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)
Tara Pari, 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: 02/28/22
Date of reporting period: 08/31/21
Item 1. | Reports to Stockholders. |
The semi-annual reports for each series of the registrant for the period ended August 31, 2021 are filed herewith.
GMO Trust
Semiannual Report
August 31, 2021
Climate Change Fund
Emerging Domestic Opportunities Fund
Emerging Markets Fund
International Equity Fund
Japan Value Creation Fund
Quality Cyclicals Fund (formerly Cyclical Focus Fund)
Quality Fund
Resources Fund
Tax-Managed International Equities Fund
U.S. Equity Fund
U.S. Small Cap Value Fund
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-equities, management and operational risk, non-U.S. investment risk, small company risk and derivatives risk.
The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.
TABLE OF CONTENTS
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(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2021 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 95.2 | % | ||
Mutual Funds | 3.6 | |||
Preferred Stocks | 1.7 | |||
Other | (0.5 | ) | ||
|
| |||
100.0 | % | |||
|
|
Country/Region Summary¤ | % of Investments | |||
United States | 50.7 | % | ||
Canada | 10.8 | |||
China | 5.4 | |||
Japan | 4.3 | |||
France | 4.1 | |||
Russia | 2.8 | |||
Mexico | 2.6 | |||
Spain | 2.5 | |||
Other Developed | 2.4 | ‡ | ||
Other Emerging | 2.4 | † | ||
Australia | 2.1 | |||
United Kingdom | 1.8 | |||
Chile | 1.7 | |||
Finland | 1.5 | |||
South Korea | 1.4 | |||
Norway | 1.3 | |||
Brazil | 1.2 | |||
Italy | 1.0 | |||
|
| |||
100.0 | % | |||
|
|
Industry Group Summary | % of Equity Investments# | |||
Clean Energy | 51.0 | % | ||
Energy Efficiency | 17.6 | |||
Agriculture | 13.1 | |||
Copper | 7.8 | |||
Electric Grid | 6.2 | |||
Water | 4.3 | |||
|
| |||
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. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
1 |
GMO Climate Change Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 95.2% | ||||||||||
Argentina — 0.9% | ||||||||||
506,515 | Adecoagro SA * | 4,735,915 | ||||||||
|
| |||||||||
Australia — 2.1% | ||||||||||
320,055 | Clean TeQ Water Ltd * (a) | 167,407 | ||||||||
593,886 | Sandfire Resources Ltd | 2,798,104 | ||||||||
640,111 | Sunrise Energy Metals Ltd * (a) | 845,545 | ||||||||
201,055 | Tassal Group Ltd (a) | 525,285 | ||||||||
3,117,208 | Western Areas Ltd (a) | 6,993,711 | ||||||||
|
| |||||||||
Total Australia | 11,330,052 | |||||||||
|
| |||||||||
Brazil — 1.3% | ||||||||||
739,678 | Sao Martinho SA | 4,597,596 | ||||||||
288,600 | SLC Agricola SA | 2,273,839 | ||||||||
|
| |||||||||
Total Brazil | 6,871,435 | |||||||||
|
| |||||||||
Canada — 10.9% | ||||||||||
264,800 | Anaergia Inc * | 4,858,812 | ||||||||
629,474 | Canadian Solar Inc * (a) | 23,271,654 | ||||||||
334,100 | First Quantum Minerals Ltd | 6,959,258 | ||||||||
2,405,900 | Greenlane Renewables Inc * (a) | 2,784,143 | ||||||||
1,254,401 | Ivanhoe Mines Ltd – Class A * | 10,121,509 | ||||||||
680,015 | Largo Resources Ltd * (a) | 9,383,792 | ||||||||
110,000 | NFI Group Inc (a) | 2,652,241 | ||||||||
|
| |||||||||
Total Canada | 60,031,409 | |||||||||
|
| |||||||||
China — 5.4% | ||||||||||
1,609,000 | Chaowei Power Holdings Ltd (a) | 498,467 | ||||||||
6,548,919 | China High Speed Transmission Equipment Group Co Ltd * (a) | 4,737,154 | ||||||||
2,508,000 | China Longyuan Power Group Corp Ltd – Class H | 5,111,675 | ||||||||
2,520,000 | China Water Affairs Group Ltd (a) | 2,513,373 | ||||||||
149,600 | Hollysys Automation Technologies Ltd | 2,939,640 | ||||||||
120,622 | Sungrow Power Supply Co Ltd – Class A | 2,933,715 | ||||||||
1,264,000 | Tianneng Power International Ltd (a) | 1,691,679 | ||||||||
2,432,000 | Wasion Group Holdings Ltd | 795,895 | ||||||||
1,998,800 | Xinjiang Goldwind Science & Technology Co Ltd – Class H (a) | 3,831,881 | ||||||||
1,177,576 | Yutong Bus Co Ltd – Class A | 2,242,532 | ||||||||
405,985 | Zhuzhou CRRC Times Electric Co Ltd – Class H * | 2,440,026 | ||||||||
|
| |||||||||
Total China | 29,736,037 | |||||||||
|
| |||||||||
Denmark — 0.5% | ||||||||||
66,393 | Vestas Wind Systems A/S | 2,679,012 | ||||||||
|
| |||||||||
Finland — 1.5% | ||||||||||
201,545 | Kemira Oyj | 3,403,493 |
Shares | Description | Value ($) | ||||||||
Finland — continued | ||||||||||
80,477 | Neste Oyj | 4,902,009 | ||||||||
|
| |||||||||
Total Finland | 8,305,502 | |||||||||
|
| |||||||||
France — 4.1% | ||||||||||
405,231 | Electricite de France SA | 5,495,692 | ||||||||
135,071 | Nexans SA | 13,539,236 | ||||||||
90,538 | Valeo SA | 2,584,186 | ||||||||
17,193 | Vilmorin & Cie SA | 1,112,776 | ||||||||
|
| |||||||||
Total France | 22,731,890 | |||||||||
|
| |||||||||
Germany — 0.4% | ||||||||||
13,452 | Siemens AG (Registered) | 2,231,617 | ||||||||
|
| |||||||||
India — 0.1% | ||||||||||
106,025 | VA Tech Wabag Ltd * | 486,773 | ||||||||
|
| |||||||||
Italy — 1.0% | ||||||||||
627,299 | Enel SPA | 5,714,969 | ||||||||
|
| |||||||||
Japan — 4.3% | ||||||||||
112,200 | Ebara Corp | 5,577,124 | ||||||||
101,900 | GS Yuasa Corp | 2,387,456 | ||||||||
86,100 | Kurita Water Industries Ltd | 4,038,205 | ||||||||
70,000 | Osaki Electric Co Ltd | 355,970 | ||||||||
235,200 | Panasonic Corp | 2,811,832 | ||||||||
510,500 | Renesas Electronics Corp * | 5,466,380 | ||||||||
38,000 | Takuma Co Ltd | 572,633 | ||||||||
42,800 | Tsukishima Kikai Co Ltd | 449,652 | ||||||||
139,100 | Yokogawa Electric Corp | 2,175,970 | ||||||||
|
| |||||||||
Total Japan | 23,835,222 | |||||||||
|
| |||||||||
Mexico — 2.6% | ||||||||||
3,006,252 | Grupo Mexico SAB de CV – Series B | 13,938,567 | ||||||||
307,515 | Grupo Rotoplas SAB de CV * (a) | 509,259 | ||||||||
|
| |||||||||
Total Mexico | 14,447,826 | |||||||||
|
| |||||||||
Netherlands — 0.8% | ||||||||||
93,792 | Arcadis NV | 4,644,130 | ||||||||
|
| |||||||||
Norway — 1.4% | ||||||||||
577,245 | Austevoll Seafood ASA | 7,413,586 | ||||||||
|
| |||||||||
Pakistan — 0.1% | ||||||||||
1,173,337 | Fauji Fertilizer Co Ltd | 747,208 | ||||||||
|
| |||||||||
Philippines — 0.1% | ||||||||||
4,653,200 | Nickel Asia Corp | 527,980 | ||||||||
|
| |||||||||
Russia — 2.9% | ||||||||||
207,240 | MMC Norilsk Nickel PJSC ADR | 6,819,182 | ||||||||
311,602 | PhosAgro PJSC GDR (Registered) | 6,132,470 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Russia — continued | ||||||||||
169,638 | Ros Agro Plc GDR (Registered) | 2,721,083 | ||||||||
|
| |||||||||
Total Russia | 15,672,735 | |||||||||
|
| |||||||||
South Korea — 1.4% | ||||||||||
11,765 | LG Chem Ltd | 7,666,145 | ||||||||
|
| |||||||||
Spain — 2.5% | ||||||||||
24,999 | Acciona SA (a) | 4,064,348 | ||||||||
183,329 | Endesa SA | 4,407,627 | ||||||||
49,127 | Fomento de Construcciones y Contratas SA | 627,910 | ||||||||
215,918 | Red Electrica Corp SA | 4,306,168 | ||||||||
81,853 | Talgo SA * (a) | 446,152 | ||||||||
|
| |||||||||
Total Spain | 13,852,205 | |||||||||
|
| |||||||||
Switzerland — 0.6% | ||||||||||
1,715 | Gurit Holding AG | 3,543,735 | ||||||||
|
| |||||||||
Taiwan — 0.4% | ||||||||||
216,000 | Delta Electronics Inc | 2,104,045 | ||||||||
|
| |||||||||
Thailand — 0.2% | ||||||||||
1,992,200 | SPCG Pcl | 1,118,438 | ||||||||
|
| |||||||||
Ukraine — 0.6% | ||||||||||
219,994 | Kernel Holding SA | 3,287,859 | ||||||||
|
| |||||||||
United Kingdom — 1.8% | ||||||||||
936,057 | Drax Group Plc | 5,337,899 | ||||||||
91,699 | Go-Ahead Group Plc * | 1,188,349 | ||||||||
349,530 | Renewi Plc * | 2,631,136 | ||||||||
1,011,768 | Stagecoach Group Plc * | 998,805 | ||||||||
|
| |||||||||
Total United Kingdom | 10,156,189 | |||||||||
|
| |||||||||
United States — 47.3% | ||||||||||
432,020 | Aemetis, Inc. * (a) | 4,804,062 | ||||||||
95,900 | AGCO Corp. | 13,197,758 | ||||||||
305,092 | Ameresco, Inc. – Class A * | 21,097,112 | ||||||||
248,686 | BorgWarner, Inc. | 10,613,919 | ||||||||
2,747,789 | Clean Energy Fuels Corp. * | 21,789,967 | ||||||||
285,996 | Darling Ingredients, Inc. * | 21,306,702 | ||||||||
18,200 | Deere & Co. | 6,880,146 | ||||||||
20,600 | Emerson Electric Co. | 2,173,300 | ||||||||
36,100 | EnerSys | 3,053,699 | ||||||||
96,313 | Exelon Corp. | 4,721,263 | ||||||||
208,490 | Freeport-McMoRan, Inc. | 7,586,951 | ||||||||
2,341,256 | GrafTech International Ltd. | 25,917,704 | ||||||||
152,000 | Green Plains, Inc. * | 5,335,200 | ||||||||
45,700 | Johnson Controls International Plc | 3,418,360 | ||||||||
266,880 | Livent Corp. * (a) | 6,637,306 | ||||||||
582,461 | Montauk Renewables, Inc. * (a) | 4,811,128 | ||||||||
503,347 | Mosaic Co. (The) | 16,197,707 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
30,200 | MYR Group, Inc. * | 3,141,102 | ||||||||
63,479 | ON Semiconductor Corp. * | 2,815,928 | ||||||||
75,833 | Owens Corning | 7,245,843 | ||||||||
50,300 | Quanta Services, Inc. | 5,135,630 | ||||||||
314,460 | Renewable Energy Group, Inc. * | 15,226,153 | ||||||||
27,300 | Rice Acquisition Corp. – Class A * | 436,800 | ||||||||
55,300 | Sensata Technologies Holding Plc * | 3,272,654 | ||||||||
47,709 | SolarEdge Technologies, Inc. * | 13,825,114 | ||||||||
479,275 | Sunrun, Inc. * (a) | 21,207,919 | ||||||||
26,729 | TE Connectivity Ltd. | 4,015,230 | ||||||||
18,600 | Valmont Industries, Inc. | 4,628,796 | ||||||||
|
| |||||||||
Total United States | 260,493,453 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $477,117,334) | 524,365,367 | |||||||||
|
| |||||||||
PREFERRED STOCKS (b) — 1.7% | ||||||||||
Chile — 1.7% | ||||||||||
179,838 | Sociedad Quimica y Minera de Chile SA Sponsored ADR | 9,378,552 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $8,226,220) | 9,378,552 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 3.7% | ||||||||||
United States — 3.7% | ||||||||||
Affiliated Issuers — 3.7% | ||||||||||
3,963,632 | GMO U.S. Treasury Fund (c) | 19,976,703 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $19,963,316) | 19,976,703 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.6% (Cost $505,306,870) | 553,720,622 | |||||||||
Other Assets and Liabilities (net) — (0.6%) | (3,038,456 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $550,682,166 | |||||||||
|
|
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) | All or a portion of this security is purchased with collateral from securities loaned (Note 2). |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 51.
See accompanying notes to the financial statements. | 3 |
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2021 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 85.6 | % | ||
Investment Funds | 9.5 | |||
Mutual Funds | 2.7 | |||
Short-Term Investments | 1.4 | |||
Preferred Stocks | 0.4 | |||
Futures Contracts | 0.0 | ^ | ||
Other | 0.4 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | % of Investments | |||
China | 27.1 | % | ||
India | 15.9 | |||
Taiwan | 12.1 | |||
United States | 11.4 | |||
South Korea | 7.1 | |||
Russia | 6.6 | |||
Mexico | 4.4 | |||
Brazil | 4.2 | |||
Hong Kong | 2.5 | |||
South Africa | 2.2 | |||
Saudi Arabia | 1.2 | |||
Japan | 0.9 | |||
Philippines | 0.9 | |||
Vietnam | 0.6 | |||
Qatar | 0.6 | |||
Thailand | 0.5 | |||
Hungary | 0.4 | |||
Switzerland | 0.4 | |||
Singapore | 0.4 | |||
Greece | 0.3 | |||
Netherlands | 0.3 | |||
Poland | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
Industry Group Summary | % of Equity Investments# | |||
Banks | 18.6 | % | ||
Media & Entertainment | 11.3 | |||
Semiconductors & Semiconductor Equipment | 9.1 | |||
Technology Hardware & Equipment | 8.6 | |||
Retailing | 7.4 | |||
Software & Services | 6.8 | |||
Food, Beverage & Tobacco | 5.8 | |||
Diversified Financials | 4.8 | |||
Consumer Durables & Apparel | 4.1 | |||
Materials | 3.8 | |||
Food & Staples Retailing | 2.7 | |||
Capital Goods | 2.5 | |||
Automobiles & Components | 2.1 | |||
Insurance | 2.0 | |||
Telecommunication Services | 1.5 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 1.4 | |||
Health Care Equipment & Services | 1.3 | |||
Transportation | 1.1 | |||
Utilities | 1.1 | |||
Household & Personal Products | 1.1 | |||
Consumer Services | 1.0 | |||
Real Estate | 0.7 | |||
Commercial & Professional Services | 0.7 | |||
Energy | 0.5 | |||
|
| |||
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. |
# | 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%. |
4 |
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 85.6% | ||||||||||
Brazil — 3.7% | ||||||||||
1,091,400 | Atacadao SA | 3,830,918 | ||||||||
311,700 | Blau Farmaceutica SA | 3,089,391 | ||||||||
522,600 | Intelbras SA Industria de Telecomunicacao Eletronica Brasileira | 2,920,852 | ||||||||
3,345,600 | JHSF Participacoes SA | 4,276,788 | ||||||||
2,300 | MercadoLibre Inc * | 4,295,135 | ||||||||
1,467,600 | Movida Participacoes SA | 5,250,754 | ||||||||
4,640,000 | Multilaser Industrial SA * | 8,345,324 | ||||||||
764,200 | Vamos Locacao de Caminhoes Maquinas e Equipamentos SA * | 2,247,908 | ||||||||
|
| |||||||||
Total Brazil | 34,257,070 | |||||||||
|
| |||||||||
China — 24.7% | ||||||||||
11,258,000 | Agricultural Bank of China Ltd – Class H | 3,774,108 | ||||||||
179,400 | Alibaba Group Holding Ltd * | 3,756,563 | ||||||||
26,261 | Alibaba Group Holding Ltd Sponsored ADR * | 4,385,324 | ||||||||
472,000 | Alibaba Health Information Technology Ltd * | 779,074 | ||||||||
18,400 | Baidu Inc Sponsored ADR * | 2,889,168 | ||||||||
6,500 | Bilibili Inc Sponsored ADR * | 521,495 | ||||||||
249,500 | BYD Co Ltd – Class H | 8,387,965 | ||||||||
21,540,000 | China Construction Bank Corp – Class H | 15,520,812 | ||||||||
4,506,800 | China International Capital Corp Ltd – Class H | 10,479,533 | ||||||||
1,138,000 | China Mengniu Dairy Co Ltd * | 6,844,797 | ||||||||
2,075,002 | China Merchants Bank Co Ltd – Class H | 17,113,797 | ||||||||
5,532,000 | China Modern Dairy Holdings Ltd | 1,108,196 | ||||||||
209,000 | Country Garden Services Holdings Co Ltd | 1,594,818 | ||||||||
514,000 | Geely Automobile Holdings Ltd | 1,862,851 | ||||||||
560,000 | GoerTek Inc – Class A | 4,032,648 | ||||||||
407,000 | Haier Smart Home Co Ltd – Class A | 1,702,449 | ||||||||
187,000 | Hua Hong Semiconductor Ltd * | 1,100,545 | ||||||||
8,768,000 | Industrial & Commercial Bank of China Ltd – Class H | 4,882,675 | ||||||||
25,500 | JD.com Inc ADR * | 2,003,280 | ||||||||
502,750 | JD.com Inc – Class A * | 19,758,856 | ||||||||
167,897 | Jiangsu Hengli Hydraulic Co Ltd – Class A | 2,469,996 | ||||||||
6,886 | Kweichow Moutai Co Ltd – Class A | 1,661,386 | ||||||||
354,000 | Li Ning Co Ltd | 4,747,059 | ||||||||
590,000 | Man Wah Holdings Ltd | 1,102,440 | ||||||||
269,100 | Meituan – Class B * | 8,604,354 | ||||||||
383,900 | Midea Group Co Ltd – Class A | 3,923,173 | ||||||||
26,275 | NetEase Inc ADR | 2,559,711 | ||||||||
31,100 | New Oriental Education & Technology Group Inc * | 67,956 | ||||||||
69,900 | New Oriental Education & Technology Group Inc Sponsored ADR * | 157,974 | ||||||||
70,000 | NIO Inc ADR* | 2,751,700 | ||||||||
30,100 | Pinduoduo Inc ADR* | 3,010,602 | ||||||||
1,796,802 | Ping An Bank Co Ltd – Class A | 4,944,738 | ||||||||
311,000 | Ping An Insurance Group Co of China Ltd – Class H | 2,408,097 |
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
3,219,000 | Postal Savings Bank of China Co Ltd – Class H | 2,319,044 | ||||||||
148,900 | Proya Cosmetics Co Ltd – Class A | 3,622,866 | ||||||||
152,300 | SF Holding Co Ltd – Class A | 1,358,805 | ||||||||
73,009 | Shanghai Baosight Software Co Ltd – Class A | 793,825 | ||||||||
49,383 | Shenzhen Mindray Bio-Medical Electronics Co Ltd – Class A | 2,511,905 | ||||||||
288,600 | Shenzhou International Group Holdings Ltd | 6,255,728 | ||||||||
82,800 | Sunny Optical Technology Group Co Ltd | 2,505,658 | ||||||||
285,008 | Suofeiya Home Collection Co Ltd – Class A | 817,379 | ||||||||
619,884 | Tencent Holdings Ltd | 38,285,759 | ||||||||
612,000 | Tsingtao Brewery Co Ltd – Class H | 5,007,649 | ||||||||
10,500 | Weibo Corp Sponsored ADR * | 530,460 | ||||||||
10,400 | WuXi AppTec Co Ltd – Class H | 207,408 | ||||||||
209,000 | Wuxi Biologics Cayman Inc * | 3,235,728 | ||||||||
1,297,800 | Xiaomi Corp – Class B * | 4,183,344 | ||||||||
130,600 | Yum China Holdings Inc | 8,039,736 | ||||||||
|
| |||||||||
Total China | 230,583,434 | |||||||||
|
| |||||||||
Greece — 0.3% | ||||||||||
3,120,609 | Eurobank Ergasias Services and Holdings SA * | 2,973,867 | ||||||||
|
| |||||||||
Hong Kong — 0.7% | ||||||||||
515,200 | AIA Group Ltd | 6,151,861 | ||||||||
|
| |||||||||
Hungary — 0.4% | ||||||||||
66,472 | OTP Bank Nyrt * | 4,014,361 | ||||||||
|
| |||||||||
India — 17.6% | ||||||||||
660,867 | Action Construction Equipment Ltd | 2,148,826 | ||||||||
424,053 | Ambuja Cements Ltd | 2,446,150 | ||||||||
64,219 | Apollo Hospitals Enterprise Ltd | 4,375,598 | ||||||||
56,181 | Asian Paints Ltd | 2,460,053 | ||||||||
196,753 | Axis Bank Ltd * | 2,113,446 | ||||||||
19,728 | Bajaj Finance Ltd | 2,027,839 | ||||||||
57,861 | Britannia Industries Ltd | 3,152,068 | ||||||||
174,339 | Central Depository Services India Ltd | 2,837,263 | ||||||||
524,883 | Crompton Greaves Consumer Electricals Ltd | 3,402,642 | ||||||||
603,044 | Fortis Healthcare Ltd * | 2,388,493 | ||||||||
3,904,869 | Gayatri Projects Ltd * | 2,649,074 | ||||||||
332,702 | Godrej Consumer Products Ltd * | 5,006,893 | ||||||||
878,448 | Gujarat Gas Ltd | 8,647,614 | ||||||||
939,902 | HCL Technologies Ltd | 15,157,131 | ||||||||
194,058 | HDFC Bank Ltd | 4,184,032 | ||||||||
1,001,356 | ICICI Bank Ltd | 9,792,527 | ||||||||
783,611 | Infosys Ltd | 18,359,216 | ||||||||
178,758 | Jubilant Ingrevia Ltd | 1,818,114 | ||||||||
101,297 | L&T Technology Services Ltd | 5,432,788 | ||||||||
96,431 | Larsen & Toubro Ltd | 2,204,299 | ||||||||
1,094,319 | Laxmi Organic Industries Ltd (a) (b) | 6,597,624 | ||||||||
311,684 | Max Financial Services Ltd * | 4,645,247 | ||||||||
327,965 | Muthoot Finance Ltd | 6,806,005 |
See accompanying notes to the financial statements. | 5 |
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
191,402 | Natco Pharma Ltd | 2,464,942 | ||||||||
46,769 | Navin Fluorine International Ltd | 2,577,348 | ||||||||
137,656 | Reliance Industries Ltd | 4,245,244 | ||||||||
722,325 | Rupa & Co Ltd | 4,272,969 | ||||||||
227,720 | SBI Cards & Payment Services Ltd * | 3,566,351 | ||||||||
15,999 | SRF Ltd | 2,228,857 | ||||||||
553,055 | State Bank of India | 3,212,706 | ||||||||
207,234 | Sun Pharmaceutical Industries Ltd | 2,252,997 | ||||||||
69,142 | Tata Consultancy Services Ltd | 3,590,059 | ||||||||
283,778 | Tata Consumer Products Ltd | 3,364,837 | ||||||||
574,395 | UPL Ltd | 5,804,071 | ||||||||
839,959 | Wipro Ltd | 7,363,463 | ||||||||
|
| |||||||||
Total India | 163,596,786 | |||||||||
|
| |||||||||
Japan — 0.9% | ||||||||||
32,800 | Daikin Industries Ltd | 8,185,127 | ||||||||
|
| |||||||||
Mexico — 4.3% | ||||||||||
8,701,600 | America Movil SAB de CV – Series L | 8,530,895 | ||||||||
5,071,000 | Cemex SAB de CV * | 4,186,277 | ||||||||
643,800 | Fomento Economico Mexicano SAB de CV | 5,593,982 | ||||||||
1,955,500 | Grupo Financiero Banorte SAB de CV – Class O | 12,907,819 | ||||||||
2,597,024 | Wal-Mart de Mexico SAB de CV | 9,215,789 | ||||||||
|
| |||||||||
Total Mexico | 40,434,762 | |||||||||
|
| |||||||||
Netherlands — 0.3% | ||||||||||
2,882 | ASML Holding NV | 2,403,551 | ||||||||
|
| |||||||||
Philippines — 0.8% | ||||||||||
60,245 | Globe Telecom Inc | 3,297,904 | ||||||||
229,420 | GT Capital Holdings Inc | 2,486,863 | ||||||||
2,467,700 | Puregold Price Club Inc | 2,068,492 | ||||||||
|
| |||||||||
Total Philippines | 7,853,259 | |||||||||
|
| |||||||||
Poland — 0.0% | ||||||||||
11,137 | Allegro.eu SA * | 206,654 | ||||||||
|
| |||||||||
Qatar — 0.5% | ||||||||||
959,950 | Qatar National Bank QPSC | 5,052,368 | ||||||||
|
| |||||||||
Russia — 3.2% | ||||||||||
250,779 | Fix Price Group Ltd GDR * (c) | 2,341,022 | ||||||||
292,883 | Sberbank of Russia PJSC Sponsored ADR | 5,230,568 | ||||||||
146,049 | TCS Group Holding Plc GDR (Registered) | 12,917,096 | ||||||||
124,200 | Yandex NV – Class A * | 9,550,980 | ||||||||
|
| |||||||||
Total Russia | 30,039,666 | |||||||||
|
| |||||||||
Singapore — 0.4% | ||||||||||
10,600 | Sea Ltd ADR * | 3,586,192 | ||||||||
|
|
Shares | Description | Value ($) | ||||||||
South Africa — 1.4% | ||||||||||
36,880 | Capitec Bank Holdings Ltd | 4,826,609 | ||||||||
16,809 | Naspers Ltd – N Shares | 2,900,209 | ||||||||
291,111 | Nedbank Group Ltd * | 3,709,765 | ||||||||
160,049 | Shoprite Holdings Ltd | 2,022,769 | ||||||||
|
| |||||||||
Total South Africa | 13,459,352 | |||||||||
|
| |||||||||
South Korea — 6.9% | ||||||||||
146,569 | Cheil Worldwide Inc | 2,915,378 | ||||||||
14,417 | E-MART Inc | 2,221,298 | ||||||||
16,082 | Hyundai Mobis Co Ltd | 3,838,820 | ||||||||
24,499 | Kakao Corp | 3,268,923 | ||||||||
173,803 | KB Financial Group Inc | 7,906,304 | ||||||||
3,330 | LG Chem Ltd | 2,169,848 | ||||||||
23,194 | LG Electronics Inc | 2,832,721 | ||||||||
9,187 | NAVER Corp | 3,478,537 | ||||||||
440,430 | Samsung Electronics Co Ltd | 29,076,409 | ||||||||
3,169 | Samsung SDI Co Ltd | 2,159,948 | ||||||||
43,761 | SK Hynix Inc | 4,006,776 | ||||||||
2,358 | SK Telecom Co Ltd | 606,264 | ||||||||
|
| |||||||||
Total South Korea | 64,481,226 | |||||||||
|
| |||||||||
Switzerland — 0.4% | ||||||||||
31,359 | Nestle SA (Registered) | 3,960,288 | ||||||||
|
| |||||||||
Taiwan — 11.9% | ||||||||||
2,464,000 | AU Optronics Corp | 1,553,535 | ||||||||
665,450 | Chailease Holding Co Ltd | 6,383,803 | ||||||||
6,409,000 | CTBC Financial Holding Co Ltd | 5,312,003 | ||||||||
535,000 | Delta Electronics Inc | 5,211,407 | ||||||||
981,000 | E Ink Holdings Inc | 2,756,035 | ||||||||
2,981,724 | E.Sun Financial Holding Co Ltd | 2,858,264 | ||||||||
443,000 | Elan Microelectronics Corp | 2,509,708 | ||||||||
973,000 | Fubon Financial Holding Co Ltd | 2,980,334 | ||||||||
301,000 | Giant Manufacturing Co Ltd | 3,637,890 | ||||||||
184,000 | MediaTek Inc | 5,966,609 | ||||||||
2,412,000 | Mega Financial Holding Co Ltd | 2,852,771 | ||||||||
109,000 | Quanta Computer Inc | 308,259 | ||||||||
16,000 | Silergy Corp | 2,288,296 | ||||||||
399,000 | Sinbon Electronics Co Ltd | 3,104,347 | ||||||||
2,488,800 | Taiwan Semiconductor Manufacturing Co Ltd | 54,592,378 | ||||||||
109,000 | Yageo Corp | 1,876,594 | ||||||||
7,027,000 | Yuanta Financial Holding Co Ltd | 6,330,087 | ||||||||
|
| |||||||||
Total Taiwan | 110,522,320 | |||||||||
|
| |||||||||
Thailand — 0.5% | ||||||||||
1,339,900 | CP ALL Pcl (Foreign Registered) | 2,701,275 | ||||||||
425,200 | Kasikornbank Pcl (Foreign Registered) | 1,618,743 | ||||||||
|
| |||||||||
Total Thailand | 4,320,018 | |||||||||
|
|
6 | 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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — 6.1% | ||||||||||
60,000 | Apple, Inc. | 9,109,800 | ||||||||
60,300 | Facebook, Inc. – Class A * | 22,876,614 | ||||||||
99,500 | PepsiCo, Inc. | 15,560,805 | ||||||||
38,800 | Visa, Inc. – Class A | 8,889,080 | ||||||||
|
| |||||||||
Total United States | 56,436,299 | |||||||||
|
| |||||||||
Vietnam — 0.6% | ||||||||||
1,200,000 | Bank for Foreign Trade of Vietnam JSC | 5,232,948 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $744,025,770) | 797,751,409 | |||||||||
|
| |||||||||
PREFERRED STOCKS (d) — 0.4% | ||||||||||
Brazil — 0.4% | ||||||||||
668,900 | Itau Unibanco Holding SA | 4,002,430 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $3,601,840) | 4,002,430 | |||||||||
|
| |||||||||
INVESTMENT FUNDS — 9.5% | ||||||||||
China — 1.9% | ||||||||||
241,400 | iShares MSCI China ETF | 17,088,706 | ||||||||
|
| |||||||||
Russia — 3.3% | ||||||||||
1,044,700 | VanEck Vectors Russia ETF | 30,588,816 | ||||||||
|
| |||||||||
Saudi Arabia — 1.2% | ||||||||||
273,500 | iShares MSCI Saudi Arabia ETF | 11,276,405 | ||||||||
|
|
Shares | Description | Value ($) | ||||||||
South Africa — 0.7% | ||||||||||
132,500 | iShares MSCI South Africa ETF | 6,548,150 | ||||||||
|
| |||||||||
United States — 2.4% | ||||||||||
353,030 | iShares Core MSCI Emerging Markets ETF | 22,625,693 | ||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $83,091,887) | 88,127,770 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 2.7% | ||||||||||
United States — 2.7% | ||||||||||
Affiliated Issuers — 2.7% | ||||||||||
4,992,735 | GMO U.S. Treasury Fund | 25,163,385 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $25,160,104) | 25,163,385 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 1.4% | ||||||||||
Money Market Funds — 1.4% | ||||||||||
12,718,217 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (e) | 12,718,217 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $12,718,217) | 12,718,217 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.6% (Cost $868,597,818) | 927,763,211 | |||||||||
Other Assets and Liabilities (net) — 0.4% | 3,594,337 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $931,357,548 | |||||||||
|
|
Additional information on each restricted security is as follows:
Issuer Description | Acquisition Date | Acquisition Cost | Value as a Percentage of Fund’s Net Assets | Value as of August 31, 2021 | ||||||||
Laxmi Organic Industries Ltd | 03/02/21 | $ | 1,924,110 | 0.71% | $ | 6,597,624 | ||||||
|
|
A summary of outstanding financial instruments at August 31, 2021 is as follows:
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Buys | ||||||||||||
289 | HSCEI Futures | September 2021 | $ | 16,990,820 | $ | 259,435 | ||||||
|
|
|
| |||||||||
Sales | ||||||||||||
538 | SGX Nifty 50 | September 2021 | $ | 18,377,779 | $ | (504,873 | ) | |||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
See accompanying notes to the financial statements. | 7 |
GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2021 (Unaudited)
As of August 31, 2021, 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 inputs (Note 2). |
(b) | The security is restricted as to resale. |
(c) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2). |
(d) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
(e) | The rate disclosed is the 7 day net yield as of August 31, 2021. |
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.
8 | See accompanying notes to the financial statements. |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2021 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 92.5 | % | ||
Preferred Stocks | 3.2 | |||
Debt Obligations | 2.2 | |||
Investment Funds | 1.1 | |||
Short-Term Investments | 0.6 | |||
Swap Contracts | 0.1 | |||
Futures Contracts | (0.6 | ) | ||
Other | 0.9 | |||
|
| |||
100.0 | % | |||
|
|
Country/Region Summary¤ | % of Investments | |||
China | 26.9 | % | ||
Taiwan | 19.9 | |||
Russia | 16.1 | |||
United States | 14.4 | * | ||
South Korea | 6.5 | |||
Mexico | 4.0 | |||
India | 3.1 | |||
Indonesia | 2.2 | |||
Kuwait | 1.7 | |||
Turkey | 1.1 | |||
Brazil | 0.7 | |||
Qatar | 0.6 | |||
United Kingdom | 0.5 | * | ||
Pakistan | 0.4 | |||
Philippines | 0.3 | |||
Thailand | 0.3 | |||
South Africa | 0.3 | |||
Czech Republic | 0.2 | |||
Vietnam | 0.2 | |||
Peru | 0.2 | |||
Argentina | 0.1 | |||
Poland | 0.1 | |||
United Arab Emirates | 0.1 | |||
Colombia | 0.1 | |||
Egypt | 0.0 | ^ | ||
Hong Kong | 0.0 | ^ | ||
Sri Lanka | 0.0 | ^ | ||
Chile | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
Industry Group Summary | % of Equity Investments# | |||
Banks | 19.5 | % | ||
Materials | 15.2 | |||
Technology Hardware & Equipment | 15.1 | |||
Semiconductors & Semiconductor Equipment | 8.8 | |||
Insurance | 4.4 | |||
Energy | 4.3 | |||
Media & Entertainment | 4.3 | |||
Capital Goods | 3.8 | |||
Real Estate | 3.7 | |||
Food, Beverage & Tobacco | 3.6 | |||
Consumer Durables & Apparel | 2.6 | |||
Software & Services | 2.5 | |||
Retailing | 2.4 | |||
Diversified Financials | 2.2 | |||
Utilities | 2.0 | |||
Automobiles & Components | 1.6 | |||
Food & Staples Retailing | 1.2 | |||
Household & Personal Products | 1.1 | |||
Transportation | 0.8 | |||
Telecommunication Services | 0.4 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 0.3 | |||
Consumer Services | 0.2 | |||
|
| |||
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. |
* | 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%. |
9 |
GMO Emerging Markets Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 92.5% |
| |||||||||
Argentina — 0.1% | ||||||||||
213,900 | Banco BBVA Argentina SA ADR * | 930,465 | ||||||||
301,100 | Grupo Financiero Galicia SA ADR | 3,245,858 | ||||||||
|
| |||||||||
Total Argentina | 4,176,323 | |||||||||
|
| |||||||||
Brazil — 0.8% | ||||||||||
890,100 | Blau Farmaceutica SA | 8,822,160 | ||||||||
5,175,200 | Vamos Locacao de Caminhoes Maquinas e Equipamentos SA * | 15,222,943 | ||||||||
|
| |||||||||
Total Brazil | 24,045,103 | |||||||||
|
| |||||||||
Chile — 0.0% | ||||||||||
40,197 | Inversiones La Construccion SA | 190,377 | ||||||||
|
| |||||||||
China — 29.2% | ||||||||||
4,633,000 | 361 Degrees International Ltd * | 2,211,435 | ||||||||
778,000 | Agile Group Holdings Ltd | 892,201 | ||||||||
15,023,800 | Agricultural Bank of China Ltd – Class A | 6,879,818 | ||||||||
102,007,590 | Agricultural Bank of China Ltd – Class H | 34,196,810 | ||||||||
198,926 | Alibaba Group Holding Ltd Sponsored ADR * | 33,218,653 | ||||||||
744,518 | Anhui Conch Cement Co Ltd – Class A | 4,603,460 | ||||||||
147,000 | ANTA Sports Products Ltd | 3,019,507 | ||||||||
71,600 | Autohome Inc ADR | 3,169,016 | ||||||||
34,800 | Baidu Inc Sponsored ADR * | 5,464,296 | ||||||||
24,756,000 | Bank of China Ltd – Class A | 11,605,333 | ||||||||
19,686,000 | Bank of China Ltd – Class H | 6,898,634 | ||||||||
595,300 | Budweiser Brewing Co APAC Ltd | 1,487,491 | ||||||||
3,540,000 | BYD Electronic International Co Ltd (a) | 16,193,364 | ||||||||
12,643,878 | China Communications Services Corp Ltd – Class H | 6,718,957 | ||||||||
5,257,000 | China Construction Bank Corp – Class A | 4,755,607 | ||||||||
104,209,148 | China Construction Bank Corp – Class H | 75,088,697 | ||||||||
5,515,000 | China Dongxiang Group Co Ltd | 652,087 | ||||||||
22,463,000 | China Feihe Ltd | 40,591,212 | ||||||||
716,600 | China Gas Holdings Ltd | 2,074,279 | ||||||||
860,800 | China International Marine Containers Group Co Ltd | 2,440,835 | ||||||||
1,564,000 | China Lesso Group Holdings Ltd | 3,347,499 | ||||||||
358,000 | China Longyuan Power Group Corp Ltd – Class H | 729,657 | ||||||||
1,311,805 | China Merchants Bank Co Ltd – Class A | 9,937,457 | ||||||||
2,562,000 | China Oriental Group Co Ltd | 946,720 | ||||||||
2,159,000 | China Overseas Land & Investment Ltd | 4,973,660 | ||||||||
1,187,911 | China Pacific Insurance Group Co Ltd – Class A | 4,836,196 | ||||||||
1,250,600 | China Pacific Insurance Group Co Ltd – Class H | 3,524,653 | ||||||||
3,783,541 | China Railway Group Ltd – Class A | 3,294,327 | ||||||||
3,314,240 | China Railway Signal & Communication Corp Ltd – Class A | 2,681,861 |
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
13,448,000 | China Reinsurance Group Corp – Class H | 1,399,282 | ||||||||
682,000 | China Resources Gas Group Ltd | 4,134,205 | ||||||||
5,134,000 | China Resources Land Ltd | 19,069,314 | ||||||||
98,600 | China Shenhua Energy Co Ltd – Class A | 305,015 | ||||||||
497,500 | China Shenhua Energy Co Ltd – Class H | 1,100,126 | ||||||||
326,751 | China Tourism Group Duty Free Corp Ltd – Class A | 11,554,462 | ||||||||
8,507,381 | China Vanke Co Ltd – Class A | 26,051,763 | ||||||||
1,040,176 | Chinese Universe Publishing and Media Group Co Ltd – Class A | 1,668,304 | ||||||||
3,777,714 | Country Garden Holdings Co Ltd | 4,175,506 | ||||||||
5,396,519 | CSG Holding Co Ltd – Class A | 9,797,647 | ||||||||
888,500 | ENN Energy Holdings Ltd | 17,581,318 | ||||||||
19,187,182 | Fangda Special Steel Technology Co Ltd – Class A | 24,094,748 | ||||||||
1,919,000 | Greenland Hong Kong Holdings Ltd | 532,541 | ||||||||
6,382,000 | Guangdong Investment Ltd | 8,863,184 | ||||||||
1,076,000 | Guangdong Tapai Group Co Ltd – Class A | 1,717,240 | ||||||||
338,922 | Hangzhou Robam Appliances Co Ltd – Class A | 1,871,978 | ||||||||
293,000 | Hebei Construction Group Corp Ltd – Class H | 89,564 | ||||||||
474,000 | Hengan International Group Co Ltd | 2,744,975 | ||||||||
8,047,038 | �� | Hisense Home Appliances Group Co Ltd – Class A | 15,876,829 | |||||||
313,000 | Hisense Home Appliances Group Co Ltd – Class H | 367,454 | ||||||||
237,300 | Hollysys Automation Technologies Ltd | 4,662,945 | ||||||||
10,248,000 | Hua Han Health Industry Holdings Ltd * (b) | — | ||||||||
478,400 | Huayu Automotive Systems Co Ltd – Class A | 1,716,165 | ||||||||
72,779,847 | Industrial & Commercial Bank of China Ltd – Class H | 40,529,235 | ||||||||
5,323,937 | Inner Mongolia Eerduosi Resources Co Ltd – Class A | 29,908,975 | ||||||||
86,000 | Kingboard Laminates Holdings Ltd | 169,116 | ||||||||
47,113 | Kweichow Moutai Co Ltd – Class A | 11,366,961 | ||||||||
2,252,000 | KWG Group Holdings Ltd | 2,370,892 | ||||||||
343,608 | Lao Feng Xiang Co Ltd – Class A | 2,471,674 | ||||||||
448,000 | Lenovo Group Ltd | 494,158 | ||||||||
2,533,000 | Logan Group Co Ltd | 3,019,239 | ||||||||
1,761,000 | Longfor Group Holdings Ltd | 7,620,403 | ||||||||
3,075,000 | Lonking Holdings Ltd | 963,998 | ||||||||
273,800 | Lufax Holding Ltd ADR * | 2,373,846 | ||||||||
243,700 | Midea Group Co Ltd – Class A | 2,490,433 | ||||||||
415,800 | NetEase Inc | 7,959,987 | ||||||||
124,900 | NetEase Inc ADR | 12,167,758 | ||||||||
1,032,000 | PAX Global Technology Ltd | 1,275,903 | ||||||||
29,079,000 | PICC Property & Casualty Co Ltd – Class H | 26,290,677 | ||||||||
816,883 | Ping An Insurance Group Co of China Ltd – Class A | 6,312,171 | ||||||||
20,450,410 | Postal Savings Bank of China Co Ltd – Class A | 16,245,888 | ||||||||
5,704,400 | Qingling Motors Co Ltd – Class H | 1,470,789 |
10 | See accompanying notes to the financial statements. |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
611,217 | Shanghai Mechanical and Electrical Industry Co Ltd – Class A | 1,475,822 | ||||||||
3,016,789 | Shenzhen Investment Ltd | 895,450 | ||||||||
2,210,981 | Shenzhen YUTO Packaging Technology Co Ltd – Class A | 9,060,546 | ||||||||
316,100 | Shenzhou International Group Holdings Ltd | 6,851,822 | ||||||||
2,902,000 | Shimao Group Holdings Ltd | 5,996,456 | ||||||||
440,000 | Shougang Fushan Resources Group Ltd | 141,234 | ||||||||
3,273,000 | Sinopec Engineering Group Co Ltd – Class H | 1,734,247 | ||||||||
1,787,000 | Sinotruk Hong Kong Ltd | 3,520,862 | ||||||||
592,500 | Sun Art Retail Group Ltd | 359,457 | ||||||||
137,000 | Sunny Optical Technology Group Co Ltd | 4,145,835 | ||||||||
3,404,551 | Suofeiya Home Collection Co Ltd – Class A | 9,763,964 | ||||||||
1,197,065 | Tencent Holdings Ltd | 73,934,063 | ||||||||
129,000 | Tencent Holdings Ltd ADR | 7,954,140 | ||||||||
334,351 | Tsingtao Brewery Co Ltd – Class A | 4,464,806 | ||||||||
212,000 | Tsingtao Brewery Co Ltd – Class H | 1,734,676 | ||||||||
11,504,340 | Weifu High-Technology Group Co Ltd – Class A | 41,231,290 | ||||||||
1,638,000 | Xinyi Glass Holdings Ltd | 6,883,260 | ||||||||
9,909,100 | Yangzijiang Shipbuilding Holdings Ltd | 12,066,593 | ||||||||
40,800 | Yum China Holdings Inc | 2,511,648 | ||||||||
2,620,722 | Yuzhou Group Holdings Co Ltd | 505,107 | ||||||||
76,407 | Zhejiang Supor Co Ltd – Class A | 577,119 | ||||||||
911,429 | Zhejiang Weixing New Building Materials Co Ltd – Class A | 2,785,397 | ||||||||
