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: 02/28/21
Date of reporting period: 08/31/20
Item 1. Reports to Stockholders.
The semi-annual reports for each series of the registrant for the period ended August 31, 2020 are filed herewith.
GMO Trust
Semiannual Report
August 31, 2020
Asset Allocation Bond Fund
Emerging Country Debt Fund
High Yield Fund
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
Opportunistic Income Fund
U.S. Treasury Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, GMO expects that paper copies of each Fund’s annual and semiannual reports to shareholders will no longer be sent by mail, unless you specifically request paper copies of the reports by writing or calling GMO Shareholder Services at the address or phone number below or by contacting your financial intermediary, such as a broker or agent. Instead, reports will be available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. If you are a direct investor, you may elect to receive shareholder reports and other communications from the Fund electronically by contacting GMO Shareholder Services or if you own your shares through a financial intermediary, you may contact your financial intermediary.
Beginning January 1, 2019, you may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request to continue to receive paper copies of your shareholder reports or you can follow instructions included with this disclosure. If you invest directly with the Fund, you can contact GMO Shareholder Services at the address or phone number below. Your election to receive reports in paper will apply to all Funds held directly with the Trust.
Shareholder Services at
Grantham, Mayo, Van Otterloo & Co. LLC
40 Rowes Wharf, Boston, Massachusetts 02110
1-617-346-7646 (collect)
For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect), visit GMO’s website at www.gmo.com or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 will be available without charge on GMO’s website at www.gmo.com and on the Securities and Exchange Commission’s website at www.sec.gov no later than August 31 of each year.
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-PORT which is available on the Commission’s website at www.sec.gov. 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.
1 | ||||
2 | ||||
3 | ||||
4 | ||||
16 | ||||
17 | ||||
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) | ||||
21 | ||||
22 | ||||
26 | ||||
27 | ||||
37 | ||||
38 | ||||
39 | ||||
40 | ||||
44 | ||||
46 | ||||
49 | ||||
55 | ||||
98 | ||||
106 | ||||
107 |
GMO Asset Allocation Bond Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2020 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Debt Obligations | 96.0 | % | ||
Mutual Funds | 3.9 | |||
Short-Term Investments | 0.1 | |||
Other | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
& | In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). |
^ | 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, 2020 (Unaudited)
Par Value† / Shares | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 96.0% |
| |||||||||
U.S. Government — 96.0% | ||||||||||
4,174,450 | U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (a) | 4,491,203 | ||||||||
9,693,968 | U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (a) | 10,771,096 | ||||||||
10,303,108 | U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (a) | 11,659,215 | ||||||||
25,356,077 | U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (a) | 31,134,489 | ||||||||
6,217,456 | U.S. Treasury Inflation Indexed Bond, 0.75%, due 07/15/28 (a) | 7,232,042 | ||||||||
11,253,189 | U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29 (a) | 13,232,168 | ||||||||
28,604,790 | U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (a) | 37,742,680 | ||||||||
16,229,484 | U.S. Treasury Inflation Indexed Bond, 0.13%, due 01/15/30 (a) | 18,136,448 | ||||||||
8,243,542 | U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/30 (a) | 9,287,992 | ||||||||
|
| |||||||||
Total U.S. Government | 143,687,333 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $128,680,790) | 143,687,333 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 3.9% | ||||||||||
United States — 3.9% | ||||||||||
Affiliated Issuers — 3.9% | ||||||||||
1,162,268 | GMO U.S. Treasury Fund | 5,857,830 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $5,856,994) | 5,857,830 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
Money Market Funds — 0.1% | ||||||||||
130,156 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (b) | 130,156 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $130,156) | 130,156 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $134,667,940) | 149,675,319 | |||||||||
Other Assets and Liabilities (net) — 0.00% | 19,302 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $149,694,621 | |||||||||
|
|
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, 2020. |
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 39.
2 | See accompanying notes to the financial statements. |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2020 (Unaudited)
Asset Class Summary† | % of Total Net Assets | |||
Debt Obligations | 94.5 | % | ||
Short-Term Investments | 1.9 | |||
Loan Participations | 0.9 | |||
Loan Assignments | 0.5 | |||
Rights/Warrants | 0.3 | |||
Swap Contracts | 0.1 | |||
Written Options/Credit Linked Options | (0.0 | )^ | ||
Forward Currency Contracts | (0.2 | ) | ||
Other | 2.0 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary‡ | % of Investments | |||
Other Emerging | 14.0 | %* | ||
Mexico | 7.0 | |||
Indonesia | 5.5 | |||
Turkey | 5.4 | |||
Oman | 3.7 | |||
South Africa | 3.7 | |||
Argentina | 3.6 | |||
Saudi Arabia | 3.4 | |||
Chile | 3.3 | |||
Ukraine | 3.1 | |||
Russia | 3.0 | |||
Bahrain | 2.9 | |||
Egypt | 2.8 | |||
Dominican Republic | 2.6 | |||
Qatar | 2.6 | |||
Tunisia | 2.2 | |||
Brazil | 2.2 | |||
Ecuador | 2.1 | |||
Pakistan | 2.1 | |||
United Arab Emirates | 2.1 | |||
Sri Lanka | 2.1 | |||
Jordan | 1.9 | |||
Colombia | 1.8 | |||
Panama | 1.7 | |||
Philippines | 1.6 | |||
Costa Rica | 1.6 | |||
Uruguay | 1.3 | |||
Kenya | 1.3 | |||
Kazakhstan | 1.2 | |||
Ivory Coast | 1.2 | |||
India | 1.2 | |||
Ghana | 1.2 | |||
Azerbaijan | 1.2 | |||
Romania | 1.1 | |||
Guatemala | 1.0 | |||
Malaysia | 1.0 | |||
United States | 0.3 | |||
|
| |||
100.0 | % | |||
|
|
† | The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). |
‡ | The table 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. |
^ | Rounds to 0.0%. |
3
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 94.5% | ||||||||||
Albania — 1.0% | ||||||||||
Foreign Government Obligations | ||||||||||
49,649,849 | Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b) | 45,728,738 | ||||||||
|
| |||||||||
Angola — 0.6% | ||||||||||
Foreign Government Obligations | ||||||||||
23,300,000 | Angolan Government International Bond, Reg S, 9.38%, due 05/08/48 | 19,135,125 | ||||||||
7,300,000 | Angolan Government International Bond, Reg S, 9.13%, due 11/26/49 | 5,894,750 | ||||||||
819,000 | Republic of Angola Via Avenir II BV, Reg S, 6 mo. LIBOR + 4.50%, 4.98%, due 12/07/23 (c) | 712,530 | ||||||||
|
| |||||||||
Total Angola | 25,742,405 | |||||||||
|
| |||||||||
Argentina — 3.3% | ||||||||||
Foreign Government Obligations | ||||||||||
5,400,000 | Republic of Argentina, 7.50%, due 04/22/26 (d) | 2,462,063 | ||||||||
39,858,000 | Republic of Argentina, 6.88%, due 01/26/27 (d) | 17,674,532 | ||||||||
8,176,000 | Republic of Argentina, 5.88%, due 01/11/28 (d) | 3,577,000 | ||||||||
EUR | 12,000,000 | Republic of Argentina, Reg S, 5.25%, due 01/15/28 (d) | 6,086,086 | |||||||
14,692,000 | Republic of Argentina, 6.63%, due 07/06/28 (d) | 6,441,524 | ||||||||
10,786,557 | Republic of Argentina, 8.28%, due 12/31/33 (d) | 4,314,623 | ||||||||
JPY | 407,485,276 | Republic of Argentina, Variable Rate, 4.33%, due 12/31/33 (c) | 917,451 | |||||||
JPY | 323,575,000 | Republic of Argentina, 0.67%, due 12/31/38 (c) | 946,491 | |||||||
27,500,000 | Republic of Argentina, 7.63%, due 04/22/46 (d) | 11,893,750 | ||||||||
7,600,000 | Republic of Argentina, 7.13%, due 06/28/2117 (d) | 3,270,375 | ||||||||
EUR | 17,641,371 | Republic of Argentina Discount Bond, 7.82%, due 12/31/33 (d) | 10,460,378 | |||||||
40,308,593 | Republic of Argentina Discount Bond, 8.28%, due 12/31/33 (d) | 20,935,275 | ||||||||
EUR | 116,880,000 | Republic of Argentina Par Bond, Step Up, 3.38%, due 12/31/38 (d) | 59,076,252 | |||||||
|
| |||||||||
Total Argentina | 148,055,800 | |||||||||
|
| |||||||||
Armenia — 0.5% | ||||||||||
Foreign Government Agency — 0.4% | ||||||||||
20,000,000 | Ardshinbank CJSC Via Dilijan Finance BV, 144A, 6.50%, due 01/28/25 | 19,050,000 | ||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
Armenia — continued | ||||||||||
Foreign Government Obligations — 0.1% | ||||||||||
2,195,000 | Republic of Armenia, Reg S, 7.15%, due 03/26/25 | 2,518,763 | ||||||||
|
| |||||||||
Total Armenia | 21,568,763 | |||||||||
|
| |||||||||
Azerbaijan — 1.6% | ||||||||||
Foreign Government Agency — 1.1% | ||||||||||
11,388,000 | International Bank of Azerbaijan OJSC, Reg S, 3.50%, due 09/01/24 | 10,476,960 | ||||||||
18,950,000 | Petkim Petrokimya Holding AS, Reg S, 5.88%, due 01/26/23 | 18,807,875 | ||||||||
14,900,000 | Southern Gas Corridor CJSC, Reg S, 6.88%, due 03/24/26 | 17,783,150 | ||||||||
|
| |||||||||
47,067,985 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 0.5% | ||||||||||
20,300,000 | Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29 | 22,330,000 | ||||||||
|
| |||||||||
Total Azerbaijan | 69,397,985 | |||||||||
|
| |||||||||
Bahamas — 0.3% | ||||||||||
Foreign Government Obligations | ||||||||||
8,709,000 | Bahamas Government International Bond, Reg S, 6.00%, due 11/21/28 | 7,919,747 | ||||||||
8,323,000 | Bahamas Government International Bond, Reg S, 6.95%, due 11/20/29 | 7,573,930 | ||||||||
|
| |||||||||
Total Bahamas | 15,493,677 | |||||||||
|
| |||||||||
Bahrain — 1.7% | ||||||||||
Foreign Government Obligations | ||||||||||
19,500,000 | Bahrain Government International Bond, 144A, 5.63%, due 09/30/31 | 20,304,375 | ||||||||
4,100,000 | Bahrain Government International Bond, Reg S, 6.00%, due 09/19/44 | 4,056,438 | ||||||||
45,450,000 | Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47 | 51,741,984 | ||||||||
|
| |||||||||
Total Bahrain | 76,102,797 | |||||||||
|
| |||||||||
Barbados — 0.3% | ||||||||||
Foreign Government Obligations | ||||||||||
7,600,000 | Barbados Government International Bond, 144A, 6.50%, due 10/01/29 | 7,429,000 | ||||||||
7,900,000 | Barbados Government International Bond, Reg S, 6.50%, due 10/01/29 | 7,722,250 | ||||||||
|
| |||||||||
Total Barbados | 15,151,250 | |||||||||
|
| |||||||||
Belarus — 0.7% | ||||||||||
Foreign Government Agency — 0.2% | ||||||||||
8,304,000 | Development Bank of the Republic of Belarus JSC, Reg S, 6.75%, due 05/02/24 | 7,805,760 | ||||||||
|
|
4 | 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, 2020 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Belarus — continued | ||||||||||
Foreign Government Obligations — 0.5% | ||||||||||
19,100,000 | Republic of Belarus International Bond, Reg S, 6.20%, due 02/28/30 | 17,734,350 | ||||||||
3,800,000 | Republic of Belarus Ministry of Finance, 144A, 5.88%, due 02/24/26 | 3,551,812 | ||||||||
4,500,000 | Republic of Belarus Ministry of Finance, 144A, 6.38%, due 02/24/31 | 4,176,844 | ||||||||
|
| |||||||||
25,463,006 | ||||||||||
|
| |||||||||
Total Belarus | 33,268,766 | |||||||||
|
| |||||||||
Belize — 0.5% | ||||||||||
Foreign Government Obligations | ||||||||||
50,932,100 | Republic of Belize, Reg S, Step Up, 4.94%, due 02/20/34 | 22,410,124 | ||||||||
|
| |||||||||
Bermuda — 0.3% | ||||||||||
Foreign Government Obligations | ||||||||||
9,490,000 | Bermuda Government International Bond, Reg S, 4.75%, due 02/15/29 | 11,319,791 | ||||||||
|
| |||||||||
Brazil — 2.1% | ||||||||||
Corporate Debt — 0.5% | ||||||||||
22,662,254 | MV24 Capital BV, 144A, 6.75%, due 06/01/34 | 23,420,023 | ||||||||
|
| |||||||||
Foreign Government Agency — 0.9% | ||||||||||
3,100,000 | Centrais Eletricas Brasileiras SA, 144A, 4.63%, due 02/04/30 | 3,134,875 | ||||||||
32,439,000 | Petrobras Global Finance BV, 6.85%, due 06/05/2115 | 35,642,351 | ||||||||
|
| |||||||||
38,777,226 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 0.7% | ||||||||||
13,397,000 | Republic of Brazil, 7.13%, due 01/20/37 | 17,185,839 | ||||||||
8,300,000 | Republic of Brazil, 5.63%, due 02/21/47 | 9,296,000 | ||||||||
4,200,000 | Republic of Brazil, 4.75%, due 01/14/50 | 4,214,438 | ||||||||
|
| |||||||||
30,696,277 | ||||||||||
|
| |||||||||
Total Brazil | 92,893,526 | |||||||||
|
| |||||||||
Cameroon — 0.2% | ||||||||||
Foreign Government Obligations | ||||||||||
10,300,000 | Republic of Cameroon International Bond, Reg S, 9.50%, due 11/19/25 | 10,918,000 | ||||||||
|
| |||||||||
Chile — 2.8% | ||||||||||
Corporate Debt — 1.4% | ||||||||||
26,100,000 | Empresa de Transporte de Pasajeros Metro SA, 144A, 4.70%, due 05/07/50 | 32,494,500 | ||||||||
20,411,000 | Empresa Nacional de Electricidad SA, 8.13%, due 02/01/97 (a) | 31,494,173 | ||||||||
|
| |||||||||
63,988,673 | ||||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
Chile — continued | ||||||||||
Foreign Government Agency — 1.4% | ||||||||||
8,800,000 | Corp Nacional del Cobre de Chile, Reg S, 4.25%, due 07/17/42 | 10,018,250 | ||||||||
31,700,000 | Corp Nacional del Cobre de Chile, 144A, 3.70%, due 01/30/50 | 33,909,094 | ||||||||
8,100,000 | Empresa Nacional del Petroleo, Reg S, 5.25%, due 11/06/29 | 9,459,281 | ||||||||
7,600,000 | Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47 | 8,367,125 | ||||||||
|
| |||||||||
61,753,750 | ||||||||||
|
| |||||||||
Total Chile | 125,742,423 | |||||||||
|
| |||||||||
China — 0.3% | ||||||||||
Corporate Debt | ||||||||||
14,200,000 | Lamar Funding Ltd., Reg S, 3.96%, due 05/07/25 | 13,498,875 | ||||||||
|
| |||||||||
Colombia — 2.0% | ||||||||||
Foreign Government Agency — 1.7% | ||||||||||
5,900,000 | Ecopetrol SA, 6.88%, due 04/29/30 | 7,110,621 | ||||||||
45,411,000 | Ecopetrol SA, 7.38%, due 09/18/43 | 58,807,245 | ||||||||
3,800,000 | Ecopetrol SA, 5.88%, due 05/28/45 | 4,312,240 | ||||||||
COP | 30,200,000,000 | Empresas Publicas de Medellin ESP, 144A, 8.38%, due 11/08/27 | 8,356,060 | |||||||
|
| |||||||||
78,586,166 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 0.3% | ||||||||||
647,000 | Colombia Government International Bond, 8.38%, due 02/15/27 | 824,110 | ||||||||
3,800,000 | Colombia Government International Bond, 11.85%, due 03/09/28 (c) | 5,586,000 | ||||||||
4,800,000 | Colombia Government International Bond, 5.63%, due 02/26/44 | 6,078,000 | ||||||||
|
| |||||||||
12,488,110 | ||||||||||
|
| |||||||||
Total Colombia | 91,074,276 | |||||||||
|
| |||||||||
Congo Republic (Brazzaville) — 1.1% | ||||||||||
Foreign Government Obligations | ||||||||||
66,264,267 | Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29 (c) | 50,360,843 | ||||||||
|
| |||||||||
Costa Rica — 1.7% | ||||||||||
Foreign Government Agency — 0.3% | ||||||||||
14,198,000 | Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43 | 11,007,887 | ||||||||
|
| |||||||||
Foreign Government Obligations — 1.4% | ||||||||||
26,400,000 | Costa Rica Government International Bond, Reg S, 9.20%, due 08/26/26 | 28,445,989 | ||||||||
36,731,000 | Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45 | 34,079,481 | ||||||||
|
| |||||||||
62,525,470 | ||||||||||
|
| |||||||||
Total Costa Rica | 73,533,357 | |||||||||
|
|
See accompanying notes to the financial statements. | 5 |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Dominican Republic — 3.0% | ||||||||||
Asset-Backed Securities — 0.3% | ||||||||||
14,737,942 | Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24 | 14,728,731 | ||||||||
|
| |||||||||
Foreign Government Obligations — 2.7% | ||||||||||
17,687,000 | Dominican Republic International Bond, Reg S, 8.63%, due 04/20/27 | 20,632,991 | ||||||||
DOP | 1,500,000,000 | Dominican Republic International Bond, 144A, 10.38%, due 01/11/30 | 26,109,319 | |||||||
48,011,000 | Dominican Republic International Bond, Reg S, 6.85%, due 01/27/45 | 50,891,660 | ||||||||
11,900,000 | Dominican Republic International Bond, 144A, 6.40%, due 06/05/49 | 12,063,625 | ||||||||
8,600,000 | Dominican Republic International Bond, 144A, 5.88%, due 01/30/60 | 8,218,375 | ||||||||
|
| |||||||||
117,915,970 | ||||||||||
|
| |||||||||
Total Dominican Republic | 132,644,701 | |||||||||
|
| |||||||||
Ecuador — 2.3% | ||||||||||
Foreign Government Obligations | ||||||||||
85,900,000 | Ecuador Government International Bond, Reg S, 10.75%, due 01/31/29 (d) | 43,835,844 | ||||||||
5,151,241 | Ecuador Government International Bond, Zero Coupon, due 07/31/30 | 2,549,864 | ||||||||
14,241,150 | Ecuador Government International Bond, 0.50%, due 07/31/30 | 10,609,657 | ||||||||
37,320,855 | Ecuador Government International Bond, 0.50%, due 07/31/35 | 23,325,534 | ||||||||
17,104,450 | Ecuador Government International Bond, 0.50%, due 07/31/40 | 9,236,403 | ||||||||
19,875,364 | Ecuador Social Bond Sarl, Zero Coupon, 144A, due 01/30/35 | 12,918,987 | ||||||||
|
| |||||||||
Total Ecuador | 102,476,289 | |||||||||
|
| |||||||||
Egypt — 2.0% | ||||||||||
Foreign Government Obligations | ||||||||||
28,500,000 | Egypt Government International Bond, Reg S, 7.90%, due 02/21/48 | 27,547,031 | ||||||||
33,900,000 | Egypt Government International Bond, Reg S, 8.70%, due 03/01/49 | 34,768,687 | ||||||||
17,400,000 | Egypt Government International Bond, 144A, 8.88%, due 05/29/50 | 18,057,938 | ||||||||
9,714,000 | Egypt Government International Bond, Reg S, 8.15%, due 11/20/59 | 9,383,117 | ||||||||
|
| |||||||||
Total Egypt | 89,756,773 | |||||||||
|
| |||||||||
El Salvador — 0.8% | ||||||||||
Foreign Government Obligations | ||||||||||
17,175,000 | El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35 | 16,074,727 | ||||||||
21,500,000 | El Salvador Government International Bond, 144A, 7.12%, due 01/20/50 | 18,490,000 | ||||||||
|
| |||||||||
Total El Salvador | 34,564,727 | |||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
Ethiopia — 0.1% | ||||||||||
Foreign Government Obligations | ||||||||||
6,690,000 | Ethiopia International Bond, Reg S, 6.63%, due 12/11/24 | 6,756,900 | ||||||||
|
| |||||||||
Gabon — 0.5% | ||||||||||
Foreign Government Obligations | ||||||||||
5,879,378 | Gabonese Republic, Reg S, 6.38%, due 12/12/24 | 5,815,072 | ||||||||
15,800,000 | Gabonese Republic, 144A, 6.63%, due 02/06/31 | 15,202,563 | ||||||||
|
| |||||||||
Total Gabon | 21,017,635 | |||||||||
|
| |||||||||
Ghana — 1.3% | ||||||||||
Foreign Government Agency — 0.3% | ||||||||||
12,711,626 | Saderea, Ltd., Reg S, 12.50%, due 11/30/26 | 12,711,626 | ||||||||
|
| |||||||||
Foreign Government Obligations — 1.0% | ||||||||||
17,482,000 | Republic of Ghana, Reg S, 10.75%, due 10/14/30 | 21,459,155 | ||||||||
12,600,000 | Republic of Ghana, Reg S, 8.95%, due 03/26/51 | 11,698,312 | ||||||||
14,300,000 | Republic of Ghana, 144A, 8.75%, due 03/11/61 | 13,013,000 | ||||||||
|
| |||||||||
46,170,467 | ||||||||||
|
| |||||||||
Total Ghana | 58,882,093 | |||||||||
|
| |||||||||
Grenada — 0.2% | ||||||||||
Foreign Government Obligations | ||||||||||
11,501,250 | Grenada Government International Bond, Reg S, 7.00%, due 05/12/30 | 8,050,875 | ||||||||
|
| |||||||||
Guatemala — 0.8% | ||||||||||
Foreign Government Obligations | ||||||||||
11,765,000 | Republic of Guatemala, Reg S, 8.13%, due 10/06/34 | 16,357,026 | ||||||||
14,700,000 | Republic of Guatemala, 144A, 6.13%, due 06/01/50 | 18,232,594 | ||||||||
|
| |||||||||
Total Guatemala | 34,589,620 | |||||||||
|
| |||||||||
Honduras — 0.2% | ||||||||||
Foreign Government Obligations | ||||||||||
3,500,000 | Honduras Government International Bond, Reg S, 6.25%, due 01/19/27 | 3,857,656 | ||||||||
6,500,000 | Honduras Government International Bond, 144A, 5.63%, due 06/24/30 | 7,107,344 | ||||||||
|
| |||||||||
Total Honduras | 10,965,000 | |||||||||
|
|
6 | 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, 2020 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
India — 1.2% | ||||||||||
Corporate Debt — 1.0% | ||||||||||
27,700,000 | Delhi International Airport Ltd., 144A, 6.45%, due 06/04/29 | 27,665,375 | ||||||||
18,140,000 | GMR Hyderabad International Airport Ltd, Reg S, 4.25%, due 10/27/27 | 16,065,237 | ||||||||
|
| |||||||||
43,730,612 | ||||||||||
|
| |||||||||
Foreign Government Agency — 0.2% | ||||||||||
1,500,000 | Export-Import Bank of India, 144A, 3.25%, due 01/15/30 | 1,530,469 | ||||||||
7,500,000 | Indian Railway Finance Corp., Ltd., 144A, 3.25%, due 02/13/30 | 7,619,531 | ||||||||
|
| |||||||||
9,150,000 | ||||||||||
|
| |||||||||
Total India | 52,880,612 | |||||||||
|
| |||||||||
Indonesia — 5.3% | ||||||||||
Foreign Government Agency — 3.4% | ||||||||||
14,700,000 | Hutama Karya Persero PT, 144A, 3.75%, due 05/11/30 | 16,055,156 | ||||||||
3,700,000 | Indonesia Asahan Aluminium Persero PT, 144A, 5.45%, due 05/15/30 | 4,347,500 | ||||||||
15,000,000 | Indonesia Asahan Aluminium Persero PT, 144A, 5.80%, due 05/15/50 | 18,262,500 | ||||||||
18,400,000 | Pertamina Persero PT, Reg S, 6.50%, due 05/27/41 | 23,943,000 | ||||||||
8,100,000 | Pertamina Persero PT, Reg S, 5.63%, due 05/20/43 | 9,785,813 | ||||||||
9,900,000 | Pertamina Persero PT, 144A, 4.15%, due 02/25/60 | 9,912,375 | ||||||||
8,000,000 | Perusahaan Listrik Negara PT, Reg S, 6.15%, due 05/21/48 | 10,475,000 | ||||||||
14,200,000 | Perusahaan Listrik Negara PT, Reg S, 6.25%, due 01/25/49 | 18,721,813 | ||||||||
5,300,000 | Perusahaan Penerbit SBSN Indonesia III, 144A, 3.80%, due 06/23/50 | 5,709,094 | ||||||||
36,900,000 | Saka Energi Indonesia PT, Reg S, 4.45%, due 05/05/24 | 34,432,312 | ||||||||
|
| |||||||||
151,644,563 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 1.9% | ||||||||||
43,091,000 | Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37 | 61,552,800 | ||||||||
7,900,000 | Indonesia Government International Bond, Reg S, 5.25%, due 01/08/47 | 10,482,313 | ||||||||
9,500,000 | Indonesia Government International Bond, 4.35%, due 01/11/48 | 11,266,406 | ||||||||
|
| |||||||||
83,301,519 | ||||||||||
|
| |||||||||
Total Indonesia | 234,946,082 | |||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
Israel — 0.5% | ||||||||||
Foreign Government Agency — 0.4% | ||||||||||
12,323,000 | Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96 | 17,775,927 | ||||||||
|
| |||||||||
Foreign Government Obligations — 0.1% | ||||||||||
| 3,500,000 | | Israel Government International Bond, 3.88%, due 07/03/50 | 4,178,125 | ||||||
|
| |||||||||
Total Israel | 21,954,052 | |||||||||
|
| |||||||||
Ivory Coast — 0.8% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 33,200,000 | Ivory Coast Government International Bond, Reg S, 6.63%, due 03/22/48 | 36,005,952 | |||||||
|
| |||||||||
Jamaica — 1.0% | ||||||||||
Corporate Debt — 0.1% | ||||||||||
6,251,000 | TransJamaican Highway Ltd, 144A, 5.75%, due 10/10/36 | 6,209,978 | ||||||||
|
| |||||||||
Foreign Government Agency — 0.3% | ||||||||||
11,400,000 | National Road Operating & Construction Co., Ltd., Reg S, 9.38%, due 11/10/24 (c) | 12,255,000 | ||||||||
|
| |||||||||
Foreign Government Obligations — 0.6% | ||||||||||
19,175,000 | Jamaica Government International Bond, 7.88%, due 07/28/45 | 25,167,187 | ||||||||
|
| |||||||||
Total Jamaica | 43,632,165 | |||||||||
|
| |||||||||
Jordan — 1.5% | ||||||||||
Foreign Government Obligations | ||||||||||
20,400,000 | Jordan Government International Bond, 144A, 5.85%, due 07/07/30 | 20,604,000 | ||||||||
43,050,000 | Jordan Government International Bond, Reg S, 7.38%, due 10/10/47 | 44,879,625 | ||||||||
|
| |||||||||
Total Jordan | 65,483,625 | |||||||||
|
| |||||||||
Kazakhstan — 0.9% | ||||||||||
Foreign Government Agency | ||||||||||
19,900,000 | KazMunayGas National Co JSC, Reg S, 6.38%, due 10/24/48 | 26,815,250 | ||||||||
9,000,000 | Kazakhstan Temir Zholy Finance BV, Reg S, 6.95%, due 07/10/42 | 12,532,500 | ||||||||
|
| |||||||||
Total Kazakhstan | 39,347,750 | |||||||||
|
| |||||||||
Kenya — 0.8% | ||||||||||
Foreign Government Obligations | ||||||||||
36,400,000 | Kenya Government International Bond, Reg S, 8.25%, due 02/28/48 | 36,673,000 | ||||||||
|
|
See accompanying notes to the financial statements. | 7 |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Kuwait — 0.4% | ||||||||||
Corporate Debt | ||||||||||
7,300,000 | Equate Petrochemical BV, Reg S, 4.25%, due 11/03/26 | 7,824,688 | ||||||||
9,200,000 | MEGlobal Canada ULC, 144A, 5.88%, due 05/18/30 | 11,063,000 | ||||||||
|
| |||||||||
Total Kuwait | 18,887,688 | |||||||||
|
| |||||||||
Lebanon — 0.4% | ||||||||||
Foreign Government Obligations | ||||||||||
15,000,000 | Lebanon Government International Bond, Reg S, 6.85%, due 03/23/27 (d) | 2,325,000 | ||||||||
41,605,000 | Lebanon Government International Bond, Reg S, 7.15%, due 11/20/31 (d) | 6,032,725 | ||||||||
18,800,000 | Lebanon Government International Bond, 8.20%, due 05/17/33 (d) | 2,726,000 | ||||||||
42,944,000 | Lebanon Government International Bond, 8.25%, due 05/17/34 (d) | 6,226,880 | ||||||||
|
| |||||||||
Total Lebanon | 17,310,605 | |||||||||
|
| |||||||||
Malaysia — 0.6% | ||||||||||
Foreign Government Agency | ||||||||||
10,700,000 | 1MDB Global Investments Ltd, Reg S, 4.40%, due 03/09/23 | 10,740,125 | ||||||||
11,700,000 | Petronas Capital Ltd., 144A, 4.80%, due 04/21/60 | 16,818,750 | ||||||||
|
| |||||||||
Total Malaysia | 27,558,875 | |||||||||
|
| |||||||||
Mexico — 6.1% | ||||||||||
Foreign Government Agency — 3.7% | ||||||||||
27,884,000 | Petroleos Mexicanos, 6.35%, due 02/12/48 | 22,489,003 | ||||||||
6,400,000 | Petroleos Mexicanos, Reg S, 6.63%, due 09/29/49 | 4,997,360 | ||||||||
131,800,000 | Petroleos Mexicanos, 144A, 7.69%, due 01/23/50 | 117,528,538 | ||||||||
22,986,000 | Petroleos Mexicanos, 144A, 6.95%, due 01/28/60 | 19,104,814 | ||||||||
|
| |||||||||
164,119,715 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 2.4% | ||||||||||
10,700,000 | United Mexican States, 5.00%, due 04/27/51 | 12,337,100 | ||||||||
19,578,000 | United Mexican States, 5.75%, due 10/12/2110 | 23,903,515 | ||||||||
GBP | 50,396,000 | United Mexican States, 5.63%, due 03/19/2114 | 71,408,780 | |||||||
|
| |||||||||
107,649,395 | ||||||||||
|
| |||||||||
Total Mexico | 271,769,110 | |||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
Morocco — 0.4% | ||||||||||
Foreign Government Agency | ||||||||||
14,500,000 | Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44 | 18,532,813 | ||||||||
|
| |||||||||
Mozambique — 0.2% | ||||||||||
Foreign Government Obligations | ||||||||||
9,276,000 | Mozambique International Bond, Reg S, 5.00%, due 09/15/31 | 7,838,220 | ||||||||
|
| |||||||||
Nigeria — 0.8% | ||||||||||
Foreign Government Obligations | ||||||||||
7,400,000 | Nigeria Government International Bond, Reg S, 8.75%, due 01/21/31 | 7,961,937 | ||||||||
10,700,000 | Nigeria Government International Bond, Reg S, 7.70%, due 02/23/38 | 10,365,625 | ||||||||
10,750,000 | Nigeria Government International Bond, Reg S, 7.63%, due 11/28/47 | 10,209,141 | ||||||||
7,600,000 | Nigeria Government International Bond, Reg S, 9.25%, due 01/21/49 | 8,117,750 | ||||||||
|
| |||||||||
Total Nigeria | 36,654,453 | |||||||||
|
| |||||||||
Oman — 2.6% | ||||||||||
Foreign Government Obligations | ||||||||||
33,800,000 | Oman Government International Bond, 144A, 6.00%, due 08/01/29 | 33,124,000 | ||||||||
19,000,000 | Oman Government International Bond, Reg S, 6.50%, due 03/08/47 | 16,815,000 | ||||||||
74,900,000 | Oman Government International Bond, Reg S, 6.75%, due 01/17/48 | 66,918,469 | ||||||||
|
| |||||||||
Total Oman | 116,857,469 | |||||||||
|
| |||||||||
Pakistan — 0.9% | ||||||||||
Foreign Government Obligations | ||||||||||
39,562,000 | Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36 | 41,193,932 | ||||||||
|
| |||||||||
Panama — 1.7% | ||||||||||
Foreign Government Agency — 0.6% | ||||||||||
24,491,256 | Aeropuerto Internacional de Tocumen SA, Reg S, 6.00%, due 11/18/48 | 27,292,443 | ||||||||
|
| |||||||||
Foreign Government Obligations — 1.1% | ||||||||||
7,951,000 | Panama Government International Bond, 8.13%, due 04/28/34 | 11,312,782 | ||||||||
9,000,000 | Panama Government International Bond, 4.30%, due 04/29/53 | 11,348,438 | ||||||||
16,800,000 | Panama Government International Bond, 4.50%, due 04/01/56 | 21,840,000 | ||||||||
4,200,000 | Panama Notas del Tesoro, 144A, 3.75%, due 04/17/26 | 4,415,250 | ||||||||
|
| |||||||||
48,916,470 | ||||||||||
|
| |||||||||
Total Panama | 76,208,913 | |||||||||
|
|
8 | 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, 2020 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Papua New Guinea — 0.0% | ||||||||||
Foreign Government Obligations | ||||||||||
1,400,000 | Papua New Guinea Government International Bond, Reg S, 8.38%, due 10/04/28 | 1,400,000 | ||||||||
|
| |||||||||
Peru — 1.1% | ||||||||||
Foreign Government Agency — 1.0% | ||||||||||
9,289,451 | Peru Enhanced Pass-Through Finance Ltd., Reg S, Zero Coupon, due 06/02/25(c) | 8,912,021 | ||||||||
30,595,000 | Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47 | 37,364,144 | ||||||||
|
| |||||||||
46,276,165 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 0.1% | ||||||||||
3,700,000 | Peruvian Government International Bond, 2.78%, due 01/23/31 | 4,034,850 | ||||||||
|
| |||||||||
Total Peru | 50,311,015 | |||||||||
|
| |||||||||
Philippines — 1.7% | ||||||||||
Foreign Government Agency | ||||||||||
4,700,000 | Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97 (c) | 13,766,696 | ||||||||
42,012,000 | National Power Corp., Global Bond, 9.63%, due 05/15/28 | 62,177,760 | ||||||||
|
| |||||||||
Total Philippines | 75,944,456 | |||||||||
|
| |||||||||
Qatar — 2.6% | ||||||||||
Foreign Government Agency — 0.3% | ||||||||||
13,378,000 | QNB Finansbank AS, Reg S, 6.88%, due 09/07/24 | 13,511,780 | ||||||||
|
| |||||||||
Foreign Government Obligations — 2.3% | ||||||||||
11,000,000 | Qatar Government International Bond, Reg S, 5.10%, due 04/23/48 | 15,551,250 | ||||||||
7,300,000 | Qatar Government International Bond, 144A, 3.40%, due 04/16/25 | 7,980,269 | ||||||||
17,000,000 | Qatar Government International Bond, 144A, 3.75%, due 04/16/30 | 19,740,187 | ||||||||
45,000,000 | Qatar Government International Bond, 144A, 4.40%, due 04/16/50 | 58,387,500 | ||||||||
|
| |||||||||
101,659,206 | ||||||||||
|
| |||||||||
Total Qatar | 115,170,986 | |||||||||
|
| |||||||||
Romania — 0.7% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 10,900,000 | Romanian Government International Bond, 144A, 3.38%, due 01/28/50 | 12,800,210 | |||||||
16,100,000 | Romanian Government International Bond, 144A, 4.00%, due 02/14/51 | 16,261,000 | ||||||||
|
| |||||||||
Total Romania | 29,061,210 | |||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
Russia — 2.7% | ||||||||||
Foreign Government Agency — 0.7% | ||||||||||
6,367,000 | Gazprom OAO Via Gaz Capital SA, Reg S, 8.63%, due 04/28/34 | 9,805,180 | ||||||||
21,870,000 | GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27 | 21,952,012 | ||||||||
|
| |||||||||
31,757,192 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 2.0% | ||||||||||
34,000,000 | Russian Foreign Bond, 144A, 5.10%, due 03/28/35 | 42,330,000 | ||||||||
8,800,000 | Russian Foreign Bond, Reg S, 5.10%, due 03/28/35 | 10,956,000 | ||||||||
4,400,000 | Russian Foreign Bond, Reg S, 5.88%, due 09/16/43 | 6,204,000 | ||||||||
20,800,000 | Russian Foreign Bond, Reg S, 5.25%, due 06/23/47 | 28,340,000 | ||||||||
|
| |||||||||
87,830,000 | ||||||||||
|
| |||||||||
Total Russia | 119,587,192 | |||||||||
|
| |||||||||
Rwanda — 0.1% | ||||||||||
Foreign Government Obligations | ||||||||||
3,587,000 | Rwanda International Government Bond, Reg S, 6.63%, due 05/02/23 | 3,649,773 | ||||||||
|
| |||||||||
Saudi Arabia — 2.4% | ||||||||||
Corporate Debt — 0.7% | ||||||||||
26,550,000 | ACWA Power Management And Investments One Ltd, Reg S, 5.95%, due 12/15/39 | 29,603,250 | ||||||||
|
| |||||||||
Foreign Government Obligations — 1.7% | ||||||||||
62,300,000 | Saudi Government International Bond, 144A, 4.50%, due 04/22/60 | 77,656,950 | ||||||||
|
| |||||||||
Total Saudi Arabia | 107,260,200 | |||||||||
|
| |||||||||
Senegal — 0.4% | ||||||||||
Foreign Government Obligations | ||||||||||
17,400,000 | Senegal Government International Bond, Reg S, 6.75%, due 03/13/48 | 17,291,250 | ||||||||
|
| |||||||||
South Africa — 3.5% | ||||||||||
Foreign Government Agency — 0.7% | ||||||||||
13,600,000 | Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25 | 12,784,000 | ||||||||
13,600,000 | Eskom Holdings SOC, Ltd., Reg S, 8.45%, due 08/10/28 | 13,039,000 | ||||||||
ZAR | 163,000,000 | Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32 | 1,386,504 | |||||||
ZAR | 27,300,000 | Transnet, Ltd., 13.50%, due 04/18/28 | 1,941,152 | |||||||
|
| |||||||||
29,150,656 | ||||||||||
|
|
See accompanying notes to the financial statements. | 9 |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
South Africa — continued | ||||||||||
Foreign Government Obligations — 2.8% | ||||||||||
13,700,000 | Republic of South Africa Government International Bond, 5.65%, due 09/27/47 | 12,330,000 | ||||||||
ZAR | 453,000,000 | Republic of South Africa Government International Bond, 8.75%, due 02/28/48 | 20,754,221 | |||||||
12,600,000 | Republic of South Africa Government International Bond, 6.30%, due 06/22/48 | 12,186,563 | ||||||||
89,200,000 | Republic of South Africa Government International Bond, 5.75%, due 09/30/49 | 79,750,375 | ||||||||
|
| |||||||||
125,021,159 | ||||||||||
|
| |||||||||
Total South Africa | 154,171,815 | |||||||||
|
| |||||||||
Sri Lanka — 1.9% | ||||||||||
Foreign Government Obligations | ||||||||||
9,280,000 | Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26 | 7,902,500 | ||||||||
13,644,000 | Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27 | 11,124,124 | ||||||||
34,500,000 | Sri Lanka Government International Bond, Reg S, 6.75%, due 04/18/28 | 28,160,625 | ||||||||
8,800,000 | Sri Lanka Government International Bond, Reg S, 7.85%, due 03/14/29 | 7,284,750 | ||||||||
35,300,000 | Sri Lanka Government International Bond, 144A, 7.55%, due 03/28/30 | 28,780,531 | ||||||||
|
| |||||||||
Total Sri Lanka | 83,252,530 | |||||||||
|
| |||||||||
SupraNational — 0.3% | ||||||||||
Foreign Government Agency | ||||||||||
TRY | 263,000,000 | International Finance Corp., Zero Coupon, Reg S, due 02/15/29 | 12,678,886 | |||||||
|
| |||||||||
Suriname — 0.5% | ||||||||||
Foreign Government Obligations | ||||||||||
14,000,000 | Republic of Suriname, 144A, 12.88%, due 12/30/23 | 9,100,000 | ||||||||
19,759,000 | Republic of Suriname, Reg S, 9.25%, due 10/26/26 | 11,009,468 | ||||||||
|
| |||||||||
Total Suriname | 20,109,468 | |||||||||
|
| |||||||||
Tajikistan — 0.3% | ||||||||||
Foreign Government Obligations | ||||||||||
13,874,000 | Republic of Tajikistan International Bond, Reg S, 7.13%, due 09/14/27 | 11,831,921 | ||||||||
|
| |||||||||
Trinidad And Tobago — 0.9% | ||||||||||
Foreign Government Agency | ||||||||||
9,800,000 | Telecommunications Services of Trinidad & Tobago Ltd, 144A, 8.88%, due 10/18/29 | 9,836,750 | ||||||||
4,027,000 | Trinidad Generation UnLtd, Reg S, 5.25%, due 11/04/27 | 4,027,000 | ||||||||
13,521,000 | Trinidad Petroleum Holdings Ltd, 144A, 9.75%, due 06/15/26 | 14,653,384 |
Par Value† | Description | Value ($) | ||||||||
Trinidad And Tobago — continued | ||||||||||
Foreign Government Agency — continued | ||||||||||
10,867,000 | Trinidad Petroleum Holdings Ltd, Reg S, 9.75%, due 06/15/26 | 11,777,111 | ||||||||
|
| |||||||||
Total Trinidad And Tobago | 40,294,245 | |||||||||
|
| |||||||||
Tunisia — 1.4% | ||||||||||
Foreign Government Agency | ||||||||||
JPY | 7,340,000,000 | Banque Centrale de Tunisie SA, 4.30%, due 08/02/30(c) | 46,444,779 | |||||||
JPY | 2,500,000,000 | Banque Centrale de Tunisie SA, 4.20%, due 03/17/31(c) | 15,359,713 | |||||||
|
| |||||||||
Total Tunisia | 61,804,492 | |||||||||
|
| |||||||||
Turkey — 4.2% | ||||||||||
Corporate Debt — 0.1% | ||||||||||
1,600,000 | Turkiye Sinai Kalkinma Bankasi AS, 144A, 6.00%, due 01/23/25 | 1,486,000 | ||||||||
|
| |||||||||
Foreign Government Agency — 0.6% | ||||||||||
12,400,000 | Export Credit Bank of Turkey, Reg S, 6.13%, due 05/03/24 | 11,842,000 | ||||||||
5,000,000 | TC Ziraat Bankasi AS, Reg S, 5.13%, due 09/29/23 | 4,665,625 | ||||||||
11,200,000 | Turkiye Vakiflar Bankasi TAO, Reg S, 5.75%, due 01/30/23 | 10,650,500 | ||||||||
|
| |||||||||
27,158,125 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 3.5% | ||||||||||
14,500,000 | Republic of Turkey, 6.88%, due 03/17/36 | 13,960,781 | ||||||||
16,544,000 | Republic of Turkey, 6.75%, due 05/30/40 | 15,349,730 | ||||||||
59,402,000 | Republic of Turkey, 6.00%, due 01/14/41 | 51,141,409 | ||||||||
29,600,000 | Republic of Turkey, 6.63%, due 02/17/45 | 26,612,250 | ||||||||
60,713,000 | Republic of Turkey, 5.75%, due 05/11/47 | 49,727,742 | ||||||||
|
| |||||||||
156,791,912 | ||||||||||
|
| |||||||||
Total Turkey | 185,436,037 | |||||||||
|
| |||||||||
Ukraine — 3.0% | ||||||||||
Foreign Government Agency — 0.7% | ||||||||||
EUR | 3,800,000 | NAK Naftogaz Ukraine via Kondor Finance Plc, Reg S, 7.13%, due 07/19/24 | 4,438,368 | |||||||
15,500,000 | NAK Naftogaz Ukraine via Kondor Finance Plc, 144A, 7.63%, due 11/08/26 | 15,112,500 | ||||||||
4,094,500 | Oschadbank Via SSB #1 Plc, Reg S, Step Up, 9.63%, due 03/20/25 | 4,217,335 | ||||||||
5,100,000 | Ukreximbank Via Biz Finance Plc, Reg S, 9.75%, due 01/22/25 | 5,278,500 | ||||||||
|
| |||||||||
29,046,703 | ||||||||||
|
|
10 | 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, 2020 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Ukraine — continued | ||||||||||
Foreign Government Obligations — 2.3% | ||||||||||
8,585,000 | Ukraine Government International Bond, Reg S, 7.75%, due 09/01/24 | 9,097,417 | ||||||||
6,585,000 | Ukraine Government International Bond, Reg S, 7.75%, due 09/01/25 | 6,948,410 | ||||||||
15,019,000 | Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26 | 15,860,064 | ||||||||
3,869,000 | Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27 | 4,072,122 | ||||||||
35,900,000 | Ukraine Government International Bond, Reg S, 9.75%, due 11/01/28 | 41,051,650 | ||||||||
13,900,000 | Ukraine Government International Bond, Reg S, 7.38%, due 09/25/32 | 14,059,850 | ||||||||
11,300,000 | Ukraine Government International Bond, 144A, 7.25%, due 03/15/33 | 11,296,469 | ||||||||
|
| |||||||||
102,385,982 | ||||||||||
|
| |||||||||
Total Ukraine | 131,432,685 | |||||||||
|
| |||||||||
United Arab Emirates — 1.6% | ||||||||||
Foreign Government Agency — 1.0% | ||||||||||
10,000,000 | DP World Plc, Reg S, 6.85%, due 07/02/37 | 12,715,625 | ||||||||
14,000,000 | DP World Plc, Reg S, 4.70%, due 09/30/49 | 14,630,000 | ||||||||
15,100,000 | Finance Department Government of Sharjah, 144A, 4.00%, due 07/28/50 | 16,138,125 | ||||||||
|
| |||||||||
43,483,750 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 0.6% | ||||||||||
26,300,000 | Abu Dhabi Government International Bond, 144A, 3.13%, due 09/30/49 | 28,272,500 | ||||||||
|
| |||||||||
Total United Arab Emirates | 71,756,250 | |||||||||
|
| |||||||||
United States — 3.7% | ||||||||||
Asset-Backed Securities — 0.4% | ||||||||||
2,039,672 | Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + 0.24%, 0.40%, due 12/15/35 | 1,942,738 | ||||||||
971,272 | Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + 0.24%, 0.40%, due 12/15/35 | 947,172 | ||||||||
1,500,224 | Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. LIBOR + 0.20%, 0.36%, due 05/15/36 | 1,399,400 | ||||||||
9,325,244 | Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.15%, 0.33%, due 11/25/36 | 4,443,649 |
Par Value† | Description | Value ($) | ||||||||
United States — continued | ||||||||||
Asset-Backed Securities — continued | ||||||||||
9,449,580 | Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.22%, 0.40%, due 11/25/36 | 4,563,838 | ||||||||
4,976,863 | Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + 0.36%, 0.54%, due 04/25/37 | 2,528,733 | ||||||||
|
| |||||||||
15,825,530 | ||||||||||
|
| |||||||||
Corporate Debt — 0.0% | ||||||||||
385,402 | AMBAC Assurance Corp., 144A, 5.10%, due 12/31/99 | 528,001 | ||||||||
1,427,198 | AMBAC LSNI LLC, 3 mo. LIBOR + 5.00%, 6.00%, due 02/12/23 | 1,423,630 | ||||||||
|
| |||||||||
1,951,631 | ||||||||||
|
| |||||||||
U.S. Government — 3.3% | ||||||||||
8,000,000 | U.S. Treasury Note, 1.63%, due 12/31/21 | 8,156,562 | ||||||||
55,000,000 | U.S. Treasury Note, 1.75%, due 02/28/22 (e) | 56,319,141 | ||||||||
82,000,000 | U.S. Treasury Note, 0.13%, due 05/31/22 | 81,971,172 | ||||||||
2,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.30%, 0.41%, due 10/31/21 (e) | 2,006,467 | ||||||||
|
| |||||||||
148,453,342 | ||||||||||
|
| |||||||||
Total United States | 166,230,503 | |||||||||
|
| |||||||||
Uruguay — 1.2% | ||||||||||
Foreign Government Obligations | ||||||||||
38,218,000 | Uruguay Government International Bond, 5.10%, due 06/18/50 | 52,872,214 | ||||||||
|
| |||||||||
Uzbekistan — 0.3% | ||||||||||
Foreign Government Obligations | ||||||||||
11,700,000 | Republic of Uzbekistan Bond, Reg S, 5.38%, due 02/20/29 | 13,188,094 | ||||||||
|
| |||||||||
Venezuela — 0.7% | ||||||||||
Foreign Government Agency — 0.2% | ||||||||||
111,465,000 | Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/49 (c) (d) | 1,114,650 | ||||||||
176,000,000 | Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 (c) (d) | 4,840,000 | ||||||||
61,967,000 | Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 (c) (d) | 1,704,092 | ||||||||
|
| |||||||||
7,658,742 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 0.5% | ||||||||||
7,000,000 | Venezuela Government International Bond, 9.38%, due 01/13/34 (c) (d) | 490,000 | ||||||||
19,028,000 | Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19 (c) (d) | 1,331,960 |
See accompanying notes to the financial statements. | 11 |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Venezuela — continued | ||||||||||
Foreign Government Obligations — continued |
| |||||||||
36,600,000 | Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20 (c) (d) | 2,562,000 | ||||||||
23,750,000 | Venezuela Government International Bond, Reg S, 12.75%, due 08/23/22 (c) (d) | 1,662,500 | ||||||||
172,793,000 | Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23 (c) (d) | 12,095,510 | ||||||||
68,700,000 | Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31 (c) (d) | 4,809,000 | ||||||||
|
| |||||||||
22,950,970 | ||||||||||
|
| |||||||||
Total Venezuela | 30,609,712 | |||||||||
|
| |||||||||
Vietnam — 0.6% | ||||||||||
Foreign Government Agency — 0.5% | ||||||||||
28,058,000 | Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25 | 22,376,255 | ||||||||
|
| |||||||||
Foreign Government Obligations — 0.1% | ||||||||||
6,498,000 | Socialist Republic of Vietnam, Series 30 Yr, Variable Rate, 6 mo. LIBOR + 0.81%, 2.63%, due 03/13/28 (c) | 5,880,690 | ||||||||
|
| |||||||||
Total Vietnam | 28,256,945 | |||||||||
|
| |||||||||
Zambia — 0.4% | ||||||||||
Foreign Government Obligations | ||||||||||
3,600,000 | Zambia Government International Bond, Reg S, 5.38%, due 09/20/22 | 1,876,500 | ||||||||
27,572,000 | Zambia Government International Bond, Reg S, 8.97%, due 07/30/27 | 14,346,056 | ||||||||
|
| |||||||||
Total Zambia | 16,222,556 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $4,378,256,330) | 4,205,525,760 | |||||||||
|
| |||||||||
LOAN ASSIGNMENTS — 0.5% | ||||||||||
Chad — 0.4% | ||||||||||
8,142,416 | Glencore UK (Chad) Loan Agreement, Tranche A, Variable Rate, 3 mo. LIBOR + 2.00%, 2.24%, due 09/30/25 (c) | 5,373,995 | ||||||||
20,774,455 | Glencore UK (Chad) Loan Agreement, Tranche B, Variable Rate, 3 mo. LIBOR + 2.25%, 2.49%, due 12/31/27 (c) | 12,163,443 | ||||||||
|
| |||||||||
Total Chad | 17,537,438 | |||||||||
|
| |||||||||
Indonesia — 0.0% | ||||||||||
EUR | 197,725 | Republic of Indonesia, Indonesia Paris Club Debt, 5.10%, due 06/01/21 (a) | 230,281 | |||||||
|
|
Par Value† | Description | Value ($) | ||||||||
Kenya — 0.1% | ||||||||||
6,083,333 | Republic of Kenya Loan Agreement, 9.17%, due 04/10/25 (a) | 5,766,372 | ||||||||
|
| |||||||||
TOTAL LOAN ASSIGNMENTS (COST $24,859,111) | 23,534,091 | |||||||||
|
| |||||||||
LOAN PARTICIPATIONS — 0.9% | ||||||||||
Angola — 0.6% | ||||||||||
12,731,250 | Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.56%, due 12/13/23 (c) | 10,821,563 | ||||||||
7,283,938 | Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.56%, due 12/20/23 (c) | 6,191,347 | ||||||||
12,666,667 | Republic of Angola Loan Agreement (Participation with GE Capital EFS Financing, Inc), 7.50%, due 08/30/24 (c) | 11,653,333 | ||||||||
|
| |||||||||
Total Angola | 28,666,243 | |||||||||
|
| |||||||||
Egypt — 0.0% | ||||||||||
CHF | 14,152 | Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (a) | 12,389 | |||||||
|
| |||||||||
Iraq — 0.3% | ||||||||||
EUR | 839,462 | Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (a) | 652,840 | |||||||
JPY | 2,173,530,179 | Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c) | 9,206,724 | |||||||
JPY | 283,992,408 | Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c) | 1,203,016 | |||||||
JPY | 120,710,790 | Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c) | 509,518 | |||||||
|
| |||||||||
Total Iraq | 11,572,098 | |||||||||
|
| |||||||||
Russia — 0.0% | ||||||||||
EUR | 76,893,500 | Russian Foreign Trade Obligations (Participation with GML International Ltd.) (c) (d) | 3 | |||||||
|
| |||||||||
TOTAL LOAN PARTICIPATIONS (COST $65,356,303) | 40,250,733 | |||||||||
|
|
12 | See accompanying notes to the financial statements. |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares / Par Value† | Description | Value ($) | ||||||||
MUTUAL FUNDS — 1.7% | ||||||||||
United States — 1.7% | ||||||||||
Affiliated Issuers — 1.7% | ||||||||||
14,838,144 | GMO U.S. Treasury Fund | 74,784,247 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $74,296,430) | 74,784,247 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.3% | ||||||||||
Argentina — 0.0% | ||||||||||
EUR | 335,089,675 | Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (f) | 599,819 | |||||||
JPY | 740,189,000 | Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (c) (f) | 35,117 | |||||||
|
| |||||||||
Total Argentina | 634,936 | |||||||||
|
| |||||||||
Nigeria — 0.0% | ||||||||||
28,000 | Central Bank of Nigeria Oil Warrants, Reg S, Variable Rate, Expires 11/15/20 (c) (f) | 84,000 | ||||||||
|
| |||||||||
Ukraine — 0.3% | ||||||||||
14,446,000 | Government of Ukraine GDP Linked, Reg S, Variable Rate, Expires 05/31/40 (f) | 13,746,272 | ||||||||
|
| |||||||||
Uruguay — 0.0% | ||||||||||
4,000,000 | Banco Central Del Uruguay Value Recovery Rights, Variable Rate, Expires 01/02/21 (a) (f) | — | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $49,622,469) | 14,465,208 | |||||||||
|
|
Shares / Par Value† | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 0.3% | ||||||||||
Money Market Funds — 0.2% | ||||||||||
9,630,738 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (g) | 9,630,738 | ||||||||
|
| |||||||||
U.S. Government — 0.1% | ||||||||||
1,500,000 | U.S. Treasury Bill, 0.09%, due 01/31/21 (e) (h) | 1,507,442 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $11,128,874) | 11,138,180 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 98.2% (Cost $4,603,519,517) | 4,369,698,219 | |||||||||
Other Assets and Liabilities (net) — 1.8% | 80,685,079 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $4,450,383,298 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2020 is as follows:
Forward Currency Contracts
Settlement | Counter party | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||||
10/19/2020 | MSCI | EUR | 92,161,600 | USD | 105,660,417 | (4,434,200 | ) | |||||||||||||||
10/19/2020 | BCLY | GBP | 49,311,000 | USD | 62,307,407 | (3,628,195 | ) | |||||||||||||||
09/17/2020 | JPM | TRY | 84,000,000 | USD | 11,214,953 | (177,246 | ) | |||||||||||||||
10/19/2020 | DB | USD | 71,988,781 | JPY | 7,690,000,000 | 660,940 | ||||||||||||||||
|
| |||||||||||||||||||||
$ | (7,578,701 | ) | ||||||||||||||||||||
|
|
Reverse Repurchase Agreements
Average balance outstanding | $ | (10,300,000 | ) | |
Average interest rate (net) | (0.10 | )% | ||
Maximum balance outstanding | $ | (10,300,000 | ) |
Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements. Average interest rate was calculated based on interest received and/or paid during the period that the Fund had entered into the reverse repurchase agreements. The Fund had no reverse repurchase agreements at the end of the period.
See accompanying notes to the financial statements. | 13 |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
Credit Linked Options
Principal / Notional Amount | Expiration Date | Description | Premiums Paid/ (Received) ($) | Value ($) | ||||||||||||||
Put Sold | USD | 45,000,000 | 01/20/2021 | Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB)(a) | (701,250 | ) | 57,489 | |||||||||||
Put Sold | USD | 46,000,000 | 04/13/2021 | Lebanon Gap Credit Linked Put Option, Fund receives premium of 0.50% (OTC) (CP-DB)(a) | (947,472 | ) | (318,442 | ) | ||||||||||
Put Sold | USD | 9,746,000 | 01/24/2024 | Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB)(a) | (63,322 | ) | 86,477 | |||||||||||
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)(a) | (1,016,805 | ) | 181,750 | |||||||||||
Put Sold | USD | 100,000,000 | 04/15/2024 | Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.44% (OTC) (CP-DB)(a) | (3,490,667 | ) | (272,024 | ) | ||||||||||
|
|
|
| |||||||||||||||
$ | (6,219,516 | ) | $ | (264,750 | ) | |||||||||||||
|
|
|
|
Swap Contracts
Centrally Cleared Credit Default Swaps
Reference Entity | Notional | Annual Premium | Implied Credit Spread (1) | Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||||||||||||
Buy Protection^: | ||||||||||||||||||||||||||||||||||||||
CDX-EMS.31.V1-5Y | USD | 140,060,000 | 1.00% | 1.50% | N/A | 06/20/2024 | Quarterly | $ | 4,376,875 | $ | 2,588,869 | $ | (1,788,006 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
OTC Credit Default Swaps
Reference Entity | Counter- | Notional | 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^: | ||||||||||||||||||||||||||||||||||||||||
Commonwealth of Bahamas | DB | EUR | 51,746,000 | 1.00% | 6.52% | N/A | 12/20/2020 | Quarterly | 7,730,397 | 1,038,667 | (6,691,730 | ) | ||||||||||||||||||||||||||||
Republic of South Africa | CITI | USD | 22,400,000 | 1.00% | 1.97% | N/A | 06/20/2022 | Quarterly | 741,653 | 386,398 | (355,255 | ) | ||||||||||||||||||||||||||||
Republic of South Africa | GS | USD | 3,800,000 | 1.00% | 1.97% | N/A | 06/20/2022 | Quarterly | 213,052 | 65,550 | (147,502 | ) | ||||||||||||||||||||||||||||
Petrobras Global Finance BV | CITI | USD | 37,000,000 | 1.00% | 2.51% | N/A | 06/20/2024 | Quarterly | 1,923,458 | 2,014,709 | 91,251 | |||||||||||||||||||||||||||||
Commonwealth of Bahamas | DB | EUR | 44,558,436 | 1.00% | 6.11% | N/A | 06/20/2025 | Quarterly | 6,171,081 | 6,519,163 | 348,082 | |||||||||||||||||||||||||||||
Republic of South Africa | GS | USD | 38,000,000 | 1.00% | 2.90% | N/A | 06/20/2025 | Quarterly | 4,401,764 | 3,187,615 | (1,214,149 | ) | ||||||||||||||||||||||||||||
Republic of South Africa | GS | USD | 3,800,000 | 1.00% | 2.90% | N/A | 06/20/2025 | Quarterly | 548,468 | 318,761 | (229,707 | ) | ||||||||||||||||||||||||||||
Republic of Turkey | CITI | USD | 12,000,000 | 1.00% | 5.28% | N/A | 06/20/2025 | Quarterly | 1,834,197 | 2,105,351 | 271,154 | |||||||||||||||||||||||||||||
United States of Mexico | GS | USD | 20,000,000 | 1.00% | 1.78% | N/A | 06/20/2029 | Quarterly | 1,589,641 | 1,233,915 | (355,726 | ) | ||||||||||||||||||||||||||||
United States of Mexico | GS | USD | 20,000,000 | 1.00% | 1.93% | N/A | 09/20/2031 | Quarterly | 2,640,655 | 1,756,054 | (884,601 | ) | ||||||||||||||||||||||||||||
Sell Protection^: | ||||||||||||||||||||||||||||||||||||||||
Commonwealth of Bahamas | DB | USD | 61,270,000 | 1.00% | 6.52% | 61,270,000 USD | 12/20/2020 | Quarterly | (7,515,364 | ) | (1,028,319 | ) | 6,487,045 | |||||||||||||||||||||||||||
Commonwealth of Bahamas | DB | USD | 3,487,000 | 1.00% | 6.31% | 3,487,000 USD | 06/20/2023 | Quarterly | (641,463 | ) | (462,745 | ) | 178,718 | |||||||||||||||||||||||||||
Commonwealth of Bahamas | DB | USD | 6,975,000 | 1.00% | 6.31% | 6,975,000 USD | 06/20/2023 | Quarterly | (1,263,915 | ) | (925,623 | ) | 338,292 | |||||||||||||||||||||||||||
Commonwealth of Bahamas | DB | USD | 59,796,571 | 1.00% | 6.10% | 59,796,571 USD | 06/20/2025 | Quarterly | (6,983,424 | ) | (7,225,877 | ) | (242,453 | ) | ||||||||||||||||||||||||||
Republic of Malaysia | CITI | USD | 17,200,000 | 1.00% | 0.76% | 17,200,000 USD | 12/20/2028 | Quarterly | (845,599 | ) | 321,665 | 1,167,264 | ||||||||||||||||||||||||||||
Republic of Brazil | JPM | USD | 10,000,000 | 1.00% | 2.88% | 10,000,000 USD | 03/20/2030 | Quarterly | (1,418,590 | ) | (1,487,418 | ) | (68,828 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
$ | 9,126,011 | $ | 7,817,866 | $ | (1,308,145 | ) | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
14 | See accompanying notes to the financial statements. |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
^ | 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. |
(1) | As of August 31, 2020, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract. |
OTC Cross-Currency Interest Rate Swaps
Fund Pays | Fund Receives | Counterparty | Notional Amount | Expiration | 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 | $ | — | $ | (3,288,928 | ) | $ | (3,288,928 | ) | ||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared Interest Rate Swaps
Fund Pays | Fund Receives | Notional | Expiration Date | Periodic | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||
0.53% | 6 Month EURIBOR | EUR | 30,000,000 | 01/24/2050 | Semi-Annual | (29,167 | ) | (4,379,500 | ) | (4,350,333 | ) | |||||||||||||||
0.18% | GBP — SONIA-COMPOUND | GBP | 6,410,000 | 04/22/2050 | Annually | 7,914 | 548,047 | 540,133 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | (21,253 | ) | $ | (3,831,453 | ) | $ | (3,810,200 | ) | ||||||||||||||||||
|
|
|
|
|
|
As of August 31, 2020, 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) | 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 is backed by U.S. Treasury Bonds. |
(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 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). |
(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, 2020. |
(h) | 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 39.
See accompanying notes to the financial statements. | 15 |
GMO High Yield Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2020 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Investment Funds | 45.7 | % | ||
Debt Obligations | 33.1 | |||
Short-Term Investments | 19.1 | |||
Swap Contracts | 1.0 | |||
Futures Contracts | 0.0 | ^ | ||
Forward Currency Contracts | (0.1 | ) | ||
Other | 1.2 | |||
|
| |||
100.0 | % | |||
|
| |||
Industry Group Summary¤ | % of Investments | |||
Consumer Cyclical | 24.6 | % | ||
Communications | 14.8 | |||
Consumer Non-Cyclical | 13.3 | |||
Energy | 11.5 | |||
Basic Industry | 6.3 | |||
Finance Companies | 6.2 | |||
Technology | 6.2 | |||
Capital Goods | 4.5 | |||
Transportation | 3.7 | |||
Electric | 1.5 | |||
Industrial Other | 1.5 | |||
REITS | 1.4 | |||
Banking | 0.9 | |||
Insurance | 0.8 | |||
|
| |||
97.2 | % | |||
|
|
& | In the table above, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). |
¤ | The table excludes short-term investments and mutual funds, if any. The table includes exposure through the use of certain derivative financial instruments and excludes exposures through certain currency linked derivatives such as forward currency contracts. The table takes in account the market values of securities and the notional amounts of swaps. The table is not normalized, thus the table may not total to 100%. |
^ | Rounds to 0.0%. |
16
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 33.1% | ||||||||||
Corporate Debt — 33.0% | ||||||||||
Australia — 0.1% | ||||||||||
180,000 | Adani Abbot Point Terminal Pty Ltd., 144A, 4.45%, due 12/15/22 | 167,936 | ||||||||
|
| |||||||||
Canada — 2.5% | ||||||||||
625,000 | Cenovus Energy, Inc., 5.38%, due 07/15/25 | 635,965 | ||||||||
1,000,000 | Cenovus Energy, Inc., 5.25%, due 06/15/37 | 909,347 | ||||||||
1,125,000 | Methanex Corp., 5.25%, due 12/15/29 | 1,134,804 | ||||||||
125,000 | Mountain Province Diamonds, Inc., 144A, 8.00%, due 12/15/22 | 91,250 | ||||||||
500,000 | Quebecor Media, Inc., 5.75%, due 01/15/23 | 536,250 | ||||||||
375,000 | Taseko Mines Ltd., 144A, 8.75%, due 06/15/22 | 345,000 | ||||||||
500,000 | Tervita Corp., 144A, 7.63%, due 12/01/21 | 420,000 | ||||||||
|
| |||||||||
Total Canada | 4,072,616 | |||||||||
|
| |||||||||
Germany — 0.6% | ||||||||||
1,000,000 | ZF North America Capital, Inc., 144A, 4.75%, due 04/29/25 | 1,056,375 | ||||||||
|
| |||||||||
Luxembourg — 1.0% | ||||||||||
500,000 | ArcelorMittal SA, 3.60%, due 07/16/24 | 526,125 | ||||||||
875,000 | ArcelorMittal SA, 7.25%, due 10/15/39 | 1,124,375 | ||||||||
|
| |||||||||
Total Luxembourg | 1,650,500 | |||||||||
|
| |||||||||
Netherlands — 0.3% | ||||||||||
500,000 | OCI NV, 144A, 5.25%, due 11/01/24 | 513,750 | ||||||||
|
| |||||||||
New Zealand — 0.4% | ||||||||||
750,000 | Trilogy International Partners LLC / Trilogy International Finance, Inc., 144A, 8.88%, due 05/01/22 | 690,000 | ||||||||
|
| |||||||||
United Kingdom — 1.6% | ||||||||||
500,000 | Avon Products, Inc., 7.00%, due 03/15/23 | 522,500 | ||||||||
44,000 | Global Ship Lease, Inc., 144A, 9.88%, due 11/15/22 | 43,065 | ||||||||
190,000 | Jaguar Land Rover Automotive Plc, 144A, 5.63%, due 02/01/23 | 183,350 | ||||||||
1,125,000 | Rolls-Royce Plc, 144A, 3.63%, due 10/14/25 | 1,088,488 | ||||||||
750,000 | Virgin Media Secured Finance Plc, 144A, 4.50%, due 08/15/30 | 789,562 | ||||||||
|
| |||||||||
Total United Kingdom | 2,626,965 | |||||||||
|
| |||||||||
United States — 26.5% | ||||||||||
125,000 | Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 144A, 3.50%, due 02/15/23 | 127,813 | ||||||||
375,000 | Ally Financial, Inc., 5.75%, due 11/20/25 | 420,949 | ||||||||
1,000,000 | Antero Resources Corp., 5.13%, due 12/01/22 | 868,750 |
Par Value† | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
United States — continued | ||||||||||
1,125,000 | Apache Corp., 5.35%, due 07/01/49 | 1,085,051 | ||||||||
750,000 | Ascent Resources Utica Holdings LLC / ARU Finance Corp., 144A, 10.00%, due 04/01/22 | 701,250 | ||||||||
500,000 | Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 144A, 10.50%, due 05/15/25 | 579,610 | ||||||||
375,000 | Buckeye Partners LP, 4.35%, due 10/15/24 | 373,125 | ||||||||
625,000 | Carnival Corp., 144A, 11.50%, due 04/01/23 | 697,212 | ||||||||
625,000 | CDW LLC / CDW Finance Corp., 4.13%, due 05/01/25 | 651,703 | ||||||||
875,000 | CenturyLink, Inc., 144A, 4.00%, due 02/15/27 | 889,114 | ||||||||
625,000 | CHS/Community Health Systems, Inc., 6.25%, due 03/31/23 | 626,562 | ||||||||
875,000 | Cinemark USA, Inc., 5.13%, due 12/15/22 | 820,312 | ||||||||
375,000 | Cleaver-Brooks, Inc., 144A, 7.88%, due 03/01/23 | 366,563 | ||||||||
1,375,000 | Continental Resources, Inc., 3.80%, due 06/01/24 | 1,355,695 | ||||||||
366,000 | Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 6.25%, due 04/01/23 | 360,433 | ||||||||
875,000 | CSC Holdings LLC, 6.75%, due 11/15/21 | 918,750 | ||||||||
250,000 | CSC Holdings LLC, 5.88%, due 09/15/22 | 265,000 | ||||||||
1,125,000 | Delta Air Lines, Inc., 4.38%, due 04/19/28 | 1,050,418 | ||||||||
625,000 | DISH DBS Corp., 5.88%, due 07/15/22 | 659,687 | ||||||||
125,000 | Downstream Development Authority of the Quapaw Tribe of Oklahoma, 144A, 10.50%, due 02/15/23 | 113,750 | ||||||||
1,375,000 | EQM Midstream Partners LP, 4.75%, due 07/15/23 | 1,401,139 | ||||||||
875,000 | Fluor Corp., 3.50%, due 12/15/24 | 683,357 | ||||||||
1,250,000 | Ford Motor Credit Co. LLC, 4.13%, due 08/04/25 | 1,256,475 | ||||||||
980,000 | Ford Motor Credit Co. LLC, 4.39%, due 01/08/26 | 996,974 | ||||||||
2,627,000 | Ford Motor Credit Co. LLC, 3.82%, due 11/02/27 | 2,567,892 | ||||||||
375,000 | Genworth Holdings, Inc., 7.20%, due 02/15/21 | 379,688 | ||||||||
182,000 | HC2 Holdings, Inc., 144A, 11.50%, due 12/01/21 | 169,715 | ||||||||
250,000 | Hillman Group, Inc. (The), 144A, 6.38%, due 07/15/22 | 245,000 | ||||||||
375,000 | Iron Mountain, Inc., 144A, REIT, 5.63%, due 07/15/32 | 403,125 | ||||||||
500,000 | KB Home, 4.80%, due 11/15/29 | 541,250 | ||||||||
470,000 | Kraft Heinz Foods Co., 3.95%, due 07/15/25 | 511,197 | ||||||||
625,000 | Kraft Heinz Foods Co., 144A, 3.88%, due 05/15/27 | 668,298 | ||||||||
500,000 | Kraft Heinz Foods Co., 6.75%, due 03/15/32 | 662,202 |
See accompanying notes to the financial statements. | 17 |
GMO High Yield Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
United States — continued | ||||||||||
696,000 | Macy’s Retail Holdings LLC, 3.88%, due 01/15/22 | 636,840 | ||||||||
898,000 | Macy’s Retail Holdings LLC, 2.88%, due 02/15/23 | 743,095 | ||||||||
1,039,000 | Michael Kors USA, Inc., 144A, 4.25%, due 11/01/24 | 985,834 | ||||||||
375,000 | Netflix, Inc., 4.38%, due 11/15/26 | 417,266 | ||||||||
625,000 | Newell Brands, Inc., 4.70%, due 04/01/26 | 676,606 | ||||||||
500,000 | Occidental Petroleum Corp., 2.90%, due 08/15/24 | 460,000 | ||||||||
500,000 | Occidental Petroleum Corp., 4.30%, due 08/15/39 | 385,000 | ||||||||
2,375,000 | Occidental Petroleum Corp., 4.40%, due 08/15/49 | 1,828,750 | ||||||||
375,000 | OneMain Finance Corp., 6.63%, due 01/15/28 | 428,066 | ||||||||
250,000 | OneMain Finance Corp., 7.75%, due 10/01/21 | 261,875 | ||||||||
375,000 | Prime Security Services Borrower LLC / Prime Finance, Inc., 144A, 5.75%, due 04/15/26 | 414,375 | ||||||||
1,125,000 | QVC, Inc., 5.45%, due 08/15/34 | 1,119,375 | ||||||||
625,000 | RHP Hotel Properties LP / RHP Finance Corp., REIT, 5.00%, due 04/15/23 | 614,456 | ||||||||
375,000 | Rockies Express Pipeline LLC, 144A, 3.60%, due 05/15/25 | 368,265 | ||||||||
525,000 | RR Donnelley & Sons Co., 8.25%, due 07/01/27 | 521,062 | ||||||||
625,000 | Sealed Air Corp., 144A, 5.25%, due 04/01/23 | 668,875 | ||||||||
500,000 | Service Corp. International, 5.13%, due 06/01/29 | 553,935 | ||||||||
500,000 | Service Properties Trust, REIT, 4.50%, due 03/15/25 | 467,500 | ||||||||
1,125,000 | Service Properties Trust, REIT, 4.38%, due 02/15/30 | 973,125 | ||||||||
625,000 | Southwestern Energy Co., 6.45%, due 01/23/25 | 627,837 | ||||||||
1,000,000 | Spirit AeroSystems, Inc., 3.85%, due 06/15/26 | 937,500 | ||||||||
625,000 | Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.00%, due 01/15/28 | 638,925 | ||||||||
875,000 | Tenet Healthcare Corp., 8.13%, due 04/01/22 | 944,562 | ||||||||
375,000 | Toll Brothers Finance Corp., 5.88%, due 02/15/22 | 390,938 | ||||||||
250,000 | Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, 144A, REIT, 6.00%, due 04/15/23 | 252,563 | ||||||||
625,000 | Urban One, Inc., 144A, 7.38%, due 04/15/22 | 562,500 | ||||||||
250,000 | Vericast Corp., 144A, 8.38%, due 08/15/22 | 205,345 |
Par Value† / Shares | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
United States — continued | ||||||||||
375,000 | Veritas US, Inc. / Veritas Bermuda Ltd., 144A, 7.50%, due 02/01/23 | 375,469 | ||||||||
625,000 | Vistra Operations Co. LLC, 144A, 5.50%, due 09/01/26 | 656,250 | ||||||||
375,000 | Weekley Homes LLC / Weekley Finance Corp., 6.00%, due 02/01/23 | 374,063 | ||||||||
375,000 | Western Midstream Operating LP, 4.00%, due 07/01/22 | 381,563 | ||||||||
500,000 | Western Midstream Operating LP, 5.05%, due 02/01/30 | 512,600 | ||||||||
1,125,000 | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 144A, 4.25%, due 05/30/23 | 1,103,929 | ||||||||
|
| |||||||||
Total United States | 43,906,403 | |||||||||
|
| |||||||||
Total Corporate Debt | 54,684,545 | |||||||||
|
| |||||||||
U.S. Government — 0.1% | ||||||||||
150,000 | U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.26%, due 01/31/22 (a) | 150,249 | ||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $53,113,717) | 54,834,794 | |||||||||
|
| |||||||||
INVESTMENT FUNDS — 45.7% |
| |||||||||
United States — 45.7% | ||||||||||
USD | 889,667 | iShares iBoxx $ High Yield Corporate Bond ETF | 75,648,385 | |||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $73,114,490) | 75,648,385 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 19.1% |
| |||||||||
Foreign Government Obligations — 8.5% | ||||||||||
JPY | 1,500,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 10/05/20 | 14,163,427 | |||||||
|
| |||||||||
Money Market Funds — 0.9% | ||||||||||
1,466,462 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (b) | 1,466,462 | ||||||||
|
| |||||||||
U.S. Government — 9.7% | ||||||||||
5,000,000 | U.S. Treasury Bill, 0.12%, due 01/14/21 (a) (c) | 4,997,821 | ||||||||
11,000,000 | U.S. Treasury Bill, 0.11%, due 02/11/21 (c) | 10,994,708 | ||||||||
|
| |||||||||
Total U.S. Government | 15,992,529 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $31,428,655) | 31,622,418 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 97.9% (Cost $157,656,862) | 162,105,597 | |||||||||
Other Assets and Liabilities (net) — 2.1% | 3,561,404 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $165,667,001 | |||||||||
|
|
18 | See accompanying notes to the financial statements. |
GMO High Yield Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
A summary of outstanding financial instruments at August 31, 2020 is as follows:
Forward Currency Contracts
Settlement | Counter- | Currency | Currency | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||
10/05/2020 | DB | JPY | 1,500,000,000 | USD | 13,966,415 | $ | (202,247 | ) | ||||||||||
|
|
Futures Contracts
Number of | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | |||||||||||||
Buys | |||||||||||||||||
28 | U.S. Treasury Note 2 Yr. (CBT) | December 2020 | 6,186,469 | 3,468 | |||||||||||||
51 | U.S. Treasury Note 5 Yr. (CBT) | December 2020 | 6,427,594 | 8,666 | |||||||||||||
34 | U.S. Treasury Note 10 Yr. (CBT) | December 2020 | 4,734,500 | 11,113 | |||||||||||||
|
|
|
| ||||||||||||||
$ | 17,348,563 | $ | 23,247 | ||||||||||||||
|
|
|
|
Number of | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | |||||||||||||
Sales | |||||||||||||||||
7 | U.S. Long Bond (CBT) | December 2020 | 1,230,031 | 4,413 | |||||||||||||
49 | U.S. Treasury Note 10 Yr. (CBT) | December 2020 | 6,823,250 | (5,363 | ) | ||||||||||||
11 | U.S. Ultra Bond (CBT) | December 2020 | 2,429,969 | 12,737 | |||||||||||||
|
|
|
| ||||||||||||||
$ | 10,483,250 | $ | 11,787 | ||||||||||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
Reverse Repurchase Agreements
Average balance outstanding | $ | (743,429 | ) | |
Average interest rate (net) | (0.21 | )% | ||
Maximum balance outstanding | $ | (898,268 | ) |
Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements. Average interest rate was calculated based on interest received and/or paid during the period that the Fund had entered into the reverse repurchase agreements. The Fund had no reverse repurchase agreements at the end of the period.
Swap Contracts
Centrally Cleared Credit Default Swaps
Reference Entity | Notional Amount | Annual Premium | Implied Credit Spread (1) | Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||||||||||
Sell Protection^: | ||||||||||||||||||||||||||||||||||||
CDX.NA.HYS.34.V7-5Y | USD | 29,325,690 | 5.00 | % | 3.66 | % | 29,325,690 USD | 06/20/2025 | Quarterly | $ | 43,723 | $ | 1,676,579 | $ | 1,632,856 | |||||||||||||||||||||
|
|
|
|
|
|
^ | 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 |
See accompanying notes to the financial statements. | 19 |
GMO High Yield Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
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, 2020, 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. |
As of August 31, 2020, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
(a) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
(b) | The rate disclosed is the 7 day net yield as of August 31, 2020. |
(c) | 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 39
20 | See accompanying notes to the financial statements. |
GMO Multi-Sector Fixed Income Fund (formerly GMO Core Plus Bond Fund)
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2020 (Unaudited)
Asset Class Summary† | % of Total Net Assets | |||
Debt Obligations | 61.7 | % | ||
Short-Term Investments | 29.9 | |||
Investment Funds | 18.0 | |||
Mutual Funds | 3.4 | |||
Swap Contracts | 0.5 | |||
Loan Participations | 0.0 | ^ | ||
Futures Contracts | 0.0 | ^ | ||
Loan Assignments | 0.0 | ^ | ||
Rights/Warrants | 0.0 | ^ | ||
Purchased Options | 0.0 | ^ | ||
Written Options/Credit Linked Options | (0.0 | )^ | ||
Forward Currency Contracts | (0.2 | ) | ||
Other | (13.3 | ) | ||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary‡ | % of Investments | |||
United States | 87.0 | % | ||
Canada | 11.0 | |||
Switzerland | 9.1 | |||
Sweden | 5.7 | |||
Other Emerging | 4.8 | * | ||
Australia | 3.8 | |||
Japan | 0.1 | |||
United Kingdom | (1.5 | ) | ||
New Zealand | (3.0 | ) | ||
Euro Region | (17.0 | )§ | ||
|
| |||
100.0 | % | |||
|
|
† | The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). |
‡ | The table 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 comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
§ | “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country. |
^ | Rounds to 0.0%. |
21
GMO Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Par Value† | Value ($) | |||||||||
DEBT OBLIGATIONS — 40.3% |
| |||||||||
United States — 40.3% | ||||||||||
Asset-Backed Securities — 18.6% |
| |||||||||
1,250,000 | BAMLL Commercial Mortgage Securities Trust, Series 12-PARK, Class A, 144A, 2.96%, due 12/10/30 | 1,307,443 | ||||||||
5,100,000 | CGRBS Commercial Mortgage Trust, Series 13-VN05, Class C, 144A, Variable Rate, 3.70%, due 03/13/35 | 5,388,645 | ||||||||
31,520,000 | Commercial Mortgage Trust, Series 13-WWP, Class A2, 144A, 3.42%, due 03/10/31 | 33,355,946 | ||||||||
2,210,000 | Commercial Mortgage Trust, Series 13-WWP, Class B, 144A, 3.73%, due 03/10/31 | 2,353,556 | ||||||||
6,461,000 | Commercial Mortgage Trust, Series 13-WWP, Class C, 144A, 3.54%, due 03/10/31 | 6,854,584 | ||||||||
6,310,000 | Commercial Mortgage Trust, Series 13-WWP, Class D, 144A, 3.90%, due 03/10/31 | 6,744,124 | ||||||||
3,986,999 | Four Times Square Trust Commercial Mortgage Pass-Through Certificates, Series 06-4TS, Class A, 144A, 5.40%, due 12/13/28 | 3,991,925 | ||||||||
1,000,000 | Morgan Stanley Capital I Trust, Series 14-CPT, Class A, 144A, 3.35%, due 07/13/29 | 1,015,156 | ||||||||
490,000 | Morgan Stanley Capital I Trust, Series 14-CPT, Class B, 144A, Variable Rate, 3.56%, due 07/13/29 | 497,670 | ||||||||
250,000 | Morgan Stanley Capital I Trust, Series 14-CPT, Class E, 144A, Variable Rate, 3.56%, due 07/13/29 | 253,913 | ||||||||
300,000 | Morgan Stanley Capital I Trust, Series 14-CPT, Class F, 144A, Variable Rate, 3.56%, due 07/13/29 | 304,696 | ||||||||
375,000 | Morgan Stanley Capital I Trust, Series 14-MP, Class A, 144A, 3.47%, due 08/11/33 | 381,828 | ||||||||
100,000 | Morgan Stanley Capital I Trust, Series 14-MP, Class C, 144A, Variable Rate, 3.82%, due 08/11/33 | 102,004 | ||||||||
5,000,000 | Morgan Stanley Capital I Trust, Series 14-MP, Class E, 144A, Variable Rate, 3.82%, due 08/11/33 | 5,100,220 | ||||||||
|
| |||||||||
Total Asset-Backed Securities | 67,651,710 | |||||||||
|
| |||||||||
U.S. Government — 7.5% | ||||||||||
7,407,000 | U.S. Treasury Bond, 3.75%, due 11/15/43 | 10,928,218 | ||||||||
4,750,000 | U.S. Treasury Bond, 3.38%, due 05/15/44 (a) | 6,659,463 | ||||||||
8,170,000 | U.S. Treasury Note, 2.25%, due 08/15/49 (a) | 9,664,855 | ||||||||
|
| |||||||||
Total U.S. Government | 27,252,536 | |||||||||
|
| |||||||||
U.S. Government Agency — 14.2% | ||||||||||
10,600,000 | Federal National Mortgage Association, TBA, 2.50%, due 09/17/35 | 11,121,305 | ||||||||
10,800,000 | Federal National Mortgage Association, TBA, 3.00%, due 09/14/50 | 11,389,781 | ||||||||
15,200,000 | Federal National Mortgage Association, TBA, 3.50%, due 09/14/50 | 16,031,250 |
Par Value† / Shares | Value ($) | |||||||||
U.S. Government Agency — continued | ||||||||||
11,500,000 | Federal National Mortgage Association, TBA, 4.00%, due 09/14/50 | 12,255,586 | ||||||||
1,000,000 | Government National Mortgage Association, TBA, 3.50%, due 09/21/50 | 1,052,500 | ||||||||
|
| |||||||||
Total U.S. Government Agency | 51,850,422 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $139,984,418) | 146,754,668 | |||||||||
|
| |||||||||
INVESTMENT FUNDS — 18.0% | ||||||||||
United States — 18.0% | ||||||||||
483,362 | iShares iBoxx $ Investment Grade Corporate Bond ETF | 65,543,887 | ||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $58,541,403) | 65,543,887 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 28.5% | ||||||||||
United States — 28.5% | ||||||||||
Affiliated Issuers — 28.5% | ||||||||||
703,696 | GMO Emerging Country Debt Fund, Class IV | 18,887,198 | ||||||||
2,829,708 | GMO Opportunistic Income Fund, Class VI | 73,261,150 | ||||||||
2,257,034 | GMO U.S. Treasury Fund | 11,375,452 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $106,599,495) | 103,523,800 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 27.0% | ||||||||||
Foreign Government Obligations — 26.1% | ||||||||||
CAD | 13,400,000 | Canadian Treasury Bill, Zero Coupon, due 10/01/20 | 10,272,083 | |||||||
JPY | 1,900,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 10/26/20 | 17,941,583 | |||||||
JPY | 3,300,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 09/28/20 | 31,159,020 | |||||||
JPY | 3,750,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 09/14/20 | 35,407,027 | |||||||
|
| |||||||||
Total Foreign Government Obligations | 94,779,713 | |||||||||
|
| |||||||||
Money Market Funds — 0.9% | ||||||||||
3,165,756 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (b) | 3,165,756 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $96,713,634) | 97,945,469 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 113.8% (Cost $401,838,950) | 413,767,824 | |||||||||
Other Assets and Liabilities (net) — (13.8%) | (50,066,715 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $363,701,109 | |||||||||
|
|
22 | See accompanying notes to the financial statements. |
GMO Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
A summary of outstanding financial instruments at August 31, 2020 is as follows:
Forward Currency Contracts
Settlement | Counter- | Currency | Currency | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||
10/06/2020 | JPM | AUD | 8,410,000 | USD | 6,076,990 | (126,533 | ) | |||||||||||
10/06/2020 | MSCI | AUD | 14,096,000 | USD | 10,041,173 | (356,553 | ) | |||||||||||
09/03/2020 | JPM | CAD | 1,909,422 | USD | 1,410,000 | (53,897 | ) | |||||||||||
09/03/2020 | MSCI | CAD | 5,159,912 | USD | 3,790,000 | (165,952 | ) | |||||||||||
10/01/2020 | DB | CAD | 13,400,000 | USD | 9,995,293 | (278,968 | ) | |||||||||||
10/14/2020 | MSCI | CHF | 14,730,189 | USD | 16,150,283 | (165,395 | ) | |||||||||||
09/01/2020 | DB | CLP | 352,479,600 | USD | 451,943 | (1,413 | ) | |||||||||||
09/01/2020 | JPM | CLP | 2,896,938,400 | USD | 3,598,575 | (127,439 | ) | |||||||||||
09/01/2020 | MSCI | CLP | 1,267,259,000 | USD | 1,611,442 | (18,493 | ) | |||||||||||
11/02/2020 | JPM | CLP | 205,784,900 | USD | 262,950 | (1,813 | ) | |||||||||||
11/03/2020 | JPM | COP | 9,359,361,500 | USD | 2,490,616 | (1,227 | ) | |||||||||||
09/03/2020 | MSCI | EUR | 2,150,000 | USD | 2,434,536 | (131,220 | ) | |||||||||||
10/14/2020 | JPM | GBP | 4,679,000 | USD | 6,127,834 | (128,513 | ) | |||||||||||
10/14/2020 | BOA | HUF | 112,678,930 | USD | 380,000 | 1,903 | ||||||||||||
10/14/2020 | MSCI | HUF | 580,996,591 | USD | 1,853,377 | (96,170 | ) | |||||||||||
10/26/2020 | BCLY | INR | 70,412,348 | USD | 934,371 | (20,641 | ) | |||||||||||
09/09/2020 | DB | JPY | 235,801,280 | USD | 2,200,000 | (26,479 | ) | |||||||||||
09/09/2020 | JPM | JPY | 270,619,401 | USD | 2,530,000 | (25,238 | ) | |||||||||||
09/09/2020 | MSCI | JPY | 238,179,914 | USD | 2,260,000 | 11,061 | ||||||||||||
09/14/2020 | DB | JPY | 3,750,000,000 | USD | 34,974,459 | (436,391 | ) | |||||||||||
09/28/2020 | MSCI | JPY | 3,300,000,000 | USD | 30,746,978 | (421,127 | ) | |||||||||||
10/26/2020 | DB | JPY | 1,900,000,000 | USD | 17,903,584 | (47,729 | ) | |||||||||||
09/29/2020 | BCLY | KRW | 1,148,077,700 | USD | 960,000 | (6,710 | ) | |||||||||||
09/29/2020 | CITI | KRW | 442,871,500 | USD | 370,000 | (2,909 | ) | |||||||||||
09/29/2020 | JPM | KRW | 524,955,200 | USD | 440,000 | (2,025 | ) | |||||||||||
09/29/2020 | MSCI | KRW | 1,703,854,260 | USD | 1,430,000 | (4,687 | ) | |||||||||||
09/04/2020 | JPM | NOK | 53,707,670 | USD | 5,948,124 | (200,054 | ) | |||||||||||
10/20/2020 | JPM | NOK | 12,773,819 | USD | 1,450,000 | (12,677 | ) | |||||||||||
10/05/2020 | JPM | NZD | 5,340,000 | USD | 3,531,672 | (65,176 | ) | |||||||||||
11/03/2020 | MSCI | PEN | 1,900,395 | USD | 540,822 | 4,659 | ||||||||||||
09/01/2020 | BCLY | PHP | 14,007,560 | USD | 280,000 | (8,905 | ) | |||||||||||
09/01/2020 | CITI | PHP | 9,063,900 | USD | 180,000 | (6,942 | ) | |||||||||||
09/01/2020 | JPM | PHP | 18,817,830 | USD | 370,000 | (18,117 | ) | |||||||||||
09/01/2020 | MSCI | PHP | 41,889,290 | USD | 863,750 | (213 | ) | |||||||||||
10/01/2020 | MSCI | PHP | 27,306,500 | USD | 561,250 | (1,307 | ) | |||||||||||
09/15/2020 | JPM | PLN | 9,686,455 | USD | 2,462,522 | (167,797 | ) | |||||||||||
10/15/2020 | BCLY | RUB | 176,898,180 | USD | 2,465,490 | 93,979 | ||||||||||||
10/05/2020 | BCLY | SEK | 9,589,067 | USD | 1,100,000 | (9,020 | ) | |||||||||||
10/19/2020 | BCLY | SGD | 450,145 | USD | 330,000 | (866 | ) | |||||||||||
10/19/2020 | MSCI | SGD | 451,328 | USD | 330,000 | (1,735 | ) | |||||||||||
10/15/2020 | BCLY | THB | 44,278,143 | USD | 1,400,000 | (22,481 | ) | |||||||||||
10/15/2020 | BOA | THB | 10,403,217 | USD | 330,000 | (4,214 | ) | |||||||||||
09/17/2020 | JPM | TRY | 5,115,427 | USD | 682,968 | (10,794 | ) | |||||||||||
10/06/2020 | BCLY | TWD | 18,947,800 | USD | 650,000 | 3,633 | ||||||||||||
10/06/2020 | JPM | TWD | 11,382,540 | USD | 390,000 | 1,707 | ||||||||||||
11/04/2020 | MSCI | USD | 1,512,412 | BRL | 7,772,435 | (96,397 | ) | |||||||||||
09/03/2020 | GS | USD | 1,140,000 | CAD | 1,523,448 | 27,983 | ||||||||||||
09/03/2020 | JPM | USD | 13,370,000 | CAD | 17,894,606 | 349,266 | ||||||||||||
09/03/2020 | MSCI | USD | 6,197,657 | CAD | 8,461,833 | 289,780 | ||||||||||||
10/14/2020 | JPM | USD | 1,670,000 | CHF | 1,515,017 | 8,086 | ||||||||||||
09/01/2020 | DB | USD | 460,000 | CLP | 352,479,600 | (6,644 | ) | |||||||||||
09/01/2020 | JPM | USD | 3,705,003 | CLP | 2,896,938,400 | 21,011 | ||||||||||||
09/01/2020 | MSCI | USD | 1,633,416 | CLP | 1,267,259,000 | (3,480 | ) | |||||||||||
10/19/2020 | BOA | USD | 620,000 | CZK | 13,660,158 | 750 | ||||||||||||
09/03/2020 | DB | USD | 2,413,416 | EUR | 2,150,000 | 152,339 | ||||||||||||
10/27/2020 | BOA | USD | 1,084,028 | EUR | 929,000 | 25,923 | ||||||||||||
10/27/2020 | JPM | USD | 5,920,365 | EUR | 5,020,000 | 77,435 | ||||||||||||
10/27/2020 | MSCI | USD | 2,102,055 | EUR | 1,760,000 | 760 | ||||||||||||
10/14/2020 | JPM | USD | 3,627,284 | GBP | 2,750,000 | 49,774 | ||||||||||||
10/14/2020 | BCLY | USD | 240,000 | HUF | 69,888,240 | (5,488 | ) |
Settlement | Counter- | Currency | Currency | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||
10/14/2020 | CITI | USD | 820,000 | HUF | 240,765,978 | (12,104 | ) | |||||||||||
10/14/2020 | MSCI | USD | 200,000 | HUF | 58,441,920 | (3,897 | ) | |||||||||||
09/21/2020 | JPM | USD | 860,741 | IDR | 12,753,596,000 | 12,693 | ||||||||||||
09/21/2020 | MSCI | USD | 300,000 | IDR | 4,440,660,000 | 4,120 | ||||||||||||
10/30/2020 | JPM | USD | 1,462,056 | ILS | 4,925,594 | 7,520 | ||||||||||||
10/26/2020 | BCLY | USD | 410,000 | INR | 30,885,710 | 8,907 | ||||||||||||
10/26/2020 | JPM | USD | 710,000 | INR | 53,347,270 | 13,556 | ||||||||||||
09/09/2020 | CITI | USD | 160,000 | JPY | 17,377,701 | 4,083 | ||||||||||||
09/09/2020 | GS | USD | 1,450,000 | JPY | 153,948,820 | 3,613 | ||||||||||||
09/09/2020 | JPM | USD | 16,111,064 | JPY | 1,764,251,753 | 547,326 | ||||||||||||
09/29/2020 | MSCI | USD | 1,366,211 | KRW | 1,641,885,000 | 16,297 | ||||||||||||
10/21/2020 | JPM | USD | 359,882 | MXN | 8,007,702 | 3,892 | ||||||||||||
09/04/2020 | JPM | USD | 5,638,704 | NOK | 53,707,670 | 509,474 | ||||||||||||
10/05/2020 | BCLY | USD | 119,936 | NZD | 180,000 | 1,306 | ||||||||||||
10/05/2020 | JPM | USD | 6,681,333 | NZD | 10,160,000 | 162,107 | ||||||||||||
09/01/2020 | BCLY | USD | 288,834 | PHP | 14,007,560 | 71 | ||||||||||||
09/01/2020 | CITI | USD | 186,896 | PHP | 9,063,900 | 46 | ||||||||||||
09/01/2020 | JPM | USD | 388,021 | PHP | 18,817,830 | 96 | ||||||||||||
09/01/2020 | MSCI | USD | 847,915 | PHP | 41,889,290 | 16,048 | ||||||||||||
09/15/2020 | BOA | USD | 970,000 | PLN | 3,623,157 | 13,854 | ||||||||||||
09/15/2020 | CITI | USD | 2,470,857 | PLN | 9,506,749 | 110,665 | ||||||||||||
09/15/2020 | DB | USD | 1,230,000 | PLN | 4,577,146 | 12,907 | ||||||||||||
09/15/2020 | JPM | USD | 29,143 | PLN | 111,096 | 1,024 | ||||||||||||
09/30/2020 | BCLY | USD | 210,000 | RON | 861,710 | 2,172 | ||||||||||||
09/30/2020 | BOA | USD | 211,530 | RON | 918,178 | 14,546 | ||||||||||||
09/30/2020 | CITI | USD | 180,000 | RON | 736,901 | 1,441 | ||||||||||||
10/15/2020 | BCLY | USD | 1,090,000 | RUB | 81,104,516 | (2,707 | ) | |||||||||||
10/15/2020 | CITI | USD | 280,000 | RUB | 20,557,292 | (4,407 | ) | |||||||||||
10/05/2020 | JPM | USD | 15,010,417 | SEK | 130,620,649 | 96,471 | ||||||||||||
10/15/2020 | BCLY | USD | 420,000 | THB | 13,086,108 | 405 | ||||||||||||
10/15/2020 | JPM | USD | 216,548 | THB | 6,794,634 | 1,736 | ||||||||||||
10/06/2020 | JPM | USD | 440,000 | TWD | 12,872,640 | (875 | ) | |||||||||||
10/06/2020 | MSCI | USD | 1,473,031 | TWD | 42,813,660 | (12,527 | ) | |||||||||||
10/30/2020 | JPM | USD | 2,471,211 | ZAR | 41,180,503 | (56,775 | ) | |||||||||||
|
| |||||||||||||||||
$ | (696,696 | ) | ||||||||||||||||
|
|
Futures Contracts
Number of | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | |||||||||||||
Buys | |||||||||||||||||
24 | U.S. Long Bond (CBT) | December 2020 | 4,217,250 | (4,498 | ) | ||||||||||||
74 | U.S. Treasury Note 2 Yr. (CBT) | December 2020 | 16,349,953 | 8,776 | |||||||||||||
451 | U.S. Treasury Note 5 Yr. (CBT) | December 2020 | 56,840,094 | 78,848 | |||||||||||||
71 | U.S. Treasury Note 10 Yr. (CBT) | December 2020 | 9,886,750 | 23,207 | |||||||||||||
105 | U.S. Treasury Ultra 10 Yr. (CBT) | December 2020 | 16,740,938 | 35,960 | |||||||||||||
25 | U.S. Ultra Bond (CBT) | December 2020 | 5,522,656 | (8,852 | ) | ||||||||||||
|
|
|
| ||||||||||||||
$ | 109,557,641 | $ | 133,441 | ||||||||||||||
|
|
|
|
See accompanying notes to the financial statements. | 23 |
GMO Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
Number of | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | |||||||||||||
Sales | |||||||||||||||||
6 | Canadian Government Bond 10 Yr. | December 2020 | $ | 694,323 | $ | 2,014 | |||||||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
Swap Contracts
Centrally Cleared Interest Rate Swaps
Fund Pays | Fund Receives | Notional | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||
3 Month AUD BBSW | 0.19% | AUD | 20,020,000 | 09/16/2022 | Quarterly | 2,385 | 9,366 | 6,981 | ||||||||||||||||||
(0.68)% | 6 Month CHF LIBOR | CHF | 26,550,000 | 09/16/2022 | Semi-Annually | — | 21,760 | 21,760 | ||||||||||||||||||
6 Month CHF LIBOR | (0.63)% | CHF | 4,950,000 | 09/16/2022 | Semi-Annually | 354 | 928 | 574 | ||||||||||||||||||
6 Month CHF LIBOR | (0.65)% | CHF | 3,650,000 | 09/16/2022 | Semi-Annually | — | (745 | ) | (745 | ) | ||||||||||||||||
3 Month NZD Bank Bill Rate | 0.09% | NZD | 8,550,000 | 09/16/2022 | Quarterly | — | 2,472 | 2,472 | ||||||||||||||||||
0.21% | 3 Month NZD Bank Bill Rate | NZD | 24,350,000 | 09/16/2022 | Quarterly | — | (47,212 | ) | (47,212 | ) | ||||||||||||||||
0.19% | 3 Month NZD Bank Bill Rate | NZD | 12,500,000 | 09/16/2022 | Quarterly | — | (19,607 | ) | (19,607 | ) | ||||||||||||||||
(0.04)% | 3 Month SEK STIBOR | SEK | 218,800,000 | 09/16/2022 | Quarterly | — | 7,453 | 7,453 | ||||||||||||||||||
(0.03)% | 3 Month SEK STIBOR | SEK | 220,000,000 | 09/16/2022 | Quarterly | — | 2,909 | 2,909 | ||||||||||||||||||
(0.03)% | 3 Month SEK STIBOR | SEK | 444,700,000 | 09/16/2022 | Quarterly | 3,799 | 5,366 | 1,567 | ||||||||||||||||||
3 Month SEK STIBOR | 0.02% | SEK | 108,200,000 | 09/16/2022 | Quarterly | — | 8,840 | 8,840 | ||||||||||||||||||
(0.02)% | 3 Month SEK STIBOR | SEK | 55,050,000 | 09/16/2022 | Quarterly | — | (674 | ) | (674 | ) | ||||||||||||||||
0.56% | 3 Month CAD LIBOR | CAD | 45,600,000 | 09/19/2022 | Semi-Annually | 4,390 | (8,348 | ) | (12,738 | ) | ||||||||||||||||
6 Month EURIBOR | (0.44)% | EUR | 3,350,000 | 09/21/2022 | Semi-Annually | (431 | ) | (638 | ) | (207 | ) | |||||||||||||||
6 Month GBP LIBOR | 0.10% | GBP | 32,870,000 | 09/21/2022 | Semi-Annually | (4,350 | ) | (6,241 | ) | (1,891 | ) | |||||||||||||||
6 Month GBP LIBOR | 0.10% | GBP | 42,190,000 | 09/21/2022 | Semi-Annually | 4,791 | (12,554 | ) | (17,345 | ) | ||||||||||||||||
0.12% | 6 Month GBP LIBOR | GBP | 7,980,000 | 09/21/2022 | Semi-Annually | (353 | ) | (1,922 | ) | (1,569 | ) | |||||||||||||||
3 Month USD LIBOR | 0.21% | USD | 61,990,000 | 09/21/2022 | Quarterly | 5,770 | (4,174 | ) | (9,944 | ) | ||||||||||||||||
0.84% | 6 Month AUD BBSW | AUD | 8,970,000 | 09/16/2030 | Semi-Annually | (18,221 | ) | 41,666 | 59,887 | |||||||||||||||||
0.82% | 6 Month AUD BBSW | AUD | 4,140,000 | 09/16/2030 | Semi-Annually | (6,567 | ) | 23,841 | 30,408 | |||||||||||||||||
6 Month AUD BBSW | 0.90% | AUD | 3,390,000 | 09/16/2030 | Semi-Annually | — | 816 | 816 | ||||||||||||||||||
6 Month AUD BBSW | 0.83% | AUD | 12,290,000 | 09/16/2030 | Semi-Annually | (4,284 | ) | (61,502 | ) | (57,218 | ) | |||||||||||||||
6 Month AUD BBSW | 0.83% | AUD | 7,830,000 | 09/16/2030 | Semi-Annually | 2,171 | (40,309 | ) | (42,480 | ) | ||||||||||||||||
6 Month AUD BBSW | 0.81% | AUD | 5,690,000 | 09/16/2030 | Semi-Annually | — | (38,491 | ) | (38,491 | ) | ||||||||||||||||
3 Month CAD LIBOR | 1.07% | CAD | 6,520,000 | 09/16/2030 | Semi-Annually | (2,116 | ) | (20,250 | ) | (18,134 | ) | |||||||||||||||
3 Month CAD LIBOR | 1.06% | CAD | 4,110,000 | 09/16/2030 | Semi-Annually | — | (17,037 | ) | (17,037 | ) | ||||||||||||||||
3 Month CAD LIBOR | 0.98% | CAD | 7,990,000 | 09/16/2030 | Semi-Annually | (6,383 | ) | (83,538 | ) | (77,155 | ) | |||||||||||||||
3 Month CAD LIBOR | 1.00% | CAD | 19,160,000 | 09/16/2030 | Semi-Annually | 54,289 | (164,764 | ) | (219,053 | ) | ||||||||||||||||
3 Month CAD LIBOR | 1.08% | CAD | 1,500,000 | 09/16/2030 | Semi-Annually | — | (3,879 | ) | (3,879 | ) | ||||||||||||||||
3 Month CAD LIBOR | 1.14% | CAD | 31,480,000 | 09/16/2030 | Semi-Annually | 1,346 | 56,466 | 55,120 | ||||||||||||||||||
0.93% | 3 Month CAD LIBOR | CAD | 4,940,000 | 09/16/2030 | Semi-Annually | — | 69,619 | 69,619 | ||||||||||||||||||
(0.19)% | 6 Month CHF LIBOR | CHF | 2,080,000 | 09/16/2030 | Semi-Annually | — | (9,252 | ) | (9,252 | ) | ||||||||||||||||
6 Month CHF LIBOR | (0.33)% | CHF | 5,250,000 | 09/16/2030 | Semi-Annually | — | (60,060 | ) | (60,060 | ) | ||||||||||||||||
6 Month CHF LIBOR | (0.19)% | CHF | 11,940,000 | 09/16/2030 | Semi-Annually | — | 40,917 | 40,917 | ||||||||||||||||||
6 Month CHF LIBOR | (0.21)% | CHF | 21,650,000 | 09/16/2030 | Semi-Annually | (6,280 | ) | 32,423 | 38,703 | |||||||||||||||||
(0.32)% | 6 Month CHF LIBOR | CHF | 720,000 | 09/16/2030 | Semi-Annually | — | 8,032 | 8,032 | ||||||||||||||||||
(0.25)% | 6 Month CHF LIBOR | CHF | 990,000 | 09/16/2030 | Semi-Annually | 204 | 2,337 | 2,133 | ||||||||||||||||||
3 Month NZD Bank Bill Rate | 0.74% | NZD | 4,375,000 | 09/16/2030 | Quarterly | 39,260 | 36,305 | (2,955 | ) | |||||||||||||||||
0.64% | 3 Month NZD Bank Bill Rate | NZD | 3,840,000 | 09/16/2030 | Quarterly | — | (6,319 | ) | (6,319 | ) | ||||||||||||||||
0.61% | 3 Month NZD Bank Bill Rate | NZD | 1,740,000 | 09/16/2030 | Quarterly | — | 1,073 | 1,073 | ||||||||||||||||||
0.59% | 3 Month NZD Bank Bill Rate | NZD | 5,620,000 | 09/16/2030 | Quarterly | (1,131 | ) | 11,317 | 12,448 | |||||||||||||||||
3 Month NZD Bank Bill Rate | 0.71% | NZD | 5,000,000 | 09/16/2030 | Quarterly | — | 30,348 | 30,348 | ||||||||||||||||||
3 Month NZD Bank Bill Rate | 0.64% | NZD | 2,570,000 | 09/16/2030 | Quarterly | — | 4,229 | 4,229 | ||||||||||||||||||
0.52% | 3 Month NZD Bank Bill Rate | NZD | 12,460,000 | 09/16/2030 | Quarterly | 27,447 | 81,458 | 54,011 |
24 | See accompanying notes to the financial statements. |
GMO Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
Centrally Cleared Interest Rate Swaps — continued
Fund Pays | Fund Receives | Notional | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||
3 Month SEK STIBOR | 0.32% | SEK | 11,900,000 | 09/16/2030 | Quarterly | — | (11,953 | ) | (11,953 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.28% | SEK | 44,200,000 | 09/16/2030 | Quarterly | — | (66,685 | ) | (66,685 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.28% | SEK | 44,350,000 | 09/16/2030 | Quarterly | — | (64,116 | ) | (64,116 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.29% | SEK | 89,950,000 | 09/16/2030 | Quarterly | — | (124,370 | ) | (124,370 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.37% | SEK | 11,200,000 | 09/16/2030 | Quarterly | — | (5,474 | ) | (5,474 | ) | ||||||||||||||||
0.34% | 3 Month SEK STIBOR | SEK | 23,000,000 | 09/16/2030 | Quarterly | (1,656 | ) | 18,358 | 20,014 | |||||||||||||||||
0.32% | 3 Month SEK STIBOR | SEK | 22,000,000 | 09/16/2030 | Quarterly | — | 22,098 | 22,098 | ||||||||||||||||||
0.36% | 3 Month SEK STIBOR | SEK | 21,700,000 | 09/16/2030 | Quarterly | 2,460 | 11,849 | 9,389 | ||||||||||||||||||
3 Month SEK STIBOR | 0.49% | SEK | 95,500,000 | 09/16/2030 | Quarterly | — | 91,233 | 91,233 | ||||||||||||||||||
3 Month SEK STIBOR | 0.51% | SEK | 127,520,000 | 09/16/2030 | Quarterly | (11,056 | ) | 149,590 | 160,646 | |||||||||||||||||
6 Month EURIBOR | (0.25)% | EUR | 960,000 | 09/18/2030 | Semi-Annually | — | (13,199 | ) | (13,199 | ) | ||||||||||||||||
(0.19)% | 6 Month EURIBOR | EUR | 22,700,000 | 09/18/2030 | Semi-Annually | 3,831 | 142,429 | 138,598 | ||||||||||||||||||
(0.20)% | 6 Month EURIBOR | EUR | 32,940,000 | 09/18/2030 | Semi-Annually | 28,957 | 259,148 | 230,191 | ||||||||||||||||||
(0.20)% | 6 Month EURIBOR | EUR | 670,000 | 09/18/2030 | Semi-Annually | (185 | ) | 4,861 | 5,046 | |||||||||||||||||
0.32% | 6 Month GBP LIBOR | GBP | 3,950,000 | 09/18/2030 | Semi-Annually | — | 75,486 | 75,486 | ||||||||||||||||||
0.30% | 6 Month GBP LIBOR | GBP | 12,010,000 | 09/18/2030 | Semi-Annually | 27,130 | 262,269 | 235,139 | ||||||||||||||||||
6 Month GBP LIBOR | 0.31% | GBP | 1,720,000 | 09/18/2030 | Semi-Annually | — | (35,730 | ) | (35,730 | ) | ||||||||||||||||
6 Month GBP LIBOR | 0.28% | GBP | 1,050,000 | 09/18/2030 | Semi-Annually | — | (26,282 | ) | (26,282 | ) | ||||||||||||||||
6 Month GBP LIBOR | 0.30% | GBP | 1,990,000 | 09/18/2030 | Semi-Annually | — | (42,265 | ) | (42,265 | ) | ||||||||||||||||
6 Month GBP LIBOR | 0.41% | GBP | 2,770,000 | 09/18/2030 | Semi-Annually | (7,307 | ) | (21,612 | ) | (14,305 | ) | |||||||||||||||
6 Month GBP LIBOR | 0.45% | GBP | 1,620,000 | 09/18/2030 | Semi-Annually | 694 | (3,049 | ) | (3,743 | ) | ||||||||||||||||
0.32% | 6 Month GBP LIBOR | GBP | 11,270,000 | 09/18/2030 | Semi-Annually | 7,948 | 211,625 | 203,677 | ||||||||||||||||||
0.60% | 3 Month USD LIBOR | USD | 11,260,000 | 09/18/2030 | Quarterly | (17,204 | ) | 119,575 | 136,779 | |||||||||||||||||
0.61% | 3 Month USD LIBOR | USD | 26,350,000 | 09/18/2030 | Quarterly | (71,507 | ) | 253,846 | 325,353 | |||||||||||||||||
0.70% | 3 Month USD LIBOR | USD | 1,450,000 | 09/18/2030 | Quarterly | (45 | ) | 1,105 | 1,150 | |||||||||||||||||
3 Month USD LIBOR | 0.53% | USD | 1,300,000 | 09/18/2030 | Quarterly | — | (22,969 | ) | (22,969 | ) | ||||||||||||||||
3 Month USD LIBOR | 0.63% | USD | 3,850,000 | 09/18/2030 | Quarterly | — | (30,258 | ) | (30,258 | ) | ||||||||||||||||
3 Month USD LIBOR | 0.68% | USD | 1,500,000 | 09/18/2030 | Quarterly | 40 | (3,434 | ) | (3,474 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 58,190 | $ | 1,044,501 | $ | 986,311 | |||||||||||||||||||||
|
|
|
|
|
|
As of August 31, 2020, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
(a) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
(b) | The rate disclosed is the 7 day net yield as of August 31, 2020. |
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 39.
See accompanying notes to the financial statements. | 25 |
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2020 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Debt Obligations | 81.4 | % | ||
Short-Term Investments | 14.6 | |||
Mutual Funds | 1.3 | |||
Swap Contracts | 1.3 | |||
Purchased Options | 0.0 | ^ | ||
Forward Currency Contracts | 0.0 | ^ | ||
Futures Contracts | 0.0 | ^ | ||
Written Options | 0.0 | ^ | ||
Other | 1.4 | |||
|
| |||
100.0 | % | |||
|
| |||
Industry Sector Summary | % of Debt Obligations | |||
Collateralized Loan Obligations | 19.2 | % | ||
Commercial Mortgage-Backed Securities | 18.4 | |||
Student Loans – Private | 17.7 | |||
Residential Mortgage-Backed Securities – Other | 12.1 | |||
Small Balance Commercial Mortgages | 11.8 | |||
Residential Mortgage-Backed Securities – Prime | 6.8 | |||
Student Loans – Federal Family Education Loan Program | 6.8 | |||
Residential Mortgage-Backed Securities – Subprime | 3.1 | |||
U.S. Government Agency | 1.6 | |||
Residential Mortgage-Backed Securities – Alt-A | 1.4 | |||
CMBS Collateralized Debt Obligations | 0.9 | |||
U.S. Government | 0.2 | |||
Auto Retail Subprime | 0.0 | ^ | ||
Time Share | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
& | In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). |
^ | Rounds to 0.0%. |
26
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 81.4% |
| |||||||||
Asset-Backed Securities — 79.9% | ||||||||||
Auto Retail Subprime — 0.0% |
| |||||||||
252,148 | CPS Auto Receivables Trust, Series 15-C, Class D, 144A, 4.63%, due 08/16/21 | 253,812 | ||||||||
|
| |||||||||
CMBS Collateralized Debt Obligations — 0.7% | ||||||||||
719,315 | ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class A, 144A, 5.45%, due 12/21/42 | 719,891 | ||||||||
8,586,000 | ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42 | 3,477,330 | ||||||||
370,553 | Capitalsource Real Estate Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 0.39%, 2.24%, due 01/20/37(a) | 364,995 | ||||||||
1,714,150 | GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.33%, due 03/21/46 | 1,623,985 | ||||||||
|
| |||||||||
Total CMBS Collateralized Debt Obligations | 6,186,201 | |||||||||
|
| |||||||||
Collateralized Loan Obligations — 15.6% | ||||||||||
6,177,781 | ACIS CLO Ltd., Series 15-6A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.59%, 1.84%, due 05/01/27 | 6,176,608 | ||||||||
1,905,000 | Apex Credit CLO II Ltd., Series 15-2A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 2.17%, due 10/17/26 | 1,795,981 | ||||||||
171,460 | BFNS LLC, Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.98%, 1.22%, due 01/25/29 | 171,380 | ||||||||
4,222,400 | Catamaran CLO Ltd., Series 13-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 1.80%, 2.04%, due 01/27/28 | 4,081,000 | ||||||||
5,510,000 | Crestline Denali CLO XVI Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 1.39%, due 01/20/30 | 5,402,054 | ||||||||
4,161,000 | ECP CLO Ltd., Series 18-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.14%, 1.41%, due 04/22/30 | 4,088,182 | ||||||||
1,259,600 | Garrison BSL CLO Ltd., Series 18-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 1.65%, 1.92%, due 07/17/28 | 1,233,626 | ||||||||
6,360,000 | Garrison BSL CLO Ltd., Series 18-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.97%, 1.24%, due 07/17/28 | 6,289,220 | ||||||||
3,660,112 | Halcyon Loan Advisors Funding Ltd., Series 12-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 3.00%, 3.28%, due 08/15/23 | 3,661,792 | ||||||||
6,412,272 | Loomis Sayles CLO II Ltd., Series 15-2A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 1.18%, due 04/15/28 | 6,339,871 |
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued |
| |||||||||
Collateralized Loan Obligations — continued | ||||||||||
1,465,400 | Madison Park Funding XII Ltd, Series 14-12A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 2.62%, due 07/20/26 | 1,465,464 | ||||||||
15,030,900 | Mountain View CLO Ltd., Series 15-9A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 1.40%, due 07/15/31 | 14,700,235 | ||||||||
3,906,000 | Northwoods Capital XVII Ltd., Series 18-17A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 1.32%, due 04/22/31 | 3,828,099 | ||||||||
2,003,158 | Saranac CLO III Ltd, Series 14-3A, Class ALR, 144A, Variable Rate, 3 mo. LIBOR + 1.60%, 1.91%, due 06/22/30 | 1,998,394 | ||||||||
7,880,500 | Saratoga Investment Corp. CLO Ltd., Series 13-1A, Class BR2, 144A, Variable Rate, 3 mo. LIBOR + 2.30%, 2.57%, due 01/20/30 | 7,881,067 | ||||||||
2,845,600 | Shackleton CLO Ltd., Series 13-4RA, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 1.27%, due 04/13/31 | 2,790,330 | ||||||||
11,974,000 | Sound Point CLO II Ltd., Series 13-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.07%, 1.31%, due 01/26/31 | 11,794,558 | ||||||||
6,235,025 | Sound Point CLO XIX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 1.28%, due 04/15/31 | 6,114,477 | ||||||||
4,993,200 | Venture CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 1.37%, due 07/18/31 | 4,875,036 | ||||||||
2,932,000 | Venture XII CLO Ltd., Series 12-12A, Class BRR, 144A, Variable Rate, 3 mo. LIBOR + 1.20%, 1.46%, due 02/28/26 | 2,853,968 | ||||||||
1,568,784 | Voya CLO Ltd., Series 14-3A, Class A2A, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 2.14%, due 07/25/26 | 1,569,187 | ||||||||
606,934 | WhiteHorse IX Ltd, Series 14-9A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.16%, 1.43%, due 07/17/26 | 605,664 | ||||||||
7,746,900 | Whitehorse XII Ltd., Series 18-12A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 1.53%, due 10/15/31 | 7,639,272 | ||||||||
6,750,000 | Zais CLO 1 Ltd., Series 14-1A, Class A1BR, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 1.78%, due 04/15/28 | 6,700,313 | ||||||||
18,544,342 | Zais CLO 1 Ltd., Series 14-1A, Class A1AR, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 1.43%, due 04/15/28 | 18,441,699 | ||||||||
1,878,017 | Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.23%, due 04/15/29 | 1,820,334 | ||||||||
|
| |||||||||
Total Collateralized Loan Obligations | 134,317,811 | |||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities — 15.0% | ||||||||||
10,000,000 | BAMLL Commercial Mortgage Securities Trust, Series 19-BPR, Class ANM, 144A, 3.11%, due 11/05/32 | 9,956,826 |
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, 2020 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Commercial Mortgage-Backed Securities — continued | ||||||||||
8,448,000 | Barclays Commercial Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.41%, due 08/05/38 | 5,761,562 | ||||||||
4,834,200 | BBCMS Mortgage Trust, Series 17-C1, Class A4, 3.67%, due 02/15/50 | 5,474,632 | ||||||||
4,498,000 | BX Trust, Series 19-OC11, Class A, 144A, 3.20%, due 12/09/41 | 4,753,833 | ||||||||
1,470,000 | BX Trust, Series 19-OC11, Class C, 144A, 3.86%, due 12/09/41 | 1,437,384 | ||||||||
5,000,000 | BX Trust, Series 19-OC11, Class E, 144A, Variable Rate, 4.08%, due 12/09/41 | 4,516,753 | ||||||||
7,000,000 | Commercial Mortgage Trust, Series 15-CR24, Class A5, 3.70%, due 08/10/48 | 7,792,459 | ||||||||
6,334,436 | Commercial Mortgage Trust, Series 15-CR25, Class A4, 3.76%, due 08/10/48 | 7,050,071 | ||||||||
233,407 | Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + 0.25%, 0.41%, due 04/15/37 | 224,071 | ||||||||
184,408 | Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37 | 184,035 | ||||||||
6,372,761 | CSAILCommercial Mortgage Trust, Series 15-C3, Class A4, 3.72%, due 08/15/48 | 7,037,986 | ||||||||
6,101,601 | GS Mortgage Securities Corp., Series 16-GS2, Class D, 144A, 2.75%, due 05/10/49 | 4,465,525 | ||||||||
4,454,370 | GS Mortgage Securities Trust, Series 15-GC32, Class A4, 3.76%, due 07/10/48 | 4,958,765 | ||||||||
5,618,916 | GS Mortgage Securities Trust, Series 15-GS1, Class A3, 3.73%, due 11/10/48 | 6,209,929 | ||||||||
3,750,000 | GS Mortgage Securities Trust, Series 16-GS2, Class B, Variable Rate, 3.76%, due 05/10/49 | 3,919,199 | ||||||||
276,240 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 15-JP1, Class A5, 3.91%, due 01/15/49 | 311,240 | ||||||||
805,930 | JPMBB Commercial Mortgage Securities Trust, Series 15-C32, Class A5, 3.60%, due 11/15/48 | 891,942 | ||||||||
1,326,589 | LB-UBS Commercial Mortgage Trust, Series 04-C6, Class K, 144A, Variable Rate, 6.52%, due 08/15/36 | 1,371,528 | ||||||||
1,500,000 | Manhattan West, Series 20-1MW, Class C, 144A, Variable Rate, 2.41%, due 09/10/39 | 1,491,755 | ||||||||
500,000 | Manhattan West, Series 20-1MW, Class D, 144A, Variable Rate, 2.41%, due 09/10/39 | 487,177 | ||||||||
5,504,257 | Merrill Lynch Mortgage Investors Trust, Series 98-C1, Class F, Variable Rate, 6.25%, due 11/15/26 | 5,507,614 | ||||||||
4,000,000 | MKT Mortgage Trust, Series 20-525M, Class E, 144A, Variable Rate, 2.94%, due 02/12/40 | 3,722,574 |
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Commercial Mortgage-Backed Securities — continued | ||||||||||
2,505,000 | MKT Mortgage Trust, Series 20-525M, Class F, 144A, Variable Rate, 2.94%, due 02/12/40 | 2,239,637 | ||||||||
3,710,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 13-C10, Class A4, Variable Rate, 4.22%, due 07/15/46 | 3,967,633 | ||||||||
1,201,206 | Morgan Stanley Dean Witter Capital I Trust, Series 01-TOP3, Class F, 144A, Variable Rate, 8.07%, due 07/15/33 | 1,111,740 | ||||||||
10,135,000 | Union Station District of Columbia, Series 2018-USDC, Class E, 144A, Variable Rate, 4.64%, due 05/13/38 | 8,032,108 | ||||||||
2,550,000 | WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 3.34%, due 11/23/43 | 2,533,693 | ||||||||
8,270,894 | WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 3.90%, due 03/23/45 | 8,341,726 | ||||||||
8,563,000 | Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class F, 144A, Variable Rate, 3.67%, due 04/16/35 | 7,314,666 | ||||||||
1,717,000 | Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class D, 144A, Variable Rate, 3.67%, due 04/16/35 | 1,610,052 | ||||||||
960,073 | Wells Fargo Commercial Mortgage Trust, Series 15-NXS1, Class A5, 3.15%, due 05/15/48 | 1,038,525 | ||||||||
4,392,094 | Wells Fargo Commercial Mortgage Trust, Series 16-C32, Class A4, 3.56%, due 01/15/59 | 4,851,861 | ||||||||
|
| |||||||||
Total Commercial Mortgage-Backed Securities | 128,568,501 | |||||||||
|
| |||||||||
Residential Mortgage-Backed Securities — Other — 9.9% | ||||||||||
967,475 | ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + 0.28% 0.46%, due 02/25/36 | 308,759 | ||||||||
19,613,149 | American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. LIBOR + 0.36%, 0.54%, due 02/25/36 | 1,987,483 | ||||||||
13,743,281 | BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25 | 7,855,363 | ||||||||
5,212,238 | BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29 | 4,802,452 | ||||||||
8,834,023 | BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29 | 2,252,108 | ||||||||
2,928,137 | BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30 | 944,630 |
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, 2020 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Residential Mortgage-Backed Securities — Other — continued | ||||||||||
483,002 | Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + 0.32%, 0.50%, due 02/25/37 | 435,131 | ||||||||
2,635,130 | Conseco Finance Corp., Series 97-5, Class B1, Variable Rate, 6.97%, due 05/15/29 | 2,575,626 | ||||||||
5,157,052 | Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33 | 5,006,756 | ||||||||
5,227,670 | Conseco Financial Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29 | 5,318,904 | ||||||||
3,007,470 | Conseco Financial Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30 | 2,918,371 | ||||||||
1,953,341 | Countrywide Home Equity Loan Trust, Series 07-E, Class A, FSA, Variable Rate, 1 mo. LIBOR + 0.15%, 0.31%, due 06/15/37 | 1,857,893 | ||||||||
352,634 | GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 0.68%, due 10/25/34 | 329,827 | ||||||||
6,638,218 | GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 6.47%, due 09/25/37 | 6,672,482 | ||||||||
4,861,062 | Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.61%, due 09/25/35 | 1,213,240 | ||||||||
30,254,212 | Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + 0.26%, 0.44%, due 06/25/36 | 2,379,491 | ||||||||
12,991,089 | Home Loan Trust, Series 06-HI4, Class A4, Step Up, 5.72%, due 09/25/36 | 8,750,106 | ||||||||
12,425,634 | Home Loan Trust, Series 07-HI1, Class A4, Step Up, due 03/25/37 | 5,359,772 | ||||||||
3,996,793 | Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + 0.32%, 0.50%, due 03/25/36 | 590,522 | ||||||||
455,823 | Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.42%, due 02/26/34 | 388,401 | ||||||||
14,018,944 | New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. LIBOR + 0.20%, 0.38%, due 03/25/36 | 838,214 | ||||||||
7,996,693 | New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. LIBOR + 0.34%, 0.52%, due 03/25/36 | 481,352 | ||||||||
21,320,064 | New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. LIBOR + 0.40%, 0.58%, due 03/25/36 | 1,283,125 | ||||||||
510,260 | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. LIBOR + 0.90%, 1.08%, due 08/25/35 | 768,889 |
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Residential Mortgage-Backed Securities — Other — continued | ||||||||||
6,276,119 | Oakwood Mortgage Investors, Inc., Series 99-C, Class A2, 7.48%, due 08/15/27 | 5,956,440 | ||||||||
1,572,382 | Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28 | 1,614,019 | ||||||||
1,984,156 | Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29 | 2,033,444 | ||||||||
4,794,483 | Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30 | 4,050,383 | ||||||||
10,483,738 | Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30 | 3,992,442 | ||||||||
1,170,253 | Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31 | 950,376 | ||||||||
758,285 | Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31 | 754,611 | ||||||||
|
| |||||||||
Total Residential Mortgage-Backed Securities — Other | 84,670,612 | |||||||||
|
| |||||||||
Residential Mortgage-Backed Securities — Prime — 5.6% | ||||||||||
1,136,781 | Bear Stearns ARM Trust, Series 05-6, Class 3A1, Variable Rate, 3.17%, due 08/25/35 | 1,111,956 | ||||||||
972,247 | Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, U.S. Treasury Yield 1 Year CMT + 2.30%, 2.41%, due 10/25/35 | 972,060 | ||||||||
645,611 | Citigroup Mortgage Loan Trust, Series 05-3, Class 2A2, Variable Rate, 3.23%, due 08/25/35 | 673,829 | ||||||||
5,447,214 | CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37 | 4,394,666 | ||||||||
2,092,648 | IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.72%, due 12/25/36 | 1,881,740 | ||||||||
1,617,273 | IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.68%, due 03/25/37 | 1,487,076 | ||||||||
11,165,424 | IndyMac INDX Mortgage Loan Trust, Series 06-AR2, Class 1A1A, Variable Rate, 1 mo. LIBOR + 0.22%, 0.40%, due 04/25/46 | 10,055,675 | ||||||||
1,993,210 | Morgan Stanley Mortgage Loan Trust, Series 06-2, Class 6A, 6.50%, due 02/25/36 | 1,492,089 | ||||||||
3,092,884 | RBSSP Resecuritization Trust, Series 09-6, Class 12A4, 144A, Variable Rate, 5.50%, due 05/26/35 | 3,055,744 |
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, 2020 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Residential Mortgage-Backed Securities — Prime — continued | ||||||||||
1,316,561 | RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 3.34%, due 09/25/35 | 1,274,879 | ||||||||
1,407,725 | WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 3.03%, due 09/25/35 | 1,476,120 | ||||||||
1,519,325 | WaMu Mortgage Pass-Through Certificates, Series 06-AR19, Class 2A, Variable Rate, COFI + 1.25%, 1.93%, due 01/25/47 | 1,427,034 | ||||||||
3,645,287 | Washington Mutual Mortgage Pass-Through Certificates, Series 05-4, Class CB3, Variable Rate, 1 mo. LIBOR + 0.45%, 0.63%, due 06/25/35 | 2,956,227 | ||||||||
15,075,364 | Washington Mutual Mortgage Pass-Through Certificates, Series 07-5, Class A6, 6.00%, due 06/25/37 | 15,451,547 | ||||||||
|
| |||||||||
Total Residential Mortgage-Backed Securities — Prime | 47,710,642 | |||||||||
|
| |||||||||
Residential Mortgage-Backed Securities — Subprime — 2.5% | ||||||||||
1,788,863 | Asset Backed Funding Certificates, Series 05-AQ1, Class A5, Step Up, 4.63%, due 06/25/35 | 1,883,357 | ||||||||
2,578,393 | BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 0.57%, due 05/26/37 | 2,452,177 | ||||||||
1,723,153 | Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M3, Variable Rate, 1 mo. LIBOR + 1.08%, 1.26%, due 08/25/35 | 1,717,198 | ||||||||
3,296,075 | Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M4, Variable Rate, 1 mo. LIBOR + 1.88%, 2.05%, due 08/25/35 | 3,310,429 | ||||||||
2,335,333 | Bear Stearns Asset-Backed Securities, Inc., Series 07-AQ1, Class A1, Variable Rate, 1 mo. LIBOR + 0.11%, 0.29%, due 04/25/31 (b) | 5,778,548 | ||||||||
3,822,018 | Bravo Mortgage Asset Trust, Series 06-1A, Class M1,144A, Variable Rate, 1 mo. LIBOR + 0.40%, 0.58%, due 07/25/36 | 3,415,767 | ||||||||
1,544,516 | CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 3.55%, due 11/20/34 | 1,540,136 | ||||||||
1,666,320 | GSAA Trust, Series 05-1, Class M1, Step Up, 5.30%, due 11/25/34 | 1,703,111 | ||||||||
|
| |||||||||
Total Residential Mortgage-Backed Securities — Subprime | 21,800,723 | |||||||||
|
| |||||||||
Residential Mortgage-Backed Securities — Alt-A — 1.1% | ||||||||||
715,787 | Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34 | 752,322 |
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Residential Mortgage-Backed Securities — Alt-A — continued | ||||||||||
2,001,370 | Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.70%, 0.88%, due 05/25/36 | 841,855 | ||||||||
2,110,329 | Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + 0.70%, 0.88%, due 10/25/36 | 806,063 | ||||||||
3,015,308 | Bear Stearns Asset Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34 | 3,093,241 | ||||||||
4,870,577 | Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 3.09%, due 07/25/36 | 3,251,432 | ||||||||
946,317 | JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37 | 959,441 | ||||||||
|
| |||||||||
Total Residential Mortgage-Backed Securities — Alt-A | 9,704,354 | |||||||||
|
| |||||||||
Small Balance Commercial Mortgages — 9.6% | ||||||||||
420,679 | Bayview Commercial Asset Trust, Series 04-1, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.84%, 1.02%, due 04/25/34 | 417,372 | ||||||||
380,988 | Bayview Commercial Asset Trust, Series 04-1, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 1.80%, 1.98%, due 04/25/34 | 379,171 | ||||||||
423,422 | Bayview Commercial Asset Trust, Series 04-1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 2.85%, 3.03%, due 04/25/34 | 422,270 | ||||||||
4,676,384 | Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.31%, 0.49%, due 08/25/35 | 4,313,936 | ||||||||
2,396,060 | Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.39%, 0.57%, due 01/25/36 | 2,251,956 | ||||||||
1,264,535 | Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.38%, 0.56%, due 04/25/36 | 1,127,378 | ||||||||
1,845,991 | Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.23%, 0.41%, due 07/25/36 | 1,713,647 | ||||||||
3,775,997 | Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.28%, 0.46%, due 07/25/36 | 3,515,353 | ||||||||
4,928,326 | Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.43%, due 10/25/36 | 4,571,595 | ||||||||
2,487,152 | Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.22%, 0.40%, due 03/25/37 | 2,342,498 | ||||||||
2,015,221 | Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.24%, 0.42%, due 07/25/37 | 1,888,271 |
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, 2020 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Small Balance Commercial Mortgages — continued | ||||||||||
8,150,811 | Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 0.45%, due 07/25/37 | 7,569,661 | ||||||||
5,249,067 | Bayview Commercial Asset Trust, Series 07-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.32%, 0.50%, due 07/25/37 | 4,700,999 | ||||||||
1,128,058 | Bayview Commercial Asset Trust, Series 07-6A, Class A3B, 144A, Variable Rate, 1 mo. LIBOR + 0.85%, 1.03%, due 12/25/37 | 1,122,834 | ||||||||
9,654,031 | Bayview Commercial Asset Trust, Series 07-6A, Class A3A, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 1.43%, due 12/25/37 | 9,717,356 | ||||||||
2,391,540 | GE Business Loan Trust, Series 07-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.17%, 0.33%, due 04/15/35 | 2,391,540 | ||||||||
1,917,958 | GE Business Loan Trust, Series 07-1A, Class D, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.16%, due 04/16/35 | 1,726,162 | ||||||||
2,479,796 | Hana SBL Loan Trust, Series 19-1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 2.00%, 2.18%, due 08/25/45 | 2,384,863 | ||||||||
4,300,000 | Lehman Brothers Small Balance Commercial, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.40%, 0.58%, due 06/25/37 | 4,001,573 | ||||||||
420,403 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.43%, due 02/25/30 | 416,587 | ||||||||
1,068,262 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class M1,144A, Variable Rate, 1 mo. LIBOR + 0.35%, 0.53%, due 02/25/30 | 1,049,553 | ||||||||
989,266 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class M2,144A, Variable Rate, 1 mo. LIBOR + 0.55%, 0.73%, due 02/25/30 | 971,575 | ||||||||
2,467,604 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.18%, due 09/25/30 | 2,353,673 | ||||||||
5,102,207 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.53%, 0.71%, due 04/25/31 | 4,999,212 | ||||||||
2,022,599 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.18%, due 04/25/31 | 1,870,855 | ||||||||
1,298,703 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-2A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 0.39%, 0.57%, due 09/25/36 | 1,256,791 |
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Small Balance Commercial Mortgages — continued | ||||||||||
5,924,638 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class AJ, 144A, Variable Rate, 6.21%, due 10/25/37 | 5,987,978 | ||||||||
349,202 | WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class C, 144A, Variable Rate, 3.08%, due 12/27/49 | 349,101 | ||||||||
3,430,400 | WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class D, 144A, Variable Rate, 3.45%, due 12/27/49 | 3,422,457 | ||||||||
3,176,664 | WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 3.61%, due 12/27/49 | 3,118,894 | ||||||||
|
| |||||||||
Total Small Balance Commercial Mortgages | 82,355,111 | |||||||||
|
| |||||||||
Student Loans — Federal Family Education Loan Program — 5.5% | ||||||||||
4,896,307 | AccessLex Institute, Series 04-2, Class A3, Variable Rate, 3 mo. LIBOR + 0.19%, 0.43%, due 10/25/24 | 4,749,520 | ||||||||
10,100,217 | AccessLex Institute, Series 04-2, Class B, Variable Rate, 3 mo. LIBOR + 0.70%, 0.94%, due 01/25/43 | 8,310,347 | ||||||||
12,028,510 | AccessLex Institute, Series 07-1, Class A4, Variable Rate, 3 mo. LIBOR + 0.06%, 0.30%, due 01/25/23 | 11,760,525 | ||||||||
4,177,674 | Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + 0.32%, 0.63%, due 03/28/35 (a) | 3,447,186 | ||||||||
7,720,600 | SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 3 mo. LIBOR + 0.90%, 1.21%, due 06/15/21 | 7,371,574 | ||||||||
12,014,920 | SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 3 mo. LIBOR + 1.65%, 1.89%, due 07/25/22 | 11,789,562 | ||||||||
|
| |||||||||
Total Student Loans — Federal Family Education Loan Program | 47,428,714 | |||||||||
|
| |||||||||
Student Loans — Private — 14.4% | ||||||||||
3,755,661 | AccessLex Institute, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.80%, 1.04%, due 07/25/34 | 3,416,494 | ||||||||
2,988,132 | KeyCorp Student Loan Trust, Series 05-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.73%, 1.04%, due 09/27/38 | 2,939,317 | ||||||||
20,241,579 | KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.48%, 0.79%, due 12/27/41 | 19,632,340 | ||||||||
2,449,966 | KeyCorp Student Loan Trust, Series 04-A, Class 2C, Variable Rate, 3 mo. LIBOR + 0.80%, 1.04%, due 04/28/42 | 2,387,420 |
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, 2020 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued |
| |||||||||
Student Loans — Private — continued | ||||||||||
5,622,500 | KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. LIBOR + 1.25%, 1.49%, due 07/28/42 | 4,855,208 | ||||||||
1,289,442 | L2L Education Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 0.50%, 0.66%, due 10/15/28 | 1,255,245 | ||||||||
8,775,000 | National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 7-DayAuc + 0.00%, due 03/31/38 (b) | 2,632,500 | ||||||||
7,625,000 | National Collegiate II Commutation Trust, Series 07-4, Class A3R7, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (b) | 2,173,125 | ||||||||
3,275,000 | National Collegiate II Commutation Trust, Series 07-4, Class A3R6, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (b) | 933,375 | ||||||||
3,157,894 | National Collegiate Student Loan Trust, Series 05-3, Class A51, Variable Rate, 1 mo. LIBOR + 0.38%, 0.56%, due 10/25/33 | 3,034,707 | ||||||||
8,862,822 | National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 0.49%, due 05/25/32 | 8,410,870 | ||||||||
5,386,619 | National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. LIBOR + 0.35%, 0.53%, due 03/25/33 | 5,090,398 | ||||||||
9,513,373 | National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. LIBOR + 0.37%, 0.55%, due 06/25/33 | 9,040,281 | ||||||||
14,180,016 | National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 0.48%, due 10/25/33 | 12,976,413 | ||||||||
3,256,000 | National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. LIBOR + 0.54%, 0.72%, due 12/26/33 | 2,943,471 | ||||||||
75,000 | National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (a) | 60,000 | ||||||||
25,000 | National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (a) | 20,000 | ||||||||
6,555,000 | SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 06/15/32 (b) | 6,292,800 |
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued |
| |||||||||
Student Loans — Private — continued | ||||||||||
3,350,000 | SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 09/15/32 (b) | 3,216,000 | ||||||||
5,400,350 | SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. LIBOR + 1.60%, 1.91%, due 09/15/32 | 1,435,714 | ||||||||
9,000,000 | SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.43%, 0.74%, due 09/15/33 | 8,410,241 | ||||||||
2,288,516 | SLM Private Credit Student Loan Trust, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.28%, 0.59%, due 12/15/38 | 2,271,675 | ||||||||
4,455,410 | SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + 0.29%, 0.60%, due 06/15/39 | 4,207,023 | ||||||||
3,269,334 | SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.33%, 0.64%, due 06/15/39 | 3,089,885 | ||||||||
2,672,291 | SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. LIBOR + 0.39%, 0.70%, due 12/15/39 | 2,285,933 | ||||||||
3,983,397 | South Carolina Student Loan Corp., Series 15-A, Class A, Variable Rate, 1 mo. LIBOR + 1.50%, 1.68%, due 01/25/36 | 3,975,205 | ||||||||
6,989,400 | Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.05%, 1.23%, due 01/25/46 | 6,453,538 | ||||||||
|
| |||||||||
Total Student Loans — Private | 123,439,178 | |||||||||
|
| |||||||||
Time Share — 0.0% | ||||||||||
162,639 | BXG Receivables Note Trust, Series 12-A, Class B, 144A, 3.99%, due 12/02/27 | 162,031 | ||||||||
|
| |||||||||
Total Asset-Backed Securities | 686,597,690 | |||||||||
|
| |||||||||
U.S. Government — 0.2% | ||||||||||
1,586,000 | U.S. Treasury Note, Variable Rate, USBM + 0.12%, 0.22%, due 01/31/21 (c) | 1,586,650 | ||||||||
|
| |||||||||
U.S. Government Agency — 1.3% | ||||||||||
4,443,750 | Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR — 0.02%, 0.30%, due 02/01/25 (b) | 4,292,006 |
32 | 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, 2020 (Unaudited)
Par Value† / Shares | Description | Value ($) | ||||||||
U.S. Government — continued | ||||||||||
4,875,000 | Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + 0.15%, 0.47%, due 10/29/26 (b) | 4,683,329 | ||||||||
2,115,000 | Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR + 0.00%, 0.34%, due 07/01/23 (b) | 2,067,834 | ||||||||
|
| |||||||||
Total U.S. Government Agency | 11,043,169 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $730,543,266) | $ | 699,227,509 | ||||||||
|
| |||||||||
MUTUAL FUNDS — 1.3% |
| |||||||||
United States — 1.3% | ||||||||||
Affiliated Issuers — 1.3% | ||||||||||
2,183,242 | GMO U.S. Treasury Fund | 11,003,541 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $11,003,541) | 11,003,541 | |||||||||
|
|
Shares / Par Value† | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 14.6% |
| |||||||||
Money Market Funds — 0.3% | ||||||||||
2,149,218 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (d) | $ | 2,149,218 | |||||||
|
| |||||||||
U.S. Government — 14.3% | ||||||||||
45,500,000 | U.S. Treasury Bill, 0.10%, due 09/10/20 (e) | 45,499,118 | ||||||||
2,000,000 | U.S. Treasury Bill, 0.20%, due 10/27/20 (e) | 1,999,697 | ||||||||
75,000,000 | U.S. Treasury Bill, 0.11%, due 02/04/21 (e) | 74,964,250 | ||||||||
|
| |||||||||
Total U.S. Government | 122,463,065 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $124,612,457) | $124,612,283 | |||||||||
|
|
Purchased options — 0.0%
Description | Counterparty | Exercise Rate | Expiration Date | Principal/ Notional Amount | Floating Rate Index | Pay/Receive Floating Rate | Value ($) | |||||||||||||||||
Option on Credit Default Swaps — Puts — 0.0% |
| |||||||||||||||||||||||
ITRAXX.EUROPES.33.V1-5Y | DB | 57.50 | % | 10/21/20 | EUR 66,132,000 | Fixed Spread | Pay | 149,393 |
|
| |||||||||
TOTAL PURCHASED OPTIONS (COST $164,257) | 149,393 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 97.3% | 834,992,726 | |||||||||
Other Assets and Liabilities (net) — 2.7% | 23,583,247 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $858,575,973 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2020 is as follows:
Forward Currency Contracts
Settlement | Counterparty | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||||
10/19/2020 | BCLY | EUR | 897,497 | USD | 1,065,337 | (6,796 | ) | |||||||||||||||
10/19/2020 | DB | EUR | 431,522 | USD | 507,510 | (7,978 | ) | |||||||||||||||
10/19/2020 | MSCI | EUR | 2,202,364 | USD | 2,527,176 | (103,729 | ) | |||||||||||||||
10/19/2020 | BOA | USD | 474,738 | EUR | 407,405 | 11,941 | ||||||||||||||||
10/19/2020 | DB | USD | 983,729 | EUR | 858,105 | 41,347 | ||||||||||||||||
10/19/2020 | MSCI | USD | 2,775,914 | EUR | 2,421,273 | 116,495 | ||||||||||||||||
|
| |||||||||||||||||||||
$ | 51,280 | |||||||||||||||||||||
|
|
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||||
Sales | ||||||||||||||
36 | U.S. Treasury Note 5 Yr. (CBT) | December 2020 | $ | 4,537,125 | $ | (6,574 | ) | |||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
See accompanying notes to the financial statements. | 33 |
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
Written Options
Description | Counterparty | Exercise Rate | Expiration | Principal / Notional Amount | Floating Rate Index | Pay/Receive | Value ($) | |||||||||||||||||
Written Options on Credit Default Swaps — Puts | ||||||||||||||||||||||||
ITRAXX.EUROPES.33.V1-5Y | DB | 80.00 | % | 11/18/20 | EUR | (66,132,000 | ) | Fixed Spread | Pay | (79,701) | ||||||||||||||
CDX.NA.IGS.34.V1-5Y | BCLY | 80.00 | % | 11/18/20 | USD | (91,830,000 | ) | Fixed Spread | Pay | (191,489) | ||||||||||||||
| ||||||||||||||||||||||||
TOTAL WRITTEN OPTIONS ON CREDIT DEFAULT SWAPS — PUTS | $(271,190) | |||||||||||||||||||||||
|
Swap Contracts
Centrally Cleared Credit Default Swaps
Reference Entity | Notional | Annual Premium | Implied Credit Spread (1) | Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||||||||||
Buy Protection^: | ||||||||||||||||||||||||||||||||||||
ITRAXX.XOVERS.30.V3-5Y | EUR | 23,024,640 | 5.00% | 3.40% | N/A | 12/20/2023 | Quarterly | (2,406,883 | ) | (1,351,017 | ) | 1,055,866 | ||||||||||||||||||||||||
CDX-NA.HYS.33.V3-5Y | USD | 8,035,200 | 5.00% | 3.56% | N/A | 12/20/2024 | Quarterly | 415,507 | (451,249 | ) | (866,756 | ) | ||||||||||||||||||||||||
CDX-NA.IGS.33.V1-5Y | USD | 49,070,000 | 1.00% | 0.62% | N/A | 12/20/2024 | Quarterly | (417,804 | ) | (785,856 | ) | (368,052 | ) | |||||||||||||||||||||||
ITRAXX.EUROPES.32.V1-5Y | EUR | 29,470,000 | 1.00% | 0.51% | N/A | 12/20/2024 | Quarterly | (859,948 | ) | (749,326 | ) | 110,622 | ||||||||||||||||||||||||
CDX-NA.IGS.34.V1-5Y | USD | 91,830,000 | 1.00% | 0.65% | N/A | 06/20/2025 | Quarterly | (1,388,772 | ) | (1,514,369 | ) | (125,597 | ) | |||||||||||||||||||||||
Sell Protection^: | ||||||||||||||||||||||||||||||||||||
CDX.NA.IGS.28.V1-5Y | USD | 17,200,000 | 1.00% | 0.75% | 17,200,000 USD | 06/20/2022 | Quarterly | 300,982 | 78,914 | (222,068 | ) | |||||||||||||||||||||||||
CDX-NA.HYS.33.V3-5Y | USD | 2,326,500 | 5.00% | 3.56% | 2,326,500 USD | 12/20/2024 | Quarterly | 79,786 | 130,654 | 50,868 | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
$ | (4,277,132 | ) | $ | (4,642,249 | ) | $ | (365,117 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
OTC Credit Default Swaps
Reference Entity | Counterparty | Notional | Annual Premium | Implied Credit Spread (1) | Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||||||||||||
Buy Protection^: | ||||||||||||||||||||||||||||||||||||||||
CDX.NA.IGS.25.V1-5Y | BOA | USD | 4,400,000 | 1.00% | 0.74% | N/A | 12/20/2020 | Quarterly | 710,600 | (13,488 | ) | (724,088 | ) | |||||||||||||||||||||||||||
CDX.NA.IGS.25.V1-5Y | CITI | USD | 4,300,000 | 1.00% | 0.74% | N/A | 12/20/2020 | Quarterly | 547,891 | (13,181 | ) | (561,072 | ) | |||||||||||||||||||||||||||
CDX.NA.HYS.27.V2-5Y | GS | USD | 4,458,000 | 5.00% | 2.33% | N/A | 12/20/2021 | Quarterly | 11,145 | (4,496 | ) | (15,641 | ) | |||||||||||||||||||||||||||
CDX.NA.HYS.27.V2-5Y | JPM | USD | 4,300,000 | 5.00% | 2.33% | N/A | 12/20/2021 | Quarterly | (11,825 | ) | (4,336 | ) | 7,489 | |||||||||||||||||||||||||||
D.R. Horton, Inc. | BCLY | USD | 17,200,000 | 1.00% | 0.12% | N/A | 06/20/2022 | Quarterly | (165,250 | ) | (276,290 | ) | (111,040 | ) | ||||||||||||||||||||||||||
CDX-NA.HYS.29.V1-5Y | JPM | USD | 6,425,250 | 5.00% | 3.15% | N/A | 12/20/2022 | Quarterly | (282,711 | ) | 363,282 | 645,993 | ||||||||||||||||||||||||||||
CDX-NA.HYS.29.V1-5Y | JPM | USD | 870,000 | 5.00% | 3.15% | N/A | 12/20/2022 | Quarterly | (51,765 | ) | 49,190 | 100,955 | ||||||||||||||||||||||||||||
CDX-NA.HYS.29.V1-5Y | MORD | USD | 3,450,800 | 5.00% | 3.15% | N/A | 12/20/2022 | Quarterly | (188,414 | ) | 195,107 | 383,521 | ||||||||||||||||||||||||||||
Navient Corp. | GS | USD | 4,050,000 | 5.00% | 2.83% | N/A | 12/20/2022 | Quarterly | (421,122 | ) | (194,045 | ) | 227,077 | |||||||||||||||||||||||||||
Navient Corp. | GS | USD | 2,700,000 | 5.00% | 2.83% | N/A | 12/20/2022 | Quarterly | (277,471 | ) | (129,363 | ) | 148,108 | |||||||||||||||||||||||||||
Navient Corp. | BCLY | USD | 2,082,800 | 5.00% | 2.83% | N/A | 12/20/2022 | Quarterly | (160,628 | ) | (99,792 | ) | 60,836 | |||||||||||||||||||||||||||
Navient Corp. | BCLY | USD | 3,435,200 | 5.00% | 2.83% | N/A | 12/20/2022 | Quarterly | (264,646 | ) | (164,588 | ) | 100,058 | |||||||||||||||||||||||||||
CDX-NA.HYS.33.V3-5Y | GS | USD | 5,952,000 | 5.00% | 3.83% | N/A | 12/20/2024 | Quarterly | (46,426 | ) | (378,014 | ) | (331,588 | ) | ||||||||||||||||||||||||||
ITRAXX.EUROPES.32.V1-5Y | BOA | EUR | 10,000,000 | 1.00% | 0.55% | N/A | 12/20/2024 | Quarterly | 748,704 | 565,493 | (183,211 | ) | ||||||||||||||||||||||||||||
CMBX.NA.A.7 | CGMI | USD | 1,420,000 | 2.00% | 5.27% | N/A | 01/17/2047 | Monthly | 89,177 | 134,403 | 45,226 | |||||||||||||||||||||||||||||
CMBX.NA.AA.7 | GS | USD | 5,000,000 | 1.50% | 1.38% | N/A | 01/17/2047 | Monthly | 7,975 | (19,043 | ) | (27,018 | ) | |||||||||||||||||||||||||||
CMBX.NA.AS.7 | DB | USD | 7,608,000 | 1.00% | 0.89% | N/A | 01/17/2047 | Monthly | (119,899 | ) | (26,553 | ) | 93,346 |
34 | See accompanying notes to the financial statements. |
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
OTC Credit Default Swaps — (continued)
Reference Entity | Counterparty | Notional | 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 ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||||||||||||
CMBX.NA.AS.7 | BOA | USD | 4,505,000 | 1.00% | 0.89% | N/A | 01/17/2047 | Monthly | 47,352 | (15,723 | ) | (63,075 | ) | |||||||||||||||||||||||||||
CMBX.NA.AS.7 | DB | USD | 16,677,794 | 1.00% | 0.89% | N/A | 01/17/2047 | Monthly | 197,704 | (58,209 | ) | (255,913 | ) | |||||||||||||||||||||||||||
CMBX.NA.AS.7 | GS | USD | 4,400,000 | 1.00% | 0.89% | N/A | 01/17/2047 | Monthly | 112,812 | (15,357 | ) | (128,169 | ) | |||||||||||||||||||||||||||
CMBX.NA.AS.7 | MORD | USD | 13,270,000 | 1.00% | 0.89% | N/A | 01/17/2047 | Monthly | 205,782 | (46,315 | ) | (252,097 | ) | |||||||||||||||||||||||||||
CMBX.NA.AA.8 | CSI | USD | 8,892,000 | 1.50% | 1.85% | N/A | 10/17/2057 | Monthly | 247,717 | 123,693 | (124,024 | ) | ||||||||||||||||||||||||||||
CMBX.NA.AS.8 | MORD | USD | 3,384,000 | 1.00% | 1.14% | N/A | 10/17/2057 | Monthly | 140,432 | 18,822 | (121,610 | ) | ||||||||||||||||||||||||||||
CMBX.NA.AS.8 | CITI | USD | 8,892,000 | 1.00% | 1.14% | N/A | 10/17/2057 | Monthly | 73,095 | 49,458 | (23,637 | ) | ||||||||||||||||||||||||||||
CMBX.NA.BBB-.8 | GS | USD | 6,889,000 | 3.00% | 9.66% | N/A | 10/17/2057 | Monthly | 1,034,610 | 1,555,277 | 520,667 | |||||||||||||||||||||||||||||
CMBX.NA.BBB-.8 | GS | USD | 4,224,000 | 3.00% | 9.66% | N/A | 10/17/2057 | Monthly | 400,908 | 953,620 | 552,712 | |||||||||||||||||||||||||||||
CMBX.NA.AAA.9 | CGMI | USD | 4,000,000 | 0.50% | 0.24% | N/A | 09/17/2058 | Monthly | (17,096 | ) | (51,918 | ) | (34,822 | ) | ||||||||||||||||||||||||||
CMBX.NA.AAA.9 | GS | USD | 2,902,300 | 0.50% | 0.24% | N/A | 09/17/2058 | Monthly | (14,187 | ) | (37,670 | ) | (23,483 | ) | ||||||||||||||||||||||||||
CMBX.NA.AAA.9 | MSCI | USD | 3,328,000 | 0.50% | 0.24% | N/A | 09/17/2058 | Monthly | (31,983 | ) | (43,195 | ) | (11,212 | ) | ||||||||||||||||||||||||||
CMBX.NA.AAA.9 | GS | USD | 10,000,000 | 0.50% | 0.24% | N/A | 09/17/2058 | Quarterly | (102,116 | ) | (129,794 | ) | (27,678 | ) | ||||||||||||||||||||||||||
CMBX.NA.AAA.9 | MORD | USD | 5,000,000 | 0.50% | 0.24% | N/A | 09/17/2058 | Monthly | (51,058 | ) | (64,897 | ) | (13,839 | ) | ||||||||||||||||||||||||||
CMBX.NA.BBB-.9 | MORD | USD | 5,116,800 | 3.00% | 7.89% | N/A | 09/17/2058 | Monthly | 584,727 | 1,052,868 | 468,141 | |||||||||||||||||||||||||||||
CMBX.NA.BBB-.9 | DB | USD | 4,263,000 | 3.00% | 7.89% | N/A | 09/17/2058 | Monthly | 517,160 | 877,184 | 360,024 | |||||||||||||||||||||||||||||
CMBX.NA.BBB-.9 | DB | USD | 4,400,000 | 3.00% | 7.89% | N/A | 09/17/2058 | Monthly | 950,085 | 905,374 | (44,711 | ) | ||||||||||||||||||||||||||||
CMBX.NA.BBB-.9 | GS | USD | 1,760,000 | 3.00% | 7.89% | N/A | 09/17/2058 | Monthly | 346,611 | 362,150 | 15,539 | |||||||||||||||||||||||||||||
CMBX.NA.BBB-.9 | MORD | USD | 2,585,000 | 3.00% | 7.89% | N/A | 09/17/2058 | Monthly | 63,490 | 531,907 | 468,417 | |||||||||||||||||||||||||||||
CMBX.NA.BBB-.9 | CGMI | USD | 3,425,200 | 3.00% | 7.89% | N/A | 09/17/2058 | Monthly | 955,105 | 704,793 | (250,312 | ) | ||||||||||||||||||||||||||||
CMBX.NA.AAA.10 | MSCI | USD | 9,668,400 | 0.50% | 0.28% | N/A | 11/17/2059 | Monthly | (15,090 | ) | (125,583 | ) | (110,493 | ) | ||||||||||||||||||||||||||
CMBX.NA.AAA.10 | MSCI | USD | 1,381,200 | 0.50% | 0.28% | N/A | 11/17/2059 | Monthly | (2,156 | ) | (17,940 | ) | (15,784 | ) | ||||||||||||||||||||||||||
CMBX.NA.A.6 | CGMI | USD | 2,840,000 | 2.00% | 8.09% | N/A | 05/11/2063 | Monthly | 340,958 | 317,592 | (23,366 | ) | ||||||||||||||||||||||||||||
CMBX.NA.AA.6 | GS | USD | 5,000,000 | 1.50% | �� | 1.63% | N/A | 05/11/2063 | Monthly | 35,145 | 12,684 | (22,461 | ) | |||||||||||||||||||||||||||
CMBX.NA.BBB-.6 | CGMI | USD | 4,274,000 | 3.00% | 22.86% | N/A | 05/11/2063 | Monthly | 1,357,351 | 1,356,995 | (356 | ) | ||||||||||||||||||||||||||||
Sell Protection^: | ||||||||||||||||||||||||||||||||||||||||
CDX.NA.HYS.27.V2-5Y | GS | USD | 2,084,000 | 5.00% | 2.33% | 2,084,000 USD | 12/20/2021 | Quarterly | 268,315 | 116,570 | (151,745 | ) | ||||||||||||||||||||||||||||
CDX.NA.HYS.27.V2-5Y | JPM | USD | 8,600,000 | 5.00% | 2.33% | 8,600,000 USD | 12/20/2021 | Quarterly | 1,143,800 | 481,048 | (662,752 | ) | ||||||||||||||||||||||||||||
CDX.NA.HYS.27.V3-5Y | BOA | USD | 8,545,000 | 5.00% | 2.33% | 8,545,000 USD | 12/20/2021 | Quarterly | 1,369,764 | 477,971 | (891,793 | ) | ||||||||||||||||||||||||||||
CDX.NA.HYS.27.V3-5Y | JPM | USD | 7,735,000 | 5.00% | 2.33% | 7,735,000 USD | 12/20/2021 | Quarterly | 1,096,050 | 432,663 | (663,387 | ) | ||||||||||||||||||||||||||||
CDX-NA.HYS.29.V6-5Y | CITI | USD | 5,994,100 | 5.00% | 3.15% | 5,994,100 USD | 12/20/2022 | Quarterly | 229,274 | 459,605 | 230,331 | |||||||||||||||||||||||||||||
CDX.NA.HYS.29.V1-5Y | MORD | USD | 4,264,000 | 5.00% | 3.15% | 4,264,000 USD | 12/20/2022 | Quarterly | 644,717 | 326,948 | (317,769 | ) | ||||||||||||||||||||||||||||
CDX.NA.HYS.29.V1-5Y | BOA | USD | 5,115,600 | 5.00% | 3.15% | 5,115,600 USD | 12/20/2022 | Quarterly | 742,274 | 392,245 | (350,029 | ) | ||||||||||||||||||||||||||||
CDX.NA.HYS.31.V1-5Y | JPM | USD | 18,156,815 | 5.00% | 3.41% | 18,156,815 USD | 12/20/2023 | Quarterly | 3,615,022 | 2,613,856 | (1,001,166 | ) | ||||||||||||||||||||||||||||
ITRAXX.XOVERS.30.V3-5Y | JPM | EUR | 1,281,711 | 5.00% | 3.78% | 1,281,711 EUR | 12/20/2023 | Quarterly | (953,768 | ) | (1,181,644 | ) | (227,876 | ) | ||||||||||||||||||||||||||
ITRAXX.XOVERS.30.V4-5Y | JPM | EUR | 310,239 | 5.00% | 3.78% | 310,239 EUR | 12/20/2023 | Quarterly | (216,624 | ) | (286,018 | ) | (69,394 | ) | ||||||||||||||||||||||||||
CDX-NA.HYS.33.V3-5Y | CITI | USD | 4,185,980 | 5.00% | 3.83% | 4,185,980 USD | 12/20/2024 | Quarterly | 442,946 | 732,505 | 289,559 | |||||||||||||||||||||||||||||
CDX-NA.HYS.33.V3-5Y | GS | USD | 9,508,027 | 5.00% | 3.83% | 9,508,027 USD | 12/20/2024 | Quarterly | 1,343,520 | 1,663,811 | 320,291 | |||||||||||||||||||||||||||||
CDX-NA.HYS.33.V8-5Y | GS | USD | 6,509,493 | 5.00% | 3.83% | 6,509,493 USD | 12/20/2024 | Quarterly | 1,066,493 | 1,139,097 | 72,604 | |||||||||||||||||||||||||||||
CDX-NA.IGS.33.V1-5Y | CITI | USD | 1,472,000 | 1.00% | 0.73% | 1,472,000 USD | 12/20/2024 | Quarterly | (820,051 | ) | (664,974 | ) | 155,077 | |||||||||||||||||||||||||||
CDX.NA.HYS.33.V1-5Y | GS | USD | 25,942,112 | 5.00% | 3.83% | 25,942,112 USD | 12/20/2024 | Quarterly | 5,737,747 | 4,539,615 | (1,198,132 | ) | ||||||||||||||||||||||||||||
ITRAXX.EUROPES.32.V1-5Y | BOA | EUR | 25,000,000 | 1.00% | 0.55% | 25,000,000 EUR | 12/20/2024 | Quarterly | 114,434 | 174,373 | 59,939 | |||||||||||||||||||||||||||||
ITRAXX.EUROPES.32.V1-5Y | GS | EUR | 58,940,000 | 1.00% | 0.55% | 58,940,000 EUR | 12/20/2024 | Quarterly | 2,667,689 | 2,479,992 | (187,697 | ) | ||||||||||||||||||||||||||||
CMBX.NA.A.9 | GS | USD | 6,822,400 | 2.00% | 3.30% | 6,822,400 USD | 09/17/2058 | Monthly | 89,487 | (417,534 | ) | (507,021 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
$ | 26,083,782 | $ | 21,680,231 | $ | (4,403,551 | ) | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
^ | 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. | 35 |
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
(1) | As of August 31, 2020, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract. |
Centrally Cleared Interest Rate Swaps
Fund Pays | Fund Receives | Notional | Expiration Date | Periodic | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||||
1.76% | 3 Month USD LIBOR | USD | 9,700,000 | 11/10/2022 | Quarterly | (3,226 | ) | (328,562 | ) | (325,336 | ) | |||||||||||||||||
0.27% | 3 Month USD LIBOR | USD | 3,700,000 | 05/22/2023 | Quarterly | — | (5,057 | ) | (5,057 | ) | ||||||||||||||||||
0.30% | 3 Month USD LIBOR | USD | 9,750,000 | 08/17/2024 | Quarterly | — | (10,219 | ) | (10,219 | ) | ||||||||||||||||||
1.41% | 3 Month USD LIBOR | USD | 32,360,000 | 08/20/2024 | Quarterly | — | (1,463,447 | ) | (1,463,447 | ) | ||||||||||||||||||
1.33% | 3 Month USD LIBOR | USD | 6,570,000 | 08/29/2024 | Quarterly | — | (276,100 | ) | (276,100 | ) | ||||||||||||||||||
1.80% | 3 Month USD LIBOR | USD | 18,686,000 | 01/18/2025 | Quarterly | (12,720 | ) | (1,235,239 | ) | (1,222,519 | ) | |||||||||||||||||
0.46% | 3 Month USD LIBOR | USD | 884,000 | 04/29/2025 | Quarterly | — | (6,279 | ) | (6,279 | ) | ||||||||||||||||||
0.39% | 3 Month USD LIBOR | USD | 4,400,000 | 05/28/2025 | Quarterly | — | (15,926 | ) | (15,926 | ) | ||||||||||||||||||
0.48% | 3 Month USD LIBOR | USD | 5,200,000 | 04/30/2026 | Quarterly | — | (29,031 | ) | (29,031 | ) | ||||||||||||||||||
0.48% | 3 Month USD LIBOR | USD | 3,200,000 | 05/07/2026 | Quarterly | — | (18,012 | ) | (18,012 | ) | ||||||||||||||||||
1.85% | 3 Month USD LIBOR | USD | 4,000,000 | 05/19/2026 | Quarterly | (7,878 | ) | (334,996 | ) | (327,118 | ) | |||||||||||||||||
0.42% | 3 Month USD LIBOR | USD | 3,940,000 | 06/04/2026 | Quarterly | 2,090 | (8,958 | ) | (11,048 | ) | ||||||||||||||||||
0.48% | 3 Month USD LIBOR | USD | 1,870,000 | 08/19/2027 | Quarterly | — | 794 | 794 | ||||||||||||||||||||
0.88% | 3 Month USD LIBOR | USD | 6,595,000 | 03/06/2028 | Quarterly | (15,632 | ) | (174,490 | ) | (158,858 | ) | |||||||||||||||||
1.94% | 3 Month USD LIBOR | USD | 7,123,000 | 06/04/2028 | Quarterly | (7,452 | ) | (765,109 | ) | (757,657 | ) | |||||||||||||||||
1.95% | 3 Month USD LIBOR | USD | 5,500,000 | 07/30/2028 | Quarterly | (8,135 | ) | (601,142 | ) | (593,007 | ) | |||||||||||||||||
0.56% | 3 Month USD LIBOR | USD | 4,790,000 | 09/01/2028 | Quarterly | — | 3,513 | 3,513 | ||||||||||||||||||||
1.30% | 3 Month USD LIBOR | USD | 10,027,000 | 12/19/2029 | Quarterly | — | (590,359 | ) | (590,359 | ) | ||||||||||||||||||
1.53% | 3 Month USD LIBOR | USD | 3,900,000 | 02/11/2030 | Quarterly | — | (314,012 | ) | (314,012 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (52,953 | ) | $ | (6,172,631 | ) | $ | (6,119,678 | ) | ||||||||||||||||||||
|
|
|
|
|
|
As of August 31, 2020, 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) | Investment valued using significant unobservable inputs (Note 2). |
(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) | 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, 2020. |
(e) | 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 39
.
36 | See accompanying notes to the financial statements. |
GMO U.S. Treasury Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2020 (Unaudited)
Asset Class Summary | % of Total Net Assets | |||
Short-Term Investments | 99.9 | % | ||
Other | 0.1 | |||
|
| |||
100.0 | % | |||
|
|
37
(A Series of GMO Trust)
Schedule of Investment
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Par Value † / Shares | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 99.9% | ||||||||||
U.S. Government — 94.7% | ||||||||||
29,900,000 | U.S. Treasury Bill, 0.12%, due 01/07/21 (a) | 29,887,774 | ||||||||
39,000,000 | U.S. Treasury Bill, 0.11%, due 01/21/21 (a) | 38,983,655 | ||||||||
15,000,000 | U.S. Treasury Note, 1.25%, due 03/31/21 | 15,094,336 | ||||||||
40,000,000 | U.S. Treasury Note, 1.38%, due 04/30/21 | 40,318,750 | ||||||||
30,000,000 | U.S. Treasury Note, 1.38%, due 05/31/21 | 30,274,219 | ||||||||
30,000,000 | U.S. Treasury Note, 1.13%, due 06/30/21 | 30,242,578 | ||||||||
30,000,000 | U.S. Treasury Note, 1.13%, due 07/31/21 | 30,261,328 | ||||||||
30,000,000 | U.S. Treasury Note, 1.13%, due 08/31/21 | 30,287,109 | ||||||||
20,000,000 | U.S. Treasury Note, 1.13%, due 09/30/21 | 20,206,250 | ||||||||
50,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.30%, 0.41%, due 10/31/21 | 50,161,664 | ||||||||
45,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.26%, due 01/31/22 | 45,074,814 | ||||||||
25,000,000 | U.S. Treasury Note, 1.75%, due 02/28/22 | 25,599,610 | ||||||||
|
| |||||||||
Total U.S. Government | 386,392,087 | |||||||||
|
| |||||||||
U.S. Government Agency — 4.9% | ||||||||||
3,000,000 | Federal Home Loan Banks, Variable Rate, SOFR + 0.12%, 0.19%, due 10/07/20 | 3,000,281 | ||||||||
12,000,000 | Federal Home Loan Banks, Variable Rate, SOFR + 0.13%, 0.20%, due 10/16/20 | 12,001,539 | ||||||||
5,000,000 | Federal Home Loan Banks, Variable Rate, SOFR + 0.09%, 0.16%, due 09/10/21 | 5,000,276 | ||||||||
|
| |||||||||
Total U.S. Government Agency | 20,002,096 | |||||||||
|
| |||||||||
Money Market Funds — 0.3% | ||||||||||
1,023,850 | State Street Institutional Treasury Plus Money Market Fund – Premier Class, 0.03% (b) | 1,023,850 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $406,981,704) | 407,418,033 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.9% (Cost $406,981,704) | 407,418,033 | |||||||||
Other Assets and Liabilities (net) ��� 0.1% | 476,525 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $407,894,558 | |||||||||
|
|
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, 2020. |
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 39.
38 | See accompanying notes to the financial statements. |
August 31, 2020 (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.
CHF LIBOR - London Interbank Offered Rate denominated in Swiss Franc.
CJSC - Closed Joint-Stock Company
CLO - Collateralized Loan Obligation
CMBS - Commercial Mortgage Backed Security
CMT - Constant Maturity Treasury
COFI - Cost of Funds Index
CP - Counterparty
ETF - Exchange-Traded Fund
EURIBOR - Euro Interbank Offered Rate
FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.
FSA - Insured as to the payment of principal and interest by Financial Security Assurance.
GBP LIBOR - London Interbank Offered Rate denominated in British Pounds.
GDP - Gross Domestic Product
JSC - Joint-Stock Company
LIBOR - London Interbank Offered Rate
NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.
OJSC - Open Joint-Stock Company
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.
REIT - Real Estate Investment Trust
SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.
SOFR - Secured Overnight Financing Rate
SONIA - Sterling Overnight Interbank Average Rate
TBA - To Be Announced - Delayed Delivery Security
USBM - U.S. Treasury 3 Month Bill Money Market Yield.
USD LIBOR - London Interbank Offered Rate denominated in United States Dollar.
XLCA - Insured as to the payment of principal and interest by XL Capital Assurance Inc.
The rates shown on variable rate notes are the current interest rates at August 31,
2020, which are subject to change based on the terms of the security.
Counterparty Abbreviations:
BCLY - Barclays Bank PLC
BOA - Bank of America, N.A.
CGMI - Citigroup Global Markets Inc.
CITI - Citibank N.A.
CSI - Credit Suisse International
DB - Deutsche Bank AG
GS - Goldman Sachs International
JPM - JPMorgan Chase Bank, N.A.
