||||
Total net expenses to average daily net assets(d) | 0.40 | %* | 0.39 | % | 0.36 | % | 0.39 | % | 0.40 | % | 0.39 | %(e) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 0.86 | %* | 1.03 | % | 1.19 | % | 1.41 | % | 1.61 | % | 1.58 | % | ||||||||||||||||||
Portfolio turnover rate | 0 | %(h)** | 69 | %(i) | 117 | % | 13 | % | 34 | % | 52 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(j) | 0.34 | %* | 0.58 | % | 0.27 | % | 0.24 | % | 0.27 | % | 0.25 | % |
(a) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | Interest expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(g) | Ratio is less than 0.01%. |
(h) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 17% of the average value of its portfolio. |
(i) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 24% of the average value of its portfolio. |
(j) | Ratios include indirect fees waived or borne by GMO. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
56 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
DEBT OPPORTUNITIES FUND
Class VI Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | Period from October 3, 2011 (commencement of operations) through February 29, 2012(a) | ||||||||||||||||||||||||||||
2016 | 2015(a) | 2014(a)(b) | 2013(a) | |||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 24.57 | $ | 24.80 | $ | 24.22 | $ | 24.22 | $ | 22.54 | $ | 22.33 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(c)† | 0.43 | 0.53 | 0.54 | 0.84 | 1.05 | 0.42 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.47 | (0.34 | ) | 0.42 | 0.14 | 1.54 | 0.14 | |||||||||||||||||||||||
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Total from investment operations | 0.90 | 0.19 | 0.96 | 0.98 | 2.59 | 0.56 | ||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.14 | ) | (0.42 | ) | (0.38 | ) | (0.56 | ) | (0.35 | ) | (0.21 | ) | ||||||||||||||||||
From net realized gains | — | — | — | (0.42 | ) | (0.56 | ) | (0.14 | ) | |||||||||||||||||||||
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Total distributions | (0.14 | ) | (0.42 | ) | (0.38 | ) | (0.98 | ) | (0.91 | ) | (0.35 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 25.33 | $ | 24.57 | (d) | $ | 24.80 | $ | 24.22 | $ | 24.22 | $ | 22.54 | |||||||||||||||||
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Total Return(e) | 3.66 | %** | 0.77 | % | 3.98 | % | 4.27 | % | 11.62 | % | 2.43 | %** | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 1,557,375 | $ | 1,648,019 | $ | 1,790,805 | $ | 2,111,080 | $ | 812,020 | $ | 204,043 | ||||||||||||||||||
Net expenses to average daily net assets(f) | 0.31 | %* | 0.31 | % | 0.31 | % | 0.31 | %(g) | 0.31 | %(g) | 0.31 | %* | ||||||||||||||||||
Interest and/or dividend expenses to average daily net assets(i) | — | 0.00 | %(h) | 0.00 | %(h) | — | — | — | ||||||||||||||||||||||
Total net expenses to average daily net assets(f) | 0.31 | %* | 0.31 | % | 0.31 | % | 0.31 | %(g) | 0.31 | %(g) | 0.31 | %* | ||||||||||||||||||
Net investment income (loss) to average daily net assets(c) | 3.44 | %* | 2.13 | % | 2.18 | % | 3.51 | % | 4.36 | % | 4.59 | %* | ||||||||||||||||||
Portfolio turnover rate | 31 | %**(k) | 66 | %(l) | 37 | % | 30 | % | 39 | % | 23 | %(j)** | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.03 | %* | 0.03 | % | 0.03 | % | 0.02 | % | 0.04 | % | 0.17 | %* | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.01 | $ | 0.04 | $ | 0.03 | (a) | $ | 0.05 | (a) | $ | 0.11 | (a) | $ | 0.03 | (a) |
(a) | Per share amounts were adjusted to reflect a 1:7 reverse stock split effective May 15, 2014. |
(b) | Effective February 12, 2014, GMO Debt Opportunities Fund (the “Acquired Fund”) merged into GMO Short-Duration Collateral Fund (the “Acquiring Fund”) and the surviving entity was renamed GMO Debt Opportunities Fund. For accounting and financial reporting purposes, the Acquired Fund isthe surviving entity, meaning the combined entity adopted the historicalfinancial reporting history of the Acquired Fund. Share and per share information have been adjusted to reflect the effects of the merger. |
(c) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(d) | Beginning December 21, 2015 the pricing source for certain fixed income assets of the Fund changed, which resulted in an increase in the December 21, 2015 net asset value of the Fund by $0.04 per share. |
(e) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(f) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(g) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(h) | Ratio is less than 0.01%. |
(i) | Interest expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(j) | Calculation represents portfolio turnover for the Fund for the period from October 3, 2011 through February 29, 2012. |
(k) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 38% of the average value of its portfolio. |
(l) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 51% of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 57 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
EMERGING COUNTRY DEBT FUND
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited)(a) | Year Ended February 28/29, | Six Months Ended August 31, 2016 (Unaudited)(a) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2013(a) | 2012(a) | 2016(a) | 2015(a) | 2014(a) | 2013(a) | 2012(a) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 26.01 | $ | 28.47 | $ | 29.31 | $ | 31.02 | $ | 28.77 | $ | 27.30 | $ | 25.98 | $ | 28.44 | $ | 29.28 | $ | 30.99 | $ | 28.74 | $ | 27.27 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 1.05 | 1.53 | 1.77 | (c) | 1.80 | 2.31 | 2.52 | 1.05 | 1.53 | 1.80 | (c) | 1.80 | 2.37 | 2.52 | ||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 3.52 | (d) | (2.04 | ) | (0.03 | ) | (1.77 | ) | 2.46 | 1.74 | 3.52 | (d) | (2.01 | ) | (0.06 | ) | (1.74 | ) | 2.43 | 1.77 | ||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 4.57 | (0.51 | ) | 1.74 | 0.03 | 4.77 | 4.26 | 4.57 | (0.48 | ) | 1.74 | 0.06 | 4.80 | 4.29 | ||||||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.47 | ) | (1.95 | ) | (2.58 | ) | (1.74 | ) | (2.52 | ) | (2.79 | ) | (0.48 | ) | (1.98 | ) | (2.58 | ) | (1.77 | ) | (2.55 | ) | (2.82 | ) | ||||||||||||||||||||||||||||||||||||
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Total distributions | (0.47 | ) | (1.95 | ) | (2.58 | ) | (1.74 | ) | (2.52 | ) | (2.79 | ) | (0.48 | ) | (1.98 | ) | (2.58 | ) | (1.77 | ) | (2.55 | ) | (2.82 | ) | ||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 30.11 | $ | 26.01 | $ | 28.47 | $ | 29.31 | $ | 31.02 | $ | 28.77 | $ | 30.07 | $ | 25.98 | $ | 28.44 | $ | 29.28 | $ | 30.99 | $ | 28.74 | ||||||||||||||||||||||||||||||||||||
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Total Return(e) | 17.64 | %** | (1.77 | )% | 6.03 | % | 0.27 | % | 17.04 | % | 16.62 | % | 17.65 | %** | (1.73 | )% | 6.07 | % | 0.33 | % | 17.14 | % | 16.69 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 924,100 | $ | 827,667 | $ | 746,182 | $ | 582,639 | $ | 427,339 | $ | 679,533 | $ | 3,333,064 | $ | 3,099,809 | $ | 3,262,104 | $ | 2,465,331 | $ | 1,908,041 | $ | 1,117,850 | ||||||||||||||||||||||||||||||||||||
Net operating expenses to average daily net assets(f) | 0.54 | %* | 0.54 | % | 0.56 | % | 0.56 | %(g) | 0.60 | %(g) | 0.64 | %(g) | 0.49 | %* | 0.49 | % | 0.51 | % | 0.51 | %(g) | 0.55 | %(g) | 0.59 | %(g) | ||||||||||||||||||||||||||||||||||||
Interest and/or dividend expenses to average daily net assets(h) | — | 0.00 | %(i) | — | — | 0.02 | % | 0.08 | % | — | 0.00 | %(i) | — | — | 0.02 | % | 0.08 | % | ||||||||||||||||||||||||||||||||||||||||||
Total net expenses to average daily net assets(f) | 0.54 | %* | 0.54 | % | 0.56 | % | 0.56 | %(g) | 0.62 | %(g) | 0.72 | %(g) | 0.49 | %* | 0.49 | % | 0.51 | % | 0.51 | %(g) | 0.57 | %(g) | 0.67 | %(g) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 7.34 | %* | 5.58 | % | 5.86 | %(j) | 5.99 | % | 7.75 | % | 8.90 | % | 7.39 | %* | 5.60 | % | 5.93 | %(j) | 6.02 | % | 7.84 | % | 8.95 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 12 | %(k)** | 20 | %(l) | 18 | % | 27 | % | 36 | % | 29 | % | 12 | %(k)** | 20 | %(l) | 18 | % | 27 | % | 36 | % | 29 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(m) | 0.00 | %(i)* | 0.00 | %(i) | 0.00 | %(i) | — | 0.00 | %(i) | — | 0.00 | %(i)* | 0.00 | %(i) | 0.00 | %(i) | — | 0.00 | %(i) | — | ||||||||||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.03 | (a) | $ | 0.04 | (a) | $ | 0.06 | (a) | $ | 0.05 | (a) | $ | 0.08 | (a) | $ | 0.02 | (a) | $ | 0.03 | (a) | $ | 0.04 | (a) | $ | 0.06 | (a) | $ | 0.05 | (a) | $ | 0.08 | (a) | $ | 0.02 | (a) |
(a) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(c) | Includes income per share of $0.06 and $0.09, respectively, as a result of litigation on certain sovereign debt. Excluding this income, the Fund’s net investment income per share would have been $1.71 and $1.71, respectively. These per share amounts have been adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(d) | Includes realized gain per share of $0.23 and $0.23, respectively, as a result of litigation on Argentinian sovereign debt. Excluding this income, the Fund’s realized gain per share would have been $3.29 and $3.29, respectively. |
(e) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(f) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(g) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(h) | Interest expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(i) | Ratio is less than 0.01%. |
(j) | Includes income of $0.24 and $0.24, respectively, of average daily net assets as a result of litigation on certain sovereign debt. Excluding this income, the Fund’s net investment income to average daily net assets would have been 5.62% and 5.69%, respectively. |
(k) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 14% of the average value of its portfolio. |
(l) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 17% of the average value of its portfolio. |
(m) | Ratios include indirect fees waived or borne by GMO. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
58 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
GLOBAL BOND FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited)(a) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2013(a) | 2012(a) | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.80 | $ | 26.01 | $ | 25.83 | $ | 25.11 | $ | 24.33 | $ | 23.73 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.16 | 0.33 | 0.24 | 0.24 | 0.33 | 0.33 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.34 | (0.54 | ) | (0.03 | )(c) | 0.54 | 0.81 | 1.65 | ||||||||||||||||||||||
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Total from investment operations | 1.50 | (0.21 | ) | 0.21 | 0.78 | 1.14 | 1.98 | |||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | — | — | (0.03 | ) | (0.06 | ) | (0.36 | ) | (1.38 | ) | ||||||||||||||||||||
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Total distributions | — | — | (0.03 | ) | (0.06 | ) | (0.36 | ) | (1.38 | ) | ||||||||||||||||||||
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Net asset value, end of period | $ | 27.30 | $ | 25.80 | $ | 26.01 | $ | 25.83 | $ | 25.11 | $ | 24.33 | ||||||||||||||||||
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Total Return(d) | 5.81 | %** | (0.81 | )% | 0.81 | % | 3.13 | % | 4.72 | % | 8.57 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 21,243 | $ | 37,241 | $ | 46,720 | $ | 141,269 | $ | 165,337 | $ | 163,213 | ||||||||||||||||||
Net operating expenses to average daily net assets(e) | 0.42 | %* | 0.39 | % | 0.34 | % | 0.38 | %(f) | 0.39 | %(f) | 0.39 | %(f) | ||||||||||||||||||
Interest and/or dividend expenses to average daily net assets(g) | 0.01 | %* | 0.01 | % | 0.00 | %(h) | 0.00 | %(h) | — | — | ||||||||||||||||||||
Total net expenses to average daily net assets(e) | 0.43 | %* | 0.40 | % | 0.34 | % | 0.38 | % | 0.39 | % | 0.39 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 1.17 | %* | 1.26 | % | 0.94 | % | 0.99 | % | 1.29 | % | 1.39 | % | ||||||||||||||||||
Portfolio turnover rate | 0 | %**(i) | 65 | %(j) | 84 | % | 24 | % | 42 | % | 38 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(k) | 0.51 | %* | 0.93 | % | 0.22 | % | 0.09 | % | 0.10 | % | 0.09 | % |
(a) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(c) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. |
(d) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(e) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(f) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(g) | Interest expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(h) | Interest expense was less than 0.01% to average daily net assets. |
(i) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 11% of the average value of its portfolio. |
(j) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 21% of the average value of its portfolio. |
(k) | Ratios include indirect fees waived or borne by GMO. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 59 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout the period)
U.S. TREASURY FUND
Core Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.00 | $ | 25.00 | $ | 25.00 | $ | 25.00 | $ | 25.00 | $ | 25.00 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)† | 0.05 | 0.04 | 0.01 | 0.02 | 0.03 | 0.01 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.01 | — | 0.00 | (a) | 0.01 | (0.00 | )(a) | 0.01 | ||||||||||||||||||||||
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Total from investment operations | 0.06 | 0.04 | 0.01 | 0.03 | 0.03 | 0.02 | ||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.05 | ) | (0.03 | ) | (0.01 | ) | (0.02 | ) | (0.03 | ) | (0.01 | ) | ||||||||||||||||||
From net realized gains | (0.00 | )(b) | (0.01 | ) | (0.00 | )(b) | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||
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Total distributions | (0.05 | ) | (0.04 | ) | (0.01 | ) | (0.03 | ) | (0.03 | ) | (0.02 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 25.01 | $ | 25.00 | $ | 25.00 | $ | 25.00 | $ | 25.00 | $ | 25.00 | ||||||||||||||||||
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Total Return(c) | 0.26 | %** | 0.19 | % | 0.06 | % | 0.11 | % | 0.11 | % | 0.07 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 2,961,091 | $ | 4,033,504 | $ | 2,243,931 | $ | 1,909,864 | $ | 2,912,203 | $ | 2,056,342 | ||||||||||||||||||
Net expenses to average daily net assets(d) | 0.00 | %* | 0.00 | % | 0.00 | % | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | ||||||||||||||||||
Net investment income (loss) to average daily net assets | 0.43 | %* | 0.16 | % | 0.05 | % | 0.08 | % | 0.10 | % | 0.04 | % | ||||||||||||||||||
Portfolio turnover rate(f) | 0 | %** | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.10 | %* | 0.10 | % | 0.10 | % | 0.10 | % | 0.10 | % | 0.10 | % |
(a) | Net realized and unrealized gain (loss) was less than $0.01 per share. |
(b) | Distributions from net realized gains were less than $0.01 per share. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Ratio is less than 0.01%. |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | Portfolio turnover rate calculation excludes short-term investments. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
60 | See accompanying notes to the financial statements. |
GMO Trust Funds
August 31, 2016 (Unaudited)
1. | Organization |
Each of Asset Allocation Bond Fund, Core Plus Bond Fund, Currency Hedged International Bond Fund, Debt Opportunities Fund, Emerging Country Debt Fund, Global Bond Fund, and U.S. Treasury Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).
The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO.
Many of the Funds may invest without limitation in other GMO Funds (“underlying funds”). In particular, pursuant to an exemptive order granted by the Securities and Exchange Commission (“SEC”), some of the Funds may invest in Debt Opportunities Fund, Emerging Country Debt Fund, and U.S. Treasury Fund. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements.
The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):
Fund Name | Benchmark | Investment Objective | ||
Asset Allocation Bond Fund | Citigroup 3-Month Treasury Bill Index | Total return in excess of benchmark | ||
Core Plus Bond Fund | Barclays U.S. Aggregate Index | Total return in excess of benchmark | ||
Currency Hedged International Bond Fund | J.P. Morgan GBI Global ex Japan ex U.S. (Hedged) | Total return in excess of benchmark | ||
Debt Opportunities Fund | Not Applicable | Positive total return | ||
Emerging Country Debt Fund | J.P. Morgan EMBI Global | Total return in excess of benchmark | ||
Global Bond Fund | J.P. Morgan GBI Global | Total return in excess of benchmark | ||
U.S. Treasury Fund | Not Applicable | Liquidity and safety of principal with current income as a secondary objective |
Asset Allocation Bond Fund, Currency Hedge International Bond Fund, and U.S. Treasury Fund currently limit subscriptions.
Asset Allocation Bond Fund, Debt Opportunities Fund, Emerging Country Debt Fund, and U.S. Treasury Fund are currently distributed in Switzerland. The distribution of shares in Switzerland will be exclusively made to, and directed at, qualified investors as defined in the Swiss Collective Investment Schemes Act of 23 June 2006, as amended, and its implementing ordinance.
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
Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a specific relevant pricing source determined by GMO. Although GMO 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. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds. See the table below for information about securities for which no alternative pricing source was available.
Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the
61
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2016, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.
The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets which close prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds, held either directly or through investments in the underlying funds, that were valued using fair value inputs obtained from that independent pricing service as of August 31, 2016. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) in the table below.
“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available by the time that a Fund calculates its net asset value on any business day, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.
In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.
As discussed above, certain of the Funds and underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or valued using prices for which no alternative pricing source was available. The table below presents securities and/or derivatives on a net basis, based on market values or unrealized appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of August 31, 2016 is as follows:
Securities and derivatives
Fund Name | Fair valued using methods determined in good faith by or at the direction of the Trustees | Single source; No alternative pricing source was available | ||||||
Asset Allocation Bond Fund | < 1 | % | — | |||||
Core Plus Bond Fund | < 1 | % | 1 | % | ||||
Currency Hedged International Bond Fund | < 1 | % | < 1 | % | ||||
Debt Opportunities Fund | 1 | %† | 6 | % | ||||
Emerging Country Debt Fund | 2 | %‡ | 3 | % | ||||
Global Bond Fund | < 1 | % | < 1 | % | ||||
U.S. Treasury Fund | — | — |
62
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
† | Consists of four U.S. Agency for International Development Floater Bonds which were valued using current LIBOR yield and adjusted by 125 basis points for liquidity considerations. |
‡ | Includes the Republic of Albania Par Bond, due 08/31/25 which represents 0.9% of the Fund’s total net assets and is valued by applying a 140 basis point spread to the yield of the U.S. Treasury Strip Principal, due 08/15/25. |
U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.
U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the table below). Other than Funds with investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes) or as described in the footnotes to the Securities and Derivatives table above, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at August 31, 2016.
The three levels are defined as follows:
Level 1 – Valuations based on quoted prices for identical securities in active markets.
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).
Level 2 – Valuations determined using other significant direct or indirect observable inputs.
The types of assets and liabilities categorized in Level 2 generally include certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.
Level 3 – Valuations based primarily on inputs that are unobservable and significant.
The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they are valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; certain sovereign debt securities valued using comparable securities issued by the sovereign adjusted by a specified spread; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; potential litigation recoveries and interests related to bankruptcy proceedings; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; and certain derivatives for which GMO acts as intermediary between the third party pricing vendor and the pricing agent.
63
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2016:
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Asset Allocation Bond Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
U.S. Government | $ | 823,614,060 | $ | 782,210,229 | $ | — | $ | 1,605,824,289 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 823,614,060 | 782,210,229 | — | 1,605,824,289 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | 177,926,847 | — | — | 177,926,847 | ||||||||||||
Options Purchased | — | 1,230,876 | — | 1,230,876 | ||||||||||||
Short-Term Investments | 22,471,594 | 211,500,411 | — | 233,972,005 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,024,012,501 | 994,941,516 | — | 2,018,954,017 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 13,600,519 | — | 13,600,519 | ||||||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | 119,438,068 | — | 119,438,068 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,024,012,501 | $ | 1,127,980,103 | $ | — | $ | 2,151,992,604 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (12,579,950 | ) | $ | — | $ | (12,579,950 | ) | ||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | (96,232,507 | ) | (3,427,152 | ) | (99,659,659 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (108,812,457 | ) | $ | (3,427,152 | ) | $ | (112,239,609 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Core Plus Bond Fund |
| |||||||||||||||
Asset Valuation Inputs |
| |||||||||||||||
Debt Obligations | ||||||||||||||||
U.S. Government | $ | 23,196,955 | $ | — | $ | — | $ | 23,196,955 | ||||||||
U.S. Government Agency | 10,225,765 | — | — | 10,225,765 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 33,422,720 | — | — | 33,422,720 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | 44,190,392 | — | — | 44,190,392 | ||||||||||||
Short-Term Investments | 409,771 | — | — | 409,771 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 78,022,883 | — | — | 78,022,883 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 240,067 | — | 240,067 | ||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 809 | — | — | 809 | ||||||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | 73,245 | — | 73,245 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 78,023,692 | $ | 313,312 | $ | — | $ | 78,337,004 | ||||||||
|
|
|
|
|
|
|
| |||||||||
64
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Core Plus Bond Fund (continued) | ||||||||||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (193,076 | ) | $ | — | $ | (193,076 | ) | ||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | (22,570 | ) | — | — | (22,570 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | (89,709 | ) | — | (89,709 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (22,570 | ) | $ | (282,785 | ) | $ | — | $ | (305,355 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Currency Hedged International Bond Fund |
| |||||||||||||||
Asset Valuation Inputs |
| |||||||||||||||
Debt Obligations | ||||||||||||||||
Foreign Government Obligations | $ | — | $ | 35,680,567 | $ | — | $ | 35,680,567 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | — | 35,680,567 | — | 35,680,567 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | 26,360,539 | — | — | 26,360,539 | ||||||||||||
Options Purchased | — | 10,892 | — | 10,892 | ||||||||||||
Short-Term Investments | 1,356,542 | — | — | 1,356,542 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 27,717,081 | 35,691,459 | — | 63,408,540 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 538,528 | — | 538,528 | ||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 254,944 | — | — | 254,944 | ||||||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | 127,448 | — | 127,448 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 27,972,025 | $ | 36,357,435 | $ | — | $ | 64,329,460 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (60,571 | ) | $ | — | $ | (60,571 | ) | ||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | (307,730 | ) | — | (307,730 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (368,301 | ) | $ | — | $ | (368,301 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Debt Opportunities Fund |
| |||||||||||||||
Asset Valuation Inputs |
| |||||||||||||||
Debt Obligations | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 1,415,392,370 | $ | 25,064,113 | $ | 1,440,456,483 | ||||||||
U.S. Government Agency | — | — | 20,968,741 | 20,968,741 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | — | 1,415,392,370 | 46,032,854 | 1,461,425,224 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | 57,867,964 | — | — | 57,867,964 | ||||||||||||
Options Purchased | — | 1,572,423 | — | 1,572,423 | ||||||||||||
Short-Term Investments | 23,195,499 | — | — | 23,195,499 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 81,063,463 | 1,416,964,793 | 46,032,854 | 1,544,061,110 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
65
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Debt Opportunities Fund (continued) |
| |||||||||||||||
Asset Valuation Inputs (continued) |
| |||||||||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | 168,800 | $ | — | $ | 168,800 | ||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | 21,550,271 | — | 21,550,271 | ||||||||||||
Interest Rate Risk | — | 72,489 | — | 72,489 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 81,063,463 | $ | 1,438,756,353 | $ | 46,032,854 | $ | 1,565,852,670 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (11,963 | ) | $ | — | $ | (11,963 | ) | ||||||
Written Options | ||||||||||||||||
Credit Risk | — | (286,024 | ) | — | (286,024 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | (17,644,862 | ) | — | (17,644,862 | ) | ||||||||||
Interest Rate Risk | — | (3,587,458 | ) | — | (3,587,458 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (21,530,307 | ) | $ | — | $ | (21,530,307 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Emerging Country Debt Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 27,946,079 | $ | 22,869,582 | $ | 50,815,661 | ||||||||
Corporate Debt | — | — | 22,100,000 | 22,100,000 | ||||||||||||
Foreign Government Agency | — | 913,529,993 | 108,266,551 | 1,021,796,544 | ||||||||||||
Foreign Government Obligations | — | 2,362,578,617 | 53,754,602 | 2,416,333,219 | ||||||||||||
U.S. Government | 255,861,450 | 75,154,749 | — | 331,016,199 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 255,861,450 | 3,379,209,438 | 206,990,735 | 3,842,061,623 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Loan Assignments | — | — | 5,712,037 | 5,712,037 | ||||||||||||
Loan Participations | — | — | 71,240,246 | 71,240,246 | ||||||||||||
Mutual Funds | 125,701,783 | — | — | 125,701,783 | ||||||||||||
Rights/Warrants | — | 38,112,318 | 3,347,150 | 41,459,468 | ||||||||||||
Short-Term Investments | 173,212,543 | — | — | 173,212,543 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 554,775,776 | 3,417,321,756 | 287,290,168 | 4,259,387,700 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 877,729 | — | 877,729 | ||||||||||||
Options | ||||||||||||||||
Credit Risk | — | — | 417,636 | 417,636 | ||||||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | 29,923,316 | — | 29,923,316 | ||||||||||||
Interest Rate Risk | — | 4,183,776 | — | 4,183,776 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 554,775,776 | $ | 3,452,306,577 | $ | 287,707,804 | $ | 4,294,790,157 | ||||||||
|
|
|
|
|
|
|
| |||||||||
66
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Emerging Country Debt Fund (continued) | ||||||||||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Options | ||||||||||||||||
Credit Risk | $ | — | $ | — | $ | (2,554,190 | ) | $ | (2,554,190 | ) | ||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | (70,770,256 | ) | — | (70,770,256 | ) | ||||||||||
Interest Rate Risk | — | (24,364,642 | ) | — | (24,364,642 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (95,134,898 | ) | $ | (2,554,190 | ) | $ | (97,689,088 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Global Bond Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
Foreign Government Obligations | $ | — | $ | 10,898,215 | $ | — | $ | 10,898,215 | ||||||||
U.S. Government | — | 5,712,411 | — | 5,712,411 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | — | 16,610,626 | — | 16,610,626 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | 3,490,539 | — | — | 3,490,539 | ||||||||||||
Options Purchased | — | 7,043 | — | 7,043 | ||||||||||||
Short-Term Investments | 1,103,532 | — | — | 1,103,532 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 4,594,071 | 16,617,669 | — | 21,211,740 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 196,518 | — | 196,518 | ||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 39,768 | — | — | 39,768 | ||||||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | 55,250 | — | 55,250 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 4,633,839 | $ | 16,869,437 | $ | — | $ | 21,503,276 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (81,956 | ) | $ | — | $ | (81,956 | ) | ||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | (18,463 | ) | — | — | (18,463 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | (106,708 | ) | — | (106,708 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (18,463 | ) | $ | (188,664 | ) | $ | — | $ | (207,127 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
U.S. Treasury Fund |
| |||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Short-Term Investments | $ | 2,961,850,300 | $ | — | $ | — | $ | 2,961,850,300 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 2,961,850,300 | — | — | 2,961,850,300 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,961,850,300 | $ | — | $ | — | $ | 2,961,850,300 | ||||||||
|
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|
|
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|
| |||||||||
The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.
67
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
^ | The tables above are based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value. Excludes purchased options, if any, which are included in investments. |
The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs of the underlying funds, please refer to the underlying funds’ summary of levels above.
For all Funds for the period ended August 31, 2016, there were no significant transfers between Level 1 and Level 2.
The following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:
Balances as of February 29, 2016 | Purchases | Sales | Accrued Discounts/ Premiums | Total Realized Gain/ (Loss) | Change in Unrealized Appreciation (Depreciation) | Transfer into Level 3 † | Transfer out of Level 3 † | Balances as of August 31, 2016 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2016 | |||||||||||||||||||||||||||||||
Asset Allocation Bond Fund |
| |||||||||||||||||||||||||||||||||||||||
Options purchased | ||||||||||||||||||||||||||||||||||||||||
Quanto options | $ | 45,987,627 | $ | — | $ | (40,853,375 | ) | $ | — | $ | (20,349,237 | ) | $ | 15,214,985 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
Derivatives | ||||||||||||||||||||||||||||||||||||||||
Swap Contracts | (11,702,625 | ) | — | 17,662,743 | — | (17,662,743 | ) | 20,694,506 | (12,419,033 | )‡ | — | (3,427,152 | ) | — | ||||||||||||||||||||||||||
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| |||||||||||||||||||||
Total | $ | 34,285,002 | $ | — | $ | (23,190,632 | ) | $ | — | $ | (38,011,980 | ) | $ | 35,909,491 | $ | (12,419,033 | ) | $ | — | $ | (3,427,152 | ) | $ | — | ||||||||||||||||
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| |||||||||||||||||||||
Core Plus Bond Fund |
| |||||||||||||||||||||||||||||||||||||||
Derivatives | ||||||||||||||||||||||||||||||||||||||||
Swap Contracts | $ | (45,734 | ) | $ | — | $ | 53,455 | $ | — | $ | (53,455 | ) | $ | 45,734 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
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|
| |||||||||||||||||||||
Total | $ | (45,734 | ) | $ | — | $ | 53,455 | $ | — | $ | (53,455 | ) | $ | 45,734 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
|
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| |||||||||||||||||||||
Currency Hedged International Bond Fund |
| |||||||||||||||||||||||||||||||||||||||
Derivatives | ||||||||||||||||||||||||||||||||||||||||
Swap Contracts | $ | (13,707 | ) | $ | — | $ | 15,124 | $ | — | $ | (15,124 | ) | $ | 13,707 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
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| |||||||||||||||||||||
Total | $ | (13,707 | ) | $ | — | $ | 15,124 | $ | — | $ | (15,124 | ) | $ | 13,707 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
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| |||||||||||||||||||||
Debt Opportunities Fund |
| |||||||||||||||||||||||||||||||||||||||
Debt Obligations | ||||||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 26,579,832 | $ | 152 | $ | (8,008,060 | ) | $ | 225,337 | $ | (3,938,023 | ) | $ | 5,148,740 | $ | 15,702,029 | ‡ | $ | (10,645,894 | )‡ | $ | 25,064,113 | $ | (127,165 | ) | |||||||||||||||
U.S. Government Agency | 22,266,906 | — | (1,539,663 | ) | (2,195 | ) | 26,110 | 217,583 | — | — | 20,968,741 | 240,111 | ||||||||||||||||||||||||||||
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| |||||||||||||||||||||
Total | $ | 48,846,738 | $ | 152 | $ | (9,547,723 | )# | $ | 223,142 | $ | (3,911,913 | ) | $ | 5,366,323 | $ | 15,702,029 | $ | (10,645,894 | ) | $ | 46,032,854 | $ | 112,946 | |||||||||||||||||
|
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| |||||||||||||||||||||
68
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Balances as of February 29, 2016 | Purchases | Sales | Accrued Discounts/ Premiums | Total Realized Gain/ (Loss) | Change in Unrealized Appreciation (Depreciation) | Transfer into Level 3 † | Transfer out of Level 3 † | Balances as of August 31, 2016 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2016 | |||||||||||||||||||||||||||||||
Emerging Country Debt Fund |
| |||||||||||||||||||||||||||||||||||||||
Debt Obligations | ||||||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 22,096,944 | $ | — | $ | (707,788 | ) | $ | 46,867 | $ | — | $ | 1,433,559 | $ | — | $ | — | $ | 22,869,582 | $ | 1,433,559 | |||||||||||||||||||
Corporate Debt | 21,661,400 | — | — | (332 | ) | — | 438,932 | — | — | 22,100,000 | 438,932 | |||||||||||||||||||||||||||||
Foreign Government Agency | 71,588,911 | — | — | 344,454 | — | 8,243,960 | 28,089,226 | ‡ | — | 108,266,551 | 8,243,960 | |||||||||||||||||||||||||||||
Foreign Government Obligations | 14,341,239 | — | — | 84,332 | — | 1,057,012 | 38,272,019 | ‡ | — | 53,754,602 | 1,057,012 | |||||||||||||||||||||||||||||
Judgments | 45,684,000 | — | (70,500,000 | ) | 163,871 | 33,658,452 | (9,006,323 | ) | — | — | — | — | ||||||||||||||||||||||||||||
|
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| |||||||||||||||||||||
Total Debt Obligations | 175,372,494 | — | (71,207,788 | ) | 639,192 | 33,658,452 | 2,167,140 | 66,361,245 | — | 206,990,735 | 11,173,463 | |||||||||||||||||||||||||||||
|
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|
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|
| |||||||||||||||||||||
Loan Assignments | 6,481,913 | — | (900,248 | ) | 212,591 | — | (82,219 | ) | — | — | 5,712,037 | (82,219 | ) | |||||||||||||||||||||||||||
Loan Participations | 69,224,829 | — | (6,803,854 | ) | 1,012,183 | — | 7,807,088 | — | — | 71,240,246 | 7,807,088 | |||||||||||||||||||||||||||||
Rights/Warrants | 4,766,873 | — | — | — | — | (1,419,723 | ) | — | — | 3,347,150 | (1,419,723 | ) | ||||||||||||||||||||||||||||
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| |||||||||||||||||||||
Total Investments | 255,846,109 | — | (78,911,890 | ) | 1,863,966 | 33,658,452 | 8,472,286 | 66,361,245 | — | 287,290,168 | 17,478,609 | |||||||||||||||||||||||||||||
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Derivatives | ||||||||||||||||||||||||||||||||||||||||
Options | (5,519,531 | ) | — | — | — | — | 3,382,977 | (2,136,554 | ) | 3,382,977 | ||||||||||||||||||||||||||||||
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| |||||||||||||||||||||
Total | $ | 250,326,578 | $ | — | $ | (78,911,890 | )## | $ | 1,863,966 | $ | 33,658,452 | $ | 11,855,263 | $ | 66,361,245 | $ | — | $ | 285,153,614 | $ | 20,861,586 | |||||||||||||||||||
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Global Bond Fund |
| |||||||||||||||||||||||||||||||||||||||
Derivatives | ||||||||||||||||||||||||||||||||||||||||
Swap Contracts | $ | (8,887 | ) | $ | — | $ | 9,910 | $ | — | $ | (9,910 | ) | $ | 8,887 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
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| |||||||||||||||||||||
Total | $ | (8,887 | ) | $ | — | $ | 9,910 | $ | — | $ | (9,910 | ) | $ | 8,887 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
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| |||||||||||||||||||||
† | The Funds account for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period. |
‡ | Financial assets transferred between Level 2 and Level 3 were due to a change in observable and/or unobservable inputs. |
# | Includes $3,706,274 of proceeds received from principal payups and paydowns. |
## | Includes $8,411,891 of received from principal paydowns. |
The net aggregate direct and indirect exposure to investments in securities and/or derivatives using Level 3 inputs and presented on a net basis, which will tend to understate the Funds’ exposure, (based on each Fund’s net assets) as of August 31, 2016 were as follows:
Fund Name | Level 3 securities and derivatives | |||
Asset Allocation Bond Fund | (1 | )% | ||
Core Plus Bond Fund | < 1 | % | ||
Currency Hedged International Bond Fund | < 1 | % | ||
Debt Opportunities Fund | 3 | % | ||
Emerging Country Debt Fund | 7 | % | ||
Global Bond Fund | < 1 | % | ||
U.S. Treasury Fund | — |
69
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Cash
Cash and foreign currency, if any, on the Statements of Assets and Liabilities consist of cash balances held with the custodian.
Due to/from broker
Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include mark-to-market amounts related to foreign currency or cash owed.
Foreign currency translation
The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm Eastern time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated on the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.
Indexed Investments
Each Fund may invest in various transactions and instruments that are designed to track the performance of an index (including, but not limited to, securities indices and credit default indices). Indexed securities are securities the redemption values and/or coupons of which are indexed to a specific instrument, group of instruments, index, or other statistic. Indexed securities typically, but not always, are debt securities or deposits whose value at maturity or coupon rate is determined by reference to other securities, securities or inflation indices, currencies, precious metals or other commodities, or other financial indicators. For example, the maturity value of gold-indexed securities depends on the price of gold and, therefore, their price tends to rise and fall with gold prices.
Loan assignments and participations
The Funds (except U.S. Treasury Fund) may invest in direct debt instruments, which are interests in amounts owed to lenders or lending syndicates, to suppliers of goods or services, or to other parties by corporate, governmental or other borrower. Such “loans” may include bank loans, promissory notes, and loan participations, or in the case of suppliers of goods or services, trade claims or other receivables. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. Unless, under the terms of the loan or other indebtedness a Fund has direct recourse against the borrower, it may have to rely on the agent to enforce its rights against the borrower. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. Loan assignments and participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Repurchase agreements
The Funds may enter into repurchase agreements with banks and brokers. Under a repurchase agreement a Fund acquires a security for a relatively short period for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities it acquired under the repurchase agreement. The value of the securities acquired may be less than the amount owed to the Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency proceedings and the value of the securities subject to the repurchase agreement is insufficient, the Fund’s recovery of cash from the seller may be delayed and, even if the Fund is able to dispose of the securities, the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. As of August 31, 2016, the Funds listed below had entered into repurchase agreements. The value of related collateral for each broker listed below exceeds the value of the repurchase agreements at period end.
Fund Name | Counterparty | Gross Value | Weighted Average Maturity (days) | |||||||
Asset Allocation Bond Fund | Mizuho Securities USA Inc. | $52,354,935 | 1.7 | |||||||
Nomura Securities International Inc. | $159,145,476 | 5.3 |
Reverse repurchase agreements
The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the
70
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. As of August 31, 2016, the Funds listed below had entered into reverse repurchase agreements.
Fund Name | Received from reverse repurchase agreements ($) | Market value of securities plus accrued interest ($) | ||
Emerging Country Debt Fund | 20,422,108 | 21,113,451 |
As of August 31, 2016, Emerging Country Debt Fund had investments in reverse repurchase agreements with JP Morgan Securities, Inc. with a gross value of $20,422,108. The value of related collateral exceeded the value of the reverse repurchase agreement at period end. As of August 31, 2016, the reverse repurchase agreement held by Emerging Country Debt Fund had open maturity dates. Reverse repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
The following is a summary of the gross value of reverse repurchase agreements categorized by class of collateral pledged and maturity date:
August 31, 2016 | ||||||||||||||||||||||||
Remaining Contractual Maturity of the Agreements | ||||||||||||||||||||||||
Overnight and Continuous | Up to 30 days | Between 30-90 days | Greater Than 90 days | Demand | Total | |||||||||||||||||||
Reverse Repurchase Agreements | ||||||||||||||||||||||||
Non-U.S. Government Debt Obligations | $ | — | $ | — | $ | — | $ | — | $ | 20,422,108 | $ | 20,422,108 | ||||||||||||
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| |||||||||||||
Total borrowings | $ | — | $ | — | $ | — | $ | — | $ | 20,422,108 | $ | 20,422,108 | ||||||||||||
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| |||||||||||||
Inflation-indexed bonds
The Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation into the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.
The market price of inflation-indexed bonds normally changes when real interest rates change. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e., stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e., nominal interest rate minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. Coupon payments received by a Fund from inflation-indexed bonds are generally included in the Fund’s gross income for the period in which they accrue. In addition, any increase in the principal amount of an inflation-indexed bond is generally included in the Fund’s gross income even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Delayed delivery commitments and when-issued securities
The Funds (except U.S. Treasury Fund) may purchase or sell securities on a when-issued or forward commitment basis. Payment and delivery may take place a month or more after the date of the transaction. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The purchase of when-issued or delayed delivery securities can cause a Fund’s portfolio to be leveraged. Investments in when-issued securities also present the risk that the security will not be issued or delivered. Delayed delivery commitments outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Short sales
Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the interest payable on such securities, if any, are reflected as a liability on the Statements of Assets and Liabilities. A Fund is obligated to deliver securities at the trade price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Short sales outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
71
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Taxes and distributions
Each Fund has elected to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.
With the exception of U.S. Treasury Fund, the policy of each Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. The policy of U.S. Treasury Fund is to declare dividends daily, to the extent net investment income is available, and pay dividends on the first business day following the end of each month in which dividends were declared. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each Fund may, from time to time at their discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically all distributions are reinvested in additional shares of each Fund, at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.
Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2016, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.
Income and capital gain distributions 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.
Distributions in excess of a Fund’s tax basis earnings and profits, if significant, are reported in the Funds’ financial statements as a return of capital.
As of February 29, 2016, certain Funds elected to defer to March 1, 2016 late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:
Fund Name | Late-Year Ordinary Loss Deferral ($) | Post- October Capital Losses ($) | ||||||
Asset Allocation Bond Fund | (42,406,225) | — | ||||||
Core Plus Bond Fund | — | — | ||||||
Currency Hedged International Bond Fund | — | — | ||||||
Debt Opportunities Fund | — | (3,157,233) | ||||||
Emerging Country Debt Fund | — | (12,051,698) | ||||||
Global Bond Fund | (13,310) | — | ||||||
U.S. Treasury Fund | — | — |
As of February 29, 2016, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. In addition, such losses should be utilized prior to losses scheduled to expire on or before February 28, 2019. As a result of this ordering rule, losses that are subject to expiration may expire unused. Utilization of the capital
72
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 29, 2016, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:
Short-Term ($) | Long- Term ($) | |||||||||||||||||||||||
Fund Name | Expiration 2/28/2017 | Expiration 2/28/2018 | Expiration 2/28/2019 | No Expiration | Total Short- Term ($) | No Expiration Date | ||||||||||||||||||
Asset Allocation Bond Fund | — | — | — | (36,014,371) | (36,014,371) | (12,100,564) | ||||||||||||||||||
Core Plus Bond Fund | (74,050,257) | (17,147,333) | (138,723) | (291,118) | (91,627,431) | (5,328,790) | ||||||||||||||||||
Currency Hedged International Bond Fund | — | (2,196,538) | — | — | (2,196,538) | (109,023) | ||||||||||||||||||
Debt Opportunities Fund | — | — | — | — | — | (136,777,246) | ||||||||||||||||||
Emerging Country Debt Fund | (14,758,581) | — | (66,474,254) | (64,363,605) | (145,596,440) | (141,946,556) | ||||||||||||||||||
Global Bond Fund | (4,412,277) | (2,543,074) | (1,398,524) | — | (8,353,875) | (2,610,329) | ||||||||||||||||||
U.S. Treasury Fund | — | — | — | — | — | — |
As of August 31, 2016, the approximate cost for U.S. federal income tax purposes and the aggregate investment-level gross and net unrealized appreciation (depreciation) in the value of investments were as follows:
Fund Name | Aggregate Cost ($) | Gross Unrealized Appreciation ($) | Gross Unrealized (Depreciation) ($) | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||
Asset Allocation Bond Fund | 1,994,000,115 | 33,571,787 | (8,617,885) | 24,953,902 | ||||||||||||
Core Plus Bond Fund | 77,558,418 | 666,680 | (202,215) | 464,465 | ||||||||||||
Currency Hedged International Bond Fund | 63,134,917 | 1,445,530 | (1,171,907) | 273,623 | ||||||||||||
Debt Opportunities Fund | 1,558,529,083 | 29,695,396 | (44,163,369) | (14,467,973) | ||||||||||||
Emerging Country Debt Fund | 4,043,630,595 | 371,229,430 | (155,472,325) | 215,757,105 | ||||||||||||
Global Bond Fund | 20,347,738 | 1,311,487 | (447,485) | 864,002 | ||||||||||||
U.S. Treasury Fund | 2,961,648,918 | 504,397 | (303,015) | 201,382 |
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 interpretations of tax laws (e.g., guidance 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. GMO 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. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from the underlying 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. Principal on inflation-indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. 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 and class allocations
Most of the expenses of the Trust are directly attributable to an individual Fund. Generally, common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase
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premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Funds may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by a Fund will vary (See Note 5).
State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent. Prior to December 31, 2013, State Street’s transfer agent fees may have been reduced by an earnings allowance calculated on the average daily cash balances each Fund maintained in a State Street transfer agent account. Effective January 1, 2014, any cash balances maintained at the transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations. Prior to December 31, 2012, State Street’s custodian fees may have been reduced by an earnings allowance calculated on the average daily cash balance each Fund maintained in a State Street custodial account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2013, any cash balances maintained at the custodian are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.
Purchases and redemptions of Fund shares
Purchase premiums and redemption fees (if applicable) are paid to and retained by a 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 Fund (directly or indirectly through investments in underlying funds) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and/or redemption fee or modify an existing fee at any time.
Purchase premiums are not charged on reinvestments of dividends or other distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).
If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion. GMO also may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.
GMO will waive or reduce the purchase premium when securities are used to purchase a Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with its acquisition of those securities. GMO may waive or reduce redemption fees when a Fund uses portfolio securities to redeem its shares. However, when a substantial portion of a Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.
Purchase premiums or redemption fees generally will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with the Trust to transmit orders for purchases and redemptions the day after those orders are received.
As of August 31, 2016, the premium on cash purchases and the fee on cash redemptions were as follows:
Asset Allocation Bond Fund | Core Plus Bond Fund | Currency Hedged International Bond Fund | Debt Opportunities Fund | Emerging Country Debt Fund(1) | Global Bond Fund | U.S. Treasury Fund | ||||||||
Purchase Premium | — | — | — | 0.40% | 0.75% | — | — | |||||||
Redemption Fee | — | — | — | 0.40% | 0.75% | — | — |
(1) | Prior to February 1, 2016, the premiums on purchases and the fee on redemptions were each 0.50% of the amount invested or redeemed. |
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3. | Investment and other risks |
The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.
Asset Allocation Bond Fund | Core Plus Bond Fund | Currency Hedged International Bond Fund | Debt Opportunities Fund | Emerging Country Debt Fund | Global Bond Fund | U.S. Treasury Fund | ||||||||
Commodities Risk | X | |||||||||||||
Counterparty Risk | X | X | X | X | X | X | ||||||||
Credit Risk | X | X | X | X | X | X | X | |||||||
Currency Risk | X | X | X | X | X | X | ||||||||
Derivatives and Short Sales Risk | X | X | X | X | X | X | ||||||||
Focused Investment Risk | X | X | X | X | X | X | X | |||||||
Fund of Funds Risk | X | X | X | X | X | X | ||||||||
Illiquidity Risk | X | X | X | X | X | X | ||||||||
Large Shareholder Risk | X | X | X | X | X | X | X | |||||||
Leveraging Risk | X | X | X | X | X | X | ||||||||
Management and Operational Risk | X | X | X | X | X | X | X | |||||||
Market Disruption and Geopolitical Risk | X | X | X | X | X | X | X | |||||||
Market Risk – Asset-Backed Securities | X | X | X | X | X | X | ||||||||
Market Risk – Equities | X | X | X | X | X | |||||||||
Market Risk – Fixed Income Investments | X | X | X | X | X | X | X | |||||||
Non-Diversified Funds | X | X | X | X | X | X | ||||||||
Non-U.S. Investment Risk | X | X | X | X | X | X | ||||||||
Small Company Risk | X | X | X | X | X |
Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.
Each Fund that invests in other GMO Funds or other investment companies (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through Underlying Funds.
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An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.
• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the net asset value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner. The value of commodity-related derivatives or indirect investments in commodities may fluctuate more than the commodity, commodities or commodity index to which they relate. See “Derivatives and Short Sales Risk” for a discussion of specific risks of a Fund’s derivatives investments, including commodity-related derivatives.
• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise hold investments it would prefer to sell, resulting in losses for the Fund. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws or other requirements. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (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 (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be promptly posted as required. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty if the transaction is primarily designed to reduce the Fund’s overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty).
The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds.
Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations and realization on collateral, could be stayed or eliminated under new special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, with respect to counterparties who are subject to such proceedings in the European Union, the liabilities of such counterparties to the Funds could be reduced, eliminated, or converted to equity in such counterparties (sometimes referred to as a “bail in”).
• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer’s, guarantor’s, or obligor’s failure to meet its payment obligations, or in anticipation of such failure, or the downgrade of the credit rating of the investment. This risk is particularly acute in
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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, a government or government entity, whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the term of a fixed income 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 or quasi-sovereign debt involve the risk that the governmental entities responsible for repayment may be unable or unwilling to pay interest and repay principal when due. A governmental entity’s ability and willingness to pay interest and repay principal in a timely manner may be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer may default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging countries.
In many cases, the credit risk of a fixed income security is reflected in its credit ratings, and a Fund holding such a security is subject to the risk that the investment’s rating will be downgraded.
Securities issued by the U.S. government historically have presented minimal credit risk. However, events in 2011 led to a downgrade in the long-term credit rating of U.S. bonds by several major rating agencies and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest on U.S. government securities would decrease, the value of a Fund’s investments and increase the volatility of a Fund’s portfolio.
As described under “Market Risk — Asset-Backed Securities,” asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors, as described under “Market Risk — Asset-Backed Securities.” The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors.
A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives and Short Sales Risk” for more information regarding risks associated with the use of credit default swaps.
The extent to which the market price of a fixed income security changes in response to a credit event depends on many factors and can be difficult to predict. For example, even though the effective duration of a long-term floating rate security is very short, an adverse credit event or a change in the perceived creditworthiness of its issuer could cause its market price to decline much more than its effective duration would suggest.
Credit risk is particularly pronounced for below investment grade 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. Investments in distressed or defaulted or other low quality debt securities generally are considered speculative and may involve substantial risks not normally associated with investments in higher quality securities, including adverse business, financial or economic conditions that lead to payment defaults and insolvency proceedings on the part of their issuers. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments, and a Fund may incur additional expenses to seek recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt security proves incorrect, a Fund may lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of default of sovereign debt, the Funds may be unable to pursue legal action against the issuer.
• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position, will decline in value relative to the currency in which the Fund is denominated. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk.”
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Many of the Funds use derivatives to take currency positions that are under- or over-weighted (in some cases significantly) relative to the currency exposure of their portfolios and their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money on both its holdings of a particular currency and the derivative. See also “Non-U.S. Investment Risk.”
Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars, in which case GMO may decide to purchase U.S. dollars in a parallel market with an unfavorable exchange rate. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.
Derivative transactions in foreign currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk”).
• DERIVATIVES AND SHORT SALES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices. Derivatives involve the risk that their value may not change as expected relative to changes in the value of the assets, rates, or indices they are designed to track. Derivatives include futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other OTC contracts. Derivatives may relate to securities, commodities, currencies, currency exchange rates, interest rates, inflation rates, 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 still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments GMO believes are owed to it under OTC derivatives contracts, or those payments may be delayed or made only after the Fund has incurred the cost of litigation.
A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s fundamental fair (or intrinsic) value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs a greater risk of not being able to recover what it is owed if the counterparty defaults. Even when derivatives are required by contract to be collateralized, a Fund typically will not receive the collateral for one or more days after the collateral is required to be posted.
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, illiquidity risk, currency risk, credit risk, and counterparty risk. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values a Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, 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, GMO may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures, potentially resulting in losses for the Fund.
Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk”) and counterparty risk (see “Counterparty Risk”). These derivatives are also subject to documentation risk, which is the risk that ambiguities, inconsistencies or errors in the documentation relating to a derivative transaction may lead to a dispute with the counterparty or unintended investment results. In addition, see “Commodities Risk” for a discussion of risks specific to commodity-related derivatives. Because many derivatives have a leverage component
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(i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk.”
A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders. In addition, the tax treatment of a Fund’s use of derivatives may be unclear because there is little case or other law interpreting the terms of most derivatives or determining their tax treatment. In addition, the Securities and Exchange Commission recently proposed a rule under the 1940 Act regulating the use by registered investment companies of derivatives and many related instruments. That rule, if adopted as proposed, would, among other things, restrict a Fund’s ability to engage in derivatives transactions or so increase the cost of derivatives transactions that a Fund would be unable to implement its investment strategy.
Derivatives Regulation. The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) are implementing similar requirements, which will affect a Fund when it enters into a derivatives transaction with a counterparty organized in that country or otherwise subject to that country’s derivatives regulations. Because these requirements are new and evolving (and some of the rules are not yet final), their ultimate impact remains unclear.
Transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds hold cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Funds make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.
In some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements, for example, by requiring that funds provide more margin for their cleared derivatives positions. Also, as a general matter, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivatives position or an increase in margin requirements above those required at the outset of a transaction. Clearing houses also have broad rights to increase margin requirements for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member because margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member (see “Counterparty Risk”). Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member. Also, such documentation typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks may be more pronounced for cleared derivatives due to their more limited liquidity and market history.
Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility.
If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), the Fund may be unable to execute all components of the package on the swap execution facility. In that case, the Fund would need to trade some components of the package on the swap execution facility and other components in another manner, which could subject the Fund to the risk that some components would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.
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The U.S. government and the European Union have adopted mandatory minimum margin requirements for bilateral derivatives. GMO expects that the Funds’ transactions will become subject to variation margin requirements under such rules in 2017 and initial margin requirements under such rules in 2020. Such requirements could increase the amount of margin a Fund needs to provide in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.
These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund or otherwise limiting liquidity. The implementation of the clearing requirement has increased the costs of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they have historically posted for bilateral derivatives. The costs of derivatives transactions are expected to increase further as clearing members raise their fees to cover the costs of additional capital requirements and other regulatory changes applicable to the clearing members, which will take effect when rules imposing mandatory minimum margin requirements on bilateral swaps, as described above, become effective. These rules and regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.
Options. Some Funds are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights any time before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk because the holder may only exercise the option on its expiration date.) If a Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.
National securities exchanges generally have established limits on the maximum number of options an investor or group of investors acting in concert may write. A Fund, GMO, and other funds advised by GMO will likely constitute such a group. When applicable, these limits restrict a Fund’s ability to purchase or write options on a particular security.
Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (i.e., options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While a Fund has greater flexibility to tailor an OTC option, OTC options generally expose a Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary market risks.
Special tax rules apply to a Fund’s transactions in options, which could increase the taxes payable by shareholders. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s distributions to consist of amounts taxable to shareholders subject to U.S. income tax at ordinary income tax rates.
Short Investment Exposure. Some Funds may sell securities or currencies short as part of their investment programs in an attempt to increase their returns or for hedging purposes. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange a security or currency to replace the borrowed security or currency when the security or currency sold short has appreciated in value, thus resulting in a loss to the Fund. Purchasing a security or currency to close out a short position can itself cause the price of the security or currency to rise further, thereby exacerbating any losses. A Fund that sells short a security or currency it does not own also may have to pay borrowing fees to a broker and may be required to pay the broker any dividends or interest it receives on a borrowed security.
A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying investment, pool of investments, index or currency.
Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.
• FOCUSED INVESTMENT RISK. Funds with investments that are focused in particular countries, regions, sectors, industries or issuers that are subject to the same or similar risk factors and funds with investments whose prices are closely correlated are subject to greater overall risk than funds with investments that are more diversified or whose prices are not as closely correlated.
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A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of particular securities than Funds investing in the securities of a larger number of issuers. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments.
Similarly, Funds having a significant portion of their assets in investments tied economically (or related) to a particular geographic region, country (e.g., Taiwan or Japan), or market (e.g., emerging markets), or to sectors within a region, country, or market (e.g., Russian oil) have more exposure to regional and country economic risks than funds making investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in the value of the currency of one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk”.
• FUND OF FUNDS RISK. Funds that invest in Underlying Funds (including underlying GMO Funds) are exposed to the risk that the Underlying Funds will not perform as expected. The Funds are also indirectly exposed to all of the risks to which the Underlying Funds are exposed.
Because a Fund bears the fees and expenses of an Underlying Fund in which it invests, absent reimbursement, the Fund will incur additional expenses when investing in an Underlying Fund. In addition, total Fund expenses will increase if a Fund makes a new or further investment in Underlying Funds with higher fees or expenses than the average fees and expenses of the Underlying Funds then in the Fund’s portfolio.
In addition, to the extent a Fund invests in shares of underlying GMO Funds, it is indirectly subject to Large Shareholder Risk because those underlying GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk.”
Investments in ETFs involve the risk that an ETF’s performance may not track the performance of the index the ETF is designed to track. 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 in “Derivatives and Short Sales Risk.”
A Fund’s investments in one or more Underlying Funds could affect the amount, timing and character of its distributions and could cause the Fund to recognize taxable income in excess of the cash generated by such investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.
• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size, or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed, defaulted or other low quality debt securities, emerging country debt securities, securities of companies with smaller market capitalizations or smaller total float adjusted market capitalizations, or emerging market securities, it is subject to increased illiquidity risk. These types of investments can be difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. Illiquidity risk also may be greater in times of financial stress. For example, Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”) have experienced periods of greatly reduced liquidity during disruptions in fixed income markets, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when market prices decline generally.
A Fund may buy securities that are less liquid than those in its benchmark.
A Fund’s ability to use options as part of its investment program depends on the liquidity of the options market. In addition, that market may not be liquid when a Fund seeks to close out an option position. Also, the hours of trading for options on an exchange may not conform to the hours during which the securities held by a Fund are traded. To the extent that the options markets close before the markets for the underlying securities, significant price and rate movements can take place in the markets for underlying securities that are not immediately reflected in the options markets. If a Fund receives a redemption request and is unable to close out an option it has sold, the Fund may temporarily be leveraged in relation to its assets.
• LARGE SHAREHOLDER RISK. To the extent a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities, potentially at disadvantageous prices, to raise the cash needed to satisfy the redemption request. In
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addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may purchase or sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) 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, have adverse tax consequences for Fund shareholders. Additionally, redemptions by a large shareholder also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any) and may limit or prevent a Fund’s use of tax equalization. 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.
• 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 portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.
A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.
• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.
For many Funds, GMO often uses quantitative models as part of its investment process. GMO’s models are not necessarily predictive of future market events and use simplifying assumptions that can limit their effectiveness. In addition, the data on which the models are based is subject to limitations (e.g. inaccuracies, staleness) that could adversely affect a Fund’s performance. The Funds also run the risk that GMO’s assessment of an investment (including a company’s fundamental fair (or intrinsic) value) may be wrong.
There can be no assurance that key GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’s ability to achieve the Funds’ investment objectives.
The Funds also are subject to the risk of loss as a result of other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors could prevent a Fund from benefiting from potential investment gains or avoiding losses. In addition, a service provider may be unable to provide a net asset value (“NAV”) for a Fund or share class on a timely basis. GMO is not contractually liable to the Funds for losses associated with operational risk absent its willful misfeasance, bad faith, gross negligence, or reckless disregard of its contractual obligations to provide services to the Funds. Other Fund service providers also have contractual limitations on their liability to the Funds for losses resulting from their errors.
The Funds and their service providers (including GMO) are susceptible to cyber-attacks and technological malfunctions that may have effects that are similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and causing operational disruption. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release or misappropriation of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, reimbursement or other compensation costs, and additional compliance costs. While GMO has established business continuity plans and systems designed to prevent cyber-attacks, such plans and systems are subject to inherent limitations. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could result in material adverse consequences for such issuers, and may cause a Fund’s investment in such securities to lose value.
• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or other economic inputs (e.g., the marked decline in oil prices that began in late 2014) may have material and unexpected effects on both global securities markets and individual countries, regions, sectors,
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companies, or industries, which could significantly reduce the value of a Fund’s investments. Terrorism in the United States and around the world has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation (e.g., the manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trading practices, which could disrupt the orderly functioning of markets or reduce the value of investments traded in them, including investments of the Funds. Instances of fraud and other deceptive practices committed by senior management of certain companies in which a Fund invests may undermine GMO’s due diligence efforts with respect to such companies, and if such fraud is discovered, negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively impact a Fund’s investment program. Financial fraud also may impact the rates or indices underlying a Fund’s investments.
While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce the value of the Funds’ investments. Similarly, political events within the United States at times have resulted, and may in the future result, in a shutdown of government services, which could adversely 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. Uncertainty surrounding the sovereign debt of several European Union countries, as well as the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the United States and around the world. If a country changes its currency or leaves the European Union or if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also could adversely affect the Funds. War, terrorism, economic uncertainty, and related geopolitical events have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment, and other factors affecting the value of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis. To the extent a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.
• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market value of their holdings will decline. Market risks include:
Asset-Backed Securities — Investments in asset-backed securities not only are subject to all of the market risks described under “Market Risk – Fixed Income Investments,” but to other market risks as well.
Asset-backed securities are often exposed to greater risk of severe credit downgrades, illiquidity, and defaults than many other types of fixed income investments. These risks 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, sovereign or quasi-sovereign bonds, bank loans to corporations, or a combination of bonds and loans (commonly referred to as “collateralized debt obligations” or “collateralized loan obligations”) and by the fees payable to service providers.
As described under “Market Risk — Fixed Income Investments,” the market price of fixed income investments with complex structures, such as asset-backed securities, can decline due to a variety 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., the amount of underlying assets or other support available to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support and the credit quality of the credit-support provider, if any, and the reliability of various other service providers with access to the payment stream. A problem in any one of these factors can lead to a reduction in the payment stream GMO 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 expose a Fund to significantly greater declines in value due to defaults because sub-prime mortgage loans are typically made to less creditworthy borrowers and thus have a higher risk of default than conventional mortgage loans. The obligations of issuers (and obligors of asset-backed securities) also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. As of the date of this report, many asset-backed securities owned by the Funds that were once rated investment grade are now rated below investment grade. See “Credit Risk” for more information about credit risk.
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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 documentation for underlying assets also may affect the rights of holders of those 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, and the market price of the Fund’s investment may decrease.
In addition, the existence of insurance on an asset-backed security does not guarantee that the principal and interest will be paid because the insurer could default on its obligations.
The risk of investing in asset-backed securities has increased since 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” 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. The risks associated with asset-backed securities are particularly pronounced for Debt Opportunities Fund, which has invested a substantial portion of its assets in asset-backed securities, and for each Fund that has invested a substantial portion of its assets in Debt Opportunities Fund.
Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as poor performance by the company’s management or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may result from general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. Equities generally have significant price volatility, and their market prices can decline in a rapid or unpredictable manner. If a Fund purchases an equity for less than its fundamental fair (or intrinsic) value as determined by GMO, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment of the equity’s fundamental fair (or intrinsic) value. The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.
Fixed Income Investments — Funds that invest in fixed income securities (including bonds, notes, bills, synthetic debt instruments, and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to 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 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, and the market price of the Fund’s investment may 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 below investment grade securities are subject to greater sensitivity to interest rate and economic changes than higher rated bonds and can be more difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. See “Credit Risk” and “Illiquidity Risk” for more information about these risks.
A risk run by each Fund with 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. In addition, in managing some Funds, GMO may seek to evaluate potential investments in part by considering the volatility of interest rates. The value of a Fund’s investments may be significantly reduced if GMO’s assessment proves incorrect.
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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, are subject to additional interest rate risk.
The market price of inflation-indexed bonds (including TIPS) typically declines during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increases during periods of declining real interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities.
Generally, when interest rates on short term U.S. Treasury obligations equal or approach zero, a Fund that invests a substantial portion of its assets in U.S. Treasury obligations, such as U.S. Treasury Fund, will have a negative return unless GMO waives or reduces its management fees.
Fixed income securities denominated in foreign currencies also are subject to currency risk. See “Currency Risk”.
In response to government intervention, economic or market developments, or other factors, fixed income markets may experience periods of high volatility, reduced liquidity or both. During those periods, a Fund could have unusually high shareholder redemptions, requiring it to generate cash by selling securities when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value during such periods. In recent periods, central banks and governmental financial regulators, including the U.S. Federal Reserve, have maintained historically low interest rates by purchasing bonds. Steps to curtail or “taper” such activities and other actions by central banks or regulators (such as intervention in foreign currency markets or currency controls) could have a material adverse effect on the Funds.
• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of relatively few issuers. As a result, they may be subject to greater credit, market and other risks, and poor performance by a single issuer may have a greater impact on their performance, than if they were “diversified.”
All of the Funds (except U.S. Treasury Fund) are not diversified investment companies within the meaning of the 1940 Act. In addition, each of the Funds (other than U.S. Treasury Fund) may invest in shares of one or more other GMO Funds that are not diversified investment companies under the 1940 Act.
• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. Non-U.S. securities markets often include securities of only a small number of companies in a limited number of industries. As a result, the market prices of many of the securities traded on those markets fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to as much regulation as U.S. issuers, and the reporting, accounting, custody, and auditing standards to which those issuers are subject differ, in some cases significantly, from U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes and custodial costs. In addition, some jurisdictions may limit a Fund’s ability to profit from short-term trading (as defined in the relevant jurisdiction).
A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. A Fund’s decision to seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if eligible. The outcome of a Fund’s efforts to obtain a refund may be unpredictable. Accordingly, a refund is not typically reflected in a Fund’s net asset value until it is received or until the Fund determines there is a high likelihood the refund will be received.
Also, investing in non-U.S. securities exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, other government involvement in the economy or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises), adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.
In some non-U.S. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States with respect to brokers, custodians, clearing banks or other clearing agents, escrow
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agents, and issuers. Fluctuations in foreign currency exchange rates also affect the market value of a Fund’s non-U.S. investments (see “Currency Risk”).
The Funds need a license to invest directly in many non-U.S. securities markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license to invest in a particular market is terminated or suspended, to obtain exposure to that market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of GMO’s clients may preclude other clients, including a Fund, from obtaining a similar license, and this could limit the Fund’s investment opportunities. In addition, the activities of a GMO client could cause the suspension or revocation of a license and thereby limit the Funds’ investment opportunities.
Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of assets of issuers of securities in a Fund’s portfolio; greater governmental involvement in the economy or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises); 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 enforcing legal judgments; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries may be predominantly based on only a few industries or dependent on revenues from particular commodities.
• SMALL COMPANY RISK. Companies with smaller market capitalizations may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, may have inexperienced managers or may depend on a smaller group of key employees as compared to larger companies. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for securities of these companies.
Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and are taken in attempting to respond to adverse market, economic, political or other conditions.
The Funds (other than U.S. Treasury Fund and Emerging Country Debt Fund) may take temporary defensive positions if deemed prudent by GMO. Many of the Funds have previously taken temporary defensive positions and have exercised the right to honor redemption requests in-kind.
To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.
4. | Derivative financial instruments |
Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices that are used to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.
The Funds may use derivatives to gain long investment exposure to securities or other assets. In particular, the Funds may use swaps or other derivatives on an index, a single security, or a basket of securities to gain investment exposures (e.g., by selling protection under a credit default swap). The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.
The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). For example, a Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer or may use a bond futures contract to short the bond market of a particular country. A Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency. The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, and currencies without actually having to sell existing
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investments or make new direct investments. For instance, GMO may alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed versus variable rates and shorter duration versus longer duration exposure. In adjusting its investment exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.
Each of the Funds is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of their derivative positions, the Funds will typically have (or may have, in the case of Debt Opportunities Fund and U.S. Treasury Fund) gross investment exposures in excess of their net assets (i.e., the Funds will be (or may be, in the case of Debt Opportunities Fund and U.S. Treasury Fund) leveraged) and therefore are subject to heightened risk of loss. Each Fund’s (other than Debt Opportunities Fund and U.S. Treasury Fund) performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.
Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.
The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investment and other risks” above for further information.
For Funds that held derivatives during the period ended August 31, 2016, the following table shows how the Fund used these derivatives (marked with an X):
Type of Derivative and Objective for Use | Asset Allocation Bond Fund | Core Plus Bond Fund | Currency Hedged International Bond Fund | Debt Opportunities Fund | Emerging Country Debt Fund | Global Bond Fund | ||||||||||||||||||
Forward currency contracts | ||||||||||||||||||||||||
Adjust currency exchange rate risk | X | X | X | X | X | X | ||||||||||||||||||
Adjust exposure to foreign currencies | X | X | X | X | X | |||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||
Adjust exposure to certain markets | X | |||||||||||||||||||||||
Adjust interest rate exposure | X | X | X | |||||||||||||||||||||
Maintain the diversity and liquidity of the portfolio | X | X | X | |||||||||||||||||||||
Options (Purchased) | ||||||||||||||||||||||||
Adjust currency exchange rate risk | X | X | X | X | ||||||||||||||||||||
Adjust exposure to foreign currencies | X | X | X | X | ||||||||||||||||||||
Adjust interest rate exposure | X | X | X | X | ||||||||||||||||||||
Adjust exposure to equity markets | X | X | ||||||||||||||||||||||
Provide a measure of protection against default loss | X |
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Type of Derivative and Objective for Use | Asset Allocation Bond Fund | Core Plus Bond Fund | Currency Hedged International Bond Fund | Debt Opportunities Fund | Emerging Country Debt Fund | Global Bond Fund | ||||||||||||||||||
Options (Written) | ||||||||||||||||||||||||
Achieve exposure to a reference entity’s credit | X | |||||||||||||||||||||||
Adjust currency exchange rate risk | X | X | X | X | ||||||||||||||||||||
Adjust exposure to foreign currencies | X | X | X | X | ||||||||||||||||||||
Adjust interest rate exposure | X | X | X | X | ||||||||||||||||||||
Provide a measure or protection against default loss | X | |||||||||||||||||||||||
Options (Credit linked) | ||||||||||||||||||||||||
Achieve exposure to a reference entity’s credit | X | |||||||||||||||||||||||
Swap contracts | ||||||||||||||||||||||||
Achieve exposure to a reference entity’s credit | X | X | ||||||||||||||||||||||
Adjust exposure to certain markets | X | |||||||||||||||||||||||
Adjust interest rate exposure | X | X | X | X | X | X | ||||||||||||||||||
Provide a measure of protection against default loss | X | X | ||||||||||||||||||||||
Provide exposure to the Fund’s benchmark | X | X | ||||||||||||||||||||||
Adjust exposure to foreign currencies | X | |||||||||||||||||||||||
Rights and/or warrants | ||||||||||||||||||||||||
Achieve exposure to a reference commodity/economic statistic | X |
Forward currency contracts
The Funds (except U.S. Treasury Fund) may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market price of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked-to-market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was settled.
These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Futures contracts
The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
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Options
The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium, if any, which is disclosed in the Schedule of Investments, is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
The Funds may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
When an option contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statements of Operations.
For the period ended August 31, 2016, investment activity in options contracts written by the Funds was as follows:
Puts | Calls | |||||||||||||||||||||||
Principal Amount of Contracts | Number of Contracts | Premiums | Principal Amount of Contracts | Number of Contracts | Premiums | |||||||||||||||||||
Asset Allocation Bond Fund | ||||||||||||||||||||||||
Outstanding, beginning of period | 74,764,000 | — | $ | 4,092,476 | 2,793,243,600 | — | $ | 103,898,119 | ||||||||||||||||
Options written | — | — | — | 407,298,000 | — | 15,212,569 | ||||||||||||||||||
Options bought back | (37,382,000 | ) | — | (2,395,187 | ) | (3,200,541,600 | ) | — | (119,110,688 | ) | ||||||||||||||
Options expired | (37,382,000 | ) | — | (1,697,289 | ) | — | — | — | ||||||||||||||||
Options exercised | — | — | — | — | — | — | ||||||||||||||||||
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Outstanding, end of period | — | — | $ | — | — | — | $ | — | ||||||||||||||||
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Core Plus Bond Fund | ||||||||||||||||||||||||
Outstanding, beginning of period | — | — | $ | — | 40,895,000 | — | $ | 1,721,643 | ||||||||||||||||
Options written | — | — | — | — | — | — | ||||||||||||||||||
Options bought back | — | — | — | (40,895,000 | ) | — | (1,721,643 | ) | ||||||||||||||||
Options expired | — | — | — | — | — | — | ||||||||||||||||||
Options exercised | — | — | — | — | — | — | ||||||||||||||||||
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Outstanding, end of period | — | — | $ | — | — | — | $ | — | ||||||||||||||||
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Puts | Calls | |||||||||||||||||||||||
Principal Amount of Contracts | Number of Contracts | Premiums | Principal Amount of Contracts | Number of Contracts | Premiums | |||||||||||||||||||
Currency Hedged International Bond Fund | ||||||||||||||||||||||||
Outstanding, beginning of period | — | — | $ | — | 12,158,000 | — | $ | 510,173 | ||||||||||||||||
Options written | — | — | — | — | — | — | ||||||||||||||||||
Options bought back | — | — | — | (12,158,000 | ) | — | (510,173 | ) | ||||||||||||||||
Options expired | — | — | — | — | — | — | ||||||||||||||||||
Options exercised | — | — | — | — | — | — | ||||||||||||||||||
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Outstanding, end of period | — | — | $ | — | — | — | $ | — | ||||||||||||||||
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Debt Opportunities Fund | ||||||||||||||||||||||||
Outstanding, beginning of period | 110,108,000 | — | $ | 432,812 | — | — | $ | — | ||||||||||||||||
Options written | 659,242,000 | — | 1,871,815 | — | — | — | ||||||||||||||||||
Options bought back | (321,070,000 | ) | — | (1,521,797 | ) | — | — | — | ||||||||||||||||
Options expired | (149,508,000 | ) | — | (94,031 | ) | — | — | — | ||||||||||||||||
Options exercised | — | — | — | — | — | — | ||||||||||||||||||
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Outstanding, end of period | 298,772,000 | — | $ | 688,799 | — | — | $ | — | ||||||||||||||||
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Global Bond Fund | ||||||||||||||||||||||||
Outstanding, beginning of period | — | — | $ | — | 7,910,500 | — | $ | 332,142 | ||||||||||||||||
Options written | — | — | — | — | — | — | ||||||||||||||||||
Options bought back | — | — | — | (7,910,500 | ) | — | (332,142 | ) | ||||||||||||||||
Options expired | — | — | — | — | — | — | ||||||||||||||||||
Options exercised | — | — | — | — | — | — | ||||||||||||||||||
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In a credit linked option contract, one party makes payments to another party in exchange for the option to exercise a contract where the buyer has the right to receive a specified return if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities and a specified decrease in the value of the related collateral occurs. A writer of a credit linked option receives periodic payments in return for its obligation to pay an agreed-upon value to the other party if they exercise their option in the case of a credit event. If no credit event occurs, the seller has no payment obligation and will keep the premiums received.
Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Funds value OTC options using industry models and inputs provided by primary pricing sources.
Swap contracts
The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.
Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses in the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations.
Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.
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Inflation swaps involve the exchange of a floating rate linked to an index for a fixed rate interest payment with respect to a notional amount or principal.
Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.
In a credit default swap contract, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.
For credit default swap contracts on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap contracts on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.
Correlation swaps involve receiving a stream of payments based on the actual average correlation between or among the price movements of two or more underlying variables over a period of time, in exchange for making a regular stream of payments based on a fixed “strike” correlation level (or vice versa), where both payment streams are based on a notional amount. The underlying variables may include, without limitation, commodity prices, exchange rates, interest rates and stock indices.
Variance swap contracts involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.
Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.
The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Rights and warrants
The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
91
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.
The following is a summary of the valuations of derivative instruments categorized by risk exposure.
The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2016 and the Statements of Operations for the period ended August 31, 2016^:
The risks referenced in the tables below are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
Asset Allocation Bond Fund | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Investments, at value (purchased options) | $ | — | $ | — | $ | 1,230,876 | $ | — | $ | — | $ | 1,230,876 | ||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | 13,600,519 | — | — | 13,600,519 | ||||||||||||||||||
Unrealized Appreciation on Swap Contracts ¤ | — | — | — | 119,438,068 | — | 119,438,068 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | 14,831,395 | $ | 119,438,068 | $ | — | $ | 134,269,463 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | 14,831,395 | $ | 119,438,068 | $ | — | $ | 134,269,463 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | (12,579,950 | ) | $ | — | $ | — | $ | (12,579,950 | ) | ||||||||||
Unrealized Depreciation on Swap Contracts¤ | — | — | — | (99,659,659 | ) | — | (99,659,659 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | (12,579,950 | ) | $ | (99,659,659 | ) | $ | — | $ | (112,239,609 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | (12,579,950 | ) | $ | (99,659,659 | ) | $ | — | $ | (112,239,609 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | (20,349,237 | ) | $ | (47,609,826 | ) | $ | (95,241,198 | ) | $ | — | $ | (163,200,261 | ) | ||||||||
Forward Currency Contracts | — | — | 6,852,360 | — | — | 6,852,360 | ||||||||||||||||||
Futures Contracts | — | 6,339,183 | — | — | — | 6,339,183 | ||||||||||||||||||
Written Options | — | — | 2,242,588 | (34,066,064 | ) | — | (31,823,476 | ) | ||||||||||||||||
Swap Contracts | — | — | — | 114,976,075 | — | 114,976,075 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (14,010,054 | ) | $ | (38,514,878 | ) | $ | (14,331,187 | ) | $ | — | $ | (66,856,119 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on | ||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | 15,214,985 | $ | 42,649,417 | $ | 73,457,117 | $ | — | $ | 131,321,519 | ||||||||||||
Forward Currency Contracts | — | — | (5,175,857 | ) | — | — | (5,175,857 | ) | ||||||||||||||||
Futures Contracts | — | (12,973,233 | ) | — | — | — | (12,973,233 | ) | ||||||||||||||||
Written Options | — | — | (2,734,765 | ) | 42,127,001 | — | 39,392,236 | |||||||||||||||||
Swap Contracts | — | — | — | (116,197,468 | ) | — | (116,197,468 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 2,241,752 | $ | 34,738,795 | $ | (613,350 | ) | $ | — | $ | 36,367,197 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
92
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
Core Plus Bond Fund | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | $ | — | $ | — | $ | 240,067 | $ | — | $ | — | $ | 240,067 | ||||||||||||
Unrealized Appreciation on Futures Contracts ¤ | — | — | — | 809 | — | 809 | ||||||||||||||||||
Unrealized Appreciation on Swap Contracts ¤ | — | — | — | 73,245 | — | 73,245 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | 240,067 | $ | 74,054 | $ | — | $ | 314,121 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | 240,067 | $ | 74,054 | $ | — | $ | 314,121 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | (193,076 | ) | $ | — | $ | — | $ | (193,076 | ) | ||||||||||
Unrealized Depreciation on Futures Contracts ¤ | — | — | — | (22,570 | ) | — | (22,570 | ) | ||||||||||||||||
Unrealized Depreciation on Swap Contracts ¤ | — | — | — | (89,709 | ) | — | (89,709 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | (193,076 | ) | $ | (112,279 | ) | $ | — | $ | (305,355 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | (193,076 | ) | $ | (112,279 | ) | $ | — | $ | (305,355 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | (670,125 | ) | $ | (1,799,762 | ) | $ | — | $ | (2,469,887 | ) | |||||||||
Forward Currency Contracts | — | — | (642,309 | ) | — | — | (642,309 | ) | ||||||||||||||||
Futures Contracts | — | — | — | 15,840 | — | 15,840 | ||||||||||||||||||
Written Options | — | — | 61,707 | (453,688 | ) | — | (391,981 | ) | ||||||||||||||||
Swap Contracts | — | — | — | (3,077,123 | ) | — | (3,077,123 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | (1,250,727 | ) | $ | (5,314,733 | ) | $ | — | $ | (6,565,460 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on | ||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | 646,837 | $ | 1,950,839 | $ | — | $ | 2,597,676 | ||||||||||||
Forward Currency Contracts | — | — | 62,881 | — | — | 62,881 | ||||||||||||||||||
Futures Contracts | — | — | — | (27,291 | ) | — | (27,291 | ) | ||||||||||||||||
Written Options | — | — | (58,223 | ) | 807,027 | — | 748,804 | |||||||||||||||||
Swap Contracts | — | — | — | 6,637,300 | — | 6,637,300 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | 651,495 | $ | 9,367,875 | $ | — | $ | 10,019,370 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Currency Hedged International Bond Fund | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Investments, at value (purchased options) | $ | — | $ | — | $ | — | $ | 10,892 | $ | — | $ | 10,892 | ||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | 538,528 | — | — | 538,528 | ||||||||||||||||||
Unrealized Appreciation on Futures Contracts ¤ | — | — | — | 254,944 | — | 254,944 | ||||||||||||||||||
Unrealized Appreciation on Swap Contracts ¤ | — | — | — | 127,448 | — | 127,448 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | 538,528 | $ | 393,284 | $ | — | $ | 931,812 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | 538,528 | $ | 393,284 | $ | — | $ | 931,812 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | (60,571 | ) | $ | — | $ | — | $ | (60,571 | ) | ||||||||||
Unrealized Depreciation on Swap Contracts ¤ | — | — | — | (307,730 | ) | — | (307,730 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | (60,571 | ) | $ | (307,730 | ) | $ | — | $ | (368,301 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | (60,571 | ) | $ | (307,730 | ) | $ | — | $ | (368,301 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
93
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
Currency Hedged International Bond Fund (continued) | ||||||||||||||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | (198,159 | ) | $ | (516,024 | ) | $ | — | $ | (714,183 | ) | |||||||||
Forward Currency Contracts | — | — | (683,174 | ) | — | — | (683,174 | ) | ||||||||||||||||
Futures Contracts | — | — | — | 825,234 | — | 825,234 | ||||||||||||||||||
Written Options | — | — | 14,240 | (134,792 | ) | — | (120,552 | ) | ||||||||||||||||
Swap Contracts | — | — | — | 482,823 | — | 482,823 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | (867,093 | ) | $ | 657,241 | $ | — | $ | (209,852 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on | ||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | 194,466 | $ | 393,440 | $ | — | $ | 587,906 | ||||||||||||
Forward Currency Contracts | — | — | 545,915 | — | — | 545,915 | ||||||||||||||||||
Futures Contracts | — | — | — | (160,164 | ) | — | (160,164 | ) | ||||||||||||||||
Written Options | — | — | (17,313 | ) | 239,512 | — | 222,199 | |||||||||||||||||
Swap Contracts | — | — | — | (643,798 | ) | — | (643,798 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | 723,068 | $ | (171,010 | ) | $ | — | $ | 552,058 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Debt Opportunities Fund | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Investments, at value (purchased options) | $ | 1,572,423 | $ | — | $ | — | $ | — | $ | — | $ | 1,572,423 | ||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | 168,800 | — | — | 168,800 | ||||||||||||||||||
Unrealized Appreciation on Swap Contracts ¤ | 21,550,271 | — | — | 72,489 | — | 21,622,760 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 23,122,694 | $ | — | $ | 168,800 | $ | 72,489 | $ | — | $ | 23,363,983 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | 23,122,694 | $ | — | $ | 168,800 | $ | 72,489 | $ | — | $ | 23,363,983 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | (11,963 | ) | $ | — | $ | — | $ | (11,963 | ) | ||||||||||
Written Options, at value | (286,024 | ) | — | — | — | — | (286,024 | ) | ||||||||||||||||
Unrealized Depreciation on Swap Contracts ¤ | (17,644,862 | ) | — | — | (3,587,458 | ) | — | (21,232,320 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (17,930,886 | ) | $ | — | $ | (11,963 | ) | $ | (3,587,458 | ) | $ | — | $ | (21,530,307 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | (17,930,886 | ) | $ | — | $ | (11,963 | ) | $ | (3,587,458 | ) | $ | — | $ | (21,530,307 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Investments (purchased options) | $ | (391,598 | ) | $ | (112,791 | ) | $ | — | $ | — | $ | — | $ | (504,389 | ) | |||||||||
Forward Currency Contracts | — | — | (74,103 | ) | — | — | (74,103 | ) | ||||||||||||||||
Written Options | 916,594 | — | — | — | — | 916,594 | ||||||||||||||||||
Swap Contracts | (4,707,739 | ) | — | — | (4,539,487 | ) | — | (9,247,226 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (4,182,743 | ) | $ | (112,791 | ) | $ | (74,103 | ) | $ | (4,539,487 | ) | $ | — | $ | (8,909,124 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on | ||||||||||||||||||||||||
Investments (purchased options) | $ | (824,950 | ) | $ | 2,751 | $ | — | $ | — | $ | — | $ | (822,199 | ) | ||||||||||
Forward Currency Contracts | — | — | 123,960 | — | — | 123,960 | ||||||||||||||||||
Written Options | 80,943 | — | — | — | — | 80,943 | ||||||||||||||||||
Swap Contracts | (5,227,059 | ) | — | — | 3,602,942 | — | (1,624,117 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (5,971,066 | ) | $ | 2,751 | $ | 123,960 | $ | 3,602,942 | $ | — | $ | (2,241,413 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
94
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
Emerging Country Debt Fund | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Investments, at value (rights and/or warrants) | $ | — | $ | — | $ | — | $ | — | $ | 41,459,468 | $ | 41,459,468 | ||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | 877,729 | — | — | 877,729 | ||||||||||||||||||
Options | 417,636 | — | — | — | — | 417,636 | ||||||||||||||||||
Unrealized Appreciation on Swap Contracts ¤ | 29,923,316 | — | — | 4,183,776 | — | 34,107,092 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 30,340,952 | $ | — | $ | 877,729 | $ | 4,183,776 | $ | 41,459,468 | $ | 76,861,925 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | 41,459,468 | $ | 41,459,468 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | 30,340,952 | $ | — | $ | 877,729 | $ | 4,183,776 | $ | — | $ | 35,402,457 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Options | $ | (2,554,190 | ) | $ | — | $ | — | $ | — | $ | — | $ | (2,554,190 | ) | ||||||||||
Unrealized Depreciation on Swap Contracts ¤ | (70,770,256 | ) | — | — | (24,364,642 | ) | — | (95,134,898 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (73,324,446 | ) | $ | — | $ | — | $ | (24,364,642 | ) | $ | — | $ | (97,689,088 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | (73,324,446 | ) | $ | — | $ | — | $ | (24,364,642 | ) | $ | — | $ | (97,689,088 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | (334,147 | ) | $ | — | $ | — | $ | (334,147 | ) | ||||||||||
Swap Contracts | 2,079,099 | — | — | (22,389,847 | ) | — | (20,310,748 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 2,079,099 | $ | — | $ | (334,147 | ) | $ | (22,389,847 | ) | $ | — | $ | (20,644,895 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on | ||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | — | $ | — | $ | — | $ | (2,505,872 | ) | $ | (2,505,872 | ) | ||||||||||
Forward Currency Contracts | — | — | (1,157,807 | ) | — | — | (1,157,807 | ) | ||||||||||||||||
Options | 4,235,787 | — | — | — | — | 4,235,787 | ||||||||||||||||||
Swap Contracts | 19,363,045 | — | — | 2,846,497 | — | 22,209,542 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 23,598,832 | $ | — | $ | (1,157,807 | ) | $ | 2,846,497 | $ | (2,505,872 | ) | $ | 22,781,650 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Global Bond Fund | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Investments, at value (purchased options) | $ | — | $ | — | $ | — | $ | 7,043 | $ | — | $ | 7,043 | ||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | 196,518 | — | — | 196,518 | ||||||||||||||||||
Unrealized Appreciation on Futures Contracts ¤ | — | — | — | 39,768 | — | 39,768 | ||||||||||||||||||
Unrealized Appreciation on Swap Contracts ¤ | — | — | — | 55,250 | — | 55,250 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | 196,518 | $ | 102,061 | $ | — | $ | 298,579 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | 196,518 | $ | 102,061 | $ | — | $ | 298,579 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | (81,956 | ) | $ | — | $ | — | $ | (81,956 | ) | ||||||||||
Unrealized Depreciation on Futures Contracts ¤ | — | — | — | (18,463 | ) | — | (18,463 | ) | ||||||||||||||||
Unrealized Depreciation on Swap Contracts ¤ | — | — | — | (106,708 | ) | — | (106,708 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | (81,956 | ) | $ | (125,171 | ) | $ | — | $ | (207,127 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | (81,956 | ) | $ | (125,171 | ) | $ | — | $ | (207,127 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
95
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
Global Bond Fund (continued) | ||||||||||||||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | (128,524 | ) | $ | (336,169 | ) | $ | — | $ | (464,693 | ) | |||||||||
Forward Currency Contracts | — | — | 20,719 | — | — | 20,719 | ||||||||||||||||||
Futures Contracts | — | — | — | 393,218 | — | 393,218 | ||||||||||||||||||
Written Options | — | — | 8,922 | (87,045 | ) | — | (78,123 | ) | ||||||||||||||||
Swap Contracts | (10,079 | ) | — | — | 285,368 | — | 275,289 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (10,079 | ) | $ | — | $ | (98,883 | ) | $ | 255,372 | $ | — | $ | 146,410 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on | ||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | 125,795 | $ | 256,713 | $ | — | $ | 382,508 | ||||||||||||
Forward Currency Contracts | — | — | 124,819 | — | — | 124,819 | ||||||||||||||||||
Futures Contracts | — | — | — | (150,342 | ) | — | (150,342 | ) | ||||||||||||||||
Written Options | — | — | (11,225 | ) | 155,709 | — | 144,484 | |||||||||||||||||
Swap Contracts | — | — | — | (387,216 | ) | — | (387,216 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | 239,389 | $ | (125,136 | ) | $ | — | $ | 114,253 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
^ | Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables. |
¤ | The table includes cumulative appreciation/depreciation of futures and cleared swap contracts, if any, as reported in the Schedule of Investments. Period end variation margin on open futures and cleared swap contracts, if any, is reported within the Statements of Assets and Liabilities. |
Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of some OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and netting provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset. Additionally, the netting and close out provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Because the Funds do not presently have a legally enforceable right of set-off, these amounts have not been offset in the Statements of Assets and Liabilities, but have been presented separately in the table below. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. An estimate of the aggregate net payment, if any, that may need to be made by a Fund in such an event is represented by the unrealized amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.
For financial reporting purposes, on the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2016, if any.
96
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2016:
Asset Allocation Bond Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 1,750,032 | $ | — | $ | (462,466 | ) | $ | 1,287,566 | |||||||
Barclays Bank plc | 334,079 | — | (42,897 | ) | 291,182 | |||||||||||
Goldman Sachs International | 24,017,548 | (9,174,613 | ) | (14,842,935 | ) | — | * | |||||||||
JPMorgan Chase Bank, N.A. | 1,777,614 | — | 1,777,614 | — | ||||||||||||
Morgan Stanley & Co. International PLC | 2,225,388 | — | (11,481 | ) | 2,213,907 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 30,104,661 | $ | (9,174,613 | ) | $ | (13,582,165 | ) | $ | 3,792,655 | ||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Bank of America, N.A. | $ | 462,466 | $ | — | $ | 462,466 | $ | — | ||||||||
Barclays Bank plc | 42,897 | — | 42,897 | — | * | |||||||||||
Goldman Sachs International | 14,842,935 | — | 14,842,935 | — | ||||||||||||
JPMorgan Chase Bank, N.A. | 2,295,109 | (451,393 | ) | (1,777,614 | ) | 66,102 | ||||||||||
Morgan Stanley & Co. International PLC | 11,481 | — | 11,481 | — | * | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 17,654,888 | $ | (451,393 | ) | $ | 13,582,165 | $ | 66,102 | |||||||
|
|
|
|
|
|
|
| |||||||||
Core Plus Bond Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 27,032 | $ | — | $ | — | $ | 27,032 | ||||||||
Barclays Bank plc | 145 | — | 145 | — | ||||||||||||
Goldman Sachs International | 165,631 | — | 165,631 | — | ||||||||||||
Morgan Stanley & Co. International PLC | 47,259 | — | — | 47,259 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 240,067 | $ | — | $ | 165,776 | $ | 74,291 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Barclays Bank plc | $ | 328 | $ | — | $ | (145 | ) | $ | 183 | |||||||
Goldman Sachs International | 192,748 | (27,117 | ) | (165,631 | ) | — | * | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 193,076 | $ | (27,117 | ) | $ | (165,776 | ) | $ | 183 | ||||||
|
|
|
|
|
|
|
| |||||||||
97
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Currency Hedged International Bond Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 444,074 | $ | — | $ | (890 | ) | $ | 443,184 | |||||||
Barclays Bank plc | 1,014 | — | 1,014 | — | ||||||||||||
Goldman Sachs International | 50,358 | — | 50,358 | — | ||||||||||||
Morgan Stanley & Co. International PLC | 53,974 | (53,974 | ) | — | — | * | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 549,420 | $ | (53,974 | ) | $ | 50,482 | $ | 443,184 | |||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Bank of America, N.A. | $ | 890 | $ | — | $ | 890 | $ | — | ||||||||
Barclays Bank plc | 2,298 | — | (1,014 | ) | 1,284 | |||||||||||
Goldman Sachs International | 57,383 | — | (49,310 | ) | 8,073 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 60,571 | $ | — | $ | (49,434 | ) | $ | 9,357 | |||||||
|
|
|
|
|
|
|
| |||||||||
Debt Opportunities Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 8,589,101 | $ | (7,750,000 | ) | $ | (142,299 | ) | $ | 696,802 | ||||||
Citibank N.A. | 1,393,582 | (1,262,711 | ) | (15,353 | ) | 115,518 | ||||||||||
Credit Suisse International | 621,631 | (449,283 | ) | — | 172,348 | |||||||||||
Deutsche Bank AG | 2,343,438 | (1,550,000 | ) | (182,315 | ) | 611,123 | ||||||||||
Goldman Sachs International | 5,823,932 | (5,510,000 | ) | (255,101 | ) | 58,831 | ||||||||||
JPMorgan Chase Bank, N.A. | 3,367,043 | — | 3,367,043 | — | ||||||||||||
Morgan Stanley Capital Services LLC | 322,179 | (280,000 | ) | — | 42,179 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 22,460,906 | $ | (16,801,994 | ) | $ | 2,771,975 | $ | 1,696,801 | |||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Bank of America, N.A. | $ | 142,299 | $ | — | $ | 142,299 | $ | — | ||||||||
Citibank N.A. | 15,353 | — | 15,353 | — | ||||||||||||
Deutsche Bank AG | 182,315 | — | 182,315 | — | ||||||||||||
Goldman Sachs International | 255,101 | — | 255,101 | — | ||||||||||||
JPMorgan Chase Bank, N.A. | 14,367,192 | (11,000,149 | ) | (3,367,043 | ) | — | * | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 14,962,260 | $ | (11,000,149 | ) | $ | (2,771,975 | ) | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
98
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Emerging Country Debt Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 877,729 | $ | — | $ | — | $ | 877,729 | ||||||||
Deutsche Bank AG | 26,751,113 | — | 26,751,113 | — | ||||||||||||
Goldman Sachs International | 2,464,642 | — | 2,464,642 | — | ||||||||||||
JPMorgan Chase Bank, N.A. | 5,308,973 | — | 5,308,973 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 35,402,457 | $ | — | $ | 34,524,728 | $ | 877,729 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Deutsche Bank AG | $ | 37,158,811 | $ | (10,407,698 | ) | $ | (26,751,113 | ) | $ | — | * | |||||
Goldman Sachs International | 15,696,546 | (13,231,904 | ) | (2,464,642 | ) | — | * | |||||||||
JPMorgan Chase Bank, N.A. | 28,426,114 | (23,117,141 | ) | (5,308,973 | ) | — | * | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 81,281,471 | $ | (46,756,743 | ) | $ | (34,524,728 | ) | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Global Bond Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 72,328 | $ | — | $ | (22,615 | ) | $ | 49,713 | |||||||
Barclays Bank plc | 30,037 | — | — | 30,037 | ||||||||||||
Goldman Sachs International | 39,962 | — | 39,962 | — | ||||||||||||
Morgan Stanley & Co. International PLC | 61,234 | — | (3,597 | ) | 57,637 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 203,561 | $ | — | $ | 13,750 | $ | 137,387 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Bank of America, N.A. | $ | 22,615 | $ | — | $ | 22,615 | $ | — | ||||||||
Goldman Sachs International | 55,744 | (16,459 | ) | (39,285 | ) | — | * | |||||||||
Morgan Stanley & Co. International PLC | 3,597 | — | 3,597 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 81,956 | $ | (16,459 | ) | $ | (13,073 | ) | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
* | The actual collateral received and/or pledged is more than the amount shown. |
99
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
The average derivative activity of notional amounts (forward currency contracts, futures contracts, swap contracts), market values (rights and/or warrants), and principal amounts or number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2016:
Fund Name | Forward Currency Contracts ($) | Futures Contracts ($) | Swap Contracts ($) | Options (Principal) | Options (Contracts) | Rights and/or Warrants ($) | ||||||||||||||||||
Asset Allocation Bond Fund | 1,230,983,711 | 29,241,308 | 24,980,675,398 | 2,118,045,822 | 42,900 | — | ||||||||||||||||||
Core Plus Bond Fund | 38,231,937 | 7,260,614 | 201,248,870 | 17,859,925 | — | — | ||||||||||||||||||
Currency Hedged International Bond Fund | 48,413,134 | 18,125,367 | 171,309,031 | 14,399,148 | — | — | ||||||||||||||||||
Debt Opportunities Fund | 9,658,756 | — | 1,432,264,078 | 253,204,958 | 917 | — | ||||||||||||||||||
Emerging Country Debt Fund | 109,548,370 | — | 1,677,743,757 | 390,000,000 | — | 39,595,881 | ||||||||||||||||||
Global Bond Fund | 16,776,139 | 18,287,239 | 105,300,238 | 9,624,695 | — | — |
5. | Fees and other transactions with affiliates |
GMO receives a management fee for the services it provides to each Fund. Management fees are paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:
Asset Allocation Bond Fund | Core Plus Bond Fund | Currency Hedged International Bond Fund | Debt Opportunities Fund | Emerging Country Debt Fund | Global Bond Fund | U.S. Treasury Fund | ||||||||
Management Fee | 0.25% | 0.25% | 0.25% | 0.25% | 0.35% | 0.19% | 0.08% (currently 0.08% waived) |
In addition for certain Funds, each class of shares pays GMO a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Shareholder service fees are paid monthly equal to the percentage of each applicable Fund’s average daily net assets set forth in the table below:
Fund Name | Class III | Class IV | Class VI | |||||||||
Asset Allocation Bond Fund | 0.15% | 0.055% | ||||||||||
Core Plus Bond Fund | 0.15% | 0.10% | ||||||||||
Currency Hedged International Bond Fund | 0.15% | |||||||||||
Debt Opportunities Fund | 0.15% | * | 0.055% | |||||||||
Emerging Country Debt Fund | 0.15% | 0.10% | ||||||||||
Global Bond Fund | 0.15% |
* | Class is offered but has no shareholders as of August 31, 2016. |
100
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
For each Fund other than Global Bond Fund and Emerging Country Debt Fund, GMO has contractually agreed to reimburse each Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO. For Global Bond Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.06% of the Fund’s average daily net assets.
“Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.
For each Fund that pays GMO a management fee, GMO has contractually agreed to waive or reduce that fee, but not below zero, to the extent necessary to offset the management fees paid to GMO that are directly or indirectly borne by the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
For each Fund that charges a shareholder service fee, GMO has contractually agreed to waive or reduce the shareholder service fee charged to holders of each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly borne by the class of shares of the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
These contractual waivers and reimbursements will continue through at least June 30, 2017 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination, or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplemental support agreement.
In addition to the contractual waivers and reimbursements described above, GMO has voluntarily agreed to waive U.S. Treasury Fund’s entire management fee. GMO may change or terminate this waiver at any time.
The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 2016 is shown in the table below and is included in the Statements of Operations.
Fund Name | Independent Trustees and their legal counsel ($) | Agent unaffiliated with GMO ($) | ||||||||
Asset Allocation Bond Fund | 16,468 | 1,840 | ||||||||
Core Plus Bond Fund | 1,104 | 96 | ||||||||
Currency Hedged International Bond Fund | 489 | 4 | ||||||||
Debt Opportunities Fund | 12,638 | 1,288 | ||||||||
Emerging Country Debt Fund | 31,741 | 3,312 | ||||||||
Global Bond Fund | 267 | 3 | ||||||||
U.S. Treasury Fund | 30,213 | 3,220 |
Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2016 these indirect fees and expenses expressed as an annualized percentage of each 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 | ||||||||||||
Asset Allocation Bond Fund | 0.001% | 0.000% | 0.000% | 0.001% | ||||||||||||
Core Plus Bond Fund | 0.046% | 0.011% | 0.000% | 0.057% | ||||||||||||
Currency Hedged International Bond Fund | 0.032% | 0.008% | 0.000% | 0.040% | ||||||||||||
Debt Opportunities Fund | < 0.001% | 0.000% | 0.000% | < 0.001% | ||||||||||||
Emerging Country Debt Fund | 0.001% | < 0.001% | 0.000% | 0.001% | ||||||||||||
Global Bond Fund | 0.032% | 0.008% | 0.000% | 0.040% | ||||||||||||
U.S. Treasury Fund | 0.000% | 0.000% | 0.000% | 0.000% |
101
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to insure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the period ended August 31, 2016, the Funds did not engage in these transactions.
6. | Purchases and sales of securities |
Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, for the period ended August 31, 2016 are noted in the table below:
Purchases ($) | Purchases ($) | Sales ($) | Sales ($) | |||||||||||||
Fund Name | U.S. Government Securities | Investments (Non-U.S. Government Securities) | U.S. Government Securities | Investments (Non-U.S. Government Securities) | ||||||||||||
Asset Allocation Bond Fund | 939,754,554 | 296,218,940 | 658,761,672 | 986,691,558 | ||||||||||||
Core Plus Bond Fund | 34,912,039 | 87,140,221 | 60,547,568 | 240,102,674 | ||||||||||||
Currency Hedged International Bond Fund | — | 11,100,000 | — | 9,859,012 | ||||||||||||
Debt Opportunities Fund | — | 588,806,230 | 238,500 | 707,350,762 | ||||||||||||
Emerging Country Debt Fund | 160,222,922 | 394,569,150 | 81,260,209 | 612,724,556 | ||||||||||||
Global Bond Fund | — | 3,650,000 | 3,668,543 | 18,331,543 | ||||||||||||
U.S. Treasury Fund | — | — | — | — |
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, GMO 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 August 31, 2016 |
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 | Percentage of the shares of the Fund held by senior management of GMO and GMO Trust officers | Percentage of the Fund’s shares held by accounts for which GMO has investment discretion | ||||||||||||||||
Asset Allocation Bond Fund | 2 | ‡ | 64.75% | — | 99.99% | |||||||||||||||
Core Plus Bond Fund | 2 | 69.69% | 0.03% | 78.68% | ||||||||||||||||
Currency Hedged International Bond Fund | 1 | 93.98% | — | 93.98% | ||||||||||||||||
Debt Opportunities Fund | 3 | # | 75.51% | 0.39% | 99.35% | |||||||||||||||
Emerging Country Debt Fund | 1 | ‡ | 15.93% | 0.05% | 36.21% | |||||||||||||||
Global Bond Fund | 2 | 92.00% | — | — | ||||||||||||||||
U.S. Treasury Fund | 3 | # | 52.99% | 0.12% | 96.73% |
‡ | One of the shareholders is another fund of the Trust. |
# | Two of the shareholders are other funds of the Trust. |
102
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
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 the Funds’ shares were as follows:
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Asset Allocation Bond Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 1,303,549 | $ | 28,998,249 | 3,486,285 | $ | 80,557,647 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 1,170,894 | 26,485,630 | ||||||||||||
Shares repurchased | (84,061 | ) | (1,880,905 | ) | (4,741,953 | ) | (108,443,047 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,219,488 | $ | 27,117,344 | (84,774 | ) | $ | (1,399,770 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI: | ||||||||||||||||
Shares sold | 722,356 | $ | 16,112,184 | 13,228,053 | $ | 325,062,565 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 12,325,878 | 279,304,399 | ||||||||||||
Shares repurchased | (11,627,931 | ) | (259,141,765 | ) | (116,764,298 | ) | (2,651,040,441 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (10,905,575 | ) | $ | (243,029,581 | ) | (91,210,367 | ) | $ | (2,046,673,477 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Core Plus Bond Fund | ||||||||||||||||
Class III:# | ||||||||||||||||
Shares sold | 15,153 | $ | 325,215 | 304,701 | $ | 6,869,966 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 2,392 | 51,390 | 16,726 | 359,773 | ||||||||||||
Shares repurchased | (2,155,283 | ) | (46,133,363 | ) | (60,416 | ) | (1,303,505 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,137,738 | ) | $ | (45,756,758 | ) | 261,011 | $ | 5,926,234 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV:# | ||||||||||||||||
Shares sold | 440 | $ | 9,421 | 1,683,291 | $ | 36,361,097 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 90,634 | 1,949,546 | 425,557 | 9,179,274 | ||||||||||||
Shares repurchased | (7,348,310 | ) | (158,062,723 | ) | (218,356 | ) | (4,672,989 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (7,257,236 | ) | $ | (156,103,756 | ) | 1,890,492 | $ | 40,867,382 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Currency Hedged International Bond Fund | ||||||||||||||||
Class III:# | ||||||||||||||||
Shares sold | — | $ | — | 17,696 | $ | 489,111 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 228,727 | 5,839,409 | ||||||||||||
Shares repurchased | (31,335 | ) | (859,230 | ) | (360,751 | ) | (9,358,334 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (31,335 | ) | $ | (859,230 | ) | (342,981 | ) | $ | (3,029,814 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Debt Opportunities Fund | ||||||||||||||||
Class VI: | ||||||||||||||||
Shares sold | 2,292,130 | $ | 56,608,186 | 13,193,822 | (a) | $ | 327,076,787 | (a) | ||||||||
Shares issued to shareholders in reinvestment of distributions | 332,736 | 8,301,765 | 1,110,191 | 27,443,611 | ||||||||||||
Shares repurchased | (8,198,022 | ) | (204,771,424 | ) | (19,452,966 | )(b) | (482,695,222 | )(b) | ||||||||
Purchase premium fees | — | 166,266 | — | 934,339 | ||||||||||||
Redemption fees | — | 758,010 | — | 1,552,426 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (5,573,156 | ) | $ | (138,937,197 | ) | (5,148,953 | ) | $ | (125,688,059 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
103
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Emerging Country Debt Fund | ||||||||||||||||
Class III:# | ||||||||||||||||
Shares sold | 1,742,429 | $ | 51,115,680 | 8,465,858 | $ | 237,263,300 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 434,114 | 12,580,619 | 2,045,947 | 54,000,564 | ||||||||||||
Shares repurchased | (3,299,075 | ) | (94,816,105 | ) | (4,898,972 | ) | (133,227,759 | ) | ||||||||
Purchase premiums | — | 120,357 | — | 637,766 | ||||||||||||
Redemption fees | — | 649,867 | — | 671,195 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,122,532 | ) | $ | (30,349,582 | ) | 5,612,833 | $ | 159,345,066 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV:# | ||||||||||||||||
Shares sold | 4,822,640 | $ | 132,133,574 | 17,150,361 | (c) | $ | 456,814,315 | (c) | ||||||||
Shares issued to shareholders in reinvestment of distributions | 1,643,638 | 47,583,330 | 7,111,245 | 187,694,457 | ||||||||||||
Shares repurchased | (14,931,796 | ) | (419,722,225 | ) | (19,631,458 | )(d) | (531,254,001 | )(d) | ||||||||
Purchase premiums | — | 447,131 | — | 2,387,167 | ||||||||||||
Redemption fees | — | 2,396,779 | — | 2,420,364 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (8,465,518 | ) | $ | (237,161,411 | ) | 4,630,148 | $ | 118,062,302 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global Bond Fund | ||||||||||||||||
Class III:# | ||||||||||||||||
Shares sold | 4,019 | $ | 106,148 | 294,713 | $ | 7,420,392 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | — | — | ||||||||||||
Shares repurchased | (669,303 | ) | (18,330,551 | ) | (646,779 | ) | (16,267,203 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (665,284 | ) | $ | (18,224,403 | ) | (352,066 | ) | $ | (8,846,811 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
U.S. Treasury Fund | ||||||||||||||||
Core Class: | ||||||||||||||||
Shares sold | 202,210,887 | $ | 5,057,057,806 | 712,256,180 | $ | 17,806,570,597 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 252,542 | 6,315,628 | 237,043 | 5,925,398 | ||||||||||||
Shares repurchased | (245,412,219 | ) | (6,137,284,835 | ) | (640,904,840 | ) | (16,022,605,367 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (42,948,790 | ) | $ | (1,073,911,401 | ) | 71,588,383 | $ | 1,789,890,628 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) | 907,139 shares and $22,542,400 were purchased in-kind. |
(b) | 907,139 shares and $22,542,400 were redeemed in-kind. |
(c) | 5,969,578 shares and $53,279,922 were purchased in-kind. |
(d) | 2,832,882 shares and $26,147,504 were redeemed in-kind. |
# | Shares were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
104
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
10. | Investments in affiliated issuers |
A summary of the Funds’ transactions in the shares of other funds of GMO Trust during the period ended August 31, 2016 is set forth below:
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income* | Distributions of Realized Gains* | Value, end of period | ||||||||||||||||||
Asset Allocation Bond Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 651,060,734 | $ | 279,589,567 | $ | 753,000,000 | $ | 1,075,842 | $ | 13,727 | $ | 177,926,847 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Core Plus Bond Fund | ||||||||||||||||||||||||
GMO Debt Opportunities Fund, Class VI | $ | 27,023,784 | $ | 6,981,000 | $ | 20,626,000 | $ | 36,441 | $ | — | $ | 13,701,241 | ||||||||||||
GMO Emerging Country Debt Fund, Class IV | 13,799,995 | — | 11,132,000 | 57,617 | — | 3,636,709 | ||||||||||||||||||
GMO U.S. Treasury Fund | 113,058,921 | 69,900,000 | 166,400,000 | 129,639 | 1,558 | 16,600,545 | ||||||||||||||||||
GMO World Opportunity Overlay Fund | 26,355,861 | — | 26,691,126 | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Totals | $ | 180,238,561 | $ | 76,881,000 | $ | 224,849,126 | $ | 223,697 | $ | 1,558 | $ | 33,938,495 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Currency Hedged International Bond Fund | ||||||||||||||||||||||||
GMO Debt Opportunities Fund, Class VI | $ | 2,749,434 | $ | — | $ | — | $ | 15,420 | $ | — | $ | 2,834,480 | ||||||||||||
GMO Emerging Country Debt Fund, Class IV | 3,300,280 | — | — | 60,518 | — | 3,819,839 | ||||||||||||||||||
GMO U.S. Treasury Fund | 11,851,979 | 11,100,000 | 3,250,000 | 31,103 | 570 | 19,706,220 | ||||||||||||||||||
GMO World Opportunity Overlay Fund | 6,312,879 | — | 6,412,829 | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Totals | $ | 24,214,572 | $ | 11,100,000 | $ | 9,662,829 | $ | 107,041 | $ | 570 | $ | 26,360,539 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Debt Opportunities Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 77,841,625 | $ | 124,000,000 | $ | 144,000,000 | $ | 148,253 | $ | 1,083 | $ | 57,867,964 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Emerging Country Debt Fund | ||||||||||||||||||||||||
GMO Debt Opportunities Fund, Class VI | $ | 13,956,048 | $ | — | $ | — | $ | 78,272 | $ | — | $ | 14,387,737 | ||||||||||||
GMO U.S. Treasury Fund | 84,774,937 | 101,500,000 | 75,000,000 | 207,485 | 2,009 | 111,314,046 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Totals | $ | 98,730,985 | $ | 101,500,000 | $ | 75,000,000 | $ | 285,757 | $ | 2,009 | $ | 125,701,783 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Global Bond Fund | ||||||||||||||||||||||||
GMO Debt Opportunities Fund, Class VI | $ | 1,654,313 | $ | — | $ | 626,000 | $ | 9,278 | $ | — | $ | 1,075,478 | ||||||||||||
GMO Emerging Country Debt Fund, Class IV | 1,874,540 | — | 1,095,000 | 34,374 | — | 1,064,581 | ||||||||||||||||||
GMO U.S. Treasury Fund | 3,999,480 | 3,650,000 | 6,300,000 | 6,491 | 128 | 1,350,480 | ||||||||||||||||||
GMO World Opportunity Overlay Fund | 3,274,058 | — | 3,325,896 | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Totals | $ | 10,802,391 | $ | 3,650,000 | $ | 11,346,896 | $ | 50,143 | $ | 128 | $ | 3,490,539 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
* | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2016 through August 31, 2016. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2017. |
11. | Subsequent events |
On September 30, 2016, the Board of Trustees of GMO Trust approved: (1) a change in the name of GMO Debt Opportunities Fund (the “Fund”) to GMO Opportunistic Income Fund; (2) the elimination of the following “name policy” of the Fund: “Under normal circumstances, the Fund invests directly and indirectly (e.g., through other GMO Funds or derivatives) at least 80% of its assets in debt investments”; and (3) a change in the Fund’s investment objective from “positive total return” to “capital appreciation and current income.” Each of the changes will become effective as of January 1, 2017.
105
GMO Trust Funds
Board Review of Investment Management Agreements
August 31, 2016 (Unaudited)
GMO Asset Allocation Bond Fund
Approval of renewal of management agreement for GMO Asset Allocation Bond Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. The Trustees noted that the Fund is not a standalone investment and its investment strategies are intended to complement the strategies pursued by the Manager in other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management [and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that, while the Fund may invest in other GMO funds (“underlying GMO funds”) that charge advisory fees, the Manager offsets against fees payable by the Fund to the Manager the management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to a contractual expense reimbursement arrangement with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.
106
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2016 (Unaudited)
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Core Plus Bond Fund
Approval of renewal of management agreement for GMO Core Plus Bond Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that, while the Fund may invest in other GMO funds (“underlying GMO funds”) that charge advisory fees, the Manager offsets against fees payable by the Fund to the Manager the management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to a contractual expense reimbursement arrangement with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
107
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2016 (Unaudited)
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Currency Hedged International Bond Fund
Approval of renewal of management agreement for GMO Currency Hedged International Bond Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that, while the Fund may invest in other GMO funds (“underlying GMO funds”) that charge advisory fees, the Manager offsets against fees payable by the Fund to the Manager the management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to a contractual expense reimbursement arrangement with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the
108
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2016 (Unaudited)
Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Debt Opportunities Fund
Approval of renewal of management agreement for GMO Debt Opportunities Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the
109
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2016 (Unaudited)
Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Emerging Country Debt Fund
Approval of renewal of management agreement for GMO Emerging Country Debt Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its other pooled investment vehicles and/or separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and/or accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee structure.
110
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2016 (Unaudited)
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Global Bond Fund
Approval of renewal of management agreement for GMO Global Bond Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its other pooled investment vehicles and/or separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and/or accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that, while the Fund may invest in other GMO funds (“underlying
111
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2016 (Unaudited)
GMO funds”) that charge advisory fees, the Manager offsets against fees payable by the Fund to the Manager the management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to a contractual expense reimbursement arrangement with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO U.S. Treasury Fund
Approval of renewal of management agreement for GMO U.S. Treasury Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. The Trustees noted that the Fund is not a standalone investment and its investment strategies are intended to complement the strategies pursued by the Manager in other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management agreement. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO
112
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2016 (Unaudited)
funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
113
GMO Trust Funds
(A Series of GMO Trust)
August 31, 2016 (Unaudited)
Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2016.
As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and/or indirect management fees, direct and/or indirect shareholder services fees, 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, March 1, 2016 through August 31, 2016.
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 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 Funds 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 March 1, 2016 | Ending Account Value August 31, 2016 | Expenses Paid During the Period* | Beginning Account Value March 1, 2016 | Ending Account Value August 31, 2016 | Expenses Paid During the Period* | Annualized Expense Ratio | ||||||||||||||||||||||
Asset Allocation Bond Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,005.40 | $2.07 | $1,000.00 | $1,023.14 | $2.09 | 0.41% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,006.30 | $1.57 | $1,000.00 | $1,023.64 | $1.58 | 0.31% | |||||||||||||||||||||
Core Plus Bond Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,043.10 | $2.21 | $1,000.00 | $1,023.04 | $2.19 | 0.43% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,043.80 | $1.96 | $1,000.00 | $1,023.29 | $1.94 | 0.38% | |||||||||||||||||||||
Currency Hedged International Bond Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,057.40 | $2.28 | $1,000.00 | $1,022.99 | $2.24 | 0.44% | |||||||||||||||||||||
Debt Opportunities Fund |
| |||||||||||||||||||||||||||
Class VI | $1,000.00 | $1,036.60 | $1.59 | $1,000.00 | $1,023.64 | $1.58 | 0.31% | |||||||||||||||||||||
Emerging Country Debt Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,176.40 | $2.96 | $1,000.00 | $1,022.48 | $2.75 | 0.54% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,176.50 | $2.69 | $1,000.00 | $1,022.74 | $2.50 | 0.49% | |||||||||||||||||||||
Global Bond Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,058.10 | $2.44 | $1,000.00 | $1,022.84 | $2.40 | 0.47% | |||||||||||||||||||||
U.S. Treasury Fund |
| |||||||||||||||||||||||||||
Core | $1,000.00 | $1,002.60 | $0.00 | $1,000.00 | $1,025.21 | $0.00 | 0.00% |
* | Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2016, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year. |
114
GMO Trust
Semiannual Report
August 31, 2016
Foreign Fund
Foreign Small Companies Fund
International Small Companies 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 is available on GMO’s website at www.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. The Funds have a policy with respect to disclosure of portfolio holdings under which they may also make a complete schedule of portfolio holdings available on GMO’s website at www.gmo.com.
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 Trust, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.
An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus regarding specific principal risks for each Fund. General risks may include: market risk-equities, management and operational risk, non-U.S. investment risk, small company risk and derivatives risk.
The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.
1 | ||||
2 | ||||
4 | ||||
5 | ||||
8 | ||||
9 | ||||
12 | ||||
13 | ||||
14 | ||||
15 | ||||
17 | ||||
20 | ||||
45 | ||||
48 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 95.9 | % | ||
Mutual Funds | 2.1 | |||
Short-Term Investments | 1.8 | |||
Other | 0.2 | |||
|
| |||
100.0 | % | |||
|
| |||
Country Summary¤ | % of Investments | |||
United Kingdom | 25.2 | % | ||
Japan | 22.0 | |||
France | 13.0 | |||
Switzerland | 5.9 | |||
Germany | 5.5 | |||
Hong Kong | 4.6 | |||
Sweden | 3.4 | |||
Australia | 2.8 | |||
Italy | 2.3 | |||
Spain | 2.3 | |||
United States | 2.2 | |||
Belgium | 1.9 | |||
South Korea | 1.7 | |||
Other Emerging | 1.3 | † | ||
Taiwan | 1.3 | |||
China | 1.2 | |||
Netherlands | 1.2 | |||
Israel | 1.1 | |||
Finland | 1.1 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. |
¤ | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
Industry Group Summary | % of Equity Investments# | |||
Pharmaceuticals, Biotechnology & Life Sciences | 11.1 | % | ||
Food, Beverage & Tobacco | 10.3 | |||
Automobiles & Components | 8.8 | |||
Banks | 8.6 | |||
Capital Goods | 7.6 | |||
Utilities | 6.1 | |||
Insurance | 6.0 | |||
Technology Hardware & Equipment | 5.9 | |||
Real Estate | 5.6 | |||
Telecommunication Services | 5.6 | |||
Media | 4.2 | |||
Diversified Financials | 3.5 | |||
Energy | 3.3 | |||
Software & Services | 2.9 | |||
Materials | 2.7 | |||
Semiconductors & Semiconductor Equipment | 2.2 | |||
Commercial & Professional Services | 2.1 | |||
Household & Personal Products | 1.2 | |||
Retailing | 1.2 | |||
Transportation | 0.8 | |||
Consumer Services | 0.3 | |||
|
| |||
100.0 | % | |||
|
|
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
1
GMO Foreign Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 95.9% | ||||||||||
Australia — 2.8% | ||||||||||
575,755 | Incitec Pivot Ltd | 1,230,741 | ||||||||
175,860 | Link Administration Holdings Ltd * | 1,113,257 | ||||||||
416,839 | Scentre Group (REIT) | 1,555,094 | ||||||||
|
| |||||||||
Total Australia | 3,899,092 | |||||||||
|
| |||||||||
Belgium — 1.9% | ||||||||||
21,193 | Anheuser-Busch InBev SA/NV | 2,629,452 | ||||||||
|
| |||||||||
China — 1.2% | ||||||||||
138,142 | China Mobile Ltd | 1,701,775 | ||||||||
|
| |||||||||
Finland — 1.0% | ||||||||||
54,585 | Nokia Oyj | 307,676 | ||||||||
208,711 | Nokia Oyj | 1,177,216 | ||||||||
|
| |||||||||
Total Finland | 1,484,892 | |||||||||
|
| |||||||||
France — 12.8% | ||||||||||
56,744 | Altran Technologies SA * | 836,953 | ||||||||
19,864 | Arkema SA | 1,777,355 | ||||||||
62,791 | AXA SA | 1,321,579 | ||||||||
30,886 | BNP Paribas SA | 1,577,363 | ||||||||
19,686 | Capgemini SA | 1,923,510 | ||||||||
29,531 | Cie de Saint-Gobain | 1,296,302 | ||||||||
17,766 | Cie Generale des Etablissements Michelin | 1,893,791 | ||||||||
14,601 | Nexity SA * | 766,227 | ||||||||
55,622 | SCOR SE | 1,641,137 | ||||||||
100,764 | Technicolor SA (Registered) | 655,139 | ||||||||
26,012 | Technip SA | 1,540,303 | ||||||||
27,586 | Teleperformance | 2,862,079 | ||||||||
|
| |||||||||
Total France | 18,091,738 | |||||||||
|
| |||||||||
Germany — 5.4% | ||||||||||
14,854 | Allianz SE (Registered) | 2,208,151 | ||||||||
82,187 | Deutsche Telekom AG (Registered) | 1,370,989 | ||||||||
38,743 | Deutsche Wohnen AG | 1,454,398 | ||||||||
124,374 | E.ON SE | 1,143,796 | ||||||||
36,720 | Vonovia SE | 1,426,713 | ||||||||
|
| |||||||||
Total Germany | 7,604,047 | |||||||||
|
| |||||||||
Hong Kong — 4.5% | ||||||||||
636,500 | BOC Hong Kong Holdings Ltd | 2,222,260 | ||||||||
294,000 | Cheung Kong Property Holding Ltd | 2,061,073 | ||||||||
224,488 | Power Assets Holdings Ltd | 2,144,336 | ||||||||
|
| |||||||||
Total Hong Kong | 6,427,669 | |||||||||
|
| |||||||||
India — 0.6% | ||||||||||
109,300 | ICICI Bank Ltd Sponsored ADR | 838,331 | ||||||||
|
|
Shares | Description | Value ($) | ||||||||
Israel — 1.1% | ||||||||||
292,916 | Bank Hapoalim BM | 1,572,713 | ||||||||
|
| |||||||||
Italy — 2.3% | ||||||||||
130,435 | Eni SPA | 1,969,062 | ||||||||
1,387,941 | Telecom Italia SPA * | 1,259,824 | ||||||||
|
| |||||||||
Total Italy | 3,228,886 | |||||||||
|
| |||||||||
Japan — 21.6% | ||||||||||
453,915 | Aozora Bank Ltd | 1,607,661 | ||||||||
69,163 | Bridgestone Corp | 2,378,721 | ||||||||
73,183 | Brother Industries Ltd | 1,230,923 | ||||||||
95,900 | Fuji Heavy Industries Ltd | 3,817,032 | ||||||||
146,378 | Isuzu Motors Ltd | 1,688,291 | ||||||||
36,200 | Japan Tobacco Inc | 1,402,714 | ||||||||
101,980 | K’s Holdings Corp | 1,610,319 | ||||||||
45,200 | Kurita Water Industries Ltd | 1,030,785 | ||||||||
116,000 | Mitsubishi Electric Corp | 1,518,028 | ||||||||
278,644 | Mitsubishi UFJ Financial Group Inc | 1,534,918 | ||||||||
116,000 | NGK Spark Plug Co Ltd | 2,178,229 | ||||||||
506,105 | Nippon Electric Glass Co Ltd | 2,544,806 | ||||||||
73,249 | Nippon Telegraph & Telephone Corp | 3,220,690 | ||||||||
85,100 | Seiko Epson Corp | 1,631,004 | ||||||||
124,400 | Takeuchi Manufacturing Co Ltd | 1,802,612 | ||||||||
33,138 | Tokio Marine Holdings Inc | 1,305,297 | ||||||||
|
| |||||||||
Total Japan | 30,502,030 | |||||||||
|
| |||||||||
Mexico — 0.3% | ||||||||||
307,032 | Macquarie Mexico Real Estate Management SA de CV (REIT) * | 397,694 | ||||||||
|
| |||||||||
Netherlands — 1.1% | ||||||||||
129,907 | ING Groep NV | 1,625,831 | ||||||||
|
| |||||||||
South Africa — 0.4% | ||||||||||
19,789 | Anglo American Platinum Ltd * | 532,505 | ||||||||
|
| |||||||||
South Korea — 1.7% | ||||||||||
753 | Samsung Electronics Co Ltd | 1,092,203 | ||||||||
39,658 | SK Hynix Inc | 1,293,076 | ||||||||
|
| |||||||||
Total South Korea | 2,385,279 | |||||||||
|
| |||||||||
Spain — 2.2% | ||||||||||
68,579 | Endesa SA | 1,397,560 | ||||||||
264,757 | Iberdrola SA | 1,743,935 | ||||||||
|
| |||||||||
Total Spain | 3,141,495 | |||||||||
|
| |||||||||
Sweden — 3.4% | ||||||||||
65,841 | Investor AB – B Shares | 2,321,675 | ||||||||
54,977 | Svenska Cellulosa AB – Class B | 1,689,753 |
2 | See accompanying notes to the financial statements. |
GMO Foreign Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares / Par Value† | Description | Value ($) | ||||||||
Sweden — continued | ||||||||||
32,656 | Swedbank AB – A Shares | 751,109 | ||||||||
|
| |||||||||
Total Sweden | 4,762,537 | |||||||||
|
| |||||||||
Switzerland — 5.7% | ||||||||||
14,041 | Baloise Holding AG (Registered) | 1,672,820 | ||||||||
6,047 | Flughafen Zuerich AG (Registered) | 1,119,311 | ||||||||
18,464 | Roche Holding AG | 4,507,068 | ||||||||
56,089 | UBS Group AG (Registered) | 812,825 | ||||||||
|
| |||||||||
Total Switzerland | 8,112,024 | |||||||||
|
| |||||||||
Taiwan — 1.2% | ||||||||||
314,379 | Taiwan Semiconductor Manufacturing Co Ltd | 1,745,866 | ||||||||
|
| |||||||||
United Kingdom — 24.7% | ||||||||||
122,486 | AA Plc | 434,935 | ||||||||
62,674 | AstraZeneca Plc | 4,045,669 | ||||||||
95,954 | British American Tobacco Plc | 5,953,238 | ||||||||
62,593 | Euromoney Institutional Investor Plc | 861,813 | ||||||||
192,861 | GlaxoSmithKline Plc | 4,151,381 | ||||||||
276,962 | Howden Joinery Group Plc | 1,660,071 | ||||||||
75,437 | Imperial Brands Plc | 3,956,922 | ||||||||
105,716 | Informa Plc | 983,426 | ||||||||
106,699 | John Wood Group Plc | 975,563 | ||||||||
42,710 | Lonmin Plc * | 108,151 | ||||||||
974,678 | Melrose Industries Plc | 1,895,244 | ||||||||
133,716 | National Grid Plc | 1,840,200 | ||||||||
58,520 | Schroders Plc (Non Voting) | 1,599,584 | ||||||||
36,789 | Shire Plc | 2,297,531 | ||||||||
289,515 | Tyman Plc | 1,037,234 | ||||||||
136,893 | WPP Plc | 3,160,581 | ||||||||
|
| |||||||||
Total United Kingdom | 34,961,543 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $137,466,082) | 135,645,399 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 2.1% | ||||||||||
United States — 2.1% | ||||||||||
Affiliated Issuers | ||||||||||
119,374 | GMO U.S. Treasury Fund | 2,985,554 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $2,985,554) | 2,985,554 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 1.8% | ||||||||||
Time Deposits — 1.8% | ||||||||||
706,169 | Australia and New Zealand Banking Group Ltd. (Melbourne) Time Deposit, 0.15%, due 09/01/16 | 706,169 | ||||||||
706,169 | BNP Paribas (Paris) Time Deposit, 0.15%, due 09/01/16 | 706,169 |
Par Value† | Description | Value ($) | ||||||||
Time Deposits — continued | ||||||||||
EUR | 2,245 | Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.54)%, due 09/01/16 | 2,504 | |||||||
JPY | 4,011,163 | Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.29)%, due 09/01/16 | 38,768 | |||||||
364,902 | DnB Nor Bank (Oslo) Time Deposit, 0.15%, due 09/01/16 | 364,902 | ||||||||
AUD | 38,673 | National Australia Bank (Melbourne) Time Deposit, 0.69%, due 09/01/16 | 29,065 | |||||||
706,169 | Skandinaviska Enskilda Banken, AB (Stockholm) Time Deposit, 0.15%, due 09/01/16 | 706,169 | ||||||||
|
| |||||||||
Total Time Deposits | 2,553,746 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $2,553,746) | 2,553,746 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.8% (Cost $143,005,382) | 141,184,699 | |||||||||
Other Assets and Liabilities (net) — 0.2% | 308,365 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $141,493,064 | |||||||||
|
|
Notes to Schedule of Investments:
* | Non-income producing security. |
† | Denominated in U.S. Dollar, unless otherwise indicated. |
For a listing of definitions of acronyms and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 12.
See accompanying notes to the financial statements. | 3 |
GMO Foreign Small Companies Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 96.3 | % | ||
Mutual Funds | 2.4 | |||
Short-Term Investments | 1.1 | |||
Other | 0.2 | |||
|
| |||
100.0 | % | |||
|
| |||
Country Summary¤ | % of Investments | |||
Japan | 23.2 | % | ||
United Kingdom | 16.7 | |||
France | 14.1 | |||
Switzerland | 9.3 | |||
Australia | 6.2 | |||
Canada | 5.2 | |||
Other Emerging | 4.8 | † | ||
Germany | 4.7 | |||
Italy | 3.5 | |||
United States | 2.5 | |||
Other Developed | 2.3 | ‡ | ||
Sweden | 2.2 | |||
Finland | 1.7 | |||
Netherlands | 1.5 | |||
Mexico | 1.1 | |||
Israel | 1.0 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. |
¤ | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
Industry Group Summary | % of Equity Investments# | |||
Capital Goods | 15.2 | % | ||
Real Estate | 11.7 | |||
Software & Services | 7.6 | |||
Materials | 6.8 | |||
Diversified Financials | 6.3 | |||
Commercial & Professional Services | 6.2 | |||
Automobiles & Components | 6.1 | |||
Media | 5.1 | |||
Insurance | 4.7 | |||
Health Care Equipment & Services | 4.5 | |||
Retailing | 3.7 | |||
Consumer Durables & Apparel | 3.4 | |||
Banks | 2.8 | |||
Food, Beverage & Tobacco | 2.3 | |||
Consumer Services | 2.1 | |||
Technology Hardware & Equipment | 2.1 | |||
Energy | 1.8 | |||
Utilities | 1.4 | |||
Household & Personal Products | 1.4 | |||
Transportation | 1.1 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 1.0 | |||
Semiconductors & Semiconductor Equipment | 1.0 | |||
Commercial Services & Supplies | 0.9 | |||
Telecommunication Services | 0.8 | |||
|
| |||
100.0 | % | |||
|
|
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
4
GMO Foreign Small Companies Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 96.3% | ||||||||||
Argentina — 0.5% | ||||||||||
328,429 | Grupo Supervielle SA Sponsored ADR * | 4,617,712 | ||||||||
|
| |||||||||
Australia — 6.1% | ||||||||||
422,518 | Ansell Ltd | 7,121,649 | ||||||||
3,476,272 | Downer EDI Ltd | 12,778,580 | ||||||||
3,252,152 | Incitec Pivot Ltd | 6,951,841 | ||||||||
1,156,077 | Link Administration Holdings Ltd * | 7,318,384 | ||||||||
8,703,413 | Spotless Group Holdings Ltd | 6,889,151 | ||||||||
3,236,535 | Tox Free Solutions Ltd | 6,030,458 | ||||||||
4,408,849 | Vicinity Centres (REIT) | 10,955,705 | ||||||||
|
| |||||||||
Total Australia | 58,045,768 | |||||||||
|
| |||||||||
Brazil — 0.4% | ||||||||||
947,900 | FPC Par Corretora de Seguros SA | 3,816,023 | ||||||||
|
| |||||||||
Canada — 5.1% | ||||||||||
377,400 | ATS Automation Tooling Systems Inc * | 3,110,946 | ||||||||
690,000 | Canyon Services Group Inc | 2,515,022 | ||||||||
3,949,900 | Capstone Mining Corp * | 2,048,141 | ||||||||
688,500 | Computer Modelling Group Ltd | 4,898,357 | ||||||||
824,350 | DHX Media Ltd | 4,846,529 | ||||||||
329,600 | Dorel Industries Inc – Class B | 9,407,448 | ||||||||
417,700 | Medical Facilities Corp | 6,519,993 | ||||||||
915,400 | Precision Drilling Corp | 3,762,396 | ||||||||
1,033,000 | Superior Plus Corp | 9,255,567 | ||||||||
1,235,800 | Western Energy Services Corp | 2,591,467 | ||||||||
|
| |||||||||
Total Canada | 48,955,866 | |||||||||
|
| |||||||||
Finland — 1.7% | ||||||||||
345,841 | Tieto Oyj | 10,320,879 | ||||||||
269,989 | Tikkurila Oyj | 5,764,779 | ||||||||
|
| |||||||||
Total Finland | 16,085,658 | |||||||||
|
| |||||||||
France — 13.9% | ||||||||||
109,619 | Alten SA | 7,533,442 | ||||||||
632,803 | Altran Technologies SA * | 9,333,611 | ||||||||
116,119 | Arkema SA | 10,389,887 | ||||||||
75,467 | BioMerieux | 11,496,270 | ||||||||
114,222 | Cie Generale des Etablissements Michelin | 12,175,649 | ||||||||
415,290 | Elior Group | 9,537,880 | ||||||||
116,338 | Euler Hermes Group | 9,626,636 | ||||||||
173,830 | Nexity SA * | 9,122,202 | ||||||||
242,463 | SCOR SE | 7,153,916 | ||||||||
72,917 | Sopra Steria Group | 8,374,930 | ||||||||
1,718,235 | Technicolor SA (Registered) | 11,171,472 | ||||||||
161,743 | Teleperformance | 16,781,024 | ||||||||
152,821 | Vicat SA | 9,727,886 | ||||||||
|
| |||||||||
Total France | 132,424,805 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Germany — 4.6% | ||||||||||
112,482 | Gerresheimer AG | 9,339,293 | ||||||||
595,332 | Grand City Properties SA | 13,057,472 | ||||||||
121,670 | LEG Immobilien AG * | 11,860,458 | ||||||||
657,263 | TAG Immobilien AG | 9,445,581 | ||||||||
|
| |||||||||
Total Germany | 43,702,804 | |||||||||
|
| |||||||||
Hong Kong — 0.7% | ||||||||||
5,124,910 | HKT Trust & HKT Ltd – Class SS | 7,054,271 | ||||||||
|
| |||||||||
India — 0.4% | ||||||||||
773,024 | Dewan Housing Finance Corp Ltd | 3,340,401 | ||||||||
|
| |||||||||
Ireland — 0.6% | ||||||||||
64,461 | Kerry Group Plc – Class A | 5,481,389 | ||||||||
|
| |||||||||
Israel — 1.0% | ||||||||||
5,470,273 | Israel Discount Bank Ltd – Class A * | 9,878,562 | ||||||||
|
| |||||||||
Italy — 3.4% | ||||||||||
1,513,043 | Amplifon SPA | 15,914,722 | ||||||||
1,108,800 | Cerved Information Solutions SPA | 8,913,291 | ||||||||
879,100 | Enav SPA * | 3,647,803 | ||||||||
358,838 | ERG SPA | 4,003,622 | ||||||||
|
| |||||||||
Total Italy | 32,479,438 | |||||||||
|
| |||||||||
Japan — 22.9% | ||||||||||
1,083,700 | Anritsu Corp | 5,978,006 | ||||||||
251,100 | Aoyama Trading Co Ltd | 8,156,137 | ||||||||
1,173,000 | Calsonic Kansei Corp | 9,242,575 | ||||||||
254,300 | Century Tokyo Leasing Corp | 9,562,246 | ||||||||
408,000 | COMSYS Holdings Corp | 7,715,897 | ||||||||
238,500 | Fuji Seal International Inc | 9,066,765 | ||||||||
349,000 | Fujitsu General Ltd | 7,099,500 | ||||||||
555,900 | Fuji Oil Holdings Inc | 10,807,392 | ||||||||
173,000 | HIS Co Ltd | 4,352,514 | ||||||||
214,650 | Izumi Co Ltd | 8,430,756 | ||||||||
1,265 | Kenedix Office Investment Corp (REIT) | 7,632,459 | ||||||||
634,550 | Komori Corp | 7,810,867 | ||||||||
316,000 | Kurita Water Industries Ltd | 7,206,377 | ||||||||
1,361,600 | Mitsubishi UFJ Lease & Finance Co Ltd | 6,394,079 | ||||||||
3,400 | Mori Hills REIT Investment Corp | 5,143,385 | ||||||||
778,800 | NHK Spring Co Ltd | 7,351,203 | ||||||||
410,000 | Nippon Seiki Co Ltd | 7,749,070 | ||||||||
115,200 | Nippon Shokubai Co Ltd | 7,079,156 | ||||||||
1,304,000 | Nippon Soda Co Ltd | 6,589,486 | ||||||||
358,400 | Nitto Kogyo Corp | 4,467,621 | ||||||||
6,394 | Nomura Real Estate Master Fund Inc (REIT) | 10,557,427 | ||||||||
280,700 | OSG Corp | 5,211,312 | ||||||||
1,888,000 | Sanden Holdings Corp | 5,394,354 | ||||||||
980,300 | Sanwa Holdings Corp | 8,705,441 |
See accompanying notes to the financial statements. | 5 |
GMO Foreign Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
643,900 | Sumitomo Rubber Industries Ltd | 9,572,169 | ||||||||
316,800 | Suruga Bank Ltd | 7,547,471 | ||||||||
519,800 | Tadano Ltd | 5,168,426 | ||||||||
1,162,300 | Takara Leben Co Ltd | 7,586,035 | ||||||||
195,300 | TS Tech Co Ltd | 4,542,452 | ||||||||
813,000 | Tsubakimoto Chain Co | 6,149,879 | ||||||||
|
| |||||||||
Total Japan | 218,270,457 | |||||||||
|
| |||||||||
Mexico — 1.1% | ||||||||||
2,199,829 | Grupo Herdez SAB de CV | 4,706,905 | ||||||||
4,511,706 | Macquarie Mexico Real Estate Management SA de CV (REIT) * | 5,843,952 | ||||||||
|
| |||||||||
Total Mexico | 10,550,857 | |||||||||
|
| |||||||||
Netherlands — 1.5% | ||||||||||
357,252 | Aalberts Industries NV | 12,006,930 | ||||||||
80,855 | Flow Traders | 2,394,173 | ||||||||
|
| |||||||||
Total Netherlands | 14,401,103 | |||||||||
|
| |||||||||
New Zealand — 0.3% | ||||||||||
1,463,346 | Air New Zealand Ltd | 2,398,530 | ||||||||
|
| |||||||||
Russia — 0.8% | ||||||||||
3,883,380 | Moscow Exchange MICEX-RTS PJSC | 7,550,172 | ||||||||
|
| |||||||||
Singapore — 0.7% | ||||||||||
7,004,600 | Keppel DC REIT | 6,273,679 | ||||||||
|
| |||||||||
South Africa — 0.4% | ||||||||||
1,073,912 | Northam Platinum Ltd * | 3,537,398 | ||||||||
|
| |||||||||
South Korea — 0.5% | ||||||||||
637,024 | Macquarie Korea Infrastructure Fund | 5,020,970 | ||||||||
|
| |||||||||
Sweden — 2.2% | ||||||||||
282,473 | Loomis AB – Class B | 8,087,335 | ||||||||
406,088 | Svenska Cellulosa AB SCA – Class B | 12,481,373 | ||||||||
|
| |||||||||
Total Sweden | 20,568,708 | |||||||||
|
| |||||||||
Switzerland — 9.2% | ||||||||||
290,078 | Ascom Holding AG (Registered) | 5,311,719 | ||||||||
101,652 | Baloise Holding AG (Registered) | 12,110,640 | ||||||||
131,228 | Cembra Money Bank AG * | 9,507,134 | ||||||||
23,753 | dorma & kaba Holding AG – Class B (Registered) | 18,656,690 | ||||||||
108,175 | Dufry AG (Registered) * | 12,657,493 | ||||||||
20,277 | Flughafen Zuerich AG (Registered) | 3,753,309 | ||||||||
10,921 | Forbo Holdings AG (Registered) * | 15,009,064 | ||||||||
20,357 | Helvetia Holding AG (Registered) | 10,182,953 | ||||||||
|
| |||||||||
Total Switzerland | 87,189,002 | |||||||||
|
|
Shares / Par Value† | Description | Value ($) | ||||||||
Taiwan — 0.9% | ||||||||||
6,749,000 | Chipbond Technology Corp | 8,732,777 | ||||||||
|
| |||||||||
Thailand — 0.9% | ||||||||||
25,158,300 | Jasmine Broadband Internet Infrastructure Fund | 8,426,324 | ||||||||
|
| |||||||||
United Kingdom — 16.5% | ||||||||||
1,626,143 | AA Plc | 5,774,264 | ||||||||
1,915,429 | Auto Trader Group Plc | 9,383,209 | ||||||||
302,694 | Computacenter Plc | 2,875,126 | ||||||||
626,061 | Euromoney Institutional Investor Plc | 8,619,930 | ||||||||
1,117,125 | Great Portland Estates Plc (REIT) | 9,940,307 | ||||||||
2,279,328 | Howden Joinery Group Plc | 13,661,969 | ||||||||
1,399,759 | Informa Plc | 13,021,293 | ||||||||
848,724 | John Wood Group Plc | 7,759,996 | ||||||||
1,497,966 | Jupiter Fund Management Plc | 8,248,552 | ||||||||
618,902 | Lonmin Plc * | 1,567,191 | ||||||||
6,803,215 | Melrose Industries Plc | 13,228,731 | ||||||||
366,396 | Micro Focus International Plc | 9,620,778 | ||||||||
1,876,015 | Senior Plc | 5,814,265 | ||||||||
2,576,235 | Spirent Communications Plc | 2,871,675 | ||||||||
1,845,633 | SThree Plc | 5,984,556 | ||||||||
3,314,996 | Topps Tiles Plc | 4,999,181 | ||||||||
406,022 | Travis Perkins Plc | 8,878,000 | ||||||||
3,190,090 | Tyman Plc | 11,429,009 | ||||||||
2,782,683 | Wilmington Plc | 8,770,680 | ||||||||
706,870 | Xaar Plc | 4,667,174 | ||||||||
|
| |||||||||
Total United Kingdom | 157,115,886 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $849,963,838) | 915,918,560 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 2.4% | ||||||||||
United States — 2.4% | ||||||||||
Affiliated Issuers | ||||||||||
934,607 | GMO U.S. Treasury Fund | 23,374,533 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $23,371,605) | 23,374,533 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 1.1% | ||||||||||
Time Deposits — 1.1% | ||||||||||
GBP | 67,409 | BNP Paribas (Paris) Time Deposit, 0.05%, due 09/01/16 | 88,518 | |||||||
4,661,548 | BNP Paribas (Paris) Time Deposit, 0.15%, due 09/01/16 | 4,661,548 | ||||||||
556,804 | DnB Nor Bank (Oslo) Time Deposit, 0.15%, due 09/01/16 | 556,804 | ||||||||
SGD | 223,097 | HSBC Bank (Hong Kong) Time Deposit, 0.01%, due 09/01/16 | 163,747 |
6 | See accompanying notes to the financial statements. |
GMO Foreign Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares / Par Value† | Description | Value ($) | ||||||||
Time Deposits — continued | ||||||||||
AUD | 336,568 | National Australia Bank (Melbourne) Time Deposit, 0.69%, due 09/01/16 | 252,948 | |||||||
JPY | 9,336,608 | Sumitomo (Tokyo) Time Deposit, (0.29)%, due 09/01/16 | 90,239 | |||||||
4,659,581 | Sumitomo (Tokyo) Time Deposit, 0.15%, due 09/01/16 | 4,659,581 | ||||||||
|
| |||||||||
Total Time Deposits | 10,473,385 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $10,473,385) | 10,473,385 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.8% (Cost $883,808,828) | 949,766,478 | |||||||||
Other Assets and Liabilities (net) — 0.2% | 1,717,953 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $951,484,431 | |||||||||
|
|
Notes to Schedule of Investments:
* | Non-income producing security. |
† | Denominated in U.S. Dollar, unless otherwise indicated. |
For a listing of definitions of acronyms and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 12.
See accompanying notes to the financial statements. | 7 |
GMO International Small Companies Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 97.3 | % | ||
Short-Term Investments | 1.9 | |||
Mutual Funds | 0.7 | |||
Rights/Warrants | 0.0 | ^ | ||
Other | 0.1 | |||
|
| |||
100.0 | % | |||
|
|
Country Summary¤ | % of Investments | |||
Japan | 23.6 | % | ||
United Kingdom | 17.2 | |||
France | 14.3 | |||
Switzerland | 9.5 | |||
Australia | 6.3 | |||
Canada | 5.3 | |||
Other Emerging | 5.0 | † | ||
Germany | 4.7 | |||
Italy | 3.5 | |||
Other Developed | 2.9 | ‡ | ||
Sweden | 2.2 | |||
Finland | 1.7 | |||
Netherlands | 1.5 | |||
Mexico | 1.2 | |||
Israel | 1.1 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. |
¤ | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
^ | Rounds to 0.0%. |
Industry Group Summary | % of Equity Investments# | |||
Capital Goods | 15.3 | % | ||
Real Estate | 11.7 | |||
Software & Services | 7.6 | |||
Materials | 6.8 | |||
Diversified Financials | 6.3 | |||
Commercial & Professional Services | 6.2 | |||
Automobiles & Components | 6.1 | |||
Media | 5.1 | |||
Insurance | 4.7 | |||
Health Care Equipment & Services | 4.4 | |||
Retailing | 3.8 | |||
Consumer Durables & Apparel | 3.4 | |||
Banks | 2.7 | |||
Food, Beverage & Tobacco | 2.3 | |||
Consumer Services | 2.2 | |||
Technology Hardware & Equipment | 2.0 | |||
Energy | 1.9 | |||
Utilities | 1.4 | |||
Household & Personal Products | 1.4 | |||
Transportation | 1.1 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 1.0 | |||
Semiconductors & Semiconductor Equipment | 0.9 | |||
Commercial Services & Supplies | 0.9 | |||
Telecommunication Services | 0.8 | |||
|
| |||
100.0 | % | |||
|
|
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
8
GMO International Small Companies Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 97.3% | ||||||||||
Argentina — 0.5% | ||||||||||
80,369 | Grupo Supervielle SA Sponsored ADR * | 1,129,988 | ||||||||
|
| |||||||||
Australia — 6.1% | ||||||||||
103,478 | Ansell Ltd | 1,744,148 | ||||||||
872,389 | Downer EDI Ltd | 3,206,853 | ||||||||
797,141 | Incitec Pivot Ltd | 1,703,979 | ||||||||
283,132 | Link Administration Holdings Ltd * | 1,792,328 | ||||||||
2,131,537 | Spotless Group Holdings Ltd | 1,687,209 | ||||||||
792,654 | Tox Free Solutions Ltd | 1,476,909 | ||||||||
1,079,763 | Vicinity Centres (REIT) | 2,683,141 | ||||||||
|
| |||||||||
Total Australia | 14,294,567 | |||||||||
|
| |||||||||
Austria — 0.0% | ||||||||||
1,761,602 | Immofinanz AG (Entitlement Shares) * (a) | — | ||||||||
|
| |||||||||
Brazil — 0.4% | ||||||||||
232,100 | FPC Par Corretora de Seguros SA | 934,380 | ||||||||
|
| |||||||||
Canada — 5.2% | ||||||||||
94,800 | ATS Automation Tooling Systems Inc * | 781,446 | ||||||||
168,900 | Canyon Services Group Inc | 615,634 | ||||||||
967,100 | Capstone Mining Corp * | 501,470 | ||||||||
173,400 | Computer Modelling Group Ltd | 1,233,660 | ||||||||
207,100 | DHX Media Ltd | 1,217,585 | ||||||||
80,700 | Dorel Industries Inc – Class B | 2,303,341 | ||||||||
102,200 | Medical Facilities Corp | 1,595,267 | ||||||||
224,100 | Precision Drilling Corp | 921,076 | ||||||||
252,900 | Superior Plus Corp | 2,265,956 | ||||||||
302,600 | Western Energy Services Corp | 634,551 | ||||||||
|
| |||||||||
Total Canada | 12,069,986 | |||||||||
|
| |||||||||
China — 0.0% | ||||||||||
586,000 | China Shanshui Cement Group Ltd * (a) | — | ||||||||
|
| |||||||||
Finland — 1.7% | ||||||||||
84,699 | Tieto Oyj | 2,527,659 | ||||||||
66,122 | Tikkurila Oyj | 1,411,831 | ||||||||
|
| |||||||||
Total Finland | 3,939,490 | |||||||||
|
| |||||||||
France — 14.0% | ||||||||||
26,846 | Alten SA | 1,844,961 | ||||||||
154,978 | Altran Technologies SA | 2,285,868 | ||||||||
28,438 | Arkema SA | 2,544,524 | ||||||||
18,482 | BioMerieux | 2,815,456 | ||||||||
28,851 | Cie Generale des Etablissements Michelin | 3,075,411 | ||||||||
104,054 | Elior Group | 2,389,787 | ||||||||
28,553 | Euler Hermes Group | 2,362,679 | ||||||||
42,572 | Nexity SA * | 2,234,082 | ||||||||
60,861 | SCOR SE | 1,795,715 |
Shares | Description | Value ($) | ||||||||
France — continued | ||||||||||
17,857 | Sopra Steria Group | 2,050,978 | ||||||||
420,809 | Technicolor SA (Registered) | 2,735,980 | ||||||||
39,612 | Teleperformance | 4,109,791 | ||||||||
37,427 | Vicat SA | 2,382,432 | ||||||||
|
| |||||||||
Total France | 32,627,664 | |||||||||
|
| |||||||||
Germany — 4.6% | ||||||||||
28,188 | Gerresheimer AG | 2,340,428 | ||||||||
145,801 | Grand City Properties SA | 3,197,867 | ||||||||
29,797 | LEG Immobilien AG * | 2,904,628 | ||||||||
160,969 | TAG Immobilien AG | 2,313,298 | ||||||||
|
| |||||||||
Total Germany | 10,756,221 | |||||||||
|
| |||||||||
Hong Kong — 0.7% | ||||||||||
1,255,000 | HKT Trust & HKT Ltd – Class SS | 1,727,466 | ||||||||
|
| |||||||||
India — 0.4% | ||||||||||
194,178 | Dewan Housing Finance Corp Ltd | 839,084 | ||||||||
|
| |||||||||
Indonesia — 0.1% | ||||||||||
41,801,300 | Bakrie & Brothers Tbk PT * | 157,562 | ||||||||
|
| |||||||||
Ireland — 0.6% | ||||||||||
15,787 | Kerry Group Plc – Class A | 1,342,435 | ||||||||
|
| |||||||||
Israel — 1.0% | ||||||||||
1,339,714 | Israel Discount Bank Ltd – Class A * | 2,419,340 | ||||||||
|
| |||||||||
Italy — 3.4% | ||||||||||
370,556 | Amplifon SPA | 3,897,639 | ||||||||
271,554 | Cerved Information Solutions SPA | 2,182,936 | ||||||||
220,900 | Enav SPA * | 916,619 | ||||||||
87,882 | ERG SPA | 980,516 | ||||||||
|
| |||||||||
Total Italy | 7,977,710 | |||||||||
|
| |||||||||
Japan — 23.1% | ||||||||||
265,400 | Anritsu Corp | 1,464,024 | ||||||||
61,400 | Aoyama Trading Co Ltd | 1,994,372 | ||||||||
294,000 | Calsonic Kansei Corp | 2,316,553 | ||||||||
62,200 | Century Tokyo Leasing Corp | 2,338,859 | ||||||||
99,900 | COMSYS Holdings Corp | 1,889,260 | ||||||||
58,400 | Fuji Seal International Inc | 2,220,122 | ||||||||
85,000 | Fujitsu General Ltd | 1,729,105 | ||||||||
136,100 | Fuji Oil Holdings Inc | 2,645,954 | ||||||||
42,300 | HIS Co Ltd | 1,064,227 | ||||||||
54,400 | Izumi Co Ltd | 2,136,656 | ||||||||
320 | Kenedix Office Investment Corp (REIT) | 1,930,740 | ||||||||
155,400 | Komori Corp | 1,912,865 | ||||||||
77,300 | Kurita Water Industries Ltd | 1,762,826 | ||||||||
333,400 | Mitsubishi UFJ Lease & Finance Co Ltd | 1,565,648 | ||||||||
836 | Mori Hills REIT Investment Corp | 1,264,668 |
See accompanying notes to the financial statements. | 9 |
GMO International Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
190,700 | NHK Spring Co Ltd | 1,800,044 | ||||||||
100,000 | Nippon Seiki Co Ltd | 1,890,017 | ||||||||
28,200 | Nippon Shokubai Co Ltd | 1,732,918 | ||||||||
319,000 | Nippon Soda Co Ltd | 1,611,999 | ||||||||
90,100 | Nitto Kogyo Corp | 1,123,138 | ||||||||
1,576 | Nomura Real Estate Master Fund Inc (REIT) | 2,602,206 | ||||||||
70,600 | OSG Corp | 1,310,718 | ||||||||
462,000 | Sanden Holdings Corp | 1,320,017 | ||||||||
240,000 | Sanwa Holdings Corp | 2,131,292 | ||||||||
157,600 | Sumitomo Rubber Industries Ltd | 2,342,870 | ||||||||
77,500 | Suruga Bank Ltd | 1,846,367 | ||||||||
130,700 | Tadano Ltd | 1,299,564 | ||||||||
290,500 | Takara Leben Co Ltd | 1,896,019 | ||||||||
47,800 | TS Tech Co Ltd | 1,111,773 | ||||||||
199,000 | Tsubakimoto Chain Co | 1,505,321 | ||||||||
|
| |||||||||
Total Japan | 53,760,142 | |||||||||
|
| |||||||||
Mexico — 1.2% | ||||||||||
590,706 | Grupo Herdez SAB de CV | 1,263,915 | ||||||||
1,104,900 | Macquarie Mexico Real Estate Management SA de CV (REIT) * | 1,431,162 | ||||||||
|
| |||||||||
Total Mexico | 2,695,077 | |||||||||
|
| |||||||||
Netherlands — 1.5% | ||||||||||
87,493 | Aalberts Industries NV | 2,940,564 | ||||||||
19,802 | Flow Traders | 586,351 | ||||||||
|
| |||||||||
Total Netherlands | 3,526,915 | |||||||||
|
| |||||||||
New Zealand — 0.3% | ||||||||||
358,385 | Air New Zealand Ltd | 587,419 | ||||||||
|
| |||||||||
Russia — 0.8% | ||||||||||
976,270 | Moscow Exchange MICEX-RTS PJSC | 1,898,090 | ||||||||
|
| |||||||||
Singapore — 0.7% | ||||||||||
1,749,800 | Keppel DC REIT | 1,567,211 | ||||||||
|
| |||||||||
South Africa — 0.4% | ||||||||||
271,354 | Northam Platinum Ltd * | 893,823 | ||||||||
|
| |||||||||
South Korea — 0.5% | ||||||||||
156,012 | Macquarie Korea Infrastructure Fund | 1,229,674 | ||||||||
|
| |||||||||
Sweden — 2.2% | ||||||||||
69,179 | Loomis AB – Class B | 1,980,627 | ||||||||
102,153 | Svenska Cellulosa AB SCA – Class B | 3,139,738 | ||||||||
|
| |||||||||
Total Sweden | 5,120,365 | |||||||||
|
| |||||||||
Switzerland — 9.3% | ||||||||||
71,042 | Ascom Holding AG (Registered) | 1,300,875 | ||||||||
25,625 | Baloise Holding AG (Registered) | 3,052,917 |
Shares | Description | Value ($) | ||||||||
Switzerland — continued | ||||||||||
32,138 | Cembra Money Bank AG * | 2,328,316 | ||||||||
5,827 | dorma & kaba Holding AG – Class B (Registered) | 4,576,793 | ||||||||
27,292 | Dufry AG (Registered) * | 3,193,421 | ||||||||
4,966 | Flughafen Zuerich AG (Registered) | 919,215 | ||||||||
2,742 | Forbo Holdings AG (Registered) * | 3,768,414 | ||||||||
5,123 | Helvetia Holding AG (Registered) | 2,562,621 | ||||||||
|
| |||||||||
Total Switzerland | 21,702,572 | |||||||||
|
| |||||||||
Taiwan — 0.9% | ||||||||||
1,652,000 | Chipbond Technology Corp | 2,137,583 | ||||||||
430,000 | ProMOS Technologies Inc * (a) (b) | — | ||||||||
|
| |||||||||
Total Taiwan | 2,137,583 | |||||||||
|
| |||||||||
Thailand — 0.9% | ||||||||||
240,700 | Banpu Pcl (Foreign Registered) | 109,105 | ||||||||
6,161,400 | Jasmine Broadband Internet Infrastructure Fund | 2,063,651 | ||||||||
|
| |||||||||
Total Thailand | 2,172,756 | |||||||||
|
| |||||||||
United Kingdom — 16.8% | ||||||||||
408,920 | AA Plc | 1,452,032 | ||||||||
481,744 | Auto Trader Group Plc | 2,359,944 | ||||||||
74,131 | Computacenter Plc | 704,130 | ||||||||
153,327 | Euromoney Institutional Investor Plc | 2,111,085 | ||||||||
280,788 | Great Portland Estates Plc (REIT) | 2,498,484 | ||||||||
575,440 | Howden Joinery Group Plc | 3,449,106 | ||||||||
353,106 | Informa Plc | 3,284,777 | ||||||||
207,859 | John Wood Group Plc | 1,900,482 | ||||||||
378,100 | Jupiter Fund Management Plc | 2,082,008 | ||||||||
155,590 | Lonmin Plc * | 393,987 | ||||||||
1,674,632 | Melrose Industries Plc | 3,256,292 | ||||||||
91,652 | Micro Focus International Plc | 2,406,586 | ||||||||
459,451 | Senior Plc | 1,423,960 | ||||||||
630,941 | Spirent Communications Plc | 703,297 | ||||||||
463,192 | SThree Plc | 1,501,923 | ||||||||
811,869 | Topps Tiles Plc | 1,224,339 | ||||||||
102,117 | Travis Perkins Plc | 2,232,871 | ||||||||
804,401 | Tyman Plc | 2,881,896 | ||||||||
697,493 | Wilmington Plc | 2,198,414 | ||||||||
173,118 | Xaar Plc | 1,143,027 | ||||||||
|
| |||||||||
Total United Kingdom | 39,208,640 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $222,716,320) | 226,716,160 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.0% | ||||||||||
Thailand — 0.0% | ||||||||||
240,700 | Banpu PCL, Warrants, Expires 05/31/17 * | 69,535 | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $0) | 69,535 | |||||||||
|
|
10 | See accompanying notes to the financial statements. |
GMO International Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
MUTUAL FUNDS — 0.7% | ||||||||||
United States — 0.7% | ||||||||||
Affiliated Issuers | ||||||||||
60,004 | GMO U.S. Treasury Fund | 1,500,697 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $1,500,697) | 1,500,697 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 1.9% | ||||||||||
Time Deposits — 1.9% | ||||||||||
1,162,753 | Australia and New Zealand Banking Group Ltd. (Melbourne) Time Deposit, 0.15%, due 09/01/16 | 1,162,753 | ||||||||
GBP | 20,667 | BNP Paribas (Paris) Time Deposit, 0.05%, due 09/01/16 | 27,139 | |||||||
1,135,689 | BNP Paribas (Paris) Time Deposit, 0.15%, due 09/01/16 | 1,135,689 | ||||||||
SGD | 55,731 | HSBC Bank (Hong Kong) Time Deposit, 0.01%, due 09/01/16 | 40,905 | |||||||
AUD | 82,432 | National Australia Bank (Melbourne) Time Deposit, 0.69%, due 09/01/16 | 61,951 | |||||||
828,449 | Skandinaviska Enskilda Banken, AB (Stockholm) Time Deposit, 0.15%, due 09/01/16 | 828,449 | ||||||||
1,162,753 | Sumitomo (Tokyo) Time Deposit, 0.15%, due 09/01/16 | 1,162,753 | ||||||||
|
| |||||||||
Total Time Deposits | 4,419,639 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $4,419,639) | 4,419,639 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.9% (Cost $228,636,656) | 232,706,031 | |||||||||
Other Assets and Liabilities (net) — 0.1% | 344,678 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $233,050,709 | |||||||||
|
|
Notes to Schedule of Investments:
* | Non-income producing security. |
† | Denominated in U.S. Dollar, unless otherwise indicated. |
(a) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2). |
(b) | Bankrupt issuer. |
For a listing of definitions of acronyms and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 12.