7,585,386 | Zhengzhou Coal Mining Machinery Group Co Ltd – Class A | 15,327,262 | ||||||||
904,500 | Zhongsheng Group Holdings Ltd | 7,562,522 | ||||||||
|
| |||||||||
Total China | 852,793,968 | |||||||||
|
| |||||||||
Czech Republic — 0.3% | ||||||||||
46,135 | CEZ AS | 1,454,266 | ||||||||
12,916 | Komercni Banka AS * | 496,632 | ||||||||
1,337,524 | Moneta Money Bank AS * | 5,430,648 | ||||||||
895 | Philip Morris CR AS | 649,939 | ||||||||
|
| |||||||||
Total Czech Republic | 8,031,485 | |||||||||
|
| |||||||||
Egypt — 0.0% | ||||||||||
231,778 | Commercial International Bank Egypt SAE * | 681,894 | ||||||||
437,196 | Eastern Co SAE | 327,309 | ||||||||
124,412 | ElSewedy Electric Co | 68,780 | ||||||||
548,103 | Medinet Nasr Housing | 107,541 | ||||||||
|
| |||||||||
Total Egypt | 1,185,524 | |||||||||
|
| |||||||||
Hong Kong — 0.0% | ||||||||||
1,003,500 | WH Group Ltd (a) | 870,402 | ||||||||
|
| |||||||||
India — 5.0% | ||||||||||
245,203 | Asian Paints Ltd | 10,736,945 |
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
842,736 | Axis Bank Ltd * | 9,052,349 | ||||||||
4,347 | Clean Science & Technology Ltd * | 90,712 | ||||||||
11,567,064 | Gayatri Projects Ltd *(c) | 7,847,128 | ||||||||
1,096,132 | HCL Technologies Ltd | 17,676,541 | ||||||||
218,797 | HDFC Bank Ltd | 4,717,423 | ||||||||
249,600 | Hindustan Unilever Ltd | 9,281,996 | ||||||||
240,646 | Housing Development Finance Corp Ltd | 9,179,221 | ||||||||
1,272,959 | ICICI Bank Ltd | 12,448,606 | ||||||||
679,900 | Infosys Ltd Sponsored ADR | 16,195,218 | ||||||||
2,862,048 | Jai Balaji Industries Ltd * | 2,275,026 | ||||||||
1,261,207 | Kiri Industries Ltd | 8,573,566 | ||||||||
1,532 | Larsen & Toubro Infotech Ltd | 111,773 | ||||||||
233,954 | Mindtree Ltd | 11,598,740 | ||||||||
56,292 | Redington India Ltd | 120,028 | ||||||||
345,038 | Tata Consultancy Services Ltd | 17,915,404 | ||||||||
297,682 | Titan Co Ltd | 7,813,687 | ||||||||
|
| |||||||||
Total India | 145,634,363 | |||||||||
|
| |||||||||
Indonesia — 2.5% | ||||||||||
11,820,100 | Bank Central Asia Tbk PT | 27,132,022 | ||||||||
10,563,200 | Bank Mandiri Persero Tbk PT | 4,515,668 | ||||||||
14,065,300 | Bank Negara Indonesia Persero Tbk PT | 5,314,772 | ||||||||
16,446,000 | Bank Pembangunan Daerah Jawa Timur Tbk PT | 824,051 | ||||||||
71,679,300 | Bank Rakyat Indonesia Persero Tbk PT | 19,712,161 | ||||||||
18,757,900 | Bukit Asam Tbk PT | 2,773,975 | ||||||||
5,308,491 | Indo Tambangraya Megah Tbk PT | 5,951,251 | ||||||||
207,759,500 | Panin Financial Tbk PT * | 2,720,615 | ||||||||
24,412,100 | Ramayana Lestari Sentosa Tbk PT | 1,093,973 | ||||||||
10,425,100 | Telkom Indonesia Persero Tbk PT | 2,487,861 | ||||||||
242,700 | United Tractors Tbk PT | 341,154 | ||||||||
|
| |||||||||
Total Indonesia | 72,867,503 | |||||||||
|
| |||||||||
Kuwait — 2.0% | ||||||||||
512,690 | Alimtiaz Investment Group KSC * | 211,427 | ||||||||
107,645 | Burgan Bank SAK | 81,249 | ||||||||
90,778 | Gulf Cable & Electrical Industries Co KSCP | 245,780 | ||||||||
258,845 | Humansoft Holding Co KSC | 2,931,935 | ||||||||
10,176,564 | Kuwait Finance House KSCP | 27,952,960 | ||||||||
1,675,438 | Kuwait Projects Holding KSCP | 857,627 | ||||||||
1,185,592 | Mobile Telecommunications Co KSCP | 2,406,988 | ||||||||
7,319,530 | National Bank of Kuwait SAKP | 22,775,861 | ||||||||
244,100 | Qurain Petrochemical Industries Co | 310,816 | ||||||||
|
| |||||||||
Total Kuwait | 57,774,643 | |||||||||
|
| |||||||||
Mexico — 4.6% | ||||||||||
83,000 | Arca Continental SAB de CV | 534,640 | ||||||||
1,152,000 | Banco del Bajio SA | 2,195,706 | ||||||||
3,435,700 | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander | 4,009,799 |
See accompanying notes to the financial statements. | 11 |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Mexico — continued | ||||||||||
13,500 | Coca-Cola Femsa SAB de CV Sponsored ADR | 781,650 | ||||||||
347,200 | Concentradora Fibra Danhos SA de CV (REIT) | 431,839 | ||||||||
1,431,700 | Credito Real SAB de CV SOFOM ER * | 1,089,244 | ||||||||
155,600 | El Puerto de Liverpool SAB de CV – Class C1 | 691,461 | ||||||||
1,724,500 | Fibra Uno Administracion SA de CV (REIT) | 1,943,969 | ||||||||
252,200 | Fomento Economico Mexicano SAB de CV | 2,191,368 | ||||||||
56,300 | Fomento Economico Mexicano SAB de CV Sponsored ADR | 4,881,773 | ||||||||
57,644 | Grupo Aeroportuario del Centro Norte SAB de CV * | 347,431 | ||||||||
9,622,600 | Grupo Financiero Banorte SAB de CV – Class O | 63,516,634 | ||||||||
477,400 | Grupo Financiero Inbursa SAB de CV – Class O * | 458,764 | ||||||||
5,059,700 | Grupo Mexico SAB de CV – Series B | 23,459,434 | ||||||||
120,800 | Industrias Bachoco SAB de CV – Series B | 439,136 | ||||||||
181,400 | Kimberly-Clark de Mexico SAB de CV – Class A | 321,903 | ||||||||
437,127 | Qualitas Controladora SAB de CV | 2,068,104 | ||||||||
425,000 | Regional SAB de CV | 2,604,088 | ||||||||
74,900 | Ternium SA Sponsored ADR | 4,073,062 | ||||||||
478,821 | Unifin Financiera SAB de CV SOFOM ENR * | 679,466 | ||||||||
4,718,900 | Wal-Mart de Mexico SAB de CV | 16,745,469 | ||||||||
|
| |||||||||
Total Mexico | 133,464,940 | |||||||||
|
| |||||||||
Pakistan — 0.4% | ||||||||||
426,620 | Engro Corp Ltd | 753,637 | ||||||||
6,556,459 | Engro Fertilizers Ltd | 3,044,664 | ||||||||
1,791,355 | Fauji Fertilizer Co Ltd | 1,140,776 | ||||||||
5,366,129 | Oil & Gas Development Co Ltd | 2,989,747 | ||||||||
834,516 | Pakistan Oilfields Ltd | 1,952,843 | ||||||||
3,383,334 | Pakistan Petroleum Ltd | 1,659,589 | ||||||||
1,092,534 | United Bank Ltd | 796,429 | ||||||||
|
| |||||||||
Total Pakistan | 12,337,685 | |||||||||
|
| |||||||||
Peru — 0.2% | ||||||||||
20,200 | Credicorp Ltd * | 2,153,926 | ||||||||
64,400 | Southern Copper Corp | 4,030,796 | ||||||||
|
| |||||||||
Total Peru | 6,184,722 | |||||||||
|
| |||||||||
Philippines — 0.4% | ||||||||||
112,170 | GT Capital Holdings Inc | 1,215,898 | ||||||||
349,070 | Manila Electric Co | 1,977,781 | ||||||||
31,756,800 | Megaworld Corp | 1,798,647 | ||||||||
17,018,000 | Metro Pacific Investments Corp | 1,315,996 | ||||||||
111,500 | Metropolitan Bank & Trust Co | 101,261 | ||||||||
1,813,800 | Puregold Price Club Inc | 1,520,376 | ||||||||
205,650 | Security Bank Corp | 467,577 | ||||||||
6,276,900 | Semirara Mining & Power Corp | 2,141,133 | ||||||||
|
| |||||||||
Total Philippines | 10,538,669 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Poland — 0.1% | ||||||||||
45,641 | Budimex SA | 3,527,561 | ||||||||
16,334 | Lubelski Wegiel Bogdanka SA * | 109,305 | ||||||||
|
| |||||||||
Total Poland | 3,636,866 | |||||||||
|
| |||||||||
Qatar — 0.7% | ||||||||||
1,357,979 | Doha Bank QPSC | 1,073,982 | ||||||||
195,018 | Qatar Electricity & Water Co QSC | 889,384 | ||||||||
2,974,326 | Qatar National Bank QPSC | 15,654,346 | ||||||||
1,062,466 | Qatar National Cement Co QSC | 1,461,206 | ||||||||
|
| |||||||||
Total Qatar | 19,078,918 | |||||||||
|
| |||||||||
Russia — 14.7% | ||||||||||
32,786,470 | Alrosa PJSC | 65,267,118 | ||||||||
1,054,350 | Detsky Mir PJSC | 1,996,542 | ||||||||
66,973 | Etalon Group Plc GDR (Registered) | 112,366 | ||||||||
202,459 | Evraz Plc | 1,646,845 | ||||||||
1,676,790,000 | Federal Grid Co Unified Energy System PJSC | 4,511,257 | ||||||||
730,704 | Fix Price Group Ltd GDR * (b) | 6,821,122 | ||||||||
720,971 | Globaltrans Investment Plc Sponsored GDR (Registered) | 5,929,568 | ||||||||
108,496,300 | Inter RAO UES PJSC | 6,836,555 | ||||||||
268,532 | LSR Group PJSC | 2,847,880 | ||||||||
3 | LSR Group PJSC GDR (Registered) (b) | 6 | ||||||||
12,666 | LUKOIL PJSC Sponsored ADR | 1,072,797 | ||||||||
257,147 | M.Video PJSC | 2,193,080 | ||||||||
17,214 | Magnit PJSC | 1,304,318 | ||||||||
302,705 | Magnit PJSC Sponsored GDR (Registered) | 4,607,412 | ||||||||
12,284,630 | Magnitogorsk Iron & Steel Works PJSC | 12,419,012 | ||||||||
237,839 | Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered) | 3,098,871 | ||||||||
978,075 | MMC Norilsk Nickel PJSC ADR | 32,183,323 | ||||||||
282,300 | Mobile TeleSystems PJSC Sponsored ADR | 2,647,974 | ||||||||
9,396,257 | Moscow Exchange MICEX-RTS PJSC | 23,510,417 | ||||||||
2,129,080 | Novolipetsk Steel PJSC | 7,178,525 | ||||||||
1,180,150 | Novolipetsk Steel PJSC GDR | 39,411,767 | ||||||||
16,998 | PhosAgro PJSC GDR (Registered) | 334,528 | ||||||||
1,724,317 | Polymetal International Plc | 34,355,626 | ||||||||
27,369 | Polyus PJSC | 4,938,383 | ||||||||
205,578 | Polyus PJSC GDR (Registered) | 18,234,367 | ||||||||
526,515 | QIWI Plc Sponsored ADR (d) | 5,033,483 | ||||||||
13,148 | QIWI Plc Sponsored ADR (d) | 125,263 | ||||||||
92,370 | Raspadskaya OJSC | 484,204 | ||||||||
17,833 | Ros Agro Plc GDR (Registered) | 286,051 | ||||||||
86,658,000 | RusHydro PJSC | 974,437 | ||||||||
75,360 | Safmar Financial Investment * | 456,594 | ||||||||
2,973,669 | Sberbank of Russia PJSC Sponsored ADR | 53,106,460 | ||||||||
197,557 | Severstal PJSC | 4,637,678 | ||||||||
853,306 | Severstal PJSC GDR (Registered) | 19,804,162 | ||||||||
29,854,700 | Surgutneftegas PJSC | 13,777,561 | ||||||||
4,762,114 | Surgutneftegas PJSC Sponsored ADR | 21,990,252 |
12 | See accompanying notes to the financial statements. |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Russia — continued | ||||||||||
240,626 | Tatneft PJSC Sponsored ADR | 9,580,337 | ||||||||
799 | TCS Group Holding Plc GDR (Registered) (d) | 70,914 | ||||||||
47,455 | TCS Group Holding Plc GDR (Registered) (d) | 4,197,090 | ||||||||
62,065,000 | Unipro PJSC | 2,387,159 | ||||||||
252,414 | X5 Retail Group NV GDR (Registered) | 8,363,120 | ||||||||
|
| |||||||||
Total Russia | 428,734,424 | |||||||||
|
| |||||||||
South Africa — 0.3% | ||||||||||
592,803 | Investec Ltd | 2,528,632 | ||||||||
44,073 | Kumba Iron Ore Ltd (a) | 1,979,288 | ||||||||
625,280 | Lewis Group Ltd | 1,838,029 | ||||||||
13,385,055 | RMB Holdings Ltd | 1,357,773 | ||||||||
124,496 | Wilson Bayly Holmes-Ovcon Ltd * | 1,026,815 | ||||||||
|
| |||||||||
Total South Africa | 8,730,537 | |||||||||
|
| |||||||||
South Korea — 6.2% | ||||||||||
111,911 | BNK Financial Group Inc | 746,809 | ||||||||
20,918 | Coway Co Ltd | 1,410,403 | ||||||||
206,030 | Daewoo Engineering & Construction Co Ltd * | 1,303,055 | ||||||||
8,598 | Daou Data Corp | 103,875 | ||||||||
100,585 | DB Insurance Co Ltd | 5,085,544 | ||||||||
6,299 | DL Holdings Co Ltd | 391,731 | ||||||||
1,105,568 | Dongwon Development Co Ltd | 5,740,183 | ||||||||
79,931 | GS Engineering & Construction Corp | 3,076,354 | ||||||||
65,385 | Hana Financial Group Inc | 2,531,966 | ||||||||
171,129 | HDC Hyundai Development Co-Engineering & Construction | 4,399,030 | ||||||||
157,125 | Hyundai Engineering & Construction Co Ltd | 7,500,531 | ||||||||
86,740 | KB Financial Group Inc | 3,945,806 | ||||||||
21,349 | Korea Asset In Trust Co Ltd | 82,757 | ||||||||
2,988 | Korea Petrochemical Ind Co Ltd | 594,629 | ||||||||
377,502 | KT&G Corp | 26,550,375 | ||||||||
15,947 | Kumho Petrochemical Co Ltd (a) | 2,666,213 | ||||||||
37,810 | LG Electronics Inc | 4,617,797 | ||||||||
2,157 | LG Household & Health Care Ltd | 2,717,403 | ||||||||
3,231 | Lotte Chemical Corp | 694,901 | ||||||||
6,325 | POSCO | 1,820,526 | ||||||||
1,318,374 | Samsung Electronics Co Ltd | 87,036,717 | ||||||||
7,195 | Samsung Electronics Co Ltd GDR | 11,747,512 | ||||||||
42,790 | Samsung Engineering Co Ltd * | 822,156 | ||||||||
3,312 | Samsung SDS Co Ltd | 491,616 | ||||||||
85,066 | Shinhan Financial Group Co Ltd | 2,833,857 | ||||||||
261,061 | Woori Financial Group Inc | 2,525,732 | ||||||||
|
| |||||||||
Total South Korea | 181,437,478 | |||||||||
|
| |||||||||
Sri Lanka — 0.0% | ||||||||||
103,983,101 | Anilana Hotels & Properties Ltd * (c) | 520,722 | ||||||||
|
| |||||||||
Taiwan — 22.6% | ||||||||||
206,000 | Accton Technology Corp | 2,087,058 |
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
893,000 | Acer Inc | 810,454 | ||||||||
76,532 | Acter Group Corp Ltd | 519,953 | ||||||||
1,153,035 | Advantech Co Ltd | 16,054,276 | ||||||||
104,000 | Arcadyan Technology Corp | 346,374 | ||||||||
2,031,689 | Asustek Computer Inc | 23,717,501 | ||||||||
452,000 | Aten International Co Ltd | 1,339,521 | ||||||||
129,200 | Aurora Corp | 412,522 | ||||||||
9,936,000 | Catcher Technology Co Ltd | 59,760,379 | ||||||||
8,595,153 | Cathay Financial Holding Co Ltd | 18,458,766 | ||||||||
2,798,808 | Chailease Holding Co Ltd | 26,849,557 | ||||||||
205,000 | Chicony Electronics Co Ltd | 579,746 | ||||||||
233,000 | China Development Financial Holding Corp | 119,078 | ||||||||
752,000 | China Life Insurance Co Ltd | 782,560 | ||||||||
746,000 | Chong Hong Construction Co Ltd | 2,143,553 | ||||||||
893,000 | Chunghwa Telecom Co Ltd | 3,612,399 | ||||||||
2,962,400 | Coretronic Corp | 5,971,624 | ||||||||
12,565,720 | CTBC Financial Holding Co Ltd | 10,414,907 | ||||||||
836,000 | Delta Electronics Inc | 8,143,432 | ||||||||
706,000 | Elan Microelectronics Corp | 3,999,670 | ||||||||
1,009,000 | Elite Material Co Ltd | 8,497,201 | ||||||||
1,610,000 | Farglory Land Development Co Ltd | 3,699,564 | ||||||||
55,000 | Feng Hsin Steel Co Ltd | 156,826 | ||||||||
4,390,000 | FLEXium Interconnect Inc * | 18,321,744 | ||||||||
440,000 | Formosa Plastics Corp | 1,624,637 | ||||||||
2,502,075 | Foxconn Technology Co Ltd | 5,967,170 | ||||||||
16,199,000 | Fubon Financial Holding Co Ltd | 49,618,127 | ||||||||
492,000 | Gigabyte Technology Co Ltd | 1,551,879 | ||||||||
2,540,000 | Grand Pacific Petrochemical | 2,781,641 | ||||||||
15,988,532 | Hon Hai Precision Industry Co Ltd | 63,847,140 | ||||||||
1,782,000 | Huaku Development Co Ltd | 5,659,958 | ||||||||
1,439,806 | IEI Integration Corp | 2,410,711 | ||||||||
80,900 | Innodisk Corp | 675,371 | ||||||||
303,000 | International Games System Co Ltd | 7,243,587 | ||||||||
300,000 | Kung Long Batteries Industrial Co Ltd | 1,498,524 | ||||||||
15,000 | Largan Precision Co Ltd | 1,446,232 | ||||||||
2,668,000 | Lite-On Technology Corp | 5,882,969 | ||||||||
120,000 | MediaTek Inc | 3,891,267 | ||||||||
162,000 | Merry Electronics Co Ltd | 562,086 | ||||||||
2,067,000 | Micro-Star International Co Ltd | 9,697,996 | ||||||||
71,000 | Nan Liu Enterprise Co Ltd | 329,833 | ||||||||
798,000 | Nan Ya Plastics Corp | 2,578,776 | ||||||||
538,000 | Nantex Industry Co Ltd | 2,084,287 | ||||||||
753,810 | Novatek Microelectronics Corp | 12,164,678 | ||||||||
410,000 | Pegatron Corp | 957,471 | ||||||||
329,000 | Phison Electronics Corp | 5,042,252 | ||||||||
169,000 | Quanta Computer Inc | 477,942 | ||||||||
10,415,870 | Radiant Opto-Electronics Corp | 37,154,495 | ||||||||
788,000 | Shinkong Insurance Co Ltd | 1,244,327 | ||||||||
454,468 | Simplo Technology Co Ltd | 5,167,618 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
114,000 | Sitronix Technology Corp | 1,210,305 | ||||||||
1,914,250 | Syncmold Enterprise Corp | 4,840,699 | ||||||||
159,300 | Tah Hsin Industrial Corp | 366,469 | ||||||||
3,570,000 | Taiwan Cement Corp | 6,233,185 | ||||||||
8,139,000 | Taiwan Semiconductor Manufacturing Co Ltd | 178,530,765 | ||||||||
27,710 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR | 3,297,767 | ||||||||
31,000 | TCI Co Ltd | 301,208 | ||||||||
261,000 | Test Research Inc | 531,678 | ||||||||
978,000 | Transcend Information Inc | 2,444,346 | ||||||||
1,093,160 | Tripod Technology Corp | 4,510,563 | ||||||||
503,000 | Uni-President Enterprises Corp | 1,310,966 | ||||||||
740,224 | United Integrated Services Co Ltd | 5,304,586 | ||||||||
782,000 | Universal Inc | 1,445,005 | ||||||||
117,000 | Vanguard International Semiconductor Corp | 622,343 | ||||||||
148,000 | Yulon Nissan Motor Co Ltd | 1,355,530 | ||||||||
323,000 | Zeng Hsing Industrial Co Ltd | 1,768,584 | ||||||||
|
| |||||||||
Total Taiwan | 662,433,638 | |||||||||
|
| |||||||||
Thailand — 0.4% | ||||||||||
243,100 | AP Thailand Pcl (Foreign Registered) | 63,310 | ||||||||
700,700 | CP ALL Pcl (Foreign Registered) | 1,412,630 | ||||||||
373,300 | Kasikornbank Pcl (Foreign Registered) | 1,421,159 | ||||||||
3,621,300 | Pruksa Holding Pcl (Foreign Registered) | 1,482,562 | ||||||||
183,300 | Siam Cement Pcl (The) (Foreign Registered) | 2,443,644 | ||||||||
331,600 | Siam Commercial Bank Pcl (The) (Foreign Registered) | 1,093,945 | ||||||||
868,500 | SPCG Pcl | 487,583 | ||||||||
2,784,675 | Supalai Pcl (Foreign Registered) | 1,789,191 | ||||||||
602,300 | TTW Pcl (Foreign Registered) | 222,337 | ||||||||
|
| |||||||||
Total Thailand | 10,416,361 | |||||||||
|
| |||||||||
Turkey — 1.2% | ||||||||||
2,244,921 | Akbank TAS | 1,593,385 | ||||||||
2,594,657 | Arcelik AS | 10,033,825 | ||||||||
24,560,699 | Dogan Sirketler Grubu Holding AS | 7,593,182 | ||||||||
938,316 | Enerjisa Enerji AS | 1,252,866 | ||||||||
1,881,846 | Eregli Demir ve Celik Fabrikalari TAS | 4,256,898 | ||||||||
734,663 | Koza Altin Isletmeleri AS * | 9,136,442 | ||||||||
454,544 | Turkcell Iletisim Hizmetleri AS | 898,809 | ||||||||
2,436,826 | Yapi ve Kredi Bankasi AS | 772,331 | ||||||||
|
| |||||||||
Total Turkey | 35,537,738 | |||||||||
|
| |||||||||
United Arab Emirates — 0.1% | ||||||||||
162,097 | Abu Dhabi Islamic Bank PJSC | 248,819 | ||||||||
1,538,011 | Dubai Islamic Bank PJSC | 2,134,360 | ||||||||
146,864 | Emirates NBD Bank PJSC | 553,871 | ||||||||
|
| |||||||||
Total United Arab Emirates | 2,937,050 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
United Kingdom — 0.5% | ||||||||||
270,001 | Unilever Plc | 15,033,627 | ||||||||
|
| |||||||||
Vietnam — 0.2% | ||||||||||
400,715 | Hoa Phat Group JSC | 866,991 | ||||||||
101,800 | Petrovietnam Fertilizer & Chemicals JSC | 164,290 | ||||||||
275,800 | PetroVietnam Gas JSC | 1,081,480 | ||||||||
184,500 | PetroVietnam Nhon Trach 2 Power JSC | 166,755 | ||||||||
1,826,100 | PetroVietnam Technical Services Corp | 2,075,489 | ||||||||
325,800 | Pha Lai Thermal Power JSC | 353,800 | ||||||||
284,500 | Vietnam Dairy Products JSC | 1,091,268 | ||||||||
380,800 | Vinh Hoan Corp | 827,742 | ||||||||
|
| |||||||||
Total Vietnam | 6,627,815 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $2,549,968,752) | 2,705,220,881 | |||||||||
|
| |||||||||
PREFERRED STOCKS (e) — 3.2% | ||||||||||
Colombia — 0.1% | ||||||||||
24,246 | Banco Davivienda SA | 209,708 | ||||||||
4,610,742 | Grupo Aval Acciones y Valores SA | 1,370,078 | ||||||||
|
| |||||||||
Total Colombia | 1,579,786 | |||||||||
|
| |||||||||
Russia — 1.8% | ||||||||||
232,210 | Nizhnekamskneftekhim PJSC | 379,450 | ||||||||
97,834,200 | Surgutneftegas PJSC | 51,606,598 | ||||||||
851 | Transneft PJSC | 1,835,450 | ||||||||
|
| |||||||||
Total Russia | 53,821,498 | |||||||||
|
| |||||||||
South Korea — 1.2% | ||||||||||
596,573 | Samsung Electronics Co Ltd | 36,370,948 | ||||||||
|
| |||||||||
Taiwan — 0.1% | ||||||||||
287,798 | Chailease Holding Co Ltd | 1,035,369 | ||||||||
605,412 | CTBC Financial Holding Co Ltd | 1,358,553 | ||||||||
|
| |||||||||
Total Taiwan | 2,393,922 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $79,563,815) | 94,166,154 | |||||||||
|
| |||||||||
INVESTMENT FUNDS — 1.2% |
| |||||||||
United States — 1.2% | ||||||||||
524,608 | iShares Core MSCI Emerging Markets ETF | 33,622,127 | ||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $33,022,774) | 33,622,127 | |||||||||
|
|
14 | See accompanying notes to the financial statements. |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Par Value† / | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 2.2% | ||||||||||
United States — 2.2% | ||||||||||
14,547,000 | U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.20%, due 01/31/22 | 14,555,426 | ||||||||
49,100,000 | U.S. Treasury Note, Variable Rate, USBM + 0.03%, 0.08%, due 04/30/23(f) | 49,103,451 | ||||||||
|
| |||||||||
Total United States | 63,658,877 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $63,665,504) | 63,658,877 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.6% | ||||||||||
Money Market Funds — 0.6% | ||||||||||
18,726,699 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (g) | 18,726,699 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $18,726,699) | 18,726,699 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.7% (Cost $2,744,947,544) | 2,915,394,738 | |||||||||
Other Assets and Liabilities (net) — 0.3% | 9,727,358 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $2,925,122,096 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2021 is as follows:
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Buys | ||||||||||||
6,811 | Mini MSCI Emerging Markets | September 2021 | $ | 442,442,560 | $ | (16,182,826 | ) | |||||
|
|
|
| |||||||||
Sales | ||||||||||||
1,238 | SGX Nifty 50 | September 2021 | $ | 42,289,387 | $ | (1,203,433 | ) | |||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Swap Contracts
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 8.50%) | Appreciation on Total Return on CSI 500 Index | GS | USD | 44,204,784 | 12/07/2021 | At Maturity | $ | — | $ | 2,121,883 | $ | 2,121,883 | ||||||||||||||||
|
|
|
|
|
|
As of August 31, 2021, 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. | 15 |
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2021 (Unaudited)
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
* | Non-income producing security. |
(a) | All or a portion of this 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) | Affiliated company (Note 10). |
(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, 2021. |
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.
16 | See accompanying notes to the financial statements. |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2021 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 96.2 | % | ||
Short-Term Investments | 4.0 | |||
Preferred Stocks | 1.6 | |||
Futures Contracts | 0.0 | ^ | ||
Other | (1.8 | ) | ||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | % of Investments | |||
Japan | 20.4 | % | ||
United Kingdom | 17.6 | |||
Germany | 10.4 | |||
France | 9.4 | |||
Netherlands | 7.3 | |||
Switzerland | 6.2 | |||
Spain | 5.5 | |||
Italy | 4.5 | |||
Singapore | 4.0 | |||
Australia | 3.4 | |||
Hong Kong | 2.4 | |||
Portugal | 2.1 | |||
Norway | 1.7 | |||
Ireland | 1.5 | |||
Belgium | 1.4 | |||
Other Developed | 1.2 | ‡ | ||
Euro Region | 1.0 | § | ||
|
| |||
100.0 | % | |||
|
|
Industry Group Summary | % of Equity Investments# | |||
Capital Goods | 13.6 | % | ||
Banks | 12.2 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 11.1 | |||
Materials | 10.4 | |||
Automobiles & Components | 7.1 | |||
Telecommunication Services | 6.6 | |||
Food, Beverage & Tobacco | 6.2 | |||
Retailing | 4.3 | |||
Consumer Durables & Apparel | 3.9 | |||
Utilities | 3.8 | |||
Insurance | 3.2 | |||
Transportation | 3.0 | |||
Diversified Financials | 2.9 | |||
Food & Staples Retailing | 2.4 | |||
Software & Services | 2.0 | |||
Commercial & Professional Services | 1.8 | |||
Technology Hardware & Equipment | 1.7 | |||
Semiconductors & Semiconductor Equipment | 1.5 | |||
Media & Entertainment | 1.2 | |||
Energy | 0.6 | |||
Household & Personal Products | 0.3 | |||
Real Estate | 0.1 | |||
Health Care Equipment & Services | 0.1 | |||
Consumer Services | 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). |
¤ | 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. |
§ | “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country. |
# | Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments. |
^ | Rounds to 0.0%. |
17 |
GMO International Equity Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 96.2% |
| |||||||||
Australia — 3.4% | ||||||||||
1,278,178 | Fortescue Metals Group Ltd | 19,486,146 | ||||||||
89,611 | Pact Group Holdings Ltd | 261,958 | ||||||||
661,134 | Rio Tinto Ltd | 53,793,230 | ||||||||
682,326 | Sandfire Resources Ltd | 3,214,791 | ||||||||
|
| |||||||||
Total Australia | 76,756,125 | |||||||||
|
| |||||||||
Belgium — 1.3% | ||||||||||
160,761 | Ageas SA/NV | 8,033,706 | ||||||||
91,042 | AGFA-Gevaert NV * | 463,868 | ||||||||
13,610 | Bekaert SA | 647,962 | ||||||||
50,435 | bpost SA * | 487,486 | ||||||||
26,607 | Groupe Bruxelles Lambert SA | 3,048,258 | ||||||||
5,072 | Solvay SA | 663,878 | ||||||||
149,961 | UCB SA | 17,156,881 | ||||||||
|
| |||||||||
Total Belgium | 30,502,039 | |||||||||
|
| |||||||||
Denmark — 0.1% | ||||||||||
9,627 | Per Aarsleff Holding A/S | 454,079 | ||||||||
6,561 | Schouw & Co A/S | 711,632 | ||||||||
|
| |||||||||
Total Denmark | 1,165,711 | |||||||||
|
| |||||||||
Finland — 0.7% | ||||||||||
271,694 | Kesko Oyj – B Shares | 11,242,564 | ||||||||
108,262 | UPM-Kymmene Oyj | 4,410,439 | ||||||||
|
| |||||||||
Total Finland | 15,653,003 | |||||||||
|
| |||||||||
France — 9.3% | ||||||||||
7,430 | Alten SA | 1,225,608 | ||||||||
518,223 | ArcelorMittal SA | 17,381,190 | ||||||||
836,740 | BNP Paribas SA | 53,007,360 | ||||||||
4,073 | Christian Dior SE | 3,078,905 | ||||||||
727,317 | Cie de Saint-Gobain | 52,725,347 | ||||||||
31,740 | CNP Assurances | 543,862 | ||||||||
1,205,708 | Credit Agricole SA | 17,402,846 | ||||||||
163,048 | Derichebourg SA * | 1,929,897 | ||||||||
42,941 | Fnac Darty SA | 2,925,394 | ||||||||
24,176 | IPSOS | 1,171,793 | ||||||||
22,479 | Maisons du Monde SA | 519,120 | ||||||||
120,932 | Metropole Television SA | 2,575,190 | ||||||||
264,580 | Sanofi | 27,420,704 | ||||||||
44,641 | Schneider Electric SE | 7,975,850 | ||||||||
13,871 | SEB SA | 2,183,460 | ||||||||
10,660 | Societe BIC SA | 709,702 | ||||||||
199,598 | Societe Generale SA | 6,282,169 | ||||||||
41,000 | STMicroelectronics NV – NY Shares | 1,821,630 | ||||||||
207,314 | Television Francaise 1 | 2,081,053 | ||||||||
128,976 | TotalEnergies SE (a) | 5,704,946 |
Shares | Description | Value ($) | ||||||||
France — continued | ||||||||||
14,633 | TotalEnergies SE (a) | 644,616 | ||||||||
|
| |||||||||
Total France | 209,310,642 | |||||||||
|
| |||||||||
Germany — 8.6% | ||||||||||
96,481 | ADVA Optical Networking SE * | 1,599,096 | ||||||||
340,695 | Bayerische Motoren Werke AG | 32,338,340 | ||||||||
516,675 | CECONOMY AG * | 2,421,499 | ||||||||
654,988 | Daimler AG (Registered) | 55,251,349 | ||||||||
430,195 | Deutsche Post AG (Registered) | 30,246,616 | ||||||||
120,998 | Dialog Semiconductor Plc * | 9,617,588 | ||||||||
97,076 | HeidelbergCement AG | 8,419,059 | ||||||||
19,105 | Henkel AG & Co KGaA | 1,719,543 | ||||||||
23,846 | Hornbach Holding AG & Co KGaA | 2,550,893 | ||||||||
5,326 | Indus Holding AG | 214,885 | ||||||||
170,389 | Kloeckner & Co SE * | 2,300,586 | ||||||||
47,331 | Merck KGaA | 11,245,689 | ||||||||
133,655 | ProSiebenSat.1 Media SE | 2,551,701 | ||||||||
98,844 | RTL Group SA | 6,142,120 | ||||||||
23,518 | Salzgitter AG * | 886,518 | ||||||||
66,342 | Traton SE | 1,958,578 | ||||||||
76,088 | Volkswagen AG | 25,458,449 | ||||||||
|
| |||||||||
Total Germany | 194,922,509 | |||||||||
|
| |||||||||
Hong Kong — 2.3% | ||||||||||
1,380,487 | Champion (REIT) | 786,012 | ||||||||
711,712 | Chow Tai Fook Jewellery Group Ltd * | 1,439,787 | ||||||||
251,000 | CK Hutchison Holdings Ltd | 1,829,816 | ||||||||
608,400 | Dah Sing Banking Group Ltd | 585,077 | ||||||||
357,269 | Dah Sing Financial Holdings Ltd | 1,111,483 | ||||||||
3,995,207 | Esprit Holdings Ltd * | 410,506 | ||||||||
6,247,585 | IGG Inc | 5,967,065 | ||||||||
754,401 | Johnson Electric Holdings Ltd | 1,727,697 | ||||||||
297,640 | Kerry Logistics Network Ltd | 945,821 | ||||||||
442,326 | Luk Fook Holdings International Ltd | 1,228,076 | ||||||||
1,232,331 | Pacific Textiles Holdings Ltd | 657,320 | ||||||||
1,301,023 | Shun Tak Holdings Ltd * | 372,818 | ||||||||
1,160,026 | SmarTone Telecommunications Holdings Ltd | 653,546 | ||||||||
331,288 | Television Broadcasts Ltd * | 281,297 | ||||||||
1,016,000 | VSTECS Holdings Ltd | 955,621 | ||||||||
341,700 | VTech Holdings Ltd | 3,319,035 | ||||||||
34,808,515 | WH Group Ltd | 30,191,724 | ||||||||
198,000 | Xinyi Glass Holdings Ltd | 832,042 | ||||||||
|
| |||||||||
Total Hong Kong | 53,294,743 | |||||||||
|
| |||||||||
Ireland — 1.5% | ||||||||||
493,022 | Bank of Ireland Group Plc * | 3,085,958 | ||||||||
62,176 | CRH Plc | 3,293,832 | ||||||||
345,652 | CRH Plc Sponsored ADR | 18,361,034 | ||||||||
49,041 | Kingspan Group Plc | 5,600,242 | ||||||||
46,939 | Smurfit Kappa Group Plc | 2,690,348 | ||||||||
|
| |||||||||
Total Ireland | 33,031,414 | |||||||||
|
|
18 | 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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Italy — 4.5% | ||||||||||
837,925 | A2A SPA | 1,840,888 | ||||||||
507,872 | Anima Holding SPA | 2,619,557 | ||||||||
198,971 | Banca Mediolanum SPA | 2,065,678 | ||||||||
773,431 | Banco BPM SPA | 2,564,973 | ||||||||
13,397 | Buzzi Unicem SPA | 355,654 | ||||||||
378,900 | CNH Industrial NV (a) | 6,248,061 | ||||||||
130,278 | CNH Industrial NV (a) | 2,153,604 | ||||||||
81,622 | De’ Longhi SPA | 3,693,972 | ||||||||
1,282,703 | Enel SPA | 11,685,986 | ||||||||
149,647 | Esprinet SPA | 2,860,061 | ||||||||
340,064 | EXOR NV | 28,372,704 | ||||||||
284,773 | Italgas SPA | 1,887,931 | ||||||||
36,751 | La Doria SPA | 791,071 | ||||||||
417,886 | Mediobanca Banca di Credito Finanziario SPA* | 4,926,253 | ||||||||
714,000 | Poste Italiane SPA | 9,680,366 | ||||||||
409,296 | Snam SPA | 2,420,005 | ||||||||
15,085,688 | Telecom Italia SPA | 6,834,862 | ||||||||
8,870,187 | Telecom Italia SPA – RSP | 4,285,464 | ||||||||
140,440 | Unieuro SPA | 3,669,584 | ||||||||
406,156 | Unipol Gruppo SPA | 2,408,949 | ||||||||
|
| |||||||||
Total Italy | 101,365,623 | |||||||||
|
| |||||||||
Japan — 20.2% | ||||||||||
39,200 | Advantest Corp | 3,377,143 | ||||||||
43,100 | Aisin Corp | 1,645,193 | ||||||||
63,520 | AOKI Holdings Inc | 361,115 | ||||||||
1,793,415 | Asahi Kasei Corp | 18,490,246 | ||||||||
1,629,084 | Astellas Pharma Inc | 27,449,918 | ||||||||
492,096 | Brother Industries Ltd | 10,098,587 | ||||||||
93,700 | Canon Inc | 2,229,322 | ||||||||
39,584 | Cawachi Ltd | 825,927 | ||||||||
45,800 | Daiwa House Industry Co Ltd | 1,396,613 | ||||||||
345,890 | Daiwabo Holdings Co Ltd | 6,571,909 | ||||||||
70,674 | Dexerials Corp | 1,380,294 | ||||||||
53,748 | Doutor Nichires Holdings Co Ltd | 799,821 | ||||||||
32,743 | Fuji Electric Co Ltd | 1,416,503 | ||||||||
4,754 | FUJIFILM Holdings Corp | 391,217 | ||||||||
220,032 | Fujitsu Ltd | 40,504,999 | ||||||||
20,606 | Fuyo General Lease Co Ltd | 1,422,713 | ||||||||
90,436 | Geo Holdings Corp | 977,657 | ||||||||
17,653 | Gunze Ltd | 714,828 | ||||||||
539,304 | Hitachi Ltd | 29,805,445 | ||||||||
67,300 | Iida Group Holdings Co Ltd | 1,708,555 | ||||||||
177,600 | Inpex Corp | 1,220,270 | ||||||||
1,679,654 | ITOCHU Corp | 50,525,872 | ||||||||
248,860 | Japan Post Insurance Co Ltd | 4,519,317 | ||||||||
175,604 | Japan Tobacco Inc | 3,407,171 | ||||||||
32,058 | K’s Holdings Corp | 350,417 | ||||||||
112,900 | Kajima Corp | 1,458,697 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
127,444 | Kanematsu Corp | 1,638,988 | ||||||||
1,624,996 | KDDI Corp | 49,668,617 | ||||||||
8,481 | Kohnan Shoji Co Ltd | 279,606 | ||||||||
41,993 | Komeri Co Ltd | 962,911 | ||||||||
404,300 | Konica Minolta Inc | 2,051,865 | ||||||||
877,200 | Marubeni Corp | 6,979,277 | ||||||||
110,757 | MCJ Co Ltd | 1,234,134 | ||||||||
208,778 | Mitsubishi Chemical Holdings Corp | 1,833,083 | ||||||||
30,550 | Mitsubishi Gas Chemical Co Inc | 575,643 | ||||||||
3,953,618 | Mitsubishi UFJ Financial Group Inc | 21,450,119 | ||||||||
622,938 | Mitsui & Co Ltd | 13,739,259 | ||||||||
8,000 | Mitsui OSK Lines Ltd | 616,612 | ||||||||
39,684 | Modec Inc | 584,761 | ||||||||
145,933 | NEC Networks & System Integration Corp | 2,781,781 | ||||||||
97,226 | Nichias Corp | 2,578,610 | ||||||||
79,245 | Nippo Corp | 2,328,602 | ||||||||
59,031 | Nippon Signal Co Ltd | 497,327 | ||||||||
35,800 | Nippon Steel Corp | 731,684 | ||||||||
1,948,795 | Nippon Telegraph & Telephone Corp | 51,921,321 | ||||||||
143,900 | Obayashi Corp | 1,184,064 | ||||||||
85,066 | Okinawa Electric Power Co (The) | 1,105,657 | ||||||||
473,286 | Panasonic Corp | 5,658,166 | ||||||||
82,324 | Press Kogyo Co Ltd | 258,745 | ||||||||
63,319 | Prima Meat Packers Ltd | 1,715,269 | ||||||||
579,410 | Renesas Electronics Corp * | 6,204,262 | ||||||||
115,000 | Ricoh Co Ltd | 1,170,166 | ||||||||
29,783 | San-A Co Ltd | 1,095,804 | ||||||||
48,400 | Seiko Epson Corp | 901,439 | ||||||||
65,495 | Seiko Holdings Corp | 1,299,824 | ||||||||
254,312 | Sekisui Chemical Co Ltd | 4,352,346 | ||||||||
151,000 | Sekisui House Ltd | 3,008,403 | ||||||||
1,450,509 | Sojitz Corp | 4,258,624 | ||||||||
5,299,241 | Sumitomo Chemical Co Ltd | 26,865,118 | ||||||||
56,838 | T-Gaia Corp | 1,015,749 | ||||||||
26,977 | Tokyo Seimitsu Co Ltd | 1,178,387 | ||||||||
130,975 | Tokyu Construction Co Ltd | 892,822 | ||||||||
61,228 | Towa Pharmaceutical Co Ltd | 1,641,329 | ||||||||
252,855 | Toyota Tsusho Corp | 11,180,724 | ||||||||
24,269 | TPR Co Ltd | 327,647 | ||||||||
162,354 | TS Tech Co Ltd | 2,199,113 | ||||||||
93,769 | Valor Holdings Co Ltd | 2,093,481 | ||||||||
20,256 | Warabeya Nichiyo Holdings Co Ltd | 443,246 | ||||||||
21,608 | Yahagi Construction Co Ltd | 144,086 | ||||||||
|
| |||||||||
Total Japan | 455,698,420 | |||||||||
|
| |||||||||
Malta — 0.0% | ||||||||||
15,858,986 | BGP Holdings Plc * (b) | — | ||||||||
|
| |||||||||
Netherlands — 7.2% | ||||||||||
28,824 | ASM International NV | 11,183,500 |
See accompanying notes to the financial statements. | 19 |
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Netherlands — continued | ||||||||||
285,595 | ASR Nederland NV | 13,050,204 | ||||||||
780,173 | ING Groep NV | 10,762,000 | ||||||||
1,112,953 | Koninklijke Ahold Delhaize NV | 37,548,193 | ||||||||
181,906 | NN Group NV | 9,435,963 | ||||||||
3,424,004 | PostNL NV | 17,917,457 | ||||||||
416,683 | Randstad NV | 30,687,102 | ||||||||
441,203 | Signify NV | 24,717,387 | ||||||||
326,091 | Stellantis NV | 6,536,719 | ||||||||
|
| |||||||||
Total Netherlands | 161,838,525 | |||||||||
|
| |||||||||
Norway — 1.7% | ||||||||||
80,239 | Aker Solutions ASA * | 148,390 | ||||||||
69,297 | Bank Norwegian ASA | 819,428 | ||||||||
515,649 | BW LPG Ltd | 2,745,585 | ||||||||
179,531 | DNB Bank ASA | 3,789,314 | ||||||||
247,146 | Europris ASA | 1,746,379 | ||||||||
3,347,788 | Norsk Hydro ASA | 23,110,586 | ||||||||
726,405 | Orkla ASA | 6,488,526 | ||||||||
|
| |||||||||
Total Norway | 38,848,208 | |||||||||
|
| |||||||||
Portugal — 2.1% | ||||||||||
194,407 | Altri SGPS SA | 1,294,169 | ||||||||
20,928,065 | Banco Comercial Portugues SA – Class R * | 3,237,093 | ||||||||
252,554 | CTT-Correios de Portugal SA | 1,370,330 | ||||||||
6,776,781 | EDP – Energias de Portugal SA | 37,201,437 | ||||||||
187,890 | Galp Energia SGPS SA | 1,921,911 | ||||||||
2,055 | Greenvolt-Energias Renovaveis SA * | 12,957 | ||||||||
557,576 | REN – Redes Energeticas Nacionais SGPS SA | 1,633,049 | ||||||||
518,666 | Sonae SGPS SA | 564,756 | ||||||||
|
| |||||||||
Total Portugal | 47,235,702 | |||||||||
|
| |||||||||
Singapore — 3.9% | ||||||||||
2,058,025 | DBS Group Holdings Ltd | 45,632,740 | ||||||||
247,687 | Jardine Cycle & Carriage Ltd | 3,571,058 | ||||||||
314,900 | Keppel Corp Ltd | 1,213,958 | ||||||||
1,305,000 | Sembcorp Industries Ltd | 1,868,117 | ||||||||
80,075 | Venture Corp Ltd | 1,138,130 | ||||||||
5,956,239 | Wilmar International Ltd | 18,291,606 | ||||||||