MORD - Morgan Stanley Capital Services LLC
MSCI - Morgan Stanley & Co. International PLC
Currency Abbreviations:
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
COP - Colombian Peso
CZK - Czech Koruna
DOP - Dominican Peso
EUR - Euro
GBP - British Pound
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - South Korean Won
MXN - Mexican Peso
NOK - Norwegian Krone
NZD - New Zealand Dollar
PEN - Peruvian Sol
PHP - Philippine Peso
PLN - Polish Zloty
RON - Romanian Leu
RUB - Russian Ruble
SEK - Swedish Krona
SGD - Singapore Dollar
THB - Thai Baht
TRY - Turkish Lira
TWD - Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand
See accompanying notes to the financial statements. | 39 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2020 (Unaudited)
Asset Allocation Bond Fund | Emerging Country Debt Fund | High Yield Fund | ||||||||||
Assets: |
| |||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | 5,857,830 | $ | 74,784,247 | $ | — | ||||||
Investments in unaffiliated issuers, at value (Note 2)(b) | 143,817,489 | 4,294,913,972 | 162,105,597 | |||||||||
Foreign currency, at value (Note 2)(c) | — | 1,169,162 | — | |||||||||
Cash | — | 2,753,751 | — | |||||||||
Receivable for investments sold | — | 71,559,064 | — | |||||||||
Dividends and interest receivable | 187,801 | 65,131,807 | 732,769 | |||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | — | 660,940 | — | |||||||||
Receivable for variation margin on open cleared swap contracts (Note 4) | — | — | 69,858 | |||||||||
Due from broker (Note 2) | — | 10,460,150 | 3,147,218 | |||||||||
Receivable for open OTC swap contracts (Note 4) | — | 18,947,848 | — | |||||||||
Interest receivable for open OTC swap contracts (Note 4) | — | 373,821 | — | |||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 11,678 | 5,081 | — | |||||||||
Receivable for options (Note 4)(d) | — | 325,716 | — | |||||||||
Miscellaneous receivable | — | 1,761 | — | |||||||||
|
|
|
|
|
| |||||||
Total assets | 149,874,798 | 4,541,087,320 | 166,055,442 | |||||||||
|
|
|
|
|
| |||||||
Liabilities: |
| |||||||||||
Payable for investments purchased | 887 | 64,490,510 | — | |||||||||
Payable for recoupment of past waived and/or reimbursement fees (Note 5) | — | — | 2,483 | |||||||||
Payable to affiliate for (Note 5): |
| |||||||||||
Management fee | 31,625 | 1,321,981 | 49,018 | |||||||||
Shareholder service fee | 9,824 | 427,919 | 7,703 | |||||||||
Payable to agents unaffiliated with GMO | 54 | 1,212 | 54 | |||||||||
Payable for variation margin on open futures contracts (Note 4) | — | — | 35,445 | |||||||||
Payable for variation margin on open cleared swap contracts (Note 4) | — | 152,818 | — | |||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | — | 8,239,641 | 202,247 | |||||||||
Interest payable for open OTC swap contracts (Note 4) | — | 507,408 | — | |||||||||
Payable for open OTC swap contracts (Note 4) | — | 14,418,910 | — | |||||||||
Payable for options (Note 4)(d) | — | 590,466 | — | |||||||||
Payable to Trustees and related expenses | 2,177 | 11,298 | 457 | |||||||||
Accrued expenses | 135,610 | 541,859 | 91,034 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 180,177 | 90,704,022 | 388,441 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 149,694,621 | $ | 4,450,383,298 | $ | 165,667,001 | ||||||
|
|
|
|
|
| |||||||
(a) Cost of investments – affiliated issuers: | $ | 5,856,994 | $ | 74,296,430 | $ | — | ||||||
(b) Cost of investments – unaffiliated issuers: | $ | 128,810,946 | $ | 4,529,223,087 | $ | 157,656,862 | ||||||
(c) Cost of foreign currency: | $ | — | $ | 1,192,283 | $ | — | ||||||
(d) Premiums on options: | $ | — | $ | 6,219,516 | $ | — |
40 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2020 (Unaudited) — (Continued)
Asset Allocation Bond Fund | Emerging Country Debt Fund | High Yield Fund | ||||||||||
Net assets consist of: |
| |||||||||||
Paid-in capital | $ | 194,373,255 | $ | 4,757,749,995 | $ | 163,144,557 | ||||||
Distributable earnings (accumulated loss) | (44,678,634 | ) | (307,366,697 | ) | 2,522,444 | |||||||
|
|
|
|
|
| |||||||
$ | 149,694,621 | $ | 4,450,383,298 | $ | 165,667,001 | |||||||
|
|
|
|
|
| |||||||
Net assets attributable to: |
| |||||||||||
Class III | $ | 35,885,565 | $ | 1,191,398,065 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class IV | $ | — | $ | 3,258,985,233 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class VI | $ | 113,809,056 | $ | — | $ | 165,667,001 | ||||||
|
|
|
|
|
| |||||||
Shares outstanding: |
| |||||||||||
Class III | 1,486,545 | 44,315,160 | — | |||||||||
|
|
|
|
|
| |||||||
Class IV | — | 121,418,767 | — | |||||||||
|
|
|
|
|
| |||||||
Class VI | 4,700,743 | — | 8,263,504 | |||||||||
|
|
|
|
|
| |||||||
Net asset value per share: |
| |||||||||||
Class III | $ | 24.14 | $ | 26.88 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class IV | $ | — | $ | 26.84 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class VI | $ | 24.21 | $ | — | $ | 20.05 | ||||||
|
|
|
|
|
|
See accompanying notes to the financial statements. | 41 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2020 (Unaudited) — (Continued)
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) | Opportunistic Income Fund | U.S. Treasury Fund | ||||||||||
Assets: |
| |||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | 103,523,800 | $ | 11,003,541 | $ | — | ||||||
Investments in unaffiliated issuers, at value (Note 2)(b) | 310,244,024 | 823,989,185 | 407,418,033 | |||||||||
Foreign currency, at value (Note 2)(c) | — | 71,072 | — | |||||||||
Cash | 1,130 | 238,753 | — | |||||||||
Receivable for investments sold | — | 92,476 | — | |||||||||
Receivable for Fund shares sold | — | 515,825 | — | |||||||||
Receivable for closed swap contracts (Note 4) | 16,851 | 1,615,217 | — | |||||||||
Dividends and interest receivable | 330,265 | 1,880,172 | 587,666 | |||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | 2,686,425 | 169,783 | — | |||||||||
Due from broker (Note 2) | 2,368,717 | 7,825,648 | — | |||||||||
Receivable for variation margin on open futures contracts (Note 4) | 170,666 | — | — | |||||||||
Receivable for open OTC swap contracts (Note 4) | — | 26,160,191 | — | |||||||||
Interest receivable for open OTC swap contracts (Note 4) | — | 1,275,351 | — | |||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 59,972 | 52,363 | 7,710 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 419,401,850 | 874,889,577 | 408,013,409 | |||||||||
|
|
|
|
|
| |||||||
Liabilities: |
| |||||||||||
Foreign currency due to custodian(c) | 8,074 | — | — | |||||||||
Payable for investments purchased | 51,861,039 | 165,729 | — | |||||||||
Payable for Fund shares repurchased | — | 10,000,000 | — | |||||||||
Payable to affiliate for (Note 5): |
| |||||||||||
Management fee | 77,183 | 292,306 | 26,706 | |||||||||
Shareholder service fee | 34,298 | 53,062 | — | |||||||||
Payable to agents unaffiliated with GMO | 132 | 241 | 86 | |||||||||
Payable for variation margin on open futures contracts (Note 4) | — | 1,406 | — | |||||||||
Payable for variation margin on open cleared swap contracts (Note 4) | 208,101 | 218,331 | — | |||||||||
Dividend payable | — | — | 21,994 | |||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | 3,383,121 | 118,503 | — | |||||||||
Interest payable for open OTC swap contracts (Note 4) | — | 490,279 | — | |||||||||
Payable for open OTC swap contracts (Note 4) | — | 4,479,960 | — | |||||||||
Payable to Trustees and related expenses | 2,239 | 2,688 | 5,620 | |||||||||
Written options outstanding, at value (Note 4)(d) | — | 271,190 | — | |||||||||
Accrued expenses | 126,554 | 219,909 | 64,445 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 55,700,741 | 16,313,604 | 118,851 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 363,701,109 | $ | 858,575,973 | $ | 407,894,558 | ||||||
|
|
|
|
|
| |||||||
(a) Cost of investments – affiliated issuers: | $ | 106,599,495 | $ | 11,003,541 | $ | — | ||||||
(b) Cost of investments – unaffiliated issuers: | $ | 295,239,455 | $ | 855,319,980 | $ | 406,981,704 | ||||||
(c) Cost of foreign currency: | $ | — | $ | 70,423 | $ | — | ||||||
(d) Premiums on written options: | $ | — | $ | 457,508 | $ | — |
42 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2020 (Unaudited) — (Continued)
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) | Opportunistic Income Fund | U.S. Treasury Fund | ||||||||||
Net assets consist of: | ||||||||||||
Paid-in capital | $ | 363,939,787 | $ | 953,347,638 | $ | 407,554,910 | ||||||
Distributable earnings (accumulated loss) | (238,678 | ) | (94,771,665 | ) | 339,648 | |||||||
|
|
|
|
|
| |||||||
$ | 363,701,109 | $ | 858,575,973 | $ | 407,894,558 | |||||||
|
|
|
|
|
| |||||||
Net assets attributable to: | ||||||||||||
Core Class | $ | — | $ | — | $ | 407,894,558 | ||||||
|
|
|
|
|
| |||||||
Class III | $ | 81,830,551 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
Class IV | $ | 281,870,558 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
Class VI | $ | — | $ | 692,323,321 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class I | $ | — | $ | 166,252,652 | $ | — | ||||||
|
|
|
|
|
| |||||||
Shares outstanding: | ||||||||||||
Core Class | — | — | 80,971,786 | |||||||||
|
|
|
|
|
| |||||||
Class III | 3,693,113 | — | — | |||||||||
|
|
|
|
|
| |||||||
Class IV | 12,678,480 | — | — | |||||||||
|
|
|
|
|
| |||||||
Class VI | — | 26,745,605 | — | |||||||||
|
|
|
|
|
| |||||||
Class I | — | 6,432,831 | — | |||||||||
|
|
|
|
|
| |||||||
Net asset value per share: | ||||||||||||
Core Class | $ | — | $ | — | $ | 5.04 | ||||||
|
|
|
|
|
| |||||||
Class III | $ | 22.16 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
Class IV | $ | 22.23 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
Class VI | $ | — | $ | 25.89 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class I | $ | — | $ | 25.84 | $ | — | ||||||
|
|
|
|
|
|
See accompanying notes to the financial statements. | 43 |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2020 (Unaudited)
Asset Allocation Bond Fund | Emerging Country Debt Fund | High Yield Fund | ||||||||||
Investment Income: | ||||||||||||
Interest | $ | 937,726 | $ | 120,533,702 | $ | 1,184,791 | ||||||
Dividends from unaffiliated issuers | 1,195 | 432,073 | 1,478,006 | |||||||||
Dividends from affiliated issuers (Note 10) | 11,957 | 115,761 | 7,267 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 950,878 | 121,081,536 | 2,670,064 | |||||||||
|
|
|
|
|
| |||||||
Expenses: |
| |||||||||||
Management fee (Note 5) | 206,997 | 7,231,875 | 281,607 | |||||||||
Shareholder service fee – Class III (Note 5) | 25,747 | 819,323 | — | |||||||||
Shareholder service fee – Class IV (Note 5) | — | 1,520,034 | — | |||||||||
Shareholder service fee – Class VI (Note 5) | 36,099 | — | 44,253 | |||||||||
Audit and tax fees | 41,634 | 84,176 | 36,762 | |||||||||
Custodian, fund accounting agent and transfer agent fees | 19,928 | 334,976 | 25,800 | |||||||||
Legal fees | 10,077 | 115,285 | 8,811 | |||||||||
Registration fees | 4,864 | 38,312 | 680 | |||||||||
Trustees’ fees and related expenses (Note 5) | 3,274 | 67,344 | 2,445 | |||||||||
Interest expense (Note 2) | — | 95,728 | 1,244 | |||||||||
Recoupment of past waived and/or reimbursed fees (Note 5) | — | — | 7,278 | |||||||||
Miscellaneous | 4,366 | 74,002 | 8,349 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 352,986 | 10,381,055 | 417,229 | |||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (72,759 | ) | — | — | ||||||||
Indirectly incurred management fees waived or borne by GMO (Note 5) | (2,884 | ) | (30,142 | ) | (1,839 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 277,343 | 10,350,913 | 415,390 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 673,535 | 110,730,623 | 2,254,674 | |||||||||
|
|
|
|
|
| |||||||
Realized and unrealized gain (loss): | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments in unaffiliated issuers | 7,391,077 | 36,017,439 | 548,538 | |||||||||
Investments in affiliated issuers | 58,744 | — | 30,662 | |||||||||
Futures contracts | — | — | 428,985 | |||||||||
Options | — | (7,034 | ) | — | ||||||||
Swap contracts | — | 33,890,132 | (5,869,039 | ) | ||||||||
Forward currency contracts | — | 269,472 | (555,894 | ) | ||||||||
Foreign currency and foreign currency related transactions | — | 205,803 | 85,096 | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 7,449,821 | 70,375,812 | (5,331,652 | ) | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||
Investments in unaffiliated issuers | 662,684 | (108,570,493 | ) | 4,311,614 | ||||||||
Investments in affiliated issuers | (19,006 | ) | 296,763 | — | ||||||||
Futures contracts | — | — | (36,598 | ) | ||||||||
Options | — | (1,293,884 | ) | — | ||||||||
Swap contracts | — | (19,404,376 | ) | 1,929,278 | ||||||||
Forward currency contracts | — | (9,992,586 | ) | 417,442 | ||||||||
Foreign currency and foreign currency related transactions | — | 147,934 | — | |||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) | 643,678 | (138,816,642 | ) | 6,621,736 | ||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) | 8,093,499 | (68,440,830 | ) | 1,290,084 | ||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | 8,767,034 | $ | 42,289,793 | $ | 3,544,758 | ||||||
|
|
|
|
|
|
44 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2020 (Unaudited) — (Continued)
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) | Opportunistic Income Fund | U.S. Treasury Fund | ||||||||||
Investment Income: | ||||||||||||
Interest | $ | 1,354,704 | $ | 19,219,252 | $ | 635,252 | ||||||
Dividends from affiliated issuers (Note 10) | 1,089,506 | 8,083 | — | |||||||||
Dividends from unaffiliated issuers | 1,143,690 | 13,228 | 5,719 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 3,587,900 | 19,240,563 | 640,971 | |||||||||
|
|
|
|
|
| |||||||
Expenses: |
| |||||||||||
Management fee (Note 5) | 496,879 | 1,537,235 | 138,513 | |||||||||
Shareholder service fee – Class III (Note 5) | 56,565 | — | — | |||||||||
Shareholder service fee – Class IV (Note 5) | 161,042 | — | — | |||||||||
Shareholder service fee – Class VI (Note 5) | — | 195,276 | — | |||||||||
Shareholder service fee – Class I (Note 5) | — | 43,892 | — | |||||||||
Audit and tax fees | 41,634 | 66,289 | 16,986 | |||||||||
Custodian, fund accounting agent and transfer agent fees | 79,112 | 125,121 | 31,680 | |||||||||
Legal fees | 17,657 | 13,580 | 8,366 | |||||||||
Registration fees | 4,828 | 18,144 | 1,848 | |||||||||
Trustees’ fees and related expenses (Note 5) | 7,575 | 12,926 | 4,732 | |||||||||
Interest expense (Note 2) | 9,907 | 709 | — | |||||||||
Miscellaneous | 6,161 | 18,735 | 4,027 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 881,360 | 2,031,907 | 206,152 | |||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (136,615 | ) | (207,593 | ) | (58,506 | ) | ||||||
Indirectly incurred management fees waived or borne by GMO (Note 5) | (204,788 | ) | (2,070 | ) | — | |||||||
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5) | (32,515 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Net expenses | 507,442 | 1,822,244 | 147,646 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 3,080,458 | 17,418,319 | 493,325 | |||||||||
|
|
|
|
|
| |||||||
Realized and unrealized gain (loss): | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments in unaffiliated issuers | 3,161,732 | (761,000 | ) | 898,838 | ||||||||
Investments in affiliated issuers | (1,270,643 | ) | 61,299 | — | ||||||||
Realized gain distributions from affiliated issuers (Note 10) | 220,820 | — | — | |||||||||
Futures contracts | 6,171,866 | 801,368 | — | |||||||||
Written options | — | (57,708 | ) | — | ||||||||
Swap contracts | 7,657,696 | 5,174,925 | — | |||||||||
Forward currency contracts | (1,715,010 | ) | 1,012 | — | ||||||||
Foreign currency and foreign currency related transactions | (827,111 | ) | 5,047 | — | ||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 13,399,350 | 5,224,943 | 898,838 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||
Investments in unaffiliated issuers | 1,040,493 | (29,763,245 | ) | (237,879 | ) | |||||||
Investments in affiliated issuers | (744,796 | ) | (40,861 | ) | — | |||||||
Futures contracts | (1,778,156 | ) | (68,554 | ) | — | |||||||
Written Options | — | 1,694,138 | — | |||||||||
Swap contracts | (4,234,309 | ) | 4,088,374 | — | ||||||||
Forward currency contracts | 495,613 | 82,246 | — | |||||||||
Foreign currency and foreign currency related transactions | 1,918 | (3,996 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) | (5,219,237 | ) | (24,011,898 | ) | (237,879 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) | 8,180,113 | (18,786,955 | ) | 660,959 | ||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | 11,260,571 | $ | (1,368,636 | ) | $ | 1,154,284 | |||||
|
|
|
|
|
|
See accompanying notes to the financial statements. | 45 |
GMO Trust Funds
Statements of Changes in Net Assets
Asset Allocation Bond Fund | Emerging Country Debt Fund | |||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | |||||||||||||
Increase (decrease) in net assets: |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income (loss) | $ | 673,535 | $ | 7,889,067 | $ | 110,730,623 | $ | 221,319,017 | ||||||||
Net realized gain (loss) | 7,449,821 | 6,054,299 | 70,375,812 | 111,192,411 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 643,678 | 15,537,386 | (138,816,642 | ) | 27,585,038 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 8,767,034 | 29,480,752 | 42,289,793 | 360,096,466 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders: | ||||||||||||||||
Class III | (72,392 | ) | (2,812,796 | ) | (30,738,803 | ) | (86,984,349 | ) | ||||||||
Class IV | — | — | (85,667,038 | ) | (184,491,074 | ) | ||||||||||
Class VI | (251,385 | ) | (10,562,420 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (323,777 | ) | (13,375,216 | ) | (116,405,841 | ) | (271,475,423 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | (7,231,868 | ) | (44,781,434 | ) | 68,994,032 | (193,723,603 | ) | |||||||||
Class IV | — | — | 99,873,983 | 310,461,408 | ||||||||||||
Class VI | (85,050,607 | ) | (126,433,401 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (92,282,475 | ) | (171,214,835 | ) | 168,868,015 | 116,737,805 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class III | — | — | 677,525 | 1,185,127 | ||||||||||||
Class IV | — | — | 1,911,308 | 2,605,465 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from purchase premiums and redemption fees | — | — | 2,588,833 | 3,790,592 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (92,282,475 | ) | (171,214,835 | ) | 171,456,848 | 120,528,397 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (83,839,218 | ) | (155,109,299 | ) | 97,340,800 | 209,149,440 | ||||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 233,533,839 | 388,643,138 | 4,353,042,498 | 4,143,893,058 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 149,694,621 | $ | 233,533,839 | $ | 4,450,383,298 | $ | 4,353,042,498 | ||||||||
|
|
|
|
|
|
|
|
46 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
High Yield Fund | Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) | |||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | |||||||||||||
Increase (decrease) in net assets: |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income (loss) | $ | 2,254,674 | $ | 4,998,965 | $ | 3,080,458 | $ | 15,443,713 | ||||||||
Net realized gain (loss) | (5,331,652 | ) | 13,609,310 | 13,399,350 | 33,693,622 | |||||||||||
Change in net unrealized appreciation (depreciation) | 6,621,736 | (3,757,036 | ) | (5,219,237 | ) | 23,835,389 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 3,544,758 | 14,851,239 | 11,260,571 | 72,972,724 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders: | ||||||||||||||||
Class III | — | — | (2,551,326 | ) | (4,223,692 | ) | ||||||||||
Class IV | — | — | (9,048,529 | ) | (27,712,585 | ) | ||||||||||
Class VI | (1,296,440 | ) | (16,679,907 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (1,296,440 | ) | (16,679,907 | ) | (11,599,855 | ) | (31,936,277 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | — | — | 1,398,480 | (8,936,625 | ) | |||||||||||
Class IV | — | — | (167,652,043 | ) | (166,424,406 | ) | ||||||||||
Class VI | 1,969,203 | (49,483,824 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | 1,969,203 | (49,483,824 | ) | (166,253,563 | ) | (175,361,031 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 4,217,521 | (51,312,492 | ) | (166,592,847 | ) | (134,324,584 | ) | |||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 161,449,480 | 212,761,972 | 530,293,956 | 664,618,540 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 165,667,001 | $ | 161,449,480 | $ | 363,701,109 | $ | 530,293,956 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 47 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Opportunistic Income Fund | U.S. Treasury Fund | |||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | |||||||||||||
Increase (decrease) in net assets: |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income (loss) | $ | 17,418,319 | $ | 51,863,736 | $ | 493,325 | $ | 9,860,244 | ||||||||
Net realized gain (loss) | 5,224,943 | 5,513,015 | 898,838 | 1,018,767 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (24,011,898 | ) | (7,623,564 | ) | (237,879 | ) | 864,705 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | (1,368,636 | ) | 49,753,187 | 1,154,284 | 11,743,716 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders: | ||||||||||||||||
Core Class | — | — | (492,200 | ) | (9,860,244 | ) | ||||||||||
Class VI | (7,315,089 | ) | (48,827,021 | ) | — | — | ||||||||||
Class I | (431,114 | ) | (249,504 | )* | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (7,746,203 | ) | (49,076,525 | ) | (492,200 | ) | (9,860,244 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Core Class | — | — | 184,470,847 | (414,899,246 | ) | |||||||||||
Class VI | (123,421,071 | ) | (176,144,018 | ) | — | — | ||||||||||
Class I | 142,551,991 | 22,560,690 | * | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | 19,130,920 | (153,583,328 | ) | 184,470,847 | (414,899,246 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class VI | — | 320,758 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from purchase premiums and redemption fees | — | 320,758 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | 10,016,081 | (152,585,908 | ) | 185,132,931 | (413,015,774 | ) | ||||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 848,559,892 | 1,001,145,800 | 222,761,627 | 635,777,401 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 858,575,973 | $ | 848,559,892 | $ | 407,894,558 | $ | 222,761,627 | ||||||||
|
|
|
|
|
|
|
|
* | Period from November 5, 2019 (commencement of operations) through February 29, 2020. |
48 | See accompanying notes to the financial statements. |
GMO Trust Funds
(For a share outstanding throughout each period)
ASSET ALLOCATION BOND FUND
Class III Shares | Class VI Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.66 | $ | 21.61 | $ | 21.95 | $ | 22.15 | $ | 22.16 | $ | 26.36 | $ | 22.72 | $ | 21.67 | $ | 22.02 | $ | 22.23 | $ | 22.21 | $ | 26.40 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.09 | 0.55 | 0.54 | 0.33 | 0.18 | 0.01 | 0.10 | 0.56 | 0.57 | 0.36 | 0.21 | 0.06 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.44 | 1.52 | 0.18 | (0.31 | ) | (0.19 | ) | (2.58 | ) | 1.44 | 1.53 | 0.18 | (0.33 | ) | (0.19 | ) | (2.61 | ) | ||||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 1.53 | 2.07 | 0.72 | 0.02 | (0.01 | ) | (2.57 | ) | 1.54 | 2.09 | 0.75 | 0.03 | 0.02 | (2.55 | ) | |||||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.05 | ) | (1.02 | ) | (1.06 | ) | (0.22 | ) | — | (1.63 | ) | (0.05 | ) | (1.04 | ) | (1.10 | ) | (0.24 | ) | — | (1.64 | ) | ||||||||||||||||||||||||||||||||||||||
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Total distributions | (0.05 | ) | (1.02 | ) | (1.06 | ) | (0.22 | ) | — | (1.63 | ) | (0.05 | ) | (1.04 | ) | (1.10 | ) | (0.24 | ) | — | (1.64 | ) | ||||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 24.14 | $ | 22.66 | $ | 21.61 | $ | 21.95 | $ | 22.15 | $ | 22.16 | $ | 24.21 | $ | 22.72 | $ | 21.67 | $ | 22.02 | $ | 22.23 | $ | 22.21 | ||||||||||||||||||||||||||||||||||||
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Total Return(b) | 6.75 | %** | 9.74 | % | 3.37 | % | 0.07 | % | (0.05 | )% | (9.88 | )% | 6.80 | %** | 9.83 | % | 3.48 | % | 0.12 | % | 0.09 | % | (9.79 | )% | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 35,886 | $ | 41,124 | $ | 82,801 | $ | 207,008 | $ | 282,272 | $ | 352,828 | $ | 113,809 | $ | 192,410 | $ | 305,842 | $ | 1,019,135 | $ | 1,209,721 | $ | 1,888,505 | ||||||||||||||||||||||||||||||||||||
Net operating expenses to average daily net assets | 0.41 | %(c)* | 0.40 | %(c) | 0.41 | %(c) | 0.41 | % | 0.41 | %(c) | 0.40 | %(c) | 0.32 | %(c)* | 0.31 | %(c) | 0.31 | %(c) | 0.31 | % | 0.31 | %(c) | 0.31 | %(c) | ||||||||||||||||||||||||||||||||||||
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d) | — | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.02 | % | — | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.02 | % | ||||||||||||||||||||||||||||||||||||||
Total net expenses to average daily net assets | 0.41 | %(c)* | 0.40 | %(c) | 0.41 | %(c) | 0.41 | % | 0.41 | %(c) | 0.42 | %(c) | 0.32 | %(c)* | 0.31 | %(c) | 0.31 | %(c) | 0.31 | % | 0.31 | %(c) | 0.33 | %(c) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 0.77 | %* | 2.49 | % | 2.48 | % | 1.50 | % | 0.81 | % | 0.03 | % | 0.82 | % * | 2.49 | % | 2.57 | % | 1.59 | % | 0.94 | % | 0.27 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 19 | %(f)** | 16 | %(f) | 59 | %(f) | 89 | % | 130 | %(f) | 177 | % | 19 | %(f)** | 16 | %(f) | 59 | %(f) | 89 | % | 130 | %(f) | 177 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.09 | %(g)* | 0.06 | %(g) | 0.04 | % | 0.02 | % | 0.02 | % | 0.03 | % | 0.09 | %(g)* | 0.06 | %(g) | 0.04 | % | 0.02 | % | 0.02 | % | 0.03 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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) | 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. |
(e) | Rounds to less than 0.01%. |
(f) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2020, and the years ended February 29, 2020, February 28, 2019 and February 28, 2017, including transactions in USTF, was 25%, 37%, 88% and 126%, respectively, of the average value of its portfolio. |
(g) | Ratio includes 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)
EMERGING COUNTRY DEBT FUND
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017(a) | 2016(a) | 2020 | 2019 | 2018 | 2017(a) | 2016(a) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 27.38 | $ | 26.82 | $ | 28.62 | $ | 28.99 | $ | 26.01 | $ | 28.47 | $ | 27.34 | $ | 26.77 | $ | 28.57 | $ | 28.95 | $ | 25.98 | $ | 28.44 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.68 | 1.44 | 1.36 | 1.36 | 1.94 | 1.53 | 0.68 | 1.43 | 1.37 | 1.39 | 1.95 | 1.53 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.47 | ) | 0.91 | (1.19 | ) | 0.32 | 3.01 | (c) | (2.04 | ) | (0.46 | ) | 0.94 | (1.19 | ) | 0.29 | 3.01 | (c) | (2.01 | ) | ||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 0.21 | 2.35 | 0.17 | 1.68 | 4.95 | (0.51 | ) | 0.22 | 2.37 | 0.18 | 1.68 | 4.96 | (0.48 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.40 | ) | (1.79 | ) | (1.97 | ) | (2.05 | ) | (1.97 | ) | (1.95 | ) | (0.41 | ) | (1.80 | ) | (1.98 | ) | (2.06 | ) | (1.99 | ) | (1.98 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | (0.31 | ) | — | — | — | — | — | (0.31 | ) | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||
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Total distributions | (0.71 | ) | (1.79 | ) | (1.97 | ) | (2.05 | ) | (1.97 | ) | (1.95 | ) | (0.72 | ) | (1.80 | ) | (1.98 | ) | (2.06 | ) | (1.99 | ) | (1.98 | ) | ||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 26.88 | $ | 27.38 | $ | 26.82 | $ | 28.62 | $ | 28.99 | $ | 26.01 | $ | 26.84 | $ | 27.34 | $ | 26.77 | $ | 28.57 | $ | 28.95 | $ | 25.98 | ||||||||||||||||||||||||||||||||||||
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Total Return(d) | 0.92 | %** | 8.97 | % | 0.97 | % | 5.81 | % | 19.47 | % | (1.77 | )% | 0.95 | %** | 9.08 | % | 1.02 | % | 5.83 | % | 19.50 | % | (1.73 | )% | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 1,191,398 | $ | 1,133,945 | $ | 1,294,577 | $ | 1,273,188 | $ | 1,067,086 | $ | 827,667 | $ | 3,258,985 | $ | 3,219,098 | $ | 2,849,316 | $ | 2,862,977 | $ | 3,018,159 | $ | 3,099,809 | ||||||||||||||||||||||||||||||||||||
Net operating expenses to average daily net assets(e) | 0.54 | %* | 0.53 | % | 0.52 | % | 0.53 | % | 0.54 | % | 0.54 | % | 0.49 | %* | 0.48 | % | 0.47 | % | 0.48 | % | 0.49 | % | 0.49 | % | ||||||||||||||||||||||||||||||||||||
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(f) | 0.00 | %(g)* | 0.01 | % | 0.02 | % | 0.00 | %(g) | — | 0.00 | %(g) | 0.00 | %(g)* | 0.01 | % | 0.02 | % | 0.00 | %(g) | — | 0.00 | %(g) | ||||||||||||||||||||||||||||||||||||||
Total net expenses to average daily net assets(e) | 0.54 | %* | 0.54 | % | 0.54 | % | 0.53 | % | 0.54 | % | 0.54 | % | 0.49 | %* | 0.49 | % | 0.49 | % | 0.48 | % | 0.49 | % | 0.49 | % | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 5.33 | %* | 5.23 | % | 4.99 | % | 4.57 | % | 6.76 | % | 5.58 | % | 5.37 | %* | 5.22 | % | 5.04 | % | 4.67 | % | 6.81 | % | 5.60 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 29 | %(h)** | 41 | %(h) | 15 | %(h) | 34 | %(h) | 21 | %(h) | 20 | % | 29 | %(h)** | 41 | %(h) | 15 | %(h) | 34 | %(h) | 21 | %(h) | 20 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(i) | 0.00 | %(g)* | 0.00 | %(g) | 0.00 | %(g) | 0.00 | %(g) | 0.00 | %(g) | 0.00 | %(g) | 0.00 | %(g)* | 0.00 | %(g) | 0.00 | %(g) | 0.00 | %(g) | 0.00 | %(g) | 0.00 | %(g) | ||||||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.02 | $ | 0.03 | $ | 0.03 | $ | 0.03 | $ | 0.04 | (a) | $ | 0.04 | (a) | $ | 0.02 | $ | 0.03 | $ | 0.03 | $ | 0.03 | $ | 0.04 | (a) | $ | 0.04 | (a) |
(a) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any. |
(c) | 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. |
(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) | Interest and dividend expense and/or borrowing costs incurred as a result of entering into reverse repurchase agreements or securities sold short, 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) | Rounds to less than 0.01%. |
(h) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 28%, 40%, 15%, 33% and 23%, respectively, of the average value of its portfolio. |
(i) | Ratio includes 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)
HIGH YIELD FUND
Class VI Shares | |||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | Period From June 25, 2018 (commencement of operations) through February 28, 2019 | |||||||||||||
Net asset value, beginning of period | $ | 19.94 | $ | 20.21 | $ | 20.00 | |||||||||
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Income (loss) from investment operations: | |||||||||||||||
Net investment income (loss)(a)† | 0.27 | 0.48 | 0.27 | ||||||||||||
Net realized and unrealized gain (loss) | 0.02 | 0.82 | 0.71 | ||||||||||||
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Total from investment operations | 0.29 | 1.30 | 0.98 | ||||||||||||
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Less distributions to shareholders: | |||||||||||||||
From net investment income | (0.16 | ) | (1.57 | ) | (0.61 | ) | |||||||||
From net realized gains | (0.02 | ) | — | (0.16 | ) | ||||||||||
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Total distributions | (0.18 | ) | (1.57 | ) | (0.77 | ) | |||||||||
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Net asset value, end of period | $ | 20.05 | $ | 19.94 | $ | 20.21 | |||||||||
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Total Return(b) | 1.49 | %** | 6.40 | % | 5.07 | %** | |||||||||
Ratios/Supplemental Data: | |||||||||||||||
Net assets, end of period (000’s) | $ | 165,667 | $ | 161,449 | $ | 212,762 | |||||||||
Net operating expenses to average daily net assets(c)(d) | 0.52 | %* | 0.52 | % | 0.51 | %* | |||||||||
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e) | 0.00 | %(g)* | 0.03 | % | 0.04 | %* | |||||||||
Total net expenses to average daily net assets(c)(d) | 0.52 | %* | 0.55 | % | 0.55 | %* | |||||||||
Net investment income (loss) to average daily net assets(a) | 2.80 | %* | 2.34 | % | 2.00 | %* | |||||||||
Portfolio turnover rate(f) | 199 | %** | 105 | % | 81 | %** | |||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.00 | %(g)(h)* | 0.00 | %(g)(h) | 0.12 | %* |
(a) | Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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) | Includes recoupment of past reimbursed and/or waived fees (Note 5). |
(e) | 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. |
(f) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2020, and the years ended February 29, 2020 and February 28, 2019, including transactions in USTF, was 216%, 214% and 159%, respectively, of the average value of its portfolio. |
(g) | Rounds to less than 0.01%. |
(h) | Ratio includes 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)
MULTI-SECTOR FIXED INCOME FUND (FORMERLY CORE PLUS BOND FUND)
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017(a) | 2016(a) | 2020 | 2019 | 2018 | 2017(a) | 2016(a) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.19 | $ | 20.88 | $ | 20.93 | $ | 21.10 | $ | 21.39 | $ | 23.43 | $ | 22.26 | $ | 20.94 | $ | 20.98 | $ | 21.15 | $ | 21.45 | $ | 23.49 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.18 | 0.53 | 0.51 | 0.41 | 0.26 | 0.24 | 0.17 | 0.54 | 0.48 | 0.46 | 0.24 | 0.27 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.52 | 2.01 | 0.49 | (0.06 | ) | 0.25 | (1.14 | ) | 0.53 | 2.02 | 0.53 | (0.10 | ) | 0.29 | (1.17 | ) | ||||||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 0.70 | 2.54 | 1.00 | 0.35 | 0.51 | (0.90 | ) | 0.70 | 2.56 | 1.01 | 0.36 | 0.53 | (0.90 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | — | (0.64 | ) | (1.05 | ) | (0.52 | ) | (0.80 | ) | (1.14 | ) | — | (0.65 | ) | (1.05 | ) | (0.53 | ) | (0.83 | ) | (1.14 | ) | ||||||||||||||||||||||||||||||||||||||
From net realized gains | (0.73 | ) | (0.59 | ) | — | — | — | — | (0.73 | ) | (0.59 | ) | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||
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Total distributions | (0.73 | ) | (1.23 | ) | (1.05 | ) | (0.52 | ) | (0.80 | ) | (1.14 | ) | (0.73 | ) | (1.24 | ) | (1.05 | ) | (0.53 | ) | (0.83 | ) | (1.14 | ) | ||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 22.16 | $ | 22.19 | $ | 20.88 | $ | 20.93 | $ | 21.10 | $ | 21.39 | $ | 22.23 | $ | 22.26 | $ | 20.94 | $ | 20.98 | $ | 21.15 | $ | 21.45 | ||||||||||||||||||||||||||||||||||||
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Total Return(c) | 3.19 | %** | 12.38 | % | 4.88 | % | 1.61 | % | 2.44 | % | (3.93 | )% | 3.18 | %** | 12.44 | % | 4.93 | % | 1.68 | % | 2.55 | % | (3.91 | )% | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 81,831 | $ | 80,639 | $ | 84,163 | $ | 34,641 | $ | 22,172 | $ | 52,187 | $ | 281,871 | $ | 449,655 | $ | 580,456 | $ | 920,637 | $ | 566,433 | $ | 215,060 | ||||||||||||||||||||||||||||||||||||
Net operating expenses to average daily net assets(d) | 0.30 | %* | 0.29 | % | 0.29 | % | 0.29 | % | 0.35 | % | 0.35 | % | 0.25 | %* | 0.24 | % | 0.24 | % | 0.24 | % | 0.30 | % | 0.30 | % | ||||||||||||||||||||||||||||||||||||
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e) | 0.00 | %(f)* | 0.00 | %(f) | 0.00 | %(f) | 0.00 | %(f) | 0.00 | %(f) | 0.01 | % | 0.00 | %(f)* | 0.00 | %(f) | 0.00 | %(f) | 0.00 | %(f) | 0.00 | %(f) | 0.01 | % | ||||||||||||||||||||||||||||||||||||
Total net expenses to average daily net assets(d) | 0.30 | %* | 0.29 | % | 0.29 | % | 0.29 | % | 0.35 | % | 0.36 | % | 0.25 | %* | 0.24 | % | 0.24 | % | 0.24 | % | 0.30 | % | 0.31 | % | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 1.58 | %* | 2.43 | % | 2.41 | % | 1.91 | % | 1.21 | % | 1.14 | % | 1.54 | %* | 2.47 | % | 2.29 | % | 2.14 | % | 1.10 | % | 1.17 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 114 | %(g)** | 215 | %(g) | 201 | %(g) | 198 | %(g) | 216 | %(g) | 21 | % | 114 | %(g)** | 215 | %(g) | 201 | %(g) | 198 | %(g) | 216 | %(g) | 21 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(h) | 0.19 | %* | 0.16 | % | 0.16 | % | 0.14 | % | 0.30 | % | 0.21 | % | 0.19 | %* | 0.16 | % | 0.15 | % | 0.14 | % | 0.26 | % | 0.21 | % |
(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 other GMO Funds and/or other investment companies 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) | Interest and dividend expense and/or borrowing costs incurred as a result of entering into reverse repurchase agreements or securities sold short, 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. |
(f) | Rounds to less than 0.01%. |
(g) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 157%, 285%, 250%, 221% and 325%, respectively, of the average value of its portfolio. |
(h) | Ratio includes indirect fees waived or borne by GMO. |
† | 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)
OPPORTUNISTIC INCOME FUND
Class VI Shares | Class I Shares | |||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29 | Six Months Ended August 31, 2020 (Unaudited) | Period from November 5, 2019 (commencement of operations) through February 29, 2020 | |||||||||||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 26.15 | $ | 26.21 | $ | 26.41 | $ | 25.78 | $ | 24.57 | $ | 24.80 | $ | 26.12 | $ | 26.85 | ||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.58 | 1.46 | 1.32 | 1.15 | 0.96 | 0.53 | 0.52 | 0.54 | ||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.56 | ) | (0.06 | ) | (0.38 | ) | 0.18 | 0.89 | (0.34 | ) | (0.54 | ) | (0.08 | ) | ||||||||||||||||||||||||||
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| |||||||||||||||||||||||||
Total from investment operations | 0.02 | 1.40 | 0.94 | 1.33 | 1.85 | 0.19 | (0.02 | ) | 0.46 | |||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.28 | ) | (1.46 | ) | (1.14 | ) | (0.70 | ) | (0.64 | ) | (0.42 | ) | (0.26 | ) | (1.19 | ) | ||||||||||||||||||||||||
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Total distributions | (0.28 | ) | (1.46 | ) | (1.14 | ) | (0.70 | ) | (0.64 | ) | (0.42 | ) | (0.26 | ) | (1.19 | ) | ||||||||||||||||||||||||
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| |||||||||||||||||||||||||
Net asset value, end of period | $ | 25.89 | $ | 26.15 | $ | 26.21 | $ | 26.41 | $ | 25.78 | $ | 24.57 | (b) | $ | 25.84 | $ | 26.12 | |||||||||||||||||||||||
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Total Return(c) | 0.08 | %** | 5.45 | % | 3.58 | % | 5.18 | % | 7.62 | % | 0.77 | % | (0.05 | )%** | 1.80 | %** | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 692,323 | $ | 825,876 | $ | 1,001,146 | $ | 1,205,954 | $ | 1,510,894 | $ | 1,648,019 | $ | 166,253 | $ | 22,684 | ||||||||||||||||||||||||
Net operating expenses to average daily net assets(d) | 0.46 | %* | 0.47 | % | 0.49 | % | 0.47 | % | 0.33 | % | 0.31 | % | 0.65 | %* | 0.66 | %* | ||||||||||||||||||||||||
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e) | 0.00 | %(f)* | 0.00 | %(f) | 0.00 | %(f) | 0.00 | %(f) | 0.00 | %(f) | 0.00 | %(f) | 0.00 | %(f)* | 0.00 | %(f)* | ||||||||||||||||||||||||
Total net expenses to average daily net assets(d) | 0.46 | %* | 0.47 | % | 0.49 | % | 0.47 | % | 0.33 | % | 0.31 | % | 0.65 | %* | 0.66 | %* | ||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 4.58 | %* | 5.50 | % | 4.99 | % | 4.39 | % | 3.82 | % | 2.13 | % | 4.01 | %* | 6.55 | %* | ||||||||||||||||||||||||
Portfolio turnover rate | 14 | %(g)** | 47 | %(g) | 75 | %(g) | 152 | %(g) | 66 | %(g) | 66 | % | 14 | %(g)** | 47 | %(g)** | ||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.05 | %(h)* | 0.04 | %(h) | 0.04 | % | 0.03 | % | 0.04 | % | 0.03 | % | 0.08 | %(h)* | 0.07 | %(h)* | ||||||||||||||||||||||||
$ | — | $ | 0.01 | $ | 0.05 | $ | 0.04 | $ | 0.03 | $ | 0.04 | $ | — | $ | — |
(a) | Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any. |
(b) | 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. |
(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) | 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. |
(f) | Rounds to less than 0.01%. |
(g) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 17%, 48%, 83%, 175% and 75%, respectively, of the average value of its portfolio. |
(h) | Ratio includes 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. | 53 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
U.S. TREASURY FUND
Core Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2020 | 2019(a) | 2018(a) | 2017(a) | 2016(a) | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 5.02 | $ | 5.00 | $ | 5.00 | $ | 5.01 | $ | 5.01 | $ | 5.01 | ||||||||||||||||||
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| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)† | 0.01 | 0.10 | 0.10 | 0.05 | 0.02 | 0.01 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.02 | 0.02 | 0.01 | (0.01 | ) | 0.00 | (b) | 0.00 | (b) | |||||||||||||||||||||
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| |||||||||||||||||||
Total from investment operations | 0.03 | 0.12 | 0.11 | 0.04 | 0.02 | 0.01 | ||||||||||||||||||||||||
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| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.01 | ) | (0.10 | ) | (0.11 | ) | (0.05 | ) | (0.02 | ) | (0.01 | ) | ||||||||||||||||||
From net realized gains | — | — | — | — | (0.00 | )(b) | (0.00 | )(b) | ||||||||||||||||||||||
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| |||||||||||||||||||
Total distributions | (0.01 | ) | (0.10 | ) | (0.11 | ) | (0.05 | ) | (0.02 | ) | (0.01 | ) | ||||||||||||||||||
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| |||||||||||||||||||
Net asset value, end of period | $ | 5.04 | $ | 5.02 | $ | 5.00 | $ | 5.00 | $ | 5.01 | $ | 5.01 | ||||||||||||||||||
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| |||||||||||||||||||
Total Return(c) | 0.55 | %** | 2.47 | % | 2.16 | % | 0.96 | % | 0.54 | % | 0.19 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 407,895 | $ | 222,762 | $ | 635,777 | $ | 2,324,706 | $ | 2,666,697 | $ | 4,033,504 | ||||||||||||||||||
Net expenses to average daily net assets | 0.09 | % * | 0.06 | % | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | ||||||||||||||||||
Net investment income (loss) to average daily net assets | 0.28 | % * | 2.03 | % | 1.97 | % | 1.06 | % | 0.47 | % | 0.16 | % | ||||||||||||||||||
Portfolio turnover rate(e) | 0 | % ** | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.03 | % * | 0.05 | % | 0.10 | % | 0.09 | % | 0.10 | % | 0.10 | % |
(a) | Per share amounts were adjusted to reflect an approximate 5 for 1 stock split effective December 6, 2018. |
(b) | Rounds to 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) | Rounds to less than 0.01%. |
(e) | Portfolio turnover rate calculation excludes short-term investments. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
54 | See accompanying notes to the financial statements. |
GMO Trust Funds
August 31, 2020 (Unaudited)
1. | Organization |
Each of Asset Allocation Bond Fund, Emerging Country Debt Fund, High Yield Fund, Multi-Sector Fixed Income Fund (formerly Core Plus Bond 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 | FTSE 3-Month Treasury Bill Index | Total return in excess of benchmark | ||
Emerging Country Debt Fund | J.P. Morgan EMBI Global Diversified | Total return in excess of benchmark | ||
High Yield Fund | Markit iBoxx USD Liquid High Yield Index | Total return in excess of benchmark | ||
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) | Bloomberg Barclays U.S. Aggregate Index | Total return in excess of benchmark | ||
Opportunistic Income Fund | Not Applicable | 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 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
Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.
Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is
55
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
between the closing bid and ask prices. If the last sale price is not within that range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value.
The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below).
“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.
In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.
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 fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2020, 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.
U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.
The three levels are defined as follows:
Level 1 – Valuations based on quoted prices for identical securities in active markets.
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).
Level 2 – Valuations determined using other significant direct or indirect observable inputs.
The types of assets and liabilities categorized in Level 2 generally include certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or
56
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.
Level 3 – Valuations based primarily on inputs that are unobservable and significant.
The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they may be valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; certain sovereign debt securities valued using comparable securities issued by the sovereign adjusted by a specified spread; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price and potential litigation recoveries and interests related to bankruptcy proceedings.
The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2020:
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Asset Allocation Bond Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
U.S. Government | $ | — | $ | 143,687,333 | $ | — | $ | 143,687,333 | ||||||||
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| |||||||||
TOTAL DEBT OBLIGATIONS | — | 143,687,333 | — | 143,687,333 | ||||||||||||
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| |||||||||
Mutual Funds | 5,857,830 | — | — | 5,857,830 | ||||||||||||
Short-Term Investments | 130,156 | — | — | 130,156 | ||||||||||||
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|
| |||||||||
Total Investments | 5,987,986 | 143,687,333 | — | 149,675,319 | ||||||||||||
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| |||||||||
Total | $ | 5,987,986 | $ | 143,687,333 | $ | — | $ | 149,675,319 | ||||||||
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| |||||||||
Emerging Country Debt Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 30,554,261 | $ | — | $ | 30,554,261 | ||||||||
Corporate Debt | — | 171,282,557 | 31,494,173 | 202,776,730 | ||||||||||||
Foreign Government Agency | — | 1,081,181,982 | 104,396,951 | 1,185,578,933 | ||||||||||||
Foreign Government Obligations | — | 2,505,078,781 | 133,083,713 | 2,638,162,494 | ||||||||||||
U.S. Government | 148,453,342 | — | — | 148,453,342 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 148,453,342 | 3,788,097,581 | 268,974,837 | 4,205,525,760 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Loan Assignments | — | — | 23,534,091 | 23,534,091 | ||||||||||||
Loan Participations | — | — | 40,250,733 | 40,250,733 | ||||||||||||
Mutual Funds | 74,784,247 | — | — | 74,784,247 | ||||||||||||
Rights/Warrants | — | 14,346,091 | 119,117 | 14,465,208 | ||||||||||||
Short-Term Investments | 11,138,180 | — | — | 11,138,180 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 234,375,769 | 3,802,443,672 | 332,878,778 | 4,369,698,219 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 660,940 | — | 660,940 | ||||||||||||
Options | ||||||||||||||||
Credit Risk | — | — | 325,716 | 325,716 | ||||||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | 21,536,717 | — | 21,536,717 | ||||||||||||
Interest Rate Risk | — | 548,047 | — | 548,047 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 234,375,769 | $ | 3,825,189,376 | $ | 333,204,494 | $ | 4,392,769,639 | ||||||||
|
|
|
|
|
|
|
| |||||||||
57
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Emerging Country Debt Fund (continued) | ||||||||||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (8,239,641 | ) | $ | — | $ | (8,239,641 | ) | ||||||
Options | ||||||||||||||||
Credit Risk | — | — | (590,466 | ) | (590,466 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | (11,129,982 | ) | — | (11,129,982 | ) | ||||||||||
Interest Rate Risk | — | (7,668,428 | ) | — | (7,668,428 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (27,038,051 | ) | $ | (590,466 | ) | $ | (27,628,517 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
Corporate Debt | $ | — | $ | 54,684,545 | $ | — | $ | 54,684,545 | ||||||||
U.S. Government | 150,249 | — | — | 150,249 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 150,249 | 54,684,545 | — | 54,834,794 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | 75,648,385 | — | — | 75,648,385 | ||||||||||||
Short-Term Investments | 17,458,991 | 14,163,427 | — | 31,622,418 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 93,257,625 | 68,847,972 | — | 162,105,597 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 40,397 | — | — | 40,397 | ||||||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | 1,676,579 | — | 1,676,579 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 93,298,022 | $ | 70,524,551 | $ | — | $ | 163,822,573 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (202,247 | ) | $ | — | $ | (202,247 | ) | ||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | (5,363 | ) | — | — | (5,363 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (5,363 | ) | $ | (202,247 | ) | $ | — | $ | (207,610 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 67,651,710 | $ | — | $ | 67,651,710 | ||||||||
U.S. Government | 27,252,536 | — | — | 27,252,536 | ||||||||||||
U.S. Government Agency | — | 51,850,422 | — | 51,850,422 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 27,252,536 | 119,502,132 | — | 146,754,668 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | 65,543,887 | — | — | 65,543,887 | ||||||||||||
Mutual Funds | 103,523,800 | — | — | 103,523,800 | ||||||||||||
Short-Term Investments | 3,165,756 | 94,779,713 | — | 97,945,469 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 199,485,979 | 214,281,845 | — | 413,767,824 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 2,686,425 | — | 2,686,425 | ||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 148,805 | — | — | 148,805 | ||||||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | 2,123,413 | — | 2,123,413 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 199,634,784 | $ | 219,091,683 | $ | — | $ | 418,726,467 | ||||||||
|
|
|
|
|
|
|
| |||||||||
58
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) (continued) | ||||||||||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (3,383,121 | ) | $ | — | $ | (3,383,121 | ) | ||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | (13,350 | ) | — | — | (13,350 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | (1,078,912 | ) | — | (1,078,912 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (13,350 | ) | $ | (4,462,033 | ) | $ | — | $ | (4,475,383 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Opportunistic Income Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 661,679,161 | $ | 24,918,529 | $ | 686,597,690 | ||||||||
U.S. Government | 1,586,650 | — | — | 1,586,650 | ||||||||||||
U.S. Government Agency | — | — | 11,043,169 | 11,043,169 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 1,586,650 | 661,679,161 | 35,961,698 | 699,227,509 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | 11,003,541 | — | — | 11,003,541 | ||||||||||||
Short-Term Investments | 124,612,283 | — | — | 124,612,283 | ||||||||||||
Purchased Options | — | 149,393 | — | 149,393 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 137,202,474 | 661,828,554 | 35,961,698 | 834,992,726 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 169,783 | — | 169,783 | ||||||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | 26,369,759 | — | 26,369,759 | ||||||||||||
Interest Rate Risk | — | 4,307 | — | 4,307 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 137,202,474 | $ | 688,372,403 | $ | 35,961,698 | $ | 861,536,575 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (118,503 | ) | $ | — | $ | (118,503 | ) | ||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | (6,574 | ) | — | — | (6,574 | ) | ||||||||||
Written Options | ||||||||||||||||
Credit Risk | — | (271,190 | ) | — | (271,190 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | (9,331,777 | ) | — | (9,331,777 | ) | ||||||||||
Interest Rate Risk | — | (6,176,938 | ) | — | (6,176,938 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (6,574 | ) | $ | (15,898,408 | ) | $ | — | $ | (15,904,982 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
U.S. Treasury Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Short-Term Investments | $ | 407,418,033 | $ | — | $ | — | $ | 407,418,033 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 407,418,033 | — | — | 407,418,033 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 407,418,033 | $ | — | $ | — | $ | 407,418,033 | ||||||||
|
|
|
|
|
|
|
| |||||||||
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.
59
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
^ | In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). 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. Certain underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds’ Notes to Financial Statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.
U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Emerging Country Debt Fund’s Level 3 holdings also include the Republic of Albania Par Bond, due 8/31/25, which is valued by applying a 140 basis point spread to the yield of the U.S. Treasury Strip Principal, due 8/15/25, Empresa Nacional de Electricidad SA, due 2/01/97 which is valued based on a comparable bond and applying a 200 basis point discount for liquidity considerations and a Republic of Kenya loan agreement, which is valued by applying 500 basis point yield spread to a comparable bond. Opportunistic Income Fund’s Level 3 holdings also consists of three U.S. Agency for International Development Floater Bonds which were valued using current LIBOR yield and adjusted by 150 basis points for liquidity considerations and six asset backed securities which were either adjusted for additional cashflow projections discounted for timing and likelihood of receipt, valued using the latest transaction of a comparable bond, or priced in line with broker marks. There were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at August 31, 2020.
For Funds with material total Level 3 assets and/or liabilities, the following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:
Balances as of February 29, 2020 | 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, 2020 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2020 | |||||||||||||||||||||||||||||||
Emerging Country Debt Fund | ||||||||||||||||||||||||||||||||||||||||
Debt Obligations | ||||||||||||||||||||||||||||||||||||||||
Corporate Debt | $ | 29,902,115 | $ | — | $ | — | $ | (806 | ) | $ | — | $ | 1,592,864 | $ | — | $ | — | $ | 31,494,173 | $ | 1,592,864 | |||||||||||||||||||
Foreign Government Agency | 170,402,802 | — | (25,952,601 | ) | 8,005,038 | 1,595,536 | (49,653,824 | ) | — | — | 104,396,951 | (43,880,196 | ) | |||||||||||||||||||||||||||
Foreign Government Obligations | 173,035,182 | 1,465,730 | (8,323,335 | ) | 13,887,212 | — | (46,981,076 | ) | — | — | 133,083,713 | (46,135,194 | ) | |||||||||||||||||||||||||||
Loan Assignments | 14,402,514 | 11,639,508 | (1,059,476 | ) | 281,380 | — | (1,729,835 | ) | — | — | 23,534,091 | (1,729,835 | ) | |||||||||||||||||||||||||||
Loan Participations | 47,750,729 | 2,632,500 | (7,701,233 | ) | 1,226,005 | — | (3,657,268 | ) | — | — | 40,250,733 | (3,657,267 | ) | |||||||||||||||||||||||||||
Rights/Warrants | 2,082,394 | — | — | — | (5,892,796 | ) | 3,929,519 | — | — | 119,117 | (883,216 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments | 437,575,736 | 15,737,738 | (43,036,645 | ) | 23,398,829 | (4,297,260 | ) | (96,499,620 | ) | — | — | 332,878,778 | (94,692,844 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Derivatives | ||||||||||||||||||||||||||||||||||||||||
Options | 1,036,169 | — | — | — | (7,034 | ) | (1,293,885 | ) | — | — | (264,750 | ) | (935,551 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 438,611,905 | $ | 15,737,738 | $ | (43,036,645 | )# | $ | 23,398,829 | $ | (4,304,294 | ) | $ | (97,793,505 | ) | $ | — | $ | — | $ | 332,614,028 | $ | (95,628,395 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
60
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Balances as of February 29, 2020 | 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, 2020 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2020 | |||||||||||||||||||||||||||||||
Opportunistic Income Fund | ||||||||||||||||||||||||||||||||||||||||
Debt Obligations | ||||||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 25,989,481 | $ | 30 | $ | (1,985,348 | ) | $ | 99,380 | $ | — | $ | (1,358,139 | ) | $ | 2,173,125 | ‡ | $ | — | $ | 24,918,529 | $ | (1,358,139 | ) | ||||||||||||||||
U.S. Government Agency | 12,228,802 | — | (1,221,250 | ) | 16,406 | — | 19,211 | — | — | 11,043,169 | 19,211 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 38,218,283 | $ | 30 | $ | (3,206,598 | )## | $ | 115,786 | $ | — | $ | (1,338,928 | ) | $ | 2,173,125 | $ | — | $ | 35,961,698 | $ | (1,338,928 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
# | Includes $13,337,682 of proceeds received from partial calls and/or principal paydowns as applicable. |
## | Includes $3,206,598 of proceeds received from partial calls and/or principal paydowns as applicable. |
‡ | Financial assets transferred between levels were due to a change in observable and/or unobservable inputs. |
Some Funds have material Level 3 investments. The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended August 31, 2020.
Quantitative information about Level 3 Fair Value Measurements*
Investment Type | Total Fair Value ($) | Valuation Methodology | Unobservable Inputs | Range (Weighted Average) | ||||||||||||
Emerging Country Debt Fund | ||||||||||||||||
Foreign Government Olbigations | 45,728,738 | Fair Value | Discount for lack of liquidity/marketabilty | 1.40% (N/A) | ||||||||||||
Corporate Debt | 31,494,173 | Fair Value | Discount for lack of liquidity/marketabilty | 2.00% (N/A) | ||||||||||||
Loan Assignments and Participations | 6,661,882 | Fair Value | Discount for lack of liquidity/marketabilty | 5.00%-6.00% (5.14%) | ||||||||||||
Options | (264,750) | Fair Value | Probability of CDS threshold event | <5% (N/A) | ||||||||||||
Warrants | 0 | Fair Value | Probability of warrant payment trigger | <5% (N/A) | ||||||||||||
Opportunistic Income Fund | ||||||||||||||||
Asset-Backed Securities | 5,778,548 | Fair Value | Probability and timing of cash flow receipt | 25-75% (N/A) | ||||||||||||
Asset-Backed Securities | 5,739,000 | Fair Value | Broker mark of comparable bond | N/A (N/A) | ||||||||||||
Asset-Backed Securities | 9,508,800 | Fair Value | | Trade correlation with observed comparable bond | | N/A (N/A) | ||||||||||
Government Agency | 11,043,169 | Fair Value | Discount for lack of liquidity/marketabilty | 1.50% (N/A) |
* | The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of August 31, 2020, the value of these securities and/or derivatives for Emerging Country Debt Fund and Opportunistic Income Fund was $248,993,985 and $3,892,181, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated. |
Cash
Cash and foreign currency, if any, in 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.
61
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (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 in 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.
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” in Note 4 “Derivative financial instruments”. 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.
Repurchase agreements
The Funds may enter into repurchase agreements with banks and brokers. Under a repurchase agreement a Fund acquires a security for a relatively short period for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities it acquired under the repurchase agreement. The value of the securities acquired may be less than the amount owed to the Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency proceedings and the value of the securities subject to the repurchase agreement is insufficient, the Fund’s recovery of cash from the seller may be delayed and, even if the Fund is able to dispose of the securities, the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. Repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
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Reverse repurchase agreements
The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. Reverse repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Inflation-indexed bonds
The Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation/deflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation/deflation into the principal value of the bond. Many other issuers adjust the coupon accruals for inflation related changes.
The market price of inflation-indexed bonds normally changes when real interest rates change. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e. stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e. nominal interest rate minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. Coupon payments received by a Fund from inflation-indexed bonds are generally included in the Fund’s gross income for the period in which they accrue. In addition, any increase/decrease in the principal amount of an inflation-indexed bond is generally included in the Fund’s gross income even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Delayed delivery commitments and when-issued securities
The Funds (except U.S. Treasury Fund) may purchase or sell securities on a when-issued or forward commitment basis. Payment and delivery may take place a month or more after the date of the transaction. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The purchase of when-issued or delayed delivery securities can cause a Fund’s portfolio to be leveraged. Investments in when-issued securities also present the risk that the security will not be issued or delivered. Delayed delivery commitments outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Short sales
Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the dividend and/or interest payable on such securities, if any, are reflected as a liability in 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. U.S. Treasury Fund will generally pay dividends on the first business day following the end of each month in which dividends were declared. Accrued dividends in respect of a shareholder’s partial redemption of U.S. Treasury Fund shares redeemed between monthly payment dates will be paid on the first business day following the end of the month in which redemptions are made. Accrued dividends in respect of a shareholder’s complete redemption of U.S. Treasury Fund shares between monthly payment dates will be paid with the redemption proceeds. 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
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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. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the period ended August 31, 2020, 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.
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 a Fund’s tax basis earnings and profits, if significant, are reported in the Funds’ financial statements as a return of capital.
As of February 29, 2020, certain Funds elected to defer to March 1, 2020 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 Deferral ($) | ||||||
Asset Allocation Bond Fund | (166,200) | — | ||||||
Emerging Country Debt Fund | — | — | ||||||
High Yield Fund | — | — | ||||||
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) | (1,188,513) | — | ||||||
Opportunistic Income Fund | — | — | ||||||
U.S. Treasury Fund | — | (29,427) |
As of February 29, 2020, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 29, 2020, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:
Fund Name | Short-Term ($) | Long-Term ($) | ||||||
Asset Allocation Bond Fund | (27,013,502) | (40,161,402) | ||||||
Emerging Country Debt Fund | — | — | ||||||
High Yield Fund | — | — | ||||||
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) | (291,118) | (24,729,028) | ||||||
Opportunistic Income Fund | — | (66,270,766) | ||||||
U.S. Treasury Fund | (941,359) | (25,858) |
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As of August 31, 2020, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments for U.S. federal income tax purposes were as follows:
Total Investments | Outstanding Financial Instruments | |||||||||||||||||||
Fund Name | Aggregate Cost ($) | Gross Unrealized Appreciation ($) | Gross Unrealized (Depreciation) ($) | Net Unrealized Appreciation (Depreciation) ($) | Net Unrealized Appreciation (Depreciation) ($) | |||||||||||||||
Asset Allocation Bond Fund | 134,786,004 | 14,889,315 | — | 14,889,315 | — | |||||||||||||||
Emerging Country Debt Fund | 4,741,553,242 | 351,836,374 | (723,691,397) | (371,855,023) | (16,707,757) | |||||||||||||||
High Yield Fund | 157,670,574 | 5,132,709 | (697,686) | 4,435,023 | 1,465,643 | |||||||||||||||
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) | 401,866,335 | 15,079,711 | (3,178,222) | 11,901,489 | 425,070 | |||||||||||||||
Opportunistic Income Fund | 870,935,734 | 18,588,238 | (54,531,246) | (35,943,008) | (10,657,322) | |||||||||||||||
U.S. Treasury Fund | 406,981,704 | 437,008 | (679) | 436,329 | — |
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 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 underlying funds, if any, 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/deflation 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).
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Custodian, Fund Accounting Agent and Transfer Agent
State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent. Cash balances maintained at the custodian and 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 (e.g., 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. For example, GMO 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), and 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).
As of August 31, 2020, the premium on cash purchases and the fee on cash redemptions were as follows:
Asset Allocation Bond Fund | Emerging Country Debt Fund(1) | High Yield Fund | Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) | Opportunistic Income Fund(2) | U.S. Treasury Fund | |||||||
Purchase Premium | — | 1.00% | — | — | — | — | ||||||
Redemption Fee | — | 1.00% | — | — | — | — |
(1) | For the periods from May 8, 2020 to July 31, 2020, March 25, 2020 to May 8, 2020, March 16, 2020 to March 25, 2020, February 1, 2016 to March 16, 2020 the premiums on purchases and the fee on redemptions were each 1.50%, 2.00%, 1.15% and 0.75%, respectively, of the amount invested or redeemed. Prior to February 1, 2016, the premiums on purchases and the fee on redemptions were each 0.50% of the amount invested or redeemed. |
(2) | Prior to June 30, 2019, the premiums on purchases and the fee on redemptions were each 0.40% of the amount invested or redeemed. |
Recently-issued accounting guidance
In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, “Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting”. The amendments in the ASU provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other interbank-offered based reference rates as of the end of 2021. The ASU is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying this ASU on the Funds’ financial statements.
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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 | Emerging Country Debt Fund | High Yield Fund | Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) | Opportunistic Income Fund | U.S. Treasury Fund | |||||||
Commodities Risk | X | |||||||||||
Counterparty Risk | X | X | X | X | X | X | ||||||
Credit Risk | X | X | X | X | X | X | ||||||
Currency Risk | X | X | X | X | X | |||||||
Derivatives and Short Sales Risk | X | X | X | X | X | |||||||
Focused Investment Risk | X | X | X | X | X | |||||||
Fund of Funds Risk | X | X | X | X | X | |||||||
Futures Contracts Risk | X | X | X | |||||||||
Illiquidity Risk | X | X | X | X | X | |||||||
Large Shareholder Risk | X | X | X | X | X | X | ||||||
Leveraging Risk | X | X | X | X | X | |||||||
Management and Operational Risk | X | X | X | X | X | X | ||||||
Market Disruption and Geopolitical Risk | X | X | X | X | X | X | ||||||
Market Risk – Asset-Backed Securities | X | X | X | X | ||||||||
Market Risk – Equities | X | X | ||||||||||
Market Risk – Fixed Income | X | X | X | X | X | X | ||||||
Non-Diversified Funds | X | X | X | X | X | |||||||
Non-U.S. Investment Risk | X | X | X | X | X | |||||||
Smaller 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. Please see the Funds’ prospectus for more information regarding the risks of investing in the Funds.
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
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expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through Underlying Funds.
An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.
• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner. In addition, the value of commodity-related derivatives or indirect investments in commodities may fluctuate more than the commodity, commodities or commodity index to which they relate. See “Derivatives and Short Sales Risk” for a discussion of specific risks of a Fund’s derivatives investments, including commodity-related derivatives.
• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise be forced to hold investments it would prefer to sell, resulting in losses for the Fund. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws, regulations or other requirements. The Funds are not subject to any limit on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.
Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms longer than six months (and, in some cases, decades). The creditworthiness of a counterparty can be expected to 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 if the Fund’s interest in the collateral is not perfected or additional collateral is not posted promptly as required. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean that a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty). Counterparty risk also will be greater if a counterparty’s obligations exceed the value of the collateral held by the Fund (if any).
The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds. Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Funds’ ability to exercise remedies, such as the termination of transactions,
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netting of obligations or realization on collateral, could be stayed or eliminated under special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities 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 obligors of obligations underlying an asset-backed security will be unable or unwilling to satisfy their obligation to pay principal and interest or otherwise to honor their obligations in a timely manner. The market price of a fixed income investment will normally decline as a result (and/or in anticipation) of the issuer’s, guarantor’s, or obligors’ failure to meet their payment obligations or a downgrading of the credit rating of the investment. This risk is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Fixed income investments also are subject to illiquidity risk. See “Illiquidity Risk.”
All fixed income investments are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending upon whether the issuer is a corporation, a government or government entity, whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the term of a fixed income investment. U.S. government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the United States, supported by the ability to borrow from the U.S. Treasury, supported only by the credit of the issuing U.S. government agency, instrumentality, or corporation, or otherwise supported by the United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign or quasi-sovereign debt involve the risk that the governmental entities responsible for repayment will 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 can be expected to 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 will default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging countries.
In many cases, the credit risk and market price of a fixed income investment are reflected in its credit ratings, and a Fund holding a rated investment is subject to the risk that the investment’s rating will be downgraded, resulting in a decrease in the market price of the fixed income investment.
Securities issued by the U.S. government historically have presented minimal credit risk. However, events in 2011 led several major rating agencies to downgrade the long-term credit rating of U.S. bonds and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest on U.S. government securities would decrease, the market price of a Fund’s investments and increase the volatility of a Fund’s portfolio.
As described under “Market Risk — Asset-Backed Securities,” asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors, as described under “Market Risk — Asset-Backed Securities.” The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors.
A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives and Short Sales Risk” for more information regarding risks associated with the use of credit default swaps.
The extent to which the market price of a fixed income investment changes in response to a credit event depends on many factors and can be difficult to predict. For example, even though the effective duration of a long-term floating rate security is very short, an adverse credit event or change in the perceived creditworthiness of its issuer could cause its market price to decline much more than its effective duration would suggest.
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Credit risk is particularly pronounced for below investment grade investments (commonly referred to as “high yield” or “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 typically 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 is likely to lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of a default of sovereign debt, the Funds may be unable to pursue legal action against the issuer.
• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position will decline in value. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund is likely to realize a loss on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk.”
Many of the Funds use derivatives to take currency positions that are under- or over-weighted (in some cases significantly) relative to the currency exposure of their portfolios and their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money on both its holdings of a particular currency and the derivative. See also “Non-U.S. Investment Risk.”
Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars or may only be able to do so at an unfavorable exchange rate. Exchange rates for many currencies are affected by exchange control regulations.
Derivative transactions in foreign currencies (such as futures, forward contracts, 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, but are not limited to, futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other OTC contracts.
The use of derivatives involves risks that are in addition to, and potentially greater than, the risks of investing directly in securities. In particular, a Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed, or the position transferred, only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid the cost and unpredictability of legal proceedings. The Fund, therefore, runs the risk of being unable to obtain payments GMO believes are owed to it under an OTC derivatives contract or of those payments being 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., forward currency contracts), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s fundamental fair (or intrinsic) value, or (iv) do not require that collateral be regularly
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marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs a greater risk of not being able to recover what it is owed if the counterparty defaults. Derivatives also present other risks described in this section, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk.
Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation and exposes the Funds to the risk that the pricing models used do not produce valuations that are consistent with the values the Funds realize when they close or sell 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, the Funds run a risk that inaccurate valuations will result in increased cash payments to counterparties, under-collateralization and/or errors in the calculation of the Funds’ net asset values.
A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the cost of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty.
Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk”) and counterparty risk (see “Counterparty Risk”). These derivatives also are subject to documentation risk, which is the risk that ambiguities, inconsistencies or errors in the documentation relating to a derivative transaction will 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 could result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk.”
Special tax rules apply to a Fund’s transactions in derivatives, which could increase the taxes payable by shareholders subject to U.S. income taxation. In particular, a Fund’s derivative transactions potentially could cause a substantial portion of the Fund’s distributions to be taxable at ordinary income tax rates. In addition, the tax treatment of a Fund’s use of derivatives will sometimes be unclear. See the Funds’ Prospectus and Statement of Additional Information for more information.
Derivatives Regulation. The U.S. government has enacted legislation that provides for 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 evolving, 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 derivative 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 derivative positions. Also, as a general matter, in contrast to a bilateral derivative position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivative 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 derivative positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy, and any increase in margin held by a clearing member could expose a Fund to greater credit risk to its clearing member. 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. 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 generally is less favorable to the Funds than the documentation for typical bilateral derivatives. For
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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 are likely to 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 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. Variation margin requirements became effective in March 2017 and initial margin requirements will become effective in 2020 or 2021. Such requirements could increase the amount of margin a Fund needs to post in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.
These and other 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 evolving, and, therefore, their potential impact on the Funds and the financial system are not yet known. While these 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 different kinds of costs and risks.
The SEC recently reproposed a rule under the 1940 Act regulating the use by registered investment companies of derivatives and many related instruments. The ultimate impact, if any, of such a rule is unclear, but the reproposed rule, if adopted, could, among other things, restrict a Fund’s ability to continue to engage in derivatives transactions in the manner it has historically and increase the costs of derivatives transactions, which could have an adverse impact on a Fund’s performance.
Options. Some Funds are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights at 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.
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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.
Short Investment Exposure. Some Funds may sell securities or currencies short as part of their investment programs in an attempt to increase their returns or for hedging purposes. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange a security or currency to replace the borrowed security or currency when the security or currency sold short has appreciated in value, thus resulting in a loss to the Fund. Purchasing a security or currency to close out a short position can itself cause the price of the security or currency to rise further, thereby exacerbating any losses. A Fund that sells short a security or currency it does not own typically pays borrowing fees to a broker and is required to pay the broker any dividends or interest it receives on a borrowed security.
A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index.
Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.
• FOCUSED INVESTMENT RISK. Funds with investments that are focused in a limited number of asset classes, sectors, industries, issuers, currencies, countries, or regions (or in sectors within a country or region) that are subject to the same or similar risk factors and Funds with investments whose prices are closely correlated are subject to greater overall risk than Funds with investments that are more diversified or whose prices are not as closely correlated.
A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of those issuers’ securities than Funds investing in the securities of a larger number of issuers. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens and often react similarly to specific economic, market, political or other developments.
Similarly, Funds having a significant portion of their assets in investments tied economically to a particular geographic region, country or market (e.g., emerging markets), or to sectors within a region, country, or market (e.g., Russian oil) have more exposure to regional and country economic risks than do 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. A Fund that invests in Underlying Funds (including underlying GMO Funds) is exposed to the risk that the Underlying Funds will not perform as expected. A Fund also is indirectly exposed to all of the risks to which the Underlying Funds are exposed.
Because, absent reimbursement, a Fund bears the fees and expenses of an Underlying Fund (including purchase premiums and redemption fees, if any), the Fund will incur additional expenses when investing in an Underlying Fund. In addition, total Fund expenses will increase if a Fund makes a new or further investment in Underlying Funds with higher fees or expenses than the average fees and expenses of the Underlying Funds then in the Fund’s portfolio.
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In addition, to the extent a Fund invests in shares of underlying GMO Funds, it is indirectly subject to Large Shareholder Risk when an underlying GMO Fund has large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk.”
At any particular time, one Underlying Fund may be purchasing securities of an issuer whose securities are being sold by another Underlying Fund, resulting in a Fund that holds each Underlying Fund indirectly incurring the costs associated with the two transactions without changing its exposure to those securities.
Investments in exchange-traded funds (“ETFs”) involve the risk that an ETF’s performance will not track the performance of the index it is designed to track. In addition, ETFs often use derivatives to track the performance of an index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed in “Derivatives and Short Sales Risk.” ETFs are investment companies that typically hold a portfolio of securities designed to track the price, performance, and dividend yield of a particular securities market index (or sector of an index). As investment companies, ETFs incur their own management and other fees and expenses, such as trustee fees, operating expenses, registration fees, and marketing expenses, and a Fund that invests in ETFs bears a proportionate share of such fees and expenses. As a result, an investment by a Fund in an ETF could result in higher expenses and lower returns than if the Fund were to invest directly in the securities underlying the ETF.
A Fund’s investments in one or more Underlying Funds could affect the amount, timing and character of its distributions and could cause the Fund to recognize taxable income in excess of the cash generated by such investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.
The SEC recently adopted a rule that will change the regulatory framework under which some registered investment companies are permitted to invest in other registered investment companies (the “Fund of Funds Rule”). The impact of the Fund of Funds Rule is still under review but could adversely affect the Funds by, among other things, limiting the number of shares of other registered investment companies (such as other Funds or exchange-traded funds) or pooled investment vehicles that a Fund is permitted to purchase.
• FUTURES CONTRACTS RISK. The risk of loss to a Fund resulting from its use of futures contracts (or “futures”) is potentially unlimited. Futures markets are highly volatile, and the use of futures contracts increases the volatility of the Fund’s net asset value. A Fund’s ability to establish and close out positions in futures contracts is subject to the development and maintenance of a liquid secondary market. A liquid secondary market may not exist for any particular futures contract at any particular time, and a Fund might be unable to effect closing transactions to terminate its exposure to the contract. In using futures contracts, a Fund relies on GMO’s ability to predict market and price movements correctly. The skills needed to use futures contracts successfully are different from those needed for traditional portfolio management. If a Fund uses futures contracts for hedging purposes, it runs the risk that changes in the prices of the contracts will not correlate perfectly with changes in the securities, index, or other asset underlying the contracts or movements in the prices of the Fund’s investments that are the subject of the hedge.
A Fund typically will be required to post margin with its futures commission merchant in connection with its positions in futures contracts. If the Fund has insufficient cash to meet margin requirements, the Fund typically will have to sell other investments at disadvantageous times. A Fund also runs the risk of being unable to recover or be delayed in recovering margin or other amounts deposited with a futures commission merchant or futures clearinghouse. For example, should the futures commission merchant become insolvent, a Fund may be unable to recover all (or any) of the margin it has deposited or realize the value of any increase in the price of its positions.
The Commodity Futures Trading Commission (the “CFTC”) and the various exchanges have established limits (referred to as “speculative position limits”) on the maximum net long or net short positions that any person and certain of its affiliated entities may hold or control in a particular futures contract. In addition, an exchange may impose trading limits on the number of contracts a person may trade on a particular day. An exchange may order the liquidation of positions found to be in violation of these limits, and it may impose sanctions or restrictions. In addition, the Dodd-Frank Wall Street Reform and Consumer Protection Act requires the CFTC to establish speculative position limits on listed futures and economically equivalent OTC derivatives, and those limits may adversely affect the market liquidity of those futures and derivatives. As a result of such limits, positions held by other GMO clients or by GMO or its affiliates could 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 are not subject to regulation by the CFTC or other U.S. regulators. U.S. regulators neither regulate the activities of a foreign exchange nor have the power to compel enforcement of the rules of a foreign exchange or the laws of the country where the exchange is located. In addition, foreign futures contracts may be less liquid and more volatile than U.S. contracts.
• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size, or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits, delays or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed, defaulted or other low quality debt securities, emerging country debt or equity securities or securities of companies with smaller market capitalizations or smaller total float-adjusted market capitalizations, 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 tends to 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 often more susceptible than other securities to price declines when market prices decline generally.
A Fund may buy securities or other investments that are less liquid than those in its benchmark. The more illiquid investments a Fund has, the greater the likelihood of its paying redemption proceeds in-kind.
The Board of Trustees has designated GMO as administrator to the Funds’ liquidity risk management program, which was adopted by the Funds pursuant to Rule 22e-4 under the 1940 Act. Under that program, each Fund is required to classify its investments into specific liquidity categories and monitor compliance with limits on illiquid investments. The term “illiquid investments” for purposes of the program means investments that GMO reasonably expects cannot be sold or disposed of under current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investments. While the liquidity risk management program is designed to assist in the assessment and management of illiquidity risk, there is no guarantee it will be effective in reducing the illiquidity risk inherent in a Fund’s investments.
Historically, credit markets have experienced periods characterized by a significant lack of liquidity, and they may experience similar periods in the future. If a Fund is required to sell illiquid investments to satisfy collateral posting requirements or to meet redemptions, those sales could put significant downward price pressure on the market price of 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 would 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, 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, adversely affecting the Fund’s performance to the extent that the Fund is required to sell investments when it would not have otherwise done so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for Fund shareholders. Further, from time to time a Fund may trade in anticipation of a purchase or redemption order that ultimately is not received or differs in size from the actual order, leading to temporary underexposure or overexposure to the Fund’s intended investment program. In addition, redemptions and purchases of shares by a large shareholder or group of shareholders could limit the use of any capital losses (including capital loss carryforwards) to offset realized capital gains (if any) and
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other losses that would otherwise reduce distributable net investment income. In addition, large shareholders may limit or prevent a Fund’s use of equalization for U.S. federal tax purposes.
To the extent a Fund invests in other GMO Funds subject to large shareholder risk, the Fund is indirectly subject to this risk.
• LEVERAGING RISK. The use of traditional borrowing (including to meet redemption requests), reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e. a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e. a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives, similar to short sales, have the potential for unlimited loss, regardless of the size of the initial investment. Similarly, a Fund’s portfolio will be leveraged and can incur losses if the value of the Fund’s assets declines between the time a redemption request is received or deemed to be received by a Fund (which in some cases is the business day prior to actual receipt by the Fund of the redemption request) and the time at which the Fund liquidates assets to meet redemption requests. Such a decline in the value of a Fund’s assets is more likely in the case of Funds managed from GMO’s non-U.S. offices for which the time period between the determination of net asset value and corresponding liquidation of assets could be longer due to time zone differences. In the case of redemptions representing a significant portion of a Fund’s portfolio, the leverage effects described above can be significant and could expose a Fund and non-redeeming shareholders to material losses.
A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.
Some Funds are permitted to purchase securities on margin or to sell securities short, either of which creates leverage. To the extent the market prices of securities pledged to counterparties to secure a Fund’s margin account or short sale decline, the Fund may be required to deposit additional funds with the counterparty to avoid having the pledged securities liquidated.
• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.
For many Funds, GMO uses quantitative models as part of its investment process. Those Funds run the risk that GMO’s models will not accurately predict future market movements or characteristics. In addition, GMO’s models are based on assumptions that can limit their effectiveness, and they rely on data that is subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. The Funds also run the risk that GMO’s assessment of an investment (including a security’s fundamental fair (or intrinsic) value) is wrong. 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 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 operational risks resulting from other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other operational services. Examples of such operational risks include the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors could prevent a Fund from benefiting from investment gains or avoiding losses. In addition, a service provider may be unable to provide a net asset value 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 have effects similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or
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digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and disrupting operations. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release or misappropriation of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses and additional compliance costs. The Funds’ service providers regularly experience cyber-attacks and expect they will continue to do so. While GMO has established business continuity plans and systems designed to prevent, detect and respond to cyber-attacks, those plans and systems have inherent limitations. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could have material adverse consequences for those issuers and result in a decline in the market price of their securities. Furthermore, as a result of cyber-attacks, technological disruptions, malfunctions, or failures, an exchange or market may close or suspend trading in specific securities or the entire market, which could prevent the Funds from, among other things, buying or selling securities or accurately pricing their investments. The Funds cannot directly control cyber security plans and systems of their service providers, the Funds’ counterparties, issuers of securities in which the Funds invest, or securities markets and exchanges, and such service providers, counterparties, or issuers may have limited, if any, indemnification obligations to GMO or the Funds, each of whom could be negatively impacted as a result.
• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars, pandemics and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby reducing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or in other economic inputs (e.g., the marked decline in oil prices in late 2014, as well as in early 2020) may have material and unexpected effects on both global securities markets and individual countries, regions, sectors, companies, or industries. Terrorism in the United States and around the world has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation or other fraudulent trading practices, which could disrupt their orderly functioning or reduce the prices of securities traded on them, including securities held by the Funds. Fraud and other deceptive practices committed by an issuer of securities held by a Fund undermine GMO’s due diligence efforts and, when discovered, will likely cause a steep decline in the market price of those securities and thus negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively affect a Fund’s investment program.
While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in the recent past) would be highly disruptive to the U.S. and global securities markets and could significantly reduce the value of the Funds’ investments. Similarly, political events within the United States have resulted, and may in the future result, in shutdowns of government services, which could adversely affect the U.S. economy, reduce the value of many Fund investments, and impair the operation of the U.S. or other securities markets. Climate change regulation (such as decarbonization legislation or other mandatory controls to reduce emissions of greenhouse gases) could significantly affect many of the companies in which the Funds invest by, among other things, increasing those companies’ operating costs and capital expenditures. Uncertainty over the sovereign debt of several European Union countries, as well as uncertainty over the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the United States and around the world. If a country changes its currency or if the European Union dissolves, the world’s securities markets likely would be significantly disrupted. On January 31, 2020, the United Kingdom formally withdrew from the European Union (commonly known as “Brexit”), and an 11-month transition period commenced during which most European Union law will continue to apply in the United Kingdom while it negotiates its future relationship with the European Union. While the full impact of Brexit is unknown, Brexit has already resulted in volatility in European and global markets. Potential negative long-term effects could include, among others, greater market volatility and illiquidity, disruptions to world securities markets, currency fluctuations, deterioration in economic activity, a decrease in business confidence, and an increased likelihood of a recession in the United Kingdom. The consequences of the United Kingdom’s or another country’s exit from the European Union also could threaten the stability of the Euro and could negatively affect the financial markets of other countries in the European region and beyond, which may include companies or assets held or considered for prospective investment by GMO.
War, terrorism, economic uncertainty, and related geopolitical events, such as sanctions, tariffs, the imposition of exchange controls or other cross-border trade barriers, have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. For example, the U.S. has imposed economic sanctions, which consist of asset freezes, restrictions on dealings in debt and equity, and certain industry-specific restrictions. These
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types of sanctions have recently been applied against the Venezuelan and Russian governments, as well as against certain Russian and Venezuelan officials and institutions. These sanctions have resulted, and any additional sanctions or intergovernmental actions or even the threat of further sanctions could result, in a decline in the value and liquidity of Russian and Venezuelan securities, a weakening of the Russian and Venezuelan currencies or other adverse consequences to their respective economies. Sanctions impair the ability of the Funds to buy, sell, receive or deliver those securities and/or assets that are subject to the sanctions. In addition, trade disputes (such as the “trade war” between the United States and China that intensified in 2018 and 2019) may affect investor and consumer confidence and adversely affect financial markets and the broader economy, perhaps suddenly and to a significant degree. Events such as these and their impact on the Funds are difficult to predict.
Natural and environmental disasters (such as the earthquake and tsunami in Japan in early 2011), epidemics or pandemics (such as the outbreak of a novel coronavirus beginning in late 2019 (described below)), and systemic market dislocations (such as the kind surrounding the insolvency of Lehman Brothers in 2008) can be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment and the market price of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices or to offer them on a more limited basis. To the extent a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.
An outbreak of respiratory disease caused by a novel coronavirus designated as COVID-19 was first detected in China in December 2019 and subsequently spread internationally. The transmission of COVID-19 and efforts to contain its spread have resulted in, among other things, border closings and other significant travel restrictions and disruptions, significant disruptions to business operations, supply chains and customer activity, government economic stimulus measures, lower consumer demand for goods and services, event cancellations and restrictions, service cancellations, rapid increases in unemployment, increased demand for and strain on government resources, significant challenges in healthcare service preparation and delivery, and prolonged quarantines, as well as general concern and uncertainty. The impact of the COVID-19 outbreak could negatively affect the global economy, the economies of individual countries, and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways and may continue to do so in the future. Health crises caused by the outbreak of COVID-19 may also exacerbate other pre-existing political, social, economic, market and financial risks. The effects of the outbreak in developing or emerging market countries may be greater due to less established health care systems. The COVID-19 pandemic and its effects may be short term or may last for an extended period of time, and in either case could result in significant market volatility, exchange trading suspensions and closures, declines in global financial markets, higher default rates, and a substantial economic downturn or recession. The foregoing could impair the Funds’ ability to maintain operational standards (such as with respect to satisfying redemption requests), disrupt the operations of the Funds’ service providers, adversely affect the value and liquidity of the Funds’ investments, and negatively impact the Funds’ performance and your investment in a Fund.
• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market price of their holdings will decline. Market risks include:
Asset-Backed Securities — Investments in asset-backed securities not only are subject to all of the market risks described under “Market Risk — Fixed Income” but to other market risks as well.
Asset-backed securities are often exposed to greater risk of severe credit downgrades, illiquidity, and defaults than many other types of fixed income investments. These risks become particularly acute during periods of adverse market conditions, such as those that occurred in 2008.
As described under “Market Risk — Fixed Income,” the market price of asset-backed securities, like that of other fixed income investments with complex structures, can decline for a variety of reasons, including market uncertainty about their credit quality and the reliability of their payment streams. Payment of interest on asset-backed securities and repayment of principal largely depend on the cash flow generated by the assets backing the securities, as well as the deal structure (e.g., the amount of underlying assets or other support available to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support and the credit quality of the credit-support provider, if any, and the performance of other service
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providers with access to the payment stream. A problem in any of these factors can lead to a reduction in the payment stream GMO expected a Fund to receive when the Fund purchased the asset-backed security. Principal repayments of asset-backed securities are at risk if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities have. Asset-backed securities backed by sub-prime mortgage loans, in particular, expose a Fund to potentially greater declines in value due to defaults because sub-prime mortgage loans are typically made to less creditworthy borrowers and thus have a higher risk of default than conventional mortgage loans. Issuers 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 are rated below investment grade. See “Credit Risk” for more information about credit risk.
When worldwide economic and liquidity conditions deteriorated in 2008, the markets for asset-backed securities became fractured, and uncertainty about the creditworthiness of those securities (and underlying assets) caused credit spreads (the difference between yields on asset-backed securities and U.S. Government securities) to widen dramatically. Concurrently, systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions reduced the ability of financial institutions to make markets in many asset-backed (as well as others) fixed income securities. These events reduced liquidity and contributed to substantial declines in the market prices of asset-backed (and other) fixed income securities, and they 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. The mishandling of documentation for underlying assets also can affect the rights of holders of those underlying assets. The insolvency of a servicer is likely to result in a decline in the market price of the securities it is servicing, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the asset-backed security. When interest rates rise, the obligations underlying asset-backed securities may be repaid more slowly than anticipated, and the market price of those securities may decrease.
The existence of insurance on an asset-backed security does not guarantee that the principal and interest will be paid because the insurer could default on its obligations.
The risk of investing in asset-backed securities has increased since 2008 because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated. See “Focused Investment Risk” for more information about risks of investing in correlated sectors. A single financial institution may serve as a servicer for many asset-backed securities. As a result, a disruption in that institution’s business would likely have a material impact on the many asset-backed securities it services. The risks associated with asset-backed securities are particularly pronounced for Opportunistic Income Fund, which has invested a substantial portion of its assets in asset-backed securities, and for the Funds that have invested a substantial portion of their assets in Opportunistic Income Fund.
Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as a failure to keep up with technological advances 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 be attributable to general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. The market prices of equities are volatile and can decline in a rapid or unpredictable manner. Equities which are characterized as relatively cyclical, such as investments in companies in the consumer discretionary, financials, energy, real estate, materials and industrials sectors, often are especially sensitive to economic cycles, which means they typically underperform non-cyclical equities during economic downturns. Cyclical equities’ performance can be significantly affected by among other factors, cyclical revenue generation, consumer confidence and changing consumer preferences, and the performance of domestic and international economies. 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 decline due to GMO’s incorrect assessment. The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.
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Fixed Income — Funds that invest in fixed income investments (including bonds, notes, bills, synthetic debt instruments, and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity due, for example, to market uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market price of fixed income investments with complex structures, such as asset-backed securities and sovereign and quasi-sovereign debt investments, can decline due to uncertainty about their credit quality and the reliability of their payment streams. Some fixed income investments also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the fixed income investment. When interest rates rise, fixed income investments also may be repaid more slowly than anticipated, causing a decrease in their market price. During periods of economic uncertainty and change, the market price of a Fund’s investments in below investment grade investments (commonly referred to as “high yield” or “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 principal risk run by each Fund with significant investment in fixed income investments is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases in interest rates (also called “interest rate risk”) is 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 would likely 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 variable-rate investments generally have shorter interest rate durations because their interest rates are not fixed but rather float up and down as interest rates change. Conversely, inverse floating-rate investments have durations that move in the opposite direction from short-term interest rates and thus tend to underperform fixed rate investments when interest rates rise but outperform them when interest rates decline. Fixed income investments paying no interest, such as zero coupon and principal-only securities, are subject to additional interest rate risk.
The market price of inflation-indexed bonds (including TIPS) typically declines during periods of rising real interest rates (i.e. nominal interest rate minus inflation) and increases during periods of declining real interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities.
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 fee.
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 investments when it would otherwise not do so, including at unfavorable prices. The risks associated with rising interest rates are generally greater during periods when prevailing interest rates are at or near their historic lows. Moreover, fixed income investments will be difficult to value during such periods. The U.S. Federal Reserve Bank recently decreased interest rates back to near historically low levels. A substantial increase in interest rates could have a material adverse effect on fixed income investments and on the performance of the Funds. Other actions by central banks or regulators (such as intervention in foreign currency markets or imposition of currency controls) also could have a material adverse effect on the Funds.
• NON-DIVERSIFIED FUNDS. All of the Funds (except U.S. Treasury Fund) are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of a relatively small number of issuers. As a result, they are likely to be subject to greater credit, market and other risks than if their investments were more diversified, and poor performance by a single investment is likely to have a greater impact on their performance.
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In addition, each of the Funds (other than U.S. Treasury Fund) may invest in shares of one or more other GMO Funds that are not “diversified” investment companies within the meaning of the 1940 Act.
• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. Many non-U.S. securities markets list 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 (particularly in emerging markets) often fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities (particularly those tied economically to emerging countries) often are not subject to as much regulation as U.S. issuers, and the reporting, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes, and custodial costs. In addition, some countries limit a Fund’s ability to profit from short-term trading (as defined in that country).
A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no benefit. In addition, a Fund’s pursuit of a tax refund may subject it to administrative and judicial proceedings in the country where it is seeking the refund.
A Fund’s decision to seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if it is entitled to one. The outcome of a Fund’s efforts to obtain a refund is inherently unpredictable. In some cases, the amount of a refund could be material to a Fund’s net asset value. Accordingly, a refund is not typically reflected in the Fund’s net asset value until it is received or GMO is confident it will be received. Generally, absent a determination by GMO that a refund is collectible and free from significant contingencies, a refund is not reflected in a Fund’s net asset value until it is received. See “Taxes, Non-U.S. Taxes” in the GMO Trust Statement of Additional Information for additional information.
Investing in non-U.S. securities also exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, government involvement in every country, including the U.S., or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises), adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.
In some non-U.S. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States. Fluctuations in currency exchange rates also affect the market prices of a Fund’s non-U.S. securities (see “Currency Risk”).
The Funds need a license to invest directly in securities traded in many non-U.S. securities markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license to invest in a particular market is terminated or suspended, to obtain exposure to that market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of GMO’s clients may preclude a Fund from obtaining a similar license. In addition, the activities of a GMO client could cause the suspension or revocation of a Fund’s license.
Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war); increased risk of nationalization, expropriation, or other confiscation of issuer assets; greater governmental involvement in the economy or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises); less governmental supervision and regulation of securities markets and participants in those markets; controls on investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e. a market freeze); unavailability of currency hedging techniques; less rigorous auditing and financial
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reporting standards and resulting unavailability of reliable 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. The economies of emerging countries often are more volatile than the economies of developed countries. For example, the Public Company Accounting Oversight Board, which regulates auditors of U.S. public companies, is unable to inspect audit work papers in certain foreign countries, and the ability of the SEC, the U.S. Department of Justice and other authorities to bring and enforce actions against foreign issuers or foreign persons is limited.
• SMALLER COMPANY RISK. Companies with smaller market capitalizations tend to have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers and depend on fewer key employees than larger companies. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for the securities of these companies.
Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and are taken in response to adverse market, economic, political or other conditions.
The Funds (other than Emerging Country Debt Fund, High Yield Fund and U.S. Treasury Fund) may take temporary defensive positions if deemed prudent by GMO. Many of the Funds have previously taken temporary defensive positions.
To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.
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, options, or other derivatives on an index, an ETF, a single security, or a basket of securities to gain investment exposures (e.g., by selling protection under a credit default swap). The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.
The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). For example, a Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer or may use a bond futures contract to short the bond market of a particular country. A Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency. The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, ETFs, and currencies without actually having to sell existing investments or make new direct investments. For instance, GMO may alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed versus variable rates and shorter duration versus longer duration exposure. In adjusting its investment exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.
Each of the Funds is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of their derivative positions, a Fund may have gross investment exposures in excess of its net assets (i.e., the Fund may be leveraged) and therefore are subject to heightened risk of loss. Each Fund’s (other than U.S. Treasury Fund) performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.
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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, 2020, the following table shows how the Fund used these derivatives (marked with an X):
Type of Derivative and Objective for Use | Emerging Country | High Yield Fund | Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) | Opportunistic Income Fund | ||||
Forward currency contracts | ||||||||
Adjust currency exchange rate risk | X | X | X | X | ||||
Adjust exposure to foreign currencies | 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 | |||||||
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 | |||||||
Provide a measure of protection against default loss | X | |||||||
Options (Credit linked) | ||||||||
Achieve exposure to a reference entity’s credit | X | |||||||
Swap contracts | ||||||||
Achieve exposure to a reference entity’s credit | X | X | X | |||||
Adjust exposure to certain markets | X | |||||||
Adjust interest rate exposure | 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 | |||||||
Hedge non-core equity exposure | X |
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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 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 in 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, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized
84
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
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.
Swap contracts
The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, basis swaps, currency swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.
Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses 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. The periodic frequency of payments received may differ from periodic payment frequencies made and their frequencies could be monthly, quarterly, semiannually, annually or at maturity.
Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.
Inflation swaps involve the exchange of a floating rate linked to an index for a fixed rate interest payment with respect to a notional amount or principal.
Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.
In a credit default swap contract, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.
For credit default swap contracts on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap contracts on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.
Correlation swaps involve receiving a stream of payments based on the actual average correlation between or among the price movements of two or more underlying variables over a period of time, in exchange for making a regular stream of payments based on
85
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
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.
* * *
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, 2020 and the Statements of Operations for the period ended August 31, 2020^:
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 Country Debt Fund | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | $ | — | $ | — | $ | 660,940 | $ | — | $ | — | $ | 660,940 | ||||||||||||
Options, at value | 325,716 | — | — | — | — | 325,716 | ||||||||||||||||||
Swap Contracts, at value¤ | 21,536,717 | — | — | 548,047 | — | 22,084,764 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 21,862,433 | $ | — | $ | 660,940 | $ | 548,047 | $ | — | $ | 23,071,420 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
86
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
Emerging Country Debt Fund (continued) | ||||||||||||||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | (8,239,641 | ) | $ | — | $ | — | $ | (8,239,641 | ) | ||||||||||
Options, at value | (590,466 | ) | — | — | — | — | (590,466 | ) | ||||||||||||||||
Swap Contracts, at value¤ | (11,129,982 | ) | — | — | (7,668,428 | ) | — | (18,798,410 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (11,720,448 | ) | $ | — | $ | (8,239,641 | ) | $ | (7,668,428 | ) | $ | — | $ | (27,628,517 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | 269,472 | $ | — | $ | — | $ | 269,472 | ||||||||||||
Options | (7,034 | ) | — | — | — | — | (7,034 | ) | ||||||||||||||||
Swap Contracts | 35,280,121 | — | — | (1,389,989 | ) | — | 33,890,132 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 35,273,087 | $ | — | $ | 269,472 | $ | (1,389,989 | ) | $ | — | $ | 34,152,570 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | (9,992,586 | ) | $ | — | $ | — | $ | (9,992,586 | ) | ||||||||||
Options | (1,293,884 | ) | — | — | — | — | (1,293,884 | ) | ||||||||||||||||
Swap Contracts | (21,409,849 | ) | — | — | 2,005,473 | — | (19,404,376 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (22,703,733 | ) | $ | — | $ | (9,992,586 | ) | $ | 2,005,473 | $ | — | $ | (30,690,846 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
High Yield Fund | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Unrealized Appreciation on Futures Contracts¤ | $ | — | $ | — | $ | — | $ | 40,397 | $ | — | $ | 40,397 | ||||||||||||
Swap Contracts, at value¤ | 1,676,579 | — | — | — | — | 1,676,579 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 1,676,579 | $ | — | $ | — | $ | 40,397 | $ | — | $ | 1,716,976 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | (202,247 | ) | $ | — | $ | — | $ | (202,247 | ) | ||||||||||
Unrealized Depreciation on Futures Contracts¤ | — | — | — | (5,363 | ) | — | (5,363 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | (202,247 | ) | $ | (5,363 | ) | $ | — | $ | (207,610 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | (555,894 | ) | $ | — | $ | — | $ | (555,894 | ) | ||||||||||
Futures Contracts | — | — | — | 428,985 | — | 428,985 | ||||||||||||||||||
Swap Contracts | (3,174,820 | ) | — | — | (2,694,219 | ) | — | (5,869,039 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (3,174,820 | ) | $ | — | $ | (555,894 | ) | $ | (2,265,234 | ) | $ | — | $ | (5,995,948 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | 417,442 | $ | — | $ | — | $ | 417,442 | ||||||||||||
Futures Contracts | — | — | — | (36,598 | ) | — | (36,598 | ) | ||||||||||||||||
Swap Contracts | 1,815,337 | — | — | 113,941 | — | 1,929,278 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 1,815,337 | $ | — | $ | 417,442 | $ | 77,343 | $ | — | $ | 2,310,122 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | $ | — | $ | — | $ | 2,686,425 | $ | — | $ | — | $ | 2,686,425 | ||||||||||||
Unrealized Appreciation on Futures Contracts¤ | — | — | — | 148,805 | — | 148,805 | ||||||||||||||||||
Swap Contracts, at value¤ | — | — | — | 2,123,413 | — | 2,123,413 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | 2,686,425 | $ | 2,272,218 | $ | — | $ | 4,958,643 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | (3,383,121 | ) | $ | — | $ | — | $ | (3,383,121 | ) | ||||||||||
Unrealized Depreciation on Futures Contracts¤ | — | — | — | (13,350 | ) | — | (13,350 | ) | ||||||||||||||||
Swap Contracts, at value¤ | — | — | — | (1,078,912 | ) | — | (1,078,912 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | (3,383,121 | ) | $ | (1,092,262 | ) | $ | — | $ | (4,475,383 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
87
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) (continued) | ||||||||||||||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | 4,830 | $ | — | $ | — | $ | 4,830 | ||||||||||||
Forward Currency Contracts | — | — | (1,715,010 | ) | — | — | (1,715,010 | ) | ||||||||||||||||
Futures Contracts | — | — | — | 6,171,866 | — | 6,171,866 | ||||||||||||||||||
Swap Contracts | — | — | — | 7,657,696 | — | 7,657,696 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | (1,710,180 | ) | $ | 13,829,562 | $ | — | $ | 12,119,382 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | 4,601 | $ | — | $ | — | $ | 4,601 | ||||||||||||
Forward Currency Contracts | — | — | 495,613 | — | — | 495,613 | ||||||||||||||||||
Futures Contracts | — | — | — | (1,778,156 | ) | — | (1,778,156 | ) | ||||||||||||||||
Swap Contracts | — | — | — | (4,234,309 | ) | — | (4,234,309 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | 500,214 | $ | (6,012,465 | ) | $ | — | $ | (5,512,251 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Opportunistic Income Fund | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Investments, at value (purchased options) | $ | 149,393 | $ | — | $ | — | $ | — | $ | — | $ | 149,393 | ||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | 169,783 | — | — | 169,783 | ||||||||||||||||||
Swap Contracts, at value¤ | 26,369,759 | — | — | 4,307 | — | 26,374,066 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 26,519,152 | $ | — | $ | 169,783 | $ | 4,307 | $ | — | $ | 26,693,242 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | (118,503 | ) | $ | — | $ | — | $ | (118,503 | ) | ||||||||||
Unrealized Depreciation on Futures Contracts¤ | — | — | — | (6,574 | ) | — | (6,574 | ) | ||||||||||||||||
Written Options, at value | (271,190 | ) | — | — | — | — | (271,190 | ) | ||||||||||||||||
Swap Contracts, at value¤ | (9,331,777 | ) | — | — | (6,176,938 | ) | — | (15,508,715 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (9,602,967 | ) | $ | — | $ | (118,503 | ) | $ | (6,183,512 | ) | $ | — | $ | (15,904,982 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Investments (purchased options) | $ | 738,408 | $ | — | $ | — | $ | — | $ | — | $ | 738,408 | ||||||||||||
Forward Currency Contracts | — | — | 1,012 | — | — | 1,012 | ||||||||||||||||||
Futures Contracts | — | — | — | 801,368 | — | 801,368 | ||||||||||||||||||
Written Options | (57,708 | ) | — | — | — | — | (57,708 | ) | ||||||||||||||||
Swap Contracts | 7,414,859 | — | — | (2,239,934 | ) | — | 5,174,925 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 8,095,559 | $ | — | $ | 1,012 | $ | (1,438,566 | ) | $ | — | $ | 6,658,005 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||
Investments (purchased options) | $ | (1,202,199 | ) | $ | — | $ | — | $ | — | $ | — | $ | (1,202,199 | ) | ||||||||||
Forward Currency Contracts | — | — | 82,246 | — | — | 82,246 | ||||||||||||||||||
Futures Contracts | — | — | — | (68,554 | ) | — | (68,554 | ) | ||||||||||||||||
Written Options | 1,694,138 | — | — | — | — | 1,694,138 | ||||||||||||||||||
Swap Contracts | 6,458,883 | — | — | (2,370,509 | ) | — | 4,088,374 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 6,950,822 | $ | — | $ | 82,246 | $ | (2,439,063 | ) | $ | — | $ | 4,594,005 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
^ | 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 OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral
88
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
posting terms and set-off 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 set-off and netting 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 an early termination of 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, in 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, 2020, 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, 2020:
Emerging Country Debt Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Citibank N.A. | $ | 4,828,123 | $ | (4,828,123 | ) | $ | — | $ | — | * | ||||||
Deutsche Bank AG | 8,544,486 | — | 8,544,486 | — | ||||||||||||
Goldman Sachs International | 6,561,895 | (3,272,967 | ) | (3,288,928 | ) | — | * | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 19,934,504 | $ | (8,101,090 | ) | $ | 5,255,558 | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Barclays Bank PLC | $ | 3,628,195 | $ | (3,525,065 | ) | $ | — | $ | 103,130 | |||||||
Deutsche Bank AG | 10,233,030 | (1,688,544 | ) | (8,544,486 | ) | — | * | |||||||||
Goldman Sachs International | 3,288,928 | — | 3,288,928 | — | ||||||||||||
JPMorgan Chase Bank, N.A. | 1,664,664 | (1,549,216 | ) | — | 115,448 | |||||||||||
Morgan Stanley & Co. International PLC | 4,434,200 | (4,202,752 | ) | — | 231,448 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 23,249,017 | $ | (10,965,577 | ) | $ | (5,255,558 | ) | $ | 450,026 | ||||||
|
|
|
|
|
|
|
| |||||||||
89
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
High Yield 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 | $ | 202,247 | $ | (181,921 | ) | $ | — | $ | 20,326 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 202,247 | $ | (181,921 | ) | $ | — | $ | 20,326 | |||||||
|
|
|
|
|
|
|
| |||||||||
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 56,976 | $ | — | $ | — | $ | 56,976 | ||||||||
Barclays Bank PLC | 110,473 | (33,655 | ) | (76,818 | ) | — | * | |||||||||
Citibank N.A. | 116,235 | — | — | 116,235 | ||||||||||||
Deutsche Bank AG | 165,246 | — | 165,246 | — | ||||||||||||
Goldman Sachs International | 31,596 | — | — | 31,596 | ||||||||||||
JPMorgan Chase Bank, N.A. | 1,863,174 | (798,937 | ) | (998,950 | ) | 65,287 | ||||||||||
Morgan Stanley & Co. International PLC | 342,725 | — | 342,725 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,686,425 | $ | (832,592 | ) | $ | (567,797 | ) | $ | 270,094 | ||||||
|
|
|
|
|
|
|
| |||||||||
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. | $ | 4,214 | $ | (4,214 | ) | $ | — | $ | — | * | ||||||
Barclays Bank PLC | 76,818 | — | 76,818 | — | ||||||||||||
Citibank N.A. | 26,362 | (26,362 | ) | — | — | * | ||||||||||
Deutsche Bank AG | 797,624 | (632,378 | ) | (165,246 | ) | — | * | |||||||||
JPMorgan Chase Bank, N.A. | 998,950 | — | 998,950 | — | ||||||||||||
Morgan Stanley & Co. International PLC | 1,479,153 | (1,136,428 | ) | (342,725 | ) | — | * | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,383,121 | $ | (1,799,382 | ) | $ | 567,797 | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
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. | $ | 1,622,023 | $ | (1,392,809 | ) | $ | (29,211 | ) | $ | 200,003 | ||||||
Citibank N.A. | 1,241,568 | (560,000 | ) | (678,155 | ) | 3,413 | ||||||||||
Citigroup Global Markets Inc. | 2,513,783 | (2,461,865 | ) | (51,918 | ) | — | * | |||||||||
Credit Suisse International | 123,693 | (100,000 | ) | — | 23,693 | |||||||||||
Deutsche Bank AG | 1,973,298 | (1,640,000 | ) | (172,441 | ) | 160,857 | ||||||||||
Goldman Sachs International | 12,822,816 | (11,497,500 | ) | (1,325,316 | ) | — | * | |||||||||
JPMorgan Chase Bank, N.A. | 3,940,039 | (2,468,041 | ) | (1,471,998 | ) | — | * | |||||||||
Morgan Stanley & Co. International PLC | 116,495 | — | 116,495 | — | ||||||||||||
Morgan Stanley Capital Services LLC | 2,125,652 | (2,014,440 | ) | (111,212 | ) | — | * | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 26,479,367 | $ | (22,134,655 | ) | $ | (3,723,756 | ) | $ | 387,966 | ||||||
|
|
|
|
|
|
|
| |||||||||
90
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Opportunistic Income 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. | $ | 29,211 | $ | — | $ | 29,211 | $ | — | ||||||||
Barclays Bank PLC | 738,955 | (738,955 | ) | — | — | * | ||||||||||
Citibank N.A. | 678,155 | — | 678,155 | — | ||||||||||||
Citigroup Global Markets Inc. | 51,918 | — | 51,918 | — | ||||||||||||
Deutsche Bank AG | 172,441 | — | 172,441 | — | ||||||||||||
Goldman Sachs International | 1,325,316 | — | 1,325,316 | — | ||||||||||||
JPMorgan Chase Bank, N.A. | 1,471,998 | — | 1,471,998 | — | ||||||||||||
Morgan Stanley & Co. International PLC | 290,447 | (173,952 | ) | (116,495 | ) | — | * | |||||||||
Morgan Stanley Capital Services LLC | 111,212 | — | 111,212 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 4,869,653 | $ | (912,907 | ) | $ | 3,723,756 | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
* | 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) and principal amounts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2020:
Fund Name | Forward Currency Contracts ($) | Futures Contracts ($) | Options (Principal) | Swap Contracts ($) | ||||||||||||
Emerging Country Debt Fund | 222,648,250 | — | 251,543,000 | 801,805,604 | ||||||||||||
High Yield Fund | 36,396,358 | 15,997,456 | — | 65,599,026 | ||||||||||||
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) | 393,404,618 | 114,960,076 | 1,773,830 | 461,897,078 | ||||||||||||
Opportunistic Income Fund | 7,047,490 | 11,519,914 | 66,070,421 | 715,692,222 |
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 | Emerging Country | High Yield Fund | Multi-Sector Bond Fund) | Opportunistic Income Fund | U.S. Treasury Fund | |||||||
Management Fee | 0.25% | 0.35% | 0.35% | 0.25% | 0.40%(a) | 0.08%(b) |
(a) | Prior to January 1, 2017, the management fee was 0.25%. |
(b) | Prior to June 30, 2019, GMO voluntarily waived the Fund’s entire management fee. |
In addition, each class of shares of certain 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
91
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
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 V | Class VI | Class R6 | Class I | ||||||||||||||||||
Asset Allocation Bond Fund | 0.15% | 0.055% | ||||||||||||||||||||||
Emerging Country Debt Fund | 0.15% | 0.10% | ||||||||||||||||||||||
High Yield Fund | 0.15% | * | 0.10% | * | 0.085%* | 0.055% | 0.15%* | 0.15% | * | |||||||||||||||
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) | 0.15% | 0.10% | 0.15%* | 0.15% | * | |||||||||||||||||||
Opportunistic Income Fund | 0.15% | * | 0.055% | 0.15%* | 0.15% |
* | Class is offered but has no shareholders as of August 31, 2020. |
For each Fund, other than Emerging Country Debt Fund and High Yield 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. GMO has contractually agreed to reimburse High Yield Fund for the portion of its “Specified Operating Expenses” that exceeds 0.10% of the Fund’s average daily net assets (“Expense Threshold Amount”).
“Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses (excluding, in the case of Class I shares, any amounts paid for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to Class I shareholders in respect of Class I shareholders), 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 High Yield 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 that 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. The 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 the period ended August 31, 2020, GMO recouped the following previously recorded waivers and/or reimbursements.
Recoupment Amount ($) | ||||
High Yield Fund, Class VI | 7,278 |
On August 31, 2020, the waivers and/or reimbursements subject to possible future recoupment are as follows:
Expiring the year ending February 28, 2021 | Expiring the year ending February 28, 2022 | Expiring the year ending February 28, 2023 | ||||||||||
High Yield Fund, Class VI | $ — | $85,249 | $ — |
GMO has contractually agreed to waive or reduce the Fund’s management fee and shareholder service fee to the extent necessary to offset the management fee and shareholder service fee paid to GMO that are directly or indirectly borne by the Fund or a class of shares of the Fund as a result of the Fund’s direct or indirect investments in other series of GMO Trust (“GMO Funds”). Management fees and shareholder service fees will not be waived below zero.
92
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
These contractual waivers and reimbursements will continue through at least June 30, 2021 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.
GMO has contractually agreed to reimburse Class I assets of each Fund (or waive its fees) to the extent that payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries from Class I assets exceed 0.10% of such Fund’s average daily net assets attributable to Class I assets.
Sub-Transfer Agent/Recordkeeping Payments
Class III, IV, V, VI, and R6 shares are not subject to payments to third parties for sub-transfer agent, recordkeeping and other administrative services. GMO may, on a case-by-case basis, make payments for sub-transfer agent, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders of these classes. Any such payments are made by GMO out of its own resources and are not an additional charge to a Fund or the holders of Class III, IV, V, VI, or Class R6 shares. These payments may create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.
Class I shares are subject to payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to holders of Class I shares through an account maintained by a third-party platform or intermediary. These services are not primarily intended to result in the sale of Fund shares but instead to provide ongoing services with respect to holders of Class I shares through a third-party platform or intermediary. Because payments for sub-transfer agency, recordkeeping and other administrative services are paid out of a Fund’s Class I assets on an ongoing basis, over time they will increase the cost of an investment in Class I shares. In addition, GMO may, on a case-by-case basis, make payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders of Class I shares. Any such payments are made by GMO out of its own resources and are not an additional charge to a Fund or the holders of Class I shares. These payments create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.
The Funds’ portion of the 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, 2020 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 | 3,274 | 350 | ||||||
Emerging Country Debt Fund | 67,344 | 6,962 | ||||||
High Yield Fund | 2,445 | 237 | ||||||
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) | 7,575 | 754 | ||||||
Opportunistic Income Fund | 12,926 | 1,343 | ||||||
U.S. Treasury Fund | 4,732 | 387 |
Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the six month period ended August 31, 2020, the Funds below had indirect fees and expenses greater than 0.01% of the Fund’s average daily net assets.
Fund Name | Total Indirect Expenses | |||
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) | 0.122% |
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, 2020, the Funds did not engage in these transactions.
93
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (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, 2020 are noted in the table below:
Fund Name | Purchases ($) | Purchases ($) | Sales ($) | Sales ($) | ||||||||||||
U.S. Government Securities | Investments (Non-U.S. Government Securities) | U.S. Government Securities | Investments (Non-U.S. Government Securities) | |||||||||||||
Asset Allocation Bond Fund | 30,674,749 | 11,341,713 | 119,119,258 | 14,180,000 | ||||||||||||
Emerging Country Debt Fund | 225,132,629 | 1,115,096,564 | 615,035,135 | 527,319,513 | ||||||||||||
High Yield Fund | 50,315,517 | 214,883,089 | 50,529,533 | 197,463,507 | ||||||||||||
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) | 362,808,486 | 200,925,089 | 456,861,785 | 271,036,160 | ||||||||||||
Opportunistic Income Fund | — | 118,621,702 | 24,625,107 | 149,868,982 | ||||||||||||
U.S. Treasury Fund | — | — | — | — |
7. | Guarantees |
In the normal course of business the Funds enter into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, GMO is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.
8. | Principal shareholders and related parties as of August 31, 2020 |
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 | 3 | ‡ | 88.20% | <0.01% | 99.97% | |||||||||||
Emerging Country Debt Fund | 1 | 10.17% | 0.13% | 14.85% | ||||||||||||
High Yield Fund | 3 | ‡ | 99.94% | 0.05% | 99.94% | |||||||||||
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) | 2 | # | 65.11% | 0.01% | 93.80% | |||||||||||
Opportunistic Income Fund | 3 | # | 72.36% | 0.49% | 79.61% | |||||||||||
U.S. Treasury Fund | 3 | ‡ | 51.83% | 3.66% | 67.80% |
‡ | One of the shareholders is another fund of the Trust. |
# | Two of the shareholders are other funds of the Trust. |
94
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (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, 2020 (Unaudited) | Year Ended February 29, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Asset Allocation Bond Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 69,213 | $ | 1,589,816 | 110,325 | $ | 2,474,600 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 3,103 | 72,392 | 126,900 | 2,798,964 | ||||||||||||
Shares repurchased | (400,686 | ) | (8,894,076 | ) | (2,253,855 | ) | (50,054,998 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (328,370 | ) | $ | (7,231,868 | ) | (2,016,630 | ) | $ | (44,781,434 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class VI: | ||||||||||||||||
Shares sold | 384,442 | $ | 8,853,053 | 202,925 | $ | 4,483,781 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 8,263 | 193,346 | 414,203 | 9,160,744 | ||||||||||||
Shares repurchased | (4,161,410 | ) | (94,097,006 | ) | (6,261,332 | ) | (140,077,926 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (3,768,705 | ) | $ | (85,050,607 | ) | (5,644,204 | ) | $ | (126,433,401 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Emerging Country Debt Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 3,405,778 | $ | 83,432,956 | 7,880,299 | $ | 217,000,478 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,118,039 | 28,521,163 | 2,957,296 | 79,423,521 | ||||||||||||
Shares repurchased | (1,619,469 | ) | (42,960,087 | ) | (17,701,435 | ) | (490,147,602 | ) | ||||||||
Purchase premiums | — | 473,308 | — | 446,109 | ||||||||||||
Redemption fees | — | 204,217 | — | 739,018 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,904,348 | $ | 69,671,557 | (6,863,840 | ) | $ | (192,538,476 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | 9,388,512 | $ | 241,628,831 | 19,712,189 | $ | 544,492,697 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 2,973,816 | 75,743,088 | 5,991,783 | 160,731,422 | ||||||||||||
Shares repurchased | (8,696,510 | ) | (217,497,936 | ) | (14,371,734 | ) | (394,762,711 | ) | ||||||||
Purchase premiums | — | 1,333,546 | — | 993,428 | ||||||||||||
Redemption fees | — | 577,762 | — | 1,612,037 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 3,665,818 | $ | 101,785,291 | 11,332,238 | $ | 313,066,873 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund | ||||||||||||||||
Class VI: | ||||||||||||||||
Shares sold | 1,855,180 | $ | 35,072,764 | 98,276 | $ | 2,056,846 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 67,876 | 1,296,439 | 820,617 | 16,679,907 | ||||||||||||
Shares repurchased | (1,756,894 | ) | (34,400,000 | ) | (3,348,294 | ) | (68,220,577 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 166,162 | $ | 1,969,203 | (2,429,401 | ) | $ | (49,483,824 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 454,165 | $ | 10,140,846 | 171,785 | $ | 3,857,759 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 116,286 | 2,551,326 | 197,461 | 4,223,692 | ||||||||||||
Shares repurchased | (510,930 | ) | (11,293,692 | ) | (765,786 | ) | (17,018,076 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 59,521 | $ | 1,398,480 | (396,540 | ) | $ | (8,936,625 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
95
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) (continued) | ||||||||||||||||
Class IV: | ||||||||||||||||
Shares sold | 910,569 | $ | 20,098,246 | 360,886 | $ | 7,771,423 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 381,197 | 8,393,955 | 1,233,567 | 26,460,017 | ||||||||||||
Shares repurchased | (8,812,567 | ) | (196,144,244 | ) | (9,111,663 | ) | (200,655,846 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (7,520,801 | ) | $ | (167,652,043 | ) | (7,517,210 | ) | $ | (166,424,406 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Opportunistic Income Fund | ||||||||||||||||
Class VI: | ||||||||||||||||
Shares sold | 1,458,047 | $ | 37,400,430 | 702,105 | $ | 18,486,845 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 249,677 | 6,366,770 | 1,589,564 | 41,113,159 | ||||||||||||
Shares repurchased | (6,547,641 | ) | (167,188,271 | ) | (8,905,218 | ) | (235,744,022 | ) | ||||||||
Purchase premiums | — | — | — | 69,702 | ||||||||||||
Redemption fees | — | — | — | 251,056 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (4,839,917 | ) | $ | (123,421,071 | ) | (6,613,549 | ) | $ | (175,823,260 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class I:* | ||||||||||||||||
Shares sold | 5,828,054 | 148,979,080 | 880,843 | 22,880,307 | ||||||||||||
Shares issued to shareholders in reinvestment of distributions | 10,318 | 262,810 | 9,193 | 236,179 | ||||||||||||
Shares repurchased | (273,950 | ) | (6,689,899 | ) | (21,627 | ) | (555,796 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 5,564,422 | $ | 142,551,991 | 868,409 | $ | 22,560,690 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
U.S. Treasury Fund | ||||||||||||||||
Core Class: | ||||||||||||||||
Shares sold | 233,358,882 | $ | 1,175,253,157 | 785,807,533 | $ | 3,930,131,346 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 38,409 | 193,486 | 1,061,376 | 5,309,001 | ||||||||||||
Shares repurchased | (196,773,285 | ) | (990,975,796 | ) | (869,725,175 | ) | (4,350,339,593 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 36,624,006 | $ | 184,470,847 | (82,856,266 | ) | $ | (414,899,246 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
* | The period under the heading “Year Ended February 29, 2020” represents the period from November 5, 2019 (commencement of operations) through February 29, 2020. |
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 Funds’ transactions involving companies that are or were affiliates during the period ended August 31, 2020 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 | ||||||||||||||||||||||||
Asset Allocation Bond Fund | ||||||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 8,656,379 | $ | 11,341,713 | $ | 14,180,000 | $ | 11,957 | $ | — | $ | 58,744 | $ | (19,006 | ) | $ | 5,857,830 | |||||||||||||||
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|
|
| |||||||||||||||||
Emerging Country Debt Fund | ||||||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 74,487,484 | $ | — | $ | — | $ | 115,761 | $ | — | $ | — | $ | 296,763 | $ | 74,784,247 | ||||||||||||||||
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| |||||||||||||||||
96
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (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 | ||||||||||||||||||||||||
High Yield Fund | ||||||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 385,180 | $ | 28,755,749 | $ | 29,171,591 | $ | 7,267 | $ | — | $ | 30,662 | $ | — | $ | — | ||||||||||||||||
|
|
|
|
|
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|
|
|
|
|
|
|
|
| |||||||||||||||||
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) | ||||||||||||||||||||||||||||||||
GMO Emerging Country Debt Fund, Class IV | $ | 29,316,657 | $ | — | $ | 9,500,000 | $ | 285,841 | $ | 220,820 | $ | (1,146,052 | ) | $ | 216,593 | $ | 18,887,198 | |||||||||||||||
GMO Opportunistic Income Fund, Class VI | 108,395,452 | — | 34,000,000 | 780,716 | — | (176,931 | ) | (957,371 | ) | 73,261,150 | ||||||||||||||||||||||
GMO U.S. Treasury Fund | 4,517,130 | 171,600,000 | 164,790,000 | 22,949 | — | 52,340 | (4,018 | ) | 11,375,452 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Totals | $ | 142,229,239 | $ | 171,600,000 | $ | 208,290,000 | $ | 1,089,506 | $ | 220,820 | $ | (1,270,643 | ) | $ | (744,796 | ) | $ | 103,523,800 | ||||||||||||||
|
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|
|
|
|
|
|
|
| |||||||||||||||||
Opportunistic Income Fund | ||||||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 10,256,103 | $ | 18,500,000 | $ | 17,773,000 | $ | 8,083 | $ | — | $ | 61,299 | $ | (40,861 | ) | $ | 11,003,541 | |||||||||||||||
|
|
|
|
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|
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| |||||||||||||||||
* | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2020 through August 31, 2020. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2021. |
97
GMO Trust Funds
Board Review of Investment Management Agreements
August 31, 2020 (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 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO. In deciding whether to approve the management agreement, 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 14, 2020, the Trustees discussed at length with representatives of GMO 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 GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. The Trustees noted that the Fund is not currently offered as a standalone investment and the investment strategies it pursues are intended to complement the investment strategies of other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.
The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not pay any management fees. The Trustees also noted that, with respect to all other underlying GMO funds, GMO offsets against the fees the Fund pays GMO the management fees, shareholder servicing fees and most other expenses borne by those other underlying GMO funds.
The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO 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 that fee.
98
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2020 (Unaudited)
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO 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 GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Emerging Country Debt Fund
Approval of renewal of management agreement for GMO Emerging Country Debt Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO. In deciding whether to approve the management agreement, 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 14, 2020, the Trustees discussed at length with representatives of GMO 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 GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service.
The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.
The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches
99
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2020 (Unaudited)
to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not pay any management fees. The Trustees also noted that, with respect to all other underlying GMO funds, GMO offsets against the fees the Fund pays GMO the management fees, shareholder servicing fees and most other expenses borne by those other underlying GMO funds.
The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO 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 that fee.
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO 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 GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific 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 High Yield Fund
Approval of renewal of management agreement for GMO High Yield Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO. In deciding whether to approve the management agreement, 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 14, 2020, the Trustees discussed at length with representatives of GMO 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 GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO fund whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.
100
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2020 (Unaudited)
The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.
The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO 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 that fee.
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO 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 GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific 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 Multi-Sector Fixed Income Fund
Approval of renewal of management agreement for GMO Multi-Sector Fixed Income Fund (formerly, GMO Core Plus Bond Fund) (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO. In deciding whether to approve the management agreement, 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 14, 2020, the Trustees discussed at length with representatives of GMO 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 GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance
101
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2020 (Unaudited)
in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.
The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not pay any management fees. The Trustees also noted that, with respect to all other underlying GMO funds, GMO offsets against the fees the Fund pays GMO the management fees, shareholder servicing fees and most other expenses borne by those other underlying GMO funds.
The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO 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 that fee.
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO 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 GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific 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 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
102
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2020 (Unaudited)
At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO 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 GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO fund whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.
The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not pay any management fees. The Trustees also noted that, with respect to all other underlying GMO funds, GMO offsets against the fees the Fund pays GMO the management fees, shareholder servicing fees and most other expenses borne by those other underlying GMO funds.
The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO 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 that fee.
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO 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 GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific 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, 2020 (Unaudited)
GMO U.S. Treasury Fund
Approval of renewal of management agreement for GMO U.S. Treasury Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO. In deciding whether to approve the management agreement, 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 14, 2020, the Trustees discussed at length with representatives of GMO 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 GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to GMO under the Fund’s management agreement. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service.
The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO 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 that fee.
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.
104
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2020 (Unaudited)
After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific 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.
105
GMO Trust Funds
Liquidity Risk Management Program
August 31, 2020 (Unaudited)
Rule 22e-4 under the Investment Company Act of 1940, as amended, requires open-end registered investment companies (other than money market funds) to adopt and implement a written liquidity risk management program that is reasonably designed to assess and manage liquidity risk. Each Fund has adopted a Liquidity Risk Management Program (the “Program”) that is designed to assess and manage liquidity risk, defined as the risk that the Fund could not meet redemption requests without significant dilution of the remaining shareholders’ interests in the Fund. The Program includes the following elements, among others:
• | Monitoring of factors material to liquidity risk for each Fund; |
• | Classification of each Fund’s portfolio investments into one of four liquidity categories: highly liquid, moderately liquid, less liquid, and illiquid; |
• | Oversight of third parties providing services in support of the Program; |
• | Determination and review of a highly liquid investment minimum for any Fund that does not primarily hold assets that are highly liquid investments; |
• | A restriction on each Fund acquiring an illiquid investment if immediately after the acquisition the Fund would have more than 15% of its net assets invested in illiquid investments; |
• | Periodic reporting to the Board of Trustees, including a written report at least annually that addresses the operation of the Program and assesses its adequacy and effectiveness. |
The GMO Trust Board of Trustees reviewed a written report from GMO dated April 24, 2020 addressing the Program’s operation, adequacy and effectiveness.
106
GMO Trust Funds
August 31, 2020 (Unaudited)
Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2020.
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, 2020 through August 31, 2020.
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, 2020 | Ending Account Value August 31, 2020 | Expenses Paid During the Period* | Beginning Account Value March 1, 2020 | Ending Account Value August 31, 2020 | Expenses Paid During the Period* | Annualized Expense Ratio | ||||||||||||||||||||||
Asset Allocation Bond Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,067.50 | $2.14 | $1,000.00 | $1,023.14 | $2.09 | 0.41% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,068.00 | $1.67 | $1,000.00 | $1,023.59 | $1.63 | 0.32% | |||||||||||||||||||||
Emerging Country Debt Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,009.20 | $2.73 | $1,000.00 | $1,022.48 | $2.75 | 0.54% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,009.50 | $2.48 | $1,000.00 | $1,022.74 | $2.50 | 0.49% | |||||||||||||||||||||
High Yield Fund |
| |||||||||||||||||||||||||||
Class VI | $1,000.00 | $1,014.90 | $2.64 | $1,000.00 | $1,022.58 | $2.65 | 0.52% | |||||||||||||||||||||
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,031.90 | $2.15 | $1,000.00 | $1,023.09 | $2.14 | 0.42% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,031.80 | $1.89 | $1,000.00 | $1,023.34 | $1.89 | 0.37% | |||||||||||||||||||||
Opportunistic Income Fund |
| |||||||||||||||||||||||||||
Class VI | $1,000.00 | $1,000.80 | $2.32 | $1,000.00 | $1,022.89 | $2.35 | 0.46% | |||||||||||||||||||||
Class I | $1,000.00 | $999.50 | $3.28 | $1,000.00 | $1,021.93 | $3.31 | 0.65% | |||||||||||||||||||||
U.S. Treasury Fund |
| |||||||||||||||||||||||||||
Core | $1,000.00 | $1,005.50 | $0.45 | $1,000.00 | $1,024.75 | $0.46 | 0.09% |
* | Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2020, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year. |
107
GMO Trust
Semiannual Report
August 31, 2020
Climate Change Fund
Cyclical Focus Fund
Emerging Domestic Opportunities Fund
Emerging Markets Fund
International Equity Fund
Quality Fund
Resources Fund
Risk Premium Fund
Tax-Managed International Equities Fund
U.S. Equity Fund
U.S. Small Cap Value Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, GMO expects that paper copies of each Fund’s annual and semiannual reports to shareholders will no longer be sent by mail, unless you specifically request paper copies of the reports by writing or calling GMO Shareholder Services at the address or phone number below or by contacting your financial intermediary, such as a broker or agent. Instead, reports will be available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. If you are a direct investor, you may elect to receive shareholder reports and other communications from the Fund electronically by contacting GMO Shareholder Services or if you own your shares through a financial intermediary, you may contact your financial intermediary.
Beginning January 1, 2019, you may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request to continue to receive paper copies of your shareholder reports or you can follow instructions included with this disclosure. If you invest directly with the Fund, you can contact GMO Shareholder Services at the address or phone number below. Your election to receive reports in paper will apply to all Funds held directly with the Trust.
Shareholder Services at
Grantham, Mayo, Van Otterloo & Co. LLC
40 Rowes Wharf, Boston, Massachusetts 02110
1-617-346-7646 (collect)
For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect), visit GMO’s website at www.gmo.com or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 will be available without charge on GMO’s website at www.gmo.com and on the Securities and Exchange Commission’s website at www.sec.gov no later than August 31 of each year.
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-PORT, which is available on the Commission’s website at www.sec.gov. 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 or private placement memorandum, 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 and the private placement memorandum can be obtained by calling 1-617-346-7646 (collect). 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.
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(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2020 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 92.7 | % | ||
Mutual Funds | 4.0 | |||
Preferred Stocks | 3.0 | |||
Short-Term Investments | 0.5 | |||
Other | (0.2 | ) | ||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | % of Investments | |||
United States | 31.0 | % | ||
France | 9.0 | |||
Japan | 9.0 | |||
Canada | 7.7 | |||
China | 4.9 | |||
Russia | 4.6 | |||
Italy | 4.5 | |||
United Kingdom | 3.3 | |||
Chile | 3.0 | |||
Other Emerging | 3.0 | † | ||
Germany | 2.7 | |||
Spain | 2.7 | |||
Mexico | 2.4 | |||
Other Developed | 2.0 | ‡ | ||
Norway | 1.7 | |||
Portugal | 1.7 | |||
Finland | 1.5 | |||
Brazil | 1.5 | |||
Switzerland | 1.4 | |||
Denmark | 1.2 | |||
Australia | 1.2 | |||
|
| |||
100.0 | % | |||
|
| |||
Industry Group Summary | % of Equity Investments# | |||
Clean Energy | 39.8 | % | ||
Energy Efficiency | 23.1 | |||
Agriculture | 14.0 | |||
Electric Grid | 9.1 | |||
Water | 7.5 | |||
Copper | 6.5 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). |
¤ | The table 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. |
1
GMO Climate Change Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 92.7% |
| |||||||||
Argentina — 0.9% | ||||||||||
260,615 | Adecoagro SA * | 1,318,712 | ||||||||
|
| |||||||||
Australia — 1.2% | ||||||||||
364,764 | Sandfire Resources NL | 1,250,686 | ||||||||
100,804 | Tassal Group Ltd | 270,843 | ||||||||
145,129 | Western Areas Ltd | 237,116 | ||||||||
|
| |||||||||
Total Australia | 1,758,645 | |||||||||
|
| |||||||||
Brazil — 1.5% | ||||||||||
173,400 | Duratex SA | 503,567 | ||||||||
277,400 | Sao Martinho SA | 1,223,831 | ||||||||
73,300 | SLC Agricola SA | 336,095 | ||||||||
|
| |||||||||
Total Brazil | 2,063,493 | |||||||||
|
| |||||||||
Canada — 7.7% | ||||||||||
231,863 | Canadian Solar Inc * | 7,533,229 | ||||||||
217,400 | Ivanhoe Mines Ltd – Class A * | 858,366 | ||||||||
1,720,100 | Largo Resources Ltd *(a) | 1,411,053 | ||||||||
52,600 | Lundin Mining Corp | 329,468 | ||||||||
54,100 | NFI Group Inc (a) | 732,062 | ||||||||
10,000 | TransAlta Renewables Inc (a) | 122,207 | ||||||||
|
| |||||||||
Total Canada | 10,986,385 | |||||||||
|
| |||||||||
China — 4.9% | ||||||||||
495,500 | CECEP Solar Energy Co Ltd – Class A | 321,363 | ||||||||
1,097,000 | Chaowei Power Holdings Ltd | 467,607 | ||||||||
667,000 | China Longyuan Power Group Corp Ltd – Class H | 420,423 | ||||||||
1,450,000 | China Suntien Green Energy Corp Ltd – Class H * | 388,619 | ||||||||
732,000 | China Water Affairs Group Ltd | 601,870 | ||||||||
55,500 | Hollysys Automation Technologies Ltd | 601,065 | ||||||||
1,382,000 | Sinofert Holdings Ltd * | 129,983 | ||||||||
140,100 | Sungrow Power Supply Co Ltd – Class A | 447,848 | ||||||||
950,000 | Tianneng Power International Ltd | 2,043,654 | ||||||||
848,000 | Wasion Group Holdings Ltd | 250,267 | ||||||||
425,474 | Zhengzhou Yutong Bus Co Ltd – Class A | 881,030 | ||||||||
127,200 | Zhuzhou CRRC Times Electric Co Ltd – Class H | 407,898 | ||||||||
|
| |||||||||
Total China | 6,961,627 | |||||||||
|
| |||||||||
Denmark — 1.2% | ||||||||||
785 | Rockwool International A/S – Class B | 296,601 | ||||||||
9,683 | Vestas Wind Systems A/S | 1,463,993 | ||||||||
|
| |||||||||
Total Denmark | 1,760,594 | |||||||||
|
| |||||||||
Finland — 1.5% | ||||||||||
42,741 | Kemira Oyj | 590,745 | ||||||||
29,153 | Neste Oyj | 1,560,716 | ||||||||
|
| |||||||||
Total Finland | 2,151,461 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
France — 9.0% | ||||||||||
8,365 | Albioma SA | 442,756 | ||||||||
107,732 | Electricite de France SA | 1,133,246 | ||||||||
22,332 | Nexans SA * | 1,252,753 | ||||||||
12,492 | Schneider Electric SE | 1,544,903 | ||||||||
36,243 | STMicroelectronics NV | 1,095,245 | ||||||||
118,357 | Suez | 2,043,873 | ||||||||
78,929 | Valeo SA | 2,423,868 | ||||||||
94,616 | Veolia Environnement SA | 2,282,801 | ||||||||
10,885 | Vilmorin & Cie SA | 615,266 | ||||||||
|
| |||||||||
Total France | 12,834,711 | |||||||||
|
| |||||||||
Germany — 2.7% | ||||||||||
13,683 | CENTROTEC Sustainable AG * | 230,251 | ||||||||
74,818 | E.ON SE | 886,130 | ||||||||
9,265 | Encavis AG | 169,230 | ||||||||
4,900 | Infineon Technologies AG | 136,251 | ||||||||
209 | Knorr-Bremse AG | 26,557 | ||||||||
17,650 | Siemens AG (Registered) | 2,445,683 | ||||||||
|
| |||||||||
Total Germany | 3,894,102 | |||||||||
|
| |||||||||
India — 0.5% | ||||||||||
609,266 | Jain Irrigation Systems Ltd * | 94,026 | ||||||||
265,086 | Power Grid Corp of India Ltd | 648,425 | ||||||||
|
| |||||||||
Total India | 742,451 | |||||||||
|
| |||||||||
Israel — 0.8% | ||||||||||
322,795 | ICL Group Ltd | 1,199,188 | ||||||||
|
| |||||||||
Italy — 4.5% | ||||||||||
446,185 | Enel SPA | 4,040,291 | ||||||||
8,164 | ERG SPA | 216,022 | ||||||||
76,070 | Prysmian SPA | 2,125,901 | ||||||||
|
| |||||||||
Total Italy | 6,382,214 | |||||||||
|
| |||||||||
Japan — 8.9% | ||||||||||
10,100 | Central Japan Railway Co | 1,514,211 | ||||||||
900 | Daikin Industries Ltd | 169,529 | ||||||||
22,700 | East Japan Railway Co | 1,477,741 | ||||||||
46,300 | Ebara Corp | 1,191,113 | ||||||||
56,200 | GS Yuasa Corp | 930,038 | ||||||||
15,300 | Iseki & Co Ltd | 167,379 | ||||||||
32,600 | Kurita Water Industries Ltd | 1,020,993 | ||||||||
5,700 | METAWATER Co Ltd | 239,461 | ||||||||
47,700 | Osaki Electric Co Ltd | 243,650 | ||||||||
208,000 | Panasonic Corp | 1,916,753 | ||||||||
232,900 | Renesas Electronics Corp * | 1,465,845 | ||||||||
14,000 | Sanken Electric Co Ltd | 288,429 | ||||||||
47,200 | Takuma Co Ltd | 755,584 | ||||||||
17,600 | Tsukishima Kikai Co Ltd | 208,500 |
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
21,800 | West Japan Railway Co | 1,146,397 | ||||||||
|
| |||||||||
Total Japan | 12,735,623 | |||||||||
|
| |||||||||
Mexico — 2.4% | ||||||||||
1,203,057 | Grupo Mexico SAB de CV | 3,210,791 | ||||||||
196,700 | Grupo Rotoplas SAB de CV * (a) | 143,826 | ||||||||
|
| |||||||||
Total Mexico | 3,354,617 | |||||||||
|
| |||||||||
Netherlands — 0.8% | ||||||||||
48,743 | Arcadis NV * (a) | 1,118,369 | ||||||||
|
| |||||||||
Norway — 1.7% | ||||||||||
224,754 | Austevoll Seafood ASA | 2,072,804 | ||||||||
27,157 | Grieg Seafood ASA | 275,028 | ||||||||
1,183 | Mowi ASA | 23,142 | ||||||||
|
| |||||||||
Total Norway | 2,370,974 | |||||||||
|
| |||||||||
Pakistan — 0.4% | ||||||||||
769,421 | Fauji Fertilizer Co Ltd | 501,223 | ||||||||
|
| |||||||||
Portugal — 1.7% | ||||||||||
463,127 | EDP—Energias de Portugal SA | 2,354,338 | ||||||||
|
| |||||||||
Russia — 4.6% | ||||||||||
123,414 | MMC Norilsk Nickel PJSC ADR | 3,238,950 | ||||||||
182,766 | PhosAgro PJSC GDR (Registered) | 2,162,850 | ||||||||
116,061 | Ros Agro Plc GDR (Registered) | 1,168,379 | ||||||||
|
| |||||||||
Total Russia | 6,570,179 | |||||||||
|
| |||||||||
Spain — 2.7% | ||||||||||
6,627 | Acciona SA (a) | 792,366 | ||||||||
2,409 | Construcciones y Auxiliar de Ferrocarriles SA | 86,225 | ||||||||
58,919 | Endesa SA | 1,635,575 | ||||||||
12,468 | Fomento de Construcciones y Contratas SA | 122,204 | ||||||||
54,179 | Red Electrica Corp SA | 1,036,885 | ||||||||
31,940 | Talgo SA * | 145,713 | ||||||||
|
| |||||||||
Total Spain | 3,818,968 | |||||||||
|
| |||||||||
Sweden — 0.3% | ||||||||||
12,960 | Holmen AB – B Shares * | 462,221 | ||||||||
|
| |||||||||
Switzerland — 1.4% | ||||||||||
769 | Gurit Holding AG | 1,455,050 | ||||||||
9,179 | Landis+Gyr Group AG * | 553,682 | ||||||||
|
| |||||||||
Total Switzerland | 2,008,732 | |||||||||
|
| |||||||||
Taiwan — 0.3% | ||||||||||
58,000 | Delta Electronics Inc | 373,020 | ||||||||
|
| |||||||||
Thailand — 0.2% | ||||||||||
525,000 | SPCG Pcl | 301,954 | ||||||||
|
|
Shares | Description | Value ($) | ||||||||
Ukraine — 0.7% | ||||||||||
98,018 | Kernel Holding SA | 1,025,949 | ||||||||
|
| |||||||||
United Kingdom — 3.3% | ||||||||||
19,600 | Abengoa Yield Plc | 588,588 | ||||||||
213,489 | Drax Group Plc | 803,786 | ||||||||
60,493 | Go-Ahead Group Plc | 529,196 | ||||||||
156,230 | KAZ Minerals Plc | 1,205,138 | ||||||||
90,880 | Polypipe Group Plc | 526,889 | ||||||||
159,653 | Renewables Infrastructure Group Ltd (The) | 292,087 | ||||||||
961,840 | Renewi Plc | 298,797 | ||||||||
667,156 | Stagecoach Group Plc | 384,179 | ||||||||
|
| |||||||||
Total United Kingdom | 4,628,660 | |||||||||
|
| |||||||||
United States — 26.9% | ||||||||||
17,300 | AGCO Corp. | 1,230,030 | ||||||||
11,460 | Albemarle Corp. | 1,042,975 | ||||||||
74,439 | BorgWarner, Inc. | 3,021,479 | ||||||||
54,400 | Delphi Technologies Plc * | 944,928 | ||||||||
19,100 | Eaton Corp Plc | 1,950,110 | ||||||||
15,300 | Edison International | 802,944 | ||||||||
5,000 | Emerson Electric Co. | 347,350 | ||||||||
15,400 | EnerSys | 1,108,492 | ||||||||
31,100 | Exelon Corp. | 1,147,901 | ||||||||
31,300 | First Solar, Inc. * | 2,397,267 | ||||||||
128,509 | Freeport-McMoRan, Inc. | 2,006,025 | ||||||||
49,100 | FutureFuel Corp. | 594,110 | ||||||||
787,366 | GrafTech International Ltd. (a) | 5,243,858 | ||||||||
120,900 | Livent Corp. *(a) | 1,025,232 | ||||||||
238,284 | Mosaic Co. (The) | 4,343,917 | ||||||||
14,600 | MYR Group, Inc. * | 566,626 | ||||||||
78,000 | ON Semiconductor Corp. * | 1,666,860 | ||||||||
33,800 | Owens Corning | 2,286,232 | ||||||||
93,428 | Renewable Energy Group, Inc. * | 3,123,298 | ||||||||
8,200 | Rexnord Corp. | 237,472 | ||||||||
6,987 | SolarEdge Technologies, Inc. * | 1,545,175 | ||||||||
15,400 | TE Connectivity Ltd. | 1,487,640 | ||||||||
1,600 | Valmont Industries, Inc. | 203,280 | ||||||||
|
| |||||||||
Total United States | 38,323,201 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $118,064,944) | 132,001,611 | |||||||||
|
| |||||||||
PREFERRED STOCKS (b) — 3.0% | ||||||||||
Chile — 3.0% | ||||||||||
137,200 | Sociedad Quimica y Minera de Chile SA Sponsored ADR | 4,302,592 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $5,011,244) | 4,302,592 | |||||||||
|
|
See accompanying notes to the financial statements. | 3 |
GMO Climate Change Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
MUTUAL FUNDS — 4.0% |
| |||||||||
United States — 4.0% | ||||||||||
Affiliated Issuers — 4.0% |
| |||||||||
75,069 | GMO U.S. Treasury Fund (c) | 5,778,990 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $5,778,990) | 5,778,990 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.5% |
| |||||||||
Money Market Funds — 0.5% | ||||||||||
670,861 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (d) | 670,861 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $670,861) | 670,861 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.2% (Cost $129,526,039) | 142,754,054 | |||||||||
Other Assets and Liabilities (net) — (0.2%) | (310,244 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $142,443,810 | |||||||||
|
|
* | Non-income producing security. |
(a) | All or a portion of this security is out on loan (Note 2). |
(b) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
(c) | All or a portion of this security is purchased with collateral from securities loaned (Note 2). |
(d) | The rate disclosed is the 7 day net yield as of August 31, 2020. |
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 51.
4 | See accompanying notes to the financial statements. |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2020 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 96.8 | % | ||
Preferred Stocks | 2.4 | |||
Mutual Funds | 0.5 | |||
Short-Term Investments | 0.1 | |||
Other | 0.2 | |||
|
| |||
100.0 | % | |||
|
|
Country/Region Summary¤ | % of Investments | |||
United States | 51.4 | % | ||
United Kingdom | 11.8 | |||
France | 7.4 | |||
Spain | 4.6 | |||
Russia | 4.5 | |||
Canada | 3.5 | |||
Germany | 3.4 | |||
Finland | 2.9 | |||
Mexico | 2.7 | |||
Brazil | 2.4 | |||
Japan | 2.4 | |||
Ireland | 2.1 | |||
Other Developed | 0.9 | ‡ | ||
|
| |||
100.0 | % | |||
|
|
Industry Group Summary | % of Equity Investments# | |||
Consumer Durables & Apparel | 15.1 | % | ||
Capital Goods | 12.5 | |||
Energy | 12.2 | |||
Materials | 12.0 | |||
Consumer Services | 9.6 | |||
Diversified Financials | 7.8 | |||
Semiconductors & Semiconductor Equipment | 6.1 | |||
Banks | 5.0 | |||
Retailing | 4.9 | |||
Transportation | 4.3 | |||
Automobiles & Components | 3.1 | |||
Technology Hardware & Equipment | 3.0 | |||
Software & Services | 2.2 | |||
Insurance | 2.2 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). |
¤ | The table 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. |
5
GMO Cyclical Focus Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 96.8% |
| |||||||||
Canada — 3.5% | ||||||||||
69,374 | Brookfield Asset Management Inc – Class A | 2,340,679 | ||||||||
66,300 | Nutrien Ltd | 2,444,481 | ||||||||
|
| |||||||||
Total Canada | 4,785,160 | |||||||||
|
| |||||||||
Finland — 2.9% | ||||||||||
74,161 | Neste Oyj | 3,970,235 | ||||||||
|
| |||||||||
France — 7.4% | ||||||||||
4,745 | Kering SA | 2,911,360 | ||||||||
6,649 | LVMH Moet Hennessy Louis Vuitton SE | 3,122,520 | ||||||||
34,646 | Safran SA * | 4,001,073 | ||||||||
|
| |||||||||
Total France | 10,034,953 | |||||||||
|
| |||||||||
Germany — 3.4% | ||||||||||
167,689 | Infineon Technologies AG | 4,662,825 | ||||||||
|
| |||||||||
Ireland — 2.1% | ||||||||||
201,778 | Ryanair Holdings Plc * | 2,868,746 | ||||||||
|
| |||||||||
Japan — 2.4% | ||||||||||
18,500 | FANUC Corp | 3,245,500 | ||||||||
|
| |||||||||
Mexico — 2.7% | ||||||||||
1,383,000 | Grupo Mexico SAB de CV Series B | 3,691,034 | ||||||||
|
| |||||||||
Russia — 4.4% | ||||||||||
43,366 | LUKOIL PJSC Sponsored ADR | 2,967,192 | ||||||||
20,778 | Novatek PJSC Sponsered GDR (Registered) | 3,101,803 | ||||||||
|
| |||||||||
Total Russia | 6,068,995 | |||||||||
|
| |||||||||
Spain — 4.6% | ||||||||||
54,026 | Amadeus IT Group SA | 3,035,030 | ||||||||
113,962 | Industria de Diseno Textil SA | 3,204,295 | ||||||||
|
| |||||||||
Total Spain | 6,239,325 | |||||||||
|
| |||||||||
Switzerland — 0.9% | ||||||||||
1,198 | Partners Group Holding AG | 1,220,413 | ||||||||
|
| |||||||||
United Kingdom — 11.8% | ||||||||||
144,342 | Anglo American Plc | 3,547,160 | ||||||||
64,499 | Berkeley Group Holdings Plc (The) | 3,897,897 | ||||||||
258,958 | Compass Group Plc | 4,190,446 | ||||||||
128,502 | Persimmon Plc | 4,465,218 | ||||||||
|
| |||||||||
Total United Kingdom | 16,100,721 | |||||||||
|
| |||||||||
United States — 50.7% | ||||||||||
41,676 | American Express Co. | 4,233,865 | ||||||||
17,299 | Applied Materials, Inc. | 1,065,618 | ||||||||
1,800 | Booking Holdings, Inc. * | 3,438,810 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
104,100 | BorgWarner, Inc. | 4,225,419 | ||||||||
78,427 | Charles Schwab Corp. (The) | 2,786,511 | ||||||||
107,985 | Cheesecake Factory, Inc. (The) | 3,188,797 | ||||||||
34,400 | Chevron Corp. | 2,887,192 | ||||||||
93,500 | Corteva, Inc. | 2,669,425 | ||||||||
77,852 | EOG Resources, Inc. | 3,529,810 | ||||||||
33,600 | Hasbro, Inc. | 2,652,384 | ||||||||
31,522 | Hilton Worldwide Holdings, Inc. | 2,848,328 | ||||||||
16,300 | Honeywell International, Inc. | 2,698,465 | ||||||||
17,200 | Illinois Tool Works, Inc. | 3,397,860 | ||||||||
55,563 | Las Vegas Sands Corp. | 2,817,600 | ||||||||
100,300 | Lyft, Inc. – Class A *(a) | 2,975,901 | ||||||||
2,759 | Markel Corp. * | 2,998,564 | ||||||||
54,292 | Micron Technology, Inc. * | 2,470,829 | ||||||||
58,082 | Raytheon Technologies Corp. | 3,543,002 | ||||||||
98,687 | Sensata Technologies Holding Plc * | 4,109,327 | ||||||||
117,485 | US Bancorp | 4,276,454 | ||||||||
41,100 | Verso Corp. – Class A | 538,821 | ||||||||
52,323 | VF Corp. | 3,440,237 | ||||||||
103,279 | Wells Fargo & Co. | 2,494,188 | ||||||||
|
| |||||||||
Total United States | 69,287,407 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $116,454,539) | 132,175,314 | |||||||||
|
| |||||||||
PREFERRED STOCKS (b) — 2.4% | ||||||||||
Brazil — 2.4% | ||||||||||
414,500 | Bradespar SA | 3,328,257 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $2,340,330) | 3,328,257 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 0.5% | ||||||||||
United States — 0.5% | ||||||||||
Affiliated Issuers — 0.5% | ||||||||||
128,968 | GMO U.S. Treasury Fund | 650,000 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $650,000) | 650,000 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
Money Market Funds — 0.1% | ||||||||||
113,682 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (c) | 113,682 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $113,682) | 113,682 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.8% (Cost $119,558,551) | 136,267,253 | |||||||||
Other Assets and Liabilities (net) — 0.2% | 269,640 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $136,536,893 | |||||||||
|
|
6 | See accompanying notes to the financial statements. |
GMO Cyclical Focus Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
Notes to Schedule of Investments:
* | Non-income producing security. |
(a) | All or a portion of this security is out on loan (Note 2). |
(b) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
(c) | The rate disclosed is the 7 day net yield as of August 31, 2020. |
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 51.
See accompanying notes to the financial statements. | 7 |
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2020 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 79.9 | % | ||
Investment Funds | 14.0 | |||
Mutual Funds | 2.1 | |||
Short-Term Investments | 1.7 | |||
Preferred Stocks | 0.8 | |||
Futures Contracts | 0.2 | |||
Forward Currency Contracts | (0.1 | ) | ||
Swap Contracts | (0.1 | ) | ||
Other | 1.5 | |||
|
| |||
100.0 | % | |||
|
|
Country/Region Summary¤ | % of Investments | |||
China | 41.1 | % | ||
United States | 17.4 | * | ||
Taiwan | 13.8 | |||
South Korea | 7.7 | |||
India | 6.3 | |||
Russia | 5.9 | |||
Brazil | 2.6 | |||
Switzerland | 2.3 | |||
Philippines | 0.6 | |||
Mexico | 0.5 | |||
Thailand | 0.5 | |||
Japan | 0.3 | |||
Indonesia | 0.3 | |||
Panama | 0.2 | |||
France | 0.2 | |||
Singapore | 0.2 | |||
Vietnam | 0.1 | |||
|
| |||
100.0 | % | |||
|
|
Industry Group Summary | % of Equity Investments# | |||
Retailing | 18.0 | % | ||
Media & Entertainment | 17.4 | |||
Technology Hardware & Equipment | 12.5 | |||
Semiconductors & Semiconductor Equipment | 11.4 | |||
Food, Beverage & Tobacco | 6.3 | |||
Banks | 5.5 | |||
Consumer Services | 3.5 | |||
Consumer Durables & Apparel | 3.4 | |||
Food & Staples Retailing | 2.9 | |||
Materials | 2.7 | |||
Diversified Financials | 2.5 | |||
Telecommunication Services | 2.0 | |||
Capital Goods | 2.0 | |||
Energy | 1.7 | |||
Insurance | 1.5 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 1.5 | |||
Transportation | 1.4 | |||
Automobiles & Components | 0.9 | |||
Health Care Equipment & Services | 0.8 | |||
Real Estate | 0.6 | |||
Software & Services | 0.6 | |||
Household & Personal Products | 0.6 | |||
Utilities | 0.3 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). |
¤ | The table 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. |
8
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 79.9% |
| |||||||||
Brazil — 1.8% | ||||||||||
827,600 | Atacadao SA | 2,953,287 | ||||||||
316,200 | B3 SA—Brasil Bolsa Balcao | 3,393,732 | ||||||||
3,700 | MercadoLibre Inc * | 4,323,783 | ||||||||
19,654,500 | Oi SA * | 6,098,868 | ||||||||
|
| |||||||||
Total Brazil | 16,769,670 | |||||||||
|
| |||||||||
China — 38.5% | ||||||||||
424,400 | Alibaba Group Holding Ltd * | 15,276,210 | ||||||||
228,576 | Alibaba Group Holding Ltd Sponsored ADR * | 65,608,169 | ||||||||
351,191 | Angel Yeast Co Ltd – Class A | 3,559,423 | ||||||||
740,000 | Anhui Conch Cement Co Ltd – Class H | 5,357,185 | ||||||||
133,000 | Archosaur Games, Inc. * | 388,693 | ||||||||
329,400 | Beijing Oriental Yuhong Waterproof Technology Co Ltd – Class A | 2,877,564 | ||||||||
37,800 | Bilibili, Inc. Sponsored ADR * | 1,786,050 | ||||||||
199,300 | Chacha Food Co Ltd – Class A | 2,011,971 | ||||||||
1,972,002 | China Merchants Bank Co Ltd – Class H | 9,408,329 | ||||||||
560,500 | China Mobile Ltd | 3,922,331 | ||||||||
2,380,000 | CSPC Pharmaceutical Group Ltd | 5,258,414 | ||||||||
17,200 | Hangzhou Tigermed Consulting Co Ltd – Class H * | 281,629 | ||||||||
432,800 | JD.com Inc ADR * | 34,035,392 | ||||||||
124,350 | JD.com Inc – Class A * | 4,983,498 | ||||||||
604,752 | Jiangsu Hengli Hydraulic Co Ltd – Class A | 5,774,429 | ||||||||
3,158,000 | Kunlun Energy Co Ltd | 2,349,732 | ||||||||
34,987 | Kweichow Moutai Co Ltd – Class A | 9,112,268 | ||||||||
826,000 | Li Ning Co Ltd | 3,488,945 | ||||||||
455,500 | Longfor Group Holdings Ltd | 2,409,829 | ||||||||
351,300 | Meituan Dianping – Class B * | 11,580,322 | ||||||||
4,245,200 | MGM China Holdings Ltd | 6,166,594 | ||||||||
1,135,282 | Midea Group Co Ltd – Class A | 11,679,624 | ||||||||
90,200 | NetEase Inc | 1,810,936 | ||||||||
43,200 | NetEase Inc ADR | 21,047,472 | ||||||||
32,600 | New Oriental Education & Technology Group Inc Sponsored ADR * | 4,780,138 | ||||||||
20,800 | Nongfu Spring Co Ltd | 58,283 | ||||||||
1,079,746 | Ping An Insurance Group Co of China Ltd – Class H | 11,527,801 | ||||||||
37,500 | QUALCOMM, Inc. | 4,466,250 | ||||||||
331,400 | SF Holding Co Ltd – Class A | 4,113,946 | ||||||||
117,683 | Shenzhen Mindray Bio-Medical Electronics Co Ltd – Class A | 5,871,958 | ||||||||
850,721 | Shenzhen YUTO Packaging Technology Co Ltd – Class A | 4,580,540 | ||||||||
276,900 | Shenzhou International Group Holdings Ltd | 4,458,270 | ||||||||
1,062,062 | Suofeiya Home Collection Co Ltd – Class A | 4,117,726 | ||||||||
108,800 | TAL Education Group ADR * | 8,030,528 | ||||||||
940,384 | Tencent Holdings Ltd | 64,245,487 | ||||||||
167,700 | Tencent Music Entertainment Group ADR * | 2,621,151 |
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
153,430 | Wuliangye Yibin Co Ltd – Class A | 5,367,679 | ||||||||
218,000 | Yihai International Holding Ltd | 3,420,711 | ||||||||
115,800 | Yum China Holdings Inc | 6,682,818 | ||||||||
366,500 | Zhongsheng Group Holdings Ltd | 2,285,671 | ||||||||
|
| |||||||||
Total China | 366,803,966 | |||||||||
|
| |||||||||
France — 0.2% | ||||||||||
5,956 | L’Oreal SA | 1,976,496 | ||||||||
|
| |||||||||
India — 6.0% | ||||||||||
34,983 | Britannia Industries Ltd | 1,768,173 | ||||||||
177,437 | Cipla Ltd | 1,706,355 | ||||||||
125,365 | Deepak Nitrite Ltd | 1,160,333 | ||||||||
21,690 | Dixon Technologies India Ltd | 2,380,792 | ||||||||
6,052,457 | Gayatri Projects Ltd * | 1,301,437 | ||||||||
159,609 | HDFC Bank Ltd * | 2,412,805 | ||||||||
164,583 | Hero MotoCorp Ltd | 6,730,632 | ||||||||
466,704 | ICICI Bank Ltd * | 2,470,011 | ||||||||
24,265 | IndiaMART InterMESH Ltd * | 1,241,146 | ||||||||
69,271 | Ipca Laboratories Ltd | 1,787,414 | ||||||||
42,148 | Jubilant Foodworks Ltd | 1,198,558 | ||||||||
94,882 | Kotak Mahindra Bank Ltd | 1,805,119 | ||||||||
586,324 | Muthoot Finance Ltd | 9,167,213 | ||||||||
405,300 | Reliance Industries Ltd | 11,388,646 | ||||||||
407,539 | SBI Cards & Payment Services Ltd | 4,456,323 | ||||||||
338,398 | Tata Consumer Products Ltd | 2,455,960 | ||||||||
60,502 | Torrent Pharmaceuticals Ltd | 2,176,582 | ||||||||
9,663,064 | Yes Bank Ltd * | 1,880,426 | ||||||||
|
| |||||||||
Total India | 57,487,925 | |||||||||
|
| |||||||||
Indonesia — 0.2% | ||||||||||
1,050,800 | Bank Central Asia Tbk PT | 2,263,389 | ||||||||
|
| |||||||||
Japan — 0.3% | ||||||||||
13,000 | Daikin Industries Ltd | 2,448,748 | ||||||||
|
| |||||||||
Mexico — 0.5% | ||||||||||
2,002,924 | Wal-Mart de Mexico SAB de CV | 4,796,327 | ||||||||
|
| |||||||||
Panama — 0.2% | ||||||||||
37,500 | Copa Holdings SA – Class A | 1,996,875 | ||||||||
|
| |||||||||
Philippines — 0.6% | ||||||||||
3,653,440 | Puregold Price Club Inc | 4,065,515 | ||||||||
9,925,400 | Semirara Mining & Power Corp | 1,927,228 | ||||||||
|
| |||||||||
Total Philippines | 5,992,743 | |||||||||
|
| |||||||||
Russia — 1.8% | ||||||||||
1,213,380 | Moscow Exchange MICEX-RTS PJSC | 2,243,752 | ||||||||
366,866 | Sberbank of Russia PJSC Sponsored ADR * | 4,408,143 |
See accompanying notes to the financial statements. | 9 |
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Russia — continued | ||||||||||
177,820 | X5 Retail Group NV GDR (Registered) | 6,516,315 | ||||||||
55,600 | Yandex NV – Class A * | 3,793,588 | ||||||||
|
| |||||||||
Total Russia | 16,961,798 | |||||||||
|
| |||||||||
Singapore — 0.2% | ||||||||||
10,700 | Sea Ltd ADR * | 1,635,067 | ||||||||
|
| |||||||||
South Korea — 7.4% | ||||||||||
11,662 | Kakao Corp | 3,984,691 | ||||||||
111,969 | KB Financial Group Inc | 3,473,905 | ||||||||
1,893 | LG Household & Health Care Ltd | 2,344,150 | ||||||||
13,510 | NAVER Corp | 3,658,223 | ||||||||
1,093,270 | Samsung Electronics Co Ltd | 49,641,171 | ||||||||
78,859 | SK Hynix Inc | 4,983,571 | ||||||||
10,938 | SK Telecom Co Ltd | 2,280,591 | ||||||||
|
| |||||||||
Total South Korea | 70,366,302 | |||||||||
|
| |||||||||
Switzerland — 2.2% | ||||||||||
173,887 | Nestle SA (Registered) | 20,944,191 | ||||||||
|
| |||||||||
Taiwan — 13.4% | ||||||||||
335,458 | Advantech Co Ltd | 3,474,419 | ||||||||
200,000 | Airtac International Group | 4,430,208 | ||||||||
1,107,000 | Delta Electronics Inc | 7,119,543 | ||||||||
1,455,000 | E Ink Holdings Inc | 2,034,691 | ||||||||
4,191,991 | E.Sun Financial Holding Co Ltd | 3,886,449 | ||||||||
20,000 | Largan Precision Co Ltd | 2,310,769 | ||||||||
169,000 | MediaTek Inc | 3,195,766 | ||||||||
765,000 | Micro-Star International Co Ltd | 3,531,760 | ||||||||
1,596,000 | Pegatron Corp | 3,394,808 | ||||||||
2,095,000 | Quanta Computer Inc | 5,490,917 | ||||||||
512,000 | Sinbon Electronics Co Ltd | 3,150,021 | ||||||||
4,805,385 | Taiwan Cement Corp | 7,025,947 | ||||||||
4,728,800 | Taiwan Semiconductor Manufacturing Co Ltd | 68,922,610 | ||||||||
71,900 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR | 5,698,075 | ||||||||
3,289,000 | Wistron Corp | 3,567,292 | ||||||||
|
| |||||||||
Total Taiwan | 127,233,275 | |||||||||
|
| |||||||||
Thailand — 1.1% | ||||||||||
2,414,300 | Airports of Thailand Pcl (Foreign Registered) | 4,362,011 | ||||||||
2,133,600 | CP ALL Pcl (Foreign Registered) * | 4,359,113 | ||||||||
6,630,900 | Quality Houses Leasehold Property Fund | 2,100,597 | ||||||||
|
| |||||||||
Total Thailand | 10,821,721 | |||||||||
|
| |||||||||
United States — 4.8% | ||||||||||
96,400 | Apple, Inc. | 12,439,456 | ||||||||
97,450 | Facebook, Inc. – Class A * | 28,572,340 | ||||||||
20,600 | Visa, Inc. – Class A | 4,366,994 | ||||||||
|
| |||||||||
Total United States | 45,378,790 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Vietnam — 0.7% | ||||||||||
1,868,190 | Bank for Foreign Trade of Vietnam JSC | 6,677,807 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $617,656,759) | 760,555,090 | |||||||||
|
| |||||||||
PREFERRED STOCKS (a) — 0.8% | ||||||||||
Brazil — 0.8% | ||||||||||
1,029,300 | Banco Bradesco SA | 3,896,629 | ||||||||
389,700 | Telefonica Brasil SA | 3,402,984 | ||||||||
|
| |||||||||
Total Brazil | 7,299,613 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $7,720,934) | 7,299,613 | |||||||||
|
| |||||||||
INVESTMENT FUNDS — 14.0% | ||||||||||
China — 1.2% | ||||||||||
2,496,700 | iShares FTSE A50 China ETF | 5,504,811 | ||||||||
149,600 | iShares MSCI China A ETF | 5,692,280 | ||||||||
|
| |||||||||
Total China | 11,197,091 | |||||||||
|
| |||||||||
Russia — 3.9% | ||||||||||
1,660,500 | VanEck Vectors Russia ETF | 37,660,140 | ||||||||
|
| |||||||||
Thailand — 2.2% | ||||||||||
43,578,190 | Digital Telecommunications Infrastructure Fund | 20,710,593 | ||||||||
|
| |||||||||
United States — 6.7% | ||||||||||
1,201,775 | iShares Core MSCI Emerging Markets ETF | 64,054,608 | ||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $130,067,075) | 133,622,432 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 2.1% | ||||||||||
United States — 2.1% | ||||||||||
Affiliated Issuers — 2.1% | ||||||||||
4,000,761 | GMO U.S. Treasury Fund | 20,163,838 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $20,163,838) | 20,163,838 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 1.7% | ||||||||||
Money Market Funds — 1.2% | ||||||||||
10,987,007 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (b) | 10,987,007 | ||||||||
|
|
10 | See accompanying notes to the financial statements. |
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
U.S. Government — 0.5% | ||||||||||
5,000,000 | U.S. Treasury Bill, 0.05%, due 01/14/21 (c)(d) | 4,997,820 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $15,984,446) | 15,984,827 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 98.5% (Cost $791,593,052) | 937,625,800 | |||||||||
Other Assets and Liabilities (net) — 1.5% | 14,540,500 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $952,166,300 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2020 is as follows:
Forward Currency Contracts
Settlement Date | Counter- | Currency Sold | Currency Purchased | Net Unrealized Appre- ciation (Depre- ciation) ($) | ||||||||||||||||||
10/30/2020 | BCLY | THB | 287,504,475 | USD | 9,044,406 | (191,578 | ) | |||||||||||||||
11/23/2020 | BCLY | THB | 290,804,608 | USD | 9,287,529 | (53,760 | ) | |||||||||||||||
02/25/2021 | MSCI | THB | 1,537,784,049 | USD | 48,609,987 | (775,882 | ) | |||||||||||||||
02/25/2021 | MSCI | USD | 48,894,048 | THB | 1,537,784,049 | 491,821 | ||||||||||||||||
|
| |||||||||||||||||||||
$ | (529,399 | ) | ||||||||||||||||||||
|
|
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Buys | ||||||||||||
546 | Mini MSCI Emerging Markets | September 2020 | $ | 30,040,920 | $ | 583,196 | ||||||
|
|
|
| |||||||||
Sales | ||||||||||||
4,942 | SET 50 | September 2020 | $ | 26,774,898 | $ | 1,336,959 | ||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
Swap Contracts
OTC Total Return Swaps
Fund Pays | Fund Receives | Counterparty | Notional Amount | Expiration | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||
Total return on MSCI Vietnam Net Total Return Index | 3 Month USD LIBOR plus a spread of (4.00)% | GS | USD | 2,499,996 | 07/30/2021 | Quarterly | — | (267,235 | ) | (267,235 | ) | |||||||||||||||||
Total return on MSCI Vietnam Net Total Return Index | 3 Month USD LIBOR plus a spread of (4.00)% | GS | USD | 2,817,982 | 07/30/2021 | Quarterly | — | (290,978 | ) | (290,978 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | — | $ | (558,213 | ) | $ | (558,213 | ) | |||||||||||||||||||||
|
|
|
|
|
|
As of August 31, 2020, 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) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
(b) | The rate disclosed is the 7 day net yield as of August 31, 2020. |
(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 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 51.
See accompanying notes to the financial statements. | 11 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2020 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 89.3 | % | ||
Preferred Stocks | 4.3 | |||
Investment Funds | 2.1 | |||
Short-Term Investments | 1.5 | |||
Debt Obligations | 0.7 | |||
Futures Contracts | 0.5 | |||
Swap Contracts | 0.0 | ^ | ||
Other | 1.6 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | % of Investments | |||
China | 38.5 | % | ||
Taiwan | 17.7 | |||
Russia | 15.9 | |||
United States | 8.3 | * | ||
South Africa | 3.9 | |||
South Korea | 3.7 | |||
Mexico | 2.3 | |||
Indonesia | 2.3 | |||
Poland | 1.4 | |||
India | 1.2 | |||
Turkey | 1.1 | |||
United Kingdom | 0.7 | * | ||
Thailand | 0.7 | |||
Kuwait | 0.5 | |||
Qatar | 0.4 | |||
Pakistan | 0.4 | |||
Philippines | 0.3 | |||
Vietnam | 0.1 | |||
Brazil | 0.1 | |||
United Arab Emirates | 0.1 | |||
Argentina | 0.1 | |||
Malaysia | 0.1 | |||
Colombia | 0.1 | |||
Czech Republic | 0.1 | |||
Chile | 0.0 | ^ | ||
Sri Lanka | 0.0 | ^ | ||
Saudi Arabia | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
Industry Group Summary | % of Equity Investments# | |||
Banks | 17.0 | % | ||
Technology Hardware & Equipment | 12.1 | |||
Materials | 10.8 | |||
Energy | 10.4 | |||
Retailing | 8.7 | |||
Real Estate | 7.8 | |||
Semiconductors & Semiconductor Equipment | 7.0 | |||
Insurance | 4.3 | |||
Media & Entertainment | 3.9 | |||
Automobiles & Components | 3.3 | |||
Capital Goods | 3.0 | |||
Diversified Financials | 2.5 | |||
Consumer Durables & Apparel | 2.3 | |||
Utilities | 1.8 | |||
Food, Beverage & Tobacco | 1.3 | |||
Household & Personal Products | 1.1 | |||
Telecommunication Services | 0.7 | |||
Transportation | 0.7 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 0.5 | |||
Food & Staples Retailing | 0.4 | |||
Software & Services | 0.1 | |||
Commercial & Professional Services | 0.1 | |||
Consumer Services | 0.1 | |||
Health Care Equipment & Services | 0.1 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). |
¤ | The table 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%. |
12
GMO Emerging Markets Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 89.3% |
| |||||||||
Argentina — 0.1% | ||||||||||
161,800 | Banco BBVA Argentina SA ADR * | 545,265 | ||||||||
56,800 | Banco Macro SA ADR * | 1,076,360 | ||||||||
91,900 | Grupo Financiero Galicia SA ADR * | 949,327 | ||||||||
|
| |||||||||
Total Argentina | 2,570,952 | |||||||||
|
| |||||||||
Brazil — 0.0% | ||||||||||
85,500 | WEG SA | 1,008,490 | ||||||||
|
| |||||||||
Chile — 0.0% | ||||||||||
556,965 | Banco de Chile | 46,556 | ||||||||
4,647,578 | Enel Americas SA | 668,722 | ||||||||
54,123 | Inversiones La Construccion SA | 351,543 | ||||||||
|
| |||||||||
Total Chile | 1,066,821 | |||||||||
|
| |||||||||
China — 38.3% | ||||||||||
4,972,000 | 361 Degrees International Ltd | 659,980 | ||||||||
319,000 | A-Living Services Co Ltd – Class H | 1,643,795 | ||||||||
1,624,000 | Agile Group Holdings Ltd | 2,238,881 | ||||||||
16,691,400 | Agricultural Bank of China Ltd – Class A | 7,814,689 | ||||||||
86,383,290 | Agricultural Bank of China Ltd – Class H | 28,849,915 | ||||||||
121,900 | Alibaba Group Holding Ltd * | 4,387,771 | ||||||||
518,926 | Alibaba Group Holding Ltd Sponsored ADR * | 148,947,330 | ||||||||
4,191,457 | Anhui Conch Cement Co Ltd – Class A | 37,198,442 | ||||||||
1,528,899 | Anhui Expressway Co Ltd – Class A | 1,201,560 | ||||||||
124,000 | ANTA Sports Products Ltd | 1,222,320 | ||||||||
506,000 | Asia Cement China Holdings Corp | 512,377 | ||||||||
91,548,682 | Bank of China Ltd – Class H | 29,770,674 | ||||||||
3,311,992 | Beijing North Star Co Ltd – Class A | 1,351,886 | ||||||||
642,500 | Budweiser Brewing Co APAC Ltd | 2,164,620 | ||||||||
8,521,878 | China Communications Services Corp Ltd – Class H | 5,582,410 | ||||||||
10,714,537 | China Construction Bank Corp – Class A | 9,688,577 | ||||||||
133,136,906 | China Construction Bank Corp – Class H | 93,823,382 | ||||||||
1,484,000 | China Dongxiang Group Co Ltd | 193,369 | ||||||||
4,196,000 | China Feihe Ltd | 8,486,098 | ||||||||
532,300 | China International Travel Service Corp Ltd – Class A | 16,131,875 | ||||||||
12,836,000 | China Jinmao Holdings Group Ltd | 8,015,156 | ||||||||
200,000 | China Kepei Education Group Ltd | 176,628 | ||||||||
2,438,000 | China Lesso Group Holdings Ltd | 4,539,821 | ||||||||
9,465,000 | China Machinery Engineering Corp – Class H | 2,219,515 | ||||||||
1,024,000 | China Medical System Holdings Ltd | 1,153,288 | ||||||||
115,464 | China Merchants Bank Co Ltd – Class A | 634,805 | ||||||||
51,500 | China Merchants Bank Co Ltd – Class H | 245,704 | ||||||||
778,437 | China Mobile Ltd | 5,447,435 | ||||||||
4,706,000 | China Oriental Group Co Ltd | 1,321,457 | ||||||||
1,240,000 | China Overseas Grand Oceans Group Ltd | 806,528 | ||||||||
8,956,500 | China Overseas Land & Investment Ltd | 25,906,591 |
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
200 | China Pacific Insurance Group Co Ltd – Class H | 555 | ||||||||
11,890,000 | China Resources Cement Holdings Ltd | 17,315,431 | ||||||||
1,122,000 | China Resources Gas Group Ltd | 5,262,957 | ||||||||
7,006,000 | China Resources Land Ltd | 32,364,980 | ||||||||
887,000 | China SCE Group Holdings Ltd | 461,658 | ||||||||
5,636,796 | China Shenhua Energy Co Ltd – Class A | 13,278,503 | ||||||||
12,872,500 | China Shenhua Energy Co Ltd – Class H | 21,376,072 | ||||||||
5,190,081 | China Vanke Co Ltd – Class A | 20,636,373 | ||||||||
225,200 | China Vanke Co Ltd – Class H | 699,054 | ||||||||
38,000 | CIFI Holdings Group Co Ltd | 32,300 | ||||||||
12,670,714 | Country Garden Holdings Co Ltd | 15,688,388 | ||||||||
264,000 | Country Garden Services Holdings Co Ltd | 1,839,322 | ||||||||
162,000 | Dali Foods Group Co Ltd | 99,148 | ||||||||
433,200 | Dongfang Electric Corp Ltd – Class A | 632,151 | ||||||||
3,099,000 | Dongyue Group Ltd | 1,327,665 | ||||||||
67,200 | ENN Energy Holdings Ltd | 744,574 | ||||||||
423,000 | Fu Shou Yuan International Group Ltd | 437,561 | ||||||||
11,169,000 | Geely Automobile Holdings Ltd | 23,770,757 | ||||||||
2,127,000 | Greenland Hong Kong Holdings Ltd | 706,691 | ||||||||
17,722,000 | Guangdong Investment Ltd | 27,634,329 | ||||||||
413,000 | Haier Electronics Group Co Ltd | 1,413,046 | ||||||||
193,000 | Haitian International Holdings Ltd | 466,920 | ||||||||
679,922 | Hangzhou Robam Appliances Co Ltd – Class A | 3,865,314 | ||||||||
56,300 | Hangzhou Tigermed Consulting Co Ltd – Class H * | 921,843 | ||||||||
160,000 | Hansoh Pharmaceutical Group Co Ltd * | 756,365 | ||||||||
1,279,500 | Hebei Construction Group Corp Ltd – Class H | 2,824,688 | ||||||||
36,000 | Hengan International Group Co Ltd | 283,463 | ||||||||
7,271,255 | Hisense Home Appliances Group Co Ltd – Class A | 14,859,617 | ||||||||
217,500 | Hollysys Automation Technologies Ltd | 2,355,525 | ||||||||
168,000 | Hopson Development Holdings Ltd | 336,238 | ||||||||
10,248,000 | Hua Han Health Industry Holdings Ltd *(a) | 687,590 | ||||||||
920,650 | Huaxin Cement Co Ltd – Class A | 3,748,358 | ||||||||
1,152,342 | Huayu Automotive Systems Co Ltd – Class A | 4,196,429 | ||||||||
6,179,800 | Industrial & Commercial Bank of China Ltd – Class A | 4,470,809 | ||||||||
101,008,647 | Industrial & Commercial Bank of China Ltd – Class H | 56,298,095 | ||||||||
1,684,000 | Kingboard Laminates Holdings Ltd | 2,120,821 | ||||||||
68,707 | Kweichow Moutai Co Ltd – Class A | 17,894,549 | ||||||||
3,133,000 | KWG Property Holding Ltd | 5,945,733 | ||||||||
130,492 | Lao Feng Xiang Co Ltd – Class A | 1,023,381 | ||||||||
535,900 | Livzon Pharmaceutical Group Inc – Class A | 4,177,295 | ||||||||
3,227,000 | Logan Group Co Ltd | 6,002,205 | ||||||||
2,486,000 | Longfor Group Holdings Ltd | 13,152,219 | ||||||||
2,888,000 | Lonking Holdings Ltd | 826,538 | ||||||||
550,506 | Midea Group Co Ltd – Class A | 5,663,530 | ||||||||
108,000 | Minth Group Ltd | 364,095 | ||||||||
186,100 | NetEase Inc | 3,736,311 |
See accompanying notes to the financial statements. | 13 |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
111,300 | NetEase Inc ADR | 54,226,473 | ||||||||
66,200 | Nongfu Spring Co Ltd | 185,498 | ||||||||
1,642,000 | PAX Global Technology Ltd | 943,917 | ||||||||
32,615,000 | PICC Property & Casualty Co Ltd – Class H | 25,151,172 | ||||||||
36,600 | Poly Property Services Co Ltd | 320,035 | ||||||||
20,685,000 | Postal Savings Bank of China Co Ltd – Class H | 9,792,333 | ||||||||
5,848,400 | Qingling Motors Co Ltd – Class H | 1,040,619 | ||||||||
203,000 | Road King Infrastructure Ltd | 269,508 | ||||||||
22,000 | Seazen Group Ltd | 19,956 | ||||||||
3,890,789 | Shenzhen Investment Ltd | 1,318,724 | ||||||||
3,467,481 | Shenzhen YUTO Packaging Technology Co Ltd – Class A | 18,669,969 | ||||||||
131,300 | Shenzhou International Group Holdings Ltd | 2,114,015 | ||||||||
5,143,500 | Shimao Group Holdings Ltd | 23,116,069 | ||||||||
788,000 | Shui On Land Ltd | 107,673 | ||||||||
2,213,500 | Sinopec Engineering Group Co Ltd – Class H | 980,604 | ||||||||
1,990,500 | Sinotruk Hong Kong Ltd | 5,166,032 | ||||||||
4,999,924 | Suofeiya Home Collection Co Ltd – Class A | 19,385,229 | ||||||||
598,965 | Tencent Holdings Ltd | 40,920,303 | ||||||||
2,148,000 | Tianneng Power International Ltd | 4,620,810 | ||||||||
345,000 | Times China Holdings Ltd | 529,692 | ||||||||
1,620,400 | Vipshop Holdings Ltd ADR * | 26,752,804 | ||||||||
5,074,000 | Want Want China Holdings Ltd | 3,477,803 | ||||||||
9,819,303 | Weifu High-Technology Group Co Ltd – Class A | 35,670,372 | ||||||||
123,200 | Wuhu Sanqi Interactive Entertainment Network Technology Group Co Ltd – Class A | 817,948 | ||||||||
976,000 | Xinyi Glass Holdings Ltd | 1,685,447 | ||||||||
1,754,000 | Xtep International Holdings Ltd | 582,980 | ||||||||
2,644,000 | Yadea Group Holdings Ltd * | 2,661,837 | ||||||||
37,921,800 | Yangzijiang Shipbuilding Holdings Ltd | 25,475,712 | ||||||||
12,600 | Yum China Holdings Inc | 727,146 | ||||||||
7,383,707 | Yuzhou Group Holdings Co Ltd | 3,443,867 | ||||||||
363,667 | Zhejiang Supor Co Ltd – Class A | 4,492,672 | ||||||||
200 | Zhengzhou Coal Mining Machinery Group Co Ltd – Class A | 250 | ||||||||
1,136,000 | Zhongsheng Group Holdings Ltd | 7,084,643 | ||||||||
|
| |||||||||
Total China | 1,116,788,437 | |||||||||
|
| |||||||||
Czech Republic — 0.0% | ||||||||||
560,674 | Moneta Money Bank AS | 1,410,339 | ||||||||
|
| |||||||||
India — 2.1% | ||||||||||
256,987 | Asian Paints Ltd | 6,616,828 | ||||||||
199,069 | Coal India Ltd | 362,922 | ||||||||
16,772,852 | Gayatri Projects Ltd *(b) | 3,606,602 | ||||||||
230,960 | HDFC Bank Ltd * | 3,491,417 | ||||||||
6,931 | Hero MotoCorp Ltd | 283,444 | ||||||||
261,937 | Hindustan Unilever Ltd | 7,508,555 | ||||||||
252,428 | Housing Development Finance Corp Ltd | 6,270,451 |
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
1,332,810 | ICICI Bank Ltd * | 7,053,839 | ||||||||
3,013,682 | Jai Balaji Industries Ltd * | 794,511 | ||||||||
1,322,083 | Kiri Industries Ltd | 9,724,945 | ||||||||
386,197 | Kotak Mahindra Bank Ltd | 7,347,351 | ||||||||
234,754 | Muthoot Finance Ltd | 3,670,394 | ||||||||
312,651 | Titan Co Ltd | 4,661,204 | ||||||||
|
| |||||||||
Total India | 61,392,463 | |||||||||
|
| |||||||||
Indonesia — 2.3% | ||||||||||
5,926,300 | Astra International Tbk PT | 2,079,478 | ||||||||
2,389,600 | Bank BTPN Syariah Tbk PT | 639,777 | ||||||||
9,929,500 | Bank Central Asia Tbk PT | 21,387,823 | ||||||||
12,036,800 | Bank Mandiri Persero Tbk PT | 4,921,886 | ||||||||
13,491,200 | Bank Negara Indonesia Persero Tbk PT | 4,723,776 | ||||||||
1,745,600 | Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT | 126,448 | ||||||||
16,317,200 | Bank Pembangunan Daerah Jawa Timur Tbk PT | 667,144 | ||||||||
80,204,200 | Bank Rakyat Indonesia Persero Tbk PT | 19,322,149 | ||||||||
18,560,300 | Bank Tabungan Negara Persero Tbk PT | 2,006,288 | ||||||||
17,926,500 | Bukit Asam Tbk PT | 2,506,179 | ||||||||
5,802,391 | Indo Tambangraya Megah Tbk PT | 3,291,739 | ||||||||
6,222,100 | Matahari Department Store Tbk PT * | 539,689 | ||||||||
15,171,500 | Pakuwon Jati Tbk PT | 424,959 | ||||||||
204,441,600 | Panin Financial Tbk PT * | 2,889,505 | ||||||||
41,919,500 | Ramayana Lestari Sentosa Tbk PT | 1,883,353 | ||||||||
2,190,800 | Telekomunikasi Indonesia Persero Tbk PT | 431,080 | ||||||||
384,000 | United Tractors Tbk PT | 606,377 | ||||||||
|
| |||||||||
Total Indonesia | 68,447,650 | |||||||||
|
| |||||||||
Kuwait — 0.6% | ||||||||||
1,418,311 | Alimtiaz Investment Group KSC * | 395,111 | ||||||||
116,741 | Humansoft Holding Co KSC * | 966,257 | ||||||||
1,746,387 | Kuwait Finance House KSCP | 3,578,397 | ||||||||
835,952 | Kuwait Projects Co Holding KSCP | 407,613 | ||||||||
3,797,246 | National Bank of Kuwait SAKP | 10,689,512 | ||||||||
|
| |||||||||
Total Kuwait | 16,036,890 | |||||||||
|
| |||||||||
Malaysia — 0.1% | ||||||||||
305,900 | Top Glove Corp Berhad | 1,932,078 | ||||||||
|
| |||||||||
Mexico — 2.4% | ||||||||||
128,700 | America Movil SAB de CV – Class L Sponsored ADR | 1,566,279 | ||||||||
5,590,700 | America Movil SAB de CV – Series L | 3,398,058 | ||||||||
617,800 | Banco del Bajio SA * | 494,082 | ||||||||
2,849,800 | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | 1,816,777 | ||||||||
1,400 | Coca-Cola Femsa SAB de CV Sponsored ADR | 58,506 |
14 | See accompanying notes to the financial statements. |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Mexico — continued | ||||||||||
308,600 | Concentradora Fibra Danhos SA de CV (REIT) | 291,930 | ||||||||
76,800 | Corp Inmobiliaria Vesta SAB de CV | 114,066 | ||||||||
1,692,200 | Credito Real SAB de CV SOFOM ER * | 951,196 | ||||||||
296,400 | El Puerto de Liverpool SAB de CV – Class C1 (c) | 780,756 | ||||||||
9,677,900 | Fibra Uno Administracion SA de CV (REIT) | 7,571,778 | ||||||||
1,407,600 | Gentera SAB de CV * (c) | 461,224 | ||||||||
1,171,000 | Grupo Aeroportuario del Centro Norte SAB de CV * | 5,362,668 | ||||||||
24,200 | Grupo Aeroportuario del Centro Norte SAB de CV ADR * | 882,332 | ||||||||
26,600 | Grupo Aeroportuario del Pacifico SAB de CV ADR | 2,060,968 | ||||||||
98,100 | Grupo Aeroportuario del Pacifico SAB de CV – Class B | 762,940 | ||||||||
24,900 | Grupo Aeroportuario del Sureste SAB de CV ADR * | 2,825,154 | ||||||||
66,090 | Grupo Aeroportuario del Sureste SAB de CV – Class B * | 750,573 | ||||||||
7,212,400 | Grupo Financiero Banorte SAB de CV – Class O * | 24,786,239 | ||||||||
674,800 | Grupo Financiero Inbursa SAB de CV – Class O * | 493,410 | ||||||||
1,686,200 | Grupo Mexico SAB de CV Series B | 4,500,232 | ||||||||
55,400 | Industrias Bachoco SAB de CV | 175,223 | ||||||||
189,000 | Kimberly-Clark de Mexico SAB de CV – Class A | 301,526 | ||||||||
341,227 | Qualitas Controladora SAB de CV | 1,344,199 | ||||||||
391,000 | Regional SAB de CV * | 977,411 | ||||||||
565,190 | Unifin Financiera SAB de CV SOFOM ENR *(c) | 474,737 | ||||||||
2,435,300 | Wal-Mart de Mexico SAB de CV | 5,831,721 | ||||||||
|
| |||||||||
Total Mexico | 69,033,985 | |||||||||
|
| |||||||||
Pakistan — 0.4% | ||||||||||
461,510 | Engro Corp Ltd | 830,635 | ||||||||
4,395,647 | Engro Fertilizers Ltd | 1,679,389 | ||||||||
970,146 | Fauji Fertilizer Co Ltd | 631,981 | ||||||||
4,224,260 | Oil & Gas Development Co Ltd | 2,927,069 | ||||||||
579,662 | Pakistan Oilfields Ltd | 1,505,765 | ||||||||
2,137,670 | Pakistan Petroleum Ltd | 1,315,854 | ||||||||
299,159 | Pakistan State Oil Co Ltd | 347,085 | ||||||||
651,100 | Searle Co Ltd (The) | 1,021,748 | ||||||||
935,771 | United Bank Ltd | 705,700 | ||||||||
|
| |||||||||
Total Pakistan | 10,965,226 | |||||||||
|
| |||||||||
Philippines — 0.3% | ||||||||||
2,200 | Globe Telecom Inc | 94,656 | ||||||||
360,810 | Manila Electric Co | 2,001,014 | ||||||||
35,122,800 | Megaworld Corp | 2,106,091 | ||||||||
22,432,000 | Metro Pacific Investments Corp | 1,554,489 | ||||||||
216,900 | Metropolitan Bank & Trust Co | 149,811 | ||||||||
251,700 | Security Bank Corp | 504,507 |
Shares | Description | Value ($) | ||||||||
Philippines — continued | ||||||||||
6,401,200 | Semirara Mining & Power Corp | 1,242,929 | ||||||||
|
| |||||||||
Total Philippines | 7,653,497 | |||||||||
|
| |||||||||
Poland — 1.5% | ||||||||||
246,460 | Alior Bank SA * | 917,963 | ||||||||
327,796 | Bank Polska Kasa Opieki SA * | 4,646,841 | ||||||||
46,679 | Budimex SA | 2,968,463 | ||||||||
55,951 | Lubelski Wegiel Bogdanka SA * | 289,249 | ||||||||
4,484,425 | Powszechny Zaklad Ubezpieczen SA * | 33,064,958 | ||||||||
21,588 | Santander Bank Polska SA * | 886,759 | ||||||||
|
| |||||||||
Total Poland | 42,774,233 | |||||||||
|
| |||||||||
Qatar — 0.5% | ||||||||||
1,456,860 | Doha Bank QPSC * | 953,045 | ||||||||
110,881 | Qatar Electricity & Water Co QSC | 523,617 | ||||||||
469,279 | Qatar Insurance Co SAQ | 274,139 | ||||||||
2,385,481 | Qatar National Bank QPSC | 11,787,151 | ||||||||
1,027,776 | Qatar National Cement Co QSC | 1,125,335 | ||||||||
|
| |||||||||
Total Qatar | 14,663,287 | |||||||||
|
| |||||||||
Russia — 14.4% | ||||||||||
27,785,390 | Alrosa PJSC | 24,698,666 | ||||||||
6,411,000 | Credit Bank of Moscow PJSC * | 531,106 | ||||||||
1,043,230 | Detsky Mir PJSC | 1,640,484 | ||||||||
893,920,000 | Federal Grid Co Unified Energy System PJSC | 2,358,230 | ||||||||
398,340 | Gazprom Neft PJSC | 1,712,124 | ||||||||
6,771 | Gazprom Neft PJSC Sponsored ADR | 143,194 | ||||||||
676,755 | Globaltrans Investment Plc Sponsored GDR (Registered) | 4,187,298 | ||||||||
66,798,000 | Inter RAO UES PJSC | 4,705,380 | ||||||||
89,002 | LSR Group PJSC | 944,076 | ||||||||
682,771 | LSR Group PJSC GDR (Registered) | 1,434,034 | ||||||||
1,132,518 | LUKOIL PJSC Sponsored ADR | 77,489,252 | ||||||||
608,667 | M.Video PJSC | 4,632,499 | ||||||||
7,416,900 | Magnitogorsk Iron & Steel Works PJSC | 3,766,468 | ||||||||
237,839 | Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered) | 1,608,127 | ||||||||
2,672,559 | MMC Norilsk Nickel PJSC ADR | 70,140,223 | ||||||||
589,900 | Mobile TeleSystems PJSC Sponsored ADR | 5,497,868 | ||||||||
9,624,497 | Moscow Exchange MICEX-RTS PJSC | 17,797,383 | ||||||||
84,571 | Novatek PJSC Sponsered GDR (Registered) | 12,625,014 | ||||||||
10,410 | Novolipetsk Steel PJSC | 21,715 | ||||||||
1,332,483 | Novolipetsk Steel PJSC GDR | 27,768,363 | ||||||||
56,723 | PhosAgro PJSC GDR (Registered) | 671,259 | ||||||||
109,630 | Polymetal International Plc (d) | 2,931,262 | ||||||||
406,254 | Polymetal International Plc (d) | 11,024,866 | ||||||||
37,092 | Polyus PJSC GDR (Registered) | 4,539,131 | ||||||||
204,215 | QIWI Plc Sponsored ADR (c) | 3,669,744 | ||||||||
944,570 | Raspadskaya OJSC | 1,462,388 | ||||||||
124,625 | Rostelecom PJSC | 163,077 |
See accompanying notes to the financial statements. | 15 |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Russia — continued | ||||||||||
33,228 | Rostelecom PJSC Sponsored ADR | 261,777 | ||||||||
82,660 | Safmar Financial Investment * | 589,007 | ||||||||
2,108,815 | Sberbank of Russia PJSC Sponsored ADR * | 25,338,836 | ||||||||
849,604 | Severstal PJSC GDR (Registered) | 10,733,399 | ||||||||
29,856,800 | Surgutneftegas PJSC | 14,766,642 | ||||||||
4,762,114 | Surgutneftegas PJSC Sponsored ADR | 23,804,575 | ||||||||
1,058,583 | Tatneft PJSC Sponsored ADR * | 47,497,367 | ||||||||
253,725 | TCS Group Holding Plc GDR (Registered) | 6,248,589 | ||||||||
81,393,000 | Unipro PJSC | 2,963,560 | ||||||||
|
| |||||||||
Total Russia | 420,366,983 | |||||||||
|
| |||||||||
Saudi Arabia — 0.0% | ||||||||||
1,873 | Arab National Bank | 10,362 | ||||||||
|
| |||||||||
South Africa — 4.0% | ||||||||||
352,522 | Absa Group Ltd | 1,596,709 | ||||||||
94,126 | Anglo American Platinum Ltd (c) | 7,010,778 | ||||||||
482,942 | Aspen Pharmacare Holdings Ltd * | 3,856,733 | ||||||||
56,443 | Astral Foods Ltd | 442,956 | ||||||||
90,263 | AVI Ltd | 366,766 | ||||||||
209,092 | Barloworld Ltd | 733,415 | ||||||||
13,364 | Bid Corp Ltd | 219,998 | ||||||||
26,017 | Capitec Bank Holdings Ltd | 1,277,023 | ||||||||
262,136 | Clicks Group Ltd | 3,547,804 | ||||||||
361,153 | Discovery Ltd | 2,570,275 | ||||||||
1,688,726 | Emira Property Fund Ltd (REIT) | 540,748 | ||||||||
2,964,569 | FirstRand Ltd | 6,596,214 | ||||||||
806,695 | Foschini Group Ltd (The) (c) | 3,631,034 | ||||||||
14,040 | Gold Fields Ltd | 183,741 | ||||||||
441,500 | Gold Fields Ltd Sponsored ADR | 5,752,745 | ||||||||
5,557,192 | Growthpoint Properties Ltd (REIT) | 4,002,874 | ||||||||
863,796 | Investec Ltd | 1,601,128 | ||||||||
159,421 | Kumba Iron Ore Ltd (c) | 4,995,870 | ||||||||
801,497 | Lewis Group Ltd | 835,325 | ||||||||
111,656 | Liberty Holdings Ltd | 398,525 | ||||||||
1,381,067 | Mr Price Group Ltd | 9,411,611 | ||||||||
443,152 | Nedbank Group Ltd | 2,499,456 | ||||||||
26,044,009 | Old Mutual Ltd | 17,149,699 | ||||||||
427,818 | Rand Merchant Investment Holdings Ltd | 756,214 | ||||||||
239,517 | Remgro Ltd | 1,234,228 | ||||||||
18,269,130 | RMB Holdings Ltd | 1,320,044 | ||||||||
6,072,910 | Sanlam Ltd | 19,571,795 | ||||||||
93,401 | Shoprite Holdings Ltd | 609,283 | ||||||||
17 | SPAR Group Ltd (The) | 162 | ||||||||
88,690 | Standard Bank Group Ltd | 550,733 | ||||||||
81,575 | Tiger Brands Ltd | 827,831 | ||||||||
3,157,161 | Truworths International Ltd | 5,654,096 | ||||||||
446,093 | Vodacom Group Ltd | 3,357,845 | ||||||||
382,233 | Wilson Bayly Holmes-Ovcon Ltd | 2,498,482 | ||||||||
|
| |||||||||
Total South Africa | 115,602,140 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
South Korea — 1.6% | ||||||||||
52,222 | BNK Financial Group Inc | 222,892 | ||||||||
8,287 | Bukwang Pharmaceutical Co Ltd | 263,690 | ||||||||
30,580 | Daou Data Corp | 347,979 | ||||||||
202,686 | DB Insurance Co Ltd | 7,438,619 | ||||||||
1,140,977 | Dongwon Development Co Ltd | 3,680,958 | ||||||||
10,572 | Eone Diagnomics Genome Center Co Ltd * | 138,377 | ||||||||
2,322 | Genexine Co Ltd * | 350,413 | ||||||||
9,337 | GS Home Shopping Inc | 918,223 | ||||||||
2,429 | Huons Co Ltd | 148,047 | ||||||||
29,672 | Hy-Lok Corp | 293,115 | ||||||||
51,655 | Hyundai Mobis Co Ltd | 9,666,972 | ||||||||
463,257 | Korea Asset In Trust Co Ltd | 1,390,276 | ||||||||
14,509 | KT Skylife Co Ltd | 103,905 | ||||||||
60 | NCSoft Corp | 41,626 | ||||||||
8 | NHN KCP Corp | 483 | ||||||||
9,517 | Pharmicell Co Ltd * | 179,015 | ||||||||
37,643 | S&T Motiv Co Ltd | 1,737,934 | ||||||||
14,427 | Samsung Electronics Co Ltd GDR | 17,352,199 | ||||||||
24,343 | Sangsangin Co Ltd | 122,676 | ||||||||
5,360 | Seegene Inc | 1,191,114 | ||||||||
|
| |||||||||
Total South Korea | 45,588,513 | |||||||||
|
| |||||||||
Sri Lanka — 0.0% | ||||||||||
103,983,101 | Anilana Hotels & Properties Ltd *(b) | 612,665 | ||||||||
|
| |||||||||
Taiwan — 18.2% | ||||||||||
71,000 | Accton Technology Corp | 566,206 | ||||||||
27,000 | Acter Group Corp Ltd | 188,269 | ||||||||
1,206,035 | Advantech Co Ltd | 12,491,195 | ||||||||
373,000 | Alchip Technologies Ltd | 6,708,550 | ||||||||
291,000 | Amazing Microelectronic Corp | 808,641 | ||||||||
716,689 | Asustek Computer Inc | 5,935,446 | ||||||||
433,000 | Aten International Co Ltd | 1,246,085 | ||||||||
129,200 | Aurora Corp | 371,763 | ||||||||
7,814,000 | Catcher Technology Co Ltd | 53,344,554 | ||||||||
2,782,153 | Cathay Financial Holding Co Ltd | 3,778,808 | ||||||||
3,312,865 | Chailease Holding Co Ltd | 14,632,514 | ||||||||
410,000 | Chicony Electronics Co Ltd | 1,236,842 | ||||||||
10,321,000 | China Development Financial Holding Corp | 3,010,035 | ||||||||
772,000 | Chong Hong Construction Co Ltd | 2,204,980 | ||||||||
4,568,400 | Coretronic Corp | 5,441,352 | ||||||||
46,576,720 | CTBC Financial Holding Co Ltd | 30,108,467 | ||||||||
148,000 | Elan Microelectronics Corp | 717,152 | ||||||||
1,576,000 | Elite Material Co Ltd | 9,127,926 | ||||||||
1,766,000 | Farglory Land Development Co Ltd | 2,887,509 | ||||||||
4,998,000 | FLEXium Interconnect Inc | 21,440,020 | ||||||||
3,055,075 | Foxconn Technology Co Ltd | 5,433,871 | ||||||||
10,791,000 | Fubon Financial Holding Co Ltd | 15,756,534 | ||||||||
2,470,000 | Grand Pacific Petrochemical * | 1,616,392 | ||||||||
21,232,532 | Hon Hai Precision Industry Co Ltd | 55,686,306 |
16 | See accompanying notes to the financial statements. |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
�� | Shares | Description | Value ($) | |||||||
Taiwan — continued | ||||||||||
1,951,000 | Huaku Development Co Ltd | 5,961,590 | ||||||||
1,431,806 | IEI Integration Corp | 2,231,039 | ||||||||
147,900 | Innodisk Corp | 800,003 | ||||||||
179,000 | International Games System Co Ltd | 5,362,997 | ||||||||
272,000 | Kung Long Batteries Industrial Co Ltd | 1,287,195 | ||||||||
3,522,000 | Lite-On Technology Corp | 5,577,494 | ||||||||
77,000 | Lotes Co Ltd | 1,121,517 | ||||||||
481,425 | Mercuries Life Insurance Co Ltd * | 154,515 | ||||||||
1,631,000 | Merry Electronics Co Ltd | 8,546,559 | ||||||||
1,944,000 | Micro-Star International Co Ltd | 8,974,825 | ||||||||
971,000 | Nantex Industry Co Ltd | 1,555,318 | ||||||||
1,299,810 | Novatek Microelectronics Corp | 10,634,550 | ||||||||
450,000 | Pegatron Corp | 957,183 | ||||||||
386,000 | Quanta Computer Inc | 1,011,692 | ||||||||
1,698,000 | Quanta Storage Inc | 2,539,064 | ||||||||
10,805,870 | Radiant Opto-Electronics Corp | 39,680,467 | ||||||||
828,000 | Shinkong Insurance Co Ltd | 995,794 | ||||||||
1,642,068 | Simplo Technology Co Ltd | 18,722,202 | ||||||||
324,200 | Sitronix Technology Corp | 1,592,761 | ||||||||
2,110,250 | Syncmold Enterprise Corp | 5,951,215 | ||||||||
8,923,000 | Taiwan Semiconductor Manufacturing Co Ltd | 130,053,386 | ||||||||
10 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR | 792 | ||||||||
378,000 | Test Research Inc | 756,053 | ||||||||
68,000 | Thinking Electronic Industrial Co Ltd | 252,644 | ||||||||
1,377,000 | Transcend Information Inc | 3,091,179 | ||||||||
1,377,160 | Tripod Technology Corp | 5,437,818 | ||||||||
785,224 | United Integrated Services Co Ltd | 5,506,854 | ||||||||
175,000 | Wiwynn Corp | 4,668,128 | ||||||||
147,000 | Yulon Nissan Motor Co Ltd | 1,232,463 | ||||||||
323,000 | Zeng Hsing Industrial Co Ltd | 1,512,663 | ||||||||
|
| |||||||||
Total Taiwan | 530,909,377 | |||||||||
|
| |||||||||
Thailand — 0.4% | ||||||||||
552,100 | Bangkok Bank Pcl (Foreign Registered) | 1,891,198 | ||||||||
43,175,400 | Beauty Community Pcl | 1,914,436 | ||||||||
399,800 | Hana Microelectronics Pcl (Foreign Registered) | 510,480 | ||||||||
224,700 | Kiatnakin Phatra Bank Pcl (Foreign Registered) | 287,756 | ||||||||
1,191,300 | Krung Thai Bank Pcl (Foreign Registered) | 367,079 | ||||||||
1,198,100 | Origin Property Pcl (Foreign Registered) * | 285,019 | ||||||||
3,818,200 | Pruksa Holding Pcl (Foreign Registered) | 1,424,713 | ||||||||
7,002,192 | Quality Houses Pcl (Foreign Registered) | 499,939 | ||||||||
100 | Siam Commercial Bank Pcl (The) (Foreign Registered) | 234 | ||||||||
641,600 | SPCG Pcl | 369,016 | ||||||||
4,111,575 | Supalai Pcl (Foreign Registered) | 2,224,338 | ||||||||
560,900 | Thai Vegetable Oil Pcl (Foreign Registered) | 486,837 | ||||||||
45,200 | Tisco Financial Group Pcl (Foreign Registered) | 98,025 | ||||||||
1,358,400 | TTW Pcl (Foreign Registered) | 584,277 | ||||||||
1,797,900 | Univentures Pcl (Foreign Registered) | 166,334 | ||||||||
|
| |||||||||
Total Thailand | 11,109,681 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Turkey — 1.1% | ||||||||||
6,038,037 | Aselsan Elektronik Sanayi Ve Ticaret AS | 13,386,982 | ||||||||
22,693 | BIM Birlesik Magazalar AS | 209,798 | ||||||||
5,674,747 | Dogan Sirketler Grubu Holding AS | 1,624,224 | ||||||||
41,758,246 | Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT) | 10,022,013 | ||||||||
173,119 | Enerjisa Enerji AS | 192,422 | ||||||||
151 | Eregli Demir ve Celik Fabrikalari TAS | 180 | ||||||||
460,056 | Koza Altin Isletmeleri AS * | 4,880,879 | ||||||||
839,051 | Koza Anadolu Metal Madencilik Isletmeleri AS * | 1,470,334 | ||||||||
71,398 | Selcuk Ecza Deposu Ticaret ve Sanayi AS | 77,767 | ||||||||
1,224,635 | Soda Sanayii AS | 1,139,930 | ||||||||
15,067 | Turkiye Is Bankasi AS – Class C * | 10,094 | ||||||||
51 | Turkiye Vakiflar Bankasi TAO – Class D * | 28 | ||||||||
|
| |||||||||
Total Turkey | 33,014,651 | |||||||||
|
| |||||||||
United Arab Emirates — 0.1% | ||||||||||
427,567 | Abu Dhabi Islamic Bank PJSC | 464,963 | ||||||||
1,281,075 | Dubai Islamic Bank PJSC | 1,426,193 | ||||||||
717,123 | Emaar Malls PJSC * | 270,720 | ||||||||
187,039 | Emirates NBD Bank PJSC | 548,724 | ||||||||
|
| |||||||||
Total United Arab Emirates | 2,710,600 | |||||||||
|
| |||||||||
United Kingdom — 0.8% | ||||||||||
386,665 | Unilever Plc | 22,860,365 | ||||||||
|
| |||||||||
Vietnam — 0.1% | ||||||||||
1,594,290 | Kinh Bac City Development Share Holding Corp | 941,275 | ||||||||
201,330 | PetroVietnam Gas JSC | 641,736 | ||||||||
1,985,700 | PetroVietnam Technical Services Corp | 1,077,108 | ||||||||
153,200 | Pha Lai Thermal Power JSC | 155,183 | ||||||||
380,860 | Vinh Hoan Corp * | 624,677 | ||||||||
|
| |||||||||
Total Vietnam | 3,439,979 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $2,636,862,842) | 2,601,969,664 | |||||||||
|
| |||||||||
PREFERRED STOCKS (e) — 4.3% | ||||||||||
Brazil — 0.1% | ||||||||||
130,300 | Cia Paranaense de Energia – Class B | 1,469,368 | ||||||||
95,100 | Lojas Americanas SA | 560,168 | ||||||||
|
| |||||||||
Total Brazil | 2,029,536 | |||||||||
|
| |||||||||
Colombia — 0.1% | ||||||||||
60,938 | Banco Davivienda SA | 472,062 | ||||||||
4,476,333 | Grupo Aval Acciones y Valores SA | 1,118,784 | ||||||||
|
| |||||||||
Total Colombia | 1,590,846 | |||||||||
|
|
See accompanying notes to the financial statements. | 17 |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares / Par Value† | Description | Value ($) | ||||||||
Russia — 1.9% | ||||||||||
254,972 | Bashneft PJSC | 4,617,747 | ||||||||
213,090 | Nizhnekamskneftekhim PJSC | 230,210 | ||||||||
98,683,100 | Surgutneftegas PJSC | 49,465,175 | ||||||||
481 | Transneft PJSC | 894,690 | ||||||||
|
| |||||||||
Total Russia | 55,207,822 | |||||||||
|
| |||||||||
South Korea — 2.2% | ||||||||||
1,612,650 | Samsung Electronics Co Ltd | 64,419,730 | ||||||||
|
| |||||||||
Taiwan — 0.0% | ||||||||||
605,412 | CTBC Financial Holding Co Ltd | 1,348,795 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $110,980,665) | 124,596,729 | |||||||||
|
| |||||||||
INVESTMENT FUNDS — 2.1% | ||||||||||
Thailand — 0.4% | ||||||||||
22,546,425 | Digital Telecommunications Infrastructure Fund | 10,715,219 | ||||||||
|
| |||||||||
United States — 1.7% | ||||||||||
957,183 | iShares Core MSCI Emerging Markets ETF | 51,017,854 | ||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $61,390,555) | 61,733,073 | |||||||||
|
| |||||||||
DEBT OBLIGATIONS — 0.7% | ||||||||||
United States — 0.7% | ||||||||||
19,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.26%, due 01/31/22(f) | 19,031,588 | ||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $19,018,518) | 19,031,588 | |||||||||
|
|
Shares / Par Value† | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 1.5% | ||||||||||
Money Market Funds — 0.4% | ||||||||||
12,237,299 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (g) | 12,237,299 | ||||||||
|
| |||||||||
U.S. Government — 1.1% | ||||||||||
30,000,000 | U.S. Treasury Bill, 0.10%, due 02/04/21 (f) (h) | 29,985,701 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $42,222,610) | 42,223,000 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 97.9% (Cost $2,870,475,190) | 2,849,554,054 | |||||||||
Other Assets and Liabilities (net) — 2.1% | 62,594,539 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $2,912,148,593 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2020 is as follows:
Futures Contracts
Number of | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Buys | ||||||||||||
3,283 | Mini MSCI Emerging Markets | September 2020 | $ | 180,630,660 | $ | 15,525,340 | ||||||
|
|
|
| |||||||||
Sales | ||||||||||||
1,157 | SGX Nifty 50 | September 2020 | $ | 26,294,899 | $ | 229,665 | ||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. Sales - Fund is short the futures contract. |
Swap Contracts
OTC Total Return Swaps
Fund Pays | Fund Receives | Counterparty | Notional Amount | Expiration | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||
Depreciation of Total Return on CSI 500 Index + (1 Month USD LIBOR minus 9.25%) | Appreciation on Total Return on CSI 500 Index | GS | USD | 38,958,297 | 12/07/2020 | At Maturity | $ | — | $ | 693,922 | $ | 693,922 | ||||||||||||||||
|
|
|
|
|
|
As of August 31, 2020, 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.