See accompanying notes to the financial statements. | 11 |
GMO Trust Funds
Schedule of Investments — (Continued)
August 31, 2016 (Unaudited)
ADR - American Depositary Receipt
PJSC - Private Joint-Stock Company
REIT - Real Estate Investment Trust
Currency Abbreviations:
AUD - Australian Dollar
CAD - Canadian Dollar
EUR - Euro
GBP - British Pound
JPY - Japanese Yen
SGD - Singapore Dollar
USD - United States Dollar
12 | See accompanying notes to the financial statements. |
Statements of Assets and Liabilities — August 31, 2016 (Unaudited)
Foreign Fund | Foreign Small Companies Fund | International Small Companies Fund | ||||||||||
Assets: |
| |||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | 2,985,554 | $ | 23,374,533 | $ | 1,500,697 | ||||||
Investments in unaffiliated issuers, at value (Note 2)(b) | 138,199,145 | 926,391,945 | 231,205,334 | |||||||||
Foreign currency, at value (Note 2)(c) | 9,745 | 159,895 | 51,714 | |||||||||
Receivable for investments sold | — | — | 598 | |||||||||
Dividends receivable | 376,835 | 1,626,800 | 425,047 | |||||||||
Dividend withholding tax receivable | 160,839 | 601,355 | 133,446 | |||||||||
Foreign capital gains tax refund receivable | �� | 10,697 | 305,990 | 10,527 | ||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 24,376 | 55,077 | 69,866 | |||||||||
Miscellaneous receivable | 1,408 | 8,700 | 605 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 141,768,599 | 952,524,295 | 233,397,834 | |||||||||
|
|
|
|
|
| |||||||
Liabilities: | ||||||||||||
Payable for investments purchased | 1,408 | 8,694 | — | |||||||||
Accrued foreign capital gains tax payable (Note 2) | — | 137,667 | 44,987 | |||||||||
Payable to affiliate for (Note 5): | ||||||||||||
Management fee | 76,573 | 602,457 | 128,843 | |||||||||
Shareholder service fee | 23,114 | 101,103 | 32,210 | |||||||||
Payable to agents unaffiliated with GMO | 33 | 132 | 33 | |||||||||
Payable to Trustees and related expenses | 57 | 542 | 199 | |||||||||
Accrued expenses | 174,350 | 189,269 | 140,853 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 275,535 | 1,039,864 | 347,125 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 141,493,064 | $ | 951,484,431 | $ | 233,050,709 | ||||||
|
|
|
|
|
| |||||||
Net assets consist of: | ||||||||||||
Paid-in capital | $ | 170,603,742 | $ | 909,079,949 | $ | 245,713,401 | ||||||
Accumulated undistributed net investment income | 2,021,588 | 3,702,913 | 2,774,394 | |||||||||
Accumulated net realized gain (loss) | (29,269,262 | ) | (27,046,714 | ) | (19,429,151 | ) | ||||||
Net unrealized appreciation (depreciation) | (1,863,004 | ) | 65,748,283 | 3,992,065 | ||||||||
|
|
|
|
|
| |||||||
$ | 141,493,064 | $ | 951,484,431 | $ | 233,050,709 | |||||||
|
|
|
|
|
| |||||||
Net assets attributable to: | ||||||||||||
Class II | $ | 66,013,375 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
Class III | $ | 71,938,732 | $ | 332,503,446 | $ | 233,050,709 | ||||||
|
|
|
|
|
| |||||||
Class IV | $ | 3,540,957 | $ | 618,980,985 | $ | — | ||||||
|
|
|
|
|
| |||||||
Shares outstanding: | ||||||||||||
Class II | 5,831,229 | — | — | |||||||||
|
|
|
|
|
| |||||||
Class III | 6,310,718 | 23,301,499 | 10,704,004 | |||||||||
|
|
|
|
|
| |||||||
Class IV | 302,009 | 43,474,888 | — | |||||||||
|
|
|
|
|
| |||||||
Net asset value per share: | ||||||||||||
Class II | $ | 11.32 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
Class III | $ | 11.40 | $ | 14.27 | $ | 21.77 | ||||||
|
|
|
|
|
| |||||||
Class IV | $ | 11.72 | $ | 14.24 | $ | — | ||||||
|
|
|
|
|
| |||||||
(a) Cost of investments – affiliated issuers: | $ | 2,985,554 | $ | 23,371,605 | $ | 1,500,697 | ||||||
(b) Cost of investments – unaffiliated issuers: | $ | 140,019,828 | $ | 860,437,223 | $ | 227,135,959 | ||||||
(c) Cost of foreign currency: | $ | 9,737 | $ | 160,193 | $ | 51,644 |
See accompanying notes to the financial statements. | 13 |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2016 (Unaudited)
Foreign Fund | Foreign Small Companies Fund | International Small Companies Fund | ||||||||||
Investment Income: |
| |||||||||||
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a) | $ | 3,364,455 | $ | 17,859,206 | $ | 4,496,853 | ||||||
Dividends from affiliated issuers (Note 10) | 9,003 | 61,225 | 9,902 | |||||||||
Interest | 1,574 | 8,194 | 1,127 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 3,375,032 | 17,928,625 | 4,507,882 | |||||||||
|
|
|
|
|
| |||||||
Expenses: |
| |||||||||||
Management fee (Note 5) | 470,993 | 3,336,852 | 751,237 | |||||||||
Shareholder service fee – Class II (Note 5) | 76,296 | — | — | |||||||||
Shareholder service fee – Class III (Note 5) | 63,098 | 250,458 | 187,809 | |||||||||
Shareholder service fee – Class IV (Note 5) | 1,578 | 309,721 | — | |||||||||
Audit and tax fees | 51,888 | 48,208 | 48,484 | |||||||||
Custodian and fund accounting agent fees | 77,080 | 251,712 | 150,256 | |||||||||
Legal fees | 4,784 | 18,860 | 9,568 | |||||||||
Registration fees | 11,444 | 1,840 | 2,024 | |||||||||
Transfer agent fees | 24,104 | 18,492 | 12,788 | |||||||||
Trustees’ fees and related expenses (Note 5) | 1,104 | 7,322 | 1,932 | |||||||||
Miscellaneous | 4,416 | 8,648 | 18,400 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 786,785 | 4,252,113 | 1,182,498 | |||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (155,040 | ) | (325,864 | ) | (222,292 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 631,745 | 3,926,249 | 960,206 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 2,743,287 | 14,002,376 | 3,547,676 | |||||||||
|
|
|
|
|
| |||||||
Realized and unrealized gain (loss): |
| |||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments in unaffiliated issuers | (3,069,578 | ) | (5,532,338 | ) | (13,206,664 | ) | ||||||
Investments in affiliated issuers | 2,379 | 18,508 | 60 | |||||||||
Realized gain distributions from affiliated issuers (Note 10) | 175 | 747 | 176 | |||||||||
Foreign currency, forward contracts and foreign currency related transactions | (30,898 | ) | 68,295 | (121,192 | ) | |||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | (3,097,922 | ) | (5,444,788 | ) | (13,327,620 | ) | ||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||
Investments in unaffiliated issuers | 13,574,746 | 87,143,332 | 34,435,117 | |||||||||
Investments in affiliated issuers | (389 | ) | (1,585 | ) | (531 | ) | ||||||
Foreign currency, forward contracts and foreign currency related transactions | 17,280 | (15,499 | ) | (9,095 | ) | |||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) | 13,591,637 | 87,126,248 | 34,425,491 | |||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) | 10,493,715 | 81,681,460 | 21,097,871 | |||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | 13,237,002 | $ | 95,683,836 | $ | 24,645,547 | ||||||
|
|
|
|
|
| |||||||
(a) Withholding tax: | $ | 391,671 | $ | 1,618,969 | $ | 396,754 |
14 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets
Foreign Fund | Foreign Small Companies Fund | |||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 2,743,287 | $ | 6,165,918 | $ | 14,002,376 | $ | 18,765,230 | ||||||||
Net realized gain (loss) | (3,097,922 | ) | (763,887 | ) | (5,444,788 | ) | 19,398,085 | |||||||||
Change in net unrealized appreciation (depreciation) | 13,591,637 | (23,646,550 | ) | 87,126,248 | (151,990,302 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 13,237,002 | (18,244,519 | ) | 95,683,836 | (113,826,987 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class II | (385,839 | ) | (3,078,855 | ) | — | — | ||||||||||
Class III | (561,375 | ) | (3,291,815 | ) | (1,073,204 | ) | (5,563,761 | ) | ||||||||
Class IV | (22,597 | ) | (786,711 | ) | (2,101,006 | ) | (13,945,012 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (969,811 | ) | (7,157,381 | ) | (3,174,210 | ) | (19,508,773 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains | ||||||||||||||||
Class III | — | — | — | (9,686,581 | ) | |||||||||||
Class IV | — | — | — | (23,728,618 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | — | — | — | (33,415,199 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class II | (10,505,092 | ) | (25,438,691 | ) | — | — | ||||||||||
Class III | (16,093,011 | ) | (59,807,577 | ) | (16,136,261 | ) | 11,586,510 | |||||||||
Class IV | 549,910 | (19,372,725 | ) | (48,194,912 | ) | (36,885,233 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (26,048,193 | ) | (104,618,993 | ) | (64,331,173 | ) | (25,298,723 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class III | — | — | 121,147 | 115,825 | ||||||||||||
Class IV | — | — | 217,002 | 273,609 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | — | — | 338,149 | 389,434 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (26,048,193 | ) | — | (63,993,024 | ) | (24,909,289 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (13,781,002 | ) | (130,020,893 | ) | 28,516,602 | (191,660,248 | ) | |||||||||
Net assets: | ||||||||||||||||
Beginning of period | 155,274,066 | 285,294,959 | 922,967,829 | 1,114,628,077 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 141,493,064 | $ | 155,274,066 | $ | 951,484,431 | $ | 922,967,829 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income | $ | 2,021,588 | $ | 248,112 | $ | 3,702,913 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions in excess of net investment income | $ | — | $ | — | $ | — | $ | (7,125,253 | ) | |||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 15 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
International Small Companies Fund | ||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||
Increase (decrease) in net assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 3,547,676 | $ | 5,596,802 | ||||
Net realized gain (loss) | (13,327,620 | ) | (1,482,496 | ) | ||||
Change in net unrealized appreciation (depreciation) | 34,425,491 | (37,006,716 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | 24,645,547 | (32,892,410 | ) | |||||
|
|
|
| |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Class III | (316,268 | ) | (6,197,734 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (316,268 | ) | (6,197,734 | ) | ||||
|
|
|
| |||||
Net share transactions (Note 9): | ||||||||
Class III | (37,325,389 | ) | 1,195,773 | |||||
|
|
|
| |||||
Increase (decrease) in net assets resulting from net share transactions | (37,325,389 | ) | 1,195,773 | |||||
|
|
|
| |||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||
Class III | 312,771 | 182,910 | ||||||
|
|
|
| |||||
Increase in net assets resulting from purchase premiums and redemption fees | 312,771 | 182,910 | ||||||
|
|
|
| |||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (37,012,618 | ) | 1,378,683 | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | (12,683,339 | ) | (37,711,461 | ) | ||||
Net assets: | ||||||||
Beginning of period | 245,734,048 | 283,445,509 | ||||||
|
|
|
| |||||
End of period | $ | 233,050,709 | $ | 245,734,048 | ||||
|
|
|
| |||||
Accumulated undistributed net investment income | $ | 2,774,394 | $ | — | ||||
|
|
|
| |||||
Distributions in excess of net investment income | $ | — | $ | (457,014 | ) | |||
|
|
|
|
16 | See accompanying notes to the financial statements. |
GMO Trust Funds
(For a share outstanding throughout each period)
FOREIGN FUND
Class II Shares | Class III Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.45 | $ | 12.12 | $ | 13.58 | $ | 11.57 | $ | 11.21 | $ | 12.88 | $ | 10.52 | $ | 12.20 | $ | 13.66 | $ | 11.64 | $ | 11.27 | $ | 12.95 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.19^ | 0.30 | 0.26 | 0.30 | 0.29 | 0.31 | 0.19^ | 0.32 | 0.26 | 0.32 | 0.30 | 0.34 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.75 | (1.51 | ) | (0.93 | ) | 2.04 | 0.43 | (1.43 | ) | 0.76 | (1.53 | ) | (0.92 | ) | 2.04 | 0.44 | (1.47 | ) | ||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total from investment operations | 0.94 | (1.21 | ) | (0.67 | ) | 2.34 | 0.72 | (1.12 | ) | 0.95 | (1.21 | ) | (0.66 | ) | 2.36 | 0.74 | (1.13 | ) | ||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.07 | ) | (0.46 | ) | (0.39 | ) | (0.33 | ) | (0.36 | ) | (0.55 | ) | (0.07 | ) | (0.47 | ) | (0.40 | ) | (0.34 | ) | (0.37 | ) | (0.55 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | — | — | (0.40 | ) | — | — | — | — | — | (0.40 | ) | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||
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Total distributions | (0.07 | ) | (0.46 | ) | (0.79 | ) | (0.33 | ) | (0.36 | ) | (0.55 | ) | (0.07 | ) | (0.47 | ) | (0.80 | ) | (0.34 | ) | (0.37 | ) | (0.55 | ) | ||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 11.32 | $ | 10.45 | $ | 12.12 | $ | 13.58 | $ | 11.57 | $ | 11.21 | $ | 11.40 | $ | 10.52 | $ | 12.20 | $ | 13.66 | $ | 11.64 | $ | 11.27 | ||||||||||||||||||||||||||||||||||||
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Total Return(b) | 9.01 | %** | (10.30 | )% | (4.75 | )% | 20.39 | % | 6.65 | % | (8.38 | )% | 9.10 | %** | (10.29 | )% | (4.64 | )% | 20.42 | % | 6.75 | % | (8.36 | )% | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 66,013 | $ | 70,865 | $ | 108,343 | $ | 165,028 | $ | 217,052 | $ | 259,270 | $ | 71,939 | $ | 81,645 | $ | 152,047 | $ | 197,489 | $ | 222,262 | $ | 403,157 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets | 0.85 | %(c)* | 0.83 | %(c) | 0.83 | %(c) | 0.83 | %(c)(d) | 0.84 | %(c)(d) | 0.82 | %(d) | 0.78 | %(c)* | 0.76 | %(c) | 0.76 | %(c) | 0.76 | %(c)(d) | 0.77 | %(c)(d) | 0.75 | %(d) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 3.36 | %*^ | 2.54 | % | 2.04 | % | 2.37 | % | 2.65 | % | 2.71 | % | 3.35 | %*^ | 2.61 | % | 2.02 | % | 2.53 | % | 2.78 | % | 2.89 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 33 | %(e)** | 113 | %(f) | 113 | % | 98 | % | 91 | % | 58 | % | 33 | %(e)** | 113 | %(f) | 113 | % | 98 | % | 91 | % | 58 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.20 | %* | 0.18 | % | 0.13 | % | 0.11 | % | 0.07 | % | 0.07 | % | 0.20 | %* | 0.17 | % | 0.13 | % | 0.12 | % | 0.07 | % | 0.08 | % |
Class IV Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.81 | $ | 12.53 | $ | 14.00 | $ | 11.92 | $ | 11.55 | $ | 13.25 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.56^ | 0.40 | 0.40 | 0.35 | 0.33 | 0.33 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.42 | (1.64 | ) | (1.07 | ) | 2.08 | 0.42 | (1.46 | ) | |||||||||||||||||||||
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Total from investment operations | 0.98 | (1.24 | ) | (0.67 | ) | 2.43 | 0.75 | (1.13 | ) | |||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.07 | ) | (0.48 | ) | (0.40 | ) | (0.35 | ) | (0.38 | ) | (0.57 | ) | ||||||||||||||||||
From net realized gains | — | — | (0.40 | ) | — | — | — | |||||||||||||||||||||||
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Total distributions | (0.07 | ) | (0.48 | ) | (0.80 | ) | (0.35 | ) | (0.38 | ) | (0.57 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 11.72 | $ | 10.81 | $ | 12.53 | $ | 14.00 | $ | 11.92 | $ | 11.55 | ||||||||||||||||||
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Total Return(b) | 9.09 | %** | (10.24 | )% | (4.59 | )% | 20.54 | % | 6.68 | % | (8.21 | )% | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 3,541 | $ | 2,763 | $ | 24,905 | $ | 67,628 | $ | 88,992 | $ | 391,421 | ||||||||||||||||||
Net expenses to average daily net assets | 0.72 | %(c)* | 0.70 | %(c) | 0.70 | %(c) | 0.70 | %(c)(d) | 0.70 | %(c)(d) | 0.69 | %(d) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 9.62 | %*^ | 3.25 | % | 2.96 | % | 2.71 | % | 3.02 | % | 2.74 | % | ||||||||||||||||||
Portfolio turnover rate | 33 | %(e)** | 113 | %(f) | 113 | % | 98 | % | 91 | % | 58 | % | ||||||||||||||||||
Fees and expenses reimbursed and/ or waived by GMO to average daily net assets: | 0.19 | %* | 0.18 | % | 0.13 | % | 0.11 | % | 0.07 | % | 0.07 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(e) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 37% of the average value of its portfolio. |
(f) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 65% of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
^ | Net investment income per share class may appear skewed due to the timing of purchases and redemptions of Fund shares and their impact on class allocations. |
See accompanying notes to the financial statements. | 17 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
FOREIGN SMALL COMPANIES FUND
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2016 (Unaudited) | February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.94 | $ | 15.31 | $ | 17.29 | $ | 14.40 | $ | 12.91 | $ | 14.22 | $ | 12.91 | $ | 15.28 | $ | 17.25 | $ | 14.37 | $ | 12.90 | $ | 14.20 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.21 | 0.26 | 0.20 | 0.27 | 0.23 | 0.19 | 0.21 | 0.27 | 0.21 | 0.25 | 0.12 | 0.17 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.17 | (1.86 | ) | (1.34 | ) | 3.62 | 1.43 | (1.27 | )(b) | 1.17 | (1.86 | ) | (1.34 | ) | 3.64 | 1.54 | (1.23 | )(b) | ||||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 1.38 | (1.60 | ) | (1.14 | ) | 3.89 | 1.66 | (1.08 | ) | 1.38 | (1.59 | ) | (1.13 | ) | 3.89 | 1.66 | (1.06 | ) | ||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.05 | ) | (0.28 | ) | (0.23 | ) | (0.48 | ) | (0.17 | ) | (0.23 | ) | (0.05 | ) | (0.29 | ) | (0.23 | ) | (0.49 | ) | (0.19 | ) | (0.24 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | — | (0.49 | ) | (0.61 | ) | (0.52 | ) | — | — | — | (0.49 | ) | (0.61 | ) | (0.52 | ) | — | — | ||||||||||||||||||||||||||||||||||||||||||
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Total distributions | (0.05 | ) | (0.77 | ) | (0.84 | ) | (1.00 | ) | (0.17 | ) | (0.23 | ) | (0.05 | ) | (0.78 | ) | (0.84 | ) | (1.01 | ) | (0.19 | ) | (0.24 | ) | ||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 14.27 | $ | 12.94 | $ | 15.31 | $ | 17.29 | $ | 14.40 | $ | 12.91 | $ | 14.24 | $ | 12.91 | $ | 15.28 | $ | 17.25 | $ | 14.37 | $ | 12.90 | ||||||||||||||||||||||||||||||||||||
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Total Return(c) | 10.66 | %** | (10.82 | )% | (6.34 | )% | 27.54 | % | 12.93 | % | (7.45 | )% | 10.71 | %** | (10.80 | )% | (6.25 | )% | 27.61 | % | 12.96 | % | (7.33 | )% | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 332,503 | $ | 316,303 | $ | 353,778 | $ | 236,393 | $ | 314,389 | $ | 483,122 | $ | 618,981 | $ | 606,665 | $ | 760,850 | $ | 851,384 | $ | 471,628 | $ | 71,373 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets | 0.86 | %(d)* | 0.86 | %(d) | 0.85 | %(d) | 0.86 | %(d)(e) | 0.85 | %(d)(e) | 0.86 | %(e) | 0.81 | %(d)* | 0.81 | %(d) | 0.80 | %(d) | 0.81 | %(d)(e) | 0.80 | %(d)(e) | 0.81 | %(e) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 2.92 | %* | 1.73 | % | 1.26 | % | 1.73 | % | 1.83 | % | 1.43 | % | 2.95 | %* | 1.79 | % | 1.32 | % | 1.56 | % | 0.90 | % | 1.34 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 24 | %(f)** | 60 | %(g) | 58 | % | 57 | % | 56 | % | 46 | % | 24 | %(f)** | 60 | %(g) | 58 | % | 57 | % | 56 | % | 46 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.07 | %* | 0.07 | % | 0.07 | % | 0.07 | % | 0.09 | % | 0.10 | % | 0.07 | %* | 0.07 | % | 0.07 | % | 0.07 | % | 0.10 | % | 0.10 | % | ||||||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.01 | $ | 0.01 | $ | 0.01 | $ | 0.00 | (h) | $ | 0.02 | $ | 0.00 | (h) | $ | 0.01 | $ | 0.01 | $ | 0.01 | $ | 0.00 | (g) | $ | 0.01 | $ | 0.01 |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 26% of the average value of its portfolio. |
(g) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 44% of the average value of its portfolio. |
(h) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
18 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
INTERNATIONAL SMALL COMPANIES FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited)(a) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2013(a) | 2012(a) | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.77 | $ | 22.95 | $ | 30.69 | $ | 25.02 | $ | 22.32 | $ | 25.44 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.30 | 0.45 | 0.57 | 0.45 | 0.54 | 0.51 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.73 | (3.12 | ) | (2.19 | ) | 7.11 | 3.06 | (2.52 | ) | |||||||||||||||||||||
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Total from investment operations | 2.03 | (2.67 | ) | (1.62 | ) | 7.56 | 3.60 | (2.01 | ) | |||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.03 | ) | (0.51 | ) | (0.66 | ) | (1.35 | ) | (0.90 | ) | (1.11 | ) | ||||||||||||||||||
From net realized gains | — | — | (5.46 | ) | (0.54 | ) | — | — | ||||||||||||||||||||||
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Total distributions | (0.03 | ) | (0.51 | ) | (6.12 | ) | (1.89 | ) | (0.90 | ) | (1.11 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 21.77 | $ | 19.77 | $ | 22.95 | $ | 30.69 | $ | 25.02 | $ | 22.32 | ||||||||||||||||||
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| |||||||||||||||||||
Total Return(c) | 10.27 | %** | (11.83 | )% | (4.87 | )% | 31.30 | % | 16.75 | % | (8.05 | )% | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 233,051 | $ | 245,734 | $ | 283,446 | $ | 382,688 | $ | 313,557 | $ | 368,374 | ||||||||||||||||||
Net expenses to average daily net assets(d) | 0.77 | %* | 0.76 | % | 0.77 | % | 0.77 | %(e) | 0.76 | %(e) | 0.76 | %(e) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 2.83 | %* | 2.04 | % | 2.15 | % | 1.63 | % | 2.50 | % | 2.28 | % | ||||||||||||||||||
Portfolio turnover rate | 113 | %(f)** | 64 | %(g) | 83 | % | 79 | % | 76 | % | 90 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.18 | %* | 0.18 | % | 0.17 | % | 0.15 | % | 0.17 | % | 0.14 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.03 | (a) | $ | 0.01 | (a) | $ | 0.03 | (a) | $ | 0.02 | (a) | $ | 0.01 | (a) | $ | 0.02 | (a) |
(a) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 118% of the average value of its portfolio. |
(g) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 49% of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 19 |
GMO Trust Funds
August 31, 2016 (Unaudited)
1. | Organization |
Each of Foreign Fund, Foreign Small Companies Fund, and International Small Companies Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).
The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO.
The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):
Fund Name | Benchmark | Investment Objective | ||
Foreign Fund | MSCI EAFE Index | Total return in excess of benchmark | ||
Foreign Small Companies Fund | S&P Developed ex-U.S. Small Cap Index | Total return in excess of benchmark | ||
International Small Companies Fund | S&P Developed ex-U.S. Small Cap Index | Total return in excess of benchmark |
Foreign Small Companies Fund and International Small Companies Fund currently limits subscriptions.
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
Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2016, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.
The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets which close prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds that were valued using fair value inputs obtained from that independent pricing service as of August 31, 2016. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) in the table below.
20
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available by the time that a Fund calculates its net asset value on any business day, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.
In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether the Fund has a long position or a short position.
As discussed above, certain of the Funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or fair valued using inputs obtained from an independent pricing service. The table below presents securities and/or derivatives on a net basis, based on market values or unrealized appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of August 31, 2016 is as follows:
Securities and derivatives
Fund Name | Fair valued using methods determined in direction of the Trustees | Fair valued using inputs obtained from an independent | ||||||
Foreign Fund | — | 95% | ||||||
Foreign Small Companies Fund | — | 90% | ||||||
International Small Companies Fund | 0% | § | 90% |
§ | Represents the interest in securities that were determined to have a value of zero at August 31, 2016. |
U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.
U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the table below). At August 31, 2016, there were no direct material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.
The three levels are defined as follows:
Level 1 – Valuations based on quoted prices for identical securities in active markets.
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).
Level 2 – Valuations determined using other significant direct or indirect observable inputs.
The types of assets and liabilities categorized in Level 2 generally include cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service
approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.
Level 3 – Valuations based primarily on inputs that are unobservable and significant.
21
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; certain equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index; and certain securities that are valued using a price from a comparable security related to the same issuer.
The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2016:
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Foreign Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 3,899,092 | $ | — | $ | 3,899,092 | ||||||||
Belgium | — | 2,629,452 | — | 2,629,452 | ||||||||||||
China | — | 1,701,775 | — | 1,701,775 | ||||||||||||
Finland | — | 1,484,892 | — | 1,484,892 | ||||||||||||
France | — | 18,091,738 | — | 18,091,738 | ||||||||||||
Germany | — | 7,604,047 | — | 7,604,047 | ||||||||||||
Hong Kong | — | 6,427,669 | — | 6,427,669 | ||||||||||||
India | 838,331 | — | — | 838,331 | ||||||||||||
Israel | — | 1,572,713 | — | 1,572,713 | ||||||||||||
Italy | — | 3,228,886 | — | 3,228,886 | ||||||||||||
Japan | — | 30,502,030 | — | 30,502,030 | ||||||||||||
Mexico | 397,694 | — | — | 397,694 | ||||||||||||
Netherlands | — | 1,625,831 | — | 1,625,831 | ||||||||||||
South Africa | — | 532,505 | — | 532,505 | ||||||||||||
South Korea | — | 2,385,279 | — | 2,385,279 | ||||||||||||
Spain | — | 3,141,495 | — | 3,141,495 | ||||||||||||
Sweden | — | 4,762,537 | — | 4,762,537 | ||||||||||||
Switzerland | — | 8,112,024 | — | 8,112,024 | ||||||||||||
Taiwan | — | 1,745,866 | — | 1,745,866 | ||||||||||||
United Kingdom | — | 34,961,543 | — | 34,961,543 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 1,236,025 | 134,409,374 | — | 135,645,399 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 2,985,554 | — | — | 2,985,554 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 2,985,554 | — | — | 2,985,554 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 2,553,746 | — | — | 2,553,746 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 6,775,325 | 134,409,374 | — | 141,184,699 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 6,775,325 | $ | 134,409,374 | $ | — | $ | 141,184,699 | ||||||||
|
|
|
|
|
|
|
| |||||||||
22
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Foreign Small Companies Fund |
| |||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Argentina | $ | 4,617,712 | $ | — | $ | — | $ | 4,617,712 | ||||||||
Australia | — | 58,045,768 | — | 58,045,768 | ||||||||||||
Brazil | — | 3,816,023 | — | 3,816,023 | ||||||||||||
Canada | 48,955,866 | — | — | 48,955,866 | ||||||||||||
Finland | — | 16,085,658 | — | 16,085,658 | ||||||||||||
France | — | 132,424,805 | — | 132,424,805 | ||||||||||||
Germany | — | 43,702,804 | — | 43,702,804 | ||||||||||||
Hong Kong | — | 7,054,271 | — | 7,054,271 | ||||||||||||
India | — | 3,340,401 | — | 3,340,401 | ||||||||||||
Ireland | — | 5,481,389 | — | 5,481,389 | ||||||||||||
Israel | — | 9,878,562 | — | 9,878,562 | ||||||||||||
Italy | — | 32,479,438 | — | 32,479,438 | ||||||||||||
Japan | — | 218,270,457 | — | 218,270,457 | ||||||||||||
Mexico | 10,550,857 | — | — | 10,550,857 | ||||||||||||
Netherlands | — | 14,401,103 | — | 14,401,103 | ||||||||||||
New Zealand | — | 2,398,530 | — | 2,398,530 | ||||||||||||
Russia | — | 7,550,172 | — | 7,550,172 | ||||||||||||
Singapore | — | 6,273,679 | — | 6,273,679 | ||||||||||||
South Africa | — | 3,537,398 | — | 3,537,398 | ||||||||||||
South Korea | — | 5,020,970 | — | 5,020,970 | ||||||||||||
Sweden | — | 20,568,708 | — | 20,568,708 | ||||||||||||
Switzerland | — | 87,189,002 | — | 87,189,002 | ||||||||||||
Taiwan | — | 8,732,777 | — | 8,732,777 | ||||||||||||
Thailand | — | 8,426,324 | — | 8,426,324 | ||||||||||||
United Kingdom | — | 157,115,886 | — | 157,115,886 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 64,124,435 | 851,794,125 | — | 915,918,560 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 23,374,533 | — | — | 23,374,533 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 23,374,533 | — | — | 23,374,533 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 10,473,385 | — | — | 10,473,385 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 97,972,353 | 851,794,125 | — | 949,766,478 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 97,972,353 | $ | 851,794,125 | $ | — | $ | 949,766,478 | ||||||||
|
|
|
|
|
|
|
| |||||||||
23
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
International Small Companies Fund |
| |||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Argentina | $ | 1,129,988 | $ | — | $ | — | $ | 1,129,988 | ||||||||
Australia | — | 14,294,567 | — | 14,294,567 | ||||||||||||
Austria | — | — | 0 | § | 0 | § | ||||||||||
Brazil | — | 934,380 | — | 934,380 | ||||||||||||
Canada | 12,069,986 | — | — | 12,069,986 | ||||||||||||
China | — | — | 0 | § | 0 | § | ||||||||||
Finland | — | 3,939,490 | — | 3,939,490 | ||||||||||||
France | — | 32,627,664 | — | 32,627,664 | ||||||||||||
Germany | — | 10,756,221 | — | 10,756,221 | ||||||||||||
Hong Kong | — | 1,727,466 | — | 1,727,466 | ||||||||||||
India | — | 839,084 | — | 839,084 | ||||||||||||
Indonesia | — | 157,562 | — | 157,562 | ||||||||||||
Ireland | — | 1,342,435 | — | 1,342,435 | ||||||||||||
Israel | — | 2,419,340 | — | 2,419,340 | ||||||||||||
Italy | — | 7,977,710 | — | 7,977,710 | ||||||||||||
Japan | — | 53,760,142 | — | 53,760,142 | ||||||||||||
Mexico | 2,695,077 | — | — | 2,695,077 | ||||||||||||
Netherlands | — | 3,526,915 | — | 3,526,915 | ||||||||||||
New Zealand | — | 587,419 | — | 587,419 | ||||||||||||
Russia | — | 1,898,090 | — | 1,898,090 | ||||||||||||
Singapore | — | 1,567,211 | — | 1,567,211 | ||||||||||||
South Africa | — | 893,823 | — | 893,823 | ||||||||||||
South Korea | — | 1,229,674 | — | 1,229,674 | ||||||||||||
Sweden | — | 5,120,365 | — | 5,120,365 | ||||||||||||
Switzerland | — | 21,702,572 | — | 21,702,572 | ||||||||||||
Taiwan | — | 2,137,583 | 0 | § | 2,137,583 | |||||||||||
Thailand | — | 2,172,756 | — | 2,172,756 | ||||||||||||
United Kingdom | — | 39,208,640 | — | 39,208,640 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 15,895,051 | 210,821,109 | 0 | § | 226,825,265 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
Thailand | 69,535 | — | — | 69,535 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | 69,535 | — | — | 69,535 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 1,500,697 | — | — | 1,500,697 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 1,500,697 | — | — | 1,500,697 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 4,419,639 | — | — | 4,419,639 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 21,884,922 | 210,821,109 | — | 232,706,031 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 21,884,922 | $ | 210,821,109 | $ | 0 | § | $ | 232,706,031 | |||||||
|
|
|
|
|
|
|
| |||||||||
§ | Represents the interest in securities that were determined to have a value of zero at August 31, 2016. |
The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.
24
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs of the underlying funds, please refer to the underlying funds’ Notes to Financial Statements.
For all Funds for the period ended August 31, 2016, there were no significant transfers between Level 1 and Level 2.
The net aggregate direct and indirect exposure to investments in securities using Level 3 inputs (based on each Fund’s net assets) as of August 31, 2016 were as follows:
Fund Name | Level 3 securities and derivatives | |||
Foreign Fund | — | |||
Foreign Small Companies Fund | — | |||
International Small Companies Fund | 0%§ |
§ | Represents the interest in securities that were determined to have a value of zero at August 31, 2016. |
Cash
Cash and foreign currency, if any, on the Statements of Assets and Liabilities consist of cash balances held with the custodian.
Due to/from broker
Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include mark-to-market amounts related to foreign currency or cash owed.
Foreign currency translation
The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm Eastern time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated on the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.
Taxes and distributions
Each Fund has elected to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.
The policy of each Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each Fund may, from time to time at their discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically, all distributions are reinvested in additional shares of each Fund at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.
Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction based charges imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2016, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.
Certain Funds have previously filed for and/or may file for additional tax refunds with respect to certain taxes withheld by member states of the European Union. Generally, the amount of such refunds that a Fund reasonably determines are collectible and free from significant contingencies are reflected in a Fund’s net asset value and are reflected as Dividends from unaffiliated issuers in the Statements of Operations. In certain circumstances, a Fund’s receipt of such refunds may cause the Fund and/or its shareholders to be liable for U.S. federal income taxes and interest charges.
25
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Foreign taxes paid by each Fund may be treated, to the extent permissible by the Code (and other applicable U.S. federal tax guidance) and if that Fund so elects, as if paid by U.S. shareholders of that Fund.
Income and capital gain distributions 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.
Distributions in excess of a Fund’s tax basis earnings and profits, if significant, are reported in the Funds’ financial statements as a return of capital.
As of February 29, 2016, certain Funds elected to defer to March 1, 2016 late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:
Fund Name | Late-Year Ordinary Loss Deferral ($) | Post-October Capital Losses ($) | ||||||
Foreign Fund | — | (6,030,627) | ||||||
Foreign Small Companies Fund | — | (20,779,658) | ||||||
International Small Companies Fund | (50,574) | (1,264,827) |
As of February 29, 2016, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. In addition, such losses should be utilized prior to losses scheduled to expire on or before February 28, 2019. As a result of this ordering rule, losses that are subject to expiration may expire unused. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 29, 2016, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:
Short-Term ($) | Total Short- Term ($) | Long- Term ($) | ||||||||||||||
Fund Name | Expiration Date 2/28/2018 | No Expiration Date | No Expiration Date | |||||||||||||
Foreign Fund | (12,719,749) | (5,941,515) | (18,661,264) | — | ||||||||||||
Foreign Small Companies Fund | — | — | — | — | ||||||||||||
International Small Companies Fund | — | (2,465,476) | (2,465,476) | (37,349) |
As of August 31, 2016, the approximate cost for U.S. federal income tax purposes and the aggregate investment-level gross and net unrealized appreciation (depreciation) in the value of investments were as follows:
Fund Name | Aggregate Cost ($) | Gross Unrealized Appreciation ($) | Gross Unrealized (Depreciation) ($) | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||
Foreign Fund | 144,685,654 | 6,880,172 | (10,381,127) | (3,500,955 | ) | |||||||||||
Foreign Small Companies Fund | 893,541,410 | 123,071,914 | (66,846,846) | 56,225,068 | ||||||||||||
International Small Companies Fund | 229,181,125 | 12,159,959 | (8,635,053) | 3,524,906 |
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 interpretations of tax laws (e.g., guidance
26
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
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. GMO 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. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from the underlying 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. Principal on inflation-indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. 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 and class allocations
Most of the expenses of the Trust are directly attributable to an individual Fund. Generally, common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Funds may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by a fund will vary (see Note 5).
Brown Brothers Harriman & Co. (“BBH”) serves as the Funds’ custodian and fund accounting agent. State Street Bank and Trust Company (“State Street”) serves as the Funds’ transfer agent. Prior to December 31, 2013, State Street’s transfer agent fees may have been reduced by an earnings allowance calculated on the average daily cash balances each Fund maintained in a State Street transfer agent account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2014, any cash balances maintained at the transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.
Purchases and redemptions of Fund shares
Purchase premiums and redemption fees (if applicable) are paid to and retained by a 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 Fund (directly or indirectly through investments in underlying funds) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and/or redemption fee or modify an existing fee at any time.
Purchase premiums are not charged on reinvestments of dividends or other distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).
If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion. GMO also may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.
GMO will waive or reduce the purchase premium when securities are used to purchase a Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with its acquisition of those securities. GMO may waive or reduce redemption fees when a Fund uses portfolio securities to redeem its shares. However, when a substantial portion of a Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.
Purchase premiums or redemption fees generally will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with the Trust to transmit orders for purchases and redemptions the day after those orders are received.
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As of August 31, 2016, the premium on cash purchases and the fee on cash redemptions were as follows:
Foreign Fund | Foreign Small Companies Fund | International Small Companies Fund | ||||
Purchase Premium | — | 0.50% | 0.50% | |||
Redemption Fee | — | 0.50% | 0.50% |
3. | Investment and other risks |
The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.
Foreign Fund | Foreign Small Companies Fund | International Small Companies Fund | ||||
Counterparty Risk | X | X | X | |||
Currency Risk | X | X | X | |||
Derivatives and Short Sales Risk | X | X | X | |||
Focused Investment Risk | X | X | X | |||
Illiquidity Risk | X | X | X | |||
Large Shareholder Risk | X | X | X | |||
Leveraging Risk | X | X | X | |||
Management and Operational Risk | X | X | X | |||
Market Disruption and Geopolitical Risk | X | X | X | |||
Market Risk – Equities | X | X | X | |||
Non-Diversified Funds | X | |||||
Non-U.S. Investment Risk | X | X | X | |||
Small Company Risk | X | X | X |
Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.
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Each Fund that invests in other GMO Funds or other investment companies (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through Underlying Funds.
An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.
• 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. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws or other requirements. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (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 (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be promptly posted as required. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty if the transaction is primarily designed to reduce the Fund’s overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty).
The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds.
Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations and realization on collateral, could be stayed or eliminated under new special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, with respect to counterparties who are subject to such proceedings in the European Union, the liabilities of such counterparties to the Funds could be reduced, eliminated, or converted to equity in such counterparties (sometimes referred to as a “bail in”).
• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position, will decline in value relative to the currency in which the Fund is denominated. 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
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Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Fund may realize a loss on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk.”
Many of the Funds use derivatives to take currency positions that are under- or over-weighted (in some cases significantly) relative to the currency exposure of their portfolios and their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money on both its holdings of a particular currency and the derivative. See also “Non-U.S. Investment Risk.”
Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars, in which case GMO may decide to purchase U.S. dollars in a parallel market with an unfavorable exchange rate. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.
Derivative transactions in foreign currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk”).
• DERIVATIVES AND SHORT SALES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices. Derivatives involve the risk that their value may not change as expected relative to changes in the value of the assets, rates, or indices they are designed to track. Derivatives include futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other OTC contracts. Derivatives may relate to securities, commodities, currencies, currency exchange rates, interest rates, inflation rates, 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 still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments GMO believes are owed to it under OTC derivatives contracts, or those payments may be delayed or made only after the Fund has incurred the cost of litigation.
A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s fundamental fair (or intrinsic) value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs a greater risk of not being able to recover what it is owed if the counterparty defaults. Even when derivatives are required by contract to be collateralized, a Fund typically will not receive the collateral for one or more days after the collateral is required to be posted.
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, illiquidity risk, currency risk, credit risk, and counterparty risk. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values a Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, 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, GMO may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures, potentially resulting in losses for the Fund.
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Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk”) and counterparty risk (see “Counterparty Risk”). These derivatives are also subject to documentation risk, which is the risk that ambiguities, inconsistencies or errors in the documentation relating to a derivative transaction may lead to a dispute with the counterparty or unintended investment results. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk.”
A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders. In addition, the tax treatment of a Fund’s use of derivatives may be unclear because there is little case or other law interpreting the terms of most derivatives or determining their tax treatment. In addition, the Securities and Exchange Commission recently proposed a rule under the 1940 Act regulating the use by registered investment companies of derivatives and many related instruments. That rule, if adopted as proposed, would, among other things, restrict a Fund’s ability to engage in derivatives transactions or so increase the cost of derivatives transactions that a Fund would be unable to implement its investment strategy.
Derivatives Regulation. The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) are implementing similar requirements, which will affect a Fund when it enters into a derivatives transaction with a counterparty organized in that country or otherwise subject to that country’s derivatives regulations. Because these requirements are new and evolving (and some of the rules are not yet final), their ultimate impact remains unclear.
Transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds hold cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Funds make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.
In some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements, for example, by requiring that funds provide more margin for their cleared derivatives positions. Also, as a general matter, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivatives position or an increase in margin requirements above those required at the outset of a transaction. Clearing houses also have broad rights to increase margin requirements for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member because margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member (see “Counterparty Risk”). Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member. Also, such documentation typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks may be more pronounced for cleared derivatives due to their more limited liquidity and market history.
Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility.
If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), the Fund may be unable to execute all components of the package on the swap execution facility. In that case, the Fund would
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August 31, 2016 (Unaudited)
need to trade some components of the package on the swap execution facility and other components in another manner, which could subject the Fund to the risk that some components would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.
The U.S. government and the European Union have adopted mandatory minimum margin requirements for bilateral derivatives. GMO expects that the Funds’ transactions will become subject to variation margin requirements under such rules in 2017 and initial margin requirements under such rules in 2020. Such requirements could increase the amount of margin a Fund needs to provide in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.
These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund or otherwise limiting liquidity. The implementation of the clearing requirement has increased the costs of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they have historically posted for bilateral derivatives. The costs of derivatives transactions are expected to increase further as clearing members raise their fees to cover the costs of additional capital requirements and other regulatory changes applicable to the clearing members, which will take effect when rules imposing mandatory minimum margin requirements on bilateral swaps, as described above, become effective. These rules and regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.
Options. The Funds are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights any time before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk because the holder may only exercise the option on its expiration date.) If a Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.
National securities exchanges generally have established limits on the maximum number of options an investor or group of investors acting in concert may write. A Fund, GMO, and other funds advised by GMO will likely constitute such a group. When applicable, these limits restrict a Fund’s ability to purchase or write options on a particular security.
Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (i.e., options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While a Fund has greater flexibility to tailor an OTC option, OTC options generally expose a Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary market risks.
Special tax rules apply to a Fund’s transactions in options, which could increase the taxes payable by shareholders. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s distributions to consist of amounts taxable to shareholders subject to U.S. income tax at ordinary income tax rates.
Short Investment Exposure. Some Funds may sell securities or currencies short as part of their investment programs in an attempt to increase their returns or for hedging purposes. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange a security or currency to replace the borrowed security or currency when the security or currency sold short has appreciated in value, thus resulting in a loss to the Fund. Purchasing a security or currency to close out a short position can itself cause the price of the security or currency to rise further, thereby exacerbating any losses. A Fund that sells short a security or currency it does not own also may have to pay borrowing fees to a broker and may be required to pay the broker any dividends or interest it receives on a borrowed security.
A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying investment, pool of investments, index or currency.
Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.
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• FOCUSED INVESTMENT RISK. Funds with investments that are focused in particular countries, regions, sectors, industries or issuers that are subject to the same or similar risk factors and funds with investments whose prices are closely correlated are subject to greater overall risk than funds with investments that are more diversified or whose prices are not as closely correlated.
A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of particular securities than Funds investing in the securities of a larger number of issuers. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments.
Similarly, Funds having a significant portion of their assets in investments tied economically (or related) to a particular geographic region, country (e.g., Taiwan or Japan), or market (e.g., emerging markets), or to sectors within a region, country, or market (e.g., Russian oil) have more exposure to regional and country economic risks than funds making investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in the value of the currency of one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk”.
• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size, or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed, defaulted or other low quality debt securities, emerging country debt securities, securities of companies with smaller market capitalizations or smaller total float adjusted market capitalizations, or emerging market securities, it is subject to increased illiquidity risk. These types of investments can be difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. Illiquidity risk also may be greater in times of financial stress. For example, Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”) have experienced periods of greatly reduced liquidity during disruptions in fixed income markets, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when market prices decline generally.
A Fund may buy securities that are less liquid than those in its benchmark.
A Fund’s ability to use options as part of its investment program depends on the liquidity of the options market. In addition, that market may not be liquid when a Fund seeks to close out an option position. Also, the hours of trading for options on an exchange may not conform to the hours during which the securities held by a Fund are traded. To the extent that the options markets close before the markets for the underlying securities, significant price and rate movements can take place in the markets for underlying securities that are not immediately reflected in the options markets. If a Fund receives a redemption request and is unable to close out an option it has sold, the Fund may temporarily be leveraged in relation to its assets.
• LARGE SHAREHOLDER RISK. To the extent a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities, potentially at disadvantageous prices, to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may purchase or sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) 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, have adverse tax consequences for Fund shareholders. Additionally, redemptions by a large shareholder also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any) and may limit or prevent a Fund’s use of tax equalization. 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.
• 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.
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A Fund’s portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.
A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.
• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.
For many Funds, GMO often uses quantitative models as part of its investment process. GMO’s models are not necessarily predictive of future market events and use simplifying assumptions that can limit their effectiveness. In addition, the data on which the models are based is subject to limitations (e.g. inaccuracies, staleness) that could adversely affect a Fund’s performance. The Funds also run the risk that GMO’s assessment of an investment (including a company’s fundamental fair (or intrinsic) value) may be wrong.
There can be no assurance that key GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’s ability to achieve the Funds’ investment objectives.
The Funds also are subject to the risk of loss as a result of other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors could prevent a Fund from benefiting from potential investment gains or avoiding losses. In addition, a service provider may be unable to provide a net asset value (“NAV”) for a Fund or share class on a timely basis. GMO is not contractually liable to the Funds for losses associated with operational risk absent its willful misfeasance, bad faith, gross negligence, or reckless disregard of its contractual obligations to provide services to the Funds. Other Fund service providers also have contractual limitations on their liability to the Funds for losses resulting from their errors.
The Funds and their service providers (including GMO) are susceptible to cyber-attacks and technological malfunctions that may have effects that are similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and causing operational disruption. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release or misappropriation of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, reimbursement or other compensation costs, and additional compliance costs. While GMO has established business continuity plans and systems designed to prevent cyber-attacks, such plans and systems are subject to inherent limitations. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could result in material adverse consequences for such issuers, and may cause a Fund’s investment in such securities to lose value.
• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or other economic inputs (e.g., the marked decline in oil prices that began in late 2014) may have material and unexpected effects on both global securities markets and individual countries, regions, sectors, companies, or industries, which could significantly reduce the value of a Fund’s investments. Terrorism in the United States and around the world has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation (e.g., the manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trading practices, which could disrupt the orderly functioning of markets or reduce the value of investments traded in them, including investments of the Funds. Instances of fraud and other deceptive practices committed by senior management of certain companies in which a Fund invests may undermine GMO’s due diligence efforts with respect to such companies, and if such fraud is discovered, negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively impact a Fund’s investment program. Financial fraud also may impact the rates or indices underlying a Fund’s investments.
While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce the value of the Funds’ investments. Similarly, political events within the United States at times have resulted, and may in the future result, in a shutdown of government services, which could adversely 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. Uncertainty surrounding the sovereign debt of several European Union countries, as well as the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the United States and around the world. If a country changes its
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currency or leaves the European Union or if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also could adversely affect the Funds. War, terrorism, economic uncertainty, and related geopolitical events have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment, and other factors affecting the value of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis. To the extent a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.
• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market value of their holdings will decline. Market risks include:
Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as poor performance by the company’s management or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may result from general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. Equities generally have significant price volatility, and their market prices can decline in a rapid or unpredictable manner. If a Fund purchases an equity for less than its fundamental fair (or intrinsic) value as determined by GMO, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment of the equity’s fundamental fair (or intrinsic) value. 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.
• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of relatively few issuers. As a result, they may be subject to greater credit, market and other risks, and poor performance by a single issuer may have a greater impact on their performance, than if they were “diversified.”
The following Fund is not a diversified investment company within the meaning of the 1940 Act:
• | Foreign Fund |
• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. Non-U.S. securities markets often include securities of only a small number of companies in a limited number of industries. As a result, the market prices of many of the securities traded on those markets fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to as much regulation as U.S. issuers, and the reporting, accounting, custody, and auditing standards to which those issuers are subject differ, in some cases significantly, from U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes and custodial costs. In addition, some jurisdictions may limit a Fund’s ability to profit from short-term trading (as defined in the relevant jurisdiction).
A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. A Fund’s decision to seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if eligible. The outcome of a Fund’s efforts to obtain a refund may be unpredictable. Accordingly, a refund is not typically reflected in a Fund’s net asset value until it is received or until the Fund determines there is a high likelihood the refund will be received.
Also, investing in non-U.S. securities exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, other government involvement in the economy or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises), adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.
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In some non-U.S. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States with respect to brokers, custodians, clearing banks or other clearing agents, escrow agents, and issuers. Fluctuations in foreign currency exchange rates also affect the market value of a Fund’s non-U.S. investments (see “Currency Risk”).
The Funds need a license to invest directly in many non-U.S. securities markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license to invest in a particular market is terminated or suspended, to obtain exposure to that market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of GMO’s clients may preclude other clients, including a Fund, from obtaining a similar license, and this could limit the Fund’s investment opportunities. In addition, the activities of a GMO client could cause the suspension or revocation of a license and thereby limit the Funds’ investment opportunities.
Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of assets of issuers of securities in a Fund’s portfolio; greater governmental involvement in the economy or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises); 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 enforcing legal judgments; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries may be predominantly based on only a few industries or dependent on revenues from particular commodities.
• SMALL COMPANY RISK. Companies with smaller market capitalizations may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, may have inexperienced managers or may depend on a smaller group of key employees as compared to larger companies. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for securities of these companies.
Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and are taken in attempting to respond to adverse market, economic, political, or other conditions. The Funds normally do not take temporary defensive positions. To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.
4. | Derivative financial instruments |
Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices that are used, to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.
The Funds may use derivatives to gain long investment exposure to securities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.
The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). A Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.
The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and GMO believes that stocks of companies in another sector will outperform those stocks, the Fund
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might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting its investment exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which its equities are traded.
The Funds may use derivatives to effect transactions intended as substitutes for securities lending.
The Funds may have investment exposures in excess of their net assets (i.e., they may be leveraged). A Fund’s foreign currency exposure may differ significantly from the currencies in which its equities are traded.
Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.
The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investment and other risks” above for further information.
For Funds that held derivatives during the period ended August 31, 2016, the following table shows how the Fund used these derivatives (marked with an X):
Type of Derivative and Objective for Use | Foreign Fund | Foreign Small Companies Fund | International Small Companies Fund | |||||||||
Rights and/or warrants | ||||||||||||
Received as a result of corporate actions | X | X | X |
Forward currency contracts
The Funds may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market price of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked-to-market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was settled.
These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Futures contracts
The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in
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excess of the variation margin as recorded on the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Options
The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium, if any, which is disclosed in the Schedule of Investments, is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
The Funds may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
When an option contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statements of Operations.
Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the market of the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Funds value OTC options using industry models and inputs provided by primary pricing sources.
Swap contracts
The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract and during the term of the
transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.
Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses in the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations.
Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.
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Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.
In a credit default swap contract, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.
For credit default swap contracts on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap contracts on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.
Variance swap contracts involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.
Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.
The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Rights and warrants
The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.
39
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
The following is a summary of the valuations of derivative instruments categorized by risk exposure.
The risks referenced in the tables below are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.
The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2016 and the Statements of Operations for the period ended August 31, 2016^:
Credit Contracts | Commodity Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
GMO International Small Companies Fund | ||||||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||||||
Investments, at value (rights and/or warrants) | $ | — | $ | — | $ | 69,535 | $ | — | $ | — | $ | — | $ | 69,535 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | 69,535 | $ | — | $ | — | $ | — | $ | 69,535 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | — | — | — | — | — | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | 69,535 | $ | — | $ | — | $ | — | $ | 69,535 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | — | $ | (28,337 | ) | $ | — | $ | — | $ | — | $ | (28,337 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | (28,337 | ) | $ | — | $ | — | $ | — | $ | (28,337 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on | ||||||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | — | $ | 69,366 | $ | — | $ | — | $ | — | $ | 69,366 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | 69,366 | $ | — | $ | — | $ | — | $ | 69,366 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
^ | Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables. |
Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of some OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and netting provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset. Additionally, the netting and close out provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Because the Funds do not presently have a legally enforceable right of set-off, these amounts have not been offset in the Statements of Assets and Liabilities, but have been presented separately in the table below. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. An estimate of the aggregate net payment, if any, that may need to be made by a Fund in such an event is represented by the unrealized amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.
For financial reporting purposes, on the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2016, if any.
40
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
The average derivative activity of market values (rights and/or warrants) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2016:
Fund Name | Rights and/or Warrants ($) | |||
Foreign Fund | 36,486* | |||
Foreign Small Companies Fund | 232,953* | |||
International Small Companies Fund | 78,424 |
* | During the period ended August 31, 2016, the Fund did not hold this investment type at any month-end; therefore, the average amount outstanding was calculated using daily outstanding absolute values. |
5. | Fees and other transactions with affiliates |
GMO receives a management fee for the services it provides to each Fund. Management fees are paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:
Foreign Fund | Foreign Small Companies Fund | International Small Companies Fund | ||||||||||
Management Fee | 0.60% | 0.70% | 0.60% |
In addition, each class of shares of certain Funds pays GMO a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Shareholder service fees are paid monthly equal to the percentage of each applicable Fund’s average daily net assets set forth in the table below:
Fund Name | Class II | Class III | Class IV | |||||||||
Foreign Fund | 0.22% | 0.15% | 0.09% | |||||||||
Foreign Small Companies Fund | 0.15% | 0.10% | ||||||||||
International Small Companies Fund | 0.15% |
For each Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to the Manager.
“Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.
For each Fund that pays GMO a management fee, GMO has contractually agreed to waive or reduce that fee, but not below zero, to the extent necessary to offset the management fees paid to GMO that are directly or indirectly borne by the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
For each Fund that charges a shareholder service fee, GMO has contractually agreed to waive or reduce the shareholder service fee charged to holders of each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly borne by the class of shares of the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
These contractual waivers and reimbursements will continue through at least June 30, 2017 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination, or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplemental support agreement.
41
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 2016 is shown in the table below and is included in the Statements of Operations.
Fund Name | Independent Trustees and their legal counsel ($) | Agent unaffiliated with GMO ($) | ||||||
Foreign Fund | 1,104 | 184 | ||||||
Foreign Small Companies Fund | 7,322 | 736 | ||||||
International Small Companies Fund | 1,932 | 184 |
Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2016 these indirect fees and expenses expressed as an annualized percentage of each Fund’s average daily net assets were as follows:
Fund Name | Indirect Net Expenses (excluding shareholder service fees) | Indirect Shareholder Service Fees | Total Indirect Expenses | |||||||||
Foreign Fund | < 0.001% | 0.000% | < 0.001% | |||||||||
Foreign Small Companies Fund | < 0.001% | 0.000% | < 0.001% | |||||||||
International Small Companies Fund | < 0.001% | 0.000% | < 0.001% |
The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to insure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the period ended August 31, 2016, the Funds did not engage in these transactions.
6. | Purchases and sales of securities |
Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, for the period ended August 31, 2016 are noted in the table below:
Purchases ($) | Purchases ($) | Sales ($) | Sales ($) | |||||||||||||
Fund Name | U.S. Government Securities | Investments (Non-U.S. Government Securities) | U.S. Government Securities | Investments (Non-U.S. Government Securities) | ||||||||||||
Foreign Fund | — | 56,276,477 | — | 81,720,748 | ||||||||||||
Foreign Small Companies Fund | — | 244,762,792 | — | 302,320,445 | ||||||||||||
International Small Companies Fund | — | 286,731,822 | — | 326,175,808 |
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, GMO 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.
42
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
8. | Principal shareholders and related parties as of August 31, 2016 |
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 greater than 10% of the | Percentage of the shares of the Fund held | Percentage of the Fund’s shares held by accounts for which GMO has investment discretion | ||||||||||||
Foreign Fund | 3 | 73.91% | 1.29% | — | ||||||||||||
Foreign Small Companies Fund | 3 | 71.19% | — | — | ||||||||||||
International Small Companies Fund | 2 | 68.61% | 0.05% | — |
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 the Funds’ shares were as follows:
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Foreign Fund | ||||||||||||||||
Class II: | ||||||||||||||||
Shares sold | 175,707 | $ | 1,936,347 | 67,258 | $ | 775,061 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 36,077 | 384,584 | 266,995 | 3,069,952 | ||||||||||||
Shares repurchased | (1,163,283 | ) | (12,826,023 | ) | (2,489,243 | ) | (29,283,704 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (951,499 | ) | $ | (10,505,092 | ) | (2,154,990 | ) | $ | (25,438,691 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class III: | ||||||||||||||||
Shares sold | — | $ | — | 2,643,774 | $ | 29,943,507 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 52,159 | 559,664 | 30,052 | 358,824 | ||||||||||||
Shares repurchased | (1,500,617 | ) | (16,652,675 | ) | (7,377,328 | ) | (90,109,908 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,448,458 | ) | $ | (16,093,011 | ) | (4,703,502 | ) | $ | (59,807,577 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | 94,068 | $ | 1,100,024 | 117,380 | $ | 1,442,285 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,896 | 20,913 | 65,209 | 775,219 | ||||||||||||
Shares repurchased | (49,529 | ) | (571,027 | ) | (1,914,868 | ) | (21,590,229 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 46,435 | $ | 549,910 | (1,732,279 | ) | $ | (19,372,725 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Small Companies Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | — | $ | — | 3,746,746 | $ | 48,707,693 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 72,174 | 956,310 | 1,083,586 | 15,250,342 | ||||||||||||
Shares repurchased | (1,215,677 | ) | (17,092,571 | ) | (3,493,135 | ) | (52,371,525 | ) | ||||||||
Purchase premiums | — | 217 | — | 538 | ||||||||||||
Redemption fees | — | 120,930 | — | 115,287 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,143,503 | ) | $ | (16,015,114 | ) | 1,337,197 | $ | 11,702,335 | ||||||||
|
|
|
|
|
|
|
| |||||||||
43
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Foreign Small Companies Fund (continued) | ||||||||||||||||
Class IV: | ||||||||||||||||
Shares sold | 8,926 | $ | 123,507 | 29,565 | $ | 413,561 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 158,927 | 2,101,006 | 2,608,099 | 36,602,731 | ||||||||||||
Shares repurchased | (3,685,431 | ) | (50,419,425 | ) | (5,448,901 | ) | (73,901,525 | ) | ||||||||
Purchase premiums | — | 388 | — | 1,305 | ||||||||||||
Redemption fees | — | 216,614 | — | 272,304 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (3,517,578 | ) | $ | (47,977,910 | ) | (2,811,237 | ) | $ | (36,611,624 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
International Small Companies Fund | ||||||||||||||||
Class III#: | ||||||||||||||||
Shares sold | 663,166 | $ | 14,437,500 | 674,669 | # | $ | 15,897,693 | |||||||||
Shares issued to shareholders in reinvestment of distributions | 14,463 | 299,374 | 275,878 | # | 5,902,470 | |||||||||||
Shares repurchased | (2,396,813 | ) | (52,062,263 | ) | (872,262 | )# | (20,604,390 | ) | ||||||||
Purchase premiums | — | 62,500 | — | 79,888 | ||||||||||||
Redemption fees | — | 250,271 | — | 103,022 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,719,184 | ) | $ | (37,012,618 | ) | 78,285 | # | $ | 1,378,683 | |||||||
|
|
|
|
|
|
|
| |||||||||
# | Shares were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
10. | Investments in affiliated issuers |
A summary of the Funds’ transactions in the shares of other funds of GMO Trust during the period ended August 31, 2016 is set forth below:
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income* | Distributions of Realized Gains* | Value, end of period | ||||||||||||||||||
Foreign Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 2,474,385 | $ | 7,509,179 | $ | 7,000,000 | $ | 9,003 | $ | 175 | $ | 2,985,554 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Foreign Small Companies Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 28,295,639 | $ | 30,061,972 | $ | 35,000,000 | $ | 61,225 | $ | 747 | $ | 23,374,533 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
International Small Companies Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 3,326,167 | $ | 19,000,000 | $ | 20,825,000 | $ | 9,902 | $ | 176 | $ | 1,500,697 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
* | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2016 through August 31, 2016. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2017. |
11. | Subsequent events |
Subsequent to August 31, 2016, GMO International Small Companies Fund received redemption requests in the amount of $80,042,559.
44
GMO Trust Funds
Board Review of Investment Management Agreements
August 31, 2016 (Unaudited)
GMO Foreign Fund
Approval of renewal of management agreement for GMO Foreign Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its other pooled investment vehicles and/or separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and/or accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
45
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2016 (Unaudited)
GMO Foreign Small Companies Fund
Approval of renewal of management agreement for GMO Foreign Small Companies Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
46
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2016 (Unaudited)
GMO International Small Companies Fund
Approval of renewal of management agreement for GMO International Small Companies Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
47
GMO Trust Funds
(A Series of GMO Trust)
August 31, 2016 (Unaudited)
Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2016.
As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and/or indirect management fees, direct and/or indirect shareholder services fees, 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, March 1, 2016 through August 31, 2016.
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 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 Funds 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 March 1, 2016 | Ending Account Value August 31, 2016 | Expenses Paid During the Period* | Beginning Account Value March 1, 2016 | Ending Account Value August 31, 2016 | Expenses Paid During the Period* | Annualized Expense Ratio | ||||||||||||||||||||||
Foreign Fund |
| |||||||||||||||||||||||||||
Class II | $1,000.00 | $1,090.10 | $4.48 | $1,000.00 | $1,020.92 | $4.33 | 0.85% | |||||||||||||||||||||
Class III | $1,000.00 | $1,091.00 | $4.11 | $1,000.00 | $1,021.27 | $3.97 | 0.78% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,090.90 | $3.79 | $1,000.00 | $1,021.58 | $3.67 | 0.72% | |||||||||||||||||||||
Foreign Small Companies Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,106.60 | $4.57 | $1,000.00 | $1,020.87 | $4.38 | 0.86% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,107.10 | $4.30 | $1,000.00 | $1,021.12 | $4.13 | 0.81% | |||||||||||||||||||||
International Small Companies Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,102.70 | $4.08 | $1,000.00 | $1,021.32 | $3.92 | 0.77% |
* | Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2016, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year. |
48
GMO Trust
Semiannual Report
August 31, 2016
Developed World Stock Fund
International Equity Fund
International Large/Mid Cap Equity Fund
Quality Fund
Resources Fund
Risk Premium Fund
Tax-Managed International Equities Fund
U.S. Equity Allocation 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 is available on GMO’s website at www.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. The Funds have a policy with respect to disclosure of portfolio holdings under which they may also make a complete schedule of portfolio holdings available on GMO’s website at www.gmo.com.
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 Trust, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.
An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus regarding specific principal risks for each Fund. General risks may include: market risk-equities, management and operational risk, non-U.S. investment risk, small company risk and derivatives risk.
The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.
1 | ||||
2 | ||||
10 | ||||
11 | ||||
18 | ||||
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102 | ||||
111 |
GMO Developed World Stock Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 96.6 | % | ||
Short-Term Investments | 2.3 | |||
Preferred Stocks | 0.9 | |||
Rights/Warrants | 0.0 | ^ | ||
Other | 0.2 | |||
|
| |||
100.0 | % | |||
|
| |||
Country Summary¤ | % of Investments | |||
United States | 44.6 | % | ||
Japan | 13.8 | |||
United Kingdom | 7.9 | |||
Germany | 5.3 | |||
France | 5.1 | |||
Other Developed | 3.5 | ‡ | ||
Canada | 2.6 | |||
Switzerland | 2.5 | |||
Other Emerging | 2.2 | † | ||
Australia | 2.2 | |||
Netherlands | 1.9 | |||
Hong Kong | 1.3 | |||
Taiwan | 1.3 | |||
South Korea | 1.2 | |||
China | 1.2 | |||
Spain | 1.2 | |||
Italy | 1.1 | |||
Russia | 1.1 | |||
|
| |||
100.0 | % | |||
|
|
& | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. |
^ | Rounds to 0.0%. |
¤ | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
Industry Group Summary | % of Equity Investments# | |||
Banks | 9.1 | % | ||
Insurance | 8.4 | |||
Energy | 7.8 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 6.8 | |||
Telecommunication Services | 6.7 | |||
Automobiles & Components | 6.2 | |||
Capital Goods | 5.9 | |||
Technology Hardware & Equipment | 5.8 | |||
Materials | 5.0 | |||
Food, Beverage & Tobacco | 4.8 | |||
Transportation | 4.2 | |||
Software & Services | 3.8 | |||
Retailing | 3.5 | |||
Real Estate | 3.3 | |||
Utilities | 2.9 | |||
Consumer Durables & Apparel | 2.7 | |||
Diversified Financials | 2.6 | |||
Food & Staples Retailing | 2.4 | |||
Commercial & Professional Services | 1.8 | |||
Health Care Equipment & Services | 1.5 | |||
Media | 1.5 | |||
Semiconductors & Semiconductor Equipment | 1.4 | |||
Household & Personal Products | 1.3 | |||
Consumer Services | 0.6 | |||
|
| |||
100.0 | % | |||
|
|
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
1
GMO Developed World Stock Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 75.8% | ||||||||||
Australia — 2.1% | ||||||||||
41,338 | Adelaide Brighton Ltd | 162,862 | ||||||||
4,214 | Challenger Ltd | 29,056 | ||||||||
8,642 | CIMIC Group Ltd | 191,910 | ||||||||
61,350 | Dexus Property Group (REIT) | 447,520 | ||||||||
37,101 | Downer EDI Ltd | 136,381 | ||||||||
82,150 | Fairfax Media Ltd | 60,727 | ||||||||
1,969 | Flight Centre Travel Group Ltd | 54,455 | ||||||||
4,120 | Goodman Group (REIT) | 23,459 | ||||||||
107,533 | GPT Group (The) (REIT) | 430,121 | ||||||||
11,274 | Investa Office Fund (REIT) | 38,592 | ||||||||
217,010 | Mirvac Group (REIT) | 377,697 | ||||||||
76,762 | OZ Minerals Ltd | 368,272 | ||||||||
426,094 | Scentre Group (REIT) | 1,589,622 | ||||||||
26,843 | Sonic Healthcare Ltd | 463,375 | ||||||||
85,512 | Star Entertainment Grp Ltd (The) | 378,624 | ||||||||
24,333 | Stockland (REIT) | 88,585 | ||||||||
236,261 | Telstra Corp Ltd | 932,975 | ||||||||
20,718 | Westfield Corp (REIT) | 158,906 | ||||||||
11,340 | Woodside Petroleum Ltd | 242,945 | ||||||||
13,005 | WorleyParsons Ltd * | 79,218 | ||||||||
|
| |||||||||
Total Australia | 6,255,302 | |||||||||
|
| |||||||||
Austria — 0.3% | ||||||||||
573 | Oesterreichische Post AG * | 20,581 | ||||||||
18,679 | OMV AG | 523,390 | ||||||||
6,828 | voestalpine AG | 226,296 | ||||||||
|
| |||||||||
Total Austria | 770,267 | |||||||||
|
| |||||||||
Belgium — 0.1% | ||||||||||
1,226 | Ageas | 42,513 | ||||||||
7,004 | AGFA-Gevaert NV * | 22,212 | ||||||||
9,679 | bpost SA | 246,317 | ||||||||
404 | Groupe Bruxelles Lambert SA | 35,481 | ||||||||
|
| |||||||||
Total Belgium | 346,523 | |||||||||
|
| |||||||||
Brazil — 0.3% | ||||||||||
8,330 | Banco Bradesco SA | 75,066 | ||||||||
70,600 | Banco do Brasil SA | 507,440 | ||||||||
73,700 | BM&FBovespa SA – Bolsa de Valores Mercadorias e Futuros | 408,760 | ||||||||
8,900 | EDP-Energias do Brasil SA | 39,412 | ||||||||
|
| |||||||||
Total Brazil | 1,030,678 | |||||||||
|
| |||||||||
Canada — 2.6% | ||||||||||
18,200 | Air Canada * | 124,350 | ||||||||
9,800 | Alimentation Couche-Tard Inc – Class B | 505,394 | ||||||||
3,900 | Bank of Montreal | 258,672 | ||||||||
40,800 | BCE Inc | 1,906,219 |
Shares | Description | Value ($) | ||||||||
Canada — continued | ||||||||||
700 | BCE Inc | 32,690 | ||||||||
2,500 | Canadian Imperial Bank of Commerce | 198,452 | ||||||||
3,600 | Canadian National Railway Co | 231,334 | ||||||||
1,400 | Canadian Tire Corp Ltd – Class A | 143,406 | ||||||||
200 | CCL Industries Inc – Class B | 38,165 | ||||||||
7,500 | Celestica Inc * | 79,953 | ||||||||
12,300 | CGI Group Inc – Class A * | 598,680 | ||||||||
24,100 | CI Financial Corp | 471,745 | ||||||||
400 | Cogeco Communications Inc | 19,353 | ||||||||
6,000 | Emera Inc | 218,469 | ||||||||
42,300 | IAMGOLD Corp * | 156,916 | ||||||||
2,900 | Magna International Inc | 116,783 | ||||||||
36,400 | Metro Inc | 1,236,279 | ||||||||
2,000 | Power Corp of Canada | 42,275 | ||||||||
20,600 | Sun Life Financial Inc | 650,014 | ||||||||
1,800 | Toromont Industries Ltd | 54,464 | ||||||||
8,500 | Toronto-Dominion Bank (The) | 379,305 | ||||||||
11,100 | Transcontinental Inc – Class A | 162,513 | ||||||||
2,800 | WestJet Airlines Ltd | 51,670 | ||||||||
|
| |||||||||
Total Canada | 7,677,101 | |||||||||
|
| |||||||||
China — 1.2% | ||||||||||
29,500 | Anhui Conch Cement Co Ltd – Class H | 82,624 | ||||||||
11,000 | ANTA Sports Products Ltd | 29,705 | ||||||||
155,000 | Belle International Holdings Ltd | 100,469 | ||||||||
323,000 | China Communications Construction Co Ltd – Class H | 350,978 | ||||||||
212,000 | China Communications Services Corp Ltd – Class H | 124,445 | ||||||||
44,000 | China Everbright Ltd | 91,057 | ||||||||
192,000 | China Jinmao Holdings Group Ltd | 59,734 | ||||||||
19,000 | China Machinery Engineering Corp – Class H | 11,539 | ||||||||
19,000 | China Mengniu Dairy Co Ltd | 35,923 | ||||||||
530,000 | China National Building Material Co Ltd – Class H | 238,484 | ||||||||
162,000 | China Petroleum & Chemical Corp – Class H | 115,789 | ||||||||
100,500 | China Railway Construction Corp Ltd – Class H | 122,651 | ||||||||
95,000 | China Railway Group Ltd – Class H | 70,179 | ||||||||
112,000 | China Resources Power Holdings Co Ltd | 192,913 | ||||||||
102,500 | China Shenhua Energy Co Ltd – Class H | 183,555 | ||||||||
457,060 | China Telecom Corp Ltd – Class H | 235,509 | ||||||||
44,000 | China Travel International Investment Hong Kong Ltd | 12,904 | ||||||||
118,000 | CNOOC Ltd | 142,358 | ||||||||
152,000 | Dongfeng Motor Group Co Ltd – Class H | 162,010 | ||||||||
21,500 | Fosun International Ltd | 29,685 | ||||||||
65,000 | Geely Automobile Holdings Ltd | 51,996 | ||||||||
67,000 | Greentown China Holdings Ltd * | 54,581 | ||||||||
100,000 | Guangdong Investment Ltd | 154,416 | ||||||||
138,400 | Guangzhou R&F Properties Co Ltd – Class H | 233,247 |
2 | See accompanying notes to the financial statements. |
GMO Developed World Stock Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
40,000 | Huabao International Holdings Ltd * | 15,390 | ||||||||
106,000 | Huaneng Power International Inc – Class H | 64,587 | ||||||||
42,000 | Kunlun Energy Co Ltd | 30,801 | ||||||||
47,000 | Lee & Man Paper Manufacturing Ltd | 37,857 | ||||||||
59,000 | People’s Insurance Co Group of China Ltd (The) – Class H | 23,632 | ||||||||
78,000 | Shimao Property Holdings Ltd | 108,255 | ||||||||
84,500 | Sino-Ocean Land Holdings Ltd | 39,122 | ||||||||
27,000 | Sinopec Engineering Group Co Ltd – Class H | 22,341 | ||||||||
158,719 | Skyworth Digital Holdings Ltd | 117,285 | ||||||||
19,000 | TravelSky Technology Ltd – Class H | 41,184 | ||||||||
16,000 | Zhejiang Expressway Co Ltd – Class H | 17,820 | ||||||||
|
| |||||||||
Total China | 3,405,025 | |||||||||
|
| |||||||||
Czech Republic — 0.1% | ||||||||||
9,175 | CEZ AS | 160,147 | ||||||||
510 | Komercni Banka as | 17,248 | ||||||||
|
| |||||||||
Total Czech Republic | 177,395 | |||||||||
|
| |||||||||
Denmark — 0.3% | ||||||||||
78 | AP Moeller – Maersk A/S – Class A | 111,310 | ||||||||
420 | AP Moeller – Maersk A/S – Class B | 628,304 | ||||||||
1,419 | Carlsberg A/S – Class B | 133,203 | ||||||||
|
| |||||||||
Total Denmark | 872,817 | |||||||||
|
| |||||||||
Finland — 0.3% | ||||||||||
5,701 | Neste Oyj | 237,459 | ||||||||
165 | Sampo Oyj – A Shares | 7,097 | ||||||||
32,659 | UPM – Kymmene Oyj | 656,445 | ||||||||
|
| |||||||||
Total Finland | 901,001 | |||||||||
|
| |||||||||
France — 5.1% | ||||||||||
11,161 | Air France-KLM * | 61,433 | ||||||||
920 | APERAM SA | 38,097 | ||||||||
169,295 | AXA SA | 3,563,197 | ||||||||
19,123 | BNP Paribas SA | 976,621 | ||||||||
1,112 | Carrefour SA | 28,060 | ||||||||
4,814 | Christian Dior SE | 834,222 | ||||||||
11,490 | Cie Generale des Etablissements Michelin | 1,224,792 | ||||||||
19,151 | CNP Assurances | 308,916 | ||||||||
3,173 | M6-Metropole Television SA | 56,354 | ||||||||
6,790 | Peugeot SA * | 100,511 | ||||||||
16,106 | Rexel SA | 259,443 | ||||||||
329 | Sanofi | 25,388 | ||||||||
11,018 | SCOR SE | 325,088 | ||||||||
1,213 | Societe BIC SA | 177,249 | ||||||||
14,997 | Societe Generale SA | 547,536 | ||||||||
5,703 | Suez | 86,476 | ||||||||
110,884 | TOTAL SA | 5,297,637 |
Shares | Description | Value ($) | ||||||||
France — continued | ||||||||||
45,264 | Vivendi SA | 876,705 | ||||||||
|
| |||||||||
Total France | 14,787,725 | |||||||||
|
| |||||||||
Germany — 4.9% | ||||||||||
12,976 | ADVA Optical Networking SE * | 110,720 | ||||||||
18,609 | Allianz SE (Registered) | 2,766,358 | ||||||||
27,562 | BASF SE | 2,235,707 | ||||||||
15,985 | Bayerische Motoren Werke AG | 1,388,982 | ||||||||
205 | Bechtle AG | 22,873 | ||||||||
56,696 | Daimler AG (Registered) | 3,924,549 | ||||||||
68,007 | Deutsche Lufthansa AG (Registered) | 791,103 | ||||||||
6,225 | Evonik Industries AG | 208,876 | ||||||||
1,487 | Fraport AG Frankfurt Airport Services Worldwide | 82,868 | ||||||||
1,227 | Fresenius SE & Co KGaA | 89,447 | ||||||||
6,432 | Hannover Rueck SE | 657,536 | ||||||||
1,467 | HeidelbergCement AG | 136,136 | ||||||||
3,994 | Muenchener Rueckversicherungs AG (Registered) | 721,241 | ||||||||
12,651 | ProSiebenSat.1 Media SE | 545,844 | ||||||||
4,360 | RHOEN-KLINIKUM AG | 128,898 | ||||||||
429 | RTL Group SA | 36,115 | ||||||||
6,847 | Software AG | 272,231 | ||||||||
4,968 | STADA Arzneimittel AG | 266,420 | ||||||||
1,033 | Talanx AG | 30,238 | ||||||||
|
| |||||||||
Total Germany | 14,416,142 | |||||||||
|
| |||||||||
Hong Kong — 1.3% | ||||||||||
116,500 | BOC Hong Kong Holdings Ltd | 406,745 | ||||||||
27,500 | CK Hutchison Holdings Ltd | 352,837 | ||||||||
33,200 | Dah Sing Banking Group Ltd | 60,924 | ||||||||
15,500 | Henderson Land Development Co Ltd | 90,435 | ||||||||
66,600 | Hongkong Land Holdings Ltd | 431,654 | ||||||||
55,000 | Hysan Development Co Ltd | 265,194 | ||||||||
86,500 | Kerry Properties Ltd | 251,216 | ||||||||
75,000 | Link REIT | 544,794 | ||||||||
17,000 | Luk Fook Holdings International Ltd | 38,753 | ||||||||
26,000 | New World Development Co Ltd | 32,513 | ||||||||
30,000 | Pacific Textiles Holdings Ltd | 39,423 | ||||||||
399,000 | SJM Holdings Ltd | 250,316 | ||||||||
27,500 | Swire Pacific Ltd – Class A | 303,380 | ||||||||
20,000 | Techtronic Industries Co Ltd | 81,015 | ||||||||
34,000 | Wharf Holdings Ltd (The) | 239,616 | ||||||||
40,000 | Wheelock & Co Ltd | 228,405 | ||||||||
12,500 | Xinyi Automobile Glass Hong Kong Enterprises Ltd * | 2,578 | ||||||||
96,000 | Xinyi Glass Holdings Ltd * | 82,524 | ||||||||
|
| |||||||||
Total Hong Kong | 3,702,322 | |||||||||
|
|
See accompanying notes to the financial statements. | 3 |
GMO Developed World Stock Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Hungary — 0.0% | ||||||||||
21,718 | Magyar Telekom Telecommunications Plc | 33,864 | ||||||||
3,333 | Richter Gedeon Nyrt | 68,375 | ||||||||
|
| |||||||||
Total Hungary | 102,239 | |||||||||
|
| |||||||||
India — 0.0% | ||||||||||
11,878 | Indiabulls Housing Finance Ltd | 145,023 | ||||||||
|
| |||||||||
Ireland — 0.1% | ||||||||||
5,252 | CRH Plc | 176,515 | ||||||||
|
| |||||||||
Israel — 0.7% | ||||||||||
59,015 | Bank Hapoalim BM | 316,861 | ||||||||
71,905 | Bank Leumi Le-Israel BM * | 269,449 | ||||||||
15,505 | Bezeq The Israeli Telecommunication Corp Ltd | 31,164 | ||||||||
13,400 | Check Point Software Technologies Ltd * | 1,028,316 | ||||||||
28,192 | Israel Discount Bank Ltd – Class A * | 50,911 | ||||||||
1,515 | Mizrahi Tefahot Bank Ltd | 18,287 | ||||||||
7,000 | Teva Pharmaceutical Industries Ltd Sponsored ADR | 352,730 | ||||||||
|
| |||||||||
Total Israel | 2,067,718 | |||||||||
|
| |||||||||
Italy — 1.1% | ||||||||||
46,855 | Banca Mediolanum SPA | 325,519 | ||||||||
193,447 | Enel SPA | 854,830 | ||||||||
65,939 | ENI SPA | 995,423 | ||||||||
1,970 | EXOR SPA | 81,004 | ||||||||
17,201 | Fiat Chrysler Automobiles NV | 118,968 | ||||||||
52,375 | Hera SPA | 145,193 | ||||||||
6,620 | Poste Italiane SPA | 46,164 | ||||||||
14,815 | Recordati SPA | 448,398 | ||||||||
1,971 | Rizzoli Corriere Della Sera Mediagroup SPA * | 2,135 | ||||||||
47,700 | Snam SPA | 264,755 | ||||||||
2,400 | Societa Cattolica di Assicurazioni SCRL | 13,908 | ||||||||
|
| |||||||||
Total Italy | 3,296,297 | |||||||||
|
| |||||||||
Japan — 13.8% | ||||||||||
900 | Ain Holdings Inc | 51,111 | ||||||||
3,600 | Aisin Seiki Co Ltd | 170,289 | ||||||||
4,200 | Aoyama Trading Co Ltd | 136,423 | ||||||||
600 | Asahi Breweries Ltd | 19,631 | ||||||||
5,000 | Asahi Kasei Corp | 42,242 | ||||||||
4,600 | Asatsu-DK Inc | 112,898 | ||||||||
3,500 | Autobacs Seven Co Ltd | 48,523 | ||||||||
2,200 | Bandai Namco Holdings Inc | 60,136 | ||||||||
9,200 | Bridgestone Corp | 316,415 | ||||||||
24,000 | Calsonic Kansei Corp | 189,106 | ||||||||
21,200 | Canon Inc | 607,924 | ||||||||
8,700 | Central Japan Railway Co | 1,430,641 | ||||||||
13,000 | Chiba Bank Ltd (The) | 77,216 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
4,000 | Coca-Cola West Co Ltd | 90,722 | ||||||||
3,900 | Concordia Financial Group Ltd * | 20,163 | ||||||||
10,400 | Daicel Corp | 132,898 | ||||||||
900 | Daito Trust Construction Co Ltd | 132,574 | ||||||||
15,000 | Daiwa House Industry Co Ltd | 387,515 | ||||||||
12,000 | Daiwabo Holdings Co Ltd | 25,532 | ||||||||
14,000 | DCM Holdings Co Ltd | 106,710 | ||||||||
44,000 | Denka Co Ltd | 186,017 | ||||||||
2,900 | DIC Corp | 88,366 | ||||||||
18,100 | Fuji Heavy Industries Ltd | 720,420 | ||||||||
42,500 | FUJIFILM Holdings Corp | 1,599,291 | ||||||||
7,000 | Fujikura Ltd | 39,358 | ||||||||
7,000 | Fujitsu General Ltd | 142,397 | ||||||||
4,000 | Fukuoka Financial Group Inc | 16,963 | ||||||||
1,100 | Geo Holdings Corp | 14,013 | ||||||||
1,400 | Haseko Corp | 13,270 | ||||||||
3,400 | Hitachi Capital Corp | 70,854 | ||||||||
5,400 | Honda Motor Co Ltd | 166,353 | ||||||||
2,500 | Horiba Ltd | 116,314 | ||||||||
6,300 | Idemitsu Kosan Co Ltd | 114,801 | ||||||||
2,600 | Isuzu Motors Ltd | 29,988 | ||||||||
247,200 | ITOCHU Corp | 2,919,162 | ||||||||
500 | Jafco Co Ltd | 14,598 | ||||||||
35,300 | Japan Airlines Co Ltd | 1,077,431 | ||||||||
6,300 | K’s Holdings Corp | 99,480 | ||||||||
23,000 | Kaneka Corp | 187,845 | ||||||||
14,000 | Kanematsu Corp | 20,583 | ||||||||
151,000 | KDDI Corp | 4,414,429 | ||||||||
3,800 | Keihin Corp | 58,433 | ||||||||
1,800 | Kewpie Corp | 49,486 | ||||||||
9,300 | Konica Minolta Inc | 84,013 | ||||||||
4,600 | Kuraray Co Ltd | 65,826 | ||||||||
1,200 | Kuroda Electric Co Ltd | 22,552 | ||||||||
113,900 | Marubeni Corp | 568,395 | ||||||||
11,000 | Medipal Holdings Corp | 174,217 | ||||||||
80,700 | Mitsubishi Chemical Holdings Corp | 510,666 | ||||||||
2,100 | Mitsubishi Motors Corp | 9,603 | ||||||||
598,900 | Mitsubishi UFJ Financial Group Inc | 3,299,056 | ||||||||
10,600 | Mitsubishi UFJ Lease & Finance Co Ltd | 49,778 | ||||||||
68,200 | Mitsui & Co Ltd | 908,085 | ||||||||
461,500 | Mizuho Financial Group Inc | 804,084 | ||||||||
2,400 | NHK Spring Co Ltd | 22,654 | ||||||||
1,100 | Nifco Inc | 55,457 | ||||||||
4,000 | Nippon Corp | 72,493 | ||||||||
9,000 | Nippon Paper Industries Co Ltd | 166,746 | ||||||||
83,300 | Nippon Telegraph & Telephone Corp | 3,662,624 | ||||||||
95,000 | Nippon Yusen KK | 173,231 | ||||||||
13,000 | Nishi-Nippon City Bank Ltd (The) | 27,074 | ||||||||
45,763 | Nissan Motor Co Ltd | 449,645 | ||||||||
200 | Nitori Holdings Co Ltd | 20,245 |
4 | See accompanying notes to the financial statements. |
GMO Developed World Stock Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
1,000 | NOK Corp | 20,363 | ||||||||
2,000 | Nomura Real Estate Holdings Inc | 32,618 | ||||||||
32,500 | NTT DOCOMO Inc | 819,627 | ||||||||
3,100 | Open House Co Ltd | 67,037 | ||||||||
13,100 | Orient Corp * | 26,129 | ||||||||
22,700 | ORIX Corp | 327,128 | ||||||||
28,000 | Otsuka Holdings Co Ltd | 1,214,181 | ||||||||
1,500 | Pola Orbis Holdings Inc | 119,805 | ||||||||
21,900 | Resona Holdings Inc | 100,296 | ||||||||
20,300 | Ricoh Co Ltd | 183,356 | ||||||||
27,300 | Sekisui Chemical Co Ltd | 382,249 | ||||||||
39,200 | Sekisui House Ltd | 632,446 | ||||||||
2,000 | Shimadzu Corp | 31,371 | ||||||||
200 | Shimamura Co Ltd | 23,152 | ||||||||
333,900 | Sojitz Corp | 800,859 | ||||||||
9,000 | Sumitomo Chemical Co Ltd | 41,290 | ||||||||
45,500 | Sumitomo Corp | 493,710 | ||||||||
14,100 | Sumitomo Forestry Co Ltd | 190,877 | ||||||||
129,800 | Sumitomo Mitsui Financial Group Inc | 4,540,679 | ||||||||
55,000 | Sumitomo Mitsui Trust Holdings Inc | 197,352 | ||||||||
48,000 | Sumitomo Osaka Cement Co Ltd | 217,364 | ||||||||
16,000 | Sumitomo Rubber Industries Ltd | 237,855 | ||||||||
2,900 | Sundrug Co Ltd | 210,100 | ||||||||
1,600 | Suzuken Co Ltd | 46,457 | ||||||||
8,000 | Takashimaya Co Ltd | 58,601 | ||||||||
7,300 | Toho Holdings Co Ltd | 141,916 | ||||||||
4,400 | Tokai Rika Co Ltd | 87,277 | ||||||||
11,500 | Tokyo Electric Power Co Holdings Inc * | 46,349 | ||||||||
54,000 | Tosoh Corp | 333,159 | ||||||||
18,700 | Toyota Tsusho Corp | 428,211 | ||||||||
6,100 | TS Tech Co Ltd | 141,879 | ||||||||
300 | Tsuruha Holdings Inc | 29,409 | ||||||||
38,000 | Ube Industries Ltd | 69,177 | ||||||||
2,400 | Valor Holdings Co Ltd | 64,801 | ||||||||
32,100 | Yamada Denki Co Ltd | 150,171 | ||||||||
6,000 | Yamaguchi Financial Group Inc | 63,396 | ||||||||
7,500 | Yokohama Rubber Co Ltd (The) | 122,058 | ||||||||
|
| |||||||||
Total Japan | 40,157,670 | |||||||||
|
| |||||||||
Mexico — 0.1% | ||||||||||
14,300 | Arca Continental SAB de CV | 89,283 | ||||||||
4,240 | Gruma SAB de CV – Class B | 56,368 | ||||||||
3,500 | Grupo Aeroportuario del Pacifico SAB de CV – Class B | 34,801 | ||||||||
45,900 | Wal-Mart de Mexico SAB de CV | 104,849 | ||||||||
|
| |||||||||
Total Mexico | 285,301 | |||||||||
|
| |||||||||
Netherlands — 1.9% | ||||||||||
2,297 | Aalberts Industries NV | 77,200 | ||||||||
6,400 | AerCap Holdings NV * | 255,808 |
Shares | Description | Value ($) | ||||||||
Netherlands — continued | ||||||||||
1,500 | AVG Technologies NV * | 37,290 | ||||||||
2,736 | Heineken Holding NV | 220,551 | ||||||||
94,679 | Koninklijke Ahold Delhaize NV | 2,272,935 | ||||||||
88,943 | PostNL NV * | 390,060 | ||||||||
2,851 | Randstad Holdings NV | 134,888 | ||||||||
11,013 | TomTom NV * | 101,441 | ||||||||
21,347 | Unilever NV CVA | 982,199 | ||||||||
25,368 | Wolters Kluwer NV | 1,067,156 | ||||||||
|
| |||||||||
Total Netherlands | 5,539,528 | |||||||||
|
| |||||||||
New Zealand — 0.0% | ||||||||||
6,215 | Fletcher Building Ltd | 47,748 | ||||||||
|
| |||||||||
Norway — 0.9% | ||||||||||
5,884 | Bakkafrost P/F | 211,103 | ||||||||
5,194 | BW LPG Ltd | 13,691 | ||||||||
15,916 | DNB ASA | 193,018 | ||||||||
40,363 | Orkla ASA | 369,382 | ||||||||
54,999 | Statoil ASA | 862,814 | ||||||||
24,977 | Storebrand ASA * | 105,488 | ||||||||
17,831 | Telenor ASA | 310,956 | ||||||||
13,537 | Yara International ASA | 479,386 | ||||||||
|
| |||||||||
Total Norway | 2,545,838 | |||||||||
|
| |||||||||
Poland — 0.1% | ||||||||||
1,622 | Asseco Poland SA | 23,666 | ||||||||
11,184 | KGHM Polska Miedz SA * | 209,645 | ||||||||
9,660 | PGE Polska Grupa Energetyczna SA | 28,541 | ||||||||
|
| |||||||||
Total Poland | 261,852 | |||||||||
|
| |||||||||
Portugal — 0.1% | ||||||||||
23,296 | CTT-Correios de Portugal SA | 171,113 | ||||||||
40,873 | EDP-Energias de Portugal SA | 137,318 | ||||||||
|
| |||||||||
Total Portugal | 308,431 | |||||||||
|
| |||||||||
Russia — 1.1% | ||||||||||
609,710 | Gazprom PJSC | 1,259,055 | ||||||||
200,295 | Gazprom PJSC Sponsored ADR | 809,857 | ||||||||
14,896 | Lukoil PJSC Sponsored ADR | 667,577 | ||||||||
68,129 | Rosneft PJSC GDR (Registered) | 355,720 | ||||||||
5,963 | Tatneft PAO Sponsored ADR | 175,848 | ||||||||
|
| |||||||||
Total Russia | 3,268,057 | |||||||||
|
| |||||||||
Singapore — 0.2% | ||||||||||
23,700 | CapitaLand Commercial Trust Ltd (REIT) | 26,852 | ||||||||
92,700 | CapitaLand Mall Trust (REIT) | 146,885 | ||||||||
19,400 | SATS Ltd | 67,039 | ||||||||
374,900 | Yangzijiang Shipbuilding Holdings Ltd | 210,169 | ||||||||
|
| |||||||||
Total Singapore | 450,945 | |||||||||
|
|
See accompanying notes to the financial statements. | 5 |
GMO Developed World Stock Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Africa — 0.5% | ||||||||||
44,814 | African Bank Investments Ltd * (a) | 3 | ||||||||
8,754 | AVI Ltd | 53,026 | ||||||||
3,516 | Barclays Africa Group Ltd | 35,647 | ||||||||
14,414 | Barloworld Ltd | 81,600 | ||||||||
14,847 | Bidvest Group Ltd (The) | 153,557 | ||||||||
2,638 | Clicks Group Ltd | 21,703 | ||||||||
2,736 | Hyprop Investments Ltd (REIT) | 23,949 | ||||||||
800 | Imperial Holdings Ltd | 8,589 | ||||||||
2,396 | Kumba Iron Ore Ltd * | 21,817 | ||||||||
3,724 | Liberty Holdings Ltd | 28,526 | ||||||||
11,178 | MMI Holdings Ltd | 17,183 | ||||||||
5,143 | Mondi Ltd | 103,921 | ||||||||
5,541 | Nedbank Group Ltd | 77,900 | ||||||||
7,615 | RMB Holdings Ltd | 30,488 | ||||||||
13,088 | Sasol Ltd | 330,398 | ||||||||
2,828 | Sibanye Gold Ltd Sponsored ADR | 43,636 | ||||||||
7,719 | Telkom South Africa Ltd | 31,960 | ||||||||
27,202 | Truworths International Ltd | 140,984 | ||||||||
18,269 | Vodacom Group Ltd | 190,149 | ||||||||
|
| |||||||||
Total South Africa | 1,395,036 | |||||||||
|
| |||||||||
South Korea — 1.0% | ||||||||||
263 | Coway Co Ltd | 19,644 | ||||||||
505 | Dongbu Insurance Co Ltd | 30,534 | ||||||||
175 | E-MART Inc | 24,689 | ||||||||
1,546 | Hana Financial Group Inc | 40,492 | ||||||||
847 | Hankook Tire Co Ltd | 42,361 | ||||||||
3,148 | Hankook Tire Worldwide Co Ltd | 60,317 | ||||||||
2,075 | Hanwha Corp | 68,059 | ||||||||
2,121 | Hyundai Mobis Co Ltd | 494,275 | ||||||||
3,003 | Hyundai Motor Co | 357,740 | ||||||||
12,687 | Industrial Bank of Korea | 133,469 | ||||||||
2,783 | KB Financial Group Inc | 97,099 | ||||||||
12,850 | Kia Motors Corp | 483,037 | ||||||||
1,284 | Korean Reinsurance Co | 13,758 | ||||||||
745 | KT&G Corp | 78,106 | ||||||||
337 | LG Display Co Ltd | 9,040 | ||||||||
472 | Samsung Electronics Co Ltd | 684,621 | ||||||||
92 | Samsung Electronics Co Ltd GDR | 66,574 | ||||||||
1,232 | SK Innovation Co Ltd | 159,907 | ||||||||
8,027 | Woori Bank | 76,270 | ||||||||
|
| |||||||||
Total South Korea | 2,939,992 | |||||||||
|
| |||||||||
Spain — 1.2% | ||||||||||
13,675 | Ebro Foods SA | 306,126 | ||||||||
953 | Enagas SA | 28,006 | ||||||||
62,484 | Endesa SA | 1,273,351 | ||||||||
88,713 | Iberdrola SA | 584,346 | ||||||||
45,336 | International Consolidated Airlines Group SA | 228,298 |
Shares | Description | Value ($) | ||||||||
Spain — continued | ||||||||||
22,160 | Mapfre SA | 60,103 | ||||||||
66,194 | Repsol SA | 889,208 | ||||||||
|
| |||||||||
Total Spain | 3,369,438 | |||||||||
|
| |||||||||
Sweden — 0.6% | ||||||||||
18,471 | Axfood AB | 327,824 | ||||||||
1,033 | Bonava AB – B Shares * | 12,453 | ||||||||
3,843 | Fastighets AB Balder – B Shares * | 107,249 | ||||||||
3,563 | Intrum Justitia AB | 112,389 | ||||||||
1,033 | NCC AB – B Shares | 25,741 | ||||||||
5,675 | Sandvik AB | 61,560 | ||||||||
2,817 | Skanska AB – B Shares | 61,666 | ||||||||
136,566 | Telefonaktiebolaget LM Ericsson – B Shares | 972,660 | ||||||||
|
| |||||||||
Total Sweden | 1,681,542 | |||||||||
|
| |||||||||
Switzerland — 2.5% | ||||||||||
6,516 | Adecco Group AG (Registered) | 375,385 | ||||||||
744 | Baloise Holding AG (Registered) | 88,639 | ||||||||
253 | Cembra Money Bank AG * | 18,329 | ||||||||
87 | dorma & kaba Holding AG – Class B (Registered) | 68,334 | ||||||||
452 | EMS-Chemie Holding AG (Registered) | 240,696 | ||||||||
4,628 | Kuehne & Nagel International AG (Registered) | 646,603 | ||||||||
122 | LafargeHolcim Ltd (Registered) | 6,477 | ||||||||
3,640 | Roche Holding AG | 888,525 | ||||||||
18 | Sika AG | 85,821 | ||||||||
1,392 | Swiss Life Holding AG (Registered) * | 348,996 | ||||||||
50,940 | Swiss Re AG | 4,304,768 | ||||||||
471 | Zurich Insurance Group AG * | 120,608 | ||||||||
|
| |||||||||
Total Switzerland | 7,193,181 | |||||||||
|
| |||||||||
Taiwan — 1.2% | ||||||||||
11,000 | Asustek Computer Inc | 92,909 | ||||||||
14,000 | Catcher Technology Co Ltd * | 100,423 | ||||||||
137,047 | E.Sun Financial Holding Co Ltd | 77,000 | ||||||||
24,494 | Foxconn Technology Co Ltd * | 68,603 | ||||||||
177,000 | Fubon Financial Holding Co Ltd | 249,855 | ||||||||
34,100 | Highwealth Construction Corp | 52,950 | ||||||||
352,600 | Hon Hai Precision Industry Co Ltd | 975,319 | ||||||||
4,202 | Hon Hai Precision Industry Co Ltd GDR (Registered) | 22,893 | ||||||||
70,092 | Hua Nan Financial Holdings Co Ltd – Class C | 36,079 | ||||||||
271,000 | Innolux Corp | 95,452 | ||||||||
107,000 | Inventec Corp | 79,240 | ||||||||
145,699 | Lite-On Technology Corp | 220,129 | ||||||||
11,538 | Lite-On Technology Corp GDR (a) | 173,963 | ||||||||
86,000 | Mega Financial Holding Co Ltd | 58,477 | ||||||||
175,000 | Pegatron Corp | 422,236 | ||||||||
45,000 | Pou Chen Corp | 65,081 |
6 | See accompanying notes to the financial statements. |
GMO Developed World Stock Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
26,000 | Radiant Opto-Electronics Corp | 42,587 | ||||||||
144,082 | Shin Kong Financial Holding Co Ltd * | 31,548 | ||||||||
11,000 | Simplo Technology Co Ltd | 36,165 | ||||||||
75,065 | Taishin Financial Holding Co Ltd | 28,355 | ||||||||
19,000 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR | 546,060 | ||||||||
31,000 | Uni-President Enterprises Corp | 58,492 | ||||||||
214,000 | United Microelectronics Corp | 77,593 | ||||||||
81,000 | Yuanta Financial Holding Co Ltd | 28,665 | ||||||||
|
| |||||||||
Total Taiwan | 3,640,074 | |||||||||
|
| |||||||||
Thailand — 0.0% | ||||||||||
154,100 | Krung Thai Bank Pcl NVDR | 84,496 | ||||||||
|
| |||||||||
Turkey — 0.7% | ||||||||||
127,096 | Eregli Demir ve Celik Fabrikalari TAS | 191,214 | ||||||||
42,062 | KOC Holding AS | 182,571 | ||||||||
12,798 | TAV Havalimanlari Holding AS | 49,894 | ||||||||
8,107 | Tupras-Turkiye Petrol Rafineriler AS | 158,725 | ||||||||
143,122 | Turk Hava Yollari AO * | 249,547 | ||||||||
13,365 | Turk Telekomunikasyon AS | 26,973 | ||||||||
14,368 | Turkcell Iletisim Hizmetleri AS * | 48,157 | ||||||||
113,118 | Turkiye Halk Bankasi AS | 339,495 | ||||||||
276,434 | Turkiye Is Bankasi – Class C | 449,434 | ||||||||
192,699 | Turkiye Vakiflar Bankasi TAO – Class D | 283,354 | ||||||||
|
| |||||||||
Total Turkey | 1,979,364 | |||||||||
|
| |||||||||
United Kingdom — 7.8% | ||||||||||
75,490 | AstraZeneca Plc | 4,872,955 | ||||||||
3,750 | Bellway Plc | 114,777 | ||||||||
21,956 | Berkeley Group Holdings Plc (The) | 770,365 | ||||||||
6,119 | Bovis Homes Group Plc | 72,035 | ||||||||
44,642 | British American Tobacco Plc | 2,769,707 | ||||||||
1,600 | British American Tobacco Plc Sponsored ADR | 198,704 | ||||||||
24,856 | Carillion Plc | 84,932 | ||||||||
331,843 | Centrica Plc | 1,014,699 | ||||||||
26,309 | Compass Group Plc | 497,963 | ||||||||
14,985 | Crest Nicholson Holdings Plc | 91,528 | ||||||||
19,518 | Direct Line Insurance Group Plc | 94,791 | ||||||||
4,295 | Galliford Try Plc | 64,053 | ||||||||
65,804 | GlaxoSmithKline Plc | 1,416,447 | ||||||||
15,580 | GlaxoSmithKline Plc Sponsored ADR | 677,107 | ||||||||
5,499 | Hammerson Plc (REIT) | 41,891 | ||||||||
36,477 | Henderson Group Plc | 114,248 | ||||||||
75,393 | Home Retail Group Plc | 158,030 | ||||||||
43,200 | HSBC Holdings Plc | 320,483 | ||||||||
24,900 | HSBC Holdings Plc | 185,129 | ||||||||
7,129 | Hunting Plc | 43,495 | ||||||||
33,265 | Imperial Brands Plc | 1,744,860 |
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
40,524 | Inchcape Plc | 373,469 | ||||||||
37,938 | Indivior Plc | 156,609 | ||||||||
7,054 | Intermediate Capital Group Plc | 55,156 | ||||||||
54,888 | J Sainsbury Plc | 173,212 | ||||||||
15,748 | Jupiter Fund Management Plc | 86,716 | ||||||||
196,303 | Kingfisher Plc | 957,382 | ||||||||
40,245 | Legal & General Group Plc | 111,322 | ||||||||
8,459 | LG Group Holdings Plc | 105,660 | ||||||||
2,294 | Mondi Plc | 46,679 | ||||||||
16,513 | National Grid Plc | 227,252 | ||||||||
47,845 | Persimmon Plc | 1,146,113 | ||||||||
982 | Playtech Plc | 11,750 | ||||||||
19,429 | Reckitt Benckiser Group Plc | 1,876,816 | ||||||||
67,954 | Royal Mail Plc | 458,562 | ||||||||
12,149 | Royal Dutch Shell Plc A Shares (London) | 296,918 | ||||||||
7,542 | Sage Group Plc (The) | 71,859 | ||||||||
12,049 | WH Smith Plc | 241,155 | ||||||||
22,486 | WM Morrison Supermarkets Plc | 58,183 | ||||||||
46,202 | WPP Plc | 1,066,710 | ||||||||
|
| |||||||||
Total United Kingdom | 22,869,722 | |||||||||
|
| |||||||||
United States — 21.6% | ||||||||||
8,400 | 3M Co. | 1,505,616 | ||||||||
3,600 | Activision Blizzard, Inc. | 148,932 | ||||||||
6,900 | Aflac, Inc. | 511,842 | ||||||||
10,400 | AGCO Corp. | 504,816 | ||||||||
300 | Alphabet, Inc. – Class C * | 230,115 | ||||||||
700 | Altisource Portfolio Solutions SA * | 22,806 | ||||||||
16,400 | Amdocs Ltd. | 985,968 | ||||||||
600 | American National Insurance Co. | 70,092 | ||||||||
3,700 | Anthem, Inc. | 462,796 | ||||||||
2,000 | Apollo Commercial Real Estate Finance, Inc. | 32,600 | ||||||||
6,700 | Apple, Inc. | 710,870 | ||||||||
1,700 | AptarGroup, Inc. | 132,566 | ||||||||
104 | Ares Capital Corp. | 1,681 | ||||||||
10,800 | ARMOUR Residential REIT, Inc. | 240,192 | ||||||||
15,900 | Arrow Electronics, Inc. * | 1,046,697 | ||||||||
23,800 | Assured Guaranty Ltd. | 660,926 | ||||||||
3,000 | AT&T, Inc. | 122,640 | ||||||||
1,500 | Atlas Air Worldwide Holdings, Inc. * | 55,710 | ||||||||
1,000 | Atmos Energy Corp. | 73,700 | ||||||||
14,800 | Avery Dennison Corp. | 1,146,112 | ||||||||
2,800 | Avista Corp. | 113,736 | ||||||||
23,600 | Avnet, Inc. | 983,648 | ||||||||
26,502 | Bed Bath & Beyond, Inc. | 1,228,898 | ||||||||
1,100 | BGC Partners, Inc. – Class A | 9,647 | ||||||||
900 | Booz Allen Hamilton Holding Corp. | 27,324 | ||||||||
800 | CACI International, Inc. – Class A * | 79,488 | ||||||||
8,700 | California Resources Corp. | 86,391 |
See accompanying notes to the financial statements. | 7 |
GMO Developed World Stock Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
15,100 | Capital One Financial Corp. | 1,081,160 | ||||||||
6,600 | Cash America International, Inc. | 287,298 | ||||||||
1,700 | CatchMark Timber Trust, Inc. (REIT) – Class A | 19,890 | ||||||||
300 | Cheesecake Factory, Inc. (The) | 15,423 | ||||||||
800 | Chemed Corp. | 107,944 | ||||||||
2,000 | Chemical Financial Corp. | 92,460 | ||||||||
1,100 | Chemours Co. (The) | 14,509 | ||||||||
13,000 | Chimera Investment Corp. (REIT) | 214,370 | ||||||||
7,000 | Cintas Corp. | 822,570 | ||||||||
63,400 | Cisco Systems, Inc. | 1,993,296 | ||||||||
33,800 | Citigroup, Inc. | 1,613,612 | ||||||||
800 | Citrix Systems, Inc. * | 69,760 | ||||||||
8,200 | Coach, Inc. | 313,076 | ||||||||
11,600 | Convergys Corp. | 346,028 | ||||||||
100 | Cooper-Standard Holding, Inc. * | 9,905 | ||||||||
12,700 | Delta Air Lines, Inc. | 466,725 | ||||||||
4,800 | Deluxe Corp. | 327,216 | ||||||||
63,900 | Denbury Resources, Inc. * | 196,812 | ||||||||
1,800 | Douglas Dynamics, Inc. | 57,744 | ||||||||
18,456 | Dr Pepper Snapple Group, Inc. | 1,729,327 | ||||||||
600 | Drew Industries, Inc. | 61,110 | ||||||||
19,300 | Emerson Electric Co. | 1,016,724 | ||||||||
200 | Endurance Specialty Holdings Ltd. | 13,170 | ||||||||
1,900 | Ennis, Inc. | 31,502 | ||||||||
100 | Euronet Worldwide, Inc. * | 7,761 | ||||||||
2,800 | Everest Re Group Ltd. | 541,464 | ||||||||
7,900 | Expeditors International of Washington, Inc. | 400,135 | ||||||||
9,500 | Express, Inc. * | 112,385 | ||||||||
1,200 | F5 Networks, Inc. * | 147,276 | ||||||||
1,800 | First American Financial Corp. | 77,562 | ||||||||
15,000 | Fiserv, Inc. * | 1,545,750 | ||||||||
21,200 | Foot Locker, Inc. | 1,391,568 | ||||||||
3,700 | Franklin Resources, Inc. | 135,050 | ||||||||
3,800 | Gannett Co., Inc. | 45,334 | ||||||||
443 | Gentex Corp. | 7,881 | ||||||||
6,700 | Gilead Sciences, Inc. | 525,146 | ||||||||
6,600 | Goodyear Tire & Rubber Co. (The) | 193,710 | ||||||||
11,900 | Guess?, Inc. | 197,897 | ||||||||
2,500 | Hanover Insurance Group, Inc. (The) | 195,500 | ||||||||
45 | Hasbro, Inc. | 3,678 | ||||||||
800 | HCI Group, Inc. | 25,432 | ||||||||
6,400 | Helen of Troy Ltd. * | 578,176 | ||||||||
13,200 | Home Depot, Inc. (The) | 1,770,384 | ||||||||
700 | Honeywell International, Inc. | 81,697 | ||||||||
17,600 | Hormel Foods Corp. | 673,376 | ||||||||
7,444 | HP, Inc. | 106,970 | ||||||||
400 | IDACORP, Inc. | 30,428 | ||||||||
10,800 | Ingredion, Inc. | 1,479,168 | ||||||||
57,000 | Intel Corp. | 2,045,730 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
7,773 | International Business Machines Corp. | 1,234,974 | ||||||||
10,800 | Jabil Circuit, Inc. | 228,852 | ||||||||
500 | Janus Capital Group, Inc. | 7,435 | ||||||||
300 | John B. Sanfilippo & Son, Inc. | 15,426 | ||||||||
19,610 | Johnson & Johnson | 2,340,258 | ||||||||
1,700 | Jones Lang LaSalle, Inc. | 198,475 | ||||||||
29,000 | JPMorgan Chase & Co. | 1,957,500 | ||||||||
5,600 | KAR Auction Services, Inc. | 236,768 | ||||||||
11,300 | Korn/Ferry International | 269,392 | ||||||||
9,400 | Lear Corp. | 1,093,126 | ||||||||
200 | Lincoln National Corp. | 9,606 | ||||||||
20,500 | LyondellBasell Industries NV – Class A | 1,617,245 | ||||||||
6,800 | Macy’s, Inc. | 246,024 | ||||||||
100 | ManpowerGroup, Inc. | 7,146 | ||||||||
13,900 | Marathon Oil Corp. | 208,778 | ||||||||
400 | Matson, Inc. | 15,436 | ||||||||
20,900 | MBIA, Inc. * | 168,454 | ||||||||
3,400 | Microsoft Corp. | 195,364 | ||||||||
2,983 | Murphy USA, Inc. * | 218,117 | ||||||||
7,100 | Nasdaq, Inc. | 505,591 | ||||||||
1,000 | Navigators Group, Inc. (The) | 93,960 | ||||||||
1,000 | Northwest Bancshares, Inc. | 15,520 | ||||||||
2,400 | Old Republic International Corp. | 46,152 | ||||||||
1,200 | Omega Protein Corp. * | 30,252 | ||||||||
5,400 | Omnicom Group, Inc. | 465,102 | ||||||||
24,800 | Paychex, Inc. | 1,504,616 | ||||||||
44,300 | PDL BioPharma, Inc. | 128,913 | ||||||||
55,100 | Pfizer, Inc. | 1,917,480 | ||||||||
3,000 | Philip Morris International, Inc. | 299,790 | ||||||||
100 | Pinnacle West Capital Corp. | 7,504 | ||||||||
3,100 | PRA Group, Inc. * | 99,138 | ||||||||
1,700 | Public Service Enterprise Group, Inc. | 72,692 | ||||||||
4,638 | QUALCOMM, Inc. | 292,519 | ||||||||
1,400 | RR Donnelley & Sons Co. | 23,940 | ||||||||
3,700 | Sanmina Corp. * | 97,236 | ||||||||
2,400 | SCANA Corp. | 169,560 | ||||||||
3,500 | SkyWest, Inc. | 98,805 | ||||||||
6,600 | Smith & Wesson Holding Corp. * | 185,790 | ||||||||
5,000 | Snap-on, Inc. | 766,450 | ||||||||
300 | Superior Industries International, Inc. | 8,733 | ||||||||
600 | Sykes Enterprises, Inc. * | 17,538 | ||||||||
7,500 | T. Rowe Price Group, Inc. | 521,550 | ||||||||
21,210 | Talen Energy Corp. * | 292,910 | ||||||||
3,480 | Tech Data Corp. * | 258,355 | ||||||||
16,800 | Tesoro Corp. | 1,267,056 | ||||||||
700 | Texas Roadhouse, Inc. | 30,989 | ||||||||
1,422 | Thor Industries, Inc. | 115,395 | ||||||||
2,300 | Tower International, Inc. | 55,890 | ||||||||
16,000 | Travelers Cos., Inc. (The) | 1,899,360 |
8 | See accompanying notes to the financial statements. |
GMO Developed World Stock Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
2,700 | TrueBlue, Inc. * | 58,995 | ||||||||
100 | Tupperware Brands Corp. | 6,553 | ||||||||
5,500 | United Parcel Service, Inc. – Class B | 600,710 | ||||||||
13,115 | UnitedHealth Group, Inc. | 1,784,296 | ||||||||
1,800 | Universal Corp. | 108,306 | ||||||||
30,400 | Valero Energy Corp. | 1,682,640 | ||||||||
39,300 | Verizon Communications, Inc. | 2,056,569 | ||||||||
3,600 | Wabash National Corp. * | 50,220 | ||||||||
2,000 | Wal-Mart Stores, Inc. | 142,880 | ||||||||
3,392 | Walker & Dunlop, Inc. * | 89,888 | ||||||||
14,900 | Werner Enterprises, Inc. | 343,892 | ||||||||
|
| |||||||||
Total United States | 62,899,009 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $220,348,745) | 221,047,314 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 0.9% | ||||||||||
Brazil — 0.4% | ||||||||||
108,200 | Companhia Energetica de Minas Gerais | 293,184 | ||||||||
11,200 | Itau Unibanco Holding SA | 124,340 | ||||||||
243,090 | Itausa-Investimentos Itau SA | 647,397 | ||||||||
|
| |||||||||
Total Brazil | 1,064,921 | |||||||||
|
| |||||||||
Germany — 0.3% | ||||||||||
3,061 | Jungheinrich AG | 96,133 | ||||||||
16,086 | Porsche Automobil Holding SE | 812,786 | ||||||||
|
| |||||||||
Total Germany | 908,919 | |||||||||
|
| |||||||||
South Korea — 0.2% | ||||||||||
582 | Hyundai Motor Co 2nd Preference | 50,001 | ||||||||
1,013 | Hyundai Motor Co 2nd Preference | 91,283 | ||||||||
354 | Samsung Electronics Co Ltd | 419,833 | ||||||||
|
| |||||||||
Total South Korea | 561,117 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $2,605,738) | 2,534,957 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.0% | ||||||||||
South Korea — 0.0% | ||||||||||
558 | Hanwha Corp Rights, Expires 10/05/16 * | — | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $0) | — | |||||||||
|
|
Shares / Par Value† | Description | Value ($) | ||||||||
MUTUAL FUNDS — 22.9% | ||||||||||
United States — 22.9% | ||||||||||
Affiliated Issuers — 22.9% | ||||||||||
2,959,087 | GMO Quality Fund, Class VI | 62,229,609 | ||||||||
179,157 | GMO U.S. Treasury Fund | 4,480,723 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $66,129,759) | 66,710,332 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.2% | ||||||||||
TIME DEPOSITS — 0.2% | ||||||||||
SGD | 2,382 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/16 | 1,748 | |||||||
HKD | 115,979 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/16 | 14,950 | |||||||
GBP | 738 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.05%, due 09/01/16 | 970 | |||||||
EUR | 4,317 | Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.54)%, due 09/01/16 | 4,815 | |||||||
CHF | 4,592 | Brown Brothers Harriman (Grand Cayman) Time Deposit, (1.00)%, due 09/01/16 | 4,669 | |||||||
CAD | 3,142 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.05%, due 09/01/16 | 2,396 | |||||||
AUD | 79,600 | National Australia Bank (Melbourne) Time Deposit, 0.69%, due 09/01/16 | 59,824 | |||||||
JPY | 2,819,166 | Sumitomo (Tokyo) Time Deposit, (0.29)%, due 09/01/16 | 27,248 | |||||||
572,085 | Sumitomo (Tokyo) Time Deposit, 0.15%, due 09/01/16 | 572,085 | ||||||||
|
| |||||||||
Total Time Deposits | 688,705 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $688,705) | 688,705 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.8% (Cost $289,772,947) | 290,981,308 | |||||||||
Other Assets and Liabilities (net) — 0.2% | 708,345 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $291,689,653 | |||||||||
|
|
Notes to Schedule of Investments:
* | Non-income producing security. |
† | Denominated in U.S. Dollar, unless otherwise indicated. |
(a) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2). |
For a listing of definitions of acronyms and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 44.
See accompanying notes to the financial statements. | 9 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 97.5 | % | ||
Mutual Funds | 0.9 | |||
Preferred Stocks | 0.7 | |||
Short-Term Investments | 0.3 | |||
Other | 0.6 | |||
|
| |||
100.0 | % | |||
|
| |||
Country Summary¤ | % of Investments | |||
Japan | 26.9 | % | ||
United Kingdom | 16.2 | |||
Germany | 11.4 | |||
France | 9.3 | |||
Switzerland | 5.4 | |||
Other Developed | 5.2 | ‡ | ||
Australia | 5.1 | |||
Netherlands | 4.5 | |||
Hong Kong | 3.4 | |||
Italy | 2.9 | |||
Spain | 2.5 | |||
Canada | 2.5 | |||
Norway | 2.1 | |||
Israel | 1.6 | |||
Sweden | 1.0 | |||
|
| |||
100.0 | % | |||
|
| |||
Industry Group Summary | % of Equity Investments# | |||
Insurance | 9.0 | % | ||
Telecommunication Services | 8.3 | |||
Banks | 7.9 | |||
Automobiles & Components | 7.4 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 7.3 | |||
Energy | 7.2 | |||
Materials | 6.8 | |||
Capital Goods | 6.4 | |||
Real Estate | 5.3 | |||
Food, Beverage & Tobacco | 4.5 | |||
Transportation | 4.3 | |||
Utilities | 3.6 | |||
Consumer Durables & Apparel | 3.5 | |||
Food & Staples Retailing | 3.4 | |||
Media | 2.6 | |||
Retailing | 2.5 | |||
Technology Hardware & Equipment | 2.2 | |||
Household & Personal Products | 1.7 | |||
Commercial & Professional Services | 1.6 | |||
Software & Services | 1.5 | |||
Diversified Financials | 1.2 | |||
Health Care Equipment & Services | 1.1 | |||
Consumer Services | 0.7 | |||
Semiconductors & Semiconductor Equipment | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. |
¤ | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
^ | Rounds to 0.0%. |
10
GMO International Equity Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 97.5% | ||||||||||
Australia — 5.1% | ||||||||||
365,842 | Abacus Property Group (REIT) | 828,856 | ||||||||
2,299,489 | Adelaide Brighton Ltd | 9,059,473 | ||||||||
2,530,773 | BlueScope Steel Ltd | 16,501,666 | ||||||||
227,255 | BT Investment Management Ltd | 1,508,808 | ||||||||
261,538 | CIMIC Group Ltd | 5,807,876 | ||||||||
121,645 | Credit Corp Group Ltd | 1,516,285 | ||||||||
486,967 | CSR Ltd | 1,260,649 | ||||||||
2,929,014 | Dexus Property Group (REIT) | 21,365,822 | ||||||||
2,355,670 | Downer EDI Ltd | 8,659,310 | ||||||||
125,824 | Elders Ltd * | 346,935 | ||||||||
8,784,659 | Fairfax Media Ltd | 6,493,842 | ||||||||
5,196,990 | GPT Group (The) (REIT) | 20,787,413 | ||||||||
1,520,033 | Investa Office Fund (REIT) | 5,203,219 | ||||||||
362,852 | LendLease Group | 3,760,005 | ||||||||
14,119,766 | Mirvac Group (REIT) | 24,574,873 | ||||||||
1,645,480 | Nine Entertainment Co Holdings Ltd | 1,234,684 | ||||||||
3,236,942 | OZ Minerals Ltd | 15,529,508 | ||||||||
583,876 | Pact Group Holdings Ltd | 2,695,153 | ||||||||
1,985,392 | Primary Health Care Ltd | 6,092,798 | ||||||||
16,472,091 | Scentre Group (REIT) | 61,452,146 | ||||||||
1,181,638 | Shopping Centres Australasia Property Group (REIT) | 2,048,349 | ||||||||
394,187 | Sigma Pharmaceuticals Ltd | 360,934 | ||||||||
1,170,415 | Sonic Healthcare Ltd | 20,204,178 | ||||||||
288,481 | Southern Cross Media Group Ltd | 327,853 | ||||||||
4,623,260 | Star Entertainment Grp Ltd (The) | 20,470,528 | ||||||||
4,988,527 | Stockland (REIT) | 18,160,840 | ||||||||
75,035 | Tabcorp Holdings Ltd | 279,856 | ||||||||
366,344 | Tassal Group Ltd | 1,125,296 | ||||||||
21,294,451 | Telstra Corp Ltd | 84,090,006 | ||||||||
69,894 | Vicinity Centres (REIT) | 173,682 | ||||||||
292,426 | Woodside Petroleum Ltd | 6,264,861 | ||||||||
809,900 | WorleyParsons Ltd * | 4,933,369 | ||||||||
|
| |||||||||
Total Australia | 373,119,073 | |||||||||
|
| |||||||||
Austria — 0.6% | ||||||||||
1,167,625 | Immofinanz AG (Entitlement Shares) * (a) | — | ||||||||
76,643 | Oesterreichische Post AG * | 2,752,876 | ||||||||
912,236 | OMV AG | 25,561,075 | ||||||||
495,462 | voestalpine AG | 16,420,795 | ||||||||
|
| |||||||||
Total Austria | 44,734,746 | |||||||||
|
| |||||||||
Belgium — 0.6% | ||||||||||
409,534 | Ageas | 14,200,983 | ||||||||
617,223 | AGFA-Gevaert NV * | 1,957,393 | ||||||||
501,880 | bpost SA | 12,772,137 | ||||||||
46,656 | D’ieteren SA/NV | 2,254,649 | ||||||||
7,450 | Elia System Operator SA/NV | 376,320 |
Shares | Description | Value ($) | ||||||||
Belgium — continued | ||||||||||
91,088 | Orange Belgium SA * | 2,123,154 | ||||||||
296,378 | Proximus SADP | 9,077,245 | ||||||||
|
| |||||||||
Total Belgium | 42,761,881 | |||||||||
|
| |||||||||
Canada — 2.5% | ||||||||||
66,000 | AGF Management Ltd – Class B | 249,626 | ||||||||
981,110 | Air Canada * | 6,703,329 | ||||||||
1,588,700 | Bankers Petroleum Ltd * | 2,289,647 | ||||||||
207,900 | BCE Inc | 9,713,309 | ||||||||
109,000 | Canadian Imperial Bank of Commerce | 8,652,509 | ||||||||
142,900 | Canadian Tire Corp Ltd – Class A | 14,637,606 | ||||||||
116,000 | Cascades Inc | 987,159 | ||||||||
379,500 | Celestica Inc * | 4,045,608 | ||||||||
100,500 | CGI Group Inc – Class A * | 4,891,654 | ||||||||
60,400 | Chorus Aviation Inc | 275,885 | ||||||||
599,500 | CI Financial Corp | 11,734,913 | ||||||||
81,500 | Cogeco Communications Inc | 3,943,248 | ||||||||
209,100 | Corus Entertainment Inc – B Shares | 1,959,615 | ||||||||
447,800 | IAMGOLD Corp * | 1,662,945 | ||||||||
6,700 | Industrial Alliance Insurance & Financial Services Inc | 238,797 | ||||||||
57,300 | Linamar Corp | 2,364,706 | ||||||||
47,100 | Martinrea International Inc | 300,615 | ||||||||
1,592,500 | Metro Inc | 54,087,197 | ||||||||
104,377 | North West Co Inc (The) | 2,333,639 | ||||||||
64,380 | Power Corp of Canada | 1,360,846 | ||||||||
1,051,700 | Sun Life Financial Inc | 33,185,409 | ||||||||
166,700 | Toromont Industries Ltd | 5,043,965 | ||||||||
486,900 | Transcontinental Inc – Class A | 7,128,626 | ||||||||
7,980 | Uranium Participation Corp * | 23,854 | ||||||||
139,900 | WestJet Airlines Ltd | 2,581,653 | ||||||||
|
| |||||||||
Total Canada | 180,396,360 | |||||||||
|
| |||||||||
Denmark — 0.7% | ||||||||||
21,063 | AP Moeller – Maersk A/S – Class B | 31,509,449 | ||||||||
210,941 | Carlsberg A/S – Class B | 19,801,265 | ||||||||
22,933 | Dfds A/S | 1,209,256 | ||||||||
12,564 | Per Aarsleff Holding A/S | 300,507 | ||||||||
8,610 | Schouw & Co | 542,935 | ||||||||
|
| |||||||||
Total Denmark | 53,363,412 | |||||||||
|
| |||||||||
Finland — 1.0% | ||||||||||
184,236 | Metso Oyj | 5,157,540 | ||||||||
656,866 | Neste Oyj | 27,359,926 | ||||||||
122,666 | Nokian Renkaat Oyj | 4,428,608 | ||||||||
11,953 | Orion Oyj – Class B | 452,408 | ||||||||
255,761 | Sponda Oyj | 1,335,468 | ||||||||
316,110 | Stora Enso Oyj – R Shares | 2,789,999 | ||||||||
31,693 | Tieto Oyj | 945,809 | ||||||||
1,381,201 | UPM-Kymmene Oyj | 27,762,107 | ||||||||
|
| |||||||||
Total Finland | 70,231,865 | |||||||||
|
|
See accompanying notes to the financial statements. | 11 |
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
France — 9.2% | ||||||||||
916,730 | Air France-KLM * | 5,045,932 | ||||||||
26,246 | APERAM SA | 1,086,833 | ||||||||
7,337,089 | AXA SA | 154,425,665 | ||||||||
1,219,626 | BNP Paribas SA | 62,286,884 | ||||||||
256,049 | Christian Dior SE | 44,370,918 | ||||||||
424,258 | Cie Generale des Etablissements Michelin | 45,224,355 | ||||||||
370,454 | CNP Assurances | 5,975,616 | ||||||||
15,826 | Ipsen SA | 1,028,668 | ||||||||
17,334 | IPSOS | 569,933 | ||||||||
4,612 | Legrand SA | 277,070 | ||||||||
239,460 | M6-Metropole Television SA | 4,252,964 | ||||||||
373,639 | Rexel SA | 6,018,753 | ||||||||
468,926 | SCOR SE | 13,835,748 | ||||||||
71,367 | Societe BIC SA | 10,428,486 | ||||||||
871,846 | Societe Generale SA | 31,830,870 | ||||||||
5,114,287 | TOTAL SA | 244,342,143 | ||||||||
2,343,228 | Vivendi SA | 45,385,291 | ||||||||
|
| |||||||||
Total France | 676,386,129 | |||||||||
|
| |||||||||
Germany — 10.6% | ||||||||||
286,210 | ADVA Optical Networking SE * | 2,442,146 | ||||||||
754,908 | Allianz SE (Registered) | 112,222,360 | ||||||||
164,459 | Aurubis AG | 8,659,343 | ||||||||
1,864,915 | BASF SE | 151,273,605 | ||||||||
917,625 | Bayerische Motoren Werke AG | 79,735,056 | ||||||||
46,234 | Bechtle AG | 5,158,515 | ||||||||
5,679 | Cewe Stiftung & Co KGAA | 471,362 | ||||||||
3,218,579 | Daimler AG (Registered) | 222,793,016 | ||||||||
3,226,226 | Deutsche Lufthansa AG (Registered) | 37,529,611 | ||||||||
498,082 | Deutsche Telekom AG (Registered) | 8,308,671 | ||||||||
40,773 | Duerr AG | 3,442,934 | ||||||||
204,401 | Evonik Industries AG | 6,858,563 | ||||||||
32,676 | Fraport AG Frankfurt Airport Services Worldwide | 1,820,970 | ||||||||
63,314 | Freenet AG | 1,816,435 | ||||||||
183,044 | Hannover Rueck SE | 18,712,391 | ||||||||
159,296 | HeidelbergCement AG | 14,782,513 | ||||||||
6,881 | Indus Holding AG | 371,025 | ||||||||
57,960 | Jenoptik AG | 1,052,944 | ||||||||
357,814 | K+S AG (Registered) | 7,478,450 | ||||||||
207,203 | Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 37,416,933 | ||||||||
501,999 | ProSiebenSat.1 Media SE | 21,659,411 | ||||||||
216,646 | RHOEN-KLINIKUM AG | 6,404,850 | ||||||||
38,518 | RTL Group SA | 3,242,580 | ||||||||
6,606 | Salzgitter AG | 200,785 | ||||||||
299,592 | Software AG | 11,911,527 | ||||||||
237,684 | STADA Arzneimittel AG | 12,746,323 | ||||||||
25,091 | Talanx AG | 734,466 | ||||||||
|
| |||||||||
Total Germany | 779,246,785 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Hong Kong — 3.4% | ||||||||||
8,098,100 | BOC Hong Kong Holdings Ltd | 28,273,508 | ||||||||
2,894,600 | Champion (REIT) | 1,844,099 | ||||||||
2,371,900 | Dah Sing Banking Group Ltd | 4,352,572 | ||||||||
458,600 | Dah Sing Financial Holdings Ltd | 3,093,673 | ||||||||
5,305,290 | Esprit Holdings Ltd * | 4,685,688 | ||||||||
4,370,000 | Global Brands Group Holding Ltd * | 404,890 | ||||||||
1,438,530 | Henderson Land Development Co Ltd | 8,393,135 | ||||||||
1,413,000 | HKT Trust & HKT Ltd – Class SS | 1,944,948 | ||||||||
3,137,300 | Hongkong Land Holdings Ltd | 20,333,764 | ||||||||
2,489,900 | Hysan Development Co Ltd | 12,005,556 | ||||||||
4,395,700 | Kerry Properties Ltd | 12,766,118 | ||||||||
4,928,791 | Link (REIT) | 35,802,353 | ||||||||
921,200 | Luk Fook Holdings International Ltd | 2,099,981 | ||||||||
3,787,200 | Man Wah Holdings Ltd | 2,569,718 | ||||||||
1,837,000 | Pacific Textiles Holdings Ltd | 2,413,984 | ||||||||
3,672,700 | PCCW Ltd | 2,327,383 | ||||||||
1,146,500 | Sino Land Co Ltd | 1,959,474 | ||||||||
17,527,100 | SJM Holdings Ltd | 10,995,796 | ||||||||
1,545,200 | SmarTone Telecommunications Holdings Ltd | 2,547,657 | ||||||||
779,131 | Sun Hung Kai Properties Ltd | 10,945,447 | ||||||||
163,200 | Swire Properties Ltd | 459,011 | ||||||||
1,317,000 | Swire Pacific Ltd – Class A | 14,529,146 | ||||||||
504,500 | Techtronic Industries Co Ltd | 2,043,595 | ||||||||
437,800 | Television Broadcasts Ltd | 1,561,244 | ||||||||
1,408,200 | Value Partners Group Ltd | 1,293,971 | ||||||||
3,477,900 | Wharf Holdings Ltd (The) | 24,510,619 | ||||||||
1,992,500 | Wheelock & Co Ltd | 11,377,402 | ||||||||
829,075 | Xinyi Automobile Glass Hong Kong Enterprises Ltd * | 170,997 | ||||||||
6,372,600 | Xinyi Glass Holdings Ltd * | 5,478,046 | ||||||||
3,399,300 | Yue Yuen Industrial Holdings Ltd | 14,449,920 | ||||||||
|
| |||||||||
Total Hong Kong | 245,633,695 | |||||||||
|
| |||||||||
Ireland — 0.2% | ||||||||||
32,100 | ICON Plc * | 2,464,959 | ||||||||
512,328 | Smurfit Kappa Group Plc | 12,645,509 | ||||||||
|
| |||||||||
Total Ireland | 15,110,468 | |||||||||
|
| |||||||||
Israel — 1.6% | ||||||||||
3,796,190 | Bank Hapoalim BM | 20,382,350 | ||||||||
6,318,172 | Bank Leumi Le-Israel BM * | 23,676,050 | ||||||||
4,773,527 | Bezeq The Israeli Telecommunication Corp Ltd | 9,594,455 | ||||||||
581,100 | Check Point Software Technologies Ltd * | 44,593,614 | ||||||||
8,141,557 | Israel Discount Bank Ltd – Class A * | 14,702,534 | ||||||||
117,373 | Mizrahi Tefahot Bank Ltd | 1,416,793 | ||||||||
10,496 | Teva Pharmaceutical Industries Ltd | 531,665 | ||||||||
10,300 | Teva Pharmaceutical Industries Ltd Sponsored ADR | 519,017 | ||||||||
|
| |||||||||
Total Israel | 115,416,478 | |||||||||
|
|
12 | See accompanying notes to the financial statements. |
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Italy — 2.8% | ||||||||||
3,321,116 | A2A SPA | 4,407,679 | ||||||||
337,505 | Amplifon SPA | 3,549,997 | ||||||||
2,669,672 | Banca Mediolanum SPA | 18,547,212 | ||||||||
83,055 | De’ Longhi SPA | 2,060,271 | ||||||||
10,466,434 | Enel SPA | 46,250,507 | ||||||||
5,698,892 | Eni SPA | 86,031,124 | ||||||||
246,777 | EXOR SPA | 10,147,125 | ||||||||
3,396,569 | Hera SPA | 9,415,946 | ||||||||
1,908,511 | Iren SPA | 3,142,002 | ||||||||
51,762 | La Doria SPA | 646,287 | ||||||||
628,358 | Recordati SPA | 19,018,181 | ||||||||
2,430 | Reply SPA | 299,645 | ||||||||
443,238 | Societa Cattolica di Assicurazioni SCRL | 2,568,594 | ||||||||
597,863 | Telecom Italia SPA * | 542,676 | ||||||||
1,731,600 | Telecom Italia SPA-Di RISP * | 1,269,785 | ||||||||
|
| |||||||||
Total Italy | 207,897,031 | |||||||||
|
| |||||||||
Japan — 26.7% | ||||||||||
19,600 | ADEKA Corp | 288,478 | ||||||||
65,000 | Ain Holdings Inc | 3,691,342 | ||||||||
382,200 | Aisin Seiki Co Ltd | 18,079,042 | ||||||||
457,000 | Alfresa Holdings Corp | 8,536,826 | ||||||||
141,400 | Alpine Electronics Inc | 1,704,135 | ||||||||
84,100 | AOKI Holdings Inc | 867,626 | ||||||||
272,600 | Aoyama Trading Co Ltd | 8,854,492 | ||||||||
1,837,113 | Asahi Glass Co Ltd | 11,697,433 | ||||||||
117,400 | Asahi Group Holdings Ltd | 3,841,173 | ||||||||
1,238,900 | Asahi Kasei Corp | 10,466,728 | ||||||||
123,500 | Asatsu-DK Inc | 3,031,074 | ||||||||
139,500 | Autobacs Seven Co Ltd | 1,933,997 | ||||||||
1,813,900 | Calsonic Kansei Corp | 14,292,503 | ||||||||
861,100 | Canon Inc | 24,692,631 | ||||||||
52,300 | Cawachi Ltd | 1,157,525 | ||||||||
247,400 | Central Japan Railway Co | 40,682,817 | ||||||||
237,000 | Chiba Bank Ltd (The) | 1,407,705 | ||||||||
498,300 | Coca-Cola West Co Ltd | 11,301,691 | ||||||||
248,500 | Concordia Financial Group Ltd * | 1,284,767 | ||||||||
441,600 | Cosmo Energy Holdings Co Ltd | 4,610,570 | ||||||||
21,200 | Credit Saison Co Ltd | 365,472 | ||||||||
401,900 | Daicel Corp | 5,135,726 | ||||||||
133,480 | Daiichi Sankyo Co Ltd | 3,066,635 | ||||||||
377,800 | Daikyo Inc | 599,840 | ||||||||
130,600 | Daito Trust Construction Co Ltd | 19,238,011 | ||||||||
558,600 | Daiwa House Industry Co Ltd | 14,431,046 | ||||||||
663,000 | Daiwabo Holdings Co Ltd | 1,410,643 | ||||||||
796,000 | DCM Holdings Co Ltd | 6,067,244 | ||||||||
1,930,200 | Denka Co Ltd | 8,160,215 | ||||||||
71,100 | DIC Corp | 2,166,494 | ||||||||
70,900 | Doutor Nichires Holdings Co Ltd | 1,253,579 | ||||||||
17,300 | DTS Corp | 356,182 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
199,106 | FamilyMart Co Ltd | 14,271,827 | ||||||||
394,000 | Fuji Electric Co Ltd | 1,799,011 | ||||||||
420,800 | Fuji Heavy Industries Ltd | 16,748,769 | ||||||||
310,900 | Fuji Oil Holdings Inc | 6,044,285 | ||||||||
1,647,140 | FUJIFILM Holdings Corp | 61,982,490 | ||||||||
158,700 | Fujitsu General Ltd | 3,228,340 | ||||||||
34,600 | Fuyo General Lease Co Ltd | 1,630,275 | ||||||||
170,800 | Geo Holdings Corp | 2,175,840 | ||||||||
275,500 | Gunze Ltd | 812,904 | ||||||||
1,242,700 | Hanwa Co Ltd | 6,940,934 | ||||||||
334,400 | Haseko Corp | 3,169,611 | ||||||||
245,600 | Hiroshima Bank Ltd (The) | 1,025,378 | ||||||||
60,500 | Hitachi Capital Corp | 1,260,785 | ||||||||
237,200 | Hitachi Chemical Co Ltd | 5,120,622 | ||||||||
124,200 | Horiba Ltd | 5,778,468 | ||||||||
192,100 | Idemitsu Kosan Co Ltd | 3,500,508 | ||||||||
907,700 | Inpex Corp | 7,867,637 | ||||||||
26,700 | Isuzu Motors Ltd | 307,952 | ||||||||
10,974,100 | ITOCHU Corp | 129,592,125 | ||||||||
33,400 | Jafco Co Ltd | 975,126 | ||||||||
1,664,500 | Japan Airlines Co Ltd | 50,804,078 | ||||||||
185,200 | Japan Tobacco Inc | 7,176,314 | ||||||||
1,055,900 | K’s Holdings Corp | 16,673,229 | ||||||||
1,227,600 | Kaneka Corp | 10,026,020 | ||||||||
927,000 | Kanematsu Corp | 1,362,875 | ||||||||
6,793,400 | KDDI Corp | 198,602,538 | ||||||||
262,600 | Keihin Corp | 4,038,010 | ||||||||
189,600 | Kewpie Corp | 5,212,523 | ||||||||
6,684,336 | Kobe Steel Ltd | 6,213,499 | ||||||||
66,300 | Kohnan Shoji Co Ltd | 1,206,092 | ||||||||
9,900 | Koito Manufacturing Co Ltd | 472,661 | ||||||||
68,400 | Kokuyo Co Ltd | 945,352 | ||||||||
65,500 | Kuraray Co Ltd | 937,302 | ||||||||
31,700 | Mandom Corp | 1,297,383 | ||||||||
5,776,200 | Marubeni Corp | 28,824,975 | ||||||||
918,300 | Medipal Holdings Corp | 14,544,000 | ||||||||
2,762,000 | Mitsubishi Chemical Holdings Corp | 17,477,816 | ||||||||
45,200 | Mitsubishi Corp | 941,799 | ||||||||
660,000 | Mitsubishi Electric Corp | 8,637,059 | ||||||||
132,500 | Mitsubishi Tanabe Pharma Corp | 2,459,648 | ||||||||
22,319,600 | Mitsubishi UFJ Financial Group Inc | 122,948,092 | ||||||||
538,200 | Mitsubishi UFJ Lease & Finance Co Ltd | 2,527,389 | ||||||||
4,109,600 | Mitsui & Co Ltd | 54,719,432 | ||||||||
3,188,838 | Mitsui Chemicals Inc | 15,288,447 | ||||||||
6,750,000 | Mitsui Engineering & Shipbuilding Co Ltd | 9,355,989 | ||||||||
18,000 | Mitsui Sugar Co Ltd | 82,304 | ||||||||
13,809,600 | Mizuho Financial Group Inc | 24,060,837 | ||||||||
87,400 | Namura Shipbuilding Co Ltd | 548,448 | ||||||||
113,100 | NET One Systems Co Ltd | 768,693 | ||||||||
334,300 | NHK Spring Co Ltd | 3,155,505 |
See accompanying notes to the financial statements. | 13 |
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
34,200 | Nifco Inc | 1,724,219 | ||||||||
128,000 | Nippon Corp | 2,319,779 | ||||||||
428,781 | Nippon Electric Glass Co Ltd | 2,156,004 | ||||||||
1,025,900 | Nippon Light Metal Holdings Co Ltd | 2,182,877 | ||||||||
321,300 | Nippon Paper Industries Co Ltd | 5,952,837 | ||||||||
89,400 | Nippon Signal Co Ltd | 726,545 | ||||||||
4,051,300 | Nippon Telegraph & Telephone Corp | 178,131,898 | ||||||||
107,310 | Nippon Television Holdings Inc | 1,734,519 | ||||||||
438,513 | Nipro Corp | 5,465,363 | ||||||||
659,000 | Nishi-Nippon City Bank Ltd (The) | 1,372,425 | ||||||||
99,200 | Nissan Chemical Industries Ltd | 3,049,818 | ||||||||
3,515,900 | Nissan Motor Co Ltd | 34,545,528 | ||||||||
434,500 | Nisshinbo Holdings Inc | 4,422,336 | ||||||||
27,100 | Nissin Electric Co Ltd | 421,841 | ||||||||
184,400 | NOK Corp | 3,754,964 | ||||||||
88,900 | Nomura Holdings Inc | 419,695 | ||||||||
94,000 | Nomura Real Estate Holdings Inc | 1,533,058 | ||||||||
1,708,100 | NTT DOCOMO Inc | 43,077,078 | ||||||||
112,100 | Okinawa Electric Power Co (The) | 2,287,052 | ||||||||
206,800 | Onward Holdings Co Ltd | 1,455,536 | ||||||||
35,800 | Open House Co Ltd | 774,170 | ||||||||
616,900 | Orient Corp * | 1,230,440 | ||||||||
2,998,500 | Osaka Gas Co Ltd | 11,815,534 | ||||||||
996,400 | Otsuka Holdings Co Ltd | 43,207,493 | ||||||||
125,500 | PanaHome Corp | 929,027 | ||||||||
72,300 | Pola Orbis Holdings Inc | 5,774,604 | ||||||||
108,700 | Press Kogyo Co Ltd | 467,561 | ||||||||
3,200 | Relo Group Inc | 453,847 | ||||||||
298,900 | Rengo Co Ltd | 1,777,070 | ||||||||
946,200 | Resona Holdings Inc | 4,333,335 | ||||||||
968,800 | Ricoh Co Ltd | 8,750,507 | ||||||||
178,800 | Sanwa Holdings Corp | 1,587,813 | ||||||||
43,500 | San–A Co Ltd | 2,039,513 | ||||||||
1,319,700 | Sekisui Chemical Co Ltd | 18,478,171 | ||||||||
1,595,600 | Sekisui House Ltd | 25,743,154 | ||||||||
71,200 | Shimamura Co Ltd | 8,241,985 | ||||||||
304,400 | Showa Denko KK | 3,777,539 | ||||||||
111,800 | Showa Shell Sekiyu KK | 951,901 | ||||||||
19,200 | Softbank Technology Corp | 381,569 | ||||||||
15,611,900 | Sojitz Corp | 37,445,124 | ||||||||
1,051,200 | Sumitomo Corp | 11,406,339 | ||||||||
83,700 | Sumitomo Dainippon Pharma Co Ltd | 1,401,825 | ||||||||
808,900 | Sumitomo Forestry Co Ltd | 10,950,395 | ||||||||
1,409,800 | Sumitomo Heavy Industries Ltd | 6,934,800 | ||||||||
4,497,800 | Sumitomo Mitsui Financial Group Inc | 157,342,571 | ||||||||
174,400 | Sumitomo Mitsui Trust Holdings Inc | 625,787 | ||||||||
1,186,000 | Sumitomo Osaka Cement Co Ltd | 5,370,696 | ||||||||
778,000 | Sumitomo Rubber Industries Ltd | 11,565,690 | ||||||||
113,300 | Sundrug Co Ltd | 8,208,378 | ||||||||
229,200 | Suzuken Co Ltd | 6,654,957 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
163,000 | T-Gaia Corp | 2,232,180 | ||||||||
231,800 | Takashimaya Co Ltd | 1,697,981 | ||||||||
645,100 | TIS Inc | 15,316,975 | ||||||||
245,100 | Toho Holdings Co Ltd | 4,764,867 | ||||||||
253,200 | Tokai Rika Co Ltd | 5,022,388 | ||||||||
1,353,430 | Tokyo Electric Power Co Holdings Inc * | 5,454,775 | ||||||||
11,600 | Tokyo Seimitsu Co Ltd | 308,839 | ||||||||
69,000 | Toppan Printing Co Ltd | 615,767 | ||||||||
3,277,000 | Tosoh Corp | 20,217,794 | ||||||||
58,600 | Towa Pharmaceutical Co Ltd | 2,213,628 | ||||||||
28,500 | Toyoda Gosei Co Ltd | 657,814 | ||||||||
52,600 | Toyota Boshoku Corp | 1,206,986 | ||||||||
1,062,600 | Toyota Tsusho Corp | 24,332,467 | ||||||||
32,000 | TPR Co Ltd | 819,545 | ||||||||
223,300 | TS Tech Co Ltd | 5,193,700 | ||||||||
87,800 | TSI Holdings Co Ltd | 485,165 | ||||||||
364,000 | Tsubakimoto Chain Co | 2,753,451 | ||||||||
17,100 | Tsumura & Co | 450,575 | ||||||||
31,700 | Tsuruha Holdings Inc | 3,107,557 | ||||||||
3,685,100 | Ube Industries Ltd | 6,708,517 | ||||||||
6,800 | UKC Holdings Corp | 103,925 | ||||||||
226,800 | Valor Holdings Co Ltd | 6,123,722 | ||||||||
26,700 | Warabeya Nichiyo Co Ltd | 487,473 | ||||||||
30,500 | Yahagi Construction Co Ltd | 274,092 | ||||||||
3,225,600 | Yamada Denki Co Ltd | 15,090,059 | ||||||||
247,600 | Yamaguchi Financial Group Inc | 2,616,149 | ||||||||
386,400 | Yokohama Rubber Co Ltd (The) | 6,288,409 | ||||||||
506,000 | Zeon Corp | 4,362,049 | ||||||||
|
| |||||||||
Total Japan | 1,954,476,854 | |||||||||
|
| |||||||||
Malta — 0.0% | ||||||||||
15,984,486 | BGP Holdings Plc * (a) | — | ||||||||
|
| |||||||||
Netherlands — 4.4% | ||||||||||
116,182 | Aalberts Industries NV | 3,904,776 | ||||||||
253,300 | AerCap Holdings NV * | 10,124,401 | ||||||||
56,200 | AVG Technologies NV * | 1,397,132 | ||||||||
105,156 | BinckBank NV | 603,384 | ||||||||
55,344 | Boskalis Westminster | 1,984,497 | ||||||||
65,542 | Corbion NV | 1,791,239 | ||||||||
211,680 | Heineken Holding NV | 17,063,674 | ||||||||
240,067 | Heineken NV | 21,500,729 | ||||||||
3,479,299 | ING Groep NV | 43,544,641 | ||||||||
4,556,829 | Koninklijke Ahold Delhaize NV | 109,394,660 | ||||||||
3,884,808 | PostNL NV * | 17,036,846 | ||||||||
49,049 | Randstad Holdings NV | 2,320,625 | ||||||||
638,836 | TomTom NV * | 5,884,307 | ||||||||
600,548 | Unilever NV CVA | 27,631,889 | ||||||||
1,425,205 | Wolters Kluwer NV | 59,954,111 | ||||||||
|
| |||||||||
Total Netherlands | 324,136,911 | |||||||||
|
|
14 | See accompanying notes to the financial statements. |
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
New Zealand — 0.3% | ||||||||||
552,825 | Air New Zealand Ltd | 906,120 | ||||||||
238,583 | Chorus Ltd | 735,373 | ||||||||
882,085 | Fletcher Building Ltd | 6,776,741 | ||||||||
1,287,457 | SKY Network Television Ltd | 4,536,714 | ||||||||
4,549,718 | Spark New Zealand Ltd | 12,554,294 | ||||||||
|
| |||||||||
Total New Zealand | 25,509,242 | |||||||||
|
| |||||||||
Norway — 2.1% | ||||||||||
257,405 | Bakkafrost P/F | 9,235,061 | ||||||||
502,105 | BW LPG Ltd | 1,323,477 | ||||||||
617,191 | DNB ASA | 7,484,858 | ||||||||
3,282,184 | Orkla ASA | 30,036,890 | ||||||||
99,392 | Salmar ASA | 2,750,618 | ||||||||
2,697,280 | Statoil ASA | 42,314,438 | ||||||||
1,427,598 | Storebrand ASA * | 6,029,336 | ||||||||
1,563,262 | Telenor ASA | 27,261,826 | ||||||||
678,018 | Yara International ASA | 24,010,655 | ||||||||
|
| |||||||||
Total Norway | 150,447,159 | |||||||||
|
| |||||||||
Portugal — 0.3% | ||||||||||
175,898 | Altri SGPS SA | 696,256 | ||||||||
1,109,750 | CTT-Correios de Portugal SA | 8,151,320 | ||||||||
2,260,680 | EDP – Energias de Portugal SA | 7,595,014 | ||||||||
211,496 | Navigator Co SA (The) | 701,772 | ||||||||
733,470 | REN-Redes Energeticas Nacionais SGPS SA | 2,143,560 | ||||||||
|
| |||||||||
Total Portugal | 19,287,922 | |||||||||
|
| |||||||||
Singapore — 0.6% | ||||||||||
1,649,500 | Ascendas Real Estate Investment Trust | 2,964,363 | ||||||||
5,756,500 | CapitaLand Commercial Trust (REIT) | 6,522,056 | ||||||||
4,568,100 | CapitaLand Mall Trust (REIT) | 7,238,218 | ||||||||
333,000 | Fortune Real Estate Investment Trust | 425,602 | ||||||||
55,118,800 | Golden Agri-Resources Ltd | 14,537,940 | ||||||||
1,386,700 | Mapletree Greater China Commercial Trust (REIT) | 1,118,738 | ||||||||
709,700 | Mapletree Industrial Trust (REIT) | 926,885 | ||||||||
984,900 | Mapletree Logistics Trust (REIT) | 772,788 | ||||||||
171,400 | Venture Corp Ltd | 1,157,155 | ||||||||
17,517,200 | Yangzijiang Shipbuilding Holdings Ltd | 9,820,162 | ||||||||
|
| |||||||||
Total Singapore | 45,483,907 | |||||||||
|
| |||||||||
Spain — 2.5% | ||||||||||
737,755 | Ebro Foods SA | 16,515,265 | ||||||||
3,680,336 | Endesa SA | 75,000,956 | ||||||||
35,166 | Gas Natural SDG SA | 726,445 | ||||||||
6,604,493 | Iberdrola SA | 43,503,316 | ||||||||
3,358,613 | Repsol SA | 45,117,449 | ||||||||
16,416 | Viscofan SA | 897,896 | ||||||||
|
| |||||||||
Total Spain | 181,761,327 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Sweden — 1.0% | ||||||||||
711,749 | Axfood AB | 12,632,151 | ||||||||
18,290 | Bilia AB – Class A | 465,610 | ||||||||
79,466 | Castellum AB | 1,201,431 | ||||||||
269,453 | Fastighets AB Balder – B Shares * | 7,519,784 | ||||||||
32,329 | Industrivarden AB – C Shares | 588,555 | ||||||||
146,715 | Intrum Justitia AB | 4,627,893 | ||||||||
739,275 | Sandvik AB | 8,019,284 | ||||||||
71,192 | Securitas AB – B Shares | 1,236,650 | ||||||||
26,523 | Skanska AB – B Shares | 580,606 | ||||||||
109,558 | Swedish Match AB | 3,901,336 | ||||||||
4,847,753 | Telefonaktiebolaget LM Ericsson – B Shares | 34,527,028 | ||||||||
59,471 | Wihlborgs Fastigheter AB | 1,291,740 | ||||||||
|
| |||||||||
Total Sweden | 76,592,068 | |||||||||
|
| |||||||||
Switzerland — 5.3% | ||||||||||
368,845 | Adecco Group AG (Registered) | 21,249,078 | ||||||||
60,507 | Ascom Holding AG (Registered) | 1,107,965 | ||||||||
13,545 | Autoneum Holding AG | 3,828,488 | ||||||||
39,166 | Baloise Holding AG (Registered) | 4,666,168 | ||||||||
1,798 | Banque Cantonale Vaudoise (Registered) | 1,180,886 | ||||||||
5,696 | BKW AG | 260,877 | ||||||||
343 | Bobst Group SA (Registered) | 19,178 | ||||||||
42,569 | Cembra Money Bank AG * | 3,084,016 | ||||||||
10,622 | dorma & kaba Holding AG – Class B (Registered) | 8,343,003 | ||||||||
3,424 | Emmi AG (Registered) * | 2,284,647 | ||||||||
30,642 | EMS-Chemie Holding AG (Registered) | 16,317,285 | ||||||||
17,512 | Flughafen Zuerich AG (Registered) | 3,241,503 | ||||||||
2,709 | Forbo Holdings AG (Registered) * | 3,723,061 | ||||||||
12,266 | Georg Fischer AG (Registered) | 9,871,882 | ||||||||
6,798 | Helvetia Holding AG (Registered) | 3,400,487 | ||||||||
12,380 | Implenia AG (Registered) | 835,396 | ||||||||
8,534 | Kardex AG (Registered) * | 811,787 | ||||||||
5,758 | Komax Holding AG (Registered) | 1,399,460 | ||||||||
266,083 | Kuehne & Nagel International AG (Registered) | 37,175,925 | ||||||||
4,123 | Kuoni Reisen Holding AG (Registered) * | 1,550,109 | ||||||||
275,640 | Logitech International SA (Registered) | 5,778,918 | ||||||||
10,546 | Mobilezone Holding AG (Registered) | 151,226 | ||||||||
17,004 | Nestle SA (Registered) | 1,355,097 | ||||||||
89,857 | Roche Holding AG | 21,934,119 | ||||||||
1,446 | Sika AG | 6,894,256 | ||||||||
44,765 | Swatch Group AG (The) (Registered) | 2,275,024 | ||||||||
28,519 | Swatch Group AG (The) – Class BR | 7,346,092 | ||||||||
87,372 | Swiss Life Holding AG (Registered) * | 21,905,496 | ||||||||
2,300,510 | Swiss Re AG | 194,408,336 | ||||||||
1,647 | Valora Holding AG (Registered) | 448,877 | ||||||||
64,596 | Vontobel Holding AG (Registered) | 3,122,198 | ||||||||
5,161 | Zehnder Group AG – Class RG * | 204,491 | ||||||||
|
| |||||||||
Total Switzerland | 390,175,331 | |||||||||
|
|
See accompanying notes to the financial statements. | 15 |
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — 16.0% | ||||||||||
3,410,687 | AstraZeneca Plc | 220,163,254 | ||||||||
3,900,717 | Balfour Beatty Plc * | 14,466,924 | ||||||||
374,899 | Bellway Plc | 11,474,631 | ||||||||
842,534 | Berkeley Group Holdings Plc (The) | 29,561,799 | ||||||||
562,191 | Bovis Homes Group Plc | 6,618,269 | ||||||||
1,452,262 | BP Plc | 8,164,014 | ||||||||
1,507,978 | British American Tobacco Plc | 93,558,913 | ||||||||
779,716 | Cairn Energy Plc * | 1,901,717 | ||||||||
2,358,043 | Carillion Plc | 8,057,383 | ||||||||
15,844,206 | Centrica Plc | 48,447,909 | ||||||||
838,486 | Compass Group Plc | 15,870,427 | ||||||||
590,106 | Crest Nicholson Holdings Plc | 3,604,351 | ||||||||
4,336,509 | Debenhams Plc | 3,451,964 | ||||||||
2,843,623 | Direct Line Insurance Group Plc | 13,810,369 | ||||||||
7,618,407 | Firstgroup Plc * | 10,999,860 | ||||||||
278,815 | Galliford Try Plc | 4,158,071 | ||||||||
7,371,419 | GlaxoSmithKline Plc | 158,671,607 | ||||||||
571,200 | GlaxoSmithKline Plc Sponsored ADR | 24,824,352 | ||||||||
163,193 | Halfords Group Plc | 745,585 | ||||||||
5,910,593 | Home Retail Group Plc | 12,389,085 | ||||||||
337,461 | Hunting Plc | 2,058,869 | ||||||||
462,315 | IG Group Holdings Plc | 5,774,698 | ||||||||
975,673 | Imperial Brands Plc | 51,177,296 | ||||||||
2,029,966 | Inchcape Plc | 18,708,148 | ||||||||
1,940,985 | Indivior Plc | 8,012,416 | ||||||||
581,588 | Intermediate Capital Group Plc | 4,547,494 | ||||||||
3,758,999 | J Sainsbury Plc | 11,862,407 | ||||||||
1,085,990 | Jupiter Fund Management Plc | 5,980,005 | ||||||||
9,030,132 | Kingfisher Plc | 44,040,507 | ||||||||
3,981,565 | Legal & General Group Plc | 11,013,456 | ||||||||
5,048,751 | Man Group Plc | 7,211,005 | ||||||||
154,003 | Mitie Group Plc | 546,570 | ||||||||
408,731 | National Express Group Plc | 1,898,314 | ||||||||
30,089 | Pearson Plc | 342,163 | ||||||||
1,767,334 | Persimmon Plc | 42,335,966 | ||||||||
359,140 | Playtech Plc | 4,297,111 | ||||||||
934,038 | Reckitt Benckiser Group Plc | 90,226,869 | ||||||||
4,984,599 | Royal Mail Plc | 33,636,699 | ||||||||
1,865,040 | Sage Group Plc (The) | 17,769,676 | ||||||||
86,176 | Savills Plc | 837,193 | ||||||||
225,477 | Spectris Plc | 5,740,520 | ||||||||
109,117 | Victrex Plc | 2,180,847 | ||||||||
432,670 | WH Smith Plc | 8,659,691 | ||||||||
6,502,843 | WM Morrison Supermarkets Plc | 16,826,236 | ||||||||
3,747,551 | WPP Plc | 86,523,342 | ||||||||
|
| |||||||||
Total United Kingdom | 1,173,147,982 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $7,361,693,984) | 7,145,316,626 | |||||||||
|
|
Shares / Par Value† | Description | Value ($) | ||||||||
PREFERRED STOCKS — 0.7% | ||||||||||
Germany — 0.7% | ||||||||||
164,792 | Jungheinrich AG | 5,175,413 | ||||||||
851,984 | Porsche Automobil Holding SE | 43,048,624 | ||||||||
|
| |||||||||
Total Germany | 48,224,037 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $82,944,960) | 48,224,037 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 0.9% | ||||||||||
United States — 0.9% | ||||||||||
Affiliated Issuers | ||||||||||
2,488,085 | GMO U.S. Treasury Fund | 62,226,997 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $62,226,997) | 62,226,997 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.3% | ||||||||||
Time Deposits — 0.3% | ||||||||||
CAD | 155,677 | Bank of Montreal (Montreal) Time Deposit, 0.05%, due 09/01/16 | 118,711 | |||||||
EUR | 127,506 | BNP Paribas (Paris) Time Deposit, (0.54)%, due 09/01/16 | 142,226 | |||||||
GBP | 250,389 | BNP Paribas (Paris) Time Deposit, 0.05%, due 09/01/16 | 328,798 | |||||||
HKD | 1,524,681 | BNP Paribas (Paris) Time Deposit, 0.01%, due 09/01/16 | 196,541 | |||||||
NZD | 5,701 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.25%, due 09/01/16 | 4,136 | |||||||
SGD | 113,574 | HSBC Bank (Hong Kong) Time Deposit, 0.01%, due 09/01/16 | 83,360 | |||||||
AUD | 3,486,828 | National Australia Bank (Melbourne) Time Deposit, 0.69%, due 09/01/16 | 2,620,526 | |||||||
JPY | 99,299,260 | Sumitomo (Tokyo) Time Deposit, (0.29)%, due 09/01/16 | 959,738 | |||||||
20,732,802 | Sumitomo (Tokyo) Time Deposit, 0.15%, due 09/01/16 | 20,732,802 | ||||||||
|
| |||||||||
Total Time Deposits | 25,186,838 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $25,186,838) | 25,186,838 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.4% (Cost $7,532,052,779) | 7,280,954,498 | |||||||||
Other Assets and Liabilities (net) — 0.6% | 45,649,286 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $7,326,603,784 | |||||||||
|
|
16 | See accompanying notes to the financial statements. |
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2016 (Unaudited)
Notes to Schedule of Investments:
* | Non-income producing security. |
† | Denominated in U.S. Dollar, unless otherwise indicated. |
(a) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2). |
For a listing of definitions of acronyms and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 44.
See accompanying notes to the financial statements. | 17 |
GMO International Large/Mid Cap Equity Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 98.4 | % | ||
Preferred Stocks | 0.9 | |||
Mutual Funds | 0.3 | |||
Short-Term Investments | 0.2 | |||
Other | 0.2 | |||
|
| |||
100.0 | % | |||
|
| |||
Country Summary¤ | % of Investments | |||
Japan | 26.6 | % | ||
United Kingdom | 18.1 | |||
France | 10.5 | |||
Germany | 10.4 | |||
Switzerland | 6.0 | |||
Australia | 4.9 | |||
Netherlands | 4.4 | |||
Hong Kong | 4.2 | |||
Other Developed | 3.9 | ‡ | ||
Israel | 2.3 | |||
Spain | 2.1 | |||
Norway | 2.0 | |||
Italy | 1.9 | |||
Canada | 1.6 | |||
Finland | 1.1 | |||
|
| |||
100.0 | % | |||
|
| |||
Industry Group Summary | % of Equity Investments# | |||
Insurance | 8.9 | % | ||
Automobiles & Components | 8.8 | |||
Banks | 8.7 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 8.6 | |||
Telecommunication Services | 7.6 | |||
Energy | 7.3 | |||
Capital Goods | 6.1 | |||
Materials | 5.3 | |||
Real Estate | 5.1 | |||
Food, Beverage & Tobacco | 4.9 | |||
Transportation | 4.5 | |||
Food & Staples Retailing | 3.4 | |||
Consumer Durables & Apparel | 3.2 | |||
Media | 2.9 | |||
Utilities | 2.8 | |||
Technology Hardware & Equipment | 2.4 | |||
Commercial & Professional Services | 2.3 | |||
Software & Services | 2.2 | |||
Household & Personal Products | 2.0 | |||
Retailing | 2.0 | |||
Diversified Financials | 0.6 | |||
Health Care Equipment & Services | 0.2 | |||
Consumer Services | 0.2 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. |
¤ | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
18
GMO International Large/Mid Cap Equity Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 98.4% | ||||||||||
Australia — 4.9% | ||||||||||
69,011 | Adelaide Brighton Ltd | 271,888 | ||||||||
8,752 | ASX Ltd | 336,003 | ||||||||
518,419 | BlueScope Steel Ltd | 3,380,302 | ||||||||
85,834 | CIMIC Group Ltd | 1,906,083 | ||||||||
152,747 | Dexus Property Group (REIT) | 1,114,220 | ||||||||
95,435 | Downer EDI Ltd | 350,814 | ||||||||
383,339 | Fairfax Media Ltd | 283,374 | ||||||||
495,008 | GPT Group (The) (REIT) | 1,979,980 | ||||||||
107,738 | LendLease Group | 1,116,420 | ||||||||
315,133 | Mirvac Group (REIT) | 548,476 | ||||||||
90,791 | OZ Minerals Ltd | 435,578 | ||||||||
3,119,533 | Scentre Group (REIT) | 11,637,988 | ||||||||
13,675 | Shopping Centres Australasia Property Group (REIT) | 23,705 | ||||||||
90,358 | Sonic Healthcare Ltd | 1,559,796 | ||||||||
99,767 | Star Entertainment Grp Ltd (The) | 441,741 | ||||||||
645,371 | Stockland (REIT) | 2,349,487 | ||||||||
3,895,181 | Telstra Corp Ltd | 15,381,744 | ||||||||
125,613 | Westfield Corp (REIT) | 963,445 | ||||||||
130,603 | Woodside Petroleum Ltd | 2,798,006 | ||||||||
|
| |||||||||
Total Australia | 46,879,050 | |||||||||
|
| |||||||||
Austria — 0.8% | ||||||||||
4,811 | Oesterreichische Post AG * | 172,802 | ||||||||
162,570 | OMV AG | 4,555,251 | ||||||||
83,689 | voestalpine AG | 2,773,654 | ||||||||
|
| |||||||||
Total Austria | 7,501,707 | |||||||||
|
| |||||||||
Belgium — 0.3% | ||||||||||
50,434 | Ageas | 1,748,847 | ||||||||
40,867 | bpost SA | 1,040,007 | ||||||||
8,860 | Proximus SADP | 271,358 | ||||||||
|
| |||||||||
Total Belgium | 3,060,212 | |||||||||
|
| |||||||||
Canada — 1.6% | ||||||||||
113,700 | Air Canada * | 776,843 | ||||||||
55,500 | BCE Inc | 2,593,019 | ||||||||
9,600 | Canadian Tire Corp Ltd – Class A | 983,352 | ||||||||
22,700 | CGI Group Inc – Class A * | 1,104,881 | ||||||||
72,600 | CI Financial Corp | 1,421,109 | ||||||||
236,400 | Metro Inc | 8,029,019 | ||||||||
15,800 | Transcontinental Inc – Class A | 231,325 | ||||||||
|
| |||||||||
Total Canada | 15,139,548 | |||||||||
|
| |||||||||
Denmark — 0.9% | ||||||||||
3,533 | AP Moeller – Maersk A/S – Class B | 5,285,234 | ||||||||
9,671 | Carlsberg A/S – Class B | 907,828 | ||||||||
41,330 | Novo Nordisk A/S – Class B | 1,934,276 | ||||||||
|
| |||||||||
Total Denmark | 8,127,338 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Finland — 1.1% | ||||||||||
91,894 | Neste Oyj | 3,827,589 | ||||||||
312,690 | UPM – Kymmene Oyj | 6,285,061 | ||||||||
|
| |||||||||
Total Finland | 10,112,650 | |||||||||
|
| |||||||||
France — 10.5% | ||||||||||
2,024 | Atos SE | 199,558 | ||||||||
1,136,030 | AXA SA | 23,910,326 | ||||||||
233,213 | BNP Paribas SA | 11,910,300 | ||||||||
16,783 | Capgemini SA | 1,639,859 | ||||||||
40,971 | Christian Dior SE | 7,099,894 | ||||||||
71,398 | Cie Generale des Etablissements Michelin | 7,610,766 | ||||||||
11,197 | M6-Metropole Television SA | 198,866 | ||||||||
38,727 | Renault SA | 3,180,380 | ||||||||
5,827 | Rexel SA | 93,864 | ||||||||
65,997 | SCOR SE | 1,947,254 | ||||||||
10,220 | Societe BIC SA | 1,493,395 | ||||||||
163,055 | Societe Generale | 5,953,096 | ||||||||
657,691 | TOTAL SA | 31,422,098 | ||||||||
201,156 | Vivendi SA | 3,896,131 | ||||||||
|
| |||||||||
Total France | 100,555,787 | |||||||||
|
| |||||||||
Germany — 9.5% | ||||||||||
135,774 | Allianz SE (Registered) | 20,183,756 | ||||||||
35,944 | Aurubis AG | 1,892,578 | ||||||||
125,690 | BASF SE | 10,195,413 | ||||||||
158,689 | Bayerische Motoren Werke AG | 13,788,940 | ||||||||
1,809 | Bechtle AG | 201,837 | ||||||||
417,100 | Daimler AG (Registered) | 28,872,048 | ||||||||
416,660 | Deutsche Lufthansa AG (Registered) | 4,846,867 | ||||||||
5,976 | Duerr AG | 504,623 | ||||||||
11,300 | Hannover Rueck SE | 1,155,187 | ||||||||
14,982 | Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 2,705,465 | ||||||||
110,387 | ProSiebenSat.1 Media SE | 4,762,793 | ||||||||
5,855 | RTL Group SA | 492,894 | ||||||||
16,097 | Siemens AG (Registered) | 1,920,320 | ||||||||
|
| |||||||||
Total Germany | 91,522,721 | |||||||||
|
| |||||||||
Hong Kong — 4.2% | ||||||||||
1,945,500 | BOC Hong Kong Holdings Ltd | 6,792,471 | ||||||||
373,000 | CK Hutchison Holdings Ltd | 4,785,756 | ||||||||
119,600 | Dah Sing Banking Group Ltd | 219,473 | ||||||||
197,000 | Henderson Land Development Co Ltd | 1,149,401 | ||||||||
407,200 | Hongkong Land Holdings Ltd | 2,639,183 | ||||||||
176,000 | Hysan Development Co Ltd | 848,620 | ||||||||
203,000 | Kerry Properties Ltd | 589,558 | ||||||||
942,500 | Link (REIT) | 6,846,246 | ||||||||
123,000 | Pacific Textiles Holdings Ltd | 161,633 | ||||||||
272,000 | Sino Land Co Ltd | 464,873 | ||||||||
2,373,000 | SJM Holdings Ltd | 1,488,725 |
See accompanying notes to the financial statements. | 19 |
GMO International Large/Mid Cap Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Hong Kong — continued | ||||||||||
347,000 | Swire Pacific Ltd – Class A | 3,828,105 | ||||||||
9,500 | Techtronic Industries Co Ltd | 38,482 | ||||||||
626,000 | Wharf Holdings Ltd (The) | 4,411,756 | ||||||||
348,000 | Wheelock & Co Ltd | 1,987,120 | ||||||||
460,750 | Xinyi Automobile Glass Hong Kong Enterprises Ltd * | 95,030 | ||||||||
3,118,000 | Xinyi Glass Holdings Ltd * | 2,680,310 | ||||||||
241,000 | Yue Yuen Industrial Holdings Ltd | 1,024,455 | ||||||||
|
| |||||||||
Total Hong Kong | 40,051,197 | |||||||||
|
| |||||||||
Ireland — 0.1% | ||||||||||
47,098 | Smurfit Kappa Group Plc | 1,162,494 | ||||||||
|
| |||||||||
Israel — 2.3% | ||||||||||
520,493 | Bank Hapoalim BM | 2,794,610 | ||||||||
312,324 | Bank Leumi Le-Israel BM * | 1,170,370 | ||||||||
554,338 | Bezeq Israeli Telecommunication Corp Ltd | 1,114,180 | ||||||||
162,700 | Check Point Software Technologies Ltd * | 12,485,598 | ||||||||
102,794 | Israel Discount Bank Ltd – Class A * | 185,632 | ||||||||
89,926 | Teva Pharmaceutical Industries Ltd | 4,555,114 | ||||||||
1,200 | Teva Pharmaceutical Industries Ltd Sponsored ADR | 60,468 | ||||||||
|
| |||||||||
Total Israel | 22,365,972 | |||||||||
|
| |||||||||
Italy — 1.9% | ||||||||||
196,993 | Banca Mediolanum SPA | 1,368,584 | ||||||||
1,667 | De’ Longhi SPA | 41,352 | ||||||||
1,069,704 | Enel SPA | 4,726,954 | ||||||||
748,755 | Eni SPA | 11,303,291 | ||||||||
4,126 | EXOR SPA | 169,655 | ||||||||
94,787 | Hera SPA | 262,768 | ||||||||
7,310 | Recordati SPA | 221,248 | ||||||||
|
| |||||||||
Total Italy | 18,093,852 | |||||||||
|
| |||||||||
Japan — 26.5% | ||||||||||
72,000 | Aisin Seiki Co Ltd | 3,405,785 | ||||||||
6,000 | Aoyama Trading Co Ltd | 194,890 | ||||||||
206,000 | Asahi Kasei Corp | 1,740,371 | ||||||||
37,000 | Calsonic Kansei Corp | 291,539 | ||||||||
75,700 | Canon Inc | 2,170,749 | ||||||||
54,300 | Central Japan Railway Co | 8,929,171 | ||||||||
128,000 | Chiba Bank Ltd (The) | 760,279 | ||||||||
10,900 | Coca-Cola West Co Ltd | 247,217 | ||||||||
40,100 | Daicel Corp | 512,423 | ||||||||
180,100 | Daiichi Sankyo Co Ltd | 4,137,705 | ||||||||
15,301 | Daito Trust Construction Co Ltd | 2,253,911 | ||||||||
154,600 | Daiwa House Industry Co Ltd | 3,993,984 | ||||||||
31,300 | DCM Holdings Co Ltd | 238,574 | ||||||||
15,400 | East Japan Railway Co | 1,322,489 | ||||||||
154,200 | Fuji Heavy Industries Ltd | 6,137,501 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
327,000 | FUJIFILM Holdings Corp | 12,305,132 | ||||||||
127,874 | Haseko Corp | 1,212,054 | ||||||||
84,600 | Inpex Corp | 733,284 | ||||||||
1,851,300 | ITOCHU Corp | 21,861,829 | ||||||||
215,000 | Japan Airlines Co Ltd | 6,562,257 | ||||||||
77,200 | Japan Tobacco Inc | 2,991,422 | ||||||||
142,340 | K’s Holdings Corp | 2,247,625 | ||||||||
160,000 | Kawasaki Kisen Kaisha Ltd | 404,500 | ||||||||
902,024 | KDDI Corp | 26,370,338 | ||||||||
118,500 | Konica Minolta Inc | 1,070,491 | ||||||||
833,300 | Marubeni Corp | 4,158,418 | ||||||||
498,700 | Mitsubishi Chemical Holdings Corp | 3,155,752 | ||||||||
119,000 | Mitsubishi Electric Corp | 1,557,288 | ||||||||
41,700 | Mitsubishi Tanabe Pharma Corp | 774,093 | ||||||||
4,211,600 | Mitsubishi UFJ Financial Group Inc | 23,199,707 | ||||||||
523,800 | Mitsui & Co Ltd | 6,974,411 | ||||||||
538,000 | Nippon Telegraph & Telephone Corp | 23,655,360 | ||||||||
43,908 | Nipro Corp | 547,243 | ||||||||
897,300 | Nissan Motor Co Ltd | 8,816,435 | ||||||||
4,500 | NOK Corp | 91,634 | ||||||||
648,000 | Osaka Gas Co Ltd | 2,553,432 | ||||||||
294,000 | Otsuka Holdings Co Ltd | 12,748,899 | ||||||||
254,200 | Resona Holdings Inc | 1,164,166 | ||||||||
71,700 | Ricoh Co Ltd | 647,617 | ||||||||
212,800 | Sekisui Chemical Co Ltd | 2,979,582 | ||||||||
315,200 | Sekisui House Ltd | 5,085,386 | ||||||||
1,836,700 | Sojitz Corp | 4,405,323 | ||||||||
592,000 | Sumitomo Chemical Co Ltd | 2,715,961 | ||||||||
267,400 | Sumitomo Corp | 2,901,498 | ||||||||
22,300 | Sumitomo Electric Industries Ltd | 331,233 | ||||||||
8,000 | Sumitomo Metal Mining Co Ltd | 101,682 | ||||||||
816,700 | Sumitomo Mitsui Financial Group Inc | 28,569,896 | ||||||||
10,100 | Toho Holdings Co Ltd | 196,349 | ||||||||
85,000 | Toppan Printing Co Ltd | 758,554 | ||||||||
169,900 | Toyota Tsusho Corp | 3,890,538 | ||||||||
8,600 | TS Tech Co Ltd | 200,026 | ||||||||
|
| |||||||||
Total Japan | 254,276,003 | |||||||||
|
| |||||||||
Malta — 0.0% | ||||||||||
15,998,662 | BGP Holdings Plc * (a) | — | ||||||||
|
| |||||||||
Netherlands — 4.3% | ||||||||||
31,000 | AerCap Holdings NV * | 1,239,070 | ||||||||
14,939 | Boskalis Westminster | 535,675 | ||||||||
40,039 | Heineken Holding NV | 3,227,572 | ||||||||
882,270 | Koninklijke Ahold Delhaize NV | 21,180,436 | ||||||||
428,545 | PostNL NV * | 1,879,386 | ||||||||
64,213 | Randstad Holdings NV | 3,038,070 | ||||||||
26,178 | Unilever NV CVA | 1,204,479 | ||||||||
219,191 | Wolters Kluwer NV | 9,220,710 | ||||||||
|
| |||||||||
Total Netherlands | 41,525,398 | |||||||||
|
|
20 | See accompanying notes to the financial statements. |
GMO International Large/Mid Cap Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
New Zealand — 0.5% | ||||||||||
386,424 | Fletcher Building Ltd | 2,968,756 | ||||||||
652,473 | Spark New Zealand Ltd | 1,800,406 | ||||||||
|
| |||||||||
Total New Zealand | 4,769,162 | |||||||||
|
| |||||||||
Norway — 1.9% | ||||||||||
6,804 | Bakkafrost P/F | 244,111 | ||||||||
492,852 | Orkla ASA | 4,510,333 | ||||||||
472,096 | Statoil ASA | 7,406,156 | ||||||||
58,830 | Telenor ASA | 1,025,940 | ||||||||
154,832 | Yara International ASA | 5,483,066 | ||||||||
|
| |||||||||
Total Norway | 18,669,606 | |||||||||
|
| |||||||||
Portugal — 0.0% | ||||||||||
30,788 | CTT-Correios de Portugal SA | 226,143 | ||||||||
|
| |||||||||
Singapore — 0.3% | ||||||||||
9,631,500 | Golden Agri-Resources Ltd | 2,540,370 | ||||||||
474,900 | Yangzijiang Shipbuilding Holdings Ltd | 266,230 | ||||||||
|
| |||||||||
Total Singapore | 2,806,600 | |||||||||
|
| |||||||||
Spain — 2.1% | ||||||||||
534,730 | Endesa SA | 10,897,174 | ||||||||
261,596 | International Consolidated Airlines Group SA | 1,317,318 | ||||||||
587,140 | Repsol SA | 7,887,262 | ||||||||
|
| |||||||||
Total Spain | 20,101,754 | |||||||||
|
| |||||||||
Sweden — 0.7% | ||||||||||
2,026 | Swedish Match AB | 72,146 | ||||||||
874,404 | Telefonaktiebolaget LM Ericsson – B Shares | 6,227,745 | ||||||||
|
| |||||||||
Total Sweden | 6,299,891 | |||||||||
|
| |||||||||
Switzerland — 6.0% | ||||||||||
109,306 | Adecco Group AG (Registered) | 6,297,094 | ||||||||
7,196 | Baloise Holding AG (Registered) | 857,319 | ||||||||
438 | dorma & kaba Holding AG – Class B (Registered) | 344,025 | ||||||||
5,124 | EMS-Chemie Holding AG (Registered) | 2,728,600 | ||||||||
233 | Forbo Holdings AG (Registered) * | 320,219 | ||||||||
797 | Givaudan SA (Registered) | 1,648,540 | ||||||||
458 | Helvetia Holding AG (Registered) | 229,100 | ||||||||
37,092 | Kuehne & Nagel International AG (Registered) | 5,182,328 | ||||||||
597 | LafargeHolcim Ltd (Registered) | 31,696 | ||||||||
24,868 | Roche Holding AG | 6,070,286 | ||||||||
174 | SGS SA (Registered) | 382,713 | ||||||||
304 | Sika AG | 1,449,415 | ||||||||
4,826 | Swatch Group AG (The) | 1,243,110 | ||||||||
304 | Swatch Group AG (The) (Registered) | 15,450 | ||||||||
20,128 | Swiss Life Holding AG (Registered) * | 5,046,397 |
Shares | Description | Value ($) | ||||||||
Switzerland — continued | ||||||||||
305,344 | Swiss Re AG | 25,803,591 | ||||||||
|
| |||||||||
Total Switzerland | 57,649,883 | |||||||||
|
| |||||||||
United Kingdom — 18.0% | ||||||||||
452,699 | AstraZeneca Plc | 29,222,173 | ||||||||
26,037 | Bellway Plc | 796,921 | ||||||||
117,543 | Berkeley Group Holdings Plc (The) | 4,124,205 | ||||||||
29,607 | Bovis Homes Group Plc | 348,542 | ||||||||
375,876 | British American Tobacco Plc | 23,320,333 | ||||||||
95,649 | Carillion Plc | 326,831 | ||||||||
2,616,757 | Centrica Plc | 8,001,436 | ||||||||
28,169 | Crest Nicholson Holdings Plc | 172,055 | ||||||||
193,859 | Direct Line Insurance Group Plc | 941,498 | ||||||||
11,542 | Galliford Try Plc | 172,130 | ||||||||
988,234 | GlaxoSmithKline Plc | 21,271,980 | ||||||||
7,686 | Hammerson Plc (REIT) | 58,551 | ||||||||
384,340 | Henderson Group Plc | 1,203,778 | ||||||||
768,824 | Home Retail Group Plc | 1,611,518 | ||||||||
35,089 | IG Group Holdings Plc | 438,291 | ||||||||
169,537 | Imperial Brands Plc | 8,892,780 | ||||||||
140,322 | Inchcape Plc | 1,293,206 | ||||||||
109,570 | Indivior Plc | 452,307 | ||||||||
32,070 | Intermediate Capital Group Plc | 250,758 | ||||||||
622,456 | J Sainsbury Plc | 1,964,307 | ||||||||
55,941 | Jupiter Fund Management Plc | 308,039 | ||||||||
2,069,938 | Kingfisher Plc | 10,095,214 | ||||||||
232,983 | Legal & General Group Plc | 644,457 | ||||||||
72,151 | Mondi Plc | 1,468,151 | ||||||||
241,767 | Persimmon Plc | 5,791,457 | ||||||||
183,421 | Reckitt Benckiser Group Plc | 17,718,233 | ||||||||
31,835 | Redrow Plc | 155,358 | ||||||||
796,313 | Royal Mail Plc | 5,373,620 | ||||||||
544,134 | Sage Group Plc (The) | 5,184,385 | ||||||||
98,720 | WH Smith Plc | 1,975,835 | ||||||||
500,064 | WM Morrison Supermarkets Plc | 1,293,926 | ||||||||
784,252 | WPP Plc | 18,106,786 | ||||||||
|
| |||||||||
Total United Kingdom | 172,979,061 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $971,698,407) | 943,876,029 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 0.9% | ||||||||||
Germany — 0.9% | ||||||||||
8,664 | Jungheinrich AG | 272,099 | ||||||||
156,908 | Porsche Automobil Holding SE | 7,928,170 | ||||||||
|
| |||||||||
Total Germany | 8,200,269 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $12,808,706) | 8,200,269 | |||||||||
|
|
See accompanying notes to the financial statements. | 21 |
GMO International Large/Mid Cap Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares / Par Value† | Description | Value ($) | ||||||||
MUTUAL FUNDS — 0.3% | ||||||||||
United States — 0.3% | ||||||||||
Affiliated Issuers | ||||||||||
121,751 | GMO U.S. Treasury Fund | 3,044,984 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $3,044,984) | 3,044,984 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.2% | ||||||||||
Time Deposits — 0.2% | ||||||||||
CAD | 7,097 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.05%, due 09/01/16 | 5,412 | |||||||
EUR | 11,196 | Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.54)%, due 09/01/16 | 12,488 | |||||||
GBP | 2,518 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.05%, due 09/01/16 | 3,306 | |||||||
HKD | 94,961 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/16 | 12,241 | |||||||
AUD | 435,936 | National Australia Bank (Melbourne) Time Deposit, 0.69%, due 09/01/16 | 327,627 | |||||||
1,913,822 | Sumitomo (Tokyo) Time Deposit, 0.15%, due 09/01/16 | 1,913,822 | ||||||||
|
| |||||||||
Total Time Deposits | 2,274,896 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $2,274,896) | 2,274,896 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.8% (Cost $989,826,993) | 957,396,178 | |||||||||
Other Assets and Liabilities (net) — 0.2% | 1,890,673 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $959,286,851 | |||||||||
|
|
Notes to Schedule of Investments:
* | Non-income producing security. |
† | Denominated in U.S. Dollar, unless otherwise indicated. |
(a) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2). |
For a listing of definitions of acronyms and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 44.