14,058,422 | Yangzijiang Shipbuilding Holdings Ltd | 17,119,340 | ||||||||
|
| |||||||||
Total Singapore | 88,834,949 | |||||||||
|
| |||||||||
Spain — 5.5% | ||||||||||
289,074 | Acerinox SA | 3,939,782 | ||||||||
46,221 | ACS Actividades de Construccion y Servicios SA | 1,247,791 | ||||||||
5,224,462 | Banco Bilbao Vizcaya Argentaria SA * | 34,194,061 | ||||||||
3,065,248 | Banco de Sabadell SA * | 2,185,231 | ||||||||
14,130,287 | Banco Santander SA * | 52,101,949 | ||||||||
66,936 | Cia de Distribucion Integral Logista Holdings SA | 1,453,184 |
Shares | Description | Value ($) | ||||||||
Spain — continued | ||||||||||
53,972 | Ebro Foods SA | 1,083,805 | ||||||||
12,544 | Grupo Catalana Occidente SA | 475,075 | ||||||||
1,863,843 | Iberdrola SA | 23,095,749 | ||||||||
318,657 | Mediaset Espana Comunicacion SA * | 1,943,889 | ||||||||
1,699,555 | Unicaja Banco SA | 1,568,053 | ||||||||
|
| |||||||||
Total Spain | 123,288,569 | |||||||||
|
| |||||||||
Sweden — 0.4% | ||||||||||
23,233 | JM AB | 900,065 | ||||||||
182,071 | Skanska AB – B Shares | 5,248,750 | ||||||||
539,986 | SSAB AB – A Shares * | 2,948,048 | ||||||||
|
| |||||||||
Total Sweden | 9,096,863 | |||||||||
|
| |||||||||
Switzerland — 6.1% | ||||||||||
95,520 | Adecco Group AG (Registered) | 5,313,524 | ||||||||
44,851 | Ascom Holding AG (Registered) * | 712,438 | ||||||||
823 | dormakaba Holding AG | 593,981 | ||||||||
1,472 | Kardex Holding AG (Registered) | 393,619 | ||||||||
486,821 | Novartis AG (Registered) | 45,026,496 | ||||||||
27,900 | Novartis AG Sponsored ADR | 2,577,681 | ||||||||
206,512 | Roche Holding AG – Genusschein | 82,925,903 | ||||||||
3,995 | Zehnder Group AG – Class RG | 431,935 | ||||||||
|
| |||||||||
Total Switzerland | 137,975,577 | |||||||||
|
| |||||||||
United Kingdom — 17.4% | ||||||||||
863,250 | 3i Group Plc | 15,876,104 | ||||||||
170,195 | Anglo American Plc | 7,188,271 | ||||||||
1,689,748 | Aviva Plc | 9,391,811 | ||||||||
509,169 | Barclays Plc | 1,290,952 | ||||||||
207,500 | Barclays Plc Sponsored ADR | 2,126,875 | ||||||||
2,393,671 | Barratt Developments Plc | 24,347,469 | ||||||||
141,555 | Bellway Plc | 6,860,307 | ||||||||
18,933 | Berkeley Group Holdings Plc (The) | 1,257,617 | ||||||||
1,059,142 | British American Tobacco Plc | 39,731,972 | ||||||||
430,758 | British American Tobacco Plc Sponsored ADR | 16,235,269 | ||||||||
13,375,389 | BT Group Plc * | 31,266,364 | ||||||||
213,190 | Coca-Cola HBC AG * | 7,716,392 | ||||||||
207,521 | Electrocomponents Plc | 3,036,776 | ||||||||
216,832 | Ferguson Plc | 31,340,508 | ||||||||
1,213,937 | Ferrexpo Plc | 6,362,429 | ||||||||
1,871,967 | Firstgroup Plc * | 2,323,565 | ||||||||
233,017 | Galliford Try Holdings Plc | 544,874 | ||||||||
1,468,120 | GlaxoSmithKline Plc | 29,532,121 | ||||||||
94,503 | Grafton Group Plc | 1,816,041 | ||||||||
103,137 | Halfords Group Plc | 516,154 | ||||||||
231,884 | IG Group Holdings Plc | 2,986,043 | ||||||||
77,089 | Imperial Brands Plc | 1,634,810 | ||||||||
88,807 | Inchcape Plc | 1,123,163 | ||||||||
393,221 | ITV Plc * | 626,709 | ||||||||
861,960 | JD Sports Fashion Plc | 11,969,388 |
20 | 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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
40,985 | Johnson Matthey Plc | 1,656,974 | ||||||||
4,405,011 | Kingfisher Plc | 21,210,220 | ||||||||
3,532,639 | Legal & General Group Plc | 13,122,454 | ||||||||
197,108 | M&G Plc | 558,338 | ||||||||
292,107 | Next Plc | 31,766,920 | ||||||||
629,949 | Persimmon Plc | 25,494,945 | ||||||||
623,269 | Pets at Home Group Plc | 4,291,948 | ||||||||
230,080 | Plus500 Ltd | 4,730,075 | ||||||||
244,772 | QinetiQ Group Plc | 1,162,883 | ||||||||
110,213 | Reach Plc | 620,219 | ||||||||
1,702,332 | Royal Mail Plc | 11,594,154 | ||||||||
23,131 | Savills Plc | 434,630 | ||||||||
38,026 | Schroders Plc | 1,976,982 | ||||||||
385,599 | Spirent Communications Plc | 1,579,249 | ||||||||
901,793 | Tate & Lyle Plc | 8,758,320 | ||||||||
37,986 | Travis Perkins Plc * | 941,094 | ||||||||
254,152 | Vesuvius Plc | 1,964,185 | ||||||||
24,532 | Vistry Group Plc | 408,597 | ||||||||
233,907 | WPP Plc | 3,171,509 | ||||||||
|
| |||||||||
Total United Kingdom | 392,545,680 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $1,999,910,840) | 2,171,364,302 | |||||||||
|
| |||||||||
PREFERRED STOCKS (c) — 1.6% | ||||||||||
Germany — 1.6% | ||||||||||
71,098 | Bayerische Motoren Werke AG | 5,952,175 | ||||||||
7,455 | Draegerwerk AG & Co KGaA | 629,592 | ||||||||
49,148 | Henkel AG & Co KGaA | 4,801,912 | ||||||||
108,783 | Volkswagen AG | 25,874,530 | ||||||||
|
| |||||||||
Total Germany | 37,258,209 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $32,369,144) | 37,258,209 | |||||||||
|
|
Shares / Par Value† | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 4.0% | ||||||||||
Money Market Funds — 0.2% | ||||||||||
3,951,614 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (d) | 3,951,614 | ||||||||
|
| |||||||||
U.S. Government — 3.8% |
| |||||||||
17,400,000 | U.S. Treasury Bill, 0.06%, due 05/19/22 (e) | 17,393,088 | ||||||||
23,300,000 | U.S. Treasury Bill, 0.06%, due 06/16/22 (e) | 23,288,257 | ||||||||
44,900,000 | U.S. Treasury Bill, 0.06%, due 07/14/22 (e) | 44,875,170 | ||||||||
|
| |||||||||
Total U.S. Government | 85,556,515 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $89,506,279) | 89,508,129 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 101.8% (Cost $2,121,786,263) | 2,298,130,640 | |||||||||
Other Assets and Liabilities (net) — (1.8%) | (40,407,839 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $2,257,722,801 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2021 is as follows:
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Buys 193 | MSCI EAFE | September 2021 | $ | 22,691,975 | $ | (79,325 | ) | |||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
As of August 31, 2021, 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) | 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, 2021. |
(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. | 21 |
GMO-Usonian Japan Value Creation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2021 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 97.2 | % | ||
Short-Term Investments | 2.7 | |||
Other | 0.1 | |||
|
| |||
100.0 | % | |||
|
| |||
Industry Group Summary | % of Equity Investments# | |||
Capital Goods | 21.9 | % | ||
Materials | 10.0 | |||
Diversified Financials | 9.5 | |||
Technology Hardware & Equipment | 7.5 | |||
Food, Beverage & Tobacco | 6.7 | |||
Banks | 5.7 | |||
Commercial & Professional Services | 5.2 | |||
Automobiles & Components | 5.1 | |||
Semiconductors & Semiconductor Equipment | 5.1 | |||
Consumer Durables & Apparel | 4.7 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 3.5 | |||
Insurance | 3.1 | |||
Telecommunication Services | 2.8 | |||
Real Estate | 2.6 | |||
Media & Entertainment | 2.4 | |||
Transportation | 2.2 | |||
Retailing | 2.0 | |||
|
| |||
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. |
22 |
GMO-Usonian Japan Value Creation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 97.2% |
| |||||||||
Automobiles & Components — 5.0% | ||||||||||
157,600 | Honda Motor Co Ltd | 4,770,018 | ||||||||
43,000 | Toyota Industries Corp | 3,630,517 | ||||||||
|
| |||||||||
Total Automobiles & Components | 8,400,535 | |||||||||
|
| |||||||||
Banks — 5.6% | ||||||||||
1,112,600 | Mitsubishi UFJ Financial Group Inc | 6,036,345 | ||||||||
101,600 | Sumitomo Mitsui Trust Holdings Inc | 3,318,581 | ||||||||
|
| |||||||||
Total Banks | 9,354,926 | |||||||||
|
| |||||||||
Capital Goods — 21.3% | ||||||||||
358,600 | Amada Co Ltd | 3,635,190 | ||||||||
76,200 | Ebara Corp | 3,787,672 | ||||||||
196,900 | Fuji Corp | 5,097,141 | ||||||||
330,200 | Hazama Ando Corp | 2,462,895 | ||||||||
109,900 | Hitachi Ltd | 6,073,789 | ||||||||
185,200 | Kyowa Exeo Corp | 4,647,552 | ||||||||
132,600 | Kyudenko Corp | 4,767,900 | ||||||||
458,400 | Penta-Ocean Construction Co Ltd | 2,909,454 | ||||||||
158,500 | Takuma Co Ltd | 2,388,483 | ||||||||
|
| |||||||||
Total Capital Goods | 35,770,076 | |||||||||
|
| |||||||||
Commercial & Professional Services — 5.1% | ||||||||||
53,700 | Secom Co Ltd | 4,072,218 | ||||||||
262,000 | Toppan Inc | 4,497,764 | ||||||||
|
| |||||||||
Total Commercial & Professional Services | 8,569,982 | |||||||||
|
| |||||||||
Consumer Durables & Apparel — 4.5% | ||||||||||
240,000 | Haseko Corp | 3,319,215 | ||||||||
33,000 | Sega Sammy Holdings Inc | 445,091 | ||||||||
199,500 | Sumitomo Forestry Co Ltd | 3,892,884 | ||||||||
|
| |||||||||
Total Consumer Durables & Apparel | 7,657,190 | |||||||||
|
| |||||||||
Diversified Financials — 9.3% | ||||||||||
78,000 | JAFCO Group Co Ltd | 4,710,780 | ||||||||
357,100 | ORIX Corp | 6,662,583 | ||||||||
88,700 | Zenkoku Hosho Co Ltd | 4,219,273 | ||||||||
|
| |||||||||
Total Diversified Financials | 15,592,636 | |||||||||
|
| |||||||||
Food, Beverage & Tobacco — 6.5% | ||||||||||
114,900 | Morinaga & Co Ltd | 4,029,590 | ||||||||
99,300 | NH Foods Ltd | 3,853,156 | ||||||||
241,800 | Takara Holdings Inc | 3,133,748 | ||||||||
|
| |||||||||
Total Food, Beverage & Tobacco | 11,016,494 | |||||||||
|
| |||||||||
Insurance — 3.0% | ||||||||||
155,600 | MS&AD Insurance Group Holdings Inc | 5,036,596 | ||||||||
|
|
Shares | Description | Value ($) | ||||||||
Materials — 9.7% | ||||||||||
122,300 | Denka Co Ltd | 4,286,647 | ||||||||
134,700 | Maruichi Steel Tube Ltd | 3,311,873 | ||||||||
289,500 | Teijin Ltd | 4,163,842 | ||||||||
254,400 | Tosoh Corp | 4,617,464 | ||||||||
|
| |||||||||
Total Materials | 16,379,826 | |||||||||
|
| |||||||||
Media & Entertainment — 2.3% | ||||||||||
86,200 | Kadokawa Corp | 3,953,204 | ||||||||
|
| |||||||||
Pharmaceuticals, Biotechnology & Life Sciences — 3.4% | ||||||||||
18,300 | Sawai Group Holdings Co Ltd | 827,021 | ||||||||
141,300 | Tsumura & Co | 4,858,376 | ||||||||
|
| |||||||||
Total Pharmaceuticals, Biotechnology & Life Sciences | 5,685,397 | |||||||||
|
| |||||||||
Real Estate — 2.5% | ||||||||||
278,000 | Aeon Mall Co Ltd | 4,233,694 | ||||||||
|
| |||||||||
Retailing — 2.0% | ||||||||||
303,900 | K’s Holdings Corp | 3,321,842 | ||||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment — 4.9% | ||||||||||
36,800 | Rohm Co Ltd | 3,537,838 | ||||||||
108,300 | Tokyo Seimitsu Co Ltd | 4,730,670 | ||||||||
|
| |||||||||
Total Semiconductors & Semiconductor Equipment | 8,268,508 | |||||||||
|
| |||||||||
Technology Hardware & Equipment — 7.3% | ||||||||||
146,000 | Amano Corp | 3,706,233 | ||||||||
290,100 | Daiwabo Holdings Co Ltd | 5,511,899 | ||||||||
42,600 | Horiba Ltd | 3,044,434 | ||||||||
|
| |||||||||
Total Technology Hardware & Equipment | 12,262,566 | |||||||||
|
| |||||||||
Telecommunication Services — 2.7% | ||||||||||
150,700 | KDDI Corp | 4,606,202 | ||||||||
|
| |||||||||
Transportation — 2.1% | ||||||||||
75,700 | Sankyu Inc | 3,522,821 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $144,314,485) | 163,632,495 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 2.7% | ||||||||||
Money Market Funds — 2.7% | ||||||||||
4,584,919 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a) | 4,584,919 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $4,584,919) | 4,584,919 | |||||||||
|
|
See accompanying notes to the financial statements. | 23 |
GMO-Usonian Japan Value Creation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
TOTAL INVESTMENTS — 99.9% (Cost $148,899,404) | 168,217,414 | |||||||||
Other Assets and Liabilities (net) — 0.1% | 92,115 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $168,309,529 | |||||||||
|
|
Notes to Schedule of Investments:
(a) | The rate disclosed is the 7 day net yield as of August 31, 2021. |
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. |
GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund)
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2021 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 96.3 | % | ||
Preferred Stocks | 2.9 | |||
Mutual Funds | 0.5 | |||
Short-Term Investments | 0.2 | |||
Other | 0.1 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | % of Investments | |||
United States | 47.9 | % | ||
United Kingdom | 11.3 | |||
France | 8.5 | |||
Mexico | 6.2 | |||
Canada | 5.2 | |||
Russia | 4.6 | |||
Spain | 4.4 | |||
Brazil | 2.9 | |||
Ireland | 2.7 | |||
Finland | 2.5 | |||
Germany | 2.2 | |||
China | 1.6 | |||
|
| |||
100.0 | % | |||
|
| |||
Industry Group Summary | % of Equity Investments# | |||
Consumer Durables & Apparel | 15.1 | % | ||
Energy | 14.8 | |||
Consumer Services | 10.3 | |||
Materials | 10.0 | |||
Diversified Financials | 8.5 | |||
Capital Goods | 6.1 | |||
Banks | 6.0 | |||
Transportation | 5.7 | |||
Food, Beverage & Tobacco | 5.0 | |||
Software & Services | 4.1 | |||
Technology Hardware & Equipment | 3.3 | |||
Automobiles & Components | 2.6 | |||
Insurance | 2.4 | |||
Retailing | 2.3 | |||
Household & Personal Products | 2.2 | |||
Media & Entertainment | 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). |
¤ | 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. |
# | 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 Cyclicals Fund (formerly GMO Cyclical Focus Fund)
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 96.3% |
| |||||||||
Canada — 5.2% | ||||||||||
74,734 | Brookfield Asset Management Inc – Class A | 4,151,474 | ||||||||
53,055 | Nutrien Ltd | 3,219,908 | ||||||||
|
| |||||||||
Total Canada | 7,371,382 | |||||||||
|
| |||||||||
China — 1.6% | ||||||||||
37,002 | Tencent Holdings Ltd | 2,285,346 | ||||||||
|
| |||||||||
Finland — 2.5% | ||||||||||
57,084 | Neste Oyj | 3,477,096 | ||||||||
|
| |||||||||
France — 8.5% | ||||||||||
4,067 | Kering SA | 3,239,449 | ||||||||
5,187 | LVMH Moet Hennessy Louis Vuitton SE | 3,842,582 | ||||||||
38,923 | Safran SA | 4,882,719 | ||||||||
|
| |||||||||
Total France | 11,964,750 | |||||||||
|
| |||||||||
Germany — 2.2% | ||||||||||
25,947 | Beiersdorf AG | 3,149,034 | ||||||||
|
| |||||||||
Ireland — 2.7% | ||||||||||
202,900 | Ryanair Holdings Plc * | 3,795,537 | ||||||||
|
| |||||||||
Mexico — 6.1% | ||||||||||
436,044 | Fomento Economico Mexicano SAB de CV | 3,788,789 | ||||||||
1,055,718 | Grupo Mexico SAB de CV – Series B | 4,894,865 | ||||||||
|
| |||||||||
Total Mexico | 8,683,654 | |||||||||
|
| |||||||||
Russia — 4.6% | ||||||||||
33,831 | LUKOIL PJSC Sponsored ADR | 2,865,451 | ||||||||
15,375 | Novatek PJSC Sponsored GDR (Registered) | 3,644,086 | ||||||||
|
| |||||||||
Total Russia | 6,509,537 | |||||||||
|
| |||||||||
Spain — 4.3% | ||||||||||
48,424 | Amadeus IT Group SA * | 2,957,635 | ||||||||
93,162 | Industria de Diseno Textil SA | 3,182,545 | ||||||||
|
| |||||||||
Total Spain | 6,140,180 | |||||||||
|
| |||||||||
United Kingdom — 11.3% | ||||||||||
52,767 | Berkeley Group Holdings Plc (The) | 3,505,027 | ||||||||
237,381 | Compass Group Plc * | 4,904,280 | ||||||||
97,206 | Persimmon Plc | 3,934,067 | ||||||||
185,453 | Royal Dutch Shell Plc – B Shares | 3,649,271 | ||||||||
|
| |||||||||
Total United Kingdom | 15,992,645 | |||||||||
|
| |||||||||
United States — 47.3% | ||||||||||
25,415 | American Express Co. | 4,217,873 | ||||||||
1,568 | Booking Holdings, Inc. * | 3,605,882 | ||||||||
85,193 | BorgWarner, Inc. | 3,636,037 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
26,158 | Chevron Corp. | 2,531,310 | ||||||||
58,002 | Coca-Cola Co. (The) | 3,266,093 | ||||||||
53,599 | EOG Resources, Inc. | 3,619,004 | ||||||||
17,249 | Global Payments, Inc. | 2,805,377 | ||||||||
30,157 | Green Plains, Inc. * | 1,058,511 | ||||||||
30,787 | Hasbro, Inc. | 3,026,670 | ||||||||
28,993 | Hilton Worldwide Holdings, Inc. * | 3,620,066 | ||||||||
29,319 | Intercontinental Exchange, Inc. | 3,504,500 | ||||||||
50,952 | Las Vegas Sands Corp. * | 2,272,969 | ||||||||
87,337 | Lyft, Inc. – Class A * | 4,158,115 | ||||||||
2,707 | Markel Corp. * | 3,438,567 | ||||||||
42,880 | Raytheon Technologies Corp. | 3,634,509 | ||||||||
78,657 | Sensata Technologies Holding Plc * | 4,654,921 | ||||||||
80,662 | US Bancorp | 4,629,192 | ||||||||
90,412 | Verso Corp. – Class A | 1,722,349 | ||||||||
48,022 | VF Corp. | 3,672,242 | ||||||||
84,633 | Wells Fargo & Co. | 3,867,728 | ||||||||
|
| |||||||||
Total United States | 66,941,915 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $102,929,531) | 136,311,076 | |||||||||
|
| |||||||||
PREFERRED STOCKS (a) — 2.9% | ||||||||||
Brazil — 2.9% | ||||||||||
340,560 | Bradespar SA | 4,159,195 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $2,188,872) | 4,159,195 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 0.5% | ||||||||||
United States — 0.5% | ||||||||||
Affiliated Issuers — 0.5% | ||||||||||
125,645 | GMO U.S. Treasury Fund | 633,249 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $633,249) | 633,249 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.2% | ||||||||||
Money Market Funds — 0.2% | ||||||||||
284,469 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (b) | 284,469 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $284,469) | 284,469 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.9% (Cost $106,036,121) | 141,387,989 | |||||||||
Other Assets and Liabilities (net) — 0.1% | 149,919 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $141,537,908 | |||||||||
|
|
26 | See accompanying notes to the financial statements. |
GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2021 (Unaudited)
Notes to Schedule of Investments:
* | 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, 2021. |
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, 2021 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 96.8 | % | ||
Short-Term Investments | 3.0 | |||
Mutual Funds | 0.1 | |||
Other | 0.1 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | % of Investments | |||
United States | 82.9 | % | ||
United Kingdom | 3.9 | |||
Switzerland | 3.4 | |||
Taiwan | 3.4 | |||
France | 3.2 | |||
Germany | 3.2 | |||
|
| |||
100.0 | % | |||
|
| |||
Industry Group Summary | % of Equity Investments# | |||
Software & Services | 22.9 | % | ||
Health Care Equipment & Services | 14.5 | |||
Semiconductors & Semiconductor Equipment | 9.8 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 8.8 | |||
Media & Entertainment | 8.5 | |||
Banks | 6.9 | |||
Technology Hardware & Equipment | 6.8 | |||
Capital Goods | 5.9 | |||
Food, Beverage & Tobacco | 5.7 | |||
Retailing | 2.6 | |||
Household & Personal Products | 2.0 | |||
Consumer Services | 1.9 | |||
Diversified Financials | 1.9 | |||
Consumer Durables & Apparel | 1.0 | |||
Transportation | 0.8 | |||
|
| |||
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. |
# | 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. |
28 |
GMO Quality Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 96.8% |
| |||||||||
Banks — 6.7% | ||||||||||
5,888,732 | US Bancorp | 337,954,330 | ||||||||
6,025,513 | Wells Fargo & Co. | 275,365,944 | ||||||||
|
| |||||||||
Total Banks | 613,320,274 | |||||||||
|
| |||||||||
Capital Goods — 5.7% | ||||||||||
612,265 | 3M Co. | 119,232,486 | ||||||||
624,613 | Knorr-Bremse AG | 75,000,939 | ||||||||
1,418,642 | Otis Worldwide Corp. | 130,827,165 | ||||||||
1,603,238 | Safran SA | 201,119,138 | ||||||||
|
| |||||||||
Total Capital Goods | 526,179,728 | |||||||||
|
| |||||||||
Consumer Durables & Apparel — 1.0% | ||||||||||
120,049 | LVMH Moet Hennessy Louis Vuitton SE | 88,933,507 | ||||||||
|
| |||||||||
Consumer Services — 1.9% | ||||||||||
8,331,828 | Compass Group Plc * | 172,135,162 | ||||||||
|
| |||||||||
Diversified Financials — 1.8% | ||||||||||
994,127 | American Express Co. | 164,985,317 | ||||||||
|
| |||||||||
Food, Beverage & Tobacco — 5.5% | ||||||||||
5,956,290 | Coca-Cola Co. (The) | 335,398,690 | ||||||||
388,820 | Constellation Brands, Inc. – Class A | 82,095,455 | ||||||||
725,815 | Nestle SA (Registered) | 91,662,260 | ||||||||
|
| |||||||||
Total Food, Beverage & Tobacco | 509,156,405 | |||||||||
|
| |||||||||
Health Care Equipment & Services — 14.1% | ||||||||||
1,083,757 | Abbott Laboratories | 136,954,372 | ||||||||
661,213 | Anthem, Inc. | 248,040,833 | ||||||||
436,196 | Cigna Corp. | 92,320,883 | ||||||||
1,965,708 | Medtronic Plc | 262,382,704 | ||||||||
978,332 | Quest Diagnostics, Inc. | 149,518,480 | ||||||||
973,902 | UnitedHealth Group, Inc. | 405,406,185 | ||||||||
|
| |||||||||
Total Health Care Equipment & Services | 1,294,623,457 | |||||||||
|
| |||||||||
Household & Personal Products — 1.9% | ||||||||||
2,943,099 | Unilever Plc (a) | 163,871,439 | ||||||||
209,571 | Unilever Plc (a) | 11,664,143 | ||||||||
|
| |||||||||
Total Household & Personal Products | 175,535,582 | |||||||||
|
| |||||||||
Media & Entertainment — 8.2% | ||||||||||
107,460 | Alphabet, Inc. – Class A * | 310,983,867 | ||||||||
60,870 | Alphabet, Inc. – Class C * | 177,085,439 | ||||||||
707,188 | Facebook, Inc. – Class A * | 268,292,983 | ||||||||
|
| |||||||||
Total Media & Entertainment | 756,362,289 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — 8.5% | ||||||||||
592,241 | Eli Lilly & Co. | 152,969,928 | ||||||||
1,536,616 | Johnson & Johnson | 266,034,328 | ||||||||
1,952,069 | Merck & Co., Inc. | 148,923,344 | ||||||||
188,176 | Organon & Co. | 6,377,285 | ||||||||
531,751 | Roche Holding AG – Genusschein | 213,527,213 | ||||||||
|
| |||||||||
Total Pharmaceuticals, Biotechnology & Life Sciences | 787,832,098 | |||||||||
|
| |||||||||
Retailing — 2.6% | ||||||||||
3,239,735 | TJX Cos, Inc. (The) | 235,593,529 | ||||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment — 9.5% | ||||||||||
205,338 | KLA Corp. | 69,806,706 | ||||||||
434,778 | Lam Research Corp. | 262,962,430 | ||||||||
13,753,790 | Taiwan Semiconductor Manufacturing Co Ltd | 301,692,426 | ||||||||
1,255,549 | Texas Instruments, Inc. | 239,696,860 | ||||||||
|
| |||||||||
Total Semiconductors & Semiconductor Equipment | 874,158,422 | |||||||||
|
| |||||||||
Software & Services — 22.1% | ||||||||||
1,126,095 | Accenture Plc – Class A | 378,998,533 | ||||||||
250,580 | Adobe, Inc. * | 166,309,946 | ||||||||
463,876 | Global Payments, Inc. | 75,444,793 | ||||||||
1,978,180 | Microsoft Corp. | 597,172,978 | ||||||||
4,063,203 | Oracle Corp. | 362,153,283 | ||||||||
487,276 | salesforce.com, Inc. * | 129,259,705 | ||||||||
1,376,467 | SAP SE | 206,759,037 | ||||||||
529,834 | Visa, Inc. – Class A | 121,384,969 | ||||||||
|
| |||||||||
Total Software & Services | 2,037,483,244 | |||||||||
|
| |||||||||
Technology Hardware & Equipment — 6.6% | ||||||||||
2,559,841 | Apple, Inc. | 388,660,659 | ||||||||
3,743,742 | Cisco Systems, Inc. | 220,955,653 | ||||||||
|
| |||||||||
Total Technology Hardware & Equipment | 609,616,312 | |||||||||
|
| |||||||||
Transportation — 0.7% | ||||||||||
1,436,309 | Lyft, Inc. – Class A * | 68,382,672 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $4,721,771,015) | 8,914,297,998 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 0.1% | ||||||||||
Affiliated Issuers — 0.1% | ||||||||||
1,950,587 | GMO U.S. Treasury Fund | 9,830,961 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $9,752,901) | 9,830,961 | |||||||||
|
|
See accompanying notes to the financial statements. | 29 |
GMO Quality Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares / Par Value† | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 3.0% |
| |||||||||
Money Market Funds — 0.2% | ||||||||||
17,806,072 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (b) | 17,806,072 | ||||||||
|
| |||||||||
U.S. Government — 2.8% | ||||||||||
400,000 | U.S. Treasury Bill, 0.06%, due 05/19/22 (c) | 399,841 | ||||||||
107,600,000 | U.S. Treasury Bill, 0.06%, due 06/16/22 (c) | 107,545,770 | ||||||||
149,200,000 | U.S. Treasury Bill, 0.06%, due 07/14/22 (c) | 149,117,492 | ||||||||
|
| |||||||||
Total U.S. Government | 257,063,103 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $274,862,194) | 274,869,175 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.9% (Cost $5,006,386,110) | 9,198,998,134 | |||||||||
Other Assets and Liabilities (net) — 0.1% | 8,293,205 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $9,207,291,339 | |||||||||
|
|
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) | The rate disclosed is the 7 day net yield as of August 31, 2021. |
(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 51.
30 | See accompanying notes to the financial statements. |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2021 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 88.6 | % | ||
Preferred Stocks | 9.5 | |||
Short-Term Investments | 1.7 | |||
Rights/Warrants | 0.0 | ^ | ||
Other | 0.2 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | % of Equity Investments | |||
United States | 27.4 | % | ||
United Kingdom | 13.8 | |||
Russia | 10.4 | |||
Brazil | 9.0 | |||
Canada | 7.9 | |||
Australia | 5.5 | |||
Other Emerging | 4.0 | † | ||
Mexico | 3.0 | |||
China | 3.0 | |||
India | 2.7 | |||
Other Developed | 2.6 | ‡ | ||
Norway | 2.1 | |||
Japan | 2.0 | |||
South Africa | 1.7 | |||
Chile | 1.7 | |||
France | 1.6 | |||
Austria | 1.6 | |||
|
| |||
100.0 | % | |||
|
| |||
Industry Group Summary | % of Equity Investments# | |||
Energy | 51.6 | % | ||
Industrial Metals | 35.6 | |||
Agriculture | 11.6 | |||
Water | 1.2 | |||
Cash/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). |
¤ | 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%. |
31 |
GMO Resources Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 88.6% |
| |||||||||
Argentina — 0.9% | ||||||||||
1,595,654 | Adecoagro SA * | 14,919,365 | ||||||||
|
| |||||||||
Australia — 5.4% | ||||||||||
6,621,392 | Beach Energy Ltd | 5,044,690 | ||||||||
735,000 | Clean TeQ Water Ltd * | 384,448 | ||||||||
2,158,856 | Fortescue Metals Group Ltd | 32,912,304 | ||||||||
6,000,172 | Jupiter Mines Ltd | 1,116,503 | ||||||||
556,246 | Mineral Resources Ltd | 22,127,285 | ||||||||
7,971,535 | Perenti Global Ltd | 5,067,329 | ||||||||
2,612,744 | Sandfire Resources Ltd | 12,309,988 | ||||||||
1,470,000 | Sunrise Energy Metals Ltd * | 1,941,774 | ||||||||
476,888 | Tassal Group Ltd (a) | 1,245,937 | ||||||||
4,533,929 | Western Areas Ltd | 10,172,241 | ||||||||
|
| |||||||||
Total Australia | 92,322,499 | |||||||||
|
| |||||||||
Austria — 1.5% | ||||||||||
468,910 | OMV AG | 25,973,267 | ||||||||
|
| |||||||||
Brazil — 3.3% | ||||||||||
1,096,400 | Enauta Participacoes SA | 2,907,025 | ||||||||
7,449,300 | Petroleo Brasileiro SA | 40,222,878 | ||||||||
2,089,557 | Sao Martinho SA | 12,988,002 | ||||||||
|
| |||||||||
Total Brazil | 56,117,905 | |||||||||
|
| |||||||||
Canada — 7.8% | ||||||||||
822,600 | Anaergia Inc * | 15,093,877 | ||||||||
782,555 | Canadian Solar Inc * (a) | 28,931,059 | ||||||||
343,900 | Enerflex Ltd | 2,090,685 | ||||||||
552,800 | Enerplus Corp | 3,272,576 | ||||||||
685,000 | First Quantum Minerals Ltd | 14,268,458 | ||||||||
1,617,600 | Greenlane Renewables Inc * | 1,871,911 | ||||||||
5,759,800 | Ivanhoe Mines Ltd – Class A * (a) | 46,474,667 | ||||||||
1,561,688 | Largo Resources Ltd *(a) | 21,550,341 | ||||||||
|
| |||||||||
Total Canada | 133,553,574 | |||||||||
|
| |||||||||
China — 2.9% | ||||||||||
8,248,000 | China High Speed Transmission Equipment Group Co Ltd * | 5,966,183 | ||||||||
4,648,000 | China Water Affairs Group Ltd (a) | 4,635,778 | ||||||||
22,662,000 | CNOOC Ltd | 22,495,665 | ||||||||
346,212 | Sungrow Power Supply Co Ltd – Class A | 8,420,414 | ||||||||
4,690,600 | Xinjiang Goldwind Science & Technology Co Ltd – Class H (a) | 8,992,306 | ||||||||
|
| |||||||||
Total China | 50,510,346 | |||||||||
|
| |||||||||
Denmark — 0.4% | ||||||||||
184,793 | Vestas Wind Systems A/S | 7,456,548 | ||||||||
|
|
Shares | Description | Value ($) | ||||||||
Finland — 0.6% | ||||||||||
175,763 | Kemira Oyj | 2,968,112 | ||||||||
122,765 | Neste Oyj | 7,477,853 | ||||||||
|
| |||||||||
Total Finland | 10,445,965 | |||||||||
|
| |||||||||
France — 1.6% | ||||||||||
147,188 | Technip Energies NV * | 1,926,942 | ||||||||
491,272 | TotalEnergies SE | 21,730,245 | ||||||||
58,741 | Vilmorin & Cie SA | 3,801,870 | ||||||||
|
| |||||||||
Total France | 27,459,057 | |||||||||
|
| |||||||||
Hungary — 0.9% | ||||||||||
1,942,578 | MOL Hungarian Oil & Gas Plc | 15,927,228 | ||||||||
|
| |||||||||
India — 2.6% | ||||||||||
10,518,370 | Oil & Natural Gas Corp Ltd | 17,284,970 | ||||||||
2,275,962 | Oil India Ltd | 5,591,249 | ||||||||
5,297,132 | Vedanta Ltd | 21,910,141 | ||||||||
|
| |||||||||
Total India | 44,786,360 | |||||||||
|
| |||||||||
Israel — 0.5% | ||||||||||
24,377 | Delek Group Ltd * | 1,356,190 | ||||||||
79,215 | Equital Ltd * | 2,193,807 | ||||||||
16,178 | Israel Corp Ltd (The) * | 4,911,324 | ||||||||
119,107 | Naphtha Israel Petroleum Corp Ltd * | 546,870 | ||||||||
|
| |||||||||
Total Israel | 9,008,191 | |||||||||
|
| |||||||||
Japan — 2.0% | ||||||||||
234,100 | Ebara Corp | 11,636,405 | ||||||||
1,843,700 | Inpex Corp | 12,667,862 | ||||||||
155,800 | Japan Petroleum Exploration Co Ltd | 2,680,307 | ||||||||
145,900 | Mitsubishi Materials Corp | 2,990,786 | ||||||||
67,400 | Nittetsu Mining Co Ltd | 4,083,702 | ||||||||
|
| |||||||||
Total Japan | 34,059,062 | |||||||||
|
| |||||||||
Mexico — 3.0% | ||||||||||
11,008,240 | Grupo Mexico SAB de CV – Series B | 51,039,997 | ||||||||
|
| |||||||||
Norway — 2.1% | ||||||||||
1,349,409 | Austevoll Seafood ASA | 17,330,526 | ||||||||
4,133,611 | DNO ASA * | 3,748,755 | ||||||||
681,181 | Equinor ASA | 14,437,039 | ||||||||
|
| |||||||||
Total Norway | 35,516,320 | |||||||||
|
| |||||||||
Pakistan — 0.2% | ||||||||||
4,184,258 | Fauji Fertilizer Co Ltd | 2,664,631 | ||||||||
575,177 | Pakistan Oilfields Ltd | 1,345,967 | ||||||||
|
| |||||||||
Total Pakistan | 4,010,598 | |||||||||
|
|
32 | 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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Poland — 0.7% | ||||||||||
7,472,016 | Polskie Gornictwo Naftowe i Gazownictwo SA | 12,289,219 | ||||||||
|
| |||||||||
Russia — 7.9% | ||||||||||
3,525,924 | Gazprom Neft PJSC | 20,506,156 | ||||||||
318,030 | LUKOIL PJSC Sponsored ADR | 26,936,814 | ||||||||
430,229 | MMC Norilsk Nickel PJSC ADR | 14,156,582 | ||||||||
113,392 | Novatek PJSC Sponsored GDR (Registered) | 26,875,463 | ||||||||
1,082,550 | PhosAgro PJSC GDR (Registered) | 21,305,079 | ||||||||
601,778 | Ros Agro Plc GDR (Registered) | 9,652,837 | ||||||||
2,440,627 | Tatneft PJSC | 16,136,355 | ||||||||
|
| |||||||||
Total Russia | 135,569,286 | |||||||||
|
| |||||||||
Singapore — 0.0% | ||||||||||
2,725,600 | Ezra Holdings Ltd * (a) (b) | — | ||||||||
|
| |||||||||
South Africa — 1.7% | ||||||||||
470,330 | African Rainbow Minerals Ltd | 8,381,996 | ||||||||
716,766 | Impala Platinum Holdings Ltd | 10,981,355 | ||||||||
2,410,120 | Sibanye Stillwater Ltd | 9,843,056 | ||||||||
|
| |||||||||
Total South Africa | 29,206,407 | |||||||||
|
| |||||||||
South Korea — 0.4% | ||||||||||
9,258 | Korea Zinc Co Ltd | 4,240,244 | ||||||||
4,769 | Young Poong Corp | 2,934,025 | ||||||||
|
| |||||||||
Total South Korea | 7,174,269 | |||||||||
|
| |||||||||
Spain — 0.7% | ||||||||||
1,019,259 | Repsol SA | 11,696,156 | ||||||||
|
| |||||||||
Switzerland — 0.3% | ||||||||||
2,618 | Gurit Holding AG | 5,409,621 | ||||||||
|
| |||||||||
Turkey — 0.3% | ||||||||||
3,170,795 | Koza Anadolu Metal Madencilik Isletmeleri AS * | 6,060,388 | ||||||||
|
| |||||||||
Ukraine — 0.4% | ||||||||||
501,341 | Kernel Holding SA | 7,492,652 | ||||||||
|
| |||||||||
United Kingdom — 13.6% | ||||||||||
674,746 | Anglo American Plc | 28,498,235 | ||||||||
767,448 | BHP Group Plc | 23,864,512 | ||||||||
1,120,507 | BP Plc | 4,558,552 | ||||||||
1,461,402 | Central Asia Metals Plc | 5,030,165 | ||||||||
2,141,887 | Ferrexpo Plc | 11,225,957 | ||||||||
14,216,776 | Glencore Plc * | 64,085,418 | ||||||||
1,882,238 | John Wood Group Plc * | 6,467,079 | ||||||||
1,053,308 | Petrofac Ltd * (a) | 1,525,926 | ||||||||
4,462,954 | Royal Dutch Shell Plc – B Shares | 87,820,256 | ||||||||
|
| |||||||||
Total United Kingdom | 233,076,100 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
United States — 26.9% | ||||||||||
1,017,717 | Aemetis, Inc. * (a) | 11,317,013 | ||||||||
258,800 | AGCO Corp. | 35,616,056 | ||||||||
496,400 | Ameresco, Inc. – Class A * | 34,326,060 | ||||||||
259,000 | Baker Hughes Co. | 5,900,020 | ||||||||
6,703,666 | Clean Energy Fuels Corp. * | 53,160,071 | ||||||||
497,700 | Darling Ingredients, Inc. * | 37,078,650 | ||||||||
47,300 | Deere & Co. | 17,880,819 | ||||||||
737,982 | Freeport-McMoRan, Inc. | 26,855,165 | ||||||||
1,369,124 | GrafTech International Ltd. | 15,156,203 | ||||||||
365,100 | Green Plains, Inc. * | 12,815,010 | ||||||||
22,465,401 | Kosmos Energy Ltd. * (c) | 53,018,346 | ||||||||
1,334,700 | Livent Corp. * (a) | 33,193,989 | ||||||||
513,343 | Montauk Renewables, Inc. * (a) | 4,240,213 | ||||||||
1,438,621 | Mosaic Co. (The) | 46,294,824 | ||||||||
492,700 | ProPetro Holding Corp. * | 3,813,498 | ||||||||
596,946 | Renewable Energy Group, Inc. * | 28,904,125 | ||||||||
87,755 | SolarEdge Technologies, Inc. * | 25,429,644 | ||||||||
326,218 | Sunrun, Inc. * (a) | 14,435,147 | ||||||||
240,600 | Talos Energy, Inc. * | 2,983,440 | ||||||||
|
| |||||||||
Total United States | 462,418,293 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $1,289,514,093) | 1,523,498,673 | |||||||||
|
| |||||||||
PREFERRED STOCKS (d) — 9.5% | ||||||||||
Brazil — 5.6% | ||||||||||
6,172,360 | Bradespar SA | 75,381,863 | ||||||||
3,845,300 | Petroleo Brasileiro SA | 20,220,025 | ||||||||
|
| |||||||||
Total Brazil | 95,601,888 | |||||||||
|
| |||||||||
Chile — 1.6% | ||||||||||
530,395 | Sociedad Quimica y Minera de Chile SA Sponsored ADR | 27,660,099 | ||||||||
|
| |||||||||
Russia — 2.3% | ||||||||||
94,186 | Bashneft PJSC | 1,379,512 | ||||||||
16,540,484 | Surgutneftegas PJSC | 8,724,946 | ||||||||
4,706,402 | Tatneft PJSC | 29,383,977 | ||||||||
|
| |||||||||
Total Russia | 39,488,435 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $140,172,542) | 162,750,422 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.0% | ||||||||||
Singapore — 0.0% | ||||||||||
2,117,812 | Ezion Holdings Ltd, Expires 04/16/23* (a) (b) | — | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $0) | — | |||||||||
|
|
See accompanying notes to the financial statements. | 33 |
GMO Resources Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares / Par Value† | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 1.7% | ||||||||||
Money Market Funds — 0.2% | ||||||||||
3,477,640 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (e) | 3,477,640 | ||||||||
|
| |||||||||
U.S. Government — 1.5% | ||||||||||
14,600,000 | U.S. Treasury Bill, 0.06%, due 07/14/22 (f) | 14,591,926 | ||||||||
11,200,000 | U.S. Treasury Bill, 0.07%, due 08/11/22 (f) | 11,192,509 | ||||||||
|
| |||||||||
Total U.S. Government | 25,784,435 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $29,263,119) | 29,262,075 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.8% (Cost $1,458,949,754) | 1,715,511,170 | |||||||||
Other Assets and Liabilities (net) — 0.2% | 3,149,679 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $1,718,660,849 | |||||||||
|
|
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) | Affiliated companies (Note 10). |
(d) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
(e) | The rate disclosed is the 7 day net yield as of August 31, 2021. |
(f) | 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.