18 | See accompanying notes to the financial statements. |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
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) | Affiliated company (Note 10). |
(c) | All or a portion of this security is out on loan (Note 2). |
(d) | Securities are traded on separate exchanges for the same entity. |
(e) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
(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). |
(g) | The rate disclosed is the 7 day net yield as of August 31, 2020. |
(h) | 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 51.
See accompanying notes to the financial statements. | 19 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2020 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 97.6 | % | ||
Short-Term Investments | 1.7 | |||
Preferred Stocks | 0.3 | |||
Futures Contracts | 0.0 | ^ | ||
Other | 0.4 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | % of Investments | |||
Japan | 20.4 | % | ||
United Kingdom | 17.1 | |||
France | 8.4 | |||
Netherlands | 7.3 | |||
Switzerland | 6.3 | |||
Spain | 6.1 | |||
Germany | 4.9 | |||
Italy | 4.2 | |||
Australia | 4.2 | |||
Singapore | 4.1 | |||
Sweden | 3.8 | |||
Portugal | 3.2 | |||
Norway | 2.6 | |||
Hong Kong | 2.2 | |||
United States | 1.6 | |||
Other Developed | 1.3 | ‡ | ||
Belgium | 1.2 | |||
Ireland | 1.1 | |||
|
| |||
100.0 | % | |||
|
| |||
Industry Group Summary | % of Equity Investments# | |||
Pharmaceuticals, Biotechnology & Life Sciences | 14.2 | % | ||
Food, Beverage & Tobacco | 10.0 | |||
Utilities | 7.9 | |||
Materials | 7.7 | |||
Capital Goods | 6.9 | |||
Banks | 5.6 | |||
Consumer Durables & Apparel | 5.5 | |||
Telecommunication Services | 5.0 | |||
Software & Services | 4.9 | |||
Diversified Financials | 4.7 | |||
Retailing | 3.8 | |||
Semiconductors & Semiconductor Equipment | 3.7 | |||
Household & Personal Products | 3.1 | |||
Technology Hardware & Equipment | 2.8 | |||
Insurance | 2.8 | |||
Commercial & Professional Services | 2.7 | |||
Transportation | 2.3 | |||
Automobiles & Components | 1.8 | |||
Food & Staples Retailing | 1.7 | |||
Health Care Equipment & Services | 1.3 | |||
Energy | 1.2 | |||
Consumer Services | 0.2 | |||
Media & Entertainment | 0.1 | |||
Real Estate | 0.1 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). |
¤ | The table 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%. |
20
GMO International Equity Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description |
Value ($) | ||||||||
COMMON STOCKS — 97.6% |
| |||||||||
Australia — 4.2% | ||||||||||
767,641 | Austal Ltd | 1,996,364 | ||||||||
5,154,133 | Fortescue Metals Group Ltd | 65,876,920 | ||||||||
499,255 | Pact Group Holdings Ltd | 900,975 | ||||||||
551,315 | Rio Tinto Ltd | 39,672,789 | ||||||||
863,262 | Sandfire Resources NL | 2,959,912 | ||||||||
|
| |||||||||
Total Australia | 111,406,960 | |||||||||
|
| |||||||||
Belgium — 1.2% | ||||||||||
421,500 | AGFA-Gevaert NV * | 1,780,848 | ||||||||
78,288 | Orange Belgium SA | 1,319,434 | ||||||||
234,439 | UCB SA | 27,824,869 | ||||||||
|
| |||||||||
Total Belgium | 30,925,151 | |||||||||
|
| |||||||||
Denmark — 0.0% | ||||||||||
10,980 | Per Aarsleff Holding A/S | 444,564 | ||||||||
7,459 | Schouw & Co A/S | 723,278 | ||||||||
|
| |||||||||
Total Denmark | 1,167,842 | |||||||||
|
| |||||||||
France — 8.4% | ||||||||||
6,194 | Alten SA * | 536,843 | ||||||||
190,667 | BNP Paribas SA * | 8,307,022 | ||||||||
15,339 | Christian Dior SE | 6,569,033 | ||||||||
5,705 | Eiffage SA * | 524,655 | ||||||||
25,100 | Gaztransport Et Technigaz SA | 2,368,668 | ||||||||
14,927 | IPSOS | 394,150 | ||||||||
212,017 | L’Oreal SA | 70,357,764 | ||||||||
134,133 | Metropole Television SA * | 1,674,840 | ||||||||
3,156 | Nexans SA * | 177,041 | ||||||||
585,385 | Peugeot SA * | 10,092,387 | ||||||||
761,752 | Sanofi | 77,156,903 | ||||||||
44,828 | Sanofi ADR | 2,267,400 | ||||||||
652 | Sartorius Stedim Biotech | 233,031 | ||||||||
63,698 | Schneider Electric SE | 7,877,622 | ||||||||
1,146,022 | STMicroelectronics NV – NY Shares | 34,667,166 | ||||||||
|
| |||||||||
Total France | 223,204,525 | |||||||||
|
| |||||||||
Germany — 5.0% | ||||||||||
113,175 | ADVA Optical Networking SE * | 960,509 | ||||||||
131,093 | Allianz SE (Registered) | 28,445,578 | ||||||||
29,017 | Bayer AG (Registered) | 1,929,980 | ||||||||
49,205 | Bechtle AG | 9,944,708 | ||||||||
17,265 | Carl Zeiss Meditec AG | 1,948,730 | ||||||||
1,041,111 | CECONOMY AG * | 4,794,660 | ||||||||
5,093 | Cewe Stiftung & Co KGaA * | 604,469 | ||||||||
682,295 | Deutsche Pfandbriefbank AG | 4,969,901 | ||||||||
484,153 | Dialog Semiconductor Plc * | 21,033,062 | ||||||||
105,160 | DWS Group GmbH & Co KGaA * | 4,145,343 | ||||||||
30,313 | Hannover Rueck SE | 5,169,228 |
Shares | Description |
Value ($) | ||||||||
Germany — continued | ||||||||||
44,569 | Henkel AG & Co KGaA | 4,010,083 | ||||||||
6,074 | Indus Holding AG | 209,984 | ||||||||
44,433 | Merck KGaA | 6,039,100 | ||||||||
119,405 | Siemens Healthineers AG | 5,439,949 | ||||||||
221,879 | Software AG | 11,063,100 | ||||||||
1,725 | Talanx AG * | 64,138 | ||||||||
115,451 | Volkswagen AG * | 20,802,113 | ||||||||
|
| |||||||||
Total Germany | 131,574,635 | |||||||||
|
| |||||||||
Hong Kong — 2.2% | ||||||||||
495,500 | BOC Hong Kong Holdings Ltd | 1,405,546 | ||||||||
1,574,640 | Champion (REIT) | 832,261 | ||||||||
1,505,014 | Dah Sing Banking Group Ltd | 1,429,719 | ||||||||
407,515 | Dah Sing Financial Holdings Ltd | 1,158,455 | ||||||||
4,557,096 | Esprit Holdings Ltd * | 522,270 | ||||||||
860,500 | Johnson Electric Holdings Ltd | 1,697,586 | ||||||||
794,257 | Luk Fook Holdings International Ltd | 1,776,683 | ||||||||
1,574,400 | Man Wah Holdings Ltd | 2,198,348 | ||||||||
1,405,647 | Pacific Textiles Holdings Ltd | 621,478 | ||||||||
1,484,000 | Shun Tak Holdings Ltd | 514,336 | ||||||||
1,323,173 | SmarTone Telecommunications Holdings Ltd | 725,213 | ||||||||
377,880 | Television Broadcasts Ltd | 426,057 | ||||||||
50,885,920 | WH Group Ltd | 43,858,841 | ||||||||
|
| |||||||||
Total Hong Kong | 57,166,793 | |||||||||
|
| |||||||||
Ireland — 1.0% | ||||||||||
70,354 | CRH Plc | 2,623,901 | ||||||||
553,300 | CRH Plc Sponsored ADR | 20,527,430 | ||||||||
167 | Flutter Entertainment Plc * | 27,441 | ||||||||
49,273 | Glanbia Plc | 566,431 | ||||||||
31,920 | Kerry Group Plc – Class A | 4,191,708 | ||||||||
|
| |||||||||
Total Ireland | 27,936,911 | |||||||||
|
| |||||||||
Italy — 4.3% | ||||||||||
793,653 | Anima Holding SPA | 3,486,385 | ||||||||
35,918 | De’ Longhi SPA * | 1,192,143 | ||||||||
7,625,619 | Enel SPA | 69,051,447 | ||||||||
599,923 | EXOR NV | 35,382,487 | ||||||||
41,785 | La Doria SPA | 549,600 | ||||||||
445,076 | Societa Cattolica di Assicurazioni SC * | 2,647,775 | ||||||||
132,581 | Unipol Gruppo SPA * | 639,320 | ||||||||
|
| |||||||||
Total Italy | 112,949,157 | |||||||||
|
| |||||||||
Japan — 20.5% | ||||||||||
72,453 | AOKI Holdings Inc | 390,296 | ||||||||
2,291,076 | Asahi Kasei Corp | 19,192,882 | ||||||||
3,601,950 | Astellas Pharma Inc | 56,507,933 | ||||||||
51,727 | Autobacs Seven Co Ltd | 668,932 | ||||||||
592,121 | Brother Industries Ltd | 9,795,986 | ||||||||
45,036 | Cawachi Ltd | 1,281,486 |
See accompanying notes to the financial statements. | 21 |
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description |
Value ($) | ||||||||
Japan — continued | ||||||||||
85,719 | Daiwabo Holdings Co Ltd | 5,161,714 | ||||||||
337,562 | DCM Holdings Co Ltd | 4,129,715 | ||||||||
80,385 | Dexerials Corp | 803,915 | ||||||||
27,100 | Dip Corp | 598,715 | ||||||||
61,078 | Doutor Nichires Holdings Co Ltd | 945,223 | ||||||||
30,066 | DTS Corp | 630,384 | ||||||||
6,621 | Ehime Bank Ltd (The) | 72,131 | ||||||||
29,300 | Fuji Corp | 526,072 | ||||||||
388,945 | Fuji Electric Co Ltd | 12,134,170 | ||||||||
59,600 | Fujitsu General Ltd | 1,559,482 | ||||||||
405,396 | Fujitsu Ltd | 52,920,416 | ||||||||
29,789 | Fuyo General Lease Co Ltd | 1,794,126 | ||||||||
147,012 | Geo Holdings Corp | 2,382,728 | ||||||||
20,135 | Gunze Ltd | 724,790 | ||||||||
89,500 | Haseko Corp | 1,221,348 | ||||||||
1,070,978 | Hitachi Ltd | 35,629,819 | ||||||||
1,163,868 | ITOCHU Corp | 29,867,506 | ||||||||
203,500 | Itochu Techno-Solutions Corp | 7,366,091 | ||||||||
51,900 | K’s Holdings Corp | 735,395 | ||||||||
159,611 | Kanematsu Corp | 2,015,151 | ||||||||
1,988,300 | KDDI Corp | 57,795,586 | ||||||||
103,117 | Keihin Corp | 2,503,821 | ||||||||
25,569 | Kohnan Shoji Co Ltd | 923,254 | ||||||||
308,400 | Konica Minolta Inc | 994,838 | ||||||||
24,867 | Mandom Corp | 395,280 | ||||||||
2,660,356 | Mitsubishi Chemical Holdings Corp | 15,535,609 | ||||||||
1,205,300 | Mitsubishi UFJ Financial Group Inc | 5,028,960 | ||||||||
3,178 | Mitsui Sugar Co Ltd | 57,964 | ||||||||
45,150 | Modec Inc | 755,226 | ||||||||
76,266 | Namura Shipbuilding Co Ltd | 110,699 | ||||||||
232,900 | NEC Corp | 12,297,383 | ||||||||
120,000 | NEC Networks & System Integration Corp | 2,231,039 | ||||||||
145,457 | Nichias Corp | 3,443,605 | ||||||||
109,909 | Nippo Corp | 2,846,295 | ||||||||
67,333 | Nippon Signal Co Ltd | 650,774 | ||||||||
2,507,588 | Nippon Telegraph & Telephone Corp | 57,061,666 | ||||||||
139,100 | NS Solutions Corp | 4,053,662 | ||||||||
404,100 | NTT DOCOMO Inc | 11,268,318 | ||||||||
554,300 | Obayashi Corp | 5,417,967 | ||||||||
96,801 | Okinawa Electric Power Co (The) | 1,516,912 | ||||||||
109,800 | Otsuka Corp | 5,388,555 | ||||||||
93,902 | Press Kogyo Co Ltd | 268,707 | ||||||||
71,896 | Prima Meat Packers Ltd | 2,104,677 | ||||||||
37,457 | San-A Co Ltd | 1,522,093 | ||||||||
24,700 | SCSK Corp | 1,337,613 | ||||||||
98,887 | Seiko Holdings Corp | 1,393,579 | ||||||||
477,428 | Sekisui Chemical Co Ltd | 7,638,065 | ||||||||
262,700 | Shimizu Corp | 2,017,896 | ||||||||
207,800 | Showa Corp | 4,456,595 | ||||||||
2,612,887 | Sojitz Corp | 5,976,126 | ||||||||
116,900 | Sony Corp | 9,153,777 |
Shares | Description |
Value ($) | ||||||||
Japan — continued | ||||||||||
8,114,463 | Sumitomo Chemical Co Ltd | 26,318,428 | ||||||||
74,903 | T-Gaia Corp | 1,474,939 | ||||||||
109,900 | Tokyo Electron Ltd | 28,190,240 | ||||||||
42,861 | Tokyo Seimitsu Co Ltd | 1,311,582 | ||||||||
149,395 | Tokyu Construction Co Ltd | 684,973 | ||||||||
86,211 | Towa Pharmaceutical Co Ltd | 1,712,059 | ||||||||
10,500 | Toyo Suisan Kaisha Ltd | 597,000 | ||||||||
27,682 | TPR Co Ltd | 368,145 | ||||||||
143,867 | TS Tech Co Ltd | 4,208,389 | ||||||||
75,819 | TSI Holdings Co Ltd | 230,254 | ||||||||
109,914 | Valor Holdings Co Ltd | 2,810,300 | ||||||||
23,104 | Warabeya Nichiyo Holdings Co Ltd | 326,142 | ||||||||
26,746 | Yahagi Construction Co Ltd | 230,379 | ||||||||
|
| |||||||||
Total Japan | 543,665,777 | |||||||||
|
| |||||||||
Malta — 0.0% | ||||||||||
15,858,986 | BGP Holdings Plc * (a) | — | ||||||||
|
| |||||||||
Netherlands — 7.3% | ||||||||||
50,877 | ASM International NV | 7,638,566 | ||||||||
505,260 | ASR Nederland NV | 17,468,256 | ||||||||
74,683 | Flow Traders | 2,943,693 | ||||||||
177,743 | Heineken Holding NV | 14,543,329 | ||||||||
1,370,427 | ING Groep NV * | 11,185,518 | ||||||||
570,385 | Koninklijke Ahold Delhaize NV | 17,160,482 | ||||||||
314,313 | Koninklijke Philips NV * | 14,873,648 | ||||||||
196,213 | Koninklijke Vopak NV | 10,773,293 | ||||||||
218,033 | Randstad NV | 11,347,180 | ||||||||
828,920 | Signify NV | 27,650,710 | ||||||||
702,980 | Wolters Kluwer NV | 57,667,640 | ||||||||
|
| |||||||||
Total Netherlands | 193,252,315 | |||||||||
|
| |||||||||
Norway — 2.6% | ||||||||||
373,819 | BW LPG Ltd | 1,743,999 | ||||||||
2,598,357 | DNB ASA * | 41,623,440 | ||||||||
131,200 | Frontline Ltd | 1,044,352 | ||||||||
294,427 | Gjensidige Forsikring ASA | 6,267,751 | ||||||||
77,764 | Norwegian Finans Holding ASA * | 589,257 | ||||||||
1,722,837 | Orkla ASA | 17,523,872 | ||||||||
10,853 | SpareBank 1 Nord Norge | 83,569 | ||||||||
|
| |||||||||
Total Norway | 68,876,240 | |||||||||
|
| |||||||||
Portugal — 3.2% | ||||||||||
128,547 | Altri SGPS SA | 644,809 | ||||||||
287,147 | CTT-Correios de Portugal SA * | 895,379 | ||||||||
62,058 | EDP Renovaveis SA | 1,061,562 | ||||||||
8,678,655 | EDP – Energias de Portugal SA | 44,118,532 | ||||||||
1,352,045 | Galp Energia SGPS SA | 14,518,462 | ||||||||
1,293,951 | Jeronimo Martins SGPS SA | 21,294,610 | ||||||||
252,886 | NOS SGPS SA | 1,024,234 |
22 | 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, 2020 (Unaudited)
Shares | Description |
Value ($) | ||||||||
Portugal — continued | ||||||||||
630,348 | REN – Redes Energeticas Nacionais SGPS SA | 1,835,160 | ||||||||
|
| |||||||||
Total Portugal | 85,392,748 | |||||||||
|
| |||||||||
Singapore — 4.1% | ||||||||||
1,354,200 | AEM Holdings Ltd | 4,003,122 | ||||||||
777,100 | ComfortDelGro Corp Ltd | 843,464 | ||||||||
3,256,200 | DBS Group Holdings Ltd | 49,901,153 | ||||||||
733,400 | Hi-P International Ltd | 667,425 | ||||||||
526,300 | Mapletree Industrial Trust (REIT) | 1,177,904 | ||||||||
2,617,000 | Singapore Exchange Ltd | 16,548,717 | ||||||||
937,900 | United Overseas Bank Ltd | 13,448,361 | ||||||||
756,600 | Venture Corp Ltd | 11,026,879 | ||||||||
684,600 | Wilmar International Ltd | 2,190,277 | ||||||||
11,736,300 | Yangzijiang Shipbuilding Holdings Ltd | 7,884,399 | ||||||||
|
| |||||||||
Total Singapore | 107,691,701 | |||||||||
|
| |||||||||
Spain — 6.2% | ||||||||||
297,963 | Aena SME SA * | 44,484,690 | ||||||||
280,175 | Cia de Distribucion Integral Logista Holdings SA | 4,967,947 | ||||||||
132,422 | Ebro Foods SA | 3,250,863 | ||||||||
1,773,496 | Endesa SA | 49,231,759 | ||||||||
3,074,587 | Iberdrola SA | 38,791,676 | ||||||||
569,231 | Industria de Diseno Textil SA | 16,005,195 | ||||||||
115,077 | Mediaset Espana Comunicacion SA * | 382,374 | ||||||||
79,011 | Viscofan SA | 5,845,650 | ||||||||
|
| |||||||||
Total Spain | 162,960,154 | |||||||||
|
| |||||||||
Sweden — 3.8% | ||||||||||
396,177 | Betsson AB * | 3,316,701 | ||||||||
720,708 | Swedish Match AB | 54,737,741 | ||||||||
2,254,346 | Volvo AB – B Shares * | 43,180,718 | ||||||||
|
| |||||||||
Total Sweden | 101,235,160 | |||||||||
|
| |||||||||
Switzerland — 6.4% | ||||||||||
62,696 | ABB Ltd (Registered) | 1,598,696 | ||||||||
50,929 | Ascom Holding AG (Registered) * | 683,550 | ||||||||
982 | Banque Cantonale Vaudoise (Registered) | 104,873 | ||||||||
48,307 | Galenica AG | 3,468,642 | ||||||||
8,342 | Kardex Holding AG (Registered) | 1,733,493 | ||||||||
135,624 | Nestle SA (Registered) | 16,335,522 | ||||||||
468,673 | Novartis AG (Registered) | 40,393,519 | ||||||||
31,277 | Roche Holding AG | 10,972,012 | ||||||||
251,707 | Roche Holding AG – Genusschein | 88,051,838 | ||||||||
93,014 | Wizz Air Holdings Plc * | 4,824,877 | ||||||||
4,556 | Zehnder Group AG – Class RG | 235,816 | ||||||||
|
| |||||||||
Total Switzerland | 168,402,838 | |||||||||
|
| |||||||||
United Kingdom — 17.2% | ||||||||||
2,702,938 | 3i Group Plc | 33,215,068 | ||||||||
35,896 | Ashtead Group Plc | 1,244,606 |
Shares | Description |
Value ($) | ||||||||
United Kingdom — continued | ||||||||||
239,487 | Avast Plc | 1,712,522 | ||||||||
175,602 | AVEVA Group Plc | 11,862,710 | ||||||||
86,527 | BAE Systems Plc | 600,677 | ||||||||
3,579,480 | Barratt Developments Plc | 24,995,865 | ||||||||
224,342 | Bellway Plc | 7,126,833 | ||||||||
323,402 | Berkeley Group Holdings Plc (The) | 19,544,297 | ||||||||
1,203,175 | British American Tobacco Plc | 40,553,037 | ||||||||
715,400 | British American Tobacco Plc Sponsored ADR | 24,159,058 | ||||||||
263,343 | Centamin Plc | 739,776 | ||||||||
323,535 | Coca-Cola HBC AG * | 8,594,154 | ||||||||
37,951 | Cranswick Plc | 1,881,204 | ||||||||
435,100 | �� | Dunelm Group Plc | 8,277,239 | |||||||
973,195 | Electrocomponents Plc | 8,804,201 | ||||||||
59,983 | Ferguson Plc | 5,882,255 | ||||||||
1,551,115 | Ferrexpo Plc | 3,811,629 | ||||||||
5,150,932 | Firstgroup Plc * | 3,025,775 | ||||||||
264,593 | Galliford Try Holdings Plc | 299,012 | ||||||||
23,880 | Games Workshop Group Plc | 2,934,250 | ||||||||
2,798,851 | GlaxoSmithKline Plc | 54,670,850 | ||||||||
71,690 | Grafton Group Plc | 739,762 | ||||||||
99,425 | Greggs Plc | 1,878,328 | ||||||||
117,113 | Halfords Group Plc | 258,117 | ||||||||
32,728 | Halma Plc | 970,413 | ||||||||
230,103 | Howden Joinery Group Plc | 1,718,902 | ||||||||
1,232,400 | HSBC Holdings Plc | 5,342,768 | ||||||||
1,106,148 | IG Group Holdings Plc | 11,519,034 | ||||||||
852,714 | Inchcape Plc * | 5,744,272 | ||||||||
1,335,665 | JD Sports Fashion Plc | 12,853,740 | ||||||||
3,999,481 | Legal & General Group Plc | 11,496,232 | ||||||||
351,702 | National Express Group Plc | 596,004 | ||||||||
357,927 | Next Plc | 28,679,585 | ||||||||
1,623,694 | Persimmon Plc | 56,420,503 | ||||||||
705,210 | Pets at Home Group Plc | 2,750,092 | ||||||||
619,703 | Plus500 Ltd | 12,060,026 | ||||||||
993,967 | QinetiQ Group Plc | 3,846,510 | ||||||||
71,919 | Royal Dutch Shell Plc – B Shares | 1,011,807 | ||||||||
61,068 | Savills Plc | 665,443 | ||||||||
51,500 | Smith & Nephew Plc Sponsored ADR | 2,093,475 | ||||||||
238,057 | Softcat Plc | 4,408,788 | ||||||||
84,002 | Spectris Plc | 2,855,079 | ||||||||
968,264 | Spirent Communications Plc | 3,804,085 | ||||||||
1,959,960 | Tate & Lyle Plc | 17,770,754 | ||||||||
309,192 | Vesuvius Plc * | 1,663,177 | ||||||||
27,982 | Vistry Group Plc | 238,342 | ||||||||
|
| |||||||||
Total United Kingdom | 455,320,256 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $2,549,566,808) | 2,583,129,163 | |||||||||
|
|
See accompanying notes to the financial statements. | 23 |
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description |
Value ($) | ||||||||
PREFERRED STOCKS (b) — 0.3% | ||||||||||
Germany — 0.3% | ||||||||||
33,284 | Draegerwerk AG & Co KGaA * | 2,822,333 | ||||||||
54,560 | Henkel AG & Co KGaA | 5,578,140 | ||||||||
148,175 | Schaeffler AG | 993,552 | ||||||||
|
| |||||||||
Total Germany | 9,394,025 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $8,742,729) | 9,394,025 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 1.7% | ||||||||||
Money Market Funds — 0.0% | ||||||||||
192,377 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (c) | 192,377 | ||||||||
|
|
Shares / Par Value† | Description | Value ($) | ||||||||
U.S. Government — 1.7% | ||||||||||
1,000,000 | U.S. Treasury Bill, 0.10%, due 11/12/20 (d) (e) | 999,810 | ||||||||
18,000,000 | U.S. Treasury Bill, 0.12%, due 01/07/21 (d) (e) | 17,992,640 | ||||||||
25,000,000 | U.S. Treasury Bill, 0.11%, due 02/04/21 (d) | 24,988,083 | ||||||||
|
| |||||||||
Total U.S. Government | 43,980,533 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $44,172,662) | 44,172,910 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.6% (Cost $2,602,482,199) | 2,636,696,098 | |||||||||
Other Assets and Liabilities (net) — 0.4% | 10,342,087 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $2,647,038,185 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2020 is as follows:
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Buys | ||||||||||||
264 | Mini MSCI EAFE | September 2020 | $ | 25,081,320 | $ | 424,735 | ||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. Sales - Fund is short the futures contract. |
As of August 31, 2020, 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 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) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
(c) | The rate disclosed is the 7 day net yield as of August 31, 2020. |
(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. |
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 51.
24 | See accompanying notes to the financial statements. |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2020 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 98.5 | % | ||
Short-Term Investments | 0.6 | |||
Debt Obligations | 0.6 | |||
Mutual Funds | 0.2 | |||
Other | 0.1 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | % of Investments | |||
United States | 84.3 | % | ||
United Kingdom | 4.1 | |||
Switzerland | 3.7 | |||
Germany | 3.6 | |||
Taiwan | 2.8 | |||
Other Developed | 1.5 | ‡ | ||
|
| |||
100.0 | % | |||
|
| |||
Industry Group Summary | % of Equity Investments# | |||
Software & Services | 18.3 | % | ||
Health Care Equipment & Services | 14.1 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 10.2 | |||
Technology Hardware & Equipment | 10.1 | |||
Media & Entertainment | 8.0 | |||
Semiconductors & Semiconductor Equipment | 7.5 | |||
Capital Goods | 6.4 | |||
Food, Beverage & Tobacco | 6.4 | |||
Banks | 4.9 | |||
Diversified Financials | 3.6 | |||
Consumer Services | 2.8 | |||
Household & Personal Products | 2.6 | |||
Retailing | 2.5 | |||
Consumer Durables & Apparel | 1.7 | |||
Transportation | 0.9 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). |
¤ | The table 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. |
25
GMO Quality Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 98.5% |
| |||||||||
Banks — 4.9% | ||||||||||
5,867,501 | US Bancorp | 213,577,037 | ||||||||
5,575,629 | Wells Fargo & Co. | 134,651,440 | ||||||||
|
| |||||||||
Total Banks | 348,228,477 | |||||||||
|
| |||||||||
Capital Goods — 6.3% | ||||||||||
1,111,982 | 3M Co. | 181,275,306 | ||||||||
200,235 | Honeywell International, Inc. | 33,148,904 | ||||||||
580,416 | Knorr-Bremse AG | 73,751,520 | ||||||||
1,293,020 | Otis Worldwide Corp. | 81,330,958 | ||||||||
1,346,103 | Raytheon Technologies Corp. | 82,112,283 | ||||||||
|
| |||||||||
Total Capital Goods | 451,618,971 | |||||||||
|
| |||||||||
Consumer Durables & Apparel — 1.7% | ||||||||||
124,083 | LVMH Moet Hennessy Louis Vuitton SE | 58,272,185 | ||||||||
547,335 | NIKE, Inc. – Class B | 61,241,313 | ||||||||
|
| |||||||||
Total Consumer Durables & Apparel | 119,513,498 | |||||||||
|
| |||||||||
Consumer Services — 2.7% | ||||||||||
7,471,999 | Compass Group Plc | 120,911,527 | ||||||||
869,375 | Starbucks Corp. | 73,436,106 | ||||||||
|
| |||||||||
Total Consumer Services | 194,347,633 | |||||||||
|
| |||||||||
Diversified Financials — 3.5% | ||||||||||
1,652,051 | American Express Co. | 167,831,861 | ||||||||
2,332,054 | Charles Schwab Corp. (The) | 82,857,879 | ||||||||
|
| |||||||||
Total Diversified Financials | 250,689,740 | |||||||||
|
| |||||||||
Food, Beverage & Tobacco — 6.3% | ||||||||||
5,219,969 | Coca-Cola Co. (The) | 258,545,065 | ||||||||
615,949 | Nestle SA (Registered) | 74,189,293 | ||||||||
1,474,877 | Philip Morris International, Inc. | 117,680,436 | ||||||||
|
| |||||||||
Total Food, Beverage & Tobacco | 450,414,794 | |||||||||
|
| |||||||||
Health Care Equipment & Services — 13.9% | ||||||||||
1,257,931 | Abbott Laboratories | 137,705,706 | ||||||||
689,455 | Anthem, Inc. | 194,095,372 | ||||||||
2,084,180 | Medtronic Plc | 223,986,825 | ||||||||
1,041,197 | Quest Diagnostics, Inc. | 115,822,754 | ||||||||
1,023,218 | UnitedHealth Group, Inc. | 319,806,786 | ||||||||
|
| |||||||||
Total Health Care Equipment & Services | 991,417,443 | |||||||||
|
| |||||||||
Household & Personal Products — 2.6% | ||||||||||
274,530 | Unilever NV | 15,952,010 | ||||||||
2,866,860 | Unilever Plc | 169,494,178 | ||||||||
|
| |||||||||
Total Household & Personal Products | 185,446,188 | |||||||||
|
| |||||||||
Media & Entertainment — 7.9% | ||||||||||
111,075 | Alphabet, Inc. – Class A * | 181,000,045 |
Shares / Par Value† | Description | Value ($) | ||||||||
Media & Entertainment — continued | ||||||||||
91,705 | Alphabet, Inc. – Class C * | 149,862,477 | ||||||||
795,167 | Facebook, Inc. – Class A * | 233,142,964 | ||||||||
|
| |||||||||
Total Media & Entertainment | 564,005,486 | |||||||||
|
| |||||||||
Pharmaceuticals, Biotechnology & Life Sciences — 10.0% | ||||||||||
857,313 | Eli Lilly & Co. | 127,216,676 | ||||||||
1,554,416 | Johnson & Johnson | 238,462,958 | ||||||||
1,945,054 | Merck & Co., Inc. | 165,854,755 | ||||||||
529,833 | Roche Holding AG – Genusschein | 185,345,539 | ||||||||
|
| |||||||||
Total Pharmaceuticals, Biotechnology & Life Sciences | 716,879,928 | |||||||||
|
| |||||||||
Retailing — 2.5% | ||||||||||
3,228,070 | TJX Cos, Inc. (The) | 176,865,955 | ||||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment — 7.4% | ||||||||||
84,341 | ASML Holding NV | 31,518,755 | ||||||||
297,656 | Lam Research Corp. | 100,113,619 | ||||||||
13,703,790 | Taiwan Semiconductor Manufacturing Co Ltd | 199,733,754 | ||||||||
1,367,064 | Texas Instruments, Inc. | 194,328,148 | ||||||||
|
| |||||||||
Total Semiconductors & Semiconductor Equipment | 525,694,276 | |||||||||
|
| |||||||||
Software & Services — 18.0% | ||||||||||
1,136,815 | Accenture Plc – Class A | 272,756,023 | ||||||||
2,142,269 | Microsoft Corp. | 483,145,928 | ||||||||
4,277,962 | Oracle Corp. | 244,784,986 | ||||||||
1,072,362 | SAP SE | 177,309,513 | ||||||||
527,860 | Visa, Inc. – Class A | 111,901,041 | ||||||||
|
| |||||||||
Total Software & Services | 1,289,897,491 | |||||||||
|
| |||||||||
Technology Hardware & Equipment — 9.9% | ||||||||||
4,262,496 | Apple, Inc. | 550,032,484 | ||||||||
3,819,126 | Cisco Systems, Inc. | 161,243,500 | ||||||||
|
| |||||||||
Total Technology Hardware & Equipment | 711,275,984 | |||||||||
|
| |||||||||
Transportation — 0.9% | ||||||||||
2,137,911 | Lyft, Inc. – Class A * | 63,431,819 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $4,407,220,221) | 7,039,727,683 | |||||||||
|
| |||||||||
DEBT OBLIGATIONS — 0.6% | ||||||||||
U.S. Government — 0.6% | ||||||||||
21,000,000 | U.S. Treasury Note, 1.38%, due 01/31/21 | 21,104,180 | ||||||||
20,000,000 | U.S. Treasury Note, 2.25%, due 03/31/21 | 20,239,062 | ||||||||
|
| |||||||||
Total U.S. Government | 41,343,242 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $41,196,042) | 41,343,242 | |||||||||
|
|
26 | See accompanying notes to the financial statements. |
GMO Quality Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares / Par Value† | Description | Value ($) | ||||||||
MUTUAL FUNDS — 0.2% |
| |||||||||
Affiliated Issuers — 0.2% | ||||||||||
3,141,064 | GMO U.S. Treasury Fund | 15,830,961 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $15,705,282) | 15,830,961 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.6% | ||||||||||
Money Market Funds — 0.1% | ||||||||||
3,966,735 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (a) | 3,966,735 | ||||||||
|
| |||||||||
U.S. Government — 0.5% | ||||||||||
23,000,000 | U.S. Treasury Bill, 0.11%, due 01/21/21 (b) | 22,990,360 | ||||||||
15,000,000 | U.S. Treasury Bill, 0.11%, due 02/04/21 (b) | 14,992,850 | ||||||||
|
| |||||||||
Total U.S. Government | 37,983,210 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $41,947,841) | 41,949,945 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.9% (Cost $4,506,069,386) | 7,138,851,831 | |||||||||
Other Assets and Liabilities (net) — 0.1% | 5,676,953 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $7,144,528,784 | |||||||||
|
|
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
* | Non-income producing security. |
(a) | The rate disclosed is the 7 day net yield as of August 31, 2020. |
(b) | 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 51.
See accompanying notes to the financial statements. | 27 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2020 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 86.0 | % | ||
Preferred Stocks | 9.9 | |||
Debt Obligations | 3.5 | |||
Short-Term Investments | 0.3 | |||
Rights/Warrants | 0.0 | ^ | ||
Other | 0.3 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | % of Investments | |||
United States | 17.8 | % | ||
Russia | 14.5 | |||
United Kingdom | 13.4 | |||
Brazil | 6.4 | |||
Canada | 6.1 | |||
Australia | 4.9 | |||
Other Emerging | 4.7 | † | ||
China | 3.5 | |||
Japan | 3.3 | |||
France | 3.3 | |||
Mexico | 3.1 | |||
Chile | 3.1 | |||
Norway | 2.9 | |||
India | 2.8 | |||
Israel | 2.0 | |||
Thailand | 1.7 | |||
Other Developed | 1.3 | ‡ | ||
Finland | 1.1 | |||
Spain | 1.1 | |||
Argentina | 1.0 | |||
Austria | 1.0 | |||
Sweden | 1.0 | |||
|
| |||
100.0 | % | |||
|
| |||
Industry Group Summary | % of Equity Investments# | |||
Energy | 43.9 | % | ||
Industrial Metals | 39.7 | |||
Agriculture | 13.3 | |||
Water | 3.1 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). |
¤ | The table 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%. |
28
GMO Resources Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 86.0% |
| |||||||||
Argentina — 1.0% | ||||||||||
1,195,954 | Adecoagro SA * | 6,051,527 | ||||||||
�� |
|
| ||||||||
Australia — 4.9% | ||||||||||
1,336,180 | Beach Energy Ltd | 1,494,311 | ||||||||
887,101 | Fortescue Metals Group Ltd | 11,338,373 | ||||||||
4,770,582 | Jupiter Mines Ltd | 962,462 | ||||||||
246,223 | Mineral Resources Ltd (a) | 5,281,447 | ||||||||
1,610,282 | Sandfire Resources NL | 5,521,259 | ||||||||
1,853,907 | South32 Ltd | 2,866,083 | ||||||||
455,819 | Tassal Group Ltd | 1,224,708 | ||||||||
|
| |||||||||
Total Australia | 28,688,643 | |||||||||
|
| |||||||||
Austria — 1.0% | ||||||||||
184,816 | OMV AG * | 5,982,583 | ||||||||
|
| |||||||||
Brazil — 1.5% | ||||||||||
800,000 | Duratex SA | 2,323,264 | ||||||||
342,700 | Petroleo Brasileiro SA | 1,396,197 | ||||||||
1,194,657 | Sao Martinho SA | 5,270,577 | ||||||||
|
| |||||||||
Total Brazil | 8,990,038 | |||||||||
|
| |||||||||
Canada — 6.0% | ||||||||||
599,600 | Canadian Solar Inc * (a) | 19,481,004 | ||||||||
243,200 | Enerflex Ltd (a) | 1,090,750 | ||||||||
459,100 | Enerplus Corp | 1,217,837 | ||||||||
283,100 | Frontera Energy Corp | 592,527 | ||||||||
1,523,700 | Ivanhoe Mines Ltd – Class A * (a) | 6,016,066 | ||||||||
8,838,100 | Largo Resources Ltd * | 7,250,176 | ||||||||
|
| |||||||||
Total Canada | 35,648,360 | |||||||||
|
| |||||||||
China — 3.5% | ||||||||||
5,046,000 | China High Speed Transmission Equipment Group Co Ltd | 3,658,937 | ||||||||
2,444,000 | China Water Affairs Group Ltd | 2,009,522 | ||||||||
13,345,000 | CNOOC Ltd | 15,122,624 | ||||||||
|
| |||||||||
Total China | 20,791,083 | |||||||||
|
| |||||||||
Colombia — 0.9% | ||||||||||
9,030,253 | Ecopetrol SA | 5,286,355 | ||||||||
|
| |||||||||
Denmark — 0.7% | ||||||||||
42,150 | Maersk Drilling A/S *(a) | 998,104 | ||||||||
21,946 | Vestas Wind Systems A/S | 3,318,061 | ||||||||
|
| |||||||||
Total Denmark | 4,316,165 | |||||||||
|
| |||||||||
Finland — 1.1% | ||||||||||
125,659 | Neste Oyj | 6,727,199 | ||||||||
|
|
Shares | Description | Value ($) | ||||||||
France — 3.3% | ||||||||||
251,925 | Suez | 4,350,420 | ||||||||
191,710 | TOTAL SA | 7,605,532 | ||||||||
171,815 | Veolia Environnement SA | 4,145,382 | ||||||||
58,741 | Vilmorin & Cie SA | 3,320,286 | ||||||||
|
| |||||||||
Total France | 19,421,620 | |||||||||
|
| |||||||||
Hungary — 0.8% | ||||||||||
888,713 | MOL Hungarian Oil & Gas Plc * | 4,993,646 | ||||||||
|
| |||||||||
India — 2.7% | ||||||||||
4,374,429 | Oil & Natural Gas Corp Ltd | 4,862,761 | ||||||||
1,192,557 | Oil India Ltd | 1,534,904 | ||||||||
5,642,401 | Vedanta Ltd | 9,798,956 | ||||||||
|
| |||||||||
Total India | 16,196,621 | |||||||||
|
| |||||||||
Israel — 2.0% | ||||||||||
63,085 | Equital Ltd * | 1,259,954 | ||||||||
1,672,519 | ICL Group Ltd | 6,213,435 | ||||||||
32,304 | Israel Corp Ltd (The) * | 3,839,493 | ||||||||
94,114 | Naphtha Israel Petroleum Corp Ltd * | 347,555 | ||||||||
|
| |||||||||
Total Israel | 11,660,437 | |||||||||
|
| |||||||||
Japan — 3.4% | ||||||||||
122,100 | Ebara Corp | 3,141,144 | ||||||||
770,500 | Inpex Corp | 4,886,052 | ||||||||
77,100 | Kurita Water Industries Ltd | 2,414,680 | ||||||||
273,400 | Mitsubishi Materials Corp | 5,735,188 | ||||||||
53,600 | Nittetsu Mining Co Ltd | 2,126,401 | ||||||||
94,500 | Takuma Co Ltd | 1,512,769 | ||||||||
|
| |||||||||
Total Japan | 19,816,234 | |||||||||
|
| |||||||||
Mexico — 3.0% | ||||||||||
6,722,540 | Grupo Mexico SAB de CV – Series B | 17,941,520 | ||||||||
|
| |||||||||
Norway — 2.8% | ||||||||||
670,145 | Austevoll Seafood ASA | 6,180,443 | ||||||||
2,922,953 | DNO ASA (a) | 1,845,565 | ||||||||
331,128 | Equinor ASA | 5,358,218 | ||||||||
133,695 | Grieg Seafood ASA | 1,353,972 | ||||||||
160,538 | TGS NOPEC Geophysical Co ASA | 2,090,081 | ||||||||
|
| |||||||||
Total Norway | 16,828,279 | |||||||||
|
| |||||||||
Pakistan — 0.8% | ||||||||||
2,391,500 | Fauji Fertilizer Co Ltd | 1,557,893 | ||||||||
3,032,049 | Oil & Gas Development Co Ltd | 2,100,963 | ||||||||
457,975 | Pakistan Oilfields Ltd | 1,189,664 | ||||||||
|
| |||||||||
Total Pakistan | 4,848,520 | |||||||||
|
|
See accompanying notes to the financial statements. | 29 |
GMO Resources Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Poland — 0.7% | ||||||||||
3,113,073 | Polskie Gornictwo Naftowe i Gazownictwo SA | 4,328,369 | ||||||||
|
| |||||||||
Russia — 12.4% | ||||||||||
1,265,530 | Gazprom Neft PJSC | 5,439,434 | ||||||||
699,380 | Gazprom PJSC | 1,708,283 | ||||||||
253,760 | LUKOIL PJSC Sponsored ADR | 17,362,790 | ||||||||
526,088 | MMC Norilsk Nickel PJSC ADR | 13,806,966 | ||||||||
117,574 | Novatek PJSC Sponsered GDR (Registered) | 17,551,802 | ||||||||
543,499 | PhosAgro PJSC GDR (Registered) | 6,431,759 | ||||||||
575,419 | Ros Agro Plc GDR (Registered) | 5,792,705 | ||||||||
411,269 | Rosneft Oil Co PJSC GDR (Registered) | 2,104,763 | ||||||||
384,335 | Tatneft PJSC | 2,829,776 | ||||||||
|
| |||||||||
Total Russia | 73,028,278 | |||||||||
|
| |||||||||
Singapore — 0.0% | ||||||||||
2,725,600 | Ezra Holdings Ltd * (b) | — | ||||||||
|
| |||||||||
South Africa — 0.2% | ||||||||||
76,549 | African Rainbow Minerals Ltd | 960,021 | ||||||||
|
| |||||||||
South Korea — 0.2% | ||||||||||
2,326 | Young Poong Corp | 957,841 | ||||||||
|
| |||||||||
Spain — 1.1% | ||||||||||
817,862 | Repsol SA | 6,460,452 | ||||||||
|
| |||||||||
Sweden — 1.0% | ||||||||||
121,065 | Boliden AB | 3,617,043 | ||||||||
56,067 | Holmen AB – B Shares * | 1,999,639 | ||||||||
|
| |||||||||
Total Sweden | 5,616,682 | |||||||||
|
| |||||||||
Switzerland — 0.6% | ||||||||||
1,745 | Gurit Holding AG | 3,301,770 | ||||||||
|
| |||||||||
Thailand — 1.7% | ||||||||||
1,938,064 | PTT Exploration & Production Pcl (Foreign Registered) | 5,548,766 | ||||||||
3,629,100 | PTT Pcl (Foreign Registered) | 4,199,181 | ||||||||
|
| |||||||||
Total Thailand | 9,747,947 | |||||||||
|
| |||||||||
Turkey — 0.5% | ||||||||||
1,642,447 | Koza Anadolu Metal Madencilik Isletmeleri AS * | 2,878,186 | ||||||||
|
| |||||||||
Ukraine — 0.6% | ||||||||||
325,180 | Kernel Holding SA | 3,403,643 | ||||||||
|
| |||||||||
United Kingdom — 13.3% | ||||||||||
998,144 | Anglo American Plc | 24,529,082 | ||||||||
240,520 | BHP Group Plc | 5,474,778 | ||||||||
358,136 | BP Plc | 1,249,456 | ||||||||
887,859 | Central Asia Metals Plc | 2,077,673 |
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
1,637,147 | Ferrexpo Plc | 4,023,040 | ||||||||
8,592,617 | Glencore Plc | 21,127,751 | ||||||||
861,358 | John Wood Group Plc * | 2,825,423 | ||||||||
561,101 | KAZ Minerals Plc | 4,328,262 | ||||||||
744,897 | Petrofac Ltd (a) | 1,614,224 | ||||||||
91,051 | Rio Tinto Plc | 5,662,498 | ||||||||
403,065 | Royal Dutch Shell Plc – A Shares (a) | 5,932,975 | ||||||||
|
| |||||||||
Total United Kingdom | 78,845,162 | |||||||||
|
| |||||||||
United States — 14.3% | ||||||||||
42,400 | AGCO Corp. | 3,014,640 | ||||||||
33,631 | Albemarle Corp. (a) | 3,060,757 | ||||||||
88,800 | Baker Hughes Co. | 1,268,064 | ||||||||
80,900 | First Solar, Inc. * | 6,196,131 | ||||||||
613,382 | Freeport-McMoRan, Inc. | 9,574,893 | ||||||||
111,700 | FutureFuel Corp. | 1,351,570 | ||||||||
497,424 | GrafTech International Ltd. | 3,312,844 | ||||||||
129,400 | Halliburton Co. | 2,093,692 | ||||||||
5,086,900 | Kosmos Energy Ltd. | 7,477,743 | ||||||||
400,400 | Livent Corp. *(a) | 3,395,392 | ||||||||
276,100 | Marathon Oil Corp. | 1,457,808 | ||||||||
957,107 | Mosaic Co. (The) | 17,448,061 | ||||||||
323,900 | NexTier Oilfield Solutions, Inc. * | 816,228 | ||||||||
214,000 | ProPetro Holding Corp. * | 1,343,920 | ||||||||
468,154 | Renewable Energy Group, Inc. * | 15,650,388 | ||||||||
20,855 | SolarEdge Technologies, Inc. * | 4,612,083 | ||||||||
170,200 | Talos Energy, Inc. * | 1,278,202 | ||||||||
435,000 | W&T Offshore, Inc. * (a) | 970,050 | ||||||||
|
| |||||||||
Total United States | 84,322,466 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $493,038,011) | 508,039,647 | |||||||||
|
| |||||||||
PREFERRED STOCKS (c) — 9.9% | ||||||||||
Brazil — 4.8% | ||||||||||
3,358,099 | Bradespar SA | 26,964,092 | ||||||||
409,900 | Petroleo Brasileiro SA | 1,637,804 | ||||||||
|
| |||||||||
Total Brazil | 28,601,896 | |||||||||
|
| |||||||||
Chile — 3.0% | ||||||||||
571,412 | Sociedad Quimica y Minera de Chile SA Sponsored ADR | 17,919,480 | ||||||||
|
| |||||||||
Russia — 2.1% | ||||||||||
74,885 | Bashneft PJSC | 1,356,227 | ||||||||
5,091,084 | Surgutneftegas PJSC | 2,551,920 | ||||||||
1,143,931 | Tatneft PJSC | 8,287,538 | ||||||||
|
| |||||||||
Total Russia | 12,195,685 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $48,435,670) | 58,717,061 | |||||||||
|
|
30 | See accompanying notes to the financial statements. |
GMO Resources Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Par Value† / Shares | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 3.5% | ||||||||||
United States — 3.5% | ||||||||||
20,000,000 | U.S. Treasury Note, 1.38%, due 01/31/22 | 20,345,312 | ||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $20,356,388) | 20,345,312 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.0% | ||||||||||
Singapore — 0.0% | ||||||||||
2,117,812 | Ezion Holdings Ltd, Expires 04/16/23*(a)(b) | — | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $0) | — | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.3% | ||||||||||
Money Market Funds — 0.1% | ||||||||||
442,310 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (d) | 442,310 | ||||||||
|
| |||||||||
U.S. Government — 0.2% | ||||||||||
1,500,000 | U.S. Treasury Bill, 0.10%, due 11/12/20 (e) | 1,499,715 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $1,941,845) | 1,942,025 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.7% (Cost $563,771,914) | 589,044,045 | |||||||||
Other Assets and Liabilities (net) — 0.3% | 2,011,072 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $591,055,117 | |||||||||
|
|
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
* | Non-income producing security. |
(a) | All or a portion of this security is out on loan (Note 2). |
(b) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2). |
(c) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
(d) | The rate disclosed is the 7 day net yield as of August 31, 2020. |
(e) | The rate shown represents yield-to-maturity. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 51.
See accompanying notes to the financial statements. | 31 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2020 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Debt Obligations | 50.8 | % | ||
Short-Term Investments | 48.4 | |||
Written Options | (0.8 | ) | ||
Other | 1.6 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). |
32
GMO Risk Premium Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Par Value† / Shares | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 50.8% |
| |||||||||
U.S. Government — 50.8% | ||||||||||
8,500,000 | U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.16%, due 07/31/22 | 8,499,379 | ||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $8,500,000) | 8,499,379 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 48.4% | ||||||||||
Money Market Funds — 0.2% | ||||||||||
26,596 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (a) | 26,596 | ||||||||
|
| |||||||||
U.S. Government — 48.2% | ||||||||||
8,000,000 | U.S. Treasury Note, 1.13%, due 06/30/21 (b) | 8,064,688 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $8,064,440) | 8,091,284 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.2% (Cost $16,564,440) | 16,590,663 | |||||||||
Other Assets and Liabilities (net) — 0.8% | 139,273 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $16,729,936 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2020 is as follows:
Written Options — Puts
Index Options
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Value ($) | |||||||||||||||||
S&P 500 Index | 3,385.00 | 09/18/20 | 49 | USD | (17,151,519 | ) | (139,160 | ) | ||||||||||||||
|
| |||||||||||||||||||||
TOTAL WRITTEN INDEX OPTIONS — PUTS (Premiums $309,517) | $(139,160) | |||||||||||||||||||||
|
|
As of August 31, 2020, 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, 2020. |
(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). |
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 51.
See accompanying notes to the financial statements. | 33 |
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2020 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 97.4 | % | ||
Mutual Funds | 1.5 | |||
Preferred Stocks | 0.8 | |||
Short-Term Investments | 0.1 | |||
Futures Contracts | 0.0 | ^ | ||
Other | 0.2 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | % of Investments | |||
Japan | 21.2 | % | ||
United Kingdom | 12.9 | |||
France | 8.2 | |||
Netherlands | 7.6 | |||
Switzerland | 6.3 | |||
Germany | 5.7 | |||
Spain | 5.6 | |||
Italy | 3.9 | |||
Australia | 3.8 | |||
Portugal | 3.3 | |||
Singapore | 3.1 | |||
South Korea | 2.3 | |||
Other Emerging | 2.2 | † | ||
Sweden | 2.1 | |||
China | 2.0 | |||
Ireland | 1.9 | |||
Turkey | 1.5 | |||
United States | 1.5 | |||
Belgium | 1.4 | |||
Hong Kong | 1.3 | |||
Russia | 1.2 | |||
Other Developed | 1.0 | ‡ | ||
|
| |||
100.0 | % | |||
|
|
Industry Group Summary | % of Equity Investments# | |||
Pharmaceuticals, Biotechnology & Life Sciences | 14.3 | % | ||
Food, Beverage & Tobacco | 8.4 | |||
Utilities | 8.1 | |||
Capital Goods | 7.1 | |||
Materials | 6.8 | |||
Consumer Durables & Apparel | 6.5 | |||
Telecommunication Services | 5.4 | |||
Software & Services | 5.4 | |||
Banks | 5.2 | |||
Diversified Financials | 4.2 | |||
Semiconductors & Semiconductor Equipment | 3.8 | |||
Household & Personal Products | 3.8 | |||
Retailing | 3.4 | |||
Commercial & Professional Services | 3.3 | |||
Food & Staples Retailing | 2.8 | |||
Technology Hardware & Equipment | 2.5 | |||
Automobiles & Components | 2.2 | |||
Insurance | 1.9 | |||
Health Care Equipment & Services | 1.8 | |||
Energy | 1.2 | |||
Transportation | 1.3 | |||
Real Estate | 0.4 | |||
Media & Entertainment | 0.1 | |||
Consumer Services | 0.1 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). |
¤ | The table 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%. |
34
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 97.4% | ||||||||||
Australia — 3.8% | ||||||||||
6,116 | Accent Group Ltd | 7,129 | ||||||||
1,462 | Australian Pharmaceutical Industries Ltd | 1,167 | ||||||||
1,325 | Coca-Cola Amatil Ltd | 8,876 | ||||||||
78,087 | Fortescue Metals Group Ltd | 998,059 | ||||||||
3,342 | JB Hi-Fi Ltd | 123,146 | ||||||||
4,615 | Rio Tinto Ltd | 332,097 | ||||||||
|
| |||||||||
Total Australia | 1,470,474 | |||||||||
|
| |||||||||
Belgium — 1.4% | ||||||||||
4,732 | UCB SA | 561,627 | ||||||||
|
| |||||||||
Brazil — 0.8% | ||||||||||
30,600 | Banco do Brasil SA | 182,366 | ||||||||
23,200 | JBS SA | 95,027 | ||||||||
3,600 | Qualicorp Consultoria e Corretora de Seguros SA | 20,528 | ||||||||
|
| |||||||||
Total Brazil | 297,921 | |||||||||
|
| |||||||||
China — 2.0% | ||||||||||
20,500 | BAIC Motor Corp Ltd – Class H | 9,826 | ||||||||
856,000 | Bank of China Ltd – Class H | 278,362 | ||||||||
90,000 | Bank of Communications Co Ltd – Class H | 46,999 | ||||||||
47,000 | China CITIC Bank Corp Ltd – Class H | 19,633 | ||||||||
89,000 | China Everbright Bank Co Ltd – Class H | 31,887 | ||||||||
90,000 | China Huarong Asset Management Co Ltd – Class H | 10,322 | ||||||||
90,000 | China Lesso Group Holdings Ltd | 167,590 | ||||||||
41,000 | China Medical System Holdings Ltd | 46,176 | ||||||||
49,000 | China Minsheng Banking Corp Ltd – Class H | 29,827 | ||||||||
35,000 | China Railway Group Ltd – Class H | 17,951 | ||||||||
27,000 | China SCE Group Holdings Ltd | 14,053 | ||||||||
37,000 | Chongqing Rural Commercial Bank Co Ltd – Class H | 15,076 | ||||||||
10,000 | Huabao International Holdings Ltd | 8,926 | ||||||||
13,000 | IGG Inc | 14,996 | ||||||||
30,900 | Shanghai Pharmaceuticals Holding Co Ltd – Class H | 54,988 | ||||||||
10,000 | Tianneng Power International Ltd | 21,512 | ||||||||
|
| |||||||||
Total China | 788,124 | |||||||||
|
| |||||||||
Denmark — 0.1% | ||||||||||
2,720 | Scandinavian Tobacco Group A/S | 43,341 | ||||||||
|
| |||||||||
France — 8.2% | ||||||||||
420 | Alten SA * | 36,402 | ||||||||
87 | Christian Dior SE | 37,259 | ||||||||
1,540 | Dassault Systemes SE | 290,593 | ||||||||
1,112 | Eiffage SA * | 102,264 | ||||||||
27 | Faurecia SE * | 1,182 | ||||||||
432 | Kaufman & Broad SA | 17,156 |
Shares | Description | Value ($) | ||||||||
France — continued | ||||||||||
3,443 | L’Oreal SA | 1,142,558 | ||||||||
196 | Legrand SA | 16,360 | ||||||||
555 | Nexans SA * | 31,134 | ||||||||
11,442 | Peugeot SA * | 197,267 | ||||||||
1,207 | Quadient SA | 16,821 | ||||||||
11,054 | Sanofi | 1,119,646 | ||||||||
1,567 | Schneider Electric SE | 193,793 | ||||||||
361 | Valeo SA | 11,086 | ||||||||
|
| |||||||||
Total France | 3,213,521 | |||||||||
|
| |||||||||
Germany — 5.0% | ||||||||||
276 | AIXTRON SE * | 3,192 | ||||||||
980 | Allianz SE (Registered) | 212,648 | ||||||||
148 | Aurubis AG | 10,638 | ||||||||
362 | BASF SE | 22,106 | ||||||||
4,747 | Bayer AG (Registered) | 315,733 | ||||||||
179 | Bayerische Motoren Werke AG | 12,899 | ||||||||
1,030 | Bechtle AG | 208,171 | ||||||||
317 | CANCOM SE | 17,511 | ||||||||
692 | Carl Zeiss Meditec AG | 78,107 | ||||||||
1,435 | Deutsche Pfandbriefbank AG | 10,453 | �� | |||||||
7,151 | Dialog Semiconductor Plc * | 310,661 | ||||||||
360 | Eckert & Ziegler Strahlen- und Medizintechnik AG | 18,172 | ||||||||
356 | Elmos Semiconductor AG | 9,252 | ||||||||
471 | Hannover Rueck SE | 80,319 | ||||||||
1,087 | HeidelbergCement AG | 68,961 | ||||||||
951 | Henkel AG & Co KGaA | 85,566 | ||||||||
941 | Merck KGaA | 127,896 | ||||||||
804 | SAP SE | 132,937 | ||||||||
1,701 | Siemens Healthineers AG | 77,495 | ||||||||
844 | Software AG | 42,083 | ||||||||
549 | Volkswagen AG * | 98,920 | ||||||||
|
| |||||||||
Total Germany | 1,943,720 | |||||||||
|
| |||||||||
Hong Kong — 1.3% | ||||||||||
11,200 | Dah Sing Banking Group Ltd | 10,640 | ||||||||
6,000 | Johnson Electric Holdings Ltd | 11,837 | ||||||||
532,500 | WH Group Ltd | 458,964 | ||||||||
5,000 | Wharf Real Estate Investment Co Ltd | 20,781 | ||||||||
|
| |||||||||
Total Hong Kong | 502,222 | |||||||||
|
| |||||||||
Hungary — 0.2% | ||||||||||
3,883 | Magyar Telekom Telecommunications Plc | 4,769 | ||||||||
2,515 | Richter Gedeon Nyrt | 61,251 | ||||||||
|
| |||||||||
Total Hungary | 66,020 | |||||||||
|
| |||||||||
India — 0.3% | ||||||||||
27,323 | Power Finance Corp Ltd | 35,062 | ||||||||
1,169 | Rajesh Exports Ltd | 7,101 |
See accompanying notes to the financial statements. | 35 |
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
60,826 | REC Ltd | 88,025 | ||||||||
|
| |||||||||
Total India | 130,188 | |||||||||
|
| |||||||||
Ireland — 1.9% | ||||||||||
6,765 | CRH Plc | 252,463 | ||||||||
5,360 | CRH Plc Sponsored ADR | 198,856 | ||||||||
432 | Kerry Group Plc – Class A | 56,730 | ||||||||
5,872 | Smurfit Kappa Group Plc | 207,935 | ||||||||
301 | Smurfit Kappa Group Plc | 10,659 | ||||||||
|
| |||||||||
Total Ireland | 726,643 | |||||||||
|
| |||||||||
Italy — 3.9% | ||||||||||
3,466 | Arnoldo Mondadori Editore SPA * | 4,367 | ||||||||
307 | Banca Mediolanum SPA | 2,275 | ||||||||
109,023 | Enel SPA | 987,224 | ||||||||
8,788 | EXOR NV | 518,302 | ||||||||
238 | Recordati Industria Chimica e Farmaceutica SPA | 12,983 | ||||||||
|
| |||||||||
Total Italy | 1,525,151 | |||||||||
|
| |||||||||
Japan — 21.2% | ||||||||||
50,000 | Astellas Pharma Inc | 784,408 | ||||||||
4,300 | Bandai Namco Holdings Inc | 266,957 | ||||||||
8,200 | Brother Industries Ltd | 135,660 | ||||||||
1,300 | Casio Computer Co Ltd | 20,943 | ||||||||
3,900 | Chugai Pharmaceutical Co Ltd | 173,772 | ||||||||
700 | Daiwabo Holdings Co Ltd | 42,152 | ||||||||
600 | Dip Corp | 13,256 | ||||||||
700 | Fuji Corp | 12,568 | ||||||||
3,500 | FUJIFILM Holdings Corp | 166,479 | ||||||||
2,300 | Fujitsu General Ltd | 60,181 | ||||||||
6,000 | Fujitsu Ltd | 783,240 | ||||||||
13,300 | Haseko Corp | 181,497 | ||||||||
8,400 | Hitachi Ltd | 279,455 | ||||||||
200 | Hoya Corp | 19,675 | ||||||||
25,100 | ITOCHU Corp | 644,123 | ||||||||
3,600 | Itochu Techno-Solutions Corp | 130,309 | ||||||||
29,000 | KDDI Corp | 842,967 | ||||||||
300 | Matsumotokiyoshi Holdings Co Ltd | 10,515 | ||||||||
17,200 | Mitsubishi Chemical Holdings Corp | 100,442 | ||||||||
3,400 | NEC Corp | 179,524 | ||||||||
900 | NEC Networks & System Integration Corp | 16,733 | ||||||||
1,000 | Nichias Corp | 23,674 | ||||||||
35,600 | Nippon Telegraph & Telephone Corp | 810,099 | ||||||||
500 | Nomura Real Estate Holdings Inc | 9,539 | ||||||||
400 | NS Solutions Corp | 11,657 | ||||||||
12,800 | NTT DOCOMO Inc | 356,928 | ||||||||
9,500 | Obayashi Corp | 92,857 | ||||||||
100 | Obic Co Ltd | 17,704 | ||||||||
1,200 | Otsuka Corp | 58,891 | ||||||||
2,900 | Recruit Holdings Co Ltd | 109,911 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
700 | SCSK Corp | 37,908 | ||||||||
1,600 | Sekisui Chemical Co Ltd | 25,597 | ||||||||
2,600 | Sekisui House Ltd | 51,364 | ||||||||
5,300 | Shimizu Corp | 40,711 | ||||||||
1,200 | Shionogi & Co Ltd | 66,634 | ||||||||
1,100 | Showa Corp | 23,591 | ||||||||
39,300 | Sojitz Corp | 89,886 | ||||||||
5,500 | Sony Corp | 430,674 | ||||||||
200 | Sugi Holdings Co Ltd | 14,450 | ||||||||
2,400 | Teijin Ltd | 37,631 | ||||||||
3,100 | Tokyo Electron Ltd | 795,175 | ||||||||
13,400 | Tosoh Corp | 198,239 | ||||||||
500 | Toyo Suisan Kaisha Ltd | 28,429 | ||||||||
400 | Toyota Tsusho Corp | 11,625 | ||||||||
200 | Uchida Yoko Co Ltd | 11,924 | ||||||||
2,000 | Ushio Inc | 24,732 | ||||||||
|
| |||||||||
Total Japan | 8,244,686 | |||||||||
|
| |||||||||
Malaysia — 0.0% | ||||||||||
3,700 | Kossan Rubber Industries | 14,235 | ||||||||
|
| |||||||||
Malta — 0.0% | ||||||||||
1,718,063 | BGP Holdings Plc *(a) | — | ||||||||
|
| |||||||||
Netherlands — 7.5% | ||||||||||
715 | Aalberts NV | 26,911 | ||||||||
1,247 | ASM International NV | 187,222 | ||||||||
2,749 | ASR Nederland NV | 95,041 | ||||||||
990 | Heineken Holding NV | 81,004 | ||||||||
24,071 | Koninklijke Ahold Delhaize NV | 724,195 | ||||||||
5,346 | Koninklijke Philips NV * | 252,979 | ||||||||
1,779 | Pharming Group NV * | 2,250 | ||||||||
5,681 | Randstad NV | 295,658 | ||||||||
12,656 | Signify NV | 422,173 | ||||||||
2,754 | TomTom NV * | 22,094 | ||||||||
10,164 | Wolters Kluwer NV | 833,784 | ||||||||
|
| |||||||||
Total Netherlands | 2,943,311 | |||||||||
|
| |||||||||
Norway — 0.7% | ||||||||||
3,525 | BW LPG Ltd | 16,445 | ||||||||
97 | Grieg Seafood ASA | 982 | ||||||||
19,143 | Orkla ASA | 194,714 | ||||||||
35 | Salmar ASA * | 1,894 | ||||||||
2,884 | SpareBank 1 Nord Norge | 22,207 | ||||||||
2,652 | SpareBank 1 SR-Bank ASA * | 23,820 | ||||||||
|
| |||||||||
Total Norway | 260,062 | |||||||||
|
| |||||||||
Philippines — 0.0% | ||||||||||
70 | Globe Telecom Inc | 3,012 | ||||||||
|
|
36 | See accompanying notes to the financial statements. |
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Poland — 0.0% | ||||||||||
807 | Asseco Poland SA | 15,559 | ||||||||
142 | Polski Koncern Naftowy ORLEN SA | 1,953 | ||||||||
|
| |||||||||
Total Poland | 17,512 | |||||||||
|
| |||||||||
Portugal — 3.3% | ||||||||||
83,727 | Banco Comercial Portugues SA – Class R * | 9,909 | ||||||||
3,650 | EDP Renovaveis SA | 62,437 | ||||||||
163,591 | EDP – Energias de Portugal SA | 831,626 | ||||||||
3,794 | Galp Energia SGPS SA | 40,741 | ||||||||
19,706 | Jeronimo Martins SGPS SA | 324,302 | ||||||||
6,632 | NOS SGPS SA | 26,861 | ||||||||
|
| |||||||||
Total Portugal | 1,295,876 | |||||||||
|
| |||||||||
Russia — 1.2% | ||||||||||
705,000 | Inter RAO UES PJSC | 49,662 | ||||||||
2,149 | LUKOIL PJSC | 144,336 | ||||||||
2,822 | LUKOIL PJSC Sponsored ADR | 193,087 | ||||||||
399,000 | ROSSETI PJSC | 7,848 | ||||||||
130,800 | Surgutneftegas PJSC | 64,691 | ||||||||
|
| |||||||||
Total Russia | 459,624 | |||||||||
|
| |||||||||
Singapore — 3.1% | ||||||||||
17,700 | AEM Holdings Ltd | 52,323 | ||||||||
7,200 | City Developments Ltd | 42,427 | ||||||||
30,700 | DBS Group Holdings Ltd | 470,476 | ||||||||
1,600 | Jardine Cycle & Carriage Ltd | 22,266 | ||||||||
17,500 | Mapletree Industrial Trust (REIT) | 39,166 | ||||||||
12,300 | Mapletree Logistics Trust (REIT) | 18,689 | ||||||||
10,400 | Oversea-Chinese Banking Corp Ltd | 66,195 | ||||||||
33,200 | Singapore Exchange Ltd | 209,942 | ||||||||
11,700 | Venture Corp Ltd | 170,519 | ||||||||
31,100 | Wilmar International Ltd | 99,500 | ||||||||
19,700 | Yangzijiang Shipbuilding Holdings Ltd | 13,234 | ||||||||
16,000 | Yanlord Land Group Ltd | 14,212 | ||||||||
|
| |||||||||
Total Singapore | 1,218,949 | |||||||||
|
| |||||||||
South Africa — 0.1% | ||||||||||
3,591 | Absa Group Ltd | 16,265 | ||||||||
11,423 | Netcare Ltd | 8,446 | ||||||||
|
| |||||||||
Total South Africa | 24,711 | |||||||||
|
| |||||||||
South Korea — 2.3% | ||||||||||
104 | DongKook Pharmaceutical Co Ltd (a) | 14,264 | ||||||||
182 | DoubleUGames Co Ltd | 11,180 | ||||||||
12,560 | Hana Financial Group Inc | 297,260 | ||||||||
487 | KB Financial Group Inc | 15,109 | ||||||||
12,122 | Kia Motors Corp | 431,135 | ||||||||
293 | Sebang Global Battery Co Ltd | 6,727 | ||||||||
4,407 | Shinhan Financial Group Co Ltd | 109,686 | ||||||||
|
| |||||||||
Total South Korea | 885,361 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Spain — 5.6% | ||||||||||
2,995 | Aena SME SA * | 447,142 | ||||||||
699 | Cia de Distribucion Integral Logista Holdings SA | 12,394 | ||||||||
16,779 | Endesa SA | 465,780 | ||||||||
52,620 | Iberdrola SA | 663,900 | ||||||||
17,928 | Industria de Diseno Textil SA | 504,086 | ||||||||
1,950 | Mediaset Espana Comunicacion SA * | 6,479 | ||||||||
1,150 | Viscofan SA | 85,083 | ||||||||
|
| |||||||||
Total Spain | 2,184,864 | |||||||||
|
| |||||||||
Sweden — 2.1% | ||||||||||
1,355 | Betsson AB * | 11,344 | ||||||||
481 | Bufab AB * | 6,508 | ||||||||
580 | Lindab International AB | 9,348 | ||||||||
911 | Mycronic AB | 20,750 | ||||||||
1,530 | Skanska AB – B Shares * | 31,117 | ||||||||
7,819 | Swedish Match AB | 593,853 | ||||||||
2,393 | Volvo AB – A Shares * | 46,425 | ||||||||
4,684 | Volvo AB – B Shares * | 89,719 | ||||||||
|
| |||||||||
Total Sweden | 809,064 | |||||||||
|
| |||||||||
Switzerland — 6.3% | ||||||||||
834 | ABB Ltd (Registered) | 21,266 | ||||||||
160 | ALSO Holding AG (Registered) | 43,353 | ||||||||
745 | Galenica AG | 53,494 | ||||||||
1,691 | Nestle SA (Registered) | 203,676 | ||||||||
7,167 | Novartis AG (Registered) | 617,702 | ||||||||
235 | Roche Holding AG | 82,438 | ||||||||
4,026 | Roche Holding AG – Genusschein | 1,408,371 | ||||||||
165 | Vetropack Holding AG (Registered) * | 10,356 | ||||||||
|
| |||||||||
Total Switzerland | 2,440,656 | |||||||||
|
| |||||||||
Taiwan — 0.7% | ||||||||||
10,000 | Hon Hai Precision Industry Co Ltd | 26,227 | ||||||||
37,000 | Inventec Corp | 28,640 | ||||||||
104,000 | Pou Chen Corp | 98,261 | ||||||||
27,000 | Radiant Opto-Electronics Corp | 99,147 | ||||||||
11,000 | Sunplus Technology Co Ltd | 4,643 | ||||||||
4,595 | TOPBI International Holdings Ltd | 5,489 | ||||||||
|
| |||||||||
Total Taiwan | 262,407 | |||||||||
|
| |||||||||
Thailand — 0.0% | ||||||||||
52,700 | AP Thailand Pcl NVDR | 10,702 | ||||||||
|
| |||||||||
Turkey — 1.5% | ||||||||||
80,666 | Akbank TAS * | 53,802 | ||||||||
12,547 | Aselsan Elektronik Sanayi Ve Ticaret AS | 27,818 | ||||||||
63,814 | Eregli Demir ve Celik Fabrikalari TAS | 75,816 | ||||||||
29,132 | Haci Omer Sabanci Holding AS | 30,691 | ||||||||
3,563 | Soda Sanayii AS | 3,317 | ||||||||
11,400 | TAV Havalimanlari Holding AS | 23,305 |
See accompanying notes to the financial statements. | 37 |
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Turkey — continued | ||||||||||
38,893 | Trakya Cam Sanayii AS | 20,814 | ||||||||
25,116 | Turk Telekomunikasyon AS | 23,388 | ||||||||
129,074 | Turkiye Garanti Bankasi AS * | 118,842 | ||||||||
33,420 | Turkiye Halk Bankasi AS * | 22,364 | ||||||||
140,014 | Turkiye Is Bankasi AS – Class C * | 93,802 | ||||||||
112,012 | Turkiye Sinai Kalkinma Bankasi AS * | 16,634 | ||||||||
30,804 | Turkiye Sise ve Cam Fabrikalari AS | 25,334 | ||||||||
68,795 | Turkiye Vakiflar Bankasi TAO – Class D * | 38,175 | ||||||||
84,748 | Yapi ve Kredi Bankasi AS * | 23,445 | ||||||||
|
| |||||||||
Total Turkey | 597,547 | |||||||||
|
| |||||||||
United Kingdom — 12.9% | ||||||||||
40,340 | 3i Group Plc | 495,718 | ||||||||
1,532 | Avast Plc | 10,955 | ||||||||
41,931 | BAE Systems Plc | 291,088 | ||||||||
53,885 | Barratt Developments Plc | 376,284 | ||||||||
2,561 | Bellway Plc | 81,357 | ||||||||
5,101 | Berkeley Group Holdings Plc (The) | 308,271 | ||||||||
9,844 | British American Tobacco Plc | 331,792 | ||||||||
7,100 | British American Tobacco Plc Sponsored ADR | 239,767 | ||||||||
4,860 | Centamin Plc | 13,653 | ||||||||
3,896 | Coca-Cola HBC AG | 103,491 | ||||||||
1,582 | Computacenter Plc | 43,010 | ||||||||
9,200 | ConvaTec Group Plc | 23,490 | ||||||||
443 | Cranswick Plc | 21,959 | ||||||||
8,165 | Diageo Plc | 272,802 | ||||||||
4,640 | Dunelm Group Plc | 88,270 | ||||||||
8,877 | Electrocomponents Plc | 80,307 | ||||||||
1,805 | Ferguson Plc | 177,008 | ||||||||
17,524 | Ferrexpo Plc | 43,063 | ||||||||
2 | GlaxoSmithKline Plc | 39 | ||||||||
2,600 | GlaxoSmithKline Plc Sponsored ADR | 102,960 | ||||||||
5,217 | Howden Joinery Group Plc | 38,972 | ||||||||
4,605 | IG Group Holdings Plc | 47,955 | ||||||||
2,037 | Imperial Brands Plc | 33,987 | ||||||||
12,408 | Inchcape Plc * | 83,586 | ||||||||
2,511 | Intermediate Capital Group Plc | 45,456 | ||||||||
10,825 | JD Sports Fashion Plc | 104,174 | ||||||||
6,108 | John Laing Group Plc | 23,534 | ||||||||
116,009 | Legal & General Group Plc | 333,460 | ||||||||
1,218 | Morgan Sindall Group Plc | 20,499 | ||||||||
2,264 | Next Plc | 181,407 | ||||||||
14,442 | Persimmon Plc | 501,834 | ||||||||
81 | Phoenix Group Holdings Plc | 749 | ||||||||
5,371 | Plus500 Ltd | 104,525 | ||||||||
11,898 | QinetiQ Group Plc | 46,044 | ||||||||
40 | Sage Group Plc (The) | 395 | ||||||||
1,000 | Smith & Nephew Plc Sponsored ADR | 40,650 | ||||||||
1,531 | Softcat Plc | 28,354 | ||||||||
6,954 | Spirent Communications Plc | 27,321 |
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
27,974 | Tate & Lyle Plc | 253,637 | ||||||||
5,280 | Taylor Wimpey Plc | 8,536 | ||||||||
|
| |||||||||
Total United Kingdom | 5,030,359 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $29,640,380) | 37,971,890 | |||||||||
|
| |||||||||
PREFERRED STOCKS (b) — 0.8% | ||||||||||
Brazil — 0.1% | ||||||||||
2,000 | Cia Paranaense de Energia – Class B | 22,554 | ||||||||
|
| |||||||||
Germany — 0.6% | ||||||||||
458 | Bayerische Motoren Werke AG | 25,825 | ||||||||
318 | Draegerwerk AG & Co KGaA * | 26,965 | ||||||||
2,233 | Henkel AG & Co KGaA | 228,299 | ||||||||
|
| |||||||||
Total Germany | 281,089 | |||||||||
|
| |||||||||
Russia — 0.1% | ||||||||||
43,100 | Surgutneftegas PJSC | 21,604 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $274,178) | 325,247 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 1.5% | ||||||||||
United States — 1.5% | ||||||||||
Affiliated Issuers — 1.5% | ||||||||||
114,120 | GMO U.S. Treasury Fund | 575,165 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $574,107) | 575,165 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
MONEY MARKET FUNDS — 0.1% | ||||||||||
41,793 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (c) | 41,793 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $41,793) | 41,793 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.8% (Cost $30,530,458) | 38,914,095 | |||||||||
Other Assets and Liabilities (net) — 0.2% | 61,445 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $38,975,540 | |||||||||
|
|
38 | See accompanying notes to the financial statements. |
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
A summary of outstanding financial instruments at August 31, 2020 is as follows:
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
1 | Buys Mini MSCI EAFE | September 2020 | $ | 95,005 | $ | 7,654 | ||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
As of August 31, 2020, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
* | Non-income producing security. |
(a) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2). |
(b) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
(c) | The rate disclosed is the 7 day net yield as of August 31, 2020. |
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 51.
See accompanying notes to the financial statements. | 39 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2020 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 98.5 | % | ||
Short-Term Investments | 0.8 | |||
Mutual Funds | 0.6 | |||
Futures Contracts | 0.0 | ^ | ||
Other | 0.1 | |||
|
| |||
100.0 | % | |||
|
| |||
Industry Group Summary | % of Equity Investments# | |||
Software & Services | 12.2 | % | ||
Pharmaceuticals, Biotechnology & Life Sciences | 11.3 | |||
Technology Hardware & Equipment | 11.0 | |||
Retailing | 10.0 | |||
Capital Goods | 8.8 | |||
Semiconductors & Semiconductor Equipment | 8.1 | |||
Media & Entertainment | 6.4 | |||
Food, Beverage & Tobacco | 5.8 | |||
Consumer Durables & Apparel | 4.5 | |||
Health Care Equipment & Services | 4.4 | |||
Household & Personal Products | 3.0 | |||
Materials | 2.6 | |||
Insurance | 2.6 | |||
Diversified Financials | 2.0 | |||
Food & Staples Retailing | 1.7 | |||
Banks | 1.6 | |||
Automobiles & Components | 1.4 | |||
Commercial & Professional Services | 1.0 | |||
Energy | 0.6 | |||
Consumer Services | 0.5 | |||
Telecommunication Services | 0.4 | |||
Real Estate | 0.1 | |||
Utilities | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
& | In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). |
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
^ | Rounds to 0.0%. |
40
GMO U.S. Equity Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 98.5% |
| |||||||||
Automobiles & Components — 1.4% | ||||||||||
18,300 | Aptiv Plc | 1,575,996 | ||||||||
6,600 | Autoliv, Inc. | 517,044 | ||||||||
29,000 | BorgWarner, Inc. | 1,177,110 | ||||||||
35,300 | Gentex Corp. | 954,865 | ||||||||
5,200 | Lear Corp. | 592,436 | ||||||||
4,700 | Standard Motor Products, Inc. | 213,568 | ||||||||
3,700 | Visteon Corp. * | 279,091 | ||||||||
|
| |||||||||
Total Automobiles & Components | 5,310,110 | |||||||||
|
| |||||||||
Banks — 1.6% | ||||||||||
9,800 | Associated Banc-Corp. | 131,712 | ||||||||
14,300 | Citizens Financial Group, Inc. | 369,941 | ||||||||
5,200 | East West Bancorp, Inc. | 191,256 | ||||||||
41,900 | Investors Bancorp, Inc. | 324,725 | ||||||||
39,000 | JPMorgan Chase & Co. | 3,907,410 | ||||||||
34,000 | MGIC Investment Corp. | 311,780 | ||||||||
2,400 | Park National Corp. | 215,784 | ||||||||
5,900 | PennyMac Financial Services, Inc. | 311,048 | ||||||||
1,300 | Signature Bank/New York NY | 126,139 | ||||||||
4,100 | Walker & Dunlop, Inc. | 224,598 | ||||||||
|
| |||||||||
Total Banks | 6,114,393 | |||||||||
|
| |||||||||
Capital Goods — 8.6% | ||||||||||
4,300 | A O Smith Corp. | 210,571 | ||||||||
2,400 | Acuity Brands, Inc. | 262,296 | ||||||||
10,900 | AGCO Corp. | 774,990 | ||||||||
13,100 | Allison Transmission Holdings, Inc. | 469,897 | ||||||||
9,400 | BMC Stock Holdings, Inc. * | 375,248 | ||||||||
28,200 | Builders FirstSource, Inc. * | 863,484 | ||||||||
6,300 | Crane Co. | 356,202 | ||||||||
13,526 | Cummins, Inc. | 2,803,264 | ||||||||
7,900 | Curtiss-Wright Corp. | 808,328 | ||||||||
20,400 | Eaton Corp Plc | 2,082,840 | ||||||||
6,600 | EMCOR Group, Inc. | 495,066 | ||||||||
14,600 | Emerson Electric Co. | 1,014,262 | ||||||||
3,600 | EnerSys | 259,128 | ||||||||
12,794 | Federal Signal Corp. | 410,943 | ||||||||
5,500 | Fortive Corp. | 396,605 | ||||||||
4,600 | Generac Holdings, Inc. * | 873,908 | ||||||||
9,500 | General Dynamics Corp. | 1,418,825 | ||||||||
3,800 | Gibraltar Industries, Inc. * | 237,291 | ||||||||
3,900 | Huntington Ingalls Industries, Inc. | 590,928 | ||||||||
10,400 | Lockheed Martin Corp. | 4,058,704 | ||||||||
13,500 | Masco Corp. | 787,050 | ||||||||
6,396 | Moog, Inc. – Class A | 385,615 | ||||||||
12,800 | Mueller Industries, Inc. | 380,160 | ||||||||
8,600 | Northrop Grumman Corp. | 2,946,446 | ||||||||
10,331 | Oshkosh Corp. | 795,590 | ||||||||
6,100 | Owens Corning | 412,604 | ||||||||
28,300 | PACCAR, Inc. | 2,429,272 | ||||||||
5,600 | Parker-Hannifin Corp. | 1,153,656 |
Shares | Description | Value ($) | ||||||||
Capital Goods — continued | ||||||||||
5,900 | Stanley Black & Decker, Inc. | 951,670 | ||||||||
2,823 | Teledyne Technologies, Inc. * | 885,321 | ||||||||
2,900 | Tennant Co. | 192,763 | ||||||||
27,991 | Textron, Inc. | 1,103,685 | ||||||||
8,579 | Timken Co. (The) | 464,896 | ||||||||
2,800 | Toro Co. (The) | 210,784 | ||||||||
14,696 | UFP Industries, Inc. | 872,208 | ||||||||
600 | WW Grainger, Inc. | 219,258 | ||||||||
|
| |||||||||
Total Capital Goods | 32,953,758 | |||||||||
|
| |||||||||
Commercial & Professional Services — 1.0% | ||||||||||
14,009 | Brady Corp. – Class A | 656,882 | ||||||||
13,500 | CBIZ, Inc. * | 328,320 | ||||||||
3,200 | Cimpress Plc * | 296,640 | ||||||||
7,600 | CoreLogic Inc/United States | 504,640 | ||||||||
9,400 | Deluxe Corp. | 266,960 | ||||||||
2,646 | FTI Consulting, Inc. * | 303,655 | ||||||||
19,004 | Herman Miller, Inc. | 452,865 | ||||||||
10,700 | HNI Corp. | 340,795 | ||||||||
5,100 | ManpowerGroup, Inc. | 373,881 | ||||||||
18,000 | Steelcase, Inc. – Class A | 188,100 | ||||||||
|
| |||||||||
Total Commercial & Professional Services | 3,712,738 | |||||||||
|
| |||||||||
Consumer Durables & Apparel — 4.5% | ||||||||||
9,745 | Acushnet Holdings Corp. | 343,901 | ||||||||
6,000 | Brunswick Corp. | 371,340 | ||||||||
4,000 | Deckers Outdoor Corp. * | 815,480 | ||||||||
31,900 | DR Horton, Inc. | 2,276,703 | ||||||||
26,887 | Garmin Ltd. | 2,785,762 | ||||||||
41,100 | Hanesbrands, Inc. | 628,419 | ||||||||
2,700 | Helen of Troy Ltd. * | 558,414 | ||||||||
12,600 | La-Z-Boy, Inc. | 409,500 | ||||||||
9,100 | MDC Holdings, Inc. | 394,758 | ||||||||
24,000 | NIKE, Inc. – Class B | 2,685,360 | ||||||||
300 | NVR, Inc. * | 1,250,502 | ||||||||
10,600 | Polaris, Inc. | 1,071,024 | ||||||||
26,600 | PulteGroup, Inc. | 1,186,094 | ||||||||
5,900 | Ralph Lauren Corp. | 406,097 | ||||||||
26,400 | Skechers U.S.A., Inc. – Class A * | 788,040 | ||||||||
9,500 | Steven Madden Ltd. | 201,020 | ||||||||
5,900 | Tempur Sealy International, Inc. * | 504,686 | ||||||||
22,600 | TRI Pointe Group, Inc. * | 381,488 | ||||||||
|
| |||||||||
Total Consumer Durables & Apparel | 17,058,588 | |||||||||
|
| |||||||||
Consumer Services — 0.5% | ||||||||||
7,400 | Adtalem Global Education, Inc. * | 245,680 | ||||||||
7,600 | Brinker International, Inc. | 342,304 | ||||||||
1,048 | Graham Holdings Co. – Class B | 448,492 | ||||||||
37,100 | H&R Block, Inc. | 537,950 | ||||||||
20,600 | Perdoceo Education Corp. * | 296,022 | ||||||||
|
| |||||||||
Total Consumer Services | 1,870,448 | |||||||||
|
|
See accompanying notes to the financial statements. | 41 |
GMO U.S. Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Diversified Financials — 2.0% | ||||||||||
4,700 | Affiliated Managers Group, Inc. | 322,655 | ||||||||
10,614 | Ameriprise Financial, Inc. | 1,664,275 | ||||||||
9,600 | Artisan Partners Asset Management, Inc. – Class A | 371,616 | ||||||||
12,200 | Eaton Vance Corp. | 500,444 | ||||||||
22,300 | Federated Hermes, Inc. | 533,193 | ||||||||
3,100 | Nasdaq, Inc. | 416,702 | ||||||||
9,300 | Raymond James Financial, Inc. | 704,196 | ||||||||
17,100 | SEI Investments Co. | 895,356 | ||||||||
50,000 | SLM Corp. | 382,000 | ||||||||
25,900 | State Street Corp. | 1,763,531 | ||||||||
|
| |||||||||
Total Diversified Financials | 7,553,968 | |||||||||
|
| |||||||||
Energy — 0.6% | ||||||||||
33,104 | Phillips 66 | 1,935,591 | ||||||||
16,900 | World Fuel Services Corp. | 446,160 | ||||||||
|
| |||||||||
Total Energy | 2,381,751 | |||||||||
|
| |||||||||
Food & Staples Retailing — 1.6% | ||||||||||
8,500 | Costco Wholesale Corp. | 2,955,110 | ||||||||
85,600 | Kroger Co. (The) | 3,054,208 | ||||||||
12,400 | Sprouts Farmers Market, Inc. * | 289,540 | ||||||||
|
| |||||||||
Total Food & Staples Retailing | 6,298,858 | |||||||||
|
| |||||||||
Food, Beverage & Tobacco — 5.7% | ||||||||||
10,300 | Campbell Soup Co. | 541,883 | ||||||||
41,700 | General Mills, Inc. | 2,666,715 | ||||||||
17,600 | Hershey Co. (The) | 2,616,064 | ||||||||
3,100 | Ingredion, Inc. | 249,364 | ||||||||
59,100 | Mondelez International, Inc. – Class A | 3,452,622 | ||||||||
71,400 | PepsiCo, Inc. | 10,000,284 | ||||||||
31,000 | Tyson Foods, Inc. – Class A | 1,946,800 | ||||||||
5,400 | Universal Corp. | 234,414 | ||||||||
|
| |||||||||
Total Food, Beverage & Tobacco | 21,708,146 | |||||||||
|
| |||||||||
Health Care Equipment & Services — 4.3% | ||||||||||
14,500 | AmerisourceBergen Corp. | 1,406,935 | ||||||||
3,700 | Cardinal Health, Inc. | 187,812 | ||||||||
16,700 | Cerner Corp. | 1,225,279 | ||||||||
10,400 | HCA Healthcare, Inc. | 1,411,488 | ||||||||
4,600 | Hill-Rom Holdings, Inc. | 431,434 | ||||||||
8,200 | Hologic, Inc. * | 489,704 | ||||||||
14,078 | McKesson Corp. | 2,160,128 | ||||||||
48,300 | Medtronic Plc | 5,190,801 | ||||||||
8,400 | STERIS Plc | 1,340,976 | ||||||||
9,000 | West Pharmaceutical Services, Inc. | 2,555,640 | ||||||||
|
| |||||||||
Total Health Care Equipment & Services | 16,400,197 | |||||||||
|
| |||||||||
Household & Personal Products — 3.0% | ||||||||||
10,100 | Church & Dwight Co., Inc. | 967,883 | ||||||||
7,200 | Clorox Co. (The) | 1,609,200 |
Shares | Description | Value ($) | ||||||||
Household & Personal Products — continued | ||||||||||
61,300 | Colgate-Palmolive Co. | 4,858,638 | ||||||||
3,700 | Energizer Holdings, Inc. | 171,273 | ||||||||
24,100 | Kimberly-Clark Corp. | 3,802,016 | ||||||||
|
| |||||||||
Total Household & Personal Products | 11,409,010 | |||||||||
|
| |||||||||
Insurance — 2.5% | ||||||||||
31,702 | Allstate Corp. (The) | 2,948,286 | ||||||||
25,200 | Fidelity National Financial, Inc. | 827,316 | ||||||||
16,704 | First American Financial Corp. | 878,129 | ||||||||
4,800 | Hanover Insurance Group, Inc. (The) | 491,952 | ||||||||
44,307 | Progressive Corp. (The) | 4,210,938 | ||||||||
6,000 | W.R. Berkley Corp. | 372,300 | ||||||||
|
| |||||||||
Total Insurance | 9,728,921 | |||||||||
|
| |||||||||
Materials — 2.6% | ||||||||||
1,100 | Air Products and Chemicals, Inc. | 321,486 | ||||||||
5,900 | Avery Dennison Corp. | 680,801 | ||||||||
16,400 | Avient Corp. | 418,528 | ||||||||
4,700 | Berry Global Group, Inc. * | 242,238 | ||||||||
13,400 | Eastman Chemical Co. | 979,674 | ||||||||
5,700 | FMC Corp. | 609,102 | ||||||||
17,700 | Graphic Packaging Holding Co. | 247,446 | ||||||||
5,300 | Innospec, Inc. | 395,857 | ||||||||
20,579 | LyondellBasell Industries NV – Class A | 1,347,513 | ||||||||
1,600 | NewMarket Corp. | 595,984 | ||||||||
13,900 | Reliance Steel & Aluminum Co. | 1,457,693 | ||||||||
7,400 | Schweitzer-Mauduit International, Inc. | 224,442 | ||||||||
2,300 | Scotts Miracle-Gro Co. (The) | 387,619 | ||||||||
5,600 | Sealed Air Corp. | 220,080 | ||||||||
13,900 | Silgan Holdings, Inc. | 529,034 | ||||||||
7,000 | Steel Dynamics, Inc. | 206,640 | ||||||||
2,000 | Stepan Co. | 230,580 | ||||||||
37,600 | Valvoline, Inc. | 767,040 | ||||||||
|
| |||||||||
Total Materials | 9,861,757 | |||||||||
|
| |||||||||
Media & Entertainment — 6.3% | ||||||||||
63,900 | Activision Blizzard, Inc. | 5,336,928 | ||||||||
1,700 | Alphabet, Inc. – Class C * | 2,778,106 | ||||||||
87,800 | Comcast Corp. – Class A | 3,934,318 | ||||||||
10,100 | DISH Network Corp. – Class A * | 358,752 | ||||||||
59,600 | Electronic Arts, Inc. * | 8,312,412 | ||||||||
31,800 | Interpublic Group of Cos., Inc. (The) | 564,768 | ||||||||
19,489 | Omnicom Group, Inc. | 1,054,160 | ||||||||
35,685 | TEGNA, Inc. | 446,776 | ||||||||
143,900 | Zynga Inc. – Class A * | 1,303,734 | ||||||||
|
| |||||||||
Total Media & Entertainment | 24,089,954 | |||||||||
|
| |||||||||
Pharmaceuticals, Biotechnology & Life Sciences — 11.1% | ||||||||||
16,200 | AbbVie, Inc. | 1,551,474 | ||||||||
31,400 | Amgen, Inc. | 7,954,248 |
42 | See accompanying notes to the financial statements. |
GMO U.S. Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — continued | ||||||||||
13,800 | Biogen, Inc. * | 3,969,432 | ||||||||
63,800 | Bristol-Myers Squibb Co. | 3,968,360 | ||||||||
53,300 | Eli Lilly & Co. | 7,909,187 | ||||||||
58,200 | Gilead Sciences, Inc. | 3,884,850 | ||||||||
83,731 | Merck & Co., Inc. | 7,139,742 | ||||||||
19,900 | Mylan NV * | 325,962 | ||||||||
133,538 | Pfizer, Inc. | 5,046,401 | ||||||||
6,600 | Prestige Consumer Healthcare, Inc. * | 240,438 | ||||||||
4,500 | United Therapeutics Corp. * | 481,320 | ||||||||
|
| |||||||||
Total Pharmaceuticals, Biotechnology & Life Sciences | 42,471,414 | |||||||||
|
| |||||||||
Real Estate — 0.1% | ||||||||||
4,288 | Jones Lang LaSalle, Inc. | 441,836 | ||||||||
|
| |||||||||
Retailing — 9.8% | ||||||||||
2,500 | Amazon.com, Inc. * | 8,627,400 | ||||||||
4,000 | Asbury Automotive Group, Inc. * | 423,160 | ||||||||
15,400 | AutoNation, Inc. * | 875,644 | ||||||||
500 | AutoZone, Inc. * | 598,155 | ||||||||
37,340 | Best Buy Co., Inc. | 4,141,379 | ||||||||
6,100 | Big Lots, Inc. | 287,615 | ||||||||
11,000 | Core-Mark Holding Co., Inc. | 367,620 | ||||||||
35,800 | Designer Brands, Inc. – Class A | 252,390 | ||||||||
15,000 | Dick’s Sporting Goods, Inc. | 811,800 | ||||||||
10,800 | Dollar General Corp. | 2,180,304 | ||||||||
145,755 | eBay, Inc. | 7,984,459 | ||||||||
14,400 | Gap Inc. (The) * | 250,416 | ||||||||
7,800 | Genuine Parts Co. | 736,632 | ||||||||
6,689 | Group 1 Automotive, Inc. | 578,197 | ||||||||
1,500 | Lithia Motors, Inc. – Class A | 373,440 | ||||||||
16,800 | Lowe’s Cos., Inc. | 2,766,792 | ||||||||
5,800 | Murphy U.S.A., Inc. * | 782,188 | ||||||||
4,400 | Penske Automotive Group, Inc. | 207,548 | ||||||||
22,600 | Qurate Retail, Inc. – Series A * | 249,730 | ||||||||
4,300 | Sleep Number Corp. * | 206,400 | ||||||||
6,400 | Sonic Automotive, Inc. – Class A | 270,464 | ||||||||
1,000 | Stamps.com, Inc. * | 249,340 | ||||||||
12,300 | Target Corp. | 1,859,883 | ||||||||
27,200 | TJX Cos., Inc. (The) | 1,490,288 | ||||||||
11,200 | Williams-Sonoma, Inc. | 982,912 | ||||||||
|
| |||||||||
Total Retailing | 37,554,156 | |||||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment — 8.0% | ||||||||||
16,200 | Amkor Technology, Inc. * | 197,559 | ||||||||
115,500 | Applied Materials, Inc. | 7,114,800 | ||||||||
6,400 | Cirrus Logic, Inc. * | 387,776 | ||||||||
14,000 | Entegris, Inc. | 936,460 | ||||||||
223,300 | Intel Corp. | 11,377,135 |
Shares | Description | Value ($) | ||||||||
Semiconductors & Semiconductor Equipment — continued | ||||||||||
7,500 | KLA Corp. | 1,538,550 | ||||||||
12,900 | Lam Research Corp. | 4,338,786 | ||||||||
10,800 | Maxim Integrated Products, Inc. | 739,152 | ||||||||
37,800 | Micron Technology, Inc. * | 1,720,278 | ||||||||
3,100 | Skyworks Solutions, Inc. | 449,035 | ||||||||
2,800 | Synaptics, Inc. * | 238,924 | ||||||||
15,700 | Teradyne, Inc. | 1,334,029 | ||||||||
|
| |||||||||
Total Semiconductors & Semiconductor Equipment | 30,372,484 | |||||||||
|
| |||||||||
Software & Services — 12.1% | ||||||||||
8,800 | ACI Worldwide, Inc. * | 258,544 | ||||||||
3,700 | Akamai Technologies, Inc. * | 430,791 | ||||||||
17,420 | Amdocs Ltd. | 1,066,627 | ||||||||
14,400 | Booz Allen Hamilton Holding Corp. | 1,268,064 | ||||||||
1,300 | CACI International, Inc. – Class A * | 304,447 | ||||||||
48,905 | Cadence Design Systems, Inc. * | 5,424,053 | ||||||||
15,727 | Citrix Systems, Inc. | 2,283,560 | ||||||||
4,900 | CSG Systems International, Inc. | 208,593 | ||||||||
9,100 | Fortinet, Inc. * | 1,201,245 | ||||||||
14,295 | Intuit, Inc. | 4,937,350 | ||||||||
3,900 | j2 Global, Inc. * | 272,961 | ||||||||
51,753 | Microsoft Corp. | 11,671,854 | ||||||||
81,400 | NortonLifeLock, Inc. | 1,914,528 | ||||||||
140,900 | Oracle Corp. | 8,062,298 | ||||||||
9,648 | Progress Software Corp. | 365,563 | ||||||||
10,310 | Sykes Enterprises, Inc. * | 341,313 | ||||||||
24,919 | Synopsys, Inc. * | 5,514,575 | ||||||||
25,400 | Western Union Co. (The) | 599,186 | ||||||||
|
| |||||||||
Total Software & Services | 46,125,552 | |||||||||
|
| |||||||||
Technology Hardware & Equipment — 10.8% | ||||||||||
130,220 | Apple, Inc. | 16,803,589 | ||||||||
11,533 | Arrow Electronics, Inc. * | 906,033 | ||||||||
9,000 | Avnet, Inc. | 247,590 | ||||||||
8,600 | CDW Corp. | 977,390 | ||||||||
17,000 | Ciena Corp. * | 965,090 | ||||||||
15,100 | Corning, Inc. | 490,146 | ||||||||
5,100 | F5 Networks, Inc. * | 674,883 | ||||||||
48,200 | Flex Ltd. * | 523,452 | ||||||||
151,614 | Hewlett Packard Enterprise Co. | 1,466,107 | ||||||||
166,240 | HP, Inc. | 3,249,992 | ||||||||
5,200 | II-VI, Inc. * | 231,400 | ||||||||
6,920 | Insight Enterprises, Inc. * | 413,851 | ||||||||
18,400 | Jabil, Inc. | 628,360 | ||||||||
72,800 | Juniper Networks, Inc. | 1,820,000 | ||||||||
19,607 | Motorola Solutions, Inc. | 3,034,183 | ||||||||
15,700 | National Instruments Corp. | 563,473 | ||||||||
19,200 | NetApp, Inc. | 909,888 | ||||||||
13,400 | Sanmina Corp. * | 379,220 |
See accompanying notes to the financial statements. | 43 |
GMO U.S. Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Technology Hardware & Equipment — continued | ||||||||||
39,100 | Seagate Technology Plc | 1,876,409 | ||||||||
6,200 | Super Micro Computer, Inc. * | 169,818 | ||||||||
5,900 | SYNNEX Corp. | 750,185 | ||||||||
37,300 | TE Connectivity Ltd. | 3,603,180 | ||||||||
32,700 | Xerox Holdings Corp. * | 616,722 | ||||||||
|
| |||||||||
Total Technology Hardware & Equipment | 41,300,961 | |||||||||
|
| |||||||||
Telecommunication Services — 0.4% | ||||||||||
10,500 | Telephone & Data Systems, Inc. | 242,865 | ||||||||
22,400 | Verizon Communications, Inc. | 1,327,648 | ||||||||
|
| |||||||||
Total Telecommunication Services | 1,570,513 | |||||||||
|
| |||||||||
Utilities — 0.0% | ||||||||||
1,000 | DTE Energy Co. | 118,670 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $319,988,414) | 376,408,183 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 0.6% | ||||||||||
Affiliated Issuers — 0.6% | ||||||||||
456,408 | GMO U.S. Treasury Fund | 2,300,296 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $2,300,296) | 2,300,296 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.8% | ||||||||||
Money Market Funds — 0.8% | ||||||||||
2,894,890 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (a) | 2,894,890 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $2,894,890) | 2,894,890 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.9% (Cost $325,183,600) | 381,603,369 | |||||||||
Other Assets and Liabilities (net) — 0.1% | 519,669 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $382,123,038 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2020 is as follows:
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Buys 5 | S&P 500 E-Mini | September 2020 | $ | 874,725 | $ | 116,237 | ||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
As of August 31, 2020, 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, 2020. |
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 51.
44 | See accompanying notes to the financial statements. |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2020 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 98.6 | % | ||
Mutual Funds | 0.2 | |||
Short-Term Investments | 0.1 | |||
Rights/Warrants | 0.0 | ^ | ||
Futures Contracts | 0.0 | ^ | ||
Other | 1.1 | |||
|
| |||
100.0 | % | |||
|
| |||
Industry Group Summary | % of Equity Investments# | |||
Capital Goods | 12.1 | % | ||
Banks | 10.7 | |||
Retailing | 9.9 | |||
Materials | 8.1 | |||
Technology Hardware & Equipment | 7.2 | |||
Commercial & Professional Services | 6.2 | |||
Real Estate | 5.6 | |||
Diversified Financials | 5.5 | |||
Consumer Durables & Apparel | 5.3 | |||
Health Care Equipment & Services | 4.7 | |||
Consumer Services | 3.9 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 3.2 | |||
Energy | 3.2 | |||
Software & Services | 3.0 | |||
Media & Entertainment | 2.7 | |||
Telecommunication Services | 1.8 | |||
Automobiles & Components | 1.3 | |||
Food, Beverage & Tobacco | 1.2 | |||
Household & Personal Products | 1.1 | |||
Food & Staples Retailing | 1.0 | |||
Insurance | 0.8 | |||
Semiconductors & Semiconductor Equipment | 0.7 | |||
Transportation | 0.7 | |||
Utilities | 0.1 | |||
|
| |||
100.0 | % | |||
|
|
& | In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). |
# | 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%. |
45
GMO U.S. Small Cap Value Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 98.6% |
| |||||||||
Automobiles & Components — 1.3% | ||||||||||
38,600 | Cooper Tire & Rubber Co. | 1,334,402 | ||||||||
70,600 | Dana, Inc. | 984,870 | ||||||||
22,100 | Garrett Motion, Inc. * | 60,775 | ||||||||
700 | Gentherm, Inc. * | 31,661 | ||||||||
18,800 | Modine Manufacturing Co. * | 127,276 | ||||||||
31,200 | Standard Motor Products, Inc. | 1,417,728 | ||||||||
79,100 | Stoneridge, Inc. * | 1,597,820 | ||||||||
6,800 | Tenneco, Inc. – Class A * | 55,284 | ||||||||
|
| |||||||||
Total Automobiles & Components | 5,609,816 | |||||||||
|
| |||||||||
Banks — 10.5% | ||||||||||
12,800 | 1st Source Corp. | 440,960 | ||||||||
24,500 | Amalgamated Bank – Class A | 288,365 | ||||||||
3,100 | Arrow Financial Corp. | 88,815 | ||||||||
59,400 | Associated Banc-Corp. | 798,336 | ||||||||
41,800 | Bancorp, Inc. (The) * | 397,100 | ||||||||
42,200 | Boston Private Financial Holdings, Inc. | 250,668 | ||||||||
17,000 | Bridge Bancorp, Inc. | 340,170 | ||||||||
57,800 | Brookline Bancorp, Inc. | 554,880 | ||||||||
11,800 | Cathay General Bancorp | 291,342 | ||||||||
2,900 | Century Bancorp, Inc. – Class A | 204,305 | ||||||||
5,800 | Civista Bancshares, Inc. | 77,430 | ||||||||
1,200 | CNB Financial Corp. | 19,140 | ||||||||
7,695 | Community Trust Bancorp, Inc. | 248,318 | ||||||||
81,800 | Dime Community Bancshares, Inc. | 1,055,220 | ||||||||
15,500 | Essent Group Ltd. | 553,350 | ||||||||
16,400 | Financial Institutions, Inc. | 282,572 | ||||||||
8,576 | First Community Bankshares, Inc. | 165,002 | ||||||||
10,900 | First Financial Corp. | 374,851 | ||||||||
182,600 | Flagstar Bancorp, Inc. | 5,737,292 | ||||||||
9,800 | Flushing Financial Corp. | 118,874 | ||||||||
8,800 | Great Southern Bancorp, Inc. | 339,152 | ||||||||
216,400 | Hilltop Holdings, Inc. | 4,457,840 | ||||||||
6,300 | Independent Bank Corp. | 93,933 | ||||||||
84,400 | International Bancshares Corp. | 2,665,352 | ||||||||
449,500 | Investors Bancorp, Inc. | 3,483,625 | ||||||||
12,500 | Lakeland Financial Corp. | 571,125 | ||||||||
7,000 | Mercantile Bank Corp. | 152,880 | ||||||||
5,400 | Merchants Bancorp | 110,052 | ||||||||
4,500 | Northrim BanCorp, Inc. | 121,095 | ||||||||
59,700 | Northwest Bancshares, Inc. | 603,567 | ||||||||
129,400 | OFG Bancorp | 1,661,496 | ||||||||
19,400 | Old National Bancorp | 271,212 | ||||||||
1,500 | Park National Corp. | 134,865 | ||||||||
151,900 | PennyMac Financial Services, Inc. | 8,008,168 | ||||||||
67,244 | Premier Financial Corp. | 1,228,884 | ||||||||
70,500 | Radian Group, Inc. | 1,088,520 | ||||||||
5,700 | Sierra Bancorp | 101,859 | ||||||||
3,000 | Territorial Bancorp, Inc. | 63,480 | ||||||||
17,900 | Towne Bank/Portsmouth VA | 317,367 | ||||||||
28,500 | TriCo Bancshares | 789,165 | ||||||||
35,700 | TrustCo Bank Corp. NY | 212,772 |
Shares | Description | Value ($) | ||||||||
Banks — continued | ||||||||||
29,900 | Umpqua Holdings Corp. | 337,272 | ||||||||
107,800 | Walker & Dunlop, Inc. | 5,905,284 | ||||||||
58,803 | Waterstone Financial, Inc. | 910,858 | ||||||||
|
| |||||||||
Total Banks | 45,916,813 | |||||||||
|
| |||||||||
Capital Goods — 12.0% | ||||||||||
500 | AAR Corp. | 10,090 | ||||||||
9,800 | AGCO Corp. | 696,780 | ||||||||
8,900 | Allied Motion Technologies, Inc. | 379,051 | ||||||||
2,300 | Applied Industrial Technologies, Inc. | 138,483 | ||||||||
41,400 | Arcosa, Inc. | 1,916,406 | ||||||||
34,900 | AZZ, Inc. | 1,212,077 | ||||||||
202,000 | Builders FirstSource, Inc. * | 6,185,240 | ||||||||
23,700 | Ducommun, Inc. * | 885,669 | ||||||||
9,800 | Encore Wire Corp. | 505,778 | ||||||||
16,100 | EnPro Industries, Inc. | 942,172 | ||||||||
184,500 | Federal Signal Corp. | 5,926,140 | ||||||||
21,600 | Gibraltar Industries, Inc. * | 1,348,812 | ||||||||
27,225 | Gorman-Rupp Co. (The) | 869,839 | ||||||||
107,900 | Griffon Corp. | 2,344,667 | ||||||||
5,400 | Hurco Cos, Inc. | 152,712 | ||||||||
34,200 | Hyster-Yale Materials Handling, Inc. | 1,379,628 | ||||||||
5,200 | Insteel Industries, Inc. | 95,888 | ||||||||
93,300 | Meritor, Inc. * | 2,123,508 | ||||||||
9,400 | Miller Industries, Inc. | 294,878 | ||||||||
87,000 | Moog, Inc. – Class A | 5,245,230 | ||||||||
69,500 | Mueller Industries, Inc. | 2,064,150 | ||||||||
7,700 | National Presto Industries, Inc. | 692,461 | ||||||||
41,400 | nVent Electric Plc | 791,568 | ||||||||
14,100 | Park-Ohio Holdings Corp. | 223,062 | ||||||||
3,100 | Preformed Line Products Co. | 168,671 | ||||||||
222,500 | Resideo Technologies, Inc. * | 2,972,600 | ||||||||
22,000 | Systemax, Inc. | 488,180 | ||||||||
13,800 | Tennant Co. | 917,286 | ||||||||
51,200 | Terex Corp. | 1,001,984 | ||||||||
125,100 | UFP Industries, Inc. | 7,424,685 | ||||||||
64,000 | Vectrus, Inc. * | 2,778,240 | ||||||||
5,500 | Veritiv Corp. * | 95,590 | ||||||||
|
| |||||||||
Total Capital Goods | 52,271,525 | |||||||||
|
| |||||||||
Commercial & Professional Services — 6.1% | ||||||||||
425,929 | ACCO Brands Corp. | 2,760,020 | ||||||||
140,900 | Brady Corp. – Class A | 6,606,801 | ||||||||
53,500 | CBIZ, Inc. * | 1,301,120 | ||||||||
15,500 | CRA International, Inc. | 658,905 | ||||||||
88,000 | Deluxe Corp. | 2,499,200 | ||||||||
28,600 | Ennis, Inc. | 524,238 | ||||||||
26,500 | Heidrick & Struggles International, Inc. | 573,195 | ||||||||
187,100 | Herman Miller, Inc. | 4,458,593 | ||||||||
41,900 | HNI Corp. | 1,334,515 | ||||||||
6,800 | Huron Consulting Group, Inc. * | 294,984 | ||||||||
58,400 | Interface, Inc. | 441,504 |
46 | See accompanying notes to the financial statements. |
GMO U.S. Small Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Commercial & Professional Services — continued | ||||||||||
54,900 | Kelly Services, Inc. – Class A | 1,042,551 | ||||||||
8,900 | Kforce, Inc. | 305,626 | ||||||||
96,600 | Kimball International, Inc. – Class B | 1,082,886 | ||||||||
60,600 | Resources Connection, Inc. | 744,774 | ||||||||
198,600 | Steelcase, Inc. – Class A | 2,075,370 | ||||||||
10,300 | TrueBlue, Inc. * | 174,276 | ||||||||
|
| |||||||||
Total Commercial & Professional Services | 26,878,558 | |||||||||
|
| |||||||||
Consumer Durables & Apparel — 5.2% | ||||||||||
132,900 | Acushnet Holdings Corp. | 4,690,041 | ||||||||
6,026 | Clarus Corp. | 75,867 | ||||||||
136,600 | Ethan Allen Interiors, Inc. | 1,945,184 | ||||||||
63,800 | G-III Apparel Group Ltd. * | 705,628 | ||||||||
21,000 | Hooker Furniture Corp. | 517,650 | ||||||||
19,900 | Johnson Outdoors, Inc. – Class A | 1,705,629 | ||||||||
76,500 | La-Z-Boy, Inc. | 2,486,250 | ||||||||
88,500 | MDC Holdings, Inc. | 3,839,130 | ||||||||
57,800 | Movado Group, Inc. | 630,598 | ||||||||
125,700 | Nautilus, Inc. * | 1,489,545 | ||||||||
23,600 | Rocky Brands, Inc. | 568,288 | ||||||||
85,400 | TRI Pointe Group, Inc. * | 1,441,552 | ||||||||
15,800 | Universal Electronics, Inc. * | 649,064 | ||||||||
119,800 | Vera Bradley, Inc. * | 631,346 | ||||||||
68,300 | Vista Outdoor, Inc. * | 1,325,703 | ||||||||
|
| |||||||||
Total Consumer Durables & Apparel | 22,701,475 | |||||||||
|
| |||||||||
Consumer Services — 3.8% | ||||||||||
59,000 | Adtalem Global Education, Inc. * | 1,958,800 | ||||||||
14,700 | American Public Education, Inc. * | 462,168 | ||||||||
95,800 | Bloomin’ Brands, Inc. | 1,373,772 | ||||||||
196,300 | Brinker International, Inc. | 8,841,352 | ||||||||
28,600 | Carriage Services, Inc. | 633,204 | ||||||||
800 | Graham Holdings Co. – Class B | 342,360 | ||||||||
89,500 | H&R Block, Inc. | 1,297,750 | ||||||||
120,500 | Perdoceo Education Corp. * | 1,731,585 | ||||||||
|
| |||||||||
Total Consumer Services | 16,640,991 | |||||||||
|
| |||||||||
Diversified Financials — 5.5% | ||||||||||
17,300 | Ares Commercial Real Estate Corp. (REIT) | 172,308 | ||||||||
46,800 | Artisan Partners Asset Management, Inc. – Class A | 1,811,628 | ||||||||
62,500 | Brightsphere Investment Group, Inc. | 866,250 | ||||||||
30,500 | Curo Group Holdings Corp. | 234,850 | ||||||||
800 | Diamond Hill Investment Group, Inc. | 99,128 | ||||||||
134,700 | Donnelley Financial Solutions, Inc. * | 1,468,230 | ||||||||
37,400 | Ellington Financial, Inc. (REIT) | 466,004 | ||||||||
36,700 | Encore Capital Group, Inc. * | 1,685,998 | ||||||||
189,317 | Enova International, Inc. * | 3,233,534 | ||||||||
63,000 | Federated Hermes, Inc. | 1,506,330 | ||||||||
33,900 | Oppenheimer Holdings, Inc. – Class A | 828,177 | ||||||||
247,100 | PennyMac Mortgage Investment Trust (REIT) | 4,235,294 |
Shares | Description | Value ($) | ||||||||
Diversified Financials — continued | ||||||||||
163,400 | SLM Corp. | 1,248,376 | ||||||||
46,500 | StoneX Group, Inc. * | 2,636,550 | ||||||||
202,500 | Waddell & Reed Financial, Inc. – Class A | 3,189,375 | ||||||||
18,400 | Westwood Holdings Group, Inc. | 209,392 | ||||||||
|
| |||||||||
Total Diversified Financials | 23,891,424 | |||||||||
|
| |||||||||
Energy — 3.1% | ||||||||||
58,700 | Evolution Petroleum Corp. | 160,251 | ||||||||
11,800 | Exterran Corp. * | 54,280 | ||||||||
25,500 | Geospace Technologies Corp. * | 167,025 | ||||||||
42,665 | Laredo Petroleum, Inc. * | 697,573 | ||||||||
28,500 | Liberty Oilfield Services, Inc. – Class A | 183,825 | ||||||||
39,880 | Matrix Service Co. * | 368,491 | ||||||||
76,100 | Penn Virginia Corp. * | 869,062 | ||||||||
29,300 | Plains GP Holdings LP – Class A | 214,183 | ||||||||
60,800 | Renewable Energy Group, Inc. * | 2,032,544 | ||||||||
4,200 | REX American Resources Corp. * | 259,476 | ||||||||
22,300 | RPC, Inc. * | 69,799 | ||||||||
902,600 | Southwestern Energy Co. * | 2,509,228 | ||||||||
226,800 | World Fuel Services Corp. | 5,987,520 | ||||||||
|
| |||||||||
Total Energy | 13,573,257 | |||||||||
|
| |||||||||
Food & Staples Retailing — 1.0% | ||||||||||
27,400 | Ingles Markets, Inc. – Class A | 1,106,960 | ||||||||
7,200 | Natural Grocers by Vitamin Cottage, Inc. | 84,384 | ||||||||
70,000 | SpartanNash Co. | 1,398,600 | ||||||||
26,500 | United Natural Foods, Inc. * | 478,325 | ||||||||
8,800 | Village Super Market, Inc. – Class A | 223,872 | ||||||||
19,100 | Weis Markets, Inc. | 940,293 | ||||||||
|
| |||||||||
Total Food & Staples Retailing | 4,232,434 | |||||||||
|
| |||||||||
Food, Beverage & Tobacco — 1.2% | ||||||||||
6,016 | Seneca Foods Corp. – Class A * | 284,918 | ||||||||
112,000 | Universal Corp. | 4,861,920 | ||||||||
|
| |||||||||
Total Food, Beverage & Tobacco | 5,146,838 | |||||||||
|
| |||||||||
Health Care Equipment & Services — 4.6% | ||||||||||
123,800 | Allscripts Healthcare Solutions, Inc. * | 1,105,534 | ||||||||
40,900 | AngioDynamics, Inc. * | 383,029 | ||||||||
48,100 | Computer Programs & Systems, Inc. | 1,316,016 | ||||||||
15,300 | FONAR Corp. * | 388,161 | ||||||||
31,700 | HealthStream, Inc. * | 656,665 | ||||||||
28,100 | Inogen, Inc. * | 849,463 | ||||||||
34,000 | Integer Holdings Corp. * | 2,354,840 | ||||||||
41,300 | Lantheus Holdings, Inc. * | 554,246 | ||||||||
80,500 | Meridian Bioscience, Inc. * | 1,138,270 | ||||||||
35,900 | Natus Medical, Inc. * | 651,944 | ||||||||
52,600 | NextGen Healthcare, Inc. * | 697,476 | ||||||||
65,200 | OraSure Technologies, Inc. * | 764,144 | ||||||||
193,100 | Owens & Minor, Inc. | 3,201,598 |
See accompanying notes to the financial statements. | 47 |
GMO U.S. Small Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Health Care Equipment & Services — continued | ||||||||||
93,600 | Patterson Cos., Inc. | 2,715,336 | ||||||||
5,500 | Providence Service Corp. (The) * | 509,245 | ||||||||
9,500 | SeaSpine Holdings Corp. * | 126,445 | ||||||||
85,900 | Select Medical Holdings Corp. * | 1,724,013 | ||||||||
71,500 | Surgalign Holdings, Inc. * | 158,730 | ||||||||
8,700 | Surmodics, Inc. * | 393,675 | ||||||||
6,500 | Triple-S Management Corp. – Class B * | 120,900 | ||||||||
33,500 | Varex Imaging Corp. * | 371,515 | ||||||||
|
| |||||||||
Total Health Care Equipment & Services | 20,181,245 | |||||||||
|
| |||||||||
Household & Personal Products — 1.1% | ||||||||||
11,900 | Central Garden & Pet Co. * | 484,211 | ||||||||
42,600 | Central Garden & Pet Co. – Class A * | 1,583,016 | ||||||||
23,600 | Inter Parfums, Inc. | 1,054,212 | ||||||||
11,200 | Nu Skin Enterprises, Inc. – Class A | 529,424 | ||||||||
16,200 | USANA Health Sciences, Inc. * | 1,270,242 | ||||||||
|
| |||||||||
Total Household & Personal Products | 4,921,105 | |||||||||
|
| |||||||||
Insurance — 0.8% | ||||||||||
19,200 | American Equity Investment Life Holding Co. | 459,072 | ||||||||
33,000 | Employers Holdings, Inc. | 1,075,140 | ||||||||
6,600 | FedNat Holding Co. | 56,034 | ||||||||
41,500 | National General Holdings Corp. | 1,413,075 | ||||||||
32,700 | Universal Insurance Holdings, Inc. | 606,585 | ||||||||
|
| |||||||||
Total Insurance | 3,609,906 | |||||||||
|
| |||||||||
Materials — 8.0% | ||||||||||
21,000 | American Vanguard Corp. | 297,150 | ||||||||
86,600 | Avient Corp. | 2,210,032 | ||||||||
5,900 | Cabot Corp. | 218,359 | ||||||||
30,500 | FutureFuel Corp. | 369,050 | ||||||||
83,900 | Greif, Inc. – Class A | 3,091,715 | ||||||||
4,500 | Hawkins, Inc. | 225,990 | ||||||||
3,700 | HB Fuller Co. | 178,229 | ||||||||
75,500 | Innospec, Inc. | 5,639,095 | ||||||||
24,400 | Koppers Holdings, Inc. * | 587,064 | ||||||||
5,900 | Kronos Worldwide, Inc. | 73,691 | ||||||||
72,100 | Materion Corp. | 3,935,939 | ||||||||
3,000 | Minerals Technologies, Inc. | 152,250 | ||||||||
23,300 | Neenah, Inc. | 1,031,724 | ||||||||
36,200 | Reliance Steel & Aluminum Co. | 3,796,294 | ||||||||
126,400 | Schweitzer-Mauduit International, Inc. | 3,833,712 | ||||||||
18,800 | Silgan Holdings, Inc. | 715,528 | ||||||||
19,229 | Stepan Co. | 2,216,911 | ||||||||
74,900 | Tredegar Corp. | 1,268,057 | ||||||||
128,200 | Valvoline, Inc. | 2,615,280 | ||||||||
45,100 | Verso Corp. – Class A | 591,261 | ||||||||
46,300 | Worthington Industries, Inc. | 1,922,839 | ||||||||
|
| |||||||||
Total Materials | 34,970,170 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Media & Entertainment — 2.6% |
| |||||||||
67,900 | Cars.com, Inc. * | 589,372 | ||||||||
92,200 | DHI Group, Inc. * | 224,046 | ||||||||
270,600 | Liberty TripAdvisor Holdings, Inc. – Class A * | 757,680 | ||||||||
79,400 | Marchex, Inc. – Class B * | 142,126 | ||||||||
41,100 | Scholastic Corp. | 924,750 | ||||||||
63,300 | Sciplay Corp. – Class A * | 834,611 | ||||||||
553,000 | TEGNA, Inc. | 6,923,560 | ||||||||
66,000 | Tribune Publishing Co. | 749,100 | ||||||||
65,200 | TrueCar, Inc. * | 308,396 | ||||||||
6,100 | WideOpenWest, Inc. * | 35,075 | ||||||||
|
| |||||||||
Total Media & Entertainment | 11,488,716 | |||||||||
|
| |||||||||
Pharmaceuticals, Biotechnology & Life Sciences — 3.2% | ||||||||||
41,900 | Amneal Pharmaceuticals, Inc. * | 172,209 | ||||||||
22,300 | Arcus Biosciences, Inc. * | 530,740 | ||||||||
56,900 | CytomX Therapeutics, Inc. * | 415,370 | ||||||||
23,300 | Enanta Pharmaceuticals, Inc. * | 1,216,027 | ||||||||
581,200 | Endo International Plc * | 1,749,412 | ||||||||
39,900 | Kezar Life Sciences, Inc. * | 193,914 | ||||||||
95,500 | Luminex Corp. | 2,548,895 | ||||||||
227,900 | PDL BioPharma, Inc. * | 763,465 | ||||||||
14,000 | Phibro Animal Health Corp. – Class A | 300,440 | ||||||||
141,300 | Prestige Consumer Healthcare, Inc. * | 5,147,559 | ||||||||
4,800 | Scholar Rock Holding Corp. * | 72,480 | ||||||||
4,000 | United Therapeutics Corp. * | 427,840 | ||||||||
39,900 | Vanda Pharmaceuticals, Inc. * | 410,571 | ||||||||
|
| |||||||||
Total Pharmaceuticals, Biotechnology & Life Sciences | 13,948,922 | |||||||||
|
| |||||||||
Real Estate — 5.5% | ||||||||||
424,800 | CoreCivic, Inc. (REIT) | 3,954,888 | ||||||||
220,000 | CorePoint Lodging, Inc. (REIT) | 1,249,600 | ||||||||
347,900 | GEO Group, Inc. (REIT) | 3,882,564 | ||||||||
604,600 | Newmark Group, Inc. – Class A | 2,678,378 | ||||||||
321,800 | Realogy Holdings Corp. | 3,565,544 | ||||||||
125,900 | Retail Properties of America, Inc. – Class A (REIT) | 794,429 | ||||||||
297,800 | Summit Hotel Properties, Inc. (REIT) | 1,754,042 | ||||||||
402,500 | Sunstone Hotel Investors, Inc. (REIT) | 3,352,825 | ||||||||
67,900 | Uniti Group, Inc. (REIT) | 666,778 | ||||||||
224,100 | Xenia Hotels & Resorts, Inc. (REIT) | 2,012,418 | ||||||||
|
| |||||||||
Total Real Estate | 23,911,466 | |||||||||
|
| |||||||||
Retailing — 9.8% | ||||||||||
92,800 | AutoNation, Inc. * | 5,276,608 | ||||||||
126,900 | Big Lots, Inc. | 5,983,335 | ||||||||
23,500 | Cato Corp. (The) – Class A | 188,000 | ||||||||
83,400 | Core-Mark Holding Co., Inc. | 2,787,228 | ||||||||
29,800 | Designer Brands, Inc. – Class A | 210,090 |
48 | See accompanying notes to the financial statements. |
GMO U.S. Small Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Retailing — continued | ||||||||||
113,900 | Dick’s Sporting Goods, Inc. | 6,164,268 | ||||||||
43,100 | Genesco, Inc. * | 840,450 | ||||||||
89,200 | Group 1 Automotive, Inc. | 7,710,448 | ||||||||
83,813 | Haverty Furniture Cos, Inc. | 1,770,131 | ||||||||
23,400 | Hibbett Sports, Inc. * | 780,858 | ||||||||
11,850 | ODP Corp. (The) | 277,053 | ||||||||
23,600 | Rent-A-Center, Inc. | 724,520 | ||||||||
82,800 | Sally Beauty Holdings, Inc. * | 924,048 | ||||||||
60,300 | Shoe Carnival, Inc. | 1,982,664 | ||||||||
127,800 | Sonic Automotive, Inc. – Class A | 5,400,828 | ||||||||
2,600 | Weyco Group, Inc. | 46,800 | ||||||||
62,200 | Zumiez, Inc. * | 1,597,296 | ||||||||
|
| |||||||||
Total Retailing | 42,664,625 | |||||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment — 0.7% | ||||||||||
51,500 | Alpha & Omega Semiconductor Ltd. * | 697,825 | ||||||||
23,800 | Amkor Technology, Inc. * | 290,241 | ||||||||
104,600 | DSP Group, Inc. * | 1,499,964 | ||||||||
4,200 | Kulicke & Soffa Industries, Inc. | 100,716 | ||||||||
48,700 | Photronics, Inc. * | 488,461 | ||||||||
900 | Synaptics, Inc. * | 76,797 | ||||||||
|
| |||||||||
Total Semiconductors & Semiconductor Equipment | 3,154,004 | |||||||||
|
| |||||||||
Software & Services — 2.9% | ||||||||||
8,600 | Avaya Holdings Corp. * | 133,472 | ||||||||
22,200 | Cerence, Inc. * | 1,181,040 | ||||||||
54,000 | CSG Systems International, Inc. | 2,298,780 | ||||||||
4,900 | Hackett Group, Inc. (The) | 61,789 | ||||||||
10,900 | MicroStrategy, Inc. – Class A * | 1,574,396 | ||||||||
24,200 | OneSpan, Inc. * | 521,510 | ||||||||
98,400 | Progress Software Corp. | 3,728,376 | ||||||||
73,800 | Sykes Enterprises, Inc. * | 2,443,149 | ||||||||
36,400 | Unisys Corp. * | 424,424 | ||||||||
33,900 | Xperi Holding Corp. | 424,767 | ||||||||
|
| |||||||||
Total Software & Services | 12,791,703 | |||||||||
|
| |||||||||
Technology Hardware & Equipment — 7.1% | ||||||||||
104,446 | ADTRAN, Inc. | 1,158,306 | ||||||||
176,400 | Arlo Technologies, Inc. * | 1,010,772 | ||||||||
23,600 | Avnet, Inc. | 649,236 | ||||||||
182,800 | Benchmark Electronics, Inc. | 3,584,708 | ||||||||
12,700 | Calix, Inc. * | 247,015 | ||||||||
121,500 | Comtech Telecommunications Corp. | 2,016,900 | ||||||||
43,300 | CTS Corp. | 904,970 | ||||||||
47,500 | Digi International, Inc. * | 646,950 | ||||||||
14,700 | ePlus, Inc. * | 1,127,784 | ||||||||
120,900 | Insight Enterprises, Inc. * | 7,230,424 | ||||||||
30,900 | Kimball Electronics, Inc. * | 416,687 | ||||||||
36,900 | Methode Electronics, Inc. | 1,044,639 | ||||||||
38,700 | NETGEAR, Inc. * | 1,290,645 | ||||||||
19,800 | NetScout Systems, Inc. * | 458,172 | ||||||||
25,000 | PC Connection, Inc. | 1,107,250 |
Shares | Description | Value ($) | ||||||||
Technology Hardware & Equipment — continued | ||||||||||
266,200 | Sanmina Corp. * | 7,533,460 | ||||||||
6,400 | ScanSource, Inc. * | 158,016 | ||||||||
4,526 | Vishay Precision Group, Inc. * | 112,743 | ||||||||
22,400 | Xerox Holdings Corp. * | 422,464 | ||||||||
|
| |||||||||
Total Technology Hardware & Equipment | 31,121,141 | |||||||||
|
| |||||||||
Telecommunication Services — 1.8% | ||||||||||
3,000 | ATN International, Inc. | 174,000 | ||||||||
63,500 | Consolidated Communications Holdings, Inc. * | 494,030 | ||||||||
52,000 | IDT Corp. – Class B * | 339,040 | ||||||||
11,400 | Ooma, Inc. * | 155,496 | ||||||||
106,378 | Spok Holdings, Inc. | 1,153,138 | ||||||||
186,600 | Telephone & Data Systems, Inc. | 4,316,058 | ||||||||
33,600 | United States Cellular Corp. * | 1,222,368 | ||||||||
|
| |||||||||
Total Telecommunication Services | 7,854,130 | |||||||||
|
| |||||||||
Transportation — 0.7% | ||||||||||
31,700 | ArcBest Corp. | 1,072,094 | ||||||||
17,800 | Atlas Air Worldwide Holdings, Inc. * | 1,003,742 | ||||||||
16,200 | Hub Group, Inc. – Class A * | 872,208 | ||||||||
|
| |||||||||
Total Transportation | 2,948,044 | |||||||||
|
| |||||||||
Utilities — 0.1% | ||||||||||
62,100 | Genie Energy Ltd. – Class B | 548,964 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $452,914,012) | 430,977,272 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 0.2% | ||||||||||
Affiliated Issuers — 0.2% | ||||||||||
150,813 | GMO U.S. Treasury Fund | 760,097 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $760,097) | 760,097 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.0% | ||||||||||
Pharmaceuticals, Biotechnology & Life Sciences — 0.0% | ||||||||||
72,700 | Achillion Pharmaceuticals, Inc. CVR * (a) | 36,350 | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $33,442) | 36,350 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
Money Market Funds — 0.1% | ||||||||||
418,520 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (b) | 418,520 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $418,520) | 418,520 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 98.9% (Cost $454,126,071) | 432,192,239 | |||||||||
Other Assets and Liabilities (net) — 1.1% | 4,933,498 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $437,125,737 | |||||||||
|
|
See accompanying notes to the financial statements. | 49 |
GMO U.S. Small Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
A summary of outstanding financial instruments at August 31, 2020 is as follows:
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Buys 5 | E-mini Russell 2000 Index | September 2020 | $ | 390,325 | $ | 15,176 | ||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
As of August 31, 2020, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
* | Non-income producing security. |
(a) | Investment valued using significant unobservable input. |
(b) | The rate disclosed is the 7 day net yield as of August 31, 2020. |
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 51.
50 | See accompanying notes to the financial statements. |
GMO Trust Funds
August 31, 2020 (Unaudited)
ADR - American Depositary Receipt
CVR - Contingent Value Right
ETF - Exchange-Traded Fund
Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.
GDR - Global Depositary Receipt
JSC - Joint-Stock Company
NVDR - Non-Voting Depositary Receipt
OJSC – Open Joint-Stock Company
PJSC - Private Joint-Stock Company
QPSC - Qatar Private Stock Company
QSC - Qatari Shareholding Company
REIT - Real Estate Investment Trust
SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose financial Company)
USBM - U.S. Treasury 3 Month Bill Money Market Yield.
USD LIBOR - London Interbank Offered Rate denominated in United States Dollar.
The rates shown on variable rate notes are the current interest rates at August 31, 2020, which are subject to change based on the terms of the security.