22 | See accompanying notes to the financial statements. |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 97.8 | % | ||
Mutual Funds | 2.4 | |||
Short-Term Investments | 0.1 | |||
Other | (0.3 | ) | ||
|
| |||
100.0 | % | |||
|
| |||
Country Summary¤ | % of Investments | |||
United States | 86.4 | % | ||
United Kingdom | 7.2 | |||
Switzerland | 3.0 | |||
Netherlands | 2.0 | |||
Other Developed | 1.4 | ‡ | ||
|
| |||
100.0 | % | |||
|
| |||
Industry Group Summary | % of Equity Investments# | |||
Software & Services | 22.3 | % | ||
Food, Beverage & Tobacco | 13.4 | |||
Health Care Equipment & Services | 12.1 | |||
Household & Personal Products | 10.7 | |||
Technology Hardware & Equipment | 9.8 | |||
Capital Goods | 7.3 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 6.8 | |||
Semiconductors & Semiconductor Equipment | 4.2 | |||
Diversified Financials | 3.1 | |||
Food & Staples Retailing | 2.1 | |||
Consumer Services | 2.0 | |||
Consumer Durables & Apparel | 1.9 | |||
Materials | 1.9 | |||
Energy | 1.1 | |||
Retailing | 0.8 | |||
Telecommunication Services | 0.5 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. |
¤ | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
23
GMO Quality Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 97.8% | ||||||||||
Capital Goods — 7.1% | ||||||||||
1,523,273 | 3M Co. | 273,031,453 | ||||||||
1,723,225 | Emerson Electric Co. | 90,779,493 | ||||||||
493,619 | Honeywell International, Inc. | 57,610,273 | ||||||||
971,308 | Illinois Tool Works, Inc. | 115,439,956 | ||||||||
308,699 | Rockwell Automation, Inc. | 35,787,475 | ||||||||
525,861 | United Technologies Corp. | 55,967,386 | ||||||||
123,666 | WW Grainger, Inc. | 28,524,800 | ||||||||
|
| |||||||||
Total Capital Goods | 657,140,836 | |||||||||
|
| |||||||||
Consumer Durables & Apparel — 1.9% | ||||||||||
390,267 | Burberry Group Plc | 6,687,529 | ||||||||
221,607 | LVMH Moet Hennessy Louis Vuitton SE | 37,497,837 | ||||||||
1,186,428 | Nike, Inc. – Class B | 68,385,710 | ||||||||
41,986 | Swatch Group AG (The) | 10,814,999 | ||||||||
802,911 | VF Corp. | 49,820,627 | ||||||||
|
| |||||||||
Total Consumer Durables & Apparel | 173,206,702 | |||||||||
|
| |||||||||
Consumer Services — 2.0% | ||||||||||
4,013,881 | Compass Group Plc | 75,972,615 | ||||||||
905,036 | McDonald’s Corp. | 104,676,464 | ||||||||
|
| |||||||||
Total Consumer Services | 180,649,079 | |||||||||
|
| |||||||||
Diversified Financials — 3.1% | ||||||||||
4,335,782 | American Express Co. | 284,340,583 | ||||||||
|
| |||||||||
Energy — 1.0% | ||||||||||
1,200,706 | Schlumberger Ltd. | 94,855,774 | ||||||||
|
| |||||||||
Food & Staples Retailing — 2.1% | ||||||||||
499,665 | Costco Wholesale Corp. | 80,990,700 | ||||||||
738,520 | CVS Health Corp. | 68,977,768 | ||||||||
592,852 | Wal-Mart Stores, Inc. | 42,353,347 | ||||||||
|
| |||||||||
Total Food & Staples Retailing | 192,321,815 | |||||||||
|
| |||||||||
Food, Beverage & Tobacco — 13.1% | ||||||||||
3,775,413 | British American Tobacco Plc | 234,236,379 | ||||||||
6,980,757 | Coca-Cola Co. (The) | 303,174,276 | ||||||||
2,829,965 | Nestle SA (Registered) | 225,527,747 | ||||||||
1,059,805 | PepsiCo, Inc. | 113,134,184 | ||||||||
3,382,904 | Philip Morris International, Inc. | 338,053,597 | ||||||||
|
| |||||||||
Total Food, Beverage & Tobacco | 1,214,126,183 | |||||||||
|
| |||||||||
Health Care Equipment & Services — 11.8% | ||||||||||
2,785,217 | Abbott Laboratories | 117,034,818 | ||||||||
230,446 | Anthem, Inc. | 28,824,186 | ||||||||
494,257 | Becton Dickinson and Co. | 87,587,283 | ||||||||
808,250 | Cerner Corp.* | 52,164,455 | ||||||||
450,406 | Express Scripts Holding Co.* | 32,744,516 | ||||||||
321,500 | Humana, Inc. | 57,455,265 |
Shares | Description | Value ($) | ||||||||
Health Care Equipment & Services — continued | ||||||||||
63,115 | Intuitive Surgical, Inc.* | 43,323,398 | ||||||||
2,776,235 | Medtronic Plc | 241,615,732 | ||||||||
555,500 | St Jude Medical, Inc. | 43,284,560 | ||||||||
907,598 | Stryker Corp. | 104,972,785 | ||||||||
1,770,698 | UnitedHealth Group, Inc. | 240,903,463 | ||||||||
329,167 | Zimmer Biomet Holdings, Inc. | 42,663,335 | ||||||||
|
| |||||||||
Total Health Care Equipment & Services | 1,092,573,796 | |||||||||
|
| |||||||||
Household & Personal Products — 10.5% | ||||||||||
305,701 | Church & Dwight Co., Inc. | 30,392,793 | ||||||||
1,597,267 | Colgate-Palmolive Co. | 118,740,829 | ||||||||
3,250,096 | Procter & Gamble Co. (The) | 283,765,881 | ||||||||
1,676,742 | Reckitt Benckiser Group Plc | 161,971,012 | ||||||||
4,057,595 | Unilever NV CVA | 186,694,436 | ||||||||
4,090,368 | Unilever Plc | 189,879,831 | ||||||||
|
| |||||||||
Total Household & Personal Products | 971,444,782 | |||||||||
|
| |||||||||
Materials — 1.8% | ||||||||||
1,573,414 | Monsanto Co. | 167,568,591 | ||||||||
|
| |||||||||
Pharmaceuticals, Biotechnology & Life Sciences — 6.7% | ||||||||||
680,653 | Eli Lilly & Co. | 52,920,771 | ||||||||
3,831,143 | Johnson & Johnson | 457,208,606 | ||||||||
542,250 | Novartis AG (Registered) | 42,709,231 | ||||||||
1,801,443 | Pfizer, Inc. | 62,690,216 | ||||||||
|
| |||||||||
Total Pharmaceuticals, Biotechnology & Life Sciences | 615,528,824 | |||||||||
|
| |||||||||
Retailing — 0.7% | ||||||||||
275,862 | Genuine Parts Co. | 28,364,131 | ||||||||
519,549 | TJX Cos, Inc. (The) | 40,233,874 | ||||||||
|
| |||||||||
Total Retailing | 68,598,005 | |||||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment — 4.1% | ||||||||||
742,564 | Analog Devices, Inc. | 46,454,804 | ||||||||
4,527,349 | QUALCOMM, Inc. | 285,539,901 | ||||||||
677,900 | Texas Instruments, Inc. | 47,141,166 | ||||||||
|
| |||||||||
Total Semiconductors & Semiconductor Equipment | 379,135,871 | |||||||||
|
| |||||||||
Software & Services — 21.8% | ||||||||||
1,580,833 | Accenture Plc – Class A | 181,795,795 | ||||||||
444,365 | Alphabet, Inc. – Class A* | 350,981,695 | ||||||||
200,896 | Alphabet, Inc. – Class C* | 154,097,277 | ||||||||
2,118,863 | Cognizant Technology Solutions Corp. – Class A* | 121,707,491 | ||||||||
472,082 | Intuit, Inc. | 52,613,539 | ||||||||
436,011 | MasterCard, Inc. – Class A | 42,131,743 | ||||||||
9,311,274 | Microsoft Corp. | 535,025,804 | ||||||||
10,985,899 | Oracle Corp. | 452,838,757 | ||||||||
667,886 | Paychex, Inc. | 40,520,643 |
24 | See accompanying notes to the financial statements. |
GMO Quality Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Software & Services — continued | ||||||||||
449,791 | SAP SE | 39,500,607 | ||||||||
1,544,500 | Teradata Corp.* | 49,006,985 | ||||||||
|
| |||||||||
Total Software & Services | 2,020,220,336 | |||||||||
|
| |||||||||
Technology Hardware & Equipment — 9.6% | ||||||||||
506,979 | Amphenol Corp. – Class A | 31,589,861 | ||||||||
3,116,117 | Apple, Inc. | 330,620,014 | ||||||||
13,778,811 | Cisco Systems, Inc. | 433,205,818 | ||||||||
3,094,900 | EMC Corp. | 89,721,151 | ||||||||
|
| |||||||||
Total Technology Hardware & Equipment | 885,136,844 | |||||||||
|
| |||||||||
Telecommunication Services — 0.5% | ||||||||||
1,882,399 | NTT DOCOMO, Inc. | 47,472,738 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $7,727,932,537) | 9,044,320,759 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 2.4% | ||||||||||
Affiliated Issuers — 2.4% | ||||||||||
8,977,917 | GMO U.S. Treasury Fund | 224,537,698 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $224,531,882) | 224,537,698 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
Money Market Funds — 0.1% | ||||||||||
11,805,637 | State Street Institutional Treasury Money Market Fund-Premier Class, 0.19% (a) | 11,805,637 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $11,805,637) | 11,805,637 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.3% (Cost $7,964,270,056) | 9,280,664,094 | |||||||||
Other Assets and Liabilities (net) — (0.3%) | (28,948,513 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $9,251,715,581 | |||||||||
|
|
Notes to Schedule of Investments:
* | Non-income producing security. |
(a) | The rate disclosed is the 7 day net yield as of August 31, 2016. |
For a listing of definitions of acronyms and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 44.
See accompanying notes to the financial statements. | 25 |
(A Series of GMO Trust)
Investment Concentration Summary
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 88.6 | % | ||
Preferred Stocks | 9.3 | |||
Mutual Funds | 1.3 | |||
Short-Term Investments | 0.6 | |||
Other | 0.2 | |||
|
| |||
100.0 | % | |||
|
| |||
Country Summary¤ | % of Equity Investments | |||
United Kingdom | 24.3 | % | ||
Russia | 14.4 | |||
United States | 14.1 | |||
Norway | 7.1 | |||
Chile | 5.4 | |||
Canada | 4.5 | |||
France | 3.1 | |||
Other Emerging | 2.8 | † | ||
Japan | 2.7 | |||
Brazil | 2.5 | |||
Other Developed | 2.0 | ‡ | ||
Singapore | 1.9 | |||
Spain | 1.7 | |||
Thailand | 1.6 | |||
Poland | 1.6 | |||
Australia | 1.5 | |||
Israel | 1.5 | |||
Argentina | 1.4 | |||
Italy | 1.3 | |||
South Africa | 1.2 | |||
Ukraine | 1.1 | |||
Czech Republic | 1.1 | |||
Germany | 1.0 | |||
Colombia | 0.2 | |||
Kazakhstan | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
| |||
Industry Group Summary | % of Equity Investments# | |||
Energy | 42.1 | % | ||
Materials | 41.3 | |||
Food, Beverage & Tobacco | 9.5 | |||
Utilities | 3.6 | |||
Capital Goods | 1.9 | |||
Semiconductors & Semiconductor Equipment | 1.6 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. |
¤ | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
^ | Rounds to 0.0%. |
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
26
GMO Resources Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 88.6% | ||||||||||
Argentina — 1.4% | ||||||||||
252,500 | Adecoagro SA * | 2,537,625 | ||||||||
|
| |||||||||
Australia — 1.5% | ||||||||||
692,385 | Beach Energy Ltd | 292,020 | ||||||||
166,737 | Sandfire Resources NL | 685,520 | ||||||||
34,576 | Woodside Petroleum Ltd | 740,748 | ||||||||
176,499 | WorleyParsons Ltd * | 1,075,114 | ||||||||
|
| |||||||||
Total Australia | 2,793,402 | |||||||||
|
| |||||||||
Austria — 0.9% | ||||||||||
57,771 | OMV AG | 1,618,757 | ||||||||
|
| |||||||||
Brazil — 0.5% | ||||||||||
36,800 | Cosan SA Industria e Comercio | 428,718 | ||||||||
31,000 | Sao Martinho SA | 482,299 | ||||||||
|
| |||||||||
Total Brazil | 911,017 | |||||||||
|
| |||||||||
Canada — 4.4% | ||||||||||
6,351 | Agrium Inc | 611,951 | ||||||||
38,700 | Ensign Energy Services Inc | 227,821 | ||||||||
265,734 | First Quantum Minerals Ltd | 2,014,180 | ||||||||
54,000 | Potash Corp of Saskatchewan Inc | 978,374 | ||||||||
271,498 | Teck Resources Ltd – Class B | 4,399,369 | ||||||||
|
| |||||||||
Total Canada | 8,231,695 | |||||||||
|
| |||||||||
China — 0.5% | ||||||||||
3,710,000 | Century Sunshine Group Holdings Ltd | 148,055 | ||||||||
968,000 | China Oilfield Services Ltd – Class H | 755,484 | ||||||||
|
| |||||||||
Total China | 903,539 | |||||||||
|
| |||||||||
Colombia — 0.2% | ||||||||||
859,306 | Ecopetrol SA * | 381,618 | ||||||||
|
| |||||||||
Czech Republic — 1.1% | ||||||||||
118,151 | CEZ AS | 2,062,297 | ||||||||
|
| |||||||||
France — 3.0% | ||||||||||
115,466 | Electricite de France SA | 1,482,309 | ||||||||
5,629 | Technip SA | 333,321 | ||||||||
79,834 | TOTAL SA | 3,814,180 | ||||||||
|
| |||||||||
Total France | 5,629,810 | |||||||||
|
| |||||||||
Germany — 1.0% | ||||||||||
7,201 | Aurubis AG | 379,158 | ||||||||
71,204 | K+S AG (Registered) | 1,488,191 | ||||||||
|
| |||||||||
Total Germany | 1,867,349 | |||||||||
|
| |||||||||
Greece — 0.1% | ||||||||||
37,959 | Mytilineos Holdings SA * | 165,428 | ||||||||
|
|
Shares | Description | Value ($) | ||||||||
Hungary — 0.7% | ||||||||||
19,670 | MOL Hungarian Oil & Gas Plc | 1,227,780 | ||||||||
|
| |||||||||
India — 0.7% | ||||||||||
194,692 | Cairn India Ltd | 578,946 | ||||||||
194,065 | Oil & Natural Gas Corp Ltd | 686,212 | ||||||||
|
| |||||||||
Total India | 1,265,158 | |||||||||
|
| |||||||||
Indonesia — 0.0% | ||||||||||
29,250,000 | Energi Mega Persada Tbk PT * | 52,921 | ||||||||
|
| |||||||||
Israel — 1.5% | ||||||||||
538,096 | Israel Chemicals Ltd | 2,276,249 | ||||||||
2,644 | Israel Corp Ltd (The) | 486,406 | ||||||||
|
| |||||||||
Total Israel | 2,762,655 | |||||||||
|
| |||||||||
Italy — 1.3% | ||||||||||
269,775 | CNH Industrial NV | 1,972,758 | ||||||||
1,026,327 | Saipem SPA * | 470,859 | ||||||||
|
| |||||||||
Total Italy | 2,443,617 | |||||||||
|
| |||||||||
Japan — 2.7% | ||||||||||
24,200 | Asahi Holdings Inc | 415,729 | ||||||||
57,700 | Inpex Corp | 500,124 | ||||||||
20,400 | Japan Petroleum Exploration Co Ltd | 448,774 | ||||||||
709,000 | Mitsubishi Materials Corp | 2,002,850 | ||||||||
334,000 | Mitsui Mining & Smelting Co Ltd | 682,382 | ||||||||
9,000 | Nittetsu Mining Co Ltd | 31,954 | ||||||||
67,000 | Sumitomo Metal Mining Co Ltd | 851,584 | ||||||||
|
| |||||||||
Total Japan | 4,933,397 | |||||||||
|
| |||||||||
Kazakhstan — 0.0% | ||||||||||
8,529 | KazMunaiGas Exploration Production JSC GDR (Registered Shares) * | 60,553 | ||||||||
|
| |||||||||
Netherlands — 0.8% | ||||||||||
30,492 | Fugro NV CVA * | 483,033 | ||||||||
70,927 | SBM Offshore NV | 1,041,748 | ||||||||
|
| |||||||||
Total Netherlands | 1,524,781 | |||||||||
|
| |||||||||
Norway — 7.0% | ||||||||||
188,523 | Austevoll Seafood ASA | 1,474,603 | ||||||||
10,365 | Bakkafrost P/F | 371,871 | ||||||||
72,141 | Fred Olsen Energy ASA * | 122,722 | ||||||||
150,384 | Grieg Seafood ASA | 947,814 | ||||||||
9,308 | Leroy Seafood Group ASA | 417,231 | ||||||||
47,346 | Ocean Yield ASA | 380,035 | ||||||||
159,209 | Petroleum Geo-Services ASA * | 336,236 | ||||||||
158,116 | Prosafe SE * | 10,554 | ||||||||
27,066 | Salmar ASA | 749,036 | ||||||||
164,098 | Statoil ASA | 2,574,340 |
See accompanying notes to the financial statements. | 27 |
GMO Resources Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Norway — continued | ||||||||||
121,681 | Subsea 7 SA * | 1,315,790 | ||||||||
57,850 | TGS Nopec Geophysical Co ASA | 1,006,635 | ||||||||
94,317 | Yara International ASA | 3,340,048 | ||||||||
|
| |||||||||
Total Norway | 13,046,915 | |||||||||
|
| |||||||||
Poland — 1.6% | ||||||||||
152,361 | KGHM Polska Miedz SA | 2,856,022 | ||||||||
|
| |||||||||
Russia — 12.3% | ||||||||||
21,612 | Bashneft PJSC | 1,045,169 | ||||||||
1,179,370 | Gazprom Neft PAO | 3,105,778 | ||||||||
425,430 | Gazprom PJSC Sponsored ADR | 1,720,150 | ||||||||
103,782 | Lukoil PJSC Sponsored ADR | 4,651,077 | ||||||||
28,588 | Novatek OAO Sponsored GDR (Registered) | 3,077,718 | ||||||||
60,035 | PhosAgro PJSC GDR (Registered) | 804,166 | ||||||||
327,998 | Ros Agro Plc GDR (Registered) | 4,525,656 | ||||||||
386,482 | Rosneft PJSC GDR (Registered) | 2,017,926 | ||||||||
9 | Surgutneftegas OJSC | 4 | ||||||||
58,495 | Tatneft PAO Sponsored ADR | 1,725,013 | ||||||||
61,027 | TMK PJSC GDR (Registered) | 201,760 | ||||||||
|
| |||||||||
Total Russia | 22,874,417 | |||||||||
|
| |||||||||
Singapore — 1.9% | ||||||||||
1,045,400 | Ezion Holdings Ltd * | 168,066 | ||||||||
2,850,400 | Ezra Holdings Ltd * | 81,147 | ||||||||
464,700 | First Resources Ltd | 613,512 | ||||||||
9,430,800 | Golden Agri-Resources Ltd | 2,487,434 | ||||||||
595,700 | Indofood Agri Resources Ltd | 196,506 | ||||||||
|
| |||||||||
Total Singapore | 3,546,665 | |||||||||
|
| |||||||||
South Africa — 1.2% | ||||||||||
74,940 | Sasol Ltd | 1,891,814 | ||||||||
42,896 | Tongaat Hulett Ltd | 360,635 | ||||||||
|
| |||||||||
Total South Africa | 2,252,449 | |||||||||
|
| |||||||||
South Korea — 0.3% | ||||||||||
17,387 | Poongsan Corp | 487,827 | ||||||||
466 | Poongsan Holdings Corp | 18,891 | ||||||||
|
| |||||||||
Total South Korea | 506,718 | |||||||||
|
| |||||||||
Spain — 1.7% | ||||||||||
111,102 | Endesa SA | 2,264,129 | ||||||||
127,772 | Iberdrola SA | 841,625 | ||||||||
|
| |||||||||
Total Spain | 3,105,754 | |||||||||
|
| |||||||||
Sweden — 0.3% | ||||||||||
12,317 | Boliden AB | 260,615 | ||||||||
45,806 | Tethys Oil AB | 287,593 | ||||||||
|
| |||||||||
Total Sweden | 548,208 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Thailand — 1.6% | ||||||||||
475,764 | PTT Exploration & Production Pcl (Foreign Registered) | 1,112,011 | ||||||||
189,394 | PTT Pcl (Foreign Registered) | 1,903,183 | ||||||||
|
| |||||||||
Total Thailand | 3,015,194 | |||||||||
|
| |||||||||
Turkey — 0.4% | ||||||||||
320,871 | Gubre Fabrikalari TAS | 559,737 | ||||||||
595,184 | Koza Anadolu Metal Madencilik Isletmeleri AS * | 227,248 | ||||||||
|
| |||||||||
Total Turkey | 786,985 | |||||||||
|
| |||||||||
Ukraine — 1.1% | ||||||||||
138,054 | Kernel Holding SA | 2,097,587 | ||||||||
|
| |||||||||
United Arab Emirates — 0.1% | ||||||||||
1,360,017 | Dana Gas PJSC * | 210,756 | ||||||||
|
| |||||||||
United Kingdom — 24.1% | ||||||||||
92,775 | Amec Foster Wheeler Plc | 658,976 | ||||||||
639,119 | Anglo American Plc * | 6,551,129 | ||||||||
493,289 | BHP Billiton Plc | 6,416,253 | ||||||||
516,658 | BP Plc | 2,904,436 | ||||||||
734,432 | EnQuest Plc * | 257,704 | ||||||||
2,855,439 | Glencore Plc | 6,533,967 | ||||||||
38,997 | Hunting Plc | 237,923 | ||||||||
21,070 | John Wood Group Plc | 192,646 | ||||||||
82,021 | Petrofac Ltd | 895,400 | ||||||||
338,006 | Premier Oil Plc * | 322,682 | ||||||||
328,545 | Rio Tinto Plc | 9,890,093 | ||||||||
216,893 | Royal Dutch Shell Plc A Shares (London) | 5,300,806 | ||||||||
184,474 | Royal Dutch Shell Plc B Shares (London) | 4,696,146 | ||||||||
|
| |||||||||
Total United Kingdom | 44,858,161 | |||||||||
|
| |||||||||
United States — 12.7% | ||||||||||
9,632 | Apache Corp. | 478,710 | ||||||||
40,100 | Atwood Oceanics, Inc. | 316,790 | ||||||||
144,347 | Chesapeake Energy Corp. * | 916,604 | ||||||||
24,467 | Chevron Corp. | 2,460,891 | ||||||||
5,909 | ConocoPhillips | 242,564 | ||||||||
256,908 | Denbury Resources, Inc. * | 791,277 | ||||||||
14,800 | Devon Energy Corp. | 641,284 | ||||||||
34,000 | Diamond Offshore Drilling, Inc. | 627,980 | ||||||||
112,200 | Ensco Plc – Class A | 851,598 | ||||||||
395,044 | Freeport-McMoRan, Inc. | 4,065,003 | ||||||||
45,600 | Joy Global, Inc. | 1,243,968 | ||||||||
69,704 | Mosaic Co. (The) | 2,095,999 | ||||||||
18,300 | Murphy Oil Corp. | 488,976 | ||||||||
49,600 | Nabors Industries Ltd. | 493,024 | ||||||||
31,700 | National Oilwell Varco, Inc. | 1,063,218 | ||||||||
15,000 | Newfield Exploration Co. * | 650,400 |
28 | See accompanying notes to the financial statements. |
GMO Resources Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares / Par Value† | Description | Value ($) | ||||||||
United States — continued | ||||||||||
113,000 | Noble Corp Plc | 650,880 | ||||||||
45,500 | Northern Oil and Gas, Inc. * | 147,420 | ||||||||
26,200 | Oasis Petroleum, Inc. * | 248,376 | ||||||||
38,300 | Rowan Cos., Plc – Class A | 477,218 | ||||||||
26,258 | SM Energy Co. | 994,653 | ||||||||
169,400 | SolarEdge Technologies, Inc. * | 2,883,188 | ||||||||
15,300 | Southwestern Energy Co. * | 212,823 | ||||||||
29,700 | Tidewater, Inc. | 97,119 | ||||||||
24,300 | Unit Corp. * | 415,287 | ||||||||
|
| |||||||||
Total United States | 23,555,250 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $159,046,771) | 164,634,480 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 9.3% | ||||||||||
Brazil — 1.9% | ||||||||||
1,132,600 | Bradespar SA | 3,605,577 | ||||||||
|
| |||||||||
Chile — 5.4% | ||||||||||
81,127 | Sociedad Quimica y Minera de Chile SA – Class B | 2,062,374 | ||||||||
311,878 | Sociedad Quimica y Minera de Chile SA Sponsored ADR | 7,952,889 | ||||||||
|
| |||||||||
Total Chile | 10,015,263 | |||||||||
|
| |||||||||
Russia — 2.0% | ||||||||||
23,591 | Bashneft PJSC – Class S | 707,721 | ||||||||
4,873,884 | Surgutneftegas OJSC | 2,442,303 | ||||||||
218,631 | Tatneft PJSC | 585,537 | ||||||||
|
| |||||||||
Total Russia | 3,735,561 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $13,670,393) | 17,356,401 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 1.3% | ||||||||||
United States — 1.3% | ||||||||||
Affiliated Issuers | ||||||||||
99,963 | GMO U.S. Treasury Fund | 2,500,080 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $2,500,000) | 2,500,080 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.6% | ||||||||||
Time Deposits — 0.6% | ||||||||||
940,602 | BNP Paribas (Paris) Time Deposit, 0.15%, due 09/01/16 | 940,602 | ||||||||
EUR | 2,708 | Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.54)%, due 09/01/16 | 3,021 | |||||||
NOK | 53,226 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.08%, due 09/01/16 | 6,388 |
Par Value† | Description | Value ($) | ||||||||
Time Deposits — continued | ||||||||||
165,556 | Citibank (New York) Time Deposit, 0.15%, due 09/01/16 | 165,556 | ||||||||
|
| |||||||||
Total Time Deposits | 1,115,567 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $1,115,567) | 1,115,567 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.8% (Cost $176,332,731) | 185,606,528 | |||||||||
Other Assets and Liabilities (net) — 0.2% | 299,551 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $185,906,079 | |||||||||
|
|
Notes to Schedule of Investments:
* | Non-income producing security. |
† | Denominated in U.S. Dollar, unless otherwise indicated. |
For a listing of definitions of acronyms and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 44.
See accompanying notes to the financial statements. | 29 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Short-Term Investments | 93.4 | % | ||
Written Options | (0.9 | ) | ||
Other | 7.5 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. |
30
GMO Risk Premium Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 93.4% | ||||||||||
U.S. Government — 93.2% | ||||||||||
46,900,000 | U.S. Treasury Bill, 0.20%, due 09/15/16 (a) (b) | 46,896,060 | ||||||||
38,000,000 | U.S. Treasury Bill, 0.20%, due 09/22/16 (a) (b) | 37,995,478 | ||||||||
22,000,000 | U.S. Treasury Bill, 0.22%, due 10/20/16 (a) (b) | 21,993,510 | ||||||||
33,000,000 | U.S. Treasury Bill, 0.36%, due 01/05/17 (a) (b) | 32,959,311 | ||||||||
2,600,000 | U.S. Treasury Bill, 0.45%, due 02/16/17 (b) | 2,594,639 | ||||||||
25,000,000 | U.S. Treasury Bill, 0.46%, due 03/02/17 (a) (b) | 24,942,025 | ||||||||
24,900,000 | U.S. Treasury Bill, 0.56%, due 07/20/17 (a) (b) | 24,777,467 | ||||||||
|
| |||||||||
Total U.S. Government | 192,158,490 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Money Market Funds — 0.2% | ||||||||||
411,293 | State Street Institutional Treasury Money Market Fund-Premier Class, 0.19% (c) | 411,293 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $192,542,667) | 192,569,783 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 93.4% (Cost $192,542,667) | 192,569,783 | |||||||||
Other Assets and Liabilities (net) — 6.6% | 13,577,692 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $206,147,475 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2016 is as follows:
Written Options
Index Options
Number of | Expiration Date | Description | Premiums | Value | ||||||||||||
Put | 3,073 | 09/16/2016 | Euro STOXX 50, Strike 2,975 | $ | 2,287,950 | $ | (762,614 | ) | ||||||||
Put | 470 | 09/16/2016 | S&P 500 Index, Strike 2,185 | 1,219,640 | (1,184,400 | ) | ||||||||||
|
|
|
| |||||||||||||
$ | 3,507,590 | $ | (1,947,014 | ) | ||||||||||||
|
|
|
|
As of August 31, 2016, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
(a) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
(b) | The rate shown represents yield-to-maturity. |
(c) | The rate disclosed is the 7 day net yield as of August 31, 2016. |
For a listing of definitions of acronyms and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 44.
See accompanying notes to the financial statements. | 31 |
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 96.5 | % | ||
Mutual Funds | 1.4 | |||
Preferred Stocks | 1.4 | |||
Short-Term Investments | 0.3 | |||
Other | 0.4 | |||
|
| |||
100.0 | % | |||
|
| |||
Country Summary¤ | % of Investments | |||
Japan | 20.4 | % | ||
United Kingdom | 17.3 | |||
Germany | 11.7 | |||
France | 8.4 | |||
Australia | 5.3 | |||
Netherlands | 4.0 | |||
Other Developed | 3.8 | ‡ | ||
Switzerland | 3.6 | |||
Other Emerging | 3.5 | † | ||
Italy | 3.0 | |||
Hong Kong | 2.9 | |||
China | 2.5 | |||
South Korea | 2.0 | |||
Canada | 1.9 | |||
Taiwan | 1.7 | |||
Spain | 1.5 | |||
United States | 1.5 | |||
Finland | 1.4 | |||
Israel | 1.3 | |||
Norway | 1.3 | |||
Singapore | 1.0 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. |
¤ | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
Industry Group Summary | % of Equity Investments# | |||
Capital Goods | 9.1 | % | ||
Insurance | 9.0 | |||
Banks | 7.8 | |||
Automobiles & Components | 7.2 | |||
Telecommunication Services | 6.6 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 6.5 | |||
Real Estate | 6.4 | |||
Materials | 6.2 | |||
Energy | 5.6 | |||
Food, Beverage & Tobacco | 5.6 | |||
Household & Personal Products | 3.6 | |||
Transportation | 3.1 | |||
Technology Hardware & Equipment | 3.1 | |||
Utilities | 3.0 | |||
Diversified Financials | 2.6 | |||
Food & Staples Retailing | 2.5 | |||
Media | 2.0 | |||
Software & Services | 1.9 | |||
Retailing | 1.9 | |||
Consumer Durables & Apparel | 1.9 | |||
Health Care Equipment & Services | 1.2 | |||
Commercial & Professional Services | 1.2 | |||
Consumer Services | 1.1 | |||
Semiconductors & Semiconductor Equipment | 0.9 | |||
|
| |||
100.0 | % | |||
|
|
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
32
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 96.5% | ||||||||||
Australia — 5.3% | ||||||||||
20,206 | Adelaide Brighton Ltd | 79,607 | ||||||||
2,843 | ASX Ltd | 109,147 | ||||||||
107,381 | BlueScope Steel Ltd | 700,168 | ||||||||
5,751 | BT Investment Management Ltd | 38,182 | ||||||||
14,851 | BWP Trust (REIT) | 36,225 | ||||||||
6,414 | Caltex Australia Ltd | 163,212 | ||||||||
12,692 | Challenger Ltd | 87,512 | ||||||||
6,452 | CIMIC Group Ltd | 143,277 | ||||||||
3,146 | CSL Ltd | 255,287 | ||||||||
34,056 | CSR Ltd | 88,163 | ||||||||
50,717 | Dexus Property Group (REIT) | 369,957 | ||||||||
21,637 | Genworth Mortgage Insurance Australia Ltd | 47,424 | ||||||||
97,177 | GPT Group (The) (REIT) | 388,698 | ||||||||
56,225 | Incitec Pivot Ltd | 120,187 | ||||||||
30,400 | Investa Office Fund (REIT) | 104,062 | ||||||||
19,962 | LendLease Group | 206,854 | ||||||||
6,493 | Macquarie Group Ltd | 393,057 | ||||||||
234,334 | Mirvac Group (REIT) | 407,849 | ||||||||
53,267 | Orora Ltd | 123,949 | ||||||||
29,645 | OZ Minerals Ltd | 142,224 | ||||||||
31,324 | Primary Health Care Ltd | 96,128 | ||||||||
220,741 | Scentre Group (REIT) | 823,515 | ||||||||
20,186 | Sonic Healthcare Ltd | 348,459 | ||||||||
121,318 | South32 Ltd * | 174,811 | ||||||||
64,473 | Spotless Group Holdings Ltd | 51,033 | ||||||||
21,251 | Star Entertainment Grp Ltd (The) | 94,094 | ||||||||
72,592 | Stockland (REIT) | 264,273 | ||||||||
180,636 | Telstra Corp Ltd | 713,317 | ||||||||
60,546 | Vicinity Centres (REIT) | 150,453 | ||||||||
14,662 | Wesfarmers Ltd | 467,091 | ||||||||
38,314 | Westfield Corp (REIT) | 293,866 | ||||||||
23,321 | Woodside Petroleum Ltd | 499,623 | ||||||||
14,510 | WorleyParsons Ltd * | 88,385 | ||||||||
|
| |||||||||
Total Australia | 8,070,089 | |||||||||
|
| |||||||||
Austria — 0.6% | ||||||||||
88,088 | Immofinanz AG (Entitlement Shares) * (a) | — | ||||||||
7,133 | OMV AG | 199,868 | ||||||||
6,670 | Raiffeisen Bank International AG * | 94,914 | ||||||||
17,701 | voestalpine AG | 586,653 | ||||||||
|
| |||||||||
Total Austria | 881,435 | |||||||||
|
| |||||||||
Belgium — 0.4% | ||||||||||
6,832 | Ageas | 236,906 | ||||||||
2,283 | Groupe Bruxelles Lambert SA | 200,504 | ||||||||
3,798 | Proximus SADP | 116,323 | ||||||||
|
| |||||||||
Total Belgium | 553,733 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Brazil — 0.3% | ||||||||||
37,800 | Ambev SA | 224,632 | ||||||||
4,900 | BB Seguridade Participacoes SA | 44,232 | ||||||||
7,100 | BM&FBovespa SA – Bolsa de Valores Mercadorias e Futuros | 39,378 | ||||||||
15,800 | JBS SA | 61,161 | ||||||||
13,800 | Kroton Educacional SA | 58,974 | ||||||||
10,400 | MRV Engenharia e Participacoes SA | 39,614 | ||||||||
6,200 | Transmissora Alianca de Energia Eletrica SA | 44,544 | ||||||||
|
| |||||||||
Total Brazil | 512,535 | |||||||||
|
| |||||||||
Canada — 1.9% | ||||||||||
7,600 | Alimentation Couche-Tard Inc – Class B | 391,938 | ||||||||
1,300 | Canadian Tire Corp Ltd – Class A | 133,162 | ||||||||
900 | CCL Industries Inc – Class B | 171,744 | ||||||||
7,400 | CGI Group Inc – Class A * | 360,182 | ||||||||
12,900 | CI Financial Corp | 252,511 | ||||||||
6,600 | Great-West Lifeco Inc | 157,627 | ||||||||
1,600 | Industrial Alliance Insurance & Financial Services Inc | 57,026 | ||||||||
12,020 | Metro Inc | 408,244 | ||||||||
8,900 | Power Corp of Canada | 188,126 | ||||||||
2,900 | Russel Metals Inc | 48,186 | ||||||||
16,100 | Sun Life Financial Inc | 508,020 | ||||||||
2,200 | Toromont Industries Ltd | 66,567 | ||||||||
3,600 | Transcontinental Inc – Class A | 52,707 | ||||||||
2,500 | Westshore Terminals Investment Corp | 42,245 | ||||||||
|
| |||||||||
Total Canada | 2,838,285 | |||||||||
|
| |||||||||
China — 2.5% | ||||||||||
7,500 | AAC Technologies Holdings Inc | 85,420 | ||||||||
24,500 | Anhui Conch Cement Co Ltd – Class H | 68,620 | ||||||||
16,000 | ANTA Sports Products Ltd | 43,208 | ||||||||
54,000 | Beijing Capital International Airport Co Ltd – Class H | 60,792 | �� | |||||||
127,000 | Belle International Holdings Ltd | 82,320 | ||||||||
38,000 | China Communications Construction Co Ltd – Class H | 41,292 | ||||||||
106,000 | China Communications Services Corp Ltd – Class H | 62,223 | ||||||||
32,500 | China Galaxy Securities Co Ltd – Class H | 30,371 | ||||||||
25,000 | China Mengniu Dairy Co Ltd | 47,267 | ||||||||
56,500 | China Mobile Ltd | 696,025 | ||||||||
106,000 | China National Building Material Co Ltd – Class H | 47,697 | ||||||||
28,000 | China Overseas Land & Investment Ltd | 92,220 | ||||||||
13,600 | China Pacific Insurance Group Co Ltd – Class H | 47,647 | ||||||||
200,000 | China Petroleum & Chemical Corp – Class H | 142,949 | ||||||||
90,000 | China Resources Cement Holdings Ltd | 35,200 | ||||||||
34,000 | China Resources Land Ltd | 95,410 | ||||||||
42,000 | China Resources Power Holdings Co Ltd | 72,342 |
See accompanying notes to the financial statements. | 33 |
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
25,000 | China Shenhua Energy Co Ltd – Class H | 44,769 | ||||||||
62,000 | China Southern Airlines Co Ltd – Class H | 36,710 | ||||||||
238,000 | China Telecom Corp Ltd – Class H | 122,634 | ||||||||
118,000 | China Travel International Investment Hong Kong Ltd | 34,605 | ||||||||
50,000 | China Unicom Hong Kong Ltd | 56,534 | ||||||||
121,000 | CNOOC Ltd | 145,977 | ||||||||
122,000 | Datang International Power Generation Co Ltd – Class H | 31,870 | ||||||||
52,000 | Dongfeng Motor Group Co Ltd – Class H | 55,425 | ||||||||
75,000 | Geely Automobile Holdings Ltd | 59,995 | ||||||||
35,500 | Great Wall Motor Co Ltd – Class H | 34,369 | ||||||||
60,000 | Guangdong Investment Ltd | 92,649 | ||||||||
29,200 | Guangzhou R&F Properties Co Ltd – Class H | 49,211 | ||||||||
21,000 | Haitian International Holdings Ltd | 42,218 | ||||||||
85,000 | Huabao International Holdings Ltd * | 32,704 | ||||||||
58,000 | Huadian Power International Corp Ltd – Class H | 25,894 | ||||||||
58,000 | Huaneng Power International Inc – Class H | 35,340 | ||||||||
42,000 | Jiangsu Expressway Co Ltd – Class H | 58,940 | ||||||||
29,500 | Kingboard Chemical Holdings Ltd | 76,706 | ||||||||
41,000 | Kingboard Laminates Holdings Ltd | 35,413 | ||||||||
40,000 | Kunlun Energy Co Ltd | 29,334 | ||||||||
67,000 | Lee & Man Paper Manufacturing Ltd | 53,966 | ||||||||
10,000 | Minth Group Ltd | 37,782 | ||||||||
111,000 | People’s Insurance Co Group of China Ltd (The) – Class H | 44,459 | ||||||||
58,000 | PICC Property & Casualty Co Ltd – Class H | 95,457 | ||||||||
29,500 | Ping An Insurance Group Co of China Ltd – Class H | 152,054 | ||||||||
16,000 | Shanghai Industrial Holdings Ltd | 41,580 | ||||||||
20,900 | Shanghai Pharmaceuticals Holding Co Ltd – Class H | 57,279 | ||||||||
58,000 | Shenzhen Expressway Co Ltd – Class H | 61,231 | ||||||||
35,000 | Shenzhen International Holdings Ltd | 56,090 | ||||||||
29,000 | Shimao Property Holdings Ltd | 40,249 | ||||||||
48,000 | Sino Biopharmaceutical Ltd | 30,744 | ||||||||
63,500 | Sinopec Engineering Group Co Ltd – Class H | 52,544 | ||||||||
11,600 | Sinopharm Group Co Ltd – Class H | 59,283 | ||||||||
104,000 | Skyworth Digital Holdings Ltd | 76,851 | ||||||||
34,000 | TravelSky Technology Ltd – Class H | 73,698 | ||||||||
56,000 | Zhejiang Expressway Co Ltd – Class H | 62,372 | ||||||||
|
| |||||||||
Total China | 3,847,939 | |||||||||
|
| |||||||||
Czech Republic — 0.1% | ||||||||||
1,996 | CEZ AS | 34,840 | ||||||||
1,235 | Komercni Banka as | 41,767 | ||||||||
|
| |||||||||
Total Czech Republic | 76,607 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Denmark — 0.9% | ||||||||||
417 | AP Moeller – Maersk A/S – Class B | 623,816 | ||||||||
17,062 | Novo Nordisk A/S – Class B | 798,515 | ||||||||
|
| |||||||||
Total Denmark | 1,422,331 | |||||||||
|
| |||||||||
Finland — 1.4% | ||||||||||
2,834 | Amer Sports Oyj | 85,369 | ||||||||
11,148 | Fortum Oyj | 171,968 | ||||||||
6,666 | Neste Oyj | 277,654 | ||||||||
75,944 | Nokia Oyj | 428,356 | ||||||||
7,065 | Nokian Renkaat Oyj | 255,068 | ||||||||
6,723 | Sampo Oyj – A Shares | 289,170 | ||||||||
32,440 | UPM-Kymmene Oyj | 652,043 | ||||||||
|
| |||||||||
Total Finland | 2,159,628 | |||||||||
|
| |||||||||
France — 8.3% | ||||||||||
65,210 | Air France-KLM * | 358,933 | ||||||||
3,891 | Atos SE | 383,636 | ||||||||
125,509 | AXA SA | 2,641,621 | ||||||||
5,928 | BNP Paribas SA | 302,746 | ||||||||
16,919 | Bouygues SA | 537,816 | ||||||||
5,248 | Capgemini SA | 512,780 | ||||||||
1,878 | Christian Dior SE | 325,440 | ||||||||
4,564 | Cie Generale des Etablissements Michelin | 486,506 | ||||||||
15,143 | Engie SA | 242,009 | ||||||||
16,002 | GDF Suez Strip – VVPR * (a) | — | ||||||||
988 | Gecina SA (REIT) | 154,853 | ||||||||
1,013 | IPSOS | 33,307 | ||||||||
1,307 | Nexity SA * | 68,588 | ||||||||
27,195 | Peugeot SA * | 402,562 | ||||||||
1,978 | Plastic Omnium SA | 63,247 | ||||||||
7,881 | Renault SA | 647,212 | ||||||||
3,919 | Schneider Electric SE | 267,360 | ||||||||
477 | SEB SA | 63,519 | ||||||||
20,665 | Societe Generale SA | 754,474 | ||||||||
88,239 | TOTAL SA | 4,215,740 | ||||||||
8,850 | Veolia Environnement SA | 188,591 | ||||||||
|
| |||||||||
Total France | 12,650,940 | |||||||||
|
| |||||||||
Germany — 11.0% | ||||||||||
25,194 | Allianz SE (Registered) | 3,745,264 | ||||||||
1,759 | Axel Springer SE | 89,530 | ||||||||
13,693 | Bayerische Motoren Werke AG | 1,189,824 | ||||||||
2,936 | Continental AG | 614,283 | ||||||||
36,031 | Daimler AG (Registered) | 2,494,099 | ||||||||
35,471 | Deutsche Lufthansa AG (Registered) | 412,622 | ||||||||
65,795 | Deutsche Telekom AG (Registered) | 1,097,548 | ||||||||
7,260 | Duerr AG | 613,046 | ||||||||
689 | Fielmann AG | 53,862 | ||||||||
9,412 | Freenet AG | 270,024 |
34 | See accompanying notes to the financial statements. |
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Germany — continued | ||||||||||
3,807 | Fresenius SE & Co KGaA | 277,526 | ||||||||
919 | Grammer AG | 53,227 | ||||||||
3,167 | Hannover Rueck SE | 323,759 | ||||||||
6,192 | HeidelbergCement AG | 574,612 | ||||||||
14,248 | Infineon Technologies AG | 239,087 | ||||||||
10,399 | K+S AG (Registered) | 217,343 | ||||||||
5,987 | Leoni AG | 221,511 | ||||||||
7,389 | METRO AG | 219,005 | ||||||||
5,339 | Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 964,122 | ||||||||
9,465 | ProSiebenSat.1 Media SE | 408,380 | ||||||||
1,776 | RTL Group SA | 149,510 | ||||||||
19,809 | Siemens AG (Registered) | 2,363,149 | ||||||||
1,476 | Volkswagen AG | 213,673 | ||||||||
|
| |||||||||
Total Germany | 16,805,006 | |||||||||
|
| |||||||||
Hong Kong — 2.9% | ||||||||||
128,500 | BOC Hong Kong Holdings Ltd | 448,642 | ||||||||
58,500 | CK Hutchison Holdings Ltd | 750,581 | ||||||||
21,600 | Dah Sing Banking Group Ltd | 39,637 | ||||||||
46,000 | First Pacific Co Ltd | 34,429 | ||||||||
25,600 | Henderson Land Development Co Ltd | 149,364 | ||||||||
90,600 | Hongkong Land Holdings Ltd | 587,205 | ||||||||
16,000 | Hysan Development Co Ltd | 77,147 | ||||||||
29,000 | Kerry Properties Ltd | 84,223 | ||||||||
134,500 | Link (REIT) | 976,998 | ||||||||
80,000 | Sino Land Co Ltd | 136,727 | ||||||||
14,000 | Sun Hung Kai Properties Ltd | 196,676 | ||||||||
31,500 | Swire Pacific Ltd – Class A | 347,508 | ||||||||
58,000 | Wharf Holdings Ltd (The) | 408,757 | ||||||||
21,000 | Wheelock & Co Ltd | 119,912 | ||||||||
|
| |||||||||
Total Hong Kong | 4,357,806 | |||||||||
|
| |||||||||
Hungary — 0.1% | ||||||||||
684 | MOL Hungarian Oil & Gas Plc | 42,695 | ||||||||
2,172 | OTP Bank Plc | 56,703 | ||||||||
1,622 | Richter Gedeon Nyrt | 33,274 | ||||||||
|
| |||||||||
Total Hungary | 132,672 | |||||||||
|
| |||||||||
India — 0.3% | ||||||||||
12,073 | Cairn India Ltd | 35,901 | ||||||||
7,577 | Indiabulls Housing Finance Ltd | 92,511 | ||||||||
7,100 | Infosys Ltd Sponsored ADR | 112,606 | ||||||||
3,981 | Reliance Industries Ltd | 62,221 | ||||||||
1,026 | Tata Consultancy Services Ltd | 38,522 | ||||||||
10,807 | Tata Motors Ltd | 87,096 | ||||||||
5,018 | UPL Ltd | 47,758 | ||||||||
|
| |||||||||
Total India | 476,615 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Ireland — 0.3% | ||||||||||
16,028 | Smurfit Kappa Group Plc | 395,610 | ||||||||
|
| |||||||||
Israel — 1.3% | ||||||||||
39,597 | Bank Hapoalim BM | 212,602 | ||||||||
52,521 | Bank Leumi Le-Israel BM * | 196,812 | ||||||||
74,084 | Bezeq The Israeli Telecommunication Corp Ltd | 148,904 | ||||||||
5,900 | Check Point Software Technologies Ltd * | 452,766 | ||||||||
959 | Frutarom Industries Ltd | 50,616 | ||||||||
18,661 | Teva Pharmaceutical Industries Ltd | 945,255 | ||||||||
|
| |||||||||
Total Israel | 2,006,955 | |||||||||
|
| |||||||||
Italy — 3.0% | ||||||||||
319,772 | A2A SPA | 424,391 | ||||||||
16,042 | Azimut Holding SPA | 246,360 | ||||||||
52,269 | Banca Mediolanum SPA | 363,132 | ||||||||
1,351 | Brembo SPA | 78,926 | ||||||||
2,247 | Danieli & C Officine Meccaniche SPA – RSP | 32,496 | ||||||||
108,082 | Enel SPA | 477,608 | ||||||||
25,550 | Eni SPA | 385,706 | ||||||||
16,001 | EXOR SPA | 657,939 | ||||||||
7,042 | Ferrari NV | 339,670 | ||||||||
59,190 | Leonardo-Finmeccanica SPA * | 675,921 | ||||||||
129,639 | Mediaset SPA | 410,521 | ||||||||
436,151 | Telecom Italia SPA-Di RISP * | 319,830 | ||||||||
49,122 | Unipol Gruppo Finanziario SPA | 136,766 | ||||||||
|
| |||||||||
Total Italy | 4,549,266 | |||||||||
|
| |||||||||
Japan — 20.3% | ||||||||||
21,100 | Acom Co Ltd * | 101,066 | ||||||||
46,900 | Aiful Corp * | 150,643 | ||||||||
7,800 | Asahi Group Holdings Ltd | 255,206 | ||||||||
4,300 | Asatsu-DK Inc | 105,535 | ||||||||
8,900 | Bridgestone Corp | 306,097 | ||||||||
22,500 | Canon Inc | 645,203 | ||||||||
6,500 | Central Japan Railway Co | 1,068,869 | ||||||||
22,500 | Concordia Financial Group Ltd * | 116,327 | ||||||||
13,100 | Daicel Corp | 167,400 | ||||||||
21,000 | Daiichi Sankyo Co Ltd | 482,464 | ||||||||
5,900 | Daito Trust Construction Co Ltd | 869,099 | ||||||||
15,400 | Daiwa House Industry Co Ltd | 397,848 | ||||||||
6,400 | East Japan Railway Co | 549,606 | ||||||||
22,100 | Fuji Heavy Industries Ltd | 879,629 | ||||||||
22,700 | FUJIFILM Holdings Corp | 854,209 | ||||||||
38,000 | Hanwa Co Ltd | 212,244 | ||||||||
40,300 | Haseko Corp | 381,984 | ||||||||
7,800 | Hoya Corp | 302,529 | ||||||||
4,400 | Idemitsu Kosan Co Ltd | 80,178 | ||||||||
132,300 | ITOCHU Corp | 1,562,318 |
See accompanying notes to the financial statements. | 35 |
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
10,800 | Japan Airlines Co Ltd | 329,639 | ||||||||
24,600 | Japan Tobacco Inc | 953,225 | ||||||||
16,300 | JFE Holdings Inc | 253,467 | ||||||||
19,520 | K’s Holdings Corp | 308,231 | ||||||||
5,200 | Kao Corp | 270,392 | ||||||||
88,100 | KDDI Corp | 2,575,571 | ||||||||
27,800 | Kenedix Inc | 127,804 | ||||||||
17,100 | Konica Minolta Inc | 154,476 | ||||||||
12,700 | Kuraray Co Ltd | 181,736 | ||||||||
1,900 | Lawson Inc | 133,375 | ||||||||
68,100 | Leopalace21 Corp | 452,021 | ||||||||
100,100 | Marubeni Corp | 499,529 | ||||||||
26,100 | Medipal Holdings Corp | 413,371 | ||||||||
75,800 | Mitsubishi Chemical Holdings Corp | 479,659 | ||||||||
31,000 | Mitsubishi Corp | 645,924 | ||||||||
35,000 | Mitsubishi Electric Corp | 458,026 | ||||||||
42,000 | Mitsubishi Materials Corp | 118,646 | ||||||||
180,000 | Mitsubishi UFJ Financial Group Inc | 991,535 | ||||||||
29,700 | Mitsui & Co Ltd | 395,456 | ||||||||
106,000 | Mitsui OSK Lines Ltd | 245,444 | ||||||||
357,100 | Mizuho Financial Group Inc | 622,185 | ||||||||
6,600 | Nagase & Co Ltd | 73,362 | ||||||||
6,100 | Nexon Co Ltd | 83,731 | ||||||||
43,400 | Nippon Telegraph & Telephone Corp | 1,908,258 | ||||||||
5,100 | Nissan Chemical Industries Ltd | 156,795 | ||||||||
77,000 | Nissan Motor Co Ltd | 756,565 | ||||||||
5,300 | Nomura Real Estate Holdings Inc | 86,438 | ||||||||
31,200 | NTT DOCOMO Inc | 786,842 | ||||||||
21,000 | ORIX Corp | 302,629 | ||||||||
13,800 | Otsuka Holdings Co Ltd | 598,418 | ||||||||
75,300 | Resona Holdings Inc | 344,853 | ||||||||
19,700 | Sekisui House Ltd | 317,837 | ||||||||
1,000 | Shimamura Co Ltd | 115,758 | ||||||||
225,500 | Sojitz Corp | 540,861 | ||||||||
42,000 | Sumitomo Chemical Co Ltd | 192,686 | ||||||||
47,700 | Sumitomo Corp | 517,582 | ||||||||
42,400 | Sumitomo Mitsui Financial Group Inc | 1,483,242 | ||||||||
60,000 | Sumitomo Mitsui Trust Holdings Inc | 215,294 | ||||||||
6,820 | Suzuken Co Ltd | 198,023 | ||||||||
3,500 | Takeda Pharmaceutical Co Ltd | 154,321 | ||||||||
44,200 | Tokyo Electric Power Co Holdings Inc * | 178,141 | ||||||||
137,000 | Tosoh Corp | 845,236 | ||||||||
25,700 | Toyota Tsusho Corp | 588,504 | ||||||||
20,360 | USS Co Ltd | 325,763 | ||||||||
|
| |||||||||
Total Japan | 30,869,305 | |||||||||
|
| |||||||||
Malta — 0.0% | ||||||||||
1,718,063 | BGP Holdings Plc * (a) | — | ||||||||
|
|
Shares | Description | Value ($) | ||||||||
Mexico — 0.3% | ||||||||||
132,300 | America Movil SAB de CV – Class L | 79,000 | ||||||||
5,700 | Arca Continental SAB de CV | 35,588 | ||||||||
16,800 | Gentera SAB de CV | 32,829 | ||||||||
3,200 | Gruma SAB de CV – Class B | 42,542 | ||||||||
4,200 | Grupo Aeroportuario del Pacifico SAB de CV – Class B | 41,762 | ||||||||
2,330 | Grupo Aeroportuario del Sureste SAB de CV – Class B | 35,481 | ||||||||
12,900 | Grupo Financiero Banorte SAB de CV – Class O | 69,519 | ||||||||
20,200 | OHL Mexico SAB de CV * | 28,528 | ||||||||
58,700 | Wal-Mart de Mexico SAB de CV | 134,088 | ||||||||
|
| |||||||||
Total Mexico | 499,337 | |||||||||
|
| |||||||||
Netherlands — 4.0% | ||||||||||
5,966 | Heineken NV | 534,323 | ||||||||
54,456 | ING Groep NV | 681,536 | ||||||||
50,664 | Koninklijke Ahold Delhaize NV | 1,216,278 | ||||||||
30,276 | RELX NV | 537,036 | ||||||||
10,191 | TomTom NV * | 93,869 | ||||||||
51,703 | Unilever NV CVA | 2,378,913 | ||||||||
14,998 | Wolters Kluwer NV | 630,921 | ||||||||
|
| |||||||||
Total Netherlands | 6,072,876 | |||||||||
|
| |||||||||
New Zealand — 0.4% | ||||||||||
10,112 | Fisher & Paykel Healthcare Corp Ltd | 70,912 | ||||||||
42,712 | Fletcher Building Ltd | 328,141 | ||||||||
17,565 | SKYCITY Entertainment Group Ltd | 63,834 | ||||||||
81,592 | Spark New Zealand Ltd | 225,141 | ||||||||
|
| |||||||||
Total New Zealand | 688,028 | |||||||||
|
| |||||||||
Norway — 1.3% | ||||||||||
62,932 | Seadrill Ltd * | 153,753 | ||||||||
33,768 | Statoil ASA | 529,746 | ||||||||
18,080 | Subsea 7 SA * | 195,507 | ||||||||
24,791 | Telenor ASA | 432,332 | ||||||||
17,924 | Yara International ASA | 634,743 | ||||||||
|
| |||||||||
Total Norway | 1,946,081 | |||||||||
|
| |||||||||
Peru — 0.0% | ||||||||||
400 | Credicorp Ltd | 62,672 | ||||||||
|
| |||||||||
Poland — 0.1% | ||||||||||
2,202 | KGHM Polska Miedz SA * | 41,277 | ||||||||
10,534 | PGE Polska Grupa Energetyczna SA | 31,123 | ||||||||
3,168 | Polski Koncern Naftowy ORLEN SA | 52,731 | ||||||||
23,236 | Polskie Gornictwo Naftowe i Gazownictwo SA | 31,733 | ||||||||
34,693 | Tauron Polska Energia SA * | 24,674 | ||||||||
|
| |||||||||
Total Poland | 181,538 | |||||||||
|
|
36 | See accompanying notes to the financial statements. |
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Portugal — 0.3% | ||||||||||
119,687 | EDP – Energias de Portugal SA | 402,102 | ||||||||
|
| |||||||||
Russia — 0.4% | ||||||||||
42,749 | Gazprom PJSC Sponsored ADR | 172,848 | ||||||||
5,094 | Lukoil PJSC Sponsored ADR | 228,292 | ||||||||
7,004 | MMC Norilsk Nickel PJSC ADR | 105,436 | ||||||||
3,514 | Tatneft PAO Sponsored ADR | 103,628 | ||||||||
|
| |||||||||
Total Russia | 610,204 | |||||||||
|
| |||||||||
Singapore — 1.0% | ||||||||||
107,000 | Ascendas Real Estate Investment Trust | 192,293 | ||||||||
61,900 | CapitaLand Commercial Trust (REIT) | 70,132 | ||||||||
55,600 | CapitaLand Ltd | 125,017 | ||||||||
66,000 | CapitaLand Mall Trust (REIT) | 104,578 | ||||||||
31,500 | DBS Group Holdings Ltd | 346,083 | ||||||||
77,400 | Global Logistic Properties Ltd | 102,914 | ||||||||
733,100 | Golden Agri-Resources Ltd | 193,360 | ||||||||
29,800 | Oversea-Chinese Banking Corp Ltd | 187,588 | ||||||||
11,100 | Singapore Exchange Ltd | 61,499 | ||||||||
11,300 | United Overseas Bank Ltd | 149,007 | ||||||||
|
| |||||||||
Total Singapore | 1,532,471 | |||||||||
|
| |||||||||
South Africa — 0.9% | ||||||||||
8,698 | AVI Ltd | 52,686 | ||||||||
5,290 | Barclays Africa Group Ltd | 53,633 | ||||||||
4,867 | Barloworld Ltd | 27,553 | ||||||||
5,022 | Bidvest Group Ltd (The) | 51,941 | ||||||||
6,332 | Clicks Group Ltd | 52,094 | ||||||||
24,321 | FirstRand Ltd | 73,066 | ||||||||
5,920 | Hyprop Investments Ltd (REIT) | 51,820 | ||||||||
3,269 | Imperial Holdings Ltd | 35,095 | ||||||||
6,471 | Liberty Holdings Ltd | 49,568 | ||||||||
31,582 | MMI Holdings Ltd | 48,548 | ||||||||
1,534 | Mondi Ltd | 30,996 | ||||||||
13,643 | MTN Group Ltd | 111,569 | ||||||||
4,272 | Nedbank Group Ltd | 60,059 | ||||||||
12,771 | Rand Merchant Investment Holdings Ltd | 36,350 | ||||||||
76,433 | Redefine Properties Ltd | 57,405 | ||||||||
3,145 | Resilient REIT Ltd | 25,257 | ||||||||
12,187 | RMB Holdings Ltd | 48,793 | ||||||||
7,019 | Sanlam Ltd | 29,849 | ||||||||
7,201 | Sasol Ltd | 181,785 | ||||||||
16,950 | Sibanye Gold Ltd | 65,878 | ||||||||
2,434 | SPAR Group Ltd (The) | 31,804 | ||||||||
7,855 | Standard Bank Group Ltd | 71,226 | ||||||||
5,120 | Steinhoff International Holdings NV | 30,739 | ||||||||
9,872 | Super Group Ltd * | 27,212 | ||||||||
|
| |||||||||
Total South Africa | 1,304,926 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
South Korea — 1.6% | ||||||||||
2,596 | BNK Financial Group Inc | 20,558 | ||||||||
494 | Coway Co Ltd | 36,897 | ||||||||
1,206 | Dongbu Insurance Co Ltd | 72,920 | ||||||||
205 | E-MART Inc | 28,921 | ||||||||
406 | GS Holdings Corp | 17,946 | ||||||||
2,805 | Hana Financial Group Inc | 73,467 | ||||||||
1,573 | Hankook Tire Co Ltd | 78,671 | ||||||||
377 | Hyundai Department Store Co Ltd | 42,339 | ||||||||
7,353 | Hanwha Life Insurance Co Ltd | 37,312 | ||||||||
1,679 | Hyundai Marine & Fire Insurance Co Ltd | 50,839 | ||||||||
848 | Hyundai Mobis Co Ltd | 197,617 | ||||||||
1,560 | Hyundai Motor Co | 185,839 | ||||||||
503 | Hyundai Steel Co | 23,079 | ||||||||
5,572 | Industrial Bank of Korea | 58,618 | ||||||||
445 | Kangwon Land Inc | 15,734 | ||||||||
3,894 | KB Financial Group Inc | 135,862 | ||||||||
1,524 | KB Insurance Co Ltd | 36,800 | ||||||||
2,943 | Kia Motors Corp | 110,629 | ||||||||
522 | Korea Investment Holdings Co Ltd | 18,719 | ||||||||
3,227 | Korean Reinsurance Co | 34,578 | ||||||||
918 | KT&G Corp | 96,243 | ||||||||
3,008 | LG Display Co Ltd | 80,685 | ||||||||
273 | Lotte Shopping Co Ltd | 49,582 | ||||||||
2,187 | Meritz Fire & Marine Insurance Co Ltd | 30,520 | ||||||||
1,903 | Mirae Asset Securities Co Ltd | 40,012 | ||||||||
87 | POSCO | 17,909 | ||||||||
1,043 | Samsung Card Co Ltd | 41,298 | ||||||||
281 | Samsung Electronics Co Ltd | 407,582 | ||||||||
143 | Samsung Fire & Marine Insurance Co Ltd | 34,533 | ||||||||
400 | Samsung Life Insurance Co Ltd | 36,905 | ||||||||
3,051 | Shinhan Financial Group Co Ltd | 111,511 | ||||||||
272 | Shinsegae Inc | 49,547 | ||||||||
2,254 | SK Hynix Inc | 73,493 | ||||||||
588 | SK Innovation Co Ltd | 76,319 | ||||||||
8,161 | Woori Bank | 77,543 | ||||||||
|
| |||||||||
Total South Korea | 2,501,027 | |||||||||
|
| |||||||||
Spain — 1.5% | ||||||||||
15,379 | ACS Actividades de Construccion y Servicios SA | 436,129 | ||||||||
8,890 | Amadeus IT Group SA | 408,609 | ||||||||
11,501 | Ferrovial SA | 226,814 | ||||||||
14,829 | Gas Natural SDG SA | 306,331 | ||||||||
9,768 | Grifols SA | 206,959 | ||||||||
110,588 | Iberdrola SA | 728,435 | ||||||||
|
| |||||||||
Total Spain | 2,313,277 | |||||||||
|
| |||||||||
Sweden — 0.9% | ||||||||||
2,888 | Fastighets AB Balder – B Shares * | 80,597 | ||||||||
3,360 | JM AB | 85,272 |
See accompanying notes to the financial statements. | 37 |
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Sweden — continued | ||||||||||
2,808 | Modern Times Group MTG AB – B Shares | 70,504 | ||||||||
18,366 | Svenska Cellulosa AB SCA – Class B | 564,491 | ||||||||
86,141 | Telefonaktiebolaget LM Ericsson – B Shares | 613,520 | ||||||||
|
| |||||||||
Total Sweden | 1,414,384 | |||||||||
|
| |||||||||
Switzerland — 3.6% | ||||||||||
10,585 | ABB Ltd (Registered) * | 229,609 | ||||||||
6,825 | Adecco Group AG (Registered) | 393,187 | ||||||||
1,573 | Baloise Holding AG (Registered) | 187,404 | ||||||||
49 | dorma & kaba Holding AG – Class B (Registered) | 38,487 | ||||||||
133 | EMS-Chemie Holding AG (Registered) | 70,824 | ||||||||
107 | Georg Fischer AG (Registered) | 86,115 | ||||||||
190 | Givaudan SA (Registered) | 393,002 | ||||||||
112 | Helvetia Holding AG (Registered) | 56,024 | ||||||||
1,908 | Kuehne & Nagel International AG (Registered) | 266,577 | ||||||||
6,904 | Logitech International SA (Registered) | 144,746 | ||||||||
631 | Pargesa Holding SA | 43,530 | ||||||||
2,658 | Roche Holding AG | 648,819 | ||||||||
42 | SGS SA (Registered) | 92,379 | ||||||||
55 | Sika AG | 262,230 | ||||||||
884 | Swatch Group AG (The) (Registered) | 44,926 | ||||||||
1,935 | Swiss Life Holding AG (Registered) * | 485,134 | ||||||||
21,481 | Swiss Re AG | 1,815,287 | ||||||||
981 | Zurich Insurance Group AG * | 251,203 | ||||||||
|
| |||||||||
Total Switzerland | 5,509,483 | |||||||||
|
| |||||||||
Taiwan — 1.7% | ||||||||||
49,000 | Advanced Semiconductor Engineering Inc | 59,622 | ||||||||
6,000 | Asustek Computer Inc | 50,677 | ||||||||
23,000 | Cathay Financial Holding Co Ltd | 29,011 | ||||||||
39,360 | Chang Hwa Commercial Bank Ltd | 19,752 | ||||||||
86,000 | China Development Financial Holding Corp | 21,691 | ||||||||
26,480 | China Life Insurance Co Ltd | 23,405 | ||||||||
16,000 | Chunghwa Telecom Co Ltd | 57,441 | ||||||||
134,000 | Compal Electronics Inc | 79,311 | ||||||||
85,000 | CTBC Financial Holding Co Ltd | 49,074 | ||||||||
87,635 | First Financial Holding Co Ltd | 44,983 | ||||||||
29,000 | Foxconn Technology Co Ltd * | 81,223 | ||||||||
64,000 | Fubon Financial Holding Co Ltd | 90,343 | ||||||||
122,000 | Hon Hai Precision Industry Co Ltd | 337,462 | ||||||||
110,564 | Hua Nan Financial Holdings Co Ltd – Class C | 56,911 | ||||||||
97,000 | Inventec Corp | 71,835 | ||||||||
50,249 | Lite-On Technology Corp | 75,919 | ||||||||
127,000 | Mega Financial Holding Co Ltd | 86,355 | ||||||||
10,000 | Novatek Microelectronics Corp | 34,067 | ||||||||
14,000 | Pegatron Corp | 33,779 | ||||||||
64,000 | Pou Chen Corp | 92,560 | ||||||||
206,000 | Shin Kong Financial Holding Co Ltd * | 45,106 |
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
44,000 | Siliconware Precision Industries Co Ltd | 65,518 | ||||||||
3,100 | SinoPac Financial Holdings Co Ltd | 905 | ||||||||
162,999 | Taishin Financial Holding Co Ltd | 61,571 | ||||||||
39,000 | Taiwan Cement Corp | 44,440 | ||||||||
25,900 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR | 744,366 | ||||||||
27,000 | Uni-President Enterprises Corp | 50,945 | ||||||||
212,000 | United Microelectronics Corp | 76,868 | ||||||||
2,123 | Wistron Corp | 1,557 | ||||||||
137,000 | Yuanta Financial Holding Co Ltd | 48,483 | ||||||||
|
| |||||||||
Total Taiwan | 2,535,180 | |||||||||
|
| |||||||||
Thailand — 0.1% | ||||||||||
9,900 | Kasikornbank Pcl NVDR | 56,427 | ||||||||
153,300 | Krung Thai Bank Pcl (Foreign Registered) | 84,057 | ||||||||
8,100 | PTT Pcl (Foreign Registered) | 81,395 | ||||||||
|
| |||||||||
Total Thailand | 221,879 | |||||||||
|
| |||||||||
Turkey — 0.3% | ||||||||||
19,275 | Akbank TAS | 50,947 | ||||||||
3,162 | Arcelik AS | 22,621 | ||||||||
28,711 | Eregli Demir ve Celik Fabrikalari TAS | 43,195 | ||||||||
9,799 | Haci Omer Sabanci Holding AS | 30,234 | ||||||||
10,322 | KOC Holding AS | 44,803 | ||||||||
1,997 | Tupras-Turkiye Petrol Rafineriler AS | 39,099 | ||||||||
14,346 | Turkcell Iletisim Hizmetleri AS * | 48,083 | ||||||||
22,477 | Turkiye Garanti Bankasi AS | 57,974 | ||||||||
25,560 | Turkiye Is Bankasi – Class C | 41,556 | ||||||||
20,914 | Turkiye Sise ve Cam Fabrikalari AS | 24,184 | ||||||||
|
| |||||||||
Total Turkey | 402,696 | |||||||||
|
| |||||||||
United Kingdom — 17.2% | ||||||||||
23,644 | 3i Group Plc | 190,830 | ||||||||
3,848 | Associated British Foods Plc | 153,672 | ||||||||
30,507 | AstraZeneca Plc | 1,969,257 | ||||||||
46,296 | BAE Systems Plc | 327,151 | ||||||||
55,298 | Balfour Beatty Plc * | 205,088 | ||||||||
12,846 | Berkeley Group Holdings Plc (The) | 450,725 | ||||||||
60,720 | British American Tobacco Plc | 3,767,228 | ||||||||
20,814 | British Land Co Plc (The) (REIT) | 181,281 | ||||||||
13,946 | Bunzl Plc | 432,005 | ||||||||
93,366 | Cobham Plc | 198,182 | ||||||||
33,668 | Compass Group Plc | 637,250 | ||||||||
2,445 | CYBG Plc CDI * | 8,550 | ||||||||
26,902 | Direct Line Insurance Group Plc | 130,652 | ||||||||
28,612 | DS Smith Plc | 153,534 | ||||||||
168,638 | GlaxoSmithKline Plc | 3,629,974 | ||||||||
20,460 | Halfords Group Plc | 93,476 | ||||||||
68,150 | Home Retail Group Plc | 142,848 | ||||||||
316,948 | HSBC Holdings Plc | 2,356,482 | ||||||||
35,481 | Imperial Brands Plc | 1,861,097 |
38 | See accompanying notes to the financial statements. |
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
33,865 | Inchcape Plc | 312,100 | ||||||||
115,235 | Kingfisher Plc | 562,008 | ||||||||
110,901 | Legal & General Group Plc | 306,765 | ||||||||
57,947 | Man Group Plc | 82,764 | ||||||||
33,291 | Marks & Spencer Group Plc | 150,585 | ||||||||
10,758 | Mondi Plc | 218,907 | ||||||||
51,851 | National Grid Plc | 713,574 | ||||||||
6,162 | Next Plc | 447,194 | ||||||||
20,220 | Pearson Plc | 229,936 | ||||||||
22,504 | Persimmon Plc | 539,077 | ||||||||
13,059 | Reckitt Benckiser Group Plc | 1,261,483 | ||||||||
41,424 | Royal Mail Plc | 279,534 | ||||||||
46,897 | Sage Group Plc (The) | 446,824 | ||||||||
143,146 | Tesco Plc * | 312,693 | ||||||||
293,623 | Thomas Cook Group Plc * | 268,534 | ||||||||
22,685 | TUI AG | 316,817 | ||||||||
18,791 | Unilever Plc | 872,302 | ||||||||
41,227 | William Hill Plc | 172,412 | ||||||||
129,152 | WM Morrison Supermarkets Plc | 334,183 | ||||||||
61,520 | WPP Plc | 1,420,372 | ||||||||
|
| |||||||||
Total United Kingdom | 26,137,346 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $126,433,700) | 146,942,264 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 1.4% | ||||||||||
Brazil — 0.5% | ||||||||||
17,380 | Banco Bradesco SA | 156,405 | ||||||||
10,300 | Bradespar SA | 32,790 | ||||||||
11,900 | Centrais Eletricas Brasileiras SA – Class B * | 105,026 | ||||||||
7,000 | Cia Energetica de Sao Paulo – Class B | 29,242 | ||||||||
32,700 | Companhia Energetica de Minas Gerais | 88,605 | ||||||||
75,840 | Itausa-Investimentos Itau SA | 201,977 | ||||||||
21,000 | Vale SA | 94,101 | ||||||||
|
| |||||||||
Total Brazil | 708,146 | |||||||||
|
| |||||||||
Germany — 0.5% | ||||||||||
1,092 | Bayerische Motoren Werke AG | 81,729 | ||||||||
14,682 | Porsche Automobil Holding SE | 741,845 | ||||||||
|
| |||||||||
Total Germany | 823,574 | |||||||||
|
| |||||||||
Russia — 0.1% | ||||||||||
277,820 | Surgutneftegas OJSC | 139,216 | ||||||||
|
| |||||||||
South Korea — 0.3% | ||||||||||
442 | Hyundai Motor Co | 37,973 | ||||||||
627 | Hyundai Motor Co 2nd Preference | 56,500 | ||||||||
301 | Samsung Electronics Co Ltd | 356,977 | ||||||||
|
| |||||||||
Total South Korea | 451,450 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $1,554,339) | 2,122,386 | |||||||||
|
|
Shares / Par Value† | Description | Value ($) | ||||||||
MUTUAL FUNDS — 1.4% | ||||||||||
United States — 1.4% | ||||||||||
Affiliated Issuers | ||||||||||
88,304 | GMO U.S. Treasury Fund | 2,208,490 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $2,208,483) | 2,208,490 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.3% | ||||||||||
Time Deposits — 0.3% | ||||||||||
ZAR | 29,002 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 6.44%, due 09/01/16 | 1,973 | |||||||
SGD | 9,278 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/16 | 6,809 | |||||||
HKD | 85,575 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/16 | 11,031 | |||||||
GBP | 4,307 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.05%, due 09/01/16 | 5,656 | |||||||
EUR | 4,609 | Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.54)%, due 09/01/16 | 5,141 | |||||||
CAD | 292 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.05%, due 09/01/16 | 223 | |||||||
AUD | 77,788 | National Australia Bank (Melbourne) Time Deposit, 0.69%, due 09/01/16 | 58,461 | |||||||
304,900 | Sumitomo (Tokyo) Time Deposit, 0.15%, due 09/01/16 | 304,900 | ||||||||
JPY | 3,091,501 | Sumitomo (Tokyo) Time Deposit, (0.29)%, due 09/01/16 | 29,880 | |||||||
|
| |||||||||
Total Time Deposits | 424,074 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $424,074) | 424,074 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.6% (Cost $130,620,596) | 151,697,214 | |||||||||
Other Assets and Liabilities (net) — 0.4% | 543,693 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $152,240,907 | |||||||||
|
|
Notes to Schedule of Investments:
* | Non-income producing security. |
† | Denominated in U.S. Dollar, unless otherwise indicated. |
(a) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2). |
For a listing of definitions of acronyms and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 44.
See accompanying notes to the financial statements. | 39 |
GMO U.S. Equity Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 98.7 | % | ||
Mutual Funds | 0.4 | |||
Short-Term Investments | 0.2 | |||
Other | 0.7 | |||
|
| |||
100.0 | % | |||
|
| |||
Industry Group Summary | % of Equity Investments# | |||
Software & Services | 8.9 | % | ||
Energy | 8.7 | |||
Technology Hardware & Equipment | 8.6 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 7.9 | |||
Retailing | 7.7 | |||
Insurance | 6.8 | |||
Capital Goods | 6.4 | |||
Health Care Equipment & Services | 5.6 | |||
Food, Beverage & Tobacco | 5.5 | |||
Semiconductors & Semiconductor Equipment | 4.7 | |||
Banks | 4.4 | |||
Diversified Financials | 4.3 | |||
Transportation | 4.1 | |||
Materials | 3.8 | |||
Telecommunication Services | 3.7 | |||
Commercial & Professional Services | 2.4 | |||
Automobiles & Components | 2.3 | |||
Media | 1.4 | |||
Consumer Durables & Apparel | 1.3 | |||
Utilities | 0.6 | |||
Real Estate | 0.5 | |||
Food & Staples Retailing | 0.4 | |||
Household & Personal Products | 0.0 | ^ | ||
Consumer Services | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. |
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
^ | Rounds to 0.0%. |
40
GMO U.S. Equity Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 98.7% | ||||||||||
Automobiles & Components — 2.3% | ||||||||||
6,000 | Cooper-Standard Holding, Inc. * | 594,300 | ||||||||
66,921 | Drew Industries, Inc. | 6,815,904 | ||||||||
71,900 | Gentex Corp. | 1,279,101 | ||||||||
254,283 | Lear Corp. | 29,570,570 | ||||||||
13,984 | Superior Industries International, Inc. | 407,074 | ||||||||
111,085 | Thor Industries, Inc. | 9,014,548 | ||||||||
80,365 | Tower International, Inc. | 1,952,869 | ||||||||
|
| |||||||||
Total Automobiles & Components | 49,634,366 | |||||||||
|
| |||||||||
Banks — 4.3% | ||||||||||
4,236 | American National Bankshares, Inc. | 113,398 | ||||||||
100,348 | Chemical Financial Corp. | 4,639,088 | ||||||||
199,809 | Citigroup, Inc. | 9,538,882 | ||||||||
4,500 | CNB Financial Corp. | 90,675 | ||||||||
202,461 | Essent Group Ltd. * | 5,381,413 | ||||||||
5,300 | Federal Agricultural Mortgage Corp. – Class C | 217,194 | ||||||||
2,000 | First Bancorp, Inc. | 45,020 | ||||||||
3,800 | German American Bancorp, Inc. | 140,068 | ||||||||
1,007,898 | JPMorgan Chase & Co. | 68,033,115 | ||||||||
83,771 | Northwest Bancshares, Inc. | 1,300,126 | ||||||||
30,250 | PennyMac Financial Services, Inc. – Class A * | 500,638 | ||||||||
5,000 | Territorial Bancorp, Inc. | 142,800 | ||||||||
7,533 | Trustmark Corp. | 213,636 | ||||||||
6,300 | Univest Corp. of Pennsylvania | 147,042 | ||||||||
144,941 | Walker & Dunlop, Inc. * | 3,840,936 | ||||||||
|
| |||||||||
Total Banks | 94,344,031 | |||||||||
|
| |||||||||
Capital Goods — 6.3% | ||||||||||
352,220 | 3M Co. | 63,131,913 | ||||||||
232,844 | AGCO Corp. | 11,302,248 | ||||||||
18,400 | Briggs & Stratton Corp. | 349,784 | ||||||||
17,851 | Douglas Dynamics, Inc. | 572,660 | ||||||||
475,071 | Emerson Electric Co. | 25,026,740 | ||||||||
53,300 | Honeywell International, Inc. | 6,220,643 | ||||||||
181,563 | Snap-on, Inc. | 27,831,792 | ||||||||
30,719 | Tutor Perini Corp. * | 712,374 | ||||||||
117,300 | Wabash National Corp. * | 1,636,335 | ||||||||
|
| |||||||||
Total Capital Goods | 136,784,489 | |||||||||
|
| |||||||||
Commercial & Professional Services — 2.4% | ||||||||||
184,929 | ACCO Brands Corp. * | 1,849,290 | ||||||||
213,637 | Cintas Corp. | 25,104,484 | ||||||||
133,155 | Deluxe Corp. | 9,077,176 | ||||||||
6,800 | Heidrick & Struggles International, Inc. | 127,092 | ||||||||
108,417 | KAR Auction Services, Inc. | 4,583,871 | ||||||||
345,180 | Korn/Ferry International | 8,229,091 | ||||||||
15,741 | TRC Cos., Inc. * | 119,947 | ||||||||
142,573 | TrueBlue, Inc. * | 3,115,220 | ||||||||
|
| |||||||||
Total Commercial & Professional Services | 52,206,171 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Consumer Durables & Apparel — 1.3% | ||||||||||
6,500 | Bassett Furniture Industries, Inc. | 160,940 | ||||||||
8,475 | Columbia Sportswear Co. | 476,041 | ||||||||
4,100 | CSS Industries, Inc. | 104,427 | ||||||||
6,800 | Culp, Inc. | 215,628 | ||||||||
4,395 | Flexsteel Industries, Inc. | 208,543 | ||||||||
208,573 | Helen of Troy Ltd. * | 18,842,485 | ||||||||
230,263 | Smith & Wesson Holding Corp. * | 6,481,903 | ||||||||
30,127 | Tupperware Brands Corp. | 1,974,222 | ||||||||
|
| |||||||||
Total Consumer Durables & Apparel | 28,464,189 | |||||||||
|
| |||||||||
Consumer Services — 0.0% | ||||||||||
12,300 | Bridgepoint Education, Inc. * | 89,175 | ||||||||
|
| |||||||||
Diversified Financials — 3.9% | ||||||||||
129,188 | BlackRock Capital Investment Corp. | 1,126,519 | ||||||||
431,937 | Capital One Financial Corp. | 30,926,689 | ||||||||
239,637 | Cash America International, Inc. | 10,431,399 | ||||||||
8,404 | Encore Capital Group, Inc. * | 181,190 | ||||||||
329,366 | Nasdaq, Inc. | 23,454,153 | ||||||||
6,673 | OneMain Holdings, Inc. * | 206,930 | ||||||||
156,814 | PRA Group, Inc. * | 5,014,912 | ||||||||
26,612 | Regional Management Corp. * | 575,351 | ||||||||
193,805 | T. Rowe Price Group, Inc. | 13,477,200 | ||||||||
|
| |||||||||
Total Diversified Financials | 85,394,343 | |||||||||
|
| |||||||||
Energy — 8.6% | ||||||||||
107,000 | California Resources Corp. | 1,062,510 | ||||||||
602,193 | Chevron Corp. | 60,568,572 | ||||||||
357,933 | Denbury Resources, Inc. * | 1,102,434 | ||||||||
35,778 | Exterran Corp. * | 505,543 | ||||||||
1,243,124 | Marathon Oil Corp. | 18,671,723 | ||||||||
611,605 | Tesoro Corp. | 46,127,249 | ||||||||
47,900 | Unit Corp. * | 818,611 | ||||||||
1,055,884 | Valero Energy Corp. | 58,443,179 | ||||||||
|
| |||||||||
Total Energy | 187,299,821 | |||||||||
|
| |||||||||
Food & Staples Retailing — 0.4% | ||||||||||
108,300 | Wal-Mart Stores, Inc. | 7,736,952 | ||||||||
|
| |||||||||
Food, Beverage & Tobacco — 5.5% | ||||||||||
22,000 | Altria Group, Inc. | 1,453,980 | ||||||||
563,411 | Dr Pepper Snapple Group, Inc. | 52,791,611 | ||||||||
215,513 | Hormel Foods Corp. | 8,245,527 | ||||||||
344,345 | Ingredion, Inc. | 47,161,491 | ||||||||
28,100 | John B. Sanfilippo & Son, Inc. | 1,444,902 | ||||||||
111,200 | Omega Protein Corp. * | 2,803,352 | ||||||||
22,200 | Philip Morris International, Inc. | 2,218,446 | ||||||||
53,400 | Universal Corp. | 3,213,078 | ||||||||
|
| |||||||||
Total Food, Beverage & Tobacco | 119,332,387 | |||||||||
|
|
See accompanying notes to the financial statements. | 41 |
GMO U.S. Equity Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Health Care Equipment & Services — 5.5% | ||||||||||
162,652 | Aetna, Inc. | 19,049,802 | ||||||||
248,101 | Anthem, Inc. | 31,032,473 | ||||||||
56,277 | Chemed Corp. | 7,593,456 | ||||||||
8,921 | Exactech, Inc. * | 247,915 | ||||||||
10,300 | Triple-S Management Corp. – Class B * | 225,467 | ||||||||
458,143 | UnitedHealth Group, Inc. | 62,330,355 | ||||||||
|
| |||||||||
Total Health Care Equipment & Services | 120,479,468 | |||||||||
|
| |||||||||
Household & Personal Products — 0.0% | ||||||||||
15,800 | Central Garden & Pet Co. * | 405,744 | ||||||||
13,900 | Central Garden & Pet Co. – Class A * | 337,075 | ||||||||
5,700 | Nutraceutical International Corp. * | 144,381 | ||||||||
|
| |||||||||
Total Household & Personal Products | 887,200 | |||||||||
|
| |||||||||
Insurance — 6.7% | ||||||||||
267,799 | Aflac, Inc. | 19,865,330 | ||||||||
12,192 | American Equity Investment Life Holding Co. | 214,823 | ||||||||
9,200 | American National Insurance Co. | 1,074,744 | ||||||||
804,376 | Assured Guaranty Ltd. | 22,337,521 | ||||||||
89,804 | Everest Re Group Ltd. | 17,366,297 | ||||||||
284,976 | First American Financial Corp. | 12,279,616 | ||||||||
86,189 | Hanover Insurance Group, Inc. (The) | 6,739,980 | ||||||||
561,966 | MBIA, Inc. * | 4,529,446 | ||||||||
28,129 | Navigators Group, Inc. (The) | 2,643,001 | ||||||||
39,012 | Selective Insurance Group, Inc. | 1,556,579 | ||||||||
480,047 | Travelers Cos., Inc. (The) | 56,986,379 | ||||||||
2,372 | W.R. Berkley Corp. | 140,826 | ||||||||
|
| |||||||||
Total Insurance | 145,734,542 | |||||||||
|
| |||||||||
Materials — 3.7% | ||||||||||
61,943 | AptarGroup, Inc. | 4,830,315 | ||||||||
357,447 | Avery Dennison Corp. | 27,680,696 | ||||||||
125,444 | Chemours Co. (The) | 1,654,606 | ||||||||
596,880 | LyondellBasell Industries NV – Class A | 47,087,863 | ||||||||
|
| |||||||||
Total Materials | 81,253,480 | |||||||||
|
| |||||||||
Media — 1.4% | ||||||||||
172,498 | Gannett Co., Inc. | 2,057,901 | ||||||||
22,485 | Meredith Corp. | 1,192,604 | ||||||||
216,540 | News Corp. – Class A | 3,044,553 | ||||||||
245,600 | Omnicom Group, Inc. | 21,153,528 | ||||||||
42,775 | Scripps Networks Interactive, Inc. – Class A | 2,710,652 | ||||||||
|
| |||||||||
Total Media | 30,159,238 | |||||||||
|
| |||||||||
Pharmaceuticals, Biotechnology & Life Sciences — 7.8% | ||||||||||
178,100 | Gilead Sciences, Inc. | 13,959,478 | ||||||||
682,547 | Johnson & Johnson | 81,455,159 | ||||||||
1,410,437 | PDL BioPharma, Inc. | 4,104,372 | ||||||||
2,020,338 | Pfizer, Inc. | 70,307,762 | ||||||||
|
| |||||||||
Total Pharmaceuticals, Biotechnology & Life Sciences | 169,826,771 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Real Estate — 0.8% | ||||||||||
60,700 | Apollo Commercial Real Estate Finance, Inc. REIT | 989,410 | ||||||||
5,221 | Ares Commercial Real Estate Corp. REIT | 65,628 | ||||||||
341,139 | ARMOUR Residential REIT, Inc. | 7,586,931 | ||||||||
17,412 | CatchMark Timber Trust, Inc. REIT – Class A | 203,721 | ||||||||
75,243 | Jones Lang LaSalle, Inc. | 8,784,620 | ||||||||
18,480 | Newcastle Investment Corp. REIT | 85,932 | ||||||||
|
| |||||||||
Total Real Estate | 17,716,242 | |||||||||
|
| |||||||||
Retailing — 7.6% | ||||||||||
857,276 | Bed Bath & Beyond, Inc. | 39,751,888 | ||||||||
731,295 | Foot Locker, Inc. | 48,002,204 | ||||||||
416,802 | Guess?, Inc. | 6,931,417 | ||||||||
502,900 | Home Depot, Inc. (The) | 67,448,948 | ||||||||
65,609 | Murphy USA, Inc. * | 4,797,330 | ||||||||
|
| |||||||||
Total Retailing | 166,931,787 | |||||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment — 4.6% | ||||||||||
1,976,816 | Intel Corp. | 70,947,926 | ||||||||
481,981 | QUALCOMM, Inc. | 30,398,542 | ||||||||
|
| |||||||||
Total Semiconductors & Semiconductor Equipment | 101,346,468 | |||||||||
|
| |||||||||
Software & Services — 8.8% | ||||||||||
150,874 | Accenture Plc – Class A | 17,350,510 | ||||||||
170,273 | Activision Blizzard, Inc. | 7,044,194 | ||||||||
455,005 | Amdocs Ltd. | 27,354,901 | ||||||||
109,120 | Booz Allen Hamilton Holding Corp. | 3,312,883 | ||||||||
102,280 | CA, Inc. | 3,468,315 | ||||||||
7,600 | CACI International, Inc. – Class A * | 755,136 | ||||||||
4,670 | Citrix Systems, Inc. * | 407,224 | ||||||||
356,225 | Convergys Corp. | 10,626,192 | ||||||||
33,651 | CSG Systems International, Inc. | 1,471,222 | ||||||||
297,534 | Fiserv, Inc. * | 30,660,879 | ||||||||
272,399 | International Business Machines Corp. | 43,278,753 | ||||||||
204,400 | Microsoft Corp. | 11,744,824 | ||||||||
124,541 | Net 1 UEPS Technologies, Inc. * | 1,216,765 | ||||||||
524,602 | Paychex, Inc. | 31,827,603 | ||||||||
60,080 | Sykes Enterprises, Inc. * | 1,756,138 | ||||||||
|
| |||||||||
Total Software & Services | 192,275,539 | |||||||||
|
| |||||||||
Technology Hardware & Equipment — 8.5% | ||||||||||
363,165 | Apple, Inc. | 38,531,806 | ||||||||
462,081 | Arrow Electronics, Inc. * | 30,418,792 | ||||||||
641,764 | Avnet, Inc. | 26,748,724 | ||||||||
2,202,829 | Cisco Systems, Inc. | 69,256,944 | ||||||||
18,841 | ePlus, Inc. * | 1,705,299 | ||||||||
26,214 | F5 Networks, Inc. * | 3,217,244 | ||||||||
26,802 | Insight Enterprises, Inc. * | 820,141 | ||||||||
162,941 | Jabil Circuit, Inc. | 3,452,720 | ||||||||
148,493 | Sanmina Corp. * | 3,902,396 |
42 | See accompanying notes to the financial statements. |
GMO U.S. Equity Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Technology Hardware & Equipment — continued | ||||||||||
99,638 | Tech Data Corp. * | 7,397,125 | ||||||||
|
| |||||||||
Total Technology Hardware & Equipment | 185,451,191 | |||||||||
|
| |||||||||
Telecommunication Services — 3.6% | ||||||||||
162,700 | AT&T, Inc. | 6,651,176 | ||||||||
2,800 | FairPoint Communications, Inc. * | 39,032 | ||||||||
15,255 | United States Cellular Corp. * | 567,791 | ||||||||
1,364,317 | Verizon Communications, Inc. | 71,394,709 | ||||||||
13,175 | Vonage Holdings Corp. * | 76,547 | ||||||||
|
| |||||||||
Total Telecommunication Services | 78,729,255 | |||||||||
|
| |||||||||
Transportation — 4.1% | ||||||||||
152,178 | Alaska Air Group, Inc. | 10,276,580 | ||||||||
59,192 | Atlas Air Worldwide Holdings, Inc. * | 2,198,391 | ||||||||
1,047,385 | Delta Air Lines, Inc. | 38,491,399 | ||||||||
871,546 | JetBlue Airways Corp. * | 13,901,159 | ||||||||
43,045 | Matson, Inc. | 1,661,106 | ||||||||
138,866 | SkyWest, Inc. | 3,920,187 | ||||||||
72,500 | United Parcel Service, Inc. – Class B | 7,918,450 | ||||||||
461,274 | Werner Enterprises, Inc. | 10,646,204 | ||||||||
|
| |||||||||
Total Transportation | 89,013,476 | |||||||||
|
| |||||||||
Utilities — 0.6% | ||||||||||
19,000 | Avista Corp. | 771,780 | ||||||||
25,434 | IDACORP, Inc. | 1,934,764 | ||||||||
697,734 | Talen Energy Corp. * | 9,635,707 | ||||||||
|
| |||||||||
Total Utilities | 12,342,251 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $2,073,557,162) | 2,153,432,832 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 0.4% | ||||||||||
Affiliated Issuers — 0.4% | ||||||||||
373,655 | GMO U.S. Treasury Fund | 9,345,101 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $9,345,101) | 9,345,101 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.2% | ||||||||||
Money Market Funds — 0.2% | ||||||||||
4,034,745 | State Street Institutional Treasury Money Market Fund-Premier Class, 0.19% (a) | 4,034,745 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $4,034,745) | 4,034,745 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.3% (Cost $2,086,937,008) | 2,166,812,678 | |||||||||
Other Assets and Liabilities (net) — 0.7% | 15,384,599 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $2,182,197,277 | |||||||||
|
|
Notes to Schedule of Investments:
* | Non-income producing security. |
(a) | The rate disclosed is the 7 day net yield as of August 31, 2016. |
For a listing of definitions of acronyms and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 44.
See accompanying notes to the financial statements. | 43 |
GMO Trust Funds
Schedule of Investments — (Continued)
August 31, 2016 (Unaudited)
ADR - American Depositary Receipt
Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.
GDR - Global Depository Receipt
NVDR - Non-Voting Depository Receipt
OJSC - Open Joint-Stock Company
PJSC - Private Joint-Stock Company
REIT - Real Estate Investment Trust
Currency Abbreviations:
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Frank
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
JPY - Japanese Yen
NZD - New Zealand Dollar
SGD - Singapore Dollar
ZAR - South African Rand
44 | See accompanying notes to the financial statements. |
Statements of Assets and Liabilities — August 31, 2016 (Unaudited)
Developed World Stock Fund | International Equity Fund | International Large/Mid Cap Equity Fund | Quality Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | 66,710,332 | $ | 62,226,997 | $ | 3,044,984 | $ | 224,537,698 | ||||||||
Investments in unaffiliated issuers, at value (Note 2)(b) | 224,270,976 | 7,218,727,501 | 954,351,194 | 9,056,126,396 | ||||||||||||
Foreign currency, at value (Note 2)(c) | 77,992 | 131,583 | 17,342 | 17 | ||||||||||||
Cash | 5,197 | — | — | — | ||||||||||||
Receivable for investments sold | — | 223,567,047 | — | — | ||||||||||||
Receivable for Fund shares sold | — | 177,362 | 3,168 | 282,696 | ||||||||||||
Dividends receivable | 581,471 | 17,967,397 | 2,608,881 | 17,607,194 | ||||||||||||
Dividend withholding tax receivable | 219,383 | 11,095,000 | 1,725,842 | 7,314,798 | ||||||||||||
Receivable for foreign currency sold | 43 | 845,918 | — | �� | — | |||||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 121,786 | 326,040 | 87,219 | 107,184 | ||||||||||||
Miscellaneous receivable | 1,430 | 42,167 | 3,950 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 291,988,610 | 7,535,107,012 | 961,842,580 | 9,305,975,983 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Payable for Fund shares repurchased | — | 203,441,830 | 1,821,413 | 49,809,169 | ||||||||||||
Accrued foreign capital gains tax payable (Note 2) | 2,162 | — | — | — | ||||||||||||
Payable to affiliate for (Note 5): | ||||||||||||||||
Management fee | 123,481 | 3,451,149 | 338,504 | 2,748,088 | ||||||||||||
Shareholder service fee | 28,729 | 675,399 | 90,146 | 861,186 | ||||||||||||
Payable for foreign currency purchased | — | — | 3 | — | ||||||||||||
Payable to agents unaffiliated with GMO | 66 | 1,221 | 198 | 1,221 | ||||||||||||
Payable to Trustees and related expenses | 319 | 6,315 | 2,435 | 2,431 | ||||||||||||
Accrued expenses | 144,200 | 927,314 | 303,030 | 838,307 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 298,957 | 208,503,228 | 2,555,729 | 54,260,402 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 291,689,653 | $ | 7,326,603,784 | $ | 959,286,851 | $ | 9,251,715,581 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments – affiliated issuers: | $ | 66,129,759 | $ | 62,226,997 | $ | 3,044,984 | $ | 224,531,882 | ||||||||
(b) Cost of investments – unaffiliated issuers: | $ | 223,643,188 | $ | 7,469,825,782 | $ | 986,782,009 | $ | 7,739,738,174 | ||||||||
(c) Cost of foreign currency: | $ | 79,066 | $ | 161,045 | $ | 17,568 | $ | 16 |
See accompanying notes to the financial statements. | 45 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2016 (Unaudited) — (Continued)
Developed World Stock Fund | International Equity Fund | International Large/Mid Cap Equity Fund | Quality Fund | |||||||||||||
Net assets consist of: | ||||||||||||||||
Paid-in capital | $ | 303,863,496 | $ | 8,755,737,939 | $ | 1,528,003,255 | $ | 7,880,352,631 | ||||||||
Accumulated undistributed net investment income | 3,960,253 | 150,327,190 | 24,916,847 | 70,084,432 | ||||||||||||
Accumulated net realized gain (loss) | (17,332,685 | ) | (1,328,058,101 | ) | (561,011,092 | ) | (14,685,779 | ) | ||||||||
Net unrealized appreciation (depreciation) | 1,198,589 | (251,403,244 | ) | (32,622,159 | ) | 1,315,964,297 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 291,689,653 | $ | 7,326,603,784 | $ | 959,286,851 | $ | 9,251,715,581 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets attributable to: | ||||||||||||||||
Class II | $ | — | $ | 56,062,455 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | $ | 17,283,048 | $ | 782,753,843 | $ | 338,219,657 | $ | 3,658,868,449 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | 274,406,605 | $ | 6,487,787,486 | $ | 314,546,451 | $ | 1,474,820,487 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class V | $ | — | $ | — | $ | — | $ | 460,488,444 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | — | $ | — | $ | 306,520,743 | $ | 3,657,538,201 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding: | ||||||||||||||||
Class II | — | 2,831,014 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | 784,637 | 39,081,284 | 13,255,822 | 174,042,211 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | 12,466,733 | 324,395,479 | 12,332,222 | 70,054,922 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class V | — | — | — | 21,873,853 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | — | — | 12,022,667 | 173,939,284 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share: | ||||||||||||||||
Class II | $ | — | $ | 19.80 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | $ | 22.03 | $ | 20.03 | $ | 25.51 | $ | 21.02 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | 22.01 | $ | 20.00 | $ | 25.51 | $ | 21.05 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class V | $ | — | $ | — | $ | — | $ | 21.05 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | — | $ | — | $ | 25.50 | $ | 21.03 | ||||||||
|
|
|
|
|
|
|
|
46 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2016 (Unaudited) — (Continued)
Resources Fund | Risk Premium Fund | Tax-Managed International Equities Fund | U.S. Equity Allocation Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | 2,500,080 | $ | — | $ | 2,208,490 | $ | 9,345,101 | ||||||||
Investments in unaffiliated issuers, at value (Note 2)(b) | 183,106,448 | 192,569,783 | 149,488,724 | 2,157,467,577 | ||||||||||||
Foreign currency, at value (Note 2)(c) | 25,207 | — | 58,257 | — | ||||||||||||
Cash | — | — | — | 163 | ||||||||||||
Receivable for investments sold | — | — | — | 36,354,136 | ||||||||||||
Receivable for Fund shares sold | — | — | — | 5,864 | ||||||||||||
Dividends receivable | 544,859 | 131 | 454,552 | 7,479,846 | ||||||||||||
Dividend withholding tax receivable | 25,869 | — | 258,297 | — | ||||||||||||
Receivable for foreign currency sold | — | — | 52 | — | ||||||||||||
Due from broker (Note 2) | — | 17,493,152 | — | — | ||||||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 15,200 | 11,088 | 30,756 | 76,065 | ||||||||||||
Miscellaneous receivable | 930 | 2,691 | 757 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 186,218,593 | 210,076,845 | 152,499,885 | 2,210,728,752 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Payable for investments purchased | 104,615 | — | — | — | ||||||||||||
Payable for Fund shares repurchased | — | 1,794,203 | — | 27,251,481 | ||||||||||||
Payable to affiliate for (Note 5): |
| |||||||||||||||
Management fee | 83,827 | 84,531 | 81,202 | 668,684 | ||||||||||||
Shareholder service fee | 17,266 | 10,970 | 24,361 | 138,191 | ||||||||||||
Written options outstanding, at value (Note 4)(d) | — | 1,947,014 | — | — | ||||||||||||
Payable to agents unaffiliated with GMO | 33 | 33 | 33 | 627 | ||||||||||||
Payable to Trustees and related expenses | 119 | 203 | 455 | 4,528 | ||||||||||||
Accrued expenses | 106,654 | 92,416 | 152,927 | 467,964 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 312,514 | 3,929,370 | 258,978 | 28,531,475 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 185,906,079 | $ | 206,147,475 | $ | 152,240,907 | $ | 2,182,197,277 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments – affiliated issuers: | $ | 2,500,000 | $ | — | $ | 2,208,483 | $ | 9,345,101 | ||||||||
(b) Cost of investments – unaffiliated issuers: | $ | 173,832,731 | $ | 192,542,667 | $ | 128,412,113 | $ | 2,077,591,907 | ||||||||
(c) Cost of foreign currency: | $ | 25,090 | $ | — | $ | 59,260 | $ | — | ||||||||
(d) Premiums on written options: | $ | — | $ | 3,507,590 | $ | — | $ | — |
See accompanying notes to the financial statements. | 47 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2016 (Unaudited) — (Continued)
Resources Fund | Risk Premium Fund | Tax-Managed International Equities Fund | U.S. Equity Allocation Fund | |||||||||||||
Net assets consist of: | ||||||||||||||||
Paid-in capital | $ | 237,006,534 | $ | 196,288,533 | $ | 174,634,346 | $ | 1,975,946,821 | ||||||||
Accumulated undistributed net investment income | 2,667,908 | — | 3,216,865 | 8,469,757 | ||||||||||||
Distributions in excess of net investment income | — | (226,847 | ) | — | — | |||||||||||
Accumulated net realized gain (loss) | (63,041,965 | ) | 8,498,097 | (46,659,043 | ) | 117,905,029 | ||||||||||
Net unrealized appreciation (depreciation) | 9,273,602 | 1,587,692 | 21,048,739 | 79,875,670 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 185,906,079 | $ | 206,147,475 | $ | 152,240,907 | $ | 2,182,197,277 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets attributable to: | ||||||||||||||||
Class III | $ | 15,073,654 | $ | 7,511,889 | $ | 152,240,907 | $ | 145,937,718 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | 170,832,425 | $ | — | $ | — | $ | 32,484,228 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class V | $ | — | $ | — | $ | — | $ | 149,755,589 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | — | $ | 198,635,586 | $ | — | $ | 1,854,019,742 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding: | ||||||||||||||||
Class III | 1,041,618 | 253,140 | 10,799,563 | 9,663,908 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | 11,842,319 | — | — | 2,154,498 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class V | — | — | — | 9,940,723 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | — | 6,667,631 | — | 123,352,700 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share: | ||||||||||||||||
Class III | $ | 14.47 | $ | 29.67 | $ | 14.10 | $ | 15.10 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | 14.43 | $ | — | $ | — | $ | 15.08 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class V | $ | — | $ | — | $ | — | $ | 15.06 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | — | $ | 29.79 | $ | — | $ | 15.03 | ||||||||
|
|
|
|
|
|
|
|
48 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2016 (Unaudited)
Developed World Stock Fund | International Equity Fund | International Large/Mid Cap Equity Fund | Quality Fund | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a) | $ | 5,760,759 | $ | 200,196,046 | $ | 32,253,006 | $ | 95,507,091 | ||||||||
Dividends from affiliated issuers (Note 10) | 151,911 | 377,027 | 58,910 | 247,447 | ||||||||||||
Interest | 1,017 | — | 433 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 5,913,687 | 200,573,073 | 32,312,349 | 95,754,538 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Management fee (Note 5) | 757,414 | 20,480,556 | 2,348,501 | 13,320,400 | ||||||||||||
Shareholder service fee – Class II (Note 5) | — | 81,891 | — | — | ||||||||||||
Shareholder service fee – Class III (Note 5) | 50,642 | 735,607 | 308,708 | 3,068,155 | ||||||||||||
Shareholder service fee – Class IV (Note 5) | 134,553 | 3,211,635 | 234,809 | 671,986 | ||||||||||||
Shareholder service fee – Class V (Note 5) | — | — | — | 141,417 | ||||||||||||
Shareholder service fee – Class VI (Note 5) | — | — | 83,227 | 651,579 | ||||||||||||
Audit and tax fees | 40,615 | 65,136 | 57,132 | 38,732 | ||||||||||||
Custodian and fund accounting agent fees | 240,366 | 1,482,456 | 386,732 | 481,068 | ||||||||||||
Legal fees | 9,292 | 139,932 | 27,692 | 121,808 | ||||||||||||
Registration fees | 1,104 | 7,912 | 4,232 | 14,720 | ||||||||||||
Transfer agent fees | 18,308 | 25,760 | 23,920 | — | ||||||||||||
Trustees’ fees and related expenses (Note 5) | 2,668 | 63,508 | 11,151 | 57,536 | ||||||||||||
Miscellaneous | 11,960 | 28,888 | 11,868 | 20,148 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 1,266,922 | 26,323,281 | 3,497,972 | 18,587,549 | ||||||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (308,354 | ) | (1,711,168 | ) | (482,780 | ) | (662,124 | ) | ||||||||
Indirectly incurred fees waived or borne by GMO (Note 5) | (25,110 | ) | — | — | — | |||||||||||
Shareholder service fee waived (Note 5) | (3,988 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 929,470 | 24,612,113 | 3,015,192 | 17,925,425 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 4,984,217 | 175,960,960 | 29,297,157 | 77,829,113 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments in unaffiliated issuers | 4,920,622 | (294,085,989 | ) | (62,328,078 | ) | 11,837,542 | ||||||||||
Investments in affiliated issuers | 139,780 | 104,107 | — | 7,508 | ||||||||||||
Realized gain distributions from affiliated issuers (Note 10) | 596,866 | 5,157 | 686 | 1,105 | ||||||||||||
Futures contracts | 1,082,977 | 15,860,244 | 1,724,021 | — | ||||||||||||
Swap contracts | 87,056 | — | — | — | ||||||||||||
Foreign currency, forward contracts and foreign currency related transactions | 291,462 | 3,152,451 | (22,064 | ) | 127,008 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 7,118,763 | (274,964,030 | ) | (60,625,435 | ) | 11,973,163 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in unaffiliated issuers | 22,020,937 | 856,193,048 | 157,547,077 | 828,416,426 | ||||||||||||
Investments in affiliated issuers | 579,184 | (75,879 | ) | — | 5,816 | |||||||||||
Futures contracts | (22,545 | ) | (3,066,601 | ) | (49,665 | ) | — | |||||||||
Swap contracts | 5,620 | — | — | — | ||||||||||||
Foreign currency, forward contracts and foreign currency related transactions | (453,147 | ) | 537,524 | 41,575 | 135,630 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) | 22,130,049 | 853,588,092 | 157,538,987 | 828,557,872 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | 29,248,812 | 578,624,062 | 96,913,552 | 840,531,035 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | 34,233,029 | $ | 754,585,022 | $ | 126,210,709 | $ | 918,360,148 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Withholding tax: | $ | 529,358 | $ | 23,494,441 | $ | 3,856,461 | $ | 1,452,425 |
See accompanying notes to the financial statements. | 49 |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2016 (Unaudited) — (Continued)
Resources Fund | Risk Premium Fund | Tax-Managed International Equities Fund | U.S. Equity Allocation Fund | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a) | $ | 3,659,896 | $ | 132 | $ | 4,629,701 | $ | 43,648,314 | ||||||||
Dividends from affiliated issuers (Note 10) | 2,799 | — | 6,864 | 138,291 | ||||||||||||
Interest | 1,829 | 441,884 | 642 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 3,664,524 | 442,016 | 4,637,207 | 43,786,605 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Management fee (Note 5) | 451,171 | 498,594 | 516,374 | 5,992,871 | ||||||||||||
Shareholder service fee – Class III (Note 5) | 9,699 | 5,390 | 154,912 | 142,548 | ||||||||||||
Shareholder service fee – Class IV (Note 5) | 83,768 | — | — | 160,245 | ||||||||||||
Shareholder service fee – Class V (Note 5) | — | — | — | 7,652 | ||||||||||||
Shareholder service fee – Class VI (Note 5) | — | 58,963 | — | 917,897 | ||||||||||||
Audit and tax fees | 39,468 | 27,416 | 38,732 | 37,536 | ||||||||||||
Custodian and fund accounting agent fees | 116,244 | 21,620 | 141,888 | 296,332 | ||||||||||||
Legal fees | 6,348 | 6,992 | 7,452 | 75,440 | ||||||||||||
Registration fees | 2,300 | 1,564 | 1,472 | 8,648 | ||||||||||||
Transfer agent fees | 18,400 | — | 12,972 | — | ||||||||||||
Trustees’ fees and related expenses (Note 5) | 1,380 | 1,748 | 1,840 | 33,383 | ||||||||||||
Miscellaneous | 6,072 | 6,900 | 7,360 | 12,972 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 734,850 | 629,187 | 883,002 | 7,685,524 | ||||||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (81,132 | ) | (60,996 | ) | (200,400 | ) | (423,752 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 653,718 | 568,191 | 682,602 | 7,261,772 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 3,010,806 | (126,175 | ) | 3,954,605 | 36,524,833 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments in unaffiliated issuers | (18,769,787 | ) | (802,650 | ) | 5,454,305 | 227,253,840 | ||||||||||
Investments in affiliated issuers | — | — | 3,078 | 15,729 | ||||||||||||
Realized gain distributions from affiliated issuers (Note 10) | 80 | — | 95 | 574 | ||||||||||||
Futures contracts | — | — | 959,999 | 3,190,647 | ||||||||||||
Written options | — | 23,528,005 | — | — | ||||||||||||
Swap contracts | — | — | — | 2,130,834 | ||||||||||||
Foreign currency, forward contracts and foreign currency related transactions | 74,287 | (9,117 | ) | 7,511 | (43,458 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (18,695,420 | ) | 22,716,238 | 6,424,988 | 232,548,166 | * | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in unaffiliated issuers | 54,531,869 | 33,204 | 8,426,092 | 177,561,308 | ||||||||||||
Investments in affiliated issuers | 80 | — | (636 | ) | — | |||||||||||
Futures contracts | — | — | (25,330 | ) | 27,300 | |||||||||||
Written options | — | (1,106,436 | ) | — | — | |||||||||||
Swap contracts | — | — | — | 137,535 | ||||||||||||
Foreign currency, forward contracts and foreign currency related transactions | 4,025 | — | 1,080 | 73,685 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) | 54,535,974 | (1,073,232 | ) | 8,401,206 | 177,799,828 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | 35,840,554 | 21,643,006 | 14,826,194 | 410,347,994 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | 38,851,360 | $ | 21,516,831 | $ | 18,780,799 | $ | 446,872,827 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Withholding tax: | $ | 496,917 | $ | — | $ | 550,412 | $ | — |
* | For the details related to in-kind redemption realized gain (loss) please refer to Note 6. |
50 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets
Developed World Stock Fund | International Equity Fund | |||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 4,984,217 | $ | 8,415,037 | $ | 175,960,960 | $ | 299,318,899 | ||||||||
Net realized gain (loss) | 7,118,763 | (6,848,793 | ) | (274,964,030 | ) | (924,763,345 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 22,130,049 | (61,065,265 | ) | 853,588,092 | (1,542,419,667 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 34,233,029 | (59,499,021 | ) | 754,585,022 | (2,167,864,113 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class II | — | — | (192,882 | ) | (2,783,157 | ) | ||||||||||
Class III | (188,917 | ) | (2,842,912 | ) | (4,078,894 | ) | (32,069,436 | ) | ||||||||
Class IV | (1,713,142 | ) | (6,609,777 | ) | (30,190,906 | ) | (262,231,822 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (1,902,059 | ) | (9,452,689 | ) | (34,462,682 | ) | (297,084,415 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains | ||||||||||||||||
Class III | — | (4,565,182 | ) | — | — | |||||||||||
Class IV | — | (10,502,195 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | — | (15,067,377 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class II | — | — | (31,166,190 | ) | (14,840,408 | ) | ||||||||||
Class III | (85,156,752 | ) | (38,978,316 | ) | (351,697,019 | ) | (208,885,684 | ) | ||||||||
Class IV | 1,517,917 | 17,097,354 | (1,186,566,378 | ) | (2,151,296,529 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (83,638,835 | ) | (21,880,962 | ) | (1,569,429,587 | ) | (2,375,022,621 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class III | 27,614 | 44,525 | — | — | ||||||||||||
Class IV | 185,983 | 95,071 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premium and redemption fees | 213,597 | 139,596 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (83,425,238 | ) | (21,741,366 | ) | (1,569,429,587 | ) | (2,375,022,621 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (51,094,268 | ) | (105,760,453 | ) | (849,307,247 | ) | (4,839,971,149 | ) | ||||||||
Net assets: | ||||||||||||||||
Beginning of period | 342,783,921 | 448,544,374 | 8,175,911,031 | 13,015,882,180 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 291,689,653 | $ | 342,783,921 | $ | 7,326,603,784 | $ | 8,175,911,031 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income | $ | 3,960,253 | $ | 878,095 | $ | 150,327,190 | $ | 8,828,912 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 51 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
International Large/Mid Cap Equity Fund | Quality Fund | |||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 29,297,157 | $ | 52,557,744 | $ | 77,829,113 | $ | 158,368,071 | ||||||||
Net realized gain (loss) | (60,625,435 | ) | (190,591,148 | ) | 11,973,163 | 663,866,296 | ||||||||||
Change in net unrealized appreciation (depreciation) | 157,538,987 | (247,937,218 | ) | 828,557,872 | (1,095,864,748 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 126,210,709 | (385,970,622 | ) | 918,360,148 | (273,630,381 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class III | (2,425,920 | ) | (15,313,801 | ) | (10,784,897 | ) | (79,292,453 | ) | ||||||||
Class IV | (2,072,250 | ) | (29,419,761 | ) | (2,762,981 | ) | (35,006,780 | ) | ||||||||
Class V | — | — | (1,216,176 | ) | (4,512,211 | ) | ||||||||||
Class VI | (2,119,909 | ) | (8,537,349 | ) | (9,633,181 | ) | (43,526,160 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (6,618,079 | ) | (53,270,911 | ) | (24,397,235 | ) | (162,337,604 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains | ||||||||||||||||
Class III | — | — | (56,342,800 | ) | (566,483,770 | ) | ||||||||||
Class IV | — | — | (14,382,438 | ) | (243,748,776 | ) | ||||||||||
Class V | — | — | (5,541,850 | ) | (29,840,319 | ) | ||||||||||
Class VI | — | — | (42,947,930 | ) | (288,130,004 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | — | — | (119,215,018 | ) | (1,128,202,869 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | (158,310,863 | ) | (2,029,751 | ) | (723,597,035 | ) | (568,842,100 | ) | ||||||||
Class IV | (385,292,967 | ) | (472,949,903 | ) | 53,958,940 | (575,289,746 | ) | |||||||||
Class V | — | — | 152,854,505 | 50,179,833 | ||||||||||||
Class VI | 2,119,909 | 355,695,906 | 1,721,955,950 | (372,760,331 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (541,483,921 | ) | (119,283,748 | ) | 1,205,172,360 | (1,466,712,344 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (421,891,291 | ) | (558,525,281 | ) | 1,979,920,255 | (3,030,883,198 | ) | |||||||||
Net assets: | ||||||||||||||||
Beginning of period | 1,381,178,142 | 1,939,703,423 | 7,271,795,326 | 10,302,678,524 | ||||||||||||
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|
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|
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| |||||||||
End of period | $ | 959,286,851 | $ | 1,381,178,142 | $ | 9,251,715,581 | $ | 7,271,795,326 | ||||||||
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|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income | $ | 24,916,847 | $ | 2,237,769 | $ | 70,084,432 | $ | 16,652,554 | ||||||||
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|
52 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Resources Fund | Risk Premium Fund | |||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 3,010,806 | $ | 6,229,283 | $ | (126,175 | ) | $ | (1,347,990 | ) | ||||||
Net realized gain (loss) | (18,695,420 | ) | (37,815,633 | ) | 22,716,238 | 1,850,460 | ||||||||||
Change in net unrealized appreciation (depreciation) | 54,535,974 | (25,967,335 | ) | (1,073,232 | ) | (3,496,288 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 38,851,360 | (57,553,685 | ) | 21,516,831 | (2,993,818 | ) | ||||||||||
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| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class III | (32,583 | ) | (450,778 | ) | — | — | ||||||||||
Class IV | (634,051 | ) | (5,429,594 | ) | — | — | ||||||||||
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| |||||||||
Total distributions from net investment income | (666,634 | ) | (5,880,372 | ) | — | — | ||||||||||
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| |||||||||
Net realized gains | ||||||||||||||||
Class III | — | — | (3,340 | ) | (385,514 | ) | ||||||||||
Class IV† | — | — | — | (477,401 | ) | |||||||||||
Class VI | — | — | (94,199 | ) | (27,007,381 | ) | ||||||||||
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| |||||||||
Total distributions from net realized gains | — | — | (97,539 | ) | (27,870,296 | ) | ||||||||||
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| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | (1,787,108 | ) | (4,873,918 | ) | 3,339 | 2,420,526 | ||||||||||
Class IV† | (35,425,742 | ) | 109,707,099 | — | (6,512,434 | ) | ||||||||||
Class VI | — | — | (46,005,645 | ) | (179,700,552 | ) | ||||||||||
|
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|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (37,212,850 | ) | 104,833,181 | (46,002,306 | ) | (183,792,460 | ) | |||||||||
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| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class III | 12,375 | 33,787 | 2,285 | 14,035 | ||||||||||||
Class IV† | 137,963 | 308,729 | — | 16,478 | ||||||||||||
Class VI | — | — | 66,897 | 897,087 | ||||||||||||
|
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|
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| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | 150,338 | 342,516 | 69,182 | 927,600 | ||||||||||||
|
|
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|
|
|
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| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (37,062,512 | ) | — | (45,933,124 | ) | (182,864,860 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 1,122,214 | 41,741,640 | (24,513,832 | ) | (213,728,974 | ) | ||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 184,783,865 | 143,042,225 | 230,661,307 | 444,390,281 | ||||||||||||
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| |||||||||
End of period | $ | 185,906,079 | $ | 184,783,865 | $ | 206,147,475 | $ | 230,661,307 | ||||||||
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| |||||||||
Accumulated undistributed net investment income | $ | 2,667,908 | $ | 323,736 | $ | — | $ | — | ||||||||
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| |||||||||
Distributions in excess of net investment income | $ | — | $ | — | $ | (226,847 | ) | $ | (100,672 | ) | ||||||
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|
See accompanying notes to the financial statements. | 53 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Tax-Managed International Equities Fund | U.S. Equity Allocation Fund | |||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 3,954,605 | $ | 9,430,122 | $ | 36,524,833 | $ | 90,905,365 | ||||||||
Net realized gain (loss) | 6,424,988 | (30,155,203 | ) | 232,548,166 | 399,793,966 | |||||||||||
Change in net unrealized appreciation (depreciation) | 8,401,206 | (57,099,819 | ) | 177,799,828 | (850,530,072 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 18,780,799 | (77,824,900 | ) | 446,872,827 | (359,830,741 | ) | ||||||||||
|
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|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class III | (558,588 | ) | (10,648,298 | ) | (2,041,519 | ) | (2,736,725 | ) | ||||||||
Class IV | — | — | (3,164,103 | ) | (6,908,903 | ) | ||||||||||
Class VI | — | — | (34,812,551 | ) | (77,939,183 | ) | ||||||||||
|
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|
|
|
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| |||||||||
Total distributions from net investment income | (558,588 | ) | (10,648,298 | ) | (40,018,173 | ) | (87,584,811 | ) | ||||||||
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|
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| |||||||||
Net realized gains | ||||||||||||||||
Class III | — | — | (1,813,167 | ) | (18,059,938 | ) | ||||||||||
Class IV | — | — | (2,803,368 | ) | (40,178,877 | ) | ||||||||||
Class VI | — | — | (30,024,284 | ) | (471,741,711 | ) | ||||||||||
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|
|
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| |||||||||
Total distributions from net realized gains | — | — | (34,640,819 | ) | (529,980,526 | ) | ||||||||||
|
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|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | (81,958,687 | ) | (122,597,127 | ) | (65,896,655 | ) | (59,318,618 | ) | ||||||||
Class IV | — | — | (518,986,281 | ) | 154,174,391 | |||||||||||
Class V | — | — | 148,613,808 | — | ||||||||||||
Class VI | — | — | (2,300,740,997 | ) | (1,320,602,585 | ) | ||||||||||
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|
|
|
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| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (81,958,687 | ) | (122,597,127 | ) | (2,737,010,125 | ) | (1,225,746,812 | ) | ||||||||
|
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|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (63,736,476 | ) | (211,070,325 | ) | (2,364,796,290 | ) | (2,203,142,890 | ) | ||||||||
Net assets: | ||||||||||||||||
Beginning of period | 215,977,383 | 427,047,708 | 4,546,993,567 | 6,750,136,457 | ||||||||||||
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| |||||||||
End of period | $ | 152,240,907 | $ | 215,977,383 | $ | 2,182,197,277 | $ | 4,546,993,567 | ||||||||
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| |||||||||
Accumulated undistributed net investment income | $ | 3,216,865 | $ | — | $ | 8,469,757 | $ | 11,963,097 | ||||||||
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| |||||||||
Distributions in excess of net investment income | $ | — | $ | (179,152 | ) | $ | — | $ | — | |||||||
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54 | See accompanying notes to the financial statements. |
GMO Trust Funds
(For a share outstanding throughout each period)
DEVELOPED WORLD STOCK FUND
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.01 | $ | 24.93 | $ | 24.28 | $ | 19.41 | $ | 18.35 | $ | 19.24 | $ | 20.02 | $ | 24.94 | $ | 24.30 | $ | 19.42 | $ | 18.36 | $ | 19.26 | ||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)†(a) | 0.33 | 0.49 | 0.52 | 0.51 | 0.44 | 0.43 | 0.32 | 0.48 | 0.53 | 0.52 | 0.44 | 0.44 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.80 | (3.96 | ) | 0.80 | 4.75 | 1.12 | (0.78 | )(b) | 1.81 | (3.93 | ) | 0.80 | 4.76 | 1.13 | (0.79 | )(b) | ||||||||||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||
Total from investment operations | 2.13 | (3.47 | ) | 1.32 | 5.26 | 1.56 | (0.35 | ) | 2.13 | (3.45 | ) | 1.33 | 5.28 | 1.57 | (0.35 | ) | ||||||||||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.11 | ) | (0.55 | ) | (0.67 | ) | (0.39 | ) | (0.50 | ) | (0.54 | ) | (0.14 | ) | (0.57 | ) | (0.69 | ) | (0.40 | ) | (0.51 | ) | (0.55 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | — | (0.90 | ) | — | — | — | — | — | (0.90 | ) | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||
Total distributions | (0.11 | ) | (1.45 | ) | (0.67 | ) | (0.39 | ) | (0.50 | ) | (0.54 | ) | (0.14 | ) | (1.47 | ) | (0.69 | ) | (0.40 | ) | (0.51 | ) | (0.55 | ) | ||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 22.03 | $ | 20.01 | $ | 24.93 | $ | 24.28 | $ | 19.41 | $ | 18.35 | $ | 22.01 | $ | 20.02 | $ | 24.94 | $ | 24.30 | $ | 19.42 | $ | 18.36 | ||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||
Total Return(c) | 10.67 | %** | (14.43 | )% | 5.60 | % | 27.29 | % | 8.68 | % | (1.64 | )% | 10.65 | %** | (14.36 | )% | 5.61 | % | 27.39 | % | 8.74 | % | (1.61 | )% | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 17,283 | $ | 94,769 | $ | 158,907 | $ | 170,532 | $ | 145,072 | $ | 147,629 | $ | 274,407 | $ | 248,015 | $ | 289,637 | $ | 274,238 | $ | 215,262 | $ | 197,989 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets(d) | 0.60 | %* | 0.61 | % | 0.60 | % | 0.61 | % | 0.60 | % | 0.60 | %(e) | 0.54 | %* | 0.56 | % | 0.55 | % | 0.56 | % | 0.55 | % | 0.55 | %(e) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 3.10 | %* | 2.09 | % | 2.13 | % | 2.31 | % | 2.38 | % | 2.40 | % | 2.93 | %* | 2.08 | % | 2.16 | % | 2.37 | % | 2.40 | % | 2.42 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 60 | %**(f) | 99 | %(g) | 75 | % | 64 | % | 50 | % | 56 | % | 60 | %**(f) | 99 | %(g) | 75 | % | 64 | % | 50 | % | 56 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.17 | %*(i) | 0.15 | % | 0.14 | % | 0.10 | % | 0.11 | % | 0.11 | % | 0.21 | %*(i) | 0.15 | % | 0.14 | % | 0.10 | % | 0.11 | % | 0.11 | % | ||||||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.01 | $ | 0.01 | $ | 0.00 | (h) | $ | 0.00 | (h) | $ | 0.01 | $ | 0.01 | $ | 0.02 | $ | 0.01 | $ | 0.00 | (h) | $ | 0.00 | (h) | $ | 0.00 | (h) | $ | 0.00 | (h) |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 74% of the average value of its portfolio. |
(g) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 79% of the average value of its portfolio. |
(h) | Purchase premiums and redemption fees were less than $0.01 per share. |
(i) | Ratios include indirect fees waived or borne by GMO. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 55 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
INTERNATIONAL EQUITY FUND
Class II Shares | Class III Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 18.17 | $ | 23.43 | $ | 26.16 | $ | 20.94 | $ | 20.18 | $ | 23.07 | $ | 18.38 | $ | 23.70 | $ | 26.44 | $ | 21.16 | $ | 20.39 | $ | 23.31 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)†(a) | 0.44 | 0.57 | 0.66 | 0.80 | 0.56 | 0.63 | 0.42 | 0.59 | 0.69 | 0.86 | 0.56 | 0.65 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.26 | (5.19 | ) | (1.42 | ) | 4.88 | 0.85 | (2.83 | )(b) | 1.31 | (5.25 | ) | (1.45 | ) | 4.90 | 0.88 | (2.86 | )(b) | ||||||||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||
Total from investment operations | 1.70 | (4.62 | ) | (0.76 | ) | 5.68 | 1.41 | (2.20 | ) | 1.73 | (4.66 | ) | (0.76 | ) | 5.76 | 1.44 | (2.21 | ) | ||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.07 | ) | (0.64 | ) | (1.07 | ) | (0.46 | ) | (0.65 | ) | (0.69 | ) | (0.08 | ) | (0.66 | ) | (1.08 | ) | (0.48 | ) | (0.67 | ) | (0.71 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | — | — | (0.90 | ) | — | — | — | — | — | (0.90 | ) | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||
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Total distributions | (0.07 | ) | (0.64 | ) | (1.97 | ) | (0.46 | ) | (0.65 | ) | (0.69 | ) | (0.08 | ) | (0.66 | ) | (1.98 | ) | (0.48 | ) | (0.67 | ) | (0.71 | ) | ||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 19.80 | $ | 18.17 | $ | 23.43 | $ | 26.16 | $ | 20.94 | $ | 20.18 | $ | 20.03 | $ | 18.38 | $ | 23.70 | $ | 26.44 | $ | 21.16 | $ | 20.39 | ||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||
Total Return(c) | 9.36 | %** | (19.99 | )% | (2.55 | )% | 27.41 | % | 7.23 | % | (9.51 | )% | 9.44 | %** | (19.95 | )% | (2.50 | )% | 27.53 | % | 7.30 | % | (9.47 | )% | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 56,062 | $ | 81,206 | $ | 118,737 | $ | 139,401 | $ | 169,056 | $ | 292,379 | $ | 782,754 | $ | 1,043,305 | $ | 1,523,128 | $ | 1,555,509 | $ | 1,540,203 | $ | 1,812,184 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets(d) | 0.72 | %* | 0.72 | % | 0.72 | % | 0.72 | %(e) | 0.72 | %(e) | 0.72 | %(e) | 0.65 | %* | 0.65 | % | 0.65 | % | 0.65 | %(e) | 0.65 | %(e) | 0.65 | %(e) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 4.50 | %* | 2.65 | % | 2.63 | % | 3.47 | % | 2.87 | % | 3.04 | % | 4.23 | %* | 2.70 | % | 2.73 | % | 3.62 | % | 2.82 | % | 3.09 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 17 | %**(f) | 75 | %(g) | 70 | % | 48 | % | 40 | % | 37 | % | 17 | %**(f) | 75 | %(g) | 70 | % | 48 | % | 40 | % | 37 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04 | %* | 0.04 | % | 0.04 | % | 0.04 | % | 0.04 | % | 0.05 | % | 0.04 | %* | 0.04 | % | 0.04 | % | 0.04 | % | 0.04 | % | 0.05 | % |
Class IV Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 18.36 | $ | 23.66 | $ | 26.41 | $ | 21.14 | $ | 20.37 | $ | 23.30 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)†(a) | 0.43 | 0.62 | 0.67 | 0.89 | 0.54 | 0.62 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.30 | (5.25 | ) | (1.42 | ) | 4.88 | 0.91 | (2.83 | )(b) | |||||||||||||||||||||
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Total from investment operations | 1.73 | (4.63 | ) | (0.75 | ) | 5.77 | 1.45 | (2.21 | ) | |||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.09 | ) | (0.67 | ) | (1.10 | ) | (0.50 | ) | (0.68 | ) | (0.72 | ) | ||||||||||||||||||
From net realized gains | — | — | (0.90 | ) | — | — | — | |||||||||||||||||||||||
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Total distributions | (0.09 | ) | (0.67 | ) | (2.00 | ) | (0.50 | ) | (0.68 | ) | (0.72 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 20.00 | $ | 18.36 | $ | 23.66 | $ | 26.41 | $ | 21.14 | $ | 20.37 | ||||||||||||||||||
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Total Return(c) | 9.43 | %** | (19.85 | )% | (2.47 | )% | 27.60 | % | 7.39 | % | (9.43 | )% | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 6,487,787 | $ | 7,051,400 | $ | 11,374,017 | $ | 11,926,293 | $ | 7,366,819 | $ | 5,047,058 | ||||||||||||||||||
Net expenses to average daily net assets(d) | 0.59 | %* | 0.59 | % | 0.59 | % | 0.59 | %(e) | 0.59 | %(e) | 0.59 | %(e) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 4.30 | %* | 2.80 | % | 2.66 | % | 3.74 | % | 2.70 | % | 3.00 | % | ||||||||||||||||||
Portfolio turnover rate | 17 | %**(f) | 75 | %(g) | 70 | % | 48 | % | 40 | % | 37 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04 | %* | 0.04 | % | 0.04 | % | 0.04 | % | 0.04 | % | 0.05 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 29% of the average value of its portfolio. |
(g) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 59% of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
56 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
INTERNATIONAL LARGE/MID CAP EQUITY FUND
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.46 | $ | 30.16 | $ | 35.20 | $ | 28.96 | $ | 27.50 | $ | 30.77 | $ | 23.44 | $ | 30.14 | $ | 35.18 | $ | 28.94 | $ | 27.48 | $ | 30.75 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)†(a) | 0.57 | 0.81 | 0.92 | 1.18 | 0.77 | 0.87 | 0.66 | 0.87 | 0.96 | 1.17 | 0.80 | 0.90 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.64 | (6.71 | ) | (2.19 | ) | 6.56 | 1.62 | (3.15 | ) | 1.57 | (6.75 | ) | (2.21 | ) | 6.60 | 1.60 | (3.17 | ) | ||||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 2.21 | (5.90 | ) | (1.27 | ) | 7.74 | 2.39 | (2.28 | ) | 2.23 | (5.88 | ) | (1.25 | ) | 7.77 | 2.40 | (2.27 | ) | ||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.16 | ) | (0.80 | ) | (1.46 | ) | (1.50 | ) | (0.93 | ) | (0.99 | ) | (0.16 | ) | (0.82 | ) | (1.48 | ) | �� | (1.53 | ) | (0.94 | ) | (1.00 | ) | |||||||||||||||||||||||||||||||||||
From net realized gains | — | — | (2.31 | ) | — | — | — | — | — | (2.31 | ) | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||
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Total distributions | (0.16 | ) | (0.80 | ) | (3.77 | ) | (1.50 | ) | (0.93 | ) | (0.99 | ) | (0.16 | ) | (0.82 | ) | (3.79 | ) | (1.53 | ) | (0.94 | ) | (1.00 | ) | ||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 25.51 | $ | 23.46 | $ | 30.16 | $ | 35.20 | $ | 28.96 | $ | 27.50 | $ | 25.51 | $ | 23.44 | $ | 30.14 | $ | 35.18 | $ | 28.94 | $ | 27.48 | ||||||||||||||||||||||||||||||||||||
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Total Return(b) | 9.46 | %** | (19.82 | )% | (3.33 | )% | 27.30 | % | 8.93 | % | (7.25 | )% | 9.55 | %** | (19.78 | )% | (3.28 | )% | 27.40 | % | 9.00 | % | (7.19 | )% | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 338,220 | $ | 459,614 | $ | 592,365 | $ | 598,840 | $ | 621,870 | $ | 885,023 | $ | 314,546 | $ | 641,750 | $ | 1,346,483 | $ | 1,262,615 | $ | 1,394,919 | $ | 1,078,912 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets(c) | 0.54 | %* | 0.53 | % | 0.53 | % | 0.53 | %(d) | 0.53 | %(d) | 0.53 | %(d) | 0.48 | %* | 0.47 | % | 0.47 | % | 0.47 | %(d) | 0.47 | %(d) | 0.47 | %(d) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 4.54 | %* | 2.90 | % | 2.80 | % | 3.70 | % | 2.87 | % | 3.10 | % | 5.22 | %* | 3.08 | % | 2.91 | % | 3.69 | % | 2.93 | % | 3.18 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 17 | %**(a)(e) | 88 | %(f) | 82 | % | 54 | % | 47 | % | 34 | % | 17 | %**(a)(e) | 88 | %(f) | 82 | % | 54 | % | 47 | % | 34 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.08 | %* | 0.06 | % | 0.07 | % | 0.06 | % | 0.05 | % | 0.04 | % | 0.08 | %* | 0.06 | % | 0.07 | % | 0.06 | % | 0.05 | % | 0.05 | % |
Class VI Shares | ||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 23.44 | $ | 30.11 | $ | 35.15 | $ | 28.91 | $ | 27.46 | $ | 30.72 | ||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)†(a) | 0.53 | 0.46 | 0.94 | 1.58 | 0.79 | 0.92 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 1.71 | (6.34 | ) | (2.17 | ) | 6.17 | 1.61 | (3.17 | ) | |||||||||||||||
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Total from investment operations | 2.24 | (5.88 | ) | (1.23 | ) | 7.75 | 2.40 | (2.25 | ) | |||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||
From net investment income | (0.18 | ) | (0.79 | ) | (1.50 | ) | (1.51 | ) | (0.95 | ) | (1.01 | ) | ||||||||||||
From net realized gains | — | — | (2.31 | ) | — | — | — | |||||||||||||||||
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Total distributions | (0.18 | ) | (0.79 | ) | (3.81 | ) | (1.51 | ) | (0.95 | ) | (1.01 | ) | ||||||||||||
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Net asset value, end of period | $ | 25.50 | $ | 23.44 | $ | 30.11 | $ | 35.15 | $ | 28.91 | $ | 27.46 | ||||||||||||
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Total Return(b) | 9.57 | %** | (19.76 | )% | (3.24 | )% | 27.39 | % | 9.01 | % | (7.13 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 306,521 | $ | 279,814 | $ | 855 | $ | 319,285 | $ | 2,481,773 | $ | 2,247,969 | ||||||||||||
Net expenses to average daily net assets(c) | 0.44 | %* | 0.44 | % | 0.44 | % | 0.44 | %(d) | 0.44 | %(d) | 0.44 | %(d) | ||||||||||||
Net investment income (loss) to average daily net assets(a) | 4.19 | %* | 1.76 | % | 2.89 | % | 5.24 | % | 2.89 | % | 3.25 | % | ||||||||||||
Portfolio turnover rate | 17 | %**(a)(e) | 88 | %(f) | 82 | % | 54 | % | 47 | % | 34 | % | ||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.08 | %* | 0.06 | % | 0.07 | % | 0.05 | % | 0.05 | % | 0.05 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(e) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 29% of the average value of its portfolio. |
(f) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 70% of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 57 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
QUALITY FUND
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 18.99 | $ | 22.98 | $ | 25.08 | $ | 23.81 | $ | 23.41 | $ | 20.81 | $ | 19.01 | $ | 23.01 | $ | 25.10 | $ | 23.83 | $ | 23.42 | $ | 20.83 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)†(a) | 0.19 | 0.38 | 0.42 | 0.51 | 0.47 | 0.43 | 0.21 | 0.39 | 0.43 | 0.53 | 0.49 | 0.44 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 2.19 | (1.04 | ) | 2.91 | 3.70 | 2.24 | 2.58 | 2.18 | (1.05 | ) | 2.92 | 3.70 | 2.24 | 2.57 | ||||||||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 2.38 | (0.66 | ) | 3.33 | 4.21 | 2.71 | 3.01 | 2.39 | (0.66 | ) | 3.35 | 4.23 | 2.73 | 3.01 | ||||||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.06 | ) | (0.42 | ) | (0.49 | ) | (0.53 | ) | (0.51 | ) | (0.41 | ) | (0.06 | ) | (0.43 | ) | (0.50 | ) | (0.55 | ) | (0.52 | ) | (0.42 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | (0.29 | ) | (2.91 | ) | (4.94 | ) | (2.41 | ) | (1.80 | ) | — | (0.29 | ) | (2.91 | ) | (4.94 | ) | (2.41 | ) | (1.80 | ) | — | ||||||||||||||||||||||||||||||||||||||
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Total distributions | (0.35 | ) | (3.33 | ) | (5.43 | ) | (2.94 | ) | (2.31 | ) | (0.41 | ) | (0.35 | ) | (3.34 | ) | (5.44 | ) | (2.96 | ) | (2.32 | ) | (0.42 | ) | ||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 21.02 | $ | 18.99 | $ | 22.98 | $ | 25.08 | $ | 23.81 | $ | 23.41 | $ | 21.05 | $ | 19.01 | $ | 23.01 | $ | 25.10 | $ | 23.83 | $ | 23.42 | ||||||||||||||||||||||||||||||||||||
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Total Return(b) | 12.54 | %** | (2.89 | )% | 14.73 | % | 18.38 | % | 12.39 | % | 14.71 | % | 12.58 | %** | (2.88 | )% | 14.81 | % | 18.43 | % | 12.47 | % | 14.70 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 3,658,868 | $ | 3,968,156 | $ | 5,336,063 | $ | 5,747,512 | $ | 6,682,281 | $ | 6,539,510 | $ | 1,474,820 | $ | 1,294,033 | $ | 2,201,876 | $ | 2,134,444 | $ | 2,079,055 | $ | 2,035,597 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets(c) | 0.48 | %* | 0.48 | % | 0.48 | % | 0.48 | %(d) | 0.48 | %(d) | 0.48 | %(d) | 0.44 | %* | 0.44 | % | 0.44 | % | 0.44 | %(d) | 0.44 | %(d) | 0.44 | %(d) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.89 | %* | 1.79 | % | 1.71 | % | 2.04 | % | 2.02 | % | 2.01 | % | 2.01 | %* | 1.83 | % | 1.77 | % | 2.07 | % | 2.09 | % | 2.04 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 7 | %**(e) | 37 | %(f) | 60 | % | 48 | % | 34 | % | 40 | % | 7 | %**(e) | 37 | %(f) | 60 | % | 48 | % | 34 | % | 40 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.02 | %* | 0.02 | % | 0.02 | % | 0.01 | % | 0.02 | % | 0.02 | % | 0.02 | %* | 0.02 | % | 0.02 | % | 0.01 | % | 0.02 | % | 0.02 | % | ||||||||||||||||||||||||||||||||||||
Class V Shares | Class VI Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.01 | $ | 23.01 | $ | 25.10 | $ | 23.82 | $ | 23.42 | $ | 20.82 | $ | 18.99 | $ | 22.99 | $ | 25.09 | $ | 23.82 | $ | 23.41 | $ | 20.82 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)†(a) | 0.20 | 0.39 | 0.44 | 0.56 | 0.48 | 0.44 | 0.20 | 0.40 | 0.45 | 0.54 | 0.49 | 0.45 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 2.19 | (1.05 | ) | 2.92 | 3.68 | 2.25 | 2.58 | 2.19 | (1.04 | ) | 2.90 | 3.70 | 2.25 | 2.57 | ||||||||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 2.39 | (0.66 | ) | 3.36 | 4.24 | 2.73 | 3.02 | 2.39 | (0.64 | ) | 3.35 | 4.24 | 2.74 | 3.02 | ||||||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.06 | ) | (0.43 | ) | (0.51 | ) | (0.55 | ) | (0.53 | ) | (0.42 | ) | (0.06 | ) | (0.45 | ) | (0.51 | ) | (0.56 | ) | (0.53 | ) | (0.43 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | (0.29 | ) | (2.91 | ) | (4.94 | ) | (2.41 | ) | (1.80 | ) | — | (0.29 | ) | (2.91 | ) | (4.94 | ) | (2.41 | ) | (1.80 | ) | — | ||||||||||||||||||||||||||||||||||||||
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Total distributions | (0.35 | ) | (3.34 | ) | (5.45 | ) | (2.96 | ) | (2.33 | ) | (0.42 | ) | (0.35 | ) | (3.36 | ) | (5.45 | ) | (2.97 | ) | (2.33 | ) | (0.43 | ) | ||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 21.05 | $ | 19.01 | $ | 23.01 | $ | 25.10 | $ | 23.82 | $ | 23.42 | $ | 21.03 | $ | 18.99 | $ | 22.99 | $ | 25.09 | $ | 23.82 | $ | 23.41 | ||||||||||||||||||||||||||||||||||||
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Total Return(b) | 12.62 | %** | (2.89 | )% | 14.86 | % | 18.49 | % | 12.45 | % | 14.74 | % | 12.64 | %** | (2.83 | )% | 14.83 | % | 18.50 | % | 12.53 | % | 14.76 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 460,488 | $ | 277,186 | $ | 267,809 | $ | 653,307 | $ | 455,097 | $ | 578,367 | $ | 3,657,538 | $ | 1,732,420 | $ | 2,496,930 | $ | 3,675,950 | $ | 4,140,416 | $ | 9,816,202 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets(c) | 0.42 | %* | 0.42 | % | 0.42 | % | 0.42 | %(d) | 0.41 | %(d) | 0.42 | %(d) | 0.39 | %* | 0.39 | % | 0.39 | % | 0.39 | %(d) | 0.38 | %(d) | 0.39 | %(d) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.93 | %* | 1.85 | % | 1.81 | % | 2.22 | % | 2.05 | % | 2.08 | % | 1.94 | %* | 1.88 | % | 1.83 | % | 2.13 | % | 2.10 | % | 2.09 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 7 | %**(e) | 37 | %(f) | 60 | % | 48 | % | 34 | % | 40 | % | 7 | %**(e) | 37 | %(f) | 60 | % | 48 | % | 34 | % | 40 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.02 | %* | 0.02 | % | 0.02 | % | 0.01 | % | 0.02 | % | 0.02 | % | 0.02 | %* | 0.02 | % | 0.02 | % | 0.01 | % | 0.02 | % | 0.02 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(e) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 15% of the average value of its portfolio. |
(f) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 17% of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
58 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
RESOURCES FUND
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012(a) | 2016 | 2015 | 2014(b) | |||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.74 | $ | 16.33 | $ | 21.88 | $ | 21.59 | $ | 22.96 | $ | 20.00 | $ | 11.71 | $ | 16.28 | $ | 21.86 | $ | 21.40 | ||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)†(c) | 0.21 | 0.47 | 0.87 | 0.51 | 0.32 | 0.03 | 0.23 | 0.46 | 0.75 | 0.45 | ||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 2.57 | (4.67 | ) | (3.77 | ) | 0.45 | (1.25 | )(d) | 2.93 | 2.54 | (4.63 | ) | (3.65 | ) | 0.70 | |||||||||||||||||||||||||||||||||||
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Total from investment operations | 2.78 | (4.20 | ) | (2.90 | ) | 0.96 | (0.93 | ) | 2.96 | 2.77 | (4.17 | ) | (2.90 | ) | 1.15 | |||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.05 | ) | (0.39 | ) | (1.03 | ) | (0.40 | ) | (0.20 | ) | — | (0.05 | ) | (0.40 | ) | (1.06 | ) | (0.42 | ) | |||||||||||||||||||||||||||||||
From net realized gains | — | — | (1.62 | ) | (0.27 | ) | (0.24 | ) | — | — | — | (1.62 | ) | (0.27 | ) | |||||||||||||||||||||||||||||||||||
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Total distributions | (0.05 | ) | (0.39 | ) | (2.65 | ) | (0.67 | ) | (0.44 | ) | — | (0.05 | ) | (0.40 | ) | (2.68 | ) | (0.69 | ) | |||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 14.47 | $ | 11.74 | $ | 16.33 | $ | 21.88 | $ | 21.59 | $ | 22.96 | $ | 14.43 | $ | 11.71 | $ | 16.28 | $ | 21.86 | ||||||||||||||||||||||||||||||
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Total Return(e) | 23.65 | %** | (25.76 | )% | (12.81 | )% | 4.54 | % | (4.00 | )% | 14.80 | %** | 23.69 | %** | (25.68 | )% | (12.82 | )% | 5.48 | %** | ||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 15,074 | $ | 13,864 | $ | 23,734 | $ | 81,646 | $ | 104,241 | $ | 8,101 | $ | 170,832 | $ | 170,919 | $ | 119,308 | $ | 138,358 | ||||||||||||||||||||||||||||||
Net expenses to average daily net assets | 0.77 | %*(f) | 0.77 | %(f) | 0.76 | %(f) | 0.75 | %(f)(g) | 0.77 | %(f) | 0.75 | %* | 0.72 | %*(f) | 0.72 | %(f) | 0.71 | %(f) | 0.70 | %*(f)(g) | ||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(c) | 3.08 | % | 3.36 | % | 4.01 | % | 2.36 | % | 1.48 | % | 0.78 | %* | 3.36 | %* | 3.31 | % | 3.58 | % | 2.23 | %* | ||||||||||||||||||||||||||||||
Portfolio turnover rate | 23 | %**(h) | 130 | %(i) | 126 | % | 40 | % | 51 | % | 15 | %** | 23 | %**(h) | 130 | %(i) | 126 | % | 40 | % | ||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.09 | %* | 0.10 | % | 0.08 | % | 0.10 | % | 0.73 | % | 7.69 | %* | 0.09 | %* | 0.11 | % | 0.09 | % | 0.11 | %* | ||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.01 | $ | 0.03 | $ | 0.07 | $ | 0.06 | $ | 0.22 | $ | 0.06 | $ | 0.01 | $ | 0.02 | $ | 0.03 | $ | 0.03 |
(a) | Period from December 28, 2011 (commencement of operations) through February 29, 2012. |
(b) | Period from March 20, 2013 (commencement of operations) through February 28, 2014. |
(c) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(d) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. |
(e) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(f) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(g) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(h) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 30% of the average value of its portfolio. |
(i) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 92% of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 59 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
RISK PREMIUM FUND
Class III Shares | Class VI Shares | |||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited)(c) | Year Ended February 28/29, | Six Months Ended August 31, 2016 (Unaudited)(c) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||
2016(c) | 2015(c) | 2014(c) | 2013(a)(c) | 2016(c) | 2015(c) | 2014(c) | 2013(b)(c) | |||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 26.91 | $ | 29.73 | $ | 31.74 | $ | 31.59 | $ | 30.81 | $ | 27.00 | $ | 29.82 | $ | 31.80 | $ | 31.59 | $ | 30.00 | ||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)†(d) | (0.03 | ) | (0.12 | ) | (0.18 | ) | (0.18 | ) | (0.03 | ) | (0.02 | ) | (0.12 | ) | (0.15 | ) | (0.15 | ) | (0.03 | ) | ||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 2.80 | (0.30 | ) | 1.02 | 2.13 | 0.81 | 2.82 | (0.30 | ) | 1.02 | 2.16 | 1.62 | ||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 2.77 | (0.42 | ) | 0.84 | 1.95 | 0.78 | 2.80 | (0.42 | ) | 0.87 | 2.01 | 1.59 | ||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||
From net realized gains | (0.01 | ) | (2.40 | ) | (2.85 | ) | (1.80 | ) | — | (0.01 | ) | (2.40 | ) | (2.85 | ) | (1.80 | ) | — | ||||||||||||||||||||||||||||||||
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Total distributions | — | (2.40 | ) | (2.85 | ) | (1.80 | ) | — | — | (2.40 | ) | (2.85 | ) | (1.80 | ) | — | ||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 29.67 | $ | 26.91 | $ | 29.73 | $ | 31.74 | $ | 31.59 | $ | 29.79 | $ | 27.00 | $ | 29.82 | $ | 31.80 | $ | 31.59 | ||||||||||||||||||||||||||||||
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Total Return(f) | 10.31 | %** | (1.66 | )% | 3.19 | % | 6.42 | % | 2.53 | %** | 10.38 | %** | (1.65 | )% | 3.29 | % | 6.61 | % | 5.30 | %** | ||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 7,512 | $ | 6,807 | $ | 4,832 | $ | 7,489 | $ | 6,793 | $ | 198,636 | $ | 223,854 | $ | 432,465 | $ | 730,196 | $ | 616,464 | ||||||||||||||||||||||||||||||
Net expenses to average daily net assets | 0.60 | %* | 0.60 | % | 0.61 | %(g) | 0.60 | %(g)(h) | 0.60 | %*(g)(h) | 0.51 | %* | 0.51 | % | 0.51 | %(g) | 0.51 | %(g)(h) | 0.51 | %*(g)(h) | ||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(d) | (0.21 | )%* | (0.45 | )% | (0.58 | )% | (0.57 | )% | (0.56 | )%* | (0.11 | )%* | (0.37 | )% | (0.49 | )% | (0.48 | )% | (0.46 | )%* | ||||||||||||||||||||||||||||||
Portfolio turnover rate | 0 | %** | 0 | % | 112 | % | 0 | % | 0 | %** | 0 | %** | 0 | % | 112 | % | 0 | % | 0 | %** | ||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.06 | %* | 0.05 | % | 0.04 | % | 0.05 | % | 0.08 | %* | 0.06 | %* | 0.05 | % | 0.03 | % | 0.05 | % | 0.10 | %* | ||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.01 | (c) | $ | 0.08 | (c) | $ | 0.14 | (c) | $ | 0.01 | (c) | $ | 0.02 | (c) | $ | 0.01 | (c) | $ | 0.07 | (c) | $ | 0.13 | (c) | $ | 0.01 | (c) | $ | 0.06 | (c) |
(a) | Period from December 14, 2012 (commencement of operations) through February 28, 2013. |
(b) | Period from November 15, 2012 (commencement of operations) through February 28, 2013. |
(c) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(d) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(e) | Rounds to less than $0.01. |
(f) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(g) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(h) | The net expense ratio does not include the effect of expense reductions (Note 2). |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
60 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
TAX-MANAGED INTERNATIONAL EQUITIES FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.92 | $ | 16.80 | $ | 18.03 | $ | 14.56 | $ | 13.80 | $ | 15.41 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)†(a) | 0.27 | 0.40 | 0.47 | 0.57 | 0.39 | 0.43 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.95 | (3.82 | ) | (1.05 | ) | 3.37 | 0.83 | (1.59 | ) | |||||||||||||||||||||
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Total from investment operations | 1.22 | (3.42 | ) | (0.58 | ) | 3.94 | 1.22 | (1.16 | ) | |||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.04 | ) | (0.46 | ) | (0.65 | ) | (0.47 | ) | (0.46 | ) | (0.45 | ) | ||||||||||||||||||
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Total distributions | (0.04 | ) | (0.46 | ) | (0.65 | ) | (0.47 | ) | (0.46 | ) | (0.45 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 14.10 | $ | 12.92 | $ | 16.80 | $ | 18.03 | $ | 14.56 | $ | 13.80 | ||||||||||||||||||
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Total Return(b) | 9.47 | %** | (20.63 | )% | (3.10 | )% | 27.37 | % | 8.99 | % | (7.35 | )% | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 152,241 | $ | 215,977 | $ | 427,048 | $ | 485,665 | $ | 479,005 | $ | 505,282 | ||||||||||||||||||
Net expenses to average daily net assets(c) | 0.66 | %* | 0.66 | % | 0.66 | % | 0.66 | % | 0.67 | %(d) | 0.65 | %(d) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 3.83 | %* | 2.59 | % | 2.71 | % | 3.54 | % | 2.83 | % | 3.02 | % | ||||||||||||||||||
Portfolio turnover rate | 30 | %**(e) | 79 | %(f) | 69 | % | 49 | % | 54 | % | 48 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.19 | %* | 0.14 | % | 0.12 | % | 0.10 | % | 0.12 | % | 0.11 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(e) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 33% of the average value of its portfolio. |
(f) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 55% of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 61 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
U.S. EQUITY ALLOCATION FUND
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.79 | $ | 16.61 | $ | 17.27 | $ | 14.51 | $ | 13.06 | $ | 12.00 | $ | 13.76 | $ | 16.58 | $ | 17.24 | $ | 14.48 | $ | 13.04 | $ | 11.98 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)†(a) | 0.14 | 0.24 | 0.28 | 0.28 | 0.26 | 0.22 | 0.13 | 0.25 | 0.29 | 0.29 | 0.27 | 0.22 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.48 | (1.20 | ) | 1.66 | 2.77 | 1.47 | 1.08 | 1.50 | (1.20 | ) | 1.66 | 2.77 | 1.46 | 1.08 | ||||||||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 1.62 | (0.96 | ) | 1.94 | 3.05 | 1.73 | 1.30 | 1.63 | (0.95 | ) | 1.95 | 3.06 | 1.73 | 1.30 | ||||||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.16 | ) | (0.26 | ) | (0.31 | ) | (0.29 | ) | (0.28 | ) | (0.24 | ) | (0.16 | ) | (0.27 | ) | (0.32 | ) | (0.30 | ) | (0.29 | ) | (0.24 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | (0.15 | ) | (1.60 | ) | (2.29 | ) | — | — | — | (0.15 | ) | (1.60 | ) | (2.29 | ) | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
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Total distributions | (0.31 | ) | (1.86 | ) | (2.60 | ) | (0.29 | ) | (0.28 | ) | (0.24 | ) | (0.31 | ) | (1.87 | ) | (2.61 | ) | (0.30 | ) | (0.29 | ) | (0.24 | ) | ||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 15.10 | $ | 13.79 | $ | 16.61 | $ | 17.27 | $ | 14.51 | $ | 13.06 | $ | 15.08 | $ | 13.76 | $ | 16.58 | $ | 17.24 | $ | 14.48 | $ | 13.04 | ||||||||||||||||||||||||||||||||||||
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Total Return(c) | 11.84 | %** | (6.17 | )% | 12.18 | % | 21.11 | % | 13.40 | % | 11.00 | % | 11.95 | %** | (6.10 | )% | 12.27 | % | 21.21 | % | 13.40 | % | 11.05 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 145,938 | $ | 194,615 | $ | 286,934 | $ | 488,982 | $ | 188,363 | $ | 259,751 | $ | 32,484 | $ | 513,751 | $ | 431,841 | $ | 288,782 | $ | 44,849 | $ | 52,486 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets(e) | 0.46 | %* | 0.46 | % | 0.46 | % | 0.46 | %(d) | 0.46 | %(d) | 0.46 | %(d) | 0.41 | %* | 0.41 | % | 0.41 | % | 0.41 | %(d) | 0.41 | %(d) | 0.41 | %(d) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.84 | %* | 1.57 | % | 1.59 | % | 1.71 | % | 1.95 | % | 1.82 | % | 1.73 | %* | 1.65 | % | 1.63 | % | 1.75 | % | 2.01 | % | 1.88 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 37 | %**(f) | 89 | %(g) | 67 | % | 74 | % | 79 | % | 61 | % | 37 | %**(f) | 89 | %(g) | 67 | % | 74 | % | 79 | % | 61 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.02 | %* | 0.02 | % | 0.02 | % | 0.02 | % | 0.02 | % | 0.03 | % | 0.02 | %* | 0.02 | % | 0.02 | % | 0.02 | % | 0.02 | % | 0.03 | % |
Class V Shares | Class VI Shares | ||||||||||||||||||||||||||||||||||||||||||||
Period from August 9, 2016 through August 31, 2016 (Unaudited)(b) | Period from March 1, 2014 through July 30, 2014 (Unaudited)(b) | Period from January 21, 2014 (commencement of operations) through February 28, 2014 | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.95 | $ | 17.24 | $ | 17.17 | $ | 13.73 | $ | 16.54 | $ | 17.21 | $ | 14.47 | $ | 13.02 | $ | 11.97 | |||||||||||||||||||||||||||
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Income (loss) from investment operations: | |||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)†(a) | 0.03 | 0.12 | 0.04 | 0.14 | 0.26 | 0.30 | 0.30 | 0.28 | 0.23 | ||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.08 | 0.43 | 0.03 | 1.48 | (1.19 | ) | 1.65 | 2.74 | 1.46 | 1.07 | |||||||||||||||||||||||||||||||||||
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Total from investment operations | 0.11 | 0.55 | 0.07 | 1.62 | (0.93 | ) | 1.95 | 3.04 | 1.74 | 1.30 | |||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | |||||||||||||||||||||||||||||||||||||||||||||
From net investment income | — | — | — | (0.17 | ) | (0.28 | ) | (0.33 | ) | (0.30 | ) | (0.29 | ) | (0.25 | ) | ||||||||||||||||||||||||||||||
From net realized gains | — | — | — | (0.15 | ) | (1.60 | ) | (2.29 | ) | — | — | — | |||||||||||||||||||||||||||||||||
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Total distributions | — | — | — | (0.32 | ) | (1.88 | ) | (2.62 | ) | (0.30 | ) | (0.29 | ) | (0.25 | ) | ||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 15.06 | $ | 17.79 | 17.24 | $ | 15.03 | $ | 13.73 | $ | 16.54 | $ | 17.21 | $ | 14.47 | $ | 13.02 | ||||||||||||||||||||||||||||
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Total Return(c) | 0.74 | %** | 3.19 | %** | 0.39 | %** | 11.86 | %** | (6.02 | )% | 12.28 | % | 21.14 | % | 13.56 | % | 11.06 | % | |||||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 149,756 | $ | 220,333 | $ | 259,581 | $ | 1,854,020 | $ | 3,838,628 | $ | 6,031,361 | $ | 7,082,304 | $ | 1,249,117 | $ | 1,095,053 | |||||||||||||||||||||||||||
Net expenses to average daily net assets(e) | 0.40 | %* | 0.40 | %* | 0.40 | %*(d) | 0.37 | %* | 0.37 | % | 0.37 | % | 0.37 | %(d) | 0.37 | %(d) | 0.37 | %(d) | |||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 3.02 | %* | 1.69 | %* | 1.97 | %* | 1.90 | %* | 1.68 | % | 1.70 | % | 1.85 | % | 2.08 | % | 1.93 | % | |||||||||||||||||||||||||||
Portfolio turnover rate | 37 | %**(f) | 34 | %**(h) | 74 | %** | 37 | %**(f) | 89 | %(g) | 67 | % | 74 | % | 79 | % | 61 | % | |||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04 | %* | 0.02 | %* | 0.01 | %* | 0.02 | %* | 0.02 | % | 0.02 | % | 0.02 | % | 0.02 | % | 0.03 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests. |
(b) | The class was inactive from July 31, 2014 to August 8, 2016. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(e) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(f) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 50% of the average value of its portfolio. |
(g) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 63% of the average value of its portfolio. |
(h) | Calculation represents portfolio turnover of the Fund for the period ended July 30, 2014. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
62 | See accompanying notes to the financial statements. |
GMO Trust Funds
August 31, 2016 (Unaudited)
1. | Organization |
Each of Developed World Stock Fund, International Equity Fund, International Large/Mid Cap Equity Fund, Quality Fund, Resources Fund, Risk Premium Fund, Tax-Managed International Equities Fund and U.S. Equity Allocation Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).
The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO. The Funds may also invest in other GMO Funds (“underlying funds”).
The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):
Fund Name | Benchmark | Investment Objective | ||
Developed World Stock Fund | MSCI World Index | High total return | ||
International Equity Fund | MSCI EAFE Index | High total return | ||
International Large/Mid Cap Equity Fund | MSCI EAFE Index | High total return | ||
Quality Fund | Not Applicable | Total return | ||
Resources Fund | MSCI ACWI Commodity Producers Index | Total return | ||
Risk Premium Fund | Not Applicable | Total return | ||
Tax-Managed International Equities Fund | MSCI EAFE Index (after tax) | High after-tax total return | ||
U.S. Equity Allocation Fund | S&P 500 Index | High total return |
Developed World Stock Fund, International Large/Mid Cap Equity Fund, and Risk Premium Fund currently limit subscriptions.
International Equity Fund, Quality Fund, Risk Premium Fund, and U.S. Equity Allocation Fund are currently distributed in Switzerland. The distribution of shares in Switzerland will be exclusively made to, and directed at, qualified investors as defined in the Swiss Collective Investment Schemes Act of 23 June 2006, as amended and its implementing ordinance.
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
Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended
63
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
August 31, 2016, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.
The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets which close prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds, held either directly or through investments in the underlying funds, that were valued using fair value inputs obtained from that independent pricing service as of August 31, 2016. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) in the table below.
“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available by the time that a Fund calculates its net asset value on any business day, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.
In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.
As discussed above, certain of the Funds and underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or fair valued using inputs obtained from an independent pricing service. The table below presents securities and/or derivatives on a net basis, based on market values or unrealized appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of August 31, 2016 is as follows:
Securities and derivatives
Fund Name | Fair valued using methods determined in good faith by or at the direction of the Trustees | Fair valued using inputs obtained from an independent pricing service (Net) | ||||||
Developed World Stock Fund | < 1% | 54% | ||||||
International Equity Fund | 0% | § | 95% | |||||
International Large/Mid Cap Equity Fund | 0% | § | 96% | |||||
Quality Fund | — | 14% | ||||||
Resources Fund | — | 75% | ||||||
Risk Premium Fund | — | (1)% | ||||||
Tax-Managed International Equities Fund | 0% | § | 95% | |||||
U.S. Equity Allocation Fund | — | — |
§ | Represents the interest in securities that were determined to have a value of zero at August 31, 2016. |
U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.
64
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the table below). At August 31, 2016, there were no direct material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.
The three levels are defined as follows:
Level 1 – Valuations based on quoted prices for identical securities in active markets.
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).
Level 2 – Valuations determined using other significant direct or indirect observable inputs.
The types of assets and liabilities categorized in Level 2 generally include cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.
Level 3 – Valuations based primarily on inputs that are unobservable and significant.
The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; certain equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index and/or a security type conversion discount; and certain securities that are valued using a price from a comparable security related to the same issuer.
