GMO Quality Fund (GQETX) N-CSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-04347

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: 02/28/18

Date of reporting period: 08/31/17

Item 1. Reports to Stockholders.

The semi-annual reports for each series of the registrant for the period ended August 31, 2017 are filed herewith.

GMO Trust

Semiannual Report

August 31, 2017

Asset Allocation Bond Fund

Core Plus Bond Fund

Currency Hedged International Bond Fund

Emerging Country Debt Fund

Opportunistic Income 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. The GMO Trust Statement of Additional Information includes additional information about the Trustees of GMO Trust and is available without charge, upon request, by calling 1-617-346-7646 (collect).

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.

TABLE OF CONTENTS

Asset Allocation Bond Fund
Investment Concentration Summary	1
Schedule of Investments	2
Core Plus Bond Fund
Investment Concentration Summary	5
Schedule of Investments	6
Currency Hedged International Bond Fund
Investment Concentration Summary	9
Schedule of Investments	10
Emerging Country Debt Fund
Investment Concentration Summary	13
Schedule of Investments	14
Opportunistic Income Fund
Investment Concentration Summary	24
Schedule of Investments	25
U.S. Treasury Fund
Investment Concentration Summary	36
Schedule of Investments	37
Portfolio, Counterparty and Currency Abbreviations	38
Fund Financial Statements:
Statements of Assets and Liabilities	39
Statements of Operations	43
Statements of Changes in Net Assets	45
Financial Highlights	48
Notes to Financial Statements	54
Board Review of Investment Management Agreements	100
Fund Expenses	108

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2017 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		92.8	%
Short-Term Investments		6.9
Purchased Options		0.0	^
Reverse Repurchase Agreements		0.0	^
Swap Contracts		(0.1	)
Forward Currency Contracts		(0.2	)
Other		0.6
		100.0	%

& In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

^ Rounds to 0.0%.

1

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 92.8%
		United States — 92.8%
		U.S. Government — 91.6%
	140,365,239	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/25 (a)		141,553,183
	98,247,400	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (a)		100,507,406
	10,869,844	U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/26 (a)		10,677,443
	128,187,588	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (a)		128,035,072
	88,509,327	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/27 (a)		88,675,976
	100,833,533	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (a)		114,212,732
	149,779,462	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (a)		183,181,805
	12,367,083	U.S. Treasury Inflation Indexed Bond, 3.88%, due 04/15/29 (a)		17,040,285
	34,000,000	U.S. Treasury Note, 0.75%, due 02/28/18		33,933,594
	20,000,000	U.S. Treasury Note, 2.63%, due 04/30/18		20,185,156
	12,500,000	U.S. Treasury Note, 1.00%, due 05/31/18		12,479,004
	12,500,000	U.S. Treasury Note, 1.38%, due 07/31/18		12,512,695
	20,000,000	U.S. Treasury Note, 1.38%, due 09/30/18 (b)		20,022,656
	35,000,000	U.S. Treasury Note, 1.09%, due 04/30/19		35,013,081
	40,000,000	U.S. Treasury Note, 1.25%, due 04/30/19		39,960,938
	32,500,000	U.S. Treasury Note, 1.25%, due 05/31/19		32,463,184
	50,000,000	U.S. Treasury Note, 1.25%, due 06/30/19		49,937,500
	36,000,000	U.S. Treasury Note, 1.38%, due 07/31/19		36,033,750
	90,000,000	U.S. Treasury Note, 1.25%, due 08/31/19		89,855,860
		Total U.S. Government		1,166,281,320

Par Value† / Shares		Description	Value ($)
		U.S. Government Agency — 1.2%
	15,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR + 0.24%, 0.99%, due 03/06/19		14,980,678
		TOTAL DEBT OBLIGATIONS (COST $1,167,827,690)		1,181,261,998
		SHORT-TERM INVESTMENTS — 6.9%
		Money Market Funds — 0.2%
	3,278,119	State Street Institutional Treasury Money Market Fund-Premier Class, 0.90% (c)		3,278,119
		Repurchase Agreements — 6.7%
	84,999,766	Nomura Securities International Inc. Repurchase Agreement, dated 08/31/17, maturing on 09/01/17 with a maturity value of $85,002,364 and an effective yield of 1.10%, collateralized by a U.S. Treasury Note with maturity date 11/15/24 and a market value of $86,870,091.		84,999,766
		TOTAL SHORT-TERM INVESTMENTS (COST $88,277,885)		88,277,885

PURCHASED OPTIONS — 0.0%

Description	Counterparty	Exercise Price		Expiration Date		Principal Amount		Notional Amount		Value ($)
Currency Options – Puts — 0.0%
USD Call/CHF Put	JPM		1.01		10/6/2017	USD	16,460,000	USD	16,460,000		7,259

TOTAL PURCHASED OPTIONS (COST $269,697)	7,259
TOTAL INVESTMENTS — 99.7% (Cost $1,256,375,272)	1,269,547,142
Other Assets and Liabilities (net) — 0.3%	3,648,349
TOTAL NET ASSETS — 100.0%	$1,273,195,491

2 See accompanying notes to the financial statements.

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2017 (Unaudited)

A summary of outstanding financial instruments at August 31, 2017 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
09/11/2017	BOA		CHF	36,525,724		USD	38,035,347	$	(68,247	)
10/20/2017	JPM		EUR	9,293,315		USD	10,813,896		(275,940	)
11/07/2017	GS		EUR	238,995,000		USD	262,404,560		(23,056,648	)
12/22/2017	JPM		EUR	62,184,000		USD	68,688,446		(5,769,119	)
09/15/2017	DB		JPY	1,220,282,937		USD	11,143,495		38,664
09/11/2017	BOA		USD	3,478,605		CHF	3,340,539		6,242
09/11/2017	JPM		USD	7,800,000		CHF	7,495,292		19,080
09/15/2017	JPM		USD	2,400,000		JPY	261,578,808		(19,578	)
10/20/2017	GS		USD	2,507,999		EUR	2,120,000		21,825
11/07/2017	GS		USD	263,778,782		EUR	238,995,000		21,682,427
12/22/2017	JPM		USD	69,205,942		EUR	62,184,000		5,251,624
								$	(2,169,670	)

Reverse Repurchase Agreements

Average balance outstanding	$	(47,136,414	)
Average interest rate		(0.68	)%
Maximum balance outstanding	$	(69,777,089	)

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

Swap Contracts

Interest Rate Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received)			Value ($)			Net Unrealized Appreciation/ (Depreciation)
1.67%	6 Month GBP LIBOR	N/A	GBP	27,163,000		06/16/2027		Semi-Annually	$	—		$	(324,876	)	$	(324,876	)
2.73%	6 Month AUD BBSW	N/A	AUD	13,772,000		09/15/2027		Semi-Annually		498			121,960			121,462
2.77%	6 Month AUD BBSW	N/A	AUD	11,395,000		09/15/2027		Semi-Annually		—			71,468			71,468
6 Month AUD BBSW	2.81%	N/A	AUD	5,818,000		09/15/2027		Semi-Annually		—			(17,545	)		(17,545	)
2.90%	6 Month AUD BBSW	N/A	AUD	16,724,000		09/15/2027		Semi-Annually		—			(50,787	)		(50,787	)
6 Month AUD BBSW	2.78%	N/A	AUD	7,345,000		09/15/2027		Semi-Annually		—			(40,608	)		(40,608	)
2.93%	6 Month AUD BBSW	N/A	AUD	7,355,000		09/15/2027		Semi-Annually		—			(41,078	)		(41,078	)
6 Month AUD BBSW	2.83%	N/A	AUD	5,908,000		09/15/2027		Semi-Annually		—			(9,661	)		(9,661	)
3 Month CAD LIBOR	2.21%	N/A	CAD	4,797,000		09/15/2027		Semi-Annually		(2,736	)		17,292			20,028
3 Month CAD LIBOR	2.21%	N/A	CAD	16,034,000		09/15/2027		Semi-Annually		—			51,896			51,896
3 Month CAD LIBOR	2.19%	N/A	CAD	6,627,000		09/15/2027		Semi-Annually		—			11,687			11,687
2.13%	3 Month CAD LIBOR	N/A	CAD	7,625,000		09/15/2027		Semi-Annually		—			17,440			17,440
3 Month CAD LIBOR	2.34%	N/A	CAD	10,627,000		09/15/2027		Semi-Annually		—			138,101			138,101
2.18%	3 Month CAD LIBOR	N/A	CAD	6,739,000		09/15/2027		Semi-Annually		—			(11,389	)		(11,389	)
2.18%	3 Month CAD LIBOR	N/A	CAD	9,576,000		09/15/2027		Semi-Annually		—			(15,125	)		(15,125	)
0.20%	6 Month CHF LIBOR	N/A	CHF	2,426,000		09/15/2027		Semi-Annually		(1,944	)		(987	)		957
6 Month EURIBOR	0.82%	N/A	EUR	9,926,000		09/15/2027		Annually		—			19,342			19,342
6 Month EURIBOR	0.84%	N/A	EUR	2,724,000		09/15/2027		Annually		—			10,742			10,742
0.76%	6 Month EURIBOR	N/A	EUR	7,128,000		09/15/2027		Semi-Annually		—			37,972			37,972
6 Month EURIBOR	0.82%	N/A	EUR	50,136,000		09/15/2027		Annually		2,357			131,231			128,874

See accompanying notes to the financial statements. 3

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2017 (Unaudited)

Interest Rate Swaps — (Continued)

Fund Pays		Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received)		Value ($)			Net Unrealized Appreciation/ (Depreciation)
0.95%		6 Month EURIBOR	N/A	EUR	6,028,000		09/15/2027		Semi-Annually	$	—	$	(105,829	)	$	(105,829	)
0.84%		6 Month EURIBOR	N/A	EUR	8,734,000		09/15/2027		Semi-Annually		—		(41,618	)		(41,618	)
6 Month GBP LIBOR		1.15%	N/A	GBP	26,916,000		09/15/2027		Semi-Annually		—		57,971			57,971
1.37%		6 Month GBP LIBOR	N/A	GBP	5,286,000		09/15/2027		Semi-Annually		—		(154,970	)		(154,970	)
1.42%		6 Month GBP LIBOR	N/A	GBP	6,463,000		09/15/2027		Semi-Annually		—		(228,131	)		(228,131	)
1.32%		6 Month GBP LIBOR	N/A	GBP	12,022,000		09/15/2027		Semi-Annually		—		(278,540	)		(278,540	)
1.30%		6 Month GBP LIBOR	N/A	GBP	4,676,000		09/15/2027		Semi-Annually		—		(93,680	)		(93,680	)
1.35%		6 Month GBP LIBOR	N/A	GBP	3,889,000		09/15/2027		Semi-Annually		—		(104,807	)		(104,807	)
1.29%		6 Month GBP LIBOR	N/A	GBP	4,848,000		09/15/2027		Semi-Annually		—		(93,803	)		(93,803	)
1.18%		6 Month GBP LIBOR	N/A	GBP	71,914,000		09/15/2027		Semi-Annually		—		(387,863	)		(387,863	)
3 Month NZD Bank Bill Rate		3.22%	N/A	NZD	117,099,000		09/15/2027		Semi-Annually		5,636		411,341			405,705
3 Month NZD Bank Bill Rate		3.31%	N/A	NZD	12,867,000		09/15/2027		Semi-Annually		—		118,927			118,927
3 Month NZD Bank Bill Rate		3.18%	N/A	NZD	6,851,000		09/15/2027		Semi-Annually		—		4,968			4,968
3 Month NZD Bank Bill Rate		3.18%	N/A	NZD	6,568,000		09/15/2027		Semi-Annually		—		6,797			6,797
3.16%		3 Month NZD Bank Bill Rate	N/A	NZD	30,248,000		09/15/2027		Quarterly		—		15,540			15,540
1.18%		3 Month SEK STIBOR	N/A	SEK	94,561,000		09/15/2027		Quarterly		—		(21,874	)		(21,874	)
1.19%		3 Month SEK STIBOR	N/A	SEK	64,578,000		09/15/2027		Quarterly		—		(25,051	)		(25,051	)
3 Month SEK STIBOR	��	1.07%	N/A	SEK	273,841,000		09/15/2027		Annually		—		(300,907	)		(300,907	)
3 Month SEK STIBOR		1.07%	N/A	SEK	182,009,000		09/15/2027		Annually		—		(204,400	)		(204,400	)
3 Month USD LIBOR		2.21%	N/A	USD	14,216,000		09/15/2027		Semi-Annually		—		169,245			169,245
2.39%		3 Month USD LIBOR	N/A	USD	4,619,000		09/15/2027		Quarterly		—		(133,683	)		(133,683	)
2.30%		3 Month USD LIBOR	N/A	USD	5,244,000		09/15/2027		Quarterly		—		(106,981	)		(106,981	)
2.24%		3 Month USD LIBOR	N/A	USD	5,200,000		09/15/2027		Quarterly		—		(78,862	)		(78,862	)
2.15%		3 Month USD LIBOR	N/A	USD	8,972,000		09/15/2027		Quarterly		—		(62,729	)		(62,729	)
2.27%		3 Month USD LIBOR	N/A	USD	6,247,000		09/15/2027		Quarterly		—		(112,526	)		(112,526	)
										$	3,811	$	(1,634,390	)	$	(1,638,201	)

As of August 31, 2017, 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, 2017.

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 38.

4 See accompanying notes to the financial statements.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2017 (Unaudited)

Asset Class Summary†	% of Total Net Assets
Debt Obligations		85.5	%
Short-Term Investments		14.5
Mutual Funds		15.5
Swap Contracts		0.3
Loan Participations		0.2
Rights/Warrants		0.1
Futures Contracts		0.0	^
Purchased Options		0.0	^
Loan Assignments		0.0	^
Written Options/Credit Linked Options		(0.0	)^
Forward Currency Contracts		(0.0	)^
Reverse Repurchase Agreements		(0.1	)
Securities Sold Short		(2.9	)
Other		(13.1	)
		100.0	%
Country/Region Summary‡	% of Investments
United States		91.9	%
New Zealand		9.3
Euro Region		5.5	§
Other Emerging		5.0	¥
Sweden		4.2
Canada		1.3
Japan		0.1
Australia		(2.8	)
United Kingdom		(14.5	)
		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 represents 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%.

5

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 61.4%
		United States — 61.4%
		U.S. Government — 46.1%
	3,664,000	U.S. Treasury Bond, 6.25%, due 05/15/30		5,297,629
	24,596,000	U.S. Treasury Bond, 3.75%, due 11/15/43		29,546,906
	37,337,000	U.S. Treasury Bond, 3.38%, due 05/15/44 (a)		42,208,312
	84,476,000	U.S. Treasury Note, 1.50%, due 02/28/19		84,710,289
	56,902,000	U.S. Treasury Note, 1.63%, due 06/30/19		57,206,514
	72,266,000	U.S. Treasury Note, 2.00%, due 02/28/21		73,423,385
	56,920,000	U.S. Treasury Note, 1.75%, due 11/30/21		57,173,471
	41,209,000	U.S. Treasury Note, 2.00%, due 02/15/23		41,662,943
	24,728,000	U.S. Treasury Note, 2.50%, due 05/15/24		25,624,390
	32,059,000	U.S. Treasury Note, 2.00%, due 08/15/25		31,985,114
	11,467,000	U.S. Treasury Note, 2.25%, due 02/15/27		11,596,004
				460,434,957
		U.S. Government Agency — 15.3%
	19,590,000	Federal Home Loan Mortgage Corp., TBA, 3.50%, due 09/13/47		20,300,137
	39,990,000	Federal National Mortgage Association, TBA, 2.50%, due 09/18/32		40,546,109
	19,760,000	Federal National Mortgage Association, TBA, 3.00%, due 09/13/47		19,982,300
	35,820,000	Federal National Mortgage Association, TBA, 4.00%, due 09/13/47		37,841,871
	32,480,000	Government National Mortgage Association, TBA, 3.50%, due 09/21/47		33,869,280
				152,539,697
		TOTAL DEBT OBLIGATIONS (COST $605,817,057)		612,974,654
		MUTUAL FUNDS — 50.5%
		United States — 35.1%
		Affiliated Issuers — 35.1%
	1,715,822	GMO Emerging Country Debt Fund, Class IV		51,834,992
	7,780,932	GMO Opportunistic Income Fund, Class VI		206,116,885
	3,684,373	GMO U.S. Treasury Fund		92,072,492
				350,024,369
		Exchange-Traded Fund — 15.4%
	1,267,900	iShares iBoxx $ Investment Grade Corporate Bond ETF		154,189,319
		TOTAL MUTUAL FUNDS (COST $494,677,028)		504,213,688

	Par Value†		Description	Value ($)
			SHORT-TERM INVESTMENTS — 3.4%
			Foreign Government Obligation — 3.0%
JPY		3,300,000,000	Japan Treasury Discount Bill, Zero Coupon, due 11/20/17		30,025,663
			Money Market Funds — 0.4%
		3,942,809	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.93% (b)		3,942,809
			TOTAL SHORT-TERM INVESTMENTS (COST $34,090,417)		33,968,472
			TOTAL INVESTMENTS — 115.3% (Cost $1,134,584,502)		1,151,156,814
			Other Assets and Liabilities (net) — (15.3%)		(152,879,380	)
			TOTAL NET ASSETS — 100.0%		$998,277,434

A summary of outstanding financial instruments at August 31, 2017 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
09/11/2017	BOA		CHF	13,005,010		USD	13,542,512	$	(24,299	)
09/11/2017	GS		CHF	8,467,391		USD	8,890,000		56,827
10/20/2017	JPM		EUR	5,860,023		USD	6,804,105		(188,739	)
11/07/2017	GS		EUR	4,716,000		USD	5,177,932		(454,968	)
09/15/2017	DB		JPY	767,940,241		USD	7,012,749		24,332
11/20/2017	GS		JPY	3,300,000,000		USD	30,061,352		(61,508	)
11/07/2017	GS		USD	5,205,049		EUR	4,716,000		427,851
								$	(220,504	)

6 See accompanying notes to the financial statements.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2017 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount			Value and Net Unrealized Appreciation (Depreciation)
Buys
169	U.S. Long Bond (CBT)	December 2017	$	26,379,844	��	$	134,955
31	U.S. Treasury Note 2 Yr. (CBT)	December 2017		6,705,688			2,875
58	U.S. Treasury Note 5 Yr. (CBT)	December 2017		6,873,000			11,641
446	U.S. Treasury Note 10 Yr. (CBT)	December 2017		56,635,031			163,887
129	U.S. Treasury Ultra 10 Yr. (CBT)	December 2017		17,612,531			72,657
			$	114,206,094		$	386,015

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

Interest Rate Swaps

Fund Pays	Fund Receives			Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received)			Value ($)			Net Unrealized Appreciation/ (Depreciation)
2.90%		6 Month AUD BBSW		N/A		AUD	7,263,000		09/15/2027		Semi-Annually	$	—		$	(22,056	)	$	(22,056	)
2.93%		6 Month AUD BBSW		N/A		AUD	2,668,000		09/15/2027		Semi-Annually		—			(14,901	)		(14,901	)
2.94%		6 Month AUD BBSW		N/A		AUD	32,916,000		09/15/2027		Semi-Annually		—			(207,140	)		(207,140	)
6 Month AUD BBSW		2.83	%	N/A		AUD	7,851,000		09/15/2027		Semi-Annually		—			(12,838	)		(12,838	)
6 Month AUD BBSW		2.78	%	N/A		AUD	8,465,000		09/15/2027		Semi-Annually		—			(46,800	)		(46,800	)
2.77%		6 Month AUD BBSW		N/A		AUD	4,256,000		09/15/2027		Semi-Annually		—			26,693			26,693
2.73%		6 Month AUD BBSW		N/A		AUD	4,256,000		09/15/2027		Semi-Annually		—			37,690			37,690
2.18%		3 Month CAD LIBOR		N/A		CAD	10,535,000		09/15/2027		Semi-Annually		—			(16,640	)		(16,640	)
3 Month CAD LIBOR		2.21	%	N/A		CAD	5,323,000		09/15/2027		Semi-Annually		(3,036	)		19,189			22,225
3 Month CAD LIBOR		2.34	%	N/A		CAD	9,078,000		09/15/2027		Semi-Annually		—			117,971			117,971
3 Month CAD LIBOR		2.21	%	N/A		CAD	14,516,000		09/15/2027		Semi-Annually		—			46,983			46,983
3 Month CAD LIBOR		2.19	%	N/A		CAD	6,355,000		09/15/2027		Semi-Annually		—			11,208			11,208
2.13%		3 Month CAD LIBOR		N/A		CAD	8,244,000		09/15/2027		Semi-Annually		—			18,855			18,855
0.94%		6 Month EURIBOR		N/A		EUR	7,079,000		09/15/2027		Semi-Annually		—			(110,989	)		(110,989	)
0.95%		6 Month EURIBOR		N/A		EUR	2,391,000		09/15/2027		Semi-Annually		—			(41,977	)		(41,977	)
6 Month EURIBOR		0.82	%	N/A		EUR	19,309,000		09/15/2027		Annually		—			50,541			50,541
6 Month EURIBOR		0.82	%	N/A		EUR	3,703,000		09/15/2027		Annually		—			7,216			7,216
0.76%		6 Month EURIBOR		N/A		EUR	2,968,000		09/15/2027		Semi-Annually		—			15,811			15,811
6 Month EURIBOR		0.95	%	N/A		EUR	34,271,000		09/15/2027		Annually		—			597,646			597,646
6 Month EURIBOR		0.84	%	N/A		EUR	2,589,000		09/15/2027		Annually		—			10,210			10,210
1.67%		6 Month GBP LIBOR		N/A		GBP	9,658,000		06/16/2027		Semi-Annually		—			(115,512	)		(115,512	)
1.37%		6 Month GBP LIBOR		N/A		GBP	1,387,000		09/15/2027		Semi-Annually		—			(40,663	)		(40,663	)
1.42%		6 Month GBP LIBOR		N/A		GBP	2,261,000		09/15/2027		Semi-Annually		—			(79,809	)		(79,809	)
1.35%		6 Month GBP LIBOR		N/A		GBP	1,432,000		09/15/2027		Semi-Annually		—			(38,592	)		(38,592	)
1.27%		6 Month GBP LIBOR		N/A		GBP	61,962,000		09/15/2027		Semi-Annually		—			(1,025,182	)		(1,025,182	)
1.32%		6 Month GBP LIBOR		N/A		GBP	7,755,000		09/15/2027		Semi-Annually		—			(179,677	)		(179,677	)
1.30%		6 Month GBP LIBOR		N/A		GBP	3,016,000		09/15/2027		Semi-Annually		—			(60,423	)		(60,423	)
1.29%		6 Month GBP LIBOR		N/A		GBP	3,770,000		09/15/2027		Semi-Annually		—			(72,945	)		(72,945	)
1.18%		6 Month GBP LIBOR		N/A		GBP	27,979,000		09/15/2027		Semi-Annually		—			(150,903	)		(150,903	)
3 Month NZD Bank Bill Rate		3.22	%	N/A		NZD	41,412,000		09/15/2027		Semi-Annually		—			145,470			145,470
3 Month NZD Bank Bill Rate		3.34	%	N/A		NZD	67,354,000		09/15/2027		Semi-Annually		—			738,468			738,468
3 Month NZD Bank Bill Rate		3.31	%	N/A		NZD	11,975,000		09/15/2027		Semi-Annually		—			110,683			110,683
3 Month NZD Bank Bill Rate		3.18	%	N/A		NZD	4,679,000		09/15/2027		Semi-Annually		—			3,393			3,393
3 Month NZD Bank Bill Rate		3.18	%	N/A		NZD	6,575,000		09/15/2027		Semi-Annually		—			6,804			6,804
3 Month SEK STIBOR		1.07	%	N/A		SEK	104,904,000		09/15/2027		Annually		—			(115,273	)		(115,273	)
3 Month SEK STIBOR		1.07	%	N/A		SEK	67,550,000		09/15/2027		Annually		—			(75,860	)		(75,860	)
1.19%		3 Month SEK STIBOR		N/A		SEK	88,146,000		09/15/2027		Quarterly		—			(34,193	)		(34,193	)

See accompanying notes to the financial statements. 7

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2017 (Unaudited)

Interest Rate Swaps — (continued)

Fund Pays	Fund Receives			Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received)			Value ($)			Net Unrealized Appreciation/ (Depreciation)
3 Month SEK STIBOR		1.26	%	N/A		SEK	257,462,000		09/15/2027		Annually	$	—		$	317,963		$	317,963
2.39%		3 Month USD LIBOR		N/A		USD	1,724,000		09/15/2027		Quarterly		—			(49,896	)		(49,896	)
2.30%		3 Month USD LIBOR		N/A		USD	1,975,000		09/15/2027		Quarterly		—			(40,291	)		(40,291	)
2.25%		3 Month USD LIBOR		N/A		USD	11,327,000		09/15/2027		Quarterly		—			(176,463	)		(176,463	)
2.27%		3 Month USD LIBOR		N/A		USD	4,849,000		09/15/2027		Quarterly		—			(87,344	)		(87,344	)
2.15%		3 Month USD LIBOR		N/A		USD	12,251,000		09/15/2027		Quarterly		—			(85,655	)		(85,655	)
3 Month USD LIBOR		2.21	%	N/A		USD	13,352,000		09/15/2027		Semi-Annually		—			158,959			158,959
												$	(3,036	)	$	(460,269	)	$	(457,233	)

As of August 31, 2017, 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 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, 2017.

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 38.

8 See accompanying notes to the financial statements.

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2017 (Unaudited)

Asset Class Summary†	% of Total Net Assets
Debt Obligations		64.0	%
Short-Term Investments		36.7
Futures Contracts		0.1
Loan Participations		0.1
Rights/Warrants		0.1
Loan Assignments		0.0	^
Purchased Options		0.0	^
Written Options/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Swap Contracts		(0.5	)
Securities Sold Short		(0.5	)
Forward Currency Contracts		(1.1	)
Other		1.1
		100.0	%
Country/Region Summary‡	% of Investments
France		17.3	%
Italy		14.2
New Zealand		14.1
Germany		11.2
Spain		8.6
Euro Region		7.7	§
Sweden		5.5
Belgium		5.4
United Kingdom		5.0
Canada		4.3
Netherlands		4.2
Other Emerging		4.2	¥
Australia		0.3
Switzerland		0.0	^
Other Developed		(2.0	)☐
		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 represents between (1.0)% and 1.0% of Investments.

^☐  “Other Developed” is comprised of developed countries that each represents 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%.

9

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 52.7%
		Belgium — 6.3%
		Foreign Government Obligations
EUR	1,130,000	Belgium Government Bond, Reg S, 4.25%, due 09/28/21		1,602,548
EUR	590,000	Belgium Government Bond, Reg S, 5.00%, due 03/28/35		1,130,598
		Total Belgium		2,733,146
		France — 3.8%
		Foreign Government Obligations
EUR	850,000	France Government Bond OAT, Reg S, 4.50%, due 04/25/41		1,621,765
		Italy — 15.4%
		Foreign Government Obligations
EUR	4,000,000	Buoni Poliennali Del Tesoro, 3.75%, due 05/01/21		5,347,495
EUR	910,000	Buoni Poliennali Del Tesoro, Reg S, 4.00%, due 02/01/37		1,274,796
		Total Italy		6,622,291
		Netherlands — 4.6%
		Foreign Government Obligations
EUR	1,050,000	Netherlands Government Bond, 5.50%, due 01/15/28		1,888,614
EUR	70,000	Netherlands Government Bond, Reg S, 4.00%, due 07/15/19		90,692
		Total Netherlands		1,979,306
		Spain — 13.2%
		Foreign Government Obligations
EUR	3,040,000	Government of Spain, Reg S, 5.50%, due 04/30/21		4,349,344
EUR	860,000	Government of Spain, Reg S, 4.20%, due 01/31/37		1,318,630
		Total Spain		5,667,974
		United Kingdom — 9.4%
		Foreign Government Obligations
GBP	2,250,000	United Kingdom Gilt, Reg S, 3.50%, due 01/22/45		4,022,642
		TOTAL DEBT OBLIGATIONS (COST $22,288,990)		22,647,124

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 42.9%
		United States 42.9%
		Affiliated Issuers
	72,350	GMO Emerging Country Debt Fund, Class IV		2,185,684
	111,902	GMO Opportunistic Income Fund, Class VI		2,964,286
	530,166	GMO U.S. Treasury Fund		13,248,856
		TOTAL MUTUAL FUNDS (COST $17,405,017)		18,398,826
		SHORT-TERM INVESTMENTS — 4.6%
		Money Market Funds — 0.5%
	209,178	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.93% (a)		209,178
		U.S. Government — 4.1%
	750,000	U.S. Treasury Bill, 0.97%, due 11/24/17 (b) (c)		748,318
	500,000	U.S. Treasury Bill, 0.98%, due 12/07/17 (b) (c)		498,685
	500,000	U.S. Treasury Bill, 1.10%, due 10/19/17 (b)		499,262
		Total U.S. Government		1,746,265
		TOTAL SHORT-TERM INVESTMENTS (COST $1,955,230)		1,955,443
		TOTAL INVESTMENTS — 100.2% (Cost $41,649,237)		43,001,393
		Other Assets and Liabilities (net) — (0.2%)		(67,316	)
		TOTAL NET ASSETS — 100.0%		$42,934,077

A summary of outstanding financial instruments at August 31, 2017 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation)
09/11/2017	BOA	CHF	1,313,477	USD	1,367,764		$    (2,454)
10/20/2017	JPM	EUR	20,353,748	USD	23,684,049		(604,350)
11/07/2017	GS	EUR	1,404,000	USD	1,541,522		(135,449)
10/20/2017	DB	GBP	6,303,000	USD	8,237,548		74,690
09/15/2017	DB	JPY	39,435,500	USD	360,121		1,250
09/11/2017	MSCI	USD	412,447	CHF	396,093		757
10/20/2017	DB	USD	4,129,367	GBP	3,212,000		30,415
10/20/2017	JPM	USD	5,053,124	EUR	4,267,000		38,743
11/07/2017	GS	USD	1,549,595	EUR	1,404,000		127,376
							$(469,022)

10 See accompanying notes to the financial statements.

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2017 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Value and Net Unrealized Appreciation (Depreciation)
Buys
11	Australian Government Bond 10 Yr.	September 2017	$	1,124,976	$	(23,561	)
11	Australian Government Bond 3 Yr.	September 2017		974,989		(6,946	)
11	Canadian Government Bond 10 Yr.	December 2017		1,217,818		2,445
9	Euro BOBL	September 2017		1,426,469		5,253
6	Euro Bund	September 2017		1,179,118		2,351
7	Euro BUXL Bond 30 Yr.	September 2017		1,402,803		3,660
29	Euro OATs	September 2017		5,204,698		40,017
13	Euro-BTP	September 2017		2,125,455		32,486
9	UK Gilt Long Bond	December 2017		1,481,505		2,965
			$	16,137,831	$	58,670

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

Interest Rate Swaps

Fund Pays	Fund Receives			Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received)			Value ($)			Net Unrealized Appreciation/ (Depreciation)
3 Month EURIBOR		(0.22	)%	N/A		EUR	10,113,000		03/21/2018		Annually	$	—		$	6,926		$	6,926
1.92%		3 Month USD LIBOR		N/A		USD	665,000		12/16/2020		Quarterly		—			(5,915	)		(5,915	)
2.43%		3 Month USD LIBOR		N/A		USD	816,000		12/17/2025		Quarterly		—			(27,355	)		(27,355	)
1.67%		6 Month GBP LIBOR		N/A		GBP	929,000		06/16/2027		Semi-Annually		—			(11,111	)		(11,111	)
2.77%		6 Month AUD BBSW		N/A		AUD	392,000		09/15/2027		Semi-Annually		—			2,459			2,459
2.73%		6 Month AUD BBSW		N/A		AUD	392,000		09/15/2027		Semi-Annually		—			3,471			3,471
2.90%		6 Month AUD BBSW		N/A		AUD	574,000		09/15/2027		Semi-Annually		—			(1,743	)		(1,743	)
2.93%		6 Month AUD BBSW		N/A		AUD	216,000		09/15/2027		Semi-Annually		—			(1,206	)		(1,206	)
2.94%		6 Month AUD BBSW		N/A		AUD	867,000		09/15/2027		Semi-Annually		—			(5,456	)		(5,456	)
6 Month AUD BBSW		2.81	%	N/A		AUD	282,000		09/15/2027		Semi-Annually		—			(850	)		(850	)
6 Month AUD BBSW		2.83	%	N/A		AUD	297,000		09/15/2027		Semi-Annually		—			(486	)		(486	)
6 Month AUD BBSW		2.78	%	N/A		AUD	363,000		09/15/2027		Semi-Annually		—			(2,007	)		(2,007	)
3 Month CAD LIBOR		2.21	%	N/A		CAD	253,000		09/15/2027		Semi-Annually		(144	)		912			1,056
3 Month CAD LIBOR		2.34	%	N/A		CAD	431,000		09/15/2027		Semi-Annually		—			5,601			5,601
3 Month CAD LIBOR		2.21	%	N/A		CAD	709,000		09/15/2027		Semi-Annually		—			2,295			2,295
3 Month CAD LIBOR		2.19	%	N/A		CAD	308,000		09/15/2027		Semi-Annually		—			543			543
2.13%		3 Month CAD LIBOR		N/A		CAD	370,000		09/15/2027		Semi-Annually		—			846			846
2.18%		3 Month CAD LIBOR		N/A		CAD	161,000		09/15/2027		Semi-Annually		—			(272	)		(272	)
2.18%		3 Month CAD LIBOR		N/A		CAD	466,000		09/15/2027		Semi-Annually		—			(736	)		(736	)
6 Month EURIBOR		0.82	%	N/A		EUR	1,786,000		09/15/2027		Annually		—			4,675			4,675
6 Month EURIBOR		0.82	%	N/A		EUR	326,000		09/15/2027		Annually		—			635			635
0.76%		6 Month EURIBOR		N/A		EUR	354,000		09/15/2027		Semi-Annually		—			1,886			1,886
6 Month EURIBOR		0.95	%	N/A		EUR	948,000		09/15/2027		Annually		—			16,532			16,532

See accompanying notes to the financial statements. 11

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2017 (Unaudited)

Interest Rate Swaps — (continued)

Fund Pays	Fund Receives			Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received)			Value ($)			Net Unrealized Appreciation/ (Depreciation)
6 Month EURIBOR		0.84	%	N/A		EUR	130,000		09/15/2027		Annually	$	—		$	513		$	513
0.95%		6 Month EURIBOR		N/A		EUR	249,000		09/15/2027		Semi-Annually		—			(4,371	)		(4,371	)
0.94%		6 Month EURIBOR		N/A		EUR	291,000		09/15/2027		Semi-Annually		—			(4,562	)		(4,562	)
0.84%		6 Month EURIBOR		N/A		EUR	266,000		09/15/2027		Semi-Annually		—			(1,267	)		(1,267	)
6 Month GBP LIBOR		1.15	%	N/A		GBP	684,000		09/15/2027		Semi-Annually		—			1,473			1,473
1.42%		6 Month GBP LIBOR		N/A		GBP	117,000		09/15/2027		Semi-Annually		—			(4,130	)		(4,130	)
1.35%		6 Month GBP LIBOR		N/A		GBP	116,000		09/15/2027		Semi-Annually		—			(3,126	)		(3,126	)
1.27%		6 Month GBP LIBOR		N/A		GBP	1,456,000		09/15/2027		Semi-Annually		—			(24,090	)		(24,090	)
1.32%		6 Month GBP LIBOR		N/A		GBP	394,000		09/15/2027		Semi-Annually		—			(9,129	)		(9,129	)
1.30%		6 Month GBP LIBOR		N/A		GBP	153,000		09/15/2027		Semi-Annually		—			(3,065	)		(3,065	)
1.29%		6 Month GBP LIBOR		N/A		GBP	256,000		09/15/2027		Semi-Annually		—			(4,953	)		(4,953	)
1.18%		6 Month GBP LIBOR		N/A		GBP	2,536,000		09/15/2027		Semi-Annually		—			(13,678	)		(13,678	)
3 Month NZD Bank Bill Rate		3.22	%	N/A		NZD	4,044,000		09/15/2027		Semi-Annually		—			14,206			14,206
3 Month NZD Bank Bill Rate		3.34	%	N/A		NZD	1,143,000		09/15/2027		Semi-Annually		—			12,532			12,532
3 Month NZD Bank Bill Rate		3.31	%	N/A		NZD	565,000		09/15/2027		Semi-Annually		—			5,222			5,222
3 Month NZD Bank Bill Rate		3.18	%	N/A		NZD	298,000		09/15/2027		Semi-Annually		—			216			216
3 Month NZD Bank Bill Rate		3.18	%	N/A		NZD	327,000		09/15/2027		Semi-Annually		—			338			338
3.16%		3 Month NZD Bank Bill Rate		N/A		NZD	752,000		09/15/2027		Quarterly		—			386			386
3 Month SEK STIBOR		1.26	%	N/A		SEK	5,711,000		09/15/2027		Annually		—			7,053			7,053
3 Month SEK STIBOR		1.07	%	N/A		SEK	9,610,000		09/15/2027		Annually		—			(10,560	)		(10,560	)
3 Month SEK STIBOR		1.07	%	N/A		SEK	5,055,000		09/15/2027		Annually		—			(5,677	)		(5,677	)
1.18%		3 Month SEK STIBOR		N/A		SEK	2,439,000		09/15/2027		Quarterly		—			(564	)		(564	)
1.19%		3 Month SEK STIBOR		N/A		SEK	3,283,000		09/15/2027		Quarterly		—			(1,274	)		(1,274	)
3 Month USD LIBOR		2.21	%	N/A		USD	630,000		09/15/2027		Semi-Annually		—			7,500			7,500
2.39%		3 Month USD LIBOR		N/A		USD	145,000		09/15/2027		Quarterly		—			(4,197	)		(4,197	)
2.30%		3 Month USD LIBOR		N/A		USD	170,000		09/15/2027		Quarterly		—			(3,468	)		(3,468	)
2.25%		3 Month USD LIBOR		N/A		USD	395,000		09/15/2027		Quarterly		—			(6,154	)		(6,154	)
2.27%		3 Month USD LIBOR		N/A		USD	233,000		09/15/2027		Quarterly		—			(4,197	)		(4,197	)
2.15%		3 Month USD LIBOR		N/A		USD	488,000		09/15/2027		Quarterly		—			(3,412	)		(3,412	)
2.72%		3 Month USD LIBOR		N/A		USD	205,000		12/19/2035		Quarterly		—			(12,379	)		(12,379	)
												$	(144	)	$	(85,170	)	$	(85,026	)

As of August 31, 2017, 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, 2017.

(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 38.

12 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2017 (Unaudited)

Asset Class Summary†	% of Total Net Assets
Debt Obligations		79.8	%
Short-Term Investments		17.4
Loan Participations		1.6
Rights/Warrants		1.3
Loan Assignments		0.1
Purchased Options		0.0	^
Futures Contracts		0.0	^
Securities Sold Short		(0.0	)^
Forward Currency Contracts		(0.0	)^
Written Options/Credit Linked Options		(0.1	)
Swap Contracts		(0.7	)
Reverse Repurchase Agreements		(0.7	)
Other		1.3
		100.0	%
Country/Region Summary‡	% of Investments
Mexico		14.6	%
Other Emerging		12.5	•
Turkey		7.7
Argentina		6.7
Brazil		6.3
Russia		6.1
Venezuela		4.7
Indonesia		4.6
Pakistan		2.6
China		2.4
Philippines		2.3
Tunisia		2.3
Colombia		2.0
Ukraine		1.9
Dominican Republic		1.8
Kazakhstan		1.8
Costa Rica		1.8
Peru		1.8
Israel		1.8
Chile		1.8
South Africa		1.7
Uruguay		1.7
Sri Lanka		1.5
Romania		1.1
Bahrain		1.1
Congo		1.1
Hungary		1.1
Ecuador		1.0
El Salvador		0.9
Gabon		0.9
Other Developed		0.4	☐
		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. 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%.

13

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 79.4%
		Albania — 0.9%
		Foreign Government Obligations
	49,649,849	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b)		37,929,752
		Angola — 0.1%
		Foreign Government Obligations
	3,800,000	Republic of Angola, Reg S, 9.50%, due 11/12/25		4,080,250
		Argentina — 5.2%
		Foreign Government Obligations
JPY	348,954,886	Republic of Argentina, 4.33%, due 12/31/33 (c)		2,293,354
JPY	296,142,502	Republic of Argentina, 4.33%, due 12/31/33 (c)		1,946,268
	15,487,000	Republic of Argentina, 144A, 7.13%, due 06/28/2117		15,293,412
EUR	8,008,646	Republic of Argentina Discount Bond, 7.82%, due 12/31/33		10,463,453
	40,308,593	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		45,599,095
	10,786,557	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		12,350,608
EUR	51,350,000	Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38		41,109,685
EUR	112,130,000	Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38		87,432,829
		Total Argentina		216,488,704
		Armenia — 0.4%
		Foreign Government Obligations
	14,519,000	Republic of Armenia, Reg S, 7.15%, due 03/26/25		16,170,536
		Azerbaijan — 0.7%
		Foreign Government Agency
	14,485,000	Southern Gas Corridor CJSC, 144A, 6.88%, due 03/24/26		16,259,412
	4,994,000	Southern Gas Corridor CJSC, Reg S, 6.88%, due 03/24/26		5,605,765
	7,987,000	State Oil Company of the Azerbaijan Republic, Reg S, 6.95%, due 03/18/30		8,725,798
		Total Azerbaijan		30,590,975
		Bahrain — 0.7%
		Foreign Government Obligations
	31,773,000	Bahrain Government International Bond, Reg S, 6.00%, due 09/19/44		27,721,943

Par Value†		Description	Value ($)
		Belarus — 0.2%
		Foreign Government Obligations
	7,044,000	Republic of Belarus, 144A, 7.63%, due 06/29/27		7,755,444
		Belize — 0.5%
		Foreign Government Obligations
	33,578,000	Republic of Belize, Reg S, Step Up, 4.94%, due 02/20/34		20,776,045
		Bosnia & Herzegovina — 0.0%
		Foreign Government Obligations
DEM	1,347,080	Bosnia & Herzegovina, Series A, Variable Rate, 0.50%, due 12/22/2117		807,791
		Brazil — 3.0%
		Foreign Government Agency — 2.2%
GBP	12,895,000	Petrobras Global Finance BV, 6.63%, due 01/16/34		16,966,338
	79,239,000	Petrobras Global Finance BV, 6.85%, due 06/05/2115		74,068,655
				91,034,993
		Foreign Government Obligations — 0.8%
	4,435,000	Republic of Brazil, 8.25%, due 01/20/34		5,732,237
	21,897,000	Republic of Brazil, 7.13%, due 01/20/37		25,838,460
				31,570,697
		Total Brazil		122,605,690
		Cameroon — 0.1%
		Foreign Government Obligations
	4,500,000	Republic of Cameroon International Bond, Reg S, 9.50%, due 11/19/25		5,298,750
		Chile — 1.3%
		Corporate Debt — 0.7%
	20,411,000	Empresa Nacional de Electricidad SA, 8.13%, due 02/01/97 (c)		28,218,208
		Foreign Government Agency — 0.6%
	7,300,000	Corp Nacional del Cobre de Chile, 144A, 4.50%, due 08/01/47		7,563,384
	17,718,000	Corp Nacional del Cobre de Chile, Reg S, 4.50%, due 09/16/25		19,178,849
				26,742,233
		Total Chile		54,960,441
		Colombia — 1.9%
		Foreign Government Agency — 1.2%
	43,011,000	Ecopetrol SA, 7.38%, due 09/18/43		48,387,375

14 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, 2017 (Unaudited)

Par Value†		Description	Value ($)
		Colombia — continued
		Foreign Government Obligations — 0.7%
	647,000	Colombia Government International Bond, 8.38%, due 02/15/27		790,068
	19,000,000	Colombia Government International Bond, 5.63%, due 02/26/44		21,327,500
	3,800,000	Republic of Colombia, 11.85%, due 03/09/28 (b)		5,728,797
				27,846,365
		Total Colombia		76,233,740
		Congo Republic (Brazzaville) — 1.7%
		Foreign Government Obligations
	85,502,280	Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29 (c) (d)		69,256,847
		Costa Rica — 1.3%
		Foreign Government Agency — 0.3%
	16,068,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		14,742,390
		Foreign Government Obligations — 1.0%
	37,731,000	Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45		40,277,842
		Total Costa Rica		55,020,232
		Dominican Republic — 2.0%
		Asset-Backed Securities — 0.6%
	22,708,498	Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24		24,243,878
		Foreign Government Agency — 0.2%
	7,516,000	Banco de Reservas de la Republica Dominicana, Reg S, 7.00%, due 02/01/23		7,897,099
		Foreign Government Obligations — 1.2%
	15,687,000	Dominican Republic International Bond, Reg S, 8.63%, due 04/20/27		19,059,705
	28,531,000	Dominican Republic International Bond, Reg S, 6.85%, due 01/27/45		31,954,720
				51,014,425
		Total Dominican Republic		83,155,402
		Ecuador — 0.9%
		Foreign Government Obligations
	18,231,000	Ecuador Government International Bond, Reg S, 7.95%, due 06/20/24		17,843,591
	7,244,000	Ecuador Government International Bond, 144A, 9.65%, due 12/13/26		7,597,145
	10,741,000	Ecuador Government International Bond, 144A, 9.63%, due 06/02/27		11,237,771
		Total Ecuador		36,678,507

Par Value†		Description	Value ($)
		Egypt — 0.3%
		Foreign Government Obligations
	10,990,000	Egypt Government International Bond, Reg S, 8.50%, due 01/31/47		12,363,750
		El Salvador — 0.7%
		Foreign Government Obligations
	24,275,000	El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35		24,092,937
	4,098,000	El Salvador Government International Bond, Reg S, 7.63%, due 02/01/41		4,026,285
		Total El Salvador		28,119,222
		Ethiopia — 0.1%
		Foreign Government Obligations
	4,190,000	Federal Democratic Republic of Ethiopia, Reg S, 6.63%, due 12/11/24		4,273,800
		Gabon — 1.0%
		Foreign Government Obligations
	38,962,000	Gabonese Republic, Reg S, 6.38%, due 12/12/24		38,377,570
	4,744,000	Gabonese Republic, Reg S, 6.95%, due 06/16/25		4,779,580
		Total Gabon		43,157,150
		Ghana — 1.0%
		Foreign Government Agency — 0.4%
	15,789,779	Saderea, Ltd., Reg S, 12.50%, due 11/30/26		17,092,435
		Foreign Government Obligations — 0.6%
	17,482,000	Republic of Ghana, Reg S, 10.75%, due 10/14/30		22,595,485
		Total Ghana		39,687,920
		Greece — 0.2%
		Foreign Government Obligations
EUR	9,400,000	Hellenic Republic Government Bond, Reg S, Step Up, 3.00%, due 02/24/36		8,046,451
		Grenada — 0.2%
		Foreign Government Obligations
	11,725,765	Grenada Government International Bond, Reg S, Step Up, 7.00%, due 05/12/30		6,333,683
		Guatemala — 0.6%
		Foreign Government Obligations
	18,775,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34 (e)		24,219,750

See accompanying notes to the financial statements. 15

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Par Value†		Description	Value ($)
		Honduras — 0.5%
		Foreign Government Obligations
	16,216,000	Honduras Government International Bond, Reg S, 7.50%, due 03/15/24		18,380,836
	3,646,000	Honduras Government International Bond, Reg S, 6.25%, due 01/19/27		3,919,450
		Total Honduras		22,300,286
		Hungary — 0.5%
		Foreign Government Obligations
	12,084,000	Hungary Government International Bond, 7.63%, due 03/29/41		18,654,675
		Indonesia — 2.7%
		Foreign Government Agency — 0.4%
	14,400,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		17,046,000
		Foreign Government Obligations — 2.3%
	43,091,000	Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37		55,102,616
	35,780,000	Indonesia Government International Bond, Reg S, 5.25%, due 01/17/42		39,760,525
				94,863,141
		Total Indonesia		111,909,141
		Iraq — 0.3%
		Foreign Government Obligations
	15,000,000	Republic of Iraq, Reg S, 5.80%, due 01/15/28		14,231,250
		Israel — 1.2%
		Foreign Government Agency
	7,243,000	Israel Electric Corp., Ltd., Reg S, 7.88%, due 12/15/26		9,085,294
JPY	2,500,000,000	Israel Electric Corp., Ltd., 4.10%, due 01/14/32 (c)		23,695,820
	12,798,000	Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96		16,349,445
		Total Israel		49,130,559
		Ivory Coast — 0.5%
		Foreign Government Obligations
EUR	4,995,000	Ivory Coast Government International Bond, 144A, 5.13%, due 06/15/25		6,160,368
	15,727,570	Ivory Coast Government International Bond, Reg S, Step Up, 5.75%, due 12/31/32		15,613,545
		Total Ivory Coast		21,773,913
		Jamaica — 0.6%
		Foreign Government Agency — 0.1%
	4,000,000	National Road Operating & Construction Co., Ltd., Reg S, 9.38%, due 11/10/24 (c)		4,940,000

Par Value†		Description	Value ($)
		Jamaica — continued
		Foreign Government Obligations — 0.5%
	16,875,000	Jamaica Government International Bond, 7.88%, due 07/28/45		20,671,875
		Total Jamaica		25,611,875
		Jordan — 0.3%
		Foreign Government Obligations
	10,487,000	Jordan Government International Bond, Reg S, 5.75%, due 01/31/27		10,455,539
		Kazakhstan — 1.2%
		Foreign Government Obligations
	40,599,000	Kazakhstan Government International Bond, Reg S, 6.50%, due 07/21/45		50,139,765
		Kenya — 0.3%
		Foreign Government Obligations
	11,541,000	Kenya Government International Bond, Reg S, 6.88%, due 06/24/24		12,089,198
		Macedonia — 0.3%
		Foreign Government Obligations
EUR	9,039,000	Macedonia Government International Bond, Reg S, 5.63%, due 07/26/23		11,836,048
		Mexico — 9.3%
		Foreign Government Agency — 3.3%
	10,500,000	Petroleos Mexicanos, 6.38%, due 01/23/45		10,825,500
	47,387,000	Petroleos Mexicanos, 5.63%, due 01/23/46		44,614,860
	70,487,000	Petroleos Mexicanos, 6.75%, due 09/21/47		75,780,574
	5,600,000	Petroleos Mexicanos, 144A, 6.75%, due 09/21/47		6,020,560
				137,241,494
		Foreign Government Obligations — 6.0%
	164,578,000	United Mexican States, 5.75%, due 10/12/2110		177,497,373
GBP	49,396,000	United Mexican States, 5.63%, due 03/19/2114		69,303,290
				246,800,663
		Total Mexico		384,042,157
		Morocco — 0.4%
		Foreign Government Agency
	15,800,000	Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44		17,854,000
		Mozambique — 0.1%
		Foreign Government Obligations
	4,744,000	Mozambique International Bond, Reg S, 10.50%, due 01/18/23 (d) (e)		3,652,880

16 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, 2017 (Unaudited)

Par Value†		Description	Value ($)
		Nigeria — 0.1%
		Foreign Government Obligations
	5,400,000	Nigeria Government International Bond, Reg S, 6.38%, due 07/12/23		5,697,000
		Pakistan — 1.1%
		Foreign Government Obligations
	41,863,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		43,689,755
		Panama — 0.6%
		Foreign Government Agency — 0.2%
	8,284,000	AES Panama SRL, Reg S, 6.00%, due 06/25/22		8,702,342
		Foreign Government Obligations — 0.4%
	7,851,000	Panama Government International Bond, 8.13%, due 04/28/34		10,657,733
	6,252,000	Panama Government International Bond, 4.30%, due 04/29/53		6,455,190
				17,112,923
		Total Panama		25,815,265
		Paraguay — 0.2%
		Foreign Government Obligations
	8,000,000	Republic of Paraguay, Reg S, 6.10%, due 08/11/44		9,100,000
		Peru — 1.6%
		Foreign Government Agency — 0.3%
	14,304,000	Peru Enhanced Pass-Through Finance Ltd., Reg S, Zero Coupon, due 06/02/25 (c)		12,220,622
		Foreign Government Obligations — 1.3%
	5,000,000	Peru Par Bond, Series 30 Yr., Step Up, 4.00%, due 03/07/27 (b)		4,950,000
	5,695,000	Petroleos del Peru SA, 144A, 5.63%, due 06/19/47		6,061,018
	3,400,000	Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47		3,618,518
	32,095,000	Republic of Peru, 5.63%, due 11/18/50		40,600,175
				55,229,711
		Total Peru		67,450,333
		Philippines — 2.7%
		Foreign Government Agency — 2.4%
	26,300,000	Central Bank of Philippines, Series A, 8.60%, due 06/15/27		36,747,152
	42,012,000	National Power Corp., Global Bond, 9.63%, due 05/15/28		63,387,705
				100,134,857

Par Value†		Description	Value ($)
		Philippines — continued
		Foreign Government Obligations — 0.3%
	9,000,000	Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97 (b)		12,750,941
		Total Philippines		112,885,798
		Romania — 0.7%
		Foreign Government Obligations
EUR	21,380,000	Romanian Government International Bond, Reg S, 3.88%, due 10/29/35		27,106,205
		Russia — 4.2%
		Foreign Government Agency — 2.4%
	30,975,000	Gazprom Neft OAO Via GPN Capital SA, Reg S, 4.38%, due 09/19/22		31,517,062
	37,067,000	Gazprom OAO Via Gaz Capital SA, Reg S, 8.63%, due 04/28/34		50,411,120
	15,700,000	Sberbank of Russia Via SB Capital SA, Reg S, 5.13%, due 10/29/22		16,308,375
				98,236,557
		Foreign Government Obligations — 1.8%
	26,200,000	Russian Foreign Bond, 144A, 5.25%, due 06/23/47		27,300,400
	41,200,000	Russian Foreign Bond, Reg S, 5.88%, due 09/16/43 (e)		47,936,200
				75,236,600
		Total Russia		173,473,157
		Rwanda — 0.1%
		Foreign Government Obligations
	5,487,000	Rwanda International Government Bond, Reg S, 6.63%, due 05/02/23		5,747,633
		Serbia — 0.1%
		Foreign Government Obligations
	2,548,877	Republic of Serbia, Reg S, Step Up, 6.75%, due 11/01/24		2,608,942
		South Africa — 0.7%
		Foreign Government Agency
	21,975,000	Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25		23,073,750
ZAR	163,000,000	Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32		1,973,480
ZAR	27,300,000	Transnet, Ltd., 13.50%, due 04/18/28		2,384,394
		Total South Africa		27,431,624
		Sri Lanka — 1.2%
		Foreign Government Obligations
	5,700,000	Sri Lanka Government International Bond, Reg S, 6.13%, due 06/03/25		6,006,375
	17,000,000	Sri Lanka Government International Bond, Reg S, 6.85%, due 11/03/25		18,678,750

See accompanying notes to the financial statements. 17

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Par Value†		Description	Value ($)
		Sri Lanka — continued
		Foreign Government Obligations — continued
	14,280,000	Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26		15,636,600
	7,144,000	Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27		7,501,200
		Total Sri Lanka		47,822,925
		Suriname — 0.4%
		Foreign Government Obligations
	16,178,000	Republic of Suriname, 144A, 9.25%, due 10/26/26		16,768,497
		Trinidad And Tobago — 0.4%
		Foreign Government Agency
	6,736,000	Petroleum Company of Trinidad and Tobago Ltd., Reg S, 9.75%, due 08/14/19		7,355,712
	7,292,000	Trinidad Generation UnLtd, 144A, 5.25%, due 11/04/27		7,421,068
		Total Trinidad And Tobago		14,776,780
		Tunisia — 1.7%
		Foreign Government Agency
JPY	7,340,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30 (c)		54,081,048
JPY	2,500,000,000	Banque Centrale de Tunisie SA, 4.20%, due 03/17/31 (c)		17,965,161
		Total Tunisia		72,046,209
		Turkey — 5.2%
		Foreign Government Agency — 0.3%
	13,433,000	Export Credit Bank of Turkey, 144A, 5.38%, due 10/24/23		13,919,946
		Foreign Government Obligations — 4.9%
	55,744,000	Republic of Turkey, 6.75%, due 05/30/40		64,300,704
	91,302,000	Republic of Turkey, 6.00%, due 01/14/41		96,871,422
	37,713,000	Republic of Turkey, 5.75%, due 05/11/47		38,702,966
				199,875,092
		Total Turkey		213,795,038
		Ukraine — 1.6%
		Foreign Government Agency — 0.3%
	8,189,000	Oschadbank Via SSB #1 Plc, Reg S, Step Up, 9.63%, due 03/20/25		8,659,867
	3,700,000	Ukreximbank Via Biz Finance Plc, Reg S, 9.75%, due 01/22/25		3,934,321
				12,594,188
		Foreign Government Obligations — 1.3%
	2,957,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/19		3,079,716

Par Value†		Description	Value ($)
		Ukraine — continued
		Foreign Government Obligations — continued
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/21		6,286,846
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/22		6,274,808
	6,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/23		6,838,522
	8,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/24		8,864,012
	6,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/25		6,779,257
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26		6,166,466
	6,869,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27		7,023,552
				51,313,179
		Total Ukraine		63,907,367
		United States — 6.1%
		Asset-Backed Securities — 0.7%
	8,781,746	Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + .24%, 1.47%, due 12/15/35 ◆		8,376,627
	2,943,850	Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + .24%, 1.47%, due 12/15/35 ◆		2,601,012
	3,419,321	Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, A, Variable Rate, 1 mo. LIBOR + .20%, 1.43%, due 05/15/36 ◆		2,967,450
	10,733,601	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + .15%, 1.38%, due 11/25/36 ◆		5,613,479
	10,876,716	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + .22%, 1.45%, due 11/25/36 ◆		5,742,692
	5,892,310	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + .36%, 1.59%, due 04/25/37 ◆		3,300,007
				28,601,267
		U.S. Government — 5.4%
	75,756,800	U.S. Treasury Inflation Indexed Note, 0.13%, due 01/15/22 (f)		76,201,641
	67,000,000	U.S. Treasury Note, 0.75%, due 04/30/18		66,798,477
	77,000,000	U.S. Treasury Note, 1.13%, due 06/15/18		76,936,836
				219,936,954
		Total United States		248,538,221

18 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, 2017 (Unaudited)

Par Value†		Description	Value ($)
		Uruguay — 1.3%
		Foreign Government Obligations
	52,218,000	Uruguay Government International Bond, 5.10%, due 06/18/50		55,089,990
		Venezuela — 5.5%
		Foreign Government Agency — 3.5%
	111,465,000	Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18		70,919,606
	176,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24		53,222,400
	61,967,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26		18,590,100
				142,732,106
		Foreign Government Obligations — 2.0%
	19,028,000	Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19		8,372,320
	53,235,000	Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20		20,761,650
	152,093,000	Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23		55,133,713
				84,267,683
		Total Venezuela		226,999,789
		Vietnam — 0.5%
		Foreign Government Agency — 0.4%
	25,105,000	Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25		15,693,136
		Foreign Government Obligations — 0.1%
	6,428,000	Socialist Republic of Vietnam, Series 30 Yr., Variable Rate, 2.25%, due 03/13/28 (c)		5,720,920
		Total Vietnam		21,414,056
		Zambia — 0.2%
		Foreign Government Obligations
	7,700,000	Zambia Government International Bond, Reg S, 8.97%, due 07/30/27		8,489,250
		TOTAL DEBT OBLIGATIONS (COST $3,074,071,435)		3,276,067,895
		LOAN ASSIGNMENTS — 0.1%
		Indonesia
	3,845,040	Republic of Indonesia Loan Agreement, dated June 14, 1995, 6 mo. LIBOR + 0.88%, 2.30%, due 12/14/19 (c)		3,643,752
	680,117	Republic of Indonesia Loan Agreement, dated September 14, 1994, 6 mo. LIBOR + 0.75%, 2.18%, due 12/16/19 (c)		628,326

Par Value†		Description	Value ($)
		Indonesia — continued
EUR	689,327	Republic of Indonesia, Indonesia Paris Club Debt, 4.00%, due 06/01/21 (c)		660,591
		TOTAL LOAN ASSIGNMENTS (COST $4,935,313)		4,932,669
		LOAN PARTICIPATIONS — 1.6%
		Angola — 0.8%
	22,587,500	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 7.69%, due 12/20/23 (c)		20,328,750
	16,208,563	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 7.69%, due 12/20/23 (c)		14,587,706
		Total Angola		34,916,456
		Egypt — 0.0%
CHF	89,763	Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (b)		81,088
		Indonesia — 0.1%
	3,911,194	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR + .88%, 2.29%, due 09/29/19 (c)		3,613,357
	499,377	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR + 0.88%, 2.29%, due 10/14/19 (c)		461,349
JPY	45,324,024	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR + 0.88%, 2.30%, due 12/14/19 (c)		380,885
		Total Indonesia		4,455,591
		Iraq — 0.6%
EUR	1,174,942	Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (b)		1,046,528
JPY	3,042,948,831	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), Variable Rate, 2.57%, due 01/01/28 (c)		18,614,275
JPY	397,596,810	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), Variable Rate, 2.57%, due 01/01/28 (c)		2,432,464
JPY	168,996,816	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), Variable Rate, 2.57%, due 01/01/28 (c)		1,034,240
		Total Iraq		23,127,507

See accompanying notes to the financial statements. 19

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Par Value† / Shares		Description	Value ($)
		Russia — 0.0%
EUR	76,893,500	Russian Foreign Trade Obligations (Participation with GML International Ltd.), due 01/01/50 (c)		3
		Vietnam — 0.1%
JPY	342,116,607	Socialist Republic of Vietnam Loan Agreement (Participation with Deutsche Bank), 6 mo. JPY LIBOR + .60%, 0.60%, due 09/01/17 (c)		2,894,617
		TOTAL LOAN PARTICIPATIONS (COST $85,537,272)		65,475,262
		MUTUAL FUNDS — 2.3%
		United States — 2.3%
		Affiliated Issuers — 2.3%
	568,012	GMO Opportunistic Income Fund, Class VI		15,046,630
	3,251,005	GMO U.S. Treasury Fund		81,242,623
		TOTAL MUTUAL FUNDS (COST $93,156,925)		96,289,253
		RIGHTS/WARRANTS — 1.3%
		Argentina — 1.0%
EUR	335,089,675	Republic of Argentina GDP Linked, Expires 12/15/35		40,289,681
JPY	740,189,000	Republic of Argentina GDP Linked, Expires 12/15/35 (c)		572,302
		Total Argentina		40,861,983
		Nigeria — 0.0%
	28,000	Central Bank of Nigeria Oil Warrants, Expires 11/15/20 (c)		1,829,000
		Ukraine — 0.2%
	14,446,000	Government of Ukraine GDP Linked, Expires 05/31/40		8,523,140
		Uruguay — 0.0%
	4,000,000	Banco Central Del Uruguay Value Recovery Rights, VRRB, Expires 01/02/21 * (b)		—
		Venezuela — 0.1%
	1,080,062	Republic of Venezuela Oil Warrants, Expires 04/15/20 (c)		4,050,233
		TOTAL RIGHTS/WARRANTS (COST $55,592,816)		55,264,356

Par Value† / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 15.5%
		Money Market Funds — 0.2%
	6,256,819	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.93% (g)		6,256,819
		U.S. Government — 15.3%
	30,900,000	U.S. Treasury Bill, 1.10%, due 10/19/17 (h)		30,854,395
	35,000,000	U.S. Treasury Bill, 0.99%, due 11/02/17 (h)		34,940,024
	1,218,000	U.S. Treasury Bill, 0.99%, due 11/30/17 (h)		1,215,008
	33,809,000	U.S. Treasury Bill, 1.05%, due 01/04/18 (h)		33,687,352
	70,475,000	U.S. Treasury Bill, 1.03%, due 01/25/18 (h)		70,184,183
	8,000,000	U.S. Treasury Bill, 1.07%, due 03/01/18 (h)		7,957,465
	20,500,000	U.S. Treasury Note, 1.00%, due 09/15/17		20,499,808
	53,898,000	U.S. Treasury Note, 0.75%, due 10/31/17		53,869,973
	125,193,000	U.S. Treasury Note, 1.00%, due 12/15/17		125,156,357
	71,195,000	U.S. Treasury Note, 0.88%, due 01/15/18		71,130,468
	181,848,000	U.S. Treasury Note, 0.75%, due 02/28/18 (i)		181,492,829
		Total U.S. Government		630,987,862
		TOTAL SHORT-TERM INVESTMENTS (COST $638,283,272)		637,244,681
		TOTAL INVESTMENTS — 100.2% (Cost $3,951,577,033)		4,135,274,116
		Other Assets and Liabilities (net) — (0.2%)		(9,872,337	)
		TOTAL NET ASSETS — 100.0%		$4,125,401,779

A summary of outstanding financial instruments at August 31, 2017 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation)
10/20/2017	JPM	EUR	64,900,000	USD	75,519,003		$(1,927,031)

20 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2017 (Unaudited)

Reverse Repurchase Agreements ^(j)

Face Value		Description	Value ($)
USD	14,039,212	JP Morgan Securities, Inc., 0.50%, dated 07/05/17, (collateral: Russian Foreign Bond, Reg S, 5.88%, due 09/16/43), to be repurchased on demand at face value plus accrued interest.	$	(14,039,212	)
USD	11,139,910	JP Morgan Securities, Inc., 0.50%, dated 08/29/17, (collateral: Russian Foreign Bond, Reg S, 5.88%, due 09/16/43), to be repurchased on demand at face value plus accrued interest.		(11,139,910	)
USD	2,460,367	JP Morgan Securities, Inc., 0.00%, dated 07/27/17, (collateral: Republic of Guatemala, Reg S, 8.13%, due 10/06/34), to be repurchased on demand at face value plus accrued interest.		(2,460,367	)
USD	2,958,150	JP Morgan Securities, Inc., 0.25%, dated 07/05/17, (collateral: Mozambique International Bond, Reg S, 10.50%, due 01/18/23), to be repurchased on demand at face value plus accrued interest.		(2,958,150	)
			$	(30,597,639	)
		Average balance outstanding	$	(27,082,273	)
		Average interest rate		(0.23	)%
		Maximum balance outstanding	$	(68,995,359	)

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	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) (b)	$	1,277,111		$	96,013
Put Sold	USD	24,000,000	03/10/2020	Lebanon Gap Credit Linked Put Option, Fund receives premium of 0.50% (OTC) (CP-DB) (b)		361,333			(208,827	)
Put Sold	USD	9,746,000	01/20/2024	Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB) (b)		(10,856	)		28,177
Put Sold	USD	45,000,000	01/20/2021	Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB) (b)		358,750			130,101
Put Sold	USD	46,000,000	04/13/2021	Lebanon Gap Credit Linked Put Option, Fund receives premium of 0.50% (OTC) (CP-DB) (b)		947,472			(726,038	)
Put Sold	USD	50,797,000	04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.30% (OTC) (CP-DB) (b)		553,705			(49,951	)
Put Sold	USD	100,000,000	04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.44% (OTC) (CP-DB) (b)		2,153,556			(1,330,435	)
					$	5,641,071		$	(2,060,960	)

See accompanying notes to the financial statements. 21

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2017 (Unaudited)

Swap Contracts

Credit Default Swaps

Reference Entity	Counterparty	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received)			Value ($)			Net Unrealized Appreciation/ (Depreciation)
Buy Protection^:
State of Florida	JPM	USD	7,309,000		0.42%		0.09%	N/A			03/20/2018		Quarterly	$	(14,749	)	$	(13,375	)	$	1,374
State of Florida	JPM	USD	17,055,000		0.42%		0.09%	N/A			03/20/2018		Quarterly		(34,415	)		(31,208	)		3,207
State of Ohio	JPM	USD	12,182,000		0.49%		0.09%	N/A			03/20/2018		Quarterly		(29,597	)		(26,715	)		2,882
Republic of Brazil	JPM	USD	50,000,000		1.00%		0.75%	N/A			06/20/2019		Quarterly		1,008,872			(219,049	)		(1,227,921	)
Republic of Croatia	JPM	USD	44,000,000		1.00%		0.35%	N/A			06/20/2019		Quarterly		3,659,820			(511,138	)		(4,170,958	)
CDX-EM21	BCLY	USD	22,415,800		5.00%		1.02%	N/A			06/20/2019		Quarterly		(559,150	)		(448,316	)		110,834
Commonwealth of Bahamas	DB	EUR	51,746,000		1.00%		2.19%	N/A			12/20/2020		Quarterly		7,730,397			1,765,571			(5,964,826	)
CDX-EMS27V1-5Y	N/A	USD	282,000,000		1.00%		1.79%	N/A			06/20/2022		Quarterly		11,298,800			10,044,276			(1,254,524	)
Commonwealth of Bahamas	DB	EUR	78,194,000		1.00%		5.68%	N/A			06/20/2025		Quarterly		11,367,985			6,603,575			(4,764,410	)
United Mexican States	GS	USD	20,000,000		1.00%		1.87%	N/A			09/20/2031		Quarterly		2,640,655			1,869,838			(770,817	)
Sell Protection^:
Republic of Macedonia	DB	EUR	6,862,000		1.00%		3.66%	6,862,000	EUR		03/20/2018		Quarterly		(1,268,490	)		(120,238	)		1,148,252
Commonwealth of Bahamas	DB	USD	6,975,000		1.00%		2.00%	6,975,000	USD		06/20/2020		Quarterly		(874,006	)		(186,612	)		687,394
Commonwealth of Bahamas	DB	USD	69,670,000		1.00%		2.19%	69,670,000	USD		12/20/2020		Quarterly		(8,729,122	)		(2,571,381	)		6,157,741
Republic of Malaysia	JPM	USD	10,000,000		1.00%		0.81%	10,000,000	USD		12/20/2022		Quarterly		(826,278	)		94,127			920,405
Indonesia	JPM	USD	15,000,000		1.00%		1.12%	15,000,000	USD		12/20/2022		Quarterly		(1,662,245	)		(90,006	)		1,572,239
Commonwealth of Bahamas	DB	USD	3,487,000		1.00%		3.19%	3,487,000	USD		06/20/2023		Quarterly		(641,463	)		(379,780	)		261,683
Commonwealth of Bahamas	DB	USD	6,975,000		1.00%		3.19%	6,975,000	USD		06/20/2023		Quarterly		(1,263,915	)		(759,669	)		504,246
Republic of Croatia	JPM	USD	40,000,000		1.00%		1.41%	40,000,000	USD		06/20/2023		Quarterly		(6,395,816	)		(881,866	)		5,513,950
Republic of Malaysia	JPM	USD	20,000,000		1.00%		0.98%	20,000,000	USD		03/20/2024		Quarterly		(932,016	)		21,666			953,682
Republic of Malaysia	JPM	USD	1,949,000		1.00%		0.98%	1,949,000	USD		03/20/2024		Quarterly		(20,737	)		2,112			22,849
Peoples Republic of China	JPM	USD	60,000,000		1.00%		0.82%	60,000,000	USD		06/20/2024		Quarterly		(2,413,417	)		669,786			3,083,203
Republic of Brazil	JPM	USD	27,250,000		1.00%		2.59%	27,250,000	USD		06/20/2024		Quarterly		(2,095,396	)		(2,601,429	)		(506,033	)
Peoples Republic of China	JPM	USD	4,873,000		1.00%		0.82%	4,873,000	USD		06/20/2024		Quarterly		3,073			54,398			51,325
Peoples Republic of China	GS	USD	25,000,000		1.00%		0.88%	25,000,000	USD		03/20/2025		Quarterly		(744,727	)		201,068			945,795
Peoples Republic of China	GS	USD	22,436,000		1.00%		0.90%	22,436,000	USD		06/20/2025		Quarterly		(590,310	)		156,561			746,871
Commonwealth of Bahamas	DB	USD	104,644,000		1.00%		6.33%	104,644,000	USD		06/20/2025		Quarterly		(12,708,620	)		(8,070,705	)		4,637,915
Indonesia	GS	USD	36,208,000		1.00%		1.50%	36,208,000	USD		06/20/2025		Quarterly		(3,153,880	)		(1,237,802	)		1,916,078
Indonesia	GS	USD	10,000,000		1.00%		1.50%	10,000,000	USD		06/20/2025		Quarterly		(961,768	)		(341,859	)		619,909
Republic of Brazil	BOA	USD	4,873,000		1.00%		2.82%	4,873,000	USD		12/20/2025		Quarterly		(726,704	)		(617,085	)		109,619
Republic of South Africa	BCLY	USD	2,436,000		1.00%		2.43%	2,436,000	USD		12/20/2025		Quarterly		(301,661	)		(248,223	)		53,438
Russia	GS	USD	2,436,000		1.00%		2.09%	2,436,000	USD		12/20/2025		Quarterly		(238,041	)		(191,324	)		46,717
Petroleos	GS	USD	7,309,000		1.00%		2.77%	7,309,000	USD		12/20/2025		Quarterly		(1,036,083	)		(902,960	)		133,123
Republic of South Africa	GS	USD	21,000,000		1.00%		2.49%	21,000,000	USD		06/20/2026		Quarterly		(4,040,122	)		(2,319,993	)		1,720,129
Russia	GS	USD	8,487,000		1.00%		2.19%	8,487,000	USD		12/20/2026		Quarterly		(1,059,663	)		(793,343	)		266,320
Republic of South Africa	GS	USD	10,000,000		1.00%		2.54%	10,000,000	USD		12/20/2026		Quarterly		(1,702,480	)		(1,190,676	)		511,804
Republic of South Africa	JPM	USD	10,000,000		1.00%		2.54%	10,000,000	USD		12/20/2026		Quarterly		(1,451,285	)		(1,190,676	)		260,609
Republic of South Africa	JPM	USD	15,000,000		1.00%		2.54%	15,000,000	USD		12/20/2026		Quarterly		(2,130,884	)		(1,786,013	)		344,871
Republic of Brazil	JPM	USD	40,000,000		1.00%		2.97%	40,000,000	USD		03/20/2030		Quarterly		(5,674,358	)		(7,244,680	)		(1,570,322	)
														$	(26,571,796	)	$	(13,493,143	)	$	13,078,653

^ Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to 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.

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

22 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2017 (Unaudited)

⁽¹⁾ As of August 31, 2017, 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

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received)		Value ($)			Net Unrealized Appreciation/ (Depreciation)
3 Month USD LIBOR	3 Month EURIBOR plus a spread of (0.35%)	JPM		EUR	122,436,000		09/11/2020	Quarterly	$	—	$	(7,564,897	)	$	(7,564,897	)
									$	—	$	(7,564,897	)	$	(7,564,897	)

Cross-Currency Interest Rate Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received)		Value ($)			Net Unrealized Appreciation/ (Depreciation)
(0.22)%	3 Month USD LIBOR	GS		JPY	14,852,761,000		04/28/2025	Quarterly	$	—	$	(5,876,488	)	$	(5,876,488	)
1.17%	3 Month USD LIBOR	JPM		GBP	53,411,000		03/10/2026	Quarterly		—		(1,742,799	)		(1,742,799	)
1.26%	3 Month USD LIBOR	JPM		EUR	1,462,000		09/04/2035	Annual		—		(213,512	)		(213,512	)
									$	—	$	(7,832,799	)	$	(7,832,799	)

As of August 31, 2017, 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) Security is backed by U.S. Treasury Bonds.

(b) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(c) Investment valued using significant unobservable inputs (Note 2).

(d) Security is in default.

(e) All or a portion of this security has been pledged to cover collateral requirements on reverse repurchase agreements (Note 2).

(f) Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic (Note 2).

(g) The rate disclosed is the 7 day net yield as of August 31, 2017.

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

(i) 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).

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

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 38.

See accompanying notes to the financial statements. 23

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2017 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		103.8	%
Mutual Funds		3.3
Short-Term Investments		1.3
Swap Contracts		1.0
Purchased Options		0.0	^
Futures Contracts		0.0	^
Forward Currency Contracts		0.0	^
Written Options		0.0	^
Securities Sold Short		(6.9	)
Other		(2.5	)
		100.0	%
Industry Sector Summary	% of Debt Obligations
Student Loans		23.9	%
Collateralized Loan Obligations		15.5
Commercial Mortgage-Backed Securities		12.6
Residential Mortgage-Backed Securities – Other		11.4
U.S. Government Agency		11.3
Small Balance Commercial Mortgages		10.5
Auto Retail Subprime		6.2
Residential Mortgage-Backed Securities – Prime		2.7
Residential Mortgage-Backed Securities – Alt-A		2.4
CMBS Collateralized Debt Obligations		1.2
Time Share		1.1
Residential Mortgage-Backed Securities – Subprime		1.1
Auto Retail Prime		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%.

24

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 103.8%
		Asset-Backed Securities — 92.0%
		Auto Retail Prime — 0.1%
	985,600	California Republic Auto Receivables Trust, Series 14-1, Class C, 3.40%, due 12/15/20		993,928
		Auto Retail Subprime — 6.5%
	13,720,000	AmeriCredit Automobile Receivables Trust, Series 14-2, Class E, 144A, 3.37%, due 11/08/21		13,935,990
	2,592,000	CarFinance Capital Auto Trust, Series 14-1A, Class C, 144A, 3.45%, due 04/15/20		2,619,277
	1,524,850	CarFinance Capital Auto Trust, Series 14-1A, Class D, 144A, 4.90%, due 04/15/20		1,560,244
	1,073,840	CarFinance Capital Auto Trust, Series 13-2A, Class E, 144A, 7.86%, due 10/15/20		1,090,930
	4,130,000	CFC LLC, Series 14-2A, Class E, 144A, 5.36%, due 11/15/21		4,150,858
	4,000,000	CPS Auto Receivables Trust, Series 14-A, Class C, 144A, 3.29%, due 02/18/20		4,027,184
	1,500,000	CPS Auto Receivables Trust, Series 14-A, Class D, 144A, 5.11%, due 02/18/20		1,513,979
	6,265,989	CPS Auto Receivables Trust, Series 14-B, Class D, 144A, 4.62%, due 05/15/20		6,366,722
	271,369	CPS Auto Receivables Trust, Series 13-A, Class D, 144A, 4.41%, due 06/15/20		271,254
	52,931	CPS Auto Receivables Trust, Series 13-A, Class E, 144A, 6.41%, due 06/15/20		53,437
	750,584	CPS Auto Receivables Trust, Series 13-B, Class D, 144A, 4.66%, due 09/15/20		750,614
	51,150	CPS Auto Receivables Trust, Series 13-B, Class E, 144A, 6.41%, due 09/15/20		51,383
	1,049,647	CPS Auto Receivables Trust, Series 15-C, Class D, 144A, 4.63%, due 08/16/21		1,074,436
	3,425,025	DT Auto Owner Trust, Series 14-2A, Class D, 144A, 3.68%, due 04/15/21		3,449,226
	5,847,188	DT Auto Owner Trust, Series 15-2A, Class D, 144A, 4.25%, due 02/15/22		5,966,071
	3,213,707	Exeter Automobile Receivables Trust, Series 14-1A, Class C, 144A, 3.57%, due 07/15/19		3,227,493
	4,950,154	Exeter Automobile Receivables Trust, Series 14-2A, Class C, 144A, 3.26%, due 12/16/19		4,981,864
	6,000,000	Exeter Automobile Receivables Trust, Series 13-2A, Class D, 144A, 6.81%, due 08/17/20		6,115,148
	2,250,000	Exeter Automobile Receivables Trust, Series 14-2A, Class D, 144A, 4.93%, due 12/15/20		2,297,684
	6,000,000	Exeter Automobile Receivables Trust, Series 14-1A, Class D, 144A, 5.53%, due 02/16/21		6,153,716

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Auto Retail Subprime — continued
	1,129,340	Flagship Credit Auto Trust, Series 13-2, Class C, 144A, 4.42%, due 12/16/19		1,139,205
	3,000,000	Flagship Credit Auto Trust, Series 14-1, Class C, 144A, 3.34%, due 04/15/20		3,009,113
	5,377,425	Flagship Credit Auto Trust, Series 14-1, Class D, 144A, 4.83%, due 06/15/20		5,488,896
	1,400,000	Flagship Credit Auto Trust, Series 14-1, Class E, 144A, 5.71%, due 08/16/21		1,434,265
		Total Auto Retail Subprime		80,728,989
		CMBS Collateralized Debt Obligations — 1.2%
	7,868,128	Capitalsource Real Estate Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + .39%, 1.70%, due 01/20/37 (a)		7,750,106
	7,759,261	GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.60%, due 03/21/46		6,549,048
	926,244	Nomura CRE CDO, Series 07-2A, Class B, 144A, 3 mo. LIBOR + .33%, 1.65%, due 05/21/42 (a)		914,666
		Total CMBS Collateralized Debt Obligations		15,213,820
		Collateralized Loan Obligations — 16.1%
	17,190,000	ACIS CLO Ltd., Series 15-6A, Class A1, 144A, 3 mo. LIBOR + 1.59%, 2.76%, due 05/01/27		17,196,292
	8,607,000	ARES XXVI CLO Ltd., Series 13-1A, Class B, 144A, 3 mo. LIBOR + 1.75%, 3.05%, due 04/15/25		8,614,712
	37,276,500	Arrowpoint CLO Ltd., Series 15-4A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.55%, 2.85%, due 04/18/27		37,359,999
	860,000	Atrium XII, Series 12-A, Class E, 144A, 3 mo. LIBOR + 5.95%, 7.26%, due 10/22/26		861,461
	6,006,000	BlueMountain CLO Ltd., Series 14-3A, Class BR, 144A, 3 mo. LIBOR + 2.10%, 3.40%, due 10/15/26		6,005,886
	4,504,500	Carlyle Global Market Strategies CLO Ltd., Series 14-5A, Class BR, 144A, 3 mo. LIBOR + 2.05%, 3.35%, due 10/16/25		4,504,473
	4,700,000	Cavalry CLO V Ltd., Series 14-5A, Class E, 144A, 3 mo. LIBOR + 5.20%, 6.50%, due 01/16/24		4,700,164
	7,327,000	CIFC Funding Ltd., Series 13A-4A, Class C1R, 144A, 3 mo. LIBOR + 2.25%, 3.45%, due 11/27/24		7,328,751
	5,603,000	CIFC Funding Ltd., Series 13A-4A, Class C2R, 144A, 3 mo. LIBOR + 2.25%, 3.45%, due 11/27/24		5,604,339
	8,580,000	CIFC Funding Ltd., Series 14-1A, Class CR, 144A, 3 mo. LIBOR + 2.25%, 3.55%, due 04/18/25		8,579,820

See accompanying notes to the financial statements. 25

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	5,038,500	CIFC Funding Ltd., Series 15-5A, Class D, 144A, Variable Rate, 3 mo. LIBOR + 6.30%, 7.61%, due 10/25/27		5,057,374
	6,338,000	Crown Point CLO II Ltd., Series 13-2A, Class A3L, 144A, 3 mo. LIBOR + 2.86%, 4.16%, due 12/31/23		6,340,725
	4,968,000	Cumberland Park CLO Ltd., Series 15-2A, Class C, 144A, 3 mo. LIBOR + 2.85%, 4.16%, due 07/20/26		4,968,075
	4,888,750	Dorchester Park CLO Ltd., Series 15-1A, Class E, 144A, Variable Rate, 3 mo. LIBOR + 5.25%, 6.56%, due 01/20/27		4,890,104
	5,166,000	GoldenTree Loan Opportunities VII Ltd., Series 13-7A, Class B, 144A, 3 mo. LIBOR + 1.75%, 3.06%, due 04/25/25		5,174,085
	2,581,500	GoldenTree Loan Opportunities VII Ltd., Series 13-7A, Class E, 144A, 3 mo. LIBOR + 4.70%, 6.01%, due 04/25/25		2,585,483
	7,326,150	KKR CLO Ltd., Series 12, Class ER 144A, 3 mo. LIBOR + 5.60%, 6.90%, due 07/15/27		7,325,857
	1,465,400	Madison Park Funding XII Ltd, Series 14-12A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 3.66%, due 07/20/26		1,465,775
	3,652,000	Magnetite XVI Ltd., Series 15-16A, Class E, 144A, 3 mo. LIBOR + 6.35%, 7.65%, due 01/18/28		3,667,021
	1,292,250	Magnetite XVII Ltd., Series 16-17X, Class E, Reg. S, 3 mo. LIBOR + 8.15%, 9.46%, due 04/20/28		1,327,018
	4,307,500	Marathon CLO VIII Ltd., Series 15-8A, Class A1B, 144A, 3 mo. LIBOR + 1.49%, 2.79%, due 07/18/27		4,316,507
	2,584,500	Mountain View CLO Ltd., Series 13-1A, Class B1, 144A, 3 mo. LIBOR + 1.75%, 3.05%, due 04/12/24		2,589,514
	4,522,875	Saranac CLO II Ltd, Series 14-2A, Class C, 144A, 3 mo. LIBOR + 2.75%, 4.07%, due 02/20/25		4,549,922
	4,976,400	Stratford CLO Ltd., Series 07-1A, Class C, 144A, 3 mo. LIBOR + 2.00%, 3.31%, due 11/01/21		4,973,081
	3,016,300	Tryon Park CLO Ltd., Series 13-1A, Class A2, 144A, 3 mo. LIBOR + 1.55%, 2.85%, due 07/15/25		3,024,206
	36,880,000	West CLO Ltd., Series 14-2A, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 1.55%, 2.85%, due 01/16/27		36,885,163
	500,722	Zais Investment Grade Ltd., Series 9A, Class B, 144A, Variable Rate, 3 mo. LIBOR +.85%, 2.17%, due 04/27/52 (a)		500,472
		Total Collateralized Loan Obligations		200,396,279
		Commercial Mortgage-Backed Securities — 13.1%
	4,300,000	Banc of America Commercial Mortgage Trust, Series 06-2, Class D, 144A, Variable Rate, 5.91%, due 05/10/45		4,282,241

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	8,615,000	BXP Trust, Series 17-GM, Class C, 144A, Variable Rate, 3.54%, due 06/13/39		8,666,874
	4,952,245	Commercial Mortgage Trust, Series 07-GG9, Class AJ, Variable Rate, 5.51%, due 03/10/39		4,533,050
	23,260,500	Core Industrial Trust, Series 15-WEST, Class E, 144A, Variable Rate, 4.37%, due 02/10/37		23,668,043
	1,264,028	Credit Suisse First Boston Mortgage Securities Corp., Series 04-C1, Class G, 144A, Variable Rate, 5.31%, due 01/15/37		1,294,076
	4,321,489	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + .25%, 1.48%, due 04/15/37		3,889,340
	1,855,768	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		1,831,411
	1,911,060	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C6, Class G, 144A, Variable Rate, 5.23%, due 12/15/40		1,933,402
	8,715,587	Credit Suisse Mortgage Capital Certificates, Series 14-USA, Class A2, 144A, 3.95%, due 09/15/37		9,185,574
	21,064,417	Credit Suisse Mortgage Capital Certificates, Series 06-C4, Class AJ, Variable Rate, 5.54%, due 09/15/39		21,434,363
	14,192,220	CSMC Trust, Series 14-USA, Class E, 144A, 4.37%, due 09/15/37		12,767,254
	11,025,000	GS Mortgage Securities Corp., Series 16-RENT, Class E, 144A, Variable Rate, 4.20%, due 02/10/29		11,226,837
	16,989,010	GS Mortgage Securities Corp., Series 16-GS2, Class D, 144A, 2.75%, due 05/10/49		13,612,094
	13,454,128	GS Mortgage Securities Trust, Series 11-GC3, Class D, 144A, Variable Rate, 5.82%, due 03/10/44		14,207,230
	5,486,479	JP Morgan Chase Commercial Mortgage Securities Corp., Series 05-CB13, Class AJ, Variable Rate, 5.67%, due 01/12/43		5,589,405
	4,307,500	JP Morgan Chase Commercial Mortgage Securities Trust, Series 04-CB9, Class E, Variable Rate, 5.51%, due 06/12/41		4,387,043
	2,432,859	JP Morgan Chase Commercial Mortgage Securities Trust, Series 04-CB9, Class F, 144A, Variable Rate, 5.51%, due 06/12/41		2,278,372
	3,000,000	JP Morgan Chase Commercial Mortgage Securities Trust, Series 04-AC3, Class H, 144A, Variable Rate, 5.65%, due 01/15/42		2,790,000
	6,704,720	LB-UBS Commercial Mortgage Trust, Series 06-C1, Class AJ, Variable Rate, 5.28%, due 02/15/41		6,708,666
	8,578,603	Wachovia Bank Commercial Mortgage Trust, Series 06-C29, Class AJ, Variable Rate, 5.37%, due 11/15/48		8,597,561
		Total Commercial Mortgage-Backed Securities		162,882,836

26 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — 11.8%
	1,555,708	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + .28%, 1.51%, due 02/25/36 ◆		919,597
	21,585,100	American Home Mortgage Investment Trust, Series 06-2, Class 4A, 1 mo. LIBOR + .36%, 1.59%, due 02/25/36		4,942,545
	3,023,252	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		2,626,026
	7,437,670	BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29		3,319,524
	2,928,137	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		1,389,150
	952,378	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + .32%, 1.55%, due 02/25/37		1,785,029
	1,760,406	Carrington Mortgage Loan Trust, Series 06-RFC1, Class A3, Variable Rate, 1 mo. LIBOR + .15%, 1.38%, due 05/25/36		1,754,092
	5,821,252	Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33		5,542,441
	9,013,089	Conseco Financial Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29		8,823,410
	3,186,140	Conseco Financial Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30		2,927,806
	3,326,629	Countrywide Home Equity Loan Trust, Series 07-E, Class A, FSA, Variable Rate, 1 mo. LIBOR + .15%, 1.38%, due 06/15/37		2,936,047
	3,960,207	Fannie Mae Connecticut Avenue Securities, Series 17-C01, Class 1M1, 1 mo. LIBOR + 1.30%, 2.53%, due 07/25/29		3,993,550
	3,974,347	Fannie Mae Connecticut Avenue Securities, Series 17-C03, Class 1M1, Variable Rate, 1 mo. LIBOR + .95%, 2.18%, due 10/25/29		3,983,759
	1,006,641	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + .50%, 1.73%, due 10/25/34 ◆		940,275
	2,178,858	GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 6.84%, due 09/25/37		2,245,748
	8,777,735	Greenpoint Manufactured Housing, Series 98-1, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + .57%, 1.80%, due 05/15/28		8,194,708
	32,536,310	Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + .26%, 1.49%, due 06/25/36		5,294,422
	2,392,806	JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37		2,511,250
	4,531,456	Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + .32%, 1.55%, due 03/25/36		1,114,482

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	931,725	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 1.48%, due 02/26/34		836,410
	2,896,173	Meritage Mortgage Loan Trust, Series 05-2, Class M2, Variable Rate, 1 mo. LIBOR + .75%, 1.98%, due 11/25/35		2,898,208
	5,203,228	Morgan Stanley Resecuritization Trust, Series 14-R8, Class 2A, 144A, Variable Rate, 1 mo. LIBOR + .16%, 1.39%, due 06/26/47		5,111,010
	14,625,803	New Century Home Equity Loan Trust, Series 06-S1, Class A2A, 1 mo. LIBOR + .20%, 0.75%, due 03/25/36		1,473,194
	8,342,858	New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. LIBOR + .34%, 0.75%, due 03/25/36		840,146
	22,242,977	New Century Home Equity Loan Trust, Series 06-S1, Class A2B, 1 mo. LIBOR + .40%, 0.75%, due 03/25/36		2,239,699
	2,605,384	Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, 1 mo. LIBOR + .90%, 2.13%, due 08/25/35		2,726,616
	10,062,844	Oakwood Mortgage Investors, Inc., Series 99-C, Class A2, 7.48%, due 08/15/27		9,832,511
	1,576,405	Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28		1,583,277
	2,873,966	Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29		2,927,644
	6,689,805	Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30		6,367,621
	11,438,329	Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30		6,885,306
	1,602,071	Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31		1,450,319
	5,289,235	PHH Mortgage Trust, Series 07-1SL, Class M2, 144A, STEP, 7.00%, due 12/25/27		5,533,312
	1,747,636	RBSSP Resecuritization Trust, Series 13-1, Class 1A2, 144A, 1 mo. LIBOR + .29%, 1.52%, due 01/26/37		1,718,792
	22,917,397	Residential Funding Mortgage Securities II, Series 06-HI4, Class A4, MBIA, STEP, 5.72%, due 09/25/36		18,538,089
	2,466,471	SACO I Trust, Series 05-10, Class 2A1, 1 mo. LIBOR + .52%, 1.75%, due 01/25/36		2,450,752
	14,796,521	Soundview Home Loan Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + .38%, 1.61%, due 11/25/35 (b)		2,274,045

See accompanying notes to the financial statements. 27

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	25,611,415	Terwin Mortgage Trust, Series 07-1SL, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.14%, 0.65%, due 01/25/38		4,037,868
	1,761,524	Wells Fargo Mortgage Backed Securities Trust, Series 05-AR14, Class A4, Variable Rate, 3.48%, due 08/25/35		1,768,451
		Total Residential Mortgage-Backed Securities — Other		146,737,131
		Residential Mortgage-Backed Securities — Prime — 2.6%
	5,305,210	BCAP LLC Trust, Series 09-RR13, Class 16A2, 144A, Variable Rate, 3.82%, due 09/26/35		5,085,881
	2,351,593	Chase Mortgage Finance Trust, Series 05-A1, Class 3A1, Variable Rate, 3.17%, due 12/25/35		2,273,357
	4,055,988	Chase Mortgage Finance Trust, Series 07-A1, Class 11M1, Variable Rate, 3.34%, due 03/25/37		3,952,553
	1,820,604	Citigroup Mortgage Loan Trust, Series 05-3, Class 2A2, Variable Rate, 3.44%, due 08/25/35		1,819,807
	3,966,020	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.50%, due 12/25/36		3,690,729
	3,097,317	IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.57%, due 03/25/37		3,013,346
	3,145,679	WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 3.26%, due 09/25/35		3,217,421
	4,145,635	WaMu Mortgage Pass-Through Certificates, Series 07-HY2, Class 2A1, Variable Rate, 3.29%, due 11/25/36		3,888,003
	2,205,772	WaMu Mortgage Pass-Through Certificates, Series 06-AR19, Class 2A, Variable Rate, COF + 1.25%, due 01/25/47		2,184,047
	3,827,821	Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 07-5, Class A6, 6.00%, due 06/25/37		3,794,793
		Total Residential Mortgage-Backed Securities — Prime		32,919,937
		Residential Mortgage-Backed Securities — Subprime — 1.3%
	120,364	Argent Securities Inc Asset-Backed Pass-Through Certificates, Series 04-W8, Class A5, Variable Rate, 1 mo. LIBOR + 1.04%, 2.27%, due 05/25/34		120,515
	2,578,393	BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 1.44%, due 05/26/37		2,396,334
	6,732,095	Bear Stearns Asset-Backed Securities, Inc., Series 07-AQ1, Class A1, Variable Rate, 1 mo. LIBOR + .11%, 1.34%, due 04/25/31		7,160,266

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Subprime — continued
	2,613,050	Ownit Mortgage Loan Trust, Series 06-3, Class A2C, Variable Rate, 1 mo. LIBOR + .17%, 1.40%, due 03/25/37		2,605,983
	3,917,585	RAMP Trust, Series 07-RZ1, Class A2, Variable Rate, 1 mo. LIBOR + .16%, 1.39%, due 02/25/37		3,880,425
		Total Residential Mortgage-Backed Securities — Subprime		16,163,523
		Residential Mortgage-Backed Securities — Alt-A — 2.5%
	2,916,926	Adjustable Rate Mortgage Trust, Series 05-1, Class 5M1, Variable Rate, 1 mo. LIBOR + 1.05%, 2.28%, due 05/25/35		2,820,383
	2,008,174	Alternative Loan Trust, Series 03-18CB, Class 1A1, 5.25%, due 09/25/33		2,024,068
	2,898,319	Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + .70%, 1.93%, due 05/25/36		1,691,132
	2,862,952	Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + .70%, 1.93%, due 10/25/36		1,688,583
	2,724,954	Bear Stearns ARM Trust, Series 07-1, Class 2A1, Variable Rate, 3.41%, due 02/25/47		2,397,173
	8,969,956	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2, Variable Rate, 3.45%, due 07/25/36		6,831,944
	3,187,103	Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 05-7, Class 2CB1, 5.50%, due 08/25/35		3,217,009
	10,855,778	Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 06-AR10, Class A2A, Variable Rate, 1 mo. LIBOR + .17%, 1.40%, due 12/25/36		9,781,114
		Total Residential Mortgage-Backed Securities — Alt-A		30,451,406
		Small Balance Commercial Mortgages — 10.9%
	809,417	Bayview Commercial Asset Trust, Series 04-1, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .84%, 1.79%, due 04/25/34		788,506
	450,133	Bayview Commercial Asset Trust, Series 04-1, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 1.80%, 2.43%, due 04/25/34		447,512
	784,389	Bayview Commercial Asset Trust, Series 04-1, Class B, 144A, 1 mo. LIBOR + 2.85%, 3.13%, due 04/25/34		788,779
	7,341,678	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .31%, 1.54%, due 08/25/35		6,798,528

28 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	3,844,990	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .39%, 1.62%, due 01/25/36		3,561,999
	2,289,071	Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, 1 mo. LIBOR + .38%, 1.61%, due 04/25/36		1,970,538
	3,008,033	Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, 1 mo. LIBOR + .23%, 1.46%, due 07/25/36		2,828,736
	6,152,969	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .28%, 1.51%, due 07/25/36		5,802,010
	2,048,137	Bayview Commercial Asset Trust, Series 06-2A, Class M3, 144A, 1 mo. LIBOR + .35%, 1.58%, due 07/25/36		1,729,987
	3,583,932	Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, 1 mo. LIBOR + .25%, 1.48%, due 10/25/36		3,319,202
	1,065,062	Bayview Commercial Asset Trust, Series 06-3A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .30%, 1.53%, due 10/25/36		988,903
	5,656,051	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .24%, 1.47%, due 07/25/37		5,282,935
	13,226,732	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .27%, 1.50%, due 07/25/37		12,471,880
	6,742,851	Bayview Commercial Asset Trust, Series 07-4A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .45%, 1.68%, due 09/25/37		6,273,314
	1,076,544	Bayview Commercial Asset Trust, Series 07-6A, Class A3B, 144A, 1 mo. LIBOR + .85%, 2.08%, due 12/25/37		1,017,535
	7,783,234	Bayview Commercial Asset Trust, Series 07-6A, Class A3A, 144A, 1 mo. LIBOR + 1.25%, 2.48%, due 12/25/37		7,420,979
	1,002,277	GE Business Loan Trust, Series 05-2A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .24%, 1.47%, due 11/15/33		963,387
	26,267,413	GE Business Loan Trust, Series 06, Class 1X, Variable Rate, 1 mo. LIBOR + .20% 1.43%, due 05/15/34		25,292,487
	3,090,921	GE Business Loan Trust, Series 06-2A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .18%, 0.51%, due 11/15/34		2,991,556
	7,185,930	GE Business Loan Trust, Series 07-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .17%, 1.40%, due 04/16/35		6,902,389
	5,824,739	GE Business Loan Trust, Series 07-1A, Class D, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 2.23%, due 04/16/35		5,162,720

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	3,723,424	Lehman Brothers Small Balance Commercial, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .31%, 1.54%, due 04/25/31		3,687,680
	2,592,000	Lehman Brothers Small Balance Commercial, Series 06-2A, Class M1, 144A, 1 mo. LIBOR + .29%, 1.52%, due 09/25/36		2,467,624
	5,193,655	Lehman Brothers Small Balance Commercial, Series 06-3A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + .20%, 1.43%, due 12/25/36		4,799,426
	4,300,000	Lehman Brothers Small Balance Commercial, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .40%, 1.63%, due 06/25/37		3,546,087
	6,755,290	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 1.48%, due 02/25/30		6,591,473
	2,242,600	Velocity Commercial Capital Loan Trust, Series 16-2, Class AFL, 1 mo. LIBOR + 1.80%, 3.03%, due 10/25/46		2,265,658
	9,503,550	WaMu Commercial Mortgage Securities Trust, Series 07-SL2,144A, Class C, Variable Rate, 2.54%, due 12/27/49		9,427,851
		Total Small Balance Commercial Mortgages		135,589,681
		Student Loans — 24.8%
	2,319,688	Access Group, Inc., Series 05-A, Class A3, Variable Rate, 3 mo. LIBOR + .40%, 1.71%, due 07/25/34		2,279,728
	8,138,588	Access Group, Inc., Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + .80%, 2.11%, due 07/25/34		7,621,631
	3,561,759	Access Group, Inc., Series 03-A, Class A2, 3 mo. USGG +1.20%, 2.20%, due 07/01/38		3,581,821
	11,116,989	AccessLex Institute, Series 04-2, Class B, 3 mo. LIBOR + .70%, 2.01%, due 01/25/43		9,493,042
	6,167,901	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + .32%, 1.61%, due 03/28/35 (a)		5,570,386
	25,090,320	KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + .48%, 1.77%, due 12/27/41		23,797,215
	2,363,094	KeyCorp Student Loan Trust, Series 04-A, Class 2C, 3 mo. LIBOR + 0.80%, 2.12%, due 04/28/42		2,291,069
	5,622,500	KeyCorp Student Loan Trust, Series 04-A, Class 2D, 3 mo. LIBOR + 1.25%, 2.57%, due 07/28/42		3,899,226
	8,849,685	Montana Higher Education Student Assistance Corp., Series 12-1, Class A2, 1 mo. LIBOR + 1.00%, 2.23%, due 05/20/30		8,907,360

See accompanying notes to the financial statements. 29

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — continued
	18,250,000	National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 4.74% due 03/31/38 (a)		8,030,000
	7,657,371	National Collegiate Commutation Trust, Series 07-3, Class A3L, 144A, 1 mo. LIBOR + .84%, 2.07%, due 03/31/38		3,251,082
	3,466,022	National Collegiate Student Loan Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + .21%, 1.44%, due 11/25/27		3,452,331
	11,848,190	National Collegiate Student Loan Trust, Series 06-1, Class A4, Variable Rate, 1 mo. LIBOR + .25%, 1.48%, due 03/27/28		11,803,892
	1,979,459	National Collegiate Student Loan Trust, Series 06-3, Class A4, Variable Rate, 1 mo. LIBOR + .27%, 1.50%, due 03/26/29		1,962,407
	6,714,189	National Collegiate Student Loan Trust, Series 05-2, Class A4, Variable Rate, 1 mo. LIBOR + .27%, 1.50%, due 09/25/29		6,670,287
	35,988,883	National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate, 1 mo. LIBOR + .24%, 1.48%, due 07/25/30		35,605,850
	8,685,000	National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + .31%, 1.54%, due 05/25/32		7,877,200
	12,960,000	National Collegiate Student Loan Trust, Series 06-1, Class A5, 1 mo. LIBOR + .35%, 1.58%, due 03/25/33		11,816,958
	25,000	National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, due 03/25/38 (a)		19,625
	75,000	National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 4.73% due 03/25/38 (a)		58,875
	22,838,072	National Collegiate VI Commutation Trust, Series 12-4VI, Class O, 144A, 1 mo. LIBOR + .85%, 2.08%, due 03/29/38(a)		9,096,404
	5,623,264	Navient Private Education Loan Trust, Series 14-AA, Class A3, 144A, 1 mo. LIBOR + 1.60%, 2.83%, due 10/15/31		5,730,106
	31,664,880	SLC Private Student Loan Trust, Series 06-A, Class C, Variable Rate, 3 mo. LIBOR + .45%, 1.75%, due 07/15/36		28,874,555
	13,000,000	SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 3.79% due 06/15/32 (a)		12,998,700
	5,900,000	SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 3.85% due 09/15/32 (a)		5,899,410
	3,619,372	SLM Private Credit Student Loan Trust, Series 03-C, Class C, 3 mo. LIBOR + 1.60%, 2.85%, due 09/15/32		1,203,335
	9,000,000	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + .43%, 1.56%, due 09/15/33		8,446,769

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — continued
	5,801,015	SLM Private Credit Student Loan Trust, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + .28%, 1.53%, due 12/15/38		5,575,615
	47,615,000	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + .29%, 1.54%, due 06/15/39		45,440,871
	11,931,000	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + .33%, 1.58%, due 06/15/39		11,354,060
	6,175,036	SLM Private Credit Student Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + .40%, 1.65%, due 06/15/39		5,872,192
	2,672,291	SLM Private Credit Student Loan Trust, Series 06-C, Class C, 3 mo. LIBOR + .39%, 1.64%, due 12/15/39		2,020,721
	6,000,000	SLM Private Education Loan Trust, Series 11-B, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 2.25%, 3.48%, due 06/16/42		6,243,410
	1,118,000	South Carolina Student Loan Corp., Series 14-1, Class A1, 1 mo. LIBOR + .75%, 1.98%, due 05/01/30		1,110,286
		Total Student Loans		307,856,419
		Time Share — 1.1%
	789,814	BXG Receivables Note Trust, Series 12-A, Class B, 144A, 3.99%, due 12/02/27		793,042
	2,577,953	BXG Receivables Note Trust, Series 13-A, Class B, 144A, 4.00%, due 12/04/28		2,627,885
	1,281,989	Diamond Resorts Owner Trust, Series 13-2, Class A, 144A, 2.27%, due 05/20/26		1,276,412
	833,927	Diamond Resorts Owner Trust, Series 13-2, Class B, 144A, 2.62%, due 05/20/26		832,252
	1,766,265	Marriott Vacation Club Owner Trust, Series 12-1A, Class B, 144A, Variable Rate, 3.50%, due 05/20/30		1,783,678
	347,801	Orange Lake Timeshare Trust, Series 12-AA, Class B, 144A, 4.87%, due 03/10/27		351,350
	1,547,351	Sierra Timeshare Receivables Funding LLC, Series 13-2A, Class B, 144A, Variable Rate, 2.92%, due 11/20/25		1,549,334
	327,353	Sierra Timeshare Receivables Funding LLC, Series 13-2A, Class C, 144A, Variable Rate, 4.75%, due 11/20/25		328,304
	423,891	Sierra Timeshare Receivables Funding LLC, Series 12-3A, Class B, 144A, 2.66%, due 08/20/29		423,991
	1,625,420	Silverleaf Finance XVII LLC, Series 13-A, Class B, 144A, 3.67%, due 03/16/26		1,623,747
	2,333,483	Westgate Resorts LLC, Series 17-1A, Class A, 144A, 3.05%, due 12/20/30		2,346,300
		Total Time Share		13,936,295
		Total Asset-Backed Securities		1,143,870,244

30 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Par Value†		Description	Value ($)
		U.S. Government Agency — 11.8%
	290,162	Agency for International Development Floater (Support of Jamaica), Variable Rate, 3 mo. LIBOR + .30%, 1.63%, due 10/01/18 (c)		288,571
	7,406,250	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR — .02%, Zero Coupon due 02/01/25 (c)		7,095,640
	7,125,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + .15%, 1.63%, due 10/29/26 (c)		6,824,190
	4,230,000	Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR, 1.47%, due 07/01/23 (c)		4,090,741
	2,500,000	Federal Home Loan Banks, 3 mo. LIBOR — .31%, 1.01%, due 08/15/18		2,496,267
	100,000,000	Federal National Mortgage Association, TBA, 3.50%, due 09/18/32		104,378,910
	20,000,000	Federal National Mortgage Association, TBA, 4.00%, due 09/13/47		21,128,906
		Total U.S. Government Agency		146,303,225
		TOTAL DEBT OBLIGATIONS (COST $1,258,443,502)		1,290,173,469

Par Value† / Shares		Description	Value ($)
		MUTUAL FUNDS — 3.3%
		United States — 3.3%
		Affiliated Issuers — 3.3%
	1,640,656	GMO U.S. Treasury Fund		41,000,000
		TOTAL MUTUAL FUNDS (COST $41,000,000)		41,000,000
		SHORT-TERM INVESTMENTS — 1.3%
		Money Market Funds — 0.2%
	2,854,852	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.93% (d)		2,854,852
		U.S. Government — 1.1%
	7,000,000	U.S. Treasury Bill, 0.98%, due 12/07/17 (e)		6,981,590
	7,000,000	U.S. Treasury Note, 0.88%, due 01/15/18 (e)		6,993,655
		Total U.S. Government		13,975,245
		TOTAL SHORT-TERM INVESTMENTS (COST $16,835,148)		16,830,097

PURCHASED OPTIONS — 0.1%

Description

Counterparty

Exercise Rate

Expiration Date

Principal Amount

Floating Rate Index

Pay/Receive Floating Rate

Notional Amount

Value ($)

Options on Credit Default Swaps – Puts — 0.1%

CDX.NA.HYS.28.V1-5Y

BOA

105.50

%

10/18/17

USD

43,075,000

Fixed Spread

Pay

USD

43,075,000

153,846

CDX.NA.IGS.28.V1-5Y

CITI

62.50

%

09/20/17

USD

85,970,000

Fixed Spread

Pay

USD

85,970,000

34,189

CDX.NA.IGS.28.V1-5Y

GS

62.50

%

09/20/17

USD

172,380,000

Fixed Spread

Pay

USD

172,380,000

68,554

CDX.NA.HYS.28.V1-5Y

CITI

105.50

%

10/18/17

USD

51,690,000

Fixed Spread

Pay

USD

51,690,000

184,615

CDX.NA.IGS.28.V1-5Y

CITI

75.00

%

09/20/17

USD

129,750,000

Fixed Spread

Pay

USD

129,750,000

8,719

Total Options on Credit Default Swaps Puts	449,923
TOTAL PURCHASED OPTIONS (COST $1,541,915)	449,923
TOTAL INVESTMENTS — 108.5% (Cost $1,317,820,565)	1,348,453,489

See accompanying notes to the financial statements. 31

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Par Value†			Description	Value ($)
			SECURITIES SOLD SHORT — (6.9)%
			Debt Obligations — (6.9)%
			U.S. Government Agency — (6.9)%
	(67,000,000	)	Federal National Mortgage Association, TBA, 3.00%, due 09/18/47		(69,187,968	)
	(16,000,000	)	Federal National Mortgage Association, TBA, 3.50%, due 09/18/47		(16,579,678	)
			Total U.S. Government Agency		(85,767,646	)
			TOTAL DEBT OBLIGATIONS (PROCEEDS $85,423,594)		(85,767,646	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $85,423,594)		(85,767,646	)
			Other Assets and Liabilities (net) — (1.6%)		(19,384,430	)
			TOTAL NET ASSETS — 100.0%		$1,243,301,413

A summary of outstanding financial instruments at August 31, 2017 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/20/2017	BCLY		EUR	5,392,751		USD	6,261,190	$	(174,051	)
10/20/2017	BCLY		USD	712,001		EUR	613,245		19,792
								$	(154,259	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Value and Net Unrealized Appreciation (Depreciation)
Buys
155	U.S. Treasury Note 2 Yr. (CBT)	December 2017	$	33,528,437	$	14,375

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

Written Options

Description	Counterparty	Exercise Rate			Expiration Date		Principal Amount		Floating Rate Index		Pay/Receive Floating Rate	Notional Amount		Value ($)
Written Options on Credit Default Swaps – Puts
CDX.NA.IGS.28.V1-5Y	GS		75.00	%		09/20/17	USD	129,285,000		Fixed Spread	Pay	USD	129,285,000		(8,688	)
CDX.NA.IGS.28V1-5Y	CITI		75.00	%		10/18/17	USD	172,380,000		Fixed Spread	Pay	USD	172,380,000		(62,022	)
CDX.NA.IGS.28.V1-5Y	CITI		75.00	%		10/18/17	USD	85,970,000		Fixed Spread	Pay	USD	85,970,000		(30,932	)
CDX.NA.HYS.28.V1- 5Y	JPM		102.00	%		12/20/17	USD	103,380,000		Fixed Spread	Pay	USD	103,380,000		(401,892	)
							TOTAL WRITTEN OPTIONS ON CREDIT DEFAULT SWAPS – PUTS (Premiums $998,213)								(503,534	)

32 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2017 (Unaudited)

Swap Contracts

Credit Default Swaps

Reference Entity	Counterparty	Notional Amount			Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received)			Value ($)			Net Unrealized Appreciation/ (Depreciation)
Buy Protection^:
MBIA, Inc.	GS	USD		21,650,000		5.00%		0.27%		N/A		12/20/2017		Quarterly	$	(1,044,612	)	$	(311,257	)	$	733,355
CDX-NA.IGS.25.V1-5Y	CITI	USD		4,300,000		1.00%		0.44%		N/A		12/20/2020		Quarterly		548,250			(22,937	)		(571,187	)
CDX.NA.HYS.25.V1-5Y	BOA	USD		4,400,000		5.00%		2.42%		N/A		12/20/2020		Quarterly		369,771			(364,685	)		(734,456	)
CDX.NA.HYS.25.V1-5Y	JPM	USD		4,343,000		5.00%		2.42%		N/A		12/20/2020		Quarterly		(26,058	)		(359,961	)		(333,903	)
CDX.NA.IGS.25.V1-5Y	BOA	USD		4,400,000		1.00%		0.84%		N/A		12/20/2020		Quarterly		710,844			(23,471	)		(734,315	)
CDX.NA.HYS.27.V1-5Y	NA	USD		16,270,650		5.00%		2.98%		N/A		12/20/2021		Quarterly		(764,721	)		(1,266,524	)		(501,803	)
CDX.NA.HYS.27.V2-5Y	GS	USD		8,580,000		5.00%		3.85%		N/A		12/20/2021		Quarterly		21,450			(399,743	)		(421,193	)
CDX.NA.HYS.27.V2-5Y	JPM	USD		4,300,000		5.00%		3.85%		N/A		12/20/2021		Quarterly		(11,825	)		(200,337	)		(188,512	)
CDX.NA.IGS.27.V1-5Y	NA	USD		74,116,050		1.00%		0.50%		N/A		12/20/2021		Quarterly		(1,526,380	)		(1,545,987	)		(19,607	)
ITRAXX-EUROPES26V1-5Y	NA	EUR		86,700,000		1.00%		0.48%		N/A		12/20/2021		Quarterly		(1,342,642	)		(2,298,327	)		(955,685	)
ITRAXX-EUROPES26V1-5Y	NA	EUR		25,800,000		1.00%		0.48%		N/A		12/20/2021		Quarterly		(365,742	)		(683,931	)		(318,189	)
CDX.NA.IGS.28.V1-5Y	NA	USD		17,200,000		1.00%		0.58%		N/A		06/20/2022		Quarterly		300,982			330,688			29,706
D.R. HORTON INC	BCLY	USD		17,200,000		1.00%		0.53%		N/A		06/20/2022		Quarterly		(165,250	)		(376,689	)		(211,439	)
ITRAXX-EUROPES27V1-5Y	NA	EUR		25,800,000		1.00%		0.55%		N/A		06/20/2022		Quarterly		(327,126	)		(660,988	)		(333,862	)
CMBX.NA.AA.7	CSI	USD		8,615,000		1.50%		1.00%		N/A		01/17/2047		Monthly		26,062			(24,140	)		(50,202	)
CMBX.NA.AS.7	GS	USD		4,400,000		1.00%		1.01%		N/A		01/17/2047		Monthly		112,812			(38,347	)		(151,159	)
CMBX.NA.AS.7	BOA	USD		4,505,000		1.00%		1.01%		N/A		01/17/2047		Monthly		47,352			(39,262	)		(86,614	)
CMBX.NA.AS.7	DB	USD		16,677,794		1.00%		1.01%		N/A		01/17/2047		Monthly		197,705			(145,350	)		(343,055	)
CMBX.NA.AS.7	MSCS	USD		13,270,000		1.00%		1.01%		N/A		01/17/2047		Monthly		205,782			(115,651	)		(321,433	)
CMBX.NA.AA.8	CSI	USD		4,446,000		1.50%		0.99%		N/A		10/17/2057		Monthly		132,548			55,353			(77,195	)
CMBX.NA.AA.8	CSI	USD		8,892,000		1.50%		0.99%		N/A		10/17/2057		Monthly		247,717			110,706			(137,011	)
CMBX.NA.AS.8	MSCS	USD		3,384,000		1.00%		1.00%		N/A		10/17/2057		Monthly		140,432			(15,938	)		(156,370	)
CMBX.NA.AS.8	CITI	USD		8,892,000		1.00%		1.00%		N/A		10/17/2057		Monthly		73,095			(41,880	)		(114,975	)
CMBX.NA.BBB-8	GS	USD		8,650,000		3.00%		0.83%		N/A		10/17/2057		Monthly		1,299,082			1,427,719			128,637
CMBX.NA.AAA.9	GS	USD		874,200		0.50%		0.99%		N/A		09/17/2058		Monthly		48,015			5,806			(42,209	)
CMBX.NA.BBB-.9	DB	USD	��	4,400,000		3.00%		0.88%		N/A		09/17/2058		Monthly		950,085			511,636			(438,449	)
CMBX.NA.BBB-.9	GS	USD		1,760,000		3.00%		0.88%		N/A		09/17/2058		Monthly		346,611			204,655			(141,956	)
CMBX.NA.BBB-.10	DB	USD		1,721,400		3.00%		0.90%		N/A		11/17/2059		Monthly		158,934			179,931			20,997
CMBX.NA.BBB-.10	GS	USD		3,446,000		3.00%		0.90%		N/A		11/17/2059		Monthly		319,628			360,196			40,568
CMBX.NA.BBB-.10	GS	USD		1,720,200		3.00%		0.90%		N/A		11/17/2059		Monthly		185,913			179,806			(6,107	)
CMBX.NA.BBB-.6	CSI	USD		4,325,000		3.00%		0.86%		N/A		05/11/2063		Monthly		251,716			608,581			356,865
CMBX.NA.BBB-.6	CSI	USD		5,184,000		3.00%		0.86%		N/A		05/11/2063		Monthly		286,167			729,452			443,285
CMBX.NA.BBB-.6	DB	USD		4,376,500		3.00%		0.86%		N/A		05/11/2063		Monthly		289,540			615,827			326,287
Sell Protection^:
CDX.NA.HYS.25.V2-5Y	CITI	USD		17,300,000		5.00%		0.86%		17,300,000 USD		12/20/2020		Quarterly		2,244,194			2,330,259			86,065
CDX.NA.HYS.27.V2-5Y	GS	USD		12,870,000		5.00%		1.41%		12,870,000 USD		12/20/2021		Quarterly		1,657,013			1,929,293			272,280
CDX.NA.HYS.27.V2-5Y	JPM	USD		8,600,000		5.00%		1.41%		8,600,000 USD		12/20/2021		Quarterly		1,143,800			1,289,193			145,393
ITRAXX-EUROPES26V1-5Y	BOA	EUR		173,400,000		1.00%		0.21%		173,400,000 EUR		12/20/2021		Quarterly		6,208,893			7,060,908			852,015
ITRAXX-EUROPES26V1-5Y	BOA	EUR		8,640,000		1.00%		0.21%		8,640,000 EUR		12/20/2021		Quarterly		287,718			351,824			64,106
ITRAXX-EUROPES26V1-5Y	BOA	EUR		43,200,000		1.00%		0.36%		43,200,000 EUR		12/20/2021		Quarterly		1,467,393			1,759,119			291,726
															$	14,705,148		$	11,105,547		$	(3,599,601	)

^ Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to 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.

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

See accompanying notes to the financial statements. 33

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2017 (Unaudited)

⁽¹⁾  As of August 31, 2017, 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.

Interest Rate Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received)			Value ($)			Net Unrealized Appreciation/ (Depreciation)
1.27%	3 Month USD LIBOR	N/A		USD	10,495,000		03/10/2021	Quarterly	$	—		$	140,428		$	140,428
1.75%	3 Month USD LIBOR	N/A		USD	11,248,000		03/16/2021	Quarterly		(147,476	)		(35,014	)		112,462
2.00%	3 Month USD LIBOR	N/A		USD	19,668,000		04/16/2025	Quarterly		(91,173	)		(63,368	)		27,805
1.65%	3 Month USD LIBOR	N/A		USD	10,466,000		05/19/2026	Quarterly		252,588			317,052			64,464
1.60%	3 Month USD LIBOR	N/A		USD	1,069,000		06/10/2026	Quarterly		—			37,255			37,255
1.42%	3 Month USD LIBOR	N/A		USD	8,168,000		07/20/2026	Quarterly		30,724			411,095			380,371
1.46%	3 Month USD LIBOR	N/A		USD	12,133,000		08/17/2026	Quarterly		715,384			579,343			(136,041	)
2.12%	3 Month USD LIBOR	N/A		USD	7,797,000		06/23/2027	Quarterly		—			(42,532	)		(42,532	)
									$	760,047		$	1,344,259		$	584,212

Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received)		Value ($)		Net Unrealized Appreciation/ (Depreciation)
Total Return on iBoxx USD Liquid Leveraged Loans Index	3 Month USD LIBOR	GS		USD	25,000,000	12/20/2017		Quarterly	$	22,110	$	128,548	$	106,438
Total Return on iBoxx USD Liquid Leveraged Loans Index	1 Month USD LIBOR	GS		USD	15,000,000	12/20/2017		Quarterly		20,695		135,384		114,689
Total Return on iBoxx USD Liquid Leveraged Loans Index	3 Month USD LIBOR	JPM		USD	10,000,000	12/20/2017		Quarterly		9,905		58,142		48,237
									$	52,710	$	322,074	$	269,364

As of August 31, 2017, 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.

34 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2017 (Unaudited)

Notes to Schedule of Investments:

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

◆ These securities are primarily backed by subprime mortgages.

(a) Investment valued using significant unobservable inputs (Note 2).

(b) Security is in default.

(c) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(d) The rate disclosed is the 7 day net yield as of August 31, 2017.

(e) 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 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 38.

See accompanying notes to the financial statements. 35

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2017 (Unaudited)

Asset Class Summary	% of Total Net Assets
Short-Term Investments		100.2	%
Other		(0.2	)
		100.0	%

36

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 100.2%
		United States — 100.2%
		U.S. Government Agency — 11.1%
	37,300,000	Federal Home Loan Bank Discount Notes, Zero Coupon, due 11/08/17		37,228,123
	50,000,000	Federal Home Loan Banks, 0.88%, due 10/01/18		49,772,250
	25,000,000	Federal Home Loan Banks, 1 mo. LIBOR — .09%, 1.14%, due 01/14/19		24,993,343
	100,000,000	Federal Home Loan Banks, 3 mo. LIBOR — .16%, 1.16%, due 01/28/19		99,979,661
	25,000,000	Federal Home Loan Banks, 1 mo. LIBOR — .08%, 1.15%, due 04/26/19		24,991,820
		Total U.S. Government Agency		236,965,197
		U.S. Government — 84.8%
	97,000,000	U.S. Treasury Bill, 1.08%, due 10/05/17 (a)		96,899,228
	156,000,000	U.S. Treasury Bill, 1.10%, due 10/19/17 (a)		155,769,761
	19,500,000	U.S. Treasury Bill, 0.97%, due 11/24/17 (a)		19,456,263
	16,500,000	U.S. Treasury Bill, 0.98%, due 12/07/17 (a)		16,456,604
	23,000,000	U.S. Treasury Bill, 0.94%, due 12/14/17 (a)		22,938,207
	35,000,000	U.S. Treasury Bill, 1.01%, due 12/28/17 (a)		34,885,565
	100,000,000	U.S. Treasury Bill, 1.17%, due 01/02/18 (a)		99,641,250
	75,000,000	U.S. Treasury Bill, 1.02%, due 01/11/18 (a)		74,722,250
	107,000,000	U.S. Treasury Bill, 1.06%, due 02/01/18 (a)		106,523,649
	19,000,000	U.S. Treasury Bill, 1.06%, due 02/08/18 (a)		18,911,544
	15,000,000	U.S. Treasury Bill, 1.07%, due 02/15/18 (a)		14,926,416
	23,000,000	U.S. Treasury Note, 1.00%, due 09/15/17		22,999,784
	299,000,000	U.S. Treasury Note, 0.75%, due 10/31/17		298,844,520
	52,000,000	U.S. Treasury Note, 0.88%, due 11/30/17		51,973,550
	123,700,000	U.S. Treasury Note, 2.25%, due 11/30/17		124,053,076
	95,000,000	U.S. Treasury Note, 1.00%, due 12/15/17		94,972,194
	65,000,000	U.S. Treasury Note, 0.88%, due 01/15/18		64,941,083
	42,000,000	U.S. Treasury Note, 0.75%, due 02/28/18		41,917,969
	50,000,000	U.S. Treasury Note, 2.75%, due 02/28/18		50,402,235

Par Value† / Shares		Description	Value ($)
		U.S. Government — continued
	50,000,000	U.S. Treasury Note, 0.75%, due 03/31/18		49,875,000
	56,000,000	U.S. Treasury Note, 2.88%, due 03/31/18		56,546,991
	50,000,000	U.S. Treasury Note, 1.13%, due 06/15/18		49,958,985
	50,000,000	U.S. Treasury Note, 0.75%, due 08/31/18		49,757,813
	200,000,000	U.S. Treasury Note, USBM + 0.07%, 1.09%, due 04/30/19		200,074,746
		Total U.S. Government		1,817,448,683
		Money Market Funds — 0.1%
	2,018,447	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.93% (b)		2,018,447
		Repurchase Agreements — 4.2%
	89,982,528	Daiwa Capital Markets America Inc. Repurchase Agreement, dated 08/31/17, maturing on 09/01/17 with a maturity value of $89,985,328 and an effective yield of 1.12%, collateralized by a U.S. Treasury Note with maturity date 07/15/18 and a market value of $91,829,665.		89,982,528
		TOTAL SHORT-TERM INVESTMENTS (COST $2,146,414,907)		2,146,414,855
		TOTAL INVESTMENTS — 100.2% (Cost $2,146,414,907)		2,146,414,855
		Other Assets and Liabilities (net) — (0.2%)		(4,459,821	)
		TOTAL NET ASSETS — 100.0%		$2,141,955,034

Notes to Schedule of Investments:

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

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

(b) The rate disclosed is the 7 day net yield as of August 31, 2017.

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 38.

See accompanying notes to the financial statements. 37

GMO Trust Funds

Schedule of Investments — (Continued)

August 31, 2017 (Unaudited)

Portfolio Abbreviations:

144A - Securities exempt from registration under Rule 144A of the Securities Act

of 1933. These securities may be resold in transactions exempt from registration,

normally to qualified institutional investors.

AMBAC - Insured as to the payment of principal and interest by AMBAC

Assurance Corporation.

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

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

CDO - Collateralized Debt Obligation

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

CJSC - Closed Joint-Stock Company

CLO - Collateralized Loan Obligation

CMBS - Commercial Mortgage Backed Security

CP - Counterparty

EURIBOR - Euro Interbank Offered Rate

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

Insurance Corporation.

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

Assurance.

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

GDP – Gross Domestic Product

JPY LIBOR - London Interbank Offered Rate denominated in Japanese Yen

LIBOR - London Interbank Offered Rate

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

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

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

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

USGG - U.S. Generic Government

VRRB - Variable Rate Reduction Bond

The rates shown on variable rate notes are the current interest rates at August 31, 2017, which are subject to change based on the terms of the security.

Counterparty Abbreviations:

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

CITI - Citibank N.A.