Counterparty Abbreviations:
BCLY - Barclays Bank PLC
GS - Goldman Sachs International
MSCI - Morgan Stanley & Co. International PLC
Currency Abbreviations:
THB - Thai Baht
USD - United States Dollar
See accompanying notes to the financial statements. | 51 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2020 (Unaudited)
Climate Change Fund | Cyclical Focus Fund | Emerging Domestic Opportunities Fund | Emerging Markets Fund | |||||||||||||
Assets: |
| |||||||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | 5,778,990 | $ | 650,000 | $ | 20,163,838 | $ | 4,219,267 | ||||||||
Investments in unaffiliated issuers, at value (Note 2)(b) (c) | 136,975,064 | 135,617,253 | 917,461,962 | 2,845,334,787 | ||||||||||||
Foreign currency, at value (Note 2)(d) | 48,451 | 46,141 | 162,355 | 61,774,140 | ||||||||||||
Cash | — | 3 | — | 281,203 | ||||||||||||
Receivable for investments sold | — | — | 16,542,491 | 52,485,198 | ||||||||||||
Receivable for Fund shares sold | — | — | — | 25,899 | ||||||||||||
Dividends and interest receivable | 112,935 | 344,467 | 631,374 | 2,480,235 | ||||||||||||
Dividend withholding tax receivable | 21,848 | 24,342 | 219,555 | 176,552 | ||||||||||||
Foreign capital gains tax refund receivable (Note 2) | — | — | 5,292,004 | 3,745,261 | ||||||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | — | — | 491,821 | — | ||||||||||||
Due from broker (Note 2) | — | — | 683,607 | 1,564,843 | ||||||||||||
Receivable for variation margin on open futures contracts (Note 4) | — | — | 1,879,122 | 752,050 | ||||||||||||
Receivable for open OTC swap contracts (Note 4) | — | — | — | 693,922 | ||||||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 23,083 | 11,572 | 18,367 | 63,789 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 142,960,371 | 136,693,778 | 963,546,496 | 2,973,597,146 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: |
| |||||||||||||||
Payable for cash collateral from securities loaned (Note 2) | 349,329 | — | — | — | ||||||||||||
Payable for investments purchased | 596 | — | 8,026,317 | 1,699,531 | ||||||||||||
Payable for Fund shares repurchased | — | — | 64,462 | 51,813,530 | ||||||||||||
Payable to affiliate for (Note 5): |
| |||||||||||||||
Management fee | 70,406 | 37,481 | 594,309 | 1,651,104 | ||||||||||||
Shareholder service fee | 17,601 | 6,247 | 101,077 | 232,079 | ||||||||||||
Payable to agents unaffiliated with GMO | 31 | 33 | 259 | 867 | ||||||||||||
Payable for variation margin on open futures contracts (Note 4) | — | — | 677,040 | 4,070,920 | ||||||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | — | — | 1,021,220 | — | ||||||||||||
Payable for open OTC swap contracts (Note 4) | — | — | 558,213 | — | ||||||||||||
Payable to Trustees and related expenses | 488 | 119 | 3,873 | 11,400 | ||||||||||||
Accrued expenses | 78,110 | 113,005 | 333,426 | 1,076,550 | ||||||||||||
Miscellaneous payable | — | — | — | 892,572 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 516,561 | 156,885 | 11,380,196 | 61,448,553 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 142,443,810 | $ | 136,536,893 | $ | 952,166,300 | $ | 2,912,148,593 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments – affiliated issuers: | $ | 5,778,990 | $ | 650,000 | $ | 20,163,838 | $ | 16,682,016 | ||||||||
(b) Cost of investments – unaffiliated issuers: | $ | 123,747,049 | $ | 118,908,551 | $ | 771,429,214 | $ | 2,853,793,174 | ||||||||
(c) Includes securities on loan at value (Note 2): | $ | 3,764,202 | $ | 50,439 | $ | — | $ | 7,505,651 | ||||||||
(d) Cost of foreign currency: | $ | 47,927 | $ | 45,533 | $ | 160,329 | $ | 60,978,436 |
52 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2020 (Unaudited) — (Continued)
Climate Change Fund | Cyclical Focus Fund | Emerging Domestic Opportunities Fund | Emerging Markets Fund | |||||||||||||
Net assets consist of: |
| |||||||||||||||
Paid-in capital | $ | 131,133,669 | $ | 115,384,646 | $ | 958,693,108 | $ | 4,249,889,572 | ||||||||
Distributable earnings (accumulated loss) | 11,310,141 | 21,152,247 | (6,526,808 | ) | (1,337,740,979 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 142,443,810 | $ | 136,536,893 | $ | 952,166,300 | $ | 2,912,148,593 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets attributable to: |
| |||||||||||||||
Class II | $ | — | $ | — | $ | 305,449,926 | $ | 337,017,717 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | $ | 131,189,420 | $ | — | $ | 11,724,999 | $ | 430,445,006 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class V | $ | — | $ | — | $ | 634,991,375 | $ | 135,890,469 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | — | $ | 136,536,893 | $ | — | $ | 1,968,168,470 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | $ | 7,775,728 | $ | — | $ | — | $ | 23,275,735 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | $ | 3,478,662 | $ | — | $ | — | $ | 17,351,196 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding: |
| |||||||||||||||
Class II | — | — | 12,758,250 | 10,474,135 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | 5,218,986 | — | 489,722 | 13,335,924 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class V | — | — | 26,520,616 | 4,254,364 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | — | 5,737,820 | — | 61,618,683 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | 309,806 | — | — | 723,782 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | 138,546 | — | — | 539,461 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share: |
| |||||||||||||||
Class II | $ | — | $ | — | $ | 23.94 | $ | 32.18 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | $ | 25.14 | $ | — | $ | 23.94 | $ | 32.28 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class V | $ | — | $ | — | $ | 23.94 | $ | 31.94 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | — | $ | 23.80 | $ | — | $ | 31.94 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | $ | 25.10 | $ | — | $ | — | $ | 32.16 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | $ | 25.11 | $ | — | $ | — | $ | 32.16 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 53 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2020 (Unaudited) — (Continued)
International Equity Fund | Quality Fund | Resources Fund | Risk Premium Fund | |||||||||||||
Assets: |
| |||||||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | — | $ | 15,830,961 | $ | — | $ | — | ||||||||
Investments in unaffiliated issuers, at value (Note 2)(b) (c) | 2,636,696,098 | 7,123,020,870 | 589,044,045 | 16,590,663 | ||||||||||||
Foreign currency, at value (Note 2)(d) | 507,441 | 16 | 832,204 | — | ||||||||||||
Receivable for Fund shares sold | 85,476 | 2,257,955 | | 22,500 | | — | ||||||||||
Dividends and interest receivable | 9,813,056 | 8,608,351 | 1,452,914 | 16,611 | ||||||||||||
Dividend withholding tax receivable | 2,104,714 | 3,238,811 | 174,273 | — | ||||||||||||
Due from broker (Note 2) | 4,357 | — | — | 319,605 | ||||||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 84,977 | 105,604 | — | 4,938 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 2,649,296,119 | 7,153,062,568 | 591,525,936 | 16,931,817 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: |
| |||||||||||||||
Payable for investments purchased | 1,187 | — | 1,104 | — | ||||||||||||
Payable for Fund shares repurchased | 124,391 | 5,340,800 | — | — | ||||||||||||
Accrued foreign capital gains tax payable (Note 2) | — | — | 8,557 | — | ||||||||||||
Payable to affiliate for (Note 5): |
| |||||||||||||||
Management fee | 1,133,322 | 1,950,216 | 247,999 | 3,579 | ||||||||||||
Shareholder service fee | 227,220 | 662,284 | 61,322 | 803 | ||||||||||||
Payable to agents unaffiliated with GMO | 848 | 1,850 | 130 | 8 | ||||||||||||
Payable for variation margin on open futures contracts (Note 4) | 188,760 | — | — | — | ||||||||||||
Payable to Trustees and related expenses | 11,356 | 20,282 | 1,911 | 37 | ||||||||||||
Written options outstanding, at value (Note 4)(e) | — | — | — | 139,160 | ||||||||||||
Accrued expenses | 570,850 | 558,352 | 149,796 | 58,294 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 2,257,934 | 8,533,784 | 470,819 | 201,881 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 2,647,038,185 | $ | 7,144,528,784 | $ | 591,055,117 | $ | 16,729,936 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments – affiliated issuers: | $ | — | $ | 15,705,282 | $ | — | $ | — | ||||||||
(b) Cost of investments – unaffiliated issuers: | $ | 2,602,482,199 | $ | 4,490,364,104 | $ | 563,771,914 | $ | 16,564,440 | ||||||||
(c) Includes securities on loan at value (Note 2): | $ | — | $ | — | $ | 16,820,856 | $ | — | ||||||||
(d) Cost of foreign currency: | $ | 502,638 | $ | 16 | $ | 823,032 | $ | — | ||||||||
(e) Premiums on written options: | $ | — | $ | — | $ | — | $ | 309,517 |
54 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2020 (Unaudited) — (Continued)
International Equity Fund | Quality Fund | Resources Fund | Risk Premium Fund | |||||||||||||
Net assets consist of: |
| |||||||||||||||
Paid-in capital | $ | 3,743,916,820 | $ | 4,119,345,294 | $ | 571,147,893 | $ | 19,862,266 | ||||||||
Distributable earnings (accumulated loss) | (1,096,878,635 | ) | 3,025,183,490 | 19,907,224 | (3,132,330 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 2,647,038,185 | $ | 7,144,528,784 | $ | 591,055,117 | $ | 16,729,936 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets attributable to: |
| |||||||||||||||
Class II | $ | 4,874,946 | $ | — | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | $ | 446,392,802 | $ | 3,562,791,963 | $ | 279,414,120 | $ | 201,314 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | 2,195,770,437 | $ | 918,430,553 | $ | 311,640,997 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | — | $ | 2,411,937,602 | $ | — | $ | 16,528,622 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | $ | — | $ | 102,517,875 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | $ | — | $ | 148,850,791 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding: |
| |||||||||||||||
Class II | 236,206 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | 21,375,186 | 138,549,813 | 14,130,135 | 7,823 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | 105,320,917 | 35,638,620 | 15,804,242 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | — | 93,773,676 | — | 647,539 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | — | 3,988,981 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | — | 5,797,125 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share: |
| |||||||||||||||
Class II | $ | 20.64 | $ | — | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | $ | 20.88 | $ | 25.71 | $ | 19.77 | $ | 25.73 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | 20.85 | $ | 25.77 | $ | 19.72 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | — | $ | 25.72 | $ | — | $ | 25.53 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | $ | — | $ | 25.70 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | $ | — | $ | 25.68 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 55 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2020 (Unaudited) — (Continued)
Tax-Managed International Equities Fund | U.S. Equity Fund | U.S. Small Cap Value Fund | ||||||||||
Assets: |
| |||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | 575,165 | $ | 2,300,296 | $ | 760,097 | ||||||
Investments in unaffiliated issuers, at value (Note 2)(b) | 38,338,930 | 379,303,073 | 431,432,142 | |||||||||
Foreign currency, at value (Note 2)(c) | 39,427 | — | — | |||||||||
Receivable for investments sold | — | — | 6,741,551 | |||||||||
Dividends and interest receivable | 134,327 | 663,671 | 446,949 | |||||||||
Dividend withholding tax receivable | 26,670 | — | — | |||||||||
Foreign capital gains tax refund receivable (Note 2) | 2,071 | — | — | |||||||||
Due from broker (Note 2) | 11,130 | 72,966 | 31,997 | |||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 21,305 | 13,973 | 255 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 39,149,025 | 382,353,979 | 439,412,991 | |||||||||
|
|
|
|
|
| |||||||
Liabilities: |
| |||||||||||
Payable for investments purchased | 40 | — | 1,945,865 | |||||||||
Payable for Fund shares repurchased | 9,691 | — | 110,165 | |||||||||
Payable to affiliate for (Note 5): |
| |||||||||||
Management fee | 16,618 | 99,734 | 115,974 | |||||||||
Shareholder service fee | 4,985 | 25,109 | 20,576 | |||||||||
Payable to agents unaffiliated with GMO | 14 | 131 | 112 | |||||||||
Payable for variation margin on open futures contracts (Note 4) | 715 | 1,375 | 3,600 | |||||||||
Payable to Trustees and related expenses | 184 | 2,104 | 1,873 | |||||||||
Accrued expenses | 141,238 | 102,488 | 89,089 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 173,485 | 230,941 | 2,287,254 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 38,975,540 | $ | 382,123,038 | $ | 437,125,737 | ||||||
|
|
|
|
|
| |||||||
(a) Cost of investments – affiliated issuers: | $ | 574,107 | $ | 2,300,296 | $ | 760,097 | ||||||
(b) Cost of investments – unaffiliated issuers: | $ | 29,956,351 | $ | 322,883,304 | $ | 453,365,974 | ||||||
(c) Cost of foreign currency: | $ | 39,188 | $ | — | $ | — |
56 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2020 (Unaudited) — (Continued)
Tax-Managed International Equities Fund | U.S. Equity Fund | U.S. Small Cap Value Fund | ||||||||||
Net assets consist of: |
| |||||||||||
Paid-in capital | $ | 35,944,817 | $ | 327,502,853 | $ | 478,336,368 | ||||||
Distributable earnings (accumulated loss) | 3,030,723 | 54,620,185 | (41,210,631 | ) | ||||||||
|
|
|
|
|
| |||||||
$ | 38,975,540 | $ | 382,123,038 | $ | 437,125,737 | |||||||
|
|
|
|
|
| |||||||
Net assets attributable to: |
| |||||||||||
Class III | $ | 38,975,540 | $ | 93,389,693 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class VI | $ | — | $ | 288,733,345 | $ | 437,125,737 | ||||||
|
|
|
|
|
| |||||||
Shares outstanding: |
| |||||||||||
Class III | 2,765,606 | 7,377,166 | — | |||||||||
|
|
|
|
|
| |||||||
Class VI | — | 23,024,753 | 24,388,966 | |||||||||
|
|
|
|
|
| |||||||
Net asset value per share: |
| |||||||||||
Class III | $ | 14.09 | $ | 12.66 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class VI | $ | — | $ | 12.54 | $ | 17.92 | ||||||
|
|
|
|
|
|
See accompanying notes to the financial statements. | 57 |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2020 (Unaudited)
Climate Change Fund | Cyclical Focus Fund* | Emerging Domestic Opportunities Fund | Emerging Markets Fund | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a) | $ | 1,482,212 | $ | 1,071,626 | $ | 9,043,390 | $ | 78,419,574 | ||||||||
Dividends from affiliated issuers (Note 10) | 3,608 | 302 | 24,662 | — | ||||||||||||
Interest | — | — | 4,303 | 80,769 | ||||||||||||
Securities lending income from affiliated issuers (net) | 10,247 | — | — | — | ||||||||||||
Securities lending income (net) | 5,762 | — | — | 67,915 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 1,501,829 | 1,071,928 | 9,072,355 | 78,568,258 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: |
| |||||||||||||||
Management fee (Note 5) | 343,653 | 125,595 | 3,230,661 | 10,354,906 | ||||||||||||
Shareholder service fee – Class II (Note 5) | — | — | 302,144 | 393,681 | ||||||||||||
Shareholder service fee – Class III (Note 5) | 82,203 | — | 23,254 | 267,419 | ||||||||||||
Shareholder service fee – Class V (Note 5) | — | — | 236,227 | 69,622 | ||||||||||||
Shareholder service fee – Class VI (Note 5) | — | 20,933 | — | 546,490 | ||||||||||||
Shareholder service fee – Class R6 (Note 5) | 2,490 | — | — | 19,141 | ** | |||||||||||
Shareholder service fee – Class I (Note 5) | 1,220 | — | — | 17,378 | ||||||||||||
Organizational expenses | — | 71,000 | — | — | ||||||||||||
Audit and tax fees | 43,297 | 26,038 | 55,642 | 133,095 | ||||||||||||
Custodian, fund accounting agent and transfer agent fees | 34,950 | 11,886 | 297,392 | 1,050,619 | ||||||||||||
Legal fees | 7,810 | 2,847 | 22,391 | 55,739 | ||||||||||||
Registration fees | 9,936 | — | 8,328 | 44,632 | ||||||||||||
Trustees’ fees and related expenses (Note 5) | 1,970 | 1,129 | 15,297 | 49,946 | ||||||||||||
Miscellaneous | 8,592 | 2,302 | 11,848 | 39,821 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 536,121 | 261,730 | 4,203,184 | 13,042,489 | ||||||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (92,120 | ) | (112,434 | ) | (91,105 | ) | (1,563,708 | ) | ||||||||
Indirectly incurred management fees waived or borne by GMO (Note 5) | (2,182 | ) | — | (7,922 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 441,819 | 149,296 | 4,104,157 | 11,478,781 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 1,060,010 | 922,632 | 4,968,198 | 67,089,477 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b) | 3,091,639 | 3,447,513 | (54,872,140 | ) | (52,698,767 | ) | ||||||||||
Investments in affiliated issuers | 25,397 | — | (4,286,202 | ) | (1,353,564 | ) | ||||||||||
Futures contracts | — | — | (1,077,171 | ) | (2,927,234 | ) | ||||||||||
Swap contracts | — | — | 4,059,966 | 9,479,649 | ||||||||||||
Forward currency contracts | — | — | (2,124 | ) | — | |||||||||||
Foreign currency and foreign currency related transactions | (8,862 | ) | 68,687 | (885,977 | ) | (1,529,598 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 3,108,174 | 3,516,200 | (57,063,648 | ) | (49,029,514 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) on: |
| |||||||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c) | 12,539,232 | 16,708,702 | 143,218,919 | 94,150,992 | ||||||||||||
Investments in affiliated issuers | (14,867 | ) | — | 8,537,548 | (38,840 | ) | ||||||||||
Futures contracts | — | — | 693,029 | 22,792,229 | ||||||||||||
Swap contracts | — | — | (1,177,155 | ) | (132,196 | ) | ||||||||||
Forward currency contracts | — | — | (123,484 | ) | — | |||||||||||
Foreign currency and foreign currency related transactions | 5,737 | 4,713 | 22,381 | 855,561 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) | 12,530,102 | 16,713,415 | 151,171,238 | 117,627,746 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | 15,638,276 | 20,229,615 | 94,107,590 | 68,598,232 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | 16,698,286 | $ | 21,152,247 | $ | 99,075,788 | $ | 135,687,709 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Withholding tax: | $ | 103,090 | $ | 64,103 | $ | 1,427,700 | $ | 9,931,485 | ||||||||
(b) Foreign capital gains tax on net realized gain (loss): | $ | — | $ | — | $ | 37,452 | $ | 234,598 | ||||||||
(c) Foreign capital gains tax on change in net unrealized appreciation (depreciation): | $ | — | $ | — | $ | (446,384 | ) | $ | — |
* Period from May 12, 2020 (commencement of operations) through August 31, 2020. |
** Period from March 31, 2020 (commencement of operations) through August 31, 2020. |
58 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2020 (Unaudited) — (Continued)
International Equity Fund | Quality Fund | Resources Fund | Risk Premium Fund | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a) | $ | 57,103,663 | $ | 67,493,079 | $ | 8,938,614 | $ | 1,443 | ||||||||
Non-cash dividends from unaffiliated issuers | — | — | 551,982 | — | ||||||||||||
Dividends from affiliated issuers (Note 10) | — | 24,505 | — | — | ||||||||||||
Interest | 148,998 | 313,577 | 25,554 | 40,753 | ||||||||||||
Securities lending income (net) | — | — | 100,364 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 57,252,661 | 67,831,161 | 9,616,514 | 42,196 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: |
| |||||||||||||||
Management fee (Note 5) | 6,820,638 | 10,668,443 | 1,245,465 | 22,702 | ||||||||||||
Shareholder service fee – Class II (Note 5) | 7,060 | — | — | — | ||||||||||||
Shareholder service fee – Class III (Note 5) | 325,908 | 2,448,118 | 163,535 | 289 | ||||||||||||
Shareholder service fee – Class IV (Note 5) | 1,029,282 | 437,714 | 140,070 | — | ||||||||||||
Shareholder service fee – Class VI (Note 5) | — | 595,839 | — | 4,888 | ||||||||||||
Shareholder service fee – Class R6 (Note 5) | — | 61,247 | — | — | ||||||||||||
Shareholder service fee – Class I (Note 5) | — | 89,608 | — | — | ||||||||||||
Audit and tax fees | 99,688 | 39,127 | 45,269 | 22,308 | ||||||||||||
Custodian, fund accounting agent and transfer agent fees | 362,152 | 492,746 | 120,480 | 10,053 | ||||||||||||
Legal fees | 51,619 | 102,955 | 11,966 | 671 | ||||||||||||
Registration fees | 20,404 | 36,552 | 2,426 | 1,350 | ||||||||||||
Trustees’ fees and related expenses (Note 5) | 47,986 | 107,122 | 8,342 | 300 | ||||||||||||
Miscellaneous | 56,010 | 20,330 | 9,309 | 9,156 | * | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 8,820,747 | 15,099,801 | 1,746,862 | 71,717 | ||||||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (512,327 | ) | (586,978 | ) | — | (43,246 | ) | |||||||||
Indirectly incurred management fees waived or borne by GMO (Note 5) | — | (6,381 | ) | (89 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 8,308,420 | 14,506,442 | 1,746,773 | 28,471 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 48,944,241 | 53,324,719 | 7,869,741 | 13,725 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments in unaffiliated issuers | (126,491,269 | ) | 348,956,209 | 11,703,107 | (8,108,630 | ) | ||||||||||
Investments in affiliated issuers | — | — | 10,764 | — | ||||||||||||
Futures contracts | (18,241,371 | ) | — | — | — | |||||||||||
Written options | — | — | — | 2,790,470 | ||||||||||||
Foreign currency and foreign currency related transactions | (22,012 | ) | 14,321 | (277,791 | ) | 1,232 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (144,754,652 | ) | 348,970,530 | 11,436,080 | (5,316,928 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) on: |
| |||||||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b) | 183,814,293 | 659,383,589 | 37,972,690 | 23,963 | ||||||||||||
Investments in affiliated issuers | — | 62,821 | (7,302 | ) | — | |||||||||||
Futures contracts | 9,075,413 | — | — | — | ||||||||||||
Written Options | — | — | — | 2,147,602 | ||||||||||||
Foreign currency and foreign currency related transactions | 756,474 | 265,461 | 89,499 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) | 193,646,180 | 659,711,871 | 38,054,887 | 2,171,565 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | 48,891,528 | 1,008,682,401 | 49,490,967 | (3,145,363 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | 97,835,769 | $ | 1,062,007,120 | $ | 57,360,708 | $ | (3,131,638 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
(a) Withholding tax: | $ | 5,298,886 | $ | 2,669,089 | $ | 708,102 | $ | — | ||||||||
(b) Foreign capital gains tax on change in net unrealized appreciation (depreciation): | $ | — | $ | — | $ | 8,557 | $ | — | ||||||||
* Includes $4,321 of printing related fees. |
See accompanying notes to the financial statements. | 59 |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2020 (Unaudited) — (Continued)
Tax-Managed International Equities Fund | U.S. Equity Fund | U.S. Small Cap Value Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a) | $ | 973,753 | $ | 3,829,425 | $ | 4,312,085 | ||||||
Dividends from affiliated issuers (Note 10) | 628 | 5,309 | 3,661 | |||||||||
Interest | 20 | — | 839 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 974,401 | 3,834,734 | 4,316,585 | |||||||||
|
|
|
|
|
| |||||||
Expenses: |
| |||||||||||
Management fee (Note 5) | 102,978 | 607,188 | 626,235 | |||||||||
Shareholder service fee – Class III (Note 5) | 30,893 | 63,948 | — | |||||||||
Shareholder service fee – Class VI (Note 5) | — | 84,279 | 111,106 | |||||||||
Audit and tax fees | 62,964 | 30,652 | 31,542 | |||||||||
Custodian, fund accounting agent and transfer agent fees | 50,480 | 44,496 | 41,896 | |||||||||
Legal fees | 4,596 | 10,436 | 7,732 | |||||||||
Registration fees | 864 | 10,832 | 1,088 | |||||||||
Trustees’ fees and related expenses (Note 5) | 756 | 7,377 | 6,696 | |||||||||
Miscellaneous | 19,402 | * | 5,408 | 4,357 | ||||||||
|
|
|
|
|
| |||||||
Total expenses | 272,933 | 864,616 | 830,652 | |||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (109,936 | ) | (96,023 | ) | — | |||||||
Indirectly incurred management fees waived or borne by GMO (Note 5) | (180 | ) | (1,178 | ) | (771 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 162,817 | 767,415 | 829,881 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 811,584 | 3,067,319 | 3,486,704 | |||||||||
|
|
|
|
|
| |||||||
Realized and unrealized gain (loss): | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments in unaffiliated issuers | (264,445 | ) | (2,688,856 | ) | (16,813,604 | ) | ||||||
Investments in affiliated issuers | 1,310 | 13,242 | 28,629 | |||||||||
Futures contracts | (7,786 | ) | (1,124,069 | ) | (3,274,890 | ) | ||||||
Foreign currency and foreign currency related transactions | (11,408 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | (282,329 | ) | (3,799,683 | ) | (20,059,865 | ) | ||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||
Investments in unaffiliated issuers | 2,885,773 | 48,663,398 | 24,108,418 | |||||||||
Investments in affiliated issuers | 159 | (2,929 | ) | (15,999 | ) | |||||||
Futures contracts | 5,814 | 187,653 | 805,546 | |||||||||
Foreign currency and foreign currency related transactions | 19,853 | — | — | |||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) | 2,911,599 | 48,848,122 | 24,897,965 | |||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) | 2,629,270 | 45,048,439 | 4,838,100 | |||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | 3,440,854 | $ | 48,115,758 | $ | 8,324,804 | ||||||
|
|
|
|
|
| |||||||
(a) Withholding tax: | $ | 86,899 | $ | — | $ | 2,325 | ||||||
* Includes $16,656 of pricing related fees. |
60 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets
Climate Change Fund | Cyclical Focus Fund | |||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | Period from May 12, 2020 (commencement of operations) through August 31, 2020 (Unaudited) | ||||||||||
Increase (decrease) in net assets: |
| |||||||||||
Operations: |
| |||||||||||
Net investment income (loss) | $ | 1,060,010 | $ | 2,172,426 | $ | 922,632 | ||||||
Net realized gain (loss) | 3,108,174 | 1,027,040 | 3,516,200 | |||||||||
Change in net unrealized appreciation (depreciation) | 12,530,102 | 2,837,109 | 16,713,415 | |||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets from operations | 16,698,286 | 6,036,575 | 21,152,247 | |||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders: |
| |||||||||||
Class III | (2,361,514 | ) | (4,994,590 | ) | — | |||||||
Class R6 | (143,006 | ) | — | — | ||||||||
Class I | (52,552 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Total distributions | (2,557,072 | ) | (4,994,590 | ) | — | |||||||
|
|
|
|
|
| |||||||
Net share transactions (Note 9): |
| |||||||||||
Class III | (2,761,017 | ) | 6,871,328 | — | ||||||||
Class VI | — | — | 115,384,646 | |||||||||
Class R6 | 5,761,822 | 1,239,895 | * | — | ||||||||
Class I | 2,148,010 | 1,000,842 | ** | — | ||||||||
|
|
|
|
|
| |||||||
Increase (decrease) in net assets resulting from net share transactions | 5,148,815 | 9,112,065 | 115,384,646 | |||||||||
|
|
|
|
|
| |||||||
Total increase (decrease) in net assets | 19,290,029 | 10,154,050 | 136,536,893 | |||||||||
Net assets: |
| |||||||||||
Beginning of period | 123,153,781 | 112,999,731 | — | |||||||||
|
|
|
|
|
| |||||||
End of period | $ | 142,443,810 | $ | 123,153,781 | $ | 136,536,893 | ||||||
|
|
|
|
|
| |||||||
* Period from January 16, 2020 (commencement of operations) through February 29, 2020. |
| |||||||||||
** Period from February 25, 2020 (commencement of operations) through February 29, 2020. |
|
See accompanying notes to the financial statements. | 61 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Emerging Domestic Opportunities Fund | Emerging Markets Fund | |||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | |||||||||||||
Increase (decrease) in net assets: |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income (loss) | $ | 4,968,198 | $ | 23,082,264 | $ | 67,089,477 | $ | 122,975,774 | ||||||||
Net realized gain (loss) | (57,063,648 | ) | 67,107,061 | (49,029,514 | ) | 175,446,783 | ||||||||||
Change in net unrealized appreciation (depreciation) | 151,171,238 | (54,844,542 | ) | 117,627,746 | (297,047,770 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 99,075,788 | 35,344,783 | 135,687,709 | 1,374,787 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders: |
| |||||||||||||||
Class II | — | (16,547,112 | ) | (1,878,435 | ) | (24,874,314 | ) | |||||||||
Class III | — | (7,732,788 | ) | (1,839,787 | ) | (12,473,933 | ) | |||||||||
Class V | — | (27,277,084 | ) | (721,479 | ) | — | *** | |||||||||
Class VI | — | — | (11,255,301 | ) | (121,480,286 | ) | ||||||||||
Class R6 | — | — | (116,849 | )** | — | |||||||||||
Class I | — | — | (78,862 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | — | (51,556,984 | ) | (15,890,713 | ) | (158,828,533 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): |
| |||||||||||||||
Class II | (20,468,147 | ) | (170,009,264 | ) | (74,800,266 | ) | (35,761,782 | ) | ||||||||
Class III | (82,870,223 | ) | (71,925,343 | ) | 78,934,920 | 73,786,338 | ||||||||||
Class IV | — | (114,489,235 | )* | — | — | |||||||||||
Class V | (4,436,652 | ) | (179,544,003 | ) | (74,278,521 | ) | 210,170,738 | *** | ||||||||
Class VI | — | — | (292,285,917 | ) | (390,152,634 | ) | ||||||||||
Class R6 | — | — | 19,120,564 | ** | — | |||||||||||
Class I | — | — | 418,748 | 17,404,620 | **** | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (107,775,022 | ) | (535,967,845 | ) | (342,890,472 | ) | (124,552,720 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): |
| |||||||||||||||
Class II | — | 852,111 | — | 275,184 | ||||||||||||
Class III | — | 352,337 | — | 157,429 | ||||||||||||
Class IV | — | 9,845 | * | — | — | |||||||||||
Class V | — | 1,096,979 | — | — | *** | |||||||||||
Class VI | — | — | — | 1,473,861 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from purchase premiums and redemption fees | — | 2,311,272 | — | 1,906,474 | ||||||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (107,775,022 | ) | (533,656,573 | ) | (342,890,472 | ) | (122,646,246 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (8,699,234 | ) | (549,868,774 | ) | (223,093,476 | ) | (280,099,992 | ) | ||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 960,865,534 | 1,510,734,308 | 3,135,242,069 | 3,415,342,061 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 952,166,300 | $ | 960,865,534 | $ | 2,912,148,593 | $ | 3,135,242,069 | ||||||||
|
|
|
|
|
|
|
| |||||||||
* For the period June 25, 2019 to February 29, 2020, Class IV had no shareholders. |
| |||||||||||||||
** Period from March 31, 2020 (commencement of operations) through August 31, 2020. |
| |||||||||||||||
*** Period from February 26, 2020 through February 29, 2020. |
| |||||||||||||||
**** Period from January 14, 2020 (commencement of operations) through February 29, 2020. |
|
62 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
International Equity Fund | Quality Fund | |||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | |||||||||||||
Increase (decrease) in net assets: |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income (loss) | $ | 48,944,241 | $ | 122,498,085 | $ | 53,324,719 | $ | 98,660,852 | ||||||||
Net realized gain (loss) | (144,754,652 | ) | 30,579,072 | 348,970,530 | 659,320,060 | |||||||||||
Change in net unrealized appreciation (depreciation) | 193,646,180 | (53,383,001 | ) | 659,711,871 | (90,253,069 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 97,835,769 | 99,694,156 | 1,062,007,120 | 667,727,843 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders: |
| |||||||||||||||
Class II | (5,737 | ) | (508,765 | ) | — | — | ||||||||||
Class III | (1,108,376 | ) | (19,312,559 | ) | (119,707,232 | ) | (264,047,724 | ) | ||||||||
Class IV | (6,537,505 | ) | (102,795,751 | ) | (30,098,264 | ) | (78,540,885 | ) | ||||||||
Class VI | — | — | (80,183,867 | ) | (181,579,983 | ) | ||||||||||
Class R6 | — | — | (3,062,337 | ) | (5,847,564 | )* | ||||||||||
Class I | — | — | (5,208,436 | ) | (1,788,658 | )** | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (7,651,618 | ) | (122,617,075 | ) | (238,260,136 | ) | (531,804,814 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): |
| |||||||||||||||
Class II | (5,422,127 | ) | (7,576,940 | ) | — | — | ||||||||||
Class III | (26,838,224 | ) | (53,558,079 | ) | (43,206,933 | ) | 66,851,883 | |||||||||
Class IV | (458,499,688 | ) | (550,484,729 | ) | (35,401,736 | ) | (315,166,090 | ) | ||||||||
Class VI | — | — | 51,625,027 | (209,718,124 | ) | |||||||||||
Class R6 | — | — | 14,596,052 | 85,664,922 | * | |||||||||||
Class I | — | — | 50,300,702 | 87,540,552 | ** | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (490,760,039 | ) | (611,619,748 | ) | 37,913,112 | (284,826,857 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (400,575,888 | ) | (634,542,667 | ) | 861,660,096 | (148,903,828 | ) | |||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 3,047,614,073 | 3,682,156,740 | 6,282,868,688 | 6,431,772,516 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 2,647,038,185 | $ | 3,047,614,073 | $ | 7,144,528,784 | $ | 6,282,868,688 | ||||||||
|
|
|
|
|
|
|
| |||||||||
* Period from November 12, 2019 (commencement of operations) through February 29, 2020. |
| |||||||||||||||
** Period from September 26, 2019 (commencement of operations) through February 29, 2020. |
|
See accompanying notes to the financial statements. | 63 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Resources Fund | Risk Premium Fund | |||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | |||||||||||||
Increase (decrease) in net assets: |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income (loss) | $ | 7,869,741 | $ | 17,591,932 | $ | 13,725 | $ | 5,734,915 | ||||||||
Net realized gain (loss) | 11,436,080 | 20,005,066 | (5,316,928 | ) | 19,903,272 | |||||||||||
Change in net unrealized appreciation (depreciation) | 38,054,887 | (82,446,836 | ) | 2,171,565 | (3,410,104 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 57,360,708 | (44,849,838 | ) | (3,131,638 | ) | 22,228,083 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders: |
| |||||||||||||||
Class III | (59,739 | ) | (6,468,905 | ) | (28,853 | ) | (50,962 | ) | ||||||||
Class IV | (92,036 | ) | (10,675,296 | ) | — | — | ||||||||||
Class VI | — | — | (691,213 | ) | (16,150,902 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (151,775 | ) | (17,144,201 | ) | (720,066 | ) | (16,201,864 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): |
| |||||||||||||||
Class III | 47,753,332 | 55,398,679 | (1,924,663 | ) | (8,781,400 | ) | ||||||||||
Class IV | (26,742,702 | ) | 12,711,805 | — | — | |||||||||||
Class VI | — | — | (13,963,534 | ) | (421,310,127 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | 21,010,630 | 68,110,484 | (15,888,197 | ) | (430,091,527 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): |
| |||||||||||||||
Class III | — | 90,346 | — | — | ||||||||||||
Class IV | — | 151,328 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from purchase premiums and redemption fees | — | 241,674 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 78,219,563 | 6,358,119 | (19,739,901 | ) | (424,065,308 | ) | ||||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 512,835,554 | 506,477,435 | 36,469,837 | 460,535,145 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 591,055,117 | $ | 512,835,554 | $ | 16,729,936 | $ | 36,469,837 | ||||||||
|
|
|
|
|
|
|
|
64 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Tax-Managed International Equities Fund | U.S. Equity Fund | |||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | |||||||||||||
Increase (decrease) in net assets: |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income (loss) | $ | 811,584 | $ | 1,439,752 | $ | 3,067,319 | $ | 11,845,955 | ||||||||
Net realized gain (loss) | (282,329 | ) | 2,870,514 | (3,799,683 | ) | 67,825,076 | ||||||||||
Change in net unrealized appreciation (depreciation) | 2,911,599 | (2,964,684 | ) | 48,848,122 | (43,567,966 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 3,440,854 | 1,345,582 | 48,115,758 | 36,103,065 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders: |
| |||||||||||||||
Class III | (82,176 | ) | (1,766,064 | ) | (5,933,050 | ) | (12,516,573 | ) | ||||||||
Class VI | — | — | (19,173,129 | ) | (55,465,712 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (82,176 | ) | (1,766,064 | ) | (25,106,179 | ) | (67,982,285 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): |
| |||||||||||||||
Class III | (610,729 | ) | (12,091,123 | ) | 3,359,683 | (39,804,661 | ) | |||||||||
Class VI | — | — | (93,677,046 | ) | (368,797,179 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (610,729 | ) | (12,091,123 | ) | (90,317,363 | ) | (408,601,840 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 2,747,949 | (12,511,605 | ) | (67,307,784 | ) | (440,481,060 | ) | |||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 36,227,591 | 48,739,196 | 449,430,822 | 889,911,882 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 38,975,540 | $ | 36,227,591 | $ | 382,123,038 | $ | 449,430,822 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 65 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
U.S. Small Cap Value Fund | ||||||||
Six Months Ended August 31, 2020 (Unaudited) | Period from July 2, 2019 (commencement of operations) through February 29, 2020 | |||||||
Increase (decrease) in net assets: |
| |||||||
Operations: |
| |||||||
Net investment income (loss) | $ | 3,486,704 | $ | 4,523,917 | ||||
Net realized gain (loss) | (20,059,865 | ) | (2,586,408 | ) | ||||
Change in net unrealized appreciation (depreciation) | 24,897,965 | (46,816,621 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | 8,324,804 | (44,879,112 | ) | |||||
|
|
|
| |||||
Distributions to shareholders: |
| |||||||
Class VI | (871,428 | ) | (3,801,218 | ) | ||||
|
|
|
| |||||
Total distributions | (871,428 | ) | (3,801,218 | ) | ||||
|
|
|
| |||||
Net share transactions (Note 9): |
| |||||||
Class VI | 14,164,053 | 464,188,638 | ||||||
|
|
|
| |||||
Increase (decrease) in net assets resulting from net share transactions | 14,164,053 | 464,188,638 | ||||||
|
|
|
| |||||
Total increase (decrease) in net assets | 21,617,429 | 415,508,308 | ||||||
Net assets: |
| |||||||
Beginning of period | 415,508,308 | — | ||||||
|
|
|
| |||||
End of period | $ | 437,125,737 | $ | 415,508,308 | ||||
|
|
|
|
66 | See accompanying notes to the financial statements. |
GMO Trust Funds
(For a share outstanding throughout each period)
CLIMATE CHANGE FUND
Class III Shares | Class R6 Shares | Class I Shares | ||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | Period from April 5, 2017 (commencement of operations) through February 28, 2018 | Six Months Ended August 31, 2020 (Unaudited) | Period from January 16, 2020 (commencement of operations) through February 29, 2020 | Six Months Ended August 31, 2020 (Unaudited) | Period from February 25, 2020 (commencement of operations) through February 29, 2020 | ||||||||||||||||||||||||||||||||||
2020 | 2019 | |||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.36 | $ | 22.04 | $ | 23.81 | $ | 20.00 | $ | 22.36 | $ | 24.55 | $ | 22.36 | $ | 23.37 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Income (loss) from investment operations: |
| |||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.20 | 0.41 | 0.36 | 0.23 | 0.13 | 0.01 | 0.15 | 0.01 | ||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 3.04 | 0.87 | (1.61 | ) | 4.41 | 3.08 | (2.20 | ) | 3.07 | (1.02 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total from investment operations | 3.24 | 1.28 | (1.25 | ) | 4.64 | 3.21 | (2.19 | ) | 3.22 | (1.01 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Less distributions to shareholders: |
| |||||||||||||||||||||||||||||||||||||||
From net investment income | (0.03 | ) | (0.45 | ) | (0.26 | ) | (0.22 | ) | (0.04 | ) | — | (0.04 | ) | — | ||||||||||||||||||||||||||
From net realized gains | (0.43 | ) | (0.51 | ) | (0.26 | ) | (0.61 | ) | (0.43 | ) | — | (0.43 | ) | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total distributions | (0.46 | ) | (0.96 | ) | (0.52 | ) | (0.83 | ) | (0.47 | ) | — | (0.47 | ) | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Net asset value, end of period | $ | 25.14 | $ | 22.36 | $ | 22.04 | $ | 23.81 | $ | 25.10 | $ | 22.36 | $ | 25.11 | $ | 22.36 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total Return(b) | 14.81 | %** | 5.66 | % | (5.22 | )% | 23.28 | %** | 14.69 | %** | (8.92 | )%** | 14.72 | %** | (4.32 | )%** | ||||||||||||||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 131,189 | $ | 121,062 | $ | 113,000 | $ | 26,694 | $ | 7,776 | $ | 1,129 | $ | 3,479 | $ | 962 | ||||||||||||||||||||||||
Net expenses to average daily net assets(c) | 0.77 | %* | 0.77 | % | 0.75 | % | 0.78 | %* | 0.77 | %* | 0.77 | %* | 0.87 | %* | 0.87 | %* | ||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.88 | %* | 1.84 | % | 1.61 | % | 1.09 | %* | 1.15 | %* | 0.40 | %* | 1.34 | %* | 1.93 | %* | ||||||||||||||||||||||||
Portfolio turnover rate(d) | 44 | %** | 62 | % | 29 | % | 44 | %** | 44 | %** | 62 | %** | 44 | %** | 62 | %** | ||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.16 | %(e)* | 0.16 | %(e) | 0.26 | % | 0.73 | %* | 0.17 | %(e)* | 0.23 | %(e)* | 0.17 | %(e)* | 0.43 | %(e)* |
(a) | Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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, 2020, and the years ended February 29, 2020, February 28, 2019 and February 28, 2018, including transactions in USTF, was 80%, 173%, 121% and 174%, respectively, of the average value of its portfolio. |
(e) | Ratio includes 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. | 67 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
CYCLICAL FOCUS FUND
Class VI Shares | |||||
Period from May 12, 2020 (commencement of operations) through August 31, 2020 (Unaudited) | |||||
Net asset value, beginning of period | $ | 20.00 | |||
|
| ||||
Income (loss) from investment operations: |
| ||||
Net investment income (loss)(a)† | 0.17 | ||||
Net realized and unrealized gain (loss) | 3.63 | ||||
|
| ||||
Total from investment operations | 3.80 | ||||
|
| ||||
Net asset value, end of period | $ | 23.80 | |||
|
| ||||
Total Return(b) | 19.00 | %** | |||
Ratios/Supplemental Data: |
| ||||
Net assets, end of period (000’s) | $ | 136,537 | |||
Net expenses to average daily net assets(c) | 0.39 | %* | |||
Net investment income (loss) to average daily net assets(a) | 2.42 | %* | |||
Portfolio turnover rate(d) | 21 | %** | |||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.30 | %* |
(a) | Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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 Institutional Fund and underlying funds, if any (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, 2020, including transactions in USTF, was 21% of the average value of its portfolio. |
† | 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)
EMERGING DOMESTIC OPPORTUNITIES FUND
Class II Shares | Class III Shares | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28,29, | Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 21.14 | $ | 21.61 | $ | 28.86 | $ | 22.64 | $ | 19.36 | $ | 23.99 | $ | 21.13 | $ | 21.60 | $ | 28.86 | $ | 22.64 | $ | 19.35 | $ | 23.98 | ||||||||||||||||||||||||
|
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|
|
| |||||||||||||||||||||||||
Income (loss) from investment operations: |
| |||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.11 | 0.40 | 0.24 | 0.25 | 0.25 | 0.34 | 0.03 | 0.43 | 0.26 | 0.27 | 0.27 | 0.36 | ||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 2.69 | 0.18 | (4.58 | ) | 6.33 | 3.68 | (4.60 | ) | 2.78 | 0.17 | (4.59 | ) | 6.32 | 3.68 | (4.60 | ) | ||||||||||||||||||||||||||||||||
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|
|
|
|
| |||||||||||||||||||||||||
Total from investment operations | 2.80 | 0.58 | (4.34 | ) | 6.58 | 3.93 | (4.26 | ) | 2.81 | 0.60 | (4.33 | ) | 6.59 | 3.95 | (4.24 | ) | ||||||||||||||||||||||||||||||||
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Less distributions to shareholders: |
| |||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | — | (1.05 | ) | (0.17 | ) | (0.36 | ) | (0.65 | ) | (0.37 | ) | — | (1.07 | ) | (0.19 | ) | (0.37 | ) | (0.66 | ) | (0.39 | ) | ||||||||||||||||||||||||||
From net realized gains | — | — | (2.74 | ) | — | — | — | — | — | (2.74 | ) | — | — | — | ||||||||||||||||||||||||||||||||||
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Total distributions | — | (1.05 | ) | (2.91 | ) | (0.36 | ) | (0.65 | ) | (0.37 | ) | — | (1.07 | ) | (2.93 | ) | (0.37 | ) | (0.66 | ) | (0.39 | ) | ||||||||||||||||||||||||||
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Net asset value, end of period | $ | 23.94 | $ | 21.14 | $ | 21.61 | $ | 28.86 | $ | 22.64 | $ | 19.36 | $ | 23.94 | $ | 21.13 | $ | 21.60 | $ | 28.86 | $ | 22.64 | $ | 19.35 | ||||||||||||||||||||||||
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Total Return(b) | 13.25 | %** | 2.39 | % | (15.48 | )% | 29.10 | % | 20.62 | % | (17.91 | )% | 13.30 | %** | 2.49 | % | (15.43 | )% | 29.17 | % | 20.73 | % | (17.86 | )% | ||||||||||||||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 305,450 | $ | 292,418 | $ | 467,336 | $ | 700,211 | $ | 603,565 | $ | 556,539 | $ | 11,725 | $ | 103,063 | $ | 176,770 | $ | 121,511 | $ | 129,068 | $ | 242,740 | ||||||||||||||||||||||||
Net expenses to average daily net assets(c) | 1.04 | %* | 1.03 | % | 1.04 | % | 1.06 | % | 1.06 | % | 1.07 | % | 0.97 | %* | 0.96 | % | 0.97 | % | 0.99 | % | 0.99 | % | 1.00 | % | ||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.08 | %* | 1.81 | % | 1.00 | % | 0.96 | % | 1.12 | % | 1.51 | % | 0.30 | %* | 1.94 | % | 1.11 | % | 1.05 | % | 1.26 | % | 1.61 | % | ||||||||||||||||||||||||
Portfolio turnover rate | 113 | %(d)** | 186 | %(d) | 238 | %(d) | 201 | %(d) | 227 | %(d) | 250 | % | 113 | %(d)** | 186 | %(d) | 238 | %(d) | 201 | %(d) | 227 | %(d) | 250 | % | ||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.02 | %(e)* | 0.02 | %(e) | 0.01 | % | 0.02 | % | 0.04 | % | 0.04 | % | 0.02 | %(e)* | 0.02 | %(e) | 0.01 | % | 0.02 | % | 0.05 | % | 0.04 | % | ||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | — | $ | 0.05 | $ | 0.05 | $ | 0.03 | $ | 0.02 | $ | 0.04 | — | $ | 0.05 | $ | 0.05 | $ | 0.02 | $ | 0.02 | $ | 0.03 |
(a) | Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 125%, 235%, 254%, 254% and 271%, respectively, of the average value of its portfolio. |
(e) | Ratio includes 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. | 69 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
EMERGING DOMESTIC OPPORTUNITIES FUND (continued)
Class V Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 21.12 | $ | 21.60 | $ | 28.85 | $ | 22.62 | $ | 19.35 | $ | 23.98 | ||||||||||||||||||
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Income (loss) from investment operations: |
| |||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.13 | 0.43 | 0.28 | 0.29 | 0.23 | 0.37 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 2.69 | 0.17 | (4.60 | ) | 6.33 | 3.73 | (4.59 | ) | ||||||||||||||||||||||
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Total from investment operations | 2.82 | 0.60 | (4.32 | ) | 6.62 | 3.96 | (4.22 | ) | ||||||||||||||||||||||
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Less distributions to shareholders: |
| |||||||||||||||||||||||||||||
From net investment income | — | (1.08 | ) | (0.19 | ) | (0.39 | ) | (0.69 | ) | (0.41 | ) | |||||||||||||||||||
From net realized gains | — | — | (2.74 | ) | — | — | — | |||||||||||||||||||||||
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Total distributions | — | (1.08 | ) | (2.93 | ) | (0.39 | ) | (0.69 | ) | (0.41 | ) | |||||||||||||||||||
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Net asset value, end of period | $ | 23.94 | $ | 21.12 | $ | 21.60 | $ | 28.85 | $ | 22.62 | $ | 19.35 | ||||||||||||||||||
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| |||||||||||||||||||
Total Return(b) | 13.35 | %** | 2.50 | % | (15.37 | )% | 29.31 | % | 20.78 | % | (17.79 | )% | ||||||||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 634,991 | $ | 565,384 | $ | 755,613 | $ | 1,280,851 | $ | 948,052 | $ | 322,379 | ||||||||||||||||||
Net expenses to average daily net assets(c) | 0.91 | %* | 0.89 | % | 0.90 | % | 0.92 | % | 0.93 | % | 0.94 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.24 | %* | 1.94 | % | 1.19 | % | 1.09 | % | 1.04 | % | 1.65 | % | ||||||||||||||||||
Portfolio turnover rate | 113 | %(d) | 186 | %(d) | 238 | %(d) | 201 | %(d) | 227 | %(d) | 250 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.02 | %(e) | 0.02 | %(e) | 0.01 | % | 0.02 | % | 0.05 | % | 0.04 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | — | $ | 0.04 | $ | 0.05 | $ | 0.03 | $ | 0.03 | $ | 0.04 |
(a) | Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 125%, 235%, 254%, 254% and 271%, respectively, of the average value of its portfolio. |
(e) | Ratio includes indirect fees waived or borne by GMO. |
† | 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)
EMERGING MARKETS FUND
Class II Shares | Class III Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017(a) | 2016(a) | 2020 | 2019 | 2018 | 2017(a) | 2016(a) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 30.75 | $ | 32.23 | $ | 36.42 | $ | 29.98 | $ | 22.80 | $ | 30.48 | $ | 30.84 | $ | 32.32 | $ | 36.51 | $ | 30.05 | $ | 22.83 | $ | 30.57 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: |
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Net investment income (loss)(b)† | 0.70 | 1.13 | 1.01 | 0.75 | 0.57 | 0.72 | 0.68 | 1.21 | 1.01 | 0.72 | 0.57 | 0.66 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.88 | (1.02 | ) | (4.22 | ) | 6.58 | 7.22 | (7.59 | ) | 0.92 | (1.09 | ) | (4.21 | ) | 6.64 | 7.27 | (7.56 | ) | ||||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 1.58 | 0.11 | (3.21 | ) | 7.33 | 7.79 | (6.87 | ) | 1.60 | 0.12 | (3.20 | ) | 7.36 | 7.84 | (6.90 | ) | ||||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.15 | ) | (1.59 | ) | (0.98 | ) | (0.89 | ) | (0.61 | ) | (0.81 | ) | (0.16 | ) | (1.60 | ) | (0.99 | ) | (0.90 | ) | (0.62 | ) | (0.84 | ) | ||||||||||||||||||||||||||||||||||||
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Total distributions | (0.15 | ) | (1.59 | ) | (0.98 | ) | (0.89 | ) | (0.61 | ) | (0.81 | ) | (0.16 | ) | (1.60 | ) | (0.99 | ) | (0.90 | ) | (0.62 | ) | (0.84 | ) | ||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 32.18 | $ | 30.75 | $ | 32.23 | $ | 36.42 | $ | 29.98 | $ | 22.80 | $ | 32.28 | $ | 30.84 | $ | 32.32 | $ | 36.51 | $ | 30.05 | $ | 22.83 | ||||||||||||||||||||||||||||||||||||
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Total Return(c) | 5.14 | %** | (0.11 | )% | (8.57 | )% | 24.66 | % | 34.47 | % | (22.76 | )% | 5.19 | %** | (0.08 | )% | (8.51 | )% | 24.71 | % | 34.67 | % | (22.80 | )% | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 337,018 | $ | 397,798 | $ | 451,720 | $ | 479,640 | $ | 498,564 | $ | 532,366 | $ | 430,445 | $ | 333,779 | $ | 277,824 | $ | 390,827 | $ | 301,786 | $ | 189,907 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets(d) | 0.93 | % * | 0.93 | % | 0.93 | % | 0.96 | % | 1.07 | % | 1.09 | % | 0.88 | %* | 0.88 | % | 0.88 | % | 0.91 | % | 1.01 | % | 1.04 | % | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 4.68 | % * | 3.44 | % | 3.09 | % | 2.25 | % | 2.08 | % | 2.57 | % | 4.55 | %* | 3.68 | % | 3.08 | % | 2.14 | % | 2.07 | % | 2.45 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 47 | %(e)** | 100 | %(e) | 98 | %(e) | 87 | %(e) | 62 | %(e) | 104 | % | 47 | %(e)** | 100 | %(e) | 98 | %(e) | 87 | %(e) | 62 | %(e) | 104 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.10 | %(f)* | 0.13 | %(f) | 0.13 | % | 0.13 | % | 0.04 | % | 0.03 | % | 0.08 | %(f)* | 0.11 | %(f) | 0.11 | % | 0.11 | % | 0.03 | % | 0.01 | % | ||||||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | — | $ | 0.02 | $ | 0.08 | $ | 0.11 | $ | 0.09 | (a) | $ | 0.10 | (a) | — | $ | 0.02 | $ | 0.08 | $ | 0.11 | $ | 0.09 | (a) | $ | 0.10 | (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 other GMO Funds and/or other investment companies 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 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, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 47%, 123%, 128%, 117% and 80%, respectively, of the average value of its portfolio. |
(f) | Ratio includes 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. | 71 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
EMERGING MARKETS FUND (continued)
Class V Shares | ||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Period from February 26, 2020 through February 29, 2020(a) | Period from March 1, 2018 through February 26, 2019(a) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||
2018 | 2017(b) | 2016(b) | 2015(b) | 2014(b) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 30.52 | $ | 31.35 | $ | 36.07 | $ | 29.70 | $ | 22.59 | $ | 30.24 | $ | 30.39 | $ | 34.98 | ||||||||||||||||||||||||
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Income (loss) from investment operations: |
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Net investment income (loss)(c)† | 0.60 | 0.00 | (d) | 1.40 | 0.77 | 0.61 | 0.72 | 0.87 | 0.78 | |||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.99 | (0.83 | ) | (4.14 | ) | 6.53 | 7.15 | (7.50 | ) | 0.00 | (d) | (4.50 | ) | |||||||||||||||||||||||||||
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Total from investment operations | 1.59 | (0.83 | ) | (2.74 | ) | 7.30 | 7.76 | (6.78 | ) | 0.87 | (3.72 | ) | ||||||||||||||||||||||||||||
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Less distributions to shareholders: |
| |||||||||||||||||||||||||||||||||||||||
From net investment income | (0.17 | ) | — | (0.99 | ) | (0.93 | ) | (0.65 | ) | (0.87 | ) | (1.02 | ) | (0.87 | ) | |||||||||||||||||||||||||
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Total distributions | (0.17 | ) | — | (0.99 | ) | (0.93 | ) | (0.65 | ) | (0.87 | ) | (1.02 | ) | (0.87 | ) | |||||||||||||||||||||||||
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Net asset value, end of period | $ | 31.94 | $ | 30.52 | $ | 32.34 | $ | 36.07 | $ | 29.70 | $ | 22.59 | $ | 30.24 | $ | 30.39 | ||||||||||||||||||||||||
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Total Return(e) | 5.22 | %** | (2.65 | )%** | (7.31 | )%** | 24.83 | % | 34.67 | % | (22.67 | )% | 2.93 | % | (10.74 | )% | ||||||||||||||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 135,890 | $ | 204,615 | $ | 27,261 | $ | 170,962 | $ | 110,257 | $ | 269,570 | $ | 170,125 | $ | 406,384 | ||||||||||||||||||||||||
Net expenses to average daily net assets(f) | 0.78 | %* | 0.74 | %* | 0.78 | %* | 0.81 | % | 0.91 | % | 0.94 | % | 0.92 | % | 0.91 | %(g) | ||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(c) | 4.13 | %* | 0.00 | %(h)* | 4.27 | %* | 2.29 | % | 2.24 | % | 2.69 | % | 2.77 | % | 2.39 | % | ||||||||||||||||||||||||
Portfolio turnover rate | 47 | %(i)** | 100 | %(i)** | 98 | %(i)** | 87 | %(i) | 62 | %(i) | 104 | % | 94 | % | 98 | % | ||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.12 | %(j)* | 0.15 | %(j)* | 0.14 | %* | 0.14 | % | 0.06 | % | 0.04 | % | 0.04 | % | 0.04 | % | ||||||||||||||||||||||||
Redemption fees consisted of the following per share amounts:† | — | — | $ | 0.09 | $ | 0.11 | $ | 0.08 | (b) | $ | 0.10 | (b) | $ | 0.10 | (b) | $ | 0.10 | (b) |
(a) | For period from February 27, 2019 to February 25, 2020, Class V had no shareholders. |
(b) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(c) | Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any. |
(d) | Rounds to less than $0.01. |
(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) | Rounds to less than 0.01%. |
(i) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 47%, 123%, 128%, 117% and 80%, respectively, of the average value of its portfolio. |
(j) | Ratio includes indirect fees waived or borne by GMO. |
† | 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)
EMERGING MARKETS FUND (continued)
Class VI Shares | Class R6 Shares | ||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | Period from March 31, 2020 (commencement of operations) through August 31, 2020 (Unaudited) | |||||||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017(a) | 2016(a) | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 30.52 | $ | 32.00 | $ | 36.16 | $ | 29.77 | $ | 22.62 | $ | 30.30 | $ | 26.05 | |||||||||||||||||||||
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Income (loss) from investment operations: | |||||||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.69 | 1.23 | 1.06 | 0.78 | 0.63 | 0.69 | 0.68 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.90 | (1.07 | ) | (4.19 | ) | 6.56 | 7.17 | (7.50 | ) | 5.60 | |||||||||||||||||||||||||
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Total from investment operations | 1.59 | 0.16 | (3.13 | ) | 7.34 | 7.80 | (6.81 | ) | 6.28 | ||||||||||||||||||||||||||
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Less distributions to shareholders: | |||||||||||||||||||||||||||||||||||
From net investment income | (0.17 | ) | (1.64 | ) | (1.03 | ) | (0.95 | ) | (0.65 | ) | (0.87 | ) | (0.17 | ) | |||||||||||||||||||||
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Total distributions | (0.17 | ) | (1.64 | ) | (1.03 | ) | (0.95 | ) | (0.65 | ) | (0.87 | ) | (0.17 | ) | |||||||||||||||||||||
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Net asset value, end of period | $ | 31.94 | $ | 30.52 | $ | 32.00 | $ | 36.16 | $ | 29.77 | $ | 22.62 | $ | 32.16 | |||||||||||||||||||||
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Total Return(d) | 5.23 | %** | 0.05 | % | (8.39 | )% | 24.90 | % | 34.83 | % | (22.71 | )% | 24.10 | %** | |||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 1,968,168 | $ | 2,182,893 | $ | 2,685,798 | $ | 3,575,505 | $ | 3,524,022 | $ | 3,661,271 | $ | 23,276 | |||||||||||||||||||||
Net expenses to average daily net assets(e) | 0.75 | %* | 0.75 | % | 0.75 | % | 0.78 | % | 0.89 | % | 0.91 | % | 0.93 | %* | |||||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 4.67 | %* | 3.76 | % | 3.25 | % | 2.36 | % | 2.32 | % | 2.61 | % | 5.41 | %* | |||||||||||||||||||||
Portfolio turnover rate | 47 | %(f)** | 100 | %(f) | 98 | %(f) | 87 | %(f) | 62 | %(f) | 104 | % | 47 | %(f)** | |||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.11 | %(g)* | 0.15 | %(g) | 0.14 | % | 0.14 | % | 0.06 | % | 0.04 | % | 0.09 | %(g)* | |||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | — | $ | 0.02 | $ | 0.08 | $ | 0.11 | $ | 0.08 | (a) | $ | 0.09 | (a) | — |
Class I Shares | ||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Period from January 14, 2020 (commencement of operations) through February 29, 2020 | |||||||||
Net asset value, beginning of period | $ | 30.75 | $ | 35.29 | ||||||
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Income (loss) from investment operations: | ||||||||||
Net investment income (loss)(b)† | 0.67 | 0.00 | (c) | |||||||
Net realized and unrealized gain (loss) | 0.89 | (4.54 | ) | |||||||
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Total from investment operations | 1.56 | (4.54 | ) | |||||||
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Less distributions to shareholders: | ||||||||||
From net investment income | (0.15 | ) | — | |||||||
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Total distributions | (0.15 | ) | — | |||||||
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Net asset value, end of period | $ | 32.16 | $ | 30.75 | ||||||
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Total Return(d) | 5.08 | %** | (12.86 | )%** | ||||||
Ratios/Supplemental Data: | ||||||||||
Net assets, end of period (000’s) | $ | 17,351 | $ | 16,158 | ||||||
Net expenses to average daily net assets(e) | 0.98 | %* | 0.94 | %* | ||||||
Net investment income (loss) to average daily net assets(b) | 4.47 | %* | (0.05 | )%* | ||||||
Portfolio turnover rate(f) | 47 | %** | 100 | %** | ||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets(g) | 0.15 | %* | 0.19 | %* |
(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 other GMO Funds and/or other investment companies in which the Fund invests, if any. |
(c) | Rounds to less than $0.01. |
(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 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, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 47%, 123%, 128%, 117% and 80%, respectively, of the average value of its portfolio. |
(g) | Ratio includes 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. | 73 |
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, 2020 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.83 | $ | 20.08 | $ | 23.63 | $ | 20.18 | $ | 18.17 | $ | 23.43 | $ | 20.09 | $ | 20.33 | $ | 23.92 | $ | 20.41 | $ | 18.38 | $ | 23.70 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: |
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Net investment income (loss)(a)† | 0.36 | 0.72 | 0.57 | 0.41 | 0.70 | 0.57 | 0.33 | 0.70 | 0.57 | 0.61 | 0.63 | 0.59 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.47 | (0.22 | ) | (3.45 | ) | 3.78 | 2.07 | (5.19 | ) | 0.51 | (0.17 | ) | (3.47 | ) | 3.64 | 2.19 | (5.25 | ) | ||||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 0.83 | 0.50 | (2.88 | ) | 4.19 | 2.77 | (4.62 | ) | 0.84 | 0.53 | (2.90 | ) | 4.25 | 2.82 | (4.66 | ) | ||||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: |
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From net investment income | (0.02 | ) | (0.75 | ) | (0.67 | ) | (0.74 | ) | (0.76 | ) | (0.64 | ) | (0.05 | ) | (0.77 | ) | (0.69 | ) | (0.74 | ) | (0.79 | ) | (0.66 | ) | ||||||||||||||||||||||||||||||||||||
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Total distributions | (0.02 | ) | (0.75 | ) | (0.67 | ) | (0.74 | ) | (0.76 | ) | (0.64 | ) | (0.05 | ) | (0.77 | ) | (0.69 | ) | �� | (0.74 | ) | (0.79 | ) | (0.66 | ) | |||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 20.64 | $ | 19.83 | $ | 20.08 | $ | 23.63 | $ | 20.18 | $ | 18.17 | $ | 20.88 | $ | 20.09 | $ | 20.33 | $ | 23.92 | $ | 20.41 | $ | 18.38 | ||||||||||||||||||||||||||||||||||||
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Total Return(b) | 4.21 | %** | 2.19 | % | (12.07 | )% | 20.85 | % | 15.45 | % | (19.99 | )% | 4.20 | %** | 2.29 | % | (12.02 | )% | 20.96 | % | 15.53 | % | (19.95 | )% | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: |
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Net assets, end of period (000’s) | $ | 4,875 | $ | 10,802 | $ | 18,202 | $ | 23,736 | $ | 10,302 | $ | 81,206 | $ | 446,393 | $ | 452,165 | $ | 507,195 | $ | 485,782 | $ | 731,060 | $ | 1,043,305 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets(c) | 0.73 | %* | 0.73 | % | 0.73 | % | 0.72 | % | 0.72 | % | 0.72 | % | 0.66 | % * | 0.66 | % | 0.66 | % | 0.65 | % | 0.65 | % | 0.65 | % | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 3.89 | %* | 3.52 | % | 2.64 | % | 1.77 | % | 3.62 | % | 2.65 | % | 3.52 | % * | 3.36 | % | 2.64 | % | 2.68 | % | 3.16 | % | 2.70 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 20 | %** | 46 | %(d) | 41 | %(d) | 45 | %(d) | 27 | %(d) | 75 | % | 20 | % ** | 46 | %(d) | 41 | %(d) | 45 | %(d) | 27 | %(d) | 75 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04 | %* | 0.03 | %(e) | 0.02 | % | 0.04 | % | 0.04 | % | 0.04 | % | 0.04 | %* | 0.03 | %(e) | 0.02 | % | 0.04 | % | 0.04 | % | 0.04 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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 years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 65%, 54%, 61% and 50%, respectively, of the average value of its portfolio. |
(e) | Ratio includes indirect fees waived or borne by GMO. |
† | 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)
INTERNATIONAL EQUITY FUND (continued)
Class IV Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.05 | $ | 20.29 | $ | 23.87 | $ | 20.38 | $ | 18.36 | $ | 23.66 | ||||||||||||||||||
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Income (loss) from investment operations: |
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Net investment income (loss)(a)† | 0.34 | 0.74 | 0.63 | 0.56 | 0.63 | 0.62 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.52 | (0.20 | ) | (3.51 | ) | 3.69 | 2.19 | (5.25 | ) | |||||||||||||||||||||
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Total from investment operations | 0.86 | 0.54 | (2.88 | ) | 4.25 | 2.82 | (4.63 | ) | ||||||||||||||||||||||
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Less distributions to shareholders: |
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From net investment income | (0.06 | ) | (0.78 | ) | (0.70 | ) | (0.76 | ) | (0.80 | ) | (0.67 | ) | ||||||||||||||||||
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Total distributions | (0.06 | ) | (0.78 | ) | (0.70 | ) | (0.76 | ) | (0.80 | ) | (0.67 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 20.85 | $ | 20.05 | $ | 20.29 | $ | 23.87 | $ | 20.38 | $ | 18.36 | ||||||||||||||||||
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Total Return(b) | 4.29 | %** | 2.34 | % | (11.95 | )% | 20.98 | % | 15.57 | % | (19.85 | )% | ||||||||||||||||||
Ratios/Supplemental Data: |
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Net assets, end of period (000’s) | $ | 2,195,770 | $ | 2,584,648 | $ | 3,156,760 | $ | 4,558,167 | $ | 5,072,024 | $ | 7,051,400 | ||||||||||||||||||
Net expenses to average daily net assets(c) | 0.60 | %* | 0.60 | % | 0.60 | % | 0.59 | % | 0.59 | % | 0.59 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 3.60 | %* | 3.53 | % | 2.89 | % | 2.45 | % | 3.19 | % | 2.80 | % | ||||||||||||||||||
Portfolio turnover rate | 20 | %** | 46 | %(d) | 41 | %(d) | 45 | %(d) | 27 | %(d) | 75 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04 | %* | 0.03 | %(e) | 0.02 | % | 0.04 | % | 0.04 | % | 0.04 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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 years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 65%, 54%, 61% and 50%, respectively, of the average value of its portfolio. |
(e) | Ratio includes 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. | 75 |
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, 2020 (Unaudited) | Year Ended February 28/29 | Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.77 | $ | 22.28 | $ | 25.13 | $ | 22.05 | $ | 18.99 | $ | 22.98 | $ | 22.82 | $ | 22.32 | $ | 25.17 | $ | 22.08 | $ | 19.01 | $ | 23.01 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.19 | 0.35 | 0.35 | 0.36 | 0.35 | 0.38 | 0.20 | 0.37 | 0.36 | 0.37 | 0.36 | 0.39 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 3.62 | 2.15 | 1.21 | 4.70 | 3.44 | (1.04 | ) | 3.63 | 2.14 | 1.22 | 4.70 | 3.45 | (1.05 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 3.81 | 2.50 | 1.56 | 5.06 | 3.79 | (0.66 | ) | 3.83 | 2.51 | 1.58 | 5.07 | 3.81 | (0.66 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.06 | ) | (0.36 | ) | (0.39 | ) | (0.41 | ) | (0.35 | ) | (0.42 | ) | (0.07 | ) | (0.36 | ) | (0.41 | ) | (0.41 | ) | (0.36 | ) | (0.43 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | (0.81 | ) | (1.65 | ) | (4.02 | ) | (1.57 | ) | (0.38 | ) | (2.91 | ) | (0.81 | ) | (1.65 | ) | (4.02 | ) | (1.57 | ) | (0.38 | ) | (2.91 | ) | ||||||||||||||||||||||||||||||||||||
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Total distributions | (0.87 | ) | (2.01 | ) | (4.41 | ) | (1.98 | ) | (0.73 | ) | (3.33 | ) | (0.88 | ) | (2.01 | ) | (4.43 | ) | (1.98 | ) | (0.74 | ) | (3.34 | ) | ||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 25.71 | $ | 22.77 | $ | 22.28 | $ | 25.13 | $ | 22.05 | $ | 18.99 | $ | 25.77 | $ | 22.82 | $ | 22.32 | $ | 25.17 | $ | 22.08 | $ | 19.01 | ||||||||||||||||||||||||||||||||||||
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Total Return(b) | 17.11 | %** | 10.64 | % | 6.86 | % | 23.32 | % | 20.25 | % | (2.89 | )% | 17.13 | %** | 10.70 | % | 6.91 | % | 23.37 | % | 20.33 | % | (2.88 | )% | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 3,562,792 | $ | 3,195,240 | $ | 3,065,461 | $ | 3,524,103 | $ | 3,587,627 | $ | 3,968,156 | $ | 918,431 | $ | 852,866 | $ | 1,139,024 | $ | 957,900 | $ | 1,222,874 | $ | 1,294,033 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets(c) | 0.48 | %* | 0.48 | % | 0.48 | % | 0.48 | % | 0.48 | % | 0.48 | % | 0.44 | %* | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.61 | %* | 1.44 | % | 1.42 | % | 1.48 | % | 1.72 | % | 1.79 | % | 1.67 | %* | 1.52 | % | 1.46 | % | 1.53 | % | 1.76 | % | 1.83 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 20 | %(d)** | 17 | %(d) | 18 | %(d) | 10 | %(d) | 29 | %(d) | 37 | % | 20 | %(d)** | 17 | %(d) | 18 | %(d) | 10 | %(d) | 29 | %(d) | 37 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.02 | %(e)* | 0.02 | %(e) | 0.02 | % | 0.02 | % | 0.02 | % | 0.02 | % | 0.02 | %(e)* | 0.02 | %(e) | 0.02 | % | 0.02 | % | 0.02 | % | 0.02 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 20%, 17%, 20%, 23% and 48%, respectively, of the average value of its portfolio. |
(e) | Ratio includes indirect fees waived or borne by GMO. |
† | 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)
QUALITY FUND (continued)
Class VI Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.77 | $ | 22.28 | $ | 25.13 | $ | 22.05 | $ | 18.99 | $ | 22.99 | ||||||||||||||||||
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| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.20 | 0.37 | 0.38 | 0.38 | 0.36 | 0.40 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 3.63 | 2.15 | 1.21 | 4.70 | 3.46 | (1.04 | ) | |||||||||||||||||||||||
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| |||||||||||||||||||
Total from investment operations | 3.83 | 2.52 | 1.59 | 5.08 | 3.82 | (0.64 | ) | |||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.07 | ) | (0.38 | ) | (0.42 | ) | (0.43 | ) | (0.38 | ) | (0.45 | ) | ||||||||||||||||||
From net realized gains | (0.81 | ) | (1.65 | ) | (4.02 | ) | (1.57 | ) | (0.38 | ) | (2.91 | ) | ||||||||||||||||||
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Total distributions | (0.88 | ) | (2.03 | ) | (4.44 | ) | (2.00 | ) | (0.76 | ) | (3.36 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 25.72 | $ | 22.77 | $ | 22.28 | $ | 25.13 | $ | 22.05 | $ | 18.99 | ||||||||||||||||||
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Total Return(b) | 17.20 | %** | 10.73 | % | 6.96 | % | 23.43 | % | 20.39 | % | (2.83 | )% | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 2,411,938 | $ | 2,077,277 | $ | 2,227,287 | $ | 3,561,976 | $ | 3,359,025 | $ | 1,732,420 | ||||||||||||||||||
Net expenses to average daily net assets(c) | 0.39 | %* | 0.39 | % | 0.39 | % | 0.39 | % | 0.39 | % | 0.39 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.71 | %* | 1.55 | % | 1.54 | % | 1.57 | % | 1.73 | % | 1.88 | % | ||||||||||||||||||
Portfolio turnover rate | 20 | %(d)** | 17 | %(d) | 18 | %(d) | 10 | %(d) | 29 | %(d) | 37 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.02 | %(e)* | 0.02 | %(e) | 0.02 | % | 0.02 | % | 0.02 | % | 0.02 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 20%, 17%, 20%, 23% and 48%, respectively, of the average value of its portfolio. |
(e) | Ratio includes 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. | 77 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
QUALITY FUND (continued)
Class R6 Shares | Class I Shares | |||||||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Period from November 12, 2019 (commencement of operations) through February 29, 2020 | Six Months Ended August 31, 2020 (Unaudited) | Period from September 26, 2019 (commencement of operations) through February 29, 2020 | |||||||||||||||||
Net asset value, beginning of period | $ | 22.76 | $ | 25.21 | $ | 22.75 | $ | 23.95 | ||||||||||||
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| |||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)(a)† | 0.19 | 0.10 | 0.17 | 0.12 | ||||||||||||||||
Net realized and unrealized gain (loss) | 3.63 | (0.83 | ) | 3.63 | 0.39 | |||||||||||||||
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Total from investment operations | 3.82 | (0.73 | ) | 3.80 | 0.51 | |||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||
From net investment income | (0.07 | ) | (0.32 | ) | (0.06 | ) | (0.31 | ) | ||||||||||||
From net realized gains | (0.81 | ) | (1.40 | ) | (0.81 | ) | (1.40 | ) | ||||||||||||
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Total distributions | (0.88 | ) | (1.72 | ) | (0.87 | ) | (1.71 | ) | ||||||||||||
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Net asset value, end of period | $ | 25.70 | $ | 22.76 | $ | 25.68 | $ | 22.75 | ||||||||||||
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Total Return(b) | 17.12 | %** | (3.39 | )%** | 17.08 | %** | 1.62 | %** | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (000’s) | $ | 102,518 | $ | 77,375 | $ | 148,851 | $ | 80,110 | ||||||||||||
Net expenses to average daily net assets(c) | 0.48 | %* | 0.49 | %* | 0.58 | %* | 0.57 | %* | ||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.60 | %* | 1.31 | %* | 1.45 | %* | 1.13 | %* | ||||||||||||
Portfolio turnover rate(d) | 20 | %** | 17 | %** | 20 | %** | 17 | %** | ||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.02 | %(e)* | 0.02 | %(e)* | 0.02 | %(e)* | 0.02 | %(e)* |
(a) | Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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, 2020 and February 29, 2020, including transactions in USTF, was 20% and 17%, respectively, of the average value of its portfolio. |
(e) | Ratio includes indirect fees waived or borne by GMO. |
† | 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)
RESOURCES FUND
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 18.11 | $ | 20.31 | $ | 20.88 | $ | 17.31 | $ | 11.74 | $ | 16.33 | $ | 18.06 | $ | 20.24 | $ | 20.81 | $ | 17.25 | $ | 11.71 | $ | 16.28 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.26 | 0.65 | 0.54 | 0.33 | 0.30 | 0.47 | 0.27 | 0.68 | 0.62 | 0.38 | 0.34 | 0.46 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.40 | (2.22 | ) | (0.37 | ) | 4.02 | 5.75 | (4.67 | ) | 1.40 | (2.22 | ) | (0.46 | ) | 3.97 | 5.68 | (4.63 | ) | ||||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 1.66 | (1.57 | ) | 0.17 | 4.35 | 6.05 | (4.20 | ) | 1.67 | (1.54 | ) | 0.16 | 4.35 | 6.02 | (4.17 | ) | ||||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.00 | )(b) | (0.63 | ) | (0.74 | ) | (0.78 | ) | (0.48 | ) | (0.39 | ) | (0.01 | ) | (0.64 | ) | (0.73 | ) | (0.79 | ) | (0.48 | ) | (0.40 | ) | ||||||||||||||||||||||||||||||||||||
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Total distributions | (0.00 | ) | (0.63 | ) | (0.74 | ) | (0.78 | ) | (0.48 | ) | (0.39 | ) | (0.01 | ) | (0.64 | ) | (0.73 | ) | (0.79 | ) | (0.48 | ) | (0.40 | ) | ||||||||||||||||||||||||||||||||||||
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| �� |
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Net asset value, end of period | $ | 19.77 | $ | 18.11 | $ | 20.31 | $ | 20.88 | $ | 17.31 | $ | 11.74 | $ | 19.72 | $ | 18.06 | $ | 20.24 | $ | 20.81 | $ | 17.25 | $ | 11.71 | ||||||||||||||||||||||||||||||||||||
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Total Return(c) | 9.19 | %** | (8.14 | )% | 0.99 | % | 26.00 | % | 51.75 | % | (25.76 | )% | 9.23 | %** | (8.03 | )% | 0.98 | % | 26.12 | % | 51.72 | % | (25.68 | )% | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 279,414 | $ | 201,320 | $ | 169,523 | $ | 54,037 | $ | 22,562 | $ | 13,864 | $ | 311,641 | $ | 311,515 | $ | 336,954 | $ | 296,196 | $ | 190,260 | $ | 170,919 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets(d) | 0.73 | %* | 0.73 | % | 0.74 | %(e) | 0.76 | %(e) | 0.77 | % | 0.77 | % | 0.68 | %* | 0.68 | % | 0.70 | %(e) | 0.71 | %(e) | 0.72 | % | 0.72 | % | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 3.10 | %* | 3.24 | % | 2.68 | % | 1.77 | % | 1.99 | % | 3.36 | % | 3.21 | %* | 3.40 | % | 3.06 | % | 2.04 | % | 2.26 | % | 3.31 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 49 | %(f)** | 37 | %(f) | 35 | %(f) | 48 | %(f) | 29 | %(f) | 130 | % | 49 | %(f)** | 37 | %(f) | 35 | %(f) | 48 | %(f) | 29 | %(f) | 130 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(a) | 0.00 | %(g)(h)* | 0.00 | %(g)(h) | — | 0.06 | % | 0.10 | % | 0.10 | % | 0.00 | %(g)(h)* | 0.00 | %(g)(h) | — | 0.06 | % | 0.10 | % | 0.11 | % | ||||||||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | — | $ | 0.01 | $ | 0.02 | $ | 0.05 | $ | 0.02 | $ | 0.03 | — | $ | 0.01 | $ | 0.02 | $ | 0.04 | $ | 0.02 | $ | 0.02 |
(a) | Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any. |
(b) | Rounds to 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) | Includes recoupment of past reimbursed and/or waived fees (Note 5). |
(f) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 52%, 101%, 69%, 85% and 40%, respectively, of the average value of its portfolio. |
(g) | Ratio includes indirect fees waived or borne by GMO. |
(h) | Rounds to less than 0.01%. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 79 |
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, 2020 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017(a) | 2016(a) | 2020 | 2019 | 2018 | 2017(a) | 2016(a) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.89 | $ | 26.79 | $ | 26.74 | $ | 29.93 | $ | 26.91 | $ | 29.73 | $ | 25.67 | $ | 26.94 | $ | 26.88 | $ | 30.07 | $ | 27.00 | $ | 29.82 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.03 | 0.55 | 0.46 | 0.10 | (0.05 | ) | (0.12 | ) | 0.02 | 0.55 | 0.49 | 0.14 | (0.02 | ) | (0.12 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.35 | (0.60 | ) | (0.05 | ) | 1.78 | 5.22 | (0.30 | ) | 0.38 | (0.54 | ) | (0.04 | ) | 1.78 | 5.24 | (0.30 | ) | ||||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 0.38 | (0.05 | ) | 0.41 | 1.88 | 5.17 | (0.42 | ) | 0.40 | 0.01 | 0.45 | 1.92 | 5.22 | (0.42 | ) | |||||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.08 | ) | (0.12 | ) | (0.36 | ) | (0.06 | ) | — | — | (0.08 | ) | (0.55 | ) | (0.39 | ) | (0.10 | ) | — | — | ||||||||||||||||||||||||||||||||||||||||
From net realized gains | (0.46 | ) | (0.73 | ) | — | (5.01 | ) | (2.15 | ) | (2.40 | ) | (0.46 | ) | (0.73 | ) | — | (5.01 | ) | (2.15 | ) | (2.40 | ) | ||||||||||||||||||||||||||||||||||||||
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Total distributions | (0.54 | ) | (0.85 | ) | (0.36 | ) | (5.07 | ) | (2.15 | ) | (2.40 | ) | (0.54 | ) | (1.28 | ) | (0.39 | ) | (5.11 | ) | (2.15 | ) | (2.40 | ) | ||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 25.73 | $ | 25.89 | $ | 26.79 | $ | 26.74 | $ | 29.93 | $ | 26.91 | $ | 25.53 | $ | 25.67 | $ | 26.94 | $ | 26.88 | $ | 30.07 | $ | 27.00 | ||||||||||||||||||||||||||||||||||||
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Total Return(c) | 2.03 | %** | (0.37 | )% | 1.57 | % | 6.09 | % | 19.50 | % | (1.66 | )% | 2.11 | %** | (0.22 | )% | 1.69 | % | 6.17 | % | 19.62 | % | (1.65 | )% | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 201 | $ | 2,477 | $ | 10,922 | $ | 3,434 | $ | 5,049 | $ | 6,807 | $ | 16,529 | $ | 33,992 | $ | 449,614 | $ | 142,238 | $ | 155,375 | $ | 223,854 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets | 0.40 | %* | 0.40 | % | 0.50 | % | 0.60 | % | 0.61 | % | 0.60 | % | 0.31 | %* | 0.31 | % | 0.40 | % | 0.51 | % | 0.51 | % | 0.51 | % | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 0.25 | %* | 2.03 | % | 1.70 | % | 0.34 | % | (0.16 | )% | (0.45 | )% | 0.15 | %* | 2.00 | % | 1.80 | % | 0.47 | % | (0.07 | )% | (0.37 | )% | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 176 | %** | 42 | % | 16 | % | 0 | % | 0 | % | 0 | % | 176 | %** | 42 | % | 16 | % | 0 | % | 0 | % | 0 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.41 | %* | 0.04 | % | 0.04 | % | 0.08 | % | 0.06 | % | 0.05 | % | 0.48 | %* | 0.05 | % | 0.04 | % | 0.08 | % | 0.06 | % | 0.05 | % | ||||||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | — | — | $ | 0.00 | (d) | $ | 0.01 | $ | 0.02 | (a) | $ | 0.08 | (a) | — | — | $ | 0.00 | (d) | $ | 0.01 | $ | 0.02 | (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 other GMO Funds and/or other investment companies 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) | Rounds to less than $0.01. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
80 | 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, 2020 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.57 | $ | 13.82 | $ | 17.00 | $ | 14.28 | $ | 12.92 | $ | 16.80 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)†(a) | 0.25 | 0.46 | 0.37 | 0.38 | 0.41 | 0.40 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.29 | (0.10 | ) | (2.63 | ) | 2.84 | 1.50 | (3.82 | ) | |||||||||||||||||||||
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Total from investment operations | 0.54 | 0.36 | (2.26 | ) | 3.22 | 1.91 | (3.42 | ) | ||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.02 | ) | (0.61 | ) | (0.39 | ) | (0.50 | ) | (0.55 | ) | (0.46 | ) | ||||||||||||||||||
From net realized gains | — | — | (0.53 | ) | — | — | — | |||||||||||||||||||||||
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Total distributions | (0.02 | ) | (0.61 | ) | (0.92 | ) | (0.50 | ) | (0.55 | ) | (0.46 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 14.09 | $ | 13.57 | $ | 13.82 | $ | 17.00 | $ | 14.28 | $ | 12.92 | ||||||||||||||||||
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Total Return(b) | 4.02 | %** | 2.31 | % | (13.50 | )% | 22.70 | % | 15.05 | % | (20.63 | )% | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 38,976 | $ | 36,228 | $ | 48,739 | $ | 68,782 | $ | 115,733 | $ | 215,977 | ||||||||||||||||||
Net expenses to average daily net assets(c) | 0.79 | %* | 0.80 | % | 0.79 | % | 0.70 | % | 0.68 | % | 0.66 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 3.94 | %* | 3.28 | % | 2.47 | % | 2.35 | % | 2.95 | % | 2.59 | % | ||||||||||||||||||
Portfolio turnover rate | 43 | %(d)** | 52 | %(d) | 63 | %(d) | 43 | %(d) | 47 | %(d) | 79 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.53 | %(e)* | 0.54 | %(e) | 0.54 | % | 0.34 | % | 0.23 | % | 0.14 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 43%, 65%, 117%, 80% and 54%, respectively, of the average value of its portfolio. |
(e) | Ratio includes 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. | 81 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
U.S. EQUITY FUND
Class III Shares | Class VI Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.89 | $ | 13.07 | $ | 15.41 | $ | 15.14 | $ | 13.79 | $ | 16.61 | $ | 11.78 | $ | 12.97 | $ | 15.31 | $ | 15.06 | $ | 13.73 | $ | 16.54 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.09 | 0.22 | 0.23 | 0.27 | 0.27 | 0.24 | 0.09 | 0.23 | 0.24 | 0.29 | 0.27 | 0.26 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.55 | 0.21 | (0.04 | )(b) | 1.73 | 2.89 | (1.20 | ) | 1.54 | 0.20 | (0.04 | )(b) | 1.71 | 2.89 | (1.19 | ) | ||||||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 1.64 | 0.43 | 0.19 | 2.00 | 3.16 | (0.96 | ) | 1.63 | 0.43 | 0.20 | 2.00 | 3.16 | (0.93 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.06 | ) | (0.32 | ) | (0.26 | ) | (0.28 | ) | (0.34 | ) | (0.26 | ) | (0.06 | ) | (0.33 | ) | (0.27 | ) | (0.30 | ) | (0.36 | ) | (0.28 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | (0.81 | ) | (1.29 | ) | (2.27 | ) | (1.45 | ) | (1.47 | ) | (1.60 | ) | (0.81 | ) | (1.29 | ) | (2.27 | ) | (1.45 | ) | (1.47 | ) | (1.60 | ) | ||||||||||||||||||||||||||||||||||||
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Total distributions | (0.87 | ) | (1.61 | ) | (2.53 | ) | (1.73 | ) | (1.81 | ) | (1.86 | ) | (0.87 | ) | (1.62 | ) | (2.54 | ) | (1.75 | ) | (1.83 | ) | (1.88 | ) | ||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 12.66 | $ | 11.89 | $ | 13.07 | $ | 15.41 | $ | 15.14 | $ | 13.79 | $ | 12.54 | $ | 11.78 | $ | 12.97 | $ | 15.31 | $ | 15.06 | $ | 13.73 | ||||||||||||||||||||||||||||||||||||
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Total Return(c) | 14.39 | %** | 2.51 | % | 1.94 | % | 13.76 | % | 23.59 | % | (6.17 | )% | 14.47 | %** | 2.53 | % | 2.05 | % | 13.84 | % | 23.68 | % | (6.02 | )% | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 93,390 | $ | 83,738 | $ | 131,198 | $ | 77,297 | $ | 109,726 | $ | 194,615 | $ | 288,733 | $ | 365,693 | $ | 758,714 | $ | 1,200,008 | $ | 1,469,935 | $ | 3,838,628 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets(d) | 0.47 | %* | 0.46 | % | 0.46 | % | 0.46 | % | 0.46 | % | 0.46 | % | 0.37 | %* | 0.37 | % | 0.37 | % | 0.37 | % | 0.37 | % | 0.37 | % | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.50 | %* | 1.64 | % | 1.62 | % | 1.78 | % | 1.80 | % | 1.57 | % | 1.59 | %* | 1.75 | % | 1.68 | % | 1.88 | % | 1.87 | % | 1.68 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 31 | %(e)** | 72 | %(e) | 89 | %(e) | 79 | %(e) | 66 | %(e) | 89 | % | 31 | %(e)** | 72 | %(e) | 89 | %(e) | 79 | %(e) | 66 | %(e) | 89 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.05 | %(f)* | 0.03 | %(f) | 0.03 | % | 0.02 | % | 0.02 | % | 0.02 | % | 0.05 | %(f)* | 0.03 | %(f) | 0.03 | % | 0.02 | % | 0.02 | % | 0.02 | % |
(a) | Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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 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, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 38%, 88%, 105%, 100% and 91%, respectively, of the average value of its portfolio. |
(f) | Ratio includes indirect fees waived or borne by GMO. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
82 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
U.S. SMALL CAP VALUE FUND
Class VI Shares | ||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Period from July 2, 2019 (commencement of operations) through February 29, 2020 | |||||||||
Net asset value, beginning of period | $ | 18.06 | $ | 20.00 | ||||||
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Income (loss) from investment operations: | ||||||||||
Net investment income (loss)(a)† | 0.14 | 0.23 | ||||||||
Net realized and unrealized gain (loss) | (0.25 | ) | (1.99 | ) | ||||||
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Total from investment operations | (0.11 | ) | (1.76 | ) | ||||||
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Less distributions to shareholders: | ||||||||||
From net investment income | (0.03 | ) | (0.18 | ) | ||||||
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Total distributions | (0.03 | ) | (0.18 | ) | ||||||
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Net asset value, end of period | $ | 17.92 | $ | 18.06 | ||||||
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Total Return(b) | (0.56 | )%** | (8.95 | )%** | ||||||
Ratios/Supplemental Data: | ||||||||||
$ Net assets, end of period (000’s) | $ | 437,126 | $ | 415,508 | ||||||
Net expenses to average daily net assets(c) | 0.41 | %* | 0.44 | %* | ||||||
Net investment income (loss) to average daily net assets(a) | 1.73 | %* | 1.69 | %* | ||||||
Portfolio turnover rate(d) | 46 | %** | 56 | %** | ||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.00 | %(e)(f)* | 0.00 | %(e)(f)* |
(a) | Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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 periods ended August 31, 2020 and February 29, 2020, including transactions in USTF, was 52% and 69%, respectively, of the average value of its portfolio. |
(e) | Ratio includes indirect fees waived or borne by GMO. |
(f) | Rounds to less than 0.01%. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 83 |
GMO Trust Funds
August 31, 2020 (Unaudited)
1. | Organization |
Each of Climate Change Fund, Cyclical Focus Fund (commenced operations on May 12, 2020), Emerging Domestic Opportunities Fund, Emerging Markets Fund, International Equity Fund, Quality Fund, Resources Fund, Risk Premium Fund, Tax-Managed International Equities Fund, U.S. Equity Fund and U.S. Small Cap Value 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 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 | ||
Climate Change Fund | Not Applicable | High total return | ||
Cyclical Focus Fund | Not Applicable | Total return | ||
Emerging Domestic Opportunities Fund | Not Applicable | Total return | ||
Emerging Markets Fund | MSCI Emerging Markets Index | Total return in excess of benchmark | ||
International Equity Fund | Not Applicable | High total return | ||
Quality Fund | Not Applicable | Total return | ||
Resources Fund | Not Applicable | Total return | ||
Risk Premium Fund | Not Applicable | Total return | ||
Tax-Managed International Equities Fund | Not Applicable | High after-tax total return | ||
U.S. Equity Fund | Not Applicable | High total return | ||
U.S. Small Cap Value Fund | S&P SmallCap 600 Value Index | Total return in excess of its benchmark |
Tax-Managed International Equities 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 that range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates
84
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value.
The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below).
Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.
“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.
In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.
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 fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2020, 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.
U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.
The three levels are defined as follows:
Level 1 – Valuations based on quoted prices for identical securities in active markets.
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).
Level 2 – Valuations determined using other significant direct or indirect observable inputs.
The types of assets and liabilities categorized in Level 2 generally include cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price; and certain foreign equity
85
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
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; certain equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index and/or a security type conversion discount; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.
The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2020:
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Climate Change Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Argentina | $ | 1,318,712 | $ | — | $ | — | $ | 1,318,712 | ||||||||
Australia | — | 1,758,645 | — | 1,758,645 | ||||||||||||
Brazil | — | 2,063,493 | — | 2,063,493 | ||||||||||||
Canada | 10,986,385 | — | — | 10,986,385 | ||||||||||||
China | 601,065 | 6,360,562 | — | 6,961,627 | ||||||||||||
Denmark | — | 1,760,594 | — | 1,760,594 | ||||||||||||
Finland | — | 2,151,461 | — | 2,151,461 | ||||||||||||
France | — | 12,834,711 | — | 12,834,711 | ||||||||||||
Germany | — | 3,894,102 | — | 3,894,102 | ||||||||||||
India | — | 742,451 | — | 742,451 | ||||||||||||
Israel | — | 1,199,188 | — | 1,199,188 | ||||||||||||
Italy | — | 6,382,214 | — | 6,382,214 | ||||||||||||
Japan | — | 12,735,623 | — | 12,735,623 | ||||||||||||
Mexico | 3,354,617 | — | — | 3,354,617 | ||||||||||||
Netherlands | — | 1,118,369 | — | 1,118,369 | ||||||||||||
Norway | — | 2,370,974 | — | 2,370,974 | ||||||||||||
Pakistan | — | 501,223 | — | 501,223 | ||||||||||||
Portugal | — | 2,354,338 | — | 2,354,338 | ||||||||||||
Russia | — | 6,570,179 | — | 6,570,179 | ||||||||||||
Spain | — | 3,818,968 | — | 3,818,968 | ||||||||||||
Sweden | — | 462,221 | — | 462,221 | ||||||||||||
Switzerland | — | 2,008,732 | — | 2,008,732 | ||||||||||||
Taiwan | — | 373,020 | — | 373,020 | ||||||||||||
Thailand | — | 301,954 | — | 301,954 | ||||||||||||
Ukraine | — | 1,025,949 | — | 1,025,949 | ||||||||||||
United Kingdom | 588,588 | 4,040,072 | — | 4,628,660 | ||||||||||||
United States | 38,323,201 | — | — | 38,323,201 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 55,172,568 | 76,829,043 | — | 132,001,611 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Chile | 4,302,592 | — | — | 4,302,592 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 4,302,592 | — | — | 4,302,592 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 5,778,990 | — | — | 5,778,990 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 5,778,990 | — | — | 5,778,990 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 670,861 | — | — | 670,861 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 65,925,011 | 76,829,043 | — | 142,754,054 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 65,925,011 | $ | 76,829,043 | $ | — | $ | 142,754,054 | ||||||||
|
|
|
|
|
|
|
| |||||||||
86
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Cyclical Focus Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Canada | $ | 4,785,160 | $ | — | $ | — | $ | 4,785,160 | ||||||||
Finland | — | 3,970,235 | — | 3,970,235 | ||||||||||||
France | — | 10,034,953 | — | 10,034,953 | ||||||||||||
Germany | — | 4,662,825 | — | 4,662,825 | ||||||||||||
Ireland | — | 2,868,746 | — | 2,868,746 | ||||||||||||
Japan | — | 3,245,500 | — | 3,245,500 | ||||||||||||
Mexico | 3,691,034 | — | — | 3,691,034 | ||||||||||||
Russia | — | 6,068,995 | — | 6,068,995 | ||||||||||||
Spain | — | 6,239,325 | — | 6,239,325 | ||||||||||||
Switzerland | — | 1,220,413 | — | 1,220,413 | ||||||||||||
United Kingdom | — | 16,100,721 | — | 16,100,721 | ||||||||||||
United States | 69,287,407 | — | — | 69,287,407 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 77,763,601 | 54,411,713 | — | 132,175,314 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | — | 3,328,257 | — | 3,328,257 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 3,328,257 | — | 3,328,257 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 650,000 | — | — | 650,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 650,000 | — | — | 650,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 113,682 | — | — | 113,682 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 78,527,283 | 57,739,970 | — | 136,267,253 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 78,527,283 | $ | 57,739,970 | $ | — | $ | 136,267,253 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Emerging Domestic Opportunities Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Brazil | $ | 4,323,783 | $ | 12,445,887 | $ | — | $ | 16,769,670 | ||||||||
China | 149,057,968 | 217,745,998 | — | 366,803,966 | ||||||||||||
France | — | 1,976,496 | — | 1,976,496 | ||||||||||||
India | — | 57,487,925 | — | 57,487,925 | ||||||||||||
Indonesia | — | 2,263,389 | — | 2,263,389 | ||||||||||||
Japan | — | 2,448,748 | — | 2,448,748 | ||||||||||||
Mexico | 4,796,327 | — | — | 4,796,327 | ||||||||||||
Panama | 1,996,875 | — | — | 1,996,875 | ||||||||||||
Philippines | — | 5,992,743 | — | 5,992,743 | ||||||||||||
Russia | 3,793,588 | 13,168,210 | — | 16,961,798 | ||||||||||||
Singapore | 1,635,067 | — | — | 1,635,067 | ||||||||||||
South Korea | — | 70,366,302 | — | 70,366,302 | ||||||||||||
Switzerland | — | 20,944,191 | — | 20,944,191 | ||||||||||||
Taiwan | 5,698,075 | 121,535,200 | — | 127,233,275 | ||||||||||||
Thailand | — | 10,821,721 | — | 10,821,721 | ||||||||||||
United States | 45,378,790 | — | — | 45,378,790 | ||||||||||||
Vietnam | — | 6,677,807 | — | 6,677,807 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 216,680,473 | 543,874,617 | — | 760,555,090 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | — | 7,299,613 | — | 7,299,613 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 7,299,613 | — | 7,299,613 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
87
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Emerging Domestic Opportunities Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Investment Funds | ||||||||||||||||
China | $ | 5,692,280 | $ | 5,504,811 | $ | — | $ | 11,197,091 | ||||||||
Russia | 37,660,140 | — | — | 37,660,140 | ||||||||||||
Thailand | — | 20,710,593 | — | 20,710,593 | ||||||||||||
United States | 64,054,608 | — | — | 64,054,608 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENT FUNDS | 107,407,028 | 26,215,404 | — | 133,622,432 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 20,163,838 | — | — | 20,163,838 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 20,163,838 | — | — | 20,163,838 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 15,984,827 | — | — | 15,984,827 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 360,236,166 | 577,389,634 | — | 937,625,800 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 491,821 | — | 491,821 | ||||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | 583,196 | 1,336,959 | — | 1,920,155 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 360,819,362 | $ | 579,218,414 | $ | — | $ | 940,037,776 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ |
| |||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (1,021,220 | ) | $ | — | $ | (1,021,220 | ) | ||||||
Swap Contracts | ||||||||||||||||
Equity Risk | — | (558,213 | ) | — | (558,213 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (1,579,433 | ) | $ | — | $ | (1,579,433 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Emerging Markets Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Argentina | $ | 1,621,625 | $ | 949,327 | $ | — | $ | 2,570,952 | ||||||||
Brazil | — | 1,008,490 | — | 1,008,490 | ||||||||||||
Chile | — | 1,066,821 | — | 1,066,821 | ||||||||||||
China | 233,009,278 | 883,091,569 | 687,590 | 1,116,788,437 | ||||||||||||
Czech Republic | — | 1,410,339 | — | 1,410,339 | ||||||||||||
India | — | 61,392,463 | — | 61,392,463 | ||||||||||||
Indonesia | — | 68,447,650 | — | 68,447,650 | ||||||||||||
Kuwait | — | 16,036,890 | — | 16,036,890 | ||||||||||||
Malaysia | — | 1,932,078 | — | 1,932,078 | ||||||||||||
Mexico | 69,033,985 | — | — | 69,033,985 | ||||||||||||
Pakistan | — | 10,965,226 | — | 10,965,226 | ||||||||||||
Philippines | — | 7,653,497 | — | 7,653,497 | ||||||||||||
Poland | — | 42,774,233 | — | 42,774,233 | ||||||||||||
Qatar | — | 14,663,287 | — | 14,663,287 | ||||||||||||
Russia | 9,167,612 | 411,199,371 | — | 420,366,983 | ||||||||||||
Saudi Arabia | — | 10,362 | — | 10,362 | ||||||||||||
South Africa | 5,752,745 | 109,849,395 | — | 115,602,140 | ||||||||||||
South Korea | — | 45,588,513 | — | 45,588,513 | ||||||||||||
Sri Lanka | — | 612,665 | — | 612,665 | ||||||||||||
Taiwan | 792 | 530,908,585 | — | 530,909,377 | ||||||||||||
Thailand | — | 11,109,681 | — | 11,109,681 | ||||||||||||
Turkey | — | 33,014,651 | — | 33,014,651 | ||||||||||||
88
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Emerging Markets Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Common Stocks (continued) | ||||||||||||||||
United Arab Emirates | $ | — | $ | 2,710,600 | $ | — | $ | 2,710,600 | ||||||||
United Kingdom | — | 22,860,365 | — | 22,860,365 | ||||||||||||
Vietnam | — | 3,439,979 | — | 3,439,979 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 318,586,037 | 2,282,696,037 | 687,590 | 2,601,969,664 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | — | 2,029,536 | — | 2,029,536 | ||||||||||||
Colombia | 1,590,846 | — | — | 1,590,846 | ||||||||||||
Russia | — | 55,207,822 | — | 55,207,822 | ||||||||||||
South Korea | — | 64,419,730 | — | 64,419,730 | ||||||||||||
Taiwan | — | 1,348,795 | — | 1,348,795 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 1,590,846 | 123,005,883 | — | 124,596,729 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | ||||||||||||||||
Thailand | — | 10,715,219 | — | 10,715,219 | ||||||||||||
United States | 51,017,854 | — | — | 51,017,854 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENT FUNDS | 51,017,854 | 10,715,219 | — | 61,733,073 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Debt Obligations | ||||||||||||||||
United States | 19,031,588 | — | — | 19,031,588 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 19,031,588 | — | — | 19,031,588 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 42,223,000 | — | — | 42,223,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 432,449,325 | 2,416,417,139 | 687,590 | 2,849,554,054 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | 15,525,340 | 229,665 | — | 15,755,005 | ||||||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | — | 693,922 | — | 693,922 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 447,974,665 | $ | 2,417,340,726 | $ | 687,590 | $ | 2,866,002,981 | ||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 111,406,960 | $ | — | $ | 111,406,960 | ||||||||
Belgium | — | 30,925,151 | — | 30,925,151 | ||||||||||||
Denmark | — | 1,167,842 | — | 1,167,842 | ||||||||||||
France | 36,934,566 | 186,269,959 | — | 223,204,525 | ||||||||||||
Germany | — | 131,574,635 | — | 131,574,635 | ||||||||||||
Hong Kong | — | 57,166,793 | — | 57,166,793 | ||||||||||||
Ireland | 20,527,430 | 7,409,481 | — | 27,936,911 | ||||||||||||
Italy | — | 112,949,157 | — | 112,949,157 | ||||||||||||
Japan | — | 543,665,777 | — | 543,665,777 | ||||||||||||
Malta | — | — | 0 | § | 0 | § | ||||||||||
Netherlands | — | 193,252,315 | — | 193,252,315 | ||||||||||||
Norway | 1,044,352 | 67,831,888 | — | 68,876,240 | ||||||||||||
Portugal | — | 85,392,748 | — | 85,392,748 | ||||||||||||
Singapore | — | 107,691,701 | — | 107,691,701 | ||||||||||||
Spain | — | 162,960,154 | — | 162,960,154 | ||||||||||||
Sweden | — | 101,235,160 | — | 101,235,160 | ||||||||||||
89
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
International Equity Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Common Stocks (continued) | ||||||||||||||||
Switzerland | $ | — | $ | 168,402,838 | $ | — | $ | 168,402,838 | ||||||||
United Kingdom | 26,252,533 | 429,067,723 | — | 455,320,256 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 84,758,881 | 2,498,370,282 | 0 | § | 2,583,129,163 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Germany | — | 9,394,025 | — | 9,394,025 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 9,394,025 | — | 9,394,025 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 44,172,910 | — | — | 44,172,910 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 128,931,791 | 2,507,764,307 | 0 | § | 2,636,696,098 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | 424,735 | — | — | 424,735 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 129,356,526 | $ | 2,507,764,307 | $ | 0 | § | $ | 2,637,120,833 | |||||||
|
|
|
|
|
|
|
| |||||||||
Quality Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
France | $ | — | $ | 58,272,185 | $ | — | $ | 58,272,185 | ||||||||
Germany | — | 251,061,033 | — | 251,061,033 | ||||||||||||
Netherlands | — | 47,470,765 | — | 47,470,765 | ||||||||||||
Switzerland | — | 259,534,832 | — | 259,534,832 | ||||||||||||
Taiwan | — | 199,733,754 | — | 199,733,754 | ||||||||||||
United Kingdom | — | 290,405,705 | — | 290,405,705 | ||||||||||||
United States | 5,933,249,409 | — | — | 5,933,249,409 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 5,933,249,409 | 1,106,478,274 | — | 7,039,727,683 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Debt Obligations | ||||||||||||||||
United States | 41,343,242 | — | — | 41,343,242 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 41,343,242 | — | — | 41,343,242 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 15,830,961 | — | — | 15,830,961 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 15,830,961 | — | — | 15,830,961 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 41,949,945 | — | — | 41,949,945 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 6,032,373,557 | 1,106,478,274 | — | 7,138,851,831 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 6,032,373,557 | $ | 1,106,478,274 | $ | — | $ | 7,138,851,831 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Resources Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Argentina | $ | 6,051,527 | $ | — | $ | — | $ | 6,051,527 | ||||||||
Australia | — | 28,688,643 | — | 28,688,643 | ||||||||||||
Austria | — | 5,982,583 | — | 5,982,583 | ||||||||||||
Brazil | — | 8,990,038 | — | 8,990,038 | ||||||||||||
Canada | 35,648,360 | — | — | 35,648,360 | ||||||||||||
China | — | 20,791,083 | — | 20,791,083 | ||||||||||||
Colombia | 5,286,355 | — | — | 5,286,355 | ||||||||||||
Denmark | — | 4,316,165 | — | 4,316,165 | ||||||||||||
Finland | — | 6,727,199 | — | 6,727,199 | ||||||||||||
France | — | 19,421,620 | — | 19,421,620 | ||||||||||||
90
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Resources Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Common Stocks (continued) | ||||||||||||||||
Hungary | $ | — | $ | 4,993,646 | $ | — | $ | 4,993,646 | ||||||||
India | — | 16,196,621 | — | 16,196,621 | ||||||||||||
Israel | — | 11,660,437 | — | 11,660,437 | ||||||||||||
Japan | — | 19,816,234 | — | 19,816,234 | ||||||||||||
Mexico | 17,941,520 | — | — | 17,941,520 | ||||||||||||
Norway | — | 16,828,279 | — | 16,828,279 | ||||||||||||
Pakistan | — | 4,848,520 | — | 4,848,520 | ||||||||||||
Poland | — | 4,328,369 | — | 4,328,369 | ||||||||||||
Russia | — | 73,028,278 | — | 73,028,278 | ||||||||||||
Singapore | — | — | 0 | § | 0 | § | ||||||||||
South Africa | — | 960,021 | — | 960,021 | ||||||||||||
South Korea | — | 957,841 | — | 957,841 | ||||||||||||
Spain | — | 6,460,452 | — | 6,460,452 | ||||||||||||
Sweden | — | 5,616,682 | — | 5,616,682 | ||||||||||||
Switzerland | — | 3,301,770 | — | 3,301,770 | ||||||||||||
Thailand | — | 9,747,947 | — | 9,747,947 | ||||||||||||
Turkey | — | 2,878,186 | — | 2,878,186 | ||||||||||||
Ukraine | — | 3,403,643 | — | 3,403,643 | ||||||||||||
United Kingdom | — | 78,845,162 | — | 78,845,162 | ||||||||||||
United States | 84,322,466 | — | — | 84,322,466 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 149,250,228 | 358,789,419 | 0 | § | 508,039,647 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | — | 28,601,896 | — | 28,601,896 | ||||||||||||
Chile | 17,919,480 | — | — | 17,919,480 | ||||||||||||
Russia | — | 12,195,685 | — | 12,195,685 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 17,919,480 | 40,797,581 | — | 58,717,061 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Debt Obligations | ||||||||||||||||
United States | 20,345,312 | — | — | 20,345,312 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 20,345,312 | — | — | 20,345,312 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
Singapore | — | — | 0 | § | 0 | § | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | — | — | 0 | § | 0 | § | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 1,942,025 | — | — | 1,942,025 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 189,457,045 | 399,587,000 | — | 589,044,045 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 189,457,045 | $ | 399,587,000$ | 0 | § | $ | 589,044,045 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Risk Premium Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
United States | $ | 8,499,379 | $ | — | $ | — | $ | 8,499,379 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 8,499,379 | — | — | 8,499,379 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 8,091,284 | — | — | 8,091,284 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 16,590,663 | — | — | 16,590,663 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 16,590,663 | $ | — | $ | — | $ | 16,590,663 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs |
| |||||||||||||||
Derivatives^ |
| |||||||||||||||
Written Options | ||||||||||||||||
Equity Risk | $ | (139,160 | ) | $ | — | $ | — | $ | (139,160 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
91
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Tax-Managed International Equities Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 1,470,474 | $ | — | $ | 1,470,474 | ||||||||
Belgium | — | 561,627 | — | 561,627 | ||||||||||||
Brazil | — | 297,921 | — | 297,921 | ||||||||||||
China | — | 788,124 | — | 788,124 | ||||||||||||
Denmark | — | 43,341 | — | 43,341 | ||||||||||||
France | — | 3,213,521 | — | 3,213,521 | ||||||||||||
Germany | — | 1,943,720 | — | 1,943,720 | ||||||||||||
Hong Kong | — | 502,222 | — | 502,222 | ||||||||||||
Hungary | — | 66,020 | — | 66,020 | ||||||||||||
India | — | 130,188 | — | 130,188 | ||||||||||||
Ireland | 198,856 | 527,787 | — | 726,643 | ||||||||||||
Italy | — | 1,525,151 | — | 1,525,151 | ||||||||||||
Japan | — | 8,244,686 | — | 8,244,686 | ||||||||||||
Malaysia | — | 14,235 | — | 14,235 | ||||||||||||
Malta | — | — | 0 | § | 0 | § | ||||||||||
Netherlands | — | 2,943,311 | — | 2,943,311 | ||||||||||||
Norway | — | 260,062 | — | 260,062 | ||||||||||||
Philippines | — | 3,012 | — | 3,012 | ||||||||||||
Poland | — | 17,512 | — | 17,512 | ||||||||||||
Portugal | — | 1,295,876 | — | 1,295,876 | ||||||||||||
Russia | — | 459,624 | — | 459,624 | ||||||||||||
Singapore | — | 1,218,949 | — | 1,218,949 | ||||||||||||
South Africa | — | 24,711 | — | 24,711 | ||||||||||||
South Korea | — | 871,097 | 14,264 | 885,361 | ||||||||||||
Spain | — | 2,184,864 | — | 2,184,864 | ||||||||||||
Sweden | — | 809,064 | — | 809,064 | ||||||||||||
Switzerland | — | 2,440,656 | — | 2,440,656 | ||||||||||||
Taiwan | — | 262,407 | — | 262,407 | ||||||||||||
Thailand | — | 10,702 | — | 10,702 | ||||||||||||
Turkey | — | 597,547 | — | 597,547 | ||||||||||||
United Kingdom | 383,377 | 4,646,982 | — | 5,030,359 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 582,233 | 37,375,393 | 14,264 | 37,971,890 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | — | 22,554 | — | 22,554 | ||||||||||||
Germany | — | 281,089 | — | 281,089 | ||||||||||||
Russia | — | 21,604 | — | 21,604 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 325,247 | — | 325,247 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 575,165 | — | — | 575,165 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 575,165 | — | — | 575,165 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 41,793 | — | — | 41,793 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,199,191 | 37,700,640 | 14,264 | 38,914,095 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | $ | 7,654 | $ | — | $ | — | $ | 7,654 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,206,845 | $ | 37,700,640 | $ | 14,264 | $ | 38,921,749 | ||||||||
|
|
|
|
|
|
|
| |||||||||
92
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Equity Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | $ | 376,408,183 | $ | — | $ | — | $ | 376,408,183 | ||||||||
Mutual Funds | 2,300,296 | — | — | 2,300,296 | ||||||||||||
Short-Term Investments | 2,894,890 | — | — | 2,894,890 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 381,603,369 | — | — | 381,603,369 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | 116,237 | — | — | 116,237 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 381,719,606 | $ | — | $ | — | $ | 381,719,606 | ||||||||
|
|
|
|
|
|
|
| |||||||||
U.S. Small Cap Value Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | $ | 430,977,272 | $ | — | $ | — | $ | 430,977,272 | ||||||||
Mutual Funds | 760,097 | — | — | 760,097 | ||||||||||||
Rights/Warrants | — | — | 36,350 | 36,350 | ||||||||||||
Short-Term Investments | 418,520 | — | — | 418,520 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 432,155,889 | — | 36,350 | 432,192,239 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | 15,176 | — | — | 15,176 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 432,171,065 | $ | — | $ | 36,350 | $ | 432,207,415 | ||||||||
|
|
|
|
|
|
|
| |||||||||
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.
^ | In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). 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. |
§ | Represents the interest in securities that were determined to have a value of zero at August 31, 2020. |
The underlying funds held at period end are classified above as Level 1. Certain underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds’ Notes to Financial Statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.
U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). At August 31, 2020, there were no material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.
Cash
Cash and foreign currency, if any, in 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.
93
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (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 in 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.
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” in Note 4 “Derivative financial instruments”. 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.
Securities lending
The Funds may make secured loans of their portfolio securities amounting to not more than one-third of their total assets. Securities loans are required to be collateralized by cash or securities with a value equal to at least 100% of the market value of the loaned securities (marked to market daily). Funds participating in securities lending receive compensation for lending their securities and/or net investment income earned on the investment of cash collateral, net of fee rebates paid to the borrower and fees paid to the lending agent. Cash collateral received is generally invested in GMO U.S. Treasury Fund. State Street Bank and Trust Company serves as the Funds’ lending agent.
Funds that lend their portfolio securities bear the risk of delay in the recovery of loaned securities, including possible impairment of the Fund’s ability to vote the securities, and of loss of rights in the collateral should the borrower fail financially. Such Funds also bear the risk that the value of investments made with collateral may decline and bear the risk of total loss with respect to the investment of collateral.
At August 31, 2020, securities on loan at value and collateral from securities on loan are listed below:
Fund Name | Value of securities on loan ($) | Cash collateral ($) | Non-cash collateral ($)* | Total collateral ($) | ||||||||||||
Climate Change Fund | 3,764,202 | 349,329 | 3,663,624 | 4,012,953 | ||||||||||||
Cyclical Focus Fund | 50,439 | — | 53,550 | 53,550 | ||||||||||||
Emerging Markets Fund | 7,505,651 | — | 7,955,200 | 7,955,200 | ||||||||||||
Resources Fund | 16,820,856 | — | 17,765,402 | 17,765,402 |
* | Non-cash collateral is comprised of U.S Treasuries and Agencies. The Fund cannot repledge non-cash collateral; therefore, they are excluded from the Statements of Assets and Liabilities. |
Information regarding the value of the securities loaned and the value of cash collateral at period end is included in the Statements of Assets and Liabilities.
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.
94
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
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. 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, interest charges and related fees.
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. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the period ended August 31, 2020, 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.
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 a Fund��s tax basis earnings and profits, if significant, are reported in the Funds’ financial statements as a return of capital.
As of February 29, 2020, certain Funds elected to defer to March 1, 2020, late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:
Fund Name | Late-Year Ordinary Loss Deferral ($) | Post-October Capital Loss Deferral ($) | ||||||
Climate Change Fund | — | — | ||||||
Cyclical Focus Fund | N/A | N/A | ||||||
Emerging Domestic Opportunities Fund | (4,232,323) | — | ||||||
Emerging Markets Fund | — | — | ||||||
International Equity Fund | — | — | ||||||
Quality Fund | — | — | ||||||
Resources Fund | (587,787) | (3,496) | ||||||
Risk Premium Fund | — | — | ||||||
Tax-Managed International Equities Fund | (109,804) | — | ||||||
U.S. Equity Fund | — | — | ||||||
U.S. Small Cap Value Fund | — | — |
95
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
As of February 29, 2020, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 29, 2020, 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:
Fund Name | Short-Term ($) | Long-Term ($) | ||||||
Climate Change Fund | (1,674,056) | (1,980,298) | ||||||
Cyclical Focus Fund | N/A | N/A | ||||||
Emerging Domestic Opportunities Fund | (62,062,022) | (24,386,617) | ||||||
Emerging Markets Fund | (175,917,907) | (1,146,100,690) | ||||||
International Equity Fund | (793,540,682) | (229,281,977) | ||||||
Quality Fund | — | — | ||||||
Resources Fund | (15,989,881) | — | ||||||
Risk Premium Fund | — | — | ||||||
Tax-Managed International Equities Fund | (5,109,986) | — | ||||||
U.S. Equity Fund | — | — | ||||||
U.S. Small Cap Value Fund | (3,815,247) | (62,580) |
As of August 31, 2020, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments for U.S. federal income tax purposes were as follows:
Total Investments | Outstanding Financial Instruments | |||||||||||||||||||
Fund Name | Aggregate Cost ($) | Gross Unrealized Appreciation ($) | Gross Unrealized (Depreciation) ($) | Net Unrealized Appreciation (Depreciation) ($) | Net Unrealized Appreciation (Depreciation) ($) | |||||||||||||||
Climate Change Fund | 134,559,698 | 16,316,246 | (8,121,890) | 8,194,356 | — | |||||||||||||||
Cyclical Focus Fund | 119,558,551 | 18,594,477 | (1,885,775) | 16,708,702 | — | |||||||||||||||
Emerging Domestic Opportunities Fund | 805,717,009 | 149,699,005 | (17,790,214) | 131,908,791 | 832,543 | |||||||||||||||
Emerging Markets Fund | 2,897,914,133 | 319,243,358 | (367,603,437) | (48,360,079) | 16,448,927 | |||||||||||||||
International Equity Fund | 2,608,351,499 | 299,071,746 | (270,727,147) | 28,344,599 | 424,735 | |||||||||||||||
Quality Fund | 4,509,231,193 | 2,886,294,464 | (256,673,826) | 2,629,620,638 | — | |||||||||||||||
Resources Fund | 578,511,802 | 68,254,033 | (57,721,790) | 10,532,243 | — | |||||||||||||||
Risk Premium Fund | 16,564,440 | 26,844 | (621) | 26,223 | 170,357 | |||||||||||||||
Tax-Managed International Equities Fund | 30,807,311 | 8,682,928 | (576,144) | 8,106,784 | 7,654 | |||||||||||||||
U.S. Equity Fund | 327,851,311 | 64,690,662 | (10,938,604) | 53,752,058 | 116,237 | |||||||||||||||
U.S. Small Cap Value Fund | 455,202,365 | 42,375,934 | (65,386,060) | (23,010,126) | 15,176 |
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,
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including interpretations of tax laws 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 underlying funds, if any, 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/deflation 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).
Custodian, Fund Accounting Agent and Transfer Agent
State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent. Prior to November 3, 2017, Brown Brothers Harriman & Co. served as the Funds’ custodian and fund accounting agent except for Climate Change Fund, Quality Fund, U.S. Equity Fund and Risk Premium Fund. Cash balances maintained at the custodian and 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 (e.g., 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. For example, GMO 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), and
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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).
As of August 31, 2020, none of the Funds charge a purchase premium or redemption fee. Historical information on purchase premiums and redemption fees are provided in the table below.
Emerging Domestic Opportunities Fund | For the period from December 1, 2018 to November 22, 2019, the premium on cash purchases and the fee on cash redemptions were each 0.40% of the amount invested or redeemed. Prior to December 1, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.80% of the amount invested or redeemed. | |
Emerging Markets Fund | For the period from December 1, 2018 to November 22, 2019, the premium on cash purchases and the fee on cash redemptions were each 0.40% of the amount invested or redeemed. Prior to December 1, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.80% of the amount invested or redeemed. | |
Resources Fund | Prior to March 9, 2020, the premium on cash purchases and the fee on cash redemptions were each 0.30% of the amount invested or redeemed. | |
Risk Premium Fund | Prior to May 18, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.15% of the amount invested or redeemed. |
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 0.12% of the Fund’s total net assets as of August 31, 2020, though in recognition of the potential liability, a portion of that amount is included as a 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.
Recently-issued accounting guidance
In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, “Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting”. The amendments in the ASU provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other interbank-offered based reference rates as of the end of 2021. The ASU is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying this ASU on the Funds’ financial statements.
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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.
Climate Change Fund | Cyclical Focus Fund | Emerging Domestic Opportunities Fund | Emerging Markets Fund | International Equity Fund | Quality Fund | Resources Fund | Risk Premium Fund | Tax-Managed International Equities Fund | U.S. Equity Fund | U.S. Small Cap Value Fund | ||||||||||||
Commodities Risk | X | X | ||||||||||||||||||||
Counterparty Risk | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Credit Risk | X | X | ||||||||||||||||||||
Currency Risk | X | X | X | X | X | X | X | X | X | |||||||||||||
Derivatives and Short Sales Risk | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Focused Investment Risk | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Fund of Funds Risk | X | X | ||||||||||||||||||||
Illiquidity Risk | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Large Shareholder Risk | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Leveraging Risk | 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 | |||||||||||
Market Disruption and Geopolitical Risk | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Market Risk – Equities | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Market Risk – Fixed Income | X | X | ||||||||||||||||||||
Merger Arbitrage Risk | X | X | ||||||||||||||||||||
Non-Diversified Funds | X | X | X | X | X | X | X | X | ||||||||||||||
Non-U.S. Investment Risk | X | X | X | X | X | X | X | X | X | |||||||||||||
Smaller 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. Please see the Funds’ prospectus for more information regarding the risks of investing in the Funds.
Each Fund that invests in other GMO Funds or other investment companies (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through Underlying Funds.
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An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.
• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner. In addition, the value of commodity-related derivatives or indirect investments in commodities may fluctuate more than the commodity, commodities or commodity index to which they relate. See “Derivatives and Short Sales Risk” for a discussion of specific risks of a Fund’s derivatives investments, including commodity-related derivatives.
• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise be forced to hold investments it would prefer to sell, resulting in losses for the Fund. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws, regulations or other requirements. The Funds are not subject to any limit on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.
Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms longer than six months (and, in some cases, decades). The creditworthiness of a counterparty can be expected to 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 if the Fund’s interest in the collateral is not perfected or additional collateral is not posted promptly as required. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean that a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty). Counterparty risk also will be greater if a counterparty’s obligations exceed the value of the collateral held by the Fund (if any).
The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds. Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations or realization on collateral, could be stayed or eliminated under special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities broad authority to
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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 obligors of obligations underlying an asset-backed security will be unable or unwilling to satisfy their obligation to pay principal and interest or otherwise to honor their obligations in a timely manner. The market price of a fixed income investment will normally decline as a result (and/or in anticipation) of the issuer’s, guarantor’s, or obligors’ failure to meet their payment obligations or a downgrading of the credit rating of the investment. This risk is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Fixed income investments also are subject to illiquidity risk. See “Illiquidity Risk.”
All fixed income investments are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending upon whether the issuer is a corporation, a government or government entity, whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the term of a fixed income investment. U.S. government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the United States, supported by the ability to borrow from the U.S. Treasury, supported only by the credit of the issuing U.S. government agency, instrumentality, or corporation, or otherwise supported by the United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign or quasi-sovereign debt involve the risk that the governmental entities responsible for repayment will 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 can be expected to 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 will default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging countries.
In many cases, the credit risk and market price of a fixed income investment are reflected in its credit ratings, and a Fund holding a rated investment is subject to the risk that the investment’s rating will be downgraded, resulting in a decrease in the market price of the fixed income investment.
Securities issued by the U.S. government historically have presented minimal credit risk. However, events in 2011 led several major rating agencies to downgrade the long-term credit rating of U.S. bonds and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest on U.S. government securities would decrease, the market price of a Fund’s investments and increase the volatility of a Fund’s portfolio.
Asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives and Short Sales Risk” for more information regarding risks associated with the use of credit default swaps.
The extent to which the market price of a fixed income investment changes in response to a credit event depends on many factors and can be difficult to predict. For example, even though the effective duration of a long-term floating rate security is very short, an adverse credit event or change in the perceived creditworthiness of its issuer could cause its market price to decline much more than its effective duration would suggest.
Credit risk is particularly pronounced for below investment grade investments (commonly referred to as “high yield” or “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment
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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 typically 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 is likely to lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of a default of sovereign debt, the Funds may be unable to pursue legal action against the issuer.
Some Funds may lend their portfolio securities. A Fund that lends its portfolio securities bears the risk of delay in the recovery of loaned securities, including possible impairment of a Fund’s ability to vote the securities, and of loss of rights in the collateral should the borrower fail financially. A Fund also bears the risk that the value of investments made with collateral may decline.
• 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 is likely to realize a loss on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk.”
Many of the Funds use derivatives to take currency positions that are under- or over-weighted (in some cases significantly) relative to the currency exposure of their portfolios and their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money on both its holdings of a particular currency and the derivative. See also “Non-U.S. Investment Risk.”
Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars or may only be able to do so at an unfavorable exchange rate. Exchange rates for many currencies are affected by exchange control regulations.
Derivative transactions in foreign currencies (such as futures, forward contracts, 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, but are not limited to, futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other OTC contracts.
The use of derivatives involves risks that are in addition to, and potentially greater than, the risks of investing directly in securities. In particular, a Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed, or the position transferred, only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid the cost and unpredictability of legal proceedings. The Fund, therefore, runs the risk of being unable to obtain payments GMO believes are owed to it under an OTC derivatives contract or of those payments being 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., forward currency contracts), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront
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deposit by the Fund unrelated to the derivative’s fundamental fair (or intrinsic) value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs a greater risk of not being able to recover what it is owed if the counterparty defaults. Derivatives also present other risks described in this section, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk.
Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation and exposes the Funds to the risk that the pricing models used do not produce valuations that are consistent with the values the Funds realize when they close or sell 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, the Funds run a risk that inaccurate valuations will result in increased cash payments to counterparties, under-collateralization and/or errors in the calculation of the Funds’ net asset values.
A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the cost of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty.
Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk”) and counterparty risk (see “Counterparty Risk”). These derivatives also are subject to documentation risk, which is the risk that ambiguities, inconsistencies or errors in the documentation relating to a derivative transaction will 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 could result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk.”
Special tax rules apply to a Fund’s transactions in derivatives, which could increase the taxes payable by shareholders subject to U.S. income taxation. In particular, a Fund’s derivative transactions potentially could cause a substantial portion of the Fund’s distributions to be taxable at ordinary income tax rates. In addition, the tax treatment of a Fund’s use of derivatives will sometimes be unclear. See the Funds’ Prospectus and Statement of Additional Information for more information.
Derivatives Regulation. The U.S. government has enacted legislation that provides for 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 evolving, 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 derivative 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 derivative positions. Also, as a general matter, in contrast to a bilateral derivative position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivative 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 derivative positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy, and any increase in margin held by a clearing member could expose a Fund to greater credit risk to its clearing member. 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. 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
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the Funds and clearing members 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 are likely to 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 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. Variation margin requirements became effective in March 2017 and initial margin requirements will become effective in 2020 or 2021. Such requirements could increase the amount of margin a Fund needs to post in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.
These and other 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 evolving, and, therefore, their potential impact on the Funds and the financial system are not yet known. While these 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 different kinds of costs and risks.
The SEC recently reproposed a rule under the 1940 Act regulating the use by registered investment companies of derivatives and many related instruments. The ultimate impact, if any, of such a rule is unclear, but the reproposed rule, if adopted, could, among other things, restrict a Fund’s ability to continue to engage in derivatives transactions in the manner it has historically and increase the costs of derivatives transactions, which could have an adverse impact on a Fund’s performance.
Options. Some 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 at 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.
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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.
Short Investment Exposure. Some Funds may sell securities or currencies short as part of their investment programs in an attempt to increase their returns or for hedging purposes. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange a security or currency to replace the borrowed security or currency when the security or currency sold short has appreciated in value, thus resulting in a loss to the Fund. Purchasing a security or currency to close out a short position can itself cause the price of the security or currency to rise further, thereby exacerbating any losses. A Fund that sells short a security or currency it does not own typically pays borrowing fees to a broker and is required to pay the broker any dividends or interest it receives on a borrowed security.
A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index.
Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.
• FOCUSED INVESTMENT RISK. Funds with investments that are focused in a limited number of asset classes, sectors, industries, issuers, currencies, countries, or regions (or in sectors within a country or region) that are subject to the same or similar risk factors and Funds with investments whose prices are closely correlated are subject to greater overall risk than Funds with investments that are more diversified or whose prices are not as closely correlated.
A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of those issuers’ securities than Funds investing in the securities of a larger number of issuers. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens and often react similarly to specific economic, market, political or other developments.
Similarly, Funds having a significant portion of their assets in investments tied economically to a particular geographic region, country or market (e.g., emerging markets), or to sectors within a region, country, or market (e.g., Russian oil) have more exposure to regional and country economic risks than do 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 Risk Premium Fund may hold a limited number of options contracts relating to relatively few stock indices, the Fund is subject to focused investment risk.
• FUND OF FUNDS RISK. A Fund that invests in Underlying Funds (including underlying GMO Funds) is exposed to the risk that the Underlying Funds will not perform as expected. A Fund also is indirectly exposed to all of the risks to which the Underlying Funds are exposed.
Because, absent reimbursement, a Fund bears the fees and expenses of an Underlying Fund (including purchase premiums and redemption fees, if any), the Fund will incur additional expenses when investing in an Underlying Fund. In addition, total Fund expenses will increase if a Fund makes a new or further investment in Underlying Funds with higher fees or expenses than the average fees and expenses of the Underlying Funds then in the Fund’s portfolio.
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In addition, to the extent a Fund invests in shares of underlying GMO Funds, it is indirectly subject to Large Shareholder Risk when an underlying GMO Fund has large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk.”
At any particular time, one Underlying Fund may be purchasing securities of an issuer whose securities are being sold by another Underlying Fund, resulting in a Fund that holds each Underlying Fund indirectly incurring the costs associated with the two transactions without changing its exposure to those securities.
Investments in exchange-traded funds (“ETFs”) involve the risk that an ETF’s performance will not track the performance of the index it is designed to track. In addition, ETFs often use derivatives to track the performance of an index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed in “Derivatives and Short Sales Risk.” ETFs are investment companies that typically hold a portfolio of securities designed to track the price, performance, and dividend yield of a particular securities market index (or sector of an index). As investment companies, ETFs incur their own management and other fees and expenses, such as trustee fees, operating expenses, registration fees, and marketing expenses, and a Fund that invests in ETFs bears a proportionate share of such fees and expenses. As a result, an investment by a Fund in an ETF could result in higher expenses and lower returns than if the Fund were to invest directly in the securities underlying the ETF.
A Fund’s investments in one or more Underlying Funds could affect the amount, timing and character of its distributions and could cause the Fund to recognize taxable income in excess of the cash generated by such investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.
The SEC recently adopted a rule that will change the regulatory framework under which some registered investment companies are permitted to invest in other registered investment companies (the “Fund of Funds Rule”). The impact of the Fund of Funds Rule is still under review but could adversely affect the Funds by, among other things, limiting the number of shares of other registered investment companies (such as other Funds or exchange-traded funds) or pooled investment vehicles that a Fund is permitted to purchase.
• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size, or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits, delays or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed, defaulted or other low quality debt securities, emerging country debt or equity securities or securities of companies with smaller market capitalizations or smaller total float-adjusted market capitalizations, 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 tends to 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 often more susceptible than other securities to price declines when market prices decline generally.
A Fund may buy securities or other investments that are less liquid than those in its benchmark. The more illiquid investments a Fund has, the greater the likelihood of its paying redemption proceeds in-kind.
The Board of Trustees has designated GMO as administrator to the Funds’ liquidity risk management program, which was adopted by the Funds pursuant to Rule 22e-4 under the 1940 Act. Under that program, each Fund is required to classify its investments into specific liquidity categories and monitor compliance with limits on illiquid investments. The term “illiquid investments” for purposes of the program means investments that GMO reasonably expects cannot be sold or disposed of under current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investments. While the liquidity risk management program is designed to assist in the assessment and management of illiquidity risk, there is no guarantee it will be effective in reducing the illiquidity risk inherent in a Fund’s investments.
Historically, credit markets have experienced periods characterized by a significant lack of liquidity, and they may experience similar periods in the future. If a Fund is required to sell illiquid investments to satisfy collateral posting requirements or to meet redemptions, those sales could put significant downward price pressure on the market price of the securities being sold.
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A Fund’s, and particularly GMO 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 would 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, 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, adversely affecting the Fund’s performance to the extent that the Fund is required to sell investments when it would not have otherwise done so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for Fund shareholders. Further, from time to time a Fund may trade in anticipation of a purchase or redemption order that ultimately is not received or differs in size from the actual order, leading to temporary underexposure or overexposure to the Fund’s intended investment program. In addition, redemptions and purchases of shares by a large shareholder or group of shareholders could limit the use of any capital losses (including capital loss carryforwards) to offset realized capital gains (if any) and other losses that would otherwise reduce distributable net investment income. In addition, large shareholders may limit or prevent a Fund’s use of equalization for U.S. federal tax purposes.
To the extent a Fund invests in other GMO Funds subject to large shareholder risk, the Fund is indirectly subject to this risk.
• LEVERAGING RISK. The use of traditional borrowing (including to meet redemption requests), reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e. a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e. a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives, similar to short sales, have the potential for unlimited loss, regardless of the size of the initial investment. Similarly, a Fund’s portfolio will be leveraged and can incur losses if the value of the Fund’s assets declines between the time a redemption request is received or deemed to be received by a Fund (which in some cases is the business day prior to actual receipt by the Fund of the redemption request) and the time at which the Fund liquidates assets to meet redemption requests. Such a decline in the value of a Fund’s assets is more likely in the case of Funds managed from GMO’s non-U.S. offices for which the time period between the determination of net asset value and corresponding liquidation of assets could be longer due to time zone differences. In the case of redemptions representing a significant portion of a Fund’s portfolio, the leverage effects described above can be significant and could expose a Fund and non-redeeming shareholders to material losses.
A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.
Some Funds are permitted to purchase securities on margin or to sell securities short, either of which creates leverage. To the extent the market prices of securities pledged to counterparties to secure a Fund’s margin account or short sale decline, the Fund may be required to deposit additional funds with the counterparty to avoid having the pledged securities liquidated.
• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times. In the case of Tax-Managed International Equities Fund, GMO’s tax-management strategies may be ineffective or limited by market conditions, the timing of cash flows into and out of the Fund, and current or future changes in tax legislation and regulation.
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For many Funds, GMO uses quantitative models as part of its investment process. Those Funds run the risk that GMO’s models will not accurately predict future market movements or characteristics. In addition, GMO’s models are based on assumptions that can limit their effectiveness, and they rely on data that is subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. The Funds also run the risk that GMO’s assessment of an investment (including a security’s fundamental fair (or intrinsic) value) is wrong.
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 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 operational risks resulting from other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other operational services. Examples of such operational risks include the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors could prevent a Fund from benefiting from investment gains or avoiding losses. In addition, a service provider may be unable to provide a net asset value 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 have effects similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and disrupting operations. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release or misappropriation of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, and additional compliance costs. The Funds’ service providers regularly experience cyber-attacks and expect they will continue to do so. While GMO has established business continuity plans and systems designed to prevent, detect and respond to cyber-attacks, those plans and systems have inherent limitations. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could have material adverse consequences for those issuers and result in a decline in the market price of their securities. Furthermore, as a result of cyber-attacks, technological disruptions, malfunctions, or failures, an exchange or market may close or suspend trading in specific securities or the entire market, which could prevent the Funds from, among other things, buying or selling securities or accurately pricing their investments. The Funds cannot directly control cyber security plans and systems of their service providers, the Funds’ counterparties, issuers of securities in which the Funds invest, or securities markets and exchanges, and such service providers, counterparties, or issuers may have limited, if any, indemnification obligations to GMO or the Funds, each of whom could be negatively impacted as a result.
• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars, pandemics and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby reducing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or in other economic inputs (e.g., the marked decline in oil prices in late 2014, as well as in early 2020) may have material and unexpected effects on both global securities markets and individual countries, regions, sectors, companies, or industries. Terrorism in the United States and around the world has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation or other fraudulent trading practices, which could disrupt their orderly functioning or reduce the prices of securities traded on them, including securities held by the Funds. Fraud and other deceptive practices committed by an issuer of securities held by a Fund undermine GMO’s due diligence efforts and, when discovered, will likely cause a steep decline in the market price of those securities and thus negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively affect a Fund’s investment program.
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While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in the recent past) would be highly disruptive to the U.S. and global securities markets and could significantly reduce the value of the Funds’ investments. Similarly, political events within the United States have resulted, and may in the future result, in shutdowns of government services, which could adversely affect the U.S. economy, reduce the value of many Fund investments, and impair the operation of the U.S. or other securities markets. Climate change regulation (such as decarbonization legislation or other mandatory controls to reduce emissions of greenhouse gases) could significantly affect many of the companies in which the Funds invest by, among other things, increasing those companies’ operating costs and capital expenditures. Uncertainty over the sovereign debt of several European Union countries, as well as uncertainty over the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the United States and around the world. If a country changes its currency or if the European Union dissolves, the world’s securities markets likely would be significantly disrupted. On January 31, 2020, the United Kingdom formally withdrew from the European Union (commonly known as “Brexit”), and an 11-month transition period commenced during which most European Union law will continue to apply in the United Kingdom while it negotiates its future relationship with the European Union. While the full impact of Brexit is unknown, Brexit has already resulted in volatility in European and global markets. Potential negative long-term effects could include, among others, greater market volatility and illiquidity, disruptions to world securities markets, currency fluctuations, deterioration in economic activity, a decrease in business confidence, and an increased likelihood of a recession in the United Kingdom. The consequences of the United Kingdom’s or another country’s exit from the European Union also could threaten the stability of the Euro and could negatively affect the financial markets of other countries in the European region and beyond, which may include companies or assets held or considered for prospective investment by GMO.
War, terrorism, economic uncertainty, and related geopolitical events, such as sanctions, tariffs, the imposition of exchange controls or other cross-border trade barriers, have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. For example, the U.S. has imposed economic sanctions, which consist of asset freezes, restrictions on dealings in debt and equity, and certain industry-specific restrictions. These types of sanctions have recently been applied against the Venezuelan and Russian governments, as well as against certain Russian and Venezuelan officials and institutions. These sanctions have resulted, and any additional sanctions or intergovernmental actions or even the threat of further sanctions could result, in a decline in the value and liquidity of Russian and Venezuelan securities, a weakening of the Russian and Venezuelan currencies or other adverse consequences to their respective economies. Sanctions impair the ability of the Funds to buy, sell, receive or deliver those securities and/or assets that are subject to the sanctions. In addition, trade disputes (such as the “trade war” between the United States and China that intensified in 2018 and 2019) may affect investor and consumer confidence and adversely affect financial markets and the broader economy, perhaps suddenly and to a significant degree. Events such as these and their impact on the Funds are difficult to predict.
Natural and environmental disasters (such as the earthquake and tsunami in Japan in early 2011), epidemics or pandemics (such as the outbreak of a novel coronavirus beginning in late 2019 (described below)), and systemic market dislocations (such as the kind surrounding the insolvency of Lehman Brothers in 2008) can be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment and the market price of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices or to offer them on a more limited basis. To the extent a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.
An outbreak of respiratory disease caused by a novel coronavirus designated as COVID-19 was first detected in China in December 2019 and subsequently spread internationally. The transmission of COVID-19 and efforts to contain its spread have resulted in, among other things, border closings and other significant travel restrictions and disruptions, significant disruptions to business operations, supply chains and customer activity, government economic stimulus measures, lower consumer demand for goods and services, event cancellations and restrictions, service cancellations, rapid increases in unemployment, increased demand for and strain on government resources, significant challenges in healthcare service preparation and delivery, and prolonged quarantines, as well as general concern and uncertainty. The impact of the COVID-19 outbreak could negatively affect the global economy, the economies of individual countries, and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways and may continue to do so in the future. Health crises caused by the outbreak of COVID-19 may also exacerbate other pre-existing political, social, economic, market and financial risks. The effects of the outbreak in developing or
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emerging market countries may be greater due to less established health care systems. The COVID-19 pandemic and its effects may be short term or may last for an extended period of time, and in either case could result in significant market volatility, exchange trading suspensions and closures, declines in global financial markets, higher default rates, and a substantial economic downturn or recession. The foregoing could impair the Funds’ ability to maintain operational standards (such as with respect to satisfying redemption requests), disrupt the operations of the Funds’ service providers, adversely affect the value and liquidity of the Funds’ investments, and negatively impact the Funds’ performance and your investment in a 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 a failure to keep up with technological advances 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 be attributable to general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. The market prices of equities are volatile and can decline in a rapid or unpredictable manner. Equities which are characterized as relatively cyclical, such as investments in companies in the consumer discretionary, financials, energy, real estate, materials and industrials sectors, often are especially sensitive to economic cycles, which means they typically underperform non-cyclical equities during economic downturns. Cyclical equities’ performance can be significantly affected by, among other factors, cyclical revenue generation, consumer confidence and changing consumer preferences, and the performance of domestic and international economies. 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 decline due to GMO’s incorrect assessment. The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.
Because of Risk Premium Fund’s emphasis on writing put options on stock indices, GMO expects the Fund’s net asset value to decline when those indices decline in value. Also, Risk Premium Fund’s investment strategy of writing put options on stock indices can be expected to cause the Fund to underperform relative to those indices when the markets associated with those indices rise sharply because of the Fund’s lack of exposure to the upside of those markets.
Fixed Income — Funds that invest in fixed income investments (including bonds, notes, bills, synthetic debt instruments, and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity due, for example, to market uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market price of fixed income investments with complex structures, such as asset-backed securities and sovereign and quasi-sovereign debt investments, can decline due to uncertainty about their credit quality and the reliability of their payment streams. Some fixed income investments also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the fixed income investment. When interest rates rise, fixed income investments also may be repaid more slowly than anticipated, causing a decrease in their market price. During periods of economic uncertainty and change, the market price of a Fund’s investments in below investment grade investments (commonly referred to as “high yield” or “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 principal risk run by each Fund with significant investment in fixed income investments is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases in interest rates (also called “interest rate risk”) is 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 would likely 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 variable-rate investments, generally have
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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.
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 fee.
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 investments when it would otherwise not do so, including at unfavorable prices. The risks associated with rising interest rates are generally greater during periods when prevailing interest rates are at or near their historic lows. Moreover, fixed income investments will be difficult to value during such periods. The U.S. Federal Reserve Bank recently decreased interest rates back to near historically low levels. A substantial increase in interest rates could have a material adverse effect on fixed income investments and on the performance of the Funds. Other actions by central banks or regulators (such as intervention in foreign currency markets or imposition of currency controls) also could have a material adverse effect on the Funds.
• MERGER ARBITRAGE RISK. Some Funds engage in transactions in which the Fund purchases securities at prices below the value of the consideration GMO expects the Fund to receive upon consummation of a proposed merger, exchange offer, tender offer, or other similar transaction (“merger arbitrage transactions”). The purchase price paid by the Fund may substantially exceed the market price of the securities before the announcement of the transaction.
If a Fund engages in merger arbitrage and the merger later appears unlikely to be consummated or, in fact, is not consummated or is delayed, the market price of the securities purchased by the Fund is likely to decline sharply, resulting in losses to the Fund. The risk/reward payout of merger arbitrage strategies typically is asymmetric, with the losses in failed transactions often far exceeding the gains in successful transactions. A proposed merger can fail to be consummated for many reasons, including regulatory and antitrust restrictions, industry weakness, company specific events, failed financings, and general market declines.
Merger arbitrage strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated. A Fund’s investments in derivatives or short sales of securities to hedge or otherwise adjust long or short investment exposure in connection with a merger arbitrage may not perform as GMO expected or may otherwise reduce the Fund’s gains or increase its losses. Also, a Fund may be unable to hedge against market fluctuations or other risks. In addition, a Fund may sell securities short when GMO expects the Fund to receive the securities upon consummation of a transaction; if the Fund does not actually receive the securities, the Fund will have an unintended “naked” short position and may be required to cover its short position at a time when the securities sold short have appreciated in value, thus resulting in a loss. A Fund’s merger arbitrage transactions could result in tax inefficiencies, including larger distributions of net investment income and net realized capital gains than otherwise would be the case.
• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of a relatively small number of issuers. As a result, they are likely to be subject to greater credit, market and other risks than if their investments were more diversified, and poor performance by a single investment is likely to have a greater impact on their performance.
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The following Funds are not diversified investment companies within the meaning of the 1940 Act:
• | Climate Change Fund |
• | Cyclical Focus Fund |
• | Emerging Domestic Opportunities Fund |
• | Emerging Markets Fund |
• | Quality Fund |
• | Resources Fund |
• | Risk Premium Fund |
• | Tax-Managed International Equities Fund |
• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. Many non-U.S. securities markets list 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 (particularly in emerging markets) often fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities (particularly those tied economically to emerging countries) often are not subject to as much regulation as U.S. issuers, and the reporting, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes, and custodial costs. In addition, some countries limit a Fund’s ability to profit from short-term trading (as defined in that country).
A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no benefit. In addition, a Fund’s pursuit of a tax refund may subject it to administrative and judicial proceedings in the country where it is seeking the refund.
A Fund’s decision to seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if it is entitled to one. The outcome of a Fund’s efforts to obtain a refund is inherently unpredictable. In some cases, the amount of a refund could be material to a Fund’s net asset value. Accordingly, a refund is not typically reflected in the Fund’s net asset value until it is received or GMO is confident it will be received. Generally, absent a determination by GMO that a refund is collectible and free from significant contingencies, a refund is not reflected in a Fund’s net asset value until it is received. 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 a Fund, see the Funds’ Prospectus and Statement of Additional Information.
Investing in non-U.S. securities also exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, government involvement in every country, including the U.S., or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises), adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.
In some non-U.S. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States. Fluctuations in currency exchange rates also affect the market prices of a Fund’s non-U.S. securities (see “Currency Risk”).
The Funds need a license to invest directly in securities traded in many non-U.S. securities markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license to invest in a particular market is terminated or suspended, to obtain exposure to that market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of GMO’s clients may preclude a Fund from obtaining a similar license. In addition, the activities of a GMO client could cause the suspension or revocation of a Fund’s license.
Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed
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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); increased risk of nationalization, expropriation, or other confiscation of issuer assets; greater governmental involvement in the economy or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises); less governmental supervision and regulation of securities markets and participants in those markets; controls on investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e. a market freeze); unavailability of currency hedging techniques; less rigorous auditing and financial reporting standards and resulting unavailability of reliable 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. The economies of emerging countries often are more volatile than the economies of developed countries. For example, the Public Company Accounting Oversight Board, which regulates auditors of U.S. public companies, is unable to inspect audit work papers in certain foreign countries, and the ability of the SEC, the U.S. Department of Justice and other authorities to bring and enforce actions against foreign issuers or foreign persons is limited.
• SMALLER COMPANY RISK. Companies with smaller market capitalizations tend to have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers and depend on fewer key employees than larger companies. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for the securities of these companies.
Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and are taken in response to adverse market, economic, political or other conditions. The Funds normally do not take temporary defensive positions. To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.
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.
Each of the Funds may have investment exposures in excess of its net assets (i.e. the Fund 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
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to time the Fund may have investment exposures in excess of its net assets (i.e. it may be leveraged). For example, if Risk Premium Fund receives a redemption request and is unable to close out an option it had sold, the Fund may temporarily have gross investment exposures in excess of its net assets (i.e. the Fund will be leveraged) and therefore is subject to heightened risk of loss. Risk Premium Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.
A Fund’s foreign currency exposure may differ significantly from the currencies in which its equities are traded.
Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.
The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investment and other risks” above for further information.
For Funds that held derivatives during the period ended August 31, 2020, 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 | International Equity Fund | Risk Premium Fund | Tax-Managed Equities | U.S. Fund | U.S. Small Cap | |||||||||||||||||||||
Forward currency contracts | ||||||||||||||||||||||||||||
Hedge foreign currency exposure in the underlying funds’ investments relative to the U.S. dollar | X | |||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Adjust exposure to certain securities markets | X | X | X | X | X | X | ||||||||||||||||||||||
Maintain the diversity and liquidity of the portfolio | X | X | X | X | ||||||||||||||||||||||||
Options (Written) | ||||||||||||||||||||||||||||
Substitute for direct equity investment | X | |||||||||||||||||||||||||||
Swap contracts | ||||||||||||||||||||||||||||
Substitute for direct equity investment | X | X | ||||||||||||||||||||||||||
Achieve returns comparable to holding and lending a direct equity position | X | X |
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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 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 in 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.
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When an option contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statements of Operations.
Swap contracts
The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, basis swaps, currency swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.
Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses 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. The periodic frequency of payments received may differ from periodic payment frequencies made and their frequencies could be monthly, quarterly, semiannually, annually or at maturity.
Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.
Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.
In a credit default swap contract, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.
For credit default swap contracts on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap contracts on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.
Variance swap contracts involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment
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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.
***
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, 2020 and the Statements of Operations for the period ended August 31, 2020^:
The risks referenced in the tables below are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
Emerging Domestic Opportunities Fund | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | $ | — | $ | — | $ | 491,821 | $ | — | $ | — | $ | 491,821 | ||||||||||||
Unrealized Appreciation on Futures Contracts¤ | — | 1,920,155 | — | — | — | 1,920,155 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 1,920,155 | $ | 491,821 | $ | — | $ | — | $ | 2,411,976 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives |
| |||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | (1,021,220 | ) | $ | — | $ | — | $ | (1,021,220 | ) | ||||||||||
Swap Contracts, at value¤ | — | (558,213 | ) | — | — | — | (558,213 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (558,213 | ) | $ | (1,021,220 | ) | $ | — | $ | — | $ | (1,579,433 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on |
| |||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | (2,124 | ) | $ | — | $ | — | $ | (2,124 | ) | ||||||||||
Futures Contracts | — | (1,077,171 | ) | — | — | — | (1,077,171 | ) | ||||||||||||||||
Swap Contracts | — | 4,059,966 | — | — | — | 4,059,966 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 2,982,795 | $ | (2,124 | ) | $ | — | $ | — | $ | 2,980,671 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on |
| |||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | (123,484 | ) | $ | — | $ | — | $ | (123,484 | ) | ||||||||||
Futures Contracts | — | 693,029 | — | — | — | 693,029 | ||||||||||||||||||
Swap Contracts | — | (1,177,155 | ) | — | — | — | (1,177,155 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (484,126 | ) | $ | (123,484 | ) | $ | — | $ | — | $ | (607,610 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
117
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
Emerging Markets Fund | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Unrealized Appreciation on Futures Contracts¤ | $ | — | $ | 15,755,005 | $ | — | $ | — | $ | — | $ | 15,755,005 | ||||||||||||
Swap Contracts, at value¤ | — | 693,922 | — | — | — | 693,922 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 16,448,927 | $ | — | $ | — | $ | — | $ | 16,448,927 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on |
| |||||||||||||||||||||||
Futures Contracts | $ | — | $ | (2,927,234 | ) | $ | — | $ | — | $ | — | $ | (2,927,234 | ) | ||||||||||
Swap Contracts | — | 9,479,649 | — | — | — | 9,479,649 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 6,552,415 | $ | — | $ | — | $ | — | $ | 6,552,415 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on |
| |||||||||||||||||||||||
Futures Contracts | $ | — | $ | 22,792,229 | $ | — | $ | — | $ | — | $ | 22,792,229 | ||||||||||||
Swap Contracts | — | (132,196 | ) | — | — | — | (132,196 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 22,660,033 | $ | — | $ | — | $ | — | $ | 22,660,033 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
International Equity Fund | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Unrealized Appreciation on Futures Contracts¤ | $ | — | $ | 424,735 | $ | — | $ | — | $ | — | $ | 424,735 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 424,735 | $ | — | $ | — | $ | — | $ | 424,735 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on |
| |||||||||||||||||||||||
Futures Contracts | $ | — | $ | (18,241,371 | ) | $ | — | $ | — | $ | — | $ | (18,241,371 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (18,241,371 | ) | $ | — | $ | — | $ | — | $ | (18,241,371 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on |
| |||||||||||||||||||||||
Futures Contracts | $ | — | $ | 9,075,413 | $ | — | $ | — | $ | — | $ | 9,075,413 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 9,075,413 | $ | — | $ | — | $ | — | $ | 9,075,413 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Risk Premium Fund | ||||||||||||||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Written Options, at value | $ | — | $ | (139,160 | ) | $ | — | $ | — | $ | — | $ | (139,160 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (139,160 | ) | $ | — | $ | — | $ | — | $ | (139,160 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on |
| |||||||||||||||||||||||
Written Options | $ | — | $ | 2,790,470 | $ | — | $ | — | $ | — | $ | 2,790,470 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 2,790,470 | $ | — | $ | — | $ | — | $ | 2,790,470 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on |
| |||||||||||||||||||||||
Written Options | $ | — | $ | 2,147,602 | $ | — | $ | — | $ | — | $ | 2,147,602 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 2,147,602 | $ | — | $ | — | $ | — | $ | 2,147,602 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Tax-Managed International Equities Fund | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Unrealized Appreciation on Futures Contracts¤ | $ | — | $ | 7,654 | $ | — | $ | — | $ | — | $ | 7,654 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 7,654 | $ | — | $ | — | $ | — | $ | 7,654 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on |
| |||||||||||||||||||||||
Futures Contracts | $ | — | $ | (7,786 | ) | $ | — | $ | — | $ | — | $ | (7,786 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (7,786 | ) | $ | — | $ | — | $ | — | $ | (7,786 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on |
| |||||||||||||||||||||||
Futures Contracts | $ | — | $ | 5,814 | $ | — | $ | — | $ | — | $ | 5,814 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 5,814 | $ | — | $ | — | $ | — | $ | 5,814 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
118
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Credit Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||
U.S. Equity Fund | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Unrealized Appreciation on Futures Contracts¤ | $ | — | $ | 116,237 | $ | — | $ | — | $ | — | $ | 116,237 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 116,237 | $ | — | $ | — | $ | — | $ | 116,237 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on |
| |||||||||||||||||||||||
Futures Contracts | $ | — | $ | (1,124,069 | ) | $ | — | $ | — | $ | — | $ | (1,124,069 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (1,124,069 | ) | $ | — | $ | — | $ | — | $ | (1,124,069 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on |
| |||||||||||||||||||||||
Futures Contracts | $ | — | $ | 187,653 | $ | — | $ | — | $ | — | $ | 187,653 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 187,653 | $ | — | $ | — | $ | — | $ | 187,653 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
U.S. Small Cap Value Fund | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Unrealized Appreciation on Futures Contracts¤ | $ | — | $ | 15,176 | $ | — | $ | — | $ | — | $ | 15,176 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 15,176 | $ | — | $ | — | $ | — | $ | 15,176 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on |
| |||||||||||||||||||||||
Futures Contracts | $ | — | $ | (3,274,890 | ) | $ | — | $ | — | $ | — | $ | (3,274,890 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (3,274,890 | ) | $ | — | $ | — | $ | — | $ | (3,274,890 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on |
| |||||||||||||||||||||||
Futures Contracts | $ | — | $ | 805,546 | $ | — | $ | — | $ | — | $ | 805,546 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 805,546 | $ | — | $ | — | $ | — | $ | 805,546 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
^ | 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, Master Securities Loan Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of OTC derivative transactions, repurchase agreements, reverse repurchase agreements and securities loans. The Master Agreements may include collateral posting terms and set-off 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 set-off and netting 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 an early termination of 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.
119
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
For financial reporting purposes, in 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, reverse repurchase agreements and securities loans held by the Funds at August 31, 2020, 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, 2020:
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 | ||||||||||||
Morgan Stanley & Co. International PLC | $ | 491,821 | $ | — | $ | 491,821 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 491,821 | $ | — | $ | 491,821 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Barclays Bank PLC | $ | 245,338 | $ | — | $ | — | $ | 245,338 | ||||||||
Goldman Sachs International | 558,213 | (301,868 | ) | — | 256,345 | |||||||||||
Morgan Stanley & Co. International PLC | 775,882 | (159,930 | ) | (491,821 | ) | 124,131 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,579,433 | $ | (461,798 | ) | $ | (491,821 | ) | $ | 625,814 | ||||||
|
|
|
|
|
|
|
| |||||||||
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 | $ | 693,922 | $ | (693,922 | ) | $ | — | $ | — | * | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 693,922 | $ | (693,922 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
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 | $ | 139,160 | $ | (139,160 | ) | $ | — | $ | — | * | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 139,160 | $ | (139,160 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
* | The actual collateral received and/or pledged is more than the amount shown. |
120
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts), and number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2020:
Fund Name | Forward Currency Contracts ($) | Futures Contracts ($) | Options (Contracts) | Swap Contracts ($) | ||||||||||||
Emerging Domestic Opportunities Fund | 82,622,129 | 39,924,826 | — | 7,608,156 | ||||||||||||
Emerging Markets Fund | — | 158,551,945 | — | 33,483,645 | ||||||||||||
International Equity Fund | — | 27,634,794 | — | — | ||||||||||||
Risk Premium Fund | — | — | 107 | — | ||||||||||||
Tax-Managed International Equities Fund | — | 195,563 | — | — | ||||||||||||
U.S. Equity Fund | — | 1,781,601 | — | — | ||||||||||||
U.S. Small Cap Value Fund | — | 3,859,656 | — | — |
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 | Cyclical Focus Fund | Emerging Domestic Opportunities Fund | Emerging Markets Fund | International Equity Fund | Quality Fund | Resources Fund | Risk Premium Fund | Tax-Managed International Equities Fund | U.S. Equity Fund | U.S. Small Cap Value Fund | ||||||||||||||||||||||||||||||||||
Management Fee | 0.60%(a) | 0.33% | 0.75% | 0.65%(b) | 0.50% | 0.33% | 0.50% | 0.25%(c) | 0.50% | 0.31% | 0.31% |
(a) | Prior to December 31, 2018, GMO voluntarily agreed to reduce its annual management fee by 0.15%. |
(b) | Prior to June 30, 2020, GMO contractually agreed to reduce its annual management fee from 0.75% to 0.65%. |
(c) | Prior to October 1, 2018, the management fee was 0.45%. |
In addition, each class of shares of certain 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 | Class R6 | Class I | |||||||||||||||||||||
Climate Change Fund | 0.15% | 0.10%* | 0.085%* | 0.055%* | 0.15% | 0.15% | ||||||||||||||||||||||
Cyclical Focus Fund | 0.15%* | 0.10%* | 0.085%* | 0.055% | 0.15%* | 0.15%* | ||||||||||||||||||||||
Emerging Domestic Opportunities Fund | 0.22% | 0.15% | 0.105%* | 0.085% | 0.055%* | 0.22%* | 0.22%* | |||||||||||||||||||||
Emerging Markets Fund | 0.22% | 0.15% | 0.105%* | 0.085% | 0.055% | 0.22% | 0.22% | |||||||||||||||||||||
International Equity Fund | 0.22% | 0.15% | 0.09% | 0.22%* | 0.22%* | |||||||||||||||||||||||
Quality Fund | 0.15% | 0.105% | 0.085%* | 0.055% | 0.15% | 0.15% | ||||||||||||||||||||||
Resources Fund | 0.15% | 0.10% | 0.085%* | 0.055%* | ||||||||||||||||||||||||
Risk Premium Fund | 0.15% | 0.10%* | 0.085%* | 0.055% | 0.15%* | 0.15%* | ||||||||||||||||||||||
Tax-Managed International Equities Fund | 0.15% | 0.15%* | 0.15%* | |||||||||||||||||||||||||
U.S. Equity Fund | 0.15% | 0.10%* | 0.085%* | 0.055% | 0.15%* | 0.15%* | ||||||||||||||||||||||
U.S. Small Cap Value Fund | 0.15%* | 0.10%* | 0.085%* | 0.055% | 0.15%* | 0.15%* |
* | Class is offered but has no shareholders as of August 31, 2020. |
121
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
For each Fund, other than Climate Change Fund, for the period prior to September 25, 2018, Resources Fund, and U.S. Small Cap Value Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). For Climate Change Fund, for the period prior to September 25, 2018, Resources Fund and U.S. Small Cap Value 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.
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 (excluding, in the case of Class I shares, any amounts paid for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries in respect of Class I shareholders), 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 Climate Change Fund, for the period prior to September 25, 2018, Resources Fund and U.S Small Cap Value 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 that the Funds’ “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 the period starting September 25, 2018, GMO has contractually agreed to waive its fees and/or reimburse GMO Climate Change Fund (the “Fund”) to the extent that the Fund’s total annual fund operating expenses (after applying all other contractual and voluntary expense limitation arrangements in effect at the time) exceed the following amounts for each class of shares, in each case representing the average daily net assets for the indicated class of shares: 0.77% for Class III shares; 0.72% for Class IV shares; 0.705% for Class V shares; 0.675% for Class VI shares; 0.77% for Class R6 shares; and 0.77% for Class I shares (each, an “Expense Cap”). Fees and expenses of the “non-interested” Trustees and legal counsel and independent compliance consultant to the “non-interested” Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses), taxes, litigation and indemnification expenses, payments out of assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund’s business, are excluded from the Expense Cap.
For the period ended August 31, 2020, GMO did not recoup any previously recorded waivers and/or reimbursements.
As of August 31, 2020, there were no waivers and/or reimbursements subject to possible future recoupment.
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.
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, 0.02% for Class VI shares, 0.20% for Class R6 shares and 0.20% for Class I shares.
122
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
These contractual waivers and reimbursements will continue through at least June 30, 2021 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.
GMO has contractually agreed to reimburse Class I assets of each Fund (or waive its fees) to the extent that payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries from Class I assets exceed 0.10% of such Fund’s average daily net assets attributable to Class I assets. Effective January 27 2020, GMO has contractually agreed to reimburse Class I assets for Emerging Markets Fund and Emerging Domestic Opportunities Fund to the extent payments for sub-transfer agency, recordkeeping and other administrative services from Class I assets exceed 0.05% and 0.03%, respectively, of such Fund’s average daily net assets attributable to Class I assets.
Sub-Transfer Agent/Recordkeeping Payments
Class II, III, IV, V, VI and R6 shares are not subject to payments to third parties for sub-transfer agent, recordkeeping and other administrative services. GMO may, on a case-by-case basis, make payments for sub-transfer agent, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders of these classes. Any such payments are made by GMO out of its own resources and are not an additional charge to a Fund or the holders of Class II, III, IV, V, VI or Class R6 shares. These payments may create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.
Class I shares are subject to payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to holders of Class I shares through an account maintained by a third party platform or intermediary. These services are not primarily intended to result in the sale of Fund shares but instead to provide ongoing services with respect to holders Class I shares through a third-party platform or intermediary. Because payments for sub-transfer agency, recordkeeping and other administrative services are paid out of a Fund’s Class I assets on an ongoing basis, over time they will increase the cost of an investment in Class I shares. In addition, GMO may, on a case-by-case basis, make payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders of Class I shares. Any such payments are made by GMO out of its own resources and are not an additional charge to a Fund or the holders of Class I shares. These payments create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.
The Funds’ portion of the 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, 2020 is shown in the table below and is included in the Statements of Operations.
Fund Name | Independent Trustees and ($) | Agent unaffiliated with GMO ($) | ||||||
Climate Change Fund | 1,970 | 184 | ||||||
Cyclical Focus Fund | 1,129 | 118 | ||||||
Emerging Domestic Opportunities Fund | 15,297 | 1,608 | ||||||
Emerging Markets Fund | 49,946 | 5,149 | ||||||
International Equity Fund | 47,986 | 4,995 | ||||||
Quality Fund | 107,122 | 10,906 | ||||||
Resources Fund | 8,342 | 861 | ||||||
Risk Premium Fund | 300 | 19 | ||||||
Tax-Managed International Equities Fund | 756 | 34 | ||||||
U.S. Equity Fund | 7,377 | 752 | ||||||
U.S. Small Cap Value Fund | 6,696 | 709 |
Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2020, none of the Funds had annualized indirect fees and expenses greater than 0.01% of the Fund’s average daily net assets.
123
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the period ended August 31, 2020, the Funds did not engage in these transactions.
6. | Purchases and sales of securities |
Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the period ended August 31, 2020 are noted in the table below:
Purchases ($) | Purchases ($) | Sales ($) | Sales ($) | |||||||||||||
Fund Name | U.S. Government Securities | Investments (Non-U.S. Government Securities) | U.S. Government Securities | Investments (Non-U.S. Government Securities) | ||||||||||||
Climate Change Fund | — | 94,485,043 | — | 98,069,187 | ||||||||||||
Cyclical Focus Fund | — | 142,308,900 | — | 26,311,543 | ||||||||||||
Emerging Domestic Opportunities Fund | — | 1,048,062,281 | 10,000,166 | 1,140,342,217 | ||||||||||||
Emerging Markets Fund | — | 1,328,876,989 | 6,004,651 | 1,647,996,615 | ||||||||||||
International Equity Fund | — | 528,132,547 | — | 903,366,058 | ||||||||||||
Quality Fund | 20,392,560 | 1,229,696,472 | 62,350,281 | 1,352,030,532 | ||||||||||||
Resources Fund | 25,473,140 | 261,216,770 | 5,085,195 | 248,748,407 | ||||||||||||
Risk Premium Fund | 26,604,063 | — | 32,025,448 | — | ||||||||||||
Tax-Managed International Equities Fund | — | 18,046,653 | — | 17,668,912 | ||||||||||||
U.S. Equity Fund | — | 150,483,665 | — | 262,502,251 | ||||||||||||
U.S. Small Cap Value Fund | — | 231,442,751 | — | 212,078,475 |
Included in the table above are cost of purchases and proceeds from sales of securities for in-kind transactions, excluding short-term investments, if any, in accordance with U.S. GAAP for the period ended August 31, 2020. In-kind purchases and sales of securities, including short-term investments, if any, and net realized gains/(losses) attributed to redemption in-kind transactions, if any, are noted in the table below:
Fund Name | In-Kind Purchases ($) | In-Kind Sales ($) | Net realized gains/(losses) attributed to redemption in-kind transactions ($) | |||||||||
Quality Fund | 27,544,982 | — | — |
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.
124
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
8. | Principal shareholders and related parties as of August 31, 2020 |
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 | 2 | † | 25.10% | 9.59% | 10.20% | |||||||||||
Cyclical Focus Fund | 2 | # | 91.90% | 0.95% | 99.05% | |||||||||||
Emerging Domestic Opportunities Fund* | 1 | 53.01% | 1.21% | 1.23% | ||||||||||||
Emerging Markets Fund* | 2 | # | 23.71% | 0.41% | 68.24% | |||||||||||
International Equity Fund | 4 | § | 61.94% | 0.01% | 88.60% | |||||||||||
Quality Fund | — | — | 0.29% | 9.11% | ||||||||||||
Resources Fund | 2 | † | 86.01% | 1.78% | 39.40% | |||||||||||
Risk Premium Fund | 1 | ‡ | 89.11% | 0.03% | 97.18% | |||||||||||
Tax-Managed International Equities Fund | 1 | 77.14% | 0.20% | — | ||||||||||||
U.S. Equity Fund | 3 | # | 65.65% | — | 93.01% | |||||||||||
U.S. Small Cap Value Fund | 4 | § | 81.45% | — | 100.00% |
* | The Fund’s outstanding shares were owned by more than 10 shareholders as of August 31, 2020. |
† | 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. |
§ | Three of the shareholders are other funds of the Trust. |
9. | Share transactions |
The Declaration of Trust permits each Fund to issue an unlimited number of shares of beneficial interest (without par value). Transactions in the Funds’ shares were as follows:
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Climate Change Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 227,746 | $ | 4,584,458 | 1,335,895 | $ | 29,627,307 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 107,172 | 2,347,071 | 208,829 | 4,878,287 | ||||||||||||
Shares repurchased | (529,437 | ) | (9,692,546 | ) | (1,258,218 | ) | (27,634,266 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (194,519 | ) | $ | (2,761,017 | ) | 286,506 | $ | 6,871,328 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6:* |
| |||||||||||||||
Shares sold | 309,450 | $ | 6,701,827 | 50,513 | $ | 1,239,895 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 6,539 | 143,006 | — | — | ||||||||||||
Shares repurchased | (56,696 | ) | (1,083,011 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 259,293 | $ | 5,761,822 | 50,513 | $ | 1,239,895 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
125
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Climate Change Fund (continued) | ||||||||||||||||
Class I:** |
| |||||||||||||||
Shares sold | 94,512 | $ | 2,126,071 | 43,031 | $ | 1,000,842 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 2,402 | 52,552 | — | — | ||||||||||||
Shares repurchased | (1,399 | ) | (30,613 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 95,515 | $ | 2,148,010 | 43,031 | $ | 1,000,842 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Cyclical Focus Fund |
| |||||||||||||||
Class VI:*** |
| |||||||||||||||
Shares sold | 5,737,820 | $ | 115,384,646 | |||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 5,737,820 | $ | 115,384,646 | |||||||||||||
|
|
|
| |||||||||||||
Emerging Domestic Opportunities Fund | ||||||||||||||||
Class II: |
| |||||||||||||||
Shares sold | 987,861 | $ | 21,031,000 | 289,248 | $ | 6,614,135 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 664,068 | 15,015,951 | ||||||||||||
Shares repurchased | (2,063,704 | ) | (41,499,147 | ) | (8,745,485 | ) | (191,639,350 | ) | ||||||||
Purchase premiums | — | — | — | 4,323 | ||||||||||||
Redemption fees | — | — | — | 847,788 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,075,843 | ) | $ | (20,468,147 | ) | (7,792,169 | ) | $ | (169,157,153 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class III: |
| |||||||||||||||
Shares sold | 262,561 | $ | 5,182,564 | 77,711 | $ | 1,718,594 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 227,211 | 5,137,598 | ||||||||||||
Shares repurchased | (4,650,635 | ) | (88,052,787 | ) | (3,609,060 | ) | (78,781,535 | ) | ||||||||
Purchase premiums | — | — | — | 1,876 | ||||||||||||
Redemption fees | — | — | — | 350,461 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (4,388,074 | ) | $ | (82,870,223 | ) | (3,304,138 | ) | $ | (71,573,006 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class IV:‡ |
| |||||||||||||||
Shares issued to shareholders in reinvestment of distributions | — | $ | — | |||||||||||||
Shares repurchased | (5,133,511 | ) | (114,489,235 | ) | ||||||||||||
Purchase premiums | — | 189 | ||||||||||||||
Redemption fees | — | 9,656 | ||||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | (5,133,511 | ) | $ | (114,479,390 | ) | |||||||||||
|
|
|
| |||||||||||||
Class V: |
| |||||||||||||||
Shares sold | 138,376 | $ | 3,000,000 | 4,069,005 | $ | 94,765,020 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 1,207,239 | 27,262,953 | ||||||||||||
Shares repurchased | (382,280 | ) | (7,436,652 | ) | (13,489,760 | ) | (301,571,976 | ) | ||||||||
Purchase premiums | — | — | — | 6,412 | ||||||||||||
Redemption fees | — | — | — | 1,090,567 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (243,904 | ) | $ | (4,436,652 | ) | (8,213,516 | ) | $ | (178,447,024 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
126
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Emerging Markets Fund | ||||||||||||||||
Class II: |
| |||||||||||||||
Shares sold | 867,699 | $ | 26,029,770 | 2,591,221 | $ | 84,009,094 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 48,708 | 1,551,843 | 645,799 | 21,903,810 | ||||||||||||
Shares repurchased | (3,380,195 | ) | (102,381,879 | ) | (4,313,640 | ) | (141,674,686 | ) | ||||||||
Purchase premiums | — | — | — | 51,363 | ||||||||||||
Redemption fees | — | — | — | 223,821 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,463,788 | ) | $ | (74,800,266 | ) | (1,076,620 | ) | $ | (35,486,598 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class III: |
| |||||||||||||||
Shares sold | 2,886,137 | $ | 90,418,477 | 3,289,119 | $ | 107,742,551 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 30,895 | 987,393 | 138,763 | 4,718,700 | ||||||||||||
Shares repurchased | (402,581 | ) | (12,470,950 | ) | (1,201,886 | ) | (38,674,913 | ) | ||||||||
Purchase premiums | — | — | — | 29,976 | ||||||||||||
Redemption fees | — | — | — | 127,453 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,514,451 | $ | 78,934,920 | 2,225,996 | $ | 73,943,767 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class V:‡‡ |
| |||||||||||||||
Shares sold | — | $ | — | 6,704,011 | $ | 210,170,738 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 22,817 | 721,479 | — | — | ||||||||||||
Shares repurchased | (2,472,464 | ) | (75,000,000 | ) | — | — | ||||||||||
Purchase premiums | — | — | — | — | ||||||||||||
Redemption fees | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,449,647 | ) | $ | (74,278,521 | ) | 6,704,011 | $ | 210,170,738 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI: |
| |||||||||||||||
Shares sold | 6,929,742 | $ | 198,143,407 | 7,402,013 | $ | 246,827,168 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 348,501 | 11,019,598 | 3,573,268 | 120,190,006 | ||||||||||||
Shares repurchased | (17,177,480 | ) | (501,448,922 | ) | (23,395,592 | ) | (757,169,808 | ) | ||||||||
Purchase premiums | — | — | — | 277,115 | ||||||||||||
Redemption fees | — | — | — | 1,196,746 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (9,899,237 | ) | $ | (292,285,917 | ) | (12,420,311 | ) | $ | (388,678,773 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R6:**** |
| |||||||||||||||
Shares sold | 748,513 | $ | 19,846,104 | |||||||||||||
Shares issued to shareholders in reinvestment of distributions | 3,669 | 116,849 | ||||||||||||||
Shares repurchased | (28,400 | ) | (842,389 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 723,782 | $ | 19,120,564 | |||||||||||||
|
|
|
| |||||||||||||
Class I:***** |
| |||||||||||||||
Shares sold | 86,653 | $ | 2,538,651 | 525,691 | $ | 17,411,530 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 2,432 | 77,455 | — | — | ||||||||||||
Shares repurchased | (75,104 | ) | (2,197,358 | ) | (211 | ) | (6,910 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 13,981 | $ | 418,748 | 525,480 | $ | 17,404,620 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
127
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
International Equity Fund | ||||||||||||||||
Class II: |
| |||||||||||||||
Shares issued to shareholders in reinvestment of distributions | 124 | $ | 2,441 | 13,808 | $ | 300,245 | ||||||||||
Shares repurchased | (308,564 | ) | (5,424,568 | ) | (375,731 | ) | (7,877,185 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (308,440 | ) | $ | (5,422,127 | ) | (361,923 | ) | $ | (7,576,940 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class III: |
| |||||||||||||||
Shares sold | 3,126,365 | $ | 53,502,545 | 2,042,255 | $ | 42,764,756 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 55,809 | 1,108,376 | 876,701 | 19,307,608 | ||||||||||||
Shares repurchased | (4,316,100 | ) | (81,449,145 | ) | (5,358,133 | ) | (115,630,443 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,133,926 | ) | $ | (26,838,224 | ) | (2,439,177 | ) | $ | (53,558,079 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: |
| |||||||||||||||
Shares sold | 9,272,950 | $ | 156,823,684 | 11,741,908 | $ | 249,651,330 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 327,623 | 6,496,771 | 4,679,297 | 102,794,963 | ||||||||||||
Shares repurchased | (33,168,770 | ) | (621,820,143 | ) | (43,099,517 | ) | (902,931,022 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (23,568,197 | ) | $ | (458,499,688 | ) | (26,678,312 | ) | $ | (550,484,729 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Quality Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 13,918,432 | (a) | $ | 315,016,010 | (a) | 24,208,061 | (b) | $ | 587,758,048 | (b) | ||||||
Shares issued to shareholders in reinvestment of distributions | 4,528,212 | 106,277,147 | 9,288,097 | 227,503,802 | ||||||||||||
Shares repurchased | (20,219,158 | ) | (464,500,090 | ) | (30,748,307 | ) | (748,409,967 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,772,514 | ) | $ | (43,206,933 | ) | 2,747,851 | $ | 66,851,883 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: |
| |||||||||||||||
Shares sold | — | $ | — | 5,393,298 | $ | 137,744,836 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,279,688 | 30,098,264 | 3,200,998 | 78,540,885 | ||||||||||||
Shares repurchased | (3,020,215 | ) | (65,500,000 | ) | (22,245,865 | )(c) | (531,451,811 | )(c) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,740,527 | ) | $ | (35,401,736 | ) | (13,651,569 | ) | $ | (315,166,090 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class VI: |
| |||||||||||||||
Shares sold | 7,495,610 | $ | 161,464,685 | 5,679,207 | $ | 137,503,394 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 3,406,691 | 79,955,027 | 7,389,652 | 180,990,035 | ||||||||||||
Shares repurchased | (8,340,402 | ) | (189,794,685 | ) | (21,809,752 | ) | (528,211,553 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,561,899 | $ | 51,625,027 | (8,740,893 | ) | $ | (209,718,124 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6:****** |
| |||||||||||||||
Shares sold | 589,764 | $ | 14,611,245 | 3,486,855 | $ | 87,903,607 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,558 | 36,554 | — | — | ||||||||||||
Shares repurchased | (2,087 | ) | (51,747 | ) | (87,109 | ) | (2,238,685 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 589,235 | $ | 14,596,052 | 3,399,746 | $ | 85,664,922 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I:******* |
| |||||||||||||||
Shares sold | 2,874,979 | $ | 64,800,948 | 3,566,561 | $ | 88,681,940 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 214,780 | 5,034,448 | 71,643 | 1,757,400 | ||||||||||||
Shares repurchased | (814,028 | ) | (19,534,694 | ) | (116,810 | ) | (2,898,788 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,275,731 | $ | 50,300,702 | 3,521,394 | $ | 87,540,552 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
128
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Resources Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 3,263,751 | $ | 52,444,564 | 2,761,934 | $ | 55,016,482 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 3,386 | 59,620 | 306,986 | 6,449,418 | ||||||||||||
Shares repurchased | (252,060 | ) | (4,750,852 | ) | (302,137 | ) | (6,067,221 | ) | ||||||||
Purchase premiums | — | — | — | 87,946 | ||||||||||||
Redemption fees | — | — | — | 2,400 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 3,015,077 | $ | 47,753,332 | 2,766,783 | $ | 55,489,025 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: |
| |||||||||||||||
Shares sold | 413,836 | $ | 5,556,803 | 382,045 | $ | 7,856,670 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 5,013 | 88,029 | 509,639 | 10,674,039 | ||||||||||||
Shares repurchased | (1,864,964 | ) | (32,387,534 | ) | (285,769 | ) | (5,818,904 | ) | ||||||||
Purchase premiums | — | — | — | 147,126 | ||||||||||||
Redemption fees | — | — | — | 4,202 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,446,115 | ) | $ | (26,742,702 | ) | 605,915 | $ | 12,863,133 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Risk Premium Fund |
| |||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | — | $ | — | 91,671 | $ | 2,377,913 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,419 | 28,853 | 1,831 | 50,962 | ||||||||||||
Shares repurchased | (89,281 | ) | (1,953,516 | ) | (405,479 | ) | (11,210,275 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (87,862 | ) | $ | (1,924,663 | ) | (311,977 | ) | $ | (8,781,400 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class VI: |
| |||||||||||||||
Shares sold | — | $ | — | 608,265 | $ | 15,636,365 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 32,501 | 655,254 | 590,599 | 16,150,902 | ||||||||||||
Shares repurchased | (709,203 | ) | (14,618,788 | ) | (16,562,272 | ) | (453,097,394 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (676,702 | ) | $ | (13,963,534 | ) | (15,363,408 | ) | $ | (421,310,127 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Tax-Managed International Equities Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 1,805,117 | $ | 20,617,209 | 722 | $ | 10,001 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,073 | 14,532 | 61,454 | 905,073 | ||||||||||||
Shares repurchased | (1,710,044 | ) | (21,242,470 | ) | (918,834 | ) | (13,006,197 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 96,146 | $ | (610,729 | ) | (856,658 | ) | $ | (12,091,123 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
U.S. Equity Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 247,486 | $ | 2,597,333 | 280,647 | $ | 3,693,248 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 509,740 | 5,928,276 | 959,250 | 12,501,419 | ||||||||||||
Shares repurchased | (424,718 | ) | (5,165,926 | ) | (4,232,533 | ) | (55,999,328 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 332,508 | $ | 3,359,683 | (2,992,636 | ) | $ | (39,804,661 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
129
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
U.S. Equity Fund (continued) | ||||||||||||||||
Class VI: |
| |||||||||||||||
Shares sold | 1,442,942 | $ | 15,932,280 | 765,484 | $ | 9,757,003 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,657,599 | 19,095,545 | 4,277,949 | 55,400,367 | ||||||||||||
Shares repurchased | (11,115,612 | ) | (128,704,871 | ) | (32,517,831 | ) | (433,954,549 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (8,015,071 | ) | $ | (93,677,046 | ) | (27,474,398 | ) | $ | (368,797,179 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
U.S. Small Cap Value Fund | ||||||||||||||||
Class VI:******** |
| |||||||||||||||
Shares sold | 4,655,166 | $ | 65,707,944 | 26,882,418 | (d) | $ | 541,929,344 | (d) | ||||||||
Shares issued to shareholders in reinvestment of distributions | 54,672 | 864,907 | 177,333 | 3,801,218 | ||||||||||||
Shares repurchased | (3,326,921 | ) | (52,408,798 | ) | (4,053,702 | ) | (81,541,924 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,382,917 | $ | 14,164,053 | 23,006,049 | $ | 464,188,638 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
* | The period under the heading “Year Ended February 29, 2020” represents the period from January 16, 2020 (commencement of operations) through February 29, 2020. |
** | The period under the heading “Year Ended February 29, 2020” represents the period from February 25, 2020 (commencement of operations) through February 29, 2020. |
*** | The period under the heading “Six Months Ended August 31, 2020 (Unaudited)” represents the period from May 12, 2020 (commencement of operations) through August 31, 2020. |
**** | The period under the heading “Six Months Ended August 31, 2020 (Unaudited)” represents the period from March 31, 2020 (commencement of operations) through August 31, 2020. |
***** | The period under the heading “Year Ended February 29, 2020” represents the period from January 14, 2020 (commencement of operations) through February 29, 2020. |
****** | The period under the heading “Year Ended February 29, 2020” represents the period from November 12, 2019 (commencement of operations) through February 29, 2020. |
******* | The period under the heading “Year Ended February 29, 2020” represents the period from September 26, 2019 (commencement of operations) through February 29, 2020. |
******** | The period under the heading “Year Ended February 29, 2020” represents the period from July 2, 2019 (commencement of operations) through February 29, 2020. |
‡ | For the period June 25, 2019 to February 29, 2020, Class IV had no shareholders. |
‡‡ | For the period February 27, 2019 to February 25, 2020, Class V had no shareholders. The period under the heading “Year Ended February 29, 2020” represents the period from February 26, 2020 through February 29, 2020. |
(a) | 1,161,256 shares and $27,544,982 were purchased in-kind. |
(b) | 838,547 shares and $7,413,522 were purchased in-kind. |
(c) | 7,413,522 shares and $165,586,344 were redeemed in-kind. |
(d) | 3,127,405 shares and $62,548,093 represented a contribution of assets by its sole shareholder to launch U.S. Small Cap Value Fund on July 2, 2019. |
130
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (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 Funds’ transactions involving companies that are or were affiliates during the period ended August 31, 2020 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 | $ | 8,545,006 | $ | 45,059,148 | $ | 47,835,694 | $ | 3,608 | ** | $ | 25,397 | $ | (14,867 | ) | $ | 5,778,990 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Cyclical Focus Fund | ||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | — | $ | 1,300,000 | $ | 650,000 | $ | 302 | $ | — | $ | — | $ | 650,000 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Emerging Domestic Opportunities Fund | ||||||||||||||||||||||||||||
CMI Ltd | $ | 325,809 | $ | — | $ | 326,513 | $ | — | $ | (3,310,713 | ) | $ | 3,311,417 | $ | — | # | ||||||||||||
Gayatri Projects Ltd | 3,380,455 | — | 931,996 | — | (1,060,816 | ) | (86,206 | ) | — | # | ||||||||||||||||||
GMO U.S. Treasury Fund | 18,615,329 | 118,530,271 | 117,050,000 | 24,662 | 85,327 | (17,089 | ) | 20,163,838 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Totals | $ | 22,321,593 | $ | 118,530,271 | $ | 118,308,509 | $ | 24,662 | $ | (4,286,202 | ) | $ | 3,208,122 | $ | 20,163,838 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Emerging Markets Fund | ||||||||||||||||||||||||||||
Anilana Hotels & Properties Ltd | $ | 485,306 | $ | — | $ | — | $ | — | $ | — | $ | 127,359 | $ | 612,665 | ||||||||||||||
Gayatri Highways Ltd | 49,629 | — | 53,333 | — | (1,353,564 | ) | 1,357,268 | — | # | |||||||||||||||||||
Gayatri Projects Ltd | 5,130,069 | — | — | — | — | (1,523,467 | ) | 3,606,602 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Totals | $ | 5,665,004 | $ | — | $ | 53,333 | $ | — | $ | (1,353,564 | ) | $ | (38,840 | ) | $ | 4,219,267 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Quality Fund | ||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 15,768,140 | $ | — | $ | — | $ | 24,505 | $ | — | $ | 62,821 | $ | 15,830,961 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Resources Fund | ||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 1,832,863 | $ | 12,190,500 | $ | 14,026,825 | $ | — | $ | 10,764 | $ | (7,302 | ) | $ | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Tax-Managed International Equities Fund | ||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 368,696 | $ | 625,000 | $ | 420,000 | $ | 628 | $ | 1,310 | $ | 159 | $ | 575,165 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
U.S. Equity Fund | ||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 1,469,983 | $ | 30,000,000 | $ | 29,180,000 | $ | 5,309 | $ | 13,242 | $ | (2,929 | ) | $ | 2,300,296 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
U.S. Small Cap Value Fund |
| |||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 6,280,467 | $ | 22,500,000 | $ | 28,033,000 | $ | 3,661 | $ | 28,629 | $ | (15,999 | ) | $ | 760,097 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
* | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2020 through August 31, 2020. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2021. |
** | Excludes income from investment of cash collateral from securities lending in GMO U.S. Treasury Fund. Income (net of fee rebates paid to the borrower and fees paid to the lending agent) from investment of cash collateral from securities lending in GMO U.S. Treasury Fund was $10,247 in Climate Change Fund during the period. |
# | Security is no longer an affiliate at period end. |
131
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
11. | Subsequent events |
On September 14, 2020, Form N-14 filed with the SEC by Climate Change Series Fund, Emerging Domestic Opportunities Series Fund, Emerging Markets Series Fund, Quality Series Fund and Resources Series Fund became effective. The combined proxy statement/prospectus outlines the proposal for a reorganization of the series of GMO Series Trust listed above to be reorganized with and into the corresponding series of GMO Trust.
In October 2020, GMO received notification from a shareholder of their intent to redeem their investment at the end of October 2020. This redemption would impact GMO Risk Premium Fund by approximately 25%.
132
GMO Trust Funds
Board Review of Investment Management Agreement
August 31, 2020 (Unaudited)
GMO Climate Change Fund
Approval of renewal of management agreement for GMO Climate Change Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO. In deciding whether to approve the management agreement, 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 14, 2020, the Trustees discussed at length with representatives of GMO 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 GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.
The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO 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 that fee.
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its
133
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2020 (Unaudited)
reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO 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 GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific 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 Cyclical Focus Fund
Approval of initial management agreement for GMO Cyclical Focus Fund (the “Fund”). At a meeting on April 14, 2020, the Trustees of GMO Trust (the “Trust”) approved for an initial two-year term the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund. In approving the initial 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”).
At a meeting on April 14, 2020, the Trustees discussed materials provided by GMO for purposes of considering GMO’s proposal to establish the Fund as a new series of the Trust and a proposed management agreement between the Trust, on behalf of the Fund, and GMO. During this meeting, the Trustees met with a member of the investment division of GMO that was expected to be primarily responsible for the investment management of the Fund.
Since the Fund had not yet commenced operations, the Trustees were unable to consider its investment performance. The Trustees therefore considered the performance of the other GMO funds advised by the investment division that would advise the Fund.
The Trustees considered the Fund’s estimated expense ratio (i.e. annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by GMO to have similar investment characteristics. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees to be paid to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information provided by GMO comparing the management fee to be paid by the Fund to the management fee of a GMO fund pursuing similar investment strategies that is advised by the investment division that would advise the Fund, and funds managed by other managers determined by GMO to have similar investment characteristics. The Trustees also considered the shareholder servicing fees to be charged by GMO to different share classes of the Fund in light of the services to be provided to each class by GMO.
The Trustees also considered that the non-investment management services to be provided by GMO to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services, were the same as the services provided by GMO under its current management agreements with other GMO funds. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
Since the Fund had not yet commenced operations, no information regarding GMO’s profitability with respect to the Fund was available to the Trustees. The Trustees did, however, consider information provided to them by GMO regarding its profits from managing the Trust overall. The Trustees also considered how the proposed fees compared to fees paid by other GMO funds and took note of “fallout benefits” realized by Manager that would result from its management of the Fund and the other GMO funds. The Trustees also considered possible alternative fee arrangements. As the Fund had not yet commenced operations, the Trustees did not consider possible economies of scale to GMO associated with managing the Fund.
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel, and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO would employ in managing the Fund, GMO’s organization,
134
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2020 (Unaudited)
its reputation, its risk management policies, and other matters relating to GMO and the nature and quality of its services to be provided to the Fund.
After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s initial management agreement, that the nature, extent and quality of services to be provided supported their approval of the Fund’s management agreement and that the fee to be charged under that agreement was reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Trustees who are not “interested persons” of the Trust voting separately, and then all Trustees voting together, approved the Fund’s initial management agreement.
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 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”), and the sub-advisory agreement among GMO, GMO Singapore Pte. Limited (“GMO Singapore”) and the Trust, on behalf of the Fund.
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and sub-advisory agreement, meeting both privately and with representatives of GMO. In deciding whether to approve the management agreement and sub-advisory agreement, 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 14, 2020, the Trustees discussed at length with representatives of GMO 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 GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO fund whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service and to the fees shown on GMO’s fee schedule for its other pooled investment vehicles and separately managed accounts. The Trustees noted the differences in the services provided by GMO to the Fund and to those other vehicles and accounts, as well as differences in the business and other risks borne by GMO in managing the Fund relative to the risks borne by GMO in managing those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO. In addition, the Trustees reviewed the fee payable by GMO to GMO Singapore under the Fund’s sub-advisory agreement and considered the services that GMO Singapore provided the Fund.
135
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2020 (Unaudited)
The Trustees noted that GMO Singapore’s sub-advisory fee was paid by GMO out of GMO’s management fee and not directly by the Fund.
The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO 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 that fee.
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO 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 GMO’s services to the Fund supported their approval of the Fund’s management and sub-advisory agreements and that the fees charged under those agreements were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific 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 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”) , and the sub-advisory agreement among GMO, GMO Singapore Pte. Limited (“GMO Singapore”) and the Trust, on behalf of the Fund.
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and sub-advisory agreement, meeting both privately and with representatives of GMO. In deciding whether to approve the management agreement and sub-advisory agreement, 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 14, 2020, the Trustees discussed at length with representatives of GMO 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 GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO fund whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund
136
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2020 (Unaudited)
pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service and to the fees shown on GMO’s fee schedule for its other pooled investment vehicles and separately managed accounts. The Trustees noted the differences in the services provided by GMO to the Fund and to those other vehicles and accounts, as well as differences in the business and other risks borne by GMO in managing the Fund relative to the risks borne by GMO in managing those other vehicles and accounts. In considering the Fund’s management fees, the Trustees took into account GMO’s contractual agreement to reduce its management fee from 0.75% to 0.65% of the Fund’s average daily net asset value. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO. In addition, the Trustees reviewed the fee payable by GMO to GMO Singapore under the Fund’s sub-advisory agreement and considered the services that GMO Singapore provided the Fund. The Trustees noted that GMO Singapore’s sub-advisory fee was paid by GMO out of GMO’s management fee and not directly by the Fund.
The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO 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 that fee.
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO 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 GMO’s services to the Fund supported their approval of the Fund’s management and sub-advisory agreements and that the fees charged under those agreements were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific 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.
137
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2020 (Unaudited)
GMO International Equity Fund
Approval of renewal of management agreement for GMO International Equity Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO. In deciding whether to approve the management agreement, 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 14, 2020, the Trustees discussed at length with representatives of GMO 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 GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service and to the fees shown on GMO’s fee schedule for its and separately managed accounts. The Trustees noted the differences in the services provided by GMO to the Fund and to those accounts, as well as differences in the business and other risks borne by GMO in managing the Fund relative to the risks borne by GMO in managing those accounts. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.
The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO 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 that fee.
138
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2020 (Unaudited)
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO 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 GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific 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 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO. In deciding whether to approve the management agreement, 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 14, 2020, the Trustees discussed at length with representatives of GMO 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 GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service and to the fees shown on GMO’s fee schedule for its other pooled investment vehicles and separately managed accounts. The Trustees noted the differences in the services provided by GMO to the Fund and to those other vehicles and accounts, as well as differences in the business and other risks borne by GMO in managing the Fund relative to the risks borne by GMO in managing those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.
139
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2020 (Unaudited)
The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO 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 that fee.
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO 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 GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific 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 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO. In deciding whether to approve the management agreement, 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 14, 2020, the Trustees discussed at length with representatives of GMO 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 GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.
140
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2020 (Unaudited)
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.
The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO 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 that fee.
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO 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 GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific 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 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO. In deciding whether to approve the management agreement, 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 14, 2020, the Trustees discussed at length with representatives of GMO 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 GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
141
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2020 (Unaudited)
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s management fees, the Trustees took into account GMO’s contractual agreement to reduce its management fee from 0.45% to 0.25% of the Fund’s average daily net asset value. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.
The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO 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 that fee.
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO 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 GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO U.S. Equity Fund
Approval of renewal of management agreement for GMO U.S. Equity Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
142
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2020 (Unaudited)
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO. In deciding whether to approve the management agreement, 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 14, 2020, the Trustees discussed at length with representatives of GMO 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 GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.
The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO 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 that fee.
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO 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 GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.
143
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2020 (Unaudited)
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific 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. Small Cap Value Fund
Approval of renewal of management agreement for GMO U.S. Small Cap Value Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO. In deciding whether to approve the management agreement, 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 14, 2020, the Trustees discussed at length with representatives of GMO 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 GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.
The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO 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 that fee.
144
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2020 (Unaudited)
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO 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 GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific 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.
145
GMO Trust Funds
Liquidity Risk Management Program
August 31, 2020 (Unaudited)
Rule 22e-4 under the Investment Company Act of 1940, as amended, requires open-end registered investment companies (other than money market funds) to adopt and implement a written liquidity risk management program that is reasonably designed to assess and manage liquidity risk. Each Fund has adopted a Liquidity Risk Management Program (the “Program”) that is designed to assess and manage liquidity risk, defined as the risk that the Fund could not meet redemption requests without significant dilution of the remaining shareholders’ interests in the Fund. The Program includes the following elements, among others:
• | Monitoring of factors material to liquidity risk for each Fund; |
• | Classification of each Fund’s portfolio investments into one of four liquidity categories: highly liquid, moderately liquid, less liquid, and illiquid; |
• | Oversight of third parties providing services in support of the Program; |
• | Determination and review of a highly liquid investment minimum for any Fund that does not primarily hold assets that are highly liquid investments; |
• | A restriction on each Fund acquiring an illiquid investment if immediately after the acquisition the Fund would have more than 15% of its net assets invested in illiquid investments; |
• | Periodic reporting to the Board of Trustees, including a written report at least annually that addresses the operation of the Program and assesses its adequacy and effectiveness. |
The GMO Trust Board of Trustees reviewed a written report from GMO dated April 24, 2020 addressing the Program’s operation, adequacy and effectiveness.
146
GMO Trust Funds
August 31, 2020 (Unaudited)
Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2020.
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, 2020 through August 31, 2020.
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, 2020 | Ending Account Value August 31, 2020 | Expenses Paid During the Period* | Beginning Account Value March 1, 2020 | Ending Account Value August 31, 2020 | Expenses Paid During the Period* | Annualized Expense Ratio | ||||||||||||||||||||||
Climate Change Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,148.10 | $4.17 | $1,000.00 | $1,021.32 | $3.92 | 0.77% | |||||||||||||||||||||
Class R6 | $1,000.00 | $1,146.90 | $4.17 | $1,000.00 | $1,021.30 | $3.92 | 0.77% | |||||||||||||||||||||
Class I | $1,000.00 | $1,147.20 | $4.71 | $1,000.00 | $1,020.80 | $4.43 | 0.87% | |||||||||||||||||||||
Cyclical Focus Fund(a) |
| |||||||||||||||||||||||||||
Class VI | $1,000.00 | $1,190.00 | $1.30 | $1,000.00 | $1,023.24 | $1.99 | 0.39% | |||||||||||||||||||||
Emerging Domestic Opportunities Fund |
| |||||||||||||||||||||||||||
Class II | $1,000.00 | $1,132.50 | $5.59 | $1,000.00 | $1,019.96 | $5.30 | 1.04% | |||||||||||||||||||||
Class III | $1,000.00 | $1,133.00 | $5.22 | $1,000.00 | $1,020.32 | $4.94 | 0.97% | |||||||||||||||||||||
Class V | $1,000.00 | $1,133.50 | $4.89 | $1,000.00 | $1,020.62 | $4.63 | 0.91% | |||||||||||||||||||||
Emerging Markets Fund |
| |||||||||||||||||||||||||||
Class II | $1,000.00 | $1,051.40 | $4.81 | $1,000.00 | $1,020.52 | $4.74 | 0.93% | |||||||||||||||||||||
Class III | $1,000.00 | $1,051.90 | $4.55 | $1,000.00 | $1,020.77 | $4.48 | 0.88% | |||||||||||||||||||||
Class V | $1,000.00 | $1,052.20 | $4.03 | $1,000.00 | $1,021.27 | $3.97 | 0.78% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,052.30 | $3.88 | $1,000.00 | $1,021.43 | $3.82 | 0.75% | |||||||||||||||||||||
Class R6(b) | $1,000.00 | $1,241.00 | $4.37 | $1,000.00 | $1,020.50 | $4.74 | 0.93% | |||||||||||||||||||||
Class I | $1,000.00 | $1,050.80 | $5.06 | $1,000.00 | $1,020.30 | $4.99 | 0.98% | |||||||||||||||||||||
International Equity Fund |
| |||||||||||||||||||||||||||
Class II | $1,000.00 | $1,042.10 | $3.76 | $1,000.00 | $1,021.53 | $3.72 | 0.73% | |||||||||||||||||||||
Class III | $1,000.00 | $1,042.00 | $3.40 | $1,000.00 | $1,021.88 | $3.36 | 0.66% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,042.90 | $3.09 | $1,000.00 | $1,022.18 | $3.06 | 0.60% |
147
GMO Trust Funds
Fund Expenses — (Continued)
August 31, 2020 (Unaudited)
Actual | Hypothetical |
| ||||||||||||||||||||||||||
Beginning Account Value March 1, 2020 | Ending Account Value August 31, 2020 | Expenses Paid During the Period* | Beginning Account Value March 1, 2020 | Ending Account Value August 31, 2020 | Expenses Paid During the Period* | Annualized Expense Ratio | ||||||||||||||||||||||
Quality Fund | ||||||||||||||||||||||||||||
Class III | $1,000.00 | $1,171.10 | $2.63 | $1,000.00 | $1,022.79 | $2.45 | 0.48% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,171.30 | $2.41 | $1,000.00 | $1,022.99 | $2.24 | 0.44% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,172.00 | $2.14 | $1,000.00 | $1,023.24 | $1.99 | 0.39% | |||||||||||||||||||||
Class R6 | $1,000.00 | $1,171.20 | $2.63 | $1,000.00 | $1,022.79 | $2.45 | 0.48% | |||||||||||||||||||||
Class I | $1,000.00 | $1,170.80 | $3.17 | $1,000.00 | $1,022.28 | $2.96 | 0.58% | |||||||||||||||||||||
Resources Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,091.90 | $3.85 | $1,000.00 | $1,021.53 | $3.72 | 0.73% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,092.30 | $3.59 | $1,000.00 | $1,021.78 | $3.47 | 0.68% | |||||||||||||||||||||
Risk Premium Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,020.30 | $2.04 | $1,000.00 | $1,023.19 | $2.04 | 0.40% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,021.10 | $1.58 | $1,000.00 | $1,023.64 | $1.58 | 0.31% | |||||||||||||||||||||
Tax-Managed International Equities Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,040.20 | $4.06 | $1,000.00 | $1,021.22 | $4.02 | 0.79% | |||||||||||||||||||||
U.S. Equity Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,143.90 | $2.54 | $1,000.00 | $1,022.84 | $2.40 | 0.47% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,144.70 | $2.00 | $1,000.00 | $1,023.34 | $1.89 | 0.37% | |||||||||||||||||||||
U.S. Small Cap Value Fund |
| |||||||||||||||||||||||||||
Class VI | $1,000.00 | $994.40 | $2.06 | $1,000.00 | $1,023.14 | $2.09 | 0.41% |
(a) | For the period May 12, 2020 (commencement of operations) through August 31, 2020, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2020, multiplied by the average account value over the period, multiplied by 111 days in the period, divided by 365 days in the year. |
(b) | For the period March 31, 2020 (commencement of operations) through August 31, 2020, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2020, multiplied by the average account value over the period, multiplied by 153 days in the period, divided by 365 days in the year. |
* | Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2020, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year. |
148
GMO Trust
Semiannual Report
August 31, 2020
Alternative Allocation 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
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, GMO expects that paper copies of each Fund’s annual and semiannual reports to shareholders will no longer be sent by mail, unless you specifically request paper copies of the reports by writing or calling GMO Shareholder Services at the address below or phone number below or by contacting your financial intermediary, such as a broker or agent. Instead, reports will be available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. If you are a direct investor, you may elect to receive shareholder reports and other communications from the Fund electronically by contacting GMO Shareholder Services or if you own your shares through a financial intermediary, you may contact your financial intermediary.
Beginning January 1, 2019, you may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request to continue to receive paper copies of your shareholder reports or you can follow instructions included with this disclosure. If you invest directly with the Fund, you can contact GMO Shareholder Services at the address or phone number below. Your election to receive reports in paper will apply to all Funds held directly with the Trust.
Shareholder Services at
Grantham, Mayo, Van Otterloo & Co. LLC
40 Rowes Wharf, Boston, Massachusetts 02110
1-617-346-7646 (collect)
For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect), visit GMO’s website at www.gmo.com or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 will be available without charge on GMO’s website at www.gmo.com and on the Securities and Exchange Commission’s website at www.sec.gov no later than August 31 of each year.
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-PORT which is available on the Commission’s website at www.sec.gov. 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.
1 | ||||
2 | ||||
9 | ||||
10 | ||||
11 | ||||
12 | ||||
36 | ||||
37 | ||||
38 | ||||
39 | ||||
40 | ||||
41 | ||||
42 | ||||
43 | ||||
73 | ||||
74 | ||||
75 | ||||
76 | ||||
77 | ||||
78 | ||||
80 | ||||
81 | ||||
82 | ||||
83 | ||||
95 | ||||
96 | ||||
102 | ||||
105 | ||||
111 | ||||
112 | ||||
125 | ||||
191 | ||||
206 | ||||
207 |
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Investment Concentration Summary (a)
August 31, 2020 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Debt Obligations | 45.3 | % | ||
Common Stocks | 39.8 | |||
Short-Term Investments | 30.2 | |||
Investment Funds | 2.7 | |||
Swap Contracts | 0.7 | |||
Preferred Stocks | 0.6 | |||
Forward Currency Contracts | 0.1 | |||
Rights/Warrants | 0.1 | |||
Written Options | (0.1 | ) | ||
Futures Contracts | (0.9 | ) | ||
Securities Sold Short | (21.8 | ) | ||
Other | 3.3 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | Debt Obligations as a % of Total Net Assets | |||
Canada | 23.7 | % | ||
Other Developed | (0.5 | )‡ | ||
United States | (6.1 | ) | ||
Euro Region | (39.2 | )# | ||
|
| |||
(22.1 | )% | |||
|
| |||
Country/Region Summary¤ | Equity Investments as a % of Total Net Assets | |||
United States | 9.0 | % | ||
Other Developed | 3.2 | ‡ | ||
China | 2.3 | |||
Other Emerging | 2.0 | † | ||
Russia | 1.4 | |||
United Kingdom | 1.1 | |||
Taiwan | 1.1 | |||
Italy | 1.1 | |||
|
| |||
21.2 | % | |||
|
|
(a) | GMO Alternative Allocation SPC Ltd. is a 100% owned subsidiary of GMO Alternative Allocation Fund. As such, the holdings of GMO Alternative Allocation SPC Ltd. have been included with GMO Alternative Allocation Fund. |
& | The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). |
¤ | The table 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 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. |
# | “Euro Region” is comprised of derivative financial instruments attribute 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. |
1
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 27.8% |
| |||||||||
France — 2.0% | ||||||||||
12,009 | Faurecia SE * | 525,802 | ||||||||
38,754 | Ingenico Group SA * (a) | 6,617,004 | ||||||||
|
| |||||||||
Total France | 7,142,806 | |||||||||
|
| |||||||||
Italy — 0.9% | ||||||||||
297,400 | Fiat Chrysler Automobiles NV * | 3,296,206 | ||||||||
|
| |||||||||
United Kingdom — 2.7% | ||||||||||
354,000 | Royal Dutch Shell Plc – Class B Sponsored ADR | 9,947,400 | ||||||||
|
| |||||||||
United States — 22.2% | ||||||||||
60,000 | Acacia Communications, Inc. * (a) | 4,048,800 | ||||||||
78,452 | Advanced Disposal Services, Inc. * | 2,363,759 | ||||||||
39,000 | Bristol-Myers Squibb Co. | 2,425,800 | ||||||||
384,681 | Discovery, Inc. – Class C * (a) (b) | 7,682,079 | ||||||||
702 | First Horizon National Corp. | 6,704 | ||||||||
62,136 | FirstEnergy Corp. (c) | 1,776,468 | ||||||||
76,600 | GCI Liberty, Inc. – Class A * (a) (b) | 6,187,748 | ||||||||
886,099 | Genworth Financial, Inc. – Class A * (b) | 2,676,019 | ||||||||
21,600 | Grubhub, Inc. * | 1,562,760 | ||||||||
12,152 | HEICO Corp. – Class A | 1,086,146 | ||||||||
59,400 | Liberty Broadband Corp. – Class C * (a) | 8,321,346 | ||||||||
11,776 | Liberty Global Plc – Class A * (a) | 275,205 | ||||||||
221,400 | Liberty Media Corp.-Liberty SiriusXM – Class C * (a) | 7,969,293 | ||||||||
18,100 | Livongo Health, Inc. * (a) | 2,485,130 | ||||||||
70,100 | Maxim Integrated Products, Inc. (a) | 4,797,644 | ||||||||
48,800 | Taubman Centers, Inc. (REIT) (b) | 1,869,040 | ||||||||
120,800 | TD Ameritrade Holding Corp. (a) (b) | 4,636,304 | ||||||||
12,200 | Tiffany & Co. (a) | 1,494,500 | ||||||||
23,579 | Varian Medical Systems, Inc. * | 4,094,965 | ||||||||
57,800 | Willis Towers Watson Plc (a) | 11,879,634 | ||||||||
98,500 | Wright Medical Group NV * (b) | 2,977,655 | ||||||||
|
| |||||||||
Total United States | 80,616,999 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $96,538,988) | 101,003,411 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.1% | ||||||||||
United States — 0.1% | ||||||||||
100,200 | Bristol-Myers Squibb Co. * | 268,536 | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $244,730) | 268,536 | |||||||||
|
|
Par Value† / Shares | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 45.2% |
| |||||||||
United States — 45.2% | ||||||||||
U.S. Government — 45.2% | ||||||||||
2,200,000 | U.S. Treasury Note, 1.75%, due 10/31/20 | 2,205,843 | ||||||||
11,500,000 | U.S. Treasury Note, 1.38%, due 01/31/21 (a) | 11,557,051 | ||||||||
30,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.14%, 0.24%, due 04/30/21 (a) | 30,022,108 | ||||||||
58,000,000 | U.S. Treasury Note, 1.75%, due 11/30/21 | 59,160,000 | ||||||||
60,000,000 | U.S. Treasury Note, 1.50%, due 01/31/22 | 61,139,063 | ||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $163,936,534) | 164,084,065 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 14.0% | ||||||||||
United States — 14.0% | ||||||||||
Affiliated Issuers — 14.0% | ||||||||||
669,099 | GMO Emerging Markets Fund, Class VI | 21,371,028 | ||||||||
686,727 | GMO International Equity Fund, Class IV | 14,318,244 | ||||||||
621,846 | GMO Resources Fund, Class IV | 12,262,808 | ||||||||
595,238 | GMO U.S. Treasury Fund | 3,000,000 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $48,891,548) | 50,952,080 | |||||||||
|
| |||||||||
INVESTMENT FUNDS — 2.5% | ||||||||||
United States — 2.5% | ||||||||||
415,059 | Altaba, Inc. (d) | 9,255,816 | ||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $8,474,387) | 9,255,816 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 29.2% | ||||||||||
Foreign Government Obligations — 28.7% | ||||||||||
CAD | 23,000,000 | Canadian Treasury Bill, Zero Coupon, due 09/17/20 | 17,632,069 | |||||||
CAD | 25,000,000 | Canadian Treasury Bill, Zero Coupon, due 10/01/20 | 19,164,335 | |||||||
CAD | 40,000,000 | Canadian Treasury Bill, Zero Coupon, due 10/29/20 (a) | 30,659,562 | |||||||
JPY | 1,900,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 09/28/20 (a) | 17,940,042 | |||||||
JPY | 1,250,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 10/05/20 (a) | 11,802,856 | |||||||
JPY | 770,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 10/26/20 (a) | 7,271,063 | |||||||
|
| |||||||||
Total Foreign Government Obligations | 104,469,927 | |||||||||
|
| |||||||||
Money Market Funds — 0.5% | ||||||||||
1,591,834 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (e) | 1,591,834 |
2 | See accompanying notes to the financial statements. |
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Money Market Funds — continued | ||||||||||
150,856 | State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.00% (f) | 150,856 | ||||||||
|
| |||||||||
Total Money Market Funds | 1,742,690 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $103,897,981) | 106,212,617 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 118.8% (Cost $421,984,168) | 431,776,525 | |||||||||
|
| |||||||||
SECURITIES SOLD SHORT — (21.8)% | ||||||||||
Common Stocks — (21.8)% | ||||||||||
France — (2.4)% |
| |||||||||
(170,708 | ) | Peugeot SA * | (2,943,108 | ) | ||||||
(60,912 | ) | Worldline SA * | (5,606,595 | ) | ||||||
|
| |||||||||
Total France | (8,549,703 | ) | ||||||||
|
| |||||||||
Netherlands — (0.4)% | ||||||||||
(14,494 | ) | Just Eat Takeaway.com NV * | (1,612,861 | ) | ||||||
|
| |||||||||
United Kingdom — (2.8)% | ||||||||||
(340,784 | ) | Royal Dutch Shell Plc Sponsored ADR – Class A | (10,114,469 | ) | ||||||
|
|
Shares | Description | Value ($) | ||||||||
United States — (16.2)% |
| |||||||||
(44,165 | ) | Analog Devices, Inc. | (5,162,005 | ) | ||||||
(62,554 | ) | Aon Plc – Class A | (12,510,174 | ) | ||||||
(39,001 | ) | Bristol-Myers Squibb Co. | (2,425,862 | ) | ||||||
(130,911 | ) | Charles Schwab Corp. (The) | (4,651,268 | ) | ||||||
(14,638 | ) | Charter Communications, Inc. – Class A * | (9,011,299 | ) | ||||||
(349,112 | ) | Discovery, Inc. – Class A * | (7,703,156 | ) | ||||||
(1 | ) | Fidelity National Financial, Inc. | (33 | ) | ||||||
(9,756 | ) | HEICO Corp. | (1,072,380 | ) | ||||||
(44,404 | ) | Liberty Broadband Corp. – Class C * | (6,220,556 | ) | ||||||
(12,062 | ) | Liberty Global Plc – Class C * | (277,547 | ) | ||||||
(1,287,182 | ) | Sirius XM Holdings, Inc. | (7,555,759 | ) | ||||||
(10,783 | ) | Teladoc Health, Inc. * | (2,325,786 | ) | ||||||
|
| |||||||||
Total United States | (58,915,825 | ) | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (PROCEEDS $73,938,480) | (79,192,858 | ) | ||||||||
|
| |||||||||
TOTAL SECURITIES SOLD SHORT (PROCEEDS $73,938,480) | (79,192,858 | ) | ||||||||
Other Assets and Liabilities (net) — 3.0% | 10,844,644 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $363,428,311 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2020 is as follows:
Forward Currency Contracts
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Apprecia- tion (Deprecia- tion) ($) | ||||||||||||||||
09/14/2020 | BCLY | AUD | 942,672 | USD | 678,468 | (16,831 | ) | |||||||||||||
09/14/2020 | GS | AUD | 2,145,607 | USD | 1,528,204 | (54,359 | ) | |||||||||||||
09/14/2020 | JPM | AUD | 9,404,565 | USD | 6,537,833 | (398,816 | ) | |||||||||||||
10/06/2020 | CITI | AUD | 1,100,000 | USD | 789,328 | (22,072 | ) | |||||||||||||
10/06/2020 | JPM | AUD | 17,170,000 | USD | 12,409,365 | (255,855 | ) | |||||||||||||
10/06/2020 | MSCI | AUD | 25,179,000 | USD | 17,936,059 | (636,893 | ) | |||||||||||||
09/03/2020 | JPM | CAD | 3,493,835 | USD | 2,580,000 | (98,620 | ) | |||||||||||||
09/03/2020 | MSCI | CAD | 6,325,235 | USD | 4,650,000 | (199,371 | ) | |||||||||||||
09/17/2020 | BOA | CAD | 23,000,000 | USD | 16,939,491 | (694,695 | ) | |||||||||||||
10/01/2020 | DB | CAD | 25,000,000 | USD | 18,647,935 | (520,463 | ) | |||||||||||||
10/29/2020 | DB | CAD | 40,000,000 | USD | 29,964,814 | (706,269 | ) | |||||||||||||
09/14/2020 | GS | CHF | 1,104,923 | USD | 1,183,711 | (39,049 | ) | |||||||||||||
10/14/2020 | MSCI | CHF | 27,431,444 | USD | 30,076,029 | (308,008 | ) | |||||||||||||
09/01/2020 | DB | CLP | 160,914,600 | USD | 206,322 | (645 | ) | |||||||||||||
09/01/2020 | JPM | CLP | 4,356,761,400 | USD | 5,429,466 | (174,157 | ) | |||||||||||||
09/01/2020 | MSCI | CLP | 2,404,872,000 | USD | 3,042,313 | (50,810 | ) | |||||||||||||
11/02/2020 | JPM | CLP | 393,115,400 | USD | 502,320 | (3,464 | ) | |||||||||||||
11/03/2020 | JPM | COP | 15,226,446,400 | USD | 4,050,781 | (3,119 | ) | |||||||||||||
09/03/2020 | MSCI | EUR | 3,140,000 | USD | 3,555,554 | (191,642 | ) | |||||||||||||
09/16/2020 | MSCI | EUR | 1,841,959 | USD | 2,126,833 | (71,941 | ) | |||||||||||||
09/16/2020 | UBS | EUR | 2,027,587 | USD | 2,333,394 | (86,966 | ) |
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Apprecia- tion (Deprecia- tion) ($) | ||||||||||||||||
10/19/2020 | BCLY | EUR | 792,853 | USD | 941,124 | (6,004 | ) | |||||||||||||
10/19/2020 | JPM | EUR | 595,036 | USD | 706,304 | (4,516 | ) | |||||||||||||
10/19/2020 | MSCI | EUR | 1,107,519 | USD | 1,269,736 | (53,286 | ) | |||||||||||||
10/19/2020 | SSB | EUR | 40,157 | USD | 46,808 | (1,163 | ) | |||||||||||||
09/15/2020 | MSCI | GBP | 1,296,140 | USD | 1,642,567 | (90,198 | ) | |||||||||||||
10/14/2020 | JPM | GBP | 8,889,000 | USD | 11,642,212 | (243,377 | ) | |||||||||||||
10/19/2020 | SSB | GBP | 21,235 | USD | 27,164 | (1,230 | ) | |||||||||||||
10/14/2020 | BOA | HUF | 219,427,390 | USD | 740,000 | 3,707 | ||||||||||||||
10/14/2020 | MSCI | HUF | 930,486,032 | USD | 2,968,247 | (154,020 | ) | |||||||||||||
10/26/2020 | BCLY | INR | 110,539,800 | USD | 1,466,862 | (32,404 | ) | |||||||||||||
09/09/2020 | JPM | JPY | 547,656,653 | USD | 5,120,000 | (51,075 | ) | |||||||||||||
09/09/2020 | MSCI | JPY | 363,593,232 | USD | 3,450,000 | 16,886 | ||||||||||||||
09/10/2020 | BCLY | JPY | 73,133,553 | USD | 681,989 | (8,562 | ) | |||||||||||||
09/10/2020 | SSB | JPY | 55,154,452 | USD | 519,684 | (1,102 | ) | |||||||||||||
09/28/2020 | MSCI | JPY | 1,900,000,000 | USD | 17,702,806 | (242,467 | ) | |||||||||||||
10/05/2020 | DB | JPY | 1,250,000,000 | USD | 11,710,118 | (97,101 | ) | |||||||||||||
10/19/2020 | DB | JPY | 424,804,820 | USD | 3,976,747 | (36,511 | ) | |||||||||||||
10/26/2020 | DB | JPY | 770,000,000 | USD | 7,255,663 | (19,343 | ) | |||||||||||||
09/29/2020 | BCLY | KRW | 2,092,514,800 | USD | 1,750,000 | (11,950 | ) | |||||||||||||
09/29/2020 | CITI | KRW | 778,017,500 | USD | 650,000 | (5,110 | ) | |||||||||||||
09/29/2020 | JPM | KRW | 1,002,187,200 | USD | 840,000 | (3,866 | ) |
See accompanying notes to the financial statements. | 3 |
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
Forward Currency Contracts — continued
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Apprecia- tion (Deprecia- tion) ($) | ||||||||||||||||
09/29/2020 | MSCI | KRW | 2,582,233,510 | USD | 2,170,000 | (4,305 | ) | |||||||||||||
09/04/2020 | JPM | NOK | 69,578,532 | USD | 7,728,140 | (236,853 | ) | |||||||||||||
10/20/2020 | JPM | NOK | 24,578,589 | USD | 2,790,000 | (24,392 | ) | |||||||||||||
09/14/2020 | BCLY | NZD | 4,896,558 | USD | 3,211,431 | (86,820 | ) | |||||||||||||
10/05/2020 | JPM | NZD | 6,710,000 | USD | 4,430,911 | (88,722 | ) | |||||||||||||
11/03/2020 | MSCI | PEN | 3,413,895 | USD | 971,540 | 8,369 | ||||||||||||||
09/01/2020 | BCLY | PHP | 23,012,420 | USD | 460,000 | (14,630 | ) | |||||||||||||
09/01/2020 | CITI | PHP | 14,099,400 | USD | 280,000 | (10,799 | ) | |||||||||||||
09/01/2020 | JPM | PHP | 25,429,500 | USD | 500,000 | (24,482 | ) | |||||||||||||
09/01/2020 | MSCI | PHP | 62,541,320 | USD | 1,289,591 | (319 | ) | |||||||||||||
10/01/2020 | MSCI | PHP | 42,972,725 | USD | 883,249 | (2,056 | ) | |||||||||||||
09/15/2020 | JPM | PLN | 13,226,048 | USD | 3,362,369 | (229,113 | ) | |||||||||||||
10/15/2020 | BCLY | RUB | 300,861,160 | USD | 4,161,237 | 127,868 | ||||||||||||||
10/05/2020 | BCLY | SEK | 8,281,467 | USD | 950,000 | (7,790 | ) | |||||||||||||
10/19/2020 | BCLY | SGD | 859,369 | USD | 630,000 | (1,653 | ) | |||||||||||||
10/19/2020 | MSCI | SGD | 875,302 | USD | 640,000 | (3,364 | ) | |||||||||||||
10/15/2020 | BCLY | THB | 82,833,235 | USD | 2,620,000 | (41,103 | ) | |||||||||||||
10/15/2020 | BOA | THB | 18,284,442 | USD | 580,000 | (7,407 | ) | |||||||||||||
09/17/2020 | JPM | TRY | 9,518,403 | USD | 1,270,815 | (20,084 | ) | |||||||||||||
10/06/2020 | BCLY | TWD | 34,979,100 | USD | 1,200,000 | 6,756 | ||||||||||||||
10/06/2020 | JPM | TWD | 19,554,620 | USD | 670,000 | 2,932 | ||||||||||||||
09/14/2020 | MSCI | USD | 760,750 | AUD | 1,063,865 | 23,939 | ||||||||||||||
09/14/2020 | SSB | USD | 1,095,088 | AUD | 1,526,823 | 31,071 | ||||||||||||||
09/14/2020 | UBS | USD | 1,641,345 | AUD | 2,352,517 | 93,832 | ||||||||||||||
11/04/2020 | MSCI | USD | 2,711,832 | BRL | 13,936,377 | (172,845 | ) | |||||||||||||
09/03/2020 | BCLY | USD | 700,000 | CAD | 937,343 | 18,633 | ||||||||||||||
09/03/2020 | GS | USD | 2,070,000 | CAD | 2,766,262 | 50,811 | ||||||||||||||
09/03/2020 | JPM | USD | 24,490,000 | CAD | 32,735,011 | 606,966 | ||||||||||||||
09/03/2020 | MSCI | USD | 9,920,598 | CAD | 13,548,957 | 466,986 | ||||||||||||||
10/05/2020 | GS | USD | 532,918 | CAD | 710,107 | 11,551 | ||||||||||||||
10/05/2020 | SSB | USD | 4,541,591 | CAD | 6,080,348 | 120,466 | ||||||||||||||
09/14/2020 | MSCI | USD | 2,787,994 | CHF | 2,620,890 | 112,405 | ||||||||||||||
10/14/2020 | JPM | USD | 2,090,000 | CHF | 1,896,039 | 10,120 | ||||||||||||||
09/01/2020 | DB | USD | 210,000 | CLP | 160,914,600 | (3,033 | ) | |||||||||||||
09/01/2020 | JPM | USD | 5,568,877 | CLP | 4,356,761,400 | 34,747 | ||||||||||||||
09/01/2020 | MSCI | USD | 350,000 | CLP | 282,695,000 | 13,600 | ||||||||||||||
09/01/2020 | MSCI | USD | 2,751,172 | CLP | 2,122,177,000 | (21,650 | ) | |||||||||||||
10/19/2020 | BOA | USD | 1,190,000 | CZK | 26,218,261 | 1,419 | ||||||||||||||
09/03/2020 | DB | USD | 3,524,710 | EUR | 3,140,000 | 222,486 | ||||||||||||||
09/16/2020 | BCLY | USD | 971,042 | EUR | 856,362 | 51,210 | ||||||||||||||
09/16/2020 | GS | USD | 1,467,325 | EUR | 1,250,592 | 25,526 | ||||||||||||||
09/16/2020 | JPM | USD | 1,328,685 | EUR | 1,178,406 | 77,996 | ||||||||||||||
09/16/2020 | SSB | USD | 2,156,013 | EUR | 1,813,026 | 8,223 | ||||||||||||||
09/16/2020 | UBS | USD | 31,746,136 | EUR | 28,155,217 | 1,863,166 | ||||||||||||||
10/19/2020 | BOA | USD | 213,245 | EUR | 183,000 | 5,364 | ||||||||||||||
10/19/2020 | DB | USD | 699,134 | EUR | 609,853 | 29,385 | ||||||||||||||
10/19/2020 | MSCI | USD | 46,039 | EUR | 40,157 | 1,932 | ||||||||||||||
10/19/2020 | SSB | USD | 257,968 | EUR | 218,890 | 3,515 | ||||||||||||||
10/27/2020 | BOA | USD | 1,881,487 | EUR | 1,610,000 | 42,110 | ||||||||||||||
10/27/2020 | JPM | USD | 11,143,799 | EUR | 9,450,000 | 146,882 | ||||||||||||||
10/27/2020 | MSCI | USD | 4,574,359 | EUR | 3,830,000 | 1,653 | ||||||||||||||
09/15/2020 | GS | USD | 1,036,790 | GBP | 795,045 | 26,078 | ||||||||||||||
09/15/2020 | SSB | USD | 4,898,102 | GBP | 3,882,514 | 292,296 | ||||||||||||||
10/14/2020 | JPM | USD | 6,792,914 | GBP | 5,150,000 | 93,212 | ||||||||||||||
10/19/2020 | BCLY | USD | 26,832 | GBP | 21,235 | 1,562 | ||||||||||||||
10/14/2020 | BCLY | USD | 360,000 | HUF | 104,832,360 | (8,233 | ) |
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Apprecia- tion (Deprecia- tion) ($) | ||||||||||||||||
10/14/2020 | CITI | USD | 1,060,000 | HUF | 310,954,802 | (16,584 | ) | |||||||||||||
10/14/2020 | MSCI | USD | 370,000 | HUF | 108,117,552 | (7,209 | ) | |||||||||||||
09/21/2020 | JPM | USD | 1,612,878 | IDR | 23,898,007,000 | 23,785 | ||||||||||||||
09/21/2020 | MSCI | USD | 630,000 | IDR | 9,325,386,000 | 8,652 | ||||||||||||||
10/30/2020 | JPM | USD | 2,824,037 | ILS | 9,514,039 | 14,526 | ||||||||||||||
10/26/2020 | BCLY | USD | 790,000 | INR | 59,511,490 | 17,163 | ||||||||||||||
10/26/2020 | JPM | USD | 1,030,000 | INR | 77,391,110 | 19,666 | ||||||||||||||
09/09/2020 | CITI | USD | 4,770,000 | JPY | 515,722,609 | 99,548 | ||||||||||||||
09/09/2020 | GS | USD | 2,700,000 | JPY | 286,663,320 | 6,728 | ||||||||||||||
09/09/2020 | JPM | USD | 21,999,485 | JPY | 2,409,066,779 | 747,367 | ||||||||||||||
09/10/2020 | GS | USD | 958,788 | JPY | 102,350,993 | 7,643 | ||||||||||||||
09/10/2020 | MSCI | USD | 226,132 | JPY | 23,858,523 | (852 | ) | |||||||||||||
09/10/2020 | SSB | USD | 11,288,689 | JPY | 1,212,734,237 | 162,343 | ||||||||||||||
10/19/2020 | DB | USD | 1,280,382 | JPY | 135,200,000 | (3,107 | ) | |||||||||||||
10/19/2020 | SSB | USD | 2,742,517 | JPY | 289,604,820 | (6,534 | ) | |||||||||||||
09/29/2020 | MSCI | USD | 1,869,552 | KRW | 2,246,790,000 | 22,301 | ||||||||||||||
10/21/2020 | JPM | USD | 690,022 | MXN | 15,353,620 | 7,462 | ||||||||||||||
09/04/2020 | DB | USD | 230,000 | NOK | 2,085,332 | 8,718 | ||||||||||||||
09/04/2020 | JPM | USD | 7,086,030 | NOK | 67,493,200 | 640,244 | ||||||||||||||
10/05/2020 | BCLY | USD | 386,461 | NZD | 580,000 | 4,208 | ||||||||||||||
10/05/2020 | JPM | USD | 10,387,944 | NZD | 15,800,000 | 254,413 | ||||||||||||||
09/01/2020 | BCLY | USD | 474,512 | PHP | 23,012,420 | 117 | ||||||||||||||
09/01/2020 | CITI | USD | 290,727 | PHP | 14,099,400 | 72 | ||||||||||||||
09/01/2020 | JPM | USD | 524,352 | PHP | 25,429,500 | 130 | ||||||||||||||
09/01/2020 | MSCI | USD | 383,435 | PHP | 19,568,595 | 20,166 | ||||||||||||||
09/01/2020 | MSCI | USD | 884,704 | PHP | 42,972,725 | 1,606 | ||||||||||||||
09/15/2020 | BOA | USD | 1,870,000 | PLN | 6,981,628 | 25,834 | ||||||||||||||
09/15/2020 | CITI | USD | 3,407,633 | PLN | 13,003,880 | 123,521 | ||||||||||||||
09/15/2020 | DB | USD | 2,340,000 | PLN | 8,706,644 | 24,256 | ||||||||||||||
09/15/2020 | JPM | USD | 52,367 | PLN | 199,625 | 1,840 | ||||||||||||||
09/30/2020 | BCLY | USD | 510,000 | RON | 2,092,724 | 5,275 | ||||||||||||||
09/30/2020 | BOA | USD | 284,943 | RON | 1,236,838 | 19,594 | ||||||||||||||
09/30/2020 | CITI | USD | 340,000 | RON | 1,391,924 | 2,723 | ||||||||||||||
10/15/2020 | BCLY | USD | 1,550,000 | RUB | 115,499,564 | (1,604 | ) | |||||||||||||
10/15/2020 | CITI | USD | 540,000 | RUB | 39,646,206 | (8,500 | ) | |||||||||||||
10/05/2020 | JPM | USD | 26,897,914 | SEK | 234,065,648 | 172,872 | ||||||||||||||
10/15/2020 | BCLY | USD | 700,000 | THB | 21,810,180 | 675 | ||||||||||||||
10/15/2020 | JPM | USD | 383,881 | THB | 12,045,033 | 3,078 | ||||||||||||||
10/06/2020 | JPM | USD | 890,000 | TWD | 26,038,620 | (1,743 | ) | |||||||||||||
10/06/2020 | MSCI | USD | 2,659,663 | TWD | 77,303,110 | (22,618 | ) | |||||||||||||
10/30/2020 | JPM | USD | 3,858,162 | ZAR | 64,292,798 | (88,640 | ) | |||||||||||||
10/30/2020 | MSCI | USD | 340,000 | ZAR | 5,947,297 | 8,694 | ||||||||||||||
|
| |||||||||||||||||||
$ | 346,506 | |||||||||||||||||||
|
|
4 | See accompanying notes to the financial statements. |
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Buys | ||||||||||||
73 | FTSE 100 | September 2020 | $ | 5,785,744 | $ | (168,854 | ) | |||||
38 | Hang Seng Index | September 2020 | 6,133,528 | (84,997 | ) | |||||||
361 | Mini MSCI Emerging Markets | September 2020 | 19,862,220 | 1,150,051 | ||||||||
25 | MSCI Taiwan Index | September 2020 | 1,228,780 | (21,649 | ) | |||||||
36 | S&P/TSX 60 | September 2020 | 5,459,271 | 269,244 | ||||||||
6 | U.S. Treasury Note 10 Yr. (CBT) | December 2020 | 835,500 | (101 | ) | |||||||
|
|
|
| |||||||||
$ | 39,305,043 | $ | 1,143,694 | |||||||||
|
|
|
|
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Sales | ||||||||||||
10 | Australian Government Bond 10 Yr. | September 2020 | $ | 1,087,654 | $ | 8,738 | ||||||
31 | CAC40 10 Euro | September 2020 | 1,829,878 | (6,116 | ) | |||||||
38 | Canadian Government Bond 10 Yr. | December 2020 | 4,397,378 | 12,843 | ||||||||
5 | DAX Index | September 2020 | 1,933,224 | (63,808 | ) | |||||||
89 | FTSE/JSE TOP 40 | September 2020 | 2,682,798 | (64,875 | ) | |||||||
13 | Gilt Long Bond | December 2020 | 2,346,170 | 17,193 | ||||||||
2 | Japanese Government Bond 10 Yr. (OSE) | September 2020 | 2,862,484 | 8,111 | ||||||||
208 | S&P 500 E-Mini | September 2020 | 36,388,560 | (4,259,789 | ) | |||||||
23 | SPI 200 | September 2020 | 2,546,700 | 20,013 | ||||||||
86 | TOPIX Index | September 2020 | 13,100,529 | (303,968 | ) | |||||||
|
|
|
| |||||||||
$ | 69,175,375 | $ | (4,631,658 | ) | ||||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. Sales - Fund is short the futures contract. |
Written Options
Equity Options
Description | Exercise | Expiration Date | Number of Contracts | Notional Amount | Value ($) | |||||||||||||||||
Equity Options – Calls | ||||||||||||||||||||||
FirstEnergy Corp. (c) | 32.00 | 01/15/21 | (954 | ) | USD | (2,727,486 | ) | (133,560 | ) | |||||||||||||
|
| |||||||||||||||||||||
Equity Options – Puts | ||||||||||||||||||||||
FirstEnergy Corp. (c) | 27.00 | 01/15/21 | (954 | ) | USD | (2,767,486 | ) | (228,960 | ) | |||||||||||||
S&P 500 Index | 3,370.00 | 09/04/20 | (18 | ) | USD | (6,300,558 | ) | (6,894 | ) | |||||||||||||
S&P 500 Index | 3,395.00 | 09/11/20 | (18 | ) | USD | (6,300,558 | ) | (28,980 | ) | |||||||||||||
S&P 500 Index | 3,510.00 | 09/18/20 | (17 | ) | USD | (5,950,527 | ) | (108,970 | ) | |||||||||||||
|
| |||||||||||||||||||||
Total Equity Options – Puts | (373,804 | ) | ||||||||||||||||||||
|
| |||||||||||||||||||||
| TOTAL WRITTEN OPTIONS (Premiums $785,158) | $ | (507,364 | ) | ||||||||||||||||||
|
|
Swap Contracts
Centrally Cleared Interest Rate Swaps
Fund Pays | Fund Receives | Notional | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||
3 Month AUD BBSW | 0.19% | AUD | 37,230,000 | 09/16/2022 | Quarterly | 4,688 | 17,417 | 12,729 | ||||||||||||||||||
6 Month CHF LIBOR | (0.65)% | CHF | 5,160,000 | 09/16/2022 | Semi-Annually | — | (1,054 | ) | (1,054 | ) |
See accompanying notes to the financial statements. | 5 |
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
Swap Contracts — continued
Centrally Cleared Interest Rate Swaps — continued
Fund Pays | Fund Receives | Notional | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||
(0.68)% | 6 Month CHF LIBOR | CHF | 47,790,000 | 09/16/2022 | Semi-Annually | — | 39,168 | 39,168 | ||||||||||||||||||
6 Month CHF LIBOR | (0.63)% | CHF | 7,960,000 | 09/16/2022 | Semi-Annually | 569 | 1,492 | 923 | ||||||||||||||||||
3 Month NZD Bank Bill Rate | 0.09% | NZD | 13,800,000 | 09/16/2022 | Quarterly | — | 3,989 | 3,989 | ||||||||||||||||||
0.21% | 3 Month NZD Bank Bill Rate | NZD | 43,830,000 | 09/16/2022 | Quarterly | — | (84,982 | ) | (84,982 | ) | ||||||||||||||||
0.19% | 3 Month NZD Bank Bill Rate | NZD | 24,710,000 | 09/16/2022 | Quarterly | — | (38,758 | ) | (38,758 | ) | ||||||||||||||||
(0.04)% | 3 Month SEK STIBOR | SEK | 393,840,000 | 09/16/2022 | Quarterly | — | 13,415 | 13,415 | ||||||||||||||||||
(0.03)% | 3 Month SEK STIBOR | SEK | 396,000,000 | 09/16/2022 | Quarterly | — | 5,237 | 5,237 | ||||||||||||||||||
(0.03)% | 3 Month SEK STIBOR | SEK | 800,460,000 | 09/16/2022 | Quarterly | 6,838 | 9,659 | 2,821 | ||||||||||||||||||
3 Month SEK STIBOR | 0.02% | SEK | 150,800,000 | 09/16/2022 | Quarterly | — | 12,320 | 12,320 | ||||||||||||||||||
(0.02)% | 3 Month SEK STIBOR | SEK | 162,670,000 | 09/16/2022 | Quarterly | — | (1,992 | ) | (1,992 | ) | ||||||||||||||||
0.56% | 3 Month CAD LIBOR | CAD | 88,160,000 | 09/19/2022 | Semi-Annually | 9,525 | (16,140 | ) | (25,665 | ) | ||||||||||||||||
6 Month EURIBOR | (0.44)% | EUR | 6,500,000 | 09/21/2022 | Semi-Annually | (836 | ) | (1,238 | ) | (402 | ) | |||||||||||||||
6 Month GBP LIBOR | 0.10% | GBP | 65,690,000 | 09/21/2022 | Semi-Annually | (7,463 | ) | (12,473 | ) | (5,010 | ) | |||||||||||||||
6 Month GBP LIBOR | 0.10% | GBP | 79,590,000 | 09/21/2022 | Semi-Annually | 8,623 | (23,683 | ) | (32,306 | ) | ||||||||||||||||
0.12% | 6 Month GBP LIBOR | GBP | 15,530,000 | 09/21/2022 | Semi-Annually | (688 | ) | (3,740 | ) | (3,052 | ) | |||||||||||||||
3 Month USD LIBOR | 0.21% | USD | 119,860,000 | 09/21/2022 | Quarterly | 10,385 | (8,071 | ) | (18,456 | ) | ||||||||||||||||
0.84% | 6 Month AUD BBSW | AUD | 16,700,000 | 09/16/2030 | Semi-Annually | (35,135 | ) | 77,572 | 112,707 | |||||||||||||||||
0.82% | 6 Month AUD BBSW | AUD | 7,700,000 | 09/16/2030 | Semi-Annually | (12,913 | ) | 44,342 | 57,255 | |||||||||||||||||
6 Month AUD BBSW | 0.90% | AUD | 6,610,000 | 09/16/2030 | Semi-Annually | — | 1,592 | 1,592 | ||||||||||||||||||
6 Month AUD BBSW | 0.83% | AUD | 23,320,000 | 09/16/2030 | Semi-Annually | (8,363 | ) | (116,699 | ) | (108,336 | ) | |||||||||||||||
6 Month AUD BBSW | 0.83% | AUD | 14,930,000 | 09/16/2030 | Semi-Annually | 4,198 | (76,859 | ) | (81,057 | ) | ||||||||||||||||
6 Month AUD BBSW | 0.81% | AUD | 10,980,000 | 09/16/2030 | Semi-Annually | — | (74,275 | ) | (74,275 | ) | ||||||||||||||||
3 Month CAD LIBOR | 1.07% | CAD | 15,310,000 | 09/16/2030 | Semi-Annually | (6,441 | ) | (47,551 | ) | (41,110 | ) | |||||||||||||||
3 Month CAD LIBOR | 1.06% | CAD | 7,130,000 | 09/16/2030 | Semi-Annually | — | (29,555 | ) | (29,555 | ) | ||||||||||||||||
3 Month CAD LIBOR | 0.98% | CAD | 14,860,000 | 09/16/2030 | Semi-Annually | (11,490 | ) | (155,366 | ) | (143,876 | ) | |||||||||||||||
3 Month CAD LIBOR | 1.00% | CAD | 44,370,000 | 09/16/2030 | Semi-Annually | 130,646 | (381,555 | ) | (512,201 | ) | ||||||||||||||||
3 Month CAD LIBOR | 1.08% | CAD | 3,490,000 | 09/16/2030 | Semi-Annually | — | (9,026 | ) | (9,026 | ) | ||||||||||||||||
3 Month CAD LIBOR | 1.14% | CAD | 51,160,000 | 09/16/2030 | Semi-Annually | 5,452 | 91,767 | 86,315 | ||||||||||||||||||
0.93% | 3 Month CAD LIBOR | CAD | 9,660,000 | 09/16/2030 | Semi-Annually | — | 136,137 | 136,137 | ||||||||||||||||||
6 Month CHF LIBOR | (0.33)% | CHF | 9,450,000 | 09/16/2030 | Semi-Annually | — | (108,107 | ) | (108,107 | ) | ||||||||||||||||
6 Month CHF LIBOR | (0.19)% | CHF | 16,940,000 | 09/16/2030 | Semi-Annually | — | 58,051 | 58,051 | ||||||||||||||||||
6 Month CHF LIBOR | (0.21)% | CHF | 43,960,000 | 09/16/2030 | Semi-Annually | 36,413 | 65,834 | 29,421 | ||||||||||||||||||
(0.32)% | 6 Month CHF LIBOR | CHF | 1,020,000 | 09/16/2030 | Semi-Annually | — | 11,379 | 11,379 | ||||||||||||||||||
(0.25)% | 6 Month CHF LIBOR | CHF | 1,580,000 | 09/16/2030 | Semi-Annually | 325 | 3,730 | 3,405 | ||||||||||||||||||
3 Month NZD Bank Bill Rate | 0.74% | NZD | 8,400,000 | 09/16/2030 | Quarterly | 78,521 | 69,706 | (8,815 | ) | |||||||||||||||||
0.64% | 3 Month NZD Bank Bill Rate | NZD | 7,450,000 | 09/16/2030 | Quarterly | — | (12,259 | ) | (12,259 | ) | ||||||||||||||||
3 Month NZD Bank Bill Rate | 0.71% | NZD | 9,000,000 | 09/16/2030 | Quarterly | — | 54,627 | 54,627 | ||||||||||||||||||
3 Month NZD Bank Bill Rate | 0.64% | NZD | �� | 5,080,000 | 09/16/2030 | Quarterly | — | 8,359 | 8,359 | |||||||||||||||||
0.52% | 3 Month NZD Bank Bill Rate | NZD | 24,010,000 | 09/16/2030 | Quarterly | 52,971 | 156,967 | 103,996 | ||||||||||||||||||
0.61% | 3 Month NZD Bank Bill Rate | NZD | 2,820,000 | 09/16/2030 | Quarterly | — | 1,739 | 1,739 | ||||||||||||||||||
0.59% | 3 Month NZD Bank Bill Rate | NZD | 10,880,000 | 09/16/2030 | Quarterly | (2,192 | ) | 21,908 | 24,100 | |||||||||||||||||
3 Month SEK STIBOR | 0.37% | SEK | 33,000,000 | 09/16/2030 | Quarterly | — | (16,128 | ) | (16,128 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.37% | SEK | 31,000,000 | 09/16/2030 | Quarterly | — | (14,262 | ) | (14,262 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.32% | SEK | 39,140,000 | 09/16/2030 | Quarterly | 764 | (39,314 | ) | (40,078 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.28% | SEK | 79,560,000 | 09/16/2030 | Quarterly | — | (120,034 | ) | (120,034 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.28% | SEK | 79,830,000 | 09/16/2030 | Quarterly | — | (115,409 | ) | (115,409 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.29% | SEK | 161,910,000 | 09/16/2030 | Quarterly | — | (223,865 | ) | (223,865 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.49% | SEK | 214,050,000 | 09/16/2030 | Quarterly | — | 204,487 | 204,487 | ||||||||||||||||||
3 Month SEK STIBOR | 0.51% | SEK | 171,070,000 | 09/16/2030 | Quarterly | (14,832 | ) | 200,678 | 215,510 | |||||||||||||||||
0.34% | 3 Month SEK STIBOR | SEK | 46,400,000 | 09/16/2030 | Quarterly | (3,075 | ) | 37,035 | 40,110 | |||||||||||||||||
0.32% | 3 Month SEK STIBOR | SEK | 30,400,000 | 09/16/2030 | Quarterly | — | 30,535 | 30,535 | ||||||||||||||||||
0.36% | 3 Month SEK STIBOR | SEK | 41,000,000 | 09/16/2030 | Quarterly | 4,619 | 22,387 | 17,768 | ||||||||||||||||||
6 Month EURIBOR | (0.25)% | EUR | 2,470,000 | 09/18/2030 | Semi-Annually | — | (33,959 | ) | (33,959 | ) | ||||||||||||||||
(0.19)% | 6 Month EURIBOR | EUR | 53,900,000 | 09/18/2030 | Semi-Annually | 30,570 | 338,191 | 307,621 | ||||||||||||||||||
(0.20)% | 6 Month EURIBOR | EUR | 54,250,000 | 09/18/2030 | Semi-Annually | 32,119 | 426,800 | 394,681 |
6 | See accompanying notes to the financial statements. |
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
Swap Contracts — continued
Centrally Cleared Interest Rate Swaps — continued
Fund Pays | Fund Receives | Notional | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||
(0.20)% | 6 Month EURIBOR | EUR | 1,300,000 | 09/18/2030 | Semi-Annually | (359 | ) | 9,431 | 9,790 | |||||||||||||||||
6 Month GBP LIBOR | 0.31% | GBP | 3,070,000 | 09/18/2030 | Semi-Annually | — | (63,774 | ) | (63,774 | ) | ||||||||||||||||
6 Month GBP LIBOR | 0.28% | GBP | 2,070,000 | 09/18/2030 | Semi-Annually | — | (51,813 | ) | (51,813 | ) | ||||||||||||||||
6 Month GBP LIBOR | 0.30% | GBP | 3,710,000 | 09/18/2030 | Semi-Annually | — | (78,796 | ) | (78,796 | ) | ||||||||||||||||
6 Month GBP LIBOR | 0.41% | GBP | 4,850,000 | 09/18/2030 | Semi-Annually | (12,759 | ) | (37,840 | ) | (25,081 | ) | |||||||||||||||
6 Month GBP LIBOR | 0.45% | GBP | 3,160,000 | 09/18/2030 | Semi-Annually | 1,353 | (5,947 | ) | (7,300 | ) | ||||||||||||||||
0.30% | 6 Month GBP LIBOR | GBP | 22,360,000 | 09/18/2030 | Semi-Annually | 49,374 | 488,288 | 438,914 | ||||||||||||||||||
0.32% | 6 Month GBP LIBOR | GBP | 22,330,000 | 09/18/2030 | Semi-Annually | 24,425 | 419,306 | 394,881 | ||||||||||||||||||
0.32% | 6 Month GBP LIBOR | GBP | 7,110,000 | 09/18/2030 | Semi-Annually | — | 135,874 | 135,874 | ||||||||||||||||||
3 Month USD LIBOR | 0.53% | USD | 2,610,000 | 09/18/2030 | Quarterly | — | (46,114 | ) | (46,114 | ) | ||||||||||||||||
3 Month USD LIBOR | 0.63% | USD | 5,690,000 | 09/18/2030 | Quarterly | — | (44,719 | ) | (44,719 | ) | ||||||||||||||||
3 Month USD LIBOR | 0.68% | USD | 2,890,000 | 09/18/2030 | Quarterly | 78 | (6,616 | ) | (6,694 | ) | ||||||||||||||||
0.60% | 3 Month USD LIBOR | USD | 21,770,000 | 09/18/2030 | Quarterly | (35,207 | ) | 231,186 | 266,393 | |||||||||||||||||
0.61% | 3 Month USD LIBOR | USD | 49,250,000 | 09/18/2030 | Quarterly | (140,153 | ) | 474,456 | 614,609 | |||||||||||||||||
0.70% | 3 Month USD LIBOR | USD | 2,800,000 | 09/18/2030 | Quarterly | (86 | ) | 2,131 | 2,217 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 200,464 | $ | 1,825,219 | $ | 1,624,755 | |||||||||||||||||||||
|
|
|
|
|
|
OTC Credit Default Swaps
Reference Entity | Counter- | Notional | 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^: | ||||||||||||||||||||||||||||||||||||||||
ITRAXX.EUROPES.32.V1-5Y | JPM | EUR | 9,600,000 | 1.00% | 0.55% | N/A | 12/20/2024 | Quarterly | 572,808 | 542,873 | (29,935 | ) | ||||||||||||||||||||||||||||
Sell Protection^: |
| |||||||||||||||||||||||||||||||||||||||
ITRAXX.EUROPES.32.V1-5Y | JPM | EUR | 20,000,000 | 1.00% | 0.55% | 20,000,000 EUR | 12/20/2024 | Quarterly | 116,938 | 139,499 | 22,561 | |||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
$ | 689,746 | $ | 682,372 | $ | (7,374 | ) | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
^ | 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. |
(1) | As of August 31, 2020, 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. |
See accompanying notes to the financial statements. | 7 |
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
OTC Total Return Swaps
Fund Pays | Fund Receives | Counterparty | Notional | Expiration Date | Periodic | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||
Total Return on MSCI ACWI Commodity Producers Index | 3 Month USD LIBOR plus a spread of (0.35)% | MSCI | USD | 6,289,371 | 02/25/2021 | Quarterly | — | (7,006 | ) | (7,006 | ) | |||||||||||||||||
Total Return on MSCI ACWI Commodity Producers Index | 3 Month USD LIBOR plus a spread of (0.35)% | MSCI | USD | 5,791,203 | 02/25/2021 | Quarterly | — | (6,451 | ) | (6,451 | ) | |||||||||||||||||
1 Month FED Funds Rate plus 0.15% (f) | Total Return on Bloomberg Commodity Index | MSCI | USD | 1,371,434 | 08/20/2021 | Monthly | — | 35,594 | 35,594 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | — | $ | 22,137 | $ | 22,137 | |||||||||||||||||||||||
|
|
|
|
|
|
As of August 31, 2020, 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) | 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). |
(b) | All or a portion of this security is out on loan (Note 2). |
(c) | All or a portion of this investment is held in connection with one or more holdings within the Fund. |
(d) | Investment valued using significant unobservable inputs (Note 2). |
(e) | The rate disclosed is the 7 day net yield as of August 31, 2020. |
(f) | All or a portion of this security or derivative is owned by GMO Alternative Allocation SPC Ltd., which is a 100% owned subsidiary of GMO Alternative Allocation Fund. |
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 95.