The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2016:
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Developed World Stock Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 6,255,302 | $ | — | $ | 6,255,302 | ||||||||
Austria | — | 770,267 | — | 770,267 | ||||||||||||
Belgium | — | 346,523 | — | 346,523 | ||||||||||||
Brazil | — | 1,030,678 | — | 1,030,678 | ||||||||||||
Canada | 7,677,101 | — | — | 7,677,101 | ||||||||||||
China | — | 3,405,025 | — | 3,405,025 | ||||||||||||
Czech Republic | — | 177,395 | — | 177,395 | ||||||||||||
Denmark | — | 872,817 | — | 872,817 | ||||||||||||
Finland | — | 901,001 | — | 901,001 | ||||||||||||
France | — | 14,787,725 | — | 14,787,725 | ||||||||||||
Germany | — | 14,416,142 | — | 14,416,142 | ||||||||||||
Hong Kong | — | 3,702,322 | — | 3,702,322 | ||||||||||||
Hungary | — | 102,239 | — | 102,239 | ||||||||||||
India | — | 145,023 | — | �� | 145,023 | |||||||||||
Ireland | — | 176,515 | — | 176,515 | ||||||||||||
Israel | 1,381,046 | 686,672 | — | 2,067,718 | ||||||||||||
Italy | — | 3,296,297 | — | 3,296,297 | ||||||||||||
Japan | — | 40,157,670 | — | 40,157,670 | ||||||||||||
Mexico | 285,301 | — | — | 285,301 | ||||||||||||
65
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Developed World Stock Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Netherlands | $ | 293,098 | $ | 5,246,430 | $ | — | $ | 5,539,528 | ||||||||
New Zealand | — | 47,748 | — | 47,748 | ||||||||||||
Norway | — | 2,545,838 | — | 2,545,838 | ||||||||||||
Poland | — | 261,852 | — | 261,852 | ||||||||||||
Portugal | — | 308,431 | — | 308,431 | ||||||||||||
Russia | — | 3,268,057 | — | 3,268,057 | ||||||||||||
Singapore | — | 450,945 | — | 450,945 | ||||||||||||
South Africa | 43,636 | 1,351,397 | 3 | 1,395,036 | ||||||||||||
South Korea | — | 2,939,992 | — | 2,939,992 | ||||||||||||
Spain | — | 3,369,438 | — | 3,369,438 | ||||||||||||
Sweden | — | 1,681,542 | — | 1,681,542 | ||||||||||||
Switzerland | — | 7,193,181 | — | 7,193,181 | ||||||||||||
Taiwan | 546,060 | 2,920,051 | 173,963 | 3,640,074 | ||||||||||||
Thailand | — | 84,496 | — | 84,496 | ||||||||||||
Turkey | — | 1,979,364 | — | 1,979,364 | ||||||||||||
United Kingdom | 875,811 | 21,993,911 | — | 22,869,722 | ||||||||||||
United States | 62,899,009 | — | — | 62,899,009 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 74,001,062 | 146,872,286 | 173,966 | 221,047,314 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | — | 1,064,921 | — | 1,064,921 | ||||||||||||
Germany | — | 908,919 | — | 908,919 | ||||||||||||
South Korea | — | 561,117 | — | 561,117 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 2,534,957 | — | 2,534,957 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
South Korea | — | — | 0 | § | 0 | § | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | — | — | 0 | § | 0 | § | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 66,710,332 | — | — | 66,710,332 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 66,710,332 | — | — | 66,710,332 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 688,705 | — | — | 688,705 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 141,400,099 | 149,407,243 | 173,966 | 290,981,308 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 141,400,099 | $ | 149,407,243 | $ | 173,966 | $ | 290,981,308 | ||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 373,119,073 | $ | — | $ | 373,119,073 | ||||||||
Austria | — | 44,734,746 | 0 | § | 44,734,746 | |||||||||||
Belgium | — | 42,761,881 | — | 42,761,881 | ||||||||||||
Canada | 180,396,360 | — | — | 180,396,360 | ||||||||||||
Denmark | — | 53,363,412 | — | 53,363,412 | ||||||||||||
Finland | — | 70,231,865 | — | 70,231,865 | ||||||||||||
France | — | 676,386,129 | — | 676,386,129 | ||||||||||||
Germany | — | 779,246,785 | — | 779,246,785 | ||||||||||||
Hong Kong | — | 245,633,695 | — | 245,633,695 | ||||||||||||
Ireland | 2,464,959 | 12,645,509 | — | 15,110,468 | ||||||||||||
Israel | 45,112,631 | 70,303,847 | — | 115,416,478 | ||||||||||||
Italy | — | 207,897,031 | — | 207,897,031 | ||||||||||||
66
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
International Equity Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Japan | $ | — | $ | 1,954,476,854 | $ | — | $ | 1,954,476,854 | ||||||||
Malta | — | — | 0 | § | 0 | § | ||||||||||
Netherlands | 11,521,533 | 312,615,378 | — | 324,136,911 | ||||||||||||
New Zealand | — | 25,509,242 | — | 25,509,242 | ||||||||||||
Norway | — | 150,447,159 | — | 150,447,159 | ||||||||||||
Portugal | — | 19,287,922 | — | 19,287,922 | ||||||||||||
Singapore | — | 45,483,907 | — | 45,483,907 | ||||||||||||
Spain | — | 181,761,327 | — | 181,761,327 | ||||||||||||
Sweden | — | 76,592,068 | — | 76,592,068 | ||||||||||||
Switzerland | — | 390,175,331 | — | 390,175,331 | ||||||||||||
United Kingdom | 24,824,352 | 1,148,323,630 | — | 1,173,147,982 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 264,319,835 | 6,880,996,791 | 0 | § | 7,145,316,626 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Germany | — | 48,224,037 | — | 48,224,037 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 48,224,037 | — | 48,224,037 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 62,226,997 | — | — | 62,226,997 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 62,226,997 | — | — | 62,226,997 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 25,186,838 | — | — | 25,186,838 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 351,733,670 | 6,929,220,828 | 0 | § | 7,280,954,498 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 351,733,670 | $ | 6,929,220,828 | $ | 0 | § | $ | 7,280,954,498 | |||||||
|
|
|
|
|
|
|
| |||||||||
International Large/Mid Cap Equity Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 46,879,050 | $ | — | $ | 46,879,050 | ||||||||
Austria | — | 7,501,707 | — | 7,501,707 | ||||||||||||
Belgium | — | 3,060,212 | — | 3,060,212 | ||||||||||||
Canada | 15,139,548 | — | — | 15,139,548 | ||||||||||||
Denmark | — | 8,127,338 | — | 8,127,338 | ||||||||||||
Finland | — | 10,112,650 | — | 10,112,650 | ||||||||||||
France | — | 100,555,787 | — | 100,555,787 | ||||||||||||
Germany | — | 91,522,721 | — | 91,522,721 | ||||||||||||
Hong Kong | — | 40,051,197 | — | 40,051,197 | ||||||||||||
Ireland | — | 1,162,494 | — | 1,162,494 | ||||||||||||
Israel | 12,546,066 | 9,819,906 | — | 22,365,972 | ||||||||||||
Italy | — | 18,093,852 | — | 18,093,852 | ||||||||||||
Japan | — | 254,276,003 | — | 254,276,003 | ||||||||||||
Malta | — | — | 0 | § | 0 | § | ||||||||||
Netherlands | 1,239,070 | 40,286,328 | — | 41,525,398 | ||||||||||||
New Zealand | — | 4,769,162 | — | 4,769,162 | ||||||||||||
Norway | — | 18,669,606 | — | 18,669,606 | ||||||||||||
Portugal | — | 226,143 | — | 226,143 | ||||||||||||
Singapore | — | 2,806,600 | — | 2,806,600 | ||||||||||||
Spain | — | 20,101,754 | — | 20,101,754 | ||||||||||||
Sweden | — | 6,299,891 | — | 6,299,891 | ||||||||||||
Switzerland | — | 57,649,883 | — | 57,649,883 | ||||||||||||
67
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
International Large/Mid Cap Equity Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
United Kingdom | $ | — | $ | 172,979,061 | $ | — | $ | 172,979,061 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 28,924,684 | 914,951,345 | 0 | § | 943,876,029 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Germany | — | 8,200,269 | — | 8,200,269 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 8,200,269 | — | 8,200,269 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 3,044,984 | — | — | 3,044,984 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 3,044,984 | — | — | 3,044,984 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 2,274,896 | — | — | 2,274,896 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 34,244,564 | 923,151,614 | 0 | § | 957,396,178 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 34,244,564 | $ | 923,151,614 | $ | 0 | § | $ | 957,396,178 | |||||||
|
|
|
|
|
|
|
| |||||||||
Quality Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
France | $ | — | $ | 37,497,837 | $ | — | $ | 37,497,837 | ||||||||
Germany | — | 39,500,607 | — | 39,500,607 | ||||||||||||
Japan | — | 47,472,738 | — | 47,472,738 | ||||||||||||
Netherlands | — | 186,694,436 | — | 186,694,436 | ||||||||||||
Switzerland | — | 279,051,977 | — | 279,051,977 | ||||||||||||
United Kingdom | — | 668,747,366 | — | 668,747,366 | ||||||||||||
United States | 7,785,355,798 | — | — | 7,785,355,798 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 7,785,355,798 | 1,258,964,961 | — | 9,044,320,759 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 224,537,698 | — | — | 224,537,698 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 224,537,698 | — | — | 224,537,698 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 11,805,637 | — | — | 11,805,637 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 8,021,699,133 | 1,258,964,961 | — | 9,280,664,094 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 8,021,699,133 | $ | 1,258,964,961 | $ | — | $ | 9,280,664,094 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Resources Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Argentina | $ | 2,537,625 | $ | — | $ | — | $ | 2,537,625 | ||||||||
Australia | — | 2,793,402 | — | 2,793,402 | ||||||||||||
Austria | — | 1,618,757 | — | 1,618,757 | ||||||||||||
Brazil | — | 911,017 | — | 911,017 | ||||||||||||
Canada | 8,231,695 | — | — | 8,231,695 | ||||||||||||
China | — | 903,539 | — | 903,539 | ||||||||||||
Colombia | 381,618 | — | — | 381,618 | ||||||||||||
Czech Republic | — | 2,062,297 | — | 2,062,297 | ||||||||||||
France | — | 5,629,810 | — | 5,629,810 | ||||||||||||
Germany | — | 1,867,349 | — | 1,867,349 | ||||||||||||
Greece | — | 165,428 | — | 165,428 | ||||||||||||
Hungary | — | 1,227,780 | — | 1,227,780 | ||||||||||||
68
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Resources Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
India | $ | — | $ | 1,265,158 | $ | — | $ | 1,265,158 | ||||||||
Indonesia | — | 52,921 | — | 52,921 | ||||||||||||
Israel | — | 2,762,655 | — | 2,762,655 | ||||||||||||
Italy | — | 2,443,617 | — | 2,443,617 | ||||||||||||
Japan | — | 4,933,397 | — | 4,933,397 | ||||||||||||
Kazakhstan | — | 60,553 | — | 60,553 | ||||||||||||
Netherlands | — | 1,524,781 | — | 1,524,781 | ||||||||||||
Norway | — | 13,046,915 | — | 13,046,915 | ||||||||||||
Poland | — | 2,856,022 | — | 2,856,022 | ||||||||||||
Russia | — | 22,874,417 | — | 22,874,417 | ||||||||||||
Singapore | — | 3,546,665 | — | 3,546,665 | ||||||||||||
South Africa | — | 2,252,449 | — | 2,252,449 | ||||||||||||
South Korea | — | 506,718 | — | 506,718 | ||||||||||||
Spain | — | 3,105,754 | — | 3,105,754 | ||||||||||||
Sweden | — | 548,208 | — | 548,208 | ||||||||||||
Thailand | — | 3,015,194 | — | 3,015,194 | ||||||||||||
Turkey | — | 786,985 | — | 786,985 | ||||||||||||
Ukraine | — | 2,097,587 | — | 2,097,587 | ||||||||||||
United Arab Emirates | — | 210,756 | — | 210,756 | ||||||||||||
United Kingdom | — | 44,858,161 | — | 44,858,161 | ||||||||||||
United States | 23,555,250 | — | — | 23,555,250 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 34,706,188 | 129,928,292 | — | 164,634,480 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | — | 3,605,577 | — | 3,605,577 | ||||||||||||
Chile | 7,952,889 | 2,062,374 | — | 10,015,263 | ||||||||||||
Russia | — | 3,735,561 | — | 3,735,561 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 7,952,889 | 9,403,512 | — | 17,356,401 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 2,500,080 | — | — | 2,500,080 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 2,500,080 | — | — | 2,500,080 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 1,115,567 | — | — | 1,115,567 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 46,274,724 | 139,331,804 | — | 185,606,528 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 46,274,724 | $ | 139,331,804 | $ | — | $ | 185,606,528 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Risk Premium Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Short-Term Investments | $ | 192,569,783 | $ | — | $ | — | $ | 192,569,783 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 192,569,783 | — | — | 192,569,783 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 192,569,783 | $ | — | $ | — | $ | 192,569,783 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Written Options | ||||||||||||||||
$ | (1,184,400 | ) | $ | (762,614 | ) | $ | — | $ | (1,947,014 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
69
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Tax-Managed International Equities Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 8,070,089 | $ | — | $ | 8,070,089 | ||||||||
Austria | — | 881,435 | 0 | § | 881,435 | |||||||||||
Belgium | — | 553,733 | — | 553,733 | ||||||||||||
Brazil | — | 512,535 | — | 512,535 | ||||||||||||
Canada | 2,838,285 | — | — | 2,838,285 | ||||||||||||
China | — | 3,847,939 | — | 3,847,939 | ||||||||||||
Czech Republic | — | 76,607 | — | 76,607 | ||||||||||||
Denmark | — | 1,422,331 | — | 1,422,331 | ||||||||||||
Finland | — | 2,159,628 | — | 2,159,628 | ||||||||||||
France | — | 12,650,940 | 0 | § | 12,650,940 | |||||||||||
Germany | — | 16,805,006 | — | 16,805,006 | ||||||||||||
Hong Kong | — | 4,357,806 | — | 4,357,806 | ||||||||||||
Hungary | — | 132,672 | — | 132,672 | ||||||||||||
India | 112,606 | 364,009 | — | 476,615 | ||||||||||||
Ireland | — | 395,610 | — | 395,610 | ||||||||||||
Israel | 452,766 | 1,554,189 | — | 2,006,955 | ||||||||||||
Italy | — | 4,549,266 | — | 4,549,266 | ||||||||||||
Japan | — | 30,869,305 | — | 30,869,305 | ||||||||||||
Malta | — | — | 0 | § | 0 | § | ||||||||||
Mexico | 499,337 | — | — | 499,337 | ||||||||||||
Netherlands | — | 6,072,876 | — | 6,072,876 | ||||||||||||
New Zealand | — | 688,028 | — | 688,028 | ||||||||||||
Norway | — | 1,946,081 | — | 1,946,081 | ||||||||||||
Peru | 62,672 | — | — | 62,672 | ||||||||||||
Poland | — | 181,538 | — | 181,538 | ||||||||||||
Portugal | — | 402,102 | — | 402,102 | ||||||||||||
Russia | — | 610,204 | — | 610,204 | ||||||||||||
Singapore | — | 1,532,471 | — | 1,532,471 | ||||||||||||
South Africa | — | 1,304,926 | — | 1,304,926 | ||||||||||||
South Korea | — | 2,501,027 | — | 2,501,027 | ||||||||||||
Spain | — | 2,313,277 | — | 2,313,277 | ||||||||||||
Sweden | — | 1,414,384 | — | 1,414,384 | ||||||||||||
Switzerland | — | 5,509,483 | — | 5,509,483 | ||||||||||||
Taiwan | 744,366 | 1,790,814 | — | 2,535,180 | ||||||||||||
Thailand | — | 221,879 | — | 221,879 | ||||||||||||
Turkey | — | 402,696 | — | 402,696 | ||||||||||||
United Kingdom | — | 26,137,346 | — | 26,137,346 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 4,710,032 | 142,232,232 | 0 | § | 146,942,264 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | — | 708,146 | — | 708,146 | ||||||||||||
Germany | — | 823,574 | — | 823,574 | ||||||||||||
Russia | — | 139,216 | — | 139,216 | ||||||||||||
South Korea | — | 451,450 | — | 451,450 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 2,122,386 | — | 2,122,386 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 2,208,490 | — | — | 2,208,490 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 2,208,490 | — | — | 2,208,490 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 424,074 | — | — | 424,074 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 7,342,596 | 144,354,618 | 0 | § | 151,697,214 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 7,342,596 | $ | 144,354,618 | $ | 0 | § | $ | 151,697,214 | |||||||
|
|
|
|
|
|
|
| |||||||||
70
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Equity Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | $ | 2,153,432,832 | $ | — | $ | — | $ | 2,153,432,832 | ||||||||
Mutual Funds | 9,345,101 | — | — | 9,345,101 | ||||||||||||
Short-Term Investments | 4,034,745 | — | — | 4,034,745 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 2,166,812,678 | — | — | 2,166,812,678 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,166,812,678 | $ | — | $ | — | $ | 2,166,812,678 | ||||||||
|
|
|
|
|
|
|
| |||||||||
The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.
^ | The tables above are based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value. Excludes purchased options, if any, which are included in investments. |
§ | Represents the interest in securities that were determined to have a value of zero at August 31, 2016. |
The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs of the underlying funds, please refer to the underlying funds’ Notes to Financial Statements.
For all Funds for the period ended August 31, 2016, there were no significant transfers between Level 1 and Level 2.
The following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:
Balances as of February 29, 2016 | Purchases | Sales | Accrued Discounts/ Premiums | Total Realized Gain/ (Loss) | Change in Unrealized Appreciation (Depreciation) | Transfer Level 3† | Transfer out of Level 3† | Balances as of August 31, 2016 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2016 | |||||||||||||||||||||||||||||||
Developed World Stock Fund | ||||||||||||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
South Africa | $ | 3 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 3 | $ | — | ||||||||||||||||||||
Taiwan | 99,286 | 49,962 | (14,437 | ) | — | (5,470 | ) | 44,622 | — | — | 173,963 | 44,622 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 99,289 | $ | 49,962 | $ | (14,437 | ) | $ | — | $ | (5,470 | ) | $ | 44,622 | $ | — | $ | — | $ | 173,966 | $ | 44,622 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
† | The Funds account for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period. |
71
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
The net aggregate direct and indirect exposure to investments in securities using Level 3 inputs (based on each Fund’s net assets) as of August 31, 2016 were as follows:
Fund Name | Level 3 securities and derivatives | |||
Developed World Stock Fund | < 1% | |||
International Equity Fund | 0% | § | ||
International Large/Mid Cap Equity Fund | 0% | § | ||
Quality Fund | — | |||
Resources Fund | — | |||
Risk Premium Fund | — | |||
Tax-Managed International Equities Fund | 0% | § | ||
U.S. Equity Allocation Fund | — |
§ | Represents the interest in securities that were determined to have a value of zero at August 31, 2016. |
Cash
Cash and foreign currency, if any, on the Statements of Assets and Liabilities consist of cash balances held with the custodian.
Due to/from broker
Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include mark-to-market amounts related to foreign currency or cash owed.
Foreign currency translation
The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm Eastern time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated on the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.
Taxes and distributions
Each Fund has elected to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.
The policy of each Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each Fund may, from time to time at their discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically, all distributions are reinvested in additional shares of each Fund, at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.
Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction based charges imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2016, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.
Certain Funds have previously filed for and/or may file for additional tax refunds with respect to certain taxes withheld by member states of the European Union. Generally, the amount of such refunds that a Fund reasonably determines are collectible and free from significant contingencies are
72
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
reflected in a Fund’s net asset value and are reflected as Dividends from unaffiliated issuers in the Statements of Operations. In certain circumstances, a Fund’s receipt of such refunds may cause the Fund and/or its shareholders to be liable for U.S. federal income taxes and interest charges.
Foreign taxes paid by each Fund may be treated, to the extent permissible by the Code (and other applicable U.S. federal tax guidance) and if that Fund so elects, as if paid by U.S. shareholders of that Fund.
Income and capital gain distributions 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.
Distributions in excess of a Fund’s tax basis earnings and profits, if significant, are reported in the Funds’ financial statements as a return of capital.
As of February 29, 2016, certain Funds elected to defer to March 1, 2016 late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:
Fund Name | Late-Year Ordinary Loss Deferral ($) | Post-October Capital Losses ($) | ||||||
Developed World Stock Fund | — | (15,122,379) | ||||||
International Equity Fund | — | (632,906,576) | ||||||
International Large/Mid Cap Equity Fund | — | (143,186,428) | ||||||
Quality Fund | — | (20,790,166) | ||||||
Resources Fund | — | (9,712,516) | ||||||
Risk Premium Fund | (100,672 | ) | (11,550,422) | |||||
Tax-Managed International Equities Fund | — | (7,603,672) | ||||||
U.S. Equity Allocation Fund | — | (7,384,375) |
As of February 29, 2016, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. In addition, such losses should be utilized prior to losses scheduled to expire on or before February 28, 2019. As a result of this ordering rule, losses that are subject to expiration may expire unused. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 29, 2016, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:
Short-Term ($) | Total Short- Term ($) | Long- Term ($) | ||||||||||||||||||
Fund Name | Expiration Date 2/28/2018 | Expiration Date 2/28/2019 | No Expiration Date | No Expiration Date | ||||||||||||||||
Developed World Stock Fund | — | — | — | — | — | |||||||||||||||
International Equity Fund | — | — | (67,723,306 | ) | (67,723,306 | ) | (108,001,919 | ) | ||||||||||||
International Large/Mid Cap Equity Fund | (215,593,848 | ) | (47,181,759 | ) | (1,648,399 | ) | (264,424,006 | ) | (48,007,869 | ) | ||||||||||
Quality Fund | — | — | — | — | — | |||||||||||||||
Resources Fund | — | — | (14,887,084 | ) | (14,887,084 | ) | (18,086,289 | ) | ||||||||||||
Risk Premium Fund | — | — | — | — | — | |||||||||||||||
Tax-Managed International Equities Fund | (10,176,681 | ) | — | (21,738,493 | ) | (31,915,174 | ) | (4,911,918 | ) | |||||||||||
U.S. Equity Allocation Fund | (75,916,756 | ) | — | — | (75,916,756 | ) | — |
73
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
As of August 31, 2016, the approximate cost for U.S. federal income tax purposes and the aggregate investment-level gross and net unrealized appreciation (depreciation) in the value of investments were as follows:
Fund Name | Aggregate Cost ($) | Gross Unrealized Appreciation ($) | Gross Unrealized (Depreciation) ($) | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||
Developed World Stock Fund | 291,313,577 | 13,386,331 | (13,718,600 | ) | (332,269 | ) | ||||||||||
International Equity Fund | 7,592,339,166 | 443,609,436 | (754,994,104 | ) | (311,384,668 | ) | ||||||||||
International Large/Mid Cap Equity Fund | 997,730,174 | 52,371,178 | (92,705,174 | ) | (40,333,996 | ) | ||||||||||
Quality Fund | 7,969,919,205 | 1,412,076,585 | (101,331,696 | ) | 1,310,744,889 | |||||||||||
Resources Fund | 178,902,267 | 23,612,915 | (16,908,654 | ) | 6,704,261 | |||||||||||
Risk Premium Fund | 192,542,667 | 34,063 | (6,947 | ) | 27,116 | |||||||||||
Tax-Managed International Equities Fund | 131,620,011 | 25,682,285 | (5,605,082 | ) | 20,077,203 | |||||||||||
U.S. Equity Allocation Fund | 2,091,783,054 | 141,930,405 | (66,900,781 | ) | 75,029,624 |
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 interpretations of tax laws (e.g., guidance 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. GMO 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. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from the underlying 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. Principal on inflation-indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. 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 and class allocations
Most of the expenses of the Trust are directly attributable to an individual Fund. Generally, common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Funds may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by a Fund will vary (See Note 5).
Brown Brothers Harriman & Co. (“BBH”) serves as the Funds’ custodian and fund accounting agent except for Quality Fund, U.S. Equity Allocation Fund and Risk Premium Fund. For Quality Fund, U.S. Equity Allocation Fund and Risk Premium Fund, State Street Bank and Trust Company (“State Street”) serves as the custodian and fund accounting agent. State Street serves as the transfer agent for all Funds. Prior to December 31, 2013, State Street’s transfer agent fees may have been reduced by an earnings allowance calculated on the average daily cash balances each Fund maintained in a State Street transfer agent account. Effective January 1, 2014, any cash balances maintained at the transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations. Prior
74
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
to December 31, 2012 for Quality Fund, U.S. Equity Allocation Fund and Risk Premium Fund, State Street’s custodian fees may have been reduced by an earnings allowance calculated on the average daily cash balance the Funds maintained in a State Street custodial account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2013 for Quality Fund, U.S. Equity Allocation Fund and Risk Premium Fund, any cash balances maintained at the custodian are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.
Purchases and redemptions of Fund shares
Purchase premiums and redemption fees (if applicable) are paid to and retained by a 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 Fund (directly or indirectly through investments in underlying funds) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and/or redemption fee or modify an existing fee at any time.
Purchase premiums are not charged on reinvestments of dividends or other distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).
If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion. GMO also may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.
GMO will waive or reduce the purchase premium when securities are used to purchase a Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with its acquisition of those securities. GMO may waive or reduce redemption fees when a Fund uses portfolio securities to redeem its shares. However, when a substantial portion of a Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.
Purchase premiums or redemption fees generally will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with the Trust to transmit orders for purchases and redemptions the day after those orders are received.
As of August 31, 2016, the premium on cash purchases and the fee on cash redemptions were as follows:
Developed World Stock Fund | International Equity Fund | International Large/Mid Cap Equity Fund | Quality Fund | Resources Fund | Risk Premium Fund | Tax-Managed International Equities Fund | U.S. Equity Allocation Fund | |||||||||
Purchase Premium | 0.25% | — | — | — | 0.30% | 0.15% | — | — | ||||||||
Redemption Fee | 0.25% | — | — | — | 0.30% | 0.15% | — | — |
75
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
3. | Investment and other risks |
The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.
Developed World Stock Fund | International Equity Fund | International Large/Mid Cap Equity Fund | Quality Fund | Resources Fund | Risk Premium Fund | Tax-Managed International Equities Fund | U.S. Equity Allocation Fund | |||||||||
Commodities Risk | X | |||||||||||||||
Counterparty Risk | X | X | X | X | X | X | X | X | ||||||||
Credit Risk | X | |||||||||||||||
Currency Risk | X | X | X | X | X | X | X | |||||||||
Derivatives and Short Sales Risk | X | X | X | X | X | X | X | X | ||||||||
Focused Investment Risk | X | X | X | X | X | X | X | X | ||||||||
Fund of Funds Risk | X | |||||||||||||||
Illiquidity Risk | X | X | X | X | X | X | X | X | ||||||||
Large Shareholder Risk | X | X | X | X | X | X | X | X | ||||||||
Leveraging Risk | X | X | X | X | X | X | X | |||||||||
Management and Operational Risk | X | X | X | X | X | X | X | X | ||||||||
Market Disruption and Geopolitical Risk | X | X | X | X | X | X | X | X | ||||||||
Market Risk – Equities | X | X | X | X | X | X | X | X | ||||||||
Market Risk – Fixed Income Investments | X | |||||||||||||||
Merger Arbitrage Risk | X | |||||||||||||||
Non-Diversified Funds | X | X | X | X | X | |||||||||||
Non-U.S. Investment Risk | X | X | X | X | X | X | X | |||||||||
Small Company Risk | X | X | X | X | X | X | X |
Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.
Each Fund that invests in other GMO Funds or other investment companies (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through Underlying Funds.
An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.
• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the net asset value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner. The value of commodity-related derivatives or indirect investments in commodities may fluctuate more than the commodity, commodities or commodity index to which they relate. See “Derivatives and Short Sales Risk” for a discussion of specific risks of a Fund’s derivatives investments, including commodity-related derivatives.
76
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
• 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. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws or other requirements. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (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 (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be promptly posted as required. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty if the transaction is primarily designed to reduce the Fund’s overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty).
The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds.
Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the Funds’ ability to exercise remedies, such as the
termination of transactions, netting of obligations and realization on collateral, could be stayed or eliminated under new special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, with respect to counterparties who are subject to such proceedings in the European Union, the liabilities of such counterparties to the Funds could be reduced, eliminated, or converted to equity in such counterparties (sometimes referred to as a “bail in”).
• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer’s, guarantor’s, or obligor’s failure to meet its payment obligations, or in anticipation of such failure, or the downgrade of the credit rating of the investment. 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, a government or government entity, whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the term of a fixed income 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
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United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign or quasi-sovereign debt involve the risk that the governmental entities responsible for repayment may be unable or unwilling to pay interest and repay principal when due. A governmental entity’s ability and willingness to pay interest and repay principal in a timely manner may be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer may default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging countries.
In many cases, the credit risk of a fixed income security is reflected in its credit ratings, and a Fund holding such a security is subject to the risk that the investment’s rating will be downgraded.
Securities issued by the U.S. government historically have presented minimal credit risk. However, events in 2011 led to a downgrade in the long-term credit rating of U.S. bonds by several major rating agencies and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest on U.S. government securities would decrease, the value of a Fund’s investments and increase the volatility of a Fund’s portfolio.
The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors.
A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives and Short Sales Risk” for more information regarding risks associated with the use of credit default swaps. The extent to which the market price of a fixed income security changes in response to a credit event depends on many factors and can be difficult to predict. For example, even though the effective duration of a long-term floating rate security is very short, an adverse credit event or a change in the perceived creditworthiness of its issuer could cause its market price to decline much more than its effective duration would suggest.
Credit risk is particularly pronounced for below investment grade 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. Investments in distressed or defaulted or other low quality debt securities generally are considered speculative and may involve substantial risks not normally associated with investments in higher quality securities, including adverse business, financial or economic conditions that lead to payment defaults and insolvency proceedings on the part of their issuers. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments, and a Fund may incur additional expenses to seek recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt security proves incorrect, a Fund may lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of default of sovereign debt, the Funds may be unable to pursue legal action against the issuer.
• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position, will decline in value relative to the currency in which the Fund is denominated. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk.”
Many of the Funds use derivatives to take currency positions that are under- or over-weighted (in some cases significantly) relative to the currency exposure of their portfolios and their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money on both its holdings of a particular currency and the derivative. See also “Non-U.S. Investment Risk.”
Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars, in which case GMO may decide to purchase U.S. dollars in a parallel market with an unfavorable exchange rate. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.
Derivative transactions in foreign currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk”).
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• DERIVATIVES AND SHORT SALES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices. Derivatives involve the risk that their value may not change as expected relative to changes in the value of the assets, rates, or indices they are designed to track. Derivatives include futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other OTC contracts. Derivatives may relate to securities, commodities, currencies, currency exchange rates, interest rates, inflation rates, 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 still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments GMO believes are owed to it under OTC derivatives contracts, or those payments may be delayed or made only after the Fund has incurred the cost of litigation.
A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s fundamental fair (or intrinsic) value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs a greater risk of not being able to recover what it is owed if the counterparty defaults. Even when derivatives are required by contract to be collateralized, a Fund typically will not receive the collateral for one or more days after the collateral is required to be posted.
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, illiquidity risk, currency risk, credit risk, and counterparty risk. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values a Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, 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, GMO may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures, potentially resulting in losses for the Fund.
Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk”) and counterparty risk (see “Counterparty Risk”). These derivatives are also subject to documentation risk, which is the risk that ambiguities, inconsistencies or errors in the documentation relating to a derivative transaction may lead to a dispute with the counterparty or unintended investment results. In addition, see “Commodities Risk” for a discussion of risks specific to commodity-related derivatives. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk.”
A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders. In addition, the tax treatment of a Fund’s use of derivatives may be unclear because there is little case or other law interpreting the terms of most derivatives or determining their tax treatment. In addition, the Securities and Exchange Commission recently proposed a rule under the 1940 Act regulating the use by registered investment companies of derivatives and many related instruments. That rule, if adopted as proposed, would, among other things, restrict a Fund’s ability to engage in derivatives transactions or so increase the cost of derivatives transactions that a Fund would be unable to implement its investment strategy.
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Derivatives Regulation. The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) are implementing similar requirements, which will affect a Fund when it enters into a derivatives transaction with a counterparty organized in that country or otherwise subject to that country’s derivatives regulations. Because these requirements are new and evolving (and some of the rules are not yet final), their ultimate impact remains unclear.
Transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds hold cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Funds make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.
In some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements, for example, by requiring that funds provide more margin for their cleared derivatives positions. Also, as a general matter, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivatives position or an increase in margin requirements above those required at the outset of a transaction. Clearing houses also have broad rights to increase margin requirements for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member because margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member (see “Counterparty Risk”). Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member. Also, such documentation typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks may be more pronounced for cleared derivatives due to their more limited liquidity and market history.
Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund
may indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility.
If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), the Fund may be unable to execute all components of the package on the swap execution facility. In that case, the Fund would need to trade some components of the package on the swap execution facility and other components in another manner, which could subject the Fund to the risk that some components would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.
The U.S. government and the European Union have adopted mandatory minimum margin requirements for bilateral derivatives. GMO expects that the Funds’ transactions will become subject to variation margin requirements under such rules in 2017 and initial margin requirements under such rules in 2020. Such requirements could increase the amount of margin a Fund needs to provide in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.
These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund or otherwise limiting liquidity. The implementation of the clearing requirement has increased the costs of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they have historically posted for bilateral derivatives. The costs of derivatives transactions are expected to increase further as clearing members raise their fees to cover the costs of
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additional capital requirements and other regulatory changes applicable to the clearing members, which will take effect when rules imposing mandatory minimum margin requirements on bilateral swaps, as described above, become effective. These rules and regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.
Options. The Funds, particularly Risk Premium Fund, are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights any time before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk because the holder may only exercise the option on its expiration date.) If a Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.
National securities exchanges generally have established limits on the maximum number of options an investor or group of investors acting in concert may write. A Fund, GMO, and other funds advised by GMO will likely constitute such a group. When applicable, these limits restrict a Fund’s ability to purchase or write options on a particular security.
Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (i.e., options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While a Fund has greater flexibility to tailor an OTC option, OTC options generally expose a Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary market risks.
Special tax rules apply to a Fund’s transactions in options, which could increase the taxes payable by shareholders. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s distributions to consist of amounts taxable to shareholders subject to U.S. income tax at ordinary income tax rates.
Short Investment Exposure. Some Funds may sell securities or currencies short as part of their investment programs in an attempt to increase their returns or for hedging purposes. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange a security or currency to replace the borrowed security or currency when the security or currency sold short has appreciated in value, thus resulting in a loss to the Fund. Purchasing a security or currency to close out a short position can itself cause the price of the security or currency to rise further,
thereby exacerbating any losses. A Fund that sells short a security or currency it does not own also may have to pay borrowing fees to a broker and may be required to pay the broker any dividends or interest it receives on a borrowed security.
A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying investment, pool of investments, index or currency.
Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.
• FOCUSED INVESTMENT RISK. Funds with investments that are focused in particular countries, regions, sectors, industries or issuers that are subject to the same or similar risk factors and funds with investments whose prices are closely correlated are subject to greater overall risk than funds with investments that are more diversified or whose prices are not as closely correlated.
A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of particular securities than Funds investing in the securities of a larger number of issuers. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments.
Similarly, Funds having a significant portion of their assets in investments tied economically (or related) to a particular geographic region, country (e.g., Taiwan or Japan), or market (e.g., emerging markets), or to sectors within a region, country, or market (e.g., Russian oil) have more exposure to regional and country economic risks than funds making investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in the value of the currency of one country can spread to other countries. Furthermore, companies in a particular geographic region or
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country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk”.
Because Resources Fund concentrates its investments in the natural resources sector, it is particularly exposed to adverse developments, including adverse price movements, affecting issuers in the natural resources sector and is subject to greater risks than a fund that invests in a wider range of industries. In addition, the market prices of securities of companies in the natural resources sector are often more volatile than those of securities of companies in other industries. Some of the commodities used as raw materials or produced by these companies are subject to broad price fluctuations as a result of industry-wide supply and demand factors. Companies in the natural resources sector often have limited pricing power over the supplies they purchase and the products they sell, which can affect their profitability, and are often capital-intensive and use significant amounts of leverage. Projects in the natural resources sector may have long setup times and companies cannot ensure that the market will be favorable at the time the project begins production. Companies in the natural resources sector may also 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 and cartels, changes in consumer sentiment and spending, and can be subject to liability for, among other things, environmental damage, depletion of resources, and mandated expenditures for safety and pollution control. Resources Fund’s concentration in the securities of natural resources companies exposes it to the price movements of natural resources to a greater extent than if it were more broadly diversified. Because Resources Fund invests primarily in the natural resources sector, it runs the risk of performing poorly during an economic downturn or decline in demand for natural resources.
Because Risk Premium Fund can have substantial exposure through a limited number of options contracts and because the Fund’s exposures may relate to relatively few stock indices, the Fund is subject to focused investment risk.
• FUND OF FUNDS RISK. Funds that invest in Underlying Funds (including underlying GMO Funds) are exposed to the risk that the Underlying Funds will not perform as expected. The Funds are also indirectly exposed to all of the risks to which the Underlying Funds are exposed.
Because a Fund bears the fees and expenses of an Underlying Fund in which it invests, absent reimbursement, the Fund will incur additional expenses when investing in an Underlying Fund. In addition, total Fund expenses will increase if a Fund makes a new or further investment in Underlying Funds with higher fees or expenses than the average fees and expenses of the Underlying Funds then in the Fund’s portfolio.
In addition, to the extent a Fund invests in shares of underlying GMO Funds, it is indirectly subject to Large Shareholder Risk because those underlying GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk.”
Investments in ETFs involve the risk that an ETF’s performance may not track the performance of the index the ETF is designed to track. 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 in “Derivatives and Short Sales Risk.”
A Fund’s investments in one or more Underlying Funds could affect the amount, timing and character of its distributions and could cause the Fund to recognize taxable income in excess of the cash generated by such investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.
• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size, or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed, defaulted or other low quality debt securities, emerging country debt securities, securities of companies with smaller market capitalizations or smaller total float adjusted market capitalizations, or emerging market securities, it is subject to increased illiquidity risk. These types of investments can be difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. Illiquidity risk also may be greater in times of financial stress. For example, Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”) have experienced periods of greatly reduced liquidity during disruptions in fixed income markets, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when market prices decline generally.
A Fund may buy securities that are less liquid than those in its benchmark.
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A Fund’s, and particularly Risk Premium Fund’s, ability to use options as part of its investment program depends on the liquidity of the options market. In addition, that market may not be liquid when a Fund seeks to close out an option position. Also, the hours of trading for options on an exchange may not conform to the hours during which the securities held by a Fund are traded. To the extent that the options markets close before the markets for the underlying securities, significant price and rate movements can take place in the markets for underlying securities that are not immediately reflected in the options markets. If a Fund receives a redemption request and is unable to close out an option it has sold, the Fund may temporarily be leveraged in relation to its assets.
• LARGE SHAREHOLDER RISK. To the extent a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities, potentially at disadvantageous prices, to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may purchase or sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) 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, have adverse tax consequences for Fund shareholders. Additionally, redemptions by a large shareholder also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any) and may limit or prevent a Fund’s use of tax equalization. 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.
• 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 portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.
A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.
• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times. In the case of Tax-Managed International Equities Fund, GMO’s tax-management strategies may be ineffective or limited by market conditions, the timing of cash flows into and out of the Fund, and current or future developments in tax legislation and regulation.
For many Funds, GMO often uses quantitative models as part of its investment process. GMO’s models are not necessarily predictive of future market events and use simplifying assumptions that can limit their effectiveness. In addition, the data on which the models are based is subject to limitations (e.g., inaccuracies, staleness) that could adversely affect a Fund’s performance. The Funds also run the risk that GMO’s assessment of an investment (including a company’s fundamental fair (or intrinsic) value) may be wrong.
There can be no assurance that key GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’s ability to achieve the Funds’ investment objectives.
The Funds also are subject to the risk of loss as a result of other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors could prevent a Fund from benefiting from potential investment gains or avoiding losses. In addition, a service provider may be unable to provide a net asset value (“NAV”) for a Fund or share class on a timely basis. GMO is not contractually liable to the Funds for losses associated with operational risk absent its willful misfeasance, bad faith, gross negligence, or reckless disregard of its contractual obligations to provide services to the Funds. Other Fund service providers also have contractual limitations on their liability to the Funds for losses resulting from their errors.
The Funds and their service providers (including GMO) are susceptible to cyber-attacks and technological malfunctions that may have effects that are similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and causing
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operational disruption. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release or misappropriation of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, reimbursement or other compensation costs, and additional compliance costs. While GMO has established business continuity plans and systems designed to prevent cyber-attacks, such plans and systems are subject to inherent limitations. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could result in material adverse consequences for such issuers, and may cause a Fund’s investment in such securities to lose value.
• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or other economic inputs (e.g., the marked decline in oil prices that began in late 2014) may have material and unexpected effects on both global securities markets and individual countries, regions, sectors, companies, or industries, which could significantly reduce the value of a Fund’s investments. Terrorism in the United States and around the world has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation (e.g., the manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trading practices, which could disrupt the orderly functioning of markets or reduce the value of investments traded in them, including investments of the Funds. Instances of fraud and other deceptive practices committed by senior management of certain companies in which a Fund invests may undermine GMO’s due diligence efforts with respect to such companies, and if such fraud is discovered, negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively impact a Fund’s investment program. Financial fraud also may impact the rates or indices underlying a Fund’s investments.
While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce the value of the Funds’ investments. Similarly, political events within the United States at times have resulted, and may in the future result, in a shutdown of government services, which could adversely 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. Uncertainty surrounding the sovereign debt of several European Union countries, as well as the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the United States and around the world. If a country changes its currency or leaves the European Union or if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also could adversely affect the Funds. War, terrorism, economic uncertainty, and related geopolitical events have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment, and other factors affecting the value of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis. To the extent a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.
• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market value of their holdings will decline. Market risks include:
Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as poor performance by the company’s management or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may result from general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. Equities generally have significant price volatility, and their market prices can decline in a rapid or unpredictable manner. If a Fund purchases an equity for less than its fundamental fair (or intrinsic) value as determined by GMO, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment of the equity’s fundamental fair (or intrinsic) value. 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.
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Because of Risk Premium Fund’s emphasis on selling put options on stock indices, GMO expects its net asset value to decline when those indices decline in value. Also, Risk Premium Fund’s investment strategy of writing put options on stock indices can be expected to cause the Fund to underperform relative to those indices when those markets rise sharply because of the Fund’s lack of exposure to the upside of those markets.
Fixed Income Investments — Funds that invest in fixed income securities (including bonds, notes, bills, synthetic debt instruments, and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to 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 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, and the market price of the Fund’s investment may 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 below investment grade securities are subject to greater sensitivity to interest rate and economic changes than higher rated bonds and can be more difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. See “Credit Risk” and “Illiquidity Risk” for more information about these risks.
A risk run by each Fund with 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. In addition, in managing some Funds, GMO may seek to evaluate potential investments in part by considering the volatility of interest rates. The value of a Fund’s investments may be significantly reduced if GMO’s assessment proves incorrect.
The extent to which 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, are subject to additional interest rate risk.
The market price of inflation-indexed bonds (including TIPS typically declines during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increases during periods of declining real interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities.
Generally, when interest rates on short term U.S. Treasury obligations equal or approach zero, a Fund that invests a substantial portion of its assets in U.S. Treasury obligations, such as U.S. Treasury Fund, will have a negative return unless GMO waives or reduces its management fees.
Fixed income securities denominated in foreign currencies also are subject to currency risk. See “Currency Risk”.
In response to government intervention, economic or market developments, or other factors, fixed income markets may experience periods of high volatility, reduced liquidity or both. During those periods, a Fund could have unusually high shareholder redemptions, requiring it to generate cash by selling securities when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value during such periods. In recent periods, central banks and governmental financial regulators, including the U.S. Federal Reserve, have maintained historically low interest rates by purchasing bonds. Steps to curtail or “taper” such activities and other actions by central banks or regulators (such as intervention in foreign currency markets or currency controls) could have a material adverse effect on the Funds.
• MERGER ARBITRAGE RISK. Some Funds may engage in transactions in which a Fund purchases securities at prices below the value of the consideration GMO expects to be paid for them upon consummation of a proposed merger, exchange offer, tender offer, or other similar transaction (“merger arbitrage transactions”). The purchase price paid by the Fund may substantially exceed the market price of the securities before the announcement of the transaction.
If a Fund engages in a merger arbitrage transaction and that transaction later appears unlikely to be consummated or, in fact, is not consummated or is delayed, the market prices of the securities purchased by the Fund may decline sharply, resulting in losses to the Fund. The risk/reward payout of merger arbitrage strategies typically is asymmetric, as the losses in failed transactions often far exceed the gains in successful transactions. A merger arbitrage transaction can fail for many reasons, including regulatory and antitrust restrictions, political motivations, industry weakness, stock specific events, failed financings, and general market declines.
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Merger arbitrage strategies depend for success on the overall volume of merger activity, which has historically been cyclical. When merger activity is low, GMO may be unable to identify enough opportunities to provide sufficient diversification.
Merger arbitrage strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated. A Fund’s investments in derivatives or short sales of securities to hedge or otherwise adjust long or short investment exposure in connection with a merger arbitrage transaction may not perform as GMO expected or may otherwise reduce the Fund’s gains or increase its losses. Also, a Fund may be unable to hedge against market fluctuations or other risks. In addition, a Fund that sells securities short that GMO expects it to receive upon consummation of a transaction but it does not actually receive (and thus has an unintended “naked” short position) may be required to cover its short position at a time when the securities sold short have appreciated in value, thus resulting in a loss.
• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of relatively few issuers. As a result, they may be subject to greater credit, market and other risks, and poor performance by a single issuer may have a greater impact on their performance, than if they were “diversified.”
The following Funds are not diversified investment companies within the meaning of the 1940 Act:
• | Developed World Stock Fund |
• | Quality Fund |
• | Resources Fund |
• | Risk Premium Fund |
• | Tax-Managed International Equities Fund |
• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. Non-U.S. securities markets often include securities of only a small number of companies in a limited number of industries. As a result, the market prices of many of the securities traded on those markets fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to as much regulation as U.S. issuers, and the reporting, accounting, custody, and auditing standards to which those issuers are subject differ, in some cases significantly, from U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes and custodial costs. In addition, some jurisdictions may limit a Fund’s ability to profit from short-term trading (as defined in the relevant jurisdiction).
A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. A Fund’s decision to seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if eligible. The outcome of a Fund’s efforts to obtain a refund may be unpredictable. Accordingly, a refund is not typically reflected in a Fund’s net asset value until it is received or until the Fund determines there is a high likelihood the refund will be received.
Also, investing in non-U.S. securities exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, other government involvement in the economy or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises), adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.
In some non-U.S. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States with respect to brokers, custodians, clearing banks or other clearing agents, escrow agents, and issuers. Fluctuations in foreign currency exchange rates also affect the market value of a Fund’s non-U.S. investments (see “Currency Risk”).
The Funds need a license to invest directly in many non-U.S. securities markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license to invest in a particular market is terminated or suspended, to obtain exposure to that market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of GMO’s clients may preclude other clients, including a Fund, from obtaining a similar license, and this could limit the Fund’s investment opportunities. In addition, the activities of a GMO client could cause the suspension or revocation of a license and thereby limit the Funds’ investment opportunities.
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Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of assets of issuers of securities in a Fund’s portfolio; greater governmental involvement in the economy or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises); 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 enforcing legal judgments; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries may be predominantly based on only a few industries or dependent on revenues from particular commodities.
• SMALL COMPANY RISK. Companies with smaller market capitalizations may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, may have inexperienced managers or may depend on a smaller group of key employees as compared to larger companies. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for securities of these companies.
Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and are taken in attempting to respond to adverse market, economic, political or other conditions. The Funds normally do not take temporary defensive positions. To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.
4. | Derivative financial instruments |
Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices that are used to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.
The Funds may use derivatives to gain long investment exposure to securities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.
The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). A Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.
The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and GMO believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting its investment exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which its equities are traded.
The Funds may use derivatives to effect transactions intended as substitutes for securities lending.
The Funds may have investment exposures in excess of their net assets (i.e., they may be leveraged). While GMO expects that Risk Premium Fund’s option positions typically will be fully collateralized at the time when the Fund is selling them, from time to time the Fund may have investment exposures in excess of its net assets (i.e., it may be leveraged). For example, if Risk Premium Fund receives a redemption request and is unable to close out an option it had sold, the Fund may temporarily have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and therefore is subject to heightened risk of loss. Risk Premium Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.
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A Fund’s foreign currency exposure may differ significantly from the currencies in which its equities are traded.
Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.
The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investment and other risks” above for further information.
For Funds that held derivatives during the period ended August 31, 2016, the following table shows how the Fund used these derivatives (marked with an X):
Type of Derivative and Objective for Use | Developed World Stock Fund | International Equity Fund | International Large/Mid Cap Equity Fund | Resources Fund | Risk Premium Fund | Tax-Managed International Equities Fund | U.S. Equity Allocation | |||||||||||||||||||||
Forward currency contracts | ||||||||||||||||||||||||||||
Manage against anticipated currency rate changes | X | |||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Adjust exposure to certain securities markets | X | X | X | X | X | |||||||||||||||||||||||
Maintain the diversity and liquidity of the portfolio | X | X | X | X | X | |||||||||||||||||||||||
Options (Written) | ||||||||||||||||||||||||||||
Substitute for direct equity investment | X | |||||||||||||||||||||||||||
Swap contracts | ||||||||||||||||||||||||||||
Substitute for direct investments in securities | X | X | ||||||||||||||||||||||||||
Rights and/or Warrants | ||||||||||||||||||||||||||||
Received as a result of corporate actions | X | X | X | X | X |
Forward currency contracts
The Funds may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market price of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked-to-market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was settled.
These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Futures contracts
The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance
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with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Options
The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium, if any, which is disclosed in the Schedule of Investments, is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
The Funds may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
When an option contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statements of Operations.
For the period ended August 31, 2016, investment activity in options contracts written by the Funds was as follows:
Puts | Calls | |||||||||||||||||||||||
Principal Amount of Contracts | Number of Contracts | Premiums | Principal Amount of Contracts | Number of Contracts | Premiums | |||||||||||||||||||
Risk Premium Fund | ||||||||||||||||||||||||
Outstanding, beginning of period | — | 4,274 | $ | 6,771,097 | — | — | $ | — | ||||||||||||||||
Options written | — | 28,551 | 30,652,000 | — | — | — | ||||||||||||||||||
Options bought back | — | (5,291 | ) | (6,102,570 | ) | — | — | — | ||||||||||||||||
Options expired | — | (19,466 | ) | (23,878,007 | ) | — | — | — | ||||||||||||||||
Options exercised | — | (4,525 | ) | (3,934,930 | ) | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Outstanding, end of period | — | 3,543 | $ | 3,507,590 | — | — | $ | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the market
89
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
of the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Funds value OTC options using industry models and inputs provided by primary pricing sources.
Swap contracts
The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.
Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses in the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations.
Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.
Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.
In a credit default swap contract, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.
For credit default swap contracts on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap contracts on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.
Variance swap contracts involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.
Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.
The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of
90
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Rights and warrants
The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.
The following is a summary of the valuations of derivative instruments categorized by risk exposure.
The risks referenced in the tables below are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.
The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2016 and the Statements of Operations for the period ended August 31, 2016^:
Credit Contracts | Commodity Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Developed World Stock Fund | ||||||||||||||||||||||||||||
Realized Gain (Loss) on | ||||||||||||||||||||||||||||
Swap Contracts | $ | — | $ | — | $ | 87,056 | $ | — | $ | — | $ | — | $ | 87,056 | ||||||||||||||
Forward Currency Contracts | — | — | — | 295,101 | — | — | 295,101 | |||||||||||||||||||||
Futures Contracts | — | — | 1,082,977 | — | — | — | 1,082,977 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | 1,170,033 | $ | 295,101 | $ | — | $ | — | $ | 1,465,134 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Appreciation (Depreciation) | ||||||||||||||||||||||||||||
Swap Contracts | $ | — | $ | — | $ | 5,620 | $ | — | $ | — | $ | — | $ | 5,620 | ||||||||||||||
Forward Currency Contracts | — | — | — | (458,392 | ) | — | — | (458,392 | ) | |||||||||||||||||||
Futures Contracts | — | — | (22,545 | ) | — | — | — | (22,545 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | (16,925 | ) | $ | (458,392 | ) | $ | — | $ | — | $ | (475,317 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
International Equity Fund | ||||||||||||||||||||||||||||
Realized Gain (Loss) on | ||||||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | — | $ | 5,705 | $ | — | $ | — | $ | — | $ | 5,705 | ||||||||||||||
Futures Contracts | — | — | 15,860,244 | — | — | — | 15,860,244 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | 15,865,949 | $ | — | $ | — | $ | — | $ | 15,865,949 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Appreciation (Depreciation) | ||||||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | (3,066,601 | ) | $ | — | $ | — | $ | — | $ | (3,066,601 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | (3,066,601 | ) | $ | — | $ | — | $ | — | $ | (3,066,601 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
91
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Credit Contracts | Commodity Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
International Large/Mid Cap Equity Fund | ||||||||||||||||||||||||||||
Realized Gain (Loss) on | ||||||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | — | $ | (2 | ) | $ | — | $ | — | $ | — | $ | (2 | ) | ||||||||||||
Futures Contracts | — | — | 1,724,021 | — | — | — | 1,724,021 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | 1,724,019 | $ | — | $ | — | $ | — | $ | 1,724,019 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Appreciation (Depreciation) | ||||||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | (49,665 | ) | $ | — | $ | — | $ | — | $ | (49,665 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | (49,665 | ) | $ | — | $ | — | $ | — | $ | (49,665 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Resources Fund | ||||||||||||||||||||||||||||
Realized Gain (Loss) on | ||||||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | — | $ | 33,221 | $ | — | $ | — | $ | — | $ | 33,221 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | 33,221 | $ | — | $ | — | $ | — | $ | 33,221 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Risk Premium Fund | ||||||||||||||||||||||||||||
Liability Derivatives | ||||||||||||||||||||||||||||
Written Options and/or swaptions, at value | $ | — | $ | — | $ | (1,947,014 | ) | $ | — | $ | — | $ | — | $ | (1,947,014 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | (1,947,014 | ) | $ | — | $ | — | $ | — | $ | (1,947,014 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | — | — | — | — | — | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | (1,947,014 | ) | $ | — | $ | — | $ | — | $ | (1,947,014 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Realized Gain (Loss) on | ||||||||||||||||||||||||||||
Written Options and/or Swaptions | $ | — | $ | — | $ | 23,528,005 | $ | — | $ | — | $ | — | $ | 23,528,005 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | 23,528,005 | $ | — | $ | — | $ | — | $ | 23,528,005 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Appreciation (Depreciation) | ||||||||||||||||||||||||||||
Written Options and/or Swaptions | $ | — | $ | — | $ | (1,106,436 | ) | $ | — | $ | — | $ | — | $ | (1,106,436 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | (1,106,436 | ) | $ | — | $ | — | $ | — | $ | (1,106,436 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Tax-Managed International Equities Fund | ||||||||||||||||||||||||||||
Realized Gain (Loss) on | ||||||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | — | $ | (3,469 | ) | $ | — | $ | — | $ | — | $ | (3,469 | ) | ||||||||||||
Forward Currency Contracts | — | — | — | — | — | — | — | |||||||||||||||||||||
Futures Contracts | — | — | 959,999 | — | — | — | 959,999 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | 956,530 | $ | — | $ | — | $ | — | $ | 956,530 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Appreciation (Depreciation) | ||||||||||||||||||||||||||||
Futures Contracts | — | — | (25,330 | ) | — | — | — | (25,330 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | (25,330 | ) | $ | — | $ | — | $ | — | $ | (25,330 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
92
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Credit Contracts | Commodity Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
U.S. Equity Allocation Fund | ||||||||||||||||||||||||||||
Realized Gain (Loss) on | ||||||||||||||||||||||||||||
Swap Contracts | $ | — | $ | — | $ | 2,130,834 | $ | — | $ | — | $ | — | $ | 2,130,834 | ||||||||||||||
Futures Contracts | — | — | 3,190,647 | — | — | — | 3,190,647 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | 5,321,481 | $ | — | $ | — | $ | — | $ | 5,321,481 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Appreciation (Depreciation) | ||||||||||||||||||||||||||||
Swap Contracts | $ | — | $ | — | $ | 137,535 | $ | — | $ | — | $ | — | $ | 137,535 | ||||||||||||||
Futures Contracts | — | — | 27,300 | — | — | — | 27,300 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | 164,835 | $ | — | $ | — | $ | — | $ | 164,835 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
^ | Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables. |
Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of some OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and netting provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions.
However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset. Additionally, the netting and close out provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Because the Funds do not presently have a legally enforceable right of set-off, these amounts have not been offset in the Statements of Assets and Liabilities, but have been presented separately in the table below. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. An estimate of the aggregate net payment, if any, that may need to be made by a Fund in such an event is represented by the unrealized amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.
For financial reporting purposes, on the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2016, if any.
The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2016:
Risk Premium Fund
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Morgan Stanley & Co. LLC | $ | 1,947,014 | $ | — | $ | — | $ | 1,947,014 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,947,014 | $ | — | $ | — | $ | 1,947,014 | ||||||||
|
|
|
|
|
|
|
| |||||||||
* | The actual collateral received and/or pledged is more than the amount shown. |
93
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts), market values (rights and/ or warrants) or number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2016:
Fund Name | Forward Currency Contracts ($) | Futures Contracts ($) | Swap Contracts ($) | Options (Contracts) | Rights and/or Warrants ($) | |||||||||||||||
Developed World Stock Fund | 19,957,751 | 2,829,496 | 191,092 | — | 3,803 | |||||||||||||||
International Equity Fund | — | 25,610,393 | — | — | 191,258 | |||||||||||||||
International Large/Mid Cap Equity Fund | — | 4,417,884 | — | — | 26,881 | |||||||||||||||
Resources Fund | — | — | — | — | 3,856 | |||||||||||||||
Risk Premium Fund | — | — | — | 4,759 | — | |||||||||||||||
Tax-Managed International Equities Fund | — | 309,417 | — | — | 5,868 | |||||||||||||||
U.S. Equity Allocation Fund | — | 11,865,078 | * | 4,677,310 | — | — |
* | During the period ended August 31, 2016, the Fund did not hold this investment type at any month-end; therefore, the average amount outstanding was calculated using daily outstanding absolute values. |
5. | Fees and other transactions with affiliates |
GMO receives a management fee for the services it provides to each Fund. Management fees are paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:
Developed World Stock Fund | International Equity Fund | International Large/Mid Cap Equity Fund | Quality Fund | Resources Fund | Risk Premium Fund | Tax-Managed International Equities Fund | U.S. Equity Allocation Fund | |||||||||
Management Fee | 0.45% | 0.50% | 0.38% | 0.33% | 0.50% | 0.45% | 0.50% | 0.31% |
In addition, each class of shares of certain Funds pays GMO a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Shareholder service fees are paid monthly equal to the percentage of each applicable Fund’s average daily net assets set forth in the table below:
Fund Name | Class II | Class III | Class IV | Class V | Class VI | |||||||||||||||
Developed World Stock Fund | 0.15% | 0.10% | ||||||||||||||||||
International Equity Fund | 0.22% | 0.15% | 0.09% | |||||||||||||||||
International Large/Mid Cap Equity Fund | 0.15% | 0.09% | 0.055% | |||||||||||||||||
Quality Fund | 0.15% | 0.105% | 0.085% | 0.055% | ||||||||||||||||
Resources Fund | 0.15% | 0.10% | 0.085% | * | 0.055% | * | ||||||||||||||
Risk Premium Fund | 0.15% | 0.10% | * | 0.085% | * | 0.055% | ||||||||||||||
Tax-Managed International Equities Fund | 0.15% | |||||||||||||||||||
U.S. Equity Allocation Fund | 0.15% | 0.10% | 0.085% | 0.055% |
* | Class is offered but has no shareholders as of August 31, 2016. |
94
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
For each Fund other than Resources Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO. For Resources Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.10% of the Fund’s average daily net assets.
“Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.
For each Fund that pays GMO a management fee, GMO has contractually agreed to waive or reduce that fee, but not below zero, to the extent necessary to offset the management fees paid to GMO that are directly or indirectly borne by the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
For each Fund that charges a shareholder service fee, GMO has contractually agreed to waive or reduce the shareholder service fee charged to holders of each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly borne by the class of shares of the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
These contractual waivers and reimbursements will continue through at least June 30, 2017 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination, or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplemental support agreement.
The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 2016 is shown in the table below and is included in the Statements of Operations.
Fund Name | Independent Trustees and their legal counsel ($) | Agent unaffiliated with GMO ($) | ||||||
Developed World Stock Fund | 2,668 | 368 | ||||||
International Equity Fund | 63,508 | 6,808 | ||||||
International Large/Mid Cap Equity Fund | 11,151 | 1,196 | ||||||
Quality Fund | 57,536 | 6,348 | ||||||
Resources Fund | 1,380 | 184 | ||||||
Risk Premium Fund | 1,748 | 184 | ||||||
Tax-Managed International Equities Fund | 1,840 | 184 | ||||||
U.S. Equity Allocation Fund | 33,383 | 3,588 |
Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2016 these indirect fees and expenses expressed as an annualized percentage of each Fund’s average daily net assets were as follows:
Fund Name | Indirect Net Expenses (excluding shareholder service fees) | Indirect Shareholder Service Fees | Total Indirect Expenses | |||||||||
Developed World Stock Fund | 0.016% | 0.003% | 0.019% | |||||||||
International Equity Fund | < 0.001% | 0.000% | < 0.001% | |||||||||
International Large/Mid Cap Equity Fund | < 0.001% | 0.000% | < 0.001% | |||||||||
Quality Fund | < 0.001% | 0.000% | < 0.001% | |||||||||
Resources Fund | < 0.001% | 0.000% | < 0.001% | |||||||||
Risk Premium Fund | 0.000% | 0.000% | 0.000% | |||||||||
Tax-Managed International Equities Fund | < 0.001% | 0.000% | < 0.001% | |||||||||
U.S. Equity Allocation Fund | < 0.001% | 0.000% | < 0.001% |
95
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to insure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the period ended August 31, 2016, the Funds did not engage in these transactions.
6. | Purchases and sales of securities |
Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, for the period ended August 31, 2016 are noted in the table below:
Purchases ($) | Purchases ($) | Sales ($) | Sales ($) | |||||||||||||
Fund Name | U.S. Government Securities | Investments (Non-U.S. Government Securities) | U.S. Government Securities | Investments (Non-U.S. Government Securities) | ||||||||||||
Developed World Stock Fund | — | 239,924,284 | — | 314,157,708 | ||||||||||||
International Equity Fund | — | 2,313,945,972 | — | 3,756,718,421 | ||||||||||||
International Large/Mid Cap Equity Fund | — | 358,413,644 | — | 879,451,689 | ||||||||||||
Quality Fund | — | 2,380,089,635 | — | 1,182,666,794 | ||||||||||||
Resources Fund | — | 53,524,434 | — | 88,705,914 | ||||||||||||
Risk Premium Fund | — | — | — | — | ||||||||||||
Tax-Managed International Equities Fund | — | 65,150,417 | — | 140,995,997 | ||||||||||||
U.S. Equity Allocation Fund | — | 1,882,268,584 | — | 4,658,838,291 |
Cost of purchases and proceeds from sales of securities for in-kind transactions, excluding short-term investments, in accordance with U.S. GAAP for the period ended August 31, 2016 are noted in the table below:
Fund Name | Purchases ($) | Sales ($) | ||||||
U.S. Equity Allocation Fund | — | 153,780,220 |
For the period ended August 31, 2016, the Funds had the following net realized gains/(losses) attributed to redemption in-kind transactions:
Fund Name | Net realized gains/(losses) attributed to redemption in-kind transactions ($) | |||
U.S. Equity Allocation Fund | 21,941,191 |
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, GMO 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.
96
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
8. | Principal shareholders and related parties as of August 31, 2016 |
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 | Percentage of the shares of the Fund held by senior management of GMO and GMO Trust officers | Percentage of the Fund’s shares held by accounts for which GMO has investment discretion | ||||||||||||
Developed World Stock Fund | 1 | 93.96% | 0.06% | — | ||||||||||||
International Equity Fund | 4 | § | 50.81% | 0.22% | 91.74% | |||||||||||
International Large/Mid Cap Equity Fund | 4 | 69.55% | — | — | ||||||||||||
Quality Fund | — | — | 0.10% | 21.74% | ||||||||||||
Resources Fund | 2 | 80.46% | 14.32% | 6.83% | ||||||||||||
Risk Premium Fund | 2 | ‡ | 83.99% | 0.05% | 99.70% | |||||||||||
Tax-Managed International Equities Fund | 3 | 40.45% | 0.33% | — | ||||||||||||
U.S. Equity Allocation Fund | 4 | § | 60.97% | 0.02% | 96.81% |
‡ | One of the shareholders is another fund of the Trust. |
§ | Three of the shareholders are other funds of the Trust. |
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 the Funds’ shares were as follows:
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Developed World Stock Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares issued to shareholders in reinvestment of distributions | 4,060 | $ | 86,956 | 299,846 | $ | 6,603,136 | ||||||||||
Shares repurchased | (3,955,340 | ) | (85,243,708 | ) | (1,939,204 | ) | (45,581,452 | ) | ||||||||
Purchase premiums | — | — | — | 7 | ||||||||||||
Redemption fees | — | 27,614 | — | 44,518 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (3,951,280 | ) | $ | (85,129,138 | ) | (1,639,358 | ) | $ | (38,933,791 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | — | $ | — | 331 | $ | 8,160 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 80,016 | 1,713,142 | 775,881 | 17,111,972 | ||||||||||||
Shares repurchased | (425 | ) | (195,225 | ) | (1,079 | ) | (22,778 | ) | ||||||||
Purchase premiums | — | — | — | 14 | ||||||||||||
Redemption fees | — | 185,983 | — | 95,057 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 79,591 | $ | 1,703,900 | 775,133 | $ | 17,192,425 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
97
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
International Equity Fund | ||||||||||||||||
Class II: | ||||||||||||||||
Shares sold | 391,304 | $ | 7,700,000 | 40,871 | $ | 879,894 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 6,979 | 133,724 | 122,349 | 2,473,073 | ||||||||||||
Shares repurchased | (2,036,744 | ) | (38,999,914 | ) | (762,281 | ) | (18,193,375 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,638,461 | ) | $ | (31,166,190 | ) | (599,061 | ) | $ | (14,840,408 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class III: | ||||||||||||||||
Shares sold | 2,101,225 | $ | 41,120,674 | 11,099,737 | $ | 212,113,201 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 201,936 | 3,911,496 | 1,420,943 | 29,100,091 | ||||||||||||
Shares repurchased | (19,972,784 | ) | (396,729,189 | ) | (20,046,562 | ) | (450,098,976 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (17,669,623 | ) | $ | (351,697,019 | ) | (7,525,882 | ) | $ | (208,885,684 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | 9,872,924 | $ | 190,619,462 | 24,271,645 | (a) | $ | 515,469,914 | (a) | ||||||||
Shares issued to shareholders in reinvestment of distributions | 1,551,728 | 30,010,422 | 12,723,714 | 260,908,804 | ||||||||||||
Shares repurchased | (71,182,329 | ) | (1,407,196,262 | ) | (133,552,246 | ) | (2,927,675,247 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (59,757,677 | ) | $ | (1,186,566,378 | ) | (96,556,887 | ) | $ | (2,151,296,529 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
International Large/Mid Cap Equity Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 382,657 | $ | 9,744,366 | 605,372 | $ | 16,698,856 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 89,127 | 2,192,533 | 477,071 | 12,391,865 | ||||||||||||
Shares repurchased | (6,808,593 | ) | (170,247,762 | ) | (1,128,246 | ) | (31,120,472 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (6,336,809 | ) | $ | (158,310,863 | ) | (45,803 | ) | $ | (2,029,751 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | 815,187 | $ | 20,401,948 | 4,154,261 | $ | 120,506,310 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 84,272 | 2,072,250 | 1,128,998 | 29,419,761 | ||||||||||||
Shares repurchased | (15,945,925 | ) | (407,767,165 | ) | (22,578,254 | ) | (622,875,974 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (15,046,466 | ) | $ | (385,292,967 | ) | (17,294,995 | ) | $ | (472,949,903 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class VI: | ||||||||||||||||
Shares sold | — | $ | — | 11,580,744 | $ | 347,306,281 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 86,246 | 2,119,909 | 332,833 | 8,537,330 | ||||||||||||
Shares repurchased | — | — | (5,562 | ) | (147,705 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 86,246 | $ | 2,119,909 | 11,908,015 | $ | 355,695,906 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Quality Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 11,603,293 | $ | 237,668,411 | 37,113,339 | $ | 737,344,467 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 3,006,909 | 62,062,610 | 30,774,221 | 612,057,442 | ||||||||||||
Shares repurchased | (49,582,269 | ) | (1,023,328,056 | ) | (91,043,451 | ) | (1,918,244,009 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (34,972,067 | ) | $ | (723,597,035 | ) | (23,155,891 | ) | $ | (568,842,100 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | 20,320,707 | $ | 429,962,028 | 12,972,554 | $ | 257,812,501 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 829,483 | 17,145,419 | 13,099,210 | 260,671,560 | ||||||||||||
Shares repurchased | (19,171,806 | ) | (393,148,507 | ) | (53,695,896 | ) | (1,093,773,807 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,978,384 | $ | 53,958,940 | (27,624,132 | ) | $ | (575,289,746 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
98
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Quality Fund (continued) | ||||||||||||||||
Class V: | ||||||||||||||||
Shares sold | 8,400,829 | $ | 175,100,716 | 14,581,336 | $ | 281,324,249 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 323,502 | 6,686,781 | 1,727,690 | 34,265,400 | ||||||||||||
Shares repurchased | (1,429,519 | ) | (28,932,992 | ) | (13,369,451 | ) | (265,409,816 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 7,294,812 | $ | 152,854,505 | 2,939,575 | $ | 50,179,833 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI: | ||||||||||||||||
Shares sold | 87,366,930 | $ | 1,819,444,825 | 4,668,807 | $ | 94,787,369 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 2,511,389 | 51,835,067 | 16,573,784 | 329,071,123 | ||||||||||||
Shares repurchased | (7,175,615 | ) | (149,323,942 | ) | (38,615,013 | ) | (796,618,823 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 82,702,704 | $ | 1,721,955,950 | (17,372,422 | ) | $ | (372,760,331 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Resources Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 339,293 | $ | 5,006,738 | 80,942 | $ | 1,025,701 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 2,264 | 32,583 | 23,071 | 276,260 | ||||||||||||
Shares repurchased | (480,753 | ) | (6,826,429 | ) | (376,930 | ) | (6,175,879 | ) | ||||||||
Purchase premiums | — | 1,414 | — | 31,664 | ||||||||||||
Redemption fees | — | 10,961 | — | 2,123 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (139,196 | ) | $ | (1,774,733 | ) | (272,917 | ) | $ | (4,840,131 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | 92,528 | $ | 1,248,774 | 6,912,543 | $ | 105,688,092 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 40,692 | 583,934 | 426,392 | 5,037,059 | ||||||||||||
Shares repurchased | (2,889,192 | ) | (37,258,450 | ) | (68,102 | ) | (1,018,052 | ) | ||||||||
Purchase premiums | — | 17,039 | — | 289,355 | ||||||||||||
Redemption fees | — | 120,924 | — | 19,374 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,755,972 | ) | $ | (35,287,779 | ) | 7,270,833 | $ | 110,015,828 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Risk Premium Fund | ||||||||||||||||
Class III:# | ||||||||||||||||
Shares sold | — | $ | — | 144,920 | $ | 3,932,767 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 117 | 3,339 | 13,688 | 385,514 | ||||||||||||
Shares repurchased | — | — | (68,020 | ) | (1,897,755 | ) | ||||||||||
Purchase premiums | — | 630 | — | 3,273 | ||||||||||||
Redemption fees | — | 1,655 | — | 10,762 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 117 | $ | 5,624 | 90,588 | $ | 2,434,561 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV:‡ | ||||||||||||||||
Shares sold | — | $ | — | — | $ | — | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 50,801 | 477,401 | ||||||||||||
Shares repurchased | — | — | (764,691 | ) | (6,989,835 | ) | ||||||||||
Purchase premiums | — | — | — | 2,962 | ||||||||||||
Redemption fees | — | — | — | 13,516 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | — | $ | — | (713,890 | ) | $ | (6,495,956 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
99
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Risk Premium Fund (continued) | ||||||||||||||||
Class VI#: | ||||||||||||||||
Shares sold | 389 | $ | 10,630 | 7,288,864 | $ | 201,620,443 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 3,271 | 94,199 | 948,606 | 27,005,743 | ||||||||||||
Shares repurchased | (1,628,160 | ) | (46,110,474 | ) | (14,450,027 | ) | (408,326,738 | ) | ||||||||
Purchase premium fees | — | 17,112 | — | 299,048 | ||||||||||||
Redemption fees | — | 49,785 | — | 598,039 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,624,500 | ) | $ | (45,938,748 | ) | (6,212,557 | ) | $ | (178,803,465 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Tax-Managed International Equities Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 31,833 | $ | 428,920 | 213,044 | $ | 3,126,326 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 25,432 | 344,090 | 326,791 | 4,756,977 | ||||||||||||
Shares repurchased | (5,967,989 | ) | (82,731,697 | ) | (9,254,256 | ) | (130,480,430 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (5,910,724 | ) | $ | (81,958,687 | ) | (8,714,421 | ) | $ | (122,597,127 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
U.S. Equity Allocation Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 208,513 | $ | 3,047,824 | 3,690,778 | $ | 52,394,646 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 265,319 | 3,852,425 | 1,411,262 | 20,777,207 | ||||||||||||
Shares repurchased | (4,922,636 | ) | (72,796,904 | ) | (8,265,441 | ) | (132,490,471 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (4,448,804 | ) | $ | (65,896,655 | ) | (3,163,401 | ) | $ | (59,318,618 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | 353,392 | $ | 5,084,358 | 15,005,109 | $ | 210,258,173 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 391,745 | 5,676,391 | 3,184,478 | 46,544,031 | ||||||||||||
Shares repurchased | (35,938,357 | )(b) | (529,747,030 | )(b) | (6,893,844 | ) | (102,627,813 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (35,193,220 | ) | $ | (518,986,281 | ) | 11,295,743 | $ | 154,174,391 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class V:* | ||||||||||||||||
Shares sold | 9,940,723 | $ | 148,613,808 | — | $ | — | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | — | — | ||||||||||||
Shares repurchased | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 9,940,723 | $ | 148,613,808 | — | $ | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI: | ||||||||||||||||
Shares sold | 77,498 | $ | 1,154,157 | 23,204,175 | $ | 356,309,707 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 4,483,392 | 64,785,018 | 37,541,140 | 549,608,080 | ||||||||||||
Shares repurchased | (160,888,801 | ) | (2,366,680,172 | ) | (145,656,187 | )(c) | (2,226,520,372 | )(c) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (156,327,911 | ) | $ | (2,300,740,997 | ) | (84,910,872 | ) | $ | (1,320,602,585 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
(a) | 42,664,021 shares and $928,795,727 were redeemed in-kind. |
(b) | 10,797,603 shares and $157,105,130 were redeemed in-kind. |
(c) | 42,205,856 shares and $640,262,842 were redeemed in-kind. |
# | Shares were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
‡ | Class IV liquidated on February 25, 2016. |
* | The class was inactive from July 31, 2014 to August 8, 2016. |
100
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
10. | Investments in affiliated issuers |
A summary of the Funds’ transactions in the shares of other funds of GMO Trust during the period ended August 31, 2016 is set forth below:
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income* | Distributions of Realized Gains* | Value, end of period | ||||||||||||||||||
Developed World Stock Fund | ||||||||||||||||||||||||
GMO Quality Fund, Class VI | $ | — | $ | 64,900,000 | $ | 3,380,173 | $ | 133,842 | $ | 596,713 | $ | 62,229,609 | ||||||||||||
GMO U.S. Treasury Fund | 21,471,541 | 48,750,000 | 65,750,000 | 18,069 | 153 | 4,480,723 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Totals | $ | 21,471,541 | $ | 113,650,000 | $ | 69,130,173 | $ | 151,911 | $ | 596,866 | $ | 66,710,332 | ||||||||||||
|
|
|
|
|
| �� |
|
|
|
|
|
| ||||||||||||
International Equity Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 296,198,769 | $ | 954,000,000 | $ | 1,188,000,000 | $ | 377,027 | $ | 5,157 | $ | 62,226,997 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
International Large/Mid Cap Equity Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 50,481,592 | $ | 159,500,000 | $ | 206,950,000 | $ | 58,910 | $ | 686 | $ | 3,044,984 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Quality Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 117,824,375 | $ | 773,700,000 | $ | 667,000,000 | $ | 247,447 | $ | 1,105 | $ | 224,537,698 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Resources Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 2,000,000 | $ | 13,300,000 | $ | 12,800,000 | $ | 2,799 | $ | 80 | $ | 2,500,080 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Tax-Managed International Equities Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 14,106,048 | $ | 5,950,000 | $ | 17,850,000 | $ | 6,864 | $ | 95 | $ | 2,208,490 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
U.S. Equity Allocation Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 159,329,373 | $ | 500,400,000 | $ | 650,400,000 | $ | 138,291 | $ | 574 | $ | 9,345,101 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
* | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2016 through August 31, 2016. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2017. |
11. | Subsequent events |
Subsequent to August 31, 2016, GMO Developed World Stock Fund received redemption requests in the amount of $137,228,495.
101
GMO Trust Funds
Board Review of Investment Management Agreements
August 31, 2016 (Unaudited)
GMO Developed World Stock Fund
Approval of renewal of management agreement for GMO Developed World Stock Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016 In approving the management agreement the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its other pooled investment vehicles and/or separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and/or accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that, while the Fund may invest in other GMO funds (“underlying GMO funds”) that charge advisory fees, the Manager offsets against fees payable by the Fund to the Manager the management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to a contractual expense reimbursement arrangement with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.
102
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2016 (Unaudited)
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO International Equity Fund
Approval of renewal of management agreement for GMO International Equity Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee structure.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.
103
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2016 (Unaudited)
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO International Large/Mid Cap Equity Fund
Approval of renewal of management agreement for GMO International Large/Mid Cap Equity Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to fees received by the Manager for providing sub-advisory services to funds managed by third parties. The Trustees considered differences in the services that the Manager provides to the Fund and to those other funds. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.
104
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2016 (Unaudited)
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Quality Fund
Approval of renewal of management agreement for GMO Quality Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its other pooled investment vehicles and/or separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and/or accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee structure.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
105
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2016 (Unaudited)
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Resources Fund
Approval of renewal of management agreement for GMO Resources Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
106
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2016 (Unaudited)
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Risk Premium Fund
Approval of renewal of management agreement for GMO Risk Premium Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. The Trustees noted that the Fund is not a standalone investment and its investment strategies are intended to complement the strategies pursued by the Manager in other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
107
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2016 (Unaudited)
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Tax-Managed International Equities Fund
Approval of renewal of management agreement for GMO Tax-Managed International Equities Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
108
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2016 (Unaudited)
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO U.S. Equity Allocation Fund
Approval of renewal of management agreement for GMO U.S. Equity Allocation Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to fees received by the Manager for providing sub-advisory services to funds managed by third parties. The Trustees considered differences in the services that the Manager provides to the Fund and to those other funds. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
109
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2016 (Unaudited)
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
110
GMO Trust Funds
(A Series of GMO Trust)
August 31, 2016 (Unaudited)
Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2016.
As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and/or indirect management fees, direct and/or indirect shareholder services fees, 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, March 1, 2016 through August 31, 2016.
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 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 Funds 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 March 1, 2016 | Ending Account Value August 31, 2016 | Expenses Paid During the Period* | Beginning Account Value March 1, 2016 | Ending Account Value August 31, 2016 | Expenses Paid During the Period* | Annualized Expense Ratio | ||||||||||||||||||||||
Developed World Stock Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,106.70 | $3.29 | $1,000.00 | $1,022.08 | $3.16 | 0.62% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,106.50 | $2.97 | $1,000.00 | $1,022.38 | $2.85 | 0.56% | |||||||||||||||||||||
International Equity Fund |
| |||||||||||||||||||||||||||
Class II | $1,000.00 | $1,093.60 | $3.80 | $1,000.00 | $1,021.58 | $3.67 | 0.72% | |||||||||||||||||||||
Class III | $1,000.00 | $1,094.40 | $3.43 | $1,000.00 | $1,021.93 | $3.31 | 0.65% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,094.30 | $3.11 | $1,000.00 | $1,022.23 | $3.01 | 0.59% | |||||||||||||||||||||
International Large/Mid Cap Equity Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,094.60 | $2.85 | $1,000.00 | $1,022.48 | $2.75 | 0.54% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,095.50 | $2.54 | $1,000.00 | $1,022.79 | $2.45 | 0.48% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,095.70 | $2.32 | $1,000.00 | $1,022.99 | $2.24 | 0.44% | |||||||||||||||||||||
Quality Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,125.40 | $2.57 | $1,000.00 | $1,022.79 | $2.45 | 0.48% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,125.80 | $2.36 | $1,000.00 | $1,022.99 | $2.24 | 0.44% | |||||||||||||||||||||
Class V | $1,000.00 | $1,126.20 | $2.25 | $1,000.00 | $1,023.09 | $2.14 | 0.42% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,126.40 | $2.09 | $1,000.00 | $1,023.24 | $1.99 | 0.39% | |||||||||||||||||||||
Resources Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,236.50 | $4.34 | $1,000.00 | $1,021.32 | $3.92 | 0.77% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,236.90 | $4.06 | $1,000.00 | $1,021.58 | $3.67 | 0.72% | |||||||||||||||||||||
Risk Premium Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,103.10 | $3.18 | $1,000.00 | $1,022.18 | $3.06 | 0.60% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,103.80 | $2.70 | $1,000.00 | $1,022.63 | $2.60 | 0.51% | |||||||||||||||||||||
Tax-Managed International Equities Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,094.70 | $3.48 | $1,000.00 | $1,021.88 | $3.36 | 0.66% |
111
GMO Trust Funds
(A Series of GMO Trust)
Fund Expenses — (Continued)
August 31, 2016 (Unaudited)
Actual | Hypothetical |
| ||||||||||||||||||||||||||
Beginning Account Value March 1, 2016 | Ending Account Value August 31, 2016 | Expenses Paid During the Period* | Beginning Account Value March 1, 2016 | Ending Account Value August 31, 2016 | Expenses Paid During the Period* | Annualized Expense Ratio | ||||||||||||||||||||||
U.S. Equity Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,118.40 | $2.46 | $1,000.00 | $1,022.89 | $2.35 | 0.46% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,119.50 | $2.19 | $1,000.00 | $1,023.14 | $2.09 | 0.41% | |||||||||||||||||||||
Class V | $1,000.00 | $1,007.40 | $0.24 | $1,000.00 | $1,002.77 | $0.24 | 0.40% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,118.60 | $1.98 | $1,000.00 | $1,023.34 | $1.89 | 0.37% |
* | Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2016, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year. |
112
GMO Trust
Semiannual Report
August 31, 2016
Emerging Countries Fund
Emerging Domestic Opportunities Fund
Emerging Markets Fund
Taiwan 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 is available on GMO’s website at www.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. The Funds have a policy with respect to disclosure of portfolio holdings under which they may also make a complete schedule of portfolio holdings available on GMO’s website at www.gmo.com.
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 Trust, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.
An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus regarding specific principal risks for each Fund. General risks may include: market risk-equities, management and operational risk, non-U.S. investment risk, small company risk and derivatives risk.
The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.
1 | ||||
2 | ||||
6 | ||||
7 | ||||
11 | ||||
12 | ||||
20 | ||||
21 | ||||
23 | ||||
24 | ||||
26 | ||||
27 | ||||
29 | ||||
37 | ||||
72 | ||||
77 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 85.0 | % | ||
Investment Funds | 7.0 | |||
Preferred Stocks | 5.9 | |||
Mutual Funds | 1.1 | |||
Short-Term Investments | 0.1 | |||
Rights/Warrants | 0.0 | ^ | ||
Other | 0.9 | |||
|
| |||
100.0 | % | |||
|
|
Country Summary¤ | % of Investments | |||
Taiwan | 20.6 | % | ||
China | 19.5 | |||
South Korea | 16.5 | |||
India | 12.4 | |||
Russia | 10.7 | |||
United States | 7.5 | * | ||
Brazil | 3.2 | |||
Turkey | 2.1 | |||
Thailand | 1.8 | |||
Mexico | 1.4 | |||
Indonesia | 0.7 | |||
Greece | 0.7 | |||
Czech Republic | 0.7 | |||
South Africa | 0.7 | |||
Philippines | 0.5 | |||
Malaysia | 0.3 | |||
Egypt | 0.2 | |||
United Kingdom | 0.2 | * | ||
Chile | 0.1 | |||
Qatar | 0.1 | |||
Switzerland | 0.1 | |||
Poland | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
& | Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, rather than notional amounts. |
¤ | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
* | Includes companies that derive more than 50% of their revenues or profits from emerging markets. |
^ | Rounds to 0.0%. |
Industry Group Summary | % of Equity Investments# | |||
Banks | 23.1 | % | ||
Technology Hardware & Equipment | 18.2 | |||
Telecommunication Services | 12.9 | |||
Automobiles & Components | 8.9 | |||
Energy | 6.8 | |||
Materials | 6.4 | |||
Software & Services | 5.6 | |||
Semiconductors & Semiconductor Equipment | 4.7 | |||
Diversified Financials | 2.6 | |||
Insurance | 2.5 | |||
Food, Beverage & Tobacco | 1.5 | |||
Capital Goods | 1.3 | |||
Utilities | 0.9 | |||
Transportation | 0.7 | |||
Consumer Durables & Apparel | 0.7 | |||
Health Care Equipment & Services | 0.7 | |||
Real Estate | 0.6 | |||
Food & Staples Retailing | 0.5 | |||
Consumer Services | 0.5 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 0.3 | |||
Media | 0.3 | |||
Household & Personal Products | 0.2 | |||
Retailing | 0.1 | |||
|
| |||
100.0 | % | |||
|
|
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
1
GMO Emerging Countries Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 85.0% | ||||||||||
Brazil — 1.3% | ||||||||||
396 | Banco Bradesco SA | 3,569 | ||||||||
21,600 | CCR SA | 114,114 | ||||||||
700 | Cielo SA | 7,281 | ||||||||
1,955 | Localiza Rent a Car SA | 24,404 | ||||||||
5,000 | LPS Brasil Consultoria de Imoveis SA * | 7,107 | ||||||||
2,000 | Multiplus SA | 25,920 | ||||||||
1,125 | Raia Drogasil SA | 20,791 | ||||||||
8,900 | Tim Participacoes SA | 22,903 | ||||||||
8,900 | Tim Participacoes SA ADR | 114,810 | ||||||||
|
| |||||||||
Total Brazil | 340,899 | |||||||||
|
| |||||||||
Chile — 0.1% | ||||||||||
3,500 | Enersis Americas SA Sponsored ADR | 29,155 | ||||||||
344,016 | Itau CorpBanca | 2,947 | ||||||||
800 | Latam Airlines Group SA Sponsored ADR * | 6,496 | ||||||||
|
| |||||||||
Total Chile | 38,598 | |||||||||
|
| |||||||||
China — 19.3% | ||||||||||
459,002 | Agricultural Bank of China Ltd – Class H | 188,316 | ||||||||
9,400 | AIA Group Ltd | 59,203 | ||||||||
5,521 | Alibaba Group Holding Ltd Sponsored ADR * | 536,586 | ||||||||
10,500 | Anhui Conch Cement Co Ltd – Class H | 29,409 | ||||||||
100 | Baidu Inc Sponsored ADR * | 17,107 | ||||||||
536,500 | Bank of China Ltd – Class H | 240,724 | ||||||||
125,000 | Belle International Holdings Ltd | 81,024 | ||||||||
113,000 | China Cinda Asset Management Co Ltd – Class H | 38,201 | ||||||||
569,160 | China Communications Services Corp Ltd – Class H | 334,100 | ||||||||
819,320 | China Construction Bank Corp – Class H | 612,680 | ||||||||
300 | China Lodging Group Ltd Sponsored ADR | 13,389 | ||||||||
1,000 | China Machinery Engineering Corp – Class H | 607 | ||||||||
70,834 | China Mobile Ltd | 872,606 | ||||||||
1,300 | China Mobile Ltd Sponsored ADR | 78,923 | ||||||||
11,200 | China Overseas Property Holdings Ltd | 2,274 | ||||||||
154,000 | China Telecom Corp Ltd – Class H | 79,352 | ||||||||
123,000 | Country Garden Holdings Co Ltd | 62,337 | ||||||||
170,000 | Geely Automobile Holdings Ltd | 135,990 | ||||||||
3,500 | Hengan International Group Co Ltd | 29,565 | ||||||||
201,500 | Industrial & Commercial Bank of China Ltd – Class H | 128,170 | ||||||||
1,500 | New Oriental Education & Technology Group Inc Sponsored ADR | 59,220 | ||||||||
1,400 | People’s Insurance Co Group of China Ltd – Class H | 561 | ||||||||
108,000 | PICC Property & Casualty Co Ltd – Class H | 177,747 | ||||||||
5,500 | Ping An Insurance Group Co of China Ltd – Class H | 28,349 | ||||||||
8,400 | Qingdao Haier Co Ltd – Class A | 13,158 | ||||||||
700 | Qinqin Foodstuffs Group Cayman Co Ltd * | 252 |
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
3,600 | SAIC Motor Corp Ltd – Class A | 11,876 | ||||||||
14,000 | Shanghai Industrial Holdings Ltd | 36,382 | ||||||||
1,000 | Shenzhou International Group Holdings Ltd | 6,559 | ||||||||
10,000 | Sinopharm Group Co Ltd Class H | 51,106 | ||||||||
22,000 | Sunac China Holdings Ltd | 15,233 | ||||||||
500 | TAL Education Group ADR * | 29,880 | ||||||||
20,360 | Tencent Holdings Ltd | 527,627 | ||||||||
14,000 | Tong Ren Tang Technologies Co Ltd – Class H | 24,766 | ||||||||
2,000 | Tsingtao Brewery Co Ltd – Class H | 6,689 | ||||||||
137,000 | Want Want China Holdings Ltd | 89,972 | ||||||||
2,000 | Weibo Corp Sponsored ADR * | 95,540 | ||||||||
4,750 | Xinyi Automobile Glass Hong Kong Enterprises Ltd * | 980 | ||||||||
38,000 | Xinyi Glass Holdings Ltd | 32,666 | ||||||||
165,000 | Yangzijiang Shipbuilding Holdings Ltd | 92,499 | ||||||||
12,000 | Zhejiang Expressway Co Ltd – Class H | 13,365 | ||||||||
|
| |||||||||
Total China | 4,854,990 | |||||||||
|
| |||||||||
Czech Republic — 0.7% | ||||||||||
1,186 | CEZ AS | 20,701 | ||||||||
282 | Philip Morris CR AS | 148,581 | ||||||||
|
| |||||||||
Total Czech Republic | 169,282 | |||||||||
|
| |||||||||
Egypt — 0.2% | ||||||||||
4,601 | Alexandria Mineral Oils Co | 19,685 | ||||||||
23,615 | Telecom Egypt Co | 26,754 | ||||||||
|
| |||||||||
Total Egypt | 46,439 | |||||||||
|
| |||||||||
Greece — 0.7% | ||||||||||
46,588 | Alpha Bank AE * | 89,356 | ||||||||
46,032 | Eurobank Ergasias SA * | 27,433 | ||||||||
157,572 | National Bank of Greece SA * | 37,112 | ||||||||
159,022 | Piraeus Bank SA * | 25,843 | ||||||||
|
| |||||||||
Total Greece | 179,744 | |||||||||
|
| |||||||||
India — 12.2% | ||||||||||
544 | Aditya Birla Nuvo Ltd | 11,175 | ||||||||
17,622 | Asian Paints Ltd | 305,110 | ||||||||
4,547 | Aurobindo Pharma Ltd | 53,610 | ||||||||
4,213 | Axis Bank Ltd | 37,433 | ||||||||
43 | Bajaj Finance Ltd | 7,093 | ||||||||
4,230 | Berger Paints India Ltd | 16,483 | ||||||||
1,014 | Bharat Financial Inclusion Ltd * | 12,403 | ||||||||
3,455 | Cairn India Ltd | 10,274 | ||||||||
3,451 | Fortis Healthcare Ltd * | 9,162 | ||||||||
40,400 | HDFC Bank Ltd (a) | 932,431 | ||||||||
9,197 | Hero MotoCorp Ltd | 486,501 | ||||||||
7 | Housing Development Finance Corp Ltd | 147 |
2 | See accompanying notes to the financial statements. |
GMO Emerging Countries Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
4,392 | ICICI Bank Ltd | 16,883 | ||||||||
3,100 | ICICI Bank Ltd Sponsored ADR | 23,777 | ||||||||
1,704 | Indiabulls Housing Finance Ltd | 20,805 | ||||||||
4,032 | Indiabulls Real Estate Ltd * | 4,933 | ||||||||
3,078 | IndusInd Bank Ltd | 54,406 | ||||||||
1,400 | Infosys Ltd Sponsored ADR | 22,204 | ||||||||
4,181 | Kajaria Ceramics Ltd | 78,757 | ||||||||
3,624 | LIC Housing Finance Ltd | 30,883 | ||||||||
1,209 | Max Financial Services Ltd | 10,401 | ||||||||
1,985 | Mphasis Ltd * | 16,724 | ||||||||
4,725 | Muthoot Finance Ltd | 26,470 | ||||||||
736 | Reliance Capital Ltd | 5,845 | ||||||||
3,087 | Sun TV Network Ltd | 21,791 | ||||||||
5,692 | UltraTech Cement Ltd | 342,221 | ||||||||
25,698 | Yes Bank Ltd | 528,219 | ||||||||
|
| |||||||||
Total India | 3,086,141 | |||||||||
|
| |||||||||
Indonesia — 0.7% | ||||||||||
16,500 | Bank Central Asia Tbk PT | 18,700 | ||||||||
194,816 | Bank Danamon Indonesia Tbk PT | 59,885 | ||||||||
7,300 | Bank Mandiri Persero Tbk PT | 6,176 | ||||||||
1,900 | Gudang Garam Tbk PT | 9,215 | ||||||||
114,000 | Indosat Tbk PT * | 53,273 | ||||||||
20,800 | Perusahaan Gas Negara Persero Tbk PT | 4,725 | ||||||||
9,300 | Semen Indonesia Persero Tbk PT | 6,928 | ||||||||
66,200 | Telekomunikasi Indonesia Persero Tbk PT | 20,920 | ||||||||
|
| |||||||||
Total Indonesia | 179,822 | |||||||||
|
| |||||||||
Malaysia — 0.3% | ||||||||||
14,300 | AirAsia Berhad | 10,561 | ||||||||
4,922 | Hong Leong Bank Berhad | 15,828 | ||||||||
36,800 | Media Prima Berhad | 12,762 | ||||||||
5,400 | Public Bank Berhad | 26,334 | ||||||||
|
| |||||||||
Total Malaysia | 65,485 | |||||||||
|
| |||||||||
Mexico — 1.4% | ||||||||||
13,776 | Cemex SAB de CV CPO * | 11,412 | ||||||||
37,464 | Cemex SAB de CV Sponsored ADR * | 310,577 | ||||||||
2,500 | Grupo Financiero Banorte SAB de CV – Class O | 13,473 | ||||||||
400 | Grupo Televisa SAB Sponsored ADR | 10,932 | ||||||||
2,600 | Wal-Mart de Mexico SAB de CV | 5,939 | ||||||||
|
| |||||||||
Total Mexico | 352,333 | |||||||||
|
| |||||||||
Philippines — 0.5% | ||||||||||
6,840 | BDO Unibank Inc | 16,765 | ||||||||
445 | GT Capital Holdings Inc | 14,636 | ||||||||
19,100 | Manila Water Co Inc | 11,475 | ||||||||
40,200 | Megaworld Corp | 4,056 | ||||||||
16,500 | Puregold Price Club Inc | 15,895 |
Shares | Description | Value ($) | ||||||||
Philippines — continued | ||||||||||
12,840 | Robinsons Retail Holdings Inc | 23,134 | ||||||||
3,120 | San Miguel Corp | 5,661 | ||||||||
8,600 | Semirara Mining & Power Corp | 20,463 | ||||||||
9,350 | SM Prime Holdings Inc | 5,983 | ||||||||
|
| |||||||||
Total Philippines | 118,068 | |||||||||
|
| |||||||||
Poland — 0.0% | ||||||||||
1,010 | Powszechny Zaklad Ubezpieczen SA | 7,157 | ||||||||
|
| |||||||||
Qatar — 0.1% | ||||||||||
4,225 | Qatar Gas Transport Co Ltd Nakilat | 28,975 | ||||||||
|
| |||||||||
Russia — 8.9% | ||||||||||
44,716 | Gazprom Neft PAO | 117,756 | ||||||||
6,614 | Gazprom Neft PAO Sponsored ADR | 86,220 | ||||||||
624 | Global Ports Investments Plc GDR (Registered Shares) * | 1,562 | ||||||||
4,168 | Lenta Ltd 144A GDR * | 32,510 | ||||||||
3,326 | Lukoil PJSC Sponsored ADR | 149,058 | ||||||||
282 | Mail.Ru Group Ltd GDR (Registered Shares) * | 4,742 | ||||||||
2,201 | MegaFon PJSC GDR (Registered Shares) | 22,367 | ||||||||
63,333 | Mobile TeleSystems PJSC Sponsored ADR | 514,897 | ||||||||
36,039 | Moscow Exchange MICEX-RTS OAO | 70,068 | ||||||||
6,709 | Rosneft PJSC GDR (Registered) | 35,030 | ||||||||
43,710 | Sberbank of Russia PJSC Sponsored ADR | 400,122 | ||||||||
1,448 | Sistema PJSC FC Sponsored GDR (Registered Shares) | 12,270 | ||||||||
58,435 | Surgutneftegas Sponsored ADR | 275,246 | ||||||||
15,984 | Tatneft PAO Sponsored ADR | 471,367 | ||||||||
1,800 | VimpelCom Ltd Sponsored ADR | 7,686 | ||||||||
1,901 | Yandex NV – Class A * | 41,898 | ||||||||
|
| |||||||||
Total Russia | 2,242,799 | |||||||||
|
| |||||||||
South Africa — 0.7% | ||||||||||
158,017 | African Bank Investments Ltd * (b) | 11 | ||||||||
1,951 | Bidvest Group Ltd (The) | 20,178 | ||||||||
15,933 | FirstRand Ltd | 47,866 | ||||||||
6,075 | Kumba Iron Ore Ltd * | 55,318 | ||||||||
4,045 | MTN Group Ltd | 33,079 | ||||||||
2,437 | Truworths International Ltd | 12,631 | ||||||||
|
| |||||||||
Total South Africa | 169,083 | |||||||||
|
| |||||||||
South Korea — 14.0% | ||||||||||
4,048 | BNK Financial Group Inc | 32,057 | ||||||||
16 | CJ O Shopping Co Ltd | 2,270 | ||||||||
5,389 | DGB Financial Group Inc | 44,105 | ||||||||
1,015 | Dongbu Insurance Co Ltd | 61,371 | ||||||||
18 | GS Home Shopping Inc | 2,539 | ||||||||
6,363 | Hana Financial Group Inc | 166,656 | ||||||||
415 | Hankook Tire Co Ltd | 20,756 |
See accompanying notes to the financial statements. | 3 |
GMO Emerging Countries Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Korea — continued | ||||||||||
313 | Hyundai Marine & Fire Insurance Co Ltd | 9,477 | ||||||||
2,914 | Hyundai Mobis Co Ltd | 679,075 | ||||||||
1,128 | Hyundai Motor Co | 134,376 | ||||||||
66 | Hyundai Wia Corp | 5,374 | ||||||||
6,707 | Industrial Bank of Korea | 70,559 | ||||||||
2,421 | KB Financial Group Inc | 84,469 | ||||||||
325 | KB Insurance Co Ltd | 7,848 | ||||||||
7,214 | Kia Motors Corp | 271,178 | ||||||||
330 | KT&G Corp | 34,597 | ||||||||
3,403 | Kwangju Bank | 28,582 | ||||||||
387 | LG Chem Ltd | 93,544 | ||||||||
89 | Lotte Chemical Corp | 21,324 | ||||||||
233 | Samsung Electro-Mechanics Co Ltd | 11,096 | ||||||||
748 | Samsung Electronics Co Ltd | 1,084,951 | ||||||||
196 | Samsung Electronics Co Ltd GDR | 141,832 | ||||||||
2,114 | Shinhan Financial Group Co Ltd | 77,265 | ||||||||
5,460 | SK Hynix Inc | 178,027 | ||||||||
27,773 | Woori Bank | 263,890 | ||||||||
|
| |||||||||
Total South Korea | 3,527,218 | |||||||||
|
| |||||||||
Switzerland — 0.1% | ||||||||||
400 | Luxoft Holding Inc * | 20,524 | ||||||||
|
| |||||||||
Taiwan — 20.4% | ||||||||||
10,000 | Advanced Semiconductor Engineering Inc | 12,168 | ||||||||
4,200 | Advanced Semiconductor Engineering Inc ADR | 25,452 | ||||||||
5,894 | Advantech Co Ltd | 48,115 | ||||||||
59,000 | Asustek Computer Inc | 498,328 | ||||||||
28,000 | Catcher Technology Co Ltd * | 200,845 | ||||||||
164,000 | Cathay Financial Holding Co Ltd | 206,862 | ||||||||
23,000 | Cheng Shin Rubber Industry Co Ltd | 48,797 | ||||||||
96,884 | Chunghwa Telecom Co Ltd | 347,821 | ||||||||
828,577 | Compal Electronics Inc | 490,415 | ||||||||
306,000 | CTBC Financial Holding Co Ltd | 176,668 | ||||||||
4,210 | Delta Electronics Inc | 21,844 | ||||||||
64,257 | E.Sun Financial Holding Co Ltd | 36,103 | ||||||||
17,914 | Far EasTone Telecommunications Co Ltd | 41,683 | ||||||||
42,845 | First Financial Holding Co Ltd | 21,993 | ||||||||
19,000 | Formosa Chemicals & Fibre Co | 49,265 | ||||||||
8,000 | Formosa Petrochemical Corp | 23,359 | ||||||||
24,000 | Formosa Plastics Corp | 59,131 | ||||||||
10,656 | Foxconn Technology Co Ltd * | 29,845 | ||||||||
214,000 | Fubon Financial Holding Co Ltd | 302,085 | ||||||||
244,523 | Hon Hai Precision Industry Co Ltd | 676,370 | ||||||||
938 | Largan Precision Co Ltd | 104,888 | ||||||||
92,366 | Lite-On Technology Corp | 139,551 | ||||||||
31,176 | MediaTek Inc | 244,677 | ||||||||
99,000 | Mega Financial Holding Co Ltd | 67,316 | ||||||||
12,000 | Nan Ya Plastics Corp | 22,874 | ||||||||
34,000 | Pegatron Corp | 82,034 |
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
37,000 | Pou Chen Corp | 53,511 | ||||||||
6,100 | Powertech Technology Inc | 15,904 | ||||||||
466 | President Chain Store Corp | 3,704 | ||||||||
830,200 | ProMOS Technologies Inc * (b) (c) | — | ||||||||
80,715 | Quanta Computer Inc | 148,956 | ||||||||
1,629 | Siliconware Precision Industries Co Ltd | 2,426 | ||||||||
260,437 | Taishin Financial Holding Co Ltd | 98,377 | ||||||||
23,308 | Taiwan Mobile Co Ltd | 81,850 | ||||||||
38,000 | Taiwan Semiconductor Manufacturing Co Ltd | 211,029 | ||||||||
13,200 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR | 379,368 | ||||||||
17,000 | Uni-President Enterprises Corp | 32,077 | ||||||||
154,872 | Wistron Corp | 113,564 | ||||||||
1,000 | Wowprime Corp | 4,325 | ||||||||
22,577 | Yuanta Financial Holding Co Ltd | 7,990 | ||||||||
|
| |||||||||
Total Taiwan | 5,131,570 | |||||||||
|
| |||||||||
Thailand — 1.2% | ||||||||||
105,900 | Bangkok Dusit Medical Services Pcl (Foreign Registered) | 71,863 | ||||||||
6,500 | Berli Jucker Pcl (Foreign Registered) | 8,450 | ||||||||
250,860 | Chularat Hospital Pcl (Foreign Registered) | 18,834 | ||||||||
7,500 | CP ALL Pcl (Foreign Registered) | 13,477 | ||||||||
6,600 | Intouch Holdings Pcl (Foreign Registered) (a) | 11,866 | ||||||||
8,400 | Intouch Holdings Pcl NVDR | 13,650 | ||||||||
2,300 | Kasikornbank Pcl NVDR | 13,109 | ||||||||
12,200 | PTT Global Chemical Pcl (Foreign Registered) | 21,444 | ||||||||
117,433 | Quality Houses Pcl (Foreign Registered) | 9,221 | ||||||||
26,180 | Ratchaburi Electricity Generating Holding Pcl (Foreign Registered) | 41,202 | ||||||||
312,533 | Sansiri Pcl (Foreign Registered) | 16,688 | ||||||||
18,900 | Thai Beverage Pcl | 13,801 | ||||||||
12,000 | Tisco Financial Group Pcl (Foreign Registered) (a) | 19,577 | ||||||||
74,400 | TTW Pcl (Foreign Registered) | 23,632 | ||||||||
|
| |||||||||
Total Thailand | 296,814 | |||||||||
|
| |||||||||
Turkey — 2.1% | ||||||||||
576 | Arcelik AS | 4,121 | ||||||||
58,440 | Eregli Demir ve Celik Fabrikalari TAS | 87,922 | ||||||||
20,443 | Haci Omer Sabanci Holding AS | 63,076 | ||||||||
2,353 | Koza Altin Isletmeleri AS * | 10,999 | ||||||||
34,892 | Turk Telekomunikasyon AS | 70,418 | ||||||||
1,100 | Turk Traktor ve Ziraat Makineleri AS | 32,111 | ||||||||
52,133 | Turkcell Iletisim Hizmetleri AS * | 174,733 | ||||||||
2,300 | Turkcell Iletisim Hizmetleri AS ADR * | 19,090 | ||||||||
3,285 | Turkiye Garanti Bankasi AS | 8,473 | ||||||||
5,561 | Turkiye Halk Bankasi AS | 16,690 | ||||||||
24,081 | Turkiye Vakiflar Bankasi TAO – Class D | 35,410 | ||||||||
|
| |||||||||
Total Turkey | 523,043 | |||||||||
|
|
4 | See accompanying notes to the financial statements. |
GMO Emerging Countries Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — 0.1% | ||||||||||
210 | British American Tobacco Plc | 13,029 | ||||||||
558 | Unilever Plc | 25,903 | ||||||||
|
| |||||||||
Total United Kingdom | 38,932 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $21,580,638) | 21,417,916 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 5.9% | ||||||||||
Brazil — 1.8% | ||||||||||
181 | Banco Bradesco SA | 1,629 | ||||||||
28,300 | Banco do Estado do Rio Grande do Sul SA – Class B | 94,649 | ||||||||
1,600 | Companhia Energetica de Minas Gerais | 4,335 | ||||||||
25,745 | Companhia Energetica de Minas Gerais Sponsored ADR | 68,739 | ||||||||
2,600 | Itau Unibanco Holding SA | 28,865 | ||||||||
2,600 | Itau Unibanco Holding SA Sponsored ADR | 28,808 | ||||||||
89,811 | Itausa-Investimentos Itau SA | 239,184 | ||||||||
|
| |||||||||
Total Brazil | 466,209 | |||||||||
|
| |||||||||
Russia — 1.7% | ||||||||||
51,322 | Sberbank | 80,077 | ||||||||
510,141 | Surgutneftegas OJSC | 255,632 | ||||||||
39 | Transneft | 92,479 | ||||||||
|
| |||||||||
Total Russia | 428,188 | |||||||||
|
| |||||||||
South Korea — 2.4% | ||||||||||
2,345 | Hyundai Motor Co | 211,311 | ||||||||
323 | Samsung Electronics Co Ltd (Non-Voting) | 383,068 | ||||||||
7 | Samsung Electronics Co Ltd GDR (Registered Shares) | 4,168 | ||||||||
|
| |||||||||
Total South Korea | 598,547 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $1,619,724) | 1,492,944 | |||||||||
|
| |||||||||
INVESTMENT FUNDS — 7.0% | ||||||||||
Thailand — 0.6% | ||||||||||
201,000 | BTS Rail Mass Transit Growth Infrastructure Fund | 72,579 | ||||||||
208,400 | Digital Telecommunications Infrastructure Fund (Foreign Registered) | 89,099 | ||||||||
|
| |||||||||
Total Thailand | 161,678 | |||||||||
|
| |||||||||
United States — 6.4% | ||||||||||
43,864 | iShares MSCI Emerging Markets ETF | 1,602,352 | ||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $1,671,473) | 1,764,030 | |||||||||
|
|
Shares / Par Value† | Description | Value ($) | ||||||||
RIGHTS/WARRANTS — 0.0% | ||||||||||
Thailand — 0.0% | ||||||||||
78,133 | Sansiri PCL Warrants, Expires 11/24/17 * | 406 | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $0) | 406 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 1.1% | ||||||||||
United States — 1.1% | ||||||||||
Affiliated Issuers | ||||||||||
10,635 | GMO U.S. Treasury Fund | 265,993 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $265,993) | 265,993 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
Time Deposits — 0.1% | ||||||||||
GBP | 4,837 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.05%, due 09/01/16 | 6,352 | |||||||
HKD | 12,147 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/16 | 1,566 | |||||||
SGD | 7,426 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/16 | 5,451 | |||||||
15,427 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.15%, due 09/01/16 | 15,427 | ||||||||
ZAR | 8,599 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 6.44%, due 09/01/16 | 585 | |||||||
|
| |||||||||
Total Time Deposits | 29,381 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $29,381) | 29,381 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.1% (Cost $25,167,209) | 24,970,670 | |||||||||
Other Assets and Liabilities (net) — 0.9% | 217,539 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $25,188,209 | |||||||||
|
|
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
* | Non-income producing security. |
(a) | Security valued at the local price and adjusted by applying a premium or discount since holding exceeds foreign ownership limits. |
(b) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2). |
(c) | Bankrupt issuer. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 23.
See accompanying notes to the financial statements. | 5 |
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 80.4 | % | ||
Investment Funds | 12.5 | |||
Fully Funded Total Return Swaps | 1.7 | |||
Preferred Stocks | 1.6 | |||
Short-Term Investments | 1.3 | |||
Mutual Funds | 1.0 | |||
Rights/Warrants | 0.4 | |||
Swap Contracts | 0.0 | ^ | ||
Forward Currency Contracts | 0.0 | ^ | ||
Futures Contracts | (0.1 | ) | ||
Other | 1.2 | |||
|
| |||
100.0 | % | |||
|
|
Country Summary¤ | % of Investments | |||
India | 26.1 | % | ||
China | 23.5 | |||
Thailand | 10.6 | |||
United States | 9.5 | * | ||
Philippines | 8.2 | |||
Brazil | 5.8 | |||
Indonesia | 4.1 | |||
Mexico | 4.1 | |||
Taiwan | 3.1 | |||
Russia | 2.6 | |||
United Kingdom | 2.5 | * | ||
Vietnam | 2.3 | |||
Qatar | 1.2 | |||
Malaysia | 0.9 | |||
Chile | 0.3 | |||
South Africa | 0.1 | |||
Turkey | 0.1 | |||
Singapore | (5.0 | ) | ||
|
| |||
100.0 | % | |||
|
|
& | Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. |
¤ | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
* | Includes companies that derive more than 50% of their revenues or profits from emerging markets. |
^ | Rounds to 0.0%. |
Industry Group Summary | % of Equity Investments# | |||
Banks | 22.3 | % | ||
Telecommunication Services | 9.1 | |||
Materials | 8.1 | |||
Food, Beverage & Tobacco | 7.3 | |||
Software & Services | 6.7 | |||
Insurance | 5.7 | |||
Energy | 5.2 | |||
Diversified Financials | 5.0 | |||
Capital Goods | 4.9 | |||
Food & Staples Retailing | 4.6 | |||
Real Estate | 3.1 | |||
Automobiles & Components | 3.0 | |||
Transportation | 2.9 | |||
Health Care Equipment & Services | 2.8 | |||
Media | 2.7 | |||
Consumer Services | 2.2 | |||
Household & Personal Products | 1.5 | |||
Utilities | 1.1 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 0.8 | |||
Consumer Durables & Apparel | 0.8 | |||
Retailing | 0.2 | |||
|
| |||
100.0 | % | |||
|
|
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
6
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 80.4% | ||||||||||
Brazil — 2.7% | ||||||||||
780,500 | Cielo SA | 8,118,727 | ||||||||
1,227,200 | EDP-Energias do Brasil SA | 5,434,460 | ||||||||
430,800 | Engie Brasil Energia SA | 5,202,899 | ||||||||
5,332,821 | LPS Brasil Consultoria de Imoveis SA * | 7,580,097 | ||||||||
178,500 | Ouro Fino Saude Animal Participacoes SA | 1,989,967 | ||||||||
1,134,100 | Raia Drogasil SA | 20,959,708 | ||||||||
4,632,000 | Rumo Logistica Operadora Multimodal SA * | 10,327,759 | ||||||||
|
| |||||||||
Total Brazil | 59,613,617 | |||||||||
|
| |||||||||
Chile — 0.3% | ||||||||||
825,200 | Latam Airlines Group SA Sponsored ADR * | 6,700,624 | ||||||||
|
| |||||||||
China — 17.0% | ||||||||||
9,900,200 | AIA Group Ltd | 62,353,152 | ||||||||
226,300 | Alibaba Group Holding Ltd Sponsored ADR * | 21,994,097 | ||||||||
62,900 | Baidu Inc Sponsored ADR * | 10,760,303 | ||||||||
29,928,000 | Bank of China Ltd – Class H | 13,428,490 | ||||||||
179,142 | China Lodging Group Ltd Sponsored ADR | 7,995,108 | ||||||||
6,218,500 | China Mobile Ltd | 76,605,849 | ||||||||
5,819,500 | Ping An Insurance Group Co of China Ltd – Class H | 29,995,806 | ||||||||
4,765,000 | Qingdao Haier Co Ltd – Class A | 7,464,149 | ||||||||
3,725,356 | SAIC Motor Corp Ltd – Class A | 12,289,170 | ||||||||
515,931 | TAL Education Group ADR * | 30,832,037 | ||||||||
3,052,600 | Tencent Holdings Ltd | 79,107,774 | ||||||||
7,183,440 | Tong Ren Tang Technologies Co Ltd – Class H | 12,707,472 | ||||||||
1,824,000 | Tsingtao Brewery Co Ltd – Class H | 6,100,069 | ||||||||
|
| |||||||||
Total China | 371,633,476 | |||||||||
|
| |||||||||
India — 26.4% | ||||||||||
561,446 | Aditya Birla Nuvo Ltd | 11,533,648 | ||||||||
120,361 | Amara Raja Batteries Ltd | 1,719,956 | ||||||||
3,920,946 | Asian Paints Ltd | 67,887,919 | ||||||||
44,693 | Bajaj Finance Ltd | 7,371,901 | ||||||||
4,467,978 | Berger Paints India Ltd | 17,410,024 | ||||||||
1,047,986 | Bharat Financial Inclusion Ltd * | 12,818,177 | ||||||||
1,178,365 | CMI Ltd (a) | 3,231,994 | ||||||||
807,074 | Equitas Holdings Ltd * (b) | 2,192,775 | ||||||||
3,568,347 | Fortis Healthcare Ltd * | 9,473,341 | ||||||||
2,610,671 | Gateway Distriparks Ltd | 10,975,636 | ||||||||
2,110,969 | Gayatri Projects Ltd (a) | 21,395,454 | ||||||||
1,819,966 | HDFC Bank Ltd (b) | 42,004,790 | ||||||||
660,100 | Hero MotoCorp Ltd | 34,917,810 | ||||||||
1,751,721 | Indiabulls Housing Finance Ltd | 21,387,443 | ||||||||
4,210,660 | Indiabulls Real Estate Ltd * | 5,151,993 | ||||||||
4,824,950 | Indian Oil Corp Ltd | 41,461,768 | ||||||||
3,164,584 | IndusInd Bank Ltd | 55,936,541 |
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
3,736,661 | LIC Housing Finance Ltd | 31,842,910 | ||||||||
1,262,930 | Max Financial Services Ltd | 10,864,693 | ||||||||
146,802 | Multi Commodity Exchange of India Ltd | 2,162,327 | ||||||||
4,632,262 | Muthoot Finance Ltd | 25,950,087 | ||||||||
1,937,512 | Narayana Hrudayalaya Ltd * | 8,852,358 | ||||||||
844,415 | RBL Bank Ltd * | 3,782,026 | ||||||||
769,098 | Reliance Capital Ltd | 6,108,062 | ||||||||
1,607,271 | Sangam India Ltd | 6,443,232 | ||||||||
3,183,419 | Sun TV Network Ltd | 22,471,838 | ||||||||
259,078 | Supreme Industries Ltd | 3,712,188 | ||||||||
1,745,513 | Techno Electric & Engineering Co Ltd | 16,991,810 | ||||||||
870,706 | Ujjivan Financial Services Ltd | 5,492,928 | ||||||||
167,262 | UltraTech Cement Ltd | 10,056,328 | ||||||||
2,568,381 | Yes Bank Ltd | 52,792,737 | ||||||||
|
| |||||||||
Total India | 574,394,694 | |||||||||
|
| |||||||||
Indonesia — 4.2% | ||||||||||
16,992,100 | Bank Central Asia Tbk PT | 19,257,215 | ||||||||
7,552,000 | Bank Mandiri Persero Tbk PT | 6,389,277 | ||||||||
4,508,800 | Gudang Garam Tbk PT | 21,868,366 | ||||||||
57,133,700 | Malindo Feedmill Tbk PT * | 7,828,507 | ||||||||
21,416,200 | Perusahaan Gas Negara Persero Tbk PT | 4,865,034 | ||||||||
11,780,100 | Semen Indonesia Persero Tbk PT | 8,776,067 | ||||||||
68,165,600 | Telekomunikasi Indonesia Persero Tbk PT | 21,540,619 | ||||||||
|
| |||||||||
Total Indonesia | 90,525,085 | |||||||||
|
| |||||||||
Malaysia — 0.9% | ||||||||||
15,338,300 | AirAsia Berhad | 11,328,031 | ||||||||
22,234,644 | Media Prima Berhad | 7,710,474 | ||||||||
|
| |||||||||
Total Malaysia | 19,038,505 | |||||||||
|
| |||||||||
Mexico — 3.2% | ||||||||||
45,407,804 | Cemex SAB de CV CPO * | 37,617,204 | ||||||||
2,592,500 | Grupo Financiero Banorte SAB de CV – Class O | 13,971,115 | ||||||||
400,500 | Grupo Televisa SAB Sponsored ADR | 10,945,665 | ||||||||
2,691,200 | Wal-Mart de Mexico SAB de CV | 6,147,504 | ||||||||
|
| |||||||||
Total Mexico | 68,681,488 | |||||||||
|
| |||||||||
Philippines — 6.3% | ||||||||||
7,079,220 | BDO Unibank Inc | 17,351,222 | ||||||||
4,033,280 | Cebu Air Inc | 10,256,332 | ||||||||
23,074,900 | Century Pacific Food Inc | 8,469,734 | ||||||||
8,265,654 | Concepcion Industrial Corp | 10,204,195 | ||||||||
458,079 | GT Capital Holdings Inc | 15,066,325 | ||||||||
41,553,800 | Megaworld Corp | 4,192,848 | ||||||||
3,036,720 | Philippine Seven Corp | 9,135,763 | ||||||||
12,478,300 | Puregold Price Club Inc | 12,021,033 | ||||||||
10,916,270 | Robinsons Retail Holdings Inc | 19,667,726 | ||||||||
10,734,302 | Semirara Mining & Power Corp | 25,541,956 |
See accompanying notes to the financial statements. | 7 |
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Philippines — continued | ||||||||||
9,688,800 | SM Prime Holdings Inc | 6,199,784 | ||||||||
|
| |||||||||
Total Philippines | 138,106,918 | |||||||||
|
| |||||||||
Qatar — 1.2% | ||||||||||
3,772,012 | Qatar Gas Transport Co Ltd Nakilat | 25,868,859 | ||||||||
|
| |||||||||
Russia — 2.6% | ||||||||||
1,099,002 | Global Ports Investments Plc GDR (Registered Shares) * | 2,751,755 | ||||||||
5,099,812 | Sberbank of Russia PJSC Sponsored ADR | 46,683,781 | ||||||||
996,379 | Sollers PAO PJSC * | 7,427,147 | ||||||||
|
| |||||||||
Total Russia | 56,862,683 | |||||||||
|
| |||||||||
South Africa — 0.1% | ||||||||||
596,013 | Truworths International Ltd | 3,089,046 | ||||||||
|
| |||||||||
Taiwan — 3.1% | ||||||||||
5,784,000 | Chunghwa Telecom Co Ltd | 20,765,023 | ||||||||
30,278,037 | E.Sun Financial Holding Co Ltd | 17,011,796 | ||||||||
8,686,000 | Fubon Financial Holding Co Ltd | 12,261,245 | ||||||||
5,092,000 | Taiwan Mobile Co Ltd | 17,881,495 | ||||||||
|
| |||||||||
Total Taiwan | 67,919,559 | |||||||||
|
| |||||||||
Thailand — 6.9% | ||||||||||
29,609,750 | Bangkok Dusit Medical Services Pcl (Foreign Registered) | 20,093,066 | ||||||||
6,064,900 | Berli Jucker Pcl (Foreign Registered) | 7,884,344 | ||||||||
5,903,300 | Carabao Group Pcl (Foreign Registered) | 12,097,149 | ||||||||
162,030,840 | Chularat Hospital Pcl (Foreign Registered) | 12,164,743 | ||||||||
7,832,800 | CP ALL Pcl (Foreign Registered) | 14,074,575 | ||||||||
7,582,900 | CPN Retail Growth Leasehold Property Fund | 4,490,538 | ||||||||
7,920,400 | Intouch Holdings Pcl (Foreign Registered) (b) | 14,240,210 | ||||||||
7,433,100 | Intouch Holdings Pcl NVDR | 12,078,747 | ||||||||
7,806,860 | Major Cineplex Group Pcl (Foreign Registered) | 7,324,008 | ||||||||
126,138,100 | Quality Houses Pcl (Foreign Registered) | 9,904,138 | ||||||||
19,406,300 | Thai Beverage Pcl | 14,170,523 | ||||||||
6,364,300 | Tisco Financial Group Pcl (Foreign Registered) (b) | 10,382,830 | ||||||||
78,529,200 | WHA Corp Pcl (Foreign Registered) * | 8,167,010 | ||||||||
14,575,300 | WHA Premium Growth Freehold & Leasehold Real Estate Investment Trust (Foreign Registered) | 4,294,841 | ||||||||
|
| |||||||||
Total Thailand | 151,366,722 | |||||||||
|
| |||||||||
Turkey — 0.7% | ||||||||||
514,070 | Turk Traktor ve Ziraat Makineleri AS | 15,006,516 | ||||||||
|
|
Shares | Description | Value ($) | ||||||||
United Kingdom — 2.5% | ||||||||||
217,672 | British American Tobacco Plc | 13,504,942 | ||||||||
1,857,200 | HSBC Holdings Plc | 13,777,804 | ||||||||
577,699 | Unilever Plc | 26,817,510 | ||||||||
|
| |||||||||
Total United Kingdom | 54,100,256 | |||||||||
|
| |||||||||
Vietnam — 2.3% | ||||||||||
2,293,300 | Bank for Foreign Trade of Vietnam JSC * | 5,546,870 | ||||||||
5,660,271 | Vietnam Dairy Products JSC | 39,551,083 | ||||||||
2,232,970 | Vingroup JSC * | 4,808,359 | ||||||||
|
| |||||||||
Total Vietnam | 49,906,312 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $1,612,605,975) | 1,752,814,360 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 1.6% | ||||||||||
Brazil — 1.6% | ||||||||||
1,671,900 | Companhia Energetica de Minas Gerais | 4,530,263 | ||||||||
2,656,000 | Itau Unibanco Holding SA | 29,486,436 | ||||||||
|
| |||||||||
Total Brazil | 34,016,699 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $28,783,403) | 34,016,699 | |||||||||
|
| |||||||||
INVESTMENT FUNDS — 12.5% | ||||||||||
Brazil — 1.6% | ||||||||||
1,021,200 | iShares MSCI Brazil Capped ETF | 34,230,624 | ||||||||
|
| |||||||||
China — 4.5% | ||||||||||
1,308,600 | Hang Seng Investment Index ETF | 16,369,718 | ||||||||
2,239,700 | iShares China Large-Cap ETF | 82,980,885 | ||||||||
|
| |||||||||
Total China | 99,350,603 | |||||||||
|
| |||||||||
Mexico — 0.9% | ||||||||||
412,900 | iShares MSCI Mexico Capped ETF | 20,839,063 | ||||||||
|
| |||||||||
Thailand — 3.8% | ||||||||||
98,939,192 | Digital Telecommunication Infrastructure Fund | 42,300,139 | ||||||||
62,326,700 | Jasmine Broadband Internet Infrastructure Fund | 20,875,216 | ||||||||
51,564,800 | TICON Industrial Growth Leasehold Property Fund (a) | 18,911,707 | ||||||||
|
| |||||||||
Total Thailand | 82,087,062 | |||||||||
|
| |||||||||
United States — 1.7% | ||||||||||
1,009,412 | iShares MSCI Emerging Markets ETF | 36,873,821 | ||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $257,893,828) | 273,381,173 | |||||||||
|
|
8 | See accompanying notes to the financial statements. |
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares /Cost/ Par Value† | Description | Value ($) | ||||||||
RIGHTS/WARRANTS — 0.4% | ||||||||||
China — 0.4% | ||||||||||
767,900 | Jiangsu Yanghe Brewery Joint Stock Co Ltd Warrants, Expires 05/14/18 * | 8,082,250 | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $7,979,008) | 8,082,250 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 1.0% | ||||||||||
United States — 1.0% | ||||||||||
Affiliated Issuers | ||||||||||
882,003 | GMO U.S. Treasury Fund | 22,058,883 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $22,058,883) | 22,058,883 | |||||||||
|
| |||||||||
FULLY FUNDED TOTAL RETURN SWAPS — 1.7% | ||||||||||
China — 1.7% | ||||||||||
8,414,783 | Total Return on Hangzhou Robam Appliances, Expires 7/14/2017, (OTC) (CP-GS) | 7,835,327 | ||||||||
3,708,807 | Total Return on Jiangsu Yanghe Brewery, Expires 7/12/2017, (OTC) (CP-GS) | 3,346,652 | ||||||||
12,170,791 | Total Return on Wuliangye Yibin Co Ltd, Expires 4/3/2017, (OTC) (CP-GS) | 14,701,970 | ||||||||
10,878,519 | Total Return on Zhejiang Supor Cookware Co, Expires 7/19/2017, (OTC) (CP-GS) | 10,379,525 | ||||||||
|
| |||||||||
Total China | 36,263,474 | |||||||||
|
| |||||||||
TOTAL FULLY FUNDED TOTAL RETURN SWAPS (COST $35,172,899) | 36,263,474 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 1.3% | ||||||||||
TIME DEPOSITS — 0.1% | ||||||||||
HKD | 2,168,144 | BNP Paribas (Paris) Time Deposit, 0.01%, due 09/01/16 | 279,488 | |||||||
1,790,646 | Sumitomo (Tokyo) Time Deposit, 0.15%, due 09/01/16 | 1,790,646 | ||||||||
|
| |||||||||
Total Time Deposits | 2,070,134 | |||||||||
|
| |||||||||
U.S. GOVERNMENT — 1.2% | ||||||||||
1,000,000 | U.S. Treasury Bill, 0.00%, due 09/01/16 (c) (d) | 1,000,000 | ||||||||
3,060,000 | U.S. Treasury Bill, 0.22%, due 10/20/16 (c) (e) | 3,059,097 | ||||||||
2,900,000 | U.S. Treasury Bill, 0.27%, due 11/03/16 (c) (e) | 2,898,605 | ||||||||
4,837,000 | U.S. Treasury Bill, 0.27%, due 11/17/16 (c) (e) | 4,834,195 |
Shares / Par Value† | Description | Value ($) | ||||||||
U.S. GOVERNMENT (continued) | ||||||||||
10,000,000 | U.S. Treasury Bill, 0.36%, due 01/12/17 (c) (e) | 9,986,710 | ||||||||
5,000,000 | U.S. Treasury Bill, 0.46%, due 02/23/17 (c) (e) | 4,988,880 | ||||||||
|
| |||||||||
Total U.S. Government | 26,767,487 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $28,836,405) | 28,837,621 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 98.9% (Cost $1,993,330,401) | 2,155,454,460 | |||||||||
Other Assets and Liabilities (net) — 1.1% | 24,221,298 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $2,179,675,758 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2016 is as follows:
Forward Currency Contracts
Settlement | Counter | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
06/30/2017 | BCLY | GBP | 68,332,500 | USD | 90,520,969 | $ | 148,648 | |||||||||||||||
06/30/2017 | BCLY | USD | 90,790,236 | GBP | 68,332,500 | (417,915 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | (269,267 | ) | ||||||||||||||||||||
|
|
Futures Contracts
Number | Type | Expiration Date | Notional Amount | Net Unrealized Appreciation (Depreciation) | ||||||||
Buys | ||||||||||||
3,103 | Mini MSCI Emerging Markets | September 2016 | $ | 137,757,685 | $ | 207,725 | ||||||
290 | Mini MSCI Emerging Markets | December 2016 | 12,897,750 | (24,910 | ) | |||||||
|
|
|
| |||||||||
$ | 150,655,435 | $ | 182,815 | |||||||||
|
|
|
| |||||||||
Sales | ||||||||||||
4,224 | Bist 30 Index | October 2016 | $ | 13,463,106 | $ | 204,797 | ||||||
6,193 | SGX CNX Nifty Index 50 | September 2016 | 109,448,584 | (2,000,529 | ) | |||||||
|
|
|
| |||||||||
$ | 122,911,690 | $ | (1,795,732 | ) | ||||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. Sales - Fund is short the futures contract. |
See accompanying notes to the financial statements. | 9 |
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2016 (Unaudited)
Swap Contracts
Total Return Swaps
Notional Amount | Expiration Date | Counterparty | Fund Pays | Fund Receives | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
21,115,716 | USD | 8/30/2017 | GS | Total return on MSCI Daily TR Net Emerging Markets Philippines USD | 1 Month LIBOR minus 0.10% | (350,211 | ) | |||||||||||
21,170,159 | USD | 8/30/2017 | GS | Total return on MSCI Daily TR Net Emerging Markets Philippines USD | 1 Month LIBOR minus 0.10% | (295,767 | ) | |||||||||||
|
| |||||||||||||||||
$ | (645,978 | ) | ||||||||||||||||
|
| |||||||||||||||||
Premiums to (Pay) Receive | $ | — | ||||||||||||||||
|
|
As of August 31, 2016, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
* | Non-income producing security. |
(a) | Affiliated company (Note 10). |
(b) | Security valued at the local price and adjusted by applying a premium or discount since holding exceeds foreign ownership limits. |
(c) | The rate shown represents yield-to-maturity. |
(d) | Rate rounds to 0.00%. |
(e) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 23.
10 | See accompanying notes to the financial statements. |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 92.3 | % | ||
Preferred Stocks | 5.4 | |||
Mutual Funds | 1.4 | |||
Investment Funds | 0.6 | |||
Short-Term Investments | 0.2 | |||
Rights/Warrants | 0.0 | ^ | ||
Swap Contracts | 0.0 | ^ | ||
Other | 0.1 | |||
|
| |||
100.0 | % | |||
|
|
Country Summary¤ | % of Investments | |||
Taiwan | 21.5 | % | ||
China | 19.4 | |||
South Korea | 16.8 | |||
India | 13.7 | |||
Russia | 10.7 | |||
Brazil | 5.3 | |||
Turkey | 2.3 | |||
Thailand | 1.7 | |||
Mexico | 1.6 | |||
South Africa | 1.5 | |||
United States | 1.5 | |||
Greece | 0.8 | |||
Philippines | 0.7 | |||
Indonesia | 0.5 | |||
United Arab Emirates | 0.3 | |||
Poland | 0.3 | |||
Chile | 0.3 | |||
Egypt | 0.3 | |||
Vietnam | 0.2 | |||
United Kingdom | 0.2 | |||
Qatar | 0.2 | |||
Malaysia | 0.1 | |||
Czech Republic | 0.1 | |||
Sri Lanka | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. |
¤ | The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. |
^ | Rounds to 0.0%. |
Industry Group Summary | % of Equity Investments# | |||
Banks | 22.2 | % | ||
Technology Hardware & Equipment | 17.4 | |||
Telecommunication Services | 10.1 | |||
Automobiles & Components | 8.6 | |||
Materials | 6.6 | |||
Energy | 4.6 | |||
Utilities | 4.5 | |||
Software & Services | 3.8 | |||
Capital Goods | 3.6 | |||
Semiconductors & Semiconductor Equipment | 3.0 | |||
Diversified Financials | 3.0 | |||
Consumer Durables & Apparel | 2.7 | |||
Insurance | 2.3 | |||
Real Estate | 2.0 | |||
Food, Beverage & Tobacco | 1.3 | |||
Health Care Equipment & Services | 0.9 | |||
Retailing | 0.9 | |||
Consumer Services | 0.6 | |||
Transportation | 0.5 | |||
Media | 0.4 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 0.4 | |||
Food & Staples Retailing | 0.4 | |||
Household & Personal Products | 0.2 | |||
|
| |||
100.0 | % | |||
|
|
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
11
GMO Emerging Markets Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 92.3% | ||||||||||
Brazil — 4.1% | ||||||||||
3,642,200 | AES Tiete Energia SA | 18,835,854 | ||||||||
116,400 | Banco do Brasil SA | 836,630 | ||||||||
1,087,900 | BTG Pactual Group | 5,777,742 | ||||||||
1,471,900 | Cia Hering | 8,131,641 | ||||||||
158,300 | Cielo SA | 1,646,630 | ||||||||
1,472,800 | Cyrela Brazil Realty SA Empreendimentos e Participacoes | 4,820,852 | ||||||||
1,043,500 | Direcional Engenharia SA | 1,903,324 | ||||||||
5,076,323 | EDP-Energias do Brasil SA | 22,479,691 | ||||||||
2,747,600 | Engie Brasil Energia SA | 33,183,575 | ||||||||
2,282,500 | Equatorial Energia SA | 35,744,465 | ||||||||
469,700 | Ez Tec Empreendimentos e Participacoes SA | 2,413,082 | ||||||||
565,371 | Grendene SA | 3,146,202 | ||||||||
1,197,700 | LPS Brasil Consultoria de Imoveis SA * | 1,702,416 | ||||||||
4,247,500 | MRV Engenharia e Participacoes SA | 16,178,698 | ||||||||
760,500 | Multiplus SA | 9,855,978 | ||||||||
49,500 | Ouro Fino Saude Animal Participacoes SA | 551,839 | ||||||||
230,300 | Raia Drogasil SA | 4,256,257 | ||||||||
950,000 | Rumo Logistica Operadora Multimodal SA * | 2,118,172 | ||||||||
4,535,951 | Transmissora Alianca de Energia Eletrica SA | 32,588,277 | ||||||||
3,422,300 | Via Varejo SA | 6,570,748 | ||||||||
|
| |||||||||
Total Brazil | 212,742,073 | |||||||||
|
| |||||||||
Chile — 0.3% | ||||||||||
532,478 | Empresa Nacional de Electricidad SA | 399,023 | ||||||||
20,822,071 | Enersis Americas SA | 3,448,696 | ||||||||
1,093,200 | Enersis Americas SA Sponsored ADR | 9,106,356 | ||||||||
169,800 | Latam Airlines Group SA Sponsored ADR * | 1,378,776 | ||||||||
|
| |||||||||
Total Chile | 14,332,851 | |||||||||
|
| |||||||||
China — 19.3% | ||||||||||
148,000 | AAC Technologies Holdings Inc | 1,685,615 | ||||||||
134,767,290 | Agricultural Bank of China Ltd – Class H | 55,291,479 | ||||||||
2,024,100 | AIA Group Ltd | 12,748,128 | ||||||||
3,034,705 | Aier Eye Hospital Group Co Ltd – Class A | 16,155,615 | ||||||||
483,318 | Alibaba Group Holding Ltd Sponsored ADR * | 46,973,676 | ||||||||
140,000 | Autohome Inc ADR * | 3,425,800 | ||||||||
12,800 | Baidu Inc Sponsored ADR * | 2,189,696 | ||||||||
124,325,682 | Bank of China Ltd – Class H | 55,784,089 | ||||||||
26,584,000 | Belle International Holdings Ltd | 17,231,468 | ||||||||
142,900 | Changyou.com Ltd ADR * | 3,541,062 | ||||||||
70,748,200 | China Communications Services Corp Ltd – Class H | 41,529,569 |
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
195,677,106 | China Construction Bank Corp – Class H | 146,325,501 | ||||||||
754,000 | China High Speed Transmission Equipment Group Co Ltd | 693,733 | ||||||||
1,397,734 | China International Travel Service Corp Ltd – Class A | 9,765,935 | ||||||||
4,661,000 | China Lesso Group Holdings Ltd | 3,267,480 | ||||||||
36,200 | China Lodging Group Ltd Sponsored ADR | 1,615,606 | ||||||||
22,165,000 | China Machinery Engineering Corp – Class H | 13,460,730 | ||||||||
10,908,737 | China Mobile Ltd | 134,384,991 | ||||||||
489,700 | China Mobile Ltd Sponsored ADR | 29,729,687 | ||||||||
6,118,000 | China Telecom Corp Ltd – Class H | 3,152,423 | ||||||||
2,143,500 | China ZhengTong Auto Services Holdings Ltd | 744,106 | ||||||||
863,604 | CKH Food & Health Ltd * | 1,849,443 | ||||||||
1,784,400 | Dongfang Electrical Machinery Co Ltd –Class H | 1,391,686 | ||||||||
5,277,000 | FIH Mobile Ltd | 1,767,500 | ||||||||
248,400 | Fuyao Glass Industry Group Co Ltd – Class H | 652,029 | ||||||||
35,425,000 | Geely Automobile Holdings Ltd | 28,337,849 | ||||||||
40,422,000 | GOME Electrical Appliances Holding Ltd | 4,782,260 | ||||||||
545,000 | Haier Electronics Group Co Ltd | 910,171 | ||||||||
607,000 | Haitian International Holdings Ltd | 1,220,313 | ||||||||
950,490 | Hangzhou Robam Appliances Co Ltd | 5,348,992 | ||||||||
13,804,000 | Harbin Electric Co Ltd – Class H | 6,265,860 | ||||||||
358,000 | Hengan International Group Co Ltd | 3,024,065 | ||||||||
10,020,000 | Hua Han Health Industry Holdings Ltd | 695,766 | ||||||||
14,035,000 | Huabao International Holdings Ltd * | 5,400,096 | ||||||||
56,278,947 | Industrial & Commercial Bank of China Ltd – Class H | 35,797,939 | ||||||||
688,000 | Jiangsu Expressway Co Ltd – Class H | 965,487 | ||||||||
226,800 | Jiangsu Yanghe Brewery Joint-Stock Co Ltd – Class A | 2,386,219 | ||||||||
179,603 | Kweichow Moutai Co Ltd – Class A | 8,332,784 | ||||||||
5,260,000 | Lianhua Supermarket Holdings Co Ltd – Class H * | 2,267,789 | ||||||||
12,529,800 | Lonking Holdings Ltd | 2,030,414 | ||||||||
3,825,955 | Midea Group Co Ltd | 15,695,397 | ||||||||
71,700 | New Oriental Education & Technology Group Inc Sponsored ADR | 2,830,716 | ||||||||
24,931,500 | Parkson Retail Group Ltd | 2,052,154 | ||||||||
12,890,000 | Peak Sport Products Co Ltd | 3,996,638 | ||||||||
22,902,000 | PICC Property & Casualty Co Ltd – Class H | 37,692,177 | ||||||||
1,181,500 | Ping An Insurance Group Co of China Ltd – Class H | 6,089,878 | ||||||||
1,728,942 | Qingdao Haier Co Ltd – Class A | 2,708,307 | ||||||||
71,600 | Qinqin Foodstuffs Group Cayman Co Ltd * | 25,751 | ||||||||
19,843,000 | Real Nutriceutical Group Ltd | 1,632,771 | ||||||||
2,927,665 | SAIC Motor Corp Ltd – Class A | 9,675,614 |
12 | See accompanying notes to the financial statements. |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
756,400 | SAIC Motor Corp Ltd – Class A | 2,495,205 | ||||||||
794,000 | Shenzhen Expressway Co Ltd – Class H | 838,231 | ||||||||
6,836,000 | Shougang Fushan Resources Group Ltd | 1,266,909 | ||||||||
12,025,000 | Sinopec Engineering Group Co Ltd – Class H | 9,950,214 | ||||||||
2,134,800 | Sinopharm Group Co Ltd – Class H | 10,910,208 | ||||||||
1,524,000 | Skyworth Digital Holdings Ltd | 1,126,159 | ||||||||
44,400 | Sohu.com Inc * | 1,888,776 | ||||||||
1,290,000 | Sun Art Retail Group Ltd | 829,159 | ||||||||
239,000 | Sunny Optical Technology Group Co Ltd | 1,274,465 | ||||||||
442,000 | Suofeiya Home Collection Co Ltd – Class A | 3,779,091 | ||||||||
107,706 | TAL Education Group ADR * | 6,436,510 | ||||||||
2,927,306 | Tencent Holdings Ltd | 75,860,794 | ||||||||
1,869,880 | Tong Ren Tang Technologies Co Ltd – Class H | 3,307,809 | ||||||||
374,000 | Tsingtao Brewery Co Ltd – Class H | 1,250,782 | ||||||||
14,589,000 | Universal Health International Group Holding Ltd * | 731,913 | ||||||||
29,215,000 | Want Want China Holdings Ltd | 19,186,443 | ||||||||
425,700 | Weibo Corp Sponsored ADR * | 20,335,689 | ||||||||
957,000 | WH Group Ltd | 751,331 | ||||||||
1,206,000 | Xinyi Glass Holdings Ltd * | 1,036,708 | ||||||||
3,093,000 | XTEP International Holdings Ltd | 1,595,756 | ||||||||
101,400 | Xunlei Ltd ADR * | 547,560 | ||||||||
45,055,080 | Yangzijiang Shipbuilding Holdings Ltd | 25,257,928 | ||||||||
5,916,000 | Zhejiang Expressway Co Ltd – Class H | 6,589,112 | ||||||||
1,080,199 | Zhejiang Supor Cookware Co Ltd – Class A | 6,068,061 | ||||||||
|
| |||||||||
Total China | 998,837,267 | |||||||||
|
| |||||||||
Czech Republic — 0.1% | ||||||||||
55,786 | CEZ AS | 973,731 | ||||||||
7,487 | Philip Morris CR AS | 3,944,757 | ||||||||
|
| |||||||||
Total Czech Republic | 4,918,488 | |||||||||
|
| |||||||||
Egypt — 0.3% | ||||||||||
11,788,662 | Telecom Egypt Co | 13,355,602 | ||||||||
|
| |||||||||
Greece — 0.8% | ||||||||||
10,466,666 | Alpha Bank AE * | 20,075,084 | ||||||||
10,341,896 | Eurobank Ergasias SA * | 6,163,395 | ||||||||
35,399,812 | National Bank of Greece SA * | 8,337,581 | ||||||||
35,717,726 | Piraeus Bank SA * | 5,804,524 | ||||||||
80,300 | Tsakos Energy Navigation Ltd | 396,682 | ||||||||
|
| |||||||||
Total Greece | 40,777,266 | |||||||||
|
| |||||||||
India — 13.4% | ||||||||||
114,210 | Aditya Birla Nuvo Ltd | 2,346,188 | ||||||||
385,290 | Apollo Tyres Ltd | 1,050,397 |
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
3,490,952 | Asian Paints Ltd | 60,442,931 | ||||||||
1,422,392 | Aurobindo Pharma Ltd | 16,770,397 | ||||||||
8,988 | Bajaj Finance Ltd | 1,482,528 | ||||||||
1,086,563 | Berger Paints India Ltd | 4,233,926 | ||||||||
213,048 | Bharat Financial Inclusion Ltd * | 2,605,843 | ||||||||
1,194,324 | Cairn India Ltd | 3,551,501 | ||||||||
301,113 | CMI Ltd | 825,886 | ||||||||
245,461 | Dewan Housing Finance Corp Ltd | 1,060,689 | ||||||||
165,099 | Equitas Holdings Ltd * (a) | 448,565 | ||||||||
725,420 | Fortis Healthcare Ltd * | 1,925,864 | ||||||||
532,416 | Gateway Distriparks Ltd | 2,238,353 | ||||||||
3,380,000 | Gayatri Projects Ltd (b) (c) | 34,257,554 | ||||||||
8,246,263 | HDFC Bank Ltd (a) | 190,323,635 | ||||||||
1,990,048 | Hero MotoCorp Ltd | 105,269,076 | ||||||||
947,531 | IDBI Bank Ltd * | 1,027,894 | ||||||||
4,834,341 | IDFC Ltd * (a) | 4,865,975 | ||||||||
8,126,895 | IFCI Ltd | 3,443,505 | ||||||||
355,218 | Indiabulls Housing Finance Ltd | 4,336,995 | ||||||||
856,555 | Indiabulls Real Estate Ltd * | 1,048,046 | ||||||||
989,035 | Indian Oil Corp Ltd | 8,498,977 | ||||||||
155,949 | Indraprastha Gas Ltd | 1,860,314 | ||||||||
641,684 | IndusInd Bank Ltd | 11,342,275 | ||||||||
2,987,560 | Jai Balaji Industries Ltd * | 467,472 | ||||||||
705,728 | Karnataka Bank Ltd (The) | 1,589,436 | ||||||||
1,709,182 | Kiri Industries Ltd * (c) | 7,496,385 | ||||||||
157,928 | KPIT Technologies Ltd | 299,813 | ||||||||
759,988 | LIC Housing Finance Ltd | 6,476,432 | ||||||||
1,866,109 | Manappuram Finance Ltd | 2,370,657 | ||||||||
256,921 | Max Financial Services Ltd | 2,210,232 | ||||||||
337,789 | Mphasis Ltd * | 2,846,007 | ||||||||
106,729 | Multi Commodity Exchange of India Ltd | 1,572,070 | ||||||||
1,000,203 | Muthoot Finance Ltd | 5,603,171 | ||||||||
342,597 | Narayana Hrudayalaya Ltd * | 1,565,302 | ||||||||
3,190,775 | NMDC Ltd | 5,145,266 | ||||||||
786,672 | Reliance Capital Ltd | 6,247,632 | ||||||||
532,104 | Sangam India Ltd | 2,133,100 | ||||||||
2,640,442 | South Indian Bank Ltd (The) | 884,518 | ||||||||
649,006 | Sun TV Network Ltd | 4,581,350 | ||||||||
63,845 | Supreme Industries Ltd | 914,800 | ||||||||
357,997 | Techno Electric & Engineering Co Ltd | 3,484,945 | ||||||||
177,009 | Ujjivan Financial Services Ltd (a) | 1,116,677 | ||||||||
1,212,878 | UltraTech Cement Ltd | 72,922,117 | ||||||||
4,983,047 | Yes Bank Ltd | 102,425,883 | ||||||||
|
| |||||||||
Total India | 697,610,579 | |||||||||
|
| |||||||||
Indonesia — 0.5% | ||||||||||
52,639,500 | Bakrie Telecom Tbk PT * | 39,683 | ||||||||
3,459,500 | Bank Central Asia Tbk PT | 3,920,665 | ||||||||
1,537,600 | Bank Mandiri Persero Tbk PT | 1,300,867 | ||||||||
17,344,169 | Gajah Tunggal Tbk PT * | 1,972,242 |
See accompanying notes to the financial statements. | 13 |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Indonesia — continued | ||||||||||
503,800 | Gudang Garam Tbk PT | 2,443,507 | ||||||||
6,739,018 | Harum Energy Tbk PT * | 532,863 | ||||||||
10,847,391 | Indo Tambangraya Megah Tbk PT | 9,287,845 | ||||||||
12,104,500 | Malindo Feedmill Tbk PT * | 1,658,569 | ||||||||
4,360,300 | Perusahaan Gas Negara Persero Tbk PT | 990,512 | ||||||||
1,947,600 | Semen Indonesia Persero Tbk PT | 1,450,944 | ||||||||
13,878,300 | Telekomunikasi Indonesia Persero Tbk PT | 4,385,602 | ||||||||
|
| |||||||||
Total Indonesia | 27,983,299 | |||||||||
|
| |||||||||
Malaysia — 0.1% | ||||||||||
3,649,500 | AirAsia Berhad | 2,695,322 | ||||||||
5,662,965 | Media Prima Berhad | 1,963,789 | ||||||||
255,200 | Public Bank Berhad | 1,244,516 | ||||||||
|
| |||||||||
Total Malaysia | 5,903,627 | |||||||||
|
| |||||||||
Mexico — 1.6% | ||||||||||
3,224,004 | Cemex SAB de CV CPO * | 2,670,863 | ||||||||
8,910,792 | Cemex SAB de CV Sponsored ADR * | 73,870,466 | ||||||||
525,300 | Grupo Financiero Banorte SAB de CV – Class O | 2,830,868 | ||||||||
81,300 | Grupo Televisa SAB Sponsored ADR | 2,221,929 | ||||||||
546,400 | Wal-Mart de Mexico SAB de CV | 1,248,141 | ||||||||
|
| |||||||||
Total Mexico | 82,842,267 | |||||||||
|
| |||||||||
Philippines — 0.7% | ||||||||||
1,437,326 | BDO Unibank Inc | 3,522,897 | ||||||||
825,690 | Cebu Air Inc | 2,099,668 | ||||||||
4,285,000 | Century Pacific Food Inc | 1,572,826 | ||||||||
2,658,250 | Concepcion Industrial Corp | 3,281,688 | ||||||||
3,450,277 | First Gen Corp * | 1,884,081 | ||||||||
93,008 | GT Capital Holdings Inc | 3,059,055 | ||||||||
9,514,450 | Lopez Holding Corp | 1,613,076 | ||||||||
5,109,600 | Manila Water Co Inc | 3,069,690 | ||||||||
8,436,900 | Megaworld Corp | 851,297 | ||||||||
640,510 | Philippine Seven Corp | 1,926,930 | ||||||||
2,531,888 | Puregold Price Club Inc | 2,439,107 | ||||||||
2,139,840 | Robinsons Retail Holdings Inc | 3,855,327 | ||||||||
2,331,795 | Semirara Mining & Power Corp | 5,548,438 | ||||||||
1,967,150 | SM Prime Holdings Inc | 1,258,763 | ||||||||
160,300 | Universal Robina Corp | 642,798 | ||||||||
|
| |||||||||
Total Philippines | 36,625,641 | |||||||||
|
| |||||||||
Poland — 0.3% | ||||||||||
4,432,914 | Energa SA | 9,186,131 | ||||||||
18,672 | KRUK SA | 1,075,151 | ||||||||
5,114,891 | Synthos SA * | 5,082,269 | ||||||||
|
| |||||||||
Total Poland | 15,343,551 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Qatar — 0.2% | ||||||||||
65,543 | Doha Bank QSC | 675,340 | ||||||||
23,500 | Industries Qatar QSC | 722,062 | ||||||||
9,930 | Qatar Electricity & Water Co QSC | 590,437 | ||||||||
941,691 | Qatar Gas Transport Co Ltd Nakilat | 6,458,217 | ||||||||
31,292 | Qatar Navigation QSC | 777,297 | ||||||||
|
| |||||||||
Total Qatar | 9,223,353 | |||||||||
|
| |||||||||
Russia — 8.4% | ||||||||||
297,813 | Bashneft PJSC * | 14,402,415 | ||||||||
589,056 | Etalon Group Ltd GDR (Registered) | 1,705,954 | ||||||||
675,463 | Gazprom Neft PJSC Sponsored ADR | 8,805,325 | ||||||||
355,104 | Global Ports Investments Plc GDR (Registered) * | 889,133 | ||||||||
479,432 | Globaltrans Investment Plc Sponsored GDR (Registered) | 2,016,568 | ||||||||
342,118 | Lukoil PJSC Sponsored ADR | 15,332,303 | ||||||||
232,567 | M Video PJSC | 1,232,673 | ||||||||
1,621,768 | MegaFon PJSC GDR (Registered) | 16,480,655 | ||||||||
13,320,515 | Mobile TeleSystems PJSC Sponsored ADR | 108,295,787 | ||||||||
4,537,477 | Moscow Exchange MICEX-RTS PJSC | 8,821,885 | ||||||||
435,200 | QIWI Plc Sponsored ADR | 6,319,104 | ||||||||
1,172,097 | Rosneft PJSC GDR (Registered) | 6,119,831 | ||||||||
6,476,405 | Rostelecom PJSC * | 8,144,934 | ||||||||
12,897 | Rostelecom PJSC Sponsored ADR | 96,336 | ||||||||
4,504,662 | Sberbank of Russia PJSC | 9,895,869 | ||||||||
10,505,266 | Sberbank of Russia PJSC Sponsored ADR | 96,165,415 | ||||||||
3,416,643 | Sistema JSFC Sponsored GDR (Registered) | 28,952,390 | ||||||||
259,132 | Sollers PJSC * | 1,931,606 | ||||||||
12,288,793 | Surgutneftegas Sponsored ADR | 57,883,767 | ||||||||
951,708 | Tatneft PAO Sponsored ADR | 28,065,798 | ||||||||
3,472,118 | VimpelCom Ltd Sponsored ADR | 14,825,944 | ||||||||
|
| |||||||||
Total Russia | 436,383,692 | |||||||||
|
| |||||||||
South Africa — 1.5% | ||||||||||
9,364,130 | African Bank Investments Ltd * (d) | 637 | ||||||||
111,022 | Barclays Africa Group Ltd | 1,125,599 | ||||||||
1,558,098 | Barloworld Ltd | 8,820,674 | ||||||||
438,937 | Bidvest Group Ltd (The) | 4,539,766 | ||||||||
1,782,747 | FirstRand Ltd | 5,355,802 | ||||||||
1,004,360 | Grindrod Ltd | 783,309 | ||||||||
3,043,628 | Kumba Iron Ore Ltd * | 27,714,628 | ||||||||
557,680 | Lewis Group Ltd | 1,575,343 | ||||||||
861,357 | MTN Group Ltd | 7,043,993 | ||||||||
5,990,890 | Murray & Roberts Holdings Ltd | 5,206,090 | ||||||||
350,195 | Reunert Ltd | 1,448,652 | ||||||||
311,835 | RMB Holdings Ltd | 1,248,488 | ||||||||
100,816 | SPAR Group Ltd (The) | 1,317,307 | ||||||||
1,209,764 | Wilson Bayly Holmes-Ovcon Ltd | 12,230,246 | ||||||||
|
| |||||||||
Total South Africa | 78,410,534 | |||||||||
|
|
14 | See accompanying notes to the financial statements. |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Korea — 14.6% | ||||||||||
1,713,372 | BNK Financial Group Inc | 13,568,383 | ||||||||
4,619 | CJ O Shopping Co Ltd | 655,445 | ||||||||
900,073 | Daou Data Corp | 9,726,281 | ||||||||
1,134,433 | Daou Technology Inc | 21,377,784 | ||||||||
1,418,626 | DGB Financial Group Inc | 11,610,536 | ||||||||
171,378 | Dongbu Insurance Co Ltd | 10,362,208 | ||||||||
244,932 | Grand Korea Leisure Co Ltd | 5,724,628 | ||||||||
47,860 | GS Home Shopping Inc | 6,750,862 | ||||||||
3,334 | Halla Holdings Corp | 226,962 | ||||||||
1,536,612 | Hana Financial Group Inc | 40,246,139 | ||||||||
288,038 | Hankook Tire Co Ltd | 14,405,714 | ||||||||
998,592 | Hankook Tire Worldwide Co Ltd | 19,133,296 | ||||||||
395,662 | Hanon Systems | 4,141,916 | ||||||||
105,416 | Hyundai Home Shopping Network Corp | 11,619,424 | ||||||||
294,769 | Hyundai Marine & Fire Insurance Co Ltd | 8,925,323 | ||||||||
515,468 | Hyundai Mobis Co Ltd | 120,123,943 | ||||||||
237,275 | Hyundai Motor Co | 28,266,015 | ||||||||
51,441 | Hyundai Wia Corp | 4,188,906 | ||||||||
1,333,659 | Industrial Bank of Korea | 14,030,330 | ||||||||
7,226 | Innocean Worldwide Inc | 449,458 | ||||||||
125,941 | JB Financial Group Co Ltd | 666,474 | ||||||||
23,724 | Kangwon Land Inc | 838,831 | ||||||||
583,383 | KB Financial Group Inc | 20,354,251 | ||||||||
307,564 | KB Insurance Co Ltd | 7,426,810 | ||||||||
1,517,192 | Kia Motors Corp | 57,031,925 | ||||||||
40,908 | KT&G Corp | 4,288,784 | ||||||||
40,725 | LF Corp | 794,700 | ||||||||
19,855 | LG Chem Ltd | 4,799,287 | ||||||||
10,016 | Loen Entertainment Inc * | 669,393 | ||||||||
10,117 | Lotte Chemical Corp | 2,424,000 | ||||||||
727,175 | Meritz Securities Co Ltd | 2,193,577 | ||||||||
303,481 | Mirae Asset Life Insurance Co Ltd | 1,163,260 | ||||||||
51,578 | Neowiz Games Corp * | 590,343 | ||||||||
194,303 | Partron Co Ltd | 1,842,715 | ||||||||
10,473 | S&T Motiv Co Ltd | 488,004 | ||||||||
13,027 | Samsung Card Co Ltd | 515,811 | ||||||||
131,734 | Samsung Electronics Co Ltd | 191,076,059 | ||||||||
21,237 | Samsung Electronics Co Ltd GDR | 15,367,762 | ||||||||
2,180 | Samsung Fire & Marine Insurance Co Ltd | 526,448 | ||||||||
295,230 | Seoyeon Co Ltd | 3,452,800 | ||||||||
191,128 | Seoyon E-Hwa Co Ltd | 2,781,375 | ||||||||
545,222 | Shinhan Financial Group Co Ltd | 19,927,365 | ||||||||
89,173 | Silicon Works Co Ltd | 2,277,137 | ||||||||
336,818 | SK Hynix Inc | 10,982,175 | ||||||||
13,154 | Spigen Korea Co Ltd | 627,570 | ||||||||
6,399,267 | Woori Bank | 60,803,765 | ||||||||
|
| |||||||||
Total South Korea | 759,444,174 | |||||||||
|
| |||||||||
Sri Lanka — 0.0% | ||||||||||
103,983,101 | Anilana Hotels & Properties Ltd * (c) | 1,501,033 | ||||||||
|
|
Shares | Description | Value ($) | ||||||||
Taiwan — 21.8% | ||||||||||
14,914,000 | AcBel Polytech Inc | 10,968,164 | ||||||||
256,000 | Actron Technology Corp | 910,698 | ||||||||
1,047,522 | Advantech Co Ltd | 8,551,323 | ||||||||
15,116,940 | AmTRAN Technology Co Ltd | 11,281,257 | ||||||||
7,382,120 | Asustek Computer Inc | 62,351,174 | ||||||||
343,067 | Bizlink Holding Inc | 2,007,090 | ||||||||
2,613,300 | Casetek Holdings Ltd | 9,157,587 | ||||||||
2,860,000 | Catcher Technology Co Ltd * | 20,514,923 | ||||||||
16,198,000 | Cathay Financial Holding Co Ltd | 20,431,426 | ||||||||
6,207,000 | Chailease Holding Co Ltd | 10,700,213 | ||||||||
904,180 | Chang Hwa Commercial Bank Ltd | 453,752 | ||||||||
144,000 | Chaun-Choung Technology Corp | 836,190 | ||||||||
4,951,000 | Cheng Shin Rubber Industry Co Ltd | 10,504,119 | ||||||||
846,000 | Chimei Materials Technology Corp | 394,115 | ||||||||
1,478,000 | Chin-Poon Industrial Co Ltd | 3,516,281 | ||||||||
9,029,000 | China Development Financial Holding Corp | 2,277,287 | ||||||||
4,839,120 | China Life Insurance Co Ltd | 4,277,157 | ||||||||
5,124,919 | Chong Hong Construction Co Ltd | 8,444,074 | ||||||||
8,275,529 | Chunghwa Telecom Co Ltd | 29,709,812 | ||||||||
38,200 | Chunghwa Telecom Co Ltd Sponsored ADR | 1,369,470 | ||||||||
74,704,111 | Compal Electronics Inc | 44,215,609 | ||||||||
4,278,400 | Coretronic Corp | 4,815,043 | ||||||||
53,684,000 | CTBC Financial Holding Co Ltd | 30,994,273 | ||||||||
2,120,000 | CTCI Corp | 3,002,548 | ||||||||
1,737,000 | Dynapack International Technology Corp | 2,299,960 | ||||||||
8,274,333 | E.Sun Financial Holding Co Ltd | 4,648,956 | ||||||||
452,000 | Eclat Textile Co Ltd | 5,703,409 | ||||||||
870,000 | Elan Microelectronics Corp * | 1,123,075 | ||||||||
9,836,000 | Elitegroup Computer Systems Co Ltd | 4,520,374 | ||||||||
4,005,084 | Far EasTone Telecommunications Co Ltd | 9,319,215 | ||||||||
1,629,400 | Faraday Technology Corp | 1,621,061 | ||||||||
3,495,000 | Farglory Land Development Co Ltd | 4,076,102 | ||||||||
1,909,215 | First Financial Holding Co Ltd | 980,006 | ||||||||
1,623,000 | FLEXium Interconnect Inc | 4,504,461 | ||||||||
3,968,000 | Formosa Chemicals & Fibre Corp | 10,288,587 | ||||||||
5,221,000 | Formosa Plastics Corp | 12,863,469 | ||||||||
3,379,000 | Formosan Rubber Group Inc | 1,622,298 | ||||||||
20,823,243 | Foxconn Technology Co Ltd * | 58,321,521 | ||||||||
34,954,200 | Fubon Financial Holding Co Ltd | 49,341,698 | ||||||||
8,975,200 | Gigabyte Technology Co Ltd | 12,343,279 | ||||||||
719,000 | Grand Pacific Petrochemical | 362,852 | ||||||||
166,000 | Green Seal Holding Ltd * | 739,586 | ||||||||
44,000 | Hermes Microvision Inc | 1,883,001 | ||||||||
24,766,754 | Highwealth Construction Corp | 38,457,569 | ||||||||
36,397,500 | Hon Hai Precision Industry Co Ltd | 100,678,341 | ||||||||
3,979,000 | Huaku Development Co Ltd | 6,714,242 | ||||||||
2,148,500 | IEI Integration Corp | 2,960,019 | ||||||||
31,671,600 | Inventec Co Ltd | 23,454,799 |
See accompanying notes to the financial statements. | 15 |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
5,023,000 | KEE TAI Properties Co Ltd | 1,945,968 | ||||||||
1,222,000 | King’s Town Bank Co Ltd | 1,038,345 | ||||||||
3,059,000 | Kinsus Interconnect Technology Corp | 6,439,227 | ||||||||
112,000 | Largan Precision Co Ltd | 12,523,994 | ||||||||
35,703,141 | Lite-On Technology Corp | 53,941,986 | ||||||||
1,518,000 | Lotes Co Ltd | 3,898,354 | ||||||||
971,000 | Lung Yen Life Service Corp | 1,636,602 | ||||||||
496,785 | Makalot Industrial Co Ltd | 2,342,089 | ||||||||
10,285,000 | Mega Financial Holding Co Ltd | 6,993,413 | ||||||||
2,594,695 | Mercuries Life Insurance Co Ltd * | 1,233,070 | ||||||||
1,175,000 | Merry Electronics Co Ltd | 4,394,467 | ||||||||
2,262,000 | Micro-Star International Co Ltd | 5,448,073 | ||||||||
644,000 | MIN AIK Technology Co Ltd | 775,981 | ||||||||
228,000 | Nien Made Enterprise Co Ltd | 2,587,127 | ||||||||
2,119,810 | Novatek Microelectronics Corp | 7,221,483 | ||||||||
10,707,470 | Pegatron Corp | 25,834,755 | ||||||||
383,580 | Phison Electronics Corp | 2,768,870 | ||||||||
7,673,000 | Pou Chen Corp | 11,097,033 | ||||||||
194,811 | Powertech Technology Inc | 507,899 | ||||||||
29,191,550 | Quanta Computer Inc | 53,871,899 | ||||||||
12,830,870 | Radiant Opto-Electronics Corp | 21,016,365 | ||||||||
9,872,720 | Realtek Semiconductor Corp | 39,432,487 | ||||||||
12,720,626 | Ruentex Development Co Ltd * | 14,882,397 | ||||||||
9,041,000 | Ruentex Industries Ltd | 14,010,469 | ||||||||
627,000 | Sercomm Corp | 1,397,327 | ||||||||
16,030,000 | Shin Kong Financial Holding Co Ltd * | 3,509,928 | ||||||||
973,000 | Shin Zu Shing Co Ltd | 3,185,082 | ||||||||
5,106,780 | Simplo Technology Co Ltd | 16,789,497 | ||||||||
10,566,150 | SinoPac Financial Holdings Co Ltd | 3,084,945 | ||||||||
881,000 | Sitronix Technology Corp | 2,938,756 | ||||||||
2,138,000 | Soft-World International Corp | 4,484,584 | ||||||||
718,000 | Syncmold Enterprise Corp | 1,206,775 | ||||||||
5,822,585 | Taishin Financial Holding Co Ltd | 2,199,402 | ||||||||
1,252,000 | Taiwan Mobile Co Ltd | 4,396,628 | ||||||||
547,000 | Taiwan PCB Techvest Co Ltd | 546,654 | ||||||||
4,066,000 | Taiwan Semiconductor Manufacturing Co Ltd | 22,580,047 | ||||||||
971,000 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR | 27,906,540 | ||||||||
6,058,269 | Taiwan Surface Mounting Technology Corp | 5,182,752 | ||||||||
3,645,000 | Teco Electric and Machinery Co Ltd | 3,060,498 | ||||||||
700,000 | Test Research Inc | 861,644 | ||||||||
2,021,000 | Tong Hsing Electronic Industries Ltd | 8,052,729 | ||||||||
511,000 | Tong Yang Industry Co Ltd | 1,028,754 | ||||||||
7,647,160 | Tripod Technology Corp | 16,333,349 | ||||||||
759,000 | Uni-President Enterprises Corp | 1,432,123 | ||||||||
3,913,000 | United Integrated Services Co Ltd | 6,115,306 | ||||||||
4,336,000 | Wan Hai Lines Ltd | 2,088,370 | ||||||||
31,392,673 | Wistron Corp | 23,019,439 |
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
448,093 | Wistron NeWeb Corp | 1,346,879 | ||||||||
238,000 | Xxentria Technology Materials Corp | 605,446 | ||||||||
12,161,000 | Yuanta Financial Holding Co Ltd | 4,303,636 | ||||||||
2,974,670 | Yungtay Engineering Co Ltd | 4,348,816 | ||||||||
|
| |||||||||
Total Taiwan | 1,128,359,724 | |||||||||
|
| |||||||||
Thailand — 1.3% | ||||||||||
174,300 | Bangkok Bank Pcl NVDR | 852,638 | ||||||||
17,419,260 | Bangkok Dusit Medical Services Pcl (Foreign Registered) | 11,820,645 | ||||||||
1,390,000 | Berli Jucker Pcl (Foreign Registered) | 1,806,994 | ||||||||
1,387,500 | Carabao Group Pcl (Foreign Registered) | 2,843,290 | ||||||||
30,078,300 | Chularat Hospital Pcl (Foreign Registered) | 2,258,180 | ||||||||
1,666,800 | CP ALL Pcl (Foreign Registered) | 2,995,034 | ||||||||
1,702,500 | CPN Retail Growth Leasehold Property Fund | 1,008,208 | ||||||||
454,801 | Glow Energy Pcl (Foreign Registered) | 1,049,883 | ||||||||
2,160,651 | Intouch Holdings Pcl (Foreign Registered) (a) | 3,884,668 | ||||||||
973,400 | Intouch Holdings Pcl NVDR | 1,581,770 | ||||||||
633,100 | Kasikornbank Pcl NVDR | 3,608,458 | ||||||||
1,654,500 | Krung Thai Bank Pcl (Foreign Registered) | 907,195 | ||||||||
2,151,700 | Major Cineplex Group Pcl (Foreign Registered) | 2,018,618 | ||||||||
515,000 | PTT Global Chemical Pcl (Foreign Registered) | 905,231 | ||||||||
31,905,600 | Quality Houses Pcl (Foreign Registered) | 2,505,170 | ||||||||
4,225,002 | Ratchaburi Electricity Generating Holding Pcl (Foreign Registered) | 6,649,325 | ||||||||
40,505,223 | Sansiri Pcl (Foreign Registered) | 2,162,765 | ||||||||
241,400 | Siam Commercial Bank Pcl (The) (Foreign Registered) | 1,114,193 | ||||||||
3,943,000 | Thai Beverage Pcl | 2,879,187 | ||||||||
2,229,200 | Thanachart Capital Pcl (Foreign Registered) | 2,575,956 | ||||||||
2,225,300 | Tisco Financial Group Pcl (Foreign Registered) (a) | 3,630,393 | ||||||||
21,055,950 | TTW Pcl (Foreign Registered) | 6,688,175 | ||||||||
15,955,600 | WHA Corp Pcl (Foreign Registered) * | 1,659,377 | ||||||||
3,047,600 | WHA Premium Growth Freehold & Leasehold Real Estate Investment Trust (Foreign Registered) | 898,023 | ||||||||
|
| |||||||||
Total Thailand | 68,303,376 | |||||||||
|
| |||||||||
Turkey — 2.3% | ||||||||||
1,599,274 | Enka Insaat ve Sanayi AS | 2,361,996 | ||||||||
3,265,546 | Eregli Demir ve Celik Fabrikalari TAS | 4,912,978 | ||||||||
1,469,455 | Goodyear Lastikleri TAS | 1,674,532 | ||||||||
3,867,030 | Koza Altin Isletmeleri AS * | 18,076,358 | ||||||||
12,145,804 | Koza Anadolu Metal Madencilik Isletmeleri AS * | 4,637,398 | ||||||||
1,255,269 | Soda Sanayii AS | 1,739,866 |
16 | See accompanying notes to the financial statements. |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Turkey — continued | ||||||||||
46,469 | Tekfen Holding AS | 115,278 | ||||||||
4,541,368 | Turk Telekomunikasyon AS | 9,165,304 | ||||||||
136,190 | Turk Traktor ve Ziraat Makineleri AS | 3,975,602 | ||||||||
11,180,041 | Turkcell Iletisim Hizmetleri AS * | 37,471,799 | ||||||||
213,200 | Turkcell Iletisim Hizmetleri AS ADR * | 1,769,560 | ||||||||
3,590,107 | Turkiye Garanti Bankasi AS | 9,259,837 | ||||||||
1,667,815 | Turkiye Halk Bankasi AS | 5,005,518 | ||||||||
1,021,378 | Turkiye Is Bankasi – Class C | 1,660,583 | ||||||||
10,069,987 | Turkiye Vakiflar Bankasi TAO – Class D | 14,807,421 | ||||||||
575,254 | Yapi ve Kredi Bankasi AS * | 707,448 | ||||||||
|
| |||||||||
Total Turkey | 117,341,478 | |||||||||
|
| |||||||||
United Arab Emirates — 0.3% | ||||||||||
7,430,433 | DAMAC Properties Dubai Co PJSC | 4,849,978 | ||||||||
20,208,202 | Dana Gas PJSC * | 3,131,575 | ||||||||
995,966 | Dubai Islamic Bank PJSC | 1,478,641 | ||||||||
2,221,031 | Emaar Properties PJSC | 4,289,258 | ||||||||
396,792 | First Gulf Bank PJSC | 1,263,757 | ||||||||
6,026,441 | Union Properties PJSC * | 1,204,591 | ||||||||
|
| |||||||||
Total United Arab Emirates | 16,217,800 | |||||||||
|
| |||||||||
United Kingdom — 0.2% | ||||||||||
44,195 | British American Tobacco Plc | 2,741,974 | ||||||||
10,277 | British American Tobacco Plc Sponsered ADR | 1,276,300 | ||||||||
117,293 | Unilever Plc | 5,444,888 | ||||||||
|
| |||||||||
Total United Kingdom | 9,463,162 | |||||||||
|
| |||||||||
Vietnam — 0.2% | ||||||||||
466,510 | Bank for Foreign Trade of Vietnam JSC * | 1,128,361 | ||||||||
1,197,862 | Vietnam Dairy Products JSC | 8,370,048 | ||||||||
454,240 | Vingroup JSC * | 978,136 | ||||||||
|
| |||||||||
Total Vietnam | 10,476,545 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $4,528,459,455) | 4,786,397,382 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 5.4% | ||||||||||
Brazil — 1.2% | ||||||||||
5,301,000 | Banco do Estado do Rio Grande do Sul SA – Class B | 17,729,097 | ||||||||
1,066,564 | Companhia de Transmissao de Energia Eletrica Paulista | 22,195,312 | ||||||||
345,000 | Companhia Energetica de Minas Gerais | 934,829 | ||||||||
5,476,620 | Companhia Energetica de Minas Gerais Sponsored ADR | 14,622,575 | ||||||||
470,000 | Itau Unibanco Holding SA | 5,217,856 | ||||||||
69,400 | Itau Unibanco Holding SA Sponsored ADR | 768,952 | ||||||||
|
| |||||||||
Total Brazil | 61,468,621 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Russia — 2.1% | ||||||||||
29,753,191 | Sberbank | 46,423,666 | ||||||||
110,717,223 | Surgutneftegas OJSC * | 55,480,401 | ||||||||
12,100 | Surgutneftegaz Sponsored ADR | 61,105 | ||||||||
3,738 | Transneft * | 8,863,721 | ||||||||
|
| |||||||||
Total Russia | 110,828,893 | |||||||||
|
| |||||||||
South Korea — 2.1% | ||||||||||
100,558 | Hyundai Motor Co | 8,639,138 | ||||||||
261,070 | Hyundai Motor Co 2nd Preference | 23,525,371 | ||||||||
63,558 | Samsung Electronics Co Ltd (Non-Voting) | 75,377,872 | ||||||||
713 | Samsung Electronics Co Ltd GDR (Registered) | 424,479 | ||||||||
|
| |||||||||
Total South Korea | 107,966,860 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $304,023,220) | 280,264,374 | |||||||||
|
| |||||||||
INVESTMENT FUNDS — 0.6% | ||||||||||
India — 0.1% | ||||||||||
10,189 | Fire Capital Mauritius Private Fund * (d) (e) | 5,780,295 | ||||||||
1,371,900 | TDA India Technology Fund II LP * (d) (e) | 119,774 | ||||||||
|
| |||||||||
Total India | 5,900,069 | |||||||||
|
| |||||||||
Poland — 0.0% | ||||||||||
1,749,150 | Templeton EE FD * (d) (e) | 141,979 | ||||||||
|
| |||||||||
Russia — 0.1% | ||||||||||
5,452,004 | NCH Eagle Fund LP * (d) (e) | 2,332,002 | ||||||||
|
| |||||||||
Thailand — 0.3% | ||||||||||
20,427,300 | Digital Telecommunication Infrastructure Fund | 8,733,421 | ||||||||
14,473,400 | Jasmine Broadband Internet Infrastructure Fund | 4,847,607 | ||||||||
10,457,700 | TICON Industrial Growth Leasehold Property Fund | 3,835,426 | ||||||||
|
| |||||||||
Total Thailand | 17,416,454 | |||||||||
|
| |||||||||
United States — 0.1% | ||||||||||
82,651 | iShares MSCI Emerging Markets ETF | 3,019,241 | ||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $33,330,480) | 28,809,745 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.0% | ||||||||||
Brazil — 0.0% | ||||||||||
116,773 | AES Tiete Energia SA Rights, Expires 09/21/16* | 149,347 | ||||||||
|
|
See accompanying notes to the financial statements. | 17 |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares / Par Value† | Description | Value ($) | ||||||||
Thailand — 0.0% | ||||||||||
42,563,506 | Sansiri Pcl Warrants, Expires 11/24/17 * | 221,330 | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $171,130) | 370,677 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 1.4% | ||||||||||
United States — 1.4% | ||||||||||
Affiliated Issuers | ||||||||||
2,982,936 | GMO U.S. Treasury Fund | 74,603,230 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $74,603,230) | 74,603,230 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.2% | ||||||||||
Time Deposits — 0.2% | ||||||||||
HKD | 443,278 | BNP Paribas (Paris) Time Deposit, 0.01%, due 09/01/16 | 57,141 |
Par Value† | Description | Value ($) | ||||||||
Time Deposits — continued | ||||||||||
ZAR | 1,831,038 | HSBC Bank (London) Time Deposit, 6.44%, due 09/01/16 | 124,543 | |||||||
9,537,782 | Sumitomo (Tokyo) Time Deposit, 0.15%, due 09/01/16 | 9,537,782 | ||||||||
|
| |||||||||
Total Time Deposits | 9,719,466 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $9,719,466) | 9,719,466 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.9% (Cost $4,950,306,981) | 5,180,164,874 | |||||||||
Other Assets and Liabilities (net) — 0.1% | 6,827,724 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $5,186,992,598 | |||||||||
|
|
Additional information on each restricted security is as follows:
Issuer Description | Acquisition Date | Acquisition Cost | Value as a Percentage of Fund’s Net Assets | Value as of August 31, 2016 | ||||||||
Fire Capital Mauritius Private Fund | 12/12/06-10/26/09 | $ | 10,189,080 | 0.11% | $ | 5,780,295 | ||||||
Gayatri Projects Ltd | 8/7/15 | 10,789,949 | 0.66% | 34,257,554 | ||||||||
NCH Eagle Fund LP | 4/6/09 | 5,452,004 | 0.05% | 2,332,002 | ||||||||
TDA India Technology Fund II LP | 2/23/00-3/23/04 | — | 0.00% | 119,774 | ||||||||
Templeton EE FD | 12/05/97-6/24/02 | 471,720 | 0.00% | 141,979 | ||||||||
|
| |||||||||||
$ | 42,631,604 | |||||||||||
|
|
A summary of outstanding financial instruments at August 31, 2016 is as follows:
Swap Contracts
Total Return Swaps
Notional Amount | Expiration Date | Counterparty | Fund Pays | Fund Receives | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
22,654,371 | USD | 9/29/2016 | MSCI | Depreciation of Total Return on Asustek Computer, Inc. + (Daily Fed Funds Rate minus 0.50%) | Appreciation of Total Return on Asustek Computer, Inc. | $ | (221,654 | ) | ||||||||||
2,563,350 | USD | 9/26/2016 | MSCI | Depreciation of Total Return on Ez Tec Empreendimentos e Participacoes SA + (Daily Fed Funds Rate minus 0.50%) | Appreciation of Total Return on Ez Tec Empreendimentos e Participacoes SA | 5,725 | ||||||||||||
|
| |||||||||||||||||
$ | (215,929 | ) | ||||||||||||||||
|
| |||||||||||||||||
Premiums to (Pay) Receive | $ | — | ||||||||||||||||
|
|
18 | See accompanying notes to the financial statements. |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2016 (Unaudited)
As of August 31, 2016, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
* | Non-income producing security. |
(a) | Security valued at the local price and adjusted by applying a premium or discount since holding exceeds foreign ownership limits. |
(b) | The security is restricted as to resale. |
(c) | Affiliated company (Note 10). |
(d) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2). |
(e) | Private placement securities are restricted as to resale. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 23.