CSI - Credit Suisse International

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

MSCS - Morgan Stanley Capital Services LLC

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DEM - Deutsche Mark

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NZD - New Zealand Dollar

SEK - Swedish Krona

USD - United States Dollar

ZAR - South African Rand

38 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2017 (Unaudited)

	Asset Allocation Bond Fund		Core Plus Bond Fund		Currency Hedged International Bond Fund		Emerging Country Debt Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	—	$	350,024,369	$	18,398,826	$	96,289,253
Investments in unaffiliated issuers, at value (Note 2)(b)		1,269,547,142		801,132,445		24,602,567		4,038,984,863
Foreign currency, at value (Note 2)(c)		—		10		—		2
Cash		—		—		—		3,089,479
Receivable for swap contracts sold		—		—		2,466		—
Dividends and interest receivable		1,997,718		1,505,034		302,562		63,644,356
Unrealized appreciation on open forward currency contracts (Note 4)		27,019,862		509,010		273,231		—
Receivable for variation margin on open futures contracts (Note 4)		—		185,392		6,167		—
Due from broker (Note 2)		4,567,719		4,871,058		206,777		7,736,800
Receivable for open OTC swap contracts (Note 4)		—		—		—		11,438,702
Interest receivable for open OTC swap contracts		—		—		—		1,248,187
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		29,047		111,936		12,883		5,800
Receivable for options (Note 4)(d)		—		—		—		254,291
Miscellaneous receivable		13,623		—		—		66,970
Total assets		1,303,175,111		1,158,339,254		43,805,479		4,222,758,703
Liabilities:
Foreign currency due to custodian		5,566		—		485		—
Payable for Fund shares repurchased		—		6,937,206		—		8,694,497
Payable for purchases of delayed delivery securities		—		151,785,081		—		—
Payable to affiliate for (Note 5):
Management fee		272,130		214,030		9,551		1,217,774
Shareholder service fee		80,032		86,382		5,731		391,885
Payable for variation margin on open cleared swap contracts (Note 4)		147,771		181,800		10,368		216,394
Unrealized depreciation on open forward currency contracts (Note 4)		29,189,532		729,514		742,253		1,927,031
Interest payable for open OTC swap contracts		—		—		—		943,961
Payable for open OTC swap contracts (Note 4)		—		—		—		50,373,817
Payable for reverse repurchase agreements (Note 2)		—		—		—		30,597,639
Payable for options (Note 4)(d)		—		—		—		2,315,251
Payable to agents unaffiliated with GMO		217		93		—		682
Payable to Trustees and related expenses		2,265		38		28		3,021
Accrued expenses		282,107		127,676		102,986		674,972
Total liabilities		29,979,620		160,061,820		871,402		97,356,924
Net assets	$	1,273,195,491	$	998,277,434	$	42,934,077	$	4,125,401,779
(a)      Cost of investments – affiliated issuers:	$	—	$	343,413,717	$	17,405,017	$	93,156,925
(b)      Cost of investments – unaffiliated issuers:	$	1,256,375,272	$	791,170,785	$	24,244,220	$	3,858,420,108
(c)      Cost of foreign currency:	$	—	$	10	$	—	$	6
(d)      Premiums on options:	$	—	$	—	$	—	$	5,641,071

See accompanying notes to the financial statements. 39

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2017 (Unaudited) — (Continued)

	Asset Allocation Bond Fund			Core Plus Bond Fund			Currency Hedged International Bond Fund			Emerging Country Debt Fund
Net assets consist of:
Paid-in capital	$	1,315,948,381		$	1,003,192,414		$	50,943,946		$	4,036,790,888
Accumulated undistributed (distributions in excess of) net investment income		14,323,849			5,354,186			96,122			71,552,722
Accumulated net realized gain (loss)		(66,435,172	)		(26,549,756	)		(8,978,544	)		(166,175,928	)
Net unrealized appreciation (depreciation)		9,358,433			16,280,590			872,553			183,234,097
	$	1,273,195,491		$	998,277,434		$	42,934,077		$	4,125,401,779
Net assets attributable to:
Class III	$	239,828,089		$	13,696,310		$	42,934,077		$	1,058,867,960
Class IV	$	—		$	984,581,124		$	—		$	3,066,533,819
Class VI	$	1,033,367,402		$	—		$	—		$	—
Shares outstanding:
Class III		10,709,622			629,791			1,610,260			34,999,033
Class IV		—			45,157,125			—			101,501,075
Class VI		45,971,310			—			—			—
Net asset value per share:
Class III	$	22.39		$	21.75		$	26.66		$	30.25
Class IV	$	—		$	21.80		$	—		$	30.21
Class VI	$	22.48		$	—		$	—		$	—

40 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2017 (Unaudited) — (Continued)

	Opportunistic Income Fund		U.S. Treasury Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	41,000,000	$	—
Investments in unaffiliated issuers, at value (Note 2)(b)		1,307,453,489		2,146,414,855
Cash		870,877		—
Receivable for investments sold		86,667,616		99,758,981
Dividends and interest receivable		3,634,251		3,436,005
Unrealized appreciation on open forward currency contracts (Note 4)		19,792		—
Receivable for variation margin on open futures contracts (Note 4)		2,421		—
Due from broker (Note 2)		3,681,623		—
Receivable for open OTC swap contracts (Note 4)		20,032,338		—
Interest receivable for open OTC swap contracts		989,748		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		41,882		180,968
Miscellaneous receivable		11,879		—
Total assets		1,464,405,916		2,249,790,809
Liabilities:
Investments sold short, at value (Note 2) (c)		85,767,646		—
Foreign currency due to custodian		8,482		—
Payable for investments purchased		2,622,352		99,642,958
Payable for Fund shares repurchased		2,969,867		7,277,305
Payable for purchases of delayed delivery securities		125,210,157		—
Payable to affiliate for (Note 5):
Management fee		424,188		152,883
Shareholder service fee		58,327		—
Payable for variation margin on open cleared swap contracts (Note 4)		264,624		—
Dividend payable		—		521,826
Unrealized depreciation on open forward currency contracts (Note 4)		174,051		—
Interest payable for open OTC swap contracts		399,839		—
Payable for open OTC swap contracts (Note 4)		2,479,648		—
Written options outstanding, at value (Note 4)(d)		503,534		—
Payable to agents unaffiliated with GMO		186		436
Payable to Trustees and related expenses		1,261		2,648
Accrued expenses		220,341		237,719
Total liabilities		221,104,503		107,835,775
Net assets	$	1,243,301,413	$	2,141,955,034
(a)      Cost of investments – affiliated issuers:	$	41,000,000	$	—
(b)      Cost of investments – unaffiliated issuers:	$	1,276,820,565	$	2,146,414,907
(c)      Proceeds from securities sold short:	$	85,423,594	$	—
(d)      Premiums on written options:	$	998,213	$	—

See accompanying notes to the financial statements. 41

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2017 (Unaudited) — (Continued)

	Opportunistic Income Fund			U.S. Treasury Fund
Net assets consist of:
Paid-in capital	$	1,315,661,323		$	2,142,671,445
Accumulated undistributed (distributions in excess of) net investment income		27,577,790			—
Accumulated net realized gain (loss)		(127,840,675	)		(716,359	)
Net unrealized appreciation (depreciation)		27,902,975			(52	)
	$	1,243,301,413		$	2,141,955,034
Net assets attributable to:
Core Class	$	—		$	2,141,955,034
Class VI	$	1,243,301,413		$	—
Shares outstanding:
Core Class		—			85,700,029
Class VI		46,941,714			—
Net asset value per share:
Core Class	$	—		$	24.99
Class VI	$	26.49		$	—

42 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2017 (Unaudited)

	Asset Allocation Bond Fund			Core Plus Bond Fund			Currency Hedged International Bond Fund			Emerging Country Debt Fund
Investment Income:
Interest	$	15,495,659		$	2,998,741		$	278,774		$	131,402,087
Dividends from affiliated issuers (Note 10)		—			1,734,125			132,363			442,708
Dividends from unaffiliated issuers		16,015			1,633,532			1,107			433,822
Total investment income		15,511,674			6,366,398			412,244			132,278,617
Expenses:
Management fee (Note 5)		1,779,268			880,839			67,823			7,182,848
Shareholder service fee – Class III (Note 5)		205,684			15,107			40,694			784,231
Shareholder service fee – Class IV (Note 5)		—			342,264			—			1,529,421
Shareholder service fee – Class VI (Note 5)		316,022			—			—			—
Audit and tax fees		46,712			49,140			45,912			85,276
Custodian, fund accounting agent and transfer agent fees		120,032			36,180			19,732			568,952
Legal fees		25,452			14,422			3,252			37,376
Registration fees		1,568			3,448			1,520			14,136
Trustees’ fees and related expenses (Note 5)		18,150			6,866			634			48,105
Interest expense (Note 2)		41,943			4,412			315			31,701
Miscellaneous		9,900			4,412			4,502			32,480
Total expenses		2,564,731			1,357,090			184,384			10,314,526
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(195,208	)		(98,646	)		(72,216	)		—
Indirectly incurred management fees waived or borne by GMO (Note 5)		—			(340,898	)		(11,666	)		(29,968	)
Indirectly incurred shareholder service fee waived or borne by GMO (Note 5)		—			(55,964	)		(2,458	)		(4,121	)
Net expenses		2,369,523			861,582			98,044			10,280,437
Net investment income (loss)		13,142,151			5,504,816			314,200			121,998,180
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(282,841	)		1,608,112			(46,033	)		58,563,487
Investments in affiliated issuers		—			(32,256	)		338,058			(4,802	)
Futures contracts		—			2,481,173			358,084			—
Options		—			—			—			2,182,287
Swap contracts		393,407			1,470,687			(23,353	)		(100,658	)
Forward currency contracts		(2,186,171	)		(934,584	)		(2,227,945	)		(4,748,495	)
Foreign currency and foreign currency related transactions		40,676			199,175			14,305			(362,103	)
Net realized gain (loss)		(2,034,929	)		4,792,307			(1,586,884	)		55,529,716
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		178,562			8,193,609			3,195,503			90,817,478
Investments in affiliated issuers		—			5,591,581			(130,312	)		373,179
Futures contracts		—			102,001			(168,083	)		—
Options		—			—			—			(590,060	)
Swap contracts		4,027,900			19,993			133,687			(9,172,455	)
Forward currency contracts		(562,596	)		(225,459	)		(676,304	)		(2,128,492	)
Foreign currency and foreign currency related transactions		(5,245	)		(1	)		26,772			425,651
Net change in unrealized appreciation (depreciation)		3,638,621			13,681,724			2,381,263			79,725,301
Net realized and unrealized gain (loss)		1,603,692			18,474,031			794,379			135,255,017
Net increase (decrease) in net assets resulting from operations	$	14,745,843		$	23,978,847		$	1,108,579		$	257,253,197

See accompanying notes to the financial statements. 43

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2017 (Unaudited) — (Continued)

	Opportunistic Income Fund			U.S. Treasury Fund
Investment Income:
Interest	$	32,483,352		$	10,894,520
Dividends from affiliated issuers (Note 10)		108,782			—
Dividends from unaffiliated issuers		22,559			—
Total investment income		32,614,693			10,894,520
Expenses:
Management fee (Note 5)		2,584,172			1,005,656
Shareholder service fee – Class VI (Note 5)		355,323			—
Audit and tax fees		83,720			25,492
Custodian, fund accounting agent and transfer agent fees		126,412			149,712
Legal fees		19,584			17,960
Registration fees		752			652
Trustees’ fees and related expenses (Note 5)		15,542			30,763
Interest expense (Note 2)		1,996			—
Miscellaneous		22,732			9,652
Total expenses		3,210,233			1,239,887
Indirectly incurred management fees waived or borne by GMO (Note 5)		(247,584	)		(1,204,548	)
Net expenses		2,962,649			35,339
Net investment income (loss)		29,652,044			10,859,181
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(3,609,987	)		(667,910	)
Investments in affiliated issuers		(31,850	)		—
Investments in securities sold short		(899,453	)		—
Futures contracts		2,130,447			—
Written options		1,868,497			—
Swap contracts		(3,581,221	)		—
Forward currency contracts		(407,367	)		—
Foreign currency and foreign currency related transactions		(8,855	)		—
Net realized gain (loss)		(4,539,789	)		(667,910	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		16,239,636			67,390
Investments in affiliated issuers		20,329			—
Investments in securities sold short		(180,579	)		—
Futures contracts		14,375			—
Written options		(109,027	)		—
Swap contracts		(867,274	)		—
Forward currency contracts		(229,548	)		—
Foreign currency and foreign currency related transactions		5,333			—
Net change in unrealized appreciation (depreciation)		14,893,245			67,390
Net realized and unrealized gain (loss)		10,353,456			(600,520	)
Net increase (decrease) in net assets resulting from operations	$	40,005,500		$	10,258,661

44 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets

	Asset Allocation Bond Fund						Core Plus Bond Fund
	Six Months Ended August 31, 2017 (Unaudited)			Year Ended February 28, 2017			Six Months Ended August 31, 2017 (Unaudited)			Year Ended February 28, 2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	13,142,151		$	18,537,024		$	5,504,816		$	1,217,245
Net realized gain (loss)		(2,034,929	)		(36,813,549	)		4,792,307			1,977,452
Change in net unrealized appreciation (depreciation)		3,638,621			18,097,433			13,681,724			3,180,345
Net increase (decrease) in net assets from operations		14,745,843			(179,092	)		23,978,847			6,375,042
Distributions to shareholders from:
Net investment income
Class III		—			—			(31,315	)		(240,429	)
Class IV		—			—			(1,247,912	)		(3,760,584	)
Total distributions from net investment income		—			—			(1,279,227	)		(4,001,013	)
Net share transactions (Note 9):
Class III		(45,166,969	)		(70,279,130	)		(9,063,729	)		(30,050,465	)
Class IV		—			—			396,035,964			349,034,173
Class VI		(188,376,975	)		(678,881,916	)		—			—
Increase (decrease) in net assets resulting from net share transactions		(233,543,944	)		(749,161,046	)		386,972,235			318,983,708
Total increase (decrease) in net assets		(218,798,101	)		(749,340,138	)		409,671,855			321,357,737
Net assets:
Beginning of period		1,491,993,592			2,241,333,730			588,605,579			267,247,842
End of period	$	1,273,195,491		$	1,491,993,592		$	998,277,434		$	588,605,579
Accumulated undistributed (distributions in excess of) net investment income	$	14,323,849		$	1,181,698		$	5,354,186		$	1,128,597

See accompanying notes to the financial statements. 45

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Currency Hedged International Bond Fund						Emerging Country Debt Fund
	Six Months Ended August 31, 2017 (Unaudited)			Year Ended February 28, 2017			Six Months Ended August��31, 2017 (Unaudited)			Year Ended February 28, 2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	314,200		$	724,543		$	121,998,180		$	280,182,427
Net realized gain (loss)		(1,586,884	)		3,177,910			55,529,716			113,177,971
Change in net unrealized appreciation (depreciation)		2,381,263			(2,205,960	)		79,725,301			332,027,309
Net increase (decrease) in net assets from operations		1,108,579			1,696,493			257,253,197			725,387,707
Distributions to shareholders from:
Net investment income
Class III		(814,088	)		(2,050,085	)		(20,482,589	)		(62,354,207	)
Class IV		—			—			(64,000,017	)		(215,087,917	)
Total distributions from net investment income		(814,088	)		(2,050,085	)		(84,482,606	)		(277,442,124	)
Net share transactions (Note 9):
Class III		(16,593,037	)		(1,932,534	)		(55,632,735	)		142,444,973
Class IV		—			—			(79,685,746	)		(438,892,230	)
Increase (decrease) in net assets resulting from net share transactions		(16,593,037	)		(1,932,534	)		(135,318,481	)		(296,447,257	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			695,229			1,373,509
Class IV		—			—			2,009,353			4,896,963
Increase in net assets resulting from purchase premiums and redemption fees		—			—			2,704,582			6,270,472
Total increase (decrease) in net assets resulting from net share transactions		(16,593,037	)		(1,932,534	)		(132,613,899	)		(290,176,785	)
Total increase (decrease) in net assets		(16,298,546	)		(2,286,126	)		40,156,692			157,768,798
Net assets:
Beginning of period		59,232,623			61,518,749			4,085,245,087			3,927,476,289
End of period	$	42,934,077		$	59,232,623		$	4,125,401,779		$	4,085,245,087
Accumulated undistributed (distributions in excess of) net investment income	$	96,122		$	596,010		$	71,552,722		$	34,037,148

46 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Opportunistic Income Fund						U.S. Treasury Fund
	Six Months Ended August 31, 2017 (Unaudited)			Year Ended February 28, 2017			Six Months Ended August 31, 2017 (Unaudited)			Year Ended February 28, 2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	29,652,044		$	59,643,313		$	10,859,181		$	15,360,860
Net realized gain (loss)		(4,539,789	)		(5,837,862	)		(667,910	)		1,442,520
Change in net unrealized appreciation (depreciation)		14,893,245			58,780,529			67,390			162,701
Net increase (decrease) in net assets from operations		40,005,500			112,585,980			10,258,661			16,966,081
Distributions to shareholders from:
Net investment income
Core Class		—			—			(10,859,181	)		(15,360,860	)
Class VI		(6,473,469	)		(37,550,318	)		—			—
Total distributions from net investment income		(6,473,469	)		(37,550,318	)		(10,859,181	)		(15,360,860	)
Net realized gains
Core Class		—			—			—			(1,586,333	)
Total distributions from net realized gains		—			—			—			(1,586,333	)
Net share transactions (Note 9):
Core Class		—			—			(524,141,585	)		(1,366,825,724	)
Class VI		(302,640,977	)		(213,820,554	)		—			—
Increase (decrease) in net assets resulting from net share transactions		(302,640,977	)		(213,820,554	)		(524,141,585	)		(1,366,825,724	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class VI		1,516,525			1,659,519			—			—
Increase in net assets resulting from purchase premiums and redemption fees		1,516,525			1,659,519			—			—
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(301,124,452	)		(212,161,035	)		(524,141,585	)		(1,366,825,724	)
Total increase (decrease) in net assets		(267,592,421	)		(137,125,373	)		(524,742,105	)		(1,366,806,836	)
Net assets:
Beginning of period		1,510,893,834			1,648,019,207			2,666,697,139			4,033,503,975
End of period	$	1,243,301,413		$	1,510,893,834		$	2,141,955,034		$	2,666,697,139
Accumulated undistributed (distributions in excess of) net investment income	$	27,577,790		$	4,399,215		$	—		$	—

See accompanying notes to the financial statements. 47

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

ASSET ALLOCATION BOND FUND

	Class III Shares																								Class VI Shares
	Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,
					2017				2016				2015				2014				2013								2017				2016				2015				2014				2013
Net asset value, beginning of period		$	22.15			$	22.16			$	26.36			$	24.57			$	24.43			$	24.60			$	22.23			$	22.21			$	26.40			$	24.60			$	24.46			$	24.61
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.20				0.18				0.01				0.38				0.00	(b)			(0.02	)			0.21				0.21				0.06				0.22				0.03				0.01
Net realized and unrealized gain (loss)			0.04				(0.19	)			(2.58	)			2.48				0.17				0.12				0.04				(0.19	)			(2.61	)			2.68				0.16				0.11
Total from investment operations			0.24				(0.01	)			(2.57	)			2.86				0.17				0.10				0.25				0.02				(2.55	)			2.90				0.19				0.12
Less distributions to shareholders:
From net investment income			—				—				(1.63	)			(0.67	)			(0.03	)			(0.01	)			—				—				(1.64	)			(0.70	)			(0.05	)			(0.01	)
From net realized gains			—				—				—				(0.40	)			—				(0.26	)			—				—				—				(0.40	)			—				(0.26	)
Total distributions			—				—				(1.63	)			(1.07	)			(0.03	)			(0.27	)			—				—				(1.64	)			(1.10	)		��	(0.05	)			(0.27	)
Net asset value, end of period		$	22.39			$	22.15			$	22.16			$	26.36			$	24.57			$	24.43			$	22.48			$	22.23			$	22.21			$	26.40			$	24.60			$	24.46
Total Return(c)			1.08	%**			(0.05	)%			(9.88	)%			11.92	%			0.72	%			0.42	%			1.12	%**			0.09	%			(9.79	)%			12.05	%			0.79	%			0.52	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	239,828			$	282,272			$	352,828			$	421,910			$	260,775			$	91,186			$	1,033,367			$	1,209,721			$	1,888,505			$	4,652,197			$	2,849,433			$	88,029
Net operating expenses to average daily net assets			0.40	%*			0.41	%(e)			0.40	%(e)			0.40	%(e)			0.40	%(d)(e)			0.40	%(e)			0.31	%*			0.31	%(e)			0.31	%(e)			0.31	%(e)			0.31	%(d)(e)			0.31	%(e)
Interest and/or dividend expenses to average daily net assets(g)			0.01	%*			0.00	%(f)			0.02	%			0.01	%			0.00	%(f)			0.00	%			0.01	%*			0.00	%(f)			0.02	%			0.01	%			0.00	%(f)			—
Total net expenses to average daily net assets			0.41	%*			0.41	%(e)			0.42	%(e)			0.41	%(e)			0.40	%(e)			0.40	%(e)			0.32	%*			0.31	%(e)			0.33	%(e)			0.32	%(e)			0.31	%(e)			0.31	%(e)
Net investment income (loss) to average daily net assets(a)			1.76	%*			0.81	%			0.03	%			1.49	%			0.01	%			(0.08	)%			1.87	%*			0.94	%			0.27	%			0.84	%			0.13	%			0.02	%
Portfolio turnover rate			55	%(h)**			130	%(h)			177	%			177	%			32	%			233	%			55	%(h)**			130	%(h)			177	%			177	%			32	%			233	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%*			0.02	%			0.03	%			0.02	%			0.02	%			0.08	%			0.03	%*			0.02	%			0.03	%			0.02	%			0.02	%			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)  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)  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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 126% and 55%, respectively, of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

48 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, 2017 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,
					2017(a)				2016(a)				2015(a)				2014(a)				2013(a)								2017(a)				2016(a)				2015(a)				2014(a)				2013(a)
Net asset value, beginning of period		$	21.10			$	21.39			$	23.43			$	22.35			$	22.23			$	21.39			$	21.15			$	21.45			$	23.49			$	22.41			$	22.29			$	21.42
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.17				0.26				0.24				0.21				0.21				0.21				0.17				0.24				0.27				0.21				0.21				0.24
Net realized and unrealized gain (loss)			0.52				0.25				(1.14	)			1.83				0.24				1.62				0.52				0.29				(1.17	)			1.83				0.27				1.62
Total from investment operations			0.69				0.51				(0.90	)			2.04				0.45				1.83				0.69				0.53				(0.90	)			2.04				0.48				1.86
Less distributions to shareholders:
From net investment income			(0.04	)			(0.80	)			(1.14	)			(0.96	)			(0.33	)			(0.99	)			(0.04	)			(0.83	)			(1.14	)			(0.96	)			(0.36	)			(0.99	)
Total distributions			(0.04	)			(0.80	)			(1.14	)			(0.96	)			(0.33	)			(0.99	)			(0.04	)			(0.83	)			(1.14	)			(0.96	)			(0.36	)			(0.99	)
Net asset value, end of period		$	21.75			$	21.10			$	21.39			$	23.43			$	22.35			$	22.23			$	21.80			$	21.15			$	21.45			$	23.49			$	22.41			$	22.29
Total Return(c)			3.27	%**			2.44	%			(3.93	)%			9.25	%			2.15	%			8.67	%			3.29	%**			2.55	%			(3.91	)%			9.32	%			2.15	%			8.85	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	13,696			$	22,172			$	52,187			$	51,045			$	48,632			$	48,831			$	984,581			$	566,433			$	215,060			$	191,054			$	191,571			$	190,527
Net operating expenses to average daily net assets(d)			0.29	%*			0.35	%			0.35	%			0.37	%			0.38	%			0.38	%(e)			0.24	%*			0.30	%			0.30	%			0.32	%			0.33	%			0.33	%(e)
Interest and/or dividend expenses to average daily net assets(g)			0.00	%(f)*			0.00	%(f)			0.01	%			0.00	%(f)			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)			0.29	%*			0.35	%			0.36	%			0.37	%			0.38	%			0.38	%(e)			0.24	%*			0.30	%			0.31	%			0.32	%			0.33	%			0.33	%(e)
Net investment income (loss) to average daily net assets(b)			1.55	%*			1.21	%			1.14	%			0.89	%			0.95	%			1.02	%			1.56	%*			1.10	%			1.17	%			0.94	%			0.99	%			1.07	%
Portfolio turnover rate			83	%(h)**			216	%(h)			21	%			128	%			87	%			135	%			83	% (h)**			216	%(h)			21	%			128	%			87	%			135	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(i)			0.14	%*			0.30	%			0.21	%			0.15	%			0.12	%			0.13	%			0.14	%*			0.26	%			0.21	%			0.15	%			0.12	%			0.13	%

^(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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 325% and 89%, respectively, of the average value of its portfolio.

⁽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. 49

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, 2017 (Unaudited)				Year Ended February 28/29,
					2017(a)				2016(a)				2015(a)				2014(a)				2013(a)
Net asset value, beginning of period		$	26.50			$	26.67			$	29.70			$	26.70			$	26.28			$	25.05
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.15				0.32				0.27				0.33				0.36				0.42
Net realized and unrealized gain (loss)			0.42				0.42				(0.72	)			4.14				0.42				1.92
Total from investment operations			0.57				0.74				(0.45	)			4.47				0.78				2.34
Less distributions to shareholders:
From net investment income			(0.41	)			(0.91	)			(2.58	)			(1.47	)			(0.33	)			(1.11	)
Return of capital			—				—				—				—				(0.03	)			—
Total distributions			(0.41	)			(0.91	)			(2.58	)			(1.47	)			(0.36	)			(1.11	)
Net asset value, end of period		$	26.66			$	26.50			$	26.67			$	29.70			$	26.70			$	26.28
Total Return(c)			2.18	%**			2.79	%			(1.17	)%			17.02	%			3.04	%			9.43	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	42,934			$	59,233			$	61,519			$	71,891			$	71,837			$	69,527
Net operating expenses to average daily net assets(d)			0.36	%*			0.40	%			0.38	%			0.36	%			0.39	%			0.40	%
Interest and/or dividend expenses to average daily net assets(f)			0.00	%(e)*			0.00	%(e)			0.01	%			0.00	%(e)			0.00	%(e)			—
Total net expenses to average daily net assets(d)			0.36	%*			0.40	%			0.39	%			0.36	%			0.39	%			0.40	%
Net investment income (loss) to average daily net assets(b)			1.16	%*			1.17	%			1.03	%			1.19	%			1.41	%			1.61	%
Portfolio turnover rate			—	(g)**			—	(g)			69	%			117	%			13	%			34	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(h)			0.32	%*			0.31	%			0.58	%			0.27	%			0.24	%			0.27	%

^(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)  Ratio is less than 0.01%.

^(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)  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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 21% and 24%, respectively, of the average value of its portfolio.

^(h)  Ratios include indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

50 See accompanying notes to the financial statements.

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, 2017 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,
					2017(a)				2016(a)				2015(a)				2014(a)				2013(a)								2017(a)				2016(a)				2015(a)				2014(a)				2013(a)
Net asset value, beginning of period		$	28.99			$	26.01			$	28.47			$	29.31			$	31.02			$	28.77			$	28.95			$	25.98			$	28.44			$	29.28			$	30.99			$	28.74
									��
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.88				1.94				1.53				1.77	(c)			1.80				2.31				0.89				1.95				1.53				1.80	(c)			1.80				2.37
Net realized and unrealized gain (loss)			1.00				3.01	(d)			(2.04	)			(0.03	)			(1.77	)			2.46				1.00				3.01	(d)			(2.01	)			(0.06	)			(1.74	)			2.43
Total from investment operations			1.88				4.95				(0.51	)			1.74				0.03				4.77				1.89				4.96				(0.48	)			1.74				0.06				4.80
Less distributions to shareholders:
From net investment income			(0.62	)			(1.97	)			(1.95	)			(2.58	)			(1.74	)			(2.52	)			(0.63	)			(1.99	)			(1.98	)			(2.58	)			(1.77	)			(2.55	)
Total distributions			(0.62	)			(1.97	)			(1.95	)			(2.58	)			(1.74	)			(2.52	)			(0.63	)			(1.99	)			(1.98	)			(2.58	)			(1.77	)			(2.55	)
Net asset value, end of period		$	30.25			$	28.99			$	26.01			$	28.47			$	29.31			$	31.02			$	30.21			$	28.95			$	25.98			$	28.44			$	29.28			$	30.99
Total Return(e)			6.56	%**			19.47	%			(1.77	)%			6.03	%			0.27	%			17.04	%			6.59	%**			19.50	%			(1.73	)%			6.07	%			0.33	%			17.14	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,058,868			$	1,067,086			$	827,667			$	746,182			$	582,639			$	427,339			$	3,066,534			$	3,018,159			$	3,099,809			$	3,262,104			$	2,465,331			$	1,908,041
Net operating expenses to average daily net assets(f)			0.54	%*			0.54	%			0.54	%			0.56	%			0.56	%(g)			0.60	%(g)			0.49	%*			0.49	%			0.49	%			0.51	%			0.51	%(g)			0.55	%(g)
Interest and/or dividend expenses to average daily net assets(h)			0.00	%(i)			—				0.00	%(i)			—				—				0.02	%			0.00	%(i)			—				0.00	%(i)			—				—				0.02	%
Total net expenses to average daily net assets(f)			0.54	%*			0.54	%			0.54	%			0.56	%			0.56	%(g)			0.62	%(g)			0.49	%*			0.49	%			0.49	%			0.51	%			0.51	%(g)			0.57	%(g)
Net investment income (loss) to average daily net assets(b)			5.91	%*			6.76	%			5.58	%			5.86	%(j)			5.99	%			7.75	%			5.96	%*			6.81	%			5.60	%			5.93	%(j)			6.02	%			7.84	%
Portfolio turnover rate			13	%(k)**			21	%(k)			20	%			18	%			27	%			36	%			13	%(k)**			21	%(k)			20	%			18	%			27	%			36	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(l)			0.00	%(i)*			0.00	%(i)			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):†		$	0.02			$	0.04	(a)		$	0.04	(a)		$	0.06	(a)		$	0.05	(a)		$	0.08	(a)		$	0.02			$	0.04	(a)		$	0.04	(a)		$	0.06	(a)		$	0.05	(a)		$	0.08	(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 $2.78 and $2.78, 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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 23% and 13%, respectively, of the average value of its portfolio.

^(l)  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. 51

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

OPPORTUNISTIC INCOME FUND

	Class VI Shares
	Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,
					2017				2016				2015(a)				2014(a)(b)				2013(a)
Net asset value, beginning of period		$	25.78			$	24.57			$	24.80			$	24.22			$	24.22			$	22.54
Income (loss) from investment operations:
Net investment income (loss)(c)†			0.60				0.96				0.53				0.54				0.84				1.05
Net realized and unrealized gain (loss)			0.25				0.89				(0.34	)			0.42				0.14				1.54
Total from investment operations			0.85				1.85				0.19				0.96				0.98				2.59
Less distributions to shareholders:
From net investment income			(0.14	)			(0.64	)			(0.42	)			(0.38	)			(0.56	)			(0.35	)
From net realized gains			—				—				—				—				(0.42	)			(0.56	)
Total distributions			(0.14	)			(0.64	)			(0.42	)			(0.38	)			(0.98	)			(0.91	)
Net asset value, end of period		$	26.49			$	25.78			$	24.57	(d)		$	24.80			$	24.22			$	24.22
Total Return(e)			3.29	%**			7.62	%			0.77	%			3.98	%			4.27	%			11.62	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,243,301			$	1,510,894			$	1,648,019			$	1,790,805			$	2,111,080			$	812,020
Net operating expenses to average daily net assets(f)			0.46	%*			0.33	%			0.31	%			0.31	%			0.31	%(g)			0.31	%(g)
Interest and/or dividend expenses to average daily net assets(i)			0.00	%(h)			0.00	%(h)			0.00	%(h)			0.00	%(h)			—				—
Total net expenses to average daily net assets(f)			0.46	%*			0.33	%			0.31	%			0.31	%			0.31	%(g)			0.31	%(g)
Net investment income (loss) to average daily net assets(c)			4.59	%*			3.82	%			2.13	%			2.18	%			3.51	%			4.36	%
Portfolio turnover rate			101	%(j)**			66	%(j)			66	%			37	%			30	%			39	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%			0.04	%			0.03	%			0.03	%			0.02	%			0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.03			$	0.03			$	0.04			$	0.03			$	0.05			$	0.11

^(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 is the surviving entity, meaning the combined entity adopted the historical financial reporting history of the Acquired Fund. Share and per share information have been adjusted to reflect the effects of the merger. On January 1, 2017, GMO Debt Opportunities Fund changed its name to GMO Opportunistic Income Fund.

^(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)  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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 75% and 119%, respectively, of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

52 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. TREASURY FUND

	Core Shares
	Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,
					2017				2016				2015				2014				2013
Net asset value, beginning of period		$	25.00			$	25.00			$	25.00			$	25.00			$	25.00			$	25.00
Income (loss) from investment operations:
Net investment income (loss)†			0.11				0.12				0.04				0.01				0.02				0.03
Net realized and unrealized gain (loss)			(0.01	)			0.01				0.00				0.00	(a)			0.01				(0.00	)(a)
Total from investment operations			0.10				0.13				0.04				0.01				0.03				0.03
Less distributions to shareholders:
From net investment income			(0.11	)			(0.12	)			(0.03	)			(0.01	)			(0.02	)			(0.03	)
From net realized gains			—				(0.01	)			(0.01	)			(0.00	)(b)			(0.01	)			—
Total distributions			(0.11	)			(0.13	)			(0.04	)			(0.01	)			(0.03	)			(0.03	)
Net asset value, end of period		$	24.99			$	25.00			$	25.00			$	25.00			$	25.00			$	25.00
Total Return(c)			0.40	%**			0.54	%			0.19	%			0.06	%			0.11	%			0.11	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,141,955			$	2,666,697			$	4,033,504			$	2,243,931			$	1,909,864			$	2,912,203
Net expenses to average daily net assets			0.00	%(d)*			0.00	%(d)			0.00	%(d)			0.00	%(d)			0.00	%(d)(e)			0.00	%(d)(e)
Net investment income (loss) to average daily net assets			0.86	%*			0.47	%			0.16	%			0.05	%			0.08	%			0.10	%
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.

See accompanying notes to the financial statements. 53

GMO Trust Funds

Notes to Financial Statements

August 31, 2017 (Unaudited)

1. Organization

Each of Asset Allocation Bond Fund, Core Plus Bond Fund, Currency Hedged International Bond Fund, Emerging Country Debt Fund, Opportunistic Income 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 Emerging Country Debt Fund, Opportunistic Income Fund and U.S. Treasury Fund. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

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	Bloomberg 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
Emerging Country Debt Fund	J.P. Morgan EMBI Global	Total return in excess of benchmark
Opportunistic Income Fund	Bloomberg Barclays U.S. Securitized Index	Capital appreciation and current income
U.S. Treasury Fund	Not Applicable	Liquidity and safety of principal with current income as a secondary objective

Asset Allocation Bond Fund, Currency Hedged International Bond Fund and U.S. Treasury Fund currently limit subscriptions.

Emerging Country Debt Fund is 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 source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds. See the table below for information about securities for which no alternative pricing source was available.

54

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

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, 2017, 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, if any, that were valued using fair value inputs obtained from that independent pricing service as of August 31, 2017. 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

55

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

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, 2017 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		—			—
Core Plus Bond Fund		< 1%			3	%
Currency Hedged International Bond Fund		< 1%			1	%
Emerging Country Debt Fund		1%	†		2	%
Opportunistic Income Fund		1%	‡		13	%
U.S. Treasury Fund		—			—

† 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.

‡ 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.

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, 2017.

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.

56

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (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, 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; and third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2017:

Description	Level 1		Level 2			Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	382,397,418	$	783,883,902		$	—	$	1,166,281,320
U.S. Government Agency		14,980,678		—			—		14,980,678
TOTAL DEBT OBLIGATIONS		397,378,096		783,883,902			—		1,181,261,998
Options Purchased		—		7,259			—		7,259
Short-Term Investments		3,278,119		84,999,766			—		88,277,885
Total Investments		400,656,215		868,890,927			—		1,269,547,142
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		27,019,862			—		27,019,862
Swap Contracts
Interest Rate Risk		—		1,413,920			—		1,413,920
Total	$	400,656,215	$	897,324,709		$	—	$	1,297,980,924
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(29,189,532	)	$	—	$	(29,189,532	)
Swap Contracts
Interest Rate Risk		—		(3,048,310	)		—		(3,048,310	)
Total	$	—	$	(32,237,842	)	$	—	$	(32,237,842	)
Core Plus Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	460,434,957	$	—		$	—	$	460,434,957
U.S. Government Agency		—		152,539,697			—		152,539,697
TOTAL DEBT OBLIGATIONS		460,434,957		152,539,697			—		612,974,654
Mutual Funds		504,213,688		—			—		504,213,688
Short-Term Investments		3,942,809		30,025,663			—		33,968,472
Total Investments		968,591,454		182,565,360			—		1,151,156,814
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		509,010			—		509,010

57

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Core Plus Bond Fund (continued)
Asset Valuation Inputs (continued)
Futures Contracts
Interest Rate Risk	$	386,015		$	—		$	—	$	386,015
Swap Contracts
Interest Rate Risk		—			2,441,753			—		2,441,753
Total	$	968,977,469		$	185,516,123		$	—	$	1,154,493,592
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(729,514	)	$	—	$	(729,514	)
Swap Contracts
Interest Rate Risk		—			(2,902,022	)		—		(2,902,022	)
Total	$	—		$	(3,631,536	)	$	—	$	(3,631,536	)
Currency Hedged International Bond Fund
Asset Valuation Inputs
Debt Obligations
Foreign Government Obligations	$	—		$	22,647,124		$	—	$	22,647,124
TOTAL DEBT OBLIGATIONS		—			22,647,124			—		22,647,124
Mutual Funds		18,398,826			—			—		18,398,826
Short-Term Investments		1,955,443			—			—		1,955,443
Total Investments		20,354,269			22,647,124			—		43,001,393
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			273,231			—		273,231
Futures Contracts
Interest Rate Risk		89,177			—			—		89,177
Swap Contracts
Interest Rate Risk		—			96,220			—		96,220
Total	$	20,443,446		$	23,016,575		$	—	$	43,460,021
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(742,253	)	$	—	$	(742,253	)
Futures Contracts
Interest Rate Risk		(30,507	)		—			—		(30,507	)
Swap Contracts
Interest Rate Risk		—			(181,390	)		—		(181,390	)
Total	$	(30,507	)	$	(923,643	)	$	—	$	(954,150	)
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	52,845,145		$	—	$	52,845,145
Corporate Debt		—			—			28,218,208		28,218,208
Foreign Government Agency		—			868,285,269			112,902,651		981,187,920
Foreign Government Obligations		—			1,853,302,789			140,576,879		1,993,879,668
U.S. Government		143,735,313			76,201,641			—		219,936,954
TOTAL DEBT OBLIGATIONS		143,735,313			2,850,634,844			281,697,738		3,276,067,895

58

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

Description	Level 1		Level 2			Level 3			Total
Emerging Country Debt Fund (continued)
Asset Valuation Inputs (continued)
Loan Assignments	$	—	$	—		$	4,932,669		$	4,932,669
Loan Participations		—		—			65,475,262			65,475,262
Mutual Funds		96,289,253		—			—			96,289,253
Rights/Warrants		—		48,812,821			6,451,535			55,264,356
Short-Term Investments		637,244,681		—			—			637,244,681
Total Investments		877,269,247		2,899,447,665			358,557,204			4,135,274,116
Derivatives^
Options
Credit Risk		—		—			254,291			254,291
Swap Contracts
Credit Risk		—		21,482,978			—			21,482,978
Total	$	877,269,247	$	2,920,930,643		$	358,811,495		$	4,157,011,385
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(1,927,031	)	$	—		$	(1,927,031	)
Options
Credit Risk		—		—			(2,315,251	)		(2,315,251	)
Swap Contracts
Credit Risk		—		(34,976,121	)		—			(34,976,121	)
Interest Rate Risk		—		(15,397,696	)		—			(15,397,696	)
Total	$	—	$	(52,300,848	)	$	(2,315,251	)	$	(54,616,099	)
Opportunistic Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	1,093,031,600		$	50,838,644		$	1,143,870,244
U.S. Government Agency		2,496,267		125,507,816			18,299,142			146,303,225
TOTAL DEBT OBLIGATIONS		2,496,267		1,218,539,416			69,137,786			1,290,173,469
Mutual Funds		41,000,000		—			—			41,000,000
Short-Term Investments		16,830,097		—			—			16,830,097
Options Purchased		—		449,923			—			449,923
Total Investments		60,326,364		1,218,989,339			69,137,786			1,348,453,489
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		19,792			—			19,792
Futures Contracts
Interest Rate Risk		14,375		—			—			14,375
Swap Contracts
Credit Risk		—		20,040,952			—			20,040,952
Interest Rate Risk		—		1,807,247			—			1,807,247
Total	$	60,340,739	$	1,240,857,330		$	69,137,786		$	1,370,335,855

59

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

Description	Level 1		Level 2			Level 3		Total
Opportunistic Income Fund (continued)
Liability Valuation Inputs
Debt Obligations
U.S. Government Agency	$	—	$	(85,767,646	)	$	—	$	(85,767,646	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		(174,051	)		—		(174,051	)
Written Options
Credit Risk		—		(503,534	)		—		(503,534	)
Swap Contracts
Credit Risk		—		(8,935,405	)		—		(8,935,405	)
Interest Rate Risk		—		(140,914	)		—		(140,914	)
Total	$	—	$	(95,521,550	)	$	—	$	(95,521,550	)
U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	2,056,432,327	$	89,982,528		$	—	$	2,146,414,855
Total Investments		2,056,432,327		89,982,528			—		2,146,414,855
Total	$	2,056,432,327	$	89,982,528		$	—	$	2,146,414,855

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.

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, 2017, there were no significant transfers between Level 1 and Level 2.

60

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

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

	Balances as of February 28, 2017			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, 2017			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2017
Emerging Country Debt Fund
Debt Obligations
Asset-Backed Securities	$	22,085,437		$	1,257,958	$	(799,294	)	$	106,044		$	(11,676	)	$	1,605,410		$	—		$	(24,243,879	)‡	$	—		$	—
Corporate Debt		20,060,000			4,576,198		—			(444	)		—			3,582,454			—			—			28,218,208			3,582,454
Foreign Government Agency		101,585,077			3,828,266		—			707,583			—			6,781,725			—			—			112,902,651			6,781,725
Foreign Government Obligations		51,158,299			18,039,549		—			843,174			—			1,279,010			69,256,847	‡		—			140,576,879			1,279,010
Total Debt Obligations		194,888,813			27,701,971		(799,294	)		1,656,357			(11,676	)		13,248,599			69,256,847			(24,243,879	)		281,697,738			11,643,189
Loan Assignments		4,908,530			683,423		(837,772	)		69,096			73,439			35,953			—			—			4,932,669			35,953
Loan Participations		64,195,406			4,721,170		(7,463,520	)		576,429			609,023			2,836,754			—			—			65,475,262			2,836,754
Rights/Warrants		8,070,406			1,138,875		—			—			—			(2,757,746	)		—			—			6,451,535			(2,757,746	)
Total Investments		272,063,155			34,245,439		(9,100,586	)		2,301,882			670,786			13,363,560			69,256,847			(24,243,879	)		358,557,204			11,758,150
Derivatives
Options		(2,056,772	)		633,937		(2,230,352	)		—			2,182,287			(590,060	)		—			—			(2,060,960	)		1,932,079
Total	$	270,006,383		$	34,879,376	$	(11,330,938	)#	$	2,301,882		$	2,853,073		$	12,773,500		$	69,256,847		$	(24,243,879	)	$	356,496,244		$	13,690,229
Opportunistic Income Fund
Debt Obligations
Asset-Backed Securities	$	53,500,201		$	39,897,152	$	(31,261,855	)	$	1,398,494		$	385,313		$	(147,571	)	$	—		$	(12,933,090	)‡	$	50,838,644		$	(283,211	)
U.S. Government Agency		19,602,790			—		(1,318,238	)		(2,896	)		20,976			(3,490	)		—			—			18,299,142			(3,490	)
Total	$	73,102,991		$	39,897,152	$	(32,580,093	)##	$	1,395,598		$	406,289		$	(151,061	)	$	—		$	(12,933,090	)	$	69,137,786		$	(286,701	)

† 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 $9,100,586 of proceeds received from principal paydowns.

## Includes $26,621,642 of proceeds received from principal paydowns.

61

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (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, 2017 were as follows:

Fund Name	Level 3 securities and derivatives
Asset Allocation Bond Fund		—
Core Plus Bond Fund		2%
Currency Hedged International Bond Fund		1%
Emerging Country Debt Fund		9%
Opportunistic Income Fund		6%
U.S. Treasury 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 marked-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.

62

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

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, 2017, the Funds listed below had entered into repurchase agreements. The value of related collateral for each broker exceeds the value of the repurchase agreements at period end. Repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Fund Name	Counterparty	Gross Value		Net Value (with related collateral)		Weighted Average Maturity (days)
Asset Allocation Bond Fund	Nomura Securities International Inc.		$84,999,766		$86,870,091		1.0
U.S. Treasury Fund	Daiwa Capital Markets America Inc.		$89,982,528		$91,829,665		1.0

Reverse repurchase agreements

The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. As of August 31, 2017, 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		$30,597,639		$31,598,959

As of August 31, 2017, Emerging Country Debt Fund had investments in reverse repurchase agreements with JP Morgan Securities, Inc. with a gross value of $30,597,639. The value of related collateral on reverse repurchase agreements exceeded the value at period end. As of August 31, 2017, the reverse repurchase agreements 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, 2017
			Remaining Contractual Maturity of the Agreements
	Overnight and Continuous		Up to 30 days		Between 30-90 days		Greater Than 90 days		Demand		Total
Emerging Country Debt Fund
Reverse Repurchase Agreements
Non-U.S. Government Debt Obligations	$	—	$	—	$	—	$	—	$	30,597,639	$	30,597,639
Total borrowings	$	—	$	—	$	—	$	—	$	30,597,639	$	30,597,639

63

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

Inflation-indexed bonds

The Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation/deflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation/deflation into the principal value of the bond. Many other issuers adjust the coupon accruals for inflation related changes. 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/decrease in the principal amount of an inflation-indexed bond is generally included in the Fund’s gross income even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Delayed delivery commitments and when-issued securities

The Funds (except U.S. Treasury Fund) may purchase or sell securities on a when-issued or forward commitment basis. Payment and delivery may take place a month or more after the date of the transaction. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The purchase of when-issued or delayed delivery securities can cause a Fund’s portfolio to be leveraged. Investments in when-issued securities also present the risk that the security will not be issued or delivered. Delayed delivery commitments outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Short sales

Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the interest payable on such securities, if any, are reflected as a liability 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.

Taxes and distributions

Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (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, 2017, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations.

64

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

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 28, 2017, certain Funds elected to defer to March 1, 2017 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		(425,377)		—
Core Plus Bond Fund		—		(1,288,064)
Currency Hedged International Bond Fund		—		—
Emerging Country Debt Fund		—		—
Opportunistic Income Fund		—		—
U.S. Treasury Fund		—		(48,449)

As of February 28, 2017, 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 28, 2017, 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
Asset Allocation Bond Fund		—		—		(23,385,098)		(23,385,098)		(40,876,494)
Core Plus Bond Fund		—		—		(291,118)		(291,118)		(29,474,866)
Currency Hedged International Bond Fund		(2,064,718)		—		—		(2,064,718)		(3,365,790)
Emerging Country Debt Fund		—		(66,474,254)		(58,028,833)		(124,503,087)		(90,707,108)
Opportunistic Income Fund		—		—		—		—		(118,674,464)
U.S. Treasury Fund		—		—		—		—		—

65

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

As of August 31, 2017, the approximate cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments for U.S. federal income tax purposes were as follows:

	Total Investments								Outstanding Financial Instruments
Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Asset Allocation Bond Fund		1,256,659,901		13,801,288		(914,047)		12,887,241		(3,807,871)
Core Plus Bond Fund		1,134,607,141		16,738,858		(189,185)		16,549,673		(291,722)
Currency Hedged International Bond Fund		43,415,664		—		(414,271)		(414,271)		(495,378)
Emerging Country Debt Fund		3,991,190,334		311,906,365		(167,822,583)		144,083,782		(6,307,034)
Opportunistic Income Fund		1,232,109,569		43,970,973		(13,394,699)		30,576,274		(3,389,443)
U.S. Treasury Fund		2,146,414,907		249,497		(249,549)		(52)		—

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 tax legislation/initiatives 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).

66

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

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 an investor’s 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 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 for 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 also may reduce the purchase premium to the extent that securities are used to purchase a Fund’s shares (taking into account transaction costs, stamp duties or transfer fees). GMO may reduce redemption fees to the extent a Fund uses portfolio securities to redeem its shares (taking into account transaction costs, stamp duties or transfer fees).

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, 2017, 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	Emerging Country Debt Fund(1)	Opportunistic Income Fund	U.S. Treasury Fund
Purchase Premium	—	—	—	0.75%	0.40%	—
Redemption Fee	—	—	—	0.75%	0.40%	—

⁽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	Emerging Country Debt Fund	Opportunistic Income Fund	U.S. Treasury Fund
Commodities Risk	X
Counterparty Risk	X	X	X	X	X
Credit Risk	X	X	X	X	X	X
Currency Risk	X	X	X	X	X
Derivatives and Short Sales Risk	X	X	X	X	X
Focused Investment Risk	X	X	X	X	X
Fund of Funds Risk	X	X	X	X	X
Futures Contracts Risk		X	X		X
Illiquidity Risk	X	X	X	X	X
Large Shareholder Risk	X	X	X	X	X	X
Leveraging Risk	X	X	X	X	X
Management and Operational Risk	X	X	X	X	X	X
Market Disruption and Geopolitical Risk	X	X	X	X	X	X
Market Risk – Asset-Backed Securities	X	X	X	X	X
Market Risk – Equities	X	X	X		X
Market Risk – Fixed Income	X	X	X	X	X	X
Non-Diversified Funds	X	X	X	X	X
Non-U.S. Investment Risk	X	X	X	X	X
Small Company Risk	X	X	X		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.

• 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 be forced to hold investments it would prefer to sell, resulting in losses for the Fund. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws 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 in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be 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 that a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty 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). Counterparty risk also will be greater if a counterparty’s obligations exceed the value of collateral held by the Fund (if any).

The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds. Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is

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concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations or realization on collateral, could be stayed or eliminated under new special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, in the European Union, governmental authorities could reduce, eliminate, or convert to equity the liabilities to the Funds of a counterparty experiencing financial difficulties (sometimes referred to as a “bail in”).

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

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

In many cases, the credit risk and market price of a fixed income investment are reflected in its credit ratings, and a Fund holding a rated investment is subject to the risk that the investment’s rating will be downgraded, resulting in a decrease in the market price of the fixed income investment.

Securities issued by the U.S. government historically have presented minimal credit risk. However, events in 2011 led 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 market price of a Fund’s investments and increase the volatility of a Fund’s portfolio.

As described under “Market Risk — Asset-Backed Securities,” asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors, as described under “Market Risk — Asset-Backed Securities.” The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors.

A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives and Short Sales Risk” for more information regarding risks associated with the use of credit default swaps.

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

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

• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position will decline in value. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk.”

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

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

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

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

The use of derivatives involves risks that are 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, or the position transferred, only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments GMO believes are owed to it under OTC derivatives contracts, or those payments may be delayed or made only after the Fund has incurred the cost of litigation.

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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 exposure arises.

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, under-collateralization and/or errors in the calculation of a Fund’s net asset value.

A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the cost of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty.

Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk”) and counterparty risk (see “Counterparty Risk”). These derivatives 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 will sometimes be unclear. In addition, the SEC has 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) have adopted similar requirements, which affect a Fund when it enters into a derivatives transaction with a counterparty subject to those requirements. Because these requirements are new and evolving (and some of the rules are not yet final), their impact on the Funds remains unclear.

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

In some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements, for example, by requiring that funds provide more margin for their cleared derivatives positions. Also, as a general matter, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivatives position or an increase in the margin required at the outset of a transaction. Clearing houses also have broad rights to increase the margin required for existing positions or to terminate those positions at any time. Any increase in margin requirements

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or termination of existing cleared derivatives positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member because margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member (see “Counterparty Risk”). Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than the documentation for typical bilateral derivatives. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member. Also, such documentation typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks may be more pronounced for cleared derivatives due to their more limited liquidity and market history.

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

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

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

These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund or otherwise limiting liquidity. The implementation of the clearing requirement has increased the cost of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they historically posted for bilateral derivatives. The cost of derivatives transactions is expected to increase further as clearing members raise their fees to cover the cost of additional capital requirements and other regulatory changes applicable to the clearing members. These rules and regulations are new and evolving, and, therefore, their potential impact on the Funds and the financial system are not yet known. While the new rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.

Options. Some Funds are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the

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relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights any time before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk because the holder may only exercise the option on its expiration date.) If a Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.

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

Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (i.e., options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While a Fund has greater flexibility to tailor an OTC option, OTC options generally expose a Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary market risks.

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

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

A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying 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 those issuers’ securities than Funds investing in the securities of a larger number of issuers. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments.

Similarly, Funds having a significant portion of their assets in investments tied economically (or related) to a particular geographic region, country (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”.

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

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

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

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

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 relies on GMO’s ability to predict market and price movements correctly. The skills needed to use futures contracts successfully are different from those needed for traditional portfolio management. If a Fund uses futures contracts for hedging purposes, it runs the risk that changes in the prices of the contracts may not correlate perfectly with changes in the securities, index, or other asset underlying the contracts or movements in the prices of the Fund’s investments that are the subject of the hedge.

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

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

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foreign countries may not have the same protections as payments in the United States. In addition, foreign futures contracts may be less liquid and more volatile than U.S. contracts.

• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size, or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits, delays or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed, defaulted or other low quality debt securities, emerging country debt 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. The degree to which a Fund’s securities are illiquid may affect the likelihood of its paying redemption proceeds in-kind.

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

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

• LARGE SHAREHOLDER RISK. To the extent a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities, potentially at disadvantageous prices, to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the outstanding shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments when it would not 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. Further, from time to time a Fund may trade in anticipation of a purchase or redemption order that is not ultimately received or differs in size from the actual order, leading to temporary underexposure or overexposure to the Fund’s intended investment program. Additionally, redemptions and purchases of shares by a large shareholder or group of shareholders potentially limit the use of any capital loss carryforwards to offset future realized capital gains (if any) and other losses that would otherwise reduce distributable net investment income. In addition, large shareholders may limit or prevent a Fund’s use of equalization for U.S. federal tax purposes.

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

• LEVERAGING RISK. The use of traditional borrowing (including to meet redemption requests), reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse

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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. Similarly, a Fund’s portfolio also will be leveraged if it exercises its right to delay payment on a redemption and can result in losses if the value of the Fund’s assets changes between the time a redemption request is received or deemed to be received by a Fund (which in some cases may be the business day prior to actual receipt of the transaction activity by the Fund) and the time at which the Fund liquidates assets to meet redemption requests. Such a change in the value of a Fund’s assets is more likely in the case of Funds managed from GMO’s non-U.S. offices for which the time period between the NAV determination and corresponding liquidation of assets could be longer due to time zone differences and market schedules. In the case of redemptions representing a significant portion of a Fund’s portfolio, the leverage effects described above can be significant and could expose a Fund and non-redeeming shareholders to material losses.

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

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

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

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

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

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

The Funds also are subject to a risk of loss resulting from other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors could prevent a Fund from benefiting from 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 to technological malfunctions that may have effects similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and 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

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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, detect and respond to 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 a decline in the market price of their securities. Furthermore, as a result of cyber-attacks, technological disruptions, malfunctions, or failures, an exchange or market may close or issue trading halts on specific securities or the entire market, which may result in the Funds being unable, among other things, to buy or sell securities or accurately price their investments. The Funds cannot directly control cyber security plans and systems put in place by their service providers, the Funds’ counterparties, issuers of securities in which the Funds invest, or securities markets and exchanges.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby 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 or other fraudulent trading practices, which could disrupt their orderly functioning or reduce the prices of securities traded on them, including securities held by the Funds. Fraud and other deceptive practices committed by a company whose securities are held by a Fund undermine GMO’s due diligence efforts and, when discovered, will likely cause a steep decline in the market price of those securities and thus negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively affect a Fund’s investment program as well as the rates or indices underlying a Fund’s investments.

While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce the value of the Funds’ investments. Similarly, political events within the United States 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 if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. In June 2016, the United Kingdom approved a referendum to leave the European Union (commonly known as “Brexit”). A significant degree of uncertainty exists about the time frame for Brexit and whether it will have a negative impact on the United Kingdom, the European Union and/or the broader global economy.

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 price of their holdings will decline. Market risks include:

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

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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.

As described under “Market Risk — Fixed Income” 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 have. Asset-backed securities backed by sub-prime mortgage loans, in particular, expose a Fund to potentially greater declines in value due to defaults because sub-prime mortgage loans are typically made to less creditworthy borrowers and thus have a higher risk of default than conventional mortgage loans. The 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 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 and may occur again. Also, government actions and proposals affecting the terms of underlying home and consumer loans, changes in demand for products (e.g., automobiles) financed by those loans, and the inability of borrowers to refinance existing loans (e.g., sub-prime mortgages) have had, and may continue to have, adverse valuation and liquidity effects on asset-backed securities.

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

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

The risk of investing in asset-backed securities has increased since 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 servicer 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 Opportunistic Income Fund, which has invested a substantial portion of its assets in asset-backed securities, and for the Funds that have invested a substantial portion of their assets in Opportunistic Income Fund.

Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as poor performance by the issuer’s management or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A

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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 what GMO believes is less than its fundamental fair (or intrinsic) value, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment 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 — Funds that invest in fixed income investments (including bonds, notes, bills, synthetic debt instruments, and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity 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 investments also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the fixed income investment. When interest rates rise, these investments 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 investments (commonly referred to as “junk bonds”) may be particularly volatile. Often below investment grade investments are subject to greater sensitivity to interest rate and economic changes than higher rated investments and can be more difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. See “Credit Risk” and “Illiquidity Risk” for more information about these risks.

A risk run by each Fund with a significant investment in fixed income investments is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases in interest rates (also called “interest rate risk”) is generally greater for Funds investing in fixed income investments with longer durations. In addition, in managing some Funds, GMO may seek to evaluate potential investments in part by considering the volatility of interest rates. The value of a Fund’s investments may be significantly reduced if GMO’s assessment proves incorrect.

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

The market price of inflation-indexed bonds (including TIPS) typically declines during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increases during periods of declining real interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities.

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

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

In response to government intervention, economic or market developments, or other factors, markets for fixed income investments may experience periods of high volatility, reduced liquidity or both. During those periods, a Fund could have unusually high shareholder redemptions, requiring it to generate cash by selling portfolio assets when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value during such periods. In recent years, central banks and governmental financial regulators, including the U.S. Federal Reserve, have kept interest rates historically low by purchasing bonds. Steps to curtail or “taper” such activities (such as recent indications from the U.S. Federal Reserve of its intent to do so) 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.

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• NON-DIVERSIFIED FUNDS. All of the Funds (except U.S. Treasury Fund) are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of relatively few issuers. As a result, they may be subject to greater credit, market and other risks, 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 (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. Many non-U.S. securities markets include securities of only a small number of companies in a small number of industries. As a result, the market prices of securities traded on those markets often fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to as much regulation as U.S. issuers, and the reporting, accounting, custody, and auditing standards to which those issuers are subject 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 countries limit a Fund’s ability to profit from short-term trading (as defined in that country).

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

Investing in non-U.S. securities also exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, government involvement in the economy or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises), adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.

In some non-U.S. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States. Fluctuations in foreign currency exchange rates also affect the market prices of a Fund’s non-U.S. securities (see “Currency Risk”).

The Funds need a license to invest directly in 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 thus limits the Fund’s investment opportunities. In addition, the activities of a GMO client could cause the suspension or revocation of a Fund’s license and thereby limit the Fund’s 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

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industries (including wholly or partially state-owned enterprises); less governmental supervision and regulation of securities markets and participants in those markets; controls on investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e., a market freeze); unavailability of currency hedging techniques; 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 depend predominantly on only a few industries or revenues from particular commodities.

• SMALL COMPANY RISK. Companies with smaller market capitalizations tend to have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have inexperienced managers or depend on a smaller group of key employees than larger companies. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for securities of these companies.

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

The Funds (other than Emerging Country Debt Fund and U.S. Treasury Fund) may take temporary defensive positions if deemed prudent by GMO. Many of the Funds have previously taken temporary defensive positions.

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

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 investments or make new direct investments. For instance, GMO may alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed versus variable rates and shorter duration versus longer duration exposure. In adjusting its investment exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

Each of the Funds is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of their derivative positions, the Funds will typically have (or may have, in the case of Opportunistic Income Fund and U.S. Treasury Fund) gross investment exposures in excess of their net assets (i.e., the Funds will be (or may be, in the case of Opportunistic Income Fund and U.S. Treasury Fund) leveraged) and therefore are subject to heightened risk of loss. Each Fund’s (other than Opportunistic

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Income 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, 2017, 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		Emerging Country Debt Fund		Opportunistic Income Fund
Forward currency contracts
Adjust currency exchange rate risk		X		X		X		X		X
Adjust exposure to foreign currencies		X		X		X		X
Futures contracts
Adjust interest rate exposure				X		X				X
Maintain the diversity and liquidity of the portfolio				X		X				X
Options (Purchased)
Adjust currency exchange rate risk		X
Adjust exposure to foreign currencies		X
Adjust interest rate exposure										X
Achieve exposure to a reference entity’s credit										X
Provide a measure of protection against default loss										X
Options (Written)
Achieve exposure to a reference entity’s credit										X
Adjust interest rate exposure										X
Provide a measure of protection against default loss										X
Options (Credit linked)
Achieve exposure to a reference entity’s credit								X

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Type of Derivative and Objective for Use	Asset Allocation Bond Fund		Core Plus Bond Fund		Currency Hedged International Bond Fund		Emerging Country Debt Fund		Opportunistic Income Fund
Swap contracts
Achieve exposure to a reference entity’s credit								X		X
Adjust interest rate exposure		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.

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

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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.

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.

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.

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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.

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

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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, 2017 and the Statements of Operations for the period ended August 31, 2017^:

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)	$	—	$	—	$	7,259		$	—		$	—	$	7,259
Investments, at value (swap contracts)☐		—		—		—			1,413,920					1,413,920
Unrealized Appreciation on Forward Currency Contracts		—		—		27,019,862			—			—		27,019,862
Total	$	—	$	—	$	27,027,121		$	1,413,920		$		$	28,441,041
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	27,027,121		$	1,413,920		$	—	$	28,441,041
Liability Derivatives
Investments, at value (swap contracts)☐	$	—	$	—	$	—		$	(3,048,310	)	$	—		(3,048,310	)
Unrealized Depreciation on Forward Currency Contracts		—		—		(29,189,532	)		—			—		(29,189,532	)
Total	$	—	$	—	$	(29,189,532	)	$	(3,048,310	)	$	—	$	(32,237,842	)
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	(29,189,532	)	$	(3,048,310	)	$	—	$	(32,237,842	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—	$	—	$	(794,312	)	$	—		$	—	$	(794,312	)
Forward Currency Contracts		—		—		(2,186,171	)		—			—		(2,186,171	)
Swap Contracts		—		—		—			393,407			—		393,407
Total	$	—	$	—	$	(2,980,483	)	$	393,407		$	—	$	(2,587,076	)
Change in Net Unrealized Appreciation (Depreciation) on
Investments (purchased options)	$	—	$	—	$	637,385		$	—		$	—	$	637,385
Forward Currency Contracts		—		—		(562,596	)		—			—		(562,596	)
Swap Contracts		—		—		—			4,027,900			—		4,027,900
Total	$	—	$	—	$	74,789		$	4,027,900		$	—	$	4,102,689

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	Credit Contracts		Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Core Plus Bond Fund
Asset Derivatives
Investments, at value (swap contracts)☐	$	—	$	—	$	—		$	2,441,753		$	—	$	2,441,753
Unrealized Appreciation on Forward Currency Contracts		—		—		509,010			—			—		509,010
Unrealized Appreciation on Futures Contracts☐		—		—		—			386,015			—		386,015
Total	$	—	$	—	$	509,010		$	2,827,768		$	—	$	3,336,778
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	509,010		$	2,827,768		$	—	$	3,336,778
Liability Derivatives
Investments, at value (swap contracts)☐	$	—	$	—	$	—		$	(2,902,022	)	$	—	$	(2,902,022	)
Unrealized Depreciation on Forward Currency Contracts		—		—		(729,514	)		—			—		(729,514	)
Total	$	—	$	—	$	(729,514	)	$	(2,902,022	)	$	—	$	(3,631,536	)
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	(729,514	)	$	(2,902,022	)	$	—	$	(3,631,536	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—	$	—	$	(934,584	)	$	—		$	—	$	(934,584	)
Futures Contracts		—		—		—			2,481,173			—		2,481,173
Swap Contracts		—		—		—			1,470,687			—		1,470,687
Total	$	—	$	—	$	(934,584	)	$	3,951,860		$	—	$	3,017,276
Change in Net Unrealized Appreciation (Depreciation):
Forward Currency Contracts	$	—	$	—	$	(225,459	)	$	—		$	—	$	(225,459	)
Futures Contracts		—		—		—			102,001			—		102,001
Swap Contracts		—		—		—			19,993			—		19,993
Total	$	—	$	—	$	(225,459	)	$	121,994		$	—	$	(103,465	)
Currency Hedged International Bond Fund
Asset Derivatives
Investments, at value (swap contracts)☐	$	—	$	—	$	—		$	96,220		$	—	$	96,220
Unrealized Appreciation on Forward Currency Contracts		—		—		273,231			—			—		273,231
Unrealized Appreciation on Futures Contracts☐		—		—		—			89,177			—		89,177
Total	$	—	$	—	$	273,231		$	185,397		$	—	$	458,628
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	273,231		$	185,397		$	—	$	458,628
Liability Derivatives
Investments, at value (swap contracts)☐	$	—	$	—	$	—		$	(181,390	)	$	—	$	(181,390	)
Unrealized Depreciation on Forward Currency Contracts		—		—		(742,253	)		—			—		(742,253	)
Unrealized Depreciation on Futures Contracts☐		—		—		—			(30,507	)		—		(30,507	)
Total	$	—	$	—	$	(742,253	)	$	(211,897	)	$	—	$	(954,150	)
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	(742,253	)	$	(211,897	)	$	—	$	(954,150	)

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	Credit Contracts			Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Currency Hedged International Bond Fund (continued)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—		$	—	$	(2,227,945	)	$	—		$	—	$	(2,227,945	)
Futures Contracts		—			—		—			358,084			—		358,084
Swap Contracts		—			—					(23,353	)		—		(23,353	)
Total	$	—		$	—	$	(2,227,945	)	$	334,731		$	—	$	(1,893,214	)
Change in Net Unrealized Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	—	$	(676,304	)	$	—		$	—	$	(676,304	)
Futures Contracts		—			—		—			(168,083	)		—		(168,083	)
Swap Contracts		—			—		—			133,687			—		133,687
Total	$	—		$	—	$	(676,304	)	$	(34,396	)	$	—	$	(710,700	)
Emerging Country Debt Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—		$	—	$	—		$	—		$	55,264,356	$	55,264,356
Investments, at value (swap contracts)☐		21,482,978			—		—			—			—		21,482,978
Options		254,291			—		—			—			—		254,291
Total	$	21,737,269		$	—	$	—		$	—		$	55,264,356	$	77,001,625
Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	55,264,356	$	55,264,356
Total subject to Master Agreements	$	21,737,269		$	—	$	—		$	—		$	—	$	21,737,269
Liability Derivatives
Investments, at value (swap contracts)☐	$	(34,976,121	)	$	—	$	—		$	(15,397,696	)	$	—	$	(50,373,817	)
Unrealized Depreciation on Forward Currency Contracts		—			—		(1,927,031	)		—			—		(1,927,031	)
Options		(2,315,251	)		—		—			—			—		(2,315,251	)
Total	$	(37,291,372	)	$	—	$	(1,927,031	)	$	(15,397,696	)	$	—	$	(54,616,099	)
Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	(37,291,372	)	$	—	$	(1,927,031	)	$	(15,397,696	)	$	—	$	(54,616,099	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—		$	—	$	(4,748,495	)	$	—		$	—	$	(4,748,495	)
Swap Contracts		8,397,781					—			(8,498,439	)		—		(100,658	)
Options		2,182,287			—		—			—			—		2,182,287
Total	$	10,580,068		$	—	$	(4,748,495	)	$	(8,498,439	)	$	—	$	(2,666,866	)
Change in Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—		$	—	$	—		$	—		$	6,464,268	$	6,464,268
Forward Currency Contracts		—			—		(2,128,492	)		—			—		(2,128,492	)
Swap Contracts		(30,088	)		—		—			(9,142,367	)		—		(9,172,455	)
Options		(590,060	)		—		—			—			—		(590,060	)
Total	$	(620,148	)	$	—	$	(2,128,492	)	$	(9,142,367	)	$	6,464,268	$	(5,426,739	)

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	Credit Contracts			Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Opportunistic Income Fund
Asset Derivatives
Investments, at value (purchased options)	$	449,923		$	—	$	—		$	—		$	—	$	449,923
Investments, at value (swap contracts)¤		20,040,952			—		—			1,807,247			—		21,848,199
Unrealized Appreciation on Forward Currency Contracts		—			—		19,792			—			—		19,792
Unrealized Appreciation on Future Contracts¤		—			—		—			14,375			—		14,375
Total	$	20,490,875		$	—	$	19,792		$	1,821,622		$	—	$	22,332,289
Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	20,490,875		$	—	$	19,792		$	1,821,622		$	—	$	22,332,289
Liability Derivatives
Investments, at value (swap contracts)¤	$	(8,935,405	)						$	(140,914	)			$	(9,076,319	)
Unrealized Appreciation on Forward Currency Contracts		—			—		(174,051	)		—			—		(174,051	)
Written Options		(503,534	)		—		—			—			���		(503,534	)
Total	$	(9,438,939	)	$	—	$	(174,051	)	$	(140,914	)	$	—	$	(9,753,904	)
Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	(9,438,939	)	$	—	$	(174,051	)	$	(140,914	)	$	—	$	(9,753,704	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—	$	(1,496,049	)	$	(2,695,904	)	$	—	$	(4,191,953	)
Forward Currency Contracts		—			—		(407,367	)		—			—		(407,367	)
Futures Contracts		—			—		—			2,130,447			—		2,130,447
Written Options		—			—		—			1,868,497			—		1,868,497
Swap Contracts		(3,288,928	)		—		—			(292,293	)		—		(3,581,221	)
Total	$	(3,288,928	)	$	—	$	(1,903,416	)	$	1,010,747		$	—	$	(4,181,597	)
Change in Net Unrealized Appreciation (Depreciation) on
Investments (purchased options)	$	(299,500	)	$	—	$	—		$	721,592		$	—	$	422,092
Forward Currency Contracts		—			—		(229,548	)		—			—		(229,548	)
Futures Contracts		—			—					14,375			—		14,375
Written Options		117,371			—		—			(226,398	)		—		(109,027	)
Swap Contracts		731,363			—		—			(1,598,637	)		—		(867,274	)
Total	$	549,234		$	—	$	(229,548	)	$	(1,089,068	)	$	—	$	(769,382	)

^ 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 unrealized appreciation/depreciation of futures and value of 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 no such event has occurred, the Funds do not presently have

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a legally enforceable right of set-off and 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 paid by a Fund (or may be received by a Fund) in such an event is represented by the Net 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, 2017, 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, 2017:

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.	$	6,242	$	—		$	6,242		$	—
Deutsche Bank AG		38,664		—			—			38,664
Goldman Sachs International		21,704,252		—			21,704,252			—
JPMorgan Chase Bank, N.A.		5,277,963		—			5,277,963			—
Total	$	27,027,121	$	—		$	26,988,457		$	38,664
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.	$	68,247	$	—		$	(6,242	)	$	62,005
Goldman Sachs International		23,056,648		(1,286,456	)		(21,704,252	)		65,940
JPMorgan Chase Bank, N.A.		6,064,637		(623,706	)		(5,277,963	)		162,968
Total	$	29,189,532	$	(1,910,162	)	$	(26,988,457	)	$	290,913

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
Deutsche Bank AG	$	24,332	$	—	$	—	$	24,332
Goldman Sachs International		484,678		—		484,678		—
Total	$	509,010	$	—	$	484,678	$	24,332

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August 31, 2017 (Unaudited)

Core Plus Bond Fund (continued)

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.	$	24,299	$	(24,299	)	$	—		$	—	*
Goldman Sachs International		516,476		—			(484,678	)		31,798
JPMorgan Chase Bank, N.A.		188,739		—			—			188,739
Total	$	729,514	$	(24,299	)	$	(484,678	)	$	220,537

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
Deutsche Bank AG	$	106,355	$	—		$	—		$	106,355
Goldman Sachs International		127,376		—			127,376			—
JPMorgan Chase Bank, N.A.		38,743		—			38,743			—
Morgan Stanley & Co. International PLC		757		—			—			757
Total	$	273,231	$	—		$	166,119		$	107,112
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.	$	2,454	$	—		$	—		$	2,454
Goldman Sachs International		135,449		—			(127,376	)		8,073
JPMorgan Chase Bank, N.A.		604,350		(565,607	)		(38,743	)		—	*
Total	$	742,253	$	(565,607	)	$	(166,119	)	$	10,527

Emerging Country Debt Fund

Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Deutsche Bank AG	$	8,623,437	$	—		$	8,623,437		$	—
Goldman Sachs International		2,227,467		—			2,227,467			—
JPMorgan Chase Bank, N.A.		842,089		—			842,089			—
Total	$	11,692,993	$	—		$	11,692,993		$	—
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.	$	617,085	$	(617,085	)	$	—		$	—	*
Barclays Bank plc		696,539		(696,539	)		—			—	*
Deutsche Bank AG		14,403,636		(5,319,591	)		(8,623,437	)		460,608
Goldman Sachs International		12,854,445		(10,626,978	)		(2,227,467	)		—	*
JPMorgan Chase Bank, N.A.		26,044,394		(25,202,305	)		(842,089	)		—	*
Total	$	54,616,099	$	(42,462,498	)	$	(11,692,993	)	$	460,608

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August 31, 2017 (Unaudited)

Opportunistic Income 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.	$	9,325,697	$	(8,898,279	)	$	(427,418	)	$	—	*
Barclays Bank plc		19,792		—			19,792			—
Citibank N.A.		2,557,782		(2,391,323	)		(166,459	)		—	*
Credit Suisse International		1,504,092		(1,459,685	)		(24,140	)		20,267
Deutsche Bank AG		1,307,394		(1,162,044	)		(145,350	)		—	*
Goldman Sachs International		4,439,962		(3,670,000	)		(749,347	)		20,615
JPMorgan Chase Bank, N.A.		1,347,335		(200,000	)		(962,190	)		185,145
Total	$	20,502,054	$	(17,781,331	)	$	(2,455,112	)	$	226,027
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.	$	427,418	$	—		$	427,418			—
Barclays Bank plc		550,740		(408,922	)		(19,792	)		122,026
Citibank N.A.		166,459		—			166,459			—
Credit Suisse International		24,140		—			24,140			—
Deutsche Bank AG		145,350		—			145,350			—
Goldman Sachs International		749,347		—			749,347			—
JPMorgan Chase Bank, N.A.		962,190		—			962,190			—
Morgan Stanley Capital Services LLC		131,589		(110,899	)		—			20,690
Total	$	3,157,233	$	(519,821	)	$	2,455,112		$	142,716

* 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 and 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, 2017:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Swap Contracts		Options (Principal)		Options (Contracts)		Rights and/or Warrants ($)
Asset Allocation Bond Fund		763,226,063		—		563,371,314		17,831,667		—		—
Core Plus Bond Fund		42,269,991		87,300,598		298,216,709		—		—		—
Currency Hedged International Bond Fund		39,700,674		18,986,550		34,863,233		—		—		—
Emerging Country Debt Fund		61,711,447		—		1,219,917,857		380,514,333		—		45,380,137
Opportunistic Income Fund		7,800,983		62,506,116		886,128,187		1,021,382,671		8,900		—

93

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August 31, 2017 (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:

	Asset Allocation Bond Fund	Core Plus Bond Fund	Currency Hedged International Bond Fund	Emerging Country Debt Fund	Opportunistic Income Fund	U.S. Treasury Fund
Management Fee	0.25%	0.25%	0.25%	0.35%	0.40%(a)	0.08%(b)

^(a)  Prior to January 1, 2017, the management fee was 0.25%.

^(b)  GMO has voluntarily waived the Fund’s entire management fee.

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 at the annual rate equal to the percentage of each applicable Class’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%
Emerging Country Debt Fund		0.15%			0.10%
Opportunistic Income Fund		0.15%	*				0.055%

* Class is offered but has no shareholders as of August 31, 2017.

For each Fund, other than 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.

“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, organizational and start-up expenses, 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

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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, 2018 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, 2017 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		18,150		1,588
Core Plus Bond Fund		6,866		546
Currency Hedged International Bond Fund		634		1
Emerging Country Debt Fund		48,105		4,048
Opportunistic Income Fund		15,542		1,304
U.S. Treasury Fund		30,763		2,576

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2017 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		0.000%		0.000%		0.000%		0.000%
Core Plus Bond Fund		0.100%		0.016%		<0.001%		0.116%
Currency Hedged International Bond Fund		0.046%		0.009%		<0.001%		0.055%
Emerging Country Debt Fund		0.002%		<0.001%		<0.001%		0.002%
Opportunistic Income Fund		<0.001%		0.000%		0.000%		<0.001%
U.S. Treasury Fund		0.000%		0.000%		0.000%		0.000%

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 ensure 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, 2017, the Funds did not engage in these transactions.

95

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August 31, 2017 (Unaudited)

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, if applicable, for the period ended August 31, 2017 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		702,427,579		—		856,436,030		—
Core Plus Bond Fund		856,551,406		305,448,680		597,553,875		129,600,000
Currency Hedged International Bond Fund		—		12,640,000		—		32,176,032
Emerging Country Debt Fund		73,803,797		398,029,771		133,293,508		802,642,268
Opportunistic Income Fund		857,806,133		655,994,380		888,633,115		799,734,585
U.S. Treasury Fund		1,823,088,803		306,288,930		1,790,271,726		1,175,424,871

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, 2017 are noted in the table below:

Fund Name	Purchases ($)		Sales ($)
Emerging Country Debt Fund		146,043,713*		—

* $15,552,985 of the purchases in-kind were contributed by affiliates.

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, 2017

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	‡		72.43	%		—			99.99%
Core Plus Bond Fund		3	#		72.43	%		<0.01	%		98.54%
Currency Hedged International Bond Fund		1			92.48	%		<0.01	%		92.48%
Emerging Country Debt Fund		—			—			0.25	%		19.46%
Opportunistic Income Fund		3	##		77.31	%		0.55	%		99.10%
U.S. Treasury Fund		2	#		45.61	%		0.16	%		95.92%

‡ One of the shareholders is another fund of the Trust.

# Two of the shareholders are other funds of the Trust.

## Three of the shareholders are other funds of the Trust.

96

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August 31, 2017 (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, 2017 (Unaudited)						Year Ended February 28, 2017
	Shares			Amount			Shares			Amount
Asset Allocation Bond Fund
Class III:
Shares sold		924,901		$	20,538,565			2,214,990		$	48,861,899
Shares issued to shareholders in reinvestment of distributions		—			—			—			—
Shares repurchased		(2,956,695	)		(65,705,534	)		(5,396,762	)		(119,141,029	)
Net increase (decrease)		(2,031,794	)	$	(45,166,969	)		(3,181,772	)	$	(70,279,130	)
Class VI:
Shares sold		849,332		$	18,992,652			1,080,206		$	23,894,585
Shares issued to shareholders in reinvestment of distributions		—			—			—			—
Shares repurchased		(9,301,621	)		(207,369,627	)		(31,684,438	)		(702,776,501	)
Net increase (decrease)		(8,452,289	)	$	(188,376,975	)		(30,604,232	)	$	(678,881,916	)
Core Plus Bond Fund
Class III:#
Shares sold		500,112		$	10,761,215			767,574		$	16,125,848
Shares issued to shareholders in reinvestment of distributions		1,463			31,315			11,511			240,429
Shares repurchased		(922,673	)		(19,856,259	)		(2,168,606	)		(46,416,742	)
Net increase (decrease)		(421,098	)	$	(9,063,729	)		(1,389,521	)	$	(30,050,465	)
Class IV:#
Shares sold		20,806,256		$	448,522,335			23,983,698		$	504,551,462
Shares issued to shareholders in reinvestment of distributions		56,721			1,216,666			177,829			3,760,584
Shares repurchased		(2,489,733	)		(53,703,037	)		(7,405,907	)		(159,277,873	)
Net increase (decrease)		18,373,244		$	396,035,964			16,755,620		$	349,034,173
Currency Hedged International Bond Fund
Class III:#
Shares sold		—		$	—			—		$	—
Shares issued to shareholders in reinvestment of distributions		29,166			761,530			73,631			1,933,541
Shares repurchased		(653,968	)		(17,354,567	)		(144,981	)		(3,866,075	)
Net increase (decrease)		(624,802	)	$	(16,593,037	)		(71,350	)	$	(1,932,534	)
Emerging Country Debt Fund
Class III:#
Shares sold		3,624,326	(a)	$	106,455,404	(a)		8,275,889		$	239,701,434
Shares issued to shareholders in reinvestment of distributions		638,421			18,680,188			1,985,567			55,168,020
Shares repurchased		(6,072,270	)		(180,768,327	)		(5,267,885	)		(152,424,481	)
Purchase premiums		—			6,641			—			242,030
Redemption fees		—			688,588			—			1,131,479
Net increase (decrease)		(1,809,523	)	$	(54,937,506	)		4,993,571		$	143,818,482

97

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

	Six Months Ended August 31, 2017 (Unaudited)						Year Ended February 28, 2017
	Shares			Amount			Shares			Amount
Emerging Country Debt Fund (continued)
Class IV:#
Shares sold		21,286,475	(b)	$	630,861,530	(b)		5,763,893		$	159,047,268
Shares issued to shareholders in reinvestment of distributions		1,843,302			53,861,273			6,895,496			191,536,760
Shares repurchased		(25,883,835	)		(764,408,549	)		(27,719,432	)		(789,476,258	)
Purchase premiums		—			19,993			—			861,411
Redemption fees		—			1,989,360			—			4,035,552
Net increase (decrease)		(2,754,058	)	$	(77,676,393	)		(15,060,043	)	$	(433,995,267	)
Opportunistic Income Fund
Class VI:
Shares sold		4,120,930		$	108,099,490			6,762,681		$	171,348,377
Shares issued to shareholders in reinvestment of distributions		215,894			5,662,906			1,438,264			36,271,611
Shares repurchased		(16,006,429	)		(416,403,373	)		(16,653,463	)		(421,440,542	)
Purchase premiums		—			141,940			—			330,391
Redemption fees		—			1,374,585			—			1,329,128
Net increase (decrease)		(11,669,605	)	$	(301,124,452	)		(8,452,518	)	$	(212,161,035	)
U.S. Treasury Fund
Core Class:
Shares sold		178,371,424		$	4,457,068,389			368,440,068		$	9,213,633,291
Shares issued to shareholders in reinvestment of distributions		341,562			8,535,074			549,319			13,735,786
Shares repurchased		(199,686,087	)		(4,989,745,048	)		(423,663,112	)		(10,594,194,801	)
Net increase (decrease)		(20,973,101	)	$	(524,141,585	)		(54,673,725	)	$	(1,366,825,724	)

^(a)  856,877 shares and $25,140,762 were purchased in-kind.

^(b)  4,131,686 shares and $121,058,399 were purchased in-kind. $15,552,985 of the purchases in-kind were contributed by affiliates.

# 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, 2017 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation		Value, end of period
Core Plus Bond Fund
GMO Emerging Country Debt Fund, Class IV	$	28,722,150	$	21,430,000	$	—	$	646,835	$	—		$	1,682,842	$	51,834,992
GMO Opportunistic Income Fund, Class VI		113,920,146		88,288,000		—		642,087		—			3,908,739		206,116,885
GMO U.S. Treasury Fund		88,644,748		133,060,000		129,600,000		445,203		(32,256	)		—		92,072,492
Totals	$	231,287,044	$	242,778,000	$	129,600,000	$	1,734,125	$	(32,256	)	$	5,591,581	$	350,024,369

98

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Currency Hedged International Bond Fund
GMO Emerging Country Debt Fund, Class IV	$	3,677,564	$	—	$	1,630,000	$	57,111	$	352,317		$	(214,197	)	$	2,185,684
GMO Opportunistic Income Fund, Class VI		2,884,836		—		—		15,297		—			79,450			2,964,286
GMO U.S. Treasury Fund		19,248,680		12,640,000		18,630,000		59,955		(14,259	)		4,435			13,248,856
Totals	$	25,811,080	$	12,640,000	$	20,260,000	$	132,363	$	338,058		$	(130,312	)	$	18,398,826
Emerging Country Debt Fund
GMO Opportunistic Income Fund, Class VI	$	14,643,342	$	—	$	—	$	77,647	$	—		$	403,288		$	15,046,630
GMO U.S. Treasury Fund		87,277,534		—		6,000,000		365,061		(4,802	)		(30,109	)		81,242,623
Totals	$	101,920,876	$	—	$	6,000,000	$	442,708	$	(4,802	)	$	373,179		$	96,289,253
Opportunistic Income Fund
GMO U.S. Treasury Fund	$	72,837,633	$	259,000,000	$	290,826,112	$	108,782	$	(31,850	)	$	20,329		$	41,000,000

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2017 through August 31, 2017. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2018.

11. Subsequent events

The Board of Trustees of GMO Trust approved the termination of GMO Currency Hedged International Bond Fund and the Fund liquidated on September 29, 2017.

99

GMO Trust Funds

Board Review of Investment Management Agreements

August 31, 2017 (Unaudited)

GMO Asset Allocation Bond Fund

Approval of renewal of management agreement for GMO Asset Allocation Bond Fund (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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 privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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 a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. The Trustees noted that the Fund is not currently offered as 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

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 fee 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 by the Manager to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. 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 various “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 indirectly as a result of its investment in those other GMO funds, pursuant to a contractual expense reimbursement arrangement with

100

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

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.

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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

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 (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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 privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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 a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

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 fee 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

101

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

and to the Manager’s fee schedule for its other pooled investment vehicles and separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. 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 various “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 indirectly as a result of its investment in those other GMO funds, 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 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.

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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

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 (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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 privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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.

102

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

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 a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

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 fee 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 separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. 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 various “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 indirectly as a result of its investment in those other GMO funds, 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 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.

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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

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.

103

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

GMO Emerging Country Debt Fund

Approval of renewal of management agreement for GMO Emerging Country Debt Fund (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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 privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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 a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 fee 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 separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. 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 various “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 indirectly as a result of its investment in those other GMO funds, pursuant to a contractual expense reimbursement arrangement with

104

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

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.

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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

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 Opportunistic Income Fund

Approval of renewal of management agreement for GMO Opportunistic Income Fund (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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 privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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 a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

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 fee payable by the Fund as compared to the management

105

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

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 by the Manager to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. 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 various “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 indirectly as a result of its investment in those other GMO funds, 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 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.

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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

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 (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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 privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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.

106

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

Using various evaluation metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. The Trustees noted that the Fund is not currently offered as 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management agreement. The Trustees considered the management fee 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 noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. 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 various “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.

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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

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.

107

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

August 31, 2017 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2017.

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, 2017 through August 31, 2017.

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, 2017		Ending Account Value August 31, 2017		Expenses Paid During the Period*		Beginning Account Value March 1, 2017		Ending Account Value August 31, 2017		Expenses Paid During the Period*		Annualized Expense Ratio
Asset Allocation Bond Fund
Class III		$1,000.00		$1,010.80		$2.08		$1,000.00		$1,023.14		$2.09		0.41%
Class VI		$1,000.00		$1,011.20		$1.62		$1,000.00		$1,023.59		$1.63		0.32%
Core Plus Bond Fund
Class III		$1,000.00		$1,032.70		$2.10		$1,000.00		$1,023.14		$2.09		0.41%
Class IV		$1,000.00		$1,032.90		$1.84		$1,000.00		$1,023.39		$1.84		0.36%
Currency Hedged International Bond Fund
Class III		$1,000.00		$1,021.80		$2.14		$1,000.00		$1,023.09		$2.14		0.42%
Emerging Country Debt Fund
Class III		$1,000.00		$1,065.60		$2.81		$1,000.00		$1,022.48		$2.75		0.54%
Class IV		$1,000.00		$1,065.90		$2.55		$1,000.00		$1,022.74		$2.50		0.49%
Opportunistic Income Fund
Class VI		$1,000.00		$1,032.90		$2.36		$1,000.00		$1,022.89		$2.35		0.46%
U.S. Treasury Fund
Core		$1,000.00		$1,004.00		$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, 2017, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year.

108

GMO Trust

Semiannual Report

August 31, 2017

Climate Change Fund

Foreign Small Companies Fund

International Equity Fund

International Large/Mid Cap Equity Fund

International Small Companies 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. The GMO Trust Statement of Additional Information includes additional information about the Trustees of GMO Trust and is available without charge, upon request, by calling 1-617-346-7646 (collect).

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.

TABLE OF CONTENTS

Climate Change Fund
Investment Concentration Summary	1
Schedule of Investments	2
Foreign Small Companies Fund
Investment Concentration Summary	5
Schedule of Investments	6
International Equity Fund
Investment Concentration Summary	11
Schedule of Investments	12
International Large/Mid Cap Equity Fund
Investment Concentration Summary	18
Schedule of Investments	19
International Small Companies Fund
Investment Concentration Summary	23
Schedule of Investments	24
Quality Fund
Investment Concentration Summary	29
Schedule of Investments	30
Resources Fund
Investment Concentration Summary	32
Schedule of Investments	33
Risk Premium Fund
Investment Concentration Summary	36
Schedule of Investments	37
Tax-Managed International Equities Fund
Investment Concentration Summary	38
Schedule of Investments	39
U.S. Equity Allocation Fund
Investment Concentration Summary	47
Schedule of Investments	48
Portfolio, Counterparty and Currency Abbreviations	52
Fund Financial Statements:
Statements of Assets and Liabilities	53
Statements of Operations	59
Statements of Changes in Net Assets	62
Financial Highlights	67
Notes to Financial Statements	81
Board Review of Investment Management Agreements	127
Fund Expenses	140

GMO Climate Change Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2017 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		91.2	%
Preferred Stocks		4.6
Mutual Funds		4.0
Short-Term Investments		0.2
Other		0.0	^
		100.0	%

Country Summary¤	% of Investments
United States		29.6	%
France		13.0
China		6.7
Japan		5.7
Canada		5.2
Chile		4.6
United Kingdom		4.4
Norway		3.6
Russia		3.3
Germany		3.2
Other Emerging		2.7	†
Spain		2.4
Denmark		2.3
Switzerland		2.2
Poland		2.0
Italy		1.9
Netherlands		1.7
Portugal		1.4
Australia		1.3
Finland		1.3
Other Developed		0.9	‡
Ukraine		0.4
Kenya		0.2
		100.0	%

Industry Group Summary	% of Equity Investments#
Clean Energy		34.3	%
Energy Efficiency		24.3
Agriculture		18.0
Copper		10.9
Smart Grid		8.0
Water		4.5
		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 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.

# 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%.

1

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 91.2%
		Argentina — 0.9%
	12,753	Adecoagro SA *		123,704
		Australia — 1.3%
	43,184	Energy Resources of Australia Ltd *		19,600
	4,380	Nufarm Ltd		31,044
	10,985	OZ Minerals Ltd		71,371
	53,371	Quintis Ltd (a)		12,516
	16,372	Tassal Group Ltd		50,692
		Total Australia		185,223
		Austria — 0.3%
	2,158	Verbund AG		46,404
		Canada — 5.2%
	900	Ag Growth International Inc		41,910
	800	Agrium Inc		78,465
	15,963	Canadian Solar Inc *		250,779
	105,771	Capstone Mining Corp *		125,358
	273,000	Katanga Mining Ltd *		161,778
	5,100	Potash Corp of Saskatchewan Inc		88,747
		Total Canada		747,037
		China — 6.7%
	110,000	Chaowei Power Holdings Ltd		56,995
	112,000	China BlueChemical Ltd – Class H		34,570
	118,000	China High Speed Transmission Equipment Group Co Ltd		121,670
	299,000	China Singyes Solar Technologies Holdings Ltd *		96,719
	2,030,000	Concord New Energy Group Ltd		85,776
	408,000	Guodian Technology & Environment Group Corp Ltd – Class H *		27,637
	88,000	Huaneng Renewables Corp Ltd – Class H		27,043
	10,194	JinkoSolar Holding Co Ltd ADR *		283,699
	125,000	Leoch International Technology Ltd		21,877
	279,500	Panda Green Energy Group Ltd *		36,430
	362,000	Shunfeng International Clean Energy Ltd *		15,752
	98,000	Tianneng Power International Ltd		83,964
	162,000	Wasion Group Holdings Ltd		69,253
		Total China		961,385
		Denmark — 2.3%
	3,607	Vestas Wind Systems A/S		328,735
		Finland — 1.2%
	9,943	Fortum Oyj		178,557
		France — 13.0%
	1,835	Albioma SA		41,306

Shares		Description	Value ($)
		France — continued
	1,458	Alstom SA		51,860
	2,212	Cie de Saint-Gobain		121,265
	11,763	Electricite de France SA		124,536
	28,273	Futuren SA *		38,101
	2,178	Nexans SA		121,493
	8,013	Schneider Electric SE *		646,176
	20,078	STMicroelectronics NV		349,202
	6,474	Suez		122,818
	1,143	Valeo SA		76,509
	2,032	Veolia Environnement SA		47,642
	1,275	Vilmorin & Cie SA		113,600
		Total France		1,854,508
		Germany — 3.2%
	1,687	Aurubis AG		150,851
	2,349	CENTROTEC Sustainable AG		49,582
	3,924	K+S AG (Registered)		93,587
	915	OSRAM Licht AG		75,158
	5,861	Senvion SA *		84,150
		Total Germany		453,328
		Hong Kong — 0.1%
	38,000	Coslight Technology International Group Co Ltd *		14,329
		Israel — 0.5%
	15,978	Israel Chemicals Ltd		69,037
		Italy — 1.9%
	5,604	Prysmian SPA		176,644
	16,733	Terna Rete Elettrica Nazionale SPA		98,876
		Total Italy		275,520
		Japan — 5.6%
	6,400	ADEKA Corp		109,044
	900	Central Japan Railway Co		152,599
	700	East Japan Railway Co		64,261
	3,400	Ebara Corp		105,161
	5,000	GS Yuasa Corp		24,847
	1,000	Kurita Water Industries Ltd		28,793
	1,000	Odelic Co Ltd		45,414
	7,000	Organo Corp		34,142
	8,400	Renesas Electronics Corp *		84,577
	4,300	Sumitomo Forestry Co Ltd		67,081
	2,400	Takuma Co Ltd		27,240
	400	TDK Corp		26,814
	500	West Japan Railway Co		36,365
		Total Japan		806,338

2 See accompanying notes to the financial statements.

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		Kenya — 0.2%
	346,500	Kenya Electricity Generating Co Ltd *		32,550
		Netherlands — 1.7%
	6,954	Arcadis NV		151,138
	2,555	Philips Lighting NV		94,328
		Total Netherlands		245,466
		Norway — 3.6%
	17,772	Austevoll Seafood ASA		183,616
	5,128	Grieg Seafood ASA		50,836
	6,175	Salmar ASA		179,049
	2,620	Yara International ASA		107,203
		Total Norway		520,704
		Poland — 2.0%
	7,235	KGHM Polska Miedz SA		256,039
	5,615	Polenergia SA *		25,657
		Total Poland		281,696
		Portugal — 1.4%
	52,040	EDP – Energias de Portugal SA		200,072
		Russia — 3.3%
	5,797	PhosAgro PJSC GDR (Registered)		80,908
	22,904	Ros Agro Plc GDR (Registered)		274,623
	5,666,159	RusHydro PJSC		80,737
	16,732	Uralkali PJSC *		39,378
		Total Russia		475,646
		South Africa — 0.4%
	5,711	Tongaat Hulett Ltd		52,106
		South Korea — 0.9%
	399	LG Chem Ltd		134,456
		Spain — 2.4%
	2,038	Construcciones y Auxiliar de Ferrocarriles SA		84,907
	22,092	Iberdrola SA		180,759
	1,377	Red Electrica Corp SA		30,955
	3,564	Saeta Yield SA		43,080
		Total Spain		339,701
		Switzerland — 2.2%
	12,161	ABB Ltd (Registered)		281,386
	27	Gurit Holding AG *		30,962
		Total Switzerland		312,348
		Taiwan — 0.6%
	53,000	Everlight Electronics Co Ltd		79,690

Shares		Description	Value ($)
		Ukraine — 0.4%
	2,966	Kernel Holding SA		50,554
		United Kingdom — 4.4%
	10,774	Antofagasta Plc		144,440
	13,991	Drax Group Plc		55,795
	4,819	Go-Ahead Group Plc		112,332
	11,442	National Grid Plc		144,214
	5,162	Polypipe Group Plc		26,460
	21,813	SIG Plc		50,143
	41,073	Stagecoach Group Plc		88,907
		Total United Kingdom		622,291
		United States — 25.5%
	1,800	AGCO Corp.		123,210
	3,800	Ameresco, Inc. – Class A *		27,550
	3,000	BorgWarner, Inc.		139,230
	11,300	Darling Ingredients, Inc. *		196,620
	3,000	Deere & Co.		347,790
	5,100	Eaton Corp Plc		365,976
	2,700	Emerson Electric Co.		159,408
	300	EnerSys		19,230
	4,900	Exelon Corp.		185,563
	6,700	First Solar, Inc. *		314,632
	39,251	Freeport-McMoRan, Inc. *		580,130
	8,200	General Cable Corp.		138,990
	3,700	Layne Christensen Co. *		39,738
	3,200	Mosaic Co. (The)		63,936
	1,300	MYR Group, Inc. *		33,553
	2,900	NRG Yield, Inc. – Class A		52,751
	600	Pentair Plc		37,230
	2,400	Renewable Energy Group, Inc. *		29,040
	5,100	Rexnord Corp. *		121,788
	19,400	SolarEdge Technologies, Inc. *		518,950
	9,700	SunPower Corp. *		85,748
	7,800	TerraForm Global, Inc. – Class A *		39,390
	200	Valmont Industries, Inc.		28,710
		Total United States		3,649,163
		TOTAL COMMON STOCKS (COST $11,623,825)		13,040,548
		PREFERRED STOCKS — 4.6%
		Chile — 4.6%
	14,000	Sociedad Quimica y Minera de Chile SA Sponsored ADR , 2.10%		657,020
		TOTAL PREFERRED STOCKS (COST $508,897)		657,020

See accompanying notes to the financial statements. 3

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 4.0%
		United States — 4.0%
		Affiliated Issuers — 4.0%
	23,157	GMO U.S. Treasury Fund		578,701
		TOTAL MUTUAL FUNDS (COST $578,688)		578,701
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Fund — 0.2%
	28,198	State Street Institutional Treasury Money Market Fund-Premier Class, 0.90% (b)		28,198
		TOTAL SHORT-TERM INVESTMENTS (COST $28,198)		28,198
		TOTAL INVESTMENTS — 100.0% (Cost $12,739,608)		14,304,467
		Other Assets and Liabilities (net) — (0.0%)		(6,642	)
		TOTAL NET ASSETS — 100.0%		$14,297,825

Notes to Schedule of Investments:

* Non-income producing security.

(a) Investment valued using significant unobservable inputs (Note 2).

(b) The rate disclosed is the 7 day net yield as of August 31, 2017.

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 52.

4 See accompanying notes to the financial statements.

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2017 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.3	%
Short-Term Investments		1.8
Preferred Stocks		1.6
Mutual Funds		0.5
Futures Contracts		0.0	^
Other		(0.2	)
		100.0	%
Country Summary¤	% of Investments
Japan		25.2	%
United Kingdom		11.3
France		11.0
Germany		8.6
Canada		8.0
Switzerland		5.8
Other Emerging		3.7	†
Other Developed		3.4	‡
Australia		2.9
Italy		2.7
South Korea		2.6
China		2.2
Taiwan		2.0
India		1.9
Singapore		1.9
Sweden		1.7
United States		1.5
Israel		1.3
Hong Kong		1.2
Netherlands		1.1
		100.0	%

Industry Group Summary	% of Equity Investments#
Capital Goods		16.4	%
Materials		11.4
Technology Hardware & Equipment		7.2
Real Estate		6.1
Food, Beverage & Tobacco		6.0
Automobiles & Components		5.3
Software & Services		5.1
Consumer Durables & Apparel		4.8
Commercial & Professional Services		4.7
Transportation		4.4
Diversified Financials		4.0
Insurance		3.5
Health Care Equipment & Services		3.0
Banks		2.8
Utilities		2.6
Pharmaceuticals, Biotechnology & Life Sciences		2.5
Food & Staples Retailing		2.2
Retailing		1.9
Semiconductors & Semiconductor Equipment		1.7
Energy		1.4
Consumer Services		1.1
Media		0.9
Telecommunication Services		0.6
Household & Personal Products		0.4
		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.

# 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%.

5

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.3%
		Argentina — 0.5%
	66,529	Grupo Supervielle SA Sponsored ADR		1,359,187
		Australia — 2.8%
	5,110	BlueScope Steel Ltd		44,231
	402,714	Charter Hall Group (REIT)		1,819,483
	225,609	Costa Group Holdings Ltd		952,624
	260,601	CSR Ltd		839,924
	450,887	Downer EDI Ltd		2,562,535
	80,274	Folkestone Education Trust (REIT)		178,039
	102,872	Mineral Resources Ltd		1,219,597
	494,266	Monash IVF Group Ltd		609,513
	42,974	OZ Minerals Ltd		279,208
		Total Australia		8,505,154
		Austria — 0.4%
	39,831	FACC AG *		483,660
	858	Lenzing AG		135,255
	24,444	POLYTEC Holding AG		468,916
		Total Austria		1,087,831
		Belgium — 0.6%
	238,373	AGFA-Gevaert NV *		1,054,725
	6,249	Barco NV		609,640
	30,003	Recticel SA		251,999
		Total Belgium		1,916,364
		Canada — 7.9%
	600	AG Growth International Inc		27,940
	114,200	AGF Management Ltd – Class B		710,578
	4,600	Aimia Inc		7,957
	101,400	Air Canada *		1,895,236
	100	Altus Group Ltd		2,499
	136,276	BRP Inc Sub Voting		4,528,892
	700	Capital Power Corp		14,720
	23,500	Celestica Inc *		269,674
	4,500	Cogeco Inc		297,333
	39,200	Dorel Industries Inc – Class B		897,166
	111,700	Ensign Energy Services Inc		564,426
	61,300	Gluskin Sheff + Associates Inc		832,551
	91,600	Labrador Iron Ore Royalty Corp		1,467,801
	23,800	Morguard North American Residential Real Estate Investment Trust		290,651
	24,500	North West Co Inc (The)		617,233
	329,800	Precision Drilling Corp *		837,210
	229,000	Rogers Sugar Inc		1,184,657
	291,500	Superior Plus Corp		2,763,852
	3,600	Timbercreek Financial Corp		27,243
	23,200	TMX Group Ltd		1,232,874

Shares		Description	Value ($)
		Canada — continued
	84,700	Transcontinental Inc – Class A		1,648,216
	282,300	Trican Well Service Ltd *		836,444
	92,600	Tricon Capital Group Inc		801,606
	41,900	Valener Inc		767,034
	59,800	Wajax Corp		926,631
	1,500	WestJet Airlines Ltd		31,988
	43,700	ZCL Composites Inc		457,035
		Total Canada		23,939,447
		China — 2.2%
	1,351,000	China Aoyuan Property Group Ltd		572,470
	1,354,000	China SCE Property Holdings Ltd		692,870
	303,000	CIFI Holdings Group Co Ltd		170,725
	976,000	Harbin Electric Co Ltd – Class H		498,262
	2,094,500	KWG Property Holding Ltd		1,908,863
	168,000	Logan Property Holdings Co Ltd		157,590
	178,000	Road King Infrastructure Ltd		236,826
	3,819,000	Yuzhou Properties Co Ltd		2,456,523
		Total China		6,694,129
		Colombia — 0.4%
	215,918	Almacenes Exito SA		1,124,504
		Denmark — 0.8%
	23,498	Schouw & Co AB		2,465,647
		Finland — 0.6%
	55,291	Tieto Oyj		1,749,027
		France — 10.9%
	241,932	Air France-KLM *		3,698,584
	30,983	Alten SA		2,636,960
	7,817	Amundi SA		601,691
	21,548	Arkema SA		2,343,561
	12,482	Atos SE		1,925,286
	12,224	BioMerieux		2,993,178
	23,159	Casino Guichard Perrachon SA		1,316,340
	32,278	Cie Generale des Etablissements Michelin		4,403,000
	155,606	Derichebourg SA		1,474,942
	4,985	Euler Hermes Group		591,940
	5,963	Ipsen SA		802,199
	5,849	Jacquet Metal Service		174,691
	1,498	Mersen SA		55,075
	40,423	Metropole Television SA		889,223
	49,106	Nexity SA *		2,721,151
	18,024	Plastivaloire		458,020
	87,609	Rallye SA		1,605,422
	68,502	SCOR SE		2,867,725
	3,005	Sopra Steria Group		520,723
	5,731	Teleperformance		788,339
		Total France		32,868,050

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, 2017 (Unaudited)

Shares		Description	Value ($)
		Germany — 7.4%
	78,459	ADVA Optical Networking SE *		444,784
	33,027	Bauer AG		1,070,654
	6,494	Cewe Stiftung & Co KGAA		557,679
	276,357	Deutsche Lufthansa AG (Registered)		6,940,696
	66,794	Deutz AG		508,794
	20,725	Dialog Semiconductor Plc *		943,443
	38,034	Elmos Semiconductor AG		946,799
	6,317	Isra Vision AG		1,098,647
	25,198	Koenig & Bauer AG		1,906,509
	34,045	Leoni AG		2,046,598
	2,927	Puma SE		1,206,007
	53,985	S&T Deutschland Holding AG * (a)		282,525
	1,501	STADA Arzneimittel AG		140,636
	43,430	Talanx AG		1,797,525
	58,892	Wacker Neuson SE		1,680,484
	10,336	Washtec AG		820,185
		Total Germany		22,391,965
		Greece — 0.1%
	36,659	Mytilineos Holdings SA *		374,527
		Hong Kong — 1.2%
	1,439,910	HKT Trust & HKT Ltd – Class SS		1,864,851
	236,500	Johnson Electric Holdings Ltd		871,364
	3,852,000	Singamas Container Holdings Ltd *		759,895
		Total Hong Kong		3,496,110
		India — 1.9%
	133,009	Apollo Tyres Ltd		528,755
	34,676	Escorts Ltd		352,622
	522,147	Housing Development & Infrastructure Ltd *		508,505
	4,625,171	Jaiprakash Associates Ltd *		1,725,901
	115,430	Jubilant Life Sciences Ltd		1,268,410
	280,263	PTC India Ltd		526,582
	334,924	Union Bank of India *		717,985
		Total India		5,628,760
		Indonesia — 0.2%
	465,000	Indo Tambangraya Megah Tbk PT		678,666
		Israel — 1.3%
	1,112,836	Israel Discount Bank Ltd – Class A *		2,776,908
	51,766	Nova Measuring Instruments Ltd *		1,232,255
		Total Israel		4,009,163
		Italy — 2.7%
	91,778	ACEA SPA		1,327,227
	386,884	Arnoldo Mondadori Editore SPA *		872,621
	44,658	El.En. SPA		1,343,036

Shares		Description	Value ($)
		Italy — continued
	101,384	ERG SPA		1,590,884
	727,312	Fincantieri SPA *		831,902
	253,621	Societa Cattolica di Assicurazioni SCRL		2,180,638
		Total Italy		8,146,308
		Japan — 25.0%
	42,500	Arakawa Chemical Industries Ltd		986,973
	12,800	Belluna Co Ltd		131,341
	106,400	Chugoku Marine Paints Ltd		885,384
	95,500	CKD Corp		1,618,655
	49,200	Dai-ichi Seiko Co Ltd		1,114,969
	60,200	Daiichi Kigenso Kagaku-Kogyo Co Ltd		753,970
	69,000	Daiwabo Holdings Co Ltd		277,828
	67,400	DIC Corp		2,384,383
	1,600	Disco Corp		287,262
	13,000	Dowa Holdings Co Ltd		97,959
	22,200	Fuji Oil Holdings Inc		623,641
	10,500	Fuji Pharma Co Ltd		363,367
	17,000	Fujitsu Frontech Ltd		335,614
	38,000	Furukawa Electric Co Ltd		2,063,617
	11,300	Glory Ltd		384,601
	28,700	Gree Inc		209,860
	284,300	Gunma Bank Ltd (The)		1,662,802
	93,000	Hanwa Co Ltd		625,766
	71,500	Heiwado Co Ltd		1,669,228
	19,300	Hochiki Corp		354,420
	104,400	Hokuhoku Financial Group Inc		1,600,109
	1,000	Horiba Ltd		61,396
	30,500	Hosokawa Micron Corp		1,545,961
	14,300	Ishihara Sangyo Kaisha Ltd *		193,275
	34,800	Kamei Corp		515,953
	17,400	Kissei Pharmaceutical Co Ltd		442,531
	289,400	Kitz Corp		2,329,447
	94,550	Komori Corp		1,167,166
	300	Konoike Transport Co Ltd		4,255
	28,000	KYB Corp		155,365
	63,000	Kyosan Electric Manufacturing Co Ltd		327,841
	53,000	Makino Milling Machine Co Ltd		416,415
	14,000	Mandom Corp		841,113
	97,800	MCJ Co Ltd		1,144,564
	441,400	Mitsubishi UFJ Lease & Finance Co Ltd		2,232,720
	234,000	Mitsui Mining & Smelting Co Ltd		1,240,981
	55,600	Mixi Inc		2,969,787
	2,200	Morinaga & Co Ltd		126,224
	2,700	Musashino Bank Ltd (The)		76,747
	212,500	NET One Systems Co Ltd		2,172,942
	248,400	NHK Spring Co Ltd		2,482,443
	24,000	Nichias Corp		281,529
	78,900	Nichiha Corp		2,876,690
	242,000	Nippon Chemi-Con Corp		912,073

See accompanying notes to the financial statements. 7

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	5,400	Nippon Shokubai Co Ltd		385,704
	363,000	Nippon Soda Co Ltd		2,085,518
	460,000	Nisshin Oillio Group Ltd (The)		3,301,031
	7,800	Osaka Organic Chemical Industry Ltd		94,761
	2,500	Pacific Industrial Co Ltd		31,571
	741,000	Prima Meat Packers Ltd		4,594,674
	10,200	Sakata INX Corp		181,134
	117,300	Sanwa Holdings Corp		1,309,841
	10,100	Showa Corp *		114,878
	219,000	Showa Denko KK		5,835,802
	157,600	Sojitz Corp		423,211
	128,600	Sumitomo Rubber Industries Ltd		2,132,817
	6,500	Sumitomo Seika Chemicals Co Ltd		309,001
	74,500	T-Gaia Corp		1,463,128
	18,600	Tadano Ltd		216,779
	6,500	Takasago International Corp		231,340
	47,900	Tatsuta Electric Wire and Cable Co Ltd		315,688
	1,700	Token Corp		235,106
	180,000	Tokuyama Corp *		797,286
	39,000	Tokyo Century Corp		1,690,378
	6,000	Tosoh Corp		70,534
	4,800	TPR Co Ltd		145,671
	74,900	TS Tech Co Ltd		2,342,848
	319,300	Tsubakimoto Chain Co		2,508,611
	1,900	Tsumura & Co		71,932
	51,000	Warabeya Nichiyo Holdings Co Ltd		1,279,945
	17,000	Zeon Corp		214,617
		Total Japan		75,332,973
		Luxembourg — 0.4%
	49,600	Orion Engineered Carbons SA		1,066,400
		Malaysia — 0.2%
	710,700	Padini Holdings Berhad		691,492
		Mexico — 0.5%
	1,203,522	Genomma Lab Internacional SAB de CV – Class B *		1,546,200
		Netherlands — 1.1%
	89,847	Philips Lighting NV		3,317,072
		Norway — 0.5%
	26,263	Borregaard ASA		306,317
	506,968	Kongsberg Automotive ASA *		520,294
	315,457	Kvaerner ASA *		453,539
	17,060	Selvaag Bolig ASA		79,405
		Total Norway		1,359,555

Shares		Description		Value ($)
		Poland — 0.2%
	172,509	Enea SA			738,129
		Portugal — 0.2%
	118,016	Navigator Co SA (The)			503,983
		Singapore — 1.9%
	201,400	Venture Corp Ltd			2,351,282
	2,565,400	Yanlord Land Group Ltd			3,277,075
		Total Singapore			5,628,357
		South Africa — 0.9%
	32,504	Astral Foods Ltd			387,160
	349,098	Blue Label Telecoms Ltd			496,767
	191,756	DataTec Ltd			834,454
	97,531	Reunert Ltd			521,784
	36,959	Wilson Bayly Holmes-Ovcon Ltd			395,003
		Total South Africa			2,635,168
		South Korea — 2.6%
	804	Chong Kun Dang Pharmaceutical Corp			74,322
	14,836	DongKook Pharmaceutical Co Ltd			780,730
	9,392	F&F Co Ltd			312,410
	32,772	Hyundai Corp	��		652,931
	111,270	Kwang Dong Pharmaceutical Co Ltd			854,769
	4,742	Kyungdong Pharm Co Ltd			83,717
	19,505	LF Corp			503,894
	43,006	LOTTE Himart Co Ltd			2,612,342
	865	Namyang Dairy Products Co Ltd			520,318
	8,128	Samjin Pharmaceutical Co Ltd			243,088
	12,978	SeAH Steel Corp			1,071,290
	64,283	Seohan Co Ltd			132,983
		Total South Korea			7,842,794
		Sweden — 1.6%
	59,570	Acando AB			204,772
	72,606	Bufab AB			860,687
	8,235	KNOW IT AB			126,396
	79,823	Loomis AB – Class B			2,912,592
	99,263	New Wave Group AB – B Shares			696,632
	22,654	Tethys Oil AB			152,661
		Total Sweden			4,953,740
		Switzerland — 5.8%
	19,344	ALSO Holding AG (Registered) *			2,516,768
	34,412	Ascom Holding AG (Registered)			670,769
	14,372	Baloise Holding AG (Registered)			2,290,369
	19,911	Bobst Group SA (Registered)			2,260,332
	2,489	Coltene Holding AG (Registered)			261,061
	1,965	Forbo Holdings AG (Registered)			2,991,984

8 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, 2017 (Unaudited)

Shares		Description	Value ($)
		Switzerland — continued
	1,703	Inficon Holding AG (Registered) *		970,508
	6,876	Orior AG		547,776
	607	Sika AG		4,307,482
	1,776	Swiss Life Holding AG (Registered) *		635,813
		Total Switzerland		17,452,862
		Taiwan — 2.0%
	332,000	China Motor Corp		309,389
	533,000	Coretronic Corp		648,646
	569,000	Elitegroup Computer Systems Co Ltd *		361,081
	270,000	Farglory Land Development Co Ltd		327,455
	928,000	Great Wall Enterprise Co Ltd		953,607
	391,000	Kindom Construction Corp		237,014
	178,000	Lite-On Semiconductor Corp		208,276
	204,000	Lotes Co Ltd		1,281,543
	375,000	Radiant Opto-Electronics Corp		949,403
	35,000	Senao International Co Ltd		61,861
	133,000	Syncmold Enterprise Corp		307,278
	111,000	Topco Scientific Co Ltd		291,209
		Total Taiwan		5,936,762
		United Kingdom — 11.2%
	583,727	888 Holdings Plc		1,983,100
	790	Bellway Plc		32,789
	126,162	Bovis Homes Group Plc		1,722,739
	444,731	Cape Plc		1,518,530
	8,488	Close Brothers Group Plc		169,692
	28,072	Computacenter Plc		371,354
	681,524	EI Group Plc *		1,249,398
	544,951	Electrocomponents Plc		4,466,415
	27,132	Euromoney Institutional Investor Plc		393,949
	180,057	Evraz Plc		782,656
	383,266	Fenner Plc		1,705,456
	51,227	Games Workshop Group Plc		1,085,725
	142,939	Hays Plc		338,232
	201,555	IMI Plc		2,959,295
	519,679	Jupiter Fund Management Plc		3,610,274
	98,898	McBride Plc *		224,642
	58,518	McColl’s Retail Group Plc		203,721
	70,531	Micro Focus International Plc		2,075,163
	59,392	Morgan Sindall Group Plc		966,057
	261,184	Ophir Energy Plc *		261,744
	67,836	Polypipe Group Plc		347,727
	266,558	RPS Group Plc		995,307
	90,457	Savills Plc		1,035,487
	63,459	Segro Plc (REIT)		441,950
	10,981	Spirent Communications Plc		13,819
	130,411	SThree Plc		557,395
	178,251	Stock Spirits Group Plc		537,317

Shares / Par Value†		Description	Value ($)
		United Kingdom — continued
	39,076	Tate & Lyle Plc		345,033
	209,095	Trinity Mirror Plc		261,023
	9,293	Vedanta Resources Plc		102,698
	289,388	Vesuvius Plc		2,162,114
	21,186	WH Smith Plc		506,250
	111,282	Wincanton Plc		342,767
		Total United Kingdom		33,769,818
		United States — 0.3%
	56,600	OM Asset Management Plc		799,758
		TOTAL COMMON STOCKS (COST $268,231,124)		290,009,902
		PREFERRED STOCKS — 1.6%
		Brazil — 0.6%
	949,100	Metalurgica Gerdau SA *		1,706,532
		Germany — 1.0%
	29,469	Draegerwerk AG & Co KGaA, 0.21%		3,157,111
		TOTAL PREFERRED STOCKS (COST $4,769,428)		4,863,643
		MUTUAL FUNDS — 0.5%
		United States — 0.5%
		Affiliated Issuers — 0.5%
	60,333	GMO U.S. Treasury Fund		1,507,719
		TOTAL MUTUAL FUNDS (COST $1,507,719)		1,507,719
		SHORT-TERM INVESTMENTS — 1.8%
		Time Deposits — 1.8%
AUD	128,380	Australia and New Zealand Banking Group Ltd. (Melbourne) Time Deposit, 0.73%, due 09/01/17		102,056
	1,494,770	BNP Paribas (Paris) Time Deposit, 0.87%, due 09/01/17		1,494,770
JPY	1,260	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.13)%, due 09/01/17		11
SGD	7,733	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/17		5,703
GBP	44,592	Citibank (New York) Time Deposit, 0.05%, due 09/01/17		57,662
	665,874	Citibank (New York) Time Deposit, 0.87%, due 09/01/17		665,874
	1,494,770	Standard Chartered Bank (London) Time Deposit, 0.87%, due 09/01/17		1,494,770
EUR	72,456	Sumitomo (Tokyo) Time Deposit, (0.56)%, due 09/01/17		86,255

See accompanying notes to the financial statements. 9

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Par Value†		Description	Value ($)
		Time Deposits — continued
	1,408,652	Sumitomo (Tokyo) Time Deposit, 0.87%, due 09/01/17		1,408,652
		Total Time Deposits		5,315,753
		TOTAL SHORT-TERM INVESTMENTS (COST $5,315,753)		5,315,753
		TOTAL INVESTMENTS — 100.2% (Cost $279,824,024)		301,697,017
		Other Assets and Liabilities (net) — (0.2%)		(611,150	)
		TOTAL NET ASSETS — 100.0%		$301,085,867

A summary of outstanding financial instruments at August 31, 2017 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Value and Net Unrealized Appreciation (Depreciation)
Buys
22	Mini MSCI EAFE	September 2017	$	2,128,280	$	15,927

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contracts.

As of August 31, 2017, 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) Investment value using significant unobservable inputs (Note 2).

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 52.

10 See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2017 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.8	%
Preferred Stocks		1.2
Mutual Funds		0.1
Short-Term Investments		0.1
Other		0.8
		100.0	%
Country Summary¤	% of Investments
Japan		26.8	%
United Kingdom		14.0
France		12.8
Germany		12.2
Hong Kong		5.2
Switzerland		5.2
Spain		4.4
Australia		4.1
Italy		3.2
Netherlands		2.9
Sweden		2.5
Norway		2.4
Other Developed		1.7	‡
Austria		1.5
Finland		1.1
		100.0	%

Industry Group Summary	% of Equity Investments#
Capital Goods		12.0	%
Materials		10.5
Insurance		9.4
Banks		9.2
Automobiles & Components		8.4
Energy		7.8
Pharmaceuticals, Biotechnology & Life Sciences		7.5
Food, Beverage & Tobacco		4.6
Consumer Durables & Apparel		3.9
Real Estate		3.3
Utilities		3.2
Transportation		3.2
Technology Hardware & Equipment		2.8
Telecommunication Services		2.6
Household & Personal Products		2.2
Semiconductors & Semiconductor Equipment		1.7
Commercial & Professional Services		1.7
Retailing		1.4
Software & Services		1.3
Diversified Financials		1.1
Food & Staples Retailing		0.9
Media		0.6
Consumer Services		0.4
Health Care Equipment & Services		0.3
		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.

11

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.8%
		Australia — 4.1%
	321,081	Abacus Property Group (REIT)		912,970
	115,011	Adelaide Brighton Ltd		527,016
	2,014,523	BHP Billiton Ltd		43,854,484
	2,796,515	BlueScope Steel Ltd		24,205,763
	128,589	Credit Corp Group Ltd		1,839,091
	4,763,601	CSR Ltd		15,353,218
	1,772,356	Dexus (REIT)		13,543,773
	5,890,149	Downer EDI Ltd		33,475,601
	125,824	Elders Ltd *		469,541
	6,082,453	Fortescue Metals Group Ltd		29,265,732
	66,022	Investa Office Fund (REIT)		237,643
	1,485,829	Metcash Ltd		3,213,039
	1,261,726	Mineral Resources Ltd		14,958,366
	1,518,586	Nine Entertainment Co Holdings Ltd		1,650,109
	3,134,379	OZ Minerals Ltd		20,364,496
	581,223	Pact Group Holdings Ltd		2,388,828
	90,238	Rio Tinto Ltd		4,892,253
	1,176,271	Shopping Centres Australasia Property Group (REIT)		2,087,814
	394,187	Sigma Healthcare Ltd		268,727
	17,983	Sonic Healthcare Ltd		313,187
	288,481	Southern Cross Media Group Ltd		297,458
	241,293	Star Entertainment Grp Ltd (The)		998,656
	75,035	Tabcorp Holdings Ltd		245,396
	364,680	Tassal Group Ltd		1,129,142
	69,894	Vicinity Centres (REIT)		145,756
	19,738	Virtus Health Ltd		91,172
	30,282	Woodside Petroleum Ltd		696,841
	391,384	WorleyParsons Ltd *		4,198,476
		Total Australia		221,624,548
		Austria — 1.4%
	79,093	Oesterreichische Post AG		3,543,829
	908,093	OMV AG		52,242,284
	418,263	voestalpine AG		21,705,268
		Total Austria		77,491,381
		Belgium — 0.2%
	615,191	AGFA-Gevaert NV *		2,722,025
	1,134	Barco NV		110,631
	125,268	bpost SA		3,498,449
	46,444	D’ieteren SA/NV		2,135,794
	7,450	Elia System Operator SA/NV		443,316
	90,674	Orange Belgium SA		2,181,620
		Total Belgium		11,091,835
		Denmark — 0.5%
	13,211	AP Moeller – Maersk A/S – Class B		27,289,233

Shares		Description	Value ($)
		Denmark — continued
	2,643	Dfds A/S		152,527
	12,564	Per Aarsleff Holding A/S		355,970
	8,571	Schouw & Co AB		899,356
		Total Denmark		28,697,086
		Finland — 1.1%
	35,489	Kesko Oyj – B Shares		1,912,787
	106,741	Metso Oyj		3,541,353
	187,914	Orion Oyj – Class B		8,897,122
	27,313	Tieto Oyj		863,995
	1,763,819	UPM-Kymmene Oyj		45,913,627
		Total Finland		61,128,884
		France — 12.7%
	1,398,855	Air France-KLM *		21,385,278
	4,926,629	AXA SA		142,845,448
	837,339	BNP Paribas SA		63,661,151
	107,731	Casino Guichard Perrachon SA		6,123,346
	127,661	Christian Dior SE		39,398,046
	190,702	Cie Generale des Etablissements Michelin		26,013,414
	638,748	CNP Assurances		14,825,701
	1,832,116	Credit Agricole SA		32,336,225
	31,200	Ipsen SA		4,197,317
	17,255	IPSOS		539,113
	56,112	L’Oreal SA		11,854,251
	4,612	Legrand SA		323,449
	238,372	Metropole Television SA		5,243,694
	578,694	Peugeot SA		12,235,911
	466,796	SCOR SE		19,541,657
	7,768	Societe BIC SA		933,129
	1,605,095	Societe Generale SA		89,792,090
	2,247,200	STMicroelectronics NV – NY Shares		39,191,168
	1,027,654	STMicroelectronics NV		17,873,252
	2,653,843	TOTAL SA		137,700,872
		Total France		686,014,512
		Germany — 10.9%
	284,910	ADVA Optical Networking SE *		1,615,154
	663,257	Allianz SE (Registered)		142,153,428
	152,880	BASF SE		14,828,962
	1,287,576	Bayerische Motoren Werke AG		119,735,744
	92,048	Bechtle AG		6,357,273
	94,293	Beiersdorf AG		10,076,623
	5,852	Cewe Stiftung & Co KGAA		502,547
	1,880,650	Daimler AG (Registered Shares)		137,234,656
	2,991,435	Deutsche Lufthansa AG (Registered)		75,129,785
	9,759	Diebold Nixdorf AG		812,426
	5,773	Duerr AG		673,443
	20,395	Evonik Industries AG		661,851

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, 2017 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	7,958	Fraport AG Frankfurt Airport Services Worldwide		786,007
	44,585	Henkel AG & Co KGaA		5,399,624
	6,881	Indus Holding AG		519,508
	57,696	Jenoptik AG		1,692,725
	2,151	Koenig & Bauer AG		162,747
	23,213	Leoni AG		1,395,438
	215,662	RHOEN-KLINIKUM AG		7,176,252
	1,293	RTL Group SA		98,256
	940,908	RWE AG *		23,497,685
	6,606	Salzgitter AG		297,140
	13,801	Siltronic AG *		1,349,542
	303,766	Software AG		13,363,428
	180,448	STADA Arzneimittel AG		16,907,100
	24,977	Talanx AG		1,033,773
	51,137	Volkswagen AG		7,905,625
		Total Germany		591,366,742
		Hong Kong — 5.2%
	499,300	ASM Pacific Technology Ltd		6,187,910
	7,764,100	BOC Hong Kong Holdings Ltd		39,666,866
	2,881,600	Champion (REIT)		2,121,800
	2,361,100	Dah Sing Banking Group Ltd		5,318,485
	469,800	Dah Sing Financial Holdings Ltd		3,410,695
	5,255,990	Esprit Holdings Ltd *		3,044,883
	4,350,000	Global Brands Group Holding Ltd *		389,674
	2,478,900	Hysan Development Co Ltd		11,478,007
	3,724,879	I-CABLE Communications Ltd *		131,131
	3,502,200	Kerry Properties Ltd		13,901,542
	4,303,791	Link (REIT)		35,552,797
	917,200	Luk Fook Holdings International Ltd		3,149,382
	3,770,000	Man Wah Holdings Ltd		3,513,472
	1,621,000	Pacific Textiles Holdings Ltd		1,649,845
	1,075,700	PCCW Ltd		600,437
	20,883,100	SJM Holdings Ltd		18,256,752
	1,526,200	SmarTone Telecommunications Holdings Ltd		1,865,166
	162,400	Swire Properties Ltd		563,486
	39,000	Swire Pacific Ltd – Class A		397,209
	135,500	Techtronic Industries Co Ltd		702,073
	435,800	Television Broadcasts Ltd		1,455,440
	32,317,000	WH Group Ltd		33,872,936
	5,591,900	Wharf Holdings Ltd (The)		53,344,187
	2,207,500	Wheelock & Co Ltd		16,539,620
	845,075	Xinyi Automobile Glass Hong Kong Enterprises Ltd *		162,164
	7,170,600	Xinyi Glass Holdings Ltd *		7,159,109
	3,383,800	Yue Yuen Industrial Holdings Ltd		14,678,148
		Total Hong Kong		279,113,216

Shares		Description	Value ($)
		Ireland — 0.1%
	139,301	Smurfit Kappa Group Plc		4,245,015
		Israel — 0.3%
	71,321	Bank Hapoalim BM		480,078
	274,626	El Al Israel Airlines		181,198
	5,759,190	Israel Discount Bank Ltd – Class A *		14,371,157
	36,740	Mizrahi Tefahot Bank Ltd		654,776
	10,496	Teva Pharmaceutical Industries Ltd		166,871
		Total Israel		15,854,080
		Italy — 3.2%
	474,840	A2A SPA		798,288
	70,335	Amplifon SPA		1,019,310
	754,299	Banca Mediolanum SPA		6,389,625
	78,636	De’ Longhi SPA		2,369,452
	6,787,484	Enel SPA		41,121,123
	3,284	Eni SPA		51,579
	457,737	EXOR NV		29,416,306
	2,482,800	Fiat Chrysler Automobiles NV *		37,564,764
	2,680,968	Hera SPA		8,586,686
	1,899,842	Iren SPA		5,210,243
	51,526	La Doria SPA		647,581
	711,078	Recordati SPA		30,497,843
	2,430	Reply SPA		556,655
	717,877	Societa Cattolica di Assicurazioni SCRL		6,172,318
	595,147	Telecom Italia SPA *		571,098
	3,330,242	Telecom Italia SPA-RSP		2,589,563
		Total Italy		173,562,434
		Japan — 26.6%
	19,600	ADEKA Corp		333,948
	7,000	Aichi Corp		47,775
	1,200	Ain Holdings Inc		88,354
	140,800	Alpine Electronics Inc		2,602,530
	83,700	AOKI Holdings Inc		1,114,760
	112,300	Aoyama Trading Co Ltd		4,116,446
	29,200	Asahi Glass Co Ltd		1,140,057
	884,000	Asahi Kasei Corp		10,602,343
	118,500	Asatsu-DK Inc		3,194,696
	127,800	Autobacs Seven Co Ltd		2,108,944
	1,659,000	Brother Industries Ltd		39,356,522
	283,400	Canon Inc		9,933,664
	52,100	Cawachi Ltd		1,265,715
	321,300	Coca-Cola Bottlers Japan Inc		11,006,024
	6,200	Computer Engineering & Consulting Ltd		125,452
	199,500	Concordia Financial Group Ltd		951,118
	439,600	Cosmo Energy Holdings Co Ltd		9,116,027
	21,200	Credit Saison Co Ltd		383,724
	295,800	Daikyo Inc		578,819

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, 2017 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	434,700	Daiwa House Industry Co Ltd		15,202,456
	711,000	Daiwabo Holdings Co Ltd		2,862,834
	809,700	DCM Holdings Co Ltd		7,290,422
	1,864,200	Denka Co Ltd		11,874,227
	434,000	DIC Corp		15,353,445
	70,600	Doutor Nichires Holdings Co Ltd		1,535,129
	17,300	DTS Corp		487,383
	7,500	Ehime Bank Ltd (The)		95,452
	116,000	Fuji Electric Co Ltd		639,969
	78,400	Fujikura Ltd		637,894
	4,240,000	Fujitsu Ltd		31,430,579
	455,900	Fuji Oil Holdings Inc		12,807,112
	138,500	Furukawa Electric Co Ltd		7,521,341
	34,400	Fuyo General Lease Co Ltd		2,085,024
	170,000	Geo Holdings Corp		2,410,654
	36,000	Gree Inc		263,239
	232,500	Gunze Ltd		1,038,315
	1,236,700	Hanwa Co Ltd		8,321,337
	1,126,500	Hazama Ando Corp		7,946,845
	213,600	Hiroshima Bank Ltd (The)		858,322
	13,600	Hitachi Capital Corp		316,420
	549,200	Hitachi Chemical Co Ltd		14,876,004
	140,000	Hitachi High-Technologies Corp		4,999,928
	1,890,000	Hitachi Ltd		13,010,058
	7,200	Hitachi Transport System Ltd		174,108
	2,300	Hokuetsu Bank Ltd (The)		53,570
	156,000	Horiba Ltd		9,577,792
	243,600	Idemitsu Kosan Co Ltd		5,950,205
	26,700	Isuzu Motors Ltd		348,392
	8,021,100	ITOCHU Corp		130,981,244
	81,800	Itochu Techno-Solutions Corp		3,047,059
	530,300	K’s Holdings Corp		11,853,761
	36,700	Kagome Co Ltd		1,159,116
	923,000	Kanematsu Corp		2,177,151
	261,400	Keihin Corp		4,304,033
	61,200	Kohnan Shoji Co Ltd		1,147,607
	9,900	Koito Manufacturing Co Ltd		617,100
	68,100	Kokuyo Co Ltd		1,084,453
	48,900	Kuraray Co Ltd		929,021
	8,200	Kyowa Exeo Corp		154,556
	77,400	Lasertec Corp		1,402,507
	28,900	Mandom Corp		1,736,298
	8,045,400	Marubeni Corp		52,355,173
	2,400	Maruwa Co Ltd		130,510
	200,700	Medipal Holdings Corp		3,542,666
	8,121,200	Mitsubishi Chemical Holdings Corp		75,693,819
	2,455,100	Mitsubishi Corp		56,799,929
	345,500	Mitsubishi Gas Chemical Co Inc		8,589,278
	978,500	Mitsubishi Tanabe Pharma Corp		24,136,524
	11,493,700	Mitsubishi UFJ Financial Group Inc		70,037,471

Shares		Description	Value ($)
		Japan — continued
	498,000	Mitsubishi UFJ Lease & Finance Co Ltd		2,519,018
	6,290,900	Mitsui & Co Ltd		94,152,367
	1,579,000	Mitsui Chemicals Inc		9,457,621
	2,193,000	Mitsui Engineering & Shipbuilding Co Ltd		2,749,389
	3,600	Mitsui Sugar Co Ltd		122,420
	419,000	Mitsui Mining & Smelting Co Ltd		2,222,098
	68,200	Morinaga & Co Ltd		3,912,952
	87,000	Namura Shipbuilding Co Ltd		519,504
	223,100	NET One Systems Co Ltd		2,281,333
	179,000	Nichias Corp		2,099,734
	5,400	Nichiha Corp		196,884
	520,800	Nichirei Corp		13,768,119
	9,900	Nifco Inc		567,971
	127,000	Nippo Corp		2,519,339
	531,000	Nippon Chemi-Con Corp		2,001,283
	1,426,800	Nippon Light Metal Holdings Co Ltd		4,205,519
	21,800	Nippon Paper Industries Co Ltd		417,990
	2,602,800	Nippon Telegraph & Telephone Corp		129,578,798
	9,160	Nippon Television Holdings Inc		166,221
	27,356	Nippon Electric Glass Co Ltd		1,041,200
	77,900	Nippon Signal Co Ltd		826,735
	119,300	Nishi-Nippon Financial Holdings Inc		1,280,750
	828,900	Nissan Motor Co Ltd		8,252,227
	185,300	Nisshinbo Holdings Inc		1,965,535
	40,200	Nissin Electric Co Ltd		447,111
	88,500	Nomura Holdings Inc		492,410
	800	NuFlare Technology Inc		43,644
	10,500	Okamura Corp		106,837
	122,700	Okinawa Electric Power Co (The)		2,736,695
	205,800	Onward Holdings Co Ltd		1,512,757
	101,200	Open House Co Ltd		3,132,160
	452,200	Orient Corp		732,258
	12,000	Osaki Electric Co Ltd		94,482
	585,400	Otsuka Holdings Co Ltd		23,596,438
	174,100	Pola Orbis Holdings Inc		5,589,658
	108,200	Press Kogyo Co Ltd		567,593
	112,000	Prima Meat Packers Ltd		694,472
	32,000	Relo Group Inc		729,203
	106,200	Rengo Co Ltd		613,918
	42,500	Rohm Co Ltd		3,309,051
	43,300	San-A Co Ltd		1,904,324
	34,000	Sankyu Inc		266,067
	1,644,900	Sekisui Chemical Co Ltd		30,713,905
	235,500	Showa Denko KK		6,275,485
	89,000	Showa Shell Sekiyu KK		976,247
	38,200	Softbank Technology Corp		631,820
	14,053,500	Sojitz Corp		37,738,575
	194,000	Sumitomo Chemical Co Ltd		1,164,389
	68,600	Sumitomo Dainippon Pharma Co Ltd		936,446
	642,400	Sumitomo Forestry Co Ltd		10,021,595

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, 2017 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	1,907,800	Sumitomo Heavy Industries Ltd		14,226,566
	2,178,800	Sumitomo Mitsui Financial Group Inc		81,123,881
	728,000	Sumitomo Rubber Industries Ltd		12,073,800
	15,200	Suzuken Co Ltd		554,063
	125,100	Suzuki Motor Corp		6,281,746
	162,300	T-Gaia Corp		3,187,459
	94,300	TIS Inc		2,787,383
	149,400	Toho Holdings Co Ltd		2,934,986
	9,330	Tokyo Electric Power Co Holdings Inc *		37,780
	154,000	Tokyo Electron Ltd		21,689,124
	35,700	Tokyo Seimitsu Co Ltd		1,227,056
	56,000	Toppan Printing Co Ltd		561,004
	8,800	Toshiba Plant Systems & Services Corp		151,554
	5,394,000	Tosoh Corp		63,410,468
	55,500	Towa Pharmaceutical Co Ltd		2,652,724
	23,100	Toyoda Gosei Co Ltd		538,262
	1,083,700	Toyota Tsusho Corp		33,346,613
	31,900	TPR Co Ltd		968,102
	185,700	TS Tech Co Ltd		5,808,635
	87,400	TSI Holdings Co Ltd		634,684
	362,000	Tsubakimoto Chain Co		2,844,088
	17,000	Tsumura & Co		643,599
	4,304,100	Ube Industries Ltd		12,320,576
	6,800	UKC Holdings Corp		119,383
	225,800	Valor Holdings Co Ltd		4,887,248
	26,600	Warabeya Nichiyo Holdings Co Ltd		667,579
	30,500	Yahagi Construction Co Ltd		263,342
	46,600	Yamaguchi Financial Group Inc		526,611
	625,000	Zeon Corp		7,890,343
		Total Japan		1,436,125,856
		Malta — 0.0%
	15,984,486	BGP Holdings Plc (a)		270,208
		Netherlands — 2.8%
	19,741	Aalberts Industries NV		878,656
	104,679	BinckBank NV		529,187
	131,300	Constellium NV – Class A *		1,483,690
	19,187	Corbion NV		578,493
	210,719	Heineken Holding NV		20,815,912
	3,951,948	ING Groep NV		70,150,214
	125,132	Philips Lighting NV		4,619,762
	472,653	PostNL NV		1,882,332
	1,187,832	Wolters Kluwer NV		51,894,374
		Total Netherlands		152,832,620
		New Zealand — 0.0%
	550,314	Air New Zealand Ltd		1,413,349
	237,499	Chorus Ltd		682,777
	43,683	Fletcher Building Ltd		260,120
		Total New Zealand		2,356,246

Shares		Description	Value ($)
		Norway — 2.4%
	11,876	Austevoll Seafood ASA		122,700
	244,548	Bakkafrost P/F		11,418,540
	499,824	BW LPG Ltd *		2,057,029
	614,388	DNB ASA		12,000,608
	1,162,911	Orkla ASA		11,940,262
	12,831	Salmar ASA		372,046
	12,295	SpareBank 1 Nord Norge		97,408
	2,334,239	Statoil ASA		44,172,864
	1,502,199	Storebrand ASA		12,434,643
	2,229,468	Subsea 7 SA		32,074,366
	45,524	Telenor ASA		921,415
	16,108	Yara International ASA		659,096
		Total Norway		128,270,977
		Portugal — 0.2%
	148,834	Altri SGPS SA		650,375
	1,104,709	CTT-Correios de Portugal SA		6,853,428
	178,954	Navigator Co SA (The)		764,217
	730,139	REN-Redes Energeticas Nacionais SGPS SA		2,401,347
		Total Portugal		10,669,367
		Singapore — 0.2%
	537,100	CapitaLand Commercial Trust (REIT)		690,102
	9,300	CapitaLand Mall Trust (REIT)		14,894
	333,000	Fortune Real Estate Investment Trust		398,059
	1,380,400	Mapletree Greater China Commercial Trust (REIT)		1,146,257
	706,500	Mapletree Industrial Trust (REIT)		966,821
	980,400	Mapletree Logistics Trust (REIT)		889,661
	436,000	Venture Corp Ltd		5,090,164
	3,507,400	Yangzijiang Shipbuilding Holdings Ltd		3,876,451
	93,000	Yanlord Land Group Ltd		118,799
		Total Singapore		13,191,208
		Spain — 4.4%
	18,777	Aena SA		3,672,903
	633,000	Ebro Foods SA		15,100,799
	2,698,088	Endesa SA		65,191,232
	7,787,387	Mapfre SA		27,608,182
	7,132,483	Repsol SA		122,727,003
	11,674	Viscofan SA		705,033
		Total Spain		235,005,152
		Sweden — 2.5%
	200,753	Alfa Laval AB		4,549,155
	726,710	Atlas Copco AB – A Shares		28,510,403
	97,688	Atlas Copco AB – B Shares		3,488,538
	140,127	Axfood AB		2,480,217

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, 2017 (Unaudited)

Shares		Description	Value ($)
		Sweden — continued
	36,580	Bilia AB – A Shares		381,172
	63,284	Castellum AB		991,040
	6,511	Granges AB		72,357
	32,183	Industrivarden AB – C Shares		762,792
	60,408	Klovern AB – B Shares		83,667
	17,435	NCC AB – B Shares		455,096
	2,855,987	Sandvik AB		47,217,975
	35,435	Securitas AB – B Shares		582,880
	13,261	Skanska AB – B Shares		299,686
	23,199	Swedish Match AB		827,706
	2,393,852	Volvo AB – B Shares		40,915,924
	53,861	Wihlborgs Fastigheter AB		1,308,261
		Total Sweden		132,926,869
		Switzerland — 5.1%
	58,679	Ascom Holding AG (Registered)		1,143,788
	13,484	Autoneum Holding AG		3,429,207
	1,774	Banque Cantonale Vaudoise (Registered)		1,280,296
	5,696	BKW AG		330,978
	343	Bobst Group SA (Registered)		38,938
	2,018	Cembra Money Bank AG *		175,708
	372	dormakaba Holding AG *		335,512
	3,408	Emmi AG (Registered) *		2,279,094
	20,282	EMS-Chemie Holding AG (Registered)		13,877,072
	2,467	Forbo Holdings AG (Registered)		3,756,349
	15,622	Georg Fischer AG (Registered)		18,006,993
	42	Gurit Holding AG *		48,163
	12,324	Implenia AG (Registered)		840,295
	9,576	Kardex AG (Registered) *		1,003,776
	5,439	Komax Holding AG (Registered)		1,513,255
	28,242	Kuehne & Nagel International AG (Registered)		5,118,036
	1,128,280	Logitech International SA (Registered)		40,206,045
	10,546	Mobilezone Holding AG (Registered)		128,745
	5,913	Sika AG		41,960,689
	1,316	Swatch Group AG (The) (Registered)		102,074
	111,444	Swiss Life Holding AG (Registered) *		39,897,274
	1,071,070	Swiss Re AG		96,983,014
	1,640	Valora Holding AG (Registered)		494,877
	61,457	Vontobel Holding AG (Registered)		3,917,512
	5,161	Zehnder Group AG – Class RG		182,065
		Total Switzerland		277,049,755
		United Kingdom — 13.9%
	144,643	3i Group Plc		1,814,654
	2,298,261	AstraZeneca Plc		134,742,034
	779,910	Berkeley Group Holdings Plc (The)		37,789,398
	67,143	Bovis Homes Group Plc		916,836
	1,501,128	British American Tobacco Plc		93,648,069
	776,174	Cairn Energy Plc *		1,722,200

Shares		Description	Value ($)
		United Kingdom — continued
	1,609,321	Carillion Plc		918,809
	8,000,531	Centrica Plc		20,678,693
	314,378	Coca-Cola HBC AG *		10,750,414
	343,457	Crest Nicholson Holdings Plc		2,420,299
	4,316,811	Debenhams Plc		2,246,408
	689,489	Electrocomponents Plc		5,651,047
	28,644	Fenner Plc		127,460
	1,874,323	Ferrexpo Plc		7,265,530
	7,495,818	Firstgroup Plc *		11,371,914
	356,348	Galliford Try Plc		6,423,698
	7,061,238	GlaxoSmithKline Plc		140,093,295
	133,725	Halfords Group Plc		557,322
	335,928	Hunting Plc *		1,744,722
	1,895,212	Inchcape Plc		20,419,625
	2,796,582	Indivior Plc *		15,064,772
	462,784	Intermediate Capital Group Plc		5,320,771
	2,040,342	J Sainsbury Plc		6,210,951
	1,865	Jupiter Fund Management Plc		12,956
	719,818	Kingfisher Plc		2,781,395
	2,898,711	Lloyds Banking Group Plc		2,389,395
	154,003	Mitie Group Plc		534,673
	406,874	National Express Group Plc		1,890,763
	30,089	Pearson Plc		235,923
	1,549,376	Persimmon Plc		53,353,632
	57,252	Playtech Plc		703,645
	249,518	QinetiQ Group Plc		742,891
	899,033	Reckitt Benckiser Group Plc		85,253,987
	941,201	Royal Mail Plc		4,794,394
	607,691	Sage Group Plc (The)		5,442,954
	70,646	Savills Plc		808,705
	416,457	Spectris Plc		12,478,715
	340,930	Vesuvius Plc		2,547,201
	99,119	Victrex Plc		2,609,037
	348,018	WH Smith Plc		8,316,059
	5,991,747	Wm Morrison Supermarkets Plc		19,050,930
	1,141,403	WPP Plc		20,815,883
		Total United Kingdom		752,662,059
		TOTAL COMMON STOCKS (COST $4,653,704,902)		5,291,550,050
		PREFERRED STOCKS — 1.2%
		Germany — 1.2%
	164,043	Jungheinrich AG 1.15%		6,963,865
	672,150	Porsche Automobil Holding SE 1.89%		38,152,677
	131,656	Volkswagen AG 1.50%		19,670,758
		Total Germany		64,787,300
		TOTAL PREFERRED STOCKS (COST $87,275,247)		64,787,300

16 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, 2017 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 0.1%
		United States — 0.1%
		Affiliated Issuers — 0.1%
	204,586	GMO U.S. Treasury Fund		5,112,603
		TOTAL MUTUAL FUNDS (COST $5,112,603)		5,112,603
		SHORT-TERM INVESTMENTS — 0.1%
		Time Deposits — 0.1%
AUD	782,764	Australia and New Zealand Banking Group Ltd. (Melbourne) Time Deposit, 0.73%, due 09/01/17		622,258
DKK	6,869	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.55)%, due 09/01/17		1,100
GBP	129	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.05%, due 09/01/17		166
HKD	1,215,829	BNP Paribas (Paris) Time Deposit, 0.01%, due 09/01/17		155,363
JPY	985,611	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.13)%, due 09/01/17		8,965
SGD	36,478	HSBC Bank (Hong Kong) Time Deposit, 0.01%, due 09/01/17		26,903
	3,462,474	Sumitomo (Tokyo) Time Deposit, 0.87%, due 09/01/17		3,462,474
		Total Time Deposits		4,277,229
		TOTAL SHORT-TERM INVESTMENTS (COST $4,277,229)		4,277,229
		TOTAL INVESTMENTS — 99.2% (Cost $4,750,369,981)		5,365,727,182
		Other Assets and Liabilities (net) — 0.8%		43,432,216
		TOTAL NET ASSETS — 100.0%		$5,409,159,398

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

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 52.