34 | See accompanying notes to the financial statements. |
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2021 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 95.9 | % | ||
Mutual Funds | 2.8 | |||
Preferred Stocks | 2.2 | |||
Short-Term Investments | 0.1 | |||
Futures Contracts | 0.0 | ^ | ||
Other | (1.0 | ) | ||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | % of Investments | |||
Japan | 19.1 | % | ||
United Kingdom | 15.4 | |||
Germany | 9.2 | |||
France | 8.2 | |||
Netherlands | 6.5 | |||
Switzerland | 6.0 | |||
Spain | 4.9 | |||
Singapore | 3.7 | |||
Australia | 3.4 | |||
Italy | 3.2 | |||
United States | 2.8 | |||
Other Emerging | 2.6 | † | ||
China | 2.0 | |||
Other Developed | 2.0 | ‡ | ||
South Korea | 1.9 | |||
Portugal | 1.7 | |||
Hong Kong | 1.6 | |||
Norway | 1.5 | |||
Russia | 1.3 | |||
Taiwan | 1.2 | |||
Ireland | 1.0 | |||
Euro Region | 0.8 | § | ||
|
| |||
100.0 | % | |||
|
|
Industry Group Summary | % of Equity Investments# | |||
Capital Goods | 13.4 | % | ||
Banks | 11.7 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 11.6 | |||
Materials | 10.3 | |||
Automobiles & Components | 7.3 | |||
Telecommunication Services | 6.5 | |||
Food, Beverage & Tobacco | 6.3 | |||
Consumer Durables & Apparel | 4.7 | |||
Utilities | 3.5 | |||
Retailing | 3.4 | |||
Diversified Financials | 2.9 | |||
Insurance | 2.8 | |||
Food & Staples Retailing | 2.5 | |||
Transportation | 2.4 | |||
Software & Services | 2.1 | |||
Technology Hardware & Equipment | 2.1 | |||
Semiconductors & Semiconductor Equipment | 1.8 | |||
Commercial & Professional Services | 1.6 | |||
Energy | 1.3 | |||
Media & Entertainment | 0.8 | |||
Health Care Equipment & Services | 0.5 | |||
Household & Personal Products | 0.3 | |||
Real Estate | 0.2 | |||
|
| |||
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 Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
§ | “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country. |
# | 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%. |
35 |
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 95.9% |
| |||||||||
Australia — 3.4% | ||||||||||
6,116 | Accent Group Ltd | 9,587 | ||||||||
25,801 | Fortescue Metals Group Ltd | 393,343 | ||||||||
11,833 | Rio Tinto Ltd | 962,793 | ||||||||
6,930 | Sandfire Resources Ltd | 32,651 | ||||||||
1,383 | Sims Ltd | 15,196 | ||||||||
|
| |||||||||
Total Australia | 1,413,570 | |||||||||
|
| |||||||||
Belgium — 0.9% | ||||||||||
2,087 | Ageas SA/NV | 104,294 | ||||||||
469 | Groupe Bruxelles Lambert SA | 53,731 | ||||||||
1,750 | UCB SA | 200,216 | ||||||||
|
| |||||||||
Total Belgium | 358,241 | |||||||||
|
| |||||||||
Brazil — 0.6% | ||||||||||
14,900 | Cielo SA | 8,270 | ||||||||
6,700 | EDP – Energias do Brasil SA | 23,893 | ||||||||
3,600 | Fleury SA | 16,473 | ||||||||
30,100 | Marfrig Global Foods SA | 119,275 | ||||||||
32,300 | TIM SA | 77,833 | ||||||||
|
| |||||||||
Total Brazil | 245,744 | |||||||||
|
| |||||||||
China — 2.1% | ||||||||||
38,000 | China CITIC Bank Corp Ltd – Class H | 17,470 | ||||||||
20,000 | China Everbright Bank Co Ltd – Class H | 7,168 | ||||||||
36,000 | China Everbright Environment Group Ltd | 24,889 | ||||||||
119,000 | China Hongqiao Group Ltd | 176,503 | ||||||||
50,000 | China Lesso Group Holdings Ltd | 107,017 | ||||||||
54,000 | China Medical System Holdings Ltd | 105,989 | ||||||||
290,000 | China Railway Group Ltd – Class H | 138,888 | ||||||||
72,500 | China Resources Pharmaceutical Group Ltd | 37,704 | ||||||||
48,000 | China Traditional Chinese Medicine Holdings Co Ltd * | 22,847 | ||||||||
30,000 | Metallurgical Corp of China Ltd – Class H | 11,933 | ||||||||
7,000 | Nexteer Automotive Group Ltd | 7,883 | ||||||||
11,000 | PAX Global Technology Ltd | 13,600 | ||||||||
50,300 | Shanghai Pharmaceuticals Holding Co Ltd – Class H | 99,787 | ||||||||
16,800 | Sinopharm Group Co Ltd – Class H | 43,235 | ||||||||
24,000 | TCL Electronics Holdings Ltd * | 12,714 | ||||||||
20,000 | Tianneng Power International Ltd | 26,767 | ||||||||
|
| |||||||||
Total China | 854,394 | |||||||||
|
| |||||||||
Denmark — 0.1% | ||||||||||
2,425 | Scandinavian Tobacco Group A/S | 49,249 | ||||||||
|
| |||||||||
Finland — 0.4% | ||||||||||
4,309 | Kesko Oyj – B Shares | 178,304 | ||||||||
|
|
Shares | Description | Value ($) | ||||||||
France — 8.3% | ||||||||||
136 | Alten SA | 22,434 | ||||||||
9,330 | ArcelorMittal SA | 312,928 | ||||||||
15,150 | BNP Paribas SA | 959,750 | ||||||||
65 | Christian Dior SE | 49,136 | ||||||||
13,001 | Cie de Saint-Gobain | 942,481 | ||||||||
17,357 | Credit Agricole SA | 250,526 | ||||||||
1,060 | Derichebourg SA * | 12,547 | ||||||||
432 | Kaufman & Broad SA | 20,120 | ||||||||
1,207 | Quadient SA | 34,276 | ||||||||
4,784 | Sanofi | 495,807 | ||||||||
753 | Schneider Electric SE | 134,536 | ||||||||
253 | SEB SA | 39,825 | ||||||||
195 | Societe BIC SA | 12,982 | ||||||||
2,817 | Societe Generale SA | 88,663 | ||||||||
2,470 | Television Francaise 1 | 24,794 | ||||||||
806 | TotalEnergies SE | 35,651 | ||||||||
|
| |||||||||
Total France | 3,436,456 | |||||||||
|
| |||||||||
Germany — 7.2% | ||||||||||
6,077 | Bayerische Motoren Werke AG | 576,821 | ||||||||
153 | CECONOMY AG * | 717 | ||||||||
11,266 | Daimler AG (Registered) | 950,341 | ||||||||
6,376 | Deutsche Post AG (Registered) | 448,291 | ||||||||
2,162 | Dialog Semiconductor Plc * | 171,848 | ||||||||
1,638 | HeidelbergCement AG | 142,058 | ||||||||
310 | Hornbach Holding AG & Co KGaA | 33,162 | ||||||||
883 | Kloeckner & Co SE * | 11,922 | ||||||||
809 | Merck KGaA | 192,216 | ||||||||
2,001 | ProSiebenSat.1 Media SE | 38,202 | ||||||||
1,958 | RTL Group SA * | 121,669 | ||||||||
401 | Traton SE | 11,838 | ||||||||
836 | Volkswagen AG | 279,719 | ||||||||
|
| |||||||||
Total Germany | 2,978,804 | |||||||||
|
| |||||||||
Hong Kong — 1.6% | ||||||||||
3,000 | CK Hutchison Holdings Ltd | 21,870 | ||||||||
11,200 | Dah Sing Banking Group Ltd | 10,771 | ||||||||
96,000 | IGG Inc | 91,690 | ||||||||
9,500 | Johnson Electric Holdings Ltd | 21,756 | ||||||||
5,300 | VTech Holdings Ltd | 51,480 | ||||||||
524,000 | WH Group Ltd | 454,500 | ||||||||
|
| |||||||||
Total Hong Kong | 652,067 | |||||||||
|
| |||||||||
Hungary — 0.2% | ||||||||||
3,883 | Magyar Telekom Telecommunications Plc | 5,661 | ||||||||
2,515 | Richter Gedeon Nyrt | 75,382 | ||||||||
|
| |||||||||
Total Hungary | 81,043 | |||||||||
|
|
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
India — 0.7% | ||||||||||
1,120 | Glenmark Pharmaceuticals Ltd | 8,118 | ||||||||
7,920 | Mahindra & Mahindra Ltd | 85,803 | ||||||||
13,240 | Power Finance Corp Ltd | 23,295 | ||||||||
1,169 | Rajesh Exports Ltd | 9,357 | ||||||||
82,620 | REC Ltd | 171,218 | ||||||||
|
| |||||||||
Total India | 297,791 | |||||||||
|
| |||||||||
Ireland — 1.1% | ||||||||||
4,661 | Bank of Ireland Group Plc * | 29,174 | ||||||||
2,694 | CRH Plc | 143,327 | ||||||||
3,460 | CRH Plc Sponsored ADR | 183,795 | ||||||||
349 | Kingspan Group Plc | 39,854 | ||||||||
668 | Smurfit Kappa Group Plc | 38,286 | ||||||||
|
| |||||||||
Total Ireland | 434,436 | |||||||||
|
| |||||||||
Italy — 3.3% | ||||||||||
9,606 | A2A SPA | 21,104 | ||||||||
3,234 | Anima Holding SPA | 16,681 | ||||||||
3,466 | Arnoldo Mondadori Editore SPA * | 7,652 | ||||||||
2,203 | Banca Mediolanum SPA | 22,871 | ||||||||
6,600 | CNH Industrial NV (a) | 108,834 | ||||||||
917 | CNH Industrial NV (a) | 15,159 | ||||||||
1,103 | De’ Longhi SPA | 49,919 | ||||||||
22,108 | Enel SPA | 201,414 | ||||||||
1,257 | Esprinet SPA | 24,024 | ||||||||
5,556 | EXOR NV | 463,556 | ||||||||
3,668 | Italgas SPA | 24,317 | ||||||||
4,523 | Mediobanca Banca di Credito Finanziario SPA * | 53,319 | ||||||||
7,750 | Poste Italiane SPA | 105,074 | ||||||||
132,094 | Telecom Italia SPA | 59,848 | ||||||||
205,165 | Telecom Italia SPA – RSP | 99,122 | ||||||||
1,380 | Unieuro SPA | 36,058 | ||||||||
5,016 | Unipol Gruppo SPA | 29,750 | ||||||||
|
| |||||||||
Total Italy | 1,338,702 | |||||||||
|
| |||||||||
Japan — 19.5% | ||||||||||
1,100 | Advantest Corp | 94,767 | ||||||||
1,100 | Aisin Corp | 41,989 | ||||||||
29,400 | Asahi Kasei Corp | 303,116 | ||||||||
30,500 | Astellas Pharma Inc | 513,922 | ||||||||
9,000 | Brother Industries Ltd | 184,694 | ||||||||
2,300 | Canon Inc | 54,722 | ||||||||
1,200 | Daiwa House Industry Co Ltd | 36,592 | ||||||||
5,900 | Daiwabo Holdings Co Ltd | 112,100 | ||||||||
1,200 | Dexerials Corp | 23,437 | ||||||||
1,000 | Fuji Electric Co Ltd | 43,261 | ||||||||
4,100 | Fujitsu Ltd | 754,756 | ||||||||
10,600 | Hitachi Ltd | 585,825 | ||||||||
1,300 | Hitachi Zosen Corp | 9,404 | ||||||||
2,200 | Iida Group Holdings Co Ltd | 55,852 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
2,700 | Inpex Corp | 18,551 | ||||||||
30,700 | ITOCHU Corp | 923,490 | ||||||||
3,800 | Japan Post Insurance Co Ltd | 69,008 | ||||||||
3,900 | Japan Tobacco Inc | 75,670 | ||||||||
100 | K’s Holdings Corp | 1,093 | ||||||||
3,900 | Kajima Corp | 50,389 | ||||||||
30,300 | KDDI Corp | 926,131 | ||||||||
200 | Kohnan Shoji Co Ltd | 6,594 | ||||||||
800 | Komeri Co Ltd | 18,344 | ||||||||
7,100 | Konica Minolta Inc | 36,033 | ||||||||
12,600 | Marubeni Corp | 100,250 | ||||||||
1,000 | MCJ Co Ltd | 11,143 | ||||||||
5,300 | Mitsubishi Chemical Holdings Corp | 46,534 | ||||||||
800 | Mitsubishi Gas Chemical Co Inc | 15,074 | ||||||||
74,500 | Mitsubishi UFJ Financial Group Inc | 404,195 | ||||||||
11,100 | Mitsui & Co Ltd | 244,817 | ||||||||
300 | Mitsui OSK Lines Ltd | 23,123 | ||||||||
3,100 | NEC Networks & System Integration Corp | 59,092 | ||||||||
1,000 | Nichias Corp | 26,522 | ||||||||
500 | Nihon Jyoho Create Co Ltd | 6,872 | ||||||||
34,400 | Nippon Telegraph & Telephone Corp | 916,512 | ||||||||
4,100 | Obayashi Corp | 33,736 | ||||||||
8,200 | Panasonic Corp | 98,032 | ||||||||
9,800 | Renesas Electronics Corp * | 104,937 | ||||||||
3,300 | Ricoh Co Ltd | 33,579 | ||||||||
4,200 | Sekisui Chemical Co Ltd | 71,880 | ||||||||
3,400 | Sekisui House Ltd | 67,739 | ||||||||
30,100 | Sojitz Corp | 88,372 | ||||||||
94,100 | Sumitomo Chemical Co Ltd | 477,051 | ||||||||
800 | Tokyo Seimitsu Co Ltd | 34,945 | ||||||||
200 | Tosoh Corp | 3,630 | ||||||||
4,400 | Toyota Tsusho Corp | 194,559 | ||||||||
700 | TS Tech Co Ltd | 9,482 | ||||||||
|
| |||||||||
Total Japan | 8,011,816 | |||||||||
|
| |||||||||
Malta — 0.0% | ||||||||||
1,718,063 | BGP Holdings Plc * (b) | — | ||||||||
|
| |||||||||
Netherlands — 6.6% | ||||||||||
504 | ASM International NV | 195,548 | ||||||||
4,538 | ASR Nederland NV | 207,363 | ||||||||
13,336 | ING Groep NV | 183,962 | ||||||||
19,912 | Koninklijke Ahold Delhaize NV | 671,780 | ||||||||
2,984 | NN Group NV | 154,788 | ||||||||
57,794 | PostNL NV | 302,430 | ||||||||
6,076 | Randstad NV | 447,474 | ||||||||
7,720 | Signify NV | 432,495 | ||||||||
5,251 | Stellantis NV | 105,260 | ||||||||
1,641 | TomTom NV * | 13,137 | ||||||||
|
| |||||||||
Total Netherlands | 2,714,237 | |||||||||
|
|
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Norway — 1.5% | ||||||||||
2,061 | Aker Solutions ASA * | 3,812 | ||||||||
5,392 | BW LPG Ltd | 28,710 | ||||||||
1,859 | DNB Bank ASA | 39,237 | ||||||||
58,148 | Norsk Hydro ASA | 401,410 | ||||||||
11,347 | Orkla ASA | 101,356 | ||||||||
1,503 | SpareBank 1 Nord Norge | 15,136 | ||||||||
2,652 | SpareBank 1 SR-Bank ASA | 35,768 | ||||||||
4,556 | XXL ASA * | 9,669 | ||||||||
|
| |||||||||
Total Norway | 635,098 | |||||||||
|
| |||||||||
Poland — 0.2% | ||||||||||
233 | Asseco Poland SA | 5,105 | ||||||||
38,504 | Polskie Gornictwo Naftowe i Gazownictwo SA | 63,328 | ||||||||
|
| |||||||||
Total Poland | 68,433 | |||||||||
|
| |||||||||
Portugal — 1.7% | ||||||||||
209,461 | Banco Comercial Portugues SA – Class R * | 32,399 | ||||||||
119,450 | EDP – Energias de Portugal SA | 655,726 | ||||||||
2,432 | Galp Energia SGPS SA | 24,877 | ||||||||
|
| |||||||||
Total Portugal | 713,002 | |||||||||
|
| |||||||||
Russia — 1.3% | ||||||||||
42,966 | Gazprom PJSC Sponsored ADR | 356,231 | ||||||||
705,000 | Inter RAO UES PJSC | 44,423 | ||||||||
833 | QIWI Plc Sponsored ADR | 7,936 | ||||||||
6,100 | Sberbank of Russia PJSC Sponsored ADR | 108,939 | ||||||||
9,800 | Surgutneftegas PJSC | 4,523 | ||||||||
|
| |||||||||
Total Russia | 522,052 | |||||||||
|
| |||||||||
Singapore — 3.8% | ||||||||||
37,199 | DBS Group Holdings Ltd | 824,816 | ||||||||
2,000 | Jardine Cycle & Carriage Ltd | 28,835 | ||||||||
7,300 | Keppel Corp Ltd | 28,142 | ||||||||
16,700 | Sembcorp Industries Ltd | 23,906 | ||||||||
1,300 | Venture Corp Ltd | 18,477 | ||||||||
97,800 | Wilmar International Ltd | 300,344 | ||||||||
252,000 | Yangzijiang Shipbuilding Holdings Ltd | 306,868 | ||||||||
16,000 | Yanlord Land Group Ltd | 14,129 | ||||||||
|
| |||||||||
Total Singapore | 1,545,517 | |||||||||
|
| |||||||||
South Africa — 0.2% | ||||||||||
4,189 | Aspen Pharmacare Holdings Ltd * | 56,484 | ||||||||
882 | Foschini Group Ltd (The) * | 9,075 | ||||||||
11,423 | Netcare Ltd * | 13,254 | ||||||||
2,361 | Truworths International Ltd | 10,867 | ||||||||
|
| |||||||||
Total South Africa | 89,680 | |||||||||
|
| |||||||||
South Korea — 1.9% | ||||||||||
7,163 | BNK Financial Group Inc | 47,800 |
Shares | Description | Value ($) | ||||||||
South Korea — continued | ||||||||||
5,869 | DGB Financial Group Inc | 45,938 | ||||||||
994 | E-MART Inc | 153,151 | ||||||||
531 | Hankook Tire & Technology Co Ltd | 21,303 | ||||||||
30,548 | Hanwha Life Insurance Co Ltd | 87,733 | ||||||||
811 | Hanyang Eng Co Ltd | 11,434 | ||||||||
2,138 | KT&G Corp | 150,369 | ||||||||
606 | LG Electronics Inc | 74,012 | ||||||||
732 | LG Uplus Corp | 8,857 | ||||||||
447 | LX Semicon Co Ltd | 44,384 | ||||||||
1,490 | SL Corp | 35,253 | ||||||||
1,813 | Yuhan Corp | 97,563 | ||||||||
|
| |||||||||
Total South Korea | 777,797 | |||||||||
|
| |||||||||
Spain — 5.0% | ||||||||||
4,352 | Acerinox SA | 59,313 | ||||||||
460 | ACS Actividades de Construccion y Servicios SA | 12,418 | ||||||||
93,604 | Banco Bilbao Vizcaya Argentaria SA * | 612,637 | ||||||||
38,859 | Banco de Sabadell SA * | 27,703 | ||||||||
244,882 | Banco Santander SA * | 902,942 | ||||||||
1,031 | Cia de Distribucion Integral Logista Holdings SA | 22,383 | ||||||||
480 | Ebro Foods SA | 9,639 | ||||||||
32,945 | Iberdrola SA | 408,237 | ||||||||
277 | Mediaset Espana Comunicacion SA * | 1,690 | ||||||||
|
| |||||||||
Total Spain | 2,056,962 | |||||||||
|
| |||||||||
Sweden — 0.6% | ||||||||||
705 | JM AB | 27,312 | ||||||||
21 | Mycronic AB | 648 | ||||||||
3,325 | Skanska AB – B Shares | 95,853 | ||||||||
14,498 | SSAB AB – A Shares * | 79,152 | ||||||||
3,039 | SSAB AB – B Shares * | 14,502 | ||||||||
1,388 | Volvo AB – A Shares | 32,201 | ||||||||
|
| |||||||||
Total Sweden | 249,668 | |||||||||
|
| |||||||||
Switzerland — 6.1% | ||||||||||
2,090 | Adecco Group AG (Registered) | 116,261 | ||||||||
160 | ALSO Holding AG (Registered) * | 51,497 | ||||||||
8,755 | Novartis AG (Registered) | 809,757 | ||||||||
400 | Novartis AG Sponsored ADR | 36,956 | ||||||||
85 | Roche Holding AG | 38,050 | ||||||||
3,604 | Roche Holding AG – Genusschein | 1,447,204 | ||||||||
165 | Vetropack Holding AG (Registered) | 11,269 | ||||||||
|
| |||||||||
Total Switzerland | 2,510,994 | |||||||||
|
| |||||||||
Taiwan — 1.2% | ||||||||||
17,000 | Asustek Computer Inc | 198,455 | ||||||||
12,000 | Chipbond Technology Corp | 33,237 | ||||||||
32,000 | Grand Pacific Petrochemical | 35,044 | ||||||||
130,000 | Pou Chen Corp | 154,408 | ||||||||
18,000 | Radiant Opto-Electronics Corp | 64,208 |
38 | See accompanying notes to the financial statements. |
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
5,302 | TOPBI International Holdings Ltd | 2,658 | ||||||||
|
| |||||||||
Total Taiwan | 488,010 | |||||||||
|
| |||||||||
Thailand — 0.2% | ||||||||||
93,200 | AP Thailand Pcl NVDR | 24,272 | ||||||||
349,200 | Sansiri Pcl NVDR | 13,841 | ||||||||
3,600 | Siam Cement Pcl NVDR (The) | 47,993 | ||||||||
|
| |||||||||
Total Thailand | 86,106 | |||||||||
|
| |||||||||
Turkey — 0.5% | ||||||||||
30,075 | Arcelik AS | 116,303 | ||||||||
244 | Dogus Otomotiv Servis ve Ticaret AS | 824 | ||||||||
11,821 | Eregli Demir ve Celik Fabrikalari TAS | 26,740 | ||||||||
1,930 | Ford Otomotiv Sanayi AS | 39,877 | ||||||||
6,615 | KOC Holding AS | 18,322 | ||||||||
1,488 | Turk Telekomunikasyon AS | 1,328 | ||||||||
1,982 | Turkiye Sise ve Cam Fabrikalari AS | 2,122 | ||||||||
|
| |||||||||
Total Turkey | 205,516 | |||||||||
|
| |||||||||
United Kingdom — 15.7% | ||||||||||
14,934 | 3i Group Plc | 274,652 | ||||||||
2,643 | Anglo American Plc | 111,628 | ||||||||
27,281 | Aviva Plc | 151,631 | ||||||||
42,370 | Barratt Developments Plc | 430,971 | ||||||||
2,149 | Bellway Plc | 104,149 | ||||||||
524 | Berkeley Group Holdings Plc (The) | 34,806 | ||||||||
9,590 | British American Tobacco Plc | 359,753 | ||||||||
17,200 | British American Tobacco Plc Sponsored ADR | 648,268 | ||||||||
227,619 | BT Group Plc * | 532,083 | ||||||||
2,994 | Coca-Cola HBC AG * | 108,368 | ||||||||
170 | Dunelm Group Plc | 3,005 | ||||||||
3,244 | Electrocomponents Plc | 47,471 | ||||||||
3,709 | Ferguson Plc | 536,092 | ||||||||
18,424 | Ferrexpo Plc | 96,563 | ||||||||
12,900 | GlaxoSmithKline Plc Sponsored ADR | 525,546 | ||||||||
578 | Grafton Group Plc | 11,107 | ||||||||
3,279 | IG Group Holdings Plc | 42,225 | ||||||||
4,839 | Inchcape Plc | 61,200 | ||||||||
5,816 | ITV Plc * | 9,269 | ||||||||
14,815 | JD Sports Fashion Plc | 205,725 | ||||||||
855 | Johnson Matthey Plc | 34,567 | ||||||||
78,114 | Kingfisher Plc | 376,121 | ||||||||
59,904 | Legal & General Group Plc | 222,521 | ||||||||
610 | Morgan Sindall Group Plc | 21,549 | ||||||||
4,455 | Next Plc | 484,486 | ||||||||
11,188 | Persimmon Plc | 452,795 | ||||||||
7,932 | Pets at Home Group Plc | 54,621 | ||||||||
4,012 | Plus500 Ltd | 82,480 | ||||||||
5,901 | QinetiQ Group Plc | 28,035 | ||||||||
24,422 | Royal Mail Plc | 166,332 |
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
458 | Schroders Plc | 23,812 | ||||||||
3,905 | Spirent Communications Plc | 15,993 | ||||||||
14,722 | Tate & Lyle Plc | 142,982 | ||||||||
3,368 | WPP Plc | 45,666 | ||||||||
|
| |||||||||
Total United Kingdom | 6,446,472 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $31,140,930) | 39,440,161 | |||||||||
|
| |||||||||
PREFERRED STOCKS (c) — 2.2% | ||||||||||
Brazil — 0.0% | ||||||||||
3,700 | Cia Energetica de Minas Gerais | 9,667 | ||||||||
|
| |||||||||
Germany — 2.1% | ||||||||||
1,322 | Bayerische Motoren Werke AG | 110,675 | ||||||||
186 | Draegerwerk AG & Co KGaA | 15,708 | ||||||||
1,094 | Henkel AG & Co KGaA | 106,887 | ||||||||
2,649 | Volkswagen AG | 630,077 | ||||||||
|
| |||||||||
Total Germany | 863,347 | |||||||||
|
| |||||||||
Russia — 0.0% | ||||||||||
100 | Surgutneftegas PJSC | 53 | ||||||||
|
| |||||||||
South Korea — 0.1% | ||||||||||
282 | LG Electronics Inc | 16,945 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $857,976) | 890,012 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 2.8% | ||||||||||
United States — 2.8% | ||||||||||
Affiliated Issuers — 2.8% |
| |||||||||
231,353 | GMO U.S. Treasury Fund | 1,166,020 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $1,164,487) | 1,166,020 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
Money Market Funds — 0.1% | ||||||||||
56,770 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (d) | 56,770 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $56,770) | 56,770 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 101.0% (Cost $33,220,163) | 41,552,963 | |||||||||
Other Assets and Liabilities (net) — (1.0%) | (405,110 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $41,147,853 | |||||||||
|
|
See accompanying notes to the financial statements. | 39 |
GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2021 (Unaudited)
A summary of outstanding financial instruments at August 31, 2021 is as follows:
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Buys | ||||||||||||
3 | MSCI EAFE | September 2021 | $ | 352,725 | $ | 1,765 | ||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
As of August 31, 2021, 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) | Securities are traded on separate exchanges for the same entity. |
(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, 2021. |
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.
40 | See accompanying notes to the financial statements. |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2021 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 97.2 | % | ||
Mutual Funds | 0.3 | |||
Futures Contracts | 0.0 | ^ | ||
Other | 2.5 | |||
|
| |||
100.0 | % | |||
|
| |||
Industry Group Summary | % of Equity Investments# | |||
Technology Hardware & Equipment | 11.6 | % | ||
Retailing | 10.7 | |||
Software & Services | 10.1 | |||
Capital Goods | 9.9 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 8.7 | |||
Diversified Financials | 7.3 | |||
Food, Beverage & Tobacco | 6.2 | |||
Media & Entertainment | 5.5 | |||
Consumer Durables & Apparel | 5.1 | |||
Materials | 4.6 | |||
Insurance | 4.3 | |||
Banks | 2.9 | |||
Health Care Equipment & Services | 2.6 | |||
Semiconductors & Semiconductor Equipment | 2.2 | |||
Telecommunication Services | 2.0 | |||
Commercial & Professional Services | 1.2 | |||
Food & Staples Retailing | 1.2 | |||
Energy | 1.0 | |||
Household & Personal Products | 0.9 | |||
Real Estate | 0.9 | |||
Automobiles & Components | 0.7 | |||
Consumer Services | 0.4 | |||
|
| |||
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%. |
41 |
GMO U.S. Equity Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 97.2% |
| |||||||||
Automobiles & Components — 0.7% | ||||||||||
17,782 | BorgWarner, Inc. | 758,936 | ||||||||
50,914 | Dana, Inc. | 1,184,259 | ||||||||
5,221 | Lear Corp. | 835,047 | ||||||||
|
| |||||||||
Total Automobiles & Components | 2,778,242 | |||||||||
|
| |||||||||
Banks — 2.8% | ||||||||||
46,092 | Associated Banc-Corp. | 950,417 | ||||||||
3,000 | Axos Financial, Inc. * | 145,440 | ||||||||
27,141 | Citizens Financial Group, Inc. | 1,188,504 | ||||||||
2,300 | Columbia Banking System, Inc. | 83,628 | ||||||||
11,400 | CVB Financial Corp. | 232,104 | ||||||||
17,951 | East West Bancorp, Inc. | 1,316,526 | ||||||||
50,848 | Fifth Third Bancorp | 1,975,953 | ||||||||
5,649 | Flagstar Bancorp, Inc. | 279,400 | ||||||||
10,300 | Fulton Financial Corp. | 163,255 | ||||||||
12,300 | Great Western Bancorp, Inc. | 380,808 | ||||||||
8,098 | Hilltop Holdings, Inc. | 271,040 | ||||||||
20,069 | KeyCorp. | 407,802 | ||||||||
7,160 | M&T Bank Corp. | 1,002,472 | ||||||||
14,600 | Old National Bancorp | 243,236 | ||||||||
7,676 | Popular, Inc. | 582,915 | ||||||||
29,800 | Radian Group, Inc. | 704,174 | ||||||||
587 | SVB Financial Group * | 328,427 | ||||||||
3,300 | Towne Bank | 100,551 | ||||||||
2,400 | TriCo Bancshares | 94,920 | ||||||||
9,000 | Trustmark Corp. | 284,580 | ||||||||
4,000 | UMB Financial Corp. | 366,320 | ||||||||
3,600 | Washington Federal, Inc. | 119,880 | ||||||||
9,418 | Wintrust Financial Corp. | 704,843 | ||||||||
|
| |||||||||
Total Banks | 11,927,195 | |||||||||
|
| |||||||||
Capital Goods — 9.6% | ||||||||||
4,674 | 3M Co. | 910,215 | ||||||||
32,880 | A O Smith Corp. | 2,391,034 | ||||||||
13,453 | AGCO Corp. | 1,851,402 | ||||||||
5,300 | Applied Industrial Technologies, Inc. | 470,693 | ||||||||
10,200 | Atkore, Inc. * | 946,254 | ||||||||
8,047 | Boise Cascade Co. | 465,519 | ||||||||
1,202 | Carlisle Cos, Inc. | 253,309 | ||||||||
74,853 | Carrier Global Corp. | 4,311,533 | ||||||||
1,300 | Caterpillar, Inc. | 274,131 | ||||||||
12,106 | Cummins, Inc. | 2,856,774 | ||||||||
5,400 | Deere & Co. | 2,041,362 | ||||||||
8,900 | Eaton Corp Plc | 1,498,404 | ||||||||
13,750 | EMCOR Group, Inc. | 1,670,625 | ||||||||
9,343 | Fortive Corp. | 690,167 | ||||||||
3,000 | Fortune Brands Home & Security, Inc. | 292,110 | ||||||||
20,400 | Gates Industrial Corp Plc * | 334,152 | ||||||||
3,988 | Moog, Inc. – Class A | 316,807 |
Shares | Description | Value ($) | ||||||||
Capital Goods — continued | ||||||||||
10,683 | Mueller Industries, Inc. | 476,569 | ||||||||
7,500 | Otis Worldwide Corp. | 691,650 | ||||||||
31,881 | Owens Corning | 3,046,230 | ||||||||
9,278 | Parker-Hannifin Corp. | 2,752,504 | ||||||||
10,500 | Primoris Services Corp. | 269,850 | ||||||||
1,000 | Snap-on, Inc. | 224,950 | ||||||||
2,963 | Stanley Black & Decker, Inc. | 572,659 | ||||||||
51,217 | Textron, Inc. | 3,721,939 | ||||||||
3,561 | Timken Co. (The) | 261,876 | ||||||||
22,848 | Trane Technologies Plc | 4,535,328 | ||||||||
34,536 | UFP Industries, Inc. | 2,592,963 | ||||||||
515 | WW Grainger, Inc. | 223,355 | ||||||||
|
| |||||||||
Total Capital Goods | 40,944,364 | |||||||||
|
| |||||||||
Commercial & Professional Services — 1.2% | ||||||||||
42,500 | ACCO Brands Corp. | 398,225 | ||||||||
14,504 | Brady Corp. – Class A | 773,498 | ||||||||
2,646 | Cimpress Plc * | 251,317 | ||||||||
9,600 | Deluxe Corp. | 368,160 | ||||||||
2,700 | Heidrick & Struggles International, Inc. | 116,694 | ||||||||
6,028 | HNI Corp. | 228,401 | ||||||||
8,300 | ICF International, Inc. | 777,378 | ||||||||
10,900 | Kforce, Inc. | 636,778 | ||||||||
6,407 | ManpowerGroup, Inc. | 777,938 | ||||||||
4,000 | Matthews International Corp. – Class A | 148,120 | ||||||||
33,544 | Steelcase, Inc. – Class A | 472,635 | ||||||||
|
| |||||||||
Total Commercial & Professional Services | 4,949,144 | |||||||||
|
| |||||||||
Consumer Durables & Apparel — 5.0% | ||||||||||
1,900 | Century Communities, Inc. | 133,190 | ||||||||
1,874 | Deckers Outdoor Corp. * | 784,175 | ||||||||
4,526 | DR Horton, Inc. | 432,776 | ||||||||
24,800 | Ethan Allen Interiors, Inc. | 595,696 | ||||||||
36,941 | Garmin Ltd. | 6,443,618 | ||||||||
13,181 | La-Z-Boy, Inc. | 461,467 | ||||||||
26,168 | MDC Holdings, Inc. | 1,367,278 | ||||||||
3,200 | Meritage Homes Corp. * | 356,928 | ||||||||
18,705 | Mohawk Industries, Inc. * | 3,699,101 | ||||||||
53,730 | PulteGroup, Inc. | 2,893,898 | ||||||||
44,800 | Taylor Morrison Home Corp. * | 1,258,432 | ||||||||
23,917 | Tempur Sealy International, Inc. | 1,069,090 | ||||||||
67,052 | TRI Pointe Homes, Inc. * | 1,593,826 | ||||||||
600 | Whirlpool Corp. | 132,918 | ||||||||
|
| |||||||||
Total Consumer Durables & Apparel | 21,222,393 | |||||||||
|
| |||||||||
Consumer Services — 0.4% | ||||||||||
12,900 | Adtalem Global Education, Inc. * | 477,300 | ||||||||
900 | Graham Holdings Co. – Class B | 555,129 | ||||||||
17,275 | Perdoceo Education Corp. * | 189,680 | ||||||||
8,300 | Service Corp. International | 520,908 | ||||||||
|
| |||||||||
Total Consumer Services | 1,743,017 | |||||||||
|
|
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Diversified Financials — 7.1% | ||||||||||
56,507 | Ally Financial, Inc. | 2,989,220 | ||||||||
2,837 | American Express Co. | 470,829 | ||||||||
46,410 | Bank of New York Mellon Corp. (The) | 2,562,760 | ||||||||
3,200 | Capital One Financial Corp. | 531,104 | ||||||||
10,286 | Discover Financial Services | 1,318,871 | ||||||||
6,400 | Donnelley Financial Solutions, Inc. * | 213,440 | ||||||||
29,243 | Enova International, Inc. * | 964,434 | ||||||||
4,000 | Equitable Holdings, Inc. | 124,040 | ||||||||
1,000 | FactSet Research Systems, Inc. | 380,220 | ||||||||
32,511 | Federated Hermes, Inc. | 1,099,847 | ||||||||
9,300 | Franklin Resources, Inc. | 301,692 | ||||||||
3,900 | Goldman Sachs Group, Inc. (The) | 1,612,689 | ||||||||
15,500 | Invesco Ltd. | 392,460 | ||||||||
2,200 | MSCI, Inc. | 1,396,076 | ||||||||
900 | Nasdaq, Inc. | 176,202 | ||||||||
6,300 | Nelnet, Inc. – Class A | 509,544 | ||||||||
11,678 | OneMain Holdings, Inc. | 675,339 | ||||||||
3,247 | PROG Holdings, Inc. | 153,648 | ||||||||
36,980 | Raymond James Financial, Inc. | 5,173,502 | ||||||||
47,900 | Santander Consumer USA Holdings, Inc. | 1,998,867 | ||||||||
12,313 | SEI Investments Co. | 773,380 | ||||||||
20,723 | State Street Corp. | 1,925,374 | ||||||||
55,903 | Synchrony Financial | 2,781,174 | ||||||||
6,800 | T. Rowe Price Group, Inc. | 1,522,316 | ||||||||
12,700 | Virtu Financial, Inc. – Class A | 310,896 | ||||||||
|
| |||||||||
Total Diversified Financials | 30,357,924 | |||||||||
|
| |||||||||
Energy — 1.0% | ||||||||||
19,016 | CNX Resources Corp. * | 216,022 | ||||||||
12,400 | Denbury, Inc. * | 872,092 | ||||||||
28,959 | Exxon Mobil Corp. | 1,578,844 | ||||||||
2,900 | Hess Corp. | 199,375 | ||||||||
11,700 | Whiting Petroleum Corp. * | 549,315 | ||||||||
25,019 | World Fuel Services Corp. | 809,615 | ||||||||
|
| |||||||||
Total Energy | 4,225,263 | |||||||||
|
| |||||||||
Food & Staples Retailing — 1.1% | ||||||||||
105,145 | Kroger Co. (The) | 4,839,824 | ||||||||
|
| |||||||||
Food, Beverage & Tobacco — 6.0% | ||||||||||
54,600 | Altria Group, Inc. | 2,742,558 | ||||||||
61,963 | Archer-Daniels-Midland Co. | 3,717,780 | ||||||||
125,329 | Mondelez International, Inc. – Class A | 7,779,171 | ||||||||
99,800 | Philip Morris International, Inc. | 10,279,400 | ||||||||
22,265 | Universal Corp. | 1,126,609 | ||||||||
|
| |||||||||
Total Food, Beverage & Tobacco | 25,645,518 | |||||||||
|
| |||||||||
Health Care Equipment & Services — 2.6% | ||||||||||
17,141 | AmerisourceBergen Corp. | 2,094,802 | ||||||||
9,400 | Cigna Corp. | 1,989,510 |
Shares | Description | Value ($) | ||||||||
Health Care Equipment & Services — continued | ||||||||||
5,100 | Humana, Inc. | 2,067,642 | ||||||||
788 | Laboratory Corp. of America Holdings * | 239,063 | ||||||||
20,881 | McKesson Corp. | 4,262,647 | ||||||||
1,300 | Universal Health Services, Inc. – Class B | 202,488 | ||||||||
|
| |||||||||
Total Health Care Equipment & Services | 10,856,152 | |||||||||
|
| |||||||||
Household & Personal Products — 0.9% | ||||||||||
41,418 | Colgate-Palmolive Co. | 3,228,533 | ||||||||
8,600 | Spectrum Brands Holdings, Inc. | 671,316 | ||||||||
|
| |||||||||
Total Household & Personal Products | 3,899,849 | |||||||||
|
| |||||||||
Insurance — 4.2% | ||||||||||
16,096 | Aflac, Inc. | 912,321 | ||||||||
36,486 | Allstate Corp. (The) | 4,935,826 | ||||||||
1,200 | Chubb Ltd. | 220,704 | ||||||||
15,100 | CNA Financial Corp. | 669,685 | ||||||||
78,822 | Fidelity National Financial, Inc. | 3,848,878 | ||||||||
55,515 | First American Financial Corp. | 3,915,473 | ||||||||
5,509 | Principal Financial Group, Inc. | 368,057 | ||||||||
22,244 | Progressive Corp. (The) | 2,142,987 | ||||||||
14,063 | Stewart Information Services Corp. | 885,266 | ||||||||
|
| |||||||||
Total Insurance | 17,899,197 | |||||||||
|
| |||||||||
Materials — 4.5% | ||||||||||
5,053 | Arconic Corp. * | 174,278 | ||||||||
12,793 | Avery Dennison Corp. | 2,883,414 | ||||||||
15,069 | Avient Corp. | 784,944 | ||||||||
4,100 | Ball Corp. | 393,436 | ||||||||
8,653 | Berry Global Group, Inc. * | 581,222 | ||||||||
12,800 | Cabot Corp. | 683,520 | ||||||||
21,007 | Crown Holdings, Inc. | 2,306,359 | ||||||||
26,472 | Eastman Chemical Co. | 2,995,571 | ||||||||
7,693 | FMC Corp. | 720,296 | ||||||||
36,800 | Huntsman Corp. | 972,624 | ||||||||
11,257 | LyondellBasell Industries NV – Class A | 1,129,640 | ||||||||
3,673 | NewMarket Corp. | 1,284,558 | ||||||||
1,859 | Nucor Corp. | 218,544 | ||||||||
6,700 | O-I Glass, Inc. * | 101,371 | ||||||||
10,296 | Reliance Steel & Aluminum Co. | 1,544,812 | ||||||||
2,600 | Schnitzer Steel Industries, Inc. – Class A | 123,006 | ||||||||
19,748 | Silgan Holdings, Inc. | 837,908 | ||||||||
2,474 | Stepan Co. | 290,843 | ||||||||
7,400 | Trinseo SA | 384,282 | ||||||||
5,600 | Westlake Chemical Corp. | 489,160 | ||||||||
|
| |||||||||
Total Materials | 18,899,788 | |||||||||
|
| |||||||||
Media & Entertainment — 5.3% | ||||||||||
3,427 | Activision Blizzard, Inc. | 282,282 | ||||||||
1,800 | Alphabet, Inc. – Class A * | 5,209,110 | ||||||||
1,873 | Alphabet, Inc. – Class C * | 5,449,006 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Media & Entertainment — continued | ||||||||||
17,833 | Comcast Corp. – Class A | 1,082,106 | ||||||||
3,742 | Electronic Arts, Inc. | 543,376 | ||||||||
15,600 | Facebook, Inc. – Class A * | 5,918,328 | ||||||||
10,600 | Fox Corp. – Class A | 396,864 | ||||||||
2,900 | Fox Corp. – Class B | 100,427 | ||||||||
12,900 | iHeartMedia, Inc. – Class A * | 320,952 | ||||||||
48,594 | Interpublic Group of Cos., Inc. (The) | 1,809,155 | ||||||||
34,800 | News Corp. – Class A | 781,956 | ||||||||
5,100 | News Corp. – Class B | 112,353 | ||||||||
2,322 | Omnicom Group, Inc. | 170,017 | ||||||||
29,918 | TEGNA, Inc. | 530,147 | ||||||||
|
| |||||||||
Total Media & Entertainment | 22,706,079 | |||||||||
|
| |||||||||
Pharmaceuticals, Biotechnology & Life Sciences — 8.4% | ||||||||||
66,841 | Bristol-Myers Squibb Co. | 4,468,989 | ||||||||
23,076 | Eli Lilly & Co. | 5,960,300 | ||||||||
18,100 | Johnson & Johnson | 3,133,653 | ||||||||
133,550 | Merck & Co., Inc. | 10,188,530 | ||||||||
243,676 | Pfizer, Inc. | 11,226,153 | ||||||||
13,295 | Prestige Consumer Healthcare, Inc. * | 763,000 | ||||||||
|
| |||||||||
Total Pharmaceuticals, Biotechnology & Life Sciences | 35,740,625 | |||||||||
|
| |||||||||
Real Estate — 0.9% | ||||||||||
22,000 | CBRE Group, Inc. – Class A * | 2,118,600 | ||||||||
6,400 | PotlatchDeltic Corp. (REIT) | 332,480 | ||||||||
76,920 | Realogy Holdings Corp. * | 1,349,946 | ||||||||
|
| |||||||||
Total Real Estate | 3,801,026 | |||||||||
|
| |||||||||
Retailing — 10.4% | ||||||||||
32,268 | Abercrombie & Fitch Co. – Class A * | 1,153,904 | ||||||||
1,874 | Amazon.com, Inc. * | 6,504,260 | ||||||||
7,748 | Asbury Automotive Group, Inc. * | 1,442,987 | ||||||||
17,466 | AutoNation, Inc. * | 1,905,366 | ||||||||
31,339 | Bath & Body Works, Inc. | 2,114,756 | ||||||||
16,863 | Big Lots, Inc. | 820,554 | ||||||||
23,389 | Core-Mark Holding Co., Inc. | 1,075,894 | ||||||||
51,956 | Gap Inc. (The) | 1,388,784 | ||||||||
10,700 | Genuine Parts Co. | 1,307,433 | ||||||||
6,554 | Group 1 Automotive, Inc. | 1,084,294 | ||||||||
5,900 | Haverty Furniture Cos, Inc. | 210,217 | ||||||||
11,900 | Kohl’s Corp. | 683,060 | ||||||||
3,700 | LKQ Corp. * | 194,953 | ||||||||
14,115 | Lowe’s Cos., Inc. | 2,877,907 | ||||||||
7,677 | MarineMax, Inc. * | 373,256 | ||||||||
12,267 | Murphy U.S.A., Inc. | 1,904,820 | ||||||||
25,196 | Penske Automotive Group, Inc. | 2,265,876 | ||||||||
47,978 | Qurate Retail, Inc. – Series A | 529,197 | ||||||||
7,179 | Rent-A-Center, Inc. | 452,851 | ||||||||
3,300 | Shoe Carnival, Inc. | 126,324 |
Shares | Description | Value ($) | ||||||||
Retailing — continued | ||||||||||
18,000 | Signet Jewelers Ltd. | 1,425,600 | ||||||||
5,577 | Sleep Number Corp. * | 515,928 | ||||||||
43,804 | Target Corp. | 10,818,712 | ||||||||
1,500 | Urban Outfitters, Inc. * | 49,530 | ||||||||
10,446 | Victoria’s Secret & Co. * | 692,570 | ||||||||
11,910 | Williams-Sonoma, Inc. | 2,223,597 | ||||||||
|
| |||||||||
Total Retailing | 44,142,630 | |||||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment — 2.1% | ||||||||||
15,900 | Amkor Technology, Inc. | 436,773 | ||||||||
6,280 | Applied Materials, Inc. | 848,616 | ||||||||
1,392 | Cirrus Logic, Inc. * | 116,469 | ||||||||
63,243 | Intel Corp. | 3,418,917 | ||||||||
21,600 | Kulicke & Soffa Industries, Inc. | 1,516,104 | ||||||||
2,500 | Micron Technology, Inc. * | 184,250 | ||||||||
2,800 | NVIDIA Corp. | 626,780 | ||||||||
12,100 | QUALCOMM, Inc. | 1,774,949 | ||||||||
|
| |||||||||
Total Semiconductors & Semiconductor Equipment | 8,922,858 | |||||||||
|
| |||||||||
Software & Services — 9.9% | ||||||||||
7,500 | Accenture Plc – Class A | 2,524,200 | ||||||||
37,747 | Amdocs Ltd. | 2,907,651 | ||||||||
16,322 | Cadence Design Systems, Inc. * | 2,668,321 | ||||||||
6,000 | CSG Systems International, Inc. | 289,260 | ||||||||
9,700 | Dolby Laboratories, Inc. – Class A | 961,367 | ||||||||
21,800 | International Business Machines Corp. | 3,059,412 | ||||||||
721 | Intuit, Inc. | 408,165 | ||||||||
1,300 | Maximus, Inc. | 113,217 | ||||||||
78,419 | Microsoft Corp. | 23,673,128 | ||||||||
63,846 | NortonLifeLock, Inc. | 1,695,750 | ||||||||
10,874 | Synopsys, Inc. * | 3,612,778 | ||||||||
|
| |||||||||
Total Software & Services | 41,913,249 | |||||||||
|
| |||||||||
Technology Hardware & Equipment — 11.2% | ||||||||||
115,624 | Apple, Inc. | 17,555,192 | ||||||||
32,737 | Arrow Electronics, Inc. * | 3,968,379 | ||||||||
28,022 | Avnet, Inc. | 1,133,770 | ||||||||
86,752 | Cisco Systems, Inc. | 5,120,103 | ||||||||
5,100 | CTS Corp. | 178,908 | ||||||||
11,200 | Dell Technologies – Class C * | 1,091,552 | ||||||||
1,100 | Fabrinet * | 113,322 | ||||||||
209,044 | HP, Inc. | 6,216,969 | ||||||||
4,293 | Insight Enterprises, Inc. * | 441,707 | ||||||||
57,750 | Juniper Networks, Inc. | 1,673,595 | ||||||||
14,900 | Methode Electronics, Inc. | 693,893 | ||||||||
6,433 | NETGEAR, Inc. * | 229,851 | ||||||||
1,398 | Sanmina Corp. * | 55,193 | ||||||||
19,486 | Seagate Technology Holdings Plc | 1,706,779 | ||||||||
8,600 | Super Micro Computer, Inc. * | 314,244 | ||||||||
27,719 | TE Connectivity Ltd. | 4,163,948 |
44 | 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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Technology Hardware & Equipment — continued | ||||||||||
74,600 | Vishay Intertechnology, Inc. | 1,638,962 | ||||||||
10,400 | Western Digital Corp. * | 657,280 | ||||||||
33,995 | Xerox Holdings Corp. | 765,227 | ||||||||
|
| |||||||||
Total Technology Hardware & Equipment | 47,718,874 | |||||||||
|
| |||||||||
Telecommunication Services — 1.9% | ||||||||||
16,600 | Liberty Global Plc – Class A * | 477,084 | ||||||||
15,800 | Liberty Global Plc – Class C * | 457,884 | ||||||||
85,258 | Telephone & Data Systems, Inc. | 1,732,443 | ||||||||
8,100 | United States Cellular Corp. * | 258,795 | ||||||||
94,140 | Verizon Communications, Inc. | 5,177,700 | ||||||||
|
| |||||||||
Total Telecommunication Services | 8,103,906 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $335,451,301) | 413,237,117 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 0.3% | ||||||||||
Affiliated Issuers — 0.3% | ||||||||||
228,486 | GMO U.S. Treasury Fund | 1,151,569 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $1,149,284) | 1,151,569 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 97.5% (Cost $336,600,585) | 414,388,686 | |||||||||
Other Assets and Liabilities (net) — 2.5% | 10,596,514 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $424,985,200 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2021 is as follows:
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Buys 38 | S&P 500 E-Mini | September 2021 | $ | 8,588,950 | $ | 30,671 | ||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
As of August 31, 2021, 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. |
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. | 45 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2021 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 98.3 | % | ||
Mutual Funds | 0.9 | |||
Short-Term Investments | 0.2 | |||
Rights/Warrants | 0.0 | ^ | ||
Futures Contracts | 0.0 | ^ | ||
Other | 0.6 | |||
|
| |||
100.0 | % | |||
|
|
Industry Group Summary | % of Equity Investments# | |||
Banks | 19.6 | % | ||
Capital Goods | 12.3 | |||
Retailing | 12.0 | |||
Technology Hardware & Equipment | 8.1 | |||
Commercial & Professional Services | 7.8 | |||
Consumer Durables & Apparel | 6.6 | |||
Real Estate | 6.6 | |||
Diversified Financials | 5.6 | |||
Materials | 5.1 | |||
Energy | 3.5 | |||
Media & Entertainment | 2.4 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 2.3 | |||
Telecommunication Services | 2.0 | |||
Insurance | 2.0 | |||
Food, Beverage & Tobacco | 1.3 | |||
Health Care Equipment & Services | 1.2 | |||
Food & Staples Retailing | 0.5 | |||
Automobiles & Components | 0.4 | |||
Consumer Services | 0.3 | |||
Semiconductors & Semiconductor Equipment | 0.3 | |||
Household & Personal Products | 0.1 | |||
Software & Services | 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%. |
46 |
GMO U.S. Small Cap Value Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 98.3% |
| |||||||||
Automobiles & Components — 0.4% | ||||||||||
49,600 | Dana, Inc. | 1,153,696 | ||||||||
|
| |||||||||
Banks — 19.3% | ||||||||||
10,306 | 1st Source Corp. | 484,382 | ||||||||
19,725 | Amalgamated Financial Corp. | 306,724 | ||||||||
2,571 | Arrow Financial Corp. | 94,741 | ||||||||
213,099 | Associated Banc-Corp. | 4,394,101 | ||||||||
22,865 | Banner Corp. | 1,307,878 | ||||||||
5,000 | BCB Bancorp, Inc. | 74,350 | ||||||||
46,291 | Brookline Bancorp, Inc. | 692,976 | ||||||||
53,676 | Cathay General Bancorp | 2,135,231 | ||||||||
2,335 | Century Bancorp, Inc. – Class A | 266,961 | ||||||||
4,670 | Civista Bancshares, Inc. | 109,838 | ||||||||
7,567 | CNB Financial Corp. | 185,997 | ||||||||
7,300 | Columbia Banking System, Inc. | 265,428 | ||||||||
8,996 | Community Trust Bancorp, Inc. | 374,773 | ||||||||
29,690 | Customers Bancorp, Inc.* | 1,229,463 | ||||||||
3,600 | Eagle Bancorp, Inc. | 207,720 | ||||||||
9,704 | Enterprise Financial Services Corp. | 435,807 | ||||||||
13,204 | Financial Institutions, Inc. | 419,359 | ||||||||
70,835 | First BanCorp/Puerto Rico | 901,730 | ||||||||
7,129 | First Busey Corp. | 168,957 | ||||||||
78,368 | First Commonwealth Financial Corp. | 1,059,535 | ||||||||
6,905 | First Community Bankshares, Inc. | 215,712 | ||||||||
56,598 | First Financial Bancorp | 1,330,619 | ||||||||
52,000 | First Midwest Bancorp Inc/IL | 973,960 | ||||||||
116,212 | Flagstar Bancorp, Inc. | 5,747,845 | ||||||||
24,253 | Flushing Financial Corp. | 556,121 | ||||||||
130,466 | Fulton Financial Corp. | 2,067,886 | ||||||||
4,912 | Great Southern Bancorp, Inc. | 267,557 | ||||||||
49,500 | Great Western Bancorp, Inc. | 1,532,520 | ||||||||
26,289 | Hanmi Financial Corp. | 506,852 | ||||||||
26,800 | Heartland Financial USA, Inc. | 1,260,404 | ||||||||
53,824 | Hilltop Holdings, Inc. | 1,801,489 | ||||||||
3,400 | HomeTrust Bancshares, Inc. | 94,588 | ||||||||
106,500 | Hope Bancorp, Inc. | 1,468,635 | ||||||||
14,791 | Independent Bank Corp. | 309,724 | ||||||||
55,351 | International Bancshares Corp. | 2,318,100 | ||||||||
5,636 | Mercantile Bank Corp. | 175,843 | ||||||||
4,348 | Merchants Bancorp | 159,441 | ||||||||
11,928 | Meridian Bancorp, Inc. | 247,864 | ||||||||
2,600 | MidWestOne Financial Group, Inc. | 76,336 | ||||||||
21,126 | NBT Bancorp, Inc. | 757,578 | ||||||||
16,484 | Northfield Bancorp, Inc. | 278,580 | ||||||||
89,680 | OFG Bancorp | 2,135,281 | ||||||||
54,985 | Old National Bancorp | 916,050 | ||||||||
2,496 | Origin Bancorp, Inc. | 102,710 | ||||||||
17,141 | PacWest Bancorp | 729,350 | ||||||||
12,500 | Popular, Inc. | 949,250 |
Shares | Description | Value ($) | ||||||||
Banks — continued | ||||||||||
22,528 | Premier Financial Corp. | 684,851 | ||||||||
49,911 | Provident Financial Services, Inc. | 1,101,536 | ||||||||
7,000 | QCR Holdings, Inc. | 363,650 | ||||||||
22,100 | Radian Group, Inc. | 522,223 | ||||||||
5,395 | RBB Bancorp | 138,867 | ||||||||
2,013 | Republic Bancorp, Inc. – Class A | 100,912 | ||||||||
1,890 | Sierra Bancorp | 48,044 | ||||||||
19,229 | Texas Capital Bancshares, Inc.* | 1,307,380 | ||||||||
27,696 | Towne Bank | 843,897 | ||||||||
19,886 | TriCo Bancshares | 786,491 | ||||||||
12,720 | TrustCo Bank Corp. NY | 408,185 | ||||||||
39,343 | Trustmark Corp. | 1,244,026 | ||||||||
12,729 | Univest Financial Corp. | 344,701 | ||||||||
39,600 | Washington Federal, Inc. | 1,318,680 | ||||||||
4,899 | Washington Trust Bancorp, Inc. | 260,921 | ||||||||
38,567 | Waterstone Financial, Inc. | 782,139 | ||||||||
4,200 | WesBanco, Inc. | 142,800 | ||||||||
47,089 | Wintrust Financial Corp. | 3,524,141 | ||||||||
|
| |||||||||
Total Banks | 56,019,690 | |||||||||
|
| |||||||||
Capital Goods — 12.1% | ||||||||||
16,598 | Apogee Enterprises, Inc. | 713,382 | ||||||||
19,171 | Applied Industrial Technologies, Inc. | 1,702,576 | ||||||||
28,500 | Atkore, Inc.* | 2,643,945 | ||||||||
3,100 | Boise Cascade Co. | 179,335 | ||||||||
5,300 | Comfort Systems USA, Inc. | 402,694 | ||||||||
19,081 | Ducommun, Inc.* | 1,005,569 | ||||||||
5,921 | EMCOR Group, Inc. | 719,401 | ||||||||
65,700 | Gates Industrial Corp Plc* | 1,076,166 | ||||||||
348 | Hurco Cos, Inc. | 11,613 | ||||||||
20,370 | Hyster-Yale Materials Handling, Inc. | 1,193,886 | ||||||||
10,547 | Insteel Industries, Inc. | 390,239 | ||||||||
6,068 | Miller Industries, Inc. | 225,851 | ||||||||
51,019 | Moog, Inc. – Class A | 4,052,949 | ||||||||
49,655 | Mueller Industries, Inc. | 2,215,110 | ||||||||
700 | MYR Group, Inc.* | 72,807 | ||||||||
11,352 | Park-Ohio Holdings Corp. | 292,655 | ||||||||
2,496 | Preformed Line Products Co. | 175,020 | ||||||||
78,395 | Primoris Services Corp. | 2,014,751 | ||||||||
15,300 | Quanex Building Products Corp. | 360,468 | ||||||||
133,035 | Resideo Technologies, Inc.* | 4,289,048 | ||||||||
1,600 | Tennant Co. | 118,368 | ||||||||
28,125 | Terex Corp. | 1,435,781 | ||||||||
25,226 | Tutor Perini Corp.* | 363,759 | ||||||||
77,619 | UFP Industries, Inc. | 5,827,635 | ||||||||
36,548 | Vectrus, Inc.* | 1,838,730 | ||||||||
20,235 | Veritiv Corp.* | 1,814,472 | ||||||||
|
| |||||||||
Total Capital Goods | 35,136,210 | |||||||||
|
|
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Commercial & Professional Services — 7.6% | ||||||||||
240,749 | ACCO Brands Corp. | 2,255,818 | ||||||||
73,735 | Brady Corp. – Class A | 3,932,287 | ||||||||
8,180 | CRA International, Inc. | 760,658 | ||||||||
43,979 | Deluxe Corp. | 1,686,595 | ||||||||
4,700 | GP Strategies Corp.* | 97,196 | ||||||||
17,471 | Heidrick & Struggles International, Inc. | 755,097 | ||||||||
57,735 | Herman Miller, Inc. | 2,426,602 | ||||||||
30,534 | HNI Corp. | 1,156,933 | ||||||||
1,700 | Huron Consulting Group, Inc.* | 83,929 | ||||||||
10,300 | ICF International, Inc. | 964,698 | ||||||||
48,318 | Interface, Inc. | 694,813 | ||||||||
44,200 | Kelly Services, Inc. – Class A | 859,248 | ||||||||
18,518 | Kforce, Inc. | 1,081,822 | ||||||||
77,773 | Kimball International, Inc. – Class B | 969,829 | ||||||||
19,160 | Matthews International Corp. – Class A | 709,495 | ||||||||
16,700 | Pitney Bowes, Inc. | 124,749 | ||||||||
48,790 | Resources Connection, Inc. | 770,882 | ||||||||
59,800 | RR Donnelley & Sons Co.* | 293,618 | ||||||||
159,893 | Steelcase, Inc. – Class A | 2,252,892 | ||||||||
13,093 | TrueBlue, Inc.* | 357,832 | ||||||||
|
| |||||||||
Total Commercial & Professional Services | 22,234,993 | |||||||||
|
| |||||||||
Consumer Durables & Apparel — 6.5% | ||||||||||
11,200 | Bassett Furniture Industries, Inc. | 240,688 | ||||||||
4,600 | Century Communities, Inc. | 322,460 | ||||||||
4,852 | Clarus Corp. | 131,441 | ||||||||
109,977 | Ethan Allen Interiors, Inc. | 2,641,647 | ||||||||
73,233 | G-III Apparel Group Ltd.* | 2,265,097 | ||||||||
8,846 | Hooker Furniture Corp. | 275,641 | ||||||||
4,922 | Johnson Outdoors, Inc. – Class A | 564,996 | ||||||||
42,591 | La-Z-Boy, Inc. | 1,491,111 | ||||||||
53,045 | MDC Holdings, Inc. | 2,771,601 | ||||||||
42,435 | Movado Group, Inc. | 1,533,601 | ||||||||
3,592 | Rocky Brands, Inc. | 178,451 | ||||||||
17,900 | Taylor Morrison Home Corp.* | 502,811 | ||||||||
212,292 | TRI Pointe Homes, Inc.* | 5,046,181 | ||||||||
4,769 | Universal Electronics, Inc.* | 240,930 | ||||||||
64,551 | Vera Bradley, Inc.* | 739,754 | ||||||||
|
| |||||||||
Total Consumer Durables & Apparel | 18,946,410 | |||||||||
|
| |||||||||
Consumer Services — 0.3% | ||||||||||
19,600 | Adtalem Global Education, Inc.* | 725,200 | ||||||||
52 | Graham Holdings Co. – Class B | 32,074 | ||||||||
20,100 | Lincoln Educational Services Corp.* | 128,841 | ||||||||
|
| |||||||||
Total Consumer Services | 886,115 | |||||||||
|
| |||||||||
Diversified Financials — 5.5% | ||||||||||
13,000 | Cowen, Inc. – Class A | 468,520 | ||||||||
105,271 | Curo Group Holdings Corp. | 1,723,286 | ||||||||
1,208 | Diamond Hill Investment Group, Inc. | 221,100 |
Shares | Description | Value ($) | ||||||||
Diversified Financials — continued | ||||||||||
92,104 | Donnelley Financial Solutions, Inc.* | 3,071,668 | ||||||||