See accompanying notes to the financial statements. | 19 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary | % of Total Net Assets | |||
Common Stocks | 93.9 | % | ||
Investment Funds | 4.4 | |||
Mutual Funds | 1.1 | |||
Short-Term Investments | 0.1 | |||
Other | 0.5 | |||
|
| |||
100.0 | % | |||
|
| |||
Industry Sector Summary | % of Equity Investments# | |||
Technology Hardware Storage | 21.9 | % | ||
Electronic Equipment, Instruments & Components | 17.7 | |||
Semiconductors & Semiconductor Equipment | 13.3 | |||
Real Estate Management & Development | 7.0 | |||
Commerical Banks | 6.5 | |||
Diversified Financial Services | 5.1 | |||
Mutual Funds | 4.5 | |||
Diversified Telecommunication Services | 4.2 | |||
Textiles, Apparel & Luxury Goods | 3.4 | |||
Insurance Premiums | 3.1 | |||
Wireless Telecommunication Services | 2.8 | |||
Electrical Equipment | 1.6 | |||
Chemicals | 1.6 | |||
Household Durables | 1.5 | |||
Machinery | 1.2 | |||
Construction & Engineering | 1.0 | |||
Auto Components | 0.9 | |||
Communications Equipment | 0.5 | |||
Software | 0.5 | |||
Capital Markets | 0.5 | |||
Building Products | 0.3 | |||
Marine | 0.3 | |||
Diversified Consumer Services | 0.3 | |||
Food Products | 0.2 | |||
Construction Materials | 0.1 | |||
|
| |||
100.0 | % | |||
|
|
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
20
GMO Taiwan Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 93.9% | ||||||||||
Taiwan — 93.9% | ||||||||||
1,296,000 | AcBel Polytech Inc | 953,114 | ||||||||
64,000 | Actron Technology Corp | 227,675 | ||||||||
1,618,850 | AmTRAN Technology Co Ltd | 1,208,093 | ||||||||
782,323 | Asustek Computer Inc | 6,607,690 | ||||||||
60,849 | Bizlink Holding Inc | 355,993 | ||||||||
85,000 | Catcher Technology Co Ltd * | 609,709 | ||||||||
1,646,000 | Cathay Financial Holding Co Ltd | 2,076,190 | ||||||||
669,000 | Chailease Holding Co Ltd | 1,153,285 | ||||||||
403,860 | Chang Hwa Commercial Bank Ltd | 202,672 | ||||||||
52,000 | Chaun-Choung Technology Corp | 301,957 | ||||||||
239,000 | Cheng Shin Rubber Industry Co Ltd | 507,066 | ||||||||
413,000 | Chimei Materials Technology Corp | 192,399 | ||||||||
210,000 | Chin-Poon Industrial Co Ltd | 499,607 | ||||||||
1,489,000 | China Development Financial Holding Corp | 375,554 | ||||||||
654,160 | China Life Insurance Co Ltd | 578,193 | ||||||||
554,989 | Chong Hong Construction Co Ltd | 914,428 | ||||||||
1,284,132 | Chunghwa Telecom Co Ltd | 4,610,137 | ||||||||
1,700 | Chunghwa Telecom Co Ltd Sponsored ADR | 60,945 | ||||||||
4,976,486 | Compal Electronics Inc | 2,945,465 | ||||||||
541,600 | Coretronic Corp | 609,533 | ||||||||
5,259,000 | CTBC Financial Holding Co Ltd | 3,036,266 | ||||||||
297,000 | CTCI Corp | 420,640 | ||||||||
31,000 | Delta Electronics Inc | 160,843 | ||||||||
273,000 | Dynapack International Technology Corp | 361,479 | ||||||||
2,657,503 | E.Sun Financial Holding Co Ltd | 1,493,125 | ||||||||
58,000 | Eclat Textile Co Ltd | 731,853 | ||||||||
217,000 | Elan Microelectronics Corp * | 280,123 | ||||||||
435,767 | Far EasTone Telecommunications Co Ltd | 1,013,963 | ||||||||
292,400 | Faraday Technology Corp | 290,904 | ||||||||
459,000 | Farglory Land Development Co Ltd | 535,316 | ||||||||
484,880 | First Financial Holding Co Ltd | 248,890 | ||||||||
211,000 | FLEXium Interconnect Inc | 585,608 | ||||||||
184,000 | Formosa Chemicals & Fibre Corp | 477,092 | ||||||||
221,000 | Formosa Plastics Corp | 544,498 | ||||||||
647,000 | Formosan Rubber Group Inc | 310,632 | ||||||||
1,389,578 | Foxconn Technology Co Ltd * | 3,891,915 | ||||||||
3,244,000 | Fubon Financial Holding Co Ltd | 4,579,263 | ||||||||
384,000 | Grand Pacific Petrochemical | 193,790 | ||||||||
48,000 | Green Seal Holding Ltd * | 213,856 | ||||||||
8,000 | Hermes Microvision Inc | 342,364 | ||||||||
2,388,622 | Highwealth Construction Corp | 3,709,028 | ||||||||
3,431,963 | Hon Hai Precision Industry Co Ltd | 9,493,079 | ||||||||
460,000 | Huaku Development Co Ltd | 776,213 | ||||||||
1,292,000 | Inventec Corp | 956,807 | ||||||||
851,000 | KEE TAI Properties Co Ltd | 329,687 | ||||||||
346,000 | King’s Town Bank Co Ltd | 293,999 | ||||||||
353,000 | Kinsus Interconnect Technology Corp | 743,069 | ||||||||
11,000 | Largan Precision Co Ltd | 1,230,035 |
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
2,485,834 | Lite-On Technology Corp | 3,755,715 | ||||||||
196,000 | Lotes Co Ltd | 503,345 | ||||||||
177,000 | Lung Yen Life Service Corp | 298,330 | ||||||||
78,657 | Makalot Industrial Co Ltd | 370,828 | ||||||||
20,596 | MediaTek Inc | 161,643 | ||||||||
1,161,000 | Mega Financial Holding Co Ltd | 789,436 | ||||||||
603,910 | Mercuries Life Insurance Co Ltd * | 286,995 | ||||||||
179,000 | Merry Electronics Co Ltd | 669,455 | ||||||||
175,000 | MIN AIK Technology Co Ltd | 210,864 | ||||||||
38,000 | Nien Made Enterprise Co Ltd | 431,188 | ||||||||
239,995 | Novatek Microelectronics Corp | 817,583 | ||||||||
421,000 | Pegatron Corp | 1,015,780 | ||||||||
54,000 | Phison Electronics Corp | 389,799 | ||||||||
826,000 | Pou Chen Corp | 1,194,598 | ||||||||
76,475 | Powertech Technology Inc | 199,381 | ||||||||
2,050,856 | Quanta Computer Inc | 3,784,777 | ||||||||
980,670 | Radiant Opto-Electronics Corp | 1,606,292 | ||||||||
962,870 | Realtek Semiconductor Corp | 3,845,785 | ||||||||
1,313,036 | Ruentex Development Co Ltd * | 1,536,176 | ||||||||
939,600 | Ruentex Industries Ltd | 1,456,060 | ||||||||
132,000 | Sercomm Corp | 294,174 | ||||||||
2,270,000 | Shin Kong Financial Holding Co Ltd * | 497,039 | ||||||||
139,000 | Shin Zu Shing Co Ltd | 455,012 | ||||||||
516,000 | Simplo Technology Co Ltd | 1,696,447 | ||||||||
1,520,400 | SinoPac Financial Holdings Co Ltd | 443,904 | ||||||||
130,000 | Sitronix Technology Corp | 433,642 | ||||||||
272,000 | Soft-World International Corp | 570,536 | ||||||||
127,000 | Sunspring Metal Corp | 175,343 | ||||||||
159,000 | Syncmold Enterprise Corp | 267,239 | ||||||||
136,500 | Synnex Technology International Corp | 143,942 | ||||||||
968,004 | Taishin Financial Holding Co Ltd | 365,650 | ||||||||
129,550 | Taiwan Cement Corp | 147,622 | ||||||||
616,000 | Taiwan Mobile Co Ltd | 2,163,197 | ||||||||
224,000 | Taiwan PCB Techvest Co Ltd | 223,858 | ||||||||
121,000 | Taiwan Semiconductor Manufacturing Co Ltd | 671,959 | ||||||||
146,100 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR | 4,198,914 | ||||||||
753,022 | Taiwan Surface Mounting Technology Corp | 644,198 | ||||||||
522,000 | Teco Electric and Machinery Co Ltd | 438,294 | ||||||||
182,000 | Test Research Inc | 224,027 | ||||||||
230,000 | Tong Hsing Electronic Industries Ltd | 916,441 | ||||||||
147,000 | Tong Yang Industry Co Ltd | 295,943 | ||||||||
789,000 | Tripod Technology Corp | 1,685,202 | ||||||||
147,000 | Uni-President Enterprises Corp | 277,368 | ||||||||
468,000 | United Integrated Services Co Ltd | 731,399 | ||||||||
81,000 | Vanguard International Semiconductor Corp | 151,698 | ||||||||
686,000 | Wan Hai Lines Ltd | 330,402 | ||||||||
1,134,403 | Wistron Corp | 831,828 | ||||||||
99,786 | Wistron NeWeb Corp | 299,937 | ||||||||
86,000 | Xxentria Technology Materials Corp | 218,775 |
See accompanying notes to the financial statements. | 21 |
GMO Taiwan Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares / Par Value† | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
1,587,000 | Yuanta Financial Holding Co Ltd | 561,621 | ||||||||
391,152 | Yungtay Engineering Co Ltd | 571,844 | ||||||||
|
| |||||||||
Total Taiwan | 106,485,527 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $103,798,336) | 106,485,527 | |||||||||
|
| |||||||||
INVESTMENT FUNDS — 4.4% | ||||||||||
Taiwan — 4.4% | ||||||||||
330,302 | iShares MSCI Taiwan ETF | 4,967,742 | ||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $5,007,193) | 4,967,742 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 1.1% | ||||||||||
United States — 1.1% | ||||||||||
Affiliated Issuers | ||||||||||
49,111 | GMO U.S. Treasury Fund | 1,228,253 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $1,228,253) | 1,228,253 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
Time Deposit — 0.1% | ||||||||||
158,035 | Sumitomo (Tokyo) Time Deposit, 0.15%, due 09/01/16 | 158,035 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $158,035) | 158,035 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.5% (Cost $110,191,817) | 112,839,557 | |||||||||
Other Assets and Liabilities (net) — 0.5% | 538,251 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $113,377,808 | |||||||||
|
|
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
* | Non-income producing security. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 23.
22 | See accompanying notes to the financial statements. |
GMO Taiwan Fund
Schedule of Investments — (Continued)
August 31, 2016 (Unaudited)
144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.
ADR - American Depositary Receipt
BBA - British Bankers Association
CPO - Ordinary Participation Certificate (Certificado de Participacion Ordinares), representing a bundle of shares of the multiple series of one issuer that trade together as a unit.
ETF - Exchange-Traded Fund
Foreign Registered – Shares issued to foreign investors in markets that have foreign ownership limits.
GDR - Global Depository Receipt
JSC - Joint-Stock Company
LIBOR - London Interbank Offered Rate
NVDR - Non-Voting Depository Receipt
OJSC - Open Joint-Stock Company
OTC - Over-the-Counter
PJSC - Private Joint-Stock Company
Counterparty Abbreviations:
BCLY - Barclays Bank plc
GS - Goldman Sachs International
MSCI - Morgan Stanley & Co. International PLC
Currency Abbreviations:
GBP - British Pound
HKD - Hong Kong Dollar
SGD - Singapore Dollar
USD - United States Dollar
ZAR - South African Rand
See accompanying notes to the financial statements. | 23 |
Statements of Assets and Liabilities — August 31, 2016 (Unaudited)
Emerging Countries Fund | Emerging Domestic Opportunities Fund | Emerging Markets Fund | Taiwan Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | 265,993 | $ | 65,598,038 | $ | 117,858,202 | $ | 1,228,253 | ||||||||
Investments in unaffiliated issuers, at value (Note 2)(b) | 24,704,677 | 2,089,856,422 | 5,062,306,672 | 111,611,304 | ||||||||||||
Foreign currency, at value (Note 2)(c) | 97,875 | 3,641,712 | 28,817,906 | 1,276,568 | ||||||||||||
Receivable for investments sold | 71,387 | 136,510,105 | 56,358,267 | — | ||||||||||||
Dividends receivable | 34,374 | 2,033,397 | 12,025,199 | 422,863 | ||||||||||||
Dividend withholding tax receivable | — | 443,643 | — | — | ||||||||||||
Foreign capital gains tax refund receivable | 221,895 | 1,033,832 | 3,134,991 | — | ||||||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | — | 148,648 | — | — | ||||||||||||
Due from broker (Note 2) | — | 653,117 | — | — | ||||||||||||
Receivable for open OTC swap contracts | — | — | 5,725 | — | ||||||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 11,533 | 16,350 | 180,123 | — | ||||||||||||
Miscellaneous receivable | 57 | 6,995 | 89,497 | 390 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 25,407,791 | 2,299,942,259 | 5,280,776,582 | 114,539,378 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Due to custodian | 47 | — | 9,730 | — | ||||||||||||
Foreign taxes payable | 980 | — | 126,725 | — | ||||||||||||
Payable for investments purchased | 58,193 | 105,533,879 | 52,062,038 | 965,548 | ||||||||||||
Payable for Fund shares repurchased | 749 | — | 28,668,499 | — | ||||||||||||
Accrued foreign capital gains tax payable (Note 2) | 5,373 | 8,888,222 | 6,068,404 | — | ||||||||||||
Payable to affiliate for (Note 5): | ||||||||||||||||
Management fee | 14,714 | 1,473,848 | 3,548,375 | 83,240 | ||||||||||||
Shareholder service fee | 3,398 | 271,535 | 381,212 | 15,416 | ||||||||||||
Payable for foreign currency purchased | 65 | 62,121 | 24,632 | — | ||||||||||||
Payable for futures variation margin | — | 2,382,010 | — | — | ||||||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | — | 417,915 | — | — | ||||||||||||
Payable for open OTC swap contracts (Note 4) | — | 645,978 | 221,654 | — | ||||||||||||
Miscellaneous payable | — | — | 981,036 | — | ||||||||||||
Payable to agents unaffiliated with GMO | — | 297 | 759 | — | ||||||||||||
Payable to Trustees and related expenses | 58 | 840 | 2,375 | 93 | ||||||||||||
Accrued expenses | 136,005 | 589,856 | 1,688,545 | 97,273 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 219,582 | 120,266,501 | 93,783,984 | 1,161,570 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 25,188,209 | $ | 2,179,675,758 | $ | 5,186,992,598 | $ | 113,377,808 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments — affiliated issuers: | $ | 265,993 | $ | 48,693,041 | $ | 93,459,269 | $ | 1,228,253 | ||||||||
(b) Cost of investments — unaffiliated issuers: | $ | 24,901,216 | $ | 1,944,637,360 | $ | 4,856,847,712 | $ | 108,963,564 | ||||||||
(c) Cost of foreign currency: | $ | 97,939 | $ | 3,636,656 | $ | 28,822,133 | $ | 1,277,765 |
24 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2016 (Unaudited) — (Continued)
Emerging Countries Fund | Emerging Domestic Opportunities Fund | Emerging Markets Fund | Taiwan Fund | |||||||||||||
Net assets consist of: | ||||||||||||||||
Paid-in capital | $ | 52,032,329 | $ | 2,192,934,813 | $ | 7,086,740,321 | $ | 122,757,625 | ||||||||
Accumulated undistributed net investment income | 145,296 | 9,374,643 | 45,867,764 | 2,416,163 | ||||||||||||
Accumulated net realized loss | (26,787,912 | ) | (173,213,608 | ) | (2,169,848,630 | ) | (14,440,719 | ) | ||||||||
Net unrealized appreciation (depreciation) | (201,504 | ) | 150,579,910 | 224,233,143 | 2,644,739 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 25,188,209 | $ | 2,179,675,758 | $ | 5,186,992,598 | $ | 113,377,808 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets attributable to: | ||||||||||||||||
Class II | $ | — | $ | 667,631,746 | $ | 520,355,255 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | $ | 25,188,209 | $ | 162,631,723 | $ | 240,350,706 | $ | 113,377,808 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | — | $ | 738,899,544 | $ | 258,633,970 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class V | $ | — | $ | 599,448,187 | $ | 412,349,881 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | — | $ | 11,064,558 | $ | 3,755,302,786 | $ | — | ||||||||
|
|
|
|
|
|
|
| �� | ||||||||
Shares outstanding: | ||||||||||||||||
Class II | — | 28,809,789 | 18,016,065 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | 985,147 | 7,016,520 | 8,300,850 | 5,732,246 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | — | 31,875,029 | 9,012,408 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class V | — | 25,873,558 | 14,404,551 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | — | 474,880 | 130,862,686 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share: | ||||||||||||||||
Class II | $ | — | $ | 23.17 | $ | 28.88 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | $ | 25.57 | $ | 23.18 | $ | 28.95 | $ | 19.78 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | — | $ | 23.18 | $ | 28.70 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class V | $ | — | $ | 23.17 | $ | 28.63 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | — | $ | 23.30 | $ | 28.70 | $ | — | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 25 |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2016 (Unaudited)
Emerging Countries Fund | Emerging Domestic Opportunities Fund | Emerging Markets Fund | Taiwan Fund | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends from unaffiliated issuers (Net of withholding tax)(a) | $ | 521,809 | $ | 25,694,152 | $ | 122,751,521 | $ | 3,410,510 | ||||||||
Interest | 62 | 2,308,202 | 16,156 | 1,653 | ||||||||||||
Dividends from affiliated issuers (Note 10) | 279 | 811,460 | 117,772 | 1,369 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 522,150 | 28,813,814 | 122,885,449 | 3,413,532 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Management fee (Note 5) | 77,046 | 7,822,997 | 19,460,672 | 366,669 | ||||||||||||
Shareholder service fee – Class II (Note 5) | — | 700,937 | 558,052 | — | ||||||||||||
Shareholder service fee – Class III (Note 5) | 17,780 | 151,975 | 166,754 | 67,902 | ||||||||||||
Shareholder service fee – Class IV (Note 5) | — | 467,985 | 136,957 | — | ||||||||||||
Shareholder service fee – Class V (Note 5) | — | 146,406 | 153,797 | — | ||||||||||||
Shareholder service fee – Class VI (Note 5) | — | 2,859 | 1,055,205 | — | ||||||||||||
Audit and tax fees | 34,776 | 39,468 | 63,756 | 33,396 | ||||||||||||
Custodian and fund accounting agent fees | 75,208 | 1,108,696 | 3,517,016 | 109,644 | ||||||||||||
Legal fees | 5,796 | 37,720 | 125,028 | 4,784 | ||||||||||||
Registration fees | 4,416 | 4,232 | 22,203 | 368 | ||||||||||||
Transfer agent fees | 12,788 | 35,420 | 37,168 | 12,788 | ||||||||||||
Trustees’ fees and related expenses (Note 5) | 221 | 15,409 | 38,840 | 644 | ||||||||||||
Miscellaneous | 7,096 | 11,224 | 23,001 | 3,501 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 235,127 | 10,545,328 | 25,358,449 | 599,696 | ||||||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (87,820 | ) | (299,635 | ) | (1,004,272 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 147,307 | 10,245,693 | 24,354,177 | 599,696 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 374,843 | 18,568,121 | 98,531,272 | 2,813,836 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b) | (2,239,692 | ) | 91,590,481 | (449,339,364 | ) | (5,212,390 | ) | |||||||||
Investments in affiliated issuers | 193 | 1,457,283 | (1,594 | ) | 988 | |||||||||||
Realized gain distributions from affiliated issuers (Note 10) | 16 | 524 | 2,720 | 38 | ||||||||||||
Futures contracts | — | (4,936,801 | ) | — | — | |||||||||||
Written options | (415 | ) | 220,020 | 53,298 | — | |||||||||||
Swap contracts | — | (2,487,402 | ) | (3,709,306 | ) | — | ||||||||||
Foreign currency, forward contracts and foreign currency related transactions | 6,275 | (8,997,107 | ) | 1,093,720 | (55,348 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (2,233,623 | ) | 76,846,998 | (451,900,526 | ) | (5,266,712 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c) | 7,311,120 | 280,118,568 | 1,564,309,006 | 17,235,138 | ||||||||||||
Investments in affiliated issuers | — | 3,657,655 | 11,182,589 | — | ||||||||||||
Futures contracts | — | (4,387,207 | ) | — | — | |||||||||||
Written options | (1,260 | ) | (1,716,561 | ) | (363,121 | ) | — | |||||||||
Swap contracts | — | (779,700 | ) | (381,375 | ) | — | ||||||||||
Foreign currency, forward contracts and foreign currency related transactions | 5,592 | 1,735,664 | 806,246 | (3,052 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net changed in unrealized appreciation (depreciation) | 7,315,452 | 278,628,419 | 1,575,553,345 | 17,232,086 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | 5,081,829 | 355,475,417 | 1,123,652,819 | 11,965,374 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | 5,456,672 | $ | 374,043,538 | $ | 1,222,184,091 | $ | 14,779,210 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Withholding tax: | $ | 86,845 | $ | 2,783,349 | $ | 17,986,567 | $ | 820,761 | ||||||||
(b) Foreign capital gains tax on net realized gain (loss): | $ | — | $ | 730,442 | $ | (37,980 | ) | $ | — | |||||||
(c) Foreign capital gains tax on change in net unrealized appreciation (depreciation): | $ | — | $ | 8,907,747 | $ | 6,068,553 | $ | — |
26 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets
Emerging Countries Fund | Emerging Domestic Opportunities Fund | |||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 374,843 | $ | 669,599 | $ | 18,568,121 | $ | 37,658,910 | ||||||||
Net realized gain (loss) | (2,233,623 | ) | (4,392,663 | ) | 76,846,998 | (201,193,676 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 7,315,452 | (4,195,093 | ) | 278,628,419 | (284,441,903 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 5,456,672 | (7,918,157 | ) | 374,043,538 | (447,976,669 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class II | — | — | �� | (2,918,229 | ) | (10,957,179 | ) | |||||||||
Class III | — | (645,110 | ) | (683,158 | ) | (5,170,992 | ) | |||||||||
Class IV | — | — | (4,879,900 | ) | (10,726,064 | ) | ||||||||||
Class V | — | — | (1,591,910 | ) | (5,385,781 | ) | ||||||||||
Class VI | — | — | (31,485 | ) | (8,108,215 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | — | (645,110 | ) | (10,104,682 | ) | (40,348,231 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains | ||||||||||||||||
Class III | — | (346,793 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | — | (346,793 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Return of capital | ||||||||||||||||
Class III | — | (36,830 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from return of capital | — | (36,830 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class II | — | — | (915,843 | ) | (46,500,485 | ) | ||||||||||
Class III | (1,098,419 | ) | (8,725,604 | ) | (118,348,168 | ) | (31,379,384 | ) | ||||||||
Class IV | — | — | (163,136,711 | ) | 183,384,511 | |||||||||||
Class V | — | — | 221,037,092 | 130,232,888 | ||||||||||||
Class VI | — | — | 54,773 | (496,894,808 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (1,098,419 | ) | (8,725,604 | ) | (61,308,857 | ) | (261,157,278 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class II | — | — | 280,884 | 1,063,973 | ||||||||||||
Class III | — | — | 83,760 | 475,127 | ||||||||||||
Class IV | — | — | 413,499 | 986,392 | ||||||||||||
Class V | — | — | 138,683 | 472,320 | ||||||||||||
Class VI | — | — | 4,594 | 648,745 | ||||||||||||
|
|
|
|
|
|
| �� | |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | — | — | 921,420 | 3,646,557 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (1,098,419 | ) | — | (60,387,437 | ) | (257,510,721 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 4,358,253 | (17,672,494 | ) | 303,551,419 | (745,835,621 | ) | ||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 20,829,956 | 38,502,450 | 1,876,124,339 | 2,621,959,960 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 25,188,209 | $ | 20,829,956 | $ | 2,179,675,758 | $ | 1,876,124,339 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income | $ | 145,296 | $ | — | $ | 9,374,643 | $ | 911,204 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions in excess of net investment income | $ | — | $ | (229,547 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 27 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Emerging Markets Fund | Taiwan Fund | |||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 98,531,272 | $ | 166,310,707 | $ | 2,813,836 | $ | 2,939,946 | ||||||||
Net realized gain (loss) | (451,900,526 | ) | (855,974,919 | ) | (5,266,712 | ) | (6,384,991 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | 1,575,553,345 | (882,990,000 | ) | 17,232,086 | (19,892,086 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 1,222,184,091 | (1,572,654,212 | ) | 14,779,210 | (23,337,131 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class II | (486,528 | ) | (14,843,763 | ) | — | — | ||||||||||
Class III | (256,846 | ) | (9,750,759 | ) | (386,985 | ) | (2,538,791 | ) | ||||||||
Class IV | (297,309 | ) | (15,521,572 | ) | — | — | ||||||||||
Class V | (550,549 | ) | (9,715,352 | ) | — | — | ||||||||||
Class VI | (5,437,976 | ) | (139,438,918 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (7,029,208 | ) | (189,270,364 | ) | (386,985 | ) | (2,538,791 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains | ||||||||||||||||
Class III | — | — | — | (4,888,939 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | — | — | — | (4,888,939 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class II | (137,493,028 | ) | (305,210,826 | ) | — | — | ||||||||||
Class III | (394,058 | ) | (2,035,123 | ) | 7,249,683 | 4,424,325 | ||||||||||
Class IV | (74,205,587 | ) | (429,527,732 | ) | — | — | ||||||||||
Class V | 64,107,296 | 199,756,734 | — | — | ||||||||||||
Class VI | (809,216,618 | ) | (289,122,093 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (957,201,995 | ) | (826,139,040 | ) | 7,249,683 | 4,424,325 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class II | 778,575 | 2,353,882 | — | — | ||||||||||||
Class III | 333,262 | 1,067,882 | 187,799 | 143,473 | ||||||||||||
Class IV | 403,727 | 2,040,543 | — | — | ||||||||||||
Class V | 531,516 | 1,030,442 | — | — | ||||||||||||
Class VI | 5,794,231 | 16,113,225 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | 7,841,311 | 22,605,974 | 187,799 | 143,473 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (949,360,684 | ) | (803,533,066 | ) | 7,437,482 | 4,567,798 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 265,794,199 | (2,565,457,642 | ) | 21,829,707 | (26,197,063 | ) | ||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 4,921,198,399 | 7,486,656,041 | 91,548,101 | 117,745,164 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 5,186,992,598 | $ | 4,921,198,399 | $ | 113,377,808 | $ | 91,548,101 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income | $ | 45,867,764 | $ | — | $ | 2,416,163 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions in excess of net investment income | $ | — | $ | (45,634,300 | ) | $ | — | $ | (10,688 | ) | ||||||
|
|
|
|
|
|
|
|
28 | See accompanying notes to the financial statements. |
GMO Trust Funds
(For a share outstanding throughout each period)
EMERGING COUNTRIES FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited)(a) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2013(a) | 2012(a) | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.16 | $ | 27.39 | $ | 27.63 | $ | 31.83 | $ | 33.09 | $ | 34.50 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.37 | 0.57 | 0.66 | 0.78 | 0.60 | 0.72 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 5.04 | (6.84 | ) | 0.15 | (4.14 | ) | (1.29 | ) | (1.50 | )(c) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 5.41 | (6.27 | ) | 0.81 | (3.36 | ) | (0.69 | ) | (0.78 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.60 | ) | (1.05 | ) | (0.84 | ) | (0.57 | ) | (0.63 | ) | |||||||||||||||||||
From net realized gains | — | (0.33 | ) | — | — | — | — | |||||||||||||||||||||||
Return of capital | — | (0.03 | ) | — | — | — | — | |||||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | — | (0.96 | ) | (1.05 | ) | (0.84 | ) | (0.57 | ) | (0.63 | ) | |||||||||||||||||||
|
|
|
|
|
|
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|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 25.57 | $ | 20.16 | $ | 27.39 | $ | 27.63 | $ | 31.83 | $ | 33.09 | ||||||||||||||||||
|
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|
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|
|
|
|
| |||||||||||||||||||
Total Return(d) | 26.84 | % | (23.10 | )% | 3.02 | % | (10.61 | )% | (2.05 | )% | (1.96 | )% | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 25,188 | $ | 20,830 | $ | 38,502 | $ | 46,055 | $ | 134,535 | $ | 157,638 | ||||||||||||||||||
Net expenses to average daily net assets(e) | 1.24 | %* | 1.31 | % | 1.23 | % | 1.24 | %(f) | 1.18 | %(f) | 1.17 | %(f) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 3.16 | %* | 2.27 | % | 2.27 | % | 2.66 | % | 1.94 | % | 2.14 | % | ||||||||||||||||||
Portfolio turnover rate | 39 | %(g)** | 59 | %(h) | 74 | % | 122 | % | 108 | % | 113 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.74 | %* | 0.77 | % | 0.28 | % | 0.43 | % | 0.21 | % | 0.14 | % |
(a) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(c) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. |
(d) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(e) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(f) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(g) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 44% of the average value of its portfolio. |
(h) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 57% of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 29 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
EMERGING DOMESTIC OPPORTUNITIES FUND
Class II Shares | Class III Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | Period from March 24, 2011 (commencement of operations) through February 29, 2012 | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | Period from June 29, 2012 (commencement of operations) through February 28, 2013 | ||||||||||||||||||||||||||||||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2016 | 2015 | 2014 | |||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.36 | $ | 23.99 | $ | 22.55 | $ | 24.60 | $ | 21.39 | $ | 20.89 | $ | 19.35 | $ | 23.98 | $ | 22.54 | $ | 24.59 | $ | 21.02 | |||||||||||||||||||||||||||||||||
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| ||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.18 | ^ | 0.34 | 0.28 | 0.26 | 0.24 | 0.20 | 0.19 | ^ | 0.36 | 0.29 | 0.30 | 0.05 | ||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 3.73 | (4.60 | ) | 1.55 | (1.22 | ) | 3.27 | 0.39 | (b) | 3.74 | (4.60 | ) | 1.55 | (1.24 | ) | 3.84 | |||||||||||||||||||||||||||||||||||||||
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|
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|
|
|
|
| ||||||||||||||||||||||||||||||||||
Total from investment operations | 3.91 | (4.26 | ) | 1.83 | (0.96 | ) | 3.51 | 0.59 | 3.93 | (4.24 | ) | 1.84 | (0.94 | ) | 3.89 | ||||||||||||||||||||||||||||||||||||||||
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| ||||||||||||||||||||||||||||||||||
Less distributions to shareholders: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.10 | ) | (0.37 | ) | (0.23 | ) | (0.30 | ) | (0.15 | ) | (0.09 | )* | (0.10 | ) | (0.39 | ) | (0.24 | ) | (0.32 | ) | (0.17 | ) | |||||||||||||||||||||||||||||||||
From net realized gains | — | — | (0.16 | ) | (0.79 | ) | (0.15 | ) | — | — | — | (0.16 | ) | (0.79 | ) | (0.15 | ) | ||||||||||||||||||||||||||||||||||||||
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| ||||||||||||||||||||||||||||||||||
Total distributions | (0.10 | ) | (0.37 | ) | (0.39 | ) | (1.09 | ) | (0.30 | ) | (0.09 | )* | (0.10 | ) | (0.39 | ) | (0.40 | ) | (1.11 | ) | (0.32 | ) | |||||||||||||||||||||||||||||||||
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| ||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 23.17 | $ | 19.36 | $ | 23.99 | $ | 22.55 | $ | 24.60 | $ | 21.39 | $ | 23.18 | $ | 19.35 | $ | 23.98 | $ | 22.54 | $ | 24.59 | |||||||||||||||||||||||||||||||||
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| ||||||||||||||||||||||||||||||||||
Total Return(c) | 20.24 | %** | (17.91 | )% | 8.18 | % | (4.01 | )% | 16.47 | % | 2.86 | %** | 20.33 | %** | (17.86 | )% | 8.23 | % | (3.95 | )% | 18.57 | %** | |||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: |
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 667,632 | $ | 556,539 | $ | 738,035 | $ | 621,278 | $ | 352,479 | $ | 112,056 | $ | 162,632 | $ | 242,740 | $ | 336,488 | $ | 384,757 | $ | 104,740 | |||||||||||||||||||||||||||||||||
Net expenses to average daily net assets(d) | 1.06 | %* | 1.07 | % | 1.07 | % | 1.07 | %(e) | 1.07 | %(e) | 1.02 | %* | 0.99 | %* | 1.00 | % | 1.00 | % | 1.00 | %(e) | 1.00 | %*(e) | |||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.69 | %*^ | 1.51 | % | 1.21 | % | 1.09 | % | 1.05 | % | 1.05 | %* | 1.79 | %*^ | 1.61 | % | 1.26 | % | 1.23 | % | 0.31 | %* | |||||||||||||||||||||||||||||||||
Portfolio turnover rate | 145 | %(f)** | 250 | %(g) | 204 | % | 274 | % | 247 | % | 459 | %**†† | 145 | %(f)** | 250 | %(g) | 204 | % | 274 | % | 247 | %**††† | |||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.03 | %* | 0.04 | % | 0.03 | % | 0.03 | % | 0.03 | % | 0.42 | %* | 0.03 | %* | 0.04 | % | 0.03 | % | 0.03 | % | 0.04 | %* | |||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.01 | $ | 0.04 | $ | 0.03 | $ | 0.10 | $ | 0.24 | $ | 0.45 | $ | 0.01 | $ | 0.03 | $ | 0.03 | $ | 0.09 | $ | 0.31 |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 165% of the average value of its portfolio. |
(g) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 189% of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
†† | Calculation represents portfolio turnover of the Fund for the year ended February 29, 2012. |
††† | Calculation represents portfolio turnover of the Fund for the year ended February 28, 2013. |
* | Annualized. |
** | Not annualized. |
^ | Net investment income per share class may appear skewed due to timing of purchases and redemptions of Fund shares and their impact on class allocations. |
30 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
EMERGING DOMESTIC OPPORTUNITIES FUND (continued)
Class IV Shares | Class V Shares | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | Period from May 2, 2012 (commencement of operations) through February 28, 2013 | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | Period from November 29, 2013 (commencement of operations) through February 28, 2014 | ||||||||||||||||||||||||||||||||||||||||
2016 | 2015 | 2014 | 2016 | 2015 | |||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.36 | $ | 24.00 | $ | 22.56 | $ | 24.60 | $ | 22.00 | $ | 19.35 | $ | 23.98 | $ | 22.54 | $ | 24.52 | |||||||||||||||||||||||||||
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| ||||||||||||||||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.20 | ^ | 0.36 | 0.30 | 0.31 | 0.14 | 0.20 | ^ | 0.37 | 0.31 | 0.01 | ||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 3.73 | (4.60 | ) | 1.56 | (1.23 | ) | 2.78 | 3.73 | (4.59 | ) | 1.55 | (1.20 | ) | ||||||||||||||||||||||||||||||||
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Total from investment operations | 3.93 | (4.24 | ) | 1.86 | (0.92 | ) | 2.92 | 3.93 | (4.22 | ) | 1.86 | (1.19 | ) | ||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | |||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.11 | ) | (0.40 | ) | (0.26 | ) | (0.33 | ) | (0.17 | ) | (0.11 | ) | (0.41 | ) | (0.26 | ) | (0.34 | ) | |||||||||||||||||||||||||||
From net realized gains | — | — | (0.16 | ) | (0.79 | ) | (0.15 | ) | — | — | (0.16 | ) | (0.45 | ) | |||||||||||||||||||||||||||||||
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Total distributions | (0.11 | ) | (0.40 | ) | (0.42 | ) | (1.12 | ) | (0.32 | ) | (0.11 | ) | (0.41 | ) | (0.42 | ) | (0.79 | ) | |||||||||||||||||||||||||||
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Net asset value, end of period | $ | 23.18 | $ | 19.36 | $ | 24.00 | $ | 22.56 | $ | 24.60 | $ | 23.17 | $ | 19.35 | $ | 23.98 | $ | 22.54 | |||||||||||||||||||||||||||
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Total Return(b) | 20.35 | %** | (17.84 | )% | 8.29 | % | (3.88 | )% | 13.34 | %** | 20.36 | %** | (17.79 | )% | 8.32 | % | (4.95 | )%** | |||||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 738,900 | $ | 745,300 | $ | 686,589 | $ | 659,592 | $ | 518,430 | $ | 599,448 | $ | 322,379 | $ | 255,379 | $ | 235,753 | |||||||||||||||||||||||||||
Net expenses to average daily net assets(c) | 0.95 | %* | 0.96 | % | 0.95 | % | 0.95 | %(d) | 0.95 | %*(d) | 0.93 | %* | 0.94 | % | 0.93 | % | 0.94 | %*(d) | |||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.83 | %*^ | 1.61 | % | 1.29 | % | 1.29 | % | 0.71 | %* | 1.83 | %*^ | 1.65 | % | 1.32 | % | 0.09 | %* | |||||||||||||||||||||||||||
Portfolio turnover rate | 145 | %(e)** | 250 | %(f) | 204 | % | 274 | % | 247 | %**††† | 145 | %(e)** | 250 | %(f) | 204 | % | 274 | %**†††† | |||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.03 | %* | 0.04 | % | 0.03 | % | 0.03 | % | 0.04 | %* | 0.03 | %* | 0.04 | % | 0.03 | % | 0.06 | %* | |||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.01 | $ | 0.03 | $ | 0.03 | $ | 0.10 | $ | 0.28 | $ | 0.01 | $ | 0.04 | $ | 0.03 | $ | 0.02 |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(e) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 165% of the average value of its portfolio. |
(f) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 189% of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
††† | Calculation represents portfolio turnover of the Fund for the year ended February 28, 2013. |
†††† | Calculation represents portfolio turnover of the Fund for the year ended February 28, 2014. |
* | Annualized. |
** | Not annualized. |
^ | Net investment income per share class may appear skewed due to timing of purchases and redemptions of Fund shares and their impact on class allocations. |
See accompanying notes to the financial statements. | 31 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
EMERGING DOMESTIC OPPORTUNITIES FUND (continued)
Class VI Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | Period from September 19, 2011 (commencement of operations) through February 29, 2012 | ||||||||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | |||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.41 | $ | 24.06 | $ | 22.61 | $ | 24.65 | $ | 21.41 | $ | 20.34 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.09 | ^ | 0.40 | 0.31 | 0.36 | 0.34 | 0.10 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) | 3.87 | (4.64 | ) | 1.57 | (1.28 | ) | 3.22 | 1.06 | (b) | |||||||||||||||||||||
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Total from investment operations | 3.96 | (4.24 | ) | 1.88 | (0.92 | ) | 3.56 | 1.16 | ||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.07 | ) | (0.41 | ) | (0.27 | ) | (0.33 | ) | (0.17 | ) | (0.09 | ) | ||||||||||||||||||
From net realized gains | — | — | (0.16 | ) | (0.79 | ) | (0.15 | ) | — | |||||||||||||||||||||
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Total distributions | (0.07 | ) | (0.41 | ) | (0.43 | ) | (1.12 | ) | (0.32 | ) | (0.09 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 23.30 | $ | 19.41 | $ | 24.06 | $ | 22.61 | $ | 24.65 | $ | 21.41 | ||||||||||||||||||
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Total Return(c) | 20.40 | %** | (17.81 | )% | 8.37 | % | (3.84 | )% | 16.69 | % | 5.78 | %** | ||||||||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 11,065 | $ | 9,167 | $ | 605,469 | $ | 546,120 | $ | 654,063 | $ | 418,017 | ||||||||||||||||||
Net expenses to average daily net assets(d) | 0.90 | %* | 0.91 | % | 0.90 | % | 0.90 | %(e) | 0.90 | %(e) | 0.87 | %*(e) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 0.87 | %* | 1.79 | % | 1.34 | % | 1.47 | % | 1.50 | % | 1.10 | %* | ||||||||||||||||||
Portfolio turnover rate | 145 | %(f)**^ | 250 | %(g) | 204 | % | 274 | % | 247 | % | 459 | %**†† | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.03 | %* | 0.04 | % | 0.03 | % | 0.03 | % | 0.03 | % | 0.13 | %* | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.01 | $ | 0.03 | $ | 0.03 | $ | 0.11 | $ | 0.07 | $ | 0.18 |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 165% of the average value of its portfolio. |
(g) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 189% of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
†† | Calculation represents portfolio turnover of the Fund for the period from March 1, 2011 through February 29, 2012. |
* | Annualized. |
** | Not annualized. |
^ | Net investment income per share class may appear skewed due to the timing of purchases and redemptions of Fund shares and their impact on class allocations. |
32 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
EMERGING MARKETS FUND
Class II Shares | Class III Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited)(a) | Year Ended February 28/29, | Period from August 12, 2009 through February 28, 2013(a) | Year Ended February 29, 2012(a) | Six Months Ended August 31, 2016 (Unaudited)(a) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2016(a) | 2015(a) | 2014(a) | 2013(a) | 2012(a) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.80 | $ | 30.48 | $ | 30.60 | $ | 35.22 | $ | 36.30 | $ | 43.38 | $ | 22.83 | $ | 30.57 | $ | 30.69 | $ | 35.31 | $ | 36.39 | $ | 43.47 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.48 | 0.72 | 0.84 | 0.75 | 0.66 | 0.72 | 0.50 | 0.66 | 0.81 | 0.81 | 0.72 | 0.78 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 5.63 | (7.59 | ) | 0.00 | (c) | (4.56 | ) | (1.05 | ) | (1.95 | ) | 5.65 | (7.56 | ) | 0.06 | (4.62 | ) | (1.08 | ) | (1.98 | ) | |||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 6.11 | (6.87 | ) | 0.84 | (3.81 | ) | (0.39 | ) | (1.23 | ) | 6.15 | (6.90 | ) | 0.87 | (3.81 | ) | (0.36 | ) | (1.20 | ) | ||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.03 | ) | (0.81 | ) | (0.96 | ) | (0.81 | ) | (0.69 | ) | (0.63 | ) | (0.03 | ) | (0.84 | ) | (0.99 | ) | (0.81 | ) | (0.72 | ) | (0.66 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | — | — | — | — | — | (5.22 | ) | — | — | — | — | — | (5.22 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
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Total distributions | (0.03 | ) | (0.81 | ) | (0.96 | ) | (0.81 | ) | (0.69 | ) | (5.85 | ) | (0.03 | ) | (0.84 | ) | (0.99 | ) | (0.81 | ) | (0.72 | ) | (5.88 | ) | ||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 28.88 | $ | 22.80 | $ | 30.48 | $ | 30.60 | $ | 35.22 | $ | 36.30 | $ | 28.95 | $ | 22.83 | $ | 30.57 | $ | 30.69 | $ | 35.31 | $ | 36.39 | ||||||||||||||||||||||||||||||||||||
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Total Return(d) | 26.79 | %** | (22.76 | )% | 2.84 | % | (10.92 | )% | (1.00 | )% | (1.94 | )% | 26.95 | %** | (22.80 | )% | 2.91 | % | (10.87 | )% | (0.96 | )% | (1.89 | )% | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 520,355 | $ | 532,366 | $ | 1,000,299 | $ | 1,308,100 | $ | 2,004,694 | $ | 2,100,382 | $ | 240,351 | $ | 189,907 | $ | 283,712 | $ | 447,963 | $ | 970,102 | $ | 1,334,720 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets(f) | 1.09 | %* | 1.09 | % | 1.07 | % | 1.06 | %(e) | 1.06 | %(e) | 1.05 | %(e) | 1.04 | %* | 1.04 | % | 1.02 | % | 1.01 | %(e) | 1.01 | %(e) | 1.00 | %(e) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 3.62 | %* | 2.57 | % | 2.66 | % | 2.33 | % | 1.97 | % | 1.88 | % | 3.77 | %* | 2.45 | % | 2.55 | % | 2.45 | % | 2.12 | % | 2.00 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 32 | %(g)** | 104 | %(h) | 94 | % | 98 | % | 119 | % | 108 | % | 32 | %(g)** | 104 | %(h) | 94 | % | 98 | % | 119 | % | 108 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.03 | %* | 0.03 | % | 0.03 | % | 0.03 | % | 0.03 | % | 0.03 | % | 0.01 | %* | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.04 | (a) | $ | 0.10 | (a) | $ | 0.11 | (a) | $ | 0.10 | (a) | $ | 0.07 | (a) | $ | 0.06 | (a) | $ | 0.04 | (a) | $ | 0.10 | (a) | $ | 0.11 | (a) | $ | 0.09 | (a) | $ | 0.03 | (a) | $ | 0.04 | (a) |
(a) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(c) | Net realized and unrealized gain (loss) was less than $0.01 per share. |
(d) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(g) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 42% of the average value of its portfolio. |
(h) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 76% of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 33 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
EMERGING MARKETS FUND (continued)
Class IV Shares | Class V Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited)(a) | Year Ended February 28/29, | Six Months Ended August 31, 2016 (Unaudited)(a) | Year Ended February 28/29, | Period from February 11, 2005 (commencement of operations) through February 29, 2012(a) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2013(a) | 2012(a) | 2016(a) | 2015(a) | 2014(a) | 2013(a) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.65 | $ | 30.30 | $ | 30.45 | $ | 35.04 | $ | 36.09 | $ | 43.20 | $ | 22.59 | $ | 30.24 | $ | 30.39 | $ | 34.98 | $ | 36.03 | $ | 43.17 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.47 | 0.69 | 0.84 | 0.84 | 0.66 | 0.78 | 0.54 | 0.72 | 0.87 | 0.78 | 0.75 | 0.78 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 5.61 | (7.50 | ) | 0.00 | (c) | (4.59 | ) | (0.96 | ) | (2.01 | ) | 5.54 | (7.50 | ) | 0.00 | (c) | (4.50 | ) | (1.05 | ) | (2.01 | ) | ||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 6.08 | (6.81 | ) | 0.84 | (3.75 | ) | (0.30 | ) | (1.23 | ) | 6.08 | (6.78 | ) | 0.87 | (3.72 | ) | (0.30 | ) | (1.23 | ) | ||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.03 | ) | (0.84 | ) | (0.99 | ) | (0.84 | ) | (0.75 | ) | (0.66 | ) | (0.04 | ) | (0.87 | ) | (1.02 | ) | (0.87 | ) | (0.75 | ) | (0.69 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | — | — | — | — | — | (5.22 | ) | — | — | — | — | — | (5.22 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
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Total distributions | (0.03 | ) | (0.84 | ) | (0.99 | ) | (0.84 | ) | (0.75 | ) | (5.88 | ) | (0.04 | ) | (0.87 | ) | (1.02 | ) | (0.87 | ) | (0.75 | ) | (5.91 | ) | ||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 28.70 | $ | 22.65 | $ | 30.30 | $ | 30.45 | $ | 35.04 | $ | 36.09 | $ | 28.63 | $ | 22.59 | $ | 30.24 | $ | 30.39 | $ | 34.98 | $ | 36.03 | ||||||||||||||||||||||||||||||||||||
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Total Return(d) | 26.87 | %** | (22.69 | )% | 2.88 | % | (10.81 | )% | (0.81 | )% | (1.90 | )% | 26.92 | %** | (22.67 | )% | 2.93 | % | (10.74 | )% | (0.78 | )% | (1.92 | )% | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 258,634 | $ | 268,085 | $ | 837,963 | $ | 748,429 | $ | 1,481,411 | $ | 1,816,285 | $ | 412,350 | $ | 269,570 | $ | 170,125 | $ | 406,384 | $ | 677,796 | $ | 662,263 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets(f) | 0.99 | %* | 0.99 | % | 0.97 | % | 0.96 | %(e) | 0.96 | %(e) | 0.95 | %(e) | 0.94 | %* | 0.94 | % | 0.92 | % | 0.91 | %(e) | 0.91 | %(e) | 0.90 | %(e) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 3.58 | %* | 2.55 | % | 2.64 | % | 2.57 | % | 1.99 | % | 2.00 | % | 4.06 | %* | 2.69 | % | 2.77 | % | 2.39 | % | 2.25 | % | 2.03 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 32 | %(g)** | 104 | %(h) | 94 | % | 98 | % | 119 | % | 108 | % | 32 | %(g)** | 104 | %(h) | 94 | % | 98 | % | 119 | % | 108 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/ or waived by GMO to average daily net assets: | 0.01 | %* | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.04 | %* | 0.04 | % | 0.04 | % | 0.04 | % | 0.04 | % | 0.04 | % | ||||||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.04 | (a) | $ | 0.10 | (a) | $ | 0.11 | (a) | $ | 0.10 | (a) | $ | 0.07 | (a) | $ | 0.05 | (a) | $ | 0.04 | (a) | $ | 0.10 | (a) | $ | 0.10 | (a) | $ | 0.10 | (a) | $ | 0.01 | (a) | $ | 0.01 | (a) |
(a) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(c) | Net realized and unrealized gain (loss) was less than $0.01 per share. |
(d) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(g) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 42% of the average value of its portfolio. |
(h) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 76% of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
34 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
EMERGING MARKETS FUND (continued)
Class VI Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited)(a) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2013(a) | 2012(a) | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.62 | $ | 30.30 | $ | 30.45 | $ | 35.04 | $ | 36.12 | $ | 43.23 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.50 | 0.69 | 0.90 | 0.78 | 0.72 | 0.81 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 5.62 | (7.50 | ) | (0.03 | )(c) | (4.47 | ) | (1.02 | ) | (2.01 | ) | |||||||||||||||||||
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| |||||||||||||||||||
Total from investment operations | 6.12 | (6.81 | ) | 0.87 | (3.69 | ) | (0.30 | ) | (1.20 | ) | ||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.04 | ) | (0.87 | ) | (1.02 | ) | (0.90 | ) | (0.78 | ) | (0.69 | ) | ||||||||||||||||||
From net realized gains | — | — | — | — | — | (5.22 | ) | |||||||||||||||||||||||
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Total distributions | (0.04 | ) | (0.87 | ) | (1.02 | ) | (0.90 | ) | (0.78 | ) | (5.91 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 28.70 | $ | 22.62 | $ | 30.30 | $ | 30.45 | $ | 35.04 | $ | 36.12 | ||||||||||||||||||
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| |||||||||||||||||||
Total Return(d) | 27.07 | %** | (22.71 | )% | 2.96 | % | (10.69 | )% | (0.82 | )% | (1.81 | )% | ||||||||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 3,755,303 | $ | 3,661,271 | $ | 5,194,557 | $ | 5,220,293 | $ | 5,673,002 | $ | 5,082,437 | ||||||||||||||||||
Net expenses to average daily net assets(f) | 0.91 | %* | 0.91 | % | 0.89 | % | 0.88 | %(e) | 0.88 | %(e) | 0.87 | %(e) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 3.81 | %* | 2.61 | % | 2.79 | % | 2.43 | % | 2.12 | % | 2.11 | % | ||||||||||||||||||
Portfolio turnover rate | 32 | %(g)** | 104 | %(h) | 94 | % | 98 | % | 119 | % | 108 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04 | %* | 0.04 | % | 0.04 | % | 0.04 | % | 0.04 | % | 0.04 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.04 | (a) | $ | 0.09 | (a) | $ | 0.11 | (a) | $ | 0.10 | (a) | $ | 0.07 | (a) | $ | 0.07 | (a) |
(a) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(c) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. |
(d) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds, (Note 5). |
(g) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 42% of the average value of its portfolio. |
(h) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 76% of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 35 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
TAIWAN FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.97 | $ | 22.52 | $ | 21.30 | $ | 20.43 | $ | 21.60 | $ | 23.85 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.58 | 0.56 | 0.46 | 0.17 | 0.34 | 0.73 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 2.31 | (4.70 | ) | 1.38 | 0.90 | (0.87 | )(b) | (1.04 | ) | |||||||||||||||||||||
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Total from investment operations | 2.89 | (4.14 | ) | 1.84 | 1.07 | (0.53 | ) | (0.31 | ) | |||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.08 | ) | (0.48 | ) | (0.51 | ) | (0.20 | ) | (0.23 | ) | (1.09 | ) | ||||||||||||||||||
From net realized gains | — | (0.93 | ) | (0.11 | ) | — | (0.41 | ) | (0.85 | ) | ||||||||||||||||||||
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Total distributions | (0.08 | ) | (1.41 | ) | (0.62 | ) | (0.20 | ) | (0.64 | ) | (1.94 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 19.78 | $ | 16.97 | $ | 22.52 | $ | 21.30 | $ | 20.43 | $ | 21.60 | ||||||||||||||||||
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Total Return(c) | 17.09 | %** | (19.02 | )% | 8.75 | % | 5.26 | % | (2.25 | )% | 0.15 | % | ||||||||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 113,378 | $ | 91,548 | $ | 117,745 | $ | 151,393 | $ | 56,283 | $ | 74,971 | ||||||||||||||||||
Net expenses to average daily net assets(d) | 1.32 | %* | 1.33 | % | 1.27 | % | 1.35 | %(e) | 1.38 | %(e) | 1.36 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 6.22 | %* | 2.88 | % | 2.01 | % | 0.82 | % | 1.71 | % | 3.16 | % | ||||||||||||||||||
Portfolio turnover rate | 55 | %(f)** | 90 | %(g) | 134 | % | 201 | % | 156 | % | 105 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | — | — | — | — | 0.00 | %(h) | — | |||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.04 | $ | 0.03 | $ | 0.06 | $ | 0.03 | $ | 0.04 | $ | 0.08 |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. |
(c) | The total return would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 61% of the average value of its portfolio. |
(g) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 77% of the average value of its portfolio. |
(h) | Ratio is less than 0.01%. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
36 | See accompanying notes to the financial statements. |
GMO Trust Funds
August 31, 2016 (Unaudited)
1. | Organization |
Each of Emerging Countries Fund, Emerging Domestic Opportunities Fund, Emerging Markets Fund, and Taiwan Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).
The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO.
The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):
Fund Name | Benchmark | Investment Objective | ||
Emerging Countries Fund | S&P/IFCI Composite Index | Total return in excess of benchmark | ||
Emerging Domestic Opportunities Fund | Not Applicable | Total Return | ||
Emerging Markets Fund | S&P/IFCI Composite Index | Total return in excess of benchmark | ||
Taiwan Fund | MSCI Taiwan Index | Total return in excess of benchmark |
Taiwan Fund currently limits subscriptions.
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
Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2016, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.
The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets which close prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds that were valued using fair value inputs obtained from that independent pricing service as of August 31, 2016. These securities listed on foreign exchanges (including the
37
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) in the table below.
“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available by the time that a Fund calculates its net asset value on any business day, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.
In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.
As discussed above, certain of the Funds and underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or fair valued using inputs obtained from an independent pricing service. The table below presents securities and/or derivatives on a net basis, based on market values or unrealized appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of August 31, 2016 is as follows:
Securities and derivatives
Fund Name | Fair valued using methods determined in good faith by or at the direction of the Trustees | Fair valued using inputs obtained from an independent pricing service (Net) | ||||||
Emerging Countries Fund | <1% | 81% | ||||||
Emerging Domestic Opportunities Fund | — | 80% | ||||||
Emerging Markets Fund | <1% | 90% | ||||||
Taiwan Fund | <1% | 90% |
U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.
U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the table below). At August 31, 2016, there were no direct material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure. The three levels are defined as follows:
Level 1 – Valuations based on quoted prices for identical securities in active markets.
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).
Level 2 – Valuations determined using other significant direct or indirect observable inputs.
The types of assets and liabilities categorized in Level 2 generally include cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.
38
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Level 3 – Valuations based primarily on inputs that are unobservable and significant.
The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; certain equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.
The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2016:
The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Emerging Countries Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Brazil | $ | 114,810 | $ | 226,089 | $ | — | $ | 340,899 | ||||||||
Chile | 35,651 | 2,947 | — | 38,598 | ||||||||||||
China | 830,645 | 4,024,345 | — | 4,854,990 | ||||||||||||
Czech Republic | — | 169,282 | — | 169,282 | ||||||||||||
Egypt | — | 46,439 | — | 46,439 | ||||||||||||
Greece | — | 179,744 | — | 179,744 | ||||||||||||
India | 45,981 | 3,040,160 | — | 3,086,141 | ||||||||||||
Indonesia | — | 179,822 | — | 179,822 | ||||||||||||
Malaysia | — | 65,485 | — | 65,485 | ||||||||||||
Mexico | 352,333 | — | — | 352,333 | ||||||||||||
Philippines | — | 118,068 | — | 118,068 | ||||||||||||
Poland | — | 7,157 | — | 7,157 | ||||||||||||
Qatar | — | 28,975 | — | 28,975 | ||||||||||||
Russia | 564,481 | 1,678,318 | — | 2,242,799 | ||||||||||||
South Africa | — | 169,072 | 11 | 169,083 | ||||||||||||
South Korea | — | 3,527,218 | — | 3,527,218 | ||||||||||||
Switzerland | 20,524 | — | — | 20,524 | ||||||||||||
Taiwan | 404,820 | 4,726,750 | 0 | § | 5,131,570 | |||||||||||
Thailand | — | 296,814 | — | 296,814 | ||||||||||||
Turkey | 19,090 | 503,953 | — | 523,043 | ||||||||||||
United Kingdom | — | 38,932 | — | 38,932 | ||||||||||||
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| |||||||||
TOTAL COMMON STOCKS | 2,388,335 | 19,029,570 | 11 | 21,417,916 | ||||||||||||
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Preferred Stocks | ||||||||||||||||
Brazil | 97,547 | 368,662 | — | 466,209 | ||||||||||||
Russia | — | 428,188 | — | 428,188 | ||||||||||||
South Korea | — | 598,547 | — | 598,547 | ||||||||||||
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|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 97,547 | 1,395,397 | — | 1,492,944 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | ||||||||||||||||
Thailand | — | 161,678 | — | 161,678 | ||||||||||||
United States | 1,602,352 | — | — | 1,602,352 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENT FUNDS | 1,602,352 | 161,678 | — | 1,764,030 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
Thailand | 406 | — | — | 406 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | 406 | — | — | 406 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
39
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Emerging Countries Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Mutual Funds | ||||||||||||||||
United States | $ | 265,993 | $ | — | $ | — | $ | 265,993 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 265,993 | — | — | 265,993 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 29,381 | — | — | 29,381 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 4,384,014 | 20,586,645 | 11 | 24,970,670 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 4,384,014 | $ | 20,586,645 | $ | 11 | $ | 24,970,670 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Emerging Domestic Opportunities Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Brazil | $ | — | $ | 59,613,617 | $ | — | $ | 59,613,617 | ||||||||
Chile | 6,700,624 | — | — | 6,700,624 | ||||||||||||
China | 71,581,545 | 300,051,931 | — | 371,633,476 | ||||||||||||
India | — | 574,394,694 | — | 574,394,694 | ||||||||||||
Indonesia | — | 90,525,085 | — | 90,525,085 | ||||||||||||
Malaysia | — | 19,038,505 | — | 19,038,505 | ||||||||||||
Mexico | 68,681,488 | — | — | 68,681,488 | ||||||||||||
Philippines | — | 138,106,918 | — | 138,106,918 | ||||||||||||
Qatar | — | 25,868,859 | — | 25,868,859 | ||||||||||||
Russia | — | 56,862,683 | — | 56,862,683 | ||||||||||||
South Africa | — | 3,089,046 | — | 3,089,046 | ||||||||||||
Taiwan | — | 67,919,559 | — | 67,919,559 | ||||||||||||
Thailand | — | 151,366,722 | — | 151,366,722 | ||||||||||||
Turkey | — | 15,006,516 | — | 15,006,516 | ||||||||||||
United Kingdom | — | 54,100,256 | — | 54,100,256 | ||||||||||||
Vietnam | — | 49,906,312 | — | 49,906,312 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 146,963,657 | 1,605,850,703 | — | 1,752,814,360 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | — | 34,016,699 | — | 34,016,699 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 34,016,699 | — | 34,016,699 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | ||||||||||||||||
Brazil | 34,230,624 | — | — | 34,230,624 | ||||||||||||
China | 82,980,885 | 16,369,718 | — | 99,350,603 | ||||||||||||
Mexico | 20,839,063 | — | — | 20,839,063 | ||||||||||||
Thailand | — | 82,087,062 | — | 82,087,062 | ||||||||||||
United States | 36,873,821 | — | — | 36,873,821 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENT FUNDS | 174,924,393 | 98,456,780 | — | 273,381,173 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
China | — | 8,082,250 | — | 8,082,250 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | — | 8,082,250 | — | 8,082,250 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 22,058,883 | — | — | 22,058,883 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 22,058,883 | — | — | 22,058,883 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Fully Funded Total Return Swaps | — | 36,263,474 | — | 36,263,474 | ||||||||||||
Short-Term Investments | 28,837,621 | — | — | 28,837,621 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 372,784,554 | 1,782,669,906 | — | 2,155,454,460 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
40
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Emerging Domestic Opportunities Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | 148,648 | $ | — | $ | 148,648 | ||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | — | 412,522 | — | 412,522 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 372,784,554 | $ | 1,783,231,076 | $ | — | $ | 2,156,015,630 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (417,915 | ) | $ | — | $ | (417,915 | ) | ||||||
Futures Contracts | ||||||||||||||||
Equity Risk | — | (2,025,439 | ) | — | (2,025,439 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | — | (645,978 | ) | — | (645,978 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (3,089,332 | ) | $ | — | $ | (3,089,332 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Emerging Markets Fund |
| |||||||||||||||
Asset Valuation Inputs |
| |||||||||||||||
Common Stocks | ||||||||||||||||
Brazil | $ | — | $ | 212,742,073 | $ | — | $ | 212,742,073 | ||||||||
Chile | 10,485,132 | 3,847,719 | — | 14,332,851 | ||||||||||||
China | 119,514,778 | 879,322,489 | — | 998,837,267 | ||||||||||||
Czech Republic | — | 4,918,488 | — | 4,918,488 | ||||||||||||
Egypt | — | 13,355,602 | — | 13,355,602 | ||||||||||||
Greece | 396,682 | 40,380,584 | — | 40,777,266 | ||||||||||||
India | — | 663,353,025 | 34,257,554 | 697,610,579 | ||||||||||||
Indonesia | — | 27,943,616 | 39,683 | 27,983,299 | ||||||||||||
Malaysia | — | 5,903,627 | — | 5,903,627 | ||||||||||||
Mexico | 82,842,267 | — | — | 82,842,267 | ||||||||||||
Philippines | — | 36,625,641 | — | 36,625,641 | ||||||||||||
Poland | — | 15,343,551 | — | 15,343,551 | ||||||||||||
Qatar | — | 9,223,353 | — | 9,223,353 | ||||||||||||
Russia | 129,440,835 | 306,942,857 | — | 436,383,692 | ||||||||||||
South Africa | — | 78,409,897 | 637 | 78,410,534 | ||||||||||||
South Korea | — | 759,444,174 | — | 759,444,174 | ||||||||||||
Sri Lanka | — | 1,501,033 | — | 1,501,033 | ||||||||||||
Taiwan | 29,276,010 | 1,099,083,714 | — | 1,128,359,724 | ||||||||||||
Thailand | — | 68,303,376 | — | 68,303,376 | ||||||||||||
Turkey | 1,769,560 | 115,571,918 | — | 117,341,478 | ||||||||||||
United Arab Emirates | — | 16,217,800 | — | 16,217,800 | ||||||||||||
United Kingdom | 1,276,300 | 8,186,862 | — | 9,463,162 | ||||||||||||
Vietnam | — | 10,476,545 | — | 10,476,545 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 375,001,564 | 4,377,097,944 | 34,297,874 | 4,786,397,382 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
41
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Emerging Markets Fund (continued) |
| |||||||||||||||
Asset Valuation Inputs (continued) |
| |||||||||||||||
Preferred Stocks | ||||||||||||||||
Brazil | $ | 15,391,527 | $ | 46,077,094 | $ | — | $ | 61,468,621 | ||||||||
Russia | 61,105 | 110,767,788 | — | 110,828,893 | ||||||||||||
South Korea | — | 107,966,860 | — | 107,966,860 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 15,452,632 | 264,811,742 | — | 280,264,374 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | ||||||||||||||||
India | — | — | 5,900,069 | 5,900,069 | ||||||||||||
Poland | — | — | 141,979 | 141,979 | ||||||||||||
Russia | — | — | 2,332,002 | 2,332,002 | ||||||||||||
Thailand | — | 17,416,454 | — | 17,416,454 | ||||||||||||
United States | 3,019,241 | — | — | 3,019,241 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENT FUNDS | 3,019,241 | 17,416,454 | 8,374,050 | 28,809,745 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
Brazil | 149,347 | — | — | 149,347 | ||||||||||||
Thailand | 221,330 | — | — | 221,330 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | 370,677 | — | — | 370,677 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 74,603,230 | — | — | 74,603,230 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 74,603,230 | — | — | 74,603,230 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 9,719,466 | — | — | 9,719,466 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 478,166,810 | 4,659,326,140 | 42,671,924 | 5,180,164,874 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | — | 5,725 | — | 5,725 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 478,166,810 | $ | 4,659,331,865 | $ | 42,671,924 | $ | 5,180,170,599 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | $ | — | $ | (221,654 | ) | $ | — | $ | (221,654 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (221,654 | ) | $ | — | $ | (221,654 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Taiwan Fund |
| |||||||||||||||
Asset Valuation Inputs |
| |||||||||||||||
Common Stocks | ||||||||||||||||
Taiwan | $ | 4,259,859 | $ | 102,225,668 | $ | — | $ | 106,485,527 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 4,259,859 | 102,225,668 | — | 106,485,527 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | ||||||||||||||||
Taiwan | 4,967,742 | — | — | 4,967,742 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENT FUNDS | 4,967,742 | — | — | 4,967,742 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 1,228,253 | — | — | 1,228,253 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 1,228,253 | — | — | 1,228,253 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 158,035 | — | — | 158,035 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 10,613,889 | 102,225,668 | — | 112,839,557 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 10,613,889 | $ | 102,225,668 | $ | — | $ | 112,839,557 | ||||||||
|
|
|
|
|
|
|
| |||||||||
42
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
^ | The tables above are based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value. Excludes purchased and options fully funded total return swaps, if any, which are included in investments. |
§ | Represents the interest in securities that were determined to have a value of zero at August 31, 2016. |
The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs of the underlying funds, please refer to the underlying funds’ Notes to Financial Statements.
For all Funds for the period ended August 31, 2016, there were no significant transfers between Level 1 and Level 2.
The following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:
Balances as of February 29, 2016 | Purchases | Sales | Accrued Discounts/ Premiums | Total Realized Gain/ (Loss) | Change in Unrealized Appreciation (Depreciation) | Transfer into Level 3† | Transfer out of Level 3† | Balances as of August 31, 2016 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2016 | |||||||||||||||||||||||||||||||
Emerging Countries Fund | ||||||||||||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
South Africa | $ | 10 | $ | — | $ | — | $ | — | $ | — | $ | 1 | $ | — | $ | — | $ | 11 | $ | 1 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 10 | $ | — | $ | — | $ | — | $ | — | $ | 1 | $ | — | $ | — | $ | 11 | $ | 1 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Emerging Markets Fund | ||||||||||||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
India | $ | 27,968,473 | $ | — | $ | — | $ | — | $ | — | $ | 6,289,081 | $ | — | $ | — | $ | 34,257,554 | $ | 6,289,081 | ||||||||||||||||||||
Indonesia | 39,366 | — | — | — | — | 317 | — | — | 39,683 | 317 | ||||||||||||||||||||||||||||||
South Africa | 590 | — | — | — | — | 47 | — | — | 637 | 47 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Common Stocks | $ | 28,008,429 | $ | — | $ | — | $ | — | $ | — | $ | 6,289,445 | $ | — | $ | — | $ | 34,297,874 | $ | 6,289,445 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Investment Funds | ||||||||||||||||||||||||||||||||||||||||
China | $ | 369,539 | $ | — | $ | (381,966 | ) | $ | — | $ | (37,678 | ) | $ | 50,105 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
India | 7,348,647 | — | — | — | — | (1,448,578 | ) | — | — | 5,900,069 | (1,448,578 | ) | ||||||||||||||||||||||||||||
Poland | 185,987 | — | — | — | — | (44,008 | ) | — | — | 141,979 | (44,008 | ) | ||||||||||||||||||||||||||||
Russia | 3,053,171 | — | — | — | — | (721,169 | ) | — | — | 2,332,002 | (721,169 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investment Funds | $ | 10,957,344 | $ | — | $ | (381,966 | ) | $ | — | $ | (37,678 | ) | $ | (2,163,650 | ) | $ | — | $ | — | $ | 8,374,050 | $ | (2,213,755 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 38,965,773 | $ | — | $ | (381,966 | ) | $ | — | $ | (37,678 | ) | $ | 4,125,795 | $ | — | $ | — | $ | 42,671,924 | $ | 4,075,690 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
† | The Funds account for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period. |
43
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
The net aggregate direct and indirect exposure to investments in securities and/or derivatives using Level 3 inputs and presented on a net basis, which will tend to understate the Funds’ exposure, (based on each Fund’s net assets) as of August 31, 2016 were as follows:
Fund Name | Level 3 securities and derivatives | |||
Emerging Countries Fund | <1% | |||
Emerging Domestic Opportunities Fund | — | |||
Emerging Markets Fund | <1% | |||
Taiwan Fund | — |
Cash
Cash and foreign currency, if any, on the Statements of Assets and Liabilities consist of cash balances held with the custodian.
Due to/from broker
Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include mark-to-market amounts related to foreign currency or cash owed.
Foreign currency translation
The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm Eastern time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated on the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.
Taxes and distributions
Each Fund has elected to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.
The policy of each Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each Fund may, from time to time at their discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically, all distributions are reinvested in additional shares of each Fund at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.
Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2016, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.
Certain Funds have previously filed for and/or may file for additional tax refunds with respect to certain taxes withheld by member states of the European Union. Generally, the amount of such refunds that a Fund reasonably determines are collectible and free from significant contingencies are reflected in a Fund’s net asset value and are reflected as Dividends from unaffiliated issuers in the Statements of Operations. In certain circumstances, a Fund’s receipt of such refunds may cause the Fund and/or its shareholders to be liable for U.S. federal income taxes and interest charges.
Foreign taxes paid by each Fund may be treated, to the extent permissible by the Code (and other applicable U.S. federal tax guidance) and if that Fund so elects, as if paid by U.S. shareholders of that Fund.
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Income and capital gain distributions 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.
Distributions in excess of a Fund’s tax basis earnings and profits, if significant, are reported in the Funds’ financial statements as a return of capital.
As of February 29, 2016, certain Funds elected to defer to March 1, 2016 late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:
Fund Name | Late-Year Ordinary Loss Deferral ($) | Post- October Capital Losses ($) | ||||||
Emerging Countries Fund | (75,441) | (1,855,182) | ||||||
Emerging Domestic Opportunities Fund | — | (143,689,864) | ||||||
Emerging Markets Fund | (20,216,128) | (457,668,763) | ||||||
Taiwan Fund | (60,118) | (4,835,338) |
As of February 29, 2016, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses and losses realized subsequent to February 29, 2016, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:
Short-Term ($) | Long-Term ($) | |||||||
Fund Name | No Expiration Date | No Expiration Date | ||||||
Emerging Countries Fund | (6,037,575) | (15,509,912) | ||||||
Emerging Domestic Opportunities Fund | (68,958,572) | — | ||||||
Emerging Markets Fund | (301,002,474) | (847,847,943) | ||||||
Taiwan Fund | (1,362,771) | — |
As of August 31, 2016, the approximate cost for U.S. federal income tax purposes and the aggregate investment-level gross and net unrealized appreciation (depreciation) in the value of investments were as follows:
Fund Name | Aggregate Cost ($) | Gross Unrealized Appreciation ($) | Gross Unrealized (Depreciation) ($) | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||
Emerging Countries Fund | 25,813,589 | 2,762,320 | (3,605,239) | (842,919 | ) | |||||||||||
Emerging Domestic Opportunities Fund | 2,006,453,697 | 218,146,916 | (69,146,153) | 149,000,763 | ||||||||||||
Emerging Markets Fund | 5,032,073,316 | 558,215,905 | (410,124,347) | 148,091,558 | ||||||||||||
Taiwan Fund | 115,173,096 | 4,354,822 | (6,688,361) | (2,333,539 | ) |
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
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August 31, 2016 (Unaudited)
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 interpretations of tax laws (e.g., guidance 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. GMO 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. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from the underlying 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. Principal on inflation-indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. 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 and class allocations
Most of the expenses of the Trust are directly attributable to an individual Fund. Generally, common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).
Brown Brothers Harriman & Co. (“BBH”) serves as the Funds’ custodian and fund accounting agent. State Street Bank and Trust Company (“State Street”) serves as the Funds’ transfer agent. Prior to December 31, 2013, State Street’s transfer agent fees may have been reduced by an earnings allowance calculated on the average daily cash balances each Fund maintained in a State Street transfer agent account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2014, any cash balances maintained at the transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.
Purchases and redemptions of Fund shares
Purchase premiums and redemption fees (if applicable) are paid to and retained by a 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 Fund (directly or indirectly through investments in underlying funds) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and/or redemption fee or modify an existing fee at any time.
Purchase premiums are not charged on reinvestments of dividends or other distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions). If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion. GMO also may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.
GMO will waive or reduce the purchase premium when securities are used to purchase a Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with its acquisition of those securities. GMO may waive or reduce redemption fees when a Fund uses portfolio securities to redeem its shares. However, when a substantial portion of a Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.
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Purchase premiums or redemption fees generally will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with the Trust to transmit orders for purchases and redemptions the day after those orders are received.
As of August 31, 2016, the premium on cash purchases and the fee on cash redemptions were as follows:
Emerging Countries Fund | Emerging Domestic Opportunities Fund | Emerging Markets Fund | Taiwan Fund | |||||
Purchase Premium | — | 0.80% | 0.80% | 0.15% | ||||
Redemption Fee | — | 0.80% | 0.80% | 0.45% |
Other matters
Emerging Markets Fund (“EMF”)
Indian regulators alleged in 2002 that EMF violated some conditions under which it was granted permission to operate in India and have restricted some of EMF’s locally held assets pending resolution of the dispute. Although these locally held assets remain the property of EMF, a portion of the assets are not permitted to be withdrawn from EMF’s local custodial account located in India. The amount of restricted assets is small relative to the size of EMF, representing approximately 0.08% of the Fund’s total net assets as of August 31, 2016. The effect of this claim on the value of the restricted assets, and all matters relating to EMF’s response to these allegations, are subject to the supervision and control of GMO Trust’s Board of Trustees. Any costs in respect of this matter will be borne by EMF.
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August 31, 2016 (Unaudited)
3. | Investment and other risks |
The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.
Emerging Countries Fund | Emerging Domestic Opportunities Fund | Emerging Markets Fund | Taiwan Fund | |||||
Counterparty Risk | X | X | X | X | ||||
Credit Risk | X | |||||||
Currency Risk | X | X | X | X | ||||
Derivatives and Short Sales Risk | X | X | X | X | ||||
Focused Investment Risk | X | X | X | X | ||||
Fund of Funds Risk | X | X | X | X | ||||
Illiquidity Risk | X | X | X | X | ||||
Large Shareholder Risk | X | X | X | X | ||||
Leveraging Risk | X | X | X | X | ||||
Management and Operational Risk | X | X | X | X | ||||
Market Disruption and Geopolitical Risk | X | X | X | X | ||||
Market Risk – Equities | X | X | X | X | ||||
Market Risk – Fixed Income Investments | X | |||||||
Non-Diversified Funds | X | X | X | X | ||||
Non-U.S. Investment Risk | X | X | X | X | ||||
Small Company Risk | X | X | X | X |
Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.
Each Fund that invests in other GMO Funds or other investment companies (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through Underlying Funds.
An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.
• 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. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws or other requirements. The Funds are not subject to
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any limits on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (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 (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be promptly posted as required. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty if the transaction is primarily designed to reduce the Fund’s overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty).
The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds.
Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations and realization on collateral, could be stayed or eliminated under new special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, with respect to counterparties who are subject to such proceedings in the European Union, the liabilities of such counterparties to the Funds could be reduced, eliminated, or converted to equity in such counterparties (sometimes referred to as a “bail in”).
• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer’s, guarantor’s, or obligor’s failure to meet its payment obligations, or in anticipation of such failure, or the downgrade of the credit rating of the investment. 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, a government or government entity, whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the term of a fixed income 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 or quasi-sovereign debt involve the risk that the governmental entities responsible for repayment may be unable or unwilling to pay interest and repay principal when due. A
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governmental entity’s ability and willingness to pay interest and repay principal in a timely manner may be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer may default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging countries.
In many cases, the credit risk of a fixed income security is reflected in its credit ratings, and a Fund holding such a security is subject to the risk that the investment’s rating will be downgraded.
Securities issued by the U.S. government historically have presented minimal credit risk. However, events in 2011 led to a downgrade in the long-term credit rating of U.S. bonds by several major rating agencies and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest on U.S. government securities would decrease, the value of a Fund’s investments and increase the volatility of a Fund’s portfolio.
The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives and Short Sales Risk” for more information regarding risks associated with the use of credit default swaps.
The extent to which the market price of a fixed income security changes in response to a credit event depends on many factors and can be difficult to predict. For example, even though the effective duration of a long-term floating rate security is very short, an adverse credit event or a change in the perceived creditworthiness of its issuer could cause its market price to decline much more than its effective duration would suggest.
Credit risk is particularly pronounced for below investment grade 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. Investments in distressed or defaulted or other low quality debt securities generally are considered speculative and may involve substantial risks not normally associated with investments in higher quality securities, including adverse business, financial or economic conditions that lead to payment defaults and insolvency proceedings on the part of their issuers. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments, and a Fund may incur additional expenses to seek recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt security proves incorrect, a Fund may lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of default of sovereign debt, the Funds may be unable to pursue legal action against the issuer.
• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position, will decline in value relative to the currency in which the Fund is denominated. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk.”
Many of the Funds use derivatives to take currency positions that are under- or over-weighted (in some cases significantly) relative to the currency exposure of their portfolios and their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money on both its holdings of a particular currency and the derivative. See also “Non-U.S. Investment Risk.”
Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars, in which case GMO may decide to purchase U.S. dollars in a parallel market with an unfavorable exchange rate. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.
Derivative transactions in foreign currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk”).
• DERIVATIVES AND SHORT SALES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices. Derivatives involve the risk that their value may not change as expected relative to changes in the value of the assets, rates, or indices they are designed to track. Derivatives include futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other OTC contracts. Derivatives may relate to securities, commodities, currencies, currency exchange rates, interest rates, inflation rates, and indices.
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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 still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments GMO believes are owed to it under OTC derivatives contracts, or those payments may be delayed or made only after the Fund has incurred the cost of litigation.
A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s fundamental fair (or intrinsic) value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs a greater risk of not being able to recover what it is owed if the counterparty defaults. Even when derivatives are required by contract to be collateralized, a Fund typically will not receive the collateral for one or more days after the collateral is required to be posted.
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, illiquidity risk, currency risk, credit risk, and counterparty risk. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values a Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, 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, GMO may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures, potentially resulting in losses for the Fund.
Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk”) and counterparty risk (see “Counterparty Risk”). These derivatives are also subject to documentation risk, which is the risk that ambiguities, inconsistencies or errors in the documentation relating to a derivative transaction may lead to a dispute with the counterparty or unintended investment results. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk.”
A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders. In addition, the tax treatment of a Fund’s use of derivatives may be unclear because there is little case or other law interpreting the terms of most derivatives or determining their tax treatment. In addition, the Securities and Exchange Commission recently proposed a rule under the 1940 Act regulating the use by registered investment companies of derivatives and many related instruments. That rule, if adopted as proposed, would, among other things, restrict a Fund’s ability to engage in derivatives transactions or so increase the cost of derivatives transactions that a Fund would be unable to implement its investment strategy.
Derivatives Regulation. The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) are implementing similar requirements, which will affect a Fund when it enters into a derivatives transaction with a counterparty organized in that country or otherwise subject to that country’s derivatives regulations. Because these requirements are new and evolving (and some of the rules are not yet final), their ultimate impact remains unclear.
Transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can
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participate directly in the clearing house, the Funds hold cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Funds make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.
In some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements, for example, by requiring that funds provide more margin for their cleared derivatives positions. Also, as a general matter, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivatives position or an increase in margin requirements above those required at the outset of a transaction. Clearing houses also have broad rights to increase margin requirements for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member because margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member (see “Counterparty Risk”). Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member. Also, such documentation typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks may be more pronounced for cleared derivatives due to their more limited liquidity and market history.
Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility.
If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), the Fund may be unable to execute all components of the package on the swap execution facility. In that case, the Fund would need to trade some components of the package on the swap execution facility and other components in another manner, which could subject the Fund to the risk that some components would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.
The U.S. government and the European Union have adopted mandatory minimum margin requirements for bilateral derivatives. GMO expects that the Funds’ transactions will become subject to variation margin requirements under such rules in 2017 and initial margin requirements under such rules in 2020. Such requirements could increase the amount of margin a Fund needs to provide in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.
These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund or otherwise limiting liquidity. The implementation of the clearing requirement has increased the costs of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they have historically posted for bilateral derivatives. The costs of derivatives transactions are expected to increase further as clearing members raise their fees to cover the costs of additional capital requirements and other regulatory changes applicable to the clearing members, which will take effect when rules imposing mandatory minimum margin requirements on bilateral swaps, as described above, become effective. These rules and regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.
Options. The Funds are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration;
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changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights any time before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk because the holder may only exercise the option on its expiration date.) If a Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.
National securities exchanges generally have established limits on the maximum number of options an investor or group of investors acting in concert may write. A Fund, GMO, and other funds advised by GMO will likely constitute such a group. When applicable, these limits restrict a Fund’s ability to purchase or write options on a particular security.
Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (i.e., options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While a Fund has greater flexibility to tailor an OTC option, OTC options generally expose a Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary market risks.
Special tax rules apply to a Fund’s transactions in options, which could increase the taxes payable by shareholders. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s distributions to consist of amounts taxable to shareholders subject to U.S. income tax at ordinary income tax rates. See the Funds’ Prospectus and Statement of Additional Information for more information.
Short Investment Exposure. Some Funds may sell securities or currencies short as part of their investment programs in an attempt to increase their returns or for hedging purposes. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange a security or currency to replace the borrowed security or currency when the security or currency sold short has appreciated in value, thus resulting in a loss to the Fund. Purchasing a security or currency to close out a short position can itself cause the price of the security or currency to rise further, thereby exacerbating any losses. A Fund that sells short a security or currency it does not own also may have to pay borrowing fees to a broker and may be required to pay the broker any dividends or interest it receives on a borrowed security.
A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying investment, pool of investments, index or currency. Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.
• FOCUSED INVESTMENT RISK. Funds with investments that are focused in particular countries, regions, sectors, industries or issuers that are subject to the same or similar risk factors and funds with investments whose prices are closely correlated are subject to greater overall risk than funds with investments that are more diversified or whose prices are not as closely correlated.
A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of particular securities than Funds investing in the securities of a larger number of issuers. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments.
Similarly, Funds having a significant portion of their assets in investments tied economically (or related) to a particular geographic region, country (e.g., Taiwan or Japan), or market (e.g., emerging markets), or to sectors within a region, country, or market (e.g., Russian oil) have more exposure to regional and country economic risks than funds making investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in the value of the currency of one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk”.
• FUND OF FUNDS RISK. Funds that invest in Underlying Funds (including underlying GMO Funds) are exposed to the risk that the Underlying Funds will not perform as expected. The Funds are also indirectly exposed to all of the risks to which the Underlying Funds are exposed.
Because a Fund bears the fees and expenses of an Underlying Fund in which it invests, absent reimbursement, the Fund will incur additional expenses when investing in an Underlying Fund. In addition, total Fund expenses will increase if a Fund makes a new or further investment in Underlying Funds with higher fees or expenses than the average fees and expenses of the Underlying Funds then in the Fund’s portfolio.
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In addition, to the extent a Fund invests in shares of underlying GMO Funds, it is indirectly subject to Large Shareholder Risk because those underlying GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk.”
Investments in ETFs involve the risk that an ETF’s performance may not track the performance of the index the ETF is designed to track. 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 in “Derivatives and Short Sales Risk.”
A Fund’s investments in one or more Underlying Funds could affect the amount, timing and character of its distributions and could cause the Fund to recognize taxable income in excess of the cash generated by such investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.
• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size, or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed, defaulted or other low quality debt securities, emerging country debt securities, securities of companies with smaller market capitalizations or smaller total float adjusted market capitalizations, or emerging market securities, it is subject to increased illiquidity risk. These types of investments can be difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. Illiquidity risk also may be greater in times of financial stress. For example, Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”) have experienced periods of greatly reduced liquidity during disruptions in fixed income markets, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when market prices decline generally.
A Fund may buy securities that are less liquid than those in its benchmark.
A Fund’s ability to use options as part of its investment program depends on the liquidity of the options market. In addition, that market may not be liquid when a Fund seeks to close out an option position. Also, the hours of trading for options on an exchange may not conform to the hours during which the securities held by a Fund are traded. To the extent that the options markets close before the markets for the underlying securities, significant price and rate movements can take place in the markets for underlying securities that are not immediately reflected in the options markets. If a Fund receives a redemption request and is unable to close out an option it has sold, the Fund may temporarily be leveraged in relation to its assets.
• LARGE SHAREHOLDER RISK. To the extent a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities, potentially at disadvantageous prices, to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may purchase or sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) 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, have adverse tax consequences for Fund shareholders. Additionally, redemptions by a large shareholder also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any) and may limit or prevent a Fund’s use of tax equalization. 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.
• 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 portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.
A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.
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• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.
For many Funds, GMO often uses quantitative models as part of its investment process. GMO’s models are not necessarily predictive of future market events and use simplifying assumptions that can limit their effectiveness. In addition, the data on which the models are based is subject to limitations (e.g. inaccuracies, staleness) that could adversely affect a Fund’s performance. The Funds also run the risk that GMO’s assessment of an investment (including a company’s fundamental fair (or intrinsic) value) may be wrong.
There can be no assurance that key GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’s ability to achieve the Funds’ investment objectives.
The Funds also are subject to the risk of loss as a result of other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors could prevent a Fund from benefiting from potential investment gains or avoiding losses. In addition, a service provider may be unable to provide a net asset value (“NAV”) for a Fund or share class on a timely basis. GMO is not contractually liable to the Funds for losses associated with operational risk absent its willful misfeasance, bad faith, gross negligence, or reckless disregard of its contractual obligations to provide services to the Funds. Other Fund service providers also have contractual limitations on their liability to the Funds for losses resulting from their errors.
The Funds and their service providers (including GMO) are susceptible to cyber-attacks and technological malfunctions that may have effects that are similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and causing operational disruption. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release or misappropriation of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, reimbursement or other compensation costs, and additional compliance costs. While GMO has established business continuity plans and systems designed to prevent cyber-attacks, such plans and systems are subject to inherent limitations. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could result in material adverse consequences for such issuers, and may cause a Fund’s investment in such securities to lose value.
• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or other economic inputs (e.g., the marked decline in oil prices that began in late 2014) may have material and unexpected effects on both global securities markets and individual countries, regions, sectors, companies, or industries, which could significantly reduce the value of a Fund’s investments. Terrorism in the United States and around the world has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation (e.g., the manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trading practices, which could disrupt the orderly functioning of markets or reduce the value of investments traded in them, including investments of the Funds. Instances of fraud and other deceptive practices committed by senior management of certain companies in which a Fund invests may undermine GMO’s due diligence efforts with respect to such companies, and if such fraud is discovered, negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively impact a Fund’s investment program. Financial fraud also may impact the rates or indices underlying a Fund’s investments.
While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce the value of the Funds’ investments. Similarly, political events within the United States at times have resulted, and may in the future result, in a shutdown of government services, which could adversely 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. Uncertainty surrounding the sovereign debt of several European Union countries, as well as the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the United States and around the world. If a country changes its currency or leaves the European Union or if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also could adversely affect 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,
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inflation, investor sentiment, and other factors affecting the value of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis. To the extent a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.
• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market value of their holdings will decline. Market risks include:
Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as poor performance by the company’s management or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may result from general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. Equities generally have significant price volatility, and their market prices can decline in a rapid or unpredictable manner. If a Fund purchases an equity for less than its fundamental fair (or intrinsic) value as determined by GMO, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment of the equity’s fundamental fair (or intrinsic) value. The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.
Fixed Income Investments — Funds that invest in fixed income securities (including bonds, notes, bills, synthetic debt instruments, and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to 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 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, and the market price of the Fund’s investment may 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 below investment grade securities are subject to greater sensitivity to interest rate and economic changes than higher rated bonds and can be more difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. See “Credit Risk” and “Illiquidity Risk” for more information about these risks.
A risk run by each Fund with 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. In addition, in managing some Funds, GMO may seek to evaluate potential investments in part by considering the volatility of interest rates. The value of a Fund’s investments may be significantly reduced if GMO’s assessment proves incorrect.
The extent to which 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, are subject to additional interest rate risk.
The market price of inflation-indexed bonds (including TIPS) typically declines during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increases during periods of declining real interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities.
Generally, when interest rates on short term U.S. Treasury obligations equal or approach zero, a Fund that invests a substantial portion of its assets in U.S. Treasury obligations, such as U.S. Treasury Fund, will have a negative return unless GMO waives or reduces its management fees.
Fixed income securities denominated in foreign currencies also are subject to currency risk. See “Currency Risk”.
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In response to government intervention, economic or market developments, or other factors, fixed income markets may experience periods of high volatility, reduced liquidity or both. During those periods, a Fund could have unusually high shareholder redemptions, requiring it to generate cash by selling securities when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value during such periods. In recent periods, central banks and governmental financial regulators, including the U.S. Federal Reserve, have maintained historically low interest rates by purchasing bonds. Steps to curtail or “taper” such activities and other actions by central banks or regulators (such as intervention in foreign currency markets or currency controls) could have a material adverse effect on the Funds.
• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of relatively few issuers and/or foreign currencies. As a result, they may be subject to greater credit, market and other risks, and poor performance by a single issuer may have a greater impact on their performance, than if they were “diversified.”
All of the Funds are not diversified investment companies within the meaning of the 1940 Act.
• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. Non-U.S. securities markets often include securities of only a small number of companies in a limited number of industries. As a result, the market prices of many of the securities traded on those markets fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to as much regulation as U.S. issuers, and the reporting, accounting, custody, and auditing standards to which those issuers are subject differ, in some cases significantly, from U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes and custodial costs. In addition, some jurisdictions may limit a Fund’s ability to profit from short-term trading (as defined in the relevant jurisdiction).
A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. A Fund’s decision to seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if eligible. The outcome of a Fund’s efforts to obtain a refund may be unpredictable. Accordingly, a refund is not typically reflected in a Fund’s net asset value until it is received or until the Fund determines there is a high likelihood the refund will be received. For information on possible special Singapore tax consequences of an investment in the Funds, see the Funds’ Prospectus and Statement of Additional Information for more information.
Also, investing in non-U.S. securities exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, other government involvement in the economy or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises), adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.
In some non-U.S. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States with respect to brokers, custodians, clearing banks or other clearing agents, escrow agents, and issuers. Fluctuations in foreign currency exchange rates also affect the market value of a Fund’s non-U.S. investments (see
“Currency Risk”).
The Funds need a license to invest directly in many non-U.S. securities markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license to invest in a particular market is terminated or suspended, to obtain exposure to that market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of GMO’s clients may preclude other clients, including a Fund, from obtaining a similar license, and this could limit the Fund’s investment opportunities. In addition, the activities of a GMO client could cause the suspension or revocation of a license and thereby limit the Funds’ investment opportunities.
Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of assets of issuers of securities in a Fund’s portfolio; greater governmental involvement in the economy or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises); 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
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August 31, 2016 (Unaudited)
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 enforcing legal judgments; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries may be predominantly based on only a few industries or dependent on revenues from particular commodities.
• SMALL COMPANY RISK. Companies with smaller market capitalizations may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, may have inexperienced managers or may depend on a smaller group of key employees as compared to larger companies. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for securities of these companies.
Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and are taken in attempting to respond to adverse market, economic, political or other conditions. The Funds normally do not take temporary defensive positions. To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.
4. | Derivative financial instruments |
Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices that are used, to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.
The Funds may use derivatives to gain long investment exposure to securities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.
The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). A Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.
The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and GMO believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting its investment exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which its equities are traded.
The Funds may use derivatives to effect transactions intended as substitutes for securities lending.
The Funds may have investment exposures in excess of their net assets (i.e., they may be leveraged). A Fund’s foreign currency exposure may differ significantly from the currencies in which its equities are traded.
Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.
The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investment and other risks” above for further information.
58
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
For Funds that held derivatives during the period ended August 31, 2016, the following table shows how the Fund used these derivatives (marked with an X):
Type of Derivative and Objective for Use | Emerging Countries Fund | Emerging Fund | Emerging Markets Fund | |||||||||
Forward currency contracts | ||||||||||||
Hedge foreign currency exposure in the underlying funds’ investments relative to the U.S. dollar | X | |||||||||||
Futures contracts | ||||||||||||
Adjust exposure to certain securities markets | X | |||||||||||
Options (Written) | ||||||||||||
Substitute for direct equity investment | X | X | X | |||||||||
Income enhancement on securities held in the portfolio | X | |||||||||||
Swap contracts | ||||||||||||
Substitute for direct equity investment | X | X | ||||||||||
Achieve returns comparable to holding and lending a direct equity position | X | X | ||||||||||
Rights and/or warrants | ||||||||||||
Received as a result of corporate actions | X | X | X |
Forward currency contracts
The Funds may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market price of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked-to-market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was settled.
These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Futures contracts
The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Options
The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the
59
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
currency in which the option is settled. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium, if any, which is disclosed in the Schedule of Investments, is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
The Funds may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
When an option contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statements of Operations.
For the period ended August 31, 2016, investment activity in options contracts written by the Funds was as follows:
Puts | Calls | |||||||||||||||||||||||
Principal Amount of Contracts | Number of Contracts | Premiums | Principal Amount of Contracts | Number of Contracts | Premiums | |||||||||||||||||||
Emerging Countries Fund | ||||||||||||||||||||||||
Outstanding, beginning of period | — | — | $ | — | — | 8 | $ | 3,828 | ||||||||||||||||
Options written | — | — | — | — | 22 | 17,772 | ||||||||||||||||||
Options bought back | — | — | — | — | (30 | ) | (21,600 | ) | ||||||||||||||||
Options expired | — | — | — | — | — | — | ||||||||||||||||||
Options exercised | — | — | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Outstanding, end of period | — | — | $ | — | — | — | $ | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Emerging Domestic Opportunities Fund | ||||||||||||||||||||||||
Outstanding, beginning of period | — | — | $ | — | — | 9,647 | $ | 4,967,831 | ||||||||||||||||
Options written | — | — | — | — | 16,582 | 12,785,715 | ||||||||||||||||||
Options bought back | — | — | — | — | (26,229 | ) | (17,753,546 | ) | ||||||||||||||||
Options expired | — | — | — | — | — | — | ||||||||||||||||||
Options exercised | — | — | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Outstanding, end of period | — | — | $ | — | — | — | $ | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Emerging Markets Fund | ||||||||||||||||||||||||
Outstanding, beginning of period | — | — | $ | — | — | 1,732 | $ | 989,969 | ||||||||||||||||
Options written | — | — | — | — | 5,695 | 4,257,657 | ||||||||||||||||||
Options bought back | — | — | — | — | (7,427 | ) | (5,247,626 | ) | ||||||||||||||||
Options expired | — | — | — | — | — | — | ||||||||||||||||||
Options exercised | — | — | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Outstanding, end of period | — | — | $ | — | — | — | $ | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
60
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the market of the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Funds value OTC options using industry models and inputs provided by primary pricing sources.
Swap contracts
The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.
Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses in the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations.
Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.
Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.
In a credit default swap contract, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.
For credit default swap contracts on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap contracts on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.
Variance swap contracts involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.
Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.
61
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Rights and warrants
The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.
The following is a summary of the valuations of derivative instruments categorized by risk exposure.
The risks referenced in the tables below are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.
The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2016 and the Statements of Operations for the period ended August 31, 2016^:
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
Emerging Countries Fund |
| |||||||||||||||||||||||
Asset Derivatives |
| |||||||||||||||||||||||
Investments, at value (rights and/or warrants) | $ | — | $ | 406 | $ | — | $ | — | $ | — | $ | 406 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 406 | $ | — | $ | — | $ | — | $ | 406 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | 406 | $ | — | $ | — | $ | — | $ | 406 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Written Options | $ | — | $ | (415 | ) | $ | — | $ | — | $ | — | $ | (415 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (415 | ) | $ | — | $ | — | $ | — | $ | (415 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on |
| |||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 854 | $ | — | $ | — | $ | — | $ | 854 | ||||||||||||
Written Options | — | (1,260 | ) | — | — | — | (1,260 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (406 | ) | $ | — | $ | — | $ | — | $ | (406 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
62
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
Emerging Domestic Opportunities Fund |
| |||||||||||||||||||||||
Asset Derivatives |
| |||||||||||||||||||||||
Investments, at value (rights and/or warrants, fully funded total return swaps) | $ | — | $ | 44,345,724 | $ | — | $ | — | $ | — | $ | 44,345,724 | ||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | 148,648 | — | — | 148,648 | ||||||||||||||||||
Unrealized Appreciation on Futures Contracts¤ | — | 412,522 | — | — | — | 412,522 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 44,758,246 | $ | 148,648 | $ | — | $ | — | $ | 44,906,894 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | 8,082,250 | $ | — | $ | — | $ | — | $ | 8,082,250 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | 36,675,996 | $ | 148,648 | $ | — | $ | — | $ | 36,824,644 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives |
| |||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | (417,915 | ) | $ | — | $ | — | $ | (417,915 | ) | ||||||||||
Unrealized Depreciation on Futures Contracts¤ | — | (2,025,439 | ) | — | — | — | (2,025,439 | ) | ||||||||||||||||
Unrealized Depreciation on Swap Contracts¤ | — | (645,978 | ) | — | — | — | (645,978 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (2,671,417 | ) | $ | (417,915 | ) | $ | — | $ | — | $ | (3,089,332 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | (2,671,417 | ) | $ | (417,915 | ) | $ | — | $ | — | $ | (3,089,332 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on |
| |||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | (7,467,329 | ) | $ | — | $ | — | $ | (7,467,329 | ) | ||||||||||
Futures Contracts | — | (4,936,801 | ) | — | — | — | (4,936,801 | ) | ||||||||||||||||
Written Options | — | 220,020 | — | — | — | 220,020 | ||||||||||||||||||
Swap Contracts | — | (2,487,402 | ) | — | — | — | (2,487,402 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (7,204,183 | ) | $ | (7,467,329 | ) | $ | — | $ | — | $ | (14,671,512 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on |
| |||||||||||||||||||||||
Investments (rights and/or warrants, fully funded total return swaps) | $ | — | $ | 1,193,817 | $ | — | $ | — | $ | — | $ | 1,193,817 | ||||||||||||
Forward Currency Contracts | — | — | 1,762,081 | — | — | 1,762,081 | ||||||||||||||||||
Futures Contracts | — | (4,387,207 | ) | — | — | — | (4,387,207 | ) | ||||||||||||||||
Written Options | — | (1,716,561 | ) | — | — | — | (1,716,561 | ) | ||||||||||||||||
Swap Contracts | — | (779,700 | ) | — | — | — | (779,700 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (5,689,651 | ) | $ | 1,762,081 | $ | — | $ | — | $ | (3,927,570 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Emerging Markets Fund |
| |||||||||||||||||||||||
Asset Derivatives |
| |||||||||||||||||||||||
Investments, at value (rights and/or warrants) | $ | — | $ | 370,677 | $ | — | $ | — | $ | — | $ | 370,677 | ||||||||||||
Unrealized Appreciation on Swap Contracts¤ | — | 5,725 | — | — | — | 5,725 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 376,402 | $ | — | $ | — | $ | — | $ | 376,402 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | 370,677 | $ | — | $ | — | $ | — | $ | 370,677 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | 5,725 | $ | — | $ | — | $ | — | $ | 5,725 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives |
| |||||||||||||||||||||||
Unrealized Depreciation on Swap Contracts¤ | $ | — | $ | (221,654 | ) | $ | — | $ | — | $ | — | $ | (221,654 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (221,654 | ) | $ | — | $ | — | $ | — | $ | (221,654 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total subject to Master Agreements | $ | — | $ | (221,654 | ) | $ | — | $ | — | $ | — | $ | (221,654 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
63
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
Emerging Markets Fund (continued) |
| |||||||||||||||||||||||
Net Realized Gain (Loss) on |
| |||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 29,339 | $ | — | $ | — | $ | — | $ | 29,339 | ||||||||||||
Written Options | — | 53,298 | — | — | — | 53,298 | ||||||||||||||||||
Swap Contracts | — | (3,709,306 | ) | — | — | — | (3,709,306 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (3,626,669 | ) | $ | — | $ | — | $ | — | $ | (3,626,669 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on |
| |||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | 125,003 | $ | — | $ | — | $ | — | $ | 125,003 | ||||||||||||
Written Options | — | (363,121 | ) | — | — | — | (363,121 | ) | ||||||||||||||||
Swap Contracts | — | (381,375 | ) | — | — | — | (381,375 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (619,493 | ) | $ | — | $ | — | $ | — | $ | (619,493 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
^ | Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables. |
¤ | The table includes cumulative appreciation/depreciation of futures and cleared swap contracts, if any, as reported in the Schedule of Investments. Period end variation margin on open futures and cleared swap contracts, if any, is reported within the Statements of Assets and Liabilities. |
Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of some OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and netting provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset. Additionally, the netting and close out provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Because the Funds do not presently have a legally enforceable right of set-off, these amounts have not been offset in the Statements of Assets and Liabilities, but have been presented separately in the table below. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. An estimate of the aggregate net payment, if any, that may need to be made by a Fund in such an event is represented by the unrealized amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.
For financial reporting purposes, on the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2016, if any.
The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2016:
Emerging Domestic Opportunities Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Barclays Bank plc | $ | 148,648 | $ | — | $ | 148,648 | $ | — | ||||||||
Goldman Sachs International | 36,263,474 | (35,617,496 | ) | (645,978 | ) | — | * | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 36,412,122 | $ | (35,617,496 | ) | $ | (497,330 | ) | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
64
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Barclays Bank plc | $ | 417,915 | $ | (269,267 | ) | $ | (148,648 | ) | $ | — | * | |||||
Goldman Sachs International | 645,978 | — | 645,978 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,063,893 | $ | (269,267 | ) | $ | 497,330 | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Emerging Markets Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Morgan Stanley & Co. International PLC | $ | 5,725 | $ | — | $ | 5,725 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 5,725 | $ | — | $ | 5,725 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Morgan Stanley & Co. International PLC | $ | 221,654 | $ | — | $ | (5,725 | ) | $ | 215,929 | * | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 221,654 | $ | — | $ | (5,725 | ) | $ | 215,929 | |||||||
|
|
|
|
|
|
|
| |||||||||
* | The actual collateral received and/or pledged is more than the amount shown. |
The average derivative activity of notional amounts (forward currency contracts, futures contracts, swap contracts), market values (rights and/or warrants), and number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2016:
Fund Name | Forward Currency Contracts ($) | Futures Contracts ($) | Swap Contracts ($) | Options (Contracts) | Rights and/or Warrants ($) | |||||||||||||||
Emerging Countries Fund | — | — | — | 2 | 350 | |||||||||||||||
Emerging Domestic Opportunities Fund | 1,074,043,147 | 150,864,463 | 24,857,341 | * | 3,138 | 5,435,773 | ||||||||||||||
Emerging Markets Fund | — | — | 27,509,231 | 705 | 248,778 |
* | Includes fully funded total return swap average derivative activity for the period ended August 31, 2016. |
65
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
5. | Fees and other transactions with affiliates |
GMO receives a management fee for the services it provides to each Fund. Management fees are paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:
Emerging Countries Fund | Emerging Domestic Opportunities Fund | Emerging Markets Fund | Taiwan Fund | |||||
Management Fee | 0.65% | 0.75% | 0.75% | 0.81% |
In addition, each class of shares of the Funds pays GMO directly or indirectly a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Shareholderservice fees are paid monthly equal to the percentage of each applicable Fund’s average daily net assets set forth in the table below:
Fund Name | Class II | Class III | Class IV | Class V | Class VI | |||||||||||||||
Emerging Countries Fund | 0.15% | |||||||||||||||||||
Emerging Domestic Opportunities Fund | 0.22% | 0.15% | 0.105% | 0.085% | 0.055% | |||||||||||||||
Emerging Markets Fund | 0.22% | 0.15% | 0.105% | 0.085% | 0.055% | |||||||||||||||
Taiwan Fund | 0.15% |
For each Fund, other than Emerging Countries Fund and Taiwan Fund, GMO has contractually agreed to reimburse each Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO. For Emerging Countries Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.35% of the Fund’s average daily net assets.
Subject to the exclusions noted below, “Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses; provided, however, that in the case of Emerging Markets Fund, “Specified Operating Expenses” does not include custody expenses, and in the case of Emerging Domestic Opportunities Fund, “Specified Operating Expenses” only includes custody expenses to the
extent that they exceed 0.10% of the Fund’s average daily net assets.
For each Fund that pays GMO a management fee, GMO has contractually agreed to waive or reduce that fee, but not below zero, to the extent necessary to offset the management fees paid to GMO that are directly or indirectly borne by the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
For each Fund that charges a shareholder service fee, GMO has contractually agreed to waive or reduce the shareholder service fee charged to holders of each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly borne by the class of shares of the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
66
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
In addition, for Emerging Markets Fund only, GMO has contractually agreed to waive the shareholder service fees charged to holders of each class of shares of the Fund to the extent necessary to prevent the shareholder service fees borne by each class of shares of the Fund from exceeding the percentage of the class’s average daily net assets as follows: 0.20% for Class II shares, 0.15% for Class III shares, 0.10% of Class IV shares, 0.05% for Class V shares, and 0.02% for Class VI shares.
These contractual waivers and reimbursements will continue through at least June 30, 2017 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination, or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplemental support agreement.
The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 2016 is shown in the table below and is included in the Statements of Operations.
Fund Name | Independent Trustees and their legal counsel ($) | Agent unaffiliated with GMO ($) | ||||||
Emerging Countries Fund | 221 | 2 | ||||||
Emerging Domestic Opportunities Fund | 15,409 | 1,564 | ||||||
Emerging Markets Fund | 38,840 | 4,140 | ||||||
Taiwan Fund | 644 | 5 |
Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2016 these indirect fees and expenses expressed as an annualized percentage of each Fund’s average daily net assets were as follows:
Fund Name | Indirect Net Expenses (excluding shareholder service fees) | Indirect Shareholder Service Fees | Total Indirect Expenses | |||||||||
Emerging Countries Fund | <0.001% | 0.000% | <0.001% | |||||||||
Emerging Domestic Opportunities Fund | <0.001% | 0.000% | <0.001% | |||||||||
Emerging Markets Fund | <0.001% | 0.000% | <0.001% | |||||||||
Taiwan Fund | <0.001% | 0.000% | <0.001% |
The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to insure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the period ended August 31, 2016, the Funds did not engage in these transactions.
6. | Purchases and sales of securities |
Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, for the period ended August 31, 2016 are noted in the table below:
Purchases ($) | Purchases ($) | Sales ($) | Sales ($) | |||||||||||||
Fund Name | U.S. Government Securities | Investments (Non-U.S. Government Securities) | U.S. Government Securities | Investments (Non-U.S. Government Securities) | ||||||||||||
Emerging Countries Fund | $ — | $10,096,499 | $ — | $10,461,443 | ||||||||||||
Emerging Domestic Opportunities Fund | — | 3,326,027,901 | — | 3,388,178,831 | ||||||||||||
Emerging Markets Fund | — | 2,138,567,162 | — | 2,973,123,579 | ||||||||||||
Taiwan Fund | — | 64,861,839 | — | 55,029,089 |
67
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
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, GMO 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 August 31, 2016 |
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 | Percentage of the shares of the Fund held by senior management of GMO and GMO Trust officers | Percentage of the Fund’s shares held by accounts for which GMO has investment discretion | ||||||||||||
Emerging Countries Fund | 4 | † | 90.62% | 0.36% | 42.46% | |||||||||||
Emerging Domestic Opportunities Fund | 3 | 34.68% | 0.30% | — | ||||||||||||
Emerging Markets Fund | 1 | ‡ | 12.13% | 0.76% | 69.61% | |||||||||||
Taiwan Fund | 1 | 100.00% | — | 100.00% |
* | With the exception of Taiwan Fund, each Fund’s outstanding shares were owned by more than 10 shareholders as of August 31, 2016. |
† | One of the shareholders is another fund managed by GMO. |
‡ | One of the shareholders is another fund of the Trust. |
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 the Funds’ shares were as follows:
Six Months Ended | Year Ended February 29, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Emerging Countries Fund | ||||||||||||||||
Class III:# | ||||||||||||||||
Shares sold | 5,684 | $ | 132,380 | 60,670 | $ | 1,588,367 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 47,190 | 1,028,733 | ||||||||||||
Shares repurchased | (53,572 | ) | (1,230,799 | ) | (480,602 | ) | (11,342,704 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (47,888 | ) | $ | (1,098,419 | ) | (372,742 | ) | $ | (8,725,604 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Emerging Domestic Opportunities Fund | ||||||||||||||||
Class II: | ||||||||||||||||
Shares sold | 4,099,503 | $ | 85,171,754 | 4,409,709 | $ | 89,770,584 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 122,402 | 2,674,485 | 453,085 | 9,906,715 | ||||||||||||
Shares repurchased | (4,163,193 | ) | (88,762,082 | ) | (6,874,283 | ) | (146,177,784 | ) | ||||||||
Purchase premiums | — | 53,434 | — | 155,838 | ||||||||||||
Redemption fees | — | 227,450 | — | 908,135 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 58,712 | $ | (634,959 | ) | (2,011,489 | ) | $ | (45,436,512 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
68
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Emerging Domestic Opportunities Fund (continued) | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 2,728,117 | $ | 58,277,437 | 1,908,289 | $ | 37,860,727 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 31,266 | 683,158 | 237,017 | 5,170,993 | ||||||||||||
Shares repurchased | (8,287,396 | ) | (177,308,763 | ) | (3,630,072 | ) | (74,411,104 | ) | ||||||||
Purchase premiums | — | 17,874 | — | 74,988 | ||||||||||||
Redemption fees | — | 65,886 | — | 400,139 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (5,528,013 | ) | $ | (118,264,408 | ) | (1,484,766 | ) | $ | (30,904,257 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | 6,037,293 | $ | 129,016,957 | 11,894,352 | $ | 234,416,398 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 223,336 | 4,879,900 | 492,028 | 10,726,065 | ||||||||||||
Shares repurchased | (12,878,800 | ) | (297,033,568 | ) | (2,501,335 | ) | (61,757,952 | ) | ||||||||
Purchase premiums | — | 81,708 | — | 147,157 | ||||||||||||
Redemption fees | — | 331,791 | — | 839,235 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (6,618,171 | ) | $ | (162,723,212 | ) | 9,885,045 | $ | 184,370,903 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class V: | ||||||||||||||||
Shares sold | 11,691,697 | $ | 271,831,955 | 16,616,084 | $ | 334,463,505 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 69,186 | 1,511,012 | 247,046 | 5,385,781 | ||||||||||||
Shares repurchased | (2,550,388 | ) | (52,305,875 | ) | (10,847,820 | ) | (209,616,398 | ) | ||||||||
Purchase premiums | — | 26,278 | — | 71,574 | ||||||||||||
Redemption fees | — | 112,405 | — | 400,746 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 9,210,495 | $ | 221,175,775 | 6,015,310 | $ | 130,705,208 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI: | ||||||||||||||||
Shares sold | 3,996 | $ | 82,352 | 14,135 | $ | 305,152 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,433 | 31,445 | 344,877 | 7,625,003 | ||||||||||||
Shares repurchased | (2,726 | ) | (59,024 | ) | (25,054,992 | ) | (504,824,963 | ) | ||||||||
Purchase premiums | — | 889 | — | 105,213 | ||||||||||||
Redemption fees | — | 3,705 | — | 543,532 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,703 | $ | 59,367 | (24,695,980 | ) | $ | (496,246,063 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Emerging Markets Fund | ||||||||||||||||
Class II:# | ||||||||||||||||
Shares sold | 114,511 | $ | 3,003,077 | 8,660,478 | $ | 208,458,170 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 14,337 | 379,793 | 430,140 | 10,635,137 | ||||||||||||
Shares repurchased | (5,475,520 | ) | (140,875,898 | ) | (18,541,178 | ) | (524,304,133 | ) | ||||||||
Purchase premiums | — | 6,575 | — | 829,154 | ||||||||||||
Redemption fees | — | 772,000 | — | 1,524,728 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (5,346,672 | ) | $ | (136,714,453 | ) | (9,450,560 | ) | $ | (302,856,944 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class III:# | ||||||||||||||||
Shares sold | — | $ | — | 2,521,243 | $ | 77,353,683 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 5,123 | 136,004 | 207,018 | 5,115,848 | ||||||||||||
Shares repurchased | (18,732 | ) | (530,062 | ) | (3,695,910 | ) | (84,504,654 | ) | ||||||||
Purchase premiums | — | 2,996 | — | 330,713 | ||||||||||||
Redemption fees | — | 330,266 | — | 737,169 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (13,609 | ) | $ | (60,796 | ) | (967,649 | ) | $ | (967,241 | ) | ||||||
|
|
|
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|
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| |||||||||
69
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Emerging Markets Fund (continued) | ||||||||||||||||
Class IV:# | ||||||||||||||||
Shares sold | 106,383 | $ | 3,000,000 | 4,020,625 | $ | 115,714,945 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 3,597 | 94,633 | 377,883 | 9,288,060 | ||||||||||||
Shares repurchased | (2,940,262 | ) | (77,300,220 | ) | (20,209,744 | ) | (554,530,737 | ) | ||||||||
Purchase premiums | — | 3,220 | — | 711,055 | ||||||||||||
Redemption fees | — | 400,507 | — | 1,329,488 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,830,282 | ) | $ | (73,801,860 | ) | (15,811,236 | ) | $ | (427,487,189 | ) | ||||||
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|
|
|
|
|
|
| |||||||||
Class V:# | ||||||||||||||||
Shares sold | 2,732,827 | $ | 71,344,104 | 7,056,847 | $ | 218,105,434 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 19,698 | 517,072 | 349,642 | 8,560,034 | ||||||||||||
Shares repurchased | (287,517 | ) | (7,753,880 | ) | (1,092,476 | ) | (26,908,734 | ) | ||||||||
Purchase premiums | — | 5,151 | — | 300,601 | ||||||||||||
Redemption fees | — | 526,365 | — | 729,841 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,465,008 | $ | 64,638,812 | 6,314,013 | $ | 200,787,176 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI:# | ||||||||||||||||
Shares sold | 591,279 | $ | 14,966,960 | 34,257,356 | $ | 929,371,388 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 203,946 | 5,365,816 | 5,625,667 | 138,033,181 | ||||||||||||
Shares repurchased | (31,724,085 | ) | (829,549,394 | ) | (49,515,650 | ) | (1,356,526,662 | ) | ||||||||
Purchase premium fees | — | 51,658 | — | 5,336,294 | ||||||||||||
Redemption fees | — | 5,742,573 | — | 10,776,931 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (30,928,860 | ) | $ | (803,422,387 | ) | (9,632,627 | ) | $ | (273,008,868 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Taiwan Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 1,967,931 | $ | 36,433,013 | 983,694 | $ | 21,651,474 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 21,240 | 386,985 | 386,535 | 7,427,731 | ||||||||||||
Shares repurchased | (1,652,382 | ) | (29,570,315 | ) | (1,202,843 | ) | (24,654,880 | ) | ||||||||
Purchase premiums | — | 54,732 | — | 32,526 | ||||||||||||
Redemption fees | — | 133,067 | — | 110,947 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 336,789 | $ | 7,437,482 | 167,386 | $ | 4,567,798 | ||||||||||
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|
|
|
|
|
|
| |||||||||
# | Shares were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
10. | Investments in affiliated companies and other funds of the Trust |
An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities. A summary of the Fund’s transactions involving companies that are or were affiliates during the period ended August 31, 2016 is set forth below:
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Value, end of period | |||||||||||||||
Emerging Domestic Opportunities Fund | ||||||||||||||||||||
CMI Ltd | $ | 5,234,567 | $ | — | $ | — | $ | — | $ | 3,231,994 | ||||||||||
Gayatri Projects Ltd | 17,467,627 | — | — | — | 21,395,454 | |||||||||||||||
TICON Industrial Growth Leasehold Property Fund | 15,379,869 | 1,794,433 | — | 562,716 | 18,911,707 | |||||||||||||||
iShares MSCI Philippines ETF* | — | 53,269,902 | 54,726,961 | 194,999 | — | # | ||||||||||||||
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|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 38,082,063 | $ | 55,064,335 | $ | 54,726,961 | $ | 757,715 | $ | 43,539,155 | ||||||||||
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|
|
|
|
|
|
|
| |||||||||||
70
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Value, end of period | |||||||||||||||
Emerging Markets Fund | ||||||||||||||||||||
Anilana Hotels & Properties Ltd | $ | 1,882,313 | $ | 340,023 | $ | — | $ | — | $ | 1,501,033 | ||||||||||
Gayatri Projects Ltd | 27,968,473 | — | — | — | 34,257,554 | |||||||||||||||
Kiri Industries Ltd | 1,878,798 | — | — | — | 7,496,385 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 31,729,584 | $ | 340,023 | $ | — | $ | — | $ | 43,254,972 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
* | Security not an affiliate at the beginning of the period. |
# | No longer an affiliate as of August 31, 2016. |
A summary of the Funds’ transactions in the shares of other funds of GMO Trust during the period ended August 31, 2016 is set forth below:
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income* | Distributions of Realized Gains* | Value, end of period | ||||||||||||||||||
Emerging Countries Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 5,506 | $ | 1,125,295 | $ | 865,000 | $ | 279 | $ | 16 | $ | 265,993 | ||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Emerging Domestic Opportunities Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 35,814,390 | $ | 436,054,270 | $ | 449,810,000 | $ | 53,745 | $ | 524 | $ | 22,058,883 | ||||||||||||
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|
|
|
|
|
|
|
|
| |||||||||||||
Emerging Markets Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 64,084,435 | $ | 51,620,389 | $ | 501,100,000 | $ | 117,772 | $ | 2,720 | $ | 74,603,230 | ||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Taiwan Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 20,834 | $ | 6,201,432 | $ | 4,995,000 | $ | 1,369 | $ | 38 | $ | 1,228,253 | ||||||||||||
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|
|
|
|
|
|
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|
|
|
| |||||||||||||
* | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2016 through August 31, 2016. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2017. |
71
GMO Trust Funds
Board Review of Investment Management Agreements
August 31, 2016 (Unaudited)
GMO Emerging Countries Fund
Approval of renewal of management agreement and approval of initial sub-advisory agreement for GMO Emerging Countries Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016, and approved a sub-advisory agreement among the Manager, GMO Singapore Pte. Limited (“GMO Singapore”), and the Trust, on behalf of the Fund, for an initial two-year term beginning on the date of the agreement’s execution. In approving the management agreement and sub-advisory agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement and the approval of the Fund’s initial sub-advisory agreement. In deciding whether to approve the management and sub-advisory agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. The Trustees also received before and at their June meeting materials provided by the Manager for purposes of considering the proposed sub-advisory agreement between the Manager, GMO Singapore and the Trust, on behalf of the Fund. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager. In addition, the Trustees reviewed the fees payable by the Manager to GMO Singapore under the Fund’s sub-advisory agreement and considered the level of service that GMO Singapore would provide the Fund. The Trustees considered that GMO Singapore’s sub-advisory fees would be paid by the Manager out of the Manager’s management fees, not directly by the Fund.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
72
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2016 (Unaudited)
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement and sub-advisory agreement, that the fees charged (or to be charged, in the case of the sub-advisory agreement) to the Fund under these agreements were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year and approved the Fund’s initial sub-advisory agreement for an initial period ending on the second anniversary of the agreement’s execution.
GMO Emerging Domestic Opportunities Fund
Approval of renewal of management agreement and sub-advisory agreement for GMO Emerging Domestic Opportunities Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, and the sub-advisory agreement among the Manager, GMO Singapore Pte. Limited (“GMO Singapore”), and the Trust, on behalf of the Fund, in each case for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement and sub-advisory agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement and sub-advisory agreement. In deciding whether to approve the management and sub-advisory agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its other pooled investment vehicles and/or separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and/or accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager. In addition, the Trustees reviewed the fees payable by the Manager to GMO Singapore under the Fund’s sub-advisory agreement and considered the level of service that GMO Singapore provided the Fund. The Trustees considered that GMO Singapore’s sub-advisory fees were paid by the Manager out of the Manager’s management fees, not directly by the Fund.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
73
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2016 (Unaudited)
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement and sub-advisory agreement, that the fees charged to the Fund under these agreements were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement and sub-advisory agreement for another year.
GMO Emerging Markets Fund
Approval of renewal of management agreement and approval of initial sub-advisory agreement for GMO Emerging Markets Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016, and approved a sub-advisory agreement among the Manager, GMO Singapore Pte. Limited (“GMO Singapore”), and the Trust, on behalf of the Fund, for an initial two-year term beginning on the date of the agreement’s execution. In approving the management agreement and sub-advisory agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement and the approval of the Fund’s initial sub-advisory agreement. In deciding whether to approve the management and sub-advisory agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. The Trustees also received before and at their June meeting materials provided by the Manager for purposes of considering the proposed sub-advisory agreement between the Manager, GMO Singapore and the Trust, on behalf of the Fund. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its other pooled investment vehicles and/or separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and/or accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager. In addition, the Trustees reviewed the fees payable by the Manager to
74
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2016 (Unaudited)
GMO Singapore under the Fund’s sub-advisory agreement and considered the level of service that GMO Singapore would provide the Fund. The Trustees considered that GMO Singapore’s sub-advisory fees would be paid by the Manager out of the Manager’s management fees, not directly by the Fund.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement and sub-advisory agreement, that the fees charged (or to be charged, in the case of the sub-advisory agreement) to the Fund under these agreements were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year and approved the Fund’s initial sub-advisory agreement for an initial period ending on the second anniversary of the agreement’s execution.
GMO Taiwan Fund
Approval of renewal of management agreement and approval of initial sub-advisory agreement for GMO Taiwan Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016, and approved a sub-advisory agreement among the Manager, GMO Singapore Pte. Limited (“GMO Singapore”), and the Trust, on behalf of the Fund, for an initial two-year term beginning on the date of the agreement’s execution. In approving the management agreement and sub-advisory agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement and the approval of the Fund’s initial sub-advisory agreement. In deciding whether to approve the management and sub-advisory agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. The Trustees also received before and at their June meeting materials provided by the Manager for purposes of considering the proposed sub-advisory agreement between the Manager, GMO Singapore and the Trust, on behalf of the Fund. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.
75
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2016 (Unaudited)
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager. In addition, the Trustees reviewed the fees payable by the Manager to GMO Singapore under the Fund’s sub-advisory agreement and considered the level of service that GMO Singapore would provide the Fund. The Trustees considered that GMO Singapore’s sub-advisory fees would be paid by the Manager out of the Manager’s management fees, not directly by the Fund.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement and sub-advisory agreement, that the fees charged (or to be charged, in the case of the sub-advisory agreement) to the Fund under these agreements were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year and approved the Fund’s initial sub-advisory agreement for an initial period ending on the second anniversary of the agreement’s execution.
76
GMO Trust Funds
(A Series of GMO Trust)
August 31, 2016 (Unaudited)
Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2016.
As a shareholder of the Funds, you may incur two types of costs: (1) transactions costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and /or indirect management fees, direct and/or indirect shareholder services fees, and distribution (12b-1) and/or administration fees for Funds with Class M 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, March 1, 2016 through August 31, 2016.
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 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 Funds 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 March 1, 2016 | Ending Account Value August 31, 2016 | Expenses Paid During the Period* | Beginning Account Value March 1, 2016 | Ending Account Value August 31, 2016 | Expenses Paid During the Period* | Annualized Expense Ratio | ||||||||||||||||||||||
Emerging Countries Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,268.40 | $7.09 | $1,000.00 | $1,018.95 | $6.31 | 1.24% | |||||||||||||||||||||
Emerging Domestic Opportunities Fund |
| |||||||||||||||||||||||||||
Class II | $1,000.00 | $1,202.40 | $5.88 | $1,000.00 | $1,019.86 | $5.40 | 1.06% | |||||||||||||||||||||
Class III | $1,000.00 | $1,203.30 | $5.50 | $1,000.00 | $1,020.21 | $5.04 | 0.99% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,203.50 | $5.28 | $1,000.00 | $1,020.42 | $4.84 | 0.95% | |||||||||||||||||||||
Class V | $1,000.00 | $1,203.60 | $5.17 | $1,000.00 | $1,020.52 | $4.74 | 0.93% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,204.00 | $5.00 | $1,000.00 | $1,020.67 | $4.58 | 0.90% | |||||||||||||||||||||
Emerging Markets Fund |
| |||||||||||||||||||||||||||
Class II | $1,000.00 | $1,267.90 | $6.23 | $1,000.00 | $1,019.71 | $5.55 | 1.09% | |||||||||||||||||||||
Class III | $1,000.00 | $1,269.50 | $5.95 | $1,000.00 | $1,019.96 | $5.30 | 1.04% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,268.70 | $5.66 | $1,000.00 | $1,020.21 | $5.04 | 0.99% | |||||||||||||||||||||
Class V | $1,000.00 | $1,269.20 | $5.38 | $1,000.00 | $1,020.47 | $4.79 | 0.94% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,270.70 | $5.21 | $1,000.00 | $1,020.62 | $4.63 | 0.91% | |||||||||||||||||||||
Taiwan Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,170.90 | $7.22 | $1,000.00 | $1,018.55 | $6.72 | 1.32% |
* | Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2016, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year. |
77
GMO Trust
Semiannual Report
August 31, 2016
Alpha Only Fund
Benchmark-Free Allocation Fund
Benchmark-Free Fund
Global Asset Allocation Fund
Global Developed Equity Allocation Fund
Global Equity Allocation Fund
Implementation Fund
International Developed Equity Allocation Fund
International Equity Allocation Fund
SGM Major Markets Fund
Special Opportunities Fund
Strategic Opportunities Allocation Fund
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 is available on GMO’s website at www.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. The Funds have a policy with respect to disclosure of portfolio holdings under which they may also make a complete schedule of portfolio holdings available on GMO’s website at www.gmo.com.
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 Trust, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.
An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus regarding specific principal risks for each Fund. General risks may include: market risk-equities, management and operational risk, market risk-asset backed securities, credit risk, non-U.S. investment risk, small company risk and derivatives risk.
The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.
1 | ||||
2 | ||||
15 | ||||
16 | ||||
17 | ||||
18 | ||||
31 | ||||
32 | ||||
33 | ||||
34 | ||||
35 | ||||
36 | ||||
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38 | ||||
58 | ||||
59 | ||||
60 | ||||
61 | ||||
62 | ||||
63 | ||||
65 | ||||
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86 | ||||
99 | ||||
152 | ||||
165 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 87.8 | % | ||
Short-Term Investments | 6.3 | |||
Mutual Funds | 4.4 | |||
Preferred Stocks | 0.9 | |||
Rights/Warrants | 0.0 | ^ | ||
Futures Contracts | (3.6 | ) | ||
Other | 4.2 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. The Fund’s investment program involves having both long and short investment exposures. The additional short exposures that the Fund has to futures contracts based on notional amounts are (83.3)% of net assets. |
^ | Rounds to 0.0% |
1
GMO Alpha Only Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 87.8% | ||||||||||
Australia — 1.0% | ||||||||||
4,176 | AGL Energy Ltd | 58,149 | ||||||||
430 | ASX Ltd | 16,508 | ||||||||
11,897 | AusNet Services | 15,363 | ||||||||
17,174 | Australia & New Zealand Banking Group Ltd | 346,509 | ||||||||
2,333 | Bank of Queensland Ltd | 18,472 | ||||||||
3,082 | Bendigo & Adelaide Bank Ltd | 25,390 | ||||||||
18,882 | BHP Billiton Ltd | 289,804 | ||||||||
1,945 | Coca Cola Amatil Ltd | 14,272 | ||||||||
5,991 | Dexus Property Group (REIT) | 43,702 | ||||||||
3,415 | GPT Group (The) (REIT) | 13,660 | ||||||||
2,243 | Harvey Norman Holdings Ltd | 9,054 | ||||||||
10,712 | Incitec Pivot Ltd | 22,898 | ||||||||
15,049 | Insurance Australia Group Ltd | 62,792 | ||||||||
2,221 | LendLease Group | 23,015 | ||||||||
1,264 | Macquarie Group Ltd | 76,517 | ||||||||
22,909 | Mirvac Group (REIT) | 39,872 | ||||||||
15,534 | National Australia Bank Ltd | 318,588 | ||||||||
2,291 | Orica Ltd | 25,369 | ||||||||
10,829 | Origin Energy Ltd | 42,657 | ||||||||
8,428 | QBE Insurance Group Ltd | 62,707 | ||||||||
2,625 | Rio Tinto Ltd | 93,907 | ||||||||
3,990 | Santos Ltd | 13,213 | ||||||||
33,062 | Scentre Group (REIT) | 123,344 | ||||||||
32,952 | South32 Ltd * | 47,481 | ||||||||
14,716 | Stockland (REIT) | 53,574 | ||||||||
7,963 | Suncorp Group Ltd | 75,976 | ||||||||
8,974 | Tatts Group Ltd | 25,664 | ||||||||
20,827 | Vicinity Centres (REIT) | 51,754 | ||||||||
19,640 | Westpac Banking Corp | 434,114 | ||||||||
4,590 | Woodside Petroleum Ltd | 98,335 | ||||||||
7,734 | Woolworths Ltd | 137,598 | ||||||||
|
| |||||||||
Total Australia | 2,680,258 | |||||||||
|
| |||||||||
Austria — 0.0% | ||||||||||
1,730 | Erste Group Bank AG * | 48,594 | ||||||||
912 | OMV AG | 25,555 | ||||||||
796 | Raiffeisen Bank International AG * | 11,327 | ||||||||
704 | voestalpine AG | 23,332 | ||||||||
|
| |||||||||
Total Austria | 108,808 | |||||||||
|
| |||||||||
Belgium — 0.1% | ||||||||||
1,246 | Ageas | 43,206 | ||||||||
499 | Groupe Bruxelles Lambert SA | 43,825 | ||||||||
1,552 | KBC Groep NV * | 92,019 | ||||||||
942 | Proximus SADP | 28,851 | ||||||||
451 | Solvay SA | 49,577 | ||||||||
323 | Umicore SA | 19,091 | ||||||||
|
| |||||||||
Total Belgium | 276,569 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Brazil — 0.4% | ||||||||||
16,550 | Banco Bradesco SA | 149,141 | ||||||||
17,000 | Banco do Brasil SA | 122,188 | ||||||||
8,300 | Banco Santander Brasil SA | 58,294 | ||||||||
13,900 | BB Seguridade Participacoes SA | 125,475 | ||||||||
6,500 | Cia Siderurgica Nacional SA * | 17,311 | ||||||||
6,100 | EDP-Energias do Brasil SA | 27,013 | ||||||||
8,700 | Embraer SA | 38,607 | ||||||||
2,500 | Fibria Celulose SA | 17,040 | ||||||||
59,000 | Petroleo Brasileiro SA * | 269,311 | ||||||||
3,500 | Sul America SA | 17,699 | ||||||||
16,800 | Tim Participacoes SA | 43,233 | ||||||||
1,900 | Transmissora Alianca de Energia Eletrica SA | 13,651 | ||||||||
25,500 | Vale SA | 133,770 | ||||||||
4,000 | WEG SA | 20,476 | ||||||||
|
| |||||||||
Total Brazil | 1,053,209 | |||||||||
|
| |||||||||
Chile — 0.1% | ||||||||||
50,170 | AES Gener SA | 19,923 | ||||||||
491,760 | Banco de Chile | 54,503 | ||||||||
369 | Banco de Credito e Inversiones | 16,316 | ||||||||
1,319,705 | Banco Santander Chile | 69,313 | ||||||||
65,664 | Empresa Nacional de Electricidad SA | 49,207 | ||||||||
15,946 | Empresas CMPC SA | 31,634 | ||||||||
387,486 | Enersis Americas SA | 64,178 | ||||||||
387,548 | Enersis Chile SA | 41,322 | ||||||||
3,078,012 | Itau CorpBanca | 26,369 | ||||||||
|
| |||||||||
Total Chile | 372,765 | |||||||||
|
| |||||||||
China — 3.7% | ||||||||||
457,000 | Agricultural Bank of China Ltd – Class H | 187,495 | ||||||||
64,000 | Alibaba Health Information Technology Ltd * | 39,734 | ||||||||
200,000 | Alibaba Pictures Group Ltd * | 41,163 | ||||||||
40,000 | Aluminum Corp of China Ltd – Class H * | 14,972 | ||||||||
24,500 | Anhui Conch Cement Co Ltd – Class H | 68,620 | ||||||||
1,523,000 | Bank of China Ltd – Class H | 683,360 | ||||||||
173,000 | Bank of Communications Co Ltd – Class H | 133,183 | ||||||||
20,000 | Beijing Capital International Airport Co Ltd – Class H | 22,515 | ||||||||
123,000 | Belle International Holdings Ltd | 79,727 | ||||||||
60,000 | Brilliance China Automotive Holdings Ltd | 68,502 | ||||||||
173,000 | China Cinda Asset Management Co Ltd – Class H | 58,486 | ||||||||
162,000 | China CITIC Bank Corp Ltd – Class H | 106,659 | ||||||||
53,000 | China Coal Energy Co Ltd – Class H * | 25,298 | ||||||||
88,000 | China Communications Construction Co Ltd – Class H | 95,623 | ||||||||
48,000 | China Communications Services Corp Ltd – Class H | 28,176 | ||||||||
27,000 | China Conch Venture Holdings Ltd | 51,857 | ||||||||
1,613,000 | China Construction Bank Corp – Class H | 1,206,186 | ||||||||
51,000 | China COSCO Holdings Co Ltd – Class H * | 16,934 |
2 | See accompanying notes to the financial statements. |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
68,000 | China Everbright Bank Co Ltd – Class H | 32,102 | ||||||||
18,000 | China Everbright Ltd | 37,250 | ||||||||
83,000 | China Evergrande Group | 57,167 | ||||||||
74,000 | China Jinmao Holdings Group Ltd | 23,022 | ||||||||
149,000 | China Life Insurance Co Ltd – Class H | 355,089 | ||||||||
27,000 | China Mengniu Dairy Co Ltd | 51,048 | ||||||||
71,000 | China Merchants Bank Co Ltd – Class H | 172,354 | ||||||||
24,000 | China Merchants Holdings International Co Ltd – Class H | 68,209 | ||||||||
117,000 | China Minsheng Banking Corp Ltd – Class H | 125,482 | ||||||||
117,500 | China Mobile Ltd | 1,447,485 | ||||||||
58,000 | China National Building Material Co Ltd – Class H | 26,098 | ||||||||
38,000 | China Oilfield Services Ltd – Class H | 29,657 | ||||||||
488,000 | China Petroleum & Chemical Corp – Class H | 348,797 | ||||||||
66,000 | China Power International Development Ltd | 24,864 | ||||||||
39,000 | China Railway Construction Corp Ltd – Class H | 47,596 | ||||||||
79,000 | China Railway Group Ltd – Class H | 58,359 | ||||||||
23,283 | China Resources Beer Holdings Co Ltd | 53,660 | ||||||||
39,079 | China Resources Power Holdings Co Ltd | 67,311 | ||||||||
67,500 | China Shenhua Energy Co Ltd – Class H | 120,878 | ||||||||
75,000 | China Shipping Container Lines Co Ltd – Class H * | 15,635 | ||||||||
31,800 | China Taiping Insurance Holdings Co Ltd * | 63,576 | ||||||||
274,000 | China Telecom Corp Ltd – Class H | 141,184 | ||||||||
50,000 | Chongqing Rural Commercial Bank Co Ltd – Class H | 28,943 | ||||||||
86,000 | CITIC Ltd | 135,144 | ||||||||
43,500 | CITIC Securities Co Ltd – Class H | 96,906 | ||||||||
342,000 | CNOOC Ltd | 412,597 | ||||||||
36,000 | COSCO Pacific Ltd | 38,939 | ||||||||
112,000 | Country Garden Holdings Co Ltd | 56,763 | ||||||||
54,000 | CRRC Corp Ltd – Class H | 48,171 | ||||||||
28,000 | CSPC Pharmaceutical Group Ltd | 27,156 | ||||||||
3,400 | Ctrip.com International Ltd ADR * | 160,990 | ||||||||
54,000 | Dongfeng Motor Group Co Ltd – Class H | 57,556 | ||||||||
35,000 | Far East Horizon Ltd | 32,628 | ||||||||
256,000 | GCL-Poly Energy Holdings Ltd | 36,172 | ||||||||
27,000 | GF Securities Co Ltd – Class H | 58,646 | ||||||||
235,000 | GOME Electrical Appliances Holding Ltd | 27,802 | ||||||||
62,000 | Great Wall Motor Co Ltd – Class H | 60,025 | ||||||||
20,000 | Guangzhou R&F Properties Co Ltd – Class H | 33,706 | ||||||||
13,000 | Haitian International Holdings Ltd | 26,135 | ||||||||
5,000 | Hengan International Group Co Ltd | 42,236 | ||||||||
32,000 | Huadian Power International Corp Ltd – Class H | 14,286 | ||||||||
84,000 | Huaneng Power International Inc – Class H | 51,182 | ||||||||
1,414,000 | Industrial & Commercial Bank of China Ltd – Class H | 899,418 | ||||||||
24,000 | Jiangsu Expressway Co Ltd – Class H | 33,680 | ||||||||
26,000 | Jiangxi Copper Co Ltd – Class H | 29,980 |
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
64,000 | Kunlun Energy Co Ltd | 46,935 | ||||||||
29,000 | Longfor Properties Co Ltd | 46,624 | ||||||||
418,000 | PetroChina Co Ltd – Class H | 277,169 | ||||||||
102,500 | Ping An Insurance Group Co of China Ltd – Class H | 528,322 | ||||||||
1,000 | Qinqin Foodstuffs Group Cayman Co Ltd * | 360 | ||||||||
56,000 | Shanghai Electric Group Co Ltd – Class H * | 24,809 | ||||||||
10,000 | Shanghai Industrial Holdings Ltd | 25,987 | ||||||||
27,500 | Shimao Property Holdings Ltd | 38,167 | ||||||||
71,500 | Shui On Land Ltd | 20,252 | ||||||||
67,000 | Sino-Ocean Land Holdings Ltd | 31,020 | ||||||||
24,500 | Sinopec Engineering Group Co Ltd – Class H | 20,273 | ||||||||
41,000 | Sinotrans Ltd – Class H | 20,290 | ||||||||
41,000 | SOHO China Ltd | 24,441 | ||||||||
2,500 | SouFun Holdings Ltd ADR * | 11,250 | ||||||||
46,500 | Sun Art Retail Group Ltd | 29,888 | ||||||||
37,000 | Sunac China Holdings Ltd | 25,620 | ||||||||
38,000 | Tingyi Cayman Islands Holding Corp | 35,121 | ||||||||
8,000 | Tsingtao Brewery Co Ltd – Class H | 26,755 | ||||||||
56,000 | Want Want China Holdings Ltd | 36,777 | ||||||||
19,000 | Weichai Power Co Ltd – Class H | 23,923 | ||||||||
36,000 | Yanzhou Coal Mining Co Ltd – Class H | 20,559 | ||||||||
28,000 | Zhejiang Expressway Co Ltd – Class H | 31,186 | ||||||||
114,000 | Zijin Mining Group Co Ltd – Class H | 37,993 | ||||||||
|
| |||||||||
Total China | 10,088,095 | |||||||||
|
| |||||||||
Colombia — 0.1% | ||||||||||
97,005 | Ecopetrol SA * | 43,080 | ||||||||
5,782 | Grupo Argos SA | 38,361 | ||||||||
70,069 | Grupo Aval Acciones y Valores SA | 29,468 | ||||||||
3,035 | Grupo de Inversiones Suramericana SA | 39,455 | ||||||||
|
| |||||||||
Total Colombia | 150,364 | |||||||||
|
| |||||||||
Czech Republic — 0.0% | ||||||||||
3,198 | CEZ AS | 55,820 | ||||||||
|
| |||||||||
Denmark — 0.1% | ||||||||||
24 | AP Moeller – Maersk A/S – Class A | 34,249 | ||||||||
43 | AP Moeller – Maersk A/S – Class B | 64,326 | ||||||||
281 | Carlsberg A/S – Class B | 26,378 | ||||||||
4,483 | Danske Bank A/S | 131,588 | ||||||||
5,026 | TDC A/S * | 27,796 | ||||||||
786 | Tryg A/S | 15,705 | ||||||||
|
| |||||||||
Total Denmark | 300,042 | |||||||||
|
| |||||||||
Egypt — 0.0% | ||||||||||
10,230 | Commercial International Bank Egypt SAE | 55,966 | ||||||||
15,874 | Talaat Moustafa Group | 10,166 | ||||||||
|
| |||||||||
Total Egypt | 66,132 | |||||||||
|
|
See accompanying notes to the financial statements. | 3 |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Finland — 0.2% | ||||||||||
338 | Elisa Oyj | 11,893 | ||||||||
2,749 | Fortum Oyj | 42,406 | ||||||||
765 | Metso Oyj | 21,416 | ||||||||
794 | Neste Oyj | 33,072 | ||||||||
36,641 | Nokia Oyj | 206,670 | ||||||||
709 | Nokian Renkaat Oyj | 25,597 | ||||||||
222 | Orion Oyj – Class B | 8,403 | ||||||||
2,767 | Sampo Oyj – A Shares | 119,014 | ||||||||
3,409 | Stora Enso Oyj – R Shares | 30,088 | ||||||||
3,304 | UPM-Kymmene Oyj | 66,410 | ||||||||
916 | Wartsila Oyj Abp | 37,694 | ||||||||
|
| |||||||||
Total Finland | 602,663 | |||||||||
|
| |||||||||
France — 1.8% | ||||||||||
10,515 | ArcelorMittal * | 62,377 | ||||||||
425 | Arkema SA | 38,027 | ||||||||
11,349 | AXA SA | 238,865 | ||||||||
6,230 | BNP Paribas SA | 318,169 | ||||||||
1,256 | Bouygues SA | 39,925 | ||||||||
3,517 | Carrefour SA | 88,747 | ||||||||
351 | Casino Guichard-Perrachon SA | 17,398 | ||||||||
173 | Christian Dior SE | 29,979 | ||||||||
2,950 | Cie de Saint-Gobain | 129,494 | ||||||||
1,155 | Cie Generale des Etablissements Michelin | 123,119 | ||||||||
1,167 | CNP Assurances | 18,824 | ||||||||
6,963 | Credit Agricole SA | 66,082 | ||||||||
1,642 | Electricite de France SA | 21,079 | ||||||||
9,040 | Engie SA | 144,473 | ||||||||
1,054 | Eutelsat Communications | 20,533 | ||||||||
204 | Fonciere Des Regions (REIT) | 19,093 | ||||||||
215 | Gecina SA (REIT) | 33,698 | ||||||||
226 | ICADE (REIT) | 17,473 | ||||||||
244 | Imerys SA | 17,222 | ||||||||
1,397 | Klepierre (REIT) | 65,607 | ||||||||
802 | Lagardere SCA | 19,597 | ||||||||
3,920 | LVMH Moet Hennessy Louis Vuitton SE | 663,299 | ||||||||
5,808 | Natixis SA | 25,757 | ||||||||
12,289 | Orange SA | 187,333 | ||||||||
1,541 | Peugeot SA * | 22,811 | ||||||||
367 | Renault SA | 30,139 | ||||||||
1,868 | Rexel SA | 30,091 | ||||||||
6,910 | Sanofi | 533,220 | ||||||||
3,282 | Schneider Electric SE | 223,903 | ||||||||
951 | SCOR SE | 28,059 | ||||||||
2,020 | SES SA | 46,460 | ||||||||
4,491 | Societe Generale SA | 163,965 | ||||||||
3,945 | STMicroelectronics NV | 29,648 | ||||||||
1,848 | Suez | 28,022 | ||||||||
677 | Technip SA | 40,089 | ||||||||
13,204 | TOTAL SA | 630,839 |
Shares | Description | Value ($) | ||||||||
France — continued | ||||||||||
610 | Unibail-Rodamco SE (REIT) | 167,852 | ||||||||
2,784 | Veolia Environnement SA | 59,326 | ||||||||
2,970 | Vinci SA | 225,652 | ||||||||
7,192 | Vivendi SA | 139,300 | ||||||||
195 | Wendel SA | 22,192 | ||||||||
|
| |||||||||
Total France | 4,827,738 | |||||||||
|
| |||||||||
Germany — 1.4% | ||||||||||
2,687 | Allianz SE (Registered) | 399,441 | ||||||||
138 | Axel Springer SE | 7,024 | ||||||||
5,400 | BASF SE | 438,024 | ||||||||
2,049 | Bayerische Motoren Werke AG | 178,043 | ||||||||
5,859 | Daimler AG (Registered) | 405,565 | ||||||||
8,537 | Deutsche Bank AG (Registered) * | 125,497 | ||||||||
12,382 | E.ON SE | 113,870 | ||||||||
865 | Evonik Industries AG | 29,025 | ||||||||
264 | Fraport AG Frankfurt Airport Services Worldwide | 14,712 | ||||||||
374 | Hannover Rueck SE | 38,234 | ||||||||
1,184 | K+S AG (Registered) | 24,746 | ||||||||
1,180 | Linde AG | 201,489 | ||||||||
1,033 | Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 186,540 | ||||||||
263 | RTL Group SA | 22,140 | ||||||||
3,029 | RWE AG * | 49,437 | ||||||||
9,878 | SAP AG | 867,486 | ||||||||
4,440 | Siemens AG (Registered) | 529,677 | ||||||||
4,719 | Telefonica Deutschland Holding AG | 19,379 | ||||||||
219 | Volkswagen AG | 31,704 | ||||||||
1,225 | Vonovia SE | 47,596 | ||||||||
|
| |||||||||
Total Germany | 3,729,629 | |||||||||
|
| |||||||||
Greece — 0.0% | ||||||||||
36,824 | Eurobank Ergasias SA * | 21,946 | ||||||||
663 | FF Group * | 16,057 | ||||||||
108,392 | National Bank of Greece SA * | 25,529 | ||||||||
4,426 | OPAP SA | 37,153 | ||||||||
129,807 | Piraeus Bank SA * | 21,095 | ||||||||
|
| |||||||||
Total Greece | 121,780 | |||||||||
|
| |||||||||
Hong Kong — 0.5% | ||||||||||
7,359 | Bank of East Asia Ltd (The) | 29,680 | ||||||||
23,000 | BOC Hong Kong Holdings Ltd | 80,302 | ||||||||
8,000 | Cathay Pacific Airways Ltd | 11,497 | ||||||||
16,500 | CK Hutchison Holdings Ltd | 211,702 | ||||||||
16,000 | First Pacific Co Ltd | 11,975 | ||||||||
14,000 | Hang Lung Properties Ltd | 31,822 | ||||||||
4,700 | Hang Seng Bank Ltd | 82,315 | ||||||||
18,000 | HK Electric Investments & HK Electric Investments Ltd | 16,864 | ||||||||
7,200 | Hongkong Land Holdings Ltd | 46,665 | ||||||||
2,600 | Hong Kong Exchanges and Clearing Ltd | 63,434 |
4 | See accompanying notes to the financial statements. |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Hong Kong — continued | ||||||||||
4,000 | Hysan Development Co Ltd | 19,287 | ||||||||
1,500 | Jardine Matheson Holdings Ltd | 89,718 | ||||||||
4,500 | Kerry Properties Ltd | 13,069 | ||||||||
26,000 | Li & Fung Ltd | 13,351 | ||||||||
4,500 | MTR Corp Ltd | 24,572 | ||||||||
33,000 | New World Development Co Ltd | 41,266 | ||||||||
10,000 | NWS Holdings Ltd | 17,840 | ||||||||
8,500 | Power Assets Holdings Ltd | 81,193 | ||||||||
14,800 | Sands China Ltd | 58,022 | ||||||||
20,000 | Sino Land Co Ltd | 34,182 | ||||||||
12,000 | SJM Holdings Ltd | 7,528 | ||||||||
8,000 | Sun Hung Kai Properties Ltd | 112,386 | ||||||||
3,500 | Swire Pacific Ltd – Class A | 38,612 | ||||||||
7,200 | Swire Properties Ltd | 20,251 | ||||||||
8,000 | Wharf Holdings Ltd (The) | 56,380 | ||||||||
6,000 | Wheelock & Co Ltd | 34,261 | ||||||||
5,000 | Yue Yuen Industrial Holdings Ltd | 21,254 | ||||||||
|
| |||||||||
Total Hong Kong | 1,269,428 | |||||||||
|
| |||||||||
Hungary — 0.0% | ||||||||||
725 | MOL Hungarian Oil & Gas Plc | 45,254 | ||||||||
2,323 | OTP Bank Plc | 60,645 | ||||||||
|
| |||||||||
Total Hungary | 105,899 | |||||||||
|
| |||||||||
India — 1.2% | ||||||||||
892 | ACC Ltd | 22,816 | ||||||||
13,527 | Ambuja Cements Ltd | 56,850 | ||||||||
11,842 | Axis Bank Ltd | 105,217 | ||||||||
1,662 | Bajaj Auto Ltd | 73,811 | ||||||||
11,630 | Bharat Heavy Electricals Ltd | 24,029 | ||||||||
1,808 | Bharat Petroleum Corp Ltd | 16,228 | ||||||||
17,977 | Bharti Airtel Ltd | 89,343 | ||||||||
52 | Bosch Ltd | 18,820 | ||||||||
9,161 | Cairn India Ltd | 27,242 | ||||||||
13,764 | Coal India Ltd | 68,837 | ||||||||
510 | Container Corp Of India Ltd | 10,660 | ||||||||
5,647 | GAIL India Ltd | 32,250 | ||||||||
3,952 | HCL Technologies Ltd | 45,882 | ||||||||
22,091 | Hindalco Industries Ltd | 52,401 | ||||||||
10,395 | Housing Development Finance Corp Ltd | 218,637 | ||||||||
10,600 | ICICI Bank Ltd Sponsored ADR | 81,302 | ||||||||
14,129 | Idea Cellular Ltd | 19,696 | ||||||||
5,833 | Indiabulls Housing Finance Ltd | 71,217 | ||||||||
33,600 | Infosys Ltd Sponsored ADR | 532,896 | ||||||||
29,410 | ITC Ltd | 114,518 | ||||||||
6,235 | Larsen & Toubro Ltd | 140,604 | ||||||||
2,985 | LIC Housing Finance Ltd | 25,438 | ||||||||
5,521 | Mahindra & Mahindra Financial Services Ltd | 29,373 | ||||||||
2,452 | Mahindra & Mahindra Ltd | 52,711 | ||||||||
162 | Nestle India Ltd | 15,701 |
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
32,246 | NTPC Ltd | 76,585 | ||||||||
16,950 | Oil & Natural Gas Corp Ltd | 59,935 | ||||||||
5,230 | Power Finance Corp Ltd | 9,674 | ||||||||
5,230 | Power Finance Corp Ltd Bonus Shares * | 9,673 | ||||||||
24,922 | Reliance Industries Ltd | 389,518 | ||||||||
2,919 | Shriram Transport Finance Co Ltd | 53,663 | ||||||||
30,770 | State Bank of India | 115,436 | ||||||||
31,110 | Tata Motors Ltd | 250,723 | ||||||||
7,273 | Tata Motors Ltd – Class A DVR | 37,316 | ||||||||
21,968 | Tata Power Co Ltd | 25,826 | ||||||||
5,964 | Tata Steel Ltd | 32,929 | ||||||||
835 | United Spirits Ltd * | 28,804 | ||||||||
17,620 | Vedanta Ltd | 44,729 | ||||||||
12,234 | Wipro Ltd | 88,895 | ||||||||
|
| |||||||||
Total India | 3,170,185 | |||||||||
|
| |||||||||
Indonesia — 0.4% | ||||||||||
267,400 | Adaro Energy Tbk PT | 23,139 | ||||||||
375,500 | Astra International Tbk PT | 230,349 | ||||||||
62,300 | Bank Danamon Indonesia Tbk PT | 19,151 | ||||||||
173,400 | Bank Mandiri Persero Tbk PT | 146,703 | ||||||||
138,600 | Bank Negara Indonesia Persero Tbk PT | 61,267 | ||||||||
206,200 | Bank Rakyat Indonesia Persero Tbk PT | 180,740 | ||||||||
131,900 | Global Mediacom Tbk PT | 8,839 | ||||||||
65,200 | Hanjaya Mandala Sampoerna Tbk PT | 19,551 | ||||||||
27,400 | Indocement Tunggal Prakarsa Tbk PT | 36,495 | ||||||||
81,500 | Indofood Sukses Makmur Tbk PT | 48,517 | ||||||||
202,600 | Perusahaan Gas Negara Persero Tbk PT | 46,024 | ||||||||
55,100 | Semen Indonesia Persero Tbk PT | 41,049 | ||||||||
353,000 | Telekomunikasi Indonesia Persero Tbk PT | 111,549 | ||||||||
31,100 | United Tractors Tbk PT | 43,893 | ||||||||
|
| |||||||||
Total Indonesia | 1,017,266 | |||||||||
|
| |||||||||
Ireland — 0.0% | ||||||||||
61,128 | Bank of Ireland * | 13,824 | ||||||||
|
| |||||||||
Israel — 0.1% | ||||||||||
6,575 | Bank Hapoalim BM | 35,302 | ||||||||
8,666 | Bank Leumi Le-Israel BM * | 32,474 | ||||||||
11,958 | Bezeq The Israeli Telecommunication Corp Ltd | 24,035 | ||||||||
3,463 | Israel Chemicals Ltd | 14,649 | ||||||||
944 | Mizrahi Tefahot Bank Ltd | 11,395 | ||||||||
2,828 | Teva Pharmaceutical Industries Ltd | 143,250 | ||||||||
|
| |||||||||
Total Israel | 261,105 | |||||||||
|
| |||||||||
Italy — 0.4% | ||||||||||
7,227 | Assicurazioni Generali SPA | 92,052 | ||||||||
2,563 | Atlantia SPA | 65,942 | ||||||||
44,847 | Enel SPA | 198,176 | ||||||||
14,938 | Eni SPA | 225,506 |
See accompanying notes to the financial statements. | 5 |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Italy — continued | ||||||||||
28,196 | Intesa Sanpaolo SPA | 66,998 | ||||||||
6,328 | Intesa Sanpaolo SPA – RSP | 14,015 | ||||||||
3,489 | Mediobanca SPA | 25,913 | ||||||||
1,657 | Poste Italiane SPA | 11,555 | ||||||||
38,692 | Saipem SPA * | 17,751 | ||||||||
13,000 | Snam SPA | 72,155 | ||||||||
12,685 | Telecom Italia SPA * | 11,514 | ||||||||
37,300 | Telecom Italia SPA – RSP * | 27,352 | ||||||||
2,923 | Tenaris SA | 40,221 | ||||||||
9,330 | Terna Rete Elettrica Nazionale SPA | 48,247 | ||||||||
19,919 | UniCredit SPA | 51,230 | ||||||||
6,906 | UnipolSai SPA | 11,556 | ||||||||
|
| |||||||||
Total Italy | 980,183 | |||||||||
|
| |||||||||
Japan — 3.2% | ||||||||||
400 | Aeon Mall Co Ltd | 5,638 | ||||||||
1,200 | Aisin Seiki Co Ltd | 56,763 | ||||||||
1,200 | Ajinomoto Co Inc | 25,468 | ||||||||
7,000 | Aozora Bank Ltd | 24,792 | ||||||||
6,000 | Asahi Glass Co Ltd | 38,204 | ||||||||
8,000 | Asahi Kasei Corp | 67,587 | ||||||||
2,000 | Bank of Kyoto Ltd (The) | 14,493 | ||||||||
200 | Benesse Holdings Inc | 4,614 | ||||||||
4,000 | Bridgestone Corp | 137,572 | ||||||||
1,600 | Brother Industries Ltd | 26,912 | ||||||||
6,600 | Canon Inc | 189,260 | ||||||||
4,000 | Chiba Bank Ltd (The) | 23,759 | ||||||||
4,000 | Chubu Electric Power Co Inc | 54,094 | ||||||||
1,100 | Chugoku Bank Ltd (The) | 13,568 | ||||||||
1,800 | Chugoku Electric Power Co Inc (The) | 21,621 | ||||||||
7,300 | Concordia Financial Group Ltd * | 37,742 | ||||||||
900 | Credit Saison Co Ltd | 15,515 | ||||||||
6,600 | Dai-ichi Life Insurance Co Ltd (The) | 92,180 | ||||||||
3,500 | Daiichi Sankyo Co Ltd | 80,411 | ||||||||
3,200 | Daiwa House Industry Co Ltd | 82,670 | ||||||||
10,000 | Daiwa Securities Group Inc | 58,585 | ||||||||
3,000 | Dai Nippon Printing Co Ltd | 30,543 | ||||||||
1,600 | Eisai Co Ltd | 93,349 | ||||||||
900 | Electric Power Development Co Ltd | 21,967 | ||||||||
1,200 | FANUC Corp | 204,477 | ||||||||
4,000 | Fuji Electric Co Ltd | 18,264 | ||||||||
1,300 | Fuji Heavy Industries Ltd | 51,743 | ||||||||
2,500 | FUJIFILM Holdings Corp | 94,076 | ||||||||
12,000 | Fujitsu Ltd | 61,112 | ||||||||
5,000 | Fukuoka Financial Group Inc | 21,204 | ||||||||
2,500 | Hachijuni Bank Ltd (The) | 13,247 | ||||||||
400 | Hankyu Hanshin Holdings Inc | 12,921 | ||||||||
900 | Hino Motors Ltd | 9,996 | ||||||||
3,000 | Hiroshima Bank Ltd (The) | 12,525 | ||||||||
200 | Hisamitsu Pharmaceutical Co Inc | 8,957 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
200 | Hitachi Chemical Co Ltd | 4,318 | ||||||||
700 | Hitachi Construction Machinery Co Ltd | 13,126 | ||||||||
400 | Hitachi High-Technologies Corp. | 14,848 | ||||||||
30,000 | Hitachi Ltd | 144,208 | ||||||||
1,100 | Hokuriku Electric Power Co | 13,151 | ||||||||
9,600 | Honda Motor Co Ltd | 295,739 | ||||||||
500 | Idemitsu Kosan Co Ltd | 9,111 | ||||||||
5,900 | Inpex Corp | 51,139 | ||||||||
1,200 | Isetan Mitsukoshi Holdings Ltd | 10,947 | ||||||||
3,700 | Isuzu Motors Ltd | 42,675 | ||||||||
8,600 | ITOCHU Corp | 101,557 | ||||||||
1,600 | Iyo Bank Ltd (The) | 10,329 | ||||||||
700 | Japan Airlines Co Ltd | 21,365 | ||||||||
2,500 | Japan Post Bank Co Ltd | 29,433 | ||||||||
2,800 | Japan Post Holdings Co Ltd | 36,685 | ||||||||
5 | Japan Prime Realty Investment Corp (REIT) | 22,115 | ||||||||
8 | Japan Real Estate Investment Corp (REIT) | 47,042 | ||||||||
16 | Japan Retail Fund Investment Corp (REIT) | 35,972 | ||||||||
3,000 | JFE Holdings Inc | 46,650 | ||||||||
4,000 | Joyo Bank Ltd (The) | 15,913 | ||||||||
1,100 | JSR Corp | 16,108 | ||||||||
1,400 | JTEKT Corp | 21,823 | ||||||||
13,900 | JX Holdings Inc | 51,911 | ||||||||
1,500 | J Front Retailing Co Ltd | 16,961 | ||||||||
1,000 | Kamigumi Co Ltd | 8,670 | ||||||||
2,000 | Kaneka Corp | 16,334 | ||||||||
4,400 | Kansai Electric Power Co Inc (The) * | 37,734 | ||||||||
6,000 | Kawasaki Heavy Industries Ltd | 17,610 | ||||||||
5,700 | Komatsu Ltd | 124,733 | ||||||||
2,900 | Konica Minolta Inc | 26,198 | ||||||||
800 | Kuraray Co Ltd | 11,448 | ||||||||
200 | Kurita Water Industries Ltd | 4,561 | ||||||||
2,000 | Kyocera Corp | 95,099 | ||||||||
500 | Kyowa Hakko Kirin Co Ltd | 7,097 | ||||||||
2,700 | Kyushu Electric Power Co Inc * | 25,151 | ||||||||
2,200 | Kyushu Financial Group Inc | 13,062 | ||||||||
200 | Lawson Inc | 14,039 | ||||||||
10,200 | Marubeni Corp | 50,901 | ||||||||
300 | Maruichi Steel Tube Ltd | 10,367 | ||||||||
3,600 | Mazda Motor Corp | 59,706 | ||||||||
100 | McDonald’s Holdings Co Ltd | 2,761 | ||||||||
500 | Medipal Holdings Corp | 7,919 | ||||||||
4,200 | Mitsubishi Chemical Holdings Corp | 26,577 | ||||||||
9,000 | Mitsubishi Corp | 187,526 | ||||||||
12,000 | Mitsubishi Electric Corp | 157,037 | ||||||||
2,000 | Mitsubishi Gas Chemical Co Inc | 13,549 | ||||||||
13,000 | Mitsubishi Heavy Industries Ltd | 56,720 | ||||||||
7,000 | Mitsubishi Materials Corp | 19,774 | ||||||||
4,000 | Mitsubishi Motors Corp | 18,291 | ||||||||
600 | Mitsubishi Tanabe Pharma Corp | 11,138 |
6 | See accompanying notes to the financial statements. |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
74,900 | Mitsubishi UFJ Financial Group Inc | 412,589 | ||||||||
3,300 | Mitsubishi UFJ Lease & Finance Co Ltd | 15,497 | ||||||||
10,600 | Mitsui & Co Ltd | 141,139 | ||||||||
4,000 | Mitsui Chemicals Inc | 19,177 | ||||||||
2,000 | Mitsui Fudosan Co Ltd | 43,187 | ||||||||
7,000 | Mitsui OSK Lines Ltd | 16,209 | ||||||||
139,100 | Mizuho Financial Group Inc | 242,358 | ||||||||
2,000 | MS&AD Insurance Group Holdings Inc | 57,244 | ||||||||
2,000 | Nagoya Railroad Co Ltd | 9,807 | ||||||||
10,000 | NEC Corp | 25,486 | ||||||||
1,100 | NHK Spring Co Ltd | 10,383 | ||||||||
4,100 | Nippon Telegraph & Telephone Corp | 180,273 | ||||||||
4 | Nippon Building Fund Inc (REIT) | 24,481 | ||||||||
2,000 | Nippon Electric Glass Co Ltd | 10,056 | ||||||||
5,000 | Nippon Express Co Ltd | 23,731 | ||||||||
4,700 | Nippon Steel & Sumitomo Metal Corp | 99,989 | ||||||||
10,000 | Nippon Yusen KK | 18,235 | ||||||||
15,360 | Nissan Motor Co Ltd | 150,920 | ||||||||
700 | Nisshin Seifun Group Inc | 9,903 | ||||||||
200 | Nissin Foods Holdings Co Ltd | 11,098 | ||||||||
600 | NOK Corp | 12,218 | ||||||||
22,500 | Nomura Holdings Inc | 106,222 | ||||||||
800 | Nomura Real Estate Holdings Inc | 13,047 | ||||||||
22 | Nomura Real Estate Master Fund Inc (REIT) | 36,325 | ||||||||
2,900 | NSK Ltd | 29,984 | ||||||||
500 | NTT Urban Development Corp | 4,595 | ||||||||
8,359 | NTT DOCOMO Inc | 210,808 | ||||||||
600 | Omron Corp | 20,375 | ||||||||
8,200 | ORIX Corp | 118,170 | ||||||||
12,000 | Osaka Gas Co Ltd | 47,286 | ||||||||
4,800 | Panasonic Corp | 49,364 | ||||||||
13,700 | Resona Holdings Inc | 62,742 | ||||||||
4,400 | Ricoh Co Ltd | 39,742 | ||||||||
400 | Rohm Co Ltd | 20,033 | ||||||||
300 | Sankyo Co Ltd | 10,424 | ||||||||
1,400 | SBI Holdings Inc | 16,650 | ||||||||
1,300 | Sega Sammy Holdings Inc | 17,788 | ||||||||
1,700 | Seiko Epson Corp | 32,582 | ||||||||
2,600 | Sekisui Chemical Co Ltd | 36,405 | ||||||||
3,700 | Sekisui House Ltd | 59,695 | ||||||||
1,100 | Shikoku Electric Power Co Inc | 10,495 | ||||||||
900 | Shin-Etsu Chemical Co Ltd | 66,161 | ||||||||
12,000 | Shinsei Bank Ltd | 19,177 | ||||||||
3,000 | Shizuoka Bank Ltd (The) | 24,754 | ||||||||
1,300 | Showa Shell Sekiyu KK | 11,069 | ||||||||
700 | Sompo Japan Nipponkoa Holdings Inc | 22,486 | ||||||||
1,100 | Sony Financial Holdings Inc | 15,147 | ||||||||
3,000 | Sumitomo Chemical Co Ltd | 13,763 | ||||||||
7,000 | Sumitomo Corp | 75,955 | ||||||||
3,000 | Sumitomo Heavy Industries Ltd | 14,757 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
7,900 | Sumitomo Mitsui Financial Group Inc | 276,359 | ||||||||
21,000 | Sumitomo Mitsui Trust Holdings Inc | 75,353 | ||||||||
1,100 | Sumitomo Rubber Industries Ltd | 16,353 | ||||||||
4,700 | Sumitomo Electric Industries Ltd | 69,811 | ||||||||
3,000 | Sumitomo Metal Mining Co Ltd | 38,131 | ||||||||
300 | Suntory Beverage & Food Ltd | 11,919 | ||||||||
350 | Suzuken Co Ltd | 10,162 | ||||||||
3,600 | T&D Holdings Inc | 41,175 | ||||||||
200 | Taisho Pharmaceutical Holdings Co Ltd | 18,346 | ||||||||
2,000 | Takashimaya Co Ltd | 14,650 | ||||||||
1,100 | Takeda Pharmaceutical Co Ltd | 48,501 | ||||||||
6,000 | Teijin Ltd | 22,404 | ||||||||
800 | THK Co Ltd | 15,709 | ||||||||
3,000 | Tobu Railway Co Ltd | 14,568 | ||||||||
1,300 | Tokio Marine Holdings Inc | 51,207 | ||||||||
4,500 | Tokyo Electric Power Co Holdings Inc * | 18,137 | ||||||||
900 | Tokyo Electron Ltd | 82,856 | ||||||||
14,000 | Tokyo Gas Co Ltd | 60,073 | ||||||||
1,700 | Tokyu Fudosan Holdings Corp | 9,483 | ||||||||
2,000 | TonenGeneral Sekiyu KK | 18,457 | ||||||||
3,000 | Toppan Printing Co Ltd | 26,772 | ||||||||
400 | Toyoda Gosei Co Ltd | 9,232 | ||||||||
1,000 | Toyota Industries Corp | 47,971 | ||||||||
16,538 | Toyota Motor Corp | 999,482 | ||||||||
200 | Toyo Suisan Kaisha Ltd | 8,203 | ||||||||
18 | United Urban Investment Corp (REIT) | 32,099 | ||||||||
1,000 | West Japan Railway Co | 57,305 | ||||||||
2,600 | Yamada Denki Co Ltd | 12,163 | ||||||||
1,000 | Yamaguchi Financial Group Inc | 10,566 | ||||||||
1,200 | Yamaha Motor Co Ltd | 24,656 | ||||||||
700 | Yokohama Rubber Co Ltd (The) | 11,392 | ||||||||
|
| |||||||||
Total Japan | 8,716,433 | |||||||||
|
| |||||||||
Malaysia — 0.4% | ||||||||||
24,900 | AirAsia Berhad | 18,390 | ||||||||
21,500 | Alliance Financial Group Berhad | 20,878 | ||||||||
38,800 | AMMB Holdings Berhad | 41,888 | ||||||||
1,300 | British American Tobacco Malaysia Berhad | 15,766 | ||||||||
18,000 | CIMB Group Holdings Berhad | 21,287 | ||||||||
45,500 | DiGi.Com Berhad | 56,279 | ||||||||
30,300 | Felda Global Ventures Holdings Berhad | 16,920 | ||||||||
33,400 | Gamuda Berhad | 40,103 | ||||||||
44,500 | Genting Berhad | 85,494 | ||||||||
13,000 | Hong Leong Bank Berhad | 41,805 | ||||||||
4,500 | Hong Leong Financial Group Berhad | 17,800 | ||||||||
57,400 | IJM Corp Berhad | 48,478 | ||||||||
15,400 | IOI Properties Group Berhad | 9,557 | ||||||||
56,600 | Malayan Banking Berhad | 108,940 | ||||||||
36,700 | Maxis Berhad | 56,722 | ||||||||
7,800 | MISC Berhad | 14,519 |
See accompanying notes to the financial statements. | 7 |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Malaysia — continued | ||||||||||
17,500 | Public Bank Berhad | 85,341 | ||||||||
16,041 | RHB Bank Berhad | 19,711 | ||||||||
12,300 | RHB Capital Berhad * | — | ||||||||
65,300 | SapuraKencana Petroleum Berhad * | 25,200 | ||||||||
45,100 | Sime Darby Berhad | 87,626 | ||||||||
33,600 | Tenaga Nasional Berhad | 122,044 | ||||||||
11,600 | UMW Holdings Berhad | 15,876 | ||||||||
85,600 | YTL Corp Berhad | 35,390 | ||||||||
43,900 | YTL Power International Berhad | 16,122 | ||||||||
|
| |||||||||
Total Malaysia | 1,022,136 | |||||||||
|
| |||||||||
Mexico — 0.6% | ||||||||||
55,800 | Alfa SA de CV – Class A | 90,791 | ||||||||
405,864 | America Movil SAB de CV – Series L | 242,353 | ||||||||
8,000 | Arca Continental SAB de CV | 49,948 | ||||||||
280,200 | Cemex SAB de CV CPO * | 232,126 | ||||||||
9,900 | Coca-Cola Femsa SAB de CV – Series L | 73,897 | ||||||||
48,300 | Fibra Uno Administracion SA de CV (REIT) | 93,484 | ||||||||
10,600 | Gentera SAB de CV | 20,714 | ||||||||
4,160 | Grupo Aeroportuario del Sureste SAB de CV – Class B | 63,349 | ||||||||
6,700 | Grupo Comercial Chedraui SA de CV | 16,349 | ||||||||
49,500 | Grupo Financiero Banorte SAB de CV – Class O | 266,758 | ||||||||
36,200 | Grupo Financiero Santander Mexico SAB de CV – Class B | 69,179 | ||||||||
75,600 | Grupo Mexico SAB de CV – Series B | 189,014 | ||||||||
30,300 | Kimberly-Clark de Mexico SAB de CV – Class A | 72,469 | ||||||||
15,400 | OHL Mexico SAB de CV * | 21,749 | ||||||||
|
| |||||||||
Total Mexico | 1,502,180 | |||||||||
|
| |||||||||
Netherlands — 0.7% | ||||||||||
1,493 | ABN AMRO Group NV | 30,708 | ||||||||
11,673 | Aegon NV | 47,882 | ||||||||
1,173 | Altice NV – Class A * | 19,594 | ||||||||
570 | Boskalis Westminster | 20,439 | ||||||||
22,753 | ING Groep NV | 284,762 | ||||||||
1,539 | Koninklijke Ahold Delhaize NV | 36,946 | ||||||||
1,154 | Koninklijke DSM NV | 80,551 | ||||||||
12,885 | Koninklijke KPN NV | 42,127 | ||||||||
1,202 | NN Group NV | 35,888 | ||||||||
756 | Randstad Holdings NV | 35,768 | ||||||||
29,444 | Unilever NV CVA | 1,354,752 | ||||||||
|
| |||||||||
Total Netherlands | 1,989,417 | |||||||||
|
| |||||||||
New Zealand — 0.0% | ||||||||||
2,258 | Contact Energy Ltd | 8,518 | ||||||||
4,274 | Fletcher Building Ltd | 32,836 | ||||||||
4,347 | Mercury NZ Ltd | 9,996 | ||||||||
8,689 | Meridian Energy Ltd | 18,274 | ||||||||
|
| |||||||||
Total New Zealand | 69,624 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Norway — 0.1% | ||||||||||
6,049 | DNB ASA | 73,358 | ||||||||
1,358 | Gjensidige Forsikring ASA | 23,281 | ||||||||
8,324 | Norsk Hydro ASA | 35,328 | ||||||||
4,960 | Orkla ASA | 45,391 | ||||||||
6,904 | Statoil ASA | 108,309 | ||||||||
1,106 | Yara International ASA | 39,167 | ||||||||
|
| |||||||||
Total Norway | 324,834 | |||||||||
|
| |||||||||
Peru — 0.1% | ||||||||||
1,900 | Cia de Minas Buenaventura SAA ADR * | 23,484 | ||||||||
700 | Credicorp Ltd | 109,676 | ||||||||
400 | Southern Copper Corp | 10,328 | ||||||||
|
| |||||||||
Total Peru | 143,488 | |||||||||
|
| |||||||||
Philippines — 0.2% | ||||||||||
38,520 | Aboitiz Equity Ventures Inc | 61,944 | ||||||||
29,200 | Aboitiz Power Corp | 28,492 | ||||||||
40,700 | Alliance Global Group Inc | 14,226 | ||||||||
15,570 | Bank of the Philippine Islands | 35,239 | ||||||||
20,760 | BDO Unibank Inc | 50,883 | ||||||||
51,300 | DMCI Holdings Inc | 12,639 | ||||||||
120,700 | Energy Development Corp | 14,832 | ||||||||
655 | Globe Telecom Inc | 27,675 | ||||||||
10,170 | International Container Terminal Services Inc | 18,316 | ||||||||
224,000 | Megaworld Corp | 22,602 | ||||||||
259,700 | Metro Pacific Investments Corp | 38,549 | ||||||||
12,500 | Metropolitan Bank & Trust Co | 22,393 | ||||||||
1,925 | PLDT Inc | 75,372 | ||||||||
32,400 | Robinsons Land Corp | 22,165 | ||||||||
9,040 | Security Bank Corp | 41,381 | ||||||||
4,770 | SM Investments Corp | 69,532 | ||||||||
|
| |||||||||
Total Philippines | 556,240 | |||||||||
|
| |||||||||
Poland — 0.2% | ||||||||||
647 | Bank Handlowy w Warszawie SA | 12,050 | ||||||||
1,313 | Bank Pekao SA | 44,136 | ||||||||
4,375 | Enea SA * | 11,051 | ||||||||
4,103 | Energa SA | 8,502 | ||||||||
644 | Grupa Lotos SA * | 4,792 | ||||||||
2,775 | KGHM Polska Miedz SA * | 52,018 | ||||||||
14,055 | Orange Polska SA | 19,352 | ||||||||
16,675 | PGE Polska Grupa Energetyczna SA | 49,267 | ||||||||
6,358 | Polski Koncern Naftowy ORLEN SA | 105,829 | ||||||||
11,123 | Powszechny Zaklad Ubezpieczen SA | 78,815 | ||||||||
10,490 | Synthos SA * | 10,423 | ||||||||
20,839 | Tauron Polska Energia SA * | 14,821 | ||||||||
|
| |||||||||
Total Poland | 411,056 | |||||||||
|
| |||||||||
Portugal — 0.0% | ||||||||||
14,334 | EDP-Energias de Portugal SA | 48,157 | ||||||||
|
|
8 | See accompanying notes to the financial statements. |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Qatar — 0.1% | ||||||||||
968 | Barwa Real Estate Co | 9,705 | ||||||||
3,186 | Commercial Bank QSC (The) | 36,718 | ||||||||
2,520 | Doha Bank QSC | 25,965 | ||||||||
1,560 | Industries Qatar QSC | 47,933 | ||||||||
7,354 | Masraf Al Rayan QSC | 76,718 | ||||||||
1,594 | Ooredoo QSC | 44,928 | ||||||||
193 | Qatar Electricity & Water Co QSC | 11,476 | ||||||||
3,513 | Qatar Gas Transport Co Ltd | 24,092 | ||||||||
2,089 | Qatar National Bank SAQ | 93,489 | ||||||||
|
| |||||||||
Total Qatar | 371,024 | |||||||||
|
| |||||||||
Russia — 0.4% | ||||||||||
113,211 | Gazprom PAO Sponsored ADR | 457,748 | ||||||||
7,557 | Lukoil PJSC Sponsored ADR | 338,673 | ||||||||
1,860 | MegaFon PJSC GDR (Registered Shares) | 18,902 | ||||||||
10,200 | Mobile TeleSystems PJSC Sponsored ADR | 82,926 | ||||||||
7,575 | Rosneft PJSC GDR (Registered) | 39,551 | ||||||||
8,970 | Rostelecom PJSC | 11,281 | ||||||||
2,318,000 | RusHydro PJSC | 28,275 | ||||||||
2,151 | Severstal PJSC GDR (Registered Shares) | 25,324 | ||||||||
142,700 | Surgutneftegas OJSC | 68,115 | ||||||||
3,062 | Tatneft PAO Sponsored ADR | 90,298 | ||||||||
|
| |||||||||
Total Russia | 1,161,093 | |||||||||
|
| |||||||||
Singapore — 0.2% | ||||||||||
14,000 | CapitaLand Commercial Trust (REIT) | 15,862 | ||||||||
11,200 | DBS Group Holdings Ltd | 123,052 | ||||||||
47,900 | Golden Agri-Resources Ltd | 12,634 | ||||||||
38,400 | Hutchison Port Holdings Trust – Class U | 16,493 | ||||||||
9,000 | Keppel Corp Ltd | 34,123 | ||||||||
32,000 | Noble Group Ltd * | 2,784 | ||||||||
18,800 | Oversea-Chinese Banking Corp Ltd | 118,344 | ||||||||
6,700 | Sembcorp Industries Ltd | 13,330 | ||||||||
5,200 | Sembcorp Marine Ltd | 4,849 | ||||||||
16,200 | Suntec Real Estate Investment Trust | 19,901 | ||||||||
2,500 | United Overseas Bank Ltd | 32,966 | ||||||||
3,200 | UOL Group Ltd | 13,039 | ||||||||
11,900 | Wilmar International Ltd | 26,832 | ||||||||
13,000 | Yangzijiang Shipbuilding Holdings Ltd | 7,288 | ||||||||
|
| |||||||||
Total Singapore | 441,497 | |||||||||
|
| |||||||||
South Africa — 0.9% | ||||||||||
8,241 | Barclays Africa Group Ltd | 83,552 | ||||||||
3,353 | Brait SE * | 26,586 | ||||||||
4,506 | Coronation Fund Managers Ltd | 21,378 | ||||||||
2,839 | Exxaro Resources Ltd | 14,559 | ||||||||
66,699 | FirstRand Ltd | 200,380 | ||||||||
13,635 | Fortress Income Fund Ltd (REIT) | 31,592 | ||||||||
18,878 | Fortress Income Fund Ltd – Class A (REIT) | 21,122 |
Shares | Description | Value ($) | ||||||||
South Africa — continued | ||||||||||
4,255 | Foschini Group Ltd (The) | 37,878 | ||||||||
15,421 | Gold Fields Ltd | 78,064 | ||||||||
37,621 | Growthpoint Properties Ltd (REIT) | 65,139 | ||||||||
4,820 | Hyprop Investments Ltd (REIT) | 42,191 | ||||||||
12,377 | Impala Platinum Holdings Ltd * | 47,586 | ||||||||
3,589 | Imperial Holdings Ltd | 38,531 | ||||||||
2,269 | Liberty Holdings Ltd | 17,381 | ||||||||
12,273 | Life Healthcare Group Holdings Ltd | 32,129 | ||||||||
21,806 | MMI Holdings Ltd | 33,520 | ||||||||
2,345 | Mondi Ltd | 47,384 | ||||||||
31,831 | MTN Group Ltd | 260,307 | ||||||||
3,919 | Nedbank Group Ltd | 55,096 | ||||||||
1,061 | Pioneer Foods Group Ltd | 12,286 | ||||||||
88,008 | Redefine Properties Ltd (REIT) | 66,099 | ||||||||
13,989 | RMB Holdings Ltd | 56,007 | ||||||||
28,175 | Sanlam Ltd | 119,817 | ||||||||
5,365 | Sappi Ltd * | 26,433 | ||||||||
10,611 | Sasol Ltd | 267,868 | ||||||||
14,591 | Sibanye Gold Ltd | 56,709 | ||||||||
24,046 | Standard Bank Group Ltd | 218,040 | ||||||||
55,688 | Steinhoff International Holdings NV | 334,333 | ||||||||
4,698 | Telkom SA SOC Ltd | 19,452 | ||||||||
2,124 | Tiger Brands Ltd | 55,151 | ||||||||
8,757 | Truworths International Ltd | 45,386 | ||||||||
7,277 | Tsogo Sun Holdings Ltd | 15,056 | ||||||||
7,372 | Vodacom Group Ltd | 76,730 | ||||||||
|
| |||||||||
Total South Africa | 2,523,742 | |||||||||
|
| |||||||||
South Korea — 2.1% | ||||||||||
5,258 | BNK Financial Group Inc | 41,639 | ||||||||
552 | Daelim Industrial Co Ltd | 39,981 | ||||||||
3,353 | DGB Financial Group Inc | 27,442 | ||||||||
842 | Dongbu Insurance Co Ltd | 50,911 | ||||||||
414 | Dongsuh Cos Inc | 11,436 | ||||||||
616 | Doosan Heavy Industries & Construction Co | 15,231 | ||||||||
985 | GS Engineering & Construction Corp * | 25,284 | ||||||||
1,013 | GS Holdings Corp | 44,776 | ||||||||
5,870 | Hana Financial Group Inc | 153,744 | ||||||||
312 | Hanwha Corp | 10,234 | ||||||||
4,306 | Hanwha Life Insurance Co Ltd | 21,850 | ||||||||
453 | Hyosung Corp | 53,515 | ||||||||
151 | Hyundai Department Store Co Ltd | 16,958 | ||||||||
1,542 | Hyundai Engineering & Construction Co Ltd | 53,098 | ||||||||
831 | Hyundai Heavy Industries Co Ltd * | 102,184 | ||||||||
621 | Hyundai Marine & Fire Insurance Co Ltd | 18,803 | ||||||||
1,306 | Hyundai Mobis Co Ltd | 304,348 | ||||||||
2,678 | Hyundai Motor Co | 319,024 | ||||||||
1,590 | Hyundai Steel Co | 72,953 | ||||||||
323 | Hyundai Wia Corp | 26,302 |
See accompanying notes to the financial statements. | 9 |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Korea — continued | ||||||||||
5,517 | Industrial Bank of Korea | 58,040 | ||||||||
7,661 | KB Financial Group Inc | 267,293 | ||||||||
115 | KCC Corp | 42,460 | ||||||||
5,224 | Kia Motors Corp | 196,373 | ||||||||
5,092 | Korea Electric Power Corp | 264,482 | ||||||||
549 | Korea Gas Corp | 20,857 | ||||||||
503 | Korea Investment Holdings Co Ltd | 18,038 | ||||||||
59 | Korea Zinc Co Ltd | 25,270 | ||||||||
253 | Korean Air Lines Co Ltd * | 7,146 | ||||||||
19 | KT Corp | 537 | ||||||||
2,178 | KT&G Corp | 228,341 | ||||||||
177 | Kumho Petrochemical Co Ltd | 10,899 | ||||||||
1,882 | LG Corp | 110,997 | ||||||||
4,613 | LG Display Co Ltd | 123,737 | ||||||||
4,243 | LG Uplus Corp | 44,264 | ||||||||
40 | Lotte Confectionery Co Ltd | 6,069 | ||||||||
219 | Lotte Shopping Co Ltd | 39,775 | ||||||||
3,563 | Mirae Asset Daewoo Co Ltd | 25,328 | ||||||||
2,791 | NH Investment & Securities Co Ltd | 25,206 | ||||||||
331 | OCI Co Ltd * | 25,864 | ||||||||
701 | Paradise Co Ltd | 10,512 | ||||||||
1,384 | POSCO | 284,897 | ||||||||
903 | Posco Daewoo Corp | 18,462 | ||||||||
893 | S-Oil Corp | 56,406 | ||||||||
690 | Samsung Card Co Ltd | 27,321 | ||||||||
556 | Samsung Electro-Mechanics Co Ltd | 26,479 | ||||||||
663 | Samsung Electronics Co Ltd | 961,661 | ||||||||
1,281 | Samsung Life Insurance Co Ltd | 118,189 | ||||||||
1,137 | Samsung Securities Co Ltd | 35,647 | ||||||||
8,464 | Shinhan Financial Group Co Ltd | 309,352 | ||||||||
68 | Shinsegae Inc | 12,387 | ||||||||
595 | SK Holdings Co Ltd | 112,723 | ||||||||
11,654 | SK Hynix Inc | 379,986 | ||||||||
1,284 | SK Innovation Co Ltd | 166,656 | ||||||||
2,205 | SK Networks Co Ltd | 12,477 | ||||||||
401 | SK Telecom Co Ltd | 78,485 | ||||||||
6,703 | Woori Bank | 63,690 | ||||||||
|
| |||||||||
Total South Korea | 5,626,019 | |||||||||
|
| |||||||||
Spain — 0.6% | ||||||||||
1,209 | ACS Actividades de Construccion y Servicios SA | 34,286 | ||||||||
11,835 | Banco de Sabadell SA | 16,051 | ||||||||
4,111 | Banco Popular Espanol SA | 5,562 | ||||||||
39,956 | Banco Bilbao Vizcaya Argentaria SA | 248,319 | ||||||||
84,874 | Banco Santander SA | 380,700 | ||||||||
28,608 | Bankia SA | 24,118 | ||||||||
10,575 | CaixaBank SA | 28,516 | ||||||||
1,330 | Enagas SA | 39,085 |
Shares | Description | Value ($) | ||||||||
Spain — continued | ||||||||||
1,966 | Endesa SA | 40,065 | ||||||||
2,021 | Ferrovial SA | 39,857 | ||||||||
2,168 | Gas Natural SDG SA | 44,786 | ||||||||
32,561 | Iberdrola SA | 214,477 | ||||||||
7,318 | Mapfre SA | 19,848 | ||||||||
2,748 | Red Electrica Corp SA | 59,218 | ||||||||
6,955 | Repsol SA | 93,429 | ||||||||
26,274 | Telefonica SA | 265,100 | ||||||||
22 | Zardoya Otis SA Bonus Shares * | 207 | ||||||||
562 | Zardoya Otis SA | 5,297 | ||||||||
|
| |||||||||
Total Spain | 1,558,921 | |||||||||
|
| |||||||||
Sweden — 0.4% | ||||||||||
1,865 | Alfa Laval AB | 28,957 | ||||||||
342 | ICA Gruppen AB | 11,691 | ||||||||
1,114 | Industrivarden AB – C Shares | 20,281 | ||||||||
18,800 | Nordea Bank AB | 183,558 | ||||||||
3,300 | Sandvik AB | 35,797 | ||||||||
9,402 | Skandinaviska Enskilda Banken AB – Class A | 91,774 | ||||||||
2,352 | Skanska AB – B Shares | 51,487 | ||||||||
2,464 | SKF AB – B Shares | 41,486 | ||||||||
9,268 | Svenska Handelsbanken AB – A Shares | 119,442 | ||||||||
5,605 | Swedbank AB – A Shares | 128,919 | ||||||||
2,167 | Tele2 AB – B Shares | 18,012 | ||||||||
18,836 | Telefonaktiebolaget LM Ericsson – B Shares | 134,155 | ||||||||
16,075 | Telia Co AB | 72,541 | ||||||||
9,791 | Volvo AB – B Shares | 105,103 | ||||||||
|
| |||||||||
Total Sweden | 1,043,203 | |||||||||
|
| |||||||||
Switzerland — 2.3% | ||||||||||
3,256 | ABB Ltd (Registered) * | 70,629 | ||||||||
1,026 | Adecco Group AG (Registered) | 59,108 | ||||||||
540 | Aryzta AG * | 21,532 | ||||||||
310 | Baloise Holding AG (Registered) | 36,933 | ||||||||
3,454 | Credit Suisse Group AG (Registered) * | 45,033 | ||||||||
1,386 | Julius Baer Group Ltd * | 58,140 | ||||||||
47,735 | Nestle SA (Registered) | 3,804,137 | ||||||||
13,977 | Novartis AG (Registered) | 1,100,871 | ||||||||
210 | Pargesa Holding SA | 14,487 | ||||||||
482 | Swatch Group AG (The) | 124,156 | ||||||||
199 | Swiss Life Holding AG (Registered) * | 49,892 | ||||||||
411 | Swiss Prime Site AG (Registered) * | 36,162 | ||||||||
1,923 | Swiss Re AG | 162,506 | ||||||||
161 | Swisscom AG (Registered) | 77,011 | ||||||||
23,229 | UBS Group AG (Registered) | 336,628 | ||||||||
885 | Zurich Insurance Group AG * | 226,621 | ||||||||
|
| |||||||||
Total Switzerland | 6,223,846 | |||||||||
|
|
10 | See accompanying notes to the financial statements. |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Taiwan — 1.7% | ||||||||||
58,000 | Acer Inc * | 25,983 | ||||||||
82,000 | Advanced Semiconductor Engineering Inc | 99,776 | ||||||||
47,000 | Asia Cement Corp | 41,946 | ||||||||
38,000 | Asia Pacific Telecom Co Ltd * | 12,787 | ||||||||
14,000 | Asustek Computer Inc | 118,247 | ||||||||
172,000 | AU Optronics Corp | 67,080 | ||||||||
1,000 | Casetek Holdings Ltd | 3,504 | ||||||||
5,000 | Catcher Technology Co Ltd * | 35,865 | ||||||||
162,000 | Cathay Financial Holding Co Ltd | 204,340 | ||||||||
7,000 | Chailease Holding Co Ltd | 12,067 | ||||||||
97,520 | Chang Hwa Commercial Bank Ltd | 48,939 | ||||||||
22,000 | Cheng Shin Rubber Industry Co Ltd | 46,676 | ||||||||
53,000 | China Airlines Ltd | 15,373 | ||||||||
271,000 | China Development Financial Holding Corp | 68,351 | ||||||||
65,520 | China Life Insurance Co Ltd | 57,911 | ||||||||
234,000 | China Steel Corp | 162,021 | ||||||||
33,000 | Chunghwa Telecom Co Ltd | 118,473 | ||||||||
84,000 | Compal Electronics Inc | 49,718 | ||||||||
304,000 | CTBC Financial Holding Co Ltd | 175,513 | ||||||||
26,250 | Eva Airways Corp | 12,148 | ||||||||
64,000 | Far Eastern New Century Corp | 47,117 | ||||||||
20,000 | Far EasTone Telecommunications Co Ltd | 46,537 | ||||||||
190,190 | First Financial Holding Co Ltd | 97,625 | ||||||||
15,000 | Formosa Taffeta Co Ltd | 14,467 | ||||||||
18,180 | Foxconn Technology Co Ltd * | 50,918 | ||||||||
132,000 | Fubon Financial Holding Co Ltd | 186,333 | ||||||||
16,000 | Highwealth Construction Corp | 24,845 | ||||||||
267,750 | Hon Hai Precision Industry Co Ltd | 740,618 | ||||||||
7,000 | HTC Corp * | 18,716 | ||||||||
135,936 | Hua Nan Financial Holdings Co Ltd – Class C | 69,971 | ||||||||
168,000 | Innolux Corp | 59,174 | ||||||||
19,000 | Inotera Memories Inc * | 16,058 | ||||||||
46,000 | Inventec Corp | 34,066 | ||||||||
41,435 | Lite-On Technology Corp | 62,602 | ||||||||
28,000 | MediaTek Inc | 219,751 | ||||||||
216,000 | Mega Financial Holding Co Ltd | 146,872 | ||||||||
4,000 | Merida Industry Co Ltd | 16,298 | ||||||||
93,000 | Nan Ya Plastics Corp | 177,272 | ||||||||
14,000 | Nanya Technology Corp | 16,517 | ||||||||
11,000 | Novatek Microelectronics Corp | 37,473 | ||||||||
1,000 | OBI Pharma Inc * | 12,514 | ||||||||
25,000 | Pegatron Corp | 60,319 | ||||||||
3,000 | Phison Electronics Corp | 21,655 | ||||||||
13,000 | Powertech Technology Inc | 33,893 | ||||||||
54,000 | Quanta Computer Inc | 99,655 | ||||||||
9,000 | Realtek Semiconductor Corp | 35,947 | ||||||||
17,000 | Ruentex Development Co Ltd * | 19,889 | ||||||||
10,000 | Ruentex Industries Ltd | 15,497 | ||||||||
162,000 | Shin Kong Financial Holding Co Ltd * | 35,472 | ||||||||
43,000 | Siliconware Precision Industries Co Ltd | 64,029 |
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
5,000 | Simplo Technology Co Ltd | 16,438 | ||||||||
200,550 | SinoPac Financial Holdings Co Ltd | 58,554 | ||||||||
28,350 | Synnex Technology International Corp | 29,896 | ||||||||
171,577 | Taishin Financial Holding Co Ltd | 64,811 | ||||||||
42,000 | Taiwan Business Bank * | 11,219 | ||||||||
66,000 | Taiwan Cement Corp | 75,207 | ||||||||
75,970 | Taiwan Cooperative Financial Holding Co Ltd | 33,356 | ||||||||
16,000 | Taiwan Fertilizer Co Ltd | 21,109 | ||||||||
16,000 | Taiwan Mobile Co Ltd | 56,187 | ||||||||
38,000 | Teco Electric and Machinery Co Ltd | 31,906 | ||||||||
4,000 | Transcend Information Inc | 11,515 | ||||||||
240,000 | United Microelectronics Corp | 87,020 | ||||||||
49,393 | Wistron Corp | 36,219 | ||||||||
30,000 | WPG Holdings Ltd | 35,626 | ||||||||
190,000 | Yuanta Financial Holding Co Ltd | 67,239 | ||||||||
17,000 | Yulon Motor Co Ltd | 14,675 | ||||||||
3,000 | Zhen Ding Technology Holding Ltd | 5,999 | ||||||||
|
| |||||||||
Total Taiwan | 4,515,794 | |||||||||
|
| |||||||||
Thailand — 0.4% | ||||||||||
20,800 | Advanced Info Service Pcl (Foreign Registered) | 99,376 | ||||||||
4,900 | Bangkok Bank Pcl NVDR | 23,970 | ||||||||
31,000 | Banpu Pcl (Foreign Registered) | 14,052 | ||||||||
19,600 | BEC World Pcl (Foreign Registered) | 12,677 | ||||||||
117,000 | BTS Group Holdings Pcl (Foreign Registered) | 30,571 | ||||||||
2,600 | Electricity Generating Pcl (Foreign Registered) | 14,821 | ||||||||
10,300 | Glow Energy Pcl (Foreign Registered) | 23,777 | ||||||||
28,900 | Indorama Ventures Pcl (Foreign Registered) | 26,679 | ||||||||
200,400 | IRPC Pcl (Foreign Registered) | 27,997 | ||||||||
11,500 | Kasikornbank Pcl NVDR | 65,546 | ||||||||
69,900 | Krung Thai Bank Pcl (Foreign Registered) | 38,328 | ||||||||
27,800 | PTT Exploration & Production Pcl (Foreign Registered) | 64,977 | ||||||||
41,500 | PTT Global Chemical Pcl (Foreign Registered) | 72,946 | ||||||||
20,000 | PTT Pcl (Foreign Registered) | 200,976 | ||||||||
2,100 | Siam Cement Pcl (The) (Foreign Registered) (a) | 32,137 | ||||||||
31,200 | Siam Commercial Bank Pcl (The) (Foreign Registered) | 144,005 | ||||||||
16,300 | Thai Oil Pcl (Foreign Registered) | 33,287 | ||||||||
171,000 | TMB Bank Pcl (Foreign Registered) | 11,164 | ||||||||
|
| |||||||||
Total Thailand | 937,286 | |||||||||
|
| |||||||||
Turkey — 0.2% | ||||||||||
6,114 | Akbank TAS | 16,160 | ||||||||
37,654 | Emlak Konut Gayrimenkul Yatirim Ortakligi AS | 37,044 |
See accompanying notes to the financial statements. | 11 |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Turkey — continued | ||||||||||
27,751 | Eregli Demir ve Celik Fabrikalari TAS | 41,751 | ||||||||
18,196 | Haci Omer Sabanci Holding AS | 56,143 | ||||||||
8,085 | KOC Holding AS | 35,093 | ||||||||
5,973 | Petkim Petrokimya Holding AS | 9,265 | ||||||||
2,506 | Tupras-Turkiye Petrol Rafineriler AS | 49,065 | ||||||||
7,180 | Turk Hava Yollari AO * | 12,519 | ||||||||
9,008 | Turk Telekomunikasyon AS | 18,180 | ||||||||
17,440 | Turkcell Iletisim Hizmetleri AS * | 58,453 | ||||||||
12,386 | Turkiye Halk Bankasi AS | 37,173 | ||||||||
31,213 | Turkiye Is Bankasi – Class C | 50,747 | ||||||||
14,863 | Turkiye Vakiflar Bankasi TAO – Class D | 21,855 | ||||||||
17,229 | Yapi ve Kredi Bankasi AS * | 21,188 | ||||||||
|
| |||||||||
Total Turkey | 464,636 | |||||||||
|
| |||||||||
United Arab Emirates — 0.1% | ||||||||||
38,989 | Abu Dhabi Commercial Bank PJSC | 68,091 | ||||||||
61,451 | Aldar Properties PJSC | 46,102 | ||||||||
24,597 | Dubai Islamic Bank PJSC | 36,517 | ||||||||
45,622 | Emaar Properties PJSC | 88,105 | ||||||||
17,917 | First Gulf Bank PJSC | 57,065 | ||||||||
13,483 | National Bank of Abu Dhabi PJSC | 33,478 | ||||||||
|
| |||||||||
Total United Arab Emirates | 329,358 | |||||||||
|
| |||||||||
United Kingdom — 8.8% | ||||||||||
6,020 | 3i Group Plc | 48,587 | ||||||||
5,710 | Aberdeen Asset Management Plc | 24,056 | ||||||||
1,307 | Admiral Group Plc | 35,216 | ||||||||
8,677 | Anglo American Plc * | 88,941 | ||||||||
1,592 | Antofagasta Plc | 10,348 | ||||||||
7,436 | AstraZeneca Plc | 480,001 | ||||||||
25,043 | Aviva Plc | 141,331 | ||||||||
19,592 | BAE Systems Plc | 138,447 | ||||||||
98,843 | Barclays Plc | 223,393 | ||||||||
2,230 | Barratt Developments Plc | 14,467 | ||||||||
288 | Berkeley Group Holdings Plc (The) | 10,105 | ||||||||
13,073 | BHP Billiton Plc | 170,042 | ||||||||
109,058 | BP Plc | 613,079 | ||||||||
73,384 | British American Tobacco Plc | 4,552,936 | ||||||||
6,047 | British Land Co Plc (The) (REIT) | 52,667 | ||||||||
6,663 | Burberry Group Plc | 114,176 | ||||||||
31,360 | Centrica Plc | 95,892 | ||||||||
7,047 | Cobham Plc | 14,958 | ||||||||
68,988 | Compass Group Plc | 1,305,769 | ||||||||
8,510 | Direct Line Insurance Group Plc | 41,330 | ||||||||
6,217 | Dixons Carphone Plc | 30,260 | ||||||||
9,606 | G4S PLC | 29,100 | ||||||||
28,641 | GlaxoSmithKline Plc | 616,505 | ||||||||
75,734 | Glencore Plc * | 173,299 | ||||||||
4,973 | Hammerson Plc (REIT) | 37,884 | ||||||||
115,955 | HSBC Holdings Plc | 862,116 |
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
3,427 | ICAP Plc | 21,537 | ||||||||
1,683 | IMI Plc | 23,357 | ||||||||
5,637 | Imperial Brands Plc | 295,679 | ||||||||
5,826 | Intu Properties Plc (REIT) | 24,197 | ||||||||
4,966 | Investec Plc | 29,209 | ||||||||
1,346 | Investec Plc | 7,969 | ||||||||
8,335 | J Sainsbury Plc | 26,303 | ||||||||
430 | Johnson Matthey Plc | 18,852 | ||||||||
14,204 | Kingfisher Plc | 69,274 | ||||||||
4,861 | Land Securities Group Plc (REIT) | 69,832 | ||||||||
23,712 | Legal & General Group Plc | 65,590 | ||||||||
384,611 | Lloyds Banking Group Plc | 299,769 | ||||||||
10,114 | Marks & Spencer Group Plc | 45,749 | ||||||||
4,798 | Meggitt Plc | 29,509 | ||||||||
22,027 | National Grid Plc | 303,136 | ||||||||
30,506 | Old Mutual Plc | 77,925 | ||||||||
5,082 | Pearson Plc | 57,791 | ||||||||
1,270 | Persimmon Plc | 30,422 | ||||||||
34,112 | Reckitt Benckiser Group Plc | 3,295,175 | ||||||||
7,263 | Rio Tinto Plc | 218,636 | ||||||||
5,689 | Rolls-Royce Holdings Plc * | 57,520 | ||||||||
21,497 | Royal Bank of Scotland Group Plc * | 56,909 | ||||||||
26,063 | Royal Dutch Shell Plc A Shares (London) | 636,973 | ||||||||
21,554 | Royal Dutch Shell Plc B Shares (London) | 548,699 | ||||||||
5,570 | Royal Mail Plc | 37,587 | ||||||||
6,295 | RSA Insurance Group Plc | 41,075 | ||||||||
861 | Schroders Plc | 31,493 | ||||||||
4,628 | Segro Plc (REIT) | 27,548 | ||||||||
950 | Severn Trent Plc | 29,731 | ||||||||
2,446 | Smiths Group Plc | 43,084 | ||||||||
6,228 | SSE PLC | 123,123 | ||||||||
12,193 | Standard Life Plc | 58,412 | ||||||||
20,268 | Standard Chartered Plc * | 170,834 | ||||||||
2,887 | Tate & Lyle Plc | 27,821 | ||||||||
1,110 | TUI AG | 15,502 | ||||||||
136,411 | Unilever Plc | 6,332,369 | ||||||||
4,331 | United Utilities Group Plc | 55,305 | ||||||||
156,152 | Vodafone Group Plc | 471,213 | ||||||||
1,324 | Weir Group Plc (The) | 26,215 | ||||||||
5,473 | William Hill Plc | 22,888 | ||||||||
13,722 | Wm Morrison Supermarkets Plc | 35,506 | ||||||||
|
| |||||||||
Total United Kingdom | 23,784,623 | |||||||||
|
| |||||||||
United States — 52.6% | ||||||||||
27,218 | 3M Co. | 4,878,554 | ||||||||
50,800 | Abbott Laboratories | 2,134,616 | ||||||||
33,500 | Accenture Plc – Class A | 3,852,500 | ||||||||
9,010 | Alphabet, Inc. – Class A * | 7,116,548 | ||||||||
4,695 | Alphabet, Inc. – Class C * | 3,601,300 | ||||||||
81,747 | American Express Co. | 5,360,968 | ||||||||
7,100 | Amphenol Corp. – Class A | 442,401 |
12 | See accompanying notes to the financial statements. |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
10,359 | Analog Devices, Inc. | 648,059 | ||||||||
2,800 | Anthem, Inc. | 350,224 | ||||||||
57,300 | Apple, Inc. | 6,079,530 | ||||||||
216 | Ball Corp. | 17,105 | ||||||||
7,479 | Becton, Dickinson and Co. | 1,325,354 | ||||||||
13,650 | Cerner Corp. * | 880,971 | ||||||||
4,300 | Church & Dwight Co., Inc. | 427,506 | ||||||||
247,324 | Cisco Systems, Inc. | 7,775,867 | ||||||||
133,842 | Coca-Cola Co. (The) | 5,812,758 | ||||||||
51,338 | Cognizant Technology Solutions Corp. – Class A * | 2,948,855 | ||||||||
30,110 | Colgate-Palmolive Co. | 2,238,377 | ||||||||
9,800 | Costco Wholesale Corp. | 1,588,482 | ||||||||
10,800 | CVS Health Corp. | 1,008,720 | ||||||||
61,000 | EMC Corp. | 1,768,390 | ||||||||
28,748 | Emerson Electric Co. | 1,514,445 | ||||||||
8,839 | Express Scripts Holding Co. * | 642,595 | ||||||||
2,200 | Genuine Parts Co. | 226,204 | ||||||||
7,000 | Honeywell International, Inc. | 816,970 | ||||||||
5,891 | Humana, Inc. | 1,052,781 | ||||||||
21,167 | Illinois Tool Works, Inc. | 2,515,698 | ||||||||
6,631 | Intuit, Inc. | 739,025 | ||||||||
900 | Intuitive Surgical, Inc. * | 617,778 | ||||||||
81,700 | Johnson & Johnson | 9,750,078 | ||||||||
10,257 | MasterCard, Inc. – Class A | 991,134 | ||||||||
16,224 | McDonald’s Corp. | 1,876,468 | ||||||||
52,967 | Medtronic Plc | 4,609,718 | ||||||||
187,100 | Microsoft Corp. | 10,750,766 | ||||||||
34,237 | Monsanto Co. | 3,646,241 | ||||||||
26,194 | NIKE, Inc – Class B | 1,509,822 | ||||||||
192,382 | Oracle Corp. | 7,929,986 | ||||||||
8,200 | Paychex, Inc. | 497,494 | ||||||||
17,666 | PepsiCo, Inc. | 1,885,846 | ||||||||
23,100 | Pfizer, Inc. | 803,880 | ||||||||
67,800 | Philip Morris International, Inc. | 6,775,254 | ||||||||
41,530 | Procter & Gamble Co. (The) | 3,625,984 | ||||||||
82,909 | QUALCOMM, Inc. | 5,229,071 | ||||||||
4,165 | Rockwell Automation, Inc. | 482,848 | ||||||||
21,494 | Schlumberger Ltd. | 1,698,026 | ||||||||
8,574 | St Jude Medical, Inc. | 668,086 | ||||||||
14,126 | Stryker Corp. | 1,633,813 | ||||||||
12,000 | Texas Instruments, Inc. | 834,480 | ||||||||
6,516 | TJX Cos., Inc. (The) | 504,599 | ||||||||
2,900 | United Technologies Corp. | 308,647 | ||||||||
34,708 | UnitedHealth Group, Inc. | 4,722,023 | ||||||||
13,912 | VF Corp. | 863,240 | ||||||||
4,855 | Wal-Mart Stores, Inc. | 346,841 | ||||||||
2,100 | WW Grainger, Inc. | 484,386 | ||||||||
6,228 | Zimmer Biomet Holdings, Inc. | 807,211 | ||||||||
|
| |||||||||
Total United States | 141,618,523 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $220,738,944) | 236,634,892 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
PREFERRED STOCKS — 0.9% | ||||||||||
Brazil — 0.7% | ||||||||||
53,180 | Banco Bradesco SA | 478,574 | ||||||||
2,300 | Centrais Eletricas Brasileiras SA – Class B * | 20,299 | ||||||||
14,900 | Cia Energetica de Minas Gerais | 40,374 | ||||||||
3,800 | Cia Energetica de Sao Paulo – Class B | 15,874 | ||||||||
2,000 | Cia Paranaense de Energia – Class B | 20,414 | ||||||||
17,000 | Gerdau SA | 47,801 | ||||||||
54,400 | Itau Unibanco Holding SA | 603,939 | ||||||||
77,110 | Itausa-Investimentos Itau SA | 205,359 | ||||||||
77,700 | Petroleo Brasileiro SA * | 309,193 | ||||||||
38,200 | Vale SA | 171,174 | ||||||||
|
| |||||||||
Total Brazil | 1,913,001 | |||||||||
|
| |||||||||
Chile — 0.0% | ||||||||||
3,383 | Embotelladora Andina SA –Class B | 12,109 | ||||||||
963 | Sociedad Quimica y Minera de Chile SA – Class B | 24,481 | ||||||||
|
| |||||||||
Total Chile | 36,590 | |||||||||
|
| |||||||||
Colombia — 0.0% | ||||||||||
1,905 | Grupo de Inversiones Suramericana SA | 24,483 | ||||||||
|
| |||||||||
Germany — 0.1% | ||||||||||
338 | Bayerische Motoren Werke AG | 25,297 | ||||||||
947 | Porsche Automobil Holding SE | 47,850 | ||||||||
1,148 | Volkswagen AG | 158,888 | ||||||||
|
| |||||||||
Total Germany | 232,035 | |||||||||
|
| |||||||||
Russia — 0.0% | ||||||||||
137,245 | Surgutneftegas OJSC * | 68,774 | ||||||||
|
| |||||||||
South Korea — 0.1% | ||||||||||
473 | Hyundai Motor Co | 40,636 | ||||||||
745 | Hyundai Motor Co | 67,133 | ||||||||
153 | LG Chem Ltd | 24,650 | ||||||||
82 | Samsung Electronics Co Ltd | 97,250 | ||||||||
|
| |||||||||
Total South Korea | 229,669 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $1,806,349) | 2,504,552 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.0% | ||||||||||
South Korea — 0.0% | ||||||||||
80 | Hanwha Corp Rights, Expires 10/05/16* | 0 | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $0) | 0 | |||||||||
|
|
See accompanying notes to the financial statements. | 13 |
GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares / Par Value† | Description | Value ($) | ||||||||
MUTUAL FUNDS — 4.4% | ||||||||||
United States — 4.4% | ||||||||||
Affiliated Issuers | ||||||||||
473,760 | GMO U.S. Treasury Fund | 11,848,744 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $11,848,744) | 11,848,744 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 6.3% | ||||||||||
Time Deposits † — 0.3% | ||||||||||
AUD | 8,666 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.69%, due 09/01/16 | 6,514 | |||||||
DKK | 1,492 | Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.20)%, due 09/01/16 | 224 | |||||||
EUR | 5,119 | Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.54)%, due 09/01/16 | 5,710 | |||||||
HKD | 56,887 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/16 | 7,333 | |||||||
JPY | 714,962 | Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.29)%, due 09/01/16 | 6,910 | |||||||
NOK | 9,382 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.08%, due 09/01/16 | 1,126 | |||||||
NZD | 13,534 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.25%, due 09/01/16 | 9,820 | |||||||
SGD | 7,669 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/16 | 5,629 | |||||||
ZAR | 127,979 | Brown Brothers Harriman (Grand Cayman) Time Deposit, 6.44%, due 09/01/16 | 8,705 | |||||||
813,040 | Citibank (New York) Time Deposit, 0.15%, due 09/01/16 | 813,040 | ||||||||
|
| |||||||||
Total Time Deposits | 865,011 | |||||||||
|
| |||||||||
U.S. Government — 6.0% | ||||||||||
2,000,000 | U.S. Treasury Bill, 0.33%, due 12/08/16 (b) (c) | 1,998,240 | ||||||||
3,000,000 | U.S. Treasury Bill, 0.41%, due 01/26/17 (b) (c) | 2,994,990 | ||||||||
5,500,000 | U.S. Treasury Bill, 0.44%, due 02/02/17 (b) (c) | 5,489,819 | ||||||||
5,000,000 | U.S. Treasury Bill, 0.44%, due 02/09/17 (b) (c) | 4,990,200 | ||||||||
500,000 | U.S. Treasury Bill, 0.45%, due 02/16/17 (b) | 498,969 | ||||||||
|
| |||||||||
Total U.S. Government | 15,972,218 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $16,837,589) | 16,837,229 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.4% (Cost $251,231,626) | 267,825,417 | |||||||||
Other Assets and Liabilities (net) — 0.6% | 1,635,291 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $269,460,708 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2016 is as follows:
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount | Net Unrealized Appreciation (Depreciation) | ||||||||
Sales | ||||||||||||
464 | Russell 2000 Mini | September 2016 | $ | 57,480,320 | $ | (3,756,548 | ) | |||||
1,540 | S&P 500 E-Mini Index | September 2016 | 167,051,500 | (5,978,072 | ) | |||||||
|
|
|
| |||||||||
$ | 224,531,820 | $ | (9,734,620 | ) | ||||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. Sales - Fund is short the futures contract. |
As of August 31, 2016, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
* | Non-income producing security. |
(a) | Security valued at the local price and adjusted by applying a premium or discount since holding exceeds foreign ownership limits. |
(b) | The rate shown represents yield-to-maturity. |
(c) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 71.