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, 2017 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		95.6	%
Preferred Stocks		2.2
Mutual Funds		1.8
Short-Term Investments		0.4
Other		0.0	^
		100.0	%

Country Summary¤	% of Investments
Japan		26.4	%
United Kingdom		16.3
France		13.0
Germany		11.6
Hong Kong		6.5
Switzerland		5.0
Australia		3.6
Austria		2.9
Other Developed		2.5	‡
Netherlands		2.3
Sweden		2.3
Spain		2.3
Finland		1.9
United States		1.8
Denmark		1.6
		100.0	%

Industry Group Summary	% of Equity Investments#
Capital Goods		12.8	%
Materials		11.1
Banks		9.3
Insurance		9.2
Automobiles & Components		8.1
Pharmaceuticals, Biotechnology & Life Sciences		7.9
Energy		7.6
Real Estate		5.5
Consumer Durables & Apparel		5.3
Food, Beverage & Tobacco		4.9
Transportation		3.9
Telecommunication Services		2.3
Technology Hardware & Equipment		2.3
Household & Personal Products		2.1
Retailing		1.7
Software & Services		1.5
Commercial & Professional Services		1.1
Utilities		0.8
Food & Staples Retailing		0.7
Semiconductors & Semiconductor Equipment		0.5
Diversified Financials		0.5
Consumer Services		0.5
Media		0.4
Health Care Equipment & 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.

¤ 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%.

18

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 95.6%
		Australia — 3.5%
	98	Australia & New Zealand Banking Group Ltd		2,293
	72,295	BHP Billiton Ltd		1,573,802
	19,734	BlueScope Steel Ltd		170,811
	550	Caltex Australia Ltd		14,627
	9,224	Downer EDI Ltd		52,423
	5,949	Fairfax Media Ltd		4,577
	182,695	Fortescue Metals Group Ltd		879,037
	1,299	Shopping Centres Australasia Property Group (REIT)		2,306
	293	Sonic Healthcare Ltd		5,103
		Total Australia		2,704,979
		Austria — 2.9%
	27,128	OMV AG		1,560,665
	12,439	voestalpine AG		645,507
		Total Austria		2,206,172
		Belgium — 0.1%
	84	Ageas		3,900
	1,785	bpost SA		49,851
		Total Belgium		53,751
		Denmark — 1.6%
	590	AP Moeller – Maersk A/S – Class B		1,218,730
		Finland — 1.9%
	1,119	Orion Oyj – Class B		52,981
	52,215	UPM – Kymmene Oyj		1,359,198
		Total Finland		1,412,179
		France — 12.9%
	6,141	Air France-KLM *		93,882
	62	Amundi SA		4,772
	106	Atos SE		16,350
	71,181	AXA SA		2,063,862
	25,260	BNP Paribas SA		1,920,465
	1,770	Christian Dior SE		546,248
	1,590	CNP Assurances		36,905
	28,961	Credit Agricole SA		511,152
	125	L’Oreal SA		26,408
	952	Peugeot SA		20,129
	10,657	SCOR SE		446,138
	31,192	Societe Generale SA		1,744,940
	12,130	STMicroelectronics NV		210,968
	42,240	TOTAL SA		2,191,722
		Total France		9,833,941

Shares		Description	Value ($)
		Germany — 9.3%
	7,300	Allianz SE (Registered)		1,564,582
	1,876	Aurubis AG		167,751
	17,959	Bayerische Motoren Werke AG		1,670,064
	168	Bechtle AG		11,603
	1,981	Beiersdorf AG		211,700
	446	Continental AG		100,697
	26,115	Daimler AG (Registered Shares)		1,905,662
	45,561	Deutsche Lufthansa AG (Registered)		1,144,263
	284	Henkel AG & Co KGaA		34,395
	715	METRO AG *		13,976
	3,788	RWE AG *		94,599
	198	Siltronic AG *		19,362
	301	STADA Arzneimittel AG		28,202
	1,001	Uniper SE		24,979
	797	Volkswagen AG		123,214
		Total Germany		7,115,049
		Hong Kong — 6.5%
	108,500	BOC Hong Kong Holdings Ltd		554,328
	132,630	I-CABLE Communications Ltd *		4,669
	156,500	Link (REIT)		1,292,817
	389,000	SJM Holdings Ltd		340,078
	2,500	Techtronic Industries Co Ltd		12,953
	373,000	WH Group Ltd		390,958
	156,000	Wharf Holdings Ltd (The)		1,488,169
	84,000	Wheelock & Co Ltd		629,367
	174,000	Xinyi Glass Holdings Ltd *		173,721
	9,500	Yue Yuen Industrial Holdings Ltd		41,209
		Total Hong Kong		4,928,269
		Israel — 0.0%
	100	Check Point Software Technologies Ltd *		11,187
	400	Teva Pharmaceutical Industries Ltd Sponsored ADR		6,344
		Total Israel		17,531
		Italy — 1.0%
	477	De’ Longhi SPA		14,373
	1,463	Enel SPA		8,863
	5,229	EXOR NV		336,040
	19,100	Fiat Chrysler Automobiles NV *		288,983
	1,166	Leonardo SPA		19,757
	25,715	Saras SPA		63,443
	2,141	Unipol Gruppo Finanziario SPA		9,275
		Total Italy		740,734
		Japan — 26.3%
	100	Aoyama Trading Co Ltd		3,666
	2,300	Asahi Glass Co Ltd		89,799

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, 2017 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	24,000	Asahi Kasei Corp		287,846
	8,500	Brother Industries Ltd		201,646
	4,300	Canon Inc		150,723
	1,100	Daicel Corp		14,030
	5,900	Daiichi Sankyo Co Ltd		139,665
	12,400	Daiwa House Industry Co Ltd		433,656
	1,000	DCM Holdings Co Ltd		9,004
	1,400	DIC Corp		49,527
	100	Disco Corp		17,954
	14,000	FUJIFILM Holdings Corp		550,804
	2,400	Fujikura Ltd		19,527
	73,000	Fujitsu Ltd		541,140
	100	Fuji Oil Holdings Inc		2,809
	1,400	Furukawa Electric Co Ltd		76,028
	1,100	Gree Inc		8,043
	20,174	Haseko Corp		250,174
	1,700	Hino Motors Ltd		19,499
	1,000	Hitachi Chemical Co Ltd		27,087
	61,000	Hitachi Ltd		419,901
	400	Horiba Ltd		24,558
	200	Ibiden Co Ltd		3,312
	122,000	ITOCHU Corp		1,992,210
	100	Itochu Techno-Solutions Corp		3,725
	13,940	K’s Holdings Corp		311,600
	100	Kagome Co Ltd		3,158
	2,000	Kajima Corp		18,362
	100	Kobayashi Pharmaceutical Co Ltd		6,237
	3,500	Konica Minolta Inc		27,933
	200	Lion Corp		3,987
	216,100	Marubeni Corp		1,406,264
	163,900	Mitsubishi Chemical Holdings Corp		1,527,634
	24,900	Mitsubishi Corp		576,074
	3,400	Mitsubishi Gas Chemical Co Inc		84,525
	28,200	Mitsubishi Tanabe Pharma Corp		695,606
	89,000	Mitsubishi UFJ Financial Group Inc		542,326
	108,500	Mitsui & Co Ltd		1,623,859
	13,000	Mitsui Chemicals Inc		77,865
	1,000	Mitsui Mining & Smelting Co Ltd		5,303
	1,200	Morinaga & Co Ltd		68,850
	3,700	Nichirei Corp		97,815
	34,700	Nippon Telegraph & Telephone Corp		1,727,518
	300	Nissin Foods Holdings Co Ltd		18,499
	1,600	NSK Ltd		18,964
	34,600	Otsuka Holdings Co Ltd		1,394,665
	1,200	Resona Holdings Inc		5,973
	400	Rohm Co Ltd		31,144
	1,500	Seiko Epson Corp		38,494
	46,000	Sekisui Chemical Co Ltd		858,921
	200	Shin-Etsu Chemical Co Ltd		17,715
	3,500	Showa Denko KK		93,266

Shares		Description	Value ($)
		Japan — continued
	245,500	Sojitz Corp		659,254
	900	Sumitomo Corp		12,748
	1,100	Sumitomo Dainippon Pharma Co Ltd		15,016
	33,800	Sumitomo Mitsui Financial Group Inc		1,258,485
	400	Suntory Beverage & Food Ltd		18,489
	900	Suzuki Motor Corp		45,192
	800	Tokyo Electron Ltd		112,671
	39,700	Toyota Tsusho Corp		1,221,612
	400	Trend Micro Inc		18,514
	200	TS Tech Co Ltd		6,256
	500	Tsumura & Co		18,929
	1,000	Yokohama Rubber Co Ltd (The)		18,488
		Total Japan		20,024,544
		Malta — 0.4%
	15,998,662	BGP Holdings Plc (a)		270,448
		Netherlands — 2.3%
	563	ASR Nederland NV		21,816
	5,811	Heineken Holding NV		574,041
	17,695	ING Groep NV		314,100
	904	Philips Lighting NV		33,375
	19,023	PostNL NV		75,759
	17,259	Wolters Kluwer NV		754,016
		Total Netherlands		1,773,107
		New Zealand — 0.5%
	67,722	Fletcher Building Ltd		397,811
	2,722	Spark New Zealand Ltd		7,658
		Total New Zealand		405,469
		Norway — 0.4%
	692	Bakkafrost P/F		32,311
	4,924	DNB ASA		96,179
	1,291	Norsk Hydro ASA		9,321
	1,129	Storebrand ASA		9,345
	8,346	Subsea 7 SA		120,070
	640	Yara International ASA		26,187
		Total Norway		293,413
		Portugal — 0.0%
	1,179	CTT-Correios de Portugal SA		7,314
		Singapore — 0.1%
	800	DBS Group Holdings Ltd		12,188
	5,500	Venture Corp Ltd		64,211
		Total Singapore		76,399

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, 2017 (Unaudited)

Shares		Description	Value ($)
		Spain — 2.3%
	1,786	Endesa SA		43,153
	98,870	Repsol SA		1,701,234
		Total Spain		1,744,387
		Sweden — 2.3%
	10,454	Atlas Copco AB – A Shares		410,133
	1,003	Atlas Copco AB – B Shares		35,818
	37,612	Sandvik AB		621,839
	990	Svenska Cellulosa AB SCA – Class B		8,260
	39,136	Volvo AB – B Shares		668,916
		Total Sweden		1,744,966
		Switzerland — 5.0%
	36	EMS-Chemie Holding AG (Registered)		24,631
	174	LafargeHolcim Ltd (Registered) *		10,239
	4,974	Logitech International SA (Registered)		177,248
	1,459	Nestle SA (Registered)		123,688
	111	Sika AG		787,694
	89	Swatch Group AG (The) (Registered)		6,903
	2,916	Swiss Life Holding AG (Registered) *		1,043,937
	18,013	Swiss Re AG		1,631,037
		Total Switzerland		3,805,377
		United Kingdom — 16.3%
	31,942	AstraZeneca Plc		1,872,690
	344	Bellway Plc		14,278
	20,568	Berkeley Group Holdings Plc (The)		996,592
	36,015	British American Tobacco Plc		2,246,801
	153,213	Centrica Plc		396,004
	2,065	Coca-Cola HBC AG *		70,614
	8,519	Electrocomponents Plc		69,822
	953	Galliford Try Plc		17,179
	77,170	GlaxoSmithKline Plc		1,531,035
	500	GlaxoSmithKline Plc Sponsored ADR		20,115
	2,198	Hammerson Plc (REIT)		15,963
	18,410	Inchcape Plc		198,355
	20,279	Indivior Plc *		109,240
	734	Intermediate Capital Group Plc		8,439
	35,660	J Sainsbury Plc		108,552
	337	Johnson Matthey Plc		12,058
	843	Jupiter Fund Management Plc		5,856
	136,790	Kingfisher Plc		528,560
	89	Mondi Plc		2,432
	34,151	Persimmon Plc		1,176,009
	13,232	Reckitt Benckiser Group Plc		1,254,771
	68,205	Royal Mail Plc		347,430
	55,627	Sage Group Plc (The)		498,239
	103	Spectris Plc		3,086
	10,411	WH Smith Plc		248,776

Shares / Par Value†		Description	Value ($)
		United Kingdom — continued
	114,953	Wm Morrison Supermarkets Plc		365,496
	14,625	WPP Plc		266,718
		Total United Kingdom		12,385,110
		TOTAL COMMON STOCKS (COST $62,727,373)		72,761,869
		PREFERRED STOCKS — 2.2%
		Germany — 2.2%
	25,252	Porsche Automobil Holding SE, 1.89%		1,433,358
	1,825	Volkswagen AG, 1.50%		272,674
		Total Germany		1,706,032
		TOTAL PREFERRED STOCKS (COST $2,215,468)		1,706,032
		MUTUAL FUNDS — 1.8%
		United States — 1.8%
		Affiliated Issuers — 1.8%
	55,901	GMO U.S. Treasury Fund		1,396,970
		TOTAL MUTUAL FUNDS (COST $1,396,970)		1,396,970
		SHORT-TERM INVESTMENTS — 0.4%
		Time Deposits — 0.4%
	301,329	Barclays (London) Time Deposit, 0.87%, due 09/01/17		301,329
AUD	78	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.73%, due 09/01/17		62
CHF	3,348	Brown Brothers Harriman (Grand Cayman) Time Deposit, (1.00)%, due 09/01/17		3,491
EUR	841	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.56)%, due 09/01/17		1,002
GBP	58	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.05%, due 09/01/17		75
HKD	16,353	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/17		2,090
JPY	167,192	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.13)%, due 09/01/17		1,521
		Total Time Deposits		309,570
		TOTAL SHORT-TERM INVESTMENTS (COST $309,570)		309,570
		TOTAL INVESTMENTS — 100.0% (Cost $66,649,381)		76,174,441
		Other Assets and Liabilities (net) — (0.0%)		(34,445	)
		TOTAL NET ASSETS — 100.0%		$76,139,996

See accompanying notes to the financial statements. 21

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2017 (Unaudited)

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs. (Note 2).

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 52.

22 See accompanying notes to the financial statements.

GMO International Small Companies Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2017 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.9	%
Preferred Stocks		1.9
Short-Term Investments		1.8
Mutual Funds		0.0	^
Other		(0.6	)
		100.0	%
Country Summary¤	% of Investments
Japan		25.6	%
United Kingdom		11.5
France		9.4
Canada		8.5
Germany		7.7
Switzerland		7.5
Italy		3.3
Other Developed		3.3	‡
Australia		2.9
Singapore		2.8
China		2.2
South Korea		2.2
Taiwan		2.0
India		1.8
Other Emerging		1.8	†
Sweden		1.6
Austria		1.2
Israel		1.1
Netherlands		1.1
South Africa		1.1
Hong Kong		1.0
Colombia		0.4
		100.0	%

Industry Group Summary	% of Equity Investments#
Capital Goods		17.0	%
Materials		11.5
Technology Hardware & Equipment		7.2
Food, Beverage & Tobacco		6.3
Real Estate		6.1
Automobiles & Components		5.3
Commercial & Professional Services		5.1
Consumer Durables & Apparel		5.1
Software & Services		4.6
Diversified Financials		3.9
Transportation		3.5
Health Care Equipment & Services		3.2
Insurance		2.8
Utilities		2.7
Pharmaceuticals, Biotechnology & Life Sciences		2.4
Banks		2.3
Media		2.0
Food & Staples Retailing		2.0
Semiconductors & Semiconductor Equipment		2.0
Retailing		2.0
Energy		1.3
Consumer Services		0.8
Telecommunication Services		0.6
Household & Personal Products		0.3
		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.

# 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%.

23

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.9%
		Australia — 2.8%
	717	BlueScope Steel Ltd		6,206
	24,460	Charter Hall Group (REIT)		110,511
	11,993	Costa Group Holdings Ltd		50,640
	24,597	CSR Ltd		79,277
	43,055	Downer EDI Ltd		244,695
	5,051	Folkestone Education Trust (REIT)		11,203
	11,007	Mineral Resources Ltd		130,493
	30,355	Monash IVF Group Ltd		37,433
	4,037	OZ Minerals Ltd		26,229
		Total Australia		696,687
		Austria — 1.2%
	11,778	FACC AG *		143,018
	99	Lenzing AG		15,606
	6,482	POLYTEC Holding AG		124,346
		Total Austria		282,970
		Belgium — 0.4%
	13,513	AGFA-Gevaert NV *		59,791
	354	Barco NV		34,536
	1,607	Recticel SA		13,497
		Total Belgium		107,824
		Canada — 8.4%
	300	Aimia Inc		519
	4,300	Air Canada *		80,370
	14,492	BRP Inc		481,616
	1,700	Celestica Inc *		19,508
	3,100	Cogeco Inc		204,830
	3,800	Dorel Industries Inc – Class B		86,970
	10,200	Ensign Energy Services Inc		51,541
	3,100	Gluskin Sheff + Associates Inc		42,103
	5,005	Labrador Iron Ore Royalty Corp		80,200
	4,407	Morguard North American Residential Real Estate Investment Trust		53,819
	300	North West Co Inc (The)		7,558
	49,000	Rogers Sugar Inc		253,486
	27,700	Superior Plus Corp		262,637
	400	Timbercreek Financial Corp		3,027
	2,100	TMX Group Ltd		111,596
	7,600	Transcontinental Inc – Class A		147,892
	14,100	Trican Well Service Ltd *		41,778
	2,000	Valener Inc		36,613
	3,777	Wajax Corp		58,527
	4,300	ZCL Composites Inc		44,971
		Total Canada		2,069,561

Shares		Description	Value ($)
		China — 2.2%
	48,000	Agile Group Holdings Ltd		57,623
	77,000	China National Materials Co Ltd – Class H		33,545
	92,000	China SCE Property Holdings Ltd		47,078
	586,000	China Shanshui Cement Group Ltd * (a)		—
	4,000	Fufeng Group Ltd *		2,546
	98,000	Harbin Electric Co Ltd – Class H		50,030
	3,000	Kingboard Chemical Holdings Ltd		16,399
	130,500	KWG Property Holding Ltd		118,934
	14,000	Logan Property Holdings Co Ltd		13,133
	2,000	Sinotruk Hong Kong Ltd		2,218
	318,000	Yuzhou Properties Co Ltd		204,549
		Total China		546,055
		Colombia — 0.3%
	16,409	Almacenes Exito SA		85,458
		Denmark — 0.7%
	1,666	Schouw & Co AB		174,814
		Finland — 0.6%
	4,855	Tieto Oyj		153,579
		France — 9.3%
	13,620	Air France-KLM *		208,219
	2,952	Alten SA		251,244
	1,496	Arkema SA		162,705
	1,162	BioMerieux		284,528
	2,178	Casino Guichard Perrachon SA		123,796
	2,347	Cie Generale des Etablissements Michelin		320,151
	8,089	Derichebourg SA		76,673
	480	Euler Hermes Group		56,997
	451	Ipsen SA		60,673
	2,790	Metropole Television SA		61,374
	3,991	Nexity SA *		221,157
	6,846	Rallye SA		125,452
	6,531	SCOR SE		273,410
	359	Sopra Steria Group		62,209
		Total France		2,288,588
		Germany — 6.1%
	5,897	ADVA Optical Networking SE *		33,430
	1,756	Bauer AG		56,925
	355	Cewe Stiftung & Co KGAA		30,486
	21,172	Deutsche Lufthansa AG (Registered)		531,734
	4,099	Deutz AG		31,223
	598	Dialog Semiconductor Plc *		27,222
	4,799	Elmos Semiconductor AG		119,464
	536	Isra Vision AG		93,221
	1,612	Jenoptik AG		47,294

24 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, 2017 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	1,395	Koenig & Bauer AG		105,547
	1,420	Leoni AG		85,363
	275	Puma SE		113,308
	8,328	S&T Deutschland Holding AG * (b)		43,584
	5,770	Wacker Neuson SE		164,647
	334	Washtec AG		26,504
		Total Germany		1,509,952
		Hong Kong — 1.0%
	114,000	HKT Trust & HKT Ltd – Class SS		147,643
	15,500	Johnson Electric Holdings Ltd		57,109
	224,000	Singamas Container Holdings Ltd *		44,189
		Total Hong Kong		248,941
		India — 1.8%
	9,942	Adani Enterprises Ltd		20,494
	56,402	Andhra Bank *		46,650
	3,027	Canara Bank		16,171
	370,394	Jaiprakash Associates Ltd *		138,214
	5,503	Jammu & Kashmir Bank Ltd (The) *		6,829
	8,267	Jubilant Life Sciences Ltd		90,843
	13,726	Karnataka Bank Ltd (The)		32,501
	45,595	PTC India Ltd		85,668
	1,451	Union Bank of India *		3,111
		Total India		440,481
		Indonesia — 0.3%
	22,410,700	Bakrie & Brothers Tbk PT *		16,797
	42,000	Indo Tambangraya Megah Tbk PT		61,299
		Total Indonesia		78,096
		Israel — 1.1%
	25,058	Israel Discount Bank Ltd – Class A *		62,528
	8,935	Nova Measuring Instruments Ltd *		212,692
		Total Israel		275,220
		Italy — 3.3%
	8,302	ACEA SPA		120,057
	75,266	Arnoldo Mondadori Editore SPA *		169,763
	1,818	El.En. SPA		54,674
	9,666	ERG SPA		151,676
	47,261	Fincantieri SPA *		54,057
	26,078	Saras SPA		64,339
	22,313	Societa Cattolica di Assicurazioni SCRL		191,848
		Total Italy		806,414
		Japan — 25.3%
	2,700	Arakawa Chemical Industries Ltd		62,702
	1,700	Belluna Co Ltd		17,444

Shares		Description	Value ($)
		Japan — continued
	7,700	Chugoku Marine Paints Ltd		64,074
	4,700	CKD Corp		79,661
	4,100	Daiichi Kigenso Kagaku-Kogyo Co Ltd		51,350
	6,100	Dai-ichi Seiko Co Ltd		138,238
	11,000	Daiwabo Holdings Co Ltd		44,291
	5,800	DIC Corp		205,184
	200	Fuji Pharma Co Ltd		6,921
	400	Fuji Oil Holdings Inc		11,237
	8,200	Fujikura Ltd		66,718
	1,000	Fujitsu Frontech Ltd		19,742
	3,300	Furukawa Electric Co Ltd		179,209
	900	Glory Ltd		30,632
	2,500	Gree Inc		18,280
	30,100	Gunma Bank Ltd (The)		176,048
	4,000	Hanwa Co Ltd		26,915
	6,100	Heiwado Co Ltd		142,410
	400	Hitachi Transport System Ltd		9,673
	2,600	Hochiki Corp		47,746
	9,500	Hokuhoku Financial Group Inc		145,604
	3,400	Hosokawa Micron Corp		172,337
	1,400	Kamei Corp		20,757
	3,000	Keiyo Bank Ltd (The)		13,194
	1,500	Kissei Pharmaceutical Co Ltd		38,149
	20,100	Kitz Corp		161,789
	5,000	Komori Corp		61,722
	5,000	Kyosan Electric Manufacturing Co Ltd		26,019
	2,000	Makino Milling Machine Co Ltd		15,714
	800	Mandom Corp		48,064
	6,000	MCJ Co Ltd		70,219
	42,300	Mitsubishi UFJ Lease & Finance Co Ltd		213,965
	12,000	Mitsui Mining & Smelting Co Ltd		63,640
	5,200	Mixi Inc		277,750
	100	Morinaga & Co Ltd		5,737
	1,400	Musashino Bank Ltd (The)		39,795
	9,900	NET One Systems Co Ltd		101,233
	23,700	NHK Spring Co Ltd		236,851
	7,100	Nichiha Corp		258,865
	800	Nichirei Corp		21,149
	11,000	Nippon Chemi-Con Corp		41,458
	900	Nippon Shokubai Co Ltd		64,284
	34,000	Nippon Soda Co Ltd		195,338
	43,000	Nisshin Oillio Group Ltd (The)		308,574
	200	Pacific Industrial Co Ltd		2,526
	61,000	Prima Meat Packers Ltd		378,239
	100	San-A Co Ltd		4,398
	500	San-In Godo Bank Ltd (The)		4,151
	12,100	Sanwa Holdings Corp		135,116
	19,700	Showa Denko KK		524,956
	14,800	Sojitz Corp		39,743

See accompanying notes to the financial statements. 25

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	12,100	Sumitomo Rubber Industries Ltd		200,677
	700	Takasago International Corp		24,913
	3,300	Tatsuta Electric Wire and Cable Co Ltd		21,749
	9,100	T-Gaia Corp		178,718
	100	Token Corp		13,830
	10,000	Tokuyama Corp *		44,294
	3,300	Tokyo Century Corp		143,032
	400	TPR Co Ltd		12,139
	7,100	TS Tech Co Ltd		222,086
	22,000	Tsubakimoto Chain Co		172,845
	200	Tsumura & Co		7,572
	3,500	Warabeya Nichiyo Holdings Co Ltd		87,839
		Total Japan		6,219,505
		Luxembourg — 0.4%
	4,600	Orion Engineered Carbons SA		98,900
		Malaysia — 0.3%
	67,300	Berjaya Corp Bhd *		5,220
	3,900	Malaysian Pacific Industries Berhad		12,916
	68,400	Padini Holdings Berhad		66,551
		Total Malaysia		84,687
		Mexico — 0.7%
	130,600	Genomma Lab Internacional SAB de CV – Class B *		167,786
		Netherlands — 1.1%
	7,251	Philips Lighting NV		267,700
		Norway — 0.6%
	851	Borregaard ASA		9,926
	75,387	Kongsberg Automotive ASA *		77,368
	35,372	Kvaerner ASA *		50,855
	1,541	Selvaag Bolig ASA		7,173
		Total Norway		145,322
		Portugal — 0.2%
	9,905	Navigator Co SA (The)		42,299
		Singapore — 2.8%
	16,400	UMS Holdings Ltd		11,459
	16,600	Venture Corp Ltd		193,800
	370,000	Yanlord Land Group Ltd		472,643
		Total Singapore		677,902
		South Africa — 1.1%
	1,622	Astral Foods Ltd		19,320
	20,751	Blue Label Telecoms Ltd		29,529
	21,725	DataTec Ltd		94,540

Shares		Description	Value ($)
		South Africa — continued
	8,814	Reunert Ltd		47,154
	6,757	Wilson Bayly Holmes-Ovcon Ltd		72,216
		Total South Africa		262,759
		South Korea — 2.2%
	1,164	DongKook Pharmaceutical Co Ltd		61,255
	489	F&F Co Ltd		16,266
	1,503	Hyundai Corp		29,945
	141	Hyundai Home Shopping Network Corp		17,212
	10,351	Kwang Dong Pharmaceutical Co Ltd		79,516
	1,055	Kyungdong Pharm Co Ltd		18,625
	831	LF Corp		21,468
	2,391	LOTTE Himart Co Ltd		145,238
	2,120	Mirae Asset Life Insurance Co Ltd		10,436
	59	Namyang Dairy Products Co Ltd		35,490
	224	Samjin Pharmaceutical Co Ltd		6,699
	1,078	SeAH Steel Corp		88,985
		Total South Korea		531,135
		Sweden — 1.6%
	5,383	Acando AB		18,504
	7,677	Bufab AB		91,005
	744	KNOW IT AB		11,419
	6,074	Loomis AB – Class B		221,629
	5,018	New Wave Group AB – B Shares		35,217
	2,048	Tethys Oil AB		13,801
		Total Sweden		391,575
		Switzerland — 7.4%
	2,266	ALSO Holding AG (Registered) *		294,820
	2,199	Ascom Holding AG (Registered)		42,863
	882	Baloise Holding AG (Registered)		140,558
	3,287	Bobst Group SA (Registered)		373,146
	212	Coltene Holding AG (Registered)		22,236
	236	Forbo Holdings AG (Registered)		359,343
	121	Inficon Holding AG (Registered) *		68,956
	72	Sika AG		510,937
		Total Switzerland		1,812,859
		Taiwan — 2.0%
	4,000	Alpha Networks Inc		2,861
	8,000	China Motor Corp		7,455
	40,000	Coretronic Corp		48,679
	49,000	Elitegroup Computer Systems Co Ltd *		31,095
	24,000	Farglory Land Development Co Ltd		29,107
	66,000	Great Wall Enterprise Co Ltd		67,821
	18,000	Lotes Co Ltd		113,077
	44,000	Mitac Holdings Corp		52,523
	31,000	Radiant Opto-Electronics Corp		78,484

26 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, 2017 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	3,000	Senao International Co Ltd		5,302
	9,000	Syncmold Enterprise Corp		20,793
	9,000	Topco Scientific Co Ltd		23,612
	2,000	Tripod Technology Corp		7,511
		Total Taiwan		488,320
		United Kingdom — 11.4%
	47,769	888 Holdings Plc		162,286
	123	Bellway Plc		5,105
	44,407	Cape Plc		151,627
	547	Close Brothers Group Plc		10,936
	13,696	EI Group Plc *		25,108
	16,863	Electrocomponents Plc		138,209
	2,633	Euromoney Institutional Investor Plc		38,230
	16,653	Evraz Plc		72,386
	25,931	Fenner Plc		115,388
	4,579	Games Workshop Group Plc		97,049
	13,555	Hays Plc		32,075
	19,330	IMI Plc		283,809
	50,003	Jupiter Fund Management Plc		347,377
	16,573	McBride Plc *		37,645
	7,320	Micro Focus International Plc		215,369
	17,461	Morgan Sindall Group Plc		284,017
	46,584	RPS Group Plc		173,941
	8,586	Savills Plc		98,286
	5,816	Segro Plc (REIT)		40,505
	1,111	Spirent Communications Plc		1,398
	32,058	SThree Plc		137,020
	27,652	Stock Spirits Group Plc		83,354
	3,934	Tate & Lyle Plc		34,736
	13,473	Trinity Mirror Plc		16,819
	5,839	TT Electronics Plc		17,038
	1,549	Vedanta Resources Plc		17,118
	14,516	Vesuvius Plc		108,454
	1,966	WH Smith Plc		46,978
	3,416	Wincanton Plc		10,522
		Total United Kingdom		2,802,785
		United States — 0.3%
	5,200	OM Asset Management Plc		73,476
		TOTAL COMMON STOCKS (COST $22,471,713)		23,831,650
		PREFERRED STOCKS — 1.9%
		Brazil — 0.4%
	54,000	Metalurgica Gerdau SA*		97,095

	Shares / Par Value†		Description	Value ($)
			Germany — 1.5%
		3,365	Draegerwerk AG & Co KGaA, 0.21%		360,503
			TOTAL PREFERRED STOCKS (COST $452,633)		457,598
			Investment Funds — 0.0%
			Thailand — 0.0%
		7,210	Jasmine Broadband Internet Infrastructure Fund		2,476
			TOTAL INVESTMENT FUNDS (COST $2,015)		2,746
			MUTUAL FUNDS — 0.0%
			United States — 0.0%
			Affiliated Issuers — 0.0%
		223	GMO U.S. Treasury Fund		5,570
			TOTAL MUTUAL FUNDS (COST $5,570)		5,570
			SHORT-TERM INVESTMENTS — 1.8%
			Time Deposits — 1.8%
		122,067	BNP Paribas (Paris) Time Deposit, 0.87%, due 09/01/17		122,067
AUD		9,711	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.73%, due 09/01/17		7,720
CAD		3,462	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.15%, due 09/01/17		2,772
GBP		3,401	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.05%, due 09/01/17		4,398
SGD		586	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/17		432
		75,346	Citibank (New York) Time Deposit, 0.87%, due 09/01/17		75,346
		122,067	Standard Chartered Bank (London) Time Deposit, 0.87%, due 09/01/17		122,067
		122,067	Sumitomo (Tokyo) Time Deposit, 0.87%, due 09/01/17		122,067
			Total Time Deposits		456,869
			TOTAL SHORT-TERM INVESTMENTS (COST $456,869)		456,869
			TOTAL INVESTMENTS — 100.6% (Cost $23,388,800)		24,754,163
			Other Assets and Liabilities (net) — (0.6%)		(149,563	)
			TOTAL NET ASSETS — 100.0%		$24,604,600

See accompanying notes to the financial statements. 27

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2017 (Unaudited)

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(b) Investment valued using significant unobservable inputs (Note 2).

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 52.

28 See accompanying notes to the financial statements.

GMO Quality Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2017 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.2	%
Mutual Funds		2.7
Short-Term Investments		0.0	^
Other		0.1
		100.0	%
Country Summary¤	% of Investments
United States		87.6	%
United Kingdom		6.3
Switzerland		2.9
Taiwan		1.8
Other Developed		1.4	‡
		100.0	%

Industry Group Summary	% of Equity Investments#
Software & Services		28.7	%
Health Care Equipment & Services		15.6
Technology Hardware & Equipment		9.3
Food, Beverage & Tobacco		8.5
Capital Goods		7.3
Pharmaceuticals, Biotechnology & Life Sciences		7.1
Semiconductors & Semiconductor Equipment		5.8
Household & Personal Products		3.7
Diversified Financials		3.2
Banks		3.0
Food & Staples Retailing		2.7
Materials		1.6
Consumer Durables & Apparel		1.4
Energy		0.9
Consumer Services		0.7
Retailing		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.

^ Rounds to 0.0%.

29

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.2%
		Banks — 3.0%
	2,447,923	US Bancorp		125,456,054
	2,304,665	Wells Fargo & Co.		117,699,241
		Total Banks		243,155,295
		Capital Goods — 7.0%
	1,045,781	3M Co.		213,673,974
	1,845,525	Emerson Electric Co.		108,959,796
	528,619	Honeywell International, Inc.		73,092,149
	248,794	Rockwell Automation, Inc.		40,817,144
	1,189,111	United Technologies Corp.		142,360,369
		Total Capital Goods		578,903,432
		Consumer Durables & Apparel — 1.4%
	231,625	LVMH Moet Hennessy Louis Vuitton SE		60,840,884
	859,911	VF Corp.		54,062,605
		Total Consumer Durables & Apparel		114,903,489
		Consumer Services — 0.7%
	2,715,611	Compass Group Plc		58,070,230
		Diversified Financials — 3.1%
	2,969,440	American Express Co.		255,668,784
		Energy — 0.9%
	1,123,622	Schlumberger Ltd.		71,361,233
		Food & Staples Retailing — 2.6%
	978,490	Costco Wholesale Corp.		153,368,522
	758,673	CVS Health Corp.		58,675,770
		Total Food & Staples Retailing		212,044,292
		Food, Beverage & Tobacco — 8.3%
	2,636,014	British American Tobacco Plc		164,448,020
	2,681,130	Coca-Cola Co. (The)		122,125,472
	1,956,737	Nestle SA (Registered)		165,884,080
	506,108	PepsiCo, Inc.		58,571,879
	1,425,286	Philip Morris International, Inc.		166,658,692
		Total Food, Beverage & Tobacco		677,688,143
		Health Care Equipment & Services — 15.1%
	3,431,144	Abbott Laboratories		174,782,475
	571,516	Anthem, Inc.		112,039,997
	371,672	Becton Dickinson and Co.		74,126,264
	373,331	Humana, Inc.		96,177,532
	2,881,435	Medtronic Plc		232,301,290
	750,387	Stryker Corp.		106,082,210
	1,988,887	UnitedHealth Group, Inc.		395,589,624
	456,267	Zimmer Biomet Holdings, Inc.		52,137,630
		Total Health Care Equipment & Services		1,243,237,022

Shares		Description	Value ($)
		Household & Personal Products — 3.6%
	930,341	Reckitt Benckiser Group Plc		88,222,873
	6,134	Unilever NV CVA		365,183
	3,516,638	Unilever Plc		205,176,991
		Total Household & Personal Products		293,765,047
		Materials — 1.6%
	1,124,110	Monsanto Co.		131,745,692
		Pharmaceuticals, Biotechnology & Life Sciences — 6.9%
	529,876	Eli Lilly & Co.		43,073,620
	2,928,340	Johnson & Johnson		387,624,366
	355,789	Novartis AG (Registered)		29,995,534
	1,929,243	Pfizer, Inc.		65,439,923
	164,353	Roche Holding AG		41,757,263
		Total Pharmaceuticals, Biotechnology & Life Sciences		567,890,706
		Retailing — 0.5%
	556,449	TJX Cos, Inc. (The)		40,231,263
		Semiconductors & Semiconductor Equipment — 5.6%
	394,974	Analog Devices, Inc.		33,047,475
	3,729,349	QUALCOMM, Inc.		194,933,072
	20,700,577	Taiwan Semiconductor Manufacturing Co Ltd		148,992,265
	1,020,348	Texas Instruments, Inc.		84,505,221
		Total Semiconductors & Semiconductor Equipment		461,478,033
		Software & Services — 27.9%
	1,693,033	Accenture Plc – Class A		221,380,995
	342,102	Alphabet, Inc. – Class A *		326,789,514
	273,940	Alphabet, Inc. – Class C *		257,320,060
	205,400	Automatic Data Processing, Inc.		21,868,938
	2,815,779	Cognizant Technology Solutions Corp. – Class A		199,272,680
	708,807	Mastercard, Inc. – Class A		94,483,973
	7,861,331	Microsoft Corp.		587,791,719
	9,448,714	Oracle Corp.		475,553,776
	546,576	SAP SE		57,364,137
	1,412,804	Teradata Corp. *		45,096,704
		Total Software & Services		2,286,922,496
		Technology Hardware & Equipment — 9.0%
	542,979	Amphenol Corp. – Class A		43,948,720
	2,943,315	Apple, Inc.		482,703,660
	6,586,235	Cisco Systems, Inc.		212,142,630
		Total Technology Hardware & Equipment		738,795,010
		TOTAL COMMON STOCKS (COST $5,834,351,240)		7,975,860,167

30 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, 2017 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 2.7%
		Affiliated Issuers — 2.7%
	8,836,988	GMO U.S. Treasury Fund		220,836,327
		TOTAL MUTUAL FUNDS (COST $220,780,770)		220,836,327
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	2,872,061	State Street Institutional Treasury Money Market Fund-Premier Class, 0.90% (a)		2,872,061
		TOTAL SHORT-TERM INVESTMENTS (COST $2,872,061)		2,872,061
		TOTAL INVESTMENTS — 99.9% (Cost $6,058,004,071)		8,199,568,555
		Other Assets and Liabilities (net) — 0.1%		4,986,387
		TOTAL NET ASSETS — 100.0%		$8,204,554,942

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of August 31, 2017.

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 52.

See accompanying notes to the financial statements. 31

GMO Resources Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2017 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		84.6	%
Preferred Stocks		13.0
Mutual Funds		1.9
Short-Term Investments		0.2
Other		0.3
		100.0	%
Country Summary¤	% of Equity Investments
United Kingdom		23.6	%
United States		14.2
Russia		12.3
Norway		7.6
Brazil		6.3
Chile		5.9
Japan		3.4
Poland		2.6
Spain		2.5
Australia		2.4
Canada		2.2
Germany		2.0
Israel		1.8
France		1.8
Other Emerging		1.8	†
Thailand		1.7
South Africa		1.5
Italy		1.3
Other Developed		1.3	‡
Argentina		1.2
Ukraine		1.1
Austria		1.1
Colombia		0.4
Kazakhstan		0.0	^
		100.0	%

Industry Group Summary	% of Equity Investments#
Industrial Materials		43.6	%
Energy		39.0
Agriculture		17.4
		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.

# 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%.

32

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 84.6%
		Argentina — 1.2%
	297,400	Adecoagro SA *		2,884,780
		Australia — 2.4%
	686,789	Beach Energy Ltd		369,121
	190,829	Mineral Resources Ltd		2,262,369
	73,056	Sandfire Resources NL		346,421
	206,836	Santos Ltd *		622,722
	34,106	Woodside Petroleum Ltd		784,838
	151,329	WorleyParsons Ltd *		1,623,345
		Total Australia		6,008,816
		Austria — 1.1%
	47,120	OMV AG		2,710,798
		Brazil — 0.9%
	138,900	Cosan SA Industria e Comercio		1,702,798
	75,757	Sao Martinho SA		419,956
		Total Brazil		2,122,754
		Canada — 2.2%
	5,951	Agrium Inc		583,687
	284,334	First Quantum Minerals Ltd		3,426,808
	37,129	Potash Corp of Saskatchewan Inc		645,673
	51,600	Potash Corp of Saskatchewan Inc		897,912
		Total Canada		5,554,080
		Chile — 0.2%
	509,713	Enel Generacion Chile SA		433,845
		China — 0.4%
	958,000	China Oilfield Services Ltd – Class H		788,623
	2,320,000	Hilong Holding Ltd		306,664
		Total China		1,095,287
		Colombia — 0.4%
	2,202,043	Ecopetrol SA		1,022,886
		France — 1.8%
	161,787	Electricite de France SA		1,712,850
	53,307	TOTAL SA		2,765,959
		Total France		4,478,809
		Germany — 2.0%
	16,701	Aurubis AG		1,493,396
	140,506	K+S AG (Registered)		3,351,039
		Total Germany		4,844,435

Shares		Description	Value ($)
		Hungary — 0.7%
	19,321	MOL Hungarian Oil & Gas Plc		1,792,520
		India — 0.5%
	494,647	Oil & Natural Gas Corp Ltd		1,215,943
		Indonesia — 0.0%
	3,496,213	Energi Mega Persada Tbk PT *		26,481
		Israel — 1.8%
	651,633	Israel Chemicals Ltd		2,815,533
	6,643	Israel Corp Ltd (The) *		1,270,883
	8,081	Jerusalem Oil Exploration *		417,253
		Total Israel		4,503,669
		Italy — 1.3%
	256,962	CNH Industrial NV		2,918,755
	103,788	Saipem SPA *		385,829
		Total Italy		3,304,584
		Japan — 3.3%
	56,700	Inpex Corp		542,518
	20,000	Japan Petroleum Exploration Co Ltd		384,463
	112,100	Mitsubishi Materials Corp		4,028,743
	20,800	Modec Inc		462,108
	18,000	Nittetsu Mining Co Ltd		1,263,762
	50,600	Shinko Plantech Co Ltd		430,220
	42,242	Sumitomo Metal Mining Co Ltd		728,344
	151,000	Toyo Kanetsu KK		459,629
		Total Japan		8,299,787
		Kazakhstan — 0.0%
	8,156	KazMunaiGas Exploration Production JSC GDR (Registered Shares)		82,461
		Netherlands — 0.1%
	23,560	Fugro NV CVA *		299,327
		Norway — 7.6%
	259,722	Austevoll Seafood ASA		2,683,376
	26,322	Bakkafrost P/F		1,229,038
	201,518	Grieg Seafood ASA		1,997,736
	198,146	Leroy Seafood Group ASA		1,318,240
	88,883	Ocean Yield ASA		784,033
	167,773	Petroleum Geo-Services ASA *		317,476
	13,846	Salmar ASA		401,477
	165,626	Statoil ASA		3,134,287
	155,982	Subsea 7 SA		2,244,044
	117,312	Yara International ASA		4,800,089
		Total Norway		18,909,796

See accompanying notes to the financial statements. 33

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		Poland — 2.6%
	157,558	KGHM Polska Miedz SA		5,575,817
	444,658	Polskie Gornictwo Naftowe i Gazownictwo SA		851,516
		Total Poland		6,427,333
		Qatar — 0.1%
	64,528	Gulf International Services QSC		327,662
		Russia — 10.3%
	1,185,610	Gazprom Neft PJSC		4,240,753
	106,675	LUKOIL PJSC Sponsored ADR		5,371,294
	30,030	Novatek PJSC Sponsored GDR (Registered)		3,176,980
	60,520	PhosAgro PJSC GDR (Registered)		844,667
	471,189	Ros Agro Plc GDR (Registered)		5,649,647
	400,824	Rosneft Oil Co PJSC GDR (Registered)		2,086,312
	118,761,921	RusHydro PJSC		1,700,647
	9	Surgutneftegas OJSC		4
	54,769	Tatneft PJSC Sponsored ADR		2,189,549
	63,517	TMK PJSC GDR (Registered)		292,418
		Total Russia		25,552,271
		Singapore — 0.2%
	3,529,686	Ezion Holdings Ltd * (a)		512,813
	2,725,600	Ezra Holdings Ltd * (a)		22,111
		Total Singapore		534,924
		South Africa — 1.5%
	109,775	African Rainbow Minerals Ltd		929,567
	75,803	Sasol Ltd		2,292,146
	43,504	Tongaat Hulett Ltd		396,919
		Total South Africa		3,618,632
		Spain — 2.5%
	86,103	Endesa SA		2,080,422
	129,382	Iberdrola SA		1,058,617
	147,334	Repsol SA		2,535,142
	11,667	Tecnicas Reunidas SA		405,463
		Total Spain		6,079,644
		Sweden — 0.9%
	57,924	Boliden AB		2,027,140
	46,518	Tethys Oil AB		313,475
		Total Sweden		2,340,615
		Thailand — 1.7%
	454,164	PTT Exploration & Production Pcl (Foreign Registered)		1,198,910
	259,021	PTT Pcl (Foreign Registered)		3,115,776
		Total Thailand		4,314,686

Shares		Description	Value ($)
		Ukraine — 1.1%
	160,947	Kernel Holding SA		2,743,282
		United Kingdom — 23.5%
	269,334	Amec Foster Wheeler Plc		1,471,460
	622,021	Anglo American Plc		11,322,331
	517,461	BHP Billiton Plc		9,851,254
	232,540	BP Plc		1,343,238
	1,089,220	EnQuest Plc *		354,846
	2,461,509	Glencore Plc		11,471,771
	113,173	John Wood Group Plc		828,493
	236,025	Petrofac Ltd		1,275,942
	336,402	Premier Oil Plc *		242,806
	292,127	Rio Tinto Plc		14,189,082
	143,445	Royal Dutch Shell Plc A Shares (London)		3,953,180
	61,098	Royal Dutch Shell Plc B Shares (London)		1,705,281
	11,316	TechnipFMC Plc *		290,024
		Total United Kingdom		58,299,708
		United States — 12.3%
	97,240	Atwood Oceanics, Inc. *		638,867
	234,102	Chesapeake Energy Corp. *		852,131
	273,008	Denbury Resources, Inc. *		289,388
	15,600	Devon Energy Corp.		489,840
	67,900	Diamond Offshore Drilling, Inc. *		771,344
	218,900	Ensco Plc – Class A		930,325
	32,800	First Solar, Inc. *		1,540,288
	628,954	Freeport-McMoRan, Inc. *		9,295,940
	120,118	Gran Tierra Energy, Inc. *		243,840
	128,560	Mosaic Co. (The)		2,568,629
	18,800	Murphy Oil Corp.		426,008
	35,663	Nabors Industries Ltd.		233,593
	12,390	National Oilwell Varco, Inc.		380,001
	234,600	Noble Corp Plc		764,796
	27,600	Oasis Petroleum, Inc. *		201,480
	9,035	PHI, Inc. *		99,295
	84,100	Rowan Cos., Plc – Class A *		819,975
	28,358	SM Energy Co.		378,863
	304,455	SolarEdge Technologies, Inc. *		8,144,171
	105,283	Southwestern Energy Co. *		573,792
	48,364	Unit Corp. *		769,955
		Total United States		30,412,521
		TOTAL COMMON STOCKS (COST $166,406,620)		210,242,336
		PREFERRED STOCKS — 13.0%
		Brazil — 5.4%
	1,563,199	Bradespar SA, 4.05%		13,348,409

34 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, 2017 (Unaudited)

Shares / Par Value†		Description	Value ($)
		Chile — 5.7%
	301,878	Sociedad Quimica y Minera de Chile SA Sponsored ADR, 2.19%		14,167,135
		Russia — 1.9%
	56,415	Bashneft PJSC, 0.01%		1,257,098
	4,828,384	Surgutneftegas OJSC, 2.04%		2,411,991
	235,021	Tatneft PJSC, 7.79%		1,094,110
		Total Russia		4,763,199
		TOTAL PREFERRED STOCKS (COST $15,477,646)		32,278,743
		MUTUAL FUNDS — 1.9%
		United States — 1.9%
		Affiliated Issuers — 1.9%
	188,757	GMO U.S. Treasury Fund		4,717,048
		TOTAL MUTUAL FUNDS (COST $4,716,549)		4,717,048
		SHORT-TERM INVESTMENTS — 0.2%
		Time Deposits — 0.2%
	368,738	Barclays (London) Time Deposit, 0.87%, due 09/01/17		368,738
CAD	5,692	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.15%, due 09/01/17		4,558
EUR	2,672	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.56)%, due 09/01/17		3,181
HKD	72,104	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/17		9,214
ZAR	74,759	Brown Brothers Harriman (Grand Cayman) Time Deposit, 6.07%, due 09/01/17		5,747
		Total Time Deposits		391,438
		TOTAL SHORT-TERM INVESTMENTS (COST $391,438)		391,438
		TOTAL INVESTMENTS — 99.7% (Cost $186,992,253)		247,629,565
		Other Assets and Liabilities (net) — 0.3%		728,816
		TOTAL NET ASSETS — 100.0%		$248,358,381

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) Investment valued using significant unobservable inputs (Note 2).

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 52.

See accompanying notes to the financial statements. 35

GMO Risk Premium Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2017 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Short-Term Investments		94.0	%
Written Options		(0.7	)
Other		6.7
		100.0	%

& In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

36

GMO Risk Premium Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 94.0%
		U.S. Government — 93.8%
	20,100,000	U.S. Treasury Bill, 0.84%, due 09/14/17 (a)		20,093,522
	10,000,000	U.S. Treasury Bill, 0.87%, due 09/21/17 (a)		9,995,023
	8,100,000	U.S. Treasury Bill, 1.10%, due 10/12/17 (a)		8,089,726
	20,500,000	U.S. Treasury Bill, 0.99%, due 11/02/17 (a)		20,464,871
	20,000,000	U.S. Treasury Bill, 0.98%, due 12/07/17 (a) (b)		19,947,399
	20,000,000	U.S. Treasury Bill, 1.05%, due 01/04/18 (a) (b)		19,928,038
	20,000,000	U.S. Treasury Bill, 1.06%, due 02/01/18 (a) (b)		19,910,963
	20,000,000	U.S. Treasury Bill, 1.07%, due 03/01/18 (a)		19,893,662
		Total U.S. Government		138,323,204

Shares		Description	Value ($)
		Money Market Funds — 0.2%
	274,683	State Street Institutional Treasury Money Market Fund-Premier Class, 0.90% (c)		274,683
		TOTAL SHORT-TERM INVESTMENTS (COST $138,657,032)		138,597,887
		TOTAL INVESTMENTS — 94.0% (Cost $138,657,032)		138,597,887
		Other Assets and Liabilities (net) — 6.0%		8,886,572
		TOTAL NET ASSETS — 100.0%		$147,484,459

A summary of outstanding financial instruments at August 31, 2017 is as follows:

Written Options

Index Options — Puts

Description	Counterparty	Exercise Price	Expiration Date	Number of Contracts		Notional Amount	Value
Euro STOXX 50	GSCO	3,425	09/15/2017		2,209	USD 89,796,921	$	(875,248	)
FTSE 100 Index	MSLC	7,325	09/15/2017		314	USD 30,084,471		(105,965	)
S&P 500 Index	MSLC	2,450	09/01/2017		119	USD 29,412,635		(7,140	)
Total Index Options — Puts (Premiums $2,032,282)							$	(988,353	)

As of August 31, 2017, 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 shown represents yield-to-maturity.

(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, 2017.

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 52.

See accompanying notes to the financial statements. 37

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2017 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.4	%
Preferred Stocks		2.0
Short-Term Investments		0.8
Mutual Funds		0.6
Other		0.2
		100.0	%
Country Summary¤	% of Investments
Japan		23.8	%
United Kingdom		12.8
France		12.1
Germany		11.2
Italy		4.7
Switzerland		4.6
Other Emerging		4.1	†
Other Developed		3.7	‡
Australia		3.6
Sweden		3.4
China		3.3
Spain		2.7
Hong Kong		2.6
Netherlands		2.3
South Korea		1.7
Austria		1.2
Norway		1.2
Taiwan		1.0
Colombia		0.0	^
		100.0	%

Industry Group Summary	% of Equity Investments#
Capital Goods		12.8	%
Materials		11.9
Banks		10.2
Automobiles & Components		8.2
Insurance		6.6
Pharmaceuticals, Biotechnology & Life Sciences		5.7
Energy		4.8
Food, Beverage & Tobacco		4.7
Technology Hardware & Equipment		4.2
Real Estate		3.7
Telecommunication Services		3.5
Utilities		3.1
Software & Services		3.1
Consumer Durables & Apparel		2.8
Transportation		2.8
Semiconductors & Semiconductor Equipment		2.5
Household & Personal Products		2.1
Diversified Financials		1.8
Retailing		1.1
Food & Staples Retailing		1.1
Commercial & Professional Services		1.0
Health Care Equipment & Services		1.0
Consumer Services		0.7
Media		0.6
		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.

# 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%.

38

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.4%
		Australia — 3.6%
	44,300	BHP Billiton Ltd		964,374
	52,266	BlueScope Steel Ltd		452,398
	810	Caltex Australia Ltd		21,542
	6,276	Challenger Ltd		62,753
	1,735	CIMIC Group Ltd		58,080
	5,142	Costa Group Holdings Ltd		21,712
	1,982	CSL Ltd		202,848
	34,859	CSR Ltd		112,352
	19,786	Dexus (REIT)		151,198
	9,716	Downer EDI Ltd		55,219
	12,973	Genworth Mortgage Insurance Australia Ltd		29,902
	7,446	Incitec Pivot Ltd		19,755
	4,574	Investa Office Fund (REIT)		16,464
	15,676	LendLease Group		207,200
	8,945	Mineral Resources Ltd		106,047
	22,167	OZ Minerals Ltd		144,022
	6,055	Primary Health Care Ltd		16,510
	8,157	Rio Tinto Ltd		442,232
	67,518	South32 Ltd		157,985
	29,653	Stockland (REIT)		104,603
	9,400	Wesfarmers Ltd		318,669
	14,981	WorleyParsons Ltd *		160,705
		Total Australia		3,826,570
		Austria — 1.2%
	11,091	OMV AG		638,061
	6,409	Raiffeisen Bank International AG *		210,432
	9,178	voestalpine AG		476,282
		Total Austria		1,324,775
		Belgium — 0.2%
	4,398	Ageas		204,177
	4,294	AGFA-Gevaert NV *		18,999
	158	Groupe Bruxelles Lambert SA		16,083
		Total Belgium		239,259
		Brazil — 0.3%
	6,400	B3 SA – Brasil Bolsa Balcao		44,973
	4,000	Banco do Brasil SA		39,011
	3,200	Centrais Eletricas Brasileiras SA *		17,912
	5,300	JBS SA		14,597
	5,000	Kroton Educacional SA		28,543
	4,400	MRV Engenharia e Participacoes SA		18,856
	4,000	Transmissora Alianca de Energia Eletrica SA		28,591
	2,300	Vale SA		25,461
	1,700	Vale SA		17,442
	4,700	Vale SA		52,377
	400	Via Varejo SA		2,097
		Total Brazil		289,860

Shares		Description	Value ($)
		China — 3.2%
	6,000	Agile Group Holdings Ltd		7,203
	293,000	Agricultural Bank of China Ltd – Class H		138,229
	800	Alibaba Group Holding Ltd Sponsored ADR *		137,392
	12,000	Anhui Conch Cement Co Ltd – Class H		44,904
	10,000	ANTA Sports Products Ltd		39,411
	11,000	BAIC Motor Corp Ltd – Class H		9,819
	42,000	Beijing Capital International Airport Co Ltd – Class H		68,073
	12,000	Brilliance China Automotive Holdings Ltd		31,110
	200	Changyou.com Ltd ADR *		8,004
	35,000	China Communications Construction Co Ltd – Class H		46,704
	102,000	China Communications Services Corp Ltd – Class H		55,358
	46,000	China Evergrande Group *		139,312
	7,000	China Lesso Group Holdings Ltd		5,038
	2,000	China Mengniu Dairy Co Ltd *		4,680
	140,000	China National Building Material Co Ltd – Class H		88,200
	12,000	China National Materials Co Ltd – Class H		5,228
	240,000	China Petroleum & Chemical Corp – Class H		183,726
	62,500	China Railway Construction Corp Ltd – Class H		82,170
	82,000	China Resources Cement Holdings Ltd		45,168
	11,000	China SCE Property Holdings Ltd		5,629
	38,000	China Shenhua Energy Co Ltd – Class H		98,145
	4,000	China Southern Airlines Co Ltd – Class H		3,132
	348,000	China Telecom Corp Ltd – Class H		179,221
	300	China Yuchai International Ltd		5,502
	7,000	Chongqing Rural Commercial Bank Co Ltd – Class H		4,884
	61,000	Country Garden Holdings Co Ltd		81,253
	70,000	Dongfeng Motor Group Co Ltd – Class H		91,048
	90,000	Geely Automobile Holdings Ltd		222,004
	38,000	Great Wall Motor Co Ltd – Class H		47,828
	2,000	Guangdong Investment Ltd		2,958
	38,000	Guangzhou R&F Properties Co Ltd – Class H		88,925
	12,000	Haier Electronics Group Co Ltd *		31,981
	12,000	Haitian International Holdings Ltd		36,102
	20,000	Harbin Electric Co Ltd – Class H		10,210
	39,000	Huabao International Holdings Ltd		23,835
	28,000	Jiangsu Expressway Co Ltd – Class H		42,982
	8,000	Jiangxi Copper Co Ltd – Class H		13,927
	22,500	Kingboard Chemical Holdings Ltd		122,993
	32,000	Kingboard Laminates Holdings Ltd		54,376
	31,000	Lee & Man Paper Manufacturing Ltd		36,223
	6,000	Longfor Properties Co Ltd		14,436
	17,000	Lonking Holdings Ltd		6,785
	4,000	Minth Group Ltd		18,447
	200	Momo Inc ADR *		7,706
	500	NetEase Inc ADR		137,920

See accompanying notes to the financial statements. 39

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		China — continued
	10,000	Nine Dragons Paper Holdings Ltd		16,728
	13,000	People’s Insurance Co Group of China Ltd (The) – Class H		6,145
	1,500	Ping An Insurance Group Co of China Ltd – Class H		11,947
	13,000	Shanghai Industrial Holdings Ltd		39,631
	21,400	Shanghai Pharmaceuticals Holding Co Ltd – Class H		52,672
	24,000	Shenzhen Expressway Co Ltd – Class H		23,457
	34,500	Shimao Property Holdings Ltd		71,354
	200	SINA Corp *		20,366
	14,000	Sino Biopharmaceutical Ltd		12,310
	43,500	Sinopec Engineering Group Co Ltd – Class H		39,262
	7,600	Sinopharm Group Co Ltd – Class H		34,406
	10,500	Sinotruk Hong Kong Ltd		11,645
	9,200	Tencent Holdings Ltd		387,133
	39,000	TravelSky Technology Ltd – Class H		106,794
	31,000	Weichai Power Co Ltd – Class H		32,017
	10,000	Yuzhou Properties Co Ltd		6,432
	48,000	Zhejiang Expressway Co Ltd – Class H		60,081
		Total China		3,460,561
		Colombia — 0.0%
	2,700	Ecopetrol SA Sponsored ADR		24,867
		Denmark — 0.5%
	182	AP Moeller – Maersk A/S – Class B		375,947
	3,900	Danske Bank A/S		151,714
	528	Schouw & Co AB		55,403
		Total Denmark		583,064
		Finland — 0.8%
	339	Amer Sports Oyj		8,964
	26,852	Nokia Oyj		166,558
	2,416	Orion Oyj – Class B		114,390
	23,276	UPM-Kymmene Oyj		605,893
		Total Finland		895,805
		France — 12.0%
	31,724	Air France-KLM *		484,987
	710	Amundi SA		54,650
	3,858	Atos SE		595,077
	38,478	AXA SA		1,115,653
	18,555	BNP Paribas SA		1,410,698
	7,588	Bouygues SA		344,217
	1,883	Casino Guichard Perrachon SA		107,028
	2,145	Christian Dior SE		661,978
	425	Cie de Saint-Gobain		23,299
	4,044	Cie Generale des Etablissements Michelin		551,637
	8,094	CNP Assurances		187,866

Shares		Description	Value ($)
		France — continued
	26,249	Credit Agricole SA		463,286
	5,026	Derichebourg SA		47,640
	504	Ipsen SA		67,803
	1,013	IPSOS		31,650
	665	Jacquet Metal Service		19,862
	2,180	L’Oreal SA		460,548
	1,262	LVMH Moet Hennessy Louis Vuitton SE		331,489
	514	MGI Coutier		20,133
	303	Nexity SA *		16,790
	23,999	Peugeot SA		507,435
	113	Plastic Omnium SA		4,284
	2,246	Rallye SA		41,158
	4,517	Renault SA		399,943
	6,651	Sanofi		648,475
	2,455	Schneider Electric SE *		197,974
	1,285	SCOR SE		53,794
	477	SEB SA		86,640
	36,044	Societe Generale SA		2,016,370
	18,000	STMicroelectronics NV – NY Shares		313,920
	36,590	STMicroelectronics NV		636,384
	16,463	TOTAL SA		854,221
	2,160	Valeo SA		144,584
		Total France		12,901,473
		Germany — 10.0%
	8,122	Allianz SE (Registered)		1,740,758
	4,766	BASF SE		462,290
	7,529	Bayer AG		965,021
	13,941	Bayerische Motoren Werke AG		1,296,417
	119	bet-at-home.com AG		14,340
	247	Cewe Stiftung & Co KGAA		21,211
	87	Continental AG		19,643
	309	Covestro AG		24,303
	17,123	Daimler AG (Registered Shares)		1,249,498
	53,052	Deutsche Lufthansa AG (Registered)		1,332,399
	2,633	Deutsche Post AG (Registered)		109,337
	2,437	Deutz AG		18,564
	4,446	Duerr AG		518,644
	806	Elmos Semiconductor AG		20,064
	134	Fielmann AG		11,130
	7,415	Freenet AG		248,104
	919	Grammer AG		48,604
	1,909	Hannover Rueck SE		231,572
	111	Isra Vision AG		19,305
	795	Jenoptik AG		23,324
	549	Koenig & Bauer AG		41,538
	6,089	Leoni AG		366,037
	5,077	METRO AG *		99,241
	3,010	Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		621,680

40 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, 2017 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	19,463	RWE AG *		486,058
	3,260	Siemens AG (Registered)		426,763
	494	Siltronic AG *		48,306
	343	STADA Arzneimittel AG		32,137
	2,389	Talanx AG		98,878
	1,970	Uniper SE		49,160
	365	Volkswagen AG		56,428
	1,594	Wacker Neuson SE		45,485
	252	Washtec AG		19,997
		Total Germany		10,766,236
		Greece — 0.0%
	559	Mytilineos Holdings SA *		5,711
		Hong Kong — 2.6%
	84,500	BOC Hong Kong Holdings Ltd		431,711
	9,000	CLP Holdings Ltd		95,086
	21,200	Dah Sing Banking Group Ltd		47,754
	20,000	First Pacific Co Ltd		16,085
	3,000	Hysan Development Co Ltd		13,891
	38,189	I-CABLE Communications Ltd *		1,345
	17,000	Kerry Properties Ltd		67,479
	79,000	Link (REIT)		652,604
	99,000	SJM Holdings Ltd		86,549
	576,000	WH Group Ltd		603,732
	46,000	Wharf Holdings Ltd (The)		438,819
	35,000	Wheelock & Co Ltd		262,236
	11,000	Yue Yuen Industrial Holdings Ltd		47,716
		Total Hong Kong		2,765,007
		Hungary — 0.2%
	684	MOL Hungarian Oil & Gas Plc		63,459
	900	OTP Bank Plc		36,618
	2,543	Richter Gedeon Nyrt		66,214
		Total Hungary		166,291
		India — 0.9%
	12,610	Bharat Electronics Ltd		37,545
	6,307	Bharat Petroleum Corp Ltd		52,151
	589	Cadila Healthcare Ltd		4,619
	1,565	GAIL India Ltd		9,290
	7,227	HCL Technologies Ltd		96,683
	335	Hero MotoCorp Ltd		20,917
	11,445	Hindalco Industries Ltd		42,757
	9,552	Hindustan Petroleum Corp Ltd		73,055
	3,864	Indiabulls Housing Finance Ltd		73,504
	5,527	Indian Oil Corp Ltd		39,434
	2,393	ITC Ltd		10,584
	27,142	Jaiprakash Associates Ltd *		10,128
	852	Jubilant Life Sciences Ltd		9,362

Shares		Description	Value ($)
		India — continued
	2,139	Karnataka Bank Ltd (The)		5,065
	842	Maruti Suzuki India Ltd		101,824
	293	Merck Ltd		5,508
	10,263	NMDC Ltd		20,354
	13,100	Oil & Natural Gas Corp Ltd		32,202
	24,754	Power Finance Corp Ltd		47,378
	2,833	PTC India Ltd		5,323
	1,206	Reliance Industries Ltd		30,133
	22,881	Rural Electrification Corp Ltd		60,625
	4,026	Syndicate Bank *		4,071
	2,390	Tata Steel Ltd		23,909
	3,230	UPL Ltd		42,113
	22,012	Vedanta Ltd		106,573
	9,072	Wipro Ltd		42,281
	140	Yes Bank Ltd		3,851
		Total India		1,011,239
		Indonesia — 0.0%
	4,300	Indo Tambangraya Megah Tbk PT		6,276
		Ireland — 0.3%
	8,863	Smurfit Kappa Group Plc		270,088
		Israel — 0.1%
	5,774	Discount Investment Corp Ltd		22,893
	1,831	Nova Measuring Instruments Ltd *		43,586
	500	SodaStream International Ltd *		30,115
		Total Israel		96,594
		Italy — 4.7%
	269,536	A2A SPA		453,137
	1,221	ACEA SPA		17,657
	11,005	Arnoldo Mondadori Editore SPA *		24,822
	37,018	Banca Mediolanum SPA		313,577
	638	Danieli & C Officine Meccaniche SPA – RSP		11,936
	688	Datalogic SPA		22,689
	596	El.En. SPA		17,924
	131,155	Enel SPA		794,586
	8,565	Eni SPA		134,522
	11,930	EXOR NV		766,677
	2,389	Ferrari NV		273,640
	40,100	Fiat Chrysler Automobiles NV *		606,713
	13,208	Fiat Chrysler Automobiles NV *		199,546
	43,036	Fincantieri SPA *		49,225
	639	GEDI Gruppo Editoriale SPA *		547
	25,991	Leonardo SPA		440,392
	20,484	Mediaset SPA *		75,887
	591	Prima Industrie SPA		28,606
	1,962	Recordati SPA		84,149
	18,820	Saras SPA		46,432

See accompanying notes to the financial statements. 41

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	10,685	Societa Cattolica di Assicurazioni SCRL		91,870
	369,632	Telecom Italia SPA-RSP		287,422
	63,692	Unipol Gruppo Finanziario SPA		275,906
	1,828	Vittoria Assicurazioni SPA		24,178
		Total Italy		5,042,040
		Japan — 23.6%
	600	Acom Co Ltd *		2,454
	2,600	Advantest Corp		43,344
	1,400	Aisin Seiki Co Ltd		70,343
	900	Arakawa Chemical Industries Ltd		20,901
	2,700	Asahi Glass Co Ltd		105,416
	10,600	Asahi Group Holdings Ltd		461,263
	23,000	Asahi Kasei Corp		275,853
	1,500	Asatsu-DK Inc		40,439
	5,000	Bridgestone Corp		214,500
	18,600	Brother Industries Ltd		441,249
	14,900	Canon Inc		522,271
	700	Central Japan Railway Co		118,688
	1,300	CKD Corp		22,034
	900	Dai-ichi Seiko Co Ltd		20,396
	12,000	Daiichi Sankyo Co Ltd		284,065
	3,500	Daito Trust Construction Co Ltd		620,170
	13,500	Daiwa House Industry Co Ltd		472,126
	5,000	Daiwabo Holdings Co Ltd		20,132
	2,700	DIC Corp		95,517
	600	Disco Corp		107,723
	3,000	Dowa Holdings Co Ltd		22,606
	6,100	FUJIFILM Holdings Corp		239,993
	111,000	Fujitsu Ltd		822,829
	3,000	Furukawa Electric Co Ltd		162,917
	2,400	Gree Inc		17,549
	16,000	Hanwa Co Ltd		107,659
	36,800	Haseko Corp		456,349
	3,100	Hitachi Chemical Co Ltd		83,969
	50,000	Hitachi Ltd		344,181
	700	Horiba Ltd		42,977
	8,700	Hoya Corp		498,588
	7,300	Idemitsu Kosan Co Ltd		178,311
	106,100	ITOCHU Corp		1,732,569
	1,200	JSR Corp		23,374
	1,400	Juki Corp		19,949
	12,420	K’s Holdings Corp		277,623
	15,000	Kajima Corp		137,716
	1,400	Kamei Corp		20,757
	4,100	Kao Corp		256,315
	43,200	KDDI Corp		1,165,465
	3,100	Kenedix Inc		14,899
	2,000	Kirin Holdings Co Ltd		45,379
	2,400	Kitz Corp		19,318

Shares		Description	Value ($)
		Japan — continued
	15,100	Konica Minolta Inc		120,512
	13,000	Kuraray Co Ltd		246,979
	2,800	Lasertec Corp		50,737
	28,300	Leopalace21 Corp		207,468
	3,500	Lion Corp		69,769
	400	Mandom Corp		24,032
	91,100	Marubeni Corp		592,830
	8,800	Medipal Holdings Corp		155,334
	3,100	MINEBEA MITSUMI Inc		50,957
	135,600	Mitsubishi Chemical Holdings Corp		1,263,863
	33,200	Mitsubishi Corp		768,098
	32,800	Mitsubishi Electric Corp		485,342
	5,400	Mitsubishi Gas Chemical Co Inc		134,246
	12,100	Mitsubishi Tanabe Pharma Corp		298,469
	3,100	Mitsubishi UFJ Financial Group Inc		18,890
	48,300	Mitsui & Co Ltd		722,879
	23,000	Mitsui Chemicals Inc		137,761
	15,000	Mitsui OSK Lines Ltd		48,147
	25,000	Mitsui Mining & Smelting Co Ltd		132,583
	1,600	Morinaga & Co Ltd		91,799
	4,000	Nachi-Fujikoshi Corp		21,225
	3,100	Nagase & Co Ltd		51,912
	4,000	NET One Systems Co Ltd		40,902
	3,800	Nexon Co Ltd *		94,948
	1,000	NH Foods Ltd		29,333
	4,000	Nichias Corp		46,921
	6,200	Nichirei Corp		163,906
	10,000	Nippon Chemi-Con Corp		37,689
	22,400	Nippon Telegraph & Telephone Corp		1,115,170
	2,100	Nissan Chemical Industries Ltd		70,433
	45,800	Nissan Motor Co Ltd		455,968
	6,000	Nisshin Oillio Group Ltd (The)		43,057
	1,100	Nomura Real Estate Holdings Inc		22,716
	800	NSK Ltd		9,482
	11,500	NTT DOCOMO Inc		266,781
	3,800	Obayashi Corp		44,843
	2,800	Omron Corp		140,767
	4,500	Otsuka Holdings Co Ltd		181,387
	1,600	Pola Orbis Holdings Inc		51,370
	7,000	Prima Meat Packers Ltd		43,405
	12,300	Recruit Holdings Co Ltd		245,134
	31,900	Resona Holdings Inc		158,769
	2,100	Rohm Co Ltd		163,506
	7,200	Seiko Epson Corp		184,770
	6,300	Sekisui Chemical Co Ltd		117,635
	500	Shimamura Co Ltd		61,086
	2,700	Shin-Etsu Chemical Co Ltd		239,157
	5,700	Showa Denko KK		151,891
	144,400	Sojitz Corp		387,765
	900	ST Corp		20,396

42 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, 2017 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	8,000	Subaru Corp		279,614
	49,000	Sumitomo Chemical Co Ltd		294,098
	37,700	Sumitomo Corp		534,008
	1,300	Suntory Beverage & Food Ltd		60,090
	4,720	Suzuken Co Ltd		172,051
	7,400	Suzuki Motor Corp		371,582
	2,100	T-Gaia Corp		41,243
	600	Takeda Pharmaceutical Co Ltd		33,273
	100	TDK Corp		6,703
	34,200	Tokyo Electric Power Co Holdings Inc *		138,485
	4,700	Tokyo Electron Ltd		661,941
	88,000	Tosoh Corp		1,034,505
	16,700	Toyota Tsusho Corp		513,877
	1,300	Trend Micro Inc		60,171
	12,860	USS Co Ltd		252,941
	1,000	Yokohama Rubber Co Ltd (The)		18,488
	2,000	Zeon Corp		25,249
		Total Japan		25,431,514
		Malta — 0.0%
	1,718,063	BGP Holdings Plc (a)		29,043
		Mexico — 0.3%
	53,200	America Movil SAB de CV – Class L		49,453
	7,200	Arca Continental SAB de CV		52,544
	18,492	Cemex SAB de CV CPO *		17,262
	100	Coca-Cola Femsa SAB de CV		8,183
	9,000	Genomma Lab Internacional SAB de CV – Class B *		11,562
	1,900	Gentera SAB de CV		2,927
	725	Gruma SAB de CV – Class B		10,634
	1,600	Grupo Aeroportuario del Pacifico SAB de CV – Class B		17,677
	2,330	Grupo Aeroportuario del Sureste SAB de CV – Class B		47,435
	3,900	Grupo Financiero Banorte SAB de CV – Class O		26,612
	9,300	OHL Mexico SAB de CV		13,165
	38,100	Wal-Mart de Mexico SAB de CV		92,697
		Total Mexico		350,151
		Netherlands — 2.2%
	1,796	ASR Nederland NV		69,595
	77,545	ING Groep NV		1,376,485
	1,610	Philips Lighting NV		59,440
	10,418	Unilever NV CVA		620,228
	6,592	Wolters Kluwer NV		287,993
		Total Netherlands		2,413,741
		New Zealand — 0.2%
	9,472	Fletcher Building Ltd		55,640

Shares			Description	Value ($)
			New Zealand — continued
		48,663	Spark New Zealand Ltd		136,908
			Total New Zealand		192,548
			Norway — 1.2%
		18,258	DNB ASA		356,627
		458	Norsk Hydro ASA		3,307
		2,652	SpareBank 1 SR Bank ASA		28,454
		20,531	Statoil ASA		388,526
		5,514	Storebrand ASA		45,643
		29,040	Subsea 7 SA		417,785
			Total Norway		1,240,342
			Peru — 0.0%
		200	Credicorp Ltd		40,568
			Poland — 0.2%
		2,021	KGHM Polska Miedz SA		71,521
		689	PGE Polska Grupa Energetyczna SA		2,759
		2,270	Polski Koncern Naftowy ORLEN SA		75,097
		23,236	Polskie Gornictwo Naftowe i Gazownictwo SA		44,497
		33,933	Tauron Polska Energia SA *		37,311
			Total Poland		231,185
			Portugal — 0.2%
		59,866	EDP – Energias de Portugal SA		230,159
		19,283	Sonae SGPS SA		21,587
			Total Portugal		251,746
			Russia — 0.0%
		72,000	Inter RAO UES PJSC		4,881
		79	LUKOIL PJSC Sponsored ADR		3,978
		341,000	RusHydro PJSC		4,883
		55	Tatneft PJSC Sponsored ADR		2,199
			Total Russia		15,941
			Singapore — 0.7%
		31,300	DBS Group Holdings Ltd		476,878
		46,000	Global Logistic Properties Ltd		110,010
		1,100	Singapore Exchange Ltd		6,089
		920	United Overseas Bank Ltd		16,314
		7,500	Venture Corp Ltd		87,560
		37,400	Yanlord Land Group Ltd		47,775
			Total Singapore		744,626
			South Africa — 0.7%
		401	Astral Foods Ltd		4,776
		5,596	AVI Ltd		42,545
	��	5,625	Barclays Africa Group Ltd		64,186
		4,867	Barloworld Ltd		48,105
		3,965	Bidvest Group Ltd (The)		52,287

See accompanying notes to the financial statements. 43

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		South Africa — continued
	8,195	Blue Label Telecoms Ltd		11,662
	4,486	Clicks Group Ltd		51,338
	2,415	Imperial Holdings Ltd		38,787
	437	Kumba Iron Ore Ltd		7,195
	3,773	Liberty Holdings Ltd		30,064
	23,122	MMI Holdings Ltd		37,009
	2,419	Mondi Ltd		66,043
	3,745	Nedbank Group Ltd		63,308
	730	Rand Merchant Investment Holdings Ltd		2,337
	2,621	Raubex Group Ltd		4,581
	619	RMB Holdings Ltd		3,163
	2,300	Shoprite Holdings Ltd		39,842
	2,048	Sibanye Gold Ltd		3,268
	11,259	Standard Bank Group Ltd		145,111
		Total South Africa		715,607
		South Korea — 1.4%
	507	BNK Financial Group Inc		4,438
	41	Coway Co Ltd		3,599
	653	Dongbu Insurance Co Ltd		43,583
	81	DongKook Pharmaceutical Co Ltd		4,263
	210	E-MART Inc		41,815
	1,864	Hana Financial Group Inc		81,065
	952	Hankook Tire Co Ltd		49,930
	26	Hanssem Co Ltd		3,925
	5,101	Hanwha Life Insurance Co Ltd		33,151
	60	Hyundai Department Store Co Ltd		5,144
	973	Hyundai Marine & Fire Insurance Co Ltd		39,961
	406	Hyundai Motor Co		50,694
	3,843	Industrial Bank of Korea		50,956
	2,306	KB Financial Group Inc		113,452
	114	Kia Motors Corp		3,590
	47	Korea Investment Holdings Co Ltd		2,745
	1,245	Korean Reinsurance Co		13,751
	39	KT&G Corp		3,965
	2,497	LG Display Co Ltd		69,284
	831	LG Electronics Inc		60,237
	109	Lotte Shopping Co Ltd		24,873
	783	Meritz Fire & Marine Insurance Co Ltd		17,591
	75	NHN Entertainment Corp *		4,270
	300	POSCO		91,182
	144	Samsung Card Co Ltd		4,750
	112	Samsung Electronics Co Ltd		230,553
	61	SeAH Steel Corp		5,035
	2,333	Shinhan Financial Group Co Ltd		107,577
	190	Shinsegae Inc		32,557
	3,379	SK Hynix Inc		206,286
	4,761	Woori Bank		78,587
		Total South Korea		1,482,809

Shares		Description	Value ($)
		Spain — 2.7%
	7,892	ACS Actividades de Construccion y Servicios SA		298,741
	945	Aena SA		184,848
	7,027	Amadeus IT Group SA		436,241
	118	Ferrovial SA		2,693
	11,523	Gas Natural SDG SA		280,362
	9,768	Grifols SA		276,537
	59,944	Iberdrola SA		490,468
	66,856	Mapfre SA		237,021
	30,108	Repsol SA		518,061
	15,924	Telefonica SA		171,799
		Total Spain		2,896,771
		Sweden — 3.4%
	23,209	Atlas Copco AB – A Shares		910,539
	3,948	Atlas Copco AB – B Shares		140,987
	1,647	Bufab AB		19,524
	6,154	Essity AB *		170,855
	3,361	JM AB		107,845
	32,351	Nordea Bank AB		435,564
	48,691	Sandvik AB		805,007
	5,147	Svenska Cellulosa AB SCA – Class B		42,946
	2,991	Volvo AB – A Shares		51,121
	54,299	Volvo AB – B Shares		928,083
		Total Sweden		3,612,471
		Switzerland — 4.6%
	7,338	ABB Ltd (Registered)		169,790
	4,649	Adecco Group AG (Registered)		336,975
	698	ALSO Holding AG (Registered) *		90,814
	1,794	Baloise Holding AG (Registered)		285,898
	44	Bell Food Group AG (Registered)		20,191
	327	BKW AG		19,001
	690	Bobst Group SA (Registered)		78,330
	111	Bossard Holding AG (Registered) – A Shares		24,171
	171	Comet Holding AG (Registered) *		24,302
	228	EMS-Chemie Holding AG (Registered)		155,999
	155	Georg Fischer AG (Registered)		178,664
	20	Helvetia Holding AG (Registered)		11,455
	632	Idorsia Ltd *		11,533
	40	Inficon Holding AG (Registered) *		22,795
	11,517	Logitech International SA (Registered)		410,406
	1,026	Mobilezone Holding AG (Registered)		12,525
	10,505	Nestle SA (Registered)		890,571
	588	Novartis AG (Registered)		49,573
	255	Orior AG		20,314
	661	Roche Holding AG		167,941
	67	Sika AG		475,455
	422	Swatch Group AG (The) (Registered)		32,732
	1,420	Swiss Life Holding AG (Registered) *		508,364

44 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, 2017 (Unaudited)

Shares		Description	Value ($)
		Switzerland — continued
	2,852	Swiss Re AG		258,242
	2,261	Zurich Insurance Group AG		676,710
		Total Switzerland		4,932,751
		Taiwan — 1.0%
	26,186	Advanced Semiconductor Engineering Inc		31,697
	6,000	Asustek Computer Inc		49,780
	22,428	Chang Hwa Commercial Bank Ltd		12,274
	2,010	Chicony Power Technology Co Ltd		4,112
	52,000	Compal Electronics Inc		37,431
	41,635	First Financial Holding Co Ltd		27,081
	1,000	Formosa Chemicals & Fibre Corp		3,149
	2,000	Fubon Financial Holding Co Ltd		3,222
	81,200	Hon Hai Precision Industry Co Ltd		317,090
	62,000	Inventec Corp		49,333
	37,249	Lite-On Technology Corp		55,226
	1,000	Lotes Co Ltd		6,282
	4,000	Mitac Holdings Corp		4,775
	9,000	Novatek Microelectronics Corp		35,106
	3,000	Nuvoton Technology Corp		5,492
	12,000	Pegatron Corp		37,913
	1,000	Phison Electronics Corp		13,528
	45,000	Pou Chen Corp		58,489
	6,000	Radiant Opto-Electronics Corp		15,191
	6,000	Siliconware Precision Industries Co Ltd		9,511
	4,000	Sunonwealth Electric Machine Industry Co Ltd		6,944
	11,000	Sunplus Technology Co Ltd		6,140
	44,001	Taishin Financial Holding Co Ltd		19,568
	4,800	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		177,456
	4,000	Topco Scientific Co Ltd		10,494
	2,000	Tripod Technology Corp		7,511
	2,000	Uni-President Enterprises Corp		4,262
	154,000	United Microelectronics Corp		76,978
	7,000	Yuanta Financial Holding Co Ltd		3,047
		Total Taiwan		1,089,082
		Thailand — 0.3%
	10,000	Amata Corp PCL NVDR		5,547
	17,900	GFPT Pcl NVDR		10,363
	1,700	Kasikornbank Pcl (Foreign Registered) (b)		10,824
	3,500	Kiatnakin Bank Pcl NVDR		7,409
	101,100	Krung Thai Bank Pcl (Foreign Registered)		57,001
	8,300	PTT Exploration & Production Pcl NVDR		21,910
	8,100	PTT Pcl (Foreign Registered)		97,435
	2,400	PTT Pcl NVDR		28,870
	1,200	Siam Cement Pcl (The) NVDR		18,083
	6,600	Supalai Pcl NVDR		5,022
	9,200	Thai Airways International PCL NVDR *		5,023

Shares		Description	Value ($)
		Thailand — continued
	30,700	Thai Beverage Pcl		21,077
		Total Thailand		288,564
		Turkey — 0.4%
	2,456	Arcelik AS		17,087
	28,711	Eregli Demir ve Celik Fabrikalari TAS		68,402
	23,249	KOC Holding AS		121,552
	5,357	Selcuk Ecza Deposu Ticaret ve Sanayi AS		6,103
	1,247	Turkcell Iletisim Hizmetleri AS		4,776
	11,208	Turkiye Garanti Bankasi AS		34,922
	56,504	Turkiye Is Bankasi – Class C		122,776
	22,954	Turkiye Sise ve Cam Fabrikalari AS		29,556
	14,556	Turkiye Vakiflar Bankasi TAO – Class D		30,413
		Total Turkey		435,587
		United Kingdom — 12.7%
	32,906	3i Group Plc		412,830
	6,309	888 Holdings Plc		21,434
	11,408	AstraZeneca Plc		668,826
	2,892	Aviva Plc		19,556
	8,125	Berkeley Group Holdings Plc (The)		393,685
	60,280	BHP Billiton Plc		1,147,591
	18,895	BP Plc		109,145
	21,596	British American Tobacco Plc		1,347,269
	10,193	Bunzl Plc		304,662
	6,416	Cape Plc		21,907
	3,828	Coca-Cola HBC AG *		130,902
	3,794	Compass Group Plc		81,130
	2,445	CYBG Plc CDI *		9,149
	2,484	Dart Group Plc		16,633
	15,323	Diageo Plc		512,524
	11,156	EI Group Plc *		20,452
	11,430	Electrocomponents Plc		93,680
	4,977	Fenner Plc		22,147
	38,228	Ferrexpo Plc		148,185
	2,434	Galliford Try Plc		43,876
	81,093	GlaxoSmithKline Plc		1,608,866
	6,600	GlaxoSmithKline Plc Sponsored ADR		265,518
	3,589	Halfords Group Plc		14,958
	142,138	HSBC Holdings Plc		1,377,991
	7,106	Imperial Brands Plc		293,964
	31,954	Inchcape Plc		344,283
	35,952	Man Group Plc		77,852
	1,436	Mondi Plc		39,141
	1,218	Morgan Sindall Group Plc		19,812
	1,268	Next Plc		67,766
	14,626	Persimmon Plc		503,654
	16,699	QinetiQ Group Plc		49,718
	3,195	Reckitt Benckiser Group Plc		302,977
	17,266	Rio Tinto Plc		838,638

See accompanying notes to the financial statements. 45

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	21,058	Royal Dutch Shell Plc A Shares (London)		580,334
	6,368	Royal Dutch Shell Plc B Shares (London)		177,735
	7,290	RPS Group Plc		27,220
	27,379	Sage Group Plc (The)		245,228
	1,401	Spectris Plc		41,979
	15,925	Spirent Communications Plc		20,041
	116,717	Thomas Cook Group Plc		189,962
	13,516	TUI AG		228,754
	4,774	Vedanta Resources Plc		52,758
	2,813	Vesuvius Plc		21,017
	25,061	William Hill Plc		80,289
	101,550	Wm Morrison Supermarkets Plc		322,881
	22,433	WPP Plc		409,113
		Total United Kingdom		13,728,032
		TOTAL COMMON STOCKS (COST $75,262,787)		103,798,795
		PREFERRED STOCKS — 2.0%
		Brazil — 0.7%
	15,958	Banco Bradesco SA *		170,234
	10,300	Bradespar SA, 3.98%		87,953
	500	Braskem SA – Class A, 2.98%		6,053
	7,600	Centrais Eletricas Brasileiras SA – Class B *		49,567
	6,000	Cia Energetica de Sao Paulo – Class B, 3.40%		28,076
	20,200	Companhia Energetica de Minas Gerais, 1.51%		53,775
	5,180	Itau Unibanco Holding SA, 0.42%		66,399
	42,522	Itausa – Investimentos Itau SA, 0.52%		137,784
	7,600	Metalurgica Gerdau SA *		13,665
	10,900	Vale SA *		112,780
		Total Brazil		726,286
		Germany — 1.0%
	1,733	Bayerische Motoren Werke AG, 4.73%		143,927
	496	Draegerwerk AG & Co KGaA, 0.21%		53,138
	1,846	Henkel AG & Co KGaA, 1.41%		247,494
	5,222	Porsche Automobil Holding SE, 1.89%		296,412
	2,570	Volkswagen AG, 1.50%		383,985
		Total Germany		1,124,956
		South Korea — 0.3%
	228	Hyundai Motor Co, 4.38%		19,529
	534	Hyundai Motor Co 2nd Preference, 4.06%		48,399
	142	LG Electronics Inc, 1.11%		5,100
	156	Samsung Electronics Co Ltd, 1.36%		261,171
		Total South Korea		334,199
		TOTAL PREFERRED STOCKS (COST $1,543,638)		2,185,441

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 0.6%
		United States — 0.6%
		Affiliated Issuers — 0.6%
	27,503	GMO U.S. Treasury Fund		687,292
		TOTAL MUTUAL FUNDS (COST $687,017)		687,292
		SHORT-TERM INVESTMENTS — 0.8%
		Time Deposits — 0.8%
AUD	20,426	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.73%, due 09/01/17		16,238
CAD	11,022	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.15%, due 09/01/17		8,826
GBP	1,666	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.05%, due 09/01/17		2,154
HKD	29,766	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/17		3,803
JPY	656,105	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.13)%, due 09/01/17		5,968
	308,576	Standard Chartered Bank (London) Time Deposit, 0.87%, due 09/01/17		308,576
	534,541	Sumitomo (Tokyo) Time Deposit, 0.87%, due 09/01/17		534,541
		Total Time Deposits		880,106
		TOTAL SHORT-TERM INVESTMENTS (COST $880,106)		880,106
		TOTAL INVESTMENTS — 99.8% (Cost $78,373,548)		107,551,634
		Other Assets and Liabilities (net) — 0.2%		183,195
		TOTAL NET ASSETS — 100.0%		$107,734,829

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(b) Security valued at the local price and adjusted by applying a premium or discount since holding exceeds foreign ownership limits.

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 52.

46 See accompanying notes to the financial statements.

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2017 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		99.2	%
Mutual Funds		0.7
Short-Term Investments		0.3
Futures Contracts		0.0	^
Other		(0.2	)
		100.0	%
Industry Group Summary	% of Equity Investments#
Capital Goods		11.0	%
Software & Services		9.4
Technology Hardware & Equipment		9.2
Semiconductors & Semiconductor Equipment		7.2
Insurance		6.6
Pharmaceuticals, Biotechnology & Life Sciences		6.5
Health Care Equipment & Services		5.5
Materials		5.0
Energy		4.9
Automobiles & Components		4.6
Banks		4.5
Retailing		4.0
Utilities		3.7
Food, Beverage & Tobacco		3.0
Real Estate		2.7
Food & Staples Retailing		2.5
Diversified Financials		2.4
Consumer Durables & Apparel		2.3
Consumer Services		1.9
Transportation		1.3
Media		0.8
Commercial & Professional Services		0.5
Telecommunication Services		0.3
Household & Personal Products		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.

# 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%.

47

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 99.2%
		Automobiles & Components — 4.5%
	24,700	Cooper-Standard Holding, Inc. *		2,484,326
	153,300	Dana, Inc.		3,689,931
	101,100	Delphi Automotive Plc		9,746,040
	682,700	General Motors Co.		24,945,858
	135,700	Goodyear Tire & Rubber Co. (The)		4,111,710
	81,880	Lear Corp.		12,244,335
	24,200	Standard Motor Products, Inc.		1,067,220
	43,600	Tenneco, Inc.		2,363,120
	46,785	Thor Industries, Inc.		5,082,723
	32,265	Tower International, Inc.		724,349
	24,300	Visteon Corp. *		2,805,192
		Total Automobiles & Components		69,264,804
		Banks — 4.5%
	4,236	American National Bankshares, Inc.		154,614
	4,500	CNB Financial Corp.		108,720
	55,546	Essent Group Ltd. *		2,170,738
	11,400	Federal Agricultural Mortgage Corp. – Class C		776,568
	99,100	Fifth Third Bancorp		2,589,483
	3,200	First Bancorp, Inc.		83,296
	5,550	German American Bancorp, Inc.		180,597
	614,263	JPMorgan Chase & Co.		55,830,364
	29,750	PennyMac Financial Services, Inc. – Class A *		505,750
	84,200	Popular Inc		3,360,422
	4,900	Territorial Bancorp, Inc.		148,127
	41,241	Walker & Dunlop, Inc. *		1,987,404
		Total Banks		67,896,083
		Capital Goods — 11.0%
	146,020	3M Co.		29,834,806
	42,344	AGCO Corp.		2,898,447
	29,100	Applied Industrial Technologies, Inc.		1,658,700
	51,600	Briggs & Stratton Corp.		1,080,504
	20,100	Crane Co.		1,492,023
	74,400	Cummins, Inc.		11,857,872
	87,800	Deere & Co.		10,178,654
	7,751	Douglas Dynamics, Inc.		270,510
	52,400	Dover Corp.		4,447,712
	42,900	EMCOR Group, Inc.		2,833,116
	352,771	Emerson Electric Co.		20,827,600
	23,500	Esterline Technologies Corp. *		2,006,900
	24,000	General Dynamics Corp.		4,832,400
	257,300	Honeywell International, Inc.		35,576,871
	90,500	Illinois Tool Works, Inc.		12,444,655
	58,100	Ingersoll-Rand Plc		4,961,159
	128,400	Meritor, Inc. *		2,550,024
	33,900	Moog, Inc. – Class A *		2,602,164
	63,900	MRC Global, Inc. *		1,007,703
	58,400	Parker-Hannifin Corp.		9,395,976

Shares		Description	Value ($)
		Capital Goods — continued
	36,900	SPX Corp. *		889,290
	15,600	Teledyne Technologies, Inc. *		2,340,936
	22,400	WESCO International, Inc. *		1,130,080
		Total Capital Goods		167,118,102
		Commercial & Professional Services — 0.5%
	265,429	ACCO Brands Corp. *		2,906,447
	48,242	Deluxe Corp.		3,345,583
	6,700	Heidrick & Struggles International, Inc.		122,275
	21,400	ICF International, Inc. *		1,028,270
	42,412	Navigant Consulting, Inc. *		650,176
		Total Commercial & Professional Services		8,052,751
		Consumer Durables & Apparel — 2.3%
	6,400	Bassett Furniture Industries, Inc.		229,440
	77,400	Brunswick Corp.		4,061,952
	130,600	Coach, Inc.		5,446,020
	4,100	CSS Industries, Inc.		109,798
	6,700	Culp, Inc.		194,300
	4,295	Flexsteel Industries, Inc.		195,423
	86,800	Hasbro, Inc.		8,528,100
	26,573	Helen of Troy Ltd. *		2,399,542
	33,900	La-Z-Boy, Inc.		808,515
	42,600	MDC Holdings, Inc.		1,331,250
	174,600	PulteGroup, Inc.		4,508,172
	47,100	PVH Corp.		5,929,419
	28,727	Tupperware Brands Corp.		1,662,431
		Total Consumer Durables & Apparel		35,404,362
		Consumer Services — 1.9%
	72,800	Adtalem Global Education, Inc.		2,489,760
	12,300	Bridgepoint Education, Inc. *		108,609
	23,200	Choice Hotels International, Inc.		1,439,560
	49,000	Darden Restaurants, Inc.		4,022,410
	18,480	Drive Shack, Inc.		49,896
	3,800	Graham Holdings Co. – Class B		2,231,360
	33,500	Grand Canyon Education, Inc. *		2,748,675
	58,300	Royal Caribbean Cruises Ltd		7,256,018
	50,400	Scientific Games Corp. – Class A *		1,774,080
	103,700	Service Corp. International		3,664,758
	32,750	Wyndham Worldwide Corp.		3,264,520
		Total Consumer Services		29,049,646
		Diversified Financials — 2.4%
	45,200	Ameriprise Financial, Inc.		6,260,652
	5,221	Ares Commercial Real Estate Corp. (REIT)		68,865
	52,888	BlackRock Capital Investment Corp.		376,563
	4,104	Encore Capital Group, Inc. *		165,596
	65,500	Enova International, Inc. *		779,450
	65,600	Franklin Resources, Inc.		2,835,888

48 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, 2017 (Unaudited)

Shares		Description	Value ($)
		Diversified Financials — continued
	42,700	Goldman Sachs Group, Inc. (The)		9,553,698
	34,100	Investment Technology Group, Inc.		685,069
	36,300	LPL Financial Holdings, Inc.		1,700,292
	71,800	OM Asset Management Plc		1,014,534
	6,573	OneMain Holdings, Inc. *		179,903
	74,000	Raymond James Financial, Inc.		5,795,680
	26,212	Regional Management Corp. *		575,353
	76,505	T. Rowe Price Group, Inc.		6,453,962
		Total Diversified Financials		36,445,505
		Energy — 4.9%
	121,005	Andeavor		12,118,651
	216,900	Chesapeake Energy Corp. *		789,516
	246,793	Chevron Corp.		26,559,863
	35,178	Exterran Corp. *		975,838
	150,300	Marathon Petroleum Corp.		7,883,235
	705,024	Marathon Oil Corp.		7,839,867
	447,650	McDermott International, Inc. *		2,748,571
	62,100	Murphy Oil Corp.		1,407,186
	208,386	Valero Energy Corp.		14,191,086
		Total Energy		74,513,813
		Food & Staples Retailing — 2.4%
	167,700	Sysco Corp.		8,832,759
	363,900	Wal-Mart Stores, Inc.		28,409,673
		Total Food & Staples Retailing		37,242,432
		Food, Beverage & Tobacco — 3.0%
	101,108	Dr Pepper Snapple Group, Inc.		9,205,883
	13,200	Omega Protein Corp.		208,560
	300,700	PepsiCo, Inc.		34,800,011
	22,600	Universal Corp.		1,292,720
		Total Food, Beverage & Tobacco		45,507,174
		Health Care Equipment & Services — 5.4%
	167,869	Anthem, Inc.		32,909,039
	285,600	Baxter International, Inc.		17,718,624
	16,077	Chemed Corp.		3,171,831
	8,821	Exactech, Inc. *		269,481
	10,100	Triple-S Management Corp. – Class B *		249,571
	142,643	UnitedHealth Group, Inc.		28,371,693
		Total Health Care Equipment & Services		82,690,239
		Household & Personal Products — 0.2%
	25,200	Central Garden & Pet Co. *		888,300
	43,400	Central Garden & Pet Co. – Class A *		1,479,506
	19,500	Inter Parfums, Inc.		769,275
		Total Household & Personal Products		3,137,081

Shares		Description	Value ($)
		Insurance — 6.5%
	197,399	Aflac, Inc.		16,295,287
	32,492	American Equity Investment Life Holding Co.		901,978
	9,100	American National Insurance Co.		1,052,961
	80,876	Assured Guaranty Ltd.		3,440,465
	60,300	CNO Financial Group, Inc.		1,347,705
	26,504	Everest Re Group Ltd.		6,691,730
	52,376	First American Financial Corp.		2,569,567
	24,889	Hanover Insurance Group, Inc. (The)		2,443,602
	161,800	Hartford Financial Services Group, Inc. (The)		8,748,526
	90,728	Lincoln National Corp.		6,156,802
	17,014	Navigators Group, Inc. (The)		949,381
	182,900	Principal Financial Group, Inc.		11,434,908
	297,300	Progressive Corp. (The)		13,818,504
	127,200	Prudential Financial, Inc.		12,984,576
	4,412	Selective Insurance Group, Inc.		222,365
	46,672	Travelers Cos., Inc. (The)		5,655,713
	90,198	Unum Group		4,345,740
	2,372	W.R. Berkley Corp.		158,070
		Total Insurance		99,217,880
		Materials — 4.9%
	84,747	Avery Dennison Corp.		7,988,252
	330,400	Dow Chemical Co. (The)		22,021,160
	53,000	Eastman Chemical Co.		4,568,600
	25,800	Greif, Inc. – Class A		1,559,610
	141,700	International Paper Co.		7,633,379
	23,600	Koppers Holdings, Inc. *		925,120
	140,580	LyondellBasell Industries NV – Class A		12,735,142
	66,500	Nucor Corp.		3,664,815
	128,500	Owens-Illinois, Inc. *		3,166,240
	49,000	Packaging Corp. of America		5,508,090
	42,000	Reliance Steel & Aluminum Co.		3,041,640
	43,100	Sonoco Products Co.		2,080,006
		Total Materials		74,892,054
		Media — 0.8%
	22,185	Meredith Corp.		1,205,755
	191,249	News Corp. – Class A		2,556,999
	116,385	News Corp. – Class B		1,594,474
	16,400	Scholastic Corp.		646,652
	193,100	Viacom, Inc. – Class B		5,522,660
		Total Media		11,526,540
		Pharmaceuticals, Biotechnology & Life Sciences — 6.5%
	418,147	Johnson & Johnson		55,350,118
	1,273,538	Pfizer, Inc.		43,198,409
		Total Pharmaceuticals, Biotechnology & Life Sciences		98,548,527

See accompanying notes to the financial statements. 49

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		Real Estate — 2.6%
	166,000	Apple Hospitality REIT, Inc.		3,017,880
	118,600	Brandywine Realty Trust (REIT)		2,037,548
	63,500	CBRE Group, Inc. – Class A *		2,291,080
	33,000	Chatham Lodging Trust (REIT)		669,240
	182,000	CoreCivic, Inc. (REIT)		4,877,600
	216,600	DiamondRock Hospitality Co. (REIT)		2,380,434
	106,100	GEO Group , Inc. (The) (REIT)		2,932,604
	415,100	Host Hotels & Resorts, Inc. (REIT)		7,521,612
	38,043	Jones Lang LaSalle, Inc.		4,637,822
	48,500	Lamar Advertising Co. – Class A (REIT)		3,228,160
	90,300	Quality Care Properties, Inc. (REIT) *		1,238,916
	145,200	Sunstone Hotel Investors, Inc. (REIT)		2,294,160
	157,500	Xenia Hotels & Resorts, Inc. (REIT)		3,143,700
		Total Real Estate		40,270,756
		Retailing — 4.0%
	260,600	Best Buy Co., Inc.		14,140,156
	35,700	Big Lots, Inc.		1,699,320
	13,900	Children’s Place, Inc. (The)		1,475,485
	261,275	Home Depot, Inc. (The)		39,157,284
	34,300	Nutrisystem, Inc.		1,862,490
	271,900	Staples, Inc.		2,777,459
		Total Retailing		61,112,194
		Semiconductors & Semiconductor Equipment — 7.1%
	446,600	Applied Materials, Inc.		20,150,592
	927,016	Intel Corp.		32,510,451
	43,800	KLA-Tencor Corp.		4,103,622
	52,800	Lam Research Corp.		8,763,744
	755,100	Micron Technology, Inc. *		24,140,547
	226,500	Texas Instruments, Inc.		18,758,730
		Total Semiconductors & Semiconductor Equipment		108,427,686
		Software & Services — 9.3%
	104,274	Accenture Plc – Class A		13,634,868
	112,873	Activision Blizzard, Inc.		7,399,954
	124,055	Amdocs Ltd.		8,037,523
	58,000	Bankrate, Inc. *		803,300
	164,580	CA, Inc.		5,460,764
	16,300	CACI International, Inc. – Class A *		2,115,740
	266,000	Cadence Design Systems, Inc. *		10,451,140
	60,000	Citrix Systems, Inc. *		4,692,600
	41,200	CSG Systems International, Inc.		1,594,852
	66,200	Dell Technologies, Inc. – Class V *		4,960,366
	386,200	eBay, Inc. *		13,953,406
	95,100	Everi Holdings, Inc. *		733,221
	82,764	Fiserv, Inc. *		10,238,734
	176,199	International Business Machines Corp.		25,201,743
	43,700	Intuit, Inc.		6,181,365
	59,200	Leidos Holdings, Inc.		3,452,544

Shares		Description	Value ($)
		Software & Services — continued
	122,641	Net 1 UEPS Technologies, Inc. *		1,144,241
	90,058	Paychex, Inc.		5,136,008
	44,880	Sykes Enterprises, Inc. *		1,196,501
	114,000	Symantec Corp.		3,417,720
	150,200	Synopsys, Inc. *		12,079,084
		Total Software & Services		141,885,674
		Technology Hardware & Equipment — 9.2%
	77,165	Apple, Inc.		12,655,060
	925,929	Cisco Systems, Inc.		29,824,173
	254,800	Corning, Inc.		7,328,048
	27,782	ePlus, Inc. *		2,325,354
	1,472,700	HP, Inc.		28,099,116
	34,002	Insight Enterprises, Inc. *		1,362,800
	200,700	Juniper Networks, Inc.		5,565,411
	76,500	NCR Corp. *		2,794,545
	104,793	Sanmina Corp. *		3,924,498
	159,300	Seagate Technology Plc		5,022,729
	13,300	SYNNEX Corp.		1,590,813
	91,700	TE Connectivity Ltd		7,299,320
	40,638	Tech Data Corp. *		4,481,965
	313,400	Western Digital Corp.		27,663,818
		Total Technology Hardware & Equipment		139,937,650
		Telecommunication Services — 0.3%
	2,044	Consolidated Communications Holdings, Inc.		37,712
	103,900	Telephone & Data Systems, Inc.		3,045,309
	23,100	United States Cellular Corp. *		893,508
		Total Telecommunication Services		3,976,529
		Transportation — 1.3%
	353,100	CSX Corp.		17,725,620
	27,400	Landstar System, Inc.		2,557,790
		Total Transportation		20,283,410
		Utilities — 3.7%
	293,800	CenterPoint Energy, Inc.		8,702,356
	38,889	DTE Energy Co.		4,368,013
	74,700	Edison International		5,989,446
	252,800	Exelon Corp.		9,573,536
	329,200	FirstEnergy Corp.		10,725,336
	185,600	NiSource, Inc.		4,987,072
	87,500	OGE Energy Corp.		3,125,500
	125,400	Public Service Enterprise Group, Inc.		5,873,736
	53,700	SCANA Corp.		3,242,406
		Total Utilities		56,587,401
		TOTAL COMMON STOCKS (COST $1,358,277,889)		1,512,988,293

50 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, 2017 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 0.7%
		Affiliated Issuers — 0.7%
	413,528	GMO U.S. Treasury Fund		10,334,042
		TOTAL MUTUAL FUNDS (COST $10,334,042)		10,334,042
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.3%
	3,792,068	State Street Institutional Treasury Money Market Fund-Premier Class, 0.90% (a)		3,792,068
		TOTAL SHORT-TERM INVESTMENTS (COST $3,792,068)		3,792,068
		TOTAL INVESTMENTS — 100.2% (Cost $1,372,403,999)		1,527,114,403
		Other Assets and Liabilities (net) — (0.2%)		(2,450,871	)
		TOTAL NET ASSETS — 100.0%		$1,524,663,532

A summary of outstanding financial instruments at August 31, 2017 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Value and Net Unrealized Appreciation (Depreciation)
Buys
16	S&P 500 E-Mini Index	September 2017	$	1,976,080	$	37,341

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of August 31, 2017, 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) The rate disclosed is the 7 day net yield as of August 31, 2017.

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 52.

See accompanying notes to the financial statements. 51

GMO Trust Funds

Schedule of Investments — (Continued)

August 31, 2017 (Unaudited)

Portfolio Abbreviations:

ADR - American Depositary Receipt

CVA - Certificaaten van aandelen (Share Certificates)

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

GDR - Global Depository Receipt

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

Counterparty Abbreviations:

GSCO - Goldman Sachs & Co.

MSLC - Morgan Stanley & Co. 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

SGD - Singapore Dollar

ZAR - South African Rand

52 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2017 (Unaudited)

	Climate Change Fund		Foreign Small Companies Fund		International Equity Fund		International Large/Mid Cap Equity Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	578,701	$	1,507,719	$	5,112,603	$	1,396,970
Investments in unaffiliated issuers, at value (Note 2)(b)		13,725,766		300,189,298		5,360,614,579		74,777,471
Foreign currency, at value (Note 2)(c)		28,086		52,305		16,279		—
Due from broker (Note 2)		—		77,210		1,358		57,428
Receivable for investments sold		—		1,701,679		127,310,259		32,716,993
Receivable for Fund shares sold		—		—		1,644		2
Dividends receivable		10,635		353,738		10,122,526		191,461
Dividend withholding tax receivable		9,777		544,293		8,743,725		491,017
Foreign capital gains tax refund receivable		—		3,406		—		—
Receivable for foreign currency sold		—		—		21,042		—
Receivable for variation margin on open futures contracts (Note 4)		—		16,170		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		11,946		56,575		206,209		13,668
Miscellaneous receivable		—		2,808		19,668		1,243
Total assets		14,364,911		304,505,201		5,512,169,892		109,646,253
Liabilities:
Payable for investments purchased		444		2,622,214		55,491,958		47,950
Payable for Fund shares repurchased		—		—		43,864,182		33,001,507
Accrued foreign capital gains tax payable (Note 2)		—		329,859		—		—
Payable to affiliate for (Note 5):
Management fee		7,195		156,169		2,319,975		34,927
Shareholder service fee		1,799		31,932		444,552		8,441
Payable for foreign currency purchased		—		4,108		—		115,136
Payable to agents unaffiliated with GMO		1		155		961		31
Payable to Trustees and related expenses		364		1,573		5,901		341
Accrued expenses		57,283		273,324		882,965		297,924
Total liabilities		67,086		3,419,334		103,010,494		33,506,257
Net assets	$	14,297,825	$	301,085,867	$	5,409,159,398	$	76,139,996
(a)      Cost of investments – affiliated issuers:	$	578,688	$	1,507,719	$	5,112,603	$	1,396,970
(b)      Cost of investments – unaffiliated issuers:	$	12,160,920	$	278,316,305	$	4,745,257,378	$	65,252,411
(c)      Cost of foreign currency:	$	27,713	$	51,574	$	17,368	$	—

See accompanying notes to the financial statements. 53

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2017 (Unaudited) — (Continued)

	Climate Change Fund		Foreign Small Companies Fund			International Equity Fund			International Large/Mid Cap Equity Fund
Net assets consist of:
Paid-in capital	$	12,562,124	$	264,499,751		$	6,041,547,884		$	62,379,275
Accumulated undistributed (distributions in excess of) net investment income		135,901		(542,111	)		76,186,859			(1,634,040	)
Accumulated net realized gain (loss)		33,937		15,532,095			(1,324,382,851	)		5,995,504
Net unrealized appreciation (depreciation)		1,565,863		21,596,132			615,807,506			9,399,257
	$	14,297,825	$	301,085,867		$	5,409,159,398		$	76,139,996
Net assets attributable to:
Class II	$	—	$	—		$	19,601,746		$	—
Class III	$	14,297,825	$	140,707,039		$	448,303,136		$	3,302,348
Class IV	$	—	$	160,378,828		$	4,941,254,516		$	72,837,648
Shares outstanding:
Class II		—		—			864,975			—
Class III		625,989		8,826,451			19,550,896			120,891
Class IV		—		10,080,670			215,874,894			2,671,355
Net asset value per share:
Class II	$	—	$	—		$	22.66		$	—
Class III	$	22.84	$	15.94		$	22.93		$	27.32
Class IV	$	—	$	15.91		$	22.89		$	27.27

54 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2017 (Unaudited) — (Continued)

	International Small Companies Fund		Quality Fund		Resources Fund		Risk Premium Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	5,570	$	220,836,327	$	4,717,048	$	—
Investments in unaffiliated issuers, at value (Note 2)(b)		24,748,593		7,978,732,228		242,912,517		138,597,887
Foreign currency, at value (Note 2)(c)		5,556		30,608		29,405		79
Cash		—		—		—		2
Receivable for investments sold		74,418		48,001,354		—		—
Receivable for Fund shares sold		—		18,637		—		—
Dividends receivable		29,539		13,591,140		940,847		315
Dividend withholding tax receivable		69,383		7,347,578		18,797		—
Foreign capital gains tax refund receivable		11,012		—		—		—
Due from broker (Note 2)		—		—		—		10,014,118
Receivable for collateral on closed futures contracts (Note 4)		16,000		—		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		15,066		118,482		20,572		11,625
Miscellaneous receivable		156		—		4,740		—
Total assets		24,975,293		8,268,676,354		248,643,926		148,624,026
Liabilities:
Payable for investments purchased		77,699		25,526		—		—
Payable for Fund shares repurchased		—		60,345,458		—		—
Accrued foreign capital gains tax payable (Note 2)		66,565		—		—		—
Payable to affiliate for (Note 5):
Management fee		12,440		2,314,938		102,405		56,625
Shareholder service fee		3,110		709,655		21,333		7,287
Payable for foreign currency purchased		38		—		—		—
Written options outstanding, at value (Note 4)(d)		—		—		—		988,353
Payable to agents unaffiliated with GMO		31		1,395		31		31
Payable to Trustees and related expenses		297		6,207		212		155
Accrued expenses		210,513		718,233		161,564		87,116
Total liabilities		370,693		64,121,412		285,545		1,139,567
Net assets	$	24,604,600	$	8,204,554,942	$	248,358,381	$	147,484,459
(a)      Cost of investments – affiliated issuers:	$	5,570	$	220,780,770	$	4,716,549	$	—
(b)      Cost of investments – unaffiliated issuers:	$	23,383,230	$	5,837,223,301	$	182,275,704	$	138,657,032
(c)      Cost of foreign currency:	$	5,486	$	30,340	$	29,092	$	78
(d)      Premiums on written options:	$	—	$	—	$	—	$	2,032,282

See accompanying notes to the financial statements. 55

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2017 (Unaudited) — (Continued)

	International Small Companies Fund			Quality Fund		Resources Fund			Risk Premium Fund
Net assets consist of:
Paid-in capital	$	35,339,391		$	5,643,757,108	$	246,686,301		$	138,329,356
Accumulated undistributed (distributions in excess of) net investment income		(979,603	)		71,817,990		(2,723,400	)		195,563
Accumulated net realized gain (loss)		(11,080,911	)		347,587,613		(56,242,856	)		7,974,756
Net unrealized appreciation (depreciation)		1,325,723			2,141,392,231		60,638,336			984,784
	$	24,604,600		$	8,204,554,942	$	248,358,381		$	147,484,459
Net assets attributable to:
Class III	$	24,604,600		$	3,461,845,021	$	20,146,161		$	3,433,992
Class IV	$	—		$	922,590,436	$	228,212,220		$	—
Class V	$	—		$	230,454,114	$	—		$	—
Class VI	$	—		$	3,589,665,371	$	—		$	144,050,467
Shares outstanding:
Class III		1,149,813			143,215,470		1,095,264			117,448
Class IV		—			38,111,026		12,446,878			—
Class V		—			9,522,339		—			—
Class VI		—			148,484,921		—			4,899,449
Net asset value per share:
Class III	$	21.40		$	24.17	$	18.39		$	29.24
Class IV	$	—		$	24.21	$	18.33		$	—
Class V	$	—		$	24.20	$	—		$	—
Class VI	$	—		$	24.18	$	—		$	29.40

56 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2017 (Unaudited) — (Continued)

	Tax-Managed International Equities Fund		U.S. Equity Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	687,292	$	10,334,042
Investments in unaffiliated issuers, at value (Note 2)(b)		106,864,342		1,516,780,361
Foreign currency, at value (Note 2)(c)		90,449		—
Cash		5,000		—
Dividends receivable		220,852		4,974,028
Dividend withholding tax receivable		169,096		—
Receivable for variation margin on open futures contracts (Note 4)		—		11,440
Due from broker (Note 2)		52		82,000
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		27,528		28,024
Miscellaneous receivable		1,174		—
Total assets		108,065,785		1,532,209,895
Liabilities:
Payable for Fund shares repurchased		107,133		6,816,988
Accrued foreign capital gains tax payable (Note 2)		9,169		—
Payable to affiliate for (Note 5):
Management fee		47,384		404,599
Shareholder service fee		14,215		81,736
Payable to agents unaffiliated with GMO		31		279
Payable to Trustees and related expenses		104		1,704
Accrued expenses		152,920		241,057
Total liabilities		330,956		7,546,363
Net assets	$	107,734,829	$	1,524,663,532
(a)      Cost of investments – affiliated issuers:	$	687,017	$	10,334,042
(b)      Cost of investments – unaffiliated issuers:	$	77,686,531	$	1,362,069,957
(c)      Cost of foreign currency:	$	90,331	$	—

See accompanying notes to the financial statements. 57

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2017 (Unaudited) — (Continued)

	Tax-Managed International Equities Fund			U.S. Equity Allocation Fund
Net assets consist of:
Paid-in capital	$	113,830,626		$	1,346,753,782
Accumulated undistributed (distributions in excess of) net investment income		960,320			15,515,528
Accumulated net realized gain (loss)		(36,224,630	)		7,646,477
Net unrealized appreciation (depreciation)		29,168,513			154,747,745
	$	107,734,829		$	1,524,663,532
Net assets attributable to:
Class III	$	107,734,829		$	56,428,032
Class IV	$	—		$	41,287,973
Class V	$	—		$	125,472,170
Class VI	$	—		$	1,301,475,357
Shares outstanding:
Class III		6,604,587			3,803,100
Class IV		—			2,781,542
Class V		—			8,487,512
Class VI		—			88,245,564
Net asset value per share:
Class III	$	16.31		$	14.84
Class IV	$	—		$	14.84
Class V	$	—		$	14.78
Class VI	$	—		$	14.75

58 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2017 (Unaudited)

	Climate Change Fund*			Foreign Small Companies Fund			International Equity Fund			International Large/Mid Cap Equity Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	174,217		$	12,768,690		$	126,417,016		$	3,103,860
Dividends from affiliated issuers (Note 10)		3,050			69,083			124,616			6,700
Interest		135			25,899			17,982			8,418
Total investment income		177,402			12,863,672			126,559,614			3,118,978
Expenses:
Management fee (Note 5)		31,749			2,230,325			14,409,946			263,359
Shareholder service fee – Class II (Note 5)		—			—			13,262			—
Shareholder service fee – Class III (Note 5)		7,937			164,151			490,843			10,696
Shareholder service fee – Class IV (Note 5)		—			217,444			2,293,859			55,914
Shareholder service fee – Class VI (Note 5)		—			—			—			26	**
Audit and tax fees		31,376			81,888			65,252			133,773
Custodian, fund accounting agent and transfer agent fees		16,132			249,604			1,110,832			109,673
Legal fees		1,332			11,440			52,112			2,692
Registration fees		2,072			1,840			14,754			8,440
Transfer agent fees		—			22,176			30,528			23,864
Trustees’ fees and related expenses (Note 5)		464			9,347			66,909			915
Miscellaneous		7,253	***		11,687			28,863			9,258
Total expenses		98,315			2,999,902			18,577,160			618,610
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(56,814	)		(1,430,910	)		(1,279,281	)		(192,737	)
Shareholder service fee waived (Note 5)		—			(189,237	)		—			—
Net expenses		41,501			1,379,755			17,297,879			425,873
Net investment income (loss)		135,901			11,483,917			109,261,735			2,693,105
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		39,112			117,033,523			113,780,729			11,763,661
Investments in affiliated issuers		(2,363	)		(4,527	)		(5,265	)		(11,029	)
Futures contracts		—			719,285			2,310,135			128,996
Forward currency contracts		—			(416,909	)		—			—
Foreign currency and foreign currency related transactions		(2,812	)		20,598			(550,665	)		(148,216	)
Net realized gain (loss)		33,937			117,351,970	****		115,534,934			11,733,412
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers net of foreign capital gains tax (Note 2)(c)		1,564,846			(45,465,920	)		474,743,885			2,393,184
Investments in affiliated issuers		13			2,788			—			(4	)
Futures contracts		—			15,927			—			(18,330	)
Forward currency contracts		—			302,043			—			—
Foreign currency and foreign currency related transactions		1,004			67,028			1,833,843			176,336
Net change in unrealized appreciation (depreciation)		1,565,863			(45,078,134	)		476,577,728			2,551,186
Net realized and unrealized gain (loss)		1,599,800			72,273,836			592,112,662			14,284,598
Net increase (decrease) in net assets resulting from operations	$	1,735,701		$	83,757,753		$	701,374,397		$	16,977,703
(a)        Withholding tax:	$	17,472		$	1,284,334		$	13,854,571		$	376,631
(b)        Significant foreign capital gains tax on net realized gain (loss):	$	—		$	217,388		$	—		$	—
(c)        Significant foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	—		$	(87,478	)	$	—		$	—
*       Period from April 5, 2017 (commencement of operations) through August 31, 2017.
**      Class VI liquidated on March 29, 2017.
***    Includes $5,618 of pricing expenses.
****  For the details related to in-kind redemption realized gain (loss) please refer to Note 6.

See accompanying notes to the financial statements. 59

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2017 (Unaudited) — (Continued)

	International Small Companies Fund			Quality Fund			Resources Fund			Risk Premium Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	1,781,280		$	100,629,030		$	4,140,036		$	1,804
Dividends from affiliated issuers (Note 10)		11,334			946,664			15,132			—
Interest		5,925			—			2,997			594,985
Total investment income		1,798,539			101,575,694			4,158,165			596,789
Expenses:
Management fee (Note 5)		252,168			14,093,643			570,121			345,764
Shareholder service fee – Class III (Note 5)		63,042			2,624,508			15,049			3,866
Shareholder service fee – Class IV (Note 5)		—			572,733			103,992			—
Shareholder service fee – Class V (Note 5)		—			226,783			—			—
Shareholder service fee – Class VI (Note 5)		—			939,876			—			40,843
Audit and tax fees		114,771			47,048			44,072			29,256
Custodian and fund accounting agent fees		52,056			601,016			152,044			21,592
Legal fees		3,812			72,852			4,732			2,056
Registration fees		1,940			14,772			1,288			1,940
Transfer agent fees		14,692			—			21,740			—
Trustees’ fees and related expenses (Note 5)		1,338			101,097			2,592			1,826
Miscellaneous		7,184			16,781			7,916			11,040
Total expenses		511,003			19,311,109			923,546			458,183
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(226,956	)		(735,548	)		(103,004	)		(65,300	)
Shareholder service fee waived (Note 5)		(27,283	)		—			—			—
Net expenses		256,764			18,575,561			820,542			392,883
Net investment income (loss)		1,541,775			83,000,133			3,337,623			203,906
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		14,443,612			352,662,919			4,006,382			60,477
Investments in affiliated issuers		(5,127	)		(151,770	)		(2,752	)		—
Futures contracts		27,753			—			—			—
Written options		—			—			—			8,667,496
Forward currency contracts		(60,785	)		—			—			—
Foreign currency and foreign currency related transactions		26,709			140,038			(11,834	)		(51,976	)
Net realized gain (loss)		14,432,162			352,651,187			3,991,796			8,675,997
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		(4,336,929	)		438,098,110			13,126,839			(42,738	)
Investments in affiliated issuers		620			38,577			(282	)		—
Written options		—			—			—			343,013
Forward currency contracts		40,193			—			—			—
Foreign currency and foreign currency related transactions		31,936			341,747			7,728			—
Net change in unrealized appreciation (depreciation)		(4,264,180	)		438,478,434			13,134,285			300,275
Net realized and unrealized gain (loss)		10,167,982			791,129,621			17,126,081			8,976,272
Net increase (decrease) in net assets resulting from operations	$	11,709,757		$	874,129,754		$	20,463,704		$	9,180,178
(a)      Withholding tax:	$	187,329		$	2,539,649		$	333,694		$	—
(b)      Significant foreign capital gains tax on net realized gain (loss):	$	66,603		$	—		$	—		$	—
(c)      Significant foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	(27,491	)	$	—		$	—		$	—

60 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2017 (Unaudited) — (Continued)

	Tax-Managed International Equities Fund			U.S. Equity Allocation Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	2,432,459		$	21,258,764
Dividends from affiliated issuers (Note 10)		4,558			56,188
Interest		3,590			11,941
Total investment income		2,440,607			21,326,893
Expenses:
Management fee (Note 5)		285,020			2,598,441
Shareholder service fee – Class III (Note 5)		85,506			67,474
Shareholder service fee – Class IV (Note 5)		—			17,140
Shareholder service fee – Class V (Note 5)		—			64,389
Shareholder service fee – Class VI (Note 5)		—			385,183
Audit and tax fees		54,156			35,712
Custodian and fund accounting agent fees		81,748			117,520
Legal fees		3,896			20,356
Registration fees		1,388			10,788
Transfer agent fees		14,944			—
Trustees’ fees and related expenses (Note 5)		1,312			20,301
Miscellaneous		14,998			12,108
Total expenses		542,968			3,349,412
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(154,092	)		(191,836	)
Net expenses		388,876			3,157,576
Net investment income (loss)		2,051,731			18,169,317
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)		4,664,123			46,852,734
Investments in affiliated issuers		(567	)		3,935
Futures contracts		27,327			649,588
Foreign currency and foreign currency related transactions		(22,525	)		—
Net realized gain (loss)		4,668,358			47,506,257
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)		9,128,980			(21,845,244	)
Investments in affiliated issuers		272			—
Futures contracts		1,260			37,341
Foreign currency and foreign currency related transactions		44,148			—
Net change in unrealized appreciation (depreciation)		9,174,660			(21,807,903	)
Net realized and unrealized gain (loss)		13,843,018			25,698,354
Net increase (decrease) in net assets resulting from operations	$	15,894,749		$	43,867,671
(a)      Withholding tax:	$	293,194		$	—

See accompanying notes to the financial statements. 61

GMO Trust Funds

Statements of Changes in Net Assets

	Climate Change Fund		Foreign Small Companies Fund
	Period from April 5, 2017 (commencement of operations) through August 31, 2017 (Unaudited)		Six Months Ended August 31, 2017 (Unaudited)			Year Ended February 28, 2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	135,901	$	11,483,917		$	16,996,400
Net realized gain (loss)		33,937		117,351,970			18,702,055
Change in net unrealized appreciation (depreciation)		1,565,863		(45,078,134	)		88,052,231
Net increase (decrease) in net assets from operations		1,735,701		83,757,753			123,750,686
Distributions to shareholders from:
Net investment income
Class III		—		(2,907,847	)		(8,085,286	)
Class IV		—		(8,096,317	)		(15,561,235	)
Total distributions from net investment income		—		(11,004,164	)		(23,646,521	)
Net share transactions (Note 9):
Class III		12,562,124		(129,835,226	)		(103,344,633	)
Class IV		—		(460,109,409	)		(102,922,984	)
Increase (decrease) in net assets resulting from net share transactions		12,562,124		(589,944,635	)		(206,267,617	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—		118,703			332,346
Class IV		—		177,607			843,880
Increase in net assets resulting from purchase premiums and redemption fees		—		296,310			1,176,226
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		12,562,124		(589,648,325	)		(205,091,391	)
Total increase (decrease) in net assets		14,297,825		(516,894,736	)		(104,987,226	)
Net assets:
Beginning of period		—		817,980,603			922,967,829
End of period	$	14,297,825	$	301,085,867		$	817,980,603
Accumulated undistributed (distributions in excess of) net investment income	$	135,901	$	(542,111	)	$	(7,947,837	)

62 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	International Equity Fund						International Large/Mid Cap Equity Fund
	Six Months Ended August 31, 2017 (Unaudited)			Year Ended February 28, 2017			Six Months Ended August 31, 2017 (Unaudited)			Year Ended February 28, 2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	109,261,735		$	234,589,376		$	2,693,105		$	35,443,205
Net realized gain (loss)		115,534,934			(369,427,536	)		11,733,412			(97,865,009	)
Change in net unrealized appreciation (depreciation)		476,577,728			1,244,221,114			2,551,186			197,009,217
Net increase (decrease) in net assets from operations		701,374,397			1,109,382,954			16,977,703			134,587,413
Distributions to shareholders from:
Net investment income
Class II		(57,166	)		(1,695,696	)		—			—
Class III		(2,970,682	)		(29,374,478	)		(482,283	)		(8,124,692	)
Class IV		(28,387,985	)		(231,403,335	)		(3,043,202	)		(17,599,928	)
Class VI		—			—			—	*		(14,995,054	)
Total distributions from net investment income		(31,415,833	)		(262,473,509	)		(3,525,485	)		(40,719,674	)
Net realized gains
Class III		—			—			(68,397	)		—
Class IV		—			—			(2,632,109	)		—
Total distributions from net realized gains		—			—			(2,700,506	)		—
Net share transactions (Note 9):
Class II		8,007,850			(77,406,799	)		—			—
Class III		(360,430,611	)		(418,557,020	)		(37,188,392	)		(454,115,817	)
Class IV		(721,762,152	)		(2,713,470,910	)		(82,656,996	)		(549,754,619	)
Class VI		—			—			(616,556	)*		(285,325,217	)
Increase (decrease) in net assets resulting from net share transactions		(1,074,184,913	)		(3,209,434,729	)		(120,461,944	)		(1,289,195,653	)
Total increase (decrease) in net assets		(404,226,349	)		(2,362,525,284	)		(109,710,232	)		(1,195,327,914	)
Net assets:
Beginning of period		5,813,385,747			8,175,911,031			185,850,228			1,381,178,142
End of period	$	5,409,159,398		$	5,813,385,747		$	76,139,996		$	185,850,228
Accumulated undistributed (distributions in excess of) net investment income	$	76,186,859		$	(1,659,043	)	$	(1,634,040	)	$	(801,660	)

* Class VI liquidated on March 29, 2017.