147,509 | Enova International, Inc.* | 4,864,847 | ||||||||
108,702 | Federated Hermes, Inc. | 3,677,389 | ||||||||
8,000 | Nelnet, Inc. – Class A | 647,040 | ||||||||
2,800 | Oppenheimer Holdings, Inc. – Class A | 130,452 | ||||||||
5,300 | Regional Management Corp. | 314,979 | ||||||||
3,200 | Sculptor Capital Management, Inc. | 90,560 | ||||||||
1,300 | StoneX Group, Inc.* | 90,597 | ||||||||
10,000 | Victory Capital Holdings, Inc. – Class A | 350,300 | ||||||||
14,814 | Westwood Holdings Group, Inc. | 330,056 | ||||||||
|
| |||||||||
Total Diversified Financials | 15,980,794 | |||||||||
|
| |||||||||
Energy — 3.5% | ||||||||||
47,260 | Evolution Petroleum Corp. | 197,074 | ||||||||
18,031 | Geospace Technologies Corp.* | 175,803 | ||||||||
199,892 | SM Energy Co. | 3,817,937 | ||||||||
56,800 | W&T Offshore, Inc.* | 185,168 | ||||||||
175,397 | World Fuel Services Corp. | 5,675,847 | ||||||||
|
| |||||||||
Total Energy | 10,051,829 | |||||||||
|
| |||||||||
Food & Staples Retailing — 0.4% | ||||||||||
2,301 | Ingles Markets, Inc. – Class A | 156,215 | ||||||||
36,609 | SpartanNash Co. | 787,093 | ||||||||
2,800 | Village Super Market, Inc. – Class A | 62,692 | ||||||||
4,600 | Weis Markets, Inc. | 261,970 | ||||||||
|
| |||||||||
Total Food & Staples Retailing | 1,267,970 | |||||||||
|
| |||||||||
Food, Beverage & Tobacco — 1.3% | ||||||||||
5,144 | Seneca Foods Corp. – Class A* | 251,902 | ||||||||
1,600 | Turning Point Brands, Inc. | 79,616 | ||||||||
62,959 | Universal Corp. | 3,185,725 | ||||||||
19,900 | Vector Group Ltd. | 298,898 | ||||||||
|
| |||||||||
Total Food, Beverage & Tobacco | 3,816,141 | |||||||||
|
| |||||||||
Health Care Equipment & Services — 1.2% | ||||||||||
53,500 | Brookdale Senior Living, Inc.* | 390,550 | ||||||||
21,600 | Cross Country Healthcare, Inc.* | 469,800 | ||||||||
12,319 | FONAR Corp.* | 214,967 | ||||||||
10,459 | LENSAR, Inc.* | 92,876 | ||||||||
29,917 | Meridian Bioscience, Inc.* | 605,520 | ||||||||
21,700 | Select Medical Holdings Corp. | 750,169 | ||||||||
13,714 | Triple-S Management Corp. – Class B* | 486,847 | ||||||||
14,600 | Varex Imaging Corp.* | 425,882 | ||||||||
|
| |||||||||
Total Health Care Equipment & Services | 3,436,611 | |||||||||
|
| |||||||||
Household & Personal Products — 0.1% | ||||||||||
29,143 | Lifevantage Corp.* | 226,441 | ||||||||
|
| |||||||||
Insurance — 2.0% | ||||||||||
5,700 | American National Group, Inc. | 1,097,250 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Insurance — continued | ||||||||||
23,900 | First American Financial Corp. | 1,685,667 | ||||||||
49,500 | Genworth Financial, Inc. – Class A* | 185,625 | ||||||||
41,590 | Stewart Information Services Corp. | 2,618,090 | ||||||||
7,600 | Universal Insurance Holdings, Inc. | 108,224 | ||||||||
|
| |||||||||
Total Insurance | 5,694,856 | |||||||||
|
| |||||||||
Materials — 5.0% | ||||||||||
29,648 | AdvanSix, Inc.* | 1,082,152 | ||||||||
11,608 | American Vanguard Corp. | 177,951 | ||||||||
8,800 | Avient Corp. | 458,392 | ||||||||
38,600 | Cabot Corp. | 2,061,240 | ||||||||
24,219 | Koppers Holdings, Inc.* | 796,805 | ||||||||
44,180 | Mercer International, Inc. | 502,768 | ||||||||
16,259 | Neenah, Inc. | 819,291 | ||||||||
3,100 | NewMarket Corp. | 1,084,163 | ||||||||
30,200 | Schnitzer Steel Industries, Inc. – Class A | 1,428,762 | ||||||||
76,224 | Schweitzer-Mauduit International, Inc. | 2,917,093 | ||||||||
63,443 | Trinseo SA | 3,294,595 | ||||||||
|
| |||||||||
Total Materials | 14,623,212 | |||||||||
|
| |||||||||
Media & Entertainment — 2.3% | ||||||||||
11,500 | AMC Networks, Inc.– Class A* | 546,595 | ||||||||
59,951 | Cars.com, Inc.* | 762,577 | ||||||||
60,383 | DHI Group, Inc.* | 272,327 | ||||||||
3,300 | iHeartMedia, Inc. – Class A* | 82,104 | ||||||||
103,189 | Liberty TripAdvisor Holdings, Inc. – Class A* | 385,927 | ||||||||
6,200 | Scholastic Corp. | 206,088 | ||||||||
13,144 | Sciplay Corp. – Class A* | 245,924 | ||||||||
244,990 | TEGNA, Inc. | 4,341,223 | ||||||||
|
| |||||||||
Total Media & Entertainment | 6,842,765 | |||||||||
|
| |||||||||
Pharmaceuticals, Biotechnology & Life Sciences — 2.3% | ||||||||||
46,719 | Kezar Life Sciences, Inc.* | 355,999 | ||||||||
107,320 | Prestige Consumer Healthcare, Inc.* | 6,159,095 | ||||||||
4,500 | Supernus Pharmaceuticals, Inc.* | 123,885 | ||||||||
|
| |||||||||
Total Pharmaceuticals, Biotechnology & Life Sciences | 6,638,979 | |||||||||
|
| |||||||||
Real Estate — 6.5% | ||||||||||
12,700 | Cedar Realty Trust, Inc. (REIT) | 220,853 | ||||||||
14,975 | Chatham Lodging Trust (REIT)* | 179,700 | ||||||||
78,509 | CorePoint Lodging, Inc. (REIT)* | 1,135,240 | ||||||||
19,081 | Five Point Holdings LLC – Class A* | 152,457 | ||||||||
17,870 | Forestar Group, Inc.* | 371,517 | ||||||||
455,485 | GEO Group, Inc. (The) (REIT) | 3,530,009 | ||||||||
2,600 | Marcus & Millichap, Inc.* | 101,972 | ||||||||
367,014 | Newmark Group, Inc. – Class A | 4,998,731 | ||||||||
67,600 | Piedmont Office Realty Trust, Inc. – Class A (REIT) | 1,204,632 | ||||||||
27,200 | PotlatchDeltic Corp. (REIT) | 1,413,040 | ||||||||
271,082 | Realogy Holdings Corp.* | 4,757,489 |
Shares | Description | Value ($) | ||||||||
Real Estate — continued | ||||||||||
18,251 | Service Properties Trust (REIT) | 208,609 | ||||||||
3,400 | Urstadt Biddle Properties, Inc. – Class A (REIT) | 64,872 | ||||||||
24,823 | Xenia Hotels & Resorts, Inc. (REIT)* | 432,417 | ||||||||
|
| |||||||||
Total Real Estate | 18,771,538 | |||||||||
|
| |||||||||
Retailing — 11.8% | ||||||||||
86,000 | Abercrombie & Fitch Co. – Class A* | 3,075,360 | ||||||||
4,531 | Asbury Automotive Group, Inc.* | 843,854 | ||||||||
14,020 | Cato Corp. (The) – Class A | 241,985 | ||||||||
61,671 | Core-Mark Holding Co., Inc. | 2,836,866 | ||||||||
38,887 | Genesco, Inc.* | 2,412,161 | ||||||||
32,594 | Group 1 Automotive, Inc. | 5,392,352 | ||||||||
63,694 | Haverty Furniture Cos, Inc. | 2,269,417 | ||||||||
49,213 | Penske Automotive Group, Inc. | 4,425,725 | ||||||||
97,096 | Shoe Carnival, Inc. | 3,716,835 | ||||||||
64,200 | Signet Jewelers Ltd. | 5,084,640 | ||||||||
31,934 | Sleep Number Corp.* | 2,954,214 | ||||||||
2,094 | Weyco Group, Inc. | 48,099 | ||||||||
25,201 | Zumiez, Inc.* | 1,012,828 | ||||||||
|
| |||||||||
Total Retailing | 34,314,336 | |||||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment — 0.3% | ||||||||||
12,000 | Kulicke & Soffa Industries, Inc. | 842,280 | ||||||||
|
| |||||||||
Software & Services — 0.0% | ||||||||||
738 | BM Technologies, Inc.* | 7,188 | ||||||||
|
| |||||||||
Technology Hardware & Equipment — 7.9% | ||||||||||
56,790 | ADTRAN, Inc. | 1,173,281 | ||||||||
15,000 | Avid Technology, Inc.* | 387,150 | ||||||||
113,913 | Avnet, Inc. | 4,608,920 | ||||||||
35,219 | Benchmark Electronics, Inc. | 951,970 | ||||||||
34,861 | CTS Corp. | 1,222,924 | ||||||||
24,800 | Daktronics, Inc.* | 151,032 | ||||||||
4,500 | DZS, Inc.* | 62,145 | ||||||||
3,452 | Insight Enterprises, Inc.* | 355,176 | ||||||||
24,878 | Kimball Electronics, Inc.* | 601,301 | ||||||||
32,609 | Methode Electronics, Inc. | 1,518,601 | ||||||||
4,100 | OSI Systems, Inc.* | 405,654 | ||||||||
900 | Plexus Corp.* | 82,647 | ||||||||
8,600 | Quantum Corp.* | 53,664 | ||||||||
80,245 | Sanmina Corp.* | 3,168,073 | ||||||||
5,153 | ScanSource, Inc.* | 183,344 | ||||||||
12,444 | Super Micro Computer, Inc.* | 454,704 | ||||||||
166,500 | Vishay Intertechnology, Inc. | 3,658,005 | ||||||||
178,022 | Xerox Holdings Corp. | 4,007,275 | ||||||||
|
| |||||||||
Total Technology Hardware & Equipment | 23,045,866 | |||||||||
|
| |||||||||
Telecommunication Services — 2.0% | ||||||||||
26,366 | IDT Corp. – Class B* | 1,146,394 | ||||||||
91,721 | Spok Holdings, Inc. | 908,955 |
See accompanying notes to the financial statements. | 49 |
GMO U.S. Small Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Telecommunication Services — continued | ||||||||||
169,432 | Telephone & Data Systems, Inc. | 3,442,858 | ||||||||
8,852 | United States Cellular Corp. * | 282,821 | ||||||||
|
| |||||||||
Total Telecommunication Services | 5,781,028 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $243,953,592) | 285,718,948 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 0.9% | ||||||||||
Affiliated Issuers — 0.9% | ||||||||||
492,873 | GMO U.S. Treasury Fund | 2,484,079 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $2,481,097) | 2,484,079 | |||||||||
|
| |||||||||
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 — 0.2% | ||||||||||
Money Market Funds — 0.2% | ||||||||||
731,931 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (b) | 731,931 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $731,931) | 731,931 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.4% (Cost $247,200,062) | 288,971,308 | |||||||||
Other Assets and Liabilities (net) — 0.6% | 1,606,959 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $290,578,267 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2021 is as follows:
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Buys 15 | E-mini Russell 2000 Index | September 2021 | $ | 1,703,400 | $ | (3,488 | ) | |||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
As of August 31, 2021, 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 inputs (Note 2). |
(b) | The rate disclosed is the 7 day net yield as of August 31, 2021. |
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, 2021 (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, 2021, which are subject to change based on the terms of the security.
Counterparty Abbreviations:
GS - Goldman Sachs International
Currency Abbreviations:
USD - United States Dollar
See accompanying notes to the financial statements. | 51 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2021 (Unaudited)
Climate Change Fund | Emerging Domestic Opportunities Fund | Emerging Markets Fund | International Equity Fund | |||||||||||||
Assets: |
| |||||||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | 19,976,703 | $ | 25,163,385 | $ | 8,367,850 | $ | — | ||||||||
Investments in unaffiliated issuers, at value (Note 2)(b) (c) | 533,743,919 | 902,599,826 | 2,907,026,888 | 2,298,130,640 | ||||||||||||
Foreign currency, at value (Note 2)(d) | 264,154 | 4,709,455 | 18,417,160 | 555,408 | ||||||||||||
Cash | 1,143,279 | — | 160,000 | — | ||||||||||||
Receivable for investments sold | 4,334,207 | 5,612,261 | 89,289,286 | — | ||||||||||||
Receivable for Fund shares sold | 7,293,203 | — | 2,152,029 | — | ||||||||||||
Dividends and interest receivable | 292,358 | 496,736 | 8,450,759 | 8,259,379 | ||||||||||||
Dividend withholding tax receivable | 54,064 | 72,629 | 9,147 | 1,925,888 | ||||||||||||
Foreign capital gains tax refund receivable (Note 2) | — | 5,689,449 | 4,098,477 | — | ||||||||||||
Due from broker (Note 2) | — | 2,609,303 | 1,673,328 | 1,291,354 | ||||||||||||
Receivable for variation margin on open futures contracts (Note 4) | — | 159,167 | 6,470,450 | — | ||||||||||||
Receivable for open OTC swap contracts (Note 4) | — | — | 2,121,883 | — | ||||||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 20,269 | 10,957 | 106,251 | 62,383 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 567,122,156 | 947,123,168 | 3,048,343,508 | 2,310,225,052 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: |
| |||||||||||||||
Payable for cash collateral from securities loaned (Note 2) | 6,084,188 | — | — | — | ||||||||||||
Payable for investments purchased | 9,294,962 | 10,047,654 | 103,436,931 | 38 | ||||||||||||
Payable for Fund shares repurchased | 589,385 | 164,241 | 11,096,436 | 1,161,524 | ||||||||||||
Accrued foreign capital gains tax payable (Note 2) | — | 4,520,196 | 4,244,816 | — | ||||||||||||
Payable for IRS closing agreement fees (Note 2) | — | — | — | 49,512,686 | ||||||||||||
Payable to affiliate for (Note 5): |
| |||||||||||||||
Management fee | 269,815 | 584,843 | 1,578,313 | 951,675 | ||||||||||||
Shareholder service fee | 67,454 | 99,811 | 234,506 | 192,196 | ||||||||||||
Payable to agents unaffiliated with GMO | 186 | 321 | 918 | 565 | ||||||||||||
Payable for variation margin on open futures contracts (Note 4) | — | — | 398,636 | 21,227 | ||||||||||||
Payable to Trustees and related expenses | 1,001 | 5,409 | 19,120 | 21,179 | ||||||||||||
Accrued expenses | 132,999 | 343,145 | 1,311,828 | 641,161 | ||||||||||||
Miscellaneous payable | — | — | 899,908 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 16,439,990 | 15,765,620 | 123,221,412 | 52,502,251 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 550,682,166 | $ | 931,357,548 | $ | 2,925,122,096 | $ | 2,257,722,801 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments – affiliated issuers: | $ | 19,963,316 | $ | 25,160,104 | $ | 13,358,337 | $ | — | ||||||||
(b) Cost of investments – unaffiliated issuers: | $ | 485,343,554 | $ | 843,437,714 | $ | 2,731,589,207 | $ | 2,121,786,263 | ||||||||
(c) Includes securities on loan at value (Note 2): | $ | 43,982,270 | $ | — | $ | 18,748,263 | $ | — | ||||||||
(d) Cost of foreign currency: | $ | 264,144 | $ | 4,665,034 | $ | 18,158,360 | $ | 553,613 |
52 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2021 (Unaudited) — (Continued)
Climate Change Fund | Emerging Domestic Opportunities Fund | Emerging Markets Fund | International Equity Fund | |||||||||||||
Net assets consist of: |
| |||||||||||||||
Paid-in capital | $ | 465,509,017 | $ | 830,211,743 | $ | 3,821,177,250 | $ | 2,959,979,304 | ||||||||
Distributable earnings (accumulated loss) | 85,173,149 | 101,145,805 | (896,055,154 | ) | (702,256,503 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 550,682,166 | $ | 931,357,548 | $ | 2,925,122,096 | $ | 2,257,722,801 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets attributable to: |
| |||||||||||||||
Class II | $ | — | $ | 289,644,319 | $ | 283,645,543 | $ | 6,042,963 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | $ | 259,111,859 | $ | — | $ | 481,086,040 | $ | 396,367,657 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | — | $ | — | $ | — | $ | 1,855,311,689 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class V | $ | — | $ | 627,090,840 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | — | $ | — | $ | 1,982,488,850 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | $ | 90,599,544 | $ | — | $ | 43,179,887 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | $ | 200,970,763 | $ | 14,622,389 | $ | 134,721,776 | $ | 492 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding: |
| |||||||||||||||
Class II | — | 10,907,600 | 7,624,576 | 242,272 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | 7,572,824 | — | 12,892,703 | 15,689,002 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | — | — | — | 73,561,413 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class V | — | 23,623,593 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | — | — | 53,705,577 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | 2,652,463 | — | 1,161,720 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | 5,886,687 | 550,849 | 3,626,911 | 19 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share: |
| |||||||||||||||
Class II | $ | — | $ | 26.55 | $ | 37.20 | $ | 24.94 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | $ | 34.22 | $ | — | $ | 37.31 | $ | 25.26 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | — | $ | — | $ | — | $ | 25.22 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class V | $ | — | $ | 26.55 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | — | $ | — | $ | 36.91 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | $ | 34.16 | $ | — | $ | 37.17 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | $ | 34.14 | $ | 26.55 | $ | 37.15 | $ | 25.36 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 53 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2021 (Unaudited) — (Continued)
Japan Value Creation Fund | Quality Cyclicals Fund (formerly Cyclical Focus Fund) | Quality Fund | Resources Fund | |||||||||||||
Assets: |
| |||||||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | — | $ | 633,249 | $ | 9,830,961 | $ | 53,018,346 | ||||||||
Investments in unaffiliated issuers, at value (Note 2)(b) (c) | 168,217,414 | 140,754,740 | 9,189,167,173 | 1,662,492,824 | ||||||||||||
Foreign currency, at value (Note 2)(d) | — | 91,727 | 16 | 2,468,742 | ||||||||||||
Receivable for investments sold | 367,657 | — | — | 228 | ||||||||||||
Receivable for Fund shares sold | — | — | 7,555,130 | 1,519,337 | ||||||||||||
Dividends and interest receivable | 193,219 | 144,038 | 9,405,707 | 4,090,457 | ||||||||||||
Dividend withholding tax receivable | 74,757 | 18,831 | 2,335,442 | 546,071 | ||||||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 9,221 | 12,183 | 113,185 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 168,862,268 | 141,654,768 | 9,218,407,614 | 1,724,136,005 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: |
| |||||||||||||||
Payable for investments purchased | 386,083 | — | — | — | ||||||||||||
Payable for Fund shares repurchased | — | — | 6,962,814 | 2,225,013 | ||||||||||||
Accrued foreign capital gains tax payable (Note 2) | — | — | — | 2,187,814 | ||||||||||||
Payable to affiliate for (Note 5): |
| |||||||||||||||
Management fee | 70,712 | 40,096 | 2,555,386 | 720,055 | ||||||||||||
Shareholder service fee | 7,926 | 6,690 | 831,508 | 177,800 | ||||||||||||
Payable to agents unaffiliated with GMO | 73 | 56 | 2,759 | 515 | ||||||||||||
Payable to Trustees and related expenses | 357 | 541 | 39,417 | 2,846 | ||||||||||||
Accrued expenses | 87,588 | 69,477 | 724,391 | 161,113 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 552,739 | 116,860 | 11,116,275 | 5,475,156 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 168,309,529 | $ | 141,537,908 | $ | 9,207,291,339 | $ | 1,718,660,849 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments – affiliated issuers: | $ | — | $ | 633,249 | $ | 9,752,901 | $ | 39,565,421 | ||||||||
(b) Cost of investments – unaffiliated issuers: | $ | 148,899,404 | $ | 105,402,872 | $ | 4,996,633,209 | $ | 1,419,384,333 | ||||||||
(c) Includes securities on loan at value (Note 2): | $ | — | $ | — | $ | — | $ | 74,329,231 | ||||||||
(d) Cost of foreign currency: | $ | — | $ | 91,727 | $ | 16 | $ | 2,511,389 |
54 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2021 (Unaudited) — (Continued)
Japan Value Creation Fund | Quality Cyclicals Fund (formerly Cyclical Focus Fund) | Quality Fund | Resources Fund | |||||||||||||
Net assets consist of: |
| |||||||||||||||
Paid-in capital | $ | 146,480,949 | $ | 95,680,965 | $ | 4,824,368,103 | $ | 1,430,828,738 | ||||||||
Distributable earnings (accumulated loss) | 21,828,580 | 45,856,943 | 4,382,923,236 | 287,832,111 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 168,309,529 | $ | 141,537,908 | $ | 9,207,291,339 | $ | 1,718,660,849 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets attributable to: |
| |||||||||||||||
Class III | $ | — | $ | — | $ | 3,517,943,576 | $ | 302,345,493 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | — | $ | — | $ | 1,117,220,686 | $ | 907,667,097 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | 166,438,648 | $ | 141,448,189 | $ | 3,600,545,913 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | $ | — | $ | — | $ | 495,460,999 | $ | 9,063,305 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | $ | 1,870,881 | $ | 89,719 | $ | 476,120,165 | $ | 499,584,954 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding: |
| |||||||||||||||
Class III | — | — | 115,192,564 | 10,637,207 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | — | — | 36,486,924 | 32,028,436 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | 7,301,890 | 4,984,849 | 117,868,732 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | — | — | 16,239,102 | 318,867 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | 82,167 | 3,163 | 15,622,874 | 17,580,576 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share: |
| |||||||||||||||
Class III | $ | — | $ | — | $ | 30.54 | $ | 28.42 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | — | $ | — | $ | 30.62 | $ | 28.34 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | 22.79 | $ | 28.38 | $ | 30.55 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | $ | — | $ | — | $ | 30.51 | $ | 28.42 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | $ | 22.77 | $ | 28.37 | $ | 30.48 | $ | 28.42 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 55 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2021 (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) | $ | 1,166,020 | $ | 1,151,569 | $ | 2,484,079 | ||||||
Investments in unaffiliated issuers, at value (Note 2)(b) | 40,386,943 | 413,237,117 | 286,487,229 | |||||||||
Foreign currency, at value (Note 2)(c) | 49,407 | — | — | |||||||||
Cash | — | 1,681,973 | 1,400,000 | |||||||||
Receivable for investments sold | 8 | — | — | |||||||||
Receivable for Fund shares sold | — | 10,000,000 | — | |||||||||
Dividends and interest receivable | 131,558 | 625,132 | 379,873 | |||||||||
Dividend withholding tax receivable | 29,473 | — | — | |||||||||
Foreign capital gains tax refund receivable (Note 2) | 2,185 | — | — | |||||||||
Due from broker (Note 2) | 21,167 | 112,000 | 108,000 | |||||||||
Receivable for variation margin on open futures contracts (Note 4) | — | — | 3,450 | |||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 21,298 | 14,773 | — | |||||||||
|
|
|
|
|
| |||||||
Total assets | 41,808,059 | 426,822,564 | 290,862,631 | |||||||||
|
|
|
|
|
| |||||||
Liabilities: |
| |||||||||||
Due to broker (Note 2) | 38 | 35 | 4 | |||||||||
Payable for Fund shares repurchased | — | 1,600,000 | 100,000 | |||||||||
Accrued foreign capital gains tax payable (Note 2) | 1,410 | — | — | |||||||||
Payable for IRS closing agreement fees (Note 2) | 468,294 | — | — | |||||||||
Payable to affiliate for (Note 5): |
| |||||||||||
Management fee | 17,469 | 108,534 | 75,928 | |||||||||
Shareholder service fee | 5,241 | 28,430 | 13,471 | |||||||||
Payable to agents unaffiliated with GMO | 15 | 97 | 87 | |||||||||
Payable for variation margin on open futures contracts (Note 4) | 330 | 1,932 | — | |||||||||
Payable to Trustees and related expenses | 252 | 2,923 | 3,281 | |||||||||
Accrued expenses | 167,157 | 95,413 | 91,593 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 660,206 | 1,837,364 | 284,364 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 41,147,853 | $ | 424,985,200 | $ | 290,578,267 | ||||||
|
|
|
|
|
| |||||||
(a) Cost of investments – affiliated issuers: | $ | 1,164,487 | $ | 1,149,284 | $ | 2,481,097 | ||||||
(b) Cost of investments – unaffiliated issuers: | $ | 32,055,676 | $ | 335,451,301 | $ | 244,718,965 | ||||||
(c) Cost of foreign currency: | $ | 49,080 | $ | — | $ | — |
56 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2021 (Unaudited) — (Continued)
Tax-Managed International Equities Fund | U.S. Equity Fund | U.S. Small Cap Value Fund | ||||||||||
Net assets consist of: |
| |||||||||||
Paid-in capital | $ | 29,562,459 | $ | 297,946,194 | $ | 193,438,497 | ||||||
Distributable earnings (accumulated loss) | 11,585,394 | 127,039,006 | 97,139,770 | |||||||||
|
|
|
|
|
| |||||||
$ | 41,147,853 | $ | 424,985,200 | $ | 290,578,267 | |||||||
|
|
|
|
|
| |||||||
Net assets attributable to: |
| |||||||||||
Class III | $ | 41,147,853 | $ | 114,492,559 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class VI | $ | — | $ | 310,492,641 | $ | 290,578,267 | ||||||
|
|
|
|
|
| |||||||
Shares outstanding: |
| |||||||||||
Class III | 2,356,235 | 7,148,672 | — | |||||||||
|
|
|
|
|
| |||||||
Class VI | — | 19,588,892 | 11,198,268 | |||||||||
|
|
|
|
|
| |||||||
Net asset value per share: |
| |||||||||||
Class III | $ | 17.46 | $ | 16.02 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class VI | $ | — | $ | 15.85 | $ | 25.95 | ||||||
|
|
|
|
|
|
See accompanying notes to the financial statements. | 57 |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2021 (Unaudited)
Climate Change Fund | Emerging Domestic Opportunities Fund | Emerging Markets Fund | International Equity Fund | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a) | $ | 3,815,675 | $ | 8,848,346 | $ | 84,664,192 | $ | 59,701,933 | ||||||||
Dividends from affiliated issuers (Note 10) | 8,124 | 7,160 | — | — | ||||||||||||
Interest | — | 5,821 | 116,063 | 20,214 | ||||||||||||
Securities lending income from affiliated issuers (net) | 124,620 | — | — | — | ||||||||||||
Securities lending income (net) | 157,273 | — | 154,436 | — | ||||||||||||
Other income (Note 2) | — | — | 1,239,899 | 2,391,503 | ||||||||||||
Less: IRS closing agreement fees (Note 2) | — | — | — | (1,286,532 | ) | |||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Total investment income | 4,105,692 | 8,861,327 | 86,174,590 | 60,827,118 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Expenses: |
| |||||||||||||||
Management fee (Note 5) | 1,367,770 | 3,716,610 | 9,768,544 | 5,667,784 | ||||||||||||
Shareholder service fee – Class II (Note 5) | — | 334,444 | 322,483 | 6,683 | ||||||||||||
Shareholder service fee – Class III (Note 5) | 165,699 | — | 375,073 | 330,380 | ||||||||||||
Shareholder service fee – Class IV (Note 5) | — | — | — | 819,239 | ||||||||||||
Shareholder service fee – Class V (Note 5) | — | 284,263 | 40,320 | * | — | |||||||||||
Shareholder service fee – Class VI (Note 5) | — | — | 540,958 | — | ||||||||||||
Shareholder service fee – Class R6 (Note 5) | 63,053 | — | 48,246 | — | ||||||||||||
Shareholder service fee – Class I (Note 5) | 113,190 | 20,021 | 117,249 | — | ** | |||||||||||
Audit and tax fees | 42,840 | 52,863 | 77,778 | 58,048 | ||||||||||||
Custodian, fund accounting agent and transfer agent fees | 140,608 | 321,472 | 1,100,021 | 299,981 | ||||||||||||
Legal fees | 5,668 | 10,030 | 26,455 | 21,838 | ||||||||||||
Registration fees | 21,513 | 28,185 | 54,593 | 39,822 | ||||||||||||
Trustees’ fees and related expenses (Note 5) | 6,783 | 17,081 | 52,402 | 42,862 | ||||||||||||
Miscellaneous | 5,672 | 9,361 | 31,213 | 27,484 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Total expenses | 1,932,796 | 4,794,330 | 12,555,335 | 7,314,121 | ||||||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (94,735 | ) | (106,468 | ) | (643,435 | ) | (421,368 | ) | ||||||||
Indirectly incurred management fees waived or borne by GMO (Note 5) | (923 | ) | (1,477 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Net expenses | 1,837,138 | 4,686,385 | 11,911,900 | 6,892,753 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Net investment income (loss) | 2,268,554 | 4,174,942 | 74,262,690 | 53,934,365 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Realized and unrealized gain (loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b) | 46,865,316 | 55,408,853 | 99,929,504 | 148,699,610 | ||||||||||||
Investments in affiliated issuers | (17,710 | ) | (64,625 | ) | — | — | ||||||||||
Realized gain distributions from affiliated issuers (Note 10) | 10,446 | 3,722 | — | — | ||||||||||||
Futures contracts | — | (1,336,394 | ) | 13,164,622 | (268,754 | ) | ||||||||||
Swap contracts | — | — | 6,001,631 | — | ||||||||||||
Foreign currency and foreign currency related transactions | (78,346 | ) | (1,041,262 | ) | (760,584 | ) | (262,210 | ) | ||||||||
|
|
|
|
|
|
|
|
| ||||||||
Net realized gain (loss) | 46,779,706 | 52,970,294 | 118,335,173 | 148,168,646 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c) | (23,970,973 | ) | (93,719,658 | ) | (120,689,640 | ) | 16,374,834 | |||||||||
Investments in affiliated issuers | 13,387 | 3,281 | 1,393,444 | — | ||||||||||||
Futures contracts | — | (245,438 | ) | (24,020,020 | ) | 290,951 | ||||||||||
Swap contracts | — | — | 1,896,557 | — | ||||||||||||
Foreign currency and foreign currency related transactions | 30,918 | 177,508 | 511,386 | 9,716 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Net change in unrealized appreciation (depreciation) | (23,926,668 | ) | (93,784,307 | ) | (140,908,273 | ) | 16,675,501 | |||||||||
|
|
|
|
|
|
|
|
| ||||||||
Net realized and unrealized gain (loss) | 22,853,038 | (40,814,013 | ) | (22,573,100 | ) | 164,844,147 | ||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Net increase (decrease) in net assets resulting from operations | $ | 25,121,592 | $ | (36,639,071 | ) | $ | 51,689,590 | $ | 218,778,512 | |||||||
|
|
|
|
|
|
|
|
| ||||||||
(a) Withholding tax: | $ | 198,833 | $ | 1,347,072 | $ | 10,834,257 | $ | 4,837,411 | ||||||||
(b) Foreign capital gains tax on net realized gain (loss): | $ | 22,896 | $ | 2,318,633 | $ | 1,322,252 | $ | — | ||||||||
(c) Foreign capital gains tax on change in net unrealized appreciation (depreciation): | $ | (26,624 | ) | $ | 2,133,056 | $ | 3,151,156 | $ | — |
* | Class V liquidated on April 29, 2021. |
** | Period from May 24, 2021 (commencement of operation) through August 31, 2021. |
58 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2021 (Unaudited) — (Continued)
Japan Value Creation Fund | Quality Cyclicals Fund (formerly Cyclical Focus Fund) | Quality Fund | Resources Fund | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a) | $ | 2,265,185 | $ | 1,922,667 | $ | 73,881,413 | $ | 30,163,219 | ||||||||
Dividends from affiliated issuers (Note 10) | — | 109 | 3,813 | — | ||||||||||||
Interest | — | — | 4,020,916 | 6,444 | ||||||||||||
Securities lending income (net) | — | 720 | — | 154,798 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 2,265,185 | 1,923,496 | 77,906,142 | 30,324,461 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: |
| |||||||||||||||
Management fee (Note 5) | 421,424 | 244,843 | 13,916,485 | 3,493,172 | ||||||||||||
Shareholder service fee – Class III (Note 5) | — | — | 2,822,368 | 154,943 | ||||||||||||
Shareholder service fee – Class IV (Note 5) | — | — | 414,559 | 362,787 | ||||||||||||
Shareholder service fee – Class VI (Note 5) | 46,155 | 40,801 | 841,808 | — | ||||||||||||
Shareholder service fee – Class R6 (Note 5) | — | — | 316,599 | 4,358 | ||||||||||||
Shareholder service fee – Class I (Note 5) | 549 | * | 17 | ** | 298,639 | 344,471 | ||||||||||
Organizational expenses | — | 3,000 | — | — | ||||||||||||
Audit and tax fees | 33,270 | 32,523 | 67,912 | 39,759 | ||||||||||||
Custodian, fund accounting agent and transfer agent fees | 17,096 | 21,146 | 694,315 | 374,154 | ||||||||||||
Legal fees | 9,238 | 5,507 | 64,422 | 12,119 | ||||||||||||
Registration fees | 361 | 122 | 58,945 | 78,851 | ||||||||||||
Trustees’ fees and related expenses (Note 5) | 1,887 | 2,191 | 126,708 | 19,609 | ||||||||||||
Miscellaneous | 4,096 | 5,515 | 27,448 | 6,835 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 534,076 | 355,665 | 19,650,208 | 4,891,058 | ||||||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (56,742 | ) | (56,767 | ) | (667,907 | ) | — | |||||||||
Indirectly incurred management fees waived or borne by GMO (Note 5) | — | (5 | ) | (840 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 477,334 | 298,893 | 18,981,461 | 4,891,058 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 1,787,851 | 1,624,603 | 58,924,681 | 25,433,403 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b) | 6,440,387 | 10,930,055 | 142,713,216 | 42,902,571 | ||||||||||||
Investments in affiliated issuers | — | (4,751 | ) | — | 2,066,197 | |||||||||||
Realized gain distributions from affiliated issuers (Note 10) | — | 212 | 4,876 | — | ||||||||||||
Foreign currency and foreign currency related transactions | (54,150 | ) | 15,613 | 49,340 | 74,486 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 6,386,237 | 10,941,129 | 142,767,432 | 45,043,254 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c) | (1,094,536 | ) | (759,460 | ) | 1,269,380,211 | (24,190,875 | ) | |||||||||
Investments in affiliated issuers | — | — | — | 13,452,925 | ||||||||||||
Foreign currency and foreign currency related transactions | 2,863 | (351 | ) | (131,429 | ) | (22,241 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) | (1,091,673 | ) | (759,811 | ) | 1,269,248,782 | (10,760,191 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | 5,294,564 | 10,181,318 | 1,412,016,214 | 34,283,063 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | 7,082,415 | $ | 11,805,921 | $ | 1,470,940,895 | $ | 59,716,466 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Withholding tax: | $ | 251,685 | $ | 62,041 | $ | 2,276,714 | $ | 1,611,689 | ||||||||
(b) Foreign capital gains tax on net realized gain (loss): | $ | — | $ | — | $ | — | $ | 489,839 | ||||||||
(c) Foreign capital gains tax on change in net unrealized appreciation (depreciation): | $ | — | $ | — | $ | — | $ | 362,784 | ||||||||
* Period from June 7, 2021 (commencement of operations) through August 31, 2021. | ||||||||||||||||
** Period from July 16, 2021 (commencement of operations) through August 31, 2021. |
See accompanying notes to the financial statements. | 59 |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2021 (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) | $ | 1,046,230 | $ | 3,326,220 | $ | 2,655,614 | ||||||
Dividends from affiliated issuers (Note 10) | 352 | 1,880 | 1,441 | |||||||||
Interest | 45,909 | — | — | |||||||||
Other income (Note 2) | 590,688 | — | — | |||||||||
Less: IRS closing agreement fees (Note 2) | (468,294 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Total investment income | 1,214,885 | 3,328,100 | 2,657,055 | |||||||||
|
|
|
|
|
| |||||||
Expenses: |
| |||||||||||
Management fee (Note 5) | 104,689 | 583,531 | 501,294 | |||||||||
Shareholder service fee – Class III (Note 5) | 31,407 | 84,861 | — | |||||||||
Shareholder service fee – Class VI (Note 5) | — | 72,414 | 88,939 | |||||||||
Audit and tax fees | 63,471 | 29,577 | 27,786 | |||||||||
Custodian, fund accounting agent and transfer agent fees | 50,946 | 34,731 | 41,065 | |||||||||
Legal fees | 47,220 | * | 5,462 | 6,646 | ||||||||
Registration fees | 2,508 | 12,931 | 952 | |||||||||
Trustees’ fees and related expenses (Note 5) | 710 | 6,517 | 6,870 | |||||||||
Miscellaneous | 16,013 | ** | 3,199 | 2,954 | ||||||||
|
|
|
|
|
| |||||||
Total expenses | 316,964 | 833,223 | 676,506 | |||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (106,255 | ) | (82,836 | ) | — | |||||||
Indirectly incurred management fees waived or borne by GMO (Note 5) | (48 | ) | (400 | ) | (9 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 210,661 | 749,987 | 676,497 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 1,004,224 | 2,578,113 | 1,980,558 | |||||||||
|
|
|
|
|
| |||||||
Realized and unrealized gain (loss): | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments in unaffiliated issuers | 4,957,488 | 47,800,852 | 53,758,431 | |||||||||
Investments in affiliated issuers | (636 | ) | 18,988 | — | ||||||||
Realized gain distributions from affiliated issuers (Note 10) | 454 | 2,406 | 2,515 | |||||||||
Futures contracts | 32,704 | 653,471 | 19,813 | |||||||||
Foreign currency and foreign currency related transactions | (1,945 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 4,988,065 | 48,475,717 | 53,780,759 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b) | (2,190,916 | ) | 11,555,038 | (14,033,504 | ) | |||||||
Investments in affiliated issuers | 1,491 | 2,285 | 2,982 | |||||||||
Futures contracts | (5,754 | ) | 23,687 | 105,732 | ||||||||
Foreign currency and foreign currency related transactions | (4,446 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) | (2,199,625 | ) | 11,581,010 | (13,924,790 | ) | |||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) | 2,788,440 | 60,056,727 | 39,855,969 | |||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | 3,792,664 | $ | 62,634,840 | $ | 41,836,527 | ||||||
|
|
|
|
|
| |||||||
(a) Withholding tax: | $ | 91,763 | $ | 474 | $ | 4,340 | ||||||
(b) Foreign capital gains tax on change in net unrealized appreciation (depreciation): | $ | 136 | $ | — | $ | — | ||||||
* Includes $44,625 of legal fees which are contingent in nature and attributed to EU tax reclaims (See Note 2). | ||||||||||||
** Includes $13,396 of pricing related fees. |
60 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets
Climate Change Fund | Emerging Domestic Opportunities Fund | |||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | |||||||||||||
Increase (decrease) in net assets: |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income (loss) | $ | 2,268,554 | $ | 2,313,784 | $ | 4,174,942 | $ | 7,624,834 | ||||||||
Net realized gain (loss) | 46,779,706 | 33,276,767 | 52,970,294 | 92,893,737 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (23,926,668 | ) | 71,640,346 | (93,784,307 | ) | 152,551,097 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 25,121,592 | 107,230,897 | (36,639,071 | ) | 253,069,668 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders: |
| |||||||||||||||
Class II | — | — | (679,355 | ) | (1,859,130 | ) | ||||||||||
Class III | (15,024,425 | ) | (9,171,238 | ) | — | (84,526 | )* | |||||||||
Class V | — | — | (1,854,001 | ) | (5,157,641 | ) | ||||||||||
Class VI | — | — | — | — | ||||||||||||
Class R6 | (5,379,610 | ) | (2,822,175 | ) | — | — | ||||||||||
Class I | �� | (10,190,684 | ) | (1,789,912 | ) | (47,543 | ) | — | ** | |||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (30,594,719 | ) | (13,783,325 | ) | (2,580,899 | ) | (7,101,297 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): |
| |||||||||||||||
Class II | — | — | (8,185,102 | ) | (60,686,694 | ) | ||||||||||
Class III | 84,021,473 | (6,186,295 | ) | — | (97,209,926 | )* | ||||||||||
Class V | — | — | (44,575,108 | ) | (42,006,078 | ) | ||||||||||
Class VI | — | — | — | — | ||||||||||||
Class R6 | 16,209,266 | 54,335,435 | — | — | ||||||||||||
Class I | 104,043,088 | 87,130,973 | (2,968,845 | ) | 19,375,366 | ** | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | 204,273,827 | 135,280,113 | (55,729,055 | ) | (180,527,332 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 198,800,700 | 228,727,685 | (94,949,025 | ) | 65,441,039 | |||||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 351,881,466 | 123,153,781 | 1,026,306,573 | 960,865,534 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 550,682,166 | $ | 351,881,466 | $ | 931,357,548 | $ | 1,026,306,573 | ||||||||
|
|
|
|
|
|
|
| |||||||||
* Class III liquidated on January 22, 2021. |
| |||||||||||||||
** Period from January 22, 2021 (commencement of operations) through February 28, 2021. |
|
See accompanying notes to the financial statements. | 61 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Emerging Markets Fund | International Equity Fund | |||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | |||||||||||||
Increase (decrease) in net assets: |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income (loss) | $ | 74,262,690 | $ | 78,474,906 | $ | 53,934,365 | $ | 97,335,937 | ||||||||
Net realized gain (loss) | 118,335,173 | 141,192,809 | 148,168,646 | 50,571,653 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (140,908,273 | ) | 413,173,731 | 16,675,501 | 318,580,148 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 51,689,590 | 632,841,446 | 218,778,512 | 466,487,738 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders: |
| |||||||||||||||
Class II | (725,648 | ) | (12,199,534 | ) | (105,615 | ) | (236,321 | ) | ||||||||
Class III | (1,306,116 | ) | (17,045,072 | ) | (7,667,243 | ) | (20,929,248 | ) | ||||||||
Class IV | — | — | (30,999,301 | ) | (91,693,467 | ) | ||||||||||
Class V | — | * | (5,655,265 | ) | — | — | ||||||||||
Class VI | (6,503,925 | ) | (76,765,259 | ) | — | — | ||||||||||
Class R6 | (109,405 | ) | (936,435 | )** | — | — | ||||||||||
Class I | (293,279 | ) | (1,295,377 | ) | — | *** | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (8,938,373 | ) | (113,896,942 | ) | (38,772,159 | ) | (112,859,036 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): |
| |||||||||||||||
Class II | (11,792,240 | ) | (168,183,437 | ) | 38,120 | (5,323,954 | ) | |||||||||
Class III | (27,720,476 | ) | 89,373,406 | (62,471,673 | ) | (100,462,179 | ) | |||||||||
Class IV | — | — | (54,414,174 | ) | (1,100,892,967 | ) | ||||||||||
Class V | (315,869,299 | )* | 80,614,160 | — | — | |||||||||||
Class VI | 172,587,389 | (740,332,831 | ) | — | — | |||||||||||
Class R6 | (1,051,011 | ) | 36,659,585 | ** | — | — | ||||||||||
Class I | 53,676,165 | 60,222,895 | 500 | *** | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (130,169,472 | ) | (641,646,222 | ) | (116,847,227 | ) | (1,206,679,100 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (87,418,255 | ) | (122,701,718 | ) | 63,159,126 | (853,050,398 | ) | |||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 3,012,540,351 | 3,135,242,069 | 2,194,563,675 | 3,047,614,073 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 2,925,122,096 | $ | 3,012,540,351 | $ | 2,257,722,801 | $ | 2,194,563,675 | ||||||||
|
|
|
|
|
|
|
| |||||||||
* Class V liquidated on April 29, 2021. |
| |||||||||||||||
** Period from March 31, 2020 (commencement of operations) through February 28, 2021. |
| |||||||||||||||
*** Period from May 24, 2021 (commencement of operations) through August 31, 2021. |
|
62 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Japan Value Creation Fund | Quality Cyclicals Fund (formerly Cyclical Focus Fund) | |||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Period from September 14, 2020 (commencement of operations) through February 28, 2021 | Six Months Ended August 31, 2021 (Unaudited) | Period from May 12, 2020 (commencement of operations) through February 28, 2021 | |||||||||||||
Increase (decrease) in net assets: |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income (loss) | $ | 1,787,851 | $ | 1,196,636 | $ | 1,624,603 | $ | 1,985,274 | ||||||||
Net realized gain (loss) | 6,386,237 | 6,318,091 | 10,941,129 | 17,779,535 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (1,091,673 | ) | 20,406,998 | (759,811 | ) | 36,112,885 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 7,082,415 | 27,921,725 | 11,805,921 | 55,877,694 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders: |
| |||||||||||||||
Class VI | (10,986,099 | ) | (2,070,899 | ) | (14,310,820 | ) | (7,515,852 | ) | ||||||||
Class R6 | — | — | — | — | ||||||||||||
Class I | (118,562 | )* | — | — | ** | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (11,104,661 | ) | (2,070,899 | ) | (14,310,820 | ) | (7,515,852 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): |
| |||||||||||||||
Class VI | 6,485,569 | 138,021,194 | 1,964,035 | 93,626,955 | ||||||||||||
Class R6 | — | — | — | — | ||||||||||||
Class I | 1,974,186 | * | — | 89,975 | ** | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | 8,459,755 | 138,021,194 | 2,054,010 | 93,626,955 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 4,437,509 | 163,872,020 | (450,889 | ) | 141,988,797 | |||||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 163,872,020 | — | 141,988,797 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 168,309,529 | $ | 163,872,020 | $ | 141,537,908 | $ | 141,988,797 | ||||||||
|
|
|
|
|
|
|
| |||||||||
* Period from June 7, 2021 (commencement of operations) through August 31, 2021. |
| |||||||||||||||
** Period from July 16, 2021 (commencement of operations) through August 31, 2021. |
|
See accompanying notes to the financial statements. | 63 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Quality Fund | Resources Fund | |||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | |||||||||||||
Increase (decrease) in net assets: |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income (loss) | $ | 58,924,681 | $ | 91,756,243 | $ | 25,433,403 | $ | 14,439,450 | ||||||||
Net realized gain (loss) | 142,767,432 | 799,447,332 | 45,043,254 | 61,197,799 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 1,269,248,782 | 949,979,968 | (10,760,191 | ) | 277,875,438 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 1,470,940,895 | 1,841,183,543 | 59,716,466 | 353,512,687 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders: |
| |||||||||||||||
Class III | (71,914,602 | ) | (448,796,803 | ) | (8,879,820 | ) | (13,864,334 | ) | ||||||||
Class IV | (12,020,601 | ) | (123,440,372 | ) | (31,180,839 | ) | (17,483,890 | ) | ||||||||
Class V | — | — | — | — | ||||||||||||
Class VI | (59,981,446 | ) | (317,805,859 | ) | — | — | ||||||||||
Class R6 | (8,660,021 | ) | (13,858,740 | ) | (220,946 | ) | — | * | ||||||||
Class I | (7,727,196 | ) | (21,984,988 | ) | (16,777,485 | ) | — | * | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (160,303,866 | ) | (925,886,762 | ) | (57,059,090 | ) | (31,348,224 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): |
| |||||||||||||||
Class III | (603,436,925 | ) | (122,543,739 | ) | 206,471,545 | (255,982,659 | ) | |||||||||
Class IV | 236,485,694 | (221,988,939 | ) | 380,635,998 | 52,674,305 | |||||||||||
Class V | — | — | — | — | ||||||||||||
Class VI | 679,164,029 | 70,585,435 | — | — | ||||||||||||
Class R6 | 102,369,030 | 242,131,286 | 6,484,831 | 2,547,139 | * | |||||||||||
Class I | 113,167,384 | 202,555,586 | 123,594,841 | 364,577,456 | * | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | 527,749,212 | 170,739,629 | 717,187,215 | 163,816,241 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 1,838,386,241 | 1,086,036,410 | 719,844,591 | 485,980,704 | ||||||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 7,368,905,098 | 6,282,868,688 | 998,816,258 | 512,835,554 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 9,207,291,339 | $ | 7,368,905,098 | $ | 1,718,660,849 | $ | 998,816,258 | ||||||||
|
|
|
|
|
|
|
| |||||||||
* Period from January 22, 2021 (commencement of operations) through February 28, 2021. |
|
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, 2021 (Unaudited) | Year Ended February 28, 2021 | Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | |||||||||||||
Increase (decrease) in net assets: |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income (loss) | $ | 1,004,224 | $ | 972,230 | $ | 2,578,113 | $ | 5,802,364 | ||||||||
Net realized gain (loss) | 4,988,065 | 2,843,717 | 48,475,717 | 40,584,781 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (2,199,625 | ) | 5,048,731 | 11,581,010 | 58,549,878 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 3,792,664 | 8,864,678 | 62,634,840 | 104,937,023 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders: |
| |||||||||||||||
Class III | (185,252 | ) | (882,340 | ) | (6,908,677 | ) | (8,735,355 | ) | ||||||||
Class VI | — | — | (16,154,361 | ) | (26,985,388 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (185,252 | ) | (882,340 | ) | (23,063,038 | ) | (35,720,743 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): |
| |||||||||||||||
Class III | (1,419,119 | ) | (5,250,369 | ) | (3,102,200 | ) | 2,522,212 | |||||||||
Class VI | — | — | 37,313,175 | (169,966,891 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (1,419,119 | ) | (5,250,369 | ) | 34,210,975 | (167,444,679 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 2,188,293 | 2,731,969 | 73,782,777 | (98,228,399 | ) | |||||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 38,959,560 | 36,227,591 | 351,202,423 | 449,430,822 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 41,147,853 | $ | 38,959,560 | $ | 424,985,200 | $ | 351,202,423 | ||||||||
|
|
|
|
|
|
|
|
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, 2021 (Unaudited) | Year Ended February 28, 2021 | |||||||
Increase (decrease) in net assets: |
| |||||||
Operations: |
| |||||||
Net investment income (loss) | $ | 1,980,558 | $ | 6,865,015 | ||||
Net realized gain (loss) | 53,780,759 | 40,908,019 | ||||||
Change in net unrealized appreciation (depreciation) | (13,924,790 | ) | 102,509,169 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | 41,836,527 | 150,282,203 | ||||||
|
|
|
| |||||
Distributions to shareholders: |
| |||||||
Class VI | (17,956,624 | ) | (6,891,863 | ) | ||||
|
|
|
| |||||
Total distributions | (17,956,624 | ) | (6,891,863 | ) | ||||
|
|
|
| |||||
Net share transactions (Note 9): |
| |||||||
Class VI | (105,799,276 | ) | (186,401,008 | ) | ||||
|
|
|
| |||||