14 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 49.2 | % | ||
Debt Obligations | 31.2 | |||
Short-Term Investments | 16.1 | |||
Preferred Stocks | 1.4 | |||
Forward Currency Contracts | 0.4 | |||
Investment Funds | 0.1 | |||
Futures Contracts | 0.1 | |||
Swap Contracts | 0.1 | |||
Loan Participations | 0.1 | |||
Options Purchased | 0.1 | |||
Rights/Warrants | 0.0 | ^ | ||
Loan Assignments | 0.0 | ^ | ||
Written Options/Credit Linked Options | (0.0 | )^ | ||
Reverse Repurchase Agreements | (0.0 | )^ | ||
Securities Sold Short | (1.6 | ) | ||
Other | 2.8 | |||
|
| |||
100.0 | % | |||
|
|
Country/Region Summary¤ | Debt Obligations as a % of Total Net Assets | |||
United States | 5.5 | % | ||
Other Emerging | 4.9 | † | ||
Mexico | 1.8 | |||
New Zealand | 1.0 | |||
Sweden | 1.0 | |||
Other Developed | (1.0 | )‡ | ||
Euro Region | 0.0 | ±^ | ||
|
| |||
13.2 | % | |||
|
|
Country/Region Summary¤ | Equity Investments as a % of Total Net Assets | |||
United States | 17.4 | % | ||
Other Developed | 5.1 | ‡ | ||
China | 4.4 | |||
Other Emerging | 4.0 | † | ||
Japan | 3.3 | |||
South Korea | 2.9 | |||
United Kingdom | 2.6 | |||
Taiwan | 2.5 | |||
Brazil | 1.8 | |||
Germany | 1.7 | |||
France | 1.2 | |||
South Africa | 1.2 | |||
Netherlands | 1.1 | |||
|
| |||
49.2 | % | |||
|
|
& | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. |
¤ | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency |
options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security. The tables are not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets. |
± | “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country. |
^ | Rounds to 0.0%. |
15
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
MUTUAL FUNDS — 100.0% | ||||||||||
United States — 100.0% | ||||||||||
Affiliated Issuers — 100.0% | ||||||||||
28,956,293 | GMO Debt Opportunities Fund, Class VI | 733,462,905 | ||||||||
22,552,829 | GMO Emerging Country Debt Fund, Class IV | 678,163,582 | ||||||||
952,958,711 | GMO Implementation Fund | 12,159,753,156 | ||||||||
21,349,554 | GMO SGM Major Markets Fund, Class VI | 750,650,316 | ||||||||
37,582,317 | GMO Special Opportunities Fund, Class VI | 757,283,678 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $15,079,971,943) | 15,079,313,637 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
Money Market Funds — 0.1% | ||||||||||
9,339,107 | State Street Institutional Treasury Money Market Fund-Premier Class, 0.19% (a) | 9,339,107 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $9,339,107) | 9,339,107 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.1% (Cost $15,089,311,050) | 15,088,652,744 | |||||||||
Other Assets and Liabilities (net) — (0.1%) | (8,341,911 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $15,080,310,833 | |||||||||
|
|
Notes to Schedule of Investments:
(a) | The rate disclosed is the 7 day net yield as of August 31, 2016. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 71.
16 | See accompanying notes to the financial statements. |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 52.5 | % | ||
Debt Obligations | 29.6 | |||
Short-Term Investments | 14.4 | |||
Preferred Stocks | 1.6 | |||
Forward Currency Contracts | 0.3 | |||
Investment Funds | 0.2 | |||
Futures Contracts | 0.1 | |||
Loan Participations | 0.1 | |||
Rights/Warrants | 0.1 | |||
Loan Assignments | 0.0 | ^ | ||
Options Purchased | 0.0 | ^ | ||
Written/Credit Linked Options | (0.0 | )^ | ||
Reverse Repurchase Agreements | (0.0 | )^ | ||
Swap Contracts | (0.1 | ) | ||
Other | 1.2 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | Debt Obligations as a % of Total Net Assets | |||
United States | 16.3 | % | ||
Other Emerging | 11.5 | † | ||
Mexico | 3.0 | |||
Russia | 1.7 | |||
Brazil | 1.4 | |||
Venezuela | 1.3 | |||
Argentina | 1.2 | |||
Turkey | 1.2 | |||
Indonesia | 1.1 | |||
Other Developed | 0.0 | ‡^ | ||
|
| |||
38.7 | % | |||
|
| |||
Country/Region Summary¤ | Equity Investments as a % of Total Net Assets | |||
United States | 16.8 | % | ||
Other Developed | 5.7 | ‡ | ||
China | 4.4 | |||
Japan | 4.0 | |||
Taiwan | 3.9 | |||
South Korea | 3.5 | |||
United Kingdom | 3.0 | |||
Other Emerging | 2.3 | † | ||
Germany | 2.0 | |||
India | 2.0 | |||
Russia | 1.6 | |||
France | 1.6 | |||
Brazil | 1.5 | |||
Netherlands | 1.1 | |||
South Africa | 1.0 | |||
|
| |||
54.4 | % | |||
|
|
& | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. |
¤ | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through the use of certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security. The tables are not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%. |
† | ���Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets. |
# | “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country. |
^ | Rounds to 0.0%. |
17
GMO Benchmark-Free Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 37.8% | ||||||||||
Australia — 0.8% | ||||||||||
97,731 | Abacus Property Group (REIT) | 221,420 | ||||||||
277,097 | Adelaide Brighton Ltd | 1,091,700 | ||||||||
4,960 | ASX Ltd | 190,422 | ||||||||
127,569 | BlueScope Steel Ltd | 831,801 | ||||||||
35,810 | BT Investment Management Ltd | 237,752 | ||||||||
21,672 | CIMIC Group Ltd | 481,262 | ||||||||
3,986 | Credit Corp Group Ltd | 49,685 | ||||||||
50,154 | CSR Ltd | 129,838 | ||||||||
298,189 | Dexus Property Group (REIT) | 2,175,152 | ||||||||
293,587 | Downer EDI Ltd | 1,079,209 | ||||||||
795,070 | Fairfax Media Ltd | 587,736 | ||||||||
5,919 | Flight Centre Travel Group Ltd | 163,697 | ||||||||
457,132 | GPT Group (The) (REIT) | 1,828,480 | ||||||||
235,316 | Investa Office Fund (REIT) | 805,509 | ||||||||
14,541 | IOOF Holdings Ltd | 97,218 | ||||||||
74,116 | LendLease Group | 768,017 | ||||||||
1,636,275 | Mirvac Group (REIT) | 2,847,871 | ||||||||
111,599 | Nine Entertainment Co Holdings Ltd | 83,738 | ||||||||
368,163 | OZ Minerals Ltd | 1,766,293 | ||||||||
13,425 | Pact Group Holdings Ltd | 61,969 | ||||||||
15,737 | Premier Investments Ltd | 194,170 | ||||||||
1,636,733 | Scentre Group (REIT) | 6,106,129 | ||||||||
178,590 | Shopping Centres Australasia Property Group (REIT) | 309,582 | ||||||||
158,229 | Sonic Healthcare Ltd | 2,731,413 | ||||||||
428,326 | Star Entertainment Grp Ltd (The) | 1,896,510 | ||||||||
551,408 | Stockland (REIT) | 2,007,412 | ||||||||
1,593,590 | Telstra Corp Ltd | 6,292,954 | ||||||||
166,095 | Westfield Corp (REIT) | 1,273,939 | ||||||||
101,384 | WorleyParsons Ltd * | 617,563 | ||||||||
|
| |||||||||
Total Australia | 36,928,441 | |||||||||
|
| |||||||||
Austria — 0.1% | ||||||||||
13,785 | Oesterreichische Post AG * | 495,132 | ||||||||
94,528 | OMV AG | 2,648,698 | ||||||||
29,796 | voestalpine AG | 987,510 | ||||||||
|
| |||||||||
Total Austria | 4,131,340 | |||||||||
|
| |||||||||
Belgium — 0.1% | ||||||||||
49,159 | Ageas | 1,704,634 | ||||||||
93,967 | AGFA-Gevaert NV * | 297,996 | ||||||||
46,735 | bpost SA | 1,189,340 | ||||||||
7,290 | D’Ieteren SA NV | 352,289 | ||||||||
2,104 | Groupe Bruxelles Lambert SA | 184,784 | ||||||||
2,134 | Melexis NV | 139,953 | ||||||||
9,564 | Orange Belgium SA * | 222,925 | ||||||||
14,831 | Proximus SADP | 454,233 | ||||||||
15,431 | Umicore SA | 912,079 | ||||||||
|
| |||||||||
Total Belgium | 5,458,233 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Brazil — 0.3% | ||||||||||
427,500 | Ambev SA | 2,540,482 | ||||||||
200,000 | Banco do Brasil SA | 1,437,508 | ||||||||
242,700 | BB Seguridade Participacoes SA | 2,190,854 | ||||||||
616,750 | BM&FBovespa SA – Bolsa de Valores Mercadorias e Futuros | 3,420,659 | ||||||||
396,978 | EDP-Energias do Brasil SA | 1,757,954 | ||||||||
18,800 | Grendene SA | 104,619 | ||||||||
191,100 | Transmissora Alianca de Energia Eletrica SA | 1,372,947 | ||||||||
|
| |||||||||
Total Brazil | 12,825,023 | |||||||||
|
| |||||||||
Canada — 0.8% | ||||||||||
80,000 | Air Canada * | 546,591 | ||||||||
3,300 | Alimentation Couche-Tard Inc – Class B | 170,184 | ||||||||
27,300 | Bank of Montreal | 1,810,702 | ||||||||
22,800 | BCE Inc | 1,064,760 | ||||||||
150,900 | BCE Inc | 7,050,208 | ||||||||
16,900 | Canadian Imperial Bank of Commerce | 1,341,536 | ||||||||
12,800 | Canadian National Railway Co | 822,522 | ||||||||
17,900 | Canadian Tire Corp Ltd – Class A | 1,833,542 | ||||||||
5,700 | Cascades Inc | 48,507 | ||||||||
38,500 | Celestica Inc * | 410,424 | ||||||||
33,300 | CGI Group Inc – Class A * | 1,620,817 | ||||||||
123,400 | CI Financial Corp | 2,415,493 | ||||||||
8,100 | Cogeco Communications Inc | 391,906 | ||||||||
17,600 | Corus Entertainment Inc – B Shares | 164,941 | ||||||||
48,100 | IAMGOLD Corp * | 177,970 | ||||||||
176,700 | IAMGOLD Corp * | 656,191 | ||||||||
900 | Laurentian Bank of Canada | 33,738 | ||||||||
6,600 | Linamar Corp | 272,375 | ||||||||
20,100 | Magna International Inc | 809,426 | ||||||||
169,700 | Metro Inc | 5,763,640 | ||||||||
1,900 | National Bank of Canada | 66,777 | ||||||||
21,700 | Power Corp of Canada | 458,688 | ||||||||
26,300 | Royal Bank of Canada | 1,635,076 | ||||||||
133,000 | Sun Life Financial Inc | 4,196,691 | ||||||||
40,400 | Toromont Industries Ltd | 1,222,413 | ||||||||
56,100 | Toronto-Dominion Bank (The) | 2,503,410 | ||||||||
56,000 | Transcontinental Inc – Class A | 819,887 | ||||||||
13,930 | WestJet Airlines Ltd | 257,058 | ||||||||
|
| |||||||||
Total Canada | 38,565,473 | |||||||||
|
| |||||||||
China — 2.3% | ||||||||||
388,000 | Agile Group Holdings Ltd | 220,089 | ||||||||
737,500 | Anhui Conch Cement Co Ltd – Class H | 2,065,604 | ||||||||
152,000 | Anhui Expressway Co Ltd – Class H | 124,835 | ||||||||
522,000 | ANTA Sports Products Ltd | 1,409,647 | ||||||||
1,094,000 | Beijing Capital International Airport Co Ltd – Class H | 1,231,591 | ||||||||
948,000 | Beijing Capital Land Ltd – Class H | 369,555 | ||||||||
5,187,000 | Belle International Holdings Ltd | 3,362,155 |
18 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
12,300 | Changyou.com Ltd ADR * | 304,794 | ||||||||
2,158,000 | China BlueChemical Ltd – Class H | 410,926 | ||||||||
1,932,000 | China Communications Services Corp Ltd – Class H | 1,134,094 | ||||||||
1,372,000 | China Everbright Ltd | 2,839,313 | ||||||||
3,982,000 | China Jinmao Holdings Group Ltd | 1,238,854 | ||||||||
1,123,000 | China Lesso Group Holdings Ltd | 787,251 | ||||||||
1,486,000 | China Machinery Engineering Corp – Class H | 902,442 | ||||||||
168,500 | China Mobile Ltd | 2,075,754 | ||||||||
132,400 | China Mobile Ltd Sponsored ADR | 8,038,004 | ||||||||
6,226,000 | China National Building Material Co Ltd – Class H | 2,801,505 | ||||||||
1,063,000 | China National Materials Co Ltd – Class H | 256,834 | ||||||||
56,000 | China Overseas Land & Investment Ltd | 184,441 | ||||||||
5,986,000 | China Petroleum & Chemical Corp – Class H | 4,278,477 | ||||||||
957,500 | China Railway Construction Corp Ltd – Class H | 1,168,541 | ||||||||
724,000 | China Resources Land Ltd | 2,031,677 | ||||||||
2,096,000 | China Resources Power Holdings Co Ltd | 3,610,217 | ||||||||
7,302,000 | China Telecom Corp Ltd – Class H | 3,762,501 | ||||||||
3,080,000 | China Travel International Investment Hong Kong Ltd | 903,256 | ||||||||
1,181,500 | China ZhengTong Auto Services Holdings Ltd | 410,152 | ||||||||
1,734,000 | CIFI Holdings Group Co Ltd | 541,969 | ||||||||
3,702,000 | CNOOC Ltd | 4,466,174 | ||||||||
3,276,000 | Country Garden Holdings Co Ltd | 1,660,307 | ||||||||
3,488,000 | Datang International Power Generation Co Ltd – Class H | 911,172 | ||||||||
1,172,000 | Dongfeng Motor Group Co Ltd – Class H | 1,249,184 | ||||||||
463,000 | Far East Horizon Ltd | 431,617 | ||||||||
1,549,000 | Greentown China Holdings Ltd * | 1,261,871 | ||||||||
2,238,000 | Guangdong Investment Ltd | 3,455,828 | ||||||||
1,836,400 | Guangzhou R&F Properties Co Ltd – Class H | 3,094,904 | ||||||||
2,771,000 | Huabao International Holdings Ltd * | 1,066,167 | ||||||||
2,666,000 | Huadian Power International Corp Ltd – Class H | 1,190,241 | ||||||||
1,200,000 | Huaneng Power International Inc – Class H | 731,174 | ||||||||
1,328,000 | Jiangsu Expressway Co Ltd – Class H | 1,863,614 | ||||||||
669,000 | Kingboard Chemical Holdings Ltd | 1,739,540 | ||||||||
1,808,500 | KWG Property Holding Ltd | 1,211,078 | ||||||||
2,083,000 | Lee & Man Paper Manufacturing Ltd | 1,677,781 | ||||||||
520,500 | Longfor Properties Co Ltd | 836,815 | ||||||||
2,585,000 | People’s Insurance Co Group of China Ltd (The) – Class H | 1,035,384 | ||||||||
2,372,000 | PICC Property & Casualty Co Ltd – Class H | 3,903,841 | ||||||||
2,016,000 | Poly Property Group Co Ltd * | 575,193 | ||||||||
355,000 | Shanghai Industrial Holdings Ltd | 922,551 | ||||||||
298,200 | Shanghai Pharmaceuticals Holding Co Ltd – Class H | 817,253 | ||||||||
1,300,000 | Shenzhen Expressway Co Ltd – Class H | 1,372,418 | ||||||||
956,500 | Shenzhen International Holdings Ltd | 1,532,859 | ||||||||
1,335,500 | Shimao Property Holdings Ltd | 1,853,516 | ||||||||
1,469,000 | Sino Biopharmaceutical Ltd | 940,880 |
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
2,825,500 | Sino-Ocean Group Holding Ltd | 1,308,164 | ||||||||
1,831,500 | Sinopec Engineering Group Co Ltd – Class H | 1,515,493 | ||||||||
605,500 | Sinotruk Hong Kong Ltd | 295,906 | ||||||||
3,590,000 | Skyworth Digital Holdings Ltd | 2,652,827 | ||||||||
2,067,500 | SOHO China Ltd | 1,232,461 | ||||||||
53,545 | Sohu.com Inc * | 2,277,804 | ||||||||
706,000 | Tianjin Port Development Holdings Ltd | 109,010 | ||||||||
764,000 | Tianneng Power International Ltd | 627,546 | ||||||||
1,453,000 | TravelSky Technology Ltd – Class H | 3,149,519 | ||||||||
520,000 | Xinhua Winshare Publishing and Media Co Ltd – Class H * | 528,155 | ||||||||
1,145,500 | XTEP International Holdings Ltd | 590,992 | ||||||||
5,344,000 | Yuexiu Property Co Ltd | 811,026 | ||||||||
1,274,000 | Yuexiu Real Estate Investment Trust | 835,311 | ||||||||
496,000 | Yuexiu Transport Infrastructure Ltd | 343,708 | ||||||||
1,926,000 | Zhejiang Expressway Co Ltd – Class H | 2,145,135 | ||||||||
|
| |||||||||
Total China | 104,688,897 | |||||||||
|
| |||||||||
Czech Republic — 0.1% | ||||||||||
94,952 | CEZ AS | 1,657,363 | ||||||||
21,015 | Komercni Banka as | 710,720 | ||||||||
|
| |||||||||
Total Czech Republic | 2,368,083 | |||||||||
|
| |||||||||
Denmark — 0.1% | ||||||||||
849 | AP Moeller – Maersk A/S – Class B | 1,270,071 | ||||||||
21,180 | Carlsberg A/S – Class B | 1,988,189 | ||||||||
902 | Dfds A/S | 47,562 | ||||||||
18,400 | Novo Nordisk A/S Sponsored ADR | 859,648 | ||||||||
|
| |||||||||
Total Denmark | 4,165,470 | |||||||||
|
| |||||||||
Finland — 0.2% | ||||||||||
1,567 | Cramo Oyj | 40,902 | ||||||||
11,479 | Fortum Oyj | 177,074 | ||||||||
14,464 | Metso Oyj | 404,908 | ||||||||
78,420 | Neste Oyj | 3,266,366 | ||||||||
67,702 | Sponda Oyj | 353,509 | ||||||||
79,067 | Stora Enso Oyj – R Shares | 697,848 | ||||||||
9,631 | Tieto Oyj | 287,416 | ||||||||
142,244 | UPM-Kymmene Oyj | 2,859,100 | ||||||||
|
| |||||||||
Total Finland | 8,087,123 | |||||||||
|
| |||||||||
France — 1.6% | ||||||||||
62,974 | Air France-KLM * | 346,626 | ||||||||
4,334 | Alten SA | 297,849 | ||||||||
10,720 | APERAM SA | 443,910 | ||||||||
704,237 | AXA SA | 14,822,266 | ||||||||
132,830 | BNP Paribas SA | 6,783,692 | ||||||||
23,601 | Capgemini SA | 2,306,043 | ||||||||
22,965 | Christian Dior SE | 3,979,621 |
See accompanying notes to the financial statements. | 19 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
France — continued | ||||||||||
33,001 | Cie Generale des Etablissements Michelin | 3,517,786 | ||||||||
34,051 | CNP Assurances | 549,260 | ||||||||
2,901 | Euler Hermes Group | 240,049 | ||||||||
5,026 | Ipsen SA | 326,683 | ||||||||
9,758 | Legrand SA | 586,221 | ||||||||
23,769 | LVMH Moet Hennessy Louis Vuitton SE | 4,021,922 | ||||||||
24,898 | M6-Metropole Television SA | 442,205 | ||||||||
5,671 | Nexity SA * | 297,601 | ||||||||
55,149 | Rexel SA | 888,366 | ||||||||
60,901 | SCOR SE | 1,796,894 | ||||||||
96,201 | Societe Generale SA | 3,512,271 | ||||||||
9,260 | Societe BIC SA | 1,353,114 | ||||||||
11,900 | Suez | 180,443 | ||||||||
514,648 | TOTAL SA | 24,588,021 | ||||||||
35,130 | Vivendi SA | 680,423 | ||||||||
|
| |||||||||
Total France | 71,961,266 | |||||||||
|
| |||||||||
Germany — 1.7% | ||||||||||
56,930 | ADVA Optical Networking SE * | 485,767 | ||||||||
78,843 | Allianz SE (Registered) | 11,720,566 | ||||||||
9,175 | Aurubis AG | 483,096 | ||||||||
182,410 | BASF SE | 14,796,287 | ||||||||
59,321 | Bayerische Motoren Werke AG | 5,154,567 | ||||||||
2,049 | Bechtle AG (Registered) | 228,615 | ||||||||
295,619 | Daimler AG (Registered Shares) | 20,463,014 | ||||||||
3,414 | Deutsche EuroShop AG | 157,000 | ||||||||
297,918 | Deutsche Lufthansa AG (Registered) | 3,465,581 | ||||||||
202,271 | Deutsche Telekom AG (Registered) | 3,374,148 | ||||||||
161 | Duerr AG | 13,595 | ||||||||
38,882 | Evonik Industries AG | 1,304,663 | ||||||||
12,197 | Fraport AG Frankfurt Airport Services Worldwide | 679,715 | ||||||||
22,800 | Freenet AG | 654,116 | ||||||||
18,948 | Hannover Rueck SE | 1,937,033 | ||||||||
16,556 | HeidelbergCement AG | 1,536,381 | ||||||||
634 | Indus Holding AG | 34,186 | ||||||||
10,573 | Jenoptik AG | 192,077 | ||||||||
64,192 | K+S AG (Registered) | 1,341,637 | ||||||||
4,971 | Leoni AG | 183,920 | ||||||||
20,112 | Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 3,631,846 | ||||||||
57,288 | ProSiebenSat.1 Media SE | 2,471,765 | ||||||||
17,203 | RHOEN-KLINIKUM AG | 508,584 | ||||||||
6,971 | RTL Group SA | 586,843 | ||||||||
1,641 | SAF-Holland SA | 18,833 | ||||||||
16,603 | SAP AG | 1,458,074 | ||||||||
37,776 | Software AG | 1,501,942 | ||||||||
27,001 | STADA Arzneimittel AG | 1,447,987 | ||||||||
2,276 | Talanx AG | 66,623 | ||||||||
|
| |||||||||
Total Germany | 79,898,461 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Hong Kong — 0.6% | ||||||||||
900,900 | BOC Hong Kong Holdings Ltd | 3,145,380 | ||||||||
389,400 | Champion (REIT) | 248,080 | ||||||||
70,500 | CK Hutchison Holdings Ltd | 904,546 | ||||||||
184,500 | Dah Sing Banking Group Ltd | 338,568 | ||||||||
37,000 | Dah Sing Financial Holdings Ltd | 249,598 | ||||||||
388,200 | Esprit Holdings Ltd * | 342,862 | ||||||||
11,800 | Hang Seng Bank Ltd | 206,664 | ||||||||
170,170 | Henderson Land Development Co Ltd | 992,860 | ||||||||
381,000 | Hongkong Land Holdings Ltd | 2,469,372 | ||||||||
222,100 | Hysan Development Co Ltd | 1,070,900 | ||||||||
403,300 | Kerry Properties Ltd | 1,171,275 | ||||||||
507,900 | Link (REIT) | 3,689,343 | ||||||||
89,800 | Luk Fook Holdings International Ltd | 204,709 | ||||||||
562,800 | Man Wah Holdings Ltd | 381,875 | ||||||||
29,700 | New World Development Co Ltd | 37,140 | ||||||||
276,000 | Pacific Textiles Holdings Ltd | 362,689 | ||||||||
364,300 | PCCW Ltd | 230,856 | ||||||||
524,000 | Shun Tak Holdings Ltd | 172,585 | ||||||||
203,500 | Sino Land Co Ltd | 347,800 | ||||||||
1,372,900 | SJM Holdings Ltd | 861,301 | ||||||||
246,300 | SmarTone Telecommunications Holdings Ltd | 406,088 | ||||||||
233,800 | Sun Hung Kai Properties Ltd | 3,284,486 | ||||||||
152,000 | Swire Pacific Ltd – Class A | 1,676,864 | ||||||||
81,600 | Swire Properties Ltd | 229,505 | ||||||||
115,000 | Techtronic Industries Co Ltd | 465,834 | ||||||||
52,100 | Television Broadcasts Ltd | 185,795 | ||||||||
188,600 | Texwinca Holdings Ltd | 134,818 | ||||||||
110,800 | Value Partners Group Ltd | 101,812 | ||||||||
344,100 | Wharf Holdings Ltd (The) | 2,425,054 | ||||||||
214,500 | Wheelock & Co Ltd | 1,224,819 | ||||||||
55,425 | Xinyi Automobile Glass Hong Kong Enterprises Ltd * | 11,432 | ||||||||
443,400 | Xinyi Glass Holdings Ltd * | 381,157 | ||||||||
136,900 | Yue Yuen Industrial Holdings Ltd | 581,941 | ||||||||
|
| |||||||||
Total Hong Kong | 28,538,008 | |||||||||
|
| |||||||||
Hungary — 0.0% | ||||||||||
328,360 | Magyar Telekom Telecommunications Plc | 512,002 | ||||||||
6,821 | MOL Hungarian Oil & Gas Plc | 425,759 | ||||||||
31,656 | OTP Bank Plc | 826,428 | ||||||||
|
| |||||||||
Total Hungary | 1,764,189 | |||||||||
|
| |||||||||
India — 0.5% | ||||||||||
162,931 | Bharat Petroleum Corp Ltd | 1,462,403 | ||||||||
310,405 | Canara Bank * | 1,295,208 | ||||||||
629,161 | Housing Development & Infrastructure Ltd * | 870,413 | ||||||||
131,824 | Indiabulls Housing Finance Ltd | 1,609,490 | ||||||||
633,124 | Infosys Ltd Sponsored ADR | 10,041,347 | ||||||||
10,028 | Mindtree Ltd | 83,862 | ||||||||
16,554 | NIIT Technologies Ltd | 98,872 |
20 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
384,928 | Power Finance Corp Ltd Bonus Shares * | 666,741 | ||||||||
384,928 | Power Finance Corp | 711,955 | ||||||||
541,645 | Rural Electrification Corp Ltd | 1,930,450 | ||||||||
389,600 | Syndicate Bank * | 446,616 | ||||||||
50,812 | Tata Consultancy Services Ltd | 1,907,753 | ||||||||
190,800 | Wipro Ltd ADR | 1,969,056 | ||||||||
|
| |||||||||
Total India | 23,094,166 | |||||||||
|
| |||||||||
Ireland — 0.0% | ||||||||||
58,821 | Smurfit Kappa Group Plc | 1,451,846 | ||||||||
|
| |||||||||
Israel — 0.4% | ||||||||||
408,286 | Bank Hapoalim BM | 2,192,152 | ||||||||
610,629 | Bank Leumi Le-Israel BM * | 2,288,204 | ||||||||
527,456 | Bezeq The Israeli Telecommunication Corp Ltd | 1,060,149 | ||||||||
104,100 | Check Point Software Technologies Ltd * | 7,988,634 | ||||||||
2,211 | Frutarom Industries Ltd | 116,697 | ||||||||
30,343 | Harel Insurance Investments & Financial Services Ltd | 109,760 | ||||||||
619,638 | Israel Discount Bank Ltd – Class A * | 1,118,981 | ||||||||
25,398 | Mizrahi Tefahot Bank Ltd | 306,576 | ||||||||
62,731 | Teva Pharmaceutical Industries Ltd | 3,177,578 | ||||||||
29,100 | Teva Pharmaceutical Industries Ltd Sponsored ADR | 1,466,349 | ||||||||
|
| |||||||||
Total Israel | 19,825,080 | |||||||||
|
| |||||||||
Italy — 0.3% | ||||||||||
474,276 | A2A SPA | 629,443 | ||||||||
17,658 | ACEA SPA | 230,186 | ||||||||
49,125 | Amplifon SPA | 516,714 | ||||||||
6,949 | ASTM SPA | 79,483 | ||||||||
266,138 | Banca Mediolanum SPA | 1,848,961 | ||||||||
9,774 | De’ Longhi SPA | 242,455 | ||||||||
339,887 | Enel SPA | 1,501,938 | ||||||||
242,089 | Eni SPA | 3,654,602 | ||||||||
11,450 | ERG SPA | 127,750 | ||||||||
38,543 | EXOR SPA | 1,584,834 | ||||||||
351,814 | Hera SPA | 975,297 | ||||||||
111,416 | Iren SPA | 183,425 | ||||||||
5,884 | Italmobiliare SPA – RSP | 242,822 | ||||||||
11,157 | MARR SPA | 214,900 | ||||||||
64,176 | Poste Italiane SPA | 447,525 | ||||||||
67,453 | Recordati SPA | 2,041,564 | ||||||||
2,156 | Reply SPA | 265,858 | ||||||||
78,587 | Snam SPA | 436,191 | ||||||||
58,879 | Societa Cattolica di Assicurazioni SCRL | 341,208 | ||||||||
26,703 | Societa Iniziative Autostradali e Servizi SPA | 259,347 | ||||||||
134,589 | Telecom Italia SPA-Di RISP * | 98,694 | ||||||||
|
| |||||||||
Total Italy | 15,923,197 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Japan — 4.0% | ||||||||||
3,800 | Adastria Co Ltd | 84,656 | ||||||||
36,700 | Aisin Seiki Co Ltd | 1,736,004 | ||||||||
40,800 | Alfresa Holdings Corp | 762,149 | ||||||||
10,000 | Alpine Electronics Inc | 120,519 | ||||||||
24,800 | AOKI Holdings Inc | 255,852 | ||||||||
14,100 | Aoyama Trading Co Ltd | 457,991 | ||||||||
18,200 | Asahi Glass Co Ltd | 115,885 | ||||||||
175,100 | Asahi Kasei Corp | 1,479,314 | ||||||||
5,700 | Asatsu-DK Inc | 139,896 | ||||||||
11,200 | Autobacs Seven Co Ltd | 155,274 | ||||||||
17,900 | Bridgestone Corp | 615,634 | ||||||||
6,600 | Brother Industries Ltd | 111,011 | ||||||||
119,100 | Calsonic Kansei Corp | 938,440 | ||||||||
167,800 | Canon Inc | 4,811,778 | ||||||||
1,600 | Cawachi Ltd | 35,412 | ||||||||
27,000 | Central Glass Co Ltd | 103,756 | ||||||||
37,000 | Central Japan Railway Co | 6,084,329 | ||||||||
8,800 | Century Tokyo Leasing Corp | 330,899 | ||||||||
53,000 | Chiba Bank Ltd (The) | 314,803 | ||||||||
16,800 | Coca-Cola West Co Ltd | 381,032 | ||||||||
12,700 | Concordia Financial Group Ltd * | 65,660 | ||||||||
31,800 | Cosmo Energy Holdings Co Ltd | 332,011 | ||||||||
22,800 | Daicel Corp | 291,352 | ||||||||
6,600 | Daiichikosho Co Ltd | 255,833 | ||||||||
22,700 | Daiichi Sankyo Co Ltd | 521,521 | ||||||||
36,200 | Daikyo Inc | 57,475 | ||||||||
7,400 | Daito Trust Construction Co Ltd | 1,090,055 | ||||||||
52,300 | Daiwa House Industry Co Ltd | 1,351,134 | ||||||||
61,500 | DCM Holdings Co Ltd | 468,763 | ||||||||
185,800 | Denka Co Ltd | 785,497 | ||||||||
6,700 | Descente Ltd | 74,959 | ||||||||
2,900 | Doutor Nichires Holdings Co Ltd | 51,275 | ||||||||
1,700 | DTS Corp | 35,001 | ||||||||
4,200 | Exedy Corp | 104,280 | ||||||||
63,400 | Fuji Heavy Industries Ltd | 2,523,459 | ||||||||
6,500 | Fuji Oil Holdings Inc | 126,368 | ||||||||
166,300 | FujiFilm Holdings Corp | 6,257,929 | ||||||||
14,300 | Fujitsu General Ltd | 290,896 | ||||||||
5,300 | Fuyo General Lease Co Ltd | 249,724 | ||||||||
22,500 | Gunze Ltd | 66,390 | ||||||||
4,400 | H2O Retailing Corp | 59,975 | ||||||||
65,300 | Hanwa Co Ltd | 364,724 | ||||||||
31,600 | Haseko Corp | 299,521 | ||||||||
7,800 | Hitachi Capital Corp | 162,547 | ||||||||
25,200 | Hitachi Chemical Co Ltd | 544,012 | ||||||||
46,100 | Hokuhoku Financial Group Inc | 63,839 | ||||||||
2,500 | Honda Motor Co Ltd | 77,015 | ||||||||
4,300 | Horiba Ltd | 200,060 | ||||||||
26,400 | Hyakugo Bank Ltd (The) | 97,076 | ||||||||
21,700 | Idemitsu Kosan Co Ltd | 395,424 |
See accompanying notes to the financial statements. | 21 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
27,300 | Isuzu Motors Ltd | 314,872 | ||||||||
908,000 | ITOCHU Corp | 10,722,485 | ||||||||
3,600 | Jafco Co Ltd | 105,103 | ||||||||
153,500 | Japan Airlines Co Ltd | 4,685,144 | ||||||||
90,600 | K’s Holdings Corp | 1,430,622 | ||||||||
107,400 | Kaneka Corp | 877,154 | ||||||||
296,000 | Kanematsu Corp | 435,179 | ||||||||
11,100 | Kawasaki Kisen Kaisha Ltd | 28,062 | ||||||||
689,100 | KDDI Corp | 20,145,582 | ||||||||
13,300 | Keihin Corp | 204,515 | ||||||||
523,900 | Kobe Steel Ltd | 486,997 | ||||||||
5,100 | Kohnan Shoji Co Ltd | 92,776 | ||||||||
1,800 | Koito Manufacturing Co Ltd | 85,938 | ||||||||
3,100 | Kokuyo Co Ltd | 42,845 | ||||||||
53,500 | Konica Minolta Inc | 483,301 | ||||||||
71,700 | Kuraray Co Ltd | 1,026,023 | ||||||||
240,900 | Marubeni Corp | 1,202,163 | ||||||||
73,900 | Medipal Holdings Corp | 1,170,424 | ||||||||
257,200 | Mitsubishi Chemical Holdings Corp | 1,627,550 | ||||||||
303,000 | Mitsubishi Electric Corp | 3,965,195 | ||||||||
7,600 | Mitsubishi Tanabe Pharma Corp | 141,082 | ||||||||
2,341,200 | Mitsubishi UFJ Financial Group Inc | 12,896,559 | ||||||||
36,300 | Mitsubishi UFJ Lease & Finance Co Ltd | 170,465 | ||||||||
166,400 | Mitsui & Co Ltd | 2,215,620 | ||||||||
151,000 | Mitsui Chemicals Inc | 723,948 | ||||||||
434,000 | Mitsui Engineering & Shipbuilding Co Ltd | 601,555 | ||||||||
2,468,000 | Mizuho Financial Group Inc | 4,300,062 | ||||||||
24,700 | NET One Systems Co Ltd | 167,876 | ||||||||
28,700 | NHK Spring Co Ltd | 270,903 | ||||||||
13,300 | Nichiha Corp | 246,067 | ||||||||
2,300 | Nifco Inc | 115,956 | ||||||||
20,000 | Nippon Corp | 362,465 | ||||||||
15,800 | Nippon Electric Glass Co Ltd | 79,446 | ||||||||
111,700 | Nippon Light Metal Holdings Co Ltd | 237,672 | ||||||||
3,900 | Nippon Signal Co Ltd | 31,695 | ||||||||
338,200 | Nippon Telegraph & Telephone Corp | 14,870,338 | ||||||||
5,400 | Nippon Television Holdings Inc | 87,284 | ||||||||
11,300 | Nipro Corp | 140,836 | ||||||||
28,000 | Nishi-Nippon City Bank Ltd (The) | 58,312 | ||||||||
381,300 | Nissan Motor Co Ltd | 3,746,468 | ||||||||
29,000 | Nisshinbo Holdings Inc | 295,161 | ||||||||
11,600 | Nissin Electric Co Ltd | 180,567 | ||||||||
21,100 | NOK Corp | 429,662 | ||||||||
12,900 | Nomura Real Estate Holdings Inc | 210,388 | ||||||||
4,900 | NTT DOCOMO Inc | 123,574 | ||||||||
22,200 | Onward Holdings Co Ltd | 156,252 | ||||||||
10,100 | Open House Co Ltd | 218,411 | ||||||||
91,000 | Orient Corp * | 181,504 | ||||||||
93,600 | ORIX Corp | 1,348,862 | ||||||||
343,500 | Osaka Gas Co Ltd | 1,353,554 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
131,100 | Otsuka Holdings Co Ltd | 5,684,966 | ||||||||
21,500 | PanaHome Corp | 159,156 | ||||||||
7,700 | Pola Orbis Holdings Inc | 614,999 | ||||||||
18,100 | Rengo Co Ltd | 107,611 | ||||||||
269,300 | Resona Holdings Inc | 1,233,319 | ||||||||
40,100 | Ricoh Co Ltd | 362,196 | ||||||||
3,800 | San–A Co Ltd | 178,164 | ||||||||
89,500 | Sekisui Chemical Co Ltd | 1,253,160 | ||||||||
144,700 | Sekisui House Ltd | 2,334,566 | ||||||||
2,800 | Shimamura Co Ltd | 324,123 | ||||||||
31,500 | Showa Denko KK | 390,908 | ||||||||
1,167,800 | Sojitz Corp | 2,800,964 | ||||||||
296,000 | Sumitomo Chemical Co Ltd | 1,357,980 | ||||||||
58,100 | Sumitomo Forestry Co Ltd | 786,522 | ||||||||
147,200 | Sumitomo Heavy Industries Ltd | 724,076 | ||||||||
11,500 | Sumitomo Metal Mining Co Ltd | 146,167 | ||||||||
506,800 | Sumitomo Mitsui Financial Group Inc | 17,728,938 | ||||||||
175,600 | Sumitomo Mitsui Trust Holdings Inc | 630,092 | ||||||||
182,000 | Sumitomo Osaka Cement Co Ltd | 824,170 | ||||||||
61,500 | Sumitomo Rubber Industries Ltd | 914,254 | ||||||||
9,000 | Sundrug Co Ltd | 652,033 | ||||||||
24,300 | Suzuken Co Ltd | 705,565 | ||||||||
12,400 | T-Gaia Corp | 169,810 | ||||||||
35,200 | Takashimaya Co Ltd | 257,847 | ||||||||
44,800 | TIS Inc | 1,063,712 | ||||||||
9,100 | Toei Co Ltd | 68,561 | ||||||||
35,200 | Toho Holdings Co Ltd | 684,305 | ||||||||
12,300 | Tokai Rika Co Ltd | 243,978 | ||||||||
2,100 | Token Corp | 154,955 | ||||||||
1,200 | Tokyo Seimitsu Co Ltd | 31,949 | ||||||||
194,100 | Tokyo Electric Power Co Holdings Inc * | 782,288 | ||||||||
4,600 | Topre Corp | 90,483 | ||||||||
281,000 | Tosoh Corp | 1,733,658 | ||||||||
8,200 | Toyoda Gosei Co Ltd | 189,266 | ||||||||
5,000 | Toyota Boshoku Corp | 114,733 | ||||||||
73,200 | Toyota Tsusho Corp | 1,676,206 | ||||||||
6,700 | TPR Co Ltd | 171,592 | ||||||||
24,100 | TS Tech Co Ltd | 560,538 | ||||||||
4,100 | TSI Holdings Co Ltd | 22,656 | ||||||||
1,900 | Tsuruha Holdings Inc | 186,257 | ||||||||
189,900 | Ube Industries Ltd | 345,702 | ||||||||
5,600 | UKC Holdings Corp | 85,585 | ||||||||
33,700 | UNY Group Holdings Co Ltd | 333,069 | ||||||||
9,200 | Valor Holdings Co Ltd | 248,405 | ||||||||
18,000 | Wacoal Holdings Corp | 192,742 | ||||||||
11,800 | West Japan Railway Co | 676,201 | ||||||||
16,400 | Yamaguchi Financial Group Inc | 173,283 | ||||||||
23,600 | Yokohama Rubber Co Ltd (The) | 384,075 | ||||||||
8,000 | Yuasa Trading Co Ltd | 154,961 | ||||||||
|
| |||||||||
Total Japan | 182,103,629 | |||||||||
|
|
22 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Mexico — 0.3% | ||||||||||
383,778 | Alpek SA de CV | 662,803 | ||||||||
190,000 | Arca Continental SAB de CV | 1,186,272 | ||||||||
475,060 | Bolsa Mexicana de Valores SAB de CV | 861,626 | ||||||||
5,501 | Controladora Comercial Mexicana SAB de CV * | 9,539 | ||||||||
123,881 | Gruma SAB de CV – Class B | 1,646,903 | ||||||||
99,800 | Grupo Aeroportuario del Centro Norte SAB de CV | 614,349 | ||||||||
198,200 | Grupo Aeroportuario del Pacifico SAB de CV – Class B | 1,970,761 | ||||||||
55,900 | Grupo Aeroportuario del Sureste SAB de CV – Class B | 851,252 | ||||||||
106,200 | Grupo Financiero Interacciones SA de CV – Class O | 544,365 | ||||||||
171,042 | Grupo Herdez SAB de CV | 365,973 | ||||||||
720,600 | OHL Mexico SAB de CV * | 1,017,679 | ||||||||
2,068,938 | Wal-Mart de Mexico SAB de CV | 4,726,072 | ||||||||
|
| |||||||||
Total Mexico | 14,457,594 | |||||||||
|
| |||||||||
Netherlands — 0.9% | ||||||||||
14,502 | Aalberts Industries NV | 487,399 | ||||||||
29,300 | AerCap Holdings NV * | 1,171,121 | ||||||||
9,000 | AVG Technologies NV * | 223,740 | ||||||||
9,946 | Boskalis Westminster | 356,638 | ||||||||
6,090 | Corbion NV | 166,437 | ||||||||
20,927 | Heineken Holding NV | 1,686,940 | ||||||||
18,688 | Heineken NV | 1,673,723 | ||||||||
407,401 | ING Groep NV | 5,098,767 | ||||||||
355,676 | Koninklijke Ahold Delhaize NV | 8,538,627 | ||||||||
494,269 | PostNL NV * | 2,167,618 | ||||||||
40,206 | Randstad Holdings NV | 1,902,240 | ||||||||
3,840 | RELX NV | 68,114 | ||||||||
55,549 | TomTom NV * | 511,661 | ||||||||
23,200 | Unilever NV (Registered Shares) | 1,069,752 | ||||||||
226,822 | Unilever NV CVA | 10,436,331 | ||||||||
134,000 | Wolters Kluwer NV | 5,636,975 | ||||||||
|
| |||||||||
Total Netherlands | 41,196,083 | |||||||||
|
| |||||||||
New Zealand — 0.1% | ||||||||||
221,295 | Air New Zealand Ltd | 362,718 | ||||||||
41,707 | Chorus Ltd | 128,552 | ||||||||
124,623 | Fletcher Building Ltd | 957,433 | ||||||||
50,358 | Nuplex Industries Ltd | 195,420 | ||||||||
122,566 | SKY Network Television Ltd | 431,895 | ||||||||
157,711 | Spark New Zealand Ltd | 435,181 | ||||||||
|
| |||||||||
Total New Zealand | 2,511,199 | |||||||||
|
| |||||||||
Norway — 0.3% | ||||||||||
23,458 | Bakkafrost P/F | 841,615 | ||||||||
56,039 | BW LPG Ltd | 147,711 | ||||||||
88,461 | DNB ASA | 1,072,792 | ||||||||
315,786 | Orkla ASA | 2,889,914 |
Shares | Description | Value ($) | ||||||||
Norway — continued | ||||||||||
8,236 | Salmar ASA | 227,926 | ||||||||
183,595 | Statoil ASA | 2,880,205 | ||||||||
105,079 | Storebrand ASA* | 443,792 | ||||||||
53,973 | Subsea 7 SA* | 583,634 | ||||||||
129,492 | Telenor ASA | 2,258,219 | ||||||||
38,069 | Yara International ASA | 1,348,138 | ||||||||
|
| |||||||||
Total Norway | 12,693,946 | |||||||||
|
| |||||||||
Poland — 0.1% | ||||||||||
35,475 | Asseco Poland SA | 517,592 | ||||||||
197,873 | Bank Millennium SA * | 293,257 | ||||||||
152,122 | Enea SA * | 384,244 | ||||||||
88,484 | KGHM Polska Miedz SA | 1,658,641 | ||||||||
42,077 | Polski Koncern Naftowy ORLEN SA | 700,373 | ||||||||
1,693,334 | Tauron Polska Energia SA * | 1,204,311 | ||||||||
|
| |||||||||
Total Poland | 4,758,418 | |||||||||
|
| |||||||||
Portugal — 0.0% | ||||||||||
102,571 | CTT-Correios de Portugal SA | 753,403 | ||||||||
8,900 | Navigator Co SA (The) | 29,531 | ||||||||
11,146 | REN – Redes Energeticas Nacionais SGPS SA | 32,574 | ||||||||
|
| |||||||||
Total Portugal | 815,508 | |||||||||
|
| |||||||||
Russia — 0.3% | ||||||||||
442,400 | Aeroflot PJSC * | 669,177 | ||||||||
2,533,056 | Gazprom PJSC Sponsored ADR | 10,241,959 | ||||||||
58,353 | Lukoil PJSC Sponsored ADR | 2,615,138 | ||||||||
223,980 | Novolipetsk Steel PJSC | 312,979 | ||||||||
415,490 | Tatneft PJSC | 2,033,201 | ||||||||
|
| |||||||||
Total Russia | 15,872,454 | |||||||||
|
| |||||||||
Singapore — 0.1% | ||||||||||
169,700 | Ascendas Real Estate Investment Trust | 304,972 | ||||||||
680,700 | CapitaLand Commercial Trust (REIT) | 771,226 | ||||||||
467,300 | CapitaLand Mall Trust (REIT) | 740,443 | ||||||||
86,400 | CapitaLand Retail China Trust (REIT) | 103,373 | ||||||||
44,500 | DBS Group Holdings Ltd | 488,911 | ||||||||
31,000 | Fortune Real Estate Investment Trust | 39,621 | ||||||||
116,600 | Frasers Centrepoint Trust (REIT) | 184,781 | ||||||||
4,050,800 | Golden Agri-Resources Ltd | 1,068,422 | ||||||||
435,000 | Mapletree Greater China Commercial Trust (REIT) | 350,941 | ||||||||
295,400 | Mapletree Industrial Trust (REIT) | 385,799 | ||||||||
321,200 | Mapletree Logistics Trust (REIT) | 252,025 | ||||||||
94,000 | SATS Ltd | 324,830 | ||||||||
143,300 | Starhill Global (REIT) | 84,642 | ||||||||
62,700 | UOL Group Ltd | 255,475 | ||||||||
17,900 | Venture Corp Ltd | 120,846 | ||||||||
1,583,400 | Yangzijiang Shipbuilding Holdings Ltd | 887,656 | ||||||||
|
| |||||||||
Total Singapore | 6,363,963 | |||||||||
|
|
See accompanying notes to the financial statements. | 23 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Africa — 0.8% | ||||||||||
58,855 | AECI Ltd | 412,149 | ||||||||
100,553 | African Rainbow Minerals Ltd | 597,815 | ||||||||
331,625 | AVI Ltd | 2,008,751 | ||||||||
166,385 | Barclays Africa Group Ltd | 1,686,897 | ||||||||
314,823 | Barloworld Ltd | 1,782,269 | ||||||||
36,499 | Bidvest Group Ltd (The) | 377,496 | ||||||||
178,359 | Clicks Group Ltd | 1,467,383 | ||||||||
73,926 | Hyprop Investments Ltd (REIT) | 647,096 | ||||||||
340,380 | KAP Industrial Holdings Ltd | 173,808 | ||||||||
221,559 | Liberty Holdings Ltd | 1,697,159 | ||||||||
700,656 | MMI Holdings Ltd | 1,077,041 | ||||||||
146,748 | Mondi Ltd | 2,965,229 | ||||||||
176,844 | MTN Group Ltd | 1,446,192 | ||||||||
310,733 | Nedbank Group Ltd | 4,368,519 | ||||||||
61,732 | Reunert Ltd | 255,367 | ||||||||
241,769 | RMB Holdings Ltd | 967,966 | ||||||||
831,566 | SA Corporate Real Estate Fund Nominees Pty Ltd | 295,605 | ||||||||
22,259 | Santam Ltd | 336,010 | ||||||||
159,923 | Sasol Ltd | 4,037,156 | ||||||||
837,175 | Sibanye Gold Ltd | 3,253,749 | ||||||||
194,291 | Super Group Ltd * | 535,557 | ||||||||
352,758 | Telkom SA SOC Ltd | 1,460,561 | ||||||||
302,522 | Truworths International Ltd | 1,567,925 | ||||||||
520,532 | Vodacom Group Ltd | 5,417,853 | ||||||||
14,762 | Wilson Bayly Holmes-Ovcon Ltd | 149,238 | ||||||||
|
| |||||||||
Total South Africa | 38,984,791 | |||||||||
|
| |||||||||
South Korea — 1.4% | ||||||||||
187,393 | BNK Financial Group Inc | 1,483,985 | ||||||||
6,030 | Crown Confectionery Co Ltd | 157,615 | ||||||||
16,616 | Daekyo Co Ltd | 120,198 | ||||||||
29,859 | Daishin Securities Co Ltd | 273,704 | ||||||||
77,716 | Daou Technology Inc | 1,464,515 | ||||||||
124,222 | DGB Financial Group Inc | 1,016,676 | ||||||||
24,515 | Dongbu Insurance Co Ltd | 1,482,275 | ||||||||
6,565 | DuzonBizon Co Ltd | 119,941 | ||||||||
7,050 | E-MART Inc | 994,605 | ||||||||
18,196 | GS Holdings Corp | 804,281 | ||||||||
39,023 | Hana Financial Group Inc | 1,022,070 | ||||||||
21,889 | Hanwha Corp | 717,947 | ||||||||
322,563 | Hanwha Life Insurance Co Ltd | 1,636,788 | ||||||||
6,966 | Hyundai Department Store Co Ltd | 782,324 | ||||||||
41,617 | Hyundai Marine & Fire Insurance Co Ltd | 1,260,123 | ||||||||
7,158 | Hyundai Mobis Co Ltd | 1,668,089 | ||||||||
76,399 | Hyundai Motor Co | 9,101,227 | ||||||||
229,556 | Industrial Bank of Korea | 2,414,968 | ||||||||
85,263 | JB Financial Group Co Ltd | 451,208 | ||||||||
108,297 | KB Financial Group Inc | 3,778,485 | ||||||||
201,479 | Kia Motors Corp | 7,573,683 | ||||||||
11,282 | Kolon Industries Inc | 828,123 |
Shares | Description | Value ($) | ||||||||
South Korea — continued | ||||||||||
3,295 | Korea Petrochemical Ind Co Ltd | 575,130 | ||||||||
64,558 | Korean Reinsurance Co | 691,743 | ||||||||
8,657 | KT&G Corp | 907,597 | ||||||||
3,943 | LG Chem Ltd | 953,089 | ||||||||
51,971 | LG Display Co Ltd | 1,394,041 | ||||||||
20,974 | LG International Corp | 623,570 | ||||||||
4,739 | Lotte Shopping Co Ltd | 860,700 | ||||||||
42,303 | Meritz Fire & Marine Insurance Co Ltd | 590,347 | ||||||||
7,963 | NCSoft Corp | 1,921,270 | ||||||||
40,466 | Samsung Card Co Ltd | 1,602,270 | ||||||||
4,630 | Samsung Electronics Co Ltd | 6,715,667 | ||||||||
22,115 | Seah Besteel Corp | 476,921 | ||||||||
32,193 | Shinhan Financial Group Co Ltd | 1,176,624 | ||||||||
7,382 | Shinsegae Inc | 1,344,697 | ||||||||
17,852 | SK Innovation Co Ltd | 2,317,089 | ||||||||
29,916 | SKC Co Ltd | 734,201 | ||||||||
4,799 | Ssangyong Cement Industrial Co Ltd* | 75,588 | ||||||||
33,945 | Tongyang Life Insurance Co Ltd | 366,143 | ||||||||
329,407 | Woori Bank | 3,129,916 | ||||||||
|
| |||||||||
Total South Korea | 65,609,433 | |||||||||
|
| |||||||||
Spain — 0.4% | ||||||||||
59,798 | Ebro Foods SA | 1,338,629 | ||||||||
403,481 | Endesa SA | 8,222,472 | ||||||||
421,346 | Iberdrola SA | 2,775,375 | ||||||||
402,274 | International Consolidated Airlines Group SA | 2,025,729 | ||||||||
60,768 | Red Electrica Corp SA | 1,309,513 | ||||||||
355,684 | Repsol SA | 4,778,028 | ||||||||
|
| |||||||||
Total Spain | 20,449,746 | |||||||||
|
| |||||||||
Sweden — 0.2% | ||||||||||
59,245 | Axfood AB | 1,051,482 | ||||||||
14,715 | Bilia AB – A Shares | 374,601 | ||||||||
8,525 | Fabege AB | 158,007 | ||||||||
30,210 | Fastighets AB Balder – B Shares * | 843,088 | ||||||||
20,291 | Industrivarden AB – C Shares | 369,401 | ||||||||
27,128 | Intrum Justitia AB | 855,710 | ||||||||
3,701 | Investor AB – B Shares | 130,504 | ||||||||
35,310 | Ratos AB – B Shares | 166,551 | ||||||||
230,769 | Sandvik AB | 2,503,266 | ||||||||
1,216 | Securitas AB – B Shares | 21,123 | ||||||||
17,092 | Skanska AB – B Shares | 374,155 | ||||||||
17,594 | Svenska Cellulosa AB – Class B | 540,762 | ||||||||
367,694 | Telefonaktiebolaget LM Ericsson – B Shares | 2,618,815 | ||||||||
19,732 | Wihlborgs Fastigheter AB | 428,589 | ||||||||
|
| |||||||||
Total Sweden | 10,436,054 | |||||||||
|
| |||||||||
Switzerland — 0.9% | ||||||||||
35,418 | Adecco Group AG (Registered) | 2,040,423 | ||||||||
12,678 | Ascom Holding AG (Registered) | 232,151 |
24 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Switzerland — continued | ||||||||||
1,042 | Autoneum Holding AG | 294,521 | ||||||||
5,099 | Baloise Holding AG (Registered) | 607,485 | ||||||||
219 | Banque Cantonale Vaudoise (Registered) | 143,834 | ||||||||
3,339 | Cembra Money Bank AG * | 241,902 | ||||||||
581 | dorma & kaba Holding AG – Class B (Registered) | 456,344 | ||||||||
2,261 | EMS-Chemie Holding AG (Registered) | 1,204,012 | ||||||||
1,001 | Flughafen Zuerich AG (Registered) | 185,287 | ||||||||
139 | Forbo Holdings AG (Registered) * | 191,032 | ||||||||
968 | Georg Fischer AG (Registered) | 779,063 | ||||||||
296 | Givaudan SA (Registered) | 612,255 | ||||||||
518 | Helvetia Holding AG (Registered) | 259,113 | ||||||||
146 | Komax Holding AG (Registered) | 35,485 | ||||||||
21,080 | Kuehne & Nagel International AG (Registered) | 2,945,201 | ||||||||
22,408 | Logitech International SA (Registered) | 469,794 | ||||||||
79,289 | Nestle SA (Registered) | 6,318,760 | ||||||||
14,586 | Novartis AG (Registered) | 1,148,837 | ||||||||
5,169 | Roche Holding AG | 1,261,753 | ||||||||
152 | Sika AG | 724,707 | ||||||||
8,304 | Swiss Life Holding AG (Registered) * | 2,081,939 | ||||||||
201,208 | Swiss Re AG | 17,003,400 | ||||||||
7,645 | Vontobel Holding AG (Registered) | 369,515 | ||||||||
|
| |||||||||
Total Switzerland | 39,606,813 | |||||||||
|
| |||||||||
Taiwan — 1.5% | ||||||||||
362,000 | Catcher Technology Co Ltd * | 2,596,644 | ||||||||
62,230 | Chunghwa Telecom Co Ltd Sponsored ADR | 2,230,946 | ||||||||
1,502,000 | Compeq Manufacturing Co Ltd | 752,002 | ||||||||
2,650,000 | CTBC Financial Holding Co Ltd | 1,529,967 | ||||||||
549,000 | Foxconn Technology Co Ltd * | 1,537,633 | ||||||||
5,241,000 | Fubon Financial Holding Co Ltd | 7,398,245 | ||||||||
5,023,000 | Hon Hai Precision Industry Co Ltd | 13,894,004 | ||||||||
2,733,000 | Inventec Corp | 2,023,956 | ||||||||
721,000 | Mega Financial Holding Co Ltd | 490,252 | ||||||||
780,150 | Mercuries Life Insurance Co Ltd | 370,748 | ||||||||
2,922,000 | Pegatron Corp | 7,050,136 | ||||||||
5,767,000 | Shin Kong Financial Holding Co Ltd * | 1,262,742 | ||||||||
2,594,044 | Taishin Financial Holding Co Ltd | 979,864 | ||||||||
1,455,000 | Taiwan Semiconductor Manufacturing Co Ltd | 8,080,169 | ||||||||
557,782 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR | 16,030,655 | ||||||||
154,000 | Transcend Information Inc | 443,342 | ||||||||
1,490,000 | United Microelectronics Corp | 540,248 | ||||||||
|
| |||||||||
Total Taiwan | 67,211,553 | |||||||||
|
| |||||||||
Thailand — 0.1% | ||||||||||
221,800 | Bangkok Bank Pcl (Foreign Registered)(a) | 1,084,998 | ||||||||
3,090,600 | Bangkok Expressway & Metro Pcl | 687,047 | ||||||||
218,600 | Thai Oil Pcl (Foreign Registered) | 446,410 | ||||||||
555,800 | Thanachart Capital PCL (Foreign Registered) | 642,255 | ||||||||
|
| |||||||||
Total Thailand | 2,860,710 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Turkey — 0.4% | ||||||||||
2,187,034 | Eregli Demir ve Celik Fabrikalari TAS | 3,290,366 | ||||||||
285,047 | Turk Hava Yollari AO * | 497,008 | ||||||||
357,192 | Turk Telekomunikasyon AS | 720,878 | ||||||||
909,490 | Turkiye Halk Bankasi AS | 2,729,599 | ||||||||
2,932,903 | Turkiye IS Bankasi – Class C | 4,768,388 | ||||||||
363,358 | Turkiye Sinai Kalkinma Bankasi AS | 167,011 | ||||||||
667,616 | Turkiye Sise ve Cam Fabrikalari AS | 771,995 | ||||||||
2,242,587 | Turkiye Vakiflar Bankasi TAO – Class D | 3,297,612 | ||||||||
|
| |||||||||
Total Turkey | 16,242,857 | |||||||||
|
| |||||||||
United Kingdom — 3.0% | ||||||||||
322,013 | AstraZeneca Plc | 20,786,243 | ||||||||
43,400 | AstraZeneca Plc Sponsored ADR | 1,423,954 | ||||||||
379,745 | Balfour Beatty Plc * | 1,408,391 | ||||||||
19,572 | Beazley Plc | 100,229 | ||||||||
41,919 | Bellway Plc | 1,283,025 | ||||||||
84,973 | Berkeley Group Holdings Plc (The) | 2,981,427 | ||||||||
53,898 | Bovis Homes Group Plc | 634,502 | ||||||||
2,341,639 | BP Plc | 13,163,706 | ||||||||
230,198 | British American Tobacco Plc | 14,282,079 | ||||||||
1,800 | British American Tobacco Plc Sponsered ADR | 223,542 | ||||||||
20,084 | Burberry Group Plc | 344,155 | ||||||||
76,800 | Cairn Energy Plc * | 187,314 | ||||||||
190,132 | Carillion Plc | 649,676 | ||||||||
619,550 | Centrica Plc | 1,894,439 | ||||||||
115,921 | Compass Group Plc | 2,194,091 | ||||||||
98,765 | Crest Nicholson Holdings Plc | 603,253 | ||||||||
283,039 | Debenhams Plc | 225,305 | ||||||||
278,357 | Direct Line Insurance Group Plc | 1,351,871 | ||||||||
22,407 | Electrocomponents Plc | 89,686 | ||||||||
295,645 | EnQuest Plc * | 103,738 | ||||||||
606,623 | Firstgroup Plc * | 875,874 | ||||||||
29,980 | Galliford Try Plc | 447,102 | ||||||||
342,459 | GlaxoSmithKline Plc | 7,371,509 | ||||||||
31,900 | GlaxoSmithKline Plc Sponsored ADR | 1,386,374 | ||||||||
17,100 | Halfords Group Plc | 78,125 | ||||||||
256,973 | Henderson Group Plc | 804,855 | ||||||||
344,469 | Home Retail Group Plc | 722,034 | ||||||||
53,118 | HSBC Holdings Plc | 394,928 | ||||||||
52,032 | Hunting Plc | 317,450 | ||||||||
104,823 | IG Group Holdings Plc | 1,309,325 | ||||||||
77,704 | Imperial Brands Plc | 4,075,828 | ||||||||
176,550 | Inchcape Plc | 1,627,081 | ||||||||
267,966 | Indivior Plc | 1,106,167 | ||||||||
94,830 | Intermediate Capital Group Plc | 741,484 | ||||||||
139,536 | J Sainsbury Plc | 440,338 | ||||||||
149,551 | Jupiter Fund Management Plc | 823,502 | ||||||||
971,458 | Kingfisher Plc | 4,737,858 | ||||||||
1,066,379 | Legal & General Group Plc | 2,949,720 | ||||||||
87,089 | Lookers Plc | 156,232 |
See accompanying notes to the financial statements. | 25 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
258,883 | Man Group Plc | 369,756 | ||||||||
8,938 | Micro Focus International Plc | 234,693 | ||||||||
13,100 | Mitie Group Plc | 46,493 | ||||||||
74,063 | Mondi Plc | 1,507,055 | ||||||||
107,261 | National Express Group Plc | 498,163 | ||||||||
179,880 | Persimmon Plc | 4,308,970 | ||||||||
72,614 | Playtech Plc | 868,826 | ||||||||
96,127 | Reckitt Benckiser Group Plc | 9,285,738 | ||||||||
15,065 | Redrow Plc | 73,518 | ||||||||
143,943 | Royal Dutch Shell Plc A Shares (London) | 3,517,926 | ||||||||
409,962 | Royal Mail Plc | 2,766,471 | ||||||||
372,561 | Sage Group Plc (The) | 3,549,671 | ||||||||
6,662 | Savills Plc | 64,721 | ||||||||
18,262 | Tullett Prebon Plc | 91,503 | ||||||||
126,759 | Unilever Plc | 5,884,306 | ||||||||
6,525 | Victrex Plc | 130,411 | ||||||||
65,405 | WH Smith Plc | 1,309,050 | ||||||||
94,583 | Wm Morrison Supermarkets Plc | 244,735 | ||||||||
398,895 | WPP Plc | 9,209,670 | ||||||||
|
| |||||||||
Total United Kingdom | 138,258,088 | |||||||||
|
| |||||||||
United States — 13.1% | ||||||||||
99,515 | 3M Co. | 17,837,069 | ||||||||
85,374 | Abbott Laboratories | 3,587,415 | ||||||||
92,282 | Accenture Plc – Class A | 10,612,430 | ||||||||
31,500 | ACCO Brands Corp. * | 315,000 | ||||||||
52,100 | Activision Blizzard, Inc. | 2,155,377 | ||||||||
33,200 | Aetna, Inc. | 3,888,384 | ||||||||
74,800 | Aflac, Inc. | 5,548,664 | ||||||||
28,800 | AGCO Corp. | 1,397,952 | ||||||||
33,200 | Alaska Air Group, Inc. | 2,241,996 | ||||||||
5,400 | Altisource Portfolio Solutions SA * | 175,932 | ||||||||
28,775 | Alphabet, Inc. – Class C * | 22,071,864 | ||||||||
1,000 | Altria Group, Inc. | 66,090 | ||||||||
34,700 | Amdocs Ltd. | 2,086,164 | ||||||||
30,500 | Ameren Corp. | 1,507,310 | ||||||||
13,600 | American Capital Ltd. * | 229,704 | ||||||||
137,347 | American Express Co. | 9,007,216 | ||||||||
300 | American National Insurance Co. | 35,046 | ||||||||
2,900 | American Water Works Co., Inc. | 214,571 | ||||||||
10,604 | Amphenol Corp. – Class A | 660,735 | ||||||||
15,281 | Analog Devices, Inc. | 955,979 | ||||||||
33,292 | Anthem, Inc. | 4,164,163 | ||||||||
14,400 | Apollo Commercial Real Estate Finance, Inc. | 234,720 | ||||||||
7,000 | Apollo Education Group, Inc. * | 62,090 | ||||||||
180,298 | Apple, Inc. | 19,129,618 | ||||||||
5,900 | AptarGroup, Inc. | 460,082 | ||||||||
22,900 | Ares Capital Corp. | 370,064 | ||||||||
40,333 | ARMOUR Residential REIT, Inc. | 897,006 | ||||||||
40,900 | Arrow Electronics, Inc. * | 2,692,447 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
56,500 | Assured Guaranty Ltd. | 1,569,005 | ||||||||
27,200 | AT&T, Inc. | 1,111,936 | ||||||||
7,100 | Atlas Air Worldwide Holdings, Inc. * | 263,694 | ||||||||
8,700 | Atmos Energy Corp. | 641,190 | ||||||||
15,100 | AutoNation, Inc. * | 714,985 | ||||||||
37,700 | Avery Dennison Corp. | 2,919,488 | ||||||||
1,300 | Avista Corp. | 52,806 | ||||||||
65,700 | Avnet, Inc. | 2,738,376 | ||||||||
11,834 | Becton, Dickinson and Co. | 2,097,103 | ||||||||
90,600 | Bed Bath & Beyond, Inc. | 4,201,122 | ||||||||
4,100 | Best Buy Co., Inc. | 157,768 | ||||||||
26,400 | BGC Partners, Inc. – Class A | 231,528 | ||||||||
20,300 | BlackRock Capital Investment Corp. | 177,016 | ||||||||
5,500 | Briggs & Stratton Corp. | 104,555 | ||||||||
14,900 | Broadridge Financial Solutions, Inc. | 1,032,570 | ||||||||
13,000 | CA, Inc. | 440,830 | ||||||||
6,400 | Cadence Design Systems, Inc. * | 162,816 | ||||||||
15,900 | California Resources Corp. | 157,887 | ||||||||
64,800 | Capital One Financial Corp. | 4,639,680 | ||||||||
14,500 | Cash America International, Inc. | 631,185 | ||||||||
3,700 | Central Garden & Pet Co. – Class A * | 89,725 | ||||||||
22,870 | Cerner Corp. * | 1,476,030 | ||||||||
7,700 | Cheesecake Factory, Inc. (The) | 395,857 | ||||||||
4,100 | Chemed Corp. | 553,213 | ||||||||
5,800 | Chemical Financial Corp. | 268,134 | ||||||||
11,300 | Chemours Co. (The) | 149,047 | ||||||||
48,600 | Chevron Corp. | 4,888,188 | ||||||||
24,900 | Chimera Investment Corp. (REIT) | 410,601 | ||||||||
6,459 | Church & Dwight Co., Inc. | 642,154 | ||||||||
25,500 | Cintas Corp. | 2,996,505 | ||||||||
629,408 | Cisco Systems, Inc. | 19,788,587 | ||||||||
99,900 | Citigroup, Inc. | 4,769,226 | ||||||||
12,600 | Citrix Systems, Inc. * | 1,098,720 | ||||||||
168,892 | Coca-Cola Co. (The) | 7,334,980 | ||||||||
105,396 | Cognizant Technology Solutions Corp. – Class A * | 6,053,946 | ||||||||
48,590 | Colgate-Palmolive Co. | 3,612,181 | ||||||||
4,100 | Columbia Sportswear Co. | 230,297 | ||||||||
20,900 | Comcast Corp. – Class A | 1,363,934 | ||||||||
17,700 | Consolidated Edison, Inc. | 1,331,925 | ||||||||
25,400 | Convergys Corp. | 757,682 | ||||||||
10,400 | Cooper Tire & Rubber Co. | 353,496 | ||||||||
800 | Cooper-Standard Holding, Inc. * | 79,240 | ||||||||
15,032 | Costco Wholesale Corp. | 2,436,537 | ||||||||
34,095 | CVS Health Corp. | 3,184,473 | ||||||||
100,000 | Delta Air Lines, Inc. | 3,675,000 | ||||||||
11,300 | Deluxe Corp. | 770,321 | ||||||||
82,400 | Denbury Resources, Inc. * | 253,792 | ||||||||
2,900 | Dillard’s, Inc. – Class A | 174,696 | ||||||||
1,500 | Discover Financial Services | 90,000 | ||||||||
6,500 | Douglas Dynamics, Inc. | 208,520 |
26 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
10,100 | Dow Chemical Co. (The) | 541,764 | ||||||||
76,100 | Dr Pepper Snapple Group, Inc. | 7,130,570 | ||||||||
5,700 | Drew Industries, Inc. | 580,545 | ||||||||
12,400 | DTE Energy Co. | 1,151,960 | ||||||||
18,285 | Eli Lilly & Co. | 1,421,659 | ||||||||
235,110 | EMC Corp. | 6,815,839 | ||||||||
105,872 | Emerson Electric Co. | 5,577,337 | ||||||||
2,100 | Encore Capital Group, Inc. * | 45,276 | ||||||||
500 | Endurance Specialty Holdings Ltd. | 32,925 | ||||||||
6,300 | Ennis, Inc. | 104,454 | ||||||||
1,400 | ePlus, Inc. * | 126,714 | ||||||||
7,100 | Equifax, Inc. | 936,490 | ||||||||
11,100 | Essent Group Ltd. * | 295,038 | ||||||||
9,100 | Everest Re Group Ltd. | 1,759,758 | ||||||||
18,500 | Expeditors International of Washington, Inc. | 937,025 | ||||||||
46,300 | Express, Inc. * | 547,729 | ||||||||
9,400 | F5 Networks, Inc. * | 1,153,662 | ||||||||
16,500 | First American Financial Corp. | 710,985 | ||||||||
32,800 | Fiserv, Inc. * | 3,380,040 | ||||||||
90,000 | Foot Locker, Inc. | 5,907,600 | ||||||||
23,100 | Franklin Resources, Inc. | 843,150 | ||||||||
1,100 | G-III Apparel Group Ltd. * | 34,727 | ||||||||
22,900 | Gannett Co., Inc. | 273,197 | ||||||||
9,500 | General Dynamics Corp. | 1,446,090 | ||||||||
17,600 | Gentex Corp. | 313,104 | ||||||||
26,700 | Genworth Financial, Inc. – Class A * | 126,291 | ||||||||
83,800 | Gilead Sciences, Inc. | 6,568,244 | ||||||||
28,000 | Goodyear Tire & Rubber Co. (The) | 821,800 | ||||||||
44,700 | Guess?, Inc. | 743,361 | ||||||||
6,929 | Hanover Insurance Group, Inc. (The) | 541,848 | ||||||||
10,100 | Hasbro, Inc. | 825,574 | ||||||||
15,700 | Helen of Troy Ltd. * | 1,418,338 | ||||||||
81,300 | Home Depot, Inc. (The) | 10,903,956 | ||||||||
38,810 | Honeywell International, Inc. | 4,529,515 | ||||||||
20,000 | Hormel Foods Corp. | 765,200 | ||||||||
7,400 | Hornbeck Offshore Services, Inc. * | 40,478 | ||||||||
55,800 | HP, Inc. | 801,846 | ||||||||
7,338 | Humana, Inc. | 1,311,374 | ||||||||
800 | ICF International, Inc. * | 33,480 | ||||||||
9,800 | Iconix Brand Group, Inc. * | 82,320 | ||||||||
6,700 | IDACORP, Inc. | 509,669 | ||||||||
34,016 | Illinois Tool Works, Inc. | 4,042,802 | ||||||||
37,900 | Ingredion, Inc. | 5,190,784 | ||||||||
5,100 | Insight Enterprises, Inc. * | 156,060 | ||||||||
319,600 | Intel Corp. | 11,470,444 | ||||||||
40,200 | International Business Machines Corp. | 6,386,976 | ||||||||
41,800 | Interpublic Group of Cos., Inc. (The) | 967,252 | ||||||||
10,271 | Intuit, Inc. | 1,144,703 | ||||||||
1,792 | Intuitive Surgical, Inc. * | 1,230,065 | ||||||||
55,400 | Jabil Circuit, Inc. | 1,173,926 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
1,900 | Jack Henry & Associates, Inc. | 165,813 | ||||||||
95,200 | JetBlue Airways Corp. * | 1,518,440 | ||||||||
2,400 | John B. Sanfilippo & Son, Inc. | 123,408 | ||||||||
243,096 | Johnson & Johnson | 29,011,077 | ||||||||
9,500 | Jones Lang LaSalle, Inc. | 1,109,125 | ||||||||
158,100 | JPMorgan Chase & Co. | 10,671,750 | ||||||||
22,500 | KAR Auction Services, Inc. | 951,300 | ||||||||
3,800 | Knight Transportation, Inc. | 106,780 | ||||||||
2,900 | Knoll, Inc. | 76,734 | ||||||||
22,729 | Korn/Ferry International | 541,859 | ||||||||
28,000 | Lear Corp. | 3,256,120 | ||||||||
700 | LHC Group, Inc. * | 24,892 | ||||||||
24,800 | Lincoln National Corp. | 1,191,144 | ||||||||
89,400 | LyondellBasell Industries NV – Class A | 7,052,766 | ||||||||
20,800 | Macy’s, Inc. | 752,544 | ||||||||
2,500 | Maiden Holdings Ltd. | 34,525 | ||||||||
132,200 | Marathon Oil Corp. | 1,985,644 | ||||||||
7,200 | Marathon Petroleum Corp. | 306,072 | ||||||||
2,300 | Marriott Vacations Worldwide Corp. | 177,330 | ||||||||
15,228 | MasterCard, Inc. – Class A | 1,471,482 | ||||||||
4,100 | Matson, Inc. | 158,219 | ||||||||
54,300 | MBIA, Inc. * | 437,658 | ||||||||
35,697 | McDonald’s Corp. | 4,128,715 | ||||||||
89,811 | Medtronic Plc | 7,816,251 | ||||||||
4,400 | Meredith Corp. | 233,376 | ||||||||
354,416 | Microsoft Corp. | 20,364,743 | ||||||||
54,042 | Monsanto Co. | 5,755,473 | ||||||||
18,100 | Murphy Oil Corp. | 483,632 | ||||||||
11,916 | Murphy USA, Inc. * | 871,298 | ||||||||
37,800 | Nasdaq, Inc. | 2,691,738 | ||||||||
3,400 | Navigant Consulting, Inc. * | 66,776 | ||||||||
1,000 | Navigators Group, Inc. (The) | 93,960 | ||||||||
11,600 | Net 1 UEPS Technologies, Inc. * | 113,332 | ||||||||
3,300 | New Jersey Resources Corp. | 111,012 | ||||||||
36,883 | News Corp. – Class A | 518,575 | ||||||||
45,077 | Nike, Inc. – Class B | 2,598,238 | ||||||||
23,200 | Northwest Bancshares, Inc. | 360,064 | ||||||||
130 | NVR, Inc. * | 219,284 | ||||||||
3,600 | Oil States International, Inc. * | 111,672 | ||||||||
20,600 | Old Republic International Corp. | 396,138 | ||||||||
10,400 | Omega Protein Corp. * | 262,184 | ||||||||
53,600 | Omnicom Group, Inc. | 4,616,568 | ||||||||
405,559 | Oracle Corp. | 16,717,142 | ||||||||
52,933 | Paychex, Inc. | 3,211,445 | ||||||||
112,340 | PDL BioPharma, Inc. | 326,909 | ||||||||
28,737 | PepsiCo, Inc. | 3,067,675 | ||||||||
382,260 | Pfizer, Inc. | 13,302,648 | ||||||||
151,443 | Philip Morris International, Inc. | 15,133,699 | ||||||||
4,000 | Phillips 66 | 313,800 | ||||||||
7,100 | Pinnacle West Capital Corp. | 532,784 |
See accompanying notes to the financial statements. | 27 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
11,000 | PRA Group, Inc. * | 351,780 | ||||||||
77,858 | Procter & Gamble Co. (The) | 6,797,782 | ||||||||
22,200 | Progressive Corp. (The) | 722,832 | ||||||||
13,300 | Public Service Enterprise Group, Inc. | 568,708 | ||||||||
307,184 | QUALCOMM, Inc. | 19,374,095 | ||||||||
10,000 | Rent-A-Center, Inc. | 122,200 | ||||||||
5,850 | Rockwell Automation, Inc. | 678,190 | ||||||||
16,600 | Sanmina Corp. * | 436,248 | ||||||||
7,700 | Santander Consumer USA Holdings, Inc. * | 96,866 | ||||||||
14,700 | SCANA Corp. | 1,038,555 | ||||||||
35,984 | Schlumberger Ltd. | 2,842,736 | ||||||||
700 | Scholastic Corp. | 28,182 | ||||||||
2,200 | Selective Insurance Group, Inc. | 87,780 | ||||||||
14,600 | SkyWest, Inc. | 412,158 | ||||||||
29,700 | Smith & Wesson Holding Corp. * | 836,055 | ||||||||
18,900 | Snap-on, Inc. | 2,897,181 | ||||||||
7,300 | Southwest Airlines Co. | 269,224 | ||||||||
1,700 | Spok Holdings, Inc. | 28,135 | ||||||||
3,800 | SPX FLOW, Inc. * | 111,758 | ||||||||
12,316 | St Jude Medical, Inc. | 959,663 | ||||||||
8,700 | Starz – Class A * | 271,353 | ||||||||
22,970 | Stryker Corp. | 2,656,710 | ||||||||
5,200 | Sykes Enterprises, Inc. * | 151,996 | ||||||||
40,200 | T. Rowe Price Group, Inc. | 2,795,508 | ||||||||
72,400 | Talen Energy Corp. * | 999,844 | ||||||||
13,100 | Tech Data Corp. * | 972,544 | ||||||||
63,436 | Teradata Corp. * | 2,012,824 | ||||||||
54,500 | Tesoro Corp. | 4,110,390 | ||||||||
20,500 | Texas Instruments, Inc. | 1,425,570 | ||||||||
12,500 | Texas Roadhouse, Inc. | 553,375 | ||||||||
13,400 | Thor Industries, Inc. | 1,087,410 | ||||||||
8,674 | TJX Cos., Inc. (The) | 671,715 | ||||||||
7,300 | Tower International, Inc. | 177,390 | ||||||||
77,600 | Travelers Cos., Inc. (The) | 9,211,896 | ||||||||
13,400 | TrueBlue, Inc. * | 292,790 | ||||||||
9,900 | Tupperware Brands Corp. | 648,747 | ||||||||
6,400 | Unit Corp. * | 109,376 | ||||||||
58,000 | United Parcel Service, Inc. – Class B | 6,334,760 | ||||||||
3,600 | United States Cellular Corp. * | 133,992 | ||||||||
17,275 | United Technologies Corp. | 1,838,578 | ||||||||
142,906 | UnitedHealth Group, Inc. | 19,442,361 | ||||||||
8,100 | Universal Corp. | 487,377 | ||||||||
500 | US Concrete, Inc. * | 26,510 | ||||||||
170,700 | Valero Energy Corp. | 9,448,245 | ||||||||
5,300 | Vera Bradley, Inc. * | 79,288 | ||||||||
220,600 | Verizon Communications, Inc. | 11,543,998 | ||||||||
24,273 | VF Corp. | 1,506,140 | ||||||||
900 | W.R. Berkley Corp. | 53,433 | ||||||||
3,600 | Wabash National Corp. * | 50,220 | ||||||||
7,500 | Wal-Mart Stores, Inc. | 535,800 | ||||||||
11,900 | Walker & Dunlop, Inc. * | 315,350 |
Shares / Par Value† | Description | Value ($) | ||||||||
United States — continued | ||||||||||
34,000 | Werner Enterprises, Inc. | 784,720 | ||||||||
5,200 | WESCO International, Inc. * | 323,232 | ||||||||
9,000 | Western Refining, Inc. | 226,440 | ||||||||
40,100 | Whiting Petroleum Corp. * | 292,329 | ||||||||
28,800 | WPX Energy, Inc. * | 345,600 | ||||||||
3,061 | WW Grainger, Inc. | 706,050 | ||||||||
7,800 | Wyndham Worldwide Corp. | 552,162 | ||||||||
85,600 | Xerox Corp. | 843,160 | ||||||||
10,673 | Zimmer Biomet Holdings, Inc. | 1,383,327 | ||||||||
|
| |||||||||
Total United States | 599,548,030 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $1,677,718,877) | 1,739,655,165 | |||||||||
|
| |||||||||
DEBT OBLIGATIONS — 18.5% | ||||||||||
U.S. Government — 18.5% | ||||||||||
22,000,000 | U.S. Treasury Bond, 7.50%, due 11/15/16 | 22,320,936 | ||||||||
15,000,000 | U.S. Treasury Note, 2.75%, due 05/31/17 | 15,236,130 | ||||||||
12,500,000 | U.S. Treasury Note, 0.88%, due 11/15/17 | 12,521,000 | ||||||||
25,000,000 | U.S. Treasury Note, 0.63%, due 11/30/17 | 24,963,875 | ||||||||
95,000,000 | U.S. Treasury Note, 0.75%, due 02/28/18 | 94,951,740 | ||||||||
35,000,000 | U.S. Treasury Note, USBM + 0.19%, 0.53%, due 04/30/18 | 35,036,645 | ||||||||
12,500,000 | U.S. Treasury Note, 1.00%, due 05/15/18 | 12,541,013 | ||||||||
50,000,000 | U.S. Treasury Note, 0.75%, due 07/31/18 | 49,939,450 | ||||||||
12,500,000 | U.S. Treasury Note, 1.38%, due 07/31/18 | 12,630,863 | ||||||||
22,000,000 | U.S. Treasury Note, 0.75%, due 08/31/18 | 21,972,500 | ||||||||
25,000,000 | U.S. Treasury Note, 1.50%, due 01/31/19 | 25,371,100 | ||||||||
25,000,000 | U.S. Treasury Note, 0.75%, due 02/15/19 | 24,921,875 | ||||||||
12,500,000 | U.S. Treasury Note, 1.38%, due 02/28/19 | 12,652,350 | ||||||||
20,000,000 | U.S. Treasury Note, 1.50%, due 03/31/19 | 20,313,280 | ||||||||
12,500,000 | U.S. Treasury Note, 0.88%, due 04/15/19 | 12,493,650 | ||||||||
20,000,000 | U.S. Treasury Note, 3.13%, due 05/15/19 | 21,183,600 | ||||||||
35,000,000 | U.S. Treasury Note, 0.88%, due 06/15/19 | 34,956,250 | ||||||||
25,000,000 | U.S. Treasury Note, 1.63%, due 06/30/19 | 25,491,200 | ||||||||
40,000,000 | U.S. Treasury Note, 3.63%, due 08/15/19 | 43,118,760 | ||||||||
77,500,000 | U.S. Treasury Note, 1.63%, due 08/31/19 | 79,050,000 | ||||||||
32,500,000 | U.S. Treasury Note, 1.00%, due 09/30/19 | 32,543,160 | ||||||||
35,000,000 | U.S. Treasury Note, 1.75%, due 09/30/19 | 35,835,345 | ||||||||
32,500,000 | U.S. Treasury Note, 1.25%, due 10/31/19 | 32,780,572 | ||||||||
12,500,000 | U.S. Treasury Note, 1.50%, due 10/31/19 | 12,701,662 | ||||||||
19,000,000 | U.S. Treasury Note, 3.38%, due 11/15/19 | 20,427,964 | ||||||||
37,500,000 | U.S. Treasury Note, 1.38%, due 01/31/20 | 37,938,000 | ||||||||
25,000,000 | U.S. Treasury Note, 3.63%, due 02/15/20 | 27,192,375 | ||||||||
12,500,000 | U.S. Treasury Note, 1.25%, due 02/29/20 | 12,590,825 | ||||||||
25,000,000 | U.S. Treasury Note, 1.13%, due 04/30/20 | 25,062,500 | ||||||||
10,000,000 | U.S. Treasury Note, 3.50%, due 05/15/20 | 10,875,780 | ||||||||
|
| |||||||||
Total U.S. Government | 849,614,400 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $851,188,439) | 849,614,400 | |||||||||
|
|
28 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
PREFERRED STOCKS — 1.0% | ||||||||||
Brazil — 0.6% | ||||||||||
313,500 | Centrais Eletricas Brasileiras SA – Class B * | 2,766,862 | ||||||||
1,494,900 | Cia Energetica de Minas Gerais | 4,050,655 | ||||||||
265,800 | Cia Energetica de Sao Paulo – Class B | 1,110,381 | ||||||||
340,600 | Itau Unibanco Holding SA | 3,781,280 | ||||||||
214,300 | Itau Unibanco Holding SA Sponsored ADR | 2,374,444 | ||||||||
3,514,210 | Itausa – Investimentos Itau SA | 9,359,038 | ||||||||
972,100 | Vale SA | 4,355,966 | ||||||||
|
| |||||||||
Total Brazil | 27,798,626 | |||||||||
|
| |||||||||
Chile — 0.0% | ||||||||||
7,082 | Sociedad Quimica y Minera de Chile SA – Class B | 180,035 | ||||||||
|
| |||||||||
Germany — 0.1% | ||||||||||
14,046 | Jungheinrich AG | 441,125 | ||||||||
80,301 | Porsche Automobil Holding SE | 4,057,409 | ||||||||
|
| |||||||||
Total Germany | 4,498,534 | |||||||||
|
| |||||||||
Russia — 0.1% | ||||||||||
7,830,400 | Surgutneftegas OJSC | 3,942,273 | ||||||||
673 | Transneft PJSC | 1,594,871 | ||||||||
|
| |||||||||
Total Russia | 5,537,144 | |||||||||
|
| |||||||||
South Korea — 0.2% | ||||||||||
24,521 | Hyundai Motor Co 2nd Preference | 2,209,619 | ||||||||
4,795 | Samsung Electronics Co Ltd | 5,686,722 | ||||||||
|
| |||||||||
Total South Korea | 7,896,341 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $34,154,980) | 45,910,680 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.0% | ||||||||||
South Korea — 0.0% | ||||||||||
5,657 | Hanwha Corp, Expires 10/05/16 * | — | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $—) | — | |||||||||
|
| |||||||||
MUTUAL FUNDS — 34.5% | ||||||||||
Affiliated Issuers — 34.5% | ||||||||||
10,107,387 | GMO Debt Opportunities Fund, Class VI | 256,020,121 | ||||||||
9,496,327 | GMO Emerging Country Debt Fund, Class IV | 285,554,548 | ||||||||
17,810,668 | GMO Emerging Markets Fund, Class VI | 511,166,184 | ||||||||
6,078,055 | GMO SGM Major Markets Fund, Class VI | 213,704,403 | ||||||||
14,920,167 | GMO Special Opportunities Fund, Class VI | 300,641,375 | ||||||||
815,285 | GMO U.S. Treasury Fund | 20,390,282 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $1,543,159,680) | 1,587,476,913 | |||||||||
|
|
Shares / Principal Amount | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 8.1% | ||||||||||
Money Market Funds — 0.1% | ||||||||||
3,917,018 | State Street Institutional Treasury Money Market Fund-Premier Class, 0.19%(b) | 3,917,018 | ||||||||
|
| |||||||||
REPURCHASE AGREEMENTS — 8.0% | ||||||||||
100,658,882 | Daiwa Capital Markets America Inc. Repurchase Agreement, dated 8/26/16, maturing on 9/02/16 with a maturity value of $100,665,733 and an effective yield of 0.35%, collateralized by a U.S. Treasury Note with maturity date 2/28/17 and a market value of $101,221,887. | 100,658,882 | ||||||||
104,997,147 | Daiwa Capital Markets America Inc. Repurchase Agreement, dated 8/31/16, maturing on 9/7/16 with a maturity value of $105,004,292 and an effective yield of 0.35%, collateralized by a U.S. Treasury Note with maturity date 8/15/23 and a market value of $107,127,189. | 104,997,147 | ||||||||
105,801,053 | Daiwa Capital Markets America Inc. Repurchase Agreement, dated 8/30/16, maturing on 9/6/16 with a maturity value of $105,808,253 and an effective yield of 0.35%, collateralized by a U.S. Treasury Note with maturity date 8/15/19 and a market value of $107,964,359. | 105,801,053 | ||||||||
53,377,045 | Mizuho Securities USA Inc. Repurchase Agreement, dated 08/29/2016, maturing on 09/02/16 with a maturity value of $53,379,002 and an effective yield of 0.33%, collateralized by a U.S. Treasury Note with maturity date 2/15/24 and a market value of $54,586,969. | 53,377,045 | ||||||||
|
| |||||||||
Total Repurchase Agreements | 364,834,127 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $368,751,145) | 368,751,145 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.9% (Cost $4,474,973,121) | 4,591,408,303 | |||||||||
Other Assets and Liabilities (net) — 0.1% | 6,739,428 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $4,598,147,731 | |||||||||
|
|
See accompanying notes to the financial statements. | 29 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2016 (Unaudited)
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
* | Non-income producing security. |
(a) | Security valued at the local price and adjusted by applying a premium or discount since holding exceeds foreign ownership limits. |
(b) | The rate disclosed is the 7 day net yield as of August 31, 2016. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 71.
30 | See accompanying notes to the financial statements. |
GMO Global Asset Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 53.0 | % | ||
Debt Obligations | 24.8 | |||
Short-Term Investments | 19.8 | |||
Preferred Stocks | 0.9 | |||
Forward Currency Contracts | 0.2 | |||
Swap Contracts | 0.1 | |||
Futures Contracts | 0.1 | |||
Loan Participations | 0.1 | |||
Investment Funds | 0.1 | |||
Rights/Warrants | 0.0 | ^ | ||
Options Purchased | 0.0 | ^ | ||
Loan Assignments | 0.0 | ^ | ||
Reverse Repurchase Agreements | (0.0 | )^ | ||
Written/Credit Linked Options | (0.0 | )^ | ||
Other | 0.9 | |||
|
| |||
100.0 | % | |||
|
|
Country/Region Summary¤ | Debt Obligations as a % of Total Net Assets | |||
United States | 11.6 | % | ||
Other Emerging | 6.5 | † | ||
Other Developed | 0.6 | ‡ | ||
Euro Region | 0.0 | #^ | ||
|
| |||
18.7 | % | |||
|
|
Country/Region Summary¤ | Equity Investments as a % of Total Net Assets | |||
United States | 16.8 | % | ||
Japan | 6.3 | |||
Other Developed | 4.8 | ‡ | ||
United Kingdom | 4.6 | |||
Taiwan | 3.0 | |||
Germany | 2.7 | |||
China | 2.7 | |||
South Korea | 2.3 | |||
Other Emerging | 2.3 | † | ||
France | 2.2 | |||
India | 1.9 | |||
Switzerland | 1.6 | |||
Russia | 1.4 | |||
Australia | 1.2 | |||
Netherlands | 1.2 | |||
|
| |||
55.0 | % | |||
|
|
& | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”), except for GMO Alpha Only Fund. Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. |
¤ | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures |
(both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security. The tables are not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
# | “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country. |
^ | Rounds to 0.0%. |
31
GMO Global Asset Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares / Par Value† | Description | Value ($) | ||||||||
MUTUAL FUNDS — 100.0% | ||||||||||
Affiliated Issuers — 100.0% | ||||||||||
3,703,442 | GMO Alpha Only Fund, Class IV | 80,290,618 | ||||||||
23,970,865 | GMO Asset Allocation Bond Fund, Class VI | 535,748,824 | ||||||||
5,095,224 | GMO Debt Opportunities Fund, Class VI | 129,062,028 | ||||||||
4,206,883 | GMO Emerging Country Debt Fund, Class IV | 126,500,968 | ||||||||
12,856,424 | GMO Emerging Markets Fund, Class VI | 368,979,370 | ||||||||
31,791,348 | GMO International Equity Fund, Class IV | 635,826,967 | ||||||||
10,704,161 | GMO Quality Fund, Class VI | 225,108,513 | ||||||||
2,505,401 | GMO Risk Premium Fund, Class VI | 74,635,898 | ||||||||
2,344,726 | GMO SGM Major Markets Fund, Class VI | 82,440,581 | ||||||||
15,397,959 | GMO U.S. Equity Allocation Fund, Class VI | 231,431,325 | ||||||||
9,941,680 | GMO U.S. Treasury Fund | 248,641,428 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $2,909,805,478) | 2,738,666,520 | |||||||||
|
| |||||||||
DEBT OBLIGATIONS — 0.0% | ||||||||||
Asset-Backed Securities — 0.0% | ||||||||||
41,917 | ACE Securities Corp., Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + .28%, 0.80%, due 02/25/36¿ | 24,017 | ||||||||
186,665 | Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .65%, 1.82%, due 05/28/39 | 103,268 | ||||||||
63,826 | CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, Variable Rate, 1 mo. LIBOR + .44%, 0.96%, due 10/25/30 | 58,136 | ||||||||
16,846 | Equity One ABS, Inc., Series 04-1, Class AV2, Variable Rate, 1 mo. LIBOR + .60%, 1.12%, due 04/25/34¿ | 14,250 | ||||||||
51,318 | GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + .23%, 0.99%, due 10/25/34¿ | 47,723 | ||||||||
29,539 | Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 0.77%, due 02/26/34 | 26,007 | ||||||||
|
| |||||||||
Total Asset-Backed Securities | 273,401 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $293,464) | 273,401 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 0.0% | ||||||||||
Money Market Funds — 0.0% | ||||||||||
425,467 | State Street Institutional Treasury Money Market Fund-Premier Class, 0.19% (a) | 425,467 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $425,467) | 425,467 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $2,910,524,409) | 2,739,365,388 | |||||||||
Other Assets and Liabilities (net) — (0.0%) | (151,760 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $2,739,213,628 | |||||||||
|
|
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
¿ | These securities are primarily backed by subprime mortgages. |
(a) | The rate disclosed is the 7 day net yield as of August 31, 2016. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 71.
32 | See accompanying notes to the financial statements. |
GMO Global Developed Equity Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 97.2 | % | ||
Short-Term Investments | 1.5 | |||
Preferred Stocks | 0.8 | |||
Investment Funds | 0.1 | |||
Rights/Warrants | 0.0 | ^ | ||
Swap Contracts | (0.0 | )^ | ||
Other | 0.4 | |||
|
| |||
100.0 | % | |||
|
|
Country/Region Summary¤ | % of Investments | |||
United States | 40.4 | % | ||
Japan | 12.7 | |||
United Kingdom | 9.2 | |||
Germany | 5.4 | |||
France | 4.5 | |||
Other Developed | 3.6 | ‡ | ||
Switzerland | 3.2 | |||
Netherlands | 2.6 | |||
Australia | 2.4 | |||
Other Emerging | 2.4 | † | ||
Taiwan | 2.3 | |||
China | 1.9 | |||
Korea | 1.7 | |||
Hong Kong | 1.6 | |||
India | 1.4 | |||
Italy | 1.3 | |||
Canada | 1.2 | |||
Spain | 1.2 | |||
Russia | 1.0 | |||
|
| |||
100.0 | % | |||
|
|
& | The table above shows indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. |
¤ | The table above incorporates aggregate indirect country exposure associated with investments in the 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, if any. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
^ | Rounds to 0.0%. |
33
GMO Global Developed Equity Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares/ Par Value† | Description | Value ($) | ||||||||
MUTUAL FUNDS — 99.9% | ||||||||||
Affiliated Issuers — 99.9% | ||||||||||
4,018,710 | GMO Emerging Markets Fund, Class VI | 115,336,964 | ||||||||
26,679,611 | GMO International Equity Fund, Class IV | 533,592,211 | ||||||||
11,845,659 | GMO Quality Fund, Class VI | 249,114,210 | ||||||||
16,673,957 | GMO U.S. Equity Allocation Fund, Class VI | 250,609,576 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $1,270,691,487) | 1,148,652,961 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
Time Deposits — 0.1% | ||||||||||
1,061,199 | State Street Eurodollar Time Deposit, 0.01%, due 09/01/16 | 1,061,199 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $1,061,199) | 1,061,199 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $1,271,752,686) | 1,149,714,160 | |||||||||
Other Assets and Liabilities (net) — (0.0%) | (89,107 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $1,149,625,053 | |||||||||
|
|
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
For a listing of definitions of acronyms, counterparty abbreviations and
currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 71.
34 | See accompanying notes to the financial statements. |
GMO Global Equity Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 96.6 | % | ||
Preferred Stocks | 1.5 | |||
Short-Term Investments | 1.5 | |||
Investment Funds | 0.1 | |||
Rights/Warrants | 0.0 | ^ | ||
Swap Contracts | 0.0 | ^ | ||
Other | 0.3 | |||
|
| |||
100.0 | % | |||
|
|
Country/Region Summary¤ | % of Investments | |||
United States | 34.2 | % | ||
Japan | 11.3 | |||
United Kingdom | 8.1 | |||
Taiwan | 5.0 | |||
Germany | 4.8 | |||
China | 4.1 | |||
France | 4.0 | |||
Korea | 3.7 | |||
Other Developed | 3.2 | ‡ | ||
Other Emerging | 3.1 | † | ||
India | 3.0 | |||
Switzerland | 2.8 | |||
Netherlands | 2.3 | |||
Russia | 2.3 | |||
Australia | 2.2 | |||
Hong Kong | 1.5 | |||
Brazil | 1.2 | |||
Italy | 1.2 | |||
Canada | 1.0 | |||
Spain | 1.0 | |||
|
| |||
100.0 | % | |||
|
|
& | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. |
¤ | The table above incorporates aggregate indirect country exposure associated with investments in the 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, if any. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
^ | Rounds to 0.0%. |
35
GMO Global Equity Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares/ Par Value† | Description | Value ($) | ||||||||
MUTUAL FUNDS — 100.0% | ||||||||||
Affiliated Issuers — 100.0% | ||||||||||
21,926,485 | GMO Emerging Markets Fund, Class VI | 629,290,118 | ||||||||
59,007,006 | GMO International Equity Fund, Class IV | 1,180,140,124 | ||||||||
24,924,994 | GMO Quality Fund, Class VI | 524,172,625 | ||||||||
34,904,769 | GMO U.S. Equity Allocation Fund, Class VI | 524,618,677 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $3,197,909,242) | 2,858,221,544 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.0% | ||||||||||
Time Deposits — 0.0% | ||||||||||
828,785 | State Street Eurodollar Time Deposit, 0.01%, due 09/01/2016 | 828,785 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $828,785) | 828,785 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $3,198,738,027) | 2,859,050,329 | |||||||||
Other Assets and Liabilities (net) — 0.00% | 469,505 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $2,859,519,834 | |||||||||
|
|
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
For a listing of definitions of acronyms, counterparty abbreviations and
currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 71.