See accompanying notes to the financial statements. 63

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	International Small Companies Fund								Quality Fund
	Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28, 2017				Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28, 2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)		$	1,541,775			$	4,093,702			$	83,000,133			$	144,430,599
Net realized gain (loss)			14,432,162				(11,467,878	)			352,651,187				124,186,937
Change in net unrealized appreciation (depreciation)			(4,264,180	)			36,023,329				438,478,434				1,215,507,372
Net increase (decrease) in net assets from operations			11,709,757				28,649,153				874,129,754				1,484,124,908
Distributions to shareholders from:
Net investment income
Class III			(1,725,016	)			(5,876,532	)			(9,062,670	)			(57,275,158	)
Class IV			—				—				(2,761,901	)			(22,564,133	)
Class V			—				—				(2,066,279	)			(7,845,378	)
Class VI			—				—				(9,415,766	)			(60,728,903	)
Total distributions from net investment income			(1,725,016	)			(5,876,532	)			(23,306,616	)			(148,413,572	)
Net realized gains
Class III			(6,500,182	)			—				(27,965,228	)			(70,068,944	)
Class IV			—				—				(8,294,400	)			(20,077,057	)
Class V			—				—				(5,629,134	)			(7,430,364	)
Class VI			—				—				(25,541,773	)			(57,344,795	)
Total distributions from net realized gains			(6,500,182	)			—				(67,430,535	)			(154,921,160	)
Net share transactions (Note 9):
Class III			(106,841,059	)			(141,975,040	)			(444,205,132	)			(947,621,009	)
Class IV			—				—				(402,249,041	)			(265,229,455	)
Class V			—				—				(285,180,608	)			132,591,501
Class VI			—				—				(79,404,837	)			1,259,875,418
Increase (decrease) in net assets resulting from net share transactions			(106,841,059	)			(141,975,040	)			(1,211,039,618	)			179,616,455
Purchase premiums and redemption fees (Notes 2 and 9):
Class III			560,445				869,026				—				—
Increase in net assets resulting from purchase premiums and redemption fees			560,445				869,026				—				—
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees			(106,280,614	)			(141,106,014	)			(1,211,039,618	)			179,616,455
Total increase (decrease) in net assets			(102,796,055	)			(118,333,393	)			(427,647,015	)			1,360,406,631
Net assets:
Beginning of period			127,400,655				245,734,048				8,632,201,957				7,271,795,326
End of period		$	24,604,600			$	127,400,655			$	8,204,554,942			$	8,632,201,957
Accumulated undistributed (distributions in excess of) net investment income		$	(979,603	)		$	(796,362	)		$	71,817,990			$	12,124,473

64 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, 2017 (Unaudited)			Year Ended February 28, 2017			Six Months Ended August 31, 2017 (Unaudited)			Year Ended February 28, 2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	3,337,623		$	4,336,029		$	203,906		$	(149,080	)
Net realized gain (loss)		3,991,796			(15,646,712	)		8,675,997			38,623,802
Change in net unrealized appreciation (depreciation)		13,134,285			92,766,423			300,275			(1,976,415	)
Net increase (decrease) in net assets from operations		20,463,704			81,455,740			9,180,178			36,498,307
Distributions to shareholders from:
Net investment income
Class III		(414,599	)		(537,264	)		—			—
Class IV		(4,520,877	)		(5,489,443	)		—			—
Total distributions from net investment income		(4,935,476	)		(6,026,707	)		—			—
Net realized gains
Class III		—			—			(421,779	)		(544,070	)
Class VI		—			—			(11,283,251	)		(12,713,932	)
Total distributions from net realized gains		—			—			(11,705,030	)		(13,258,002	)
Net share transactions (Note 9):
Class III		(3,588,365	)		2,267,643			(1,485,105	)		(2,521,322	)
Class IV		23,514,166			(49,883,908	)		—			—
Class VI		—			—			(8,962,551	)		(91,116,939	)
Increase (decrease) in net assets resulting from net share transactions		19,925,801			(47,616,265	)		(10,447,656	)		(93,638,261	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		7,829			19,745			1,092			6,093
Class IV		75,155			204,990			—			—
Class VI		—			—			32,148			154,283
Increase in net assets resulting from purchase premiums and redemption fees		82,984			224,735			33,240			160,376
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		20,008,785			(47,391,530	)		(10,414,416	)		(93,477,885	)
Total increase (decrease) in net assets		35,537,013			28,037,503			(12,939,268	)		(70,237,580	)
Net assets:
Beginning of period		212,821,368			184,783,865			160,423,727			230,661,307
End of period	$	248,358,381		$	212,821,368		$	147,484,459		$	160,423,727
Accumulated undistributed (distributions in excess of) net investment income	$	(2,723,400	)	$	(1,125,547	)	$	195,563		$	(8,343	)

See accompanying notes to the financial statements. 65

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, 2017 (Unaudited)			Year Ended February 28, 2017			Six Months Ended August 31, 2017 (Unaudited)			Year Ended February 28, 2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,051,731		$	4,929,895		$	18,169,317		$	53,844,150
Net realized gain (loss)		4,668,358			12,543,953			47,506,257			308,821,319
Change in net unrealized appreciation (depreciation)		9,174,660			7,346,320			(21,807,903	)		274,479,806
Net increase (decrease) in net assets from operations		15,894,749			24,820,168			43,867,671			637,145,275
Distributions to shareholders from:
Net investment income
Class III		(715,686	)		(5,479,378	)		(182,494	)		(3,242,235	)
Class IV		—			—			(122,117	)		(3,297,483	)
Class V		—			—			(395,940	)		(2,051,735	)
Class VI		—			—			(3,697,943	)		(54,438,157	)
Total distributions from net investment income		(715,686	)		(5,479,378	)		(4,398,494	)		(63,029,610	)
Net realized gains
Class III		—			—			(3,708,883	)		(10,903,518	)
Class IV		—			—			(1,974,707	)		(4,144,649	)
Class V		—			—			(6,794,614	)		(14,444,911	)
Class VI		—			—			(60,673,317	)		(169,453,338	)
Total distributions from net realized gains		—			—			(73,151,521	)		(198,946,416	)
Net share transactions (Note 9):
Class III		(23,176,883	)		(119,585,524	)		(51,589,315	)		(102,529,429	)
Class IV		—			—			25,479,672			(534,602,197	)
Class V		—			—			(36,103,269	)		162,994,661
Class VI		—			—			(140,461,432	)		(2,687,005,631	)
Increase (decrease) in net assets resulting from net share transactions		(23,176,883	)		(119,585,524	)		(202,674,344	)		(3,161,142,596	)
Total increase (decrease) in net assets		(7,997,820	)		(100,244,734	)		(236,356,688	)		(2,785,973,347	)
Net assets:
Beginning of period		115,732,649			215,977,383			1,761,020,220			4,546,993,567
End of period	$	107,734,829		$	115,732,649		$	1,524,663,532		$	1,761,020,220
Accumulated undistributed (distributions in excess of) net investment income	$	960,320		$	(375,725	)	$	15,515,528		$	1,744,705

66 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

CLIMATE CHANGE FUND

	Class III Shares
	Period from April 5, 2017 (commencement of operations) through August 31, 2017 (Unaudited)
Net asset value, beginning of period		$	20.00
Income (loss) from investment operations:
Net investment income (loss)†(a)			0.22
Net realized and unrealized gain (loss)			2.62
Total from investment operations			2.84
Net asset value, end of period		$	22.84
Total Return(b)			14.20	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	14,298
Net expenses to average daily net assets(c)			0.78	%*
Net investment income (loss) to average daily net assets(a)			2.57	%*
Portfolio turnover rate(d)			9	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			1.07	%*

^(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 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, 2017, including transactions in USTF, was 120% 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. 67

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, 2017 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,
					2017				2016				2015				2014				2013								2017				2016				2015				2014				2013
Net asset value, beginning of period		$	14.41			$	12.94			$	15.31			$	17.29			$	14.40			$	12.91			$	14.38			$	12.91			$	15.28			$	17.25			$	14.37			$	12.90
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.25				0.26				0.26				0.20				0.27				0.23				0.28				0.25				0.27				0.21				0.25				0.12
Net realized and unrealized gain (loss)			1.50				1.56				(1.86	)			(1.34	)			3.62				1.43				1.48				1.58				(1.86	)			(1.34	)			3.64				1.54
Total from investment operations			1.75				1.82				(1.60	)			(1.14	)			3.89				1.66				1.76				1.83				(1.59	)			(1.13	)			3.89				1.66
Less distributions to shareholders:
From net investment income			(0.22	)			(0.35	)			(0.28	)			(0.23	)			(0.48	)			(0.17	)			(0.23	)			(0.36	)			(0.29	)			(0.23	)			(0.49	)			(0.19	)
From net realized gains			—				—				(0.49	)			(0.61	)			(0.52	)			—				—				—				(0.49	)			(0.61	)			(0.52	)			—
Total distributions			(0.22	)			(0.35	)			(0.77	)			(0.84	)			(1.00	)			(0.17	)			(0.23	)			(0.36	)			(0.78	)			(0.84	)			(1.01	)			(0.19	)
Net asset value, end of period		$	15.94			$	14.41			$	12.94			$	15.31			$	17.29			$	14.40			$	15.91			$	14.38			$	12.91			$	15.28			$	17.25			$	14.37
Total Return(b)			12.20	%**			14.25	%			(10.82	)%			(6.34	)%			27.54	%			12.93	%			12.26	%**			14.34	%			(10.80	)%			(6.25	)%			27.61	%			12.96	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	140,707			$	246,852			$	316,303			$	353,778			$	236,393			$	314,389			$	160,379			$	571,129			$	606,665			$	760,850			$	851,384			$	471,628
Net expenses to average daily net assets(c)			0.43	%*			0.86	%			0.86	%			0.85	%			0.86	%(d)			0.85	%(d)			0.42	%*			0.81	%			0.81	%			0.80	%			0.81	%(d)			0.80	%(d)
Net investment income (loss) to average daily net assets(a)			3.27	%*			1.84	%			1.73	%			1.26	%			1.73	%			1.83	%			3.64	%*			1.81	%			1.79	%			1.32	%			1.56	%			0.90	%
Portfolio turnover rate			55	%(e)**			49	%(e)			60	%			58	%			57	%			56	%			55	%(e)**			49	%(e)			60	%			58	%			57	%			56	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.53	%*			0.07	%			0.07	%			0.07	%			0.07	%			0.09	%			0.48	%*			0.07	%			0.07	%			0.07	%			0.07	%			0.10	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.02			$	0.01			$	0.01			$	0.00	(f)		$	0.01			$	0.01			$	0.02			$	0.01			$	0.01			$	0.00	(f)		$	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 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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 51% and 67%, respectively, of the average value of its portfolio.

^(f)  Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

68 See accompanying notes to the financial statements.

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, 2017 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,
					2017				2016				2015				2014				2013								2017				2016				2015				2014				2013
Net asset value, beginning of period		$	20.18			$	18.17			$	23.43			$	26.16			$	20.94			$	20.18			$	20.41			$	18.38			$	23.70			$	26.44			$	21.16			$	20.39
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.37				0.70				0.57				0.66				0.80				0.56				0.42				0.63				0.59				0.69				0.86				0.56
Net realized and unrealized gain (loss)			2.22				2.07				(5.19	)			(1.42	)			4.88				0.85				2.22				2.19				(5.25	)			(1.45	)			4.90				0.88
Total from investment operations			2.59				2.77				(4.62	)			(0.76	)			5.68				1.41				2.64				2.82				(4.66	)			(0.76	)			5.76				1.44
Less distributions to shareholders:
From net investment income			(0.11	)			(0.76	)			(0.64	)			(1.07	)			(0.46	)			(0.65	)			(0.12	)			(0.79	)			(0.66	)			(1.08	)			(0.48	)			(0.67	)
From net realized gains			—				—				—				(0.90	)			—				—				—				—				—				(0.90	)			—				—
Total distributions			(0.11	)			(0.76	)			(0.64	)			(1.97	)			(0.46	)			(0.65	)			(0.12	)			(0.79	)			(0.66	)			(1.98	)			(0.48	)			(0.67	)
Net asset value, end of period		$	22.66			$	20.18			$	18.17			$	23.43			$	26.16			$	20.94			$	22.93			$	20.41			$	18.38			$	23.70			$	26.44			$	21.16
Total Return(b)			12.87	%**			15.45	%			(19.99	)%			(2.55	)%			27.41	%			7.23	%			12.94	%**			15.53	%			(19.95	)%			(2.50	)%			27.53	%			7.30	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	19,602			$	10,302			$	81,206			$	118,737			$	139,401			$	169,056			$	448,303			$	731,060			$	1,043,305			$	1,523,128			$	1,555,509			$	1,540,203
Net expenses to average daily net assets(c)			0.72	%*			0.72	%			0.72	%			0.72	%			0.72	%(d)			0.72	%(d)			0.65	%*			0.65	%			0.65	%			0.65	%			0.65	%(d)			0.65	%(d)
Net investment income (loss) to average daily net assets(a)			3.40	%*			3.62	%			2.65	%			2.63	%			3.47	%			2.87	%			3.89	%*			3.16	%			2.70	%			2.73	%			3.62	%			2.82	%
Portfolio turnover rate			22	%(e)**			27	%(e)			75	%			70	%			48	%			40	%			22	%(e)**			27	%(e)			75	%			70	%			48	%			40	%
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	%			0.04	%*			0.04	%			0.04	%			0.04	%			0.04	%			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) 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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 50% and 31%, respectively, 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. 69

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND (continued)

	Class IV Shares
	Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,
					2017				2016				2015				2014				2013
Net asset value, beginning of period		$	20.38			$	18.36			$	23.66			$	26.41			$	21.14			$	20.37
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.41				0.63				0.62				0.67				0.89				0.54
Net realized and unrealized gain (loss)			2.23				2.19				(5.25	)			(1.42	)			4.88				0.91
Total from investment operations			2.64				2.82				(4.63	)			(0.75	)			5.77				1.45
Less distributions to shareholders:
From net investment income			(0.13	)			(0.80	)			(0.67	)			(1.10	)			(0.50	)			(0.68	)
From net realized gains			—				—				—				(0.90	)			—				—
Total distributions			(0.13	)			(0.80	)			(0.67	)			(2.00	)			(0.50	)			(0.68	)
Net asset value, end of period		$	22.89			$	20.38			$	18.36			$	23.66			$	26.41			$	21.14
Total Return(b)			12.96	%**			15.57	%			(19.85	)%			(2.47	)%			27.60	%			7.39	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	4,941,255			$	5,072,024			$	7,051,400			$	11,374,017			$	11,926,293			$	7,366,819
Net expenses to average daily net assets(c)			0.59	%*			0.59	%			0.59	%			0.59	%			0.59	%(d)			0.59	%(d)
Net investment income (loss) to average daily net assets(a)			3.78	%*			3.19	%			2.80	%			2.66	%			3.74	%			2.70	%
Portfolio turnover rate			22	%(e)**			27	%(e)			75	%			70	%			48	%			40	%
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	%

^(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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 50% and 31%, respectively, of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

70 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, 2017 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,
					2017				2016				2015				2014				2013								2017				2016				2015				2014				2013
Net asset value, beginning of period		$	25.44			$	23.46			$	30.16			$	35.20			$	28.96			$	27.50			$	25.40			$	23.44			$	30.14			$	35.18			$	28.94			$	27.48
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.55				0.96				0.81				0.92				1.18				0.77				0.51				1.04				0.87				0.96				1.17				0.80
Net realized and unrealized gain (loss)			2.50				2.40				(6.71	)			(2.19	)			6.56				1.62				2.54				2.34				(6.75	)			(2.21	)			6.60				1.60
Total from investment operations			3.05				3.36				(5.90	)			(1.27	)			7.74				2.39				3.05				3.38				(5.88	)			(1.25	)			7.77				2.40
Less distributions to shareholders:
From net investment income			(0.59	)			(1.38	)			(0.80	)			(1.46	)			(1.50	)			(0.93	)			(0.60	)			(1.42	)			(0.82	)			(1.48	)			(1.53	)			(0.94	)
From net realized gains			(0.58	)			—				—				(2.31	)			—				—				(0.58	)			—				—				(2.31	)			—				—
Total distributions			(1.17	)			(1.38	)			(0.80	)			(3.77	)			(1.50	)			(0.93	)			(1.18	)			(1.42	)			(0.82	)			(3.79	)			(1.53	)			(0.94	)
Net asset value, end of period		$	27.32			$	25.44			$	23.46			$	30.16			$	35.20			$	28.96			$	27.27			$	25.40			$	23.44			$	30.14			$	35.18			$	28.94
Total Return(b)			12.13	%**			14.70	%			(19.82	)%			(3.33	)%			27.30	%			8.93	%			12.13	%**			14.79	%			(19.78	)%			(3.28	)%			27.40	%			9.00	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,302			$	39,141			$	459,614			$	592,365			$	598,840			$	621,870			$	72,838			$	146,112			$	641,750			$	1,346,483			$	1,262,615			$	1,394,919
Net expenses to average daily net assets(c)			0.59	%*			0.54	%			0.53	%			0.53	%			0.53	%(d)			0.53	%(d)			0.62	%*			0.48	%			0.47	%			0.47	%			0.47	%(d)			0.47	%(d)
Net investment income (loss) to average daily net assets(a)			4.28	%*			3.84	%			2.90	%			2.80	%			3.70	%			2.87	%			3.84	%*			4.14	%			3.08	%			2.91	%			3.69	%			2.93	%
Portfolio turnover rate			23	%(e)**			26	%(e)			88	%			82	%			54	%			47	%			23	%(e)**			26	%(e)			88	%			82	%			54	%			47	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.29	%*			0.08	%			0.06	%			0.07	%			0.06	%			0.05	%			0.28	%*			0.08	%			0.06	%			0.07	%			0.06	%			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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 51% and 65%, respectively, 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. 71

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL SMALL COMPANIES FUND

	Class III Shares
	Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,
					2017(a)				2016(a)				2015(a)				2014(a)				2013(a)
Net asset value, beginning of period		$	21.53			$	19.77			$	22.95			$	30.69			$	25.02			$	22.32
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.41				0.45				0.45				0.57				0.45				0.54
Net realized and unrealized gain (loss)			2.23				2.33				(3.12	)			(2.19	)			7.11				3.06
Total from investment operations			2.64				2.78				(2.67	)			(1.62	)			7.56				3.60
Less distributions to shareholders:
From net investment income			(0.36	)			(1.02	)			(0.51	)			(0.66	)			(1.35	)			(0.90	)
From net realized gains			(2.41	)			—				—				(5.46	)			(0.54	)			—
Total distributions			(2.77	)			(1.02	)			(0.51	)			(6.12	)			(1.89	)			(0.90	)
Net asset value, end of period		$	21.40			$	21.53			$	19.77			$	22.95			$	30.69			$	25.02
Total Return(c)			12.65	%**			14.35	%			(11.83	)%			(4.87	)%			31.30	%			16.75	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	24,605			$	127,401			$	245,734			$	283,446			$	382,688			$	313,557
Net expenses to average daily net assets(d)			0.61	%*			0.78	%			0.76	%			0.77	%			0.77	%(e)			0.76	%(e)
Net investment income (loss) to average daily net assets(b)			3.67	%*			2.13	%			2.04	%			2.15	%			1.63	%			2.50	%
Portfolio turnover rate			45	%(f)**			159	%(f)			64	%			83	%			79	%			76	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.61	%*			0.21	%			0.18	%			0.17	%			0.15	%			0.17	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.15			$	0.10			$	0.01	(a)		$	0.03	(a)		$	0.02	(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)  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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 167% and 125%, respectively, of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

72 See accompanying notes to the financial statements.

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, 2017 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,
					2017				2016				2015				2014				2013								2017				2016				2015				2014				2013
Net asset value, beginning of period		$	22.05			$	18.99			$	22.98			$	25.08			$	23.81			$	23.41			$	22.08			$	19.01			$	23.01			$	25.10			$	23.83			$	23.42
Income (loss) from investment operations:
Net investment income (loss)†(a)			0.22				0.35				0.38				0.42				0.51				0.47				0.22				0.36				0.39				0.43				0.53				0.49
Net realized and unrealized gain (loss)			2.15				3.44				(1.04	)			2.91				3.70				2.24				2.16				3.45				(1.05	)			2.92				3.70				2.24
Total from investment operations			2.37				3.79				(0.66	)			3.33				4.21				2.71				2.38				3.81				(0.66	)			3.35				4.23				2.73
Less distributions to shareholders:
From net investment income			(0.06	)			(0.35	)			(0.42	)			(0.49	)			(0.53	)			(0.51	)			(0.06	)			(0.36	)			(0.43	)			(0.50	)			(0.55	)			(0.52	)
From net realized gains			(0.19	)			(0.38	)			(2.91	)			(4.94	)			(2.41	)			(1.80	)			(0.19	)			(0.38	)			(2.91	)			(4.94	)			(2.41	)			(1.80	)
Total distributions			(0.25	)			(0.73	)			(3.33	)			(5.43	)			(2.94	)			(2.31	)			(0.25	)			(0.74	)			(3.34	)			(5.44	)			(2.96	)			(2.32	)
Net asset value, end of period		$	24.17			$	22.05			$	18.99			$	22.98			$	25.08			$	23.81			$	24.21			$	22.08			$	19.01			$	23.01			$	25.10			$	23.83
Total Return(b)			10.79	%**			20.25	%			(2.89	)%			14.73	%			18.38	%			12.39	%			10.83	%**			20.33	%			(2.88	)%			14.81	%			18.43	%			12.47	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,461,845			$	3,587,627			$	3,968,156			$	5,336,063			$	5,747,512			$	6,682,281			$	922,590			$	1,222,874			$	1,294,033			$	2,201,876			$	2,134,444			$	2,079,055
Net expenses to average daily net assets(c)			0.48	%*			0.48	%			0.48	%			0.48	%			0.48	%(d)			0.48	%(d)			0.44	%*			0.44	%			0.44	%			0.44	%			0.44	%(d)			0.44	%(d)
Net investment income (loss) to average daily net assets(a)			1.89	%*			1.72	%			1.79	%			1.71	%			2.04	%			2.02	%			1.91	%*			1.76	%			1.83	%			1.77	%			2.07	%			2.09	%
Portfolio turnover rate			6	%(e)**			29	%(e)			37	%			60	%			48	%			34	%			6	%(e)**			29	%(e)			37	%			60	%			48	%			34	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*			0.02	%			0.02	%			0.02	%			0.01	%			0.02	%			0.02	%*			0.02	%			0.02	%			0.02	%			0.01	%			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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 48% and 17%, respectively, 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. 73

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

QUALITY FUND (continued)

	Class V Shares																								Class VI Shares
	Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,
					2017				2016				2015				2014				2013								2017				2016				2015				2014				2013
Net asset value, beginning of period		$	22.08			$	19.01			$	23.01			$	25.10			$	23.82			$	23.42			$	22.05			$	18.99			$	22.99			$	25.09			$	23.82			$	23.41
Income (loss) from investment operations:
Net investment income (loss)†(a)			0.23				0.36				0.39				0.44				0.56				0.48				0.23				0.36				0.40				0.45				0.54				0.49
Net realized and unrealized gain (loss)			2.15				3.46				(1.05	)			2.92				3.68				2.25				2.16				3.46				(1.04	)			2.90				3.70				2.25
Total from investment operations			2.38				3.82				(0.66	)			3.36				4.24				2.73				2.39				3.82				(0.64	)			3.35				4.24				2.74
Less distributions to shareholders:
From net investment income			(0.07	)			(0.37	)			(0.43	)			(0.51	)			(0.55	)			(0.53	)			(0.07	)			(0.38	)			(0.45	)			(0.51	)			(0.56	)			(0.53	)
From net realized gains			(0.19	)			(0.38	)			(2.91	)			(4.94	)			(2.41	)			(1.80	)			(0.19	)			(0.38	)			(2.91	)			(4.94	)			(2.41	)			(1.80	)
Total distributions			(0.26	)			(0.75	)			(3.34	)			(5.45	)			(2.96	)			(2.33	)			(0.26	)			(0.76	)			(3.36	)			(5.45	)			(2.97	)			(2.33	)
Net asset value, end of period		$	24.20			$	22.08			$	19.01			$	23.01			$	25.10			$	23.82			$	24.18			$	22.05			$	18.99			$	22.99			$	25.09			$	23.82
Total Return(b)			10.81	%**			20.39	%			(2.89	)%			14.86	%			18.49	%			12.45	%			10.87	%**			20.39	%			(2.83	)%			14.83	%			18.50	%			12.53	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	230,454			$	462,677			$	277,186			$	267,809			$	653,307			$	455,097			$	3,589,665			$	3,359,025			$	1,732,420			$	2,496,930			$	3,675,950			$	4,140,416
Net expenses to average daily net assets(c)			0.42	%*			0.42	%			0.42	%			0.42	%			0.42	%(d)			0.41	%(d)			0.39	%*			0.39	%			0.39	%			0.39	%			0.39	%(d)			0.38	%(d)
Net investment income (loss) to average daily net assets(a)			2.01	%*			1.72	%			1.85	%			1.81	%			2.22	%			2.05	%			2.00	%*			1.73	%			1.88	%			1.83	%			2.13	%			2.10	%
Portfolio turnover rate			6	%(e)**			29	%(e)			37	%			60	%			48	%			34	%			6	%(e)**			29	%(e)			37	%			60	%			48	%			34	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*			0.02	%			0.02	%			0.02	%			0.01	%			0.02	%			0.02	%*			0.02	%			0.02	%			0.02	%			0.01	%			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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 48% and 17%, respectively, of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

74 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, 2017 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,
					2017				2016				2015				2014				2013								2017				2016				2015				2014(g)
Net asset value, beginning of period		$	17.31			$	11.74			$	16.33			$	21.88			$	21.59			$	22.96			$	17.25			$	11.71			$	16.28			$	21.86			$	21.40
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.24				0.30				0.47				0.87				0.51				0.32				0.25				0.34				0.46				0.75				0.45
Net realized and unrealized gain (loss)			1.21				5.75				(4.67	)			(3.77	)			0.45				(1.25	)(b)			1.20				5.68				(4.63	)			(3.65	)			0.70
Total from investment operations			1.45				6.05				(4.20	)			(2.90	)			0.96				(0.93	)			1.45				6.02				(4.17	)			(2.90	)			1.15
Less distributions to shareholders:
From net investment income			(0.37	)			(0.48	)			(0.39	)			(1.03	)			(0.40	)			(0.20	)			(0.37	)			(0.48	)			(0.40	)			(1.06	)			(0.42	)
From net realized gains			—				—				—				(1.62	)			(0.27	)			(0.24	)			—				—				—				(1.62	)			(0.27	)
Total distributions			(0.37	)			(0.48	)			(0.39	)			(2.65	)			(0.67	)			(0.44	)			(0.37	)			(0.48	)			(0.40	)			(2.68	)			(0.69	)
Net asset value, end of period		$	18.39			$	17.31			$	11.74			$	16.33			$	21.88			$	21.59			$	18.33			$	17.25			$	11.71			$	16.28			$	21.86
Total Return(c)			8.63	%**			51.75	%			(25.76	)%			(12.81	)%			4.54	%			(4.00	)%			8.69	%**			51.72	%			(25.68	)%			(12.82	)%			5.48	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	20,146			$	22,562			$	13,864			$	23,734			$	81,646			$	104,241			$	228,212			$	190,260			$	170,919			$	119,308			$	138,358
Net expenses to average daily net assets(d)			0.77	%*			0.77	%			0.77	%			0.76	%			0.75	%(e)			0.77	%			0.72	%*			0.72	%			0.72	%			0.71	%			0.70	%*(e)
Net investment income (loss) to average daily net assets(a)			2.86	%			1.99	%			3.36	%			4.01	%			2.36	%			1.48	%			2.93	%*			2.26	%			3.31	%			3.58	%			2.23	%*
Portfolio turnover rate			16	%(f)**			29	%(f)			130	%			126	%			40	%			51	%			16	%(f)**			29	%(f)			130	%			126	%			40	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.09	%*			0.10	%			0.10	%			0.08	%			0.10	%			0.73	%			0.09	%*			0.10	%			0.11	%			0.09	%			0.11	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.02			$	0.03			$	0.07			$	0.06			$	0.22			$	0.01			$	0.02			$	0.02			$	0.03			$	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, 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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 40% and 24%, respectively, of the average value of its portfolio.

^(g)  Period from March 20, 2013 (commencement of operations) through February 28, 2014.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 75

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, 2017 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,
					2017(a)				2016(a)				2015(a)				2014(a)				2013(a)(b)								2017(a)				2016(a)				2015(a)				2014(a)				2013(a)(g)
Net asset value, beginning of period		$	29.93			$	26.91			$	29.73			$	31.74			$	31.59			$	30.81			$	30.07			$	27.00			$	29.82			$	31.80			$	31.59			$	30.00
Income (loss) from investment operations:
Net investment income (loss)(c)†			0.03				(0.05	)			(0.12	)			(0.18	)			(0.18	)			(0.03	)			0.04				(0.02	)			(0.12	)			(0.15	)			(0.15	)			(0.03	)
Net realized and unrealized gain (loss)			1.78				5.22				(0.30	)			1.02				2.13				0.81				1.79				5.24				(0.30	)			1.02				2.16				1.62
Total from investment operations			1.81				5.17				(0.42	)			0.84				1.95				0.78				1.83				5.22				(0.42	)			0.87				2.01				1.59
Less distributions to shareholders:
From net realized gains			(2.50	)			(2.15	)			(2.40	)			(2.85	)			(1.80	)			—				(2.50	)			(2.15	)			(2.40	)			(2.85	)			(1.80	)			—
Total distributions			(2.50	)			(2.15	)			(2.40	)			(2.85	)			(1.80	)			—				(2.50	)			(2.15	)			(2.40	)			(2.85	)			(1.80	)			—
Net asset value, end of period		$	29.24			$	29.93			$	26.91			$	29.73			$	31.74			$	31.59			$	29.40			$	30.07			$	27.00			$	29.82			$	31.80			$	31.59
Total Return(d)			6.10	%**			19.50	%			(1.66	)%			3.19	%			6.42	%			2.53	%**			6.14	%**			19.62	%			(1.65	)%			3.29	%			6.61	%			5.30	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,434			$	5,049			$	6,807			$	4,832			$	7,489			$	6,793			$	144,050			$	155,375			$	223,854			$	432,465			$	730,196			$	616,464
Net expenses to average daily net assets			0.60	%*			0.61	%			0.60	%			0.61	%(e)			0.60	%(e)(f)			0.60	%(e)(f)*			0.51	%*			0.51	%			0.51	%			0.51	%(e)			0.51	%(e)(f)			0.51	%(e)(f)*
Net investment income (loss) to average daily net assets(c)			0.17	%*			(0.16	)%			(0.45	)%			(0.58	)%			(0.57	)%			(0.56	)%*			0.27	%*			(0.07	)%			(0.37	)%			(0.49	)%			(0.48	)%			(0.46	)%*
Portfolio turnover rate			0	%**			0	%			0	%			112	%			0	%			0	%**			0	%**			0	%			0	%			112	%			0	%			0	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.09	%*			0.06	%			0.05	%			0.04	%			0.05	%			0.08	%*			0.09	%*			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			$	0.02	(a)		$	0.08	(a)		$	0.14	(a)		$	0.01	(a)		$	0.02	(a)		$	0.01			$	0.02	(a)		$	0.07	(a)		$	0.13	(a)		$	0.01	(a)		$	0.06	(a)

^(a)  Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

^(b)  Period from December 14, 2012 (commencement of operations) through February 28, 2013.

^(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 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)  Period from November 15, 2012 (commencement of operations) through February 28, 2013.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

76 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, 2017 (Unaudited)			Year Ended February 28/29,
				2017			2016			2015			2014			2013
Net asset value, beginning of period	$	14.28		$	12.92		$	16.80		$	18.03		$	14.56		$	13.80
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.28			0.41			0.40			0.47			0.57			0.39
Net realized and unrealized gain (loss)		1.85			1.50			(3.82	)		(1.05	)		3.37			0.83
Total from investment operations		2.13			1.91			(3.42	)		(0.58	)		3.94			1.22
Less distributions to shareholders:
From net investment income		(0.10	)		(0.55	)		(0.46	)		(0.65	)		(0.47	)		(0.46	)
Total distributions		(0.10	)		(0.55	)		(0.46	)		(0.65	)		(0.47	)		(0.46	)
Net asset value, end of period	$	16.31		$	14.28		$	12.92		$	16.80		$	18.03		$	14.56
Total Return(b)		14.96	%**		15.05	%		(20.63	)%		(3.10	)%		27.37	%		8.99	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	107,735		$	115,733		$	215,977		$	427,048		$	485,665		$	479,005
Net expenses to average daily net assets(c)		0.68	%*		0.68	%		0.66	%		0.66	%		0.66	%		0.67	%(d)
Net investment income (loss) to average daily net assets(a)		3.60	%*		2.95	%		2.59	%		2.71	%		3.54	%		2.83	%
Portfolio turnover rate		31	%(e)**		47	%(e)		79	%		69	%		49	%		54	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.27	%*		0.23	%		0.14	%		0.12	%		0.10	%		0.12	%

^(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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 54% and 39%, respectively, 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. 77

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, 2017 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,
					2017				2016				2015				2014				2013								2017				2016				2015				2014				2013
Net asset value, beginning of period		$	15.14			$	13.79			$	16.61			$	17.27			$	14.51			$	13.06			$	15.16			$	13.76			$	16.58			$	17.24			$	14.48			$	13.04
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.15				0.27				0.24				0.28				0.28				0.26				0.17				0.25				0.25				0.29				0.29				0.27
Net realized and unrealized gain (loss)			0.25				2.89				(1.20	)			1.66				2.77				1.47				0.22				2.92				(1.20	)			1.66				2.77				1.46
Total from investment operations			0.40				3.16				(0.96	)			1.94				3.05				1.73				0.39				3.17				(0.95	)			1.95				3.06				1.73
Less distributions to shareholders:
From net investment income			(0.03	)			(0.34	)			(0.26	)			(0.31	)			(0.29	)			(0.28	)			(0.04	)			(0.30	)			(0.27	)			(0.32	)			(0.30	)			(0.29	)
From net realized gains			(0.67	)			(1.47	)			(1.60	)			(2.29	)			—				—				(0.67	)			(1.47	)			(1.60	)			(2.29	)			—				—
Total distributions			(0.70	)			(1.81	)			(1.86	)			(2.60	)			(0.29	)			(0.28	)			(0.71	)			(1.77	)			(1.87	)			(2.61	)			(0.30	)			(0.29	)
Net asset value, end of period		$	14.84			$	15.14			$	13.79			$	16.61			$	17.27			$	14.51			$	14.84			$	15.16			$	13.76			$	16.58			$	17.24			$	14.48
Total Return(b)			2.72	%**			23.59	%			(6.17	)%			12.18	%			21.11	%			13.40	%			2.65	%**			23.69	%			(6.10	)%			12.27	%			21.21	%			13.40	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	56,428			$	109,726			$	194,615			$	286,934			$	488,982			$	188,363			$	41,288			$	16,707			$	513,751			$	431,841			$	288,782			$	44,849
Net expenses to average daily net assets(d)			0.46	%*			0.46	%			0.46	%			0.46	%			0.46	%(c)			0.46	%(c)			0.41	%*			0.41	%			0.41	%			0.41	%			0.41	%(c)			0.41	%(c)
Net investment income (loss) to average daily net assets(a)			1.99	%*			1.80	%			1.57	%			1.59	%			1.71	%			1.95	%			2.26	%*			1.73	%			1.65	%			1.63	%			1.75	%			2.01	%
Portfolio turnover rate			34	%(e)**			66	%(e)			89	%			67	%			74	%			79	%			34	%(e)**			66	%(e)			89	%			67	%			74	%			79	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*			0.02	%			0.02	%			0.02	%			0.02	%			0.02	%			0.02	%*			0.02	%			0.02	%			0.02	%			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)  The net expense ratio does not include the effect of expense reductions (Note 2).

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

^(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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 91% and 41%, respectively, of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

78 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. EQUITY ALLOCATION FUND (continued)

	Class V Shares
	Six Months Ended August 31, 2017 (Unaudited)				Period from August 9, 2016 through February 28, 2017				Period from March 1, 2014 through July 30,  2014(b)				Period from January 21, 2014 (commencement of operations) through February 28, 2014
Net asset value, beginning of period		$	15.09			$	14.95			$	17.24			$	17.17
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.16				0.16				0.12				0.04
Net realized and unrealized gain (loss)			0.24				1.50				0.90				0.03
Total from investment operations			0.40				1.66				1.02				0.07
Less distributions to shareholders:
From net investment income			(0.04	)			(0.19	)			(0.04	)			—
From net realized gains			(0.67	)			(1.33	)			(0.43	)			—
Total distributions			(0.71	)			(1.52	)			(0.47	)			—
Net asset value, end of period		$	14.78			$	15.09			$	17.79			$	17.24
Total Return(c)			2.71	%**			11.37	%**			5.88	%**			0.39	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	125,472			$	164,652			$	220,333			$	259,581
Net expenses to average daily net assets(d)			0.40	%*			0.40	%*			0.40	%*			0.40	%(e)*
Net investment income (loss) to average daily net assets(a)			2.15	%*			1.93	%*			1.69	%*			1.97	%*
Portfolio turnover rate			34	%(f)**			66	%(f)**			34	%††**(g)			74	%**
Fees and expenses reimbursed and/ or waived by GMO to average daily net assets:			0.02	%*			0.02	%*			0.02	%*			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 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)  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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 91% and 41%, respectively, of the average value of its portfolio.

^(g)  Calculation represents portfolio turnover of the fund for the period ended July 30, 2014.

† Calculated using average shares outstanding throughout the period.

†† Calculation represents portfolio turnover of the Fund for the year ended February 28, 2005.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 79

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. EQUITY ALLOCATION FUND (continued)

	Class VI Shares
	Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,
					2017				2016				2015				2014				2013
Net asset value, beginning of period		$	15.06			$	13.73			$	16.54			$	17.21			$	14.47			$	13.02
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.16				0.27				0.26				0.30				0.30				0.28
Net realized and unrealized gain (loss)			0.24				2.89				(1.19	)			1.65				2.74				1.46
Total from investment operations			0.40				3.16				(0.93	)			1.95				3.04				1.74
Less distributions to shareholders:
From net investment income			(0.04	)			(0.36	)			(0.28	)			(0.33	)			(0.30	)			(0.29	)
From net realized gains			(0.67	)			(1.47	)			(1.60	)			(2.29	)			—				—
Total distributions			(0.71	)			(1.83	)			(1.88	)			(2.62	)			(0.30	)			(0.29	)
Net asset value, end of period		$	14.75			$	15.06			$	13.73			$	16.54			$	17.21			$	14.47
Total Return(b)			2.73	%**			23.68	%			(6.02	)%			12.28	%			21.14	%			13.56	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,301,475			$	1,469,935			$	3,838,628			$	6,031,361			$	7,082,304			$	1,249,117
Net expenses to average daily net assets(d)			0.37	%*			0.37	%			0.37	%			0.37	%			0.37	%(c)			0.37	%(c)
Net investment income (loss) to average daily net assets(a)			2.18	%*			1.87	%			1.68	%			1.70	%			1.85	%			2.08	%
Portfolio turnover rate			34	%(e)**			66	%(e)			89	%			67	%			74	%			79	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*			0.02	%			0.02	%			0.02	%			0.02	%			0.02	%

^(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) The net expense ratio does not include the effect of expense reductions (Note 2).

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

^(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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 91% and 41%, respectively, of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

80 See accompanying notes to the financial statements.

GMO Trust Funds

Notes to Financial Statements

August 31, 2017 (Unaudited)

1. Organization

Each of Climate Change Fund (commenced operations on April 5, 2017), Foreign Small Companies Fund, International Equity Fund, International Large/Mid Cap Equity Fund, International Small Companies 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 financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the Security and Exchange Commission’s website at www.sec.gov or on GMO’s website at www.gmo.com.

The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):

Fund Name	Benchmark	Investment Objective
Climate Change Fund	MSCI ACWI (All Country World Index)	High total return
Foreign Small Companies Fund	S&P Developed ex-U.S. Small Cap Index	Total return in excess of benchmark
International Equity Fund	Not Applicable	High total return
International Large/Mid Cap Equity Fund	Not Applicable	High total return
International Small Companies Fund	S&P Developed ex-U.S. Small Cap Index	Total return in excess of benchmark
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	High after-tax total return
U.S. Equity Allocation Fund	Not Applicable	High total return

International Large/Mid Cap Equity Fund, International Small Companies Fund and Risk Premium Fund currently limit 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

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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, 2017, 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, if any, that were valued using fair value inputs obtained from that independent pricing service as of August 31, 2017. 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, 2017 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)
Climate Change Fund		—			58%
Foreign Small Companies Fund		—			88%
International Equity Fund		< 1%			98%
International Large/Mid Cap Equity Fund		< 1%			97%
International Small Companies Fund		0%	§		89%
Quality Fund		—			12%
Resources Fund		—			76%
Risk Premium Fund		—			(<1%	)
Tax-Managed International Equities Fund		< 1%			96%
U.S. Equity Allocation Fund		—			—

§ Represents the interest in securities that were determined to have a value of zero at August 31, 2017.

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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, 2017, 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, 2017:

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	123,704	$	—	$	—	$	123,704
Australia		—		172,707		12,516		185,223
Austria		—		46,404		—		46,404
Canada		747,037		—		—		747,037
China		283,699		677,686		—		961,385
Denmark		—		328,735		—		328,735

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Description	Level 1		Level 2		Level 3		Total
Climate Change Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Finland	$	—	$	178,557	$	—	$	178,557
France		—		1,854,508		—		1,854,508
Germany		—		453,328		—		453,328
Hong Kong		—		14,329		—		14,329
Israel		—		69,037		—		69,037
Italy		—		275,520		—		275,520
Japan		—		806,338		—		806,338
Kenya		—		32,550		—		32,550
Netherlands		—		245,466		—		245,466
Norway		—		520,704		—		520,704
Poland		—		281,696		—		281,696
Portugal		—		200,072		—		200,072
Russia		—		475,646		—		475,646
South Africa		—		52,106		—		52,106
South Korea		—		134,456		—		134,456
Spain		—		339,701		—		339,701
Switzerland		—		312,348		—		312,348
Taiwan		—		79,690		—		79,690
Ukraine		—		50,554		—		50,554
United Kingdom		—		622,291		—		622,291
United States		3,649,163		—		—		3,649,163
TOTAL COMMON STOCKS		4,803,603		8,224,429		12,516		13,040,548
Preferred Stocks
Chile		657,020		—		—		657,020
TOTAL PREFERRED STOCKS		657,020		—		—		657,020
Mutual Funds
United States		578,701		—		—		578,701
TOTAL MUTUAL FUNDS		578,701		—		—		578,701
Short-Term Investments		28,198		—		—		28,198
Total Investments		6,067,522		8,224,429		12,516		14,304,467
Total	$	6,067,522	$	8,224,429	$	12,516	$	14,304,467
Foreign Small Companies Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	1,359,187	$	—	$	—	$	1,359,187
Australia		—		8,505,154		—		8,505,154
Austria		—		1,087,831		—		1,087,831
Belgium		—		1,916,364		—		1,916,364
Canada		23,939,447		—		—		23,939,447
China		—		6,694,129		—		6,694,129
Colombia		1,124,504		—		—		1,124,504
Denmark		—		2,465,647		—		2,465,647
Finland		—		1,749,027		—		1,749,027
France		—		32,868,050		—		32,868,050
Germany		—		22,109,440		282,525		22,391,965
Greece		—		374,527		—		374,527
Hong Kong		—		3,496,110		—		3,496,110

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Description	Level 1		Level 2		Level 3		Total
Foreign Small Companies Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
India	$	—	$	5,628,760	$	—	$	5,628,760
Indonesia		—		678,666		—		678,666
Israel		—		4,009,163		—		4,009,163
Italy		—		8,146,308		—		8,146,308
Japan		—		75,332,973		—		75,332,973
Luxembourg		1,066,400		—		—		1,066,400
Malaysia		—		691,492		—		691,492
Mexico		1,546,200		—		—		1,546,200
Netherlands		—		3,317,072		—		3,317,072
Norway		—		1,359,555		—		1,359,555
Poland		—		738,129		—		738,129
Portugal		—		503,983		—		503,983
Singapore		—		5,628,357		—		5,628,357
South Africa		—		2,635,168		—		2,635,168
South Korea		—		7,842,794		—		7,842,794
Sweden		—		4,953,740		—		4,953,740
Switzerland		—		17,452,862		—		17,452,862
Taiwan		—		5,936,762		—		5,936,762
United Kingdom		—		33,769,818		—		33,769,818
United States		799,758		—		—		799,758
TOTAL COMMON STOCKS		29,835,496		259,891,881		282,525		290,009,902
Preferred Stocks
Brazil		—		1,706,532		—		1,706,532
Germany		—		3,157,111		—		3,157,111
TOTAL PREFERRED STOCKS		—		4,863,643		—		4,863,643
Mutual Funds
United States		1,507,719		—		—		1,507,719
TOTAL MUTUAL FUNDS		1,507,719		—		—		1,507,719
Short-Term Investments		5,315,753		—		—		5,315,753
Total Investments		36,658,968		264,755,524		282,525		301,697,017
Derivatives^
Futures Contracts
Equity Risk		15,927		—		—		15,927
Total	$	36,674,895	$	264,755,524	$	282,525	$	301,712,944
International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	221,624,548	$	—	$	221,624,548
Austria		—		77,491,381		—		77,491,381
Belgium		—		11,091,835		—		11,091,835
Denmark		—		28,697,086		—		28,697,086
Finland		—		61,128,884		—		61,128,884
France		39,191,168		646,823,344		—		686,014,512
Germany		—		591,366,742		—		591,366,742
Hong Kong		—		279,113,216		—		279,113,216
Ireland		—		4,245,015		—		4,245,015
Israel		—		15,854,080		—		15,854,080

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Description	Level 1		Level 2		Level 3		Total
International Equity Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Italy	$	37,564,764	$	135,997,670	$	—	$	173,562,434
Japan		—		1,436,125,856		—		1,436,125,856
Malta		—		—		270,208		270,208
Netherlands		1,483,690		151,348,930		—		152,832,620
New Zealand		—		2,356,246		—		2,356,246
Norway		—		128,270,977		—		128,270,977
Portugal		—		10,669,367		—		10,669,367
Singapore		—		13,191,208		—		13,191,208
Spain		—		235,005,152		—		235,005,152
Sweden		—		132,926,869		—		132,926,869
Switzerland		—		277,049,755		—		277,049,755
United Kingdom		—		752,662,059		—		752,662,059
TOTAL COMMON STOCKS		78,239,622		5,213,040,220		270,208		5,291,550,050
Preferred Stocks
Germany		—		64,787,300		—		64,787,300
TOTAL PREFERRED STOCKS		—		64,787,300		—		64,787,300
Mutual Funds
United States		5,112,603		—		—		5,112,603
TOTAL MUTUAL FUNDS		5,112,603		—		—		5,112,603
Short-Term Investments		4,277,229		—		—		4,277,229
Total Investments		87,629,454		5,277,827,520		270,208		5,365,727,182
Total	$	87,629,454	$	5,277,827,520	$	270,208	$	5,365,727,182
International Large/Mid Cap Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	2,704,979	$	—	$	2,704,979
Austria		—		2,206,172		—		2,206,172
Belgium		—		53,751		—		53,751
Denmark		—		1,218,730		—		1,218,730
Finland		—		1,412,179		—		1,412,179
France		—		9,833,941		—		9,833,941
Germany		—		7,115,049		—		7,115,049
Hong Kong		—		4,928,269		—		4,928,269
Israel		17,531		—		—		17,531
Italy		288,983		451,751		—		740,734
Japan		—		20,024,544		—		20,024,544
Malta		—		—		270,448		270,448
Netherlands		—		1,773,107		—		1,773,107
New Zealand		—		405,469		—		405,469
Norway		—		293,413		—		293,413
Portugal		—		7,314		—		7,314
Singapore		—		76,399		—		76,399
Spain		—		1,744,387		—		1,744,387
Sweden		—		1,744,966		—		1,744,966
Switzerland		—		3,805,377		—		3,805,377
United Kingdom		20,115		12,364,995		—		12,385,110
TOTAL COMMON STOCKS		326,629		72,164,792		270,448		72,761,869

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Description	Level 1		Level 2		Level 3			Total
International Large/Mid Cap Equity Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks
Germany	$	—	$	1,706,032	$	—		$	1,706,032
TOTAL PREFERRED STOCKS		—		1,706,032		—			1,706,032
Mutual Funds
United States		1,396,970		—		—			1,396,970
TOTAL MUTUAL FUNDS		1,396,970		—		—			1,396,970
Short-Term Investments		309,570		—		—			309,570
Total Investments		2,033,169		73,870,824		270,448			76,174,441
Total	$	2,033,169	$	73,870,824	$	270,448		$	76,174,441
International Small Companies Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	696,687	$	—		$	696,687
Austria		—		282,970		—			282,970
Belgium		—		107,824		—			107,824
Canada		2,069,561		—		—			2,069,561
China		—		546,055		0	§		546,055
Colombia		85,458		—		—			85,458
Denmark		—		174,814		—			174,814
Finland		—		153,579		—			153,579
France		—		2,288,588		—			2,288,588
Germany		—		1,466,368		43,584			1,509,952
Hong Kong		—		248,941		—			248,941
India		—		440,481		—			440,481
Indonesia		—		78,096		—			78,096
Israel		—		275,220		—			275,220
Italy		—		806,414		—			806,414
Japan		—		6,219,505		—			6,219,505
Luxembourg		98,900		—		—			98,900
Malaysia		—		84,687		—			84,687
Mexico		167,786		—		—			167,786
Netherlands		—		267,700		—			267,700
Norway		—		145,322		—			145,322
Portugal		—		42,299		—			42,299
Singapore		—		677,902		—			677,902
South Africa		—		262,759		—			262,759
South Korea		—		531,135		—			531,135
Sweden		—		391,575		—			391,575
Switzerland		—		1,812,859		—			1,812,859
Taiwan		—		488,320		—			488,320
United Kingdom		—		2,802,785		—			2,802,785
United States		73,476		—		—			73,476
TOTAL COMMON STOCKS		2,495,181		21,292,885		43,584			23,831,650
Preferred Stocks
Brazil		—		97,095		—			97,095
Germany		—		360,503		—			360,503
TOTAL PREFERRED STOCKS		—		457,598		—			457,598

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Description	Level 1		Level 2		Level 3		Total
International Small Companies Fund (continued)
Asset Valuation Inputs (continued)
Investment Funds
Thailand	$	—	$	2,476	$	—	$	2,476
TOTAL INVESTMENT FUNDS		—		2,476		—		2,476
Mutual Funds
United States		5,570		—		—		5,570
TOTAL MUTUAL FUNDS		5,570		—		—		5,570
Short-Term Investments		456,869		—		—		456,869
Total Investments		2,957,620		21,752,959		43,584		24,754,163
Total	$	2,957,620	$	21,752,959	$	43,584	$	24,754,163
Quality Fund
Asset Valuation Inputs
Common Stocks
France	$	—	$	60,840,884	$	—	$	60,840,884
Germany		—		57,364,137		—		57,364,137
Netherlands		—		365,183		—		365,183
Switzerland		—		237,636,877		—		237,636,877
Taiwan		—		148,992,265		—		148,992,265
United Kingdom		—		515,918,114		—		515,918,114
United States		6,954,742,707		—		—		6,954,742,707
TOTAL COMMON STOCKS		6,954,742,707		1,021,117,460		—		7,975,860,167
Mutual Funds
United States		220,836,327		—		—		220,836,327
TOTAL MUTUAL FUNDS		220,836,327		—		—		220,836,327
Short-Term Investments		2,872,061		—		—		2,872,061
Total Investments		7,178,451,095		1,021,117,460		—		8,199,568,555
Total	$	7,178,451,095	$	1,021,117,460	$	—	$	8,199,568,555
Resources Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	2,884,780	$	—	$	—	$	2,884,780
Australia		—		6,008,816		—		6,008,816
Austria		—		2,710,798		—		2,710,798
Brazil		—		2,122,754		—		2,122,754
Canada		5,554,080		—		—		5,554,080
Chile		—		433,845		—		433,845
China		—		1,095,287		—		1,095,287
Colombia		1,022,886		—		—		1,022,886
France		—		4,478,809		—		4,478,809
Germany		—		4,844,435		—		4,844,435
Hungary		—		1,792,520		—		1,792,520
India		—		1,215,943		—		1,215,943
Indonesia		—		26,481		—		26,481
Israel		—		4,503,669		—		4,503,669
Italy		—		3,304,584		—		3,304,584
Japan		—		8,299,787		—		8,299,787
Kazakhstan		—		82,461		—		82,461
Netherlands		—		299,327		—		299,327
Norway		—		18,909,796		—		18,909,796
Poland		—		6,427,333		—		6,427,333

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Description	Level 1			Level 2			Level 3		Total
Resources Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Qatar	$	—		$	327,662		$	—	$	327,662
Russia		—			25,552,271			—		25,552,271
Singapore		—			—			534,924		534,924
South Africa		—			3,618,632			—		3,618,632
Spain		—			6,079,644			—		6,079,644
Sweden		—			2,340,615			—		2,340,615
Thailand		—			4,314,686			—		4,314,686
Ukraine		—			2,743,282			—		2,743,282
United Kingdom		—			58,299,708			—		58,299,708
United States		30,412,521			—			—		30,412,521
TOTAL COMMON STOCKS		39,874,267			169,833,145			534,924		210,242,336
Preferred Stocks
Brazil		—			13,348,409			—		13,348,409
Chile		14,167,135			—			—		14,167,135
Russia		—			4,763,199			—		4,763,199
TOTAL PREFERRED STOCKS		14,167,135			18,111,608			—		32,278,743
Mutual Funds
United States		4,717,048			—			—		4,717,048
TOTAL MUTUAL FUNDS		4,717,048			—			—		4,717,048
Short-Term Investments		391,438			—			—		391,438
Total Investments		59,149,888			187,944,753			534,924		247,629,565
Total	$	59,149,888		$	187,944,753		$	534,924	$	247,629,565
Risk Premium Fund
Asset Valuation Inputs
Short-Term Investments	$	138,597,887		$	—		$	—	$	138,597,887
Total Investments		138,597,887			—			—		138,597,887
Total	$	138,597,887		$	—		$	—	$	138,597,887
Liability Valuation Inputs
Derivatives^
Written Options
Equity Risk	$	(7,140	)	$	(981,213	)	$	—	$	(988,353	)
Tax-Managed International Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	3,826,570		$	—	$	3,826,570
Austria		—			1,324,775			—		1,324,775
Belgium		—			239,259			—		239,259
Brazil		42,903			246,957			—		289,860
China		316,890			3,143,671			—		3,460,561
Colombia		24,867			—			—		24,867
Denmark		—			583,064			—		583,064
Finland		—			895,805			—		895,805
France		313,920			12,587,553			—		12,901,473
Germany		—			10,766,236			—		10,766,236
Greece		—			5,711			—		5,711
Hong Kong		—			2,765,007			—		2,765,007
Hungary		—			166,291			—		166,291

89

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Tax-Managed International Equities Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
India	$	—	$	1,011,239	$	—	$	1,011,239
Indonesia		—		6,276		—		6,276
Ireland		—		270,088		—		270,088
Israel		30,115		66,479		—		96,594
Italy		606,713		4,435,327		—		5,042,040
Japan		—		25,431,514		—		25,431,514
Malta		—		—		29,043		29,043
Mexico		350,151		—		—		350,151
Netherlands		—		2,413,741		—		2,413,741
New Zealand		—		192,548		—		192,548
Norway		—		1,240,342		—		1,240,342
Peru		40,568		—		—		40,568
Poland		—		231,185		—		231,185
Portugal		—		251,746		—		251,746
Russia		—		15,941		—		15,941
Singapore		—		744,626		—		744,626
South Africa		—		715,607		—		715,607
South Korea		—		1,482,809		—		1,482,809
Spain		—		2,896,771		—		2,896,771
Sweden		—		3,612,471		—		3,612,471
Switzerland		—		4,932,751		—		4,932,751
Taiwan		177,456		911,626		—		1,089,082
Thailand		—		288,564		—		288,564
Turkey		—		435,587		—		435,587
United Kingdom		265,518		13,462,514		—		13,728,032
TOTAL COMMON STOCKS		2,169,101		101,600,651		29,043		103,798,795
Preferred Stocks
Brazil		—		726,286		—		726,286
Germany		—		1,124,956		—		1,124,956
South Korea		—		334,199		—		334,199
TOTAL PREFERRED STOCKS		—		2,185,441		—		2,185,441
Mutual Funds
United States		687,292		—		—		687,292
TOTAL MUTUAL FUNDS		687,292		—		—		687,292
Short-Term Investments		880,106		—		—		880,106
Total Investments		3,736,499		103,786,092		29,043		107,551,634
Total	$	3,736,499	$	103,786,092	$	29,043	$	107,551,634
U.S. Equity Allocation Fund
Asset Valuation Inputs
Common Stocks	$	1,512,988,293	$	—	$	—	$	1,512,988,293
Mutual Funds		10,334,042		—		—		10,334,042
Short-Term Investments		3,792,068		—		—		3,792,068
Total Investments		1,527,114,403		—		—		1,527,114,403
Derivatives^
Futures Contracts
Equity Risk		37,341		—		—		37,341
Total	$	1,527,151,744	$	—	$	—	$	1,527,151,744

90

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

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, 2017.

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, 2017, 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 28, 2017		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, 2017		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August  31, 2017
Climate Change Fund
Common Stocks
Australia	$	—	$	46,107	$	—	$	—	$	—	$	(33,591	)	$	—		$	—	$	12,516	$	(33,591	)
Total	$	—	$	46,107	$	—	$	—	$	—	$	(33,591	)	$	—		$	—	$	12,516	$	(33,591	)
Foreign Small Companies Fund
Common Stocks
Germany	$	—	$	226,692	$	—	$	—	$	—	$	55,833		$	—		$	—	$	282,525	$	55,833
Total	$	—	$	226,692	$	—	$	—	$	—	$	55,833		$	—		$	—	$	282,525	$	55,833
International Equity Fund
Common Stocks
Malta	$	248,929	$	—	$	—	$	—	$	—	$	21,279		$	—		$	—	$	270,208	$	21,279
Total	$	248,929	$	—	$	—	$	—	$	—	$	21,279		$	—		$	—	$	270,208	$	21,279
International Large/Mid Cap Equity Fund
Common Stocks
Malta	$	249,150	$	—	$	—	$	—	$	—	$	21,298		$	—		$	—	$	270,448	$	21,298
Total	$	249,150	$	—	$	—	$	—	$	—	$	21,298		$	—		$	—	$	270,448	$	21,298
International Small Companies Fund
Common Stocks
Germany	$	—	$	36,091	$	—	$	—	$	—	$	7,493		$	—		$	—	$	43,584	$	7,493
Total	$	—	$	36,091	$	—	$	—	$	—	$	7,493		$	—		$	—	$	43,584	$	7,493
Resources Fund
Common Stocks
Singapore	$	—	$	—	$	—	$	—	$	—	$	—		$	534,924	‡	$	—	$	534,924	$	—
Total	$	—	$	—	$	—	$	—	$	—	$	—		$	534,924		$	—	$	534,924	$	—

91

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

	Balances as of February 28, 2017		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, 2017		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August  31, 2017
Tax-Managed International Equities Fund
Common Stocks
Malta	$	26,756	$	—	$	—	$	—	$	—	$	2,287		$	—	$	—	$	29,043	$	2,287
Total	$	26,756	$	—	$	—	$	—	$	—	$	2,287		$	—	$	—	$	29,043	$	2,287
Rights/Warrants
Brazil	$	990	$	—	$	0	$	—	$	—	$	(990	)	$	—	$	—	$	—	$	—
Total	$	27,746	$	—	$	0	$	—	$	—	$	1,297		$	—	$	—	$	29,043	$	2,287

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

‡ Financial assets transferred between Level 2 and Level 3 were due to a change in observable and/or unobservable inputs.

The net aggregate direct and 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, 2017 were as follows:

Fund Name	Level 3 securities and derivatives
Climate Change Fund		< 1%
Foreign Small Companies Fund		—
International Equity Fund		< 1%
International Large/Mid Cap Equity Fund		< 1%
International Small Companies Fund		< 1%
Quality Fund		—
Resources Fund		< 1%
Risk Premium Fund		—
Tax-Managed International Equities Fund		< 1%
U.S. Equity Allocation 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 marked-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.

92

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

Taxes and distributions

Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (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, 2017, 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 certain countries. 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 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.

93

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

As of February 28, 2017, certain Funds elected to defer to March 1, 2017 late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:

Fund Name	Late-Year Ordinary Loss Deferral ($)		Post- October Capital Losses ($)
Climate Change Fund		—		—
Foreign Small Companies Fund		(96,018)		—
International Equity Fund		—		(32,350,802)
International Large/Mid Cap Equity Fund		—		—
International Small Companies Fund		—		(36,711)
Quality Fund		(207,477)		—
Resources Fund		—		—
Risk Premium Fund		(8,343)		—
Tax-Managed International Equities Fund		—		(474,875)
U.S. Equity Allocation Fund		—		—

As of February 28, 2017, 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 28, 2017, 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		No Expiration Date		Total Short- Term ($)		No Expiration Date
Climate Change Fund		—		—		—		—
Foreign Small Companies Fund		—		(7,421,251)		(7,421,251)		—
International Equity Fund		—		(707,861,813)		(707,861,813)		(665,050,816)
International Large/Mid Cap Equity Fund		—		—		—		(208,414)
International Small Companies Fund		—		(12,770,746)		(12,770,746)		(5,740,995)
Quality Fund		—		—		—		—
Resources Fund		—		(24,234,257)		(24,234,257)		(33,514,896)
Risk Premium Fund		—		—		—		—
Tax-Managed International Equities Fund		(10,176,681)		(29,627,844)		(39,804,525)		—
U.S. Equity Allocation Fund		(36,676,027)		—		(36,676,027)		—

94

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

As of August 31, 2017, the approximate cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments for U.S. federal income tax purposes were as follows:

	Total Investments								Outstanding Financial Instruments
Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Climate Change Fund		12,739,652		1,852,280		(287,465)		1,564,815		—
Foreign Small Companies Fund		280,892,258		24,936,277		(4,131,518)		20,804,759		15,927
International Equity Fund		4,791,192,645		754,371,925		(179,837,388)		574,534,537		—
International Large/Mid Cap Equity Fund		68,154,540		9,808,196		(1,788,295)		8,019,901		—
International Small Companies Fund		23,716,019		1,720,215		(682,071)		1,038,144		—
Quality Fund		6,062,080,306		2,258,289,350		(120,801,101)		2,137,488,249		—
Resources Fund		194,945,441		66,588,749		(13,904,625)		52,684,124		—
Risk Premium Fund		138,657,032		1,765		(60,910)		(59,145)		(988,353)
Tax-Managed International Equities Fund		79,360,908		28,778,898		(588,172)		28,190,726		—
U.S. Equity Allocation Fund		1,374,790,010		177,464,227		(25,139,834)		152,324,393		37,341

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 tax legislation/initiatives 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

95

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

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 Climate Change Fund, Quality Fund, U.S. Equity Allocation Fund and Risk Premium Fund. For Climate Change Fund, 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 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 an investor’s 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 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 for 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 also may reduce the purchase premium to the extent that securities are used to purchase a Fund’s shares (taking into account transaction costs, stamp duties or transfer fees). GMO may reduce redemption fees to the extent a Fund uses portfolio securities to redeem its shares (taking into account transaction costs, stamp duties or transfer fees).

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.

96

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

As of August 31, 2017, the premium on cash purchases and the fee on cash redemptions were as follows:

	Climate Change Fund	Foreign Small Companies Fund	International Equity Fund	International Large/Mid Cap Equity Fund	International Small Companies Fund	Quality Fund	Resources Fund	Risk Premium Fund	Tax-Managed International Equities Fund	U.S. Equity Allocation Fund
Purchase Premium	—	0.50%	—	—	0.50%	—	0.30%	0.15%	—	—
Redemption Fee	—	0.50%	—	—	0.50%	—	0.30%	0.15%	—	—

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.

	Climate Change Fund	Foreign Small Companies Fund	International Equity Fund	International Large/Mid Cap Equity Fund	International Small Companies Fund	Quality Fund	Resources Fund	Risk Premium Fund	Tax-Managed International Equities Fund	U.S. Equity Allocation Fund
Commodities Risk	X						X
Counterparty Risk	X	X	X	X	X	X	X	X	X	X
Credit Risk								X
Currency Risk	X	X	X	X	X	X	X	X	X
Derivatives and Short Sales Risk	X	X	X	X	X	X	X	X	X	X
Focused Investment Risk	X	X	X	X	X	X	X	X	X	X
Illiquidity Risk	X	X	X	X	X	X	X	X	X	X
Large Shareholder Risk	X	X	X	X	X	X	X	X	X	X
Leveraging Risk	X	X	X	X	X	X	X		X	X
Management and Operational Risk	X	X	X	X	X	X	X	X	X	X
Market Disruption and Geopolitical Risk	X	X	X	X	X	X	X	X	X	X
Market Risk – Equities	X	X	X	X	X	X	X	X	X	X
Market Risk – Fixed Income								X

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	Climate Change Fund	Foreign Small Companies Fund	International Equity Fund	International Large/Mid Cap Equity Fund	International Small Companies Fund	Quality Fund	Resources Fund	Risk Premium Fund	Tax-Managed International Equities Fund	U.S. Equity Allocation Fund
Merger Arbitrage Risk	X						X
Non-Diversified Funds	X					X	X	X	X
Non-U.S. Investment Risk	X	X	X	X	X	X	X	X	X
Small Company Risk	X	X	X		X	X	X	X	X	X

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.

• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise be forced to hold investments it would prefer to sell, resulting in losses for the Fund. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws 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 in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms

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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 that a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty 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). Counterparty risk also will be greater if a counterparty’s obligations exceed the value of collateral held by the Fund (if any).

The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds. Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations or realization on collateral, could be stayed or eliminated under new special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, in the European Union, governmental authorities could reduce, eliminate, or convert to equity the liabilities to the Funds of a counterparty experiencing financial difficulties (sometimes referred to as a “bail in”).

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

All fixed income investments are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending upon whether the issuer is a corporation, a government or government entity, whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the term of a fixed income investment. U.S. government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the United States, supported by the ability to borrow from the U.S. Treasury, supported only by the credit of the issuing U.S. government agency, instrumentality, or corporation, or otherwise supported by the United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government

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securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign or quasi-sovereign debt involve the risk that the governmental entities responsible for repayment may be unable or unwilling to pay interest and repay principal when due. A governmental entity’s ability and willingness to pay interest and repay principal in a timely manner may be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer may default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging countries.

In many cases, the credit risk and market price of a fixed income investment are reflected in its credit ratings, and a Fund holding a rated investment is subject to the risk that the investment’s rating will be downgraded, resulting in a decrease in the market price of the fixed income investment.

Securities issued by the U.S. government historically have presented minimal credit risk. However, events in 2011 led 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 market price of a Fund’s investments and increase the volatility of a Fund’s portfolio.

As described under “Market Risk — Asset-Backed Securities,” asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors, as described under “Market Risk — Asset-Backed Securities.” The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors.

A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives and Short Sales Risk” for more information regarding risks associated with the use of credit default swaps.

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

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

• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position will decline in value. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk.”

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

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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 a Fund may have to purchase U.S. dollars at an unfavorable exchange rate. Exchange rates for many currencies (e.g., some emerging country currencies) are affected by exchange control regulations.

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

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

The use of derivatives involves risks that are 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, or the position transferred, only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments GMO believes are owed to 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 exposure arises.

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, under-collateralization and/or errors in the calculation of a Fund’s net asset value.

A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the cost of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty.

Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk”) and counterparty risk (see “Counterparty Risk”). These derivatives 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.”

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A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders. In addition, the tax treatment of a Fund’s use of derivatives will sometimes be unclear. In addition, the SEC has 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) have adopted similar requirements, which affect a Fund when it enters into a derivatives transaction with a counterparty subject to those requirements. Because these requirements are new and evolving (and some of the rules are not yet final), their impact on the Funds remains unclear.

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

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

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

If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate

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exposure with respect to such security), the Fund may be unable to execute all components of the package on the swap execution facility. In that case, the Fund would need to trade some components of the package on the swap execution facility and other components in another manner, which could subject the Fund to the risk that some components would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.

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

These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund or otherwise limiting liquidity. The implementation of the clearing requirement has increased the cost of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they historically posted for bilateral derivatives. The cost of derivatives transactions is expected to increase further as clearing members raise their fees to cover the cost of additional capital requirements and other regulatory changes applicable to the clearing members. These rules and regulations are new and evolving, and, therefore, their potential impact on the Funds and the financial system are not yet known. While the new rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.

Options. The Funds, particularly Risk Premium Fund, are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights any time before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk because the holder may only exercise the option on its expiration date.) If a Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.

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

Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (i.e., options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While a Fund has greater flexibility to tailor an OTC option, OTC options generally expose a Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary market risks.

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

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

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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 those issuers’ securities than Funds investing in the securities of a larger number of issuers. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments.

Similarly, Funds having a significant portion of their assets in investments tied economically (or related) to a particular geographic region, country (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”.

Because Resources Fund concentrates its investments in the natural resources sector, it is particularly exposed to adverse developments, including adverse price movements, affecting issuers in the natural resources sector and is subject to greater risks than a fund that invests in a wider range of industries. In addition, the market prices of securities of companies in the natural resources sector are often more volatile (particularly in the short term) than those of securities of companies in other industries. Some of the commodities used as raw materials or produced by these companies are subject to broad price fluctuations as a result of industry-wide supply and demand factors. Companies in the natural resources sector often have limited pricing power over the supplies they purchase and the products they sell, which can affect their profitability, and are often capital-intensive and use significant amounts of leverage. Projects in the natural resources sector may take extended periods of time to complete, and companies cannot ensure that the market will be favorable at the time the project begins production. Companies in the natural resources sector also may be subject to special risks associated with natural or man-made disasters. In addition, companies in the natural resources sector can be especially affected by political and economic developments, government regulations including changes in tax law or interpretations of law, energy conservation, and the success of exploration projects. Specifically, companies in the natural resources sector can be significantly affected by import controls, worldwide competition and cartels, and changes in consumer sentiment and spending, and can be subject to liability for, among other things, environmental damage, depletion of resources, and mandated expenditures for safety and pollution control. Resources Fund’s concentration in the securities of natural resource companies exposes it to the price movements of natural resources to a greater extent than if it were more broadly diversified. Because Resources Fund invests primarily in the natural resources sector, it runs the risk of performing poorly during an economic downturn or a decline in demand for natural resources.

Because Climate Change Fund focuses its investments in securities of companies involved in climate change-related industries, it will be more susceptible to events or factors affecting these companies, and the market prices of its portfolio securities may be more volatile than those of mutual funds that are more diversified. Climate Change Fund is particularly exposed to such factors as changes in global and regional climates, environmental protection regulatory actions, changes in government standards and subsidy levels, changes in taxation and other domestic and international political, regulatory and economic developments (such as potential cut-backs on funding for the Environmental Protection Agency and other policies and actions by the Trump administration). Companies involved in alternative fuels also may be adversely affected by the increased use of, or decreases in prices for, oil or other fossil fuels. In addition, scientific developments, such as breakthroughs in the remediation of global warming or changes in governmental policies relating to the effects of pollution may affect investments in pollution control, which could in turn affect these companies. Such

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companies also may be significantly affected by the level or pace of technological change in industries focusing on energy, pollution control and mitigation of global warning. Because society’s focus on climate change issues is relatively new, the emphasis and direction of governmental policies is subject to significant change, and rapid technological change could render even new approaches and products obsolete. Some companies involved in climate change-related industries are in the early stages of operation and have limited operating histories and smaller market capitalizations on average than companies in other sectors. As a result of these and other factors, the market prices of securities of companies involved in climate change-related industries tend to be considerably more volatile than those of companies in more established sectors and industries.

Because Risk Premium Fund 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.

• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size, or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits, delays or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed, defaulted or other low quality debt securities, emerging country debt 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. The degree to which a Fund’s securities are illiquid may affect the likelihood of its paying redemption proceeds in-kind.

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

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

• LARGE SHAREHOLDER RISK. To the extent a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities, potentially at disadvantageous prices, to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the outstanding shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments when it would not 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. Further, from time to time a Fund may trade in anticipation of a purchase or redemption order that is not ultimately received or differs in size from the actual order, leading to temporary underexposure or overexposure to the Fund’s intended investment program. Additionally, redemptions and purchases of shares by a large shareholder or group of shareholders potentially limit the use of any capital loss carryforwards to offset future realized capital gains (if any) and other losses that would otherwise reduce distributable net investment income. In addition, large shareholders may limit or prevent a Fund’s use of equalization for U.S. federal tax purposes.

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

• LEVERAGING RISK. The use of traditional borrowing (including to meet redemption requests), reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives have the potential for unlimited loss, regardless of the size of the initial investment. Similarly, a Fund’s portfolio also will be leveraged if it exercises its right to delay payment on a redemption and can result in losses if the value of the Fund’s assets changes between the time a redemption request is received or deemed to be received by a Fund (which in some cases may be the business day prior to actual receipt of the transaction activity by the Fund) and the time at which the Fund liquidates assets to meet redemption requests. Such a change in the value of a Fund’s assets is more likely in the case of Funds managed from GMO’s non-U.S. offices for which the time period between the NAV determination and corresponding liquidation of assets could be longer due to time zone differences and market schedules. In the case of redemptions representing a significant portion of a Fund’s portfolio, the leverage effects described above can be significant and could expose a Fund and non-redeeming shareholders to material losses.

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

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

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

For many Funds, GMO uses quantitative models as part of its investment process. GMO’s models may not accurately predict future market events. In addition, they use assumptions that can limit their effectiveness, and they rely on data that is subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. The Funds also run the risk that GMO’s assessment of an investment (including a company’s fundamental fair (or intrinsic) value) is 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 a risk of loss resulting from other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors could prevent a Fund from benefiting from 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 to technological malfunctions that may have effects similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and 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

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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, detect and respond to 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 a decline in the market price of their securities. Furthermore, as a result of cyber-attacks, technological disruptions, malfunctions, or failures, an exchange or market may close or issue trading halts on specific securities or the entire market, which may result in the Funds being unable, among other things, to buy or sell securities or accurately price their investments. The Funds cannot directly control cyber security plans and systems put in place by their service providers, the Funds’ counterparties, issuers of securities in which the Funds invest, or securities markets and exchanges.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby 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 or other fraudulent trading practices, which could disrupt their orderly functioning or reduce the prices of securities traded on them, including securities held by the Funds. Fraud and other deceptive practices committed by a company whose securities are held by a Fund undermine GMO’s due diligence efforts and, when discovered, will likely cause a steep decline in the market price of those securities and thus negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively affect a Fund’s investment program as well as the rates or indices underlying a Fund’s investments.

While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce the value of the Funds’ investments. Similarly, political events within the United States 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 if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. In June 2016, the United Kingdom approved a referendum to leave the European Union (commonly known as “Brexit”). A significant degree of uncertainty exists about the time frame for Brexit and whether it will have a negative impact on the United Kingdom, the European Union and/or the broader global economy.

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 price of their holdings will decline. Market risks include:

Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as poor performance by the issuer’s management or reduced demand for its goods or services, or to

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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 what GMO believes is less than its fundamental fair (or intrinsic) value, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment 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.

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 the markets associated with those indices rise sharply because of the Fund’s lack of exposure to the upside of those markets.

Fixed Income — Funds that invest in fixed income investments (including bonds, notes, bills, synthetic debt instruments, and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity 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 investments also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the fixed income investment. When interest rates rise, these investments 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 investments (commonly referred to as “junk bonds”) may be particularly volatile. Often below investment grade investments are subject to greater sensitivity to interest rate and economic changes than higher rated investments and can be more difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. See “Credit Risk” and “Illiquidity Risk” for more information about these risks.

A risk run by each Fund with a significant investment in fixed income investments is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases in interest rates (also called “interest rate risk”) is generally greater for Funds investing in fixed income investments with longer durations. In addition, in managing some Funds, GMO may seek to evaluate potential investments in part by considering the volatility of interest rates. The value of a Fund’s investments may be significantly reduced if GMO’s assessment proves incorrect.

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

The market price of inflation-indexed bonds (including TIPS) typically declines during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increases during periods of declining real interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities.

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

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

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In response to government intervention, economic or market developments, or other factors, markets for fixed income investments may experience periods of high volatility, reduced liquidity or both. During those periods, a Fund could have unusually high shareholder redemptions, requiring it to generate cash by selling portfolio assets when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value during such periods. In recent years, central banks and governmental financial regulators, including the U.S. Federal Reserve, have kept interest rates historically low by purchasing bonds. Steps to curtail or “taper” such activities (such as recent indications from the U.S. Federal Reserve of its intent to do so) 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 engage in transactions in which the Fund purchases securities at prices below the value of the consideration GMO expects the Fund to receive upon consummation of a proposed merger, exchange offer, tender offer, or other similar transaction (“merger arbitrage transactions”). The purchase price paid by the Fund may substantially exceed the market price of the securities before the announcement of the transaction.

If a Fund engages in merger arbitrage and the merger later appears unlikely to be consummated or, in fact, is not consummated or is delayed, the market price of the securities purchased by the Fund is likely to decline sharply, resulting in losses to the Fund. The risk/reward payout of merger arbitrage strategies typically is asymmetric, with the losses in failed transactions often far exceeding the gains in successful transactions. A proposed merger can fail to be consummated for many reasons, including regulatory and antitrust restrictions, industry weakness, company specific events, failed financings, and general market declines.

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

• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of relatively few issuers. As a result, they may be subject to greater credit, market and other risks, 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:

• Climate Change Fund

• Quality Fund

• Resources Fund

• Risk Premium Fund

• Tax-Managed International Equities Fund

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

A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes

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paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no benefit. A Fund’s pursuit of such refunds may subject a Fund to various administrative and/or judicial proceedings. A Fund’s decision to seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if it is entitled to one. The outcome of a Fund’s efforts to obtain a refund is inherently unpredictable. Accordingly, a refund is not typically reflected in a Fund’s net asset value until it is received or until GMO is confident that the refund will be received. In some cases, the amount of a refund could be material to a Fund’s net asset value. Absent a determination that a refund is collectible and free from significant contingencies, a refund is not reflected in a Fund’s net asset value. See “Taxes, Non-U.S. Taxes” in the GMO Trust Statement of Additional Information for additional information.

Investing in non-U.S. securities also exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, government involvement in the economy or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises), adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.

In some non-U.S. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States. Fluctuations in foreign currency exchange rates also affect the market prices of a Fund’s non-U.S. securities (see “Currency Risk”).

The Funds need a license to invest directly in 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 thus limits the Fund’s investment opportunities. In addition, the activities of a GMO client could cause the suspension or revocation of a Fund’s license and thereby limit the Fund’s 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 wholly or partially state-owned enterprises); less governmental supervision and regulation of securities markets and participants in those markets; controls on investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e., a market freeze); unavailability of currency hedging techniques; 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 depend predominantly on only a few industries or revenues from particular commodities.

• SMALL COMPANY RISK. Companies with smaller market capitalizations tend to have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have inexperienced managers or depend on a smaller group of key employees than larger companies. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for securities of these companies.

Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and are taken in response to adverse market, economic, political or other conditions. The Funds normally do not take temporary defensive positions. To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.

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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.

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.

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For Funds that held derivatives during the period ended August 31, 2017, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use

Climate Change Fund

Foreign Small Companies Fund

International Equity Fund

International Large/Mid Cap Equity Fund

International Small Companies Fund

Resources Fund

Risk Premium Fund

Tax-Managed International Equities Fund

U.S. Equity Allocation Fund

Forward currency contracts

Adjust exposure to foreign currencies

X

X

Futures contracts

Adjust exposure to certain securities markets

X

X

X

X

X

X

Maintain the diversity and liquidity of the portfolio

X

X

X

X

X

X

Options (Written)

Substitute for direct equity investment

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 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

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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.

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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 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

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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, 2017 and the Statements of Operations for the period ended August 31, 2017^:

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
Climate Change Fund
Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	0	$	—		$	—	$	—	$	0
Total	$	—	$	0	$	—		$	—	$	—	$	0
Foreign Small Companies Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts ☐	$	—	$	15,927	$	—		$	—	$	—	$	15,927
Total	$	—	$	15,927	$	—		$	—	$	—	$	15,927
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	15,927	$	—		$	—	$	—	$	15,927
Net Realized Gain (Loss) on
Futures Contracts	$	—	$	719,285	$	—		$	—	$	—	$	719,285
Forward Currency Contracts		—		—		(416,909	)		—		—	$	(416,909	)
Total	$	—	$	719,285	$	(416,909	)	$	—	$	—	$	302,376
Change in Net Unrealized Appreciation (Depreciation) on
Futures Contracts	$	—	$	15,927	$	—		$	—	$	—	$	15,927
Forward Currency Contracts		—		—		302,043			—		—		302,043
Total	$	—	$	15,927	$	302,043		$	—	$	—	$	317,970
International Equity Fund
Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	0	$	—		$	—	$	—	$	0
Futures Contracts		—		2,310,135		—			—		—		2,310,135
Total	$	—	$	2,310,135	$	—		$	—	$	—	$	2,310,135

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	Credit Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
International Large/Mid Cap Equity Fund
Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	0		$	—		$	—	$	—	$	0
Futures Contracts		—		128,996			—			—		—		128,996
Total	$	—	$	128,996		$	—		$	—	$	—	$	128,996
Change in Net Unrealized Appreciation (Depreciation) on
Futures Contracts	$	—	$	(18,330	)	$	—		$	—	$	—	$	(18,330	)
Total	$	—	$	(18,330	)	$	—		$	—	$	—	$	(18,330	)
International Small Companies Fund
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—	$	—		$	(60,785	)	$	—	$	—	$	(60,785	)
Futures Contracts		—		27,753			—			—		—		27,753
Total	$	—	$	27,753		$	(60,785	)	$	—	$	—	$	(33,032	)
Change in Net Unrealized Appreciation (Depreciation) on
Forward Currency Contracts	$	—	$	—		$	40,193		$	—	$	—	$	40,193
Total	$	—	$	—		$	40,193		$	—	$	—	$	40,193
Resources Fund
Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	(2,480	)	$	—		$	—	$	—	$	(2,480	)
Total	$	—	$	(2,480	)	$	—		$	—	$	—	$	(2,480	)
Risk Premium Fund
Liability Derivatives
Written Options	$	—	$	(988,353	)	$	—		$	—	$	—	$	(988,353	)
Total	$	—	$	(988,353	)	$	—		$	—	$	—	$	(988,353	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	(988,353	)	$	—		$	—	$	—	$	(988,353	)
Net Realized Gain (Loss) on
Written Options	$	—	$	8,667,496		$	—		$	—	$	—	$	8,667,496
Total	$	—	$	8,667,496		$	—		$	—	$	—	$	8,667,496
Change in Net Unrealized Appreciation (Depreciation) on
Written Options	$	—	$	343,013		$	—		$	—	$	—	$	343,013
Total	$	—	$	343,013		$	—		$	—	$	—	$	343,013
Tax-Managed International Equities Fund
Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	29,539		$	—		$	—	$	—	$	29,539
Futures Contracts		—		27,327			—			—		—		27,327
Total	$	—	$	56,866		$	—		$	—	$	—	$	56,866
Change in Net Unrealized Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—	$	(990	)	$	—		$	—	$	—	$	(990	)
Futures Contracts		—		1,260			—			—		—		1,260
Total	$	—	$	270		$	—		$	—	$	—	$	270

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	Credit Contracts		Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
U.S. Equity Allocation Fund
Liabilities:
Unrealized Appreciation on Futures Contracts☐	$	—	$	37,341	$	—		$	—	$	—	$	37,341
Total	$	—	$	37,341	$	—		$	—	$	—	$	37,341
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	37,341	$	—		$	—	$	—	$	37,341
Net Realized Gain (Loss) on
Futures Contracts	$	—	$	649,588	$	—		$	—	$	—	$	649,588
Total	$	—	$	649,588	$	—		$	—	$	—	$	649,588
							��
Change in Net Unrealized Appreciation (Depreciation) on
Futures Contracts	$	—	$	37,341	$	—		$	—	$	—	$	37,341
Total	$	—	$	37,341	$	—		$	—	$	—	$	37,341

^ 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 unrealized appreciation/depreciation of futures and value of 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 no such event has occurred, the Funds do not presently have a legally enforceable right of set-off and 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 paid by a Fund (or may be received by a Fund) in such an event is represented by the unrealized Net 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, 2017, if any.

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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, 2017:

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.	$	988,353	$	(988,353	)*	$	—	$	—
Total	$	988,353	$	(988,353	)	$	—	$	—

* 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 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, 2017:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Swap Contracts ($)		Options (Contracts)		Rights and/or Warrants ($)
Climate Change Fund		—		—		—		—		438	*
Foreign Small Companies Fund		5,370,971		516,288		—		—		—
International Equity Fund		—		6,116,080		—		—		557,560
International Large/Mid Cap Equity Fund		—		721,260		—		—		10,267
International Small Companies Fund		835,571		16,158		—		—		—
Resources Fund		—		—		—		—		7,613
Risk Premium Fund		—		—		—		2,671		—
Tax-Managed International Equities Fund		—		757,499		—		—		3,493
U.S. Equity Allocation Fund		—		4,108,623		—		—		—

* During the period ended August 31, 2017, 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:

Climate Change Fund

Foreign Small Companies Fund

International Equity Fund

International Large/Mid Cap Equity Fund

International Small Companies Fund

Quality Fund

Resources Fund

Risk Premium Fund

Tax-Managed International Equities Fund

U.S. Equity Allocation Fund

Management Fee

0.60%(a)

0.60%(b)

0.50%

0.38%

0.60%(c)

0.33%

0.50%

0.45%

0.50%

0.31%

(a) GMO has contractually agreed to reduce its annual management fee by 0.15% through June 30, 2018.

(b) Prior to June 30, 2017, the management fee was 0.70%. For the period from May 1, 2017 through July 31, 2017, GMO waived its management fee.

(c) For the period from May 1, 2017 through July 31, 2017, GMO waived its management fee.

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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 at the annual rate equal to the percentage of each applicable Class’s average daily net assets set forth in the table below:

Fund Name	Class II		Class III		Class IV		Class V		Class VI
Climate Change Fund				0.15%		0.10%*		0.085%*		0.055%*
Foreign Small Companies Fund(a)				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%*
International Small Companies Fund(a)				0.15%
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, 2017.

(a) For the period from May 1, 2017 through July 31, 2017, GMO waived its shareholder service fees.

For each Fund, other than Climate Change Fund and Resources Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). For Climate Change Fund and 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 (“Expense Threshold Amount”). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO.

“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, organizational and start-up expenses, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.

For Climate Change Fund and Resources Fund, GMO is permitted to recover from the Fund, on a class-by-class basis, as applicable, the “Specified Operating Expenses” GMO has borne or reimbursed (whether through reduction of its fees or otherwise) to the extent the Fund(s)’ “Specified Operating Expense(s)” later fall below the Expense Threshold Amount or the lower expense limit in effect when GMO seeks to recover the expenses. A Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. The amount GMO is entitled to recover may not cause a Fund to exceed the Expense Threshold Amount or the lower expense limit in effect when GMO seeks recovery.

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, 2018 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.

119

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (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, 2017 is shown in the table below and is included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Climate Change Fund		464		1
Foreign Small Companies Fund		9,347		920
International Equity Fund		66,909		5,904
International Large/Mid Cap Equity Fund		915		184
International Small Companies Fund		1,338		184
Quality Fund		101,097		8,380
Resources Fund		2,592		184
Risk Premium Fund		1,826		184
Tax-Managed International Equities Fund		1,312		184
U.S. Equity Allocation Fund		20,301		1,656

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2017 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
Climate Change Fund		< 0.001%		0.000%		0.000%		< 0.001%
Foreign Small Companies Fund		< 0.001%		0.000%		0.000%		< 0.001%
International Equity Fund		< 0.001%		0.000%		0.000%		< 0.001%
International Large/Mid Cap Equity Fund		< 0.001%		0.000%		0.000%		< 0.001%
International Small Companies Fund		< 0.001%		0.000%		0.000%		< 0.001%
Quality Fund		< 0.001%		0.000%		0.000%		< 0.001%
Resources Fund		< 0.001%		0.000%		0.000%		< 0.001%
Risk Premium Fund		0.000%		0.000%		0.000%		0.000%
Tax-Managed International Equities Fund		< 0.001%		0.000%		0.000%		< 0.001%
U.S. Equity Allocation Fund		< 0.001%		0.000%		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 ensure 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, 2017, the Funds did not engage in these transactions.

120

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

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, if applicable, for the period ended August 31, 2017 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)
Climate Change Fund		—		25,918,795		—		13,247,742
Foreign Small Companies Fund		—		410,316,489		—		435,296,432
International Equity Fund		—		1,748,968,542		—		2,740,431,532
International Large/Mid Cap Equity Fund		—		86,479,753		—		208,275,293
International Small Companies Fund		—		98,828,504		—		209,271,016
Quality Fund		—		1,451,622,173		—		2,702,423,822
Resources Fund		—		73,194,340		—		54,067,911
Risk Premium Fund		—		—		—		—
Tax-Managed International Equities Fund		—		43,734,421		—		65,573,925
U.S. Equity Allocation Fund		—		679,758,523		—		938,846,013

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, 2017 are noted in the table below:

Fund Name	Purchases ($)		Sales ($)
Foreign Small Companies Fund		—		$541,686,701

* $503,881,179 of the redemptions in-kind were redeemed by affiliates.

For the period ended August 31, 2017, 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 ($)
Foreign Small Companies Fund		$92,227,938

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, 2017

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
Climate Change Fund		3		95.85%		56.56%		—
Foreign Small Companies Fund		3		80.87%		< 0.01%		—

121

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

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
International Equity Fund		4	#		54.06%		0.16%		92.74%
International Large/Mid Cap Equity Fund		1			94.71%		—		—
International Small Companies Fund		2			88.09%		0.50%		—
Quality Fund		—			—		0.14%		18.26%
Resources Fund		1			74.96%		10.20%		6.02%
Risk Premium Fund		2	‡		97.38%		0.09%		99.61%
Tax-Managed International Equities Fund		3			42.81%		0.56%		—
U.S. Equity Allocation Fund		4	#		67.62%		0.03%		98.49%

# Three of the shareholders are other funds of the Trust.

‡ 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 August 31, 2017 (Unaudited)						Year Ended February 28, 2017
	Shares			Amount			Shares			Amount
Climate Change Fund
Class III:*
Shares sold		625,989		$	12,562,124
Net increase (decrease)		625,989		$	12,562,124
Foreign Small Companies Fund
Class III:
Shares sold		—		$	—			4,911,945		$	70,841,467
Shares issued to shareholders in reinvestment of distributions		186,648			2,907,847			529,271			7,195,678
Shares repurchased		(8,492,457	)(a)		(132,743,073	)(a)		(12,753,958	)		(181,381,778	)
Purchase premiums		—			—			—			4,090
Redemption fees		—			118,703			—			328,256
Net increase (decrease)		(8,305,809	)	$	(129,716,523	)		(7,312,742	)	$	(103,012,287	)
Class IV:
Shares sold		4,401,411		$	68,970,118			8,926		$	123,290
Shares issued to shareholders in reinvestment of distributions		520,589			8,096,317			1,147,196			15,561,235
Shares repurchased		(34,566,801	)(b)		(537,175,844	)(b)		(8,423,117	)		(118,607,509	)
Purchase premiums		—			—			—			11,501
Redemption fees		—			177,607			—			832,379
Net increase (decrease)		(29,644,801	)	$	(459,931,802	)		(7,266,995	)	$	(102,079,104	)

122

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

	Six Months Ended August 31, 2017 (Unaudited)						Year Ended February 28, 2017
	Shares			Amount			Shares			Amount
International Equity Fund
Class II:
Shares sold		354,885		$	8,016,159			394,169		$	7,758,214
Shares issued to shareholders in reinvestment of distributions		1,041			22,791			53,704			1,036,907
Shares repurchased		(1,533	)		(31,100	)		(4,406,766	)		(86,201,920	)
Net increase (decrease)		354,393		$	8,007,850			(3,958,893	)	$	(77,406,799	)
Class III:
Shares sold		371,204		$	8,168,083			3,202,195		$	63,057,431
Shares issued to shareholders in reinvestment of distributions		134,117			2,970,682			1,458,230			28,472,050
Shares repurchased		(16,768,417	)		(371,569,376	)		(25,597,340	)		(510,086,501	)
Net increase (decrease)		(16,263,096	)	$	(360,430,611	)		(20,936,915	)	$	(418,557,020	)
Class IV:
Shares sold		5,422,956		$	119,446,455			11,139,274		$	215,725,536
Shares issued to shareholders in reinvestment of distributions		1,273,199			28,150,419			11,785,933			229,782,109
Shares repurchased		(39,703,467	)		(869,359,026	)		(158,196,157	)		(3,158,978,555	)
Net increase (decrease)		(33,007,312	)	$	(721,762,152	)		(135,270,950	)	$	(2,713,470,910	)
International Large/Mid Cap Equity Fund
Class III:
Shares sold		2,326		$	62,030			411,984		$	10,495,496
Shares issued to shareholders in reinvestment of distributions		5,096			136,671			253,763			6,161,168
Shares repurchased		(1,425,134	)		(37,387,093	)		(18,719,775	)		(470,772,481	)
Net increase (decrease)		(1,417,712	)	$	(37,188,392	)		(18,054,028	)	$	(454,115,817	)
Class IV:
Shares sold		25,357		$	667,693			1,317,734		$	33,127,702
Shares issued to shareholders in reinvestment of distributions		212,443			5,675,311			728,389			17,599,928
Shares repurchased		(3,319,055	)		(89,000,000	)		(23,672,201	)		(600,482,249	)
Net increase (decrease)		(3,081,255	)	$	(82,656,996	)		(21,626,078	)	$	(549,754,619	)
Class VI:‡
Shares sold		—		$	—			—		$	—
Shares issued to shareholders in reinvestment of distributions		—			—			623,703			14,995,054
Shares repurchased		(23,527	)		(616,556	)		(12,536,597	)		(300,320,271	)
Net increase (decrease)		(23,527	)	$	(616,556	)		(11,912,894	)	$	(285,325,217	)
International Small Companies Fund
Class III:#
Shares sold		22,773		$	497,592			725,241		$	15,784,750
Shares issued to shareholders in reinvestment of distributions		199,529			4,287,301			284,728			5,807,368
Shares repurchased		(4,989,747	)		(111,625,952	)		(7,515,899	)		(163,567,158	)
Purchase premiums		—			2,408			—			65,250
Redemption fees		—			558,037			—			803,776
Net increase (decrease)		(4,767,445	)	$	(106,280,614	)		(6,505,930	)	$	(141,106,014	)

123

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

	Six Months Ended August 31, 2017 (Unaudited)						Year Ended February 28, 2017
	Shares			Amount			Shares			Amount
Quality Fund
Class III:
Shares sold		4,742,298		$	113,198,719			27,204,984		$	577,084,371
Shares issued to shareholders in reinvestment of distributions		1,367,509			32,259,529			5,427,657			111,954,229
Shares repurchased		(25,614,298	)		(589,663,380	)		(78,926,958	)		(1,636,659,609	)
Net increase (decrease)		(19,504,491	)	$	(444,205,132	)		(46,294,317	)	$	(947,621,009	)
Class IV:
Shares sold		1,183,836		$	27,407,370			23,563,655		$	498,378,900
Shares issued to shareholders in reinvestment of distributions		465,647			10,998,593			2,065,342			42,641,190
Shares repurchased		(18,930,507	)		(440,655,004	)		(38,313,485	)		(806,249,545	)
Net increase (decrease)		(17,281,024	)	$	(402,249,041	)		(12,684,488	)	$	(265,229,455	)
Class V:
Shares sold		15,240,672		$	355,202,519			9,463,322		$	197,196,406
Shares issued to shareholders in reinvestment of distributions		205,161			4,843,841			717,958			14,824,416
Shares repurchased		(26,882,805	)		(645,226,968	)		(3,801,010	)		(79,429,321	)
Net increase (decrease)		(11,436,972	)	$	(285,180,608	)		6,380,270		$	132,591,501
Class VI:
Shares sold		26,382,432		$	632,883,999			91,893,911		$	1,913,611,617
Shares issued to shareholders in reinvestment of distributions		1,481,102			34,939,203			5,665,767			116,815,260
Shares repurchased		(31,725,443	)		(747,228,039	)		(36,449,428	)		(770,551,459	)
Net increase (decrease)		(3,861,909	)	$	(79,404,837	)		61,110,250		$	1,259,875,418
Resources Fund
Class III:
Shares sold		515		$	9,072			570,839		$	8,566,354
Shares issued to shareholders in reinvestment of distributions		25,280			414,599			32,759			537,264
Shares repurchased		(234,190	)		(4,012,036	)		(480,753	)		(6,835,975	)
Purchase premiums		—			6,179			—			2,754
Redemption fees		—			1,650			—			16,991
Net increase (decrease)		(208,395	)	$	(3,580,536	)		122,845		$	2,287,388
Class IV:
Shares sold		1,284,237		$	21,421,598			169,620		$	2,585,614
Shares issued to shareholders in reinvestment of distributions		259,747			4,246,864			315,651			5,118,000
Shares repurchased		(124,860	)		(2,154,296	)		(4,055,808	)		(57,587,522	)
Purchase premiums		—			58,306			—			29,756
Redemption fees		—			16,849			—			175,234
Net increase (decrease)		1,419,124		$	23,589,321			(3,570,537	)	$	(49,678,918	)

124

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

	Six Months Ended August 31, 2017 (Unaudited)						Year Ended February 28, 2017
	Shares			Amount			Shares			Amount
Risk Premium Fund
Class III:#
Shares sold		—		$	—			2,862		$	85,653
Shares issued to shareholders in reinvestment of distributions		14,514			421,779			18,814			544,069
Shares repurchased		(65,778	)		(1,906,884	)		(105,987	)		(3,151,044	)
Purchase premiums		—			—			—			—
Redemption fees		—			1,092			—			6,093
Net increase (decrease)		(51,264	)	$	(1,484,013	)		(84,311	)	$	(2,515,229	)
Class VI:#
Shares sold		113		$	3,580			390		$	10,630
Shares issued to shareholders in reinvestment of distributions		386,148			11,283,251			437,685			12,713,932
Shares repurchased		(654,607	)		(20,249,382	)		(3,562,411	)		(103,841,501	)
Purchase premiums		—			5			—			16
Redemption fees		—			32,143			—			154,267
Net increase (decrease)		(268,346	)	$	(8,930,403	)		(3,124,336	)	$	(90,962,656	)
Tax-Managed International Equities Fund
Class III:
Shares sold		1,238		$	18,052			51,654		$	709,686
Shares issued to shareholders in reinvestment of distributions		26,523			413,235			226,091			3,089,352
Shares repurchased		(1,525,642	)		(23,608,170	)		(8,885,564	)		(123,384,562	)
Net increase (decrease)		(1,497,881	)	$	(23,176,883	)		(8,607,819	)	$	(119,585,524	)
U.S. Equity Allocation Fund
Class III:
Shares sold		106,308		$	1,611,379			254,123		$	3,737,099
Shares issued to shareholders in reinvestment of distributions		264,415			3,886,901			964,254			14,133,772
Shares repurchased		(3,815,402	)		(57,087,595	)		(8,083,310	)		(120,400,300	)
Net increase (decrease)		(3,444,679	)	$	(51,589,315	)		(6,864,933	)	$	(102,529,429	)
Class IV:
Shares sold		1,845,383		$	27,954,243			353,391		$	5,084,358
Shares issued to shareholders in reinvestment of distributions		139,529			2,051,081			482,865			7,017,672
Shares repurchased		(305,709	)		(4,525,652	)		(37,081,635	)(C)		(546,704,227	)(C)
Net increase (decrease)		1,679,203		$	25,479,672			(36,245,379	)	$	(534,602,197	)
Class V:
Shares sold		—		$	—			11,302,431		$	168,755,254
Shares issued to shareholders in reinvestment of distributions		491,158			7,190,554			1,125,283			16,496,645
Shares repurchased		(2,914,465	)		(43,293,823	)		(1,516,895	)		(22,257,238	)
Net increase (decrease)		(2,423,307	)	$	(36,103,269	)		10,910,819		$	162,994,661
Class VI:
Shares sold		2,929,046		$	43,363,739			1,279,791		$	19,202,615
Shares issued to shareholders in reinvestment of distributions		4,404,387			64,348,094			15,359,314			223,790,989
Shares repurchased		(16,719,759	)		(248,173,265	)		(198,687,826	)		(2,929,999,235	)
Net increase (decrease)		(9,386,326	)	$	(140,461,432	)		(182,048,721	)	$	(2,687,005,631	)

* The period under the heading “Six Months Ended August 31, 2017” represents the period from April 5, 2017 (commencement of operations) through August 31, 2017.

‡ Class VI liquidated on March 29, 2017.

# Shares were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

(a) 2,421,878 shares and $37,805,522 were redeemed in-kind.

(b) 32,418,183 shares and $503,881,179 were redeemed in-kind by affiliates.

(c) 10,797,603 shares and $153,780,220 were redeemed in-kind.

125

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (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, 2017 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Climate Change Fund
GMO U.S. Treasury Fund	$	—	$	12,901,051	$	12,320,000	$	3,050	$	(2,363	)	$	13		$	578,701
Foreign Small Companies Fund
GMO U.S. Treasury Fund	$	7,030,375	$	80,359,083	$	85,880,000	$	69,083	$	(4,527	)	$	2,788		$	1,507,719
International Equity Fund
GMO U.S. Treasury Fund	$	21,767,868	$	501,500,000	$	518,150,000	$	124,616	$	(5,265	)	$	—		$	5,112,603
International Large/Mid Cap Equity Fund
GMO U.S. Treasury Fund	$	2,408,002	$	56,360,000	$	57,359,999	$	6,700	$	(11,029	)	$	(4	)	$	1,396,970
International Small Companies Fund
GMO U.S. Treasury Fund	$	1,550,077	$	63,890,000	$	65,430,000	$	11,334	$	(5,127	)	$	620		$	5,570
Quality Fund
GMO U.S. Treasury Fund	$	240,449,520	$	991,500,000	$	1,011,000,000	$	946,664	$	(151,770	)	$	38,577		$	220,836,327
Resources Fund
GMO U.S. Treasury Fund	$	6,150,081	$	17,300,000	$	18,729,999	$	15,132	$	(2,752	)	$	(282	)	$	4,717,048
Tax-Managed International Equities Fund
GMO U.S. Treasury Fund	$	427,587	$	9,390,000	$	9,130,000	$	4,558	$	(567	)	$	272		$	687,292
U.S. Equity Allocation Fund
GMO U.S. Treasury Fund	$	11,180,107	$	123,000,000	$	123,850,000	$	56,188	$	3,935		$	—		$	10,334,042

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2017 through August 31, 2017. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2018.

126

GMO Trust Funds

Board Review of Investment Management Agreements

August 31, 2017 (Unaudited)

GMO Climate Change Fund

Approval of renewal of management agreement for GMO Climate Change Fund (the “Fund”). At a meeting on March 9, 2017, the Trustees of GMO Trust (the “Trust”) approved the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an initial one-year term commencing March 9, 2017. At a meeting on June 7, 2017, the Trustees of the Trust approved the renewal of the Fund’s’ management agreement for a twelve-month period beginning on June 30, 2017 in order to align the Fund’s contract renewal cycle with that of the other series of the Trust (collectively, the “GMO funds”). 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 GMO funds.

Throughout the year the Trustees met with representatives of the Manager and also met privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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.

Because the Fund had commenced operations only during the previous month (on April 5, 2017), in considering performance the Trustees focused on the performance of the other GMO funds managed by the investment division that manages the Fund.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers determined by the Manager to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

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 fee payable by the Fund as compared to the management fees of other GMO equity funds and funds managed by other managers determined by the Manager to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

Since the Fund had only recently commenced operations, the Trustees were unable to review information regarding the Manager’s profitability with respect to the Fund. The Trustees did, however, review information prepared by the Manager regarding the Manager’s profitability with respect to the Trust overall and the investment division managing the Fund’s investment portfolio. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the other GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. 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.

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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

127

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

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 a year.

GMO Foreign Small Companies Fund

Approval of renewal of management agreement for GMO Foreign Small Companies Fund (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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 privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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 also considered that there had been a change in the investment division that manages the Fund. The Trustees discussed how a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

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 fee 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 by the Manager to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. The Trustees reviewed the Manager’s

128

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

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 various “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.

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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

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 (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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 privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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 a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

129

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

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 fee 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 by the Manager to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. 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 various “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.

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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

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 (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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 privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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.

130

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

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 a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

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 fee 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 by the Manager to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. 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 various “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.

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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

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 Small Companies Fund

Approval of renewal of management agreement for GMO International Small Companies Fund (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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”).

131

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

Throughout the year the Trustees met with representatives of the Manager and also met privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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 also considered that there had been a change in the investment division that manages the Fund. The Trustees discussed how a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

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 fee 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 by the Manager to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. 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 various “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.

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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

132

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (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 (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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 privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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 a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

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 fee 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 separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. 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

133

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

various approaches for calculating profitability. The Trustees took note of various “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.

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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

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 (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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 privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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 a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

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 fee payable by the Fund as compared to the management

134

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

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 by the Manager to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. 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 various “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.

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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

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 (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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 privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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 a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered

135

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

changes in senior leadership and other key personnel recently implemented by the Manager. The Trustees noted that the Fund is not currently offered as 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

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 fee 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 by the Manager to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. 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 various “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.

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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

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 (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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 privately. 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.

136

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

At a meeting on May 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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 a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

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 fee 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 by the Manager to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. 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 various “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.

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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

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.

137

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

GMO U.S. Equity Allocation Fund

Approval of renewal of management agreement for GMO U.S. Equity Allocation Fund (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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 privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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 a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

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 fee 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 separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. 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 various “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.

138

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

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.

139

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

August 31, 2017 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2017.

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, 2017 through August 31, 2017.

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, 2017		Ending Account Value August 31, 2017		Expenses Paid During the Period*		Beginning Account Value March 1, 2017		Ending Account Value August 31, 2017		Expenses Paid During the Period*		Annualized Expense Ratio
Climate Change Fund
Class III(a)		$1,000.00		$1,142.00		$3.39		$1,000.00		$1,021.27		$3.97		0.78%
Foreign Small Companies Fund
Class III		$1,000.00		$1,122.00		$2.30		$1,000.00		$1,023.04		$2.19		0.43%
Class IV		$1,000.00		$1,122.60		$2.25		$1,000.00		$1,023.09		$2.14		0.42%
International Equity Fund
Class II		$1,000.00		$1,128.70		$3.86		$1,000.00		$1,021.58		$3.67		0.72%
Class III		$1,000.00		$1,129.40		$3.49		$1,000.00		$1,021.93		$3.31		0.65%
Class IV		$1,000.00		$1,129.60		$3.17		$1,000.00		$1,022.23		$3.01		0.59%
International Large/Mid Cap Equity Fund
Class III		$1,000.00		$1,121.30		$3.15		$1,000.00		$1,022.23		$3.01		0.59%
Class IV		$1,000.00		$1,121.30		$3.32		$1,000.00		$1,022.08		$3.16		0.62%
International Small Companies Fund
Class III		$1,000.00		$1,126.50		$3.27		$1,000.00		$1,022.13		$3.11		0.61%
Quality Fund
Class III		$1,000.00		$1,107.90		$2.55		$1,000.00		$1,022.79		$2.45		0.48%
Class IV		$1,000.00		$1,108.30		$2.34		$1,000.00		$1,022.99		$2.24		0.44%
Class V		$1,000.00		$1,108.10		$2.23		$1,000.00		$1,023.09		$2.14		0.42%
Class VI		$1,000.00		$1,108.70		$2.07		$1,000.00		$1,023.24		$1.99		0.39%
Resources Fund
Class III		$1,000.00		$1,086.30		$4.05		$1,000.00		$1,021.32		$3.92		0.77%
Class IV		$1,000.00		$1,086.90		$3.79		$1,000.00		$1,021.58		$3.67		0.72%

140

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses — (Continued)

August 31, 2017 (Unaudited)

	Actual						Hypothetical
	Beginning Account Value March 1, 2017		Ending Account Value August 31, 2017		Expenses Paid During the Period*		Beginning Account Value March 1, 2017		Ending Account Value August 31, 2017		Expenses Paid During the Period*		Annualized Expense Ratio
Risk Premium Fund
Class III		$1,000.00		$1,061.00		$3.12		$1,000.00		$1,022.18		$3.06		0.60%
Class VI		$1,000.00		$1,061.40		$2.65		$1,000.00		$1,022.64		$2.60		0.51%
Tax-Managed International Equities Fund
Class III		$1,000.00		$1,149.60		$3.68		$1,000.00		$1,021.78		$3.47		0.68%
U.S. Equity Allocation Fund
Class III		$1,000.00		$1,027.20		$2.35		$1,000.00		$1,022.89		$2.35		0.46%
Class IV		$1,000.00		$1,026.50		$2.09		$1,000.00		$1,023.14		$2.09		0.41%
Class V		$1,000.00		$1,027.10		$2.04		$1,000.00		$1,023.19		$2.04		0.40%
Class VI		$1,000.00		$1,027.30		$1.89		$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, 2017, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year.

^(a)  For the period April 5, 2017 (commencement of operations) through August 31, 2017, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2017, multiplied by the average account value over the period, multiplied by 148 days in the period, divided by 365 days in the year.

141

GMO Trust

Semi-Annual Report

August 31, 2017

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. The GMO Trust Statement of Additional Information includes additional information about the Trustees of GMO Trust and is available without charge, upon request, by calling 1-617-346-7646 (collect).

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.

TABLE OF CONTENTS

Emerging Domestic Opportunities Fund
Investment Concentration Summary	1
Schedule of Investments	2
Emerging Markets Fund
Investment Concentration Summary	6
Schedule of Investments	7
Taiwan Fund
Investment Concentration Summary	15
Schedule of Investments	16
Portfolio, Counterparty and Currency Abbreviations	18
Fund Financial Statements:
Statements of Assets and Liabilities	19
Statements of Operations	21
Statements of Changes in Net Assets	22
Financial Highlights	24
Notes to Financial Statements	30
Board Review of Investment Management Agreements	65
Fund Expenses	69

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2017 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		73.7	%
Investment Funds		16.9
Mutual Funds		2.8
Preferred Stocks		2.6
Fully Funded Total Return Swaps		1.5
Short-Term Investments		0.9
Rights/Warrants		0.4
Futures Contracts		0.2
Forward Currency Contracts		0.1
Other		0.9
		100.0	%

Country Summary¤	% of Investments
China		29.9	%
United States		18.2	*
India		11.1
Taiwan		9.8
Brazil		6.8
Philippines		5.4
United Kingdom		4.3	*
Indonesia		3.1
Russia		2.1
South Africa		2.0
Vietnam		1.4
Thailand		1.3
South Korea		1.2
Belgium		0.8	*
Peru		0.7
Mexico		0.6
Greece		0.5
Qatar		0.3
Malaysia		0.3
Turkey		0.2
		100.0	%

Industry Group Summary	% of Equity Investments#
Banks		26.7	%
Software & Services		14.4
Food, Beverage & Tobacco		13.3
Consumer Durables & Apparel		5.9
Capital Goods		5.3
Food & Staples Retailing		4.7
Consumer Services		4.2
Diversified Financials		4.1
Energy		3.4
Insurance		2.4
Household & Personal Products		2.4
Media		2.2
Materials		2.2
Real Estate		2.2
Telecommunication Services		1.9
Transportation		1.7
Utilities		1.2
Retailing		0.7
Commercial & Professional Services		0.4
Pharmaceuticals, Biotechnology & Life Sciences		0.4
Automobiles & Components		0.3
		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.

* Includes companies that derive more than 50% of their revenues or profits from emerging markets.

# 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 Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 73.7%
		Belgium — 0.7%
	144,000	Anheuser-Busch InBev SA/NV Sponsored ADR		17,045,280
		Brazil — 2.1%
	2,700,300	Banco BTG Pactual SA *		14,016,838
	2,700,300	BTG Pactual Participations Ltd. *		343,129
	5,332,821	LPS Brasil Consultoria de Imoveis SA *		8,047,048
	8,121,300	Rumo SA *		26,650,898
		Total Brazil		49,057,913
		China — 27.2%
	686,900	Alibaba Group Holding Ltd Sponsored ADR *		117,968,206
	2,453,000	Anhui Conch Cement Co Ltd – Class H		9,179,149
	27,202,000	China Construction Bank Corp – Class H		23,932,487
	13,400,000	China Life Insurance Co Ltd – Class H		43,144,568
	195,742	China Lodging Group Ltd Sponsored ADR *		22,218,674
	21,163,000	China Merchants Bank Co Ltd – Class H		80,007,763
	672,131	Dong-E-E-Jiao Co Ltd		6,360,243
	2,517,452	Gree Electric Appliances Inc of Zhuhai – Class A		14,771,773
	12,140,000	Greentown Service Group Co Ltd		7,439,959
	2,788,243	Hangzhou Robam Appliances Co Ltd – Class A		16,606,850
	318,043	Jiangsu Yanghe Brewery Joint-Stock Co Ltd – Class A		4,313,352
	528,894	Kweichow Moutai Co Ltd – Class A		39,406,673
	4,322,393	Midea Group Co Ltd – Class A		26,907,150
	52,200	NetEase Inc ADR		14,398,848
	149,400	New Oriental Education & Technology Group Inc Sponsored ADR *		12,213,450
	4,765,000	Qingdao Haier Co Ltd – Class A		10,146,651
	1,142,586	TAL Education Group ADR		34,768,892
	2,446,500	Tencent Holdings Ltd		102,947,925
	71,000	Weibo Corp Sponsored ADR *		7,178,100
	22,552,500	WH Group Ltd		23,638,314
	2,715,770	Zhejiang Supor Cookware Co Ltd – Class A		15,424,183
		Total China		632,973,210
		Greece — 0.5%
	4,831,961	Alpha Bank AE *		12,258,473
		India — 16.9%
	712,786	Asian Granito India Ltd		5,124,350
	539,619	Avenue Supermarts Ltd *		8,813,492
	2,154,058	Berger Paints India Ltd		8,293,626

Shares		Description	Value ($)
		India — continued
	1,688,387	Bls International Ltd		5,899,901
	1,488,219	CCL Products India Ltd (a)		7,151,163
	1,178,365	CMI Ltd * (b)		3,694,374
	339,751	Dixon Technologies India Ltd. * (c)		9,385,820
	989,140	Dollar Industries Ltd		7,383,010
	3,353,427	Edelweiss Financial Services Ltd		13,085,371
	23,761	Eicher Motors Ltd		11,722,434
	1,262,319	Gateway Distriparks Ltd		4,364,428
	10,683,040	Gayatri Projects Ltd (b)		29,790,740
	647,882	HDFC Bank Ltd (a)		18,066,361
	349,457	Housing Development Finance Corp Ltd – Class A		9,733,132
	3,043,956	ICICI Bank Ltd		14,286,611
	2,231,017	Indiabulls Real Estate Ltd *		8,222,071
	1,073,019	Indraprastha Gas Ltd		21,389,287
	423,320	IndusInd Bank Ltd		10,992,909
	5,171,765	Jain Irrigation Systems Ltd		7,983,094
	21,160,417	Jaiprakash Associates Ltd *		7,896,096
	3,068,905	Kotak Mahindra Bank Ltd		46,963,567
	1,364,381	LIC Housing Finance Ltd		14,415,995
	4,245,830	Muthoot Finance Ltd		31,812,587
	785,260	Navin Fluorine International Ltd		8,111,091
	7,987,944	Petronet LNG Ltd		28,164,222
	1,551,471	Sangam India Ltd		5,885,032
	1,465,907	Sun TV Network Ltd		16,004,072
	2,642,674	Techno Electric & Engineering Co Ltd *		15,008,361
	286,335	V-Mart Retail Ltd		6,357,306
	813,633	Vakrangee Ltd		6,509,216
		Total India		392,509,719
		Indonesia — 3.0%
	17,531,600	Bank Central Asia Tbk PT		24,904,284
	12,898,800	Bank Rakyat Indonesia Persero Tbk PT		14,663,991
	57,133,700	Malindo Feedmill Tbk PT		3,962,654
	75,884,514	Telekomunikasi Indonesia Persero Tbk PT		26,768,877
		Total Indonesia		70,299,806
		Malaysia — 0.3%
	4,386,600	Genting Malaysia Berhad		6,051,603
		Mexico — 0.6%
	13,678,000	Cemex SAB de CV CPO *		12,768,199
		Peru — 0.7%
	82,500	Credicorp Ltd		16,734,300

2 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, 2017 (Unaudited)

Shares		Description	Value ($)
		Philippines — 5.2%
	7,947,222	BDO Unibank Inc		19,770,087
	21,104,800	Century Pacific Food Inc		7,131,348
	9,586,336	Concepcion Industrial Corp		12,011,261
	3,105,480	Philippine Seven Corp		10,271,828
	26,953,400	Puregold Price Club Inc		25,314,434
	4,832,670	Rizal Commercial Banking Corp		4,851,634
	10,546,070	Robinsons Retail Holdings Inc		18,714,542
	6,965,342	Semirara Mining & Power Corp		23,630,671
		Total Philippines		121,695,805
		Qatar — 0.3%
	1,638,316	Qatar Gas Transport Co Ltd Nakilat		7,671,857
		Russia — 2.1%
	1,551,269	LSR Group PJSC GDR (Registered)		4,416,346
	48,585	Magnit PJSC Sponsored GDR (Registered Shares)		2,030,367
	1,548,416	Sberbank of Russia PJSC Sponsored ADR		21,198,806
	608,719	Sollers PJSC *		5,655,678
	369,546	X5 Retail Group NV GDR (Registered) *		15,082,205
		Total Russia		48,383,402
		South Africa — 2.0%
	496,540	Capitec Bank Holdings Ltd		34,395,467
	51,803	Naspers Ltd – N Shares		11,734,885
		Total South Africa		46,130,352
		South Korea — 1.2%
	34,858	BGF retail Co Ltd		2,822,489
	84,589	Coway Co Ltd		7,425,826
	179,520	KB Financial Group Inc		8,832,132
	194,819	Shinhan Financial Group Co Ltd		8,983,270
		Total South Korea		28,063,717
		Taiwan — 2.0%
	23,838,498	E.Sun Financial Holding Co Ltd		14,715,403
	8,869,946	Fubon Financial Holding Co Ltd		14,291,258
	7,713,000	Uni-President Enterprises Corp		16,434,367
		Total Taiwan		45,441,028
		Thailand — 3.0%
	19,795,800	Charoen Pokphand Foods Pcl (Foreign Registered)		16,262,956
	16,346,075	LPN Development Pcl (Foreign Registered)		5,321,792
	12,834,600	Major Cineplex Group Pcl (Foreign Registered)		11,610,546
	169,864,900	Quality Houses Pcl (Foreign Registered)		12,288,735
	9,862,900	Thai Vegetable Oil Pcl (Foreign Registered)		8,464,301

Shares		Description	Value ($)
		Thailand — continued
	7,174,100	Tisco Financial Group Pcl (Foreign Registered)		16,168,747
		Total Thailand		70,117,077
		Turkey — 0.3%
	2,131,265	Dogus Otomotiv Servis ve Ticaret AS *		5,594,282
		United Kingdom — 4.2%
	879,202	British American Tobacco Plc		54,849,133
	725,916	Unilever Plc		42,353,309
		Total United Kingdom		97,202,442
		Vietnam — 1.4%
	2,930,975	Bank for Foreign Trade of Vietnam JSC		4,788,723
	4,159,711	Vietnam Dairy Products JSC		27,165,925
		Total Vietnam		31,954,648
		TOTAL COMMON STOCKS (COST $1,403,710,787)		1,711,953,113
		PREFERRED STOCKS — 2.6%
		Brazil — 2.6%
	4,069,400	Itau Unibanco Holding SA, 0.42%		52,162,679
	487,900	Telefonica Brasil SA, 2.32%		7,569,940
		Total Brazil		59,732,619
		TOTAL PREFERRED STOCKS (COST $49,938,424)		59,732,619
		INVESTMENT FUNDS — 16.9%
		Brazil — 1.9%
	1,120,400	iShares MSCI Brazil Capped ETF		44,816,000
		India — 0.4%
	5,820,000	IRB InvIT Fund		8,816,680
		Taiwan — 7.5%
	4,686,900	iShares MSCI Taiwan Capped ETF		175,665,012
		Thailand — 2.4%
	4,298,973	WHA Premium Growth Freehold & Leasehold Real Estate Investment Trust (Foreign Registered)		1,216,996
	51,564,800	TICON Industrial Growth Leasehold Property Fund (b)		15,450,091
	90,813,092	Digital Telecommunication Infrastructure Fund		39,134,237
		Total Thailand		55,801,324
		United States — 4.7%
	2,415,565	iShares MSCI Emerging Markets ETF		108,289,779
		TOTAL INVESTMENT FUNDS (COST $377,564,531)		393,388,795

See accompanying notes to the financial statements. 3

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Notional Amount / Shares		Description	Value ($)
		RIGHTS/WARRANTS — 0.5%
		China — 0.5%
	767,900	Jiangsu Yanghe Brewery Joint Stock Co Ltd Warrants, Expires 05/14/18 *		10,400,622
		TOTAL RIGHTS/WARRANTS (COST $7,979,008)		10,400,622
		MUTUAL FUNDS — 2.8%
		United States — 2.8%
		Affiliated Issuers — 2.8%
	2,645,322	GMO U.S. Treasury Fund		66,106,591
		TOTAL MUTUAL FUNDS (COST $66,106,591)		66,106,591
		FULLY FUNDED TOTAL RETURN SWAPS — 1.5%
		China — 1.5%
	17,567,876	Total Return on Wuliangye Yibin Co Ltd, Expires 4/9/2018. Premiums Paid/(Received): $17,567,875. Periodic Payment Frequency: N/A. Net Unrealized Appreciation/(Depreciation): $6,109,531 (OTC) (CP-GS)		23,677,406
	1,847,880	Total Return on Zhejiang Supor Cookware Co Ltd, Expires 10/19/2017.Premiums Paid/(Received): $1,847,880. Periodic Payment Frequency: N/A. Net Unrealized Appreciation/(Depreciation): $557,631 (OTC) (CP-GS)		2,405,511
	498,763	Total Return on Zhejiang Supor Cookware Co Ltd, Expires 10/19/2017.Premiums Paid/(Received): $498,763. Periodic Payment Frequency: N/A. Net Unrealized Appreciation/(Depreciation): $158,032 (OTC) (CP-GS)		656,795
	1,299,140	Total Return on Zhejiang Supor Cookware Co Ltd, Expires 11/14/2017.Premiums Paid/(Received): $1,299,140. Periodic Payment Frequency: N/A. Net Unrealized Appreciation/(Depreciation): $541,333 (OTC) (CP-GS)		1,840,473
	346,799	Total Return on Zhejiang Supor Cookware Co Ltd, Expires 11/14/2017.Premiums Paid/(Received): $346,799. Periodic Payment Frequency: N/A. Net Unrealized Appreciation/(Depreciation): $134,165 (OTC) (CP-GS)		480,964
	358,754	Total Return on Zhejiang Supor Cookware Co Ltd, Expires 11/14/2017.Premiums Paid/(Received): $358,754. Periodic Payment Frequency: N/A. Net Unrealized Appreciation/(Depreciation): $158,602 (OTC) (CP-GS)		517,356

Notional Amount / Shares / Par Value†		Description	Value ($)
		China — continued
	1,534,862	Total Return on Zhejiang Supor Cookware Co Ltd, Expires 11/27/2017.Premiums Paid/(Received): $1,534,862. Periodic Payment Frequency: N/A. Net Unrealized Appreciation/(Depreciation): $632,940 (OTC) (CP-GS)		2,167,802
	770,474	Total Return on Zhejiang Supor Cookware Co Ltd, Expires 11/27/2017.Premiums Paid/(Received): $770,474. Periodic Payment Frequency: N/A. Net Unrealized Appreciation/(Depreciation): $307,501 (OTC) (CP-GS)		1,077,975
	1,610,563	Total Return on Zhejiang Supor Cookware Co Ltd, Expires 11/27/2017.Premiums Paid/(Received): $1,610,563. Periodic Payment Frequency: N/A. Net Unrealized Appreciation/(Depreciation): $586,027 (OTC) (CP-GS)		2,196,590
		Total China		35,020,872
		TOTAL FULLY FUNDED TOTAL RETURN SWAPS (COST $25,835,110)		35,020,872
		SHORT-TERM INVESTMENTS — 0.9%
		Time Deposit — 0.0%
	768,953	Barclays (London) Time Deposit, 0.87%, due 09/01/17		768,953
		Total Time Deposits		768,953
		U.S. Government — 0.9%
	1,840,000	U.S. Treasury Bill, 1.08%, due 10/05/17 (d) (e)		1,838,088
	2,000,000	U.S. Treasury Bill, 0.97%, due 11/24/17 (d) (e)		1,995,514
	4,000,000	U.S. Treasury Bill, 0.98%, due 12/07/17 (e)		3,989,480
	5,000,000	U.S. Treasury Bill, 1.05%, due 01/04/18 (d) (e)		4,982,010
	2,000,000	U.S. Treasury Bill, 0.77%, due 09/07/17 (d) (e)		1,999,703
	5,000,000	U.S. Treasury Bill, 1.07%, due 02/15/18 (d) (e)		4,975,472
		Total U.S. Government		19,780,267
		TOTAL SHORT-TERM INVESTMENTS (COST $20,546,004)		20,549,220
		TOTAL INVESTMENTS — 98.9% (Cost $1,951,680,455)		2,297,151,832
		Other Assets and Liabilities (net) — 1.1%		26,586,226
		TOTAL NET ASSETS — 100.0%		$2,323,738,058

4 See accompanying notes to the financial statements.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2017 (Unaudited)

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost ($)		Value as a Percentage of Fund’s Net Assets	Value as of August 31, 2017
Dixon Technologies India Ltd.	8/04/2017		9,417,811	0.40%	$	9,385,820

A summary of outstanding financial instruments at August 31, 2017 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
06/08/2018	MSCI		PHP	1,979,635,372		USD	39,251,222	$	1,433,430

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Value and Net Unrealized Appreciation (Depreciation)
Buys
4,376	Mini MSCI Emerging Markets	September 2017	$	237,660,560	$	8,088,586
Sales
15,342	SET 50	September 2017	$	95,689,631	$	(3,665,598	)
7,578	SGX CNX Nifty Index 50	September 2017		150,829,600		(263,734	)
			$	246,519,231	$	(3,929,332	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of August 31, 2017, 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) Affiliated company (Note 10).

(c) Private placement securities are restricted as to resale.

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

(e) All or a portion of this security has been pledged to cover margin requirements on futures 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 18.

See accompanying notes to the financial statements. 5

GMO Emerging Markets Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2017 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		93.7	%
Preferred Stocks		2.8
Investment Funds		1.3
Mutual Funds		1.3
Futures Contracts		0.3
Short-Term Investments		0.1
Fully Funded Total Return Swaps		0.0	^
Swap Contracts		(0.0	)^
Other		0.5
		100.0	%
Country Summary¤	% of Investments
Taiwan		21.8	%
China		20.6
South Korea		15.3
India		10.8
United States		7.5
Thailand		5.5
Turkey		4.8
Russia		3.4
Brazil		3.4
South Africa		1.2
Greece		1.2
Indonesia		0.7
Philippines		0.7
Mexico		0.6
Qatar		0.5
Chile		0.4
United Kingdom		0.4	*
United Arab Emirates		0.4
Czech Republic		0.3
Malaysia		0.2
Vietnam		0.1
Peru		0.1
Belgium		0.1	*
Sri Lanka		0.0	^
		100.0	%

Industry Group Summary	% of Equity Investments#
Banks		20.4	%
Technology Hardware & Equipment		14.6
Telecommunication Services		10.4
Software & Services		6.8
Semiconductors & Semiconductor Equipment		5.4
Materials		4.9
Automobiles & Components		4.6
Capital Goods		4.1
Real Estate		4.1
Diversified Financials		3.9
Food, Beverage & Tobacco		3.5
Insurance		3.3
Utilities		2.7
Consumer Durables & Apparel		2.2
Energy		2.1
Consumer Services		1.6
Transportation		1.4
Retailing		1.3
Media		0.7
Food & Staples Retailing		0.6
Household & Personal Products		0.6
Pharmaceuticals, Biotechnology & Life Sciences		0.4
Health Care Equipment & Services		0.3
Commercial & Professional Services		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.

¤ 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.