8 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2020 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 66.3 | % | ||
Debt Obligations | 27.1 | |||
Short-Term Investments | 4.3 | |||
Preferred Stocks | 1.5 | |||
Investment Funds | 1.3 | |||
Mutual Funds | 0.5 | |||
Swap Contracts | 0.2 | |||
Loan Participations | 0.0 | ^ | ||
Rights/Warrants | 0.0 | ^ | ||
Loan Assignments | 0.0 | ^ | ||
Purchased Options | 0.0 | ^ | ||
Written/Credit Linked Options | (0.0 | )^ | ||
Forward Currency Contracts | (0.3 | ) | ||
Futures Contracts | (2.0 | ) | ||
Securities Sold Short | (4.2 | ) | ||
Other | 5.3 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | Debt Obligations as a % of Total Net Assets | |||
Other Emerging | 3.5 | %† | ||
Canada | 3.4 | |||
United States | 2.3 | |||
Other Developed | (0.8 | )‡ | ||
Euro Region | (4.7 | )# | ||
|
| |||
3.7 | % | |||
|
| |||
Country/Region Summary¤ | Equity Investments as a % of Total Net Assets | |||
China | 11.9 | % | ||
United States | 11.5 | |||
Japan | 5.7 | |||
Other Developed | 5.5 | ‡ | ||
Taiwan | 4.7 | |||
Other Emerging | 4.4 | † | ||
United Kingdom | 4.0 | |||
Russia | 3.8 | |||
South Korea | 3.1 | |||
France | 1.7 | |||
South Africa | 1.3 | |||
Netherlands | 1.3 | |||
India | 1.3 | |||
Spain | 1.3 | |||
Germany | 1.2 | |||
Italy | 1.1 | |||
Canada | 1.0 | |||
|
| |||
64.8 | % | |||
|
|
& | The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). |
¤ | The table 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 based on GMO’s models. The greater the duration of a bond, the greater contribution to the concentration percentage. Credit default swap exposure are factored into the duration adjusted exposure using the reference securities and applying the same methodology to that security. The tables are not normalized, thus, due to the exclusions listed above and negative exposure which may be attributable to derivatives or short sales, if any, the tables 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 attribute the Eurozone and not a particular country. |
^ | Rounds to 0.0%. |
9
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
| MUTUAL FUNDS — 100.0% |
| ||||||||
Affiliated Issuers — 100.0% | ||||||||||
9,304,297 | GMO Emerging Country Debt Fund, Class IV | 249,727,323 | ||||||||
3,803,989 | GMO High Yield Fund, Class VI | 76,269,977 | ||||||||
498,307,422 | GMO Implementation Fund | 6,009,587,515 | ||||||||
14,127,234 | GMO Opportunistic Income Fund, Class VI | 365,754,076 | ||||||||
6,067,217 | GMO SGM Major Markets Fund, Class VI | 201,431,592 | ||||||||
6,276,246 | GMO Special Opportunities Fund, Class VI | 206,237,434 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $7,557,410,712) | 7,109,007,917 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
Money Market Funds — 0.1% | ||||||||||
4,347,848 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (a) | 4,347,848 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $4,347,848) | 4,347,848 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.1% (Cost $7,561,758,560) | 7,113,355,765 | |||||||||
Other Assets and Liabilities (net) — (0.1%) | (4,129,800 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $ | 7,109,225,965 | ||||||||
|
|
Notes to Schedule of Investments:
(a) | The rate disclosed is the 7 day net yield as of August 31, 2020. |
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 95.
10 | See accompanying notes to the financial statements. |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2020 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 75.7 | % | ||
Debt Obligations | 23.0 | |||
Short-Term Investments | 2.1 | |||
Preferred Stocks | 1.9 | |||
Investment Funds | 0.4 | |||
Mutual Funds | 0.3 | |||
Swap Contracts | 0.2 | |||
Loan Participations | 0.0 | ^ | ||
Loan Assignments | 0.0 | ^ | ||
Rights/Warrants | 0.0 | ^ | ||
Purchased Options | 0.0 | ^ | ||
Written/Credit Linked Options | (0.0 | )^ | ||
Forward Currency Contracts | (0.6 | ) | ||
Securities Sold Short | (1.4 | ) | ||
Futures Contracts | (2.3 | ) | ||
Other | 0.7 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | Debt Obligations as a % of Total Net Assets | |||
Other Emerging | 4.0 | †% | ||
United States | 1.2 | |||
Other Developed | 0.0 | ‡^ | ||
Euro Region | (2.1 | )# | ||
|
| |||
3.1 | % | |||
|
| |||
Country/Region Summary¤ | Equity Investments as a % of Total Net Assets | |||
China | 14.7 | % | ||
United States | 10.7 | |||
Japan | 7.3 | |||
Other Developed | 5.8 | ‡ | ||
Taiwan | 5.4 | |||
United Kingdom | 5.2 | |||
Russia | 4.6 | |||
South Korea | 3.8 | |||
Other Emerging | 3.2 | † | ||
France | 2.1 | |||
Netherlands | 1.6 | |||
Spain | 1.6 | |||
Germany | 1.6 | |||
South Africa | 1.6 | |||
India | 1.5 | |||
Canada | 1.3 | |||
Singapore | 1.2 | |||
Brazil | 1.2 | |||
Italy | 1.2 | |||
Mexico | 1.1 | |||
|
| |||
76.7 | % | |||
|
|
& | The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). |
¤ | The table 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 based on GMO’s models. The greater the duration of a bond, the greater contribution to the concentration percentage. Credit default swap exposure are factored into the duration adjusted exposure using the reference securities and applying the same methodology to that security. The tables are not normalized, thus, due to the exclusions listed above and negative exposure which may be attributable to derivatives or short sales, if any, the tables 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 attribute the Eurozone and not a particular country. |
^ | Rounds to 0.0%. |
11
GMO Benchmark-Free Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 66.0% |
| |||||||||
Argentina — 0.0% | ||||||||||
11,300 | Banco BBVA Argentina SA ADR * | 38,081 | ||||||||
|
| |||||||||
Australia — 1.0% | ||||||||||
184,434 | Accent Group Ltd | 215,004 | ||||||||
38,235 | Adairs Ltd | 98,020 | ||||||||
62,588 | Ampol Ltd | 1,198,700 | ||||||||
41,997 | Ansell Ltd | 1,190,405 | ||||||||
45,216 | Appen Ltd | 1,153,218 | ||||||||
100,903 | Asaleo Care Ltd | 81,524 | ||||||||
81,318 | Austal Ltd | 211,479 | ||||||||
275,419 | Australian Pharmaceutical Industries Ltd | 219,832 | ||||||||
50,822 | Aventus Group (REIT) | 89,058 | ||||||||
25,247 | Brickworks Ltd | 333,920 | ||||||||
40,010 | Codan Ltd | 316,845 | ||||||||
780,246 | Fortescue Metals Group Ltd | 9,972,619 | ||||||||
79,760 | GDI Property Group (REIT) | 63,321 | ||||||||
171,774 | Genworth Mortgage Insurance Australia Ltd | 190,581 | ||||||||
65,593 | JB Hi-Fi Ltd | 2,416,967 | ||||||||
146,532 | Mount Gibson Iron Ltd | 84,640 | ||||||||
13,063 | Regis Resources Ltd | 50,854 | ||||||||
26,944 | Rio Tinto Ltd | 1,938,898 | ||||||||
246,643 | Sandfire Resources NL | 845,678 | ||||||||
79,024 | Sigma Healthcare Ltd | 39,513 | ||||||||
13,140 | Virtus Health Ltd | 33,900 | ||||||||
|
| |||||||||
Total Australia | 20,744,976 | |||||||||
|
| |||||||||
Austria — 0.0% | ||||||||||
3,073 | Vienna Insurance Group AG Wiener Versicherung Gruppe * | 75,070 | ||||||||
|
| |||||||||
Belgium — 0.4% | ||||||||||
78,192 | AGFA-Gevaert NV * | 330,363 | ||||||||
7,231 | Barco NV | 152,970 | ||||||||
4,966 | bpost SA | 49,444 | ||||||||
4,639 | Colruyt SA | 292,401 | ||||||||
66,428 | UCB SA | 7,884,142 | ||||||||
|
| |||||||||
Total Belgium | 8,709,320 | |||||||||
|
| |||||||||
Brazil — 0.9% | ||||||||||
140,800 | Banco do Brasil SA | 839,120 | ||||||||
271,900 | Camil Alimentos SA | 633,284 | ||||||||
327,000 | Cia de Saneamento Basico do Estado de Sao Paulo | 2,850,096 | ||||||||
47,100 | Cia de Saneamento do Parana | 229,976 | ||||||||
53,800 | Cia Paranaense de Energia | 596,774 | ||||||||
35,100 | Grendene SA | 48,948 | ||||||||
9,300 | Instituto Hermes Pardini SA | 43,797 | ||||||||
974,400 | JBS SA | 3,991,154 |
Shares | Description | Value ($) | ||||||||
Brazil — continued | ||||||||||
73,800 | Mahle-Metal Leve SA | 228,600 | ||||||||
1,932,640 | Petrobras Distribuidora SA | 7,528,071 | ||||||||
113,300 | Qualicorp Consultoria e Corretora de Seguros SA | 646,070 | ||||||||
560,000 | TIM Participacoes SA | 1,463,758 | ||||||||
169,900 | Tupy SA * | 524,105 | ||||||||
4,200 | WEG SA | 49,540 | ||||||||
|
| |||||||||
Total Brazil | 19,673,293 | |||||||||
|
| |||||||||
Canada — 1.3% | ||||||||||
1,700 | Absolute Software Corp | 20,853 | ||||||||
41,300 | AGF Management Ltd – Class B | 158,316 | ||||||||
14,600 | Bank of Nova Scotia (The) | 630,967 | ||||||||
20,500 | Bausch Health Cos Inc * | 340,265 | ||||||||
50,367 | Brookfield Asset Management Inc – Class A (a) | 1,699,383 | ||||||||
9,100 | Brookfield Asset Management Inc – Class A (a) (b) | 307,112 | ||||||||
20,737 | BRP Inc Sub Voting | 1,126,238 | ||||||||
28,400 | Canaccord Genuity Group Inc (b) | 168,525 | ||||||||
12,300 | Canfor Pulp Products Inc | 46,301 | ||||||||
29,400 | Cascades Inc | 312,629 | ||||||||
58,700 | Celestica Inc * | 467,584 | ||||||||
45,800 | CI Financial Corp | 650,298 | ||||||||
400 | Cogeco Communications Inc | 29,986 | ||||||||
5,200 | Cogeco Inc | 312,674 | ||||||||
4,100 | DREAM Unlimited Corp – Class A | 60,226 | ||||||||
3,900 | Enghouse Systems Ltd | 217,612 | ||||||||
20,500 | Fortuna Silver Mines Inc * | 149,308 | ||||||||
43,759 | iA Financial Corp Inc (b) | 1,575,103 | ||||||||
15,300 | IGM Financial Inc (b) | 373,365 | ||||||||
13,800 | Magna International Inc | 672,041 | ||||||||
42,600 | Martinrea International Inc | 327,579 | ||||||||
4,500 | Morguard North American Residential Real Estate Investment Trust | 52,095 | ||||||||
17,600 | National Bank of Canada | 967,470 | ||||||||
48,600 | Nutrien Ltd | 1,791,882 | ||||||||
19,100 | Real Matters Inc * | 387,462 | ||||||||
10,300 | Rogers Sugar Inc | 37,667 | ||||||||
101,500 | Royal Bank of Canada | 7,729,517 | ||||||||
4,200 | Stantec Inc (b) | 136,367 | ||||||||
61,500 | Sun Life Financial Inc (a) (b) | 2,566,842 | ||||||||
55,900 | Sun Life Financial Inc (a) (b) (c) | 2,334,943 | ||||||||
18,000 | Teekay Tankers Ltd – Class A * | 225,720 | ||||||||
14,800 | Teranga Gold Corp * (b) | 172,242 | ||||||||
5,300 | TFI International Inc | 234,291 | ||||||||
27,300 | Toronto-Dominion Bank (The) (b) | 1,361,913 | ||||||||
40,100 | Transcontinental Inc – Class A | 471,602 | ||||||||
11,200 | Wajax Corp | 103,727 | ||||||||
13,200 | Westshore Terminals Investment Corp (b) | 167,385 | ||||||||
|
| |||||||||
Total Canada | 28,387,490 | |||||||||
|
|
12 | 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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Chile — 0.1% | ||||||||||
404,202 | Banco de Chile | 33,787 | ||||||||
1,038,770 | Enel Americas SA | 149,464 | ||||||||
241,800 | Enel Americas SA ADR | 1,719,198 | ||||||||
5,354 | Inversiones La Construccion SA | 34,776 | ||||||||
|
| |||||||||
Total Chile | 1,937,225 | |||||||||
|
| |||||||||
China — 11.9% | ||||||||||
262,000 | 7Road Holdings Ltd * | 90,583 | ||||||||
21,000 | A-Living Services Co Ltd – Class H | 108,212 | ||||||||
3,523,668 | Agile Group Holdings Ltd | 4,857,804 | ||||||||
2,756,800 | Agricultural Bank of China Ltd – Class A | 1,290,697 | ||||||||
20,262,000 | Agricultural Bank of China Ltd – Class H | 6,767,014 | ||||||||
21,400 | Alibaba Group Holding Ltd * | 770,290 | ||||||||
42,500 | Alibaba Group Holding Ltd Sponsored ADR * | 12,198,775 | ||||||||
362,784 | Anhui Conch Cement Co Ltd – Class A | 3,219,644 | ||||||||
1,511,000 | Anhui Conch Cement Co Ltd – Class H | 10,938,793 | ||||||||
180,500 | Anhui Expressway Co Ltd – Class A | 141,855 | ||||||||
23,000 | ANTA Sports Products Ltd | 226,721 | ||||||||
46,000 | Asia Cement China Holdings Corp | 46,580 | ||||||||
6,210,000 | BAIC Motor Corp Ltd – Class H | 2,976,584 | ||||||||
33,836,000 | Bank of China Ltd – Class H | 11,003,113 | ||||||||
18,557,000 | Bank of Communications Co Ltd – Class H | 9,690,586 | ||||||||
60,000 | Beijing Capital International Airport Co Ltd – Class H | 42,411 | ||||||||
399,300 | Beijing North Star Co Ltd – Class A | 162,986 | ||||||||
8,970,000 | China Cinda Asset Management Co Ltd – Class H | 1,711,286 | ||||||||
2,350,000 | China CITIC Bank Corp Ltd – Class H | 981,670 | ||||||||
2,159,357 | China Communications Services Corp Ltd – Class H | 1,414,526 | ||||||||
1,971,400 | China Construction Bank Corp – Class A | 1,782,630 | ||||||||
10,912,000 | China Construction Bank Corp – Class H | 7,689,834 | ||||||||
213,000 | China Dongxiang Group Co Ltd | 27,754 | ||||||||
4,444,000 | China Everbright Bank Co Ltd – Class H | 1,592,204 | ||||||||
377,000 | China Feihe Ltd | 762,455 | ||||||||
1,058,000 | China Greenfresh Group Co Ltd * | 11,050 | ||||||||
946,000 | China Jinmao Holdings Group Ltd | 590,709 | ||||||||
26,000 | China Kepei Education Group Ltd | 22,962 | ||||||||
3,475,000 | China Lesso Group Holdings Ltd | 6,470,828 | ||||||||
538,000 | China Lilang Ltd | 310,103 | ||||||||
2,101,000 | China Machinery Engineering Corp – Class H | 492,678 | ||||||||
4,094,645 | China Medical System Holdings Ltd | 4,611,624 | ||||||||
18,839 | China Merchants Bank Co Ltd – Class A | 103,574 | ||||||||
58,000 | China Minsheng Banking Corp Ltd – Class H | 35,306 | ||||||||
1,248,000 | China Mobile Ltd | 8,733,397 | ||||||||
400 | China Mobile Ltd Sponsored ADR | 14,012 | ||||||||
7,400,000 | China National Building Material Co Ltd – Class H | 10,386,512 | ||||||||
730,000 | China Oriental Group Co Ltd | 204,986 | ||||||||
256,000 | China Overseas Grand Oceans Group Ltd | 166,509 |
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
744,000 | China Overseas Land & Investment Ltd | 2,152,013 | ||||||||
150,000 | China Overseas Property Holdings Ltd | 135,094 | ||||||||
21,200 | China Pacific Insurance Group Co Ltd – Class H | 58,810 | ||||||||
14,834,000 | China Petroleum & Chemical Corp – Class H | 6,810,910 | ||||||||
162,000 | China Pioneer Pharma Holdings Ltd | 25,044 | ||||||||
7,331,500 | China Railway Construction Corp Ltd – Class H | 5,627,392 | ||||||||
11,228,042 | China Railway Group Ltd – Class H | 5,758,752 | ||||||||
287,000 | China Reinsurance Group Corp – Class H | 30,688 | ||||||||
934,000 | China Resources Cement Holdings Ltd | 1,360,186 | ||||||||
90,000 | China Resources Gas Group Ltd | 422,162 | ||||||||
548,000 | China Resources Land Ltd | 2,531,546 | ||||||||
5,690,500 | China Resources Pharmaceutical Group Ltd | 3,221,601 | ||||||||
199,000 | China SCE Group Holdings Ltd | 103,574 | ||||||||
700,779 | China Shenhua Energy Co Ltd – Class A | 1,650,813 | ||||||||
1,172,500 | China Shenhua Energy Co Ltd – Class H | 1,947,053 | ||||||||
807,000 | China Shineway Pharmaceutical Group Ltd | 564,516 | ||||||||
11,880,000 | China Telecom Corp Ltd – Class H | 3,875,470 | ||||||||
58,000 | China Traditional Chinese Medicine Holdings Co Ltd | 24,728 | ||||||||
635,225 | China Vanke Co Ltd – Class A | 2,525,729 | ||||||||
89,100 | China Vanke Co Ltd – Class H | 276,579 | ||||||||
18,700 | China Yuchai International Ltd | 303,688 | ||||||||
308,000 | CNOOC Ltd | 349,027 | ||||||||
1,700,604 | Country Garden Holdings Co Ltd | 2,105,622 | ||||||||
21,000 | Country Garden Services Holdings Co Ltd | 146,310 | ||||||||
43,500 | Dali Foods Group Co Ltd | 26,623 | ||||||||
70,400 | Dongfang Electric Corp Ltd – Class A | 102,732 | ||||||||
2,083,000 | Dongyue Group Ltd | 892,393 | ||||||||
138,000 | Edvantage Group Holdings Ltd | 108,414 | ||||||||
8,100 | ENN Energy Holdings Ltd | 89,748 | ||||||||
1,075,500 | Fantasia Holdings Group Co Ltd * | 218,946 | ||||||||
70,000 | Fu Shou Yuan International Group Ltd | 72,410 | ||||||||
1,087,000 | Geely Automobile Holdings Ltd | 2,313,440 | ||||||||
1,030,500 | Great Wall Motor Co Ltd – Class H | 1,121,742 | ||||||||
157,000 | Greenland Hong Kong Holdings Ltd | 52,163 | ||||||||
962,000 | Guangdong Investment Ltd | 1,500,069 | ||||||||
588,000 | Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H | 1,535,373 | ||||||||
340,000 | Haier Electronics Group Co Ltd | 1,163,282 | ||||||||
43,000 | Haitian International Holdings Ltd | 104,029 | ||||||||
4,400 | Hangzhou Tigermed Consulting Co Ltd – Class H * | 72,045 | ||||||||
14,000 | Hansoh Pharmaceutical Group Co Ltd * | 66,182 | ||||||||
61,500 | Hebei Construction Group Corp Ltd – Class H | 135,770 | ||||||||
8,500 | Hengan International Group Co Ltd | 66,929 | ||||||||
255,489 | Hisense Home Appliances Group Co Ltd – Class A | 522,120 | ||||||||
459,000 | Hisense Home Appliances Group Co Ltd – Class H | 615,174 |
See accompanying notes to the financial statements. | 13 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
18,500 | Hollysys Automation Technologies Ltd | 200,355 | ||||||||
64,000 | Hopson Development Holdings Ltd | 128,091 | ||||||||
1,783,000 | Huabao International Holdings Ltd | 1,591,426 | ||||||||
125,098 | Huaxin Cement Co Ltd – Class A | 509,327 | ||||||||
2,454,000 | IGG Inc | 2,830,809 | ||||||||
2,082,370 | Industrial & Commercial Bank of China Ltd – Class A | 1,506,501 | ||||||||
7,236,000 | Industrial & Commercial Bank of China Ltd – Class H | 4,033,051 | ||||||||
113,000 | Kingboard Laminates Holdings Ltd | 142,312 | ||||||||
267,500 | KWG Property Holding Ltd | 507,655 | ||||||||
13,689 | Lao Feng Xiang Co Ltd – Class A | 107,356 | ||||||||
44,400 | Livzon Pharmaceutical Group Inc – Class A | 346,094 | ||||||||
462,984 | Livzon Pharmaceutical Group Inc – Class H | 2,211,989 | ||||||||
258,000 | Logan Group Co Ltd | 479,879 | ||||||||
229,500 | Longfor Group Holdings Ltd | 1,214,173 | ||||||||
2,995,000 | Lonking Holdings Ltd | 857,161 | ||||||||
1,805,000 | Metallurgical Corp of China Ltd – Class H | 309,353 | ||||||||
48,000 | NetEase Inc | 963,691 | ||||||||
16,600 | NetEase Inc ADR (b) (c) | 8,087,686 | ||||||||
741,000 | Nexteer Automotive Group Ltd | 482,460 | ||||||||
2,247,000 | Nine Dragons Paper Holdings Ltd | 2,489,259 | ||||||||
5,200 | Nongfu Spring Co Ltd – Class H | 14,571 | ||||||||
114,000 | PAX Global Technology Ltd | 65,534 | ||||||||
6,744,000 | PICC Property & Casualty Co Ltd – Class H | 5,200,659 | ||||||||
388,000 | Poly Property Group Co Ltd | 122,004 | ||||||||
3,200 | Poly Property Services Co Ltd | 27,981 | ||||||||
8,878,000 | Postal Savings Bank of China Co Ltd – Class H | 4,202,868 | ||||||||
1,070,000 | Powerlong Real Estate Holdings Ltd | 773,359 | ||||||||
144,000 | Qingling Motors Co Ltd – Class H | 25,622 | ||||||||
282,000 | Road King Infrastructure Ltd | 374,390 | ||||||||
316,000 | Shanghai Jin Jiang Capital Co Ltd – Class H | 54,179 | ||||||||
2,876,200 | Shanghai Pharmaceuticals Holding Co Ltd – Class H | 5,118,319 | ||||||||
420,858 | Shenzhen Investment Ltd | 142,643 | ||||||||
38,800 | Shenzhou International Group Holdings Ltd | 624,705 | ||||||||
2,861,000 | Shimao Group Holdings Ltd | 12,857,990 | ||||||||
451,000 | Sino Biopharmaceutical Ltd | 519,002 | ||||||||
205,500 | Sinopec Engineering Group Co Ltd – Class H | 91,039 | ||||||||
4,564,000 | Sinopec Shanghai Petrochemical Co Ltd – Class H | 941,095 | ||||||||
1,053,600 | Sinopharm Group Co Ltd – Class H | 2,587,048 | ||||||||
844,000 | Sinotruk Hong Kong Ltd | 2,190,470 | ||||||||
676,000 | TCL Electronics Holdings Ltd | 461,592 | ||||||||
30,500 | Tencent Holdings Ltd | 2,083,710 | ||||||||
245,000 | Texhong Textile Group Ltd | 190,801 | ||||||||
646,000 | Tianjin Port Development Holdings Ltd | 47,502 | ||||||||
2,430,000 | Tianneng Power International Ltd | 5,227,453 | ||||||||
49,000 | Times China Holdings Ltd | 75,232 | ||||||||
128,800 | Vipshop Holdings Ltd ADR * | 2,126,488 | ||||||||
376,000 | Want Want China Holdings Ltd | 257,717 |
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
942,000 | Weichai Power Co Ltd – Class H | 1,890,878 | ||||||||
803,788 | Weifu High-Technology Group Co Ltd – Class A | 2,919,903 | ||||||||
4,018,000 | West China Cement Ltd | 703,988 | ||||||||
523,000 | Xinhua Winshare Publishing and Media Co Ltd – Class H | 342,849 | ||||||||
�� | 194,500 | Xtep International Holdings Ltd | 64,646 | |||||||
10,000 | Yum China Holdings Inc | 577,100 | ||||||||
434,911 | Yuzhou Group Holdings Co Ltd | 202,849 | ||||||||
21,300 | Zhengzhou Coal Mining Machinery Group Co Ltd – Class A | 26,602 | ||||||||
729,500 | Zhongsheng Group Holdings Ltd | 4,549,514 | ||||||||
|
| |||||||||
Total China | 252,117,078 | |||||||||
|
| |||||||||
Czech Republic — 0.0% | ||||||||||
28,574 | Moneta Money Bank AS | 71,876 | ||||||||
|
| |||||||||
Denmark — 0.0% | ||||||||||
10,818 | Matas A/S * | 120,156 | ||||||||
20,276 | Scandinavian Tobacco Group A/S | 323,078 | ||||||||
|
| |||||||||
Total Denmark | 443,234 | |||||||||
|
| |||||||||
Finland — 0.2% | ||||||||||
3,573 | Aktia Bank Oyj * | 40,323 | ||||||||
54,300 | Neste Oyj | 2,906,970 | ||||||||
9,960 | Tokmanni Group Corp | 181,424 | ||||||||
|
| |||||||||
Total Finland | 3,128,717 | |||||||||
|
| |||||||||
France — 2.1% | ||||||||||
3,147 | AKWEL | 52,297 | ||||||||
6,525 | Alten SA * | 565,531 | ||||||||
28,662 | APERAM SA | 846,322 | ||||||||
14,887 | Arkema SA | 1,648,155 | ||||||||
902 | Assystem SA | 25,631 | ||||||||
839 | Axway Software SA * | 19,385 | ||||||||
89,264 | BNP Paribas SA * | 3,889,073 | ||||||||
721 | Boiron SA | 29,765 | ||||||||
1,005 | Bonduelle SCA | 24,308 | ||||||||
1,107 | Capgemini SE | 153,561 | ||||||||
2,171 | Christian Dior SE | 929,746 | ||||||||
6,161 | Coface SA * | 48,134 | ||||||||
808 | Dassault Systemes SE | 152,467 | ||||||||
45,243 | Derichebourg SA | 130,289 | ||||||||
4,188 | Eiffage SA * | 385,145 | ||||||||
2,386 | Fnac Darty SA * | 103,872 | ||||||||
12,474 | Gaztransport Et Technigaz SA | 1,177,162 | ||||||||
1,371 | GL Events * | 16,863 | ||||||||
337 | Groupe Crit * | 19,298 | ||||||||
389 | HEXAOM * | 14,209 | ||||||||
1,775 | Interparfums SA * | 88,709 |
14 | 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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
France — continued | ||||||||||
29,773 | IPSOS | 786,162 | ||||||||
6,687 | Kaufman & Broad SA | 265,556 | ||||||||
3,474 | Kering SA | 2,131,520 | ||||||||
25,854 | L’Oreal SA (c) | 8,579,640 | ||||||||
4,869 | LVMH Moet Hennessy Louis Vuitton SE | 2,286,593 | ||||||||
36,610 | Metropole Television SA * | 457,128 | ||||||||
3,907 | Nexans SA * | 219,170 | ||||||||
162,109 | Peugeot SA * | 2,794,856 | ||||||||
26,361 | Quadient SA | 367,380 | ||||||||
3,391 | Rothschild & Co * | 91,644 | ||||||||
25,368 | Safran SA * | 2,929,608 | ||||||||
88,547 | Sanofi | 8,968,814 | ||||||||
2,200 | Sanofi ADR (c) | 111,276 | ||||||||
2,898 | Schneider Electric SE | 358,400 | ||||||||
107,397 | STMicroelectronics NV – NY Shares | 3,248,759 | ||||||||
695 | Synergie SA * | 17,037 | ||||||||
4,054 | Vicat SA | 140,094 | ||||||||
675 | Vilmorin & Cie SA | 38,154 | ||||||||
|
| |||||||||
Total France | 44,111,713 | |||||||||
|
| |||||||||
Germany — 1.6% | ||||||||||
7,948 | Allianz SE (Registered) | 1,724,619 | ||||||||
1,083 | Amadeus Fire AG * | 136,796 | ||||||||
4,370 | Aurubis AG | 314,116 | ||||||||
23,671 | Bayer AG (Registered) | 1,574,406 | ||||||||
2,738 | Bechtle AG | 553,371 | ||||||||
327 | bet-at-home.com AG | 13,935 | ||||||||
20,831 | Borussia Dortmund GmbH & Co KGaA | 139,505 | ||||||||
10,890 | Carl Zeiss Meditec AG | 1,229,173 | ||||||||
201,810 | CECONOMY AG * | 929,402 | ||||||||
2,611 | Cewe Stiftung & Co KGaA * | 309,890 | ||||||||
17,584 | CropEnergies AG | 256,512 | ||||||||
249,401 | Deutsche Pfandbriefbank AG * | 1,816,660 | ||||||||
5,801 | Deutsche Post AG (Registered) | 264,434 | ||||||||
54,376 | Deutz AG * | 292,513 | ||||||||
110,993 | Dialog Semiconductor Plc * | 4,821,870 | ||||||||
1,823 | Draegerwerk AG & Co KGaA * | 134,754 | ||||||||
5,900 | DWS Group GmbH & Co KGaA * | 232,574 | ||||||||
7,307 | Eckert & Ziegler Strahlen- und Medizintechnik AG | 368,847 | ||||||||
3,451 | Elmos Semiconductor SE | 89,687 | ||||||||
3,908 | Gerresheimer AG | 461,551 | ||||||||
9,544 | Hamburger Hafen und Logistik AG | 176,619 | ||||||||
2,227 | Hannover Rueck SE | 379,767 | ||||||||
32,122 | HeidelbergCement AG | 2,037,882 | ||||||||
10,134 | Henkel AG & Co KGaA | 911,804 | ||||||||
2,266 | Hornbach Baumarkt AG | 102,138 | ||||||||
4,006 | Hornbach Holding AG & Co KGaA | 436,207 | ||||||||
122,781 | Infineon Technologies AG | 3,414,096 | ||||||||
1,882 | KWS Saat SE & Co KGaA | 162,379 |
Shares | Description | Value ($) | ||||||||
Germany — continued | ||||||||||
10,952 | Merck KGaA | 1,488,538 | ||||||||
58,809 | Siemens Healthineers AG | 2,679,268 | ||||||||
41,315 | Software AG (c) | 2,060,006 | ||||||||
24,580 | Takkt AG * | 324,089 | ||||||||
7,003 | Talanx AG * | 260,382 | ||||||||
19,411 | VERBIO Vereinigte BioEnergie AG | 333,936 | ||||||||
18,036 | Volkswagen AG * | 3,249,750 | ||||||||
654 | Washtec AG * | 29,314 | ||||||||
|
| |||||||||
Total Germany | 33,710,790 | |||||||||
|
| |||||||||
Greece — 0.0% | ||||||||||
12,055 | FF Group * (d) | — | ||||||||
|
| |||||||||
Hong Kong — 0.7% | ||||||||||
27,000 | ASM Pacific Technology Ltd | 290,445 | ||||||||
166,000 | BOC Hong Kong Holdings Ltd | 470,879 | ||||||||
28,700 | Budweiser Brewing Co APAC Ltd | 96,692 | ||||||||
341,400 | Champion (REIT) | 180,444 | ||||||||
142,000 | Chow Sang Sang Holdings International Ltd | 159,854 | ||||||||
1,108,000 | CITIC Telecom International Holdings Ltd | 384,319 | ||||||||
34,500 | CK Asset Holdings Ltd | 187,255 | ||||||||
550,000 | CSI Properties Ltd | 17,094 | ||||||||
110,100 | Dah Sing Banking Group Ltd | 104,592 | ||||||||
140,800 | Dah Sing Financial Holdings Ltd | 400,256 | ||||||||
730,000 | Giordano International Ltd | 122,324 | ||||||||
852,000 | HKT Trust & HKT Ltd – Class SS | 1,217,446 | ||||||||
437,000 | Johnson Electric Holdings Ltd | 862,109 | ||||||||
54,800 | Luk Fook Holdings International Ltd | 122,583 | ||||||||
14,000 | Minth Group Ltd | 47,198 | ||||||||
179,000 | Pacific Textiles Holdings Ltd | 79,141 | ||||||||
85,000 | Prosperity REIT | 25,989 | ||||||||
848,000 | Shun Tak Holdings Ltd | 293,906 | ||||||||
129,000 | SJM Holdings Ltd | 176,948 | ||||||||
130,000 | Sun Hung Kai & Co Ltd | 53,481 | ||||||||
180,000 | Texwinca Holdings Ltd | 26,210 | ||||||||
132,000 | VSTECS Holdings Ltd | 74,228 | ||||||||
261,800 | VTech Holdings Ltd | 1,526,762 | ||||||||
6,398,000 | WH Group Ltd | 5,514,470 | ||||||||
162,000 | Xinyi Glass Holdings Ltd | 279,756 | ||||||||
567,500 | Yue Yuen Industrial Holdings Ltd | 981,943 | ||||||||
|
| |||||||||
Total Hong Kong | 13,696,324 | |||||||||
|
| |||||||||
Hungary — 0.1% | ||||||||||
271,917 | Magyar Telekom Telecommunications Plc | 333,937 | ||||||||
33,243 | Richter Gedeon Nyrt | 809,616 | ||||||||
|
| |||||||||
Total Hungary | 1,143,553 | |||||||||
|
| |||||||||
India — 1.4% | ||||||||||
1,399 | Alkem Laboratories Ltd | 51,793 | ||||||||
20,481 | Asian Paints Ltd | 527,339 |
See accompanying notes to the financial statements. | 15 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
52,780 | Aurobindo Pharma Ltd | 573,304 | ||||||||
82,510 | Bajaj Auto Ltd | 3,312,850 | ||||||||
139,045 | Balrampur Chini Mills Ltd | 277,602 | ||||||||
89,944 | Cadila Healthcare Ltd | 453,801 | ||||||||
66,169 | Coal India Ltd | 120,632 | ||||||||
21,629 | Dr Reddy’s Laboratories Ltd | 1,242,581 | ||||||||
58,600 | Dr Reddy’s Laboratories Ltd ADR | 3,408,762 | ||||||||
46,499 | Gujarat Narmada Valley Fertilizers & Chemicals Ltd | 128,271 | ||||||||
967,525 | HCL Technologies Ltd | 9,054,548 | ||||||||
17,815 | HDFC Bank Ltd * | 269,309 | ||||||||
2,605 | Hero MotoCorp Ltd | 106,532 | ||||||||
21,163 | Hindustan Unilever Ltd | 606,648 | ||||||||
20,265 | Housing Development Finance Corp Ltd | 503,394 | ||||||||
107,289 | ICICI Bank Ltd * | 567,822 | ||||||||
855,205 | Indian Oil Corp Ltd | 994,109 | ||||||||
30,989 | Kotak Mahindra Bank Ltd * | 589,562 | ||||||||
17,458 | Muthoot Finance Ltd | 272,957 | ||||||||
1,827,383 | Power Finance Corp Ltd | 2,344,982 | ||||||||
532,044 | PTC India Ltd | 427,625 | ||||||||
22,641 | Rajesh Exports Ltd | 137,536 | ||||||||
2,107,803 | REC Ltd | 3,050,316 | ||||||||
39,108 | Sonata Software Ltd | 163,169 | ||||||||
3,586 | Sun TV Network Ltd | 21,805 | ||||||||
25,137 | Titan Co Ltd | 374,759 | ||||||||
9,182 | Wipro Ltd | 33,573 | ||||||||
|
| |||||||||
Total India | 29,615,581 | |||||||||
|
| |||||||||
Indonesia — 0.3% | ||||||||||
653,400 | Astra International Tbk PT | 229,271 | ||||||||
62,700 | Bank BTPN Syariah Tbk PT | 16,787 | ||||||||
904,500 | Bank Central Asia Tbk PT | 1,948,264 | ||||||||
1,492,100 | Bank Mandiri Persero Tbk PT | 610,125 | ||||||||
1,384,700 | Bank Negara Indonesia Persero Tbk PT | 484,836 | ||||||||
2,588,500 | Bank Pembangunan Daerah Jawa Timur Tbk PT | 105,833 | ||||||||
8,029,500 | Bank Rakyat Indonesia Persero Tbk PT | 1,934,403 | ||||||||
1,977,600 | Bank Tabungan Negara Persero Tbk PT | 213,770 | ||||||||
2,090,300 | Bukit Asam Tbk PT | 292,230 | ||||||||
260,200 | Indo Tambangraya Megah Tbk PT | 147,613 | ||||||||
595,800 | Matahari Department Store Tbk PT * | 51,678 | ||||||||
1,593,100 | Pakuwon Jati Tbk PT * | 44,623 | ||||||||
1,417,500 | Panin Financial Tbk PT * | 20,035 | ||||||||
3,454,100 | Ramayana Lestari Sentosa Tbk PT | 155,185 | ||||||||
834,600 | Telekomunikasi Indonesia Persero Tbk PT | 164,223 | ||||||||
31,000 | United Tractors Tbk PT | 48,952 | ||||||||
|
| |||||||||
Total Indonesia | 6,467,828 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Ireland — 0.4% | ||||||||||
119,693 | AIB Group Plc * | 147,235 | ||||||||
179,315 | Bank of Ireland Group Plc * | 401,735 | ||||||||
18,438 | CRH Plc | 687,658 | ||||||||
66,800 | CRH Plc Sponsored ADR | 2,478,280 | ||||||||
9,518 | Glanbia Plc | 109,417 | ||||||||
307,199 | Hibernia REIT Plc | 436,651 | ||||||||
155,047 | Irish Residential Properties REIT Plc | 260,644 | ||||||||
54,941 | Origin Enterprises Plc | 225,467 | ||||||||
32,738 | Permanent TSB Group Holdings Plc * | 19,935 | ||||||||
147,629 | Ryanair Holdings Plc * | 2,098,892 | ||||||||
41,960 | Smurfit Kappa Group Plc | 1,485,855 | ||||||||
28,153 | Total Produce Plc | 38,145 | ||||||||
|
| |||||||||
Total Ireland | 8,389,914 | |||||||||
|
| |||||||||
Israel — 0.0% | ||||||||||
8,692 | Discount Investment Corp Ltd (Registered) * | 12,777 | ||||||||
2,045 | Fox Wizel Ltd | 101,223 | ||||||||
1,340 | Israel Corp Ltd (The) * | 159,266 | ||||||||
706,169 | Oil Refineries Ltd | 143,693 | ||||||||
|
| |||||||||
Total Israel | 416,959 | |||||||||
|
| |||||||||
Italy — 1.2% | ||||||||||
25,224 | ACEA SPA | 518,657 | ||||||||
212,906 | Anima Holding SPA | 935,260 | ||||||||
2,409 | Biesse SPA * | 40,402 | ||||||||
94,457 | Buzzi Unicem SPA (c) | 2,308,982 | ||||||||
5,071 | Buzzi Unicem SpA – RSP | 70,676 | ||||||||
15,485 | Cementir Holding NV | 108,147 | ||||||||
93,324 | Cofide SPA * | 44,668 | ||||||||
22,116 | Credito Emiliano SPA * | 112,102 | ||||||||
4,091 | El.En. SPA * | 108,336 | ||||||||
121,344 | Enav SPA | 510,542 | ||||||||
1,091,025 | Enel SPA (c) | 9,879,441 | ||||||||
141,125 | EXOR NV | 8,323,324 | ||||||||
481,392 | Hera SPA | 1,838,081 | ||||||||
39,992 | Iren SPA | 104,724 | ||||||||
13,610 | La Doria SPA | 179,013 | ||||||||
1,301 | Leonardo SPA | 8,802 | ||||||||
2,843 | MARR SPA * | 43,671 | ||||||||
32,602 | Piaggio & C SPA | 92,483 | ||||||||
73,562 | Saras SPA * | 51,020 | ||||||||
1,481 | Sesa SPA | 132,982 | ||||||||
94,108 | Telecom Italia SPA | 44,823 | ||||||||
3,642 | Unieuro SPA * | 38,942 | ||||||||
|
| |||||||||
Total Italy | 25,495,078 | |||||||||
|
| |||||||||
Japan — 7.6% | ||||||||||
5,700 | 77 Bank Ltd (The) | 83,678 | ||||||||
12,400 | ADEKA Corp | 180,964 | ||||||||
102,500 | Aeon Mall Co Ltd (b) | 1,354,457 |
16 | 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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
6,100 | Aichi Corp | 47,243 | ||||||||
14,800 | Aida Engineering Ltd | 96,019 | ||||||||
6,000 | Altech Corp | 103,312 | ||||||||
227,900 | Amada Co Ltd | 2,025,342 | ||||||||
10,200 | Amano Corp | 212,644 | ||||||||
16,000 | AOKI Holdings Inc | 86,190 | ||||||||
4,600 | Arata Corp (b) | 219,847 | ||||||||
10,900 | Arcland Sakamoto Co Ltd | 216,723 | ||||||||
35,200 | Arcs Co Ltd | 869,944 | ||||||||
350,700 | Asahi Kasei Corp (c) | 2,937,896 | ||||||||
126,800 | Asics Corp | 1,748,101 | ||||||||
531,100 | Astellas Pharma Inc (c) | 8,331,977 | ||||||||
900 | Bandai Namco Holdings Inc | 55,875 | ||||||||
3,600 | Bando Chemical Industries Ltd | 19,724 | ||||||||
4,400 | BeNEXT Group Inc | 46,621 | ||||||||
172,700 | Brother Industries Ltd | 2,857,130 | ||||||||
10,800 | Bunka Shutter Co Ltd | 76,722 | ||||||||
6,000 | Cawachi Ltd | 170,728 | ||||||||
5,500 | Central Glass Co Ltd | 109,471 | ||||||||
1,600 | Chiyoda Integre Co Ltd | 24,172 | ||||||||
13,700 | Chugai Pharmaceutical Co Ltd | 610,431 | ||||||||
65,300 | Chugoku Marine Paints Ltd | 607,132 | ||||||||
2,900 | Cleanup Corp | 13,976 | ||||||||
4,300 | CONEXIO Corp | 52,707 | ||||||||
5,400 | Dai Nippon Toryo Co Ltd | 45,082 | ||||||||
1,500 | Dai-Dan Co Ltd | 38,020 | ||||||||
25,000 | Daihen Corp | 984,010 | ||||||||
1,900 | Daiichi Jitsugyo Co Ltd | 64,798 | ||||||||
1,900 | Dainichiseika Color & Chemicals Manufacturing Co Ltd | 38,624 | ||||||||
5,200 | Daiwa Industries Ltd | 45,056 | ||||||||
26,200 | Daiwabo Holdings Co Ltd | 1,577,677 | ||||||||
62,200 | Denka Co Ltd | 1,750,328 | ||||||||
34,400 | Doshisha Co Ltd | 659,410 | ||||||||
25,400 | DTS Corp | 532,554 | ||||||||
7,100 | Ehime Bank Ltd (The) | 77,349 | ||||||||
15,300 | Elecom Co Ltd | 692,474 | ||||||||
8,500 | FAN Communications Inc | 36,455 | ||||||||
13,500 | FANUC Corp | 2,368,338 | ||||||||
37,900 | Fuji Electric Co Ltd | 1,182,391 | ||||||||
1,800 | Fujicco Co Ltd | 35,273 | ||||||||
3,900 | Fujimi Inc | 130,392 | ||||||||
9,500 | Fujitec Co Ltd | 189,408 | ||||||||
14,800 | Fujitsu General Ltd | 387,254 | ||||||||
47,400 | Fujitsu Ltd | 6,187,599 | ||||||||
8,700 | Furuno Electric Co Ltd | 77,286 | ||||||||
4,400 | G-7 Holdings Inc | 132,415 | ||||||||
17,200 | Geo Holdings Corp (b) | 278,773 | ||||||||
5,100 | Glory Ltd | 106,489 | ||||||||
8,500 | GungHo Online Entertainment Inc | 175,519 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
11,600 | Gunma Bank Ltd (The) | 38,139 | ||||||||
18,100 | Gunze Ltd | 651,537 | ||||||||
6,400 | Hachijuni Bank Ltd (The) | 24,732 | ||||||||
14,000 | Hakuhodo DY Holdings Inc | 173,829 | ||||||||
3,600 | Hakuto Co Ltd | 37,552 | ||||||||
204,400 | Haseko Corp (b) | 2,789,314 | ||||||||
107,900 | Hazama Ando Corp | 732,931 | ||||||||
2,600 | Heiwado Co Ltd | 53,622 | ||||||||
18,700 | Hiroshima Bank Ltd (The) | 94,637 | ||||||||
14,700 | Hisamitsu Pharmaceutical Co Inc (b) | 679,051 | ||||||||
104,700 | Hitachi Ltd | 3,483,211 | ||||||||
30,700 | Hogy Medical Co Ltd | 974,776 | ||||||||
36,000 | Honda Motor Co Ltd | 916,515 | ||||||||
30,400 | Horiba Ltd | 1,664,356 | ||||||||
500 | Hosokawa Micron Corp | 26,669 | ||||||||
7,900 | Inaba Denki Sangyo Co Ltd | 195,606 | ||||||||
49,800 | Inabata & Co Ltd | 614,128 | ||||||||
5,400 | Infocom Corp (b) | 179,474 | ||||||||
93,900 | ITOCHU Corp (b) | 2,409,688 | ||||||||
18,100 | Itochu Enex Co Ltd | 160,290 | ||||||||
54,800 | Itochu Techno-Solutions Corp | 1,983,596 | ||||||||
600 | Itochu-Shokuhin Co Ltd | 31,715 | ||||||||
11,600 | Itoki Corp | 39,860 | ||||||||
27,500 | Jafco Co Ltd | 1,106,654 | ||||||||
7,900 | Jeol Ltd | 231,582 | ||||||||
159,300 | JVCKenwood Corp | 235,575 | ||||||||
204,900 | K’s Holdings Corp | 2,903,321 | ||||||||
79,400 | Kadokawa Corp | 2,031,021 | ||||||||
9,700 | Kaken Pharmaceutical Co Ltd | 449,378 | ||||||||
3,500 | Kamei Corp | 32,633 | ||||||||
26,400 | Kanamoto Co Ltd | 573,034 | ||||||||
105,700 | Kanematsu Corp | 1,334,504 | ||||||||
3,200 | Kanematsu Electronics Ltd | 122,142 | ||||||||
2,600 | Kato Sangyo Co Ltd | 89,628 | ||||||||
343,100 | KDDI Corp | 9,973,176 | ||||||||
9,900 | Keihin Corp | 240,385 | ||||||||
6,200 | Keiyo Bank Ltd (The) | 28,927 | ||||||||
162,300 | Kenedix Inc | 788,326 | ||||||||
70,400 | Kinden Corp | 1,161,304 | ||||||||
4,500 | Kissei Pharmaceutical Co Ltd | 98,144 | ||||||||
4,600 | Kiyo Bank Ltd (The) | 67,928 | ||||||||
1,500 | Kohnan Shoji Co Ltd | 54,163 | ||||||||
6,100 | Komeri Co Ltd | 189,023 | ||||||||
198,774 | Konica Minolta Inc | 641,206 | ||||||||
21,000 | Konoike Transport Co Ltd | 223,430 | ||||||||
3,700 | Kureha Corp | 158,250 | ||||||||
65,700 | Kyowa Exeo Corp | 1,652,856 | ||||||||
3,400 | Lion Corp | 72,120 | ||||||||
6,500 | Makino Milling Machine Co Ltd | 224,468 | ||||||||
29,700 | Mandom Corp | 472,104 |
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
31,900 | Maruichi Steel Tube Ltd | 855,242 | ||||||||
2,100 | Maruzen Showa Unyu Co Ltd | 67,905 | ||||||||
15,700 | Marvelous Inc | 117,417 | ||||||||
2,000 | Matsuda Sangyo Co Ltd | 29,380 | ||||||||
58,200 | Maxell Holdings Ltd | 558,022 | ||||||||
48,200 | MCJ Co Ltd | 428,854 | ||||||||
74,800 | Mebuki Financial Group Inc | 181,337 | ||||||||
21,200 | Meidensha Corp | 326,336 | ||||||||
300 | MEIJI Holdings Co Ltd | 24,257 | ||||||||
4,500 | METAWATER Co Ltd | 189,048 | ||||||||
111,800 | Mitsubishi Chemical Holdings Corp | 652,875 | ||||||||
65,000 | Mitsubishi Gas Chemical Co Inc | 1,160,702 | ||||||||
2,000 | Mitsubishi Research Institute Inc | 73,967 | ||||||||
804,800 | Mitsubishi UFJ Financial Group Inc | 3,357,925 | ||||||||
4,400 | Mitsuboshi Belting Ltd | 68,042 | ||||||||
10,900 | Mitsui Sugar Co Ltd | 198,808 | ||||||||
1,800 | Mixi Inc | 39,862 | ||||||||
6,100 | Mizuno Corp | 109,232 | ||||||||
4,100 | Mochida Pharmaceutical Co Ltd | 151,585 | ||||||||
65,300 | MS&AD Insurance Group Holdings Inc | 1,811,324 | ||||||||
5,100 | MTI Ltd | 35,174 | ||||||||
26,300 | NEC Corp | 1,388,670 | ||||||||
15,400 | NEC Networks & System Integration Corp | 286,317 | ||||||||
47,700 | NH Foods Ltd | 2,160,822 | ||||||||
14,000 | Nichias Corp | 331,441 | ||||||||
9,400 | Nichiha Corp | 221,940 | ||||||||
23,600 | Nikkon Holdings Co Ltd | 520,705 | ||||||||
25,400 | Nippo Corp | 657,780 | ||||||||
4,500 | Nippon Flour Mills Co Ltd (b) | 71,564 | ||||||||
29,600 | Nippon Kayaku Co Ltd | 290,786 | ||||||||
243,900 | Nippon Light Metal Holdings Co Ltd | 427,310 | ||||||||
9,400 | Nippon Soda Co Ltd | 266,889 | ||||||||
379,900 | Nippon Telegraph & Telephone Corp | 8,644,852 | ||||||||
2,600 | Nishimatsu Construction Co Ltd | 49,477 | ||||||||
5,600 | Nisshin Oillio Group Ltd (The) | 166,087 | ||||||||
1,500 | Nissin Corp | 22,779 | ||||||||
25,300 | Nissin Electric Co Ltd | 268,506 | ||||||||
9,000 | Nojima Corp | 266,355 | ||||||||
56,600 | Nomura Real Estate Holdings Inc (b) | 1,079,790 | ||||||||
1,800 | Nomura Research Institute Ltd | 47,860 | ||||||||
11,700 | NS Solutions Corp | 340,962 | ||||||||
79,300 | NTT DOCOMO Inc | 2,211,279 | ||||||||
1,100 | Obara Group Inc | 37,432 | ||||||||
413,900 | Obayashi Corp | 4,045,637 | ||||||||
11,900 | Okamura Corp | 83,561 | ||||||||
600 | Okinawa Cellular Telephone Co | 23,631 | ||||||||
5,800 | Organo Corp (b) | 307,312 | ||||||||
153,700 | ORIX Corp | 1,910,663 | ||||||||
4,200 | Osaka Soda Co Ltd | 100,035 | ||||||||
7,300 | Osaki Electric Co Ltd | 37,288 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
7,900 | Otsuka Corp | 387,701 | ||||||||
41,700 | Pacific Industrial Co Ltd | 389,418 | ||||||||
4,300 | Paramount Bed Holdings Co Ltd | 171,138 | ||||||||
71,200 | Penta-Ocean Construction Co Ltd | 456,626 | ||||||||
6,300 | Prima Meat Packers Ltd (b) | 184,426 | ||||||||
5,700 | Proto Corp | 65,497 | ||||||||
25,500 | Raiznext Corp | 319,590 | ||||||||
2,300 | Rinnai Corp | 212,760 | ||||||||
1,900 | Rion Co Ltd | 40,249 | ||||||||
6,600 | Roland DG Corp | 78,363 | ||||||||
1,900 | Ryobi Ltd | 21,211 | ||||||||
14,100 | San-A Co Ltd | 572,964 | ||||||||
9,200 | San-Ai Oil Co Ltd | 81,017 | ||||||||
11,200 | San-In Godo Bank Ltd (The) | 55,940 | ||||||||
15,300 | Sanki Engineering Co Ltd | 164,029 | ||||||||
3,800 | Sanyo Chemical Industries Ltd | 176,544 | ||||||||
19,500 | Secom Co Ltd | 1,845,430 | ||||||||
22,400 | Seiko Holdings Corp (b) | 315,675 | ||||||||
62,000 | Sekisui Chemical Co Ltd (c) | 991,898 | ||||||||
4,300 | Sekisui Jushi Corp | 90,161 | ||||||||
22,400 | SG Holdings Co Ltd | 1,030,808 | ||||||||
326,200 | Shimizu Corp | 2,505,663 | ||||||||
6,600 | Shizuoka Gas Co Ltd | 54,411 | ||||||||
54,600 | Showa Corp | 1,170,982 | ||||||||
800 | Sinanen Holdings Co Ltd | 22,355 | ||||||||
9,100 | Sinko Industries Ltd | 116,979 | ||||||||
7,400 | Sintokogio Ltd | 49,372 | ||||||||
135,900 | SKY Perfect JSAT Holdings Inc | 518,598 | ||||||||
271,000 | Sojitz Corp | 619,824 | ||||||||
940,300 | Sumitomo Chemical Co Ltd | 3,049,767 | ||||||||
51,700 | Sumitomo Dainippon Pharma Co Ltd (b) | 653,588 | ||||||||
85,000 | Sumitomo Forestry Co Ltd | 1,357,100 | ||||||||
2,300 | Sumitomo Seika Chemicals Co Ltd (b) | 74,816 | ||||||||
1,700 | Suzuken Co Ltd | 63,151 | ||||||||
36,700 | T Hasegawa Co Ltd | 732,655 | ||||||||
22,200 | T-Gaia Corp | 437,147 | ||||||||
5,500 | Taisei Corp | 189,837 | ||||||||
49,700 | Takara Leben Co Ltd | 161,868 | ||||||||
16,500 | Takasago Thermal Engineering Co Ltd | 225,997 | ||||||||
2,100 | Takeuchi Manufacturing Co Ltd | 44,023 | ||||||||
60,400 | Takuma Co Ltd | 966,892 | ||||||||
9,000 | Tamron Co Ltd | 145,221 | ||||||||
5,100 | Tanseisha Co Ltd | 34,231 | ||||||||
40,800 | Teijin Ltd | 639,729 | ||||||||
2,600 | TKC Corp | 145,804 | ||||||||
31,700 | Toho Holdings Co Ltd | 612,778 | ||||||||
6,300 | Tokyo Electron Ltd (b) | 1,616,001 | ||||||||
59,500 | Tokyu Construction Co Ltd | 272,806 | ||||||||
9,100 | TOMONY Holdings Inc | 29,075 | ||||||||
19,100 | Toppan Forms Co Ltd | 172,889 |
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
193,000 | Toppan Printing Co Ltd | 2,995,312 | ||||||||
4,400 | Torii Pharmaceutical Co Ltd | 114,536 | ||||||||
77,600 | Tosei Corp (b) | 679,465 | ||||||||
144,800 | Tosoh Corp | 2,142,168 | ||||||||
3,300 | Towa Pharmaceutical Co Ltd | 65,535 | ||||||||
40,300 | Toyo Construction Co Ltd | 153,656 | ||||||||
29,900 | Toyo Suisan Kaisha Ltd | 1,700,030 | ||||||||
35,700 | Toyota Industries Corp | 2,073,734 | ||||||||
6,400 | TPR Co Ltd | 85,114 | ||||||||
6,200 | Trend Micro Inc | 383,688 | ||||||||
34,400 | TS Tech Co Ltd (c) | 1,006,267 | ||||||||
7,500 | UKC Holdings Corp | 137,835 | ||||||||
56,800 | Ushio Inc | 702,388 | ||||||||
1,600 | Valqua Ltd | 26,685 | ||||||||
7,900 | Wacoal Holdings Corp (b) | 140,347 | ||||||||
1,800 | Welcia Holdings Co Ltd | 77,111 | ||||||||
18,400 | YAMABIKO Corp | 187,356 | ||||||||
5,900 | Yamaguchi Financial Group Inc | 39,067 | ||||||||
6,400 | Yamaha Motor Co Ltd | 100,488 | ||||||||
4,800 | Yamazen Corp | 45,195 | ||||||||
14,000 | Yellow Hat Ltd | 230,651 | ||||||||
116,700 | Yokogawa Electric Corp | 1,906,363 | ||||||||
9,700 | Yuasa Trading Co Ltd | 281,879 | ||||||||
43,900 | Zenkoku Hosho Co Ltd | 1,553,370 | ||||||||
|
| |||||||||
Total Japan | 161,930,778 | |||||||||
|
| |||||||||
Kuwait — 0.0% | ||||||||||
2,254 | Humansoft Holding Co KSC * | 18,656 | ||||||||
5,905 | Kuwait Finance House KSCP | 12,100 | ||||||||
|
| |||||||||
Total Kuwait | 30,756 | |||||||||
|
| |||||||||
Malaysia — 0.6% | ||||||||||
1,358,300 | DRB-Hicom Berhad | 665,007 | ||||||||
52,000 | Kossan Rubber Industries | 200,058 | ||||||||
314,600 | Magnum Berhad | 168,318 | ||||||||
170,200 | MISC Berhad | 310,423 | ||||||||
1,796,509 | Supermax Corp Berhad * | 9,570,145 | ||||||||
92,500 | Syarikat Takaful Malaysia Keluarga Berhad | 111,994 | ||||||||
121,900 | Telekom Malaysia Berhad | 121,247 | ||||||||
173,800 | Top Glove Corp Berhad | 1,097,729 | ||||||||
104,600 | Westports Holdings Berhad | 91,296 | ||||||||
|
| |||||||||
Total Malaysia | 12,336,217 | |||||||||
|
| |||||||||
Mexico — 0.9% | ||||||||||
3,200 | Grupo Aeroportuario del Sureste SAB de CV ADR * | 363,072 | ||||||||
210,800 | Nemak SAB de CV | 60,884 | ||||||||
3,820 | Promotora y Operadora de Infraestructura SAB de CV * | 28,284 | ||||||||
39,400 | Qualitas Controladora SAB de CV | 155,209 |
Shares | Description | Value ($) | ||||||||
Mexico — continued | ||||||||||
57,800 | Banco del Bajio SA * | 46,225 | ||||||||
23,600 | Regional SAB de CV * | 58,995 | ||||||||
21,500 | America Movil SAB de CV – Class L Sponsored ADR | 261,655 | ||||||||
1,500 | Coca-Cola Femsa SAB de CV Sponsored ADR | 62,685 | ||||||||
34,500 | Kimberly-Clark de Mexico SAB de CV – Class A | 55,040 | ||||||||
1,672,800 | America Movil SAB de CV – Series L | 1,016,737 | ||||||||
122,700 | Credito Real SAB de CV SOFOM ER * | 68,970 | ||||||||
184,200 | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | 117,429 | ||||||||
2,500 | Grupo Aeroportuario del Centro Norte SAB de CV ADR * | 91,150 | ||||||||
10,400 | Grupo Aeroportuario del Pacifico SAB de CV – Class B | 80,883 | ||||||||
115,100 | Grupo Aeroportuario del Centro Norte SAB de CV * | 527,108 | ||||||||
3,695,038 | Wal-Mart de Mexico SAB de CV | 8,848,368 | ||||||||
5,305 | Grupo Aeroportuario del Sureste SAB de CV – Class B * | 60,248 | ||||||||
42,800 | Arca Continental SAB de CV | 194,558 | ||||||||
127,942 | Grupo Herdez SAB de CV | 220,370 | ||||||||
5,300 | Fomento Economico Mexicano SAB de CV | 30,823 | ||||||||
31,600 | El Puerto de Liverpool SAB de CV – Class C1 | 83,239 | ||||||||
607,800 | Grupo Financiero Banorte SAB de CV – Class O * | 2,088,774 | ||||||||
1,192,300 | Grupo Mexico SAB de CV Series B | 3,182,082 | ||||||||
80,800 | Grupo Financiero Inbursa SAB de CV – Class O * | 59,081 | ||||||||
600 | Fomento Economico Mexicano SAB de CV Sponsored ADR (b) | 34,998 | ||||||||
3,800 | Grupo Aeroportuario del Pacifico SAB de CV ADR | 294,424 | ||||||||
27,500 | Corp Inmobiliaria Vesta SAB de CV | 40,844 | ||||||||
24,649 | Unifin Financiera SAB de CV SOFOM ENR * | 20,704 | ||||||||
799,600 | Fibra Uno Administracion SA de CV (REIT) | 625,590 | ||||||||
478,600 | Gentera SAB de CV * | 156,821 | ||||||||
|
| |||||||||
Total Mexico | 18,935,250 | |||||||||
|
| |||||||||
Netherlands — 1.7% | ||||||||||
21,585 | ABN AMRO Bank NV CVA * | 205,008 | ||||||||
1,003 | Adyen NV * | 1,690,709 | ||||||||
1,081 | Alfen Beheer BV * | 78,288 | ||||||||
1,427 | ASM International NV | 214,247 | ||||||||
107,316 | ASR Nederland NV | 3,710,215 | ||||||||
11,846 | ForFarmers NV | 76,454 | ||||||||
33,402 | Heineken Holding NV | 2,733,026 | ||||||||
282 | Hunter Douglas NV * | 15,169 | ||||||||
98,999 | Koninklijke Ahold Delhaize NV | 2,978,463 | ||||||||
44,346 | Koninklijke Vopak NV | 2,434,866 | ||||||||
94,679 | Randstad NV | 4,927,418 | ||||||||
221,115 | Signify NV * (c) | 7,375,847 |
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Netherlands — continued | ||||||||||
106,124 | Wolters Kluwer NV | 8,705,682 | ||||||||
|
| |||||||||
Total Netherlands | 35,145,392 | |||||||||
|
| |||||||||
New Zealand — 0.0% | ||||||||||
129,141 | Air New Zealand Ltd | 121,371 | ||||||||
12,344 | Fisher & Paykel Healthcare Corp Ltd – Class C | 305,722 | ||||||||
16,081 | Synlait Milk Ltd * | 67,165 | ||||||||
|
| |||||||||
Total New Zealand | 494,258 | |||||||||
|
| |||||||||
Norway — 0.8% | ||||||||||
81,833 | Austevoll Seafood ASA | 754,709 | ||||||||
15,020 | Avance Gas Holding Ltd (b) | 36,177 | ||||||||
17,334 | Borregaard ASA | 252,851 | ||||||||
249,149 | BW LPG Ltd | 1,162,369 | ||||||||
299,905 | DNB ASA * | 4,804,220 | ||||||||
288,612 | Elkem ASA | 595,272 | ||||||||
72,310 | Europris ASA | 363,973 | ||||||||
60,900 | Frontline Ltd (b) | 484,764 | ||||||||
47,078 | Gjensidige Forsikring ASA * | 1,002,195 | ||||||||
2,522 | Kongsberg Gruppen ASA | 37,469 | ||||||||
50,979 | Kvaerner ASA * | 47,368 | ||||||||
78,267 | Norwegian Finans Holding ASA * | 593,068 | ||||||||
353,214 | Orkla ASA | 3,592,724 | ||||||||
4,168 | Salmar ASA * | 225,497 | ||||||||
19,122 | Sbanken ASA * | 147,247 | ||||||||
24,511 | Selvaag Bolig ASA | 149,171 | ||||||||
38,753 | SpareBank 1 Nord Norge | 298,400 | ||||||||
19,287 | SpareBank 1 SMN | 191,639 | ||||||||
104,265 | SpareBank 1 SR-Bank ASA * | 936,496 | ||||||||
841 | Veidekke ASA * | 11,306 | ||||||||
30,464 | Yara International ASA | 1,276,330 | ||||||||
|
| |||||||||
Total Norway | 16,963,245 | |||||||||
|
| |||||||||
Pakistan — 0.0% | ||||||||||
34,810 | Engro Corp Ltd | 62,652 | ||||||||
305,352 | Engro Fertilizers Ltd | 116,662 | ||||||||
293,480 | Oil & Gas Development Co Ltd | 203,358 | ||||||||
35,284 | Pakistan Oilfields Ltd | 91,656 | ||||||||
161,315 | Pakistan Petroleum Ltd | 99,298 | ||||||||
23,700 | Pakistan State Oil Co Ltd | 27,497 | ||||||||
40,800 | Searle Co Ltd (The) | 64,026 | ||||||||
52,553 | United Bank Ltd | 39,632 | ||||||||
|
| |||||||||
Total Pakistan | 704,781 | |||||||||
|
| |||||||||
Philippines — 0.1% | ||||||||||
29,900 | Ayala Land Inc | 17,729 | ||||||||
15,780 | Globe Telecom Inc | 678,939 | ||||||||
14,660 | Manila Electric Co | 81,303 | ||||||||
2,369,000 | Megaworld Corp * | 142,054 |
Shares | Description | Value ($) | ||||||||
Philippines — continued | ||||||||||
2,145,000 | Metro Pacific Investments Corp | 148,644 | ||||||||
15,810 | Security Bank Corp | 31,689 | ||||||||
135,050 | Semirara Mining & Power Corp | 26,223 | ||||||||
|
| |||||||||
Total Philippines | 1,126,581 | |||||||||
|
| |||||||||
Poland — 0.4% | ||||||||||
34,384 | Asseco Poland SA | 662,917 | ||||||||
28,413 | Bank Polska Kasa Opieki SA * | 402,783 | ||||||||
3,461 | Budimex SA | 220,096 | ||||||||
107,982 | Cyfrowy Polsat SA * | 842,941 | ||||||||
96,936 | Energa SA * | 213,161 | ||||||||
174,633 | PLAY Communications SA | 1,447,276 | ||||||||
126,584 | Polski Koncern Naftowy ORLEN SA | 1,741,196 | ||||||||
180,176 | Polskie Gornictwo Naftowe i Gazownictwo SA | 250,514 | ||||||||
9,917 | Powszechna Kasa Oszczednosci Bank Polski SA * | 57,945 | ||||||||
352,427 | Powszechny Zaklad Ubezpieczen SA * | 2,598,546 | ||||||||
2,674 | Santander Bank Polska SA * | 109,838 | ||||||||
|
| |||||||||
Total Poland | 8,547,213 | |||||||||
|
| |||||||||
Portugal — 0.8% | ||||||||||
186,637 | Altri SGPS SA | 936,196 | ||||||||
6,473,179 | Banco Comercial Portugues SA – Class R * (b) | 766,096 | ||||||||
113,256 | CTT-Correios de Portugal SA * (b) | 353,154 | ||||||||
26,770 | EDP Renovaveis SA | 457,927 | ||||||||
842,591 | EDP – Energias de Portugal SA | 4,283,369 | ||||||||
484,750 | Galp Energia SGPS SA | 5,205,318 | ||||||||
163,290 | Jeronimo Martins SGPS SA | 2,687,271 | ||||||||
118,662 | Mota-Engil SGPS SA * | 223,753 | ||||||||
172,750 | Navigator Co SA (The) * | 456,744 | ||||||||
236,536 | NOS SGPS SA | 958,014 | ||||||||
171,918 | REN – Redes Energeticas Nacionais SGPS SA | 500,512 | ||||||||
12,232 | Semapa-Sociedade de Investimento e Gestao | 111,786 | ||||||||
1,185,197 | Sonae SGPS SA | 845,981 | ||||||||
|
| |||||||||
Total Portugal | 17,786,121 | |||||||||
|
| |||||||||
Qatar — 0.0% | ||||||||||
114,022 | Doha Bank QPSC * | 74,591 | ||||||||
16,615 | Masraf Al Rayan QSC | 19,025 | ||||||||
8,101 | Qatar Electricity & Water Co QSC | 38,255 | ||||||||
31,879 | Qatar Insurance Co SAQ | 18,623 | ||||||||
104,096 | Qatar National Bank QPSC | 514,360 | ||||||||
45,376 | Qatar National Cement Co QSC | 49,683 | ||||||||
|
| |||||||||
Total Qatar | 714,537 | |||||||||
|
| |||||||||
Russia — 3.1% | ||||||||||
2,026,180 | Alrosa PJSC | 1,801,088 | ||||||||
931,600 | Credit Bank of Moscow PJSC * | 77,176 | ||||||||
60,030 | Detsky Mir PJSC | 94,397 |
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Russia — continued | ||||||||||
55,500,000 | Federal Grid Co Unified Energy System PJSC | 146,413 | ||||||||
32,730 | Gazprom Neft PJSC | 140,678 | ||||||||
2,752 | Gazprom Neft PJSC Sponsored ADR | 58,200 | ||||||||
737,280 | Gazprom PJSC | 1,800,856 | ||||||||
25,637 | Globaltrans Investment Plc Sponsored GDR (Registered) | 158,624 | ||||||||
102,187,001 | Inter RAO UES PJSC | 7,198,250 | ||||||||
2,687 | LSR Group PJSC | 28,502 | ||||||||
66,217 | LSR Group PJSC GDR (Registered) | 139,077 | ||||||||
122,899 | LUKOIL PJSC | 8,254,396 | ||||||||
193,167 | LUKOIL PJSC Sponsored ADR | 13,216,890 | ||||||||
30,340 | M.Video PJSC | 230,915 | ||||||||
813,100 | Magnitogorsk Iron & Steel Works PJSC | 412,910 | ||||||||
34,180 | Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered) | 231,105 | ||||||||
272,449 | MMC Norilsk Nickel PJSC ADR | 7,150,313 | ||||||||
78,700 | Mobile TeleSystems PJSC Sponsored ADR | 733,484 | ||||||||
697,660 | Moscow Exchange MICEX-RTS PJSC | 1,290,096 | ||||||||
21,262 | Novatek PJSC Sponsered GDR (Registered) | 3,174,056 | ||||||||
89,090 | Novolipetsk Steel PJSC | 185,839 | ||||||||
168,015 | Novolipetsk Steel PJSC GDR | 3,501,359 | ||||||||
15,668 | PhosAgro PJSC GDR (Registered) | 185,415 | ||||||||
38,817 | Polymetal International Plc (a) | 1,053,411 | ||||||||
11,158 | Polymetal International Plc (a) | 298,340 | ||||||||
4,434 | Polyus PJSC GDR (Registered) | 542,611 | ||||||||
15,500 | QIWI Plc Sponsored ADR | 278,535 | ||||||||
81,350 | Raspadskaya OJSC | 125,947 | ||||||||
72,534,000 | ROSSETI PJSC | 1,426,720 | ||||||||
12,920 | Rostelecom PJSC | 16,906 | ||||||||
5,348 | Rostelecom PJSC Sponsored ADR | 42,133 | ||||||||
13,580 | Safmar Financial Investment * | 96,767 | ||||||||
235,117 | Sberbank of Russia PJSC Sponsored ADR * | 2,825,089 | ||||||||
62,995 | Severstal PJSC GDR (Registered) | 795,842 | ||||||||
4,693,000 | Surgutneftegas PJSC | 2,321,074 | ||||||||
269,801 | Surgutneftegas PJSC Sponsored ADR | 1,348,665 | ||||||||
52,266 | Tatneft PJSC | 384,823 | ||||||||
77,312 | Tatneft PJSC Sponsored ADR | 3,468,898 | ||||||||
19,808 | TCS Group Holding Plc GDR (Registered) | 487,820 | ||||||||
5,545,000 | Unipro PJSC | 201,896 | ||||||||
366,106 | VTB Bank PJSC GDR (Registered) * | 331,590 | ||||||||
|
| |||||||||
Total Russia | 66,257,106 | |||||||||
|
| |||||||||
Singapore — 1.1% | ||||||||||
201,300 | Accordia Golf Trust | 107,154 | ||||||||
157,300 | AEM Holdings Ltd | 464,991 | ||||||||
166,700 | Ascendas Real Estate Investment Trust | 406,146 | ||||||||
243,500 | Asian Pay Television Trust | 23,262 | ||||||||
171,400 | CapitaLand Commercial Trust (REIT) | 211,330 | ||||||||
41,500 | CapitaLand Ltd | 84,379 | ||||||||
79,200 | City Developments Ltd | 466,698 |
Shares | Description | Value ($) | ||||||||
Singapore — continued | ||||||||||
558,600 | ComfortDelGro Corp Ltd | 606,304 | ||||||||
522,800 | DBS Group Holdings Ltd | 8,011,892 | ||||||||
187,200 | First Real Estate Investment Trust | 68,016 | ||||||||
88,400 | Frasers Logistics & Industrial Trust (REIT) | 86,900 | ||||||||
443,140 | Japfa Ltd | 203,299 | ||||||||
25,600 | Jardine Cycle & Carriage Ltd | 356,253 | ||||||||
25,000 | Keppel DC (REIT) | 53,421 | ||||||||
115,300 | Lendlease Global Commercial (REIT) | 55,869 | ||||||||
577,900 | Mapletree Industrial Trust (REIT) | 1,293,389 | ||||||||
166,600 | Mapletree Logistics Trust (REIT) | 253,134 | ||||||||
717,500 | Mapletree North Asia Commercial Trust (REIT) | 494,907 | ||||||||
29,000 | Parkway Life Real Estate Investment Trust (REIT) | 80,108 | ||||||||
331,400 | Sasseur Real Estate Investment Trust | 188,593 | ||||||||
349,500 | Silverlake Axis Ltd | 82,096 | ||||||||
261,800 | Singapore Exchange Ltd | 1,655,504 | ||||||||
32,900 | SPH (REIT) | 21,017 | ||||||||
242,400 | StarHub Ltd | 217,200 | ||||||||
36,700 | United Overseas Bank Ltd | 526,234 | ||||||||
202,600 | Venture Corp Ltd | 2,952,743 | ||||||||
14,300 | Wilmar International Ltd | 45,751 | ||||||||
7,123,999 | Yangzijiang Shipbuilding Holdings Ltd | 4,785,874 | ||||||||
509,300 | Yanlord Land Group Ltd | 452,393 | ||||||||
|
| |||||||||
Total Singapore | 24,254,857 | |||||||||
|
| |||||||||
South Africa — 1.3% | ||||||||||
915,873 | Absa Group Ltd | 4,148,343 | ||||||||
10,819 | Anglo American Platinum Ltd | 805,831 | ||||||||
43,453 | Aspen Pharmacare Holdings Ltd * | 347,012 | ||||||||
63,714 | Astral Foods Ltd | 500,018 | ||||||||
10,217 | AVI Ltd | 41,515 | ||||||||
195,921 | Barloworld Ltd | 687,216 | ||||||||
6,286 | Bid Corp Ltd | 103,480 | ||||||||
551,129 | Blue Label Telecoms Ltd * | 103,699 | ||||||||
3,120 | Capitec Bank Holdings Ltd | 153,143 | ||||||||
26,393 | Clicks Group Ltd | 357,208 | ||||||||
7,814 | Coronation Fund Managers Ltd | 19,669 | ||||||||
40,599 | Discovery Ltd | 288,937 | ||||||||
70,429 | Emira Property Fund Ltd (REIT) | 22,552 | ||||||||
421,537 | FirstRand Ltd | 937,927 | ||||||||
67,673 | Foschini Group Ltd (The) | 304,604 | ||||||||
6,148 | Gold Fields Ltd | 80,459 | ||||||||
36,200 | Gold Fields Ltd Sponsored ADR | 471,686 | ||||||||
517,293 | Growthpoint Properties Ltd (REIT) | 372,609 | ||||||||
14,493 | Hyprop Investments Ltd (REIT) | 15,963 | ||||||||
117,595 | Imperial Logistics Ltd | 239,408 | ||||||||
74,376 | Investec Ltd | 137,863 | ||||||||
158,979 | Kumba Iron Ore Ltd | 4,982,019 | ||||||||
57,204 | Lewis Group Ltd | 59,618 |
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Africa — continued | ||||||||||
89,660 | Liberty Holdings Ltd | 320,016 | ||||||||
33,464 | Metair Investments Ltd * | 36,130 | ||||||||
353,262 | Motus Holdings Ltd * | 572,408 | ||||||||
98,382 | Mr Price Group Ltd | 670,448 | ||||||||
5,746 | MultiChoice Group Ltd * | 32,689 | ||||||||
46,124 | Murray & Roberts Holdings Ltd | 14,963 | ||||||||
15,322 | Naspers Ltd – N Shares | 2,793,733 | ||||||||
46,462 | Nedbank Group Ltd | 262,054 | ||||||||
233,838 | Netcare Ltd | 172,906 | ||||||||
2,657,474 | Old Mutual Ltd | 1,749,918 | ||||||||
37,053 | Rand Merchant Investment Holdings Ltd | 65,495 | ||||||||
32,783 | Raubex Group Ltd | 47,056 | ||||||||
29,157 | Remgro Ltd | 150,246 | ||||||||
226,815 | Reunert Ltd | 410,681 | ||||||||
1,640,950 | RMB Holdings Ltd | 118,567 | ||||||||
599,249 | Sanlam Ltd | 1,931,262 | ||||||||
1,864 | Santam Ltd | 26,866 | ||||||||
125,075 | Sappi Ltd * | 164,315 | ||||||||
17,751 | Shoprite Holdings Ltd | 115,795 | ||||||||
21,665 | Standard Bank Group Ltd | 134,532 | ||||||||
979,797 | Telkom SA SOC Ltd | 1,311,485 | ||||||||
6,843 | Tiger Brands Ltd | 69,443 | ||||||||
245,509 | Truworths International Ltd | 439,677 | ||||||||
90,743 | Tsogo Sun Gaming Ltd | 19,476 | ||||||||
49,940 | Vodacom Group Ltd | 375,910 | ||||||||
38,007 | Wilson Bayly Holmes-Ovcon Ltd | 248,434 | ||||||||
|
| |||||||||
Total South Africa | 27,435,284 | |||||||||
|
| |||||||||
South Korea — 2.9% | ||||||||||
27,827 | Aekyung Petrochemical Co Ltd | 158,900 | ||||||||
9,968 | Aju Capital Co Ltd | 98,869 | ||||||||
6,842 | BNK Financial Group Inc | 29,203 | ||||||||
818 | Bukwang Pharmaceutical Co Ltd | 26,028 | ||||||||
3,981 | Daou Data Corp | 45,301 | ||||||||
37,680 | DB HiTek Co Ltd | 1,127,286 | ||||||||
8,952 | DB Insurance Co Ltd | 328,540 | ||||||||
34,093 | Dongwon Development Co Ltd | 109,989 | ||||||||
6,265 | GS Home Shopping Inc | 616,115 | ||||||||
444,888 | Hana Financial Group Inc | 10,529,255 | ||||||||
17,834 | Hankook Tire & Technology Co Ltd | 441,848 | ||||||||
6,813 | Hansae Yes24 Holdings Co Ltd | 28,129 | ||||||||
6,715 | HDC Hyundai Development Co-Engineering & Construction | 129,902 | ||||||||
5,621 | Huons Co Ltd | 342,599 | ||||||||
2,997 | Hy-Lok Corp | 29,606 | ||||||||
10,930 | Hyundai Home Shopping Network Corp | 600,387 | ||||||||
5,502 | Hyundai Mobis Co Ltd | 1,029,671 | ||||||||
148,192 | Industrial Bank of Korea | 1,006,759 | ||||||||
7,828 | JB Financial Group Co Ltd | 28,234 | ||||||||
68,996 | KB Financial Group Inc | 2,140,642 | ||||||||
6,200 | KB Financial Group Inc ADR | 191,890 |
Shares | Description | Value ($) | ||||||||
South Korea — continued | ||||||||||
8,292 | KEPCO Plant Service & Engineering Co Ltd | 193,846 | ||||||||
368,433 | Kia Motors Corp | 13,103,800 | ||||||||
17,594 | Korea Asset In Trust Co Ltd | 52,801 | ||||||||
18,413 | Korea Autoglass Corp | 222,428 | ||||||||
27,226 | Korean Reinsurance Co | 168,041 | ||||||||
8,421 | KT Corp | 168,911 | ||||||||
5,621 | KT Skylife Co Ltd | 40,254 | ||||||||
57,336 | KT&G Corp | 4,009,041 | ||||||||
42,665 | LF Corp | 459,043 | ||||||||
23,691 | LG Electronics Inc | 1,675,837 | ||||||||
741 | LOTTE Fine Chemical Co Ltd | 27,835 | ||||||||
22,873 | Mirae Asset Life Insurance Co Ltd | 72,112 | ||||||||
106 | NCSoft Corp | 73,540 | ||||||||
17,401 | S&T Motiv Co Ltd | 803,384 | ||||||||
28,634 | Samjin Pharmaceutical Co Ltd | 701,806 | ||||||||
96,196 | Samsung Electronics Co Ltd | 4,367,889 | ||||||||
6,418 | Sebang Global Battery Co Ltd | 147,350 | ||||||||
529 | Seegene Inc | 117,556 | ||||||||
1,033 | SFA Engineering Corp | 28,773 | ||||||||
249,811 | Shinhan Financial Group Co Ltd | 6,217,534 | ||||||||
44,743 | SK Hynix Inc | 2,827,577 | ||||||||
13,962 | SK Telecom Co Ltd | 2,911,100 | ||||||||
157,400 | SK Telecom Co Ltd Sponsored ADR | 3,615,478 | ||||||||
6,469 | SL Corp | 65,307 | ||||||||
132,375 | Woori Financial Group Inc | 940,613 | ||||||||
7,882 | Yuhan Corp | 444,106 | ||||||||
|
| |||||||||
Total South Korea | 62,495,115 | |||||||||
|
| |||||||||
Spain — 1.7% | ||||||||||
21,776 | Acerinox SA * | 176,822 | ||||||||
35,277 | ACS Actividades de Construccion y Servicios SA | 863,230 | ||||||||
46,609 | Aena SME SA * (c) | 6,958,538 | ||||||||
69,856 | Almirall SA * | 768,477 | ||||||||
39,529 | Amadeus IT Group SA | 2,220,629 | ||||||||
78,597 | Banco Bilbao Vizcaya Argentaria SA | 230,172 | ||||||||
443,373 | Banco Santander SA | 987,138 | ||||||||
63,349 | Cia de Distribucion Integral Logista Holdings SA | 1,123,278 | ||||||||
2,620 | Ebro Foods SA | 64,319 | ||||||||
10,080 | eDreams ODIGEO SA * (b) | 27,266 | ||||||||
32,736 | Enagas SA | 801,630 | ||||||||
303,924 | Endesa SA | 8,436,846 | ||||||||
59,968 | Faes Farma SA | 237,459 | ||||||||
328,721 | Iberdrola SA | 4,147,431 | ||||||||
126,913 | Industria de Diseno Textil SA | 3,568,441 | ||||||||
186,960 | Mediaset Espana Comunicacion SA * | 621,224 | ||||||||
131,016 | Red Electrica Corp SA | 2,507,403 | ||||||||
594,033 | Unicaja Banco SA * | 427,219 | ||||||||
21,375 | Viscofan SA | 1,581,435 | ||||||||
|
| |||||||||
Total Spain | 35,748,957 | |||||||||
|
|
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Sweden — 0.7% | ||||||||||
98,470 | Betsson AB * | 824,368 | ||||||||
29,711 | Bilia AB – A Shares * | 352,862 | ||||||||
10,808 | Bufab AB * | 146,230 | ||||||||
7,410 | Humana AB * | 52,056 | ||||||||
5,973 | Instalco Intressenter AB | 117,717 | ||||||||
43,703 | Inwido AB * | 435,213 | ||||||||
55,198 | Klovern AB – B Shares | 85,057 | ||||||||
4,274 | KNOW IT AB * | 109,910 | ||||||||
24,928 | Nobia AB * | 161,028 | ||||||||
16,624 | Nobina AB * | 100,583 | ||||||||
117,469 | Skanska AB – B Shares * | 2,389,061 | ||||||||
3,995 | SKF AB – B Shares | 79,906 | ||||||||
3,392 | SkiStar AB | 40,790 | ||||||||
34,810 | Swedish Match AB | 2,643,818 | ||||||||
17,842 | Volvo AB – A Shares * | 346,137 | ||||||||
339,234 | Volvo AB – B Shares * | 6,497,835 | ||||||||
|
| |||||||||
Total Sweden | 14,382,571 | |||||||||
|
| |||||||||
Switzerland — 0.9% | ||||||||||
5,000 | ABB Ltd (Registered) | 127,496 | ||||||||
2,340 | ALSO Holding AG (Registered) | 634,030 | ||||||||
1,050 | Banque Cantonale Vaudoise (Registered) | 112,135 | ||||||||
92 | Bell Food Group AG (Registered) | 23,658 | ||||||||
2,855 | BKW AG | 279,794 | ||||||||
2,042 | Bobst Group SA (Registered) | 132,214 | ||||||||
467 | Coltene Holding AG (Registered) | 40,595 | ||||||||
7,336 | Galenica AG | 526,755 | ||||||||
30 | Gurit Holding AG | 56,764 | ||||||||
1,735 | Huber + Suhner AG (Registered) | 134,696 | ||||||||
1,423 | Kardex Holding AG (Registered) | 295,704 | ||||||||
596 | Liechtensteinische Landesbank AG | 39,194 | ||||||||
4,218 | Mobilezone Holding AG (Registered) | 45,666 | ||||||||
29,718 | Novartis AG (Registered) | 2,561,305 | ||||||||
1,771 | Orior AG | 153,241 | ||||||||
891 | Partners Group Holding AG | 907,669 | ||||||||
10,998 | Roche Holding AG | 3,858,113 | ||||||||
24,344 | Roche Holding AG – Genusschein | 8,515,989 | ||||||||
2,100 | Vetropack Holding AG (Registered) * | 131,806 | ||||||||
4,078 | Wizz Air Holdings Plc * | 211,536 | ||||||||
|
| |||||||||
Total Switzerland | 18,788,360 | |||||||||
|
| |||||||||
Taiwan — 4.0% | ||||||||||
161,246 | TOPBI International Holdings Ltd | 192,627 | ||||||||
38,950 | OptoTech Corp | 28,310 | ||||||||
1,612,791 | Mitac Holdings Corp | 1,589,340 | ||||||||
76,000 | Sampo Corp | 60,345 | ||||||||
79,000 | Taiwan Sakura Corp | 127,740 | ||||||||
19,000 | Fusheng Precision Co Ltd | 112,059 | ||||||||
1,187,000 | Qisda Corp | 752,321 |
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
147,000 | Merry Electronics Co Ltd | 770,291 | ||||||||
25,000 | Getac Technology Corp | 41,515 | ||||||||
32,000 | Kindom Construction Corp | 43,013 | ||||||||
42,000 | Nichidenbo Corp | 64,767 | ||||||||
17,000 | Supreme Electronics Co Ltd | 17,237 | ||||||||
1,774 | Shin Zu Shing Co Ltd | 9,124 | ||||||||
19,000 | Elite Advanced Laser Corp | 41,268 | ||||||||
57,000 | Amazing Microelectronic Corp | 158,394 | ||||||||
32,721 | Innodisk Corp | 176,990 | ||||||||
665,000 | Catcher Technology Co Ltd | 4,539,817 | ||||||||
625,399 | Cathay Financial Holding Co Ltd | 849,437 | ||||||||
2,359,000 | CTBC Financial Holding Co Ltd | 1,524,922 | ||||||||
28,185 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR | 2,233,661 | ||||||||
410,035 | Asustek Computer Inc | 3,395,812 | ||||||||
8,400 | Aurora Corp | 24,170 | ||||||||
883,000 | Sunplus Technology Co Ltd * | 372,697 | ||||||||
64,624 | United Integrated Services Co Ltd | 453,215 | ||||||||
481,000 | Chicony Electronics Co Ltd | 1,451,027 | ||||||||
286,000 | Quanta Computer Inc | 749,595 | ||||||||
842,000 | Coretronic Corp | 1,002,893 | ||||||||
97,000 | Farglory Land Development Co Ltd | 158,600 | ||||||||
23,000 | Elan Microelectronics Corp | 111,449 | ||||||||
78,000 | Huaku Development Co Ltd | 238,341 | ||||||||
216,000 | Lite-On Semiconductor Corp * | 287,706 | ||||||||
32,462 | Feng TAY Enterprise Co Ltd | 188,961 | ||||||||
23,000 | Test Research Inc | 46,003 | ||||||||
20,000 | Soft-World International Corp | 62,703 | ||||||||
62,820 | IEI Integration Corp | 97,886 | ||||||||
43,000 | Formosa Plastics Corp | 114,855 | ||||||||
1,601,000 | Grand Pacific Petrochemical * | 1,047,710 | ||||||||
379,303 | Great Wall Enterprise Co Ltd | 584,791 | ||||||||
118,800 | Simplo Technology Co Ltd | 1,354,510 | ||||||||
29,000 | Chong Hong Construction Co Ltd | 82,830 | ||||||||
1,493,000 | Radiant Opto-Electronics Corp | 5,482,477 | ||||||||
82,000 | Holtek Semiconductor Inc | 178,254 | ||||||||
33,300 | Makalot Industrial Co Ltd | 223,874 | ||||||||
4,968,000 | Pou Chen Corp | 4,693,828 | ||||||||
36,000 | Sitronix Technology Corp | 176,864 | ||||||||
20,000 | Phison Electronics Corp | 188,393 | ||||||||
70,000 | Teco Electric and Machinery Co Ltd | 69,815 | ||||||||
34,000 | Zeng Hsing Industrial Co Ltd | 159,228 | ||||||||
495,000 | Taiwan PCB Techvest Co Ltd | 715,259 | ||||||||
8,000 | Lotes Co Ltd | 116,521 | ||||||||
156,430 | Chailease Holding Co Ltd | 690,932 | ||||||||
17,000 | Nien Made Enterprise Co Ltd | 196,291 | ||||||||
7,000 | Thinking Electronic Industrial Co Ltd | 26,008 | ||||||||
13,000 | Wiwynn Corp | 346,775 | ||||||||
7,000 | Accton Technology Corp | 55,823 | ||||||||
3,000 | Pixart Imaging Inc | 17,629 |
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
24,000 | Alchip Technologies Ltd | 431,649 | ||||||||
3,000 | Acter Group Corp Ltd | 20,919 | ||||||||
10,000 | Topkey Corp | 62,245 | ||||||||
58,000 | Transcend Information Inc | 130,202 | ||||||||
1,099,000 | Fubon Financial Holding Co Ltd | 1,604,711 | ||||||||
6,965,000 | Hon Hai Precision Industry Co Ltd | 18,267,022 | ||||||||
251,000 | Foxconn Technology Co Ltd | 446,438 | ||||||||
783,000 | Taiwan Semiconductor Manufacturing Co Ltd | 11,412,283 | ||||||||
1,080,000 | Pegatron Corp | 2,297,238 | ||||||||
1,200 | Silicon Motion Technology Corp ADR | 45,492 | ||||||||
29,000 | Wah Lee Industrial Corp | 55,911 | ||||||||
70,000 | Holiday Entertainment Co Ltd | 151,061 | ||||||||
129,000 | Quanta Storage Inc | 192,897 | ||||||||
145,439 | IBF Financial Holdings Co Ltd | 57,321 | ||||||||
13,000 | International Games System Co Ltd | 389,491 | ||||||||
361,000 | Gigabyte Technology Co Ltd | 1,042,940 | ||||||||
162,000 | Micro-Star International Co Ltd | 747,902 | ||||||||
112,000 | China Motor Corp | 162,558 | ||||||||
90,000 | Shinkong Insurance Co Ltd | 108,239 | ||||||||
66,419 | Topco Scientific Co Ltd | 271,376 | ||||||||
111,000 | Tripod Technology Corp | 438,292 | ||||||||
145,000 | Elite Material Co Ltd | 839,816 | ||||||||
414,000 | Novatek Microelectronics Corp | 3,387,190 | ||||||||
294,000 | Lite-On Technology Corp | 465,583 | ||||||||
145,500 | Syncmold Enterprise Corp | 410,331 | ||||||||
31,050 | Sinmag Equipment Corp | 81,756 | ||||||||
263,000 | Formosa Taffeta Co Ltd | 283,532 | ||||||||
55,000 | MediaTek Inc | 1,040,042 | ||||||||
927,000 | China Development Financial Holding Corp | 270,352 | ||||||||
48,000 | Nantex Industry Co Ltd | 76,885 | ||||||||
417,000 | FLEXium Interconnect Inc | 1,788,813 | ||||||||
19,000 | Aten International Co Ltd | 54,678 | ||||||||
5,000 | Globalwafers Co Ltd | 67,270 | ||||||||
6,000 | Yulon Nissan Motor Co Ltd | 50,305 | ||||||||
|
| |||||||||
Total Taiwan | 85,649,643 | |||||||||
|
| |||||||||
Thailand — 0.1% | ||||||||||
1,049,000 | AP Thailand Pcl NVDR | 213,015 | ||||||||
110,800 | Bangkok Bank Pcl NVDR | 380,051 | ||||||||
4,198,300 | Beauty Community Pcl NVDR | 185,964 | ||||||||
47,200 | Hana Microelectronics Pcl NVDR | 60,267 | ||||||||
84,600 | Kasikornbank Pcl NVDR | 230,005 | ||||||||
49,600 | Kiatnakin Phatra Bank Pcl NVDR | 63,519 | ||||||||
148,900 | Krung Thai Bank Pcl NVDR | 45,881 | ||||||||
188,500 | Land & Houses Pcl NVDR | 44,831 | ||||||||
193,900 | Origin Property Pcl NVDR * | 46,127 | ||||||||
167,600 | Pruksa Holding Pcl NVDR | 62,538 | ||||||||
909,500 | Quality Houses Pcl NVDR | 64,936 | ||||||||
102,600 | Siam Commercial Bank Pcl NVDR (The) | 239,969 | ||||||||
149,700 | Somboon Advance Technology Pcl NVDR | 57,637 |
Shares | Description | Value ($) | ||||||||
Thailand — continued | ||||||||||
60,200 | SPCG Pcl NVDR | 34,624 | ||||||||
74,250 | Supalai Pcl (Foreign Registered) | 40,169 | ||||||||
344,875 | Supalai Pcl NVDR | 186,575 | ||||||||
1,894,100 | Thai Beverage Pcl | 854,839 | ||||||||
52,000 | Thai Vegetable Oil Pcl NVDR | 45,134 | ||||||||
31,200 | Tisco Financial Group Pcl NVDR | 67,663 | ||||||||
106,000 | TTW Pcl NVDR | 45,593 | ||||||||
204,300 | Univentures Pcl NVDR | 18,901 | ||||||||
|
| |||||||||
Total Thailand | 2,988,238 | |||||||||
|
| |||||||||
Turkey — 0.7% | ||||||||||
115,351 | Aksa Akrilik Kimya Sanayii AS | 105,288 | ||||||||
495,283 | Aselsan Elektronik Sanayi Ve Ticaret AS | 1,098,096 | ||||||||
3,037 | BIM Birlesik Magazalar AS | 28,077 | ||||||||
836,818 | Dogan Sirketler Grubu Holding AS | 239,514 | ||||||||
48,092 | Dogus Otomotiv Servis ve Ticaret AS * | 96,355 | ||||||||
3,783,516 | Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT) | 908,047 | ||||||||
743,596 | Enerjisa Enerji AS | 826,507 | ||||||||
1,272,704 | Eregli Demir ve Celik Fabrikalari TAS | 1,512,071 | ||||||||
113,763 | Goodyear Lastikleri TAS * | 73,497 | ||||||||
1,237,066 | KOC Holding AS | 2,508,686 | ||||||||
40,607 | Koza Altin Isletmeleri AS * | 430,813 | ||||||||
70,727 | Koza Anadolu Metal Madencilik Isletmeleri AS * | 123,940 | ||||||||
152,498 | Ozak Gayrimenkul Yatirim Ortakligi (REIT) * | 77,909 | ||||||||
305,378 | Selcuk Ecza Deposu Ticaret ve Sanayi AS | 332,619 | ||||||||
249,535 | Soda Sanayii AS | 232,275 | ||||||||
10,924 | Tofas Turk Otomobil Fabrikasi AS | 33,552 | ||||||||
397,470 | Trakya Cam Sanayii AS | 212,710 | ||||||||
1,080 | Turkcell Iletisim Hizmetleri AS | 2,100 | ||||||||
2,752,822 | Turkiye Garanti Bankasi AS * | 2,534,609 | ||||||||
3,774,115 | Turkiye Is Bankasi AS – Class C * | 2,528,457 | ||||||||
738,772 | Turkiye Vakiflar Bankasi TAO – Class D * | 409,947 | ||||||||
|
| |||||||||
Total Turkey | 14,315,069 | |||||||||
|
| |||||||||
United Arab Emirates — 0.1% | ||||||||||
26,248 | Abu Dhabi Commercial Bank PJSC | 39,524 | ||||||||
31,478 | Abu Dhabi Islamic Bank PJSC | 34,231 | ||||||||
126,023 | Dubai Islamic Bank PJSC | 140,299 | ||||||||
75,698 | Emaar Malls PJSC * | 28,577 | ||||||||
3,009,468 | Emaar Properties PJSC * | 2,353,032 | ||||||||
13,770 | Emirates NBD Bank PJSC | 40,398 | ||||||||
|
| |||||||||
Total United Arab Emirates | 2,636,061 | |||||||||
|
| |||||||||
United Kingdom — 5.1% | ||||||||||
708,709 | 3i Group Plc | 8,708,974 | ||||||||
88,449 | 888 Holdings Plc | 233,753 | ||||||||
22,447 | Aggreko Plc | 141,385 | ||||||||
52,401 | Alliance Pharma Plc | 51,476 |
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
105,686 | Anglo American Plc | 2,597,201 | ||||||||
15,188 | Ashtead Group Plc | 526,607 | ||||||||
4,577 | Avast Plc | 32,729 | ||||||||
51,950 | AVEVA Group Plc | 3,509,458 | ||||||||
14,675 | Bank of Georgia Group Plc * | 182,049 | ||||||||
943,508 | Barratt Developments Plc | 6,588,610 | ||||||||
77,071 | Bellway Plc | 2,448,370 | ||||||||
107,177 | Berkeley Group Holdings Plc (The) | 6,477,075 | ||||||||
27,304 | Biffa Plc | 74,112 | ||||||||
156,967 | British American Tobacco Plc | 5,290,576 | ||||||||
129,100 | British American Tobacco Plc Sponsored ADR | 4,359,707 | ||||||||
637,317 | Centamin Plc | 1,790,333 | ||||||||
13,066 | Central Asia Metals Plc | 30,576 | ||||||||
51,430 | CMC Markets Plc | 220,472 | ||||||||
39,574 | Coca-Cola HBC AG * | 1,051,216 | ||||||||
189,608 | Compass Group Plc | 3,068,228 | ||||||||
50,261 | Computacenter Plc | 1,366,437 | ||||||||
5,844 | Cranswick Plc | 289,683 | ||||||||
9,283 | Daily Mail & General Trust Plc – Class A | 80,487 | ||||||||
9,342 | Dart Group Plc | 88,220 | ||||||||
119,260 | Dixons Carphone Plc | 147,537 | ||||||||
68,238 | Dunelm Group Plc | 1,298,143 | ||||||||
132,231 | Electrocomponents Plc | 1,196,254 | ||||||||
17,884 | EMIS Group Plc | 244,714 | ||||||||
24,807 | Ferguson Plc | 2,432,708 | ||||||||
671,411 | Ferrexpo Plc | 1,649,890 | ||||||||
125,130 | Frasers Group Plc * | 582,327 | ||||||||
17,315 | Galliford Try Holdings Plc | 19,567 | ||||||||
5,444 | Games Workshop Group Plc | 668,930 | ||||||||
25,817 | Go-Ahead Group Plc (The) | 225,848 | ||||||||
20,058 | Greggs Plc | 378,934 | ||||||||
40,507 | Halfords Group Plc | 89,277 | ||||||||
24,505 | Howden Joinery Group Plc | 183,056 | ||||||||
222,800 | HSBC Holdings Plc | 965,895 | ||||||||
219,632 | IG Group Holdings Plc | 2,287,170 | ||||||||
18,917 | IMI Plc | 263,216 | ||||||||
107,342 | Inchcape Plc * | 723,105 | ||||||||
127,082 | Indivior Plc * | 201,666 | ||||||||
17,699 | Intermediate Capital Group Plc | 320,398 | ||||||||
383,014 | International Consolidated Airlines Group SA (b) | 1,026,343 | ||||||||
32,655 | International Personal Finance Plc | 29,858 | ||||||||
327,662 | J Sainsbury Plc | 805,099 | ||||||||
240,712 | JD Sports Fashion Plc | 2,316,486 | ||||||||
80,203 | John Laing Group Plc | 309,019 | ||||||||
2,265 | Johnson Matthey Plc | 71,436 | ||||||||
58,538 | Jupiter Fund Management Plc | 163,462 | ||||||||
267,028 | Kingfisher Plc | 971,067 | ||||||||
763,997 | Legal & General Group Plc | 2,196,057 | ||||||||
51,972 | Lookers Plc (e) | 14,589 |
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
41,995 | Meggitt Plc | 161,726 | ||||||||
28,172 | Micro Focus International Plc | 111,766 | ||||||||
84,611 | Mitchells & Butlers Plc * | 194,508 | ||||||||
1,093 | Mondi Plc | 21,506 | ||||||||
103,153 | Morgan Advanced Materials Plc | 319,696 | ||||||||
19,072 | Morgan Sindall Group Plc | 320,988 | ||||||||
186,890 | National Express Group Plc | 316,709 | ||||||||
11,992 | Next Plc | 960,882 | ||||||||
31,496 | Numis Corp Plc | 122,551 | ||||||||
32,433 | OneSavings Bank Plc | 132,004 | ||||||||
79,944 | Paragon Banking Group Plc | 379,646 | ||||||||
55,233 | Pennon Group Plc | 737,968 | ||||||||
398,164 | Persimmon Plc | 13,835,497 | ||||||||
295,806 | Pets at Home Group Plc | 1,153,548 | ||||||||
156,330 | Plus500 Ltd | 3,042,335 | ||||||||
190,397 | Premier Foods Plc * | 213,873 | ||||||||
588,778 | QinetiQ Group Plc | 2,278,487 | ||||||||
54,135 | Redde Northgate Plc | 136,026 | ||||||||
15,424 | Redrow Plc | 93,352 | ||||||||
120,448 | Royal Dutch Shell Plc – A Shares (b) | 1,789,996 | ||||||||
63,990 | Royal Dutch Shell Plc – B Shares | 900,257 | ||||||||
8,100 | Royal Dutch Shell Plc – Class B Sponsored ADR | 227,610 | ||||||||
12,791 | RPS Group Plc | 7,222 | ||||||||
89,136 | Sirius Real Estate Ltd | 89,154 | ||||||||
13,500 | Smith & Nephew Plc Sponsored ADR | 548,775 | ||||||||
42,338 | Smiths Group Plc | 785,818 | ||||||||
54,585 | Softcat Plc | 1,010,908 | ||||||||
308,036 | Spirent Communications Plc | 1,210,202 | ||||||||
68,769 | Stock Spirits Group Plc | 199,067 | ||||||||
529,467 | Tate & Lyle Plc | 4,800,622 | ||||||||
66,136 | TI Fluid Systems Plc * | 139,922 | ||||||||
7,035 | Ultra Electronics Holdings Plc | 216,777 | ||||||||
11,456 | United Utilities Group Plc | 125,875 | ||||||||
32,718 | Vesuvius Plc | 175,994 | ||||||||
41,635 | Vistry Group Plc | 354,634 | ||||||||
44,911 | WM Morrison Supermarkets Plc (b) | 114,925 | ||||||||
|
| |||||||||
Total United Kingdom | 108,220,611 | |||||||||
|
| |||||||||
United States — 7.8% | ||||||||||
3,300 | 1st Source Corp. | 113,685 | ||||||||
116,003 | ACCO Brands Corp. | 751,699 | ||||||||
47,100 | Acushnet Holdings Corp. (b) (c) | 1,662,159 | ||||||||
13,600 | Adtalem Global Education, Inc. * (b) | 451,520 | ||||||||
31,000 | ADTRAN, Inc. | 343,790 | ||||||||
3,300 | Allied Motion Technologies, Inc. | 140,547 | ||||||||
41,600 | Allscripts Healthcare Solutions, Inc. * | 371,488 | ||||||||
18,200 | Alpha & Omega Semiconductor Ltd. * | 246,610 | ||||||||
6,400 | Amalgamated Bank – Class A | 75,328 | ||||||||
8,100 | American Equity Investment Life Holding Co. | 193,671 |
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
30,456 | American Express Co. (b) | 3,094,025 | ||||||||
5,200 | American Public Education, Inc. * | 163,488 | ||||||||
5,900 | American Vanguard Corp. | 83,485 | ||||||||
19,900 | Amneal Pharmaceuticals, Inc. * (b) | 81,789 | ||||||||
18,300 | AngioDynamics, Inc. * | 171,379 | ||||||||
12,863 | Applied Materials, Inc. (c) | 792,361 | ||||||||
10,000 | ArcBest Corp. (b) | 338,200 | ||||||||
7,100 | Arcosa, Inc. | 328,659 | ||||||||
4,700 | Arcus Biosciences, Inc. * | 111,860 | ||||||||
8,400 | Ares Commercial Real Estate Corp. (REIT) | 83,664 | ||||||||
55,900 | Arlo Technologies, Inc. * | 320,307 | ||||||||
1,000 | Arrow Financial Corp. | 28,650 | ||||||||
11,100 | Associated Banc-Corp. | 149,184 | ||||||||
1,900 | Atlas Air Worldwide Holdings, Inc. * | 107,141 | ||||||||
16,800 | AutoNation, Inc. * | 955,248 | ||||||||
30,600 | Avient Corp. | 780,912 | ||||||||
300 | Axcelis Technologies, Inc. * | 7,089 | ||||||||
10,500 | AZZ, Inc. | 364,665 | ||||||||
1,500 | Bancorp, Inc. (The) * | 14,250 | ||||||||
6,000 | BankFinancial Corp. | 43,560 | ||||||||
1,300 | Bar Harbor Bankshares | 26,338 | ||||||||
47,600 | Benchmark Electronics, Inc. | 933,436 | ||||||||
44,500 | Big Lots, Inc. | 2,098,175 | ||||||||
14,300 | Bloomin’ Brands, Inc. (b) | 205,062 | ||||||||
1,300 | Booking Holdings, Inc. * (b) | 2,483,585 | ||||||||
76,200 | BorgWarner, Inc. (c) | 3,092,958 | ||||||||
21,100 | Boston Private Financial Holdings, Inc. | 125,334 | ||||||||
41,800 | Brady Corp. – Class A (c) | 1,960,002 | ||||||||
2,800 | Bridge Bancorp, Inc. | 56,028 | ||||||||
33,800 | Brightsphere Investment Group, Inc. | 468,468 | ||||||||
38,000 | Brinker International, Inc. | 1,711,520 | ||||||||
5,500 | Brookline Bancorp, Inc. | 52,800 | ||||||||
48,600 | Builders FirstSource, Inc. * (c) | 1,488,132 | ||||||||
1,700 | Calix, Inc. * | 33,065 | ||||||||
3,100 | Camden National Corp. | 101,231 | ||||||||
3,100 | Carriage Services, Inc. | 68,634 | ||||||||
39,500 | Cars.com, Inc. * (b) | 342,860 | ||||||||
1,500 | Cathay General Bancorp | 37,035 | ||||||||
4,600 | Cato Corp. (The) – Class A | 36,800 | ||||||||
13,900 | CBIZ, Inc. * | 338,048 | ||||||||
3,700 | Central Garden & Pet Co. * | 150,553 | ||||||||
13,000 | Central Garden & Pet Co. – Class A * | 483,080 | ||||||||
2,100 | Century Bancorp, Inc. – Class A | 147,945 | ||||||||
700 | Cerence, Inc. * | 37,240 | ||||||||
57,429 | Charles Schwab Corp. (The) | 2,040,452 | ||||||||
79,047 | Cheesecake Factory, Inc. (The) (b) | 2,334,258 | ||||||||
25,200 | Chevron Corp. | 2,115,036 | ||||||||
2,700 | Civista Bancshares, Inc. | 36,045 | ||||||||
9,240 | Clarus Corp. | 116,332 | ||||||||
2,000 | CNB Financial Corp. | 31,900 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
1,900 | Community Trust Bancorp, Inc. | 61,313 | ||||||||
14,900 | Computer Programs & Systems, Inc. | 407,664 | ||||||||
39,400 | Comtech Telecommunications Corp. | 654,040 | ||||||||
23,200 | Consolidated Communications Holdings, Inc. * | 180,496 | ||||||||
5,400 | Cooper Tire & Rubber Co. | 186,678 | ||||||||
21,200 | Core-Mark Holding Co., Inc. | 708,504 | ||||||||
146,100 | CoreCivic, Inc. (REIT) (c) | 1,360,191 | ||||||||
68,600 | CorePoint Lodging, Inc. (REIT) | 389,648 | ||||||||
68,500 | Corteva, Inc. | 1,955,675 | ||||||||
7,015 | CRA International, Inc. | 298,208 | ||||||||
12,400 | CSG Systems International, Inc. | 527,868 | ||||||||
4,700 | CTS Corp. | 98,230 | ||||||||
4,500 | Curo Group Holdings Corp. | 34,650 | ||||||||
20,400 | CytomX Therapeutics, Inc. * | 148,920 | ||||||||
13,400 | Deluxe Corp. | 380,560 | ||||||||
44,400 | Designer Brands, Inc. – Class A (b) | 313,020 | ||||||||
29,400 | DHI Group, Inc. * | 71,442 | ||||||||
400 | Diamond Hill Investment Group, Inc. | 49,564 | ||||||||
18,600 | Dick’s Sporting Goods, Inc. (b) | 1,006,632 | ||||||||
17,100 | Digi International, Inc. * (b) | 232,902 | ||||||||
14,440 | Dime Community Bancshares, Inc. | 186,276 | ||||||||
43,700 | Donnelley Financial Solutions, Inc. * | 476,330 | ||||||||
13,200 | DSP Group, Inc. * | 189,288 | ||||||||
6,900 | Ducommun, Inc. * | 257,853 | ||||||||
15,400 | Ellington Financial, Inc. (REIT) | 191,884 | ||||||||
3,800 | Employers Holdings, Inc. | 123,804 | ||||||||
3,300 | Enanta Pharmaceuticals, Inc. * (b) | 172,227 | ||||||||
12,900 | Encore Capital Group, Inc. * (b) | 592,626 | ||||||||
2,600 | Encore Wire Corp. | 134,186 | ||||||||
154,300 | Endo International Plc * | 464,443 | ||||||||
9,200 | Ennis, Inc. | 168,636 | ||||||||
60,834 | Enova International, Inc. * | 1,039,045 | ||||||||
1,900 | EnPro Industries, Inc. | 111,188 | ||||||||
57,057 | EOG Resources, Inc. | 2,586,964 | ||||||||
2,400 | ePlus, Inc. * | 184,128 | ||||||||
1,800 | Escalade, Inc. | 32,634 | ||||||||
1,900 | ESSA Bancorp, Inc. (b) | 24,320 | ||||||||
4,300 | Essent Group Ltd. (c) | 153,510 | ||||||||
45,500 | Ethan Allen Interiors, Inc. | 647,920 | ||||||||
12,700 | Evolution Petroleum Corp. | 34,671 | ||||||||
42,200 | Federal Signal Corp. (c) | 1,355,464 | ||||||||
32,200 | Federated Hermes, Inc. | 769,902 | ||||||||
5,550 | FedNat Holding Co. | 47,120 | ||||||||
2,200 | Ferro Corp. * | 27,434 | ||||||||
4,400 | Financial Institutions, Inc. | 75,812 | ||||||||
2,600 | First Community Bankshares, Inc. | 50,024 | ||||||||
3,535 | First Financial Corp. | 121,569 | ||||||||
1,800 | First Financial Northwest, Inc. | 17,244 | ||||||||
53,600 | Flagstar Bancorp, Inc. (c) | 1,684,112 | ||||||||
4,700 | Flushing Financial Corp. | 57,011 |
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
2,600 | FONAR Corp. * | 65,962 | ||||||||
8,400 | FutureFuel Corp. | 101,640 | ||||||||
24,700 | Garrett Motion, Inc. * | 67,925 | ||||||||
15,200 | Genesco, Inc. * | 296,400 | ||||||||
19,900 | Genie Energy Ltd. – Class B (b) | 175,916 | ||||||||
112,400 | GEO Group, Inc. (REIT) | 1,254,384 | ||||||||
1,600 | Gibraltar Industries, Inc. * (b) | 99,912 | ||||||||
9,300 | Gorman-Rupp Co. (The) | 297,135 | ||||||||
200 | Graham Holdings Co. – Class B | 85,590 | ||||||||
685 | Great Southern Bancorp, Inc. | 26,400 | ||||||||
26,600 | Greif, Inc. – Class A | 980,210 | ||||||||
34,400 | Griffon Corp. (b) | 747,512 | ||||||||
28,200 | Group 1 Automotive, Inc. (b) (c) | 2,437,608 | ||||||||
12,000 | H&R Block, Inc. (b) | 174,000 | ||||||||
24,600 | Hasbro, Inc. (b) | 1,941,924 | ||||||||
27,600 | Haverty Furniture Cos, Inc. | 582,912 | ||||||||
300 | Hawkins, Inc. | 15,066 | ||||||||
7,400 | HealthStream, Inc. * | 153,291 | ||||||||
900 | Heartland Financial USA, Inc. | 30,987 | ||||||||
7,000 | Heidrick & Struggles International, Inc. | 151,410 | ||||||||
2,100 | Heritage Financial Corp. | 41,874 | ||||||||
54,530 | Herman Miller, Inc. (c) | 1,299,450 | ||||||||
6,300 | Hibbett Sports, Inc. * | 210,231 | ||||||||
24,300 | Hilltop Holdings, Inc. | 500,580 | ||||||||
23,028 | Hilton Worldwide Holdings, Inc. | 2,080,810 | ||||||||
13,400 | HNI Corp. | 426,790 | ||||||||
11,961 | Honeywell International, Inc. | 1,980,144 | ||||||||
1,600 | Hurco Cos, Inc. | 45,248 | ||||||||
10,500 | Hyster-Yale Materials Handling, Inc. (b) | 423,570 | ||||||||
12,500 | IDT Corp. – Class B * | 81,500 | ||||||||
12,600 | Illinois Tool Works, Inc. (b) | 2,489,130 | ||||||||
5,646 | Independent Bank Corp. | 84,182 | ||||||||
12,200 | Information Services Group, Inc. * | 25,071 | ||||||||
5,700 | Ingles Markets, Inc. – Class A | 230,280 | ||||||||
20,005 | Innospec, Inc. | 1,494,173 | ||||||||
600 | Inogen, Inc. * | 18,138 | ||||||||
33,600 | Insight Enterprises, Inc. * (b) (c) | 2,009,448 | ||||||||
3,200 | Insteel Industries, Inc. | 59,008 | ||||||||
10,300 | Integer Holdings Corp. * | 713,378 | ||||||||
6,200 | Inter Parfums, Inc. | 276,954 | ||||||||
8,200 | Interface, Inc. | 61,992 | ||||||||
23,900 | International Bancshares Corp. (c) | 754,762 | ||||||||
156,600 | Investors Bancorp, Inc. | 1,213,650 | ||||||||
6,300 | Johnson Outdoors, Inc. – Class A | 539,973 | ||||||||
12,700 | Kelly Services, Inc. – Class A | 241,173 | ||||||||
400 | Kforce, Inc. | 13,736 | ||||||||
10,100 | Kimball Electronics, Inc. * | 136,198 | ||||||||
32,900 | Kimball International, Inc. – Class B | 368,809 | ||||||||
14,800 | Knoll, Inc. | 190,476 | ||||||||
6,700 | Koppers Holdings, Inc. * | 161,202 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
5,600 | Kronos Worldwide, Inc. | 69,944 | ||||||||
27,300 | La-Z-Boy, Inc. | 887,250 | ||||||||
2,300 | Lakeland Financial Corp. | 105,087 | ||||||||
10,900 | Lantheus Holdings, Inc. * | 146,278 | ||||||||
10,255 | Laredo Petroleum, Inc. * (b) | 167,669 | ||||||||
40,684 | Las Vegas Sands Corp. | 2,063,086 | ||||||||
3,000 | LCNB Corp. | 43,980 | ||||||||
89,300 | Liberty TripAdvisor Holdings, Inc. – Class A * | 250,040 | ||||||||
30,800 | Luminex Corp. | 822,052 | ||||||||
73,400 | Lyft, Inc. – Class A * (b) | 2,177,778 | ||||||||
4,800 | Macatawa Bank Corp. | 35,136 | ||||||||
15,400 | Marchex, Inc. – Class B * | 27,566 | ||||||||
2,022 | Markel Corp. * (b) | 2,197,570 | ||||||||
15,700 | Materion Corp. (c) | 857,063 | ||||||||
18,877 | Matrix Service Co. * | 174,423 | ||||||||
19,700 | MDC Holdings, Inc. | 854,586 | ||||||||
46,800 | MDC Partners Inc – Class A * | 102,492 | ||||||||
1,600 | Mercantile Bank Corp. | 34,944 | ||||||||
25,100 | Meridian Bioscience, Inc. * | 354,914 | ||||||||
50,400 | Meritor, Inc. * (c) | 1,147,104 | ||||||||
5,300 | Methode Electronics, Inc. | 150,043 | ||||||||
39,770 | Micron Technology, Inc. * | 1,809,933 | ||||||||
3,200 | MicroStrategy, Inc. – Class A * | 462,208 | ||||||||
2,100 | Miller Industries, Inc. | 65,877 | ||||||||
1,200 | Minerals Technologies, Inc. | 60,900 | ||||||||
30,800 | Modine Manufacturing Co. * | 208,516 | ||||||||
24,900 | Moog, Inc. – Class A | 1,501,221 | ||||||||
25,000 | Movado Group, Inc. | 272,750 | ||||||||
11,800 | Mueller Industries, Inc. | 350,460 | ||||||||
2,200 | National Presto Industries, Inc. (b) | 197,846 | ||||||||
5,500 | Natus Medical, Inc. * | 99,880 | ||||||||
27,200 | Nautilus, Inc. * | 322,320 | ||||||||
7,700 | Neenah, Inc. | 340,956 | ||||||||
12,700 | NETGEAR, Inc. * | 423,545 | ||||||||
179,700 | Newmark Group, Inc. – Class A | 796,071 | ||||||||
6,900 | NextGen Healthcare, Inc. * | 91,494 | ||||||||
942 | Northrim BanCorp, Inc. | 25,349 | ||||||||
3,700 | Northwest Bancshares, Inc. (b) | 37,407 | ||||||||
300 | Nu Skin Enterprises, Inc. – Class A | 14,181 | ||||||||
10,500 | nVent Electric Plc | 200,760 | ||||||||
15,190 | ODP Corp. (The) (b) | 355,142 | ||||||||
37,900 | OFG Bancorp | 486,636 | ||||||||
1,300 | Old National Bancorp | 18,174 | ||||||||
7,200 | Olympic Steel, Inc. (b) | 79,200 | ||||||||
8,900 | OneSpan, Inc. * | 191,795 | ||||||||
7,906 | Oppenheimer Holdings, Inc. – Class A | 193,144 | ||||||||
5,800 | OraSure Technologies, Inc. * (b) | 67,976 | ||||||||
35,800 | Owens & Minor, Inc. | 593,564 | ||||||||
2,000 | Park National Corp. | 179,820 | ||||||||
4,600 | Park-Ohio Holdings Corp. (b) | 72,772 |
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
49,900 | Patterson Cos., Inc. | 1,447,599 | ||||||||
11,100 | PC Connection, Inc. (b) | 491,619 | ||||||||
61,200 | PDL BioPharma, Inc. * | 205,020 | ||||||||
27,300 | Penn Virginia Corp. * (b) | 311,766 | ||||||||
600 | Penns Woods Bancorp, Inc. | 12,450 | ||||||||
43,500 | PennyMac Financial Services, Inc. (b) | 2,293,320 | ||||||||
84,600 | PennyMac Mortgage Investment Trust (REIT) | 1,450,044 | ||||||||
38,900 | Perdoceo Education Corp. * | 558,993 | ||||||||
3,400 | Phibro Animal Health Corp. – Class A | 72,964 | ||||||||
14,500 | Photronics, Inc. * | 145,435 | ||||||||
400 | Preformed Line Products Co. | 21,764 | ||||||||
2,900 | Premier Financial Bancorp, Inc. | 37,178 | ||||||||
20,200 | Premier Financial Corp. | 369,155 | ||||||||
42,900 | Prestige Consumer Healthcare, Inc. * | 1,562,847 | ||||||||
17,100 | Progress Software Corp. | 647,919 | ||||||||
3,600 | Protective Insurance Corp. – Class B | 51,696 | ||||||||
1,200 | Providence Service Corp. (The) * | 111,108 | ||||||||
5,200 | Quanex Building Products Corp. | 87,412 | ||||||||
26,200 | Radian Group, Inc. (c) | 404,528 | ||||||||
42,465 | Raytheon Technologies Corp. | 2,590,365 | ||||||||
27,800 | Realogy Holdings Corp. | 308,024 | ||||||||
3,600 | Reliance Steel & Aluminum Co. | 377,532 | ||||||||
8,400 | Renewable Energy Group, Inc. * | 280,812 | ||||||||
1,800 | Republic Bancorp, Inc. – Class A | 55,368 | ||||||||
61,700 | Resideo Technologies, Inc. * | 824,312 | ||||||||
26,200 | Resources Connection, Inc. | 321,998 | ||||||||
4,300 | Retail Properties of America, Inc. – Class A (REIT) | 27,133 | ||||||||
3,665 | Riverview Bancorp, Inc. | 15,136 | ||||||||
6,600 | Rocky Brands, Inc. | 158,928 | ||||||||
9,900 | Sally Beauty Holdings, Inc. * | 110,484 | ||||||||
79,700 | Sanmina Corp. * (c) | 2,255,510 | ||||||||
12,700 | Scholastic Corp. | 285,750 | ||||||||
37,700 | Schweitzer-Mauduit International, Inc. (b) | 1,143,441 | ||||||||
20,500 | Sciplay Corp. – Class A * | 270,292 | ||||||||
17,700 | Select Medical Holdings Corp. * | 355,239 | ||||||||
3,700 | Seneca Foods Corp. – Class A * | 175,232 | ||||||||
72,260 | Sensata Technologies Holding Plc * | 3,008,906 | ||||||||
17,000 | Shoe Carnival, Inc. | 558,960 | ||||||||
7,100 | Sierra Bancorp | 126,877 | ||||||||
700 | Silgan Holdings, Inc. | 26,642 | ||||||||
38,000 | Sonic Automotive, Inc. – Class A (b) (c) | 1,605,880 | ||||||||
142,700 | Southwestern Energy Co. * (b) | 396,706 | ||||||||
22,600 | SpartanNash Co. | 451,548 | ||||||||
33,100 | Spok Holdings, Inc. | 358,804 | ||||||||
4,500 | Standard Motor Products, Inc. | 204,480 | ||||||||
60,400 | Steelcase, Inc. – Class A | 631,180 | ||||||||
5,000 | Stepan Co. | 576,450 | ||||||||
26,100 | Stoneridge, Inc. * | 527,220 | ||||||||
12,900 | StoneX Group, Inc. * | 731,430 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
105,000 | Summit Hotel Properties, Inc. (REIT) (b) | 618,450 | ||||||||
42,300 | Sunstone Hotel Investors, Inc. (REIT) (c) | 352,359 | ||||||||
21,000 | Surgalign Holdings, Inc. * (b) | 46,620 | ||||||||
3,000 | Surmodics, Inc. * | 135,750 | ||||||||
30,200 | Sykes Enterprises, Inc. * (b) | 999,771 | ||||||||
10,500 | Systemax, Inc. | 232,995 | ||||||||
154,336 | TEGNA, Inc. (c) | 1,932,287 | ||||||||
57,400 | Telephone & Data Systems, Inc. (c) | 1,327,662 | ||||||||
1,900 | Tennant Co. | 126,293 | ||||||||
22,200 | Terex Corp. | 434,454 | ||||||||
3,800 | Territorial Bancorp, Inc. | 80,408 | ||||||||
700 | Timberland Bancorp, Inc. | 12,243 | ||||||||
3,900 | Towne Bank/Portsmouth VA | 69,147 | ||||||||
20,900 | Tredegar Corp. | 353,837 | ||||||||
15,400 | TRI Pointe Group, Inc. * | 259,952 | ||||||||
24,700 | Tribune Publishing Co. | 280,345 | ||||||||
6,500 | TriCo Bancshares | 179,985 | ||||||||
7,900 | TrustCo Bank Corp. | 47,084 | ||||||||
31,800 | UFP Industries, Inc. | 1,887,330 | ||||||||
10,900 | United States Cellular Corp. * | 396,542 | ||||||||
1,200 | United Therapeutics Corp. * | 128,352 | ||||||||
18,200 | Uniti Group, Inc. (REIT) | 178,724 | ||||||||
33,700 | Universal Corp. (c) | 1,462,917 | ||||||||
1,500 | Universal Electronics, Inc. * | 61,620 | ||||||||
2,600 | Universal Insurance Holdings, Inc. | 48,230 | ||||||||
86,009 | US Bancorp (c) | 3,130,728 | ||||||||
3,000 | USANA Health Sciences, Inc. * | 235,230 | ||||||||
37,300 | Valvoline, Inc. | 760,920 | ||||||||
4,200 | Vanda Pharmaceuticals, Inc. * | 43,218 | ||||||||
20,000 | Vectrus, Inc. * | 868,200 | ||||||||
45,800 | Vera Bradley, Inc. * | 241,366 | ||||||||
11,000 | Veritiv Corp. * | 191,180 | ||||||||
43,881 | Verso Corp. – Class A | 575,280 | ||||||||
38,249 | VF Corp. | 2,514,872 | ||||||||
3,200 | Village Super Market, Inc. – Class A | 81,408 | ||||||||
17,200 | Vista Outdoor, Inc. * | 333,852 | ||||||||
64,800 | Waddell & Reed Financial, Inc. – Class A (b) | 1,020,600 | ||||||||
26,800 | Walker & Dunlop, Inc. (c) | 1,468,104 | ||||||||
16,200 | Waterstone Financial, Inc. | 250,938 | ||||||||
4,900 | Weis Markets, Inc. | 241,227 | ||||||||
75,556 | Wells Fargo & Co. | 1,824,677 | ||||||||
2,300 | Westwood Holdings Group, Inc. | 26,174 | ||||||||
79,900 | World Fuel Services Corp. (c) | 2,109,360 | ||||||||
13,700 | Worthington Industries, Inc. | 568,961 | ||||||||
120,004 | Xenia Hotels & Resorts, Inc. (REIT) | 1,077,636 | ||||||||
23,700 | Xperi Holding Corp. | 296,961 | ||||||||
20,400 | Zumiez, Inc. * | 523,872 | ||||||||
|
| |||||||||
Total United States | 165,695,188 | |||||||||
|
|
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Vietnam — 0.0% | ||||||||||
71,230 | Kinh Bac City Development Share Holding Corp | 42,055 | ||||||||
13,660 | PetroVietnam Gas JSC | 43,541 | ||||||||
142,000 | PetroVietnam Technical Services Corp | 77,025 | ||||||||
20,810 | Vinh Hoan Corp * | 34,132 | ||||||||
|
| |||||||||
Total Vietnam | 196,753 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $1,391,242,925) | 1,402,153,042 | |||||||||
|
| |||||||||
PREFERRED STOCKS (f) — 1.6% | ||||||||||
Brazil — 0.4% | ||||||||||
34,800 | Banco do Estado do Rio Grande do Sul SA – Class B | 83,340 | ||||||||
303,421 | Bradespar SA | 2,436,340 | ||||||||
96,700 | Cia de Saneamento do Parana | 93,373 | ||||||||
248,000 | Cia Paranaense de Energia – Class B | 2,796,649 | ||||||||
17,100 | Lojas Americanas SA | 100,724 | ||||||||
410,100 | Telefonica Brasil SA | 3,581,123 | ||||||||
|
| |||||||||
Total Brazil | 9,091,549 | |||||||||
|
| |||||||||
Colombia — 0.0% | ||||||||||
2,263 | Banco Davivienda SA | 17,530 | ||||||||
392,888 | Grupo Aval Acciones y Valores SA | 98,196 | ||||||||
|
| |||||||||
Total Colombia | 115,726 | |||||||||
|
| |||||||||
Germany — 0.2% | ||||||||||
8,524 | Draegerwerk AG & Co KGaA * | 722,797 | ||||||||
25,278 | Henkel AG & Co KGaA | 2,584,388 | ||||||||
27,707 | Schaeffler AG | 185,783 | ||||||||
2,328 | Sixt SE | 131,056 | ||||||||
1,897 | Villeroy & Boch AG | 25,959 | ||||||||
|
| |||||||||
Total Germany | 3,649,983 | |||||||||
|
| |||||||||
Russia — 0.4% | ||||||||||
45,281 | Bashneft PJSC | 820,075 | ||||||||
56,000 | Nizhnekamskneftekhim PJSC | 60,499 | ||||||||
13,266,500 | Surgutneftegas PJSC | 6,649,870 | ||||||||
34 | Transneft PJSC | 63,242 | ||||||||
|
| |||||||||
Total Russia | 7,593,686 | |||||||||
|
| |||||||||
South Korea — 0.6% | ||||||||||
22,409 | LG Electronics Inc | 609,899 | ||||||||
279,444 | Samsung Electronics Co Ltd | 11,162,811 | ||||||||
1,245 | Samsung Electronics Co Ltd GDR (Registered) | 1,280,971 | ||||||||
|
| |||||||||
Total South Korea | 13,053,681 | |||||||||
|
|
Shares / Par Value† | Description | Value ($) | ||||||||
Taiwan — 0.0% | ||||||||||
20,463 | CTBC Financial Holding Co Ltd | 45,589 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $32,639,315) | 33,550,214 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.0% | ||||||||||
Italy — 0.0% | ||||||||||
4,109 | Ascopiave SPA, Expires 09/30/20 * | — | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $—) | — | |||||||||
|
| |||||||||
INVESTMENT FUNDS — 0.2% | ||||||||||
United States — 0.2% | ||||||||||
91,106 | iShares Core MSCI Emerging Markets ETF | 4,855,950 | ||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $4,820,646) | 4,855,950 | |||||||||
|
| |||||||||
DEBT OBLIGATIONS — 11.5% | ||||||||||
United States — 11.5% | ||||||||||
Asset-Backed Securities — 0.2% | ||||||||||
47,203 | AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.21%, due 07/24/29 | 47,220 | ||||||||
138,247 | Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.99%, due 07/26/31 | 138,237 | ||||||||
127,847 | Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 1.34%, due 04/25/26 | 127,753 | ||||||||
57,430 | Babson CLO Ltd., Series 14-IA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 1.42%, due 07/20/25 | 57,416 | ||||||||
43,400 | Barings CLO Ltd., Series 18-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.88%, due 04/15/30 | 43,400 | ||||||||
347,341 | Bayview Commercial Asset Trust, Series 07-5A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.18%, due 10/25/37 | 345,875 | ||||||||
109,416 | Bayview Commercial Mortgage Pass-Through Trust, Series 06-SP1, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.86%, 1.03%, due 04/25/36 | 109,390 | ||||||||
186,930 | Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 0.98%, due 07/15/31 | 186,930 | ||||||||
41,306 | Catamaran CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.86%, due 04/22/30 | 41,304 | ||||||||
2,571,735 | Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35 | 3 |
See accompanying notes to the financial statements. | 29 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
Asset-Backed Securities — continued | ||||||||||
23,858 | CVP Cascade CLO-1 Ltd., Series 13-CLO1, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 1.42%, due 01/16/26 | 23,841 | ||||||||
356,667 | Elevation CLO Ltd, Series 16-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 1.04%, due 10/25/31 | 354,217 | ||||||||
157,216 | Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.88%, due 05/16/31 | 156,414 | ||||||||
404,297 | KeyCorp Student Loan Trust, Series 00-B, Class A2, Variable Rate, 3 mo. LIBOR + 0.31%, 0.55%, due 07/25/29 | 398,581 | ||||||||
170,373 | LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.87%, due 04/20/31 | 169,677 | ||||||||
88,047 | LCM XXV Ltd., Series 25,A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.22%, due 07/20/30 | 87,896 | ||||||||
585,204 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 0.45%, due 06/25/37 | 573,185 | ||||||||
299,460 | Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.87%, due 04/19/30 | 298,357 | ||||||||
123,918 | Mountain View CLO LLC, Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 0.92%, due 01/16/31 | 123,533 | ||||||||
134,698 | Silvermore CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 1.45%, due 05/15/26 | 134,322 | ||||||||
347,200 | Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 1.02%, due 04/17/28 | 347,149 | ||||||||
286,423 | Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 1.02%, due 01/17/30 | 284,524 | ||||||||
124,661 | Velocity Commercial Capital Loan Trust, Series 17-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 1.43%, due 05/25/47 | 124,007 | ||||||||
72,219 | Velocity Commercial Capital Loan Trust, Series 17-1, Class AFX, 144A, Variable Rate, 3.00%, due 05/25/47 | 72,032 | ||||||||
|
| |||||||||
Total Asset-Backed Securities | 4,245,263 | |||||||||
|
| |||||||||
U.S. Government — 11.3% | ||||||||||
49,000,000 | U.S. Treasury Note, 1.50%, due 10/31/21 (c) | 49,767,539 | ||||||||
35,000,000 | U.S. Treasury Note, 1.63%, due 12/31/21 (c) | 35,684,961 | ||||||||
25,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.26%, due 01/31/22 (c) | 25,041,563 | ||||||||
23,000,000 | U.S. Treasury Note, 1.38%, due 01/31/22 (c) | 23,397,109 | ||||||||
46,000,000 | U.S. Treasury Note, 0.38%, due 03/31/22 | 46,165,312 | ||||||||
7,000,000 | U.S. Treasury Note, 1.88%, due 04/30/22 | 7,200,977 |
Par Value† / Shares | Description | Value ($) | ||||||||
U.S. Government — continued | ||||||||||
50,000,000 | U.S. Treasury Note, 1.88%, due 05/31/22 | 51,511,719 | ||||||||
|
| |||||||||
Total U.S. Government | 238,769,180 | |||||||||
|
| |||||||||
Total United States | 243,014,443 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $244,255,289) | 243,014,443 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 24.6% | ||||||||||
United States — 24.6% | ||||||||||
Affiliated Issuers — 24.6% | ||||||||||
3,230,994 | GMO Emerging Country Debt Fund, Class IV | 86,719,873 | ||||||||
4,932,332 | GMO Emerging Markets Fund, Class VI | 157,538,690 | ||||||||
5,213,891 | GMO Opportunistic Income Fund, Class VI | 134,987,648 | ||||||||
1,626,141 | GMO SGM Major Markets Fund, Class VI | 53,987,889 | ||||||||
2,549,292 | GMO Special Opportunities Fund, Class VI | 83,769,728 | ||||||||
1,073,280 | GMO U.S. Treasury Fund (g) | 5,409,331 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $479,120,269) | 522,413,159 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.4% | ||||||||||
Money Market Funds — 0.4% | ||||||||||
8,990,300 | State Street Institutional Treasury Money Market Fund-Premier Class, 0.03% (h) | 8,990,300 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $8,990,300) | 8,990,300 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 104.3% (Cost $2,161,068,744) | 2,214,977,108 | |||||||||
|
| |||||||||
SECURITIES SOLD SHORT — (1.4)% | ||||||||||
Common Stocks — (1.4)% | ||||||||||
Austria — (0.1)% | ||||||||||
(10,387 | ) | IMMOFINANZ AG * | (171,757 | ) | ||||||
(5,987 | ) | OMV AG * | (193,802 | ) | ||||||
(1,601 | ) | Schoeller-Bleckmann Oilfield Equipment AG | (47,771 | ) | ||||||
(58,852 | ) | voestalpine AG | (1,462,421 | ) | ||||||
|
| |||||||||
Total Austria | (1,875,751 | ) | ||||||||
|
| |||||||||
Brazil — (0.2)% | ||||||||||
(77,700 | ) | Pagseguro Digital Ltd – Class A * | (3,274,278 | ) | ||||||
(3,600 | ) | StoneCo Ltd – Class A * | (183,600 | ) | ||||||
|
| |||||||||
Total Brazil | (3,457,878 | ) | ||||||||
|
| |||||||||
Canada — (0.0)% | ||||||||||
(70,400 | ) | AltaGas Ltd | (910,529 | ) | ||||||
|
|
30 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Denmark — (0.2)% | ||||||||||
(258 | ) | AP Moller – Maersk A/S – Class A | (366,457 | ) | ||||||
(948 | ) | AP Moller – Maersk A/S – Class B | (1,452,583 | ) | ||||||
(12,698 | ) | Chr Hansen Holding A/S | (1,457,445 | ) | ||||||
(8,999 | ) | Jyske Bank A/S (Registered) * | (268,115 | ) | ||||||
(3,978 | ) | Tryg A/S | (122,072 | ) | ||||||
|
| |||||||||
Total Denmark | (3,666,672 | ) | ||||||||
|
| |||||||||
Finland — (0.0)% | ||||||||||
(18,121 | ) | Nokian Renkaat Oyj | (505,329 | ) | ||||||
|
| |||||||||
France — (0.0)% | ||||||||||
(13,273 | ) | ArcelorMittal SA * | (167,196 | ) | ||||||
(18,103 | ) | Electricite de France SA | (190,428 | ) | ||||||
|
| |||||||||
Total France | (357,624 | ) | ||||||||
|
| |||||||||
Germany — (0.2)% | ||||||||||
(320,640 | ) | Deutsche Bank AG (Registered) * | (3,074,456 | ) | ||||||
(58,681 | ) | thyssenkrupp AG * | (422,662 | ) | ||||||
|
| |||||||||
Total Germany | (3,497,118 | ) | ||||||||
|
| |||||||||
Israel — (0.1)% | ||||||||||
(6,600 | ) | Wix.com Ltd * | (1,944,558 | ) | ||||||
|
| |||||||||
Japan — (0.4)% | ||||||||||
(13,100 | ) | Coca-Cola Bottlers Japan Holdings Inc | (218,055 | ) | ||||||
(118 | ) | Daiwa House REIT Investment Corp | (308,302 | ) | ||||||
(2,000 | ) | Hitachi Metals Ltd | (29,947 | ) | ||||||
(8,500 | ) | IHI Corp | (125,793 | ) | ||||||
(24,400 | ) | Japan Lifeline Co Ltd | (324,767 | ) | ||||||
(10 | ) | Japan Prime Realty Investment Corp (REIT) | (30,196 | ) | ||||||
(54 | ) | Japan Real Estate Investment Corp | (302,394 | ) | ||||||
(96 | ) | Japan Retail Fund Investment Corp (REIT) | (144,481 | ) | ||||||
(101,400 | ) | JGC Holding Corp | (1,117,262 | ) | ||||||
(1,800 | ) | JINS Holdings Inc | (124,197 | ) | ||||||
(12,800 | ) | Kansai Paint Co Ltd | (304,501 | ) | ||||||
(10,900 | ) | Keikyu Corp | (162,684 | ) | ||||||
(11,100 | ) | Kobe Steel Ltd * | (42,538 | ) | ||||||
(46,400 | ) | Kyushu Electric Power Co Inc | (411,460 | ) | ||||||
(2,900 | ) | Maruichi Steel Tube Ltd | (77,750 | ) | ||||||
(9,600 | ) | Mitsubishi Materials Corp | (201,382 | ) | ||||||
(70,600 | ) | Mitsui OSK Lines Ltd | (1,304,442 | ) | ||||||
(36 | ) | Nippon Building Fund Inc (REIT) | (216,778 | ) | ||||||
(87,600 | ) | Nippon Yusen KK | (1,368,141 | ) | ||||||
(124 | ) | Nomura Real Estate Master Fund Inc (REIT) | (158,938 | ) | ||||||
(205,600 | ) | Orient Corp | (226,931 | ) | ||||||
(64 | ) | Orix JREIT Inc (REIT) | (95,081 | ) | ||||||
(3,300 | ) | PeptiDream Inc * | (133,981 | ) | ||||||
(1,000 | ) | Sumitomo Metal Mining Co Ltd | (30,505 | ) | ||||||
(34 | ) | United Urban Investment Corp (REIT) | (37,789 | ) |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
(7,000 | ) | Yamato Holdings Co Ltd | (183,091 | ) | ||||||
(4,400 | ) | Yaskawa Electric Corp | (158,005 | ) | ||||||
|
| |||||||||
Total Japan | (7,839,391 | ) | ||||||||
|
| |||||||||
Netherlands — (0.0)% | ||||||||||
(948 | ) | Just Eat Takeaway * | (105,871 | ) | ||||||
|
| |||||||||
Norway — (0.0)% | ||||||||||
(2,622 | ) | Aker BP ASA | (52,157 | ) | ||||||
|
| |||||||||
Singapore — (0.0)% | ||||||||||
(134,600 | ) | Singapore Post Ltd | (69,156 | ) | ||||||
|
| |||||||||
Spain — (0.1)% | ||||||||||
(18,775 | ) | Cellnex Telecom SA | (1,206,183 | ) | ||||||
|
| |||||||||
Sweden — (0.1)% | ||||||||||
(44,762 | ) | Lundin Energy AB | (1,095,578 | ) | ||||||
(6,233 | ) | Tele2 AB – B Shares | (88,472 | ) | ||||||
|
| |||||||||
Total Sweden | (1,184,050 | ) | ||||||||
|
| |||||||||
Switzerland — (0.0)% | ||||||||||
(1,548 | ) | Dufry AG (Registered) * | (46,875 | ) | ||||||
|
| |||||||||
United Kingdom — (0.1)% | ||||||||||
(304,469 | ) | G4S Plc | (586,896 | ) | ||||||
(4,748 | ) | GVC Holdings Plc * | (50,200 | ) | ||||||
(314,738 | ) | Melrose Industries Plc | (419,945 | ) | ||||||
(33,899 | ) | Rolls-Royce Holdings Plc | (107,042 | ) | ||||||
(23,497 | ) | Weir Group Plc (The) | (400,937 | ) | ||||||
|
| |||||||||
Total United Kingdom | (1,565,020 | ) | ||||||||
|
| |||||||||
United States — (0.1)% | ||||||||||
(10,388 | ) | Digital Realty Trust, Inc. (REIT) | (1,616,892 | ) | ||||||
|
| |||||||||
TOTAL COMMON STOCKS (PROCEEDS $27,065,974) | (29,901,054 | ) | ||||||||
|
| |||||||||
TOTAL SECURITIES SOLD SHORT (PROCEEDS $27,065,974) | (29,901,054 | ) | ||||||||
Other Assets and Liabilities (net) — (2.9%) | (61,155,433 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $ | 2,123,920,621 | ||||||||
|
|
See accompanying notes to the financial statements. | 31 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
A summary of outstanding financial instruments at August 31, 2020 is as follows:
Forward Currency Contracts
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||
09/21/2020 | CITI | AUD | 33,756,200 | USD | 23,574,993 | (1,323,630 | ) | |||||||||||||
10/06/2020 | JPM | AUD | 7,030,000 | USD | 5,079,657 | (105,929 | ) | |||||||||||||
10/06/2020 | MSCI | AUD | 11,600,000 | USD | 8,263,167 | (293,417 | ) | |||||||||||||
10/19/2020 | MSCI | AUD | 33,756,200 | USD | 24,160,413 | (740,104 | ) | |||||||||||||
09/03/2020 | JPM | CAD | 1,597,956 | USD | 1,180,000 | (45,105 | ) | |||||||||||||
09/03/2020 | MSCI | CAD | 2,910,968 | USD | 2,140,000 | (91,753 | ) | |||||||||||||
10/14/2020 | MSCI | CHF | 12,124,537 | USD | 13,293,428 | (136,138 | ) | |||||||||||||
09/01/2020 | DB | CLP | 76,626,000 | USD | 98,249 | (307 | ) | |||||||||||||
09/01/2020 | JPM | CLP | 2,197,473,000 | USD | 2,732,884 | (93,485 | ) | |||||||||||||
09/01/2020 | MSCI | CLP | 926,661,000 | USD | 1,181,209 | (10,654 | ) | |||||||||||||
11/02/2020 | JPM | CLP | 168,163,000 | USD | 214,877 | (1,482 | ) | |||||||||||||
11/03/2020 | JPM | COP | 6,740,805,000 | USD | 1,793,793 | (884 | ) | |||||||||||||
09/03/2020 | MSCI | EUR | 1,580,000 | USD | 1,789,101 | (96,431 | ) | |||||||||||||
09/21/2020 | CITI | EUR | 43,517,733 | USD | 49,685,723 | (2,268,097 | ) | |||||||||||||
09/21/2020 | DB | EUR | 87,035,467 | USD | 99,458,040 | (4,449,601 | ) | |||||||||||||
10/19/2020 | DB | EUR | 40,234,766 | USD | 47,627,985 | (435,755 | ) | |||||||||||||
10/19/2020 | SSB | EUR | 80,469,534 | USD | 95,243,491 | (883,991 | ) | |||||||||||||
09/21/2020 | CITI | GBP | 17,768,050 | USD | 22,320,720 | (1,433,928 | ) | |||||||||||||
09/21/2020 | DB | GBP | 17,768,050 | USD | 22,337,282 | (1,417,366 | ) | |||||||||||||
10/14/2020 | JPM | GBP | 3,870,000 | USD | 5,068,388 | (106,235 | ) | |||||||||||||
10/19/2020 | BCLY | GBP | 16,857,750 | USD | 22,130,738 | (410,397 | ) | |||||||||||||
10/19/2020 | MSCI | GBP | 16,857,750 | USD | 22,129,548 | (411,587 | ) | |||||||||||||
09/21/2020 | CITI | HKD | 142,439,600 | USD | 18,367,631 | (8,355 | ) | |||||||||||||
10/19/2020 | CITI | HKD | 142,439,600 | USD | 18,376,242 | 3,861 | ||||||||||||||
10/14/2020 | BOA | HUF | 94,887,520 | USD | 320,000 | 1,603 | ||||||||||||||
10/14/2020 | MSCI | HUF | 425,637,358 | USD | 1,357,782 | (70,454 | ) | |||||||||||||
10/26/2020 | BCLY | INR | 50,672,910 | USD | 672,429 | (14,855 | ) | |||||||||||||
09/09/2020 | JPM | JPY | 262,062,266 | USD | 2,450,000 | (24,440 | ) | |||||||||||||
09/09/2020 | MSCI | JPY | 189,700,817 | USD | 1,800,000 | 8,810 | ||||||||||||||
09/23/2020 | DB | JPY | 2,956,124,300 | USD | 27,935,893 | 17,752 | ||||||||||||||
09/23/2020 | MSCI | JPY | 8,120,895,100 | USD | 75,854,876 | (840,244 | ) | |||||||||||||
10/19/2020 | BOA | JPY | 1,206,413,800 | USD | 11,360,681 | (36,669 | ) | |||||||||||||
10/19/2020 | DB | JPY | 1,568,745,500 | USD | 14,796,897 | (23,509 | ) | |||||||||||||
10/19/2020 | MSCI | JPY | 6,527,499,600 | USD | 61,263,091 | (404,143 | ) | |||||||||||||
09/29/2020 | BCLY | KRW | 944,752,500 | USD | 790,000 | (5,505 | ) | |||||||||||||
09/29/2020 | CITI | KRW | 359,085,000 | USD | 300,000 | (2,358 | ) | |||||||||||||
09/29/2020 | JPM | KRW | 429,508,800 | USD | 360,000 | (1,657 | ) | |||||||||||||
09/29/2020 | MSCI | KRW | 1,286,451,400 | USD | 1,080,000 | (3,224 | ) | |||||||||||||
09/04/2020 | JPM | NOK | 30,102,941 | USD | 3,344,407 | (101,623 | ) | |||||||||||||
10/20/2020 | JPM | NOK | 10,571,436 | USD | 1,200,000 | (10,491 | ) | |||||||||||||
10/05/2020 | JPM | NZD | 1,860,000 | USD | 1,224,007 | (28,827 | ) | |||||||||||||
11/03/2020 | MSCI | PEN | 1,548,470 | USD | 440,670 | 3,796 | ||||||||||||||
09/01/2020 | BCLY | PHP | 10,505,670 | USD | 210,000 | (6,679 | ) | |||||||||||||
09/01/2020 | CITI | PHP | 6,042,600 | USD | 120,000 | (4,628 | ) | |||||||||||||
09/01/2020 | JPM | PHP | 13,731,930 | USD | 270,000 | (13,220 | ) | |||||||||||||
09/01/2020 | MSCI | PHP | 30,280,200 | USD | 624,373 | (155 | ) | |||||||||||||
10/01/2020 | MSCI | PHP | 19,520,850 | USD | 401,226 | (934 | ) | |||||||||||||
09/15/2020 | JPM | PLN | 7,188,388 | USD | 1,827,456 | (124,524 | ) | |||||||||||||
10/15/2020 | BCLY | RUB | 131,949,000 | USD | 1,839,018 | 70,100 | ||||||||||||||
10/05/2020 | BCLY | SEK | 7,758,427 | USD | 890,000 | (7,298 | ) | |||||||||||||
10/19/2020 | BCLY | SGD | 368,301 | USD | 270,000 | (708 | ) | |||||||||||||
10/19/2020 | MSCI | SGD | 369,268 | USD | 270,000 | (1,419 | ) | |||||||||||||
10/15/2020 | BCLY | THB | 36,373,933 | USD | 1,150,000 | (18,550 | ) | |||||||||||||
10/15/2020 | BOA | THB | 8,511,723 | USD | 270,000 | (3,448 | ) |
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||
09/17/2020 | JPM | TRY | 4,179,301 | USD | 557,984 | (8,819 | ) | |||||||||||||
10/06/2020 | BCLY | TWD | 16,323,580 | USD | 560,000 | 3,153 | ||||||||||||||
10/06/2020 | JPM | TWD | 9,047,660 | USD | 310,000 | 1,357 | ||||||||||||||
09/21/2020 | BNYM | USD | 6,426,413 | AUD | 8,969,700 | 189,650 | ||||||||||||||
10/19/2020 | BOA | USD | 2,719,325 | AUD | 3,691,700 | 3,886 | ||||||||||||||
11/04/2020 | MSCI | USD | 1,244,066 | BRL | 6,393,377 | (79,294 | ) | |||||||||||||
09/03/2020 | GS | USD | 950,000 | CAD | 1,269,540 | 23,319 | ||||||||||||||
09/03/2020 | JPM | USD | 10,540,000 | CAD | 14,098,239 | 268,703 | ||||||||||||||
09/03/2020 | MSCI | USD | 4,666,147 | CAD | 6,368,476 | 216,375 | ||||||||||||||
10/14/2020 | JPM | USD | 1,300,000 | CHF | 1,179,354 | 6,295 | ||||||||||||||
09/01/2020 | DB | USD | 100,000 | CLP | 76,626,000 | (1,444 | ) | |||||||||||||
09/01/2020 | JPM | USD | 2,809,808 | CLP | 2,197,473,000 | 16,560 | ||||||||||||||
09/01/2020 | MSCI | USD | 1,196,939 | CLP | 926,661,000 | (5,076 | ) | |||||||||||||
10/19/2020 | BOA | USD | 510,000 | CZK | 11,236,398 | 608 | ||||||||||||||
09/03/2020 | DB | USD | 1,773,580 | EUR | 1,580,000 | 111,952 | ||||||||||||||
09/21/2020 | BNYM | USD | 19,084,721 | EUR | 16,082,300 | 115,198 | ||||||||||||||
09/21/2020 | DB | USD | 3,851,052 | EUR | 3,220,000 | (6,842 | ) | |||||||||||||
10/19/2020 | BNYM | USD | 10,122,589 | EUR | 8,566,400 | 110,681 | ||||||||||||||
10/27/2020 | BOA | USD | 840,448 | EUR | 720,000 | 19,795 | ||||||||||||||
10/27/2020 | JPM | USD | 4,882,125 | EUR | 4,140,000 | 64,269 | ||||||||||||||
10/27/2020 | MSCI | USD | 1,827,355 | EUR | 1,530,000 | 660 | ||||||||||||||
09/21/2020 | SSB | USD | 3,490,647 | GBP | 2,645,600 | 46,336 | ||||||||||||||
10/14/2020 | JPM | USD | 2,994,158 | GBP | 2,270,000 | 41,086 | ||||||||||||||
10/19/2020 | SSB | USD | 4,187,502 | GBP | 3,202,900 | 95,216 | ||||||||||||||
09/21/2020 | BNYM | USD | 7,982,137 | HKD | 61,863,200 | (1,230 | ) | |||||||||||||
10/19/2020 | JPM | USD | 1,927,875 | HKD | 14,945,800 | (111 | ) | |||||||||||||
10/14/2020 | BCLY | USD | 200,000 | HUF | 58,240,200 | (4,574 | ) | |||||||||||||
10/14/2020 | CITI | USD | 500,000 | HUF | 146,641,570 | (7,941 | ) | |||||||||||||
10/14/2020 | MSCI | USD | 160,000 | HUF | 46,753,536 | (3,117 | ) | |||||||||||||
09/21/2020 | JPM | USD | 712,570 | IDR | 10,558,151,000 | 10,508 | ||||||||||||||
09/21/2020 | MSCI | USD | 250,000 | IDR | 3,700,550,000 | 3,433 | ||||||||||||||
10/30/2020 | JPM | USD | 1,216,370 | ILS | 4,097,889 | 6,257 | ||||||||||||||
10/26/2020 | BCLY | USD | 340,000 | INR | 25,612,540 | 7,386 | ||||||||||||||
10/26/2020 | JPM | USD | 480,000 | INR | 36,065,760 | 9,165 | ||||||||||||||
09/09/2020 | GS | USD | 1,170,000 | JPY | 124,220,772 | 2,915 | ||||||||||||||
09/09/2020 | JPM | USD | 11,995,526 | JPY | 1,313,577,221 | 407,512 | ||||||||||||||
09/23/2020 | BOA | USD | 3,948,455 | JPY | 418,298,900 | 2,031 | ||||||||||||||
09/23/2020 | DB | USD | 8,105,120 | JPY | 858,502,100 | 2,721 | ||||||||||||||
10/19/2020 | DB | USD | 4,612,177 | JPY | 488,461,400 | 2,463 | ||||||||||||||
09/29/2020 | MSCI | USD | 1,016,954 | KRW | 1,222,155,000 | 12,131 | ||||||||||||||
10/21/2020 | JPM | USD | 295,288 | MXN | 6,570,420 | 3,193 | ||||||||||||||
09/04/2020 | JPM | USD | 3,311,422 | NOK | 30,102,941 | 134,608 | ||||||||||||||
10/05/2020 | BCLY | USD | 79,958 | NZD | 120,000 | 871 | ||||||||||||||
10/05/2020 | JPM | USD | 3,871,468 | NZD | 5,880,000 | 89,107 | ||||||||||||||
09/01/2020 | BCLY | USD | 216,625 | PHP | 10,505,670 | 54 | ||||||||||||||
09/01/2020 | CITI | USD | 124,597 | PHP | 6,042,600 | 31 | ||||||||||||||
09/01/2020 | JPM | USD | 283,150 | PHP | 13,731,930 | 70 | ||||||||||||||
09/01/2020 | MSCI | USD | 612,710 | PHP | 30,280,200 | 11,817 | ||||||||||||||
09/15/2020 | BOA | USD | 810,000 | PLN | 3,025,246 | 11,494 | ||||||||||||||
09/15/2020 | CITI | USD | 1,836,321 | PLN | 7,038,941 | 75,076 | ||||||||||||||
09/15/2020 | DB | USD | 1,010,000 | PLN | 3,758,926 | 10,721 | ||||||||||||||
09/15/2020 | JPM | USD | 23,679 | PLN | 90,265 | 832 | ||||||||||||||
09/30/2020 | BCLY | USD | 360,000 | RON | 1,477,217 | 3,724 | ||||||||||||||
09/30/2020 | CITI | USD | 150,000 | RON | 614,084 | 1,201 |
32 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
Forward Currency Contracts — continued
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||
10/15/2020 | BCLY | USD | 710,000 | RUB | 52,887,516 | (986 | ) | |||||||||||||
10/15/2020 | CITI | USD | 230,000 | RUB | 16,886,347 | (3,620 | ) | |||||||||||||
10/05/2020 | JPM | USD | 12,302,009 | SEK | 107,052,084 | 79,065 | ||||||||||||||
10/15/2020 | BCLY | USD | 330,000 | THB | 10,281,942 | 318 | ||||||||||||||
10/15/2020 | JPM | USD | 177,176 | THB | 5,559,246 | 1,421 | ||||||||||||||
10/06/2020 | JPM | USD | 360,000 | TWD | 10,532,160 | (716 | ) | |||||||||||||
10/06/2020 | MSCI | USD | 1,230,020 | TWD | 35,750,530 | (10,460 | ) | |||||||||||||
10/30/2020 | JPM | USD | 1,766,656 | ZAR | 29,439,735 | (40,588 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (14,357,865 | ) | ||||||||||||||||||
|
|
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Buys | ||||||||||||
66 | Mini MSCI Emerging Markets | September 2020 | 3,631,320 | 432,102 | ||||||||
Sales | ||||||||||||
1,490 | E-mini Russell 2000 Index | September 2020 | 116,316,850 | (12,597,775 | ) | |||||||
6,748 | Euro STOXX 50 | September 2020 | 263,297,146 | (5,046,658 | ) | |||||||
1,055 | FTSE 100 Index | September 2020 | 83,615,882 | 3,525,775 | ||||||||
164 | Hang Seng Index | September 2020 | 26,471,017 | 371,253 | ||||||||
1,776 | S&P 500 E-Mini | September 2020 | 310,702,320 | (36,850,581 | ) | |||||||
76 | SGX Nifty 50 | September 2020 | 1,727,236 | 15,097 | ||||||||
363 | SPI 200 | September 2020 | 40,193,562 | (1,353,186 | ) | |||||||
1,141 | TOPIX Index | September 2020 | 173,810,503 | 913,553 | ||||||||
|
|
|
| |||||||||
$ | 1,016,134,516 | $ | (51,022,522 | ) | ||||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. Sales - Fund is short the futures contract. |
Reverse Repurchase Agreements
Average balance outstanding | $ | (20,500,000 | ) | |
Average interest rate (net) | (0.65 | )% | ||
Maximum balance outstanding | $ | (20,500,000 | ) |
Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements. Average interest rate was calculated based on interest received and/or paid during the period that the Fund had entered into the reverse repurchase agreements. The Fund had no reverse repurchase agreements at the end of the period.