Increase (decrease) in net assets resulting from net share transactions | (105,799,276 | ) | (186,401,008 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | (81,919,373 | ) | (43,010,668 | ) | ||||
Net assets: |
| |||||||
Beginning of period | 372,497,640 | 415,508,308 | ||||||
|
|
|
| |||||
End of period | $ | 290,578,267 | $ | 372,497,640 | ||||
|
|
|
|
66 | See accompanying notes to the financial statements. |
GMO Trust Funds
(For a share outstanding throughout each period)
CLIMATE CHANGE FUND
Class III Shares | |||||||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29, | Period from April 5, 2017 (commencement of operations) through February 28, 2018 | |||||||||||||||||||||||
2021 | 2020 | 2019 | |||||||||||||||||||||||
Net asset value, beginning of period | $ | 34.39 | $ | 22.36 | $ | 22.04 | $ | 23.81 | $ | 20.00 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.18 | 0.35 | 0.41 | 0.36 | 0.23 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.81 | 13.43 | 0.87 | (1.61 | ) | 4.41 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 1.99 | 13.78 | 1.28 | (1.25 | ) | 4.64 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less distributions to shareholders: |
| ||||||||||||||||||||||||
From net investment income | (0.21 | ) | (0.30 | ) | (0.45 | ) | (0.26 | ) | (0.22 | ) | |||||||||||||||
From net realized gains | (1.95 | ) | (1.45 | ) | (0.51 | ) | (0.26 | ) | (0.61 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total distributions | (2.16 | ) | (1.75 | ) | (0.96 | ) | (0.52 | ) | (0.83 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of period | $ | 34.22 | $ | 34.39 | $ | 22.36 | $ | 22.04 | $ | 23.81 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Return(b) | 5.88 | %** | 63.84 | % | 5.66 | % | (5.22 | )% | 23.28 | %** | |||||||||||||||
Ratios/Supplemental Data: |
| ||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 259,112 | $ | 178,223 | $ | 121,062 | $ | 113,000 | $ | 26,694 | |||||||||||||||
Net expenses to average daily net assets(c) | 0.77 | %* | 0.77 | % | 0.77 | % | 0.75 | % | 0.78 | %* | |||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.02 | %* | 1.39 | % | 1.84 | % | 1.61 | % | 1.09 | %* | |||||||||||||||
Portfolio turnover rate(d) | 51 | %** | 84 | % | 62 | % | 29 | % | 44 | %** | |||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04 | %(e)* | 0.13 | %(e) | 0.16 | %(e) | 0.26 | % | 0.73 | %* |
(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, 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, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019 and February 28, 2018, including transactions in USTF, was 87%, 145%, 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)
CLIMATE CHANGE FUND (continued)
Class R6 Shares | |||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | Period from January 16, 2020 (commencement of operations) through February 29, 2020 | |||||||||||||
Net asset value, beginning of period | $ | 34.33 | $ | 22.36 | $ | 24.55 | |||||||||
|
|
|
|
|
| ||||||||||
Income (loss) from investment operations: |
| ||||||||||||||
Net investment income (loss)(a)† | 0.18 | 0.31 | 0.01 | ||||||||||||
Net realized and unrealized gain (loss) | 1.80 | 13.43 | (2.20 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Total from investment operations | 1.98 | 13.74 | (2.19 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Less distributions to shareholders: |
| ||||||||||||||
From net investment income | (0.20 | ) | (0.32 | ) | — | ||||||||||
From net realized gains | (1.95 | ) | (1.45 | ) | — | ||||||||||
|
|
|
|
|
| ||||||||||
Total distributions | (2.15 | ) | (1.77 | ) | — | ||||||||||
|
|
|
|
|
| ||||||||||
Net asset value, end of period | $ | 34.16 | $ | 34.33 | $ | 22.36 | |||||||||
|
|
|
|
|
| ||||||||||
Total Return(b) | 5.88 | %** | 63.71 | % | (8.92 | )%** | |||||||||
Ratios/Supplemental Data: |
| ||||||||||||||
Net assets, end of period (000’s) | $ | 90,600 | $ | 74,961 | $ | 1,129 | |||||||||
Net expenses to average daily net assets(c) | 0.77 | %* | 0.77 | % | 0.77 | %* | |||||||||
Net investment income (loss) to average daily net assets(a) | 1.05 | %* | 1.04 | % | 0.40 | %* | |||||||||
Portfolio turnover rate(d) | 51 | %** | 84 | % | 62 | %** | |||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04 | %(e)* | 0.11 | %(e) | 0.23 | %(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, 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 periods ended August 31, 2021 and the years ended February 28, 2021 and February 28, 2020, including transactions in USTF, was 87%, 145% and 173%, 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. |
68 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
CLIMATE CHANGE FUND (continued)
Class I Shares | |||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | Period from February 25, 2020 (commencement of operations) through February 29, 2020 | |||||||||||||
Net asset value, beginning of period | $ | 34.33 | $ | 22.36 | $ | 23.37 | |||||||||
|
|
|
|
|
| ||||||||||
Income (loss) from investment operations: |
| ||||||||||||||
Net investment income (loss)(a)† | 0.16 | 0.21 | 0.01 | ||||||||||||
Net realized and unrealized gain (loss) | 1.80 | 13.53 | (1.02 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Total from investment operations | 1.96 | 13.74 | (1.01 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Less distributions to shareholders: |
| ||||||||||||||
From net investment income | (0.20 | ) | (0.32 | ) | — | ||||||||||
From net realized gains | (1.95 | ) | (1.45 | ) | — | ||||||||||
|
|
|
|
|
| ||||||||||
Total distributions | (2.15 | ) | (1.77 | ) | — | ||||||||||
|
|
|
|
|
| ||||||||||
Net asset value, end of period | $ | 34.14 | $ | 34.33 | $ | 22.36 | |||||||||
|
|
|
|
|
| ||||||||||
Total Return(b) | 5.81 | %** | 63.67 | % | (4.32 | )%** | |||||||||
Ratios/Supplemental Data: |
| ||||||||||||||
Net assets, end of period (000’s) | $ | 200,971 | $ | 98,697 | $ | 962 | |||||||||
Net expenses to average daily net assets(c) | 0.87 | %* | 0.87 | % | 0.87 | %* | |||||||||
Net investment income (loss) to average daily net assets(a) | 0.93 | %* | 0.66 | % | 1.93 | %* | |||||||||
Portfolio turnover rate(d) | 51 | %** | 84 | % | 62 | %** | |||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04 | %(e)* | 0.11 | %(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, 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, 2021, and the years ended February 28, 2021 and February 29, 2020, including transactions in USTF, was 87%, 145% and 173%, 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
Class II Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 27.68 | $ | 21.14 | $ | 21.61 | $ | 28.86 | $ | 22.64 | $ | 19.36 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: |
| |||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.10 | 0.17 | 0.40 | 0.24 | 0.25 | 0.25 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.17 | ) | 6.53 | 0.18 | (4.58 | ) | 6.33 | 3.68 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (1.07 | ) | 6.70 | 0.58 | (4.34 | ) | 6.58 | 3.93 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: |
| |||||||||||||||||||||||||||||
From net investment income | (0.06 | ) | (0.16 | ) | (1.05 | ) | (0.17 | ) | (0.36 | ) | (0.65 | ) | ||||||||||||||||||
From net realized gains | — | — | — | (2.74 | ) | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.06 | ) | (0.16 | ) | (1.05 | ) | (2.91 | ) | (0.36 | ) | (0.65 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 26.55 | $ | 27.68 | $ | 21.14 | $ | 21.61 | $ | 28.86 | $ | 22.64 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (3.86 | )%** | 31.76 | % | 2.39 | % | (15.48 | )% | 29.10 | % | 20.62 | % | ||||||||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 289,644 | $ | 309,966 | $ | 292,418 | $ | 467,336 | $ | 700,211 | $ | 603,565 | ||||||||||||||||||
Net expenses to average daily net assets(c) | 1.04 | %* | 1.03 | % | 1.03 | % | 1.04 | % | 1.06 | % | 1.06 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 0.75 | %* | 0.73 | % | 1.81 | % | 1.00 | % | 0.96 | % | 1.12 | % | ||||||||||||||||||
Portfolio turnover rate | 104 | %(d)** | 216 | %(d) | 186 | %(d) | 238 | %(d) | 201 | %(d) | 227 | %(d) | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.02 | %(e)* | 0.02 | %(e) | 0.02 | %(e) | 0.01 | % | 0.02 | % | 0.04 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | — | $ | — | $ | 0.05 | $ | 0.05 | $ | 0.03 | $ | 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, 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, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 124%, 236%, 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 DOMESTIC OPPORTUNITIES FUND (continued)
Class V Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | February 28/29, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 27.66 | $ | 21.12 | $ | 21.60 | $ | 28.85 | $ | 22.62 | $ | 19.35 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: |
| |||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.12 | 0.20 | 0.43 | 0.28 | 0.29 | 0.23 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.15 | ) | 6.53 | 0.17 | (4.60 | ) | 6.33 | 3.73 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (1.03 | ) | 6.73 | 0.60 | (4.32 | ) | 6.62 | 3.96 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: |
| |||||||||||||||||||||||||||||
From net investment income | (0.08 | ) | (0.19 | ) | (1.08 | ) | (0.19 | ) | (0.39 | ) | (0.69 | ) | ||||||||||||||||||
From net realized gains | — | — | — | (2.74 | ) | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.08 | ) | (0.19 | ) | (1.08 | ) | (2.93 | ) | (0.39 | ) | (0.69 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 26.55 | $ | 27.66 | $ | 21.12 | $ | 21.60 | $ | 28.85 | $ | 22.62 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (3.74 | )%** | 31.95 | % | 2.50 | % | (15.37 | )% | 29.31 | % | 20.78 | % | ||||||||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 627,091 | $ | 697,864 | $ | 565,384 | $ | 755,613 | $ | 1,280,851 | $ | 948,052 | ||||||||||||||||||
Net expenses to average daily net assets(c) | 0.90 | %* | 0.90 | % | 0.89 | % | 0.90 | % | 0.92 | % | 0.93 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 0.89 | %* | 0.87 | % | 1.94 | % | 1.19 | % | 1.09 | % | 1.04 | % | ||||||||||||||||||
Portfolio turnover rate | 104 | %(d)** | 216 | %(d) | 186 | %(d) | 238 | %(d) | 201 | %(d) | 227 | %(d) | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.02 | %(e)* | 0.02 | %(e) | 0.02 | %(e) | 0.01 | % | 0.02 | % | 0.05 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | — | $ | — | $ | 0.04 | $ | 0.05 | $ | 0.03 | $ | 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, 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, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 124%, 236%, 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. | 71 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
EMERGING DOMESTIC OPPORTUNITIES FUND (continued)
Class I Shares | ||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Period from January 22, 2021 (commencement of operations) through February 28, 2021 | |||||||||
Net asset value, beginning of period | $ | 27.67 | $ | 28.88 | ||||||
|
|
|
| |||||||
Income (loss) from investment operations: | ||||||||||
Net investment income (loss)(a)† | 0.10 | 0.02 | ||||||||
Net realized and unrealized gain (loss) | (1.15 | ) | (1.23 | ) | ||||||
|
|
|
| |||||||
Total from investment operations | (1.05 | ) | (1.21 | ) | ||||||
|
|
|
| |||||||
Less distributions to shareholders: | ||||||||||
From net investment income | (0.07 | ) | — | |||||||
From net realized gains | — | — | ||||||||
|
|
|
| |||||||
Total distributions | (0.07 | ) | — | |||||||
|
|
|
| |||||||
Net asset value, end of period | $ | 26.55 | $ | 27.67 | ||||||
|
|
|
| |||||||
Total Return(b) | (3.82 | )%** | (4.19 | )%** | ||||||
Ratios/Supplemental Data: | ||||||||||
Net assets, end of period (000’s) | $ | 14,622 | $ | 18,476 | ||||||
Net expenses to average daily net assets(c) | 1.07 | %* | 1.04 | %* | ||||||
Net investment income (loss) to average daily net assets(a) | 0.75 | %* | 0.82 | %* | ||||||
Portfolio turnover rate | 104 | %(d)** | 216 | %(d)** | ||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.09 | %(e)* | 0.08 | %(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, 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, 2021, and the year ended February 28, 2021, including transactions in USTF, was 124% and 236%, 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. |
72 | 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 | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017(a) | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 36.70 | $ | 30.75 | $ | 32.23 | $ | 36.42 | $ | 29.98 | $ | 22.80 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.92 | 0.86 | 1.13 | 1.01 | 0.75 | 0.57 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.33 | ) | 6.36 | (1.02 | ) | (4.22 | ) | 6.58 | 7.22 | |||||||||||||||||||||
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Total from investment operations | 0.59 | 7.22 | 0.11 | (3.21 | ) | 7.33 | 7.79 | |||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.09 | ) | (1.27 | ) | (1.59 | ) | (0.98 | ) | (0.89 | ) | (0.61 | ) | ||||||||||||||||||
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Total distributions | (0.09 | ) | (1.27 | ) | (1.59 | ) | (0.98 | ) | (0.89 | ) | (0.61 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 37.20 | $ | 36.70 | $ | 30.75 | $ | 32.23 | $ | 36.42 | $ | 29.98 | ||||||||||||||||||
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Total Return(c) | 1.61 | %** | 23.89 | % | (0.11 | )% | (8.57 | )% | 24.66 | % | 34.47 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 283,646 | $ | 291,833 | $ | 397,798 | $ | 451,720 | $ | 479,640 | $ | 498,564 | ||||||||||||||||||
Net expenses to average daily net assets(d) | 0.92 | %* | 0.93 | % | 0.93 | % | 0.93 | % | 0.96 | % | 1.07 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 4.89 | %* | 2.73 | % | 3.44 | % | 3.09 | % | 2.25 | % | 2.08 | % | ||||||||||||||||||
Portfolio turnover rate | 49 | %** | 102 | % | 100 | %(e) | 98 | %(e) | 87 | %(e) | 62 | %(e) | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.03 | %* | 0.07 | %(f) | 0.13 | %(f) | 0.13 | % | 0.13 | % | 0.04 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | — | $ | — | $ | 0.02 | $ | 0.08 | $ | 0.11 | $ | 0.09 | (a) |
(a) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the 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, if any (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 years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 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. | 73 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
EMERGING MARKETS FUND (continued)
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017(a) | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 36.81 | $ | 30.84 | $ | 32.32 | $ | 36.51 | $ | 30.05 | $ | 22.83 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.92 | 0.76 | 1.21 | 1.01 | 0.72 | 0.57 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.32 | ) | 6.51 | (1.09 | ) | (4.21 | ) | 6.64 | 7.27 | |||||||||||||||||||||
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Total from investment operations | 0.60 | 7.27 | 0.12 | (3.20 | ) | 7.36 | 7.84 | |||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.10 | ) | (1.30 | ) | (1.60 | ) | (0.99 | ) | (0.90 | ) | (0.62 | ) | ||||||||||||||||||
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Total distributions | (0.10 | ) | (1.30 | ) | (1.60 | ) | (0.99 | ) | (0.90 | ) | (0.62 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 37.31 | $ | 36.81 | $ | 30.84 | $ | 32.32 | $ | 36.51 | $ | 30.05 | ||||||||||||||||||
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Total Return(c) | 1.63 | %** | 23.99 | % | (0.08 | )% | (8.51 | )% | 24.71 | % | 34.67 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 481,086 | $ | 501,907 | $ | 333,779 | $ | 277,824 | $ | 390,827 | $ | 301,786 | ||||||||||||||||||
Net expenses to average daily net assets(d) | 0.87 | %* | 0.88 | % | 0.88 | % | 0.88 | % | 0.91 | % | 1.01 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 4.85 | %* | 2.36 | % | 3.68 | % | 3.08 | % | 2.14 | % | 2.07 | % | ||||||||||||||||||
Portfolio turnover rate | 49 | %** | 102 | % | 100 | %(e) | 98 | %(e) | 87 | %(e) | 62 | %(e) | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.01 | %* | 0.04 | %(f) | 0.11 | %(f) | 0.11 | % | 0.11 | % | 0.03 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | — | $ | — | $ | 0.02 | $ | 0.08 | $ | 0.11 | $ | 0.09 | (a) |
(a) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the 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, if any (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 years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 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. |
74 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
EMERGING MARKETS FUND (continued)
Class VI Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017(a) | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 36.41 | $ | 30.52 | $ | 32.00 | $ | 36.16 | $ | 29.77 | $ | 22.62 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.96 | 0.87 | 1.23 | 1.06 | 0.78 | 0.63 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.34 | ) | 6.36 | (1.07 | ) | (4.19 | ) | 6.56 | 7.17 | |||||||||||||||||||||
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Total from investment operations | 0.62 | 7.23 | 0.16 | (3.13 | ) | 7.34 | 7.80 | |||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.12 | ) | (1.34 | ) | (1.64 | ) | (1.03 | ) | (0.95 | ) | (0.65 | ) | ||||||||||||||||||
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Total distributions | (0.12 | ) | (1.34 | ) | (1.64 | ) | (1.03 | ) | (0.95 | ) | (0.65 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 36.91 | $ | 36.41 | $ | 30.52 | $ | 32.00 | $ | 36.16 | $ | 29.77 | ||||||||||||||||||
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Total Return(c) | 1.70 | %** | 24.11 | % | 0.05 | % | (8.39 | )% | 24.90 | % | 34.83 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 1,982,489 | $ | 1,787,607 | $ | 2,182,893 | $ | 2,685,798 | $ | 3,575,505 | $ | 3,524,022 | ||||||||||||||||||
Net expenses to average daily net assets(d) | 0.74 | %* | 0.75 | % | 0.75 | % | 0.75 | % | 0.78 | % | 0.89 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 5.16 | %* | 2.75 | % | 3.76 | % | 3.25 | % | 2.36 | % | 2.32 | % | ||||||||||||||||||
Portfolio turnover rate | 49 | %** | 102 | % | 100 | %(e) | 98 | %(e) | 87 | %(e) | 62 | %(e) | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.05 | %* | 0.08 | %(f) | 0.15 | %(f) | 0.14 | % | 0.14 | % | 0.06 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | — | $ | — | $ | 0.02 | $ | 0.08 | $ | 0.11 | $ | 0.08 | (a) |
(a) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the 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, if any (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 years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 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. | 75 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
EMERGING MARKETS FUND (continued)
Class R6 Shares | ||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Period from March 31, 2020 (commencement of operations) through February 28, 2021 | |||||||||
Net asset value, beginning of period | $ | 36.67 | $ | 26.05 | ||||||
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Income (loss) from investment operations: | ||||||||||
Net investment income (loss)(a)† | 0.91 | 0.72 | ||||||||
Net realized and unrealized gain (loss) | (0.32 | ) | 11.20 | |||||||
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Total from investment operations | 0.59 | 11.92 | ||||||||
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Less distributions to shareholders: | ||||||||||
From net investment income | (0.09 | ) | (1.30 | ) | ||||||
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Total distributions | (0.09 | ) | (1.30 | ) | ||||||
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Net asset value, end of period | $ | 37.17 | $ | 36.67 | ||||||
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Total Return(b) | 1.62 | %** | 46.24 | %** | ||||||
Ratios/Supplemental Data: | ||||||||||
Net assets, end of period (000’s) | $ | 43,180 | $ | 43,664 | ||||||
Net expenses to average daily net assets(c) | 0.92 | %* | 0.93 | %* | ||||||
Net investment income (loss) to average daily net assets(a) | 4.84 | %* | 2.39 | %* | ||||||
Portfolio turnover rate | 49 | %** | 102 | %** | ||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.03 | %* | 0.05 | %(d)* |
(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, if any (Note 5). |
(d) | 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)
EMERGING MARKETS FUND (continued)
Class I Shares | |||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | Period from January 14, 2020 (commencement of operations) through February 29, 2020 | |||||||||||||
Net asset value, beginning of period | $ | 36.66 | $ | 30.75 | $ | 35.29 | |||||||||
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Income (loss) from investment operations: |
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Net investment income (loss)(a)† | 0.97 | 0.52 | 0.00 | (b) | |||||||||||
Net realized and unrealized gain (loss) | (0.38 | ) | 6.68 | (4.54 | ) | ||||||||||
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Total from investment operations | 0.59 | 7.20 | (4.54 | ) | |||||||||||
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Less distributions to shareholders: |
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From net investment income | (0.10 | ) | (1.29 | ) | — | ||||||||||
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Total distributions | (0.10 | ) | (1.29 | ) | — | ||||||||||
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Net asset value, end of period | $ | 37.15 | $ | 36.66 | $ | 30.75 | |||||||||
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Total Return(c) | 1.60 | %** | 23.83 | % | (12.86 | )%** | |||||||||
Ratios/Supplemental Data: |
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Net assets, end of period (000’s) | $ | 134,722 | $ | 79,824 | $ | 16,158 | |||||||||
Net expenses to average daily net assets(d) | 0.97 | %* | 0.98 | % | 0.94 | %* | |||||||||
Net investment income (loss) to average daily net assets(a) | 5.16 | %* | 1.55 | % | (0.05 | )%* | |||||||||
Portfolio turnover rate | 49 | %** | 102 | % | 100 | %(e)** | |||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.09 | %* | 0.10 | %(f) | 0.19 | %(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) | 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, if any (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 29, 2020, including transactions in USTF, was 123%, 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. | 77 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
INTERNATIONAL EQUITY FUND
Class II Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.04 | $ | 19.83 | $ | 20.08 | $ | 23.63 | $ | 20.18 | $ | 18.17 | ||||||||||||||||||
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Income (loss) from investment operations: |
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Net investment income (loss)(a)† | 0.57 | 0.75 | (b) | 0.72 | 0.57 | 0.41 | 0.70 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.77 | 3.46 | (0.22 | ) | (3.45 | ) | 3.78 | 2.07 | ||||||||||||||||||||||
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Total from investment operations | 2.34 | 4.21 | 0.50 | (2.88 | ) | 4.19 | 2.77 | |||||||||||||||||||||||
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Less distributions to shareholders: |
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From net investment income | (0.44 | ) | (1.00 | ) | (0.75 | ) | (0.67 | ) | (0.74 | ) | (0.76 | ) | ||||||||||||||||||
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Total distributions | (0.44 | ) | (1.00 | ) | (0.75 | ) | (0.67 | ) | (0.74 | ) | (0.76 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 24.94 | $ | 23.04 | $ | 19.83 | $ | 20.08 | $ | 23.63 | $ | 20.18 | ||||||||||||||||||
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Total Return(c) | 10.16 | %** | 21.58 | %(d) | 2.19 | % | (12.07 | )% | 20.85 | % | 15.45 | % | ||||||||||||||||||
Ratios/Supplemental Data: |
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Net assets, end of period (000’s) | $ | 6,043 | $ | 5,546 | $ | 10,802 | $ | 18,202 | $ | 23,736 | $ | 10,302 | ||||||||||||||||||
Net expenses to average daily net assets(e) | 0.73 | %* | 0.73 | % | 0.73 | % | 0.73 | % | 0.72 | % | 0.72 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 4.56 | %* | 3.82 | %(b) | 3.52 | % | 2.64 | % | 1.77 | % | 3.62 | % | ||||||||||||||||||
Portfolio turnover rate | 31 | %** | 48 | % | 46 | %(f) | 41 | %(f) | 45 | %(f) | 27 | %(f) | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04 | %* | 0.03 | % | 0.03 | %(g) | 0.02 | % | 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) | Net investment income per share includes approximately $69,807, $6,194,610 and $27,980,578 in Class II, III and IV, respectively, related to income received for EU reclaims, net of IRS closing agreement fees, in connection with certain Fund holdings. Excluding this amount, the net investment income to average daily net assets ratio would have been 2.62%, 2.30%, and 2.49% in Class II, III and IV, respectively (See Note 2). |
(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) | EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees, had a positive impact to total return, adding 1.58% to each class’s total return (See Note 2). |
(e) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (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 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. |
(g) | 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)
INTERNATIONAL EQUITY FUND (continued)
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.32 | $ | 20.09 | $ | 20.33 | $ | 23.92 | $ | 20.41 | $ | 18.38 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: |
| |||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.60 | 0.75 | (b) | 0.70 | 0.57 | 0.61 | 0.63 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.78 | 3.51 | (0.17 | ) | (3.47 | ) | 3.64 | 2.19 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 2.38 | 4.26 | 0.53 | (2.90 | ) | 4.25 | 2.82 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: |
| |||||||||||||||||||||||||||||
From net investment income | (0.44 | ) | (1.03 | ) | (0.77 | ) | (0.69 | ) | (0.74 | ) | (0.79 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.44 | ) | (1.03 | ) | (0.77 | ) | (0.69 | ) | (0.74 | ) | (0.79 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 25.26 | $ | 23.32 | $ | 20.09 | $ | 20.33 | $ | 23.92 | $ | 20.41 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(c) | 10.23 | %** | 21.60 | %(d) | 2.29 | % | (12.02 | )% | 20.96 | % | 15.53 | % | ||||||||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 396,368 | $ | 423,332 | $ | 452,165 | $ | 507,195 | $ | 485,782 | $ | 731,060 | ||||||||||||||||||
Net expenses to average daily net assets(e) | 0.66 | %* | 0.66 | % | 0.66 | % | 0.66 | % | 0.65 | % | 0.65 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 4.69 | %* | 3.70 | %(b) | 3.36 | % | 2.64 | % | 2.68 | % | 3.16 | % | ||||||||||||||||||
Portfolio turnover rate | 31 | %** | 48 | % | 46 | %(f) | 41 | %(f) | 45 | %(f) | 27 | %(f) | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04 | %* | 0.03 | % | 0.03 | %(g) | 0.02 | % | 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) | Net investment income per share includes approximately $69,807, $6,194,610 and $27,980,578 in Class II, III and IV, respectively, related to income received for EU reclaims, net of IRS closing agreement fees, in connection with certain Fund holdings. Excluding this amount, the net investment income to average daily net assets ratio would have been 2.62%, 2.30%, and 2.49% in Class II, III and IV, respectively (See Note 2). |
(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) | EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees, had a positive impact to total return, adding 1.58% to each class’s total return (See Note 2). |
(e) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (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 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. |
(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. | 79 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
INTERNATIONAL EQUITY FUND (continued)
Class IV Shares | ||||||||||||||||||||||||||||||
�� | Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29, | ||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.28 | $ | 20.05 | $ | 20.29 | $ | 23.87 | $ | 20.38 | $ | 18.36 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: |
| |||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.61 | 0.77 | (b) | 0.74 | 0.63 | 0.56 | 0.63 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.78 | 3.50 | (0.20 | ) | (3.51 | ) | 3.69 | 2.19 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 2.39 | 4.27 | 0.54 | (2.88 | ) | 4.25 | 2.82 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: |
| |||||||||||||||||||||||||||||
From net investment income | (0.45 | ) | (1.04 | ) | (0.78 | ) | (0.70 | ) | (0.76 | ) | (0.80 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.45 | ) | (1.04 | ) | (0.78 | ) | (0.70 | ) | (0.76 | ) | (0.80 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 25.22 | $ | 23.28 | $ | 20.05 | $ | 20.29 | $ | 23.87 | $ | 20.38 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(c) | 10.27 | %** | 21.71 | %(d) | 2.34 | % | (11.95 | )% | 20.98 | % | 15.57 | % | ||||||||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 1,855,312 | $ | 1,765,686 | $ | 2,584,648 | $ | 3,156,760 | $ | 4,558,167 | $ | 5,072,024 | ||||||||||||||||||
Net expenses to average daily net assets(e) | 0.60 | %* | 0.60 | % | 0.60 | % | 0.60 | % | 0.59 | % | 0.59 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 4.77 | %* | 3.81 | %(b) | 3.53 | % | 2.89 | % | 2.45 | % | 3.19 | % | ||||||||||||||||||
Portfolio turnover rate | 31 | %** | 48 | % | 46 | %(f) | 41 | %(f) | 45 | %(f) | 27 | %(f) | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04 | %* | 0.03 | % | 0.03 | %(g) | 0.02 | % | 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) | Net investment income per share includes approximately $69,807, $6,194,610 and $27,980,578 in Class II, III and IV, respectively, related to income received for EU reclaims, net of IRS closing agreement fees, in connection with certain Fund holdings. Excluding this amount, the net investment income to average daily net assets ratio would have been 2.62%, 2.30%, and 2.49% in Class II, III and IV, respectively (See Note 2). |
(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) | EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees, had a positive impact to total return, adding 1.58% to each class’s total return (See Note 2). |
(e) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (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 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. |
(g) | Ratio includes indirect fees waived or borne by GMO. |
† | 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 the period)
INTERNATIONAL EQUITY FUND (continued)
Class I Shares | |||||
Period from May 24, 2021 (commencement of operations) through August 31, 2021 (Unaudited) | |||||
Net asset value, beginning of period | $ | 25.79 | |||
|
| ||||
Income (loss) from investment operations: |
| ||||
Net investment income (loss) (a)† | 0.17 | ||||
Net realized and unrealized gain (loss) | (0.60 | ) | |||
|
| ||||
Total from investment operations | (0.43 | ) | |||
|
| ||||
Net asset value, end of period | $ | 25.36 | |||
|
| ||||
Total Return(b) | (1.67 | )%** | |||
Ratios/Supplemental Data: |
| ||||
Net assets, end of period (000’s) | $ | 0 | (c) | ||
Net expenses to average daily net assets(d) | 0.82 | %* | |||
Net investment income (loss) to average daily net assets(a) | 2.40 | %* | |||
Portfolio turnover rate | 31 | %** | |||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 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) | Rounds to less than $1,000. |
(d) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5) |
† | 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)
JAPAN VALUE CREATION FUND
Class VI Shares | ||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Period from September 14, 2020 (commencement of operations) through February 28, 2021 | |||||||||
Net asset value, beginning of period | $ | 23.47 | $ | 20.00 | ||||||
|
|
|
| |||||||
Income (loss) from investment operations: |
| |||||||||
Net investment income (loss)(a)† | 0.26 | 0.17 | ||||||||
Net realized and unrealized gain (loss) | 0.68 | 3.59 | ||||||||
|
|
|
| |||||||
Total from investment operations | 0.94 | 3.76 | ||||||||
|
|
|
| |||||||
Less distributions to shareholders: |
| |||||||||
From net investment income | (0.84 | ) | (0.28 | ) | ||||||
From net realized gains | (0.78 | ) | (0.01 | ) | ||||||
|
|
|
| |||||||
Total distributions | (1.62 | ) | (0.29 | ) | ||||||
|
|
|
| |||||||
Net asset value, end of period | $ | 22.79 | $ | 23.47 | ||||||
|
|
|
| |||||||
Total Return(b) | 4.23 | %** | 18.82 | %** | ||||||
Ratios/Supplemental Data: |
| |||||||||
Net assets, end of period (000’s) | $ | 166,439 | $ | 163,872 | ||||||
Net expenses to average daily net assets | 0.57 | %* | 0.56 | %* | ||||||
Net investment income (loss) to average daily net assets(a) | 2.13 | %* | 1.68 | %* | ||||||
Portfolio turnover rate | 16 | %** | 28 | %** | ||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.07 | %* | 0.23 | %* |
(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. |
† | 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 the period)
JAPAN VALUE CREATION FUND (continued)
Class I Shares | |||||
Period from June 7, 2021 (commencement of operations) through August 31, 2021 (Unaudited) | |||||
Net asset value, beginning of period | $ | 24.95 | |||
|
| ||||
Income (loss) from investment operations: |
| ||||
Net investment income (loss)(a)† | (0.01 | ) | |||
Net realized and unrealized gain (loss) | (0.54 | )(b) | |||
|
| ||||
Total from investment operations | (0.55 | ) | |||
|
| ||||
Less distributions to shareholders: |
| ||||
From net investment income | (0.85 | ) | |||
From net realized gains | (0.78 | ) | |||
|
| ||||
Total distributions | (1.63 | ) | |||
|
| ||||
Net asset value, end of period | $ | 22.77 | |||
|
| ||||
Total Return(c) | (2.01 | )%** | |||
Ratios/Supplemental Data: |
| ||||
Net assets, end of period (000’s) | $ | 1,871 | |||
Net expenses to average daily net assets | 0.77 | %* | |||
Net investment income (loss) to average daily net assets(a) | (0.22 | )%* | |||
Portfolio turnover rate | 16 | %** | |||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.07 | %* |
(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 the 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. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 83 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
QUALITY CYCLICALS FUND (FORMERLY CYCLICAL FOCUS FUND)
Class VI Shares | ||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Period from May 12, 2020 (commencement of operations) through February 28, 2021 | |||||||||
Net asset value, beginning of period | $ | 29.06 | $ | 20.00 | ||||||
|
|
|
| |||||||
Income (loss) from investment operations: |
| |||||||||
Net investment income (loss)(a)† | 0.34 | 0.38 | ||||||||
Net realized and unrealized gain (loss) | 2.15 | 10.23 | ||||||||
|
|
|
| |||||||
Total from investment operations | 2.49 | 10.61 | ||||||||
|
|
|
| |||||||
Less distributions to shareholders: |
| |||||||||
From net investment income | (0.35 | ) | (0.60 | ) | ||||||
From net realized gains | (2.82 | ) | (0.95 | ) | ||||||
|
|
|
| |||||||
Total distributions | (3.17 | ) | (1.55 | ) | ||||||
|
|
|
| |||||||
Net asset value, end of period | $ | 28.38 | $ | 29.06 | ||||||
|
|
|
| |||||||
Total Return(b) | 8.27 | %** | 53.56 | %** | ||||||
Ratios/Supplemental Data: |
| |||||||||
Net assets, end of period (000’s) | $ | 141,448 | $ | 141,989 | ||||||
Net expenses to average daily net assets(c) | 0.40 | %* | 0.40 | %* | ||||||
Net investment income (loss) to average daily net assets(a) | 2.19 | %* | 1.92 | %* | ||||||
Portfolio turnover rate(d) | 12 | %** | 65 | %** | ||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.08 | %(e)* | 0.20 | %(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, 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, 2021 and the year ended February 28, 2021, including transactions in USTF was 14% and 70%, 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. |
84 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout the period)
QUALITY CYCLICALS FUND (FORMERLY CYCLICAL FOCUS FUND) (continued)
Class I Shares | |||||
Period from July 16, 2021 (commencement of operations) through August 31, 2021 (Unaudited) | |||||
Net asset value, beginning of period | $ | 28.45 | |||
|
| ||||
Income (loss) from investment operations: |
| ||||
Net investment income (loss)(a)† | 0.06 | ||||
Net realized and unrealized gain (loss) | (0.14 | )(b) | |||
|
| ||||
Total from investment operations | (0.08 | ) | |||
|
| ||||
Net asset value, end of period | $ | 28.37 | |||
|
| ||||
Total Return(c) | (0.28 | )%** | |||
Ratios/Supplemental Data: |
| ||||
Net assets, end of period (000’s) | $ | 90 | |||
Net expenses to average daily net assets(d) | 0.59 | %* | |||
Net investment income (loss) to average daily net assets(a) | 1.71 | %* | |||
Portfolio turnover rate(e) | 12 | %** | |||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.09 | %(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 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 the 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, if any (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, 2021, including transactions in USTF was 14%, 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. | 85 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
QUALITY FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.98 | $ | 22.77 | $ | 22.28 | $ | 25.13 | $ | 22.05 | $ | 18.99 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: |
| |||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.20 | 0.32 | 0.35 | 0.35 | 0.36 | 0.35 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 4.92 | 6.37 | 2.15 | 1.21 | 4.70 | 3.44 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 5.12 | 6.69 | 2.50 | 1.56 | 5.06 | 3.79 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: |
| |||||||||||||||||||||||||||||
From net investment income | (0.05 | ) | (0.35 | ) | (0.36 | ) | (0.39 | ) | (0.41 | ) | (0.35 | ) | ||||||||||||||||||
From net realized gains | (0.51 | ) | (3.13 | ) | (1.65 | ) | (4.02 | ) | (1.57 | ) | (0.38 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.56 | ) | (3.48 | ) | (2.01 | ) | (4.41 | ) | (1.98 | ) | (0.73 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 30.54 | $ | 25.98 | $ | 22.77 | $ | 22.28 | $ | 25.13 | $ | 22.05 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | 19.76 | %** | 30.83 | % | 10.64 | % | 6.86 | % | 23.32 | % | 20.25 | % | ||||||||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 3,517,944 | $ | 3,519,473 | $ | 3,195,240 | $ | 3,065,461 | $ | 3,524,103 | $ | 3,587,627 | ||||||||||||||||||
Net expenses to average daily net assets(c) | 0.48 | %* | 0.48 | % | 0.48 | % | 0.48 | % | 0.48 | % | 0.48 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.38 | %* | 1.33 | % | 1.44 | % | 1.42 | % | 1.48 | % | 1.72 | % | ||||||||||||||||||
Portfolio turnover rate(d) | 5 | %** | 28 | % | 17 | % | 18 | % | 10 | % | 29 | % | ||||||||||||||||||
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 | % | 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, 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, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 5%, 28%, 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. |
86 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
QUALITY FUND (continued)
Class IV Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 26.04 | $ | 22.82 | $ | 22.32 | $ | 25.17 | $ | 22.08 | $ | 19.01 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: |
| |||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.20 | 0.34 | 0.37 | 0.36 | 0.37 | 0.36 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 4.94 | 6.37 | 2.14 | 1.22 | 4.70 | 3.45 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 5.14 | 6.71 | 2.51 | 1.58 | 5.07 | 3.81 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: |
| |||||||||||||||||||||||||||||
From net investment income | (0.05 | ) | (0.36 | ) | (0.36 | ) | (0.41 | ) | (0.41 | ) | (0.36 | ) | ||||||||||||||||||
From net realized gains | (0.51 | ) | (3.13 | ) | (1.65 | ) | (4.02 | ) | (1.57 | ) | (0.38 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.56 | ) | (3.49 | ) | (2.01 | ) | (4.43 | ) | (1.98 | ) | (0.74 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 30.62 | $ | 26.04 | $ | 22.82 | $ | 22.32 | $ | 25.17 | $ | 22.08 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | 19.79 | %** | 30.86 | % | 10.70 | % | 6.91 | % | 23.37 | % | 20.33 | % | ||||||||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 1,117,221 | $ | 750,632 | $ | 852,866 | $ | 1,139,024 | $ | 957,900 | $ | 1,222,874 | ||||||||||||||||||
Net expenses to average daily net assets(c) | 0.44 | %* | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.35 | %* | 1.37 | % | 1.52 | % | 1.46 | % | 1.53 | % | 1.76 | % | ||||||||||||||||||
Portfolio turnover rate(d) | 5 | %** | 28 | % | 17 | % | 18 | % | 10 | % | 29 | % | ||||||||||||||||||
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 | % | 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, 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, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 5%, 28%, 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. | 87 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
QUALITY FUND (continued)
Class VI Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.98 | $ | 22.77 | $ | 22.28 | $ | 25.13 | $ | 22.05 | $ | 18.99 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: |
| |||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.21 | 0.35 | 0.37 | 0.38 | 0.38 | 0.36 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 4.93 | 6.37 | 2.15 | 1.21 | 4.70 | 3.46 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 5.14 | 6.72 | 2.52 | 1.59 | 5.08 | 3.82 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: |
| |||||||||||||||||||||||||||||
From net investment income | (0.06 | ) | (0.38 | ) | (0.38 | ) | (0.42 | ) | (0.43 | ) | (0.38 | ) | ||||||||||||||||||
From net realized gains | (0.51 | ) | (3.13 | ) | (1.65 | ) | (4.02 | ) | (1.57 | ) | (0.38 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.57 | ) | (3.51 | ) | (2.03 | ) | (4.44 | ) | (2.00 | ) | (0.76 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 30.55 | $ | 25.98 | $ | 22.77 | $ | 22.28 | $ | 25.13 | $ | 22.05 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | 19.85 | %** | 30.95 | % | 10.73 | % | 6.96 | % | 23.43 | % | 20.39 | % | ||||||||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 3,600,546 | $ | 2,465,066 | $ | 2,077,277 | $ | 2,227,287 | $ | 3,561,976 | $ | 3,359,025 | ||||||||||||||||||
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) | 1.45 | %* | 1.41 | % | 1.55 | % | 1.54 | % | 1.57 | % | 1.73 | % | ||||||||||||||||||
Portfolio turnover rate(d) | 5 | %** | 28 | % | 17 | % | 18 | % | 10 | % | 29 | % | ||||||||||||||||||
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 | % | 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, 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, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 5%, 28%, 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. |
88 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
QUALITY FUND (continued)
Class R6 Shares | |||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | Period from November 12, 2019 (commencement of operations) through February 29, 2020 | |||||||||||||
Net asset value, beginning of period | $ | 25.96 | $ | 22.76 | $ | 25.21 | |||||||||
|
|
|
|
|
| ||||||||||
Income (loss) from investment operations: |
| ||||||||||||||
Net investment income (loss)(a)† | 0.20 | 0.30 | 0.10 | ||||||||||||
Net realized and unrealized gain (loss) | 4.91 | 6.39 | (0.83 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Total from investment operations | 5.11 | 6.69 | (0.73 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Less distributions to shareholders: |
| ||||||||||||||
From net investment income | (0.05 | ) | (0.36 | ) | (0.32 | ) | |||||||||
From net realized gains | (0.51 | ) | (3.13 | ) | (1.40 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Total distributions | (0.56 | ) | (3.49 | ) | (1.72 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Net asset value, end of period | $ | 30.51 | $ | 25.96 | $ | 22.76 | |||||||||
|
|
|
|
|
| ||||||||||
Total Return(b) | 19.76 | %** | 30.81 | % | (3.39 | )%** | |||||||||
Ratios/Supplemental Data: |
| ||||||||||||||
Net assets, end of period (000’s) | $ | 495,461 | $ | 330,287 | $ | 77,375 | |||||||||
Net expenses to average daily net assets(c) | 0.48 | %* | 0.48 | % | 0.49 | %* | |||||||||
Net investment income (loss) to average daily net assets(a) | 1.37 | %* | 1.22 | % | 1.31 | %* | |||||||||
Portfolio turnover rate(d)(d)(d) | 5 | %** | 28 | % | 17 | %** | |||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 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, 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, 2021, and the years ended February 28, 2021 and February 29, 2020, including transactions in USTF, was 5%, 28% 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. |
See accompanying notes to the financial statements. | 89 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
QUALITY FUND (continued)
Class I Shares | |||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | Period from September 26, 2019 (commencement of operations) through February 29, 2020 | |||||||||||||
Net asset value, beginning of period | $ | 25.93 | $ | 22.75 | $ | 23.95 | |||||||||
|
|
|
|
|
| ||||||||||
Income (loss) from investment operations: |
| ||||||||||||||
Net investment income (loss)(a)† | 0.18 | 0.28 | 0.12 | ||||||||||||
Net realized and unrealized gain (loss) | 4.92 | 6.37 | 0.39 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total from investment operations | 5.10 | 6.65 | 0.51 | ||||||||||||
|
|
|
|
|
| ||||||||||
Less distributions to shareholders: |
| ||||||||||||||
From net investment income | (0.04 | ) | (0.34 | ) | (0.31 | ) | |||||||||
From net realized gains | (0.51 | ) | (3.13 | ) | (1.40 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Total distributions | (0.55 | ) | (3.47 | ) | (1.71 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Net asset value, end of period | $ | 30.48 | $ | 25.93 | $ | 22.75 | |||||||||
|
|
|
|
|
| ||||||||||
Total Return(b) | 19.74 | %** | 30.66 | % | 1.62 | %** | |||||||||
Ratios/Supplemental Data: |
| ||||||||||||||
Net assets, end of period (000’s) | $ | 476,120 | $ | 303,447 | $ | 80,110 | |||||||||
Net expenses to average daily net assets(c) | 0.58 | %* | 0.58 | % | 0.57 | %* | |||||||||
Net investment income (loss) to average daily net assets(a) | 1.26 | %* | 1.12 | % | 1.13 | %* | |||||||||
Portfolio turnover rate(d)(d)(d) | 5 | %** | 28 | % | 17 | %** | |||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 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, 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, 2021, and the years ended February 28, 2021 and February 29, 2020, including transactions in USTF, was 5%, 28% 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. |
90 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
RESOURCES FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 27.81 | $ | 18.11 | $ | 20.31 | $ | 20.88 | $ | 17.31 | $ | 11.74 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: |