# 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%.

6

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 93.7%
		Belgium — 0.1%
	28,700	Anheuser-Busch InBev SA/NV Sponsored ADR		3,397,219
		Brazil — 2.6%
	4,160,873	AES Tiete Energia SA		18,703,672
	2,454,876	Banco BTG Pactual SA		12,742,880
	715,900	BB Seguridade Participacoes SA		6,304,223
	2,211,776	BTG Pactual Participations Ltd *		281,052
	81,100	Cia de Saneamento Basico do Estado de Sao Paulo ADR		826,409
	886,300	Cia Hering		7,602,046
	1,843,123	EDP – Energias do Brasil SA		8,923,295
	2,191,600	Engie Brasil Energia SA		25,133,586
	464,471	Grendene SA		4,019,311
	1,761,200	LPS Brasil Consultoria de Imoveis SA *		2,657,592
	650,600	Multiplus SA		7,752,595
	145,300	Porto Seguro SA		1,604,007
	10,350,200	Rumo SA *		33,965,267
	1,013,151	Transmissora Alianca de Energia Eletrica SA		7,241,736
	144,100	WEG SA		936,603
		Total Brazil		138,694,274
		Chile — 0.4%
	10,194,118	Enel Americas SA		2,208,167
	634,500	Enel Americas SA ADR		6,814,530
	47,725,697	Enel Chile SA		5,649,848
	1,752,159	Inversiones Aguas Metropolitanas SA		3,151,958
	183,555	Inversiones La Construccion SA		2,660,345
	1,187,915	Vina Concha y Toro SA		2,029,011
		Total Chile		22,513,859
		China — 21.6%
	50,300	51job Inc ADR *		2,987,820
	117,527,290	Agricultural Bank of China Ltd – Class H		55,445,863
	4,552,057	Aier Eye Hospital Group Co Ltd – Class A		16,111,549
	343,072	Alibaba Group Holding Ltd Sponsored ADR *		58,919,185
	608,500	Anhui Conch Cement Co Ltd – Class H		2,277,013
	1,604,000	Anhui Expressway Co Ltd – Class H		1,215,615
	93,800	Baidu Inc Sponsored ADR *		21,391,090
	111,059,682	Bank of China Ltd – Class H		58,692,872
	1,594,000	Baoye Group Co Ltd – Class H *		1,164,398
	339,100	Changyou.com Ltd ADR *		13,570,782
	40,492,560	China Communications Services Corp Ltd – Class H		21,976,551
	202,221,106	China Construction Bank Corp – Class H		177,915,373

Shares		Description	Value ($)
		China — continued
	2,795,468	China International Travel Service Corp Ltd – Class A		12,716,876
	2,330,500	China Lesso Group Holdings Ltd		1,677,214
	3,014,000	China Life Insurance Co Ltd – Class H		9,704,308
	44,100	China Lodging Group Ltd Sponsored ADR *		5,005,791
	28,498,000	China Machinery Engineering Corp – Class H		18,714,775
	4,773,000	China Merchants Bank Co Ltd – Class H		18,044,561
	16,348,737	China Mobile Ltd		173,505,635
	669,100	China Mobile Ltd Sponsored ADR		35,515,828
	1,459,880	CKH Food & Health Ltd *		1,588,496
	4,193,500	Dali Foods Group Co Ltd		2,791,784
	151,500	Dong-E-E-Jiao Co Ltd – Class A		1,433,615
	584,400	Gree Electric Appliances Inc of Zhuhai – Class A		3,429,112
	2,730,000	Greentown Service Group Co Ltd		1,673,071
	5,010,000	Guangdong Investment Ltd		7,409,257
	1,783,200	Haitian International Holdings Ltd		5,364,826
	238,160	Hangzhou Robam Appliances Co Ltd – Class A		1,418,487
	1,235,637	Hangzhou Robam Appliances Co Ltd – Class A		7,355,532
	5,779,500	Harbin Electric Co Ltd – Class H		2,950,516
	10,248,000	Hua Han Health Industry Holdings Ltd * (a)		680,952
	15,251,000	Huabao International Holdings Ltd		9,320,687
	128,322,947	Industrial & Commercial Bank of China Ltd – Class H		96,431,200
	13,542,000	Jiangnan Group Ltd		918,551
	4,140,000	Jiangsu Expressway Co Ltd – Class H		6,355,256
	33,049	Jiangsu Yanghe Brewery Joint-Stock Co Ltd – Class A		448,216
	226,800	Jiangsu Yanghe Brewery Joint-Stock Co Ltd – Class A		3,074,937
	1,217,500	Kingboard Chemical Holdings Ltd		6,655,276
	130,131	Kweichow Moutai Co Ltd – Class A		9,695,761
	179,603	Kweichow Moutai Co Ltd – Class A		13,376,126
	998,007	Midea Group Co Ltd – Class A		6,212,652
	1,534,955	Midea Group Co Ltd – Class A		9,548,266
	58,400	NetEase Inc ADR		16,109,056
	33,700	New Oriental Education & Technology Group Inc Sponsored ADR *		2,754,975
	24,542,000	PICC Property & Casualty Co Ltd – Class H		46,235,632
	1,045,542	Qingdao Haier Co Ltd – Class A		2,226,390
	4,126,400	Qingling Motors Co Ltd – Class H		1,324,788
	2,927,665	SAIC Motor Corp Ltd – Class A		13,218,515
	2,006,000	Shenzhen Expressway Co Ltd – Class H		1,960,581

See accompanying notes to the financial statements. 7

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		China — continued
	14,495,000	Sinopec Engineering Group Co Ltd – Class H		13,082,832
	257,236	TAL Education Group ADR		7,827,692
	1,546,865	Tencent Holdings Ltd		65,091,576
	33,815,000	Want Want China Holdings Ltd		22,393,980
	16,000	Weibo Corp Sponsored ADR *		1,617,600
	5,074,468	WH Group Ltd		5,318,784
	672,729	Wuliangye Yibin Co Ltd – Class A		5,664,340
	9,284,000	Xtep International Holdings Ltd		3,302,240
	3,014,000	Yadea Group Holdings Ltd		743,771
	2,418,200	Yangzijiang Shipbuilding Holdings Ltd		2,672,645
	10,926,000	Zhejiang Expressway Co Ltd – Class H		13,676,045
	181,834	Zhejiang Supor Cookware Co Ltd – Class A		1,032,724
	1,591,945	Zhejiang Supor Cookware Co Ltd – Class A		9,036,370
		Total China		1,139,976,211
		Czech Republic — 0.4%
	3,825,980	Moneta Money Bank AS		13,415,611
	8,115	Philip Morris CR AS		5,755,426
		Total Czech Republic		19,171,037
		Greece — 1.2%
	11,554,965	Alpha Bank AE *		29,314,438
	10,341,896	Eurobank Ergasias SA *		11,162,021
	35,399,812	National Bank of Greece SA *		14,345,753
	1,785,886	Piraeus Bank SA *		10,010,262
		Total Greece		64,832,474
		India — 11.3%
	180,692	Asian Granito India Ltd		1,299,028
	1,104,535	Asian Paints Ltd		20,258,161
	1,422,392	Aurobindo Pharma Ltd		16,178,694
	124,934	Avenue Supermarts Ltd *		2,040,523
	500,213	Berger Paints India Ltd		1,925,937
	380,493	BLS International Services Ltd		1,329,595
	378,049	CCL Products India Ltd (b)		1,816,594
	293,346	CMI Ltd *		919,689
	387,642	Coal India Ltd		1,445,022
	230,645	Dollar Industries Ltd		1,721,550
	825,501	Edelweiss Financial Services Ltd		3,221,179
	5,329	Eicher Motors Ltd		2,629,050
	303,837	Gateway Distriparks Ltd		1,050,507
	16,772,852	Gayatri Projects Ltd (c)		46,772,798
	434,453	HCL Technologies Ltd		5,812,105
	3,733,123	HDFC Bank Ltd (b)		104,099,123
	13,700	HDFC Bank Ltd ADR		1,334,791
	495,281	Hero MotoCorp Ltd		30,924,184

Shares		Description	Value ($)
		India — continued
	964,083	Hindustan Unilever Ltd		18,342,767
	102,642	Hindustan Zinc Ltd		486,882
	78,370	Housing Development Finance Corp Ltd – Class A		2,182,774
	4,729,534	ICICI Bank Ltd		22,197,762
	500,846	Indiabulls Real Estate Ltd *		1,845,791
	265,320	Indraprastha Gas Ltd		5,288,821
	98,008	IndusInd Bank Ltd		2,545,103
	378,414	Infosys Ltd		5,415,839
	4,451,400	Infosys Ltd Sponsored ADR		66,771,000
	3,022,460	Jai Balaji Industries Ltd *		520,575
	1,197,819	Jain Irrigation Systems Ltd		1,848,944
	4,745,506	Jaiprakash Associates Ltd *		1,770,805
	1,754,682	Kiri Industries Ltd * (c)		10,109,021
	2,519,419	Kotak Mahindra Bank Ltd		38,554,762
	2,778,213	KPIT Technologies Ltd		5,071,190
	307,298	LIC Housing Finance Ltd		3,246,898
	55,776	Mahanagar Gas Ltd		909,769
	192,935	Mindtree Ltd		1,387,155
	437,236	Mphasis Ltd		4,161,906
	956,562	Muthoot Finance Ltd		7,167,200
	176,595	Navin Fluorine International Ltd		1,824,081
	685,715	NIIT Technologies Ltd *		5,340,326
	1,916,924	NMDC Ltd		3,801,634
	2,017,376	Petronet LNG Ltd		7,112,947
	397,750	Power Grid Corp of India Ltd		1,361,008
	532,104	Sangam India Ltd		2,018,374
	1,010,897	Sun TV Network Ltd		11,036,490
	1,092,564	Tata Consultancy Services Ltd		42,729,233
	989,788	Tech Mahindra Ltd		6,622,905
	598,416	Techno Electric & Engineering Co Ltd *		3,398,544
	280,103	UltraTech Cement Ltd		17,564,647
	64,136	V-Mart Retail Ltd		1,423,969
	183,393	Vakrangee Ltd		1,467,178
	2,586,470	Wipro Ltd		12,054,576
	637,100	Wipro Ltd ADR		3,784,374
	121,900	WNS Holdings Ltd ADR *		4,266,500
	802,397	Yes Bank Ltd		22,069,685
		Total India		592,479,965
		Indonesia — 0.8%
	52,639,500	Bakrie Telecom Tbk PT *		43,399
	3,943,400	Bank Central Asia Tbk PT		5,601,745
	77,200,500	Bank Pembangunan Daerah Jawa Timur Tbk PT		4,116,539
	4,054,300	Bank Rakyat Indonesia Persero Tbk PT		4,609,128
	6,454,891	Indo Tambangraya Megah Tbk PT		9,420,889
	3,196,300	Indofood Sukses Makmur Tbk PT		2,010,420
	12,104,500	Malindo Feedmill Tbk PT		839,539

8 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, 2017 (Unaudited)

Shares		Description	Value ($)
		Indonesia — continued
	221,029,000	Panin Financial Tbk PT *		4,116,346
	18,238,341	Telekomunikasi Indonesia Persero Tbk PT		6,433,722
	63,700	Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR		2,249,884
		Total Indonesia		39,441,611
		Malaysia — 0.2%
	6,881,800	Berjaya Sports Toto Berhad		3,626,413
	1,483,046	Genting Malaysia Berhad		2,045,959
	5,699,388	KSL Holdings Berhad *		1,656,231
	1,968,900	Lafarge Malaysia Berhad		2,500,548
	2,875,567	UOA Development Berhad		1,749,793
		Total Malaysia		11,578,944
		Mexico — 0.7%
	6,435,424	Cemex SAB de CV CPO *		6,007,367
	3,117,848	Cemex SAB de CV Sponsored ADR *		29,027,165
		Total Mexico		35,034,532
		Peru — 0.1%
	18,600	Credicorp Ltd		3,772,824
		Philippines — 0.7%
	1,781,924	BDO Unibank Inc		4,432,844
	4,697,400	Century Pacific Food Inc		1,587,259
	3,020,358	Concepcion Industrial Corp		3,784,377
	3,884,477	First Gen Corp		1,277,475
	668,290	Manila Electric Co		3,539,056
	6,524,400	Manila Water Co Inc		3,951,050
	743,420	Philippine Seven Corp		2,458,970
	6,492,288	Puregold Price Club Inc		6,097,509
	1,118,870	Rizal Commercial Banking Corp		1,123,261
	2,348,560	Robinsons Retail Holdings Inc		4,167,640
	1,567,745	Semirara Mining & Power Corp		5,318,743
		Total Philippines		37,738,184
		Qatar — 0.5%
	61,557	Al Meera Consumer Goods Co QSC		2,536,088
	301,957	Barwa Real Estate Co		2,627,745
	308,977	Doha Bank QSC		2,563,722
	63,297	Industries Qatar QSC		1,586,964
	145,305	Masraf Al Rayan QSC		1,523,636
	46,680	Qatar Electricity & Water Co QSC		2,381,586
	362,969	Qatar Gas Transport Co Ltd Nakilat		1,699,700
	88,205	Qatar International Islamic Bank QSC		1,328,295
	30,076	Qatar Islamic Bank SAQ		767,488
	207,644	Qatar National Bank QPSC		7,467,035
	169,034	Qatar Navigation QSC		2,966,718

Shares		Description	Value ($)
		Qatar — continued
	170,064	United Development Co QSC		709,352
		Total Qatar		28,158,329
		Russia — 3.5%
	203,300	Aeroflot PJSC		672,564
	2,490,802	Gazprom PJSC Sponsored ADR		9,953,479
	463,978	Globaltrans Investment Plc Sponsored GDR (Registered)		4,710,668
	350,019	LSR Group PJSC GDR (Registered)		996,478
	301,555	LUKOIL PJSC Sponsored ADR		15,183,881
	390,407	M.Video PJSC *		2,826,085
	11,041	Magnit PJSC Sponsored GDR (Registered)		461,403
	1,726,499	MegaFon PJSC GDR (Registered)		17,083,849
	7,176,615	Mobile TeleSystems PJSC Sponsored ADR		71,694,384
	1,511,167	Moscow Exchange MICEX-RTS PJSC		2,746,654
	19,726	Novatek PJSC Sponsored GDR (Registered)		2,086,884
	8,466,135	Rostelecom PJSC		9,785,483
	12,897	Rostelecom PJSC Sponsored ADR		89,798
	1,070,832	Sberbank of Russia PJSC Sponsored ADR		14,660,376
	137,347	Sollers PJSC *		1,276,107
	6,042,705	Surgutneftegas OJSC Sponsored ADR		27,669,111
	32,287	Tatneft PJSC Sponsored ADR		1,290,766
	83,382	X5 Retail Group NV GDR (Registered) *		3,403,053
		Total Russia		186,591,023
		South Africa — 1.3%
	463,138	AECI Ltd		3,811,746
	1,323,189	Barloworld Ltd		13,078,249
	111,469	Capitec Bank Holdings Ltd		7,721,489
	277,838	DataTec Ltd		1,209,052
	2,102,430	FirstRand Ltd		8,987,430
	1,232,093	Lewis Group Ltd	��	3,026,946
	13,879	Mondi Ltd		378,924
	5,060,425	Murray & Roberts Holdings Ltd		5,932,172
	11,665	Naspers Ltd – N Shares		2,642,461
	118,800	Net 1 UEPS Technologies Inc *		1,108,404
	92,673	RMB Holdings Ltd		473,498
	59,181	Truworths International Ltd		377,588
	1,859,728	Tsogo Sun Holdings Ltd		3,121,923
	1,281,855	Wilson Bayly Holmes-Ovcon Ltd		13,699,973
		Total South Africa		65,569,855
		South Korea — 13.8%
	7,919	BGF retail Co Ltd		641,210
	1,749,288	BNK Financial Group Inc		15,313,346
	92,060	Cheil Worldwide Inc		1,553,031

See accompanying notes to the financial statements. 9

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	24,130	CJ O Shopping Co Ltd		4,581,620
	5,762	Com2uSCorp		557,973
	18,999	Coway Co Ltd		1,667,868
	11,934	Cuckoo Electronics Co Ltd		1,420,724
	335,265	Daou Data Corp		3,548,156
	896,793	Daou Technology Inc		15,726,608
	57,812	Dong Ah Tire & Rubber Co Ltd		1,298,925
	409,298	Dongbu Insurance Co Ltd		27,317,635
	75,675	Dongsuh Cos Inc		1,780,628
	1,161,294	Dongwon Development Co Ltd		5,461,588
	1,297,181	Grand Korea Leisure Co Ltd		26,603,888
	96,544	GS Home Shopping Inc		18,893,939
	62,908	GS Retail Co Ltd		2,253,055
	39,570	Hana Financial Group Inc		1,720,892
	5,428	Hana Tour Service Inc		409,920
	261,176	Hankook Tire Co Ltd		13,698,124
	856,132	Hankook Tire Worldwide Co Ltd		16,199,052
	321,279	Hanon Systems		3,301,785
	89,928	Hansol Paper Co Ltd		1,456,994
	238,996	Hanwha Life Insurance Co Ltd		1,553,220
	23,613	Hyundai Engineering & Construction Co Ltd		853,624
	159,112	Hyundai Home Shopping Network Corp		19,423,004
	429,331	Hyundai Hy Communications & Network Co Ltd		1,553,862
	548,372	Hyundai Marine & Fire Insurance Co Ltd		22,521,551
	362,942	Hyundai Mobis Co Ltd		76,049,923
	48,197	Hyundai Wia Corp		2,998,744
	105,149	Innocean Worldwide Inc		6,691,865
	572,177	Kangwon Land Inc		17,521,207
	337,538	KB Financial Group Inc		16,606,395
	23,301	KEPCO Plant Service & Engineering Co Ltd		946,774
	1,620,779	Kia Motors Corp		51,043,095
	71,741	KISCO Corp		2,663,827
	20,426	KIWOOM Securities Co Ltd		1,464,475
	657,177	Korea Asset In Trust Co Ltd		5,413,801
	24,678	Korea Investment Holdings Co Ltd		1,441,153
	760,242	Korea Real Estate Investment & Trust Co Ltd		2,291,480
	23,306	Korea Zinc Co Ltd		10,672,051
	228,490	Korean Reinsurance Co		2,523,649
	274,241	KT Skylife Co Ltd		3,920,070
	392,416	KT&G Corp		39,895,193
	221,624	Kyobo Securities Co Ltd		1,914,572
	310,533	LF Corp		8,022,334
	93,500	LOTTE Himart Co Ltd		5,679,533
	148,248	Maeil Holdings Co Ltd		2,914,916
	264,712	Meritz Financial Group Inc		3,937,815
	322,568	Meritz Fire & Marine Insurance Co Ltd		7,246,689

Shares		Description	Value ($)
		South Korea — continued
	2,267,615	Meritz Securities Co Ltd		9,730,230
	66,176	NH Investment & Securities Co Ltd		811,580
	4,597	Ottogi Corp		3,104,433
	164,735	Partron Co Ltd		1,316,973
	116,358	POSCO Chemtech Co Ltd		3,410,943
	72,654	S&T Motiv Co Ltd		3,376,490
	187,795	Samsung Card Co Ltd		6,194,298
	26,090	Samsung Electronics Co Ltd		53,706,562
	14,427	Samsung Electronics Co Ltd GDR		14,875,258
	62,300	Samsung Fire & Marine Insurance Co Ltd		15,303,723
	31,299	Samsung Life Insurance Co Ltd		3,208,964
	68,330	Samsung Securities Co Ltd		2,218,616
	441,357	Seoyon E-Hwa Co Ltd		4,392,445
	260,817	Shinhan Financial Group Co Ltd		12,026,494
	185,816	Silicon Works Co Ltd		7,234,913
	36,413	Sindoh Co Ltd		2,150,722
	10,861	SK Innovation Co Ltd		1,822,097
	135,081	SK Telecom Co Ltd		30,498,951
	346,000	SK Telecom Co Ltd Sponsored ADR		8,750,340
	78,088	SL Corp		1,355,069
	35,561	Soulbrain Co Ltd		2,040,373
	36,628	Spigen Korea Co Ltd		1,456,310
	3,413,857	Woori Bank		56,350,815
		Total South Korea		728,508,382
		Sri Lanka — 0.0%
	103,983,101	Anilana Hotels & Properties Ltd * (c)		819,356
		Taiwan — 22.8%
	13,961,000	AcBel Polytech Inc		11,142,821
	1,383,000	Actron Technology Corp		4,707,449
	802,000	Advanced Semiconductor Engineering Inc		970,790
	1,397,532	Advantech Co Ltd		10,327,993
	17,752,940	AmTRAN Technology Co Ltd		9,905,740
	6,870,120	Asustek Computer Inc		56,999,391
	456,000	Aurora Corp		897,058
	678,300	Casetek Holdings Ltd		2,255,325
	3,590,000	Catcher Technology Co Ltd		45,918,528
	10,384,000	Cathay Financial Holding Co Ltd		17,000,024
	8,487,000	Chailease Holding Co Ltd		23,138,470
	7,996,000	Cheng Shin Rubber Industry Co Ltd		16,111,236
	821,855	Chicony Electronics Co Ltd		2,067,953
	763,800	Chicony Power Technology Co Ltd		1,562,363
	5,058,100	Chin-Poon Industrial Co Ltd		9,158,534
	718,120	China Life Insurance Co Ltd *		794,569
	1,123,000	China Motor Corp		1,046,516
	544,000	Chipbond Technology Corp		911,841
	12,330,659	Chunghwa Telecom Co Ltd		42,886,579
	128,421	Chunghwa Telecom Co Ltd Sponsored ADR		4,444,651

10 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, 2017 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	252,000	Cleanaway Co Ltd		1,420,486
	31,882,711	Compal Electronics Inc		22,950,300
	4,769,400	Coretronic Corp		5,804,223
	34,914,720	CTBC Financial Holding Co Ltd		22,654,739
	2,922,000	CTCI Corp		4,728,516
	154,000	Delta Electronics Inc		847,218
	2,037,000	Dynapack International Technology Corp		2,619,034
	23,256,108	E.Sun Financial Holding Co Ltd		14,355,896
	96,900	Eclat Textile Co Ltd		1,192,244
	1,322,000	Elan Microelectronics Corp		1,895,232
	1,230,000	Everlight Electronics Co Ltd		1,849,414
	8,474,084	Far EasTone Telecommunications Co Ltd		20,553,147
	3,924,000	Farglory Land Development Co Ltd		4,759,017
	217,000	Feng TAY Enterprise Co Ltd		1,031,218
	808,000	Formosa Chemicals & Fibre Corp		2,544,692
	2,237,000	Formosa Plastics Corp		6,973,666
	3,241,002	Formosan Rubber Group Inc		1,618,390
	17,013,475	Foxconn Technology Co Ltd		54,190,548
	32,933,293	Fubon Financial Holding Co Ltd		53,062,124
	12,349,200	Gigabyte Technology Co Ltd		16,849,885
	903,000	Grand Pacific Petrochemical		766,542
	592,000	Greatek Electronics Inc		949,361
	458,700	Green Seal Holding Ltd		1,187,160
	18,417,754	Highwealth Construction Corp *		29,341,083
	2,927,000	Holtek Semiconductor Inc		5,361,141
	16,380,250	Hon Hai Precision Industry Co Ltd		63,965,733
	2,867,000	Huaku Development Co Ltd		5,887,427
	2,854,900	IEI Integration Corp *		4,361,458
	13,114,600	Inventec Corp		10,435,252
	228,000	Iron Force Industrial Co Ltd		908,079
	2,667,000	ITEQ Corp		5,266,852
	499,000	Kenda Rubber Industrial Co Ltd		714,163
	84,000	King Slide Works Co Ltd		1,169,801
	1,458,000	King’s Town Bank Co Ltd		1,541,353
	507,000	Kinik Co		1,347,185
	182,000	Kung Long Batteries Industrial Co Ltd		936,678
	1,122,000	Lite-On Semiconductor Corp		1,312,843
	31,196,141	Lite-On Technology Corp		46,251,810
	2,417,000	Lotes Co Ltd		15,183,775
	1,151,785	Makalot Industrial Co Ltd		5,454,434
	1,471,290	Mercuries Life Insurance Co Ltd *		788,500
	276,000	Merida Industry Co Ltd		1,214,727
	2,041,000	MIN AIK Technology Co Ltd		1,968,988
	731,000	Nan Ya Plastics Corp		1,849,105
	69,000	Nien Made Enterprise Co Ltd		743,664
	2,939,810	Novatek Microelectronics Corp		11,467,082
	1,862,000	OptoTech Corp		1,020,098
	10,870,470	Pegatron Corp		34,344,702
	9,124,000	Pou Chen Corp		11,858,891

Shares		Description	Value ($)
		Taiwan — continued
	33,000	President Chain Store Corp		276,529
	17,816,550	Quanta Computer Inc		40,656,768
	12,677,870	Radiant Opto-Electronics Corp		32,097,074
	5,622,720	Realtek Semiconductor Corp		21,855,577
	1,733,000	Rechi Precision Co Ltd		1,745,665
	5,379,151	Ruentex Development Co Ltd *		5,279,325
	9,859,000	Ruentex Industries Ltd *		15,909,942
	1,653,000	Sercomm Corp		4,362,598
	1,068,000	ShunSin Technology Holding Ltd		3,927,209
	2,784,000	Sigurd Microelectronics Corp		2,439,436
	6,421,780	Simplo Technology Co Ltd		21,856,648
	921,000	Sinbon Electronics Co Ltd		2,277,343
	2,838,200	Sitronix Technology Corp		8,637,610
	237,000	Soft-World International Corp		566,898
	2,324,000	Syncmold Enterprise Corp		5,369,286
	643,000	Taiflex Scientific Co Ltd		1,112,355
	506,000	Taiwan Cement Corp		585,416
	405,000	Taiwan Mobile Co Ltd		1,449,762
	881,000	Taiwan PCB Techvest Co Ltd		946,414
	1,337,000	Taiwan Semiconductor Co Ltd		1,891,481
	9,511,000	Taiwan Semiconductor Manufacturing Co Ltd		68,455,420
	2,530,420	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		93,549,627
	4,340,269	Taiwan Surface Mounting Technology Corp		3,587,848
	1,732,000	Teco Electric and Machinery Co Ltd		1,621,222
	1,028,000	Test Research Inc		1,339,618
	2,107,000	Tong Hsing Electronic Industries Ltd		8,508,555
	894,000	Topco Scientific Co Ltd		2,345,413
	384,000	Transcend Information Inc		1,146,643
	5,679,160	Tripod Technology Corp		21,328,454
	1,783,000	TXC Corp		2,421,634
	11,296,400	Uni-President Enterprises Corp		24,069,647
	4,839,000	United Integrated Services Co Ltd		8,727,095
	800,000	Visual Photonics Epitaxy Co Ltd		1,619,906
	2,868,000	Wan Hai Lines Ltd		1,997,546
	922,641	Wistron NeWeb Corp		2,783,197
	687,000	Xxentria Technology Materials Corp		1,451,743
	661,748	Yageo Corp		4,258,946
	1,678,000	Yuanta Financial Holding Co Ltd		730,505
	3,997,670	Yungtay Engineering Co Ltd		7,449,997
	207,000	Zeng Hsing Industrial Co Ltd		902,896
		Total Taiwan		1,203,284,955
		Thailand — 5.6%
	9,179,300	Advanced Info Service Pcl (Foreign Registered)		51,899,617
	1,420,500	Airports of Thailand Pcl (Foreign Registered)		2,331,494

See accompanying notes to the financial statements. 11

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		Thailand — continued
	7,432,800	Amata Corp Pcl (Foreign Registered)		4,118,763
	7,336,800	AP Thailand Pcl (Foreign Registered)		1,734,494
	722,600	Bangkok Bank Pcl NVDR		4,018,680
	95,700	Bumrungrad Hospital Pcl (Foreign Registered)		628,297
	5,804,900	Central Pattana Pcl (Foreign Registered)		12,603,527
	4,454,400	Charoen Pokphand Foods Pcl (Foreign Registered)		3,659,448
	2,969,000	Delta Electronics Thailand Pcl (Foreign Registered)		7,957,868
	7,132,000	Eastern Polymer Group Pcl (Foreign Registered)		2,470,050
	4,734,901	Glow Energy Pcl (Foreign Registered)		12,232,636
	752,900	Group Lease Pcl NVDR		445,418
	8,018,500	Hana Microelectronics Pcl (Foreign Registered)		10,564,956
	5,672,900	Intouch Holdings Pcl (Foreign Registered) (b)		9,617,876
	2,876,900	Intouch Holdings Pcl NVDR		4,916,852
	19,095,400	Jasmine International Pcl (Foreign Registered)		4,485,593
	946,700	Kasikornbank Pcl NVDR		5,741,982
	504,300	KCE Electronics Pcl (Foreign Registered)		1,328,904
	383,800	Kiatnakin Bank Pcl (Foreign Registered)		811,985
	5,328,800	Krung Thai Bank Pcl (Foreign Registered)		3,004,397
	27,333,500	Land & Houses Pcl NVDR		7,991,010
	22,332,250	LPN Development Pcl (Foreign Registered)		7,270,711
	2,892,950	Major Cineplex Group Pcl (Foreign Registered)		2,617,045
	3,246,800	MC Group Pcl (Foreign Registered)		1,378,704
	1,681,000	Pruksa Holding Pcl (Foreign Registered)		1,154,248
	1,727,800	PTT Exploration & Production Pcl (Foreign Registered)		4,561,075
	8,970,600	PTT Global Chemical Pcl (Foreign Registered)		20,696,688
	979,700	PTT Pcl (Foreign Registered)		11,784,859
	78,514,900	Quality Houses Pcl (Foreign Registered)		5,680,095
	5,421,102	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered)		9,103,369
	127,803,223	Sansiri Pcl (Foreign Registered)		8,010,316
	2,014,000	Siam Cement Pcl (The) (Foreign Registered)		30,349,009
	1,254,600	Siam Commercial Bank Pcl (The) (Foreign Registered)		5,696,312
	721,500	Srisawad Corp Pcl (Foreign Registered)		1,113,593
	8,704,100	Star Petroleum Refining Pcl		4,377,608
	9,383,000	STP & I Pcl (Foreign Registered)		1,935,659
	4,033,400	Supalai Pcl (Foreign Registered)		3,067,109
	1,721,000	Thai Beverage Pcl		1,181,544
	647,200	Thai Oil Pcl (Foreign Registered)		1,838,227

Shares		Description	Value ($)
		Thailand — continued
	4,422,000	Thai Vegetable Oil Pcl (Foreign Registered)		3,794,943
	1,608,100	Tisco Financial Group Pcl (Foreign Registered)		3,624,282
	2,580,300	Total Access Communication Pcl (Foreign Registered) *		4,263,879
	30,027,950	TTW Pcl (Foreign Registered)		9,862,883
	5,930,200	WHA Corp Pcl (Foreign Registered)		567,928
		Total Thailand		296,493,933
		Turkey — 5.1%
	119,497	Akbank Turk AS		358,397
	245,849	BIM Birlesik Magazalar AS		5,449,930
	479,435	Dogus Otomotiv Servis ve Ticaret AS *		1,258,452
	29,785	EGE Endustri VE Ticaret AS		2,256,508
	77,569,711	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT) *		66,118,184
	3,618,634	Enka Insaat ve Sanayi AS		5,611,978
	12,830,045	Eregli Demir ve Celik Fabrikalari TAS		30,566,835
	235,721	Ford Otomotiv Sanayi AS		3,247,267
	4,416,751	Haci Omer Sabanci Holding AS		13,575,430
	15,602	Konya Cimento Sanayii AS		1,205,800
	431,256	Koza Altin Isletmeleri AS *		4,014,924
	190,352	Otokar Otomotiv Ve Savunma Sanayi AS		6,374,250
	568,588	Selcuk Ecza Deposu Ticaret ve Sanayi AS		647,726
	9,801,084	Soda Sanayii AS		14,794,466
	1,529,820	Tekfen Holding AS		5,679,951
	96,079	Tofas Turk Otomobil Fabrikasi AS		880,216
	23,403,562	Turkiye Garanti Bankasi AS		72,920,440
	5,482,373	Turkiye Halk Bankasi AS		23,574,304
	14,915,905	Turkiye Sinai Kalkinma Bankasi AS		6,564,950
	318,224	Turkiye Vakiflar Bankasi TAO – Class D		664,897
	492,177	Yapi ve Kredi Bankasi AS *		693,966
		Total Turkey		266,458,871
		United Arab Emirates — 0.4%
	3,392,112	Aldar Properties PJSC		2,143,710
	13,707,242	DAMAC Properties Dubai Co PJSC		15,105,825
	620,609	Emirates Telecommunications Group Co PJSC		3,046,594
	7,815,030	RAK Properties PJSC		1,429,757
		Total United Arab Emirates		21,725,886
		United Kingdom — 0.4%
	194,257	British American Tobacco Plc		12,118,749
	174,851	Unilever Plc		10,201,619
		Total United Kingdom		22,320,368
		Vietnam — 0.2%
	1,011,966	Bank for Foreign Trade of Vietnam JSC		1,653,383

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, 2017 (Unaudited)

Shares		Description	Value ($)
		Vietnam — continued
	933,202	Vietnam Dairy Products JSC		6,094,485
		Total Vietnam		7,747,868
		TOTAL COMMON STOCKS (COST $4,278,453,436)		4,936,309,960
		PREFERRED STOCKS — 2.8%
		Brazil — 0.5%
	1,138,100	Banco do Estado do Rio Grande do Sul SA – Class B, 0.23%		6,117,398
	26,500	Cia de Transmissao de Energia Eletrica Paulista, 1.20%		595,605
	1,289,600	Itau Unibanco Holding SA, 0.42%		16,530,444
	456,300	Itausa – Investimentos Itau SA, 0.54%		1,478,552
	158,600	Telefonica Brasil SA, 2.32%		2,460,735
		Total Brazil		27,182,734
		Russia — 0.1%
	4,600,823	Surgutneftegas OJSC, 2.04%		2,298,315
	289	Transneft PJSC, 4.61%		888,489
		Total Russia		3,186,804
		South Korea — 2.2%
	70,239	Samsung Electronics Co Ltd, 1.36%		117,592,147
		TOTAL PREFERRED STOCKS (COST $100,785,989)		147,961,685
		INVESTMENT FUNDS — 1.3%
		India — 0.1%
	10,189	Fire Capital Mauritius Private Fund * (d) (e)		3,236,598
	1,305,000	IRB InvIT Fund		1,976,936
	1,371,900	TDA India Technology Fund II LP * (d) (e)		98,735
		Total India		5,312,269
		Russia — 0.0%
	5,431,855	NCH Eagle Fund LP * (d) (e)		2,632,636
		Thailand — 0.2%
	14,113,500	Digital Telecommunication Infrastructure Fund		6,081,954
	10,457,700	TICON Industrial Growth Leasehold Property Fund		3,133,386
		Total Thailand		9,215,340

Shares / Notional Amount / Par Value†		Description	Value ($)
		United States — 1.0%
	1,197,413	iShares MSCI Emerging Markets ETF		53,680,025
		TOTAL INVESTMENT FUNDS (COST $78,956,245)		70,840,270
		MUTUAL FUNDS — 1.3%
		United States — 1.3%
		Affiliated Issuers — 1.3%
	2,810,617	GMO U.S. Treasury Fund		70,237,320
		TOTAL MUTUAL FUNDS (COST $70,237,320)		70,237,320
		FULLY FUNDED TOTAL RETURN SWAPS — 0.0%
		China — 0.0%
	354,789	Total Return on Zhejiang Supor Cookware Co, Expires 11/27/2017. Premiums Paid/(Received):$354,789. Periodic Payment Frequency: N/A. Net Unrealized Appreciation/(Depreciation): $146,307 (OTC) (CP-GS) (a)		501,096
		TOTAL FULLY FUNDED TOTAL RETURN SWAPS (COST $354,789)		501,096
		SHORT-TERM INVESTMENTS — 0.1%
		Time Deposits — 0.1%
EUR	1,145	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.56)%, due 09/01/17		1,363
	3,002,406	Sumitomo (Tokyo) Time Deposit, 0.87%, due 09/01/17		3,002,406
		Total Time Deposits		3,003,769
		TOTAL SHORT-TERM INVESTMENTS (COST $3,003,769)		3,003,769
		TOTAL INVESTMENTS — 99.2% (Cost $4,531,791,548)		5,228,854,100
		Other Assets and Liabilities (net) — 0.8%		39,655,354
		TOTAL NET ASSETS — 100.0%		$5,268,509,454

See accompanying notes to the financial statements. 13

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2017 (Unaudited)

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost ($)		Value as a Percentage of Fund’s Net Assets	Value as of August 31, 2017
Fire Capital Mauritius Private Fund	12/12/06-10/26/09		10,189,080	0.06%	$	3,236,598
NCH Eagle Fund LP	4/6/09		5,452,004	0.05%		2,632,636
TDA India Technology Fund II LP	2/23/00-3/23/04		—	0.00%		98,735
					$	5,967,969

A summary of outstanding financial instruments at August 31, 2017 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Value and Net Unrealized Appreciation (Depreciation)
	Buys
5,320	Mini MSCI Emerging Markets	September 2017	$	288,929,200	$	16,095,470

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received)		Value ($)			Net Unrealized Appreciation/ (Depreciation)
Depreciation of Total Return on Asustek Computer Inc + (Daily Fed Funds Rate minus 0.25%)	Appreciation of Total Return on Asustek Computer Inc	MSCI		USD	24,667,043		09/07/2017		At Maturity		—		(1,281,743	)		(1,281,743	)
Depreciation of Total Return on Transmissora Alianca De-Unit + (Daily Fed Funds Rate minus 15.00%)	Appreciation of Total Return on Transmissora Alianca De-Unit	MSCI		USD	2,614,805		09/08/2017		At Maturity		—		(176,706	)		(176,706	)
Depreciation of Total Return on Transmissora Alianca De-Unit + (Daily Fed Funds Rate minus 11.00%)	Appreciation of Total Return on Transmissora Alianca De-Unit	CSI		USD	3,922,595		09/08/2017		Monthly		—		(274,238	)		(274,238	)
										$	—	$	(1,732,687	)	$	(1,732,687	)

As of August 31, 2017, 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) Investment valued using significant unobservable inputs (Note 2).

(b) Security valued at the local price and adjusted by applying a premium or discount since holding exceeds foreign ownership limits.

(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. Investment valued using significant unobservable inputs (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 18.

14 See accompanying notes to the financial statements.

GMO Taiwan Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2017 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.1	%
Investment Funds		2.1
Mutual Funds		1.4
Short-Term Investments		0.2
Other		0.2
		100.0	%
Industry Sector Summary	% of Equity Investments#
Technology Hardware, Storage & Peripherals		22.5	%
Semiconductors & Semiconductor Equipment		19.5
Electronic Equipment, Instruments & Components		16.4
Diversified Financial Services		7.3
Banks		4.5
Real Estate Management & Development		4.4
Textiles, Apparel & Luxury Goods		4.2
Diversified Telecommunication Services		3.5
Auto Components		2.3
Food Products		2.2
Insurance		2.0
Machinery		1.9
Wireless Telecommunication Services		1.7
Household Durables		1.5
Construction & Engineering		1.4
Electrical Equipment		1.3
Chemicals		1.1
Communications Equipment		0.8
Capital Markets		0.3
Marine		0.3
Leisure Products		0.2
Building Products		0.2
Commercial Services & Supplies		0.2
Automobiles		0.1
Software		0.1
IT Services		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.

# 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.

15

GMO Taiwan Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.1%
		Taiwan — 96.1%
	1,296,000	AcBel Polytech Inc		1,034,388
	187,000	Actron Technology Corp		636,510
	5,499	Advantech Co Ltd		40,639
	2,568,850	AmTRAN Technology Co Ltd		1,433,360
	882,323	Asustek Computer Inc		7,320,378
	69,000	Aurora Corp		135,739
	282,000	Catcher Technology Co Ltd		3,606,971
	1,186,000	Cathay Financial Holding Co Ltd		1,941,644
	947,000	Chailease Holding Co Ltd		2,581,847
	963,000	Cheng Shin Rubber Industry Co Ltd		1,940,360
	28,140	Chicony Electronics Co Ltd		70,806
	120,600	Chicony Power Technology Co Ltd		246,689
	406,160	China Life Insurance Co Ltd *		449,398
	186,000	China Motor Corp		173,332
	682,000	Chin-Poon Industrial Co Ltd		1,234,875
	258,000	Chipbond Technology Corp		432,454
	1,282,379	Chunghwa Telecom Co Ltd		4,460,171
	6,105	Chunghwa Telecom Co Ltd Sponsored ADR		211,294
	37,000	Cleanaway Co Ltd		208,563
	1,974,486	Compal Electronics Inc		1,421,305
	693,600	Coretronic Corp		844,091
	4,038,680	CTBC Financial Holding Co Ltd		2,620,535
	426,000	CTCI Corp		689,373
	302,000	Dynapack International Technology Corp		388,291
	4,852,099	E.Sun Financial Holding Co Ltd		2,995,180
	41,820	Eclat Textile Co Ltd		514,547
	201,000	Elan Microelectronics Corp		288,155
	189,000	Everlight Electronics Co Ltd		284,178
	901,767	Far EasTone Telecommunications Co Ltd		2,187,157
	574,000	Farglory Land Development Co Ltd		696,146
	113,000	Feng TAY Enterprise Co Ltd		536,993
	310,000	Formosa Plastics Corp		966,400
	488,500	Formosan Rubber Group Inc		243,932
	1,505,473	Foxconn Technology Co Ltd		4,795,164
	4,384,940	Fubon Financial Holding Co Ltd		7,065,016
	17,000	Giant Manufacturing Co Ltd		86,072
	1,512,000	Gigabyte Technology Co Ltd		2,063,051
	166,000	Grand Pacific Petrochemical		140,915
	56,700	Greatek Electronics Inc		90,927
	70,400	Green Seal Holding Ltd		182,202
	2,108,622	Highwealth Construction Corp *		3,359,218
	30,000	Hiroca Holdings Ltd		112,606
	194,000	Holtek Semiconductor Inc		355,334
	1,814,159	Hon Hai Precision Industry Co Ltd		7,084,386
	392,000	Huaku Development Co Ltd		804,978
	252,000	IEI Integration Corp *		384,983
	448,000	Inventec Corp		356,472
	38,000	Iron Force Industrial Co Ltd		151,346

Shares		Description	Value ($)
		Taiwan — continued
	393,000	ITEQ Corp		776,105
	87,000	Kenda Rubber Industrial Co Ltd		124,513
	15,000	King Slide Works Co Ltd		208,893
	360,000	King’s Town Bank Co Ltd		380,581
	82,000	Kinik Co		217,888
	34,000	Kung Long Batteries Industrial Co Ltd		174,984
	192,000	Lite-On Semiconductor Corp		224,658
	2,641,834	Lite-On Technology Corp		3,916,818
	258,000	Lotes Co Ltd		1,620,775
	197,657	Makalot Industrial Co Ltd		936,031
	391,776	Mercuries Life Insurance Co Ltd *		209,962
	53,000	Merida Industry Co Ltd		233,263
	304,000	MIN AIK Technology Co Ltd		293,274
	43,000	Nien Made Enterprise Co Ltd		463,443
	371,995	Novatek Microelectronics Corp		1,451,011
	284,000	OptoTech Corp		155,590
	714,000	Pegatron Corp		2,255,847
	1,149,000	Pou Chen Corp		1,493,409
	1,464,856	Quanta Computer Inc		3,342,752
	1,177,670	Radiant Opto-Electronics Corp		2,981,555
	687,870	Realtek Semiconductor Corp		2,673,759
	282,000	Rechi Precision Co Ltd		284,061
	932,443	Ruentex Development Co Ltd *		915,139
	1,231,600	Ruentex Industries Ltd *		1,987,492
	183,000	Sercomm Corp		482,974
	155,000	ShunSin Technology Holding Ltd		569,960
	395,000	Sigurd Microelectronics Corp		346,112
	872,000	Simplo Technology Co Ltd		2,967,868
	116,000	Sinbon Electronics Co Ltd		286,831
	397,000	Sitronix Technology Corp		1,208,206
	37,000	Soft-World International Corp		88,503
	299,000	Syncmold Enterprise Corp		690,799
	45,000	Systex Corp		86,630
	107,000	Taiflex Scientific Co Ltd		185,104
	150,000	Taiwan PCB Techvest Co Ltd		161,137
	169,000	Taiwan Semiconductor Co Ltd		239,088
	535,000	Taiwan Semiconductor Manufacturing Co Ltd		3,850,662
	254,580	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		9,411,823
	630,022	Taiwan Surface Mounting Technology Corp		520,803
	295,000	Teco Electric and Machinery Co Ltd		276,132
	156,000	Test Research Inc		203,288
	301,000	Tong Hsing Electronic Industries Ltd		1,215,508
	133,000	Topco Scientific Co Ltd		348,926
	802,000	Tripod Technology Corp		3,011,963
	219,000	TXC Corp		297,441
	1,375,000	Uni-President Enterprises Corp		2,929,762
	657,000	United Integrated Services Co Ltd		1,184,894
	122,000	Visual Photonics Epitaxy Co Ltd		247,036
	528,000	Wan Hai Lines Ltd		367,749

16 See accompanying notes to the financial statements.

GMO Taiwan Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares / Par Value†		Description	Value ($)
		Taiwan — continued
	191,530	Wistron NeWeb Corp		577,761
	111,000	Xxentria Technology Materials Corp		234,561
	128,576	Yageo Corp		827,503
	865,000	Yuanta Financial Holding Co Ltd		376,571
	561,152	Yungtay Engineering Co Ltd		1,045,754
	33,000	Zeng Hsing Industrial Co Ltd		143,940
		Total Taiwan		131,575,463
		TOTAL COMMON STOCKS (COST $117,731,187)		131,575,463
		INVESTMENT FUNDS — 2.1%
		Taiwan — 2.1%
	76,143	iShares MSCI Taiwan Capped ETF		2,853,840
		TOTAL INVESTMENT FUNDS (COST $2,779,465)		2,853,840
		MUTUAL FUNDS — 1.4%
		United States — 1.4%
		Affiliated Issuers — 1.4%
	76,012	GMO U.S. Treasury Fund		1,899,546
		TOTAL MUTUAL FUNDS (COST $1,899,546)		1,899,546
		SHORT-TERM INVESTMENTS — 0.2%
		Time Deposits — 0.2%
	94,772	Standard Chartered Bank (London) Time Deposit, 0.87%, due 09/01/17		94,772
	273,079	Sumitomo (Tokyo) Time Deposit, 0.87%, due 09/01/17		273,079
		Total Time Deposits		367,851
		TOTAL SHORT-TERM INVESTMENTS (COST $367,851)		367,851
		TOTAL INVESTMENTS — 99.8% (Cost $122,778,049)		136,696,700
		Other Assets and Liabilities (net) — 0.2%		220,488
		TOTAL NET ASSETS — 100.0%		$136,917,188

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 18.

See accompanying notes to the financial statements. 17

GMO Trust Funds

Schedule of Investments — (Continued)

August 31, 2017 (Unaudited)

Portfolio Abbreviations:

ADR - American Depositary Receipt

CP - Counterparty

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

NVDR - Non-Voting Depository Receipt

OJSC - Open Joint-Stock Company

OTC - Over-the-Counter

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

Counterparty Abbreviations:

CSI - Credit Suisse International

GS - Goldman Sachs International

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

EUR - Euro

PHP - Philippine Peso

USD - United States Dollar

18 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2017 (Unaudited)

	Emerging Domestic Opportunities Fund		Emerging Markets Fund		Taiwan Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	115,041,796	$	127,938,495	$	1,899,546
Investments in unaffiliated issuers, at value (Note 2)(b)		2,182,110,036		5,100,915,605		134,797,154
Foreign currency, at value (Note 2)(c)		37,971,865		14,825,852		387,689
Receivable for investments sold		13,285,686		24,958,005		—
Receivable for Fund shares sold		31,353		25,827,312		—
Dividends receivable		3,256,637		25,946,199		1,019,591
Dividend withholding tax receivable		167,494		3,799		—
Foreign capital gains tax refund receivable		3,361,358		3,259,364		—
Unrealized appreciation on open forward currency contracts (Note 4)		1,433,430		—		—
Receivable for foreign currency sold		—		3,060		—
Due from broker (Note 2)		4,159,254		18,269,070		—
Receivable for variation margin on open futures contracts (Note 4)		—		106,400		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		37,637		624,736		—
Miscellaneous receivable		12,657		139,532		1,912
Total assets		2,360,869,203		5,342,817,429		138,105,892
Liabilities:
Due to custodian		8,153,222		4,645,578		—
Payable for investments purchased		19,395,886		1,228,432		951,158
Payable for Fund shares repurchased		—		57,274,598		—
Accrued foreign capital gains tax payable (Note 2)		6,490,530		2,971,575		—
Payable to affiliate for (Note 5):
Management fee		1,455,914		3,376,852		95,405
Shareholder service fee		252,732		366,848		17,668
Payable for foreign currency purchased		1,814		—		—
Payable to broker for open futures		613,639		—		—
Payable for open OTC swap contracts (Note 4)		—		1,732,687		—
Miscellaneous payable		—		1,027,747		—
Payable to agents unaffiliated with GMO		372		837		31
Payable to Trustees and related expenses		1,068		3,230		21
Accrued expenses		765,968		1,679,591		124,421
Total liabilities		37,131,145		74,307,975		1,188,704
Net assets	$	2,323,738,058	$	5,268,509,454	$	136,917,188
(a)      Cost of investments – affiliated issuers:	$	92,984,519	$	89,242,599	$	1,899,546
(b)      Cost of investments – unaffiliated issuers:	$	1,858,695,936	$	4,442,548,949	$	120,878,503
(c)      Cost of foreign currency:	$	37,885,232	$	14,791,222	$	387,963

See accompanying notes to the financial statements. 19

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2017 (Unaudited) — (Continued)

	Emerging Domestic Opportunities Fund			Emerging Markets Fund			Taiwan Fund
Net assets consist of:
Paid-in capital	$	2,048,906,517		$	6,321,598,607		$	128,528,407
Accumulated undistributed (distribution in excess of) net investment income		(12,240,907	)		45,013,484			2,438,292
Accumulated net realized gain (loss)		(57,348,990	)		(1,806,652,694	)		(7,969,544	)
Net unrealized appreciation (depreciation)		344,421,438			708,550,057			13,920,033
	$	2,323,738,058		$	5,268,509,454		$	136,917,188
Net assets attributable to:
Class II	$	668,190,531		$	475,917,832		$	—
Class III	$	124,609,369		$	212,898,790		$	136,917,188
Class IV	$	377,282,592		$	712,747,786		$	—
Class V	$	1,153,655,566		$	157,566,114		$	—
Class VI	$	—		$	3,709,378,932		$	—
Shares outstanding:
Class II		25,268,842			13,891,098			—
Class III		4,712,008			6,197,026			5,982,782
Class IV		14,258,793			20,946,698			—
Class V		43,646,209			4,641,509			—
Class VI		—			109,005,485			—
Net asset value per share:
Class II	$	26.44		$	34.26		$	—
Class III	$	26.45		$	34.35		$	22.89
Class IV	$	26.46		$	34.03		$	—
Class V	$	26.43		$	33.95		$	—
Class VI	$	—		$	34.03		$	—

20 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2017 (Unaudited)

	Emerging Domestic Opportunities Fund			Emerging Markets Fund			Taiwan Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax)(a)	$	25,031,947		$	119,634,423		$	4,661,075
Dividends from affiliated issuers (Note 10)		859,862			345,274			4,803
Interest		78,261			26,322			1,512
Total investment income		25,970,070			120,006,019			4,667,390
Expenses:
Management fee (Note 5)		8,227,770			19,138,599			534,398
Shareholder service fee – Class II (Note 5)		693,241			551,674			—
Shareholder service fee – Class III (Note 5)		100,695			177,105			98,963
Shareholder service fee – Class IV (Note 5)		185,249			376,552			—
Shareholder service fee – Class V (Note 5)		455,751			54,233			—
Shareholder service fee – Class VI (Note 5)		1,205	*		968,307			—
Audit and tax fees		75,684			141,236			42,574
Custodian and fund accounting agent fees		1,235,088			3,090,048			140,504
Legal fees		20,304			47,796			2,912
Registration fees		4,048			24,391			652
Transfer agent fees		37,656			48,202			14,424
Trustees’ fees and related expenses (Note 5)		24,140			56,171			1,368
Miscellaneous		17,991			28,786			8,300
Total expenses		11,078,822			24,703,100			844,095
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(254,770	)		(3,480,907	)		—
Net expenses		10,824,052			21,222,193			844,095
Net investment income (loss)		15,146,018			98,783,826			3,823,295
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		124,869,931			279,429,924			3,405,804
Investments in affiliated issuers		(24,064	)		233,611			(721	)
Futures contracts		7,455,664			8,862,633			—
Swap contracts		5,310,520			2,719,381			—
Forward contracts		(1,185,572	)		—			—
Foreign currency and foreign currency related transactions		594,045			(757,256	)		13,267
Net realized gain (loss)		137,020,524			290,488,293			3,418,350
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		179,697,365			276,671,491			4,837,199
Investments in affiliated issuers		7,099,447			13,727,006			—
Futures contracts		(1,408,714	)		16,228,976			—
Swap contracts		(740,882	)		(2,768,018	)		—
Forwards contracts		944,511			—			—
Foreign currency and foreign currency related transactions		153,726			(648,477	)		(5,805	)
Net change in unrealized appreciation (depreciation)		185,745,453			303,210,978			4,831,394
Net realized and unrealized gain (loss)		322,765,977			593,699,271			8,249,744
Net increase (decrease) in net assets resulting from operations	$	337,911,995		$	692,483,097		$	12,073,039
(a)      Withholding tax:	$	2,185,614		$	18,047,628		$	1,077,080
(b)      Significant foreign capital gains tax on net realized gain (loss):	$	2,262,307		$	—		$	—
(c)      Significant foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	2,444,549		$	—		$	—

* Class VI liquidated on March 29, 2017.

See accompanying notes to the financial statements. 21

GMO Trust Funds

Statements of Changes in Net Assets

	Emerging Domestic Opportunities Fund						Emerging Markets Fund
	Six Months Ended August 31, 2017 (Unaudited)			Year Ended February 28, 2017			Six Months Ended August 31, 2017 (Unaudited)			Year Ended February 28, 2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	15,146,018		$	24,223,477		$	98,783,826		$	112,638,039
Net realized gain (loss)		137,020,524			63,783,078			290,488,293			(370,563,280	)
Change in net unrealized appreciation (depreciation)		185,745,453			286,724,494			303,210,978			1,756,659,281
Net increase (decrease) in net assets from operations		337,911,995			374,731,049			692,483,097			1,498,734,040
Distributions to shareholders from:
Net investment income
Class II		(5,077	)		(16,074,541	)		(1,781,824	)		(9,908,272	)
Class III		(23,058	)		(4,625,740	)		(662,797	)		(5,175,773	)
Class IV		(104,059	)		(16,393,890	)		(3,163,220	)		(6,690,386	)
Class V		(370,661	)		(22,714,666	)		(491,176	)		(9,258,670	)
Class VI		—	*		(301,900	)		(14,301,816	)		(78,005,121	)
Total distributions from net investment income		(502,855	)		(60,110,737	)		(20,400,833	)		(109,038,222	)
Net share transactions (Note 9):
Class II		(32,457,663	)		(49,674,608	)		(89,575,729	)		(177,168,152	)
Class III		(25,141,021	)		(148,973,139	)		(121,041,104	)		52,256,879
Class IV		(12,395,941	)		(551,680,333	)		37,427,412			241,413,390
Class V		40,950,149			584,300,107			30,179,926			(258,808,154	)
Class VI		(16,244,932	)*		4,115,333			(287,841,086	)		(1,166,985,719	)
Increase (decrease) in net assets resulting from net share transactions		(45,289,408	)		(161,912,640	)		(430,850,581	)		(1,309,291,756	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class II		144,314			666,973			1,013,674			1,529,910
Class III		29,851			189,178			447,810			719,593
Class IV		80,728			789,104			1,484,417			922,716
Class V		244,227			627,488			269,497			1,099,805
Class VI		2,117	*		12,335			7,122,881			11,065,007
Increase in net assets resulting from purchase premiums and redemption fees		501,237			2,285,078			10,338,279			15,337,031
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(44,788,171	)		(159,627,562	)		(420,512,302	)		(1,293,954,725	)
Total increase (decrease) in net assets		292,620,969			154,992,750			251,569,962			95,741,093
Net assets:
Beginning of period		2,031,117,089			1,876,124,339			5,016,939,492			4,921,198,399
End of period	$	2,323,738,058		$	2,031,117,089		$	5,268,509,454		$	5,016,939,492
Accumulated undistributed (distributions in excess of) net investment income	$	(12,240,907	)	$	(26,884,070	)	$	45,013,484		$	(33,369,509	)

* Class VI liquidated on March 29, 2017.

22 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Taiwan Fund
	Six Months Ended August 31, 2017 (Unaudited)			Year Ended February 28, 2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	3,823,295		$	2,650,663
Net realized gain (loss)		3,418,350			(2,021,151	)
Change in net unrealized appreciation (depreciation)		4,831,394			23,675,986
Net increase (decrease) in net assets from operations		12,073,039			24,305,498
Distributions to shareholders from:
Net investment income
Class III		(930,299	)		(3,287,415	)
Total distributions from net investment income		(930,299	)		(3,287,415	)
Net share transactions (Note 9):
Class III		1,065,156			11,814,153
Increase (decrease) in net assets resulting from net share transactions		1,065,156			11,814,153
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		70,144			258,811
Increase in net assets resulting from purchase premiums and redemption fees		70,144			258,811
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		1,135,300			12,072,964
Total increase (decrease) in net assets		12,278,040			33,091,047
Net assets:
Beginning of period		124,639,148			91,548,101
End of period	$	136,917,188		$	124,639,148
Accumulated undistributed (distributions in excess of) net investment income	$	2,438,292		$	(454,704	)

See accompanying notes to the financial statements. 23

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, 2017 (Unaudited)				Year Ended February 28/29,																					Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,																Period from June 29, 2012 (commencement of operations) through February 28, 2013
					2017				2016				2015				2014				2013									2017				2016				2015				2014
Net asset value, beginning of period		$	22.64			$	19.36			$	23.99			$	22.55			$	24.60			$	21.39				$	22.64			$	19.35			$	23.98			$	22.54			$	24.59			$	21.02
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.16				0.25				0.34				0.28				0.26				0.24					0.17				0.27				0.36				0.29				0.30				0.05
Net realized and unrealized gain (loss)			3.64				3.68				(4.60	)			1.55				(1.22	)			3.27		��			3.64				3.68				(4.60	)			1.55				(1.24	)			3.84
Total from investment operations			3.80				3.93				(4.26	)			1.83				(0.96	)			3.51					3.81				3.95				(4.24	)			1.84				(0.94	)			3.89
Less distributions to shareholders:
From net investment income			(0.00	)(b)			(0.65	)			(0.37	)			(0.23	)			(0.30	)			(0.15	)				(0.00	)(b)			(0.66	)			(0.39	)			(0.24	)			(0.32	)			(0.17	)
From net realized gains			—				—				—				(0.16	)			(0.79	)			(0.15	)				—				—				—				(0.16	)			(0.79	)			(0.15	)
Total distributions			(0.00	)			(0.65	)			(0.37	)			(0.39	)			(1.09	)			(0.30	)				(0.00	)			(0.66	)			(0.39	)			(0.40	)			(1.11	)			(0.32	)
Net asset value, end of period		$	26.44			$	22.64			$	19.36			$	23.99			$	22.55			$	24.60				$	26.45			$	22.64			$	19.35			$	23.98			$	22.54			$	24.59
Total Return(c)			16.79	%**			20.62	%			(17.91	)%			8.18	%			(4.01	)%			16.47	%				16.85	%**			20.73	%			(17.86	)%			8.23	%			(3.95	)%			18.57	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	668,191			$	603,565			$	556,539			$	738,035			$	621,278			$	352,479				$	124,609			$	129,068			$	242,740			$	336,488			$	384,757			$	104,740
Net expenses to average daily net assets(d)			1.08	%*			1.06	%			1.07	%			1.07	%			1.07	%(e)			1.07	%(e)				1.01	%*			0.99	%			1.00	%			1.00	%			1.00	%(e)			1.00	%*(e)
Net investment income (loss) to average daily net assets(a)			1.30	%*			1.12	%			1.51	%			1.21	%			1.09	%			1.05	%				1.36	%*			1.26	%			1.61	%			1.26	%			1.23	%			0.31	%*
Portfolio turnover rate			85	%(f)**			227	%(f)			250	%			204	%			274	%			247	%				85	%(f)**			227	%(f)			250	%			204	%			274	%			247	%**††
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*			0.04	%			0.04	%			0.03	%			0.03	%			0.03	%				0.02	%*			0.05	%			0.04	%			0.03	%			0.03	%			0.04	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.02			$	0.04			$	0.03			$	0.10			$	0.24				$	0.01			$	0.02			$	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)  Amount is 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)  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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 271% and 108%, respectively, 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.

* Annualized.

** Not annualized.

24 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, 2017 (Unaudited)				Year Ended February 28/29,																Period from May 2, 2012 (commencement of operations) through February 28, 2013				Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,												Period from November 29, 2013 (commencement of operations) through February 28, 2014
					2017				2016				2015				2014												2017				2016				2015
Net asset value, beginning of period		$	22.65			$	19.36			$	24.00			$	22.56			$	24.60			$	22.00			$	22.62			$	19.35			$	23.98			$	22.54			$	24.52
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.17				0.29				0.36				0.30				0.31				0.14				0.18				0.23				0.37				0.31				0.01
Net realized and unrealized gain (loss)			3.65				3.67				(4.60	)			1.56				(1.23	)			2.78				3.64				3.73				(4.59	)			1.55				(1.20	)
Total from investment operations			3.82				3.96				(4.24	)			1.86				(0.92	)			2.92				3.82				3.96				(4.22	)			1.86				(1.19	)
Less distributions to shareholders:
From net investment income			(0.01	)			(0.67	)			(0.40	)			(0.26	)			(0.33	)			(0.17	)			(0.01	)			(0.69	)			(0.41	)			(0.26	)			(0.34	)
From net realized gains			—				—				—				(0.16	)			(0.79	)			(0.15	)			—				—				—				(0.16	)			(0.45	)
Total distributions			(0.01	)			(0.67	)			(0.40	)			(0.42	)			(1.12	)			(0.32	)			(0.01	)			(0.69	)			(0.41	)			(0.42	)			(0.79	)
Net asset value, end of period		$	26.46			$	22.65			$	19.36			$	24.00			$	22.56			$	24.60			$	26.43			$	22.62			$	19.35			$	23.98			$	22.54
Total Return(b)			16.86	%**			20.80	%			(17.84	)%			8.29	%			(3.88	)%			13.34	%**			16.88	%**			20.78	%			(17.79	)%			8.32	%			(4.95	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	377,283			$	335,225			$	745,300			$	686,589			$	659,592			$	518,430			$	1,153,656			$	948,052			$	322,379			$	255,379			$	235,753
Net expenses to average daily net assets(c)			0.96	%*			0.95	%			0.96	%			0.95	%			0.95	%(d)			0.95	%*(d)			0.94	%*			0.93	%			0.94	%			0.93	%			0.94	%*(d)
Net investment income (loss) to average daily net assets(a)			1.40	%*			1.34	%			1.61	%			1.29	%			1.29	%			0.71	%*			1.42	%*			1.04	%			1.65	%			1.32	%			0.09	%
Portfolio turnover rate			85	%(e)**			227	%(e)			250	%			204	%			274	%			247	%**††			85	%(e)**			227	%(e)			250	%			204	%			274	%**†††
Fees and expenses reimbursed and/ or waived by GMO to average daily net assets:			0.02	%*			0.04	%			0.04	%			0.03	%			0.03	%			0.04	%*			0.02	%*			0.05	%			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			$	0.03			$	0.10			$	0.28			$	0.01			$	0.03			$	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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 271% and 108%, respectively, 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.

See accompanying notes to the financial statements. 25

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, 2017 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,
					2017(a)				2016(a)				2015(a)				2014(a)				2013(a)								2017(a)				2016(a)				2015(a)				2014(a)				2013(a)
Net asset value, beginning of period		$	29.98			$	22.80			$	30.48			$	30.60			$	35.22			$	36.30			$	30.05			$	22.83			$	30.57			$	30.69			$	35.31			$	36.39
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.60				0.57				0.72				0.84				0.75				0.66				0.54				0.57				0.66				0.81				0.81				0.72
Net realized and unrealized gain (loss)			3.80				7.22				(7.59	)			0.00	(c)			(4.56	)			(1.05	)			3.88				7.27				(7.56	)			0.06				(4.62	)			(1.08	)
Total from investment operations			4.40				7.79				(6.87	)			0.84				(3.81	)			(0.39	)			4.42				7.84				(6.90	)			0.87				(3.81	)			(0.36	)
Less distributions to shareholders:
From net investment income			(0.12	)			(0.61	)			(0.81	)			(0.96	)			(0.81	)			(0.69	)			(0.12	)			(0.62	)			(0.84	)			(0.99	)			(0.81	)			(0.72	)
Total distributions			(0.12	)			(0.61	)			(0.81	)			(0.96	)			(0.81	)			(0.69	)			(0.12	)			(0.62	)			(0.84	)			(0.99	)			(0.81	)			(0.72	)
Net asset value, end of period		$	34.26			$	29.98			$	22.80			$	30.48			$	30.60			$	35.22			$	34.35			$	30.05			$	22.83			$	30.57			$	30.69			$	35.31
Total Return(d)			14.69	%**			34.47	%			(22.76	)%			2.84	%			(10.92	)%			(1.00	)%			14.72	%**			34.67	%			(22.80	)%			2.91	%			(10.87	)%			(0.96	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	475,918			$	498,564			$	532,366			$	1,000,299			$	1,308,100			$	2,004,694			$	212,899			$	301,786			$	189,907			$	283,712			$	447,963			$	970,102
Net expenses to average daily net assets(e)			0.98	%*			1.07	%			1.09	%			1.07	%			1.06	%(f)			1.06	%(f)			0.93	%*			1.01	%			1.04	%			1.02	%			1.01	%(f)			1.01	%(f)
Net investment income (loss) to average daily net assets(b)			3.69	%*			2.08	%			2.57	%			2.66	%			2.33	%			1.97	%			3.35	%*			2.07	%			2.45	%			2.55	%			2.45	%			2.12	%
Portfolio turnover rate			43	%(g)**			62	%(g)			104	%			94	%			98	%			119	%			43	%(g)**			62	%(g)			104	%			94	%			98	%			119	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.13	%*			0.04	%			0.03	%			0.03	%			0.03	%			0.03	%			0.11	%*			0.03	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.07			$	0.09	(a)		$	0.10	(a)		$	0.11	(a)		$	0.10	(a)		$	0.07	(a)		$	0.06			$	0.09	(a)		$	0.10	(a)		$	0.11	(a)		$	0.11	(a)		$	0.09	(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)  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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 80% and 60%, respectively, of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

26 See accompanying notes to the financial statements.

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, 2017 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,
					2017(a)				2016(a)				2015(a)				2014(a)				2013(a)								2017(a)				2016(a)				2015(a)				2014(a)				2013(a)
Net asset value, beginning of period		$	29.78			$	22.65			$	30.30			$	30.45			$	35.04			$	36.09			$	29.70			$	22.59			$	30.24			$	30.39			$	34.98			$	36.03
Income (loss) from investment operations:																	��
Net investment income (loss)(b)†			0.64				0.53				0.69				0.84				0.84				0.66				0.66				0.61				0.72				0.87				0.78				0.75
Net realized and unrealized gain (loss)			3.75				7.24				(7.50	)			0.00	(c)			(4.59	)			(0.96	)			3.72				7.15				(7.50	)			0.00	(c)			(4.50	)			(1.05	)
Total from investment operations			4.39				7.77				(6.81	)			0.84				(3.75	)			(0.30	)			4.38				7.76				(6.78	)			0.87				(3.72	)			(0.30	)
Less distributions to shareholders:
From net investment income			(0.14	)			(0.64	)			(0.84	)			(0.99	)			(0.84	)			(0.75	)			(0.13	)			(0.65	)			(0.87	)			(1.02	)			(0.87	)			(0.75	)
Total distributions			(0.14	)			(0.64	)			(0.84	)			(0.99	)			(0.84	)			(0.75	)			(0.13	)			(0.65	)			(0.87	)			(1.02	)			(0.87	)			(0.75	)
Net asset value, end of period		$	34.03			$	29.78			$	22.65			$	30.30			$	30.45			$	35.04			$	33.95			$	29.70			$	22.59			$	30.24			$	30.39			$	34.98
Total Return(d)			14.75	%**			34.61	%			(22.69	)%			2.88	%			(10.81	)%			(0.81	)%			14.78	%**			34.67	%			(22.67	)%			2.93	%			(10.74	)%			(0.78	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	712,748			$	582,311			$	268,085			$	837,963			$	748,429			$	1,481,411			$	157,566			$	110,257			$	269,570			$	170,125			$	406,384			$	677,796
Net expenses to average daily net assets(e)			0.88	%*			0.96	%			0.99	%			0.97	%			0.96	%(f)			0.96	%(f)			0.83	%*			0.91	%			0.94	%			0.92	%			0.91	%(f)			0.91	%(f)
Net investment income (loss) to average daily net assets(b)			3.98	%*			1.92	%			2.55	%			2.64	%			2.57	%			1.99	%			4.08	%*			2.24	%			2.69	%			2.77	%			2.39	%			2.25	%
Portfolio turnover rate			43	%(g)**			62	%(g)			104	%			94	%			98	%			119	%			43	%(g)**			62	%(g)			104	%			94	%			98	%			119	%
Fees and expenses reimbursed and/ or waived by GMO to average daily net assets:			0.11	%*			0.03	%			0.01	%			0.01	%			0.01	%			0.01	%			0.14	%*			0.06	%			0.04	%			0.04	%			0.04	%			0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.07			$	0.09	(a)		$	0.10	(a)		$	0.11	(a)		$	0.10	(a)		$	0.07	(a)		$	0.07			$	0.08	(a)		$	0.10	(a)		$	0.10	(a)		$	0.10	(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)  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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 80% and 60%, respectively, 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. 27

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class VI Shares
	Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,
					2017(a)				2016(a)				2015(a)				2014(a)				2013(a)
Net asset value, beginning of period		$	29.77			$	22.62			$	30.30			$	30.45			$	35.04			$	36.12
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.63				0.63				0.69				0.90				0.78				0.72
Net realized and unrealized gain (loss)			3.77				7.17				(7.50	)			(0.03	)(c)			(4.47	)			(1.02	)
Total from investment operations			4.40				7.80				(6.81	)			0.87				(3.69	)			(0.30	)
Less distributions to shareholders:
From net investment income			(0.14	)			(0.65	)			(0.87	)			(1.02	)			(0.90	)			(0.78	)
Total distributions			(0.14	)			(0.65	)			(0.87	)			(1.02	)			(0.90	)			(0.78	)
Net asset value, end of period		$	34.03			$	29.77			$	22.62			$	30.30			$	30.45			$	35.04
Total Return(d)			14.82	%**			34.83	%			(22.71	)%			2.96	%			(10.69	)%			(0.82	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,709,379			$	3,524,022			$	3,661,271			$	5,194,557			$	5,220,293			$	5,673,002
Net expenses to average daily net assets(e)			0.80	%*			0.89	%			0.91	%			0.89	%			0.88	%(f)			0.88	%(f)
Net investment income (loss) to average daily net assets(b)			3.90	%*			2.32	%			2.61	%			2.79	%			2.43	%			2.12	%
Portfolio turnover rate			43	%(g)**			62	%(g)			104	%			94	%			98	%			119	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.14	%*			0.06	%			0.04	%			0.04	%			0.04	%			0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.07			$	0.08	(a)		$	0.09	(a)		$	0.11	(a)		$	0.10	(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)  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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 80% and 60%, respectively, of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

28 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

TAIWAN FUND

	Class III Shares
	Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,
					2017				2016				2015				2014				2013
Net asset value, beginning of period		$	21.01			$	16.97			$	22.52			$	21.30			$	20.43			$	21.60
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.64				0.49				0.56				0.46				0.17				0.34
Net realized and unrealized gain (loss)			1.40				4.11				(4.70	)			1.38				0.90				(0.87	)(b)
Total from investment operations			2.04				4.60				(4.14	)			1.84				1.07				(0.53	)
Less distributions to shareholders:
From net investment income			(0.16	)			(0.56	)			(0.48	)			(0.51	)			(0.20	)			(0.23	)
From net realized gains			—				—				(0.93	)			(0.11	)			—				(0.41	)
Total distributions			(0.16	)			(0.56	)			(1.41	)			(0.62	)			(0.20	)			(0.64	)
Net asset value, end of period		$	22.89			$	21.01			$	16.97			$	22.52			$	21.30			$	20.43
Total Return(c)			9.72	%**			27.53	%			(19.02	)%			8.75	%			5.26	%			(2.25	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	136,917			$	124,639			$	91,548			$	117,745			$	151,393			$	56,283
Net expenses to average daily net assets(d)			1.28	%*			1.33	%			1.33	%			1.27	%			1.35	%(e)			1.38	%(e)
Net investment income (loss) to average daily net assets(a)			5.80	%*			2.58	%			2.88	%			2.01	%			0.82	%			1.71	%
Portfolio turnover rate			34	%(f)**			97	%(f)			90	%			134	%			201	%			156	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			—				—				—				—				—				0.00	%(g)
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.05			$	0.03			$	0.06			$	0.03			$	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)  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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 109% and 44%, respectively, of the average value of its portfolio.

^(g)  Ratio is less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 29

GMO Trust Funds

Notes to Financial Statements

August 31, 2017 (Unaudited)

1. Organization

Each of 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 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, 2017, 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

30

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

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, if any, that were valued using fair value inputs obtained from that independent pricing service as of August 31, 2017. 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, 2017 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 Domestic Opportunities Fund		—		69%
Emerging Markets Fund		<1%		88%
Taiwan Fund		—		89%

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, 2017, 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.

31

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

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; 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, 2017:

Description	Level 1		Level 2		Level 3		Total
Emerging Domestic Opportunities Fund
Asset Valuation Inputs
Common Stocks
Belgium	$	17,045,280	$	—	$	—	$	17,045,280
Brazil		—		49,057,913		—		49,057,913
China		208,746,170		424,227,040		—		632,973,210
Greece		—		12,258,473		—		12,258,473
India		—		383,123,899		9,385,820		392,509,719
Indonesia		—		70,299,806		—		70,299,806
Malaysia		—		6,051,603		—		6,051,603
Mexico		12,768,199		—		—		12,768,199
Peru		16,734,300		—		—		16,734,300
Philippines		—		121,695,805		—		121,695,805
Qatar		—		7,671,857		—		7,671,857
Russia		—		48,383,402		—		48,383,402
South Africa		—		46,130,352		—		46,130,352
South Korea		—		28,063,717		—		28,063,717
Taiwan		—		45,441,028		—		45,441,028
Thailand		—		70,117,077		—		70,117,077
Turkey		—		5,594,282		—		5,594,282
United Kingdom		—		97,202,442		—		97,202,442
Vietnam		—		31,954,648		—		31,954,648
TOTAL COMMON STOCKS		255,293,949		1,447,273,344		9,385,820		1,711,953,113
Preferred Stocks
Brazil		—		59,732,619		—		59,732,619
TOTAL PREFERRED STOCKS		—		59,732,619		—		59,732,619
Investment Funds
Brazil		44,816,000		—		—		44,816,000
India		—		8,816,680		—		8,816,680
Taiwan		175,665,012		—		—		175,665,012
Thailand		—		55,801,324		—		55,801,324
United States		108,289,779		—		—		108,289,779
TOTAL INVESTMENT FUNDS		328,770,791		64,618,004		—		393,388,795

32

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

Description	Level 1		Level 2			Level 3		Total
Emerging Domestic Opportunities Fund (continued)
Asset Valuation Inputs (continued)
Rights/Warrants
China	$	—	$	10,400,622		$	—	$	10,400,622
TOTAL RIGHTS/WARRANTS		—		10,400,622			—		10,400,622
Mutual Funds
United States		66,106,591		—			—		66,106,591
TOTAL MUTUAL FUNDS		66,106,591		—			—		66,106,591
Fully Funded Total Return Swaps		—		35,020,872			—		35,020,872
Short-Term Investments		20,549,220		—			—		20,549,220
Total Investments		670,720,551		1,617,045,461			9,385,820		2,297,151,832
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		1,433,430			—		1,433,430
Futures Contracts
Equity Risk		8,088,586		—			—		8,088,586
Total	$	678,809,137	$	1,618,478,891		$	9,385,820	$	2,306,673,848
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	—	$	(3,929,332	)	$	—	$	(3,929,332	)
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Belgium	$	3,397,219	$	—		$	—	$	3,397,219
Brazil		826,409		137,867,865			—		138,694,274
Chile		6,814,530		15,699,329			—		22,513,859
China		165,699,819		973,595,440			680,952		1,139,976,211
Czech Republic		—		19,171,037			—		19,171,037
Greece		—		64,832,474			—		64,832,474
India		76,156,665		516,323,300			—		592,479,965
Indonesia		2,249,884		37,191,727			—		39,441,611
Malaysia		—		11,578,944			—		11,578,944
Mexico		35,034,532		—			—		35,034,532
Peru		3,772,824		—			—		3,772,824
Philippines		—		37,738,184			—		37,738,184
Qatar		—		28,158,329			—		28,158,329
Russia		71,694,384		114,896,639			—		186,591,023
South Africa		1,108,404		64,461,451			—		65,569,855
South Korea		8,750,340		719,758,042			—		728,508,382
Sri Lanka		—		819,356			—		819,356
Taiwan		97,994,278		1,105,290,677			—		1,203,284,955
Thailand		—		296,493,933			—		296,493,933
Turkey		—		266,458,871			—		266,458,871
United Arab Emirates		—		21,725,886			—		21,725,886
United Kingdom		—		22,320,368			—		22,320,368
Vietnam		—		7,747,868			—		7,747,868
TOTAL COMMON STOCKS		473,499,288		4,462,129,720			680,952		4,936,309,960

33

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

Description	Level 1		Level 2			Level 3		Total
Emerging Markets Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks
Brazil	$	—	$	27,182,734		$	—	$	27,182,734
Russia		—		3,186,804			—		3,186,804
South Korea		—		117,592,147			—		117,592,147
TOTAL PREFERRED STOCKS		—		147,961,685			—		147,961,685
Investment Funds
India		—		1,976,936			3,335,333		5,312,269
Russia		—		—			2,632,636		2,632,636
Thailand		—		9,215,340			—		9,215,340
United States		53,680,025		—			—		53,680,025
TOTAL INVESTMENT FUNDS		53,680,025		11,192,276			5,967,969		70,840,270
Mutual Funds
United States		70,237,320		—			—		70,237,320
TOTAL MUTUAL FUNDS		70,237,320		—			—		70,237,320
Fully Funded Total Return Swaps		—		501,096			—		501,096
Short-Term Investments		3,003,769		—			—		3,003,769
Total Investments		600,420,402		4,621,784,777			6,648,921		5,228,854,100
Derivatives^
Futures Contracts		16,095,470		—			—		16,095,470
Total	$	616,515,872	$	4,621,784,777		$	6,648,921	$	5,244,949,570
Liability Valuation Inputs
Derivatives^
Swap Contracts
Equity Risk	$	—	$	(1,732,687	)	$	—	$	(1,732,687	)
Taiwan Fund
Asset Valuation Inputs
Common Stocks
Taiwan	$	9,623,117	$	121,952,346		$	—	$	131,575,463
TOTAL COMMON STOCKS		9,623,117		121,952,346			—		131,575,463
Investment Funds
Taiwan		2,853,840		—			—		2,853,840
TOTAL INVESTMENT FUNDS		2,853,840		—			—		2,853,840
Mutual Funds
United States		1,899,546		—			—		1,899,546
TOTAL MUTUAL FUNDS		1,899,546		—			—		1,899,546
Short-Term Investments		367,851		—			—		367,851
Total Investments		14,744,354		121,952,346			—		136,696,700
Total	$	14,744,354	$	121,952,346		$	—	$	136,696,700

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 and fully funded total return swaps, if any, which are included in investments.

34

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

Investments in other GMO Funds (“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, 2017, 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 28, 2017		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, 2017		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2017
Emerging Domestic Opportunities Fund
Common Stocks
India	$	—	$	9,417,811	$	—		$	—	$	—	$	(31,991	)	$	—	$	—	$	9,385,820	$	(31,991	)
Total	$	—	$	9,417,811	$	—		$	—	$	—	$	(31,991	)	$	—	$	—	$	9,385,820	$	(31,991	)
Emerging Markets Fund
Common Stocks
China	$	686,465	$	—	$	—		$	—	$	—	$	(5,513	)	$	—	$	—	$	680,952	$	(5,513	)
Total Common Stocks	$	686,465	$	—	$	—		$	—	$	—	$	(5,513	)	$	—	$	—	$	680,952	$	(5,513	)
Investment Funds
India		5,842,567	$	—	$	—		$	—	$	—		(2,507,234	)	$	—	$	—	$	3,335,333	$	(2,507,234	)
Russia		2,083,527		—		(20,149	)		—		—		569,258			—		—		2,632,636		569,258
Total Investment Funds	$	7,926,094	$	—	$	(20,149	)	$	—	$	—	$	(1,937,976	)	$	—	$	—	$	5,967,969	$	(1,937,976	)
Total	$	8,612,559	$	—	$	(20,149	)	$	—	$	—	$	(1,943,489	)	$	—	$	—	$	6,648,921	$	(1,943,489	)
Rights/Warrants
India	$	23,428	$	—	$	0		$	—	$	—	$	(23,428	)	$	—	$	—	$	—	$	—
Total	$	8,635,987	$	—	$	(20,149	)	$	—	$	—	$	(1,966,917	)	$	—	$	—	$	6,648,921	$	(1,943,489	)

† 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.

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, 2017 were as follows:

Fund Name	Level 3 securities and derivatives
Emerging Domestic Opportunities Fund		<1%
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 marked-to-market amounts related to foreign currency or cash owed.

35

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

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 or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (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, 2017, 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 certain countries. 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 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.

36

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

As of February 28, 2017, certain Funds elected to defer to March 1, 2017 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 Domestic Opportunities Fund		(2,997,678)		(29,338,211)
Emerging Markets Fund		(5,873,663)		—
Taiwan Fund		(248,729)		(770,197)

As of February 28, 2017, 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 28, 2017, 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 Domestic Opportunities Fund		(116,712,916)		(39,261,324)
Emerging Markets Fund		(353,404,858)		(1,701,826,565)
Taiwan Fund		(564,457)		(6,213,703)

As of August 31, 2017, the approximate total cost, aggregate investment-level gross / net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any) and the net unrealized appreciation (depreciation) of outstanding financial instruments for U.S. federal income tax purposes were as follows:

	Total Investments								Outstanding Financial Instruments
Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Emerging Domestic Opportunities Fund		1,978,322,341		357,619,751		(38,790,260)		318,829,491		5,592,684
Emerging Markets Fund		4,599,583,610		764,531,361		(135,260,871)		629,270,490		14,362,783
Taiwan Fund		127,169,323		13,249,724		(3,722,347)		9,527,377		—

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 tax legislation/initiatives 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.

37

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

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 an investor’s 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 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 for 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 also may reduce the purchase premium to the extent that securities are used to purchase a Fund’s shares (taking into account transaction costs, stamp duties or transfer fees). GMO may reduce redemption fees to the extent a Fund uses portfolio securities to redeem its shares (taking into account transaction costs, stamp duties or transfer fees).

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.

38

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

As of August 31, 2017, the premium on cash purchases and the fee on cash redemptions were as follows:

	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, 2017 and is included within miscellaneous payable within the Statements of Assets and Liabilities. 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.

39

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (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 Domestic Opportunities Fund	Emerging Markets Fund	Taiwan Fund
Counterparty Risk	X	X	X
Credit Risk	X
Currency Risk	X	X	X
Derivatives and Short Sales Risk	X	X	X
Focused Investment Risk	X	X	X
Fund of Funds 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
Market Risk – Fixed Income	X
Non-Diversified Funds	X	X	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.

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.

40

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (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 be forced to hold investments it would prefer to sell, resulting in losses for the Fund. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws 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 in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be 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 that a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty 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). Counterparty risk also will be greater if a counterparty’s obligations exceed the value of collateral held by the Fund (if any).

The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds. Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations or realization on collateral, could be stayed or eliminated under new special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, in the European Union, governmental authorities could reduce, eliminate, or convert to equity the liabilities to the Funds of a counterparty experiencing financial difficulties (sometimes referred to as a “bail in”).

• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer’s, guarantor’s, or obligor’s failure to meet its payment obligations, or in anticipation of such failure, or a downgrading of the credit rating of the investment. This risk is particularly acute in environments in which financial services firms are exposed (as they were in

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2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Fixed income investments are also subject to illiquidity risk. See “Illiquidity Risk.”

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

In many cases, the credit risk and market price of a fixed income investment are reflected in its credit ratings, and a Fund holding a rated investment is subject to the risk that the investment’s rating will be downgraded, resulting in a decrease in the market price of the fixed income investment.

Securities issued by the U.S. government historically have presented minimal credit risk. However, events in 2011 led 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 market price of a Fund’s investments and increase the volatility of a Fund’s portfolio.

Asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors.

A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives and Short Sales Risk” for more information regarding risks associated with the use of credit default swaps. The extent to which the market price of a fixed income investment changes in response to a credit event depends on many factors and can be difficult to predict. For example, even though the effective duration of a long-term floating rate security is very short, an adverse credit event or change in the perceived creditworthiness of its issuer could cause its market price to decline much more than its effective duration would suggest.

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

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• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position will decline in value. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk.”

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

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

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

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

The use of derivatives involves risks that are 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, or the position transferred, only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments GMO believes are owed to 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 exposure arises.

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, under-collateralization and/or errors in the calculation of a Fund’s net asset value.

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A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the cost of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty.

Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk”) and counterparty risk (see “Counterparty Risk”). These derivatives 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 will sometimes be unclear. In addition, the Securities and Exchange Commission (“SEC”) has 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) have adopted similar requirements, which affect a Fund when it enters into a derivatives transaction with a counterparty subject to those requirements. Because these requirements are new and evolving (and some of the rules are not yet final), their impact on the Funds remains unclear.

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

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

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

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

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

These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund or otherwise limiting liquidity. The implementation of the clearing requirement has increased the cost of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they historically posted for bilateral derivatives. The cost of derivatives transactions is expected to increase further as clearing members raise their fees to cover the cost of additional capital requirements and other regulatory changes applicable to the clearing members. These rules and regulations are new and evolving, and, therefore, their potential impact on the Funds and the financial system are not yet known. While the new rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.

Options. The Funds are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights any time before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk because the holder may only exercise the option on its expiration date.) If a Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.

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

Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (i.e., options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While a Fund has greater flexibility to tailor an OTC option, OTC options generally expose a Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary market risks.

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

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

A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying 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 those issuers’ securities than Funds investing in the securities of a larger number of issuers. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments.

Similarly, Funds having a significant portion of their assets in investments tied economically (or related) to a particular geographic region, country (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 also are indirectly exposed to all of the risks to which the Underlying Funds are exposed.

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

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

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

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

• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size, or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits, delays or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed, defaulted or other low quality debt securities, emerging country debt 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. The degree to which a Fund’s securities are illiquid may affect the likelihood of its paying redemption proceeds in-kind.

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

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

• LARGE SHAREHOLDER RISK. To the extent a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities, potentially at disadvantageous prices, to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the outstanding shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments when it would not 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. Further, from time to time a Fund may trade in anticipation of a purchase or redemption order that is not ultimately received or differs in size from the actual order, leading to temporary underexposure or overexposure to the Fund’s intended investment program. Additionally, redemptions and purchases of shares by a large shareholder or group of shareholders potentially limit the use of any capital loss carryforwards to offset future realized capital gains (if any) and other losses that would otherwise reduce distributable net investment income. In addition, large shareholders may limit or prevent a Fund’s use of equalization for U.S. federal tax purposes.

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

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• LEVERAGING RISK. The use of traditional borrowing (including to meet redemption requests), reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives have the potential for unlimited loss, regardless of the size of the initial investment. Similarly, a Fund’s portfolio also will be leveraged if it exercises its right to delay payment on a redemption and can result in losses if the value of the Fund’s assets changes between the time a redemption request is received or deemed to be received by a Fund (which in some cases may be the business day prior to actual receipt of the transaction activity by the Fund) and the time at which the Fund liquidates assets to meet redemption requests. Such a change in the value of a Fund’s assets is more likely in the case of Funds managed from GMO’s non-U.S. offices for which the time period between the NAV determination and corresponding liquidation of assets could be longer due to time zone differences and market schedules. In the case of redemptions representing a significant portion of a Fund’s portfolio, the leverage effects described above can be significant and could expose a Fund and non-redeeming shareholders to material losses.

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

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

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

For many Funds, GMO uses quantitative models as part of its investment process. GMO’s models may not accurately predict future market events. In addition, they use assumptions that can limit their effectiveness, and they rely on data that is subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. The Funds also run the risk that GMO’s assessment of an investment (including a company’s fundamental fair (or intrinsic) value) is 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 a risk of loss resulting from other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors could prevent a Fund from benefiting from 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 to technological malfunctions that may have effects similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and 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, detect and

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respond to 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 a decline in the market price of their securities. Furthermore, as a result of cyber-attacks, technological disruptions, malfunctions, or failures, an exchange or market may close or issue trading halts on specific securities or the entire market, which may result in the Funds being unable, among other things, to buy or sell securities or accurately price their investments. The Funds cannot directly control cyber security plans and systems put in place by their service providers, the Funds’ counterparties, issuers of securities in which the Funds invest, or securities markets and exchanges.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby 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 or other fraudulent trading practices, which could disrupt their orderly functioning or reduce the prices of securities traded on them, including securities held by the Funds. Fraud and other deceptive practices committed by a company whose securities are held by a Fund undermine GMO’s due diligence efforts and, when discovered, will likely cause a steep decline in the market price of those securities and thus negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively affect a Fund’s investment program as well as the rates or indices underlying a Fund’s investments.

While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce the value of the Funds’ investments. Similarly, political events within the United States 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 if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. In June 2016, the United Kingdom approved a referendum to leave the European Union (commonly known as “Brexit”). A significant degree of uncertainty exists about the time frame for Brexit and whether it will have a negative impact on the United Kingdom, the European Union and/or the broader global economy.

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 price of their holdings will decline. Market risks include:

Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as poor performance by the issuer’s management or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may result from general market conditions not specifically related to a company or industry, such as real or perceived

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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 what GMO believes is less than its fundamental fair (or intrinsic) value, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment 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 — Funds that invest in fixed income investments (including bonds, notes, bills, synthetic debt instruments, and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity 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 investments also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the fixed income investment. When interest rates rise, these investments 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 investments (commonly referred to as “junk bonds”) may be particularly volatile. Often below investment grade investments are subject to greater sensitivity to interest rate and economic changes than higher rated investments and can be more difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. See “Credit Risk” and “Illiquidity Risk” for more information about these risks.

A risk run by each Fund with a significant investment in fixed income investments is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases in interest rates (also called “interest rate risk”) is generally greater for Funds investing in fixed income investments with longer durations. In addition, in managing some Funds, GMO may seek to evaluate potential investments in part by considering the volatility of interest rates. The value of a Fund’s investments may be significantly reduced if GMO’s assessment proves incorrect.

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

The market price of inflation-indexed bonds (including TIPS) typically declines during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increases during periods of declining real interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities.

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

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

In response to government intervention, economic or market developments, or other factors, markets for fixed income investments may experience periods of high volatility, reduced liquidity or both. During those periods, a Fund could have unusually high shareholder redemptions, requiring it to generate cash by selling portfolio assets when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value during such periods. In recent years, central banks and governmental financial regulators, including the U.S. Federal Reserve, have kept interest rates historically low by purchasing bonds. Steps to curtail or “taper” such activities (such as recent indications from the U.S. Federal Reserve of its intent to do so) 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.

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• 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.”

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

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

Investing in non-U.S. securities also exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, government involvement in the economy or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises), adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.

In some non-U.S. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States. Fluctuations in foreign currency exchange rates also affect the market prices of a Fund’s non-U.S. securities (see “Currency Risk”).

The Funds need a license to invest directly in 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 thus limits the Fund’s investment opportunities. In addition, the activities of a GMO client could cause the suspension or revocation of a Fund’s license and thereby limit the Fund’s 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 wholly or partially state-owned enterprises); less governmental supervision and regulation of securities markets and participants in those markets; controls on investment, capital controls and limitations on repatriation of invested capital,

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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 depend predominantly on only a few industries or revenues from particular commodities.

• SMALL COMPANY RISK. Companies with smaller market capitalizations tend to have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have inexperienced managers or depend on a smaller group of key employees than larger companies. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for securities of these companies.

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

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

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

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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, 2017, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use	Emerging Domestic Opportunities 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		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

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

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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.

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.

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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 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.

55

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (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, 2017 and the Statements of Operations for the period ended August 31, 2017^:

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

	Credit Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Emerging Domestic Opportunities Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—	$	10,400,622		$	—		$	—	$	—	$	10,400,622
Investments, at value (Fully Funded total return swaps)		—		35,020,872			—			—		—		35,020,872
Unrealized Appreciation on Forward Currency Contracts		—		—			1,433,430			—		—		1,433,430
Unrealized Appreciation on Future Contracts¤		—		8,088,586			—			—		—		8,088,586
Total	$	—	$	53,510,080		$	1,433,430		$	—	$	—	$	54,943,510
Derivatives not subject to Master Agreements	$	—	$	10,400,622		$	—		$	—	$	—	$	10,400,622
Total subject to Master Agreements	$	—	$	43,109,458		$	1,433,430		$	—	$	—	$	44,542,888
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—	$	(3,929,332	)	$	—		$	—	$	—	$	(3,929,332	)
Total	$	—	$	(3,929,332	)	$	—		$	—	$	—	$	(3,929,332	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	(3,929,332	)	$	—		$	—	$	—	$	(3,929,332	)
Net Realized Gain (Loss) on
Swap Contracts	$	—	$	5,310,520		$	—		$	—	$	—	$	5,310,520
Forward Currency Contracts		—		—			(1,185,572	)		—		—		(1,185,572	)
Futures Contracts		—		7,455,664			—			—		—		7,455,664
Total	$	—	$	12,766,184		$	(1,185,572	)	$	—	$	—	$	11,580,612
Change in Net Unrealized Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—	$	1,340,727		$	—		$	—	$	—	$	1,340,727
Investments (Fully Funded total return swaps)		—		5,775,496			—			—		—		5,775,496
Forward Currency Contracts		—		—			944,511			—		—		944,511
Futures Contracts		—		(1,408,714	)		—			—		—		(1,408,714	)
Swap Contracts		—		(740,882	)		—			—		—		(740,882	)
Total	$	—	$	4,966,627		$	944,511		$	—	$	—	$	5,911,138

56

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Emerging Markets Fund
Asset Derivatives
Investments, at value (Fully Funded total return swaps)	$	—	$	501,096		$	—	$	—	$	—	$	501,096
Unrealized Appreciation on Future Contracts¤		—		16,095,470			—		—		—		16,095,470
Total	$	—	$	16,596,566		$	—	$	—	$	—	$	16,596,566
Derivatives not subject to Master Agreements	$	—	$	—		$	—	$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	16,596,566		$	—	$	—	$	—	$	16,596,566
Liability Derivatives
Investments at value (swap contracts)¤	$	—	$	(1,732,687	)	$	—	$	—	$	—	$	(1,732,687	)
Total	$	—	$	(1,732,687	)	$	—	$	—	$	—	$	(1,732,687	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—	$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	(1,732,687	)	$	—	$	—	$	—	$	(1,732,687	)
Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	73,491		$	—	$	—	$	—	$	73,491
Futures Contracts		—		8,862,633			—		—		—		8,862,633
Swap Contracts		—		2,719,381			—		—		—		2,719,381
Total	$	—	$	11,655,505		$	—	$	—	$	—	$	11,655,505
Change in Net Unrealized Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—	$	(133,174	)	$	—	$	—	$	—	$	(133,174	)
Investments (Fully Funded total return swaps)		—		125,889			—		—		—		125,889
Futures Contracts		—		16,228,976			—		—		—		16,228,976
Swap Contracts		—		(2,768,018	)		—		—		—		(2,768,018	)
Total	$	—	$	13,453,673		$	—	$	—	$	—	$	13,453,673

^ 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 unrealized appreciation/depreciation of futures and value of 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 no such event has occurred, the Funds do not presently have a legally enforceable right of set-off and 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 paid by a Fund (or may be received by a Fund) in such an event is represented by the Net Amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.

57

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

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, 2017, 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, 2017:

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
Goldman Sachs International	$	35,020,872	$	(620,000	)	$	—	$	34,400,872
Morgan Stanley & Co. International PLC		1,433,430		(1,390,000	)		—		43,430
Total	$	36,454,302	$	(2,010,000	)	$	—	$	34,444,302

Emerging Markets Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset		Net Amount of Derivative Assets
Goldman Sachs International	$	501,096	$	—		$	—	$	501,096
Total	$	501,096	$	—		$	—	$	501,096
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Credit Suisse International	$	274,238	$	(270,000	)	$	—	$	4,238
Morgan Stanley & Co. International PLC		1,458,449		(1,458,449	)		—		—	*
Total	$	1,732,687	$	(1,728,449	)	$	—	$	4,238

* 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 and 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, 2017:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Swap Contracts ($)		Rights and/or Warrants ($)
Emerging Domestic Opportunities Fund		134,583,145		290,200,134		58,290,872*		9,815,868
Emerging Markets Fund		—		180,651,167		28,047,479*		14,100

* Includes fully funded total return swap average derivative activity for the period ended August 31, 2017.

58

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (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 Domestic Opportunities Fund	Emerging Markets Fund	Taiwan Fund
Management Fee	0.75%	0.75%(1)	0.81%

⁽¹⁾  GMO has contractually agreed to reduce, through at least June 30, 2018, its annual management fee to an annual rate of 0.65% of the Fund’s average daily net asset value.

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. Shareholder service fees are paid monthly at the annual rate equal to the percentage of each applicable Class’s average daily net assets set forth in the table below:

Fund Name	Class II		Class III		Class IV		Class V		Class VI
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%

* Class is offered but has no shareholders as of 8/31.

For each Fund, other than 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.

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, organizational and start-up expenses, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses. 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.

59

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (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, 2018 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, 2017 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 Domestic Opportunities Fund		24,140		2,107
Emerging Markets Fund		56,171		4,868
Taiwan Fund		1,368		184

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2017 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
Emerging Domestic Opportunities Fund		<0.001%		0.000%		0.000%		<0.001%
Emerging Markets Fund		<0.001%		0.000%		0.000%		<0.001%
Taiwan Fund		<0.001%		0.000%		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 ensure 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, 2017, 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, if applicable, for the period ended August 31, 2017 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 Domestic Opportunities Fund		—		2,271,420,596		—		2,303,372,604
Emerging Markets Fund		—		3,012,365,015		—		3,385,798,614
Taiwan Fund		—		66,020,419		—		57,707,481

60

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (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, 2017

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 Domestic Opportunities Fund		2			26.92%		1.21%		—
Emerging Markets Fund		2	#		24.17%		0.70%		72.31%
Taiwan Fund		1			100.00%		—		100.00%

* Each Fund’s outstanding shares were owned by more than 10 shareholders as of August 31, 2017.

# One 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, 2017 (Unaudited)						Year Ended February 28, 2017
	Shares			Amount			Shares			Amount
Emerging Domestic Opportunities Fund
Class II:
Shares sold		559,509		$	13,448,000			7,485,284		$	160,982,074
Shares issued to shareholders in reinvestment of distributions		183			4,540			697,230			14,510,206
Shares repurchased		(1,948,908	)		(45,910,203	)		(10,275,533	)		(225,166,888	)
Purchase premiums		—			19,682			—			78,467
Redemption fees		—			124,632			—			588,506
Net increase (decrease)		(1,389,216	)	$	(32,313,349	)		(2,093,019	)	$	(49,007,635	)
Class III:
Shares sold		—		$	—			2,933,935		$	62,998,906
Shares issued to shareholders in reinvestment of distributions		930			23,058			222,746			4,625,740
Shares repurchased		(990,053	)		(25,164,079	)		(10,000,083	)		(216,597,785	)
Purchase premiums		—			4,223			—			24,572
Redemption fees		—			25,628			—			164,606
Net increase (decrease)		(989,123	)	$	(25,111,170	)		(6,843,402	)	$	(148,783,961	)
Class IV:
Shares sold		—		$	—			6,037,293		$	129,016,957
Shares issued to shareholders in reinvestment of distributions		4,193			104,059			782,540			16,393,889
Shares repurchased		(546,807	)		(12,500,000	)		(30,511,626	)		(697,091,179	)
Purchase premiums		—			11,059			—			104,701
Redemption fees		—			69,669			—			684,403
Net increase (decrease)		(542,614	)	$	(12,315,213	)		(23,691,793	)	$	(550,891,229	)

61

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

	Six Months Ended August 31, 2017 (Unaudited)						Year Ended February 28, 2017
	Shares			Amount			Shares			Amount
Emerging Domestic Opportunities Fund (continued)
Class V:
Shares sold		1,727,470		$	40,626,300			26,717,121		$	614,385,969
Shares issued to shareholders in reinvestment of distributions		14,689			364,138			1,075,943			22,220,013
Shares repurchased		(1,689	)		(40,289	)		(2,550,388	)		(52,305,875	)
Purchase premiums		—			33,720			—			58,196
Redemption fees		—			210,507			—			569,292
Net increase (decrease)		1,740,470		$	41,194,376			25,242,676		$	584,927,595
Class VI:‡
Shares sold		546,851		$	12,564,071			205,646		$	4,338,151
Shares issued to shareholders in reinvestment of distributions		—			—			13,943			290,287
Shares repurchased		(1,215,116	)		(28,809,003	)		(23,501	)		(513,105	)
Purchase premiums		—			48			—			1,413
Redemption fees		—			2,069			—			10,922
Net increase (decrease)		(668,265	)	$	(16,242,815	)		196,088		$	4,127,668
Emerging Markets Fund
Class II:#
Shares sold		503,014		$	16,126,308			823,187		$	23,902,466
Shares issued to shareholders in reinvestment of distributions		47,663			1,535,700			317,627			8,547,393
Shares repurchased		(3,289,423	)		(107,237,737	)		(7,873,707	)		(209,618,011	)
Purchase premiums		—			327,405			—			206,220
Redemption fees		—			686,269			—			1,323,690
Net increase (decrease)		(2,738,746	)	$	(88,562,055	)		(6,732,893	)	$	(175,638,242	)
Class III:#
Shares sold		710,196		$	23,466,126			1,646,735		$	50,110,147
Shares issued to shareholders in reinvestment of distributions		20,520			662,797			101,508			2,737,447
Shares repurchased		(4,575,553	)		(145,170,027	)		(20,839	)		(590,715	)
Purchase premiums		—			123,762			—			115,197
Redemption fees		—			324,048			—			604,396
Net increase (decrease)		(3,844,837	)	$	(120,593,294	)		1,727,404		$	52,976,472
Class IV:#
Shares sold		6,501,521		$	205,307,850			12,277,358		$	367,988,726
Shares issued to shareholders in reinvestment of distributions		57,535			1,840,556			106,683			2,851,160
Shares repurchased		(5,167,635	)		(169,720,994	)		(4,671,454	)		(129,426,496	)
Purchase premiums		—			506,053			—			188,279
Redemption fees		—			978,364			—			734,437
Net increase (decrease)		1,391,421		$	38,911,829			7,712,587		$	242,336,106
Class V:#
Shares sold		913,530		$	29,688,750			3,283,522		$	87,142,351
Shares issued to shareholders in reinvestment of distributions		15,387			491,176			326,859			8,709,058
Shares repurchased		—			—			(11,837,332	)		(354,659,563	)
Purchase premiums		—			94,381			—			107,715
Redemption fees		—			175,116			—			992,090
Net increase (decrease)		928,917		$	30,449,423			(8,226,951	)	$	(257,708,349	)

62

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

	Six Months Ended August 31, 2017 (Unaudited)						Year Ended February 28, 2017
	Shares			Amount			Shares			Amount
Emerging Markets Fund (continued)
Class VI:#
Shares sold		12,680,156		$	415,174,063			9,646,816		$	286,707,394
Shares issued to shareholders in reinvestment of distributions		442,211			14,146,349			2,878,228			76,876,100
Shares repurchased		(22,477,586	)		(717,161,498	)		(55,955,886	)		(1,530,569,213	)
Purchase premiums		—			2,337,017			—			1,452,890
Redemption fees		—			4,785,864			—			9,612,117
Net increase (decrease)		(9,355,219	)	$	(280,718,205	)		(43,430,842	)	$	(1,155,920,712	)
Taiwan Fund
Class III:
Shares sold		534,630		$	11,787,293			2,602,196		$	49,511,671
Shares issued to shareholders in reinvestment of distributions		42,402			930,299			174,377			3,287,415
Shares repurchased		(526,592	)		(11,652,436	)		(2,239,688	)		(40,984,933	)
Purchase premiums		—			17,708			—			74,379
Redemption fees		—			52,436			—			184,432
Net increase (decrease)		50,440		$	1,135,300			536,885		$	12,072,964

# Shares were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

‡ Class VI liquidated on March 29, 2017.

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 or an investment in other funds of GMO Trust. A summary of the Fund’s transactions involving companies that are or were affiliates during the period ended August 31, 2017 is set forth below:

Investments in affiliated issuers

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Emerging Domestic Opportunities Fund
GMO U.S. Treasury Fund	$	66,772,614	$	543,033,040	$	543,674,999	$	282,659	$	(24,064	)	$	—		$	66,106,591
CMI Ltd.		3,202,269		—		—		—		—			492,105			3,694,374
Gayatri Projects Ltd.		22,225,368		—		—		—		—			7,565,372			29,790,740
TICON Industrial Growth Leasehold Property Fund		16,408,121		—		—		577,203		—			(958,030	)		15,450,091
Totals	$	108,608,372	$	543,033,040	$	543,674,999	$	859,862	$	(24,064	)	$	7,099,447		$	115,041,796
Emerging Markets Fund
GMO U.S. Treasury Fund	$	89,875,673	$	887,465,127	$	907,069,999	$	345,274	$	(33,481	)	$	—		$	70,237,320
Anilana Hotels & Properties Ltd		1,028,843		—		—		—		—			(209,487	)		819,356
Gayatri Projects Ltd		35,159,348		—		348,270		—		267,092			11,694,628			46,772,798
Kiri Industries Ltd		7,867,156		—		—		—		—			2,241,865			10,109,021
Totals	$	133,931,020	$	887,465,127	$	907,418,269	$	345,274	$	233,611		$	13,727,006		$	127,938,495

63

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation		Value, end of period
Taiwan Fund
GMO U.S. Treasury Fund	$	1,900,066	$	13,975,201	$	13,975,000	$	4,803	$	(721	)	$	—	$	1,899,546

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2017 through August 31, 2017. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2018.

11. Subsequent events

The Board of Trustees of GMO Trust approved the termination of GMO Taiwan Fund and the Fund liquidated on October 20, 2017.

64

GMO Trust Funds

Board Review of Investment Management Agreements

August 31, 2017 (Unaudited)

GMO Emerging Domestic Opportunities Fund

Approval of renewal of management agreement and sub-advisory agreement for GMO Emerging Domestic Opportunities Fund (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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 privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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 a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

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 fee 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 separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager. In addition, the Trustees reviewed the fee payable by the Manager to GMO Singapore under the Fund’s sub-advisory agreement and considered the services that GMO Singapore provided the Fund. The Trustees considered that GMO Singapore’s sub-advisory fee was paid by the Manager out of the Manager’s management fee, not directly by the Fund.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. The Trustees reviewed the Manager’s

65

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

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 various “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.

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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management and sub-advisory agreements were reasonable.

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 sub-advisory agreement for GMO Emerging Markets Fund (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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 privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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 a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the expense ratios of funds managed by other managers that were determined by a third-party data service to

66

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

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 fee 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 separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager. In addition, the Trustees reviewed the fee payable by the Manager to GMO Singapore under the Fund’s sub-advisory agreement and considered the services that GMO Singapore provided the Fund. The Trustees considered that GMO Singapore’s sub-advisory fee was paid by the Manager out of the Manager’s management fee, not directly by the Fund.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. 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 various “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.

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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management and sub-advisory agreements were reasonable.

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 Taiwan Fund

Approval of renewal of management agreement and sub-advisory agreement for GMO Taiwan Fund (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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 privately. 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.

67

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

At a meeting on May 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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 a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. The Trustees noted that the Fund is not currently offered as 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 fee 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 by the Manager to different share classes of the Fund in light of the services provided by the Manager. In addition, the Trustees reviewed the fee payable by the Manager to GMO Singapore under the Fund’s sub-advisory agreement and considered the services that GMO Singapore provided the Fund. The Trustees considered that GMO Singapore’s sub-advisory fee was paid by the Manager out of the Manager’s management fee, not directly by the Fund.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. 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 various “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.

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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management and sub-advisory agreements were reasonable.

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.

68

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

August 31, 2017 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2017.

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, 2017 through August 31, 2017.

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, 2017		Ending Account Value August 31, 2017		Expenses Paid During the Period*		Beginning Account Value March 1, 2017		Ending Account Value August 31, 2017		Expenses Paid During the Period*		Annualized Expense Ratio
Emerging Domestic Opportunities Fund
Class II		$1,000.00		$1,167.90		$5.90		$1,000.00		$1,019.76		$5.50		1.08%
Class III		$1,000.00		$1,168.50		$5.52		$1,000.00		$1,020.11		$5.14		1.01%
Class IV		$1,000.00		$1,168.60		$5.25		$1,000.00		$1,020.37		$4.89		0.96%
Class V		$1,000.00		$1,168.80		$5.14		$1,000.00		$1,020.47		$4.79		0.94%
Emerging Markets Fund
Class II		$1,000.00		$1,146.90		$5.30		$1,000.00		$1,020.27		$4.99		0.98%
Class III		$1,000.00		$1,147.20		$5.03		$1,000.00		$1,020.52		$4.74		0.93%
Class IV		$1,000.00		$1,147.50		$4.76		$1,000.00		$1,020.77		$4.48		0.88%
Class V		$1,000.00		$1,147.80		$4.49		$1,000.00		$1,021.02		$4.23		0.83%
Class VI		$1,000.00		$1,148.20		$4.33		$1,000.00		$1,021.17		$4.08		0.80%
Taiwan Fund
Class III		$1,000.00		$1,097.20		$6.77		$1,000.00		$1,018.75		$6.51		1.28%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2017, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year.

69

GMO Trust

Semiannual Report

August 31, 2017

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. The GMO Trust Statement of Additional Information includes additional information about the Trustees of GMO Trust and is available without charge, upon request, by calling 1-617-346-7646 (collect).

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.

TABLE OF CONTENTS

Alpha Only Fund
Investment Concentration Summary	1
Schedule of Investments	2
Benchmark-Free Allocation Fund
Investment Concentration Summary	14
Schedule of Investments	15
Benchmark-Free Fund
Investment Concentration Summary	16
Schedule of Investments	17
Global Asset Allocation Fund
Investment Concentration Summary	35
Schedule of Investments	36
Global Developed Equity Allocation Fund
Investment Concentration Summary	37
Schedule of Investments	38
Global Equity Allocation Fund
Investment Concentration Summary	39
Schedule of Investments	40
Implementation Fund
Investment Concentration Summary	41
Schedule of Investments	42
International Developed Equity Allocation Fund
Investment Concentration Summary	68
Schedule of Investments	69
International Equity Allocation Fund
Investment Concentration Summary	70
Schedule of Investments	71
SGM Major Markets Fund
Investment Concentration Summary	72
Schedule of Investments	73
Special Opportunities Fund
Investment Concentration Summary	75
Schedule of Investments	76
Strategic Opportunities Allocation Fund
Investment Concentration Summary	78
Schedule of Investments	79
Portfolio, Counterparty and Currency Abbreviations	80
Fund Financial Statements:
Statements of Assets and Liabilities	81
Statements of Operations	87
Statements of Changes in Net Assets	90
Financial Highlights	96
Notes to Financial Statements	110
Board Review of Investment Management Agreements	170
Fund Expenses	185

GMO Alpha Only Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2017 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		89.8	%
Mutual Funds		4.5
Short-Term Investments		4.4
Preferred Stocks		1.8
Rights/Warrants		0.0	^
Forward Currency Contracts		(0.3	)
Futures Contracts		(1.4	)
Other		1.2
		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 future contracts based on notional amounts are (83.4)% of net assets.

^ Rounds to 0.0%.

1

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 89.8%
		Australia — 1.1%
	9,534	AusNet Services		13,200
	22,215	Australia & New Zealand Banking Group Ltd		520,028
	490	Caltex Australia Ltd		13,031
	340	CIMIC Group Ltd		11,382
	6,235	Commonwealth Bank of Australia		376,683
	1,954	Crown Resorts Ltd		18,046
	5,946	CSR Ltd		19,164
	9,479	Dexus (REIT)		72,435
	60,499	Fortescue Metals Group Ltd		291,091
	1,712	Incitec Pivot Ltd		4,542
	9,900	LendLease Group		130,855
	13,502	Mineral Resources Ltd		160,073
	7,229	Mirvac Group (REIT)		13,371
	16,249	National Australia Bank Ltd		390,662
	6,037	Rio Tinto Ltd		327,296
	22,201	Stockland (REIT)		78,315
	10,908	Suncorp Group Ltd		113,273
	2,901	Tabcorp Holdings Ltd		9,487
	5,075	Tatts Group Ltd		16,601
	1,408	Vocus Group Ltd		2,591
		Total Australia		2,582,126
		Austria — 0.2%
	5,985	OMV AG		344,315
	1,293	Raiffeisen Bank International AG *		42,454
	2,630	UNIQA Insurance Group AG		26,726
	2,205	voestalpine AG		114,426	��
	951	Zumtobel Group AG		17,212
		Total Austria		545,133
		Belgium — 0.1%
	1,974	Ageas		91,643
	3,708	AGFA-Gevaert NV *		16,407
	1,002	KBC Groep NV		82,367
	166	Proximus SADP		5,852
	177	Umicore SA		13,215
		Total Belgium		209,484
		Brazil — 0.5%
	3,200	AES Tiete Energia SA		14,384
	23,045	Banco Bradesco SA		236,098
	23,400	Banco do Brasil SA		228,213
	6,500	Banco Santander Brasil SA		57,900
	650	BR Malls Participacoes SA		2,808
	37,100	Centrais Eletricas Brasileiras SA *		207,666
	6,500	Cia Siderurgica Nacional SA *		17,944
	14,400	EDP – Energias do Brasil SA		69,716
	1,900	Porto Seguro SA		20,975

Shares		Description	Value ($)
		Brazil — continued
	2,654	Sul America SA		15,159
	13,200	TIM Participacoes SA		47,301
	20,100	Vale SA		223,997
		Total Brazil		1,142,161
		Chile — 0.0%
	1,237	Cia Cervecerias Unidas SA		16,962
	4,777	Latam Airlines Group SA		60,351
		Total Chile		77,313
		China — 7.0%
	144,000	Agile Group Holdings Ltd		172,868
	2,239,000	Agricultural Bank of China Ltd – Class H		1,056,293
	91,500	Anhui Conch Cement Co Ltd – Class H		342,394
	28,000	ANTA Sports Products Ltd		110,350
	1,474,000	Bank of China Ltd – Class H		778,980
	372,000	Bank of Communications Co Ltd – Class H		285,046
	10,000	Beijing Capital International Airport Co Ltd – Class H		16,208
	13,500	Beijing Enterprises Holdings Ltd		75,554
	500	Changyou.com Ltd ADR *		20,010
	86,000	China Agri-Industries Holdings Ltd		40,295
	279,000	China Cinda Asset Management Co Ltd – Class H		103,989
	438,000	China CITIC Bank Corp Ltd – Class H		289,896
	31,000	China Coal Energy Co Ltd – Class H		15,645
	189,000	China Communications Construction Co Ltd – Class H		252,200
	338,000	China Communications Services Corp Ltd – Class H		183,443
	20,000	China Conch Venture Holdings Ltd		36,408
	1,302,000	China Construction Bank Corp – Class H		1,145,508
	57,000	China Everbright Bank Co Ltd – Class H		27,428
	4,000	China Everbright Ltd		9,147
	234,000	China Evergrande Group *		708,676
	31,000	China Huarong Asset Management Co Ltd – Class H		13,253
	2,000	China Merchants Port Holdings Co Ltd		6,552
	94,000	China Minsheng Banking Corp Ltd – Class H		93,936
	69,500	China Mobile Ltd		737,589
	748,000	China National Building Material Co Ltd – Class H		471,239
	3,600	China Pacific Insurance Group Co Ltd – Class H		17,020
	1,006,000	China Petroleum & Chemical Corp – Class H		770,119
	325,000	China Railway Construction Corp Ltd – Class H		427,285
	175,000	China Railway Group Ltd – Class H		140,309
	52,000	China SCE Property Holdings Ltd		26,610
	179,000	China Shenhua Energy Co Ltd – Class H		462,315
	1,572,000	China Telecom Corp Ltd – Class H		809,584

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, 2017 (Unaudited)

Shares		Description	Value ($)
		China — continued
	11,100	China Vanke Co Ltd – Class H		33,318
	172,000	Chongqing Rural Commercial Bank Co Ltd – Class H		120,006
	26,000	COSCO SHIPPING Ports Ltd		30,780
	289,000	Country Garden Holdings Co Ltd		384,954
	546,000	Dongfeng Motor Group Co Ltd – Class H		710,173
	31,000	Far East Horizon Ltd		28,392
	78,000	Fosun International Ltd		135,465
	2,400	Fuyao Glass Industry Group Co Ltd – Class H		7,663
	3,000	GF Securities Co Ltd – Class H		6,423
	437,500	Great Wall Motor Co Ltd – Class H		550,647
	38,500	Greentown China Holdings Ltd		46,838
	210,000	Guangzhou R&F Properties Co Ltd – Class H		491,427
	117,000	Haier Electronics Group Co Ltd *		311,814
	30,000	Haitian International Holdings Ltd		90,256
	368,000	HengTen Networks Group Ltd *		11,745
	1,107,000	Industrial & Commercial Bank of China Ltd – Class H		831,880
	46,000	Jiangsu Expressway Co Ltd – Class H		70,614
	162,000	Jiangxi Copper Co Ltd – Class H		282,015
	18,000	Kingboard Chemical Holdings Ltd		98,394
	96,000	Kunlun Energy Co Ltd		93,172
	154,500	KWG Property Holding Ltd		140,807
	103,500	Longfor Properties Co Ltd		249,021
	133,000	Lonking Holdings Ltd		53,086
	109,000	People’s Insurance Co Group of China Ltd (The) – Class H		51,522
	32,000	PICC Property & Casualty Co Ltd – Class H		60,286
	76,000	Shandong Weigao Group Medical Polymer Co Ltd – Class H		60,657
	51,000	Shanghai Industrial Holdings Ltd		155,476
	164,000	Shimao Property Holdings Ltd		339,191
	51,000	Sihuan Pharmaceutical Holdings Group Ltd		19,651
	254,500	Sino-Ocean Group Holding Ltd		176,001
	58,000	Sinopec Engineering Group Co Ltd – Class H		52,349
	98,000	Sinopec Shanghai Petrochemical Co Ltd – Class H		61,176
	34,000	Sinotrans Ltd – Class H		19,253
	34,500	SOHO China Ltd *		20,131
	109,000	Sun Art Retail Group Ltd		100,389
	10,000	Tingyi Cayman Islands Holding Corp		13,331
	4,000	Tsingtao Brewery Co Ltd – Class H		16,622
	25,000	Want Want China Holdings Ltd		16,556
	334,000	Weichai Power Co Ltd – Class H		344,960
	39,000	Yuzhou Properties Co Ltd		25,086
	126,000	Zhejiang Expressway Co Ltd – Class H		157,714
	11,500	Zhongsheng Group Holdings Ltd		25,045
	34,000	Zijin Mining Group Co Ltd – Class H		12,482
	44,600	ZTE Corp – Class H *		121,896
		Total China		16,274,813

Shares		Description	Value ($)
		Colombia — 0.0%
	76,893	Ecopetrol SA		35,718
	3,655	Grupo de Inversiones Suramericana SA		51,430
		Total Colombia		87,148
		Czech Republic — 0.1%
	9,904	CEZ AS		187,969
	4,446	Moneta Money Bank AS		15,590
		Total Czech Republic		203,559
		Denmark — 0.1%
	20	AP Moeller – Maersk A/S – Class A		39,203
	18	AP Moeller – Maersk A/S – Class B		37,182
	196	Carlsberg A/S – Class B		22,527
	296	Schouw & Co AB		31,059
	604	Tryg A/S		13,973
		Total Denmark		143,944
		Egypt — 0.0%
	15,874	Talaat Moustafa Group		6,952
		Finland — 0.2%
	338	Elisa Oyj		14,767
	271	Kesko Oyj – B Shares		14,606
	1,761	Metso Oyj		58,425
	444	Neste Oyj		19,574
	1,995	Orion Oyj – Class B		94,457
	8,182	Stora Enso Oyj – R Shares		107,548
	8,431	UPM-Kymmene Oyj		219,466
	2,323	Valmet Oyj		44,083
		Total Finland		572,926
		France — 3.5%
	328	Accor SA		15,175
	29,970	AXA SA		868,967
	10,255	BNP Paribas SA		779,666
	1,503	Bouygues SA		68,181
	3,579	Casino Guichard Perrachon SA		203,428
	5,681	Cie de Saint-Gobain		311,440
	1,477	Cie Generale des Etablissements Michelin		201,476
	4,596	CNP Assurances		106,676
	45,280	Credit Agricole SA		799,177
	1,820	Electricite de France SA		19,268
	6,418	Engie SA		107,168
	222	Eurazeo SA		18,360
	169	Fonciere Des Regions (REIT)		16,718
	528	Gaztransport Et Technigaz SA		26,916
	189	ICADE (REIT)		16,803
	192	Imerys SA		16,881
	2,857	LVMH Moet Hennessy Louis Vuitton SE		750,447

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, 2017 (Unaudited)

Shares		Description	Value ($)
		France — continued
	36,317	Natixis SA		272,759
	1,201	Neopost SA		52,195
	14,857	Orange SA		252,252
	9,192	Peugeot SA		194,356
	1,069	Rallye SA		19,589
	2,456	Renault SA		217,458
	942	Rexel SA		14,082
	5,903	Sanofi		575,545
	3,788	Schneider Electric SE *		305,468
	4,524	SCOR SE		189,390
	14,230	Societe Generale SA		796,053
	411	Suez		7,797
	11,599	TOTAL SA		601,841
	1,777	Vinci SA		163,501
	75	Wendel SA		11,892
		Total France		8,000,925
		Germany — 3.4%
	5,469	Allianz SE (Registered)		1,172,151
	231	Axel Springer SE		14,313
	9,883	BASF SE		958,625
	15,031	Bayerische Motoren Werke AG		1,397,780
	17,701	Daimler AG (Registered Shares)		1,291,676
	28,499	Deutsche Lufthansa AG (Registered)		715,751
	413	Hannover Rueck SE		50,099
	403	Indus Holding AG		30,426
	1,579	Jenoptik AG		46,326
	1,905	Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		393,456
	207	RTL Group SA		15,730
	23,064	RWE AG *		575,987
	6,278	SAP AG		658,887
	2,297	Siemens AG (Registered)		300,698
	770	Suedzucker AG		16,388
	1,254	Uniper SE		31,293
	790	Volkswagen AG		122,132
		Total Germany		7,791,718
		Greece — 0.0%
	558	FF Group *		13,884
	1,498	OPAP SA		16,739
		Total Greece		30,623
		Hong Kong — 0.6%
	45,000	BOC Hong Kong Holdings Ltd		229,905
	6,000	Cathay Pacific Airways Ltd		8,910
	6,199	CK Asset Holdings Ltd		54,550
	2,000	CLP Holdings Ltd		21,130
	12,000	First Pacific Co Ltd		9,651
	20,000	Hang Lung Properties Ltd		48,764

Shares		Description	Value ($)
		Hong Kong — continued
	13,200	Henderson Land Development Co Ltd		81,993
	14,000	HK Electric Investments & HK Electric Investments Ltd – Class SS		12,867
	51,000	HKT Trust & HKT Ltd – Class SS		66,051
	6,000	Hongkong Land Holdings Ltd		44,518
	7,000	Hysan Development Co Ltd		32,412
	15,650	I-CABLE Communications Ltd *		551
	3,500	Kerry Properties Ltd		13,893
	32,000	Li & Fung Ltd		14,455
	3,000	MTR Corp Ltd		17,559
	14,000	New World Development Co Ltd		19,161
	8,000	NWS Holdings Ltd		15,397
	23,000	PCCW Ltd		12,838
	1,500	Power Assets Holdings Ltd		13,233
	16,000	Sino Land Co Ltd		27,718
	150,000	SJM Holdings Ltd		131,135
	6,000	Sun Hung Kai Properties Ltd		100,274
	6,200	Swire Properties Ltd		21,512
	21,000	Wharf Holdings Ltd (The)		200,331
	12,000	Wheelock & Co Ltd		89,910
	9,000	Yue Yuen Industrial Holdings Ltd		39,040
		Total Hong Kong		1,327,758
		Hungary — 0.1%
	1,113	MOL Hungarian Oil & Gas Plc		103,259
	1,312	OTP Bank Plc		53,381
		Total Hungary		156,640
		India — 2.7%
	10,967	Adani Enterprises Ltd		22,607
	4,296	Aditya Birla Capital Ltd * (a)		10,407
	3,050	Ambuja Cements Ltd		13,437
	34,889	Apollo Tyres Ltd		138,695
	1,671	Balkrishna Industries Ltd		41,282
	17,156	Bharat Heavy Electricals Ltd		34,704
	41,510	Bharat Petroleum Corp Ltd		343,235
	15,269	Canara Bank		81,573
	637	Container Corp Of India Ltd		13,190
	8,815	Escorts Ltd		89,640
	5,764	Exide Industries Ltd		17,804
	28,055	GAIL India Ltd		166,543
	3,069	Grasim Industries Ltd		57,450
	13,817	HCL Technologies Ltd		184,844
	66,315	Hindalco Industries Ltd		247,746
	50,221	Hindustan Petroleum Corp Ltd		384,099
	4,586	Housing Development Finance Corp Ltd – Class A		127,730
	6,401	Idea Cellular Ltd		9,148
	14,749	IDFC Bank Ltd		12,682
	90,300	IFCI Ltd *		33,968

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, 2017 (Unaudited)

Shares		Description	Value ($)
		India — continued
	8,743	Indiabulls Housing Finance Ltd		166,316
	38,594	Indian Oil Corp Ltd		275,364
	56,501	ITC Ltd		249,895
	218,135	Jaiprakash Associates Ltd *		81,398
	50,063	Karnataka Bank Ltd (The)		118,542
	18,000	Larsen & Toubro Ltd		320,046
	873	Mahindra & Mahindra Financial Services Ltd		5,835
	7,538	Mahindra & Mahindra Ltd		158,678
	9,820	NTPC Ltd		25,904
	192,511	Oil & Natural Gas Corp Ltd		473,231
	23,040	Oriental Bank of Commerce *		45,890
	229,590	Power Finance Corp Ltd		439,422
	2,862	Reliance Capital Ltd		36,408
	22,701	Reliance Industries Ltd		567,206
	122,491	Rural Electrification Corp Ltd		324,549
	418	Siemens Ltd		8,460
	3,682	State Bank of India		16,072
	34,266	Syndicate Bank *		34,651
	19,925	Tata Motors Ltd *		117,818
	17,794	Tata Power Co Ltd (The)		22,089
	36,221	Tata Steel Ltd		362,352
	49,792	Union Bank of India *		106,740
	77,698	Vedanta Ltd		376,183
		Total India		6,363,833
		Indonesia — 0.3%
	546,500	Adaro Energy Tbk PT		74,956
	315,500	Astra International Tbk PT		186,505
	52,300	Bank Danamon Indonesia Tbk PT		21,403
	18,900	Bank Mandiri Persero Tbk PT		18,593
	116,200	Bank Negara Indonesia Persero Tbk PT		64,203
	65,500	Bank Rakyat Indonesia Persero Tbk PT		74,464
	7,500	Gudang Garam Tbk PT		38,942
	31,800	Hanjaya Mandala Sampoerna Tbk PT		8,682
	24,600	Indocement Tunggal Prakarsa Tbk PT		36,556
	68,400	Indofood Sukses Makmur Tbk PT		43,022
	83,600	Media Nusantara Citra Tbk PT		9,342
	59,500	Perusahaan Gas Negara Persero Tbk		9,469
	20,300	Semen Indonesia Persero Tbk PT		15,967
	40,500	United Tractors Tbk PT		92,067
	62,600	XL Axiata Tbk PT *		16,903
		Total Indonesia		711,074
		Ireland — 0.0%
	820	Bank of Ireland Group Plc *		6,833
		Israel — 0.1%
	80	Azrieli Group Ltd		4,615
	2,139	Bank Leumi Le-Israel BM		11,211

Shares		Description	Value ($)
		Israel — continued
	10,565	Bezeq The Israeli Telecommunication Corp Ltd		15,549
	2,155	Cellcom Israel Ltd *		19,138
	2,729	Israel Chemicals Ltd		11,791
	700	SodaStream International Ltd *		42,161
	687	Teva Pharmaceutical Industries Ltd		10,922
	400	Teva Pharmaceutical Industries Ltd Sponsored ADR		6,344
		Total Israel		121,731
		Italy — 1.1%
	39,705	A2A SPA		66,751
	1,482	ACEA SPA		21,432
	15,458	Assicurazioni Generali SPA		277,284
	7,714	Banca Mediolanum SPA		65,345
	83,847	Enel SPA		507,977
	19,206	Eni SPA		301,650
	7,099	EXOR NV		456,215
	2,420	Fiat Chrysler Automobiles NV *		36,561
	32,701	Fincantieri SPA *		37,403
	117	GEDI Gruppo Editoriale SPA *		100
	4,986	Intesa Sanpaolo SPA – RSP		15,780
	20,165	Iren SPA		55,302
	3,244	Saipem SPA *		12,059
	4,684	Societa Cattolica di Assicurazioni SCRL		40,273
	129,176	Telecom Italia SPA *		123,956
	296,237	Telecom Italia SPA-RSP		230,351
	33,835	Unipol Gruppo Finanziario SPA		146,569
	31,303	UnipolSai Assicurazioni SPA		71,137
		Total Italy		2,466,145
		Japan — 6.9%
	600	AEON Financial Service Co Ltd		12,719
	400	Aeon Mall Co Ltd		7,186
	4,900	Aisin Seiki Co Ltd		246,199
	400	Alfresa Holdings Corp		7,543
	2,600	Amada Holdings Co Ltd		28,521
	5,300	Asahi Glass Co Ltd		206,928
	33,000	Asahi Kasei Corp		395,789
	2,000	Bank of Kyoto Ltd (The)		18,478
	200	Benesse Holdings Inc		7,691
	6,400	Bridgestone Corp		274,559
	16,900	Canon Inc		592,374
	700	Chubu Electric Power Co Inc		9,157
	900	Chugoku Bank Ltd (The)		12,124
	1,500	Chugoku Electric Power Co Inc (The)		17,295
	2,400	Credit Saison Co Ltd		43,440
	10,800	Daiichi Sankyo Co Ltd		255,658
	7,200	Daiwa House Industry Co Ltd		251,801
	7	Daiwa House REIT Investment Corp		17,116

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, 2017 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	4,100	DIC Corp		145,044
	700	Exedy Corp		20,994
	8,000	Fuji Electric Co Ltd		44,136
	2,900	FUJIFILM Holdings Corp		114,095
	4,000	Fukuoka Financial Group Inc		17,551
	7,700	Gree Inc		56,304
	2,100	Hachijuni Bank Ltd (The)		12,780
	400	Hakuhodo DY Holdings Inc		5,441
	4,100	Haseko Corp		50,843
	6,200	Hazama Ando Corp		43,738
	3,700	Hino Motors Ltd		42,438
	100	Hirose Electric Co Ltd		13,853
	3,000	Hiroshima Bank Ltd (The)		12,055
	100	Hisamitsu Pharmaceutical Co Inc		4,833
	5,500	Hitachi Chemical Co Ltd		148,977
	1,100	Hitachi Construction Machinery Co Ltd		31,013
	72,000	Hitachi Ltd		495,621
	900	Hokuriku Electric Power Co		8,576
	9,500	Honda Motor Co Ltd		266,095
	1,200	Ibiden Co Ltd		19,875
	4,400	Idemitsu Kosan Co Ltd		107,475
	4,000	IHI Corp *		13,245
	400	Iida Group Holdings Co Ltd		6,804
	7,600	Inpex Corp		72,719
	1,800	Isetan Mitsukoshi Holdings Ltd		18,532
	4,900	Isuzu Motors Ltd		63,937
	45,400	ITOCHU Corp		741,363
	1,300	J Front Retailing Co Ltd		18,140
	4	Japan Prime Realty Investment Corp (REIT)		14,383
	1,100	JGC Corp		17,681
	2,100	JSR Corp		40,904
	2,700	JTEKT Corp		36,065
	27,550	JXTG Holdings Inc		133,435
	1,000	Kamigumi Co Ltd		11,073
	1,000	Kaneka Corp		7,793
	7,700	Kansai Electric Power Co Inc (The)		107,971
	5,000	Kirin Holdings Co Ltd		113,448
	3,000	Kitz Corp		24,148
	5,900	Komatsu Ltd		159,229
	8,300	Konica Minolta Inc		66,242
	4,000	Kuraray Co Ltd		75,994
	500	Kurita Water Industries Ltd		14,397
	2,000	Kyocera Corp		120,080
	500	Kyowa Hakko Kirin Co Ltd		8,825
	900	Kyushu Financial Group Inc		5,480
	200	Lawson Inc		13,447
	47,800	Marubeni Corp		311,057
	1,100	Marui Group Co Ltd		15,395
	300	Maruichi Steel Tube Ltd		8,880
	3,300	Mazda Motor Corp		48,472

Shares		Description	Value ($)
		Japan — continued
	4,680	Mebuki Financial Group Inc		16,596
	900	Medipal Holdings Corp		15,886
	56,800	Mitsubishi Chemical Holdings Corp		529,406
	23,800	Mitsubishi Corp		550,625
	22,700	Mitsubishi Electric Corp		335,892
	4,700	Mitsubishi Gas Chemical Co Inc		116,844
	12,000	Mitsubishi Tanabe Pharma Corp		296,002
	148,400	Mitsubishi UFJ Financial Group Inc		904,283
	6,200	Mitsubishi UFJ Lease & Finance Co Ltd		31,361
	35,400	Mitsui & Co Ltd		529,812
	6,000	Mitsui OSK Lines Ltd		19,259
	30,000	Mitsui Mining & Smelting Co Ltd		159,100
	200	Mixi Inc		10,683
	3,900	MS&AD Insurance Group Holdings Inc		128,467
	1,000	NEC Corp		2,649
	2,300	NET One Systems Co Ltd		23,519
	2,000	NH Foods Ltd		58,665
	1,500	Nichiha Corp		54,690
	800	Nikon Corp		13,188
	1,000	Nippon Electric Glass Co Ltd		38,061
	15,600	Nippon Telegraph & Telephone Corp		776,636
	9,000	Nippon Yusen KK *		17,826
	43,560	Nissan Motor Co Ltd		433,668
	3,000	Nisshin Oillio Group Ltd (The)		21,528
	500	Nisshin Seifun Group Inc		8,684
	500	Nissin Foods Holdings Co Ltd		30,832
	500	NOK Corp		11,237
	34,100	Nomura Holdings Inc		189,731
	700	Nomura Real Estate Holdings Inc		14,456
	440	Nomura Research Institute Ltd		17,132
	4,500	NSK Ltd		53,336
	2,000	Oji Holdings Corp		10,499
	15,100	Resona Holdings Inc		75,154
	1,200	Rohm Co Ltd		93,432
	200	Sankyo Co Ltd		6,531
	1,100	SBI Holdings Inc		15,299
	1,300	Sega Sammy Holdings Inc		18,703
	12,000	Seiko Epson Corp		307,951
	11,100	Sekisui Chemical Co Ltd		207,261
	10,000	Shinsei Bank Ltd		15,991
	5,500	Showa Denko KK		146,561
	1,000	Showa Shell Sekiyu KK		10,969
	24,000	Sojitz Corp		64,448
	700	Sompo Holdings Inc		26,292
	900	Sony Financial Holdings Inc		14,189
	33,000	Sumitomo Chemical Co Ltd		198,066
	21,800	Sumitomo Corp		308,790
	8,700	Sumitomo Electric Industries Ltd		136,121
	20,000	Sumitomo Heavy Industries Ltd		149,141
	10,300	Sumitomo Mitsui Financial Group Inc		383,503

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, 2017 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	2,300	Sumitomo Rubber Industries Ltd		38,145
	250	Suzuken Co Ltd		9,113
	3,800	T&D Holdings Inc		51,739
	100	Taisho Pharmaceutical Holdings Co Ltd		7,830
	4,100	Takeda Pharmaceutical Co Ltd		227,362
	3,100	Teijin Ltd		62,977
	700	Tocalo Co Ltd		25,717
	1,200	Tohoku Electric Power Co Inc		16,418
	1,100	Tokyo Broadcasting System Holdings Inc		21,141
	31,000	Tokyo Electric Power Co Holdings Inc *		125,527
	2,800	Tokyo Electron Ltd		394,348
	14,000	Tokyo Gas Co Ltd		74,227
	2,700	Tokyu Fudosan Holdings Corp		16,111
	10,000	Tosoh Corp		117,557
	1,200	Toyoda Gosei Co Ltd		27,962
	6,238	Toyota Motor Corp		351,225
	5,600	Toyota Tsusho Corp		172,318
	1,700	Trend Micro Inc		78,685
	600	Tsumura & Co		22,715
	600	USS Co Ltd		11,801
	3,100	Yamada Denki Co Ltd		16,785
	1,000	Yamaguchi Financial Group Inc		11,301
	5,000	Yamaha Motor Co Ltd		141,196
	2,100	Yokogawa Electric Corp		32,748
	1,600	Yokohama Rubber Co Ltd (The)		29,581
		Total Japan		16,038,938
		Malaysia — 0.3%
	60,400	AirAsia Berhad		47,083
	16,800	Alliance Financial Group Berhad		15,113
	30,200	AMMB Holdings Berhad		30,362
	4,000	Berjaya Sports Toto Berhad		2,108
	2,400	British American Tobacco Malaysia Berhad		24,853
	47,635	CIMB Group Holdings Berhad		79,150
	4,000	Gamuda Berhad		5,005
	35,100	Genting Berhad		79,978
	4,600	Hong Leong Bank Berhad		16,653
	3,800	Hong Leong Financial Group Berhad		15,062
	20,000	IJM Corp Berhad		15,651
	32,375	IOI Properties Group Berhad		15,110
	17,400	MISC Berhad		30,369
	56,200	Petronas Chemicals Group Berhad		94,250
	1,200	Petronas Dagangan Berhad		6,861
	13,341	RHB Bank Berhad		15,800
	12,300	RHB Capital Berhad * (a)		—
	39,800	Tenaga Nasional Berhad		133,237
	7,800	UMW Holdings Berhad *		11,131
	8,043	UMW Oil & Gas Corp Berhad *		577
	8,600	Westports Holdings Berhad		7,572

Shares		Description	Value ($)
		Malaysia — continued
	72,000	YTL Corp Berhad		24,143
	33,800	YTL Power International Berhad		11,169
		Total Malaysia		681,237
		Mexico — 0.8%
	87,100	Alfa SAB de CV – Class A		121,789
	517,264	America Movil SAB de CV – Series L		480,833
	16,541	Arca Continental SAB de CV		120,714
	7,700	Coca-Cola Femsa SAB de CV – Series L		63,097
	7,600	Grupo Carso SAB de CV – Series A1		30,631
	35,100	Grupo Financiero Banorte SAB de CV – Class O		239,507
	70,900	Grupo Mexico SAB de CV – Series B		233,964
	1,165	Industrias Penoles SAB de CV		30,307
	23,000	Kimberly-Clark de Mexico SAB de CV – Class A		45,204
	13,000	OHL Mexico SAB de CV		18,403
	149,100	Wal-Mart de Mexico SAB de CV		362,758
		Total Mexico		1,747,207
		Netherlands — 0.9%
	32,922	Aegon NV		188,244
	300	AerCap Holdings NV *		15,090
	9	Akzo Nobel NV		822
	3,003	ASR Nederland NV		116,366
	502	Boskalis Westminster		16,407
	76,957	ING Groep NV		1,366,048
	3,203	Philips Lighting NV		118,252
	3,922	Randstad Holdings NV		229,303
		Total Netherlands		2,050,532
		New Zealand — 0.0%
	3,835	Contact Energy Ltd		15,398
	1,280	Fletcher Building Ltd		7,519
	6,852	Meridian Energy Ltd		14,520
		Total New Zealand		37,437
		Norway — 0.5%
	18,500	DNB ASA		361,353
	1,069	Gjensidige Forsikring ASA		18,707
	20,453	Norsk Hydro ASA		147,672
	12,420	Statoil ASA		235,035
	14,553	Storebrand ASA		120,464
	13,630	Subsea 7 SA		196,089
		Total Norway		1,079,320
		Peru — 0.3%
	1,300	Cia de Minas Buenaventura SAA ADR		17,459
	2,800	Credicorp Ltd		567,952
		Total Peru		585,411

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, 2017 (Unaudited)

Shares		Description	Value ($)
		Philippines — 0.1%
	30,730	Aboitiz Equity Ventures Inc		44,707
	24,600	Aboitiz Power Corp		19,002
	32,100	Alliance Global Group Inc *		8,721
	2,280	Bank of the Philippine Islands		4,720
	66,600	DMCI Holdings Inc		20,437
	156,600	Energy Development Corp		20,765
	555	Globe Telecom Inc		21,696
	8,480	International Container Terminal Services Inc		17,330
	16,780	JG Summit Holdings Inc		23,549
	188,000	Megaworld Corp		18,172
	59,800	Metro Pacific Investments Corp		7,428
	10,610	Metropolitan Bank & Trust Co		18,166
	1,515	PLDT Inc		51,268
	27,300	Robinsons Land Corp		12,385
	1,840	Security Bank Corp		8,997
	710	SM Investments Corp		11,247
		Total Philippines		308,590
		Poland — 0.6%
	510	Bank Handlowy w Warszawie SA		10,152
	747	Grupa Azoty SA		14,439
	15,084	KGHM Polska Miedz SA		533,808
	10,943	Orange Polska SA *		18,399
	21,503	PGE Polska Grupa Energetyczna SA		86,108
	12,204	Polski Koncern Naftowy ORLEN SA		403,737
	8,748	Powszechny Zaklad Ubezpieczen SA		119,092
	187,582	Tauron Polska Energia SA *		206,258
		Total Poland		1,391,993
		Portugal — 0.0%
	8,743	EDP – Energias de Portugal SA		33,613
		Qatar — 0.1%
	1,134	Barwa Real Estate Co		9,868
	3,095	Commercial Bank QSC (The) *		25,328
	2,535	Doha Bank QSC		21,034
	1,532	Industries Qatar QSC		38,410
	3,967	Masraf Al Rayan QSC		41,597
	1,248	Ooredoo QSC		30,106
	299	Qatar Electricity & Water Co QSC		15,255
	4,230	Qatar Gas Transport Co Ltd Nakilat		19,808
	921	Qatar Islamic Bank SAQ		23,502
		Total Qatar		224,908
		Russia — 0.1%
	1,761,000	Inter RAO UES PJSC		119,381
	984,000	RusHydro PJSC		14,091
	2,826	Sistema PJSC FC Sponsored GDR (Registered)		11,712
		Total Russia		145,184

Shares		Description	Value ($)
		Singapore — 0.2%
	11,100	CapitaLand Commercial Trust (REIT)		14,262
	800	City Developments Ltd		6,924
	19,000	DBS Group Holdings Ltd		289,478
	18,700	Golden Agri-Resources Ltd		5,449
	27,900	Hutchison Port Holdings Trust – Class U		12,711
	3,500	Keppel Corp Ltd		16,339
	5,600	Singapore Press Holdings Ltd		11,412
	12,900	Suntec Real Estate Investment Trust		18,058
	2,600	UOL Group Ltd		15,709
	13,000	Yangzijiang Shipbuilding Holdings Ltd		14,368
		Total Singapore		404,710
		South Africa — 1.4%
	587	Anglo American Platinum Ltd *		15,917
	1,224	AngloGold Ashanti Ltd		12,393
	40,185	Barclays Africa Group Ltd		458,541
	4,535	Barloworld Ltd		44,823
	21,896	Bidvest Group Ltd (The)		288,747
	1,169	Exxaro Resources Ltd		11,782
	5,318	Foschini Group Ltd (The)		62,724
	1,575	Hyprop Investments Ltd (REIT)		13,827
	13,196	Imperial Holdings Ltd		211,937
	12,037	Liberty Holdings Ltd		95,912
	87,919	MMI Holdings Ltd		140,723
	31,834	Nedbank Group Ltd		538,146
	745	Pioneer Foods Group Ltd		7,259
	13,846	RMB Holdings Ltd		70,744
	68,504	Standard Bank Group Ltd		882,910
	15,031	Telkom SA SOC Ltd		72,581
	5,879	Tiger Brands Ltd		182,236
	6,920	Truworths International Ltd		44,151
	48,543	Tsogo Sun Holdings Ltd		81,489
	4,469	Vodacom Group Ltd		62,384
		Total South Africa		3,299,226
		South Korea — 2.5%
	1,933	BNK Financial Group Inc		16,922
	822	Daelim Industrial Co Ltd		61,250
	2,821	DGB Financial Group Inc		27,544
	773	Dongbu Insurance Co Ltd		51,592
	203	Dongsuh Cos Inc		4,777
	798	Doosan Heavy Industries & Construction Co Ltd		12,772
	942	E-MART Inc		187,570
	88	GS Holdings Corp		5,524
	6,768	Hana Financial Group Inc		294,339
	1,868	Hankook Tire Co Ltd		97,973
	3,539	Hanwha Corp		154,615
	7,208	Hanwha Life Insurance Co Ltd		46,844
	312	Hanwha Techwin Co Ltd *		10,742

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, 2017 (Unaudited)