Swap Contracts
Centrally Cleared Interest Rate Swaps
Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||
3 Month AUD BBSW | 0.19% | AUD | 16,456,000 | 09/16/2022 | Quarterly | 1,969 | 7,699 | 5,730 | ||||||||||||||||||
(0.68)% | 6 Month CHF LIBOR | CHF | 21,771,000 | 09/16/2022 | Semiannually | — | 17,843 | 17,843 | ||||||||||||||||||
6 Month CHF LIBOR | (0.63)% | CHF | 3,960,000 | 09/16/2022 | Semiannually | 283 | 742 | 459 | ||||||||||||||||||
6 Month CHF LIBOR | (0.65)% | CHF | 2,940,000 | 09/16/2022 | Semiannually | — | (600 | ) | (600 | ) | ||||||||||||||||
3 Month NZD Bank Bill Rate | 0.09% | NZD | 6,820,000 | 09/16/2022 | Quarterly | — | 1,972 | 1,972 | ||||||||||||||||||
0.21% | 3 Month NZD Bank Bill Rate | NZD | 19,967,000 | 09/16/2022 | Quarterly | — | (38,714 | ) | (38,714 | ) | ||||||||||||||||
0.19% | 3 Month NZD Bank Bill Rate | NZD | 10,310,000 | 09/16/2022 | Quarterly | — | (16,172 | ) | (16,172 | ) | ||||||||||||||||
(0.04)% | 3 Month SEK STIBOR | SEK | 179,420,000 | 09/16/2022 | Quarterly | — | 6,111 | 6,111 | ||||||||||||||||||
(0.03)% | 3 Month SEK STIBOR | SEK | 180,400,000 | 09/16/2022 | Quarterly | — | 2,386 | 2,386 | ||||||||||||||||||
(0.03)% | 3 Month SEK STIBOR | SEK | 364,650,000 | 09/16/2022 | Quarterly | 3,115 | 4,400 | 1,285 |
See accompanying notes to the financial statements. | 33 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
Swap Contracts — continued
Centrally Cleared Interest Rate Swaps — continued
Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||
3 Month SEK STIBOR | 0.02% | SEK | 88,700,000 | 09/16/2022 | Quarterly | — | 7,247 | 7,247 | ||||||||||||||||||
(0.02)% | 3 Month SEK STIBOR | SEK | 52,200,000 | 09/16/2022 | Quarterly | — | (639 | ) | (639 | ) | ||||||||||||||||
0.56% | 3 Month CAD LIBOR | CAD | 37,811,000 | 09/19/2022 | Semiannually | 3,717 | (6,922 | ) | (10,639 | ) | ||||||||||||||||
6 Month EURIBOR | (0.44)% | EUR | 2,800,000 | 09/21/2022 | Semiannually | (360 | ) | (533 | ) | (173 | ) | |||||||||||||||
6 Month GBP LIBOR | 0.10% | GBP | 27,690,000 | 09/21/2022 | Semiannually | (3,651 | ) | (5,258 | ) | (1,607 | ) | |||||||||||||||
6 Month GBP LIBOR | 0.10% | GBP | 34,633,000 | 09/21/2022 | Semiannually | 3,928 | (10,305 | ) | (14,233 | ) | ||||||||||||||||
0.12% | 6 Month GBP LIBOR | GBP | 6,680,000 | 09/21/2022 | Semiannually | (296 | ) | (1,609 | ) | (1,313 | ) | |||||||||||||||
3 Month USD LIBOR | 0.21% | USD | 51,335,000 | 09/21/2022 | Quarterly | 4,792 | (3,457 | ) | (8,249 | ) | ||||||||||||||||
0.84% | 6 Month AUD BBSW | AUD | 7,370,000 | 09/16/2030 | Semiannually | (14,898 | ) | 34,234 | 49,132 | |||||||||||||||||
0.82% | 6 Month AUD BBSW | AUD | 3,403,000 | 09/16/2030 | Semiannually | (5,421 | ) | 19,597 | 25,018 | |||||||||||||||||
6 Month AUD BBSW | 0.90% | AUD | 2,830,000 | 09/16/2030 | Semiannually | — | 682 | 682 | ||||||||||||||||||
6 Month AUD BBSW | 0.83% | AUD | 10,140,000 | 09/16/2030 | Semiannually | (3,563 | ) | (50,743 | ) | (47,180 | ) | |||||||||||||||
6 Month AUD BBSW | 0.83% | AUD | 6,470,000 | 09/16/2030 | Semiannually | 1,799 | (33,307 | ) | (35,106 | ) | ||||||||||||||||
6 Month AUD BBSW | 0.81% | AUD | 4,710,000 | 09/16/2030 | Semiannually | — | (31,861 | ) | (31,861 | ) | ||||||||||||||||
3 Month CAD LIBOR | 1.14% | CAD | 23,250,000 | 09/16/2030 | Semiannually | 2,660 | 41,704 | 39,044 | ||||||||||||||||||
0.93% | 3 Month CAD LIBOR | CAD | 4,190,000 | 09/16/2030 | Semiannually | — | 59,049 | 59,049 | ||||||||||||||||||
3 Month CAD LIBOR | 1.07% | CAD | 5,510,000 | 09/16/2030 | Semiannually | (1,915 | ) | (17,113 | ) | (15,198 | ) | |||||||||||||||
3 Month CAD LIBOR | 1.06% | CAD | 3,260,000 | 09/16/2030 | Semiannually | — | (13,513 | ) | (13,513 | ) | ||||||||||||||||
3 Month CAD LIBOR | 0.98% | CAD | 6,582,000 | 09/16/2030 | Semiannually | (3,085 | ) | (68,817 | ) | (65,732 | ) | |||||||||||||||
3 Month CAD LIBOR | 1.00% | CAD | 18,140,000 | 09/16/2030 | Semiannually | 51,399 | (155,993 | ) | (207,392 | ) | ||||||||||||||||
3 Month CAD LIBOR | 1.08% | CAD | 1,290,000 | 09/16/2030 | Semiannually | — | (3,336 | ) | (3,336 | ) | ||||||||||||||||
6 Month CHF LIBOR | (0.19)% | CHF | 8,770,000 | 09/16/2030 | Semiannually | — | 30,054 | 30,054 | ||||||||||||||||||
6 Month CHF LIBOR | (0.21)% | CHF | 19,080,000 | 09/16/2030 | Semiannually | (4,665 | ) | 28,574 | 33,239 | |||||||||||||||||
(0.32)% | 6 Month CHF LIBOR | CHF | 580,000 | 09/16/2030 | Semiannually | — | 6,471 | 6,471 | ||||||||||||||||||
(0.25)% | 6 Month CHF LIBOR | CHF | 790,000 | 09/16/2030 | Semiannually | 163 | 1,865 | 1,702 | ||||||||||||||||||
(0.19)% | 6 Month CHF LIBOR | CHF | 1,750,000 | 09/16/2030 | Semiannually | — | (7,784 | ) | (7,784 | ) | ||||||||||||||||
6 Month CHF LIBOR | (0.33)% | CHF | 4,305,000 | 09/16/2030 | Semiannually | — | (49,249 | ) | (49,249 | ) | ||||||||||||||||
3 Month NZD Bank Bill Rate | 0.71% | NZD | 4,100,000 | 09/16/2030 | Quarterly | — | 24,885 | 24,885 | ||||||||||||||||||
3 Month NZD Bank Bill Rate | 0.64% | NZD | 2,120,000 | 09/16/2030 | Quarterly | — | 3,488 | 3,488 | ||||||||||||||||||
0.52% | 3 Month NZD Bank Bill Rate | NZD | 10,280,000 | 09/16/2030 | Quarterly | 22,678 | 67,206 | 44,528 | ||||||||||||||||||
0.61% | 3 Month NZD Bank Bill Rate | NZD | 1,390,000 | 09/16/2030 | Quarterly | — | 857 | 857 | ||||||||||||||||||
0.59% | 3 Month NZD Bank Bill Rate | NZD | 4,670,000 | 09/16/2030 | Quarterly | (943 | ) | 9,404 | 10,347 | |||||||||||||||||
3 Month NZD Bank Bill Rate | 0.74% | NZD | 3,590,000 | 09/16/2030 | Quarterly | 32,499 | 29,791 | (2,708 | ) | |||||||||||||||||
0.64% | 3 Month NZD Bank Bill Rate | NZD | 3,190,000 | 09/16/2030 | Quarterly | — | (5,249 | ) | (5,249 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.49% | SEK | 93,360,000 | 09/16/2030 | Quarterly | — | 89,189 | 89,189 | ||||||||||||||||||
3 Month SEK STIBOR | 0.51% | SEK | 92,870,000 | 09/16/2030 | Quarterly | (8,078 | ) | 108,943 | 117,021 | |||||||||||||||||
0.34% | 3 Month SEK STIBOR | SEK | 21,000,000 | 09/16/2030 | Quarterly | (1,375 | ) | 16,761 | 18,136 | |||||||||||||||||
0.32% | 3 Month SEK STIBOR | SEK | 18,000,000 | 09/16/2030 | Quarterly | — | 18,080 | 18,080 | ||||||||||||||||||
0.36% | 3 Month SEK STIBOR | SEK | 17,600,000 | 09/16/2030 | Quarterly | 1,997 | 9,610 | 7,613 | ||||||||||||||||||
3 Month SEK STIBOR | 0.32% | SEK | 10,000,000 | 09/16/2030 | Quarterly | — | (10,045 | ) | (10,045 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.28% | SEK | 36,240,000 | 09/16/2030 | Quarterly | — | (54,676 | ) | (54,676 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.28% | SEK | 36,370,000 | 09/16/2030 | Quarterly | — | (52,580 | ) | (52,580 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.29% | SEK | 73,760,000 | 09/16/2030 | Quarterly | — | (101,984 | ) | (101,984 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.37% | SEK | 10,600,000 | 09/16/2030 | Quarterly | — | (5,180 | ) | (5,180 | ) | ||||||||||||||||
(0.19)% | 6 Month EURIBOR | EUR | 10,370,000 | 09/18/2030 | Semiannually | 6,050 | 65,065 | 59,015 | ||||||||||||||||||
(0.20)% | 6 Month EURIBOR | EUR | 35,860,000 | 09/18/2030 | Semiannually | 31,524 | 282,120 | 250,596 | ||||||||||||||||||
(0.20)% | 6 Month EURIBOR | EUR | 560,000 | 09/18/2030 | Semiannually | (155 | ) | 4,063 | 4,218 | |||||||||||||||||
6 Month EURIBOR | (0.25)% | EUR | 920,000 | 09/18/2030 | Semiannually | — | (12,649 | ) | (12,649 | ) | ||||||||||||||||
0.32% | 6 Month GBP LIBOR | GBP | 9,390,000 | 09/18/2030 | Semiannually | 7,568 | 176,323 | 168,755 | ||||||||||||||||||
0.32% | 6 Month GBP LIBOR | GBP | 3,240,000 | 09/18/2030 | Semiannually | — | 61,917 | 61,917 | ||||||||||||||||||
0.30% | 6 Month GBP LIBOR | GBP | 9,910,000 | 09/18/2030 | Semiannually | 22,386 | 216,410 | 194,024 | ||||||||||||||||||
6 Month GBP LIBOR | 0.31% | GBP | 1,420,000 | 09/18/2030 | Semiannually | — | (29,498 | ) | (29,498 | ) |
34 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
Swap Contracts — continued
Centrally Cleared Interest Rate Swaps — continued
Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||
6 Month GBP LIBOR | 0.28% | GBP | 890,000 | 09/18/2030 | Semiannually | — | (22,277 | ) | (22,277 | ) | ||||||||||||||||
6 Month GBP LIBOR | 0.30% | GBP | 1,640,000 | 09/18/2030 | Semiannually | — | (34,832 | ) | (34,832 | ) | ||||||||||||||||
6 Month GBP LIBOR | 0.41% | GBP | 2,250,000 | 09/18/2030 | Semiannually | (5,889 | ) | (17,555 | ) | (11,666 | ) | |||||||||||||||
6 Month GBP LIBOR | 0.45% | GBP | 1,360,000 | 09/18/2030 | Semiannually | 582 | (2,560 | ) | (3,142 | ) | ||||||||||||||||
0.60% | 3 Month USD LIBOR | USD | 9,340,000 | 09/18/2030 | Quarterly | (14,856 | ) | 99,186 | 114,042 | |||||||||||||||||
0.61% | 3 Month USD LIBOR | USD | 21,660,000 | 09/18/2030 | Quarterly | (58,779 | ) | 208,665 | 267,444 | |||||||||||||||||
0.70% | 3 Month USD LIBOR | USD | 1,190,000 | 09/18/2030 | Quarterly | (37 | ) | 905 | 942 | |||||||||||||||||
3 Month USD LIBOR | 0.53% | USD | 1,060,000 | 09/18/2030 | Quarterly | — | (18,728 | ) | (18,728 | ) | ||||||||||||||||
3 Month USD LIBOR | 0.63% | USD | 3,040,000 | 09/18/2030 | Quarterly | — | (23,892 | ) | (23,892 | ) | ||||||||||||||||
3 Month USD LIBOR | 0.68% | USD | 1,240,000 | 09/18/2030 | Quarterly | 35 | (2,839 | ) | (2,874 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 71,178 | $ | 853,029 | $ | 781,851 | |||||||||||||||||||||
|
|
|
|
|
|
OTC Total Return Swaps
Fund Pays | Fund Receives | Counterparty | Notional | Expiration Date | Periodic | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||
Depreciation of Total Return on CSI 500 Index + (1 Month USD LIBOR minus 9.25%) | Appreciation on Total Return on CSI 500 Index | GS | USD | 2,224,840 | 12/07/2020 | Monthly | — | 39,629 | 39,629 | |||||||||||||||||||
Total Return on Equity Basket (i) | 1 Month Federal Funds Rate minus 1.75% | MORD | USD | 3,823,828 | 06/18/2022 | Monthly | — | 146,710 | 146,710 | |||||||||||||||||||
Total Return on Equity Basket (i) | 1 Month Federal Funds Rate minus 1.00% | MORD | USD | 922,198 | 06/18/2022 | Monthly | — | 32,228 | 32,228 | |||||||||||||||||||
Total Return on Equity Basket (i) | 1 Month Federal Funds Rate minus 1.00% | MORD | USD | 3,952,372 | 06/18/2022 | Monthly | — | 473,610 | 473,610 | |||||||||||||||||||
Total Return on Equity Basket (i) | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 3,829,515 | 06/18/2022 | Monthly | — | (117,027 | ) | (117,027 | ) | |||||||||||||||||
Total Return on Equity Basket (i) | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 1,294,720 | 06/18/2022 | Monthly | — | 334 | 334 | |||||||||||||||||||
Total Return on Equity Basket (i) | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 241,337 | 06/18/2022 | Monthly | — | (8,892 | ) | (8,892 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | — | $ | 566,592 | $ | 566,592 | |||||||||||||||||||||||
|
|
|
|
|
|
As of August 31, 2020, 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) | Securities are traded on separate exchanges for the same entity. |
(b) | All or a portion of this security is out on loan (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 securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
(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) | Investment valued using significant unobservable inputs (Note 2). |
(f) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
(g) | All or a portion of this security is purchased with collateral from securities loaned (Note 2). |
(h) | The rate disclosed is the 7 day net yield as of August 31, 2020. |
(i) | Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets. |
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 95.
See accompanying notes to the financial statements. | 35 |
GMO Global Asset Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2020 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 62.2 | % | ||
Debt Obligations | 25.4 | |||
Short-Term Investments | 10.3 | |||
Investment Funds | 3.2 | |||
Preferred Stocks | 1.1 | |||
Swap Contracts | 0.2 | |||
Loan Participations | 0.0 | ^ | ||
Loan Assignments | 0.0 | ^ | ||
Rights/Warrants | 0.0 | ^ | ||
Purchased Options | 0.0 | ^ | ||
Forward Currency Contracts | 0.0 | ^ | ||
Written/Credit Linked Options | (0.0 | )^ | ||
Futures Contracts | (0.0 | )^ | ||
Securities Sold Short | (0.4 | ) | ||
Other | (2.2 | ) | ||
0.2 | ||||
|
| |||
100.0 | % | |||
|
|
Country/Region Summary¤ | Debt Obligations as a % of Total Net Assets | |||
United States | 13.2 | % | ||
Other Emerging | 4.3 | † | ||
Canada | 4.1 | |||
Other Developed | (0.1 | )‡ | ||
Euro Region | (6.9 | )# | ||
|
| |||
14.6 | % | |||
|
|
Country/Region Summary¤ | Equity Investments as a % of Total Net Assets | |||
United States | 18.5 | % | ||
China | 7.6 | |||
Japan | 4.7 | |||
United Kingdom | 4.6 | |||
Other Developed | 4.5 | ‡ | ||
Other Emerging | 4.4 | † | ||
Taiwan | 3.8 | |||
Russia | 3.5 | |||
France | 2.1 | |||
Netherlands | 1.6 | |||
Spain | 1.5 | |||
Switzerland | 1.5 | |||
Germany | 1.4 | |||
Singapore | 1.1 | |||
Italy | 1.1 | |||
|
| |||
61.9 | % | |||
|
|
& | The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/depreciation). |
¤ | The table 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 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%. |
36
GMO Global Asset Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares / Par Value† | Description | Value ($) | ||||||||
MUTUAL FUNDS — 99.0% |
| |||||||||
Affiliated Issuers — 99.0% |
| |||||||||
6,811,523 | GMO Alternative Allocation Fund, Class VI | 132,075,424 | ||||||||
3,608,719 | GMO Asset Allocation Bond Fund, Class VI | 87,367,080 | ||||||||
1,943,000 | GMO Cyclical Focus Fund, Class IV | 46,243,400 | ||||||||
1,889,356 | GMO Emerging Country Debt Fund, Class IV | 50,710,320 | ||||||||
8,209,716 | GMO Emerging Markets Fund, Class VI | 262,218,315 | ||||||||
13,974,183 | GMO International Equity Fund, Class IV | 291,361,710 | ||||||||
8,348,284 | GMO Multi-Sector Fixed Income Fund (formerly GMO Core Plus Bond Fund), Class IV | 185,582,357 | ||||||||
1,033,309 | GMO Opportunistic Income Fund, Class VI | 26,752,377 | ||||||||
1,052,044 | GMO Quality Fund, Class VI | 27,058,563 | ||||||||
583,999 | GMO Risk Premium Fund, Class VI | 14,909,489 | ||||||||
8,552,430 | GMO U.S. Equity Fund, Class VI | 107,247,474 | ||||||||
4,419,060 | GMO U.S. Small Cap Value Fund, Class VI | 79,189,550 | ||||||||
953,705 | GMO U.S. Treasury Fund | 4,806,673 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $1,338,720,305) | 1,315,522,732 | |||||||||
|
| |||||||||
DEBT OBLIGATIONS — 0.0% |
| |||||||||
Asset-Backed Securities — 0.0% | ||||||||||
22,036 | ACE Securities Corp Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + 0.28%, 0.46%, due 02/25/36 | 7,032 |
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
11,754 | GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 0.68%, due 10/25/34 | 10,994 | ||||||||
12,123 | Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.42%, due 02/26/34 | 10,330 | ||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $30,943) | 28,356 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.3% |
| |||||||||
Money Market Funds — 0.3% |
| |||||||||
3,380,783 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (a) | 3,380,783 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $3,380,783) | 3,380,783 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.3% (Cost $1,342,132,031) | 1,318,931,871 | |||||||||
Other Assets and Liabilities (net) — 0.7% | 9,263,280 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $1,328,195,151 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2020 is as follows:
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Sales | ||||||||||||
922 | MSCI EAFE | September 2020 | $ | 87,594,610 | $ | (5,672,502 | ) | |||||
|
|
|
|
+ | Buys - Fund is long the futures contract. Sales - Fund is short the futures contract. |
As of August 31, 2020, 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, 2020. |
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 95.
See accompanying notes to the financial statements. | 37 |
GMO Global Developed Equity Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2020 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 97.1 | % | ||
Short-Term Investments | 1.4 | |||
Preferred Stocks | 0.7 | |||
Investment Funds | 0.2 | |||
Debt Obligations | 0.1 | |||
Futures Contracts | 0.1 | |||
Swap Contracts | 0.0 | ^ | ||
Rights/Warrants | 0.0 | ^ | ||
Other | 0.4 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | % of Investments | |||
United States | 38.7 | % | ||
Japan | 10.0 | |||
United Kingdom | 9.5 | |||
France | 4.5 | |||
China | 4.0 | |||
Netherlands | 3.6 | |||
Switzerland | 3.6 | |||
Germany | 3.2 | |||
Spain | 3.2 | |||
Other Emerging | 2.6 | † | ||
Taiwan | 2.2 | |||
Australia | 2.0 | |||
Italy | 2.0 | |||
Singapore | 2.0 | |||
Sweden | 1.8 | |||
Russia | 1.8 | |||
Portugal | 1.5 | |||
Other Developed | 1.5 | ‡ | ||
Norway | 1.2 | |||
Hong Kong | 1.1 | |||
|
| |||
100.0 | % | |||
|
|
& | The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). |
¤ | The table 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%. |
38
GMO Global Developed Equity Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
MUTUAL FUNDS — 99.9% |
| |||||||||
Affiliated Issuers — 99.9% |
| |||||||||
155,500 | GMO Cyclical Focus Fund, Class IV | 3,700,900 | ||||||||
223,745 | GMO Emerging Markets Fund, Class VI | 7,146,414 | ||||||||
1,660,918 | GMO International Equity Fund, Class IV | 34,630,140 | ||||||||
354,053 | GMO Quality Fund, Class VI | 9,106,250 | ||||||||
874,622 | GMO U.S. Equity Fund, Class VI | 10,967,757 | ||||||||
442,064 | GMO U.S. Small Cap Value Fund, Class VI | 7,921,790 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $69,181,971) | 73,473,251 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.1% |
| |||||||||
Money Market Funds — 0.1% |
| |||||||||
53,605 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (a) | 53,605 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $53,605) | 53,605 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $69,235,576) | 73,526,856 | |||||||||
Other Assets and Liabilities (net) — (0.0%) | (33,198 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $73,493,658 | |||||||||
|
|
Notes to Schedule of Investments:
(a) | The rate disclosed is the 7 day net yield as of August 31, 2020. |
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 95.
See accompanying notes to the financial statements. | 39 |
GMO Global Equity Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2020 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 95.7 | % | ||
Preferred Stocks | 1.4 | |||
Short-Term Investments | 1.3 | |||
Investment Funds | 0.5 | |||
Debt Obligations | 0.2 | |||
Futures Contracts | 0.1 | |||
Swap Contracts | 0.0 | ^ | ||
Rights/Warrants | 0.0 | ^ | ||
Other | 0.8 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | % of Investments | |||
United States | 30.4 | % | ||
China | 10.5 | |||
Japan | 8.2 | |||
United Kingdom | 8.2 | |||
Taiwan | 5.4 | |||
Other Emerging | 5.1 | † | ||
Russia | 4.4 | |||
France | 3.8 | |||
Switzerland | 3.1 | |||
Netherlands | 2.9 | |||
Germany | 2.8 | |||
Spain | 2.6 | |||
Singapore | 1.8 | |||
Australia | 1.7 | |||
Italy | 1.7 | |||
Sweden | 1.5 | |||
Portugal | 1.3 | |||
Other Developed | 1.3 | ‡ | ||
Korea | 1.2 | |||
South Africa | 1.1 | |||
Norway | 1.0 | |||
|
| |||
100.0 | % | |||
|
|
& | The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). |
¤ | The table 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%. |
40
GMO Global Equity Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
MUTUAL FUNDS — 100.0% |
| |||||||||
Affiliated Issuers — 100.0% |
| |||||||||
3,330,000 | GMO Cyclical Focus Fund, Class IV | 79,254,000 | ||||||||
12,427,987 | GMO Emerging Markets Fund, Class VI | 396,949,903 | ||||||||
28,686,647 | GMO International Equity Fund, Class IV | 598,116,580 | ||||||||
8,370,721 | GMO Quality Fund, Class VI | 215,294,948 | ||||||||
7,665,748 | GMO U.S. Equity Fund, Class VI | 96,128,483 | ||||||||
9,069,132 | GMO U.S. Small Cap Value Fund, Class VI | 162,518,849 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $1,570,338,024) | 1,548,262,763 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.0% |
| |||||||||
Money Market Funds — 0.0% |
| |||||||||
581,026 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (a) | 581,026 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $581,026) | 581,026 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $1,570,919,050) | 1,548,843,789 | |||||||||
Other Assets and Liabilities (net) — (0.0%) | (78,873 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $1,548,764,916 | |||||||||
|
|
Notes to Schedule of Investments:
(a) | The rate disclosed is the 7 day net yield as of August 31, 2020. |
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 95.
See accompanying notes to the financial statements. | 41 |
(A Series of GMO Trust)
Consolidated Investment Concentration Summary (a)
August 31, 2020 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 75.8 | % | ||
Debt Obligations | 19.5 | |||
Short-Term Investments | 3.3 | |||
Preferred Stocks | 1.8 | |||
Investment Funds | 1.0 | |||
Mutual Funds | 0.5 | |||
Swap Contracts | 0.1 | |||
Rights/Warrants | 0.0 | ^ | ||
Written Options | 0.0 | ^ | ||
Forward Currency Contracts | (0.5 | ) | ||
Futures Contracts | (2.4 | ) | ||
Securities Sold Short | (5.0 | ) | ||
Other | 5.9 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | Debt Obligations as a % of Total Net Assets | |||
United States | 1.9 | % | ||
Other Emerging | 0.2 | † | ||
Other Developed | (0.0 | )^‡ | ||
|
| |||
2.1 | % | |||
|
| |||
Country/Region Summary ¤ | Equity Investments % of Total Net Assets | |||
China | 14.1 | % | ||
United States | 11.3 | |||
Japan | 6.8 | |||
Taiwan | 5.6 | |||
United Kingdom | 4.6 | |||
Russia | 4.5 | |||
Other Developed | 4.0 | ‡ | ||
South Korea | 3.7 | |||
Other Emerging | 3.0 | † | ||
France | 2.0 | |||
South Africa | 1.6 | |||
Netherlands | 1.5 | |||
India | 1.5 | |||
Spain | 1.5 | |||
Germany | 1.4 | |||
Italy | 1.3 | |||
Canada | 1.2 | |||
Brazil | 1.2 | |||
Singapore | 1.2 | |||
Australia | 1.0 | |||
Mexico | 1.0 | |||
|
| |||
74.0 | % | |||
|
| |||
Industry Group Summary | % of Equity Investments# | |||
Banks | 11.0 | % | ||
Materials | 8.6 | |||
Capital Goods | 7.5 | |||
Technology Hardware & Equipment | 7.3 | |||
Energy | 6.5 | |||
Retailing | 5.5 | |||
Consumer Durables & Apparel | 4.4 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 4.4 | |||
Real Estate | 4.3 | |||
Diversified Financials | 4.0 | |||
Semiconductors & Semiconductor Equipment | 3.8 | |||
Automobiles & Components | 3.8 | |||
Utilities | 3.5 | |||
Telecommunication Services | 3.5 | |||
Media & Entertainment | 3.5 | |||
Insurance | 3.4 | |||
Food, Beverage & Tobacco | 3.2 | |||
Health Care Equipment & Services | 2.7 | |||
Software & Services | 2.6 | |||
Commercial & Professional Services | 1.9 | |||
Transportation | 1.4 | |||
Food & Staples Retailing | 1.3 | |||
Household & Personal Products | 1.0 | |||
Consumer Services | 0.9 | |||
|
| |||
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, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). |
† | “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. |
¤ | The table 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%. |
# | 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%. |
42
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 75.8% |
| |||||||||
Argentina — 0.0% | ||||||||||
50,800 | Banco BBVA Argentina SA ADR * | 171,196 | ||||||||
|
| |||||||||
Australia — 1.0% | ||||||||||
478,463 | Accent Group Ltd | 557,768 | ||||||||
198,666 | Adairs Ltd | 509,304 | ||||||||
219,712 | Ampol Ltd | 4,207,975 | ||||||||
111,093 | Ansell Ltd | 3,148,931 | ||||||||
134,035 | Appen Ltd (a) | 3,418,515 | ||||||||
258,547 | Asaleo Care Ltd | 208,891 | ||||||||
809,870 | Australian Pharmaceutical Industries Ltd | 646,416 | ||||||||
74,668 | Aventus Group (REIT) | 130,844 | ||||||||
295,247 | Beach Energy Ltd (a) | 330,188 | ||||||||
74,536 | Brickworks Ltd | 985,822 | ||||||||
111,956 | Codan Ltd (a) | 886,596 | ||||||||
2,632,176 | Fortescue Metals Group Ltd | 33,642,836 | ||||||||
333,516 | GDI Property Group (REIT) | 264,775 | ||||||||
552,876 | Genworth Mortgage Insurance Australia Ltd | 613,411 | ||||||||
173,338 | JB Hi-Fi Ltd | 6,387,148 | ||||||||
423,874 | Mount Gibson Iron Ltd | 244,839 | ||||||||
60,560 | Rio Tinto Ltd (a) | 4,357,915 | ||||||||
424,441 | Sandfire Resources NL | 1,455,303 | ||||||||
197,800 | Sigma Healthcare Ltd | 98,903 | ||||||||
124,925 | Tassal Group Ltd | 335,652 | ||||||||
38,022 | Virtus Health Ltd | 98,094 | ||||||||
|
| |||||||||
Total Australia | 62,530,126 | |||||||||
|
| |||||||||
Austria — 0.0% | ||||||||||
20,243 | FACC AG * (a) | 138,562 | ||||||||
7,001 | POLYTEC Holding AG * | 43,393 | ||||||||
2,999 | Vienna Insurance Group AG Wiener Versicherung Gruppe * | 73,263 | ||||||||
|
| |||||||||
Total Austria | 255,218 | |||||||||
|
| |||||||||
Belgium — 0.4% | ||||||||||
368,415 | AGFA-Gevaert NV * | 1,556,563 | ||||||||
20,973 | Barco NV | 443,679 | ||||||||
15,990 | Colruyt SA | 1,007,865 | ||||||||
153,156 | UCB SA | 18,177,631 | ||||||||
|
| |||||||||
Total Belgium | 21,185,738 | |||||||||
|
| |||||||||
Brazil — 0.9% | ||||||||||
34,400 | Ambev SA | 77,296 | ||||||||
2,800 | B2W Cia Digital * | 57,288 | ||||||||
423,800 | Banco do Brasil SA | 2,525,704 | ||||||||
690,000 | Camil Alimentos SA | 1,607,082 | ||||||||
897,720 | Cia de Saneamento Basico do Estado de Sao Paulo | 7,824,428 |
Shares | Description | Value ($) | ||||||||
Brazil — continued | ||||||||||
104,600 | Cia de Saneamento do Parana | 510,733 | ||||||||
130,900 | Cia Paranaense de Energia | 1,452,002 | ||||||||
70,100 | Instituto Hermes Pardini SA | 330,123 | ||||||||
3,524,400 | JBS SA | 14,435,984 | ||||||||
136,600 | Mahle-Metal Leve SA | 423,127 | ||||||||
5,123,500 | Petrobras Distribuidora SA | 19,957,194 | ||||||||
486,300 | Qualicorp Consultoria e Corretora de Seguros SA | 2,773,024 | ||||||||
700,700 | TIM Participacoes SA | 1,831,528 | ||||||||
456,100 | Tupy SA * | 1,406,971 | ||||||||
53,100 | WEG SA | 626,325 | ||||||||
|
| |||||||||
Total Brazil | 55,838,809 | |||||||||
|
| |||||||||
Canada — 1.3% | ||||||||||
192,000 | AGF Management Ltd – Class B | 735,999 | ||||||||
23,000 | Bank of Nova Scotia (The) | 993,989 | ||||||||
48,500 | Bausch Health Cos Inc * | 805,018 | ||||||||
29,600 | Bird Construction Inc (a) | 154,995 | ||||||||
122,019 | Brookfield Asset Management Inc –Class A | 4,116,921 | ||||||||
54,548 | BRP Inc | 2,962,533 | ||||||||
69,200 | Canaccord Genuity Group Inc (a) | 410,632 | ||||||||
2,800 | Canadian National Railway Co | 294,222 | ||||||||
39,100 | Canfor Pulp Products Inc | 147,185 | ||||||||
73,700 | Cascades Inc | 783,700 | ||||||||
157,900 | Celestica Inc * | 1,257,777 | ||||||||
130,300 | CI Financial Corp | 1,850,083 | ||||||||
4,000 | Cogeco Communications Inc | 299,858 | ||||||||
15,900 | Cogeco Inc | 956,060 | ||||||||
6,550 | DREAM Unlimited Corp – Class A | 96,215 | ||||||||
52,300 | Fortuna Silver Mines Inc * | 380,918 | ||||||||
108,600 | iA Financial Corp Inc | 3,909,050 | ||||||||
62,000 | IGM Financial Inc (a) | 1,512,983 | ||||||||
20,600 | Magna International Inc | 1,003,191 | ||||||||
83,100 | Martinrea International Inc | 639,010 | ||||||||
9,300 | Morguard North American Residential Real Estate Investment Trust | 107,663 | ||||||||
27,300 | National Bank of Canada | 1,500,679 | ||||||||
117,643 | Nutrien Ltd | 4,337,497 | ||||||||
38,400 | Real Matters Inc * | 778,981 | ||||||||
296,500 | Rogers Sugar Inc (a) | 1,084,299 | ||||||||
309,800 | Royal Bank of Canada | 23,592,160 | ||||||||
1,900 | Stantec Inc (a) | 61,690 | ||||||||
132,000 | Sun Life Financial Inc (a) (b) | 5,513,640 | ||||||||
90,200 | Sun Life Financial Inc (b) | 3,764,701 | ||||||||
47,000 | Teekay Tankers Ltd – Class A * (a) | 589,380 | ||||||||
34,900 | Teranga Gold Corp * (a) | 406,166 | ||||||||
8,100 | TFI International Inc | 358,068 | ||||||||
216,900 | Toronto-Dominion Bank (The) (a) | 10,820,472 | ||||||||
79,200 | Transat AT Inc * (a) | 317,565 |
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Canada — continued | ||||||||||
76,720 | Transcontinental Inc – Class A | 902,277 | ||||||||
20,400 | Wajax Corp | 188,931 | ||||||||
|
| |||||||||
Total Canada | 77,634,508 | |||||||||
|
| |||||||||
Chile — 0.1% | ||||||||||
342,297 | Banco de Chile | 28,612 | ||||||||
2,025,366 | Enel Americas SA | 291,422 | ||||||||
832,700 | Enel Americas SA ADR | 5,920,497 | ||||||||
14,339 | Inversiones La Construccion SA | 93,136 | ||||||||
|
| |||||||||
Total Chile | 6,333,667 | |||||||||
|
| |||||||||
China — 14.1% | ||||||||||
5,276,000 | 361 Degrees International Ltd | 700,333 | ||||||||
994,000 | 7Road Holdings Ltd * | 343,662 | ||||||||
126,250 | A-Living Services Co Ltd – Class H | 650,561 | ||||||||
9,941,000 | Agile Group Holdings Ltd | 13,704,876 | ||||||||
11,756,300 | Agricultural Bank of China Ltd – Class A | 5,504,141 | ||||||||
64,941,000 | Agricultural Bank of China Ltd – Class H | 21,688,712 | ||||||||
72,700 | Alibaba Group Holding Ltd * | 2,616,825 | ||||||||
212,400 | Alibaba Group Holding Ltd Sponsored ADR * | 60,965,172 | ||||||||
1,657,432 | Anhui Conch Cement Co Ltd – Class A | 14,709,417 | ||||||||
3,840,000 | Anhui Conch Cement Co Ltd – Class H | 27,799,446 | ||||||||
517,072 | Anhui Expressway Co Ltd – Class A | 406,366 | ||||||||
35,000 | ANTA Sports Products Ltd | 345,010 | ||||||||
174,000 | Asia Cement China Holdings Corp | 176,193 | ||||||||
16,398,500 | BAIC Motor Corp Ltd – Class H | 7,860,146 | ||||||||
1,300 | Baidu Inc Sponsored ADR * | 161,941 | ||||||||
102,527,000 | Bank of China Ltd – Class H | 33,340,708 | ||||||||
46,770,000 | Bank of Communications Co Ltd –Class H | 24,423,599 | ||||||||
78,000 | Beijing Capital International Airport Co Ltd – Class H | 55,134 | ||||||||
1,303,675 | Beijing North Star Co Ltd – Class A | 532,133 | ||||||||
12,658,000 | China Cinda Asset Management Co Ltd –Class H | 2,414,878 | ||||||||
18,233,000 | China CITIC Bank Corp Ltd – Class H | 7,616,504 | ||||||||
5,776,485 | China Communications Services Corp Ltd – Class H | 3,783,990 | ||||||||
19,105,703 | China Construction Bank Corp – Class A | 17,276,254 | ||||||||
35,131,000 | China Construction Bank Corp – Class H | 24,757,292 | ||||||||
572,000 | China Dongxiang Group Co Ltd | 74,533 | ||||||||
8,901,000 | China Everbright Bank Co Ltd – Class H | 3,189,066 | ||||||||
1,432,000 | China Feihe Ltd | 2,896,114 | ||||||||
3,659,000 | China Greenfresh Group Co Ltd * | 38,216 | ||||||||
3,958,000 | China Huarong Asset Management Co Ltd – Class H | 453,932 | ||||||||
5,562,000 | China Jinmao Holdings Group Ltd | 3,473,068 | ||||||||
40,000 | China Kepei Education Group Ltd | 35,326 | ||||||||
9,306,000 | China Lesso Group Holdings Ltd | 17,328,785 | ||||||||
1,627,000 | China Lilang Ltd | 937,801 |
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
8,169,000 | China Machinery Engineering Corp –Class H | 1,915,606 | ||||||||
9,260,925 | China Medical System Holdings Ltd | 10,430,185 | ||||||||
3,132,500 | China Mobile Ltd | 21,920,965 | ||||||||
20,944,000 | China National Building Material Co Ltd – Class H | 29,396,637 | ||||||||
3,174,000 | China Oriental Group Co Ltd | 891,267 | ||||||||
279,000 | China Overseas Grand Oceans Group Ltd | 181,469 | ||||||||
3,685,000 | China Overseas Land & Investment Ltd | 10,658,828 | ||||||||
51,552,000 | China Petroleum & Chemical Corp –Class H | 23,669,680 | ||||||||
19,796,200 | China Railway Construction Corp Ltd –Class H | 15,194,841 | ||||||||
20,268,000 | China Railway Group Ltd – Class H | 10,395,257 | ||||||||
4,794,000 | China Resources Cement Holdings Ltd | 6,981,512 | ||||||||
396,000 | China Resources Gas Group Ltd | 1,857,514 | ||||||||
2,896,000 | China Resources Land Ltd | 13,378,387 | ||||||||
15,062,500 | China Resources Pharmaceutical Group Ltd | 8,527,435 | ||||||||
821,000 | China SCE Group Holdings Ltd | 427,307 | ||||||||
2,090,963 | China Shenhua Energy Co Ltd – Class A | 4,925,645 | ||||||||
5,918,000 | China Shenhua Energy Co Ltd – Class H | 9,827,430 | ||||||||
2,245,000 | China Shineway Pharmaceutical Group Ltd | 1,570,432 | ||||||||
29,752,000 | China Telecom Corp Ltd – Class H | 9,705,639 | ||||||||
1,000,000 | China Traditional Chinese Medicine Holdings Co Ltd | 426,345 | ||||||||
1,264,593 | China Vanke Co Ltd – Class A | 5,028,171 | ||||||||
1,039,000 | China Vanke Co Ltd – Class H | 3,225,208 | ||||||||
36,200 | China Yuchai International Ltd | 587,888 | ||||||||
7,391,506 | Country Garden Holdings Co Ltd | 9,151,877 | ||||||||
94,000 | Country Garden Services Holdings Co Ltd | 654,910 | ||||||||
60,500 | Dali Foods Group Co Ltd | 37,028 | ||||||||
135,900 | Dongfang Electric Corp Ltd – Class A | 198,313 | ||||||||
4,000 | Dongfeng Motor Group Co Ltd – Class H | 2,780 | ||||||||
4,953,000 | Dongyue Group Ltd | 2,121,950 | ||||||||
17,600 | ENN Energy Holdings Ltd | 195,007 | ||||||||
2,878,500 | Fantasia Holdings Group Co Ltd * | 585,993 | ||||||||
63,000 | Fu Shou Yuan International Group Ltd | 65,169 | ||||||||
4,574,000 | Geely Automobile Holdings Ltd | 9,734,752 | ||||||||
1,935,000 | Great Wall Motor Co Ltd – Class H | 2,106,328 | ||||||||
822,000 | Greenland Hong Kong Holdings Ltd | 273,108 | ||||||||
8,386,000 | Guangdong Investment Ltd | 13,076,486 | ||||||||
1,638,000 | Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H | 4,277,109 | ||||||||
3,004,400 | Guangzhou R&F Properties Co Ltd –Class H | 3,814,182 | ||||||||
674,000 | Haier Electronics Group Co Ltd | 2,306,036 | ||||||||
20,900 | Hangzhou Tigermed Consulting Co Ltd –Class H * | 342,212 | ||||||||
74,000 | Hansoh Pharmaceutical Group Co Ltd * | 349,819 |
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
610,500 | Hebei Construction Group Corp Ltd –Class H | 1,347,770 | ||||||||
19,500 | Hengan International Group Co Ltd | 153,542 | ||||||||
2,958,690 | Hisense Home Appliances Group Co Ltd – Class A | 6,046,412 | ||||||||
1,429,000 | Hisense Kelon Electrical Holdings Co Ltd – Class H | 1,915,216 | ||||||||
73,500 | Hollysys Automation Technologies Ltd | 796,005 | ||||||||
184,000 | Hopson Development Holdings Ltd | 368,261 | ||||||||
5,277,000 | Huabao International Holdings Ltd | 4,710,015 | ||||||||
419,617 | Huaxin Cement Co Ltd – Class A | 1,708,439 | ||||||||
6,653,000 | IGG Inc | 7,674,561 | ||||||||
12,714,946 | Industrial & Commercial Bank of China Ltd – Class A | 9,198,694 | ||||||||
30,596,000 | Industrial & Commercial Bank of China Ltd – Class H | 17,052,961 | ||||||||
172,000 | Jingrui Holdings Ltd | 45,495 | ||||||||
36,000 | JNBY Design Ltd | 37,588 | ||||||||
860,500 | Kingboard Laminates Holdings Ltd | 1,083,709 | ||||||||
12,000 | Kingdee International Software Group Co Ltd * | 30,543 | ||||||||
1,095,500 | KWG Property Holding Ltd | 2,079,014 | ||||||||
31,816 | Lao Feng Xiang Co Ltd – Class A | 249,516 | ||||||||
244,000 | Livzon Pharmaceutical Group Inc –Class A | 1,901,960 | ||||||||
1,295,300 | Livzon Pharmaceutical Group Inc –Class H | 6,188,527 | ||||||||
1,184,000 | Logan Group Co Ltd | 2,202,235 | ||||||||
1,046,000 | Longfor Group Holdings Ltd | 5,533,878 | ||||||||
9,766,000 | Lonking Holdings Ltd | 2,795,002 | ||||||||
2,785,000 | Metallurgical Corp of China Ltd – Class H | 477,312 | ||||||||
10,900 | NetEase Inc | 218,838 | ||||||||
66,100 | NetEase Inc ADR (c) | 32,204,581 | ||||||||
1,351,000 | Nexteer Automotive Group Ltd | 879,627 | ||||||||
5,036,000 | Nine Dragons Paper Holdings Ltd | 5,578,954 | ||||||||
24,400 | Nongfu Spring Co Ltd – Class H | 68,371 | ||||||||
600,000 | PAX Global Technology Ltd | 344,915 | ||||||||
793,000 | People’s Insurance Co Group of China Ltd (The) – Class H | 258,410 | ||||||||
23,131,000 | PICC Property & Casualty Co Ltd –Class H | 17,837,552 | ||||||||
597,000 | Poly Property Group Co Ltd | 187,722 | ||||||||
18,400 | Poly Property Services Co Ltd | 160,892 | ||||||||
25,000 | Postal Savings Bank of China Co Ltd –Class A | 16,846 | ||||||||
27,963,000 | Postal Savings Bank of China Co Ltd –Class H | 13,237,758 | ||||||||
1,630,000 | Powerlong Real Estate Holdings Ltd | 1,178,107 | ||||||||
363,000 | Road King Infrastructure Ltd | 481,928 | ||||||||
14,000 | Seazen Group Ltd * | 12,699 | ||||||||
1,108,000 | Shanghai Jin Jiang Capital Co Ltd –Class H | 189,971 |
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
7,900,900 | Shanghai Pharmaceuticals Holding Co Ltd – Class H | 14,059,984 | ||||||||
631,228 | Shenzhen Investment Ltd | 213,945 | ||||||||
66,600 | Shenzhou International Group Holdings Ltd | 1,072,303 | ||||||||
9,009,076 | Shimao Group Holdings Ltd | 40,488,855 | ||||||||
1,475,500 | Sino Biopharmaceutical Ltd | 1,697,975 | ||||||||
892,500 | Sinopec Engineering Group Co Ltd –Class H | 395,387 | ||||||||
12,160,000 | Sinopec Shanghai Petrochemical Co Ltd – Class H | 2,507,388 | ||||||||
2,243,600 | Sinopharm Group Co Ltd – Class H | 5,509,017 | ||||||||
1,023,000 | Sinotruk Hong Kong Ltd | 2,655,037 | ||||||||
1,329,000 | TCL Electronics Holdings Ltd | 907,480 | ||||||||
227,800 | Tencent Holdings Ltd | 15,562,921 | ||||||||
1,115,000 | Texhong Textile Group Ltd | 868,341 | ||||||||
588,000 | Tianjin Development Holdings Ltd | 125,045 | ||||||||
914,000 | Tianjin Port Development Holdings Ltd | 67,208 | ||||||||
7,006,000 | Tianneng Power International Ltd | 15,071,414 | ||||||||
84,000 | Times China Holdings Ltd | 128,968 | ||||||||
585,500 | Vipshop Holdings Ltd ADR * | 9,666,605 | ||||||||
2,021,000 | Want Want China Holdings Ltd | 1,385,227 | ||||||||
7,680,000 | Weichai Power Co Ltd – Class H | 15,416,075 | ||||||||
3,836,176 | Weifu High-Technology Group Co Ltd –Class A | 13,935,594 | ||||||||
8,742,000 | West China Cement Ltd | 1,531,673 | ||||||||
229,555 | Wuhu Sanqi Interactive Entertainment Network Technology Group Co Ltd –Class A | 1,524,059 | ||||||||
531,000 | XTEP International Holdings Ltd | 176,489 | ||||||||
1,042,000 | Yadea Group Holdings Ltd * | 1,049,029 | ||||||||
77,400 | YiChang HEC ChangJiang Pharmaceutical Co Ltd – Class H | 109,874 | ||||||||
5,800 | Yum China Holdings Inc | 334,718 | ||||||||
2,852,283 | Yuzhou Group Holdings Co Ltd | 1,330,346 | ||||||||
50,288 | Zhejiang Weixing New Building Materials Co Ltd – Class A | 104,786 | ||||||||
1,623,000 | Zhongsheng Group Holdings Ltd | 10,121,810 | ||||||||
|
| |||||||||
Total China | 845,148,220 | |||||||||
|
| |||||||||
Czech Republic — 0.0% | ||||||||||
189,474 | Moneta Money Bank AS | 476,610 | ||||||||
|
| |||||||||
Denmark — 0.0% | ||||||||||
44,629 | Matas A/S * | 495,694 | ||||||||
1,375 | Pandora A/S | 100,370 | ||||||||
59,514 | Scandinavian Tobacco Group A/S | 948,298 | ||||||||
|
| |||||||||
Total Denmark | 1,544,362 | |||||||||
|
| |||||||||
Finland — 0.1% | ||||||||||
131,478 | Neste Oyj | 7,038,721 |
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Finland — continued | ||||||||||
8,911 | Sanoma Oyj | 115,471 | ||||||||
40,752 | Tokmanni Group Corp | 742,308 | ||||||||
|
| |||||||||
Total Finland | 7,896,500 | |||||||||
|
| |||||||||
France — 2.4% | ||||||||||
31,602 | ALD SA | 323,577 | ||||||||
16,313 | Alten SA * | 1,413,871 | ||||||||
95,325 | APERAM SA | 2,814,724 | ||||||||
20,306 | Arkema SA | 2,248,098 | ||||||||
2,609 | Assystem SA | 74,138 | ||||||||
2,426 | Axway Software SA * | 56,052 | ||||||||
1,045 | BioMerieux | 158,028 | ||||||||
118,371 | BNP Paribas SA * | 5,157,214 | ||||||||
2,088 | Boiron SA | 86,200 | ||||||||
24,172 | Bollore SA | 90,867 | ||||||||
1,034 | Caisse Regionale de Credit Agricole Mutuel Nord de France * | 24,107 | ||||||||
2,964 | Capgemini SE | 411,161 | ||||||||
7,352 | Christian Dior SE | 3,148,545 | ||||||||
7,929 | Coface SA * | 61,947 | ||||||||
20,016 | Dassault Systemes SE (c) | 3,776,958 | ||||||||
107,744 | Derichebourg SA | 310,276 | ||||||||
9,672 | Eiffage SA * | 889,476 | ||||||||
35,945 | Faurecia SE * | 1,573,815 | ||||||||
28,647 | Fnac Darty SA * | 1,247,115 | ||||||||
35,208 | Gaztransport Et Technigaz SA | 3,322,553 | ||||||||
975 | Groupe Crit * | 55,832 | ||||||||
1,125 | HEXAOM * | 41,093 | ||||||||
113,741 | Ingenico Group SA * (a) | 19,420,569 | ||||||||
4,287 | Interparfums SA * | 214,251 | ||||||||
70,398 | IPSOS | 1,858,872 | ||||||||
21,309 | Kaufman & Broad SA | 846,229 | ||||||||
8,412 | Kering SA | 5,161,298 | ||||||||
82,205 | L’Oreal SA | 27,279,699 | ||||||||
11,788 | LVMH Moet Hennessy Louis Vuitton SE | 5,535,912 | ||||||||
2,885 | Mersen SA * | 87,876 | ||||||||
107,781 | Metropole Television SA * | 1,345,798 | ||||||||
8,077 | Nexans SA * | 453,093 | ||||||||
522,422 | Peugeot SA * (a) | 9,006,867 | ||||||||
77,087 | Quadient SA | 1,074,321 | ||||||||
3,353 | Rothschild & Co * | 90,617 | ||||||||
61,423 | Safran SA * | 7,093,399 | ||||||||
249,113 | Sanofi | 25,232,343 | ||||||||
17,097 | Schneider Electric SE | 2,114,410 | ||||||||
225,400 | STMicroelectronics NV – NY Shares | 6,818,350 | ||||||||
2,012 | Synergie SA * | 49,322 | ||||||||
65,208 | TOTAL SE | 2,586,936 | ||||||||
5,129 | Unibail-Rodamco-Westfield (REIT) (a) | 238,675 | ||||||||
3,484 | Vilmorin & Cie SA | 196,930 | ||||||||
|
| |||||||||
Total France | 143,991,414 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Germany — 1.4% | ||||||||||
19,022 | Allianz SE (Registered) | 4,127,541 | ||||||||
3,612 | Amadeus Fire AG * | 456,240 | ||||||||
3,803 | Aurubis AG | 273,360 | ||||||||
3,675 | Bauer AG * | 40,186 | ||||||||
96,514 | Bayer AG (Registered) | 6,419,343 | ||||||||
5,699 | Bechtle AG | 1,151,812 | ||||||||
46,962 | Borussia Dortmund GmbH & Co KGaA | 314,505 | ||||||||
18,414 | Carl Zeiss Meditec AG | 2,078,419 | ||||||||
524,874 | CECONOMY AG * | 2,417,218 | ||||||||
1,429 | Cewe Stiftung & Co KGaA * | 169,603 | ||||||||
17,684 | Covestro AG | 843,067 | ||||||||
46,474 | CropEnergies AG | 677,953 | ||||||||
574,483 | Deutsche Pfandbriefbank AG * | 4,184,589 | ||||||||
17,231 | Deutsche Post AG (Registered) | 785,461 | ||||||||
137,462 | Deutz AG * | 739,470 | ||||||||
292,957 | Dialog Semiconductor Plc * | 12,726,933 | ||||||||
5,236 | Draegerwerk AG & Co KGaA * | 387,038 | ||||||||
20,493 | DWS Group GmbH & Co KGaA * | 807,821 | ||||||||
17,030 | Eckert & Ziegler Strahlen-und Medizintechnik AG | 859,651 | ||||||||
3,871 | Elmos Semiconductor SE | 100,603 | ||||||||
6,711 | Gerresheimer AG | 792,597 | ||||||||
2,718 | Gesco AG | 43,245 | ||||||||
1,207 | Grammer AG * | 22,528 | ||||||||
27,682 | Hamburger Hafen und Logistik AG | 512,276 | ||||||||
4,806 | Hannover Rueck SE | 819,559 | ||||||||
85,697 | HeidelbergCement AG | 5,436,785 | ||||||||
19,461 | Henkel AG & Co KGaA | 1,750,998 | ||||||||
2,640 | Hornbach Baumarkt AG | 118,996 | ||||||||
10,589 | Hornbach Holding AG & Co KGaA | 1,153,019 | ||||||||
297,292 | Infineon Technologies AG | 8,266,616 | ||||||||
3,156 | KWS Saat SE & Co KGaA | 272,299 | ||||||||
32,316 | Merck KGaA | 4,392,221 | ||||||||
2,835 | OHB SE * | 131,179 | ||||||||
130,117 | Siemens Healthineers AG | 5,927,975 | ||||||||
96,174 | Software AG | 4,795,328 | ||||||||
49,739 | Takkt AG * | 655,813 | ||||||||
29,938 | Talanx AG * | 1,113,140 | ||||||||
51,302 | VERBIO Vereinigte BioEnergie AG | 882,571 | ||||||||
51,892 | Volkswagen AG * | 9,349,969 | ||||||||
16,666 | Wuestenrot & Wuerttembergische AG | 289,913 | ||||||||
|
| |||||||||
Total Germany | 86,287,840 | |||||||||
|
| |||||||||
Hong Kong — 0.6% | ||||||||||
60,000 | ASM Pacific Technology Ltd | 645,432 | ||||||||
519,500 | BOC Hong Kong Holdings Ltd | 1,473,625 | ||||||||
279,800 | Budweiser Brewing Co APAC Ltd | 942,663 | ||||||||
555,000 | Chow Sang Sang Holdings International Ltd | 624,782 |
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Hong Kong — continued | ||||||||||
3,206,000 | CITIC Telecom International Holdings Ltd | 1,112,028 | ||||||||
85,500 | CK Asset Holdings Ltd | 464,068 | ||||||||
1,590,000 | CSI Properties Ltd | 49,416 | ||||||||
721,200 | Dah Sing Banking Group Ltd | 685,119 | ||||||||
582,000 | Dah Sing Financial Holdings Ltd | 1,654,468 | ||||||||
1,832,000 | Giordano International Ltd | 306,983 | ||||||||
2,175,000 | HKT Trust & HKT Ltd – Class SS | 3,107,916 | ||||||||
1,600,213 | I-CABLE Communications Ltd * | 13,631 | ||||||||
1,429,500 | Johnson Electric Holdings Ltd | 2,820,104 | ||||||||
396,400 | Man Wah Holdings Ltd | 553,497 | ||||||||
36,000 | Minth Group Ltd | 121,365 | ||||||||
1,430,000 | Pacific Textiles Holdings Ltd | 632,245 | ||||||||
245,000 | Prosperity REIT | 74,908 | ||||||||
229,000 | Regal Real Estate Investment Trust | 36,618 | ||||||||
2,016,000 | Shun Tak Holdings Ltd | 698,721 | ||||||||
536,000 | Singamas Container Holdings Ltd | 23,161 | ||||||||
594,000 | Sun Hung Kai & Co Ltd | 244,368 | ||||||||
46,000 | TAI Cheung Holdings Ltd | 29,178 | ||||||||
698,000 | VSTECS Holdings Ltd | 392,508 | ||||||||
633,900 | VTech Holdings Ltd | 3,696,770 | ||||||||
12,632,000 | WH Group Ltd | 10,887,587 | ||||||||
27,000 | Wharf Holdings Ltd (The) | 52,606 | ||||||||
17,000 | Wharf Real Estate Investment Co Ltd | 70,656 | ||||||||
424,000 | Xinyi Glass Holdings Ltd | 732,202 | ||||||||
1,248,000 | Yue Yuen Industrial Holdings Ltd | 2,159,409 | ||||||||
|
| |||||||||
Total Hong Kong | 34,306,034 | |||||||||
|
| |||||||||
Hungary — 0.1% | ||||||||||
811,956 | Magyar Telekom Telecommunications Plc | 997,152 | ||||||||
121,875 | Richter Gedeon Nyrt | 2,968,200 | ||||||||
|
| |||||||||
Total Hungary | 3,965,352 | |||||||||
|
| |||||||||
India — 1.5% | ||||||||||
19,778 | Alembic Pharmaceuticals Ltd | 251,808 | ||||||||
30,354 | Alkem Laboratories Ltd | 1,123,754 | ||||||||
104,228 | Asian Paints Ltd | 2,683,633 | ||||||||
165,086 | Bajaj Auto Ltd | 6,628,349 | ||||||||
472,972 | Balrampur Chini Mills Ltd | 944,284 | ||||||||
99,441 | Cadila Healthcare Ltd | 501,717 | ||||||||
104,604 | Coal India Ltd | 190,703 | ||||||||
59,456 | Dr Reddy’s Laboratories Ltd | 3,415,733 | ||||||||
153,600 | Dr Reddy’s Laboratories Ltd ADR | 8,934,912 | ||||||||
762,659 | Firstsource Solutions Ltd | 640,529 | ||||||||
74,026 | Granules India Ltd | 314,654 | ||||||||
119,411 | Gujarat Narmada Valley Fertilizers & Chemicals Ltd | 329,404 | ||||||||
2,804,370 | HCL Technologies Ltd | 26,244,596 | ||||||||
91,213 | HDFC Bank Ltd * | 1,378,865 |
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
7,128 | Hero MotoCorp Ltd | 291,500 | ||||||||
108,665 | Hindustan Unilever Ltd | 3,114,937 | ||||||||
102,379 | Housing Development Finance Corp Ltd | 2,543,151 | ||||||||
542,577 | ICICI Bank Ltd * | 2,871,565 | ||||||||
1,658,799 | Indian Oil Corp Ltd | 1,928,225 | ||||||||
26,031 | Infosys Ltd | 324,775 | ||||||||
155,879 | Kotak Mahindra Bank Ltd * | 2,965,579 | ||||||||
111,183 | Mphasis Ltd | 1,662,741 | ||||||||
75,190 | Muthoot Finance Ltd | 1,175,600 | ||||||||
56,133 | Narayana Hrudayalaya Ltd | 244,584 | ||||||||
5,104,941 | Power Finance Corp Ltd | 6,550,895 | ||||||||
809,264 | PTC India Ltd | 650,439 | ||||||||
55,410 | Rajesh Exports Ltd | 336,595 | ||||||||
5,622,103 | REC Ltd | 8,136,050 | ||||||||
177,382 | Sonata Software Ltd | 740,083 | ||||||||
19,446 | Sun TV Network Ltd | 118,244 | ||||||||
126,805 | Titan Co Ltd | 1,890,491 | ||||||||
11,177 | Wipro Ltd | 40,867 | ||||||||
|
| |||||||||
Total India | 89,169,262 | |||||||||
|
| |||||||||
Indonesia — 0.4% | ||||||||||
2,128,600 | Astra International Tbk PT | 746,904 | ||||||||
817,400 | Bank BTPN Syariah Tbk PT | 218,846 | ||||||||
3,219,500 | Bank Central Asia Tbk PT | 6,934,699 | ||||||||
6,265,400 | Bank Mandiri Persero Tbk PT | 2,561,942 | ||||||||
6,393,400 | Bank Negara Indonesia Persero Tbk PT | 2,238,569 | ||||||||
656,500 | Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT | 47,556 | ||||||||
5,443,600 | Bank Pembangunan Daerah Jawa Timur Tbk PT | 222,567 | ||||||||
31,402,300 | Bank Rakyat Indonesia Persero Tbk PT | 7,565,189 | ||||||||
6,481,600 | Bank Tabungan Negara Persero Tbk PT | 700,633 | ||||||||
5,379,900 | Bukit Asam Tbk PT | 752,126 | ||||||||
2,540,600 | Gajah Tunggal Tbk PT * | 94,242 | ||||||||
2,330,400 | Indo Tambangraya Megah Tbk PT | 1,322,053 | ||||||||
2,014,100 | Matahari Department Store Tbk PT * | 174,698 | ||||||||
6,026,000 | Pakuwon Jati Tbk PT * | 168,790 | ||||||||
56,399,000 | Panin Financial Tbk PT * | 797,123 | ||||||||
15,331,900 | Ramayana Lestari Sentosa Tbk PT | 688,829 | ||||||||
2,119,600 | Telekomunikasi Indonesia Persero Tbk PT | 417,070 | ||||||||
111,300 | United Tractors Tbk PT | 175,755 | ||||||||
|
| |||||||||
Total Indonesia | 25,827,591 | |||||||||
|
| |||||||||
Ireland — 0.4% | ||||||||||
126,760 | AIB Group Plc * | 155,928 | ||||||||
502,659 | Bank of Ireland Group Plc * | 1,126,151 | ||||||||
36,102 | CRH Plc | 1,346,449 | ||||||||
195,900 | CRH Plc Sponsored ADR | 7,267,890 | ||||||||
45,691 | Glanbia Plc | 525,253 |
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Ireland — continued | ||||||||||
725,684 | Hibernia REIT Plc | 1,031,484 | ||||||||
430,788 | Irish Residential Properties REIT Plc | 724,183 | ||||||||
149,222 | Origin Enterprises Plc | 612,378 | ||||||||
94,732 | Permanent TSB Group Holdings Plc * | 57,685 | ||||||||
357,474 | Ryanair Holdings Plc * | 5,082,329 | ||||||||
121,418 | Smurfit Kappa Group Plc | 4,299,561 | ||||||||
81,464 | Total Produce Plc (a) | 110,376 | ||||||||
|
| |||||||||
Total Ireland | 22,339,667 | |||||||||
|
| |||||||||
Israel — 0.0% | ||||||||||
1,280,299 | Oil Refineries Ltd | 260,517 | ||||||||
|
| |||||||||
Italy — 1.3% | ||||||||||
25,923 | ACEA SPA | 533,030 | ||||||||
487,031 | Anima Holding SPA | 2,139,446 | ||||||||
164,614 | Arnoldo Mondadori Editore SPA * | 207,404 | ||||||||
14,403 | Ascopiave SPA | 56,347 | ||||||||
6,307 | Biesse SPA * | 105,776 | ||||||||
255,224 | Buzzi Unicem SPA | 6,238,897 | ||||||||
44,808 | Cementir Holding NV | 312,938 | ||||||||
68,712 | Credito Emiliano SPA * | 348,290 | ||||||||
270,228 | Enav SPA | 1,136,955 | ||||||||
3,056,807 | Enel SPA | 27,679,976 | ||||||||
367,153 | EXOR NV | 21,654,089 | ||||||||
47,756 | Falck Renewables SPA | 320,222 | ||||||||
889,900 | Fiat Chrysler Automobiles NV * | 9,863,125 | ||||||||
1,172,415 | Hera SPA | 4,476,589 | ||||||||
154,487 | IMMSI SPA * | 71,367 | ||||||||
277,318 | Iren SPA | 726,190 | ||||||||
41,691 | La Doria SPA | 548,363 | ||||||||
208,174 | Piaggio & C SPA | 590,531 | ||||||||
13,622 | Prima Industrie SPA * (a) | 208,867 | ||||||||
2,174 | Reply SPA | 241,694 | ||||||||
2,844 | Sabaf SPA * | 40,723 | ||||||||
691,534 | Saras SPA * (a) | 479,626 | ||||||||
4,286 | Sesa SPA | 384,850 | ||||||||
120,364 | Societa Cattolica di Assicurazioni SC * | 716,050 | ||||||||
397,396 | Telecom Italia SPA | 189,278 | ||||||||
228,591 | Telecom Italia SPA-RSP | 108,088 | ||||||||
|
| |||||||||
Total Italy | 79,378,711 | |||||||||
|
| |||||||||
Japan — 7.1% | ||||||||||
39,300 | ADEKA Corp | 573,540 | ||||||||
260,200 | Aeon Mall Co Ltd (a) | 3,438,339 | ||||||||
17,600 | Aichi Corp | 136,308 | ||||||||
12,500 | Aida Engineering Ltd | 81,097 | ||||||||
10,200 | Altech Corp | 175,630 | ||||||||
502,800 | Amada Co Ltd | 4,468,373 | ||||||||
25,700 | Amano Corp | 535,780 | ||||||||
65,200 | AOKI Holdings Inc | 351,225 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
12,100 | Arata Corp (a) | 578,293 | ||||||||
26,900 | Arcland Sakamoto Co Ltd | 534,848 | ||||||||
89,600 | Arcs Co Ltd | 2,214,402 | ||||||||
804,000 | Asahi Kasei Corp (c) | 6,735,297 | ||||||||
322,100 | Asics Corp | 4,440,563 | ||||||||
1,431,000 | Astellas Pharma Inc | 22,449,743 | ||||||||
2,700 | Bandai Namco Holdings Inc | 167,624 | ||||||||
10,400 | Bando Chemical Industries Ltd | 56,979 | ||||||||
11,400 | BeNEXT Group Inc | 120,790 | ||||||||
494,700 | Brother Industries Ltd | 8,184,264 | ||||||||
26,500 | Bunka Shutter Co Ltd | 188,253 | ||||||||
7,300 | Central Glass Co Ltd | 145,298 | ||||||||
35,100 | Chiba Bank Ltd (The) | 181,803 | ||||||||
4,600 | Chiyoda Integre Co Ltd | 69,494 | ||||||||
39,300 | Chugai Pharmaceutical Co Ltd | 1,751,091 | ||||||||
166,000 | Chugoku Marine Paints Ltd | 1,543,398 | ||||||||
8,300 | Cleanup Corp | 39,999 | ||||||||
10,900 | CONEXIO Corp | 133,607 | ||||||||
30,700 | Dai Nippon Printing Co Ltd (a) | 651,352 | ||||||||
15,600 | Dai Nippon Toryo Co Ltd | 130,236 | ||||||||
4,500 | Dai-Dan Co Ltd | 114,059 | ||||||||
63,400 | Daihen Corp | 2,495,449 | ||||||||
5,500 | Daiichi Jitsugyo Co Ltd | 187,572 | ||||||||
5,400 | Dainichiseika Color & Chemicals Manufacturing Co Ltd | 109,774 | ||||||||
4,300 | Daito Pharmaceutical Co Ltd | 139,939 | ||||||||
15,100 | Daiwa Industries Ltd | 130,835 | ||||||||
65,300 | Daiwabo Holdings Co Ltd | 3,932,149 | ||||||||
1,100 | DCM Holdings Co Ltd (a) | 13,457 | ||||||||
158,100 | Denka Co Ltd | 4,448,985 | ||||||||
80,200 | Doshisha Co Ltd | 1,537,346 | ||||||||
27,900 | DTS Corp | 584,970 | ||||||||
32,700 | FANUC Corp | 5,736,640 | ||||||||
30,300 | FJ Next Co Ltd (a) | 231,734 | ||||||||
10,200 | Fuji Corp (a) | 183,138 | ||||||||
111,800 | Fuji Electric Co Ltd | 3,487,897 | ||||||||
6,600 | Fuji Pharma Co Ltd | 68,099 | ||||||||
9,700 | Fujimi Inc | 324,308 | ||||||||
5,300 | Fujimori Kogyo Co Ltd | 197,429 | ||||||||
21,400 | Fujitec Co Ltd | 426,666 | ||||||||
33,100 | Fujitsu General Ltd | 866,088 | ||||||||
177,300 | Fujitsu Ltd | 23,144,752 | ||||||||
22,400 | Furuno Electric Co Ltd | 198,988 | ||||||||
12,000 | Furyu Corp | 117,833 | ||||||||
11,400 | G-7 Holdings Inc | 343,076 | ||||||||
39,400 | Geo Holdings Corp (a) | 638,584 | ||||||||
36,600 | Glory Ltd | 764,218 | ||||||||
18,700 | GungHo Online Entertainment Inc | 386,143 | ||||||||
46,000 | Gunze Ltd | 1,655,841 | ||||||||
43,900 | Gurunavi Inc | 267,631 |
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
26,300 | Hachijuni Bank Ltd (The) | 101,633 | ||||||||
24,500 | Hakuhodo DY Holdings Inc | 304,201 | ||||||||
10,300 | Hakuto Co Ltd | 107,439 | ||||||||
522,600 | Haseko Corp | 7,131,583 | ||||||||
274,400 | Hazama Ando Corp | 1,863,914 | ||||||||
12,900 | Heiwado Co Ltd | 266,048 | ||||||||
37,600 | Hiroshima Bank Ltd (The) | 190,287 | ||||||||
39,000 | Hisamitsu Pharmaceutical Co Inc (a) | 1,801,564 | ||||||||
348,900 | Hitachi Ltd | 11,607,375 | ||||||||
4,500 | Hochiki Corp | 50,269 | ||||||||
78,000 | Hogy Medical Co Ltd | 2,476,629 | ||||||||
143,600 | Honda Motor Co Ltd | 3,655,878 | ||||||||
77,200 | Horiba Ltd | 4,226,589 | ||||||||
4,200 | Hosokawa Micron Corp | 224,017 | ||||||||
22,200 | Inaba Denki Sangyo Co Ltd | 549,678 | ||||||||
126,700 | Inabata & Co Ltd | 1,562,451 | ||||||||
17,200 | Infocom Corp (a) | 571,658 | ||||||||
10,200 | Information Services International-Dentsu Ltd | 543,618 | ||||||||
295,300 | ITOCHU Corp (a) | 7,578,071 | ||||||||
36,700 | Itochu Enex Co Ltd | 325,009 | ||||||||
123,500 | Itochu Techno-Solutions Corp | 4,470,330 | ||||||||
1,800 | Itochu-Shokuhin Co Ltd | 95,146 | ||||||||
33,500 | Itoki Corp | 115,112 | ||||||||
69,500 | Jafco Co Ltd | 2,796,816 | ||||||||
30,900 | Jeol Ltd | 905,809 | ||||||||
586,000 | JVCKenwood Corp | 866,585 | ||||||||
552,100 | K’s Holdings Corp | 7,822,955 | ||||||||
201,900 | Kadokawa Corp | 5,164,524 | ||||||||
26,800 | Kaken Pharmaceutical Co Ltd | 1,241,581 | ||||||||
17,700 | Kamei Corp | 165,028 | ||||||||
67,000 | Kanamoto Co Ltd | 1,454,292 | ||||||||
245,000 | Kanematsu Corp | 3,093,221 | ||||||||
7,200 | Kanematsu Electronics Ltd | 274,819 | ||||||||
22,900 | Kasai Kogyo Co Ltd | 82,566 | ||||||||
5,000 | Kato Sangyo Co Ltd | 172,361 | ||||||||
895,200 | KDDI Corp (c) | 26,021,530 | ||||||||
15,600 | Keiyo Bank Ltd (The) | 72,784 | ||||||||
412,300 | Kenedix Inc | 2,002,631 | ||||||||
177,200 | Kinden Corp | 2,923,056 | ||||||||
12,900 | Kissei Pharmaceutical Co Ltd | 281,345 | ||||||||
57,800 | Kitz Corp | 337,682 | ||||||||
11,500 | Kiyo Bank Ltd (The) | 169,819 | ||||||||
2,800 | Kohnan Shoji Co Ltd | 101,103 | ||||||||
12,700 | Komeri Co Ltd | 393,540 | ||||||||
636,231 | Konica Minolta Holdings Inc | 2,052,356 | ||||||||
53,300 | Konoike Transport Co Ltd | 567,087 | ||||||||
2,600 | Krosaki Harima Corp | 75,344 | ||||||||
5,500 | Kumagai Gumi Co Ltd | 141,033 | ||||||||
10,200 | Kureha Corp | 436,258 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
20,800 | Kyosan Electric Manufacturing Co Ltd | 98,683 | ||||||||
167,000 | Kyowa Exeo Corp | 4,201,323 | ||||||||
16,500 | Lion Corp | 349,994 | ||||||||
28,200 | Makino Milling Machine Co Ltd | 973,844 | ||||||||
75,400 | Mandom Corp | 1,198,541 | ||||||||
81,100 | Maruichi Steel Tube Ltd | 2,174,299 | ||||||||
6,100 | Maruzen Showa Unyu Co Ltd | 197,249 | ||||||||
41,500 | Marvelous Inc | 310,370 | ||||||||
5,700 | Matsuda Sangyo Co Ltd | 83,732 | ||||||||
147,700 | Maxell Holdings Ltd | 1,416,148 | ||||||||
74,700 | MCJ Co Ltd | 664,634 | ||||||||
160,300 | Mebuki Financial Group Inc | 388,615 | ||||||||
51,600 | Meidensha Corp | 794,289 | ||||||||
11,800 | METAWATER Co Ltd | 495,726 | ||||||||
496,600 | Mitsubishi Chemical Holdings Corp | 2,899,982 | ||||||||
105,500 | Mitsubishi Gas Chemical Co Inc | 1,883,909 | ||||||||
5,800 | Mitsubishi Research Institute Inc | 214,504 | ||||||||
2,343,000 | Mitsubishi UFJ Financial Group Inc | 9,775,868 | ||||||||
12,600 | Mitsuboshi Belting Ltd | 194,849 | ||||||||
14,300 | Mitsui Sugar Co Ltd | 260,821 | ||||||||
6,200 | Mizuno Corp | 111,022 | ||||||||
11,000 | Mochida Pharmaceutical Co Ltd | 406,692 | ||||||||
35,300 | Modec Inc | 590,465 | ||||||||
166,000 | MS&AD Insurance Group Holdings Inc | 4,604,592 | ||||||||
36,000 | MTI Ltd | 248,286 | ||||||||
71,000 | NEC Corp (c) | 3,748,880 | ||||||||
37,800 | NEC Networks & System Integration Corp | 702,777 | ||||||||
121,100 | NH Foods Ltd | 5,485,859 | ||||||||
3,400 | Nichi-iko Pharmaceutical Co Ltd | 38,193 | ||||||||
36,100 | Nichias Corp | 854,645 | ||||||||
19,600 | Nichiha Corp | 462,767 | ||||||||
60,000 | Nikkon Holdings Co Ltd | 1,323,827 | ||||||||
79,300 | Nippo Corp | 2,053,619 | ||||||||
13,000 | Nippon Flour Mills Co Ltd (a) | 206,741 | ||||||||
71,000 | Nippon Kayaku Co Ltd | 697,494 | ||||||||
660,800 | Nippon Light Metal Holdings Co Ltd | 1,157,713 | ||||||||
19,100 | Nippon Soda Co Ltd | 542,296 | ||||||||
1,018,800 | Nippon Telegraph & Telephone Corp | 23,183,404 | ||||||||
6,600 | Nishimatsu Construction Co Ltd | 125,595 | ||||||||
34,200 | Nisshin Oillio Group Ltd (The) | 1,014,315 | ||||||||
4,300 | Nissin Corp | 65,299 | ||||||||
86,000 | Nissin Electric Co Ltd | 912,707 | ||||||||
23,500 | Nojima Corp | 695,483 | ||||||||
149,600 | Nomura Real Estate Holdings Inc | 2,854,003 | ||||||||
31,000 | NS Solutions Corp | 903,404 | ||||||||
124,600 | NTT DOCOMO Inc | 3,474,468 | ||||||||
3,400 | Obara Group Inc | 115,698 | ||||||||
873,500 | Obayashi Corp | 8,537,966 | ||||||||
17,200 | Okamura Corp | 120,778 |
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
1,700 | Okinawa Cellular Telephone Co | 66,954 | ||||||||
17,800 | Organo Corp | 943,131 | ||||||||
390,400 | ORIX Corp | 4,853,109 | ||||||||
11,200 | Osaka Soda Co Ltd | 266,761 | ||||||||
11,800 | Osaki Electric Co Ltd | 60,274 | ||||||||
7,600 | Otsuka Corp | 372,978 | ||||||||
105,800 | Pacific Industrial Co Ltd | 988,020 | ||||||||
8,400 | Paramount Bed Holdings Co Ltd (a) | 334,317 | ||||||||
180,800 | Penta-Ocean Construction Co Ltd | 1,159,521 | ||||||||
23,500 | Prima Meat Packers Ltd (a) | 687,937 | ||||||||
9,100 | Proto Corp | 104,565 | ||||||||
64,800 | Raiznext Corp | 812,135 | ||||||||
3,100 | Rinnai Corp | 286,764 | ||||||||
8,700 | Ryoden Corp | 118,093 | ||||||||
35,800 | San-A Co Ltd | 1,454,760 | ||||||||
26,600 | San-Ai Oil Co Ltd | 234,243 | ||||||||
26,200 | San-In Godo Bank Ltd (The) | 130,860 | ||||||||
40,300 | Sanki Engineering Co Ltd | 432,050 | ||||||||
11,000 | Sanyo Chemical Industries Ltd | 511,050 | ||||||||
49,700 | Secom Co Ltd | 4,703,482 | ||||||||
19,600 | Seikitokyu Kogyo Co Ltd | 159,405 | ||||||||
39,700 | Seiko Holdings Corp (a) | 559,478 | ||||||||
182,600 | Sekisui Chemical Co Ltd | 2,921,301 | ||||||||
8,500 | Sekisui Jushi Corp | 178,225 | ||||||||
53,800 | SG Holdings Co Ltd | 2,475,780 | ||||||||
719,600 | Shimizu Corp | 5,527,514 | ||||||||
10,500 | Shin-Etsu Polymer Co Ltd | 86,546 | ||||||||
10,800 | Shinnihon Corp | 85,324 | ||||||||
19,200 | Shizuoka Gas Co Ltd (a) | 158,287 | ||||||||
175,700 | Showa Corp | 3,768,160 | ||||||||
2,300 | Sinanen Holdings Co Ltd | 64,271 | ||||||||
18,300 | Sinko Industries Ltd | 235,244 | ||||||||
21,500 | Sintokogio Ltd | 143,447 | ||||||||
344,900 | SKY Perfect JSAT Holdings Inc | 1,316,148 | ||||||||
876,800 | Sojitz Corp | 2,005,394 | ||||||||
2,373,200 | Sumitomo Chemical Co Ltd | 7,697,231 | ||||||||
139,500 | Sumitomo Dainippon Pharma Co Ltd | 1,763,551 | ||||||||
216,300 | Sumitomo Forestry Co Ltd | 3,453,421 | ||||||||
3,900 | Sumitomo Seika Chemicals Co Ltd (a) | 126,861 | ||||||||
2,300 | Suzuken Co Ltd | 85,439 | ||||||||
93,200 | T Hasegawa Co Ltd | 1,860,585 | ||||||||
37,400 | T-Gaia Corp (c) | 736,456 | ||||||||
27,800 | Taisei Corp | 959,541 | ||||||||
86,200 | Takara Leben Co Ltd | 280,744 | ||||||||
43,600 | Takasago Thermal Engineering Co Ltd | 597,180 | ||||||||
10,400 | Takeuchi Manufacturing Co Ltd | 218,019 | ||||||||
153,400 | Takuma Co Ltd | 2,455,649 | ||||||||
23,700 | Tamron Co Ltd | 382,416 | ||||||||
12,400 | Tanseisha Co Ltd | 83,227 | ||||||||
14,800 | Tatsuta Electric Wire and Cable Co Ltd | 86,693 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
138,000 | Teijin Ltd | 2,163,790 | ||||||||
80,300 | Toho Holdings Co Ltd | 1,552,243 | ||||||||
7,600 | Token Corp | 494,420 | ||||||||
14,000 | Tokyo Electron Ltd | 3,591,113 | ||||||||
13,900 | Tokyo Seimitsu Co Ltd | 425,351 | ||||||||
128,100 | Tokyu Construction Co Ltd | 587,336 | ||||||||
11,100 | Toli Corp | 25,942 | ||||||||
50,600 | Toppan Forms Co Ltd | 458,021 | ||||||||
475,700 | Toppan Printing Co Ltd | 7,382,746 | ||||||||
11,600 | Torii Pharmaceutical Co Ltd | 301,959 | ||||||||
199,700 | Tosei Corp | 1,748,571 | ||||||||
5,100 | Toshiba TEC Corp (a) | 213,318 | ||||||||
363,300 | Tosoh Corp | 5,374,653 | ||||||||
8,100 | Towa Pharmaceutical Co Ltd | 160,857 | ||||||||
106,500 | Toyo Construction Co Ltd | 406,064 | ||||||||
3,800 | Toyo Ink SC Holdings Co Ltd | 66,470 | ||||||||
71,300 | Toyo Suisan Kaisha Ltd | 4,053,917 | ||||||||
90,800 | Toyota Industries Corp | 5,274,372 | ||||||||
11,500 | Trend Micro Inc | 711,679 | ||||||||
94,600 | TS Tech Co Ltd | 2,767,234 | ||||||||
7,100 | Tsumura & Co | 201,618 | ||||||||
16,200 | Unipres Corp | 140,271 | ||||||||
145,100 | Ushio Inc | 1,794,303 | ||||||||
13,600 | Vital KSK Holdings Inc | 137,609 | ||||||||
13,700 | Wacoal Holdings Corp (a) | 243,386 | ||||||||
23,000 | Warabeya Nichiyo Holdings Co Ltd (a) | 324,674 | ||||||||
5,800 | Welcia Holdings Co Ltd | 248,469 | ||||||||
39,200 | YAMABIKO Corp | 399,150 | ||||||||
19,900 | Yamaguchi Financial Group Inc | 131,768 | ||||||||
26,500 | Yamazen Corp | 249,515 | ||||||||
46,200 | Yellow Hat Ltd | 761,149 | ||||||||
296,300 | Yokogawa Electric Corp | 4,840,235 | ||||||||
6,300 | Yondoshi Holdings Inc (a) | 102,677 | ||||||||
8,200 | Yuasa Trading Co Ltd | 238,289 | ||||||||
111,500 | Zenkoku Hosho Co Ltd | 3,945,348 | ||||||||
|
| |||||||||
Total Japan | 426,573,276 | |||||||||
|
| |||||||||
Kuwait — 0.0% | ||||||||||
7,478 | Humansoft Holding Co KSC * | 61,895 | ||||||||
42,490 | Kuwait Finance House KSCP | 87,063 | ||||||||
92,114 | Kuwait Projects Co Holding KSCP | 44,915 | ||||||||
|
| |||||||||
Total Kuwait | 193,873 | |||||||||
|
| |||||||||
Malaysia — 0.5% | ||||||||||
3,625,900 | DRB-Hicom Berhad | 1,775,195 | ||||||||
76,000 | Kossan Rubber Industries | 292,393 | ||||||||
4,700,290 | Supermax Corp Berhad * | 25,038,815 | ||||||||
335,500 | Ta Ann Holdings Berhad | 229,293 | ||||||||
713,800 | Top Glove Corp Berhad | 4,508,393 | ||||||||
258,300 | Westports Holdings Berhad | 225,448 | ||||||||
|
| |||||||||
Total Malaysia | 32,069,537 | |||||||||
|
|
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Mexico — 1.0% | ||||||||||
59,600 | America Movil SAB de CV – Class L Sponsored ADR (a) | 725,332 | ||||||||
5,856,700 | America Movil SAB de CV – Series L | 3,559,735 | ||||||||
7,800 | Arca Continental SAB de CV | 35,457 | ||||||||
189,100 | Banco del Bajio SA * | 151,232 | ||||||||
1,048,900 | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | 668,685 | ||||||||
1,800 | Coca-Cola Femsa SAB de CV Sponsored ADR | 75,222 | ||||||||
80,400 | Concentradora Fibra Danhos SA de CV (REIT) | 76,057 | ||||||||
25,500 | Corp Inmobiliaria Vesta SAB de CV | 37,874 | ||||||||
777,700 | Credito Real SAB de CV SOFOM ER * | 437,150 | ||||||||
125,100 | El Puerto de Liverpool SAB de CV –Class C1 | 329,529 | ||||||||
4,795,400 | Fibra Uno Administracion SA de CV (REIT) | 3,751,816 | ||||||||
671,700 | Gentera SAB de CV * | 220,094 | ||||||||
386,900 | Grupo Aeroportuario del Centro Norte SAB de CV * | 1,771,833 | ||||||||
7,900 | Grupo Aeroportuario del Centro Norte SAB de CV ADR * | 288,034 | ||||||||
11,500 | Grupo Aeroportuario del Pacifico SAB de CV ADR | 891,020 | ||||||||
33,500 | Grupo Aeroportuario del Pacifico SAB de CV – Class B | 260,535 | ||||||||
9,200 | Grupo Aeroportuario del Sureste SAB de CV ADR * | 1,043,832 | ||||||||
22,465 | Grupo Aeroportuario del Sureste SAB de CV – Class B * | 255,131 | ||||||||
2,726,900 | Grupo Financiero Banorte SAB de CV –Class O * | 9,371,304 | ||||||||
294,600 | Grupo Financiero Inbursa SAB de CV –Class O * | 215,410 | ||||||||
247,513 | Grupo Herdez SAB de CV | 426,321 | ||||||||
3,107,300 | Grupo Mexico SAB de CV Series B | 8,292,949 | ||||||||
47,300 | Kimberly-Clark de Mexico SAB de CV –Class A | 75,461 | ||||||||
133,600 | Qualitas Controladora SAB de CV | 526,292 | ||||||||
131,700 | Regional SAB de CV * | 329,220 | ||||||||
310,869 | Unifin Financiera SAB de CV SOFOM ENR * | 261,117 | ||||||||
11,028,500 | Wal-Mart de Mexico SAB de CV | 26,409,533 | ||||||||
|
| |||||||||
Total Mexico | 60,486,175 | |||||||||
|
| |||||||||
Netherlands — 1.6% | ||||||||||
120,390 | ABN AMRO Bank NV CVA * | 1,143,430 | ||||||||
1,647 | Adyen NV * | 2,776,269 | ||||||||
3,264 | Alfen Beheer BV * | 236,384 | ||||||||
354,492 | ASR Nederland NV (c) | 12,255,783 | ||||||||
63,652 | ForFarmers NV | 410,809 |
Shares | Description | Value ($) | ||||||||
Netherlands — continued | ||||||||||
84,004 | Heineken Holding NV | 6,873,395 | ||||||||
816 | Hunter Douglas NV * | 43,893 | ||||||||
239,087 | Koninklijke Ahold Delhaize NV | 7,193,121 | ||||||||
82,586 | Koninklijke Vopak NV | 4,534,476 | ||||||||
245,264 | Randstad NV | 12,764,374 | ||||||||
630,285 | Signify NV * | 21,024,740 | ||||||||
312,527 | Wolters Kluwer NV | 25,637,563 | ||||||||
|
| |||||||||
Total Netherlands | 94,894,237 | |||||||||
|
| |||||||||
New Zealand — 0.0% | ||||||||||
395,415 | Air New Zealand Ltd (a) | 371,624 | ||||||||
30,070 | Fisher & Paykel Healthcare Corp Ltd –Class C | 744,737 | ||||||||
|
| |||||||||
Total New Zealand | 1,116,361 | |||||||||
|
| |||||||||
Norway — 0.7% | ||||||||||
225,925 | Austevoll Seafood ASA | 2,083,604 | ||||||||
41,334 | Avance Gas Holding Ltd (a) | 99,556 | ||||||||
9,122 | Borregaard ASA | 133,063 | ||||||||
589,844 | BW LPG Ltd | 2,751,832 | ||||||||
522,138 | DNB ASA * | 8,364,201 | ||||||||
892,022 | Elkem ASA | 1,839,827 | ||||||||
191,115 | Europris ASA | 961,978 | ||||||||
131,700 | Frontline Ltd (a) | 1,048,332 | ||||||||
149,824 | Gjensidige Forsikring ASA * | 3,189,448 | ||||||||
6,954 | Kongsberg Gruppen ASA | 103,315 | ||||||||
189,432 | Norwegian Finans Holding ASA * | 1,435,421 | ||||||||
864,917 | Orkla ASA | 8,797,521 | ||||||||
11,585 | Salmar ASA * | 626,771 | ||||||||
41,509 | Sbanken ASA * | 319,637 | ||||||||
61,466 | Selvaag Bolig ASA | 374,075 | ||||||||
102,213 | SpareBank 1 Nord Norge | 787,045 | ||||||||
55,483 | SpareBank 1 SMN | 551,288 | ||||||||
290,121 | SpareBank 1 SR-Bank ASA * | 2,605,834 | ||||||||
11,033 | Veidekke ASA * | 148,329 | ||||||||
71,200 | Yara International ASA | 2,983,019 | ||||||||
|
| |||||||||
Total Norway | 39,204,096 | |||||||||
|
| |||||||||
Pakistan — 0.1% | ||||||||||
174,523 | Engro Corp Ltd | 314,110 | ||||||||
1,647,468 | Engro Fertilizers Ltd | 629,427 | ||||||||
337,049 | Fauji Fertilizer Co Ltd | 219,564 | ||||||||
125,900 | Nishat Mills Ltd | 82,468 | ||||||||
1,586,152 | Oil & Gas Development Co Ltd | 1,099,074 | ||||||||
212,509 | Pakistan Oilfields Ltd | 552,026 | ||||||||
772,422 | Pakistan Petroleum Ltd | 475,468 | ||||||||
127,351 | Pakistan State Oil Co Ltd | 147,753 | ||||||||
259,900 | Searle Co Ltd (The) | 407,852 | ||||||||
83,000 | SUI Northern Gas Pipeline | 31,764 | ||||||||
319,598 | United Bank Ltd | 241,021 | ||||||||
|
| |||||||||
Total Pakistan | 4,200,527 | |||||||||
|
|
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Philippines — 0.1% | ||||||||||
27,020 | Globe Telecom Inc | 1,162,543 | ||||||||
227,640 | Manila Electric Co | 1,262,467 | ||||||||
19,338,600 | Megaworld Corp * | 1,159,613 | ||||||||
9,225,000 | Metro Pacific Investments Corp | 639,272 | ||||||||
40,400 | Metropolitan Bank & Trust Co | 27,904 | ||||||||
82,010 | Security Bank Corp | 164,381 | ||||||||
1,367,225 | Semirara Mining & Power Corp | 265,476 | ||||||||
|
| |||||||||
Total Philippines | 4,681,656 | |||||||||
|
| |||||||||
Poland — 0.6% | ||||||||||
91,440 | Alior Bank SA * | 340,577 | ||||||||
98,634 | Asseco Poland SA | 1,901,645 | ||||||||
256,954 | Bank Polska Kasa Opieki SA * | 3,642,583 | ||||||||
33,987 | Budimex SA | 2,161,339 | ||||||||
252,249 | Cyfrowy Polsat SA * | 1,969,133 | ||||||||
528,434 | Energa SA * | 1,162,021 | ||||||||
28,081 | Lubelski Wegiel Bogdanka SA * | 145,170 | ||||||||
189,111 | Orange Polska SA * | 370,343 | ||||||||
374,074 | PLAY Communications SA | 3,100,149 | ||||||||
218,314 | Polski Koncern Naftowy ORLEN SA | 3,002,966 | ||||||||
133,474 | Powszechna Kasa Oszczednosci Bank Polski SA * | 779,886 | ||||||||
2,203,474 | Powszechny Zaklad Ubezpieczen SA * | 16,246,849 | ||||||||
9,257 | Santander Bank Polska SA * | 380,245 | ||||||||
|
| |||||||||
Total Poland | 35,202,906 | |||||||||
|
| |||||||||
Portugal — 0.8% | ||||||||||
471,674 | Altri SGPS SA | 2,365,980 | ||||||||
14,626,243 | Banco Comercial Portugues SA – Class R * (a) | 1,731,006 | ||||||||
299,333 | CTT-Correios de Portugal SA * (a) | 933,378 | ||||||||
45,154 | EDP Renovaveis SA | 772,403 | ||||||||
2,393,765 | EDP – Energias de Portugal SA (a) | 12,168,867 | ||||||||
1,298,781 | Galp Energia SGPS SA | 13,946,505 | ||||||||
405,394 | Jeronimo Martins SGPS SA | 6,671,587 | ||||||||
315,464 | Mota-Engil SGPS SA * (a) | 594,849 | ||||||||
456,574 | Navigator Co SA (The) * | 1,207,164 | ||||||||
577,598 | NOS SGPS SA | 2,339,377 | ||||||||
439,312 | REN – Redes Energeticas Nacionais SGPS SA | 1,278,988 | ||||||||
32,033 | Semapa-Sociedade de Investimento e Gestao | 292,742 | ||||||||
2,840,157 | Sonae SGPS SA | 2,027,274 | ||||||||
|
| |||||||||
Total Portugal | 46,330,120 | |||||||||
|
| |||||||||
Qatar — 0.1% | ||||||||||
614,884 | Doha Bank QPSC * | 402,243 | ||||||||
96,259 | Qatar Electricity & Water Co QSC | 454,567 | ||||||||
233,224 | Qatar Insurance Co SAQ | 136,242 | ||||||||
1,154,582 | Qatar National Bank QPSC | 5,705,027 |
Shares | Description | Value ($) | ||||||||
Qatar — continued | ||||||||||
456,982 | Qatar National Cement Co QSC | 500,360 | ||||||||
|
| |||||||||
Total Qatar | 7,198,439 | |||||||||
|
| |||||||||
Russia — 4.1% | ||||||||||
11,470,560 | Alrosa PJSC | 10,196,277 | ||||||||
1,093,600 | Credit Bank of Moscow PJSC * | 90,597 | ||||||||
332,670 | Detsky Mir PJSC | 523,125 | ||||||||
32,132 | Etalon Group Plc GDR (Registered) | 51,177 | ||||||||
274,020,000 | Federal Grid Co Unified Energy System PJSC | 722,886 | ||||||||
98,260 | Gazprom Neft PJSC | 422,336 | ||||||||
1,841,420 | Gazprom PJSC | 4,497,793 | ||||||||
289,198 | Globaltrans Investment Plc Sponsored GDR (Registered) | 1,789,360 | ||||||||
276,114,000 | Inter RAO UES PJSC | 19,450,004 | ||||||||
40,121 | LSR Group PJSC | 425,578 | ||||||||
219,378 | LSR Group PJSC GDR (Registered) | 460,763 | ||||||||
286,278 | LUKOIL PJSC | 19,227,592 | ||||||||
674,441 | LUKOIL PJSC Sponsored ADR | 46,146,665 | ||||||||
193,870 | M.Video PJSC | 1,475,524 | ||||||||
3,072,300 | Magnitogorsk Iron & Steel Works PJSC | 1,560,183 | ||||||||
158,695 | Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered) | 1,073,002 | ||||||||
1,101,087 | MMC Norilsk Nickel PJSC ADR | 28,897,580 | ||||||||
238,535 | Mobile TeleSystems PJSC Sponsored ADR | 2,223,146 | ||||||||
4,279,560 | Moscow Exchange MICEX-RTS PJSC | 7,913,657 | ||||||||
69,302 | Novatek PJSC Sponsered GDR (Registered) | 10,345,612 | ||||||||
136,890 | Novolipetsk Steel PJSC | 285,548 | ||||||||
714,258 | Novolipetsk Steel PJSC GDR | 14,884,825 | ||||||||
88,819 | PhosAgro PJSC GDR (Registered) | 1,051,083 | ||||||||
47,764 | Polymetal International Plc (b) | 1,277,103 | ||||||||
137,513 | Polymetal International Plc (b) | 3,731,809 | ||||||||
14,449 | Polyus PJSC GDR (Registered) | 1,768,196 | ||||||||
71,492 | QIWI Plc Sponsored ADR | 1,284,711 | ||||||||
329,330 | Raspadskaya OJSC | 509,870 | ||||||||
169,895,000 | ROSSETI PJSC | 3,341,779 | ||||||||
30,090 | Safmar Financial Investment * | 214,411 | ||||||||
1,128,600 | Sberbank of Russia PJSC Sponsored ADR * | 13,560,891 | ||||||||
333,627 | Severstal PJSC GDR (Registered) | 4,214,848 | ||||||||
12,247,000 | Surgutneftegas PJSC | 6,057,148 | ||||||||
2,664,102 | Surgutneftegas PJSC Sponsored ADR | 13,317,156 | ||||||||
17,478 | Tatneft PJSC | 128,687 | ||||||||
482,178 | Tatneft PJSC Sponsored ADR | 21,634,756 | ||||||||
93,992 | TCS Group Holding Plc GDR (Registered) | 2,314,779 | ||||||||
29,094,000 | Unipro PJSC | 1,059,327 | ||||||||
376,156 | VTB Bank PJSC GDR (Registered) * | 340,692 | ||||||||
|
| |||||||||
Total Russia | 248,470,476 | |||||||||
|
|
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Saudi Arabia — 0.0% | ||||||||||
1,827 | Al Rajhi Bank | 31,597 | ||||||||
1,659 | Samba Financial Group | 12,180 | ||||||||
|
| |||||||||
Total Saudi Arabia | 43,777 | |||||||||
|
| |||||||||
Singapore — 1.2% | ||||||||||
310,300 | Accordia Golf Trust | 165,176 | ||||||||
381,300 | AEM Holdings Ltd | 1,127,153 | ||||||||
717,200 | Ascendas Real Estate Investment Trust | 1,747,377 | ||||||||
737,900 | Asian Pay Television Trust | 70,491 | ||||||||
859,000 | CapitaLand Commercial Trust (REIT) | 1,059,117 | ||||||||
380,900 | CapitaLand Ltd | 774,455 | ||||||||
220,700 | City Developments Ltd | 1,300,507 | ||||||||
1,325,900 | ComfortDelGro Corp Ltd | 1,439,132 | ||||||||
1,403,400 | DBS Group Holdings Ltd | 21,507,057 | ||||||||
583,100 | First Real Estate Investment Trust | 211,858 | ||||||||
1,160,899 | Japfa Ltd | 532,586 | ||||||||
46,300 | Jardine Cycle & Carriage Ltd | 644,317 | ||||||||
253,900 | Keppel DC (REIT) | 542,547 | ||||||||
1,338,600 | Mapletree Industrial Trust (REIT) | 2,995,899 | ||||||||
376,200 | Mapletree Logistics Trust (REIT) | 571,603 | ||||||||
2,002,000 | Mapletree North Asia Commercial Trust (REIT) | 1,380,910 | ||||||||
865,500 | Sasseur Real Estate Investment Trust | 492,540 | ||||||||
522,200 | Silverlake Axis Ltd | 122,662 | ||||||||
591,000 | Singapore Exchange Ltd | 3,737,215 | ||||||||
184,000 | Sino Grandness Food Industry Group Ltd * | 2,971 | ||||||||
142,300 | SPH (REIT) | 90,902 | ||||||||
545,400 | StarHub Ltd | 488,701 | ||||||||
135,300 | United Overseas Bank Ltd | 1,940,040 | ||||||||
412,000 | Venture Corp Ltd | 6,004,592 | ||||||||
228,500 | Wilmar International Ltd | 731,052 | ||||||||
28,840,451 | Yangzijiang Shipbuilding Holdings Ltd | 19,374,899 | ||||||||
1,521,100 | Yanlord Land Group Ltd | 1,351,140 | ||||||||
|
| |||||||||
Total Singapore | 70,406,899 | |||||||||
|
| |||||||||
South Africa — 1.6% | ||||||||||
2,897,168 | Absa Group Ltd | 13,122,396 | ||||||||
39,768 | AECI Ltd | 196,880 | ||||||||
35,115 | Anglo American Platinum Ltd | 2,615,467 | ||||||||
179,067 | Aspen Pharmacare Holdings Ltd * | 1,430,014 | ||||||||
231,791 | Astral Foods Ltd | 1,819,061 | ||||||||
25,692 | AVI Ltd | 104,394 | ||||||||
546,959 | Barloworld Ltd | 1,918,522 | ||||||||
9,920 | BID Corp Ltd | 163,303 | ||||||||
1,638,767 | Blue Label Telecoms Ltd * | 308,345 | ||||||||
8,807 | Capitec Bank Holdings Ltd | 432,284 | ||||||||
100,566 | Clicks Group Ltd | 1,361,081 | ||||||||
117,947 | Discovery Ltd | 839,412 | ||||||||
896,766 | Emira Property Fund Ltd (REIT) | 287,154 |
Shares | Description | Value ($) | ||||||||
South Africa — continued | ||||||||||
677,085 | FirstRand Ltd | 1,506,525 | ||||||||
266,728 | Foschini Group Ltd (The) | 1,200,576 | ||||||||
17,882 | Gold Fields Ltd | 234,022 | ||||||||
185,900 | Gold Fields Ltd Sponsored ADR | 2,422,277 | ||||||||
2,933,214 | Growthpoint Properties Ltd (REIT) | 2,112,809 | ||||||||
315,643 | Imperial Logistics Ltd | 642,608 | ||||||||
349,687 | Investec Ltd | 648,178 | ||||||||
433,335 | Kumba Iron Ore Ltd | 13,579,675 | ||||||||
350,319 | Lewis Group Ltd | 365,104 | ||||||||
437,912 | Liberty Holdings Ltd | 1,563,006 | ||||||||
828,587 | Motus Holdings Ltd * | 1,342,601 | ||||||||
613,426 | Mr Price Group Ltd | 4,180,338 | ||||||||
70,066 | Murray & Roberts Holdings Ltd | 22,731 | ||||||||
63,139 | Naspers Ltd – N Shares | 11,512,432 | ||||||||
174,178 | Nedbank Group Ltd | 982,395 | ||||||||
1,347,624 | Netcare Ltd | 996,468 | ||||||||
8,911,491 | Old Mutual Ltd | 5,868,121 | ||||||||
180,695 | Rand Merchant Investment Holdings Ltd | 319,398 | ||||||||
67,887 | Remgro Ltd | 349,821 | ||||||||
531,813 | Reunert Ltd | 962,923 | ||||||||
3,656,657 | RMB Holdings Ltd | 264,213 | ||||||||
2,373,710 | Sanlam Ltd | 7,650,001 | ||||||||
38,934 | Santam Ltd | 561,154 | ||||||||
88,670 | Sappi Ltd * | 116,488 | ||||||||
42,412 | Shoprite Holdings Ltd | 276,666 | ||||||||
57,029 | Standard Bank Group Ltd | 354,130 | ||||||||
2,805,157 | Telkom SA SOC Ltd | 3,754,780 | ||||||||
25,373 | Tiger Brands Ltd | 257,488 | ||||||||
1,190,440 | Truworths International Ltd | 2,131,935 | ||||||||
267,529 | Tsogo Sun Gaming Ltd | 57,419 | ||||||||
202,195 | Vodacom Group Ltd | 1,521,968 | ||||||||
254,805 | Wilson Bayly Holmes-Ovcon Ltd | 1,665,544 | ||||||||
|
| |||||||||
Total South Africa | 94,022,107 | |||||||||
|
| |||||||||
South Korea — 2.9% | ||||||||||
80,823 | Aekyung Petrochemical Co Ltd | 461,523 | ||||||||
29,624 | Aju Capital Co Ltd | 293,828 | ||||||||
272 | Alteogen Inc * | 47,700 | ||||||||
10,075 | BNK Financial Group Inc | 43,002 | ||||||||
2,924 | Bukwang Pharmaceutical Co Ltd | 93,041 | ||||||||
418 | Celltrion Pharm Inc * | 38,960 | ||||||||
5,986 | Daou Data Corp | 68,117 | ||||||||
120,362 | DB HiTek Co Ltd | 3,600,914 | ||||||||
53,499 | DB Insurance Co Ltd | 1,963,425 | ||||||||
2,789 | DongKook Pharmaceutical Co Ltd (d) | 382,537 | ||||||||
1,700 | Dongwha Pharm Co Ltd | 33,491 | ||||||||
508,750 | Dongwon Development Co Ltd | 1,641,302 | ||||||||
5,018 | Doosan Fuel Cell Co Ltd * | 175,196 | ||||||||
3,730 | Eone Diagnomics Genome Center Co Ltd * | 48,822 |
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Korea — continued | ||||||||||
819 | Genexine Co Ltd * | 123,595 | ||||||||
17,167 | GS Home Shopping Inc | 1,688,245 | ||||||||
1,213,290 | Hana Financial Group Inc | 28,715,182 | ||||||||
66,170 | Hankook Tire & Technology Co Ltd | 1,639,402 | ||||||||
41,996 | Huons Co Ltd | 2,559,647 | ||||||||
12,869 | Hy-Lok Corp | 127,126 | ||||||||
32,350 | Hyundai Home Shopping Network Corp | 1,776,991 | ||||||||
19,036 | Hyundai Mobis Co Ltd | 3,562,491 | ||||||||
20,533 | Hyundai Motor Co | 3,024,008 | ||||||||
35,847 | Il Dong Pharmaceutical Co Ltd * | 555,670 | ||||||||
611,185 | Industrial Bank of Korea | 4,152,153 | ||||||||
145,130 | JB Financial Group Co Ltd | 523,452 | ||||||||
168,733 | KB Financial Group Inc | 5,235,042 | ||||||||
24,424 | KEPCO Plant Service & Engineering Co Ltd | 570,972 | ||||||||
1,043,094 | Kia Motors Corp | 37,098,997 | ||||||||
96,499 | Korea Asset In Trust Co Ltd | 289,602 | ||||||||
45,196 | Korea Autoglass Corp | 545,965 | ||||||||
77,408 | Korean Reinsurance Co | 477,767 | ||||||||
54,900 | KT Corp Sponsored ADR | 540,216 | ||||||||
3,095 | KT Skylife Co Ltd | 22,165 | ||||||||
171,063 | KT&G Corp | 11,961,046 | ||||||||
121,754 | LF Corp | 1,309,979 | ||||||||
12,064 | LG Electronics Inc | 853,375 | ||||||||
11,731 | LOTTE Himart Co Ltd | 296,109 | ||||||||
370 | MedPacto Inc * | 32,872 | ||||||||
28,523 | Mirae Asset Life Insurance Co Ltd | 89,925 | ||||||||
680 | NCSoft Corp | 471,764 | ||||||||
3,965 | NHN KCP Corp | 239,421 | ||||||||
3,358 | Pharmicell Co Ltd * | 63,164 | ||||||||
39,687 | S&T Motiv Co Ltd | 1,832,303 | ||||||||
72,595 | Samjin Pharmaceutical Co Ltd | 1,779,270 | ||||||||
98,066 | Samsung Electronics Co Ltd | 4,452,799 | ||||||||
6,055 | Sangsangin Co Ltd | 30,514 | ||||||||
8,508 | Sebang Global Battery Co Ltd | 195,333 | ||||||||
1,891 | Seegene Inc | 420,223 | ||||||||
668,285 | Shinhan Financial Group Co Ltd | 16,632,913 | ||||||||
136,710 | SK Hynix Inc | 8,639,520 | ||||||||
20,948 | SK Telecom Co Ltd | 4,367,692 | ||||||||
545,241 | SK Telecom Co Ltd Sponsored ADR | 12,524,186 | ||||||||
33,965 | SL Corp | 342,892 | ||||||||
180 | Taekwang Industrial Co Ltd | 99,939 | ||||||||
234,972 | Woori Financial Group Inc | 1,669,634 | ||||||||
22,427 | Yuhan Corp | 1,263,634 | ||||||||
|
| |||||||||
Total South Korea | 171,689,053 | |||||||||
|
| |||||||||
Spain — 1.5% | ||||||||||
35,547 | Acerinox SA * | 288,643 | ||||||||
102,059 | ACS Actividades de Construccion y Servicios SA | 2,497,390 |
Shares | Description | Value ($) | ||||||||
Spain — continued | ||||||||||
148,984 | Aena SME SA * | 22,242,718 | ||||||||
168,483 | Almirall SA * | 1,853,459 | ||||||||
95,717 | Amadeus IT Group SA | 5,377,115 | ||||||||
424,260 | Banco Bilbao Vizcaya Argentaria SA | 1,242,446 | ||||||||
1,197,665 | Banco Santander SA | 2,666,516 | ||||||||
169,561 | Cia de Distribucion Integral Logista Holdings SA | 3,006,586 | ||||||||
18,599 | Ebro Foods SA | 456,592 | ||||||||
30,792 | eDreams ODIGEO SA * (a) | 83,289 | ||||||||
47,092 | Enagas SA | 1,153,175 | ||||||||
784,912 | Endesa SA | 21,788,940 | ||||||||
159,818 | Faes Farma SA | 632,840 | ||||||||
469,488 | Iberdrola SA | 5,923,471 | ||||||||
241,643 | Industria de Diseno Textil SA | 6,794,330 | ||||||||
584,439 | Mediaset Espana Comunicacion SA * (a) | 1,941,953 | ||||||||
345,125 | Red Electrica Corp SA | 6,605,051 | ||||||||
481 | Repsol SA | 3,800 | ||||||||
1,488,985 | Unicaja Banco SA * | 1,070,855 | ||||||||
55,333 | Viscofan SA | 4,093,827 | ||||||||
|
| |||||||||
Total Spain | 89,722,996 | |||||||||
|
| |||||||||
Sweden — 0.6% | ||||||||||
222,646 | Betsson AB * | 1,863,940 | ||||||||
86,514 | Bilia AB – A Shares * | 1,027,481 | ||||||||
10,344 | Bufab AB * | 139,953 | ||||||||
21,441 | Humana AB * | 150,626 | ||||||||
115,492 | Inwido AB * | 1,150,118 | ||||||||
25,747 | Lindab International AB | 414,985 | ||||||||
19,900 | New Wave Group AB – B Shares * | 107,867 | ||||||||
94,061 | Nobia AB * | 607,608 | ||||||||
288,746 | Skanska AB – B Shares * | 5,872,458 | ||||||||
21,996 | SKF AB – B Shares | 439,952 | ||||||||
97,827 | Swedish Match AB | 7,429,956 | ||||||||
51,593 | Volvo AB – A Shares * | 1,000,911 | ||||||||
984,113 | Volvo AB – B Shares * | 18,850,126 | ||||||||
|
| |||||||||
Total Sweden | 39,055,981 | |||||||||
|
| |||||||||
Switzerland — 0.8% | ||||||||||
7,385 | ALSO Holding AG (Registered) * | 2,000,989 | ||||||||
3,046 | Banque Cantonale Vaudoise (Registered) | 325,297 | ||||||||
10,637 | BKW AG | 1,042,440 | ||||||||
6,040 | Bobst Group SA (Registered) | 391,074 | ||||||||
15,349 | Galenica AG | 1,102,121 | ||||||||
119 | Gurit Holding AG | 225,164 | ||||||||
3,931 | Huber + Suhner AG (Registered) | 305,182 | ||||||||
2,987 | Kardex Holding AG (Registered) | 620,708 | ||||||||
7,711 | Mobilezone Holding AG (Registered) | 83,484 | ||||||||
3,278 | Nestle SA (Registered) | 394,826 | ||||||||
68,076 | Novartis AG (Registered) | 5,867,266 | ||||||||
5,689 | Orior AG | 492,259 |
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Switzerland — continued | ||||||||||
2,155 | Partners Group Holding AG | 2,195,317 | ||||||||
31,309 | Roche Holding AG | 10,983,238 | ||||||||
63,838 | Roche Holding AG – Genusschein | 22,331,732 | ||||||||
5,700 | Vetropack Holding AG (Registered) * | 357,759 | ||||||||
4,039 | Wizz Air Holdings Plc * | 209,513 | ||||||||
6,347 | Zehnder Group AG – Class RG | 328,517 | ||||||||
|
| |||||||||
Total Switzerland | 49,256,886 | |||||||||
|
| |||||||||
Taiwan — 5.5% | ||||||||||
302,000 | Ability Enterprise Co Ltd | 130,726 | ||||||||
33,000 | Accton Technology Corp | 263,166 | ||||||||
8,000 | Acter Group Corp Ltd | 55,783 | ||||||||
151,000 | Alchip Technologies Ltd | 2,715,794 | ||||||||
50,000 | Amazing Microelectronic Corp | 138,942 | ||||||||
2,000 | ASPEED Technology Inc | 81,690 | ||||||||
1,651,672 | Asustek Computer Inc | 13,678,752 | ||||||||
65,000 | Aten International Co Ltd | 187,057 | ||||||||
3,226,000 | Catcher Technology Co Ltd | 22,023,231 | ||||||||
1,210,000 | Cathay Financial Holding Co Ltd | 1,643,460 | ||||||||
1,126,525 | Chailease Holding Co Ltd | 4,975,721 | ||||||||
1,738,660 | Chicony Electronics Co Ltd | 5,244,995 | ||||||||
120,000 | Chicony Power Technology Co Ltd | 302,466 | ||||||||
4,634,000 | China Development Financial Holding Corp | 1,351,468 | ||||||||
226,400 | China Motor Corp | 328,600 | ||||||||
390,000 | Chong Hong Construction Co Ltd | 1,113,915 | ||||||||
3,083,000 | Coretronic Corp | 3,672,114 | ||||||||
14,796,000 | CTBC Financial Holding Co Ltd | 9,564,539 | ||||||||
61,000 | Depo Auto Parts Ind Co Ltd | 103,040 | ||||||||
78,000 | Elan Microelectronics Corp | 377,958 | ||||||||
608,000 | Elite Material Co Ltd | 3,521,433 | ||||||||
593,000 | Elitegroup Computer Systems Co Ltd * | 282,596 | ||||||||
496,000 | Farglory Land Development Co Ltd | 810,988 | ||||||||
465,720 | Feng TAY Enterprise Co Ltd | 2,710,947 | ||||||||
2,093,000 | FLEXium Interconnect Inc | 8,978,384 | ||||||||
244,000 | Formosa Advanced Technologies Co Ltd | 290,971 | ||||||||
247,000 | Formosa Plastics Corp | 659,747 | ||||||||
1,122,000 | Formosa Taffeta Co Ltd | 1,209,591 | ||||||||
1,162,000 | Foxconn Technology Co Ltd | 2,066,777 | ||||||||
3,885,000 | Fubon Financial Holding Co Ltd | 5,672,703 | ||||||||
1,875,000 | Gigabyte Technology Co Ltd | 5,416,932 | ||||||||
5,516,000 | Grand Pacific Petrochemical * | 3,609,724 | ||||||||
1,518,580 | Great Wall Enterprise Co Ltd | 2,341,272 | ||||||||
121,000 | Holiday Entertainment Co Ltd | 261,119 | ||||||||
648,000 | Holtek Semiconductor Inc | 1,408,644 | ||||||||
21,534,600 | Hon Hai Precision Industry Co Ltd | 56,478,536 | ||||||||
455,000 | Huaku Development Co Ltd | 1,390,325 | ||||||||
96,142 | IBF Financial Holdings Co Ltd | 37,892 | ||||||||
389,980 | IEI Integration Corp | 607,666 | ||||||||
33,660 | Innodisk Corp | 182,070 |
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
78,000 | International Games System Co Ltd | 2,336,949 | ||||||||
159,000 | Kung Long Batteries Industrial Co Ltd | 752,441 | ||||||||
518,000 | Lite-On Semiconductor Corp * | 689,962 | ||||||||
1,401,000 | Lite-On Technology Corp | 2,218,645 | ||||||||
26,000 | Lotes Co Ltd | 378,694 | ||||||||
160,000 | MediaTek Inc | 3,025,577 | ||||||||
3,800 | Mercuries & Associates Holding Ltd | 3,214 | ||||||||
2,002,088 | Mercuries Life Insurance Co Ltd * | 642,575 | ||||||||
600,000 | Merry Electronics Co Ltd | 3,144,044 | ||||||||
760,000 | Micro-Star International Co Ltd | 3,508,676 | ||||||||
2,316,368 | Mitac Holdings Corp | 2,282,686 | ||||||||
400,000 | Nantex Industry Co Ltd | 640,708 | ||||||||
21,000 | Nichidenbo Corp | 32,383 | ||||||||
2,195,000 | Novatek Microelectronics Corp | 17,958,653 | ||||||||
1,603,000 | Pegatron Corp | 3,409,697 | ||||||||
323,000 | Phison Electronics Corp | 3,042,545 | ||||||||
12,739,566 | Pou Chen Corp | 12,036,501 | ||||||||
2,672,000 | Qisda Corp | 1,693,514 | ||||||||
1,275,000 | Quanta Computer Inc | 3,341,728 | ||||||||
637,000 | Quanta Storage Inc | 952,523 | ||||||||
7,790,020 | Radiant Opto-Electronics Corp | 28,605,900 | ||||||||
29,000 | Sheng Yu Steel Co Ltd | 17,810 | ||||||||
3,424 | Shin Zu Shing Co Ltd | 17,610 | ||||||||
200,000 | Shinkong Insurance Co Ltd | 240,530 | ||||||||
3,000 | Silergy Corp. | 190,302 | ||||||||
707,400 | Simplo Technology Co Ltd | 8,065,492 | ||||||||
99,000 | Sitronix Technology Corp | 486,377 | ||||||||
136,000 | Soft-World International Corp | 426,379 | ||||||||
141,000 | Standard Chemical & Pharmaceutical Co Ltd | 189,947 | ||||||||
2,043,000 | Sunplus Technology Co Ltd * | 862,310 | ||||||||
610,000 | Syncmold Enterprise Corp | 1,720,290 | ||||||||
1,123,000 | Taiwan PCB Techvest Co Ltd | 1,622,699 | ||||||||
1,562,000 | Taiwan Semiconductor Manufacturing Co Ltd | 22,766,266 | ||||||||
311,750 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR | 24,706,187 | ||||||||
28,000 | Thinking Electronic Industrial Co Ltd | 104,030 | ||||||||
516,264 | TOPBI International Holdings Ltd | 616,738 | ||||||||
432,064 | Topco Scientific Co Ltd | 1,765,332 | ||||||||
133,000 | Topkey Corp | 827,864 | ||||||||
659,000 | Transcend Information Inc | 1,479,366 | ||||||||
541,000 | Tripod Technology Corp | 2,136,179 | ||||||||
301,681 | United Integrated Services Co Ltd | 2,115,719 | ||||||||
176,000 | Wah Lee Industrial Corp | 339,321 | ||||||||
68,000 | Wiwynn Corp | 1,813,901 | ||||||||
493,000 | Youngtek Electronics Corp | 971,021 | ||||||||
4,986,800 | Yuanta Financial Holding Co Ltd | 3,126,259 | ||||||||
19,000 | Yulon Nissan Motor Co Ltd | 159,298 | ||||||||
|
| |||||||||
Total Taiwan | 333,356,576 | |||||||||
|
|
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Thailand — 0.1% | ||||||||||
412,800 | Bangkok Bank Pcl NVDR | 1,415,931 | ||||||||
16,976,500 | Beauty Community Pcl NVDR | 751,974 | ||||||||
176,000 | Hana Microelectronics Pcl NVDR | 224,723 | ||||||||
38,000 | Kasikornbank Pcl NVDR | 103,312 | ||||||||
58,900 | Kiatnakin Phatra Bank Pcl NVDR | 75,429 | ||||||||
453,000 | Krung Thai Bank Pcl NVDR | 139,584 | ||||||||
417,600 | Origin Property Pcl NVDR * | 99,344 | ||||||||
363,200 | Pruksa Holding Pcl (Foreign Registered) | 135,524 | ||||||||
1,515,300 | Pruksa Holding Pcl NVDR | 565,415 | ||||||||
849,700 | SC Asset Corp Pcl (Foreign Registered) | 62,201 | ||||||||
187,100 | Siam Commercial Bank Pcl NVDR (The) | 437,604 | ||||||||
207,800 | Somboon Advance Technology Pcl NVDR | 80,007 | ||||||||
222,500 | SPCG Pcl NVDR | 127,971 | ||||||||
1,073,525 | Supalai Pcl (Foreign Registered) | 580,771 | ||||||||
642,100 | Supalai Pcl NVDR | 347,372 | ||||||||
1,320,900 | Thai Beverage Pcl | 596,144 | ||||||||
237,500 | Thai Vegetable Oil Pcl NVDR | 206,140 | ||||||||
125,000 | Thanachart Capital Pcl NVDR | 129,438 | ||||||||
21,000 | Tisco Financial Group Pcl NVDR | 45,542 | ||||||||
499,600 | TTW Pcl NVDR | 214,888 | ||||||||
985,600 | Univentures Pcl NVDR | 91,183 | ||||||||
|
| |||||||||
Total Thailand | 6,430,497 | |||||||||
|
| |||||||||
Turkey — 0.7% | ||||||||||
296,229 | Aksa Akrilik Kimya Sanayii AS | 270,386 | ||||||||
2,364,047 | Aselsan Elektronik Sanayi Ve Ticaret AS | 5,241,348 | ||||||||
30,088 | BIM Birlesik Magazalar AS | 278,166 | ||||||||
1,963,347 | Dogan Sirketler Grubu Holding AS | 561,948 | ||||||||
88,885 | Dogus Otomotiv Servis ve Ticaret AS * | 178,086 | ||||||||
16,639,372 | Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT) | 3,993,463 | ||||||||
1,801,090 | Enerjisa Enerji AS | 2,001,913 | ||||||||
4,496,462 | Eregli Demir ve Celik Fabrikalari TAS | 5,342,144 | ||||||||
389,210 | Goodyear Lastikleri TAS * | 251,452 | ||||||||
4,424,175 | KOC Holding AS | 8,971,927 | ||||||||
160,207 | Koza Altin Isletmeleri AS * | 1,699,687 | ||||||||
331,740 | Koza Anadolu Metal Madencilik Isletmeleri AS * | 581,333 | ||||||||
338,429 | Ozak Gayrimenkul Yatirim Ortakligi (REIT) * | 172,899 | ||||||||
691,034 | Selcuk Ecza Deposu Ticaret ve Sanayi AS | 752,678 | ||||||||
513,553 | Soda Sanayii AS | 478,032 | ||||||||
44,633 | Tofas Turk Otomobil Fabrikasi AS | 137,085 | ||||||||
47,429 | Turkcell Iletisim Hizmetleri AS | 92,204 | ||||||||
2,559,623 | Turkiye Garanti Bankasi AS * | 2,356,724 | ||||||||
11,011,220 | Turkiye Is Bankasi – Class C * | 7,376,934 | ||||||||
2,381,691 | Turkiye Vakiflar Bankasi TAO –Class D * | 1,321,609 | ||||||||
|
| |||||||||
Total Turkey | 42,060,018 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
United Arab Emirates — 0.1% | ||||||||||
165,029 | Abu Dhabi Islamic Bank PJSC | 179,463 | ||||||||
555,151 | Dubai Islamic Bank PJSC | 618,037 | ||||||||
264,256 | Emaar Malls PJSC * | 99,759 | ||||||||
7,247,023 | Emaar Properties PJSC * | 5,666,278 | ||||||||
72,193 | Emirates NBD Bank PJSC | 211,796 | ||||||||
|
| |||||||||
Total United Arab Emirates | 6,775,333 | |||||||||
|
| |||||||||
United Kingdom — 5.2% | ||||||||||
1,907,813 | 3i Group Plc | 23,444,170 | ||||||||
119,958 | 888 Holdings Plc | 317,025 | ||||||||
149,420 | Aggreko Plc | 941,139 | ||||||||
173,442 | Alliance Pharma Plc | 170,379 | ||||||||
255,901 | Anglo American Plc | 6,288,689 | ||||||||
24,458 | Ashtead Group Plc | 848,022 | ||||||||
138,411 | AVEVA Group Plc | 9,350,290 | ||||||||
36,801 | Bank of Georgia Group Plc * | 456,531 | ||||||||
2,777,344 | Barratt Developments Plc | 19,394,469 | ||||||||
194,361 | Bellway Plc | 6,174,405 | ||||||||
235,005 | Berkeley Group Holdings Plc (The) | 14,202,162 | ||||||||
46,102 | Biffa Plc | 125,135 | ||||||||
305,413 | British American Tobacco Plc | 10,293,951 | ||||||||
431,400 | British American Tobacco Plc Sponsored ADR | 14,568,378 | ||||||||
1,725,006 | Centamin Plc | 4,845,839 | ||||||||
67,876 | CMC Markets Plc | 290,973 | ||||||||
160,465 | Coca-Cola HBC AG * | 4,262,478 | ||||||||
459,102 | Compass Group Plc | 7,429,166 | ||||||||
125,251 | Computacenter Plc | 3,405,178 | ||||||||
11,288 | Cranswick Plc | 559,538 | ||||||||
39,919 | Daily Mail & General Trust Plc – Class A | 346,112 | ||||||||
10,462 | Dart Group Plc | 98,797 | ||||||||
7,138 | Diploma Plc | 184,205 | ||||||||
159,894 | Dixons Carphone Plc | 197,805 | ||||||||
183,792 | Dunelm Group Plc | 3,496,415 | ||||||||
216,356 | Electrocomponents Plc | 1,957,307 | ||||||||
32,661 | EMIS Group Plc | 446,914 | ||||||||
50,876 | Ferguson Plc | 4,989,174 | ||||||||
1,685,313 | Ferrexpo Plc | 4,141,400 | ||||||||
330,675 | Frasers Group Plc * | 1,538,886 | ||||||||
12,942 | Games Workshop Group Plc | 1,590,246 | ||||||||
72,433 | Go-Ahead Group Plc (The) | 633,647 | ||||||||
23,959 | Greggs Plc | 452,631 | ||||||||
44,279 | Halfords Group Plc | 97,591 | ||||||||
566,400 | HSBC Holdings Plc | 2,455,488 | ||||||||
439,925 | IG Group Holdings Plc | 4,581,224 | ||||||||
48,552 | IMI Plc | 675,566 | ||||||||
354,821 | Inchcape Plc * | 2,390,237 | ||||||||
367,728 | Indivior Plc * | 583,547 | ||||||||
47,755 | Intermediate Capital Group Plc | 864,489 |
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
1,203,651 | International Consolidated Airlines Group SA (a) | 3,225,363 | ||||||||
94,492 | International Personal Finance Plc | 86,399 | ||||||||
860,553 | J Sainsbury Plc | 2,114,467 | ||||||||
735,282 | JD Sports Fashion Plc | 7,075,969 | ||||||||
210,935 | John Laing Group Plc | 812,724 | ||||||||
638,946 | Kingfisher Plc | 2,323,573 | ||||||||
3,222,696 | Legal & General Group Plc | 9,263,418 | ||||||||
42,060 | McBride Plc | 33,918 | ||||||||
60,526 | Meggitt Plc | 233,091 | ||||||||
29,588 | Micro Focus International Plc | 117,384 | ||||||||
224,536 | Mitchells & Butlers Plc * | 516,175 | ||||||||
40,505 | Mondi Plc | 796,988 | ||||||||
114,125 | Morgan Advanced Materials Plc | 353,700 | ||||||||
89,199 | Morgan Sindall Group Plc | 1,501,250 | ||||||||
438,158 | National Express Group Plc | 742,515 | ||||||||
60,616 | Next Plc | 4,856,973 | ||||||||
43,985 | Numis Corp Plc | 171,146 | ||||||||
107,454 | OneSavings Bank Plc | 437,342 | ||||||||
183,486 | Paragon Banking Group Plc | 871,357 | ||||||||
198,993 | Pennon Group Plc | 2,658,744 | ||||||||
1,036,955 | Persimmon Plc | 36,032,358 | ||||||||
663,950 | Pets at Home Group Plc | 2,589,191 | ||||||||
388,590 | Plus500 Ltd | 7,562,341 | ||||||||
453,211 | Premier Foods Plc * | 509,093 | ||||||||
1,673,140 | QinetiQ Group Plc | 6,474,812 | ||||||||
119,023 | Redde Northgate Plc | 299,071 | ||||||||
292,776 | Royal Dutch Shell Plc – A Shares (a) | 4,350,989 | ||||||||
110,094 | Royal Dutch Shell Plc – B Shares | 1,548,880 | ||||||||
1,059,100 | Royal Dutch Shell Plc – Class B Sponsored ADR | 29,760,710 | ||||||||
293,385 | Sirius Real Estate Ltd | 293,444 | ||||||||
44,800 | Smith & Nephew Plc Sponsored ADR | 1,821,120 | ||||||||
88,205 | Smiths Group Plc | 1,637,137 | ||||||||
143,981 | Softcat Plc | 2,666,511 | ||||||||
821,665 | Spirent Communications Plc | 3,228,132 | ||||||||
194,687 | Stock Spirits Group Plc | 563,563 | ||||||||
1,373,441 | Tate & Lyle Plc | 12,452,847 | ||||||||
166,849 | TI Fluid Systems Plc * | 352,998 | ||||||||
6,484 | Ultra Electronics Holdings Plc | 199,798 | ||||||||
268,909 | Vesuvius Plc | 1,446,491 | ||||||||
214,687 | WM Morrison Supermarkets Plc | 549,373 | ||||||||
|
| |||||||||
Total United Kingdom | 311,620,953 | |||||||||
|
| |||||||||
United States — 12.9% | ||||||||||
11,100 | 1st Source Corp. | 382,395 | ||||||||
160,400 | Acacia Communications, Inc. * | 10,823,792 | ||||||||
417,600 | ACCO Brands Corp. | 2,706,048 | ||||||||
172,700 | Acushnet Holdings Corp. (a) (c) | 6,094,583 | ||||||||
35,600 | Adtalem Global Education, Inc. * (a) | 1,181,920 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
93,700 | ADTRAN, Inc. | 1,039,133 | ||||||||
219,396 | Advanced Disposal Services, Inc. * (c) | 6,610,401 | ||||||||
6,400 | AGCO Corp. | 455,040 | ||||||||
46,900 | AgroFresh Solutions, Inc. * | 116,312 | ||||||||
84,300 | Allscripts Healthcare Solutions, Inc. * | 752,799 | ||||||||
61,800 | Alpha & Omega Semiconductor Ltd. * | 837,390 | ||||||||
19,400 | Amalgamated Bank – Class A | 228,338 | ||||||||
6,400 | American Equity Investment Life Holding Co. | 153,024 | ||||||||
73,794 | American Express Co. (a) | 7,496,732 | ||||||||
14,700 | American Public Education, Inc. * | 462,168 | ||||||||
7,300 | American Vanguard Corp. | 103,295 | ||||||||
31,500 | Amkor Technology, Inc. * (a) | 384,143 | ||||||||
54,200 | Amneal Pharmaceuticals, Inc. * (a) | 222,762 | ||||||||
49,700 | AngioDynamics, Inc.* | 465,440 | ||||||||
2,200 | Applied Industrial Technologies, Inc. | 132,462 | ||||||||
31,244 | Applied Materials, Inc. | 1,924,630 | ||||||||
28,400 | ArcBest Corp. | 960,488 | ||||||||
31,600 | Arcosa, Inc. | 1,462,764 | ||||||||
30,900 | Arcus Biosciences, Inc. * (a) | 735,420 | ||||||||
152,100 | Arlo Technologies, Inc. * | 871,533 | ||||||||
2,900 | Arrow Financial Corp. | 83,085 | ||||||||
30,400 | Associated Banc-Corp. | 408,576 | ||||||||
18,900 | Atlas Air Worldwide Holdings, Inc. * | 1,065,771 | ||||||||
1,700 | ATN International, Inc. | 98,600 | ||||||||
82,500 | AutoNation, Inc. * | 4,690,950 | ||||||||
44,600 | Avaya Holdings Corp. * | 692,192 | ||||||||
108,100 | Avient Corp. | 2,758,712 | ||||||||
14,100 | Avnet, Inc. | 387,891 | ||||||||
4,700 | Axcelis Technologies, Inc. * | 111,061 | ||||||||
29,900 | AZZ, Inc. | 1,038,427 | ||||||||
12,900 | BankFinancial Corp. | 93,654 | ||||||||
4,100 | Bar Harbor Bankshares | 83,066 | ||||||||
11,700 | Bassett Furniture Industries, Inc. | 147,420 | ||||||||
9,830 | Bel Fuse, Inc. – Class B | 118,157 | ||||||||
173,800 | Benchmark Electronics, Inc. | 3,408,218 | ||||||||
11,700 | BI-LO Pty Ltd. (e) | 719,550 | ||||||||
119,200 | Big Lots, Inc. | 5,620,280 | ||||||||
135,000 | Bloomin’ Brands, Inc. (a) | 1,935,900 | ||||||||
3,200 | Booking Holdings, Inc. * (a) | 6,113,440 | ||||||||
184,500 | BorgWarner, Inc. | 7,488,855 | ||||||||
22,000 | Boston Private Financial Holdings, Inc. | 130,680 | ||||||||
138,300 | Brady Corp. – Class A | 6,484,887 | ||||||||
8,000 | Bridge Bancorp, Inc. | 160,080 | ||||||||
48,100 | Brightsphere Investment Group, Inc. | 666,666 | ||||||||
137,000 | Brinker International, Inc. | 6,170,480 | ||||||||
78 | Bristol-Myers Squibb Co. | 4,852 | ||||||||
15,300 | Brookline Bancorp, Inc. | 146,880 | ||||||||
168,100 | Builders FirstSource, Inc. * (c) | 5,147,222 | ||||||||
5,100 | Cabot Corp. | 188,751 |
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
21,400 | Calix, Inc. * | 416,230 | ||||||||
13,300 | Camden National Corp. | 434,312 | ||||||||
13,300 | Carriage Services, Inc. | 294,462 | ||||||||
41,500 | Cars.com, Inc. * | 360,220 | ||||||||
6,800 | Cathay General Bancorp | 167,892 | ||||||||
49,400 | CBIZ, Inc. * | 1,201,408 | ||||||||
46,400 | Cedar Realty Trust, Inc. (REIT) | 38,985 | ||||||||
12,600 | Central Garden & Pet Co. * | 512,694 | ||||||||
37,600 | Central Garden & Pet Co. – Class A * | 1,397,216 | ||||||||
7,010 | Century Bancorp, Inc. – Class A | 493,854 | ||||||||
6,700 | Cerence, Inc. * | 356,440 | ||||||||
4,500 | CEVA, Inc. * | 190,125 | ||||||||
138,984 | Charles Schwab Corp. (The) (a) | 4,938,102 | ||||||||
191,324 | Cheesecake Factory, Inc. (The) (a) | 5,649,798 | ||||||||
61,000 | Chevron Corp. (a) (c) | 5,119,730 | ||||||||
11,860 | Civista Bancshares, Inc. | 158,331 | ||||||||
38,771 | Clarus Corp. | 488,127 | ||||||||
8,600 | CNB Financial Corp. | 137,170 | ||||||||
5,100 | Commercial Metals Co. | 106,437 | ||||||||
8,500 | Community Trust Bancorp, Inc. | 274,295 | ||||||||
49,200 | Computer Programs & Systems, Inc. | 1,346,112 | ||||||||
125,600 | Comtech Telecommunications Corp. | 2,084,960 | ||||||||
79,800 | Consolidated Communications Holdings, Inc. * | 620,844 | ||||||||
25,600 | Cooper Tire & Rubber Co. | 884,992 | ||||||||
47,100 | Core-Mark Holding Co., Inc. | 1,574,082 | ||||||||
445,500 | CoreCivic, Inc. (REIT) | 4,147,605 | ||||||||
236,600 | CorePoint Lodging, Inc. (REIT) | 1,343,888 | ||||||||
165,881 | Corteva, Inc. | 4,735,903 | ||||||||
33,100 | Covetrus, Inc. * (a) | 758,321 | ||||||||
19,500 | CRA International, Inc. | 828,945 | ||||||||
42,000 | CSG Systems International, Inc. | 1,787,940 | ||||||||
22,600 | CTS Corp. | 472,340 | ||||||||
31,600 | Curo Group Holdings Corp. | 243,320 | ||||||||
38,700 | CytomX Therapeutics, Inc. * | 282,510 | ||||||||
32,700 | Deluxe Corp. | 928,680 | ||||||||
191,200 | Designer Brands, Inc. – Class A (a) | 1,347,960 | ||||||||
94,300 | DHI Group, Inc. * | 229,149 | ||||||||
2,600 | Diamond Hill Investment Group, Inc. | 322,166 | ||||||||
92,800 | Dick’s Sporting Goods, Inc. (a) | 5,022,336 | ||||||||
44,300 | Digi International, Inc. * (a) | 603,366 | ||||||||
57,800 | Dime Community Bancshares, Inc. | 745,620 | ||||||||
1,097,100 | Discovery, Inc. – Class C * | 21,909,087 | ||||||||
4,047 | Donegal Group, Inc. – Class A | 58,398 | ||||||||
125,500 | Donnelley Financial Solutions, Inc. * | 1,367,950 | ||||||||
68,000 | DSP Group, Inc. * | 975,120 | ||||||||
23,000 | Ducommun, Inc. * | 859,510 | ||||||||
105,700 | Ellington Financial, Inc. (REIT) | 1,317,022 | ||||||||
24,500 | Employers Holdings, Inc. | 798,210 | ||||||||
5,600 | Enanta Pharmaceuticals, Inc. * (a) | 292,264 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
46,800 | Encore Capital Group, Inc. * (a) | 2,149,992 | ||||||||
6,400 | Encore Wire Corp. | 330,304 | ||||||||
502,900 | Endo International Plc * (a) | 1,513,729 | ||||||||
5,200 | Energizer Holdings, Inc. | 240,708 | ||||||||
39,700 | Ennis, Inc. | 727,701 | ||||||||
188,625 | Enova International, Inc. * | 3,221,715 | ||||||||
9,200 | EnPro Industries, Inc. | 538,384 | ||||||||
138,118 | EOG Resources, Inc. | 6,262,270 | ||||||||
11,700 | ePlus, Inc. * | 897,624 | ||||||||
1,288,200 | ESC NII Holdings, Inc. (e) | 2,383,170 | ||||||||
7,400 | Escalade, Inc. | 134,162 | ||||||||
8,300 | ESSA Bancorp, Inc. (a) | 106,240 | ||||||||
36,800 | Essent Group Ltd. | 1,313,760 | ||||||||
140,800 | Ethan Allen Interiors, Inc. | 2,004,992 | ||||||||
51,300 | Evolution Petroleum Corp. | 140,049 | ||||||||
161,100 | Federal Signal Corp. | 5,174,532 | ||||||||
104,700 | Federated Hermes, Inc. | 2,503,377 | ||||||||
27,100 | FedNat Holding Co. | 230,079 | ||||||||
20,130 | Financial Institutions, Inc. | 346,840 | ||||||||
12,826 | First Community Bankshares, Inc. | 246,772 | ||||||||
9,900 | First Financial Corp. | 340,461 | ||||||||
7,900 | First Financial Northwest, Inc. | 75,682 | ||||||||
176,000 | FirstEnergy Corp. (f) | 5,031,845 | ||||||||
166,800 | Flagstar Bancorp, Inc. | 5,240,856 | ||||||||
13,100 | FONAR Corp. * | 332,347 | ||||||||
27,000 | FutureFuel Corp. | 326,700 | ||||||||
229,700 | GCI Liberty, Inc. – Class A * (c) | 18,555,166 | ||||||||
11,800 | Genesco, Inc. * | 230,100 | ||||||||
62,400 | Genie Energy Ltd. – Class B | 551,616 | ||||||||
2,386,011 | Genworth Financial, Inc. – Class A * (a) | 7,205,753 | ||||||||
285,000 | GEO Group, Inc. (REIT) | 3,180,600 | ||||||||
7,800 | Gibraltar Industries, Inc. * (a) | 487,071 | ||||||||
31,100 | Gorman-Rupp Co. (The) | 993,645 | ||||||||
500 | Graham Holdings Co. – Class B | 213,975 | ||||||||
5,600 | Great Southern Bancorp, Inc. | 215,824 | ||||||||
74,200 | Greif, Inc. – Class A | 2,734,270 | ||||||||
103,300 | Griffon Corp. | 2,244,709 | ||||||||
11,000 | Gritstone Oncology, Inc. * (a) | 36,410 | ||||||||
98,000 | Group 1 Automotive, Inc. (a) | 8,471,120 | ||||||||
57,800 | Grubhub, Inc. * | 4,181,830 | ||||||||
86,600 | H&R Block, Inc. (a) | 1,255,700 | ||||||||
59,600 | Hasbro, Inc. (a) | 4,704,824 | ||||||||
84,600 | Haverty Furniture Cos, Inc. | 1,786,752 | ||||||||
4,700 | Hawkins, Inc. | 236,034 | ||||||||
2,100 | HB Fuller Co. | 101,157 | ||||||||
19,700 | HealthStream, Inc. * | 408,086 | ||||||||
2,700 | Heartland Financial USA, Inc. | 92,961 | ||||||||
33,700 | HEICO Corp. – Class A | 3,012,106 | ||||||||
22,500 | Heidrick & Struggles International, Inc. | 486,675 |
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
5,800 | Heritage Financial Corp. | 115,652 | ||||||||
194,936 | Herman Miller, Inc. (c) | 4,645,325 | ||||||||
51,475 | Hilltop Holdings, Inc. | 1,060,385 | ||||||||
55,772 | Hilton Worldwide Holdings, Inc. | 5,039,558 | ||||||||
41,200 | HNI Corp. | 1,312,220 | ||||||||
29,000 | Honeywell International, Inc. | 4,800,950 | ||||||||
8,300 | Hub Group, Inc. – Class A * | 446,872 | ||||||||
5,700 | Hurco Cos, Inc. | 161,196 | ||||||||
7,600 | Huron Consulting Group, Inc. * | 329,688 | ||||||||
37,700 | Hyster-Yale Materials Handling, Inc. (a) | 1,520,818 | ||||||||
27,100 | IDT Corp. – Class B * | 176,692 | ||||||||
231,760 | iHeartMedia, Inc. – Class A * | 2,136,827 | ||||||||
30,500 | Illinois Tool Works, Inc. (a) | 6,025,275 | ||||||||
1,200 | Independence Holding Co. | 42,000 | ||||||||
23,163 | Independent Bank Corp. | 345,360 | ||||||||
52,600 | Information Services Group, Inc. * | 108,093 | ||||||||
27,962 | Ingles Markets, Inc. – Class A | 1,129,665 | ||||||||
75,400 | Innospec, Inc. | 5,631,626 | ||||||||
19,100 | Inogen, Inc. * | 577,393 | ||||||||
122,000 | Insight Enterprises, Inc. * (a) | 7,296,210 | ||||||||
8,700 | Insteel Industries, Inc. | 160,428 | ||||||||
27,300 | Integer Holdings Corp. * | 1,890,798 | ||||||||
34,300 | Inter Parfums, Inc. | 1,532,181 | ||||||||
35,000 | Interface, Inc. (a) | 264,600 | ||||||||
51,675 | International Bancshares Corp. | 1,631,896 | ||||||||
415,500 | Investors Bancorp, Inc. | 3,220,125 | ||||||||
135,270 | JELD-WEN Holding, Inc. * | 2,847,433 | ||||||||
17,800 | Johnson Outdoors, Inc. – Class A (c) | 1,525,638 | ||||||||
30,400 | Kelly Services, Inc. – Class A | 577,296 | ||||||||
38,300 | Kimball Electronics, Inc. * | 516,475 | ||||||||
89,400 | Kimball International, Inc. – Class B | 1,002,174 | ||||||||
36,700 | Knoll, Inc. | 472,329 | ||||||||
24,900 | Koppers Holdings, Inc. * | 599,094 | ||||||||
5,000 | Kronos Worldwide, Inc. | 62,450 | ||||||||
4,300 | Kulicke & Soffa Industries, Inc. | 103,114 | ||||||||
5,400 | L B Foster Co. – Class A * | 80,730 | ||||||||
73,400 | La-Z-Boy, Inc. | 2,385,500 | ||||||||
6,700 | Lakeland Financial Corp. | 306,123 | ||||||||
39,435 | Laredo Petroleum, Inc. * (a) | 644,762 | ||||||||
98,504 | Las Vegas Sands Corp. | 4,995,138 | ||||||||
12,800 | LCNB Corp. | 187,648 | ||||||||
17,600 | Leaf Group Ltd. * | 85,536 | ||||||||
177,800 | Liberty Broadband Corp.– Class C * (a) (c) | 24,908,002 | ||||||||
35,976 | Liberty Global Plc – Class A * | 840,759 | ||||||||
662,300 | Liberty Media Corp.-Liberty SiriusXM –Class C * (c) | 23,839,488 | ||||||||
13,200 | Liberty Oilfield Services, Inc. – Class A | 85,140 | ||||||||
289,400 | Liberty TripAdvisor Holdings, Inc. –Class A * | 810,320 | ||||||||
48,400 | Livongo Health, Inc. * | 6,645,320 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
87,800 | Luminex Corp. | 2,343,382 | ||||||||
177,800 | Lyft, Inc. – Class A * (a) | 5,275,326 | ||||||||
23,355 | Macatawa Bank Corp. | 170,959 | ||||||||
80,330 | Macquarie Infrastructure Corp. | 2,250,847 | ||||||||
52,600 | Marchex, Inc. – Class B * | 94,154 | ||||||||
4,894 | Markel Corp. * (a) | 5,318,946 | ||||||||
5,700 | Marlin Business Services Corp. (a) | 38,190 | ||||||||
17,430 | Masonite International Corp * | 1,591,185 | ||||||||
71,600 | Materion Corp. (c) | 3,908,644 | ||||||||
52,100 | Matrix Service Co. * | 481,404 | ||||||||
187,400 | Maxim Integrated Products, Inc. | 12,825,656 | ||||||||
81,300 | MDC Holdings, Inc. (a) (c) | 3,526,794 | ||||||||
1,000 | Mercantile Bank Corp. | 21,840 | ||||||||
71,400 | Meridian Bioscience, Inc. * (a) | 1,009,596 | ||||||||
115,100 | Meritor, Inc. * | 2,619,676 | ||||||||
23,100 | Methode Electronics, Inc. | 653,961 | ||||||||
27,570 | MGM Growth Properties LLC – Class A (REIT) | 773,890 | ||||||||
96,304 | Micron Technology, Inc. * | 4,382,795 | ||||||||
6,900 | MicroStrategy, Inc. – Class A * | 996,636 | ||||||||
2,300 | Minerals Technologies, Inc. | 116,725 | ||||||||
68,300 | Modine Manufacturing Co. * (a) | 462,391 | ||||||||
88,700 | Moog, Inc. – Class A (c) | 5,347,723 | ||||||||
51,600 | Movado Group, Inc. | 562,956 | ||||||||
36,100 | Mueller Industries, Inc. | 1,072,170 | ||||||||
35,300 | National General Holdings Corp. | 1,201,965 | ||||||||
6,300 | National Presto Industries, Inc. | 566,559 | ||||||||
31,400 | Natus Medical, Inc. * | 570,224 | ||||||||
57,800 | Nautilus, Inc. * | 684,930 | ||||||||
21,000 | Neenah, Inc. | 929,880 | ||||||||
48,000 | NETGEAR, Inc. * | 1,600,800 | ||||||||
6,600 | NetScout Systems, Inc. * | 152,724 | ||||||||
582,500 | Newmark Group, Inc. – Class A | 2,580,475 | ||||||||
35,600 | NextGen Healthcare, Inc. * | 472,056 | ||||||||
840 | NexTier Oilfield Solutions, Inc. * | 2,117 | ||||||||
4,737 | Northrim BanCorp, Inc. | 127,473 | ||||||||
40,240 | Northwest Bancshares, Inc. | 406,826 | ||||||||
11,800 | Nu Skin Enterprises, Inc. – Class A | 557,786 | ||||||||
42,200 | nVent Electric Plc | 806,864 | ||||||||
77,740 | ODP Corp. (The) | 1,817,561 | ||||||||
129,300 | OFG Bancorp | 1,660,212 | ||||||||
13,000 | Old National Bancorp | 181,740 | ||||||||
16,800 | Olympic Steel, Inc. (a) | 184,800 | ||||||||
13,700 | OneSpan, Inc. * | 295,235 | ||||||||
500 | Ooma, Inc. * | 6,820 | ||||||||
32,542 | Oppenheimer Holdings, Inc. – Class A | 795,001 | ||||||||
57,800 | OraSure Technologies, Inc.* (a) | 677,416 | ||||||||
168,500 | Owens & Minor, Inc. | 2,793,730 | ||||||||
1,200 | Park National Corp. | 107,892 | ||||||||
7,300 | Park-Ohio Holdings Corp. | 115,486 |
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
139,200 | Patterson Cos., Inc. | 4,038,192 | ||||||||
43,900 | PC Connection, Inc. (a) (c) | 1,944,331 | ||||||||
347,500 | PDL BioPharma, Inc. * (a) | 1,164,125 | ||||||||
64,400 | Penn Virginia Corp. * (a) | 735,448 | ||||||||
1,650 | Penns Woods Bancorp, Inc. | 34,238 | ||||||||
158,700 | PennyMac Financial Services, Inc. (a) | 8,366,664 | ||||||||
309,800 | PennyMac Mortgage Investment Trust (REIT) | 5,309,972 | ||||||||
110,900 | Perdoceo Education Corp. * | 1,593,633 | ||||||||
227,161 | PG&E Corp. * | 2,103,511 | ||||||||
12,900 | Phibro Animal Health Corp. – Class A | 276,834 | ||||||||
54,800 | Photronics, Inc. * | 549,644 | ||||||||
16,500 | Plains GP Holdings LP – Class A * | 120,615 | ||||||||
1,900 | Preformed Line Products Co. | 103,379 | ||||||||
12,500 | Premier Financial Bancorp, Inc. | 160,250 | ||||||||
71,606 | Premier Financial Corp. | 1,308,600 | ||||||||
142,200 | Prestige Consumer Healthcare, Inc. * | 5,180,346 | ||||||||
36,600 | Progress Software Corp. | 1,386,774 | ||||||||
12,100 | Protective Insurance Corp. – Class B (a) | 173,756 | ||||||||
3,900 | Providence Service Corp. (The) * | 361,101 | ||||||||
17,900 | Quanex Building Products Corp. | 300,899 | ||||||||
57,700 | Qurate Retail, Inc. – Series A * | 637,585 | ||||||||
170,800 | Radian Group, Inc. | 2,637,152 | ||||||||
102,923 | Raytheon Technologies Corp. | 6,278,303 | ||||||||
175,700 | Realogy Holdings Corp. | 1,946,756 | ||||||||
12,600 | Reliance Steel & Aluminum Co. | 1,321,362 | ||||||||
41,100 | Renewable Energy Group, Inc. * | 1,373,973 | ||||||||
17,400 | Rent-A-Center, Inc. | 534,180 | ||||||||
7,233 | Republic Bancorp, Inc. – Class A | 222,487 | ||||||||
181,800 | Resideo Technologies, Inc. * | 2,428,848 | ||||||||
43,000 | Resources Connection, Inc. | 528,470 | ||||||||
15,400 | Riverview Bancorp, Inc. | 63,602 | ||||||||
18,700 | Rocky Brands, Inc. | 450,296 | ||||||||
69,800 | Sally Beauty Holdings, Inc. * | 778,968 | ||||||||
171,700 | SandRidge Energy, Inc. * | 271,286 | ||||||||
265,300 | Sanmina Corp. * (c) | 7,507,990 | ||||||||
5,300 | Scholar Rock Holding Corp. * | 80,030 | ||||||||
37,400 | Scholastic Corp. | 841,500 | ||||||||
128,700 | Schweitzer-Mauduit International, Inc. (a) | 3,903,471 | ||||||||
58,200 | Sciplay Corp. – Class A * | 767,367 | ||||||||
13,100 | SeaSpine Holdings Corp. * | 174,361 | ||||||||
59,300 | Select Medical Holdings Corp. * | 1,190,151 | ||||||||
15,776 | Seneca Foods Corp. – Class A * (a) | 747,151 | ||||||||
174,995 | Sensata Technologies Holding Plc * (a) | 7,286,792 | ||||||||
52,800 | Shoe Carnival, Inc. (a) | 1,736,064 | ||||||||
24,800 | Sierra Bancorp | 443,176 | ||||||||
2,800 | Signet Jewelers Ltd. | 48,356 | ||||||||
12,600 | Silgan Holdings, Inc. | 479,556 | ||||||||
18,296 | SkillSoft Corp. (e) | 2,327,401 | ||||||||
79,800 | SLM Corp. | 609,672 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
125,300 | Sonic Automotive, Inc. – Class A (a) | 5,295,178 | ||||||||
868,000 | Southwestern Energy Co. * (a) | 2,413,040 | ||||||||
64,400 | SpartanNash Co. | 1,286,712 | ||||||||
105,600 | Spok Holdings, Inc. | 1,144,704 | ||||||||
25,000 | SPX Corp. * | 1,045,750 | ||||||||
20,000 | Standard Motor Products, Inc. | 908,800 | ||||||||
8,700 | Star Group LP | 85,260 | ||||||||
160,700 | Steelcase, Inc. – Class A | 1,679,315 | ||||||||
23,300 | Stepan Co. | 2,686,257 | ||||||||
79,300 | Stoneridge, Inc. * | 1,601,860 | ||||||||
43,457 | StoneX Group, Inc. * (c) | 2,464,012 | ||||||||
336,000 | Summit Hotel Properties, Inc. (REIT) | 1,979,040 | ||||||||
253,300 | Sunstone Hotel Investors, Inc. (REIT) | 2,109,989 | ||||||||
5,700 | Super Micro Computer, Inc. * | 156,123 | ||||||||
87,400 | Surgalign Holdings, Inc. * (a) | 194,028 | ||||||||
5,600 | Surmodics, Inc. * | 253,400 | ||||||||
92,600 | Sykes Enterprises, Inc. * | 3,065,523 | ||||||||
1,400 | Synaptics, Inc. * | 119,462 | ||||||||
1,507,100 | Syncora Holdings Ltd. | 460,419 | ||||||||
33,900 | Systemax, Inc. (a) | 752,241 | ||||||||
130,400 | Taubman Centers, Inc. (REIT) | 4,994,320 | ||||||||
139,220 | Taylor Morrison Home Corp. * | 3,275,847 | ||||||||
361,400 | TD Ameritrade Holding Corp. | 13,870,532 | ||||||||
552,700 | TEGNA, Inc. (c) | 6,919,804 | ||||||||
137,100 | Telephone & Data Systems, Inc. | 3,171,123 | ||||||||
33,650 | Tempur Sealy International, Inc. * | 2,878,421 | ||||||||
61,990 | Tenet Healthcare Corp. * | 1,746,878 | ||||||||
10,400 | Tennant Co. | 691,288 | ||||||||
60,400 | Terex Corp. | 1,182,028 | ||||||||
11,600 | Territorial Bancorp, Inc. | 245,456 | ||||||||
1,888,723 | The Oneida Group (d) | 2,020,934 | ||||||||
37,000 | Tiffany & Co. (c) | 4,532,500 | ||||||||
3,300 | Timberland Bancorp, Inc. | 57,717 | ||||||||
52,017 | Toll Brothers, Inc. | 2,196,158 | ||||||||
10,800 | Towne Bank/Portsmouth VA | 191,484 | ||||||||
72,300 | Tredegar Corp. | 1,224,039 | ||||||||
84,800 | TRI Pointe Group, Inc. * | 1,431,424 | ||||||||
75,800 | Tribune Publishing Co. | 860,330 | ||||||||
33,600 | TriCo Bancshares | 930,384 | ||||||||
10,600 | Triple-S Management Corp. – Class B * (a) | 197,160 | ||||||||
446,524 | TRU TAJ (d) | 1,860,665 | ||||||||
5,869 | TRU TAJ Liquidation Unit Trust (e) | 88,035 | ||||||||
21,600 | TrueBlue, Inc. * | 365,472 | ||||||||
22,700 | TrustCo Bank Corp. | 135,292 | ||||||||
114,800 | UFP Industries, Inc. (c) | 6,813,380 | ||||||||
14,100 | Umpqua Holdings Corp. | 159,048 | ||||||||
23,200 | Unisys Corp. * (a) | 270,512 | ||||||||
121,360 | United Natural Foods, Inc. * (a) | 2,190,548 | ||||||||
5,421 | United Security Bancshares | 33,014 | ||||||||
30,900 | United States Cellular Corp. * | 1,124,142 |
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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
2,000 | United Therapeutics Corp. * | 213,920 | ||||||||
63,500 | Uniti Group, Inc. (REIT) | 623,570 | ||||||||
120,200 | Universal Corp. (a) (c) | 5,217,882 | ||||||||
17,500 | Universal Electronics, Inc. * | 718,900 | ||||||||
22,800 | Universal Insurance Holdings, Inc. | 422,940 | ||||||||
208,208 | US Bancorp (a) (c) | 7,578,771 | ||||||||
10,900 | USANA Health Sciences, Inc. * | 854,669 | ||||||||
83,400 | Valvoline, Inc. (a) | 1,701,360 | ||||||||
43,300 | Vanda Pharmaceuticals, Inc. * | 445,557 | ||||||||
32,000 | Varex Imaging Corp. * (a) | 354,880 | ||||||||
62,893 | Varian Medical Systems, Inc. * | 10,922,627 | ||||||||
62,757 | Vectrus, Inc. * | 2,724,281 | ||||||||
140,300 | Vera Bradley, Inc. * | 739,381 | ||||||||
32,700 | Veritiv Corp. * | 568,326 | ||||||||
112,146 | Verso Corp. – Class A | 1,470,234 | ||||||||
92,701 | VF Corp. (a) | 6,095,091 | ||||||||
12,700 | Village Super Market, Inc. – Class A | 323,088 | ||||||||
2,300 | Vishay Precision Group, Inc. * | 57,293 | ||||||||
40,600 | Vista Outdoor, Inc. * | 788,046 | ||||||||
186,200 | Waddell & Reed Financial, Inc. –Class A (a) | 2,932,650 | ||||||||
74,800 | Walker & Dunlop, Inc. | 4,097,544 | ||||||||
51,725 | Waterstone Financial, Inc. | 801,220 | ||||||||
16,300 | Weis Markets, Inc. | 802,449 | ||||||||
183,053 | Wells Fargo & Co. | 4,420,730 | ||||||||
5,770 | West Bancorporation, Inc. | 101,552 | ||||||||
107,060 | Westmoreland Mining Holdings LLC (d) | 624,481 | ||||||||
16,600 | Westwood Holdings Group, Inc. | 188,908 | ||||||||
9,094 | Weyco Group, Inc. | 163,692 | ||||||||
154,500 | Willis Towers Watson Plc (c) | 31,754,385 | ||||||||
257,500 | World Fuel Services Corp. (c) | 6,798,000 | ||||||||
47,100 | Worthington Industries, Inc. (a) | 1,956,063 | ||||||||
290,300 | Wright Medical Group NV * (a) | 8,775,769 | ||||||||
439,200 | Xenia Hotels & Resorts, Inc. (REIT) | 3,944,016 | ||||||||
22,800 | Xerox Holdings Corp. | 430,008 | ||||||||
87,600 | Xperi Holding Corp. (a) | 1,097,628 | ||||||||
50,300 | Zumiez, Inc. * | 1,291,704 | ||||||||
|
| |||||||||
Total United States | 777,046,419 | |||||||||
|
| |||||||||
Vietnam — 0.0% | ||||||||||
580,610 | Kinh Bac City Development Share Holding Corp | 342,795 | ||||||||
77,980 | PetroVietnam Gas JSC | 248,560 | ||||||||
769,000 | PetroVietnam Technical Services Corp | 417,131 | ||||||||
53,480 | Pha Lai Thermal Power JSC | 54,172 | ||||||||
188,440 | Vinh Hoan Corp * | 309,074 | ||||||||
|
| |||||||||
Total Vietnam | 1,371,732 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $4,821,843,247) | 4,558,022,248 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
PREFERRED STOCKS (g) — 1.8% | ||||||||||
Brazil — 0.4% | ||||||||||
450,100 | Banco do Estado do Rio Grande do Sul SA – Class B | 1,077,907 | ||||||||
734,751 | Bradespar SA | 5,899,734 | ||||||||
220,800 | Cia de Saneamento do Parana | 213,203 | ||||||||
668,600 | Cia Paranaense de Energia – Class B | 7,539,675 | ||||||||
93,600 | Lojas Americanas SA | 551,332 | ||||||||
842,600 | Telefonica Brasil SA | 7,357,850 | ||||||||
|
| |||||||||
Total Brazil | 22,639,701 | |||||||||
|
| |||||||||
Colombia — 0.0% | ||||||||||
22,832 | Banco Davivienda SA | 176,870 | ||||||||
1,534,780 | Grupo Aval Acciones y Valores SA | 383,593 | ||||||||
|
| |||||||||
Total Colombia | 560,463 | |||||||||
|
| |||||||||
Germany — 0.2% | ||||||||||
14,456 | Draegerwerk AG & Co KGaA | 1,225,803 | ||||||||
68,016 | Henkel AG & Co KGaA | 6,953,863 | ||||||||
63,180 | Schaeffler AG | 423,638 | ||||||||
5,489 | Villeroy & Boch AG | 75,114 | ||||||||
|
| |||||||||
Total Germany | 8,678,418 | |||||||||
|
| |||||||||
Russia — 0.4% | ||||||||||
163,829 | Bashneft PJSC | 2,967,074 | ||||||||
93,450 | Nizhnekamskneftekhim PJSC | 100,958 | ||||||||
46,114,500 | Surgutneftegas PJSC | 23,115,020 | ||||||||
154 | Transneft PJSC | 286,450 | ||||||||
|
| |||||||||
Total Russia | 26,469,502 | |||||||||
|
| |||||||||
South Korea — 0.8% | ||||||||||
12,112 | Hyundai Motor Co Ltd Prf | 881,335 | ||||||||
13,549 | Hyundai Motor Co Ltd-2nd Prf | 1,003,470 | ||||||||
54,433 | LG Electronics Inc | 1,481,486 | ||||||||
1,042,280 | Samsung Electronics Co Ltd | 41,635,442 | ||||||||
4,541 | Samsung Electronics Co Ltd GDR (Registered) | 4,672,201 | ||||||||
|
| |||||||||
Total South Korea | 49,673,934 | |||||||||
|
| |||||||||
Taiwan — 0.0% | ||||||||||
216,277 | CTBC Financial Holding Co Ltd | 481,843 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $113,431,861) | 108,503,861 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.0% | ||||||||||
Italy — 0.0% | ||||||||||
14,403 | Ascopiave SPA, Expires 09/30/20 * | — | ||||||||
|
|
See accompanying notes to the financial statements. | 61 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares / Par Value† | Description | Value ($) | ||||||||
United States — 0.0% | ||||||||||
295,400 | Bristol-Myers Squibb Co., Expires 03/31/21 * | 791,672 | ||||||||
222,285 | Contra Clementia Pharma CVR * (e) | 300,085 | ||||||||
2,616,810 | Media General, Inc. CVR * (e) | 130,841 | ||||||||
|
| |||||||||
Total United States | 1,222,598 | |||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $929,287) | 1,222,598 | |||||||||
|
| |||||||||
INVESTMENT FUNDS — 1.0% | ||||||||||
United States — 1.0% | ||||||||||
1,245,176 | Altaba, Inc. (e) | 27,767,425 | ||||||||
558,306 | iShares Core MSCI Emerging Markets ETF | 29,757,709 | ||||||||
|
| |||||||||
Total United States | 57,525,134 | |||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $55,167,197) | 57,525,134 | |||||||||
|
| |||||||||
DEBT OBLIGATIONS — 19.5% | ||||||||||
Brazil — 0.1% | ||||||||||
Corporate Debt — 0.1% | ||||||||||
8,070,000 | Oi SA, 10.00%, due 07/27/25 | 7,656,413 | ||||||||
|
| |||||||||
Israel — 0.1% | ||||||||||
Corporate Debt — 0.1% | ||||||||||
5,996,000 | Teva Pharmaceutical Finance Co. LLC, 6.15%, due 02/01/36 | 6,235,840 | ||||||||
570,000 | Teva Pharmaceutical Finance Co BV, 3.65%, due 11/10/21 | 567,150 | ||||||||
|
| |||||||||
Total Israel | 6,802,990 | |||||||||
|
| |||||||||
Jamaica — 0.2% | ||||||||||
Bank Loans — 0.1% | ||||||||||
5,510,213 | Digicel International Finance Ltd, 2017 Term Loan B, Variable Rate, 3 mo. LIBOR plus 3.25%, 4.25%, due 05/28/24 (e) | 4,793,885 | ||||||||
|
| |||||||||
Corporate Debt — 0.1% | ||||||||||
975,817 | Digicel Group 0.5 Ltd., 10.00%, due 04/01/24 | 737,657 | ||||||||
1,954,000 | Digicel International Finance Ltd / Digicel Holdings Bermuda Ltd, Reg S, 8.75%, due 05/25/24 | 1,968,655 | ||||||||
2,530,000 | Digicel International Finance Ltd / Digicel Holdings Bermuda Ltd, 144A, 8.75%, due 05/25/24 | 2,548,975 | ||||||||
2,330,000 | Digicel Ltd., Reg S, 6.75%, due 03/01/23 | 1,561,100 | ||||||||
|
| |||||||||
Total Corporate Debt | 6,816,387 | |||||||||
|
| |||||||||
Total Jamaica | 11,610,272 | |||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
Netherlands — 0.2% | ||||||||||
Corporate Debt — 0.2% | ||||||||||
EUR | 14,742,000 | Hema Bondco I BV, Reg S, Variable Rate, 6.25%, due 07/15/22 | 11,971,607 | |||||||
|
| |||||||||
Puerto Rico — 0.2% | ||||||||||
Municipal Obligations — 0.2% | ||||||||||
1,500,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), Series A, 6.05%, due 07/01/28 | 1,301,250 | ||||||||
3,320,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), Series A, 6.10%, due 07/01/34 | 2,813,700 | ||||||||
524,834 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien) – Class A, 6.00%, due 07/01/44 | 532,050 | ||||||||
6,320,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien) – Class B, 5.35%, due 07/01/27 | 6,083,000 | ||||||||
1,518,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, Class B, 6.05%, due 07/01/28 | 1,316,865 | ||||||||
|
| |||||||||
Total Puerto Rico | 12,046,865 | |||||||||
|
| |||||||||
United States — 18.7% | ||||||||||
Asset-Backed Securities — 0.5% | ||||||||||
570,000 | Alaska Airlines Pass-Through Trust, Reg. S, 144A, 4.80%, due 02/15/29 | 595,512 | ||||||||
2,288,000 | Alaska Airlines Pass-Through Trust –Class A, 144A, 4.80%, due 02/15/29 | 2,390,407 | ||||||||
1,720,000 | Alaska Airlines Pass-Through Trust –Class B, 144A, 8.00%, due 02/15/27 | 1,785,627 | ||||||||
129,320 | AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.21%, due 07/24/29 | 129,367 | ||||||||
379,702 | Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.99%, due 07/26/31 | 379,675 | ||||||||
351,138 | Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 1.34%, due 04/25/26 | 350,881 | ||||||||
173,978 | Babson CLO Ltd., Series 14-IA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 1.42%, due 07/20/25 | 173,937 | ||||||||
119,200 | Barings CLO Ltd., Series 18-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.88%, due 04/15/30 | 119,200 | ||||||||
1,048,819 | Bayview Commercial Asset Trust, Series 07-5A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.18%, due 10/25/37 | 1,044,390 | ||||||||
300,517 | Bayview Commercial Mortgage Pass-Through Trust, Series 06-SP1, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.86%, 1.03%, due 04/25/36 | 300,443 |
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, 2020 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
United States — continued | ||||||||||
Asset-Backed Securities — continued | ||||||||||
8,058,000 | Bear Stearns Commercial Mortgage Securities Trust, Series 06-T22, Class F, 144A, Variable Rate, 6.10%, due 04/12/38 | 8,071,198 | ||||||||
513,411 | Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 0.98%, due 07/15/31 | 513,410 | ||||||||
113,164 | Catamaran CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.86%, due 04/22/30 | 113,158 | ||||||||
7,063,382 | Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35 | 7 | ||||||||
65,362 | CVP Cascade CLO-1 Ltd., Series 13-CLO1, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 1.42%, due 01/16/26 | 65,316 | ||||||||
1,134,300 | Delta Air Lines Pass-Through Trust, Series 19-1, Class AA, 3.20%, due 10/25/25 | 1,128,160 | ||||||||
431,802 | Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.88%, due 05/16/31 | 429,598 | ||||||||
1,574,500 | JetBlue Pass-Through Trust, Series 20-1, Class B, 7.75%, due 05/15/30 | 1,630,160 | ||||||||
286,300 | JetBlue Pass-Through Trust – Class A, 4.00%, due 11/15/32 | 294,175 | ||||||||
1,220,798 | KeyCorp Student Loan Trust, Series 00-B, Class A2, Variable Rate, 3 mo. LIBOR + 0.31%, 0.55%, due 07/25/29 | 1,203,540 | ||||||||
466,762 | LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.87%, due 04/20/31 | 464,856 | ||||||||
241,218 | LCM XXV Ltd., Series 25A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.22%, due 07/20/30 | 240,805 | ||||||||
1,607,289 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 0.45%, due 06/25/37 | 1,574,277 | ||||||||
822,480 | Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.87%, due 04/19/30 | 819,452 | ||||||||
400,000 | Morgan Stanley Capital I Trust, Series 14-CPT, Class B, 144A, Variable Rate, 3.56%, due 07/13/29 | 406,261 | ||||||||
550,000 | Morgan Stanley Capital I Trust, Series 14-MP, Class A, 144A, 3.47%, due 08/11/33 | 560,014 | ||||||||
339,492 | Mountain View CLO LLC, Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 0.92%, due 01/16/31 | 338,438 | ||||||||
369,953 | Silvermore CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 1.45%, due 05/15/26 | 368,920 |
Par Value† | Description | Value ($) | ||||||||
United States — continued | ||||||||||
Asset-Backed Securities — continued | ||||||||||
953,600 | Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 1.02%, due 04/17/28 | 953,459 | ||||||||
784,699 | Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 1.02%, due 01/17/30 | 779,496 | ||||||||
620,835 | Velocity Commercial Capital Loan Trust, Series 17-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 1.43%, due 05/25/47 | 617,575 | ||||||||
218,069 | Velocity Commercial Capital Loan Trust, Series 17-1, Class AFX, 144A, Variable Rate, 3.00%, due 05/25/47 | 217,505 | ||||||||
|
| |||||||||
Total Asset-Backed Securities | 28,059,219 | |||||||||
|
| |||||||||
Bank Loans — 0.8% | ||||||||||
5,465,113 | BI-LO Holding LLC, Exit Term Loan B, Variable Rate, 3 mo. LIBOR plus 8.00%, 9.00%, due 05/31/24 (e) | 5,465,113 | ||||||||
654,179 | Envision Healthcare Corp., 2018 1st Lien Term Loan, Variable Rate, 3.75%, due 10/10/25 (e) | 473,737 | ||||||||
6,118,551 | Flexential Intermediate Corp., 2017 1st Lien Term Loan, Variable Rate, 3 mo. LIBOR plus 3.50%, 3.81%, due 08/01/24 (e) | 5,124,286 | ||||||||
3,854,568 | Murray Energy Corp., DIP Term Loan, Variable Rate, 3 mo. LIBOR plus 11.00%, 13.00%, due 07/31/21 (e) | 3,083,654 | ||||||||
7,435,313 | Murray Energy Corp., 2018 Term Loan B2, Zero Coupon, due 10/17/22 (e) | 74,353 | ||||||||
4,148,833 | Owens & Minor Distribution, Inc., Term Loan B, Variable Rate, 3 mo. LIBOR plus 4.50%, 4.66%, due 04/30/25 (e) | 3,951,763 | ||||||||
1,398,103 | Pacific Gas & Electric Co., Revolver, Variable Rate, 1.50%, due 04/27/22 (e) | 1,516,942 | ||||||||
6,318,314 | Quorum Health Corporation, 2020 Term Loan, 3 mo. LIBOR plus 8.25%, 9.25%, due 04/29/25 (e) | 5,876,032 | ||||||||
10,125,742 | SeaWorld Parks & Entertainment, Inc., Term Loan B5, Variable Rate, 3 mo. LIBOR plus 3.00%, 3.75%, due 03/31/24 (e) | 9,429,597 | ||||||||
284,187 | SkillSoft Corp., 2020 DIP Term Loan, 3 mo. LIBOR plus 7.50%, 8.50%, due 12/27/24 (e) | 284,187 | ||||||||
1,953,492 | SkillSoft Corp., 2020 Take Back 2nd Out Term Loan, 3 mo. LIBOR plus 7.50%, 8.50%, due 04/27/25 (e) | 1,953,492 | ||||||||
2,079,309 | Surgery Center Holdings, Inc., 2017 Term Loan B, Variable Rate, 3 mo. LIBOR plus 3.25%, 4.25%, due 09/03/24 (e) | 1,958,460 |
See accompanying notes to the financial statements. | 63 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
United States — continued | ||||||||||
Bank Loans — continued | ||||||||||
2,780,000 | VICI Properties 1 LLC, Replacement Term Loan B1, Variable Rate, 1 mo. LIBOR plus 1.75%, 1.93%, due 12/20/24 (e) | 2,674,582 | ||||||||
9,788,541 | Westmoreland Coal Co., PIK Term Loan, Variable Rate, 3 mo. LIBOR plus 12.50%, due 03/15/29 (e) | 5,873,125 | ||||||||
2,369,230 | WP CPP Holdings LLC, 2018 Term Loan, Variable Rate, 3 mo. LIBOR plus 3.75%, 4.50%, due 04/30/25 (e) | 2,025,692 | ||||||||
|
| |||||||||
Total Bank Loans | 49,765,015 | |||||||||
|
| |||||||||
Convertible Debt — 0.2% | ||||||||||
1,140,000 | Bloomin’ Brands, Inc., 144A, 5.00%, due 05/01/25 | 1,670,527 | ||||||||
5,140,000 | Guess?, Inc., 2.00%, due 04/15/24 | 3,848,765 | ||||||||
745,300 | Live Nation Entertainment, Inc., 144A, 2.00%, due 02/15/25 | 667,044 | ||||||||
385,000 | Prospect Capital Corp., 6.38%, due 03/01/25 | 385,000 | ||||||||
570,000 | Sabre GLBL, Inc., 144A, 4.00%, due 04/15/25 | 692,562 | ||||||||
4,290,000 | Twitter, Inc., 0.25%, due 06/15/24 | 4,623,327 | ||||||||
|
| |||||||||
Total Convertible Debt | 11,887,225 | |||||||||
|
| |||||||||
Corporate Debt — 2.4% | ||||||||||
1,257,000 | Ahern Rentals, Inc., 144A, 7.38%, due 05/15/23 | 521,655 | ||||||||
4,680,000 | American Airlines Group, Inc., 144A, 3.75%, due 03/01/25 | 2,234,700 | ||||||||
3,420,000 | Antero Midstream Partners LP / Antero Midstream Finance Corp., 5.38%, due 09/15/24 | 3,154,950 | ||||||||
1,140,000 | Antero Midstream Partners LP / Antero Midstream Finance Corp., 144A, 5.75%, due 01/15/28 | 1,007,703 | ||||||||
715,000 | Boeing Co. (The), 5.15%, due 05/01/30 | 800,561 | ||||||||
1,562,900 | Boeing Co. (The), 8.75%, due 09/15/31 | 2,234,294 | ||||||||
748,600 | Boeing Co. (The), 8.63%, due 11/15/31 | 1,064,190 | ||||||||
1,142,000 | Boeing Co. (The), 3.50%, due 03/01/39 | 1,025,365 | ||||||||
1,430,000 | Boeing Co. (The), 5.71%, due 05/01/40 | 1,657,986 | ||||||||
572,000 | Boeing Co. (The), 3.63%, due 03/01/48 | 498,335 | ||||||||
1,989,000 | Boeing Co. (The), 3.75%, due 02/01/50 | 1,779,132 | ||||||||
1,140,000 | Boeing Co. (The), 5.81%, due 05/01/50 | 1,361,855 | ||||||||
2,280,000 | Bruin E&P Partners LLC, 144A, 8.88%, due 08/01/23 (h) | 4,469 | ||||||||
850,000 | Cumulus Media New Holdings, Inc., 144A, 6.75%, due 07/01/26 | 765,000 | ||||||||
1,140,000 | EnLink Midstream Partners LP, 5.60%, due 04/01/44 | 752,400 | ||||||||
2,118,000 | EnLink Midstream Partners LP, 5.05%, due 04/01/45 | 1,376,700 | ||||||||
1,720,000 | EPR Properties, REIT, 5.25%, due 07/15/23 | 1,725,909 |
Par Value† | Description | Value ($) | ||||||||
United States — continued | ||||||||||
Corporate Debt — continued | ||||||||||
3,121,000 | EPR Properties, 4.50%, due 04/01/25 | 3,015,874 | ||||||||
1,895,400 | EPR Properties, 4.75%, due 12/15/26 | 1,827,246 | ||||||||
1,147,000 | EPR Properties, REIT, 4.50%, due 06/01/27 | 1,075,610 | ||||||||
2,287,000 | EPR Properties, 4.95%, due 04/15/28 | 2,216,148 | ||||||||
2,850,000 | EPR Properties, 3.75%, due 08/15/29 | 2,517,706 | ||||||||
290,000 | Ferrellgas LP / Ferrellgas Finance Corp., 144A, 10.00%, due 04/15/25 | 315,375 | ||||||||
1,740,000 | Ford Motor Credit Co. LLC, 5.58%, due 03/18/24 | 1,855,101 | ||||||||
1,140,000 | Ford Motor Credit Co. LLC, 4.13%, due 08/04/25 | 1,145,905 | ||||||||
2,280,000 | Ford Motor Credit Co. LLC, 4.39%, due 01/08/26 | 2,319,490 | ||||||||
290,000 | Ford Motor Credit Co. LLC, 4.27%, due 01/09/27 | 292,175 | ||||||||
12,280,000 | Ford Motor Credit Co. LLC, 5.11%, due 05/03/29 | 12,970,750 | ||||||||
1,140,000 | Frontier Communications Corp., 10.50%, due 09/15/22 (h) | 504,450 | ||||||||
1,791,000 | Frontier Communications Corp., 7.13%, due 01/15/23 (h) | 734,310 | ||||||||
1,894,000 | Frontier Communications Corp., 11.00%, due 09/15/25 (h) | 809,685 | ||||||||
9,823,000 | Frontier Communications Corp., 144A, 8.50%, due 04/01/26 | 9,945,787 | ||||||||
5,977,000 | FS KKR Capital Corp., 4.13%, due 02/01/25 | 5,934,459 | ||||||||
9,443,000 | FS KKR Capital Corp. II, 144A, 4.25%, due 02/14/25 | 8,966,351 | ||||||||
1,160,000 | Goldman Sachs Group, Inc. (The), Variable Rate, 5 year CMT + 3.22%, 4.95%, due 12/31/99 | 1,200,160 | ||||||||
1,400,000 | Gulfport Energy Corp., 6.38%, due 01/15/26 | 819,000 | ||||||||
1,316,000 | Installed Building Products, Inc., 144A, 5.75%, due 02/01/28 | 1,388,380 | ||||||||
3,134,100 | JPMorgan Chase & Co., Variable Rate, SOFR + 2.75%, 4.00%, due 12/31/99 | 2,973,477 | ||||||||
2,224,000 | Live Nation Entertainment, Inc., 144A, 4.88%, due 11/01/24 | 2,185,302 | ||||||||
2,485,000 | Live Nation Entertainment, Inc., 144A, 5.63%, due 03/15/26 | 2,447,725 | ||||||||
6,813,000 | Marriott Ownership Resorts, Inc., 4.75%, due 01/15/28 | 6,424,455 | ||||||||
1,144,000 | Marriott Ownership Resorts, Inc. / ILG LLC, 6.50%, due 09/15/26 | 1,188,330 | ||||||||
14,661,000 | Murray Energy Corp., 144A, 11.25%, due 04/15/21 (h) | 147 | ||||||||
1,640,000 | NGL Energy Partners LP / NGL Energy Finance Corp., 7.50%, due 04/15/26 | 1,090,600 | ||||||||
2,200,000 | OneMain Finance Corp., 6.63%, due 01/15/28 | 2,511,322 |
64 | 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, 2020 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
United States — continued | ||||||||||
Corporate Debt — continued | ||||||||||
1,572,000 | Outfront Media Capital LLC / Outfront Media Capital Corp., 144A, 4.63%, due 03/15/30 | 1,520,910 | ||||||||
1,854,000 | Owens & Minor, Inc., 4.38%, due 12/15/24 | 1,816,920 | ||||||||
1,550,000 | Pacific Gas and Electric Co., 3.45%, due 07/01/25 | 1,625,858 | ||||||||
1,550,000 | Pacific Gas and Electric Co., 3.75%, due 07/01/28 | 1,616,608 | ||||||||
2,967,000 | SeaWorld Parks & Entertainment, Inc., 144A, 8.75%, due 05/01/25 | 3,130,185 | ||||||||
2,860,000 | Six Flags Entertainment Corp., 144A, 4.88%, due 07/31/24 | 2,773,342 | ||||||||
1,710,000 | Tenet Healthcare Corp., 4.63%, due 07/15/24 | 1,749,330 | ||||||||
2,786,000 | TransDigm, Inc., 144A, 6.25%, due 03/15/26 | 2,939,815 | ||||||||
1,140,000 | Uber Technologies, Inc., 144A, 7.50%, due 11/01/23 | 1,182,750 | ||||||||
1,700,000 | Uber Technologies, Inc., 144A, 8.00%, due 11/01/26 | 1,801,303 | ||||||||
4,560,000 | Uniti Group LP / Uniti Fiber Holdings, Inc. / CSL Capital LLC, 144A, 7.13%, due 12/15/24 | 4,383,391 | ||||||||
9,861,000 | Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, 144A, REIT, 6.00%, due 04/15/23 | 9,962,075 | ||||||||
1,450,000 | Western Midstream Operating LP, 5.38%, due 06/01/21 | 1,464,500 | ||||||||
2,860,000 | Wyndham Destinations, Inc., 6.35%, due 10/01/25 | 3,003,000 | ||||||||
2,780,000 | Wyndham Destinations, Inc., 144A, 6.63%, due 07/31/26 | 2,939,850 | ||||||||
1,287,000 | Wyndham Destinations, Inc., 5.75%, due 04/01/27 | 1,319,175 | ||||||||
909,000 | Wyndham Destinations, Inc., 144A, 4.63%, due 03/01/30 | 854,460 | ||||||||
|
| |||||||||
Total Corporate Debt | 144,723,996 | |||||||||
|
| |||||||||
U.S. Government — 14.7% | ||||||||||
7,500,000 | U.S. Treasury Note, 1.38%, due 05/31/21 (c) | 7,568,555 | ||||||||
55,000,000 | U.S. Treasury Note, 1.75%, due 07/31/21 (i) | 55,782,031 | ||||||||
50,000,000 | U.S. Treasury Note, 1.13%, due 09/30/21 (c) | 50,515,625 | ||||||||
10,000,000 | U.S. Treasury Note, 1.50%, due 11/30/21 (c) | 10,166,406 | ||||||||
95,000,000 | U.S. Treasury Note, 1.63%, due 12/31/21 (c) | 96,859,179 | ||||||||
108,000,000 | U.S. Treasury Note, 1.38%, due 01/31/22 (c) | 109,864,687 | ||||||||
29,000,000 | U.S. Treasury Note, 1.13%, due 02/28/22 (c) | 29,422,539 |
Par Value† / Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
U.S. Government — continued | ||||||||||
316,185,000 | U.S. Treasury Note, 1.75%, due 02/28/22 (c) | 323,768,501 | ||||||||
30,000,000 | U.S. Treasury Note, 1.75%, due 03/31/22 | 30,758,203 | ||||||||
90,000,000 | U.S. Treasury Note, 1.88%, due 04/30/22 | 92,583,985 | ||||||||
70,000,000 | U.S. Treasury Note, 1.88%, due 05/31/22 | 72,113,972 | ||||||||
|
| |||||||||
Total U.S. Government | 879,403,683 | |||||||||
|
| |||||||||
U.S. Government Agency — 0.1% | ||||||||||
6,000,000 | Federal Home Loan Banks, Variable Rate, SOFR + 0.13%, 0.20%, due 10/16/20 | 6,000,770 | ||||||||
|
| |||||||||
Total United States | 1,119,839,908 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $1,178,603,504) | 1,169,928,055 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 0.5% | ||||||||||
United States — 0.5% | ||||||||||
Affiliated Issuers — 0.5% |
| |||||||||
6,383,580 | GMO U.S. Treasury Fund (j) | 32,173,243 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $32,173,243) | 32,173,243 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 3.3% | ||||||||||
Foreign Government Obligations — 1.9% | ||||||||||
JPY | 2,600,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 09/14/20 | 24,548,872 | |||||||
JPY | 5,500,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 11/09/20 | 51,939,091 | |||||||
JPY | 1,700,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 11/16/20 | 16,054,400 | |||||||
JPY | 2,400,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 12/10/20 | 22,667,395 | |||||||
|
| |||||||||
Total Foreign Government Obligations | 115,209,758 | |||||||||
|
| |||||||||
Money Market Funds — 0.5% | ||||||||||
26,291,122 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (k) | 26,291,122 | ||||||||
1,580,150 | State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.00% (i) (l) | 1,580,150 | ||||||||
|
| |||||||||
Total Money Market Funds | 27,871,272 | |||||||||
|
| |||||||||
U.S. Government — 0.9% | ||||||||||
47,100,000 | U.S. Treasury Bill, 0.05%, due 09/08/20 (c) (i) (m) | 47,099,175 |
See accompanying notes to the financial statements. | 65 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Par Value† / Shares | Description | Value ($) | ||||||||
U.S. Government — continued | ||||||||||
6,500,000 | U.S. Treasury Bill, 0.05%, due 01/21/21 (i) (m) | 6,497,276 | ||||||||
|
| |||||||||
Total U.S. Government | 53,596,451 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $196,064,518) | 196,677,481 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 101.9% (Cost $6,398,212,857) | 6,124,052,620 | |||||||||
|
| |||||||||
SECURITIES SOLD SHORT — (5.0)% | ||||||||||
Common Stocks — (4.9)% | ||||||||||
Austria — (0.1)% | ||||||||||
(3,196 | ) | ANDRITZ AG | (106,902 | ) | ||||||
(30,724 | ) | IMMOFINANZ AG * | (508,044 | ) | ||||||
(14,664 | ) | OMV AG * | (474,681 | ) | ||||||
(7,332 | ) | Schoeller-Bleckmann Oilfield Equipment AG | (218,775 | ) | ||||||
(5,184 | ) | Verbund AG | (278,325 | ) | ||||||
(142,912 | ) | voestalpine AG | (3,551,240 | ) | ||||||
|
| |||||||||
Total Austria | (5,137,967 | ) | ||||||||
|
| |||||||||
Brazil — (0.1)% | ||||||||||
(200,700 | ) | Pagseguro Digital Ltd – Class A * | (8,457,498 | ) | ||||||
|
| |||||||||
Canada — (0.1)% | ||||||||||
(266,400 | ) | AltaGas Ltd | (3,445,523 | ) | ||||||
(57,500 | ) | Westshore Terminals Investment Corp | (729,137 | ) | ||||||
|
| |||||||||
Total Canada | (4,174,660 | ) | ||||||||
|
| |||||||||
Denmark — (0.2)% | ||||||||||
(1,267 | ) | AP Moller – Maersk A/S – Class A | (1,799,618 | ) | ||||||
(1,859 | ) | AP Moller – Maersk A/S – Class B | (2,848,473 | ) | ||||||
(35,421 | ) | Chr Hansen Holding A/S | (4,065,536 | ) | ||||||
(26,641 | ) | Jyske Bank A/S (Registered) * | (793,738 | ) | ||||||
(5,032 | ) | Tryg A/S | (154,415 | ) | ||||||
|
| |||||||||
Total Denmark | (9,661,780 | ) | ||||||||
|
| |||||||||
Finland — (0.0)% | ||||||||||
(46,356 | ) | Nokian Renkaat Oyj | (1,292,701 | ) | ||||||
|
| |||||||||
France — (0.4)% | ||||||||||
(21,959 | ) | CGG SA * | (19,864 | ) | ||||||
(510,803 | ) | Peugeot SA * | (8,806,549 | ) | ||||||
(178,758 | ) | Worldline SA * | (16,453,634 | ) | ||||||
|
| |||||||||
Total France | (25,280,047 | ) | ||||||||
|
| |||||||||
Germany — (0.1)% | ||||||||||
(876,157 | ) | Deutsche Bank AG (Registered) * | (8,401,031 | ) | ||||||
(58,788 | ) | thyssenkrupp AG * | (423,433 | ) | ||||||
|
| |||||||||
Total Germany | (8,824,464 | ) | ||||||||
|
|
Shares | Description | Value ($) | ||||||||
Israel — (0.1)% | ||||||||||
(11,500 | ) | Wix.com Ltd * | (3,388,245 | ) | ||||||
|
| |||||||||
Japan — (0.3)% | ||||||||||
(31,900 | ) | Coca-Cola Bottlers Japan Holdings Inc | (530,989 | ) | ||||||
(213 | ) | Daiwa House REIT Investment Corp | (556,512 | ) | ||||||
(88,500 | ) | Japan Lifeline Co Ltd | (1,177,944 | ) | ||||||
(83 | ) | Japan Real Estate Investment Corp | (464,791 | ) | ||||||
(199 | ) | Japan Retail Fund Investment Corp (REIT) | (299,497 | ) | ||||||
(225,800 | ) | JGC Holding Corp | (2,487,947 | ) | ||||||
(28,700 | ) | Keikyu Corp | (428,350 | ) | ||||||
(35,000 | ) | Kyushu Electric Power Co Inc | (310,368 | ) | ||||||
(7,300 | ) | Maruichi Steel Tube Ltd | (195,714 | ) | ||||||
(21,300 | ) | Mitsubishi Materials Corp | (446,816 | ) | ||||||
(218,000 | ) | Mitsui OSK Lines Ltd | (4,027,881 | ) | ||||||
(122 | ) | Nippon Building Fund Inc (REIT) | (734,637 | ) | ||||||
(237,200 | ) | Nippon Yusen KK | (3,704,600 | ) | ||||||
(247 | ) | Nomura Real Estate Master Fund Inc (REIT) | (316,595 | ) | ||||||
(629,500 | ) | Orient Corp | (694,811 | ) | ||||||
(136 | ) | Orix JREIT Inc (REIT) | (202,047 | ) | ||||||
(4,000 | ) | PeptiDream Inc * | (162,400 | ) | ||||||
(37,800 | ) | Yamato Holdings Co Ltd | (988,693 | ) | ||||||
(4,800 | ) | Yaskawa Electric Corp | (172,369 | ) | ||||||
|
| |||||||||
Total Japan | (17,902,961 | ) | ||||||||
|
| |||||||||
Netherlands — (0.1)% | ||||||||||
(38,784 | ) | Just Eat Takeaway.com NV * | (4,315,801 | ) | ||||||
|
| |||||||||
New Zealand — (0.0)% | ||||||||||
(4,075 | ) | Fletcher Building Ltd * | (9,829 | ) | ||||||
|
| |||||||||
Singapore — (0.0)% | ||||||||||
(241,500 | ) | Singapore Post Ltd | (124,080 | ) | ||||||
|
| |||||||||
Spain — (0.0)% | ||||||||||
(19,102 | ) | Cellnex Telecom SA | (1,227,191 | ) | ||||||
|
| |||||||||
Sweden — (0.0)% | ||||||||||
(97,585 | ) | Lundin Energy AB | (2,388,454 | ) | ||||||
(34,297 | ) | Tele2 AB – B Shares | (486,817 | ) | ||||||
|
| |||||||||
Total Sweden | (2,875,271 | ) | ||||||||
|
| |||||||||
United Kingdom — (0.6)% | ||||||||||
(14,504 | ) | Dechra Pharmaceuticals Plc | (605,653 | ) | ||||||
(882,526 | ) | G4S Plc | (1,701,161 | ) | ||||||
(1,670,888 | ) | Melrose Industries Plc | (2,229,414 | ) | ||||||
(98,641 | ) | Rolls-Royce Holdings Plc | (311,477 | ) | ||||||
(1,020,559 | ) | Royal Dutch Shell Plc – Class A Sponsored ADR | (30,290,191 | ) | ||||||
(85,020 | ) | Weir Group Plc (The) | (1,450,724 | ) | ||||||
|
| |||||||||
Total United Kingdom | (36,588,620 | ) | ||||||||
|
|
66 | 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, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — (2.8)% | ||||||||||
(57 | ) | AbbVie, Inc. | (5,459 | ) | ||||||
(128,400 | ) | American Airlines Group, Inc. | (1,675,620 | ) | ||||||
(118,065 | ) | Analog Devices, Inc. | (13,799,437 | ) | ||||||
(166,777 | ) | Aon Plc – Class A | (33,353,732 | ) | ||||||
(391,650 | ) | Charles Schwab Corp. (The) | (13,915,325 | ) | ||||||
(43,867 | ) | Charter Communications, Inc. –Class A * | (27,004,964 | ) | ||||||
(27,278 | ) | Digital Realty Trust, Inc. (REIT) | (4,245,821 | ) | ||||||
(995,453 | ) | Discovery, Inc. – Class A * | (21,964,670 | ) | ||||||
(4 | ) | Fidelity National Financial, Inc. | (131 | ) | ||||||
(207 | ) | First Horizon National Corp. | (1,977 | ) | ||||||
(27,306 | ) | HEICO Corp. | (3,001,476 | ) | ||||||
(133,190 | ) | Liberty Broadband Corp. – Class C * | (18,658,587 | ) | ||||||
(36,551 | ) | Liberty Global Plc – Class C * | (841,039 | ) | ||||||
(3,852,566 | ) | Sirius XM Holdings, Inc. | (22,614,562 | ) | ||||||
(28,589 | ) | Teladoc Health, Inc. * | (6,166,361 | ) | ||||||
|
| |||||||||
Total United States | (167,249,161 | ) | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (PROCEEDS $276,343,094) | (296,510,276 | ) | ||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — (0.1)% | ||||||||||
Corporate Debt — (0.1)% | ||||||||||
(5,090,000 | ) | U.S. Concrete, Inc., 6.38%, due 06/01/24 | (5,277,930 | ) | ||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (PROCEEDS $4,710,577) | (5,277,930 | ) | ||||||||
|
| |||||||||
TOTAL SECURITIES SOLD SHORT (PROCEEDS $281,053,671) | (301,788,206 | ) | ||||||||
Other Assets and Liabilities (net) — 3.1% | 186,448,767 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $6,008,713,181 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2020 is as follows:
Forward Currency Contracts
Settlement Date | Counter- | Currency Sold | Currency Purchased | Net Unrealized Appre- ciation (Depre- ciation) ($) | ||||||||||||||||
09/14/2020 | BCLY | AUD | 3,963,342 | USD | 2,852,532 | (70,763 | ) | |||||||||||||
09/14/2020 | GS | AUD | 7,760,397 | USD | 5,527,327 | (196,611 | ) | |||||||||||||
09/14/2020 | JPM | AUD | 38,409,851 | USD | 26,701,626 | (1,628,835 | ) | |||||||||||||
09/21/2020 | CITI | AUD | 84,424,100 | USD | 58,960,947 | (3,310,392 | ) | |||||||||||||
10/06/2020 | JPM | AUD | 43,070,000 | USD | 31,121,496 | (648,513 | ) | |||||||||||||
10/06/2020 | MSCI | AUD | 71,120,050 | USD | 50,661,799 | (1,798,954 | ) | |||||||||||||
10/19/2020 | MSCI | AUD | 84,424,100 | USD | 60,425,081 | (1,850,996 | ) | |||||||||||||
11/04/2020 | MSCI | BRL | 17,193,810 | USD | 3,345,685 | 213,245 | ||||||||||||||
09/03/2020 | JPM | CAD | 9,790,864 | USD | 7,230,000 | (276,366 | ) | |||||||||||||
09/03/2020 | MSCI | CAD | 17,751,466 | USD | 13,050,000 | (559,524 | ) | |||||||||||||
09/14/2020 | GS | CHF | 4,613,433 | USD | 4,945,740 | (159,701 | ) | |||||||||||||
10/14/2020 | MSCI | CHF | 74,328,100 | USD | 81,493,855 | (834,577 | ) | |||||||||||||
09/01/2020 | DB | CLP | 452,093,400 | USD | 579,666 | (1,812 | ) | |||||||||||||
09/01/2020 | JPM | CLP | 13,498,122,200 | USD | 16,787,860 | (573,292 | ) | |||||||||||||
09/01/2020 | MSCI | CLP | 5,757,202,000 | USD | 7,336,913 | (67,944 | ) | |||||||||||||
11/02/2020 | JPM | CLP | 1,041,376,400 | USD | 1,330,662 | (9,176 | ) | |||||||||||||
11/03/2020 | JPM | COP | 41,361,745,300 | USD | 11,006,758 | (5,421 | ) | |||||||||||||
09/03/2020 | MSCI | EUR | 9,670,000 | USD | 10,949,748 | (590,183 | ) | |||||||||||||
09/16/2020 | MSCI | EUR | 7,274,592 | USD | 8,399,668 | (284,121 | ) | |||||||||||||
09/16/2020 | UBS | EUR | 7,538,589 | USD | 8,672,044 | (326,882 | ) | |||||||||||||
09/21/2020 | CITI | EUR | 108,831,533 | USD | 124,256,781 | (5,672,180 | ) | |||||||||||||
09/21/2020 | DB | EUR | 217,663,067 | USD | 248,730,117 | (11,127,808 | ) | |||||||||||||
10/19/2020 | DB | EUR | 105,844,900 | USD | 125,294,112 | (1,146,333 | ) | |||||||||||||
10/19/2020 | MSCI | EUR | 11,238,429 | USD | 12,884,510 | (540,718 | ) | |||||||||||||
10/19/2020 | SSB | EUR | 211,880,494 | USD | 250,778,648 | (2,330,042 | ) | |||||||||||||
09/15/2020 | MSCI | GBP | 5,207,544 | USD | 6,598,754 | (363,031 | ) |
Settlement Date | Counter- | Currency Sold | Currency Purchased | Net Unrealized Appre- ciation (Depre- ciation) ($) | ||||||||||||||||
09/21/2020 | CITI | GBP | 44,474,600 | USD | 55,870,233 | (3,589,215 | ) | |||||||||||||
09/21/2020 | DB | GBP | 44,474,600 | USD | 55,911,688 | (3,547,761 | ) | |||||||||||||
10/14/2020 | JPM | GBP | 23,707,300 | USD | 31,048,394 | (650,922 | ) | |||||||||||||
10/19/2020 | BCLY | GBP | 57,284,149 | USD | 75,081,324 | (1,515,477 | ) | |||||||||||||
10/19/2020 | MSCI | GBP | 54,828,250 | USD | 71,974,277 | (1,338,648 | ) | |||||||||||||
10/19/2020 | SSB | GBP | 65,161 | USD | 83,353 | (3,776 | ) | |||||||||||||
09/21/2020 | CITI | HKD | 356,692,600 | USD | 45,995,622 | (20,921 | ) | |||||||||||||
10/19/2020 | CITI | HKD | 356,692,600 | USD | 46,017,186 | 9,669 | ||||||||||||||
10/14/2020 | BOA | HUF | 569,325,120 | USD | 1,920,000 | 9,617 | ||||||||||||||
10/14/2020 | MSCI | HUF | 2,607,770,336 | USD | 8,318,777 | (431,655 | ) | |||||||||||||
10/26/2020 | BCLY | INR | 309,892,752 | USD | 4,112,274 | (90,844 | ) | |||||||||||||
09/09/2020 | BOA | JPY | 1,728,795,848 | USD | 16,120,000 | (203,609 | ) | |||||||||||||
09/09/2020 | JPM | JPY | 1,552,050,397 | USD | 14,510,000 | (144,746 | ) | |||||||||||||
09/09/2020 | MSCI | JPY | 1,166,660,023 | USD | 11,070,000 | 54,181 | ||||||||||||||
09/10/2020 | BCLY | JPY | 283,001,197 | USD | 2,639,059 | (33,130 | ) | |||||||||||||
09/10/2020 | SSB | JPY | 226,740,609 | USD | 2,136,428 | (4,531 | ) | |||||||||||||
09/14/2020 | DB | JPY | 2,600,000,000 | USD | 24,248,958 | (302,565 | ) | |||||||||||||
09/23/2020 | DB | JPY | 7,136,902,500 | USD | 67,439,333 | 37,208 | ||||||||||||||
09/23/2020 | MSCI | JPY | 20,309,545,500 | USD | 189,705,450 | (2,101,365 | ) | |||||||||||||
10/19/2020 | BOA | JPY | 2,486,715,600 | USD | 23,402,146 | (90,598 | ) | |||||||||||||
10/19/2020 | DB | JPY | 6,208,689,200 | USD | 58,482,210 | (173,126 | ) | |||||||||||||
10/19/2020 | MSCI | JPY | 19,566,317,800 | USD | 183,637,408 | (1,211,427 | ) | |||||||||||||
11/09/2020 | MSCI | JPY | 5,500,000,000 | USD | 52,115,787 | 142,810 | ||||||||||||||
11/16/2020 | DB | JPY | 1,700,000,000 | USD | 15,956,568 | (109,185 | ) | |||||||||||||
12/10/2020 | CITI | JPY | 2,400,000,000 | USD | 22,661,441 | (27,766 | ) | |||||||||||||
09/29/2020 | BCLY | KRW | 5,775,652,200 | USD | 4,830,000 | (33,242 | ) |
See accompanying notes to the financial statements. | 67 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
Forward Currency Contracts — continued
Settlement Date | Counter- | Currency Sold | Currency Purchased | Net Unrealized Appre- ciation (Depre- ciation) ($) | ||||||||||||||||
09/29/2020 | CITI | KRW | 2,178,449,000 | USD | 1,820,000 | (14,308 | ) | |||||||||||||
09/29/2020 | JPM | KRW | 2,636,706,800 | USD | 2,210,000 | (10,173 | ) | |||||||||||||
09/29/2020 | MSCI | KRW | 7,921,155,750 | USD | 6,650,000 | (19,810 | ) | |||||||||||||
09/04/2020 | JPM | NOK | 187,619,756 | USD | 20,841,226 | (636,518 | ) | |||||||||||||
10/20/2020 | JPM | NOK | 64,750,046 | USD | 7,350,000 | (64,260 | ) | |||||||||||||
09/14/2020 | BCLY | NZD | 20,018,392 | USD | 13,129,156 | (354,941 | ) | |||||||||||||
10/05/2020 | JPM | NZD | 15,150,000 | USD | 9,991,257 | (213,282 | ) | |||||||||||||
11/03/2020 | MSCI | PEN | 9,538,280 | USD | 2,714,443 | 23,383 | ||||||||||||||
09/01/2020 | BCLY | PHP | 62,533,750 | USD | 1,250,000 | (39,755 | ) | |||||||||||||
09/01/2020 | CITI | PHP | 39,780,450 | USD | 790,000 | (30,469 | ) | |||||||||||||
09/01/2020 | JPM | PHP | 82,900,170 | USD | 1,630,000 | (79,811 | ) | |||||||||||||
09/01/2020 | MSCI | PHP | 185,214,370 | USD | 3,819,089 | (945 | ) | |||||||||||||
10/01/2020 | MSCI | PHP | 120,984,985 | USD | 2,486,691 | (5,789 | ) | |||||||||||||
09/15/2020 | JPM | PLN | 43,834,234 | USD | 11,143,683 | (759,335 | ) | |||||||||||||
10/15/2020 | BCLY | RUB | 802,275,050 | USD | 11,181,581 | 426,219 | ||||||||||||||
10/05/2020 | BCLY | SEK | 47,596,640 | USD | 5,460,000 | (44,774 | ) | |||||||||||||
10/19/2020 | BCLY | SGD | 2,264,368 | USD | 1,660,000 | (4,355 | ) | |||||||||||||
10/19/2020 | MSCI | SGD | 2,270,316 | USD | 1,660,000 | (8,726 | ) | |||||||||||||
10/15/2020 | BCLY | THB | 223,626,202 | USD | 7,070,000 | (114,223 | ) | |||||||||||||
10/15/2020 | BOA | THB | 50,755,089 | USD | 1,610,000 | (20,560 | ) | |||||||||||||
09/17/2020 | JPM | TRY | 25,863,795 | USD | 3,453,110 | (54,574 | ) | |||||||||||||
10/06/2020 | BCLY | TWD | 97,651,720 | USD | 3,350,000 | 18,801 | ||||||||||||||
10/06/2020 | JPM | TWD | 56,328,980 | USD | 1,930,000 | 8,446 | ||||||||||||||
09/14/2020 | MSCI | USD | 3,070,608 | AUD | 4,294,068 | 96,625 | ||||||||||||||
09/14/2020 | SSB | USD | 4,358,310 | AUD | 6,076,561 | 123,659 | ||||||||||||||
09/14/2020 | UBS | USD | 6,572,836 | AUD | 9,422,245 | 376,854 | ||||||||||||||
09/21/2020 | BONY | USD | 12,739,053 | AUD | 17,780,600 | 375,943 | ||||||||||||||
11/04/2020 | MSCI | USD | 7,616,140 | BRL | 39,140,105 | (485,433 | ) | |||||||||||||
09/03/2020 | GS | USD | 5,810,000 | CAD | 7,764,242 | 142,615 | ||||||||||||||
09/03/2020 | JPM | USD | 64,850,000 | CAD | 86,746,710 | 1,656,138 | ||||||||||||||
09/03/2020 | MSCI | USD | 28,275,924 | CAD | 38,596,490 | 1,314,864 | ||||||||||||||
10/05/2020 | GS | USD | 1,579,660 | CAD | 2,104,880 | 34,239 | ||||||||||||||
10/05/2020 | SSB | USD | 18,774,978 | CAD | 25,140,305 | 501,145 | ||||||||||||||
11/12/2020 | GS | USD | 716,325 | CAD | 940,314 | 4,707 | ||||||||||||||
09/14/2020 | MSCI | USD | 11,388,431 | CHF | 10,705,844 | 459,154 | ||||||||||||||
10/14/2020 | JPM | USD | 7,940,000 | CHF | 7,203,133 | 38,445 | ||||||||||||||
09/01/2020 | DB | USD | 590,000 | CLP | 452,093,400 | (8,522 | ) | |||||||||||||
09/01/2020 | JPM | USD | 17,259,365 | CLP | 13,498,122,200 | 101,787 | ||||||||||||||
09/01/2020 | MSCI | USD | 7,434,873 | CLP | 5,757,202,000 | (30,016 | ) | |||||||||||||
10/19/2020 | BOA | USD | 3,120,000 | CZK | 68,741,041 | 3,755 | ||||||||||||||
09/03/2020 | DB | USD | 10,854,759 | EUR | 9,670,000 | 685,172 | ||||||||||||||
09/16/2020 | BCLY | USD | 3,854,990 | EUR | 3,399,717 | 203,303 | ||||||||||||||
09/16/2020 | GS | USD | 2,137,672 | EUR | 1,821,925 | 37,187 | ||||||||||||||
09/16/2020 | JPM | USD | 5,429,719 | EUR | 4,815,597 | 318,731 | ||||||||||||||
09/16/2020 | SSB | USD | 9,426,417 | EUR | 7,926,874 | 36,011 | ||||||||||||||
09/16/2020 | UBS | USD | 129,588,946 | EUR | 114,938,612 | 7,614,986 | ||||||||||||||
09/21/2020 | BONY | USD | 41,168,210 | EUR | 34,691,600 | 248,496 | ||||||||||||||
10/19/2020 | BONY | USD | 25,957,687 | EUR | 21,967,100 | 283,822 | ||||||||||||||
10/19/2020 | GS | USD | 443,470 | EUR | 376,304 | 6,057 | ||||||||||||||
10/19/2020 | MSCI | USD | 141,238 | EUR | 123,194 | 5,927 | ||||||||||||||
10/19/2020 | SSB | USD | 10,147,463 | EUR | 8,613,192 | 141,703 | ||||||||||||||
10/27/2020 | BOA | USD | 4,927,281 | EUR | 4,221,000 | 115,891 |
Settlement Date | Counter- | Currency Sold | Currency Purchased | Net Unrealized Appre- ciation (Depre- ciation) ($) | ||||||||||||||||
10/27/2020 | JPM | USD | 30,305,319 | EUR | 25,700,000 | 400,554 | ||||||||||||||
10/27/2020 | MSCI | USD | 11,023,846 | EUR | 9,230,000 | 3,983 | ||||||||||||||
09/15/2020 | GS | USD | 3,784,042 | GBP | 2,901,730 | 95,180 | ||||||||||||||
09/15/2020 | SSB | USD | 20,025,064 | GBP | 15,873,004 | 1,195,003 | ||||||||||||||
09/21/2020 | SSB | USD | 32,765,058 | GBP | 24,833,000 | 434,937 | ||||||||||||||
10/14/2020 | JPM | USD | 18,334,274 | GBP | 13,900,000 | 251,583 | ||||||||||||||
10/19/2020 | BCLY | USD | 82,335 | GBP | 65,161 | 4,794 | ||||||||||||||
10/19/2020 | SSB | USD | 14,518,391 | GBP | 11,104,700 | 330,123 | ||||||||||||||
09/21/2020 | BONY | USD | 17,492,737 | HKD | 135,572,300 | (2,695 | ) | |||||||||||||
10/14/2020 | BCLY | USD | 1,240,000 | HUF | 361,089,240 | (28,357 | ) | |||||||||||||
10/14/2020 | CITI | USD | 2,980,000 | HUF | 874,083,322 | (46,993 | ) | |||||||||||||
10/14/2020 | MSCI | USD | 1,010,000 | HUF | 295,131,696 | (19,679 | ) | |||||||||||||
09/21/2020 | JPM | USD | 4,361,415 | IDR | 64,623,083,400 | 64,317 | ||||||||||||||
09/21/2020 | MSCI | USD | 1,540,000 | IDR | 22,795,388,000 | 21,149 | ||||||||||||||
10/30/2020 | JPM | USD | 7,435,752 | ILS | 25,050,676 | 38,248 | ||||||||||||||
10/26/2020 | BCLY | USD | 2,070,000 | INR | 155,935,170 | 44,970 | ||||||||||||||
10/26/2020 | JPM | USD | 2,960,000 | INR | 222,405,520 | 56,517 | ||||||||||||||
09/09/2020 | GS | USD | 7,240,000 | JPY | 768,682,384 | 18,041 | ||||||||||||||
09/09/2020 | JPM | USD | 88,797,870 | JPY | 9,723,864,069 | 3,016,644 | ||||||||||||||
09/10/2020 | GS | USD | 2,944,500 | JPY | 314,326,468 | 23,473 | ||||||||||||||
09/10/2020 | MSCI | USD | 1,022,813 | JPY | 107,913,823 | (3,855 | ) | |||||||||||||
09/10/2020 | SSB | USD | 46,106,100 | JPY | 4,953,139,112 | 663,054 | ||||||||||||||
09/23/2020 | DB | USD | 29,085,570 | JPY | 3,080,919,100 | 11,156 | ||||||||||||||
10/19/2020 | DB | USD | 24,305,382 | JPY | 2,572,857,400 | 1,169 | ||||||||||||||
10/19/2020 | SSB | USD | 8,029,380 | JPY | 847,888,000 | (19,129 | ) | |||||||||||||
09/29/2020 | MSCI | USD | 6,204,447 | KRW | 7,456,380,000 | 74,010 | ||||||||||||||
10/21/2020 | JPM | USD | 1,814,233 | MXN | 40,368,352 | 19,619 | ||||||||||||||
09/04/2020 | JPM | USD | 19,697,974 | NOK | 187,619,756 | 1,779,770 | ||||||||||||||
10/05/2020 | BCLY | USD | 519,724 | NZD | 780,000 | 5,658 | ||||||||||||||
10/05/2020 | JPM | USD | 26,159,197 | NZD | 39,790,000 | 642,030 | ||||||||||||||
09/01/2020 | BCLY | USD | 1,289,435 | PHP | 62,533,750 | 319 | ||||||||||||||
09/01/2020 | CITI | USD | 820,266 | PHP | 39,780,450 | 203 | ||||||||||||||
09/01/2020 | JPM | USD | 1,709,388 | PHP | 82,900,170 | 423 | ||||||||||||||
09/01/2020 | MSCI | USD | 3,749,323 | PHP | 185,214,370 | 70,712 | ||||||||||||||
09/15/2020 | BOA | USD | 4,880,000 | PLN | 18,227,660 | 69,650 | ||||||||||||||
09/15/2020 | CITI | USD | 11,193,372 | PLN | 42,897,958 | 455,402 | ||||||||||||||
09/15/2020 | DB | USD | 6,280,000 | PLN | 23,369,401 | 65,871 | ||||||||||||||
09/15/2020 | JPM | USD | 146,628 | PLN | 558,951 | 5,153 | ||||||||||||||
09/30/2020 | BCLY | USD | 1,220,000 | RON | 5,006,125 | 12,619 | ||||||||||||||
09/30/2020 | BOA | USD | 935,974 | RON | 4,062,737 | 64,362 | ||||||||||||||
09/30/2020 | CITI | USD | 910,000 | RON | 3,725,444 | 7,287 | ||||||||||||||
10/15/2020 | BCLY | USD | 4,220,000 | RUB | 314,389,216 | (5,274 | ) | |||||||||||||
10/15/2020 | CITI | USD | 1,420,000 | RUB | 104,254,838 | (22,351 | ) | |||||||||||||
10/05/2020 | JPM | USD | 75,419,215 | SEK | 656,298,006 | 484,717 | ||||||||||||||
10/15/2020 | BCLY | USD | 2,040,000 | THB | 63,561,096 | 1,966 | ||||||||||||||
10/15/2020 | JPM | USD | 1,063,055 | THB | 33,355,476 | 8,524 | ||||||||||||||
10/06/2020 | JPM | USD | 2,210,000 | TWD | 64,654,460 | (4,438 | ) | |||||||||||||
10/06/2020 | MSCI | USD | 7,484,135 | TWD | 217,526,390 | (63,644 | ) | |||||||||||||
10/30/2020 | JPM | USD | 10,851,542 | ZAR | 180,831,176 | (249,311 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (27,151,004 | ) | ||||||||||||||||||
|
|
68 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||||
Buys | ||||||||||||||
1,034 | Corn (i) | December 2020 | 18,495,675 | 1,574,788 | ||||||||||
293 | FTSE 100 | September 2020 | 23,222,231 | (670,095 | ) | |||||||||
50 | Gold 100 OZ (i) | December 2020 | 9,893,000 | 118,034 | ||||||||||
153 | Hang Seng Index | September 2020 | 24,695,522 | (341,808 | ) | |||||||||
2,279 | Mini MSCI Emerging Markets | September 2020 | 125,390,580 | 10,094,943 | ||||||||||
100 | MSCI Taiwan Index | September 2020 | 4,915,121 | (86,531 | ) | |||||||||
144 | S&P/TSX 60 | September 2020 | 21,837,083 | 1,083,725 | ||||||||||
92 | Silver (i) | December 2020 | 13,153,240 | 268,022 | ||||||||||
24 | U.S. Treasury Note 10 Yr. (CBT) | December 2020 | 3,342,000 | (406 | ) | |||||||||
|
|
|
| |||||||||||
$ | 244,944,452 | $ | 12,040,672 | |||||||||||
|
|
|
| |||||||||||
Sales | ||||||||||||||
42 | Australian Government Bond 10 Yr. | September 2020 | 4,568,148 | 36,807 | ||||||||||
122 | CAC40 10 Euro | September 2020 | 7,201,455 | (24,070 | ) | |||||||||
135 | Canadian Government Bond 10 Yr. | December 2020 | 15,622,264 | 45,645 |
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||||
Sales — continued | ||||||||||||||
19 | DAX Index | September 2020 | 7,346,251 | (279,942 | ) | |||||||||
5,187 | E-mini Russell 2000 Index | September 2020 | 404,923,155 | (44,359,810 | ) | |||||||||
17,725 | Euro STOXX 50 | September 2020 | 691,603,721 | (12,794,112 | ) | |||||||||
2,707 | FTSE 100 Index | September 2020 | 214,548,049 | 8,982,383 | ||||||||||
365 | FTSE/JSE TOP 40 | September 2020 | 11,002,485 | (262,831 | ) | |||||||||
53 | Gilt Long Bond | December 2020 | 9,565,155 | 70,095 | ||||||||||
429 | Hang Seng Index | September 2020 | 69,244,307 | 971,142 | ||||||||||
9 | Japanese Government Bond 10 Yr. (OSE) | September 2020 | 12,881,178 | 40,844 | ||||||||||
4,788 | S&P 500 E-Mini | September 2020 | 837,636,660 | (102,045,529 | ) | |||||||||
162 | SGX Nifty 50 | September 2020 | 3,681,740 | 32,149 | ||||||||||
355 | Soybean (i) | November 2020 | 16,924,625 | (1,499,480 | ) | |||||||||
1,039 | SPI 200 | September 2020 | 115,044,383 | (3,402,620 | ) | |||||||||
3,454 | TOPIX Index | September 2020 | 526,153,793 | 1,106,189 | ||||||||||
|
|
|
| |||||||||||
$ | 2,947,947,369 | $ | (153,383,140 | ) | ||||||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
Reverse Repurchase Agreements
Average balance outstanding | $ | (7,449,132 | ) | |
Average interest rate (net) | (0.21 | )% | ||
Maximum balance outstanding | $ | (91,591,373 | ) |
Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements. Average interest rate was calculated based on interest received and/or paid during the period that the Fund had entered into the reverse repurchase agreements. The Fund had no reverse repurchase agreements at the end of the period.