36 | See accompanying notes to the financial statements. |
(A Series of GMO Trust)
Consolidated Investment Concentration Summary(a)
August 31, 2016 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 56.8 | % | ||
Debt Obligations | 27.6 | |||
Short-Term Investments | 13.0 | |||
Preferred Stocks | 1.7 | |||
Swap Contracts | 0.2 | |||
Options Purchased | 0.1 | |||
Forward Currency Contracts | 0.0 | ^ | ||
Rights/warrants | 0.0 | ^ | ||
Written Options | 0.0 | ^ | ||
Securities Sold Short | (2.0 | ) | ||
Other | 2.6 | |||
|
| |||
100.0 | % | |||
|
|
Country/Region Summary¤ | Debt Obligations as a % of Total Net Assets | |||
Mexico | 1.0 | % | ||
New Zealand | 1.0 | |||
Sweden | 1.0 | |||
United States | 1.0 | |||
Other Emerging | 0.0 | ^† | ||
Other Developed | 0.0 | ^‡ | ||
Euro Region | 0.0 | ^§ | ||
United Kingdom | (1.0 | ) | ||
|
| |||
3.0 | % | |||
|
|
Country/Region Summary¤ | Equity Investments as a % of Total Net Assets | |||
United States | 18.1 | % | ||
China | 5.4 | |||
Other Developed | 5.2 | ‡ | ||
Japan | 4.1 | |||
South Korea | 3.6 | |||
United Kingdom | 3.3 | |||
Taiwan | 3.2 | |||
Other Emerging | 2.3 | † | ||
Brazil | 2.2 | |||
Germany | 1.9 | |||
France | 1.5 | |||
South Africa | 1.5 | |||
Russia | 1.2 | |||
Netherlands | 1.1 | |||
India | 1.1 | |||
Switzerland | 1.0 | |||
|
| |||
56.7 | % | |||
|
|
Industry Group Summary | % of Equity Investments# | |||
Technology Hardware & Equipment | 8.5 | % | ||
Banks | 8.4 | |||
Software & Services | 7.2 | |||
Insurance | 6.7 | |||
Energy | 6.5 | |||
Capital Goods | 5.6 | |||
Materials | 5.3 | |||
Utilities | 5.1 | |||
Telecommunication Services | 5.0 | |||
Food, Beverage & Tobacco | 5.0 | |||
Automobiles & Components | 4.5 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 4.4 | |||
Semiconductors & Semiconductor Equipment | 3.4 | |||
Diversified Financials | 3.3 | |||
Real Estate | 3.1 | |||
Transportation | 3.1 | |||
Consumer Durables & Apparel | 3.0 | |||
Health Care Equipment & Services | 3.0 | |||
Retailing | 2.6 | |||
Household & Personal Products | 1.9 | |||
Food & Staples Retailing | 1.6 | |||
Media | 1.4 | |||
Commercial & Professional Services | 0.9 | |||
Consumer Services | 0.5 | |||
|
| |||
100.0 | % | |||
|
|
(a) | GMO Implementation SPC Ltd. is a 100% owned subsidiary of GMO Implementation Fund. As such, the holdings of GMO Implementation SPC Ltd. have been included with GMO Implementation Fund. |
& | In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
¤ | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security. The table is not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the table may not total to 100%. |
§ | “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country. |
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
^ | Rounds to 0.0%. |
37
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 56.8% | ||||||||||
Australia — 0.7% | ||||||||||
817,031 | Adelaide Brighton Ltd | 3,218,919 | ||||||||
109,100 | BT Investment Management Ltd | 724,344 | ||||||||
358,240 | BWP Trust (REIT) | 873,834 | ||||||||
124,248 | CIMIC Group Ltd | 2,759,129 | ||||||||
12,223 | Credit Corp Group Ltd | 152,358 | ||||||||
935,610 | Dexus Property Group (REIT) | 6,824,846 | ||||||||
582,055 | Downer EDI Ltd | 2,139,600 | ||||||||
21,982 | Elders Ltd * | 60,611 | ||||||||
3,258,149 | Fairfax Media Ltd | 2,408,505 | ||||||||
17,620 | Flight Centre Travel Group Ltd | 487,303 | ||||||||
1,558,631 | GPT Group (The) (REIT) | 6,234,359 | ||||||||
382,640 | Investa Office Fund (REIT) | 1,309,812 | ||||||||
161,796 | LendLease Group | 1,676,590 | ||||||||
2,987,084 | Mirvac Group (REIT) | 5,198,899 | ||||||||
492,136 | Nine Entertainment Co Holdings Ltd | 369,274 | ||||||||
69,470 | Nufarm Ltd | 439,423 | ||||||||
1,021,741 | OZ Minerals Ltd | 4,901,888 | ||||||||
52,752 | Premier Investments Ltd | 650,878 | ||||||||
4,327,462 | Scentre Group (REIT) | 16,144,381 | ||||||||
571,474 | Shopping Centres Australasia Property Group (REIT) | 990,640 | ||||||||
338,273 | Sonic Healthcare Ltd | 5,839,406 | ||||||||
984,510 | Star Entertainment Grp Ltd (The) | 4,359,140 | ||||||||
1,110,202 | Stockland (REIT) | 4,041,713 | ||||||||
41,650 | Tassal Group Ltd | 127,936 | ||||||||
3,755,265 | Telstra Corp Ltd | 14,829,227 | ||||||||
634,047 | Westfield Corp (REIT) | 4,863,105 | ||||||||
122,744 | Woodside Petroleum Ltd | 2,629,635 | ||||||||
|
| |||||||||
Total Australia | 94,255,755 | |||||||||
|
| |||||||||
Austria — 0.1% | ||||||||||
24,664 | Oesterreichische Post AG * | 885,885 | ||||||||
306,283 | OMV AG | 8,582,126 | ||||||||
113,749 | voestalpine AG | 3,769,911 | ||||||||
|
| |||||||||
Total Austria | 13,237,922 | |||||||||
|
| |||||||||
Belgium — 0.1% | ||||||||||
113,083 | Ageas | 3,921,259 | ||||||||
231,456 | AGFA-Gevaert NV * | 734,014 | ||||||||
140,243 | bpost SA | 3,568,987 | ||||||||
8,968 | Groupe Bruxelles Lambert SA | 787,613 | ||||||||
18,268 | Melexis NV | 1,198,063 | ||||||||
60,079 | Proximus SADP | 1,840,054 | ||||||||
|
| |||||||||
Total Belgium | 12,049,990 | |||||||||
|
| |||||||||
Brazil — 0.8% | ||||||||||
866,200 | Ambev SA | 5,147,522 | ||||||||
395,330 | Banco Bradesco SA | 3,562,524 |
Shares | Description | Value ($) | ||||||||
Brazil — continued | ||||||||||
1,363,300 | Banco do Brasil SA | 9,798,772 | ||||||||
6,804,100 | BM&FBovespa SA – Bolsa de Valores Mercadorias e Futuros | 37,737,344 | ||||||||
1,637,000 | Centrais Eletricas Brasileiras SA * | 11,421,284 | ||||||||
198,273 | Cia de Saneamento de Minas Gerais-COPASA | 2,026,201 | ||||||||
120,600 | Cosan Ltd – A Shares | 849,024 | ||||||||
2,427,013 | EDP-Energias do Brasil SA | 10,747,642 | ||||||||
118,800 | Grendene SA | 661,104 | ||||||||
1,884,200 | JBS SA | 7,293,602 | ||||||||
2,455,600 | MRV Engenharia e Participacoes SA | 9,353,363 | ||||||||
1,289,600 | Transmissora Alianca de Energia Eletrica SA | 9,265,056 | ||||||||
|
| |||||||||
Total Brazil | 107,863,438 | |||||||||
|
| |||||||||
Canada — 0.9% | ||||||||||
250,600 | Air Canada * | 1,712,198 | ||||||||
98,100 | Alimentation Couche-Tard Inc – Class B | 5,059,099 | ||||||||
102,200 | Bank of Montreal | 6,778,524 | ||||||||
341,700 | BCE Inc | 15,964,587 | ||||||||
48,600 | BCE Inc | 2,269,620 | ||||||||
62,800 | Canadian Imperial Bank of Commerce | 4,985,115 | ||||||||
48,000 | Canadian National Railway Co | 3,084,459 | ||||||||
33,000 | Canadian Tire Corp Ltd – Class A | 3,380,273 | ||||||||
106,700 | Celestica Inc * | 1,137,461 | ||||||||
146,000 | CGI Group Inc – Class A * | 7,106,283 | ||||||||
17,100 | Chorus Aviation Inc | 78,107 | ||||||||
301,200 | CI Financial Corp | 5,895,840 | ||||||||
33,400 | Cogeco Communications Inc | 1,616,006 | ||||||||
68,800 | Corus Entertainment Inc – B Shares | 644,770 | ||||||||
362,400 | IAMGOLD Corp * | 1,345,804 | ||||||||
114,600 | IAMGOLD Corp * | 424,020 | ||||||||
39,300 | Linamar Corp | 1,621,867 | ||||||||
5,400 | Medical Facilities Corp | 84,290 | ||||||||
497,500 | Metro Inc | 16,896,942 | ||||||||
14,900 | National Bank of Canada | 523,670 | ||||||||
95,000 | Power Corp of Canada | 2,008,083 | ||||||||
32,600 | Royal Bank of Canada | 2,026,749 | ||||||||
430,000 | Sun Life Financial Inc | 13,568,248 | ||||||||
115,200 | Toromont Industries Ltd | 3,485,692 | ||||||||
135,100 | Toronto-Dominion Bank (The) | 6,028,711 | ||||||||
132,400 | Transcontinental Inc – Class A | 1,938,447 | ||||||||
15,460 | WestJet Airlines Ltd | 285,292 | ||||||||
|
| |||||||||
Total Canada | 109,950,157 | |||||||||
|
| |||||||||
Chile — 0.0% | ||||||||||
165,805 | Empresa Nacional de Telecomunicaciones SA * | 1,563,372 | ||||||||
130,558 | Enersis Americas SA | 21,624 |
38 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Chile — continued | ||||||||||
130,558 | Enersis Chile SA | 13,921 | ||||||||
|
| |||||||||
Total Chile | 1,598,917 | |||||||||
|
| |||||||||
China — 5.4% | ||||||||||
6,364,000 | Agile Property Holdings Ltd | 3,609,910 | ||||||||
2,680,000 | Air China Ltd – Class H | 1,978,732 | ||||||||
6,661,000 | Anhui Conch Cement Co Ltd – Class H | 18,656,255 | ||||||||
448,000 | Anhui Expressway Co Ltd – Class H | 367,936 | ||||||||
3,298,000 | ANTA Sports Products Ltd | 8,906,160 | ||||||||
6,344,000 | Beijing Capital International Airport Co Ltd – Class H | 7,141,877 | ||||||||
1,992,000 | Beijing Capital Land Ltd – Class H | 776,532 | ||||||||
26,749,000 | Belle International Holdings Ltd | 17,338,402 | ||||||||
12,800 | Changyou.com Ltd ADR * | 317,184 | ||||||||
2,164,000 | China BlueChemical Ltd – Class H | 412,069 | ||||||||
14,902,000 | China Communications Construction Co Ltd – Class H | 16,192,796 | ||||||||
14,406,000 | China Communications Services Corp Ltd – Class H | 8,456,393 | ||||||||
6,964,000 | China Everbright Ltd | 14,411,790 | ||||||||
2,904,000 | China Foods Ltd | 1,304,733 | ||||||||
3,972,000 | China High Speed Transmission Equipment Group Co Ltd – Class H | 3,654,517 | ||||||||
14,572,000 | China Jinmao Holdings Group Ltd | 4,533,545 | ||||||||
4,781,000 | China Lesso Group Holdings Ltd | 3,351,601 | ||||||||
5,187,000 | China Machinery Engineering Corp – Class H | 3,150,046 | ||||||||
4,229,000 | China Mengniu Dairy Co Ltd | 7,995,634 | ||||||||
5,128,500 | China Mobile Ltd | 63,178,075 | ||||||||
38,000 | China Mobile Ltd Sponsored ADR | 2,306,980 | ||||||||
43,930,000 | China National Building Material Co Ltd – Class H | 19,767,127 | ||||||||
33,628,000 | China Petroleum & Chemical Corp – Class H | 24,035,523 | ||||||||
13,130,000 | China Power International Development Ltd | 4,946,396 | ||||||||
12,085,000 | China Railway Construction Corp Ltd – Class H | 14,748,629 | ||||||||
1,780,000 | China Railway Group Ltd – Class H | 1,314,921 | ||||||||
1,230,395 | China Resources Beer Holdings Co Ltd | 2,835,657 | ||||||||
8,784,000 | China Resources Cement Holdings Ltd | 3,435,474 | ||||||||
9,714,963 | China Resources Power Holdings Co Ltd | 16,733,360 | ||||||||
4,824,000 | China Shanshui Cement Group Ltd * (a) | — | ||||||||
324,000 | China Shineway Pharmaceutical Group Ltd | 339,427 | ||||||||
7,128,000 | China Southern Airlines Co Ltd – Class H | 4,220,419 | ||||||||
70,406,000 | China Telecom Corp Ltd – Class H | 36,278,092 | ||||||||
12,372,000 | China Travel International Investment Hong Kong Ltd | 3,628,275 |
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
5,174,500 | China ZhengTong Auto Services Holdings Ltd | 1,796,303 | ||||||||
1,034,000 | Chinasoft International Ltd * | 476,889 | ||||||||
3,272,000 | CIFI Holdings Group Co Ltd | 1,022,677 | ||||||||
656,313 | CKH Food & Health Ltd * | 1,405,520 | ||||||||
22,142,000 | CNOOC Ltd | 26,712,596 | ||||||||
17,447,000 | Country Garden Holdings Co Ltd | 8,842,303 | ||||||||
694,000 | Dah Chong Hong Holdings Ltd | 302,739 | ||||||||
12,196,000 | Datang International Power Generation Co Ltd – Class H | 3,185,966 | ||||||||
4,606,000 | Digital China Holdings Ltd | 4,140,153 | ||||||||
7,936,000 | Dongfeng Motor Group Co Ltd – Class H | 8,458,639 | ||||||||
1,637,000 | Far East Horizon Ltd | 1,526,041 | ||||||||
824,500 | Fosun International Ltd | 1,138,366 | ||||||||
44,356,000 | GOME Electrical Appliances Holding Ltd | 5,247,674 | ||||||||
6,297,000 | Greentown China Holdings Ltd * | 5,129,762 | ||||||||
10,674,000 | Guangdong Investment Ltd | 16,482,355 | ||||||||
8,806,400 | Guangzhou R&F Properties Co Ltd – Class H | 14,841,516 | ||||||||
1,488,000 | Haitian International Holdings Ltd | 2,991,474 | ||||||||
689,500 | Hopewell Highway Infrastructure Ltd | 401,546 | ||||||||
630,000 | Hopson Development Holdings Ltd | 615,647 | ||||||||
15,384,000 | Huabao International Holdings Ltd * | 5,919,134 | ||||||||
14,868,000 | Huadian Power International Corp Ltd – Class H | 6,637,851 | ||||||||
16,802,000 | Huaneng Power International Inc – Class H | 10,237,660 | ||||||||
7,934,000 | Jiangsu Expressway Co Ltd – Class H | 11,133,969 | ||||||||
1,482,000 | Ju Teng International Holdings Ltd | 438,768 | ||||||||
2,439,000 | Kingboard Chemical Holdings Ltd | 6,341,911 | ||||||||
315,500 | Kingboard Laminates Holdings Ltd | 272,508 | ||||||||
471,000 | Kingsoft Corp Ltd | 960,281 | ||||||||
9,709,000 | KWG Property Holding Ltd | 6,501,716 | ||||||||
11,400,000 | Lee & Man Paper Manufacturing Ltd | 9,182,286 | ||||||||
6,020,000 | Longfor Properties Co Ltd | 9,678,441 | ||||||||
300,000 | Minth Group Ltd | 1,133,461 | ||||||||
28,605,000 | People’s Insurance Co Group of China Ltd (The) – Class H | 11,457,314 | ||||||||
15,016,000 | PICC Property & Casualty Co Ltd – Class H | 24,713,352 | ||||||||
12,421,000 | Poly Property Group Co Ltd * | 3,543,884 | ||||||||
3,149,000 | Pou Sheng International Holdings Ltd * | 1,086,067 | ||||||||
65,500 | Qunar Cayman Islands Ltd ADR * | 1,946,660 | ||||||||
2,638,000 | Shanghai Industrial Holdings Ltd | 6,855,465 | ||||||||
1,070,000 | Shanghai Jin Jiang International Hotels Group Co Ltd – Class H | 344,234 | ||||||||
2,480,500 | Shanghai Pharmaceuticals Holding Co Ltd – Class H | 6,798,105 | ||||||||
6,262,000 | Shenzhen Expressway Co Ltd – Class H | 6,610,831 |
See accompanying notes to the financial statements. | 39 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
6,813,000 | Shenzhen International Holdings Ltd | 10,918,318 | ||||||||
7,480,500 | Shimao Property Holdings Ltd | 10,382,050 | ||||||||
12,531,500 | Shui On Land Ltd | 3,549,549 | ||||||||
14,580,500 | Sino-Ocean Land Holdings Ltd | 6,750,554 | ||||||||
3,778,000 | Sinofert Holdings Ltd | 476,396 | ||||||||
7,616,000 | Sinopec Engineering Group Co Ltd – Class H | 6,301,935 | ||||||||
19,809,532 | Skyworth Digital Holdings Ltd | 14,638,232 | ||||||||
8,908,000 | SOHO China Ltd | 5,310,161 | ||||||||
328,450 | Sohu.com Inc * | 13,972,263 | ||||||||
1,682,000 | Tianjin Development Holdings Ltd | 794,969 | ||||||||
1,650,000 | Tianjin Port Development Holdings Ltd | 254,768 | ||||||||
3,052,000 | Tianneng Power International Ltd | 2,506,897 | ||||||||
9,409,000 | TravelSky Technology Ltd – Class H | 20,394,924 | ||||||||
1,023,000 | Xinhua Winshare Publishing and Media Co Ltd – Class H * | 1,039,043 | ||||||||
4,512,000 | XTEP International Holdings Ltd | 2,327,852 | ||||||||
1,584,500 | Yingde Gases Group Co Ltd | 691,544 | ||||||||
16,806,000 | Yuexiu Property Co Ltd | 2,550,542 | ||||||||
6,519,000 | Yuexiu Real Estate Investment Trust | 4,274,251 | ||||||||
10,874,000 | Zhejiang Expressway Co Ltd – Class H | 12,111,213 | ||||||||
|
| |||||||||
Total China | 676,081,992 | |||||||||
|
| |||||||||
Czech Republic — 0.2% | ||||||||||
920,159 | CEZ AS | 16,061,139 | ||||||||
256,634 | Komercni Banka as | 8,679,280 | ||||||||
80,000 | O2 Czech Republic AS | 747,725 | ||||||||
|
| |||||||||
Total Czech Republic | 25,488,144 | |||||||||
|
| |||||||||
Denmark — 0.3% | ||||||||||
4,732 | AP Moeller – Maersk A/S – Class B | 7,078,890 | ||||||||
65,453 | Carlsberg A/S – Class B | 6,144,141 | ||||||||
37,700 | Novo Nordisk A/S Sponsored ADR | 1,761,344 | ||||||||
436,839 | Novo Nordisk A/S – Class B | 20,444,399 | ||||||||
|
| |||||||||
Total Denmark | 35,428,774 | |||||||||
|
| |||||||||
Finland — 0.1% | ||||||||||
240,528 | Neste Oyj | 10,018,521 | ||||||||
12,225 | Orion Oyj – Class B | 462,703 | ||||||||
244,312 | Sponda Oyj | 1,275,686 | ||||||||
332,580 | UPM-Kymmene Oyj | 6,684,846 | ||||||||
|
| |||||||||
Total Finland | 18,441,756 | |||||||||
|
| |||||||||
France — 1.8% | ||||||||||
168,075 | Air France-KLM * | 925,130 | ||||||||
5,926 | Aubay | 154,682 | ||||||||
1,996,596 | AXA SA | 42,022,894 | ||||||||
464,295 | BNP Paribas SA | 23,711,770 | ||||||||
70,655 | Capgemini SA | 6,903,669 |
Shares | Description | Value ($) | ||||||||
France — continued | ||||||||||
73,844 | Christian Dior SE | 12,796,479 | ||||||||
89,320 | Cie Generale des Etablissements Michelin | 9,521,184 | ||||||||
64,441 | CNP Assurances | 1,039,467 | ||||||||
106,240 | Legrand SA | 6,382,468 | ||||||||
21,606 | LVMH Moet Hennessy Louis Vuitton SE | 3,655,924 | ||||||||
82,459 | M6-Metropole Television SA | 1,464,525 | ||||||||
15,093 | Nexity SA * | 792,046 | ||||||||
165,573 | Orange SA | 2,523,983 | ||||||||
67,639 | Renault SA | 5,554,723 | ||||||||
134,386 | Rexel SA | 2,164,753 | ||||||||
165,251 | SCOR SE | 4,875,759 | ||||||||
328,872 | Societe Generale SA | 12,007,022 | ||||||||
20,233 | Societe BIC SA | 2,956,540 | ||||||||
1,459,465 | TOTAL SA | 69,727,961 | ||||||||
1,003,731 | Vivendi SA | 19,440,972 | ||||||||
|
| |||||||||
Total France | 228,621,951 | |||||||||
|
| |||||||||
Germany — 1.7% | ||||||||||
174,206 | ADVA Optical Networking SE * | 1,486,448 | ||||||||
352,730 | Allianz SE (Registered) | 52,435,795 | ||||||||
28,656 | Axel Springer SE | 1,458,533 | ||||||||
557,970 | BASF SE | 45,260,043 | ||||||||
102,171 | Bayerische Motoren Werke AG | 8,877,924 | ||||||||
12,181 | Bechtle AG | 1,359,083 | ||||||||
835,318 | Daimler AG (Registered) | 57,821,467 | ||||||||
923,900 | Deutsche Lufthansa AG (Registered) | 10,747,421 | ||||||||
203,655 | Evonik Industries AG | 6,833,527 | ||||||||
7,777 | Fraport AG Frankfurt Airport Services Worldwide | 433,397 | ||||||||
53,287 | Hannover Rueck SE | 5,447,470 | ||||||||
173,931 | K+S AG (Registered) | 3,635,224 | ||||||||
197,906 | ProSiebenSat.1 Media SE | 8,538,912 | ||||||||
7,162 | RHOEN-KLINIKUM AG | 211,735 | ||||||||
5,193 | RTL Group SA | 437,164 | ||||||||
46,883 | SAP AG | 4,117,261 | ||||||||
79,777 | Software AG | 3,171,866 | ||||||||
98,324 | STADA Arzneimittel AG | 5,272,837 | ||||||||
|
| |||||||||
Total Germany | 217,546,107 | |||||||||
|
| |||||||||
Hong Kong — 0.6% | ||||||||||
2,625,500 | BOC Hong Kong Holdings Ltd | 9,166,604 | ||||||||
867,000 | Champion (REIT) | 552,350 | ||||||||
992,000 | CK Hutchison Holdings Ltd | 12,727,800 | ||||||||
807,600 | Dah Sing Banking Group Ltd | 1,481,992 | ||||||||
142,800 | Dah Sing Financial Holdings Ltd | 963,315 | ||||||||
36,300 | Hang Seng Bank Ltd | 635,753 | ||||||||
1,227,900 | Hongkong Land Holdings Ltd | 7,958,376 | ||||||||
697,000 | Hysan Development Co Ltd | 3,360,724 |
40 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Hong Kong — continued | ||||||||||
1,380,000 | Kerry Properties Ltd | 4,007,833 | ||||||||
1,508,500 | Link (REIT) | 10,957,619 | ||||||||
334,000 | Luk Fook Holdings International Ltd | 761,391 | ||||||||
1,549,600 | Man Wah Holdings Ltd | 1,051,445 | ||||||||
829,000 | Pacific Textiles Holdings Ltd | 1,089,380 | ||||||||
67,300 | Power Assets Holdings Ltd | 642,857 | ||||||||
720,000 | Sino Land Co Ltd | 1,230,546 | ||||||||
4,691,000 | SJM Holdings Ltd | 2,942,942 | ||||||||
312,000 | Sun Hung Kai Properties Ltd | 4,383,061 | ||||||||
466,500 | Swire Pacific Ltd – Class A | 5,146,429 | ||||||||
191,900 | Television Broadcasts Ltd | 684,337 | ||||||||
871,000 | Wharf Holdings Ltd (The) | 6,138,397 | ||||||||
570,000 | Wheelock & Co Ltd | 3,254,762 | ||||||||
232,500 | Xinyi Automobile Glass Hong Kong Enterprises Ltd * | 47,953 | ||||||||
1,860,000 | Xinyi Glass Holdings Ltd * | 1,598,901 | ||||||||
|
| |||||||||
Total Hong Kong | 80,784,767 | |||||||||
|
| |||||||||
Hungary — 0.2% | ||||||||||
2,744,536 | Magyar Telekom Telecommunications Plc | 4,279,476 | ||||||||
162,782 | MOL Hungarian Oil & Gas Plc | 10,160,665 | ||||||||
440,734 | OTP Bank Plc | 11,506,033 | ||||||||
75,563 | Richter Gedeon Nyrt | 1,550,126 | ||||||||
|
| |||||||||
Total Hungary | 27,496,300 | |||||||||
|
| |||||||||
India — 1.1% | ||||||||||
988,998 | Allahabad Bank * | 1,241,834 | ||||||||
419,341 | Andhra Bank | 376,541 | ||||||||
487,102 | Bank of India * | 848,700 | ||||||||
1,202,314 | Cairn India Ltd | 3,575,257 | ||||||||
1,732,603 | Canara Bank * | 7,229,525 | ||||||||
70,399 | Dewan Housing Finance Corp Ltd | 304,209 | ||||||||
3,013,260 | Firstsource Solutions Ltd * | 1,976,003 | ||||||||
296,164 | HCL Technologies Ltd | 3,438,439 | ||||||||
1,010,294 | Hexaware Technologies Ltd | 3,056,749 | ||||||||
1,093,844 | IDBI Bank Ltd * | 1,186,616 | ||||||||
110,425 | IFCI Ltd | 46,789 | ||||||||
1,216,633 | Indiabulls Housing Finance Ltd | 14,854,343 | ||||||||
2,310,514 | Infosys Ltd Sponsored ADR | 36,644,752 | ||||||||
318,328 | Jammu & Kashmir Bank Ltd (The) | 333,566 | ||||||||
161,103 | Karnataka Bank Ltd (The) | 362,835 | ||||||||
132,817 | KPIT Technologies Ltd | 252,142 | ||||||||
271,419 | Mindtree Ltd | 2,269,816 | ||||||||
165,231 | Mphasis Ltd * | 1,392,136 | ||||||||
247,991 | NIIT Ltd * | 345,253 | ||||||||
542,040 | NIIT Technologies Ltd | 3,237,437 | ||||||||
16,268 | Oracle Financial Services Software Ltd | 835,321 | ||||||||
764,457 | Oriental Bank of Commerce | 1,429,116 |
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
1,283,356 | Power Finance Corp Ltd | 2,373,669 | ||||||||
1,283,356 | Power Finance Corp Ltd Bonus Shares * | 2,222,925 | ||||||||
2,682,518 | Rural Electrification Corp Ltd | 9,560,630 | ||||||||
393,705 | Sonata Software Ltd | 905,813 | ||||||||
2,450,060 | Syndicate Bank * | 2,808,615 | ||||||||
425,575 | Tata Consultancy Services Ltd | 15,978,354 | ||||||||
1,889,515 | Union Bank of India | 3,995,341 | ||||||||
610,820 | Wipro Ltd | 4,438,354 | ||||||||
928,400 | Wipro Ltd ADR | 9,581,088 | ||||||||
37,878 | Zensar Technologies Ltd | 610,075 | ||||||||
|
| |||||||||
Total India | 137,712,243 | |||||||||
|
| |||||||||
Indonesia — 0.0% | ||||||||||
7,657,900 | Bank Tabungan Negara Persero Tbk PT | 1,158,498 | ||||||||
670,400 | Indo Tambangraya Megah Tbk PT | 574,015 | ||||||||
|
| |||||||||
Total Indonesia | 1,732,513 | |||||||||
|
| |||||||||
Ireland — 0.0% | ||||||||||
5,400 | ICON Plc * | 414,666 | ||||||||
169,757 | Smurfit Kappa Group Plc | 4,190,016 | ||||||||
|
| |||||||||
Total Ireland | 4,604,682 | |||||||||
|
| |||||||||
Israel — 0.4% | ||||||||||
1,137,801 | Bank Hapoalim BM | 6,109,033 | ||||||||
1,166,645 | Bank Leumi Le-Israel BM * | 4,371,758 | ||||||||
1,159,014 | Bezeq The Israeli Telecommunication Corp Ltd | 2,329,535 | ||||||||
272,400 | Check Point Software Technologies Ltd * | 20,903,976 | ||||||||
609,827 | Israel Discount Bank Ltd – Class A * | 1,101,264 | ||||||||
63,270 | Mizrahi Tefahot Bank Ltd | 763,723 | ||||||||
220,392 | Teva Pharmaceutical Industries Ltd | 11,163,741 | ||||||||
37,500 | Teva Pharmaceutical Industries Ltd Sponsored ADR | 1,889,625 | ||||||||
|
| |||||||||
Total Israel | 48,632,655 | |||||||||
|
| |||||||||
Italy — 0.6% | ||||||||||
681,429 | A2A SPA | 904,369 | ||||||||
111,682 | Amplifon SPA | 1,174,711 | ||||||||
754,004 | Banca Mediolanum SPA | 5,238,350 | ||||||||
33,753 | De’ Longhi SPA | 837,280 | ||||||||
4,200,357 | Enel SPA | 18,561,101 | ||||||||
1,875,190 | Eni SPA | 28,308,078 | ||||||||
1,089,802 | Hera SPA | 3,021,142 | ||||||||
623,059 | Iren SPA | 1,025,748 | ||||||||
243,225 | Italcementi SPA * | 2,867,982 | ||||||||
5,263 | La Doria SPA | 65,712 | ||||||||
182,852 | Poste Italiane SPA | 1,275,100 | ||||||||
198,329 | Recordati SPA | 6,002,718 |
See accompanying notes to the financial statements. | 41 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Italy — continued | ||||||||||
687 | Reply SPA | 84,714 | ||||||||
300,228 | Saras SPA | 448,532 | ||||||||
194,208 | Societa Cattolica di Assicurazioni SCRL | 1,125,448 | ||||||||
2,506,010 | Telecom Italia SPA-Di RISP * | 1,837,658 | ||||||||
|
| |||||||||
Total Italy | 72,778,643 | |||||||||
|
| |||||||||
Japan — 4.2% | ||||||||||
105,300 | Aisin Seiki Co Ltd | 4,980,960 | ||||||||
20,400 | Alfresa Holdings Corp | 381,075 | ||||||||
45,700 | AOKI Holdings Inc | 471,468 | ||||||||
46,200 | Aoyama Trading Co Ltd | 1,500,650 | ||||||||
8,800 | Asahi Breweries Ltd | 287,924 | ||||||||
140,000 | Asahi Kasei Corp | 1,182,776 | ||||||||
38,900 | Autobacs Seven Co Ltd | 539,301 | ||||||||
69,300 | Bridgestone Corp | 2,383,431 | ||||||||
312,000 | Calsonic Kansei Corp | 2,458,383 | ||||||||
73,622 | Canon Inc | 2,111,160 | ||||||||
5,100 | Cawachi Ltd | 112,875 | ||||||||
81,200 | Central Japan Railway Co | 13,352,636 | ||||||||
23,200 | Century Tokyo Leasing Corp | 872,371 | ||||||||
16,000 | Chiba Bank Ltd (The) | 95,035 | ||||||||
56,000 | Coca-Cola West Co Ltd | 1,270,107 | ||||||||
35,100 | Concordia Financial Group Ltd * | 181,470 | ||||||||
249,000 | Daicel Corp | 3,181,875 | ||||||||
205,800 | Daiichi Sanyko Co Ltd | 4,728,149 | ||||||||
243,700 | Daiwa House Industry Co Ltd | 6,295,818 | ||||||||
168,200 | DCM Holdings Co Ltd | 1,282,048 | ||||||||
445,000 | Denka Co Ltd | 1,881,304 | ||||||||
16,100 | Exedy Corp | 399,742 | ||||||||
215,800 | Fuji Heavy Industries Ltd | 8,589,312 | ||||||||
453,822 | FUJIFILM Holdings Corp | 17,077,485 | ||||||||
40,000 | Fujitsu General Ltd | 813,696 | ||||||||
118,600 | Haseko Corp | 1,124,150 | ||||||||
23,900 | Hitachi Capital Corp | 498,062 | ||||||||
19,100 | Horiba Ltd | 888,637 | ||||||||
76,000 | Idemitsu Kosan Co Ltd | 1,384,896 | ||||||||
541,992 | Inpex Corp | 4,697,800 | ||||||||
3,556,600 | ITOCHU Corp | 41,999,550 | ||||||||
461,000 | Japan Airlines Co Ltd | 14,070,694 | ||||||||
149,000 | Juroku Bank Ltd (The) | 413,884 | ||||||||
209,300 | K’s Holdings Corp | 3,304,959 | ||||||||
252,000 | Kaneka Corp | 2,058,127 | ||||||||
549,000 | Kanematsu Corp | 807,139 | ||||||||
1,709,200 | KDDI Corp | 49,967,825 | ||||||||
68,000 | Keihin Corp | 1,045,638 | ||||||||
291,100 | Konica Minolta Inc | 2,629,700 | ||||||||
74,100 | Kuraray Co Ltd | 1,060,366 | ||||||||
2,187,900 | Marubeni Corp | 10,918,278 | ||||||||
210,704 | Medipal Holdings Corp | 3,337,119 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
724,300 | Mitsubishi Chemical Holdings Corp | 4,583,338 | ||||||||
834,000 | Mitsubishi Electric Corp | 10,914,101 | ||||||||
22,000 | Mitsubishi Tanabe Pharma Corp | 408,394 | ||||||||
7,182,400 | Mitsubishi UFJ Financial Group Inc | 39,564,432 | ||||||||
834,274 | Mitsui & Co Ltd | 11,108,378 | ||||||||
8,165,100 | Mizuho Financial Group Inc | 14,226,271 | ||||||||
95,700 | NHK Spring Co Ltd | 903,325 | ||||||||
12,200 | Nifco Inc | 615,072 | ||||||||
68,000 | Nippon Corp | 1,232,382 | ||||||||
89,300 | Nippon Paper Industries Co Ltd | 1,654,491 | ||||||||
1,171,700 | Nippon Telegraph & Telephone Corp | 51,518,555 | ||||||||
834,436 | Nissan Motor Co Ltd | 8,198,761 | ||||||||
65,000 | Nomura Real Estate Holdings Inc | 1,060,093 | ||||||||
711,429 | NTT DOCOMO Inc | 17,941,724 | ||||||||
86,000 | Onward Holdings Co Ltd | 605,300 | ||||||||
300,900 | Orient Corp * | 600,161 | ||||||||
276,000 | ORIX Corp | 3,977,413 | ||||||||
562,000 | Osaka Gas Co Ltd | 2,214,549 | ||||||||
333,200 | Otsuka Holdings Co Ltd | 14,448,746 | ||||||||
69,000 | PanaHome Corp | 510,779 | ||||||||
4,300 | Pola Orbis Holdings Inc | 343,441 | ||||||||
318,400 | Sekisui Chemical Co Ltd | 4,458,170 | ||||||||
382,500 | Sekisui House Ltd | 6,171,191 | ||||||||
21,300 | Shimamura Co Ltd | 2,465,649 | ||||||||
3,610,600 | Sojitz Corp | 8,660,012 | ||||||||
935,000 | Sumitomo Chemical Co Ltd | 4,289,564 | ||||||||
785,000 | Sumitomo Corp | 8,517,858 | ||||||||
150,600 | Sumitomo Forestry Co Ltd | 2,038,730 | ||||||||
1,347,100 | Sumitomo Mitsui Financial Group Inc | 47,124,412 | ||||||||
599,000 | Sumitomo Mitsui Trust Holdings Inc | 2,149,347 | ||||||||
106,000 | Sumitomo Osaka Cement Co Ltd | 480,011 | ||||||||
164,600 | Sumitomo Rubber Industries Ltd | 2,446,930 | ||||||||
5,300 | Sundrug Co Ltd | 383,975 | ||||||||
84,500 | Suzuken Co Ltd | 2,453,507 | ||||||||
101,137 | TIS Inc | 2,401,353 | ||||||||
83,500 | Toho Holdings Co Ltd | 1,623,281 | ||||||||
63,100 | Tokai Rika Co Ltd | 1,251,629 | ||||||||
5,800 | Token Corp | 427,972 | ||||||||
345,000 | Toppan Printing Co Ltd | 3,078,834 | ||||||||
19,600 | Topre Corp | 385,535 | ||||||||
537,000 | Tosoh Corp | 3,313,075 | ||||||||
30,800 | Toyoda Gosei Co Ltd | 710,901 | ||||||||
27,000 | Toyota Boshoku Corp | 619,556 | ||||||||
210,400 | Toyota Tsusho Corp | 4,817,947 | ||||||||
71,300 | TS Tech Co Ltd | 1,658,354 | ||||||||
126,000 | Tsubakimoto Chain Co | 953,118 | ||||||||
303,400 | UNY Group Holdings Co Ltd | 2,998,606 | ||||||||
46,600 | Valor Holdings Co Ltd | 1,258,225 | ||||||||
55,000 | Wacoal Holdings Corp | 588,933 |
42 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
�� Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
3,000 | Warabeya Nichiyo Co Ltd | 54,772 | ||||||||
446,067 | Yamada Denki Co Ltd | 2,086,797 | ||||||||
97,000 | Yamaguchi Financial Group Inc | 1,024,904 | ||||||||
81,800 | Yokohama Rubber Co Ltd (The) | 1,331,242 | ||||||||
|
| |||||||||
Total Japan | 525,491,971 | |||||||||
|
| |||||||||
Malaysia — 0.0% | ||||||||||
593,000 | Ta Ann Holdings Berhad | 522,452 | ||||||||
|
| |||||||||
Mexico — 0.5% | ||||||||||
1,636,803 | Alpek SA de CV | 2,826,838 | ||||||||
609,700 | Arca Continental SAB de CV | 3,806,684 | ||||||||
2,891,700 | Bolsa Mexicana de Valores SAB de CV | 5,244,734 | ||||||||
242,100 | Controladora Comercial Mexicana SAB de CV * | 419,823 | ||||||||
1,634,693 | Gentera SAB de CV | 3,194,347 | ||||||||
934,355 | Gruma SAB de CV – Class B | 12,421,534 | ||||||||
808,600 | Grupo Aeroportuario del Pacifico SAB de CV – Class B | 8,040,145 | ||||||||
10,900 | Grupo Aeroportuario del Sureste SAB de CV ADR | 1,661,814 | ||||||||
116,860 | Grupo Aeroportuario del Sureste SAB de CV – Class B | 1,779,559 | ||||||||
433,391 | Grupo Financiero Interacciones SA de CV – Class O | 2,221,496 | ||||||||
443,613 | Grupo Herdez SAB de CV | 949,185 | ||||||||
1,099,800 | Macquarie Mexico Real Estate Management SA de CV (REIT) * | 1,424,556 | ||||||||
5,138,500 | OHL Mexico SAB de CV * | 7,256,931 | ||||||||
3,698,200 | Wal-Mart de Mexico SAB de CV | 8,447,792 | ||||||||
|
| |||||||||
Total Mexico | 59,695,438 | |||||||||
|
| |||||||||
Netherlands — 1.1% | ||||||||||
116,700 | AerCap Holdings NV * | 4,664,499 | ||||||||
74,440 | Heineken Holding NV | 6,000,659 | ||||||||
62,502 | Heineken NV | 5,597,765 | ||||||||
315,528 | ING Groep NV | 3,948,944 | ||||||||
694,533 | Koninklijke Ahold Delhaize NV | 16,673,484 | ||||||||
1,176,425 | NN Group NV | 35,124,615 | ||||||||
1,491,525 | PostNL NV * | 6,541,087 | ||||||||
102,445 | Randstad Holdings NV | 4,846,914 | ||||||||
93,100 | Unilever NV | 4,292,841 | ||||||||
838,808 | Unilever NV CVA | 38,594,484 | ||||||||
417,720 | Wolters Kluwer NV | 17,572,218 | ||||||||
|
| |||||||||
Total Netherlands | 143,857,510 | |||||||||
|
| |||||||||
New Zealand — 0.0% | ||||||||||
77,354 | Air New Zealand Ltd | 126,789 | ||||||||
193,730 | Fletcher Building Ltd | 1,488,357 |
Shares | Description | Value ($) | ||||||||
New Zealand — continued | ||||||||||
436,388 | SKY Network Television Ltd | 1,537,734 | ||||||||
|
| |||||||||
Total New Zealand | 3,152,880 | |||||||||
|
| |||||||||
Norway — 0.3% | ||||||||||
72,668 | Bakkafrost P/F | 2,607,149 | ||||||||
231,172 | BW LPG Ltd | 609,336 | ||||||||
937,678 | Orkla ASA | 8,581,155 | ||||||||
7,631 | Salmar ASA | 211,184 | ||||||||
935,617 | Statoil ASA | 14,677,789 | ||||||||
94,800 | Statoil ASA Sponsored ADR | 1,483,620 | ||||||||
393,948 | Storebrand ASA * | 1,663,804 | ||||||||
389,523 | Telenor ASA | 6,792,917 | ||||||||
227,127 | Yara International ASA | 8,043,249 | ||||||||
|
| |||||||||
Total Norway | 44,670,203 | |||||||||
|
| |||||||||
Poland — 0.4% | ||||||||||
369,344 | Asseco Poland SA | 5,388,853 | ||||||||
453,330 | Bank Millennium SA * | 671,857 | ||||||||
1,250,391 | Enea SA * | 3,158,355 | ||||||||
882,415 | KGHM Polska Miedz SA * | 16,540,950 | ||||||||
14,251 | mBank SA * | 1,422,547 | ||||||||
3,057,476 | PGE Polska Grupa Energetyczna SA | 9,033,415 | ||||||||
2,572,448 | Polskie Gornictwo Naftowe i Gazownictwo SA | 3,513,117 | ||||||||
10,429,075 | Tauron Polska Energia SA * | 7,417,232 | ||||||||
|
| |||||||||
Total Poland | 47,146,326 | |||||||||
|
| |||||||||
Portugal — 0.0% | ||||||||||
333,206 | CTT – Correios de Portugal SA | 2,447,459 | ||||||||
49,697 | EDP – Energias de Portugal SA | 166,963 | ||||||||
34,178 | REN-Redes Energeticas Nacionais SGPS SA | 99,885 | ||||||||
|
| |||||||||
Total Portugal | 2,714,307 | |||||||||
|
| |||||||||
Russia — 1.2% | ||||||||||
4,311,900 | Aeroflot PJSC * | 6,522,209 | ||||||||
16,693,437 | Gazprom PAO Sponsored ADR | 67,496,924 | ||||||||
759,165 | Lukoil PJSC Sponsored ADR | 34,022,605 | ||||||||
12,378,900 | Magnitogorsk Iron & Steel Works OJSC | 5,749,192 | ||||||||
355,220 | Novolipetsk Steel PJSC | 496,368 | ||||||||
2,099,349 | Rosneft PJSC GDR (Registered) | 10,961,255 | ||||||||
497,603,311 | RusHydro PJSC | 6,047,948 | ||||||||
513,619 | Tatneft PAO Sponsored ADR | 15,146,579 | ||||||||
|
| |||||||||
Total Russia | 146,443,080 | |||||||||
|
| |||||||||
Singapore — 0.3% | ||||||||||
1,024,900 | Ascendas Real Estate Investment Trust | 1,841,875 | ||||||||
2,235,100 | CapitaLand Commercial Trust (REIT) | 2,532,344 | ||||||||
1,937,000 | CapitaLand Mall Trust (REIT) | 3,069,202 |
See accompanying notes to the financial statements. | 43 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Singapore — continued | ||||||||||
386,900 | DBS Group Holdings Ltd | 4,250,781 | ||||||||
94,000 | Fortune Real Estate Investment Trust | 120,140 | ||||||||
328,300 | InterOil Corp * | 16,112,964 | ||||||||
726,300 | SATS Ltd | 2,509,828 | ||||||||
93,800 | Sino Grandness Food Industry Group Ltd | 33,330 | ||||||||
230,500 | UOL Group Ltd | 939,186 | ||||||||
4,013,100 | Yangzijiang Shipbuilding Holdings Ltd | 2,249,748 | ||||||||
|
| |||||||||
Total Singapore | 33,659,398 | |||||||||
|
| |||||||||
South Africa — 1.5% | ||||||||||
295,155 | AECI Ltd | 2,066,906 | ||||||||
2,691,606 | African Bank Investments Ltd * (a) | 183 | ||||||||
255,551 | African Rainbow Minerals Ltd | 1,519,321 | ||||||||
86,387 | Astral Foods Ltd | 766,557 | ||||||||
1,437,468 | AVI Ltd | 8,707,170 | ||||||||
1,228,474 | Barclays Africa Group Ltd | 12,454,906 | ||||||||
1,406,085 | Barloworld Ltd | 7,960,095 | ||||||||
487,590 | Bidvest Group Ltd (The) | 5,042,967 | ||||||||
772,756 | Clicks Group Ltd | 6,357,565 | ||||||||
215,656 | DataTec Ltd | 733,677 | ||||||||
3,261 | Distell Group Ltd | 38,004 | ||||||||
90,374 | EOH Holdings Ltd | 884,019 | ||||||||
2,730,824 | FirstRand Ltd | 8,204,048 | ||||||||
484,392 | Hyprop Investments Ltd (REIT) | 4,240,028 | ||||||||
881,041 | Imperial Holdings Ltd | 9,458,619 | ||||||||
74,387 | JSE Ltd | 789,466 | ||||||||
131,533 | Kumba Iron Ore Ltd * | 1,197,710 | ||||||||
325,555 | Lewis Group Ltd | 919,632 | ||||||||
723,143 | Liberty Holdings Ltd | 5,539,330 | ||||||||
3,844,497 | MMI Holdings Ltd | 5,909,718 | ||||||||
296,545 | Mondi Ltd | 5,992,066 | ||||||||
1,151,517 | Nedbank Group Ltd | 16,188,896 | ||||||||
193,563 | Omnia Holdings Ltd | 2,274,529 | ||||||||
39,374 | Pioneer Foods Group Ltd | 455,940 | ||||||||
6,146,567 | Redefine Properties Ltd | 4,616,390 | ||||||||
2,229,777 | RMB Holdings Ltd | 8,927,317 | ||||||||
1,828,684 | SA Corporate Real Estate Fund Nominees Pty Ltd | 650,059 | ||||||||
6,876 | Sanlam Ltd | 29,241 | ||||||||
70,539 | Santam Ltd | 1,064,821 | ||||||||
372,489 | Sasol Ltd | 9,403,251 | ||||||||
2,613,062 | Sibanye Gold Ltd | 10,155,879 | ||||||||
196,118 | Sibanye Gold Ltd Sponsored ADR | 3,026,101 | ||||||||
466,311 | SPAR Group Ltd (The) | 6,093,028 | ||||||||
385,196 | Standard Bank Group Ltd | 3,492,804 | ||||||||
821,362 | Super Group Ltd * | 2,264,061 | ||||||||
1,369,993 | Telkom SA SOC Ltd | 5,672,325 | ||||||||
1,835,780 | Truworths International Ltd | 9,514,565 |
Shares | Description | Value ($) | ||||||||
South Africa — continued | ||||||||||
204,264 | Tsogo Sun Holdings Ltd | 422,618 | ||||||||
1,460,353 | Vodacom Group Ltd | 15,199,792 | ||||||||
27,890 | Vukile Property Fund Ltd | 32,411 | ||||||||
230,181 | Wilson Bayly Holmes-Ovcon Ltd | 2,327,040 | ||||||||
|
| |||||||||
Total South Africa | 190,593,055 | |||||||||
|
| |||||||||
South Korea — 3.4% | ||||||||||
707,630 | BNK Financial Group Inc | 5,603,798 | ||||||||
59,566 | Coway Co Ltd | 4,448,992 | ||||||||
15,350 | Crown Confectionery Co Ltd | 401,224 | ||||||||
628 | Dae Han Flour Mills Co Ltd | 97,950 | ||||||||
79,198 | Daelim Industrial Co Ltd | 5,736,295 | ||||||||
75,037 | Daishin Securities Co Ltd | 687,831 | ||||||||
486,387 | Daou Technology Inc | 9,165,696 | ||||||||
323,059 | DGB Financial Group Inc | 2,644,028 | ||||||||
128,139 | Dongbu Insurance Co Ltd | 7,747,799 | ||||||||
45,727 | E-MART Inc | 6,451,108 | ||||||||
115,032 | Eugene Investment & Securities | 260,815 | ||||||||
64,793 | GS Holdings | 2,863,915 | ||||||||
7,421 | GS Home Shopping Inc | 1,046,764 | ||||||||
250,094 | Hana Financial Group Inc | 6,550,329 | ||||||||
165,121 | Hankook Tire Co Ltd | 8,258,232 | ||||||||
10,666 | Hansol Paper Co Ltd | 207,385 | ||||||||
140,861 | Hanwha Corp | 4,620,163 | ||||||||
93,157 | Hanwha General Insurance Co Ltd | 535,744 | ||||||||
1,075,733 | Hanwha Life Insurance Co Ltd | 5,458,613 | ||||||||
58,900 | Harim Holdings Co Ltd * | 229,830 | ||||||||
61,081 | Hyundai Department Store Co Ltd | 6,859,767 | ||||||||
10,329 | Hyundai Home Shopping Network Corp | 1,138,508 | ||||||||
200,871 | Hyundai Marine & Fire Insurance Co Ltd | 6,082,181 | ||||||||
180,587 | Hyundai Mobis Co Ltd | 42,083,704 | ||||||||
397,781 | Hyundai Motor Co | 47,386,681 | ||||||||
18,367 | Hyundai Steel Co | 842,725 | ||||||||
846,699 | Industrial Bank of Korea | 8,907,418 | ||||||||
464,157 | JB Financial Group Co Ltd | 2,456,297 | ||||||||
3,630 | Kangnam Jevisco Co Ltd | 123,672 | ||||||||
701,293 | KB Financial Group Inc | 24,468,127 | ||||||||
1,136,150 | Kia Motors Corp | 42,708,373 | ||||||||
22,364 | Kolon Industries Inc | 1,641,565 | ||||||||
7,201 | Korea Electric Terminal Co Ltd | 493,194 | ||||||||
7,955 | Korea Petrochemical Ind Co Ltd | 1,388,515 | ||||||||
240,515 | Korean Reinsurance Co | 2,577,134 | ||||||||
186,524 | KT Hitel Co Ltd * | 1,241,013 | ||||||||
204,765 | KT&G Corp | 21,467,493 | ||||||||
6,150 | Kukdo Chemical Co Ltd | 314,836 | ||||||||
12,141 | Kyobo Securities Co Ltd | 105,229 | ||||||||
16,231 | LF Corp | 316,729 | ||||||||
454,683 | LG Display Co Ltd | 12,196,162 | ||||||||
137,105 | LG International Corp | 4,076,218 |
44 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Korea — continued | ||||||||||
1,423 | Lotte Chilsung Beverage Co Ltd | 1,911,075 | ||||||||
1,929 | Lotte Food Co Ltd | 1,165,179 | ||||||||
46,585 | LOTTE Himart Co Ltd | 1,836,501 | ||||||||
56,917 | Lotte Shopping Co Ltd | 10,337,297 | ||||||||
185,834 | Meritz Fire & Marine Insurance Co Ltd | 2,593,350 | ||||||||
50,089 | NCSoft Corp | 12,085,207 | ||||||||
51,964 | Poongsan Corp | 1,457,953 | ||||||||
24,042 | Samjin Pharmaceutical Co Ltd | 692,228 | ||||||||
187,930 | Samsung Card Co Ltd | 7,441,174 | ||||||||
29,684 | Samsung Electronics Co Ltd | 43,055,695 | ||||||||
8 | Samsung Electronics Co Ltd GDR | 5,789 | ||||||||
75,147 | Seah Besteel Corp | 1,620,581 | ||||||||
31,817 | Shinsegae Inc | 5,795,752 | ||||||||
113,550 | SK Innovation Co Ltd | 14,738,149 | ||||||||
77,437 | SKC Co Ltd | 1,900,466 | ||||||||
50,544 | Soulbrain Co Ltd | 2,796,728 | ||||||||
122,466 | Tongyang Life Insurance Co Ltd | 1,320,964 | ||||||||
4,408 | Unid Co Ltd | 174,148 | ||||||||
1,225,697 | Woori Bank | 11,646,167 | ||||||||
|
| |||||||||
Total South Korea | 424,466,455 | |||||||||
|
| |||||||||
Spain — 0.6% | ||||||||||
1,334,531 | Abengoa Yield Plc | 25,235,981 | ||||||||
81,037 | Ebro Foods SA | 1,814,082 | ||||||||
1,144,185 | Endesa SA | 23,317,156 | ||||||||
285,312 | Iberdrola SA | 1,879,329 | ||||||||
1,000,998 | International Consolidated Airlines Group SA | 5,040,720 | ||||||||
968,786 | Repsol SA | 13,014,042 | ||||||||
9,548 | Viscofan SA | 522,241 | ||||||||
|
| |||||||||
Total Spain | 70,823,551 | |||||||||
|
| |||||||||
Sweden — 0.3% | ||||||||||
181,853 | Axfood AB | 3,227,532 | ||||||||
11,034 | Bonava AB – B Shares * | 133,017 | ||||||||
108,238 | Fastighets AB Balder – B Shares * | 3,020,660 | ||||||||
87,189 | Industrivarden AB – C Shares | 1,587,290 | ||||||||
54,085 | Intrum Justitia AB | 1,706,026 | ||||||||
889,005 | Meda AB – A Shares | 16,200,263 | ||||||||
11,034 | NCC AB – Class B | 274,949 | ||||||||
539,513 | Sandvik AB | 5,852,364 | ||||||||
50,940 | Svenska Cellulosa AB SCA – Class B | 1,565,672 | ||||||||
466,110 | Telefonaktiebolaget LM Ericsson – B Shares | 3,319,761 | ||||||||
7,563 | Tethys Oil AB | 47,484 | ||||||||
56,021 | Wihlborgs Fastigheter AB | 1,216,804 | ||||||||
|
| |||||||||
Total Sweden | 38,151,822 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Switzerland — 1.0% | ||||||||||
191,293 | Adecco Group AG (Registered) | 11,020,346 | ||||||||
3,766 | Ascom Holding AG (Registered) | 68,960 | ||||||||
11,535 | Cembra Money Bank AG * | 835,680 | ||||||||
1,154 | dorma & kaba Holding AG – Class B (Registered) | 906,404 | ||||||||
221 | Emmi AG (Registered) * | 147,461 | ||||||||
6,712 | EMS-Chemie Holding AG (Registered) | 3,574,229 | ||||||||
6,289 | Flughafen Zuerich AG (Registered) | 1,164,105 | ||||||||
673 | Forbo Holdings AG (Registered) * | 924,924 | ||||||||
2,537 | Georg Fischer AG (Registered) | 2,041,820 | ||||||||
727 | Givaudan SA (Registered) | 1,503,749 | ||||||||
2,818 | Helvetia Holding AG (Registered) | 1,409,616 | ||||||||
448 | Komax Holding AG (Registered) | 108,885 | ||||||||
58,789 | Kuehne & Nagel International AG (Registered) | 8,213,731 | ||||||||
63,777 | Logitech International SA (Registered) | 1,337,113 | ||||||||
223,893 | Nestle SA (Registered) | 17,842,653 | ||||||||
41,188 | Novartis AG (Registered) | 3,244,090 | ||||||||
19,143 | Roche Holding AG | 4,672,808 | ||||||||
413 | Sika AG | 1,969,105 | ||||||||
20,309 | Swiss Life Holding AG (Registered) * | 5,091,774 | ||||||||
543,404 | Swiss Re AG | 45,921,215 | ||||||||
200,725 | Syngenta AG ADR | 17,513,256 | ||||||||
9,109 | UBS Group AG (Registered) | 132,005 | ||||||||
3,520 | Vontobel Holding AG (Registered) | 170,136 | ||||||||
7,310 | Zurich Insurance Group AG * | 1,871,860 | ||||||||
|
| |||||||||
Total Switzerland | 131,685,925 | |||||||||
|
| |||||||||
Taiwan — 3.2% | ||||||||||
8,467,000 | Advanced Semiconductor Engineering Inc | 10,302,514 | ||||||||
2,450,000 | Asustek Computer Inc | 20,693,277 | ||||||||
6,114,000 | AU Optronics Corp | 2,384,456 | ||||||||
1,094,000 | BES Engineering Corp | 186,385 | ||||||||
4,954,440 | Chang Hwa Commercial Bank Ltd | 2,486,326 | ||||||||
3,567,200 | China Life Insurance Co Ltd | 3,152,943 | ||||||||
1,470 | Chunghwa Telecom Co Ltd | 5,277 | ||||||||
12,211,000 | Compal Electronics Inc | 7,227,398 | ||||||||
957,000 | CTBC Financial Holding Co Ltd | 552,520 | ||||||||
4,997,286 | E.Sun Financial Holding Co Ltd | 2,807,738 | ||||||||
1,731,980 | Far Eastern New Century Corp | 1,275,083 | ||||||||
4,207,507 | Foxconn Technology Co Ltd * | 11,784,337 | ||||||||
13,691,000 | Fubon Financial Holding Co Ltd | 19,326,344 | ||||||||
174,000 | Grape King Bio Ltd | 1,304,781 | ||||||||
30,377,876 | Hon Hai Precision Industry Co Ltd | 84,027,538 | ||||||||
5,752,854 | Hua Nan Financial Holdings Co Ltd – Class C | 2,961,178 | ||||||||
20,874,000 | Innolux Corp | 7,352,302 | ||||||||
10,312,000 | Inventec Corp | 7,636,675 |
See accompanying notes to the financial statements. | 45 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
43,000 | Kinik Co | 71,886 | ||||||||
7,007,475 | Lite-On Technology Corp | 10,587,217 | ||||||||
2,889,600 | Mercuries Life Insurance Co Ltd * | 1,373,216 | ||||||||
1,413,000 | Novatek Microelectronics Corp | 4,813,618 | ||||||||
12,795,000 | Pegatron Corp | 30,871,490 | ||||||||
607,000 | Phison Electronics Corp | 4,381,623 | ||||||||
10,094,000 | Pou Chen Corp | 14,598,377 | ||||||||
3,869,808 | Powertech Technology Inc | 10,089,116 | ||||||||
729,020 | Radiant Opto-Electronics Corp | 1,194,100 | ||||||||
21,854,000 | Shin Kong Financial Holding Co Ltd * | 4,785,150 | ||||||||
4,110,000 | Siliconware Precision Industries Co Ltd | 6,120,013 | ||||||||
10,673,223 | Taishin Financial Holding Co Ltd | 4,031,662 | ||||||||
6,088,000 | Taiwan Business Bank * | 1,626,180 | ||||||||
3,323,000 | Taiwan Cement Corp | 3,786,544 | ||||||||
352,030 | Taiwan Cooperative Financial Holding Co Ltd | 154,567 | ||||||||
381,000 | Taiwan Semiconductor Co Ltd | 437,134 | ||||||||
3,101,400 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR | 89,134,236 | ||||||||
1,701,000 | Teco Electric and Machinery Co Ltd | 1,428,232 | ||||||||
207,060 | Topco Scientific Co Ltd | 547,928 | ||||||||
160,000 | Transcend Information Inc | 460,615 | ||||||||
1,707,000 | Uni-President Enterprises Corp | 3,220,860 | ||||||||
1,005,000 | United Integrated Services Co Ltd | 1,570,632 | ||||||||
33,972,000 | United Microelectronics Corp | 12,317,662 | ||||||||
6,235,859 | Wistron Corp | 4,572,593 | ||||||||
1,907,000 | WPG Holdings Ltd | 2,264,601 | ||||||||
|
| |||||||||
Total Taiwan | 399,906,324 | |||||||||
|
| |||||||||
Thailand — 0.2% | ||||||||||
817,800 | Bangkok Bank Pcl NVDR | 4,000,852 | ||||||||
7,925,000 | Krung Thai Bank Pcl (Foreign Registered) | 4,345,433 | ||||||||
562,200 | PTT Pcl (Foreign Registered) | 5,649,437 | ||||||||
175,300 | Ratchaburi Electricity Generating Holding Pcl (Foreign Registered) | 275,888 | ||||||||
5,346,300 | Thanachart Capital Pcl (Foreign Registered) | 6,177,926 | ||||||||
|
| |||||||||
Total Thailand | 20,449,536 | |||||||||
|
| |||||||||
Turkey — 0.9% | ||||||||||
133,721 | Aksa Akrilik Kimya Sanayii | 383,701 | ||||||||
7,969,425 | Eregli Demir ve Celik Fabrikalari TAS | 11,989,904 | ||||||||
1,456,883 | KOC Holding AS | 6,323,615 | ||||||||
811,942 | Soda Sanayii AS | 1,125,391 | ||||||||
526,592 | TAV Havalimanlari Holding AS | 2,052,953 | ||||||||
3,176,907 | Turk Telekomunikasyon AS | 6,411,572 | ||||||||
1,852,607 | Turkcell Iletisim Hizmetleri AS * | 6,209,326 | ||||||||
5,806,593 | Turkiye Halk Bankasi AS | 17,426,986 |
Shares | Description | Value ($) | ||||||||
Turkey — continued | ||||||||||
19,707,327 | Turkiye Is Bankasi – Class C | 32,040,671 | ||||||||
4,032,300 | Turkiye Sise ve Cam Fabrikalari AS | 4,662,733 | ||||||||
14,004,388 | Turkiye Vakiflar Bankasi TAO – Class D | 20,592,751 | ||||||||
|
| |||||||||
Total Turkey | 109,219,603 | |||||||||
|
| |||||||||
United Kingdom — 3.3% | ||||||||||
292,227 | ARM Holdings Plc Sponsored ADR | 19,368,806 | ||||||||
976,373 | AstraZeneca Plc | 63,025,798 | ||||||||
100 | AstraZeneca Plc Sponsored ADR | 3,281 | ||||||||
713,545 | Balfour Beatty Plc * | 2,646,382 | ||||||||
119,874 | Beazley Plc | 613,877 | ||||||||
94,669 | Bellway Plc | 2,897,557 | ||||||||
280,249 | Berkeley Group Holdings Plc (The) | 9,833,027 | ||||||||
181,920 | Bovis Homes Group Plc | 2,141,611 | ||||||||
507,066 | British American Tobacco Plc | 31,459,685 | ||||||||
17,900 | British American Tobacco Plc Sponsered ADR | 2,223,001 | ||||||||
56,712 | Burberry Group Plc | 971,804 | ||||||||
768,161 | Carillion Plc | 2,624,787 | ||||||||
5,773,805 | Centrica Plc | 17,654,941 | ||||||||
83,699 | Cobham Plc | 177,662 | ||||||||
327,101 | Compass Group Plc | 6,191,195 | ||||||||
217,708 | Crest Nicholson Holdings Plc | 1,329,753 | ||||||||
1,747,306 | Debenhams Plc | 1,390,894 | ||||||||
454,615 | Direct Line Insurance Group Plc | 2,207,886 | ||||||||
398,675 | DS Smith Plc | 2,139,322 | ||||||||
67,130 | Galliford Try Plc | 1,001,133 | ||||||||
95,491 | GlaxoSmithKline Plc | 2,055,466 | ||||||||
175,700 | GlaxoSmithKline Plc Sponsored ADR | 7,635,922 | ||||||||
1,158,034 | Henderson Group Plc | 3,627,034 | ||||||||
1,870,150 | Home Retail Group Plc | 3,919,982 | ||||||||
374,000 | HSBC Holdings Plc | 2,774,550 | ||||||||
305,225 | HSBC Holdings Plc | 2,269,320 | ||||||||
54,926 | IG Group Holdings Plc | 686,071 | ||||||||
242,850 | Imperial Brands Plc | 12,738,273 | ||||||||
588,326 | Inchcape Plc | 5,422,000 | ||||||||
163,254 | Indivior Plc | 673,914 | ||||||||
155,182 | Intermediate Capital Group Plc | 1,213,382 | ||||||||
1,653,210 | J Sainsbury Plc | 5,217,085 | ||||||||
301,543 | Jupiter Fund Management Plc | 1,660,445 | ||||||||
2,880,372 | Kingfisher Plc | 14,047,744 | ||||||||
420,826 | Ladbrokes Plc | 849,422 | ||||||||
555 | Land Securities Group Plc (REIT) | 7,973 | ||||||||
891,313 | Legal & General Group Plc | 2,465,468 | ||||||||
580,330 | Man Group Plc | 828,870 | ||||||||
72,262 | Micro Focus International Plc | 1,897,444 | ||||||||
219,553 | Mondi Plc | 4,467,528 | ||||||||
45,660 | National Express Group Plc | 212,064 |
46 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
137,528 | Old Mutual Plc | 351,303 | ||||||||
547,193 | Persimmon Plc | 13,107,841 | ||||||||
275,255 | Playtech Plc | 3,293,424 | ||||||||
422,064 | Reckitt Benckiser Group Plc | 40,770,812 | ||||||||
1,451,949 | Royal Mail Plc | 9,797,920 | ||||||||
633,124 | SABMiller Plc | 36,582,326 | ||||||||
1,010,161 | Sage Group Plc (The) | 9,624,570 | ||||||||
19,774 | Savills Plc | 192,103 | ||||||||
79,730 | Spectris Plc | 2,029,881 | ||||||||
318,759 | Tate & Lyle Plc | 3,071,797 | ||||||||
8,266,583 | TIG Finco Plc * | 5,427,629 | ||||||||
357,834 | Unilever Plc | 16,611,087 | ||||||||
100,702 | WH Smith Plc | 2,015,502 | ||||||||
1,869,494 | Wm Morrison Supermarkets Plc | 4,837,346 | ||||||||
806,353 | WPP Plc | 18,617,043 | ||||||||
|
| |||||||||
Total United Kingdom | 410,902,943 | |||||||||
|
| |||||||||
United States — 19.4% | ||||||||||
257,463 | 3M Co. | 46,147,668 | ||||||||
240,997 | Abbott Laboratories | 10,126,694 | ||||||||
225,672 | Accenture Plc – Class A | 25,952,280 | ||||||||
98,925 | ACCO Brands Corp.* | 989,250 | ||||||||
191,000 | Activision Blizzard, Inc. | 7,901,670 | ||||||||
59,500 | Aetna, Inc. | 6,968,640 | ||||||||
218,000 | Aflac, Inc. | 16,171,240 | ||||||||
78,700 | AGCO Corp. | 3,820,098 | ||||||||
58,300 | Alaska Air Group, Inc. | 3,936,999 | ||||||||
172,000 | Alcoa, Inc. | 1,733,760 | ||||||||
538,667 | Alere, Inc.* | 21,078,040 | ||||||||
81,173 | Alphabet, Inc. – Class C * | 62,263,750 | ||||||||
14,500 | Altisource Portfolio Solutions SA * | 472,410 | ||||||||
24,800 | Altria Group, Inc. | 1,639,032 | ||||||||
124,200 | Amdocs Ltd. | 7,466,904 | ||||||||
102,200 | Ameren Corp. | 5,050,724 | ||||||||
387,821 | American Express Co. | 25,433,301 | ||||||||
1,654,893 | American International Group, Inc. | 99,012,248 | ||||||||
29,877 | Amphenol Corp. – Class A | 1,861,636 | ||||||||
43,031 | Analog Devices, Inc. | 2,692,019 | ||||||||
127,260 | Anthem, Inc. | 15,917,681 | ||||||||
45,525 | Apollo Commercial Real Estate Finance, Inc. | 742,058 | ||||||||
610,300 | Apple, Inc. | 64,752,830 | ||||||||
16,800 | AptarGroup, Inc. | 1,310,064 | ||||||||
7,100 | Argan, Inc. | 339,451 | ||||||||
122,300 | ARMOUR Residential REIT, Inc. | 2,719,952 | ||||||||
135,100 | Arrow Electronics, Inc. * | 8,893,633 | ||||||||
156,500 | Assured Guaranty Ltd. | 4,346,005 | ||||||||
181,200 | AT&T, Inc. | 7,407,456 | ||||||||
21,600 | Atlas Air Worldwide Holdings, Inc. * | 802,224 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
24,200 | Atmos Energy Corp. | 1,783,540 | ||||||||
35,900 | Atwood Oceanics, Inc. | 283,610 | ||||||||
10,200 | AutoNation, Inc. * | 482,970 | ||||||||
101,100 | Avery Dennison Corp. | 7,829,184 | ||||||||
209,000 | Avnet, Inc. | 8,711,120 | ||||||||
33,381 | Becton, Dickinson and Co. | 5,915,447 | ||||||||
295,800 | Bed Bath & Beyond, Inc. | 13,716,246 | ||||||||
20,200 | Best Buy Co., Inc. | 777,296 | ||||||||
29,100 | BlackRock Capital Investment Corp. | 253,752 | ||||||||
41,500 | Broadridge Financial Solutions, Inc. | 2,875,950 | ||||||||
69,200 | CA, Inc. | 2,346,572 | ||||||||
7,600 | CACI International, Inc. – Class A * | 755,136 | ||||||||
64,500 | California Resources Corp. | 640,485 | ||||||||
174,702 | Capital One Financial Corp. | 12,508,663 | ||||||||
33,100 | Cash America International, Inc. | 1,440,843 | ||||||||
5,200 | Central Garden & Pet Co. – Class A * | 126,100 | ||||||||
64,403 | Cerner Corp. * | 4,156,570 | ||||||||
25,600 | Cheesecake Factory, Inc. (The) | 1,316,096 | ||||||||
12,600 | Chemed Corp. | 1,700,118 | ||||||||
29,700 | Chemical Financial Corp. | 1,373,031 | ||||||||
94,100 | Chimera Investment Corp. (REIT) | 1,551,709 | ||||||||
18,284 | Church & Dwight Co., Inc. | 1,817,795 | ||||||||
77,000 | Cintas Corp. | 9,048,270 | ||||||||
1,666,637 | Cisco Systems, Inc. | 52,399,067 | ||||||||
164,600 | Citigroup, Inc. | 7,858,004 | ||||||||
37,200 | Citrix Systems, Inc. * | 3,243,840 | ||||||||
68,800 | Coach, Inc. | 2,626,784 | ||||||||
477,103 | Coca-Cola Co. (The) | 20,720,583 | ||||||||
297,759 | Cognizant Technology Solutions Corp. – Class A * | 17,103,277 | ||||||||
137,376 | Colgate-Palmolive Co. | 10,212,532 | ||||||||
9,400 | Columbia Sportswear Co. | 527,998 | ||||||||
44,000 | Comcast Corp. – Class A | 2,871,440 | ||||||||
55,000 | Consolidated Edison, Inc. | 4,138,750 | ||||||||
97,700 | Convergys Corp. | 2,914,391 | ||||||||
600 | Cooper Tire & Rubber Co. | 20,394 | ||||||||
7,100 | Cooper-Standard Holding, Inc. * | 703,255 | ||||||||
42,388 | Costco Wholesale Corp. | 6,870,671 | ||||||||
3,600 | CSS Industries, Inc. | 91,692 | ||||||||
58,552 | CVS Health Corp. | 5,468,757 | ||||||||
410,500 | Delta Air Lines, Inc. | 15,085,875 | ||||||||
32,200 | Deluxe Corp. | 2,195,074 | ||||||||
349,400 | Denbury Resources, Inc. * | 1,076,152 | ||||||||
76,000 | Depomed, Inc. * | 1,542,040 | ||||||||
10,400 | Dillard’s, Inc. – Class A | 626,496 | ||||||||
18,300 | Douglas Dynamics, Inc. | 587,064 | ||||||||
80,500 | Dow Chemical Co. (The) | 4,318,020 | ||||||||
230,300 | Dr Pepper Snapple Group, Inc. | 21,579,110 | ||||||||
16,500 | Drew Industries, Inc. | 1,680,525 |
See accompanying notes to the financial statements. | 47 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
50,400 | DTE Energy Co. | 4,682,160 | ||||||||
51,736 | Eli Lilly & Co. | 4,022,474 | ||||||||
3,729,834 | EMC Corp. | 108,127,888 | ||||||||
472,157 | Emerson Electric Co. | 24,873,231 | ||||||||
15,200 | Ennis, Inc. | 252,016 | ||||||||
442,816 | EnPro Industries, Inc. | 23,867,782 | ||||||||
119,500 | Ensco Plc – Class A | 907,005 | ||||||||
897,061 | Envision Healthcare Holdings, Inc. * | 19,250,929 | ||||||||
5,200 | ePlus, Inc. * | 470,652 | ||||||||
11,900 | Equifax, Inc. | 1,569,610 | ||||||||
46,200 | Essent Group Ltd. * | 1,227,996 | ||||||||
29,000 | Everest Re Group Ltd. | 5,608,020 | ||||||||
22,700 | Expeditors International of Washington, Inc. | 1,149,755 | ||||||||
115,300 | Express, Inc. * | 1,363,999 | ||||||||
35,900 | F5 Networks, Inc. * | 4,406,007 | ||||||||
6,400 | Fabrinet * | 248,448 | ||||||||
53,200 | First American Financial Corp. | 2,292,388 | ||||||||
4,000 | First Defiance Financial Corp. | 181,960 | ||||||||
95,500 | Fiserv, Inc. * | 9,841,275 | ||||||||
1,188,000 | FMC Technologies, Inc. * | 33,501,600 | ||||||||
297,700 | Foot Locker, Inc. | 19,541,028 | ||||||||
143,100 | Franklin Resources, Inc. | 5,223,150 | ||||||||
60,500 | Gannett Co., Inc. | 721,765 | ||||||||
26,200 | General Dynamics Corp. | 3,988,164 | ||||||||
35,800 | Gentex Corp. | 636,882 | ||||||||
275,800 | Gilead Sciences, Inc. | 21,617,204 | ||||||||
95,600 | Goodyear Tire & Rubber Co. (The) | 2,805,860 | ||||||||
14,600 | Group 1 Automotive, Inc. | 866,364 | ||||||||
124,600 | Guess?, Inc. | 2,072,098 | ||||||||
4,143 | Hanover Insurance Group, Inc. (The) | 323,983 | ||||||||
3,400 | Hartford Financial Services Group, Inc. (The) | 139,638 | ||||||||
43,900 | Hasbro, Inc. | 3,588,386 | ||||||||
5,100 | Hawaiian Holdings, Inc. * | 239,598 | ||||||||
49,800 | Helen of Troy Ltd. * | 4,498,932 | ||||||||
227,800 | Home Depot, Inc. (The) | 30,552,536 | ||||||||
72,498 | Honeywell International, Inc. | 8,461,242 | ||||||||
4,500 | Hooker Furniture Corp. | 104,670 | ||||||||
186,500 | Hormel Foods Corp. | 7,135,490 | ||||||||
25,100 | Hornbeck Offshore Services, Inc. * | 137,297 | ||||||||
177,200 | HP, Inc. | 2,546,364 | ||||||||
70,120 | Humana, Inc. | 12,531,145 | ||||||||
23,900 | IDACORP, Inc. | 1,818,073 | ||||||||
97,525 | Illinois Tool Works, Inc. | 11,590,846 | ||||||||
26,500 | Imperva, Inc. * | 1,192,765 | ||||||||
1,057,700 | Ingram Micro, Inc. – Class A | 36,977,192 | ||||||||
125,700 | Ingredion, Inc. | 17,215,872 | ||||||||
895,300 | Intel Corp. | 32,132,317 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
156,900 | International Business Machines Corp. | 24,928,272 | ||||||||
167,000 | Interpublic Group of Cos , Inc. (The) | 3,864,380 | ||||||||
29,000 | Intuit, Inc. | 3,232,050 | ||||||||
5,067 | Intuitive Surgical, Inc. * | 3,478,090 | ||||||||
937,851 | ITC Holdings Corp. | 42,409,622 | ||||||||
110,900 | Jabil Circuit, Inc. | 2,349,971 | ||||||||
287,800 | JetBlue Airways Corp. * | 4,590,410 | ||||||||
2,600 | John B. Sanfilippo & Son, Inc. | 133,692 | ||||||||
683,875 | Johnson & Johnson | 81,613,642 | ||||||||
20,400 | Jones Lang LaSalle, Inc. | 2,381,700 | ||||||||
168,000 | JPMorgan Chase & Co. | 11,340,000 | ||||||||
33,600 | KAR Auction Services, Inc. | 1,420,608 | ||||||||
5,200 | Kelly Services, Inc. – Class A | 99,424 | ||||||||
346,840 | KLA-Tencor Corp. | 24,022,138 | ||||||||
68,500 | Korn/Ferry International | 1,633,040 | ||||||||
90,300 | Lear Corp. | 10,500,987 | ||||||||
1,040,800 | Liberty SiriusXM Group – Class C * | 34,585,784 | ||||||||
91,800 | LifeLock, Inc. * | 1,527,552 | ||||||||
124,000 | Lincoln National Corp. | 5,955,720 | ||||||||
210,400 | LinkedIn Corp. – Class A * | 40,554,600 | ||||||||
3,400 | Lowe’s Cos., Inc. | 260,304 | ||||||||
281,400 | LyondellBasell Industries NV – Class A | 22,199,646 | ||||||||
113,700 | Macy’s, Inc. | 4,113,666 | ||||||||
570,800 | Marathon Oil Corp. | 8,573,416 | ||||||||
39,400 | Marathon Petroleum Corp. | 1,674,894 | ||||||||
43,057 | MasterCard, Inc. – Class A | 4,160,598 | ||||||||
88,500 | MBIA, Inc. * | 713,310 | ||||||||
48,400 | McDermott International Inc * | 253,132 | ||||||||
100,724 | McDonald’s Corp. | 11,649,738 | ||||||||
2,403,068 | Media General, Inc. * | 42,462,212 | ||||||||
253,573 | Medtronic Plc | 22,068,458 | ||||||||
20,900 | Meredith Corp. | 1,108,536 | ||||||||
947,288 | Microsoft Corp. | 54,431,168 | ||||||||
336,355 | Monsanto Co. | 35,821,807 | ||||||||
13,600 | Movado Group, Inc. | 308,720 | ||||||||
79,600 | Murphy Oil Corp. | 2,126,912 | ||||||||
41,280 | Murphy USA, Inc. * | 3,018,394 | ||||||||
105,900 | Nasdaq, Inc. | 7,541,139 | ||||||||
4,600 | Navigators Group, Inc. (The) | 432,216 | ||||||||
33,000 | Net 1 UEPS Technologies, Inc. * | 322,410 | ||||||||
4,900 | New Jersey Resources Corp. | 164,836 | ||||||||
142,706 | News Corp. – Class A | 2,006,446 | ||||||||
127,220 | NIKE, Inc. – Class B | 7,332,961 | ||||||||
20,700 | Norfolk Southern Corp. | 1,943,730 | ||||||||
1,019,244 | NorthStar Asset Management Group, Inc. | 12,669,203 | ||||||||
54,300 | Northwest Bancshares, Inc. | 842,736 | ||||||||
4,200 | Oil States International, Inc. * | 130,284 | ||||||||
39,500 | Old Republic International Corp. | 759,585 | ||||||||
39,700 | Omega Protein Corp. * | 1,000,837 |
48 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
164,700 | Omnicom Group, Inc. | 14,185,611 | ||||||||
958,603 | Oracle Corp. | 39,513,616 | ||||||||
96,200 | Pandora Media, Inc. * | 1,346,800 | ||||||||
209,202 | Paychex, Inc. | 12,692,285 | ||||||||
377,000 | PDL BioPharma, Inc. | 1,097,070 | ||||||||
81,110 | PepsiCo, Inc. | 8,658,493 | ||||||||
1,072,044 | Pfizer, Inc. | 37,307,131 | ||||||||
476,253 | Philip Morris International, Inc. | 47,591,962 | ||||||||
25,100 | Phillips 66 | 1,969,095 | ||||||||
31,900 | Pinnacle West Capital Corp. | 2,393,776 | ||||||||
698,179 | PJT Partners, Inc. – Class A | 17,224,076 | ||||||||
22,200 | PPL Corp. | 772,116 | ||||||||
24,600 | PRA Group, Inc. * | 786,708 | ||||||||
366,500 | PrivateBancorp, Inc. | 16,840,675 | ||||||||
219,899 | Procter & Gamble Co. (The) | 19,199,382 | ||||||||
9,400 | Progressive Corp. (The) | 306,064 | ||||||||
89,500 | Public Service Enterprise Group, Inc. | 3,827,020 | ||||||||
594,965 | QUALCOMM, Inc. | 37,524,443 | ||||||||
13,300 | Quality Systems, Inc. | 156,541 | ||||||||
45,700 | Rent-A-Center, Inc. | 558,454 | ||||||||
1,886,738 | Rite Aid Corp. * | 14,207,137 | ||||||||
16,500 | Rockwell Automation, Inc. | 1,912,845 | ||||||||
112,300 | RR Donnelley & Sons Co. | 1,920,330 | ||||||||
55,800 | Sanmina Corp. * | 1,466,424 | ||||||||
52,100 | SCANA Corp. | 3,680,865 | ||||||||
101,607 | Schlumberger Ltd. | 8,026,953 | ||||||||
9,500 | Selective Insurance Group, Inc. | 379,050 | ||||||||
44,500 | SkyWest, Inc. | 1,256,235 | ||||||||
87,700 | Smith & Wesson Holding Corp. * | 2,468,755 | ||||||||
54,700 | Snap-on, Inc. | 8,384,963 | ||||||||
13,900 | SPX Corp. * | 263,266 | ||||||||
21,500 | SPX FLOW, Inc. * | 632,315 | ||||||||
428,198 | St Jude Medical, Inc. | 33,365,188 | ||||||||
64,723 | Stryker Corp. | 7,485,862 | ||||||||
19,000 | Superior Industries International, Inc. | 553,090 | ||||||||
9,436 | Sykes Enterprises, Inc. * | 275,814 | ||||||||
109,900 | T. Rowe Price Group, Inc. | 7,642,446 | ||||||||
163,900 | Talen Energy Corp. * | 2,263,459 | ||||||||
32,500 | Tech Data Corp. * | 2,412,800 | ||||||||
159,742 | Teradata Corp. * | 5,068,614 | ||||||||
159,600 | Tesoro Corp. | 12,037,032 | ||||||||
57,700 | Texas Instruments, Inc. | 4,012,458 | ||||||||
42,500 | Texas Roadhouse, Inc. | 1,881,475 | ||||||||
29,000 | Thor Industries, Inc. | 2,353,350 | ||||||||
24,405 | TJX Cos., Inc. (The) | 1,889,923 | ||||||||
1,344,259 | TopBuild Corp. * | 45,866,117 | ||||||||
16,900 | Tower International, Inc. | 410,670 | ||||||||
217,425 | Travelers Cos., Inc. (The) | 25,810,522 | ||||||||
4,500 | Triple-S Management Corp – Class B * | 98,505 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
32,000 | TrueBlue, Inc. * | 699,200 | ||||||||
32,000 | Tupperware Brands Corp. | 2,096,960 | ||||||||
70,000 | Twitter, Inc. * | 1,344,700 | ||||||||
669,820 | Under Armour, Inc. – Class C * | 23,879,083 | ||||||||
25,000 | Unit Corp. * | 427,250 | ||||||||
147,100 | United Parcel Service, Inc. – Class B | 16,066,262 | ||||||||
48,690 | United Technologies Corp. | 5,182,077 | ||||||||
401,620 | UnitedHealth Group, Inc. | 54,640,401 | ||||||||
32,700 | Universal Corp. | 1,967,559 | ||||||||
478,200 | Valero Energy Corp. | 26,468,370 | ||||||||
26,500 | Vera Bradley, Inc. * | 396,440 | ||||||||
617,900 | Verizon Communications, Inc. | 32,334,707 | ||||||||
14,600 | Vertex Pharmaceuticals, Inc. * | 1,379,846 | ||||||||
68,502 | VF Corp. | 4,250,549 | ||||||||
2,000 | Viacom, Inc. – Class A | 90,380 | ||||||||
44,500 | Wabash National Corp. * | 620,775 | ||||||||
23,700 | Waddell & Reed Financial, Inc. – Class A | 440,820 | ||||||||
31,100 | Wal-Mart Stores, Inc. | 2,221,784 | ||||||||
22,000 | Walker & Dunlop, Inc. * | 583,000 | ||||||||
111,300 | Werner Enterprises, Inc. | 2,568,804 | ||||||||
27,300 | WESCO International, Inc. * | 1,696,968 | ||||||||
573,300 | Westar Energy, Inc. | 31,497,102 | ||||||||
3,300 | Western Refining, Inc. | 83,028 | ||||||||
217,747 | WhiteWave Foods Co. (The) * | 12,069,716 | ||||||||
34,200 | Whiting Petroleum Corp. * | 249,318 | ||||||||
8,796 | WW Grainger, Inc. | 2,028,885 | ||||||||
32,300 | Wyndham Worldwide Corp. | 2,286,517 | ||||||||
324,200 | Xerox Corp. | 3,193,370 | ||||||||
30,075 | Zimmer Biomet Holdings, Inc. | 3,898,021 | ||||||||
|
| |||||||||
Total United States | 2,449,678,716 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $7,125,139,322) | 7,167,538,201 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 1.7% | ||||||||||
Brazil — 1.3% | ||||||||||
3,329,920 | Banco Bradesco SA | 29,966,393 | ||||||||
826,300 | Banco do Estado do Rio Grande do Sul SA – Class B | 2,763,545 | ||||||||
2,482,550 | Bradespar SA | 7,903,076 | ||||||||
2,678,575 | Centrais Eletricas Brasileiras SA – Class B * | 23,640,341 | ||||||||
1,588,400 | Cia Energetica de Sao Paulo – Class B | 6,635,549 | ||||||||
7,671,827 | Companhia Energetica de Minas Gerais | 20,787,962 | ||||||||
994,339 | Companhia Energetica de Minas Gerais Sponsored ADR | 2,654,885 | ||||||||
3,289,700 | Itau Unibanco Holding SA | 36,521,660 | ||||||||
12,495,780 | Itausa-Investimentos Itau SA | 33,278,740 | ||||||||
1,560,700 | Vale SA | 6,993,475 | ||||||||
|
| |||||||||
Total Brazil | 171,145,626 | |||||||||
|
|
See accompanying notes to the financial statements. | 49 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares / Par Value † | Description | Value ($) | ||||||||
Germany — 0.1% | ||||||||||
86,142 | Jungheinrich AG | 2,705,352 | ||||||||
256,581 | Porsche Automobil Holding SE | 12,964,397 | ||||||||
|
| |||||||||
Total Germany | 15,669,749 | |||||||||
|
| |||||||||
Russia — 0.0% | ||||||||||
698,600 | Surgutneftegas OJSC | 351,716 | ||||||||
|
| |||||||||
South Korea — 0.3% | ||||||||||
58,928 | Hyundai Motor Co | 5,062,621 | ||||||||
96,056 | Hyundai Motor Co 2nd Preference | 8,655,729 | ||||||||
17,355 | Samsung Electronics Co Ltd | 20,582,494 | ||||||||
|
| |||||||||
Total South Korea | 34,300,844 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $175,587,783) | 221,467,935 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.0% | ||||||||||
South Korea — 0.0% | ||||||||||
38,445 | Hanwha Corp Rights, Expires 10/05/16 * | — | ||||||||
|
| |||||||||
United States — 0.0% | ||||||||||
2,279,800 | Safeway Casa Ley CVR, Expires 01/30/17 * | 569,950 | ||||||||
2,279,800 | Safeway PDC, LLC CVR, Expires 01/30/19 * | 113,990 | ||||||||
|
| |||||||||
Total United States | 683,940 | |||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $2,425,023) | 683,940 | |||||||||
|
| |||||||||
DEBT OBLIGATIONS — 27.6% | ||||||||||
Canada — 0.9% | ||||||||||
Corporate Debt — 0.9% | ||||||||||
68,982,800 | Nortel Networks Ltd, 0.00%, due 07/15/11 (b) | 63,119,262 | ||||||||
26,379,600 | Nortel Networks Ltd, 10.13%, due 07/15/13 (b) | 24,664,926 | ||||||||
27,976,000 | Nortel Networks Ltd, 10.75%, due 07/15/16 (b) | 26,087,620 | ||||||||
|
| |||||||||
Total Corporate Debt | 113,871,808 | |||||||||
|
| |||||||||
Total Canada | 113,871,808 | |||||||||
|
| |||||||||
Denmark — 0.3% | ||||||||||
Bank Loans — 0.3% | ||||||||||
6,982,688 | O.W. Bunker & Trading A/S, Ancillary Revolver, 0.00% (b) | 6,843,034 | ||||||||
11,454,089 | O.W. Bunker & Trading A/S, Term Loan A, 1.75% (b) | 11,225,007 |
Par Value † | Description | Value ($) | ||||||||
Denmark — continued | ||||||||||
Bank Loans — continued | ||||||||||
15,849,007 | O.W. Bunker & Trading A/S, Term Loan B, 2.25% (b) | 15,532,027 | ||||||||
|
| |||||||||
Total Bank Loans | 33,600,068 | |||||||||
|
| |||||||||
Total Denmark | 33,600,068 | |||||||||
|
| |||||||||
Puerto Rico — 0.1% | ||||||||||
Municipal Obligations — 0.1% | ||||||||||
1,410,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.25%, due 07/01/42 | 983,475 | ||||||||
3,012,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/38 | 2,172,405 | ||||||||
6,647,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/44 | 4,777,531 | ||||||||
12,751,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/47 | 9,164,781 | ||||||||
|
| |||||||||
Total Municipal Obligations | 17,098,192 | |||||||||
|
| |||||||||
Total Puerto Rico | 17,098,192 | |||||||||
|
| |||||||||
United Kingdom — 0.3% | ||||||||||
Corporate Debt — 0.3% | ||||||||||
GBP | 29,952,343 | TWRFIN, Reg S, 8.75%, due 04/02/20 | 31,072,201 | |||||||
|
| |||||||||
United States — 26.0% | ||||||||||
Bank Loans — 0.4% | ||||||||||
55,800,201 | Sears Roebuck Acceptance Corp., Term Loan, 4.50%, due 06/30/18 | 54,335,446 | ||||||||
|
| |||||||||
U.S. Government — 25.6% | ||||||||||
55,000,000 | U.S. Treasury Note, USBM + 0.19%, 0.53%, due 04/30/18 | 55,057,585 | ||||||||
25,000,000 | U.S. Treasury Note, 0.63%, due 08/31/17 | 24,984,375 | ||||||||
105,000,000 | U.S. Treasury Note, 0.63%, due 11/30/17 | 104,848,275 | ||||||||
425,000,000 | U.S. Treasury Note, 0.75%, due 02/28/18 | 424,784,100 | ||||||||
100,000,000 | U.S. Treasury Note, 0.75%, due 07/31/18 | 99,878,900 | ||||||||
81,165,000 | U.S. Treasury Note, 0.75%, due 08/31/18 | 81,063,544 | ||||||||
145,000,000 | U.S. Treasury Note, 0.75%, due 02/15/19 (c) | 144,546,875 | ||||||||
50,000,000 | U.S. Treasury Note, 0.88%, due 04/15/19 | 49,974,600 | ||||||||
55,000,000 | U.S. Treasury Note, 1.00%, due 05/15/18 | 55,180,455 | ||||||||
190,000,000 | U.S. Treasury Note, 1.00%, due 09/30/19 | 190,252,320 | ||||||||
105,000,000 | U.S. Treasury Note, 1.25%, due 10/31/19 | 105,906,465 | ||||||||
105,000,000 | U.S. Treasury Note, 1.25%, due 02/29/20 | 105,762,930 | ||||||||
55,000,000 | U.S. Treasury Note, 1.38%, due 07/31/18 | 55,575,795 | ||||||||
50,000,000 | U.S. Treasury Note, 1.38%, due 02/28/19 | 50,609,400 | ||||||||
90,000,000 | U.S. Treasury Note, 1.38%, due 01/31/20 | 91,051,200 |
50 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Par Value † / Number of | Description | Value ($) | ||||||||
United States — continued | ||||||||||
U.S. Government — continued | ||||||||||
40,000,000 | U.S. Treasury Note, 1.50%, due 01/31/19 | 40,593,760 | ||||||||
30,000,000 | U.S. Treasury Note, 1.50%, due 03/31/19 | 30,469,920 | ||||||||
280,000,000 | U.S. Treasury Note, 1.50%, due 10/31/19 (c) | 284,517,240 | ||||||||
25,000,000 | U.S. Treasury Note, 1.63%, due 06/30/19 | 25,491,200 | ||||||||
100,000,000 | U.S. Treasury Note, 1.63%, due 07/31/19 | 101,988,300 | ||||||||
280,000,000 | U.S. Treasury Note, 1.63%, due 08/31/19 | 285,600,000 | ||||||||
100,000,000 | U.S. Treasury Note, 1.63%, due 07/31/20 | 101,976,600 | ||||||||
50,000,000 | U.S. Treasury Note, 1.75%, due 09/30/19 | 51,193,350 | ||||||||
35,000,000 | U.S. Treasury Note, 2.75%, due 05/31/17 | 35,550,970 | ||||||||
75,000,000 | U.S. Treasury Note, 3.13%, due 05/15/19 | 79,438,500 | ||||||||
72,000,000 | U.S. Treasury Note, 3.38%, due 11/15/19 | 77,411,232 | ||||||||
40,000,000 | U.S. Treasury Note, 3.50%, due 05/15/20 | 43,503,120 | ||||||||
290,000,000 | U.S. Treasury Note, 3.63%, due 08/15/19 (c) | 312,611,010 | ||||||||
110,000,000 | U.S. Treasury Note, 3.63%, due 02/15/20 | 119,646,450 | ||||||||
|
| |||||||||
Total U.S. Government | 3,229,468,471 | |||||||||
|
| |||||||||
Total United States | 3,283,803,917 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $3,498,536,975) | 3,479,446,186 | |||||||||
|
| |||||||||
OPTIONS PURCHASED — 0.1% | ||||||||||
Currency Options — 0.0% | ||||||||||
EUR | 31,901,000 | EUR Call/USD Put, Expires 03/06/17, Strike 1.15, (OTC) (CP-GS) | 606,920 | |||||||
USD | 35,445,000 | USD Call/CHF Put, Expires 03/06/17, Strike 1.00, (OTC) (CP-BCLY) | 560,740 | |||||||
|
| |||||||||
Total Currency Options | 1,167,660 | |||||||||
|
|
Number of | Description | Value ($) | ||||||||
Equity Options — 0.1% | ||||||||||
3,900 | Alcoa, Inc., Put, Expires 01/20/17, Strike 10.00 | 351,000 | ||||||||
2,000 | Depomed, Inc., Put, Expires 12/16/16, Strike 19.00 | 540,000 | ||||||||
300 | F5 Networks, Inc., Put, Expires 01/20/17, Strike 120.00 | 216,000 | ||||||||
1,120 | Humana, Inc., Put, Expires 01/20/17, Strike 175.00 | 1,590,400 | ||||||||
900 | Imperva, Inc., Put, Expires 01/20/17, Strike 40.00 | 291,600 | ||||||||
2,400 | LifeLock, Inc., Put, Expires 01/20/17, Strike 16.00 | 276,000 | ||||||||
400 | Norfolk Southern Corp., Put, Expires 01/20/17, Strike 95.00 | 234,000 | ||||||||
2,800 | Pandora Media, Inc., Put, Expires 01/20/17, Strike 13.00 | 378,000 | ||||||||
2,300 | RR Donnelley & Sons Co., Put, Expires 12/16/16, Strike 17.00 | 241,500 | ||||||||
2,413 | Sears Holdings Corp., Put, Expires 01/19/18, Strike 10.00 | 735,965 | ||||||||
3,860 | Sears Holdings Corp., Put, Expires 01/19/18, Strike 8.00 | 799,020 | ||||||||
1,964 | Sears Holdings Corp., Put, Expires 06/15/18, Strike 10.00 | 707,040 | ||||||||
2,750 | Sears Holdings Corp., Put, Expires 06/15/18, Strike 8.00 | 687,500 | ||||||||
2,000 | Twitter, Inc., Put, Expires 01/20/17, Strike 18.00 | 370,000 | ||||||||
400 | Vertex Pharmaceuticals, Inc., Put, Expires 01/20/17, Strike 90.00 | 320,000 | ||||||||
|
| |||||||||
Total Equity Options | 7,738,025 | |||||||||
|
|
| Principal Amount | | | Expiration Date | | Description | Floating Rate Index | Pay/Receive Fixed Rate | | Exercise Rate | | Counterparty | Value ($) | |||||||||||
Options on Interest Rate Swaps — 0.0% | ||||||||||||||||||||||||
EUR | 179,430,000 | 05/18/2017 | Put-OTC 30-Year Interest Rate Swap | 6 month EURIBOR | Pay | 2.05% | MSCI | 553,402 | ||||||||||||||||
EUR | 58,570,000 | 08/18/2017 | Put-OTC 30-Year Interest Rate Swap | 6 month EURIBOR | Pay | 2.05% | MSCI | 357,039 | ||||||||||||||||
|
| |||||||||||||||||||||||
Total Options on Interest Rate Swaps | 910,441 | |||||||||||||||||||||||
|
| |||||||||||||||||||||||
TOTAL OPTIONS PURCHASED (COST $18,879,662) | 9,816,126 | |||||||||||||||||||||||
|
|
See accompanying notes to the financial statements. | 51 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 13.0% | ||||||||||
Money Market Funds — 0.1% | ||||||||||
7,425,205 | State Street Institutional Treasury Money Market Fund-Premier Class, 0.19% (d) (e) | 7,425,205 | ||||||||
|
| |||||||||
Repurchase Agreements — 11.4% | ||||||||||
49,483,675 | Barclays Bank plc Repurchase Agreement, dated 08/30/16, maturing on 09/06/16 with a maturity value of $49,486,754 and an effective yield of 0.32%, collateralized by a U.S. Treasury Note with maturity date 01/31/21 and a market value of $50,479,683. | 49,483,675 | ||||||||
100,512,249 | Daiwa Capital Markets America Inc. Repurchase Agreement, dated 08/25/16, maturing on 09/01/16 with a maturity value of $100,519,089 and an effective yield of 0.35%, collateralized by a U.S. Treasury Note with maturity date 04/30/19 and a market value of $102,449,854. | 100,512,249 | ||||||||
124,609,630 | Daiwa Capital Markets America Inc. Repurchase Agreement, dated 08/26/16, maturing on 09/02/16 with a maturity value of $124,618,110 and an effective yield of 0.35%, collateralized by a U.S. Treasury Note with maturity date 04/30/20 and a market value of $126,990,269. | 124,609,630 | ||||||||
100,074,511 | Daiwa Capital Markets America Inc. Repurchase Agreement, dated 08/30/16, maturing on 09/06/16 with a maturity value of $100,081,322 and an effective yield of 0.35%, collateralized by a U.S. Treasury Note with maturity date 07/31/20 and a market value of $102,117,904. | 100,074,511 | ||||||||
209,389,117 | Daiwa Capital Markets America Inc. Repurchase Agreement, dated 08/31/16, maturing on 09/07/16 with a maturity value of $209,403,367 and an effective yield of 0.35%, collateralized by a U.S. Treasury Note with maturity date 05/15/19 and a market value of $213,687,223. | 209,389,117 | ||||||||
52,525,869 | Mizuho Securities USA Inc. Repurchase Agreement, dated 8/30/16, maturing on 9/6/16 with a maturity value of $52,529,138 and an effective yield of 0.32%, collateralized by a U.S. Treasury Note with maturity date 08/15/23 and a market value of $53,563,595. | 52,525,869 | ||||||||
229,198,665 | Nomura Securities International Inc. Repurchase Agreement, dated 08/25/16, maturing on 09/01/16 with a maturity value of $229,214,263 and an effective yield of 0.35%, collateralized by a U.S. Treasury Note with maturity date 02/15/25 and a market value of $233,355,355. | 229,198,665 |
Par Value† | Description | Value ($) | ||||||||
Repurchase Agreements — continued | ||||||||||
196,566,230 | Nomura Securities International Inc. Repurchase Agreement, dated 08/29/16, maturing on 09/02/16 with a maturity value of $196,573,874 and an effective yield of 0.35%, collateralized by U.S. Treasury Notes with maturity dates 02/28/18 and a market value of $199,902,544. | 196,566,230 | ||||||||
| 132,621,229 | | Nomura Securities International Inc. Repurchase Agreement, dated 08/26/16, maturing on 09/02/16 with a maturity value of $132,630,255 and an effective yield of 0.35%, collateralized by U.S. Treasury Notes with maturity dates 05/15/24 and a market value of $135,095,486. | 132,621,229 | ||||||
149,922,524 | Nomura Securities International Inc. Repurchase Agreement, dated 08/30/16, maturing on 09/06/16 with a maturity value of $149,932,727 and an effective yield of 0.35%, collateralized by a U.S. Treasury Note with maturity date 11/15/22 and a market value of $152,889,927. | 149,922,524 | ||||||||
99,922,052 | Nomura Securities International Inc. Repurchase Agreement, dated 08/31/16, maturing on 09/07/16 with a maturity value of $99,928,852 and an effective yield of 0.35%, collateralized by a U.S. Treasury Note with maturity date 11/15/22 and a market value of $101,926,618. | 99,922,052 | ||||||||
|
| |||||||||
TOTAL REPURCHASE AGREEMENTS (COST $1,444,825,751) | 1,444,825,751 | |||||||||
|
| |||||||||
U.S. Government — 1.5% | ||||||||||
50,000,000 | U.S. Treasury Bill, 0.22%, due 10/20/16(d)(f) | 49,985,250 | ||||||||
100,000,000 | U.S. Treasury Note, 0.63%, due 05/31/17 | 100,000,000 | ||||||||
40,000,000 | U.S. Treasury Note, 4.50%, due 05/15/17 | 41,093,640 | ||||||||
|
| |||||||||
Total U.S. Government | 191,078,890 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $1,643,280,527) | 1,643,329,846 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.2% (Cost $12,463,849,292) | 12,522,282,234 | |||||||||
|
|
52 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
SECURITIES SOLD SHORT — (2.0)% | ||||||||||
Common Stocks — (2.0)% | ||||||||||
Canada — (0.3)% | ||||||||||
(134,032 | ) | Canadian Imperial Bank of Commerce | (10,626,057 | ) | ||||||
(705,258 | ) | Fortis Inc | (22,183,844 | ) | ||||||
|
| |||||||||
Total Canada | (32,809,901 | ) | ||||||||
|
| |||||||||
France — (0.3)% | ||||||||||
(593,952 | ) | Technip SA | (35,170,921 | ) | ||||||
|
| |||||||||
United States — (1.4)% | ||||||||||
(342,709 | ) | Abbott Laboratories | (14,400,632 | ) | ||||||
(299,577 | ) | Amsurg Corp. * | (19,448,539 | ) | ||||||
(695,102 | ) | Colony Capital, Inc. – Class A (REIT) | (12,838,534 | ) | ||||||
(97,697 | ) | Great Plains Energy, Inc. | (2,653,450 | ) | ||||||
(173,421 | ) | Lam Research Corp. | (16,183,648 | ) |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
(300,153 | ) | Nexstar Broadcasting Group, Inc. – Class A | (15,824,066 | ) | ||||||
(9,747,569 | ) | Sirius XM Holdings, Inc. * | (40,354,936 | ) | ||||||
(665,100 | ) | Under Armour, Inc. – Class A * | (26,357,913 | ) | ||||||
(383,206 | ) | VMware, Inc. – Class A * | (28,100,496 | ) | ||||||
|
| |||||||||
Total United States | (176,162,214 | ) | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (PROCEEDS $232,618,111) | (244,143,036 | ) | ||||||||
|
| |||||||||
TOTAL SECURITIES SOLD SHORT (PROCEEDS $232,618,111) | (244,143,036 | ) | ||||||||
|
| |||||||||
Other Assets and Liabilities (net) — 2.8% | 341,649,034 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $12,619,788,232 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2016 is as follows:
Forward Currency Contracts
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
09/12/2016 | BBH | AUD | 382,717 | USD | 282,064 | $ | (5,497 | ) | ||||||||||||||
09/12/2016 | BCLY | AUD | 47,105,990 | USD | 34,878,311 | (515,482 | ) | |||||||||||||||
09/12/2016 | BOA | AUD | 4,277,379 | USD | 3,150,018 | (63,855 | ) | |||||||||||||||
09/08/2016 | GS | CAD | 16,553,975 | USD | 12,732,123 | 108,510 | ||||||||||||||||
09/19/2016 | MSCI | CHF | 94,604,147 | USD | 98,671,896 | 2,390,528 | ||||||||||||||||
11/21/2016 | BOA | EUR | 125,269,355 | USD | 142,316,635 | 2,105,388 | ||||||||||||||||
11/21/2016 | GS | EUR | 13,292,000 | USD | 14,880,460 | 3,016 | ||||||||||||||||
11/21/2016 | JPM | EUR | 2,352,291 | USD | 2,633,000 | 132 | ||||||||||||||||
11/07/2017 | GS | EUR | 193,938,000 | USD | 212,934,227 | (7,926,466 | ) | |||||||||||||||
12/22/2017 | JPM | EUR | 55,095,000 | USD | 60,857,937 | (2,033,466 | ) | |||||||||||||||
11/21/2016 | BCLY | GBP | 2,261,493 | USD | 2,971,060 | (3,598 | ) | |||||||||||||||
11/21/2016 | BOA | GBP | 73,617,744 | USD | 96,879,479 | 46,262 | ||||||||||||||||
11/21/2016 | MSCI | GBP | 303,312 | USD | 399,000 | 39 | ||||||||||||||||
09/12/2016 | BOA | HKD | 69,997,541 | USD | 9,028,600 | 4,558 | ||||||||||||||||
09/12/2016 | SSB | HKD | 42,957,499 | USD | 5,540,102 | 2,046 | ||||||||||||||||
09/12/2016 | BOA | JPY | 2,267,255,009 | USD | 22,119,000 | 198,485 | ||||||||||||||||
09/12/2016 | GS | JPY | 3,994,170,000 | USD | 37,847,457 | (769,400 | ) | |||||||||||||||
09/12/2016 | MSCI | JPY | 2,320,197,100 | USD | 22,876,035 | 443,660 |
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
09/19/2016 | BOA | SEK | 51,855,408 | USD | 6,133,576 | $ | 71,291 | |||||||||||||||
09/19/2016 | GS | SEK | 1,178,067 | USD | 137,529 | (195 | ) | |||||||||||||||
09/19/2016 | MSCI | SEK | 158,070,000 | USD | 18,657,492 | 177,926 | ||||||||||||||||
09/19/2016 | SSB | SEK | 58,893,516 | USD | 6,923,014 | 37,922 | ||||||||||||||||
09/08/2016 | GS | USD | 30,138,255 | CAD | 38,531,568 | (755,124 | ) | |||||||||||||||
09/12/2016 | BBH | USD | 40,879 | HKD | 316,800 | (38 | ) | |||||||||||||||
09/12/2016 | BCLY | USD | 12,839,645 | AUD | 17,180,000 | 68,806 | ||||||||||||||||
09/12/2016 | BOA | USD | 43,750,934 | JPY | 4,646,918,000 | 1,176,890 | ||||||||||||||||
09/12/2016 | GS | USD | 26,330,837 | AUD | 34,586,086 | (344,061 | ) | |||||||||||||||
09/12/2016 | MSCI | USD | 12,820,451 | HKD | 99,443,520 | (251 | ) | |||||||||||||||
09/12/2016 | SSB | USD | 1,701,995 | HKD | 13,194,720 | (940 | ) | |||||||||||||||
09/19/2016 | BCLY | USD | 12,406,000 | CHF | 12,190,880 | 1,010 | ||||||||||||||||
09/19/2016 | MSCI | USD | 14,463,737 | SEK | 123,311,166 | (47,739 | ) | |||||||||||||||
11/21/2016 | GS | USD | 28,232,319 | EUR | 24,910,286 | (350,782 | ) | |||||||||||||||
11/07/2017 | GS | USD | 214,049,371 | EUR | 193,938,000 | 6,811,322 | ||||||||||||||||
12/22/2017 | JPM | USD | 61,316,438 | EUR | 55,095,000 | 1,574,965 | ||||||||||||||||
|
| |||||||||||||||||||||
$ | 2,405,862 | |||||||||||||||||||||
|
|
Written Options
Equity Options
Number of | Expiration Date | Description | Premiums | Value | ||||||||||||||
Call | USD | 1,837 | 01/20/2017 | Monsanto Co., Strike 105.00 | $ | 1,573,649 | $ | (1,460,415 | ) | |||||||||
|
|
|
|
See accompanying notes to the financial statements. | 53 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2016 (Unaudited)
Swap Contracts
Credit Default Swaps
Notional Amount | Expiration Date | Counterparty | Receive | Annual Premium | Implied Credit Spread (1) | Reference Entity | Maximum Potential | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
26,458,000 | USD | 12/20/2018 | GS | (Pay) | 5.00% | 15.35% | Sears Roebuck Acceptance Corp. | NA | $ | 4,504,118 | ||||||||||||||
6,000,000 | USD | 12/20/2018 | GS | (Pay) | 0.00% | 1.00% | Sears Roebuck Acceptance Corp. | NA | (167,575 | ) | ||||||||||||||
22,882,000 | EUR | 6/20/2021 | BOA | (Pay) | 1.00% | 1.29% | Assicurazioni Generali SpA | NA | 291,285 | |||||||||||||||
12,166,000 | EUR | 6/20/2021 | CSI | (Pay) | 1.00% | 1.29% | Assicurazioni Generali SpA | NA | 154,872 | |||||||||||||||
8,286,000 | EUR | 6/20/2021 | BCLY | (Pay) | 1.00% | 1.29% | Assicurazioni Generali SpA | NA | 105,480 | |||||||||||||||
17,147,000 | EUR | 6/20/2021 | JPM | (Pay) | 1.00% | 1.29% | Assicurazioni Generali SpA | NA | 218,279 | |||||||||||||||
5,020,000 | EUR | 6/20/2021 | BCLY | (Pay) | 1.00% | 1.29% | Assicurazioni Generali SpA | NA | 63,904 | |||||||||||||||
7,530,000 | EUR | 6/20/2021 | JPM | (Pay) | 1.00% | 1.29% | Assicurazioni Generali SpA | NA | 95,856 | |||||||||||||||
41,033,800 | USD | 6/20/2021 | GS | (Pay) | 1.00% | 1.15% | MetLife, Inc. | NA | 195,445 | |||||||||||||||
44,690,000 | USD | 6/20/2021 | JPM | (Pay) | 1.00% | 1.15% | MetLife, Inc. | NA | 212,860 | |||||||||||||||
40,589,000 | USD | 6/20/2021 | MSCI | (Pay) | 1.00% | 1.05% | Prudential Financial | NA | 9,969 | |||||||||||||||
45,272,000 | USD | 6/20/2021 | JPM | (Pay) | 1.00% | 1.05% | Prudential Financial | NA | 11,119 | |||||||||||||||
|
| |||||||||||||||||||||||
$ | 5,695,612 | |||||||||||||||||||||||
|
| |||||||||||||||||||||||
| Premiums to (Pay) Receive | $ | (9,186,820 | ) | ||||||||||||||||||||
|
|
^ | Receive - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(Pay) - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(1) | As of August 31, 2016, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e., higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract. |
Cross-Currency Basis Swaps
Notional Amount | Expiration Date | Counterparty | Fund Pays | Fund Receives | Net Unrealized Appreciation/ (Depreciation) | |||||||||||
67,981,538,000 | JPY | 3/10/2018 | GS | 3 Month JPY LIBOR plus a spread of (0.59)% | 3 Month USD LIBOR | $ | (3,315,255 | )(a) | ||||||||
|
|
54 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2016 (Unaudited)
Forward Starting Cross-Currency Basis Swaps
Notional Amount | Starting Date | Expiration | Counterparty | Fund Pays 1 | Fund Receives 2 | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
33,334,890,000 | JPY | 3/3/2017 | 3/3/2019 | GS | 3 Month JPY LIBOR | 3 Month USD LIBOR | $ | (477,846 | ) | |||||||||||
6,405,594,000 | JPY | 1/17/2018 | 1/17/2020 | GS | 3 Month JPY LIBOR | 3 Month USD LIBOR | (58,196 | ) | ||||||||||||
6,405,594,000 | JPY | 1/23/2018 | 1/23/2020 | GS | 3 Month JPY LIBOR | 3 Month USD LIBOR | (56,863 | ) | ||||||||||||
793,835,000 | EUR | 3/6/2017 | 3/6/2020 | GS | 3 Month USD LIBOR | 3 Month EURIBOR | 3,086,816 | |||||||||||||
7,604,760,000 | JPY | 5/16/2018 | 5/16/2020 | GS | 3 Month JPY LIBOR | 3 Month USD LIBOR | (5,923 | ) | ||||||||||||
7,604,760,000 | JPY | 5/21/2018 | 5/21/2020 | GS | 3 Month JPY LIBOR | 3 Month USD LIBOR | (5,347 | ) | ||||||||||||
65,181,000 | EUR | 10/12/2016 | 10/12/2023 | GS | 3 Month EURIBOR | 3 Month USD LIBOR | (264,979 | ) | ||||||||||||
80,058,000 | EUR | 10/28/2016 | 10/28/2023 | GS | 3 Month EURIBOR | 3 Month USD LIBOR | (255,633 | ) | ||||||||||||
79,025,000 | EUR | 11/14/2016 | 11/14/2023 | GS | 3 Month EURIBOR | 3 Month USD LIBOR | (125,509 | ) | ||||||||||||
42,433,000 | EUR | 11/30/2016 | 11/30/2023 | GS | 3 Month EURIBOR | 3 Month USD LIBOR | (87,658 | ) | ||||||||||||
42,433,000 | EUR | 11/30/2016 | 11/30/2023 | GS | 3 Month EURIBOR | 3 Month USD LIBOR | (105,218 | ) | ||||||||||||
548,210,000 | EUR | 1/29/2020 | 1/29/2025 | GS | 3 Month USD LIBOR | 3 Month EURIBOR | 10,643,066 | |||||||||||||
37,217,000 | EUR | 9/5/2017 | 9/5/2025 | GS | 3 Month EURIBOR | 3 Month USD LIBOR | (55,166 | ) | ||||||||||||
|
| |||||||||||||||||||
$ | 12,231,544 | |||||||||||||||||||
|
| |||||||||||||||||||
Premiums to (Pay) Receive | $ | (2,054,723 | ) | |||||||||||||||||
|
|
1 | For JPY LIBOR, Fund pays 3 Month JPY LIBOR adjusted by a spread. Spreads range from (0.71)% to (0.81)%. |
For EURIBOR, Fund pays 3 Month EURIBOR adjusted by a spread. Spreads range from (0.24)% to (0.52)%. |
Interest Rate Swaps
Notional Amount | Expiration Date | Counterparty | �� | Receive | Fixed Rate | Variable Rate | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
12,136,000 | GBP | 6/15/2021 | JPMF (g) | Receive | 1.05% | 6 Month GBP LIBOR | $ | 439,556 | ||||||||||||
13,938,000 | GBP | 6/16/2021 | JPMF (g) | Receive | 1.07% | 6 Month GBP LIBOR | 521,029 | |||||||||||||
25,540,000 | GBP | 6/16/2021 | JPMF (g) | Receive | 1.21% | 6 Month GBP LIBOR | 1,167,778 | |||||||||||||
1,943,401,000 | SEK | 12/15/2021 | JPMF (h) | Receive | 0.08% | 3 Month SEK STIBOR | 951,465 | |||||||||||||
31,643,000 | EUR | 12/17/2025 | JPMF (h) | (Pay) | 0.94% | 6 Month EURIBOR | (682,714 | ) | ||||||||||||
46,593,000 | GBP | 12/17/2025 | JPMF (g) | Receive | 1.86% | 6 Month GBP LIBOR | 3,108,251 | |||||||||||||
408,192,000 | MXN | 1/5/2026 | JPMF (g) | Receive | 6.24% | TIIE | 252,715 | |||||||||||||
368,508,000 | MXN | 1/5/2026 | JPMF (g) | Receive | 6.26% | TIIE | 250,598 | |||||||||||||
363,241,000 | MXN | 1/8/2026 | JPMF (g) | Receive | 6.29% | TIIE | 291,647 | |||||||||||||
539,832,000 | MXN | 1/27/2026 | JPMF (g) | Receive | 6.05% | TIIE | (102,801 | ) | ||||||||||||
33,061,000 | GBP | 3/11/2026 | JPMF (g) | (Pay) | 2.12% | 6 Month GBP LIBOR | (5,933,968 | ) | ||||||||||||
248,772,000 | MXN | 4/30/2026 | JPMF (g) | Receive | 6.08% | TIIE | (30,490 | ) | ||||||||||||
207,171,000 | MXN | 5/11/2026 | JPMF (g) | Receive | 6.30% | TIIE | 163,284 | |||||||||||||
206,109,000 | MXN | 5/11/2026 | JPMF (g) | Receive | 6.31% | TIIE | 171,057 | |||||||||||||
203,840,000 | MXN | 5/12/2026 | JPMF (g) | Receive | 6.36% | TIIE | 211,688 | |||||||||||||
12,175,000 | GBP | 6/17/2026 | JPMF (g) | Receive | 1.95% | 6 Month GBP LIBOR | 835,784 | |||||||||||||
367,130,000 | MXN | 7/22/2026 | JPMF (g) | Receive | 6.26% | TIIE | 210,688 | |||||||||||||
44,380,000 | NZD | 9/16/2026 | JPMF (h) | Receive | 2.73% | 3 Month NZD Bank Bill Rate | 953,708 | |||||||||||||
29,522,000 | NZD | 9/16/2026 | JPMF (h) | Receive | 2.86% | 3 Month NZD Bank Bill Rate | 886,911 |
See accompanying notes to the financial statements. | 55 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2016 (Unaudited)
Interest Rate Swaps — continued
Notional Amount | Expiration Date | Counterparty | Receive | Fixed Rate | Variable Rate | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
15,516,000 | NZD | 9/16/2026 | JPMF (h) | Receive | 2.88% | 3 Month NZD Bank Bill Rate | $ | 483,687 | ||||||||||||
28,990,000 | NZD | 9/16/2026 | JPMF (h) | Receive | 2.66% | 3 Month NZD Bank Bill Rate | 491,507 | |||||||||||||
16,174,000 | NZD | 9/16/2026 | JPMF (h) | Receive | 2.79% | 3 Month NZD Bank Bill Rate | 407,503 | |||||||||||||
90,635,000 | USD | 9/16/2026 | JPMF (h) | (Pay) | 1.80% | 3 Month USD LIBOR | (508,321 | ) | ||||||||||||
87,574,000 | USD | 9/16/2026 | JPMF (h) | (Pay) | 1.80% | 3 Month USD LIBOR | (461,674 | ) | ||||||||||||
19,957,000 | USD | 9/16/2026 | JPMF (h) | (Pay) | 1.69% | 3 Month USD LIBOR | (6,058 | ) | ||||||||||||
33,262,000 | USD | 9/16/2026 | JPMF (h) | (Pay) | 1.69% | 3 Month USD LIBOR | (12,028 | ) | ||||||||||||
33,262,000 | USD | 9/16/2026 | JPMF (h) | (Pay) | 1.70% | 3 Month USD LIBOR | (27,472 | ) | ||||||||||||
9,226,000 | GBP | 2/17/2027 | JPMF (g) | (Pay) | 1.39% | 6 Month GBP LIBOR | (810,255 | ) | ||||||||||||
8,323,000 | GBP | 5/12/2027 | JPMF (g) | (Pay) | 1.56% | 6 Month GBP LIBOR | (890,910 | ) | ||||||||||||
3,626,000 | EUR | 8/21/2027 | JPMF (h) | (Pay) | 0.56% | 6 Month EURIBOR | (57,539 | ) | ||||||||||||
4,823,000 | EUR | 11/20/2027 | JPMF (h) | (Pay) | 0.64% | 6 Month EURIBOR | (100,813 | ) | ||||||||||||
233,528,000 | EUR | 12/18/2030 | JPMF (h) | Receive | 1.61% | 6 Month EURIBOR | 5,201,535 | |||||||||||||
3,039,000 | GBP | 12/18/2030 | JPMF (g) | Receive | 2.61% | 6 Month GBP LIBOR | 276,725 | |||||||||||||
47,244,000 | GBP | 12/18/2030 | JPMF (g) | Receive | 2.52% | 6 Month GBP LIBOR | 4,030,600 | |||||||||||||
118,580,000 | EUR | 12/17/2031 | JPMF (h) | (Pay) | 1.19% | 6 Month EURIBOR | 195,015 | |||||||||||||
9,353,000 | GBP | 12/17/2031 | JPMF (g) | (Pay) | 1.55% | 6 Month GBP LIBOR | (1,253,862 | ) | ||||||||||||
2,321,000 | GBP | 2/9/2032 | JPMF (g) | (Pay) | 1.61% | 6 Month GBP LIBOR | (336,980 | ) | ||||||||||||
13,002,000 | GBP | 3/17/2032 | JPMF (g) | (Pay) | 1.72% | 6 Month GBP LIBOR | (2,138,412 | ) | ||||||||||||
17,061,000 | GBP | 6/16/2032 | JPMF (g) | (Pay) | 1.67% | 6 Month GBP LIBOR | (2,611,526 | ) | ||||||||||||
85,733,000 | GBP | 9/14/2032 | JPMF (g) | Receive | 1.46% | 6 Month GBP LIBOR | 9,417,691 | |||||||||||||
445,480,000 | EUR | 12/20/2045 | JPMF (h) | Receive | 1.29% | 6 Month EURIBOR | 22,601,418 | |||||||||||||
27,989,000 | EUR | 12/20/2045 | JPMF (h) | Receive | 1.11% | 6 Month EURIBOR | 673,588 | |||||||||||||
10,150,000 | EUR | 12/20/2045 | JPMF (h) | (Pay) | 0.99% | 6 Month EURIBOR | (66,305 | ) | ||||||||||||
25,852,000 | EUR | 12/20/2045 | JPMF (h) | Receive | 1.22% | 6 Month EURIBOR | 1,048,775 | |||||||||||||
24,639,000 | EUR | 12/20/2045 | JPMF (h) | Receive | 1.20% | 6 Month EURIBOR | 905,176 | |||||||||||||
14,157,000 | EUR | 12/20/2045 | JPMF (h) | Receive | 1.13% | 6 Month EURIBOR | 374,079 | |||||||||||||
161,179,000 | GBP | 12/20/2045 | JPMF (g) | Receive | 1.87% | 6 Month GBP LIBOR | 28,066,345 | |||||||||||||
25,346,000 | GBP | 3/11/2046 | JPMF (g) | Receive | 2.34% | 6 Month GBP LIBOR | 13,633,037 | |||||||||||||
66,762,000 | GBP | 12/19/2046 | JPMF (g) | (Pay) | 1.54% | 6 Month GBP LIBOR | (8,170,355 | ) | ||||||||||||
38,421,000 | GBP | 2/9/2047 | JPMF (g) | (Pay) | 1.61% | 6 Month GBP LIBOR | (5,205,121 | ) | ||||||||||||
41,186,000 | GBP | 2/17/2047 | JPMF (g) | (Pay) | 1.63% | 6 Month GBP LIBOR | (6,924,853 | ) | ||||||||||||
35,290,000 | GBP | 5/12/2047 | JPMF (g) | (Pay) | 1.69% | 6 Month GBP LIBOR | (6,461,201 | ) | ||||||||||||
13,295,000 | EUR | 8/23/2047 | JPMF (h) | (Pay) | 1.00% | 6 Month EURIBOR | (54,274 | ) | ||||||||||||
79,797,000 | GBP | 9/14/2047 | JPMF (g) | (Pay) | 1.42% | 6 Month GBP LIBOR | (16,579,974 | ) | ||||||||||||
12,539,000 | EUR | 11/22/2047 | JPMF (h) | (Pay) | 1.07% | 6 Month EURIBOR | (240,321 | ) | ||||||||||||
8,297,000 | EUR | 11/22/2047 | JPMF (h) | (Pay) | 0.97% | 6 Month EURIBOR | 10,173 | |||||||||||||
27,330,000 | EUR | 3/14/2048 | JPMF (h) | (Pay) | 0.86% | 6 Month EURIBOR | 58,206 | |||||||||||||
511,743,000 | EUR | 3/18/2048 | JPMF (h) | (Pay) | 1.20% | 6 Month EURIBOR | (24,444,091 | ) | ||||||||||||
43,694,000 | EUR | 3/18/2048 | JPMF (h) | Receive | 0.84% | 6 Month EURIBOR | (212,041 | ) | ||||||||||||
|
| |||||||||||||||||||
$ | 13,966,860 | |||||||||||||||||||
|
| |||||||||||||||||||
Premiums to (Pay) Receive | $ | (10,437,592 | ) | |||||||||||||||||
|
|
# | Receive - Fund receives fixed rate and pays variable rate. |
(Pay) - Fund pays fixed rate and receives variable rate. |
56 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2016 (Unaudited)
Total Return Swaps
Notional Amount | Expiration Date | Counterparty | Fund Pays | Fund Receives | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
10,451,252 | USD | 5/1/2017 | MSCI | Total return on Industrial Select Sector SPDR Fund | 1 Month USD LIBOR minus 0.77% | $ | 86,681 | |||||||||||
|
|
As of August 31, 2016, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
* | Non-income producing security. |
(a) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 4). |
(b) | Security is in default. |
(c) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any (Note 2). |
(d) | All or a portion of this security or derivative is owned by GMO Implementation SPC Ltd., which is a 100% owned subsidiary of GMO Implementation Fund. |
(e) | The rate disclosed is the 7 day net yield as of August 31, 2016. |
(f) | The rate shown represents yield-to-maturity. |
(g) | Swap was cleared through the CME Group Inc. |
(h) | Swap was cleared through the LCH.Clearnet Group Ltd. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 71.
See accompanying notes to the financial statements. | 57 |
GMO International Developed Equity Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 96.9 | % | ||
Short-Term Investments | 2.0 | |||
Preferred Stocks | 1.1 | |||
Investment Funds | 0.1 | |||
Rights/Warrants | 0.0 | ^ | ||
Swap Contracts | 0.0 | ^ | ||
Other | (0.1 | ) | ||
|
| |||
100.0 | % | |||
|
|
Country/Region Summary¤ | % of Investments | |||
Japan | 24.4 | % | ||
United Kingdom | 14.6 | |||
Germany | 10.3 | |||
France | 8.4 | |||
Other Developed | 5.0 | ‡ | ||
Switzerland | 4.9 | |||
Australia | 4.7 | |||
Netherlands | 4.1 | |||
Hong Kong | 3.1 | |||
Italy | 2.6 | |||
Spain | 2.3 | |||
Canada | 2.3 | |||
Taiwan | 2.3 | |||
Norway | 1.9 | |||
China | 1.9 | |||
Korea | 1.7 | |||
Other Emerging | 1.7 | † | ||
Israel | 1.4 | |||
India | 1.4 | |||
Russia | 1.0 | |||
|
| |||
100.0 | % | |||
|
|
& | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. |
¤ | The table above incorporates aggregate indirect country exposure associated with investments in the 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, if any. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
^ | Rounds to 0.0%. |
58
GMO International Developed Equity Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares / Par Value† | Description | Value ($) | ||||||
MUTUAL FUNDS — 99.9% | ||||||||
Affiliated Issuers — 99.9% | ||||||||
3,292,803 | GMO Emerging Markets Fund, Class VI | 94,503,456 | ||||||
42,547,393 | GMO International Equity Fund, Class IV | 850,947,867 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (COST $1,064,106,310) | 945,451,323 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 0.7% | ||||||||
Time Deposits — 0.7% | ||||||||
6,980,636 | State Street Eurodollar Time Deposit, 0.01%, due 09/01/16 | 6,980,636 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (COST $6,980,636) | 6,980,636 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.6% (Cost $1,071,086,946) | 952,431,959 | |||||||
Other Assets and Liabilities (net) — (0.6%) | (5,897,464 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS — 100.0% | $946,534,495 | |||||||
|
|
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
For a listing of definitions of acronyms, counterparty abbreviations and
currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 71.
See accompanying notes to the financial statements. | 59 |
GMO International Equity Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 95.8 | % | ||
Preferred Stocks | 2.2 | |||
Short-Term Investments | 1.4 | |||
Investment Funds | 0.2 | |||
Rights/Warrants | 0.0 | ^ | ||
Swap Contracts | 0.0 | ^ | ||
Other | 0.4 | |||
|
| |||
100.0 | % | |||
|
|
Country/Region Summary¤ | % of Investments | |||
Japan | 18.1 | % | ||
United Kingdom | 10.9 | |||
Germany | 7.7 | |||
Taiwan | 7.5 | |||
France | 6.3 | |||
China | 6.2 | |||
Korea | 5.6 | |||
India | 4.6 | |||
Other Developed | 3.8 | ‡ | ||
Other Emerging | 3.7 | † | ||
Switzerland | 3.6 | |||
Australia | 3.5 | |||
Russia | 3.4 | |||
Netherlands | 3.1 | |||
Hong Kong | 2.4 | |||
Italy | 1.9 | |||
Brazil | 1.8 | |||
Spain | 1.7 | |||
Canada | 1.7 | |||
Norway | 1.4 | |||
Israel | 1.1 | |||
|
| |||
100.0 | % | |||
|
|
& | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. |
¤ | The table above incorporates aggregate indirect country exposure associated with investments in the 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, if any. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
^ | Rounds to 0.0%. |
60
GMO International Equity Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares/ Par Value† | Description | Value ($) | ||||||
MUTUAL FUNDS — 100.0% | ||||||||
Affiliated Issuers — 100.0% | ||||||||
13,681,050 | GMO Emerging Markets Fund, Class VI | 392,646,145 | ||||||
39,668,821 | GMO International Equity Fund, Class IV | 793,376,420 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (COST $1,333,602,123) | 1,186,022,565 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 0.0% | ||||||||
Time Deposits — 0.0% | ||||||||
430,648 | State Street Eurodollar Time Deposit, 0.01%, due 09/01/2016 | 430,648 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (COST $430,648) | 430,648 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.0% (Cost $1,334,032,771) | 1,186,453,213 | |||||||
Other Assets and Liabilities (net) — (0.0%) | (74,481 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS — 100.0% | $1,186,378,732 | |||||||
|
|
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
For a listing of definitions of acronyms, counterparty abbreviations and
currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 71.
See accompanying notes to the financial statements. | 61 |
(A Series of GMO Trust)
Consolidated Investment Concentration Summary (a)
August 31, 2016 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Mutual Fund | 49.5 | % | ||
Short-Term Investments | 46.5 | |||
Futures Contracts | 2.0 | # | ||
Debt Obligations | 1.5 | |||
Forward Currency Contracts | 0.6 | |||
Other | (0.1 | ) | ||
|
| |||
100.0 | % | |||
|
|
(a) | GMO Alternative Asset SPC Ltd. is a 100% owned subsidiary of GMO SGM Major Markets Fund. As such, the holdings of GMO Alternative Asset SPC Ltd. have been included with GMO SGM Major Markets Fund. |
& | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. The exposure the Fund has to futures contracts based on notional amounts is 53.3% of net assets. |
# | Some or all is comprised of commodity exposure. See Consolidated Schedule of Investments. |
62
GMO SGM Major Markets Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares / Par Value† | Description | Value ($) | ||||||
DEBT OBLIGATIONS — 2.0% | ||||||||
U.S. Government — 2.0% | ||||||||
11,700,000 | U.S. Treasury Note, 0.88%, due 03/31/18 (a) | 11,715,081 | ||||||
13,500,000 | U.S. Treasury Note, USBM + .19%, 0.53%, due 04/30/18 | 13,514,135 | ||||||
|
| |||||||
Total U.S. Government | 25,229,216 | |||||||
|
| |||||||
TOTAL DEBT OBLIGATIONS (COST $25,223,583) | 25,229,216 | |||||||
|
| |||||||
MUTUAL FUNDS — 65.6% | ||||||||
United States — 65.6% | ||||||||
Affiliated Issuers — 65.6% | ||||||||
33,473,556 | GMO U.S. Treasury Fund | 837,173,643 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (COST $836,799,449) | 837,173,643 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 32.6% | ||||||||
Money Market Funds — 3.7% | ||||||||
5,240,006 | SSgA USD Liquidity Fund-Class S2 Shares (a) | 5,240,006 | ||||||
41,685,808 | State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.20% (b) | 41,685,808 | ||||||
|
| |||||||
Total Money Market Funds | 46,925,814 | |||||||
|
| |||||||
U.S. Government — 28.9% | ||||||||
7,000,000 | Federal Home Loan Bank Discount Notes, due 11/02/16 | 6,996,262 | ||||||
30,000,000 | U.S. Treasury Bill, 0.00%, due 09/01/16 (a) (c) | 30,000,000 | ||||||
55,000,000 | U.S. Treasury Bill, 0.20%, due 09/15/16 (a) (c) | 54,995,380 | ||||||
10,420,000 | U.S. Treasury Bill, 0.22%, due 10/20/16 (c) (d) | 10,416,926 | ||||||
60,000,000 | U.S. Treasury Bill, 0.23%, due 10/06/16 (a) (c) | 59,986,380 | ||||||
30,000,000 | U.S. Treasury Bill, 0.24%, due 10/27/16 (c) (d) | 29,988,660 | ||||||
30,000,000 | U.S. Treasury Bill, 0.27%, due 11/03/16 (a) (c) | 29,985,570 | ||||||
18,000,000 | U.S. Treasury Bill, 0.36%, due 01/05/17 (a) (c) | 17,977,806 | ||||||
80,000,000 | U.S. Treasury Bill, 0.44%, due 02/02/17 (a) (c) (d) | 79,851,920 | ||||||
13,000,000 | U.S. Treasury Note, 0.50%, due 11/30/16 (d) | 13,005,421 | ||||||
6,500,000 | U.S. Treasury Note, 0.63%, due 05/31/17 (d) | 6,500,000 | ||||||
22,400,000 | U.S. Treasury Note, 0.75%, due 01/15/17 | 22,428,896 | ||||||
6,500,000 | U.S. Treasury Note, 0.75%, due 06/30/17 (d) | 6,505,076 | ||||||
|
| |||||||
Total U.S. Government | 368,638,297 | |||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (COST $415,565,275) | 415,564,111 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.2% (Cost $1,277,588,307) | 1,277,966,970 | |||||||
Other Assets and Liabilities (net) — (0.2%) | (2,905,432 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS — 100.0% | $1,275,061,538 | |||||||
|
|
A summary of outstanding financial instruments at August 31, 2016 is as follows:
Forward Currency Contracts
Settlement Date | Counter- | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
09/12/2016 | JPM | AUD | 1,959,632 | USD | 1,480,383 | $ | 7,984 | |||||||||||||||
10/12/2016 | MSCI | AUD | 2,268,329 | USD | 1,701,225 | (1,862 | ) | |||||||||||||||
10/12/2016 | SSB | AUD | 2,304,239 | USD | 1,742,500 | 12,452 | ||||||||||||||||
10/12/2016 | UBS | AUD | 3,091,617 | USD | 2,327,581 | 6,360 | ||||||||||||||||
10/11/2016 | JPM | CAD | 5,000,000 | USD | 3,792,357 | (21,146 | ) | |||||||||||||||
10/11/2016 | SSB | CAD | 12,360,000 | USD | 9,542,610 | 115,629 | ||||||||||||||||
09/12/2016 | UBS | CHF | 100,722,981 | USD | 102,709,645 | 248,409 | ||||||||||||||||
09/06/2016 | JPM | EUR | 12,322,249 | USD | 13,782,352 | 35,596 | ||||||||||||||||
09/06/2016 | MSCI | EUR | 4,726,517 | USD | 5,228,168 | (44,756 | ) | |||||||||||||||
09/06/2016 | UBS | EUR | 8,175,000 | USD | 9,061,849 | (58,218 | ) | |||||||||||||||
09/23/2016 | JPM | GBP | 61,000,000 | USD | 89,773,395 | 9,631,440 | ||||||||||||||||
10/24/2016 | JPM | GBP | 52,492,423 | USD | 69,159,397 | 149,012 | ||||||||||||||||
10/24/2016 | MSCI | GBP | 1,053,140 | USD | 1,377,270 | (7,265 | ) | |||||||||||||||
10/24/2016 | UBS | GBP | 52,492,423 | USD | 69,038,822 | 28,437 | ||||||||||||||||
10/05/2016 | UBS | JPY | 214,000,000 | USD | 2,027,168 | (44,258 | ) | |||||||||||||||
09/12/2016 | JPM | NZD | 1,000,000 | USD | 728,833 | 3,534 | ||||||||||||||||
09/06/2016 | SSB | USD | 97,104,787 | EUR | 87,263,239 | 246,473 | ||||||||||||||||
09/06/2016 | UBS | USD | 1,612,904 | EUR | 1,451,181 | 6,040 | ||||||||||||||||
09/12/2016 | JPM | USD | 4,409,525 | CHF | 4,280,000 | (55,662 | ) | |||||||||||||||
09/12/2016 | JPM | USD | 57,675,116 | NZD | 80,160,886 | 465,459 | ||||||||||||||||
09/12/2016 | SSB | USD | 525,036 | NZD | 730,312 | 4,659 | ||||||||||||||||
09/12/2016 | UBS | USD | 7,350,270 | CHF | 7,050,000 | (178,602 | ) | |||||||||||||||
09/23/2016 | JPM | USD | 1,327,644 | GBP | 1,000,000 | (13,842 | ) | |||||||||||||||
09/30/2016 | JPM | USD | 58,870,857 | JPY | 6,000,000,000 | (807,088 | ) | |||||||||||||||
10/05/2016 | MSCI | USD | 169,654,687 | JPY | 17,399,530,199 | (1,234,872 | ) | |||||||||||||||
10/11/2016 | JPM | USD | 35,248,843 | CAD | 46,405,278 | 144,494 | ||||||||||||||||
10/12/2016 | JPM | USD | 2,862,938 | AUD | 3,832,093 | 14,241 | ||||||||||||||||
10/12/2016 | UBS | USD | 2,869,509 | AUD | 3,832,092 | 7,669 | ||||||||||||||||
10/17/2016 | MSCI | USD | 51,270,393 | NZD | 71,397,289 | 436,350 | ||||||||||||||||
10/31/2016 | SSB | USD | 24,142,476 | JPY | 2,462,054,552 | (286,313 | ) | |||||||||||||||
11/02/2016 | SSB | USD | 71,020,646 | EUR | 63,490,654 | (15,224 | ) | |||||||||||||||
11/16/2016 | JPM | USD | 50,583,866 | NZD | 70,546,072 | 444,626 | ||||||||||||||||
|
| |||||||||||||||||||||
$ | 9,239,756 | |||||||||||||||||||||
|
|
See accompanying notes to the financial statements. | 63 |
GMO SGM Major Markets Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2016 (Unaudited)
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount | Net Unrealized Appreciation (Depreciation) | ||||||||
Buys | ||||||||||||
104 | Australian Government Bond 10 Yr. | September 2016 | $ | 10,777,949 | $ | 195,650 | ||||||
58 | Canadian Government Bond 10 Yr. | December 2016 | 6,488,060 | 9,178 | ||||||||
2,242 | Euro STOXX 50 Futures | September 2016 | 75,713,145 | 3,938,336 | ||||||||
2,983 | FTSE 100 Index | September 2016 | 265,260,463 | 25,524,250 | ||||||||
126 | Hang Seng Index | September 2016 | 18,582,902 | 95,302 | ||||||||
2,495 | Mini MSCI Emerging Markets | September 2016 | 110,765,525 | 6,342,221 | ||||||||
308 | MSCI Singapore | September 2016 | 7,003,350 | (162,279 | ) | |||||||
633 | MSCI Taiwan Index | September 2016 | 21,197,503 | (262,520 | ) | |||||||
786 | S&P 500 E-Mini Index | September 2016 | 85,261,350 | 3,082,285 | ||||||||
269 | S&P TSX 60 Index | September 2016 | 34,857,952 | 587,014 | ||||||||
260 | Silver | December 2016 | 24,319,100 | (2,005,508 | ) |
Number of Contracts + | Type | Expiration Date | Notional Amount | Net Unrealized Appreciation (Depreciation) | ||||||||
919 | Soybean(a) | November 2016 | $ | 43,330,850 | $ | (7,377,204 | ) | |||||
508 | SPI 200 | September 2016 | 51,545,927 | 1,096,024 | ||||||||
3,230 | U.S. Treasury Note 10 Yr. (CBT) | December 2016 | 422,877,656 | (962,971 | ) | |||||||
113 | UK Gilt Long Bond | December 2016 | 19,465,927 | 51,691 | ||||||||
|
|
|
| |||||||||
$ | 1,197,447,659 | $ | 30,151,469 | |||||||||
|
|
|
| |||||||||
Sales | ||||||||||||
2,675 | Corn(a) | December 2016 | $ | 42,198,125 | $ | 7,670,615 | ||||||
1,017 | Crude Oil(a) | October 2016 | 45,459,900 | (1,721,810 | ) | |||||||
977 | FTSE/JSE TOP 40 | September 2016 | 30,744,867 | 334,620 | ||||||||
59 | Gold 100 OZ(a) | December 2016 | 7,737,260 | 185,130 | ||||||||
180 | Japanese Government Bond 10 Yr. (OSE) | September 2016 | 263,487,013 | 1,215,288 | ||||||||
781 | Nikkei 225(a) | September 2016 | 127,631,080 | (3,497,878 | ) | |||||||
|
|
|
| |||||||||
$ | 517,258,245 | $ | 4,185,965 | |||||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. Sales - Fund is short the futures contract. |
As of August 31, 2016, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
(a) | All or a portion of this security or derivative is owned by GMO Alternative Asset SPC Ltd., which is a 100% owned subsidiary of GMO SGM Major Markets Fund. |
(b) | The rate disclosed is the 7 day net yield as of August 31, 2016. |
(c) | The rate shown represents yield-to-maturity. |
(d) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 71.
64 | See accompanying notes to the financial statements. |
GMO Special Opportunities Fund
(A Series of GMO Trust)
Consolidated Investment Concentration Summary(a)
August 31, 2016 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 67.4 | % | ||
Short-Term Investments | 23.4 | |||
Debt Obligations | 4.3 | |||
Investment Funds | 2.8 | |||
Forward Currency Contracts | (0.0 | )^ | ||
Rights/Warrants | 0.0 | ^ | ||
Written Options | (0.1 | ) | ||
Futures Contracts | (0.3 | )+ | ||
Other | 2.5 | |||
|
| |||
100.0 | % | |||
|
|
Country Summary¤ | Debt Obligations as a % of Total Net Assets | |||
United States | 27.3 | |||
Jamaica | 1.2 | |||
Other Developed | 0.1 | ‡ | ||
Other Emerging | 0.8 | † | ||
|
| |||
29.4 | % | |||
|
|
Country Summary¤ | Equity Investments as a % of Total Net Assets | |||
United States | 56.6 | |||
Romania | 5.7 | |||
Netherlands | 3.3 | |||
Germany | 3.2 | |||
Other Developed | 1.4 | ‡ | ||
|
| |||
70.2 | % | |||
|
|
Industry Group Summary | % of Equity Investments # | |||
Diversified Financials | 31.1 | % | ||
Software & Services | 25.7 | |||
Media | 17.6 | |||
Capital Goods | 8.9 | |||
Automobiles & Components | 5.2 | |||
Utilities | 4.4 | |||
Retailing | 3.0 | |||
Insurance | 2.4 | |||
Energy | 1.1 | |||
Transportation | 0.6 | |||
|
| |||
100.0 | % | |||
|
|
(a) | GMO Special Opportunities SPC Ltd. is a 100% owned subsidiary of GMO Special Opportunities Fund. As such, the holdings of GMO Special Opportunities SPC Ltd. have been included with GMO Special Opportunities Fund. |
& | In the table above, derivative financial instruments, if any, are based on market values and unrealized appreciation/depreciation rather than notional amounts. |
¤ | The table excludes short-term investments. The table excludes exposure through forward currency contracts, and includes exposure through derivative financial instruments, if any. The table takes into account the market values of securities and options and the notional amounts of swap contracts and other derivatives, if any. The table is not normalized, thus, due |
to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the table may not total to 100%. |
+ | Some or all is comprised of commodity exposure. See Consolidated Schedule of Investments. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
^ | Rounds to 0.0%. |
65
GMO Special Opportunities Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 67.4% | ||||||||||
Canada — 1.0% | ||||||||||
350,000 | Alignvest Acquisition Corp – Class A * | 2,594,174 | ||||||||
6,000,000 | Jagercor Energy Corp * (a) | 137,258 | ||||||||
500,000 | MEG Energy Corp * | 2,066,494 | ||||||||
3,000,000 | Newalta Corp | 5,764,831 | ||||||||
|
| |||||||||
Total Canada | 10,562,757 | |||||||||
|
| |||||||||
Germany — 3.2% | ||||||||||
635,000 | Brenntag AG | 34,529,009 | ||||||||
|
| |||||||||
Ireland — 0.4% | ||||||||||
60,000 | Ryanair Holdings Plc Sponsored ADR | 4,356,600 | ||||||||
|
| |||||||||
Netherlands — 3.3% | ||||||||||
970,000 | InterXion Holding NV * | 36,181,000 | ||||||||
|
| |||||||||
Romania — 2.9% | ||||||||||
9,200,000 | Electrica SA | 31,895,966 | ||||||||
|
| |||||||||
United States — 56.6% | ||||||||||
2,630,000 | Ally Financial, Inc. | 52,705,200 | ||||||||
29,000 | Amazon.com, Inc. * | 22,305,640 | ||||||||
285,000 | AMETEK, Inc. | 13,893,750 | ||||||||
745,000 | Berkshire Hathaway, Inc. – Class B * | 112,115,050 | ||||||||
1,230,000 | Cimpress NV * | 122,102,100 | ||||||||
650,000 | CommerceHub, Inc. – Series A * | 9,613,500 | ||||||||
1,410,000 | CommerceHub, Inc. – Series C * | 20,769,300 | ||||||||
1,200,000 | General Motors Co. | 38,304,000 | ||||||||
300,000 | HEICO Corp. – Class A | 17,064,000 | ||||||||
1,597,544 | Interactive Brokers Group, Inc. – Class A | 57,319,879 | ||||||||
775,000 | Liberty Global Plc LiLAC – Class A * | 21,800,750 | ||||||||
1,550,000 | Liberty Global Plc LiLAC – Class C * | 44,268,000 | ||||||||
1,615,000 | Liberty Global Plc – Class A * | 51,114,750 | ||||||||
450,000 | Live Nation Entertainment, Inc. * | 12,024,000 | ||||||||
300,000 | Quinpario Acquisition Corp. 2 * | 2,964,000 | ||||||||
1,170,000 | Trupanion, Inc. * | 17,585,100 | ||||||||
|
| |||||||||
Total United States | 615,949,019 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $674,655,436) | 733,474,351 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.0% | ||||||||||
Canada — 0.0% | ||||||||||
3,000,000 | Jagercor Energy Corp Warrants, Expires 11/17/16 * (a) | — | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $—) | — | |||||||||
|
|
Shares / Par Value† | Description | Value ($) | ||||||||
INVESTMENT FUNDS — 2.8% | ||||||||||
Romania — 2.8% | ||||||||||
151,243,100 | Fondul Proprietatea SA Fund * | 30,067,828 | ||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $35,367,956) | 30,067,828 | |||||||||
|
| |||||||||
DEBT OBLIGATIONS — 4.3% | ||||||||||
Convertible Debt — 0.1% | ||||||||||
United States — 0.1% | ||||||||||
2,000,000 | Cobalt International Energy, Inc., 2.63%, due 12/01/19 | 912,500 | ||||||||
|
| |||||||||
Corporate Debt — 3.4% | ||||||||||
Canada — 0.1% | ||||||||||
CAD | 2,650,000 | Newalta Corp, Reg S, 5.88%, due 04/01/21 | 1,555,971 | |||||||
|
| |||||||||
Jamaica — 1.1% | ||||||||||
13,500,000 | Digicel Group Ltd, 144A, 7.13%, due 04/01/22 | 10,935,000 | ||||||||
1,220,000 | Digicel Group Ltd, 144A, 8.25%, due 09/30/20 | 1,098,000 | ||||||||
|
| |||||||||
Total Jamaica | 12,033,000 | |||||||||
|
| |||||||||
United States — 2.2% | ||||||||||
7,500,000 | Pacific Drilling SA, 144A, 5.38%, due 06/01/20 | 2,175,000 | ||||||||
7,500,000 | Pacific Drilling V Ltd., 144A, 7.25%, due 12/01/17 | 2,925,000 | ||||||||
8,000,000 | Weatherford International Ltd., 6.50%, due 08/01/36 | 5,920,000 | ||||||||
7,500,000 | Weatherford International LLC, 6.80%, due 06/15/37 | 5,587,500 | ||||||||
3,000,000 | Weatherford International Ltd., 7.00%, due 03/15/38 | 2,257,500 | ||||||||
2,000,000 | Weatherford International Ltd., 6.75%, due 09/15/40 | 1,470,000 | ||||||||
5,000,000 | Weatherford International Ltd., 5.95%, due 04/15/42 | 3,512,500 | ||||||||
|
| |||||||||
Total United States | 23,847,500 | |||||||||
|
| |||||||||
Total Corporate Debt | 37,436,471 | |||||||||
|
| |||||||||
Municipal Obligations — 0.8% | ||||||||||
Puerto Rico — 0.8% | ||||||||||
125,000 | Puerto Rico Commonwealth Industrial Development Co., 5.15%, due 07/01/18 | 78,060 | ||||||||
75,000 | Puerto Rico Commonwealth Industrial Development Co., 6.70%, due 07/01/21 | 44,812 | ||||||||
8,880,000 | Puerto Rico Commonwealth Industrial Development Co., 5.20%, due 07/01/23 | 5,172,600 | ||||||||
4,230,000 | Puerto Rico Commonwealth Industrial Development Co., 5.25%, due 07/01/28 | 2,442,825 |
66 | See accompanying notes to the financial statements. |
GMO Special Opportunities Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares / Par Value† | Description | Value ($) | ||||||||
Municipal Obligations — continued | ||||||||||
Puerto Rico — continued | ||||||||||
1,220,000 | Puerto Rico Commonwealth Industrial Development Co., (Capital Appreciation), due 07/01/17 | 768,600 | ||||||||
370,000 | Puerto Rico Commonwealth Industrial Development Co., (Capital Appreciation), due 07/01/18 | 229,319 | ||||||||
|
| |||||||||
Total Puerto Rico | 8,736,216 | |||||||||
|
| |||||||||
Total Municipal Obligations | 8,736,216 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $48,703,925) | 47,085,187 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 23.4% | ||||||||||
Money Market Funds — 0.4% | ||||||||||
4,465,322 | State Street Institutional Treasury Money Market Fund-Premier Class, 0.19% (b) (c) | 4,465,322 | ||||||||
|
| |||||||||
U.S. Government — 23.0% | ||||||||||
2,000,000 | U.S. Treasury Bill, 0.00%, due 09/01/16 (b) (d) (e) | 2,000,000 | ||||||||
41,700,000 | U.S. Treasury Bill, 0.20%, due 09/22/16 (d) | 41,695,038 |
Shares / Par Value† | Description | Value ($) | ||||||||
U.S. Government — continued | ||||||||||
75,000,000 | U.S. Treasury Bill, 0.23%, due 10/06/16 (d) | 74,982,975 | ||||||||
45,000,000 | U.S. Treasury Bill, 0.27%, due 11/03/16 (d) | 44,978,355 | ||||||||
20,000,000 | U.S. Treasury Bill, 0.27%, due 11/17/16 (d) (f) | 19,988,400 | ||||||||
34,000,000 | U.S. Treasury Bill, 0.31%, due 11/25/16 (d) | 33,975,350 | ||||||||
3,000,000 | U.S. Treasury Bill, 0.36%, due 01/05/17 (b) (d) (f) | 2,996,301 | ||||||||
29,000,000 | U.S. Treasury Bill, 0.36%, due 01/12/17 (d) | 28,961,459 | ||||||||
|
| |||||||||
Total U.S. Government | 249,577,878 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $254,028,989) | 254,043,200 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 97.9% (Cost $1,012,756,306) | 1,064,670,566 | |||||||||
Other Assets and Liabilities (net) — 2.1% | 22,888,437 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $1,087,559,003 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2016 is as follows:
Forward Currency Contracts
Settlement Date | Counter- party | Currency Sold | Currency Purchased | Net | ||||||||||||||||||
09/08/2016 | BOA | CAD | 8,100,000 | USD | 6,328,674 | $ | 151,833 | |||||||||||||||
11/21/2016 | BOA | EUR | 10,000,000 | USD | 11,360,850 | 168,069 | ||||||||||||||||
09/26/2016 | BOA | RON | 143,600,000 | USD | 35,851,600 | (136,480 | ) | |||||||||||||||
09/08/2016 | BOA | USD | 1,968,133 | CAD | 2,600,000 | 14,556 | ||||||||||||||||
11/21/2016 | GS | USD | 11,289,098 | EUR | 10,000,000 | (96,317 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | 101,661 | |||||||||||||||||||||
|
|
Futures Contracts (b)
Number of Contracts + | Type | Expiration Date | Notional Amount | Net Unrealized Appreciation (Depreciation) | ||||||||
Buys | ||||||||||||
25 | Natural Gas | December 2019 | $ | 203,375 | $ | (57,562 | ) | |||||
25 | Natural Gas | January 2020 | 201,125 | (59,813 | ) | |||||||
25 | Natural Gas | February 2020 | 197,000 | (63,938 | ) | |||||||
25 | Natural Gas | March 2020 | 179,750 | (81,188 | ) | |||||||
25 | Natural Gas | April 2020 | 179,313 | (81,625 | ) | |||||||
25 | Natural Gas | May 2020 | 181,313 | (79,625 | ) | |||||||
25 | Natural Gas | June 2020 | 183,625 | (77,313 | ) | |||||||
25 | Natural Gas | July 2020 | 185,375 | (75,563 | ) | |||||||
25 | Natural Gas | August 2020 | 185,563 | (75,375 | ) | |||||||
25 | Natural Gas | September 2020 | 187,563 | (73,375 | ) | |||||||
25 | Natural Gas | October 2020 | 192,312 | (68,625 | ) | |||||||
25 | Natural Gas | November 2020 | 201,875 | (59,062 | ) | |||||||
133 | Uranium Futures | January 2017 | 841,225 | (324,779 | ) | |||||||
133 | Uranium Futures | February 2017 | 844,550 | (321,454 | ) | |||||||
133 | Uranium Futures | March 2017 | 846,212 | (319,792 | ) | |||||||
133 | Uranium Futures | April 2017 | 847,875 | (318,129 | ) | |||||||
133 | Uranium Futures | May 2017 | 856,187 | (309,817 | ) | |||||||
133 | Uranium Futures | June 2017 | 857,850 | (308,154 | ) | |||||||
|
|
|
| |||||||||
$ | 7,372,088 | $ | (2,755,189 | ) | ||||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
- | Sales - Fund is short the futures contract. |
See accompanying notes to the financial statements. | 67 |
GMO Special Opportunities Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2016 (Unaudited)
Written Options
Equity Options
Number of | Expiration Date | Description | Premiums | Value | ||||||||||||||
Put | 80 | 10/21/2016 | Amazon.com, Inc., Strike 600.00 | $ | 456,173 | $ | (5,120 | ) | ||||||||||
Put | 80 | 10/21/2016 | Amazon.com, Inc., Strike 615.00 | 419,738 | (7,120 | ) | ||||||||||||
Put | 80 | 02/17/2017 | Amazon.com, Inc., Strike 730.00 | 595,720 | (331,600 | ) | ||||||||||||
Put | 80 | 02/17/2017 | Amazon.com, Inc., Strike 745.00 | 567,800 | (378,400 | ) | ||||||||||||
Put | 550 | 10/21/2016 | Cimpress NV, Strike 90.00 | 556,711 | (82,500 | ) | ||||||||||||
Put | 500 | 01/20/2017 | Cimpress NV, Strike 95.00 | 500,819 | (360,000 | ) | ||||||||||||
Put | 2,400 | 01/20/2017 | Yelp, Inc., Strike 26.00 | 1,102,659 | (192,000 | ) | ||||||||||||
|
|
|
| |||||||||||||||
$ | 4,199,620 | $ | (1,356,740 | ) | ||||||||||||||
|
|
|
|
As of August 31, 2016, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
* | Non-income producing security. |
(a) | Affiliated company (Note 10). |
(b) | All or a portion of this security or derivative is owned by GMO Special Opportunities SPC Ltd., which is a 100% owned subsidiary of GMO Special Opportunities Fund. |
(c) | The rate disclosed is the 7 day net yield as of August 31, 2016. |
(d) | The rate shown represents yield-to-maturity. |
(e) | Rate rounds to 0.00%. |
(f) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 71.
68 | See accompanying notes to the financial statements. |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2016 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 65.9 | % | ||
Short-Term Investments | 19.5 | |||
Debt Obligations | 12.7 | |||
Preferred Stocks | 1.1 | |||
Investment Funds | 0.1 | |||
Loan Participations | 0.1 | |||
Rights/Warrants | 0.0 | ^ | ||
Loan Assignments | 0.0 | ^ | ||
Options Purchased | 0.0 | ^ | ||
Forward Currency Contracts | 0.0 | ^ | ||
Written/Credit Linked Options | (0.0 | )^ | ||
Reverse Repurchase Agreements | (0.0 | )^ | ||
Swap Contracts | (0.1 | ) | ||
Other | 0.7 | |||
|
| |||
100.0 | % | |||
|
|
Country/Region Summary¤ | Debt Olbigations as a % of Total Net Assets | |||
United States | 8.7 | % | ||
Other Emerging | 6.4 | † | ||
Other Developed | 0.0 | ‡ | ||
Euro Region | 0.0 | # | ||
|
| |||
15.1 | % | |||
|
|
Country/Region Summary¤ | Equity Investments as a % of Total Net Assets | |||
United States | 18.6 | % | ||
Japan | 8.2 | |||
United Kingdom | 5.6 | |||
Other Developed | 5.1 | ‡ | ||
Taiwan | 3.8 | |||
Germany | 3.5 | |||
China | 3.4 | |||
South Korea | 2.9 | |||
France | 2.9 | |||
Other Emerging | 2.9 | † | ||
India | 2.4 | |||
Switzerland | 1.9 | |||
Russia | 1.9 | |||
Australia | 1.6 | |||
Netherlands | 1.6 | |||
Hong Kong | 1.1 | |||
|
| |||
67.4 | % | |||
|
|
& | The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (��underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. |
¤ | The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures |
(both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security. The tables are not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets. |
# | “Euro Region is comprised of derivative financial instruments attributed to the Eurozone and not a particular country. |
^ | Rounds to 0.00%. |
69
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2016 (Unaudited)
Shares / Par Value† | Description | Value ($) | ||||||||
MUTUAL FUNDS — 95.5% | ||||||||||
Affiliated Issuers — 95.5% | ||||||||||
3,394,622 | GMO Debt Opportunities Fund, Class VI | 85,985,781 | ||||||||
3,359,086 | GMO Emerging Country Debt Fund, Class IV | 101,007,705 | ||||||||
12,518,699 | GMO Emerging Markets Fund, Class VI | 359,286,665 | ||||||||
31,210,143 | GMO International Equity Fund, Class IV | 624,202,867 | ||||||||
9,762,986 | GMO Quality Fund, Class VI | 205,315,586 | ||||||||
13,901,884 | GMO U.S. Equity Allocation Fund, Class VI | 208,945,311 | ||||||||
14,695,593 | GMO U.S. Treasury Fund | 367,536,768 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $2,034,468,041) | 1,952,280,683 | |||||||||
|
| |||||||||
DEBT OBLIGATIONS — 4.2% | ||||||||||
Asset-Backed Securities — 0.0% | ||||||||||
497,773 | Bayview Financial Revolving Asset Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.82%, due 05/28/39 | 275,383 | ||||||||
|
| |||||||||
U.S. Government — 4.2% | ||||||||||
24,817,292 | U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (a) | 28,864,173 | ||||||||
14,402,271 | U.S. Treasury Inflation Indexed Bond, 2.38%, due 01/15/27 (a) | 17,499,666 | ||||||||
22,649,691 | U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (a) | 28,620,082 | ||||||||
7,915,312 | U.S. Treasury Inflation Indexed Bond, 3.88%, due 04/15/29 (a) | 11,357,943 | ||||||||
|
| |||||||||
Total U.S. Government | 86,341,864 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $82,524,643) | 86,617,247 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 0.0% | ||||||||||
Money Market Funds — 0.0% | ||||||||||
305,738 | State Street Institutional Treasury Money Market Fund-Premier Class, 0.19% (b) | 305,738 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $305,738) | 305,738 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.7% (Cost $2,117,298,422) | 2,039,203,668 | |||||||||
Other Assets and Liabilities (net) — 0.3% | 6,389,980 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $2,045,593,648 | |||||||||
|
|
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
(a) | Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic. |
(b) | The rate disclosed is the 7 day net yield as of August 31, 2016. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 71.
70 | See accompanying notes to the financial statements. |
GMO Trust Funds
Schedule of Investments — (Continued)
August 31, 2016 (Unaudited)
144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.
ADR - American Depositary Receipt
AMBAC - Insured as to the payment of principal and interest by AMBAC Assurance Corporation.
CPO - Ordinary Participation Certificate (Certificado de Participacion Ordinares), representing a bundle of shares of the multiple series of one issuer that trade together as a unit.
CVA - Certificaaten van aandelen (Share Certificates)
CVR - Contingent Value Right
CP - Counterparty
EURIBOR - Euro Interbank Offered Rate
Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.
FSA - Insured as to the payment of principal and interest by Financial Security Assurance.
GBP LIBOR - London Interbank Offered Rate denominated in British Pounds.
GDR - Global Depository Receipt
JPY LIBOR - London Interbank Offered Rate denominated in Japanese Yen
LIBOR - London Interbank Offered Rate
NVDR - Non-Voting Depository Receipt
OJSC - Open Joint-Stock Company
OTC - Over-the-Counter
PJSC - Private Joint-Stock Company
Reg S - Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
REIT - Real Estate Investment Trust
SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.
SPDR - Standard and Poor’s Depositary Receipt
TIIE - Tasa de Interes Interbacaria de Equilibrio - 28 - Day Interbank Equilibrium Interest Rate - Mexico
USBM - U.S. Treasury 3 Month Bill Money Market Yield.
USD LIBOR - London Interbank Offered Rate denominated in United States Dollars.
The rates shown on variable rate notes are the current interest rates at August 31, 2016, which are subject to change based on the terms of the security.
Counterparty Abbreviations:
BBH - Brown Brothers Harriman & Co.
BCLY - Barclays Bank PLC
BOA - Bank of America, N.A.
CSI - Credit Suisse International
GS - Goldman Sachs International
JPM - JPMorgan Chase Bank, N.A.
JPMF - J.P. Morgan Securities LLC
MSCI - Morgan Stanley & Co. International PLC
SSB - State Street Bank and Trust Company
UBS - UBS Securities LLC
Currency Abbreviations:
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
JPY - Japanese Yen
MXN - Mexican Peso
NOK - Norwegian Krone
NZD - New Zealand Dollar
RON - Romanian Leu
SEK - Swedish Krona
SGD - Singapore Dollar
USD - United States Dollar
ZAR - South African Rand
See accompanying notes to the financial statements. | 71 |
Statements of Assets and Liabilities — August 31, 2016 (Unaudited)
Alpha Only Fund | Benchmark-Free Allocation Fund | Benchmark- Free Fund | Global Asset Allocation Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | 11,848,744 | $ | 15,079,313,637 | $ | 1,587,476,913 | $ | 2,738,666,520 | ||||||||
Investments in unaffiliated issuers, at value (Note 2)(b) | 255,976,673 | 9,339,107 | 3,003,931,390 | 698,868 | ||||||||||||
Foreign currency, at value (Note 2)(c) | 140,708 | — | 2,611,415 | — | ||||||||||||
Cash | 10,504,586 | — | — | — | ||||||||||||
Receivable for investments sold | — | 12,447,482 | — | 151,110 | ||||||||||||
Receivable for Fund shares sold | — | 5,000,000 | — | — | ||||||||||||
Dividends receivable | 564,537 | 1,141 | 6,751,526 | 92,050 | ||||||||||||
Dividend withholding tax receivable | 410,302 | — | 611,544 | — | ||||||||||||
Receivable for variation margin on open futures contracts (Note 4) | 329,440 | — | — | — | ||||||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 42,686 | 2,059,177 | 191,698 | 22,473 | ||||||||||||
Miscellaneous receivable | 4,719 | 23,318 | 5,545 | 234 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 279,822,395 | 15,108,183,862 | 4,601,580,031 | 2,739,631,255 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Payable for investments purchased | 4,719 | — | 36,602 | 91,916 | ||||||||||||
Payable for Fund shares repurchased | — | 16,665,471 | 2,218,070 | 156,234 | ||||||||||||
Accrued foreign capital gains tax payable (Note 2) | 4,935 | — | 308,607 | — | ||||||||||||
Payable to affiliate for (Note 5): |
| |||||||||||||||
Management fee | 122,687 | 9,061,362 | — | — | ||||||||||||
Supplemental support fee – Class MF | — | 651,397 | — | — | ||||||||||||
Shareholder service fee | 24,889 | 989,122 | — | — | ||||||||||||
Due to broker (Note 2) | 10,064,060 | — | — | — | ||||||||||||
Payable to agents unaffiliated with GMO | 33 | 2,673 | 660 | 495 | ||||||||||||
Payable to Trustees and related expenses | 2,223 | 11,930 | 2,166 | 3,356 | ||||||||||||
Accrued expenses | 138,141 | 491,074 | 866,195 | 165,626 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 10,361,687 | 27,873,029 | 3,432,300 | 417,627 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 269,460,708 | $ | 15,080,310,833 | $ | 4,598,147,731 | $ | 2,739,213,628 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets consist of: | ||||||||||||||||
Paid-in capital | $ | 632,493,972 | $ | 15,669,024,632 | $ | 5,043,729,834 | $ | 3,160,607,743 | ||||||||
Accumulated undistributed net investment income | 2,447,187 | — | 31,830,253 | 5,982,530 | ||||||||||||
Distributions in excess of net investment income | — | (46,775,648 | ) | — | — | |||||||||||
Accumulated net realized gain (loss) | (372,280,882 | ) | (541,279,845 | ) | (593,529,962 | ) | (256,217,624 | ) | ||||||||
Net unrealized appreciation (depreciation) | 6,800,431 | (658,306 | ) | 116,117,606 | (171,159,021 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 269,460,708 | $ | 15,080,310,833 | $ | 4,598,147,731 | $ | 2,739,213,628 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets attributable to: | ||||||||||||||||
Class III | $ | 7,697,814 | $ | 5,374,584,606 | $ | 4,598,147,731 | $ | 2,739,213,628 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | 261,762,894 | $ | 2,662,767,900 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class MF | $ | — | $ | 7,042,958,327 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding: | ||||||||||||||||
Class III | 355,288 | 212,084,132 | 246,445,224 | 91,380,524 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | 12,075,362 | 105,068,162 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class MF | — | 277,724,998 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share: | ||||||||||||||||
Class III | $ | 21.67 | $ | 25.34 | $ | 18.66 | $ | 29.98 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | 21.68 | $ | 25.34 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class MF | $ | — | $ | 25.36 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments – affiliated issuers: | $ | 11,848,744 | $ | 15,079,971,943 | $ | 1,543,159,680 | $ | 2,909,805,478 | ||||||||
(b) Cost of investments – unaffiliated issuers: | $ | 239,382,882 | $ | 9,339,107 | $ | 2,931,813,441 | $ | 718,931 | ||||||||
(c) Cost of foreign currency: | $ | 140,695 | $ | — | $ | 2,620,461 | $ | — |
72 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2016 (Unaudited) — (Continued)
Global Developed Equity Allocation Fund | Global Equity Allocation Fund | Consolidated Implementation Fund | International Developed Equity Allocation Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | 1,148,652,961 | $ | 2,858,221,544 | $ | — | $ | 945,451,323 | ||||||||
Investments in unaffiliated issuers, at value (Note 2)(b) | 1,061,199 | 828,785 | 11,077,456,483 | 6,980,636 | ||||||||||||
Investments in Repurchase Agreements, at value (Note 2)(c) | — | — | 1,444,825,751 | — | ||||||||||||
Foreign currency, at value (Note 2)(d) | — | — | 21,296,474 | — | ||||||||||||
Cash | — | — | 1,593,750 | — | ||||||||||||
Receivable for investments sold | — | 59,564,374 | 36,024,307 | 97,673,363 | ||||||||||||
Receivable for Fund shares sold | — | — | — | 17,087 | ||||||||||||
Dividends and interest receivable | — | — | 17,517,054 | 2 | ||||||||||||
Dividend withholding tax receivable | — | — | 14,348,624 | — | ||||||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | — | — | 15,222,756 | — | ||||||||||||
Receivable for variation margin on open cleared swap contracts (Note 4) | — | — | 2,303,292 | — | ||||||||||||
Due from broker (Note 2) | — | — | 300,532,313 | — | ||||||||||||
Receivable for open OTC swap contracts (Note 4) | �� | — | — | 19,679,750 | — | |||||||||||
Interest receivable for open OTC swap contracts | — | — | 1,891,238 | — | ||||||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 9,867 | 14,916 | 634,359 | 8,712 | ||||||||||||
Miscellaneous receivable | — | 106,342 | 22,068 | 82,825 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 1,149,724,027 | 2,918,735,961 | 12,953,348,219 | 1,050,213,948 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Investments sold short, at value (Note 2)(e) | — | — | 244,143,036 | — | ||||||||||||
Payable for investments purchased | — | — | 56,864,778 | — | ||||||||||||
Payable for Fund shares repurchased | — | 59,079,141 | 8,473,605 | 103,595,030 | ||||||||||||
Payable for closed swap contracts | — | — | 187,065 | — | ||||||||||||
Accrued foreign capital gains tax payable (Note 2) | — | — | 847,117 | — | ||||||||||||
Payable for variation margin on open cleared swap contracts (Note 4) | — | — | 52,925 | — | ||||||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | — | — | 12,816,894 | — | ||||||||||||
Interest and dividend payable for short sales | — | — | 262,689 | — | ||||||||||||
Payable for open OTC swap contracts (Note 4) | — | — | 4,981,168 | — | ||||||||||||
Written options outstanding, at value (Note 4)(f) | — | — | 1,460,415 | — | ||||||||||||
Payable to agents unaffiliated with GMO | 231 | 429 | 2,211 | 165 | ||||||||||||
Payable to Trustees and related expenses | 1,530 | 1,595 | 10,309 | 601 | ||||||||||||
Accrued expenses | 97,213 | 134,962 | 3,457,775 | 83,657 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 98,974 | 59,216,127 | 333,559,987 | 103,679,453 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 1,149,625,053 | $ | 2,859,519,834 | $ | 12,619,788,232 | $ | 946,534,495 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments – affiliated issuers: | $ | 1,270,691,487 | $ | 3,197,909,242 | $ | — | $ | 1,064,106,310 | ||||||||
(b) Cost of investments – unaffiliated issuers: | $ | 1,061,199 | $ | 828,785 | $ | 11,019,023,541 | $ | 6,980,636 | ||||||||
(c) Cost of repurchase agreements: | $ | — | $ | — | $ | 1,444,825,751 | $ | — | ||||||||
(d) Cost of foreign currency: | $ | — | $ | — | $ | 21,321,088 | $ | — | ||||||||
(e) Proceeds from securities sold short: | $ | — | $ | — | $ | 232,618,111 | $ | — | ||||||||
(f) Premiums on written options: | $ | — | $ | — | $ | 1,573,649 | $ | — |
See accompanying notes to the financial statements. | 73 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2016 (Unaudited) — (Continued)
Global Developed Equity Allocation Fund | Global Equity Allocation Fund | Consolidated Implementation Fund | International Developed Equity Allocation Fund | |||||||||||||
Net assets consist of: | ||||||||||||||||
Paid-in capital | $ | 1,345,824,409 | $ | 3,413,417,844 | $ | 13,741,367,263 | $ | 1,200,975,865 | ||||||||
Accumulated undistributed net investment income | 5,772,285 | 13,148,280 | 149,267,249 | 2,286,528 | ||||||||||||
Accumulated net realized gain (loss) | (79,933,115 | ) | (227,358,593 | ) | (1,324,914,774 | ) | (138,072,911 | ) | ||||||||
Net unrealized appreciation (depreciation) | (122,038,526 | ) | (339,687,697 | ) | 54,068,494 | (118,654,987 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 1,149,625,053 | $ | 2,859,519,834 | $ | 12,619,788,232 | $ | 946,534,495 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets attributable to: | ||||||||||||||||
Core Class | $ | — | $ | — | $ | 12,619,788,232 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | $ | 1,149,625,053 | $ | 2,859,519,834 | $ | — | $ | 946,534,495 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding: | ||||||||||||||||
Core Class | — | — | 989,117,787 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | 61,166,559 | 130,030,104 | — | 65,429,039 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share: | ||||||||||||||||
Core Class | $ | — | $ | — | $ | 12.76 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | $ | 18.79 | $ | 21.99 | $ | — | $ | 14.47 | ||||||||
|
|
|
|
|
|
|
|
74 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2016 (Unaudited) — (Continued)
International Equity Allocation Fund | Consolidated SGM Major Markets Fund | Consolidated Special Opportunities Fund | Strategic Opportunities Allocation Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | 1,186,022,565 | $ | 837,173,643 | $ | 137,258 | $ | 1,952,280,683 | ||||||||
Investments in unaffiliated issuers, at value (Note 2)(b) | 430,648 | 440,793,327 | 1,064,533,308 | 86,922,985 | ||||||||||||
Foreign currency, at value (Note 2)(c) | — | — | 23 | — | ||||||||||||
Cash | — | 7 | — | — | ||||||||||||
Receivable for investments sold | — | — | 27,386,848 | 26,288,124 | ||||||||||||
Receivable for Fund shares sold | — | 4,000,000 | — | 8,466,525 | ||||||||||||
Dividends and interest receivable | — | 482,786 | 1,398,615 | 431,428 | ||||||||||||
Dividend withholding tax receivable | — | — | 22,205 | — | ||||||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | — | 12,008,864 | 334,458 | — | ||||||||||||
Receivable for variation margin on open futures contracts (Note 4) | — | 1,741,572 | 16,125 | — | ||||||||||||
Due from broker (Note 2) | — | — | 294 | — | ||||||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 9,636 | 41,337 | — | 15,510 | ||||||||||||
Miscellaneous receivable | — | — | 12,156 | 40,235 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 1,186,462,849 | 1,296,241,536 | 1,093,841,290 | 2,074,445,490 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Payable for investments purchased | — | 12,053,258 | — | 139,700 | ||||||||||||
Payable for Fund shares repurchased | — | — | 2,431,320 | 28,595,814 | ||||||||||||
Accrued foreign capital gains tax payable (Note 2) | — | — | 801,696 | — | ||||||||||||
Payable to affiliate for (Note 5): |
| |||||||||||||||
Management fee | — | 984,116 | 1,090,378 | — | ||||||||||||
Shareholder service fee | — | 66,262 | 54,519 | — | ||||||||||||
Payable for variation margin on open futures contracts (Note 4) | — | 4,981,056 | — | — | ||||||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | — | 2,769,108 | 232,797 | — | ||||||||||||
Due to broker (Note 2) | — | 86,343 | — | — | ||||||||||||
Written options outstanding, at value (Note 4)(d) | — | — | 1,356,740 | — | ||||||||||||
Payable to agents unaffiliated with GMO | 165 | 198 | 165 | 330 | ||||||||||||
Payable to Trustees and related expenses | 794 | 1,617 | 43 | 363 | ||||||||||||
Accrued expenses | 83,158 | 238,040 | 314,629 | 115,635 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 84,117 | 21,179,998 | 6,282,287 | 28,851,842 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 1,186,378,732 | $ | 1,275,061,538 | $ | 1,087,559,003 | $ | 2,045,593,648 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments – affiliated issuers: | $ | 1,333,602,123 | $ | 836,799,449 | $ | 317,181 | $ | 2,034,468,041 | ||||||||
(b) Cost of investments – unaffiliated issuers: | $ | 430,648 | $ | 440,788,858 | $ | 1,012,439,125 | $ | 82,830,381 | ||||||||
(c) Cost of foreign currency: | $ | — | $ | — | $ | 22 | $ | — | ||||||||
(d) Premiums on written options: | $ | — | $ | — | $ | 4,199,620 | $ | — |
See accompanying notes to the financial statements. | 75 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2016 (Unaudited) — (Continued)
International Equity Allocation Fund | Consolidated SGM Major Markets Fund | Consolidated Special Opportunities Fund | Strategic Opportunities Allocation Fund | |||||||||||||
Net assets consist of: | ||||||||||||||||
Paid-in capital | $ | 1,420,258,845 | $ | 1,187,328,923 | $ | 1,040,358,207 | $ | 2,163,929,745 | ||||||||
Accumulated undistributed net investment income | 1,625,524 | — | 9,244,629 | 7,477,007 | ||||||||||||
Distributions in excess of net investment income | — | (19,702,418 | ) | — | — | |||||||||||
Accumulated net realized gain (loss) | (87,926,079 | ) | 63,467,149 | (14,092,394 | ) | (47,718,350 | ) | |||||||||
Net unrealized appreciation (depreciation) | (147,579,558 | ) | 43,967,884 | 52,048,561 | (78,094,754 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 1,186,378,732 | $ | 1,275,061,538 | $ | 1,087,559,003 | $ | 2,045,593,648 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets attributable to: | ||||||||||||||||
Class III | $ | 1,186,378,732 | $ | 48,754,183 | $ | — | $ | 2,045,593,648 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | — | $ | 1,226,307,355 | $ | 1,087,559,003 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding: | ||||||||||||||||
Class III | 44,237,363 | 1,386,574 | — | 105,836,512 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | — | 34,874,895 | 53,973,262 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share: | ||||||||||||||||
Class III | $ | 26.82 | $ | 35.16 | $ | — | $ | 19.33 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | — | $ | 35.16 | $ | 20.15 | $ | — | ||||||||
|
|
|
|
|
|
|
|
76 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2016 (Unaudited)
Alpha Only Fund | Benchmark- Free Allocation Fund | Benchmark- Free Fund | Global Asset Allocation Fund | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends from unaffiliated issuers (Net of withholding tax)(a) | $ | 3,752,518 | $ | 6,526 | $ | 33,798,697 | $ | 458 | ||||||||
Dividends from affiliated issuers (Note 10) | 36,306 | 25,452,718 | 9,867,718 | 13,144,587 | ||||||||||||
Interest | 30,814 | 100 | 3,759,947 | 15,603 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 3,819,638 | 25,459,344 | 47,426,362 | 13,160,648 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Management fee (Note 5) | 717,755 | 52,897,244 | — | — | ||||||||||||
Shareholder service fee – Class III (Note 5) | 5,838 | 4,294,345 | — | — | ||||||||||||
Shareholder service fee – Class IV (Note 5) | 139,659 | 1,352,013 | — | — | ||||||||||||
Supplemental support fee – Class MF (Note 5) | — | 3,923,128 | — | — | ||||||||||||
Audit and tax fees | 55,476 | 50,232 | 42,320 | 36,064 | ||||||||||||
Custodian and fund accounting agent fees | 154,736 | 54,280 | 900,864 | 32,476 | ||||||||||||
Legal fees | 21,117 | 272,044 | 81,880 | 54,648 | ||||||||||||
Registration fees | 3,680 | 10,212 | — | 2,484 | ||||||||||||
Transfer agent fees | 18,584 | — | — | — | ||||||||||||
Trustees’ fees and related expenses (Note 5) | 1,748 | 128,111 | 34,384 | 25,320 | ||||||||||||
Miscellaneous | 27,416 | 50,968 | 27,486 | 10,028 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 1,146,009 | 63,032,577 | 1,086,934 | 161,020 | ||||||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (249,361 | ) | (421,176 | ) | (856,153 | ) | (132,940 | ) | ||||||||
Indirectly incurred fees waived or borne by GMO (Note 5) | — | (10,201,683 | ) | — | — | |||||||||||
Supplemental support fee waived – Class MF (Note 5) | — | (475,076 | ) | — | — | |||||||||||
Shareholder service fee waived (Note 5) | — | (1,031,176 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 896,648 | 50,903,466 | 230,781 | 28,080 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 2,922,990 | (25,444,122 | ) | 47,195,581 | 13,132,568 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss): | �� | |||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments in unaffiliated issuers | 1,896,712 | — | 16,785,035 | (40,341 | ) | |||||||||||
Investments in affiliated issuers | — | 53,417,448 | (2,440,503 | ) | (143,089,965 | ) | ||||||||||
Realized gain distributions from affiliated issuers (Note 10) | 433 | 14,872,143 | 5,588,005 | 5,694,385 | ||||||||||||
Futures contracts | (24,582,661 | ) | — | 6,495,210 | — | |||||||||||
Swap contracts | — | — | 299,633 | — | ||||||||||||
Foreign currency, forward contracts and foreign currency related transactions | (93,290 | ) | — | 5,443,123 | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (22,778,806 | ) | 68,289,591 | 32,170,503 | (137,435,921 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in unaffiliated issuers | 28,259,967 | — | 189,379,688 | 32,944 | ||||||||||||
Investments in affiliated issuers | — | 1,210,348,124 | 180,770,416 | 394,457,997 | ||||||||||||
Futures contracts | (9,272,630 | ) | — | (197,030 | ) | — | ||||||||||
Swap contracts | — | — | 19,340 | — | ||||||||||||
Foreign currency, forward contracts and foreign currency related transactions | 131,547 | — | (7,231,027 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) | 19,118,884 | 1,210,348,124 | 362,741,387 | 394,490,941 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | (3,659,922 | ) | 1,278,637,715 | 394,911,890 | 257,055,020 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | (736,932 | ) | $ | 1,253,193,593 | $ | 442,107,471 | $ | 270,187,588 | |||||||
|
|
|
|
|
|
|
| |||||||||
(a) Withholding tax: | $ | 209,667 | $ | — | $ | 3,128,866 | $ | — |
See accompanying notes to the financial statements. | 77 |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2016 (Unaudited) — (Continued)
Global Developed Equity Allocation Fund | Global Equity Allocation Fund | Consolidated Implementation Fund | International Developed Equity Allocation Fund | |||||||||||||
Investment Income: |
| |||||||||||||||
Dividends from unaffiliated issuers (Net of withholding tax)(a) | $ | — | $ | 42 | $ | 147,746,504 | $ | — | ||||||||
Interest | 29 | — | 34,281,861 | 66 | ||||||||||||
Dividends from affiliated issuers (Note 10) | 8,042,856 | 18,011,461 | — | 4,216,282 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 8,042,885 | 18,011,503 | 182,028,365 | 4,216,348 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Audit and tax fees | 7,636 | 7,544 | 96,968 | 7,544 | ||||||||||||
Custodian, fund accounting agent and transfer agent fees | 26,588 | 28,612 | 2,999,660 | 28,244 | ||||||||||||
Dividend expense on short sales | — | — | 3,914,655 | — | ||||||||||||
Legal fees | 24,104 | 47,748 | 270,781 | 17,020 | ||||||||||||
Registration fees | 828 | 2,024 | — | 552 | ||||||||||||
Trustees’ fees and related expenses (Note 5) | 11,282 | 22,733 | 107,614 | 7,933 | ||||||||||||
Interest expense (Note 2) | — | — | 98,097 | — | ||||||||||||
Miscellaneous | 5,520 | 8,740 | 107,836 | 4,508 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 75,958 | 117,401 | 7,595,611 | 65,801 | ||||||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (63,480 | ) | (92,276 | ) | (3,344,476 | ) | (56,396 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 12,478 | 25,125 | 4,251,135 | 9,405 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 8,030,407 | 17,986,378 | 177,777,230 | 4,206,943 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments in unaffiliated issuers | — | — | (114,758,384 | ) | — | |||||||||||
Investments in affiliated issuers | (59,532,004 | ) | (189,410,416 | ) | — | 3,702,966 | ||||||||||
Realized gain distributions from affiliated issuers (Note 10) | 6,577,808 | 14,043,100 | — | — | ||||||||||||
Investments in securities sold short | — | — | (28,345,694 | ) | — | |||||||||||
Futures contracts | — | — | (847,692 | ) | — | |||||||||||
Written options | — | — | (22,539,855 | ) | — | |||||||||||
Swap contracts | — | — | 87,390,798 | — | ||||||||||||
Foreign currency, forward contracts and foreign currency related transactions | — | — | 21,897,974 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (52,954,196 | ) | (175,367,316 | ) | (57,202,853 | ) | 3,702,966 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in unaffiliated issuers | — | — | 1,030,295,589 | — | ||||||||||||
Investments in affiliated issuers | 205,762,377 | 541,664,918 | — | 98,008,926 | ||||||||||||
Investments in securities sold short | — | — | (13,546,062 | ) | — | |||||||||||
Futures contracts | — | — | (4,701 | ) | — | |||||||||||
Written options | — | — | 34,839,607 | — | ||||||||||||
Swap contracts | — | — | (91,538,900 | ) | — | |||||||||||
Foreign currency, forward contracts and foreign currency related transactions | — | — | (23,273,457 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) | 205,762,377 | 541,664,918 | 936,772,076 | 98,008,926 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | 152,808,181 | 366,297,602 | 879,569,223 | 101,711,892 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | 160,838,588 | $ | 384,283,980 | $ | 1,057,346,453 | $ | 105,918,835 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Withholding tax: | $ | — | $ | — | $ | 14,179,799 | $ | — |
78 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2016 (Unaudited) — (Continued)
International Equity Allocation Fund | Consolidated SGM Major Markets Fund | Consolidated Special Opportunities Fund | Strategic Opportunities Allocation Fund | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends from affiliated issuers (Note 10) | $ | 4,005,689 | $ | 1,914,399 | $ | — | $ | 10,358,216 | ||||||||
Interest | 55 | 542,145 | 9,957,276 | 1,380,219 | ||||||||||||
Dividends from unaffiliated issuers (Net of withholding tax)(a) | — | 27,723 | 8,032,082 | 277,881 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 4,005,744 | 2,484,267 | 17,989,358 | 12,016,316 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Management fee (Note 5) | — | 5,588,929 | 6,262,218 | — | ||||||||||||
Shareholder service fee – Class III (Note 5) | — | 19,072 | — | — | ||||||||||||
Shareholder service fee – Class VI (Note 5) | — | 354,643 | 313,111 | — | ||||||||||||
Audit and tax fees | 7,544 | 44,896 | 62,928 | 29,440 | ||||||||||||
Custodian, fund accounting agent and transfer agent fees | 27,048 | 128,616 | 180,320 | 24,380 | ||||||||||||
Legal fees | 19,504 | 43,792 | 118,036 | 33,120 | ||||||||||||
Registration fees | 2,760 | — | 276 | 1,104 | ||||||||||||
Trustees’ fees and related expenses (Note 5) | 9,160 | 9,938 | 8,489 | 16,056 | ||||||||||||
Miscellaneous | 5,152 | 18,216 | 16,744 | 6,716 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 71,168 | 6,208,102 | 6,962,122 | 110,816 | ||||||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (61,088 | ) | (222,824 | ) | — | (93,104 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 10,080 | 5,985,278 | 6,962,122 | 17,712 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 3,995,664 | (3,501,011 | ) | 11,027,236 | 11,998,604 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments in unaffiliated issuers | — | 45,955 | (8,527,408 | ) | 8,825,445 | |||||||||||
Investments in affiliated issuers | (20,023,367 | ) | 49,980 | 505,519 | (47,867,355 | ) | ||||||||||
Realized gain distributions from affiliated issuers (Note 10) | — | 26,758 | — | 5,256,716 | ||||||||||||
Futures contracts | — | 10,040,570 | — | — | ||||||||||||
Written options | — | — | 419,205 | — | ||||||||||||
Swap contracts | — | — | 135,530 | — | ||||||||||||
Foreign currency, forward contracts and foreign currency related transactions | — | 48,326,183 | (3,300,267 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (20,023,367 | ) | 58,489,446 | (10,767,421 | ) | (33,785,194 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in unaffiliated issuers | — | 55,188 | 112,139,215 | (1,506,182 | ) | |||||||||||
Investments in affiliated issuers | 180,398,301 | 326,092 | (17,953 | ) | 240,260,409 | |||||||||||
Futures contracts | — | 35,500,394 | (1,475,238 | ) | — | |||||||||||
Written options | — | — | 2,462,375 | — | ||||||||||||
Swap contracts | — | — | (899,007 | ) | — | |||||||||||
Foreign currency, forward contracts and foreign currency related transactions | — | (5,975,114 | ) | 855,765 | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) | 180,398,301 | 29,906,560 | 113,065,157 | 238,754,227 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | 160,374,934 | 88,396,006 | 102,297,736 | 204,969,033 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | 164,370,598 | $ | 84,894,995 | $ | 113,324,972 | $ | 216,967,637 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Withholding tax: | $ | — | $ | — | $ | 262,053 | $ | — |
See accompanying notes to the financial statements. | 79 |
GMO Trust Funds
Statements of Changes in Net Assets
Alpha Only Fund | Benchmark-Free Allocation Fund | |||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016* | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 2,922,990 | $ | 29,576,303 | $ | (25,444,122 | ) | $ | 154,045,787 | |||||||
Net realized gain (loss) | (22,778,806 | ) | 2,134,877 | 68,289,591 | (56,381,264 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 19,118,884 | (70,370,476 | ) | 1,210,348,124 | (1,488,947,168 | ) | ||||||||||
Accumulated deconsolidation impact (Note 2) | — | — | — | (1,054,490,449 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | (736,932 | ) | (38,659,296 | ) | 1,253,193,593 | (2,445,773,094 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class III | (110,579 | ) | (615,633 | ) | (891,816 | ) | (85,487,336 | ) | ||||||||
Class IV | (3,819,031 | ) | (61,976,715 | ) | (929,691 | ) | (48,744,018 | ) | ||||||||
Class MF | — | — | (3,213,650 | ) | (157,879,410 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (3,929,610 | ) | (62,592,348 | ) | (5,035,157 | ) | (292,110,764 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains | ||||||||||||||||
Class III | — | — | — | (44,107,021 | ) | |||||||||||
Class IV | — | — | — | (24,797,845 | ) | |||||||||||
Class MF | — | — | — | (79,692,381 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | — | — | — | (148,597,247 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | 116,332 | (18,040,112 | ) | (941,021,886 | ) | 724,704,303 | ||||||||||
Class IV | (20,006,710 | ) | (2,946,773,242 | ) | (48,725,658 | ) | (396,090,776 | ) | ||||||||
Class MF | — | — | (1,589,564,016 | ) | (2,706,440,865 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (19,890,378 | ) | (2,964,813,354 | ) | (2,579,311,560 | ) | (2,377,827,338 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class III | — | — | 1,972,596 | 3,249,006 | ||||||||||||
Class IV | — | — | 940,514 | 1,652,987 | ||||||||||||
Class MF | — | — | 2,707,556 | 5,469,002 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | — | — | 5,620,666 | 10,370,995 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (19,890,378 | ) | (2,964,813,354 | ) | (2,573,690,894 | ) | (2,367,456,343 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (24,556,920 | ) | (3,066,064,998 | ) | (1,325,532,458 | ) | (5,253,937,448 | ) | ||||||||
Net assets: | ||||||||||||||||
Beginning of period | 294,017,628 | 3,360,082,626 | 16,405,843,291 | 21,659,780,739 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 269,460,708 | $ | 294,017,628 | $ | 15,080,310,833 | $ | 16,405,843,291 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income | $ | 2,447,187 | $ | 3,453,807 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions in excess of net investment income | $ | — | $ | — | $ | (46,775,648 | ) | $ | (16,296,369 | ) | ||||||
|
|
|
|
|
|
|
|
* | Amounts are consolidated through July 31, 2015 (Note 2 – Basis of presentation and principles of consolidation). |
80 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Benchmark-Free Fund | Global Asset Allocation Fund | |||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 47,195,581 | $ | 144,244,953 | $ | 13,132,568 | $ | 132,943,879 | ||||||||
Net realized gain (loss) | 32,170,503 | (598,780,463 | ) | (137,435,921 | ) | (26,556,395 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 362,741,387 | (88,185,945 | ) | 394,490,941 | (564,399,527 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 442,107,471 | (542,721,455 | ) | 270,187,588 | (458,012,043 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class III | (25,699,579 | ) | (147,265,835 | ) | (10,218,888 | ) | (137,881,813 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (25,699,579 | ) | (147,265,835 | ) | (10,218,888 | ) | (137,881,813 | )�� | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains | ||||||||||||||||
Class III | — | (143,010,501 | ) | — | (193,655,005 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | — | (143,010,501 | ) | — | (193,655,005 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | (123,659,306 | ) | 84,996,794 | (839,790,772 | ) | (763,046,770 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (123,659,306 | ) | 84,996,794 | (839,790,772 | ) | (763,046,770 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class III | 280,766 | 757,147 | 1,243,947 | 1,464,987 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | 280,766 | 757,147 | 1,243,947 | 1,464,987 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (123,378,540 | ) | 85,753,941 | (838,546,825 | ) | (761,581,783 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 293,029,352 | (747,243,850 | ) | (578,578,125 | ) | (1,551,130,644 | ) | |||||||||
Net assets: | ||||||||||||||||
Beginning of period | 4,305,118,379 | 5,052,362,229 | 3,317,791,753 | 4,868,922,397 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 4,598,147,731 | $ | 4,305,118,379 | $ | 2,739,213,628 | $ | 3,317,791,753 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income | $ | 31,830,253 | $ | 10,334,251 | $ | 5,982,530 | $ | 3,068,850 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 81 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Global Developed Equity Allocation Fund | Global Equity Allocation Fund | |||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 8,030,407 | $ | 40,484,945 | $ | 17,986,378 | $ | 86,029,002 | ||||||||
Net realized gain (loss) | (52,954,196 | ) | 82,146,162 | (175,367,317 | ) | 66,387,365 | ||||||||||
Change in net unrealized appreciation (depreciation) | 205,762,377 | (373,116,972 | ) | 541,664,919 | (712,669,060 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 160,838,588 | (250,485,865 | ) | 384,283,980 | (560,252,693 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class III | (3,218,161 | ) | (40,963,522 | ) | (7,337,936 | ) | (87,088,321 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (3,218,161 | ) | (40,963,522 | ) | (7,337,936 | ) | (87,088,321 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains | ||||||||||||||||
Class III | (39,709,256 | ) | (137,293,847 | ) | (55,809,080 | ) | (278,611,210 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | (39,709,256 | ) | (137,293,847 | ) | (55,809,080 | ) | (278,611,210 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | (401,420,142 | ) | 90,912,790 | (341,557,098 | ) | 4,118,970 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (401,420,142 | ) | 90,912,790 | (341,557,098 | ) | 4,118,970 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class III | 358,018 | 151,021 | 772,456 | 744,974 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | 358,018 | 151,021 | 772,456 | 744,974 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (401,062,124 | ) | 91,063,811 | (340,784,642 | ) | 4,863,944 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (283,150,953 | ) | (337,679,423 | ) | (19,647,678 | ) | (921,088,280 | ) | ||||||||
Net assets: | ||||||||||||||||
Beginning of period | 1,432,776,006 | 1,770,455,429 | 2,879,167,512 | 3,800,255,792 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,149,625,053 | $ | 1,432,776,006 | $ | 2,859,519,834 | $ | 2,879,167,512 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income | $ | 5,772,285 | $ | 960,039 | $ | 13,148,280 | $ | 2,499,838 | ||||||||
|
|
|
|
|
|
|
|
82 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Consolidated Implementation Fund | International Developed Equity Allocation Fund | |||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 177,777,230 | $ | 259,945,732 | $ | 4,206,943 | $ | 34,048,299 | ||||||||
Net realized gain (loss) | (57,202,853 | ) | (1,363,176,491 | ) | 3,702,966 | 2,634,243 | ||||||||||
Change in net unrealized appreciation (depreciation) | 936,772,076 | (1,181,832,408 | ) | 98,008,926 | (276,145,346 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 1,057,346,453 | (2,285,063,167 | ) | 105,918,835 | (239,462,804 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class III | — | — | (2,100,973 | ) | (34,075,093 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | — | — | (2,100,973 | ) | (34,075,093 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Core Class | (2,097,449,117 | ) | 13,998,781 | — | — | |||||||||||
Class III | — | — | (100,273,500 | ) | 35,666,797 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (2,097,449,117 | ) | 13,998,781 | (100,273,500 | ) | 35,666,797 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Core Class | 4,687,549 | 10,401,407 | — | — | ||||||||||||
Class III | — | — | 167,196 | 200,552 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | 4,687,549 | 10,401,407 | 167,196 | 200,552 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (2,092,761,568 | ) | 24,400,188 | (100,106,304 | ) | 35,867,349 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (1,035,415,115 | ) | (2,260,662,979 | ) | 3,711,558 | (237,670,548 | ) | |||||||||
Net assets: | ||||||||||||||||
Beginning of period | 13,655,203,347 | 15,915,866,326 | 942,822,937 | 1,180,493,485 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 12,619,788,232 | $ | 13,655,203,347 | $ | 946,534,495 | $ | 942,822,937 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income | $ | 149,267,249 | $ | — | $ | 2,286,528 | $ | 180,558 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions in excess of net investment income | $ | — | $ | (28,509,981 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 83 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
International Equity Allocation Fund | Consolidated SGM Major Markets Fund | |||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 3,995,664 | $ | 41,758,274 | $ | (3,501,011 | ) | $ | (10,628,660 | ) | ||||||
Net realized gain (loss) | (20,023,367 | ) | (8,872,666 | ) | 58,489,446 | (6,534,870 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 180,398,301 | (351,588,187 | ) | 29,906,560 | (7,724,502 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 164,370,598 | (318,702,579 | ) | 84,894,995 | (24,888,032 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class III | (3,101,494 | ) | (41,811,574 | ) | (220,335 | ) | — | |||||||||
Class VI | — | — | (11,884,761 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (3,101,494 | ) | (41,811,574 | ) | (12,105,096 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains | ||||||||||||||||
Class III | — | (58,512,714 | ) | (8,085 | ) | — | ||||||||||
Class VI | — | — | (405,683 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | — | (58,512,714 | ) | (413,768 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | (110,124,864 | ) | (41,855,340 | ) | 23,534,727 | (1,442,809,396 | ) | |||||||||
Class VI | — | — | (141,894,401 | ) | 1,289,299,894 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (110,124,864 | ) | (41,855,340 | ) | (118,359,674 | ) | (153,509,502 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class III | 434,891 | 642,512 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | 434,891 | 642,512 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (109,689,973 | ) | (41,212,828 | ) | (118,359,674 | ) | (153,509,502 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 51,579,131 | (460,239,695 | ) | (45,983,543 | ) | (178,397,534 | ) | |||||||||
Net assets: | ||||||||||||||||
Beginning of period | 1,134,799,601 | 1,595,039,296 | 1,321,045,081 | 1,499,442,615 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,186,378,732 | $ | 1,134,799,601 | $ | 1,275,061,538 | $ | 1,321,045,081 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income | $ | 1,625,524 | $ | 731,354 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions in excess of net investment income | $ | — | $ | — | $ | (19,702,418 | ) | $ | (4,096,311 | ) | ||||||
|
|
|
|
|
|
|
|
84 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Consolidated Special Opportunities Fund | Strategic Opportunities Allocation Fund | |||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 11,027,236 | $ | 6,735,991 | $ | 11,998,604 | $ | 85,266,872 | ||||||||
Net realized gain (loss) | (10,767,421 | ) | 40,207,442 | (33,785,194 | ) | 1,485,381 | ||||||||||
Change in net unrealized appreciation (depreciation) | 113,065,157 | (72,176,731 | ) | 238,754,227 | (394,050,705 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 113,324,972 | (25,233,298 | ) | 216,967,637 | (307,298,452 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class III | — | — | (5,760,245 | ) | (86,263,190 | ) | ||||||||||
Class VI | (3,688,182 | ) | (8,063,110 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (3,688,182 | ) | (8,063,110 | ) | (5,760,245 | ) | (86,263,190 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains | ||||||||||||||||
Class III | — | — | (1,162,716 | ) | (106,172,024 | ) | ||||||||||
Class VI | (20,678,991 | ) | (9,220,808 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | (20,678,991 | ) | (9,220,808 | ) | (1,162,716 | ) | (106,172,024 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | — | — | (132,617,413 | ) | 17,977,573 | |||||||||||
Class VI | (140,960,890 | ) | 334,243,331 | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (140,960,890 | ) | 334,243,331 | (132,617,413 | ) | 17,977,573 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class III | — | — | 250,797 | 478,138 | ||||||||||||
Class VI | 826,641 | 3,145,391 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | 826,641 | 3,145,391 | 250,797 | 478,138 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (140,134,249 | ) | 337,388,722 | (132,366,616 | ) | 18,455,711 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (51,176,450 | ) | 294,871,506 | 77,678,060 | (481,277,955 | ) | ||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 1,138,735,453 | 843,863,947 | 1,967,915,588 | 2,449,193,543 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,087,559,003 | $ | 1,138,735,453 | $ | 2,045,593,648 | $ | 1,967,915,588 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income | $ | 9,244,629 | $ | 1,905,575 | $ | 7,477,007 | $ | 1,238,648 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 85 |
GMO Trust Funds
(For a share outstanding throughout each period)
ALPHA ONLY FUND
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.04 | $ | 22.93 | $ | 23.98 | $ | 24.22 | $ | 24.13 | $ | 23.49 | $ | 22.05 | $ | 22.95 | $ | 23.99 | $ | 24.24 | $ | 24.14 | $ | 23.50 | ||||||||||||||||||||||||||||||||||||
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|
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|
|
| |||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)† | 0.22 | 0.37 | 0.34 | 0.53 | (a) | 0.51 | (a) | 0.46 | (a) | 0.23 | 0.39 | 0.35 | 0.58 | (a) | 0.60 | (a) | 0.47 | (a) | ||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.27 | ) | (0.40 | ) | (0.96 | ) | (0.76 | ) | (0.35 | ) | 0.52 | (0.28 | ) | (0.41 | ) | (0.95 | ) | (0.80 | ) | (0.42 | ) | 0.52 | ||||||||||||||||||||||||||||||||||||||
|
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|
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|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total from investment operations | (0.05 | ) | (0.03 | ) | (0.62 | ) | (0.23 | ) | 0.16 | 0.98 | (0.05 | ) | (0.02 | ) | (0.60 | ) | (0.22 | ) | 0.18 | 0.99 | ||||||||||||||||||||||||||||||||||||||||
|
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|
| |||||||||||||||||||||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.32 | ) | (0.86 | ) | (0.43 | ) | (0.01 | ) | (0.07 | ) | (0.34 | ) | (0.32 | ) | (0.88 | ) | (0.44 | ) | (0.03 | ) | (0.08 | ) | (0.35 | ) | ||||||||||||||||||||||||||||||||||||
|
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|
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|
|
| |||||||||||||||||||||||||||||||||||||
Total distributions | (0.32 | ) | (0.86 | ) | (0.43 | ) | (0.01 | ) | (0.07 | ) | (0.34 | ) | (0.32 | ) | (0.88 | ) | (0.44 | ) | (0.03 | ) | (0.08 | ) | (0.35 | ) | ||||||||||||||||||||||||||||||||||||
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|
|
| |||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 21.67 | $ | 22.04 | $ | 22.93 | $ | 23.98 | $ | 24.22 | $ | 24.13 | $ | 21.68 | $ | 22.05 | $ | 22.95 | $ | 23.99 | $ | 24.24 | $ | 24.14 | ||||||||||||||||||||||||||||||||||||
|
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| |||||||||||||||||||||||||||||||||||||
Total Return(b) | (0.24 | )%** | (0.06 | )% | (2.60 | )% | (0.94 | )% | 0.67 | % | 4.13 | % | (0.22 | )%** | (0.03 | )% | (2.51 | )% | (0.93 | )% | 0.73 | % | 4.19 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 7,698 | $ | 7,712 | $ | 26,695 | $ | 35,392 | $ | 51,886 | $ | 37,752 | $ | 261,763 | $ | 286,305 | $ | 3,333,388 | $ | 3,523,518 | $ | 3,389,131 | $ | 2,086,001 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets | 0.67 | %*(c) | 0.66 | %(c) | 0.65 | % | 0.30 | %(c)(d) | 0.23 | %(c)(d) | 0.24 | %(c)(d) | 0.62 | %*(c) | 0.60 | %(c) | 0.60 | % | 0.26 | %(c)(d) | 0.18 | %(c)(d) | 0.19 | %(c)(d) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 2.02 | %* | 1.66 | % | 1.44 | % | 2.19 | %(a) | 2.10 | %(a) | 1.89 | %(a) | 2.04 | %* | 1.76 | % | 1.46 | % | 2.42 | %(a) | 2.47 | %(a) | 1.91 | %(a) | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 10 | %**(e) | 85 | %(f) | 123 | % | 66 | % | 104 | % | 125 | % | 10 | %**(e) | 85 | %(f) | 123 | % | 66 | % | 104 | % | 125 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.17 | %* | 0.06 | % | 0.04 | % | 0.37 | %(g) | 0.44 | %(g) | 0.44 | %(g) | 0.17 | %* | 0.05 | % | 0.04 | % | 0.36 | %(g) | 0.44 | %(g) | 0.43 | %(g) |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(e) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 45% of the average value of its portfolio. |
(f) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 31% of the average value of its portfolio. |
(g) | Ratios include indirect fees waived or borne by the Fund |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
86 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
BENCHMARK-FREE ALLOCATION FUND
Class III Shares | Class IV Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2016(a) | 2015(b) | 2014(b) | 2013(b) | 2012(b) | 2016(a) | 2015(b) | 2014(b) | 2013(b)(c) | |||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.46 | $ | 27.04 | $ | 27.07 | $ | 25.77 | $ | 24.03 | $ | 22.72 | $ | 23.46 | $ | 27.03 | $ | 27.06 | $ | 25.75 | $ | 24.91 | |||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(d)† | (0.04 | ) | 0.19 | 0.38 | 0.48 | 0.30 | 0.21 | (0.04 | ) | 0.20 | 0.36 | 0.46 | 0.03 | ||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.92 | (3.26 | ) | 0.86 | 1.57 | 1.62 | 1.44 | (e) | 1.93 | (3.26 | ) | 0.89 | 1.61 | 0.96 | |||||||||||||||||||||||||||||||||||||||||
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| ||||||||||||||||||||||||||||||||||
Total from investment operations | 1.88 | (3.07 | ) | 1.24 | 2.05 | 1.92 | 1.65 | 1.89 | (3.06 | ) | 1.25 | 2.07 | 0.99 | ||||||||||||||||||||||||||||||||||||||||||
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| ||||||||||||||||||||||||||||||||||
Less distributions to shareholders: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.00 | )(f) | (0.34 | ) | (0.52 | ) | (0.39 | ) | (0.18 | ) | (0.34 | ) | (0.01 | ) | (0.34 | ) | (0.53 | ) | (0.40 | ) | (0.15 | ) | |||||||||||||||||||||||||||||||||
From net realized gains | — | (0.17 | ) | (0.75 | ) | (0.36 | ) | — | — | — | (0.17 | ) | (0.75 | ) | (0.36 | ) | — | ||||||||||||||||||||||||||||||||||||||
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| ||||||||||||||||||||||||||||||||||
Total distributions | (0.00 | ) | (0.51 | ) | (1.27 | ) | (0.75 | ) | (0.18 | ) | (0.34 | ) | (0.01 | ) | (0.51 | ) | (1.28 | ) | (0.76 | ) | (0.15 | ) | |||||||||||||||||||||||||||||||||
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| ||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 25.34 | $ | 23.46 | $ | 27.04 | $ | 27.07 | $ | 25.77 | $ | 24.03 | $ | 25.34 | $ | 23.46 | $ | 27.03 | $ | 27.06 | $ | 25.75 | |||||||||||||||||||||||||||||||||
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| ||||||||||||||||||||||||||||||||||
Total Return(g) | 8.03 | %** | (11.51 | )% | 4.71 | % | 8.03 | % | 8.03 | % | 7.36 | % | 8.05 | %** | (11.46 | )% | 4.75 | % | 8.12 | % | 3.99 | %** | |||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 5,374,585 | $ | 5,872,663 | $ | 6,040,891 | $ | 3,109,509 | $ | 970,749 | $ | 114,452 | $ | 2,662,768 | $ | 2,508,115 | $ | 3,363,711 | $ | 2,511,906 | $ | 705,982 | |||||||||||||||||||||||||||||||||
Net operating expenses to average daily net assets(h) | 0.66 | %* | 0.66 | % | 0.64 | % | 0.59 | %(i) | 0.54 | %(i) | 0.01 | %(i)(j) | 0.61 | %* | 0.61 | % | 0.59 | % | 0.54 | %(i) | 0.48 | %*(i) | |||||||||||||||||||||||||||||||||
Interest and/or dividend expenses to average daily net assets(l) | 0.00 | %* | 0.02 | % | 0.05 | % | — | — | — | 0.00 | %* | 0.02 | % | 0.05 | % | — | — | ||||||||||||||||||||||||||||||||||||||
Total net expenses to average daily net assets(h) | 0.66 | %* | 0.68 | % | 0.69 | % | 0.59 | % | 0.54 | % | 0.01 | % | 0.61 | %* | 0.63 | % | 0.64 | % | 0.54 | % | 0.48 | % | |||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(d) | (0.36 | )%* | 0.73 | % | 1.41 | % | 1.79 | % | 1.23 | % | 0.93 | % | (0.28 | )%* | 0.80 | % | 1.32 | % | 1.73 | % | 0.60 | %* | |||||||||||||||||||||||||||||||||
Portfolio turnover rate | 2 | %** | 53 | %(k) | 84 | % | 52 | % | 42 | % | 33 | % | 2 | %** | 53 | %(k) | 84 | % | 52 | % | 42 | %** | |||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(n) | 0.14 | %* | 0.16 | % | 0.20 | % | 0.27 | % | 0.41 | % | 0.05 | % | 0.14 | %* | 0.16 | % | 0.20 | % | 0.27 | % | 0.40 | %* | |||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.01 | $ | 0.01 | $ | 0.01 | $ | 0.03 | $ | 0.07 | $ | 0.00 | (m) | $ | 0.01 | $ | 0.01 | $ | 0.01 | $ | 0.03 | $ | 0.01 |
(a) | The amounts shown, where applicable, are consolidated through the period ended July 31, 2015 (Note 2 – Basis of presentation and principles of consolidation). |
(b) | Consolidated financial highlights (Note 2 – Basis of presentation and principles of consolidation). |
(c) | Period from December 11, 2012 (commencement of operations) through February 28, 2013. |
(d) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(e) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. |
(f) | Distributions from net investment income were less than $0.01 per share. |
(g) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(h) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(i) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(j) | Effective January 1, 2012, the Fund pays GMO a management fee of 0.65% of the Fund’s average daily net assets (Note 5). |
(k) | Had the Fund not been consolidated for the year ended February 29, 2016, the portfolio turnover would have been 23%. |
(l) | Interest and dividend expense incurred as a result of entering into reverse repurchase agreements, securities sold short and/or cleared swap contracts, if any, is included in the Fund’s net expenses. |
(m) | Purchase premiums and redemption fees were less than $0.01 per share. |
(n) | Ratios include indirect fees waived or borne by GMO. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 87 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
BENCHMARK-FREE ALLOCATION FUND (continued)
Class MF Shares | |||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | ||||||||||||||||||||||||
2016(b) | 2015(c) | 2014(c) | 2013(a)(c) | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.47 | $ | 27.04 | $ | 27.07 | $ | 25.76 | $ | 24.10 | |||||||||||||||
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| ||||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)(d) | (0.04 | ) | 0.19 | 0.37 | 0.49 | 0.33 | |||||||||||||||||||
Net realized and unrealized gain (loss) | 1.94 | (3.24 | ) | 0.88 | 1.58 | 1.52 | |||||||||||||||||||
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| ||||||||||||||||
Total from investment operations | 1.90 | (3.05 | ) | 1.25 | 2.07 | 1.85 | |||||||||||||||||||
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| ||||||||||||||||
Less distributions to shareholders: | |||||||||||||||||||||||||
From net investment income | (0.01 | ) | (0.35 | ) | (0.53 | ) | (0.40 | ) | (0.19 | ) | |||||||||||||||
From net realized gains | — | (0.17 | ) | (0.75 | ) | (0.36 | ) | — | |||||||||||||||||
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| ||||||||||||||||
Total distributions | (0.01 | ) | (0.52 | ) | (1.28 | ) | (0.76 | ) | (0.19 | ) | |||||||||||||||
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| ||||||||||||||||
Net asset value, end of period | $ | 25.36 | $ | 23.47 | $ | 27.04 | $ | 27.07 | $ | 25.76 | |||||||||||||||
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| ||||||||||||||||
Total Return(e) | 8.10 | %** | (11.45 | )% | 4.78 | % | 8.11 | % | 7.71 | % | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 7,042,958 | $ | 8,025,066 | $ | 12,255,179 | $ | 9,103,523 | $ | 2,947,886 | |||||||||||||||
Net operating expenses to average daily net assets(f) | 0.60 | %*(h) | 0.58 | %(h) | 0.55 | %(h) | 0.53 | %(g) | 0.49 | %(g) | |||||||||||||||
Interest and/or dividend expenses to average daily net assets(i) | 0.00 | %* | 0.02 | % | 0.05 | % | — | — | |||||||||||||||||
Total net expenses to average daily net assets(f) | 0.60 | %*(h) | 0.60 | %(h) | 0.60 | %(h) | 0.53 | % | 0.49 | % | |||||||||||||||
Net investment income (loss) to average daily net assets(d) | (0.29 | )%* | 0.77 | % | 1.37 | % | 1.83 | % | 1.34 | % | |||||||||||||||
Portfolio turnover rate | 2 | %** | 53 | %(j) | 84 | % | 52 | % | 42 | % | |||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(k) | 0.16 | %* | 0.19 | % | 0.23 | % | 0.27 | % | 0.41 | % | |||||||||||||||
Redemption fees consisted of the following per share amounts:† | $ | 0.01 | $ | 0.01 | $ | 0.01 | $ | 0.03 | $ | 0.06 |
(a) | Period from March 1, 2012 (commencement of operations) through February 28, 2013. |
(b) | The amounts shown, where applicable, are consolidated through the period ended July 31, 2015 (Note 2 – Basis of presentation and principles of consolidation). |
(c) | Consolidated financial highlights (Note 2 – Basis of presentation and principles of consolidation). |
(d) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(e) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(f) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(g) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(h) | Class MF net expenses include a supplemental support fee reduction (Note 5). |
(i) | Interest and dividend expense incurred as a result of entering into reverse repurchase agreements, securities sold short and/or cleared swap contracts, if any, is included in the Fund’s net expenses. |
(j) | Had the Fund not been consolidated for the year ended February 29, 2016, the portfolio turnover would have been 23%. |
(k) | Ratios include indirect fees waived or borne by GMO. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
88 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
BENCHMARK-FREE FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | Period from June 15, 2011 (commencement of operations) through February 28, 2012 | ||||||||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | |||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.00 | $ | 20.30 | $ | 22.09 | $ | 21.33 | $ | 20.76 | $ | 20.00 | ||||||||||||||||||
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| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.19 | 0.58 | 0.61 | 0.59 | 0.52 | 0.41 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.57 | (2.70 | ) | 0.61 | 1.45 | 1.34 | 0.83 | |||||||||||||||||||||||
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| |||||||||||||||||||
Total from investment operations | 1.76 | (2.12 | ) | 1.22 | 2.04 | 1.86 | 1.24 | |||||||||||||||||||||||
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| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.10 | ) | (0.60 | ) | (0.79 | ) | (0.74 | ) | (0.68 | ) | (0.40 | ) | ||||||||||||||||||
From net realized gains | — | (0.58 | ) | (2.22 | ) | (0.54 | ) | (0.61 | ) | (0.08 | ) | |||||||||||||||||||
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| |||||||||||||||||||
Total distributions | (0.10 | ) | (1.18 | ) | (3.01 | ) | (1.28 | ) | (1.29 | ) | (0.48 | ) | ||||||||||||||||||
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| |||||||||||||||||||
Net asset value, end of period | $ | 18.66 | $ | 17.00 | $ | 20.30 | $ | 22.09 | $ | 21.33 | $ | 20.76 | ||||||||||||||||||
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| |||||||||||||||||||
Total Return(b) | 10.39 | %** | (10.82 | )% | 5.76 | % | 9.66 | % | 9.25 | % | 6.35 | %** | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 4,598,148 | $ | 4,305,118 | $ | 5,052,362 | $ | 4,367,658 | $ | 3,941,582 | $ | 3,515,321 | ||||||||||||||||||
Net expenses to average daily net assets(c) | 0.01 | %* | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d)(e) | 0.00 | %(d)(e) | 0.00 | %*(d)(e) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 2.08 | %* | 3.09 | % | 2.90 | % | 2.67 | % | 2.51 | % | 2.91 | %* | ||||||||||||||||||
Portfolio turnover rate | 44 | %(f)** | 101 | %(g) | 60 | % | 51 | % | 31 | % | 23 | %** | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04 | %* | 0.01 | % | 0.00 | %(h) | 0.00 | %(h) | 0.01 | % | 0.02 | %* | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†(i) | $ | 0.00 | $ | 0.00 | $ | 0.00 | $ | 0.00 | $ | 0.00 | $ | 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, if any. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | Net expenses to average daily net assets were less than 0.01%. |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 50% of the average value of its portfolio. |
(g) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 67% of the average value of its portfolio. |
(h) | Fees and expenses reimbursed by GMO were less than 0.01%. |
(i) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 89 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
GLOBAL ASSET ALLOCATION FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited)(a) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2013(a) | 2012(a) | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 27.60 | $ | 33.81 | $ | 35.40 | $ | 32.70 | $ | 31.20 | $ | 30.66 | ||||||||||||||||||
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| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.12 | 1.02 | 0.96 | 0.81 | 0.87 | 0.72 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 2.37 | (4.53 | ) | 0.60 | 2.73 | 1.50 | 0.63 | |||||||||||||||||||||||
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| |||||||||||||||||||
Total from investment operations | 2.49 | (3.51 | ) | 1.56 | 3.54 | 2.37 | 1.35 | |||||||||||||||||||||||
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| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.11 | ) | (1.14 | ) | (1.29 | ) | (0.84 | ) | (0.87 | ) | (0.81 | ) | ||||||||||||||||||
From net realized gains | — | (1.56 | ) | (1.86 | ) | — | — | — | ||||||||||||||||||||||
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| |||||||||||||||||||
Total distributions | (0.11 | ) | (2.70 | ) | (3.15 | ) | (0.84 | ) | (0.87 | ) | (0.81 | ) | ||||||||||||||||||
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|
| |||||||||||||||||||
Net asset value, end of period | $ | 29.98 | $ | 27.60 | $ | 33.81 | $ | 35.40 | $ | 32.70 | $ | 31.20 | ||||||||||||||||||
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| |||||||||||||||||||
Total Return(c) | 9.03 | %** | (10.98 | )% | 4.55 | % | 10.88 | % | 7.65 | % | 4.51 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 2,739,214 | $ | 3,317,792 | $ | 4,868,922 | $ | 5,362,913 | $ | 4,764,133 | $ | 3,612,740 | ||||||||||||||||||
Net expenses to average daily net assets(d)(e) | 0.00 | %* | 0.00 | % | 0.00 | % | 0.00 | %(f) | 0.00 | %(f) | 0.00 | %(f) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 0.84 | %* | 3.33 | % | 2.75 | % | 2.33 | % | 2.70 | % | 2.37 | % | ||||||||||||||||||
Portfolio turnover rate | 9 | %**(g) | 20 | %(h) | 38 | % | 46 | % | 29 | % | 40 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.01 | %* | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.01 | (a) | $ | 0.01 | (a) | $ | 0.01 | (a) | $ | 0.01 | (a) | $ | 0.01 | (a) | $ | 0.01 | (a) |
(a) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | Net expenses to average daily net assets were less than 0.01%. |
(f) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(g) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 9% of the average value of its portfolio. |
(h) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 14% of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
90 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
GLOBAL DEVELOPED EQUITY ALLOCATION FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.40 | $ | 22.84 | $ | 25.00 | $ | 21.13 | $ | 19.49 | $ | 19.32 | ||||||||||||||||||
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|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.11 | 0.51 | 0.80 | 0.61 | 0.57 | 0.40 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.97 | (3.64 | ) | 0.02 | (b) | 3.96 | 1.73 | 0.18 | ||||||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 2.08 | (3.13 | ) | 0.82 | 4.57 | 2.30 | 0.58 | |||||||||||||||||||||||
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|
|
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|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.05 | ) | (0.52 | ) | (0.82 | ) | (0.70 | ) | (0.66 | ) | (0.41 | ) | ||||||||||||||||||
From net realized gains | (0.64 | ) | (1.79 | ) | (2.16 | ) | — | — | — | |||||||||||||||||||||
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|
|
|
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|
|
|
|
| |||||||||||||||||||
Total distributions | (0.69 | ) | (2.31 | ) | (2.98 | ) | (0.70 | ) | (0.66 | ) | (0.41 | ) | ||||||||||||||||||
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|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 18.79 | $ | 17.40 | $ | 22.84 | $ | 25.00 | $ | 21.13 | $ | 19.49 | ||||||||||||||||||
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|
|
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| |||||||||||||||||||
Total Return(c) | 12.05 | %** | (14.81 | )% | 3.32 | % | 21.68 | % | 11.95 | % | 3.14 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 1,149,625 | $ | 1,432,776 | $ | 1,770,455 | $ | 1,591,060 | $ | 1,531,772 | $ | 1,235,143 | ||||||||||||||||||
Net expenses to average daily net assets(d)(e) | 0.00 | %* | 0.00 | % | 0.00 | % | 0.00 | %(f) | 0.00 | %(f) | 0.00 | %(f) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.17 | %* | 2.49 | % | 3.34 | % | 2.62 | % | 2.86 | % | 2.11 | % | ||||||||||||||||||
Portfolio turnover rate | 21 | %** | 14 | % | 16 | % | 36 | % | 31 | % | 27 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.01 | %* | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.01 | $ | 0.00 | (g) | $ | 0.00 | (g) | — | — | — |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | Net expenses to average daily net assets were less than 0.01%. |
(f) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(g) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 91 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
GLOBAL EQUITY ALLOCATION FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited)(a) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2013(a) | 2012(a) | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.71 | $ | 26.22 | $ | 28.29 | $ | 25.80 | $ | 25.47 | $ | 25.80 | ||||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.13 | 0.60 | 0.96 | 0.84 | 0.75 | 0.57 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 2.61 | (4.47 | ) | (0.03 | )(c) | 3.63 | 1.71 | 0.00 | (c) | |||||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 2.74 | (3.87 | ) | 0.93 | 4.47 | 2.46 | 0.57 | |||||||||||||||||||||||
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|
|
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| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.05 | ) | (0.60 | ) | (0.90 | ) | (0.87 | ) | (0.78 | ) | (0.60 | ) | ||||||||||||||||||
From net realized gains | (0.41 | ) | (2.04 | ) | (2.10 | ) | (1.11 | ) | (1.35 | ) | (0.30 | ) | ||||||||||||||||||
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.46 | ) | (2.64 | ) | (3.00 | ) | (1.98 | ) | (2.13 | ) | (0.90 | ) | ||||||||||||||||||
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|
|
|
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|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 21.99 | $ | 19.71 | $ | 26.22 | $ | 28.29 | $ | 25.80 | $ | 25.47 | ||||||||||||||||||
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(d) | 13.98 | %** | (15.96 | )% | 3.37 | % | 17.60 | % | 10.01 | % | 2.47 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 2,859,520 | $ | 2,879,168 | $ | 3,800,256 | $ | 2,948,319 | $ | 2,220,674 | $ | 1,636,875 | ||||||||||||||||||
Net expenses to average daily net assets(f)(g) | 0.00 | %* | 0.00 | % | 0.00 | % | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 1.21 | %* | 2.58 | % | 3.54 | % | 3.02 | % | 2.90 | % | 2.27 | % | ||||||||||||||||||
Portfolio turnover rate | 20 | %** | 15 | % | 21 | % | 51 | % | 24 | % | 28 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.01 | %* | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.01 | (a)* | $ | 0.01 | (a) | $ | 0.01 | (a) | $ | 0.01 | (a) | $ | 0.01 | (a) | $ | 0.01 | (a) |
(a) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(c) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. |
(d) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(g) | Net expenses to average daily net assets were less than 0.01%. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
92 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
CONSOLIDATED IMPLEMENTATION FUND
Core Shares | |||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | Period from March 1, 2012 (commencement of operations) through February 28, 2013 | |||||||||||||||||||||||
2016 | 2015 | 2014 | |||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.80 | $ | 13.59 | $ | 12.71 | $ | 11.30 | $ | 10.00 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)† | 0.16 | 0.21 | 0.25 | 0.32 | 0.24 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.80 | (2.00 | ) | 0.63 | 1.09 | 1.06 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 0.96 | (1.79 | ) | 0.88 | 1.41 | 1.30 | |||||||||||||||||||
|
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|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of period | $ | 12.76 | $ | 11.80 | $ | 13.59 | $ | 12.71 | $ | 11.30 | |||||||||||||||
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|
|
|
|
|
|
|
| ||||||||||||||||
Total Return(a) | 8.14 | %** | (13.17 | )% | 6.92 | % | 12.48 | % | 13.00 | % | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 12,619,788 | $ | 13,655,203 | $ | 15,915,866 | $ | 10,160,905 | $ | 2,471,328 | |||||||||||||||
Net operating expenses to average daily net assets(b) | 0.00 | %* | 0.00 | % | 0.00 | % | 0.00 | %(c) | 0.00 | % | |||||||||||||||
Interest and/or dividend expenses to average daily net assets(d) | 0.06 | %* | 0.07 | % | 0.07 | % | — | — | |||||||||||||||||
Total net expenses to average daily net assets(d) | 0.06 | %* | 0.07 | % | 0.07 | % | — | — | |||||||||||||||||
Net investment income (loss) to average daily net assets | 2.62 | %* | 1.62 | % | 1.89 | % | 2.61 | % | 2.21 | % | |||||||||||||||
Portfolio turnover rate | 76 | %** | 127 | % | 115 | % | 65 | % | 66 | % | |||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.05 | %* | 0.05 | % | 0.04 | % | 0.08 | % | 0.23 | % | |||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.00 | (e) | $ | 0.01 | — | — | — |
(a) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(b) | Ratio is less than 0.01%. |
(c) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(d) | Interest expense and dividend expense incurred as a result of entering into repurchase agreements, securities sold short and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(e) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 93 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
INTERNATIONAL DEVELOPED EQUITY ALLOCATION FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.05 | $ | 16.88 | $ | 17.99 | $ | 14.86 | $ | 13.87 | $ | 15.23 | ||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.06 | 0.48 | 0.74 | 0.54 | 0.50 | 0.36 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.39 | (3.83 | ) | (1.11 | ) | 3.16 | 0.97 | (1.35 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 1.45 | (3.35 | ) | (0.37 | ) | 3.70 | 1.47 | (0.99 | ) | |||||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.03 | ) | (0.48 | ) | (0.74 | ) | (0.57 | ) | (0.48 | ) | (0.37 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.03 | ) | (0.48 | ) | (0.74 | ) | (0.57 | ) | (0.48 | ) | (0.37 | ) | ||||||||||||||||||
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|
|
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|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 14.47 | $ | 13.05 | $ | 16.88 | $ | 17.99 | $ | 14.86 | $ | 13.87 | ||||||||||||||||||
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | 11.11 | % | (20.09 | )% | (1.86 | )% | 25.02 | % | 10.71 | % | (6.32 | )% | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 946,534 | $ | 942,823 | $ | 1,180,493 | $ | 1,150,492 | $ | 966,794 | $ | 810,338 | ||||||||||||||||||
Net expenses to average daily net assets(c)(d) | 0.00 | %* | 0.00 | % | 0.00 | % | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 0.82 | %* | 3.07 | % | 4.24 | % | 3.28 | % | 3.59 | % | 2.53 | % | ||||||||||||||||||
Portfolio turnover rate | 6 | %** | 14 | % | 7 | % | 52 | % | 17 | % | 26 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.01 | %* | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.00 | (f) | $ | 0.00 | (f) | $ | 0.00 | (f) | — | — | — |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | Net expenses to average daily net assets were less than 0.01%. |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
94 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
INTERNATIONAL EQUITY ALLOCATION FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited)(a) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2013(a) | 2012(a) | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.40 | $ | 31.71 | $ | 34.11 | $ | 31.29 | $ | 29.94 | $ | 32.40 | ||||||||||||||||||
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|
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|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.09 | 0.84 | 1.32 | 1.05 | 0.96 | 0.69 | �� | |||||||||||||||||||||||
Net realized and unrealized gain (loss) | 3.40 | (7.11 | ) | (1.83 | ) | 3.96 | 1.35 | (2.43 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 3.49 | (6.27 | ) | (0.51 | ) | 5.01 | 2.31 | (1.74 | ) | |||||||||||||||||||||
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.07 | ) | (0.87 | ) | (1.35 | ) | (1.02 | ) | (0.96 | ) | (0.72 | ) | ||||||||||||||||||
From net realized gains | — | (1.17 | ) | (0.54 | ) | (1.17 | ) | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.07 | ) | (2.04 | ) | (1.89 | ) | (2.19 | ) | (0.96 | ) | (0.72 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 26.82 | $ | 23.40 | $ | 31.71 | $ | 34.11 | $ | 31.29 | $ | 29.94 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(c) | 14.92 | %** | (20.70 | )% | (1.30 | )% | 16.22 | % | 7.79 | % | (5.21 | )% | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 1,186,379 | $ | 1,134,800 | $ | 1,595,039 | $ | 1,790,318 | $ | 1,385,150 | $ | 1,166,993 | ||||||||||||||||||
Net expenses to average daily net assets(d)(e) | 0.00 | %* | 0.00 | % | 0.00 | % | 0.00 | %(f) | 0.00 | %(f) | 0.00 | %(f) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 0.67 | %* | 2.92 | % | 3.94 | % | 3.15 | % | 3.26 | % | 2.33 | % | ||||||||||||||||||
Portfolio turnover rate | 4 | %** | 14 | % | 18 | % | 40 | % | 21 | % | 29 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.01 | %* | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.01 | (a) | $ | 0.01 | (a) | $ | 0.01 | (a) | $ | 0.02 | (a) | $ | 0.02 | (a) | $ | 0.02 | (a) |
(a) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(c) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(e) | Net expenses to average daily net assets were less than 0.01%. |
(f) | The net expense ratio does not include the effect of expense reductions (Note 2). |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 95 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
CONSOLIDATED SGM MAJOR MARKETS FUND
Class III Shares | Class VI Shares | |||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2016 (Unaudited) | Period from December 2, 2015 (commencement of operations) through February 29, 2016 | |||||||||||||||||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 33.25 | $ | 33.80 | $ | 32.18 | $ | 30.47 | $ | 30.05 | $ | 32.55 | $ | 33.26 | $ | 33.08 | ||||||||||||||||||||||||
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| |||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | (0.11 | ) | (0.26 | ) | (0.25 | ) | (0.22 | ) | (0.18 | ) | 0.00 | (b) | (0.09 | ) | (0.05 | ) | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 2.34 | (0.29 | ) | 1.87 | (c) | 1.93 | 0.60 | (2.50 | ) | 2.34 | 0.23 | |||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||
Total from investment operations | 2.23 | (0.55 | ) | 1.62 | 1.71 | 0.42 | (2.50 | ) | 2.25 | 0.18 | ||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.31 | ) | — | — | — | — | — | (0.34 | ) | — | ||||||||||||||||||||||||||||||
From net realized gains | (0.01 | ) | — | — | — | — | — | (0.01 | ) | — | ||||||||||||||||||||||||||||||
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Total distributions | (0.32 | ) | — | — | — | — | — | (0.35 | ) | — | ||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||
Net asset value, end of period | $ | 35.16 | $ | 33.25 | $ | 33.80 | $ | 32.18 | $ | 30.47 | $ | 30.05 | $ | 35.16 | $ | 33.26 | ||||||||||||||||||||||||
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Total Return(d) | 6.73 | %** | (1.63 | )% | 5.03 | % | 5.61 | % | 1.40 | % | (7.68 | )% | 6.80 | %** | 0.57 | %** | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 48,754 | $ | 24,020 | $ | 1,499,443 | $ | 1,662,189 | $ | 959,752 | $ | 44,320 | $ | 1,226,307 | $ | 1,297,025 | ||||||||||||||||||||||||
Net expenses to average daily net assets(e) | 1.00 | %* | 0.85 | % | 0.80 | % | 0.75 | % | 0.75 | %(f) | 0.69 | %(f) | 0.91 | %* | 0.91 | %* | ||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | (0.63 | )%* | (0.79 | )% | (0.76 | )% | (0.70 | )% | (0.61 | )% | (0.01 | )% | (0.53 | )%* | (0.59 | )%* | ||||||||||||||||||||||||
Portfolio turnover rate | 7 | %(g)** | 29 | %(h) | 45 | % | 97 | % | 17 | % | 48 | % | 7 | %(g)** | 29 | %(h)** | ||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.03 | %* | 0.03 | % | 0.08 | % | 0.13 | % | 0.17 | % | 1.64 | % | 0.03 | %* | 0.13 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | Net investment income (loss) was less than $0.01 per share. |
(c) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. |
(d) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(e) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(f) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(g) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 7% of the average value of its portfolio. |
(h) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 1% of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
96 | See accompanying notes to the financial statements. |
GMO Trust Funds
Consolidated Financial Highlights
(For a share outstanding throughout each period)
CONSOLIDATED SPECIAL OPPORTUNITIES FUND
Class VI Shares | |||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | Period from July 28, 2014 (commencement of operations) through February 28, 2015 | |||||||||||||
Net asset value, beginning of period | $ | 18.65 | $ | 19.81 | $ | 20.00 | |||||||||
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Income (loss) from investment operations: | |||||||||||||||
Net investment income (loss)† | 0.19 | 0.16 | (0.03 | ) | |||||||||||
Net realized and unrealized gain (loss) | 1.76 | (0.85 | ) | (0.15 | )(a) | ||||||||||
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Total from investment operations | 1.95 | (0.69 | ) | (0.18 | ) | ||||||||||
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Less distributions to shareholders: | |||||||||||||||
From net investment income | (0.07 | ) | (0.21 | ) | (0.01 | ) | |||||||||
From net realized gains | (0.38 | ) | (0.26 | ) | — | ||||||||||
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Total distributions | (0.45 | ) | (0.47 | ) | (0.01 | ) | |||||||||
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Net asset value, end of period | $ | 20.15 | $ | 18.65 | $ | 19.81 | |||||||||
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| ||||||||||
Total Return(b) | 10.47 | %** | (3.64 | )% | (0.89 | )%** | |||||||||
Ratios/Supplemental Data: | |||||||||||||||
Net assets, end of period (000’s) | $ | 1,087,559 | $ | 1,138,735 | $ | 843,864 | |||||||||
Net expenses to average daily net assets | 1.22 | %* | 1.29 | % | 1.36 | %* | |||||||||
Net investment income (loss) to average daily net assets | 1.94 | %* | 0.80 | % | (0.25 | )%* | |||||||||
Portfolio turnover rate | 53 | %** | 69 | % | 64 | %** | |||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | — | — | 0.02 | %* | |||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.02 | $ | 0.07 | $ | 0.13 |
(a) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 97 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
STRATEGIC OPPORTUNITIES ALLOCATION FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.43 | $ | 21.89 | $ | 23.43 | $ | 21.47 | $ | 21.26 | $ | 20.78 | ||||||||||||||||||
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| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.11 | 0.75 | 0.76 | 0.68 | 0.65 | 0.48 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.85 | (3.47 | ) | 0.44 | 2.96 | 1.57 | 0.51 | |||||||||||||||||||||||
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| |||||||||||||||||||
Total from investment operations | 1.96 | (2.72 | ) | 1.20 | 3.64 | 2.22 | 0.99 | |||||||||||||||||||||||
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| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.05 | ) | (0.80 | ) | (0.87 | ) | (0.78 | ) | (0.75 | ) | (0.51 | ) | ||||||||||||||||||
From net realized gains | (0.01 | ) | (0.94 | ) | (1.87 | ) | (0.90 | ) | (1.26 | ) | — | |||||||||||||||||||
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| |||||||||||||||||||
Total distributions | (0.06 | ) | (1.74 | ) | (2.74 | ) | (1.68 | ) | (2.01 | ) | (0.51 | ) | ||||||||||||||||||
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| |||||||||||||||||||
Net asset value, end of period | $ | 19.33 | $ | 17.43 | $ | 21.89 | $ | 23.43 | $ | 21.47 | $ | 21.26 | ||||||||||||||||||
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| |||||||||||||||||||
Total Return(b) | 11.28 | %** | (13.00 | )% | 5.36 | % | 17.24 | % | 10.81 | % | 4.93 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 2,045,594 | $ | 1,967,916 | $ | 2,449,194 | $ | 2,455,863 | $ | 2,168,928 | $ | 2,022,555 | ||||||||||||||||||
Net expenses to average daily net assets(c)(d) | 0.00 | %* | 0.00 | % | 0.00 | % | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.16 | %* | 3.80 | % | 3.31 | % | 2.99 | % | 3.01 | % | 2.33 | % | ||||||||||||||||||
Portfolio turnover rate | 14 | %(f)** | 65 | %(g) | 30 | % | 53 | % | 34 | % | 35 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.01 | %* | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.00 | (h) | $ | 0.00 | (h) | $ | 0.00 | (h) | $ | 0.00 | (h) | $ | 0.00 | (h) | — |
(a) | Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests, if any. |
(b) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(c) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5). |
(d) | Net expenses to average daily net assets were less than 0.01%. |
(e) | The net expense ratio does not include the effect of expense reductions (Note 2). |
(f) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 24% of the average value of its portfolio. |
(g) | The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 39% of the average value of its portfolio. |
(h) | Purchase premiums and redemption fees were less than $0.01 per share. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
98 | See accompanying notes to the financial statements. |
GMO Trust Funds
August 31, 2016 (Unaudited)
1. | Organization |
Each of Alpha Only Fund, Benchmark-Free Allocation Fund, Benchmark-Free Fund, Global Asset Allocation Fund, Global Developed Equity Allocation Fund, Global Equity Allocation Fund, Implementation Fund, International Developed Equity Allocation Fund, International Equity Allocation Fund, SGM Major Markets Fund, Special Opportunities Fund, and Strategic Opportunities Allocation Fund, (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).