Shares			Description	Value ($)
			South Korea — continued
		228	Hyosung Corp		32,142
		19	Hyundai Construction Equipment Co Ltd *		5,661
		343	Hyundai Department Store Co Ltd		29,410
		20	Hyundai Electric & Energy System Co Ltd *		4,829
		1,836	Hyundai Marine & Fire Insurance Co Ltd		75,404
		3,692	Hyundai Motor Co		460,990
		1,245	Hyundai Steel Co		63,764
		273	Hyundai Wia Corp		16,986
	��	15,920	Industrial Bank of Korea		211,090
		8,950	KB Financial Group Inc		440,327
		31	KCC Corp		10,899
		8,264	Kia Motors Corp		260,258
		173	Korea Investment Holdings Co Ltd		10,103
		87	KT Corp		2,408
		1,031	KT&G Corp		104,817
		142	Kumho Petrochemical Co Ltd		9,943
		29	LG Chem Ltd		9,772
		1,479	LG Corp		110,409
		12,505	LG Display Co Ltd		346,973
		634	Lotte Chemical Corp		225,314
		5	Lotte Chilsung Beverage Co Ltd		6,865
		40	Lotte Confectionery Co Ltd		7,022
		342	LOTTE Himart Co Ltd		20,774
		231	Lotte Shopping Co Ltd		52,712
		474	NH Investment & Securities Co Ltd		5,813
		751	POSCO		228,260
		458	Posco Daewoo Corp		8,624
		1,168	Samsung Card Co Ltd		38,526
		458	Samsung Electronics Co Ltd		942,798
		1,424	Samsung Heavy Industries Co Ltd *		13,561
		11,668	Shinhan Financial Group Co Ltd		538,021
		123	Shinsegae Inc		21,076
		629	SK Holdings Co Ltd		149,513
		705	SK Innovation Co Ltd		118,274
		1,433	SK Networks Co Ltd		8,928
		314	SK Telecom Co Ltd		70,896
		4,741	Woori Bank		78,257
			Total South Korea		5,713,883
			Spain — 1.7%
		987	ACS Actividades de Construccion y Servicios SA		37,362
		138,513	Banco Santander SA		902,755
		3,554	CaixaBank SA		18,388
		2,279	Ebro Foods SA		54,368
		25,768	Endesa SA		622,607
		10,605	Gas Natural SDG SA		258,027
		35,290	Iberdrola SA		288,746
		9,992	International Consolidated Airlines Group SA		79,218
		117,941	Mapfre SA		418,129

Shares		Description	Value ($)
		Spain — continued
	45,306	Repsol SA		779,570
	48,284	Telefonica SA		520,921
	584	Zardoya Otis SA		6,024
		Total Spain		3,986,115
		Sweden — 1.0%
	11,686	Alfa Laval AB		264,810
	5,438	Electrolux AB – Series B		197,852
	431	ICA Gruppen AB		17,186
	2,220	Kinnevik AB – Class B		66,827
	1,316	Loomis AB – Class B		48,018
	51,656	Nordea Bank AB		695,481
	26,864	Sandvik AB		444,142
	7,609	Skandinaviska Enskilda Banken AB – Class A		99,066
	3,375	SKF AB – B Shares		67,463
	522	Swedbank AB – A Shares		14,120
	12,924	Telefonaktiebolaget LM Ericsson – B Shares		75,793
	13,524	Telia Co AB		64,536
	19,726	Volvo AB – B Shares		337,158
		Total Sweden		2,392,452
		Switzerland — 2.2%
	5,540	ABB Ltd (Registered)		128,187
	1,602	Adecco Group AG (Registered)		116,118
	467	Aryzta AG *		14,714
	462	BKW AG		26,845
	2,403	Logitech International SA (Registered)		85,630
	22,838	Nestle SA (Registered)		1,936,113
	16,287	Novartis AG (Registered)		1,373,111
	92	Pargesa Holding SA		7,458
	1,946	Roche Holding AG		494,422
	21	Swatch Group AG (The)		8,386
	1,326	Swiss Life Holding AG (Registered) *		474,712
	1,312	Swiss Re AG		118,799
	82	Valora Holding AG (Registered)		24,744
	1,317	Zurich Insurance Group AG		394,174
		Total Switzerland		5,203,413
		Taiwan — 3.9%
	71,155	Advanced Semiconductor Engineering Inc		86,130
	39,000	Asia Cement Corp		35,404
	38,000	Asia Pacific Telecom Co Ltd *		13,040
	27,000	Asustek Computer Inc		224,011
	2,000	Casetek Holdings Ltd		6,650
	20,000	Catcher Technology Co Ltd		255,813
	119,000	Cathay Financial Holding Co Ltd		194,819
	8,520	Chang Hwa Commercial Bank Ltd		4,663
	44,000	China Airlines Ltd *		18,683

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, 2017 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	14,520	China Life Insurance Co Ltd		16,066
	153,000	Compal Electronics Inc		110,135
	165,320	CTBC Financial Holding Co Ltd		107,269
	14,000	Elan Microelectronics Corp		20,071
	35,277	Eva Airways Corp		18,399
	15,000	Evergreen Marine Corp Taiwan Ltd *		11,463
	78,000	Far Eastern New Century Corp		62,527
	131,190	First Financial Holding Co Ltd		85,331
	88,000	Formosa Chemicals & Fibre Corp		277,145
	4,000	Formosa Petrochemical Corp		14,151
	96,000	Formosa Plastics Corp		299,272
	13,000	Formosa Taffeta Co Ltd		12,935
	11,361	Foxconn Technology Co Ltd		36,187
	178,000	Fubon Financial Holding Co Ltd		286,794
	92,000	Grand Pacific Petrochemical		78,097
	598,525	Hon Hai Precision Industry Co Ltd		2,337,271
	6,000	HTC Corp *		13,698
	73,432	Hua Nan Financial Holdings Co Ltd – Class C		41,062
	287,000	Innolux Corp		140,330
	104,000	Inventec Corp		82,753
	108,435	Lite-On Technology Corp		160,767
	20,000	Long Chen Paper Co Ltd		29,373
	9,000	Lotes Co Ltd		56,539
	17,000	MediaTek Inc		152,875
	15,000	Mega Financial Holding Co Ltd		12,070
	2,000	Merida Industry Co Ltd		8,802
	21,000	Mitac Holdings Corp		25,068
	113,000	Nan Ya Plastics Corp		285,840
	11,000	Nanya Technology Corp		23,652
	35,000	Novatek Microelectronics Corp		136,522
	1,000	OBI Pharma Inc *		6,328
	73,000	Pegatron Corp		230,640
	12,000	Phison Electronics Corp		162,333
	65,000	Pou Chen Corp		84,484
	66,000	Quanta Computer Inc		150,610
	48,000	Radiant Opto-Electronics Corp		121,524
	16,800	Ruentex Development Co Ltd *		16,488
	10,000	Ruentex Industries Ltd *		16,137
	24,000	Shin Kong Financial Holding Co Ltd		6,988
	20,000	Siliconware Precision Industries Co Ltd		31,703
	12,550	SinoPac Financial Holdings Co Ltd *		4,036
	52,350	Synnex Technology International Corp		58,534
	33,063	Taiwan Business Bank		9,147
	12,000	Taiwan Fertilizer Co Ltd		16,026
	45,831	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		1,694,372
	32,000	Teco Electric and Machinery Co Ltd		29,953
	3,000	Transcend Information Inc		8,958
	360,000	United Microelectronics Corp		179,949
	212,503	Wistron Corp		201,322

Shares		Description	Value ($)
		Taiwan — continued
	83,000	WPG Holdings Ltd		108,285
	36,000	Yulon Motor Co Ltd		31,049
	22,000	Zhen Ding Technology Holding Ltd		51,138
		Total Taiwan		9,001,681
		Thailand — 0.1%
	6,000	Advanced Info Service Pcl (Foreign Registered)		33,924
	4,200	Bangkok Bank Pcl NVDR		23,358
	9,200	Banpu Pcl (Foreign Registered)		4,887
	6,900	BEC World Pcl (Foreign Registered)		3,597
	32,700	BTS Group Holdings Pcl (Foreign Registered)		8,527
	2,800	Glow Energy Pcl (Foreign Registered)		7,234
	8,100	Indorama Ventures Pcl (Foreign Registered)		9,524
	53,900	IRPC Pcl (Foreign Registered)		9,670
	21,000	Krung Thai Bank Pcl (Foreign Registered)		11,840
	9,600	PTT Exploration & Production Pcl (Foreign Registered)		25,342
	11,800	PTT Global Chemical Pcl (Foreign Registered)		27,225
	7,600	PTT Pcl (Foreign Registered)		91,421
	4,600	Thai Oil Pcl (Foreign Registered)		13,065
	50,300	TMB Bank Pcl (Foreign Registered)		3,575
		Total Thailand		273,189
		Turkey — 1.0%
	94,576	Eregli Demir ve Celik Fabrikalari TAS		225,322
	66,661	KOC Holding AS		348,523
	1,778	TAV Havalimanlari Holding AS		10,937
	9,008	Turk Telekomunikasyon AS *		18,757
	30,928	Turkcell Iletisim Hizmetleri AS		118,441
	140,249	Turkiye Garanti Bankasi AS		436,985
	10,429	Turkiye Halk Bankasi AS		44,845
	269,341	Turkiye Is Bankasi – Class C		585,245
	54,836	Turkiye Sise ve Cam Fabrikalari AS		70,608
	239,630	Turkiye Vakiflar Bankasi TAO – Class D		500,683
	902	Ulker Biskuvi Sanayi AS		5,395
	7,201	Yapi ve Kredi Bankasi AS *		10,153
		Total Turkey		2,375,894
		United Arab Emirates — 0.1%
	30,521	Abu Dhabi Commercial Bank PJSC		60,920
	40,288	DAMAC Properties Dubai Co PJSC		44,399
	32,700	Dubai Islamic Bank PJSC		54,361
	4,957	Emaar Malls PJSC		3,322
	6,544	First Abu Dhabi Bank PJSC		18,539
		Total United Arab Emirates		181,541

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, 2017 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — 6.7%
	16,433	3i Group Plc		206,164
	5,386	888 Holdings Plc		18,298
	734	Antofagasta Plc		9,840
	6,436	AstraZeneca Plc		377,329
	58,894	Aviva Plc		398,258
	1,356	Babcock International Group Plc		14,244
	31,789	BAE Systems Plc		249,812
	86,083	Barclays Plc		212,891
	9,977	Barratt Developments Plc		80,828
	1,440	Berkeley Group Holdings Plc (The)		69,773
	5,374	BHP Billiton Plc		102,308
	95,593	BP Plc		552,181
	12,752	British American Tobacco Plc		795,535
	16,595	British Land Co Plc (The) (REIT)		131,487
	70,257	Centrica Plc		181,591
	8,101	Chemring Group Plc		18,514
	1,950	Close Brothers Group Plc		38,984
	9,151	Cobham Plc *		16,256
	18,429	Compass Group Plc		394,083
	3,080	Direct Line Insurance Group Plc		15,136
	852	easyJet Plc		13,205
	12,166	Electrocomponents Plc		99,712
	4,826	Fenner Plc		21,475
	17,464	Ferrexpo Plc		67,697
	19,015	G4S Plc		69,654
	1,812	Galliford Try Plc		32,664
	21,523	GKN Plc		88,701
	85,329	Glencore Plc *		397,673
	23,479	Hammerson Plc (REIT)		170,513
	101,234	HSBC Holdings Plc		981,437
	2,863	IMI Plc		42,035
	8,155	Inchcape Plc		87,865
	494	Inmarsat Plc		4,678
	5,037	Intu Properties Plc (REIT)		16,228
	1,662	Investec Plc		12,640
	1,346	Investec Plc		10,283
	24,342	J Sainsbury Plc		74,099
	12,387	Land Securities Group Plc (REIT)		161,924
	119,397	Legal & General Group Plc		402,064
	688,758	Lloyds Banking Group Plc		567,740
	11,773	Marks & Spencer Group Plc		48,743
	10,438	Meggitt Plc		69,916
	4,895	Mondi Plc		133,755
	2,990	Northgate Plc		15,574
	25,087	Old Mutual Plc		67,385
	2,224	Pearson Plc		17,438
	6,348	Persimmon Plc		218,597
	3,315	Petrofac Ltd		17,921
	20,002	QinetiQ Group Plc		59,552
	11,579	Reckitt Benckiser Group Plc		1,098,020

Shares		Description	Value ($)
		United Kingdom — continued
	6,296	Rio Tinto Plc		305,807
	18,462	Royal Bank of Scotland Group Plc *		60,166
	22,800	Royal Dutch Shell Plc A Shares (London)		628,342
	19,061	Royal Dutch Shell Plc B Shares (London)		532,004
	13,993	RSA Insurance Group Plc		120,647
	2,300	Schroders Plc		100,188
	439	Severn Trent Plc		12,878
	5,249	Sky Plc		64,917
	4,112	Smiths Group Plc		82,171
	3,601	Spectris Plc		107,900
	20,318	Standard Life Aberdeen Plc		112,908
	28,717	Standard Chartered Plc *		286,029
	12,638	Tate & Lyle Plc		111,591
	27,651	Taylor Wimpey Plc		71,845
	8,991	TP ICAP Plc		57,379
	292	Travis Perkins Plc		5,688
	1,680	UBM Plc		14,417
	61,000	Unilever Plc		3,559,023
	4,416	Vedanta Resources Plc		48,802
	3,590	Vesuvius Plc		26,822
	87,684	Wm Morrison Supermarkets Plc		278,794
		Total United Kingdom		15,541,018
		United States — 37.3%
	16,518	3M Co.		3,374,958
	40,700	Abbott Laboratories		2,073,258
	23,500	Accenture Plc – Class A		3,072,860
	2,428	Alphabet, Inc. – Class A *		2,319,323
	4,600	Alphabet, Inc. – Class C *		4,320,918
	33,971	American Express Co.		2,924,903
	5,900	Amphenol Corp. – Class A		477,546
	5,359	Analog Devices, Inc.		448,387
	6,869	Anthem, Inc.		1,346,599
	36,600	Apple, Inc.		6,002,400
	2,400	Automatic Data Processing, Inc.		255,528
	4,679	Becton Dickinson and Co.		933,180
	77,051	Cisco Systems, Inc.		2,481,813
	39,667	Coca-Cola Co. (The)		1,806,832
	40,966	Cognizant Technology Solutions Corp. – Class A		2,899,164
	11,914	Costco Wholesale Corp.		1,867,400
	8,800	CVS Health Corp.		680,592
	8,200	Eli Lilly & Co.		666,578
	21,348	Emerson Electric Co.		1,260,386
	6,100	Honeywell International, Inc.		843,447
	4,454	Humana, Inc.		1,147,439
	34,700	Johnson & Johnson		4,593,239
	8,163	Mastercard, Inc. – Class A		1,088,128
	34,667	Medtronic Plc		2,794,854
	93,420	Microsoft Corp.		6,985,013

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, 2017 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	13,937	Monsanto Co.		1,633,416
	109,882	Oracle Corp.		5,530,361
	5,766	PepsiCo, Inc.		667,299
	22,300	Pfizer, Inc.		756,416
	32,384	Philip Morris International, Inc.		3,786,661
	42,909	QUALCOMM, Inc.		2,242,853
	3,165	Rockwell Automation, Inc.		519,250
	14,894	Schlumberger Ltd.		945,918
	9,226	Stryker Corp.		1,304,280
	17,400	Teradata Corp. *		555,408
	12,781	Texas Instruments, Inc.		1,058,522
	5,716	TJX Cos., Inc. (The)		413,267
	24,992	UnitedHealth Group, Inc.		4,970,909
	13,489	United Technologies Corp.		1,614,903
	19,524	US Bancorp		1,000,605
	10,912	VF Corp.		686,037
	27,024	Wells Fargo & Co.		1,380,116
	5,228	Zimmer Biomet Holdings, Inc.		597,404
		Total United States		86,328,370
		TOTAL COMMON STOCKS (COST $175,220,158)		207,848,701
		PREFERRED STOCKS — 1.8%
		Brazil — 1.2%
	47,608	Banco Bradesco SA *		507,863
	9,600	Bradespar SA 3.98%		81,976
	12,100	Braskem SA – Class A 2.98%		146,491
	8,300	Centrais Eletricas Brasileiras SA – Class B *		54,132
	112,100	Cia Energetica de Minas Gerais 1.44%		298,425
	50,900	Gerdau SA 0.17%		191,612
	17,640	Itau Unibanco Holding SA 0.42%		226,114
	184,804	Itausa – Investimentos Itau SA 0.55%		598,821
	123,300	Metalurgica Gerdau SA *		221,700
	1,500	Suzano Papel e Celulose SA – Class A 1.88%		8,339
	48,900	Vale SA *		505,956
		Total Brazil		2,841,429
		Colombia — 0.0%
	37,891	Grupo Aval Acciones y Valores SA 4.44%		16,959
	1,758	Grupo de Inversiones Suramericana SA 1.21%		23,986
		Total Colombia		40,945
		Germany — 0.3%
	811	Bayerische Motoren Werke AG 4.73%		67,354
	328	Draegerwerk AG & Co KGaA 0.21%		35,140
	405	Porsche Automobil Holding SE 1.89%		22,989
	3,008	Volkswagen AG 1.50%		449,426
		Total Germany		574,909

Shares / Par Value†		Description	Value ($)
		Russia — 0.0%
	27,445	Surgutneftegas OJSC		13,710
		South Korea — 0.3%
	598	Hyundai Motor Co 4.38%		51,220
	1,041	Hyundai Motor Co 2nd Preference 4.00%		94,351
	127	LG Chem Ltd 1.99%		29,694
	254	Samsung Electronics Co Ltd 1.36%		425,240
		Total South Korea		600,505
		TOTAL PREFERRED STOCKS (COST $3,078,935)		4,071,498
		RIGHTS/WARRANTS — 0.0%
		China — 0.0%
	50	Fosun International Ltd Rights, Expires 12/31/49 *		—
		TOTAL RIGHTS/WARRANTS (COST $0)		—
		MUTUAL FUNDS — 4.5%
		United States — 4.5%
		Affiliated Issuers — 4.5%
	419,024	GMO U.S. Treasury Fund		10,471,405
		TOTAL MUTUAL FUNDS (COST $10,471,405)		10,471,405
		SHORT-TERM INVESTMENTS — 4.4%
		Time Deposits — 0.1%
AUD	9,313	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.73%, due 09/01/17		7,404
CAD	2,018	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.15%, due 09/01/17		1,616
EUR	774	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.56)%, due 09/01/17		921
GBP	1,189	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.05%, due 09/01/17		1,537
HKD	122,316	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/17		15,630
JPY	967,449	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.13)%, due 09/01/17		8,800
SGD	1,041	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/17		768
ZAR	3,517	Brown Brothers Harriman (Grand Cayman) Time Deposit, 6.07%, due 09/01/17		270
	129,762	Sumitomo (Tokyo) Time Deposit, 0.87%, due 09/01/17		129,762
		Total Time Deposits		166,708

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, 2017 (Unaudited)

Par Value†		Description	Value ($)
		U.S. Government — 4.3%
	780,000	U.S. Treasury Bill, 0.99%, due 11/30/17 (b) (c)		778,084
	5,000,000	U.S. Treasury Bill, 0.98%, due 12/07/17 (b) (c)		4,986,850
	1,500,000	U.S. Treasury Bill, 1.02%, due 12/21/17 (b) (c)		1,495,329
	1,200,000	U.S. Treasury Bill, 1.01%, due 01/18/18 (b) (c)		1,195,378
	1,500,000	U.S. Treasury Bill, 1.03%, due 01/25/18 (b) (c)		1,493,810
		Total U.S. Government		9,949,451
		TOTAL SHORT-TERM INVESTMENTS (COST $10,113,089)		10,116,159
		TOTAL INVESTMENTS — 100.5% (Cost $198,883,587)		232,507,763
		Other Assets and Liabilities (net) — (0.5%)		(1,176,621	)
		TOTAL NET ASSETS — 100.0%		$231,331,142

A summary of outstanding financial instruments at August 31, 2017 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
09/13/2017	MSCI		AUD	4,219,681		USD	3,176,837	$	(177,323	)
09/11/2017	BOA		CHF	2,010,789		USD	2,093,896		(3,748	)
10/20/2017	JPM		EUR	20,806,942		USD	24,205,593		(624,819	)
10/20/2017	DB		GBP	7,125,684		USD	9,312,735		84,188
09/15/2017	DB		JPY	1,748,590,677		USD	15,967,946		55,403
09/15/2017	BCLY		KRW	7,495,246,081		USD	6,677,473		10,806
09/15/2017	BCLY		USD	6,686,251		KRW	7,495,246,081		(19,585	)
09/13/2017	GS		USD	591,070		AUD	744,800		961
								$	(674,117	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Value and Net Unrealized Appreciation (Depreciation)
Sales
1,563	S&P 500 E-Mini	September 2017	$	193,030,500	$	(3,172,625	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of August 31, 2017, 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) Investment valued using significant unobservable inputs (Note 2).

(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 80.

See accompanying notes to the financial statements. 13

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2017 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		45.2	%
Debt Obligations		37.7
Short-Term Investments		13.3
Preferred Stocks		1.6
Mutual Funds		1.3
Investment Funds		0.3
Purchased Options		0.1
Rights/Warrants		0.1
Swap Contracts		0.0	^
Loan Assignments		0.0	^
Loan Participations		0.0	^
Reverse Repurchase Agreements		(0.0	)^
Written/Credit Linked Options		(0.0	)^
Forward Currency Contracts		(0.0	)^
Futures Contracts		(0.0	)^
Exchange-Traded Funds		(0.1	)
Securities Sold Short		(3.3	)
Other		3.8
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		11.8	%
United Kingdom		4.7
Other Developed		2.2	‡
Other Emerging		2.0	†
New Zealand		1.8
Euro Region		1.2	±
		23.7	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		8.6	%
Other Developed		5.6	‡
China		5.2
Taiwan		4.7
United Kingdom		3.9
South Korea		3.6
Germany		3.2
Japan		2.8
India		2.6
Other Emerging		2.6	†
Brazil		1.6
France		1.5
Turkey		1.3
Thailand		1.1
		48.3	%

& 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 Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

† “Other Emerging” is comprised of emerging 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%.

14

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	11,279,395	GMO Emerging Country Debt Fund, Class IV		340,750,533
	794,042,543	GMO Implementation Fund		10,997,489,217
	20,445,340	GMO Opportunistic Income Fund, Class VI		541,597,047
	30,766,271	GMO SGM Major Markets Fund, Class VI		1,010,979,662
	29,685,499	GMO Special Opportunities Fund, Class VI		686,031,881
		TOTAL MUTUAL FUNDS (COST $12,784,989,281)		13,576,848,340
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	8,128,419	State Street Institutional Treasury Money Market Fund-Premier Class, 0.90% (a)		8,128,419
		TOTAL SHORT-TERM INVESTMENTS (COST $8,128,419)		8,128,419
		TOTAL INVESTMENTS — 100.1% (Cost $12,793,117,700)		13,584,976,759
		Other Assets and Liabilities (net) — (0.1%)		(8,755,976	)
		TOTAL NET ASSETS — 100.0%		$13,576,220,783

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2017.

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 80.

See accompanying notes to the financial statements. 15

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2017 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		50.6	%
Debt Obligations		35.8
Short-Term Investments		11.8
Preferred Stocks		1.9
Investment Funds		0.3
Loan Participations		0.0	^
Rights/Warrants		0.0	^
Swap Contracts		0.0	^
Loan Assignments		0.0	^
Purchased Options		0.0	^
Futures Contracts		0.0	^
Fully Funded Total Return Swaps		0.0	^
Written/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Forward Currency Contracts		(0.0	)^
Securities Sold Short		(0.3	)
Other		(0.1	)
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		13.9	%
Other Emerging		2.3	†
United Kingdom		1.0
Other Developed		0.6	‡
Euro Region		(0.0	)^#
		17.8	%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		8.3	%
China		8.0
Other Developed		6.3	‡
Taiwan		5.5
South Korea		4.5
Japan		3.5
United Kingdom		3.4
India		3.3
Germany		2.9
Other Emerging		2.4	†
Brazil		1.9
France		1.7
Turkey		1.6
South Africa		1.2
Thailand		1.1
		55.6

& 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%.

16

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 34.0%
		Australia — 0.5%
	61,781	Adelaide Brighton Ltd		283,099
	1,434	ASX Ltd		62,430
	192,693	BHP Billiton Ltd		4,194,761
	137,330	BlueScope Steel Ltd		1,188,685
	40,010	Codan Ltd		71,692
	41,522	Credit Corp Group Ltd		593,850
	468,859	CSR Ltd		1,511,144
	105,779	Dexus (REIT)		808,329
	686,157	Downer EDI Ltd		3,899,647
	422,553	Fortescue Metals Group Ltd		2,033,113
	253,594	Genworth Mortgage Insurance Australia Ltd		584,517
	379,812	Metcash Ltd		821,326
	83,292	Mineral Resources Ltd		987,465
	50,306	Myer Holdings Ltd		29,195
	3,444	Navitas Ltd		12,355
	324,778	OZ Minerals Ltd		2,110,127
	169,874	Pact Group Holdings Ltd		698,182
	27,413	Resolute Mining Ltd		26,710
	16,239	Rio Tinto Ltd		880,397
	58,493	Shopping Centres Australasia Property Group (REIT)		103,822
	75,159	Sigma Healthcare Ltd		51,238
	3,762	Virtus Health Ltd		17,377
	55,678	WorleyParsons Ltd *		597,272
	34,707	WPP AUNZ Ltd		31,618
		Total Australia		21,598,351
		Austria — 0.2%
	7,647	Oesterreichische Post AG		342,630
	94,528	OMV AG		5,438,167
	4,441	POLYTEC Holding AG		85,193
	41,157	voestalpine AG		2,135,794
		Total Austria		8,001,784
		Belgium — 0.0%
	17,705	AGFA-Gevaert NV *		78,339
	2,692	Barco NV		262,626
	20,983	bpost SA		586,007
	6,404	D’ieteren SA/NV		294,498
	420	Orange Belgium SA		10,105
		Total Belgium		1,231,575
		Brazil — 0.4%
	110,700	AES Tiete Energia SA		497,611
	36,950	Banco Bradesco SA		378,556
	43,600	Banco BTG Pactual SA		226,321
	200,000	Banco do Brasil SA		1,950,538

Shares		Description	Value ($)
		Brazil — continued
	9,200	BB Seguridade Participacoes SA		81,015
	43,600	BTG Pactual Participations Ltd *		5,540
	490,000	Centrais Eletricas Brasileiras SA *		2,742,761
	81,800	Cia de Saneamento Basico do Estado de Sao Paulo		835,450
	23,700	Cia Hering		203,282
	11,500	EcoRodovias Infraestrutura e Logistica SA		39,090
	45,800	EDP – Energias do Brasil SA		221,736
	55,300	Engie Brasil Energia SA		634,188
	58,900	Gerdau SA		220,231
	12,200	Grendene SA		105,573
	555,100	JBS SA		1,528,890
	42,800	LPS Brasil Consultoria de Imoveis SA *		64,584
	53,800	M Dias Branco SA		839,169
	33,600	MRV Engenharia e Participacoes SA		143,992
	17,100	Multiplus SA		203,765
	2,500	Porto Seguro SA		27,598
	26,500	Qualicorp SA		293,383
	215,700	Rumo SA *		707,842
	132,800	Transmissora Alianca de Energia Eletrica SA		949,219
	507,100	Vale SA Sponsored ADR		5,613,597
	84,700	Via Varejo SA		443,970
	1,900	WEG SA		12,349
		Total Brazil		18,970,250
		Canada — 0.8%
	28,600	AGF Management Ltd – Class B		177,956
	94,400	Air Canada *		1,764,401
	27,000	Bank of Montreal		1,937,514
	42,700	Baytex Energy Corp *		108,458
	8,194	BRP Inc		272,313
	54,800	Canadian Imperial Bank of Commerce		4,603,858
	33,900	Canadian Tire Corp Ltd – Class A		4,012,348
	25,600	Capital Power Corp		538,343
	33,800	Cascades Inc		395,179
	7,400	Celestica Inc *		85,026
	2,600	Celestica Inc *		29,836
	5,500	CGI Group Inc – Class A *		279,812
	68,000	CI Financial Corp		1,488,785
	700	Cominar Real Estate Investment Trust		7,590
	2,700	Corus Entertainment Inc – B Shares		29,795
	5,040	Dream Industrial Real Estate Investment Trust		36,526
	298,700	IAMGOLD Corp *		1,982,961
	8,900	IGM Financial Inc		291,428
	34,800	Industrial Alliance Insurance & Financial Services Inc		1,493,439
	45,100	Just Energy Group Inc		260,397

See accompanying notes to the financial statements. 17

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	17,300	Labrador Iron Ore Royalty Corp		277,216
	900	Laurentian Bank of Canada		40,483
	21,100	Medical Facilities Corp		259,367
	249,900	Metro Inc		8,248,951
	9,500	National Bank of Canada		437,285
	17,000	North West Co Inc (The)		428,284
	17,300	Open Text Corp		556,648
	49,600	Pure Industrial Real Estate Trust (REIT)		262,945
	37,800	Rogers Sugar Inc		195,546
	30,600	Russel Metals Inc		637,607
	26,200	Toromont Industries Ltd		1,127,938
	71,400	Transcontinental Inc – Class A		1,389,405
	32,100	Trican Well Service Ltd *		95,111
	14,200	Valener Inc		259,950
	11,200	Wajax Corp		173,550
	8,300	West Fraser Timber Co Ltd		430,636
	23,230	WestJet Airlines Ltd		495,387
	2,900	Westshore Terminals Investment Corp		58,639
	26,000	ZCL Composites Inc		271,920
		Total Canada		35,442,833
		Chile — 0.0%
	292,008	Enel Americas SA		63,252
	1,047,086	Enel Chile SA		123,956
	46,581	Inversiones Aguas Metropolitanas SA		83,795
	5,304	Inversiones La Construccion SA		76,873
	35,700	Vina Concha y Toro SA		60,977
		Total Chile		408,853
		China — 5.4%
	1,200	51job Inc ADR *		71,280
	24,330,000	Agricultural Bank of China Ltd – Class H		11,478,158
	22,700	Alibaba Group Holding Ltd Sponsored ADR *		3,898,498
	1,932,000	Anhui Conch Cement Co Ltd – Class H		7,229,557
	36,000	Anhui Expressway Co Ltd – Class H		27,283
	536,000	ANTA Sports Products Ltd		2,112,418
	2,858,000	BAIC Motor Corp Ltd – Class H		2,551,035
	2,600	Baidu Inc Sponsored ADR *		592,930
	3,142,000	Bank of China Ltd – Class H		1,660,485
	44,000	Baoye Group Co Ltd – Class H *		32,141
	540,000	Beijing Capital International Airport Co Ltd – Class H		875,223
	4,000	Beijing Enterprises Holdings Ltd		22,386
	85,375	Changyou.com Ltd ADR *		3,416,708
	60,000	Chaowei Power Holdings Ltd		31,088
	1,994,000	China BlueChemical Ltd – Class H		615,463
	717,000	China Cinda Asset Management Co Ltd – Class H		267,241

Shares		Description	Value ($)
		China — continued
	734,000	China Communications Construction Co Ltd – Class H		979,444
	6,968,000	China Communications Services Corp Ltd – Class H		3,781,744
	3,752,000	China Construction Bank Corp – Class H		3,301,032
	632,000	China Everbright Ltd		1,445,197
	2,154,000	China Greenfresh Group Co Ltd		377,573
	60,000	China Jinmao Holdings Group Ltd		26,733
	2,484,000	China Lesso Group Holdings Ltd		1,787,684
	3,064,000	China Machinery Engineering Corp – Class H		2,012,142
	408,000	China Mobile Ltd		4,330,014
	12,574,000	China National Building Material Co Ltd – Class H		7,921,598
	1,411,000	China National Materials Co Ltd – Class H		614,699
	19,208,000	China Petroleum & Chemical Corp – Class H		14,704,206
	5,515,500	China Railway Construction Corp Ltd – Class H		7,251,342
	1,796,000	China Railway Group Ltd – Class H		1,439,972
	464,000	China Resources Cement Holdings Ltd		255,586
	358,000	China Resources Power Holdings Co Ltd		658,381
	2,537,500	China Shenhua Energy Co Ltd – Class H		6,553,763
	28,758,000	China Telecom Corp Ltd – Class H		14,810,435
	12,700	China Yuchai International Ltd		232,918
	794,000	Chongqing Rural Commercial Bank Co Ltd – Class H		553,979
	1,330,000	CIFI Holdings Group Co Ltd		749,386
	4,443,000	Country Garden Holdings Co Ltd		5,918,170
	108,500	Dali Foods Group Co Ltd		72,233
	6,822,000	Dongfeng Motor Group Co Ltd – Class H		8,873,256
	3,770,000	Great Wall Motor Co Ltd – Class H		4,745,002
	750,000	Greentown China Holdings Ltd		912,435
	50,000	Guangdong Investment Ltd		73,945
	3,539,200	Guangzhou R&F Properties Co Ltd – Class H		8,282,187
	791,000	Haier Electronics Group Co Ltd *		2,108,078
	250,000	Haitian International Holdings Ltd		752,134
	1,544,000	Harbin Electric Co Ltd – Class H		788,234
	513,000	Hi Sun Technology China Ltd *		119,085
	624,000	Hisense Kelon Electrical Holdings Co Ltd – Class H		741,541
	235,000	Hua Hong Semiconductor Ltd		312,266
	3,735,000	Huabao International Holdings Ltd		2,282,653
	150,000	IGG Inc		235,847
	3,507,000	Industrial and Commercial Bank of China Ltd – Class H		2,635,415
	306,000	Jiangnan Group Ltd		20,756
	1,528,000	Jiangsu Expressway Co Ltd – Class H		2,345,609
	928,000	Jiangxi Copper Co Ltd – Class H		1,615,491

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, 2017 (Unaudited)

Shares		Description	Value ($)
		China — continued
	1,235,000	Kingboard Chemical Holdings Ltd		6,750,932
	1,562,000	Kingboard Laminates Holdings Ltd		2,654,217
	1,650,000	KWG Property Holding Ltd		1,503,759
	1,176,000	Lee & Man Paper Manufacturing Ltd		1,374,129
	65,700	Livzon Pharmaceutical Group Inc – Class H		357,738
	574,500	Longfor Properties Co Ltd		1,382,245
	4,267,000	Lonking Holdings Ltd		1,703,145
	10,000	Minth Group Ltd		46,117
	26,400	NetEase Inc ADR		7,282,176
	275,000	Nexteer Automotive Group Ltd *		456,656
	784,000	Nine Dragons Paper Holdings Ltd		1,311,462
	758,000	PICC Property & Casualty Co Ltd – Class H		1,428,025
	132,000	Powerlong Real Estate Holdings Ltd		66,856
	102,000	Qingling Motors Co Ltd – Class H		32,747
	45,000	Road King Infrastructure Ltd		59,872
	164,000	Shandong Weigao Group Medical Polymer Co Ltd – Class H		130,891
	91,000	Shanghai Fosun Pharmaceutical Group Co Ltd – Class H		342,606
	769,000	Shanghai Industrial Holdings Ltd		2,344,330
	1,185,900	Shanghai Pharmaceuticals Holding Co Ltd – Class H		2,918,894
	526,000	Shenzhen Expressway Co Ltd – Class H		514,090
	2,083,000	Shimao Property Holdings Ltd		4,308,132
	42,200	SINA Corp *		4,297,226
	1,397,000	Sino-Ocean Group Holding Ltd		966,103
	2,524,000	Sinopec Engineering Group Co Ltd – Class H		2,278,099
	252,400	Sinopharm Group Co Ltd – Class H		1,142,641
	12,000	Sinotrans Ltd – Class H		6,795
	1,807,500	Sinotruk Hong Kong Ltd		2,004,530
	3,442,000	Skyworth Digital Holdings Ltd		1,599,998
	4,000	SOHO China Ltd *		2,334
	90,676	Sohu.com Inc *		4,836,658
	127,000	Spring Real Estate Investment Trust		57,516
	725,000	Sun Art Retail Group Ltd		667,723
	28,800	Tencent Holdings Ltd		1,211,895
	267,500	Texhong Textile Group Ltd		304,553
	706,000	Tianjin Port Development Holdings Ltd *		116,828
	650,000	Tianneng Power International Ltd		556,901
	2,127,000	TravelSky Technology Ltd – Class H		5,824,359
	895,000	Want Want China Holdings Ltd		592,713
	3,495,000	Weichai Power Co Ltd – Class H		3,609,684
	733,000	Xinhua Winshare Publishing and Media Co Ltd – Class H		602,682
	1,809,500	Xtep International Holdings Ltd		643,624
	496,000	Yuexiu Transport Infrastructure Ltd		380,494
	4,708,000	Yuzhou Properties Co Ltd		3,028,360
	2,710,000	Zhejiang Expressway Co Ltd – Class H		3,392,097

Shares		Description	Value ($)
		China — continued
	411,000	Zhongsheng Group Holdings Ltd		895,092
	440,800	ZTE Corp – Class H *		1,204,746
		Total China		228,696,729
		Colombia — 0.1%
	144,314	Almacenes Exito SA		751,590
	228,700	Ecopetrol SA Sponsored ADR		2,106,327
		Total Colombia		2,857,917
		Czech Republic — 0.1%
	115,829	CEZ AS		2,198,326
	117,405	Moneta Money Bank AS		411,675
	558	Philip Morris CR AS		395,752
		Total Czech Republic		3,005,753
		Denmark — 0.0%
	12	AP Moeller – Maersk A/S – Class B		24,788
	1,010	Dfds A/S		58,287
	4,494	Schouw & Co AB		471,555
		Total Denmark		554,630
		Finland — 0.2%
	9,043	Cramo Oyj		253,084
	1,330	Kesko Oyj – B Shares		71,684
	10,212	Neste Oyj		450,211
	22,989	Orion Oyj – Class B		1,088,456
	264,308	UPM-Kymmene Oyj		6,880,148
		Total Finland		8,743,583
		France — 1.7%
	160,837	Air France-KLM *		2,458,828
	8,227	Alten SA		700,199
	2,459	Amundi SA		189,275
	538,042	AXA SA		15,600,298
	123,398	BNP Paribas SA		9,381,692
	176	Capgemini SE		19,512
	8,155	Casino Guichard Perrachon SA		463,524
	14,652	Christian Dior SE		4,521,822
	103,139	CNP Assurances		2,393,914
	116,267	Credit Agricole SA		2,052,074
	11,982	Derichebourg SA		113,574
	1,216	Fnac Darty SA *		108,564
	9,969	IPSOS		311,470
	2,872	Jacquet Metal Service		85,778
	3,175	LVMH Moet Hennessy Louis Vuitton SE		833,977
	3,147	MGI Coutier		123,265
	2,513	Neopost SA		109,215
	56,700	Peugeot SA		1,198,866
	7,417	Rallye SA		135,915
	71,682	SCOR SE		3,000,851

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, 2017 (Unaudited)

Shares		Description	Value ($)
		France — continued
	172,360	Societe Generale SA		9,642,152
	198,700	STMicroelectronics NV – NY Shares		3,465,328
	96,073	STMicroelectronics NV		1,670,928
	267,825	TOTAL SA		13,896,735
	19,061	Valeo SA		1,275,882
		Total France		73,753,638
		Germany — 1.6%
	20,008	ADVA Optical Networking SE *		113,425
	73,541	Allianz SE (Registered)		15,761,771
	63,089	BASF SE		6,119,472
	133,506	Bayerische Motoren Werke AG		12,415,142
	4,253	Cewe Stiftung & Co KGAA		365,231
	8,626	Covestro AG		678,446
	209,361	Daimler AG (Registered Shares)		15,277,473
	332,931	Deutsche Lufthansa AG (Registered)		8,361,554
	161	Duerr AG		18,781
	2,770	Henkel AG & Co KGaA		335,471
	1,010	Isra Vision AG		175,658
	2,694	Koenig & Bauer AG		203,831
	183,462	RWE AG *		4,581,672
	10,633	SAP AG		1,115,952
	22,622	Software AG		995,199
	28,286	STADA Arzneimittel AG		2,650,262
	18,460	Talanx AG		764,041
	1,768	Volkswagen AG		273,328
	2,422	Washtec AG		192,191
		Total Germany		70,398,900
		Greece — 0.1%
	286,828	Alpha Bank AE *		727,670
	284,720	Eurobank Ergasias SA *		307,298
	12,055	FF Group *		299,942
	19,380	Mytilineos Holdings SA *		197,996
	973,262	National Bank of Greece SA *		394,413
	49,300	Piraeus Bank SA *		276,336
		Total Greece		2,203,655
		Hong Kong — 0.8%
	51,200	ASM Pacific Technology Ltd		634,530
	910,400	BOC Hong Kong Holdings Ltd		4,651,241
	833,400	Champion (REIT)		613,655
	41,700	Dah Sing Banking Group Ltd		93,931
	4,000	Dah Sing Financial Holdings Ltd		29,039
	43,387	Henderson Land Development Co Ltd		269,503
	40,000	HKT Trust & HKT Ltd – Class SS		51,805
	147,100	Hysan Development Co Ltd		681,114
	530,076	I-CABLE Communications Ltd *		18,661
	169,800	Kerry Properties Ltd		673,999

Shares		Description	Value ($)
		Hong Kong — continued
	737,900	Link (REIT)		6,095,651
	71,800	Luk Fook Holdings International Ltd		246,539
	564,000	Man Wah Holdings Ltd		525,623
	29,700	New World Development Co Ltd		40,649
	2,596,900	SJM Holdings Ltd		2,270,302
	14,300	SmarTone Telecommunications Holdings Ltd		17,476
	2,000	Swire Pacific Ltd – Class A		20,370
	1,400	Television Broadcasts Ltd		4,675
	8,000	Truly International Holdings Ltd		2,426
	4,373,500	WH Group Ltd		4,584,066
	750,100	Wharf Holdings Ltd (The)		7,155,610
	365,500	Wheelock & Co Ltd		2,738,495
	55,425	Xinyi Automobile Glass Hong Kong Enterprises Ltd *		10,636
	911,400	Xinyi Glass Holdings Ltd *		909,939
	49,900	Yue Yuen Industrial Holdings Ltd		216,455
		Total Hong Kong		32,556,390
		Hungary — 0.1%
	733,294	Magyar Telekom Telecommunications Plc		1,393,641
	78,185	Richter Gedeon Nyrt		2,035,768
		Total Hungary		3,429,409
		India — 1.9%
	535,705	Andhra Bank *		443,082
	30,627	Asian Paints Ltd		561,726
	39,171	Aurobindo Pharma Ltd		445,542
	14,333	Balmer Lawrie & Co Ltd		53,824
	775,731	Bharat Electronics Ltd		2,309,631
	442,050	Bharat Petroleum Corp Ltd		3,655,190
	70,904	Cadila Healthcare Ltd		555,980
	399,091	Canara Bank		2,132,089
	55,041	Claris Lifesciences Ltd * (a)		321,072
	373,759	Firstsource Solutions Ltd *		223,300
	129,161	GAIL India Ltd		766,740
	58,094	Gujarat Industries Power Co Ltd		115,741
	404,789	HCL Technologies Ltd		5,415,261
	100,322	HDFC Bank Ltd (a)		2,780,215
	13,733	Hero MotoCorp Ltd		857,456
	180,160	Hexaware Technologies Ltd		770,148
	319,690	Hindustan Petroleum Corp Ltd		2,445,041
	26,422	Hindustan Unilever Ltd		502,708
	287,180	Hindustan Zinc Ltd		1,362,237
	327,135	Housing Development & Infrastructure Ltd *		318,588
	110,781	ICICI Bank Ltd		519,943
	549,984	IFCI Ltd *		206,886
	157,760	Indian Bank		712,844

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, 2017 (Unaudited)

Shares		Description	Value ($)
		India — continued
	510,545	Indian Oil Corp Ltd		3,642,675
	139,904	Infosys Ltd		2,002,297
	662,624	Infosys Ltd Sponsored ADR		9,939,360
	1,199,694	Jaiprakash Associates Ltd *		447,671
	128,948	Jaypee Infratech Ltd *		34,078
	89,397	Jubilant Life Sciences Ltd		982,344
	478,191	Karnataka Bank Ltd (The)		1,132,287
	48,933	Kotak Mahindra Bank Ltd		748,823
	66,842	KPIT Technologies Ltd		122,009
	29,419	Larsen & Toubro Ltd		523,079
	39,917	Maruti Suzuki India Ltd		4,827,229
	3,290	Merck Ltd		61,843
	19,517	MOIL Ltd		110,521
	21,666	Mphasis Ltd		206,231
	120,585	NIIT Technologies Ltd *		939,112
	1,230,158	NMDC Ltd		2,439,642
	1,651,278	Oil & Natural Gas Corp Ltd		4,059,176
	30,372	Oil India Ltd		136,072
	669	Oracle Financial Services Software Ltd		35,919
	208,617	Oriental Bank of Commerce *		415,515
	2,771,702	Power Finance Corp Ltd		5,304,873
	446,917	PTC India Ltd		839,705
	3,074,536	Rural Electrification Corp Ltd		8,146,221
	159,138	Sonata Software Ltd		393,240
	18,766	Sun TV Network Ltd		204,878
	597,800	Syndicate Bank *		604,525
	15,323	Tata Consultancy Services Ltd		599,269
	14,794	Tech Mahindra Ltd		98,990
	44,755	Uflex Ltd		307,033
	7,689	UltraTech Cement Ltd		482,160
	133,197	Union Bank of India *		285,538
	272,677	Vedanta Ltd		1,320,194
	211,468	Wipro Ltd		985,573
	3,400	WNS Holdings Ltd ADR *		119,000
	22,249	Yes Bank Ltd		611,952
		Total India		80,584,278
		Indonesia — 0.0%
	1,866,000	Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT		358,391
	2,191,500	Bank Pembangunan Daerah Jawa Timur Tbk PT		116,857
	819,400	Barito Pacific Tbk PT *		121,382
	618,300	Harum Energy Tbk PT *		107,720
	721,800	Indo Tambangraya Megah Tbk PT		1,053,463
	47,500	Indofood Sukses Makmur Tbk PT		29,877
	6,154,600	Panin Financial Tbk PT *		114,620
	866,600	Ramayana Lestari Sentosa Tbk PT		65,748

Shares		Description	Value ($)
		Indonesia — continued
	56,000	Telekomunikasi Indonesia Persero Tbk PT		19,754
		Total Indonesia		1,987,812
		Israel — 0.0%
	168	B Communications Ltd *		2,495
	156,536	Bank Hapoalim BM		1,053,679
	32,209	Discount Investment Corp Ltd		127,703
	7,851	Mizrahi Tefahot Bank Ltd		139,920
	11,216	Nova Measuring Instruments Ltd *		266,989
		Total Israel		1,590,786
		Italy — 0.4%
	34,038	A2A SPA		57,224
	38,149	ACEA SPA		551,683
	3,586	ASTM SPA		90,511
	127,818	Cofide SPA		84,564
	6,272	El.En. SPA		188,623
	3,475	Eni SPA		54,579
	65,144	EXOR NV		4,186,458
	305,100	Fiat Chrysler Automobiles NV *		4,616,163
	139,571	Fincantieri SPA *		159,642
	302,992	Iren SPA		830,944
	15,426	MARR SPA		387,229
	2,326	Prima Industrie SPA		112,584
	87,047	Recordati SPA		3,733,411
	103,636	Societa Cattolica di Assicurazioni SCRL		891,064
	11,076	Vittoria Assicurazioni SPA		146,494
		Total Italy		16,091,173
		Japan — 3.5%
	23,000	AOKI Holdings Inc		306,326
	198,100	Asahi Kasei Corp		2,375,931
	2,000	Autobacs Seven Co Ltd		33,004
	125,200	Brother Industries Ltd		2,970,123
	13,700	Cawachi Ltd		332,827
	8,300	Central Japan Railway Co		1,407,300
	10,800	CKD Corp		183,052
	28,100	Cosmo Energy Holdings Co Ltd		582,712
	400	Daiichi Sankyo Co Ltd		9,469
	21,300	Daiwa House Industry Co Ltd		744,909
	51,000	Daiwabo Holdings Co Ltd		205,351
	108,400	DCM Holdings Co Ltd		976,018
	91,800	Denka Co Ltd		584,730
	48,800	DIC Corp		1,726,378
	9,400	Doutor Nichires Holdings Co Ltd		204,394
	12,700	DTS Corp		357,790
	8,200	Ehime Bank Ltd (The)		104,361
	11,800	Elecom Co Ltd		247,584

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, 2017 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	7,800	Exedy Corp		233,934
	6,600	Fujicco Co Ltd		163,220
	5,100	Fujitsu General Ltd		106,932
	500,000	Fujitsu Ltd		3,706,434
	14,400	Furukawa Electric Co Ltd		782,002
	3,600	Fuyo General Lease Co Ltd		218,200
	154,300	Hanwa Co Ltd		1,038,232
	30,400	Haseko Corp		376,984
	81,500	Hazama Ando Corp		574,938
	4,300	Heiwado Co Ltd		100,387
	48,700	Hitachi Chemical Co Ltd		1,319,121
	17,900	Hitachi High-Technologies Corp		639,276
	180,000	Hitachi Ltd		1,239,053
	1,500	Hitachi Transport System Ltd		36,272
	1,700	Hosokawa Micron Corp		86,168
	872,100	ITOCHU Corp		14,241,022
	13,400	Itochu Techno-Solutions Corp		499,151
	30,100	K’s Holdings Corp		672,823
	7,400	Kaneka Corp		57,670
	452,000	Kanematsu Corp		1,066,167
	1,400	Kasai Kogyo Co Ltd		20,048
	11,100	Kawasaki Kisen Kaisha Ltd *		30,109
	125,400	KDDI Corp		3,383,084
	2,100	Keihin Corp		34,577
	15,000	Kitz Corp		120,738
	1,400	Kokuyo Co Ltd		22,294
	400	Kuroda Electric Co Ltd		7,045
	17,300	Kyowa Exeo Corp		326,075
	800	Kyudenko Corp		32,541
	427,300	Marubeni Corp		2,780,639
	33,000	MCJ Co Ltd		386,202
	20,700	Medipal Holdings Corp		365,387
	873,900	Mitsubishi Chemical Holdings Corp		8,145,201
	184,900	Mitsubishi Corp		4,277,749
	205,100	Mitsubishi Electric Corp		3,034,866
	54,400	Mitsubishi Gas Chemical Co Inc		1,352,407
	171,600	Mitsubishi Tanabe Pharma Corp		4,232,832
	1,266,800	Mitsubishi UFJ Financial Group Inc		7,719,308
	72,500	Mitsubishi UFJ Lease & Finance Co Ltd		366,724
	410,600	Mitsui & Co Ltd		6,145,220
	156,000	Mitsui Chemicals Inc		934,381
	31,000	Mitsui Engineering & Shipbuilding Co Ltd		38,865
	6,000	Mitsui Sugar Co Ltd		204,033
	1,200	NHK Spring Co Ltd		11,992
	27,000	Nichias Corp		316,720
	22,200	Nichiha Corp		809,411
	41,000	Nichirei Corp		1,083,895
	41,000	Nippo Corp		813,329

Shares		��	Description	Value ($)
			Japan — continued
	43,000		Nippon Light Metal Holdings Co Ltd		126,743
	289,800		Nippon Telegraph & Telephone Corp		14,427,502
	2,500		Nippon Signal Co Ltd		26,532
	4,700		Nishi-Nippon Financial Holdings Inc		50,457
	151,200		Nissan Motor Co Ltd		1,505,291
	17,500		Nissin Electric Co Ltd		194,638
	19,800		Noritsu Koki Co Ltd		237,948
	2,600		Okamura Corp		26,455
	23,400		Open House Co Ltd		724,234
	28,500		Osaka Gas Co Ltd		111,563
	27,000		Osaki Electric Co Ltd		212,586
	137,500		Otsuka Holdings Co Ltd		5,542,382
	51,000		Pola Orbis Holdings Inc		1,637,406
	2,200		Press Kogyo Co Ltd		11,541
	96,000		Prima Meat Packers Ltd		595,261
	900		Rock Field Co Ltd		16,504
	6,600		Roland DG Corp		163,807
	5,100		Sakata INX Corp		90,567
	34,200		Seiko Epson Corp		877,659
	3,800		Seiren Co Ltd		67,473
	169,600		Sekisui Chemical Co Ltd		3,166,806
	29,500		Showa Denko KK		786,101
	1,348,100		Sojitz Corp		3,620,119
	59,700		Sumitomo Forestry Co Ltd		931,334
	159,200		Sumitomo Heavy Industries Ltd		1,187,163
	254,000		Sumitomo Mitsui Financial Group Inc		9,457,253
	40,600		Sumitomo Rubber Industries Ltd		673,346
	3,000		Suntory Beverage & Food Ltd		138,668
	19,600		Suzuki Motor Corp		984,190
	19,000		T RAD Co Ltd		76,073
	25,200		T-Gaia Corp		494,910
	1,600		Takasago International Corp		56,945
	2,800		Tocalo Co Ltd		102,870
	23,100		Toho Holdings Co Ltd		453,803
	22,600		Tokyo Electron Ltd		3,182,947
	541,000		Tosoh Corp		6,359,855
	7,100		Towa Corp		110,834
	1,900		Toyoda Gosei Co Ltd		44,273
	70,200		Toyota Tsusho Corp		2,160,129
	11,700		TPR Co Ltd		355,072
	14,200		TS Tech Co Ltd		444,171
	7,200		TSI Holdings Co Ltd		52,285
	3,000		TV Asahi Holdings Corp		60,610
	11,800		UKC Holdings Corp		207,165
	9,100		UT Group Co Ltd *		190,949
	25,000		Wacoal Holdings Corp		356,700
	700		Yellow Hat Ltd		19,424
	12,300		Yuasa Trading Co Ltd		415,084
			Total Japan		150,241,545

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, 2017 (Unaudited)

Shares		Description	Value ($)
		Malaysia — 0.0%
	168,600	Berjaya Sports Toto Berhad		88,845
	156,500	KSL Holdings Berhad *		45,479
	61,200	Lafarge Malaysia Berhad		77,725
	132,600	Malayan Flour Mills Berhad		64,075
	32,900	Malaysian Pacific Industries Berhad		108,956
	86,900	Oldtown Berhad		54,641
	193,600	Padini Holdings Berhad		188,368
	77,600	UOA Development Berhad		47,220
		Total Malaysia		675,309
		Mexico — 0.4%
	535,000	Arca Continental SAB de CV		3,904,347
	477,229	Bolsa Mexicana de Valores SAB de CV		823,174
	961,700	Cemex SAB de CV CPO *		897,732
	1,057,400	Genomma Lab Internacional SAB de CV – Class B *		1,358,473
	41,821	Gruma SAB de CV – Class B		613,424
	4,300	Grupo Aeroportuario del Pacifico SAB de CV – Class B		47,506
	36,620	Grupo Aeroportuario del Sureste SAB de CV – Class B		745,519
	87,700	Grupo Financiero Interacciones SA de CV – Class O		519,944
	171,042	Grupo Herdez SAB de CV		419,013
	2,721,238	Wal-Mart de Mexico SAB de CV		6,620,739
		Total Mexico		15,949,871
		Netherlands — 0.6%
	60,600	AVG Technologies NV *		1,648,320
	364	BinckBank NV		1,840
	24,507	Heineken Holding NV		2,420,928
	561,017	ING Groep NV		9,958,494
	26,782	Philips Lighting NV		988,767
	231,198	PostNL NV		920,742
	11,486	Unilever NV CVA		683,811
	170,329	Wolters Kluwer NV		7,441,385
		Total Netherlands		24,064,287
		New Zealand — 0.1%
	640,296	Air New Zealand Ltd		1,644,445
	62,018	Fletcher Building Ltd		369,299
	9,932	Fletcher Building Ltd		58,342
		Total New Zealand		2,072,086
		Norway — 0.3%
	8,812	Austevoll Seafood ASA		91,043
	28,326	Bakkafrost P/F		1,322,609
	76,856	BW LPG Ltd *		316,301
	143,765	DNB ASA		2,808,106
	141,639	Orkla ASA		1,454,286
	1,716	Salmar ASA		49,757

Shares		Description	Value ($)
		Norway — continued
	19,206	SpareBank 1 Nord Norge		152,162
	10,671	SpareBank 1 SR Bank ASA		114,492
	51,108	Statoil ASA		967,162
	140,241	Storebrand ASA		1,160,862
	237,682	Subsea 7 SA		3,419,422
		Total Norway		11,856,202
		Philippines — 0.0%
	107,500	First Gen Corp		35,353
	269,200	Lopez Holding Corp		35,622
	11,330	Manila Electric Co		60,000
	169,800	Manila Water Co Inc		102,828
		Total Philippines		233,803
		Poland — 0.3%
	87,121	Asseco Poland SA		1,106,811
	374,786	Enea SA		1,603,627
	66,040	Impexmetal SA *		82,406
	174,567	KGHM Polska Miedz SA		6,177,749
	46,802	Polski Koncern Naftowy ORLEN SA		1,548,318
	2,460,762	Tauron Polska Energia SA *		2,705,761
		Total Poland		13,224,672
		Portugal — 0.0%
	95,779	CTT-Correios de Portugal SA		594,197
		Qatar — 0.0%
	922	Al Meera Consumer Goods Co QSC		37,985
	5,256	Barwa Real Estate Co		45,740
	10,492	Doha Bank QSC		87,057
	1,679	Industries Qatar QSC		42,095
	1,617	Masraf Al Rayan QSC		16,956
	1,029	Qatar Electricity & Water Co QSC		52,499
	2,593	Qatar International Islamic Bank QSC		39,048
	1,156	Qatar Islamic Bank SAQ		29,499
	1,485	Qatar National Bank QPSC		53,402
	3,695	Qatar Navigation QSC		64,851
		Total Qatar		469,132
		Russia — 0.1%
	9,472,000	ENEL RUSSIA PJSC		202,652
	12,930	Gazprom Neft PJSC		46,148
	9,549	Globaltrans Investment Plc Sponsored GDR (Registered)		96,949
	5,746,000	Inter RAO UES PJSC		383,484
	10,670	M.Video PJSC *		75,067
	43,504	MegaFon PJSC GDR (Registered)		430,476
	153,000	Mobile TeleSystems PJSC Sponsored ADR		1,528,470
	18,620	Moscow Exchange MICEX-RTS PJSC		33,782

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, 2017 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	190,070	Rostelecom PJSC		217,887
	24,275	Sistema PJSC FC Sponsored GDR (Registered)		100,606
	1,240	Tatneft PJSC		8,206
		Total Russia		3,123,727
		Singapore — 0.1%
	71,700	CapitaLand Commercial Trust (REIT)		92,125
	19,100	China Aviation Oil Singapore Corp Ltd		22,499
	308,000	Fortune Real Estate Investment Trust		368,175
	152,200	Frasers Centrepoint Trust (REIT)		237,004
	120,300	Japfa Ltd		48,856
	543,900	Mapletree Greater China Commercial Trust (REIT)		451,644
	308,100	Mapletree Industrial Trust (REIT)		421,624
	58,100	Mapletree Logistics Trust (REIT)		52,723
	107,400	Parkway Life Real Estate Investment Trust		213,061
	800	SATS Ltd		2,853
	147,800	Venture Corp Ltd		1,725,518
	677,600	Yangzijiang Shipbuilding Holdings Ltd		748,897
	266,000	Yanlord Land Group Ltd		339,792
		Total Singapore		4,724,771
		South Africa — 1.3%
	11,816	AECI Ltd		97,249
	95,436	African Rainbow Minerals Ltd		808,145
	74,735	Astral Foods Ltd		890,178
	498,052	Aveng Ltd *		141,669
	289,260	AVI Ltd		2,199,166
	590,573	Barclays Africa Group Ltd		6,738,883
	349,929	Barloworld Ltd		3,458,658
	231,001	Bidvest Group Ltd (The)		3,046,261
	500,820	Blue Label Telecoms Ltd		712,667
	130,630	Clicks Group Ltd		1,494,940
	122,408	DataTec Ltd		532,676
	254,239	Emira Property Fund Ltd (REIT)		271,097
	35,257	FirstRand Ltd		150,716
	16,386	KAP Industrial Holdings Ltd		10,654
	148,526	Kumba Iron Ore Ltd		2,445,333
	31,694	Lewis Group Ltd		77,864
	323,545	Liberty Holdings Ltd		2,578,052
	1,565,404	Merafe Resources Ltd		166,298
	821,115	MMI Holdings Ltd		1,314,276
	171,912	Mondi Ltd		4,693,536
	689,813	Murray & Roberts Holdings Ltd		808,645
	561,380	Nedbank Group Ltd		9,489,985
	140,492	Raubex Group Ltd		245,547
	213,591	Reunert Ltd		1,142,696
	22,259	Santam Ltd		443,022

Shares		Description	Value ($)
		South Africa — continued
	113,256	Shoprite Holdings Ltd		1,961,896
	353,919	Standard Bank Group Ltd		4,561,466
	37,251	Sun International Ltd		166,209
	312,016	Telkom SA SOC Ltd		1,506,651
	333,736	Tsogo Sun Holdings Ltd		560,242
	127,086	Vodacom Group Ltd		1,774,020
	97,714	Wilson Bayly Holmes-Ovcon Ltd		1,044,329
		Total South Africa		55,533,026
		South Korea — 2.1%
	46,887	BNK Financial Group Inc		410,451
	2,177	Cheil Worldwide Inc		36,725
	588	CJ O Shopping Co Ltd		111,645
	212	Cuckoo Electronics Co Ltd		25,238
	22,126	Daishin Securities Co Ltd		277,197
	22,144	Daou Data Corp		234,353
	92,475	Daou Technology Inc		1,621,687
	57,010	DGB Financial Group Inc		556,635
	10,604	Dongbu Insurance Co Ltd		707,739
	983	Dongsuh Cos Inc		23,130
	18,975	Dongwon Development Co Ltd		89,240
	1,456	Douzone Bizon Co Ltd		42,727
	9,817	E-MART Inc		1,954,754
	27,607	Grand Korea Leisure Co Ltd		566,192
	2,506	GS Home Shopping Inc		490,431
	514	GS Retail Co Ltd		18,409
	60,403	Hana Financial Group Inc		2,626,915
	28,533	Hankook Tire Co Ltd		1,496,494
	23,513	Hankook Tire Worldwide Co Ltd		444,894
	8,330	Hanon Systems		85,607
	1,110	Hansol Paper Co Ltd		17,984
	17,377	Hanwha Corp		759,184
	309,199	Hanwha Life Insurance Co Ltd		2,009,464
	9,775	Hyundai Corp		194,752
	5,766	Hyundai Home Shopping Network Corp		703,863
	10,462	Hyundai Hy Communications & Network Co Ltd		37,865
	61,860	Hyundai Marine & Fire Insurance Co Ltd		2,540,579
	9,379	Hyundai Mobis Co Ltd		1,965,250
	57,266	Hyundai Motor Co		7,150,331
	1,572	Hyundai Wia Corp		97,807
	294,684	Industrial Bank of Korea		3,907,333
	2,265	Innocean Worldwide Inc		144,148
	115,953	JB Financial Group Co Ltd		639,648
	14,159	Kangwon Land Inc		433,577
	159,454	KB Financial Group Inc		7,844,906
	256,535	Kia Motors Corp		8,079,040
	1,563	KISCO Corp		58,036
	635	KIWOOM Securities Co Ltd		45,527
	12,462	Korea Asset In Trust Co Ltd		102,661

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, 2017 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	719	Korea Investment Holdings Co Ltd		41,988
	2,702	Korea Petrochemical Ind Co Ltd		643,244
	17,026	Korea Real Estate Investment & Trust Co Ltd		51,319
	479	Korea Zinc Co Ltd		219,339
	37,539	Korean Reinsurance Co		414,614
	8,335	KT Hitel Co Ltd *		45,382
	6,301	KT Skylife Co Ltd		90,068
	9,597	KT&G Corp		975,684
	27,927	Kwang Dong Pharmaceutical Co Ltd		214,533
	14,392	Kwangju Bank		162,198
	6,275	Kyobo Securities Co Ltd		54,209
	7,149	LF Corp		184,688
	250,980	LG Display Co Ltd		6,963,868
	45,598	LG Electronics Inc		3,305,296
	5,160	LOTTE Himart Co Ltd		313,437
	4,739	Lotte Shopping Co Ltd		1,081,394
	3,228	LS Corp		242,664
	7,792	Meritz Financial Group Inc		115,913
	34,914	Meritz Fire & Marine Insurance Co Ltd		784,364
	58,012	Meritz Securities Co Ltd		248,927
	9,974	Mirae Asset Life Insurance Co Ltd		49,100
	297	Namyang Dairy Products Co Ltd		178,652
	5,421	NCSoft Corp		1,851,991
	2,031	NH Investment & Securities Co Ltd		24,908
	29,321	NHN Entertainment Corp *		1,669,287
	86	Ottogi Corp		58,077
	5,097	Partron Co Ltd		40,748
	1,797	POSCO Chemtech Co Ltd		52,678
	2,127	Posco Daewoo Corp		40,050
	1,705	S&T Motiv Co Ltd		79,237
	2,181	Samjin Pharmaceutical Co Ltd		65,228
	49,846	Samsung Card Co Ltd		1,644,138
	3,172	Samsung Electronics Co Ltd		6,529,595
	1,514	Samsung Fire & Marine Insurance Co Ltd		371,907
	881	Samsung Life Insurance Co Ltd		90,325
	1,946	Samsung Securities Co Ltd		63,185
	13,635	Seah Besteel Corp		429,457
	4,977	SeAH Steel Corp		410,834
	11,764	Seoyon E-Hwa Co Ltd		117,077
	57,632	Shinhan Financial Group Co Ltd		2,657,460
	6,750	Shinsegae Inc		1,156,615
	4,528	Silicon Works Co Ltd		176,302
	818	Sindoh Co Ltd		48,315
	500	SK Gas Ltd		49,785
	2,959	SK Telecom Co Ltd		668,090
	11,218	SL Corp		194,667
	502	Soulbrain Co Ltd		28,803
	887	Spigen Korea Co Ltd		35,267

Shares		Description	Value ($)
		South Korea — continued
	1,342	Ssangyong Information & Communication *		1,966
	39,258	Tongyang Life Insurance Co Ltd		319,311
	2,651	Unid Co Ltd		114,167
	416,064	Woori Bank		6,867,758
		Total South Korea		90,790,527
		Spain — 0.6%
	24,475	Ebro Foods SA		583,874
	331,892	Endesa SA		8,019,182
	734,601	Mapfre SA		2,604,339
	820,674	Repsol SA		14,121,149
		Total Spain		25,328,544
		Sweden — 0.4%
	33,973	Acando AB		116,783
	17,916	Alfa Laval AB		405,984
	112,828	Atlas Copco AB – A Shares		4,426,485
	3,173	Axfood AB		56,161
	23,926	Bilia AB – A Shares		249,315
	11,765	Bufab AB		139,465
	13,481	Intrum Justitia AB		439,892
	11,522	KappAhl AB		65,213
	4,438	KNOW IT AB		68,117
	1,025	NCC AB – B Shares		26,755
	25,268	Nobina AB		126,253
	7,609	Ratos AB – B Shares		35,625
	480,081	Sandvik AB		7,937,164
	1,216	Securitas AB – B Shares		20,002
	10,437	Volvo AB – A Shares		178,384
	249,056	Volvo AB – B Shares		4,256,884
		Total Sweden		18,548,482
		Switzerland — 0.7%
	3,840	ALSO Holding AG (Registered) *		499,606
	719	Autoneum Holding AG		182,854
	340	Bell Food Group AG (Registered)		156,020
	6,969	BKW AG		404,947
	4,224	Bobst Group SA (Registered)		479,515
	1,782	Bossard Holding AG (Registered) – A Shares		388,036
	640	Coltene Holding AG (Registered)		67,127
	1,395	Comet Holding AG (Registered) *		198,250
	44	Emmi AG (Registered) *		29,425
	1,316	EMS-Chemie Holding AG (Registered)		900,415
	1,672	Georg Fischer AG (Registered)		1,927,262
	108	Gurit Holding AG *		123,848
	708	Inficon Holding AG (Registered) *		403,476
	23	Intershop Holding AG		11,543
	3,348	Kardex AG (Registered) *		350,944

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, 2017 (Unaudited)

Shares		Description	Value ($)
		Switzerland — continued
	525	Kuehne & Nagel International AG (Registered)		95,141
	65,531	Logitech International SA (Registered)		2,335,184
	38,829	Nestle SA (Registered)		3,291,762
	10,296	Novartis AG (Registered)		868,026
	2,116	Orior AG		168,571
	3,206	Roche Holding AG		814,550
	544	Sika AG		3,860,411
	12,940	Swiss Life Holding AG (Registered) *		4,632,555
	107,452	Swiss Re AG		9,729,532
		Total Switzerland		31,919,000
		Taiwan — 2.5%
	386,000	AcBel Polytech Inc		308,082
	36,000	Actron Technology Corp		122,536
	35,000	Advantech Co Ltd		258,656
	498,000	AmTRAN Technology Co Ltd		277,873
	17,000	Asia Vital Components Co Ltd		15,447
	247,000	Asustek Computer Inc		2,049,286
	12,000	Aurora Corp		23,607
	27,000	Casetek Holdings Ltd		89,774
	289,000	Catcher Technology Co Ltd		3,696,502
	250,000	Cathay Financial Holding Co Ltd		409,284
	211,000	Chailease Holding Co Ltd		575,258
	50,000	Channel Well Technology Co Ltd		47,327
	206,000	Cheng Shin Rubber Industry Co Ltd		415,072
	22,105	Chicony Electronics Co Ltd		55,621
	22,110	Chicony Power Technology Co Ltd		45,226
	132,000	Chin-Poon Industrial Co Ltd		239,008
	340,000	China Motor Corp		316,844
	180,600	China Synthetic Rubber Corp		219,256
	30,000	Chong Hong Construction Co Ltd		67,113
	298,000	Chunghwa Telecom Co Ltd		1,036,457
	7,000	Cleanaway Co Ltd		39,458
	1,749,000	Compal Electronics Inc		1,258,991
	515,000	Coretronic Corp		626,740
	911,000	CTBC Financial Holding Co Ltd		591,110
	81,000	CTCI Corp		131,078
	96,000	Cyberlink Corp		196,513
	58,000	Dynapack International Technology Corp		74,572
	2,040	Eclat Textile Co Ltd		25,100
	38,000	Elan Microelectronics Corp		54,477
	357,000	Elitegroup Computer Systems Co Ltd *		226,548
	35,000	Everlight Electronics Co Ltd		52,626
	199,000	Far EasTone Telecommunications Co Ltd		482,657
	297,000	Farglory Land Development Co Ltd		360,201
	7,000	Feng TAY Enterprise Co Ltd		33,265
	62,000	Formosa Advanced Technologies Co Ltd		58,006
	49,000	Formosa Plastics Corp		152,753

Shares		Description	Value ($)
		Taiwan — continued
	94,000	Formosan Rubber Group Inc		46,939
	670,490	Foxconn Technology Co Ltd		2,135,614
	4,507,000	Fubon Financial Holding Co Ltd		7,261,678
	311,000	Gemtek Technology Corp		232,544
	3,000	Giant Manufacturing Co Ltd		15,189
	748,000	Gigabyte Technology Co Ltd		1,020,609
	29,000	Grand Pacific Petrochemical		24,618
	542,000	Great Wall Enterprise Co Ltd		556,955
	9,000	Greatek Electronics Inc		14,433
	620,000	Highwealth Construction Corp *		987,714
	5,000	Hiroca Holdings Ltd		18,768
	58,000	Holtek Semiconductor Inc		106,234
	5,727,300	Hon Hai Precision Industry Co Ltd		22,365,392
	75,000	Huaku Development Co Ltd		154,013
	77,000	IEI Integration Corp *		117,634
	3,824,000	Innolux Corp		1,869,767
	3,539,000	Inventec Corp		2,815,972
	7,000	Iron Force Industrial Co Ltd		27,880
	75,000	ITEQ Corp		148,112
	15,000	Kenda Rubber Industrial Co Ltd		21,468
	3,000	King Slide Works Co Ltd		41,779
	69,000	King’s Town Bank Co Ltd		72,945
	15,000	Kinik Co		39,857
	6,000	Kung Long Batteries Industrial Co Ltd		30,879
	159,000	Lite-On Semiconductor Corp		186,044
	1,807,000	Lite-On Technology Corp		2,679,081
	175,000	Lotes Co Ltd		1,099,363
	31,000	Makalot Industrial Co Ltd		146,805
	886,247	Mercuries Life Insurance Co Ltd *		474,961
	10,000	Merida Industry Co Ltd		44,012
	57,000	MIN AIK Technology Co Ltd		54,989
	758,000	Mitac Holdings Corp		904,824
	2,000	Nien Made Enterprise Co Ltd		21,555
	74,000	Novatek Microelectronics Corp		288,646
	107,000	Nuvoton Technology Corp		195,887
	363,000	OptoTech Corp		198,870
	3,907,000	Pegatron Corp		12,343,970
	54,000	Phison Electronics Corp		730,498
	1,212,000	Pou Chen Corp		1,575,293
	497,000	Quanta Computer Inc		1,134,137
	878,000	Radiant Opto-Electronics Corp		2,222,868
	154,000	Realtek Semiconductor Corp		598,599
	53,000	Rechi Precision Co Ltd		53,387
	180,000	Ruentex Development Co Ltd *		176,659
	260,000	Ruentex Industries Ltd *		419,574
	45,000	Sercomm Corp		118,764
	173,000	Sheng Yu Steel Co Ltd		213,335
	60,000	Shinkong Insurance Co Ltd		52,412
	30,000	ShunSin Technology Holding Ltd		110,315
	74,000	Sigurd Microelectronics Corp		64,841

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, 2017 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	169,000	Simplo Technology Co Ltd		575,194
	22,000	Sinbon Electronics Co Ltd		54,399
	30,000	Sinmag Equipment Corp		160,104
	77,000	Sitronix Technology Corp		234,337
	101,000	Soft-World International Corp		241,589
	743,000	Sunonwealth Electric Machine Industry Co Ltd		1,289,766
	620,000	Sunplus Technology Co Ltd		346,062
	286,000	Syncmold Enterprise Corp		660,764
	7,000	Systex Corp		13,476
	14,700	TaiDoc Technology Corp		43,436
	19,000	Taiflex Scientific Co Ltd		32,869
	27,000	Taiwan PCB Techvest Co Ltd		29,005
	183,000	Taiwan Semiconductor Co Ltd		258,894
	1,390,000	Taiwan Semiconductor Manufacturing Co Ltd		10,004,516
	89,642	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		3,314,065
	122,000	Taiwan Surface Mounting Technology Corp		100,850
	55,000	Teco Electric and Machinery Co Ltd		51,482
	29,000	Test Research Inc		37,791
	58,000	Tong Hsing Electronic Industries Ltd		234,217
	15,000	TOPBI International Holdings Ltd		54,071
	398,000	Topco Scientific Co Ltd		1,044,154
	11,000	Transcend Information Inc		32,846
	658,000	Tripod Technology Corp		2,471,160
	41,000	TXC Corp		55,685
	47,000	Uni-President Enterprises Corp		100,144
	127,000	United Integrated Services Co Ltd		229,043
	2,913,000	United Microelectronics Corp		1,456,088
	23,000	Visual Photonics Epitaxy Co Ltd		46,572
	95,000	Wan Hai Lines Ltd		66,167
	73,000	Well Shin Technology Co Ltd		127,660
	992,000	Winbond Electronics Corp		763,272
	923,558	Wistron Corp		874,965
	17,505	Wistron NeWeb Corp		52,805
	823,000	WPG Holdings Ltd		1,073,715
	20,000	Xxentria Technology Materials Corp		42,263
	24,457	Yageo Corp		157,403
	108,000	Yungtay Engineering Co Ltd		201,267
	6,000	Zeng Hsing Industrial Co Ltd		26,171
		Total Taiwan		107,427,273
		Thailand — 0.4%
	115,700	Bangkok Bank Pcl (Foreign Registered) (a)		653,919
	164,900	GFPT Pcl (Foreign Registered)		95,469
	241,900	GFPT Pcl NVDR		140,048
	208,300	Indorama Ventures Pcl NVDR, 2.13%		244,933
	391,300	Kiatnakin Bank Pcl (Foreign Registered)		828,363

Shares		Description	Value ($)
		Thailand — continued
	300,900	Kiatnakin Bank Pcl NVDR		636,990
	37,200	Malee Group Pcl (Foreign Registered)		45,438
	99,700	Mega Lifesciences Pcl (Foreign Registered)		93,990
	304,700	Mega Lifesciences Pcl NVDR		287,248
	152,000	PTT Exploration & Production Pcl (Foreign Registered)		401,252
	657,300	PTT Exploration & Production Pcl NVDR		1,735,150
	167,500	PTT Pcl (Foreign Registered)		2,014,866
	108,400	PTT Pcl NVDR		1,303,949
	5,874,100	Sansiri Pcl NVDR		368,170
	84,600	Siam Cement Pcl (The) (Foreign Registered)		1,274,839
	55,100	Siam Cement Pcl (The) NVDR		830,302
	201,500	Sri Trang Agro-Industry Pcl NVDR		72,374
	297,000	Supalai Pcl (Foreign Registered)		225,973
	78,700	Supalai Pcl NVDR		59,879
	6,412,800	Thai Beverage Pcl		4,402,668
	213,700	Thai Oil Pcl (Foreign Registered)		606,967
	14,100	Thai Oil Pcl NVDR		40,048
	835,700	Thanachart Capital Pcl (Foreign Registered)		1,176,821
	122,100	Thanachart Capital Pcl NVDR		171,939
		Total Thailand		17,711,595
		Turkey — 1.0%
	17,956	Akbank Turk AS		53,854
	52,482	Albaraka Turk Katilim Bankas AS		22,662
	2,683	Arcelik AS		18,666
	7,029	BIM Birlesik Magazalar AS		155,817
	1,964,815	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT) *		1,674,751
	100,692	Enka Insaat ve Sanayi AS		156,159
	2,534,756	Eregli Demir ve Celik Fabrikalari TAS		6,038,906
	6,273	Ford Otomotiv Sanayi AS		86,416
	17,323	Goodyear Lastikleri TAS		24,566
	110,110	Haci Omer Sabanci Holding AS		338,437
	680,498	KOC Holding AS		3,557,836
	12,254	Koza Altin Isletmeleri AS *		114,083
	4,635	Otokar Otomotiv Ve Savunma Sanayi AS		155,211
	105,961	Selcuk Ecza Deposu Ticaret ve Sanayi AS		120,709
	260,187	Soda Sanayii AS		392,745
	42,910	Tekfen Holding AS		159,317
	2,524	Tofas Turk Otomobil Fabrikasi AS		23,123
	639,890	Turkiye Garanti Bankasi AS		1,993,757
	1,912,372	Turkiye Halk Bankasi AS		8,223,227
	5,697,969	Turkiye Is Bankasi – Class C		12,380,994
	478,068	Turkiye Sinai Kalkinma Bankasi AS		210,412

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, 2017 (Unaudited)

Shares		Description	Value ($)
		Turkey — continued
	2,696,832	Turkiye Vakiflar Bankasi TAO – Class D		5,634,751
	15,675	Yapi ve Kredi Bankasi AS *		22,102
		Total Turkey		41,558,501
		United Arab Emirates — 0.0%
	94,474	Aldar Properties PJSC		59,705
	363,945	DAMAC Properties Dubai Co PJSC		401,079
	12,864	Emirates Telecommunications Group Co PJSC		63,150
	204,758	RAK Properties PJSC		37,460
		Total United Arab Emirates		561,394
		United Kingdom — 1.9%
	74,458	3i Group Plc		934,131
	242,823	AstraZeneca Plc		14,236,179
	90,604	Berkeley Group Holdings Plc (The)		4,390,086
	1,361,916	BP Plc		7,866,941
	218,637	British American Tobacco Plc		13,639,693
	7,600	British American Tobacco Plc Sponsored ADR		472,112
	6,312	Carillion Plc		3,604
	7,368	Centrica Plc		19,044
	37,372	Coca-Cola HBC AG *		1,277,967
	31,985	Computacenter Plc		423,117
	71,643	Electrocomponents Plc		587,186
	357,150	Ferrexpo Plc		1,384,438
	256,156	Firstgroup Plc *		388,614
	35,020	Galliford Try Plc		631,287
	185,647	GlaxoSmithKline Plc		3,683,194
	747	HSBC Holdings Plc		7,242
	22,379	Hunting Plc *		116,231
	128,018	Inchcape Plc		1,379,307
	366,489	Indivior Plc *		1,974,222
	15,182	Intermediate Capital Group Plc		174,552
	347,594	Kingfisher Plc		1,343,112
	6,529	Legal & General Group Plc		21,986
	29,290	Lookers Plc		41,040
	13,100	Mitie Group Plc		45,481
	13,068	Mondi Plc		356,193
	6,302	Morgan Sindall Group Plc		102,507
	147,947	Persimmon Plc		5,094,639
	112,366	QinetiQ Group Plc		334,548
	34,656	Reckitt Benckiser Group Plc		3,286,378
	122,258	Royal Mail Plc		622,771
	47,397	RPS Group Plc		176,977
	295,715	Sage Group Plc (The)		2,648,654
	24,466	Spectris Plc		733,099
	77,037	Unilever Plc		4,494,696
	34,498	Vedanta Resources Plc		381,240
	20,171	WH Smith Plc		481,996

Shares		Description	Value ($)
		United Kingdom — continued
	343,420	Wm Morrison Supermarkets Plc		1,091,914
	392,140	WPP Plc		7,151,501
		Total United Kingdom		81,997,879
		United States — 3.4%
	27,015	3M Co.		5,519,705
	68,374	Abbott Laboratories		3,482,971
	37,582	Accenture Plc – Class A		4,914,222
	11,825	Alphabet, Inc. – Class C *		11,107,577
	55,748	American Express Co.		4,799,903
	10,604	Amphenol Corp. – Class A		858,288
	7,681	Analog Devices, Inc.		642,669
	12,269	Anthem, Inc.		2,405,215
	64,885	Apple, Inc.		10,641,140
	4,000	Automatic Data Processing, Inc.		425,880
	7,634	Becton Dickinson and Co.		1,522,525
	126,484	Cisco Systems, Inc.		4,074,050
	62,575	Coca-Cola Co. (The)		2,850,291
	65,517	Cognizant Technology Solutions Corp. – Class A		4,636,638
	20,767	Costco Wholesale Corp.		3,255,020
	14,795	CVS Health Corp.		1,144,245
	13,385	Eli Lilly & Co.		1,088,067
	35,872	Emerson Electric Co.		2,117,883
	10,310	Honeywell International, Inc.		1,425,564
	7,297	Humana, Inc.		1,879,853
	56,926	Johnson & Johnson		7,535,295
	13,823	Mastercard, Inc. – Class A		1,842,606
	56,011	Medtronic Plc		4,515,607
	153,290	Microsoft Corp.		11,461,493
	21,842	Monsanto Co.		2,559,882
	189,559	Oracle Corp.		9,540,504
	9,837	PepsiCo, Inc.		1,138,436
	37,560	Pfizer, Inc.		1,274,035
	37,036	Philip Morris International, Inc.		4,330,619
	70,484	QUALCOMM, Inc.		3,684,199
	4,850	Rockwell Automation, Inc.		795,691
	35,984	Schlumberger Ltd.		2,285,344
	14,570	Stryker Corp.		2,059,761
	30,036	Teradata Corp. *		958,749
	19,702	Texas Instruments, Inc.		1,631,720
	10,874	TJX Cos., Inc. (The)		786,190
	40,980	UnitedHealth Group, Inc.		8,150,922
	23,269	United Technologies Corp.		2,785,765
	44,920	US Bancorp		2,302,150
	27,773	VF Corp.		1,746,088
	47,138	Wells Fargo & Co.		2,407,338
	8,873	Zimmer Biomet Holdings, Inc.		1,013,918
		Total United States		143,598,018
		TOTAL COMMON STOCKS (COST $1,237,140,040)		1,454,312,140

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, 2017 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 27.0%
		Jersey — 0.0%
		Asset-Backed Securities — 0.0%
	603,865	Canaras Summit CLO Ltd, Series 07-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 0.48%, 1.75%, due 06/19/21		603,209
		United States — 27.0%
		Asset-Backed Securities — 3.3%
	835,149	AccessLex Institute, Series 05-2, Class A3, Variable Rate, 3 mo. LIBOR + 0.18%, 1.49%, due 11/22/24		835,148
	2,994,935	Acis CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.87%, 2.17%, due 04/18/24		2,996,977
	797,206	AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.26%, due 07/24/29		797,080
	1,208,527	AMMC CLO XIV Ltd., Series 14-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.26%, due 07/25/29		1,208,322
	254,358	Anchorage Capital CLO 6 Ltd., Series 15-6A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.20%, due 07/15/30		254,356
	1,410,500	Anchorage Capital CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.19%, 2.49%, due 07/13/25		1,410,661
	1,764,163	Apidos CLO X, Series 12-10A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.42%, 2.73%, due 10/30/22		1,764,759
	1,957,261	Apidos CLO XII, Series 13-12A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.40%, due 04/15/25		1,959,433
	4,943,070	ARES XXVI CLO Ltd., Series 13-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.40%, due 04/15/25		4,945,803
	3,913,322	Atrium X, Series 10A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.25%, due 07/16/25		3,913,878
	1,308,424	Babson CLO Ltd., Series 13-IA, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.41%, due 04/20/25		1,310,055
	516,325	Bain Capital Credit CLO, Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.11%, due 07/20/30		516,315
	2,526,703	Ballyrock CLO LLC, Series 13-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.18%, 2.50%, due 05/20/25		2,532,421
	536,978	Benefit Street Partners CLO III Ltd., Series 13-IIIA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 2.16%, due 07/20/29		536,912
	271,250	Black Diamond CLO Ltd., Series 17-IA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.19%, due 04/24/29		271,244

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
	3,195,325	BlueMountain CLO Ltd., Series 13-2A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.20%, 2.51%, due 01/22/25		3,195,296
	1,478,320	BlueMountain CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.89%, 2.20%, due 10/29/25		1,478,310
	496,879	Brentwood CLO Corp, Series 06-1A, Class A2, 144A, Variable Rate, 3 mo. LIBOR + 0.38%, 1.69%, due 02/01/22		496,579
	6,419,054	Brookside Mill CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.45%, due 04/17/25		6,433,131
	515,375	Carlyle US CLO Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.13%, due 07/20/31		515,588
	322,109	Catamaran CLO Ltd., Series 12-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.19%, 2.52%, due 12/20/23		323,104
	1,032,650	CBAM Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.13%, due 07/20/30		1,032,616
	194,054	Cent CLO, Series 12-16A, Class A1AR, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 2.56%, due 08/01/24		194,122
	1,135,255	Cent CLO, Series 13-17A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.30%, 2.61%, due 01/30/25		1,135,893
	869,299	CIFC Funding III Ltd., Series 12-3A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.20%, 2.51%, due 01/29/25		869,290
	607,600	CIFC Funding III Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.12%, due 07/20/30		607,585
	1,392,447	CIFC Funding IV Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.13%, due 10/24/30		1,392,447
	569,329	Crown Point CLO Ltd., Series 12-1A, Class A1LA, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.07%, due 11/21/22		568,087
	413,060	Dryden XXVIII Senior Loan Fund, Series 13-28A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.07%, due 08/15/30		413,058
	307,460	Eastland CLO Ltd., Series 07-1A, Class A3, 144A, Variable Rate, 3 mo. LIBOR + 0.40%, 1.71%, due 05/01/22		306,784
	5,231,833	Fortress Credit BSL Ltd., Series 13-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.18%, 2.49%, due 01/19/25		5,238,964
	705,100	Galaxy XV CLO Ltd., Series 13-15A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 2.55%, due 04/15/25		705,318
	74,384	Gallatin CLO VII Ltd., Series 14-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.27%, 2.57%, due 07/15/23		74,394
	214,424	GoldenTree Loan Opportunities VII Ltd., Series 13-7A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.46%, due 04/25/25		214,422

See accompanying notes to the financial statements. 29

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
	53,303	Grayson CLO Ltd., Series 06-1A, Class A1B, 144A, Variable Rate, 3 mo. LIBOR + 0.36%, 1.67%, due 11/01/21		53,245
	413,060	Highbridge Loan Management, Series 3A-2014, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.10%, due 07/18/29		413,013
	3,689,000	Higher Education Funding I, Series 05-1, Class A5, Variable Rate, 3 mo. LIBOR + 0.16%, 1.48%, due 02/25/32		3,677,156
	2,090,872	Higher Education Funding I, Series 05-1, Class A4, Variable Rate, 3 mo. LIBOR + 0.14%, 1.46%, due 02/25/30		2,090,338
	826,120	Jamestown CLO X Ltd., Series 17-10A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.37%, due 07/17/29		826,042
	1,143,899	KeyCorp Student Loan Trust, Series 04-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.53%, 1.85%, due 01/27/42		1,144,075
	1,098,238	KeyCorp Student Loan Trust, Series 05-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.34%, 1.67%, due 06/27/38		1,097,817
	753,753	KeyCorp Student Loan Trust, Series 06-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.31%, 1.64%, due 09/27/35		752,821
	652,200	KKR CLO Ltd., 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.25%, due 07/15/30		652,233
	380,450	KKR CLO Ltd., 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.32%, due 07/18/30		380,447
	2,129,154	KKR CLO Trust, Series 12-1A, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 1.43%, 2.68%, due 12/15/24		2,130,463
	586,980	LCM XXV Ltd., 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.26%, due 07/20/30		586,975
	3,509,192	Montana Higher Education Student Assistance Corp., Series 05-1, Class B, Variable Rate, 3 mo. LIBOR + 0.12%, 1.45%, due 06/20/30		3,493,506
	407,709	Mountain View CLO Ltd., Series 13-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.16%, 2.46%, due 04/12/24		407,706
	3,834,822	MP CLO III Ltd., Series 13-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.18%, 2.49%, due 04/20/25		3,839,964
	3,344,435	National Collegiate Student Loan Trust, Series 06-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.25%, 1.49%, due 03/27/28		3,331,931

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
	2,504,032	National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate, 1 mo. LIBOR + 0.24%, 1.48%, due 07/25/30		2,477,382
	1,596,623	National Collegiate Student Loan Trust, Series 07-2, Class A2, Variable Rate, 1 mo. LIBOR + 0.13%, 1.37%, due 06/26/28		1,595,126
	6,510,000	National Collegiate Student Loan Trust, Series 07-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.23%, 1.47%, due 03/26/29		6,415,442
	2,604,000	Neuberger Berman CLO XV, Series 13-15A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.40%, 2.70%, due 10/15/25		2,606,739
	738,342	Neuberger Berman CLO XVII Ltd., Series 14-17A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.31%, due 04/22/29		738,335
	695,699	Newcastle CDO V Ltd., Series 04-5A, Class 3, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.20%, due 12/24/39		692,163
	3,255,000	NewMark Capital Funding CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.94%, 2.26%, due 06/02/25		3,248,500
	1,736,000	NewMark Capital Funding CLO Ltd., Series 13-1A, Class A2, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.44%, due 06/02/25		1,737,243
	588,209	Nomad CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.20%, 2.50%, due 01/15/25		588,800
	244,125	Oaktree CLO, Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.21%, due 05/13/29		244,130
	577,220	Octagon Investment Partners XIV Ltd., Series 12-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.88%, 2.18%, due 07/15/19		577,156
	344,579	Octagon Investment Partners XV Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.11%, due 07/19/30		344,524
	1,763,793	OFSI Fund V Ltd., Series 13-5A, Class A1LA, 144A, Variable Rate, 3 mo. LIBOR + 0.93%, 2.23%, due 04/17/25		1,759,776
	309,795	OFSI Fund V Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 2.16%, due 08/16/29		309,793
	615,312	OHA Credit Partners VIII Ltd., Series 13-8A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.43%, due 04/20/25		615,494

30 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, 2017 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
	908,732	OZLM Funding Ltd., Series 13-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 1.96%, due 10/22/30		908,732
	526,108	OZLM XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.06%, due 10/30/30		526,163
	2,628,642	Palmer Square CLO Ltd., Series 13-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.97%, 2.29%, due 05/15/25		2,633,779
	6,148,898	SLM Private Credit Student Loan Trust, Series 07-A, Class A3, Variable Rate, 3 mo. LIBOR + 0.17%, 1.49%, due 12/15/26		6,133,338
	3,242,740	SLM Private Education Loan Trust, Series 10-A, Class 2A, 144A, Variable Rate, 1 mo. LIBOR + 3.25%, 4.48%, due 05/16/44		3,358,199
	233,164	SLM Private Education Loan Trust, Series 11-A, Class A2, 144A, 4.37%, due 04/17/28		237,223
	903,805	SLM Private Education Loan Trust, Series 12-C, Class A2, 144A, 3.31%, due 10/15/46		909,582
	922,350	SLM Private Education Loan Trust, Series 14-A, Class A2B, 144A, Variable Rate, 1 mo. LIBOR + 1.15%, 2.38%, due 01/15/26		929,386
	2,072,347	SLM Student Loan Trust, Series 07-1, Class A5, Variable Rate, 3 mo. LIBOR + 0.09%, 1.40%, due 01/26/26		2,068,617
	5,139,954	SLM Student Loan Trust, Series 07-6, Class A4, Variable Rate, 3 mo. LIBOR + 0.38%, 1.69%, due 10/25/24		5,147,838
	454,536	SMB Private Education Loan Trust, Series 16-B, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.65%, 1.88%, due 11/15/23		455,140
	2,557,180	SMB Private Education Loan Trust, Series 17-A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.45%, 1.68%, due 06/17/24		2,561,057
	849,713	South Carolina Student Loan Corp., Series 05, Class A3, Variable Rate, 3 mo. LIBOR + 0.14%, 1.46%, due 12/01/23		849,186
	440,907	South Carolina Student Loan Corp., Series 08-1, Class A3, Variable Rate, 3 mo. LIBOR + 0.75%, 2.07%, due 03/02/20		441,105
	1,607,711	Symphony CLO V Ltd., Series 07-5A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.05%, due 01/15/24		1,609,438
	116,010	Symphony CLO VIII LP, Series 12-8A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.40%, due 01/09/23		116,079
	586,980	TCI-Symphony CLO Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.07%, due 07/15/30		586,974

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
	413,060	Telos CLO, Series 13-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.27%, due 07/17/26		413,055
	2,170,000	Telos CLO Ltd., Series 13-4A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.30%, 2.60%, due 07/17/24		2,172,333
	206,150	THL Credit Wind River CLO Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.21%, due 07/20/30		206,141
	695,485	Tryon Park CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.42%, due 07/15/25		696,904
	516,325	Venture XXIX CLO Ltd., Series 17-29A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.32%, due 09/07/30		516,325
	619,590	Voya CLO Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.12%, due 07/20/30		619,575
	1,314,979	Wasatch Ltd., Series 06-1A, Class A1B, 144A, Variable Rate, 3 mo. LIBOR + 0.24%, 1.55%, due 11/14/22		1,308,836
	4,269,395	West CLO Ltd., Series 12-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.24%, 2.55%, due 10/30/23		4,269,353
	270,469	WhiteHorse VI Ltd., Series 12-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.20%, 2.51%, due 02/03/25		270,467
	315,667	Ziggurat CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.20%, due 04/17/29		315,680
		Total Asset-Backed Securities		139,537,192
		Mortgage Backed Securities — 0.2%
	418,810	COMM Mortgage Trust, Series 04-LB2A, Class H, 144A, Variable Rate, 6.27%, due 03/10/39		439,552
	475,888	GS Mortgage Securities Trust, Series 10-C1, Class A1, 144A, 3.68%, due 08/10/43		486,220
	1,085,000	GS Mortgage Securities Trust, Series 13-NYC5, Class A, 144A, 2.32%, due 01/10/30		1,086,664
	1,162,490	JP Morgan Chase Commercial Mortgage Securities Trust, Series 14-CBM, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.90%, 2.13%, due 10/15/29		1,162,489
	3,312,367	JP Morgan Chase Commercial Mortgage Securities Trust, Series 14-FL6, Class A, 144A, Variable Rate, 1 mo. LIBOR + 1.40%, 2.63%, due 11/15/31		3,321,618
	925,956	JPMBB Commercial Mortgage Securities Trust, Series 14-C25, Class A1, 1.52%, due 11/15/47		924,966

See accompanying notes to the financial statements. 31

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Par Value†		Description	Value ($)
		Mortgage Backed Securities — continued
	847,090	LB-UBS Commercial Mortgage Trust, Series 06-C1, Class AJ, Variable Rate, 5.28%, due 02/15/41		847,589
	438,663	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 1.49%, due 02/25/30		428,025
	274,269	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 1.49%, due 09/25/30		271,689
	216,808	Nationslink Funding Corp. Commercial Loan Pass Through Certificate, Series 99-LTL1, Class D, 144A, 6.45%, due 01/22/26		225,548
		Total Mortgage Backed Securities		9,194,360
		U.S. Government — 22.7%
	47,951,814	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/25 (b)		48,357,642
	146,137,549	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (b)		149,499,182
	100,602,005	U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/26 (b)		98,821,306
	148,775,440	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (b)		148,598,428
	68,372,178	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/27 (b)		68,500,913
	39,286,961	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (b)		44,499,791
	13,000,000	U.S. Treasury Note, 0.75%, due 08/31/18		12,937,031
	24,500,000	U.S. Treasury Note, 1.25%, due 03/31/19		24,476,074
	20,000,000	U.S. Treasury Note, 1.50%, due 03/31/19		20,064,062
	24,000,000	U.S. Treasury Note, USBM + 0.07%, 1.12%, due 04/30/19		24,008,970
	80,000,000	U.S. Treasury Note, 1.25%, due 04/30/19		79,921,875
	62,000,000	U.S. Treasury Note, 1.25%, due 05/31/19		61,929,766
	45,000,000	U.S. Treasury Note, 1.25%, due 06/30/19		44,943,750
	25,000,000	U.S. Treasury Note, 1.63%, due 06/30/19 (c)		25,133,789
	45,000,000	U.S. Treasury Note, 1.38%, due 07/31/19		45,042,187
	75,000,000	U.S. Treasury Note, 1.25%, due 08/31/19		74,879,883
		Total U.S. Government		971,614,649
		U.S. Government Agency — 0.8%
	10,500,000	Federal Home Loan Banks, Variable Rate, 1 mo. LIBOR + 0.16%, 1.08%, due 02/08/18		10,499,209
	10,500,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR + 0.22%, 1.09%, due 11/09/18		10,495,322

Par Value† / Shares		Description	Value ($)
		U.S. Government Agency — continued
	3,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR + 0.24%, 1.08%, due 03/06/19		2,996,136
	261,613	Government National Mortgage Association, Series 12-H15, Class FA, Variable Rate, 1 mo. LIBOR + 0.45%, 1.68%, due 05/20/62		261,926
	1,616,400	Government National Mortgage Association, Series 17-H05, Class FJ, Variable Rate, 1 mo. LIBOR + 0.27%, 1.50%, due 01/20/67		1,615,857
	3,675,059	Government National Mortgage Association, Series 17-H12, Class FE, Variable Rate, 1 mo. LIBOR + 0.20%, 1.43%, due 06/20/66		3,670,712
	2,276,972	Government National Mortgage Association, Series 17-H13, Class FJ, 1 mo. LIBOR + 0.20%, 1.43%, due 05/20/67		2,276,997
		Total U.S. Government Agency		31,816,159
		TOTAL DEBT OBLIGATIONS (COST $1,146,147,974)		1,152,765,569
		PREFERRED STOCKS — 1.6%
		Brazil — 1.1%
	113,200	Banco do Estado do Rio Grande do Sul SA – Class B, 0.24%		608,461
	104,700	Bradespar SA, 3.98%		894,050
	313,500	Centrais Eletricas Brasileiras SA – Class B *		2,044,619
	8,100	Cia Brasileira de Distribuicao *		185,244
	14,200	Cia de Saneamento do Parana, 0.08%		47,095
	2,679,000	Cia Energetica de Minas Gerais, 1.52%		7,131,858
	142,800	Cia Energetica de Sao Paulo – Class B, 3.37%		668,216
	302,460	Itau Unibanco Holding SA, 0.42%		3,877,015
	3,926,597	Itausa – Investimentos Itau SA, 0.55%		12,723,379
	1,274,900	Metalurgica Gerdau SA *		2,292,337
	97,900	Oi SA *		115,072
	972,100	Vale SA *		10,058,071
	448,900	Vale SA ADR *		4,605,714
		Total Brazil		45,251,131
		Germany — 0.1%
	13,184	Bayerische Motoren Werke AG, 4.73%		1,094,943
	2,217	Draegerwerk AG & Co KGaA, 0.21%		237,514
	1,256	Jungheinrich AG, 1.14%		53,319
	49,114	Porsche Automobil Holding SE, 1.89%		2,787,816
		Total Germany		4,173,592

32 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, 2017 (Unaudited)

Shares / Par Value†		Description	Value ($)
		Russia — 0.0%
	131,500	Surgutneftegas OJSC		64,943
		South Korea — 0.4%
	4,502	Hyundai Motor Co, 4.38%		385,606
	28,922	Hyundai Motor Co 2nd Preference, 4.06%		2,621,353
	12,603	LG Electronics Inc, 1.11%		452,704
	8,258	Samsung Electronics Co Ltd, 1.36%		13,825,306
	823	Samsung Electronics Co Ltd GDR (Registered)		696,663
		Total South Korea		17,981,632
		TOTAL PREFERRED STOCKS (COST $43,694,176)		67,471,298
		INVESTMENT FUNDS — 0.1%
		United States — 0.1%
	109,523	iShares MSCI Emerging Markets ETF		4,909,916
		TOTAL INVESTMENT FUNDS (COST $4,795,359)		4,909,916
		MUTUAL FUNDS — 31.3%
		Affiliated Issuers — 31.3%
	4,440,427	GMO Emerging Country Debt Fund, Class IV		134,145,307
	15,389,697	GMO Emerging Markets Fund, Class VI		523,711,376
	8,066,814	GMO Opportunistic Income Fund, Class VI		213,689,913
	5,624,295	GMO SGM Major Markets Fund, Class VI		184,814,334
	12,231,048	GMO Special Opportunities Fund, Class VI		282,659,528
		TOTAL MUTUAL FUNDS (COST $1,171,178,367)		1,339,020,458
		SHORT-TERM INVESTMENTS — 6.2%
		Foreign Government Obligation — 1.5%
JPY	1,900,000,000	Japan Treasury Discount Bill, Zero Coupon, due 10/02/17		17,284,426
JPY	1,445,000,000	Japan Treasury Discount Bill, Zero Coupon, due 10/23/17		13,146,194
JPY	2,840,000,000	Japan Treasury Discount Bill, Zero Coupon, due 11/06/17		25,838,846
JPY	800,000,000	Japan Treasury Discount Bill, Zero Coupon, due 11/20/17		7,278,949
		Total Foreign Government Obligations		63,548,415
		Total Japan		63,548,415

Par Value†		Description	Value ($)
		Money Market Funds — 0.1%
	4,581,249	State Street Institutional Treasury Money Market Fund-Premier Class, 0.90% (d)		4,581,249
		Repurchase Agreements — 3.7%
	156,491,353	Daiwa Capital Markets America Inc. Repurchase Agreement, dated 08/31/17, maturing on 09/01/17 with a maturity value of $156,496,222 and an effective yield of 1.12%, collateralized by a U.S. Treasury Note with maturity date 07/15/18 and a market value of $159,703,764.		156,491,353
		U.S. Government Agency — 0.1%
	400,000	Federal Home Loan Bank Discount Notes, Zero Coupon, due 10/11/17		399,551
	3,000,000	Federal Home Loan Bank Discount Notes, Zero Coupon, due 11/10/17		2,994,051
		Total U.S. Government Agency		3,393,602
		U.S. Government — 0.8%
	20,950,000	U.S. Treasury Note, 1.00%, due 12/15/17		20,943,868
	13,000,000	U.S. Treasury Note, 0.75%, due 03/31/18		12,967,500
		Total U.S. Government		33,911,368
		TOTAL SHORT-TERM INVESTMENTS (COST $261,316,195)		261,925,987
		TOTAL INVESTMENTS — 100.2% (Cost $3,864,272,111)		4,280,405,368
		Other Assets and Liabilities (net) — (0.2%)		(7,664,722	)
		TOTAL NET ASSETS — 100.0%		$4,272,740,646

A summary of outstanding financial instruments at August 31, 2017 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
09/15/2017	BCLY		USD	204,948,200		KRW	229,745,673,300	$	(600,404	)
11/06/2017	JPM		JPY	2,840,000,000		USD	25,823,253		(83,790	)
11/20/2017	GS		JPY	800,000,000		USD	7,287,601		(14,911	)
10/02/2017	MSCI		JPY	1,900,000,000		USD	16,832,938		(472,035	)
10/23/2017	BCLY		JPY	1,445,000,000		USD	13,050,586		(122,789	)
09/15/2017	BCLY		KRW	229,745,673,300		USD	204,508,766		160,970
								$	(1,132,959	)

See accompanying notes to the financial statements. 33

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2017 (Unaudited)

Reverse Repurchase Agreements

Average balance outstanding	$	(56,483,050	)
Average interest rate		(0.54	)%
Maximum balance outstanding	$	(74,759,766	)

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

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Value and Net Unrealized Appreciation (Depreciation)
Buys
120	Mini MSCI Emerging Markets	September 2017	$	6,517,220	$	170,315

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of August 31, 2017, 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) Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic (Note 2).

(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) The rate disclosed is the 7 day net yield as of August 31, 2017.

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 80.

34 See accompanying notes to the financial statements.

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2017 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		54.5	%
Debt Obligations		19.9
Short-Term Investments		13.8
Mutual Funds		10.2
Preferred Stocks		0.8
Investment Funds		0.3
Futures Contracts		0.0	^
Loan Participations		0.0	^
Rights/Warrants		0.0	^
Loan Assignments		0.0	^
Purchased Options		0.0	^
Fully Funded Total Return Swaps		0.0	^
Reverse Repurchase Agreements		(0.0	)^
Written/Credit Linked Options		(0.0	)^
Swap Contracts		(0.0	)^
Forward Currency Contracts		(0.0	)^
Securities Sold Short		(0.1	)^
Other		0.6
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		17.6	%
United Kingdom		4.1
Other Emerging		2.5	†
Other Developed		2.1	‡
New Zealand		2.0
Euro Region		1.2	#
		29.5	%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		13.6	%
Japan		5.8
Other Developed		5.4	‡
United Kingdom		4.9
Taiwan		4.7
China		4.3
Germany		3.3
South Korea		3.2
France		2.8
Other Emerging		2.6	†
India		2.3
Euro Region		1.5	#
Switzerland		1.4
Hong Kong		1.2
Thailand		1.1
Turkey		1.0
		59.1	%

& 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%.

35

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares / Par Value†	Description	Value ($)
	MUTUAL FUNDS — 100.0%
	Affiliated Issuers — 100.0%
3,291,565	GMO Alpha Only Fund, Class IV		72,348,602
17,197,934	GMO Asset Allocation Bond Fund, Class VI		386,609,563
11,077,577	GMO Core Plus Bond Fund, Class IV		241,491,172
1,809,179	GMO Emerging Country Debt Fund, Class IV		54,655,306
13,699,347	GMO Emerging Markets Fund, Class VI		466,188,793
22,387,529	GMO International Equity Fund, Class IV		512,450,538
1,817,433	GMO Opportunistic Income Fund, Class VI		48,143,795
7,288,898	GMO Quality Fund, Class VI		176,245,548
2,016,066	GMO Risk Premium Fund, Class VI		59,272,338
2,183,580	GMO SGM Major Markets Fund, Class VI		71,752,429
11,990,855	GMO U.S. Equity Allocation Fund, Class VI		176,865,108
6,491,439	GMO U.S. Treasury Fund		162,221,069
	TOTAL MUTUAL FUNDS (COST $2,372,592,917)		2,428,244,261
	DEBT OBLIGATIONS — 0.0%
	Asset-Backed Securities — 0.0%
35,434	ACE Securities Corp., Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + .28%, 1.51%, due 02/25/36 ◆		20,945
33,555	GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + .50%, 1.73%, due 10/25/34 ◆		31,343
24,780	Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 1.48%, due 02/26/34		22,245
	Total Asset-Backed Securities		74,533
	TOTAL DEBT OBLIGATIONS (COST $65,989)		74,533

Shares	Description	Value ($)
	SHORT-TERM INVESTMENTS — 0.0%
	Money Market Funds — 0.0%
275,165	State Street Institutional Treasury Money Market Fund-Premier Class, 0.90% (a)		275,165
	TOTAL SHORT-TERM INVESTMENTS (COST $275,165)		275,165
	TOTAL INVESTMENTS — 100.0% (Cost $2,372,934,071)		2,428,593,959
	Other Assets and Liabilities (net) — (0.0%)		(233,915	)
	TOTAL NET ASSETS — 100.0%		$2,428,360,044

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, 2017.

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 80.

36 See accompanying notes to the financial statements.

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2017 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.6	%
Short-Term Investments		6.4
Preferred Stocks		0.8
Investment Funds		0.1
Futures Contracts		0.0	^
Fully Funded Total Return Swaps		0.0	^
Swap Contracts		(0.0	)^
Other		(4.9	)
		100.0	%
Country/Region Summary¤	% of Investments
United States		40.6	%
Japan		12.5
United Kingdom		7.9
France		6.1
Germany		5.8
Switzerland		3.0
Other Emerging		2.9	†
Taiwan		2.8
Hong Kong		2.4
China		2.3
Spain		2.0
Australia		1.9
Other Developed		1.8	‡
South Korea		1.7
Italy		1.5
Netherlands		1.3
India		1.2
Sweden		1.2
Norway		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 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% .

37

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	1,819,693	GMO Emerging Markets Fund, Class VI		61,924,161
	12,595,193	GMO International Equity Fund, Class IV		288,303,975
	5,634,102	GMO Quality Fund, Class VI		136,232,597
	9,198,971	GMO U.S. Equity Allocation Fund, Class VI		135,684,829
		TOTAL MUTUAL FUNDS (COST $588,248,842)		622,145,562
		SHORT-TERM INVESTMENTS — 5.3%
		Time Deposits — 5.3%
	33,313,442	State Street Eurodollar Time Deposit, 0.12%, due 09/01/17		33,313,442
		TOTAL SHORT-TERM INVESTMENTS (COST $33,313,442)		33,313,442
		TOTAL INVESTMENTS — 105.3% (Cost $621,562,284)		655,459,004
		Other Assets and Liabilities (net) — (5.3%)		(33,129,548	)
		TOTAL NET ASSETS — 100.0%		$622,329,456

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 80.

38 See accompanying notes to the financial statements.

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2017 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.9	%
Preferred Stocks		1.2
Short-Term Investments		1.1
Investment Funds		0.4
Futures Contracts		0.1
Fully Funded Total Return Swaps		0.0	^
Swap Contracts		(0.0	)^
Other		0.3
		100.0	%
Country/Region Summary¤	% of Investments
United States		32.0	%
Japan		10.4
United Kingdom		6.6
Taiwan		6.6
China		6.1
France		5.1
Germany		4.9
South Korea		4.4
Other Emerging		4.3	†
Other Developed		3.4	‡
India		3.1
Switzerland		2.5
Hong Kong		2.0
Spain		1.7
Australia		1.6
Thailand		1.6
Turkey		1.3
Italy		1.3
Netherlands		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 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%.

39

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	18,562,633	GMO Emerging Markets Fund, Class VI		631,686,395
	41,124,200	GMO International Equity Fund, Class IV		941,332,933
	17,487,114	GMO Quality Fund, Class VI		422,838,428
	28,459,784	GMO U.S. Equity Allocation Fund, Class VI		419,781,813
		TOTAL MUTUAL FUNDS (COST $2,346,397,504)		2,415,639,569
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	1,037,451	State Street Eurodollar Time Deposit, 0.12%, 09/01/17		1,037,451
		TOTAL SHORT-TERM INVESTMENTS (COST $1,037,451)		1,037,451
		TOTAL INVESTMENTS — 100.0% (Cost $2,347,434,955)		2,416,677,020
		Other Assets and Liabilities (net) — (0.0%)		(338,138	)
		TOTAL NET ASSETS — 100.0%		$2,416,338,882

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 80.

40 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

August 31, 2017 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		51.1	%
Debt Obligations		36.6
Short-Term Investments		7.3
Preferred Stocks		2.0
Mutual Funds		1.6
Investment Funds		0.3
Purchased Options		0.1
Rights/Warrants		0.0	^
Futures Contracts		0.0	^
Reverse Repurchase Agreements		0.0	^
Swap Contracts		(0.0	)^
Forward Currency Contracts		(0.0	)^
Written Options		(0.0	)^
Exchange-Traded Funds		(0.1	)
Securities Sold Short		(3.8	)
Other		4.9
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		13.7	%
United Kingdom		3.7
New Zealand		2.2
Other Developed		1.6	‡
Euro Region		1.4	§
Sweden		1.1
Other Emerging		0.0	^†
		23.7	%

Country/Region Summary¤	Equity Investments % of Total Net Assets
United States		7.3	%
China		6.4
Other Developed		6.0	‡
Taiwan		5.6
South Korea		4.5
Japan		3.5
India		3.2
United Kingdom		2.3
Other Emerging		2.1	†
Brazil		1.9
Germany		1.8
France		1.8
Turkey		1.7
Thailand		1.4
South Africa		1.3
		50.8	%

Industry Group Summary	% of Equity Investments#
Banks		14.1	%
Technology Hardware & Equipment		9.4
Materials		8.7
Software & Services		7.5
Capital Goods		6.6
Telecommunication Services		6.4
Energy		5.5
Automobiles & Components		5.2
Semiconductors & Semiconductor Equipment		4.4
Insurance		3.8
Real Estate		3.5
Utilities		3.1
Food, Beverage & Tobacco		3.0
Media		3.0
Consumer Durables & Apparel		2.5
Pharmaceuticals, Biotechnology & Life Sciences		2.4
Diversified Financials		2.4
Health Care Equipment & Services		2.0
Transportation		1.7
Food & Staples Retailing		1.5
Retailing		1.4
Household & Personal Products		0.9
Commercial & Professional Services		0.6
Consumer Services		0.4
		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.

¤ 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%.

‡ “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.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets.

# 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%.

41

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 51.1%
		Australia — 0.5%
	177,838	Adelaide Brighton Ltd		814,908
	22,550	Aristocrat Leisure Ltd		379,713
	137,358	Australian Pharmaceutical Industries Ltd		160,419
	527,524	BHP Billiton Ltd		11,483,746
	51,024	BWP Trust (REIT)		119,448
	12,362	Caltex Australia Ltd		328,764
	61,767	Charter Hall Group (REIT)		279,066
	112,691	Codan Ltd		201,926
	109,080	Costa Group Holdings Ltd		460,586
	101,820	Credit Corp Group Ltd		1,456,237
	516,196	CSR Ltd		1,663,712
	890,633	Dexus (REIT)		6,805,928
	2,000,446	Downer EDI Ltd		11,369,168
	41,300	Elders Ltd *		154,120
	1,073,774	Fortescue Metals Group Ltd		5,166,461
	685,517	Genworth Mortgage Insurance Australia Ltd		1,580,070
	84,429	Goodman Group (REIT)		557,916
	27,911	Investa Office Fund (REIT)		100,464
	408,287	Metcash Ltd		882,902
	168,666	Mineral Resources Ltd		1,999,614
	128,794	Monash IVF Group Ltd		158,825
	454,359	Nine Entertainment Co Holdings Ltd		493,710
	913,775	OZ Minerals Ltd		5,936,921
	484,878	Pact Group Holdings Ltd		1,992,848
	41,615	Rio Tinto Ltd		2,256,155
	185,835	Shopping Centres Australasia Property Group (REIT)		329,846
	13,711	Sims Metal Management Ltd		163,203
	385,198	Tassal Group Ltd		1,192,670
	67,874	Virtus Health Ltd		313,517
		Total Australia		58,802,863
		Austria — 0.2%
	22,714	FACC AG *		275,812
	5,888	Oesterreichische Post AG		263,817
	306,283	OMV AG		17,620,366
	15,518	POLYTEC Holding AG		297,686
	126,125	voestalpine AG		6,545,108
		Total Austria		25,002,789
		Belgium — 0.0%
	231,456	AGFA-Gevaert NV *		1,024,119
	3,659	Barco NV		356,965
	26,670	bpost SA		744,832
	385	Groupe Bruxelles Lambert SA		39,190
		Total Belgium		2,165,106

Shares		Description	Value ($)
		Brazil — 0.8%
	1,723,900	AES Tiete Energia SA		7,749,157
	274,973	Banco Bradesco SA		2,817,123
	131,200	Banco BTG Pactual SA		681,039
	680,600	Banco do Brasil SA		6,637,680
	301,400	BB Seguridade Participacoes SA		2,654,132
	131,200	BTG Pactual Participations Ltd *		16,672
	2,364,700	Centrais Eletricas Brasileiras SA *		13,236,340
	221,900	Cia de Saneamento Basico do Estado de Sao Paulo		2,266,336
	75,800	Cia Hering		650,158
	727,600	EDP – Energias do Brasil SA		3,522,602
	881,300	Engie Brasil Energia SA		10,106,876
	143,700	Grendene SA		1,243,512
	2,806,200	JBS SA		7,729,007
	443,700	LPS Brasil Consultoria de Imoveis SA *		669,528
	74,600	M Dias Branco SA		1,163,607
	1,108,900	MRV Engenharia e Participacoes SA		4,752,152
	63,800	Multiplus SA		760,245
	1,135,000	Oi SA *		1,618,930
	27,700	Porto Seguro SA		305,788
	3,110,700	Rumo SA *		10,208,088
	594,100	Transmissora Alianca de Energia Eletrica SA		4,246,470
	448,100	Vale SA Sponsored ADR		4,960,467
	135,600	Via Varejo SA		710,771
	45,500	WEG SA		295,735
		Total Brazil		89,002,415
		Canada — 0.9%
	81,700	AGF Management Ltd – Class B		508,356
	268,600	Air Canada *		5,020,319
	899,200	Alignvest Acquisition II Corp *		7,164,797
	87,700	Bank of Montreal		6,293,331
	121,600	Baytex Energy Corp *		308,864
	97,100	Bird Construction Inc		690,489
	19,927	BRP Inc		662,239
	153,400	Canadian Imperial Bank of Commerce		12,887,443
	80,100	Canadian Tire Corp Ltd – Class A		9,480,504
	9,800	Canfor Corp *		171,632
	17,600	Capital Power Corp		370,111
	23,400	Celestica Inc *		268,526
	43,900	CGI Group Inc – Class A *		2,233,407
	143,500	CI Financial Corp		3,141,774
	177,000	IAMGOLD Corp *		1,175,280
	617,200	IAMGOLD Corp *		4,097,368
	14,800	IGM Financial Inc		484,622
	90,000	Industrial Alliance Insurance & Financial Services Inc		3,862,342
	55,000	Labrador Iron Ore Royalty Corp		881,321
	87,200	Manulife Financial Corp		1,712,608

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, 2017 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	32,800	Medical Facilities Corp		403,187
	631,000	Metro Inc		20,828,685
	13,500	Morguard North American Residential Real Estate Investment Trust		164,865
	46,300	Open Text Corp		1,489,757
	138,500	Rogers Sugar Inc		716,484
	6,900	Royal Bank of Canada		512,106
	18,500	Russel Metals Inc		385,481
	5,600	Sierra Wireless Inc *		124,040
	9,000	Sun Life Financial Inc		345,586
	2,300	TMX Group Ltd		122,225
	65,000	Toromont Industries Ltd		2,798,318
	48,200	Toronto-Dominion Bank (The)		2,588,422
	198,920	Transcontinental Inc – Class A		3,870,876
	170,500	Trican Well Service Ltd *		505,185
	13,800	Valener Inc		252,627
	9,100	Wajax Corp		141,009
	49,500	West Fraser Timber Co Ltd		2,568,252
	76,560	WestJet Airlines Ltd		1,632,667
	7,600	Westshore Terminals Investment Corp		153,674
	25,700	ZCL Composites Inc		268,782
		Total Canada		101,287,561
		Chile — 0.0%
	96,048	Empresa Nacional de Telecomunicaciones SA		1,010,803
	52,306	Enel Americas SA		11,330
	5,034,358	Enel Chile SA		595,976
	71,052	Inversiones Aguas Metropolitanas SA		127,815
	3,922	Inversiones La Construccion SA		56,843
	65,585	Vina Concha y Toro SA		112,022
		Total Chile		1,914,789
		China — 7.9%
	2,501,000	361 Degrees International Ltd		1,078,952
	1,674,000	Agile Group Holdings Ltd		2,009,592
	95,348,000	Agricultural Bank of China Ltd – Class H		44,982,301
	75,100	Alibaba Group Holding Ltd Sponsored ADR * (a)		12,897,674
	7,876,500	Anhui Conch Cement Co Ltd – Class H		29,473,915
	128,000	Anhui Expressway Co Ltd – Class H		97,007
	1,742,000	ANTA Sports Products Ltd		6,865,357
	7,048,000	BAIC Motor Corp Ltd – Class H		6,291,007
	37,400	Baidu Inc Sponsored ADR *		8,529,070
	44,187,000	Bank of China Ltd – Class H		23,351,955
	48,000	Baoye Group Co Ltd – Class H *		35,063
	335,120	Changyou.com Ltd ADR *		13,411,502
	8,623,000	China Communications Construction Co Ltd – Class H		11,506,465

Shares		Description	Value ($)
		China — continued
	26,428,000	China Communications Services Corp Ltd – Class H		14,343,274
	77,823,000	China Construction Bank – Class H		68,469,134
	1,206,000	China Everbright Ltd		2,757,766
	1,740,000	China Foods Ltd		927,010
	10,679,000	China Greenfresh Group Co Ltd		1,871,915
	292,000	China Jinmao Holdings Group Ltd		130,098
	7,634,000	China Lesso Group Holdings Ltd		5,494,033
	9,397,000	China Machinery Engineering Corp – Class H		6,171,049
	6,927,500	China Mobile Ltd		73,520,025
	26,900	China Mobile Ltd Sponsored ADR		1,427,852
	34,922,000	China National Building Material Co Ltd – Class H		22,000,800
	939,000	China National Materials Co Ltd – Class H		409,073
	53,686,000	China Petroleum & Chemical Corp – Class H		41,097,980
	18,610,700	China Railway Construction Corp Ltd – Class H		24,467,874
	6,688,000	China Resources Cement Holdings Ltd		3,683,967
	4,824,000	China Shanshui Cement Group Ltd * (b)		—
	5,893,500	China Shenhua Energy Co Ltd – Class H		15,221,517
	324,000	China Shineway Pharmaceutical Group Ltd		296,106
	77,550,000	China Telecom Corp Ltd – Class H		39,938,426
	1,164,000	Chongqing Rural Commercial Bank Co Ltd – Class H		812,130
	2,580,000	CIFI Holdings Group Co Ltd		1,453,697
	694,070	CKH Food & Health Ltd *		755,218
	7,862,000	Country Garden Holdings Co Ltd		10,472,351
	416,000	Dah Chong Hong Holdings Ltd		207,266
	408,000	Dali Foods Group Co Ltd		271,622
	133,000	Digital China Holdings Ltd *		80,268
	18,684,000	Dongfeng Motor Group Co Ltd – Class H		24,301,952
	4,050,000	Geely Automobile Holdings Ltd		9,990,176
	4,572,000	Great Wall Motor Co Ltd – Class H		5,754,417
	2,428,000	Greentown China Holdings Ltd		2,953,857
	1,840,000	Guangdong Investment Ltd		2,721,162
	10,614,400	Guangzhou R&F Properties Co Ltd – Class H		24,839,071
	1,660,000	Haier Electronics Group Co Ltd *		4,424,031
	2,667,000	Haitian International Holdings Ltd		8,023,769
	4,015,700	Harbin Electric Co Ltd – Class H		2,050,071
	996,000	Hi Sun Technology China Ltd *		231,206
	1,450,000	Hisense Kelon Electrical Holdings Co Ltd – Class H		1,723,133
	120,000	Hopson Development Holdings Ltd		114,086
	248,000	Hua Hong Semiconductor Ltd		329,540
	16,622,000	Huabao International Holdings Ltd		10,158,571
	50,980,000	Industrial and Commercial Bank of China Ltd – Class H		38,310,082
	3,232,000	Jiangnan Group Ltd		219,225
	6,444,000	Jiangsu Expressway Co Ltd – Class H		9,892,085

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, 2017 (Unaudited)

Shares		Description	Value ($)
		China — continued
	888,000	Ju Teng International Holdings Ltd		352,452
	4,196,500	Kingboard Chemical Holdings Ltd		22,939,504
	3,590,000	Kingboard Laminates Holdings Ltd		6,100,281
	4,669,500	KWG Property Holding Ltd		4,255,638
	3,587,000	Lee & Man Paper Manufacturing Ltd		4,191,326
	126,400	Livzon Pharmaceutical Group Inc – Class H		688,250
	3,201,500	Longfor Properties Co Ltd		7,702,797
	12,055,000	Lonking Holdings Ltd		4,811,673
	31,100	Momo, Inc. Sponsored ADR *		1,198,283
	104,500	NetEase Inc ADR		28,825,280
	1,476,000	Nine Dragons Paper Holdings Ltd		2,469,028
	10,090,000	PICC Property & Casualty Co Ltd – Class H		19,008,940
	583,000	Poly Property Group Co Ltd *		306,175
	90,000	Qingling Motors Co Ltd – Class H		28,895
	2,880,000	Shanghai Industrial Holdings Ltd		8,779,807
	3,872,100	Shanghai Pharmaceuticals Holding Co Ltd – Class H		9,530,525
	3,776,000	Shenzhen Expressway Co Ltd – Class H		3,690,502
	762,000	Shenzhen International Holdings Ltd		1,400,329
	6,346,500	Shimao Property Holdings Ltd		13,126,048
	69,000	SINA Corp *		7,026,270
	346,000	Sinofert Holdings Ltd *		47,820
	4,346,000	Sino-Ocean Group Holding Ltd		3,005,499
	8,501,000	Sinopec Engineering Group Co Ltd – Class H		7,672,789
	3,205,500	Sinotruk Hong Kong Ltd		3,554,921
	10,685,532	Skyworth Digital Holdings Ltd		4,967,121
	282,650	Sohu.com, Inc. *		15,076,551
	396,600	Tencent Holdings Ltd		16,688,797
	1,631,000	Texhong Textile Group Ltd		1,856,917
	708,000	Tianjin Development Holdings Ltd		381,649
	988,000	Tianjin Port Development Holdings Ltd *		163,493
	2,334,000	Tianneng Power International Ltd		1,999,704
	6,015,000	TravelSky Technology Ltd – Class H		16,470,860
	14,096,000	Want Want China Holdings Ltd		9,335,071
	9,794,000	Weichai Power Co Ltd – Class H		10,115,379
	904,000	Xinhua Winshare Publishing and Media Co Ltd – Class H		743,280
	5,710,500	XTEP International Holdings Ltd		2,031,176
	760,000	Yadea Group Holdings Ltd		187,547
	9,498,000	Yuzhou Properties Co Ltd		6,109,465
	10,280,000	Zhejiang Expressway Co Ltd – Class H		12,867,438
	1,120,500	Zhongsheng Group Holdings Ltd		2,440,270
		Total China		904,994,495
		Colombia — 0.1%
	500,288	Almacenes Exito SA		2,605,508
	747,700	Ecopetrol SA Sponsored ADR		6,886,317
		Total Colombia		9,491,825

Shares		Description	Value ($)
		Czech Republic — 0.2%
	618,588	CEZ AS		11,740,223
	2,414,002	Moneta Money Bank AS		8,464,579
	25,000	O2 Czech Republic AS		313,783
	157	Philip Morris CR AS		111,350
		Total Czech Republic		20,629,935
		Denmark — 0.0%
	1,775	AP Moeller – Maersk A/S – Class B		3,666,516
	2,726	Schouw & Co AB		286,039
		Total Denmark		3,952,555
		Finland — 0.2%
	38,685	Neste Oyj		1,705,484
	55,778	Orion Oyj – Class B		2,640,910
	654,854	UPM-Kymmene Oyj		17,046,372
		Total Finland		21,392,766
		France — 2.0%
	412,678	Air France-KLM *		6,308,898
	4,567	Amundi SA		351,532
	1,453,904	AXA SA		42,155,325
	384,306	BNP Paribas SA		29,217,983
	25,067	Casino Guichard Perrachon SA		1,424,789
	103,349	Christian Dior SE		31,895,014
	6,194	Cie de Saint-Gobain		339,564
	226,153	CNP Assurances		5,249,138
	525,584	Credit Agricole SA		9,276,383
	39,170	Derichebourg SA		371,281
	25,539	IPSOS		797,937
	5,683	L’Oreal SA		1,200,594
	8,687	LVMH Moet Hennessy Louis Vuitton SE		2,281,812
	14,179	Metropole Television SA		311,909
	7,721	Neopost SA		335,554
	151,396	Peugeot SA		3,201,120
	18,334	Rallye SA		335,968
	5,647	Rexel SA		84,415
	167,585	SCOR SE		7,015,675
	596,918	Societe Generale SA		33,392,749
	529,000	STMicroelectronics NV – NY Shares		9,225,760
	337,522	STMicroelectronics NV		5,870,277
	736,217	TOTAL SA		38,200,365
		Total France		228,844,042
		Germany — 1.7%
	100,526	ADVA Optical Networking SE *		569,882
	207,982	Allianz SE (Registered)		44,576,015
	247,273	BASF SE		23,984,851
	336,891	Bayerische Motoren Werke AG		31,328,550

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, 2017 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	2,053	Cewe Stiftung & Co KGAA		176,303
	14,551	Covestro AG		1,144,455
	564,942	Daimler AG (Registered Shares)		41,224,898
	898,386	Deutsche Lufthansa AG (Registered)		22,562,943
	6,839	Elmos Semiconductor AG		170,247
	969	Isra Vision AG		168,528
	2,810	Leoni AG		168,922
	66,159	Linde AG		12,702,888
	3,476	ProSiebenSat.1 Media SE		116,599
	235,179	RWE AG *		5,873,221
	29,090	SAP SE		3,053,048
	38,101	Software AG		1,676,159
	95,361	STADA Arzneimittel AG		8,934,867
	38,542	Talanx AG		1,595,215
	6,140	Wacker Neuson SE		175,205
		Total Germany		200,202,796
		Greece — 0.1%
	4,114,210	Alpha Bank AE *		10,437,566
	4,006,354	Eurobank Ergasias SA *		4,324,061
	5,174,175	National Bank of Greece SA *		2,096,826
	223,294	Piraeus Bank SA *		1,251,609
		Total Greece		18,110,062
		Hong Kong — 0.8%
	163,300	ASM Pacific Technology Ltd		2,023,805
	2,494,500	BOC Hong Kong Holdings Ltd		12,744,422
	618,000	Dah Sing Banking Group Ltd		1,392,072
	344,400	Dah Sing Financial Holdings Ltd		2,500,303
	1,029,000	HKT Trust & HKT Ltd – Class SS		1,332,674
	352,000	Hysan Development Co Ltd		1,629,858
	1,472,502	I-CABLE Communications Ltd *		51,838
	90,000	Johnson Electric Holdings Ltd		331,597
	888,000	Kerry Properties Ltd		3,524,801
	1,991,000	Link (REIT)		16,447,271
	170,000	Luk Fook Holdings International Ltd		583,728
	1,387,200	Man Wah Holdings Ltd		1,292,808
	232,000	Pacific Textiles Holdings Ltd		236,128
	7,026,000	SJM Holdings Ltd		6,142,379
	3,000	Sun Hung Kai Properties Ltd		50,137
	7,603,500	WH Group Ltd		7,969,577
	2,084,000	Wharf Holdings Ltd (The)		19,880,406
	1,015,000	Wheelock & Co Ltd		7,604,849
	232,500	Xinyi Automobile Glass Hong Kong Enterprises Ltd *		44,615
	2,538,000	Xinyi Glass Holdings Ltd *		2,533,931
	91,000	Yue Yuen Industrial Holdings Ltd		394,737
		Total Hong Kong		88,711,936

Shares		Description	Value ($)
		Hungary — 0.1%
	3,387,535	Magyar Telekom Telecommunications Plc		6,438,086
	14,170	MOL Hungarian Oil & Gas Plc		1,314,632
	143,136	Richter Gedeon Nyrt		3,726,951
		Total Hungary		11,479,669
		India — 3.2%
	601,450	Allahabad Bank *		656,385
	2,302,183	Andhra Bank *		1,904,137
	444,909	Asian Paints Ltd		8,160,023
	569,175	Aurobindo Pharma Ltd		6,473,955
	943,061	Bharat Electronics Ltd		2,807,832
	468,516	Bharat Petroleum Corp Ltd		3,874,030
	1,210,353	Canara Bank		6,466,146
	168,391	Coal India Ltd		627,715
	1,819,341	Firstsource Solutions Ltd *		1,086,952
	354,696	GAIL India Ltd		2,105,587
	1,379,528	HCL Technologies Ltd		18,455,303
	1,436,135	HDFC Bank Ltd (c)		39,799,487
	198,810	Hero MotoCorp Ltd		12,413,226
	1,441,676	Hexaware Technologies Ltd		6,162,876
	786,125	Hindustan Petroleum Corp Ltd		6,012,413
	384,754	Hindustan Unilever Ltd		7,320,378
	1,161,223	Hindustan Zinc Ltd		5,508,257
	1,621,113	ICICI Bank Ltd		7,608,589
	45,502	IDBI Bank Ltd *		39,475
	2,187,022	IFCI Ltd *		822,686
	53,761	Indian Bank		242,921
	1,362,029	Indian Oil Corp Ltd		9,717,907
	17,467	Indraprastha Gas Ltd		348,183
	715,212	Infosys Ltd		10,236,069
	3,255,614	Infosys Ltd Sponsored ADR		48,834,210
	5,945,943	Jaiprakash Associates Ltd *		2,218,752
	1,644,357	Jaypee Infratech Ltd *		434,566
	243,367	Jubilant Life Sciences Ltd		2,674,253
	854,217	Karnataka Bank Ltd (The)		2,022,661
	713,117	Kotak Mahindra Bank Ltd		10,912,854
	701,898	KPIT Technologies Ltd		1,281,203
	13,447	Mahanagar Gas Ltd		219,336
	27,288	Maruti Suzuki India Ltd		3,299,983
	55,872	Mindtree Ltd		401,706
	350,445	MOIL Ltd		1,984,507
	239,370	Mphasis Ltd		2,278,482
	148,637	NIIT Ltd *		220,820
	588,385	NIIT Technologies Ltd *		4,582,321
	3,598,559	NMDC Ltd		7,136,642
	6,304,330	Oil & Natural Gas Corp Ltd		15,497,319
	174,944	Oil India Ltd		783,781
	851,306	Oriental Bank of Commerce *		1,695,596
	7,639,150	Power Finance Corp Ltd		14,620,879

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, 2017 (Unaudited)