Written Options
Equity Options
Description | Exercise | Expiration Date | Number of Contracts | Notional Amount | Value ($) | |||||||||||||||||
Equity Options – Calls | ||||||||||||||||||||||
FirstEnergy Corp. (f) | 32.00 | 01/15/21 | (2,700 | ) | USD | (7,719,300 | ) | (378,000 | ) | |||||||||||||
|
| |||||||||||||||||||||
Equity Options – Puts | ||||||||||||||||||||||
FirstEnergy Corp. (f) | 27.00 | 01/15/21 | (2,700 | ) | USD | (7,719,300 | ) | (648,000 | ) | |||||||||||||
|
| |||||||||||||||||||||
| TOTAL WRITTEN OPTIONS (Premiums $1,412,956) | $ | (1,026,000 | ) | ||||||||||||||||||
|
|
See accompanying notes to the financial statements. | 69 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
Swap Contracts
OTC Credit Default Swaps
Reference Entity | Counterparty | Notional | 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^: |
| |||||||||||||||||||||||||||||||||||||||
Halliburton Co. | BOA | USD | 1,140,000 | 1.00% | 0.92% | N/A | 12/20/2024 | Quarterly | 96,637 | (3,770 | ) | (100,407 | ) | |||||||||||||||||||||||||||
HCA, Inc. | BCLY | USD | 1,140,000 | 5.00% | 0.98% | N/A | 12/20/2024 | Quarterly | (139,584 | ) | (191,919 | ) | (52,335 | ) | ||||||||||||||||||||||||||
Tenet Healthcare Corp. | JPM | USD | 1,140,000 | 5.00% | 3.45% | N/A | 12/20/2024 | Quarterly | 142,500 | (67,858 | ) | (210,358 | ) | |||||||||||||||||||||||||||
Tenet Healthcare Corp. | JPM | USD | 570,000 | 5.00% | 3.45% | N/A | 12/20/2024 | Quarterly | 14,842 | (33,929 | ) | (48,771 | ) | |||||||||||||||||||||||||||
United Rentals North America, Inc. | CSI | USD | 1,140,000 | 5.00% | 0.87% | N/A | 12/20/2024 | Quarterly | (96,605 | ) | (197,949 | ) | (101,344 | ) | ||||||||||||||||||||||||||
United Rentals North America, Inc. | JPM | USD | 1,140,000 | 5.00% | 0.87% | N/A | 12/20/2024 | Quarterly | (51,323 | ) | (197,949 | ) | (146,626 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
$ | (33,533 | ) | $ | (693,374 | ) | $ | (659,841 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
^ | 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. |
(1) | As of August 31, 2020, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract. |
Centrally Cleared Interest Rate Swaps
Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||
3 Month AUD BBSW | 0.19% | AUD | 100,774,000 | 09/16/2022 | Quarterly | 11,810 | 47,144 | 35,334 | ||||||||||||||||||
(0.68)% | 6 Month CHF LIBOR | CHF | 134,874,000 | 09/16/2022 | Semi-Annually | — | 110,542 | 110,542 | ||||||||||||||||||
6 Month CHF LIBOR | (0.63)% | CHF | 24,150,000 | 09/16/2022 | Semi-Annually | 1,726 | 4,526 | 2,800 | ||||||||||||||||||
6 Month CHF LIBOR | (0.65)% | CHF | 19,540,000 | 09/16/2022 | Semi-Annually | — | (3,990 | ) | (3,990 | ) | ||||||||||||||||
3 Month NZD Bank Bill Rate | 0.09% | NZD | 41,720,000 | 09/16/2022 | Quarterly | — | 12,061 | 12,061 | ||||||||||||||||||
0.21% | 3 Month NZD Bank Bill Rate | NZD | 123,698,000 | 09/16/2022 | Quarterly | — | (239,837 | ) | (239,837 | ) | ||||||||||||||||
0.19% | 3 Month NZD Bank Bill Rate | NZD | 61,840,000 | 09/16/2022 | Quarterly | — | (96,998 | ) | (96,998 | ) | ||||||||||||||||
(0.04)% | 3 Month SEK STIBOR | SEK | 1,111,500,000 | 09/16/2022 | Quarterly | — | 37,859 | 37,859 | ||||||||||||||||||
(0.03)% | 3 Month SEK STIBOR | SEK | 1,117,600,000 | 09/16/2022 | Quarterly | — | 14,780 | 14,780 | ||||||||||||||||||
(0.03)% | 3 Month SEK STIBOR | SEK | 2,259,080,000 | 09/16/2022 | Quarterly | 19,297 | 27,260 | 7,963 | ||||||||||||||||||
3 Month SEK STIBOR | 0.02% | SEK | 592,500,000 | 09/16/2022 | Quarterly | — | 48,407 | 48,407 | ||||||||||||||||||
(0.02)% | 3 Month SEK STIBOR | SEK | 318,780,000 | 09/16/2022 | Quarterly | — | (3,903 | ) | (3,903 | ) | ||||||||||||||||
0.56% | 3 Month CAD LIBOR | CAD | 231,784,000 | 09/19/2022 | Semi-Annually | 22,037 | (42,434 | ) | (64,471 | ) | ||||||||||||||||
6 Month EURIBOR | (0.44)% | EUR | 17,130,000 | 09/21/2022 | Semi-Annually | (2,204 | ) | (3,263 | ) | (1,059 | ) | |||||||||||||||
6 Month GBP LIBOR | 0.10% | GBP | 211,472,000 | 09/21/2022 | Semi-Annually | 24,336 | (62,926 | ) | (87,262 | ) | ||||||||||||||||
0.12% | 6 Month GBP LIBOR | GBP | 40,790,000 | 09/21/2022 | Semi-Annually | (1,806 | ) | (9,824 | ) | (8,018 | ) | |||||||||||||||
6 Month GBP LIBOR | 0.10% | GBP | 170,640,000 | 09/21/2022 | Semi-Annually | (22,110 | ) | (32,401 | ) | (10,291 | ) | |||||||||||||||
3 Month USD LIBOR | 0.21% | USD | 315,070,000 | 09/21/2022 | Quarterly | 26,926 | (21,216 | ) | (48,142 | ) | ||||||||||||||||
0.84% | 6 Month AUD BBSW | AUD | 45,190,000 | 09/16/2030 | Semi-Annually | (91,400 | ) | 209,908 | 301,308 |
70 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
Centrally Cleared Interest Rate Swaps — continued
Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||
0.82% | 6 Month AUD BBSW | AUD | 20,842,000 | 09/16/2030 | Semi-Annually | (32,524 | ) | 120,023 | 152,547 | |||||||||||||||||
6 Month AUD BBSW | 0.90% | AUD | 17,380,000 | 09/16/2030 | Semi-Annually | — | 4,186 | 4,186 | ||||||||||||||||||
6 Month AUD BBSW | 0.83% | AUD | 62,190,000 | 09/16/2030 | Semi-Annually | (21,797 | ) | (311,215 | ) | (289,418 | ) | |||||||||||||||
6 Month AUD BBSW | 0.83% | AUD | 39,670,000 | 09/16/2030 | Semi-Annually | 11,044 | (204,220 | ) | (215,264 | ) | ||||||||||||||||
6 Month AUD BBSW | 0.81% | AUD | 28,840,000 | 09/16/2030 | Semi-Annually | — | (195,091 | ) | (195,091 | ) | ||||||||||||||||
3 Month CAD LIBOR | 1.14% | CAD | 143,360,000 | 09/16/2030 | Semi-Annually | 15,817 | 257,147 | 241,330 | ||||||||||||||||||
0.93% | 3 Month CAD LIBOR | CAD | 25,560,000 | 09/16/2030 | Semi-Annually | — | 360,214 | 360,214 | ||||||||||||||||||
3 Month CAD LIBOR | 1.07% | CAD | 33,690,000 | 09/16/2030 | Semi-Annually | (11,687 | ) | (104,637 | ) | (92,950 | ) | |||||||||||||||
3 Month CAD LIBOR | 1.06% | CAD | 20,020,000 | 09/16/2030 | Semi-Annually | — | (82,987 | ) | (82,987 | ) | ||||||||||||||||
3 Month CAD LIBOR | 0.98% | CAD | 40,888,000 | 09/16/2030 | Semi-Annually | (32,426 | ) | (427,496 | ) | (395,070 | ) | |||||||||||||||
3 Month CAD LIBOR | 1.00% | CAD | 112,600,000 | 09/16/2030 | Semi-Annually | 319,045 | (968,291 | ) | (1,287,336 | ) | ||||||||||||||||
3 Month CAD LIBOR | 1.08% | CAD | 7,340,000 | 09/16/2030 | Semi-Annually | — | (18,983 | ) | (18,983 | ) | ||||||||||||||||
6 Month CHF LIBOR | (0.19)% | CHF | 53,680,000 | 09/16/2030 | Semi-Annually | — | 183,954 | 183,954 | ||||||||||||||||||
6 Month CHF LIBOR | (0.21)% | CHF | 116,870,000 | 09/16/2030 | Semi-Annually | (28,303 | ) | 175,023 | 203,326 | |||||||||||||||||
(0.32)% | 6 Month CHF LIBOR | CHF | 3,860,000 | 09/16/2030 | Semi-Annually | — | 43,063 | 43,063 | ||||||||||||||||||
(0.25)% | 6 Month CHF LIBOR | CHF | 4,810,000 | 09/16/2030 | Semi-Annually | 989 | 11,356 | 10,367 | ||||||||||||||||||
(0.19)% | 6 Month CHF LIBOR | CHF | 10,550,000 | 09/16/2030 | Semi-Annually | — | (46,929 | ) | (46,929 | ) | ||||||||||||||||
6 Month CHF LIBOR | (0.33)% | CHF | 26,670,000 | 09/16/2030 | Semi-Annually | — | (305,103 | ) | (305,103 | ) | ||||||||||||||||
3 Month NZD Bank Bill Rate | 0.71% | NZD | 25,400,000 | 09/16/2030 | Quarterly | — | 154,169 | 154,169 | ||||||||||||||||||
3 Month NZD Bank Bill Rate | 0.64% | NZD | 12,710,000 | 09/16/2030 | Quarterly | — | 20,914 | 20,914 | ||||||||||||||||||
0.52% | 3 Month NZD Bank Bill Rate | NZD | 63,120,000 | 09/16/2030 | Quarterly | 139,117 | 412,651 | 273,534 | ||||||||||||||||||
0.61% | 3 Month NZD Bank Bill Rate | NZD | 8,520,000 | 09/16/2030 | Quarterly | — | 5,253 | 5,253 | ||||||||||||||||||
0.59% | 3 Month NZD Bank Bill Rate | NZD | 28,640,000 | 09/16/2030 | Quarterly | (5,768 | ) | 57,670 | 63,438 | |||||||||||||||||
3 Month NZD Bank Bill Rate | 0.74% | NZD | 22,105,000 | 09/16/2030 | Quarterly | 200,119 | 183,435 | (16,684 | ) | |||||||||||||||||
0.64% | 3 Month NZD Bank Bill Rate | NZD | 19,560,000 | 09/16/2030 | Quarterly | — | (32,185 | ) | (32,185 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.32% | SEK | 61,500,000 | 09/16/2030 | Quarterly | — | (61,774 | ) | (61,774 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.28% | SEK | 224,540,000 | 09/16/2030 | Quarterly | — | (338,768 | ) | (338,768 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.28% | SEK | 225,280,000 | 09/16/2030 | Quarterly | — | (325,684 | ) | (325,684 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.29% | SEK | 456,960,000 | 09/16/2030 | Quarterly | — | (631,817 | ) | (631,817 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.37% | SEK | 64,700,000 | 09/16/2030 | Quarterly | — | (31,620 | ) | (31,620 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.49% | SEK | 571,380,000 | 09/16/2030 | Quarterly | — | 545,852 | 545,852 | ||||||||||||||||||
3 Month SEK STIBOR | 0.51% | SEK | 568,120,000 | 09/16/2030 | Quarterly | (49,258 | ) | 666,447 | 715,705 | |||||||||||||||||
0.34% | 3 Month SEK STIBOR | SEK | 127,400,000 | 09/16/2030 | Quarterly | (8,457 | ) | 101,685 | 110,142 | |||||||||||||||||
0.32% | 3 Month SEK STIBOR | SEK | 119,700,000 | 09/16/2030 | Quarterly | — | 120,233 | 120,233 | ||||||||||||||||||
0.36% | 3 Month SEK STIBOR | SEK | 107,500,000 | 09/16/2030 | Quarterly | 12,140 | 58,698 | 46,558 | ||||||||||||||||||
6 Month EURIBOR | (0.25)% | EUR | 5,720,000 | 09/18/2030 | Semi-Annually | — | (78,642 | ) | (78,642 | ) | ||||||||||||||||
(0.19)% | 6 Month EURIBOR | EUR | 137,450,000 | 09/18/2030 | Semi-Annually | 30,194 | 862,418 | 832,224 | ||||||||||||||||||
(0.20)% | 6 Month EURIBOR | EUR | 145,950,000 | 09/18/2030 | Semi-Annually | 128,302 | 1,148,230 | 1,019,928 | ||||||||||||||||||
(0.20)% | 6 Month EURIBOR | EUR | 3,430,000 | 09/18/2030 | Semi-Annually | (948 | ) | 24,883 | 25,831 | |||||||||||||||||
6 Month GBP LIBOR | 0.45% | GBP | 8,300,000 | 09/18/2030 | Semi-Annually | 3,554 | (15,620 | ) | (19,174 | ) | ||||||||||||||||
6 Month GBP LIBOR | 0.31% | GBP | 8,620,000 | 09/18/2030 | Semi-Annually | — | (179,066 | ) | (179,066 | ) | ||||||||||||||||
6 Month GBP LIBOR | 0.28% | GBP | 5,440,000 | 09/18/2030 | Semi-Annually | — | (136,166 | ) | (136,166 | ) | ||||||||||||||||
6 Month GBP LIBOR | 0.30% | GBP | 10,050,000 | 09/18/2030 | Semi-Annually | — | (213,451 | ) | (213,451 | ) | ||||||||||||||||
6 Month GBP LIBOR | 0.41% | GBP | 13,770,000 | 09/18/2030 | Semi-Annually | (36,206 | ) | (107,435 | ) | (71,229 | ) | |||||||||||||||
0.32% | 6 Month GBP LIBOR | GBP | 57,330,000 | 09/18/2030 | Semi-Annually | 44,862 | 1,076,527 | 1,031,665 | ||||||||||||||||||
0.32% | 6 Month GBP LIBOR | GBP | 20,050,000 | 09/18/2030 | Semi-Annually | — | 383,164 | 383,164 | ||||||||||||||||||
0.30% | 6 Month GBP LIBOR | GBP | 60,660,000 | 09/18/2030 | Semi-Annually | 137,030 | 1,324,667 | 1,187,637 | ||||||||||||||||||
3 Month USD LIBOR | 0.53% | USD | 6,490,000 | 09/18/2030 | Quarterly | — | (114,666 | ) | (114,666 | ) | ||||||||||||||||
0.60% | 3 Month USD LIBOR | USD | 57,240,000 | 09/18/2030 | Quarterly | (86,850 | ) | 607,858 | 694,708 | |||||||||||||||||
0.61% | 3 Month USD LIBOR | USD | 132,740,000 | 09/18/2030 | Quarterly | (360,220 | ) | 1,278,769 | 1,638,989 | |||||||||||||||||
0.70% | 3 Month USD LIBOR | USD | 7,330,000 | 09/18/2030 | Quarterly | (226 | ) | 5,580 | 5,806 | |||||||||||||||||
3 Month USD LIBOR | 0.63% | USD | 18,640,000 | 09/18/2030 | Quarterly | — | (146,495 | ) | (146,495 | ) | ||||||||||||||||
3 Month USD LIBOR | 0.68% | USD | 7,560,000 | 09/18/2030 | Quarterly | 208 | (17,307 | ) | (17,515 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 356,363 | $ | 5,094,116 | $ | 4,737,753 | |||||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to the financial statements. | 71 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
OTC Total Return Swaps
Fund Pays | Fund Receives | Counterparty | Notional | Expiration Date | Periodic | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||
Depreciation of Total Return on CSI 500 Index + (1 Month USD LIBOR minus 9.25%) | Appreciation on Total Return on CSI 500 Index | GS | USD | 11,010,490 | 12/07/2020 | Monthly | — | 196,118 | 196,118 | |||||||||||||||||||
Total Return on Equity Basket (n) | 1 Month Federal Funds Rate minus 1.00% | MORD | USD | 3,188,277 | 06/18/2022 | Monthly | — | 111,420 | 111,420 | |||||||||||||||||||
Total Return on Equity Basket (n) | 1 Month Federal Funds Rate minus 1.00% | MORD | USD | 12,618,217 | 06/18/2022 | Monthly | — | 1,343,338 | 1,343,338 | |||||||||||||||||||
Total Return on Equity Basket (n) | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 13,191,950 | 06/18/2022 | Monthly | — | (224,402 | ) | (224,402 | ) | |||||||||||||||||
Total Return on Equity Basket (n) | 1 Month Federal Funds Rate minus -1.75 | MORD | USD | 8,778,888 | 06/18/2022 | Monthly | — | 331,734 | 331,734 | |||||||||||||||||||
Total Return on Equity Basket (n) | 1 Month Federal Funds Rate minus 0.90% | MORD | USD | 2,574,022 | 06/18/2022 | Monthly | — | (26,264 | ) | (26,264 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | — | $ | 1,731,944 | $ | 1,731,944 | |||||||||||||||||||||||
|
|
|
|
|
|
As of August 31, 2020, 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) | All or a portion of this security is out on loan (Note 2). |
(b) | Securities are traded on separate exchanges for the same entity. |
(c) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
(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) | Investment valued using significant unobservable inputs (Note 2). |
(f) | All or a portion of this investment is held in connection with one or more holdings within the Fund. |
(g) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
(h) | Security is in default. |
(i) | 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. |
(j) | All or a portion of this security is purchased with collateral from securities loaned (Note 2). |
(k) | The rate disclosed is the 7 day net yield as of August 31, 2020. |
(l) | Rate rounds to 0.00%. |
(m) | The rate shown represents yield-to-maturity. |
(n) | Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets. |
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 95.
72 | See accompanying notes to the financial statements. |
GMO International Developed Equity Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2020 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 96.7 | % | ||
Short-Term Investments | 1.7 | |||
Preferred Stocks | 0.7 | |||
Investment Funds | 0.2 | |||
Futures Contracts | 0.1 | |||
Debt Obligations | 0.1 | |||
Swap Contracts | 0.0 | ^ | ||
Other | 0.5 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | % of Investments | |||
Japan | 18.8 | % | ||
United Kingdom | 15.9 | |||
France | 7.7 | |||
Netherlands | 6.7 | |||
Switzerland | 5.9 | |||
Spain | 5.6 | |||
Germany | 4.9 | |||
China | 4.1 | |||
Australia | 3.9 | |||
Italy | 3.9 | |||
Singapore | 3.8 | |||
Sweden | 3.5 | |||
Portugal | 2.9 | |||
Norway | 2.4 | |||
Other Emerging | 2.4 | † | ||
Hong Kong | 2.0 | |||
Taiwan | 1.9 | |||
Russia | 1.6 | |||
Belgium | 1.1 | |||
Other Developed | 1.0 | ‡ | ||
|
| |||
100.0 | % | |||
|
|
& | The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). |
¤ | The table 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% . |
73
GMO International Developed Equity Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
MUTUAL FUNDS — 99.9% |
| |||||||||
Affiliated Issuers — 99.9% | ||||||||||
598,134 | GMO Emerging Markets Fund, Class VI | 19,104,392 | ||||||||
8,318,144 | GMO International Equity Fund, Class IV | 173,433,293 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $210,617,377) | 192,537,685 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
Money Market Funds — 0.1% | ||||||||||
96,619 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (a) | 96,619 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $96,619) | 96,619 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $210,713,996) | 192,634,304 | |||||||||
Other Assets and Liabilities (net) — (0.0%) | (37,560 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $192,596,744 | |||||||||
|
|
Notes to Schedule of Investments:
(a) | The rate disclosed is the 7 day net yield as of August 31, 2020. |
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 95.
74 | See accompanying notes to the financial statements. |
GMO International Equity Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2020 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 94.4 | % | ||
Preferred Stocks | 1.9 | |||
Short-Term Investments | 1.6 | |||
Investment Funds | 0.8 | |||
Debt Obligations | 0.3 | |||
Futures Contracts | 0.2 | |||
Swap Contracts | 0.0 | ^ | ||
Other | 0.8 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | % of Investments | |||
China | 15.6 | % | ||
Japan | 12.7 | |||
United Kingdom | 11.0 | |||
Taiwan | 7.5 | |||
Russia | 6.3 | |||
France | 5.2 | |||
Other Emerging | 4.7 | † | ||
Netherlands | 4.5 | |||
Switzerland | 4.0 | |||
Spain | 3.8 | |||
Germany | 3.3 | |||
Singapore | 2.8 | |||
Australia | 2.6 | |||
Italy | 2.6 | |||
Sweden | 2.4 | |||
Portugal | 2.0 | |||
Korea | 1.8 | |||
South Africa | 1.7 | |||
Norway | 1.6 | |||
Hong Kong | 1.4 | |||
India | 1.1 | |||
Other Developed | 1.4 | ‡ | ||
|
| |||
100.0 | % | |||
|
|
& | The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). |
¤ | The table 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% . |
75
GMO International Equity Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
MUTUAL FUNDS — 100.0% |
| |||||||||
Affiliated Issuers — 100.0% | ||||||||||
9,130,859 | GMO Emerging Markets Fund, Class VI | 291,639,651 | ||||||||
22,070,142 | GMO International Equity Fund, Class IV | 460,162,451 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $795,429,747) | 751,802,102 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.0% | ||||||||||
Money Market Funds — 0.0% | ||||||||||
268,834 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (a) | 268,834 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $268,834) | 268,834 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $795,698,581) | 752,070,936 | |||||||||
Other Assets and Liabilities (net) — (0.0%) | (40,303 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $752,030,633 | |||||||||
|
|
Notes to Schedule of Investments:
(a) | The rate disclosed is the 7 day net yield as of August 31, 2020. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 95.
76 | See accompanying notes to the financial statements. |
(A Series of GMO Trust)
Consolidated Investment Concentration Summary (a)
August 31, 2020 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Debt Obligations | 96.7 | % | ||
Short-Term Investments | 4.1 | |||
Forward Currency Contracts | 1.5 | |||
Futures Contracts | 0.7 | # | ||
Other | (3.0 | ) | ||
|
| |||
100.0 | % | |||
|
|
(a) | GMO Alternative Asset SPC Ltd. is a 100% owned subsidiary of GMO SGM Major Markets Fund. As such, the holdings of GMO Alternative Asset SPC Ltd. have been included with GMO SGM Major Markets Fund. |
& | In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). The exposure the Fund has to futures contracts based on notional amounts is 9.9% of net assets. |
# | Some or all is comprised of commodity exposure. See the Consolidated Schedule of Investments. |
77
GMO SGM Major Markets Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Par Value† / Shares | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 96.7% |
| |||||||||
United States — 96.7% | ||||||||||
U.S. Government — 94.0% | ||||||||||
15,000,000 | U.S. Treasury Note, 1.38%, due 01/31/21 | 15,074,415 | ||||||||
25,000,000 | U.S. Treasury Note, 1.25%, due 03/31/21 (a) | 25,157,227 | ||||||||
25,000,000 | U.S. Treasury Note, 1.38%, due 04/30/21 | 25,199,219 | ||||||||
16,800,000 | U.S. Treasury Note, 2.63%, due 05/15/21 (b) | 17,091,375 | ||||||||
47,000,000 | U.S. Treasury Note, 1.38%, due 05/31/21 | 47,429,609 | ||||||||
43,000,000 | U.S. Treasury Note, 1.63%, due 06/30/21 | 43,520,703 | ||||||||
15,000,000 | U.S. Treasury Note, 1.13%, due 08/31/21 | 15,143,555 | ||||||||
30,000,000 | U.S. Treasury Note, 1.63%, due 12/31/21 | 30,587,109 | ||||||||
30,000,000 | U.S. Treasury Note, 1.50%, due 01/31/22 | 30,569,531 | ||||||||
66,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.12%, 0.22%, due 01/31/21 (a) (b) | 66,027,062 | ||||||||
|
| |||||||||
Total U.S. Government | 315,799,805 | |||||||||
|
| |||||||||
U.S. Government Agency — 2.7% | ||||||||||
9,000,000 | Federal Home Loan Banks, Variable Rate, SOFR + 0.13%, 0.20%, due 10/16/20 | 9,001,154 | ||||||||
|
| |||||||||
Total United States | 324,800,959 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $323,612,357) | 324,800,959 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 4.1% | ||||||||||
Money Market Funds — 3.2% | ||||||||||
1,420,179 | SSgA USD Liquidity Fund – Class D Shares, 0.00% (b) | 1,420,179 | ||||||||
9,505,803 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (c) | 9,505,803 | ||||||||
|
| |||||||||
Total Money Market Funds | 10,925,982 | |||||||||
|
| |||||||||
U.S. Government — 0.9% | ||||||||||
3,000,000 | U.S. Treasury Bill, 0.11%, due 01/21/21 (b) (d) | 2,998,742 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $13,924,632) | 13,924,724 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.8% (Cost $337,536,989) | 338,725,683 | |||||||||
Other Assets and Liabilities (net) — (0.8%) | (2,696,146 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $336,029,537 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2020 is as follows:
Forward Currency Contracts
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||||
09/14/2020 | BCLY | AUD | 2,380,720 | USD | 1,713,473 | (42,506 | ) | |||||||||||||||
09/14/2020 | GS | AUD | 4,775,497 | USD | 3,401,338 | (120,988 | ) | |||||||||||||||
09/14/2020 | JPM | AUD | 23,591,096 | USD | 16,399,976 | (1,000,420 | ) | |||||||||||||||
09/14/2020 | GS | CHF | 2,821,058 | USD | 3,024,491 | (97,423 | ) | |||||||||||||||
09/16/2020 | MSCI | EUR | 4,285,586 | USD | 4,948,387 | (167,380 | ) | |||||||||||||||
09/16/2020 | UBS | EUR | 4,877,052 | USD | 5,626,077 | (195,733 | ) | |||||||||||||||
09/15/2020 | MSCI | GBP | 3,616,093 | USD | 4,578,417 | (255,812 | ) | |||||||||||||||
09/10/2020 | BCLY | JPY | 168,660,591 | USD | 1,572,804 | (19,745 | ) | |||||||||||||||
09/10/2020 | SSB | JPY | 134,221,359 | USD | 1,264,680 | (2,682 | ) | |||||||||||||||
09/14/2020 | BCLY | NZD | 12,263,935 | USD | 8,043,359 | (217,449 | ) | |||||||||||||||
09/14/2020 | MSCI | USD | 1,856,586 | AUD | 2,596,328 | 58,422 | ||||||||||||||||
09/14/2020 | SSB | USD | 2,603,972 | AUD | 3,630,580 | 73,883 | ||||||||||||||||
09/14/2020 | UBS | USD | 4,093,909 | AUD | 5,865,807 | 232,612 | ||||||||||||||||
10/05/2020 | GS | USD | 984,170 | CAD | 1,311,396 | 21,332 | ||||||||||||||||
10/05/2020 | SSB | USD | 11,466,988 | CAD | 15,361,014 | 310,944 | ||||||||||||||||
09/14/2020 | MSCI | USD | 6,985,593 | CHF | 6,566,898 | 281,642 | ||||||||||||||||
09/16/2020 | BCLY | USD | 2,404,430 | EUR | 2,120,468 | 126,804 | ||||||||||||||||
09/16/2020 | GS | USD | 1,425,699 | EUR | 1,215,115 | 24,801 | ||||||||||||||||
09/16/2020 | SSB | USD | 5,816,299 | EUR | 4,890,985 | 22,142 | ||||||||||||||||
09/16/2020 | UBS | USD | 82,917,878 | EUR | 73,541,901 | 4,870,185 | ||||||||||||||||
09/15/2020 | GS | USD | 2,305,464 | GBP | 1,767,907 | 57,989 | ||||||||||||||||
09/15/2020 | SSB | USD | 12,805,653 | GBP | 10,150,488 | 764,182 | ||||||||||||||||
09/10/2020 | GS | USD | 1,656,667 | JPY | 176,849,831 | 13,207 | ||||||||||||||||
09/10/2020 | MSCI | USD | 716,202 | JPY | 75,564,263 | (2,700 | ) | |||||||||||||||
09/10/2020 | SSB | USD | 28,316,918 | JPY | 3,042,062,481 | 407,227 | ||||||||||||||||
|
| |||||||||||||||||||||
$ | 5,142,534 | |||||||||||||||||||||
|
|
78 | See accompanying notes to the financial statements. |
GMO SGM Major Markets Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
Futures Contracts
Number | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Buys | ||||||||||||
636 | Corn (b) | December 2020 | 11,376,450 | 969,308 | ||||||||
181 | FTSE 100 | September 2020 | 14,345,473 | (403,472 | ) | |||||||
31 | Gold 100 OZ (b) | December 2020 | 6,133,660 | 67,788 | ||||||||
94 | Hang Seng Index | September 2020 | 15,172,412 | (209,966 | ) | |||||||
893 | Mini MSCI Emerging Markets | September 2020 | 49,132,860 | 2,881,049 | ||||||||
62 | MSCI Taiwan Index | September 2020 | 3,047,375 | (53,594 | ) | |||||||
89 | S&P/TSX 60 | September 2020 | 13,496,531 | 667,841 | ||||||||
56 | Silver (b) | December 2020 | 8,006,320 | 167,373 | ||||||||
15 | U.S. Treasury Note 10 Yr. (CBT) | December 2020 | 2,088,750 | (253 | ) | |||||||
|
|
|
| |||||||||
$ | 122,799,831 | $ | 4,086,074 | |||||||||
|
|
|
|
Number | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Sales | ||||||||||||
26 | Australian Government Bond 10 Yr. | September 2020 | $ | 2,827,901 | $ | 22,803 | ||||||
76 | CAC40 10 Euro | September 2020 | 4,486,152 | (14,994 | ) | |||||||
71 | Canadian Government Bond 10 Yr. | December 2020 | 8,216,154 | 24,051 | ||||||||
11 | DAX Index | September 2020 | 4,253,092 | (172,632 | ) | |||||||
226 | FTSE/JSE TOP 40 | September 2020 | 6,812,497 | (176,474 | ) | |||||||
32 | Gilt Long Bond | December 2020 | 5,775,188 | 42,321 | ||||||||
6 | Japanese Government Bond 10 Yr. (OSE) | September 2020 | 8,587,452 | 28,299 | ||||||||
217 | Soybean (b) | November 2020 | 10,345,475 | (921,008 | ) | |||||||
55 | SPI 200 | September 2020 | 6,089,934 | 48,061 | ||||||||
212 | TOPIX Index | September 2020 | 32,294,327 | (748,508 | ) | |||||||
|
|
|
| |||||||||
$ | 89,688,172 | $ | (1,868,081 | ) | ||||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
As of August 31, 2020, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
(a) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
(b) | 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, 2020. |
(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 95.
See accompanying notes to the financial statements. | 79 |
GMO Special Opportunities Fund
(A Series of GMO Trust)
Consolidated Investment Concentration Summary (a)
August 31, 2020 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 76.5 | % | ||
Short-Term Investments | 10.0 | |||
Other | 13.5 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | Equity Investments % of Total Net Assets | |||
United States | 66.5 | % | ||
New Zealand | 4.7 | |||
Israel | 3.7 | |||
United Kingdom | 1.6 | |||
|
| |||
76.5 | % | |||
|
| |||
Industry Group Summary | % of Equity Investments# | |||
Retailing | 47.1 | % | ||
Real Estate | 22.3 | |||
Software & Services | 11.2 | |||
Diversified Financials | 6.9 | |||
Media & Entertainment | 6.4 | |||
Health Care Equipment & Services | 6.1 | |||
|
| |||
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, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). |
¤ | 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%. |
# | 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. |
80
GMO Special Opportunities Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 76.5% |
| |||||||||
Israel — 3.7% | ||||||||||
38,000 | Wix.com Ltd * | 11,195,940 | ||||||||
|
| |||||||||
New Zealand — 4.7% | ||||||||||
1,560,000 | Ryman Healthcare Ltd | 14,063,533 | ||||||||
|
| |||||||||
United Kingdom — 1.6% | ||||||||||
640,000 | Burford Capital Ltd | 4,838,011 | ||||||||
|
| |||||||||
United States — 66.5% | ||||||||||
750,000 | At Home Group, Inc. * | 14,332,500 | ||||||||
193,830 | Cardlytics, Inc. * | 14,702,006 | ||||||||
242,514 | Carvana Co. * | 52,373,323 | ||||||||
156,684 | Fastly, Inc. – Class A * | 14,546,543 | ||||||||
207,920 | Interactive Brokers Group, Inc. – Class A | 11,023,918 | ||||||||
1,082,083 | Redfin Corp. * | 51,474,688 | ||||||||
140,953 | Wayfair, Inc. – Class A * | 41,801,022 | ||||||||
|
| |||||||||
Total United States | 200,254,000 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $79,320,841) | 230,351,484 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 10.0% | ||||||||||
Money Market Funds — 10.0% | ||||||||||
206 | SSgA USD Liquidity Fund – Class D Shares, 0.00% (a) | 206 | ||||||||
30,176,887 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (b) | 30,176,887 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $30,177,093) | 30,177,093 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 86.5% (Cost $109,497,934) | 260,528,577 | |||||||||
Other Assets and Liabilities (net) — 13.5% | 40,673,309 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $301,201,886 | |||||||||
|
|
Notes to Schedule of Investments:
* | Non-income producing security. |
(a) | 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. |
(b) | The rate disclosed is the 7 day net yield as of August 31, 2020. |
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 95.
See accompanying notes to the financial statements. | 81 |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2020 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 78.0 | % | ||
Debt Obligations | 15.5 | |||
Short-Term Investments | 5.6 | |||
Investment Funds | 1.8 | |||
Preferred Stocks | 1.2 | |||
Swap Contracts | 0.1 | |||
Loan Participations | 0.0 | ^ | ||
Loan Assignments | 0.0 | ^ | ||
Rights/Warrants | 0.0 | ^ | ||
Purchased Options | 0.0 | ^ | ||
Written/Credit Linked Options | (0.0 | )^ | ||
Forward Currency Contracts | (0.0 | )^ | ||
Futures Contracts | (0.7 | ) | ||
Securities Sold Short | (1.8 | ) | ||
Other | 0.3 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | Debt Obligations as a % of Total Net Assets | |||
United States | 8.7 | % | ||
Other Emerging | 4.1 | † | ||
Other Developed | 0.9 | ‡ | ||
Euro Region | (1.8 | )# | ||
|
| |||
11.9 | % | |||
|
| |||
Country/Region Summary¤ | Equity Investments as a % of Total Net Assets | |||
United States | 22.4 | % | ||
China | 9.2 | |||
Japan | 8.3 | |||
United Kingdom | 6.0 | |||
Taiwan | 4.6 | |||
Other Emerging | 4.3 | † | ||
Russia | 4.1 | |||
Other Developed | 3.3 | ‡ | ||
France | 2.4 | |||
Netherlands | 2.1 | |||
Spain | 2.0 | |||
Germany | 1.8 | |||
Switzerland | 1.5 | |||
Singapore | 1.4 | |||
Italy | 1.3 | |||
South Korea | 1.2 | |||
Australia | 1.1 | |||
Portugal | 1.0 | |||
|
| |||
78.0 | % | |||
|
|
& | The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). |
¤ | The table 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%. |
82
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 21.8% |
| |||||||||
Australia — 0.3% | ||||||||||
13,710 | Ansell Ltd | 388,610 | ||||||||
299 | Appen Ltd | 7,626 | ||||||||
26,425 | Asaleo Care Ltd | 21,350 | ||||||||
48,596 | Australian Pharmaceutical Industries Ltd | 38,788 | ||||||||
36,977 | Fortescue Metals Group Ltd | 472,617 | ||||||||
14,488 | GDI Property Group (REIT) | 11,502 | ||||||||
31,008 | Genworth Mortgage Insurance Australia Ltd | 34,403 | ||||||||
16,555 | JB Hi-Fi Ltd | 610,018 | ||||||||
6,322 | Regis Resources Ltd | 24,611 | ||||||||
45,288 | Sandfire Resources NL | 155,281 | ||||||||
3,088 | Virtus Health Ltd | 7,967 | ||||||||
|
| |||||||||
Total Australia | 1,772,773 | |||||||||
|
| |||||||||
Belgium — 0.1% | �� | |||||||||
17,785 | AGFA-Gevaert NV * | 75,142 | ||||||||
3,591 | bpost SA | 35,754 | ||||||||
1,057 | Colruyt SA | 66,624 | ||||||||
3,277 | UCB SA | 388,937 | ||||||||
|
| |||||||||
Total Belgium | 566,457 | |||||||||
|
| |||||||||
Brazil — 0.0% | ||||||||||
50,200 | JBS SA | 205,620 | ||||||||
20,300 | Petrobras Distribuidora SA | 79,073 | ||||||||
|
| |||||||||
Total Brazil | 284,693 | |||||||||
|
| |||||||||
Canada — 0.3% | ||||||||||
2,500 | AGF Management Ltd – Class B | 9,583 | ||||||||
5,900 | Bausch Health Cos Inc * | 97,930 | ||||||||
16,755 | Brookfield Asset Management Inc – Class A | 565,314 | ||||||||
1,900 | Canfor Pulp Products Inc | 7,152 | ||||||||
8,200 | Cascades Inc | 87,196 | ||||||||
14,200 | Celestica Inc * | 113,112 | ||||||||
14,500 | CI Financial Corp | 205,880 | ||||||||
900 | Cogeco Inc | 54,117 | ||||||||
5,900 | Fortuna Silver Mines Inc * | 42,972 | ||||||||
200 | Home Capital Group Inc * | 3,379 | ||||||||
4,000 | iA Financial Corp Inc | 143,980 | ||||||||
5,600 | IGM Financial Inc | 136,656 | ||||||||
9,400 | Martinrea International Inc | 72,283 | ||||||||
16,217 | Nutrien Ltd | 597,921 | ||||||||
1,700 | Stantec Inc | 55,196 | ||||||||
700 | TFI International Inc | 30,944 | ||||||||
5,600 | Transcontinental Inc – Class A | 65,860 | ||||||||
|
| |||||||||
Total Canada | 2,289,475 | |||||||||
|
| |||||||||
China — 0.5% | ||||||||||
10,000 | Agile Group Holdings Ltd | 13,786 | ||||||||
586,000 | Agricultural Bank of China Ltd – Class H | 195,710 |
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
379,500 | BAIC Motor Corp Ltd – Class H | 181,902 | ||||||||
297,000 | Bank of China Ltd – Class H | 96,581 | ||||||||
474,000 | Bank of Communications Co Ltd – Class H | 247,526 | ||||||||
144,000 | China CITIC Bank Corp Ltd – Class H | 60,153 | ||||||||
63,000 | China Everbright Bank Co Ltd – Class H | 22,572 | ||||||||
85,000 | China Lesso Group Holdings Ltd | 158,279 | ||||||||
28,000 | China Lilang Ltd | 16,139 | ||||||||
17,000 | China Medical System Holdings Ltd | 19,146 | ||||||||
40,000 | China Minsheng Banking Corp Ltd – Class H | 24,349 | ||||||||
242,000 | China National Building Material Co Ltd – Class H | 339,667 | ||||||||
298,000 | China Petroleum & Chemical Corp – Class H | 136,824 | ||||||||
256,000 | China Railway Group Ltd – Class H | 131,300 | ||||||||
189,000 | China Resources Pharmaceutical Group Ltd | 107,000 | ||||||||
73,000 | China SCE Group Holdings Ltd | 37,994 | ||||||||
34,000 | China Shineway Pharmaceutical Group Ltd | 23,784 | ||||||||
172,000 | Chongqing Rural Commercial Bank Co Ltd – Class H | 70,083 | ||||||||
30,000 | Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H | 78,335 | ||||||||
24,000 | Guangzhou R&F Properties Co Ltd – Class H | 30,469 | ||||||||
21,000 | IGG Inc | 24,225 | ||||||||
7,000 | JNBY Design Ltd | 7,309 | ||||||||
4,500 | Livzon Pharmaceutical Group Inc – Class H | 21,500 | ||||||||
73,000 | Postal Savings Bank of China Co Ltd – Class H | 34,558 | ||||||||
24,000 | Powerlong Real Estate Holdings Ltd | 17,346 | ||||||||
18,700 | Red Star Macalline Group Corp Ltd – Class H | 12,414 | ||||||||
121,200 | Shanghai Pharmaceuticals Holding Co Ltd – Class H | 215,681 | ||||||||
130,000 | Shimao Group Holdings Ltd | 584,250 | ||||||||
24,800 | Sinopharm Group Co Ltd – Class H | 60,895 | ||||||||
148,000 | Tianneng Power International Ltd | 318,380 | ||||||||
|
| |||||||||
Total China | 3,288,157 | |||||||||
|
| |||||||||
Denmark — 0.0% | ||||||||||
4,336 | Scandinavian Tobacco Group A/S | 69,090 | ||||||||
|
| |||||||||
Finland — 0.1% | ||||||||||
18,095 | Neste Oyj | 968,722 | ||||||||
|
| |||||||||
France — 0.7% | ||||||||||
5,664 | ALD SA | 57,994 | ||||||||
10,399 | APERAM SA | 307,058 | ||||||||
1,945 | Arkema SA | 215,333 | ||||||||
212 | Assystem SA | 6,024 | ||||||||
197 | Axway Software SA * | 4,552 | ||||||||
170 | Boiron SA | 7,018 | ||||||||
84 | Caisse Regionale de Credit Agricole Mutuel Nord de France * | 1,958 | ||||||||
289 | Capgemini SE | 40,090 | ||||||||
161 | Cie des Alpes | 2,976 |
See accompanying notes to the financial statements. | 83 |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
France — continued | ||||||||||
4,487 | Coface SA * | 35,056 | ||||||||
743 | Eiffage SA * | 68,329 | ||||||||
2,634 | Fnac Darty SA * | 114,668 | ||||||||
322 | GL Events * | 3,960 | ||||||||
79 | Groupe Crit | 4,524 | ||||||||
91 | HEXAOM | 3,324 | ||||||||
3,884 | IPSOS | 102,558 | ||||||||
425 | Kaufman & Broad SA | 16,878 | ||||||||
1,158 | Kering SA | 710,507 | ||||||||
1,946 | L’Oreal SA | 645,779 | ||||||||
1,622 | LVMH Moet Hennessy Louis Vuitton SE | 761,728 | ||||||||
6,238 | Metropole Television SA * | 77,890 | ||||||||
3,784 | Quadient SA | 52,736 | ||||||||
8,453 | Safran SA * | 976,190 | ||||||||
3,617 | Sanofi | 366,361 | ||||||||
2,000 | Sanofi ADR | 101,160 | ||||||||
163 | Synergie SA * | 3,996 | ||||||||
|
| |||||||||
Total France | 4,688,647 | |||||||||
|
| |||||||||
Germany — 0.7% | ||||||||||
1,466 | Aurubis AG | 105,376 | ||||||||
228 | Bechtle AG | 46,081 | ||||||||
36,229 | CECONOMY AG * | 166,846 | ||||||||
3,104 | CropEnergies AG | 45,280 | ||||||||
45,902 | Deutsche Pfandbriefbank AG | 334,354 | ||||||||
16,552 | Deutz AG | 89,041 | ||||||||
16,690 | Dialog Semiconductor Plc * | 725,064 | ||||||||
387 | Draegerwerk AG & Co KGaA * | 28,607 | ||||||||
2,401 | DWS Group GmbH & Co KGaA * | 94,646 | ||||||||
2,046 | Gerresheimer AG | 241,641 | ||||||||
98 | Grammer AG * | 1,829 | ||||||||
9,760 | HeidelbergCement AG | 619,193 | ||||||||
1,084 | Hornbach Holding AG & Co KGaA | 118,035 | ||||||||
40,915 | Infineon Technologies AG | 1,137,698 | ||||||||
10,214 | Software AG | 509,280 | ||||||||
4,351 | Takkt AG * | 57,368 | ||||||||
5,228 | Traton SE * | 107,017 | ||||||||
2,136 | VERBIO Vereinigte BioEnergie AG | 36,747 | ||||||||
904 | Wuestenrot & Wuerttembergische AG | 15,726 | ||||||||
|
| |||||||||
Total Germany | 4,479,829 | |||||||||
|
| |||||||||
Hong Kong — 0.2% | ||||||||||
19,000 | Chow Sang Sang Holdings International Ltd | 21,389 | ||||||||
260,000 | CITIC Telecom International Holdings Ltd | 90,183 | ||||||||
130,000 | CSI Properties Ltd | 4,040 | ||||||||
18,500 | Dah Sing Banking Group Ltd | 17,574 | ||||||||
24,800 | Dah Sing Financial Holdings Ltd | 70,500 | ||||||||
70,000 | Giordano International Ltd | 11,730 | ||||||||
245,000 | HKT Trust & HKT Ltd – Class SS | 350,087 | ||||||||
78,500 | Johnson Electric Holdings Ltd | 154,864 |
Shares | Description | Value ($) | ||||||||
Hong Kong — continued | ||||||||||
139,000 | Pacific Textiles Holdings Ltd | 61,456 | ||||||||
12,000 | Pico Far East Holdings Ltd | 1,532 | ||||||||
20,000 | Prosperity REIT | 6,115 | ||||||||
218,000 | Shun Tak Holdings Ltd | 75,556 | ||||||||
60,000 | Sun Hung Kai & Co Ltd | 24,684 | ||||||||
4,000 | TAI Cheung Holdings Ltd | 2,537 | ||||||||
65,900 | VTech Holdings Ltd | 384,315 | ||||||||
131,000 | WH Group Ltd | 112,910 | ||||||||
128,000 | Yue Yuen Industrial Holdings Ltd | 221,478 | ||||||||
|
| |||||||||
Total Hong Kong | 1,610,950 | |||||||||
|
| |||||||||
India — 0.0% | ||||||||||
20,549 | REC Ltd | 29,738 | ||||||||
|
| |||||||||
Ireland — 0.2% | ||||||||||
10,295 | AIB Group Plc * | 12,664 | ||||||||
39,165 | Bank of Ireland Group Plc | 87,745 | ||||||||
690 | CRH Plc | 25,734 | ||||||||
3,200 | CRH Plc Sponsored ADR | 118,720 | ||||||||
2,237 | Glanbia Plc | 25,716 | ||||||||
71,600 | Hibernia REIT Plc | 101,772 | ||||||||
36,837 | Irish Residential Properties REIT Plc | 61,925 | ||||||||
9,692 | Origin Enterprises Plc | 39,774 | ||||||||
7,694 | Permanent TSB Group Holdings Plc * | 4,685 | ||||||||
49,187 | Ryanair Holdings Plc * | 699,308 | ||||||||
9,904 | Smurfit Kappa Group Plc | 350,713 | ||||||||
6,616 | Total Produce Plc | 8,964 | ||||||||
|
| |||||||||
Total Ireland | 1,537,720 | |||||||||
|
| |||||||||
Italy — 0.4% | ||||||||||
2,382 | ACEA SPA | 48,979 | ||||||||
27,359 | Anima Holding SPA | 120,183 | ||||||||
3,839 | Ascopiave SPA | 15,019 | ||||||||
23,846 | Buzzi Unicem SPA | 582,910 | ||||||||
3,639 | Cementir Holding NV | 25,415 | ||||||||
26,335 | Enav SPA | 110,802 | ||||||||
23,403 | EXOR NV | 1,380,271 | ||||||||
136,816 | Hera SPA | 522,400 | ||||||||
1,690 | La Doria SPA | 22,229 | ||||||||
4,121 | Nexi SPA * | 73,342 | ||||||||
6,156 | Piaggio & C SPA | 17,463 | ||||||||
92 | Recordati Industria Chimica e Farmaceutica SPA | 5,018 | ||||||||
348 | Sesa SPA | 31,248 | ||||||||
|
| |||||||||
Total Italy | 2,955,279 | |||||||||
|
| |||||||||
Japan — 4.4% | ||||||||||
1,700 | 77 Bank Ltd (The) | 24,957 | ||||||||
2,000 | ADEKA Corp | 29,188 | ||||||||
34,000 | Aeon Mall Co Ltd | 449,283 |
84 | See accompanying notes to the financial statements. |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
1,400 | Aichi Corp | 10,843 | ||||||||
65,700 | Amada Co Ltd | 583,874 | ||||||||
3,300 | Amano Corp | 68,797 | ||||||||
600 | Arata Corp | 28,676 | ||||||||
900 | Arcland Sakamoto Co Ltd | 17,895 | ||||||||
11,700 | Arcs Co Ltd | 289,157 | ||||||||
42,100 | Asics Corp | 580,403 | ||||||||
37,200 | Astellas Pharma Inc | 583,599 | ||||||||
800 | Bando Chemical Industries Ltd | 4,383 | ||||||||
24,900 | Brother Industries Ltd | 411,943 | ||||||||
9,900 | Chiba Bank Ltd (The) | 51,278 | ||||||||
400 | Chiyoda Integre Co Ltd | 6,043 | ||||||||
21,600 | Chugoku Marine Paints Ltd | 200,828 | ||||||||
700 | Cleanup Corp | 3,373 | ||||||||
4,100 | Dai Nippon Printing Co Ltd | 86,988 | ||||||||
1,300 | Dai Nippon Toryo Co Ltd | 10,853 | ||||||||
400 | Dai-Dan Co Ltd | 10,139 | ||||||||
11,300 | Daicel Corp | 81,880 | ||||||||
8,300 | Daihen Corp | 326,691 | ||||||||
400 | Daiichi Jitsugyo Co Ltd | 13,642 | ||||||||
400 | Dainichiseika Color & Chemicals Manufacturing Co Ltd | 8,131 | ||||||||
1,200 | Daiwa Industries Ltd | 10,397 | ||||||||
4,600 | Daiwabo Holdings Co Ltd | 276,997 | ||||||||
20,600 | Denka Co Ltd | 579,691 | ||||||||
10,500 | Doshisha Co Ltd | 201,274 | ||||||||
3,500 | DTS Corp | 73,383 | ||||||||
1,000 | ESPEC Corp | 17,278 | ||||||||
4,500 | FANUC Corp | 789,446 | ||||||||
5,200 | Fuji Electric Co Ltd | 162,228 | ||||||||
700 | Fujimi Inc | 23,404 | ||||||||
3,400 | Fujitec Co Ltd | 67,788 | ||||||||
4,200 | Fujitsu General Ltd | 109,896 | ||||||||
200 | Fukuda Corp | 9,202 | ||||||||
4,600 | Geo Holdings Corp | 74,555 | ||||||||
3,600 | Glory Ltd | 75,169 | ||||||||
6,700 | GungHo Online Entertainment Inc | 138,351 | ||||||||
9,900 | Gunma Bank Ltd (The) | 32,550 | ||||||||
6,000 | Gunze Ltd | 215,979 | ||||||||
6,900 | Gurunavi Inc | 42,065 | ||||||||
9,100 | Hachijuni Bank Ltd (The) | 35,166 | ||||||||
6,300 | Hakuhodo DY Holdings Inc | 78,223 | ||||||||
800 | Hakuto Co Ltd | 8,345 | ||||||||
56,300 | Haseko Corp | 768,290 | ||||||||
35,900 | Hazama Ando Corp | 243,858 | ||||||||
5,600 | Hiroshima Bank Ltd (The) | 28,341 | ||||||||
3,400 | Hisamitsu Pharmaceutical Co Inc | 157,059 | ||||||||
10,200 | Hogy Medical Co Ltd | 323,867 | ||||||||
2,500 | Hokuhoku Financial Group Inc | 23,181 | ||||||||
10,100 | Horiba Ltd | 552,960 | ||||||||
3,300 | Inaba Denki Sangyo Co Ltd | 81,709 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
16,600 | Inabata & Co Ltd | 204,709 | ||||||||
3,000 | Itochu Enex Co Ltd | 26,567 | ||||||||
2,400 | Itochu Techno-Solutions Corp | 86,873 | ||||||||
100 | Itochu-Shokuhin Co Ltd | 5,286 | ||||||||
2,700 | Itoki Corp | 9,278 | ||||||||
9,000 | Jafco Co Ltd | 362,178 | ||||||||
40,400 | JVCKenwood Corp | 59,744 | ||||||||
72,600 | K’s Holdings Corp | 1,028,702 | ||||||||
26,500 | Kadokawa Corp | 677,860 | ||||||||
1,800 | Kaken Pharmaceutical Co Ltd | 83,390 | ||||||||
800 | Kamei Corp | 7,459 | ||||||||
8,800 | Kanamoto Co Ltd | 191,011 | ||||||||
26,300 | Kanematsu Corp | 332,048 | ||||||||
700 | Kanematsu Electronics Ltd | 26,718 | ||||||||
300 | Kato Sangyo Co Ltd | 10,342 | ||||||||
24,600 | KDDI Corp | 715,069 | ||||||||
53,900 | Kenedix Inc | 261,804 | ||||||||
24,400 | Kinden Corp | 402,498 | ||||||||
1,800 | Kissei Pharmaceutical Co Ltd | 39,257 | ||||||||
900 | Komeri Co Ltd | 27,889 | ||||||||
26,100 | Konica Minolta Inc | 84,193 | ||||||||
7,000 | Konoike Transport Co Ltd | 74,477 | ||||||||
1,100 | Kureha Corp | 47,047 | ||||||||
21,900 | Kyowa Exeo Corp | 550,952 | ||||||||
1,800 | Makino Milling Machine Co Ltd | 62,160 | ||||||||
9,900 | Mandom Corp | 157,368 | ||||||||
10,600 | Maruichi Steel Tube Ltd | 284,187 | ||||||||
500 | Maruzen Showa Unyu Co Ltd | 16,168 | ||||||||
500 | Matsuda Sangyo Co Ltd | 7,345 | ||||||||
19,300 | Maxell Holdings Ltd * | 185,048 | ||||||||
12,200 | Mebuki Financial Group Inc | 29,576 | ||||||||
2,100 | Medipal Holdings Corp | 40,131 | ||||||||
4,900 | Meidensha Corp | 75,427 | ||||||||
700 | METAWATER Co Ltd | 29,407 | ||||||||
17,600 | Mitsubishi Gas Chemical Co Inc | 314,282 | ||||||||
145,200 | Mitsubishi UFJ Financial Group Inc | 605,828 | ||||||||
1,000 | Mitsuboshi Belting Ltd | 15,464 | ||||||||
1,200 | Mitsui Sugar Co Ltd | 21,887 | ||||||||
500 | Mochida Pharmaceutical Co Ltd | 18,486 | ||||||||
21,700 | MS&AD Insurance Group Holdings Inc | 601,926 | ||||||||
1,200 | MTI Ltd | 8,276 | ||||||||
4,200 | NEC Networks & System Integration Corp | 78,086 | ||||||||
15,800 | NH Foods Ltd | 715,744 | ||||||||
4,900 | Nichi-iko Pharmaceutical Co Ltd | 55,043 | ||||||||
5,250 | Nichias Corp | 124,291 | ||||||||
7,900 | Nikkon Holdings Co Ltd | 174,304 | ||||||||
3,300 | Nippo Corp | 85,460 | ||||||||
2,000 | Nippon Flour Mills Co Ltd | 31,806 | ||||||||
7,300 | Nippon Kayaku Co Ltd | 71,714 | ||||||||
75,500 | Nippon Light Metal Holdings Co Ltd | 132,275 |
See accompanying notes to the financial statements. | 85 |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
2,200 | Nippon Soda Co Ltd | 62,463 | ||||||||
34,100 | Nippon Telegraph & Telephone Corp | 775,966 | ||||||||
1,200 | Nisshin Oillio Group Ltd (The) | 35,590 | ||||||||
400 | Nissin Corp | 6,074 | ||||||||
5,700 | Nissin Electric Co Ltd | 60,493 | ||||||||
2,600 | Nojima Corp | 76,947 | ||||||||
13,100 | Nomura Real Estate Holdings Inc | 249,916 | ||||||||
59,100 | Obayashi Corp | 577,669 | ||||||||
100 | Okinawa Cellular Telephone Co | 3,938 | ||||||||
800 | Organo Corp | 42,388 | ||||||||
51,100 | ORIX Corp | 635,230 | ||||||||
600 | Osaka Soda Co Ltd | 14,291 | ||||||||
1,000 | Otsuka Corp | 49,076 | ||||||||
13,700 | Pacific Industrial Co Ltd | 127,938 | ||||||||
1,100 | Paramount Bed Holdings Co Ltd | 43,780 | ||||||||
29,900 | Penta-Ocean Construction Co Ltd | 191,757 | ||||||||
2,000 | Proto Corp | 22,981 | ||||||||
10,500 | Raiznext Corp | 131,596 | ||||||||
600 | Rinnai Corp | 55,503 | ||||||||
4,600 | San-A Co Ltd | 186,924 | ||||||||
2,200 | San-Ai Oil Co Ltd | 19,373 | ||||||||
4,100 | Sanki Engineering Co Ltd | 43,955 | ||||||||
900 | Sanyo Chemical Industries Ltd | 41,813 | ||||||||
6,500 | Secom Co Ltd | 615,143 | ||||||||
4,300 | Seiko Holdings Corp | 60,598 | ||||||||
600 | Sekisui Jushi Corp | 12,581 | ||||||||
69,200 | Shimizu Corp | 531,551 | ||||||||
1,600 | Shizuoka Gas Co Ltd | 13,191 | ||||||||
7,400 | Showa Corp | 158,705 | ||||||||
200 | Sinanen Holdings Co Ltd | 5,589 | ||||||||
1,500 | Sinko Industries Ltd | 19,282 | ||||||||
1,700 | Sintokogio Ltd | 11,342 | ||||||||
45,100 | SKY Perfect JSAT Holdings Inc | 172,103 | ||||||||
40,900 | Sumitomo Chemical Co Ltd | 132,655 | ||||||||
10,700 | Sumitomo Dainippon Pharma Co Ltd | 135,269 | ||||||||
28,100 | Sumitomo Forestry Co Ltd | 448,641 | ||||||||
500 | Sumitomo Seika Chemicals Co Ltd | 16,264 | ||||||||
1,200 | Suzuken Co Ltd | 44,577 | ||||||||
12,200 | T Hasegawa Co Ltd | 243,553 | ||||||||
4,000 | T-Gaia Corp | 78,765 | ||||||||
2,000 | Taisei Corp | 69,032 | ||||||||
1,100 | Taisho Pharmaceutical Holdings Co Ltd | 67,688 | ||||||||
4,100 | Takasago Thermal Engineering Co Ltd | 56,157 | ||||||||
20,100 | Takuma Co Ltd | 321,764 | ||||||||
1,200 | Tamron Co Ltd | 19,363 | ||||||||
16,000 | Teijin Ltd | 250,874 | ||||||||
10,500 | Toho Holdings Co Ltd | 202,971 | ||||||||
2,200 | Tokyo Seimitsu Co Ltd | 67,322 | ||||||||
7,600 | Tokyu Construction Co Ltd | 34,846 | ||||||||
900 | Toli Corp | 2,103 | ||||||||
3,500 | Toppan Forms Co Ltd | 31,681 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
58,900 | Toppan Printing Co Ltd | 914,113 | ||||||||
800 | Torii Pharmaceutical Co Ltd | 20,825 | ||||||||
23,600 | Tosei Corp | 206,641 | ||||||||
39,100 | Tosoh Corp | 578,445 | ||||||||
7,400 | Toyo Suisan Kaisha Ltd | 420,743 | ||||||||
11,900 | Toyota Industries Corp | 691,245 | ||||||||
1,100 | Trend Micro Inc | 68,074 | ||||||||
5,300 | TS Tech Co Ltd | 155,035 | ||||||||
400 | Tsumura & Co | 11,359 | ||||||||
18,900 | Ushio Inc | 233,717 | ||||||||
3,200 | YAMABIKO Corp | 32,584 | ||||||||
3,200 | Yamaha Motor Co Ltd | 50,244 | ||||||||
2,800 | Yamazen Corp | 26,364 | ||||||||
3,100 | Yellow Hat Ltd | 51,073 | ||||||||
38,800 | Yokogawa Electric Corp | 633,821 | ||||||||
900 | Yuasa Trading Co Ltd | 26,154 | ||||||||
14,500 | Zenkoku Hosho Co Ltd | 513,072 | ||||||||
|
| |||||||||
Total Japan | 30,253,316 | |||||||||
|
| |||||||||
Malaysia — 0.0% | ||||||||||
17,200 | Top Glove Corp Berhad | 108,636 | ||||||||
|
| |||||||||
Malta — 0.0% | ||||||||||
125,500 | BGP Holdings Plc (a) | — | ||||||||
|
| |||||||||
Mexico — 0.1% | ||||||||||
337,400 | Grupo Mexico SAB de CV Series B | 900,473 | ||||||||
3,100 | El Puerto de Liverpool SAB de CV – Class C1 | 8,166 | ||||||||
|
| |||||||||
Total Mexico | 908,639 | |||||||||
|
| |||||||||
Netherlands — 0.7% | ||||||||||
11,227 | ABN AMRO Bank NV CVA * | 106,631 | ||||||||
656 | Adyen NV * | 1,105,788 | ||||||||
204 | ASM International NV | 30,628 | ||||||||
15,230 | ASR Nederland NV | 526,544 | ||||||||
991 | Heineken Holding NV | 81,086 | ||||||||
66 | Hunter Douglas NV | 3,550 | ||||||||
1,190 | Koninklijke Ahold Delhaize NV | 35,802 | ||||||||
1,945 | Koninklijke Vopak NV | 106,792 | ||||||||
14,511 | Randstad NV | 755,202 | ||||||||
42,614 | Signify NV | 1,421,497 | ||||||||
8,980 | Wolters Kluwer NV | 736,657 | ||||||||
|
| |||||||||
Total Netherlands | 4,910,177 | |||||||||
|
| |||||||||
Norway — 0.3% | ||||||||||
6,365 | Austevoll Seafood ASA | 58,701 | ||||||||
46,695 | BW LPG Ltd | 217,849 | ||||||||
95,337 | Elkem ASA | 196,636 | ||||||||
18,853 | Europris ASA | 94,897 | ||||||||
11,301 | Gjensidige Forsikring ASA | 240,575 |
86 | See accompanying notes to the financial statements. |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Norway — continued | ||||||||||
2,895 | Kongsberg Gruppen ASA | 43,011 | ||||||||
15,100 | Norwegian Finans Holding ASA * | 114,420 | ||||||||
28,207 | Orkla ASA | 286,908 | ||||||||
329 | Salmar ASA * | 17,799 | ||||||||
1,557 | Selvaag Bolig ASA | 9,476 | ||||||||
2,664 | SpareBank 1 Nord Norge | 20,513 | ||||||||
415 | Sparebank 1 Oestlandet | 4,221 | ||||||||
4,533 | SpareBank 1 SMN | 45,041 | ||||||||
19,667 | SpareBank 1 SR-Bank ASA * | 176,647 | ||||||||
9,746 | Yara International ASA | 408,322 | ||||||||
|
| |||||||||
Total Norway | 1,935,016 | |||||||||
|
| |||||||||
Philippines — 0.0% | ||||||||||
350 | Globe Telecom Inc | 15,059 | ||||||||
|
| |||||||||
Poland — 0.0% | ||||||||||
8,498 | PLAY Communications SA | 70,428 | ||||||||
19,556 | Polskie Gornictwo Naftowe i Gazownictwo SA | 27,190 | ||||||||
|
| |||||||||
Total Poland | 97,618 | |||||||||
|
| |||||||||
Portugal — 0.4% | ||||||||||
43,398 | Altri SGPS SA | 217,690 | ||||||||
1,956,817 | Banco Comercial Portugues SA – Class R * | 231,588 | ||||||||
1,661 | CTT-Correios de Portugal SA * | 5,179 | ||||||||
2,594 | EDP Renovaveis SA | 44,373 | ||||||||
88,303 | EDP – Energias de Portugal SA | 448,894 | ||||||||
38,127 | Galp Energia SGPS SA | 409,414 | ||||||||
26,554 | Jeronimo Martins SGPS SA | 437,001 | ||||||||
33,194 | Mota-Engil SGPS SA * | 62,592 | ||||||||
55,760 | Navigator Co SA (The) | 147,427 | ||||||||
90,609 | NOS SGPS SA | 366,983 | ||||||||
43,649 | REN – Redes Energeticas Nacionais SGPS SA | 127,077 | ||||||||
1,298 | Semapa-Sociedade de Investimento e Gestao | 11,862 | ||||||||
211,728 | Sonae SGPS SA | 151,129 | ||||||||
|
| |||||||||
Total Portugal | 2,661,209 | |||||||||
|
| |||||||||
Russia — 0.4% | ||||||||||
1,707,000 | Inter RAO UES PJSC | 120,245 | ||||||||
6,963 | LUKOIL PJSC | 467,663 | ||||||||
12,094 | LUKOIL PJSC Sponsored ADR | 827,497 | ||||||||
5,070 | Novatek PJSC Sponsered GDR (Registered) | 756,865 | ||||||||
4,799 | Novolipetsk Steel PJSC GDR | 100,009 | ||||||||
4,656,000 | ROSSETI PJSC | 91,582 | ||||||||
14,700 | Surgutneftegas PJSC | 7,270 | ||||||||
|
| |||||||||
Total Russia | 2,371,131 | |||||||||
|
| |||||||||
Singapore — 0.4% | ||||||||||
25,200 | Accordia Golf Trust | 13,414 | ||||||||
44,200 | Ascendas Real Estate Investment Trust | 107,688 | ||||||||
34,500 | CapitaLand Commercial Trust (REIT) | 42,537 |
Shares | Description | Value ($) | ||||||||
Singapore — continued | ||||||||||
23,500 | City Developments Ltd | 138,477 | ||||||||
122,100 | ComfortDelGro Corp Ltd | 132,527 | ||||||||
17,000 | DBS Group Holdings Ltd | 260,524 | ||||||||
21,100 | First Real Estate Investment Trust | 7,666 | ||||||||
7,800 | Jardine Cycle & Carriage Ltd | 108,546 | ||||||||
26,700 | Keppel DC (REIT) | 57,054 | ||||||||
164,100 | Mapletree Industrial Trust (REIT) | 367,270 | ||||||||
39,200 | Mapletree Logistics Trust (REIT) | 59,561 | ||||||||
244,400 | Mapletree North Asia Commercial Trust (REIT) | 168,579 | ||||||||
42,400 | Silverlake Axis Ltd | 9,960 | ||||||||
15,300 | Singapore Exchange Ltd | 96,750 | ||||||||
77,100 | SPH (REIT) | 49,252 | ||||||||
68,000 | StarHub Ltd | 60,931 | ||||||||
20,600 | Venture Corp Ltd | 300,230 | ||||||||
33,000 | Wilmar International Ltd | 105,579 | ||||||||
671,800 | Yangzijiang Shipbuilding Holdings Ltd | 451,312 | ||||||||
58,400 | Yanlord Land Group Ltd | 51,875 | ||||||||
|
| |||||||||
Total Singapore | 2,589,732 | |||||||||
|
| |||||||||
South Africa — 0.0% | ||||||||||
36,838 | Absa Group Ltd | �� | 166,854 | |||||||
4,985 | Liberty Holdings Ltd | 17,793 | ||||||||
3,145 | Motus Holdings Ltd * | 5,096 | ||||||||
5,690 | Reunert Ltd | 10,302 | ||||||||
34,569 | Telkom SA SOC Ltd | 46,271 | ||||||||
|
| |||||||||
Total South Africa | 246,316 | |||||||||
|
| |||||||||
South Korea — 0.3% | ||||||||||
722 | DB HiTek Co Ltd | 21,600 | ||||||||
28,400 | Hana Financial Group Inc | 672,148 | ||||||||
733 | KB Financial Group Inc | 22,742 | ||||||||
20,599 | Kia Motors Corp | 732,630 | ||||||||
1,558 | Shinhan Financial Group Co Ltd | 38,777 | ||||||||
990 | SK Hynix Inc | 62,564 | ||||||||
368 | SK Telecom Co Ltd | 76,729 | ||||||||
24,700 | SK Telecom Co Ltd Sponsored ADR | 567,359 | ||||||||
1,202 | Yuhan Corp | 67,726 | ||||||||
|
| |||||||||
Total South Korea | 2,262,275 | |||||||||
|
| |||||||||
Spain — 0.8% | ||||||||||
21,616 | Acerinox SA * | 175,523 | ||||||||
10,944 | ACS Actividades de Construccion y Servicios SA | 267,800 | ||||||||
22,346 | Almirall SA * | 245,825 | ||||||||
13,170 | Amadeus IT Group SA | 739,854 | ||||||||
20,413 | Cia de Distribucion Integral Logista Holdings SA | 361,955 | ||||||||
1,589 | Ebro Foods SA | 39,009 | ||||||||
2,369 | eDreams ODIGEO SA * | 6,408 | ||||||||
965 | Enagas SA | 23,631 |
See accompanying notes to the financial statements. | 87 |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Spain — continued | ||||||||||
34,365 | Endesa SA | 953,963 | ||||||||
13,977 | Faes Farma SA | 55,345 | ||||||||
36,357 | Iberdrola SA | 458,712 | ||||||||
27,806 | Industria de Diseno Textil SA | 781,827 | ||||||||
40,863 | Mediaset Espana Comunicacion SA * | 135,778 | ||||||||
33,726 | Red Electrica Corp SA | 645,453 | ||||||||
123,203 | Unicaja Banco SA * | 88,606 | ||||||||
8,734 | Viscofan SA | 646,187 | ||||||||
|
| |||||||||
Total Spain | 5,625,876 | |||||||||
|
| |||||||||
Sweden — 0.2% | ||||||||||
2,305 | AcadeMedia AB | 19,394 | ||||||||
4,348 | Betsson AB * | 36,400 | ||||||||
10,577 | Bilia AB – Class A * | 125,617 | ||||||||
5,334 | Granges AB * | 47,502 | ||||||||
1,741 | Humana AB * | 12,231 | ||||||||
11,030 | Inwido AB * | 109,841 | ||||||||
990 | Lindab International AB | 15,957 | ||||||||
7,667 | Nobia AB * | 49,527 | ||||||||
532 | Nyfosa AB * | 3,846 | ||||||||
30,082 | Skanska AB – B Shares * | 611,802 | ||||||||
1,448 | SKF AB – B Shares | 28,962 | ||||||||
|
| |||||||||
Total Sweden | 1,061,079 | |||||||||
|
| |||||||||
Switzerland — 0.1% | ||||||||||
2,053 | Galenica AG | 147,414 | ||||||||
298 | Partners Group Holding AG | 303,575 | ||||||||
30 | Roche Holding AG | 10,524 | ||||||||
|
| |||||||||
Total Switzerland | 461,513 | |||||||||
|
| |||||||||
Taiwan — 0.2% | ||||||||||
3,000 | Asustek Computer Inc | 24,845 | ||||||||
122,000 | Hon Hai Precision Industry Co Ltd | 319,968 | ||||||||
12,000 | Inventec Corp | 9,289 | ||||||||
2,000 | Radiant Opto-Electronics Corp | 7,344 | ||||||||
23,000 | Chicony Electronics Co Ltd | 69,384 | ||||||||
47,000 | Novatek Microelectronics Corp | 384,536 | ||||||||
375,000 | Pou Chen Corp | 354,305 | ||||||||
|
| |||||||||
Total Taiwan | 1,169,671 | |||||||||
|
| |||||||||
Turkey — 0.0% | ||||||||||
20,733 | Turkiye Vakiflar Bankasi TAO – Class D * | 11,505 | ||||||||
|
| |||||||||
United Kingdom — 2.2% | ||||||||||
65,066 | 3i Group Plc | 799,564 | ||||||||
13,929 | Aggreko Plc | 87,733 | ||||||||
35,218 | Anglo American Plc | 865,472 | ||||||||
2,293 | AVEVA Group Plc | 154,903 | ||||||||
3,420 | Bank of Georgia Group Plc * | 42,426 | ||||||||
104,997 | Barratt Developments Plc | 733,204 |
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
8,249 | Bellway Plc | 262,052 | ||||||||
17,845 | Berkeley Group Holdings Plc (The) | 1,078,435 | ||||||||
4,639 | British American Tobacco Plc | 156,358 | ||||||||
13,400 | British American Tobacco Plc Sponsored ADR | 452,518 | ||||||||
167,643 | Centamin Plc | 470,938 | ||||||||
8,037 | CMC Markets Plc | 34,453 | ||||||||
63,184 | Compass Group Plc | 1,022,440 | ||||||||
7,001 | Computacenter Plc | 190,335 | ||||||||
2,268 | Daily Mail & General Trust Plc – Class A | 19,664 | ||||||||
38,085 | Dixons Carphone Plc | 47,115 | ||||||||
7,106 | Dunelm Group Plc | 135,183 | ||||||||
3,209 | Electrocomponents Plc | 29,031 | ||||||||
1,271 | EMIS Group Plc | 17,392 | ||||||||
5,369 | Ferguson Plc | 526,513 | ||||||||
138,388 | Ferrexpo Plc | 340,067 | ||||||||
26,408 | Frasers Group Plc * | 122,897 | ||||||||
359 | Galliford Try Holdings Plc | 406 | ||||||||
4,421 | Gem Diamonds Ltd * | 1,830 | ||||||||
4,488 | Go-Ahead Group Plc (The) | 39,261 | ||||||||
1,918 | Grafton Group Plc | 19,792 | ||||||||
32,106 | IG Group Holdings Plc | 334,341 | ||||||||
4,837 | IMI Plc | 67,303 | ||||||||
23,422 | Inchcape Plc * | 157,781 | ||||||||
29,866 | Indivior Plc * | 47,394 | ||||||||
33,484 | International Consolidated Airlines Group SA | 89,725 | ||||||||
7,674 | International Personal Finance Plc | 7,017 | ||||||||
75,663 | J Sainsbury Plc | 185,912 | ||||||||
5,702 | JD Sports Fashion Plc | 54,873 | ||||||||
1,128 | Johnson Matthey Plc | 35,576 | ||||||||
58,548 | Kingfisher Plc | 212,914 | ||||||||
12,214 | Lookers Plc (b) | 3,429 | ||||||||
16,888 | Meggitt Plc | 65,037 | ||||||||
4,410 | Micro Focus International Plc * | 17,496 | ||||||||
12,455 | Mitchells & Butlers Plc * | 28,632 | ||||||||
1,399 | Mondi Plc | 27,527 | ||||||||
16,910 | Morgan Advanced Materials Plc | 52,408 | ||||||||
4,384 | Morgan Sindall Group Plc | 73,784 | ||||||||
24,289 | National Express Group Plc | 41,161 | ||||||||
4,545 | Numis Corp Plc | 17,685 | ||||||||
19,750 | OneSavings Bank Plc | 80,383 | ||||||||
16,757 | Paragon Banking Group Plc | 79,577 | ||||||||
25,522 | Pennon Group Plc | 340,999 | ||||||||
77,049 | Persimmon Plc | 2,677,317 | ||||||||
53,309 | Pets at Home Group Plc | 207,888 | ||||||||
21,902 | Phoenix Group Holdings Plc | 202,551 | ||||||||
9,878 | Playtech Plc | 48,689 | ||||||||
25,364 | Plus500 Ltd | 493,608 | ||||||||
49,124 | Premier Foods Plc * | 55,181 | ||||||||
110,718 | QinetiQ Group Plc | 428,463 | ||||||||
9,678 | Redde Northgate Plc | 24,318 | ||||||||
5,493 | Savills Plc | 59,856 |
88 | See accompanying notes to the financial statements. |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
35,698 | Sirius Real Estate Ltd | 35,705 | ||||||||
7,393 | Smiths Group Plc | 137,218 | ||||||||
5,939 | Softcat Plc | 109,990 | ||||||||
32,470 | Spirent Communications Plc | 127,567 | ||||||||
7,940 | Stock Spirits Group Plc | 22,984 | ||||||||
54,317 | Tate & Lyle Plc | 492,487 | ||||||||
34,222 | Taylor Wimpey Plc | 55,329 | ||||||||
2,007 | Ultra Electronics Holdings Plc | 61,844 | ||||||||
4,575 | Vesuvius Plc | 24,609 | ||||||||
18,221 | WM Morrison Supermarkets Plc | 46,627 | ||||||||
1,364 | WPP Plc | 11,553 | ||||||||
|
| |||||||||
Total United Kingdom | 14,994,720 | |||||||||
|
| |||||||||
United States — 7.8% | ||||||||||
4,000 | AbbVie, Inc. | 383,080 | ||||||||
29,200 | ACCO Brands Corp. | 189,216 | ||||||||
3,000 | Activision Blizzard, Inc. | 250,560 | ||||||||
9,700 | Acushnet Holdings Corp. (c) | 342,313 | ||||||||
1,200 | Adtalem Global Education, Inc. * (c) | 39,840 | ||||||||
300 | AGCO Corp. | 21,330 | ||||||||
700 | Alexion Pharmaceuticals, Inc. * | 79,954 | ||||||||
800 | Allstate Corp. (The) | 74,400 | ||||||||
13,147 | American Express Co. (c) | 1,335,604 | ||||||||
7,400 | Ameriprise Financial, Inc. (d) | 1,160,320 | ||||||||
1,300 | AmerisourceBergen Corp. | 126,139 | ||||||||
4,500 | Amgen, Inc. (c) | 1,139,940 | ||||||||
5,600 | Apple, Inc. (c) | 722,624 | ||||||||
10,140 | Applied Materials, Inc. | 624,624 | ||||||||
800 | Atkore International Group, Inc. * | 21,384 | ||||||||
1,700 | AutoNation, Inc. * (c) | 96,662 | ||||||||
1,200 | BellRing Brands, Inc. – Class A * | 23,328 | ||||||||
12,100 | Best Buy Co., Inc. | 1,342,011 | ||||||||
700 | Big Lots, Inc. | 33,005 | ||||||||
100 | Bio-Rad Laboratories, Inc. – Class A * | 50,859 | ||||||||
400 | Booking Holdings, Inc. * (c) | 764,180 | ||||||||
25,400 | BorgWarner, Inc. (c) | 1,030,986 | ||||||||
2,900 | Brady Corp. – Class A | 135,981 | ||||||||
1,300 | Brinker International, Inc. | 58,552 | ||||||||
1,200 | Bristol-Myers Squibb Co. | 74,640 | ||||||||
3,300 | Broadmark Realty Capital, Inc. (REIT) | 32,340 | ||||||||
2,400 | Bruker Corp. | 100,848 | ||||||||
4,800 | Builders FirstSource, Inc. * | 146,976 | ||||||||
11,100 | Cadence Design Systems, Inc. * (d) | 1,231,101 | ||||||||
1,000 | Campbell Soup Co. | 52,610 | ||||||||
1,400 | Carrier Global Corp. | 41,790 | ||||||||
1,900 | CBIZ, Inc. * | 46,208 | ||||||||
500 | Cerence, Inc. * | 26,600 | ||||||||
19,073 | Charles Schwab Corp. (The) | 677,664 | ||||||||
26,319 | Cheesecake Factory, Inc. (The) (c) | 777,200 | ||||||||
8,400 | Chevron Corp. (c) (d) | 705,012 | ||||||||
2,500 | Church & Dwight Co., Inc. | 239,575 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
200 | Cimpress Plc * (c) | 18,540 | ||||||||
800 | Clorox Co. (The) | 178,800 | ||||||||
4,300 | Columbia Sportswear Co. (c) | 367,951 | ||||||||
600 | Core-Mark Holding Co., Inc. | 20,052 | ||||||||
16,200 | CoreCivic, Inc. (REIT) | 150,822 | ||||||||
700 | CoreLogic Inc/United States | 46,480 | ||||||||
59,475 | Corteva, Inc. (d) | 1,698,011 | ||||||||
1,300 | CSG Systems International, Inc. (c) | 55,341 | ||||||||
3,700 | Curo Group Holdings Corp. | 28,490 | ||||||||
42,000 | Dana, Inc. | 585,900 | ||||||||
1,400 | Dick’s Sporting Goods, Inc. (c) | 75,768 | ||||||||
700 | DISH Network Corp. – Class A * | 24,864 | ||||||||
700 | DR Horton, Inc. (c) | 49,959 | ||||||||
300 | Eastman Chemical Co. | 21,933 | ||||||||
20,100 | eBay, Inc. | 1,101,078 | ||||||||
7,100 | Electronic Arts, Inc. * (d) | 990,237 | ||||||||
6,900 | Eli Lilly & Co. (d) | 1,023,891 | ||||||||
9,300 | Enova International, Inc. * | 158,844 | ||||||||
8,600 | Envista Holdings Corp. * (c) | 206,314 | ||||||||
18,957 | EOG Resources, Inc. | 859,510 | ||||||||
2,600 | Estee Lauder Cos, Inc. (The) – Class A (d) | 576,472 | ||||||||
700 | Exterran Corp. * | 3,220 | ||||||||
300 | Federal Agricultural Mortgage Corp. – Class C | 20,445 | ||||||||
2,100 | Federal Signal Corp. | 67,452 | ||||||||
1,000 | First American Financial Corp. | 52,570 | ||||||||
7,100 | Fox Corp. – Class A | 197,806 | ||||||||
2,800 | Fox Corp. – Class B * | 77,840 | ||||||||
3,600 | Garmin Ltd. | 372,996 | ||||||||
200 | General Dynamics Corp. | 29,870 | ||||||||
1,900 | General Mills, Inc. | 121,505 | ||||||||
2,200 | GEO Group, Inc. (REIT) | 24,552 | ||||||||
13,700 | Gilead Sciences, Inc. (d) | 914,475 | ||||||||
200 | Graham Holdings Co. – Class B (d) | 85,590 | ||||||||
2,100 | Group 1 Automotive, Inc. (c) | 181,524 | ||||||||
7,700 | H&R Block, Inc. | 111,650 | ||||||||
8,200 | Hasbro, Inc. (c) | 647,308 | ||||||||
2,200 | Heidrick & Struggles International, Inc. | 47,586 | ||||||||
17,800 | Herman Miller, Inc. (d) | 424,174 | ||||||||
3,600 | Hershey Co. (The) (c) | 535,104 | ||||||||
16,900 | Hewlett Packard Enterprise Co. | 163,423 | ||||||||
7,701 | Hilton Worldwide Holdings, Inc. | 695,862 | ||||||||
200 | Hologic, Inc. * | 11,944 | ||||||||
3,951 | Honeywell International, Inc. | 654,088 | ||||||||
43,000 | HP, Inc. (d) | 840,650 | ||||||||
6,900 | Huntsman Corp. (c) | 149,178 | ||||||||
4,200 | Illinois Tool Works, Inc. (c) | 829,710 | ||||||||
200 | Innospec, Inc. | 14,938 | ||||||||
2,900 | Insight Enterprises, Inc. * (c) | 173,435 | ||||||||
23,100 | Intel Corp. (d) | 1,176,945 | ||||||||
700 | Inter Parfums, Inc. | 31,269 | ||||||||
14,200 | Interpublic Group of Cos., Inc. (The) | 252,192 |
See accompanying notes to the financial statements. | 89 |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
2,700 | Intuit, Inc. (d) | 932,553 | ||||||||
300 | Johnson Outdoors, Inc. – Class A | 25,713 | ||||||||
41,900 | Juniper Networks, Inc. (c) | 1,047,500 | ||||||||
1,900 | Kimberly-Clark Corp. (c) | 299,744 | ||||||||
700 | Kontoor Brands, Inc. * (c) | 15,470 | ||||||||
14,700 | Kroger Co. (The) (c) | 524,496 | ||||||||
4,900 | La-Z-Boy, Inc. | 159,250 | ||||||||
13,595 | Las Vegas Sands Corp. | 689,402 | ||||||||
1,600 | Laureate Education, Inc. – Class A * | 20,032 | ||||||||
400 | Lockheed Martin Corp. | 156,104 | ||||||||
24,500 | Lyft, Inc. – Class A * (d) | 726,915 | ||||||||
676 | Markel Corp. * (c) | 734,697 | ||||||||
1,600 | Materion Corp. | 87,344 | ||||||||
1,500 | McKesson Corp. | 230,160 | ||||||||
1,100 | MDC Holdings, Inc. | 47,718 | ||||||||
8,700 | Medtronic Plc | 934,989 | ||||||||
6,200 | Merck & Co., Inc. (d) | 528,674 | ||||||||
2,100 | Meritor, Inc. * | 47,796 | ||||||||
13,280 | Micron Technology, Inc. * (d) | 604,373 | ||||||||
1,300 | Microsoft Corp. | 293,189 | ||||||||
13,600 | Modine Manufacturing Co. * (c) | 92,072 | ||||||||
3,800 | Moog, Inc. – Class A | 229,102 | ||||||||
2,600 | Motorola Solutions, Inc. (c) | 402,350 | ||||||||
4,900 | Movado Group, Inc. | 53,459 | ||||||||
2,600 | Mylan NV * | 42,588 | ||||||||
300 | NetApp, Inc. | 14,217 | ||||||||
1,900 | Newmark Group, Inc. – Class A | 8,417 | ||||||||
3,100 | NortonLifeLock, Inc. | 72,912 | ||||||||
1,300 | OneMain Holdings, Inc. | 37,804 | ||||||||
3,200 | Oracle Corp. (c) | 183,104 | ||||||||
900 | Oshkosh Corp. | 69,309 | ||||||||
1,350 | Otis Worldwide Corp. | 84,915 | ||||||||
100 | Parker-Hannifin Corp. | 20,601 | ||||||||
2,600 | Parsons Corp. * | 86,476 | ||||||||
6,700 | PepsiCo, Inc. (d) | 938,402 | ||||||||
12,000 | Perdoceo Education Corp. * | 172,440 | ||||||||
20,500 | Pfizer, Inc. (c) (d) | 774,695 | ||||||||
14,500 | Phillips 66 (d) | 847,815 | ||||||||
2,200 | Polaris, Inc. | 222,288 | ||||||||
2,500 | Progress Software Corp. | 94,725 | ||||||||
1,700 | PulteGroup, Inc. | 75,803 | ||||||||
17,500 | Qurate Retail, Inc. – Series A * | 193,375 | ||||||||
14,145 | Raytheon Technologies Corp. | 862,845 | ||||||||
800 | Regional Management Corp. * | 14,632 | ||||||||
900 | Reliance Steel & Aluminum Co. | 94,383 | ||||||||
900 | Scholastic Corp. | 20,250 | ||||||||
1,500 | Schweitzer-Mauduit International, Inc. (c) | 45,495 | ||||||||
1,200 | Seagate Technology Plc (c) | 57,588 | ||||||||
24,066 | Sensata Technologies Holding Plc * | 1,002,108 | ||||||||
800 | Silgan Holdings, Inc. | 30,448 | ||||||||
1,800 | Skechers U.S.A., Inc. – Class A * | 53,730 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
1,900 | SolarWinds Corp. * | 39,957 | ||||||||
6,000 | Sonic Automotive, Inc. – Class A (c) | 253,560 | ||||||||
600 | SPX Corp. * | 25,098 | ||||||||
1,300 | Steelcase, Inc. – Class A | 13,585 | ||||||||
500 | STERIS Plc | 79,820 | ||||||||
8,200 | Stoneridge, Inc. * | 165,640 | ||||||||
900 | Sykes Enterprises, Inc. * | 29,795 | ||||||||
6,100 | Synopsys, Inc. * (d) | 1,349,930 | ||||||||
500 | TE Connectivity Ltd. | 48,300 | ||||||||
500 | Teledyne Technologies, Inc. * | 156,805 | ||||||||
5,100 | Telephone & Data Systems, Inc. | 117,963 | ||||||||
3,300 | Textron, Inc. | 130,119 | ||||||||
12,100 | Timken Co. (The) (d) | 655,699 | ||||||||
2,627 | Triple-S Management Corp. – Class B * | 48,862 | ||||||||
1,400 | Tyson Foods, Inc.– Class A | 87,920 | ||||||||
1,500 | UFP Industries, Inc. | 89,025 | ||||||||
3,100 | Universal Corp. | 134,571 | ||||||||
28,660 | US Bancorp | 1,043,224 | ||||||||
10,047 | Verso Corp. – Class A | 131,716 | ||||||||
12,748 | VF Corp. (c) | 838,181 | ||||||||
11,700 | Vishay Intertechnology, Inc. | 187,083 | ||||||||
25,224 | Wells Fargo & Co. | 609,160 | ||||||||
700 | West Pharmaceutical Services, Inc. | 198,772 | ||||||||
300 | Williams-Sonoma, Inc. (c) | 26,328 | ||||||||
8,700 | World Fuel Services Corp. | 229,680 | ||||||||
1,200 | WW International, Inc. * | 28,176 | ||||||||
17,600 | Xenia Hotels & Resorts, Inc. (REIT) (d) | 158,048 | ||||||||
9,100 | Zynga Inc. – Class A * | 82,446 | ||||||||
|
| |||||||||
Total United States | 53,311,944 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $143,381,618) | 149,536,962 | |||||||||
|
| |||||||||
PREFERRED STOCKS(e)— 0.2% | ||||||||||
Brazil — 0.1% | ||||||||||
101,132 | Bradespar SA | 812,046 | ||||||||
|
| |||||||||
Germany — 0.0% | ||||||||||
1,729 | Draegerwerk AG & Co KGaA | 146,612 | ||||||||
446 | Villeroy & Boch AG | 6,103 | ||||||||
|
| |||||||||
Total Germany | 152,715 | |||||||||
|
| |||||||||
Russia — 0.1% | ||||||||||
411,900 | Surgutneftegas PJSC | 206,466 | ||||||||
|
| |||||||||
Total Russia | 206,466 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $1,055,551) | 1,171,227 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.0% | ||||||||||
Italy — 0.0% | ||||||||||
3,839 | Ascopiave SPA, Expires 09/30/20 * | — | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $—) | — | |||||||||
|
|
90 | See accompanying notes to the financial statements. |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Par Value† / Shares | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 4.8% | ||||||||||
United States — 4.8% | ||||||||||
U.S. Government — 4.8% | ||||||||||
5,397,038 | U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (f) | 5,996,720 | ||||||||
868,345 | U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (f) | 982,638 | ||||||||
3,272,704 | U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (d) (f) | 4,018,523 | ||||||||
1,205,498 | U.S. Treasury Inflation Indexed Bond, 0.75%, due 07/15/28 (f) | 1,402,216 | ||||||||
1,956,855 | U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29 (f) | 2,300,986 | ||||||||
9,913,894 | U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (d) (f) | 13,080,919 | ||||||||
2,404,368 | U.S. Treasury Inflation Indexed Bond, 0.13%, due 01/15/30 (f) | 2,686,881 | ||||||||
2,111,151 | U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/30 (f) | 2,378,632 | ||||||||
|
| |||||||||
Total U.S. Government | 32,847,515 | |||||||||
|
| |||||||||
Total United States | 32,847,515 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $29,235,015) | 32,847,515 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 74.7% | ||||||||||
United States — 74.7% | ||||||||||
Affiliated Issuers — 74.7% | ||||||||||
995,450 | GMO Emerging Country Debt Fund, Class IV | 26,717,878 | ||||||||
5,026,673 | GMO Emerging Markets Fund, Class VI | 160,551,948 | ||||||||
6,391,651 | GMO International Equity Fund, Class IV | 133,265,924 | ||||||||
2,311,477 | GMO Multi-Sector Fixed Income Fund (formerly GMO Core Plus Bond Fund), Class IV | 51,384,127 | ||||||||
716,723 | GMO Opportunistic Income Fund, Class VI | 18,555,948 | ||||||||
1,551,736 | GMO Quality Fund, Class VI | 39,910,641 | ||||||||
1,954,646 | GMO U.S. Equity Fund, Class VI | 24,511,257 | ||||||||
2,747,707 | GMO U.S. Small Cap Value Fund, Class VI | 49,238,918 | ||||||||
1,706,579 | GMO U.S. Treasury Fund | 8,601,158 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $504,932,119) | 512,737,799 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.6% | ||||||||||
Money Market Funds — 0.6% | ||||||||||
4,096,581 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (g) | 4,096,581 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $4,096,581) | 4,096,581 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 102.1% (Cost $682,700,884) | 700,390,084 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
SECURITIES SOLD SHORT — (1.8)% | ||||||||||
Common Stocks — (1.8)% | ||||||||||
Austria — (0.0)% | ||||||||||
(564 | ) | OMV AG * | (18,257 | ) | ||||||
(1,334 | ) | Schoeller-Bleckmann Oilfield Equipment AG | (39,804 | ) | ||||||
|
| |||||||||
Total Austria | (58,061 | ) | ||||||||
|
| |||||||||
Brazil — (0.0)% | ||||||||||
(2,800 | ) | Pagseguro Digital Ltd – Class A * | (117,992 | ) | ||||||
|
| |||||||||
Canada — (0.0)% | ||||||||||
(9,200 | ) | AltaGas Ltd | (118,990 | ) | ||||||
|
| |||||||||
Denmark — (0.3)% | ||||||||||
(171 | ) | AP Moller – Maersk A/S – Class A | (242,885 | ) | ||||||
(347 | ) | AP Moller – Maersk A/S – Class B | (531,695 | ) | ||||||
(5,685 | ) | Chr Hansen Holding A/S | (652,510 | ) | ||||||
(521 | ) | DFDS A/S * | (19,669 | ) | ||||||
(3,171 | ) | Jyske Bank A/S (Registered) * | (94,476 | ) | ||||||
(762 | ) | Topdanmark A/S | (32,821 | ) | ||||||
(1,478 | ) | Tryg A/S | (45,355 | ) | ||||||
|
| |||||||||
Total Denmark | (1,619,411 | ) | ||||||||
|
| |||||||||
Germany — (0.1)% | ||||||||||
(61,760 | ) | Deutsche Bank AG (Registered) * | (592,186 | ) | ||||||
(2,512 | ) | thyssenkrupp AG * | (18,093 | ) | ||||||
|
| |||||||||
Total Germany | (610,279 | ) | ||||||||
|
| |||||||||
Japan — (0.1)% | ||||||||||
(20 | ) | Advance Residence Investment Corp (REIT) | (59,280 | ) | ||||||
(31 | ) | Daiwa House REIT Investment Corp | (80,995 | ) | ||||||
(500 | ) | Japan Airport Terminal Co Ltd | (22,437 | ) | ||||||
(46 | ) | Japan Hotel REIT Investment Corp | (21,302 | ) | ||||||
(4,100 | ) | Japan Lifeline Co Ltd | (54,571 | ) | ||||||
(7 | ) | Japan Prime Realty Investment Corp (REIT) | (21,137 | ) | ||||||
(11 | ) | Japan Real Estate Investment Corp | (61,599 | ) | ||||||
(2,000 | ) | JGC Holding Corp | (22,037 | ) | ||||||
(300 | ) | JINS Holdings Inc | (20,699 | ) | ||||||
(3,800 | ) | Kawasaki Kisen Kaisha Ltd * | (42,280 | ) | ||||||
(1,100 | ) | Mitsui Mining & Smelting Co Ltd | (26,411 | ) | ||||||
(7,700 | ) | Mitsui OSK Lines Ltd | (142,269 | ) | ||||||
(11 | ) | Nippon Building Fund Inc (REIT) | (66,238 | ) | ||||||
(6,100 | ) | Nippon Yusen KK | (95,270 | ) | ||||||
(34 | ) | Nomura Real Estate Master Fund Inc (REIT) | (43,580 | ) | ||||||
(15,300 | ) | Orient Corp | (16,887 | ) | ||||||
(31 | ) | Orix JREIT Inc (REIT) | (46,055 | ) | ||||||
(39 | ) | Sekisui House Reit Inc | (27,533 | ) | ||||||
(19 | ) | United Urban Investment Corp (REIT) | (21,118 | ) | ||||||
|
| |||||||||
Total Japan | (891,698 | ) | ||||||||
|
|
See accompanying notes to the financial statements. | 91 |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Netherlands — (0.0)% | ||||||||||
(13,576 | ) | Altice Europe NV – Class B* | (59,836 | ) | ||||||
(3,052 | ) | OCI NV * | (41,367 | ) | ||||||
|
| |||||||||
Total Netherlands | (101,203 | ) | ||||||||
|
| |||||||||
Sweden — (0.0)% | ||||||||||
(1,722 | ) | Lundin Energy AB | (42,147 | ) | ||||||
|
| |||||||||
Switzerland — (0.0)% | ||||||||||
(1,559 | ) | Credit Suisse Group AG (Registered) | (17,154 | ) | ||||||
(2,314 | ) | Dufry AG (Registered) * | (70,071 | ) | ||||||
(266 | ) | Swiss Re AG | (21,415 | ) | ||||||
|
| |||||||||
Total Switzerland | (108,640 | ) | ||||||||
|
| |||||||||
United Kingdom — (0.0)% | ||||||||||
(43,481 | ) | Melrose Industries Plc | (58,015 | ) | ||||||
(7,100 | ) | Tronox Holdings Plc – Class A * | (63,616 | ) | ||||||
|
| |||||||||
Total United Kingdom | (121,631 | ) | ||||||||
|
| |||||||||
United States — (1.3)% | ||||||||||
(3,800 | ) | 2U, Inc. * | (157,282 | ) | ||||||
(21,800 | ) | Aerie Pharmaceuticals, Inc. * | (239,800 | ) | ||||||
(900 | ) | AnaptysBio, Inc. * | (15,597 | ) | ||||||
(17,700 | ) | Antero Midstream Corp. | (119,829 | ) | ||||||
(300 | ) | Axsome Therapeutics, Inc. * | (21,993 | ) | ||||||
(8,800 | ) | Beyond Meat, Inc. * | (1,195,480 | ) | ||||||
(600 | ) | Biohaven Pharmaceutical Holding Co Ltd * | (38,034 | ) | ||||||
(5,100 | ) | Cheniere Energy, Inc. * | (265,455 | ) | ||||||
(28,000 | ) | Cleveland-Cliffs, Inc. | (184,240 | ) | ||||||
(5,600 | ) | Diamondback Energy, Inc. | (218,176 | ) | ||||||
(28,200 | ) | EQT Corp. | (447,534 | ) | ||||||
(3,600 | ) | Eventbrite, Inc. – Class A * | (38,700 | ) | ||||||
(4,300 | ) | Heron Therapeutics, Inc. * | (61,490 | ) | ||||||
(5,300 | ) | Immunomedics, Inc. * | (236,168 | ) | ||||||
(600 | ) | Innovative Industrial Properties, Inc. (REIT) | (73,854 | ) | ||||||
(2,400 | ) | Intercept Pharmaceuticals, Inc. * | (119,712 | ) |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
(1,300 | ) | Intra-Cellular Therapies, Inc. * | (23,686 | ) | ||||||
(1,300 | ) | Invitae Corp. * | (45,448 | ) | ||||||
(4,200 | ) | Iovance Biotherapeutics, Inc. * | (139,986 | ) | ||||||
(1,400 | ) | Kratos Defense & Security Solutions, Inc. * | (27,370 | ) | ||||||
(100 | ) | Ligand Pharmaceuticals, Inc. * | (10,200 | ) | ||||||
(1,500 | ) | Madrigal Pharmaceuticals, Inc. * | (161,550 | ) | ||||||
(300 | ) | Match Group, Inc. * | (33,504 | ) | ||||||
(23,000 | ) | Mosaic Co. (The) | (419,290 | ) | ||||||
(9,400 | ) | National Oilwell Varco, Inc. | (112,800 | ) | ||||||
(15,100 | ) | Nektar Therapeutics * | (292,034 | ) | ||||||
(900 | ) | Novavax, Inc. * | (99,306 | ) | ||||||
(13,500 | ) | Peloton Interactive, Inc. – Class A * | (1,035,045 | ) | ||||||
(100 | ) | Schlumberger Ltd. | (1,901 | ) | ||||||
(3,700 | ) | Seritage Growth Properties – Class A (REIT) * | (51,911 | ) | ||||||
(19,900 | ) | Shake Shack, Inc. – Class A * | (1,358,174 | ) | ||||||
(156,200 | ) | Transocean Ltd * | (190,564 | ) | ||||||
(600 | ) | Trupanion, Inc. * | (37,638 | ) | ||||||
(8,400 | ) | United States Steel Corp. | (65,772 | ) | ||||||
(800 | ) | Veritex Holdings, Inc. | (14,384 | ) | ||||||
(2,500 | ) | Verra Mobility Corp. * | (26,413 | ) | ||||||
(800 | ) | Vir Biotechnology, Inc. * | (32,384 | ) | ||||||
(1,800 | ) | WillScot Mobile Mini Holdings Corp. * | (32,220 | ) | ||||||
(5,400 | ) | World Wrestling Entertainment, Inc.– Class A | (237,978 | ) | ||||||
(4,800 | ) | Wynn Resorts Ltd. | (419,760 | ) | ||||||
(7,500 | ) | Zogenix, Inc. * | (177,525 | ) | ||||||
|
| |||||||||
Total United States | (8,480,187 | ) | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (PROCEEDS $12,242,953) | (12,270,239 | ) | ||||||||
|
| |||||||||
TOTAL SECURITIES SOLD SHORT (PROCEEDS $12,242,953) | (12,270,239 | ) | ||||||||
Other Assets and Liabilities (net) — (0.3%) | (2,036,401 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $686,083,444 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2020 is as follows:
Forward Currency Contracts
Settlement Date | Counter- | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||||
09/23/2020 | DB | JPY | 1,029,579,500 | USD | 9,727,614 | 4,090 | ||||||||||||||||
10/19/2020 | BOA | JPY | 325,030,700 | USD | 3,058,828 | (11,834 | ) | |||||||||||||||
10/19/2020 | DB | JPY | 548,247,000 | USD | 5,171,562 | (7,891 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | (15,635 | ) | ||||||||||||||||||||
|
|
92 | See accompanying notes to the financial statements. |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2020 (Unaudited)
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Sales | ||||||||||||
334 | MSCI EAFE | September 2020 | 31,731,670 | (2,477,452 | ) | |||||||
136 | S&P 500 E-Mini | September 2020 | 23,792,520 | (3,098,174 | ) | |||||||
115 | TOPIX Index | September 2020 | 17,518,149 | (89,135 | ) | |||||||
|
|
|
| |||||||||
$ | 73,042,339 | $ | (5,664,761 | ) | ||||||||
|
|
|
|
+ | Buys – Fund is long the futures contract. |
Sales – Fund is short the futures contract. |
Reverse Repurchase Agreements
Average balance outstanding | $ | (4,560,000 | ) | |
Average interest rate (net) | (0.09 | )% | ||
Maximum balance outstanding | $ | (4,560,000 | ) |
Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements. Average interest rate was calculated based on interest received and/or paid during the period that the Fund had entered into the reverse repurchase agreements. The Fund had no reverse repurchase agreements at the end of the period.
Swap Contracts
OTC Total Return Swaps
Fund Pays | Fund Receives | Counterparty | Notional | Expiration Date | Periodic | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||
Total Return on Equity Basket (h) | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 136,873 | 03/18/2021 | Monthly | — | (1,378 | ) | (1,378 | ) | |||||||||||||||||
Total Return on Equity Basket (h) | 1 Month Federal Funds Rate minus 1.00% | MORD | USD | 639,866 | 06/20/2022 | Monthly | — | 89,927 | 89,927 | |||||||||||||||||||
Total Return on Equity Basket (h) | 1 Month Federal Funds Rate minus 1.75% | MORD | USD | 548,878 | 06/20/2022 | Monthly | — | (1,819 | ) | (1,819 | ) | |||||||||||||||||
Total Return on Equity Basket (h) | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 481,398 | 06/20/2022 | Monthly | — | (19,867 | ) | (19,867 | ) | |||||||||||||||||
Total Return on Equity Basket (h) | 1 Month Federal Funds Rate minus 1.06% | MORD | USD | 473,157 | 06/20/2022 | Monthly | — | 17,169 | 17,169 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | — | $ | 84,032 | $ | 84,032 | |||||||||||||||||||||||
|
|
|
|
|
|
As of August 31, 2020, 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.
See accompanying notes to the financial statements. | 93 |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2020 (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). |
(c) | All or a portion of this security is out on loan (Note 2). |
(d) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
(e) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
(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, 2020. |
(h) | Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets. |
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 95.
94 | See accompanying notes to the financial statements. |
GMO Trust Funds
August 31, 2020 (Unaudited)
144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.
ADR - American Depositary Receipt
AUD BBSW - Bank Bill Swap Reference Rate denominated in Australian Dollar.
CAD LIBOR - London Interbank Offered Rate denominated in Canadian Dollar.
CHF LIBOR - London Interbank Offered Rate denominated in Swiss Franc.
CLO - Collateralized Loan Obligation
CMT - Constant Maturity Treasury
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 Pound.
GDR - Global Depositary Receipt
JSC - Joint-Stock Company
LIBOR - London Interbank Offered Rate
NVDR - Non-Voting Depositary Receipt
NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.
OJSC - Open Joint-Stock Company
OTC - Over-the-Counter
PJSC - Private Joint-Stock Company
QPSC - Qatar Private Stock Company
QSC - Qatari Shareholding Company
Reg S - Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
REIT - Real Estate Investment Trust
SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona
SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose financial Company)
SOFR - Secured Overnight Financing Rate
USBM - U.S. Treasury 3 Month Bill Money Market Yield.
USD LIBOR - London Interbank Offered Rate denominated in United States Dollars
The rates shown on variable rate notes are the current interest rates at August 31,
2020, which are subject to change based on the terms of the security.
Counterparty Abbreviations:
BCLY - Barclays Bank PLC
BOA - Bank of America, N.A.
BONY - Bank Of New York
CITI - Citibank N.A.
CSI - Credit Suisse International
DB - Deutsche Bank AG
GS - Goldman Sachs International
JPM - JPMorgan Chase Bank, N.A.
MORD - Morgan Stanley Capital Services LLC
MSCI - Morgan Stanley & Co. International PLC
SSB - State Street Bank and Trust Company
UBS - UBS Securities LLC
Currency Abbreviations:
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
COP - Colombian Peso
CZK - Czech Koruna
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - South Korean Won
MXN - Mexican Peso
NOK - Norwegian Krone
NZD - New Zealand Dollar
PEN - Peruvian Sol
PHP - Philippine Peso
PLN - Polish Zloty
RON - Romanian Leu
RUB - Russian Ruble
SEK - Swedish Krona
SGD - Singapore Dollar
THB - Thai Baht
TRY - Turkish Lira
TWD - Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand
See accompanying notes to the financial statements. | 95 |
Statements of Assets and Liabilities — August 31, 2020 (Unaudited)
Consolidated | Benchmark-Free Allocation Fund | Benchmark- Free Fund | Global Asset Allocation Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | 50,952,080 | $ | 7,109,007,917 | $ | 522,413,159 | $ | 1,315,522,732 | ||||||||
Investments in unaffiliated issuers, at value (Note 2)(b)(c) | 380,824,445 | 4,347,848 | 1,692,563,949 | 3,409,139 | ||||||||||||
Foreign currency, at value (Note 2)(d) | — | — | 542,152 | — | ||||||||||||
Cash | 3,825,072 | — | 14,177 | 350 | ||||||||||||
Receivable for investments sold | 2,776,440 | 28,293,000 | 124,032,199 | — | ||||||||||||
Receivable for Fund shares sold | 1,043,512 | 57,333 | 755,680 | — | ||||||||||||
Receivable for closed swap contracts (Note 4) | 29,851 | — | 14,006 | — | ||||||||||||
Dividends and interest receivable | 517,507 | 234 | 4,650,385 | 1,510 | ||||||||||||
Dividend withholding tax receivable | — | — | 381,702 | — | ||||||||||||
Foreign capital gains tax refund receivable (Note 2) | — | — | 109,924 | — | ||||||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | 7,110,880 | — | 2,331,146 | — | ||||||||||||
Due from broker (Note 2) | 4,551,848 | — | 2,513,489 | 8,113,600 | ||||||||||||
Receivable for variation margin on open futures contracts (Note 4) | 46,984 | — | 5,340,189 | 1,470,630 | ||||||||||||
Receivable for open OTC swap contracts (Note 4) | 717,966 | — | 692,511 | — | ||||||||||||
Interest receivable for open OTC swap contracts (Note 4) | 47,071 | — | — | — | ||||||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 60,912 | 649,595 | 111,042 | 27,966 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 452,504,568 | 7,142,355,927 | 2,356,465,710 | 1,328,545,927 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Foreign currency due to custodian(d) | 43,379 | — | — | — | ||||||||||||
Investments sold short, at value (Note 2)(e) | 79,192,858 | — | 29,901,054 | — | ||||||||||||
Payable for cash collateral from securities loaned (Note 2) | — | — | 5,372,023 | — | ||||||||||||
Payable for investments purchased | 913,908 | — | 8,297,657 | 1,410 | ||||||||||||
Payable for Fund shares repurchased | 11,017 | 28,070,548 | 170,880,738 | 254,591 | ||||||||||||
Payable to affiliate for (Note 5): |
| |||||||||||||||
Management fee | 219,081 | 4,005,803 | — | — | ||||||||||||
Supplemental support fee – Class MF | — | 177,739 | — | — | ||||||||||||
Shareholder service fee | 42,129 | 573,200 | — | — | ||||||||||||
Payable to agents unaffiliated with GMO | 99 | 2,359 | 740 | 400 | ||||||||||||
Payable for variation margin on open futures contracts (Note 4) | 635,246 | — | 522,567 | — | ||||||||||||
Payable for variation margin on open cleared swap contracts (Note 4) | 402,137 | — | 172,561 | — | ||||||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | 6,764,374 | — | 16,689,011 | — | ||||||||||||
Interest payable for open OTC swap contracts (Note 4) | 22,594 | — | — | — | ||||||||||||
Interest and dividend payable for short sales | 136,434 | — | 22,679 | — | ||||||||||||
Payable for open OTC swap contracts (Note 4) | 13,457 | — | 125,919 | — | ||||||||||||
Payable to Trustees and related expenses | 195 | 33,637 | 8,107 | 6,292 | ||||||||||||
Written options outstanding, at value (Note 4)(f) | 507,364 | — | — | — | ||||||||||||
Accrued expenses | 171,985 | 266,676 | 552,033 | 88,083 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 89,076,257 | 33,129,962 | 232,545,089 | 350,776 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 363,428,311 | $ | 7,109,225,965 | $ | 2,123,920,621 | $ | 1,328,195,151 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments – affiliated issuers: | $ | 48,891,548 | $ | 7,557,410,712 | $ | 479,120,269 | $ | 1,338,720,305 | ||||||||
(b) Cost of investments – unaffiliated issuers: | $ | 373,092,620 | $ | 4,347,848 | $ | 1,681,948,475 | $ | 3,411,726 | ||||||||
(c) Includes securities on loan at value (Note 2): | $ | 5,208,531 | $ | — | $ | 37,062,160 | $ | — | ||||||||
(d) Cost of foreign currency: | $ | — | $ | — | $ | 538,659 | $ | — | ||||||||
(e) Proceeds from securities sold short: | $ | 73,938,480 | $ | — | $ | 27,065,974 | $ | — | ||||||||
(f) Premiums on written options: | $ | 785,158 | $ | — | $ | — | $ | — |
96 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2020 (Unaudited) — (Continued)
Consolidated | Benchmark-Free Allocation Fund | Benchmark- Free Fund | Global Asset Allocation Fund | |||||||||||||
Net assets consist of: | ||||||||||||||||
Paid-in capital | $ | 373,463,176 | $ | 7,755,170,340 | $ | 2,479,246,611 | $ | 1,575,115,128 | ||||||||
Distributable earnings (accumulated loss) | (10,034,865 | ) | (645,944,375 | ) | (355,325,990 | ) | (246,919,977 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 363,428,311 | $ | 7,109,225,965 | $ | 2,123,920,621 | $ | 1,328,195,151 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets attributable to: | ||||||||||||||||
Class III | $ | — | $ | 2,933,619,899 | $ | 2,123,920,621 | $ | 1,312,198,653 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | — | $ | 1,960,950,306 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | 170,269,664 | $ | — | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class MF | $ | — | $ | 2,036,647,293 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | $ | 461,539 | $ | 43,335,074 | $ | — | $ | 15,996,498 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | $ | 192,697,108 | $ | 134,673,393 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding: | ||||||||||||||||
Class III | — | 117,121,200 | 114,846,919 | 40,318,369 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | — | 78,295,162 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | 8,781,737 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class MF | — | 81,239,431 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | 23,846 | 1,730,702 | — | 491,491 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | 9,952,749 | 5,382,019 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share: | ||||||||||||||||
Class III | $ | — | $ | 25.05 | $ | 18.49 | $ | 32.55 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | — | $ | 25.05 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | 19.39 | $ | — | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class MF | $ | — | $ | 25.07 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | $ | 19.36 | $ | 25.04 | $ | — | $ | 32.55 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | $ | 19.36 | $ | 25.02 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 97 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2020 (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) | $ | 73,473,251 | $ | 1,548,262,763 | $ | 32,173,243 | $ | 192,537,685 | ||||||||
Investments in unaffiliated issuers, at value (Note 2)(b)(c) | 53,605 | 581,026 | 6,091,879,377 | 96,619 | ||||||||||||
Foreign currency, at value (Note 2)(d) | — | — | 2,475,329 | — | ||||||||||||
Receivable for investments sold | — | — | 12,918,837 | — | ||||||||||||
Receivable for Fund shares sold | — | 226 | — | 151,410 | ||||||||||||
Receivable for closed swap contracts (Note 4) | — | — | 86,019 | — | ||||||||||||
Dividends and interest receivable | 4 | 29 | 17,194,696 | 6 | ||||||||||||
Dividend withholding tax receivable | — | — | 1,164,934 | — | ||||||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | — | — | 26,313,985 | — | ||||||||||||
Due from broker (Note 2) | — | — | 260,664,215 | — | ||||||||||||
Receivable for variation margin on open futures contracts (Note 4) | — | — | 14,759,080 | — | ||||||||||||
Receivable for open OTC swap contracts (Note 4) | — | — | 1,982,610 | — | ||||||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 2,852 | 9,552 | 308,860 | 5,115 | ||||||||||||
Miscellaneous receivable | — | — | 5,121 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 73,529,712 | 1,548,853,596 | 6,461,926,306 | 192,790,835 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Investments sold short, at value (Note 2)(e) | — | — | 301,788,206 | — | ||||||||||||
Due to custodian | — | — | 2,316,043 | — | ||||||||||||
Payable for cash collateral from securities loaned (Note 2) | — | — | 32,091,421 | — | ||||||||||||
Payable for investments purchased | — | — | 26,033,855 | 23,283 | ||||||||||||
Payable for Fund shares repurchased | — | — | 28,293,000 | 127,519 | ||||||||||||
Payable to agents unaffiliated with GMO | 17 | 393 | 1,904 | 75 | ||||||||||||
Payable for variation margin on open futures contracts (Note 4) | — | — | 4,195,758 | — | ||||||||||||
Payable for variation margin on open cleared swap contracts (Note 4) | — | — | 1,055,854 | — | ||||||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | — | — | 53,464,989 | — | ||||||||||||
Interest payable for open OTC swap contracts (Note 4) | — | — | 52,836 | — | ||||||||||||
Interest and dividend payable for short sales | — | — | 533,441 | — | ||||||||||||
Payable for open OTC swap contracts (Note 4) | — | — | 944,040 | — | ||||||||||||
Payable to Trustees and related expenses | 354 | 5,563 | 25,425 | 1,115 | ||||||||||||
Written options outstanding, at value (Note 4)(f) | — | — | 1,026,000 | — | ||||||||||||
Accrued expenses | 35,683 | 82,724 | 1,390,353 | 42,099 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 36,054 | 88,680 | 453,213,125 | 194,091 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 73,493,658 | $ | 1,548,764,916 | $ | 6,008,713,181 | $ | 192,596,744 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments – affiliated issuers: | $ | 69,181,971 | $ | 1,570,338,024 | $ | 32,173,243 | $ | 210,617,377 | ||||||||
(b) Cost of investments – unaffiliated issuers: | $ | 53,605 | $ | 581,026 | $ | 6,366,039,614 | $ | 96,619 | ||||||||
(c) Includes securities on loan at value (Note 2): | $ | — | $ | — | $ | 109,345,304 | $ | — | ||||||||
(d) Cost of foreign currency: | $ | — | $ | — | $ | 2,094,526 | $ | — | ||||||||
(e) Proceeds from securities sold short: | $ | — | $ | — | $ | 281,053,671 | $ | — | ||||||||
(f) Premiums on written options: | $ | — | $ | — | $ | 1,412,956 | $ | — |
98 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2020 (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 | $ | 74,321,885 | $ | 1,729,835,068 | $ | 7,351,888,254 | $ | 375,270,258 | ||||||||
Distributable earnings (accumulated loss) | (828,227 | ) | (181,070,152 | ) | (1,343,175,073 | ) | (182,673,514 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 73,493,658 | $ | 1,548,764,916 | $ | 6,008,713,181 | $ | 192,596,744 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets attributable to: | ||||||||||||||||
Core Class | $ | — | $ | — | $ | 6,008,713,181 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | $ | 73,493,658 | $ | 1,542,922,802 | $ | — | $ | 192,596,744 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | $ | — | $ | 5,784,598 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | $ | — | $ | 57,516 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding: | ||||||||||||||||
Core Class | — | — | 498,307,422 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | 3,281,126 | 59,385,639 | — | 12,727,760 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | — | 222,639 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | — | 2,214 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share: | ||||||||||||||||
Core Class | $ | — | $ | — | $ | 12.06 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | $ | 22.40 | $ | 25.98 | $ | — | $ | 15.13 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | $ | — | $ | 25.98 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | $ | — | $ | 25.98 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 99 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2020 (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) | $ | 751,802,102 | $ | — | $ | — | $ | 512,737,799 | ||||||||
Investments in unaffiliated issuers, at value (Note 2)(b)(c) | 268,834 | 338,725,683 | 260,528,577 | 187,652,285 | ||||||||||||
Foreign currency, at value (Note 2)(d) | — | 38 | — | 56,143 | ||||||||||||
Cash | — | — | 19,336,519 | 57,847 | ||||||||||||
Receivable for investments sold | — | — | 21,813,523 | — | ||||||||||||
Receivable for Fund shares sold | — | 234,485 | — | — | ||||||||||||
Dividends and interest receivable | 19 | 803,480 | 21,453 | 428,252 | ||||||||||||
Dividend withholding tax receivable | — | — | — | 21,352 | ||||||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | — | 7,265,372 | — | 4,090 | ||||||||||||
Due from broker (Note 2) | — | 546,790 | — | 40 | ||||||||||||
Receivable for variation margin on open futures contracts (Note 4) | — | 68,839 | — | 238,810 | ||||||||||||
Receivable for open OTC swap contracts (Note 4) | — | — | — | 107,096 | ||||||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 27,137 | 22,049 | — | 41,335 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 752,098,092 | 347,666,736 | 301,700,072 | 701,345,049 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Investments sold short, at value (Note 2)(e) | — | — | — | 12,270,239 | ||||||||||||
Payable for investments purchased | — | — | 12,108 | 2,752,237 | ||||||||||||
Payable for Fund shares repurchased | — | 7,504,788 | — | — | ||||||||||||
Payable to affiliate for (Note 5): |
| |||||||||||||||
Management fee | — | 246,262 | 282,376 | — | ||||||||||||
Shareholder service fee | — | 17,556 | 14,119 | — | ||||||||||||
Payable to agents unaffiliated with GMO | 219 | 218 | 82 | 222 | ||||||||||||
Payable for variation margin on open futures contracts (Note 4) | — | 1,514,763 | — | 87,795 | ||||||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | — | 2,122,838 | — | 19,725 | ||||||||||||
Interest and dividend payable for short sales | — | — | — | 5,946 | ||||||||||||
Payable for open OTC swap contracts (Note 4) | — | — | — | 23,064 | ||||||||||||
Payable to Trustees and related expenses | 3,926 | 5,503 | 1,224 | 2,009 | ||||||||||||
Accrued expenses | 63,314 | 225,271 | 188,277 | 100,368 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 67,459 | 11,637,199 | 498,186 | 15,261,605 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 752,030,633 | $ | 336,029,537 | $ | 301,201,886 | $ | 686,083,444 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments – affiliated issuers: | $ | 795,429,747 | $ | — | $ | — | $ | 504,932,119 | ||||||||
(b) Cost of investments – unaffiliated issuers: | $ | 268,834 | $ | 337,536,989 | $ | 109,497,934 | $ | 177,768,765 | ||||||||
(c) Includes securities on loan at value (Note 2): | $ | — | $ | — | $ | — | $ | 8,269,509 | ||||||||
(e) Proceeds from securities sold short: | $ | — | $ | — | $ | — | $ | 12,242,953 | ||||||||
(d) Cost of foreign currency: | $ | — | $ | 38 | $ | — | $ | 55,466 |
100 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2020 (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 | $ | 930,641,380 | $ | 353,609,052 | $ | 40,002,247 | $ | 690,131,108 | ||||||||
Distributable earnings (accumulated loss) | (178,610,747 | ) | (17,579,515 | ) | 261,199,639 | (4,047,664 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 752,030,633 | $ | 336,029,537 | $ | 301,201,886 | $ | 686,083,444 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets attributable to: | ||||||||||||||||
Class III | $ | 525,819,588 | $ | 20,246,265 | $ | — | $ | 686,083,444 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | — | $ | 315,783,272 | $ | 301,201,886 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | $ | 226,211,045 | $ | — | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding: | ||||||||||||||||
Class III | 18,379,449 | 608,828 | — | 35,292,223 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | — | 9,510,633 | 9,166,901 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | 7,909,102 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share: | ||||||||||||||||
Class III | $ | 28.61 | $ | 33.25 | $ | — | $ | 19.44 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | — | $ | 33.20 | $ | 32.86 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | $ | 28.60 | $ | — | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 101 |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2020 (Unaudited)
Consolidated Alternative Allocation Fund | Benchmark-Free Allocation Fund | Benchmark- Free Fund | Global Asset Allocation Fund | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a) | $ | 746,422 | $ | 6,449 | $ | 37,417,664 | $ | 1,604 | ||||||||
Dividends from affiliated issuers (Note 10) | 159,673 | 23,779,966 | 4,365,207 | 4,730,607 | ||||||||||||
Interest | 331,978 | 203 | 1,077,302 | 2,353 | ||||||||||||
Securities lending income from affiliated issuers (net) | — | — | 32,137 | — | ||||||||||||
Securities lending income (net) | — | — | 23,508 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 1,238,073 | 23,786,618 | 42,915,818 | 4,734,564 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Management fee (Note 5) | 1,176,040 | 24,327,094 | — | — | ||||||||||||
Shareholder service fee – Class III (Note 5) | — | 2,393,581 | — | — | ||||||||||||
Shareholder service fee – Class IV (Note 5) | — | 972,034 | — | — | ||||||||||||
Shareholder service fee – Class VI (Note 5) | 45,828 | — | — | — | ||||||||||||
Shareholder service fee – Class R6 (Note 5) | 85 | * | 4,796 | ** | — | — | ||||||||||
Shareholder service fee – Class I (Note 5) | 171,016 | 88,231 | — | — | ||||||||||||
Supplemental support fee – Class MF (Note 5) | — | 1,112,857 | — | — | ||||||||||||
Audit and tax fees | 57,974 | 14,086 | 74,459 | 14,934 | ||||||||||||
Custodian, fund accounting agent and transfer agent fees | 158,398 | 109,808 | 688,664 | 35,336 | ||||||||||||
Dividend expense on short sales | 587,791 | — | 236,595 | — | ||||||||||||
Legal fees | 9,627 | 95,663 | 47,827 | 18,009 | ||||||||||||
Registration fees | 15,432 | 12,984 | 952 | 19,976 | ||||||||||||
Trustees’ fees and related expenses (Note 5) | 4,683 | 135,236 | 41,016 | 23,914 | ||||||||||||
Interest expense and borrowing costs for investments sold short (Note 2) | 215,355 | — | 101,878 | — | ||||||||||||
Miscellaneous | 19,255 | 24,416 | 74,704 | *** | 7,143 | **** | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 2,461,484 | 29,290,786 | 1,266,095 | 119,312 | ||||||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (118,085 | ) | (185,725 | ) | (551,206 | ) | (92,631 | ) | ||||||||
Indirectly incurred management fees waived or borne by GMO (Note 5) | (121,958 | ) | (3,859,327 | ) | — | — | ||||||||||
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5) | (13,277 | ) | (396,519 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 2,208,164 | 24,849,215 | 714,889 | 26,681 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | (970,091 | ) | (1,062,597 | ) | 42,200,929 | 4,707,883 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b) | (6,827,594 | ) | — | (29,384,695 | ) | — | ||||||||||
Investments in affiliated issuers | (273,452 | ) | (97,485,020 | ) | 33,272,855 | 11,616,161 | ||||||||||
Investments in securities sold short | (1,451,688 | ) | — | (341,006 | ) | — | ||||||||||
Realized gain distributions from affiliated issuers (Note 10) | — | 60,976,921 | 25,364,077 | 14,747,547 | ||||||||||||
Futures contracts | 1,408,722 | — | (138,011,580 | ) | (9,272,753 | ) | ||||||||||
Written options | 1,443,651 | — | (2,599,801 | ) | — | |||||||||||
Swap contracts | 1,017,545 | — | 13,766,784 | — | ||||||||||||
Forward currency contracts | 135,466 | — | (33,575,119 | ) | — | |||||||||||
Foreign currency and foreign currency related transactions | (556,842 | ) | — | 2,089,610 | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (5,104,192 | ) | (36,508,099 | ) | (129,418,875 | ) | 17,090,955 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in unaffiliated issuers | 10,111,914 | — | 83,890,191 | (3,458 | ) | |||||||||||
Investments in affiliated issuers | 4,799,466 | (154,476,641 | ) | 39,612,971 | 21,429,854 | |||||||||||
Investments in securities sold short | (6,336,548 | ) | — | (4,272,943 | ) | — | ||||||||||
Futures contracts | (6,874,562 | ) | — | (59,359,966 | ) | (5,672,502 | ) | |||||||||
Written options | 4,624,731 | — | (27,359 | ) | — | |||||||||||
Swap contracts | (1,625,121 | ) | — | (3,478,679 | ) | — | ||||||||||
Forward currency contracts | 1,276,345 | — | (13,025,159 | ) | — | |||||||||||
Foreign currency and foreign currency related transactions | 12,892 | — | 276,155 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) | 5,989,117 | (154,476,641 | ) | 43,615,211 | 15,753,894 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | 884,925 | (190,984,740 | ) | (85,803,664 | ) | 32,844,849 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | (85,166 | ) | $ | (192,047,337 | ) | $ | (43,602,735 | ) | $ | 37,552,732 | |||||
|
|
|
|
|
|
|
| |||||||||
(a) Withholding tax: | $ | — | $ | — | $ | 1,768,448 | $ | — | ||||||||
(b) Foreign capital gains tax on net realized gain (loss): | $ | — | $ | — | $ | (2,561 | ) | $ | — | |||||||
* Period from July 31, 2020 (commencement of operations) through August 31, 2020 |
| |||||||||||||||
** Period from May 1, 2020 (commencement of operations) through August 31, 2020. |
| |||||||||||||||
*** Includes $66,888 of pricing expenses. | ||||||||||||||||
**** Includes $3,068 of printing expenses. |
102 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2020 (Unaudited) — (Continued)
Global Developed Equity Allocation Fund | Global Equity Allocation Fund | Consolidated Implementation Fund | International Developed Equity Allocation Fund | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a) | $ | 85 | $ | 634 | $ | 116,918,326 | $ | 158 | ||||||||
Dividends from affiliated issuers (Note 10) | 224,741 | 5,127,869 | — | 895,900 | ||||||||||||
Interest | — | 12 | 16,316,625 | 5 | ||||||||||||
Securities lending income from affiliated issuers (net) | — | — | 83,028 | — | ||||||||||||
Securities lending income (net) | — | — | 76,188 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 224,826 | 5,128,515 | 133,394,167 | 896,063 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Audit and tax fees | 11,668 | 11,668 | 133,809 | 11,668 | ||||||||||||
Custodian, fund accounting agent and transfer agent fees | 4,760 | 26,128 | 1,597,656 | 21,632 | ||||||||||||
Dividend expense on short sales | — | — | 2,596,935 | — | ||||||||||||
Legal fees | 911 | 18,778 | 143,225 | 3,816 | ||||||||||||
Registration fees | 1,008 | 3,420 | 952 | 544 | ||||||||||||
Trustees’ fees and related expenses (Note 5) | 1,243 | 24,108 | 110,386 | 4,892 | ||||||||||||
Interest expense and borrowing costs for investments sold short (Note 2) | — | — | 516,736 | — | ||||||||||||
Miscellaneous | 3,711 | * | 6,763 | ** | 93,088 | *** | 4,119 | **** | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 23,301 | 90,865 | 5,192,787 | 46,671 | ||||||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (21,907 | ) | (63,906 | ) | (1,820,186 | ) | (41,132 | ) | ||||||||
Indirectly incurred management fees waived or borne by GMO (Note 5) | — | — | (11,267 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 1,394 | 26,959 | 3,361,334 | 5,539 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 223,432 | 5,101,556 | 130,032,833 | 890,524 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b) | — | — | (26,196,006 | ) | — | |||||||||||
Investments in affiliated issuers | (1,558,149 | ) | 4,130,294 | 121,961 | 2,281,025 | |||||||||||
Investments in securities sold short | — | — | 10,066,880 | — | ||||||||||||
Realized gain distributions from affiliated issuers (Note 10) | 930,589 | 12,101,828 | — | — | ||||||||||||
Futures contracts | — | — | (329,137,448 | ) | — | |||||||||||
Written options | — | — | (11,933,759 | ) | — | |||||||||||
Swap contracts | — | — | 44,739,244 | — | ||||||||||||
Forward currency contracts | — | — | (89,805,709 | ) | — | |||||||||||
Foreign currency and foreign currency related transactions | — | — | 3,677,865 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (627,560 | ) | 16,232,122 | (398,466,972 | ) | 2,281,025 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) on: |
| |||||||||||||||
Investments in unaffiliated issuers | — | — | 119,956,052 | — | ||||||||||||
Investments in affiliated issuers | 4,835,553 | 77,122,060 | (11,987 | ) | 6,176,284 | |||||||||||
Investments in securities sold short | — | — | (36,992,716 | ) | — | |||||||||||
Futures contracts | — | — | (167,153,480 | ) | — | |||||||||||
Written options | — | — | 11,883,793 | — | ||||||||||||
Swap contracts | — | — | (27,722,274 | ) | — | |||||||||||
Forward currency contracts | — | — | (20,960,576 | ) | — | |||||||||||
Foreign currency and foreign currency related transactions | — | — | 664,664 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) | 4,835,553 | 77,122,060 | (120,336,524 | ) | 6,176,284 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | 4,207,993 | 93,354,182 | (518,803,496 | ) | 8,457,309 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | 4,431,425 | $ | 98,455,738 | $ | (388,770,663 | ) | $ | 9,347,833 | |||||||
|
|
|
|
|
|
|
| |||||||||
(a) Withholding tax: | $ | — | $ | — | $ | 6,170,530 | $ | — | ||||||||
(b) Foreign capital gains tax on net realized gain (loss): | $ | — | $ | — | $ | (1,536 | ) | $ | — | |||||||
* Includes $3,133 of printing expenses. | ||||||||||||||||
** Includes $3,253 of printing expenses. | ||||||||||||||||
*** Includes $70,055 of pricing expenses. | ||||||||||||||||
**** Includes $3,031 of printing expenses. |
See accompanying notes to the financial statements. | 103 |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2020 (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) | $ | 2,796,592 | $ | — | $ | — | $ | 2,442,370 | ||||||||
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a) | 451 | 27,738 | 415,247 | 2,227,585 | ||||||||||||
Interest | — | 1,848,416 | 12,537 | 206,406 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 2,797,043 | 1,876,154 | 427,784 | 4,876,361 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Management fee (Note 5) | — | 1,968,613 | 1,585,369 | — | ||||||||||||
Shareholder service fee – Class III (Note 5) | — | 14,621 | — | — | ||||||||||||
Shareholder service fee – Class VI (Note 5) | — | 122,020 | 79,269 | — | ||||||||||||
Audit and tax fees | 11,668 | 42,638 | 51,185 | 26,184 | ||||||||||||
Custodian, fund accounting agent and transfer agent fees | 30,800 | 87,136 | 26,856 | 135,600 | ||||||||||||
Dividend expense on short sales | — | — | — | 66,068 | ||||||||||||
Legal fees | 10,012 | 16,324 | 13,773 | 12,546 | ||||||||||||
Registration fees | 21,352 | 9,384 | 680 | 1,576 | ||||||||||||
Trustees’ fees and related expenses (Note 5) | 13,458 | 11,637 | 4,953 | 11,934 | ||||||||||||
Interest expense and borrowing costs for investments sold short (Note 2) | — | — | — | 41,534 | ||||||||||||
Miscellaneous | 5,644 | * | 35,155 | 6,750 | 23,940 | ** | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 92,934 | 2,307,528 | 1,768,835 | 319,382 | ||||||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (77,889 | ) | (182,146 | ) | — | (184,578 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 15,045 | 2,125,382 | 1,768,835 | 134,804 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 2,781,998 | (249,228 | ) | (1,341,051 | ) | 4,741,557 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b) | — | 4,105,241 | 168,791,138 | 1,893,473 | ||||||||||||
Investments in affiliated issuers | (10,982,531 | ) | — | — | 4,665,088 | |||||||||||
Investments in securities sold short | — | — | — | (1,219,223 | ) | |||||||||||
Realized gain distributions from affiliated issuers (Note 10) | — | — | — | 5,016,169 | ||||||||||||
Futures contracts | — | 42,625,810 | — | (9,159,466 | ) | |||||||||||
Swap contracts | — | — | — | (115,852 | ) | |||||||||||
Forward currency contracts | — | (1,253,422 | ) | — | (967 | ) | ||||||||||
Foreign currency and foreign currency related transactions | — | (1,085,193 | ) | 54,739 | 52,154 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (10,982,531 | ) | 44,392,436 | 168,845,877 | 1,131,376 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in unaffiliated issuers | — | (3,146,098 | ) | 121,868,978 | 13,220,396 | |||||||||||
Investments in affiliated issuers | 25,505,041 | — | — | 12,724,028 | ||||||||||||
Investments in securities sold short | — | — | — | (1,543,949 | ) | |||||||||||
Futures contracts | — | (11,508,311 | ) | — | (5,664,761 | ) | ||||||||||
Written options | — | — | — | (5,760 | ) | |||||||||||
Swap contracts | — | — | — | (103,750 | ) | |||||||||||
Forward currency contracts | — | 8,047,449 | — | (15,635 | ) | |||||||||||
Foreign currency and foreign currency related transactions | — | 141,033 | (11,421 | ) | 6,701 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) | 25,505,041 | (6,465,927 | ) | 121,857,557 | 18,617,270 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | 14,522,510 | 37,926,509 | 290,703,434 | 19,748,646 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | 17,304,508 | $ | 37,677,281 | $ | 289,362,383 | $ | 24,490,203 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Withholding tax: | $ | — | $ | — | $ | 23,223 | $ | 18,587 | ||||||||
(b) Foreign capital gains tax on net realized gain (loss): | $ | — | $ | — | $ | — | $ | 1,181 | ||||||||
* Includes $3,053 of printing expenses. | ||||||||||||||||
** Includes $20,022 of pricing expenses. |
104 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets
Consolidated Alternative Allocation Fund | Benchmark-Free Allocation Fund | |||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Period from May 1, 2019 (commencement of operations) through February 29, 2020 | Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | |||||||||||||
Increase (decrease) in net assets: |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income (loss) | $ | (970,091 | ) | $ | 1,415,144 | $ | (1,062,597 | ) | $ | 322,250,716 | ||||||
Net realized gain (loss) | (5,104,192 | ) | 35,517 | (36,508,099 | ) | 82,640,517 | ||||||||||
Change in net unrealized appreciation (depreciation) | 5,989,117 | (2,674,806 | ) | (154,476,641 | ) | (341,926,780 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | (85,166 | ) | (1,224,145 | ) | (192,047,337 | ) | 62,964,453 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders: |
| |||||||||||||||
Class III | — | — | (22,143,472 | ) | (131,407,420 | ) | ||||||||||
Class IV | — | — | (14,458,610 | ) | (82,564,617 | ) | ||||||||||
Class VI | (352,233 | ) | (4,899,582 | ) | — | — | ||||||||||
Class MF | — | — | (15,558,280 | ) | (108,452,767 | ) | ||||||||||
Class R6 | — | * | — | (62,670 | )*** | — | ||||||||||
Class I | (244,820 | ) | (443,533 | )** | (957,551 | ) | (2,367,100 | )**** | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (597,053 | ) | (5,343,115 | ) | (53,180,583 | ) | (324,791,904 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): |
| |||||||||||||||
Class III | — | — | (738,355,086 | ) | (753,562,440 | ) | ||||||||||
Class IV | — | — | (79,517,456 | ) | (579,993,431 | ) | ||||||||||
Class VI | (29,304,507 | ) | 206,323,583 | — | — | |||||||||||
Class MF | — | — | (704,656,125 | ) | (1,017,495,098 | ) | ||||||||||
Class R6 | 460,959 | * | — | 43,163,794 | *** | — | ||||||||||
Class I | 157,912,918 | 35,284,837 | ** | 37,031,639 | 103,318,200 | **** | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | 129,069,370 | 241,608,420 | (1,442,333,234 | ) | (2,247,732,769 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 128,387,151 | 235,041,160 | (1,687,561,154 | ) | (2,509,560,220 | ) | ||||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 235,041,160 | — | 8,796,787,119 | 11,306,347,339 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 363,428,311 | $ | 235,041,160 | $ | 7,109,225,965 | $ | 8,796,787,119 | ||||||||
|
|
|
|
|
|
|
|
* | Period from July 31, 2020 (commencement of operations) through August 31, 2020. |
** | Period from September 4, 2019 (commencement of operations) through February 29, 2020. |
*** | Period from May 1, 2020 (commencement of operations) through August 31, 2020. |
**** | Period from August 8, 2019 (commencement of operations) through February 29, 2020. |
See accompanying notes to the financial statements. | 105 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Benchmark-Free Fund | Global Asset Allocation Fund | |||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 42,200,929 | $ | 104,531,054 | $ | 4,707,883 | $ | 58,404,101 | ||||||||
Net realized gain (loss) | (129,418,875 | ) | (9,059,878 | ) | 17,090,955 | 21,602,440 | ||||||||||
Change in net unrealized appreciation (depreciation) | 43,615,211 | (74,483,051 | ) | 15,753,894 | (918,266 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | (43,602,735 | ) | 20,988,125 | 37,552,732 | 79,088,275 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders: |
| |||||||||||||||
Class III | (7,240,207 | ) | (110,241,387 | ) | (7,396,711 | ) | (67,351,522 | ) | ||||||||
Class R6 | — | — | (89,097 | ) | (527,446 | )* | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (7,240,207 | ) | (110,241,387 | ) | (7,485,808 | ) | (67,878,968 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | (409,166,091 | ) | (492,548,074 | ) | (257,028,420 | ) | (382,139,553 | ) | ||||||||
Class R6 | — | — | (2,253,411 | ) | 18,611,818 | * | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (409,166,091 | ) | (492,548,074 | ) | (259,281,831 | ) | (363,527,735 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (460,009,033 | ) | (581,801,336 | ) | (229,214,907 | ) | (352,318,428 | ) | ||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 2,583,929,654 | 3,165,730,990 | 1,557,410,058 | 1,909,728,486 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 2,123,920,621 | $ | 2,583,929,654 | $ | 1,328,195,151 | $ | 1,557,410,058 | ||||||||
|
|
|
|
|
|
|
|
* | Period from September 30, 2019 (commencement of operations) through February 29, 2020. |
106 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Global Developed Equity Allocation Fund | Global Equity Allocation Fund | |||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 223,432 | $ | 3,330,041 | $ | 5,101,556 | $ | 53,039,452 | ||||||||
Net realized gain (loss) | (627,560 | ) | (4,933,557 | ) | 16,232,122 | 5,760,054 | ||||||||||
Change in net unrealized appreciation (depreciation) | 4,835,553 | 9,472,867 | 77,122,060 | (13,790,931 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 4,431,425 | 7,869,351 | 98,455,738 | 45,008,575 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders: | ||||||||||||||||
Class III | (167,375 | ) | (10,153,738 | ) | (2,523,456 | ) | (55,610,130 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (167,375 | ) | (10,153,738 | ) | (2,523,456 | ) | (55,610,130 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | (4,153,282 | ) | (372,206,442 | ) | (8,898,337 | ) | (171,078,291 | ) | ||||||||
Class R6 | — | — | 5,609,396 | * | — | |||||||||||
Class I | — | — | 57,825 | ** | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (4,153,282 | ) | (372,206,442 | ) | (3,231,116 | ) | (171,078,291 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 110,768 | (374,490,829 | ) | 92,701,166 | (181,679,846 | ) | ||||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 73,382,890 | 447,873,719 | 1,456,063,750 | 1,637,743,596 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 73,493,658 | $ | 73,382,890 | $ | 1,548,764,916 | $ | 1,456,063,750 | ||||||||
|
|
|
|
|
|
|
|
* | Period from July 15, 2020 (commencement of operations) through August 31, 2020. |
** | Period from August 17, 2020 (commencement of operations) through August 31, 2020. |
See accompanying notes to the financial statements. | 107 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Consolidated Implementation Fund | International Developed Equity Allocation Fund | |||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 130,032,833 | $ | 296,754,906 | $ | 890,524 | $ | 15,661,862 | ||||||||
Net realized gain (loss) | (398,466,972 | ) | (17,401,093 | ) | 2,281,025 | (22,509,794 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (120,336,524 | ) | (225,262,025 | ) | 6,176,284 | 29,860,875 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | (388,770,663 | ) | 54,091,788 | 9,347,833 | 23,012,943 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders: | ||||||||||||||||
Core Class | (15,205,271 | ) | (310,939,020 | ) | — | — | ||||||||||
Class III | — | — | (448,320 | ) | (15,687,875 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (15,205,271 | ) | (310,939,020 | ) | (448,320 | ) | (15,687,875 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Core Class | (701,617,006 | ) | (1,594,424,900 | ) | — | — | ||||||||||
Class III | — | — | (113,766,114 | ) | (282,691,634 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (701,617,006 | ) | (1,594,424,900 | ) | (113,766,114 | ) | (282,691,634 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (1,105,592,940 | ) | (1,851,272,132 | ) | (104,866,601 | ) | (275,366,566 | ) | ||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 7,114,306,121 | 8,965,578,253 | 297,463,345 | 572,829,911 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 6,008,713,181 | $ | 7,114,306,121 | $ | 192,596,744 | $ | 297,463,345 | ||||||||
|
|
|
|
|
|
|
|
108 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
International Equity Allocation Fund | Consolidated SGM Major Markets Fund | |||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 2,781,998 | $ | 37,246,109 | $ | (249,228 | ) | $ | 8,392,098 | |||||||
Net realized gain (loss) | (10,982,531 | ) | (9,324,801 | ) | 44,392,436 | (29,279,985 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 25,505,041 | (10,853,560 | ) | (6,465,927 | ) | 4,727,112 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 17,304,508 | 17,067,748 | 37,677,281 | (16,160,775 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders: | ||||||||||||||||
Class III | (1,873,987 | ) | (28,289,670 | ) | (20,449 | ) | (496,259 | ) | ||||||||
Class IV | — | — | — | (167,985 | )** | |||||||||||
Class VI | — | — | (326,530 | ) | (15,675,471 | ) | ||||||||||
Class R6 | (784,848 | ) | (8,867,347 | )* | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (2,658,835 | ) | (37,157,017 | ) | (346,979 | ) | (16,339,715 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | (125,268,964 | ) | (259,098,085 | ) | 449,872 | (25,234,742 | ) | |||||||||
Class IV | — | — | — | (22,837,965 | )** | |||||||||||
Class VI | — | — | (552,147,509 | ) | (298,663,476 | ) | ||||||||||
Class R6 | 5,808,717 | 206,065,739 | * | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (119,460,247 | ) | (53,032,346 | ) | (551,697,637 | ) | (346,736,183 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (104,814,574 | ) | (73,121,615 | ) | (514,367,335 | ) | (379,236,673 | ) | ||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 856,845,207 | 929,966,822 | 850,396,872 | 1,229,633,545 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 752,030,633 | $ | 856,845,207 | $ | 336,029,537 | $ | 850,396,872 | ||||||||
|
|
|
|
|
|
|
|
* | Period from August 30, 2019 (commencement of operations) through February 29, 2020. |
** | For the period July 18, 2019 to February 29, 2020, Class IV had no shareholders. |
See accompanying notes to the financial statements. | 109 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Consolidated Special Opportunities Fund | Strategic Opportunities Allocation Fund | |||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | (1,341,051 | ) | $ | (1,717,448 | ) | $ | 4,741,557 | $ | 28,472,605 | ||||||
Net realized gain (loss) | 168,845,877 | 81,378,049 | 1,131,376 | 12,372,066 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 121,857,557 | (77,014,516 | ) | 18,617,270 | (16,305,103 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 289,362,383 | 2,646,085 | 24,490,203 | 24,539,568 | ||||||||||||
|
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|
|
|
|
|
| |||||||||
Distributions to shareholders: | ||||||||||||||||
Class III | — | — | (8,954,899 | ) | (42,379,462 | ) | ||||||||||
Class VI | (85,072,483 | ) | (44,327,184 | ) | — | — | ||||||||||
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Total distributions | (85,072,483 | ) | (44,327,184 | ) | (8,954,899 | ) | (42,379,462 | ) | ||||||||
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| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | — | — | (102,889,537 | ) | (123,870,724 | ) | ||||||||||
Class VI | (190,782,594 | ) | (96,368,961 | ) | — | — | ||||||||||
|
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|
|
|
|
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| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (190,782,594 | ) | (96,368,961 | ) | (102,889,537 | ) | (123,870,724 | ) | ||||||||
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Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class VI | 1,641,904 | 727,630 | — | — | ||||||||||||
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|
|
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|
| |||||||||
Increase in net assets resulting from purchase premiums and redemption fees | 1,641,904 | 727,630 | — | — | ||||||||||||
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| |||||||||
(189,140,690 | ) | (95,641,331 | ) | (102,889,537 | ) | (123,870,724 | ) | |||||||||
|
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|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 15,149,210 | (137,322,430 | ) | (87,354,233 | ) | (141,710,618 | ) | |||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 286,052,676 | 423,375,106 | 773,437,677 | 915,148,295 | ||||||||||||
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| |||||||||
End of period | $ | 301,201,886 | $ | 286,052,676 | $ | 686,083,444 | $ | 773,437,677 | ||||||||
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110 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Cash Flows — Six Months Ended August 31, 2020 (Unaudited)
Consolidated Alternative Allocation Fund | ||||
Cash flows from operating activities |
| |||
Net increase (decrease) in net assets resulting from operations | $ | (85,166 | ) | |
|
| |||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities: | ||||
Net change in unrealized (appreciation) depreciation | (5,989,117 | ) | ||
Net realized (gain) loss | 5,104,192 | |||
Cost of purchased investments held long | (352,894,589 | ) | ||
Cost of purchased investments held short | (65,551,737 | ) | ||
Proceeds from sale of investments held long | 210,927,432 | |||
Proceeds of sales to securities sold short | 106,108,423 | |||
Net amortization of discount and accretion of premium | 1,107,799 | |||
Short-term investments, net | (21,441,367 | ) | ||
Gain (loss) from derivatives: | ||||
Futures contracts | (5,004,410 | ) | ||
Written option contracts | 154,600 | |||
Swap contracts | 885,843 | |||
Forward currency contracts | 135,466 | |||
Foreign currency and foreign currency related transactions | (543,950 | ) | ||
Change in assets and liabilities: | ||||
(Increase) decrease in due from broker | 373,678 | |||
(Increase) decrease in dividends and interest receivable | (296,255 | ) | ||
(Increase) decrease in receivable for expenses reimbursed and/or waived by GMO | (1,587 | ) | ||
(Increase) decrease in interest receivable for open OTC swap contracts | (47,071 | ) | ||
(Increase) decrease in receivable for closed swap contracts | 481,476 | |||
Increase (decrease) in payable to affiliate for: | ||||
Management fee | 89,080 | |||
Shareholder service fee | 27,948 | |||
Increase (decrease) in foreign currency due to custodian | 42,550 | |||
Increase (decrease) in dividends and interest payable | 136,434 | |||
Increase (decrease) in payable to agents unaffiliated with GMO | 66 | |||
Increase (decrease) in payable for closed swap contracts | (56,667 | ) | ||
Increase (decrease) in payable to Trustees and related expenses | (450 | ) | ||
Increase (decrease) in payable for interest on OTC swap contracts | 22,594 | |||
Increase (decrease) in accrued expenses | 807 | |||
|
| |||
Net Cash Provided by Operating Activities | (126,313,978 | ) | ||
|
| |||
Cash flows from financing activities: |
| |||
Proceeds from shares sold | 202,850,311 | |||
Shares repurchased | (75,313,271 | ) | ||
Cash distributions paid | (152,638 | ) | ||
|
| |||
Net cash provided by (used in) financing activities | 127,384,402 | |||
|
| |||
Net increase (decrease) in cash | 1,070,424 | |||
Cash, beginning of period | 2,754,648 | |||
|
| |||
Cash, end of period | $ | 3,825,072 | ||
|
|
See accompanying notes to the financial statements. | 111 |
GMO Trust Funds
(For a share outstanding throughout each period)
CONSOLIDATED ALTERNATIVE ALLOCATION FUND
Class VI Shares | Class R6 Shares | Class I Shares | |||||||||||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Period from May 1, 2019 (commencement of operations) through February 29, 2020 | Period from July 31, 2020 (commencement of operations) through August 31, 2020 (Unaudited) | Six Months Ended August 31, 2020 (Unaudited) | Period from September 4, 2019 (commencement of operations) through February 29, 2020 | |||||||||||||||||||||
Net asset value, beginning of period | $ | 19.45 | $ | 20.00 | $ | 19.33 | $ | 19.44 | $ | 20.18 | |||||||||||||||
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Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)(a)† | (0.04 | ) | 0.15 | (0.01 | ) | (0.07 | ) | 0.10 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.02 | (0.18 | ) | 0.04 | 0.02 | (0.33 | ) | ||||||||||||||||||
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Total from investment operations | (0.02 | ) | (0.03 | ) | 0.03 | (0.05 | ) | (0.23 | ) | ||||||||||||||||
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Less distributions to shareholders: | |||||||||||||||||||||||||
From net investment income | (0.04 | ) | (0.06 | ) | — | (0.03 | ) | (0.05 | ) | ||||||||||||||||
From net realized gains | — | (0.46 | ) | — | — | (0.46 | ) | ||||||||||||||||||
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Total distributions | (0.04 | ) | (0.52 | ) | — | (0.03 | ) | (0.51 | ) | ||||||||||||||||
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Net asset value, end of period | $ | 19.39 | $ | 19.45 | $ | 19.36 | $ | 19.36 | $ | 19.44 | |||||||||||||||
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Total Return(b) | (0.10 | )%** | (0.21 | )%** | 0.16 | %** | (0.26 | )%** | (1.20 | )%** | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 170,270 | $ | 200,812 | $ | 462 | $ | 192,697 | $ | 34,229 | |||||||||||||||
Net operating expenses to average daily net assets(c) | 0.74 | %* | 0.77 | %* | 0.91 | %* | 1.01 | %* | 1.02 | %* | |||||||||||||||
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d) | 0.49 | %* | 0.29 | %* | 0.73 | %* | 0.51 | %* | 0.23 | %* | |||||||||||||||
Total net expenses to average daily net assets(c) | 1.23 | %* | 1.05 | %* | 1.64 | %* | 1.52 | %* | 1.25 | %* | |||||||||||||||
Net investment income (loss) to average daily net assets(a) | (0.45 | )%* | 0.88 | %* | (0.81 | )%* | (0.76 | )%* | 0.98 | %* | |||||||||||||||
Portfolio turnover rate(e) | 174 | %** | 243 | %** | 174 | %** | 174 | %** | 243 | %** | |||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(f) | 0.16 | %* | 0.27 | %* | 0.20 | %* | 0.16 | %* | 0.24 | %* |
(a) | Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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) | Interest and dividend expense and/or borrowing costs incurred as a result of entering into reverse repurchase agreements or securities sold short, 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) | 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 periods ended August 31, 2020 and February 29, 2020, including transactions in USTF, was 174% and 250%, respectively, of the average value of its portfolio. |
(f) | Ratio includes indirect fees waived or borne by GMO. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
112 | 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, 2020 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016(a) | 2020 | 2019 | 2018 | 2017 | 2016(a) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.53 | $ | 26.36 | $ | 27.76 | $ | 25.78 | $ | 23.46 | $ | 27.04 | $ | 25.53 | $ | 26.35 | $ | 27.75 | $ | 25.78 | $ | 23.46 | $ | 27.03 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | (0.01 | ) | 0.83 | 0.82 | 0.52 | 0.37 | 0.19 | 0.00 | (c) | 0.83 | 0.88 | 0.58 | 0.40 | 0.20 | ||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.29 | ) | (0.75 | ) | (1.30 | ) | 2.12 | 2.35 | (3.26 | ) | (0.30 | ) | (0.73 | ) | (1.35 | ) | 2.06 | 2.33 | (3.26 | ) | ||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | (0.30 | ) | 0.08 | (0.48 | ) | 2.64 | 2.72 | (3.07 | ) | (0.30 | ) | 0.10 | (0.47 | ) | 2.64 | 2.73 | (3.06 | ) | ||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.02 | ) | (0.90 | ) | (0.90 | ) | (0.66 | ) | (0.40 | ) | (0.34 | ) | (0.02 | ) | (0.91 | ) | (0.91 | ) | (0.67 | ) | (0.41 | ) | (0.34 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | (0.16 | ) | (0.01 | ) | (0.02 | ) | — | — | (0.17 | ) | (0.16 | ) | (0.01 | ) | (0.02 | ) | — | — | (0.17 | ) | ||||||||||||||||||||||||||||||||||||||||
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Total distributions | (0.18 | ) | (0.91 | ) | (0.92 | ) | (0.66 | ) | (0.40 | ) | (0.51 | ) | (0.18 | ) | (0.92 | ) | (0.93 | ) | (0.67 | ) | (0.41 | ) | (0.51 | ) | ||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 25.05 | $ | 25.53 | $ | 26.36 | $ | 27.76 | $ | 25.78 | $ | 23.46 | $ | 25.05 | $ | 25.53 | $ | 26.35 | $ | 27.75 | $ | 25.78 | $ | 23.46 | ||||||||||||||||||||||||||||||||||||
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Total Return(d) | (1.17 | )%** | 0.11 | % | (1.55 | )% | 10.28 | % | 11.66 | % | (11.51 | )% | (1.16 | )%** | 0.21 | % | (1.50 | )% | 10.30 | % | 11.71 | % | (11.46 | )% | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 2,933,620 | $ | 3,785,568 | $ | 4,642,211 | $ | 5,162,084 | $ | 5,248,863 | $ | 5,872,663 | $ | 1,960,950 | $ | 2,085,324 | $ | 2,737,619 | $ | 2,756,005 | $ | 2,663,418 | $ | 2,508,115 | ||||||||||||||||||||||||||||||||||||
Net operating expenses to average daily net assets(e) | 0.69 | %* | 0.66 | % | 0.65 | % | 0.65 | % | 0.65 | % | 0.66 | % | 0.64 | %* | 0.61 | % | 0.60 | % | 0.60 | % | 0.60 | % | 0.61 | % | ||||||||||||||||||||||||||||||||||||
Interest and/or dividend expenses and/or borrowing costs to average daily net assets | — | — | — | — | — | 0.02 | %(f) | — | — | — | — | — | 0.02 | %(f) | ||||||||||||||||||||||||||||||||||||||||||||||
Total net expenses to average daily net assets(e) | 0.69 | %* | 0.66 | % | 0.65 | % | 0.65 | % | 0.65 | % | 0.68 | % | 0.64 | %* | 0.61 | % | 0.60 | % | 0.60 | % | 0.60 | % | 0.63 | % | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | (0.06 | )%* | 3.12 | % | 3.07 | % | 1.93 | % | 1.46 | % | 0.73 | % | 0.02 | %* | 3.12 | % | 3.29 | % | 2.13 | % | 1.61 | % | 0.80 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 8 | %** | 10 | % | 18 | % | 9 | % | 7 | % | 53 | %(g) | 8 | %** | 10 | % | 18 | % | 9 | % | 7 | % | 53 | %(g) | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(h) | 0.12 | %* | 0.15 | % | 0.15 | % | 0.16 | % | 0.15 | % | 0.16 | % | 0.12 | %* | 0.15 | % | 0.15 | % | 0.16 | % | 0.15 | % | 0.16 | % | ||||||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | — | $ | — | $ | 0.00 | (c) | $ | 0.01 | $ | 0.02 | $ | 0.01 | $ | — | $ | — | $ | 0.00 | (c) | $ | 0.01 | $ | 0.02 | $ | 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) | Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any. |
(c) | Rounds to less than $0.01. |
(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) | Interest and dividend expense and/or borrowing costs incurred as a result of entering into reverse repurchase agreements or securities sold short, 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) | Had the Fund not been consolidated for the year ended February 29, 2016, the portfolio turnover would have been 23%. |
(h) | 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. | 113 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
BENCHMARK-FREE ALLOCATION FUND (continued)
Class MF Shares | Class R6 Shares | Class I Shares | |||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | Period from May 1, 2020 (commencement of operations) through August 31, 2020 (Unaudited) | Six Months Ended August 31, 2020 (Unaudited) | Period from August 8, 2019 (commencement of operations) through February 29, 2020 | |||||||||||||||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016(a) | |||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.55 | $ | 26.38 | $ | 27.77 | $ | 25.80 | $ | 23.47 | $ | 27.04 | $ | 23.95 | $ | 25.52 | $ | 26.24 | |||||||||||||||||||||||||||
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Income (loss) from investment operations: | |||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.00 | (c) | 0.83 | 0.77 | 0.56 | 0.35 | 0.19 | 0.01 | (0.01 | ) | 1.10 | ||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.30 | ) | (0.74 | ) | (1.23 | ) | 2.08 | 2.39 | (3.24 | ) | 1.26 | (0.32 | ) | (0.93 | ) | ||||||||||||||||||||||||||||||
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Total from investment operations | (0.30 | ) | 0.09 | (0.46 | ) | 2.64 | 2.74 | (3.05 | ) | 1.27 | (0.33 | ) | 0.17 | ||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | |||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.02 | ) | (0.91 | ) | (0.91 | ) | (0.67 | ) | (0.41 | ) | (0.35 | ) | (0.02 | ) | (0.01 | ) | (0.89 | ) | |||||||||||||||||||||||||||
From net realized gains | (0.16 | ) | (0.01 | ) | (0.02 | ) | — | — | (0.17 | ) | (0.16 | ) | (0.16 | ) | — | ||||||||||||||||||||||||||||||
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Total distributions | (0.18 | ) | (0.92 | ) | (0.93 | ) | (0.67 | ) | (0.41 | ) | (0.52 | ) | (0.18 | ) | (0.17 | ) | (0.89 | ) | |||||||||||||||||||||||||||
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| ||||||||||||||||||||||||||||
Net asset value, end of period | $ | 25.07 | $ | 25.55 | $ | 26.38 | $ | 27.77 | $ | 25.80 | $ | 23.47 | $ | 25.04 | $ | 25.02 | $ | 25.52 | |||||||||||||||||||||||||||
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Total Return(d) | (1.16 | )%** | 0.16 | % | (1.47 | )% | 10.29 | % | 11.76 | % | (11.45 | )% | 5.33 | %** | (1.26 | )%** | 0.48 | %** | |||||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 2,036,647 | $ | 2,827,442 | $ | 3,926,518 | $ | 5,622,091 | $ | 5,858,177 | $ | 8,025,066 | $ | 43,335 | $ | 134,673 | $ | 98,453 | |||||||||||||||||||||||||||
Net operating expenses to average daily net assets(e) | 0.64 | %* | 0.61 | % | 0.60 | % | 0.60 | % | 0.60 | %(f) | 0.58 | %(f) | 0.70 | %* | 0.79 | %* | 0.74 | %* | |||||||||||||||||||||||||||
Interest and/or dividend expenses and/or borrowing costs to average daily net assets | — | — | — | — | — | 0.02 | %(g) | — | — | — | |||||||||||||||||||||||||||||||||||
Total net expenses to average daily net assets(e) | 0.64 | %* | 0.61 | % | 0.60 | % | 0.60 | % | 0.60 | %(f) | 0.60 | %(f) | — | — | — | ||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | (0.02 | )%* | 3.12 | % | 2.88 | % | 2.06 | % | 1.38 | % | 0.77 | % | 0.15 | %* | (0.05 | )%* | 7.22 | %* | |||||||||||||||||||||||||||
Portfolio turnover rate | 8 | %** | 10 | % | 18 | % | 9 | % | 7 | % | 53 | %(h) | 8 | %** | 8 | %** | 10 | %** | |||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(i) | 0.12 | %* | 0.15 | % | 0.15 | % | 0.16 | % | 0.16 | % | 0.19 | % | 0.11 | %* | 0.12 | %* | 0.15 | %* | |||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | — | $ | — | $ | 0.00 | (c) | $ | 0.01 | $ | 0.02 | $ | 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) | Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any. |
(c) | Rounds to less than $0.01. |
(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) | Class MF net expenses include a supplemental support fee reduction (Note 5). |
(g) | Interest and dividend expense and/or borrowing costs incurred as a result of entering into reverse repurchase agreements or securities sold short, 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) | Had the Fund not been consolidated for the year ended February 29, 2016, the portfolio turnover would have been 23%. |
(i) | Ratios include indirect fees waived or borne by GMO. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
114 | 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, 2020 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 18.88 | $ | 19.56 | $ | 20.91 | $ | 18.95 | $ | 17.00 | $ | 20.30 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.31 | 0.72 | 0.58 | 0.46 | 0.43 | 0.58 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.65 | ) | (0.59 | ) | (1.21 | ) | 2.10 | 2.01 | (2.70 | ) | ||||||||||||||||||||
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| |||||||||||||||||||
Total from investment operations | (0.34 | ) | 0.13 | (0.63 | ) | 2.56 | 2.44 | (2.12 | ) | |||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.05 | ) | (0.81 | ) | (0.72 | ) | (0.60 | ) | (0.49 | ) | (0.60 | ) | ||||||||||||||||||
From net realized gains | — | — | — | — | — | (0.58 | ) | |||||||||||||||||||||||
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Total distributions | (0.05 | ) | (0.81 | ) | (0.72 | ) | (0.60 | ) | (0.49 | ) | (1.18 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 18.49 | $ | 18.88 | $ | 19.56 | $ | 20.91 | $ | 18.95 | $ | 17.00 | ||||||||||||||||||
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Total Return(b) | (1.78 | )%** | 0.41 | % | (2.80 | )% | 13.59 | % | 14.52 | % | (10.82 | )% | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 2,123,921 | $ | 2,583,930 | $ | 3,165,731 | $ | 4,486,489 | $ | 4,394,260 | $ | 4,305,118 | ||||||||||||||||||
Net operating expenses to average daily net assets(c) | 0.03 | %* | 0.02 | % | 0.02 | % | 0.02 | % | 0.01 | % | 0.00 | %(d) | ||||||||||||||||||
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e) | 0.03 | %* | 0.03 | % | 0.04 | % | 0.00 | %(d) | 0.00 | %(d) | — | |||||||||||||||||||
Total net expenses to average daily net assets(c) | 0.06 | %* | 0.05 | % | 0.06 | % | 0.02 | % | 0.01 | % | 0.00 | %(d) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 3.50 | %* | 3.64 | % | 2.92 | % | 2.29 | % | 2.37 | % | 3.09 | % | ||||||||||||||||||
Portfolio turnover rate | 63 | %(f)** | 50 | %(f) | 59 | %(f) | 78 | %(f) | 83 | %(f) | 101 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.05 | %* | 0.04 | % | 0.03 | % | 0.03 | % | 0.04 | % | 0.01 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | — | $ | — | $ | 0.00 | (g) | $ | 0.01 | $ | 0.00 | (g) | $ | 0.00 | (g) |
(a) | Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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) | Rounds to less than 0.01%. |
(e) | Interest and dividend expense and/or borrowing costs incurred as a result of entering into reverse repurchase agreements or securities sold short, 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. |
(f) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 66%, 52%, 59%, 81% and 86%, respectively, of the average value of its portfolio. |
(g) | Rounds to less than $0.01. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 115 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
GLOBAL ASSET ALLOCATION FUND
Class III Shares | Class R6 Shares | |||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2020 (Unaudited) | Period from September 30, 2019 (commencement of operations) through February 29, 2020 | |||||||||||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016(a) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 31.50 | $ | 31.47 | $ | 33.31 | $ | 30.48 | $ | 27.60 | $ | 33.81 | $ | 31.50 | $ | 32.56 | ||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.11 | 1.08 | 1.02 | 0.73 | 0.61 | 1.02 | 0.11 | 0.86 | ||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.12 | 0.29 | (1.74 | ) | 2.93 | 3.00 | (4.53 | ) | 1.12 | (0.71 | ) | |||||||||||||||||||||||||||||
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Total from investment operations | 1.23 | 1.37 | (0.72 | ) | 3.66 | 3.61 | (3.51 | ) | 1.23 | 0.15 | ||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.18 | ) | (1.34 | ) | (1.12 | ) | (0.83 | ) | (0.73 | ) | (1.14 | ) | (0.18 | ) | (1.21 | ) | ||||||||||||||||||||||||
From net realized gains | — | — | — | — | — | (1.56 | ) | — | — | |||||||||||||||||||||||||||||||
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Total distributions | (0.18 | ) | (1.34 | ) | (1.12 | ) | (0.83 | ) | (0.73 | ) | (2.70 | ) | (0.18 | ) | (1.21 | ) | ||||||||||||||||||||||||
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Net asset value, end of period | $ | 32.55 | $ | 31.50 | $ | 31.47 | $ | 33.31 | $ | 30.48 | $ | 27.60 | $ | 32.55 | $ | 31.50 | ||||||||||||||||||||||||
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Total Return(c) | 3.91 | %** | 4.12 | % | (1.96 | )% | 12.04 | % | 13.21 | % | (10.98 | )% | 3.91 | %** | 0.22 | %** | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 1,312,199 | $ | 1,539,522 | $ | 1,909,728 | $ | 2,475,605 | $ | 2,423,945 | $ | 3,317,792 | $ | 15,996 | $ | 17,888 | ||||||||||||||||||||||||
Net operating expenses to average daily net assets(d)(e) | 0.00 | %* | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 0.71 | %* | 3.32 | % | 3.17 | % | 2.24 | % | 2.06 | % | 3.33 | % | 0.70 | %* | 6.23 | %* | ||||||||||||||||||||||||
Portfolio turnover rate(f) | 12 | %** | 27 | %(f) | 21 | %(f) | 20 | %(f) | 19 | %(f) | 20 | % | 12 | %** | 27 | %** | ||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.01 | %* | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | %* | 0.01 | %* | ||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | — | $ | — | $ | 0.00 | (g) | $ | 0.01 | $ | 0.02 | $ | 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 other GMO Funds and/or other investment companies 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) | Rounds to less than 0.01%. |
(f) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 16%, 28%, 24%, 22% and 18%, respectively, of the average value of its portfolio. |
(g) | Rounds to less than $0.01. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
116 | 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, 2020 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.87 | $ | 21.20 | $ | 22.88 | $ | 19.60 | $ | 17.40 | $ | 22.84 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.07 | 0.25 | 0.57 | 0.42 | 0.52 | 0.51 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.51 | 0.42 | (1.67 | ) | 3.55 | 2.87 | (3.64 | ) | ||||||||||||||||||||||
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Total from investment operations | 1.58 | 0.67 | (1.10 | ) | 3.97 | 3.39 | (3.13 | ) | ||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.05 | ) | (0.74 | ) | (0.58 | ) | (0.69 | ) | (0.55 | ) | (0.52 | ) | ||||||||||||||||||
From net realized gains | — | (0.26 | ) | — | — | (0.64 | ) | (1.79 | ) | |||||||||||||||||||||
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Total distributions | (0.05 | ) | (1.00 | ) | (0.58 | ) | (0.69 | ) | (1.19 | ) | (2.31 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 22.40 | $ | 20.87 | $ | 21.20 | $ | 22.88 | $ | 19.60 | $ | 17.40 | ||||||||||||||||||
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Total Return(b) | 7.59 | %** | 2.87 | % | (4.58 | )% | 20.39 | % | 20.03 | % | (14.81 | )% | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 73,494 | $ | 73,383 | $ | 447,874 | $ | 469,283 | $ | 992,260 | $ | 1,432,776 | ||||||||||||||||||
Net expenses to average daily net assets(c)(d) | 0.00 | %* | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 0.67 | %* | 1.16 | % | 2.62 | % | 1.99 | % | 2.78 | % | 2.49 | % | ||||||||||||||||||
Portfolio turnover rate | 8 | %** | 21 | % | 6 | % | 5 | % | 29 | % | 14 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.07 | %* | 0.03 | % | 0.02 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | — | $ | — | $ | 0.00 | (e) | $ | 0.02 | $ | 0.01 | $ | 0.00 | (e) |
(a) | Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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) | Rounds to less than 0.01%. |
(e) | Rounds to less than $0.01. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 117 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
GLOBAL EQUITY ALLOCATION FUND
Class III Shares | Class R6 Shares | Class I Shares | ||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | Period from July 15, 2020 (commencement of operations) through August 31, 2020 (Unaudited) | Period from August, 17 2020 (commencement of operations) through August 31, 2020 (Unaudited) | |||||||||||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017(a) | 2016(a) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 24.37 | $ | 24.63 | $ | 26.86 | $ | 22.84 | $ | 19.71 | $ | 26.22 | $ | 25.19 | $ | 26.14 | ||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.09 | 0.83 | 0.65 | 0.68 | 0.57 | 0.60 | (0.00 | )(c) | (0.00 | )(c) | ||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.56 | (0.16 | ) | (2.18 | ) | 4.11 | 3.67 | (4.47 | ) | 0.79 | (0.16 | ) | ||||||||||||||||||||||||||||
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Total from investment operations | 1.65 | 0.67 | (1.53 | ) | 4.79 | 4.24 | (3.87 | ) | 0.79 | (0.16 | ) | |||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.04 | ) | (0.93 | ) | (0.70 | ) | (0.77 | ) | (0.70 | ) | (0.60 | ) | — | — | ||||||||||||||||||||||||||
From net realized gains | — | — | — | — | (0.41 | ) | (2.04 | ) | — | — | ||||||||||||||||||||||||||||||
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Total distributions | (0.04 | ) | (0.93 | ) | (0.70 | ) | (0.77 | ) | (1.11 | ) | (2.64 | ) | — | — | ||||||||||||||||||||||||||
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Net asset value, end of period | $ | 25.98 | $ | 24.37 | $ | 24.63 | $ | 26.86 | $ | 22.84 | $ | 19.71 | $ | 25.98 | $ | 25.98 | ||||||||||||||||||||||||
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Total Return(d) | 6.79 | %** | 2.36 | % | (5.43 | )% | 21.06 | % | 21.93 | % | (15.96 | )% | 3.14 | %** | (0.61 | )%** | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 1,542,923 | $ | 1,456,064 | $ | 1,637,744 | $ | 2,328,921 | $ | 2,206,818 | $ | 2,879,168 | $ | 5,785 | $ | 58 | ||||||||||||||||||||||||
Net expenses to average daily net assets(e) | 0.00 | %(f)* | 0.00 | %(f) | 0.00 | %(f) | 0.00 | %(f) | 0.00 | %(f) | 0.00 | %(f) | 0.00 | %(f)* | 0.10 | %* | ||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 0.73 | %* | 3.26 | % | 2.56 | % | 2.67 | % | 2.63 | % | 2.58 | % | (0.00 | )%(f)* | (0.10 | )%* | ||||||||||||||||||||||||
Portfolio turnover rate | 8 | %** | 20 | % | 11 | % | 14 | % | 27 | % | 15 | % | 8 | %** | 8 | %** | ||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.01 | %* | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | %* | 0.01 | %* | ||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | — | $ | — | $ | 0.00 | (c) | $ | 0.01 | $ | 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 other GMO Funds and/or other investment companies in which the Fund invests, if any. |
(c) | Rounds to less than $0.01. |
(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) | Rounds to less than 0.01%. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
118 | 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, 2020 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.74 | $ | 13.22 | $ | 14.09 | $ | 13.06 | $ | 11.80 | $ | 13.59 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)† | 0.25 | (a) | 0.49 | (a) | 0.40 | 0.33 | 0.27 | 0.21 | ||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.90 | ) | (0.43 | ) | (0.69 | ) | 1.11 | 1.24 | (2.00 | ) | ||||||||||||||||||||
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Total from investment operations | (0.65 | ) | 0.06 | (0.29 | ) | 1.44 | 1.51 | (1.79 | ) | |||||||||||||||||||||
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Less distributions to shareholders:(b) | ||||||||||||||||||||||||||||||
From net investment income | (0.03 | ) | (0.54 | ) | (0.58 | ) | (0.41 | ) | (0.25 | ) | — | |||||||||||||||||||
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Total distributions | (0.03 | ) | (0.54 | ) | (0.58 | ) | (0.41 | ) | (0.25 | ) | — | |||||||||||||||||||
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Net asset value, end of period | $ | 12.06 | $ | 12.74 | $ | 13.22 | $ | 14.09 | $ | 13.06 | $ | 11.80 | ||||||||||||||||||
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Total Return(c) | (5.11 | )%** | 0.25 | % | (1.88 | )% | 11.12 | % | 12.88 | % | (13.17 | )% | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 6,008,713 | $ | 7,114,306 | $ | 8,965,578 | $ | 11,505,699 | $ | 11,226,684 | $ | 13,655,203 | ||||||||||||||||||
Net operating expenses to average daily net assets | 0.01 | %(d)* | 0.00 | %(d)(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | ||||||||||||||||||
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(f) | 0.10 | %* | 0.06 | % | 0.10 | % | 0.04 | % | 0.05 | % | 0.07 | % | ||||||||||||||||||
Total net expenses to average daily net assets | 0.11 | %(d)* | 0.06 | %(d) | 0.10 | % | 0.04 | % | 0.05 | % | 0.07 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets | 4.17 | %(a)* | 3.65 | %(a) | 2.95 | % | 2.44 | % | 2.11 | % | 1.62 | % | ||||||||||||||||||
Portfolio turnover rate | 85 | %(g)** | 97 | %(g) | 112 | % | 146 | % | 142 | % | 127 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.06 | %(h)* | 0.05 | %(h) | 0.04 | % | 0.04 | % | 0.05 | % | 0.05 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | — | $ | — | $ | 0.00 | (i) | $ | 0.01 | $ | 0.01 | $ | 0.01 |
(a) | Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any. |
(b) | Distributions to shareholders were not required to be made for periods prior to July 1, 2015, the date on which the Fund elected to be treated as a corporation for U.S. federal income purposes. |
(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) | Rounds to less than 0.01%. |
(f) | Interest and dividend expense and/or borrowing costs incurred as a result of entering into repurchase agreements or securities sold short, 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 period ended August 31, 2020 and February 29, 2020, including transactions in USTF was 89% and 100% respectively, of the average value of its portfolio. |
(h) | Ratio includes indirect fees waived or borne by GMO. |
(i) | Rounds to less than $0.01. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 119 |
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, 2020 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.52 | $ | 14.75 | $ | 17.32 | $ | 14.72 | $ | 13.05 | $ | 16.88 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.05 | 0.49 | 0.51 | 0.53 | 0.45 | 0.48 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.58 | (0.12 | ) | (2.56 | ) | 2.61 | 1.79 | (3.83 | ) | |||||||||||||||||||||
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Total from investment operations | 0.63 | 0.37 | (2.05 | ) | 3.14 | 2.24 | (3.35 | ) | ||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.02 | ) | (0.60 | ) | (0.52 | ) | (0.54 | ) | (0.57 | ) | (0.48 | ) | ||||||||||||||||||
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Total distributions | (0.02 | ) | (0.60 | ) | (0.52 | ) | (0.54 | ) | (0.57 | ) | (0.48 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 15.13 | $ | 14.52 | $ | 14.75 | $ | 17.32 | $ | 14.72 | $ | 13.05 | ||||||||||||||||||
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Total Return(b) | 4.36 | %** | 2.14 | % | (11.57 | )% | 21.41 | % | 17.37 | % | (20.09 | )% | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 192,597 | $ | 297,463 | $ | 572,830 | $ | 664,867 | $ | 601,792 | $ | 942,823 | ||||||||||||||||||
Net expenses to average daily net assets(c)(d) | 0.00 | %* | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 0.70 | %* | 3.25 | % | 3.25 | % | 3.20 | % | 3.14 | % | 3.07 | % | ||||||||||||||||||
Portfolio turnover rate | 2 | %** | 11 | % | 8 | % | 5 | % | 10 | % | 14 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.03 | %* | 0.02 | % | 0.02 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | — | — | $ | 0.00 | (e) | $ | 0.00 | (e) | $ | 0.01 | $ | 0.00 | (e) |
(a) | Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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) | Rounds to less than 0.01%. |
(e) | Rounds to less than $0.01. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
120 | 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 | Class R6 Shares | |||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2020 (Unaudited) | Period from August 30, 2019 (commencement of operations) through February 29, 2020 | |||||||||||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017(a) | 2016(a) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 27.45 | $ | 28.09 | $ | 32.62 | $ | 27.49 | $ | 23.40 | $ | 31.71 | $ | 27.44 | $ | 27.07 | ||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.10 | 1.02 | 0.91 | 0.93 | 0.84 | 0.84 | 0.10 | 1.14 | ||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.16 | (0.46 | ) | (4.47 | ) | 5.19 | 4.15 | (7.11 | ) | 1.16 | 0.33 | |||||||||||||||||||||||||||||
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Total from investment operations | 1.26 | 0.56 | (3.56 | ) | 6.12 | 4.99 | (6.27 | ) | 1.26 | 1.47 | ||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.10 | ) | (1.20 | ) | (0.97 | ) | (0.99 | ) | (0.90 | ) | (0.87 | ) | (0.10 | ) | (1.10 | ) | ||||||||||||||||||||||||
From net realized gains | — | — | — | — | — | (1.17 | ) | — | — | |||||||||||||||||||||||||||||||
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Total distributions | (0.10 | ) | (1.20 | ) | (0.97 | ) | (0.99 | ) | (0.90 | ) | (2.04 | ) | (0.10 | ) | (1.10 | ) | ||||||||||||||||||||||||
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Net asset value, end of period | $ | 28.61 | $ | 27.45 | $ | 28.09 | $ | 32.62 | $ | 27.49 | $ | 23.40 | $ | 28.60 | $ | 27.44 | ||||||||||||||||||||||||
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Total Return(c) | 4.60 | %** | 1.62 | % | (10.69 | )% | 22.38 | % | 21.57 | % | (20.70 | )% | 4.60 | %** | 5.04 | %** | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 525,820 | $ | 646,622 | $ | 929,967 | $ | 1,151,327 | $ | 1,085,803 | $ | 1,134,800 | $ | 226,211 | $ | 210,223 | ||||||||||||||||||||||||
Net expenses to average daily net assets(d)(e) | 0.00 | %* | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | %* | 0.00 | %* | ||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 0.75 | %* | 3.55 | % | 3.09 | % | 3.00 | % | 3.20 | % | 2.92 | % | 0.80 | %* | 7.83 | %* | ||||||||||||||||||||||||
Portfolio turnover rate | 6 | %** | 7 | % | 8 | % | 12 | % | 7 | % | 14 | % | 6 | %** | 7 | %** | ||||||||||||||||||||||||
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 | % | 0.02 | %* | 0.02 | %* | ||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | — | — | $ | 0.00 | (f) | $ | 0.02 | $ | 0.02 | $ | 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 other GMO Funds and/or other investment companies 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) | Rounds to less than 0.01%. |
(f) | Rounds to less than $0.01. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 121 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
CONSOLIDATED SGM MAJOR MARKETS FUND
Class III Shares | Class VI Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | Period from December 1, 2015 (commencement of operations) through February 29, 2016 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 31.13 | $ | 32.17 | $ | 31.87 | $ | 32.68 | $ | 33.25 | $ | 33.80 | $ | 31.07 | $ | 32.11 | $ | 31.78 | $ | 32.57 | $ | 33.26 | $ | 33.07 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | (0.04 | ) | 0.27 | 0.31 | 0.24 | (0.21 | ) | (0.26 | ) | (0.02 | ) | 0.25 | 0.33 | 0.05 | (0.16 | ) | (0.05 | ) | ||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 2.19 | (0.83 | ) | 0.11 | (b) | 0.23 | 1.87 | (0.29 | ) | 2.18 | (0.77 | ) | 0.13 | (b) | 0.44 | 1.85 | 0.24 | |||||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 2.15 | (0.56 | ) | 0.42 | 0.47 | 1.66 | (0.55 | ) | 2.16 | (0.52 | ) | 0.46 | 0.49 | 1.69 | 0.19 | |||||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.03 | ) | (0.48 | ) | (0.12 | ) | — | (1.01 | ) | — | (0.03 | ) | (0.52 | ) | (0.13 | ) | — | (1.16 | ) | — | ||||||||||||||||||||||||||||||||||||||||
From net realized gains | — | — | — | (1.28 | ) | (1.22 | ) | — | — | — | — | (1.28 | ) | (1.22 | ) | — | ||||||||||||||||||||||||||||||||||||||||||||
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Total distributions | (0.03 | ) | (0.48 | ) | (0.12 | ) | (1.28 | ) | (2.23 | ) | — | (0.03 | ) | (0.52 | ) | (0.13 | ) | (1.28 | ) | (2.38 | ) | — | ||||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 33.25 | $ | 31.13 | $ | 32.17 | $ | 31.87 | $ | 32.68 | $ | 33.25 | $ | 33.20 | $ | 31.07 | $ | 32.11 | $ | 31.78 | $ | 32.57 | $ | 33.26 | ||||||||||||||||||||||||||||||||||||
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Total Return(c) | 6.92 | %** | (1.74 | )% | 1.32 | % | 1.44 | % | 5.12 | % | (1.63 | )% | 6.97 | %** | (1.65 | )% | 1.47 | % | 1.50 | % | 5.22 | % | 0.57 | %** | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 20,246 | $ | 18,527 | $ | 45,409 | $ | 26,630 | $ | 6,117 | $ | 24,020 | $ | 315,783 | $ | 831,870 | $ | 1,161,238 | $ | 1,843,748 | $ | 1,446,445 | $ | 1,297,025 | ||||||||||||||||||||||||||||||||||||
Net expenses to average daily net assets(d) | 1.01 | %* | 1.01 | % | 1.00 | % | 1.00 | % | 1.00 | % | 0.85 | % | 0.91 | %* | 0.91 | % | 0.91 | % | 0.91 | % | 0.91 | % | 0.91 | %* | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | (0.23 | )%* | 0.85 | % | 0.97 | % | 0.75 | % | (0.61 | )% | (0.79 | )% | (0.10 | )%* | 0.79 | % | 1.04 | % | 0.16 | % | (0.47 | )% | (0.59 | )%* | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 42 | %** | 46 | % | 49 | %(e) | 106 | %(e) | 15 | %(e) | 29 | % | 42 | %** | 46 | % | 49 | %(e) | 106 | %(e) | 15 | %(e) | 29 | %** | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.09 | %* | 0.05 | % | 0.04 | % | 0.03 | % | 0.04 | % | 0.03 | % | 0.08 | %* | 0.04 | % | 0.04 | % | 0.03 | % | 0.04 | % | 0.13 | %* |
(a) | Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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 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, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 75%, 51% and 47%, respectively, of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
122 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
CONSOLIDATED SPECIAL OPPORTUNITIES FUND
Class VI Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.40 | $ | 19.04 | $ | 25.27 | $ | 20.39 | $ | 18.65 | $ | 19.81 | ||||||||||||||||||
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)† | (0.10 | ) | (0.09 | ) | (0.04 | ) | (0.03 | ) | 0.21 | 0.16 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 25.10 | 0.09 | 1.28 | 6.57 | 2.23 | (0.85 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 25.00 | — | 1.24 | 6.54 | 2.44 | (0.69 | ) | |||||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | — | — | — | (0.02 | ) | (0.32 | ) | (0.21 | ) | |||||||||||||||||||||
From net realized gains | (8.54 | ) | (2.64 | ) | (7.47 | ) | (1.64 | ) | (0.38 | ) | (0.26 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (8.54 | ) | (2.64 | ) | (7.47 | ) | (1.66 | ) | (0.70 | ) | (0.47 | ) | ||||||||||||||||||
|
|
|
|
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|
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|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 32.86 | $ | 16.40 | $ | 19.04 | $ | 25.27 | $ | 20.39 | $ | 18.65 | ||||||||||||||||||
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|
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| |||||||||||||||||||
Total Return(a) | 166.74 | %** | (0.75 | )% | 4.77 | % | 32.60 | % | 13.21 | % | (3.64 | )% | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 301,202 | $ | 286,053 | $ | 423,375 | $ | 1,036,245 | $ | 992,819 | $ | 1,138,735 | ||||||||||||||||||
Net expenses to average daily net assets | 1.23 | %* | 1.22 | % | 1.20 | % | 1.21 | % | 1.23 | % | 1.29 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets | (0.93 | )%* | (0.48 | )% | (0.20 | )% | (0.12 | )% | 1.05 | % | 0.80 | % | ||||||||||||||||||
Portfolio turnover rate | 40 | %** | 43 | % | 30 | % | 10 | % | 87 | % | 69 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | 0.12 | $ | 0.04 | $ | 0.13 | $ | 0.04 | $ | 0.03 | $ | 0.07 |
(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. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 123 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
STRATEGIC OPPORTUNITIES ALLOCATION FUND
Class III Shares | ||||||||||||||||||||||||
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 18.98 | $ | 19.48 | $ | 22.08 | $ | 19.76 | $ | 17.43 | $ | 21.89 | ||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.12 | 0.67 | 0.62 | 0.58 | 0.51 | 0.75 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.57 | (0.11 | ) | (1.45 | ) | 2.39 | 2.36 | (3.47 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.69 | 0.56 | (0.83 | ) | 2.97 | 2.87 | (2.72 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||
From net investment income | (0.05 | ) | (0.77 | ) | (0.67 | ) | (0.63 | ) | (0.53 | ) | (0.80 | ) | ||||||||||||
From net realized gains | (0.18 | ) | (0.29 | ) | (1.10 | ) | (0.02 | ) | (0.01 | ) | (0.94 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | (0.23 | ) | (1.06 | ) | (1.77 | ) | (0.65 | ) | (0.54 | ) | (1.74 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 19.44 | $ | 18.98 | $ | 19.48 | $ | 22.08 | $ | 19.76 | $ | 17.43 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return(b) | 3.69 | %** | 2.57 | % | (3.45 | )% | 15.10 | % | 16.60 | % | (13.00 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 686,083 | $ | 773,438 | $ | 915,148 | $ | 1,302,441 | $ | 2,016,999 | $ | 1,967,916 | ||||||||||||
Net operating expenses to average daily net assets(c) | 0.01 | %* | 0.01 | % | 0.01 | % | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | ||||||||||||
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e) | 0.03 | %* | 0.03 | % | 0.03 | % | — | — | — | |||||||||||||||
Total net expenses to average daily net assets(c) | 0.04 | %* | 0.04 | % | 0.04 | % | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | ||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.32 | %* | 3.35 | % | 3.01 | % | 2.73 | % | 2.69 | % | 3.80 | % | ||||||||||||
Portfolio turnover rate | 19 | %(f)** | 36 | %(f) | 35 | %(f) | 20 | %(f) | 28 | %(f) | 65 | % | ||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.05 | %* | 0.03 | % | 0.03 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | — | — | $ | 0.00 | (g) | $ | 0.02 | $ | 0.00 | (g) | $ | 0.00 | (g) |
(a) | Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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) | Rounds to less than 0.01%. |
(e) | Interest and dividend expense and/or borrowing costs incurred as a result of entering into reverse repurchase agreements or securities sold short, 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. |
(f) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 30%, 41%, 38%, 25% and 39%, respectively, of the average value of its portfolio. |
(g) | Rounds to less than $0.01. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
124 | See accompanying notes to the financial statements. |
GMO Trust Funds
August 31, 2020 (Unaudited)
1. | Organization |
Each of Alternative Allocation 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 Alternative Allocation Fund, Implementation Fund, Special Opportunities Fund, and SGM Major Markets Fund may also invest in GMO Alternative Allocation SPC Ltd., GMO Implementation SPC Ltd., GMO Special Opportunities SPC Ltd. and GMO Alternative Asset SPC Ltd., (each a “wholly-owned subsidiary”) 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 | ||
Alternative Allocation Fund | Not Applicable | Positive total return | ||
Benchmark-Free Allocation Fund | Not Applicable | Positive total 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 | Not Applicable | 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% Bloomberg Barclays U.S. Aggregate Index) | Total return greater than benchmark |
Benchmark-Free Fund, Implementation Fund, Special Opportunities Fund and Strategic Opportunities Allocation 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
125
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
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: Alternative Allocation Fund, Benchmark-Free Allocation Fund, Implementation Fund, Special Opportunities Fund and SGM Major Markets Fund
Alternative Allocation Fund, Implementation Fund, Special Opportunities Fund and SGM Major Markets Fund include the accounts of their wholly-owned subsidiaries 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, 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 that range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price.