| |||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.54 | 0.48 | 0.65 | 0.54 | 0.33 | 0.30 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.07 | 10.13 | (2.22 | ) | (0.37 | ) | 4.02 | 5.75 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 1.61 | 10.61 | (1.57 | ) | 0.17 | 4.35 | 6.05 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: |
| |||||||||||||||||||||||||||||
From net investment income | (0.37 | ) | (0.47 | ) | (0.63 | ) | (0.74 | ) | (0.78 | ) | (0.48 | ) | ||||||||||||||||||
From net realized gains | (0.63 | ) | (0.44 | ) | — | — | — | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (1.00 | ) | (0.91 | ) | (0.63 | ) | (0.74 | ) | (0.78 | ) | (0.48 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 28.42 | $ | 27.81 | $ | 18.11 | $ | 20.31 | $ | 20.88 | $ | 17.31 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | 5.79 | %** | 59.36 | % | (8.14 | )% | 0.99 | % | 26.00 | % | 51.75 | % | ||||||||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 302,345 | $ | 96,091 | $ | 201,320 | $ | 169,523 | $ | 54,037 | $ | 22,562 | ||||||||||||||||||
Net expenses to average daily net assets(c) | 0.69 | %* | 0.72 | % | 0.73 | % | 0.74 | %(d) | 0.76 | %(d) | 0.77 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(e) | 3.67 | %* | 2.44 | % | 3.24 | % | 2.68 | % | 1.77 | % | 1.99 | % | ||||||||||||||||||
Portfolio turnover rate(f) | 29 | %** | 86 | % | 37 | % | 35 | % | 48 | % | 29 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | — | 0.00 | %(g)(h) | 0.00 | %(g)(h) | — | 0.06 | % | 0.10 | % | ||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | — | $ | — | $ | 0.01 | $ | 0.02 | $ | 0.05 | $ | 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, if any (Note 5). |
(d) | Includes recoupment of past reimbursed and/or waived fees (Note 5). |
(e) | 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. |
(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, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 29%, 89%, 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. | 91 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
RESOURCES FUND (continued)
Class IV Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 27.73 | $ | 18.06 | $ | 20.24 | $ | 20.81 | $ | 17.25 | $ | 11.71 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: |
| |||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.54 | 0.47 | 0.68 | 0.62 | 0.38 | 0.34 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.08 | 10.12 | (2.22 | ) | (0.46 | ) | 3.97 | 5.68 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 1.62 | 10.59 | (1.54 | ) | 0.16 | 4.35 | 6.02 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: |
| |||||||||||||||||||||||||||||
From net investment income | (0.38 | ) | (0.48 | ) | (0.64 | ) | (0.73 | ) | (0.79 | ) | (0.48 | ) | ||||||||||||||||||
From net realized gains | (0.63 | ) | (0.44 | ) | — | — | — | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (1.01 | ) | (0.92 | ) | (0.64 | ) | (0.73 | ) | (0.79 | ) | (0.48 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 28.34 | $ | 27.73 | $ | 18.06 | $ | 20.24 | $ | 20.81 | $ | 17.25 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | 5.82 | %** | 59.42 | % | (8.03 | )% | 0.98 | % | 26.12 | % | 51.72 | % | ||||||||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 907,667 | $ | 531,006 | $ | 311,515 | $ | 336,954 | $ | 296,196 | $ | 190,260 | ||||||||||||||||||
Net expenses to average daily net assets(c) | 0.64 | %* | 0.67 | % | 0.68 | % | 0.70 | %(d) | 0.71 | %(d) | 0.72 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(e) | 3.72 | %* | 2.33 | % | 3.40 | % | 3.06 | % | 2.04 | % | 2.26 | % | ||||||||||||||||||
Portfolio turnover rate(f) | 29 | %** | 86 | % | 37 | % | 35 | % | 48 | % | 29 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | — | 0.00 | %(g)(h) | 0.00 | %(g)(h) | — | 0.06 | % | 0.10 | % | ||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | — | $ | — | $ | 0.01 | $ | 0.02 | $ | 0.04 | $ | 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, if any (Note 5). |
(d) | Includes recoupment of past reimbursed and/or waived fees (Note 5). |
(e) | Interest expense was less than 0.01% to average daily net assets. |
(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, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 29%, 89%, 101%, 69%, 85% and 40%, 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. |
92 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
RESOURCES FUND (continued)
Class R6 Shares | ||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Period from January 22, 2021 (commencement of operations) through February 28, 2021 | |||||||||
Net asset value, beginning of period | $ | 27.82 | $ | 27.44 | ||||||
|
|
|
| |||||||
Income (loss) from investment operations: |
| |||||||||
Net investment income (loss)(a)† | 0.56 | 0.03 | ||||||||
Net realized and unrealized gain (loss) | 1.05 | 0.35 | ||||||||
|
|
|
| |||||||
Total from investment operations | 1.61 | 0.38 | ||||||||
|
|
|
| |||||||
Less distributions to shareholders: |
| |||||||||
From net investment income | (0.38 | ) | — | |||||||
From net realized gains | (0.63 | ) | — | |||||||
|
|
|
| |||||||
Total distributions | (1.01 | ) | — | |||||||
|
|
|
| |||||||
Net asset value, end of period | $ | 28.42 | $ | 27.82 | ||||||
|
|
|
| |||||||
Total Return(b) | 5.76 | %** | 1.38 | %** | ||||||
Ratios/Supplemental Data: |
| |||||||||
Net assets, end of period (000’s) | $ | 9,063 | $ | 2,617 | ||||||
Net expenses to average daily net assets(c) | 0.69 | %* | 0.71 | %* | ||||||
Net investment income (loss) to average daily net assets(a) | 3.84 | %* | 0.98 | %* | ||||||
Portfolio turnover rate(d) | 29 | %** | 86 | %** | ||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | — | — |
(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, 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, 2021 and the year ended February 28, 2021, including transactions in USTF was 29% and 89%, respectively, of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
See accompanying notes to the financial statements. | 93 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
RESOURCES FUND (continued)
Class I Shares | ||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Period from January 22, 2021 (commencement of operations) through February 28, 2021 | |||||||||
Net asset value, beginning of period | $ | 27.81 | $ | 27.44 | ||||||
|
|
|
| |||||||
Income (loss) from investment operations: |
| |||||||||
Net investment income (loss)(a)† | 0.51 | 0.02 | ||||||||
Net realized and unrealized gain (loss) | 1.09 | 0.35 | ||||||||
|
|
|
| |||||||
Total from investment operations | 1.60 | 0.37 | ||||||||
|
|
|
| |||||||
Less distributions to shareholders: |
| |||||||||
From net investment income | (0.36 | ) | — | |||||||
From net realized gains | (0.63 | ) | — | |||||||
|
|
|
| |||||||
Total distributions | (0.99 | ) | — | |||||||
|
|
|
| |||||||
Net asset value, end of period | $ | 28.42 | $ | 27.81 | ||||||
|
|
|
| |||||||
Total Return(b) | 5.76 | %** | 1.35 | %** | ||||||
Ratios/Supplemental Data: |
| |||||||||
Net assets, end of period (000’s) | $ | 499,585 | $ | 369,102 | ||||||
Net expenses to average daily net assets(c) | 0.79 | %* | 0.81 | %* | ||||||
Net investment income (loss) to average daily net assets(a) | 3.50 | %* | 0.74 | %* | ||||||
Portfolio turnover rate(d) | 29 | %** | 86 | %** | ||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | — | — |
(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, 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, 2021 and the year ended February 28, 2021, including transactions in USTF was 29% and 89%, respectively, of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
94 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
TAX-MANAGED INTERNATIONAL EQUITIES FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.98 | $ | 13.57 | $ | 13.82 | $ | 17.00 | $ | 14.28 | $ | 12.92 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: |
| |||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.42 | 0.34 | 0.46 | 0.37 | 0.38 | 0.41 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.14 | 2.42 | (0.10 | ) | (2.63 | ) | 2.84 | 1.50 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 1.56 | 2.76 | 0.36 | (2.26 | ) | 3.22 | 1.91 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: |
| |||||||||||||||||||||||||||||
From net investment income | (0.08 | ) | (0.35 | ) | (0.61 | ) | (0.39 | ) | (0.50 | ) | (0.55 | ) | ||||||||||||||||||
From net realized gains | — | — | — | (0.53 | ) | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.08 | ) | (0.35 | ) | (0.61 | ) | (0.92 | ) | (0.50 | ) | (0.55 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 17.46 | $ | 15.98 | $ | 13.57 | $ | 13.82 | $ | 17.00 | $ | 14.28 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | 9.75 | %** | 20.53 | % | 2.31 | % | (13.50 | )% | 22.70 | % | 15.05 | % | ||||||||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 41,148 | $ | 38,960 | $ | 36,228 | $ | 48,739 | $ | 68,782 | $ | 115,733 | ||||||||||||||||||
Net expenses to average daily net assets(c) | 1.01 | %(d)* | 0.73 | % | 0.80 | % | 0.79 | % | 0.70 | % | 0.68 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 4.80 | %* | 2.47 | % | 3.28 | % | 2.47 | % | 2.35 | % | 2.95 | % | ||||||||||||||||||
Portfolio turnover rate | 51 | %(e)** | 75 | %(e) | 52 | %(e) | 63 | %(e) | 43 | %(e) | 47 | %(e) | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.51 | %(f)* | 0.54 | %(f) | 0.54 | %(f) | 0.54 | % | 0.34 | % | 0.23 | % |
(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, if any (Note 5). |
(d) | Net expenses have been annualized with the exception of non-recurring contingent legal fees attributed to EU tax reclaims. The net expense ratio excluding these legal fees is 0.79% (See Note 2). |
(e) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 55%, 77%, 65%, 117%, 80% and 54%, 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. | 95 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
U.S. EQUITY FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.39 | $ | 11.89 | $ | 13.07 | $ | 15.41 | $ | 15.14 | $ | 13.79 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: |
| |||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.10 | 0.18 | 0.22 | 0.23 | 0.27 | 0.27 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 2.53 | 3.56 | 0.21 | (0.04 | )(b) | 1.73 | 2.89 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 2.63 | 3.74 | 0.43 | 0.19 | 2.00 | 3.16 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: |
| |||||||||||||||||||||||||||||
From net investment income | (0.04 | ) | (0.21 | ) | (0.32 | ) | (0.26 | ) | (0.28 | ) | (0.34 | ) | ||||||||||||||||||
From net realized gains | (0.96 | ) | (1.03 | ) | (1.29 | ) | (2.27 | ) | (1.45 | ) | (1.47 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (1.00 | ) | (1.24 | ) | (1.61 | ) | (2.53 | ) | (1.73 | ) | (1.81 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 16.02 | $ | 14.39 | $ | 11.89 | $ | 13.07 | $ | 15.41 | $ | 15.14 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(c) | 18.55 | %** | 33.74 | % | 2.51 | % | 1.94 | % | 13.76 | % | 23.59 | % | ||||||||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 114,493 | $ | 105,656 | $ | 83,738 | $ | 131,198 | $ | 77,297 | $ | 109,726 | ||||||||||||||||||
Net expenses to average daily net assets(d) | 0.46 | %* | 0.47 | % | 0.46 | % | 0.46 | % | 0.46 | % | 0.46 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.31 | %* | 1.47 | % | 1.64 | % | 1.62 | % | 1.78 | % | 1.80 | % | ||||||||||||||||||
Portfolio turnover rate(e) | 49 | %** | 66 | % | 72 | % | 89 | % | 79 | % | 66 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04 | %(f)* | 0.04 | %(f) | 0.03 | %(f) | 0.03 | % | 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 the 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, if any (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, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 56%, 81%, 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. |
96 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
U.S. EQUITY FUND (continued)
Class VI Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.25 | $ | 11.78 | $ | 12.97 | $ | 15.31 | $ | 15.06 | $ | 13.73 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Income (loss) from investment operations: |
| |||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.11 | 0.19 | 0.23 | 0.24 | 0.29 | 0.27 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 2.50 | 3.53 | 0.20 | (0.04 | )(b) | 1.71 | 2.89 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 2.61 | 3.72 | 0.43 | 0.20 | 2.00 | 3.16 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: |
| |||||||||||||||||||||||||||||
From net investment income | (0.05 | ) | (0.22 | ) | (0.33 | ) | (0.27 | ) | (0.30 | ) | (0.36 | ) | ||||||||||||||||||
From net realized gains | (0.96 | ) | (1.03 | ) | (1.29 | ) | (2.27 | ) | (1.45 | ) | (1.47 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (1.01 | ) | (1.25 | ) | (1.62 | ) | (2.54 | ) | (1.75 | ) | (1.83 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 15.85 | $ | 14.25 | $ | 11.78 | $ | 12.97 | $ | 15.31 | $ | 15.06 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(c) | 18.57 | %** | 33.92 | % | 2.53 | % | 2.05 | % | 13.84 | % | 23.68 | % | ||||||||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 310,493 | $ | 245,547 | $ | 365,693 | $ | 758,714 | $ | 1,200,008 | $ | 1,469,935 | ||||||||||||||||||
Net expenses to average daily net assets(d) | 0.37 | %* | 0.37 | % | 0.37 | % | 0.37 | % | 0.37 | % | 0.37 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.40 | %* | 1.56 | % | 1.75 | % | 1.68 | % | 1.88 | % | 1.87 | % | ||||||||||||||||||
Portfolio turnover rate(e) | 49 | %** | 66 | % | 72 | % | 89 | % | 79 | % | 66 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04 | %(f)* | 0.04 | %(f) | 0.03 | %(f) | 0.03 | % | 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 the 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, if any (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, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 56%, 81%, 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. |
See accompanying notes to the financial statements. | 97 |
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, 2021 (Unaudited) | Year Ended February 28, 2021 | Period from July 2, 2019 (commencement of operations) through February 29, 2020 | |||||||||||||
Net asset value, beginning of period | $ | 24.99 | $ | 18.06 | $ | 20.00 | |||||||||
|
|
|
|
|
| ||||||||||
Income (loss) from investment operations: |
| ||||||||||||||
Net investment income (loss)(a)† | 0.17 | 0.30 | 0.23 | ||||||||||||
Net realized and unrealized gain (loss) | 2.49 | 6.96 | (1.99 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Total from investment operations | 2.66 | 7.26 | (1.76 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Less distributions to shareholders: |
| ||||||||||||||
From net investment income | (0.06 | ) | (0.33 | ) | (0.18 | ) | |||||||||
From net realized gains | (1.64 | ) | — | — | |||||||||||
|
|
|
|
|
| ||||||||||
Total distributions | (1.70 | ) | (0.33 | ) | (0.18 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Net asset value, end of period | $ | 25.95 | $ | 24.99 | $ | 18.06 | |||||||||
|
|
|
|
|
| ||||||||||
Total Return(b) | 10.79 | %** | 40.64 | % | (8.95 | )%** | |||||||||
Ratios/Supplemental Data: |
| ||||||||||||||
Net assets, end of period (000’s) | $ | 290,578 | $ | 372,498 | $ | 415,508 | |||||||||
Net expenses to average daily net assets(c) | 0.42 | %* | 0.41 | % | 0.44 | %* | |||||||||
Net investment income (loss) to average daily net assets(a) | 1.22 | %* | 1.67 | % | 1.69 | %* | |||||||||
Portfolio turnover rate(d) | 28 | %** | 86 | % | 56 | %** | |||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.00 | %(e)(f)* | 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, 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, 2021, and the years ended February 28, 2021 and February 29, 2020, including transactions in USTF, was 33%, 98% 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. |
98 | See accompanying notes to the financial statements. |
GMO Trust Funds
August 31, 2021 (Unaudited)
1. | Organization |
Each of Climate Change Fund, Emerging Domestic Opportunities Fund, Emerging Markets Fund, International Equity Fund, Japan Value Creation Fund, Quality Cyclicals Fund (formerly Cyclical Focus Fund), Quality Fund, Resources 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 | ||
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 | ||
Japan Value Creation Fund | Not Applicable | Total return | ||
Quality Cyclicals Fund (formerly Cyclical Focus Fund) | Not Applicable | Total return | ||
Quality Fund | Not Applicable | Total return | ||
Resources 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
99 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (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, 2021, 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.
100 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
The types of assets and liabilities categorized in Level 2 generally include cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.
Level 3 – Valuations based primarily on inputs that are unobservable and significant.
The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; 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, 2021:
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Climate Change Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Argentina | $ | 4,735,915 | $ | — | $ | — | $ | 4,735,915 | ||||||||
Australia | — | 11,330,052 | — | 11,330,052 | ||||||||||||
Brazil | — | 6,871,435 | — | 6,871,435 | ||||||||||||
Canada | 60,031,409 | — | — | 60,031,409 | ||||||||||||
China | 2,939,640 | 26,796,397 | — | 29,736,037 | ||||||||||||
Denmark | — | 2,679,012 | — | 2,679,012 | ||||||||||||
Finland | — | 8,305,502 | — | 8,305,502 | ||||||||||||
France | — | 22,731,890 | — | 22,731,890 | ||||||||||||
Germany | — | 2,231,617 | — | 2,231,617 | ||||||||||||
India | — | 486,773 | — | 486,773 | ||||||||||||
Italy | — | 5,714,969 | — | 5,714,969 | ||||||||||||
Japan | — | 23,835,222 | — | 23,835,222 | ||||||||||||
Mexico | 14,447,826 | — | — | 14,447,826 | ||||||||||||
Netherlands | — | 4,644,130 | — | 4,644,130 | ||||||||||||
Norway | — | 7,413,586 | — | 7,413,586 | ||||||||||||
Pakistan | — | 747,208 | — | 747,208 | ||||||||||||
Philippines | — | 527,980 | — | 527,980 | ||||||||||||
Russia | — | 15,672,735 | — | 15,672,735 | ||||||||||||
South Korea | — | 7,666,145 | — | 7,666,145 | ||||||||||||
Spain | — | 13,852,205 | — | 13,852,205 | ||||||||||||
Switzerland | — | 3,543,735 | — | 3,543,735 | ||||||||||||
Taiwan | — | 2,104,045 | — | 2,104,045 | ||||||||||||
Thailand | — | 1,118,438 | — | 1,118,438 | ||||||||||||
Ukraine | — | 3,287,859 | — | 3,287,859 | ||||||||||||
United Kingdom | — | 10,156,189 | — | 10,156,189 | ||||||||||||
United States | 260,493,453 | — | — | 260,493,453 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 342,648,243 | 181,717,124 | — | 524,365,367 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Chile | 9,378,552 | — | — | 9,378,552 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 9,378,552 | — | — | 9,378,552 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
101 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Climate Change Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Mutual Funds | ||||||||||||||||
United States | $ | 19,976,703 | $ | — | $ | — | $ | 19,976,703 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 19,976,703 | — | — | 19,976,703 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 372,003,498 | 181,717,124 | — | 553,720,622 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 372,003,498 | $ | 181,717,124 | $ | — | $ | 553,720,622 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Emerging Domestic Opportunities Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Brazil | $ | 4,295,135 | $ | 29,961,935 | $ | — | $ | 34,257,070 | ||||||||
China | 26,849,450 | 203,733,984 | — | 230,583,434 | ||||||||||||
Greece | — | 2,973,867 | — | 2,973,867 | ||||||||||||
Hong Kong | — | 6,151,861 | — | 6,151,861 | ||||||||||||
Hungary | — | 4,014,361 | — | 4,014,361 | ||||||||||||
India | — | 156,999,162 | 6,597,624 | 163,596,786 | ||||||||||||
Japan | — | 8,185,127 | — | 8,185,127 | ||||||||||||
Mexico | 40,434,762 | — | — | 40,434,762 | ||||||||||||
Netherlands | — | 2,403,551 | — | 2,403,551 | ||||||||||||
Philippines | — | 7,853,259 | — | 7,853,259 | ||||||||||||
Poland | — | 206,654 | — | 206,654 | ||||||||||||
Qatar | — | 5,052,368 | — | 5,052,368 | ||||||||||||
Russia | 9,550,980 | 18,147,664 | 2,341,022 | 30,039,666 | ||||||||||||
Singapore | 3,586,192 | — | — | 3,586,192 | ||||||||||||
South Africa | — | 13,459,352 | — | 13,459,352 | ||||||||||||
South Korea | — | 64,481,226 | — | 64,481,226 | ||||||||||||
Switzerland | — | 3,960,288 | — | 3,960,288 | ||||||||||||
Taiwan | — | 110,522,320 | — | 110,522,320 | ||||||||||||
Thailand | — | 4,320,018 | — | 4,320,018 | ||||||||||||
United States | 56,436,299 | — | — | 56,436,299 | ||||||||||||
Vietnam | — | 5,232,948 | — | 5,232,948 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 141,152,818 | 647,659,945 | 8,938,646 | 797,751,409 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | — | 4,002,430 | — | 4,002,430 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 4,002,430 | — | 4,002,430 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | ||||||||||||||||
China | 17,088,706 | — | — | 17,088,706 | ||||||||||||
Russia | 30,588,816 | — | — | 30,588,816 | ||||||||||||
Saudi Arabia | 11,276,405 | — | — | 11,276,405 | ||||||||||||
South Africa | 6,548,150 | — | — | 6,548,150 | ||||||||||||
United States | 22,625,693 | — | — | 22,625,693 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENT FUNDS | 88,127,770 | — | — | 88,127,770 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 25,163,385 | — | — | 25,163,385 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 25,163,385 | — | — | 25,163,385 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 12,718,217 | — | — | 12,718,217 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 267,162,190 | 651,662,375 | 8,938,646 | 927,763,211 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
102 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Emerging Domestic Opportunities Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | $ | — | $ | 259,435 | $ | — | $ | 259,435 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 267,162,190 | $ | 651,921,810 | $ | 8,938,646 | $ | 928,022,646 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | $ | — | $ | (504,873 | ) | $ | — | $ | (504,873 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (504,873 | ) | $ | — | $ | (504,873 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Emerging Markets Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Argentina | $ | 4,176,323 | $ | — | $ | — | $ | 4,176,323 | ||||||||
Brazil | — | 24,045,103 | — | 24,045,103 | ||||||||||||
Chile | — | 190,377 | — | 190,377 | ||||||||||||
China | 71,522,302 | 781,271,666 | 0 | § | 852,793,968 | |||||||||||
Czech Republic | — | 8,031,485 | — | 8,031,485 | ||||||||||||
Egypt | — | 1,185,524 | — | 1,185,524 | ||||||||||||
Hong Kong | — | 870,402 | — | 870,402 | ||||||||||||
India | 16,195,218 | 129,439,145 | — | 145,634,363 | ||||||||||||
Indonesia | — | 72,867,503 | — | 72,867,503 | ||||||||||||
Kuwait | — | 57,774,643 | — | 57,774,643 | ||||||||||||
Mexico | 133,464,940 | — | — | 133,464,940 | ||||||||||||
Pakistan | — | 12,337,685 | — | 12,337,685 | ||||||||||||
Peru | 6,184,722 | — | — | 6,184,722 | ||||||||||||
Philippines | — | 10,538,669 | — | 10,538,669 | ||||||||||||
Poland | — | 3,636,866 | — | 3,636,866 | ||||||||||||
Qatar | — | 19,078,918 | — | 19,078,918 | ||||||||||||
Russia | 7,681,457 | 414,231,839 | 6,821,128 | 428,734,424 | ||||||||||||
South Africa | — | 8,730,537 | — | 8,730,537 | ||||||||||||
South Korea | — | 181,437,478 | — | 181,437,478 | ||||||||||||
Sri Lanka | — | 520,722 | — | 520,722 | ||||||||||||
Taiwan | 3,297,767 | 659,135,871 | — | 662,433,638 | ||||||||||||
Thailand | — | 10,416,361 | — | 10,416,361 | ||||||||||||
Turkey | — | 35,537,738 | — | 35,537,738 | ||||||||||||
United Arab Emirates | — | 2,937,050 | — | 2,937,050 | ||||||||||||
United Kingdom | — | 15,033,627 | — | 15,033,627 | ||||||||||||
Vietnam | — | 6,627,815 | — | 6,627,815 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 242,522,729 | 2,455,877,024 | 6,821,128 | 2,705,220,881 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Colombia | 1,579,786 | — | — | 1,579,786 | ||||||||||||
Russia | — | 53,821,498 | — | 53,821,498 | ||||||||||||
South Korea | — | 36,370,948 | — | 36,370,948 | ||||||||||||
Taiwan | — | 2,393,922 | — | 2,393,922 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 1,579,786 | 92,586,368 | — | 94,166,154 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | ||||||||||||||||
United States | 33,622,127 | — | — | 33,622,127 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENT FUNDS | 33,622,127 | — | — | 33,622,127 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
103 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Emerging Markets Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Debt Obligations | ||||||||||||||||
United States | $ | 63,658,877 | $ | — | $ | — | $ | 63,658,877 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 63,658,877 | — | — | 63,658,877 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 18,726,699 | — | — | 18,726,699 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 360,110,218 | 2,548,463,392 | 6,821,128 | 2,915,394,738 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | $ | — | $ | 2,121,883 | $ | — | $ | 2,121,883 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 360,110,218 | $ | 2,550,585,275 | $ | 6,821,128 | $ | 2,917,516,621 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | $ | (16,182,826 | ) | $ | (1,203,433 | ) | $ | ��� | $ | (17,386,259 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (16,182,826 | ) | $ | (1,203,433 | ) | $ | — | $ | (17,386,259 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 76,756,125 | $ | — | $ | 76,756,125 | ||||||||
Belgium | — | 30,502,039 | — | 30,502,039 | ||||||||||||
Denmark | — | 1,165,711 | — | 1,165,711 | ||||||||||||
Finland | — | 15,653,003 | — | 15,653,003 | ||||||||||||
France | 1,821,630 | 207,489,012 | — | 209,310,642 | ||||||||||||
Germany | — | 194,922,509 | — | 194,922,509 | ||||||||||||
Hong Kong | — | 53,294,743 | — | 53,294,743 | ||||||||||||
Ireland | 18,361,034 | 14,670,380 | — | 33,031,414 | ||||||||||||
Italy | 6,248,061 | 95,117,562 | — | 101,365,623 | ||||||||||||
Japan | — | 455,698,420 | — | 455,698,420 | ||||||||||||
Malta | — | — | 0 | § | 0 | § | ||||||||||
Netherlands | — | 161,838,525 | — | 161,838,525 | ||||||||||||
Norway | — | 38,848,208 | — | 38,848,208 | ||||||||||||
Portugal | — | 47,235,702 | — | 47,235,702 | ||||||||||||
Singapore | — | 88,834,949 | — | 88,834,949 | ||||||||||||
Spain | — | 123,288,569 | — | 123,288,569 | ||||||||||||
Sweden | — | 9,096,863 | — | 9,096,863 | ||||||||||||
Switzerland | 2,577,681 | 135,397,896 | — | 137,975,577 | ||||||||||||
United Kingdom | 18,362,144 | 374,183,536 | — | 392,545,680 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 47,370,550 | 2,123,993,752 | 0 | § | 2,171,364,302 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Germany | — | 37,258,209 | — | 37,258,209 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 37,258,209 | — | 37,258,209 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 89,508,129 | — | — | 89,508,129 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 136,878,679 | 2,161,251,961 | — | 2,298,130,640 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 136,878,679 | $ | 2,161,251,961 | $ | 0 | § | $ | 2,298,130,640 | |||||||
|
|
|
|
|
|
|
| |||||||||
104 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
International Equity Fund (continued) | ||||||||||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | $ | (79,325 | ) | $ | — | $ | — | $ | (79,325 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (79,325 | ) | $ | — | $ | — | $ | (79,325 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Japan Value Creation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | $ | — | $ | 163,632,495 | $ | — | $ | 163,632,495 | ||||||||
Short-Term Investments | 4,584,919 | — | — | 4,584,919 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 4,584,919 | 163,632,495 | — | 168,217,414 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 4,584,919 | $ | 163,632,495 | $ | — | $ | 168,217,414 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Quality Cyclicals Fund (formerly Cyclical Focus Fund) | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Canada | $ | 7,371,382 | $ | — | $ | — | $ | 7,371,382 | ||||||||
China | — | 2,285,346 | — | 2,285,346 | ||||||||||||
Finland | — | 3,477,096 | — | 3,477,096 | ||||||||||||
France | — | 11,964,750 | — | 11,964,750 | ||||||||||||
Germany | — | 3,149,034 | — | 3,149,034 | ||||||||||||
Ireland | — | 3,795,537 | — | 3,795,537 | ||||||||||||
Mexico | 8,683,654 | — | — | 8,683,654 | ||||||||||||
Russia | — | 6,509,537 | — | 6,509,537 | ||||||||||||
Spain | — | 6,140,180 | — | 6,140,180 | ||||||||||||
United Kingdom | — | 15,992,645 | — | 15,992,645 | ||||||||||||
United States | 66,941,915 | — | — | 66,941,915 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 82,996,951 | 53,314,125 | — | 136,311,076 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | — | 4,159,195 | — | 4,159,195 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 4,159,195 | — | 4,159,195 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 633,249 | — | — | 633,249 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 633,249 | — | — | 633,249 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 284,469 | — | — | 284,469 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 83,914,669 | 57,473,320 | — | 141,387,989 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 83,914,669 | $ | 57,473,320 | $ | — | $ | 141,387,989 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Quality Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
France | $ | — | $ | 290,052,645 | $ | — | $ | 290,052,645 | ||||||||
Germany | — | 281,759,976 | — | 281,759,976 | ||||||||||||
Switzerland | — | 305,189,473 | — | 305,189,473 | ||||||||||||
Taiwan | — | 301,692,426 | — | 301,692,426 | ||||||||||||
United Kingdom | — | 347,670,744 | — | 347,670,744 | ||||||||||||
United States | 7,387,932,734 | — | — | 7,387,932,734 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 7,387,932,734 | 1,526,365,264 | — | 8,914,297,998 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
105 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Quality Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Mutual Funds | ||||||||||||||||
United States | $ | 9,830,961 | $ | — | $ | — | $ | 9,830,961 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 9,830,961 | — | — | 9,830,961 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 274,869,175 | — | — | 274,869,175 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 7,672,632,870 | 1,526,365,264 | — | 9,198,998,134 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 7,672,632,870 | $ | 1,526,365,264 | $ | — | $ | 9,198,998,134 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Resources Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Argentina | $ | 14,919,365 | $ | — | $ | — | $ | 14,919,365 | ||||||||
Australia | — | 92,322,499 | — | 92,322,499 | ||||||||||||
Austria | — | 25,973,267 | — | 25,973,267 | ||||||||||||
Brazil | — | 56,117,905 | — | 56,117,905 | ||||||||||||
Canada | 133,553,574 | — | — | 133,553,574 | ||||||||||||
China | — | 50,510,346 | — | 50,510,346 | ||||||||||||
Denmark | — | 7,456,548 | — | 7,456,548 | ||||||||||||
Finland | — | 10,445,965 | — | 10,445,965 | ||||||||||||
France | — | 27,459,057 | — | 27,459,057 | ||||||||||||
Hungary | — | 15,927,228 | — | 15,927,228 | ||||||||||||
India | — | 44,786,360 | — | 44,786,360 | ||||||||||||
Israel | — | 9,008,191 | — | 9,008,191 | ||||||||||||
Japan | — | 34,059,062 | — | 34,059,062 | ||||||||||||
Mexico | 51,039,997 | — | — | 51,039,997 | ||||||||||||
Norway | — | 35,516,320 | — | 35,516,320 | ||||||||||||
Pakistan | — | 4,010,598 | — | 4,010,598 | ||||||||||||
Poland | — | 12,289,219 | — | 12,289,219 | ||||||||||||
Russia | — | 135,569,286 | — | 135,569,286 | ||||||||||||
Singapore | — | — | 0 | § | 0 | § | ||||||||||
South Africa | — | 29,206,407 | — | 29,206,407 | ||||||||||||
South Korea | — | 7,174,269 | — | 7,174,269 | ||||||||||||
Spain | — | 11,696,156 | — | 11,696,156 | ||||||||||||
Switzerland | — | 5,409,621 | — | 5,409,621 | ||||||||||||
Turkey | — | 6,060,388 | — | 6,060,388 | ||||||||||||
Ukraine | — | 7,492,652 | — | 7,492,652 | ||||||||||||
United Kingdom | — | 233,076,100 | — | 233,076,100 | ||||||||||||
United States | 462,418,293 | — | — | 462,418,293 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 661,931,229 | 861,567,444 | 0 | § | 1,523,498,673 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | — | 95,601,888 | — | 95,601,888 | ||||||||||||
Chile | 27,660,099 | — | — | 27,660,099 | ||||||||||||
Russia | — | 39,488,435 | — | 39,488,435 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 27,660,099 | 135,090,323 | — | 162,750,422 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
Singapore | — | — | 0 | § | 0 | § | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | — | — | 0 | § | 0 | § | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 29,262,075 | — | — | 29,262,075 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 718,853,403 | 996,657,767 | — | 1,715,511,170 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 718,853,403 | $ | 996,657,767 | $ | 0 | § | $ | 1,715,511,170 | |||||||
|
|
|
|
|
|
|
| |||||||||
106 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Tax-Managed International Equities Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 1,413,570 | $ | — | $ | 1,413,570 | ||||||||
Belgium | — | 358,241 | — | 358,241 | ||||||||||||
Brazil | — | 245,744 | — | 245,744 | ||||||||||||
China | — | 854,394 | — | 854,394 | ||||||||||||
Denmark | — | 49,249 | — | 49,249 | ||||||||||||
Finland | — | 178,304 | — | 178,304 | ||||||||||||
France | — | 3,436,456 | — | 3,436,456 | ||||||||||||
Germany | — | 2,978,804 | — | 2,978,804 | ||||||||||||
Hong Kong | — | 652,067 | — | 652,067 | ||||||||||||
Hungary | — | 81,043 | — | 81,043 | ||||||||||||
India | — | 297,791 | — | 297,791 | ||||||||||||
Ireland | 183,795 | 250,641 | — | 434,436 | ||||||||||||
Italy | 108,834 | 1,229,868 | — | 1,338,702 | ||||||||||||
Japan | — | 8,011,816 | — | 8,011,816 | ||||||||||||
Malta | — | — | 0 | § | 0 | § | ||||||||||
Netherlands | — | 2,714,237 | — | 2,714,237 | ||||||||||||
Norway | — | 635,098 | — | 635,098 | ||||||||||||
Poland | — | 68,433 | — | 68,433 | ||||||||||||
Portugal | — | 713,002 | — | 713,002 | ||||||||||||
Russia | — | 522,052 | — | 522,052 | ||||||||||||
Singapore | — | 1,545,517 | — | 1,545,517 | ||||||||||||
South Africa | — | 89,680 | — | 89,680 | ||||||||||||
South Korea | — | 777,797 | — | 777,797 | ||||||||||||
Spain | — | 2,056,962 | — | 2,056,962 | ||||||||||||
Sweden | — | 249,668 | — | 249,668 | ||||||||||||
Switzerland | 36,956 | 2,474,038 | — | 2,510,994 | ||||||||||||
Taiwan | — | 488,010 | — | 488,010 | ||||||||||||
Thailand | — | 86,106 | — | 86,106 | ||||||||||||
Turkey | — | 205,516 | — | 205,516 | ||||||||||||
United Kingdom | 1,173,814 | 5,272,658 | — | 6,446,472 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 1,503,399 | 37,936,762 | 0 | § | 39,440,161 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | — | 9,667 | — | 9,667 | ||||||||||||
Germany | — | 863,347 | — | 863,347 | ||||||||||||
Russia | — | 53 | — | 53 | ||||||||||||
South Korea | — | 16,945 | — | 16,945 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 890,012 | — | 890,012 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 1,166,020 | — | — | 1,166,020 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 1,166,020 | — | — | 1,166,020 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 56,770 | — | — | 56,770 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 2,726,189 | 38,826,774 | 0 | § | 41,552,963 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | 1,765 | — | — | 1,765 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,727,954 | $ | 38,826,774 | $ | 0 | § | $ | 41,554,728 | |||||||
|
|
|
|
|
|
|
| |||||||||
107 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Equity Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | $ | 413,237,117 | $ | — | $ | — | $ | 413,237,117 | ||||||||
Mutual Funds | 1,151,569 | — | — | 1,151,569 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 414,388,686 | — | — | 414,388,686 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | $ | 30,671 | $ | — | $ | — | $ | 30,671 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 414,419,357 | $ | — | $ | — | $ | 414,419,357 | ||||||||
|
|
|
|
|
|
|
| |||||||||
U.S. Small Cap Value Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | $ | 285,718,948 | $ | — | $ | — | $ | 285,718,948 | ||||||||
Mutual Funds | 2,484,079 | — | — | 2,484,079 | ||||||||||||
Rights/warrants | — | — | 36,350 | 36,350 | ||||||||||||
Short-Term Investments | 731,931 | — | — | 731,931 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 288,934,958 | — | 36,350 | 288,971,308 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 288,934,958 | $ | — | $ | 36,350 | $ | 288,971,308 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | $ | (3,488 | ) | $ | — | $ | — | $ | (3,488 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (3,488 | ) | $ | — | $ | — | $ | (3,488 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
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). 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, 2021. |
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). Emerging Domestic Opportunities Fund’s Level 3 holdings includes one common stock that was purchased prior to the initial public offering (“IPO”) that is restricted from trading until March 22, 2022 and is being valued based on the post-IPO shares trading in the market. Emerging Domestic Opportunities Fund and Emerging Markets Fund holdings also include a common stock of 144A shares that is thinly traded and is being priced off the Reg S shares of the same security. Other than described above, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at August 31, 2021.
108 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (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 28, 2021 | 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, 2021 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2021 | |||||||||||||||||||||||||||||||
Emerging Domestic Opportunities Fund | ||||||||||||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
India | $ | 265,151 | $ | 1,924,111 | $ | — | $ | — | $ | — | $ | 6,226,476 | $ | — | $ | (1,818,114 | )‡ | $ | 6,597,624 | $ | 4,673,513 | |||||||||||||||||||
Russia | — | 2,445,095 | — | — | — | (104,073 | ) | — | — | 2,341,022 | (104,073 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments | $ | 265,151 | $ | 4,369,206 | $ | — | $ | — | $ | — | $ | 6,122,403 | $ | — | $ | (1,818,114 | ) | $ | 8,938,646 | $ | 4,569,440 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Emerging Markets Fund | ||||||||||||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
Russia | $ | — | $ | 7,148,534 | $ | (19,572 | ) | $ | — | $ | (4,598 | ) | $ | (303,242 | ) | $ | 6 | ‡ | $ | — | $ | 6,821,128 | $ | (303,242 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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Total Investments | $ | — | $ | 7,148,534 | $ | (19,572 | ) | $ | — | $ | (4,598 | ) | $ | (303,242 | ) | $ | 6 | $ | — | $ | 6,821,128 | $ | (303,242 | ) | ||||||||||||||||
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‡ | Financial assets transferred between levels were due to a change in observable and/or unobservable inputs. |
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, 2021 for Funds with material Level 3 investments.
Quantitative information about Level 3 Fair Value Measurements*
Investment Type | Total Fair Value ($) | Valuation Methodology | Unobservable Inputs | Range (Weighted Average) | ||||||
Emerging Domestic Opportunities Fund | ||||||||||
Common Stock | 2,341,022 | Fair Value | Price of comparable equity | (N/A) | ||||||
Emerging Markets Fund | ||||||||||
Common Stock | 6,821,122 | Fair Value | Price of comparable equity | (N/A) | ||||||
Common Stock | — | Fair Value | Discount for lack of liquidity/marketabilty | $0 (N/A) |
* | The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of August 31, 2021, the value of these securities and/or derivatives for Emerging Domestic Opportunities Fund and Emerging Markets Fund was $6,597,624, and $6, 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.
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
109 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
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 in an amount equal to the securities loaned (marked to market daily). Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the following business day. 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, 2021, 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 | 43,982,270 | 6,084,188 | 39,674,915 | 45,759,103 | ||||||||||||
Emerging Markets Fund | 18,748,263 | — | 18,895,083 | 18,895,083 | ||||||||||||
Resources Fund | 74,329,231 | — | 77,400,904 | 77,400,904 |
* | 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.
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GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (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.
As a result of court cases involving several countries across the European Union, certain Funds have filed tax reclaims in addition to treaty-based claims, in respect of previously withheld taxes on dividends earned (“EU tax reclaims”). These filings are subject to various administrative proceedings by each local jurisdiction’s tax authority, as well as judicial proceedings. EU tax reclaim and associated interest entitlements that have been recognized, if any, are reflected as Other income in the Statements of Operations. As a result of its entitlements to EU tax reclaims and related interest amounts, a Fund may incur contingent legal fees. Such fees are presented within Legal fees in the Statements of Operations. Related receivables, if any, are reflected as EU tax reclaims receivable in the Statements of Assets and Liabilities. Generally, unless GMO believes that recovery amounts are collectible and free from significant contingencies, recoveries will not be reflected in a Fund’s net asset value. EU tax reclaims and related interest entitlements recognized by a Fund, if any, reduce the amount of foreign taxes, if any, that a Fund may elect to pass-through to its shareholders from a U.S. federal tax perspective. In certain circumstances and to the extent that EU tax reclaims recognized by a Fund were previously passed-through as foreign tax credits to its U.S. taxable shareholders, a Fund may enter into a closing agreement with the U.S. Internal Revenue Service (the “IRS”). Doing so will enable a Fund to quantify and remit its tax liability related to any recoveries (on behalf of its shareholders). Based on current guidance from the IRS, it is expected that International Equity Fund and Tax-Managed International Equity Fund will enter into a closing agreement with the IRS. Accordingly, estimated charges related to International Equity Fund and Tax-Managed International Equity Fund’s closing agreement liabilities are presented as a reduction of Other income in the Statements of Operations and their estimated closing agreement liabilities are presented as Payable for IRS closing agreement fees in the Statements of Assets and Liabilities.
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, 2021, 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.
111 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
As of February 28, 2021, 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 28, 2021, 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 ($) | ||||||
Climate Change Fund | (1,674,056) | (2,710,425) | ||||||
Emerging Domestic Opportunities Fund | (2,759,936) | — | ||||||
Emerging Markets Fund | (84,953,319) | (1,113,237,186) | ||||||
International Equity Fund | (769,130,239) | (252,272,669) | ||||||
Japan Value Creation Fund | — | — | ||||||
Quality Cyclicals Fund (formerly Cyclical Focus Fund) | — | — | ||||||
Quality Fund | — | — | ||||||
Resources Fund | — | — | ||||||
Tax-Managed International Equities Fund | (2,732,322) | — | ||||||
U.S. Equity Fund | — | — | ||||||
U.S. Small Cap Value Fund | — | — |
As of August 31, 2021, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments for U.S. federal income tax purposes were as follows:
Total Investments | Outstanding Financial Instruments | |||||||||||||||||||
Fund Name | Aggregate Cost ($) | Gross Unrealized Appreciation ($) | Gross Unrealized (Depreciation) ($) | Net Unrealized Appreciation (Depreciation) ($) | Net Unrealized Appreciation (Depreciation) ($) | |||||||||||||||
Climate Change Fund | 510,807,362 | 63,773,638 | (20,860,378) | 42,913,260 | — | |||||||||||||||
Emerging Domestic Opportunities Fund | 895,675,840 | 64,438,367 | (32,350,996) | 32,087,371 | (245,438) | |||||||||||||||
Emerging Markets Fund | 2,774,306,020 | 388,208,252 | (247,119,534) | 141,088,718 | (15,264,376) | |||||||||||||||
International Equity Fund | 2,125,411,527 | 281,283,016 | (108,563,903) | 172,719,113 | (79,325) | |||||||||||||||
Japan Value Creation Fund | 154,519,846 | 17,771,741 | (4,074,173) | 13,697,568 | — | |||||||||||||||
Quality Cyclicals Fund (formerly Cyclical Focus Fund) |
| 107,998,427 |
|
| 34,302,872 |
|
| (913,310) |
|
| 33,389,562 |
|
| — |
| |||||
Quality Fund | 5,011,222,409 | 4,248,244,891 | (60,469,166) | 4,187,775,725 | — | |||||||||||||||
Resources Fund | 1,494,739,658 | 258,746,621 | (37,975,109) | 220,771,512 | — | |||||||||||||||
Tax-Managed International Equities Fund |
| 33,482,592 |
|
| 8,514,703 |
|
| (444,332) |
|
| 8,070,371 |
|
| 1,765 |
| |||||
U.S. Equity Fund | 336,770,577 | 81,070,455 | (3,452,346) | 77,618,109 | 30,671 | |||||||||||||||
U.S. Small Cap Value Fund | 247,628,242 | 51,147,817 | (9,804,751) | 41,343,066 | (3,488) |
The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. A Fund may recognize an income tax liability related to an uncertain tax position under U.S. GAAP when the uncertain tax position has a less than 50% probability that it would be sustained upon examination by the tax authorities, based on technical merits. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax
112 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
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. As of August 31, 2021, each Fund has determined that no tax liability is required to be accrued in its financial statements related to uncertain tax positions for any tax years which are subject to examination.
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, Japan Value Creation Fund, Quality Cyclicals Fund (formerly Cyclical Focus Fund), Quality Fund and U.S. Equity 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 increase or decrease 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.
113 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
GMO also may waive or reduce the purchase premium or redemption fee for a 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, 2021, 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. |
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, 2021, 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.
114 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
3. Investment and other risks
The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.