Shares		Description	Value ($)
		India — continued
	176,558	Power Grid Corp of India Ltd		604,141
	987,330	PTC India Ltd		1,855,078
	8,291,888	Rural Electrification Corp Ltd		21,969,999
	296,824	Sonata Software Ltd		733,470
	277,404	Sun TV Network Ltd		3,028,562
	1,478,019	Syndicate Bank *		1,494,646
	448,838	Tata Consultancy Services Ltd		17,553,652
	69,317	Tata Steel Ltd		693,441
	402,560	Tech Mahindra Ltd		2,693,622
	112,520	UltraTech Cement Ltd		7,055,878
	1,530,005	Union Bank of India *		3,279,909
	1,407,071	Vedanta Ltd		6,812,481
	2,270,674	Wipro Ltd		10,582,763
	88,500	Wipro Ltd ADR		525,690
	49,500	WNS Holdings Ltd ADR *		1,732,500
	321,763	Yes Bank Ltd		8,849,988
	38,046	Zensar Technologies Ltd		473,740
		Total India		369,889,963
		Indonesia — 0.1%
	2,151,500	Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT		413,226
	7,658,600	Bank Pembangunan Daerah Jawa Timur Tbk PT		408,377
	526,500	Bank Rakyat Indonesia Persero Tbk PT		598,551
	2,742,500	Gajah Tunggal Tbk PT		165,621
	3,773,200	Harum Energy Tbk PT *		657,363
	3,114,600	Indo Tambangraya Megah Tbk PT		4,545,743
	933,300	Indofood Sukses Makmur Tbk PT		587,030
	12,172,100	Panin Financial Tbk PT *		226,688
	912,400	Telekomunikasi Indonesia Persero Tbk PT		321,856
	17,800	Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR		628,696
		Total Indonesia		8,553,151
		Ireland — 0.0%
	1,854	Smurfit Kappa Group Plc		56,498
		Israel — 0.0%
	352,127	Bank Hapoalim BM		2,370,246
	48,676	Discount Investment Corp Ltd Registered		192,992
	470,493	El Al Israel Airlines		310,431
	22,298	Nova Measuring Instruments Ltd *		530,789
	200	Orbotech Ltd *		7,948
	9,100	SodaStream International Ltd *		548,093
	9,196	SodaStream International Ltd *		551,914
	5,531	Teva Pharmaceutical Industries Ltd		87,935
		Total Israel		4,600,348

Shares		Description	Value ($)
		Italy — 0.6%
	15,298	ACEA SPA		221,229
	103,382	Arnoldo Mondadori Editore SPA *		233,179
	158,673	Banca Mediolanum SPA		1,344,110
	5,328	El.En. SPA		160,233
	2,652,207	Enel SPA		16,068,065
	391,378	Eni SPA		6,147,008
	158,379	EXOR NV		10,178,176
	883,024	Fiat Chrysler Automobiles NV *		13,360,153
	139,651	Fincantieri SPA *		159,733
	418,698	Hera SPA		1,341,019
	874,731	Iren SPA		2,398,916
	3,824	La Doria SPA		48,060
	33,839	Leonardo SPA		573,369
	5,065	Prima Industrie SPA		245,159
	177,804	Recordati SPA		7,625,942
	1,201	Reply SPA		275,120
	999,473	Saras SPA		2,465,874
	256,560	Societa Cattolica di Assicurazioni SCRL		2,205,907
	196,508	Unipol Gruppo Finanziario SPA		851,250
		Total Italy		65,902,502
		Japan — 3.7%
	65,000	AOKI Holdings Inc		865,704
	2,800	Aoyama Trading Co Ltd		102,636
	59,800	Asahi Glass Co Ltd		2,334,774
	239,000	Asahi Kasei Corp		2,866,469
	7,100	Autobacs Seven Co Ltd		117,163
	14,900	Belluna Co Ltd		152,889
	324,700	Brother Industries Ltd		7,702,867
	27,400	Canon Inc		960,417
	16,000	Chiba Bank Ltd (The)		106,979
	10,800	CKD Corp		183,052
	3,800	Daicel Corp		48,468
	89,400	Daiichi Sanyko Co Ltd		2,116,281
	9,500	Dai-ichi Seiko Co Ltd		215,289
	185,600	Daiwa House Industry Co Ltd		6,490,853
	48,000	Daiwabo Holdings Co Ltd		193,271
	247,400	DCM Holdings Co Ltd		2,227,553
	240,000	Denka Co Ltd		1,528,706
	72,900	DIC Corp		2,578,954
	1,900	Disco Corp		341,123
	81,500	Fuji Kiko Co Ltd		545,542
	4,800	Fuji Pharma Co Ltd		166,110
	5,000	Fujitsu General Ltd		104,835
	1,425,000	Fujitsu Ltd		10,563,338
	37,500	Furukawa Electric Co Ltd		2,036,463
	39,000	Gree Inc		285,175
	30,000	Hanwa Co Ltd		201,860

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, 2017 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	99,600	Haseko Corp		1,235,119
	145,500	Hazama Ando Corp		1,026,423
	8,600	Heiwado Co Ltd		200,774
	77,100	Hitachi Chemical Co Ltd		2,088,383
	32,400	Hitachi High-Technologies Corp		1,157,126
	298,000	Hitachi Ltd		2,051,321
	9,900	Hochiki Corp		181,801
	60,300	Honda Motor Co Ltd		1,689,004
	5,200	Horiba Ltd		319,260
	4,200	Hosokawa Micron Corp		212,886
	70,600	Idemitsu Kosan Co Ltd		1,724,484
	2,330,700	ITOCHU Corp		38,059,340
	27,100	Itochu Techno-Solutions Corp		1,009,477
	11,200	Kamei Corp		166,054
	18,000	Kaneka Corp		140,278
	1,173,000	Kanematsu Corp		2,766,845
	533,000	KDDI Corp		14,379,454
	49,100	Keihin Corp		808,447
	20,600	Kitz Corp		165,814
	30,000	Kyosan Electric Manufacturing Co Ltd		156,115
	41,000	Makino Milling Machine Co Ltd		322,132
	4,500	Mandom Corp		270,358
	2,491,100	Marubeni Corp		16,210,739
	41,100	MCJ Co Ltd		480,998
	34,904	Medipal Holdings Corp		616,109
	2,195,600	Mitsubishi Chemical Holdings Corp		20,464,129
	489,200	Mitsubishi Corp		11,317,874
	350,900	Mitsubishi Electric Corp		5,192,269
	148,700	Mitsubishi Gas Chemical Co Inc		3,696,745
	453,600	Mitsubishi Tanabe Pharma Corp		11,188,884
	3,155,400	Mitsubishi UFJ Financial Group Inc		19,227,584
	1,257,674	Mitsui & Co Ltd		18,822,900
	384,000	Mitsui Chemicals Inc		2,300,015
	427,000	Mitsui Mining & Smelting Co Ltd		2,264,523
	28,200	Morinaga & Co Ltd		1,617,964
	62,000	Nachi-Fujikoshi Corp		328,993
	55,000	NET One Systems Co Ltd		562,408
	16,500	Nichiha Corp		601,589
	78,100	Nichirei Corp		2,064,689
	127,000	Nippon Chemi-Con Corp		478,649
	107,000	Nippo Corp		2,122,591
	4,000	Nippon Paper Industries Co Ltd		76,695
	798,000	Nippon Telegraph & Telephone Corp		39,727,904
	751,536	Nissan Motor Co Ltd		7,482,015
	57,000	Nisshin Oillio Group Ltd (The)		409,041
	121,000	Onward Holdings Co Ltd		889,425
	17,000	Osaki Electric Co Ltd		133,850
	330,300	Otsuka Holdings Co Ltd		13,313,809
	60,000	Prima Meat Packers Ltd		372,038

Shares		Description	Value ($)
		Japan — continued
	25,200	Rohm Co Ltd		1,962,072
	9,000	Sakata INX Corp		159,824
	17,000	Sanyo Special Steel Co Ltd		91,879
	45,200	Seiko Epson Corp		1,159,947
	494,500	Sekisui Chemical Co Ltd		9,233,404
	900	Shimamura Co Ltd		109,954
	14,700	Showa Corp *		167,199
	78,000	Showa Denko KK		2,078,504
	256,400	SoftBank Group Corp		20,873,819
	4,159,200	Sojitz Corp		11,168,905
	1,700	Sugi Holdings Co Ltd		90,000
	22,000	Sumitomo Bakelite Co Ltd		162,125
	195,000	Sumitomo Chemical Co Ltd		1,170,390
	198,800	Sumitomo Corp		2,815,936
	125,200	Sumitomo Forestry Co Ltd		1,953,149
	144,000	Sumitomo Heavy Industries Ltd		1,073,815
	652,200	Sumitomo Mitsui Financial Group Inc		24,283,546
	101,800	Sumitomo Rubber Industries Ltd		1,688,341
	3,200	Sumitomo Seika Chemicals Co Ltd		152,124
	10,200	Suntory Beverage & Food Ltd		471,472
	12,700	Suzuken Co Ltd		462,934
	128,800	Suzuki Motor Corp		6,467,536
	9,300	Takeda Pharmaceutical Co Ltd		515,724
	25,700	Tatsuta Electric Wire and Cable Co Ltd		169,377
	15,600	T-Gaia Corp		306,373
	3,737	TIS Inc		110,461
	79,900	Toho Holdings Co Ltd		1,569,647
	13,300	Token Corp		1,839,357
	9,000	Tokyo Century Corp		390,087
	58,600	Tokyo Electron Ltd		8,253,129
	9,500	Tokyo Seimitsu Co Ltd		326,527
	1,100,000	Tosoh Corp		12,931,313
	233,100	Toyota Tsusho Corp		7,172,735
	5,000	TPR Co Ltd		151,740
	45,700	TS Tech Co Ltd		1,429,481
	116,000	Tsubakimoto Chain Co		911,365
	35,900	Valor Holdings Co Ltd		777,025
	61,000	Wacoal Holdings Corp		870,347
	29,700	Warabeya Nichiyo Holdings Co Ltd		745,379
	2,000	Yamaguchi Financial Group Inc		22,601
	6,400	Yokohama Rubber Co Ltd (The)		118,325
	32,000	Zeon Corp		403,985
		Total Japan		423,943,948
		Malaysia — 0.0%
	708,050	Berjaya Sports Toto Berhad		373,112
	24,110	KSL Holdings Berhad *		7,006
	593,000	Ta Ann Holdings Berhad		510,262
	176,600	UOA Development Berhad		107,462
		Total Malaysia		997,842

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, 2017 (Unaudited)

Shares		Description	Value ($)
		Mexico — 0.4%
	1,434,062	Arca Continental SAB de CV		10,465,563
	2,127,446	Bolsa Mexicana de Valores SAB de CV		3,669,641
	1,432,800	Cemex SAB de CV Sponsored ADR *		13,339,368
	2,152,100	Genomma Lab Internacional SAB de CV – Class B *		2,764,866
	125,385	Gruma SAB de CV – Class B		1,839,127
	13,030	Grupo Aeroportuario del Sureste SAB de CV – Class B		265,268
	700	Grupo Aeroportuario del Sureste SAB de CV ADR		142,562
	172,391	Grupo Financiero Interacciones SA de CV – Class O		1,022,048
	267,213	Grupo Herdez SAB de CV		654,610
	205,416	La Comer SAB de CV *		203,471
	2,851,500	Wal-Mart de Mexico SAB de CV		6,937,665
		Total Mexico		41,304,189
		Netherlands — 0.9%
	64,282	Heineken Holding NV		6,350,107
	490,199	ING Groep NV		8,701,418
	517,449	NXP Semiconductors NV * (a)		58,451,039
	19,505	Philips Lighting NV		720,107
	500,168	PostNL NV		1,991,910
	62,529	Unilever NV CVA		3,722,618
	20,728	Unilever NV – NY Shares (a)		1,233,316
	466,991	Wolters Kluwer NV		20,402,046
		Total Netherlands		101,572,561
		New Zealand — 0.0%
	1,108,332	Air New Zealand Ltd		2,846,482
		Norway — 0.3%
	69,062	Bakkafrost P/F		3,224,671
	233,681	BW LPG Ltd *		961,716
	87,121	DNB ASA		1,701,701
	239,813	Kongsberg Automotive ASA *		246,116
	112,598	Kvaerner ASA *		161,884
	117,750	Norsk Hydro ASA		850,162
	286,047	Orkla ASA		2,937,003
	295	Salmar ASA		8,554
	18,500	SpareBank 1 SR Bank ASA		198,490
	499,003	Statoil ASA		9,443,073
	434,008	Storebrand ASA		3,592,555
	459,553	Subsea 7 SA		6,611,379
		Total Norway		29,937,304
		Philippines — 0.0%
	91,640	Manila Electric Co		485,297
	460,800	Manila Water Co Inc		279,051
		Total Philippines		764,348

Shares		Description	Value ($)
		Poland — 0.5%
	287,805	Asseco Poland SA		3,656,359
	786,412	Enea SA		3,364,884
	798,507	KGHM Polska Miedz SA		28,258,352
	1,272	mBank SA *		156,443
	90,481	PGE Polska Grupa Energetyczna SA		362,326
	244,691	Polski Koncern Naftowy ORLEN SA		8,094,940
	8,173,716	Tauron Polska Energia SA *		8,987,511
		Total Poland		52,880,815
		Portugal — 0.0%
	302,398	CTT – Correios de Portugal SA		1,876,027
	46,874	Navigator Co SA (The)		200,174
		Total Portugal		2,076,201
		Qatar — 0.0%
	5,913	Al Meera Consumer Goods Co QSC		243,610
	36,323	Barwa Real Estate Co		316,096
	53,930	Doha Bank QSC		447,481
	9,611	Industries Qatar QSC		240,964
	59,529	Masraf Al Rayan QSC		624,208
	3,391	Qatar Electricity & Water Co QSC		173,007
	11,110	Qatar International Islamic Bank QSC		167,307
	3,920	Qatar Islamic Bank SAQ		100,031
	68,643	Qatar National Bank QPSC		2,468,453
	13,021	Qatar Navigation QSC		228,532
	34,280	United Development Co QSC		142,985
		Total Qatar		5,152,674
		Russia — 0.6%
	167,900	Aeroflot PJSC		563,272
	1,039,248	Gazprom OAO Sponsored ADR		4,152,931
	85,892	Globaltrans Investment Plc Sponsored GDR (Registered)		872,043
	125,172	LUKOIL PJSC Sponsored ADR		6,302,649
	30,210	M.Video PJSC *		212,538
	773,862	MegaFon PJSC GDR (Registered)		7,657,427
	2,951,200	Mobile TeleSystems PJSC Sponsored ADR		29,482,488
	655,410	Moscow Exchange MICEX-RTS PJSC		1,189,106
	8,615	Novatek PJSC Sponsored GDR (Registered)		911,411
	2,042,640	Rostelecom PJSC		2,341,579
	2,386,737	Surgutneftegas OJSC Sponsored ADR		10,928,692
	39,818	Tatneft PJSC Sponsored ADR		1,591,839
		Total Russia		66,205,975
		Singapore — 0.1%
	724,100	CapitaLand Commercial Trust (REIT)		930,371
	1,070,000	Fortune Real Estate Investment Trust		1,279,048
	605,200	Sino Grandness Food Industry Group Ltd *		85,394
	139,300	Venture Corp Ltd		1,626,283

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, 2017 (Unaudited)

Shares		Description	Value ($)
		Singapore — continued
	3,430,100	Yangzijiang Shipbuilding Holdings Ltd		3,791,015
	530,200	Yanlord Land Group Ltd		677,284
		Total Singapore		8,389,395
		South Africa — 1.3%
	176,146	AECI Ltd		1,449,727
	2,691,606	African Phoenix Investments Ltd *		136,427
	215,830	African Rainbow Minerals Ltd		1,827,633
	115,721	Astral Foods Ltd		1,378,367
	1,132,482	AVI Ltd		8,609,956
	1,931,482	Barclays Africa Group Ltd		22,039,666
	1,352,867	Barloworld Ltd		13,371,580
	743,260	Bidvest Group Ltd (The)		9,801,534
	234,882	Clicks Group Ltd		2,688,009
	301,021	DataTec Ltd		1,309,936
	3,261	Distell Group Ltd		34,640
	1,912,051	Emira Property Fund Ltd (REIT)		2,038,835
	877,443	FirstRand Ltd		3,750,874
	589,384	Imperial Holdings Ltd		9,465,899
	13,823	JSE Ltd		143,323
	453,041	Kumba Iron Ore Ltd		7,458,870
	325,555	Lewis Group Ltd		799,807
	595,276	Liberty Holdings Ltd		4,743,242
	1,463,257	MMI Holdings Ltd		2,342,088
	220,479	Mondi Ltd		6,019,510
	1,588,476	Murray & Roberts Holdings Ltd		1,862,118
	1,233,772	Nedbank Group Ltd		20,856,599
	183,530	Omnia Holdings Ltd		1,998,935
	296,326	Reunert Ltd		1,585,322
	221,994	RMB Holdings Ltd		1,134,243
	1,828,684	SA Corporate Real Estate Ltd (REIT)		761,243
	4,121	Sanlam Ltd		22,767
	68,297	Santam Ltd		1,359,320
	289,337	Shoprite Holdings Ltd		5,012,089
	857,415	Standard Bank Group Ltd		11,050,746
	104,295	Super Group Ltd *		331,358
	624,685	Telkom SA SOC Ltd		3,016,456
	89,897	Truworths International Ltd		573,562
	814,690	Tsogo Sun Holdings Ltd		1,367,619
	16,716	Vukile Property Fund Ltd (REIT)		24,111
	269,634	Wilson Bayly Holmes-Ovcon Ltd		2,881,744
		Total South Africa		153,248,155
		South Korea — 3.8%
	724,248	BNK Financial Group Inc		6,340,094
	24,199	Cheil Worldwide Inc		408,231
	2,458	CJ O Shopping Co Ltd		466,706
	2,870	Com2uSCorp		277,921
	2,881	Crown Confectionery Co Ltd *		47,337

Shares		Description	Value ($)
		South Korea — continued
	3,732	Crown Haitai Holdings Co Ltd		68,334
	737	Cuckoo Electronics Co Ltd		87,739
	628	Dae Han Flour Mills Co Ltd		103,645
	11,342	Daelim Industrial Co Ltd		845,129
	75,037	Daishin Securities Co Ltd		940,071
	51,243	Daou Data Corp		542,312
	437,948	Daou Technology Inc		7,680,073
	41,950	DGB Financial Group Inc		409,592
	6,160	Dong Ah Tire & Rubber Co Ltd		138,403
	165,027	Dongbu Insurance Co Ltd		11,014,331
	14,007	Dongsuh Cos Inc		329,583
	24,809	Dongwon Development Co Ltd		116,677
	7,581	Douzone Bizon Co Ltd		222,468
	31,913	E-MART Inc		6,354,492
	115,032	Eugene Investment & Securities Co Ltd *		342,652
	4,199	GOLFZON Co Ltd		183,264
	437,311	Grand Korea Leisure Co Ltd		8,968,809
	49,395	GS Home Shopping Inc		9,666,737
	26,295	GS Retail Co Ltd		941,757
	179,617	Hana Financial Group Inc		7,811,508
	3,186	Hana Tour Service Inc		240,605
	228,583	Hankook Tire Co Ltd		11,988,685
	120,880	Hankook Tire WorldwideCo Ltd		2,287,195
	125,447	Hanon Systems		1,289,219
	17,335	Hansol Paper Co Ltd		280,858
	53,578	Hanwha Corp		2,340,770
	463,015	Hanwha Life Insurance Co Ltd		3,009,104
	35,303	Harim Holdings Co Ltd		121,104
	29,283	Hyundai Department Store Co Ltd		2,510,786
	11,184	Hyundai Engineering & Construction Co Ltd		404,308
	38,878	Hyundai Home Shopping Network Corp		4,745,886
	4,990	Hyundai Hy Communications & Network Co Ltd		18,060
	245,158	Hyundai Marine & Fire Insurance Co Ltd		10,068,594
	153,002	Hyundai Mobis Co Ltd		32,059,622
	205,224	Hyundai Motor Co		25,624,620
	534,676	Industrial Bank of Korea		7,089,484
	11,978	Innocean Worldwide Inc		762,300
	535,428	JB Financial Group Co Ltd		2,953,656
	2,176	Kangnam Jevisco Co Ltd		72,854
	229,202	Kangwon Land Inc		7,018,622
	627,765	KB Financial Group Inc		30,885,128
	10,813	KEPCO Plant Service & Engineering Co Ltd		439,357
	1,212,800	Kia Motors Corp		38,194,633
	3,329	KISCO Corp		123,610
	6,432	KIWOOM Securities Co Ltd		461,153
	71,926	Korea Asset In Trust Co Ltd		592,523
	10,877	Korea Investment Holdings Co Ltd		635,198
	67,946	Korea Real Estate Investment & Trust Co Ltd		204,799

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, 2017 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	9,620	Korea Zinc Co Ltd		4,405,092
	103,657	Korean Reinsurance Co		1,144,880
	120,221	KT Hitel Co Ltd *		654,570
	24,361	KT Skylife Co Ltd		348,222
	165,313	KT&G Corp		16,806,639
	6,150	Kukdo Chemical Co Ltd		295,399
	38,823	Kyobo Securities Co Ltd		335,385
	59,945	LF Corp		1,548,623
	769,359	LG Display Co Ltd		21,347,177
	121,989	LG Electronics Inc		8,842,706
	77,654	LOTTE Himart Co Ltd		4,716,987
	32,131	Lotte Shopping Co Ltd		7,331,982
	27,704	Maeil Holdings Co Ltd		544,728
	24,173	Meritz Financial Group Inc		359,594
	171,899	Meritz Fire & Marine Insurance Co Ltd		3,861,814
	533,303	Meritz Securities Co Ltd		2,288,377
	32,177	NH Investment & Securities Co Ltd		394,617
	79,149	NHN Entertainment Corp *		4,506,067
	1,262	Ottogi Corp		852,250
	31,145	Poongsan Corp		1,577,098
	10,013	POSCO Chemtech Co Ltd		293,523
	6,550	S&T Motiv Co Ltd		304,402
	40,794	Samjin Pharmaceutical Co Ltd		1,220,043
	161,174	Samsung Card Co Ltd		5,316,220
	14,837	Samsung Electronics Co Ltd		30,542,118
	8	Samsung Electronics Co Ltd GDR		8,249
	19,450	Samsung Fire & Marine Insurance Co Ltd		4,777,807
	13,308	Samsung Life Insurance Co Ltd		1,364,416
	29,035	Samsung Securities Co Ltd		942,741
	33,351	Seah Besteel Corp		1,050,446
	23,455	SeAH Steel Corp		1,936,130
	15,763	Seoyon E-Hwa Co Ltd		156,875
	90,231	Shinhan Financial Group Co Ltd		4,160,628
	15,213	Shinsegae Inc		2,606,752
	21,325	Silicon Works Co Ltd		830,308
	35	Sindoh Co Ltd		2,067
	20,928	SK Hynix Inc		1,277,641
	5,463	SK Innovation Co Ltd		916,500
	55,675	SK Telecom Co Ltd		12,570,440
	90,300	SK Telecom Co Ltd Sponsored ADR		2,283,687
	38,581	SL Corp		669,500
	11,133	Soulbrain Co Ltd		638,775
	1,395	Spigen Korea Co Ltd		55,464
	150,163	Tongyang Life Insurance Co Ltd		1,221,373
	4,408	Unid Co Ltd		189,834
	1,827,572	Woori Bank		30,166,806
		Total South Korea		438,395,550

Shares		Description	Value ($)
		Spain — 0.8%
	7,503	Aena SA		1,467,635
	1,368,984	Atlantica Yield Plc		28,420,108
	21,089	Ebro Foods SA		503,098
	38,860	Ence Energia y Celulosa SA		170,167
	696,638	Endesa SA		16,832,181
	1,379,428	Mapfre SA		4,890,408
	2,217,631	Repsol SA		38,158,268
		Total Spain		90,441,865
		Sweden — 0.4%
	88,886	Alfa Laval AB		2,014,196
	323,115	Atlas Copco AB – A Shares		12,676,495
	78,768	Atlas Copco AB – B Shares		2,812,883
	14,861	Bufab AB		176,165
	5,321	Fastighets AB Balder – B Shares *		140,224
	103	JM AB		3,305
	3,807	NCC AB – B Shares		99,372
	13,680	Nordea Bank AB		184,183
	1,020,792	Sandvik AB		16,876,722
	704,840	Volvo AB – B Shares		12,047,180
		Total Sweden		47,030,725
		Switzerland — 0.7%
	15,454	Adecco Group AG (Registered)		1,120,156
	12,612	ALSO Holding AG (Registered) *		1,640,894
	6,514	Ascom Holding AG (Registered)		126,973
	13,995	BKW AG		813,207
	9,609	Bobst Group SA (Registered)		1,090,830
	1,705	Bossard Holding AG (Registered) – A Shares		371,269
	1,147	Comet Holding AG (Registered) *		163,005
	1,491	Emmi AG (Registered) *		997,103
	6,509	EMS-Chemie Holding AG (Registered)		4,453,497
	4,923	Georg Fischer AG (Registered)		5,674,587
	196	Gurit Holding AG *		224,761
	1,106	Inficon Holding AG (Registered) *		630,289
	9,168	Kardex AG (Registered) *		961,007
	146	Komax Holding AG (Registered)		40,621
	11,838	Kuehne & Nagel International AG (Registered)		2,145,289
	148,390	Logitech International SA (Registered)		5,287,847
	106,116	Nestle SA (Registered)		8,996,076
	28,169	Novartis AG (Registered)		2,374,846
	6,613	Orior AG		526,824
	8,765	Roche Holding AG		2,226,929
	1,915	Sika AG		13,589,498
	19,223	Swiss Life Holding AG (Registered) *		6,881,887
	286,930	Swiss Re AG		25,980,852
	9,109	UBS Group AG (Registered) *		150,088
		Total Switzerland		86,468,335

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, 2017 (Unaudited)

Shares		Description	Value ($)
		Taiwan — 5.6%
	603,000	AcBel Polytech Inc		481,278
	61,000	Actron Technology Corp		207,631
	49,539	Addcn Technology Co Ltd		434,487
	378,000	Advanced Semiconductor Engineering Inc		457,554
	440,000	Advantech Co Ltd		3,251,672
	980,000	AmTRAN Technology Co Ltd		546,818
	4,243,000	Asustek Computer Inc		35,202,918
	16,000	Aurora Corp		31,476
	1,094,000	BES Engineering Corp		234,162
	286,000	Casetek Holdings Ltd		950,940
	1,482,000	Catcher Technology Co Ltd		18,955,765
	4,295,000	Cathay Financial Holding Co Ltd		7,031,496
	3,494,000	Chailease Holding Co Ltd		9,525,836
	3,308,000	Cheng Shin Rubber Industry Co Ltd		6,665,324
	127,000	Chicony Electronics Co Ltd		319,558
	201,000	Chicony Power Technology Co Ltd		411,148
	349,000	China Life Insurance Co Ltd *		386,153
	186,000	China Motor Corp		173,332
	628,000	Chin-Poon Industrial Co Ltd		1,137,098
	256,000	Chipbond Technology Corp		429,102
	72,000	Chong Hong Construction Co Ltd		161,070
	4,981,470	Chunghwa Telecom Co Ltd		17,325,770
	52,100	Chunghwa Telecom Co Ltd Sponsored ADR		1,803,181
	37,000	Cleanaway Co Ltd		208,563
	18,009,000	Compal Electronics Inc		12,963,503
	599,000	Coretronic Corp		728,966
	14,417,000	CTBC Financial Holding Co Ltd		9,354,595
	293,000	CTCI Corp		474,146
	82,000	Cyberlink Corp		167,855
	76,000	Delta Electronics Inc		418,107
	75,000	Dynapack International Technology Corp		96,430
	45,000	Eclat Textile Co Ltd		553,673
	767,000	Elan Microelectronics Corp		1,099,578
	952,000	Elitegroup Computer Systems Co Ltd *		604,129
	308,000	Everlight Electronics Co Ltd		463,105
	3,490,000	Far EasTone Telecommunications Co Ltd		8,464,685
	678,000	Faraday Technology Corp		1,028,883
	216,000	Farglory Land Development Co Ltd		261,964
	79,000	Feng TAY Enterprise Co Ltd		375,420
	347,000	Formosa Chemicals & Fibre Corp		1,092,831
	926,000	Formosa Plastics Corp		2,886,729
	49,000	Formosan Rubber Group Inc		24,468
	8,737,582	Foxconn Technology Co Ltd		27,830,544
	12,019,000	Fubon Financial Holding Co Ltd		19,365,012
	650,000	Gemtek Technology Corp		486,024
	3,493,000	Gigabyte Technology Co Ltd		4,766,027
	315,000	Grand Pacific Petrochemical		267,398
	22,000	Grape King Bio Ltd		133,868
	1,402,000	Great Wall Enterprise Co Ltd		1,440,685

Shares		Description	Value ($)
		Taiwan — continued
	176,000	Greatek Electronics Inc		282,242
	144,000	Green Seal Holding Ltd		372,686
	8,099,000	Highwealth Construction Corp *		12,902,408
	168,000	Holtek Semiconductor Inc		307,711
	22,768,663	Hon Hai Precision Industry Co Ltd		88,912,766
	371,000	Huaku Development Co Ltd		761,853
	119,000	IEI Integration Corp *		181,797
	13,023,000	Innolux Corp		6,367,672
	11,601,000	Inventec Corp		9,230,884
	30,000	Iron Force Industrial Co Ltd		119,484
	360,000	ITEQ Corp		710,936
	15,000	Kenda Rubber Industrial Co Ltd		21,468
	25,000	King Slide Works Co Ltd		348,155
	218,000	King’s Town Bank Co Ltd		230,463
	454,000	Kinik Co		1,206,355
	43,000	Kung Long Batteries Industrial Co Ltd		221,303
	1,348,000	Lite-On Semiconductor Corp		1,577,283
	17,813,475	Lite-On Technology Corp		26,410,482
	609,000	Lotes Co Ltd		3,825,782
	451,000	Makalot Industrial Co Ltd		2,135,771
	3,019,599	Mercuries Life Insurance Co Ltd *		1,618,275
	35,000	Merida Industry Co Ltd		154,041
	85,000	MIN AIK Technology Co Ltd		82,001
	1,174,000	Mitac Holdings Corp		1,401,404
	324,000	Nan Ya Plastics Corp		819,576
	32,000	Nien Made Enterprise Co Ltd		344,888
	2,158,000	Novatek Microelectronics Corp		8,417,536
	772,000	Nuvoton Technology Corp		1,413,319
	360,000	OptoTech Corp		197,226
	13,812,000	Pegatron Corp		43,638,318
	456,000	Phison Electronics Corp		6,168,654
	11,670,000	Pou Chen Corp		15,168,042
	2,438,808	Powertech Technology Inc		7,426,762
	21,000	President Chain Store Corp		175,973
	7,107,000	Quanta Computer Inc		16,217,925
	6,653,020	Radiant Opto-Electronics Corp		16,843,719
	2,389,000	Realtek Semiconductor Corp		9,286,067
	416,000	Rechi Precision Co Ltd		419,040
	518,400	Ruentex Development Co Ltd *		508,779
	3,682,000	Ruentex Industries Ltd *		5,941,818
	137,000	Sercomm Corp		361,570
	726,000	Sheng Yu Steel Co Ltd		895,267
	136,000	ShunSin Technology Holding Ltd		500,094
	120,000	Sigurd Microelectronics Corp		105,148
	3,708,000	Simplo Technology Co Ltd		12,620,241
	194,000	Sinbon Electronics Co Ltd		479,701
	406,000	Sitronix Technology Corp		1,235,596
	187,000	Soft-World International Corp		447,299
	1,720,000	Sunonwealth Electric Machine Industry Co Ltd		2,985,729

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, 2017 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	1,508,000	Sunplus Technology Co Ltd		841,713
	221,000	Syncmold Enterprise Corp		510,590
	85,000	Taiflex Scientific Co Ltd		147,045
	275,575	Taishin Financial Holding Co Ltd		122,552
	4,134,582	Taiwan Business Bank		1,143,812
	254,000	Taiwan Cement Corp		293,865
	362,590	Taiwan Cooperative Financial Holding Co Ltd		191,280
	182,000	Taiwan Mobile Co Ltd		651,498
	57,000	Taiwan PCB Techvest Co Ltd		61,232
	1,391,000	Taiwan Semiconductor Co Ltd		1,967,875
	4,071,000	Taiwan Semiconductor Manufacturing Co Ltd		29,300,995
	1,320,973	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		48,836,372
	81,000	Taiwan Surface Mounting Technology Corp		66,958
	346,000	Teco Electric and Machinery Co Ltd		323,870
	54,000	Test Research Inc		70,369
	157,000	Thinking Electronic Industrial Co Ltd		513,906
	275,000	Tong Hsing Electronic Industries Ltd		1,110,513
	1,519,060	Topco Scientific Co Ltd		3,985,257
	89,000	Transcend Information Inc		265,758
	2,142,000	Tripod Technology Corp		8,044,414
	244,000	TXC Corp		331,396
	1,111,000	Uni-President Enterprises Corp		2,367,246
	1,499,000	United Integrated Services Co Ltd		2,703,433
	13,678,000	United Microelectronics Corp		6,837,066
	219,000	Visual Photonics Epitaxy Co Ltd		443,449
	137,000	Wan Hai Lines Ltd		95,420
	2,770,000	Winbond Electronics Corp		2,131,313
	6,747,908	Wistron Corp		6,392,869
	372,763	Wistron NeWeb Corp		1,124,459
	3,536,000	WPG Holdings Ltd		4,613,190
	43,000	Xxentria Technology Materials Corp		90,866
	213,828	Yageo Corp		1,376,176
	828,000	Yuanta Financial Holding Co Ltd		360,464
	13,000	Yungtay Engineering Co Ltd		24,227
	23,000	Zeng Hsing Industrial Co Ltd		100,322
		Total Taiwan		641,124,236
		Thailand — 1.4%
	3,779,300	Advanced Info Service Pcl (Foreign Registered)		21,368,102
	632,500	Airports of Thailand Pcl (Foreign Registered)		1,040,221
	2,339,300	Amata Corp Pcl (Foreign Registered)		1,297,731
	3,281,100	AP Thailand Pcl (Foreign Registered)		776,808
	269,900	AP Thailand Pcl NVDR		63,899

Shares		Description	Value ($)
		Thailand — continued
	307,600	Bangkok Bank Pcl NVDR		1,710,691
	46,200	Bumrungrad Hospital Pcl (Foreign Registered)		303,439
	2,307,400	Central Pattana Pcl (Foreign Registered)		5,007,052
	674,100	Delta Electronics Thailand Pcl (Foreign Registered)		1,807,264
	1,629,900	Eastern Polymer Group Pcl (Foreign Registered)		564,626
	759,800	Glow Energy Pcl (Foreign Registered)		1,962,946
	388,100	Group Lease Pcl NVDR		229,601
	1,489,700	Hana Microelectronics Pcl (Foreign Registered)		1,963,826
	626,900	Indorama Ventures Pcl NVDR 2.13%		737,151
	2,548,400	Intouch Holdings Pcl NVDR		4,358,468
	4,997,800	Jasmine International Pcl (Foreign Registered)		1,174,815
	398,500	Kasikornbank Pcl NVDR		2,417,006
	219,400	KCE Electronics Pcl (Foreign Registered)		578,436
	2,510,100	Kiatnakin Bank Pcl (Foreign Registered)		5,313,761
	1,143,900	Kiatnakin Bank Pcl NVDR		2,421,580
	4,894,900	Krung Thai Bank Pcl (Foreign Registered)		2,759,763
	49,500	Krung Thai Bank Pcl NVDR		27,908
	7,395,800	Land & Houses Pcl NVDR		2,162,179
	1,677,900	LPN Development Pcl (Foreign Registered)		546,274
	464,800	MC Group Pcl (Foreign Registered)		197,355
	721,500	Mega Lifesciences Pcl (Foreign Registered)		680,175
	418,800	Pruksa Holding Pcl (Foreign Registered)		287,638
	1,998,000	PTT Exploration & Production Pcl (Foreign Registered)		5,274,354
	2,667,000	PTT Exploration & Production Pcl NVDR		7,040,386
	3,365,300	PTT Global Chemical Pcl (Foreign Registered)		7,764,315
	1,433,000	PTT Pcl (Foreign Registered)		17,237,627
	382,800	PTT Pcl NVDR		4,604,720
	8,215,100	Quality Houses Pcl (Foreign Registered)		594,315
	804,400	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered)		1,350,786
	33,841,100	Sansiri Pcl (Foreign Registered)		2,121,057
	20,764,800	Sansiri Pcl NVDR		1,301,474
	5,650,400	SC Asset Corp Pcl (Foreign Registered)		548,259
	1,197,700	Siam Cement Pcl (The) (Foreign Registered)		18,048,167
	255,400	Siam Cement Pcl (The) NVDR		3,848,625
	527,200	Siam Commercial Bank Pcl (The) (Foreign Registered)		2,393,668
	394,800	Srisawad Corp Pcl (Foreign Registered)		609,798
	2,530,300	Star Petroleum Refining Pcl		1,274,017
	1,266,100	STP & I Pcl (Foreign Registered)		261,229
	3,013,800	Supalai Pcl (Foreign Registered)		2,293,050
	16,821,500	Thai Beverage Pcl		11,548,696
	286,700	Thai Oil Pcl (Foreign Registered)		814,307

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, 2017 (Unaudited)

Shares		Description	Value ($)
		Thailand — continued
	532,100	Thai Vegetable Oil Pcl (Foreign Registered)		456,646
	4,838,800	Thanachart Capital Pcl (Foreign Registered)		6,813,929
	67,800	Thanachart Capital Pcl NVDR		95,475
	1,250,800	Total Access Communication Pcl (Foreign Registered) *		2,066,915
	1,638,600	TTW Pcl (Foreign Registered)		538,209
	2,847,000	WHA Corp Pcl (Foreign Registered)		272,922
		Total Thailand		160,931,661
		Turkey — 1.7%
	81,121	Akbank Turk AS		243,299
	68,220	Aksa Akrilik Kimya Sanayii AS		247,925
	34,419,864	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT) *		29,338,489
	484,248	Enka Insaat ve Sanayi AS		750,998
	6,330,835	Eregli Demir ve Celik Fabrikalari TAS		15,082,841
	29,600	Ford Otomotiv Sanayi AS		407,766
	1,815,896	Haci Omer Sabanci Holding AS		5,581,379
	1,625,683	KOC Holding AS		8,499,531
	147,970	Koza Altin Isletmeleri AS *		1,377,576
	28,868	Otokar Otomotiv Ve Savunma Sanayi AS		966,692
	4,178,271	Soda Sanayii AS		6,306,980
	45,611	Tofas Turk Otomobil Fabrikasi AS		417,859
	9,607,636	Turkiye Garanti Bankasi AS		29,935,295
	7,908,726	Turkiye Halk Bankasi AS		34,007,634
	16,866,460	Turkiye Is Bankasi – Class C		36,648,767
	3,770,677	Turkiye Sinai Kalkinma Bankasi AS		1,659,589
	1,528,298	Turkiye Sise ve Cam Fabrikalari AS		1,967,868
	8,327,194	Turkiye Vakiflar Bankasi TAO – Class D		17,398,811
	270,910	Yapi ve Kredi Bankasi AS *		381,981
		Total Turkey		191,221,280
		United Arab Emirates — 0.0%
	1,222,106	Aldar Properties PJSC		772,333
	1,276,288	DAMAC Properties Dubai Co PJSC		1,406,509
	222,428	Emirates Telecommunications Group Co PJSC		1,091,907
		Total United Arab Emirates		3,270,749
		United Kingdom — 2.5%
	220,968	3i Group Plc		2,772,206
	685,595	AstraZeneca Plc		40,194,929
	266,439	Aviva Plc		1,801,737
	267,478	Berkeley Group Holdings Plc (The)		12,960,259
	7,499,300	Booker Group Plc		19,373,637
	480,633	British American Tobacco Plc		29,984,342
	76,191	Cape Plc		260,153
	61,720	Carillion Plc		35,238

Shares		Description	Value ($)
		United Kingdom — continued
	3,461,272	Centrica Plc		8,946,229
	83,699	Cobham Plc *		148,683
	119,731	Coca-Cola HBC AG *		4,094,302
	14,043	Computacenter Plc		185,770
	55,367	Crest Nicholson Holdings Plc		390,164
	758,278	Debenhams Plc		394,597
	89,362	EI Group Plc *		163,822
	201,888	Electrocomponents Plc		1,654,673
	38,966	Fenner Plc		173,391
	565,958	Ferrexpo Plc		2,193,851
	41,063	Galliford Try Plc		740,221
	8,328	Games Workshop Group Plc		176,507
	6,619	GlaxoSmithKline Plc		131,319
	233,300	GlaxoSmithKline Plc Sponsored ADR		9,385,659
	543,476	Inchcape Plc		5,855,585
	287,772	Indivior Plc *		1,550,185
	53,447	Intermediate Capital Group Plc		614,496
	1,038,206	J Sainsbury Plc		3,160,376
	944,242	Kingfisher Plc		3,648,575
	555	Land Securities Group Plc (REIT)		7,255
	79,348	McBride Plc *		180,235
	18,332	Mondi Plc		499,673
	90,927	Mondi Plc		2,484,560
	23,615	Morgan Sindall Group Plc		384,117
	477,643	Persimmon Plc		16,447,908
	197,350	QinetiQ Group Plc		587,571
	273,246	Reckitt Benckiser Group Plc		25,911,518
	483,485	Royal Mail Plc		2,462,829
	71,503	RPS Group Plc		266,987
	839,360	Sage Group Plc (The)		7,517,963
	1,703,600	Sky Plc		21,069,366
	49,557	Smiths Group Plc		990,304
	113,166	Spectris Plc		3,390,906
	79,242	Stock Spirits Group Plc		238,866
	210,771	Unilever Plc		12,297,359
	33,355	Vedanta Resources Plc		368,609
	114,931	Vesuvius Plc		858,688
	24,989	WH Smith Plc		597,124
	1,656,898	Wm Morrison Supermarkets Plc		5,268,155
	3,945,800	Worldpay Group Plc		21,291,702
	840,755	WPP Plc		15,332,943
		Total United Kingdom		289,445,544
		United States — 7.0%
	75,357	3M Co.		15,396,942
	187,157	Abbott Laboratories		9,533,778
	102,655	Accenture Plc – Class A		13,423,168
	32,357	Alphabet, Inc. – Class C *		30,393,901
	152,673	American Express Co.		13,145,145

See accompanying notes to the financial statements. 53

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	28,877	Amphenol Corp. – Class A		2,337,304
	21,030	Analog Devices, Inc.		1,759,580
	33,466	Anthem, Inc.		6,560,675
	177,385	Apple, Inc.		29,091,140
	10,900	Automatic Data Processing, Inc.		1,160,523
	68,422	Baker Hughes a GE Co. (a)		2,319,506
	20,881	Becton Dickinson and Co.		4,164,507
	995	Biogen Idec, Inc. * (a)		314,977
	131,565	Cabela’s, Inc. *		7,065,040
	114,842	Capital Bank Financial Corp. – Class A		4,318,059
	1,024,700	Cars.com, Inc. *		26,498,742
	346,171	Cisco Systems, Inc.		11,150,168
	171,103	Coca-Cola Co. (The)		7,793,742
	179,131	Cognizant Technology Solutions Corp. – Class A		12,677,101
	38,582	Colgate-Palmolive Co. (a)		2,764,014
	56,822	Costco Wholesale Corp.		8,906,280
	89,400	CR Bard, Inc.		28,680,414
	40,352	CVS Health Corp.		3,120,824
	74,048	DISH Network Corp. – Class A * (a)		4,242,210
	1,150	Donnelley Financial Solutions, Inc. *		24,622
	36,536	Eli Lilly & Co.		2,970,011
	98,200	Emerson Electric Co.		5,797,728
	288,616	EnPro Industries, Inc.		20,338,770
	28,098	Honeywell International, Inc.		3,885,110
	963	HSN, Inc.		35,342
	19,860	Humana, Inc.		5,116,333
	1,076,045	Huntsman Corp.		28,590,516
	155,835	Johnson & Johnson		20,627,879
	1,249,050	Lattice Semiconductor Corp. *		7,057,132
	1,058,500	Level 3 Communications, Inc. *		57,614,155
	670,176	Liberty Media Corp.-Liberty SiriusXM – Class C *		29,896,551
	1,150	LSC Communications, Inc.		18,527
	144,277	Marvell Technology Group Ltd. (a)		2,584,001
	37,724	Mastercard, Inc. – Class A		5,028,609
	153,373	Medtronic Plc		12,364,931
	419,525	Microsoft Corp.		31,367,884
	108,667	Mondelez International, Inc. – Class A (a)		4,418,400
	339,629	Monsanto Co. (a)		39,804,519
	10,715	Net 1 UEPS Technologies, Inc. *		99,971
	253,818	NxStage Medical, Inc. *		7,106,904
	518,703	Oracle Corp.		26,106,322
	26,910	PepsiCo, Inc.		3,114,294
	102,644	Pfizer, Inc.		3,481,684
	101,189	Philip Morris International, Inc.		11,832,030
	75,000	Pinnacle Foods, Inc. (a)		4,448,250
	260,301	QUALCOMM, Inc. (a)		13,605,933
	791,552	Rice Energy, Inc. *		21,656,863
	13,200	Rockwell Automation, Inc.		2,165,592

Shares		Description	Value ($)
		United States — continued
	33	Sabra Health Care REIT, Inc.		721
	98,507	Schlumberger Ltd.		6,256,180
	323,600	Scripps Networks Interactive, Inc. – Class A		27,716,340
	39,923	Stryker Corp.		5,643,915
	281,795	Swift Transportation Co. *		7,904,350
	82,242	Teradata Corp. *		2,625,165
	53,745	Texas Instruments, Inc.		4,451,161
	508,610	Time Warner, Inc.		51,420,471
	29,605	TJX Cos., Inc. (The)		2,140,442
	23,484	T-Mobile US, Inc. * (a)		1,519,650
	550,360	Tribune Media Co. – Class A		22,052,925
	52,116	Twitter, Inc. * (a)		881,282
	63,527	United Technologies Corp.		7,605,452
	112,202	UnitedHealth Group, Inc.		22,316,978
	123,052	US Bancorp		6,306,415
	75,902	VF Corp.		4,771,959
	30,776	Walt Disney Co. (The) (a)		3,114,531
	117,859	Wells Fargo & Co.		6,019,059
	58,313	Williams Cos , Inc. (The) (a)		1,733,645
	24,275	Zimmer Biomet Holdings, Inc.		2,773,904
		Total United States		805,231,148
		TOTAL COMMON STOCKS (COST $5,287,311,628)		5,877,869,048
		PREFERRED STOCKS — 2.0%
		Brazil — 1.1%
	1,343,022	Banco Bradesco SA *		14,326,819
	1,043,700	Banco do Estado do Rio Grande do Sul SA – Class B, 0.24%		5,609,989
	1,812,750	Bradespar SA, 3.98%		15,479,365
	1,308,475	Centrais Eletricas Brasileiras SA – Class B *		8,533,759
	13,500	Cia de Transmissao de Energia Eletrica Paulista, 1.19%		303,421
	6,843,927	Cia Energetica de Minas Gerais, 1.51%		18,219,454
	471,239	Cia Energetica de Minas Gerais Sponsored ADR, 1.47%		1,239,359
	429,600	Cia Energetica de Sao Paulo – Class B, 3.40%		2,010,264
	997,760	Itau Unibanco Holding SA, 0.42%		12,789,560
	10,452,776	Itausa – Investimentos Itau SA, 0.55%		33,870,202
	3,405,700	Metalurgica Gerdau SA *		6,123,628
	1,753,253	Oi SA *		2,060,783
	831,700	Vale SA *		8,605,387
		Total Brazil		129,171,990

54 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, 2017 (Unaudited)

Shares		Description	Value ($)
		Germany — 0.1%
	34,296	Bayerische Motoren Werke AG, 4.73%		2,848,313
	3,025	Draegerwerk AG & Co KgaA, 0.21%		324,078
	913	Henkel AG & Co KGaA, 1.41%		122,406
	182,768	Porsche Automobil Holding SE, 1.89%		10,374,304
		Total Germany		13,669,101
		Russia — 0.1%
	1,746,000	Sberbank of Russia PJSC, 3.85%		4,758,739
	140	Transneft PJSC, 4.60%		429,686
		Total Russia		5,188,425
		South Korea — 0.7%
	38,952	Hyundai Motor Co, 4.38%		3,336,321
	61,015	Hyundai Motor Co 2nd Preference, 4.06%		5,530,111
	10,892	LG Electronics Inc, 1.11%		391,245
	40,104	Samsung Electronics Co Ltd, 1.36%		67,140,962
	3,787	Samsung Electronics Co Ltd GDR (Registered)		3,205,663
		Total South Korea		79,604,302
		TOTAL PREFERRED STOCKS (COST $166,443,203)		227,633,818
		RIGHTS/WARRANTS — 0.0%
		Canada — 0.0%
	449,600	Alignvest Acquisition II Corp *		270,030
		Hong Kong — 0.0%
	33,250	Digital China Holdings Ltd *		2,762
		Singapore — 0.0%
	630,200	Interoil Corporate Escrow * (d)		2,520,800
		United States — 0.0%
	2,616,810	Media General, Inc. CVR * (d)		78,504
	2,279,800	Safeway Casa Ley CVR * (d)		991,713
	2,279,800	Safeway PDC, LLC CVR * (d)		34,197
		Total United States		1,104,414
		TOTAL RIGHTS/WARRANTS (COST $4,961,501)		3,898,006
		INVESTMENT FUNDS — 0.3%
		United States — 0.3%
	803,429	iShares MSCI Emerging Markets ETF		36,017,722
		TOTAL INVESTMENT FUNDS (COST $35,276,930)		36,017,722

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 36.6%
		Australia — 0.0%
		Corporate Debt — 0.0%
	1,250,000	Crest Nicholsotd / BlueScope Steel Finance USA LLC, 144A, 6.50%, due 05/15/21		1,315,250
		Brazil — 0.1%
		Corporate Debt — 0.1%
	7,544,000	Oi Brasil Holdings Cooperatief UA, Reg. S, 5.75%, due 02/10/22 (e)		2,583,820
EUR	20,750,000	Portugal Telecom International Finance BV, Reg. S, 5.88%, due 04/17/18 (e)		8,522,139
EUR	3,032,000	Portugal Telecom International Finance BV, Reg. S, 4.63%, due 05/08/20 (e)		1,245,259
EUR	3,714,000	Portugal Telecom International Finance BV, Reg. S, 4.50%, due 06/16/25 (e)		1,525,360
	4,956,000	Telemar Norte Leste SA, Reg. S, 5.50%, due 10/23/20 (e)		1,709,820
		Total Corporate Debt		15,586,398
		Total Brazil		15,586,398
		Canada — 0.1%
		Corporate Debt — 0.1%
	750,000	Bellatrix Exploration Ltd, 144A, 8.50%, due 05/15/20		650,625
	500,000	Canbriam Energy Inc, 144A, 9.75%, due 11/15/19		510,000
	18,352,800	Nortel Networks Corp, due 07/15/11 (e)		1,238,814
	26,379,600	Nortel Networks Corp, 10.13%, due 07/15/13 (e)		1,846,572
	2,500,000	Teck Resources Ltd, 6.13%, due 10/01/35		2,756,250
		Total Corporate Debt		7,002,261
		Total Canada		7,002,261
		Denmark — 0.2%
		Bank Loans — 0.2%
	6,287,912	O.W. Bunker & Trading A/S, Ancillary Revolver, 0.00% (e) (d)		5,721,999
	5,775,917	O.W. Bunker & Trading A/S, Term Loan A, 1.75% (e) (d)		5,256,084
	14,306,227	O.W. Bunker & Trading A/S, Term Loan B, 2.25% (e) (d)		13,018,667
		Total Denmark		23,996,750
		France — 0.0%
		Corporate Debt — 0.0%
	1,250,000	Credit Agricole SA, 144A, Variable Rate, 3 mo. LIBOR + 6.98%, 8.38%, due 10/29/49		1,386,378
		Germany — 0.0%
		Corporate Debt — 0.0%
	1,128,000	Deutsche Bank AG, 4.50%, due 04/01/25		1,138,968

See accompanying notes to the financial statements. 55

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Par Value†		Description	Value ($)
		Hong Kong — 0.0%
		Corporate Debt — 0.0%
	750,000	Studio City Co Ltd, 144A, 5.88%, due 11/30/19		791,250
		Ireland — 0.0%
		Corporate Debt — 0.0%
	750,000	Park Aerospace Holdings Ltd, 144A, 5.50%, due 02/15/24		780,000
		Italy — 0.0%
		Corporate Debt — 0.0%
	1,000,000	Meccanica Holdings USA Inc, 144A, 6.25%, due 07/15/19		1,062,500
	2,000,000	Intesa Sanpaolo SPA, 144A, 5.02%, due 06/26/24		2,046,986
		Total Corporate Debt		3,109,486
		Total Italy		3,109,486
		Japan — 1.9%
		Corporate Debt — 0.0%
	3,000,000	SoftBank Group Corp, 144A, 4.50%, due 04/15/20		3,101,250
		Foreign Government Obligations — 1.9%
JPY	1,675,000,000	Japan Treasury Discount Bill, Zero Coupon, due 09/25/17		15,237,236
JPY	5,100,000,000	Japan Treasury Discount Bill, Zero Coupon, due 10/02/17		46,395,039
JPY	3,337,000,000	Japan Treasury Discount Bill, Zero Coupon, due 10/23/17		30,359,066
JPY	9,750,000,000	Japan Treasury Discount Bill, Zero Coupon, due 11/06/17		88,707,306
JPY	1,700,000,000	Japan Treasury Discount Bill, Zero Coupon, due 11/13/17		15,467,332
JPY	2,040,000,000	Japan Treasury Discount Bill, Zero Coupon, due 11/20/17		18,561,319
		Total Foreign Government Obligations		214,727,298
		Total Japan		217,828,548
		Jersey — 0.0%
		Asset-Backed Securities — 0.0%
	1,654,378	Canaras Summit CLO Ltd, Series 07-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 0.48%, 1.75%, due 06/19/21		1,652,581
		Luxembourg — 0.0%
		Corporate Debt — 0.0%
	750,000	Coveris Holdings SA, 144A, 7.88%, due 11/01/19		725,625
		Puerto Rico — 0.3%
		Municipal Obligations — 0.3%
	14,697,940	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/44		11,905,331

Par Value†		Description	Value ($)
		Puerto Rico — continued
		Municipal Obligations — continued
	26,571,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/47		21,389,655
		Total Municipal Obligations		33,294,986
		Total Puerto Rico		33,294,986
		Spain — 0.2%
		Bank Loans — 0.2%
	10,938,220	Abengoa S.A., NM Term Loan A, 7.00%, due 03/31/21 (d)		11,594,513
	3,739,807	Abengoa S.A., Term Loan Escrow, 14.00%, due 03/31/21 (d)		3,758,507
		Total Bank Loans		15,353,020
		Corporate Debt — 0.0%
	631,262	ABG Orphan Holdco Sarl, 144A, 14.00%, due 02/28/21		634,419
	1,869,935	ABG Orphan Holdco Sarl, 144A, 14.00%, due 02/28/21		1,982,130
		Total Corporate Debt		2,616,549
		Total Spain		17,969,569
		United Kingdom — 0.1%
		Corporate Debt — 0.1%
	250,000	Algeco Scotsman Global Finance Plc, 144A, 8.50%, due 10/15/18		240,000
	2,750,000	Anglo American Capital Plc, 144A, 4.88%, due 05/14/25		2,907,575
	2,000,000	Avon Products, Inc., 7.00%, due 03/15/23		1,780,000
	500,000	Jaguar Land Rover Automotive Plc, 144A, 4.13%, due 12/15/18		507,500
	500,000	Petrofac Ltd, 144A, 3.40%, due 10/10/18		493,440
	750,000	Royal Bank of Scotland Group Plc, 5.13%, due 05/28/24		791,120
	1,000,000	Virgin Media Secured Finance Plc, 144A, 5.25%, due 01/15/26		1,042,500
		Total Corporate Debt		7,762,135
		Total United Kingdom		7,762,135
		United States — 33.7%
		Asset-Backed Securities — 3.3%
	2,293,773	AccessLex Institute, Series 05-2, Class A3, Variable Rate, 3 mo. LIBOR + 0.18%, 1.49%, due 11/22/24		2,293,772
	8,596,413	Acis CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.87%, 2.17%, due 04/18/24		8,602,276
	2,184,065	AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.26%, due 07/24/29		2,183,720
	3,310,940	AMMC CLO XIV Ltd., Series 14-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.26%, due 07/25/29		3,310,377

56 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, 2017 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	696,852	Anchorage Capital CLO 6 Ltd., Series 15-6A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.20%, due 07/15/30		696,846
	3,874,000	Anchorage Capital CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.19%, 2.49%, due 07/13/25		3,874,442
	4,836,141	Apidos CLO X, Series 12-10A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.42%, 2.73%, due 10/30/22		4,837,775
	5,362,210	Apidos CLO XII, Series 13-12A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.40%, due 04/15/25		5,368,162
	13,542,283	ARES XXVI CLO Ltd., Series 13-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.40%, due 04/15/25		13,549,772
	10,745,068	Atrium X, Series ATRM-10A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + .95%, 2.25%, due 07/16/25		10,746,594
	3,589,188	Babson CLO Ltd., Series 13-IA, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.41%, due 04/20/25		3,593,660
	1,414,550	Bain Capital Credit CLO, Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.11%, due 07/20/30		1,414,523
	6,939,700	Ballyrock CLO LLC, Series 13-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.18%, 2.50%, due 05/20/25		6,955,405
	1,471,132	Benefit Street Partners CLO III Ltd., Series 13-IIIA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 2.16%, due 07/20/29		1,470,951
	745,000	Black Diamond CLO Ltd., Series 17-IA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.19%, due 04/24/29		744,983
	8,776,100	BlueMountain CLO Ltd., Series 13-2A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.20%, 2.51%, due 01/22/25		8,776,021
	4,050,080	BlueMountain CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.89%, 2.20%, due 10/29/25		4,050,052
	1,364,701	Brentwood CLO Corp., Series 06-1A, Class A2, 144A, Variable Rate, 3 mo. LIBOR + .38%, 1.69%, due 02/01/22		1,363,875
	16,972,904	Brookside Mill CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.45%, due 04/17/25		17,010,126
	1,415,500	Carlyle US CLO Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + .80%, 2.13%, due 07/20/31		1,416,086
	884,686	Catamaran CLO Ltd., Series 12-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.19%, 2.46%, due 12/20/23		887,420
	2,829,100	CBAM Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.13%, due 07/20/30		2,829,007

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	532,979	Cent CLO, Series 12-16A, Class A1AR, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 2.56%, due 08/01/24		533,165
	3,061,055	Cent CLO, Series 13-17A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.30%, 2.61%, due 01/30/25		3,062,775
	1,668,800	CIFC Funding III Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.12%, due 07/20/30		1,668,758
	3,814,818	CIFC Funding IV Ltd., Series 17-4A, Class X, 144A, Variable Rate, 2.13% due 10/24/30		3,814,818
	2,387,068	CIFC Funding Ltd., Series 12-3A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.20%, 2.51%, due 01/29/25		2,387,044
	1,559,761	Crown Point CLO Ltd., Series 12-1A, Class A1LA, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.07%, due 11/21/22		1,556,359
	1,131,640	Dryden XXVIII Senior Loan Fund, Series 13-28A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.07%, due 08/15/30		1,131,635
	844,451	Eastland CLO Ltd., Series 07-1A, Class A3, 144A, Variable Rate, 3 mo. LIBOR + .40%, 1.71%, due 05/01/22		842,595
	14,348,228	Fortress Credit BSL Ltd., Series 13-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.18%, 2.49%, due 01/19/25		14,367,785
	1,936,588	Galaxy XV CLO Ltd., Series 13-15A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 2.55%, due 04/15/25		1,937,186
	196,682	Gallatin CLO VII Ltd., Series 14-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.27%, 2.57%, due 07/15/23		196,708
	588,925	GoldenTree Loan Opportunities VII Ltd., Series 13-7A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.46%, due 04/25/25		588,919
	146,400	Grayson CLO Ltd., Series 06-1A, Class A1B, 144A, Variable Rate, 3 mo. LIBOR + 0.36%, 1.67%, due 11/01/21		146,239
	1,131,640	Highbridge Loan Management, Series 3A-2014, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.10%, due 07/18/29		1,131,510
	5,736,973	Higher Education Funding I, Series 05-1, Class A4, Variable Rate, 3 mo. LIBOR + 0.14%, 1.46%, due 02/25/30		5,735,510
	10,132,000	Higher Education Funding I, Series 05-1, Class A5, Variable Rate, 3 mo. LIBOR + .16%, 1.48%, due 02/25/32		10,099,471
	2,263,280	Jamestown CLO X Ltd., Series 17-10A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.37%, due 07/17/29		2,263,067

See accompanying notes to the financial statements. 57

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	2,065,019	KeyCorp Student Loan Trust, Series 06-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.31%, 1.60%, due 09/27/35		2,062,466
	3,008,789	KeyCorp Student Loan Trust, Series 05-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.34%, 1.63%, due 06/27/38		3,007,634
	3,133,883	KeyCorp Student Loan Trust, Series 04-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.53%, 1.85%, due 01/27/42		3,134,366
	1,786,800	KKR CLO Ltd., 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.25%, due 07/15/30		1,786,891
	1,042,300	KKR CLO Ltd., 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.32%, due 07/18/30		1,042,293
	5,847,814	KKR CLO Trust, Series 12-1A, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 1.43%, 1.74%, due 12/15/24		5,851,411
	1,608,120	LCM XXV Ltd., 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.26%, due 07/20/30		1,608,107
	9,613,959	Montana Higher Education Student Assistance Corp., Series 05-1, Class B, Variable Rate, 3 mo. LIBOR + 0.12%, 1.39%, due 06/20/30		9,570,984
	1,119,790	Mountain View CLO Ltd., Series 13-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.16%, 2.46%, due 04/12/24		1,119,782
	10,532,506	MP CLO III Ltd., Series 13-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.18%, 2.49%, due 04/20/25		10,546,630
	9,185,638	National Collegiate Student Loan Trust, Series 06-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.25%, 1.48%, due 03/27/28		9,151,295
	4,374,188	National Collegiate Student Loan Trust, Series 07-2, Class A2, Variable Rate, 1 mo. LIBOR + 0.13%, 1.36%, due 06/26/28		4,370,088
	17,880,000	National Collegiate Student Loan Trust, Series 07-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.23%, 1.46%, due 03/26/29		17,620,291
	6,871,161	National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate, 1 mo. LIBOR + 0.24%, 1.47%, due 07/25/30		6,798,030
	7,152,000	Neuberger Berman CLO XV, Series 13-15A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.40%, 2.70%, due 10/15/25		7,159,524
	2,027,890	Neuberger Berman CLO XVII Ltd., Series 14-17A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.31%, due 04/22/29		2,027,872
	1,910,767	Newcastle CDO V Ltd., Series 04-5A, Class 3, 144A, Variable Rate, 3 mo. LIBOR + .90%, 2.20%, due 12/24/39		1,901,056

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	8,940,000	NewMark Capital Funding CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.94%, 2.15%, due 06/02/25		8,922,147
	4,768,000	NewMark Capital Funding CLO Ltd., Series 13-1A, Class A2, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.33%, due 06/02/25		4,771,414
	1,611,486	Nomad CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.20%, 2.50%, due 01/15/25		1,613,107
	670,500	Oaktree CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + .90%, 2.21%, due 05/13/29		670,514
	1,585,360	Octagon Investment Partners XII Ltd., Series 12-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + .88%, 2.18%, due 07/15/19		1,585,184
	944,026	Octagon Investment Partners XV Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.11%, due 07/19/30		943,876
	4,663,725	OFSI Fund V Ltd., Series 13-5A, Class A1LA, 144A, Variable Rate, 3 mo. LIBOR + 0.93%, 2.23%, due 04/17/25		4,653,101
	848,730	OFSI Fund V Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 2.16%, due 08/16/29		848,723
	1,685,740	OHA Credit Partners VIII Ltd., Series 13-8A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.43%, due 04/20/25		1,686,237
	2,489,608	OZLM Funding Ltd., Series 13-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 1.00%, due 10/22/30		2,489,608
	1,441,352	OZLM XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.06%, due 10/30/30		1,441,502
	7,219,681	Palmer Square CLO Ltd., Series 13-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + .97%, 2.29%, due 05/15/25		7,233,789
	16,649,524	SLM Private Credit Student Loan Trust, Series 07-A, Class A3, Variable Rate, 3 mo. LIBOR + .17%, 1.42%, due 12/15/26		16,607,392
	2,532,855	SLM Private Education Loan Trust, Series 14-A, Class A2B, 144A, Variable Rate, 1 mo. LIBOR + 1.15%, 2.38%, due 01/15/26		2,552,179
	640,396	SLM Private Education Loan Trust, Series 11-A, Class A2, 144A, 4.37%, due 04/17/28		651,543
	8,906,330	SLM Private Education Loan Trust, Series 10-A, Class 2A, 144A, Variable Rate, 1 mo. LIBOR + 3.25%, 4.48%, due 05/16/44		9,223,445
	2,478,804	SLM Private Education Loan Trust, Series 12-C, Class A2, 144A, 3.31%, due 10/15/46		2,494,648

58 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, 2017 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	14,113,133	SLM Student Loan Trust, Series 07-6, Class A4, Variable Rate, 3 mo. LIBOR + .38%, 1.69%, due 10/25/24		14,134,783
	5,691,400	SLM Student Loan Trust, Series 07-1, Class A5, Variable Rate, 3 mo. LIBOR + .09%, 1.40%, due 01/26/26		5,681,155
	1,248,403	SMB Private Education Loan Trust, Series 16-B, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.65%, 1.88%, due 11/15/23		1,250,062
	7,023,408	SMB Private Education Loan Trust, Series 17-A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.45%, 1.68%, due 06/17/24		7,034,055
	1,210,970	South Carolina Student Loan Corp., Series 08-1, Class A3, Variable Rate, 3 mo. LIBOR + 0.75%, 1.95%, due 03/02/20		1,211,515
	2,333,774	South Carolina Student Loan Corp., Series 2005, Class A3, Variable Rate, 3 mo. LIBOR + .14%, 1.34%, due 12/01/23		2,332,327
	4,415,649	Symphony CLO V Ltd., Series 07-5A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.05%, due 01/15/24		4,420,392
	318,627	Symphony CLO VIII LP, Series 12-8A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.40%, due 01/09/23		318,815
	1,608,120	TCI-Symphony CLO Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.07%, due 07/15/30		1,608,102
	1,131,640	Telos CLO, Series 13-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.27%, due 07/17/26		1,131,625
	5,960,000	Telos CLO Ltd., Series 13-4A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.30%, 2.60%, due 07/17/24		5,966,407
	566,200	THL Credit Wind River CLO Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + .90%, 2.21%, due 07/20/30		566,176
	1,910,180	Tryon Park CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.42%, due 07/15/25		1,914,079
	1,414,550	Venture XXIX CLO Ltd., Series 17-29A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.32% due 09/07/30		1,414,550
	1,697,460	Voya CLO Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.12%, due 07/20/30		1,697,418
	3,611,648	Wasatch Ltd., Series 06-1A, Class A1B, 144A, Variable Rate, 3 mo. LIBOR + 0.24%, 1.55%, due 11/14/22		3,594,774
	11,726,081	West CLO Ltd., Series 12-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.24%, 2.55%, due 10/30/23		11,725,964
	742,856	WhiteHorse VI Ltd., Series 12-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.20%, 2.51%, due 02/03/25		742,849

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	866,994	Ziggurat CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.20%, due 04/17/29		867,030
		Total Asset-Backed Securities		382,198,596
		Bank Loans — 0.4%
	41,554,582	Sears Roebuck Acceptance Corp., Term Loan, 5.80%, due 06/30/18 (a) (d)		41,069,640
		Corporate Debt — 0.8%
	750,000	ADT Corp. (The), 144A, 4.88%, due 07/15/32		697,500
	1,500,000	Allegheny Technologies, Inc., 5.95%, due 01/15/21		1,526,250
	500,000	Ally Financial, Inc., 8.00%, due 11/01/31		642,500
	642,000	APX Group, Inc., 6.38%, due 12/01/19		656,349
	1,250,000	Arconic, Inc., 6.15%, due 08/15/20		1,367,812
	750,000	Arconic, Inc., 6.75%, due 01/15/28		855,000
	500,000	Boxer Parent Co., Inc., 144A, 9.00%, due 10/15/19		500,000
	1,500,000	CCO Holdings LLC / CCO Holdings Capital Corp., 5.25%, due 09/30/22		1,545,000
	1,500,000	CenturyLink, Inc., 5.80%, due 03/15/22 (a)		1,490,625
	1,000,000	Cenveo Corp., 144A, 6.00%, due 08/01/19		822,500
	750,000	CF Industries, Inc., 4.95%, due 06/01/43		650,625
	1,250,000	Cheniere Corpus Christi Holdings LLC, 144A, 5.13%, due 06/30/27		1,293,750
	1,000,000	CHS/Community Health Systems, Inc., 8.00%, due 11/15/19		991,250
	750,000	Cleaver-Brooks, Inc., 144A, 8.75%, due 12/15/19		770,625
	750,000	CommScope Technologies LLC, 144A, 5.00%, due 03/15/27		747,412
	750,000	Continental Resources, Inc., 5.00%, due 09/15/22		753,750
	500,000	CSC Holdings LLC, 8.63%, due 02/15/19		546,250
	1,500,000	DCP Midstream Operating LP, 144A, 6.75%, due 09/15/37		1,590,000
	350,000	DJO Finance LLC / DJO Finance Corp., 10.75%, due 04/15/20		304,500
	1,250,000	Downstream Development Authority of the Quapaw Tribe of Oklahoma, 144A, 10.50%, due 07/01/19		1,221,875
	250,000	DuPont Fabros Technology LP, REIT, 5.88%, due 09/15/21		258,293
	1,000,000	Embarq Corp., 8.00%, due 06/01/36		1,015,000
	2,750,000	EMC Corp., 3.38%, due 06/01/23		2,655,093
	1,250,000	Ensco Plc, 5.20%, due 03/15/25		931,250
	1,250,000	Ensco Plc, 5.75%, due 10/01/44		803,125
	750,000	EP Energy LLC / Everest Acquisition Finance, Inc., 9.38%, due 05/01/20		552,188
	500,000	Equinix, Inc., REIT, 5.75%, due 01/01/25		537,500

See accompanying notes to the financial statements. 59

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	1,250,000	Freeport-McMoRan, Inc., 3.88%, due 03/15/23		1,237,500
	20,928,000	Fresh Market, Inc. (The), 144A, 9.75%, due 05/01/23		15,852,960
	250,000	GenOn Energy, Inc., 9.50%, due 10/15/18 (e)		172,500
	1,250,000	Genworth Holdings, Inc., 7.70%, due 06/15/20		1,250,000
	750,000	Gibson Brands, Inc., 144A, 8.88%, due 08/01/18		579,375
	750,000	HCA, Inc., 4.50%, due 02/15/27		762,187
	1,250,000	Hexion, Inc., 6.63%, due 04/15/20		1,137,500
	12,996,500	iHeartCommunications, Inc., 9.00%, due 03/01/21		9,454,954
	14,473,800	iHeartCommunications, Inc., 9.00%, due 09/15/22		10,493,505
	250,000	Kindred Healthcare, Inc., 8.00%, due 01/15/20		248,125
	500,000	L Brands, Inc., 8.50%, due 06/15/19		548,750
	750,000	Level 3 Financing, Inc., 5.63%, due 02/01/23		772,500
	1,000,000	Levi Strauss & Co., 5.00%, due 05/01/25		1,045,000
	1,000,000	Lexmark International, Inc., 6.38%, due 03/15/20		1,044,182
	1,000,000	LifePoint Health, Inc., 5.88%, due 12/01/23		1,053,440
	500,000	Mallinckrodt International Finance SA / Mallinckrodt CB LLC, 144A, 4.88%, due 04/15/20		496,250
	750,000	McClatchy Co. (The), 6.88%, due 03/15/29		592,500
	250,000	MHGE Parent LLC / MHGE Parent Finance, Inc., 144A, 8.50%, due 08/01/19 (f)		250,000
	500,000	Michael Baker International LLC / CDL Acquisition Co., Inc., 144A, 8.25%, due 10/15/18		500,000
	1,000,000	Murphy Oil Corp., 4.70%, due 12/01/22		983,700
	1,250,000	Navient Corp., 5.50%, due 01/25/23		1,262,500
	1,000,000	Noble Holding US LLC/Noble Drilling Services 6 LLC / Noble Drilling Holding LLC, 7.50%, due 03/15/19		1,020,000
	750,000	Nuance Communications, Inc., 144A, 5.38%, due 08/15/20		761,250
	750,000	Real Alloy Holding, Inc., 144A, 10.00%, due 01/15/19		720,000
	250,000	Sirius XM Radio, Inc., 144A, 5.00%, due 08/01/27		256,875
	250,000	Spectrum Brands, Inc., 5.75%, due 07/15/25		265,938
	1,000,000	Springleaf Finance Corp., 5.25%, due 12/15/19		1,037,500
	750,000	Sprint Capital Corp., 6.90%, due 05/01/19		802,575
	2,250,000	Sprint Capital Corp., 8.75%, due 03/15/32		2,790,000
	1,000,000	Standard Industries, Inc., 144A, 5.38%, due 11/15/24		1,045,000

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	500,000	Steel Dynamics, Inc., 5.25%, due 04/15/23		517,500
	1,500,000	Talen Energy Supply LLC, 4.60%, due 12/15/21		1,222,500
	500,000	Tenet Healthcare Corp., 5.50%, due 03/01/19		515,000
	1,250,000	Transocean, Inc., 6.80%, due 03/15/38 (f)		956,250
	500,000	Ultra Resources, Inc., 144A, 6.88%, due 04/15/22		491,875
	250,000	Viacom, Inc., Variable Rate, 3 mo. LIBOR + 3.89%, 5.88%, due 02/28/57		250,000
	250,000	Wave Holdco LLC / Wave Holdco Corp., 144A, 8.25%, due 07/15/19		251,250
	2,000,000	Williams Cos., Inc. (The), 8.75%, due 03/15/32		2,560,000
	1,500,000	Yum! Brands, Inc., 5.35%, due 11/01/43		1,406,235
		Total Corporate Debt		92,333,198
		Mortgage Backed Securities — 0.2%
	1,150,280	COMM Mortgage Trust, Series 04-LB2A, Class H, 144A, Variable Rate, 6.27%, due 03/10/39		1,207,247
	2,980,000	GS Mortgage Securities Corp., Series 13-NYC5, Class A, 144A, 2.32%, due 01/10/30		2,984,570
	1,307,046	GS Mortgage Securities Trust, Series 10-C1, Class A1, 144A, 3.68%, due 08/10/43		1,335,426
	3,187,060	JP Morgan Chase Commercial Mortgage Securities Trust, Series 14-CBM, Class A, 144A, Variable Rate, 1 mo. LIBOR + .90%, 2.13%, due 10/15/29		3,187,057
	9,097,599	JP Morgan Chase Commercial Mortgage Securities Trust, Series 14-FL6, Class A, 144A, Variable Rate, 1 mo. LIBOR + 1.40%, 2.63%, due 11/15/31		9,123,006
	2,543,179	JPMBB Commercial Mortgage Securities Trust, Series 14-C25, Class A1, 1.52%, due 11/15/47		2,540,459
	2,320,732	LB-UBS Commercial Mortgage Trust, Series 06-C1, Class AJ, Variable Rate, 5.28%, due 02/15/41		2,322,098
	1,204,735	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 1.48%, due 02/25/30		1,175,520
	751,402	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 1.48%, due 09/25/30		744,333
	593,978	Nationslink Funding Corp. Commercial Loan Pass Through Certificate, Series 99-LTL1, Class D, 144A, 6.45%, due 01/22/26		617,922
		Total Mortgage Backed Securities		25,237,638

60 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, 2017 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		U.S. Government Agency — 0.8%
	28,000,000	Federal Home Loan Bank Discount Notes, Variable Rate, 3 mo. LIBOR – .22%, 1.09%, due 11/09/18		27,987,525
	64,000,000	Federal Home Loan Bank Discount Notes, Variable Rate, 3 mo. LIBOR – .22%, 1.09%, due 02/01/19		63,949,860
				91,937,385
		U.S. Government — 28.0%
	131,476,015	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/25 (g)		132,588,728
	379,925,670	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (g)		388,665,180
	274,174,109	U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/26 (g)		269,321,109
	402,665,229	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (g)		402,186,142
	185,409,966	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/27 (g)		185,759,065
	95,450,444	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (g)		108,115,383
	35,000,000	U.S. Treasury Note, 0.75%, due 08/31/18		34,830,469
	165,000,000	U.S. Treasury Note, 1.25%, due 03/31/19		164,838,868
	62,000,000	U.S. Treasury Note, 1.09%, due 04/30/19		62,023,171
	370,000,000	U.S. Treasury Note, 1.25%, due 04/30/19 (h)		369,638,673
	285,000,000	U.S. Treasury Note, 1.25%, due 05/31/19		284,677,149
	265,000,000	U.S. Treasury Note, 1.25%, due 06/30/19		264,668,750
	25,000,000	U.S. Treasury Note, 1.63%, due 06/30/19		25,133,789
	205,000,000	U.S. Treasury Note, 1.38%, due 07/31/19		205,192,188
	325,000,000	U.S. Treasury Note, 1.25%, due 08/31/19		324,479,493
		Total U.S. Government		3,222,118,157
		U.S. Government Agency — 0.2%
	718,533	Government National Mortgage Association, Series 12-H15, Class FA, Variable Rate, 1 mo. LIBOR + 0.45%, 1.67%, due 05/20/62		719,391
	10,093,709	Government National Mortgage Association, Series 17-12H, Class FE, Variable Rate, 1 mo. LIBOR + .20%, 1.42%, due 06/20/66		10,081,771
	4,439,513	Government National Mortgage Association, Series 17-H05, Class FJ, Variable Rate, 1 mo. LIBOR + 0.27%, 1.49%, due 01/20/67		4,438,023
	6,238,108	Government National Mortgage Association, Series 17-H13, Class FJ, Variable Rate, 1 mo. LIBOR + 0.20%, 1.42%, due 05/20/67		6,238,177
		Total U.S. Government Agency		21,477,362
		Total United States		3,876,371,976
		TOTAL DEBT OBLIGATIONS (COST $4,192,053,746)		4,210,712,161

Par Value†		Description	Value ($)
		MUTUAL FUNDS — 1.6%
		United States — 1.6%
	2,792,947	Altaba, Inc. (a)		178,972,044
		TOTAL MUTUAL FUNDS (COST $148,824,717)		178,972,044
		SHORT-TERM INVESTMENTS — 7.3%
		Money Market Funds — 0.1%
	15,444,168	State Street Institutional Treasury Money Market Fund-Premier Class, 0.90% (i)		15,444,168
		Repurchase Agreements — 5.4%
	315,137,681	Daiwa Capital Markets America Inc. Repurchase Agreement, dated 08/31/17, maturing on 09/01/17 with a maturity value of $315,147,486 and an effective yield of 1.12%, collateralized by a U.S. Treasury Note with maturity date 01/31/23 and a market value of $321,883,496.		315,137,681
	299,999,825	Nomura Securities International Inc. Repurchase Agreement, dated 08/31/17, maturing on 09/01/17 with a maturity value of $300,008,991 and an effective yield of 1.10%, collateralized by a U.S. Treasury Note with maturity date 11/15/24 and a market value of $306,600,985.		299,999,825
		TOTAL REPURCHASE AGREEMENTS (COST $615,137,506)		615,137,506
		U.S. Government Agency — 0.5%
	8,000,000	Federal Home Loan Bank Discount Notes, due 09/22/17		7,995,336
	1,500,000	Federal Home Loan Bank Discount Notes, due 10/11/17		1,498,317
	8,000,000	Federal Home Loan Bank Discount Notes, due 11/10/17		7,984,136
	28,000,000	Federal Home Loan Bank Discount Notes, Variable Rate, 1 mo. LIBOR – .16%, 1.07%, due 02/08/18		27,997,890
	20,000,000	Federal Home Loan Bank Discount Notes, due 02/23/18		19,892,080
		Total U.S. Government Agency		65,367,759
		U.S. Government — 1.3%
	50,100,000	U.S. Treasury Bill, 0.99%, due 11/02/17 (j) (k)		50,014,148
	61,250,000	U.S. Treasury Note, 1.00%, due 12/15/17		61,232,073
	35,000,000	U.S. Treasury Note, 0.75%, due 03/31/18		34,912,500
		Total U.S. Government		146,158,721
		TOTAL SHORT-TERM INVESTMENTS (COST $842,133,872)		842,108,154

See accompanying notes to the financial statements. 61

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

PURCHASED OPTIONS — 0.1%

Description	Counterparty	Exercise Price		Expiration Date		Principal Amount		Notional Amount		Value ($)
Currency Options — Puts — 0.0%
USD Call/CHF	JPM		1.01		10/06/17	USD	40,280,000	USD	40,280,000	17,763

Description	Counterparty	Exercise Price		Expiration Date		Number of Contracts		Notional Amount		Value ($)
Equity Options — Puts — 0.1%
Charter Communications, Inc. (a)	N/A		310.00		09/15/17		200	USD	7,970,800	1,000
Altaba Inc. (a)	N/A		49.00		10/20/17		1,400	USD	8,971,200	5,600
Baker Hughes a GE Co. (a)	N/A		52.50		10/20/17		1,300	USD	4,407,000	234,000
BIOGEN, Inc. (a)	N/A		250.00		10/20/17		300	USD	9,496,800	13,500
QUALCOMM, Inc. (a)	N/A		52.50		10/20/17		1,400	USD	7,317,800	225,400
Colgate-Palmolive Co. (a)	N/A		70.00		11/17/17		1,000	USD	7,164,000	159,000
Marvell Technology Group Ltd. (a)	N/A		17.00		11/17/17		4,100	USD	7,343,100	254,200
T-Mobile US, Inc. (a)	N/A		60.00		11/17/17		1,000	USD	6,471,000	112,000
Unilever NV (a)	N/A		55.00		11/17/17		1,200	USD	7,140,000	48,000
Williams Cos., Inc. (The) (a)	N/A		30.00		11/17/17		1,000	USD	2,973,000	137,000
DISH Network Corp. (a)	N/A		62.50		12/15/17		1,100	USD	6,301,900	737,000
Mondelez International, Inc. (a)	N/A		43.00		12/15/17		1,600	USD	6,505,600	528,000
Twitter, Inc. (a)	N/A		15.00		12/15/17		2,000	USD	3,382,000	128,000
Walt Disney Co. (The) (a)	N/A		100.00		12/15/17		700	USD	7,084,000	247,100
AT&T, Inc. (a)	N/A		38.00		01/19/18		4,411	USD	16,523,606	979,242
CenturyLink, Inc. (a)	N/A		20.00		01/19/18		15,120	USD	29,816,640	3,311,280
Discovery Communications, Inc. (a)	N/A		22.50		01/19/18		345	USD	766,245	58,650
Discovery Communications, Inc. (a)	N/A		25.00		01/19/18		1,234	USD	2,740,714	394,880
Sears Holdings Corp.	N/A		5.00		06/15/18		9,813	USD	17,575,083	1,570,080
Sears Holdings Corp. (a)	N/A		10.00		06/15/18		1,964	USD	1,612,444	972,180
Sears Holdings Corp. (a)	N/A		8.00		06/15/18		9,934	USD	8,155,814	3,476,900
Total Equity Options — Puts										13,593,012
Equity Options — Calls — 0.0%
Alibaba Group Holding Ltd (a)	N/A		170.00		01/19/18		658	USD	11,300,492	960,022

TOTAL PURCHASED OPTIONS (COST $17,623,926)	14,570,797
TOTAL INVESTMENTS — 99.0% (Cost $10,694,629,523)	11,391,781,750

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (3.8)%
			Common Stocks — (3.7)%
			China — (1.6)%
	(1,053,326	)	Alibaba Group Holding Ltd. Sponsored ADR * (a)		(180,898,207	)
			France — (0.1)%
	(73,413	)	LVMH Moet Hennessy Louis Vuitton SE		(19,283,375	)
			Japan — (0.2)%
	(5,179,284	)	Yahoo Japan Corp		(23,777,763	)

Shares			Description	Value ($)
			Switzerland — (0.3)%
	(1,312,420	)	Clariant AG *		(31,709,458	)
			United Kingdom — (0.1)%
	(6,456,899	)	Tesco Plc *		(15,087,019	)
			United States — (1.4)%
	(217,612	)	Akorn, Inc. *		(7,159,435	)
	(220,093	)	AT&T, Inc. (a)		(8,244,684	)
	(45,357	)	Becton Dickinson and Co.		(9,046,000	)
	(574,161	)	Brocade Communications Systems, Inc.		(7,108,113	)
	(35,773	)	Discovery Communications, Inc. * (a)		(751,591	)

62 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, 2017 (Unaudited)

Shares			Description	Value ($)
			United States — continued
	(292,900	)	EQT Corp.		(18,259,386	)
	(201,063	)	First Horizon National Corp.		(3,460,294	)
	(202,859	)	Knight Transportation, Inc.		(7,921,644	)
	(1,568	)	Liberty Interactive Corp. QVC Group *		(34,684	)
	(101,803	)	Praxair, Inc.		(13,391,167	)
	(126,608	)	Sinclair Broadcast Group, Inc. – Class A		(3,829,892	)
	(6,278,014	)	Sirius XM Holdings, Inc.		(36,098,581	)
	(749,714	)	Sprint Corp. *		(6,185,141	)
	(265,136	)	Vantiv Inc – Class A *		(18,742,464	)
	(156,844	)	VCA, Inc. *		(14,580,218	)
	(71,394	)	WGL Holdings, Inc.		(6,015,657	)
			Total United States		(160,828,951	)
			TOTAL COMMON STOCKS (PROCEEDS $368,288,012)		(431,584,773	)

Shares			Description	Value ($)
			EXCHANGE-TRADED FUNDS — (0.1)%
			Mutual Funds — (0.1)%
			United States — (0.1)%
	(82,100	)	Vanguard Industrials ETF		(10,564,628	)
			TOTAL EXCHANGE-TRADED FUNDS (PROCEEDS $10,085,298)		(10,564,628	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $378,373,310)		(442,149,401	)
			Other Assets and Liabilities (net) — 4.8%		563,120,944
			TOTAL NET ASSETS — 100.0%		$11,512,753,293

A summary of outstanding financial instruments at August 31, 2017 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
12/05/2017	MSCI		BRL	9,393,855		USD	2,940,460	$	(4,691	)
11/14/2017	GS		CAD	8,992,000		USD	7,089,305		(116,605	)
09/11/2017	BOA		CHF	89,284,480		USD	92,974,644		(166,825	)
10/20/2017	GS		EUR	9,730,130		USD	11,561,832		(49,261	)
10/20/2017	JPM		EUR	22,714,180		USD	26,430,697		(674,436	)
10/20/2017	MSCI		EUR	141,040		USD	163,293		(5,012	)
11/07/2017	GS		EUR	193,938,000		USD	212,934,227		(18,709,848	)
12/22/2017	JPM		EUR	55,095,000		USD	60,857,937		(5,111,438	)
10/20/2017	DB		GBP	15,264,779		USD	19,949,921		180,887
10/20/2017	GS		GBP	6,398,267		USD	8,301,126		14,890
10/20/2017	JPM		GBP	1,191,648		USD	1,548,482		5,208
10/20/2017	MSCI		GBP	1,021,165		USD	1,335,754		13,269
09/13/2017	JPM		HKD	76,009,500		USD	9,769,607		54,650
09/15/2017	DB		JPY	3,571,624,949		USD	32,615,703		113,164
09/25/2017	JPM		JPY	1,675,000,000		USD	14,982,809		(267,598	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/02/2017	MSCI		JPY	5,100,000,000		USD	45,183,149	$	(1,267,041	)
10/23/2017	BCLY		JPY	3,337,000,000		USD	30,138,273		(283,562	)
11/06/2017	JPM		JPY	9,750,000,000		USD	88,653,772		(287,661	)
11/13/2017	BCLY		JPY	1,700,000,000		USD	15,563,692		50,907
11/20/2017	GS		JPY	2,040,000,000		USD	18,583,381		(38,023	)
09/15/2017	BCLY		KRW	580,388,424,000		USD	517,020,810		793,044
09/11/2017	BOA		USD	8,557,791		CHF	8,218,132		15,355
09/13/2017	SSB		USD	9,725,829		HKD	76,009,500		(10,871	)
09/15/2017	BCLY		USD	517,744,517		KRW	580,388,424,000		(1,516,752	)
10/20/2017	MSCI		USD	164,693		EUR	141,040		3,612
11/07/2017	GS		USD	214,049,371		EUR	193,938,000		17,594,705
12/22/2017	JPM		USD	61,316,438		EUR	55,095,000		4,652,937
								$	(5,016,996	)

Reverse Repurchase Agreements ^(l)

Face Value		Description	Value ($)
USD	182,840	Barclays Bank plc, (1.00%), dated 02/13/17, (collateral: MHGE Parent LLC/MHGE Parent Finance, Inc., 144A, 8.50%, due 08/01/19), to be repurchased on demand at face value plus accrued interest.		(182,840	)
USD	956,151	Barclays Bank plc, (1.50%), dated 08/01/17, (collateral: Transocean, Inc., 6.80%, due 03/15/38), to be repurchased on demand at face value plus accrued interest.		(956,151	)
			$	(1,138,991	)
		Average balance outstanding	$	(58,871,282	)
		Average interest rate		(0.85	)%
		Maximum balance outstanding	$	(350,686,829	)

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

See accompanying notes to the financial statements. 63

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2017 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Value and Net Unrealized Appreciation (Depreciation)
Buys
1,900	Mini MSCI Emerging Markets	September 2017	$	103,189,000	$	2,693,099
117	U.S. Treasury Note 10 Yr. (CBT)	December 2017		14,857,172		28,159
44	U.S. Treasury Note 2 Yr. (CBT)	December 2017		9,517,750		1,324

Number of Contracts +	Type	Expiration Date	Notional Amount		Value and Net Unrealized Appreciation (Depreciation)
329	U.S. Treasury Note 5 Yr. (CBT)	December 2017	$	38,986,500	$	28,841
			$	166,550,422	$	2,751,423
Sales
56	U.S. Long Bond (CBT)	December 2017	$	8,741,250	$	(33,338	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Written Options

Equity Options

Description	Counterparty	Exercise Price		Expiration Date		Number of Contracts			Notional Amount		Value ($)
Equity Options — Calls
Pinnacle Foods, Inc. (a)	N/A		65.00		12/15/2017		Call	1,250	$	7,413,750	$	(200,000	)
Monsanto Co. (a)	N/A		110.00		10/20/2017		Call	1,325		15,529,000		(1,021,575	)
NXP Semiconductors NV (a)	N/A		110.00		12/15/2017		Call	1,302		14,707,392		(690,060	)
NXP Semiconductors NV (a)	N/A		115.00		12/15/2017		Call	2,502		28,262,592		(487,890	)
Total Written Equity — Calls												(2,399,525	)
Equity Options — Puts
Pinnacle Foods, Inc. (a)	N/A		60.00		12/15/2017		Put	1,250		7,413,750		(525,000	)
Total Written Equity — Puts												(525,000	)
TOTAL WRITTEN EQUITY OPTIONS (Premiums $2,554,622)											$	(2,924,525	)

Description

Counterparty

Exercise Rate

Expiration Date

Principal Amount

Floating Rate Index

Pay/Receive Floating Rate

Notional Amount

Value ($)

Written Options on Credit Default Swaps — Puts

CDX-NAHYS28V1- 5Y

CSI

105.00%

11/15/17

USD

25,000,000

Fixed Spread

Pay

USD

25,000,000

$

(135,648

)

CDX-NAHYS28V1- 5Y

JPM

105.00%

11/15/17

USD

25,000,000

Fixed Spread

Pay

USD

25,000,000

(143,125

)

TOTAL WRITTEN OPTIONS ON CREDIT DEFAULT SWAPS — PUTS (Premiums $405,625)

$(278,773)

64 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2017 (Unaudited)

Swap Contracts

Credit Default Swaps

Reference Entity	Counter- party	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received)			Value ($)			Net Unrealized Appreciation/ (Depreciation)
Buy Protection^:
Sears Roebuck Acceptance Corp.	BCLY	USD	5,600,000		5.00%		24.46%		N/A		12/20/2017		Quarterly	$	784,000		$	317,844		$	(466,156	)
Sears Roebuck Acceptance Corp.	GS	USD	6,000,000		0.00%		35.27%		N/A		12/20/2018		Quarterly		—			(357,471	)		(357,471	)
Sears Roebuck Acceptance Corp.	GS	USD	17,458,000		5.00%		35.27%		N/A		12/20/2018		Quarterly		4,459,624			5,017,917			558,293
Sears Roebuck Acceptance Corp.	MSCI	USD	3,000,000		0.00%		4.35%		N/A		06/20/2021		Quarterly		—			(283,035	)		(283,035	)
Sears Roebuck Acceptance Corp.	MSCI	USD	3,000,000		0.00%		4.03%		N/A		12/20/2021		Quarterly		—			(291,507	)		(291,507	)
MetLife, Inc.	JPM	USD	27,255,000		1.00%		0.64%		N/A		06/20/2022		Quarterly		(199,170	)		(449,789	)		(250,619	)
MetLife, Inc.	JPM	USD	15,135,000		1.00%		0.64%		N/A		06/20/2022		Quarterly		(125,471	)		(249,773	)		(124,302	)
Prudential Financial	JPM	USD	14,474,000		1.00%		0.62%		N/A		06/20/2022		Quarterly		(234,167	)		(254,114	)		(19,947	)
CDX-NA.HYS.28.V1-5Y	N/A	USD	18,990,000		5.00%		3.26%		N/A		06/20/2022		Quarterly		(1,322,704	)		(1,383,289	)		(60,585	)
Sears Roebuck Acceptance Corp.	GS	USD	780,000		5.00%		32.61%		N/A		06/20/2022		Quarterly		397,800			384,222			(13,578	)
Prudential Financial	GS	USD	30,260,000		1.00%		0.62%		N/A		06/20/2022		Quarterly		(475,306	)		(531,261	)		(55,955	)
MetLife, Inc.	GS	USD	8,803,000		1.00%		0.64%		N/A		06/20/2022		Quarterly		(60,028	)		(145,276	)		(85,248	)
MetLife, Inc.	CSI	USD	8,770,000		1.00%		0.64%		N/A		06/20/2022		Quarterly		(68,406	)		(144,731	)		(76,325	)
Prudential Financial	BCLY	USD	15,229,000		1.00%		0.62%		N/A		06/20/2022		Quarterly		(216,453	)		(267,369	)		(50,916	)
Sell Protection^:
CDX-NA.HYS.28.V1-5Y	N/A	USD	76,490,000		5.00%		3.26%		N/A		06/20/2022		Quarterly		5,050,174			5,571,761			521,587
Sears Roebuck Acceptance Corp.	BCLY	USD	5,600,000		5.00%		23.36%		5,600,000 USD		09/20/2017		Quarterly		(224,000	)		(57,349	)		166,651
														$	7,765,893		$	6,876,780		$	(889,113	)

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

⁽¹⁾  As of August 31, 2017, 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.

Interest Rate Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date	Periodic Payment Frequency	Premiums Paid/ (Received)			Value ($)			Net Unrealized Appreciation/ (Depreciation)
1.67%	6 Month GBP LIBOR	N/A	GBP	66,456,000	06/16/2027	Semi-Annually	$	—		$	(794,829	)	$	(794,829	)
6 Month AUD BBSW	2.78%	N/A	AUD	22,886,000	09/15/2027	Semi-Annually		—			(126,527	)		(126,527	)
6 Month AUD BBSW	2.83%	N/A	AUD	18,164,000	09/15/2027	Semi-Annually		—			(29,703	)		(29,703	)
2.94%	6 Month AUD BBSW	N/A	AUD	14,347,000	09/15/2027	Semi-Annually		—			(90,286	)		(90,286	)
2.93%	6 Month AUD BBSW	N/A	AUD	17,966,000	09/15/2027	Semi-Annually		—			(100,342	)		(100,342	)
2.90%	6 Month AUD BBSW	N/A	AUD	41,151,000	09/15/2027	Semi-Annually		—			(124,965	)		(124,965	)
2.77%	6 Month AUD BBSW	N/A	AUD	27,818,000	09/15/2027	Semi-Annually		—			174,471			174,471
2.73%	6 Month AUD BBSW	N/A	AUD	33,548,000	09/15/2027	Semi-Annually		1,200			297,089			295,889
2.18%	3 Month CAD LIBOR	N/A	CAD	27,581,000	09/15/2027	Quarterly		—			(43,564	)		(43,564	)
3 Month CAD LIBOR	2.21%	N/A	CAD	14,010,000	09/15/2027	Quarterly		(7,990	)		50,504			58,494
3 Month CAD LIBOR	2.34%	N/A	CAD	23,787,000	09/15/2027	Quarterly		—			309,119			309,119
3 Month CAD LIBOR	2.21%	N/A	CAD	39,192,000	09/15/2027	Quarterly		—			126,849			126,849
3 Month CAD LIBOR	2.19%	N/A	CAD	16,210,000	09/15/2027	Quarterly		—			28,588			28,588

See accompanying notes to the financial statements. 65

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2017 (Unaudited)

Interest Rate Swaps - continued

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date	Periodic Payment Frequency	Premiums Paid/ (Received)			Value ($)			Net Unrealized Appreciation/ (Depreciation)
2.13%	3 Month CAD LIBOR	N/A	CAD	21,541,000	09/15/2027	Quarterly	$	—		$	49,268		$	49,268
0.20%	6 Month CHF LIBOR	N/A	CHF	7,499,000	09/15/2027	Semi-Annually		(6,009	)		(3,051	)		2,958
0.94%	6 Month EURIBOR	N/A	EUR	16,191,000	09/15/2027	Semi-Annually		—			(253,852	)		(253,852	)
0.95%	6 Month EURIBOR	N/A	EUR	14,745,000	09/15/2027	Semi-Annually		—			(258,866	)		(258,866	)
6 Month EURIBOR	0.82%	N/A	EUR	123,177,000	09/15/2027	Semi-Annually		6,546			322,416			315,870
6 Month EURIBOR	0.82%	N/A	EUR	23,732,000	09/15/2027	Semi-Annually		—			46,244			46,244
0.76%	6 Month EURIBOR	N/A	EUR	17,380,000	09/15/2027	Semi-Annually		���			92,585			92,585
6 Month EURIBOR	0.95%	N/A	EUR	20,444,000	09/15/2027	Semi-Annually		—			356,519			356,519
6 Month EURIBOR	0.84%	N/A	EUR	8,131,000	09/15/2027	Semi-Annually		—			32,065			32,065
1.18%	6 Month GBP LIBOR	N/A	GBP	175,917,000	09/15/2027	Semi-Annually		—			(948,796	)		(948,796	)
1.29%	6 Month GBP LIBOR	N/A	GBP	11,979,000	09/15/2027	Semi-Annually		—			(231,780	)		(231,780	)
1.30%	6 Month GBP LIBOR	N/A	GBP	8,900,000	09/15/2027	Semi-Annually		—			(178,304	)		(178,304	)
1.32%	6 Month GBP LIBOR	N/A	GBP	22,890,000	09/15/2027	Semi-Annually		—			(530,343	)		(530,343	)
1.27%	6 Month GBP LIBOR	N/A	GBP	9,169,000	09/15/2027	Semi-Annually		—			(151,704	)		(151,704	)
1.35%	6 Month GBP LIBOR	N/A	GBP	9,404,000	09/15/2027	Semi-Annually		—			(253,434	)		(253,434	)
1.42%	6 Month GBP LIBOR	N/A	GBP	15,821,000	09/15/2027	Semi-Annually		—			(558,449	)		(558,449	)
1.37%	6 Month GBP LIBOR	N/A	GBP	12,966,000	09/15/2027	Semi-Annually		—			(380,125	)		(380,125	)
3 Month NZD Bank Bill Rate	3.18%	N/A	NZD	16,810,000	09/15/2027	Quarterly		—			12,190			12,190
3 Month NZD Bank Bill Rate	3.18%	N/A	NZD	16,104,000	09/15/2027	Quarterly		—			16,666			16,666
3 Month NZD Bank Bill Rate	3.22%	N/A	NZD	285,226,000	09/15/2027	Quarterly		13,387			1,001,930			988,543
3 Month NZD Bank Bill Rate	3.31%	N/A	NZD	32,764,000	09/15/2027	Quarterly		—			302,831			302,831
1.19%	3 Month SEK STIBOR	N/A	SEK	193,670,000	09/15/2027	Quarterly		—			(75,128	)		(75,128	)
3 Month SEK STIBOR	1.07%	N/A	SEK	445,233,000	09/15/2027	Quarterly		—			(500,007	)		(500,007	)
3 Month SEK STIBOR	1.07%	N/A	SEK	669,998,000	09/15/2027	Quarterly		—			(736,220	)		(736,220	)
2.15%	3 Month USD LIBOR	N/A	USD	32,792,000	09/15/2027	Quarterly		—			(229,272	)		(229,272	)
2.27%	3 Month USD LIBOR	N/A	USD	13,104,000	09/15/2027	Quarterly		—			(236,040	)		(236,040	)
2.25%	3 Month USD LIBOR	N/A	USD	14,847,000	09/15/2027	Quarterly		—			(231,301	)		(231,301	)
2.30%	3 Month USD LIBOR	N/A	USD	12,861,000	09/15/2027	Quarterly		—			(262,374	)		(262,374	)
2.39%	3 Month USD LIBOR	N/A	USD	11,303,000	09/15/2027	Quarterly		—			(327,132	)		(327,132	)
3 Month USD LIBOR	2.21%	N/A	USD	34,813,000	09/15/2027	Quarterly		—			414,458			414,458
							$	7,134		$	(4,022,602	)	$	(4,029,736	)

Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received)			Value ($)			Net Unrealized Appreciation/ (Depreciation)
Depreciation of Total Return	Total Return on High Yield Growth ETF	CITI		USD	11,057,500	09/07/2017		At Maturity	$	—		$	19,883		$	19,883
Transmissora High Yield Growth ETF	Total Return on Transmissora	CSI		USD	1,286,896	09/08/2017		At Maturity		—			(89,960	)		(89,960	)
+ (1 month USD LIBOR minus 1.60%)
Depreciation of Total Return	Total Return on Transmissora	MSCI		USD	858,188	09/08/2017		At Maturity		—			(57,894	)		(57,894	)
Transmissora Common Stock +
(Daily Federal Funds minus	Total Return on iBoxx High
15.00%) 3 Month USD LIBOR	Yield	GS		USD	36,500,000	12/20/2017		Quarterly		(63,271	)		19,024			82,295
									$	(63,271	)	$	(108,947	)	$	(45,676	)

As of August 31, 2017, 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.

66 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2017 (Unaudited)

Notes to Schedule of Investments:

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

* Non-income producing security.

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

(b) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(c) Security valued at the local price and adjusted by applying a premium or discount since holding exceeds foreign ownership limits.

(d) Investment valued using significant unobservable inputs (Note 2).

(e) Security is in default.

(f) All or a portion of this security has been pledged to cover collateral requirements on reverse repurchase agreements (Note 2).

(g) Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic (Note 2).

(h) 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 4).

(i) The rate disclosed is the 7 day net yield as of August 31, 2017.

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

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

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

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 80.

See accompanying notes to the financial statements. 67

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2017 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.4	%
Preferred Stocks		1.4
Short -Term Investments		0.6
Investment Funds		0.1
Futures Contracts		0.0	^
Fully Funded Total Return Swaps		0.0	^
Swap Contracts		(0.0	)^
Other		0.5
		100.0	%

Country/Region Summary¤	% of Investments
Japan		24.0	%
United Kingdom		12.6
France		11.5
Germany		11.0
Hong Kong		4.7
Switzerland		4.6
Spain		3.9
Australia		3.7
Other Emerging		3.0	†
Italy		2.9
Netherlands		2.6
Taiwan		2.4
China		2.3
Sweden		2.2
Norway		2.2
South Korea		1.7
Austria		1.3
India		1.2
Other Developed		1.2	‡
Finland		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% .

68

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	1,865,476	GMO Emerging Markets Fund, Class VI		63,482,164
	25,111,648	GMO International Equity Fund, Class IV		574,805,622
		TOTAL MUTUAL FUNDS (COST $633,734,278)		638,287,786
		SHORT-TERM INVESTMENTS — 0.3%
		Time Deposits — 0.3%
	1,924,919	State Street Eurodollar Time Deposit, 0.12%, due 09/01/17		1,924,919
		TOTAL SHORT-TERM INVESTMENTS (COST $1,924,919)		1,924,919
		TOTAL INVESTMENTS — 100.3% (Cost $635,659,197)		640,212,705
		Other Assets and Liabilities (net) — (0.3%)		(1,730,275	)
		TOTAL NET ASSETS — 100.0%		$638,482,430

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 80.

See accompanying notes to the financial statements. 69

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2017 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.3	%
Preferred Stocks		1.8
Short-Term Investments		0.6
Investment Funds		0.5
Futures Contracts		0.1
Fully Funded Total Return Swaps		0.0	^
Swap Contracts		(0.0	)^
Other		0.7
		100.0	%

Country/Region Summary¤	% of Investments
Japan		17.0	%
United Kingdom		9.0
Taiwan		8.3
France		8.2
China		8.2
Germany		7.8
South Korea		5.9
India		4.2
Hong Kong		3.4
Switzerland		3.3
Other Emerging		3.1	†
Spain		2.8
Australia		2.6
Other Developed		2.6	‡
Italy		2.1
Thailand		2.1
Netherlands		1.9
Turkey		1.8
Sweden		1.6
Norway		1.5
Russia		1.3
Brazil		1.3
		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%.

70

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers ��� 100.0%
	11,136,448	GMO Emerging Markets Fund, Class VI		378,973,339
	30,554,353	GMO International Equity Fund, Class IV		699,389,140
		TOTAL MUTUAL FUNDS (COST $1,044,105,477)		1,078,362,479
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	370,639	State Street Eurodollar Time Deposit, 0.12%, due 09/01/17		370,639
		TOTAL SHORT-TERM INVESTMENTS (COST $370,639)		370,639
		TOTAL INVESTMENTS — 100.0% (Cost $1,044,476,116)		1,078,733,118
		Other Assets and Liabilities (net) — (0.0%)		(66,522	)
		TOTAL NET ASSETS — 100.0%		$1,078,666,596

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 80.

See accompanying notes to the financial statements. 71

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

August 31, 2017 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Short-Term Investments		75.6	%
Debt Obligations		24.4
Forward Currency Contracts		0.1
Futures Contracts		(0.4	)#
Other		0.3
		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 (0.2)% of net assets.

# Some or all is comprised of commodity exposure. See Consolidated Schedule of Investments.

72

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 13.3%
		U.S. Government — 9.4%
	25,500,000	U.S. Treasury Note, 0.75%, due 08/31/18		25,376,484
	61,500,000	U.S. Treasury Note, 0.75%, due 10/31/18 (a)		61,134,844
	52,750,000	U.S. Treasury Note, USBM + 0.07%, 1.09%, due 04/30/19 (b)		52,769,714
		Total U.S. Government		139,281,042
		U.S. Government Agency — 3.9%
	29,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR + 0.25%, 1.06%, due 10/18/18		28,980,282
	9,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR + 0.23%, 1.08%, due 02/13/19		8,991,345
	19,500,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR + 0.19%, 1.12%, due 05/10/19		19,489,924
		Total U.S. Government Agency		57,461,551
		TOTAL DEBT OBLIGATIONS (COST $196,710,153)		196,742,593
		MUTUAL FUNDS — 51.0%
		Affiliated Issuers — 51.0%
	30,249,494	GMO U.S. Treasury Fund		755,934,858
		TOTAL MUTUAL FUNDS (COST $756,494,016)		755,934,858
		SHORT-TERM INVESTMENTS — 35.5%
		Money Market Funds — 1.1%
	6,186,775	SSgA USD Liquidity Fund-Class S2 Shares (b)		6,186,775
	9,909,625	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.93% (c)		9,909,625
		Total Money Market Funds		16,096,400
		U.S. Government Agency — 4.4%
	25,000,000	Federal Home Loan Bank Discount Notes, due 02/16/18		24,870,500
	40,000,000	Federal Home Loan Bank Discount Notes, due 02/21/18		39,786,640
		Total U.S. Government Agency		64,657,140
		U.S. Government — 30.0%
	55,500,000	U.S. Treasury Bill, 1.10%, due 10/12/17 (b) (d)		55,429,606
	61,000,000	U.S. Treasury Bill, 1.00%, due 10/26/17 (a) (d)		60,906,355
	25,000,000	U.S. Treasury Bill, 1.05%, due 01/04/18 (b) (d)		24,910,048
	46,000,000	U.S. Treasury Bill, 1.07%, due 02/15/18 (b) (d)		45,774,341
	3,500,000	U.S. Treasury Bill, 1.07%, due 03/01/18 (b) (d)		3,481,391
	40,000,000	U.S. Treasury Note, 1.00%, due 09/15/17 (b)		39,999,624
	22,000,000	U.S. Treasury Note, 0.75%, due 10/31/17 (b)		21,988,560
	50,000,000	U.S. Treasury Note, 0.75%, due 02/28/18 (b)		49,902,344

Par Value†		Description	Value ($)
		U.S. Government — continued
	36,000,000	U.S. Treasury Note, 0.75%, due 03/31/18		35,910,000
	12,700,000	U.S. Treasury Note, 0.88%, due 03/31/18 (a) (b)		12,678,172
	14,000,000	U.S. Treasury Note, 2.88%, due 03/31/18 (b)		14,136,748
	43,000,000	U.S. Treasury Note, 0.63%, due 04/30/18 (b)		42,835,391
	37,000,000	U.S. Treasury Note, 1.13%, due 06/15/18		36,969,648
		Total U.S. Government		444,922,228
		TOTAL SHORT-TERM INVESTMENTS (COST $525,699,159)		525,675,768
		TOTAL INVESTMENTS — 99.8% (Cost $1,478,903,328)		1,478,353,219
		Other Assets and Liabilities (net) — 0.2%		2,431,392
		TOTAL NET ASSETS — 100.0%		$1,480,784,611

A summary of outstanding financial instruments at August 31, 2017 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/16/2017	MSCI		AUD	99,689,383		USD	78,422,647	$	(785,534	)
10/23/2017	SSB		CHF	75,965,895		USD	79,112,187		(353,268	)
09/20/2017	JPM		GBP	1,057,519		USD	1,364,385		(3,791	)
09/20/2017	UBS		GBP	24,424,067		USD	31,789,462		190,591
09/26/2017	JPM		GBP	36,875,000		USD	48,060,109		342,240
10/30/2017	JPM		GBP	23,272,755		USD	29,874,351		(274,997	)
09/07/2017	DB		NZD	4,444,503		USD	3,261,319		70,293
09/07/2017	JPM		NZD	2,850,000		USD	2,131,578		85,360
09/07/2017	MSCI		NZD	22,550,000		USD	16,408,037		217,785
09/07/2017	SSB		NZD	13,515,774		USD	9,832,783		128,846
09/07/2017	JPM		USD	57,144,545		NZD	78,516,825		(771,722	)
09/20/2017	SSB		USD	2,723,026		GBP	2,100,000		(6,131	)
09/29/2017	JPM		USD	2,652,900		JPY	293,765,485		22,283
09/29/2017	MSCI		USD	2,797,238		JPY	314,510,034		66,855
09/29/2017	SSB		USD	31,195,785		JPY	3,477,667,872		473,687
10/10/2017	DB		USD	3,315,607		JPY	363,562,315		(3,097	)
10/10/2017	MSCI		USD	8,623,728		CAD	10,821,571		45,694
10/10/2017	MSCI		USD	6,597,384		JPY	719,467,950		(42,126	)
10/10/2017	SSB		USD	4,649,706		CAD	5,882,809		63,155
10/10/2017	SSB		USD	220,783,684		JPY	24,373,934,055		1,293,525
10/13/2017	UBS		USD	41,271,837		NZD	57,088,488		(311,288	)
10/16/2017	MSCI		USD	3,454,978		AUD	4,388,857		32,188
10/16/2017	SSB		USD	10,797,601		AUD	13,685,578		76,272
10/23/2017	MSCI		USD	72,539,717		EUR	61,490,491		849,061
10/23/2017	SSB		USD	832,266		EUR	705,751		10,047
10/31/2017	JPM		USD	36,534,770		JPY	3,963,090,909		(392,313	)
10/31/2017	MSCI		USD	2,192,569		JPY	237,932,041		(22,685	)
								$	1,000,930

See accompanying notes to the financial statements. 73

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2017 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Value and Net Unrealized Appreciation (Depreciation)
Buys
1,460	Australian Government Bond 10 Yr.	September 2017	$	148,976,873	$	(1,751,835	)
7,655	Euro STOXX 50	September 2017		311,980,354		(11,708,681	)
3,583	FTSE 100 Index	September 2017		343,204,249		(823,657	)
162	Hang Seng Index	September 2017		28,975,719		359,601
3,560	Mini MSCI Emerging Markets	September 2017		193,343,600		13,355,310
415	MSCI Singapore	September 2017		11,178,496		43,781
855	MSCI Taiwan Index	September 2017		33,961,458		161,761
91	S&P TSX 60 Index	September 2017		12,934,156		(225,395	)
374	SPI 200	September 2017		42,268,668		(129,059	)
			$	1,126,823,573	$	(718,174	)

Number of Contracts +	Type	Expiration Date	Notional Amount		Value and Net Unrealized Appreciation (Depreciation)
Sales
2,469	Corn (b)	December 2017	$	44,164,238	$	5,000,180
408	Crude Oil (b)	September 2017		19,269,839		774,397
469	Euro Bund	September 2017		92,047,634		(207,702	)
1,885	FTSE/JSE TOP 40	September 2017		72,365,821		(5,891,523	)
215	Japanese Government Bond 10 Yr. (OSE)	September 2017		295,208,160		(1,156,527	)
2,110	S&P 500 E-Mini	September 2017		260,595,550		(3,644,192	)
2,112	UK Gilt Long Bond	December 2017		346,436,460		189,666
			$	1,130,087,702	$	(4,935,701	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of August 31, 2017, 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:

(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) 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.

(c) The rate disclosed is the 7 day net yield as of August 31, 2017.

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

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 80.

74 See accompanying notes to the financial statements.

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

August 31, 2017 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		76.4	%
Short-Term Investments		21.5
Debt Obligations		1.4
Written Options		0.0	^
Forward Currency Contracts		0.0	^
Futures Contracts		(0.1	)+
Other		0.8
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
Other Emerging		0.6	%†
Other Developed		0.6	‡
		1.2	%

Country/Region Summary¤	Equity Investments % of Total Net Assets
United States		61.0	%
United Kingdom		6.5
Netherlands		4.1
Germany		3.3
Romania		2.4
Other Developed		0.0	‡
		77.3	%

Industry Group Summary	% of Equity Investments#
Diversified Financials		27.0	%
Software & Services		22.6
Retailing		14.9
Automobiles & Components		9.7
Media		8.6
Banks		8.4
Capital Goods		4.4
Utilities		3.2
Food, Beverage & Tobacco		1.2
Energy		0.0	^
		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 or unrealized appreciation/depreciation rather than notional amounts.

+ Some or all is comprised of commodity exposure. See Consolidated Schedule of Investments.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets.

¤ 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 Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

^ 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.

75

GMO Special Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares / Par Value†		Description	Value ($)
		COMMON STOCKS — 76.4%
		Canada — 0.0%
	6,000,000	Jagercor Energy Corp * (a)		120,120
		Germany — 3.3%
	635,000	Brenntag AG		33,700,873
		Netherlands — 4.1%
	790,000	InterXion Holding NV *		40,961,500
		Romania — 2.4%
	7,200,000	Societatea Energetica Electrica SA		24,248,846
		United Kingdom — 6.4%
	1,450,000	Metro Bank Plc *		65,044,846
		United States — 60.2%
	2,150,000	Ally Financial, Inc.		48,590,000
	265,000	Berkshire Hathaway, Inc. – Class B *		48,007,400
	1,000,000	Cimpress NV *		92,440,000
	570,000	CommerceHub, Inc. – Series A *		12,636,900
	1,310,000	CommerceHub, Inc. – Series C *		27,811,300
	163,961	Credit Acceptance Corp. * (b)		44,646,580
	2,050,000	General Motors Co.		74,907,000
	1,597,544	Interactive Brokers Group, Inc. – Class A		66,985,020
	875,000	Liberty Global Plc LiLAC – Class A *		22,758,750
	1,675,000	Liberty Global Plc LiLAC – Class C *		43,198,250
	80,000	National Beverage Corp. (b)		9,296,800
	1,620,000	Wayfair, Inc. – Class A *		115,036,200
		Total United States		606,314,200
		TOTAL COMMON STOCKS (COST $611,536,594)		770,390,385
		DEBT OBLIGATIONS — 1.4%
		Corporate Debt — 1.4%
		Jamaica — 1.4%
	1,220,000	Digicel Group Ltd, 144A, 8.25%, due 09/30/20		1,176,842
	14,500,000	Digicel Group Ltd, 144A, 7.13%, due 04/01/22		12,850,625
		Total Jamaica		14,027,467
		Total Corporate Debt		14,027,467
		TOTAL DEBT OBLIGATIONS (COST $12,462,083)		14,027,467
		SHORT-TERM INVESTMENTS — 21.6%
		Money Market Funds — 0.9%
	8,717,870	State Street Institutional Treasury Money Market Fund-Premier Class, 0.90% (c) (d)		8,717,870

Par Value†		Description	Value ($)
		U.S. Government — 20.7%
	15,000,000	U.S. Treasury Bill, 0.87%, due 09/21/17 (e)		14,992,534
	65,000,000	U.S. Treasury Bill, 1.10%, due 10/12/17 (e)		64,917,557
	30,000,000	U.S. Treasury Bill, 0.99%, due 11/02/17 (e)		29,948,592
	12,000,000	U.S. Treasury Bill, 0.99%, due 11/30/17 (e)		11,970,525
	3,900,000	U.S. Treasury Bill, 0.98%, due 12/07/17 (d) (e) (f)		3,889,743
	30,000,000	U.S. Treasury Bill, 1.05%, due 01/04/18 (e)		29,892,057
	20,000,000	U.S. Treasury Bill, 1.06%, due 02/08/18 (e)		19,906,889
	15,000,000	U.S. Treasury Bill, 1.07%, due 02/15/18 (e) (f)		14,926,415
	8,000,000	U.S. Treasury Bill, 1.07%, due 03/01/18 (e)		7,957,465
	10,000,000	U.S. Treasury Note, 1.00%, due 12/15/17 (f)		9,997,073
		Total U.S. Government		208,398,850
		TOTAL SHORT-TERM INVESTMENTS (COST $217,116,723)		217,116,720
		TOTAL INVESTMENTS — 99.4% (Cost $841,115,400)		1,001,534,572
		Other Assets and Liabilities (net) — 0.6%		6,233,220
		TOTAL NET ASSETS — 100.0%		$1,007,767,792

A summary of outstanding financial instruments at August 31, 2017 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/26/2017	BOA		RON	88,600,000		USD	22,671,153	$	(305,217	)

Futures Contracts ^(d)

Number of Contracts +	Type	Expiration Date	Notional Amount		Value and Net Unrealized Appreciation (Depreciation)
Buys
25	Natural Gas	December 2019	$	190,125	$	(70,812	)
25	Natural Gas	January 2020		188,500		(72,437	)
25	Natural Gas	February 2020		185,062		(75,875	)
25	Natural Gas	March 2020		165,188		(95,750	)
25	Natural Gas	April 2020		163,438		(97,500	)
25	Natural Gas	May 2020		164,938		(96,000	)
25	Natural Gas	June 2020		166,625		(94,313	)
25	Natural Gas	July 2020		167,688		(93,250	)
25	Natural Gas	August 2020		167,375		(93,563	)
25	Natural Gas	September 2020		169,062		(91,875	)
25	Natural Gas	October 2020		173,562		(87,375	)
25	Natural Gas	November 2020		182,437		(78,500	)
			$	2,084,000	$	(1,047,250	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

76 See accompanying notes to the financial statements.

GMO Special Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2017 (Unaudited)

Written Options

Equity Options

Description	Counterparty	Exercise Price		Expiration Date		Number of Contracts		Notional Amount			Value ($)
Equity Options — Puts
Credit Acceptance Corp. (b)	N/A		185.00		10/20/17		170		USD	4,629,100		(14,450	)
National Beverage Corp. (b)	N/A		58.50		10/20/17		1,000		USD	11,621,000		(20,000	)
					TOTAL WRITTEN EQUITY OPTIONS — Puts (Premiums $1,022,996)							(34,450	)

As of August 31, 2017, 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 investment is held in connection with one or more holdings within the Fund.

(c) The rate disclosed is the 7 day net yield as of August 31, 2017.

(d) 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.

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

(f) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (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 80.

See accompanying notes to the financial statements. 77

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2017 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		67.7	%
Debt Obligations		13.7
Short-Term Investments		9.0
Mutual Funds		7.7
Preferred Stocks		1.0
Investment Funds		0.3
Futures Contracts		0.1
Loan Participations		0.0	^
Rights/Warrants		0.0	^
Swap Contracts		0.0	^
Loan Assignments		0.0	^
Options Purchased		0.0	^
Fully Funded Total Return Swaps		0.0	^
Forward Currency Contracts		(0.0	)^
Written Options/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Securities Sold Short		(0.2	)
Other		0.7
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		14.1	%
Other Emerging		2.8	†
Other Developed		1.4	‡
United Kingdom		1.3
Euro Region		0.4	#
		20.0	%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		20.0	%
Japan		7.2
Taiwan		5.5
China		4.9
United Kingdom		4.5
Other Developed		4.1	‡
South Korea		3.7
France		3.5
Germany		3.3
Other Emerging		3.2	†
India		2.6
Switzerland		1.7
Hong Kong		1.4
Thailand		1.3
Spain		1.2
Turkey		1.2
Australia		1.1
Euro Region		0.0	^#
		70.4	%

& 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 0.0%.

78

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2017 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 91.8%
		Affiliated Issuers — 91.8%
	6,717,393	GMO Core Plus Bond Fund, Class IV		146,439,170
	1,954,942	GMO Emerging Country Debt Fund, Class IV		59,058,792
	12,828,090	GMO Emerging Markets Fund, Class VI		436,539,903
	22,732,668	GMO International Equity Fund, Class IV		520,350,764
	2,509,906	GMO Opportunistic Income Fund, Class VI		66,487,420
	7,925,992	GMO Quality Fund, Class VI		191,650,492
	12,953,986	GMO U.S. Equity Allocation Fund, Class VI		191,071,290
	5,722,897	GMO U.S. Treasury Fund		143,015,197
		TOTAL MUTUAL FUNDS (COST $1,658,541,950)		1,754,613,028
		DEBT OBLIGATIONS — 8.1%
		U.S. Government — 8.1%
	17,686,518	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/25 (a)		17,836,203
	2,692,659	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (a)		2,754,598
	3,079,976	U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/26 (a)		3,025,460
	38,435,793	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (a)		38,390,063
	19,356,096	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/27 (a)		19,392,540
	29,431,606	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (a)		33,336,768
	23,019,738	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (a)		28,153,373
	8,044,564	U.S. Treasury Inflation Indexed Bond, 3.88%, due 04/15/29 (a)		11,084,398
		Total U.S. Government		153,973,403
		TOTAL DEBT OBLIGATIONS (COST $150,834,436)		153,973,403
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	318,278	State Street Institutional Treasury Money Market Fund-Premier Class, 0.90% (b)		318,278
		TOTAL SHORT-TERM INVESTMENTS (COST $318,278)		318,278
		TOTAL INVESTMENTS — 99.9% (Cost $1,809,694,664)		1,908,904,709
		Other Assets and Liabilities (net) — 0.1%		1,327,810
		TOTAL NET ASSETS — 100.0%		$1,910,232,519

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) The rate disclosed is the 7 day net yield as of August 31, 2017.

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 80.

See accompanying notes to the financial statements. 79

GMO Trust Fund

(A Series of GMO Trust)

Schedule of Investments - (Continued)

August 31, 2017 (Unaudited)

Portfolio Abbreviations:

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

ADR - American Depositary Receipt

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

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

CDO - Collateralized Debt Obligation

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

CLO - Collateralized Loan Obligation

CVA - Certificaaten van aandelen (Share Certificates)

CVR - Contingent Value Right

ETF - Exchange-Traded Fund

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

LIBOR - London Interbank Offered Rate

NVDR - Non-Voting Depository Receipt

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona

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.

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

The rates shown on variable rate notes are the current interest rates at August 31, 2017, which are subject to change based on the terms of the security.

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CSI - Credit Suisse International

CITI - Citibank N.A.