The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) and are described in the disclosures of the underlying funds.
Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.
“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.
In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.
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
126
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2020, 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.
U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.
The three levels are defined as follows:
Level 1 – Valuations based on quoted prices for identical securities in active markets.
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).
Level 2 – Valuations determined using other significant direct or indirect observable inputs.
The types of assets and liabilities categorized in Level 2 generally include certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.
Level 3 – Valuations based primarily on inputs that are unobservable and significant.
The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they may be valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; potential litigation recoveries and interests related to bankruptcy proceedings; 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.
127
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2020:
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Consolidated Alternative Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
France | $ | — | $ | 7,142,806 | $ | — | $ | 7,142,806 | ||||||||
Italy | — | 3,296,206 | — | 3,296,206 | ||||||||||||
United Kingdom | 9,947,400 | — | — | 9,947,400 | ||||||||||||
United States | 80,616,999 | — | — | 80,616,999 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 90,564,399 | 10,439,012 | — | 101,003,411 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
United States | 268,536 | — | — | 268,536 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | 268,536 | — | — | 268,536 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Debt Obligations | ||||||||||||||||
United States | 164,084,065 | — | — | 164,084,065 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 164,084,065 | — | — | 164,084,065 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 50,952,080 | — | — | 50,952,080 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 50,952,080 | — | — | 50,952,080 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | ||||||||||||||||
United States | — | — | 9,255,816 | 9,255,816 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENT FUNDS | — | — | 9,255,816 | 9,255,816 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 1,591,834 | 104,620,783 | — | 106,212,617 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 307,460,914 | 115,059,795 | 9,255,816 | 431,776,525 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 7,110,880 | — | 7,110,880 | ||||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | 1,419,295 | 20,013 | — | 1,439,308 | ||||||||||||
Interest Rate Risk | 46,885 | — | — | 46,885 | ||||||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | 682,372 | — | 682,372 | ||||||||||||
Interest Rate Risk | — | 3,927,192 | — | 3,927,192 | ||||||||||||
Physical Commodity Contract Risk | — | 35,594 | — | 35,594 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 308,927,094 | $ | 126,835,846 | $ | 9,255,816 | $ | 445,018,756 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
France | $ | — | $ | (8,549,703 | ) | $ | — | $ | (8,549,703 | ) | ||||||
Netherlands | — | (1,612,861 | ) | — | (1,612,861 | ) | ||||||||||
United Kingdom | (10,114,469 | ) | — | — | (10,114,469 | ) | ||||||||||
United States | (58,915,825 | ) | — | — | (58,915,825 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | (69,030,294 | ) | (10,162,564 | ) | — | (79,192,858 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | (6,764,374 | ) | — | (6,764,374 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | (4,259,789 | ) | (714,267 | ) | — | (4,974,056 | ) | |||||||||
Interest Rate Risk | (101 | ) | — | — | (101 | ) | ||||||||||
128
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Consolidated Alternative Allocation Fund (continued) | ||||||||||||||||
Liability Valuation Inputs (continued) | ||||||||||||||||
Derivatives (continued) | ||||||||||||||||
Written Options | ||||||||||||||||
Equity Risk | $ | (507,364 | ) | $ | — | $ | — | $ | (507,364 | ) | ||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | (2,101,973 | ) | — | (2,101,973 | ) | ||||||||||
Physical Commodity Contract Risk | — | (13,457 | ) | — | (13,457 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (73,797,548 | ) | $ | (19,756,635 | ) | $ | — | $ | (93,554,183 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Benchmark-Free Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 7,109,007,917 | $ | — | $ | — | $ | 7,109,007,917 | ||||||||
Short-Term Investments | 4,347,848 | — | — | 4,347,848 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 7,113,355,765 | — | — | 7,113,355,765 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 7,113,355,765 | $ | — | $ | — | $ | 7,113,355,765 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Benchmark-Free Fund |
| |||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Argentina | $ | 38,081 | $ | — | $ | — | $ | 38,081 | ||||||||
Australia | — | 20,744,976 | — | 20,744,976 | ||||||||||||
Austria | — | 75,070 | — | 75,070 | ||||||||||||
Belgium | — | 8,709,320 | — | 8,709,320 | ||||||||||||
Brazil | — | 19,673,293 | — | 19,673,293 | ||||||||||||
Canada | 28,387,490 | — | — | 28,387,490 | ||||||||||||
Chile | 1,719,198 | 218,027 | — | 1,937,225 | ||||||||||||
China | 23,508,104 | 228,608,974 | — | 252,117,078 | ||||||||||||
Czech Republic | — | 71,876 | — | 71,876 | ||||||||||||
Denmark | — | 443,234 | — | 443,234 | ||||||||||||
Finland | — | 3,128,717 | — | 3,128,717 | ||||||||||||
France | 3,360,035 | 40,751,678 | — | 44,111,713 | ||||||||||||
Germany | — | 33,710,790 | — | 33,710,790 | ||||||||||||
Greece | — | — | 0 | § | 0 | § | ||||||||||
Hong Kong | — | 13,696,324 | — | 13,696,324 | ||||||||||||
Hungary | — | 1,143,553 | — | 1,143,553 | ||||||||||||
India | 3,408,762 | 26,206,819 | — | 29,615,581 | ||||||||||||
Indonesia | — | 6,467,828 | — | 6,467,828 | ||||||||||||
Ireland | 2,478,280 | 5,911,634 | — | 8,389,914 | ||||||||||||
Israel | — | 416,959 | — | 416,959 | ||||||||||||
Italy | — | 25,495,078 | — | 25,495,078 | ||||||||||||
Japan | — | 161,930,778 | — | 161,930,778 | ||||||||||||
Kuwait | — | 30,756 | — | 30,756 | ||||||||||||
Malaysia | — | 12,336,217 | — | 12,336,217 | ||||||||||||
Mexico | 18,935,250 | — | — | 18,935,250 | ||||||||||||
Netherlands | — | 35,145,392 | — | 35,145,392 | ||||||||||||
New Zealand | — | 494,258 | — | 494,258 | ||||||||||||
Norway | 484,764 | 16,478,481 | — | 16,963,245 | ||||||||||||
Pakistan | — | 704,781 | — | 704,781 | ||||||||||||
Philippines | — | 1,126,581 | — | 1,126,581 | ||||||||||||
Poland | — | 8,547,213 | — | 8,547,213 | ||||||||||||
Portugal | — | 17,786,121 | — | 17,786,121 | ||||||||||||
Qatar | — | 714,537 | — | 714,537 | ||||||||||||
Russia | 1,012,019 | 65,245,087 | — | 66,257,106 | ||||||||||||
Singapore | — | 24,254,857 | — | 24,254,857 | ||||||||||||
129
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Benchmark-Free Fund (continued) |
| |||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Common Stocks (continued) | ||||||||||||||||
South Africa | $ | 471,686 | $ | 26,963,598 | $ | — | $ | 27,435,284 | ||||||||
South Korea | 3,807,368 | 58,687,747 | — | 62,495,115 | ||||||||||||
Spain | — | 35,748,957 | — | 35,748,957 | ||||||||||||
Sweden | — | 14,382,571 | — | 14,382,571 | ||||||||||||
Switzerland | — | 18,788,360 | — | 18,788,360 | ||||||||||||
Taiwan | 2,279,153 | 83,370,490 | — | 85,649,643 | ||||||||||||
Thailand | — | 2,988,238 | — | 2,988,238 | ||||||||||||
Turkey | — | 14,315,069 | — | 14,315,069 | ||||||||||||
United Arab Emirates | — | 2,636,061 | — | 2,636,061 | ||||||||||||
United Kingdom | 5,136,092 | 103,069,930 | 14,589 | 108,220,611 | ||||||||||||
United States | 165,695,188 | — | — | 165,695,188 | ||||||||||||
Vietnam | — | 196,753 | — | 196,753 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 260,721,470 | 1,141,416,983 | 14,589 | 1,402,153,042 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | — | 9,091,549 | — | 9,091,549 | ||||||||||||
Colombia | 115,726 | — | — | 115,726 | ||||||||||||
Germany | — | 3,649,983 | — | 3,649,983 | ||||||||||||
Russia | — | 7,593,686 | — | 7,593,686 | ||||||||||||
South Korea | — | 13,053,681 | — | 13,053,681 | ||||||||||||
Taiwan | — | 45,589 | — | 45,589 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 115,726 | 33,434,488 | — | 33,550,214 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
Italy | — | 0 | § | — | 0 | § | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | — | 0 | § | — | 0 | § | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | ||||||||||||||||
United States | 4,855,950 | — | — | 4,855,950 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENT FUNDS | 4,855,950 | — | — | 4,855,950 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Debt Obligations | ||||||||||||||||
United States | 238,769,180 | 4,245,263 | — | 243,014,443 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 238,769,180 | 4,245,263 | — | 243,014,443 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 522,413,159 | — | — | 522,413,159 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 522,413,159 | — | — | 522,413,159 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 8,990,300 | — | — | 8,990,300 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,035,865,785 | 1,179,096,734 | 14,589 | 2,214,977,108 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 2,331,146 | — | 2,331,146 | ||||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | 432,102 | 4,825,678 | — | 5,257,780 | ||||||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | — | 692,511 | — | 692,511 | ||||||||||||
Interest Rate Risk | — | 1,763,498 | — | 1,763,498 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,036,297,887 | $ | 1,188,709,567 | $ | 14,589 | $ | 2,225,022,043 | ||||||||
|
|
|
|
|
|
|
| |||||||||
130
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Benchmark-Free Fund (continued) |
| |||||||||||||||
Liability Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Austria | $ | — | $ | (1,875,751 | ) | $ | — | $ | (1,875,751 | ) | ||||||
Brazil | (3,457,878 | ) | — | — | (3,457,878 | ) | ||||||||||
Canada | (910,529 | ) | — | — | (910,529 | ) | ||||||||||
Denmark | — | (3,666,672 | ) | — | (3,666,672 | ) | ||||||||||
Finland | — | (505,329 | ) | — | (505,329 | ) | ||||||||||
France | — | (357,624 | ) | — | (357,624 | ) | ||||||||||
Germany | — | (3,497,118 | ) | — | (3,497,118 | ) | ||||||||||
Israel | (1,944,558 | ) | — | — | (1,944,558 | ) | ||||||||||
Japan | — | (7,839,391 | ) | — | (7,839,391 | ) | ||||||||||
Netherlands | — | (105,871 | ) | — | (105,871 | ) | ||||||||||
Norway | — | (52,157 | ) | — | (52,157 | ) | ||||||||||
Singapore | — | (69,156 | ) | — | (69,156 | ) | ||||||||||
Spain | — | (1,206,183 | ) | — | (1,206,183 | ) | ||||||||||
Sweden | — | (1,184,050 | ) | — | (1,184,050 | ) | ||||||||||
Switzerland | — | (46,875 | ) | — | (46,875 | ) | ||||||||||
United Kingdom | — | (1,565,020 | ) | — | (1,565,020 | ) | ||||||||||
United States | (1,616,892 | ) | — | — | (1,616,892 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | (7,929,857 | ) | (21,971,197 | ) | — | (29,901,054 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | (16,689,011 | ) | — | (16,689,011 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | (49,448,356 | ) | (6,399,844 | ) | — | (55,848,200 | ) | |||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | — | (125,919 | ) | — | (125,919 | ) | ||||||||||
Interest Rate Risk | — | (910,469 | ) | — | (910,469 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (57,378,213 | ) | $ | (46,096,440 | ) | $ | — | $ | (103,474,653 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Global Asset Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 1,315,522,732 | $ | — | $ | — | $ | 1,315,522,732 | ||||||||
Debt Obligations | ||||||||||||||||
Asset-Backed Securities | — | 28,356 | — | 28,356 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | — | 28,356 | — | 28,356 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 3,380,783 | — | — | 3,380,783 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,318,903,515 | 28,356 | — | 1,318,931,871 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,318,903,515 | $ | 28,356 | $ | — | $ | 1,318,931,871 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | $ | (5,672,502 | ) | $ | — | $ | — | $ | (5,672,502 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (5,672,502 | ) | $ | — | $ | — | $ | (5,672,502 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Global Developed Equity Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 73,473,251 | $ | — | $ | — | $ | 73,473,251 | ||||||||
Short-Term Investments | 53,605 | — | — | 53,605 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 73,526,856 | — | — | 73,526,856 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 73,526,856 | $ | — | $ | — | $ | 73,526,856 | ||||||||
|
|
|
|
|
|
|
| |||||||||
131
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Global Equity Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 1,548,262,763 | $ | — | $ | — | $ | 1,548,262,763 | ||||||||
Short-Term Investments | 581,026 | — | — | 581,026 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,548,843,789 | — | — | 1,548,843,789 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,548,843,789 | $ | — | $ | — | $ | 1,548,843,789 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Consolidated Implementation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Argentina | $ | 171,196 | $ | — | $ | — | $ | 171,196 | ||||||||
Australia | — | 62,530,126 | — | 62,530,126 | ||||||||||||
Austria | — | 255,218 | — | 255,218 | ||||||||||||
Belgium | — | 21,185,738 | — | 21,185,738 | ||||||||||||
Brazil | — | 55,838,809 | — | 55,838,809 | ||||||||||||
Canada | 77,634,508 | — | — | 77,634,508 | ||||||||||||
Chile | 5,920,497 | 413,170 | — | 6,333,667 | ||||||||||||
China | 104,716,910 | 740,431,310 | — | 845,148,220 | ||||||||||||
Czech Republic | — | 476,610 | — | 476,610 | ||||||||||||
Denmark | — | 1,544,362 | — | 1,544,362 | ||||||||||||
Finland | — | 7,896,500 | — | 7,896,500 | ||||||||||||
France | 6,818,350 | 137,173,064 | — | 143,991,414 | ||||||||||||
Germany | — | 86,287,840 | — | 86,287,840 | ||||||||||||
Hong Kong | — | 34,306,034 | — | 34,306,034 | ||||||||||||
Hungary | — | 3,965,352 | — | 3,965,352 | ||||||||||||
India | 8,934,912 | 80,234,350 | — | 89,169,262 | ||||||||||||
Indonesia | — | 25,827,591 | — | 25,827,591 | ||||||||||||
Ireland | 7,267,890 | 15,071,777 | — | 22,339,667 | ||||||||||||
Israel | — | 260,517 | — | 260,517 | ||||||||||||
Italy | — | 79,378,711 | — | 79,378,711 | ||||||||||||
Japan | — | 426,573,276 | — | 426,573,276 | ||||||||||||
Kuwait | — | 193,873 | — | 193,873 | ||||||||||||
Malaysia | — | 32,069,537 | — | 32,069,537 | ||||||||||||
Mexico | 60,486,175 | — | — | 60,486,175 | ||||||||||||
Netherlands | — | 94,894,237 | — | 94,894,237 | ||||||||||||
New Zealand | — | 1,116,361 | — | 1,116,361 | ||||||||||||
Norway | 1,048,332 | 38,155,764 | — | 39,204,096 | ||||||||||||
Pakistan | — | 4,200,527 | — | 4,200,527 | ||||||||||||
Philippines | — | 4,681,656 | — | 4,681,656 | ||||||||||||
Poland | — | 35,202,906 | — | 35,202,906 | ||||||||||||
Portugal | — | 46,330,120 | — | 46,330,120 | ||||||||||||
Qatar | — | 7,198,439 | — | 7,198,439 | ||||||||||||
Russia | 3,507,857 | 244,962,619 | — | 248,470,476 | ||||||||||||
Saudi Arabia | — | 43,777 | — | 43,777 | ||||||||||||
Singapore | — | 70,406,899 | — | 70,406,899 | ||||||||||||
South Africa | 2,422,277 | 91,599,830 | — | 94,022,107 | ||||||||||||
South Korea | 13,064,402 | 158,242,114 | 382,537 | 171,689,053 | ||||||||||||
Spain | — | 89,722,996 | — | 89,722,996 | ||||||||||||
Sweden | — | 39,055,981 | — | 39,055,981 | ||||||||||||
Switzerland | — | 49,256,886 | — | 49,256,886 | ||||||||||||
Taiwan | 24,706,187 | 308,650,389 | — | 333,356,576 | ||||||||||||
Thailand | — | 6,430,497 | — | 6,430,497 | ||||||||||||
Turkey | — | 42,060,018 | — | 42,060,018 | ||||||||||||
132
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Consolidated Implementation Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Common Stocks (continued) | ||||||||||||||||
United Arab Emirates | $ | — | $ | 6,775,333 | $ | — | $ | 6,775,333 | ||||||||
United Kingdom | 46,150,208 | 265,470,745 | — | 311,620,953 | ||||||||||||
United States | 767,022,183 | — | 10,024,236 | 777,046,419 | ||||||||||||
Vietnam | — | 1,371,732 | — | 1,371,732 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 1,129,871,884 | 3,417,743,591 | 10,406,773 | 4,558,022,248 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | — | 22,639,701 | — | 22,639,701 | ||||||||||||
Colombia | 560,463 | — | — | 560,463 | ||||||||||||
Germany | — | 8,678,418 | — | 8,678,418 | ||||||||||||
Russia | — | 26,469,502 | — | 26,469,502 | ||||||||||||
South Korea | — | 49,673,934 | — | 49,673,934 | ||||||||||||
Taiwan | — | 481,843 | — | 481,843 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 560,463 | 107,943,398 | — | 108,503,861 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
United States | 791,672 | — | 430,926 | 1,222,598 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | 791,672 | — | 430,926 | 1,222,598 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | ||||||||||||||||
United States | 29,757,709 | — | 27,767,425 | 57,525,134 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENT FUNDS | 29,757,709 | — | 27,767,425 | 57,525,134 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Debt Obligations | ||||||||||||||||
Brazil | — | 7,656,413 | — | 7,656,413 | ||||||||||||
Israel | — | 6,802,990 | — | 6,802,990 | ||||||||||||
Jamaica | — | 6,816,387 | 4,793,885 | 11,610,272 | ||||||||||||
Netherlands | — | 11,971,607 | — | 11,971,607 | ||||||||||||
Puerto Rico | — | 12,046,865 | — | 12,046,865 | ||||||||||||
United States | 885,404,453 | 184,670,440 | 49,765,015 | 1,119,839,908 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 885,404,453 | 229,964,702 | 54,558,900 | 1,169,928,055 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 32,173,243 | — | — | 32,173,243 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 32,173,243 | — | — | 32,173,243 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 79,887,573 | 116,789,908 | — | 196,677,481 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 2,158,446,997 | 3,872,441,599 | 93,164,024 | 6,124,052,620 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 26,313,985 | — | 26,313,985 | ||||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | 11,178,668 | 11,091,863 | — | 22,270,531 | ||||||||||||
Interest Rate Risk | 193,391 | — | — | 193,391 | ||||||||||||
Physical Commodity Contract Risk | 1,960,844 | — | — | 1,960,844 | ||||||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | — | 1,982,610 | — | 1,982,610 | ||||||||||||
Interest Rate Risk | — | 10,706,556 | — | 10,706,556 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,171,779,900 | $ | 3,922,536,613 | $ | 93,164,024 | $ | 6,187,480,537 | ||||||||
|
|
|
|
|
|
|
| |||||||||
133
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Consolidated Implementation Fund (continued) | ||||||||||||||||
Liability Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Austria | $ | — | $ | (5,137,967 | ) | $ | — | $ | (5,137,967 | ) | ||||||
Brazil | (8,457,498 | ) | — | — | (8,457,498 | ) | ||||||||||
Canada | (4,174,660 | ) | — | — | (4,174,660 | ) | ||||||||||
Denmark | — | (9,661,780 | ) | — | (9,661,780 | ) | ||||||||||
Finland | — | (1,292,701 | ) | — | (1,292,701 | ) | ||||||||||
France | — | (25,280,047 | ) | — | (25,280,047 | ) | ||||||||||
Germany | — | (8,824,464 | ) | — | (8,824,464 | ) | ||||||||||
Israel | (3,388,245 | ) | — | — | (3,388,245 | ) | ||||||||||
Japan | — | (17,902,961 | ) | — | (17,902,961 | ) | ||||||||||
Netherlands | — | (4,315,801 | ) | — | (4,315,801 | ) | ||||||||||
New Zealand | — | (9,829 | ) | — | (9,829 | ) | ||||||||||
Singapore | — | (124,080 | ) | — | (124,080 | ) | ||||||||||
Spain | — | (1,227,191 | ) | — | (1,227,191 | ) | ||||||||||
Sweden | — | (2,875,271 | ) | — | (2,875,271 | ) | ||||||||||
United Kingdom | (30,290,191 | ) | (6,298,429 | ) | — | (36,588,620 | ) | |||||||||
United States | (167,249,161 | ) | — | — | (167,249,161 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | (213,559,755 | ) | (82,950,521 | ) | — | (296,510,276 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Debt Obligations | ||||||||||||||||
United States | — | (5,277,930 | ) | — | (5,277,930 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | — | (5,277,930 | ) | — | (5,277,930 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | (53,464,989 | ) | — | (53,464,989 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | (146,405,339 | ) | (17,862,009 | ) | — | (164,267,348 | ) | |||||||||
Interest Rate Risk | (406 | ) | — | — | (406 | ) | ||||||||||
Physical Commodity Contract Risk | (1,499,480 | ) | — | — | (1,499,480 | ) | ||||||||||
Written Options | ||||||||||||||||
Equity Risk | (1,026,000 | ) | — | — | (1,026,000 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | (693,374 | ) | — | (693,374 | ) | ||||||||||
Equity Risk | — | (250,666 | ) | — | (250,666 | ) | ||||||||||
Interest Rate Risk | — | (5,612,440 | ) | — | (5,612,440 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (362,490,980 | ) | $ | (166,111,929 | ) | $ | — | $ | (528,602,909 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
International Developed Equity Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 192,537,685 | $ | — | $ | — | $ | 192,537,685 | ||||||||
Short-Term Investments | 96,619 | — | — | 96,619 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 192,634,304 | — | — | 192,634,304 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 192,634,304 | $ | — | $ | — | $ | 192,634,304 | ||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 751,802,102 | $ | — | $ | — | $ | 751,802,102 | ||||||||
Short-Term Investments | 268,834 | — | — | 268,834 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 752,070,936 | — | — | 752,070,936 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 752,070,936 | $ | — | $ | — | $ | 752,070,936 | ||||||||
|
|
|
|
|
|
|
| |||||||||
134
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Consolidated SGM Major Markets Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
U.S. Government | $ | 315,799,805 | $ | — | $ | — | $ | 315,799,805 | ||||||||
U.S. Government Agency | 9,001,154 | — | — | 9,001,154 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 324,800,959 | — | — | 324,800,959 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 12,504,545 | 1,420,179 | — | 13,924,724 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 337,305,504 | 1,420,179 | — | 338,725,683 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 7,265,372 | — | 7,265,372 | ||||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | 3,548,890 | 48,061 | — | 3,596,951 | ||||||||||||
Interest Rate Risk | 117,474 | — | — | 117,474 | ||||||||||||
Physical Commodity Contract Risk | 1,204,469 | — | — | 1,204,469 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 342,176,337 | $ | 8,733,612 | $ | — | $ | 350,909,949 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (2,122,838 | ) | $ | — | $ | (2,122,838 | ) | ||||||
Futures Contracts | ||||||||||||||||
Equity Risk | — | (1,779,640 | ) | — | (1,779,640 | ) | ||||||||||
Interest Rate Risk | (253 | ) | — | — | (253 | ) | ||||||||||
Physical Commodity Contract Risk | (921,008 | ) | — | — | (921,008 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (921,261 | ) | $ | (3,902,478 | ) | $ | — | $ | (4,823,739 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Consolidated Special Opportunities Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Israel | $ | 11,195,940 | $ | — | $ | — | $ | 11,195,940 | ||||||||
New Zealand | — | 14,063,533 | — | 14,063,533 | ||||||||||||
United Kingdom | — | 4,838,011 | — | 4,838,011 | ||||||||||||
United States | 200,254,000 | — | — | 200,254,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 211,449,940 | 18,901,544 | — | 230,351,484 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 30,176,887 | 206 | — | 30,177,093 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 241,626,827 | 18,901,750 | — | 260,528,577 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 241,626,827 | $ | 18,901,750 | $ | — | $ | 260,528,577 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Opportunities Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 1,772,773 | $ | — | $ | 1,772,773 | ||||||||
Belgium | — | 566,457 | — | 566,457 | ||||||||||||
Brazil | — | 284,693 | — | 284,693 | ||||||||||||
Canada | 2,289,475 | — | — | 2,289,475 | ||||||||||||
China | — | 3,288,157 | — | 3,288,157 | ||||||||||||
Denmark | — | 69,090 | — | 69,090 | ||||||||||||
Finland | — | 968,722 | — | 968,722 | ||||||||||||
135
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Strategic Opportunities Allocation Fund (continued) |
| |||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Common Stocks (continued) | ||||||||||||||||
France | $ | 101,160 | $ | 4,587,487 | $ | — | $ | 4,688,647 | ||||||||
Germany | — | 4,479,829 | — | 4,479,829 | ||||||||||||
Hong Kong | — | 1,610,950 | — | 1,610,950 | ||||||||||||
India | — | 29,738 | — | 29,738 | ||||||||||||
Ireland | 118,720 | 1,419,000 | — | 1,537,720 | ||||||||||||
Italy | — | 2,955,279 | — | 2,955,279 | ||||||||||||
Japan | — | 30,253,316 | — | 30,253,316 | ||||||||||||
Malaysia | — | 108,636 | — | 108,636 | ||||||||||||
Malta | — | — | 0 | § | 0 | § | ||||||||||
Mexico | 908,639 | — | — | 908,639 | ||||||||||||
Netherlands | — | 4,910,177 | — | 4,910,177 | ||||||||||||
Norway | — | 1,935,016 | — | 1,935,016 | ||||||||||||
Philippines | — | 15,059 | — | 15,059 | ||||||||||||
Poland | — | 97,618 | — | 97,618 | ||||||||||||
Portugal | — | 2,661,209 | — | 2,661,209 | ||||||||||||
Russia | — | 2,371,131 | — | 2,371,131 | ||||||||||||
Singapore | — | 2,589,732 | — | 2,589,732 | ||||||||||||
South Africa | — | 246,316 | — | 246,316 | ||||||||||||
South Korea | 567,359 | 1,694,916 | — | 2,262,275 | ||||||||||||
Spain | — | 5,625,876 | — | 5,625,876 | ||||||||||||
Sweden | — | 1,061,079 | — | 1,061,079 | ||||||||||||
Switzerland | — | 461,513 | — | 461,513 | ||||||||||||
Taiwan | — | 1,169,671 | — | 1,169,671 | ||||||||||||
Turkey | — | 11,505 | — | 11,505 | ||||||||||||
United Kingdom | 452,518 | 14,538,773 | 3,429 | 14,994,720 | ||||||||||||
United States | 53,311,944 | — | — | 53,311,944 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 57,749,815 | 91,783,718 | 3,429 | 149,536,962 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | — | 812,046 | — | 812,046 | ||||||||||||
Germany | — | 152,715 | — | 152,715 | ||||||||||||
Russia | — | 206,466 | — | 206,466 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 1,171,227 | — | 1,171,227 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
Italy | — | 0 | § | — | 0 | § | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | — | 0 | § | — | 0 | § | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Debt Obligations | ||||||||||||||||
United States | — | 32,847,515 | — | 32,847,515 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | — | 32,847,515 | — | 32,847,515 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 512,737,799 | — | — | 512,737,799 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 512,737,799 | — | — | 512,737,799 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 4,096,581 | — | — | 4,096,581 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 574,584,195 | 125,802,460 | 3,429 | 700,390,084 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 4,090 | — | 4,090 | ||||||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | — | 107,096 | — | 107,096 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 574,584,195 | $ | 125,913,646 | $ | 3,429 | $ | 700,501,270 | ||||||||
|
|
|
|
|
|
|
| |||||||||
136
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Strategic Opportunities Allocation Fund (continued) |
| |||||||||||||||
Liability Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Austria | $ | — | $ | (58,061 | ) | $ | — | $ | (58,061 | ) | ||||||
Brazil | (117,992 | ) | — | — | (117,992 | ) | ||||||||||
Canada | (118,990 | ) | — | — | (118,990 | ) | ||||||||||
Denmark | — | (1,619,411 | ) | — | (1,619,411 | ) | ||||||||||
Germany | — | (610,279 | ) | — | (610,279 | ) | ||||||||||
Japan | — | (891,698 | ) | — | (891,698 | ) | ||||||||||
Netherlands | — | (101,203 | ) | — | (101,203 | ) | ||||||||||
Sweden | — | (42,147 | ) | — | (42,147 | ) | ||||||||||
Switzerland | — | (108,640 | ) | — | (108,640 | ) | ||||||||||
United Kingdom | (63,616 | ) | (58,015 | ) | — | (121,631 | ) | |||||||||
United States | (8,480,188 | ) | — | — | (8,480,188 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | (8,780,786 | ) | (3,489,454 | ) | — | (12,270,240 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | (19,725 | ) | — | (19,725 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | (5,575,626 | ) | (89,135 | ) | — | (5,664,761 | ) | |||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | — | (23,064 | ) | — | (23,064 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (14,356,412 | ) | $ | (3,621,378 | ) | $ | — | $ | (17,977,790 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
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.
^ | In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). 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, 2020. |
The underlying funds held at period end are classified above as Level 1. Certain underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds’ Notes to Financial Statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.
U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Implementation Fund’s Level 3 holdings also includes two common stocks which are priced at the average of broker bids and a common stock priced with a 2,000 basis point discount to a comparable stock and an additional 1,000 basis point discount for liquidity considerations. Other than described above, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at August 31, 2020.
137
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
For Funds with material total Level 3 assets and/or liabilities, the following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:
Balances as of February 29, 2020 | 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, 2020 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2020 | |||||||||||||||||||||||||||||||
Consolidated Alternative Allocation Fund | ||||||||||||||||||||||||||||||||||||||||
Investment Funds | ||||||||||||||||||||||||||||||||||||||||
United States | $ | 2,667,600 | $ | 6,193,018 | $ | — | $ | — | $ | — | $ | 395,198 | $ | — | $ | — | $ | 9,255,816 | $ | 395,198 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments | $ | 2,667,600 | $ | 6,193,018 | $ | — | $ | — | $ | — | $ | 395,198 | $ | — | $ | — | $ | 9,255,816 | $ | 395,198 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Consolidated Implementation Fund | ||||||||||||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
South Korea | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 382,537 | ‡ | $ | — | $ | 382,537 | $ | — | |||||||||||||||||||
United States | 9,521,813 | 3,070,351 | (302,137 | ) | — | — | (2,265,791 | ) | — | — | 10,024,236 | (2,265,791 | ) | |||||||||||||||||||||||||||
Rights/Warrants | ||||||||||||||||||||||||||||||||||||||||
United States | 430,926 | — | — | — | — | — | — | — | 430,926 | — | ||||||||||||||||||||||||||||||
Investment Funds | ||||||||||||||||||||||||||||||||||||||||
United States | 29,566,080 | 3,248,376 | (5,701,050 | ) | — | 1,495,949 | (841,930 | ) | — | — | 27,767,425 | (841,930 | ) | |||||||||||||||||||||||||||
Debt Obligations | ||||||||||||||||||||||||||||||||||||||||
Bank Loans | ||||||||||||||||||||||||||||||||||||||||
Luxembourg | 7,763,747 | — | (6,906,643 | ) | 43,520 | (2,263,375 | ) | 1,362,751 | — | — | — | — | ||||||||||||||||||||||||||||
Saint Lucia | 1,925,000 | 2,790,550 | (19,787 | ) | 58,888 | — | 39,234 | — | — | 4,793,885 | 39,234 | |||||||||||||||||||||||||||||
United States | 67,533,991 | 27,354,561 | (45,441,198 | ) | 665,861 | (13,489,148 | ) | 525,857 | 12,615,091 | ‡ | — | 49,765,015 | (1,244,279 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments | $ | 116,741,557 | $ | 36,463,838 | $ | (58,370,815 | )# | $ | 768,269 | $ | (14,256,574 | ) | $ | (1,179,879 | ) | $ | 12,997,628 | $ | — | $ | 93,164,024 | $ | (4,312,766 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
‡ | Financial assets transferred between levels were due to a change in observable and/or unobservable inputs. |
# | Includes $12,255,609 of proceeds received from partial calls and/or principal paydowns as applicable. |
Some Funds have material Level 3 investments. The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended August 31, 2020.
Quantitative information about Level 3 Fair Value Measurements*
Investment Type | Total Fair Value ($) | Valuation Methodology | Unobservable Inputs | Range (Weighted Average) | ||||||||||||
Consolidated Alternative Allocation Fund | ||||||||||||||||
N/A | — | N/A | N/A | N/A | ||||||||||||
Consolidated Implementation Fund | ||||||||||||||||
Common Stock | 382,537 | Fair Value | Pending Corporate Action | N/A (N/A) | ||||||||||||
Common Stock | 2,020,934 | Fair Value | Discount Rate | 30% (N/A) | ||||||||||||
Common Stock | 2,485,147 | Fair Value | Most Relevant Broker Quote | 4-7.5 (4.59) |
* | The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of August 31, 2020, the value of these securities and/or derivatives for Consolidated Alternative Allocation Fund and Consolidated Implementation Fund was $9,255,816 and $88,275,406, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated. |
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Cash
Cash and foreign currency, if any, in 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 in 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.
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” in Note 4 “Derivative financial instruments”. 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.
Repurchase agreements
The Funds may enter into repurchase agreements with banks and brokers. Under a repurchase agreement a Fund acquires a security for a relatively short period for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities it acquired under the repurchase agreement. The value of the securities acquired may be less than the amount owed to the Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency proceedings and the value of the securities subject to the repurchase agreement is insufficient, the Fund’s recovery of cash from the seller may be delayed and, even if the Fund is able to dispose of the securities, the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. Repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Reverse repurchase agreements
The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which
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generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. Reverse repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Inflation-indexed bonds
Certain Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation/deflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation/deflation into the principal value of the bond. Many other issuers adjust the coupon accruals for inflation related changes.
The market price of inflation-indexed bonds normally changes when real interest rates change. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e. stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e. nominal interest rate minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. Coupon payments received by a Fund from inflation-indexed bonds are generally included in the Fund’s gross income for the period in which they accrue. In addition, any increase/decrease in the principal amount of an inflation-indexed bond is generally included in the Fund’s gross income even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Securities lending
The Funds may make secured loans of their portfolio securities amounting to not more than one-third of their total assets. Securities loans are required to be collateralized by cash or securities with a value equal to at least 100% of the market value of the loaned securities (marked to market daily). Funds participating in securities lending receive compensation for lending their securities and/or net investment income earned on the investment of cash collateral, net of fee rebates paid to the borrower and fees paid to the lending agent. Cash collateral received is generally invested in GMO U.S. Treasury Fund. State Street Bank and Trust Company serves as the Funds’ lending agent.
Funds that lend their portfolio securities bear the risk of delay in the recovery of loaned securities, including possible impairment of the Fund’s ability to vote the securities, and of loss of rights in the collateral should the borrower fail financially. Such Funds also bear the risk that the value of investments made with collateral may decline and bear the risk of total loss with respect to the investment of collateral.
At August 31, 2020, securities on loan at value and collateral from securities on loan are listed below:
Fund Name | Value of securities on loan ($) | Cash collateral ($) | Non-cash collateral ($)* | Total collateral ($) | ||||||||||||
Benchmark-Free Fund | 11,721,978 | 5,372,023 | 6,833,318 | 12,205,341 | ||||||||||||
Consolidated Implementation Fund | 49,453,043 | 32,091,421 | 18,899,323 | 50,990,744 |
* | Non-cash collateral is comprised of U.S. Treasuries and Agencies. The Fund cannot repledge non-cash collateral; therefore, they are excluded from the Statements of Assets and Liabilities. |
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In addition, some Funds may loan their portfolio securities through an “enhanced custody” program offered by the Funds’ custodian to facilitate the borrowing of securities for the Funds’ short sales. Under the program, a Fund borrows securities from the custodian and sells short those borrowed securities. The Fund may utilize various ways of collateralizing its obligation to return the borrowed securities, including by pledging securities held in the Fund’s custodial account to the custodian, or by lending securities held in the Fund’s custodial account to the custodian. For its participation in the enhanced custody program, the Fund will pay the custodian a securities borrow fee and a financing charge. The following table provides the value of securities on loan under this program as of August 31, 2020:
Fund Name | Value of securities on loan ($) | |||
Consolidated Alternative Allocation Fund | 5,208,531 | |||
Benchmark-Free Fund | 25,340,182 | |||
Consolidated Implementation Fund | 59,892,261 | |||
Strategic Opportunities Allocation Fund | 8,269,509 |
Information regarding the value of the securities loaned and the value of cash collateral at year end is included in the Statements of Assets and Liabilities.
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 dividend and/or interest payable on such securities, if any, are reflected as a liability in 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. Some Funds may also loan their portfolio securities through an enhanced custody program offered by the Funds’ custodian to facilitate the borrowing of securities for the Funds’ short sales (see Securities lending above). 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.
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August 31, 2020 (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.
Alternative Allocation SPC Ltd., Alternative Asset SPC Ltd., Implementation SPC Ltd. and Special Opportunities SPC Ltd. are wholly-owned subsidiaries of Alternative Allocation Fund, 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. 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, interest charges and related fees.
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. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the period ended August 31, 2020, 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.
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 a Fund’s tax basis earnings and profits, if significant, are reported in the Funds’ financial statements as a return of capital.
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August 31, 2020 (Unaudited)
As of February 29, 2020, certain Funds elected to defer to March 1, 2020, late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:
Fund Name | Late-Year Ordinary Loss Deferral ($) | Post-October Capital Losses Deferral ($) | ||||||
Consolidated Alternative Allocation Fund | (506,822) | (635,957) | ||||||
Benchmark-Free Allocation Fund | (4,351,061) | — | ||||||
Benchmark-Free Fund | — | — | ||||||
Global Asset Allocation Fund | — | — | ||||||
Global Developed Equity Allocation Fund | (643) | — | ||||||
Global Equity Allocation Fund | (8,854) | — | ||||||
Consolidated Implementation Fund | — | — | ||||||
International Developed Equity Allocation Fund | (1,222) | (1,244,638) | ||||||
International Equity Allocation Fund | (5,570) | — | ||||||
Consolidated SGM Major Markets Fund | — | (21,776,446) | ||||||
Consolidated Special Opportunities Fund | (522,202) | — | ||||||
Strategic Opportunities Allocation Fund | — | (286,733) |
As of February 29, 2020, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 29, 2020, 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:
Fund Name | Short-Term ($) | Long-Term ($) | ||||||
Consolidated Alternative Allocation Fund | — | — | ||||||
Benchmark-Free Allocation Fund | — | — | ||||||
Benchmark-Free Fund | (81,187,387) | (135,837,173) | ||||||
Global Asset Allocation Fund | — | (165,823,457) | ||||||
Global Developed Equity Allocation Fund | — | — | ||||||
Global Equity Allocation Fund | — | (96,825,883) | ||||||
Consolidated Implementation Fund | (530,896,154) | — | ||||||
International Developed Equity Allocation Fund | — | (118,300,078) | ||||||
International Equity Allocation Fund | — | (64,707,668) | ||||||
Consolidated SGM Major Markets Fund | (15,345,396) | (26,362,620) | ||||||
Consolidated Special Opportunities Fund | — | — | ||||||
Strategic Opportunities Allocation Fund | — | — |
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August 31, 2020 (Unaudited)
As of August 31, 2020, 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) ($) | |||||||||||||||
Consolidated Alternative Allocation Fund | 352,631,511 | 8,795,922 | (8,843,766) | (47,844 | ) | (1,259,740) | ||||||||||||||
Benchmark-Free Allocation Fund | 7,675,794,286 | 79,193,769 | (641,632,290) | (562,438,521 | ) | — | ||||||||||||||
Benchmark-Free Fund | 2,155,554,560 | 187,264,041 | (157,742,547) | 29,521,494 | (63,599,843) | |||||||||||||||
Global Asset Allocation Fund | 1,377,798,410 | 25,017,131 | (83,883,670) | (58,866,539 | ) | (5,672,502) | ||||||||||||||
Global Developed Equity Allocation Fund | 73,984,026 | 620,855 | (1,078,025) | (457,170 | ) | — | ||||||||||||||
Global Equity Allocation Fund | 1,649,359,931 | 52,938,931 | (153,455,073) | (100,516,142 | ) | — | ||||||||||||||
Consolidated Implementation Fund | 6,151,003,794 | 482,641,850 | (811,381,230) | (328,739,380 | ) | (162,758,024) | ||||||||||||||
International Developed Equity Allocation Fund | 240,581,452 | — | (47,947,148) | (47,947,148 | ) | — | ||||||||||||||
International Equity Allocation Fund | 824,126,302 | 6,295,932 | (78,351,298) | (72,055,366 | ) | — | ||||||||||||||
Consolidated SGM Major Markets Fund | 377,981,647 | — | (39,255,964) | (39,255,964 | ) | 7,077,065 | ||||||||||||||
Consolidated Special Opportunities Fund | 112,091,070 | 156,463,188 | (8,025,681) | 148,437,507 | — | |||||||||||||||
Strategic Opportunities Allocation Fund | 682,496,798 | 27,437,808 | (21,814,761) | 5,623,047 | (5,596,364) |
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 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 underlying funds, if any, 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/deflation 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.
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August 31, 2020 (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).
Custodian, Fund Accounting Agent and Transfer Agent
State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent. Cash balances maintained at the custodian and 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 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.
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. For example, GMO 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), and 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).
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.
As of August 31, 2020, none of the Funds charge a purchase premium or redemption fee. Historical information on purchase premiums and redemption fees are provided in the table below.
Benchmark-Free Allocation Fund | For the periods from June 30, 2016 to June 30, 2018, June 30, 2015 to June 30, 2016 and June 30, 2014 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.20%, 0.18 % and 0.13%, respectively, of the amount invested or redeemed. | |
Benchmark-Free Fund | For the periods from June 30, 2016 to June 30, 2018, June 30, 2015 to June 30, 2016 and June 30, 2014 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.25%, 0.18% and 0.13%, respectively, of the amount invested or redeemed. |
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Global Asset Allocation Fund | For the period from June 30, 2016 to June 30, 2018, 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 0.15%, 0.14% and 0.11%, respectively, of the amount invested or redeemed. | |
Global Developed Equity Allocation Fund | For the period from March 10, 2014 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.08% of the amount invested or redeemed. | |
Global Equity Allocation Fund | For the period from June 30, 2016 to June 30, 2018, 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 0.18%, 0.19% and 0.11%, respectively, of the amount invested or redeemed. | |
Implementation Fund | For the period from June 30, 2015 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.20% of the amount invested or redeemed. Prior to June 30, 2015, there was no premium on cash purchases or fee on cash redemptions. | |
International Developed Equity Allocation Fund | For the period from March 10, 2014 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.08% of the amount invested or redeemed. | |
International Equity Allocation Fund | For the period from June 30, 2016 to June 30, 2018, 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 0.25%, 0.27% and 0.20%, respectively, of the amount invested or redeemed. | |
Special Opportunities Fund | For the period from June 30, 2015 to June 30, 2020, the premium on cash purchases and the fee on cash redemptions were each 0.50% and 0.50% of the amount invested or redeemed. | |
Strategic Opportunities Allocation Fund | For the period from June 30, 2016 to June 30, 2018, 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 0.20%, 0.14% and 0.06%, respectively, of the amount invested or redeemed. |
Recently-issued accounting guidance
In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, “Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting”. The amendments in the ASU provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other interbank-offered based reference rates as of the end of 2021. The ASU is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying this ASU on the Funds’ financial statements.
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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.
Alternative Allocation 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 | 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 | X | ||||||||||||||||||
Illiquidity Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Large Shareholder Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Leveraging Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Management and Operational Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Market Disruption and Geopolitical Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Market Risk – Asset-Backed Securities | X | X | X | X | X | X | X | |||||||||||||||||
Market Risk – Equities | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Market Risk – Fixed Income | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Merger Arbitrage Risk | X | X | X | X | ||||||||||||||||||||
Non-Diversified Funds | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Non-U.S. Investment Risk | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||
Smaller 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. Please see the Funds’ prospectus for more information regarding the risks of investing in the Funds.
Each Fund that invests in other GMO Funds, other investment companies or in a wholly-owned subsidiary (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and
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indirect risks, and references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through Underlying Funds.
An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.
• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner. In addition, the value of commodity-related derivatives or indirect investments in commodities may fluctuate more than the commodity, commodities or commodity index to which they relate. See “Derivatives and Short Sales Risk” for a discussion of specific risks of a Fund’s derivatives investments, including commodity-related derivatives.
• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise be forced to hold investments it would prefer to sell, resulting in losses for the Fund. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws, regulations or other requirements. The Funds are not subject to any limit on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.
Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms longer than six months (and, in some cases, decades). The creditworthiness of a counterparty can be expected to 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 if the Fund’s interest in the collateral is not perfected or additional collateral is not posted promptly as required. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean that a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty). Counterparty risk also will be greater if a counterparty’s obligations exceed the value of the collateral held by the Fund (if any).
The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds. Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Funds’ ability to exercise remedies, such as the termination of transactions,
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netting of obligations or realization on collateral, could be stayed or eliminated under special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities 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 obligors of obligations underlying an asset-backed security will be unable or unwilling to satisfy their obligation to pay principal and interest or otherwise to honor their obligations in a timely manner. The market price of a fixed income investment will normally decline as a result (and/or in anticipation) of the issuer’s, guarantor’s, or obligors’ failure to meet their payment obligations or a downgrading of the credit rating of the investment. This risk is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Fixed income investments also are subject to illiquidity risk. See “Illiquidity Risk.”
All fixed income investments are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending upon whether the issuer is a corporation, a government or government entity, whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the term of a fixed income investment. U.S. government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the United States, supported by the ability to borrow from the U.S. Treasury, supported only by the credit of the issuing U.S. government agency, instrumentality, or corporation, or otherwise supported by the United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign or quasi-sovereign debt involve the risk that the governmental entities responsible for repayment will 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 can be expected to 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 will default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging countries.
In many cases, the credit risk and market price of a fixed income investment are reflected in its credit ratings, and a Fund holding a rated investment is subject to the risk that the investment’s rating will be downgraded, resulting in a decrease in the market price of the fixed income investment.
Securities issued by the U.S. government historically have presented minimal credit risk. However, events in 2011 led several major rating agencies to downgrade the long-term credit rating of U.S. bonds and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest on U.S. government securities would decrease, the market price of a Fund’s investments and increase the volatility of a Fund’s portfolio.
As described under “Market Risk — Asset-Backed Securities,” asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors, as described under “Market Risk — Asset-Backed Securities.” The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors.
A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives and Short Sales Risk” for more information regarding risks associated with the use of credit default swaps.
The extent to which the market price of a fixed income investment changes in response to a credit event depends on many factors and can be difficult to predict. For example, even though the effective duration of a long-term floating rate security is very short, an
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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 “high yield” or “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 typically 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 is likely to lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of a default of sovereign debt, the Funds may be unable to pursue legal action against the issuer.
Some Funds may lend their portfolio securities. A Fund that lends its portfolio securities bears the risk of delay in the recovery of loaned securities, including possible impairment of a Fund’s ability to vote the securities, and of loss of rights in the collateral should the borrower fail financially. A Fund also bears the risk that the value of investments made with collateral may decline.
• 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 is likely to realize a loss on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk.”
Many of the Funds use derivatives to take currency positions that are under- or over-weighted (in some cases significantly) relative to the currency exposure of their portfolios and their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money on both its holdings of a particular currency and the derivative. See also “Non-U.S. Investment Risk.”
Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars or may only be able to do so at an unfavorable exchange rate. Exchange rates for many currencies are affected by exchange control regulations.
Derivative transactions in foreign currencies (such as futures, forward contracts, 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, but are not limited to, futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other OTC contracts.
The use of derivatives involves risks that are in addition to, and potentially greater than, the risks of investing directly in securities. In particular, a Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed, or the position transferred, only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may
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decide not to pursue its claims against the counterparty to avoid the cost and unpredictability of legal proceedings. The Fund, therefore, runs the risk of being unable to obtain payments GMO believes are owed to it under an OTC derivatives contract or of those payments being 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., forward currency contracts), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s fundamental fair (or intrinsic) value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs a greater risk of not being able to recover what it is owed if the counterparty defaults. Derivatives also present other risks described in this section, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk.
Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation and exposes the Funds to the risk that the pricing models used do not produce valuations that are consistent with the values the Funds realize when they close or sell 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, the Funds run a risk that inaccurate valuations will result in increased cash payments to counterparties, under-collateralization and/or errors in the calculation of the Funds’ net asset values.
A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the cost of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty.
Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk”) and counterparty risk (see “Counterparty Risk”). These derivatives also are subject to documentation risk, which is the risk that ambiguities, inconsistencies or errors in the documentation relating to a derivative transaction will 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 could result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk.”
Special tax rules apply to a Fund’s transactions in derivatives, which could increase the taxes payable by shareholders subject to U.S. income taxation. In particular, a Fund’s derivative transactions potentially could cause a substantial portion of the Fund’s distributions to be taxable at ordinary income tax rates. In addition, the tax treatment of a Fund’s use of derivatives will sometimes be unclear. See the Funds’ Prospectus and Statement of Additional Information for more information.
Derivatives Regulation. The U.S. government has enacted legislation that provides for 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 evolving, 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 derivative 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 derivative positions. Also, as a general matter, in contrast to a bilateral derivative position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivative 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 derivative positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy, and any increase in margin held by a clearing member could expose a Fund to greater credit risk to its clearing member. 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. 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 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 are likely to 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 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. Variation margin requirements became effective in March 2017 and initial margin requirements will become effective in 2020 or 2021. Such requirements could increase the amount of margin a Fund needs to post in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.
These and other 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 evolving, and, therefore, their potential impact on the Funds and the financial system are not yet known. While these 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 different kinds of costs and risks.
The SEC recently reproposed a rule under the 1940 Act regulating the use by registered investment companies of derivatives and many related instruments. The ultimate impact, if any, of such a rule is unclear, but the reproposed rule, if adopted, could, among other things, restrict a Fund’s ability to continue to engage in derivatives transactions in the manner it has historically and increase the costs of derivatives transactions, which could have an adverse impact on a Fund’s performance.
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 at 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.
Short Investment Exposure. Some Funds may sell securities or currencies short as part of their investment programs in an attempt to increase their returns or for hedging purposes. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange a security or currency to replace the borrowed security or currency when the security or currency sold short has appreciated in value, thus resulting in a loss to the Fund. Purchasing a security or currency to close out a short position can itself cause the price of the security or currency to rise further, thereby exacerbating any losses. A Fund that sells short a security or currency it does not own typically pays borrowing fees to a broker and is required to pay the broker any dividends or interest it receives on a borrowed security.
A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index.
Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.
• FOCUSED INVESTMENT RISK. Funds with investments that are focused in a limited number of asset classes, sectors, industries, issuers, currencies, countries, or regions (or in sectors within a country or region) that are subject to the same or similar risk factors and Funds with investments whose prices are closely correlated are subject to greater overall risk than Funds with investments that are more diversified or whose prices are not as closely correlated.
A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of those issuers’ securities than Funds investing in the securities of a larger number of issuers. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens and often react similarly to specific economic, market, political or other developments.
Similarly, Funds having a significant portion of their assets in investments tied economically to a particular geographic region, country or market (e.g., emerging markets), or to sectors within a region, country, or market (e.g., Russian oil) have more exposure to regional and country economic risks than do 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. A Fund that invests in Underlying Funds (including underlying GMO Funds or its wholly-owned subsidiary) is exposed to the risk that the Underlying Funds or wholly-owned subsidiary will not perform as expected. A Fund also is indirectly exposed to all of the risks to which the Underlying Funds or its wholly-owned subsidiary are exposed.
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Because, 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 of an underlying fund, 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 are subject to greater fund of funds risk. In addition, to the extent a Fund invests in shares of underlying GMO Funds, it is indirectly subject to Large Shareholder Risk when an underlying GMO Fund has large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk.”
At any particular time, one Underlying Fund may be purchasing securities of an issuer whose securities are being sold by another Underlying Fund, resulting in a Fund that holds each Underlying Fund indirectly incurring the costs associated with the two transactions without changing its exposure to those securities.
Investments in exchange-traded funds (“ETFs”) involve the risk that an ETF’s performance will not track the performance of the index it is designed to track. In addition, ETFs often use derivatives to track the performance of an index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed in “Derivatives and Short Sales Risk.” ETFs are investment companies that typically hold a portfolio of securities designed to track the price, performance, and dividend yield of a particular securities market index (or sector of an index). As investment companies, ETFs incur their own management and other fees and expenses, such as trustee fees, operating expenses, registration fees, and marketing expenses, and a Fund that invests in ETFs bears a proportionate share of such fees and expenses. As a result, an investment by a Fund in an ETF could result in higher expenses and lower returns than if the Fund were to invest directly in the securities underlying the ETF.
A Fund’s investments in one or more Underlying Funds or a wholly-owned subsidiary could affect the amount, timing and character of its distributions and could cause the Fund to recognize taxable income in excess of the cash generated by such investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.
The SEC recently adopted a rule that will change the regulatory framework under which some registered investment companies are permitted to invest in other registered investment companies (the “Fund of Funds Rule”). The impact of the Fund of Funds Rule is still under review but could adversely affect the Funds by, among other things, limiting the number of shares of other registered investment companies (such as other Funds or exchange-traded funds) or pooled investment vehicles that a Fund is permitted to purchase.
• FUTURES CONTRACTS RISK. The risk of loss to a Fund resulting from its use of futures contracts (or “futures”) is potentially unlimited. Futures markets are highly volatile, and the use of futures contracts increases the volatility of the Fund’s net asset value. A Fund’s ability to establish and close out positions in futures contracts is subject to the development and maintenance of a liquid secondary market. A liquid secondary market may not exist for any particular futures contract at any particular time, and a Fund might be unable to effect closing transactions to terminate its exposure to the contract. In using futures contracts, a Fund relies on GMO’s ability to predict market and price movements correctly. The skills needed to use futures contracts successfully are different from those needed for traditional portfolio management. If a Fund uses futures contracts for hedging purposes, it runs the risk that changes in the prices of the contracts will not correlate perfectly with changes in the securities, index, or other asset underlying the contracts or movements in the prices of the Fund’s investments that are the subject of the hedge.
A Fund typically will be required to post margin with its futures commission merchant in connection with its positions in futures contracts. If the Fund has insufficient cash to meet margin requirements, the Fund typically will have to sell other investments at disadvantageous times. A Fund also runs the risk of being unable to recover or be delayed in recovering margin or other amounts deposited with a futures commission merchant or futures clearinghouse. For example, should the futures commission merchant become insolvent, a Fund may be unable to recover all (or any) of the margin it has deposited or realize the value of any increase in the price of its positions.
The Commodity Futures Trading Commission (the “CFTC”) and the various exchanges have established limits (referred to as “speculative position limits”) on the maximum net long or net short positions that any person and certain of its affiliated entities may
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hold or control in a particular futures contract. In addition, an exchange may impose trading limits on the number of contracts a person may trade on a particular day. An exchange may order the liquidation of positions found to be in violation of these limits, and it may impose sanctions or restrictions. In addition, the Dodd-Frank Wall Street Reform and Consumer Protection Act requires the CFTC to establish speculative position limits on listed futures and economically equivalent OTC derivatives, and those limits may adversely affect the market liquidity of those futures and derivatives. As a result of such limits, positions held by other GMO clients or by GMO or its affiliates could 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 are not subject to regulation by the CFTC or other U.S. regulators. U.S. regulators neither regulate the activities of a foreign exchange nor have the power to compel enforcement of the rules of a foreign exchange or the laws of the country where the exchange is located. In addition, foreign futures contracts may be less liquid and more volatile than U.S. contracts.
• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size, or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits, delays or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed, defaulted or other low quality debt securities, emerging country debt or equity securities or securities of companies with smaller market capitalizations or smaller total float-adjusted market capitalizations, 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 tends to 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 often more susceptible than other securities to price declines when market prices decline generally.
A Fund may buy securities or other investments that are less liquid than those in its benchmark. The more illiquid investments a Fund has, the greater the likelihood of its paying redemption proceeds in-kind.
The Board of Trustees has designated GMO as administrator to the Funds’ liquidity risk management program, which was adopted by the Funds pursuant to Rule 22e-4 under the 1940 Act. Under that program, each Fund is required to classify its investments into specific liquidity categories and monitor compliance with limits on illiquid investments. The term “illiquid investments” for purposes of the program means investments that GMO reasonably expects cannot be sold or disposed of under current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investments. While the liquidity risk management program is designed to assist in the assessment and management of illiquidity risk, there is no guarantee it will be effective in reducing the illiquidity risk inherent in a Fund’s investments.
Historically, credit markets have experienced periods characterized by a significant lack of liquidity, and they may experience similar periods in the future. If a Fund is required to sell illiquid investments to satisfy collateral posting requirements or to meet redemptions, those sales could put significant downward price pressure on the market price of the securities being sold.
A Fund’s, and particularly GMO 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 would 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, 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
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decisions by GMO may result in substantial redemptions from (or investments in) those Funds, adversely affecting the Fund’s performance to the extent that the Fund is required to sell investments when it would not have otherwise done so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for Fund shareholders. Further, from time to time a Fund may trade in anticipation of a purchase or redemption order that ultimately is not received or differs in size from the actual order, leading to temporary underexposure or overexposure to the Fund’s intended investment program. In addition, redemptions and purchases of shares by a large shareholder or group of shareholders could limit the use of any capital losses (including capital loss carryforwards) to offset realized capital gains (if any) and other losses that would otherwise reduce distributable net investment income. In addition, large shareholders may limit or prevent a Fund’s use of equalization for U.S. federal tax purposes.
To the extent a Fund invests in other GMO Funds subject to large shareholder risk, the Fund is indirectly subject to this risk.
• LEVERAGING RISK. The use of traditional borrowing (including to meet redemption requests), reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e. a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e. a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives, similar to short sales, have the potential for unlimited loss, regardless of the size of the initial investment. Similarly, a Fund’s portfolio will be leveraged and can incur losses if the value of the Fund’s assets declines between the time a redemption request is received or deemed to be received by a Fund (which in some cases is the business day prior to actual receipt by the Fund of the redemption request) and the time at which the Fund liquidates assets to meet redemption requests. Such a decline in the value of a Fund’s assets is more likely in the case of Funds managed from GMO’s non-U.S. offices for which the time period between the determination of net asset value and corresponding liquidation of assets could be longer due to time zone differences. In the case of redemptions representing a significant portion of a Fund’s portfolio, the leverage effects described above can be significant and could expose a Fund and non-redeeming shareholders to material losses.
A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.
Some Funds are permitted to purchase securities on margin or to sell securities short, either of which creates leverage. To the extent the market prices of securities pledged to counterparties to secure a Fund’s margin account or short sale decline, the Fund may be required to deposit additional funds with the counterparty to avoid having the pledged securities liquidated.
• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.
For many Funds, GMO uses quantitative models as part of its investment process. Those Funds run the risk that GMO’s models will not accurately predict future market movements or characteristics. In addition, GMO’s models are based on assumptions that can limit their effectiveness, and they rely on data that is subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. The Funds also run the risk that GMO’s assessment of an investment (including a security’s fundamental fair (or intrinsic) value) is wrong. 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 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 operational risks resulting from other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other operational services. Examples of such operational risks include the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service
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provider. For example, trading delays or errors could prevent a Fund from benefiting from investment gains or avoiding losses. In addition, a service provider may be unable to provide a net asset value 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 have effects similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and disrupting operations. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release or misappropriation of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses and additional compliance costs. The Funds’ service providers regularly experience cyber-attacks and expect they will continue to do so. While GMO has established business continuity plans and systems designed to prevent, detect and respond to cyber-attacks, those plans and systems have inherent limitations. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could have material adverse consequences for those issuers and result in a decline in the market price of their securities. Furthermore, as a result of cyber-attacks, technological disruptions, malfunctions, or failures, an exchange or market may close or suspend trading in specific securities or the entire market, which could prevent the Funds from, among other things, buying or selling securities or accurately pricing their investments. The Funds cannot directly control cyber security plans and systems of their service providers, the Funds’ counterparties, issuers of securities in which the Funds invest, or securities markets and exchanges, and such service providers, counterparties, or issuers may have limited, if any, indemnification obligations to GMO or the Funds, each of whom could be negatively impacted as a result.
• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars, pandemics and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby reducing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or in other economic inputs (e.g., the marked decline in oil prices in late 2014, as well as in early 2020) may have material and unexpected effects on both global securities markets and individual countries, regions, sectors, companies, or industries. Terrorism in the United States and around the world has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation or other fraudulent trading practices, which could disrupt their orderly functioning or reduce the prices of securities traded on them, including securities held by the Funds. Fraud and other deceptive practices committed by an issuer of securities held by a Fund undermine GMO’s due diligence efforts and, when discovered, will likely cause a steep decline in the market price of those securities and thus negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively affect a Fund’s investment program.
While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in the recent past) would be highly disruptive to the U.S. and global securities markets and could significantly reduce the value of the Funds’ investments. Similarly, political events within the United States have resulted, and may in the future result, in shutdowns of government services, which could adversely affect the U.S. economy, reduce the value of many Fund investments, and impair the operation of the U.S. or other securities markets. Climate change regulation (such as decarbonization legislation or other mandatory controls to reduce emissions of greenhouse gases) could significantly affect many of the companies in which the Funds invest by, among other things, increasing those companies’ operating costs and capital expenditures. Uncertainty over the sovereign debt of several European Union countries, as well as uncertainty over the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the United States and around the world. If a country changes its currency or if the European Union dissolves, the world’s securities markets likely would be significantly disrupted. On January 31, 2020, the United Kingdom formally withdrew from the European Union (commonly known as “Brexit”), and an 11-month transition period commenced during which most European Union law will continue to apply in the United Kingdom while it negotiates its future relationship with the European Union. While the full impact of Brexit is unknown, Brexit has already resulted in volatility in European and global markets. Potential negative long-term effects could include, among others, greater market volatility and illiquidity, disruptions to world securities markets, currency fluctuations, deterioration in economic activity, a decrease in business confidence, and an increased likelihood of a recession in the United Kingdom. The consequences of the United Kingdom’s or another country’s exit from the European Union also
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could threaten the stability of the Euro and could negatively affect the financial markets of other countries in the European region and beyond, which may include companies or assets held or considered for prospective investment by GMO.
War, terrorism, economic uncertainty, and related geopolitical events, such as sanctions, tariffs, the imposition of exchange controls or other cross-border trade barriers, have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. For example, the U.S. has imposed economic sanctions, which consist of asset freezes, restrictions on dealings in debt and equity, and certain industry-specific restrictions. These types of sanctions have recently been applied against the Venezuelan and Russian governments, as well as against certain Russian and Venezuelan officials and institutions. These sanctions have resulted, and any additional sanctions or intergovernmental actions or even the threat of further sanctions could result, in a decline in the value and liquidity of Russian and Venezuelan securities, a weakening of the Russian and Venezuelan currencies or other adverse consequences to their respective economies. Sanctions impair the ability of the Funds to buy, sell, receive or deliver those securities and/or assets that are subject to the sanctions. In addition, trade disputes (such as the “trade war” between the United States and China that intensified in 2018 and 2019) may affect investor and consumer confidence and adversely affect financial markets and the broader economy, perhaps suddenly and to a significant degree. Events such as these and their impact on the Funds are difficult to predict.
Natural and environmental disasters (such as the earthquake and tsunami in Japan in early 2011), epidemics or pandemics (such as the outbreak of a novel coronavirus beginning in late 2019 (described below)), and systemic market dislocations (such as the kind surrounding the insolvency of Lehman Brothers in 2008) can be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment and the market price of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices or to offer them on a more limited basis. To the extent a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.
An outbreak of respiratory disease caused by a novel coronavirus designated as COVID-19 was first detected in China in December 2019 and subsequently spread internationally. The transmission of COVID-19 and efforts to contain its spread have resulted in, among other things, border closings and other significant travel restrictions and disruptions, significant disruptions to business operations, supply chains and customer activity, government economic stimulus measures, lower consumer demand for goods and services, event cancellations and restrictions, service cancellations, rapid increases in unemployment, increased demand for and strain on government resources, significant challenges in healthcare service preparation and delivery, and prolonged quarantines, as well as general concern and uncertainty. The impact of the COVID-19 outbreak could negatively affect the global economy, the economies of individual countries, and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways and may continue to do so in the future. Health crises caused by the outbreak of COVID-19 may also exacerbate other pre-existing political, social, economic, market and financial risks. The effects of the outbreak in developing or emerging market countries may be greater due to less established health care systems. The COVID-19 pandemic and its effects may be short term or may last for an extended period of time, and in either case could result in significant market volatility, exchange trading suspensions and closures, declines in global financial markets, higher default rates, and a substantial economic downturn or recession. The foregoing could impair the Funds’ ability to maintain operational standards (such as with respect to satisfying redemption requests), disrupt the operations of the Funds’ service providers, adversely affect the value and liquidity of the Funds’ investments, and negatively impact the Funds’ performance and your investment in a Fund.
• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market price of their holdings will decline. Market risks include:
Asset-Backed Securities — Investments in asset-backed securities not only are subject to all of the market risks described under “Market Risk — Fixed Income” but to other market risks as well.
Asset-backed securities are often exposed to greater risk of severe credit downgrades, illiquidity, and defaults than many other types of fixed income investments. These risks become particularly acute during periods of adverse market conditions, such as those that occurred in 2008.
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As described under “Market Risk — Fixed Income,” the market price of asset-backed securities, like that of other fixed income investments with complex structures, can decline for a variety of reasons, including market uncertainty about their credit quality and the reliability of their payment streams. Payment of interest on asset-backed securities and repayment of principal largely depend on the cash flow generated by the assets backing the securities, as well as the deal structure (e.g., the amount of underlying assets or other support available to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support and the credit quality of the credit-support provider, if any, and the performance of other service providers with access to the payment stream. A problem in any of these factors can lead to a reduction in the payment stream GMO expected a Fund to receive when the Fund purchased the asset-backed security. Principal repayments of asset-backed securities are at risk if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities have. Asset-backed securities backed by sub-prime mortgage loans, in particular, expose a Fund to potentially greater declines in value due to defaults because sub-prime mortgage loans are typically made to less creditworthy borrowers and thus have a higher risk of default than conventional mortgage loans. Issuers 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 are rated below investment grade. See “Credit Risk” for more information about credit risk.
When worldwide economic and liquidity conditions deteriorated in 2008, the markets for asset-backed securities became fractured, and uncertainty about the creditworthiness of those securities (and underlying assets) caused credit spreads (the difference between yields on asset-backed securities and U.S. Government securities) to widen dramatically. Concurrently, systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions reduced the ability of financial institutions to make markets in many asset-backed (as well as others) fixed income securities. These events reduced liquidity and contributed to substantial declines in the market prices of asset-backed (and other) fixed income securities, and they 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. The mishandling of documentation for underlying assets also can affect the rights of holders of those underlying assets. The insolvency of a servicer is likely to result in a decline in the market price of the securities it is servicing, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the asset-backed security. When interest rates rise, the obligations underlying asset-backed securities may be repaid more slowly than anticipated, and the market price of those securities may decrease.
The existence of insurance on an asset-backed security does not guarantee that the principal and interest will be paid because the insurer could default on its obligations.
The risk of investing in asset-backed securities has increased since 2008 because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated. See “Focused Investment Risk” for more information about risks of investing in correlated sectors. A single financial institution may serve as a servicer for many asset-backed securities. As a result, a disruption in that institution’s business would likely have a material impact on the many asset-backed securities it services.
Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as a failure to keep up with technological advances 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 be attributable to general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. The market prices of equities are volatile and can decline in a rapid or unpredictable manner. Equities which are characterized as relatively cyclical, such as investments in companies in the consumer discretionary, financials, energy, real estate, materials and industrials sectors, often are especially sensitive to economic cycles, which means they typically underperform non-cyclical equities during economic downturns. Cyclical equities’ performance can be significantly affected by, among other factors, cyclical revenue generation, consumer confidence and changing consumer preferences, and the performance of domestic and international economies. 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 decline due to GMO’s incorrect
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assessment. The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.
To the extent a Fund invests in GMO Risk Premium Fund (“Risk Premium Fund”), the Fund is exposed to Risk Premium Fund’s market risk with respect to equities. Because of Risk Premium Fund’s emphasis on writing put options on stock indices, GMO expects the Fund’s net asset value to decline when those indices decline in value. Also, Risk Premium Fund’s investment strategy of writing put options on stock indices can be expected to cause the Fund to underperform relative to those indices when the markets associated with those indices rise sharply because of the Fund’s lack of exposure to the upside of those markets.
Fixed Income — Funds that invest in fixed income investments (including bonds, notes, bills, synthetic debt instruments, and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity due, for example, to market uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market price of fixed income investments with complex structures, such as asset-backed securities and sovereign and quasi-sovereign debt investments, can decline due to uncertainty about their credit quality and the reliability of their payment streams. Some fixed income investments also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the fixed income investment. When interest rates rise, fixed income investments also may be repaid more slowly than anticipated, causing a decrease in their market price. During periods of economic uncertainty and change, the market price of a Fund’s investments in below investment grade investments (commonly referred to as “high yield” or “junk bonds”) may be particularly volatile. Often, below investment grade investments are subject to greater sensitivity to interest rate and economic changes than higher rated investments and can be more difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. See “Credit Risk” and “Illiquidity Risk” for more information about these risks.
A risk run by each Fund with significant investment in fixed income investments is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases in interest rates (also called “interest rate risk”) is 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 would likely 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 variable-rate investments generally have shorter interest rate durations because their interest rates are not fixed but rather float up and down as interest rates change. Conversely, inverse floating-rate investments have durations that move in the opposite direction from short-term interest rates and thus tend to underperform fixed rate investments when interest rates rise but outperform them when interest rates decline. Fixed income investments paying no interest, such as zero coupon and principal-only securities, are subject to additional interest rate risk.
The market price of inflation-indexed bonds (including TIPS) typically declines during periods of rising real interest rates (i.e. nominal interest rate minus inflation) and increases during periods of declining real interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities.
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 fee.
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 investments when it would otherwise not do so, including at unfavorable prices. The risks associated with rising interest rates are generally greater during periods when prevailing interest rates are at or near their historic lows. Moreover, fixed income investments will be difficult to value during such periods. The U.S. Federal Reserve Bank recently decreased interest rates back to near historically low levels. A substantial increase in interest rates could have a
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material adverse effect on fixed income investments and on the performance of the Funds. Other actions by central banks or regulators (such as intervention in foreign currency markets or imposition of currency controls) also could have a material adverse effect on the Funds.
• MERGER ARBITRAGE RISK. Some Funds engage in transactions in which the Fund purchases securities at prices below the value of the consideration GMO expects the Fund to receive upon consummation of a proposed merger, exchange offer, tender offer, or other similar transaction (“merger arbitrage transactions”). The purchase price paid by the Fund may substantially exceed the market price of the securities before the announcement of the transaction.
If a Fund engages in merger arbitrage and the merger later appears unlikely to be consummated or, in fact, is not consummated or is delayed, the market price of the securities purchased by the Fund is likely to decline sharply, resulting in losses to the Fund. The risk/reward payout of merger arbitrage strategies typically is asymmetric, with the losses in failed transactions often far exceeding the gains in successful transactions. A proposed merger can fail to be consummated for many reasons, including regulatory and antitrust restrictions, industry weakness, company specific events, failed financings, and general market declines.
Merger arbitrage strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated. A Fund’s investments in derivatives or short sales of securities to hedge or otherwise adjust long or short investment exposure in connection with a merger arbitrage may not perform as GMO expected or may otherwise reduce the Fund’s gains or increase its losses. Also, a Fund may be unable to hedge against market fluctuations or other risks. In addition, a Fund may sell securities short when GMO expects the Fund to receive the securities upon consummation of a transaction; if the Fund does not actually receive the securities, the Fund will have an unintended “naked” short position and may be required to cover its short position at a time when the securities sold short have appreciated in value, thus resulting in a loss. A Fund’s merger arbitrage transactions could result in tax inefficiencies, including larger distributions of net investment income and net realized capital gains than otherwise would be the case.
• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of a relatively small number of issuers. As a result, they are likely to be subject to greater credit, market and other risks than if their investments were more diversified, and poor performance by a single investment is likely to have a greater impact on their performance.
The following Funds are not diversified investment companies within the meaning of the 1940 Act:
• | Alternative Allocation Fund |
• | Implementation Fund |
• | SGM Major Markets Fund |
• | Special Opportunities Fund |
In addition, each of the Funds may invest a portion of its assets in shares of one or more other GMO Funds that are not “diversified” investment companies under the 1940 Act. Each of the Funds may invest without limitation in GMO Funds that are not “diversified”.
• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. Many non-U.S. securities markets list 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 (particularly in emerging markets) often fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities (particularly those tied economically to emerging countries) often are not subject to as much regulation as U.S. issuers, and the reporting, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes, and custodial costs. In addition, some countries limit a Fund’s ability to profit from short-term trading (as defined in that country).
A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no benefit. In addition, a Fund’s pursuit of a tax refund may subject it to administrative and judicial proceedings in the country where it is seeking the refund.
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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. In some cases, the amount of a refund could be material to a Fund’s net asset value. Accordingly, a refund is not typically reflected in the Fund’s net asset value until it is received or GMO is confident it will be received. Generally, absent a determination by GMO that a refund is collectible and free from significant contingencies, a refund is not reflected in a Fund’s net asset value until it is received. See “Taxes, Non-U.S. Taxes” in the GMO Trust Statement of Additional Information for additional information. For information on possible special Australian and Singapore tax consequences of an investment in a Fund, see the Funds’ Prospectus and Statement of Additional Information.
Investing in non-U.S. securities also exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, government involvement in every country, including the U.S., or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises), adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.
In some non-U.S. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States. Fluctuations in currency exchange rates also affect the market prices of a Fund’s non-U.S. securities (see “Currency Risk”).
The Funds need a license to invest directly in securities traded in many non-U.S. securities markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license to invest in a particular market is terminated or suspended, to obtain exposure to that market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of GMO’s clients may preclude a Fund from obtaining a similar license. In addition, the activities of a GMO client could cause the suspension or revocation of a Fund’s license.
Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war); increased risk of nationalization, expropriation, or other confiscation of issuer assets; greater governmental involvement in the economy or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises); less governmental supervision and regulation of securities markets and participants in those markets; controls on investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e. a market freeze); unavailability of currency hedging techniques; less rigorous auditing and financial reporting standards and resulting unavailability of reliable 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. The economies of emerging countries often are more volatile than the economies of developed countries. For example, the Public Company Accounting Oversight Board, which regulates auditors of U.S. public companies, is unable to inspect audit work papers in certain foreign countries, and the ability of the SEC, the U.S. Department of Justice and other authorities to bring and enforce actions against foreign issuers or foreign persons is limited.
• SMALLER COMPANY RISK. Companies with smaller market capitalizations tend to have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers and depend on fewer key employees than larger companies. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for the securities of these companies.
Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and are taken in response to adverse market, economic, political, or other conditions.
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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 |
During the period ended August 31, 2020, only Alternative Allocation Fund, Benchmark-Free Fund, Implementation Fund, SGM Major Markets Fund, and Strategic Opportunities Allocation Fund held derivative financial instruments directly. For a listing of derivative financial instruments, if any, held by the underlying funds, please refer to the underlying funds’ Schedule of Investments. The derivative information provided below only pertains to direct investments made by Alternative Allocation Fund, Benchmark-Free Fund, Implementation Fund, SGM Major Markets Fund and Strategic Opportunities Allocation Fund (or their respective wholly-owned subsidiary, if any).
Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, that are used to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.
Consolidated Alternative Allocation Fund may use derivatives in some or all of the ways described below.
Use of Derivatives by Benchmark-Free Fund, Consolidated Implementation Fund and Strategic Opportunities Allocation Fund
The Funds may use derivatives to gain long or short investment exposure to securities, commodities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use exchange-traded futures and forward foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets and may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.
The Funds may use derivatives such as futures, options, and swap contracts, in an attempt to reduce their investment exposures (which may result in a reduction below zero). A Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Funds may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency. Implementation Fund uses exchange-traded futures and forward contracts as an integral part of its investment program.
The Funds may use derivatives in an attempt to adjust elements of their investment exposures to individual commodities, various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of a certain type of security or commodity and GMO believes that another security or commodity will outperform such security or commodity, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of 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 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 Consolidated SGM Major Markets Fund
The Fund may use derivatives to gain long and/or short investment exposure to securities, 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
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equity, bond, currency, and commodity markets. The Fund also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.
The Fund may use derivatives in an attempt to adjust its investment exposures. For example, the Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer. The Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.
The Fund may use derivatives, such as futures, options, and swap contracts, in an attempt to adjust elements of its investment exposures to individual commodities, various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if the Fund holds a large proportion of a certain type of security or commodity and GMO believes that another security or commodity will outperform such security or commodity, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). Long and short swap contracts and contracts for differences also may be used for these purposes. Derivatives used to effect synthetic sales and purchases will generally be unwound as actual portfolio securities are sold and purchased. In addition, 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 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 their 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.
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For Funds that held derivatives during the period ended August 31, 2020, the following table shows how the Fund used these derivatives (marked with an X):
Type of Derivative and Objective for Use | Consolidated Alternative Allocation Fund * | Benchmark- Free Fund | Global Asset Allocation Fund | Consolidated Implementation Fund* | Consolidated SGM Major Markets Fund* | Strategic Opportunities Allocation Fund | ||||||||||||||||||
Forward currency contracts | ||||||||||||||||||||||||
Adjust currency exchange rate risk | X | |||||||||||||||||||||||
Adjust exposure to foreign currencies | X | X | X | X | X | |||||||||||||||||||
Manage against anticipated currency exchange rate changes | X | X | ||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||
Adjust exposure to certain securities markets | X | X | X | X | X | |||||||||||||||||||
Substitute for direct investment | X | |||||||||||||||||||||||
Adjust interest rate exposure | X | X | ||||||||||||||||||||||
Maintain the diversity and liquidity of the portfolio | X | X | X | X | X | |||||||||||||||||||
Options (Purchased) | ||||||||||||||||||||||||
Substitute for direct equity investment | X | X | ||||||||||||||||||||||
Adjust exposure to foreign currencies | X | |||||||||||||||||||||||
Options (Written) | ||||||||||||||||||||||||
Substitute for direct equity investment | X | X | X | X | ||||||||||||||||||||
Swap contracts | ||||||||||||||||||||||||
Adjust interest rate exposure | X | X | X | |||||||||||||||||||||
Substitute for direct investment in securities | X | X | X | X | ||||||||||||||||||||
Achieve exposure to a reference entity’s credit | 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 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
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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 in 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, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed 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.
Swap contracts
The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, basis swaps, currency swaps, credit default swaps, variance swaps, commodity swaps,
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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. The periodic frequency of payments received may differ from periodic payment frequencies made and their frequencies could be monthly, quarterly, semiannually, annually or at maturity.
Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.
Inflation swaps involve the exchange of a floating rate linked to an index for a fixed rate interest payment with respect to a notional amount or principal.
Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.
In a credit default swap contract, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.
For credit default swap contracts on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap contracts on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.
Correlation swaps involve receiving a stream of payments based on the actual average correlation between or among the price movements of two or more underlying variables over a period of time, in exchange for making a regular stream of payments based on a fixed “strike” correlation level (or vice versa), where both payment streams are based on a notional amount. The underlying variables may include, without limitation, commodity prices, exchange rates, interest rates and stock indices.
Variance swap contracts involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.
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Forward starting dividend swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in a dividend index point. A Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the relevant dividend index point based on a notional amount. For example, if a Fund took a long position on a dividend index swap, the Fund would receive payments if the relevant index point increased in value and would be obligated to pay if that index point decreased in value.
Future swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in an index. The Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the index based on a notional amount. For example, if the Fund took a long position on a future swap, the Fund would receive payments if the relevant index increased in value and would be obligated to pay if that index decreased in value.
Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.
The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
***
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.
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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, 2020 and the Statements of Operations for the period ended August 31, 2020^:
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 | ||||||||||||||||||||||
Consolidated Alternative Allocation Fund |
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Asset Derivatives |
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Unrealized Appreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | 7,110,880 | $ | — | $ | — | $ | 7,110,880 | ||||||||||||||
Unrealized Appreciation on Futures Contracts¤ | — | — | 1,439,308 | — | 46,885 | — | 1,486,193 | |||||||||||||||||||||
Swap Contracts, at value¤ | 682,372 | 35,594 | — | — | 3,927,192 | — | 4,645,158 | |||||||||||||||||||||
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Total | $ | 682,372 | $ | 35,594 | $ | 1,439,308 | $ | 7,110,880 | $ | 3,974,077 | $ | — | $ | 13,242,231 | ||||||||||||||
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Liability Derivatives |
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Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (6,764,374 | ) | $ | — | $ | — | $ | (6,764,374 | ) | ||||||||||||
Unrealized Depreciation on Futures Contracts¤ | — | — | (4,974,056 | ) | — | (101 | ) | — | (4,974,157 | ) | ||||||||||||||||||
Written Options, at value | — | — | (507,364 | ) | — | — | — | (507,364 | ) | |||||||||||||||||||
Swap Contracts, at value¤ | — | (13,457 | ) | — | — | (2,101,973 | ) | — | (2,115,430 | ) | ||||||||||||||||||
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Total | $ | — | $ | (13,457 | ) | $ | (5,481,420 | ) | $ | (6,764,374 | ) | $ | (2,102,074 | ) | $ | — | $ | (14,361,325 | ) | |||||||||
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Net Realized Gain (Loss) on |
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Investments (purchased options) | $ | — | $ | — | $ | 735,904 | $ | 1,445 | $ | 43,050 | $ | — | $ | 780,399 | ||||||||||||||
Forward Currency Contracts | — | — | — | 135,466 | — | — | 135,466 | |||||||||||||||||||||
Futures Contracts | — | — | 2,001,116 | — | (592,394 | ) | — | 1,408,722 | ||||||||||||||||||||
Written Options | — | — | 1,465,301 | — | (21,650 | ) | — | 1,443,651 | ||||||||||||||||||||
Swap Contracts | 513,566 | (306,706 | ) | 1,195,223 | — | (384,538 | ) | — | 1,017,545 | |||||||||||||||||||
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Total | $ | 513,566 | $ | (306,706 | ) | $ | 5,397,544 | $ | 136,911 | $ | (955,532 | ) | $ | — | $ | 4,785,783 | ||||||||||||
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Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | (669,519 | ) | $ | 4,129 | $ | — | $ | — | $ | (665,390 | ) | ||||||||||||
Forward Currency Contracts | — | — | — | 1,276,345 | — | — | 1,276,345 | |||||||||||||||||||||
Futures Contracts | — | — | (6,921,346 | ) | — | 46,784 | — | (6,874,562 | ) | |||||||||||||||||||
Written Options | — | — | 4,624,731 | — | — | — | 4,624,731 | |||||||||||||||||||||
Swap Contracts | (7,374 | ) | (1,200,499 | ) | (923,520 | ) | — | 506,272 | — | (1,625,121 | ) | |||||||||||||||||
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Total | $ | (7,374 | ) | $ | (1,200,499 | ) | $ | (3,889,654 | ) | $ | 1,280,474 | $ | 553,056 | $ | — | $ | (3,263,997 | ) | ||||||||||
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Benchmark-Free Fund |
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Asset Derivatives |
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Unrealized Appreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | 2,331,146 | $ | — | $ | — | $ | 2,331,146 | ||||||||||||||
Unrealized Appreciation on Futures Contracts¤ | — | — | 5,257,780 | — | — | — | 5,257,780 | |||||||||||||||||||||
Swap Contracts, at value¤ | — | — | 692,511 | — | 1,763,498 | — | 2,456,009 | |||||||||||||||||||||
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Total | $ | — | $ | — | $ | 5,950,291 | $ | 2,331,146 | $ | 1,763,498 | $ | — | $ | 10,044,935 | ||||||||||||||
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Liability Derivatives |
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Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (16,689,011 | ) | $ | — | $ | — | $ | (16,689,011 | ) | ||||||||||||
Unrealized Depreciation on Futures Contracts¤ | — | — | (55,848,200 | ) | — | — | — | (55,848,200 | ) | |||||||||||||||||||
Swap Contracts, at value¤ | — | — | (125,919 | ) | — | (910,469 | ) | — | (1,036,388 | ) | ||||||||||||||||||
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Total | $ | — | $ | — | $ | (55,974,119 | ) | $ | (16,689,011 | ) | $ | (910,469 | ) | $ | — | $ | (73,573,599 | ) | ||||||||||
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169
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Credit Contracts | Commodity Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Benchmark-Free Fund (continued) |
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Net Realized Gain (Loss) on |
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Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (33,575,119 | ) | $ | — | $ | — | $ | (33,575,119 | ) | ||||||||||||
Futures Contracts | — | — | (138,011,580 | ) | — | — | — | (138,011,580 | ) | |||||||||||||||||||
Written Options | — | — | (2,599,801 | ) | — | — | — | (2,599,801 | ) | |||||||||||||||||||
Swap Contracts | 3,897,188 | — | 11,090,453 | — | (1,220,857 | ) | — | 13,766,784 | ||||||||||||||||||||
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Total | $ | 3,897,188 | $ | — | $ | (129,520,928 | ) | $ | (33,575,119 | ) | $ | (1,220,857 | ) | $ | — | $ | (160,419,716 | ) | ||||||||||
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Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (13,025,159 | ) | $ | — | $ | — | $ | (13,025,159 | ) | ||||||||||||
Futures Contracts | — | — | (59,359,966 | ) | — | — | — | (59,359,966 | ) | |||||||||||||||||||
Written Options | — | — | (27,359 | ) | — | — | — | (27,359 | ) | |||||||||||||||||||
Swap Contracts | — | — | (4,260,530 | ) | — | 781,851 | — | (3,478,679 | ) | |||||||||||||||||||
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Total | $ | — | $ | — | $ | (63,647,855 | ) | $ | (13,025,159 | ) | $ | 781,851 | $ | — | $ | (75,891,163 | ) | |||||||||||
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Global Asset Allocation Fund |
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Liability Derivatives |
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Unrealized Depreciation on Futures Contracts¤ | $ | — | $ | — | $ | (5,672,502 | ) | $ | — | $ | — | $ | — | $ | (5,672,502 | ) | ||||||||||||
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Total | $ | — | $ | — | $ | (5,672,502 | ) | $ | — | $ | — | $ | — | $ | (5,672,502 | ) | ||||||||||||
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Net Realized Gain (Loss) on |
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Futures Contracts | $ | — | $ | — | $ | (9,272,753 | ) | $ | — | $ | — | $ | — | $ | (9,272,753 | ) | ||||||||||||
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Total | $ | — | $ | — | $ | (9,272,753 | ) | $ | — | $ | — | $ | — | $ | (9,272,753 | ) | ||||||||||||
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Change in Net Appreciation |
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Futures Contracts | $ | — | $ | — | $ | (5,672,502 | ) | $ | — | $ | — | $ | — | $ | (5,672,502 | ) | ||||||||||||
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Total | $ | — | $ | — | $ | (5,672,502 | ) | $ | — | $ | — | $ | — | $ | (5,672,502 | ) | ||||||||||||
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Consolidated Implementation Fund |
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Asset Derivatives |
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Unrealized Appreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | 26,313,985 | $ | — | $ | — | $ | 26,313,985 | ||||||||||||||
Unrealized Appreciation on Futures Contracts¤ | — | 1,960,844 | 22,270,531 | — | 193,391 | — | 24,424,766 | |||||||||||||||||||||
Swap Contracts, at value¤ | — | — | 1,982,610 | — | 10,706,556 | — | 12,689,166 | |||||||||||||||||||||
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Total | $ | — | $ | 1,960,844 | $ | 24,253,141 | $ | 26,313,985 | $ | 10,899,947 | $ | — | $ | 63,427,917 | ||||||||||||||
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Liability Derivatives |
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Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (53,464,989 | ) | $ | — | $ | — | $ | (53,464,989 | ) | ||||||||||||
Unrealized Depreciation on Futures Contracts¤ | — | (1,499,480 | ) | (164,267,348 | ) | — | (406 | ) | — | (165,767,234 | ) | |||||||||||||||||
Written Options, at value | — | — | (1,026,000 | ) | — | — | — | (1,026,000 | ) | |||||||||||||||||||
Swap Contracts, at value¤ | (693,374 | ) | — | (250,666 | ) | — | (5,612,440 | ) | — | (6,556,480 | ) | |||||||||||||||||
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Total | $ | (693,374 | ) | $ | (1,499,480 | ) | $ | (165,544,014 | ) | $ | (53,464,989 | ) | $ | (5,612,846 | ) | $ | — | $ | (226,814,703 | ) | ||||||||
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Net Realized Gain (Loss) on |
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Investments (purchased options) | $ | — | $ | — | $ | (6,686,553 | ) | $ | 7,483 | $ | — | $ | — | $ | (6,679,070 | ) | ||||||||||||
Forward Currency Contracts | — | — | — | (89,805,709 | ) | — | — | (89,805,709 | ) | |||||||||||||||||||
Futures Contracts | — | 8,871,795 | (338,180,697 | ) | — | 171,454 | — | (329,137,448 | ) | |||||||||||||||||||
Written Options | — | — | (11,933,759 | ) | — | — | — | (11,933,759 | ) | |||||||||||||||||||
Swap Contracts | 4,323,104 | — | 39,971,509 | — | 444,631 | — | 44,739,244 | |||||||||||||||||||||
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Total | $ | 4,323,104 | $ | 8,871,795 | $ | (316,829,500 | ) | $ | (89,798,226 | ) | $ | 616,085 | $ | — | $ | (392,816,742 | ) | |||||||||||
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170
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Credit Contracts | Commodity Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Consolidated Implementation Fund (continued) |
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Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | (4,807,981 | ) | $ | 21,383 | $ | — | $ | — | $ | (4,786,598 | ) | ||||||||||||
Forward Currency Contracts | — | — | — | (20,960,576 | ) | — | — | (20,960,576 | ) | |||||||||||||||||||
Futures Contracts | — | 461,364 | (167,737,734 | ) | — | 122,890 | — | (167,153,480 | ) | |||||||||||||||||||
Written Options | — | — | 11,883,793 | — | — | — | 11,883,793 | |||||||||||||||||||||
Swap Contracts | (1,060,663 | ) | — | (26,671,950 | ) | — | 10,339 | — | (27,722,274 | ) | ||||||||||||||||||
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Total | $ | (1,060,663 | ) | $ | 461,364 | $ | (187,333,872 | ) | $ | (20,939,193 | ) | $ | 133,229 | $ | — | $ | (208,739,135 | ) | ||||||||||
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Consolidated SGM Major Markets Fund |
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Asset Derivatives |
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Unrealized Appreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | 7,265,372 | $ | — | $ | — | $ | 7,265,372 | ||||||||||||||
Unrealized Appreciation on Futures Contracts¤ | — | 1,204,469 | 3,596,951 | — | 117,474 | — | 4,918,894 | |||||||||||||||||||||
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Total | $ | — | $ | 1,204,469 | $ | 3,596,951 | $ | 7,265,372 | $ | 117,474 | $ | — | $ | 12,184,266 | ||||||||||||||
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Liability Derivatives |
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Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (2,122,838 | ) | $ | — | $ | — | $ | (2,122,838 | ) | ||||||||||||
Unrealized Depreciation on Futures Contracts¤ | — | (921,008 | ) | (1,779,640 | ) | — | (253 | ) | — | (2,700,901 | ) | |||||||||||||||||
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Total | $ | — | $ | (921,008 | ) | $ | (1,779,640 | ) | $ | (2,122,838 | ) | $ | (253 | ) | $ | — | $ | (4,823,739 | ) | |||||||||
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Net Realized Gain (Loss) on |
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Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (1,253,422 | ) | $ | — | $ | — | $ | (1,253,422 | ) | ||||||||||||
Futures Contracts | — | 22,368,015 | 20,370,860 | — | (113,065 | ) | — | 42,625,810 | ||||||||||||||||||||
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Total | $ | — | $ | 22,368,015 | $ | 20,370,860 | $ | (1,253,422 | ) | $ | (113,065 | ) | $ | — | $ | 41,372,388 | ||||||||||||
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Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | — | $ | 8,047,449 | $ | — | $ | — | $ | 8,047,449 | ||||||||||||||
Futures Contracts | — | (2,657,304 | ) | (8,968,228 | ) | — | 117,221 | — | (11,508,311 | ) | ||||||||||||||||||
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Total | $ | — | $ | (2,657,304 | ) | $ | (8,968,228 | ) | $ | 8,047,449 | $ | 117,221 | $ | — | $ | (3,460,862 | ) | |||||||||||
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Strategic Opportunities Allocation Fund |
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Asset Derivatives |
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Unrealized Appreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | 4,090 | $ | — | $ | — | $ | 4,090 | ||||||||||||||
Swap Contracts, at value¤ | — | — | 107,096 | — | — | — | 107,096 | |||||||||||||||||||||
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Total | $ | — | $ | — | $ | 107,096 | $ | 4,090 | $ | — | $ | — | $ | 111,186 | ||||||||||||||
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Liability Derivatives |
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Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (19,725 | ) | $ | — | $ | — | $ | (19,725 | ) | ||||||||||||
Unrealized Depreciation on Futures Contracts¤ | — | — | (5,664,761 | ) | — | — | — | (5,664,761 | ) | |||||||||||||||||||
Swap Contracts, at value¤ | — | — | (23,064 | ) | — | — | — | (23,064 | ) | |||||||||||||||||||
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Total | $ | — | $ | — | $ | (5,687,825 | ) | $ | (19,725 | ) | $ | — | $ | — | $ | (5,707,550 | ) | |||||||||||
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Net Realized Gain (Loss) on |
| |||||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (967 | ) | $ | — | $ | — | $ | (967 | ) | ||||||||||||
Futures Contracts | — | — | (9,159,466 | ) | — | — | — | (9,159,466 | ) | |||||||||||||||||||
Swap Contracts | — | — | (115,852 | ) | — | — | — | (115,852 | ) | |||||||||||||||||||
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Total | $ | — | $ | — | $ | (9,275,318 | ) | $ | (967 | ) | $ | — | $ | — | $ | (9,276,285 | ) | |||||||||||
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171
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Credit Contracts | Commodity Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Strategic Opportunities Allocation Fund (continued) |
| |||||||||||||||||||||||||||
Change in Net Appreciation | ||||||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (15,635 | ) | $ | — | $ | — | $ | (15,635 | ) | ||||||||||||
Futures Contracts | — | — | (5,664,761 | ) | — | — | — | (5,664,761 | ) | |||||||||||||||||||
Written Options | — | — | (5,760 | ) | — | — | — | (5,760 | ) | |||||||||||||||||||
Swap Contracts | — | — | (103,750 | ) | — | — | — | (103,750 | ) | |||||||||||||||||||
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| |||||||||||||||
Total | $ | — | $ | — | $ | (5,774,271 | ) | $ | (15,635 | ) | $ | — | $ | — | $ | (5,789,906 | ) | |||||||||||
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^ | 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, Master Securities Loan Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of OTC derivative transactions, repurchase agreements, reverse repurchase agreements and securities loans. The Master Agreements may include collateral posting terms and set-off 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 set-off and netting 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 an early termination of 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, in 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, reverse repurchase agreements and securities loans held by the Funds at August 31, 2020, if any.
172
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2020:
Alternative Allocation 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. | $ | 98,028 | $ | — | $ | 98,028 | $ | — | ||||||||
Barclays Bank PLC | 233,467 | — | 233,467 | — | ||||||||||||
Citibank N.A. | 225,864 | (162,799 | ) | (63,065 | ) | — | * | |||||||||
Deutsche Bank AG | 284,845 | — | 284,845 | — | ||||||||||||
Goldman Sachs International | 128,337 | — | (93,408 | ) | 34,929 | |||||||||||
JPMorgan Chase Bank, N.A. | 3,540,610 | (1,419,964 | ) | (1,950,894 | ) | 169,752 | ||||||||||
Morgan Stanley & Co. International PLC | 742,783 | — | 742,783 | — | ||||||||||||
State Street Bank and Trust Company | 617,914 | (299,077 | ) | (10,029 | ) | 308,808 | ||||||||||
UBS AG | 1,956,998 | (1,670,000 | ) | (86,966 | ) | 200,032 | ||||||||||
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Total | $ | 7,828,846 | $ | (3,551,840 | ) | $ | (845,239 | ) | $ | 713,521 | ||||||
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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. | $ | 702,102 | $ | — | $ | (98,028 | ) | $ | 604,074 | |||||||
Barclays Bank PLC | 237,584 | — | (233,467 | ) | 4,117 | |||||||||||
Citibank N.A. | 63,065 | — | 63,065 | — | ||||||||||||
Deutsche Bank AG | 1,386,472 | — | (284,845 | ) | 1,101,627 | |||||||||||
Goldman Sachs International | 93,408 | — | 93,408 | — | ||||||||||||
JPMorgan Chase Bank, N.A. | 1,950,894 | — | 1,950,894 | — | ||||||||||||
Morgan Stanley & Co. International PLC | 2,247,311 | (1,504,528 | ) | (742,783 | ) | — | * | |||||||||
Morgan Stanley & Co. LLC | 507,364 | (507,364 | ) | — | — | * | ||||||||||
State Street Bank and Trust Company | 10,029 | — | 10,029 | — | ||||||||||||
UBS AG | 86,966 | — | 86,966 | — | ||||||||||||
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Total | $ | 7,285,195 | $ | (2,011,892 | ) | $ | 845,239 | $ | 1,709,818 | |||||||
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173
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Benchmark-Free 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. | $ | 39,417 | $ | — | $ | 39,417 | $ | — | ||||||||
Bank of New York Mellon | 415,529 | — | (1,230 | ) | 414,299 | |||||||||||
Barclays Bank PLC | 85,606 | — | 85,606 | — | ||||||||||||
Citibank N.A. | 80,169 | — | 80,169 | — | ||||||||||||
Deutsche Bank AG | 145,609 | — | 145,609 | — | ||||||||||||
Goldman Sachs International | 65,863 | — | — | 65,863 | ||||||||||||
JPMorgan Chase Bank, N.A. | 1,140,008 | (431,872 | ) | (708,136 | ) | — | * | |||||||||
Morgan Stanley & Co. International PLC | 257,022 | — | 257,022 | — | ||||||||||||
Morgan Stanley Capital Services LLC | 652,882 | (399,000 | ) | (125,919 | ) | 127,963 | ||||||||||
State Street Bank and Trust Company | 141,552 | — | 141,552 | — | ||||||||||||
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Total | $ | 3,023,657 | $ | (830,872 | ) | $ | (85,910 | ) | $ | 608,125 | ||||||
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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. | $ | 40,117 | $ | — | $ | (39,417 | ) | $ | 700 | |||||||
Bank of New York Mellon | 1,230 | — | 1,230 | — | ||||||||||||
Barclays Bank PLC | 469,552 | — | (85,606 | ) | 383,946 | |||||||||||
Citibank N.A. | 5,052,557 | (3,768,241 | ) | (80,169 | ) | 1,204,147 | ||||||||||
Deutsche Bank AG | 6,334,824 | — | (145,609 | ) | 6,189,215 | |||||||||||
JPMorgan Chase Bank, N.A. | 708,136 | — | 708,136 | — | ||||||||||||
Morgan Stanley & Co. International PLC | 3,198,604 | (1,264,905 | ) | (257,022 | ) | 1,676,677 | ||||||||||
Morgan Stanley Capital Services LLC | 125,919 | — | 125,919 | — | ||||||||||||
State Street Bank and Trust Company | 883,991 | — | (141,552 | ) | 742,439 | |||||||||||
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Total | $ | 16,814,930 | $ | (5,033,146 | ) | $ | 85,910 | $ | 10,197,124 | |||||||
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174
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (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. | $ | 263,275 | $ | — | $ | 263,275 | $ | — | ||||||||
Bank of New York Mellon | 908,261 | — | (2,695 | ) | 905,566 | |||||||||||
Barclays Bank PLC | 718,649 | — | 718,649 | — | ||||||||||||
Citibank N.A. | 472,561 | — | 472,561 | — | ||||||||||||
Deutsche Bank AG | 800,576 | — | 800,576 | — | ||||||||||||
Goldman Sachs International | 557,617 | — | (356,312 | ) | 201,305 | |||||||||||
JPMorgan Chase Bank, N.A. | 8,891,646 | (2,194,699 | ) | (6,308,709 | ) | 388,238 | ||||||||||
Morgan Stanley & Co. International PLC | 2,480,043 | — | 2,480,043 | — | ||||||||||||
Morgan Stanley Capital Services LLC | 1,786,492 | (1,300,000 | ) | (250,666 | ) | 235,826 | ||||||||||
State Street Bank and Trust Company | 3,425,635 | (1,068,157 | ) | (2,357,478 | ) | — | * | |||||||||
UBS AG | 7,991,840 | (6,320,000 | ) | (326,882 | ) | 1,344,958 | ||||||||||
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Total | $ | 28,296,595 | $ | (10,882,856 | ) | $ | (4,867,638 | ) | $ | 3,075,893 | ||||||
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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. | $ | 318,537 | $ | (34,495 | ) | $ | (263,275 | ) | $ | 20,767 | ||||||
Bank of New York Mellon | 2,695 | — | 2,695 | — | ||||||||||||
Barclays Bank PLC | 2,527,054 | (407,906 | ) | (718,649 | ) | 1,400,499 | ||||||||||
Citibank N.A. | 12,734,595 | (9,295,995 | ) | (472,561 | ) | 2,966,039 | ||||||||||
Credit Suisse International | 197,949 | — | — | 197,949 | ||||||||||||
Deutsche Bank AG | 16,417,112 | (10,342,530 | ) | (800,576 | ) | 5,274,006 | ||||||||||
Goldman Sachs International | 356,312 | — | 356,312 | — | ||||||||||||
JPMorgan Chase Bank, N.A. | 6,308,709 | — | 6,308,709 | — | ||||||||||||
Morgan Stanley & Co. International PLC | 12,611,040 | (4,239,946 | ) | (2,480,043 | ) | 5,891,051 | ||||||||||
Morgan Stanley & Co. LLC | 1,026,000 | (1,026,000 | ) | — | — | * | ||||||||||
Morgan Stanley Capital Services LLC | 250,666 | — | 250,666 | — | ||||||||||||
State Street Bank and Trust Company | 2,357,478 | — | 2,357,478 | — | ||||||||||||
UBS AG | 326,882 | — | 326,882 | — | ||||||||||||
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Total | $ | 55,435,029 | $ | (25,346,872 | ) | $ | 4,867,638 | $ | 15,750,311 | |||||||
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175
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Consolidated SGM Major Markets Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Barclays Bank PLC | $ | 126,804 | $ | — | $ | 126,804 | $ | — | ||||||||
Goldman Sachs International | 117,329 | — | 117,329 | — | ||||||||||||
Morgan Stanley & Co. International PLC | 340,064 | — | 340,064 | — | ||||||||||||
State Street Bank and Trust Company | 1,578,378 | (1,066,152 | ) | (2,682 | ) | 509,544 | ||||||||||
UBS AG | 5,102,797 | (4,697,703 | ) | (195,733 | ) | 209,361 | ||||||||||
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|
|
|
|
|
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| |||||||||
Total | $ | 7,265,372 | $ | (5,763,855 | ) | $ | 385,782 | $ | 718,905 | |||||||
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Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Barclays Bank PLC | $ | 279,700 | $ | — | $ | (126,804 | ) | $ | 152,896 | |||||||
Goldman Sachs International | 218,411 | — | (117,329 | ) | 101,082 | |||||||||||
JPMorgan Chase Bank, N.A. | 1,000,420 | (957,987 | ) | — | 42,433 | |||||||||||
Morgan Stanley & Co. International PLC | 425,892 | — | (340,064 | ) | 85,828 | |||||||||||
State Street Bank and Trust Company | 2,682 | — | 2,682 | — | ||||||||||||
UBS AG | 195,733 | — | 195,733 | — | ||||||||||||
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|
|
|
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| |||||||||
Total | $ | 2,122,838 | $ | (957,987 | ) | $ | (385,782 | ) | $ | 382,239 | ||||||
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| |||||||||
Strategic Opportunities Allocation 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 | $ | 4,090 | $ | — | $ | 4,090 | $ | — | ||||||||
Morgan Stanley Capital Services LLC | 107,096 | (77,000 | ) | (23,064 | ) | 7,032 | ||||||||||
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|
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| |||||||||
Total | $ | 111,186 | $ | (77,000 | ) | $ | (18,974 | ) | $ | 7,032 | ||||||
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| |||||||||
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. | $ | 11,834 | $ | — | $ | — | $ | 11,834 | ||||||||
Deutsche Bank AG | 7,891 | — | (4,090 | ) | 3,801 | |||||||||||
Morgan Stanley Capital Services LLC | 23,064 | — | 23,064 | — | ||||||||||||
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| |||||||||
Total | $ | 42,789 | $ | — | $ | 18,974 | $ | 15,635 | ||||||||
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* | The actual collateral received and/or pledged is more than the amount shown. |
176
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts) 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, 2020:
Fund Name | Forward Currency Contracts ($) | Futures Contracts ($) | Options (Principal) | Options (Contracts) | Swap Contracts ($) | |||||||||||||||
Consolidated Alternative Allocation Fund | 562,296,893 | 78,520,730 | 1,591,851 | 2,547 | 764,587,509 | |||||||||||||||
Benchmark-Free Fund | 644,149,078 | 763,048,107 | — | 57 | * | 311,246,253 | ||||||||||||||
Global Asset Allocation Fund | — | 55,137,455 | — | — | — | |||||||||||||||
Consolidated Implementation Fund | 3,143,369,717 | 2,270,305,549 | 8,244,173 | 12,265 | 2,245,419,116 | |||||||||||||||
Consolidated SGM Major Markets Fund | 284,503,220 | 181,802,544 | — | — | — | |||||||||||||||
Strategic Opportunities Allocation Fund | 2,995,607 | 49,760,776 | — | — | 2,138,741 |
* | During the period ended August 31, 2020, 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 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:
Alternative Allocation 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 | 0.73% | 0.65% | — | — | — | — | — | — | — | 0.85% | 1.10% | — |
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 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, (i) providing and presenting (a) educational and explanatory information about the Fund and its asset allocation strategy as requested or directed by an investor or its investment adviser; (b) similar educational and explanatory information about the strategies of the GMO Funds in which the Fund invests; (c) information for inclusion in the quarterly or other periodic reports of the investor; (ii) responding to information requests relating to oversight functions of the investor’s board of directors in areas including pricing, compliance, and taxation; (iii) providing access to and setting up meetings with GMO’s Chief Investment Strategist and Head of GMO’s Asset Allocation Team and other investment professionals of GMO; (iv) assisting with inquiries from an investor’s investment adviser; and (v) providing such other assistance as may be requested from time to time by an investor or its agent, so long as that assistance is not primarily intended to result in the sale of Fund shares.
177
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
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 II | Class III | Class IV | Class V | Class VI | Class MF | Class R6 | Class I | ||||||||||||||||||||||||
Alternative Allocation Fund | 0.22%* | 0.15% | * | 0.105% | * | 0.085%* | 0.055% | 0.22% | 0.22% | |||||||||||||||||||||||
Benchmark-Free Allocation Fund | 0.15% | 0.10% | 0.10% | 0.15% | 0.15% | |||||||||||||||||||||||||||
SGM Major Markets Fund | 0.15% | 0.10% | * | 0.055% | 0.15% | * | 0.15% | * | ||||||||||||||||||||||||
Special Opportunities Fund | 0.15% | * | 0.10% | * | 0.085%* | 0.055% | �� |
* | Class is offered but has no shareholders as of August 31, 2020. |
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.
For each Fund, other than Alternative Allocation Fund and 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.
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 (excluding, in the case of Class I shares, any amounts paid for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to Class I shareholders), 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 Alternative Allocation Fund (the “Fund), GMO has contractually agreed to waive its fees with respect to and/or reimburse the Fund to the extent that the Fund’s total annual fund operating expenses (after applying all other contractual and voluntary expense limitation arrangements in effect at the time) exceed the following amounts for each class of shares, in each case representing the average daily net assets for the indicated class of shares: 0.99% for Class II shares; 0.92% for Class III shares; 0.875% for Class IV shares; 0.855% for Class V shares; 0.825% for Class VI shares; 0.99% for Class R6 shares; and 0.99% for Class I shares (each, an “Expense Cap”). Fees and expenses of the “non-interested” Trustees and legal counsel and independent compliance consultant to the “non-interested” Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses), taxes, litigation and indemnification expenses, payments out of assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund’s business, are excluded from the Expense Cap.
For Special Opportunities Fund (the “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 that 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. The 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 the period ended August 31, 2020, GMO did not recoup any previously recorded waivers and/or reimbursements.
GMO has contractually agreed to waive or reduce the Fund’s management fee and shareholder service fee to the extent necessary to offset the management fee and shareholder service fee paid to GMO that are directly or indirectly borne by the Fund or a class of shares of the Fund as a result of the Fund’s direct or indirect investments in other series of GMO Trust (“GMO Funds”). Management fees and shareholder service fees will not be waived below zero.
178
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
These contractual waivers and reimbursements will continue through at least June 30, 2021 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, 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 fees paid to GMO. This reduction will continue through at least June 30, 2021, and may not be terminated prior to this date without the action or consent of the Fund’s Board of Trustees.
GMO has contractually agreed to reimburse Class I assets of each Fund (or waive its fees) to the extent that payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries from Class I assets exceed 0.10% of such Fund’s average daily net assets attributable to Class I assets.
Sub-Transfer Agent/Recordkeeping Payments
Class II, III, IV, V, VI, MF and R6 shares are not subject to payments to third parties for sub-transfer agent/recordkeeping and other administrative services. GMO may, on a case-by-case basis, make payments for sub-transfer agent, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders of these classes. Any such payments are made by GMO out of its own resources and are not an additional charge to a Fund or the holders of Class II, III, IV, V, VI, MF or Class R6 shares. These payments may create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.
Class I shares are subject to payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to holders of Class I shares through an account maintained by a third-party platform or intermediary. These services are not primarily intended to result in the sale of Fund shares but instead to provide ongoing services with respect to holders of Class I shares through a third-party platform or intermediary. Because payments for sub-transfer agency, recordkeeping and other administrative services are paid out of a Fund’s Class I assets on an ongoing basis, over time they will increase the cost of an investment in Class I shares. In addition, GMO may, on a case-by-case basis, make payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders of Class I shares. Any such payments are made by GMO out of its own resources and are not an additional charge to a Fund or the holders of Class I shares. These payments create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.
179
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
The Funds’ portion of the 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, 2020 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 ($) | ||||||
Consolidated Alternative Allocation Fund | 4,683 | 455 | ||||||
Benchmark-Free Allocation Fund | 135,236 | 14,103 | ||||||
Benchmark-Free Fund | 41,016 | 4,296 | ||||||
Global Asset Allocation Fund | 23,914 | 2,496 | ||||||
Global Developed Equity Allocation Fund | 1,243 | 151 | ||||||
Global Equity Allocation Fund | 24,108 | 2,481 | ||||||
Consolidated Implementation Fund | 110,386 | 11,366 | ||||||
International Developed Equity Allocation Fund | 4,892 | 510 | ||||||
International Equity Allocation Fund | 13,458 | 1,403 | ||||||
Consolidated SGM Major Markets Fund | 11,637 | 1,291 | ||||||
Consolidated Special Opportunities Fund | 4,953 | 526 | ||||||
Strategic Opportunities Allocation Fund | 11,934 | 1,188 |
Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2020, the below Funds had indirect fees and expenses greater than 0.01% of the Fund’s average daily net assets.
Fund Name | Total Indirect Expenses | |||
Consolidated Alternative Allocation Fund | 0.092% | |||
Benchmark-Free Allocation Fund | 0.208% | * | ||
Benchmark-Free Fund | 0.185% | |||
Global Asset Allocation Fund | 0.596% | * | ||
Global Developed Equity Allocation Fund | 0.526% | |||
Global Equity Allocation Fund | 0.570% | |||
International Developed Equity Allocation Fund | 0.615% | |||
International Equity Allocation Fund | 0.653% | |||
Strategic Opportunities Allocation Fund | 0.445% |
* | Includes indirect interest and dividend expense on reverse repurchase agreements and short sales, respectively, and borrowing costs for investments sold short. |
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, 2020, the Funds did not engage in these transactions.
180
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (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, 2020 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) | ||||||||||||
Consolidated Alternative Allocation Fund | 120,473,848 | 279,158,556 | 13,806,660 | 278,682,422 | ||||||||||||
Benchmark-Free Allocation Fund | — | 636,251,419 | — | 2,071,741,929 | ||||||||||||
Benchmark-Free Fund | 539,587,831 | 971,499,562 | 523,328,942 | 1,297,549,808 | ||||||||||||
Global Asset Allocation Fund | — | 213,961,979 | — | 488,777,705 | ||||||||||||
Global Developed Equity Allocation Fund | — | 5,297,250 | — | 8,448,021 | ||||||||||||
Global Equity Allocation Fund | — | 128,476,974 | — | 117,101,929 | ||||||||||||
Consolidated Implementation Fund | 1,584,975,345 | 3,512,136,173 | 1,602,618,347 | 4,091,576,950 | ||||||||||||
International Developed Equity Allocation Fund | — | 5,939,925 | — | 119,237,256 | ||||||||||||
International Equity Allocation Fund | — | 43,523,686 | — | 162,811,582 | ||||||||||||
Consolidated SGM Major Markets Fund | 183,736,719 | — | 497,108,829 | — | ||||||||||||
Consolidated Special Opportunities Fund | — | 103,308,595 | — | 412,269,341 | ||||||||||||
Strategic Opportunities Allocation Fund | 5,976,971 | 204,183,638 | 18,346,883 | 303,106,403 |
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.
181
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
8. | Principal shareholders and related parties as of August 31, 2020 |
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 GMO Trust officers | Percentage of the Fund’s shares held by accounts for which GMO has investment discretion | ||||||||||||
Alternative Allocation Fund | 3 | ‡ | 88.45% | 0.15% | 46.58% | |||||||||||
Benchmark-Free Allocation Fund | 1 | 28.63% | 1.32% | 9.31% | ||||||||||||
Benchmark-Free Fund | 1 | 10.47% | — | 100.00% | ||||||||||||
Global Asset Allocation Fund | 2 | † | 23.97% | 0.05% | 12.17% | |||||||||||
Global Developed Equity Allocation Fund | 3 | 92.62% | 0.02% | — | ||||||||||||
Global Equity Allocation Fund | 3 | 55.77% | 0.01% | — | ||||||||||||
Implementation Fund | 1 | ‡ | 100.00% | — | 100.00% | |||||||||||
International Developed Equity Allocation Fund | 2 | 93.14% | 0.01% | 5.48% | ||||||||||||
International Equity Allocation Fund | 4 | 74.70% | 0.01% | 1.49% | ||||||||||||
SGM Major Markets Fund | 2 | # | 76.03% | 0.70% | 77.60% | |||||||||||
Special Opportunities Fund | 2 | # | 96.28% | 0.80% | 96.72% | |||||||||||
Strategic Opportunities Allocation Fund | 4 | 46.75% | 0.01% | 99.93% |
† | 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. |
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, 2020 (Unaudited) | Year Ended February 29, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Consolidated Alternative Allocation Fund | ||||||||||||||||
Class VI:(a) |
| |||||||||||||||
Shares sold | 584,257 | $ | 11,122,489 | 10,854,051 | $ | 216,921,996 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 18,432 | 352,233 | 244,857 | 4,899,582 | ||||||||||||
Shares repurchased | (2,144,056 | ) | (40,779,229 | ) | (775,804 | ) | (15,497,995 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,541,367 | ) | $ | (29,304,507 | ) | 10,323,104 | $ | 206,323,583 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6:(b) |
| |||||||||||||||
Shares sold | 23,853 | $ | 461,090 | |||||||||||||
Shares repurchased | (7 | ) | (131 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 23,846 | $ | 460,959 | |||||||||||||
|
|
|
| |||||||||||||
182
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Consolidated Alternative Allocation Fund (continued) | ||||||||||||||||
Class I:(c) |
| |||||||||||||||
Shares sold | 10,013,122 | $ | 192,294,464 | 1,756,057 | $ | 35,182,098 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 4,829 | 92,182 | 22,166 | 443,534 | ||||||||||||
Shares repurchased | (1,826,258 | ) | (34,473,728 | ) | (17,167 | ) | (340,795 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 8,191,693 | $ | 157,912,918 | 1,761,056 | $ | 35,284,837 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Benchmark-Free Allocation Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 1,725,471 | $ | 40,543,332 | 24,257,167 | $ | 640,075,459 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 861,127 | 21,399,016 | 4,613,259 | 124,178,972 | ||||||||||||
Shares repurchased | (33,718,701 | ) | (800,297,434 | ) | (56,749,593 | ) | (1,517,816,871 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (31,132,103 | ) | $ | (738,355,086 | ) | (27,879,167 | ) | $ | (753,562,440 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: |
| |||||||||||||||
Shares sold | 3,048,182 | $ | 72,474,288 | 7,923,022 | $ | 212,654,200 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 468,741 | 11,648,211 | 2,512,433 | 67,603,590 | ||||||||||||
Shares repurchased | (6,906,263 | ) | (163,639,955 | ) | (32,635,505 | ) | (860,251,221 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (3,389,340 | ) | $ | (79,517,456 | ) | (22,200,050 | ) | $ | (579,993,431 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class MF: |
| |||||||||||||||
Shares sold | 371,656 | $ | 9,262,629 | 803,494 | $ | 21,189,670 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 625,584 | 15,558,280 | 4,026,104 | 108,452,767 | ||||||||||||
Shares repurchased | (30,406,092 | ) | (729,477,034 | ) | (43,051,526 | ) | (1,147,137,535 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (29,408,852 | ) | $ | (704,656,125 | ) | (38,221,928 | ) | $ | (1,017,495,098 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R6:(d) |
| |||||||||||||||
Shares sold | 1,776,402 | $ | 44,273,660 | |||||||||||||
Shares issued to shareholders in reinvestment of distributions | 2,523 | 62,670 | ||||||||||||||
Shares repurchased | (48,223 | ) | (1,172,536 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 1,730,702 | $ | 43,163,794 | |||||||||||||
|
|
|
| |||||||||||||
Class I:(e) |
| |||||||||||||||
Shares sold | 2,068,932 | $ | 50,360,274 | 3,946,657 | $ | 105,678,811 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 35,549 | 882,688 | 77,829 | 2,094,391 | ||||||||||||
Shares repurchased | (580,450 | ) | (14,211,323 | ) | (166,498 | ) | (4,455,002 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,524,031 | $ | 37,031,639 | 3,857,988 | $ | 103,318,200 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Benchmark-Free Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 3,336,415 | $ | 55,562,138 | 1,317,983 | $ | 25,892,943 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 386,534 | 7,127,690 | 5,386,720 | 108,505,171 | ||||||||||||
Shares repurchased | (25,721,014 | ) | (471,855,919 | ) | (31,708,368 | ) | (626,946,188 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (21,998,065 | ) | $ | (409,166,091 | ) | (25,003,665 | ) | $ | (492,548,074 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
183
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Six Months Ended | Year Ended February 29, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Global Asset Allocation Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 797,238 | $ | 23,479,968 | 1,000,287 | $ | 32,203,398 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 208,997 | 6,581,327 | 1,786,325 | 59,695,328 | ||||||||||||
Shares repurchased | (9,564,724 | ) | (287,089,715 | ) | (14,588,483 | ) | (474,038,279 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (8,558,489 | ) | $ | (257,028,420 | ) | (11,801,871 | ) | $ | (382,139,553 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R6:(f) |
| |||||||||||||||
Shares sold | 14,228 | $ | 427,171 | 607,847 | $ | 19,935,268 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 2,829 | 89,097 | 15,735 | 527,446 | ||||||||||||
Shares repurchased | (93,472 | ) | (2,769,679 | ) | (55,676 | ) | (1,850,896 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (76,415 | ) | $ | (2,253,411 | ) | 567,906 | $ | 18,611,818 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global Developed Equity Allocation Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | — | $ | — | 1,268 | $ | 27,967 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 5,696 | 119,211 | 446,904 | 9,818,537 | ||||||||||||
Shares repurchased | (241,042 | ) | (4,272,493 | ) | (18,054,457 | ) | (382,052,946 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (235,346 | ) | $ | (4,153,282 | ) | (17,606,285 | ) | $ | (372,206,442 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Global Equity Allocation Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 1,178,155 | $ | 27,619,962 | 2,875,035 | $ | 74,723,516 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 96,178 | 2,364,062 | 1,937,148 | 52,274,016 | ||||||||||||
Shares repurchased | (1,638,146 | ) | (38,882,361 | ) | (11,553,457 | ) | (298,075,823 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (363,813 | ) | $ | (8,898,337 | ) | (6,741,274 | ) | $ | (171,078,291 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R6:(g) |
| |||||||||||||||
Shares sold | 229,093 | $ | 5,773,070 | |||||||||||||
Shares repurchased | (6,454 | ) | (163,674 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 222,639 | $ | 5,609,396 | |||||||||||||
|
|
|
| |||||||||||||
Class I:(h) |
| |||||||||||||||
Shares sold | 2,214 | $ | 57,825 | |||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 2,214 | $ | 57,825 | |||||||||||||
|
|
|
| |||||||||||||
Consolidated Implementation Fund | ||||||||||||||||
Core Class: |
| |||||||||||||||
Shares sold | 42,501,039 | $ | 501,494,533 | 45,504,277 | $ | 615,547,348 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,258,715 | 15,205,272 | 22,932,913 | 310,939,020 | ||||||||||||
Shares repurchased | (103,868,841 | ) | (1,218,316,811 | ) | (188,088,082 | ) | (2,520,911,268 | ) | ||||||||
Purchase premiums | — | — | — | — | ||||||||||||
Redemption fees | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (60,109,087 | ) | $ | (701,617,006 | ) | (119,650,892 | ) | $ | (1,594,424,900 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
184
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Six Months Ended August 31, 2020 (Unaudited) | Year Ended February 29, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
International Developed Equity Allocation Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 1,241,659 | $ | 15,669,554 | 2,432,306 | $ | 36,078,936 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 24,459 | 353,918 | 803,039 | 12,819,179 | ||||||||||||
Shares repurchased | (9,025,746 | ) | (129,789,586 | ) | (21,571,600 | ) | (331,589,749 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (7,759,628 | ) | $ | (113,766,114 | ) | (18,336,255 | ) | $ | (282,691,634 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Allocation Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 80,771 | $ | 2,185,345 | 247,154 | $ | 7,467,402 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 67,152 | 1,864,131 | 931,484 | 28,142,608 | ||||||||||||
Shares repurchased | (5,327,376 | ) | (129,318,440 | ) | (10,725,589 | ) | (294,708,095 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (5,179,453 | ) | $ | (125,268,964 | ) | (9,546,951 | ) | $ | (259,098,085 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R6:(i) |
| |||||||||||||||
Shares sold | 219,705 | $ | 5,024,895 | 8,056,830 | $ | 218,098,392 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 28,283 | 784,848 | 291,593 | 8,867,347 | ||||||||||||
Shares repurchased | (35 | ) | (1,026 | ) | (687,274 | ) | (20,900,000 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 247,953 | $ | 5,808,717 | 7,661,149 | $ | 206,065,739 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Consolidated SGM Major Markets Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 36,960 | $ | 1,198,760 | 525,054 | $ | 16,975,147 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 24 | 770 | 7,014 | 225,366 | ||||||||||||
Shares repurchased | (23,220 | ) | (749,658 | ) | (1,348,349 | ) | (42,435,255 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 13,764 | $ | 449,872 | (816,281 | ) | $ | (25,234,742 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV:(j) |
| |||||||||||||||
Shares sold | — | $ | — | |||||||||||||
Shares issued to shareholders in reinvestment of distributions | 5,236 | 167,985 | ||||||||||||||
Shares repurchased | (721,896 | ) | (23,005,950 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | (716,660 | ) | $ | (22,837,965 | ) | |||||||||||
|
|
|
| |||||||||||||
Class VI: |
| |||||||||||||||
Shares sold | 2,237,378 | $ | 71,567,527 | 1,257,758 | $ | 40,323,424 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 9,062 | 291,957 | 477,353 | 15,034,172 | ||||||||||||
Shares repurchased | (19,512,196 | ) | (624,006,993 | ) | (11,128,347 | ) | (354,021,072 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (17,265,756 | ) | $ | (552,147,509 | ) | (9,393,236 | ) | $ | (298,663,476 | ) | ||||||
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|
|
|
|
|
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| |||||||||
Consolidated Special Opportunities Fund | ||||||||||||||||
Class VI: |
| |||||||||||||||
Shares sold | 4,555,245 | $ | 62,088,000 | 126,580 | $ | 2,408,910 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 3,151,013 | 84,620,116 | 2,552,208 | 44,327,184 | ||||||||||||
Shares repurchased | (15,978,378 | ) | (337,490,710 | ) | (7,471,715 | ) | (143,105,055 | ) | ||||||||
Purchase premiums | — | 312,000 | — | 12,105 | ||||||||||||
Redemption fees | — | 1,329,904 | — | 715,525 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (8,272,120 | ) | $ | (189,140,690 | ) | (4,792,927 | ) | $ | (95,641,331 | ) | ||||||
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185
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
Six Months Ended | Year Ended February 29, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Strategic Opportunities Allocation Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 1,574,726 | $ | 25,857,003 | 2,855,111 | $ | 54,190,000 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 430,029 | 8,054,446 | 1,875,730 | 38,161,859 | ||||||||||||
Shares repurchased | (7,455,475 | ) | (136,800,986 | ) | (10,966,560 | ) | (216,222,583 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (5,450,720 | ) | $ | (102,889,537 | ) | (6,235,719 | ) | $ | (123,870,724 | ) | ||||||
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| |||||||||
(a) | The period under the heading “Year Ended February 29, 2020” represents the period from May 1, 2019 (commencement of operations) through February 29, 2020. |
(b) | The period under the heading “Six Months Ended August 31, 2020 (Unaudited)” represents the period from July 31, 2020 (commencement of operations) through August 31, 2020. |
(c) | The period under the heading “Year Ended February 29, 2020 “represents the period from September 4, 2019 (commencement of operations) through February 29, 2020. |
(d) | The period under the heading “Six Months Ended August 31, 2020 (Unaudited)” represents the period from May 1, 2020 (commencement of operations) through August 31, 2020. |
(e) | The period under the heading “Year Ended February 29, 2020 “represents the period from August 8, 2019 (commencement of operations) through February 29, 2020. |
(f) | The period under the heading “Year Ended February 29, 2020 “(Unaudited)” represents the period from September 30, 2019 (commencement of operations) through February 29, 2020. |
(g) | The period under the heading “Six Months Ended August 31, 2020 (Unaudited)” represents the period from July 15, 2020 (commencement of operations) through August 31, 2020. |
(h) | The period under the heading “Six Months Ended August 31, 2020 (Unaudited)” represents the period from August, 17, 2020 (commencement of operations) through August 31, 2020. |
(i) | The period under the heading “Year Ended February 29, 2020 “(Unaudited)” represents the period from August 30, 2019 (commencement of operations) through February 29, 2020. |
(j) | For the period July 18, 2019 to February 29, 2020, Class IV had no shareholders. |
186
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (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 Funds’ transactions involving companies that are or were affiliates during the period ended August 31, 2020 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 | ||||||||||||||||||||||||
Consolidated Alternative Allocation Fund |
| |||||||||||||||||||||||||||||||
GMO Emerging Markets Fund, Class VI | $ | 13,595,699 | $ | 8,375,000 | $ | 1,655,000 | $ | 114,884 | $ | — | $ | (27,919 | ) | $ | 1,083,248 | $ | 21,371,028 | |||||||||||||||
GMO International Equity Fund, Class IV | 9,097,096 | 5,610,000 | 1,165,000 | 40,733 | — | (120,759 | ) | 896,907 | 14,318,244 | |||||||||||||||||||||||
GMO Resources Fund, Class IV | 6,568,271 | 4,300,000 | 1,300,000 | 4,007 | — | (124,774 | ) | 2,819,311 | 12,262,808 | |||||||||||||||||||||||
GMO U.S. Treasury Fund | — | 3,000,000 | — | 49 | — | — | — | 3,000,000 | ||||||||||||||||||||||||
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| |||||||||||||||||
Totals | $ | 29,261,066 | $ | 21,285,000 | $ | 4,120,000 | $ | 159,673 | $ | — | $ | (273,452 | ) | $ | 4,799,466 | $ | 50,952,080 | |||||||||||||||
|
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| |||||||||||||||||
Benchmark-Free Allocation Fund |
| |||||||||||||||||||||||||||||||
GMO Emerging Country Debt Fund, Class IV | $ | 264,983,913 | $ | 6,689,062 | $ | 17,225,929 | $ | 3,773,746 | $ | 2,915,316 | $ | (59,582 | ) | $ | (4,660,141 | ) | $ | 249,727,323 | ||||||||||||||
GMO High Yield Fund, Class VI | 110,184,438 | 670,111 | 34,400,000 | 608,301 | 61,810 | (532,087 | ) | 347,515 | 76,269,977 | |||||||||||||||||||||||
GMO Implementation Fund | 7,114,226,325 | 516,699,804 | 1,218,316,811 | 15,205,272 | — | (83,444,419 | ) | (319,577,384 | ) | 6,009,587,515 | ||||||||||||||||||||||
GMO Opportunistic Income Fund, Class VI | 446,590,600 | 3,984,656 | 79,028,303 | 3,984,656 | — | 2,078,399 | (7,871,276 | ) | 365,754,076 | |||||||||||||||||||||||
GMO SGM Major Markets Fund, Class VI | 664,643,917 | 207,991 | 487,983,785 | 207,991 | �� | — | (44,207,551 | ) | 68,771,020 | 201,431,592 | ||||||||||||||||||||||
GMO Special Opportunities Fund, Class VI | 195,830,895 | 107,999,795 | 234,787,101 | — | 57,999,795 | 28,680,220 | 108,513,625 | 206,237,434 | ||||||||||||||||||||||||
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| |||||||||||||||||
Totals | $ | 8,796,460,088 | $ | 636,251,419 | $ | 2,071,741,929 | $ | 23,779,966 | $ | 60,976,921 | $ | (97,485,020 | ) | $ | (154,476,641 | ) | $ | 7,109,007,917 | ||||||||||||||
|
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| |||||||||||||||||
Benchmark-Free Fund |
| |||||||||||||||||||||||||||||||
GMO Emerging Country Debt Fund, Class IV | $ | 88,839,361 | $ | 2,339,588 | $ | 2,956,718 | $ | 1,319,917 | $ | 1,019,671 | $ | 107,907 | $ | (1,610,265 | ) | $ | 86,719,873 | |||||||||||||||
GMO Emerging Markets Fund, Class VI | 277,719,859 | 1,315,877 | 131,140,000 | 1,315,877 | — | 22,281,408 | (12,638,454 | ) | 157,538,690 | |||||||||||||||||||||||
GMO Opportunistic Income Fund, Class VI | 174,387,661 | 1,667,064 | 38,700,000 | 1,667,064 | — | 1,314,501 | (3,681,578 | ) | 134,987,648 | |||||||||||||||||||||||
GMO SGM Major Markets Fund, Class VI | 119,656,426 | 59,062,349 | 131,599,924 | 62,349 | — | 3,726,904 | 3,142,134 | 53,987,889 | ||||||||||||||||||||||||
GMO Special Opportunities Fund, Class VI | 81,623,064 | 36,444,406 | 94,497,915 | — | 24,344,406 | 5,795,366 | 54,404,807 | 83,769,728 | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | 1,849,041 | 85,622,047 | 82,104,853 | — | ** | — | 46,769 | (3,673 | ) | 5,409,331 | ||||||||||||||||||||||
|
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|
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|
| |||||||||||||||||
Totals | $ | 744,075,412 | $ | 186,451,331 | $ | 480,999,410 | $ | 4,365,207 | $ | 25,364,077 | $ | 33,272,855 | $ | 39,612,971 | $ | 522,413,159 | ||||||||||||||||
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| |||||||||||||||||
187
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (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 |
| |||||||||||||||||||||||||||||||
GMO Alternative Allocation Fund, Class VI | $ | 162,822,665 | $ | 7,538,183 | $ | 37,200,730 | $ | 273,248 | $ | — | $ | (1,773,627 | ) | $ | 688,933 | $ | 132,075,424 | |||||||||||||||
GMO Asset Allocation Bond Fund, Class VI | 122,351,825 | 4,671,342 | 44,100,257 | 193,289 | — | 447,991 | 3,996,179 | 87,367,080 | ||||||||||||||||||||||||
GMO Cyclical Focus Fund, Class IV | — | 38,860,000 | — | — | — | — | 7,383,400 | 46,243,400 | ||||||||||||||||||||||||
GMO Emerging Country Debt Fund, Class IV | 57,278,855 | 2,520,534 | 8,181,174 | 756,837 | 584,677 | 357,505 | (1,265,400 | ) | 50,710,320 | |||||||||||||||||||||||
GMO Emerging Markets Fund, Class VI | 306,807,240 | 8,629,698 | 63,516,851 | 1,504,007 | — | 13,138,076 | (2,839,848 | ) | 262,218,315 | |||||||||||||||||||||||
GMO International Equity Fund, Class IV | 375,344,309 | 59,395,591 | 151,382,819 | 836,506 | — | (702,118 | ) | 8,706,747 | 291,361,710 | |||||||||||||||||||||||
GMO Multi-Sector Fixed Income Fund (formerly GMO Core Plus Bond Fund), Class IV | 234,253,275 | 13,904,082 | 62,424,884 | — | 5,908,863 | 3,884,665 | (4,034,781 | ) | 185,582,357 | |||||||||||||||||||||||
GMO Opportunistic Income Fund, Class VI | 33,470,164 | 291,017 | 6,672,935 | 291,017 | — | 277,765 | (613,634 | ) | 26,752,377 | |||||||||||||||||||||||
GMO Quality Fund, Class VI | 29,476,103 | 949,285 | 6,505,714 | 79,376 | 869,909 | 612,534 | 2,526,355 | 27,058,563 | ||||||||||||||||||||||||
GMO Risk Premium Fund, Class VI | 31,514,461 | 639,164 | 13,772,747 | 90,479 | 548,686 | (3,393,243 | ) | (78,146 | ) | 14,909,489 | ||||||||||||||||||||||
GMO U.S. Equity Fund, Class VI | 116,800,239 | 13,993,882 | 29,877,349 | 533,897 | 6,835,412 | (556,767 | ) | 6,887,469 | 107,247,474 | |||||||||||||||||||||||
GMO U.S. Small Cap Value Fund, Class VI | 86,440,407 | 9,339,144 | 15,941,238 | 161,901 | — | (724,161 | ) | 75,398 | 79,189,550 | |||||||||||||||||||||||
GMO U.S. Treasury Fund | 725,851 | 53,230,057 | 49,193,958 | 10,050 | — | 47,541 | (2,818 | ) | 4,806,673 | |||||||||||||||||||||||
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|
| |||||||||||||||||
Totals | $ | 1,557,285,394 | $ | 213,961,979 | $ | 488,770,656 | $ | 4,730,607 | $ | 14,747,547 | $ | 11,616,161 | $ | 21,429,854 | $ | 1,315,522,732 | ||||||||||||||||
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| |||||||||||||||||
Global Developed Equity Allocation Fund | ||||||||||||||||||||||||||||||||
GMO Cyclical Focus Fund, Class IV | $ | — | $ | 3,110,000 | $ | — | $ | — | $ | — | $ | — | $ | 590,900 | $ | 3,700,900 | ||||||||||||||||
GMO Emerging Markets Fund, Class VI | 7,608,658 | 38,586 | 701,371 | 38,586 | — | 53,925 | 146,616 | 7,146,414 | ||||||||||||||||||||||||
GMO International Equity Fund, Class IV | 36,181,574 | 94,542 | 2,552,514 | 94,542 | — | (435,119 | ) | 1,341,657 | 34,630,140 | |||||||||||||||||||||||
GMO Quality Fund, Class VI | 9,214,489 | 300,767 | 1,312,995 | 25,149 | 275,618 | (28,093 | ) | 932,082 | 9,106,250 | |||||||||||||||||||||||
GMO U.S. Equity Fund, Class VI | 13,571,810 | 706,129 | 3,731,676 | 51,158 | 654,971 | (1,082,391 | ) | 1,503,885 | 10,967,757 | |||||||||||||||||||||||
GMO U.S. Small Cap Value Fund, Class VI | 6,770,087 | 1,047,226 | 149,465 | 15,306 | — | (66,471 | ) | 320,413 | 7,921,790 | |||||||||||||||||||||||
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|
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| |||||||||||||||||
Totals | $ | 73,346,618 | $ | 5,297,250 | $ | 8,448,021 | $ | 224,741 | $ | 930,589 | $ | (1,558,149 | ) | $ | 4,835,553 | $ | 73,473,251 | |||||||||||||||
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| |||||||||||||||||
188
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (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 Equity Allocation Fund |
| |||||||||||||||||||||||||||||||
GMO Cyclical Focus Fund, Class IV | $ | — | $ | 66,600,000 | $ | — | $ | — | $ | — | $ | — | $ | 12,654,000 | $ | 79,254,000 | ||||||||||||||||
GMO Emerging Markets Fund, Class VI | 405,390,168 | 6,926,324 | 30,137,348 | 2,146,686 | — | 5,600,324 | 9,170,435 | 396,949,903 | ||||||||||||||||||||||||
GMO International Equity Fund, Class IV | 608,303,007 | 12,227,219 | 41,823,677 | 1,633,486 | — | (1,421,485 | ) | 20,831,516 | 598,116,580 | |||||||||||||||||||||||
GMO Quality Fund, Class VI | 197,661,153 | 10,011,004 | 15,598,790 | 588,626 | 6,450,933 | 152,141 | 23,069,440 | 215,294,948 | ||||||||||||||||||||||||
GMO U.S. Equity Fund, Class VI | 107,094,199 | 8,375,756 | 24,545,001 | 441,378 | 5,650,895 | (1,095,406 | ) | 6,298,935 | 96,128,483 | |||||||||||||||||||||||
GMO U.S. Small Cap Value Fund, Class VI | 137,186,837 | 24,336,671 | 4,997,113 | 317,693 | — | 894,720 | 5,097,734 | 162,518,849 | ||||||||||||||||||||||||
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|
|
| |||||||||||||||||
Totals | $ | 1,455,635,364 | $ | 128,476,974 | $ | 117,101,929 | $ | 5,127,869 | $ | 12,101,828 | $ | 4,130,294 | $ | 77,122,060 | $ | 1,548,262,763 | ||||||||||||||||
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| |||||||||||||||||
Consolidated Implementation Fund |
| |||||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 6,103,201 | $ | 241,443,815 | $ | 215,483,747 | $ | — | ** | $ | — | $ | 121,961 | $ | (11,987 | ) | $ | 32,173,243 | ||||||||||||||
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| |||||||||||||||||
International Developed Equity Allocation Fund |
| |||||||||||||||||||||||||||||||
GMO Emerging Markets Fund, Class VI | $ | 30,679,613 | $ | 1,406,077 | $ | 13,908,456 | $ | 161,609 | $ | — | $ | 1,371,580 | $ | (444,422 | ) | $ | 19,104,392 | |||||||||||||||
GMO International Equity Fund, Class IV | 266,698,094 | 4,533,848 | 105,328,800 | 734,291 | — | 909,445 | 6,620,706 | 173,433,293 | ||||||||||||||||||||||||
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|
| |||||||||||||||||
Totals | $ | 297,377,707 | $ | 5,939,925 | $ | 119,237,256 | $ | 895,900 | $ | — | $ | 2,281,025 | $ | 6,176,284 | $ | 192,537,685 | ||||||||||||||||
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| |||||||||||||||||
International Equity Allocation Fund |
| |||||||||||||||||||||||||||||||
GMO Emerging Markets Fund, Class VI | $ | 306,462,975 | $ | 33,423,572 | $ | 53,574,249 | $ | 1,428,821 | $ | — | $ | 5,343,210 | $ | (15,857 | ) | $ | 291,639,651 | |||||||||||||||
GMO International Equity Fund, Class IV | 550,104,514 | 10,100,114 | 109,237,334 | 1,367,771 | — | (16,325,741 | ) | 25,520,898 | 460,162,451 | |||||||||||||||||||||||
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| |||||||||||||||||
Totals | $ | 856,567,489 | $ | 43,523,686 | $ | 162,811,583 | $ | 2,796,592 | $ | — | $ | (10,982,531 | ) | $ | 25,505,041 | $ | 751,802,102 | |||||||||||||||
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| |||||||||||||||||
Strategic Opportunities Allocation Fund |
| |||||||||||||||||||||||||||||||
GMO Multi-Sector Fixed Income Fund (formerly GMO Core Plus Bond Fund), Class IV | $ | 67,321,337 | $ | 1,689,789 | $ | 17,386,119 | $ | — | $ | 1,689,789 | $ | 425,167 | $ | (666,047 | ) | $ | 51,384,127 | |||||||||||||||
GMO Emerging Country Debt Fund, Class IV | 27,054,909 | 712,492 | 592,362 | 401,964 | 310,528 | (17,492 | ) | (439,669 | ) | 26,717,878 | ||||||||||||||||||||||
GMO Emerging Markets Fund, Class VI | 182,753,835 | 973,913 | 31,145,000 | 973,913 | — | 8,617,780 | (648,580 | ) | 160,551,948 | |||||||||||||||||||||||
GMO International Equity Fund, Class IV | 198,303,123 | 17,284,319 | 87,662,481 | 492,668 | — | (3,728,758 | ) | 9,069,721 | 133,265,924 | |||||||||||||||||||||||
GMO Opportunistic Income Fund, Class VI | 21,226,892 | 195,627 | 2,653,377 | 195,627 | — | 117,157 | (330,351 | ) | 18,555,948 | |||||||||||||||||||||||
GMO Quality Fund, Class VI | 57,387,212 | 1,480,564 | 22,195,000 | 123,801 | 1,356,763 | 81,230 | 3,156,635 | 39,910,641 | ||||||||||||||||||||||||
GMO U.S. Equity Fund, Class VI | 28,351,515 | 1,788,676 | 7,075,000 | 129,587 | 1,659,089 | (1,166,127 | ) | 2,612,193 | 24,511,257 | |||||||||||||||||||||||
GMO U.S. Small Cap Value Fund, Class VI | 53,392,571 | 5,428,680 | 9,850,000 | 108,627 | — | 285,990 | (18,323 | ) | 49,238,918 | |||||||||||||||||||||||
GMO U.S. Treasury Fund | 5,804,477 | 74,712,149 | 71,954,058 | 16,183 | — | 50,141 | (11,551 | ) | 8,601,158 | |||||||||||||||||||||||
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| |||||||||||||||||
Totals | $ | 641,595,871 | $ | 104,266,209 | $ | 250,513,397 | $ | 2,442,370 | $ | 5,016,169 | $ | 4,665,088 | $ | 12,724,028 | $ | 512,737,799 | ||||||||||||||||
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| |||||||||||||||||
* | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2020 through August 31, 2020. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2021. |
** | Excludes income from investment of cash collateral from securities lending in GMO U.S. Treasury Fund. Income (net of fee rebates paid to the borrower and fees paid to the lending agent) from investment of cash collateral from securities lending in GMO U.S. Treasury Fund was $32,137 and $83,028 in Benchmark-Free Fund and Consolidated Implementation Fund, respectively, during the period. |
189
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2020 (Unaudited)
11. | Subsequent events |
On September 14, 2020, Form N-14 filed with the SEC by Benchmark-Free Allocation Series Fund, Global Asset Allocation Series Fund, International Developed Equity Allocation Series Fund and International Equity Allocation Series Fund became effective. The combined proxy statement/prospectus outlines the proposal for a reorganization of the series of GMO Series Trust listed above to be reorganized with and into the corresponding series of GMO Trust.
190
GMO Trust Funds
Board Review of Investment Management Agreement
August 31, 2020 (Unaudited)
GMO Alternative Allocation Fund
Approval of renewal of management agreement for GMO Alternative Allocation Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO. In deciding whether to approve the management agreement, 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 14, 2020, the Trustees discussed at length with representatives of GMO 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 GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.
The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not pay any management fees. The Trustees also noted that, with respect to all other underlying GMO funds, GMO offsets against the fees the Fund pays GMO the management fees, shareholder servicing fees and most other expenses borne by those other underlying GMO funds.
The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO 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 that fee.
191
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2020 (Unaudited)
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO 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 GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific 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 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO. In deciding whether to approve the management agreement, 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 14, 2020, the Trustees discussed at length with representatives of GMO 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 GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing and supplemental support fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.
The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
192
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2020 (Unaudited)
The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not pay any management fees. The Trustees also noted that, with respect to all other underlying GMO funds, GMO offsets against the fees the Fund pays GMO the management fees, shareholder servicing fees and most other expenses borne by those other underlying GMO funds.
The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO 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 that fee.
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO 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 GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific 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 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO. In deciding whether to approve the management agreement, 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 14, 2020, the Trustees discussed at length with representatives of GMO 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 GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. The Trustees noted that the Fund is not currently offered as a standalone investment and the investment strategies it pursues are intended to complement the investment strategies of other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.
193
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2020 (Unaudited)
The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund’s share classes indirectly bear the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.
The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO reflected these economies of scale.
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO 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 GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific 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 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO. In deciding whether to approve the management agreement, 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 14, 2020, the Trustees discussed at length with representatives of GMO 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 GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund
194
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2020 (Unaudited)
pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund’s share classes indirectly bear the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.
The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO reflected these economies of scale.
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO 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 GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific 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 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.
195
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2020 (Unaudited)
At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO 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 GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund’s share classes indirectly bear the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.
The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO reflected these economies of scale.
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO 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 GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific 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.
196
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2020 (Unaudited)
GMO Global Equity Allocation Fund
Approval of renewal of management agreement for GMO Global Equity Allocation Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO. In deciding whether to approve the management agreement, 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 14, 2020, the Trustees discussed at length with representatives of GMO 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 GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund’s share classes indirectly bear the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.
The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO reflected these economies of scale.
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its
197
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2020 (Unaudited)
reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO 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 GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific 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 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO. In deciding whether to approve the management agreement, 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 14, 2020, the Trustees discussed at length with representatives of GMO 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 GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. The Trustees noted that the Fund is not currently offered as a standalone investment and the investment strategies it pursues are intended to complement the investment strategies of other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees considered the fact that the Fund does not pay GMO any fees.
The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.
198
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2020 (Unaudited)
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO 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 GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific 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 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO. In deciding whether to approve the management agreement, 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 14, 2020, the Trustees discussed at length with representatives of GMO 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 GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund’s share classes indirectly bear the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees reviewed information comparing the management fees indirectly borne by the Fund as a result of its investing in other GMO funds to the fees shown on GMO’s fee schedule for its separately managed accounts. The Trustees noted the differences in the services provided by GMO to the Fund and to those accounts. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.
The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the
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GMO Trust Funds
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August 31, 2020 (Unaudited)
COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO reflected these economies of scale.
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO 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 GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific 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 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO. In deciding whether to approve the management agreement, 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 14, 2020, the Trustees discussed at length with representatives of GMO 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 GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.
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GMO Trust Funds
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August 31, 2020 (Unaudited)
The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund’s share classes indirectly bear the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.
The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO reflected these economies of scale.
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO 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 GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific 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 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO. In deciding whether to approve the management agreement, 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 14, 2020, the Trustees discussed at length with representatives of GMO 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 GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered
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GMO Trust Funds
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August 31, 2020 (Unaudited)
whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service and to fees received by GMO for providing sub-advisory services to a fund managed by a third party and to the fees shown on GMO’s fee schedule for its other pooled investment vehicles and separately managed accounts. The Trustees noted the differences in the services provided by GMO to the Fund and to the third-party fund and to those other vehicles and accounts, as well as differences in the business and other risks borne by GMO in managing the Fund relative to the risks borne by GMO in managing third party funds and those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.
The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO 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 that fee.
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO 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 GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific 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 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
202
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2020 (Unaudited)
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO. In deciding whether to approve the management agreement, 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 14, 2020, the Trustees discussed at length with representatives of GMO 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 GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.
The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO 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 that fee.
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO 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 GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific 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.
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GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2020 (Unaudited)
GMO Strategic Opportunities Allocation Fund
Approval of renewal of management agreement for GMO Strategic Opportunities Allocation Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).
Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO. In deciding whether to approve the management agreement, 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 14, 2020, the Trustees discussed at length with representatives of GMO 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 GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. The Trustees noted that the Fund is not currently offered as a standalone investment and the investment strategies it pursues are intended to complement the investment strategies of other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.
The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.
The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund’s share classes indirectly bear the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.
The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.
The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.
The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO reflected these economies of scale.
The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its
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GMO Trust Funds
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August 31, 2020 (Unaudited)
reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO 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 GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest were reasonable.
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific 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.
205
GMO Trust Funds
Liquidity Risk Management Program
August 31, 2020 (Unaudited)
Rule 22e-4 under the Investment Company Act of 1940, as amended, requires open-end registered investment companies (other than money market funds) to adopt and implement a written liquidity risk management program that is reasonably designed to assess and manage liquidity risk. Each Fund has adopted a Liquidity Risk Management Program (the “Program”) that is designed to assess and manage liquidity risk, defined as the risk that the Fund could not meet redemption requests without significant dilution of the remaining shareholders’ interests in the Fund. The Program includes the following elements, among others:
• | Monitoring of factors material to liquidity risk for each Fund; |
• | Classification of each Fund’s portfolio investments into one of four liquidity categories: highly liquid, moderately liquid, less liquid, and illiquid; |
• | Oversight of third parties providing services in support of the Program; |
• | Determination and review of a highly liquid investment minimum for any Fund that does not primarily hold assets that are highly liquid investments; |
• | A restriction on each Fund acquiring an illiquid investment if immediately after the acquisition the Fund would have more than 15% of its net assets invested in illiquid investments; |
• | Periodic reporting to the Board of Trustees, including a written report at least annually that addresses the operation of the Program and assesses its adequacy and effectiveness. |
The GMO Trust Board of Trustees reviewed a written report from GMO dated April 24, 2020 addressing the Program’s operation, adequacy and effectiveness.
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GMO Trust Funds
August 31, 2020 (Unaudited)
Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2020.
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 supplemental support fees to Class MF 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, 2020 through August 31, 2020.
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, 2020 | Ending Account Value August 31, 2020* | Expenses Paid During the Period* | Beginning Account Value March 1, 2020 | Ending Account Value August 31, 2020* | Expenses Paid During the Period* | Annualized Expense Ratio | ||||||||||||||||||||||
Alternative Allocation Fund |
| |||||||||||||||||||||||||||
Class VI | $1,000.00 | $999.00 | $6.65 | $1,000.00 | $1,018.55 | $6.72 | 1.32% | |||||||||||||||||||||
Class R6(a) | $1,000.00 | $1,001.60 | $1.47 | $1,000.00 | $1,016.48 | $8.79 | 1.73% | |||||||||||||||||||||
Class I | $1,000.00 | $997.40 | $8.11 | $1,000.00 | $1,017.09 | $8.19 | 1.61% | |||||||||||||||||||||
Benchmark-Free Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $988.30 | $4.51 | $1,000.00 | $1,020.67 | $4.58 | 0.90% | |||||||||||||||||||||
Class IV | $1,000.00 | $988.40 | $4.26 | $1,000.00 | $1,020.92 | $4.33 | 0.85% | |||||||||||||||||||||
Class MF | $1,000.00 | $988.40 | $4.26 | $1,000.00 | $1,020.92 | $4.33 | 0.85% | |||||||||||||||||||||
Class R6(b) | $1,000.00 | $1,053.30 | $3.12 | $1,000.00 | $1,020.62 | $4.63 | 0.91% | |||||||||||||||||||||
Class I | $1,000.00 | $987.40 | $5.01 | $1,000.00 | $1,020.16 | $5.09 | 1.00% | |||||||||||||||||||||
Benchmark-Free Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $982.20 | $1.25 | $1,000.00 | $1,023.95 | $1.28 | 0.25% | |||||||||||||||||||||
Global Asset Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,039.10 | $3.08 | $1,000.00 | $1,022.18 | $3.06 | 0.60% | |||||||||||||||||||||
Class R6 | $1,000.00 | $1,039.10 | $3.08 | $1,000.00 | $1,022.18 | $3.06 | 0.60% | |||||||||||||||||||||
Global Developed Equity Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,075.90 | $2.77 | $1,000.00 | $1,022.53 | $2.70 | 0.53% | |||||||||||||||||||||
Global Equity Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,067.90 | $2.97 | $1,000.00 | $1,022.33 | $2.91 | 0.57% | |||||||||||||||||||||
Class R6(c) | $1,000.00 | $1,031.40 | $0.75 | $1,000.00 | $1,022.33 | $2.91 | 0.57% | |||||||||||||||||||||
Class I(d) | $1,000.00 | $993.90 | $0.26 | $1,000.00 | $1,021.83 | $3.41 | 0.67% |
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Fund Expenses — (Continued)
August 31, 2020 (Unaudited)
Actual | Hypothetical |
| ||||||||||||||||||||||||||
Beginning Account Value March 1, 2020 | Ending Account Value August 31, 2020* | Expenses Paid During the Period* | Beginning Account Value March 1, 2020 | Ending Account Value August 31, 2020* | Expenses Paid During the Period* | Annualized Expense Ratio | ||||||||||||||||||||||
Implementation Fund |
| |||||||||||||||||||||||||||
Core | $1,000.00 | $948.90 | $0.54 | $1,000.00 | $1,024.65 | $0.56 | 0.11% | |||||||||||||||||||||
International Developed Equity Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,043.60 | $3.19 | $1,000.00 | $1,022.08 | $3.16 | 0.62% | |||||||||||||||||||||
International Equity Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,046.00 | $3.35 | $1,000.00 | $1,021.93 | $3.31 | 0.65% | |||||||||||||||||||||
Class R6 | $1,000.00 | $1,046.00 | $3.35 | $1,000.00 | $1,021.93 | $3.31 | 0.65% | |||||||||||||||||||||
SGM Major Markets Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,069.20 | $5.27 | $1,000.00 | $1,020.11 | $5.14 | 1.01% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,069.70 | $4.75 | $1,000.00 | $1,020.62 | $4.63 | 0.91% | |||||||||||||||||||||
Special Opportunities Fund |
| |||||||||||||||||||||||||||
Class VI | $1,000.00 | $2,667.40 | $11.37 | $1,000.00 | $1,019.01 | $6.26 | 1.23% | |||||||||||||||||||||
Strategic Opportunities Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,036.90 | $2.52 | $1,000.00 | $1,022.74 | $2.50 | 0.49% |
* | Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2020, 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 July 31, 2020 (commencement of operations) through August 31, 2020, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2020, multiplied by the average account value over the period, multiplied by 31 days in the period, divided by 365 days in the year. |
(b) | For the period May 1, 2020 (commencement of operations) through August 31, 2020, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2020, multiplied by the average account value over the period, multiplied by 122 days in the period, divided by 365 days in the year. |
(c) | For the period July 15, 2020 (commencement of operations) through August 31, 2020, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2020, multiplied by the average account value over the period, multiplied by 47 days in the period, divided by 365 days in the year. |
(d) | For the period August 17, 2020 (commencement of operations) through August 31, 2020, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2020, multiplied by the average account value over the period, multiplied by 14 days in the period, divided by 365 days in the year. |
208
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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable to this registrant.
Item 13. Exhibits.
(a)(1) Not applicable to this filing.
(a)(3) Not applicable to this registrant.
(b) |
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: October 30, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
(Registrant) | GMO Trust | |||
By (Signature and Title): | /s/ Sheppard N. Burnett | |||
Sheppard N. Burnett, Principal Executive Officer | ||||
Date: October 30, 2020 | ||||
By (Signature and Title): | /s/ Betty Maganzini | |||
Betty Maganzini, Principal Financial Officer | ||||
Date: October 30, 2020 |