The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO.
Many of the Funds may invest primarily in other GMO Funds and Implementation Fund, Special Opportunities Fund, and SGM Major Markets Fund may also invest in their wholly-owned subsidiaries, GMO Implementation SPC Ltd., GMO Special Opportunities SPC Ltd. and GMO Alternative Asset SPC Ltd., respectively. These GMO Funds and wholly-owned subsidiaries are referenced herein as “underlying funds.” As a result, the Funds are exposed to all of the risks of the underlying funds in which they invest. Several of the underlying funds themselves invest a substantial portion of their assets in other GMO Funds. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements.
The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):
Fund Name | Benchmark | Investment Objective | ||
Alpha Only Fund | Citigroup 3-Month Treasury Bill Index | Total return greater than benchmark | ||
Benchmark-Free Allocation Fund | Not Applicable | Positive total return, not “relative” return | ||
Benchmark-Free Fund | Not Applicable | Positive total return | ||
Global Asset Allocation Fund | GMO Global Asset Allocation Index (65% MSCI ACWI, 35% Barclays U.S. Aggregate Index) | Total return greater than benchmark | ||
Global Developed Equity Allocation Fund | MSCI World Index | Total return greater than benchmark | ||
Global Equity Allocation Fund | MSCI ACWI | Total return greater than benchmark | ||
Implementation Fund | Not Applicable | Positive total return, not “relative” return | ||
International Developed Equity Allocation Fund | MSCI EAFE Index | Total return greater than benchmark | ||
International Equity Allocation Fund | MSCI ACWI ex USA | Total return greater than benchmark | ||
SGM Major Markets Fund | Citigroup 3-Month Treasury Bill Index | Long-term total return | ||
Special Opportunities Fund | Not Applicable | Positive total return | ||
Strategic Opportunities Allocation Fund | GMO Strategic Opportunities Allocation Index (75% MSCI World Index (MSCI Standard Index Series), 25% Barclays U.S. Aggregate Index) | Total return greater than benchmark |
Alpha Only Fund, Benchmark-Free Fund, Implementation Fund, Special Opportunities Fund and Strategic Opportunities Allocation Fund currently limit subscriptions.
Alpha Only Fund, Benchmark-Free Allocation Fund, Global Asset Allocation Fund, Global Developed Equity Allocation Fund, and SGM Major Markets Fund are currently distributed in Switzerland. The distribution of shares in Switzerland will be exclusively made to, and directed at, qualified investors as defined in the Swiss Collective Investment Schemes Act of 23 June 2006, as amended, and its implementing ordinance.
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
99
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
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.
Basis of presentation and principles of consolidation: Benchmark-Free Allocation Fund, Implementation Fund, Special Opportunities Fund and SGM Major Markets Fund
Implementation Fund, Special Opportunities Fund and SGM Major Markets Fund include the accounts of their wholly-owned subsidiaries Implementation SPC Ltd., Special Opportunities SPC Ltd. and Alternative Asset SPC Ltd. (each a “wholly-owned subsidiary”), respectively, and the accompanying financial statements have been consolidated for those accounts. The consolidated financial statements include all of the assets and liabilities of each wholly-owned subsidiary. Prior to August 1, 2015, Benchmark-Free Allocation Fund (“BFAF”) included the accounts of its wholly-owned subsidiary, Implementation Fund. Effective August 1, 2015, BFAF was no longer the sole shareholder of Implementation Fund, thus consolidation was no longer required. The accompanying financial statements for BFAF include the accounts of Implementation Fund through July 31, 2015. Accumulated deconsolidation impact shown in BFAF’s Statement of Changes resulted from income and gain/loss related to the deconsolidation of Implementation Fund. All interfund accounts and transactions have been eliminated in consolidation.
Portfolio valuation
Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. Direct investments held by the Funds and underlying funds are valued as follows: Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2016, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.
The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets which close prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds, held either directly or through investments in the underlying funds, that were valued using fair value inputs obtained from that independent pricing service as of August 31, 2016. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) in the table below and are described in the disclosures of the underlying funds.
Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a specific relevant pricing source determined by GMO. Although GMO 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. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds. See the table below for information about securities for which no alternative pricing source was available.
“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available by the time that a Fund calculates its net asset value on any business day, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.
100
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.
As discussed above, certain of the Funds and underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees, fair valued using inputs obtained from an independent pricing service, or valued using prices for which no alternative pricing source was available. The table below presents securities and/or derivatives on a net basis, based on market values or unrealized appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of August 31, 2016 is as follows:
Securities and derivatives
Fund Name | Fair valued using methods determined in good faith by or at the direction of the Trustees | Fair valued using inputs obtained from an independent pricing service (Net) | Single source; No alternative pricing source was available | |||||||||
Alpha Only Fund | < 1% | 35% | — | |||||||||
Benchmark-Free Allocation Fund | < 1% | 28% | 1% | |||||||||
Benchmark-Free Fund | < 1% | 34% | < 1% | |||||||||
Global Asset Allocation Fund | < 1% | 36% | < 1% | |||||||||
Global Developed Equity Allocation Fund | < 1% | 56% | — | |||||||||
Global Equity Allocation Fund | < 1% | 61% | — | |||||||||
Consolidated Implementation Fund | < 1% | 35% | < 1% | |||||||||
International Developed Equity Allocation Fund | < 1% | 94% | — | |||||||||
International Equity Allocation Fund | < 1% | 93% | — | |||||||||
Consolidated SGM Major Markets Fund | — | 2% | — | |||||||||
Consolidated Special Opportunities Fund | — | 6% | — | |||||||||
Strategic Opportunities Allocation Fund | < 1% | 46% | < 1% |
U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.
U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the table below). Other than Funds with investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes) or as disclosed in the Asset and Liability Valuation Inputs table below, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at August 31, 2016.
The three levels are defined as follows:
Level 1 – Valuations based on quoted prices for identical securities in active markets.
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).
101
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Level 2 – Valuations determined using other significant direct or indirect observable inputs.
The types of assets and liabilities categorized in Level 2 generally include certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.
Level 3 – Valuations based primarily on inputs that are unobservable and significant.
The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they are valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; potential litigation recoveries and interests related to bankruptcy proceedings; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; certain equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.
The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2016:
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Alpha Only Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 2,680,258 | $ | — | $ | 2,680,258 | ||||||||
Austria | — | 108,808 | — | 108,808 | ||||||||||||
Belgium | — | 276,569 | — | 276,569 | ||||||||||||
Brazil | — | 1,053,209 | — | 1,053,209 | ||||||||||||
Chile | — | 372,765 | — | 372,765 | ||||||||||||
China | 172,240 | 9,915,855 | — | 10,088,095 | ||||||||||||
Colombia | 150,364 | — | — | 150,364 | ||||||||||||
Czech Republic | — | 55,820 | — | 55,820 | ||||||||||||
Denmark | — | 300,042 | — | 300,042 | ||||||||||||
Egypt | — | 66,132 | — | 66,132 | ||||||||||||
Finland | — | 602,663 | — | 602,663 | ||||||||||||
France | — | 4,827,738 | — | 4,827,738 | ||||||||||||
Germany | — | 3,729,629 | — | 3,729,629 | ||||||||||||
Greece | — | 121,780 | — | 121,780 | ||||||||||||
Hong Kong | — | 1,269,428 | — | 1,269,428 | ||||||||||||
Hungary | — | 105,899 | — | 105,899 | ||||||||||||
India | 614,198 | 2,546,314 | 9,673 | 3,170,185 | ||||||||||||
Indonesia | — | 1,017,266 | — | 1,017,266 | ||||||||||||
Ireland | — | 13,824 | — | 13,824 | ||||||||||||
Israel | — | 261,105 | — | 261,105 | ||||||||||||
Italy | — | 980,183 | — | 980,183 | ||||||||||||
Japan | — | 8,716,433 | — | 8,716,433 | ||||||||||||
Malaysia | — | 1,022,136 | — | 1,022,136 | ||||||||||||
Mexico | 1,502,180 | — | — | 1,502,180 | ||||||||||||
Netherlands | — | 1,989,417 | — | 1,989,417 | ||||||||||||
New Zealand | — | 69,624 | — | 69,624 | ||||||||||||
Norway | — | 324,834 | — | 324,834 | ||||||||||||
Peru | 143,488 | — | — | 143,488 | ||||||||||||
Philippines | — | 556,240 | — | 556,240 | ||||||||||||
102
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Alpha Only Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Poland | $ | — | $ | 411,056 | $ | — | $ | 411,056 | ||||||||
Portugal | — | 48,157 | — | 48,157 | ||||||||||||
Qatar | — | 371,024 | — | 371,024 | ||||||||||||
Russia | 82,926 | 1,078,167 | — | 1,161,093 | ||||||||||||
Singapore | — | 441,497 | — | 441,497 | ||||||||||||
South Africa | — | 2,523,742 | — | 2,523,742 | ||||||||||||
South Korea | — | 5,626,019 | — | 5,626,019 | ||||||||||||
Spain | — | 1,558,921 | — | 1,558,921 | ||||||||||||
Sweden | — | 1,043,203 | — | 1,043,203 | ||||||||||||
Switzerland | — | 6,223,846 | — | 6,223,846 | ||||||||||||
Taiwan | — | 4,515,794 | — | 4,515,794 | ||||||||||||
Thailand | — | 937,286 | — | 937,286 | ||||||||||||
Turkey | — | 464,636 | — | 464,636 | ||||||||||||
United Arab Emirates | — | 329,358 | — | 329,358 | ||||||||||||
United Kingdom | — | 23,784,623 | — | 23,784,623 | ||||||||||||
United States | 141,618,523 | — | — | 141,618,523 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 144,283,919 | 92,341,300 | 9,673 | 236,634,892 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | — | 1,913,001 | — | 1,913,001 | ||||||||||||
Chile | — | 36,590 | — | 36,590 | ||||||||||||
Colombia | 24,483 | — | — | 24,483 | ||||||||||||
Germany | — | 232,035 | — | 232,035 | ||||||||||||
Russia | — | 68,774 | — | 68,774 | ||||||||||||
South Korea | — | 229,669 | — | 229,669 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 24,483 | 2,480,069 | — | 2,504,552 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
South Korea | — | — | 0 | § | 0 | § | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | — | — | 0 | § | 0 | § | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 11,848,744 | — | — | 11,848,744 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 11,848,744 | — | — | 11,848,744 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 16,837,229 | — | — | 16,837,229 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 172,994,375 | 94,821,369 | 9,673 | 267,825,417 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 172,994,375 | $ | 94,821,369 | $ | 9,673 | $ | 267,825,417 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | $ | (9,734,620 | ) | $ | — | $ | — | $ | (9,734,620 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | $ | (9,734,620 | ) | $ | — | $ | — | $ | (9,734,620 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Benchmark-Free Allocation Fund |
| |||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 15,079,313,637 | $ | — | $ | — | $ | 15,079,313,637 | ||||||||
Short-Term Investments | 9,339,107 | — | — | 9,339,107 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 15,088,652,744 | — | — | 15,088,652,744 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 15,088,652,744 | $ | — | $ | — | $ | 15,088,652,744 | ||||||||
|
|
|
|
|
|
|
| |||||||||
103
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Benchmark-Free Fund |
| |||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 36,928,441 | $ | — | $ | 36,928,441 | ||||||||
Austria | — | 4,131,340 | — | 4,131,340 | ||||||||||||
Belgium | — | 5,458,233 | — | 5,458,233 | ||||||||||||
Brazil | — | 12,825,023 | — | 12,825,023 | ||||||||||||
Canada | 38,565,473 | — | — | 38,565,473 | ||||||||||||
China | 10,620,602 | 94,068,295 | — | 104,688,897 | ||||||||||||
Czech Republic | — | 2,368,083 | — | 2,368,083 | ||||||||||||
Denmark | 859,648 | 3,305,822 | — | 4,165,470 | ||||||||||||
Finland | — | 8,087,123 | — | 8,087,123 | ||||||||||||
France | — | 71,961,266 | — | 71,961,266 | ||||||||||||
Germany | — | 79,898,461 | — | 79,898,461 | ||||||||||||
Hong Kong | — | 28,538,008 | — | 28,538,008 | ||||||||||||
Hungary | — | 1,764,189 | — | 1,764,189 | ||||||||||||
India | 12,010,403 | 10,417,022 | 666,741 | 23,094,166 | ||||||||||||
Ireland | — | 1,451,846 | — | 1,451,846 | ||||||||||||
Israel | 9,454,983 | 10,370,097 | — | 19,825,080 | ||||||||||||
Italy | — | 15,923,197 | — | 15,923,197 | ||||||||||||
Japan | — | 181,770,560 | 333,069 | 182,103,629 | ||||||||||||
Mexico | 14,448,055 | — | 9,539 | 14,457,594 | ||||||||||||
Netherlands | 2,464,613 | 38,731,470 | — | 41,196,083 | ||||||||||||
New Zealand | — | 2,511,199 | — | 2,511,199 | ||||||||||||
Norway | — | 12,693,946 | — | 12,693,946 | ||||||||||||
Poland | — | 4,758,418 | — | 4,758,418 | ||||||||||||
Portugal | — | 815,508 | — | 815,508 | ||||||||||||
Russia | — | 15,872,454 | — | 15,872,454 | ||||||||||||
Singapore | — | 6,363,963 | — | 6,363,963 | ||||||||||||
South Africa | — | 38,984,791 | — | 38,984,791 | ||||||||||||
South Korea | — | 65,609,433 | — | 65,609,433 | ||||||||||||
Spain | — | 20,449,746 | — | 20,449,746 | ||||||||||||
Sweden | — | 10,436,054 | — | 10,436,054 | ||||||||||||
Switzerland | — | 39,606,813 | — | 39,606,813 | ||||||||||||
Taiwan | 18,261,601 | 48,949,952 | — | 67,211,553 | ||||||||||||
Thailand | — | 2,860,710 | — | 2,860,710 | ||||||||||||
Turkey | — | 16,242,857 | — | 16,242,857 | ||||||||||||
United Kingdom | 3,033,870 | 135,224,218 | — | 138,258,088 | ||||||||||||
United States | 599,548,030 | — | — | 599,548,030 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 709,267,278 | 1,029,378,538 | 1,009,349 | 1,739,655,165 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 1,587,476,913 | — | — | 1,587,476,913 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 1,587,476,913 | — | — | 1,587,476,913 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | 2,374,444 | 25,424,182 | — | 27,798,626 | ||||||||||||
Chile | — | 180,035 | — | 180,035 | ||||||||||||
Germany | — | 4,498,534 | — | 4,498,534 | ||||||||||||
Russia | — | 5,537,144 | — | 5,537,144 | ||||||||||||
South Korea | — | 7,896,341 | — | 7,896,341 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 2,374,444 | 43,536,236 | — | 45,910,680 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
104
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Benchmark-Free Fund (continued) |
| |||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Debt Obligations | ||||||||||||||||
United States | $ | 849,614,400 | $ | — | $ | — | $ | 849,614,400 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 849,614,400 | — | — | 849,614,400 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 3,917,018 | 364,834,127 | — | 368,751,145 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 3,152,650,053 | 1,437,748,901 | 1,009,349 | 4,591,408,303 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,152,650,053 | $ | 1,437,748,901 | $ | 1,009,349 | $ | 4,591,408,303 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global Asset Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 2,738,666,520 | $ | — | $ | — | $ | 2,738,666,520 | ||||||||
Debt Obligations | ||||||||||||||||
Asset-Backed Securities | — | 273,401 | — | 273,401 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | — | 273,401 | — | 273,401 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 425,467 | — | — | 425,467 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 2,739,091,987 | 273,401 | — | 2,739,365,388 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,739,091,987 | $ | 273,401 | $ | — | $ | 2,739,365,388 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global Developed Equity Allocation Fund |
| |||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 1,148,652,961 | $ | — | $ | — | $ | 1,148,652,961 | ||||||||
Short-Term Investments | 1,061,199 | — | — | 1,061,199 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,149,714,160 | — | — | 1,149,714,160 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,149,714,160 | $ | — | $ | — | $ | 1,149,714,160 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global Equity Allocation Fund |
| |||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 2,858,221,544 | $ | — | $ | — | $ | 2,858,221,544 | ||||||||
Short-Term Investments | 828,785 | — | — | 828,785 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 2,859,050,329 | — | — | 2,859,050,329 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,859,050,329 | $ | — | $ | — | $ | 2,859,050,329 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Consolidated Implementation Fund |
| |||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 94,255,755 | $ | — | $ | 94,255,755 | ||||||||
Austria | — | 13,237,922 | — | 13,237,922 | ||||||||||||
Belgium | — | 12,049,990 | — | 12,049,990 | ||||||||||||
Brazil | 849,024 | 107,014,414 | — | 107,863,438 | ||||||||||||
Canada | 109,950,157 | — | — | 109,950,157 | ||||||||||||
Chile | — | 1,598,917 | — | 1,598,917 | ||||||||||||
China | 18,543,087 | 657,538,905 | — | 676,081,992 | ||||||||||||
Czech Republic | — | 25,488,144 | — | 25,488,144 | ||||||||||||
Denmark | 1,761,344 | 33,667,430 | — | 35,428,774 | ||||||||||||
Finland | — | 18,441,756 | — | 18,441,756 | ||||||||||||
France | — | 228,621,951 | — | 228,621,951 | ||||||||||||
Germany | — | 217,546,107 | — | 217,546,107 | ||||||||||||
105
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Consolidated Implementation Fund (continued) |
| |||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Hong Kong | $ | — | $ | 80,784,767 | $ | — | $ | 80,784,767 | ||||||||
Hungary | — | 27,496,300 | — | 27,496,300 | ||||||||||||
India | 46,225,840 | 89,263,478 | 2,222,925 | 137,712,243 | ||||||||||||
Indonesia | — | 1,732,513 | — | 1,732,513 | ||||||||||||
Ireland | 414,666 | 4,190,016 | — | 4,604,682 | ||||||||||||
Israel | 22,793,601 | 25,839,054 | — | 48,632,655 | ||||||||||||
Italy | — | 72,778,643 | — | 72,778,643 | ||||||||||||
Japan | — | 522,493,365 | 2,998,606 | 525,491,971 | ||||||||||||
Malaysia | — | 522,452 | — | 522,452 | ||||||||||||
Mexico | 59,275,615 | — | 419,823 | 59,695,438 | ||||||||||||
Netherlands | 8,957,340 | 134,900,170 | — | 143,857,510 | ||||||||||||
New Zealand | — | 3,152,880 | — | 3,152,880 | ||||||||||||
Norway | 1,483,620 | 43,186,583 | — | 44,670,203 | ||||||||||||
Poland | — | 47,146,326 | — | 47,146,326 | ||||||||||||
Portugal | — | 2,714,307 | — | 2,714,307 | ||||||||||||
Russia | — | 146,443,080 | — | 146,443,080 | ||||||||||||
Singapore | 16,112,964 | 17,546,434 | — | 33,659,398 | ||||||||||||
South Africa | 3,026,101 | 187,566,771 | 183 | 190,593,055 | ||||||||||||
South Korea | — | 424,466,455 | — | 424,466,455 | ||||||||||||
Spain | 25,235,981 | 45,587,570 | — | 70,823,551 | ||||||||||||
Sweden | — | 21,951,559 | 16,200,263 | 38,151,822 | ||||||||||||
Switzerland | 17,513,256 | 114,172,669 | — | 131,685,925 | ||||||||||||
Taiwan | 89,134,236 | 310,772,088 | — | 399,906,324 | ||||||||||||
Thailand | — | 20,449,536 | — | 20,449,536 | ||||||||||||
Turkey | — | 109,219,603 | — | 109,219,603 | ||||||||||||
United Kingdom | 29,231,010 | 376,244,304 | 5,427,629 | 410,902,943 | ||||||||||||
United States | 2,449,678,716 | — | — | 2,449,678,716 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 2,900,186,558 | 4,240,082,214 | 27,269,429 | 7,167,538,201 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | 2,654,885 | 168,490,741 | — | 171,145,626 | ||||||||||||
Germany | — | 15,669,749 | — | 15,669,749 | ||||||||||||
Russia | — | 351,716 | — | 351,716 | ||||||||||||
South Korea | — | 34,300,844 | — | 34,300,844 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 2,654,885 | 218,813,050 | — | 221,467,935 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
South Korea | — | — | 0 | § | 0 | § | ||||||||||
United States | — | — | 683,940 | 683,940 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | — | — | 683,940 | 683,940 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Debt Obligations | ||||||||||||||||
Canada | — | 113,871,808 | — | 113,871,808 | ||||||||||||
Denmark | — | — | 33,600,068 | 33,600,068 | ||||||||||||
Puerto Rico | — | 17,098,192 | — | 17,098,192 | ||||||||||||
United Kingdom | — | 31,072,201 | — | 31,072,201 | ||||||||||||
United States | 3,229,468,471 | — | 54,335,446 | 3,283,803,917 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 3,229,468,471 | 162,042,201 | 87,935,514 | 3,479,446,186 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Options Purchased | 7,738,025 | 2,078,101 | — | 9,816,126 | ||||||||||||
Short-Term Investments | 198,504,095 | 1,444,825,751 | — | 1,643,329,846 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 6,338,552,034 | 6,067,841,317 | 115,888,883 | 12,522,282,234 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
106
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Consolidated Implementation Fund (continued) |
| |||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | 15,222,756 | $ | — | $ | 15,222,756 | ||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | 5,863,187 | — | 5,863,187 | ||||||||||||
Interest Rate Risk | — | 112,021,101 | — | 112,021,101 | ||||||||||||
Equity Risk± | — | 86,681 | — | 86,681 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 6,338,552,034 | $ | 6,201,035,042 | $ | 115,888,883 | $ | 12,655,475,959 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Canada | $ | (32,809,901 | ) | $ | — | $ | — | $ | (32,809,901 | ) | ||||||
France | — | (35,170,921 | ) | — | (35,170,921 | ) | ||||||||||
United States | (176,162,214 | ) | — | — | (176,162,214 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | (208,972,115 | ) | (35,170,921 | ) | — | (244,143,036 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | (12,816,894 | ) | — | (12,816,894 | ) | ||||||||||
Written Options | ||||||||||||||||
Equity Risk | (1,460,415 | ) | — | — | (1,460,415 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | (167,575 | ) | — | (167,575 | ) | ||||||||||
Interest Rate Risk | — | (85,822,697 | ) | (3,315,255 | ) | (89,137,952 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (210,432,530 | ) | $ | (133,978,087 | ) | $ | (3,315,255 | ) | $ | (347,725,872 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
International Developed Equity Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 945,451,323 | $ | — | $ | — | $ | 945,451,323 | ||||||||
Short-Term Investments | 6,980,636 | — | — | 6,980,636 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 952,431,959 | — | — | 952,431,959 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 952,431,959 | $ | — | $ | — | $ | 952,431,959 | ||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 1,186,022,565 | $ | — | $ | — | $ | 1,186,022,565 | ||||||||
Short-Term Investments | 430,648 | — | — | 430,648 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,186,453,213 | — | — | 1,186,453,213 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,186,453,213 | $ | — | $ | — | $ | 1,186,453,213 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Consolidated SGM Major Markets Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
U.S. Government | $ | 13,514,135 | $ | 11,715,081 | $ | — | $ | 25,229,216 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 13,514,135 | 11,715,081 | — | 25,229,216 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | 837,173,643 | — | — | 837,173,643 | ||||||||||||
Short-Term Investments | 415,564,111 | — | — | 415,564,111 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,266,251,889 | 11,715,081 | — | 1,277,966,970 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
107
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Consolidated SGM Major Markets Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | 12,008,864 | $ | — | $ | 12,008,864 | ||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | 10,011,520 | 30,988,532 | — | 41,000,052 | ||||||||||||
Interest Rate Risk | 1,471,807 | — | — | 1,471,807 | ||||||||||||
Physical Commodity Contract Risk | 7,855,745 | — | — | 7,855,745 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,285,590,961 | $ | 54,712,477 | $ | — | $ | 1,340,303,438 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (2,769,108 | ) | $ | — | $ | (2,769,108 | ) | ||||||
Futures Contracts | ||||||||||||||||
Equity Risk | — | (3,922,677 | ) | — | (3,922,677 | ) | ||||||||||
Interest Rate Risk | (11,104,522 | ) | — | — | (11,104,522 | ) | ||||||||||
Physical Commodity Contract Risk | (962,971 | ) | — | — | (962,971 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (12,067,493 | ) | $ | (6,691,785 | ) | $ | — | $ | (18,759,278 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Consolidated Special Opportunities Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Canada | $ | 10,562,757 | $ | — | $ | — | $ | 10,562,757 | ||||||||
Germany | — | 34,529,009 | — | 34,529,009 | ||||||||||||
Ireland | 4,356,600 | — | — | 4,356,600 | ||||||||||||
Netherlands | 36,181,000 | — | — | 36,181,000 | ||||||||||||
Romania | — | 31,895,966 | — | 31,895,966 | ||||||||||||
United States | 615,949,019 | — | — | 615,949,019 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 667,049,376 | 66,424,975 | — | 733,474,351 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
Canada | — | — | 0 | § | 0 | § | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | — | — | 0 | § | 0 | § | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | ||||||||||||||||
Romania | — | 30,067,828 | — | 30,067,828 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENT FUNDS | — | 30,067,828 | — | 30,067,828 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Debt Obligations | ||||||||||||||||
Canada | — | 1,555,971 | — | 1,555,971 | ||||||||||||
Jamaica | — | 12,033,000 | — | 12,033,000 | ||||||||||||
Puerto Rico | — | 8,736,216 | — | 8,736,216 | ||||||||||||
United States | — | 24,760,000 | — | 24,760,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | — | 47,085,187 | — | 47,085,187 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 254,043,200 | — | — | 254,043,200 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 921,092,576 | 143,577,990 | 0 | § | 1,064,670,566 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 334,458 | — | 334,458 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 921,092,576 | $ | 143,912,448 | $ | 0 | § | $ | 1,065,005,024 | |||||||
|
|
|
|
|
|
|
| |||||||||
108
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Consolidated Special Opportunities Fund (continued) | ||||||||||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (232,797 | ) | $ | — | $ | (232,797 | ) | ||||||
Futures Contracts | ||||||||||||||||
Physical Commodity Contract Risk | (2,755,189 | ) | — | — | (2,755,189 | ) | ||||||||||
Written Options | ||||||||||||||||
Equity Risk | (286,740 | ) | (1,070,000 | ) | — | (1,356,740 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (3,041,929 | ) | $ | (1,302,797 | ) | $ | — | $ | (4,344,726 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Strategic Opportunities Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 1,952,280,683 | $ | — | $ | — | $ | 1,952,280,683 | ||||||||
Debt Obligations | ||||||||||||||||
Asset-Backed Securities | — | 275,383 | — | 275,383 | ||||||||||||
U.S. Government | — | 86,341,864 | — | 86,341,864 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | — | 86,617,247 | — | 86,617,247 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 305,738 | — | — | 305,738 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,952,586,421 | 86,617,247 | — | 2,039,203,668 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,952,586,421 | $ | 86,617,247 | $ | — | $ | 2,039,203,668 | ||||||||
|
|
|
|
|
|
|
| |||||||||
The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.
^ | The tables above are based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value. The tables exclude purchased options, if any, which are included in investments. |
§ | Represents the interest in securities that were determined to have a value of zero at August 31, 2016. |
The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs of the underlying funds, please refer to the underlying funds’ Notes to Financial Statements.
For all Funds for the period ended August 31, 2016, there were no significant transfers between Level 1 and Level 2.
109
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
The following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:
Balance as of February 29, 2016 | Purchases | Sales | Accrued Discounts/ Premiums | Total Realized Gain/ (Loss) | Change in Unrealized Appreciation (Depreciation) | Transfer into Level 3† | Transfer out of Level 3† | Balance as of August 31, 2016 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2016 | |||||||||||||||||||||||||||||||
Alpha Only Fund | ||||||||||||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
China | $ | 13,765 | $ | — | $ | (12,564 | ) $ | — | $ | (3,663 | ) | $ | 2,462 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
India | — | 0 | — | — | — | 9,673 | — | — | 9,673 | — | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 13,765 | $ | 0 | $ | (12,564 | ) $ | — | $ | (3,663 | ) | $ | 12,135 | $ | — | $ | — | $ | 9,673 | $ | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Benchmark-Free Fund | ||||||||||||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
India | $ | — | $ | 0 | $ | — | $ | — | $ | — | $ | 666,741 | $ | — | $ | — | $ | 666,741 | $ | — | ||||||||||||||||||||
Japan | — | — | — | — | — | — | 333,069 | ‡ | — | 333,069 | — | |||||||||||||||||||||||||||||
Mexico | — | — | — | — | — | — | 9,539 | ‡ | — | 9,539 | — | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | — | $ | 0 | $ | — | $ | — | $ | — | $ | 666,741 | $ | 342,608 | $ | — | $ | 1,009,349 | $ | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Global Asset Allocation Fund | ||||||||||||||||||||||||||||||||||||||||
Debt Obligations | ||||||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 500 | $ | — | $ | 0 | $ | 1,681 | $ | (55,127 | ) | $ | 52,946 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 500 | $ | — | $ | 0 | $ | 1,681 | $ | (55,127 | ) | $ | 52,946 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Consolidated Implementation Fund | ||||||||||||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
India | $ | — | $ | 0 | $ | — | $ | — | $ | — | $ | 2,222,925 | $ | — | $ | — | $ | 2,222,925 | $ | — | ||||||||||||||||||||
Japan | — | — | — | — | — | — | 2,998,606 | ‡ | — | 2,998,606 | — | |||||||||||||||||||||||||||||
Mexico | — | — | — | — | — | — | 419,823 | ‡ | — | 419,823 | — | |||||||||||||||||||||||||||||
South Africa | 170 | — | — | — | — | 13 | — | — | 183 | 13 | ||||||||||||||||||||||||||||||
Sweden | — | — | — | — | — | — | 16,200,263 | ‡ | — | 16,200,263 | — | |||||||||||||||||||||||||||||
United Kingdom | 7,478,801 | — | — | — | — | (2,051,172 | ) | — | — | 5,427,629 | (2,051,172 | ) | ||||||||||||||||||||||||||||
Rights/Warrants | ||||||||||||||||||||||||||||||||||||||||
United States | 911,920 | — | — | — | — | (227,980 | ) | — | — | 683,940 | (227,980 | ) | ||||||||||||||||||||||||||||
Debt Obligations | ||||||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | ||||||||||||||||||||||||||||||||||||||||
United States | 1,599 | — | 0 | 562 | (171,213 | ) | 169,052 | — | — | — | — | |||||||||||||||||||||||||||||
Bank Loans | ||||||||||||||||||||||||||||||||||||||||
Denmark | 27,420,461 | 2,919,530 | — | 1,202,959 | — | 2,057,118 | — | — | 33,600,068 | 2,057,118 | ||||||||||||||||||||||||||||||
United States | 52,371,322 | — | (286,891 | ) | 85,001 | 6,276 | 2,159,738 | — | — | 54,335,446 | 2,159,738 | |||||||||||||||||||||||||||||
Purchased Options | ||||||||||||||||||||||||||||||||||||||||
United States | 32,065,424 | — | (26,567,491 | ) | — | (16,106,763 | ) | 10,608,830 | — | — | — | — | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments | $ | 120,249,697 | $ | 2,919,530 | $ | (26,854,382 | ) | $ | 1,288,522 | $ | (16,271,700 | ) | $ | 14,938,524 | $ | 19,618,692 | $ | — | $ | 115,888,883 | $ | 1,937,717 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Derivatives | ||||||||||||||||||||||||||||||||||||||||
Swap Contracts | (8,456,355 | ) | $ | — | $ | 8,078,587 | $ | — | $ | (8,078,587 | ) | $ | 7,536,248 | $ | (2,395,148 | )‡ | $ | — | $ | (3,315,255 | ) | $ | (3,315,255 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 111,793,342 | $ | 2,919,530 | $ | (18,775,795 | ) | $ | 1,288,522 | $ | (24,350,287 | ) | $ | 22,474,772 | $ | 17,223,544 | $ | — | $ | 112,573,628 | $ | (1,377,538 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
† | The Funds account for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period. |
‡ | Financial assets transferred between Level 2 and Level 3 were due to a change in observable and/or unobservable inputs. |
110
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
The net aggregate direct and indirect exposure to investments in securities and/or derivatives using Level 3 inputs and presented on a net basis, which will tend to understate the Funds’ exposure, (based on each Fund’s net assets) as of August 31, 2016 were as follows:
Fund Name | Level 3 securities and derivatives | |||
Alpha Only Fund | < 1% | |||
Benchmark-Free Allocation Fund | 1% | |||
Benchmark-Free Fund | < 1% | |||
Global Asset Allocation Fund | < 1% | |||
Global Developed Equity Allocation Fund | < 1% | |||
Global Equity Allocation Fund | < 1% | |||
Consolidated Implementation Fund | 1% | |||
International Developed Equity Allocation Fund | < 1% | |||
International Equity Allocation Fund | < 1% | |||
Consolidated SGM Major Markets Fund | — | |||
Consolidated Special Opportunities Fund | 0% | * | ||
Strategic Opportunities Allocation Fund | 1% |
* | Represents the interest in securities that were determined to have a value of zero at August 31, 2016. |
Cash
Cash and foreign currency, if any, on the Statements of Assets and Liabilities consist of cash balances held with the custodian.
Due to/from broker
Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include mark-to-market amounts related to foreign currency or cash owed.
Foreign currency translation
The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm Eastern time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated on the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.
Loan assignments and participations
Certain Funds may invest in direct debt instruments, which are interests in amounts owed to lenders or lending syndicates, to suppliers of goods or services, or to other parties by corporate, governmental or other borrower. Such “loans” may include bank loans, promissory notes, and loan participations, or in the case of suppliers of goods or services, trade claims or other receivables. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. Unless, under the terms of the loan or other indebtedness a Fund has direct recourse against the borrower, it may have to rely on the agent to enforce its rights against the borrower. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. Loan assignments and participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Repurchase agreements
The Funds may enter into repurchase agreements with banks and brokers. Under a repurchase agreement a Fund acquires a security for a relatively short period for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date.
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The Fund, through its custodian, takes possession of securities it acquired under the repurchase agreement. The value of the securities acquired may be less than the amount owed to the Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency proceedings and the value of the securities subject to the repurchase agreement is insufficient, the Fund’s recovery of cash from the seller may be delayed and, even if the Fund is able to dispose of the securities, the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. As of August 31, 2016, the Funds listed below had entered into repurchase agreements. The value of related collateral for each broker listed below exceeds the value of the repurchase agreements at period end.
Fund Name | Counterparty | Gross Value | Weighted Average Maturity (days) | |||||||
Benchmark-Free Fund | Daiwa Capital Markets America Inc. | $ | 311,457,082 | 4.0 | ||||||
Mizuho Securities USA Inc. | $ | 53,377,045 | 0.3 | |||||||
Implementation Fund | Barclays Bank plc | $ | 49,483,675 | 0.2 | ||||||
Daiwa Capital Markets America Inc. | $ | 534,585,506 | 2.6 | |||||||
Mizuho Securities USA Inc. | $ | 52,525,869 | 0.3 | |||||||
Nomura Securities International Inc. | $ | 808,230,700 | 3.5 |
Reverse repurchase agreements
The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. Reverse repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Inflation-indexed bonds
Certain Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation into the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.
The market price of inflation-indexed bonds normally changes when real interest rates change. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e., stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e., nominal interest rate minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. Coupon payments received by a Fund from inflation-indexed bonds are generally included in the Fund’s gross income for the period in which they accrue. In addition, any increase in the principal amount of an inflation-indexed bond is generally included in the Fund’s gross income even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Short sales
Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the interest payable on such securities, if any, are reflected as a liability on the Statements of Assets and Liabilities. A Fund is obligated to deliver securities at the trade price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Short sales outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Municipal obligations
Municipal obligations are issued by or on behalf of states, territories and possessions of the United States and their political subdivisions, agencies and instrumentalities and the District of Columbia to obtain funds for various public purposes. Municipal notes are generally used to provide for short-term capital needs, such as to finance working capital needs of municipalities or to provide various interim or construction financing, and generally have maturities of one year or less. Municipal bonds, which meet longer-term capital needs and generally have maturities of more than one year when issued, have two principal classifications: “general obligation” bonds and “revenue” bonds. Issuers of general obligation bonds include states, counties, cities, towns and regional districts. The basic security behind general obligation bonds is the issuer’s pledge of its full faith, credit, and taxing power for the payment of principal and interest. Revenue bonds have been issued to fund a wide variety of capital projects. The principal security for a revenue bond is generally the net revenues derived from a particular facility or group of facilities or, in some
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August 31, 2016 (Unaudited)
cases, from the proceeds of a special excise or other specific revenue source. Although the principal security behind these bonds varies widely, many provide additional security in the form of a debt service reserve fund whose monies also may be used to make principal and interest payments on the issuer’s obligations. Municipal obligations at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Trade claims
Certain Funds may purchase trade claims against companies, including companies in bankruptcy or reorganization proceedings. Trade claims generally include claims of suppliers for goods delivered and not paid, claims for unpaid services rendered, claims for contract rejection damages and claims related to litigation. Trade claims are illiquid instruments which generally do not pay interest and there can be no guarantee that the debtor will ever be able to satisfy the obligation on the trade claim. Such claims are typically unsecured and may be subordinated to other unsecured obligations of a debtor, and generally are subject to defenses of the debtor with respect to the underlying transaction giving rise to the trade claim. Trade claims outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Taxes and distributions
Each Fund has elected to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.
Alternative Asset SPC Ltd., Implementation SPC Ltd. and Special Opportunities SPC Ltd. are wholly-owned subsidiaries of SGM Major Markets Fund, Implementation Fund and Special Opportunities Fund, respectively, and each has elected to be treated as a (non-U.S.) corporation for U.S. federal income tax purposes.
The policy of each Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each Fund may, from time to time at their discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically all distributions are reinvested in additional shares of each Fund, at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.
Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to each Fund’s investments in certain jurisdictions may be higher if a significant portion of each Fund is held by non-U.S. shareholders and/or if certain investments are made by a Fund’s wholly-owned subsidiary. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2016, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.
Certain Funds have previously filed for and/or may file for additional tax refunds with respect to certain taxes withheld by member states of the European Union. Generally, the amount of such refunds that a Fund reasonably determines are collectible and free from significant contingencies are reflected in a Fund’s net asset value and are reflected as Dividends from unaffiliated issuers in the Statements of Operations. In certain circumstances, a Fund’s receipt of such refunds may cause the Fund and/or its shareholders to be liable for U.S. federal income taxes and interest charges.
Foreign taxes paid by each Fund may be treated, to the extent permissible by the Code (and other applicable U.S. federal tax guidance) and if that Fund so elects, as if paid by U.S. shareholders of that 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.
Distributions in excess of a Fund’s tax basis earnings and profits, if significant, are reported in the Funds’ financial statements as a return of capital.
113
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Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
As of February 29, 2016, certain Funds elected to defer to March 1, 2016 late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:
Fund Name | Late-Year Ordinary Loss Deferral ($) | Post-October Capital Losses ($) | ||||||
Alpha Only Fund | — | (5,583,465) | ||||||
Benchmark-Free Allocation Fund | (18,060,383) | — | ||||||
Benchmark-Free Fund | — | (40,448,431) | ||||||
Global Asset Allocation Fund | — | (1,334,508) | ||||||
Global Developed Equity Allocation Fund | (4,048) | — | ||||||
Global Equity Allocation Fund | (7,229) | — | ||||||
Consolidated Implementation Fund | — | — | ||||||
International Developed Equity Allocation Fund | (3,137) | (1,325,510) | ||||||
International Equity Allocation Fund | (3,272) | (1,572,445) | ||||||
Consolidated SGM Major Markets Fund | (872,657) | — | ||||||
Consolidated Special Opportunities Fund | — | — | ||||||
Strategic Opportunities Allocation Fund | — | — |
As of February 29, 2016, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. In addition, such losses should be utilized prior to losses scheduled to expire on or before February 28, 2019. As a result of this ordering rule, losses that are subject to expiration may expire unused. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 29, 2016, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:
Short-Term ($) | Long- Term ($) | |||||||||||||||||||
Fund Name | Expiration Date 2/28/2018 | Expiration Date 2/28/2019 | No Expiration Date | Total Short-Term ($) | No Expiration Date | |||||||||||||||
Alpha Only Fund | — | — | (193,610,242) | (193,610,242) | (143,925,711) | |||||||||||||||
Benchmark-Free Allocation Fund | (21,918,689) | (7,441,107) | — | (29,359,796) | (242,271,587) | |||||||||||||||
Benchmark-Free Fund | — | — | (41,936,095) | (41,936,095) | (485,906,560) | |||||||||||||||
Global Asset Allocation Fund | — | — | — | — | (14,387,794) | |||||||||||||||
Global Developed Equity Allocation Fund | — | — | — | — | — | |||||||||||||||
Global Equity Allocation Fund | — | — | — | — | — | |||||||||||||||
Consolidated Implementation Fund | — | — | (735,371,982) | (735,371,982) | (238,752,914) | |||||||||||||||
International Developed Equity Allocation Fund | (14,472,130) | (22,515,333) | — | (36,987,463) | — | |||||||||||||||
International Equity Allocation Fund | — | — | — | — | (5,428,940) | |||||||||||||||
Consolidated SGM Major Markets Fund | — | — | — | — | — | |||||||||||||||
Consolidated Special Opportunities Fund | — | — | — | — | — | |||||||||||||||
Strategic Opportunities Allocation Fund | — | — | — | — | — |
114
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Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
As of August 31, 2016, the approximate cost for U.S. federal income tax purposes and the aggregate investment-level gross and net unrealized appreciation (depreciation) in the value of investments were as follows:
Fund Name | Aggregate Cost ($) | Gross Unrealized Appreciation ($) | Gross Unrealized (Depreciation) ($) | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||
Alpha Only Fund | 257,362,389 | 17,939,771 | (7,476,743) | 10,463,028 | ||||||||||||
Benchmark-Free Allocation Fund | 15,356,808,548 | 282,699,834 | (550,855,638) | (268,155,804 | ) | |||||||||||
Benchmark-Free Fund | 4,496,104,552 | 167,273,815 | (71,970,064) | 95,303,751 | ||||||||||||
Global Asset Allocation Fund | 2,982,763,192 | 20,649,443 | (264,047,247) | (243,397,804 | ) | |||||||||||
Global Developed Equity Allocation Fund | 1,291,413,822 | 2,097,870 | (143,797,532) | (141,699,662 | ) | |||||||||||
Global Equity Allocation Fund | 3,255,206,219 | 4,634,753 | (400,790,643) | (396,155,890 | ) | |||||||||||
Consolidated Implementation Fund | 12,511,216,169 | 473,861,348 | (462,826,807) | 11,034,541 | ||||||||||||
International Developed Equity Allocation Fund | 1,150,604,822 | — | (198,172,863) | (198,172,863 | ) | |||||||||||
International Equity Allocation Fund | 1,397,737,767 | — | (211,284,554) | (211,284,554 | ) | |||||||||||
Consolidated SGM Major Markets Fund | 1,258,582,314 | 9,113,577 | (23,257) | 9,090,320 | ||||||||||||
Consolidated Special Opportunities Fund | 1,020,386,182 | 75,460,476 | (31,173,682) | 44,286,794 | ||||||||||||
Strategic Opportunities Allocation Fund | 2,131,839,550 | 13,054,830 | (105,690,712) | (92,635,882 | ) |
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 interpretations of tax laws (e.g., guidance 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. GMO 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. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from the underlying 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. Principal on inflation-indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. 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 and class allocations
Most of the expenses of the Trust are directly attributable to an individual Fund. Generally, common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees and supplemental support fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Funds may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by a Fund will vary (See Note 5).
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GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent for all Funds except Alpha Only Fund. For Alpha Only Fund, Brown Brothers Harriman & Co. (“BBH”) serves as the custodian and fund accounting agent and State Street serves as the transfer agent. Prior to December 31, 2013, State Street’s transfer agent fees may have been reduced by an earnings allowance calculated on the average daily cash balances each Fund maintained in a State Street transfer agent account. Effective January 1, 2014, any cash balances maintained at the transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations. Prior to December 31, 2012, State Street’s custodian fees may have been reduced by an earnings allowance calculated on the average daily cash balance each Fund maintained in a State Street custodial account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2013, any cash balances maintained at the custodian are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.
Purchases and redemptions of Fund shares
Purchase premiums and redemption fees (if applicable) are paid to and retained by a 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 Fund (directly or indirectly through investments in underlying funds or a wholly-owned subsidiary) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and/or redemption fee or modify an existing fee at any time.
Each of the Funds may charge purchase premiums and redemption fees. Purchase premiums and redemption fees for the Funds are typically reassessed periodically by GMO.
Purchase premiums are not charged on reinvestments of dividends or other distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions). If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion. GMO also may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.
GMO will waive or reduce the purchase premium when securities are used to purchase a Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with its acquisition of those securities. GMO may waive or reduce redemption fees when a Fund uses portfolio securities to redeem its shares. However, when a substantial portion of a Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.
Purchase premiums or redemption fees generally will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with the Trust to transmit orders for purchases and redemptions the day after those orders are received.
GMO may consider known cash flows out of or into underlying funds when placing orders for the cash purchase or redemption of underlying fund shares by accounts over which it has investment discretion, including the Funds and other pooled investment vehicles. Consequently, participants in those accounts will tend to benefit more from waivers of the underlying funds’ purchase premiums and redemption fees than other underlying fund shareholders.
116
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
As of August 31, 2016, the premium on cash purchases and the fee on cash redemptions were as follows:
Alpha Only Fund | Benchmark-Free Allocation Fund(a) | Benchmark-Free Fund(b) | Global Asset Allocation Fund(c) | Global Developed Equity Allocation Fund(d) | Global Equity Allocation Fund(e) | Implementation Fund(f) | International Developed Equity Allocation Fund(g) | International Equity Allocation Fund(h) | SGM Major Markets Fund | Special Opportunities Fund | Strategic Opportunities Allocation Fund(i) | |||||||||||||
Purchase Premium | — | 0.20% | 0.25% | 0.15% | 0.08% | 0.18% | 0.20% | 0.08% | 0.25% | — | 0.50% | 0.20% | ||||||||||||
Redemption Fee | — | 0.20% | 0.25% | 0.15% | 0.08% | 0.18% | 0.20% | 0.08% | 0.25% | — | 0.50% | 0.20% |
(a) | For the periods from June 30, 2015 to June 30, 2016, June 30, 2014 to June 30, 2015 and June 30, 2013 to June 30, 2014, the premium on cash purchases and the fee on cash redemptions were each 0.18 %, 0.13% and 0.11%, respectively, of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.12% of the amount invested or redeemed. |
(b) | For the periods from June 30, 2015 to June 30, 2016, June 30, 2014 to June 30, 2015 and June 30, 2013 to June 30, 2014, the premium on cash purchases and the fee on cash redemptions were each 0.18%, 0.13% and 0.14%, respectively, of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.13% of the amount invested or redeemed. |
(c) | For the period from June 30, 2015 to June 30, 2016 and June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.014% and 0.11%, respectively, of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.10% of the amount invested or redeemed. |
(d) | Prior to March 10, 2014, there was no premium on cash purchases or fee on cash redemptions. |
(e) | For the period from June 30, 2015 to June 30, 2016, and June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.19% and 0.11%, respectively, of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.12% of the amount invested or redeemed. |
(f) | Prior to June 30, 2015, there was no premium on cash purchases or fee on cash redemptions. |
(g) | Prior to March 10, 2014, there was no premium on cash purchases or fees on cash redemptions. |
(h) | For the period from June 30, 2015 to June 30, 2016 and June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.27% and 0.20%, respectively, of the amount invested or redeemed. Prior to June 20, 2013, the same fees were each 0.21% of the amount invested or redeemed. |
(i) | For the period from June 30, 2015 to June 30, 2016 and June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.014% and 0.06% of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.07% of the amount invested or redeemed. |
117
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
3. | Investment and other risks |
The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.
Alpha Only Fund | Benchmark-Free Allocation Fund | Benchmark-Free Fund | Global Asset Allocation Fund | Global Developed Equity Allocation Fund | Global Equity Allocation Fund | Implementation Fund | International Developed Equity Allocation Fund | International Equity Allocation Fund | SGM Major Markets Fund | Special Opportunities Fund | Strategic Opportunities Allocation Fund | |||||||||||||
Commodities Risk | X | X | X | X | X | X | X | |||||||||||||||||
Counterparty Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Credit Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Currency Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Derivatives and Short Sales Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Focused Investment Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Fund of Funds Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Futures Contracts Risk | X | X | X | X | X | |||||||||||||||||||
Illiquidity Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Large Shareholder Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Leveraging Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Management and Operational Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Market Disruption and Geopolitical Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Market Risk – Asset-Backed Securities | X | X | X | X | X | X | X | |||||||||||||||||
Market Risk – Equities | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Market Risk – Fixed Income Investments | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Merger Arbitrage Risk | X | X | X | X | X | X | ||||||||||||||||||
Non-Diversified Funds | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Non-U.S. Investment Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Small Company Risk | X | X | X | X | X | X | X | X | X | X | X |
Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.
Each Fund that invests in other GMO funds, other investment companies or in a wholly-owned subsidiary (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed as well as the risk that the Underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through Underlying Funds.
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An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.
• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the net asset value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner. The value of commodity-related derivatives or indirect investments in commodities may fluctuate more than the commodity, commodities or commodity index to which they relate. See “Derivatives and Short Sales Risk” for a discussion of specific risks of a Fund’s derivatives investments, including commodity-related derivatives.
• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise hold investments it would prefer to sell, resulting in losses for the Fund. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws or other requirements. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (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 (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be promptly posted as required. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty if the transaction is primarily designed to reduce the Fund’s overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty).
The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds.
Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations and realization on collateral, could be stayed or eliminated under new special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, with respect to counterparties who are subject to such proceedings in the European Union, the liabilities of such counterparties to the Funds could be reduced, eliminated, or converted to equity in such counterparties (sometimes referred to as a “bail in”).
• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer’s, guarantor’s, or obligor’s failure to meet its payment obligations, or in anticipation of such failure, or the downgrade of the credit rating of the investment. This risk is particularly acute in
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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, a government or government entity, whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the term of a fixed income 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 or quasi-sovereign debt involve the risk that the governmental entities responsible for repayment may be unable or unwilling to pay interest and repay principal when due. A governmental entity’s ability and willingness to pay interest and repay principal in a timely manner may be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer may default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging countries.
In many cases, the credit risk of a fixed income security is reflected in its credit ratings, and a Fund holding such a security is subject to the risk that the investment’s rating will be downgraded.
Securities issued by the U.S. government historically have presented minimal credit risk. However, events in 2011 led to a downgrade in the long-term credit rating of U.S. bonds by several major rating agencies and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest on U.S. government securities would decrease, the value of a Fund’s investments and increase the volatility of a Fund’s portfolio.
As described under “Market Risk — Asset-Backed Securities,” asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors, as described under “Market Risk — Asset-Backed Securities.”
The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors.
A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives and Short Sales Risk” for more information regarding risks associated with the use of credit default swaps. The extent to which the market price of a fixed income security changes in response to a credit event depends on many factors and can be difficult to predict. For example, even though the effective duration of a long-term floating rate security is very short, an adverse credit event or a change in the perceived creditworthiness of its issuer could cause its market price to decline much more than its effective duration would suggest.
Credit risk is particularly pronounced for below investment grade 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. Investments in distressed or defaulted or other low quality debt securities generally are considered speculative and may involve substantial risks not normally associated with investments in higher quality securities, including adverse business, financial or economic conditions that lead to payment defaults and insolvency proceedings on the part of their issuers. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments, and a Fund may incur additional expenses to seek recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt security proves incorrect, a Fund may lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of default of sovereign debt, the Funds may be unable to pursue legal action against the issuer.
• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position, will decline in value relative to the currency in which the Fund is denominated. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk.”
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Many of the Funds use derivatives to take currency positions that are under- or over-weighted (in some cases significantly) relative to the currency exposure of their portfolios and their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money on both its holdings of a particular currency and the derivative. See also “Non-U.S. Investment Risk.”
Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars, in which case GMO may decide to purchase U.S. dollars in a parallel market with an unfavorable exchange rate. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.
Derivative transactions in foreign currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk”).
• DERIVATIVES AND SHORT SALES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices. Derivatives involve the risk that their value may not change as expected relative to changes in the value of the assets, rates, or indices they are designed to track. Derivatives include futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other OTC contracts. Derivatives may relate to securities, commodities, currencies, currency exchange rates, interest rates, inflation rates, 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 still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments GMO believes are owed to it under OTC derivatives contracts, or those payments may be delayed or made only after the Fund has incurred the cost of litigation.
A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s fundamental fair (or intrinsic) value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs a greater risk of not being able to recover what it is owed if the counterparty defaults. Even when derivatives are required by contract to be collateralized, a Fund typically will not receive the collateral for one or more days after the collateral is required to be posted.
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, illiquidity risk, currency risk, credit risk, and counterparty risk. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values a Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, 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, GMO may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures, potentially resulting in losses for the Fund.
Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk”) and counterparty risk (see “Counterparty Risk”). These derivatives are also subject to documentation risk, which is the risk that ambiguities, inconsistencies or errors in the documentation relating to a derivative transaction may lead to a dispute with the counterparty or unintended investment results. In addition, see “Commodities Risk” for a discussion of risks specific to commodity-related derivatives. Because many derivatives have a leverage component
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(i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk.”
A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders. In addition, the tax treatment of a Fund’s use of derivatives may be unclear because there is little case or other law interpreting the terms of most derivatives or determining their tax treatment. In addition, the Securities and Exchange Commission recently proposed a rule under the 1940 Act regulating the use by registered investment companies of derivatives and many related instruments. That rule, if adopted as proposed, would, among other things, restrict a Fund’s ability to engage in derivatives transactions or so increase the cost of derivatives transactions that a Fund would be unable to implement its investment strategy.
Derivatives Regulation. The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) are implementing similar requirements, which will affect a Fund when it enters into a derivatives transaction with a counterparty organized in that country or otherwise subject to that country’s derivatives regulations. Because these requirements are new and evolving (and some of the rules are not yet final), their ultimate impact remains unclear.
Transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds hold cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Funds make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.
In some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements, for example, by requiring that funds provide more margin for their cleared derivatives positions. Also, as a general matter, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivatives position or an increase in margin requirements above those required at the outset of a transaction. Clearing houses also have broad rights to increase margin requirements for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member because margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member (see “Counterparty Risk”). Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member. Also, such documentation typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks may be more pronounced for cleared derivatives due to their more limited liquidity and market history.
Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility.
If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), the Fund may be unable to execute all components of the package on the swap execution facility. In that case, the Fund would need to trade some components of the package on the swap execution facility and other components in another manner, which could subject the Fund to the risk that some components would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.
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The U.S. government and the European Union have adopted mandatory minimum margin requirements for bilateral derivatives. GMO expects that the Funds’ transactions will become subject to variation margin requirements under such rules in 2017 and initial margin requirements under such rules in 2020. Such requirements could increase the amount of margin a Fund needs to provide in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.
These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund or otherwise limiting liquidity. The implementation of the clearing requirement has increased the costs of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they have historically posted for bilateral derivatives. The costs of derivatives transactions are expected to increase further as clearing members raise their fees to cover the costs of additional capital requirements and other regulatory changes applicable to the clearing members, which will take effect when rules imposing mandatory minimum margin requirements on bilateral swaps, as described above, become effective. These rules and regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.
Options. Some Funds are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights any time before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk because the holder may only exercise the option on its expiration date.) If a Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.
National securities exchanges generally have established limits on the maximum number of options an investor or group of investors acting in concert may write. A Fund, GMO, and other funds advised by GMO will likely constitute such a group. When applicable, these limits restrict a Fund’s ability to purchase or write options on a particular security.
Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (i.e., options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While a Fund has greater flexibility to tailor an OTC option, OTC options generally expose a Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary market risks.
Special tax rules apply to a Fund’s transactions in options, which could increase the taxes payable by shareholders. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s distributions to consist of amounts taxable to shareholders subject to U.S. income tax at ordinary income tax rates.
Short Investment Exposure. Some Funds may sell securities or currencies short as part of their investment programs in an attempt to increase their returns or for hedging purposes. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange a security or currency to replace the borrowed security or currency when the security or currency sold short has appreciated in value, thus resulting in a loss to the Fund. Purchasing a security or currency to close out a short position can itself cause the price of the security or currency to rise further, thereby exacerbating any losses. A Fund that sells short a security or currency it does not own also may have to pay borrowing fees to a broker and may be required to pay the broker any dividends or interest it receives on a borrowed security.
A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying investment, pool of investments, index or currency. Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.
• FOCUSED INVESTMENT RISK. Funds with investments that are focused in particular countries, regions, sectors, industries or issuers that are subject to the same or similar risk factors and funds with investments whose prices are closely correlated are subject to greater overall risk than funds with investments that are more diversified or whose prices are not as closely correlated.
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A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of particular securities than Funds investing in the securities of a larger number of issuers. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments.
Similarly, Funds having a significant portion of their assets in investments tied economically (or related) to a particular geographic region, country (e.g., Taiwan or Japan), or market (e.g., emerging markets), or to sectors within a region, country, or market (e.g., Russian oil) have more exposure to regional and country economic risks than funds making investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in the value of the currency of one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk”.
• FUND OF FUNDS RISK. Funds that invest in Underlying Funds (including underlying GMO Funds) are exposed to the risk that the Underlying Funds will not perform as expected. The Funds are also indirectly exposed to all of the risks to which the Underlying Funds are exposed.
Because a Fund bears the fees and expenses of an Underlying Fund in which it invests, absent reimbursement, the Fund will incur additional expenses when investing in an Underlying Fund. In addition, total Fund expenses will increase if a Fund makes a new or further investment in Underlying Funds with higher fees or expenses than the average fees and expenses of the Underlying Funds then in the Fund’s portfolio. Because some underlying GMO Funds invest a substantial portion of their assets in other GMO Funds (pursuant to an exemptive order obtained from the SEC), the Asset Allocation Funds have more tiers of investments than funds in many other groups of investment companies and therefore may be subject to greater fund of funds risk. In addition, to the extent a Fund invests in shares of underlying GMO Funds, it is indirectly subject to Large Shareholder Risk because those underlying GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk.”
Investments in ETFs involve the risk that an ETF’s performance may not track the performance of the index the ETF is designed to track. 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 in “Derivatives and Short Sales Risk.”
A Fund’s investments in one or more Underlying Funds could affect the amount, timing and character of its distributions and could cause the Fund to recognize taxable income in excess of the cash generated by such investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.
• FUTURES CONTRACTS RISK. The risk of loss to a Fund resulting from its use of futures contracts is potentially unlimited. Futures markets are highly volatile and the use of futures contracts may increase the volatility of the Fund’s net asset value. A Fund’s ability to establish and close out positions in futures contracts is subject to the development and maintenance of a liquid secondary market. A liquid secondary market may not exist for any particular futures contract at any particular time and a Fund might be unable to effect closing transactions to terminate its exposure to the contract. In using futures contracts, a Fund is reliant on GMO’s ability to predict market and price movements correctly. The skills needed to use futures contracts successfully are different from those needed for traditional portfolio management. If a Fund uses futures contracts for hedging purposes, it runs the risk of imperfect correlation between changes in the prices of the contracts and changes in the securities, index, or other asset underlying the contracts or movements in the prices of the Fund’s investments that are the subject of the hedge.
A Fund typically will be required to post margin with its futures commission merchant in connection with its transactions in futures contracts. If the Fund has insufficient cash to meet margin requirements, the Fund may need to sell other investments at disadvantageous times. A Fund may be delayed or prevented from recovering margin or other amounts deposited with a futures commission merchant or futures clearinghouse. For example, in the event of an insolvency of the futures commission merchant, a Fund may not be able to recover all (or any) of the margin it has posted with the futures commission merchant or realize the value of any increase in the price of its positions.
The Commodity Futures Trading Commission (the “CFTC”) and the various exchanges have established limits referred to as “speculative position limits” on the maximum net long or net short positions that any person and certain affiliated entities may hold or control in a particular futures contract. In addition an exchange may impose trading limits on the number of contracts that any person may trade on a particular day. An exchange may order the liquidation of positions found to be in violation of these limits, and it may impose sanctions or restrictions. In addition, the Dodd-Frank Wall Street Reform and Consumer Protection Act requires the CFTC to establish speculative position limits on listed futures and economically equivalent OTC derivatives which may adversely affect the market liquidity of the futures contracts, options and economically equivalent derivatives in which a Fund invests. As a result of such limits, positions held by other GMO clients or by GMO or its affiliates may prevent GMO from taking positions on behalf of a Fund in a particular futures contract or OTC derivative.
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Futures contracts traded on markets outside the United States generally are not subject to regulation by the CFTC or other U.S. regulators. U.S. regulators neither regulate the activities of a foreign exchange, nor have the power to compel enforcement of the rules of the foreign exchange or the laws of the country in which the exchange is located. Margin and other payments made by a Fund in foreign countries may not have the same protections as payments in the United States. In addition, foreign futures contracts may be less liquid and more volatile than U.S. contracts.
• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size, or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed, defaulted or other low quality debt securities, emerging country debt securities, securities of companies with smaller market capitalizations or smaller total float adjusted market capitalizations, or emerging market securities, it is subject to increased illiquidity risk. These types of investments can be difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. Illiquidity risk also may be greater in times of financial stress. For example, Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”) have experienced periods of greatly reduced liquidity during disruptions in fixed income markets, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when market prices decline generally.
A Fund may buy securities that are less liquid than those in its benchmark.
A Fund’s, and particularly Risk Premium Fund’s, ability to use options as part of its investment program depends on the liquidity of the options market. In addition, that market may not be liquid when a Fund seeks to close out an option position. Also, the hours of trading for options on an exchange may not conform to the hours during which the securities held by a Fund are traded. To the extent that the options markets close before the markets for the underlying securities, significant price and rate movements can take place in the markets for underlying securities that are not immediately reflected in the options markets. If a Fund receives a redemption request and is unable to close out an option it has sold, the Fund may temporarily be leveraged in relation to its assets.
• LARGE SHAREHOLDER RISK. To the extent a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities, potentially at disadvantageous prices, to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may purchase or sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) 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, have adverse tax consequences for Fund shareholders. Additionally, redemptions by a large shareholder also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any) and may limit or prevent a Fund’s use of tax equalization. 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.
• 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 portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.
A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.
• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.
For many Funds, GMO often uses quantitative models as part of its investment process. GMO’s models are not necessarily predictive of future market events and use simplifying assumptions that can limit their effectiveness. In addition, the data on which the models are based is subject to
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limitations (e.g. inaccuracies, staleness) that could adversely affect a Fund’s performance. The Funds also run the risk that GMO’s assessment of an investment (including a company’s fundamental fair (or intrinsic) value) may be wrong.
GMO relies heavily on quantitative models in making investment decisions for GMO SGM Major Markets Fund. The usefulness of GMO’s models may be diminished by the faulty incorporation of mathematical models into computer code, by reliance on proprietary and third-party technology that may include errors, omissions, bugs or viruses, and by the retrieval of limited or imperfect data for processing by the model. These risks are present in the ordinary course of business and are more likely to occur when GMO is making changes to its models. Any of these aspects could adversely affect a Fund’s performance.
There can be no assurance that key GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’s ability to achieve the Funds’ investment objectives.
The Funds also are subject to the risk of loss as a result of other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors could prevent a Fund from benefiting from potential investment gains or avoiding losses. In addition, a service provider may be unable to provide a net asset value (“NAV”) for a Fund or share class on a timely basis. GMO is not contractually liable to the Funds for losses associated with operational risk absent its willful misfeasance, bad faith, gross negligence, or reckless disregard of its contractual obligations to provide services to the Funds. Other Fund service providers also have contractual limitations on their liability to the Funds for losses resulting from their errors.
The Funds and their service providers (including GMO) are susceptible to cyber-attacks and technological malfunctions that may have effects that are similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and causing operational disruption. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release or misappropriation of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, reimbursement or other compensation costs, and additional compliance costs. While GMO has established business continuity plans and systems designed to prevent cyber-attacks, such plans and systems are subject to inherent limitations. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could result in material adverse consequences for such issuers, and may cause a Fund’s investment in such securities to lose value.
• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or other economic inputs (e.g., the marked decline in oil prices that began in late 2014) may have material and unexpected effects on both global securities markets and individual countries, regions, sectors, companies, or industries, which could significantly reduce the value of a Fund’s investments. Terrorism in the United States and around the world has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation (e.g., the manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trading practices, which could disrupt the orderly functioning of markets or reduce the value of investments traded in them, including investments of the Funds. Instances of fraud and other deceptive practices committed by senior management of certain companies in which a Fund invests may undermine GMO’s due diligence efforts with respect to such companies, and if such fraud is discovered, negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively impact a Fund’s investment program. Financial fraud also may impact the rates or indices underlying a Fund’s investments.
While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce the value of the Funds’ investments. Similarly, political events within the United States at times have resulted, and may in the future result, in a shutdown of government services, which could adversely 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. Uncertainty surrounding the sovereign debt of several European Union countries, as well as the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the United States and around the world. If a country changes its currency or leaves the European Union or if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also could adversely affect 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,
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inflation, investor sentiment, and other factors affecting the value of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis. To the extent a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.
• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market value of their holdings will decline. Market risks include:
Asset-Backed Securities — Investments in asset-backed securities not only are subject to all of the market risks described under “Market Risk – Fixed Income Investments,” but to other market risks as well.
Asset-backed securities are often exposed to greater risk of severe credit downgrades, illiquidity, and defaults than many other types of fixed income investments. These risks 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, sovereign or quasi-sovereign bonds, bank loans to corporations, or a combination of bonds and loans (commonly referred to as “collateralized debt obligations” or “collateralized loan obligations”) and by the fees payable to service providers.
As described under “Market Risk — Fixed Income Investments,” the market price of fixed income investments with complex structures, such as asset-backed securities, can decline due to a variety 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., the amount of underlying assets or other support available to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support and the credit quality of the credit-support provider, if any, and the reliability of various other service providers with access to the payment stream. A problem in any one of these factors can lead to a reduction in the payment stream GMO 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 expose a Fund to significantly greater declines in value due to defaults because sub-prime mortgage loans are typically made to less creditworthy borrowers and thus have a higher risk of default than conventional mortgage loans. The obligations of issuers (and obligors of asset-backed securities) also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. As of the date of this report, many asset-backed securities owned by the Funds that were once rated investment grade are now rated below investment grade. See “Credit Risk” 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 documentation for underlying assets also may affect the rights of holders of those 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, and the market price of the Fund’s investment may decrease. In addition, the existence of insurance on an asset-backed security does not guarantee that the principal and interest will be paid because the insurer could default on its obligations.
The risk of investing in asset-backed securities has increased since 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” for more
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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.
Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as poor performance by the company’s management or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may result from general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. Equities generally have significant price volatility, and their market prices can decline in a rapid or unpredictable manner. If a Fund purchases an equity for less than its fundamental fair (or intrinsic) value as determined by GMO, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment of the equity’s fundamental fair (or intrinsic) value. The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.
To the extent a Fund invests in GMO Risk Premium Fund (“Risk Premium Fund”), the Fund is exposed to Risk Premium Fund’s market risk with respect to equities. Because of Risk Premium Fund’s emphasis on selling put options on stock indices, GMO expects its net asset value to decline when those indices decline in value. Also, Risk Premium Fund’s investment strategy of writing put options on stock indices can be expected to cause the Fund to underperform relative to those indices when those markets rise sharply because of the Fund’s lack of exposure to the upside of those markets.
Fixed Income Investments — Funds that invest in fixed income securities (including bonds, notes, bills, synthetic debt instruments, and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to 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 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, and the market price of the Fund’s investment may 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 below investment grade securities are subject to greater sensitivity to interest rate and economic changes than higher rated bonds and can be more difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. See “Credit Risk” and “Illiquidity Risk” for more information about these risks.
A risk run by each Fund with 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. In addition, in managing some Funds, GMO may seek to evaluate potential investments in part by considering the volatility of interest rates. The value of a Fund’s investments may be significantly reduced if GMO’s assessment proves incorrect.
The extent to which 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, are subject to additional interest rate risk.
The market price of inflation-indexed bonds (including TIPS) typically declines during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increases during periods of declining real interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities.
Generally, when interest rates on short term U.S. Treasury obligations equal or approach zero, a Fund that invests a substantial portion of its assets in U.S. Treasury obligations, such as U.S. Treasury Fund, will have a negative return unless GMO waives or reduces its management fees.
Fixed income securities denominated in foreign currencies also are subject to currency risk. See “Currency Risk”.
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In response to government intervention, economic or market developments, or other factors, fixed income markets may experience periods of high volatility, reduced liquidity or both. During those periods, a Fund could have unusually high shareholder redemptions, requiring it to generate cash by selling securities when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value during such periods. In recent periods, central banks and governmental financial regulators, including the U.S. Federal Reserve, have maintained historically low interest rates by purchasing bonds. Steps to curtail or “taper” such activities and other actions by central banks or regulators (such as intervention in foreign currency markets or currency controls) could have a material adverse effect on the Funds.
• MERGER ARBITRAGE RISK. Some Funds may engage in transactions in which a Fund purchases securities at prices below the value of the consideration GMO expects to be paid for them upon consummation of a proposed merger, exchange offer, tender offer, or other similar transaction (“merger arbitrage transactions”). The purchase price paid by the Fund may substantially exceed the market price of the securities before the announcement of the transaction.
If a Fund engages in a merger arbitrage transaction and that transaction later appears unlikely to be consummated or, in fact, is not consummated or is delayed, the market prices of the securities purchased by the Fund may decline sharply, resulting in losses to the Fund. The risk/reward payout of merger arbitrage strategies typically is asymmetric, as the losses in failed transactions often far exceed the gains in successful transactions. A merger arbitrage transaction can fail for many reasons, including regulatory and antitrust restrictions, political motivations, industry weakness, stock specific events, failed financings, and general market declines.
Merger arbitrage strategies depend for success on the overall volume of merger activity, which has historically been cyclical. When merger activity is low, GMO may be unable to identify enough opportunities to provide sufficient diversification.
Merger arbitrage strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated. A Fund’s investments in derivatives or short sales of securities to hedge or otherwise adjust long or short investment exposure in connection with a merger arbitrage transaction may not perform as GMO expected or may otherwise reduce the Fund’s gains or increase its losses. Also, a Fund may be unable to hedge against market fluctuations or other risks. In addition, a Fund that sells securities short that GMO expects it to receive upon consummation of a transaction but it does not actually receive (and thus has an unintended “naked” short position) may be required to cover its short position at a time when the securities sold short have appreciated in value, thus resulting in a loss.
• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of relatively few issuers. As a result, they may be subject to greater credit, market and other risks, and poor performance by a single issuer may have a greater impact on their performance, than if they were “diversified.”
In addition, each of the Funds may invest a portion of its assets in shares of one or more other GMO Funds that are not diversified investment companies under the 1940 Act. Each of the Funds may invest without limitation in other GMO Funds that are not diversified.
The following Funds are not diversified investment companies within the meaning of the 1940 Act:
• | Alpha Only Fund |
• | Implementation Fund |
• | Special Opportunities Fund |
• | SGM Major Markets Fund |
• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. Non-U.S. securities markets often include securities of only a small number of companies in a limited number of industries. As a result, the market prices of many of the securities traded on those markets fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to as much regulation as U.S. issuers, and the reporting, accounting, custody, and auditing standards to which those issuers are subject differ, in some cases significantly, from U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes and custodial costs. In addition, some jurisdictions may limit a Fund’s ability to profit from short-term trading (as defined in the relevant jurisdiction).
A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. A Fund’s decision to seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if eligible. The outcome of a Fund’s efforts to obtain a refund may be unpredictable. Accordingly, a refund is not typically reflected in a Fund’s net asset value until it is received or until the Fund determines there is a high likelihood the refund will be received. For information on possible special Australian tax consequences of an investment in the Funds, see the Funds’ Prospectus and Statement of Additional Information for more information.
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Also, investing in non-U.S. securities exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, other government involvement in the economy or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises), adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.
In some non-U.S. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States with respect to brokers, custodians, clearing banks or other clearing agents, escrow agents, and issuers. Fluctuations in foreign currency exchange rates also affect the market value of a Fund’s non-U.S. investments (see “Currency Risk”).
The Funds need a license to invest directly in many non-U.S. securities markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license to invest in a particular market is terminated or suspended, to obtain exposure to that market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of GMO’s clients may preclude other clients, including a Fund, from obtaining a similar license, and this could limit the Fund’s investment opportunities. In addition, the activities of a GMO client could cause the suspension or revocation of a license and thereby limit the Funds’ investment opportunities.
Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of assets of issuers of securities in a Fund’s portfolio; greater governmental involvement in the economy or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises); 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 enforcing legal judgments; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries may be predominantly based on only a few industries or dependent on revenues from particular commodities.
• SMALL COMPANY RISK. Companies with smaller market capitalizations may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, may have inexperienced managers or may depend on a smaller group of key employees as compared to larger companies. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for securities of these companies.
Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and are taken in attempting to respond to adverse market, economic, political, or other conditions. The Funds (other than Benchmark-Free Allocation Fund, Benchmark-Free Fund, Implementation Fund and SGM Major Markets Fund) normally do not take temporary defensive positions. Benchmark-Free Allocation Fund, Benchmark-Free Fund, Implementation Fund and SGM Major Markets Fund may take temporary defensive positions if deemed prudent by GMO.
To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.
4. | Derivative financial instruments |
At August 31, 2016, only Alpha Only Fund, Implementation Fund, SGM Major Markets Fund and Special Opportunities Fund held derivative financial instruments directly. For a listing of derivative financial instruments held by the underlying funds, if any, please refer to the underlying funds’ Schedule of Investments. The derivative information provided below only pertains to direct investments made by Alpha Only Fund, Benchmark-Free Fund, Implementation Fund, SGM Major Markets Fund and Special Opportunities Fund (or their wholly-owned subsidiary).
Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices that are used to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates,
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currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.
Use of Derivatives by Alpha Only Fund and Special Opportunities Fund
Alpha Only Fund’s investment program involves having both long and short investment exposures. Alpha Only Fund seeks to construct a portfolio in which it has long investment exposure to asset classes and sub-asset classes that GMO expects will outperform relative to the asset classes and sub-asset classes to which it has short investment exposure.
The Funds may use derivatives to gain long investment exposure to securities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts, and options) to gain exposure to a given currency. In addition, Special Opportunities Fund may use derivatives to gain investment exposure to commodities, including the use of exchange-traded futures and foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets.
The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). A Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.
The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, and currencies (and in the case of Special Opportunities Fund, commodities) without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and GMO believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting its investment exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which its equities are traded.
The Funds may use derivatives to effect transactions intended as substitutes for securities lending.
Special Opportunities Fund may have investment exposures in excess of its net assets (i.e., it may be leveraged). Alpha Only Fund is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of its derivative positions, Alpha Only Fund will typically have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and therefore is subject to heightened risk of loss. Alpha Only Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.
A Fund’s foreign currency exposure may differ significantly from the currencies in which its equities are traded
Use of Derivatives by Benchmark-Free Fund and Implementation Fund
The Funds may use derivatives to gain long investment exposure to securities, commodities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use exchange-traded futures and forward foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets and may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.
The Funds may use derivatives such as futures, related options, and swap contracts, in an attempt to reduce its investment exposures (which may result in a reduction below zero). For example, a Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer or may use a bond futures contract to short the bond market of a particular country. A Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency. Implementation Fund uses exchange-traded futures and forward contracts as an integral part of its investment program.
The Funds may use derivatives in an attempt to adjust elements of their investment exposures to individual commodities, various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of a certain type of security or commodity and GMO believes that another security or commodity will outperform such security or commodity, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of those stocks) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). Long and short swap contracts and contracts for differences also may be used for these purposes. Derivatives used to effect synthetic sales and purchases will generally be unwound as actual portfolio securities are sold and purchased. In adjusting investment exposures, each Fund also may use currency derivatives, seeking
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GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio. Each Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.
The Funds may use derivatives to effect transactions intended as substitutes for securities lending.
Each of the Funds is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of their derivative positions, the Funds may have gross investment exposures in excess of their net assets (i.e., the Funds may be leveraged) and therefore are subject to heightened risk of loss. Each Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.
Use of Derivatives by SGM Major Markets Fund
The Fund invests in a range of global equity, bond, currency, and commodity markets using exchange traded futures and forward non-U.S. exchange contracts as well as making other investments.
The Fund may use derivatives to gain long and/or short investment exposure to global equities, bonds, currencies, commodities, or other assets. In particular, the Fund may use exchange traded futures and forward foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets. The Fund also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.
The Fund may use derivatives in an attempt to adjust its investment exposures. For example, the Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer. The Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.
The Fund may use derivatives, such as futures, related options, and swap contracts, in an attempt to adjust elements of its investment exposures to individual commodities, various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if the Fund holds a large proportion of a certain type of security or commodity and GMO believes that another security or commodity will outperform such security or commodity, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). Long and short swap contracts and contracts for differences also may be used for these purposes. Derivatives used to effect synthetic sales and purchases will generally be unwound as actual portfolio securities are sold and purchased. In addition, the Fund may alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed versus variable rates and shorter duration versus longer duration exposure. In adjusting its investment exposure, the Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which its equities are traded.
The Fund is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of its derivative positions, the Fund will typically have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and therefore is subject to heightened risk of loss. The Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.
* * *
Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.
The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investment and other risks” above for further information.
132
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
For Funds that held derivatives during the period ended August 31, 2016, the following table shows how the Fund used these derivatives (marked with an X):
Type of Derivative and Objective for Use | Alpha Only Fund | Benchmark-Free Fund | Consolidated Implementation Fund• | Consolidated Special Opportunities Fund‡ | Consolidated SGM Major Markets Fund¤ | |||||||||||||||
Forward currency contracts | ||||||||||||||||||||
Adjust currency exchange rate risk | X | |||||||||||||||||||
Adjust exposure to foreign currencies | X | X | X | X | X | |||||||||||||||
Manage against anticipated currency exchange rate changes | X | |||||||||||||||||||
Futures contracts | ||||||||||||||||||||
Adjust exposure to certain securities markets | X | X | X | |||||||||||||||||
Substitute for direct investment | X | X | ||||||||||||||||||
Adjust interest rate exposure | X | |||||||||||||||||||
Maintain the diversity and liquidity of the portfolio | X | X | X | |||||||||||||||||
Hedge some or all of the broad market exposure of the underlying funds and/or assets in which the Fund invests | X | |||||||||||||||||||
Adjust interest rate exposure | X | |||||||||||||||||||
Options (Purchased) | ||||||||||||||||||||
Substitute for direct equity investment | X | |||||||||||||||||||
Adjust currency exchange rate risk | X | |||||||||||||||||||
Adjust exposure to foreign currencies | X | |||||||||||||||||||
Adjust interest rate exposure | X | |||||||||||||||||||
Options (Written) | ||||||||||||||||||||
Substitute for direct equity investment | X | X | ||||||||||||||||||
Adjust currency exchange rate risk | X | |||||||||||||||||||
Adjust exposure to foreign currencies | X | |||||||||||||||||||
Adjust interest rate exposure | X | |||||||||||||||||||
Swap contracts | ||||||||||||||||||||
Adjust interest rate exposure | X | |||||||||||||||||||
Adjust exposure to foreign currencies | X | |||||||||||||||||||
Substitute for direct investment in securities | X | X | ||||||||||||||||||
Achieve exposure to a reference entity’s credit | X | X | ||||||||||||||||||
Rights and/or warrants | ||||||||||||||||||||
Received as a result of corporate actions | X | X | X | X |
• | Certain derivatives are held by Implementation Fund’s wholly-owned subsidiary. |
‡ | Certain derivatives are held by Special Opportunities Fund’s wholly-owned subsidiary. |
¤ | Certain derivatives are held by SGM Major Markets Fund’s wholly-owned subsidiary. |
133
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Forward currency contracts
The Funds may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market price of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked-to-market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was settled.
These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Futures contracts
The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Options
The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium, if any, which is disclosed in the Schedule of Investments, is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
The Funds may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
When an option contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statements of Operations.
134
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
For the period ended August 31, 2016, investment activity in options contracts written by the Funds was as follows:
Puts | Calls | |||||||||||||||||||||||
Principal Amount of Contracts | Number of Contracts | Premiums | Principal Amount of Contracts | Number of Contracts | Premiums | |||||||||||||||||||
Consolidated Implementation Fund | ||||||||||||||||||||||||
Outstanding, beginning of period | 66,117,704 | 4,296 | $ | 3,619,425 | 2,530,576,425 | 7,337 | $ | 97,090,157 | ||||||||||||||||
Options written | — | 15,716 | 2,347,377 | 364,398,000 | 40,683 | 20,867,901 | ||||||||||||||||||
Options bought back | (33,061,000 | ) | (15,716 | ) | (4,465,703 | ) | (2,894,979,000 | ) | (2,092 | ) | (111,555,943 | ) | ||||||||||||
Options expired | (33,056,704 | ) | (4,296 | ) | (1,501,099 | ) | 4,575 | (44,091 | ) | (4,828,466 | ) | |||||||||||||
Options exercised | — | — | — | — | — | — | ||||||||||||||||||
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Outstanding, end of period | — | — | $ | — | — | 1,837 | $ | 1,573,649 | ||||||||||||||||
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Consolidated Special Opportunities Fund | ||||||||||||||||||||||||
Outstanding, beginning of period | — | 430 | $ | 419,205 | — | — | $ | — | ||||||||||||||||
Options written | — | 3,770 | 4,199,620 | — | — | — | ||||||||||||||||||
Options bought back | — | — | — | — | — | — | ||||||||||||||||||
Options expired | — | (430 | ) | (419,205 | ) | — | — | — | ||||||||||||||||
Options exercised | — | — | — | — | — | — | ||||||||||||||||||
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Outstanding, end of period | — | 3,770 | $ | 4,199,620 | — | — | $ | — | ||||||||||||||||
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In a credit linked option contract, one party makes payments to another party in exchange for the option to exercise a contract where the buyer has the right to receive a specified return if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities and a specified decrease in the value of the related collateral occurs. A writer of a credit linked option receives periodic payments in return for its obligation to pay an agreed-upon value to the other party if they exercise their option in the case of a credit event. If no credit event occurs, the seller has no payment obligation and will keep the premiums received.
Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the market of the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Funds value OTC options using industry models and inputs provided by primary pricing sources.
Swap contracts
The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.
Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses in the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations.
Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.
Inflation swaps involve the exchange of a floating rate linked to an index for a fixed rate interest payment with respect to a notional amount or principal.
135
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.
In a credit default swap contract, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.
For credit default swap contracts on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap contracts on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.
Correlation swaps involve receiving a stream of payments based on the actual average correlation between or among the price movements of two or more underlying variables over a period of time, in exchange for making a regular stream of payments based on a fixed “strike” correlation level (or vice versa), where both payment streams are based on a notional amount. The underlying variables may include, without limitation, commodity prices, exchange rates, interest rates and stock indices.
Variance swap contracts involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.
Forward starting dividend swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in a dividend index point. A Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the relevant dividend index point based on a notional amount. For example, if a Fund took a long position on a dividend index swap, the Fund would receive payments if the relevant index point increased in value and would be obligated to pay if that index point decreased in value.
Future swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in an index. The Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the index based on a notional amount. For example, if the Fund took a long position on a future swap, the Fund would receive payments if the relevant index increased in value and would be obligated to pay if that index decreased in value.
Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.
The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
136
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Rights and warrants
The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.
The following is a summary of the valuations of derivative instruments categorized by risk exposure.
The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2016 and the Statements of Operations for the period ended August 31, 2016^:
The risks referenced in the tables below are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.
Credit Contracts | Commodity Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Alpha Only Fund | ||||||||||||||||||||||||||||
Liability Derivatives | ||||||||||||||||||||||||||||
Unrealized Depreciation on Futures Contracts¤ | $ | — | $ | — | $ | (9,734,620 | ) | $ | — | $ | — | $ | — | $ | (9,734,620 | ) | ||||||||||||
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Total | $ | — | $ | — | $ | (9,734,620 | ) | $ | — | $ | — | $ | — | $ | (9,734,620 | ) | ||||||||||||
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Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
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Total subject to Master Agreements | $ | — | $ | — | $ | (9,734,620 | ) | $ | — | $ | — | $ | — | $ | (9,734,620 | ) | ||||||||||||
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| |||||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | — | $ | (13,095 | ) | $ | — | $ | — | $ | — | $ | (13,095 | ) | ||||||||||||
Forward Currency Contracts | — | — | — | (108,902 | ) | — | — | (108,902 | ) | |||||||||||||||||||
Futures Contracts | — | — | (24,582,661 | ) | — | — | — | (24,582,661 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | (24,595,756 | ) | $ | (108,902 | ) | $ | — | $ | — | $ | (24,704,658 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on |
| |||||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | — | $ | 24 | $ | — | $ | — | $ | — | $ | 24 | ||||||||||||||
Forward Currency Contracts | — | — | — | 108,542 | — | — | 108,542 | |||||||||||||||||||||
Futures Contracts | — | — | (9,272,630 | ) | — | — | — | (9,272,630 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | (9,272,606 | ) | $ | 108,542 | $ | — | $ | — | $ | (9,164,064 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Benchmark-Free Fund | ||||||||||||||||||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | — | $ | 5,191,325 | $ | — | $ | — | $ | 5,191,325 | ||||||||||||||
Futures Contracts | — | — | 6,495,210 | — | — | — | 6,495,210 | |||||||||||||||||||||
Swap Contracts | — | — | 299,633 | — | — | — | 299,633 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | 6,794,843 | $ | 5,191,325 | $ | — | $ | — | $ | 11,986,168 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on |
| |||||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (7,251,480 | ) | $ | — | $ | — | $ | (7,251,480 | ) | ||||||||||||
Futures Contracts | — | — | (197,030 | ) | — | — | — | (197,030 | ) | |||||||||||||||||||
Swap Contracts | — | — | 19,340 | — | — | — | 19,340 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | (177,690 | ) | $ | (7,251,480 | ) | $ | — | $ | — | $ | (7,429,170 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
137
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Credit Contracts | Commodity Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Consolidated Implementation Fund | ||||||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||||||
Investments, at value (purchased options) | $ | — | $ | — | $ | 7,738,025 | $ | 1,167,660 | $ | 910,441 | $ | — | $ | 9,816,126 | ||||||||||||||
Investments, at value (rights and/or warrants) | — | — | 683,940 | — | — | — | 683,940 | |||||||||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | — | 15,222,756 | — | — | 15,222,756 | |||||||||||||||||||||
Unrealized Appreciation on Swap Contracts¤ | 5,863,187 | — | 86,681 | — | 112,021,101 | — | 117,970,969 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 5,863,187 | $ | — | $ | 8,508,646 | $ | 16,390,416 | $ | 112,931,542 | $ | — | $ | 143,693,791 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | 683,940 | $ | — | $ | — | $ | — | $ | 683,940 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | 5,863,187 | $ | — | $ | 7,824,706 | $ | 16,390,416 | $ | 112,931,542 | $ | — | $ | 143,009,851 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liability Derivatives | ||||||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (12,816,894 | ) | $ | — | $ | — | $ | (12,816,894 | ) | ||||||||||||
Unrealized Depreciation on Swap Contracts¤ | (167,575 | ) | — | — | — | (89,137,952 | ) | — | (89,305,527 | ) | ||||||||||||||||||
Written Options, at value | — | — | (1,460,415 | ) | — | — | — | (1,460,415 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (167,575 | ) | $ | — | $ | (1,460,415 | ) | $ | (12,816,894 | ) | $ | (89,137,952 | ) | $ | — | $ | (103,582,836 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | (167,575 | ) | $ | — | $ | (1,460,415 | ) | $ | (12,816,894 | ) | $ | (89,137,952 | ) | $ | — | $ | (103,582,836 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | (23,983,376 | ) | $ | (43,281,107 | ) | $ | (106,148,647 | ) | $ | — | $ | (173,413,130 | ) | ||||||||||
Investments (rights and/or warrants) | — | — | 218,218 | — | — | — | 218,218 | |||||||||||||||||||||
Forward Currency Contracts | — | — | — | 6,197,144 | — | — | 6,197,144 | |||||||||||||||||||||
Futures Contracts | — | — | — | — | (847,692 | ) | — | (847,692 | ) | |||||||||||||||||||
Written Options | — | — | 5,701,316 | 3,433,332 | (31,674,503 | ) | — | (22,539,855 | ) | |||||||||||||||||||
Swap Contracts | 1,668,786 | — | (586,045 | ) | — | 86,308,057 | — | 87,390,798 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 1,668,786 | $ | — | $ | (18,649,887 | ) | $ | (33,650,631 | ) | $ | (52,362,785 | ) | $ | — | $ | (102,994,517 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on |
| |||||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | 12,135,534 | $ | 37,573,153 | $ | 83,737,810 | $ | — | $ | 133,446,497 | ||||||||||||||
Investments (rights and/or warrants) | — | — | (227,980 | ) | — | — | — | (227,980 | ) | |||||||||||||||||||
Forward Currency Contracts | — | — | — | (12,065,988 | ) | — | — | (12,065,988 | ) | |||||||||||||||||||
Futures Contracts | — | — | — | — | (4,701 | ) | — | (4,701 | ) | |||||||||||||||||||
Written Options | — | — | (216,823 | ) | (4,178,872 | ) | 39,235,302 | — | 34,839,607 | |||||||||||||||||||
Swap Contracts | (11,710,834 | ) | — | 7,109,211 | — | (86,937,277 | ) | — | (91,538,900 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (11,710,834 | ) | $ | — | $ | 18,799,942 | $ | 21,328,293 | $ | 36,031,134 | $ | — | $ | 64,448,535 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Consolidated SGM Major Markets Fund | ||||||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | 12,008,864 | $ | — | $ | — | $ | 12,008,864 | ||||||||||||||
Unrealized Appreciation on Futures Contracts¤ | — | 7,855,745 | 41,000,052 | — | 1,471,807 | — | 50,327,604 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | 7,855,745 | $ | 41,000,052 | $ | 12,008,864 | $ | 1,471,807 | $ | — | $ | 62,336,468 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | 7,855,745 | $ | 41,000,052 | $ | 12,008,864 | $ | 1,471,807 | $ | — | $ | 62,336,468 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
138
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Credit Contracts | Commodity Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Consolidated SGM Major Markets Fund (continued) | ||||||||||||||||||||||||||||
Liability Derivatives | ||||||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (2,769,108 | ) | $ | — | $ | — | $ | (2,769,108 | ) | ||||||||||||
Unrealized Depreciation on Futures Contracts¤ | — | (11,104,522 | ) | (3,922,677 | ) | — | (962,971 | ) | — | (15,990,170 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | (11,104,522 | ) | $ | (3,922,677 | ) | $ | (2,769,108 | ) | $ | (962,971 | ) | $ | — | $ | (18,759,278 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | (11,104,522 | ) | $ | (3,922,677 | ) | $ | (2,769,108 | ) | $ | (962,971 | ) | $ | — | $ | (18,759,278 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | — | $ | 49,400,434 | $ | — | $ | — | $ | 49,400,434 | ||||||||||||||
Futures Contracts | — | 2,619,210 | 5,897,391 | — | 1,523,969 | — | 10,040,570 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | 2,619,210 | $ | 5,897,391 | $ | 49,400,434 | $ | 1,523,969 | $ | — | $ | 59,441,004 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on |
| |||||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (5,987,145 | ) | $ | — | $ | — | $ | (5,987,145 | ) | ||||||||||||
Futures Contracts | — | (2,405,588 | ) | 25,387,904 | — | 12,518,078 | — | 35,500,394 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | (2,405,588 | ) | $ | 25,387,904 | $ | (5,987,145 | ) | $ | 12,518,078 | $ | — | $ | 29,513,249 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Consolidated Special Opportunities Fund | ||||||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | 334,458 | $ | — | $ | — | $ | 334,458 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 334,458 | $ | — | $ | — | $ | 334,458 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | — | $ | — | $ | 334,458 | $ | — | $ | — | $ | 334,458 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liability Derivatives | ||||||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (232,797 | ) | $ | — | $ | — | $ | (232,797 | ) | ||||||||||||
Unrealized Depreciation on Futures Contracts¤ | — | (2,755,189 | ) | — | — | — | — | (2,755,189 | ) | |||||||||||||||||||
Written Options, at value | — | — | (1,356,740 | ) | — | — | — | (1,356,740 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | (2,755,189 | ) | $ | (1,356,740 | ) | $ | (232,797 | ) | $ | — | $ | — | $ | (4,344,726 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Derivatives not subject to Master Agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total subject to Master Agreements | $ | — | $ | (2,755,189 | ) | $ | (1,356,740 | ) | $ | (232,797 | ) | $ | — | $ | — | $ | (4,344,726 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | — | $ | (1,909,116 | ) | $ | — | $ | — | $ | — | $ | (1,909,116 | ) | ||||||||||||
Forward Currency Contracts | — | — | — | (3,257,215 | ) | — | — | (3,257,215 | ) | |||||||||||||||||||
Written Options | — | — | 419,205 | — | — | — | 419,205 | |||||||||||||||||||||
Swap Contracts | 135,530 | — | — | — | — | — | 135,530 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 135,530 | $ | — | $ | (1,489,911 | ) | $ | (3,257,215 | ) | $ | — | $ | — | $ | (4,611,596 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
139
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Credit Contracts | Commodity Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Consolidated Special Opportunities Fund (continued) | ||||||||||||||||||||||||||||
Change in Net Unrealized Appreciation (Depreciation) on |
| |||||||||||||||||||||||||||
Investments (rights and/or warrants) | $ | — | $ | — | $ | 2,076,605 | $ | — | $ | — | $ | — | $ | 2,076,605 | ||||||||||||||
Forward Currency Contracts | — | — | — | 908,681 | — | — | 908,681 | |||||||||||||||||||||
Futures Contracts | — | (1,475,238 | ) | — | — | — | — | (1,475,238 | ) | |||||||||||||||||||
Written Options | — | — | 2,462,375 | — | — | — | 2,462,375 | |||||||||||||||||||||
Swap Contracts | (899,007 | ) | — | — | — | — | — | (899,007 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (899,007 | ) | $ | (1,475,238 | ) | $ | 4,538,980 | $ | 908,681 | $ | — | $ | — | $ | 3,073,416 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
^ | Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables. |
¤ | The table includes cumulative appreciation/depreciation of futures and cleared swap contracts, if any, as reported in the Schedule of Investments. Period end variation margin on open futures and cleared swap contracts, if any, is reported within the Statements of Assets and Liabilities. |
Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of some OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and netting provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset. Additionally, the netting and close out provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Because the Funds do not presently have a legally enforceable right of set-off, these amounts have not been offset in the Statements of Assets and Liabilities, but have been presented separately in the table below. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. An estimate of the aggregate net payment, if any, that may need to be made by a Fund in such an event is represented by the unrealized amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.
For financial reporting purposes, on the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2016, if any.
140
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2016:
Consolidated Implementation Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 3,894,159 | $ | (3,378,286 | ) | $ | (63,855 | ) | $ | 452,018 | ||||||
Barclays Bank plc | 799,940 | — | (519,080 | ) | 280,860 | |||||||||||
Credit Suisse International | 154,872 | (154,872 | ) | — | — | * | ||||||||||
Goldman Sachs International | 29,177,313 | (13,388,969 | ) | (15,127,196 | ) | 661,148 | ||||||||||
JPMorgan Chase Bank, N.A. | 2,113,211 | (79,745 | ) | (2,033,466 | ) | — | * | |||||||||
Morgan Stanley & Co. International PLC | 4,019,244 | — | (1,508,405 | ) | 2,510,839 | |||||||||||
Morgan Stanley & Co. LLC | 4,519,925 | — | — | 4,519,925 | ||||||||||||
State Street Bank and Trust Company | 39,968 | — | (940 | ) | 39,028 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 44,718,632 | $ | (17,001,872 | ) | $ | (19,252,942 | ) | $ | 8,463,818 | ||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Bank of America, N.A. | $ | 63,855 | $ | — | $ | 63,855 | $ | — | ||||||||
Barclays Bank plc | 519,080 | — | 519,080 | — | * | |||||||||||
Brown Brothers Harriman & Co. | 5,535 | — | — | 5,535 | ||||||||||||
Goldman Sachs International | 15,127,196 | — | 15,127,196 | — | ||||||||||||
JPMorgan Chase Bank, N.A. | 2,033,466 | — | 2,033,466 | — | * | |||||||||||
Morgan Stanley & Co. International PLC | 1,508,405 | — | 1,508,405 | — | * | |||||||||||
State Street Bank and Trust Company | 940 | — | 940 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 19,258,477 | $ | — | $ | 19,252,942 | $ | 5,535 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Consolidated SGM Major Markets Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
JPMorgan Chase Bank, N.A. | $ | 10,896,386 | $ | (9,998,648 | ) | $ | (897,738 | ) | $ | — | * | |||||
Morgan Stanley & Co. International PLC | 436,350 | — | 436,350 | — | * | |||||||||||
State Street Bank and Trust Company | 379,213 | — | (301,537 | ) | 77,676 | |||||||||||
UBS AG | 296,915 | — | (281,078 | ) | 15,837 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 12,008,864 | $ | (9,998,648 | ) | $ | (1,044,003 | ) | $ | 93,513 | ||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
JPMorgan Chase Bank, N.A. | $ | 897,738 | $ | — | $ | 897,738 | $ | — | ||||||||
Morgan Stanley & Co. International PLC | 1,288,755 | — | (436,350 | ) | 852,405 | |||||||||||
State Street Bank and Trust Company | 301,537 | — | 301,537 | — | ||||||||||||
UBS AG | 281,078 | — | 281,078 | — | * | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,769,108 | $ | — | $ | 1,044,003 | $ | 852,405 | ||||||||
|
|
|
|
|
|
|
| |||||||||
141
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Consolidated Special Opportunities Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 334,458 | $ | — | $ | (136,480 | ) | $ | 197,978 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 334,458 | $ | — | $ | (136,480 | ) | $ | 197,978 | |||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Bank of America, N.A. | $ | 136,480 | $ | — | $ | 136,480 | $ | — | ||||||||
Goldman Sachs International | 96,317 | — | — | 96,317 | ||||||||||||
Morgan Stanley & Co. International PLC | 1,356,740 | (1,356,740 | ) | — | — | * | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,589,537 | $ | (1,356,740 | ) | $ | 136,480 | $ | 96,317 | |||||||
|
|
|
|
|
|
|
| |||||||||
* | The actual collateral received and/or pledged is more than the amount shown. |
The average derivative activity of notional amounts (forward currency contracts, futures contracts, swap contracts), market values (rights and/or warrants), and principal amounts or number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2016:
Fund Name | Forward Currency Contracts ($) | Futures Contracts ($) | Swap Contracts ($) | Options (Principal) | Options (Contracts) | Rights and/or Warrants ($) | ||||||||||||||||||
Alpha Only Fund | 10,903,888 | 230,620,049 | — | — | — | 3,006 | ||||||||||||||||||
Benchmark-Free Fund | 164,833,384 | 2,757,569 | * | 657,712 | — | — | 18,421 | |||||||||||||||||
Consolidated Implementation Fund | 2,426,246,085 | 8,850,826 | 24,185,887,457 | 2,161,313,424 | 72,128 | 912,476 | ||||||||||||||||||
Consolidated SGM Major Markets Fund | 1,049,887,366 | 1,582,711,792 | — | — | — | — | ||||||||||||||||||
Consolidated Special Opportunities Fund | 77,934,604 | 7,791,090 | 39,040,709 | — | 2,483 | 7,432,523 |
* | During the period ended August 31, 2016, the Fund did not hold this investment type at any month-end; therefore, the average amount outstanding was calculated using daily outstanding absolute values. |
142
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
5. | Fees and other transactions with affiliates |
GMO receives a management fee for the services it provides to certain Funds. Management fees are paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:
Alpha Only Fund | Benchmark-Free Allocation Fund | Benchmark-Free Fund | Global Asset Allocation Fund | Global Developed Equity Allocation Fund | Global Equity Allocation Fund | Implementation Fund | International Developed Equity Allocation Fund | International Equity Allocation Fund | SGM Major Markets Fund | Special Opportunities Fund | Strategic Opportunities Allocation Fund | |||||||||||||||||||||||||||||||||||||
Management Fee | 0.50% | 0.65% | — | — | — | — | — | — | — | 0.85% | 1.10% | — |
For certain Funds above, GMO does not charge the Fund a management fee or shareholder service fee, but it receives management and/or shareholder service fees from the underlying funds in which the Fund invests. Because those fees vary from fund to fund, the levels of indirect net expenses set forth below are affected by GMO’s asset allocation decisions.
In addition, for certain Funds each class of shares pays GMO directly or indirectly a shareholder service or supplemental support fee. Shareholder service fees are paid to GMO for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Class MF shares of Benchmark-Free Allocation Fund are subject to a supplemental support fee payable to GMO for providing supplemental support services to Class MF shareholders and their investment advisers. These supplemental support services include without limitation, (1) provision and presentation of educational and explanatory information about the Fund and its asset allocation strategy as requested or directed by an investor or its investment adviser, (2) provision and presentation of similar educational and explanatory information about the strategies of the GMO Funds in which the Fund invests, (3) provision and presentation of information for inclusion in the quarterly or other periodic reports of the investor, (4) provision of responses to information requests relating to oversight functions of the investor’s board of directors in areas including pricing, compliance, and taxation, (5) access to and meetings with GMO’s Chief Investment Strategist and Heads of GMO’s Asset Allocation Team and other investment professionals of GMO, (6) assistance with services provided by an investor’s investment adviser, and (7) such other assistance as may be requested from time to time by an investor or its agents, provided that such assistance is not primarily intended to result in the sale of Fund shares.
Shareholder service and/or supplemental support fees are paid monthly equal to the percentage of each applicable Fund’s average daily net assets set forth in the table below
Fund Name | Class III | Class IV | Class V | Class VI | Class MF | |||||||||||||||
Alpha Only Fund | 0.15% | 0.10% | ||||||||||||||||||
Benchmark-Free Allocation Fund | 0.15% | 0.10% | 0.10% | |||||||||||||||||
SGM Major Markets Fund (formerly Systematic Global Macro Opportunity Fund) | 0.15% | 0.10% | * | 0.055% | ||||||||||||||||
Special Opportunities Fund | 0.15% | * | 0.10% | * | 0.085%* | 0.055% |
* | Class is offered but has no shareholders as of August 31, 2016. |
For each Fund, other than Special Opportunities Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO.
143
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
For Special Opportunities Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.10% of the Fund’s average daily net assets.
“Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses. In the case of Benchmark-Free Fund, “Specified Operating Expenses” does not include the Fund’s direct custody expenses attributable to its holdings of emerging market securities.
For each Fund, other than Benchmark-Free Allocation Fund, that pays GMO a management fee, GMO has contractually agreed to waive or reduce that fee, but not below zero, to the extent necessary to offset the management fees paid to GMO that are directly or indirectly borne by the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
For each Fund, other than Benchmark-Free Allocation Fund, that charges a shareholder service fee, GMO has contractually agreed to waive or reduce the shareholder service fee charged to holders of each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly borne by the class of shares of the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
These contractual waivers and reimbursements will continue through at least June 30, 2017 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination, or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplemental support agreement.
For Benchmark-Free Allocation Fund only, the fees payable to GMO under its management contract and servicing and supplemental support agreement are reduced by amounts equal to the management fees and shareholder service fees, respectively, that GMO receives as a result of the Fund’s investment in underlying GMO Funds. In addition, effective March 1, 2014, GMO has contractually agreed to reduce the rate of the supplemental support fees charged to the Fund’s Class MF shares to a rate to be charged in any month (starting on the first business day of the month) based on the net assets attributable to Class MF shares as of the last business day of the preceding month based on the following schedule: 0.10% on the first $6 billion of net assets, 0.05% on the next $2 billion, 0.03% on the next $2 billion, and 0.01% thereafter; provided, however, that the effective rate charged at any time will not be reduced to less than 0.06% of Class MF’s average daily net assets. The rate will be calculated before giving effect to any reduction or waiver described above, and any applicable reduction or waiver will serve to further reduce the supplemental support fee paid to GMO. This reduction will continue through at least June 30, 2017, and may not be terminated prior to this date without the action or consent of the Fund’s Board of Trustees.
The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 2016 is shown in the table below and is included in the Statements of Operations.
Fund Name | Independent Trustees and their legal counsel ($) | Agent unaffiliated with GMO ($) | ||||||
Alpha Only Fund | 1,748 | 184 | ||||||
Benchmark-Free Allocation Fund | 128,111 | 14,260 | ||||||
Benchmark-Free Fund | 34,384 | 3,588 | ||||||
Global Asset Allocation Fund | 25,320 | 2,760 | ||||||
Global Developed Equity Allocation Fund | 11,282 | 1,196 | ||||||
Global Equity Allocation Fund | 22,733 | 2,392 | ||||||
Consolidated Implementation Fund | 107,614 | 11,868 | ||||||
International Developed Equity Allocation Fund | 7,933 | 828 | ||||||
International Equity Allocation Fund | 9,160 | 920 | ||||||
Consolidated SGM Major Markets Fund | 9,938 | 1,104 | ||||||
Consolidated Special Opportunities Fund | 8,489 | 828 | ||||||
Strategic Opportunities Allocation Fund | 16,056 | 1,656 |
144
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2016 these indirect fees and expenses expressed as an annualized percentage of each 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 | ||||||||||||
Alpha Only Fund | < 0.001% | 0.000% | 0.000% | < 0.001% | ||||||||||||
Benchmark-Free Allocation Fund | 0.133% | 0.013% | 0.048% | * | 0.194% | |||||||||||
Benchmark-Free Fund | 0.242% | 0.021% | 0.000% | 0.263% | ||||||||||||
Global Asset Allocation Fund | 0.415% | 0.061% | 0.001% | 0.477% | ||||||||||||
Global Developed Equity Allocation Fund | 0.457% | 0.071% | 0.000% | 0.528% | ||||||||||||
Global Equity Allocation Fund | 0.512% | 0.070% | 0.000% | 0.582% | ||||||||||||
Consolidated Implementation Fund | 0.000% | 0.000% | 0.000% | 0.000% | ||||||||||||
International Developed Equity Allocation Fund | 0.539% | 0.086% | 0.000% | 0.625% | ||||||||||||
International Equity Allocation Fund | 0.617% | 0.079% | 0.000% | 0.696% | ||||||||||||
Consolidated SGM Major Markets Fund | 0.002% | 0.000% | 0.000% | 0.002% | ||||||||||||
Consolidated Special Opportunities Fund | 0.000% | 0.000% | 0.000% | 0.000% | ||||||||||||
Strategic Opportunities Allocation Fund | 0.402% | 0.055% | 0.000% | 0.457% |
* | Includes indirect dividend expense. |
The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to insure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the period ended August 31, 2016, the Funds did not engage in these transactions.
6. | Purchases and sales of securities |
Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, for the period ended August 31, 2016 are noted in the table below:
Purchases ($) | Purchases ($) | Sales ($) | Sales ($) | |||||||||||||
Fund Name | U.S. Government Securities | Investments (Non-U.S. Government Securities) | U.S. Government Securities | Investments (Non-U.S. Government Securities) | ||||||||||||
Alpha Only Fund | — | 118,139,449 | — | 160,767,514 | ||||||||||||
Benchmark-Free Allocation Fund | — | 249,803,108 | — | 2,839,557,592 | ||||||||||||
Benchmark-Free Fund | 856,870,414 | 1,047,125,451 | 594,705,099 | 1,337,007,115 | ||||||||||||
Global Asset Allocation Fund | — | 270,215,101 | — | 1,099,526,969 | ||||||||||||
Global Developed Equity Allocation Fund | — | 280,296,861 | — | 710,222,936 | ||||||||||||
Global Equity Allocation Fund | — | 592,928,573 | — | 965,262,156 | ||||||||||||
Consolidated Implementation Fund | 3,508,570,902 | 4,038,282,076 | 2,773,806,889 | 5,029,394,662 | ||||||||||||
International Developed Equity Allocation Fund | — | 56,885,150 | — | 155,820,551 | ||||||||||||
International Equity Allocation Fund | — | 46,526,938 | — | 155,312,704 | ||||||||||||
Consolidated SGM Major Markets Fund | 38,241,239 | 21,941,157 | — | 125,000,000 | ||||||||||||
Consolidated Special Opportunities Fund | — | 452,445,090 | — | 563,538,412 | ||||||||||||
Strategic Opportunities Allocation Fund | — | 491,821,901 | 216,413,598 | 403,621,278 |
145
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
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, GMO 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 August 31, 2016 |
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 | Percentage of the shares of the Fund held by senior management of GMO and GMO Trust officers | Percentage of the Fund’s shares held by accounts for which GMO has investment discretion | ||||||||||||
Alpha Only Fund | 2 | ‡ | 73.65% | 0.20% | 99.29% | |||||||||||
Benchmark-Free Allocation Fund | 1 | 46.71% | 1.08% | 1.51% | ||||||||||||
Benchmark-Free Fund | — | — | — | 100.00% | ||||||||||||
Global Asset Allocation Fund | — | — | 0.17% | 9.83% | ||||||||||||
Global Developed Equity Allocation Fund | 3 | 47.17% | — | — | ||||||||||||
Global Equity Allocation Fund | 1 | 11.35% | 0.01% | 0.49% | ||||||||||||
Implementation Fund | 1 | ‡ | 96.34% | — | 100.00% | |||||||||||
International Developed Equity Allocation Fund | 3 | 42.33% | < 0.01% | 1.01% | ||||||||||||
International Equity Allocation Fund | 3 | † | 48.98% | 0.01% | 18.29% | |||||||||||
SGM Major Markets Fund± | 2 | # | 75.64% | 0.06% | 97.69% | |||||||||||
Special Opportunities Fund | 2 | # | 97.27% | 0.06% | 99.93% | |||||||||||
Strategic Opportunities Allocation Fund | 1 | 25.45% | < 0.01% | 99.96% |
† | One of the shareholders is another fund managed by GMO. |
‡ | One of the shareholders is another fund of the Trust. |
# | Two of the shareholders are other funds of the Trust. |
146
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
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 the Funds’ shares were as follows:
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Alpha Only Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 3,682 | $ | 81,865 | 34,813 | $ | 787,161 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 5,131 | 110,579 | 28,004 | 615,633 | ||||||||||||
Shares repurchased | (3,432 | ) | (76,112 | ) | (877,135 | ) | (19,442,906 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 5,381 | $ | 116,332 | (814,318 | ) | $ | (18,040,112 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | 158,899 | $ | 3,492,336 | 6,213,891 | (a) | $ | 141,103,403 | (a) | ||||||||
Shares issued to shareholders in reinvestment of distributions | 163,249 | 3,519,655 | 2,800,200 | 61,485,182 | ||||||||||||
Shares repurchased | (1,230,679 | ) | (27,018,701 | ) | (141,301,153 | )(a) | (3,149,361,827 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (908,531 | ) | $ | (20,006,710 | ) | (132,287,062 | ) | $ | (2,946,773,242 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Benchmark-Free Allocation Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 2,686,279 | $ | 65,902,925 | 72,331,281 | $ | 1,847,742,291 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 33,356 | 833,558 | 4,651,398 | 120,052,586 | ||||||||||||
Shares repurchased | (40,968,063 | ) | (1,007,758,369 | ) | (50,094,065 | ) | (1,243,090,574 | ) | ||||||||
Purchase premiums | — | 135,753 | — | 846,534 | ||||||||||||
Redemption fees | — | 1,836,843 | — | 2,402,472 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (38,248,428 | ) | $ | (939,049,290 | ) | 26,888,614 | $ | 727,953,309 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | 8,161,859 | $ | 202,187,974 | 23,359,719 | $ | 620,703,712 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 34,666 | 866,298 | 2,795,335 | 72,119,639 | ||||||||||||
Shares repurchased | (10,043,699 | ) | (251,779,930 | ) | (43,693,869 | ) | (1,088,914,127 | ) | ||||||||
Purchase premiums | — | 59,520 | — | 465,686 | ||||||||||||
Redemption fees | — | 880,994 | — | 1,187,301 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,847,174 | ) | $ | (47,785,144 | ) | (17,538,815 | ) | $ | (394,437,789 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class MF: | ||||||||||||||||
Shares sold | 8,494,163 | $ | 204,703,741 | 24,241,374 | $ | 613,440,726 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 128,546 | 3,213,650 | 9,204,641 | 237,571,791 | ||||||||||||
Shares repurchased | (72,759,113 | ) | (1,797,481,407 | ) | (144,801,570 | ) | (3,557,453,382 | ) | ||||||||
Purchase premiums | — | 188,749 | — | 1,550,889 | ||||||||||||
Redemption fees | — | 2,518,807 | — | 3,918,113 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (64,136,404 | ) | $ | (1,586,856,460 | ) | (111,355,555 | ) | $ | (2,700,971,863 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Benchmark-Free Fund |
| |||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 2,382,359 | $ | 43,044,781 | 13,827,563 | $ | 255,015,278 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,379,828 | 25,278,457 | 15,533,367 | 287,039,750 | ||||||||||||
Shares repurchased | (10,612,698 | ) | (191,982,544 | ) | (24,900,259 | ) | (457,058,234 | ) | ||||||||
Purchase premiums | — | 2,491 | — | 199,764 | ||||||||||||
Redemption fees | — | 278,275 | — | 557,383 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (6,850,511 | ) | $ | (123,378,540 | ) | 4,460,671 | $ | 85,753,941 | ||||||||
|
|
|
|
|
|
|
| |||||||||
147
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Global Asset Allocation Fund |
| |||||||||||||||
Class III#: |
| |||||||||||||||
Shares sold | 455,988 | $ | 13,221,494 | 4,489,709 | $ | 137,972,354 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 284,518 | 8,390,442 | 10,223,198 | 309,983,152 | ||||||||||||
Shares repurchased | (29,621,657 | ) | (861,402,708 | ) | (38,477,873 | ) | (1,211,002,276 | ) | ||||||||
Purchase premiums | — | 15,246 | — | 106,404 | ||||||||||||
Redemption fees | — | 1,228,701 | — | 1,358,583 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (28,881,151 | ) | $ | (838,546,825 | ) | (23,764,966 | ) | $ | (761,581,783 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Global Developed Equity Allocation Fund |
| |||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 84,210 | $ | 1,602,078 | 2,634,197 | $ | 55,440,868 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 2,330,089 | 42,896,933 | 8,853,244 | 177,958,581 | ||||||||||||
Shares repurchased | (23,579,845 | ) | (445,919,153 | ) | (6,683,069 | ) | (142,486,659 | ) | ||||||||
Purchase premiums | — | 1,283 | — | 40,703 | ||||||||||||
Redemption fees | — | 356,735 | — | 110,318 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (21,165,546 | ) | $ | (401,062,124 | ) | 4,804,372 | $ | 91,063,811 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global Equity Allocation Fund |
| |||||||||||||||
Class III#: |
| |||||||||||||||
Shares sold | 522,582 | $ | 11,277,535 | 3,982,610 | $ | 89,859,760 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 2,838,150 | 60,878,301 | 15,556,920 | 358,248,969 | ||||||||||||
Shares repurchased | (19,334,648 | ) | (413,712,934 | ) | (18,545,772 | ) | (443,989,759 | ) | ||||||||
Purchase premiums | — | 14,660 | — | 121,845 | ||||||||||||
Redemption fees | — | 757,796 | — | 623,129 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (15,973,916 | ) | $ | (340,784,642 | ) | 993,758 | $ | 4,863,944 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Consolidated Implementation Fund |
| |||||||||||||||
Core Class: |
| |||||||||||||||
Shares sold | 10,124,183 | $ | 123,039,531 | 325,222,206 | (b) | $ | 4,218,767,955 | (b) | ||||||||
Shares repurchased | (178,136,239 | ) | (2,220,488,648 | ) | (338,943,875 | )(b) | (4,204,769,174 | )(b) | ||||||||
Purchase premium fees | — | 246,572 | — | 3,506,474 | ||||||||||||
Redemption fees | — | 4,440,977 | — | 6,894,933 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (168,012,056 | ) | $ | (2,092,761,568 | ) | (13,721,669 | ) | $ | 24,400,188 | |||||||
|
|
|
|
|
|
|
| |||||||||
International Developed Equity Allocation Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 3,949,228 | $ | 55,442,397 | 9,393,220 | $ | 150,906,997 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 135,772 | 1,917,109 | 2,148,270 | 30,814,431 | ||||||||||||
Shares repurchased | (10,921,107 | ) | (157,633,006 | ) | (9,223,733 | ) | (146,054,631 | ) | ||||||||
Purchase premiums | — | 42,741 | — | 86,862 | ||||||||||||
Redemption fees | — | 124,455 | — | 113,690 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (6,836,107 | ) | $ | (100,106,304 | ) | 2,317,757 | $ | 35,867,349 | ||||||||
|
|
|
|
|
|
|
| |||||||||
148
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Six Months Ended August 31, 2016 (Unaudited) | Year Ended February 29, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
International Equity Allocation Fund | ||||||||||||||||
Class III#: | ||||||||||||||||
Shares sold | 996,408 | $ | 25,235,823 | 3,028,332 | $ | 83,159,704 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 118,251 | 3,075,719 | 3,562,958 | 99,615,186 | ||||||||||||
Shares repurchased | (5,374,455 | ) | (138,436,406 | ) | (8,404,489 | ) | (224,630,230 | ) | ||||||||
Purchase premiums | — | 67,387 | — | 159,656 | ||||||||||||
Redemption fees | — | 367,504 | — | 482,856 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (4,259,796 | ) | $ | (109,689,973 | ) | (1,813,199 | ) | $ | (41,212,828 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Consolidated SGM Major Markets Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 679,092 | $ | 24,069,610 | 3,469,486 | $ | 116,950,581 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 6,535 | 228,420 | — | — | ||||||||||||
Shares repurchased | (21,399 | ) | (763,303 | ) | (47,109,602 | ) | (1,559,759,977 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 664,228 | $ | 23,534,727 | (43,640,116 | ) | $ | (1,442,809,396 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI: | ||||||||||||||||
Shares sold | 1,237,437 | $ | 41,265,208 | 44,028,379 | $ | 1,455,150,686 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 350,942 | 12,265,404 | — | — | ||||||||||||
Shares repurchased | (5,709,011 | ) | (195,425,013 | ) | (5,032,852 | ) | (165,850,792 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (4,120,632 | ) | $ | (141,894,401 | ) | 38,995,527 | $ | 1,289,299,894 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Consolidated Special Opportunities Fund | ||||||||||||||||
Class VI: | ||||||||||||||||
Shares sold | — | $ | — | 26,243,967 | (c) | $ | 489,248,559 | (c) | ||||||||
Shares issued to shareholders in reinvestment of distributions | 1,229,424 | 24,367,173 | 876,930 | 17,283,918 | ||||||||||||
Shares repurchased | (8,299,800 | ) | (165,328,063 | ) | (8,675,912 | )(c) | (172,289,146 | )(c) | ||||||||
Purchase premium fees | — | — | — | 2,371,022 | ||||||||||||
Redemption fees | — | 826,641 | — | 774,369 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (7,070,376 | ) | $ | (140,134,249 | ) | 18,444,985 | $ | 337,388,722 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Opportunities Allocation Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 857,117 | $ | 16,249,544 | 7,092,841 | $ | 137,972,294 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 362,304 | 6,865,656 | 9,863,675 | 190,867,800 | ||||||||||||
Shares repurchased | (8,267,462 | ) | (155,732,613 | ) | (15,958,945 | ) | (310,862,521 | ) | ||||||||
Purchase premiums | — | 7,878 | — | 108,910 | ||||||||||||
Redemption fees | — | 242,919 | — | 369,228 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (7,048,041 | ) | $ | (132,366,616 | ) | 997,571 | $ | 18,455,711 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) | 1,532,411 shares and $34,065,494 were purchased in-kind and redeemed in-kind. |
(b) | 34,102,823 shares and $444,018,756 were purchased in-kind and redeemed in-kind. |
(c) | 864,281 shares and $17,415,262 were purchased in-kind and redeemed in-kind. |
# | Shares were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
149
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
10. | Investments in affiliated companies and other Funds of the Trust |
An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities. A summary of the Fund’s transactions involving companies that are or were affiliates during the period ended August 31, 2016 is set forth below:
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Value, end of period | |||||||||||||||
Consolidated Special Opportunities Fund | ||||||||||||||||||||
Jagercor Energy Corp | $ | 155,211 | $ | — | $ | — | $ | — | $ | 137,258 | ||||||||||
Newalta Corp* | 5,007,574 | 4,671,298 | 4,926,324 | — | — | # | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totals | $ | 5,162,785 | $ | 4,671,298 | $ | 4,926,324 | $ | — | $ | 137,258 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
* | Security not an affiliate at the beginning of the period. |
# | No longer an affiliate as of August 31, 2016. |
A summary of the Funds’ transactions in the shares of other funds of GMO Trust during the period ended August 31, 2016 is set forth below:
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income* | Distributions of Realized Gains* | Value, end of period | ||||||||||||||||||
Alpha Only Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 3,011,692 | $ | 93,286,744 | $ | 84,450,000 | $ | 36,306 | $ | 433 | $ | 11,848,744 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Benchmark-Free Allocation Fund | ||||||||||||||||||||||||
GMO Debt Opportunities Fund, Class VI | $ | 775,552,374 | $ | 48,878,536 | $ | 114,361,151 | $ | 4,084,590 | $ | — | $ | 733,462,905 | ||||||||||||
GMO Emerging Country Debt Fund, Class IV | 748,622,535 | 14,925,286 | 191,142,351 | 11,401,874 | — | 678,163,582 | ||||||||||||||||||
GMO Implementation Fund | 13,227,455,053 | 123,286,103 | 2,216,047,671 | — | — | 12,159,753,156 | ||||||||||||||||||
GMO SGM Major Markets Fund, Class VI | 814,182,754 | 45,484,515 | 153,504,996 | 7,358,546 | 251,182 | 750,650,316 | ||||||||||||||||||
GMO Special Opportunities Fund, Class VI | 839,489,834 | 17,228,668 | 164,501,423 | 2,607,708 | 14,620,961 | 757,283,678 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Totals | $ | 16,405,302,550 | $ | 249,803,108 | $ | 2,839,557,592 | $ | 25,452,718 | $ | 14,872,143 | $ | 15,079,313,637 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Benchmark-Free Fund | ||||||||||||||||||||||||
GMO Debt Opportunities Fund, Class VI | $ | 246,974,456 | $ | 1,385,148 | $ | — | $ | 1,385,148 | $ | — | $ | 256,020,121 | ||||||||||||
GMO Emerging Country Debt Fund, Class IV | 242,720,374 | 4,450,808 | — | 4,450,808 | — | 285,554,548 | ||||||||||||||||||
GMO Emerging Markets Fund, Class VI | 411,052,988 | 698,915 | 9,765,960 | 698,915 | — | 511,166,184 | ||||||||||||||||||
GMO SGM Major Markets Fund, Class VI | 200,160,791 | 2,096,693 | — | 2,027,485 | 69,208 | 213,704,403 | ||||||||||||||||||
GMO Special Opportunities Fund, Class VI | 272,146,747 | 6,497,960 | — | 983,523 | 5,514,437 | 300,641,375 | ||||||||||||||||||
GMO U.S. Treasury Fund | 204,990,090 | 142,326,198 | 327,000,000 | 321,839 | 4,360 | 20,390,282 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Totals | $ | 1,578,045,446 | $ | 157,455,722 | $ | 336,765,960 | $ | 9,867,718 | $ | 5,588,005 | $ | 1,587,476,913 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Global Asset Allocation Fund | ||||||||||||||||||||||||
GMO Alpha Only Fund, Class IV | $ | 99,903,387 | $ | 1,164,892 | $ | 19,366,243 | $ | 1,164,892 | $ | — | $ | 80,290,618 | ||||||||||||
GMO Asset Allocation Bond Fund, Class VI | 666,921,092 | 4,859,076 | 139,857,549 | — | — | 535,748,824 | ||||||||||||||||||
GMO Debt Opportunities Fund, Class VI | 155,335,123 | 698,265 | 31,309,314 | 698,265 | — | 129,062,028 | ||||||||||||||||||
GMO Emerging Country Debt Fund, Class IV | 150,074,191 | 1,971,713 | 46,105,793 | 1,971,713 | — | 126,500,968 | ||||||||||||||||||
GMO Emerging Markets Fund, Class VI | 433,780,941 | 517,108 | 164,130,114 | 517,108 | — | 368,979,370 | ||||||||||||||||||
GMO International Equity Fund, Class IV | 760,145,595 | 3,639,317 | 193,388,019 | 2,788,938 | — | 635,826,967 | ||||||||||||||||||
GMO Quality Fund, Class VI | — | 222,983,019 | — | 462,463 | 2,061,813 | 225,108,513 | ||||||||||||||||||
GMO Risk Premium Fund, Class VI | 85,983,383 | 34,862 | 19,237,811 | — | 34,862 | 74,635,898 | ||||||||||||||||||
GMO SGM Major Markets Fund, Class VI | 99,883,924 | 808,840 | 23,254,088 | 782,142 | 26,698 | 82,440,581 | ||||||||||||||||||
GMO U.S. Equity Allocation Fund, Class VI | 544,247,275 | 7,694,504 | 365,220,910 | 4,131,376 | 3,563,129 | 231,431,325 | ||||||||||||||||||
GMO U.S. Treasury Fund | 320,035,653 | 25,843,505 | 97,357,334 | 627,690 | 7,883 | 248,641,428 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Totals | $ | 3,316,310,564 | $ | 270,215,101 | $ | 1,099,227,175 | $ | 13,144,587 | $ | 5,694,385 | $ | 2,738,666,520 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
150
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2016 (Unaudited)
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income* | Distributions of Realized Gains* | Value, end of period | ||||||||||||||||||
Global Developed Equity Allocation Fund | ||||||||||||||||||||||||
GMO Emerging Markets Fund, Class VI | $ | 146,525,557 | $ | 173,305 | $ | 64,367,458 | $ | 173,305 | $ | — | $ | 115,336,964 | ||||||||||||
GMO International Equity Fund, Class IV | 648,877,447 | 13,112,427 | 187,602,812 | 2,449,038 | — | 533,592,211 | ||||||||||||||||||
GMO Quality Fund, Class VI | — | 257,045,556 | 10,342,018 | 529,177 | 2,359,248 | 249,114,210 | ||||||||||||||||||
GMO U.S. Equity Allocation Fund, Class VI | 636,945,658 | 9,965,573 | 447,910,648 | 4,891,336 | 4,218,560 | 250,609,576 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Totals | $ | 1,432,348,662 | $ | 280,296,861 | $ | 710,222,936 | $ | 7,942,856 | $ | 6,577,808 | $ | 1,148,652,961 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Global Equity Allocation Fund | ||||||||||||||||||||||||
GMO Emerging Markets Fund, Class VI | $ | 643,097,271 | $ | 4,686,913 | $ | 174,547,860 | $ | 958,247 | $ | — | $ | 629,290,118 | ||||||||||||
GMO International Equity Fund, Class IV | 1,159,489,783 | 33,224,274 | 116,800,250 | 5,482,688 | — | 1,180,140,124 | ||||||||||||||||||
GMO Quality Fund, Class VI | — | 535,572,726 | 16,476,655 | 1,130,192 | 5,038,775 | 524,172,625 | ||||||||||||||||||
GMO U.S. Equity Allocation Fund, Class VI | 1,075,713,572 | 19,444,659 | 657,437,391 | 10,440,334 | 9,004,325 | 524,618,677 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Totals | $ | 2,878,300,626 | $ | 592,928,573 | $ | 965,262,156 | $ | 18,011,461 | $ | 14,043,100 | $ | 2,858,221,544 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
International Developed Equity Allocation Fund | ||||||||||||||||||||||||
GMO Emerging Markets Fund, Class VI | $ | 94,700,211 | $ | 1,314,977 | $ | 25,791,259 | $ | 150,753 | $ | — | $ | 94,503,456 | ||||||||||||
GMO International Equity Fund, Class IV | 847,974,621 | 55,570,173 | 130,029,292 | 4,065,529 | — | 850,947,867 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Totals | $ | 942,674,832 | $ | 56,885,150 | $ | 155,820,551 | $ | 4,216,282 | $ | — | $ | 945,451,323 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
International Equity Allocation Fund | ||||||||||||||||||||||||
GMO Emerging Markets Fund, Class VI | $ | 369,371,327 | $ | 10,312,330 | $ | 77,855,085 | $ | 546,369 | $ | — | $ | 392,646,145 | ||||||||||||
GMO International Equity Fund, Class IV | 765,062,070 | 36,214,608 | 77,457,619 | 3,459,320 | — | 793,376,420 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Totals | $ | 1,134,433,397 | $ | 46,526,938 | $ | 155,312,704 | $ | 4,005,689 | $ | — | $ | 1,186,022,565 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Consolidated SGM Major Markets Fund | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 939,856,415 | $ | 21,941,157 | $ | 125,000,000 | $ | 1,914,399 | $ | 26,758 | $ | 837,173,643 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Strategic Opportunities Allocation Fund | ||||||||||||||||||||||||
GMO Debt Opportunities Fund, Class VI | $ | 86,283,231 | $ | 465,210 | $ | 3,386,850 | $ | 465,210 | $ | — | $ | 85,985,781 | ||||||||||||
GMO Emerging Country Debt Fund, Class IV | 98,375,017 | 1,639,956 | 14,008,159 | 1,639,955 | — | 101,007,705 | ||||||||||||||||||
GMO Emerging Markets Fund, Class VI | 361,131,996 | 531,892 | 91,036,229 | 531,892 | — | 359,286,665 | ||||||||||||||||||
GMO International Equity Fund, Class IV | 558,786,340 | 21,486,934 | 6,429,859 | 2,721,681 | — | 624,202,867 | ||||||||||||||||||
GMO Quality Fund, Class VI | — | 203,886,300 | 432,579 | 419,678 | 1,871,064 | 205,315,586 | ||||||||||||||||||
GMO U.S. Equity Allocation Fund, Class VI | 402,543,560 | 7,286,741 | 234,716,972 | 3,912,437 | 3,374,304 | 208,945,311 | ||||||||||||||||||
GMO U.S. Treasury Fund | 143,377,530 | 256,524,868 | 32,421,299 | 667,363 | 11,348 | 367,536,768 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Totals | $ | 1,650,497,674 | $ | 491,821,901 | $ | 382,431,947 | $ | 10,358,216 | $ | 5,256,716 | $ | 1,952,280,683 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
* | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2016 through August 31, 2016. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2017. |
11. | Subsequent events |
Subsequent to August 31, 2016, GMO International Developed Equity Allocation Fund received redemption requests in the amount of $252,422,199.
151
GMO Trust Funds
Board Review of Investment Management Agreements
August 31, 2016 (Unaudited)
GMO Alpha Only Fund
Approval of renewal of management agreement for GMO Alpha Only Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. The Trustees noted that the Fund is not a standalone investment and its investment strategies are intended to complement the strategies pursued by the Manager in other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that, while the Fund may invest in other GMO funds (“underlying GMO funds”) that charge advisory fees, the Manager offsets against fees payable by the Fund to the Manager the management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to a contractual expense reimbursement arrangement with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.
152
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2016 (Unaudited)
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Benchmark-Free Allocation Fund
Approval of renewal of management agreement for GMO Benchmark-Free Allocation Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its other pooled investment vehicles and/or separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and/or accounts. The Trustees also considered the shareholder servicing and supplemental support fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not charge any advisory fees. The Trustees also noted that, with respect to all other underlying GMO funds, the Manager offsets against fees payable by the Fund to the Manager the management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to the Fund’s management agreement, shareholder servicing and supplemental support agreement, and other contractual expense reimbursement arrangements with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee structure.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the
153
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2016 (Unaudited)
Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Benchmark-Free Fund
Approval of renewal of management agreement for GMO Benchmark-Free Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the
154
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2016 (Unaudited)
Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Global Asset Allocation Fund
Approval of renewal of management agreement for GMO Global Asset Allocation Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the
155
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2016 (Unaudited)
Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Global Developed Equity Allocation Fund
Approval of renewal of management agreement for GMO Global Developed Equity Allocation Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees also considered the management fees indirectly paid by the Fund as a result of its investing in other GMO funds as compared to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those accounts. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
156
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2016 (Unaudited)
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Global Equity Allocation Fund
Approval of renewal of management agreement for GMO Global Equity Allocation Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees also considered the management fees indirectly paid by the Fund as a result of its investing in other GMO funds as compared to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those accounts. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager
157
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2016 (Unaudited)
resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Implementation Fund
Approval of renewal of management agreement for GMO Implementation Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. The Trustees noted that the Fund is not a standalone investment and its investment strategies are intended to complement the strategies pursued by the Manager in other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management agreement or any shareholder servicing and supplemental support agreement.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund.
158
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2016 (Unaudited)
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the nature, extent and quality of services to be provided supported the approval of the agreement.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO International Developed Equity Allocation Fund
Approval of renewal of management agreement for GMO International Developed Equity Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
159
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2016 (Unaudited)
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO International Equity Allocation Fund
Approval of renewal of management agreement for GMO International Equity Allocation Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees also considered the management fees indirectly paid by the Fund as a result of its investing in other GMO funds as compared to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those accounts. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager
160
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2016 (Unaudited)
resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO SGM Major Markets Fund
Approval of renewal of management agreement for GMO SGM Major Markets Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its other pooled investment vehicles and/or separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and/or accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels
161
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2016 (Unaudited)
and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee structure.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Special Opportunities Fund
Approval of renewal of management agreement for GMO Special Opportunities Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager
162
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2016 (Unaudited)
resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Strategic Opportunities Allocation Fund
Approval of renewal of management agreement for GMO Strategic Opportunities Allocation Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. The Trustees noted that the Fund is not a standalone investment and its investment strategies are intended to complement the strategies pursued by the Manager in other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.
The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.
The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.
The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO
163
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2016 (Unaudited)
funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.
The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.
In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
164
GMO Trust Funds
(A Series of GMO Trust)
August 31, 2016 (Unaudited)
Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2016.
As a shareholder of the Funds, you may incur two types of costs: (1) transactions costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and /or indirect management fees, direct and/or indirect shareholder services fees, and distribution (12b-1) and/or administration fees for Funds with Class M 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, March 1, 2016 through August 31, 2016.
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 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 Funds 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 March 1, 2016 | Ending Account Value August 31, 2016 | Expenses Paid During the Period* | Beginning Account Value March 1, 2016 | Ending Account Value August 31, 2016 | Expenses Paid During the Period* | Annualized Expense Ratio | ||||||||||||||||||||||
Alpha Only Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $ 997.60 | $3.37 | $1,000.00 | $1,021.83 | $3.41 | 0.67% | |||||||||||||||||||||
Class IV | $1,000.00 | $ 997.80 | $3.12 | $1,000.00 | $1,022.08 | $3.16 | 0.62% | |||||||||||||||||||||
Benchmark-Free Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,080.30 | $4.46 | $1,000.00 | $1,020.92 | $4.33 | 0.85% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,080.50 | $4.20 | $1,000.00 | $1,021.17 | $4.08 | 0.80% | |||||||||||||||||||||
Class MF | $1,000.00 | $1,081.00 | $4.14 | $1,000.00 | $1,021.22 | $4.02 | 0.79% | |||||||||||||||||||||
Benchmark-Free Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,103.90 | $1.43 | $1,000.00 | $1,023.84 | $1.38 | 0.27% | |||||||||||||||||||||
Global Asset Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,090.30 | $2.53 | $1,000.00 | $1,022.79 | $2.45 | 0.48% | |||||||||||||||||||||
Global Developed Equity Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,120.50 | $2.83 | $1,000.00 | $1,022.53 | $2.70 | 0.53% | |||||||||||||||||||||
Global Equity Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,139.80 | $3.13 | $1,000.00 | $1,022.28 | $2.96 | 0.58% | |||||||||||||||||||||
Implementation Fund |
| |||||||||||||||||||||||||||
Core | $1,000.00 | $1,081.40 | $0.31 | $1,000.00 | $1,024.90 | $0.31 | 0.06% | |||||||||||||||||||||
International Developed Equity Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,111.10 | $3.35 | $1,000.00 | $1,022.03 | $3.21 | 0.63% | |||||||||||||||||||||
International Equity Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,149.20 | $3.79 | $1,000.00 | $1,021.68 | $3.57 | 0.70% | |||||||||||||||||||||
SGM Major Markets Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,067.30 | $5.21 | $1,000.00 | $1,020.16 | $5.09 | 1.00% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,068.00 | $4.74 | $1,000.00 | $1,020.62 | $4.63 | 0.91% |
165
GMO Trust Funds
(A Series of GMO Trust)
Fund Expenses — (Continued)
August 31, 2016 (Unaudited)
Actual | Hypothetical |
| ||||||||||||||||||||||||||
Beginning Account Value March 1, 2016 | Ending Account Value August 31, 2016 | Expenses Paid During the Period* | Beginning Account Value March 1, 2016 | Ending Account Value August 31, 2016 | Expenses Paid During the Period* | Annualized Expense Ratio | ||||||||||||||||||||||
Special Opportunities Fund |
| |||||||||||||||||||||||||||
Class VI | $1,000.00 | $1,104.70 | $6.47 | $1,000.00 | $1,019.06 | $6.21 | 1.22% | |||||||||||||||||||||
Strategic Opportunities Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,112.80 | $2.45 | $1,000.00 | $1,022.89 | $2.35 | 0.46% |
* | Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2016, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year. |
166
Item 2. Code of Ethics.
Not applicable to this filing.
Item 3. Audit Committee Financial Expert.
Not applicable to this filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing.
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 semi-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) Not applicable to this filing.
(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 Trust | |||
By (Signature and Title): | /s/ Sheppard N. Burnett | |||
Sheppard N. Burnett, Chief Executive Officer | ||||
Date: November 2, 2016 |
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.
(Registrant) | GMO Trust | |||
By (Signature and Title): | /s/ Sheppard N. Burnett | |||
Sheppard N. Burnett, Principal Executive Officer | ||||
Date: November 2, 2016 | ||||
By (Signature and Title): | /s/ Carly Cushman | |||
Carly Cushman, Principal Financial Officer | ||||
Date: November 2, 2016 |