DB - Deutsche Bank AG

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

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NZD - New Zealand Dollar

RON - Romanian Leu

SEK - Swedish Krona

SGD -Singapore Dollar

USD - United States Dollar

ZAR - South African Rand

80 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2017 (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)	$	10,471,405	$	13,576,848,340	$	1,339,020,458	$	2,428,244,261
Investments in unaffiliated issuers, at value (Note 2)(b)		222,036,358		8,128,419		2,941,384,910		349,698
Foreign currency, at value (Note 2)(c)		111,256		—		2,424,127		—
Cash		2,163,339		—		39		—
Receivable for investments sold		—		4,425,570		30,256,448		—
Receivable for Fund shares sold		—		11,266		—		—
Dividends receivable		449,480		4,942		4,735,536		145,879
Dividend withholding tax receivable		244,360		—		941,082		—
Unrealized appreciation on open forward currency contracts (Note 4)		151,358		—		160,970		—
Due from broker (Note 2)		—		—		4		—
Receivable for variation margin on open futures contracts (Note 4)		—		—		2,400		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		29,884		1,808,223		115,382		15,004
Miscellaneous receivable		11,700		11,426		102,283		143
Total assets		235,669,140		13,591,238,186		4,319,143,639		2,428,754,985
Liabilities:
Payable for investments purchased		11,678		—		2,838,936		145,609
Payable for Fund shares repurchased		—		5,713,022		40,913,246		95,143
Accrued foreign capital gains tax payable (Note 2)		5,448		—		514,525		—
Payable to affiliate for (Note 5):
Management fee		98,736		7,488,847		—		—
Supplemental support fee – Class MF		—		482,479		—		—
Shareholder service fee		20,156		878,549		—		—
Payable for variation margin on open futures contracts (Note 4)		1,117,545		—		—		—
Unrealized depreciation on open forward currency contracts (Note 4)		825,475		—		1,293,929		—
Due to broker (Note 2)		2,055,080		—		—		—
Payable to agents unaffiliated with GMO		31		2,263		713		403
Payable to Trustees and related expenses		212		10,236		3,299		2,266
Accrued expenses		203,637		442,007		838,345		151,520
Total liabilities		4,337,998		15,017,403		46,402,993		394,941
Net assets	$	231,331,142	$	13,576,220,783	$	4,272,740,646	$	2,428,360,044
(a)      Cost of investments – affiliated issuers:	$	10,471,405	$	12,784,989,281	$	1,171,178,367	$	2,372,592,917
(b)      Cost of investments – unaffiliated issuers:	$	188,412,182	$	8,128,419	$	2,693,093,744	$	341,154
(c)      Cost of foreign currency:	$	110,996	$	—	$	2,422,102	$	—

See accompanying notes to the financial statements. 81

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2017 (Unaudited) — (Continued)

	Alpha Only Fund			Benchmark-Free Allocation Fund			Benchmark- Free Fund			Global Asset Allocation Fund
Net assets consist of:
Paid-in capital	$	591,859,268		$	13,238,503,742		$	4,327,582,458		$	2,647,349,171
Accumulated undistributed (distributions in excess of) net investment income		2,093,399			10,111,618			41,470,078			5,565,526
Accumulated net realized gain (loss)		(392,380,491	)		(504,830,152	)		(511,023,328	)		(280,214,541	)
Net unrealized appreciation (depreciation)		29,758,966			832,435,575			414,711,438			55,659,888
	$	231,331,142		$	13,576,220,783		$	4,272,740,646		$	2,428,360,044
Net assets attributable to:
Class III	$	7,532,569		$	4,902,588,567		$	4,272,740,646		$	2,428,360,044
Class IV	$	223,798,573		$	2,973,321,532		$	—		$	—
Class MF	$	—		$	5,700,310,684		$	—		$	—
Shares outstanding:
Class III		342,962			179,385,965			209,078,004			74,457,166
Class IV		10,182,768			108,792,666			—			—
Class MF		—			208,424,311			—			—
Net asset value per share:
Class III	$	21.96		$	27.33		$	20.44		$	32.61
Class IV	$	21.98		$	27.33		$	—		$	—
Class MF	$	—		$	27.35		$	—		$	—

82 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2017 (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)	$	622,145,562	$	2,415,639,569	$	—	$	638,287,786
Investments in unaffiliated issuers, at value (Note 2)(b)		33,313,442		1,037,451		11,391,781,750		1,924,919
Foreign currency, at value (Note 2)(c)		—		—		11,190,499		—
Cash		—		—		—		6
Receivable for investments sold		15,638,967		3,650,527		56,425,883		5,515,795
Receivable for Fund shares sold		—		—		—		13,499
Receivable for swap contracts sold		—		—		724,215		—
Dividends and interest receivable		111		3		26,424,083		6
Dividend withholding tax receivable		—		—		5,517,354		—
Unrealized appreciation on open forward currency contracts (Note 4)		—		—		23,492,628		—
Receivable for variation margin on open futures contracts (Note 4)		—		—		57,429		—
Receivable for variation margin on open cleared swap contracts (Note 4)		—		—		148,533		—
Due from broker (Note 2)		—		—		513,663,320		—
Receivable for open OTC swap contracts (Note 4)		—		—		5,758,890		—
Interest receivable for open OTC swap contracts		—		—		30,323		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		9,889		12,989		435,147		9,331
Miscellaneous receivable		38,991		7,007		13,990		5,773
Total assets		671,146,962		2,420,347,546		12,035,664,044		645,757,115
Liabilities:
Investments sold short, at value (Note 2)(d)		—		—		442,149,401		—
Payable for investments purchased		—		—		36,163,435		—
Payable for Fund shares repurchased		48,738,991		3,892,842		4,434,439		7,209,165
Accrued foreign capital gains tax payable (Note 2)		—		—		1,016,442		—
Payable to affiliate for (Note 5):
Payable for variation margin on open cleared swap contracts (Note 4)		—		—		457,318		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		—		28,509,624		—
Interest payable for open OTC swap contracts		—		—		484,874		—
Interest and dividend payable for short sales		—		—		54,178		—
Payable for open OTC swap contracts (Note 4)		—		—		3,179,529		—
Payable for reverse repurchase agreements (Note 2)		—		—		1,138,991		—
Written options outstanding, at value (Note 4)(e)		—		—		3,203,298		—
Payable to agents unaffiliated with GMO		186		372		1,891		93
Payable to Trustees and related expenses		1,827		1,371		7,733		621
Accrued expenses		76,502		114,079		2,109,598		64,806
Total liabilities		48,817,506		4,008,664		522,910,751		7,274,685
Net assets	$	622,329,456	$	2,416,338,882	$	11,512,753,293	$	638,482,430
(a)      Cost of investments – affiliated issuers:	$	588,248,842	$	2,346,397,504	$	—	$	633,734,278
(b)      Cost of investments – unaffiliated issuers:	$	33,313,442	$	1,037,451	$	10,694,629,523	$	1,924,919
(c)      Cost of foreign currency:	$	—	$	—	$	11,180,994	$	—
(d)     Proceeds from securities sold short:	$	—	$	—	$	378,373,310	$	—
(e)      Premiums on written options:	$	—	$	—	$	2,960,247	$	—

See accompanying notes to the financial statements. 83

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2017 (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		$	697,307,943		$	2,662,919,379		$	11,695,860,524		$	801,867,999
Accumulated undistributed (distributions in excess of) net investment income			1,122,298			5,914,075			137,814,252			1,947,379
Accumulated net realized gain (loss)			(109,997,505	)		(321,736,637	)		(945,245,827	)		(169,886,456	)
Net unrealized appreciation (depreciation)			33,896,720			69,242,065			624,324,344			4,553,508
		$	622,329,456		$	2,416,338,882		$	11,512,753,293		$	638,482,430
Net assets attributable to:
Core Class		$	—		$	—		$	11,512,753,293		$	—
Class III		$	622,329,456		$	2,416,338,882		$	—		$	638,482,430
Shares outstanding:
Core Class			—			—			830,971,636			—
Class III			28,945,267			95,497,524			—			38,425,618
Net asset value per share:
Core Class		$	—		$	—		$	13.85		$	—
Class III	��	$	21.50		$	25.30		$	—		$	16.62

84 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2017 (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)	$	1,078,362,479	$	755,934,858	$	120,120	$	1,754,613,028
Investments in unaffiliated issuers, at value (Note 2)(b)		370,639		722,418,361		1,001,414,452		154,291,681
Cash		—		13		—		—
Foreign currency, at value (Note 2)(c)		—		41		—		—
Receivable for investments sold		—		—		8,020,778		81,392,775
Dividend withholding tax receivable		—		—		90,287		—
Dividends and interest receivable		1		1,821,195		662,563		437,170
Unrealized appreciation on open forward currency contracts (Note 4)		—		3,967,882		—		—
Receivable for variation margin on open futures contracts (Note 4)		—		4,510,400		9,375		—
Due from broker (Note 2)		—		558,977		295		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		10,168		63,779		—		14,942
Miscellaneous receivable		—		—		—		160,845
Total assets		1,078,743,287		1,489,275,506		1,010,317,870		1,990,910,441
Liabilities:
Payable for investments purchased		—		697,676		—		136,717
Payable for Fund shares repurchased		—		—		—		80,422,660
Accrued foreign capital gains tax payable (Note 2)		—		—		801,696		—
Payable to affiliate for (Note 5):
Management fee		—		1,074,770		929,116		—
Shareholder service fee		—		70,506		46,456		—
Payable for variation margin on open futures contracts (Note 4)		—		3,467,873		—		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		2,966,952		305,217		—
Written options outstanding, at value (Note 4)(d)		—		—		34,450		—
Payable to agents unaffiliated with GMO		186		248		155		341
Payable to Trustees and related expenses		812		1,145		693		1,378
Accrued expenses		75,693		211,725		432,295		116,826
Total liabilities		76,691		8,490,895		2,550,078		80,677,922
Net assets	$	1,078,666,596	$	1,480,784,611	$	1,007,767,792	$	1,910,232,519
(a)      Cost of investments – affiliated issuers:	$	1,044,105,477	$	756,494,016	$	317,181	$	1,658,541,950
(b)      Cost of investments – unaffiliated issuers:	$	370,639	$	722,409,312	$	840,798,219	$	151,152,714
(c)     Cost of foreign currency:	$	—	$	41	$	—	$	—
(d)     Premiums on written options:	$	—	$	—	$	1,022,996	$	—

See accompanying notes to the financial statements. 85

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2017 (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	$	1,152,478,717		$	1,499,307,901		$	827,149,066		$	1,821,407,534
Accumulated undistributed (distributions in excess of) net investment income		3,417,922			(30,308,041	)		(696,996	)		8,346,574
Accumulated net realized gain (loss)		(111,487,045	)		16,992,202			21,255,005			(18,731,634	)
Net unrealized appreciation (depreciation)		34,257,002			(5,207,451	)		160,060,717			99,210,045
	$	1,078,666,596		$	1,480,784,611		$	1,007,767,792		$	1,910,232,519
Net assets attributable to:
Class III	$	1,078,666,596		$	4,237,369		$	—		$	1,910,232,519
Class IV	$	—		$	13,137,492		$	—		$	—
Class VI	$	—		$	1,463,409,750		$	1,007,767,792		$	—
Shares outstanding:
Class III		34,680,114			128,552			—			89,167,926
Class IV		—			400,005			—			—
Class VI		—			44,530,234			43,601,628			—
Net asset value per share:
Class III	$	31.10		$	32.96		$	—		$	21.42
Class IV	$	—		$	32.84		$	—		$	—
Class VI	$	—		$	32.86		$	23.11		$	—

86 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — August 31, 2017 (Unaudited)

	Alpha Only Fund			Benchmark-Free Allocation Fund			Benchmark- Free Fund			Global Asset Allocation Fund
Investment Income:
Dividends from affiliated issuers (Note 10)	$	60,502		$	70,839,657		$	7,571,541		$	8,887,328
Dividends from unaffiliated issuers (Net of withholding tax)(a)		3,529,125			22,467			30,226,575			1,284
Interest		54,243			1,422			12,954,297			4,776
Total investment income		3,643,870			70,863,546			50,752,413			8,893,388
Expenses:
Management fee (Note 5)		586,743			45,008,699			—			—
Shareholder service fee – Class III (Note 5)		7,706			3,869,890			—			—
Shareholder service fee – Class IV (Note 5)		112,211			1,474,851			—			—
Supplemental support fee – Class MF (Note 5)		—			2,869,638			—			—
Audit and tax fees		64,984			18,300			61,320			37,904
Custodian and fund accounting agent fees		147,992			51,784			897,472			32,852
Legal fees		5,092			95,480			47,596			17,632
Registration fees		2,756			1,400			—			1,788
Transfer agent fees		21,656			—			—			—
Trustees’ fees and related expenses (Note 5)		2,208			163,030			50,660			28,667
Interest expense (Note 2)		—			—			40,306			—
Miscellaneous		30,257			29,732			29,340			11,072
Total expenses		981,605			53,582,804			1,126,694			129,915
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(246,176	)		(180,724	)		(760,848	)		(97,256	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		—			(10,219,319	)		—			—
Indirectly incurred shareholder service fee waived or borne by GMO (Note 5)		—			(880,101	)		—			—
Net expenses		735,429			42,302,660			365,846			32,659
Net investment income (loss)		2,908,441			28,560,886			50,386,567			8,860,729
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)		11,740,712			—			64,369,674			(37,834	)
Investments in affiliated issuers		(4,448	)		94,439,207			14,468,070			(10,775,968	)
Realized gain distributions from affiliated issuers (Note 10)		—			22,716,913			7,249,029			15,235,698
Futures contracts		(13,539,867	)		—			—			—
Swap contracts		—			—			2,357			—
Forward currency contracts		(2,350,449	)		—			(2,903,734	)		—
Foreign currency and foreign currency related transactions		(2,244	)		—			(145,108	)		—
Net realized gain (loss)		(4,156,296	)		117,156,120			83,040,288			4,421,896
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)		8,474,478			—			104,583,850			59,604
Investments in affiliated issuers		—			677,083,245			105,845,410			152,972,034
Futures contracts		5,210,519			—			170,315			—
Forward currency contracts		(674,117	)		—			(1,132,959	)		—
Foreign currency and foreign currency related transactions		47,301			—			(52,194	)		—
Net change in unrealized appreciation (depreciation)		13,058,181			677,083,245			209,414,422			153,031,638
Net realized and unrealized gain (loss)		8,901,885			794,239,365			292,454,710			157,453,534
Net increase (decrease) in net assets resulting from operations	$	11,810,326		$	822,800,251		$	342,841,277		$	166,314,263
(a)      Withholding tax:	$	292,181		$	—		$	3,489,860		$	—

See accompanying notes to the financial statements. 87

GMO Trust Funds

Statements of Operations — August 31, 2017 (Unaudited) — (Continued)

	Global Developed Equity Allocation Fund			Global Equity Allocation Fund			Consolidated Implementation Fund			International Developed Equity Allocation Fund
Investment Income:
Dividends from affiliated issuers (Note 10)	$	3,033,756		$	9,732,499		$	—		$	3,505,132
Dividends from unaffiliated issuers (Net of withholding tax)(a)		—			—			134,033,662			—
Interest		378			314			53,241,463			126
Total investment income		3,034,134			9,732,813			187,275,125			3,505,258
Expenses:
Audit and tax fees		12,696			12,880			131,368			12,696
Custodian, fund accounting agent and transfer agent fees		27,892			29,732			2,497,316			29,128
Dividend expense on short sales		—			—			2,741,127			—
Legal fees		10,304			22,264			98,122			6,808
Registration fees		852			1,656			—			652
Trustees’ fees and related expenses (Note 5)		11,147			26,325			134,784			7,619
Interest expense (Note 2)		—			—			253,415			—
Miscellaneous		6,156			10,272	**		67,585			5,252	***
Total expenses		69,047			103,129			5,923,717			62,155
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(56,896	)		(74,596	)		(2,680,208	)		(53,884	)
Net expenses		12,151			28,533			3,243,509			8,271
Net investment income (loss)		3,021,983			9,704,280			184,031,616			3,496,987
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)		—			—			387,101,790			—
Investments in affiliated issuers		(32,999,973	)		(16,411,544	)		—			(4,217,464	)
Investments in securities sold short		—			—			(12,844,289	)		—
Realized gain distributions from affiliated issuers (Note 10)		7,970,201			21,537,105			—			—
Futures contracts		—			—			648,254			—
Written options		—			—			1,644,126			—
Swap contracts		—			—			231,019			—
Forward currency contracts		—			—			(15,955,527	)		—
Foreign currency and foreign currency related transactions		—			—			(1,029,683	)		—
Net realized gain (loss)		(25,029,772	)		5,125,561			359,795,690			(4,217,464	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)		—			—			228,517,751			—
Investments in affiliated issuers		105,944,600			221,571,523			—			78,511,190
Investments in securities sold short		—			—			(48,077,582	)		—
Futures contracts		—			—			2,661,150			—
Written options		—			—			1,373,936			—
Swap contracts		—			—			11,329,574			—
Forward currency contracts		—			—			(4,153,196	)		—
Foreign currency and foreign currency related transactions		—			—			579,286			—
Net change in unrealized appreciation (depreciation)		105,944,600			221,571,523			192,230,919			78,511,190
Net realized and unrealized gain (loss)		80,914,828			226,697,084			552,026,609			74,293,726
Net increase (decrease) in net assets resulting from operations	$	83,936,811		$	236,401,364		$	736,058,225		$	77,790,713
(a)      Withholding tax:	$	—		$	—		$	14,570,237		$	—

** Includes $6,134 of filing expenses.

*** Includes $3,825 of pricing expenses.

88 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — August 31, 2017 (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)	$	5,489,784		$	3,560,389		$	—		$	9,311,382
Dividends from unaffiliated issuers (Net of withholding tax)(a)		—			85,137			4,187,366			1,108
Interest		167			3,019,577			3,163,832			2,042,005
Total investment income		5,489,951			6,665,103			7,351,198			11,354,495
Expenses:
Management fee (Note 5)		—			6,442,057			5,528,530			—
Shareholder service fee – Class III (Note 5)		—			4,588			—			—
Shareholder service fee – Class IV (Note 5)		—			26,230			—			—
Shareholder service fee – Class VI (Note 5)		—			400,730			276,426			—
Audit and tax fees		12,880			46,000			64,132			31,012
Custodian, fund accounting agent and transfer agent fees		26,988			137,364			114,344			27,776
Legal fees		11,040			20,700			187,184			20,608
Registration fees		2,476			27,004			720			1,136
Trustees’ fees and related expenses (Note 5)		12,590			17,826			11,757			23,809
Miscellaneous		6,272			21,777			15,752			8,380
Total expenses		72,246			7,144,276			6,198,845			112,721
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(58,552	)		(247,232	)		—			(86,888	)
Net expenses		13,694			6,897,044			6,198,845			25,833
Net investment income (loss)		5,476,257			(231,941	)		1,152,353			11,328,662
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)		—			(90,526	)		36,548,780			80,646
Investments in affiliated issuers		(6,303,584	)		(47,815	)		—			6,531,254
Realized gain distributions from affiliated issuers (Note 10)		—			—			—			10,461,828
Futures contracts		—			76,799,201			(2,213,658	)		—
Written options		—			—			2,298,524			—
Forward currency contracts		—			(16,701,851	)		(1,813,975	)		—
Foreign currency and foreign currency related transactions		—			(929,291	)		4,996			—
Net realized gain (loss)		(6,303,584	)		59,029,718			34,824,667			17,073,728
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)		—			89,228			109,335,762			638,635
Investments in affiliated issuers		136,162,143			(294,249	)		29,772			138,045,935
Futures contracts		—			(31,059,474	)		1,982,197			—
Written options		—			—			(224,920	)		—
Forward currency contracts		—			(1,986,742	)		(295,974	)		—
Foreign currency and foreign currency related transactions		—			(3,651	)		7,144			—
Net change in unrealized appreciation (depreciation)		136,162,143			(33,254,888	)		110,833,981			138,684,570
Net realized and unrealized gain (loss)		129,858,559			25,774,830			145,658,648			155,758,298
Net increase (decrease) in net assets resulting from operations	$	135,334,816		$	25,542,889		$	146,811,001		$	167,086,960
(a)      Withholding tax:	$	—		$	—		$	177,593		$	—

See accompanying notes to the financial statements. 89

GMO Trust Funds

Statements of Changes in Net Assets

	Alpha Only Fund						Benchmark-Free Allocation Fund
	Six Months Ended August 31, 2017 (Unaudited)			Year Ended February 28, 2017			Six Months Ended August 31, 2017 (Unaudited)			Year Ended February 28, 2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,908,441		$	4,532,594		$	28,560,886		$	220,401,847
Net realized gain (loss)		(4,156,296	)		(39,021,157	)		117,156,120			153,420,465
Change in net unrealized appreciation (depreciation)		13,058,181			29,019,238			677,083,245			1,325,782,244
Net increase (decrease) in net assets from operations		11,810,326			(5,469,325	)		822,800,251			1,699,604,556
Distributions to shareholders from:
Net investment income
Class III		(46,437	)		(226,478	)		(7,699,062	)		(80,269,673	)
Class IV		(836,096	)		(7,404,091	)		(5,403,931	)		(42,073,207	)
Class MF		—			—			(9,701,419	)		(99,711,857	)
Total distributions from net investment income		(882,533	)		(7,630,569	)		(22,804,412	)		(222,054,737	)
Net share transactions (Note 9):
Class III		(736,848	)		517,480			(646,734,281	)		(1,155,147,216	)
Class IV		(12,693,215	)		(47,601,802	)		139,957,651			(94,499,738	)
Class MF		—			—			(490,568,485	)		(2,872,966,238	)
Increase (decrease) in net assets resulting from net share transactions		(13,430,063	)		(47,084,322	)		(997,345,115	)		(4,122,613,192	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			1,161,818			3,463,441
Class IV		—			—			656,896			1,691,330
Class MF		—			—			1,293,711			4,522,945
Increase in net assets resulting from purchase premiums and redemption fees		—			—			3,112,425			9,677,716
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(13,430,063	)		(47,084,322	)		(994,232,690	)		(4,112,935,476	)
Total increase (decrease) in net assets		(2,502,270	)		(60,184,216	)		(194,236,851	)		(2,635,385,657	)
Net assets:
Beginning of period		233,833,412			294,017,628			13,770,457,634			16,405,843,291
End of period	$	231,331,142		$	233,833,412		$	13,576,220,783		$	13,770,457,634
Accumulated undistributed (distributions in excess of) net investment income	$	2,093,399		$	67,491		$	10,111,618		$	4,355,144

90 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, 2017 (Unaudited)			Year Ended February 28, 2017			Six Months Ended August 31, 2017 (Unaudited)			Year Ended February 28, 2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	50,386,567		$	105,049,984		$	8,860,729		$	58,281,786
Net realized gain (loss)		83,040,288			45,167,642			4,421,896			(163,024,800	)
Change in net unrealized appreciation (depreciation)		209,414,422			451,920,797			153,031,638			468,278,212
Net increase (decrease) in net assets from operations		342,841,277			602,138,423			166,314,263			363,535,198
Distributions to shareholders from:
Net investment income
Class III		(21,058,197	)		(116,700,824	)		(5,202,550	)		(62,220,291	)
Total distributions from net investment income		(21,058,197	)		(116,700,824	)		(5,202,550	)		(62,220,291	)
Net share transactions (Note 9):
Class III		(444,464,987	)		(397,485,238	)		(157,192,334	)		(1,197,015,061	)
Increase (decrease) in net assets resulting from net share transactions		(444,464,987	)		(397,485,238	)		(157,192,334	)		(1,197,015,061	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		1,163,019			1,188,794			495,633			1,853,433
Increase in net assets resulting from purchase premiums and redemption fees		1,163,019			1,188,794			495,633			1,853,433
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(443,301,968	)		(396,296,444	)		(156,696,701	)		(1,195,161,628	)
Total increase (decrease) in net assets		(121,518,888	)		89,141,155			4,415,012			(893,846,721	)
Net assets:
Beginning of period		4,394,259,534			4,305,118,379			2,423,945,032			3,317,791,753
End of period	$	4,272,740,646		$	4,394,259,534		$	2,428,360,044		$	2,423,945,032
Accumulated undistributed (distributions in excess of) net investment income	$	41,470,078		$	12,141,708		$	5,565,526		$	1,907,347

See accompanying notes to the financial statements. 91

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Global Developed Equity Allocation Fund						Global Equity Allocation Fund
	Six Months Ended August 31, 2017 (Unaudited)			Year Ended February 28, 2017			Six Months Ended August 31, 2017 (Unaudited)			Year Ended February 28, 2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	3,021,983		$	33,369,552		$	9,704,280		$	69,282,296
Net realized gain (loss)		(25,029,772	)		(57,989,311	)		5,125,561			(274,880,007	)
Change in net unrealized appreciation (depreciation)		105,944,600			255,753,023			221,571,523			729,023,158
Net increase (decrease) in net assets from operations		83,936,811			231,133,264			236,401,364			523,425,447
Distributions to shareholders from:
Net investment income
Class III		(6,006,665	)		(30,222,114	)		(6,819,110	)		(68,744,144	)
Total distributions from net investment income		(6,006,665	)		(30,222,114	)		(6,819,110	)		(68,744,144	)
Net realized gains
Class III		—			(39,709,256	)		—			(55,809,080	)
Total distributions from net realized gains		—			(39,709,256	)		—			(55,809,080	)
Net share transactions (Note 9):
Class III		(448,223,620	)		(602,267,298	)		(20,373,071	)		(1,073,431,102	)
Increase (decrease) in net assets resulting from net share transactions		(448,223,620	)		(602,267,298	)		(20,373,071	)		(1,073,431,102	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		363,317			549,011			311,481			2,209,585
Increase in net assets resulting from purchase premiums and redemption fees		363,317			549,011			311,481			2,209,585
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(447,860,303	)		(601,718,287	)		(20,061,590	)		(1,071,221,517	)
Total increase (decrease) in net assets		(369,930,157	)		(440,516,393	)		209,520,664			(672,349,294	)
Net assets:
Beginning of period		992,259,613			1,432,776,006			2,206,818,218			2,879,167,512
End of period	$	622,329,456		$	992,259,613		$	2,416,338,882		$	2,206,818,218
Accumulated undistributed (distributions in excess of) net investment income	$	1,122,298		$	4,106,980		$	5,914,075		$	3,028,905

92 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, 2017 (Unaudited)			Year Ended February 28, 2017			Six Months Ended August 31, 2017 (Unaudited)			Year Ended February 28, 2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	184,031,616		$	264,569,572		$	3,496,987		$	27,679,519
Net realized gain (loss)		359,795,690			(42,789,124	)		(4,217,464	)		(23,893,115	)
Change in net unrealized appreciation (depreciation)		192,230,919			1,314,797,007			78,511,190			142,706,231
Net increase (decrease) in net assets from operations		736,058,225			1,536,577,455			77,790,713			146,492,635
Distributions to shareholders from:
Net investment income
Core Class		(60,081,170	)		(218,046,347	)		—			—
Class III		—			—			(1,604,455	)		(27,805,230	)
						��
Total distributions from net investment income		(60,081,170	)		(218,046,347	)		(1,604,455	)		(27,805,230	)
Net share transactions (Note 9):
Core Class		(392,835,766	)		(3,756,011,512	)		—			—
Class III		—			—			(39,532,627	)		(460,198,898	)
Increase (decrease) in net assets resulting from net share transactions		(392,835,766	)		(3,756,011,512	)		(39,532,627	)		(460,198,898	)
Purchase premiums and redemption fees (Notes 2 and 9):
Core Class		2,928,151			8,960,910			—			—
Class III		—			—			36,567			480,788
Increase in net assets resulting from purchase premiums and redemption fees		2,928,151			8,960,910			36,567			480,788
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(389,907,615	)		(3,747,050,602	)		(39,496,060	)		(459,718,110	)
Total increase (decrease) in net assets		286,069,440			(2,428,519,494	)		36,690,198			(341,030,705	)
Net assets:
Beginning of period		11,226,683,853			13,655,203,347			601,792,232			942,822,937
End of period	$	11,512,753,293		$	11,226,683,853		$	638,482,430		$	601,792,232
Accumulated undistributed (distributions in excess of) net investment income	$	137,814,252		$	13,863,806		$	1,947,379		$	54,847

See accompanying notes to the financial statements. 93

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	International Equity Allocation Fund						Consolidated SGM Major Markets Fund
	Six Months Ended August 31, 2017 (Unaudited)			Year Ended February 28, 2017			Six Months Ended August 31, 2017 (Unaudited)			Year Ended February 28, 2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	5,476,257		$	36,335,910		$	(231,941	)	$	(6,611,180	)
Net realized gain (loss)		(6,303,584	)		(37,280,749	)		59,029,718			48,794,708
Change in net unrealized appreciation (depreciation)		136,162,143			226,072,718			(33,254,888	)		13,986,113
Net increase (decrease) in net assets from operations		135,334,816			225,127,879			25,542,889			56,169,641
Distributions to shareholders from:
Net investment income
Class III		(4,022,341	)		(35,103,258	)		—			(338,003	)
Class IV		—			—			—			(1,340,200	)
Class VI		—			—			—			(47,180,108	)
Total distributions from net investment income		(4,022,341	)		(35,103,258	)		—			(48,858,311	)
Net realized gains
Class III		—			—			(49,818	)		(214,673	)
Class IV		—			—			(495,887	)		(1,979,745	)
Class VI		—			—			(11,537,694	)		(52,825,200	)
Total distributions from net realized gains		—			—			(12,083,399	)		(55,019,618	)
Net share transactions (Note 9):
Class III		(138,806,532	)		(239,862,091	)		(1,932,241	)		(18,796,751	)
Class IV		—			—			(42,053,603	)		58,957,014
Class VI		—			—			3,923,984			193,889,925
Increase (decrease) in net assets resulting from net share transactions		(138,806,532	)		(239,862,091	)		(40,061,860	)		234,050,188
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		357,469			841,053			—			—
Increase in net assets resulting from purchase premiums and redemption fees		357,469			841,053			—			—
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(138,449,063	)		(239,021,038	)		(40,061,860	)		234,050,188
Total increase (decrease) in net assets		(7,136,588	)		(48,996,417	)		(26,602,370	)		186,341,900
Net assets:
Beginning of period		1,085,803,184			1,134,799,601			1,507,386,981			1,321,045,081
End of period	$	1,078,666,596		$	1,085,803,184		$	1,480,784,611		$	1,507,386,981
Accumulated undistributed (distributions in excess of) net investment income	$	3,417,922		$	1,964,006		$	(30,308,041	)	$	(30,076,100	)

94 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, 2017 (Unaudited)			Year Ended February 28, 2017			Six Months Ended August 31, 2017 (Unaudited)			Year Ended February 28, 2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,152,353		$	11,252,050		$	11,328,662		$	54,982,571
Net realized gain (loss)		34,824,667			15,757,081			17,073,728			(21,722,828	)
Change in net unrealized appreciation (depreciation)		110,833,981			110,243,332			138,684,570			277,374,456
Net increase (decrease) in net assets from operations		146,811,001			137,252,463			167,086,960			310,634,199
Distributions to shareholders from:
Net investment income
Class III		—			—			(4,577,580	)		(54,767,504	)
Class VI		(680,089	)		(16,240,542	)		—			—
Total distributions from net investment income		(680,089	)		(16,240,542	)		(4,577,580	)		(54,767,504	)
Net realized gains
Class III		—			—			—			(1,162,716	)
Class VI		(20,995,580	)		(20,678,991	)		—			—
Total distributions from net realized gains		(20,995,580	)		(20,678,991	)		—			(1,162,716	)
Net share transactions (Note 9):
Class III		—			—			(269,802,810	)		(206,111,527	)
Class VI		(111,055,495	)		(247,683,492	)		—			—
Increase (decrease) in net assets resulting from net share transactions		(111,055,495	)		(247,683,492	)		(269,802,810	)		(206,111,527	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			526,453			491,456
Class VI		869,017			1,434,047			—			—
Increase in net assets resulting from purchase premiums and redemption fees		869,017			1,434,047			526,453			491,456
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(110,186,478	)		(246,249,445	)		(269,276,357	)		(205,620,071	)
Total increase (decrease) in net assets		14,948,854			(145,916,515	)		(106,766,977	)		49,083,908
Net assets:
Beginning of period		992,818,938			1,138,735,453			2,016,999,496			1,967,915,588
End of period	$	1,007,767,792		$	992,818,938		$	1,910,232,519		$	2,016,999,496
Accumulated undistributed (distributions in excess of) net investment income	$	(696,996	)	$	(1,169,260	)	$	8,346,574		$	1,595,492

See accompanying notes to the financial statements. 95

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

ALPHA ONLY FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,
					2017				2016				2015				2014				2013								2017				2016				2015				2014				2013
Net asset value, beginning of period		$	20.96			$	22.04			$	22.93			$	23.98			$	24.22			$	24.13			$	20.97			$	22.05			$	22.95			$	23.99			$	24.24			$	24.14
Income (loss) from investment operations:
Net investment income (loss)(a)			0.27				0.35				0.37				0.34				0.53	(a)			0.51	(a)			0.27				0.37				0.39				0.35				0.58	(a)			0.60	(a)
Net realized and unrealized gain (loss)			0.81				(0.80	)			(0.40	)			(0.96	)			(0.76	)			(0.35	)			0.82				(0.81	)			(0.41	)			(0.95	)			(0.80	)			(0.42	)
Total from investment operations			1.08				(0.45	)			(0.03	)			(0.62	)			(0.23	)			0.16				1.09				(0.44	)			(0.02	)			(0.60	)			(0.22	)			0.18
Less distributions to shareholders:
From net investment income			(0.08	)			(0.63	)			(0.86	)			(0.43	)			(0.01	)			(0.07	)			(0.08	)			(0.64	)			(0.88	)			(0.44	)			(0.03	)			(0.08	)
Total distributions			(0.08	)			(0.63	)			(0.86	)			(0.43	)			(0.01	)			(0.07	)			(0.08	)			(0.64	)			(0.88	)			(0.44	)			(0.03	)			(0.08	)
Net asset value, end of period		$	21.96			$	20.96			$	22.04			$	22.93			$	23.98			$	24.22			$	21.98			$	20.97			$	22.05			$	22.95			$	23.99			$	24.24
Total Return(b)			5.17	%**			(2.02	)%			(0.06	)%			(2.60	)%			(0.94	)%			0.67	%			5.21	%**			(1.98	)%			(0.03	)%			(2.51	)%			(0.93	)%			0.73	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	7,533			$	7,852			$	7,712			$	26,695			$	35,392			$	51,886			$	223,799			$	225,982			$	286,305			$	3,333,388			$	3,523,518			$	3,389,131
Net expenses to average daily net assets			0.67	%(c)*			0.68	%(c)			0.66	%(c)			0.65	%			0.30	%(c)(d)			0.23	%(c)(d)			0.62	%(c)*			0.62	%(c)			0.60	%(c)			0.60	%			0.26	%(c)(d)			0.18	%(c)(d)
Net investment income (loss) to average daily net assets			2.52	%(a)*			1.62	%(a)			1.66	%(a)			1.44	%			2.19	%(a)			2.10	%(a)			2.48	%(a)*			1.69	%(a)			1.76	%(a)			1.46	%			2.42	%(a)			2.47	%(a)
Portfolio turnover rate			36	%(e)**			22	%(e)			85	%			123	%			66	%			104	%			36	%(e)**			22	%(e)			85	%			123	%			66	%			104	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.20	%*			0.20	%			0.06	%			0.04	%			0.37	%(f)			0.44	%(f)			0.21	%*			0.20	%			0.05	%			0.04	%			0.36	%(f)			0.44	%(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)  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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 80% and 69%, respectively, of the average value of its portfolio.

^(f)  Ratios include indirect fees waived or borne by the Fund

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

96 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, 2017 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,
					2017				2016(a)				2015(b)				2014(b)				2013(b)								2017				2016(a)				2015(b)				2014(b)				2013(b)(c)
Net asset value, beginning of period		$	25.78			$	23.46			$	27.04			$	27.07			$	25.77			$	24.03			$	25.78			$	23.46			$	27.03			$	27.06			$	25.75			$	24.91
Income (loss) from investment operations:
Net investment income (loss)(d)†			0.05				0.37				0.19				0.38				0.48				0.30				0.06				0.40				0.20				0.36				0.46				0.03
Net realized and unrealized gain (loss)			1.54				2.35				(3.26	)			0.86				1.57				1.62				1.54				2.33				(3.26	)			0.89				1.61				0.96
Total from investment operations			1.59				2.72				(3.07	)			1.24				2.05				1.92				1.60				2.73				(3.06	)			1.25				2.07				0.99
Less distributions to shareholders:
From net investment income			(0.04	)			(0.40	)			(0.34	)			(0.52	)			(0.39	)			(0.18	)			(0.05	)			(0.41	)			(0.34	)			(0.53	)			(0.40	)			(0.15	)
From net realized gains			—				—				(0.17	)			(0.75	)			(0.36	)			—				—				—				(0.17	)			(0.75	)			(0.36	)			—
Total distributions			(0.04	)			(0.40	)			(0.51	)			(1.27	)			(0.75	)			(0.18	)			(0.05	)			(0.41	)			(0.51	)			(1.28	)			(0.76	)			(0.15	)
Net asset value, end of period		$	27.33			$	25.78			$	23.46			$	27.04			$	27.07			$	25.77			$	27.33			$	25.78			$	23.46			$	27.03			$	27.06			$	25.75
Total Return(e)			6.17	%**			11.66	%			(11.51	)%			4.71	%			8.03	%			8.03	%			6.20	%**			11.71	%			(11.46	)%			4.75	%			8.12	%			3.99	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	4,902,589			$	5,248,863			$	5,872,663			$	6,040,891			$	3,109,509			$	970,749			$	2,973,322			$	2,663,418			$	2,508,115			$	3,363,711			$	2,511,906			$	705,982
Net operating expenses to average daily net assets(f)			0.64	%*			0.65	%			0.66	%			0.64	%			0.59	%(g)			0.54	%(g)			0.59	%*			0.60	%			0.61	%			0.59	%			0.54	%(g)			0.48	%(g)*
Interest and/or dividend expenses to average daily net assets(h)			—				—				0.02	%			0.05	%			—				—				—				—				0.02	%			0.05	%			—				—
Total net expenses to average daily net assets(f)			0.64	%*			0.65	%			0.68	%			0.69	%			0.59	%			0.54	%			0.59	%*			0.60	%			0.63	%			0.64	%			0.54	%			0.48	%*
Net investment income (loss) to average daily net assets(d)			0.37	%*			1.46	%			0.73	%			1.41	%			1.79	%			1.23	%			0.47	%*			1.61	%			0.80	%			1.32	%			1.73	%			0.60	%*
Portfolio turnover rate			5	%**			7	%			53	%(i)			84	%			52	%			42	%			5	%**			7	%			53	%(i)			84	%			52	%			42	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(j)			0.16	%*			0.15	%			0.16	%			0.20	%			0.27	%			0.41	%			0.16	%*			0.15	%			0.16	%			0.20	%			0.27	%			0.40	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.02			$	0.01			$	0.01			$	0.03			$	0.07			$	0.01			$	0.02			$	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 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 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.

⁽ⁱ⁾  Had the Fund not been consolidated for the year ended February 29, 2016, the portfolio turnover would have been 23%.

^(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. 97

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, 2017 (Unaudited)				Year Ended February 28/29,
					2017				2016(a)				2015(b)				2014(b)				2013(b)(c)
Net asset value, beginning of period		$	25.80			$	23.47			$	27.04			$	27.07			$	25.76			$	24.10
Income (loss) from investment operations:
Net investment income (loss)(d)†			0.06				0.35				0.19				0.37				0.49				0.33
Net realized and unrealized gain (loss)			1.54				2.39				(3.24	)			0.88				1.58				1.52
Total from investment operations			1.60				2.74				(3.05	)			1.25				2.07				1.85
Less distributions to shareholders:
From net investment income			(0.05	)			(0.41	)			(0.35	)			(0.53	)			(0.40	)			(0.19	)
From net realized gains			—				—				(0.17	)			(0.75	)			(0.36	)			—
Total distributions			(0.05	)			(0.41	)			(0.52	)			(1.28	)			(0.76	)			(0.19	)
Net asset value, end of period		$	27.35			$	25.80			$	23.47			$	27.04			$	27.07			$	25.76
Total Return(e)			6.19	%**			11.76	%			(11.45	)%			4.78	%			8.11	%			7.71	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	5,700,311			$	5,858,177			$	8,025,066			$	12,255,179			$	9,103,523			$	2,947,886
Net operating expenses to average daily net assets(f)			0.59	%*			0.60	%(g)			0.58	%(g)			0.55	%(g)			0.53	%(h)			0.49	%(h)
Interest and/or dividend expenses to average daily net assets(i)			—				—				0.02	%			0.05	%			—				—
Total net expenses to average daily net assets(f)			0.59	%*			0.60	%(g)			0.60	%(g)			0.60	%(g)			0.53	%			0.49	%
Net investment income (loss) to average daily net assets(d)			0.42	%*			1.38	%			0.77	%			1.37	%			1.83	%			1.34	%
Portfolio turnover rate			5	%**			7	%			53	%(j)			84	%			52	%			42	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(k)			0.16	%*			0.16	%			0.19	%			0.23	%			0.27	%			0.41	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.02			$	0.01			$	0.01			$	0.03			$	0.06

^(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 March 1, 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 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)  Class MF net expenses include a supplemental support fee reduction (Note 5).

^(h)  The net expense ratio does not include the effect of expense reductions (Note 2).

⁽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.

98 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, 2017 (Unaudited)				Year Ended February 28/29,
					2017				2016				2015				2014				2013
Net asset value, beginning of period		$	18.95			$	17.00			$	20.30			$	22.09			$	21.33			$	20.76
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.23				0.43				0.58				0.61				0.59				0.52
Net realized and unrealized gain (loss)			1.36				2.01				(2.70	)			0.61				1.45				1.34
Total from investment operations			1.59				2.44				(2.12	)			1.22				2.04				1.86
Less distributions to shareholders:
From net investment income			(0.10	)			(0.49	)			(0.60	)			(0.79	)			(0.74	)			(0.68	)
From net realized gains			—				—				(0.58	)			(2.22	)			(0.54	)			(0.61	)
Total distributions			(0.10	)			(0.49	)			(1.18	)			(3.01	)			(1.28	)			(1.29	)
Net asset value, end of period		$	20.44			$	18.95			$	17.00			$	20.30			$	22.09			$	21.33
Total Return(b)			8.40	%**			14.52	%			(10.82	)%			5.76	%			9.66	%			9.25	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	4,272,741			$	4,394,260			$	4,305,118			$	5,052,362			$	4,367,658			$	3,941,582
Net expenses to average daily net assets(c)			0.02	%*			0.01	%			0.00	%(d)			0.00	%(d)			0.00	%(d)(e)			0.00	%(d)(e)
Interest and/or dividend expenses to average daily net assets(f)			0.00	%(g)			0.00	%(g)			—				—				—				—
Total net expenses to average daily net assets(c)			0.02	%*			0.01	%			0.00	%(d)			0.00	%(d)			0.00	%(d)			0.00	%(d)
Net investment income (loss) to average daily net assets(a)			2.34	%*			2.37	%			3.09	%			2.90	%			2.67	%			2.51	%
Portfolio turnover rate			45	%(h)**			83	%(h)			101	%			60	%			51	%			31	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			0.04	%			0.01	%			0.00	%(i)			0.00	%(i)			0.01	%
Redemption fees consisted of the following per share amounts:†		$	0.01			$	0.00	(j)		$	0.00	(j)		$	0.00	(j)		$	0.00	(j)		$	0.00	(j)

^(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)  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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 86% and 49%, respectively, of the average value of its portfolio.

⁽ⁱ⁾  Fees and expenses reimbursed by GMO were less than 0.01%.

^(j)  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. 99

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL ASSET ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,
					2017(a)				2016(a)				2015(a)				2014(a)				2013(a)
Net asset value, beginning of period		$	30.48			$	27.60			$	33.81			$	35.40			$	32.70			$	31.20
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.12				0.61				1.02				0.96				0.81				0.87
Net realized and unrealized gain (loss)			2.08				3.00				(4.53	)			0.60				2.73				1.50
Total from investment operations			2.20				3.61				(3.51	)			1.56				3.54				2.37
Less distributions to shareholders:
From net investment income			(0.07	)			(0.73	)			(1.14	)			(1.29	)			(0.84	)			(0.87	)
From net realized gains			—				—				(1.56	)			(1.86	)			—				—
Total distributions			(0.07	)			(0.73	)			(2.70	)			(3.15	)			(0.84	)			(0.87	)
Net asset value, end of period		$	32.61			$	30.48			$	27.60			$	33.81			$	35.40			$	32.70
Total Return(c)			7.22	%**			13.21	%			(10.98	)%			4.55	%			10.88	%			7.65	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,428,360			$	2,423,945			$	3,317,792			$	4,868,922			$	5,362,913			$	4,764,133
Net expenses to average daily net assets(d)(e)			0.00	%*			0.00	%			0.00	%			0.00	%			0.00	%(f)			0.00	%(f)
Net investment income (loss) to average daily net assets(b)			0.74	%*			2.06	%			3.33	%			2.75	%			2.33	%			2.70	%
Portfolio turnover rate			13	%(g)**			19	%(g)			20	%			38	%			46	%			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			$	0.02			$	0.01			$	0.01			$	0.01			$	0.01

^(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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 18% and 15%, respectively, of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

100 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, 2017 (Unaudited)				Year Ended February 28/29,
					2017				2016				2015				2014				2013
Net asset value, beginning of period		$	19.60			$	17.40			$	22.84			$	25.00			$	21.13			$	19.49
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.07				0.52				0.51				0.80				0.61				0.57
Net realized and unrealized gain (loss)			1.97				2.87				(3.64	)			0.02	(b)			3.96				1.73
Total from investment operations			2.04				3.39				(3.13	)			0.82				4.57				2.30
Less distributions to shareholders:
From net investment income			(0.14	)			(0.55	)			(0.52	)			(0.82	)			(0.70	)			(0.66	)
From net realized gains			—				(0.64	)			(1.79	)			(2.16	)			—				—
Total distributions			(0.14	)			(1.19	)			(2.31	)			(2.98	)			(0.70	)			(0.66	)
Net asset value, end of period		$	21.50			$	19.60			$	17.40			$	22.84			$	25.00			$	21.13
Total Return(c)			10.43	%**			20.03	%			(14.81	)%			3.32	%			21.68	%			11.95	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	622,329			$	992,260			$	1,432,776			$	1,770,455			$	1,591,060			$	1,531,772
Net expenses to average daily net assets(d)(e)			0.00	%*			0.00	%			0.00	%			0.00	%			0.00	%(f)			0.00	%(f)
Net investment income (loss) to average daily net assets(a)			0.72	%*			2.78	%			2.49	%			3.34	%			2.62	%			2.86	%
Portfolio turnover rate			2	%**			29	%			14	%			16	%			36	%			31	%
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			$	0.01			$	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. 101

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL EQUITY ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,
					2017(a)				2016(a)				2015(a)				2014(a)				2013(a)
Net asset value, beginning of period		$	22.84			$	19.71			$	26.22			$	28.29			$	25.80			$	25.47
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.10				0.57				0.60				0.96				0.84				0.75
Net realized and unrealized gain (loss)			2.43				3.67				(4.47	)			(0.03	)(c)			3.63				1.71
Total from investment operations			2.53				4.24				(3.87	)			0.93				4.47				2.46
Less distributions to shareholders:
From net investment income			(0.07	)			(0.70	)			(0.60	)			(0.90	)			(0.87	)			(0.78	)
From net realized gains			—				(0.41	)			(2.04	)			(2.10	)			(1.11	)			(1.35	)
Total distributions			(0.07	)			(1.11	)			(2.64	)			(3.00	)			(1.98	)			(2.13	)
Net asset value, end of period		$	25.30			$	22.84			$	19.71			$	26.22			$	28.29			$	25.80
Total Return(d)			11.10	%**			21.93	%			(15.96	)%			3.37	%			17.60	%			10.01	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,416,339			$	2,206,818			$	2,879,168			$	3,800,256			$	2,948,319			$	2,220,674
Net expenses to average daily net assets(f)(g)			0.00	%*			0.00	%			0.00	%			0.00	%			0.00	%(e)			0.00	%(e)
Net investment income (loss) to average daily net assets(b)			0.85	%*			2.63	%			2.58	%			3.54	%			3.02	%			2.90	%
Portfolio turnover rate			9	%**			27	%			15	%			21	%			51	%			24	%
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)		$	0.02			$	0.01			$	0.01			$	0.01			$	0.01

^(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%.

^(h)  Purchase premiums and redemptions fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

102 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, 2017 (Unaudited)				Year Ended February 28/29,																Period from March 1, 2012 (commencement of operations) through February 28, 2013
					2017				2016				2015				2014
Net asset value, beginning of period		$	13.06			$	11.80			$	13.59			$	12.71			$	11.30			$	10.00
Income (loss) from investment operations:
Net investment income (loss)†			0.22				0.27				0.21				0.25				0.32				0.24
Net realized and unrealized gain (loss)			0.64				1.24				(2.00	)			0.63				1.09				1.06
Total from investment operations			0.86				1.51				(1.79	)			0.88				1.41				1.30
Less distributions to shareholders:
From net investment income			(0.07	)			(0.25	)			—				—				—				—
Total distributions			(0.07	)			(0.25	)			—				—				—				—
Net asset value, end of period		$	13.85			$	13.06			$	11.80			$	13.59			$	12.71			$	11.30
Total Return(a)			6.60	%**			12.88	%			(13.17	)%			6.92	%			12.48	%			13.00	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	11,512,753			$	11,226,684			$	13,655,203			$	15,915,866			$	10,160,905			$	2,471,328
Net operating expenses to average daily net assets			0.01	%*			0.00	%(b)			0.00	%(b)			0.00	%(b)			0.00	%(b)(c)			0.00	%(b)
Interest and/or dividend expenses to average daily net assets(d)			0.05	%*			0.05	%			0.07	%			0.07	%			—				—
Total net expenses to average daily net assets			0.06	%*			0.05	%			0.07	%			0.07	%			0.00	%			0.00	%
Net investment income (loss) to average daily net assets			3.19	%*			2.11	%			1.62	%			1.89	%			2.61	%			2.21	%
Portfolio turnover rate			84	%**			142	%			127	%			115	%			65	%			66	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%*			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			$	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. 103

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, 2017 (Unaudited)				Year Ended February 28/29,
					2017				2016				2015				2014				2013
Net asset value, beginning of period		$	14.72			$	13.05			$	16.88			$	17.99			$	14.86			$	13.87
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.09				0.45				0.48				0.74				0.54				0.50
Net realized and unrealized gain (loss)			1.85				1.79				(3.83	)			(1.11	)			3.16				0.97
Total from investment operations			1.94				2.24				(3.35	)			(0.37	)			3.70				1.47
Less distributions to shareholders:
From net investment income			(0.04	)			(0.57	)			(0.48	)			(0.74	)			(0.57	)			(0.48	)
Total distributions			(0.04	)			(0.57	)			(0.48	)			(0.74	)			(0.57	)			(0.48	)
Net asset value, end of period		$	16.62			$	14.72			$	13.05			$	16.88			$	17.99			$	14.86
Total Return(b)			13.19	%**			17.37	%			(20.09	)%			(1.86	)%			25.02	%			10.71	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	638,482			$	601,792			$	942,823			$	1,180,493			$	1,150,492			$	966,794
Net expenses to average daily net assets(c)(d)			0.00	%*			0.00	%			0.00	%			0.00	%			0.00	%(e)			0.00	%(e)
Net investment income (loss) to average daily net assets(a)			1.10	%*			3.14	%			3.07	%			4.24	%			3.28	%			3.59	%
Portfolio turnover rate			1	%**			10	%			14	%			7	%			52	%			17	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*			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)		$	0.01			$	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.

104 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, 2017 (Unaudited)				Year Ended February 28/29,
					2017(a)				2016(a)				2015(a)				2014(a)				2013(a)
Net asset value, beginning of period		$	27.49			$	23.40			$	31.71			$	34.11			$	31.29			$	29.94
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.15				0.84				0.84				1.32				1.05				0.96
Net realized and unrealized gain (loss)			3.58				4.15				(7.11	)			(1.83	)			3.96				1.35
Total from investment operations			3.73				4.99				(6.27	)			(0.51	)			5.01				2.31
Less distributions to shareholders:
From net investment income			(0.12	)			(0.90	)			(0.87	)			(1.35	)			(1.02	)			(0.96	)
From net realized gains			—				—				(1.17	)			(0.54	)			(1.17	)			—
Total distributions			(0.12	)			(0.90	)			(2.04	)			(1.89	)			(2.19	)			(0.96	)
Net asset value, end of period		$	31.10			$	27.49			$	23.40			$	31.71			$	34.11			$	31.29
Total Return(c)			13.56	%**			21.57	%			(20.70	)%			(1.30	)%			16.22	%			7.79	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,078,667			$	1,085,803			$	1,134,800			$	1,595,039			$	1,790,318			$	1,385,150
Net expenses to average daily net assets(d)(e)			0.00	%*			0.00	%			0.00	%			0.00	%			0.00	%(f)			0.00	%(f)
Net investment income (loss) to average daily net assets(b)			1.02	%*			3.20	%			2.92	%			3.94	%			3.15	%			3.26	%
Portfolio turnover rate			3	%**			7	%			14	%			18	%			40	%			21	%
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			$	0.02			$	0.01			$	0.01			$	0.02			$	0.02

^(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. 105

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED SGM MAJOR MARKETS FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2017 (Unaudited)				Period from October 26, 2016 (commencement of operations) through February 28, 2017
					2017				2016				2015				2014				2013
Net asset value, beginning of period		$	32.68			$	33.25			$	33.80			$	32.18			$	30.47			$	30.05			$	32.56			$	35.27
Income (loss) from investment operations:
Net investment income (loss)(a)†			(0.02	)			(0.21	)			(0.26	)			(0.25	)			(0.22	)			(0.18	)			(0.02	)			(0.05	)
Net realized and unrealized gain (loss)			0.57				1.87				(0.29	)			1.87	(b)			1.93				0.60				0.57				(0.62	)
Total from investment operations			0.55				1.66				(0.55	)			1.62				1.71				0.42				0.55				(0.67	)
Less distributions to shareholders:
From net investment income			—				(1.01	)			—				—				—				—				—				(0.82	)
From net realized gains			(0.27	)			(1.22	)			—				—				—				—				(0.27	)			(1.22	)
Total distributions			(0.27	)			(2.23	)			—				—				—				—				(0.27	)			(2.04	)
Net asset value, end of period		$	32.96			$	32.68			$	33.25			$	33.80			$	32.18			$	30.47			$	32.84			$	32.56
Total Return(c)			1.67	%**			5.12	%			(1.63	)%			5.03	%			5.61	%			1.40	%			1.68	%**			(1.79	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	4,237			$	6,117			$	24,020			$	1,499,443			$	1,662,189			$	959,752			$	13,137			$	54,825
Net expenses to average daily net assets(d)			1.00	%*			1.00	%			0.85	%			0.80	%			0.75	%			0.75	%(e)			0.95	%*			0.95	%*
Net investment income (loss) to average daily net assets(a)			(0.12	)%*			(0.61	)%			(0.79	)%			(0.76	)%			(0.70	)%			(0.61	)%			(0.10	)%*			(0.41	)%*
Portfolio turnover rate			67	%(f)**			15	%(f)			29	%			45	%			97	%			17	%			67	%(f)**			15	%(f)**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%*			0.04	%			0.03	%			0.08	%			0.13	%			0.17	%			0.03	%*			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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 47% and 25%, respectively, of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

106 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED SGM MAJOR MARKETS FUND (continued)

	Class VI Shares
	Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28, 2017				Period from December 1, 2015 (commencement of operations) through February 28, 2016
Net asset value, beginning of period		$	32.57			$	33.26			$	33.07
Income (loss) from investment operations:
Net investment income (loss)(a)†			(0.00	)(b)			(0.16	)			(0.05	)
Net realized and unrealized gain (loss)			0.56				1.85				0.24
Total from investment operations			0.56				1.69				0.19
Less distributions to shareholders:
From net investment income			—				(1.16	)			—
From net realized gains			(0.27	)			(1.22	)			—
Total distributions			(0.27	)			(2.38	)			—
Net asset value, end of period		$	32.86			$	32.57			$	33.26
Total Return(c)			1.71	%**			5.22	%			0.57	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,463,410			$	1,446,445			$	1,297,025
Net expenses to average daily net assets(d)			0.91	%*			0.91	%			0.91	%*
Net investment income (loss) to average daily net assets(a)			(0.03	)%*			(0.47	)%			(0.59	)%*
Portfolio turnover rate			67	%(e)**			15	%(e)			29	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%*			0.04	%			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)  Per share amount is less than $0.01.

^(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 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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 47% and 25%, respectively, 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. 107

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED SPECIAL OPPORTUNITIES FUND

	Class VI Shares
	Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,								Period from July 28, 2014 (commencement of operations) through February 28, 2015
					2017				2016
Net asset value, beginning of period		$	20.39			$	18.65			$	19.81			$	20.00
Income (loss) from investment operations:
Net investment income (loss)†	��		0.03				0.21				0.16				(0.03	)
Net realized and unrealized gain (loss)			3.19				2.23				(0.85	)			(0.15	)(a)
Total from investment operations			3.22				2.44				(0.69	)			(0.18	)
Less distributions to shareholders:
From net investment income			(0.02	)			(0.32	)			(0.21	)			(0.01	)
From net realized gains			(0.48	)			(0.38	)			(0.26	)			—
Total distributions			(0.50	)			(0.70	)			(0.47	)			(0.01	)
Net asset value, end of period		$	23.11			$	20.39			$	18.65			$	19.81
Total Return(b)			15.83	%**			13.21	%			(3.64	)%			(0.89	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,007,768			$	992,819			$	1,138,735			$	843,864
Net expenses to average daily net assets			1.23	%*			1.23	%			1.29	%			1.36	%*
Net investment income (loss) to average daily net assets			0.23	%*			1.05	%			0.80	%			(0.25	)%*
Portfolio turnover rate			5	%**			87	%			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			$	0.03			$	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.

108 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

STRATEGIC OPPORTUNITIES ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2017 (Unaudited)				Year Ended February 28/29,
					2017				2016				2015				2014				2013
Net asset value, beginning of period		$	19.76			$	17.43			$	21.89			$	23.43			$	21.47			$	21.26
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.12				0.51				0.75				0.76				0.68				0.65
Net realized and unrealized gain (loss)			1.59				2.36				(3.47	)			0.44				2.96				1.57
Total from investment operations			1.71				2.87				(2.72	)			1.20				3.64				2.22
Less distributions to shareholders:
From net investment income			(0.05	)			(0.53	)			(0.80	)			(0.87	)			(0.78	)			(0.75	)
From net realized gains			—				(0.01	)			(0.94	)			(1.87	)			(0.90	)			(1.26	)
Total distributions			(0.05	)			(0.54	)			(1.74	)			(2.74	)			(1.68	)			(2.01	)
Net asset value, end of period		$	21.42			$	19.76			$	17.43			$	21.89			$	23.43			$	21.47
Total Return(b)			8.65	%**			16.60	%			(13.00	)%			5.36	%			17.24	%			10.81	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,910,233			$	2,016,999			$	1,967,916			$	2,449,194			$	2,455,863			$	2,168,928
Net expenses to average daily net assets(c)(d)			0.00	%*			0.00	%			0.00	%			0.00	%			0.00	%(e)			0.00	%(e)
Net investment income (loss) to average daily net assets(a)			1.11	%*			2.69	%			3.80	%			3.31	%			2.99	%			3.01	%
Portfolio turnover rate			15	%(f)**			28	%(f)			65	%			30	%			53	%			34	%
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	%
Redemption fees consisted of the following per share amounts:†		$	0.01			$	0.00	(g)		$	0.00	(g)		$	0.00	(g)		$	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 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 year ended February 28, 2017 and period ended August 31, 2017, including transactions in USTF, was 39% and 14%, respectively, of the average value of its portfolio.

^(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. 109

GMO Trust Funds

Notes to Financial Statements

August 31, 2017 (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 financial statements are available without charge on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov or on GMO’s website at www.gmo.com.

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% Bloomberg 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.

Global Developed Equity Allocation Fund is 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.

110

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Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

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.

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 Highlights for BFAF include the accounts of Implementation Fund through July 31, 2015. 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, 2017, 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, if any, that were valued using fair value inputs obtained from that independent pricing service as of August 31, 2017. 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.

111

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Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

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 source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds. 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.

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, 2017 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		—			52%		—
Benchmark-Free Allocation Fund		< 1%			34%		2%
Benchmark-Free Fund		< 1%			41%		2%
Global Asset Allocation Fund		< 1%			40%		< 1%
Global Developed Equity Allocation Fund		< 1%			57%		—
Global Equity Allocation Fund		< 1%			63%		—
Consolidated Implementation Fund		0%	§		41%		2%
International Developed Equity Allocation Fund		< 1%			97%		—
International Equity Allocation Fund		< 1%			94%		—
Consolidated SGM Major Markets Fund		—			<1%		—
Consolidated Special Opportunities Fund		—			12%		—
Strategic Opportunities Allocation Fund		< 1%			48%		<1%

§ Represents the interest in securities that were determined to have a value of zero at August 31, 2017.

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.

112

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Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

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, 2017.

The three levels are defined as follows:

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

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

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

The types of assets and liabilities categorized in Level 2 generally include certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; 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, 2017:

Description	Level 1		Level 2		Level 3		Total
Alpha Only Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	2,582,126	$	—	$	2,582,126
Austria		—		545,133		—		545,133
Belgium		—		209,484		—		209,484
Brazil		—		1,142,161		—		1,142,161
Chile		—		77,313		—		77,313
China		20,010		16,254,803		—		16,274,813
Colombia		87,148		—		—		87,148

113

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Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

Description	Level 1			Level 2		Level 3			Total
Alpha Only Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Czech Republic	$	—		$	203,559	$	—		$	203,559
Denmark		—			143,944		—			143,944
Egypt		—			6,952		—			6,952
Finland		—			572,926		—			572,926
France		—			8,000,925		—			8,000,925
Germany		—			7,791,718		—			7,791,718
Greece		—			30,623		—			30,623
Hong Kong		—			1,327,758		—			1,327,758
Hungary		—			156,640		—			156,640
India		—			6,353,426		10,407			6,363,833
Indonesia		—			711,074		—			711,074
Ireland		—			6,833		—			6,833
Israel		48,505			73,226		—			121,731
Italy		—			2,466,145		—			2,466,145
Japan		—			16,038,938		—			16,038,938
Malaysia		—			681,237		0	§		681,237
Mexico		1,747,207			—		—			1,747,207
Netherlands		15,090			2,035,442		—			2,050,532
New Zealand		—			37,437		—			37,437
Norway		—			1,079,320		—			1,079,320
Peru		585,411			—		—			585,411
Philippines		—			308,590		—			308,590
Poland		—			1,391,993		—			1,391,993
Portugal		—			33,613		—			33,613
Qatar		—			224,908		—			224,908
Russia		—			145,184		—			145,184
Singapore		—			404,710		—			404,710
South Africa		—			3,299,226		—			3,299,226
South Korea		—			5,713,883		—			5,713,883
Spain		—			3,986,115		—			3,986,115
Sweden		—			2,392,452		—			2,392,452
Switzerland		—			5,203,413		—			5,203,413
Taiwan		1,694,372			7,307,309		—			9,001,681
Thailand		—			273,189		—			273,189
Turkey		—			2,375,894		—			2,375,894
United Arab Emirates		—			181,541		—			181,541
United Kingdom		—			15,541,018		—			15,541,018
United States		86,328,370			—		—			86,328,370
TOTAL COMMON STOCKS		90,526,113			117,312,181		10,407			207,848,701
Preferred Stocks
Brazil		—			2,841,429		—			2,841,429
Colombia		40,945			—		—			40,945
Germany		—			574,909		—			574,909
Russia		—			13,710		—			13,710
South Korea		—			600,505		—			600,505
TOTAL PREFERRED STOCKS		40,945			4,030,553		—			4,071,498
Rights/Warrants
China		0	§		—		—			0	§
TOTAL RIGHTS/WARRANTS		0	§		—		—			0	§
Mutual Funds
United States		10,471,405			—		—			10,471,405
TOTAL MUTUAL FUNDS		10,471,405			—		—			10,471,405

114

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Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Alpha Only Fund (continued)
Asset Valuation Inputs (continued)
Short-Term Investments	$	10,116,159		$	—		$	—	$	10,116,159
Total Investments		111,154,622			121,342,734			10,407		232,507,763
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			151,358			—		151,358
Total	$	111,154,622		$	121,494,092		$	10,407	$	232,659,121
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(825,475	)	$	—	$	(825,475	)
Futures Contracts
Equity Risk		(3,172,625	)		—			—		(3,172,625	)
Total	$	(3,172,625	)	$	(825,475	)	$	—	$	(3,998,100	)
Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	13,576,848,340		$	—		$	—	$	13,576,848,340
Short-Term Investments		8,128,419			—			—		8,128,419
Total Investments		13,584,976,759			—			—		13,584,976,759
Total	$	13,584,976,759		$	—		$	—	$	13,584,976,759
Benchmark-Free Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	21,598,351		$	—	$	21,598,351
Austria		—			8,001,784			—		8,001,784
Belgium		—			1,231,575			—		1,231,575
Brazil		5,613,597			13,356,653			—		18,970,250
Canada		35,442,833			—			—		35,442,833
Chile		—			408,853			—		408,853
China		24,628,394			204,068,335			—		228,696,729
Colombia		2,857,917			—			—		2,857,917
Czech Republic		—			3,005,753			—		3,005,753
Denmark		—			554,630			—		554,630
Finland		—			8,743,583			—		8,743,583
France		3,465,328			70,288,310			—		73,753,638
Germany		—			70,398,900			—		70,398,900
Greece		—			2,203,655			—		2,203,655
Hong Kong		—			32,556,390			—		32,556,390
Hungary		—			3,429,409			—		3,429,409
India		10,058,360			70,525,918			—		80,584,278
Indonesia		—			1,987,812			—		1,987,812
Israel		—			1,590,786			—		1,590,786
Italy		4,616,163			11,475,010			—		16,091,173
Japan		—			150,241,545			—		150,241,545
Malaysia		—			675,309			—		675,309
Mexico		15,949,871			—			—		15,949,871
Netherlands		1,648,320			22,415,967			—		24,064,287
New Zealand		—			2,072,086			—		2,072,086

115

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Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Norway	$	—		$	11,856,202		$	—	$	11,856,202
Philippines		—			233,803			—		233,803
Poland		—			13,224,672			—		13,224,672
Portugal		—			594,197			—		594,197
Qatar		—			469,132			—		469,132
Russia		1,528,470			1,595,257			—		3,123,727
Singapore		—			4,724,771			—		4,724,771
South Africa		—			55,533,026			—		55,533,026
South Korea		—			90,790,527			—		90,790,527
Spain		—			25,328,544			—		25,328,544
Sweden		—			18,548,482			—		18,548,482
Switzerland		—			31,919,000			—		31,919,000
Taiwan		3,314,065			104,113,208			—		107,427,273
Thailand		—			17,711,595			—		17,711,595
Turkey		—			41,558,501			—		41,558,501
United Arab Emirates		—			561,394			—		561,394
United Kingdom		472,112			81,525,767			—		81,997,879
United States		143,598,018			—			—		143,598,018
TOTAL COMMON STOCKS		253,193,448			1,201,118,692			—		1,454,312,140
			��
Debt Obligations
Jersey		—			603,209			—		603,209
United States		437,328,054			714,834,306			—		1,152,162,360
TOTAL DEBT OBLIGATIONS		437,328,054			714,834,306			—		1,152,162,360
Preferred Stocks
Brazil		4,605,714			40,645,417			—		45,251,131
Germany		—			4,173,592			—		4,173,592
Russia		—			64,943			—		64,943
South Korea		—			17,981,632			—		17,981,632
TOTAL PREFERRED STOCKS		4,605,714			62,865,584			—		67,471,298
Investment Funds
United States		4,909,916			—			—		4,909,916
TOTAL INVESTMENT FUNDS		4,909,916			—			—		4,909,916
Mutual Funds
United States		1,339,020,458			—			—		1,339,020,458
TOTAL MUTUAL FUNDS		1,339,020,458			—			—		1,339,020,458
Short-Term Investments		41,886,219			220,039,768			—		261,925,987
Total Investments		2,080,943,809			2,199,461,559			—		4,280,405,368
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			160,970			—		160,970
Futures Contracts
Equity Risk		170,315			—			—		170,315
Total	$	2,081,114,124		$	2,199,622,529		$	—	$	4,280,736,653
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(1,293,929	)		—		(1,293,929	)
Total Forward Currency Contracts	$	—		$	(1,293,929	)	$	—	$	(1,293,929	)

116

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Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

Description	Level 1		Level 2		Level 3			Total
Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	2,428,244,261	$	—	$	—		$	2,428,244,261
Debt Obligations
Asset-Backed Securities		—		74,533		—			74,533
TOTAL DEBT OBLIGATIONS		—		74,533		—			74,533
Short-Term Investments		275,165		—		—			275,165
Total Investments		2,428,519,426		74,533		—			2,428,593,959
Total	$	2,428,519,426	$	74,533	$	—		$	2,428,593,959
Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	622,145,562	$	—	$	—		$	622,145,562
Short-Term Investments		33,313,442		—		—			33,313,442
Total Investments		655,459,004		—		—			655,459,004
Total	$	655,459,004	$	—	$	—		$	655,459,004
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	2,415,639,569	$	—	$	—		$	2,415,639,569
Short-Term Investments		1,037,451		—		—			1,037,451
Total Investments		2,416,677,020		—		—			2,416,677,020
Total	$	2,416,677,020	$	—	$	—		$	2,416,677,020
Consolidated Implementation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	58,802,863	$	—		$	58,802,863
Austria		—		25,002,789		—			25,002,789
Belgium		—		2,165,106		—			2,165,106
Brazil		4,960,467		84,041,948		—			89,002,415
Canada		101,287,561		—		—			101,287,561
Chile		—		1,914,789		—			1,914,789
China		88,392,482		816,602,013		0	§		904,994,495
Colombia		9,491,825		—		—			9,491,825
Czech Republic		—		20,629,935		—			20,629,935
Denmark		—		3,952,555		—			3,952,555
Finland		—		21,392,766		—			21,392,766
France		9,225,760		219,618,282		—			228,844,042
Germany		—		200,202,796		—			200,202,796
Greece		—		18,110,062		—			18,110,062
Hong Kong		—		88,711,936		—			88,711,936
Hungary		—		11,479,669		—			11,479,669
India		51,092,400		318,797,563		—			369,889,963
Indonesia		628,696		7,924,455		—			8,553,151
Ireland		—		56,498		—			56,498
Israel		556,041		4,044,307		—			4,600,348
Italy		13,360,153		52,542,349		—			65,902,502
Japan		—		423,943,948		—			423,943,948

117

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Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

Description	Level 1		Level 2		Level 3			Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Malaysia	$	—	$	997,842	$	—		$	997,842
Mexico		41,304,189		—		—			41,304,189
Netherlands		59,684,355		41,888,206		—			101,572,561
New Zealand		—		2,846,482		—			2,846,482
Norway		—		29,937,304		—			29,937,304
Philippines		—		764,348		—			764,348
Poland		—		52,880,815		—			52,880,815
Portugal		—		2,076,201		—			2,076,201
Qatar		—		5,152,674		—			5,152,674
Russia		29,482,488		36,723,487		—			66,205,975
Singapore		—		8,389,395		—			8,389,395
South Africa		—		153,248,155		—			153,248,155
South Korea		2,283,687		436,111,863		—			438,395,550
Spain		28,420,108		62,021,757		—			90,441,865
Sweden		—		47,030,725		—			47,030,725
Switzerland		—		86,468,335		—			86,468,335
Taiwan		50,639,553		590,484,683		—			641,124,236
Thailand		—		160,931,661		—			160,931,661
Turkey		—		191,221,280		—			191,221,280
United Arab Emirates		—		3,270,749		—			3,270,749
United Kingdom		9,385,659		280,059,885		—			289,445,544
United States		805,231,148		—		—			805,231,148
TOTAL COMMON STOCKS		1,305,426,572		4,572,442,476		0	§		5,877,869,048
Preferred Stocks
Brazil		1,239,359		127,932,631		—			129,171,990
Germany		—		13,669,101		—			13,669,101
Russia		—		5,188,425		—			5,188,425
South Korea		—		79,604,302		—			79,604,302
TOTAL PREFERRED STOCKS		1,239,359		226,394,459		—			227,633,818
Rights/Warrants
Canada		270,030		—		—			270,030
Hong Kong		2,762		—		—			2,762
Singapore		—		—		2,520,800			2,520,800
United States		—		—		1,104,414			1,104,414
TOTAL RIGHTS/WARRANTS		272,792		—		3,625,214			3,898,006
Investment Funds
United States		36,017,722		—		—			36,017,722
TOTAL INVESTMENT FUNDS		36,017,722		—		—			36,017,722
Debt Obligations
Australia		—		1,315,250		—			1,315,250
Brazil		—		15,586,398		—			15,586,398
Canada		—		7,002,261		—			7,002,261
Denmark		—		—		23,996,750			23,996,750
France		—		1,386,378		—			1,386,378
Germany		—		1,138,968		—			1,138,968
Hong Kong		—		791,250		—			791,250
Ireland		—		780,000		—			780,000
Italy		—		3,109,486		—			3,109,486
Japan		—		217,828,548		—			217,828,548

118

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Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Debt Obligations (continued)
Jersey	$	—		$	1,652,582		$	—	$	1,652,582
Luxembourg		—			725,625			—		725,625
Puerto Rico		—			33,294,986			—		33,294,986
Spain		—			2,616,549			15,353,020		17,969,569
United Kingdom		—			7,762,135			—		7,762,135
United States		1,827,419,935			2,007,882,400			41,069,640		3,876,371,975
TOTAL DEBT OBLIGATIONS		1,827,419,935			2,302,872,816			80,419,410		4,210,712,161
Mutual Funds
United States		178,972,044			—			—		178,972,044
TOTAL MUTUAL FUNDS		178,972,044			—			—		178,972,044
Purchased Options		14,553,034			17,763			—		14,570,797
Short-Term Investments		207,078,568			635,029,586			—		842,108,154
Total Investments		3,570,980,026			7,736,757,100			84,044,624		11,391,781,750
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			23,492,628			—		23,492,628
Futures Contracts
Equity Risk		2,693,099			—			—		2,693,099
Interest Rate Risk		58,324			—			—		58,324
Swap Contracts
Credit Risk		—			11,291,744			—		11,291,744
Equity Risk		—			38,907			—		38,907
Interest Rate Risk		—			3,633,792			—		3,633,792
Total	$	3,573,731,449		$	7,775,214,171		$	84,044,624	$	11,432,990,244
Liability Valuation Inputs
Common Stocks
China	$	(180,898,207	)	$	—		$	—	$	(180,898,207	)
France		—			(19,283,375	)		—		(19,283,375	)
Japan		—			(23,777,763	)		—		(23,777,763	)
Switzerland		—			(31,709,458	)		—		(31,709,458	)
United Kingdom		—			(15,087,019	)		—		(15,087,019	)
United States		(160,828,951	)		—			—		(160,828,951	)
Total Common Stocks		(341,727,158	)		(89,857,615	)		—		(431,584,773	)
Exchange-Traded Funds
United States		(10,564,628	)		—			—		(10,564,628	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(28,509,624	)		—		(28,509,624	)
Futures Contracts
Interest Rate Risk		(33,338	)		—			—		(33,338	)
Written Options
Credit Risk		—			(278,773	)		—		(278,773	)
Equity Risk		(1,021,575	)		(1,902,950	)		—		(2,924,525	)
Swap Contracts
Credit Risk		—			(4,414,964	)		—		(4,414,964	)
Equity Risk		—			(147,854	)		—		(147,854	)
Interest Rate Risk		—			(7,656,394	)		—		(7,656,394	)
Total	$	(353,346,699	)	$	(132,768,174	)	$	—	$	(486,114,873	)

119

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Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	638,287,786		$	—		$	—	$	638,287,786
Short-Term Investments		1,924,919			—			—		1,924,919
Total Investments		640,212,705			—			—		640,212,705
Total	$	640,212,705		$	—		$	—	$	640,212,705
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,078,362,479		$	—		$	—	$	1,078,362,479
Short-Term Investments		370,639			—			—		370,639
Total Investments		1,078,733,118			—			—		1,078,733,118
Total	$	1,078,733,118		$	—		$	—	$	1,078,733,118
Consolidated SGM Major Markets Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	139,281,042		$	—		$	—	$	139,281,042
U.S. Government Agency		57,461,551			—			—		57,461,551
TOTAL DEBT OBLIGATIONS		196,742,593			—			—		196,742,593
Mutual Funds		755,934,858			—			—		755,934,858
Short-Term Investments		525,675,768			—			—		525,675,768
Total Investments		1,478,353,219			—			—		1,478,353,219
Derivatives^
Forward Currency Contracts
Foreign Currency Risk
		—			3,967,882			—		3,967,882
Futures Contracts
Equity Risk		13,355,310			565,143			—		13,920,453
Physical Commodity Contract Risk		5,774,577			—			—		5,774,577
Interest Rate Risk		189,666			—			—		189,666
Total	$	1,497,672,772		$	4,533,025		$	—	$	1,502,205,797
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk
	$	—		$	(2,966,952	)	$	—	$	(2,966,952	)
Futures Contracts
Interest Rate Risk		(1,751,835	)		(1,364,229	)		—		(3,116,064	)
Equity Risk		(3,869,587	)		(18,552,920	)		—		(22,422,507	)
Total	$	(5,621,422	)	$	(22,884,101	)	$	—	$	(28,505,523	)
Consolidated Special Opportunities Fund
Asset Valuation Inputs
Common Stocks
Canada	$	120,120		$	—		$	—	$	120,120
Germany		—			33,700,873			—		33,700,873
Netherlands		40,961,500			—			—		40,961,500

120

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Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Consolidated Special Opportunities Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Romania	$	—		$	24,248,846		$	—	$	24,248,846
United Kingdom		—			65,044,846			—		65,044,846
United States		606,314,200			—			—		606,314,200
TOTAL COMMON STOCKS		647,395,820			122,994,565			—		770,390,385
Debt Obligations
Jamaica		—			14,027,467			—		14,027,467
TOTAL DEBT OBLIGATIONS		—			14,027,467			—		14,027,467
Short-Term Investments		217,116,720			—			—		217,116,720
Total Investments		864,512,540			137,022,032			—		1,001,534,572
Total	$	864,512,540		$	137,022,032		$	—	$	1,001,534,572
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(305,217	)	$	—	$	(305,217	)
Futures Contracts
Physical Commodity Contract Risk		(1,047,250	)		—			—		(1,047,250	)
Written Options
Equity Risk		(34,450	)		—			—		(34,450	)
Total	$	(1,081,700	)	$	(305,217	)	$	—	$	(1,386,917	)
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,754,613,028		$	—		$	—	$	1,754,613,028
Debt Obligations
U.S. Government		—			153,973,403			—		153,973,403
TOTAL DEBT OBLIGATIONS		—			153,973,403			—		153,973,403
Short-Term Investments		318,278			—			—		318,278
Total Investments		1,754,931,306			153,973,403			—		1,908,904,709
Total	$	1,754,931,306		$	153,973,403		$	—	$	1,908,904,709

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, 2017.

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, 2017, there were no significant transfers between Level 1 and Level 2.

121

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Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

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

	Balances as of February 28, 2017		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, 2017		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2017
Alpha Only Fund
Common Stocks
India	$	—	$	—	$	—		$	—		$	—		$	—		$	10,467	‡	$	—		$	10,467	$	—
Rights/Warrants
Brazil		1,259		—		0			—			—			(1,259	)		—			—			—		—
Malaysia		1,065		—		0			—			—			(1,065	)		—			—			—		—
Total	$	2,324	$	—	$	0		$	—		$	—		$	(2,324	)	$	10,467		$	—		$	10,467	$	—
Benchmark-Free Fund
Rights/Warrants
Brazil	$	86,276	$	—	$	0		$	—		$	—		$	(86,276	)	$	—		$	—		$	—	$	—
India		41,572		—		(27,638	)		—			27,638			(41,572	)		—			—			—		—
Total	$	127,848	$	—	$	(27,638	)	$	—		$	27,638		$	(127,848	)	$	—		$	—		$	—	$	—
Consolidated Implementation Fund
Common Stocks
South Korea	$	165,612	$	—	$	(179,947	)	$	—		$	(5	)	$	82,674		$	—		$	(68,334	)‡	$	—	$	—
Sweden		15,364,011		—		(16,008,680	)		—			(96,494	)		741,163			—			—			—		—
Rights/Warrants
Brazil		302,934		—		0			—			—			(302,934	)		—			—			—		—
India		232,428		—		(154,523	)		—			154,523			(232,428	)		—			—			—		—
Singapore		2,520,800		—		—			—			—			—			—			—			2,520,800		—
United States		4,609,155		—		—			—			—			(3,504,741	)		—			—			1,104,414		(3,504,741	)
Debt Obligations
Bank Loans
Denmark		28,915,608		—		(2,835,379	)		—			(2,250	)		(2,081,229	)		—			—			23,996,750		(2,081,229	)
Spain		—		15,063,994		—			(19,692	)		—			308,718			—			—			15,353,020		308,718
United States		54,888,786		—		(13,958,729	)		28,170			117,066			(5,653	)		—			—			41,069,640		(5,653	)
Total Investments	$	106,999,334	$	15,063,994	$	(33,137,258	)	$	8,478		$	172,840		$	(4,994,430	)	$	—		$	(68,334	)	$	84,044,624	$	(5,282,905	)

† 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.

122

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Notes to Financial Statements — (Continued)

August 31, 2017 (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, 2017 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		—
Strategic Opportunities Allocation Fund		1%

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 marked-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.

123

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Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

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, 2017, the Funds listed below had entered into repurchase agreements. The value of related collateral for each broker exceeds the value of the repurchase agreements at period end. Repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Fund Name	Counterparty	Gross Value		Weighted Average Maturity (days)
Benchmark-Free Fund	Daiwa Capital Markets   America Inc.		$156,491,353		1.0
Consolidated Implementation Fund	Daiwa Capital Markets America Inc.		$315,137,681		1.0
	Nomura Securities International Inc.		$299,999,825		1.0

Reverse repurchase agreements

The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. As of August 31, 2017, the Funds listed below had entered into reverse repurchase agreements.

Fund Name	Received from reverse repurchase agreements ($)		Market value of securities plus accrued interest ($)
Consolidated Implementation Fund		$1,143,417		$1,247,215

As of August 31, 2017, Implementation Fund had investments in reverse repurchase agreements with Barclays Bank plc with a gross value of $1,143,417. The value of related collateral on reverse repurchase agreements exceeded the value at period end. As of August 31, 2017, the reverse repurchase agreements held by Implementation 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, 2017
	Remaining Contractual Maturity of the Agreements
	Overnight and Continuous		Up to 30 days		Between 30-90 days		Greater Than 90 days		Demand		Total
Consolidated Implementation Fund
Reverse Repurchase Agreements
Non-U.S. Government Debt Obligations		$—		$—		$—		$—		$1,143.417		$1,143.417
Total Borrowings		$—		$—		$—		$—		$1,143.417		$1,143.417

124

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

Inflation-indexed bonds

Certain Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation/deflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation/deflation into the principal value of the bond. Many other issuers adjust the coupon accruals for inflation related changes. 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/decrease in the principal amount of an inflation-indexed bond is generally included in the Fund’s gross income even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Short sales

Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the interest payable on such securities, if any, are reflected as a liability 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 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 or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (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.

125

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

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 a Fund’s investments in certain jurisdictions may be higher if a significant portion of the 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, 2017, 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 certain countries. 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 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.

126

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

As of February 28, 2017, certain Funds elected to defer to March 1, 2017 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		(6,466)		(21,761,001)
Benchmark-Free Allocation Fund		(13,411,417)		—
Benchmark-Free Fund		—		(2,214,773)
Global Asset Allocation Fund		—		(13,133,698)
Global Developed Equity Allocation Fund		(3,852)		—
Global Equity Allocation Fund		(7,532)		—
Consolidated Implementation Fund		—		—
International Developed Equity Allocation Fund		(2,779)		(25,050,614)
International Equity Allocation Fund		(4,131)		(1,063,745)
Consolidated SGM Major Markets Fund		(27,088,428)		—
Consolidated Special Opportunities Fund		(239,136)		(6,744,894)
Strategic Opportunities Allocation Fund		—		—

As of February 28, 2017, 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 28, 2017, 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		—		—		(210,317,423)		(210,317,423)		(160,080,740)
Benchmark-Free Allocation Fund		(22,052,464)		(7,441,107)		(20,273,725)		(49,767,296)		(366,483,471)
Benchmark-Free Fund		—		—		(56,983,052)		(56,983,052)		(512,048,516)
Global Asset Allocation Fund		—		—		(1,075,470)		(1,075,470)		(209,666,102)
Global Developed Equity Allocation Fund		—		—		—		—		(62,444,314)
Global Equity Allocation Fund		—		—		—		—		(258,545,432)
Consolidated Implementation Fund		—		—		(996,843,618)		(996,843,618)		(272,616,497)
International Developed Equity Allocation Fund		(14,472,130)		(22,515,333)		—		(36,987,463)		(37,910,971)
International Equity Allocation Fund		—		—		—		—		(50,815,115)
Consolidated SGM Major Markets Fund		—		—		—		—		—
Consolidated Special Opportunities Fund		—		—		—		—		—
Strategic Opportunities Allocation Fund		—		—		—		—		(16,043,549)

127

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

As of August 31, 2017, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any) and the net unrealized appreciation (depreciation) of outstanding financial instruments for U.S. federal income tax purposes were as follows:

	Total Investments								Outstanding Financial Instruments
Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Alpha Only Fund		202,738,796		32,671,816		(2,902,849)		29,768,967		(3,846,742)
Benchmark-Free Allocation Fund		12,928,192,668		723,345,357		(66,561,266)		656,784,091		—
Benchmark-Free Fund		3,891,269,938		408,631,885		(19,496,455)		389,135,430		(962,644)
Global Asset Allocation Fund		2,435,419,299		46,135,915		(52,961,255)		(6,825,340)		—
Global Developed Equity Allocation Fund		644,043,137		11,415,867		—		11,415,867		—
Global Equity Allocation Fund		2,423,999,617		62,245,195		(69,567,792)		(7,322,597)		—
Consolidated Implementation Fund		10,376,128,147		767,381,717		(193,877,515)		573,504,202		(10,463,732)
International Developed Equity Allocation Fund		701,519,939		—		(61,307,234)		(61,307,234)		—
International Equity Allocation Fund		1,097,346,821		80,723		(18,694,426)		(18,613,703)		—
Consolidated SGM Major Markets Fund		1,483,372,086		55,377,086		(60,395,953)		(5,018,867)		(4,652,945)
Consolidated Special Opportunities Fund		847,829,832		179,233,059		(25,528,319)		153,704,740		(1,386,917)
Strategic Opportunities Allocation Fund		1,829,906,032		83,253,762		(4,255,085)		78,998,677		—

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 tax legislation/initiatives 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.

128

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

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).

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 an investor’s 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 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 for 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 also may reduce the purchase premium to the extent that securities are used to purchase a Fund’s shares (taking into account transaction costs, stamp duties or transfer fees). GMO may reduce redemption fees to the extent a Fund uses portfolio securities to redeem its shares (taking into account transaction costs, stamp duties or transfer fees).

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 purchases or redemptions of underlying fund shares by accounts over which it has investment discretion, including the Funds and other pooled investment vehicles. Consequently, participants in those vehicles will tend to benefit more than other Fund shareholders from the waivers of purchase premiums and redemption fees that may occur when purchases and redemptions occur on the same day.

129

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

As of August 31, 2017, 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 0.14% 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 0.14% 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.

130

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (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

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

131

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

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.

• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise be forced to hold investments it would prefer to sell, resulting in losses for the Fund. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws 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 in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be 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 that a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty 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). Counterparty risk also will be greater if a counterparty’s obligations exceed the value of collateral held by the Fund (if any).

The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds. Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and

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what impact an insolvency of a clearing house would have on the financial system. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations or realization on collateral, could be stayed or eliminated under new special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, in the European Union, governmental authorities could reduce, eliminate, or convert to equity the liabilities to the Funds of a counterparty experiencing financial difficulties (sometimes referred to as a “bail in”).

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

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

In many cases, the credit risk and market price of a fixed income investment are reflected in its credit ratings, and a Fund holding a rated investment is subject to the risk that the investment’s rating will be downgraded, resulting in a decrease in the market price of the fixed income investment.

Securities issued by the U.S. government historically have presented minimal credit risk. However, events in 2011 led 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 market price of a Fund’s investments and increase the volatility of a Fund’s portfolio.

As described under “Market Risk — Asset-Backed Securities,” asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors, as described under “Market Risk — Asset-Backed Securities.” The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors.

A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives and Short Sales Risk” for more information regarding risks associated with the use of credit default swaps.

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

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

• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position will decline in value. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk.”

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

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

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

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

The use of derivatives involves risks that are 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, or the position transferred, only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments GMO believes are owed to it under OTC derivatives contracts, or those payments may be delayed or made only after the Fund has incurred the cost of litigation.

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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 exposure arises.

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, under-collateralization and/or errors in the calculation of a Fund’s net asset value.

A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the cost of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty.

Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk”) and counterparty risk (see “Counterparty Risk”). These derivatives 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 will sometimes be unclear. In addition, the SEC has 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) have adopted similar requirements, which affect a Fund when it enters into a derivatives transaction with a counterparty subject to those requirements. Because these requirements are new and evolving (and some of the rules are not yet final), their impact on the Funds remains unclear.

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

In some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements, for example, by requiring that funds provide more margin for their cleared derivatives positions. Also, as a general matter, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivatives position or an increase in the margin required at the outset of a transaction. Clearing houses also have broad rights to increase the margin required for existing positions or to terminate those positions at any time. Any increase in margin requirements

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or termination of existing cleared derivatives positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member because margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member (see “Counterparty Risk”). Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than the documentation for typical bilateral derivatives. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member. Also, such documentation typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks may be more pronounced for cleared derivatives due to their more limited liquidity and market history.

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

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

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

These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund or otherwise limiting liquidity. The implementation of the clearing requirement has increased the cost of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they historically posted for bilateral derivatives. The cost of derivatives transactions is expected to increase further as clearing members raise their fees to cover the cost of additional capital requirements and other regulatory changes applicable to the clearing members. These rules and regulations are new and evolving, and, therefore, their potential impact on the Funds and the financial system are not yet known. While the new rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.

Options. Some Funds are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time

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remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights any time before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk because the holder may only exercise the option on its expiration date.) If a Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.

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

Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (i.e., options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While a Fund has greater flexibility to tailor an OTC option, OTC options generally expose a Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary market risks.

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

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

A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying 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 those issuers’ securities than Funds investing in the securities of a larger number of issuers. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments.

Similarly, Funds having a significant portion of their assets in investments tied economically (or related) to a particular geographic region, country (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”.

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

Absent reimbursement, a Fund bears the fees and expenses of an Underlying Fund (including purchase premiums and redemption fees, if any) and the expenses of a wholly-owned subsidiary in which it invests, and the Fund will incur additional expenses when investing in an Underlying Fund or wholly-owned subsidiary. In addition, total Fund expenses will increase if a Fund makes a new or further investment in Underlying Funds with higher fees or expenses than the average fees and expenses of the Underlying Funds then in the Fund’s portfolio.

Because some underlying GMO Funds invest a substantial portion of their assets in other GMO Funds (pursuant to an exemptive order obtained from the SEC), the Asset Allocation Funds have more tiers of investments than funds in many other mutual fund groups and therefore may be subject to greater fund of funds risk. In addition, to the extent a Fund invests in shares of underlying GMO Funds, it is indirectly subject to Large Shareholder Risk because those underlying GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk.”

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

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

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

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

A Fund typically will be required to post margin with its futures commission merchant in connection with its positions in futures contracts. If the Fund has insufficient cash to meet margin requirements, the Fund may have to sell other investments at disadvantageous times. A Fund may be delayed or prevented from recovering margin or other amounts deposited with a futures commission merchant or futures clearinghouse. For example, should the futures commission merchant become insolvent, a Fund may be unable to recover all (or any) of the margin it has 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, delays or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed, defaulted or other low quality debt securities, emerging country debt 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. The degree to which a Fund’s securities are illiquid may affect the likelihood of its paying redemption proceeds in-kind.

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

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

• LARGE SHAREHOLDER RISK. To the extent a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities, potentially at disadvantageous prices, to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the outstanding shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments when it would not 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. Further, from time to time a Fund may trade in anticipation of a purchase or redemption order that is not ultimately received or differs in size from the actual order, leading to temporary underexposure or overexposure to the Fund’s intended investment program. Additionally, redemptions and purchases of shares by a large shareholder or group of shareholders potentially limit the use of any capital loss carryforwards to offset future realized capital gains (if any) and other losses that would otherwise reduce distributable net investment income. In addition, large shareholders may limit or prevent a Fund’s use of equalization for U.S. federal tax purposes.

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

• LEVERAGING RISK. The use of traditional borrowing (including to meet redemption requests), reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage

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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. Similarly, a Fund’s portfolio also will be leveraged if it exercises its right to delay payment on a redemption and can result in losses if the value of the Fund’s assets changes between the time a redemption request is received or deemed to be received by a Fund (which in some cases may be the business day prior to actual receipt of the transaction activity by the Fund) and the time at which the Fund liquidates assets to meet redemption requests. Such a change in the value of a Fund’s assets is more likely in the case of Funds managed from GMO’s non-U.S. offices for which the time period between the NAV determination and corresponding liquidation of assets could be longer due to time zone differences and market schedules. In the case of redemptions representing a significant portion of a Fund’s portfolio, the leverage effects described above can be significant and could expose a Fund and non-redeeming shareholders to material losses.

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

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

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

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

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

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

The Funds also are subject to a risk of loss resulting from other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors could prevent a Fund from benefiting from 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 to technological malfunctions that may have effects similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and 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,

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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, detect and respond to 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 a decline in the market price of their securities. Furthermore, as a result of cyber-attacks, technological disruptions, malfunctions, or failures, an exchange or market may close or issue trading halts on specific securities or the entire market, which may result in the Funds being unable, among other things, to buy or sell securities or accurately price their investments. The Funds cannot directly control cyber security plans and systems put in place by their service providers, the Funds’ counterparties, issuers of securities in which the Funds invest, or securities markets and exchanges.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby 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 or other fraudulent trading practices, which could disrupt their orderly functioning or reduce the prices of securities traded on them, including securities held by the Funds. Fraud and other deceptive practices committed by a company whose securities are held by a Fund undermine GMO’s due diligence efforts and, when discovered, will likely cause a steep decline in the market price of those securities and thus negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively affect a Fund’s investment program as well as the rates or indices underlying a Fund’s investments.

While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce the value of the Funds’ investments. Similarly, political events within the United States 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 if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. In June 2016, the United Kingdom approved a referendum to leave the European Union (commonly known as “Brexit”). A significant degree of uncertainty exists about the time frame for Brexit and whether it will have a negative impact on the United Kingdom, the European Union and/or the broader global economy.

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.

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

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

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

As described under “Market Risk — Fixed Income” the market price of 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 have. Asset-backed securities backed by sub-prime mortgage loans, in particular, expose a Fund to potentially greater declines in value due to defaults because sub-prime mortgage loans are typically made to less creditworthy borrowers and thus have a higher risk of default than conventional mortgage loans. The 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 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 and may occur again. Also, government actions and proposals affecting the terms of underlying home and consumer loans, changes in demand for products (e.g., automobiles) financed by those loans, and the inability of borrowers to refinance existing loans (e.g., sub-prime mortgages) have had, and may continue to have, adverse valuation and liquidity effects on asset-backed securities.

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

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

The risk of investing in asset-backed securities has increased since 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 servicer for many asset-backed securities. As a result, a disruption in that institution’s business may have a material impact on many investments.

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Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as poor performance by the issuer’s management or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may result from general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. 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 what GMO believes is less than its fundamental fair (or intrinsic) value, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment 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 the markets associated with those indices rise sharply because of the Fund’s lack of exposure to the upside of those markets.

Fixed Income — Funds that invest in fixed income investments (including bonds, notes, bills, synthetic debt instruments, and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity 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 investments also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the fixed income investment. When interest rates rise, these investments 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 investments (commonly referred to as “junk bonds”) may be particularly volatile. Often below investment grade investments are subject to greater sensitivity to interest rate and economic changes than higher rated investments and can be more difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. See “Credit Risk” and “Illiquidity Risk” for more information about these risks.

A risk run by each Fund with a significant investment in fixed income investments is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases in interest rates (also called “interest rate risk”) is generally greater for Funds investing in fixed income investments with longer durations. In addition, in managing some Funds, GMO may seek to evaluate potential investments in part by considering the volatility of interest rates. The value of a Fund’s investments may be significantly reduced if GMO’s assessment proves incorrect.

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

The market price of inflation-indexed bonds (including TIPS) typically declines during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increases during periods of declining real interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities.

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

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

In response to government intervention, economic or market developments, or other factors, markets for fixed income investments may experience periods of high volatility, reduced liquidity or both. During those periods, a Fund could have unusually high shareholder redemptions, requiring it to generate cash by selling portfolio assets when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value during such periods. In recent years, central banks and governmental financial regulators, including the U.S. Federal Reserve, have kept interest rates historically low by purchasing bonds. Steps to curtail or “taper” such activities (such as recent indications from the U.S. Federal Reserve of its intent to do so) 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 engage in transactions in which the Fund purchases securities at prices below the value of the consideration GMO expects the Fund to receive upon consummation of a proposed merger, exchange offer, tender offer, or other similar transaction (“merger arbitrage transactions”). The purchase price paid by the Fund may substantially exceed the market price of the securities before the announcement of the transaction.

If a Fund engages in merger arbitrage and the merger later appears unlikely to be consummated or, in fact, is not consummated or is delayed, the market price of the securities purchased by the Fund is likely to decline sharply, resulting in losses to the Fund. The risk/reward payout of merger arbitrage strategies typically is asymmetric, with the losses in failed transactions often far exceeding the gains in successful transactions. A proposed merger can fail to be consummated for many reasons, including regulatory and antitrust restrictions, industry weakness, company specific events, failed financings, and general market declines.

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

• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of relatively few issuers. As a result, they may be subject to greater credit, market and other risks, 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 GMO Funds that are not diversified.

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

A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no benefit. A Fund’s pursuit of such refunds may subject a Fund to various administrative and/or judicial proceedings. A Fund’s decision to seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if it is entitled to one.

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The outcome of a Fund’s efforts to obtain a refund is inherently unpredictable. Accordingly, a refund is not typically reflected in a Fund’s net asset value until it is received or until GMO is confident that the refund will be received. In some cases, the amount of a refund could be material to a Fund’s net asset value. Absent a determination that a refund is collectible and free from significant contingencies, a refund is not reflected in a Fund’s net asset value. See “Taxes, Non-U.S. Taxes” in the GMO Trust Statement of Additional Information for additional information. For information on possible special Australian tax consequences of an investment in the Funds, see the Funds’ Prospectus and Statement of Additional Information.

Investing in non-U.S. securities also exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, government involvement in the economy or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises), adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.

In some non-U.S. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States. Fluctuations in foreign currency exchange rates also affect the market prices of a Fund’s non-U.S. securities (see “Currency Risk”).

The Funds need a license to invest directly in 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 thus limits the Fund’s investment opportunities. In addition, the activities of a GMO client could cause the suspension or revocation of a Fund’s license and thereby limit the Fund’s 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 wholly or partially state-owned enterprises); less governmental supervision and regulation of securities markets and participants in those markets; controls on investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e., a market freeze); unavailability of currency hedging techniques; 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 depend predominantly on only a few industries or revenues from particular commodities.

• SMALL COMPANY RISK. Companies with smaller market capitalizations tend to have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have inexperienced managers or depend on a smaller group of key employees than larger companies. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for securities of these companies.

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

Benchmark-Free Allocation Fund, Benchmark-Free Fund and Implementation Fund may take temporary defensive positions if deemed prudent by GMO.

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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, 2017, only Alpha Only Fund, Benchmark-Free Fund, Implementation Fund, SGM Major Markets Fund and Special Opportunities Fund held derivative financial instruments directly. For a listing of derivative financial instruments, if any, held by the underlying funds, please refer to the underlying funds’ Schedule of Investments. The derivative information provided below only pertains to direct investments made by Alpha Only Fund, Benchmark-Free Fund, Implementation Fund, SGM Major Markets Fund 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, 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

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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 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. Implementation Fund uses exchange-traded futures and forward contracts as an integral part of its investment program.

The Funds may use derivatives in an attempt to adjust elements of their investment exposures to individual commodities, various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of a certain type of security or commodity and GMO believes that another security or commodity will outperform such security or commodity, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of those stocks) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). Long and short swap contracts and contracts for differences also may be used for these purposes. Derivatives used to effect synthetic sales and purchases will generally be unwound as actual portfolio securities are sold and purchased. In adjusting investment exposures, each Fund also may use currency derivatives, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio. Each Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

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

Each of the Funds is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of their derivative positions, the Funds may have gross investment exposures in excess of their net assets (i.e., the Funds may be leveraged) and therefore are subject to heightened risk of loss. Each Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

Use of Derivatives by SGM Major Markets Fund

The Fund invests in a range of global equity, bond, currency, and commodity markets using exchange traded futures and forward non-U.S. exchange contracts as well as making other investments.

The Fund may use derivatives to gain long and/or short investment exposure to global equities, bonds, currencies, commodities, or other assets. In particular, the Fund may use exchange traded futures and forward foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets. The Fund also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.

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

The Fund may use derivatives, such as futures, 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

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instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed versus variable rates and shorter duration versus longer duration exposure. In adjusting its investment exposure, the Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which its equities are traded.

The Fund is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of its derivative positions, the Fund will typically have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and therefore is subject to heightened risk of loss. The Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

* * *

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

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

For Funds that held derivatives during the period ended August 31, 2017, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use	Alpha Only Fund		Benchmark- Free Fund		Consolidated Implementation Fund*		Consolidated SGM Major Markets Fund*		Consolidated Special Opportunities Fund*
Forward currency contracts
Adjust currency exchange rate risk								X
Adjust exposure to foreign currencies		X		X		X		X		X
Manage against anticipated currency exchange rate changes						X
Futures contracts
Adjust exposure to certain securities markets				X		X		X
Substitute for direct investment								X		X
Adjust interest rate exposure						X		X
Maintain the diversity and liquidity of the portfolio				X		X		X
Hedge some or all of the broad market exposure of the underlying funds and/or assets in which the Fund invests		X

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Type of Derivative and Objective for Use	Alpha Only Fund		Benchmark- Free Fund		Consolidated Implementation Fund*		Consolidated SGM Major Markets Fund*	Consolidated Special Opportunities Fund*
Options (Purchased)
Substitute for direct equity investment						X
Adjust currency exchange rate risk						X
Adjust exposure to foreign currencies						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		X
Substitute for direct investment in securities						X
Achieve exposure to a reference entity’s credit						X
Rights and/or warrants
Received as a result of corporate actions		X		X		X

* Certain derivatives may be held by the Fund’s wholly-owned subsidiary.

Forward currency contracts

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

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

Futures contracts

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

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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.

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.

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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.

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.

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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.

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.

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The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2017 and the Statements of Operations for the period ended August 31, 2017^:

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

	Credit Contracts		Commodity Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Alpha Only Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—	$	—		$	151,358		$	—	$	—	$	151,358
Total	$	—	$	—	$	—		$	151,358		$	—	$	—	$	151,358
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	—		$	151,358		$	—	$	—	$	151,358
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	—		$	(825,475	)	$	—	$	—	$	(825,475	)
Unrealized Depreciation on Futures Contracts¤		—		—		(3,172,625	)		—			—		—		(3,172,625	)
Total	$	���	$	—	$	(3,172,625	)	$	(825,475	)	$	—	$	—	$	(3,998,100	)
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	(3,172,625	)	$	(825,475	)	$	—	$	—	$	(3,998,100	)
Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	—	$	20,701		$	—		$	—	$	—	$	20,701
Forward Currency Contracts		—		—		—			(2,350,449	)		—		—		(2,350,449	)
Futures Contracts		—		—		(13,539,867	)		—			—		—		(13,539,867	)
Total	$	—	$	—	$	(13,519,166	)	$	(2,350,449	)	$	—	$	—	$	(15,869,615	)
Change in Net Unrealized Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—	$	—	$	(3,174	)	$	—		$	—	$	—	$	(3,174	)
Forward Currency Contracts		—		—		—			(674,117	)		—		—		(674,117	)
Futures Contracts		—		—		5,210,519			—			—		—		5,210,519
Total	$	—	$	—	$	5,207,345		$	(674,117	)	$	—	$	—	$	4,533,228
Benchmark-Free Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—	$	—		$	160,970		$	—	$	—	$	160,970
Unrealized Appreciation on Futures Contracts¤		—		—		170,315			—			—		—		170,315
Total	$	—	$	—	$	170,315		$	160,970		$	—	$	—	$	331,285
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	170,315		$	160,970		$	—	$	—	$	331,285
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	—		$	(1,293,929	)	$	—	$	—	$	(1,293,929	)
Total	$	—	$	—	$	—		$	(1,293,929	)	$	—	$	—	$	(1,293,929	)
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	—		$	(1,293,929	)	$	—	$	—	$	(1,293,929	)

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August 31, 2017 (Unaudited)

	Credit Contracts			Commodity Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Benchmark-Free Fund (continued)
Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—		$	—	$	27,638		$	—		$	—		$	—	$	27,638
Forward Currency Contracts		—			—		—			(2,903,734	)		—			—		(2,903,734	)
Swap Contracts		—			—		2,357			—			—			—		2,357
Total	$	—		$	—	$	29,995		$	(2,903,734	)	$	—		$	—	$	(2,873,739	)
Change in Net Unrealized Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—		$	—	$	(127,848	)	$	—		$	—		$	—	$	(127,848	)
Forward Currency Contracts		—			—		—			(1,132,959	)		—			—		(1,132,959	)
Futures Contracts		—			—		170,315			—			—			—		170,315
Total	$	—		$	—	$	42,467		$	(1,132,959	)	$	—		$	—	$	(1,090,492	)
Consolidated Implementation Fund
Asset Derivatives
Investments, at value (purchased options)	$	—		$	—	$	14,553,034		$	17,763		$	—		$	—	$	14,570,797
Investments, at value (rights and/or warrants)		—			—		3,898,006			—			—			—		3,898,006
Unrealized Appreciation on Forward Currency Contracts		—			—		—			23,492,628			—			—		23,492,628
Unrealized Appreciation on Futures Contracts☐		—			—		2,693,099			—			58,324			—		2,751,423
Investments, at value (swap contracts)☐		11,291,744			—		38,907			—			3,633,792			—		14,964,443
Total	$	11,291,744		$	—	$	21,183,046		$	23,510,391		$	3,692,116		$	—	$	59,677,297
Derivatives not subject to Master Agreements	$	—		$	—	$	3,898,006		$	—		$	—		$	—	$	3,898,006
Total subject to Master Agreements	$	11,291,744		$	—	$	17,285,040		$	23,510,391		$	3,692,116		$	—	$	55,779,291
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	—		$	(28,509,624	)	$	—		$	—	$	(28,509,624	)
Unrealized Depreciation on Futures Contracts☐		—			—		—			—			(33,338	)		—		(33,338	)
Written Options, at value		(278,773	)		—		(2,924,525	)		—			—			—		(3,203,298	)
Investments, at value (swap contracts)☐		(4,414,964	)		—		(147,854	)		—			(7,656,394	)		—		(12,219,212	)
Total	$	(4,693,737	)	$	—	$	(3,072,379	)	$	(28,509,624	)	$	(7,689,732	)	$	—	$	(43,965,472	)
Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	(4,693,737	)	$	—	$	(3,072,379	)	$	(28,509,624	)	$	(7,689,732	)	$	—	$	(43,965,472	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—	$	(4,227,263	)	$	(1,497,159	)	$	—		$	—	$	(5,724,422	)
Investments (rights and/or warrants)		—			—		136,229			—			—			—		136,229
Forward Currency Contracts		—			—		—			(15,955,527	)		—			—		(15,955,527	)
Futures Contracts		—			—		—			—			648,254			—		648,254
Written Options		—			—		1,644,126			—			—			—		1,644,126
Swap Contracts		(5,174,037	)		—		2,504,545			—			2,900,511			—		231,019
Total	$	(5,174,037	)	$	—	$	57,637		$	(17,452,686	)	$	3,548,765		$	—	$	(19,020,321	)

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August 31, 2017 (Unaudited)

	Credit Contracts		Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Consolidated Implementation Fund (continued)
Change in Net Unrealized Appreciation (Depreciation) on
Investments (purchased options)	$	—	$	—		$	(2,819,145	)	$	961,857		$	—		$	—	$	(1,857,288	)
Investments (rights and/or warrants)		—		—			(3,833,405	)		—			—			—		(3,833,405	)
Forward Currency Contracts		—		—			—			(4,153,196	)		—			—		(4,153,196	)
Futures Contracts		—		—			2,693,099			—			(31,949	)		—		2,661,150
Written Options		126,852		—			1,247,084			—			—			—		1,373,936
Swap Contracts		900,922		—			(618,742	)		—			11,047,394			—		11,329,574
Total	$	1,027,774	$	—		$	(3,331,109	)	$	(3,191,339	)	$	11,015,445		$	—	$	5,520,771
Consolidated SGM Major Markets Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—		$	—		$	3,967,882		$	—		$	—	$	3,967,882
Unrealized Appreciation on Futures Contracts☐		—		5,774,577			13,920,453			—			189,666			—		19,884,696
Total	$	—	$	5,774,577		$	13,920,453		$	3,967,882		$	189,666		$	—	$	23,852,578
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	5,774,577		$	13,920,453		$	3,967,882		$	189,666		$	—	$	23,852,578
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	—		$	(2,966,952	)	$	—		$	—	$	(2,966,952	)
Unrealized Depreciation on Futures Contracts☐		—		—			(22,422,507	)		—			(3,116,064	)		—		(25,538,571	)
Total	$	—	$	—		$	(22,422,507	)	$	(2,966,952	)	$	(3,116,064	)	$	—	$	(28,505,523	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—		$	(22,422,507	)	$	(2,996,952	)	$	(3,116,064	)	$	—	$	(28,505,523	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—	$	—		$	—		$	(16,701,851	)	$	—		$	—	$	(16,701,851	)
Futures Contracts		—		(5,653,761	)		90,682,649			—			(8,229,687	)		—		76,799,201
Total	$	—	$	(5,653,761	)	$	90,682,649		$	(16,701,851	)	$	(8,229,687	)	$	—	$	60,097,350
Change in Net Unrealized Appreciation (Depreciation) on
Forward Currency Contracts	$	—	$	—		$	—		$	(1,986,742	)	$	—		$	—	$	(1,986,742	)
Futures Contracts		—		9,222,333			(42,881,758	)		—			2,599,951			—		(31,059,474	)
Total	$	—	$	9,222,333		$	(42,881,758	)	$	(1,986,742	)	$	2,599,951		$	—	$	(33,046,216	)

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August 31, 2017 (Unaudited)

	Credit Contracts		Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Consolidated Special Opportunities Fund
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	—		$	(305,217	)	$	—	$	—	$	(305,217	)
Unrealized Depreciation on Futures Contracts¤		—		(1,047,250	)		—			—			—		—		(1,047,250	)
Written Options, at value		—		—			(34,450	)		—			—		—		(34,450	)
Total	$	—	$	(1,047,250	)	$	(34,450	)	$	(305,217	)	$	—	$	—	$	(1,386,917	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	(1,047,250	)	$	(34,450	)	$	(305,217	)	$	—	$	—	$	(1,386,917	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—	$	—		$	—		$	(1,813,975	)	$	—	$	—	$	(1,813,975	)
Futures Contracts		—		(2,213,658	)		—			—			—		—		(2,213,658	)
Written Options		—		—			2,298,524			—			—		—		2,298,524
Total	$	—	$	(2,213,658	)	$	2,298,524		$	(1,813,975	)	$	—	$	—	$	(1,729,109	)
Change in Net Unrealized Appreciation (Depreciation) on
Forward Currency Contracts	$	—	$	—		$	—		$	(295,974	)	$	—	$	—	$	(295,974	)
Futures Contracts		—		1,982,197			—			—			—		—		1,982,197
Written Options		—		—			(224,920	)		—			—		—		(224,920	)
Total	$	—	$	1,982,197		$	(224,920	)		(295,974	)	$	—	$	—	$	1,461,303

^ 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 unrealized appreciation/depreciation of futures and value of 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 no such event has occurred, the Funds do not presently have a legally enforceable right of set-off and 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 paid by a Fund (or may be received by a Fund) in such an event is represented by the net amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.

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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, 2017, 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, 2017:

Alpha Only 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	$	10,806	$	—		$	10,806		$	—
Deutsche Bank AG		139,591		—			—			139,591
Goldman Sachs International		961		—			—			961
Total	$	151,358	$	—		$	10,806		$	140,552
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.	$	3,748	$	—		$	—		$	3,748
Barclays Bank plc		19,585		—			(10,806	)		8,779
JPMorgan Chase Bank, N.A.		624,819		(624,819	)		—			—	*
Morgan Stanley & Co. International PLC		177,323		(155,395	)		—			21,928
Total	$	825,475	$	(780,214	)	$	(10,806	)	$	34,455

Benchmark-Free 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	$	160,970	$	—		$	160,970		$	—
Total	$	160,970	$	—		$	160,970		$	—
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank plc	$	723,193	$	(318,234	)	$	(160,970	)	$	243,989
Goldman Sachs International		14,911		—			—			14,911
JPMorgan Chase Bank, N.A.		83,790		(34,484	)		—			49,306
Morgan Stanley & Co. International PLC		472,035		(472,035	)		—			—	*
Total	$	1,293,929	$	(824,753	)	$	(160,970	)	$	308,206

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August 31, 2017 (Unaudited)

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.	$	15,355	$	—		$	15,355		$	—
Barclays Bank plc		1,105,017		—			1,105,017			—
Citibank N.A.		19,883		—			—			19,883
Deutsche Bank AG		294,051		(294,051	)		—			—	*
Goldman Sachs International		22,845,845		(2,420,000	)		(20,026,957	)		398,888
JPMorgan Chase Bank, N.A.		4,730,558		—			4,730,558			—
Morgan Stanley & Co. International PLC		16,881		—			16,881			—
Morgan Stanley & Co. LLC		14,553,034		—			(2,924,525	)		11,628,509
Total	$	43,580,624	$	(2,714,051	)	$	(17,083,671	)	$	12,047,280
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.	$	166,825	$	(151,470	)	$	(15,355	)	$	—	*
Barclays Bank plc		2,099,135		(994,118	)		(1,105,017	)		—	*
Credit Suisse International		388,123		(388,123	)		—			—	*
Goldman Sachs International		20,026,957		—			20,026,957			—
JPMorgan Chase Bank, N.A.		7,553,241		(2,613,444	)		(4,730,558	)		209,239
Morgan Stanley & Co. International PLC		1,909,180		(1,822,218	)		(16,881	)		70,081
Morgan Stanley & Co. LLC		2,924,525		—			2,924,525			—	*
State Street Bank and Trust Company		10,871		—			—			10,871
Total	$	35,078,857	$	(5,969,373	)	$	17,083,671		$	290,191

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
Deutsche Bank AG	$	70,293	$	—		$	(3,097	)	$	67,196
JPMorgan Chase Bank, N.A.		449,883		—			449,883			—
Morgan Stanley & Co. International PLC		1,211,583		(361,238	)		(850,345	)		—	*
State Street Bank and Trust Company		2,045,532		—			(359,399	)		1,686,133
UBS AG		190,591		—			190,591			—
Total	$	3,967,882	$	(361,238	)	$	(572,367	)	$	1,753,329
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Deutsche Bank AG	$	3,097	$	—		$	3,097		$	—
JPMorgan Chase Bank, N.A.		1,442,823		—			(449,883	)		992,940
Morgan Stanley & Co. International PLC		850,345		—			850,345			—
State Street Bank and Trust Company		359,399		—			359,399			—
UBS AG		311,288		—			(190,591	)		120,697
Total	$	2,966,952	$	—		$	572,367		$	1,113,637

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Consolidated Special Opportunities Fund

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.	$	305,217	$	(305,217	)	$	—	$	—	*
Total	$	305,217	$	(305,217	)	$	—	$	—

* 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 and 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, 2017:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Swap Contracts ($)		Options (Principal)		Options (Contracts)		Rights and/or Warrants ($)
Alpha Only Fund		47,311,135		189,369,011		—		—		—		3,043
Benchmark-Free Fund		262,054,508		1,441,033		1,808,333		—		—		61,289
Consolidated Implementation Fund		1,559,103,090		96,306,145		1,646,501,660		51,975,000		64,698		7,552,949
Consolidated SGM Major Markets Fund		907,047,095		2,289,069,054		—		—		—		—
Consolidated Special Opportunities Fund		22,013,768		3,345,550		—		—		2,845		—

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, each class of shares of certain Funds 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

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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. Those 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 agent, 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 at the annual rate equal to the percentage of each applicable Class’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		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, 2017.

For each Fund, other than Special Opportunities Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). 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 (“Expense Threshold Amount”). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO.

“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, organizational and start-up expenses, 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 Special Opportunities Fund, GMO is permitted to recover from the Fund, on a class-by-class basis, as applicable, the “Specified Operating Expenses” GMO has borne or reimbursed (whether through reduction of its fees or otherwise) to the extent the Fund’s “Specified Operating Expenses” later fall below the Expense Threshold Amount or the lower expense limit in effect when GMO seeks to recover the expenses. A Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. The amount GMO is entitled to recover may not cause a Fund to exceed the Expense Threshold Amount or the lower expense limit in effect when GMO seeks recovery.

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.

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August 31, 2017 (Unaudited)

These contractual waivers and reimbursements will continue through at least June 30, 2018 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, 2018, 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, 2017 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		2,208		184
Benchmark-Free Allocation Fund		163,030		13,532
Benchmark-Free Fund		50,660		4,232
Global Asset Allocation Fund		28,667		2,392
Global Developed Equity Allocation Fund		11,147		1,004
Global Equity Allocation Fund		26,325		2,208
Consolidated Implementation Fund		134,784		11,124
International Developed Equity Allocation Fund		7,619		652
International Equity Allocation Fund		12,590		1,104
Consolidated SGM Major Markets Fund		17,826		1,472
Consolidated Special Opportunities Fund		11,757		920
Strategic Opportunities Allocation Fund		23,809		2,024

161

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Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2017 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		0.157%		0.013%		0.041%	*		0.211%
Benchmark-Free Fund		0.244%		0.020%		< 0.001%			0.264%
Global Asset Allocation Fund		0.416%		0.064%		0.001%			0.481%
Global Developed Equity Allocation Fund		0.449%		0.071%		0.000%			0.520%
Global Equity Allocation Fund		0.495%		0.069%		0.000%			0.564%
Consolidated Implementation Fund		0.000%		0.000%		0.000%			0.000%
International Developed Equity Allocation Fund		0.527%		0.087%		0.000%			0.614%
International Equity Allocation Fund		0.583%		0.078%		0.000%			0.661%
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%		0.058%		< 0.001%			0.460%

* 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 ensure 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, 2017, 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, if applicable, for the period ended August 31, 2017 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		—		151,806,776		—		168,546,228
Benchmark-Free Allocation Fund		—		746,579,279		—		1,711,236,332
Benchmark-Free Fund		1,042,579,697		908,067,842		1,088,401,327		1,184,337,594
Global Asset Allocation Fund		—		360,324,221		—		498,094,943
Global Developed Equity Allocation Fund		—		13,374,919		—		456,140,282
Global Equity Allocation Fund		—		215,999,720		—		211,676,701
Consolidated Implementation Fund		3,796,821,469		4,561,061,758		3,913,611,226		4,557,925,657
International Developed Equity Allocation Fund		—		5,004,935		—		42,655,463
International Equity Allocation Fund		—		30,149,356		—		167,202,738
Consolidated SGM Major Markets Fund		222,100,747		59,560,562		305,964,451		138,000,000
Consolidated Special Opportunities Fund		—		42,664,164		—		149,074,313
Strategic Opportunities Allocation Fund		80,425,378		192,617,267		40,217,380		487,318,395

162

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Notes to Financial Statements — (Continued)

August 31, 2017 (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, 2017

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		3	‡		87.63%		0.09%		99.34%
Benchmark-Free Allocation Fund		1			41.99%		0.92%		2.30%
Benchmark-Free Fund		—			—		—		100.00%
Global Asset Allocation Fund		—			—		0.20%		7.72%
Global Developed Equity Allocation Fund		3			59.46%		<0.01%		—
Global Equity Allocation Fund		1			15.96%		0.01%		0.25%
Implementation Fund		1	‡		95.56%		—		100.00%
International Developed Equity Allocation Fund		5			76.20%		<0.01%		1.90%
International Equity Allocation Fund		4	†		68.04%		0.01%		22.47%
SGM Major Markets Fund±		2	#		80.76%		0.10%		96.68%
Special Opportunities Fund		2	#		96.13%		0.08%		99.54%
Strategic Opportunities Allocation Fund		1			31.03%		<0.01%		99.96%

± The Fund’s outstanding shares were owned by more than 10 shareholders as of August 31, 2017.

† 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.

163

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Notes to Financial Statements — (Continued)

August 31, 2017 (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, 2017 (Unaudited)						Year Ended February 28, 2017
	Shares			Amount			Shares			Amount
Alpha Only Fund
Class III:
Shares sold		192,213		$	4,143,802			23,049		$	485,000
Shares issued to shareholders in reinvestment of distributions		2,134			46,437			10,799			226,478
Shares repurchased		(226,078	)		(4,927,087	)		(9,062	)		(193,998	)
Net increase (decrease)		(31,731	)	$	(736,848	)		24,786		$	517,480
Class IV:
Shares sold		232,474		$	5,050,082			290,332		$	6,216,866
Shares issued to shareholders in reinvestment of distributions		34,884			759,425			323,934			6,805,653
Shares repurchased		(862,704	)		(18,502,722	)		(2,820,045	)		(60,624,321	)
Net increase (decrease)		(595,346	)	$	(12,693,215	)		(2,205,799	)	$	(47,601,802	)
Benchmark-Free Allocation Fund
Class III:
Shares sold		9,284,237		$	244,492,313			11,196,580		$	282,349,518
Shares issued to shareholders in reinvestment of distributions		264,478			7,114,461			2,999,733			74,370,066
Shares repurchased		(33,770,271	)		(898,341,055	)		(60,921,352	)		(1,511,866,800	)
Purchase premiums		—			196,476			—			239,291
Redemption fees		—			965,342			—			3,224,150
Net increase (decrease)		(24,221,556	)	$	(645,572,463	)		(46,725,039	)	$	(1,151,683,775	)
Class IV:
Shares sold		28,667,325		$	760,496,777			10,289,818		$	256,114,599
Shares issued to shareholders in reinvestment of distributions		192,653			5,182,371			1,600,299			39,678,337
Shares repurchased		(23,384,302	)		(625,721,497	)		(15,488,463	)		(390,292,674	)
Purchase premiums		—			111,979			—			112,306
Redemption fees		—			544,917			—			1,579,024
Net increase (decrease)		5,475,676		$	140,614,547			(3,598,346	)	$	(92,808,408	)
Class MF:
Shares sold		1,657,321		$	44,835,678			9,091,977		$	219,971,887
Shares issued to shareholders in reinvestment of distributions		360,380			9,701,419			4,019,603			99,711,857
Shares repurchased		(20,683,312	)		(545,105,582	)		(127,883,060	)		(3,192,649,982	)
Purchase premiums		—			218,109			—			309,201
Redemption fees		—			1,075,602			—			4,213,744
Net increase (decrease)		(18,665,611	)	$	(489,274,774	)		(114,771,480	)	$	(2,868,443,293	)
Benchmark-Free Fund
Class III:
Shares sold		735,613		$	14,443,143			2,964,651		$	53,692,431
Shares issued to shareholders in reinvestment of distributions		1,036,971			20,729,045			6,315,267			114,708,600
Shares repurchased		(24,557,531	)		(479,637,175	)		(30,712,702	)		(565,886,269	)
Purchase premiums		—			—			—			2,491
Redemption fees		—			1,163,019			—			1,186,303
Net increase (decrease)		(22,784,947	)	$	(443,301,968	)		(21,432,784	)	$	(396,296,444	)

164

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Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

	Six Months Ended August 31, 2017 (Unaudited)						Year Ended February 28, 2017
	Shares			Amount			Shares			Amount
Global Asset Allocation Fund
Class III:#
Shares sold		3,500,214		$	112,555,991			617,412		$	18,044,077
Shares issued to shareholders in reinvestment of distributions		141,099			4,520,819			1,753,044			51,432,938
Shares repurchased		(8,706,035	)		(274,269,144	)		(43,110,243	)		(1,266,492,076	)
Purchase premiums		—			126,627			—			19,792
Redemption fees		—			369,006			—			1,833,641
Net increase (decrease)		(5,064,722	)	$	(156,696,701	)		(40,739,787	)	$	(1,195,161,628	)
Global Developed Equity Allocation Fund
Class III:
Shares sold		—		$	—			378,886		$	7,197,962
Shares issued to shareholders in reinvestment of distributions		287,545			5,922,183			3,760,099			69,595,229
Shares repurchased		(21,961,093	)		(454,145,803	)		(35,852,275	)		(679,060,489	)
Purchase premiums		—			—			—			5,763
Redemption fees		—			363,317			—			543,248
Net increase (decrease)		(21,673,548	)	$	(447,860,303	)		(31,713,290	)	$	(601,718,287	)
Global Equity Allocation Fund
Class III:#
Shares sold		5,071,669		$	126,629,455			896,100		$	19,538,574
Shares issued to shareholders in reinvestment of distributions		260,163			6,433,824			5,519,865			118,776,536
Shares repurchased		(6,445,396	)		(153,436,350	)		(55,808,897	)		(1,211,746,212	)
Purchase premiums		—			35,352			—			22,447
Redemption fees		—			276,129			—			2,187,138
Net increase (decrease)		(1,113,564	)	$	(20,061,590	)		(49,392,932	)	$	(1,071,221,517	)
Consolidated Implementation Fund
Core Class:
Shares sold		44,553,305		$	596,307,964			20,213,611		$	252,945,091
Shares issued to shareholders in reinvestment of distributions		4,417,733			60,081,170			17,429,764			218,046,347
Shares repurchased		(77,742,054	)		(1,049,224,900	)		(335,030,566	)		(4,227,002,950	)
Purchase premiums		—			1,012,171			—			506,904
Redemption fees		—			1,915,980			—			8,454,006
Net increase (decrease)		(28,771,016	)	$	(389,907,615	)		(297,387,191	)	$	(3,747,050,602	)
International Developed Equity Allocation Fund
Class III:
Shares sold		241,431		$	3,786,324			4,384,487		$	61,744,274
Shares issued to shareholders in reinvestment of distributions		83,827			1,356,322			1,722,551			24,243,085
Shares repurchased		(2,773,162	)		(44,675,273	)		(37,498,662	)		(546,186,257	)
Purchase premiums		—			1,929			—			46,639
Redemption fees		—			34,638			—			434,149
Net increase (decrease)		(2,447,904	)	$	(39,496,060	)		(31,391,624	)	$	(459,718,110	)

165

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Notes to Financial Statements — (Continued)

August 31, 2017 (Unaudited)

	Six Months Ended August 31, 2017 (Unaudited)						Year Ended February 28, 2017
	Shares			Amount			Shares			Amount
International Equity Allocation Fund
Class III:#
Shares sold		81,218		$	2,353,613			1,015,102		$	25,738,591
Shares issued to shareholders in reinvestment of distributions		132,043			3,989,008			1,345,263			34,818,517
Shares repurchased		(5,032,486	)		(145,149,153	)		(11,358,185	)		(300,419,199	)
Purchase premiums		—			5,678			—			68,619
Redemption fees		—			351,791			—			772,434
Net increase (decrease)		(4,819,225	)	$	(138,449,063	)		(8,997,820	)	$	(239,021,038	)
Consolidated SGM Major Markets Fund
Class III:
Shares sold		—		$	—			920,661		$	32,602,984
Shares issued to shareholders in reinvestment of distributions		1,507			49,818			16,710			552,675
Shares repurchased		(60,099	)		(1,982,059	)		(1,472,573	)		(51,952,410	)
Net increase (decrease)		(58,592	)	$	(1,932,241	)		(535,202	)	$	(18,796,751	)
Class IV:
Shares sold		242,057		$	8,000,000			1,633,992		$	57,413,784
Shares issued to shareholders in reinvestment of distributions		4,080			134,347			104,598			3,319,945
Shares repurchased		(1,530,121	)		(50,187,950	)		(54,601	)		(1,776,715	)
Net increase (decrease)		(1,283,984	)	$	(42,053,603	)		1,683,989		$	58,957,014
Class VI:
Shares sold		2,208,724		$	72,652,250			11,918,840		$	421,919,797
Shares issued to shareholders in reinvestment of distributions		350,051			11,537,694			3,113,453			99,975,150
Shares repurchased		(2,435,375	)		(80,265,960	)		(9,620,986	)		(328,005,022	)
Net increase (decrease)		123,400		$	3,923,984			5,411,307		$	193,889,925
Consolidated Special Opportunities Fund
Class VI:
Shares sold		1,496,695		$	31,719,414			157,444		$	3,101,282
Shares issued to shareholders in reinvestment of distributions		957,829			21,675,669			1,855,789			36,919,533
Shares repurchased		(7,536,857	)		(164,450,578	)		(14,372,910	)		(287,704,307	)
Purchase premiums		—			102,995			—			5,534
Redemption fees		—			766,022			—			1,428,513
Net increase (decrease)		(5,082,333	)	$	(110,186,478	)		(12,359,677	)	$	(246,249,445	)
Strategic Opportunities Allocation Fund
Class III:
Shares sold		831,215		$	17,129,720			893,443		$	16,967,331
Shares issued to shareholders in reinvestment of distributions		207,825			4,360,168			2,841,743			53,702,273
Shares repurchased		(13,937,752	)		(291,292,698	)		(14,553,101	)		(276,781,131	)
Purchase premiums		—			—			—			7,878
Redemption fees		—			526,453			—			483,578
Net increase (decrease)		(12,898,712	)	$	(269,276,357	)		(10,817,915	)	$	(205,620,071	)

# Shares were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

166

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Notes to Financial Statements — (Continued)

August 31, 2017 (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 or an investment in other funds of GMO Trust. A summary of the Fund’s transactions involving companies that are or were affiliates during the period ended August 31, 2017 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Alpha Only Fund
GMO U.S. Treasury Fund	$	10,595,373	$	76,780,480	$	$76,900,000	$	$60,502	$	—	$	(4,448	)	$	—		$	10,471,405
Benchmark-Free Allocation Fund
GMO Emerging Country Debt Fund, Class IV	$	621,136,921	$	10,009,044	$	309,400,522	$	10,009,044	$	—	$	2,042,950		$	16,962,140		$	340,750,533
GMO Implementation Fund		10,761,426,169		641,498,072		1,047,308,919		57,498,405		—		64,800,003			577,073,892			10,997,489,217
GMO Opportunistic Income Fund, Class VI		682,798,759		18,240,118		174,196,782		2,864,543		—		8,846,079			5,908,873			541,597,047
GMO SGM Major Markets Fund, Class VI		1,030,173,520		30,104,315		58,490,554		—		8,279,258		3,522,309			5,670,072			1,010,979,662
GMO Special Opportunities Fund, Class VI		674,447,572		46,727,730		121,839,555		467,665		14,437,655		15,227,866			71,468,268			686,031,881
Totals	$	13,769,982,941	$	746,579,279	$	1,711,236,332	$	70,839,657	$	22,716,913	$	94,439,207		$	677,083,245		$	13,576,848,340
Benchmark-Free Fund
GMO Emerging Country Debt Fund, Class IV	$	254,330,557	$	3,854,061	$	131,486,483	$	3,854,061	$	—	$	(1,580,502	)	$	9,027,674		$	134,145,307
GMO Emerging Markets Fund, Class VI		544,118,916		2,301,164		94,097,000		2,301,164		—		6,309,835			65,078,461			523,711,376
GMO Opportunistic Income Fund, Class VI		265,783,934		1,097,016		58,981,954		1,097,016		—		7,165,883			(1,374,966	)		213,689,913
GMO SGM Major Markets Fund, Class VI		190,362,136		1,485,192		8,750,000		—		1,485,192		716,772			1,000,234			184,814,334
GMO Special Opportunities Fund, Class VI		284,598,267		5,950,539		41,845,000		186,702		5,763,837		1,852,272			32,103,450			282,659,528
GMO U.S. Treasury Fund		36,502,880		147,120,412		183,637,659		132,598		—		3,810			10,557			0
Totals	$	1,575,696,690	$	161,808,384	$	518,798,096	$	7,571,541	$	7,249,029	$	14,468,070		$	105,845,410		$	1,339,020,458
Global Asset Allocation Fund
GMO Alpha Only Fund, Class IV	$	73,411,864	$	2,412,200	$	6,856,144	$	267,060	$	—	$	(774,187	)	$	4,154,869		$	72,348,602
GMO Asset Allocation Bond Fund, Class VI		436,734,200		11,308,822		65,898,952		—		—		(9,288,265	)		13,753,758			386,609,563
GMO Core Plus Bond Fund, Class IV		122,418,980		127,154,457		12,923,080		240,941		—		270,783			4,570,032			241,491,172
GMO Emerging Country Debt Fund, Class IV		98,805,388		1,763,554		49,097,488		1,704,244		—		1,408,483			1,775,369			54,655,306
GMO Emerging Markets Fund, Class VI		363,494,869		102,168,393		51,179,403		1,566,930		—		1,138,301			50,566,633			466,188,793
GMO International Equity Fund, Class IV		507,593,996		17,533,523		71,637,096		2,809,279		—		(11,287,949	)		70,248,064			512,450,538
GMO Opportunistic Income Fund, Class VI		97,727,559		653,707		51,965,198		365,408		—		2,589,432			(861,705	)		48,143,795
GMO Quality Fund, Class VI		202,013,212		7,689,648		51,536,894		562,649		1,526,275		5,959,102			12,120,480			176,245,548
GMO Risk Premium Fund, Class VI		64,139,050		4,642,926		8,466,424		0		4,642,926		689,565			(1,732,779	)		59,272,338
GMO SGM Major Markets Fund, Class VI		73,002,358		2,673,616		4,595,235		0		559,665		400,959			270,731			71,752,429

167

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August 31, 2017 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Global Asset Allocation Fund (continued)
GMO U.S. Equity Allocation Fund, Class VI		201,264,975		15,885,843		36,578,242		518,478		8,506,832		(1,813,055	)		(1,894,413	)		176,865,108
GMO U.S. Treasury Fund		183,086,818		66,437,532		87,235,139		852,339		—		(69,137	)		995			162,221,069
	$	2,423,693,269	$	360,324,221	$	497,969,295	$	8,887,328	$	15,235,698	$	(10,775,968	)	$	152,972,034		$	2,428,244,261
Global Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	98,541,837	$	310,736	$	47,763,871	$	310,736	$	—	$	845,974		$	9,989,485		$	61,924,161
GMO International Equity Fund, Class IV		456,476,089		4,232,747		220,788,822		1,861,785		—		(40,338,180	)		88,722,141			288,303,975
GMO Quality Fund, Class VI		219,104,022		1,670,091		102,202,226		449,837		1,220,254		11,365,651			6,295,059			136,232,597
GMO U.S. Equity Allocation Fund, Class VI		217,844,350		7,161,345		85,385,363		411,398		6,749,947		(4,873,418	)		937,915			135,684,829
Totals	$	991,966,298	$	13,374,919	$	456,140,282	$	3,033,756	$	7,970,201	$	(32,999,973	)	$	105,944,600		$	622,145,562
Global Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	504,513,964	$	90,483,163	$	34,794,148	$	2,300,666	$	—	$	555,447		$	70,927,969			631,686,395
GMO International Equity Fund, Class IV		885,286,898		41,127,706		89,553,913		5,132,625		—		(19,589,279	)		124,061,521			941,332,933
GMO Quality Fund, Class VI		399,709,400		28,438,780		42,811,673		1,181,973		3,206,292		4,737,014			32,764,907			422,838,428
GMO U.S. Equity Allocation Fund, Class VI		416,646,309		55,950,070		44,516,966		1,117,235		18,330,813		(2,114,726	)		(6,182,874	)		419,781,813
	$	2,206,156,571	$	215,999,719	$	211,676,700	$	9,732,499	$	21,537,105	$	(16,411,544	)	$	221,571,523		$	2,415,639,569
International Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	59,768,161		1,048,890		5,754,946		277,705	$	—	$	30,571		$	8,389,488		$	63,482,164
GMO International Equity Fund, Class IV		541,876,427		3,956,045		36,900,517		3,227,427		—		(4,248,035	)		70,121,702			574,805,622
Totals	$	601,644,588	$	5,004,935	$	42,655,463	$	3,505,132	$	—	$	(4,217,464	)	$	78,511,190		$	638,287,786
International Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	356,432,437	$	23,849,512	$	48,715,628	$	1,515,315	$	—	$	(2,710,449	)	$	50,117,467		$	378,973,339
GMO International Equity Fund, Class IV		729,124,865		6,299,844		118,487,110		3,974,469		—		(3,593,135	)		86,044,676			699,389,140
Totals	$	1,085,557,302	$	30,149,356	$	167,202,738	$	5,489,784	$	—	$	(6,303,584	)	$	136,162,143		$	1,078,362,479
Consolidated SGM Major Markets Fund
GMO U.S. Treasury Fund	$	834,716,360	$	59,560,562	$	138,000,000	$	3,560,389	$	—	$	(47,815	)	$	(294,249	)	$	755,934,858
Consolidated Special Opportunities Fund
Jagercor Energy Corp	$	90,348	$	—	$	—	$	—			$	—		$	29,772		$	120,120
Totals	$	90,348	$	—	$	—	$	—			$	—		$	29,772		$	120,120

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August 31, 2017 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Strategic Opportunities Allocation Fund
GMO Core Plus Bond Fund, Class IV	$	56,400,656	$	100,932,549	$	13,962,204	$	175,499	$	—	$	415,590		$	2,652,579		$	146,439,170
GMO Emerging Country Debt Fund, Class IV		84,932,626		1,477,542		30,265,629		1,477,542		—		(400,363	)		3,314,616			59,058,792
GMO Emerging Markets Fund, Class VI		390,569,250		57,446,142		66,531,711		1,772,250		—		3,488,923			51,567,299			436,539,903
GMO International Equity Fund, Class IV		573,398,898		3,255,869		122,943,575		3,255,867		—		(2,273,638	)		68,913,210			520,350,764
GMO Opportunistic Income Fund, Class VI		83,844,202		444,588		19,945,152		444,589		—		2,282,825			(139,043	)		66,487,420
GMO Quality Fund, Class VI		207,645,291		2,206,226		37,094,511		594,244		1,611,983		4,450,569			14,442,917			191,650,492
GMO U.S. Equity Allocation Fund, Class VI		204,598,363		9,389,229		18,911,093		539,384		8,849,845		(1,278,753	)		(2,726,456	)		191,071,290
GMO U.S. Treasury Fund		303,051,065		17,465,122		177,367,904		1,052,007		—		(153,899	)		20,813			143,015,197
	$	1,904,440,351	$	192,617,267	$	487,021,779	$	9,311,382	$	10,461,828	$	6,531,254		$	138,045,935		$	1,754,613,028

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2017 through August 31, 2017. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2018.

11. Subsequent events

Subsequent to August 31, 2017, GMO Global Developed Equity Allocation Fund received redemption requests in the amount of $154,852,481.

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Board Review of Investment Management Agreements

August 31, 2017 (Unaudited)

GMO Alpha Only Fund

Approval of renewal of management agreement for GMO Alpha Only Fund (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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 privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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 a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. The Trustees noted that the Fund is not currently offered as 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

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 fee 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 by the Manager to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. 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 various “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 indirectly as a result of its investment in those other GMO funds, 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

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August 31, 2017 (Unaudited)

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.

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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

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 (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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 privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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 a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

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 fee 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

171

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August 31, 2017 (Unaudited)

and to the Manager’s fee schedule for its other pooled investment vehicles and separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and accounts. The Trustees also considered the shareholder servicing and supplemental support fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio (the profitability of the Fund and GMO Implementation Fund is determined on an aggregate basis for this purpose). 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 various “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.

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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

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 (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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 privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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

172

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August 31, 2017 (Unaudited)

Manager, which they received before and at a meeting of the Trustees on June 7, 2017. 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 a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. The Trustees noted that the Fund is not currently offered as 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

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 fees payable by those funds to the Manager under those agreements were reasonable.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. 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 various “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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded 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 Global Asset Allocation Fund

Approval of renewal of management agreement for GMO Global Asset Allocation Fund (the “Fund”). At a meeting on June 7, 2017, 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

173

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August 31, 2017 (Unaudited)

June 30, 2017. 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 privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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 a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

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 fees payable by those funds to the Manager under those agreements were reasonable.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. 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 various “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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of services to be provided supported the approval of the agreement.

174

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (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 Global Developed Equity Allocation Fund

Approval of renewal of management agreement for GMO Global Developed Equity Allocation Fund (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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 privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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 a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

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 other pooled investment vehicles and separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and 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 fees payable by those funds to the Manager under those agreements were reasonable.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. 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

175

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

various approaches for calculating profitability. The Trustees took note of various “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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded 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 Global Equity Allocation Fund

Approval of renewal of management agreement for GMO Global Equity Allocation Fund (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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 privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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 a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

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

176

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

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 other pooled investment vehicles and separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and 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 fees payable by those funds to the Manager under those agreements were reasonable.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. 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 various “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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded 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 Implementation Fund

Approval of renewal of management agreement for GMO Implementation Fund (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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 privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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 a fund pursuing the investment

177

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. The Trustees noted that the Fund is not currently offered as 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

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 noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio (the profitability of the Fund and GMO Benchmark-Free Allocation Fund is determined on an aggregate basis for this purpose). 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 various “fallout benefits” to the Manager resulting from its management of the Fund.

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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded 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 Allocation Fund (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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 privately. 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.

178

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

At a meeting on May 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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 a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

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 fees payable by those funds to the Manager under those agreements were reasonable.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. 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 various “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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded 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 Equity Allocation Fund

Approval of renewal of management agreement for GMO International Equity Allocation Fund (the “Fund”). At a meeting on June 7, 2017, 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

179

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

June 30, 2017. 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 privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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 a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

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 other pooled investment vehicles and separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and 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 fees payable by those funds to the Manager under those agreements were reasonable.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. 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 various “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 Manager’s other departments, such as legal and compliance) and the resources the Manager

180

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded 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 SGM Major Markets Fund

Approval of renewal of management agreement for GMO SGM Major Markets Fund (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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 privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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 a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

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 fee 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 separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

181

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. 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 various “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.

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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

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 (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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 privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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 a fund pursuing the investment strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. The Trustees noted that the Fund is not currently offered as 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

182

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

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 fee 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 by the Manager to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. 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 various “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.

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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

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 (the “Fund”). At a meeting on June 7, 2017, 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, 2017. 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 privately. 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 18, 2017, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. 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 7, 2017. 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 a fund pursuing the investment

183

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2017 (Unaudited)

strategies adopted by the Manager was expected to perform in light of market conditions in recent years. The Trustees also considered changes in senior leadership and other key personnel recently implemented by the Manager. The Trustees noted that the Fund is not currently offered as 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 by a third-party data service to have similar investment characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of net asset value per share) as compared to the 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 expense ratio, the Trustees took into account the Manager’s undertaking to reimburse a portion of the Fund’s operating expenses.

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 fees payable by those funds to the Manager under those agreements were reasonable.

The Trustees also noted the non-portfolio management-related services provided by the Manager to the Fund under the Fund’s management agreement, including but not limited to valuation, legal and compliance, board governance, accounting and operational services.

The Trustees also reviewed information prepared by the Manager regarding profits realized by the Manager from managing the Fund, the Trust overall and the investment division managing the Fund’s investment portfolio. 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 various “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 Manager’s other departments, such as legal and compliance) 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 concerning the Manager’s business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded 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.

184

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

August 31, 2017 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2017.

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 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, 2017 through August 31, 2017.

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, 2017		Ending Account Value August 31, 2017		Expenses Paid During the Period*		Beginning Account Value March 1, 2017		Ending Account Value August 31, 2017		Expenses Paid During the Period*		Annualized Expense Ratio
Alpha Only Fund
Class III		$1,000.00		$1,051.70		$3.46		$1,000.00		$1,021.83		$3.41		0.67%
Class IV		$1,000.00		$1,052.10		$3.21		$1,000.00		$1,022.08		$3.16		0.62%
Benchmark-Free Allocation Fund
Class III		$1,000.00		$1,061.70		$4.42		$1,000.00		$1,020.92		$4.33		0.85%
Class IV		$1,000.00		$1,062.00		$4.16		$1,000.00		$1,021.17		$4.08		0.80%
Class MF		$1,000.00		$1,061.90		$4.16		$1,000.00		$1,021.17		$4.08		0.80%
Benchmark-Free Fund
Class III		$1,000.00		$1,084.00		$1.47		$1,000.00		$1,023.79		$1.43		0.28%
Global Asset Allocation Fund
Class III		$1,000.00		$1,072.20		$2.51		$1,000.00		$1,022.79		$2.45		0.48%
Global Developed Equity Allocation Fund
Class III		$1,000.00		$1,104.30		$2.76		$1,000.00		$1,022.58		$2.65		0.52%
Global Equity Allocation Fund
Class III		$1,000.00		$1,111.00		$2.98		$1,000.00		$1,022.38		$2.85		0.57%
Implementation Fund
Core		$1,000.00		$1,066.00		$0.31		$1,000.00		$1,024.90		$0.31		0.06%
International Developed Equity Allocation Fund
Class III		$1,000.00		$1,131.90		$3.28		$1,000.00		$1,022.13		$3.11		0.62%
International Equity Allocation Fund
Class III		$1,000.00		$1,135.60		$3.55		$1,000.00		$1,021.88		$3.36		0.66%

185

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses — (Continued)

August 31, 2017 (Unaudited)

	Actual						Hypothetical
	Beginning Account Value March 1, 2017		Ending Account Value August 31, 2017		Expenses Paid During the Period*		Beginning Account Value March 1, 2017		Ending Account Value August 31, 2017		Expenses Paid During the Period*		Annualized Expense Ratio
SGM Major Markets Fund
Class III		$1,000.00		$1,016.70		$5.08		$1,000.00		$1,020.16		$5.09		1.00%
Class IV		$1,000.00		$1,016.80		$4.83		$1,000.00		$1,020.42		$4.84		0.95%
Class VI		$1,000.00		$1,017.10		$4.63		$1,000.00	��	$1,020.62		$4.63		0.91%
Special Opportunities Fund
Class VI		$1,000.00		$1,158.30		$6.69		$1,000.00		$1,019.00		$6.26		1.23%
Strategic Opportunities Allocation Fund
Class III		$1,000.00		$1,086.50		$2.42		$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, 2017, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year.

186

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, 2017

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, Chief Executive Officer
	Date: November 2, 2017
By (Signature and Title):	/s/ Carly Cushman
	Carly Cushman, Principal Financial Officer
	Date: November 2, 2017