Climate Change Fund | Emerging Domestic Opportunities Fund | Emerging Markets Fund | International Equity Fund | Japan Value Creation Fund | Quality Cyclicals Fund (formerly Cyclical Focus Fund) | Quality Fund | Resources 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 | |||||||||||||||||||||
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 | |||||||||||
Event-Driven Risk | 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 | ||||||||||||
Leveraging Risk | 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 | |||||||||||
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 | |||||||||||||||||||||
Non-Diversified Funds | 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 as a result of its investment in Underlying Funds.
115 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
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; 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 GMO’s view changes adversely (whether due to external events or otherwise) does not mean that a Fund’s existing transactions with that counterparty will 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
116 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
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 (commonly 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 obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. The market price of a fixed income investment will normally decline as a result (and/or in anticipation) of the failure of an issuer, guarantor, or obligor to meet its payment obligations or a downgrading of the credit rating of the investment. This risk is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Fixed income investments also are subject to illiquidity risk. See “Illiquidity Risk.”
All fixed income investments are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending on 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 the particular security 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 on whether the securities are supported by the full faith and credit of the United States, supported by the ability of the obligor 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 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 often 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 in U.S. bonds.
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.
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 investment 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.
Some Funds are permitted to lend their portfolio securities. A Fund that lends its portfolio securities bears the risk of delay in the recovery of loaned securities, resulting among other things in the Fund’s inability to vote the securities, or realize on its 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 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 any). 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 be able to do so only 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. The use of 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.
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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 valuations generated by GMO’s pricing models are different from amounts the Funds realize when they close or sell a 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, none of the Funds will be permitted to trade with that counterparty.
OTC 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. Since 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 those with respect to OTC derivatives (commonly referred to as “bilateral arrangements”), for example, by requiring that funds provide more margin for their cleared derivative positions. Also, as a general matter, in contrast to an OTC 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. 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 an 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
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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 OTC 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 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 will be executed successfully and others 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 OTC derivatives. Variation margin requirements became effective in March 2017 and initial margin requirements will become effective in 2021 or 2022. 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.
In October 2020, the SEC adopted Rule 18f-4 under the 1940 Act, which, once effective, will govern the use of derivative investments and certain financing transactions (e.g., reverse repurchase agreements) by registered investment companies. Among other things, Rule 18f-4 requires funds that invest in derivative instruments above a specified amount apply a value-at-risk based limit to their use of certain derivative instruments and financing transactions and to adopt and implement a derivatives risk management program. A Fund that uses derivative instruments in a limited amount will not be subject to the full requirements of Rule 18f-4. In connection with the adoption of Rule 18f-4, the Funds will no longer be required to comply with the asset segregation framework arising from prior SEC guidance for covering certain derivative instruments and related transactions. Compliance with Rule 18f-4 will not be required until August 2022. Rule 18f-4 could have an adverse impact on a Fund’s performance and ability to implement its investment strategies as it has historically.
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 OTC derivatives. The cost of derivatives transactions could 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. 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.
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
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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 exercise the option only on its expiration date). If a Fund writes a call option and does not hold the underlying security, the Fund’s potential loss is 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. These limits can 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 securities, 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 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.
• EVENT-DRIVEN RISK. While implementing an event-driven strategy, a Fund may purchase securities at prices below the value of the consideration GMO expects the Fund to receive upon consummation of a proposed merger, acquisition, exchange offer, tender offer or other similar transaction (“event-driven transactions”). The purchase price paid by the Fund may substantially exceed the consideration received upon the closing of the transaction, resulting in losses to the Fund.
If a Fund utilizes an event-driven strategy and the transaction (such as a merger) later appears likely to be delayed or unlikely to be consummated or, in fact, is not consummated or is delayed, the market price of the securities purchased by the Fund may decline sharply, resulting in losses to the Fund. The risk/reward payout of event-driven strategies (such as merger arbitrage strategies) typically is asymmetric, with the losses in failed transactions often far exceeding the gains in successful transactions. A proposed transaction can fail to be consummated for many reasons, including regulatory and antitrust restrictions, industry weakness, company specific events, failed financings and general market declines.
Event-driven 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 an event-driven strategy 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 participation in event-driven transactions could result in tax inefficiencies.
• 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.
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A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of 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 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.
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 those fees and expenses.
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 those investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.
In October 2020, the SEC adopted regulatory changes and took other actions related to the ability of an investment company to invest in the securities of another investment company. These changes include, among other things, (i) the rescission of various SEC exemptive orders permitting investments in excess of the statutory limits (including the Trust’s exemptive order referred to above) and the withdrawal of related SEC staff no-action letters and (ii) the adoption of Rule 12d1-4 under the 1940 Act. Rule 12d1-4, which became effective on January 19, 2021, which permits the Funds to invest in other investment companies beyond the statutory limits, subject to various conditions. The rescission of the applicable exemptive orders and the withdrawal of the related no-action letters will be effective on January 19, 2022. After that date, an investment company will be subject to Rule 12d1-4 and other applicable rules under Section 12(d)(1). While the impact of these regulatory changes on the Funds is uncertain, the changes could reduce a Fund’s flexibility to make investments in other registered investment companies (including other Funds) and require a Fund to modify its investments.
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• 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 or at all. 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 or writing a put or closing a short position). If a Fund is unable to sell an illiquid asset, it could miss other investment opportunities, fail to meet redemption requests or be unable to meet other cash needs. In addition, it may be required to sell other assets it would prefer to hold.
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 an investment will be less than the price it was valued when held by the Fund. Illiquidity risk also tends to be greater in times of financial stress, including the markets for securities in entire asset classes. 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 significantly changing their market value. 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 of 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 significantly depress the market price of the securities being sold.
A Fund’s ability to use options in 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. Moreover, the hours of trading for options on an exchange may not conform to the hours of trading of the underlying securities, creating a risk of significant changes in the prices of underlying securities that are not immediately reflected in the options markets. If a Fund receives a redemption request and is unable to close out an option it has sold, the Fund 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 separate 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 some of those separate accounts hold a substantial portion of the outstanding shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from 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. In some cases, a redemption of a large number of shares could disrupt the Fund’s operations or force the Fund’s liquidation. Further, from time to time a Fund may trade in anticipation of a purchase order or redemption request 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 (if any). In addition, large shareholders may limit or prevent a Fund’s use of equalization for U.S. federal tax purposes.
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To the extent a Fund invests in other GMO Funds subject to large shareholder risk, the Fund is indirectly subject to this risk.
• LEVERAGING RISK. The use of traditional borrowing (including to meet redemption requests), reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e. a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e. a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives, 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, in relying on GMO to achieve its investment objective, it 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.
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. In addition, GMO’s models rely on assumptions and data that are subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value and 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 reduced 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, corrupting, or preventing access to data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential
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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, interfere with the use of quantitative models, 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. In addition, the global spread of COVID-19 has caused the Funds and their service providers to implement business continuity plans, including widespread use of work-from-home arrangements, which may make the Funds and their service providers more susceptible to cyber-attacks. 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 the Funds or accurately pricing their securities. 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 the Funds’ service providers and counterparties and 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, sanctions and terrorism) will disrupt securities markets, adversely affect global economies and markets and exacerbate the effects of other risks to which the Funds are subject, 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 held by the Funds. Fraud and other deceptive practices committed by an issuer of securities held by a Fund, 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”), subject to a transition period. Before the end of the transition period, the United Kingdom and the European Union ratified the EU-UK Trade and Cooperation Agreement (the “TCA”), which lays out the terms of the United Kingdom’s future cooperation with the European Union. Notwithstanding the TCA, significant uncertainty remains in the market regarding the ramifications of Brexit, and the range and potential implications of possible political, regulatory, economic and market outcomes are difficult to predict. The impact of Brexit on the U.K. and European economies and the broader global economy could be significant, resulting in negative impacts on currency and financial markets generally, such as increased volatility and illiquidity, and potentially lower economic growth in markets in the United Kingdom, Europe, and globally, which may adversely affect the value of a Fund’s investments. 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
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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 industry-specific restrictions, against non-U.S. governments, officials, institutions, and companies (including, in recent years, against countries such as China, Russia, and Venezuela). These sanctions, any additional sanctions or intergovernmental actions or even the threat of further sanctions could result, in a decline in the value and liquidity of securities of companies in such non-U.S. countries, a weakening of the currencies of those countries or other adverse consequences to their economies. Sanctions impair the ability of the Funds to buy, sell, receive or deliver the securities that are subject to the sanctions and may require the Funds to divest their holdings in those securities at inopportune times. 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 impossible 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 known as COVID-19 beginning in late 2019 (described below)), and systemic market dislocations (such as the kind surrounding the insolvency of Lehman Brothers in 2008), can adversely affect 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, by causing the Funds’ derivatives counterparties to discontinue or limit offering derivatives on some underlying commodities, securities, reference rates. 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.
A global outbreak of COVID-19 and subsequent efforts to contain its spread have resulted in, among other things, extreme volatility and reduced liquidity in financial markets; exchange trading suspensions and closures; higher default rates; travel restrictions and disruptions; significant disruptions to business operations and supply chains; lower consumer demand for goods and services; significant job losses and increasing unemployment; event and service cancellations and restrictions; significant challenges in healthcare service preparation and delivery; prolonged quarantines; as well as general concern and uncertainty. The impact of this pandemic and any other epidemic or pandemic that may arise in the future could adversely affect the economies of many nations or the entire global economy and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways. Extraordinary actions taken by governments and central banks to support local and global economies and the financial markets in response to the COVID-19 pandemic may not succeed or have the intended effect, and in some cases, have resulted in a large expansion of government deficits and debt, the long-term consequences of which are not known. This crisis or other public health crises may also exacerbate other pre-existing political, social, economic, market and financial risks. The duration of the COVID-19 pandemic and its effects cannot be determined with certainty. The effects of the COVID-19 pandemic or any other future epidemic or pandemic could impair a Fund’s ability to maintain operational standards (such as with respect to satisfying redemption requests), disrupt the operations of a Fund’s service providers, exacerbate other risks that apply to a Fund, and adversely affect the value and liquidity of a Fund’s investments.
• 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 that are characterized as relatively cyclical often are especially sensitive to economic cycles, which means they typically underperform non-cyclical equities during economic downturns. Performance of cyclical equities 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 as assessed by GMO and GMO’s assessment proves to be incorrect, the Fund runs the risk that the market price of the equity will not appreciate or will decline. 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.”
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 to near historically low levels. A substantial increase in interest rates could have a material adverse effect on the market value of 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. 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:
• | Emerging Domestic Opportunities Fund |
• | Japan Value Creation Fund |
• | Quality Cyclicals Fund (formerly Cyclical Focus Fund) |
• | Quality 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 (particularly emerging 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 often fluctuate more than those of securities traded on U.S. securities markets. 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, recordkeeping, accounting, custody and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. The Public Company Accounting Oversight Board, which regulates auditors of U.S. public companies, is unable to inspect audit work papers in some non-U.S. countries. Investors in non-U.S. countries often have limited rights and few practical remedies to pursue shareholder claims, including class actions or fraud claims, and the ability of the SEC, the U.S. Department of Justice and other authorities to bring and enforce actions against non-U.S. issuers or non-U.S. persons is limited.
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.
GMO’s decision to seek a refund on behalf of a Fund 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 process of seeking a refund may take years, and the outcome of a Fund’s efforts to obtain a refund is inherently uncertain. Accordingly, a refund is not typically reflected in the Fund’s net asset value until GMO believes that the refund is collectible and free from significant contingencies. In some cases, the amount of such refunds could be material to a Fund’s net asset value. If you redeem your shares of a Fund before a potential refund is reflected in the Fund’s net asset value, you will not realize the benefit of that refund. 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 companies 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
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exchange rates and increased risk of currency devaluation and hyperinflation; 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; increased risk of market manipulation or fraudulent trade practices; controls on investment (including restrictions on foreign 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); lower trading volumes; unavailability of currency hedging techniques; less rigorous accounting, auditing, corporate governance, financial reporting, recordkeeping, and regulatory standards and practices; unavailability of reliable information about issuers; slower clearance and settlement; limitations on, or difficulties enforcing legal judgments, contractual rights, or other remedies, including those available to a Fund in respect of its portfolio holdings; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries often 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.
• 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.
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).
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
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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, 2021, 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 | Tax-Managed International Equities Fund | U.S. Equity Fund | U.S. Small Cap Value Fund | ||||||||||||||||||
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 | ||||||||||||||||||||
Swap contracts | ||||||||||||||||||||||||
Substitute for direct equity investment | X | |||||||||||||||||||||||
Achieve returns comparable to holding and lending a direct equity position | X |
Forward currency contracts
The Funds may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market price of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked-to-market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was settled.
These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are 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
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Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
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. 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.
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.
131 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.
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, 2021 and the Statements of Operations for the period ended August 31, 2021^:
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.
Equity Contracts | ||||
Emerging Domestic Opportunities Fund | ||||
Asset Derivatives | ||||
Unrealized Appreciation on Futures Contracts¤ | $ | 259,435 | ||
|
| |||
Total | $ | 259,435 | ||
|
| |||
Liability Derivatives |
| |||
Unrealized Depreciation on Futures Contracts¤ | $ | (504,873 | ) | |
|
| |||
Total | $ | (504,873 | ) | |
|
| |||
Net Realized Gain (Loss) on |
| |||
Futures Contracts | $ | (1,336,394 | ) | |
|
| |||
Total | $ | (1,336,394 | ) | |
|
| |||
Change in Net Appreciation (Depreciation) on |
| |||
Futures Contracts | $ | (245,438 | ) | |
|
| |||
Total | $ | (245,438 | ) | |
|
| |||
|
| |||
|
|
132 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Equity Contracts | ||||
Emerging Markets Fund | ||||
Asset Derivatives | ||||
Swap Contracts, at value¤ | $ | 2,121,883 | ||
|
| |||
Total | $ | 2,121,883 | ||
|
| |||
Liability Derivatives |
| |||
Unrealized Depreciation on Futures Contracts¤ | $ | (17,386,259 | ) | |
|
| |||
Total | $ | (17,386,259 | ) | |
|
| |||
Net Realized Gain (Loss) on |
| |||
Futures Contracts | $ | 13,164,622 | ||
Swap Contracts | 6,001,631 | |||
|
| |||
Total | $ | 19,166,253 | ||
|
| |||
Change in Net Appreciation (Depreciation) on |
| |||
Futures Contracts | $ | (24,020,020 | ) | |
Swap Contracts | 1,896,557 | |||
|
| |||
Total | $ | (22,123,463 | ) | |
|
| |||
International Equity Fund | ||||
Liability Derivatives | ||||
Unrealized Depreciation on Futures Contracts¤ | $ | (79,325 | ) | |
|
| |||
Total | $ | (79,325 | ) | |
|
| |||
Net Realized Gain (Loss) on |
| |||
Futures Contracts | $ | (268,754 | ) | |
|
| |||
Total | $ | (268,754 | ) | |
|
| |||
Change in Net Appreciation (Depreciation) on |
| |||
Futures Contracts | $ | 290,951 | ||
|
| |||
Total | $ | 290,951 | ||
|
| |||
Tax-Managed International Equities Fund | ||||
Asset Derivatives | ||||
Unrealized Appreciation on Futures Contracts¤ | $ | 1,765 | ||
|
| |||
Total | $ | 1,765 | ||
|
| |||
Net Realized Gain (Loss) on |
| |||
Futures Contracts | $ | 32,704 | ||
|
| |||
Total | $ | 32,704 | ||
|
| |||
Change in Net Appreciation (Depreciation) on |
| |||
Futures Contracts | $ | (5,754 | ) | |
|
| |||
Total | $ | (5,754 | ) | |
|
| |||
U.S. Equity Fund | ||||
Asset Derivatives | ||||
Unrealized Appreciation on Futures Contracts¤ | $ | 30,671 | ||
|
| |||
Total | $ | 30,671 | ||
|
| |||
Net Realized Gain (Loss) on |
| |||
Futures Contracts | $ | 653,471 | ||
|
| |||
Total | $ | 653,471 | ||
|
| |||
133 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Equity Contracts | ||||
U.S. Equity Fund (continued) | ||||
Change in Net Appreciation (Depreciation) on |
| |||
Futures Contracts | $ | 23,687 | ||
|
| |||
Total | $ | 23,687 | ||
|
| |||
U.S. Small Cap Value Fund | ||||
Liability Derivatives | ||||
Unrealized Depreciation on Futures Contracts¤ | $ | (3,488 | ) | |
|
| |||
Total | $ | (3,488 | ) | |
|
| |||
Net Realized Gain (Loss) on |
| |||
Futures Contracts | $ | 19,813 | ||
|
| |||
Total | $ | 19,813 | ||
|
| |||
Change in Net Appreciation (Depreciation) on |
| |||
Futures Contracts | $ | 105,732 | ||
|
| |||
Total | $ | 105,732 | ||
|
| |||
^ | 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, 2021, if any.
134 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (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, 2021:
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 | $ | 2,121,883 | $ | (1,920,000 | ) | $ | — | $ | 201,883 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,121,883 | $ | (1,920,000 | ) | $ | — | $ | 201,883 | |||||||
|
|
|
|
|
|
|
| |||||||||
The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts), based on absolute values, at each month-end, was as follows for the period ended August 31, 2021:
Fund Name | Futures Contracts ($) | Swap Contracts ($) | ||||||
Emerging Domestic Opportunities Fund | 12,353,527 | — | ||||||
Emerging Markets Fund | 384,159,030 | 41,472,548 | ||||||
International Equity Fund | 14,829,868 | — | ||||||
Tax-Managed International Equities Fund | 305,248 | — | ||||||
U.S. Equity Fund | 4,643,459 | — | ||||||
U.S. Small Cap Value Fund | 3,578,177 | — |
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 | Emerging Domestic Opportunities Fund | Emerging Markets Fund | International Equity Fund | Japan Value Creation Fund | Quality Cyclicals Fund (formerly Cyclical Focus Fund) | Quality Fund | Resources Fund | Tax-Managed International Equities Fund | U.S. Equity Fund | U.S. Small Cap Value Fund | ||||||||||||||||||||||||||||||||||
Management Fee | 0.60%(a) | 0.75% | 0.65%(b) | 0.50% | 0.50% | 0.33% | 0.33% | 0.50% | 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%. |
135 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
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% | |||||||||||||||||||
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% | ||||||||||||||||||||||
Japan Value Creation Fund | 0.15% | * | 0.10% | * | 0.085% | * | 0.055% | 0.15% | * | 0.15% | ||||||||||||||||||
Quality Cyclicals Fund (formerly Cyclical Focus Fund) | 0.15% | * | 0.105% | * | 0.085% | * | 0.055% | 0.15% | * | 0.15% | ||||||||||||||||||
Quality Fund | 0.15% | 0.105% | 0.085% | * | 0.055% | 0.15% | 0.15% | |||||||||||||||||||||
Resources 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, 2021. |
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 for the benefit 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 Resources Fund and U.S Small Cap Value Fund, GMO is permitted to recover from the Fund, on a class-by-class basis 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 to recover the expenses.
For the period starting September 25, 2018, GMO has contractually agreed to waive its fees with respect to and/or reimburse 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
136 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
“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, 2021, GMO did not recoup any previously recorded waivers and/or reimbursements.
As of August 31, 2021, 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.
These contractual waivers and reimbursements will continue through at least June 30, 2022 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 for the benefit of 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 for the benefit of 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 will be made by GMO out of its own resources and will not be an additional charge to a Fund or the holders of Class I shares. Any such payments will create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.
137 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (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, 2021 is shown in the table below and is included in the Statements of Operations.
Fund Name | Independent Trustees and their legal counsel ($) | Agent unaffiliated with GMO ($) | ||||||
Climate Change Fund | 6,783 | 513 | ||||||
Emerging Domestic Opportunities Fund | 17,081 | 1,706 | ||||||
Emerging Markets Fund | 52,402 | 5,294 | ||||||
International Equity Fund | 42,862 | 4,403 | ||||||
Japan Value Creation Fund | 1,887 | 212 | ||||||
Quality Cyclicals Fund (formerly Cyclical Focus Fund) | 2,191 | 220 | ||||||
Quality Fund | 126,708 | 13,064 | ||||||
Resources Fund | 19,609 | 1,629 | ||||||
Tax-Managed International Equities Fund | 710 | 65 | ||||||
U.S. Equity Fund | 6,517 | 676 | ||||||
U.S. Small Cap Value Fund | 6,870 | 654 |
Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2021, none of the Funds had annualized indirect fees and expenses greater than 0.01% of the Fund’s average daily net assets.
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, 2021, 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, 2021 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 | — | 568,785,656 | — | 396,777,092 | ||||||||||||
Emerging Domestic Opportunities Fund | — | 1,202,486,795 | — | 1,251,473,216 | ||||||||||||
Emerging Markets Fund | 87,419,912 | 1,345,668,990 | 41,262,362 | 1,434,786,901 | ||||||||||||
International Equity Fund | — | 683,061,872 | — | 791,188,561 | ||||||||||||
Japan Value Creation Fund | — | 25,084,037 | — | 27,596,634 | ||||||||||||
Quality Cyclicals Fund (formerly Cyclical Focus Fund) | — | 20,605,443 | — | 31,801,117 | ||||||||||||
Quality Fund | — | 684,363,112 | — | 421,344,913 | ||||||||||||
Resources Fund | — | 1,041,261,985 | — | 384,059,958 | ||||||||||||
Tax-Managed International Equities Fund | — | 23,080,916 | — | 22,587,564 | ||||||||||||
U.S. Equity Fund | — | 212,325,483 | — | 207,489,606 | ||||||||||||
U.S. Small Cap Value Fund | — | 103,416,231 | — | 220,968,607 |
138 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
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, 2021. 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 ($) | |||||||||
Japan Value Creation Fund | 5,354,572 | — | — |
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 as of August 31, 2021 |
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 | ||||||
Climate Change Fund | 3 | 41.96% | ||||||
Emerging Domestic Opportunities Fund* | 1 | 56.74% | ||||||
Emerging Markets Fund* | 3# | 35.93% | ||||||
International Equity Fund | 3# | 63.60% | ||||||
Japan Value Creation Fund | 3§ | 76.37% | ||||||
Quality Cyclicals Fund (formerly Cyclical Focus Fund) | 3# | 87.89% | ||||||
Quality Fund | — | — | ||||||
Resources Fund | 2 | 61.05% | ||||||
Tax-Managed International Equities Fund | 1 | 82.95% | ||||||
U.S. Equity Fund | 3# | 63.86% | ||||||
U.S. Small Cap Value Fund | 2# | 71.90% |
* | The Fund’s outstanding shares were owned by more than 10 shareholders as of August 31, 2021. |
# | Two of the shareholders are other funds of the Trust. |
§ | Three of the shareholders are other funds of the Trust. |
139 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (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, 2021 (Unaudited) | Year Ended February 28, 2021 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Climate Change Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 2,067,622 | $ | 73,276,840 | 814,512 | $ | 23,807,446 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 441,655 | 14,852,845 | 333,433 | 9,073,794 | ||||||||||||
Shares repurchased | (118,227 | ) | (4,108,212 | ) | (688,426 | ) | (14,748,239 | ) | ||||||||
Shares repurchased in connection with reorganization(a) | — | — | (691,250 | ) | (24,319,296 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,391,050 | $ | 84,021,473 | (231,731 | ) | $ | (6,186,295 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6: |
| |||||||||||||||
Shares sold | 337,013 | $ | 11,780,957 | 2,115,846 | $ | 53,282,325 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 160,251 | 5,379,610 | 96,807 | 2,822,175 | ||||||||||||
Shares repurchased | (28,028 | ) | (951,301 | ) | (79,939 | ) | (1,769,065 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 469,236 | $ | 16,209,266 | 2,132,714 | $ | 54,335,435 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I: |
| |||||||||||||||
Shares sold | 3,017,966 | $ | 104,505,793 | 2,287,524 | $ | 67,483,965 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 286,694 | 9,621,458 | 59,254 | 1,739,936 | ||||||||||||
Shares issued to shareholders in connection with reorganization(a) | — | — | 696,975 | 24,478,649 | ||||||||||||
Shares repurchased | (292,752 | ) | (10,084,163 | ) | (212,005 | ) | (6,571,577 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 3,011,908 | $ | 104,043,088 | 2,831,748 | $ | 87,130,973 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Emerging Domestic Opportunities Fund | ||||||||||||||||
Class II: |
| |||||||||||||||
Shares sold | 184,499 | $ | 4,999,600 | 2,559,887 | $ | 63,321,505 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 23,100 | 631,087 | 66,747 | 1,732,754 | ||||||||||||
Shares repurchased | (500,052 | ) | (13,815,789 | ) | (5,260,674 | ) | (125,740,953 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (292,453 | ) | $ | (8,185,102 | ) | (2,634,040 | ) | $ | (60,686,694 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class III:(b) |
| |||||||||||||||
Shares sold | 317,759 | $ | 6,587,104 | |||||||||||||
Shares issued to shareholders in reinvestment of distributions | 3,255 | 84,526 | ||||||||||||||
Shares repurchased | (4,653,377 | ) | (88,118,115 | ) | ||||||||||||
Shares repurchased in connection with reorganization(a) | (545,433 | ) | (15,763,441 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | (4,877,796 | ) | $ | (97,209,926 | ) | |||||||||||
|
|
|
| |||||||||||||
Class V: |
| |||||||||||||||
Shares sold | — | $ | — | 138,555 | $ | 3,005,148 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 67,910 | 1,853,934 | 198,807 | 5,157,051 | ||||||||||||
Shares repurchased | (1,671,466 | ) | (46,429,042 | ) | (1,874,733 | ) | (50,168,277 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,603,556 | ) | $ | (44,575,108 | ) | (1,537,371 | ) | $ | (42,006,078 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
140 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Emerging Domestic Opportunities Fund (continued) | ||||||||||||||||
Class I:(c) |
| |||||||||||||||
Shares sold | 204,980 | $ | 5,671,181 | 116,224 | $ | 3,449,122 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,741 | 47,542 | — | — | ||||||||||||
Shares issued to shareholders in connection with reorganization(a) | — | — | 551,407 | 15,926,244 | ||||||||||||
Shares repurchased | (323,503 | ) | (8,687,568 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (116,782 | ) | $ | (2,968,845 | ) | 667,631 | $ | 19,375,366 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Emerging Markets Fund | ||||||||||||||||
Class II: |
| |||||||||||||||
Shares sold | 830,701 | $ | 31,033,555 | 1,648,844 | $ | 53,161,685 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 12,894 | 481,859 | 284,900 | 9,549,283 | ||||||||||||
Shares repurchased | (1,170,434 | ) | (43,307,654 | ) | (6,920,252 | ) | (230,894,405 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (326,839 | ) | $ | (11,792,240 | ) | (4,986,508 | ) | $ | (168,183,437 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class III: |
| |||||||||||||||
Shares sold | 16,828 | $ | 625,000 | 4,370,676 | $ | 146,164,042 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 20,652 | 774,038 | 298,873 | 10,087,950 | ||||||||||||
Shares repurchased | (779,563 | ) | (29,119,514 | ) | (812,877 | ) | (27,463,504 | ) | ||||||||
Shares repurchased in connection with reorganization(a) | — | — | (1,043,359 | ) | (39,415,082 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (742,083 | ) | $ | (27,720,476 | ) | 2,813,313 | $ | 89,373,406 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class V:(d) |
| |||||||||||||||
Shares sold | — | $ | — | 5,421,878 | $ | 199,958,895 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 169,700 | 5,655,265 | ||||||||||||
Shares repurchased | (8,449,876 | ) | (315,869,299 | ) | (3,845,713 | ) | (125,000,000 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (8,449,876 | ) | $ | (315,869,299 | ) | 1,745,865 | $ | 80,614,160 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI: |
| |||||||||||||||
Shares sold | 11,535,512 | $ | 429,486,518 | 8,650,691 | $ | 256,039,952 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 173,385 | 6,427,374 | 2,248,634 | 74,845,061 | ||||||||||||
Shares repurchased | (7,095,450 | ) | (263,326,503 | ) | (33,325,115 | ) | (1,071,217,844 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 4,613,447 | $ | 172,587,389 | (22,425,790 | ) | $ | (740,332,831 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6:(e) |
| |||||||||||||||
Shares sold | 60,840 | $ | 2,276,384 | 813,354 | $ | 22,128,535 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 2,931 | 109,405 | 27,888 | 936,435 | ||||||||||||
Shares issued to shareholders in connection with reorganization(a) | — | — | 439,317 | 16,534,284 | ||||||||||||
Shares repurchased | (92,757 | ) | (3,436,800 | ) | (89,853 | ) | (2,939,669 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (28,986 | ) | $ | (1,051,011 | ) | 1,190,706 | $ | 36,659,585 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I: |
| |||||||||||||||
Shares sold | 1,523,724 | $ | 56,468,423 | 1,160,474 | $ | 41,034,616 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 6,733 | 251,218 | 28,672 | 965,150 | ||||||||||||
Shares issued to shareholders in connection with reorganization(a) | — | — | 614,858 | 23,134,094 | ||||||||||||
Shares repurchased | (81,045 | ) | (3,043,476 | ) | (151,985 | ) | (4,910,965 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,449,412 | $ | 53,676,165 | 1,652,019 | $ | 60,222,895 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
141 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
International Equity Fund | ||||||||||||||||
Class II: | ||||||||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,855 | $ | 46,110 | 4,663 | $ | 100,614 | ||||||||||
Shares repurchased | (328 | ) | (7,990 | ) | (308,564 | ) | (5,424,568 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,527 | $ | 38,120 | (303,901 | ) | $ | (5,323,954 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class III: |
| |||||||||||||||
Shares sold | 293,221 | $ | 7,380,023 | 3,720,329 | $ | 66,916,245 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 304,497 | 7,667,243 | 960,872 | 20,929,248 | ||||||||||||
Shares repurchased | (3,058,478 | ) | (77,518,939 | ) | (9,040,551 | ) | (188,307,672 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,460,760 | ) | $ | (62,471,673 | ) | (4,359,350 | ) | $ | (100,462,179 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: |
| |||||||||||||||
Shares sold | 5,698,115 | $ | 144,436,035 | 12,892,796 | $ | 240,379,292 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,233,067 | 30,999,301 | 4,223,138 | 91,652,733 | ||||||||||||
Shares repurchased | (9,203,461 | ) | (229,849,510 | ) | (70,171,356 | )(f) | (1,432,924,992 | )(f) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,272,279 | ) | $ | (54,414,174 | ) | (53,055,422 | ) | $ | (1,100,892,967 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class I:(g) |
| |||||||||||||||
Shares sold | 19 | $ | 500 | |||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 19 | $ | 500 | |||||||||||||
|
|
|
| |||||||||||||
Japan Value Creation Fund | ||||||||||||||||
Class VI:(h) |
| |||||||||||||||
Shares sold | 442,979 | (i) | $ | 10,831,949 | (i) | 8,189,635 | $ | 164,396,732 | ||||||||
Shares issued to shareholders in reinvestment of distributions | 494,672 | 10,897,624 | 90,304 | 2,043,576 | ||||||||||||
Shares repurchased | (618,347 | ) | (15,244,004 | ) | (1,297,353 | ) | (28,419,114 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 319,304 | $ | 6,485,569 | 6,982,586 | $ | 138,021,194 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I:(j) |
| |||||||||||||||
Shares sold | 77,131 | $ | 1,863,458 | |||||||||||||
Shares issued to shareholders in reinvestment of distributions | 5,265 | 115,886 | ||||||||||||||
Shares repurchased | (229 | ) | (5,158 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 82,167 | $ | 1,974,186 | |||||||||||||
|
|
|
| |||||||||||||
Quality Cyclicals Fund (formerly Cyclical Focus Fund) | ||||||||||||||||
Class VI:(k) |
| |||||||||||||||
Shares sold | 4,504 | $ | 133,246 | 6,591,975 | $ | 138,002,053 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 490,937 | 14,310,820 | 272,615 | 7,428,754 | ||||||||||||
Shares repurchased | (396,594 | ) | (12,480,031 | ) | (1,978,588 | ) | (51,803,852 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 98,847 | $ | 1,964,035 | 4,886,002 | $ | 93,626,955 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I:(l) |
| |||||||||||||||
Shares sold | 3,163 | $ | 89,975 | |||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 3,163 | $ | 89,975 | |||||||||||||
|
|
|
| |||||||||||||
142 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Quality Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 5,930,963 | $ | 171,417,346 | 32,026,815 | (m) | $ | 786,417,726 | (m) | ||||||||
Shares issued to shareholders in reinvestment of distributions | 2,205,239 | 65,297,117 | 16,255,824 | 396,418,267 | ||||||||||||
Shares repurchased | (28,436,290 | ) | (840,151,388 | ) | (42,127,119 | ) | (1,019,341,255 | ) | ||||||||
Shares repurchased in connection with reorganization(a) | — | — | (10,985,195 | ) | (286,038,477 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (20,300,088 | ) | $ | (603,436,925 | ) | (4,829,675 | ) | $ | (122,543,739 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: |
| |||||||||||||||
Shares sold | 19,293,509 | $ | 577,257,052 | 6,158,990 | $ | 150,155,647 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 405,007 | 12,020,601 | 5,043,483 | 123,440,372 | ||||||||||||
Shares repurchased | (12,042,176 | ) | (352,791,959 | ) | (19,751,036 | ) | (495,584,958 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 7,656,340 | $ | 236,485,694 | (8,548,563 | ) | $ | (221,988,939 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI: |
| |||||||||||||||
Shares sold | 25,494,147 | $ | 749,702,163 | 9,304,601 | $ | 207,464,992 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 2,020,447 | 59,825,432 | 12,982,294 | 316,855,443 | ||||||||||||
Shares repurchased | (4,533,629 | ) | (130,363,566 | ) | (18,610,905 | )(n) | (453,735,000 | )(n) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 22,980,965 | $ | 679,164,029 | 3,675,990 | $ | 70,585,435 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6: |
| |||||||||||||||
Shares sold | 3,817,072 | $ | 111,204,658 | 2,926,477 | $ | 76,021,273 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 229,612 | 6,791,920 | 99,528 | 2,458,364 | ||||||||||||
Shares issued to shareholders in connection with reorganization(a) | — | — | 6,739,160 | 175,346,775 | ||||||||||||
Shares repurchased | (532,950 | ) | (15,627,548 | ) | (439,543 | ) | (11,695,126 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 3,513,734 | $ | 102,369,030 | 9,325,622 | $ | 242,131,286 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I: |
| |||||||||||||||
Shares sold | 4,450,800 | $ | 128,490,591 | 4,848,696 | $ | 115,110,578 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 224,890 | 6,645,505 | 869,086 | 21,195,796 | ||||||||||||
Shares issued to shareholders in connection with reorganization(a) | — | — | 4,273,468 | 111,094,880 | ||||||||||||
Shares repurchased | (755,347 | ) | (21,968,712 | ) | (1,810,113 | ) | (44,845,668 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 3,920,343 | $ | 113,167,384 | 8,181,137 | $ | 202,555,586 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Resources Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 6,925,632 | $ | 199,200,000 | 5,566,651 | $ | 104,471,696 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 302,008 | 8,619,313 | 567,771 | 13,774,201 | ||||||||||||
Shares repurchased | (45,166 | ) | (1,347,768 | ) | (1,016,432 | ) | (23,560,174 | ) | ||||||||
Shares repurchased in connection with reorganization(a) | — | — | (12,778,315 | ) | (350,668,382 | ) | ||||||||||
Purchase premiums | — | — | — | — | ||||||||||||
Redemption fees | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 7,182,474 | $ | 206,471,545 | (7,660,325 | ) | $ | (255,982,659 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: |
| |||||||||||||||
Shares sold | 11,812,844 | $ | 350,267,118 | 4,555,504 | $ | 107,109,178 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,095,987 | 31,180,839 | 704,295 | 17,024,643 | ||||||||||||
Shares repurchased | (27,005 | ) | (811,959 | ) | (3,363,546 | ) | (71,459,516 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 12,881,826 | $ | 380,635,998 | 1,896,253 | $ | 52,674,305 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
143 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Resources Fund (continued) | ||||||||||||||||
Class R6:(o) |
| |||||||||||||||
Shares sold | 271,725 | $ | 7,815,591 | 40,259 | $ | 1,068,906 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 7,742 | 220,946 | — | — | ||||||||||||
Shares issued to shareholders in connection with reorganization(a) | — | — | 54,721 | 1,501,686 | ||||||||||||
Shares repurchased | (54,692 | ) | (1,551,706 | ) | (888 | ) | (23,453 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 224,775 | $ | 6,484,831 | 94,092 | $ | 2,547,139 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I:(o) |
| |||||||||||||||
Shares sold | 5,451,916 | $ | 156,661,326 | 695,863 | $ | 19,518,024 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 275,959 | 7,873,113 | — | — | ||||||||||||
Shares issued to shareholders in connection with reorganization(a) | — | — | 12,718,172 | 349,017,891 | ||||||||||||
Shares repurchased | (1,417,579 | ) | (40,939,598 | ) | (143,755 | ) | (3,958,459 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 4,310,296 | $ | 123,594,841 | 13,270,280 | $ | 364,577,456 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Tax-Managed International Equities Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | — | $ | — | 1,805,115 | $ | 20,617,208 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,689 | 29,446 | 9,074 | 135,500 | ||||||||||||
Shares repurchased | (83,569 | ) | (1,448,565 | ) | (2,045,534 | ) | (26,003,077 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (81,880 | ) | $ | (1,419,119 | ) | (231,345 | ) | $ | (5,250,369 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
U.S. Equity Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | — | $ | — | 390,012 | $ | 4,296,146 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 448,282 | 6,903,548 | 721,214 | 8,728,187 | ||||||||||||
Shares repurchased | (640,356 | ) | (10,005,748 | ) | (815,138 | ) | (10,502,121 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (192,074 | ) | $ | (3,102,200 | ) | 296,088 | $ | 2,522,212 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI: |
| |||||||||||||||
Shares sold | 5,167,565 | $ | 81,366,735 | 3,501,114 | $ | 44,086,437 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,059,501 | 16,146,800 | 2,251,552 | 26,876,326 | ||||||||||||
Shares repurchased | (3,866,195 | ) | (60,200,360 | ) | (19,564,469 | )(p) | (240,929,654 | )(p) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,360,871 | $ | 37,313,175 | (13,811,803 | ) | $ | (169,966,891 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
U.S. Small Cap Value Fund | ||||||||||||||||
Class VI: |
| |||||||||||||||
Shares sold | 92,539 | $ | 2,508,172 | 4,758,720 | $ | 67,971,759 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 708,348 | 17,956,624 | 337,635 | 6,843,929 | ||||||||||||
Shares repurchased | (4,510,139 | ) | (126,264,072 | ) | (13,194,884 | )(q) | (261,216,696 | )(q) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (3,709,252 | ) | $ | (105,799,276 | ) | (8,098,529 | ) | $ | (186,401,008 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
(a) | A plan of reorganization was completed on January 22, 2021. |
(b) | Class III liquidated on January 22, 2021. |
(c) | The period under the heading “Year Ended February 28, 2021” represents the period from January 22, 2021 (commencement of operations) through February 28, 2021. |
(d) | Class V liquidated on April 29, 2021. |
(e) | The period under the heading “Year Ended February 28, 2021” represents the period from March 31, 2020 (commencement of operations) through February 28, 2021. |
144 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
(f) | 13,244,102 shares and $293,635,824 were redeemed in-kind. |
(g) | The period under the heading “Six Months Ended August 31, 2021 (Unaudited)” represents the period from May 24, 2021 (commencement of operations) through August 31, 2021. |
(h) | The period under the heading “Year Ended February 28, 2021” represents the period from September 14, 2020 (commencement of operations) through February 28, 2021. |
(i) | 351,218 shares and $5,354,572 were purchased in-kind. |
(j) | The period under the heading “Six Months Ended August 31, 2021 (Unaudited)��� represents the period from June 7, 2021 (commencement of operations) through August 31, 2021. |
(k) | The period under the heading “Year Ended February 28, 2021” represents the period from May 12, 2020 (commencement of operations) through February 28, 2021. |
(l) | The period under the heading “Six Months Ended August 31, 2021 (Unaudited)” represents the period from July 16, 2021 (commencement of operations) through August 31, 2021. |
(m) | 1,161,256 shares and $26,431,152 were purchased in-kind. |
(n) | 7,413,522 shares and $165,586,344 were redeemed in-kind. |
(o) | The period under the heading “Year Ended February 28, 2021” represents the period from January 22, 2021 (commencement of operations) through February 28, 2021. |
(p) | 3,849,646 shares and $51,936,295 were redeemed in-kind. |
(q) | 3,680,987 shares and $83,728,845 were redeemed in-kind. |
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, 2021 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 | ||||||||||||||||||||||||
Climate Change Fund | ||||||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 18,563,731 | $ | 174,282,909 | $ | 172,865,614 | $ | 8,124 | ** | $ | 10,446 | $ | (17,710 | ) | $ | 13,387 | $ | 19,976,703 | ||||||||||||||
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|
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|
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|
|
|
|
|
|
| |||||||||||||||||
Emerging Domestic Opportunities Fund | ||||||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | — | $ | 212,580,729 | $ | 187,356,000 | $ | 7,160 | $ | 3,722 | $ | (64,625 | ) | $ | 3,281 | $ | 25,163,385 | |||||||||||||||
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|
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| |||||||||||||||||
Emerging Markets Fund | ||||||||||||||||||||||||||||||||
Anilana Hotels & Properties Ltd | $ | 678,007 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (157,285 | ) | $ | 520,722 | |||||||||||||||
Gayatri Projects Ltd | 6,296,399 | — | — | — | — | — | 1,550,729 | 7,847,128 | ||||||||||||||||||||||||
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| |||||||||||||||||
Totals | $ | 6,974,406 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1,393,444 | $ | 8,367,850 | ||||||||||||||||
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| |||||||||||||||||
Quality Cyclicals Fund (formerly Cyclical Focus Fund) | ||||||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 528,000 | $ | 3,300,000 | $ | 3,190,000 | $ | 109 | $ | 212 | $ | (4,751 | ) | $ | — | $ | 633,249 | |||||||||||||||
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| |||||||||||||||||
Quality Fund | ||||||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 9,830,961 | $ | — | $ | — | $ | 3,813 | $ | 4,876 | $ | — | $ | — | $ | 9,830,961 | ||||||||||||||||
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| |||||||||||||||||
Resources Fund | ||||||||||||||||||||||||||||||||
Kosmos Energy Ltd. | $ | — | # | $ | 23,603,930 | $ | 13,303,476 | $ | — | $ | — | $ | 2,066,197 | $ | 13,452,925 | $ | 53,018,346 | |||||||||||||||
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|
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|
|
|
|
|
|
| |||||||||||||||||
Tax-Managed International Equities Fund | ||||||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 5,165 | $ | 2,420,000 | $ | 1,260,000 | $ | 352 | $ | 454 | $ | (636 | ) | $ | 1,491 | $ | 1,166,020 | |||||||||||||||
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| |||||||||||||||||
145 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (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 | ||||||||||||||||||||||||
U.S. Equity Fund | ||||||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 2,850,296 | $ | 26,200,000 | $ | 27,920,000 | $ | 1,880 | $ | 2,406 | $ | 18,988 | $ | 2,285 | $ | 1,151,569 | ||||||||||||||||
|
|
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|
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|
|
|
|
|
|
|
|
| |||||||||||||||||
U.S. Small Cap Value Fund | ||||||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 101,097 | $ | 15,790,000 | $ | 13,410,000 | $ | 1,441 | $ | 2,515 | $ | — | $ | 2,982 | $ | 2,484,079 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
* | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2021 through August 31, 2021. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2022. |
** | 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 $124,620 in Climate Change Fund during the period. |
# | Security was not an affiliate at the beginning of the period. |
11. | Subsequent events |
Effective October 15, 2021, Josh White is no longer involved in the portfolio management of GMO International Equity Fund, GMO Tax-Managed International Equities Fund, GMO U.S. Equity Fund and GMO U.S. Small Cap Value Fund.
146 |
GMO Trust Funds
Board Review of Investment Management Agreement
August 31, 2021 (Unaudited)
GMO Climate Change Fund
Approval of renewal of management agreement for GMO Climate Change Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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 and others at and apart from Board meetings. 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 13, 2021, 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 asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 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 managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those of the Fund would 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 expenses and its expense ratio (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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
The Trustees also considered 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 discussed the advantages and disadvantages of various ways of 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 whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered whether 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 in the last few years. In addition, the Trustees 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 aspects of GMO’s business relevant to the
147 |
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2021 (Unaudited)
nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.
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 that Trustee 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 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 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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 and others at and apart from Board meetings. 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 13, 2021, 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 asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 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 managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those of the Fund would 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 expenses and its expense ratio (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 vehicle and separately managed account with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund and to that other vehicle and that account, as well as the business and other risks borne by GMO in managing the Fund as compared to the risks borne by GMO in managing that other vehicle and that account. 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.
148 |
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2021 (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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
The Trustees also considered 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 discussed the advantages and disadvantages of various ways of 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 whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered whether 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 in the last few years. In addition, the Trustees 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 aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.
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 that Trustee 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 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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 and others at and apart from Board meetings. 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 13, 2021, 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 asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 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 managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those of the Fund would 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.
149 |
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2021 (Unaudited)
The Trustees considered the Fund’s expenses and its expense ratio (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, to fees received by GMO for providing sub-investment advisory services to a third-party managed fund with an investment strategy similar to that of the Fund, and to the fees shown on GMO’s fee schedule for its other pooled investment vehicles and separately managed accounts with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund, to the third-party fund, and to those other vehicles and accounts, as well as the business and other risks borne by GMO in managing the Fund as compared to the risks borne by GMO in providing sub-investment advisory services to the third-party fund and 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. 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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
The Trustees also considered 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 discussed the advantages and disadvantages of various ways of 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 whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered whether 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 in the last few years. In addition, the Trustees 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 aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.
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 that Trustee 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 International Equity Fund
Approval of renewal of management agreement for GMO International Equity Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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”).
150 |
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2021 (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 and others at and apart from Board meetings. 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 13, 2021, 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 asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 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 managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those of the Fund would 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 expenses and its expense ratio (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 separately managed accounts with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund and to those other accounts, as well as the business and other risks borne by GMO in managing the Fund as compared to the risks borne by GMO in managing those other 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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
The Trustees also considered 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 discussed the advantages and disadvantages of various ways of 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 whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered whether 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 in the last few years. In addition, the Trustees 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 aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.
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.
151 |
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2021 (Unaudited)
In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as that Trustee 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-Usonian Japan Value Creation Fund
Approval of renewal of management agreement for GMO-Usonian Japan Value Creation Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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 and others at and apart from Board meetings. 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 13, 2021, 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 asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 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 with investment strategies similar to those of the Fund would 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 expenses and its expense ratio (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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
The Trustees also considered 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 discussed the advantages and disadvantages of various ways of 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 whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered whether 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 in the last
152 |
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2021 (Unaudited)
few years. In addition, the Trustees 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 aspects of GMO’s business relevant to 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 that Trustee 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 Cyclicals Fund
Approval of renewal of management agreement for GMO Quality Cyclicals Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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 and others at and apart from Board meetings. 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 13, 2021, 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 asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 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 managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those of the Fund would 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 expenses and its expense ratio (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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
The Trustees also considered 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 discussed the advantages and disadvantages of various ways of calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.
153 |
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2021 (Unaudited)
The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered whether 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 in the last few years. In addition, the Trustees 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 aspects of GMO’s business relevant to 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 that Trustee 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 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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 and others at and apart from Board meetings. 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 13, 2021, 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 asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 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 managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those of the Fund would 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 expenses and its expense ratio (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 with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund and to [those other vehicles and accounts, as well as the business and other risks borne by GMO in managing the Fund as compared to the risks borne by GMO in managing those other
154 |
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2021 (Unaudited)
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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
The Trustees also considered 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 discussed the advantages and disadvantages of various ways of 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 whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered whether 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 in the last few years. In addition, the Trustees 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 aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.
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 that Trustee 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 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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 and others at and apart from Board meetings. 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 13, 2021, 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 asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 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 managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those of the Fund would 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.
155 |
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2021 (Unaudited)
The Trustees considered the Fund’s expenses and its expense ratio (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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
The Trustees also considered 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 discussed the advantages and disadvantages of various ways of 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 whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered whether 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 in the last few years. In addition, the Trustees 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 aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.
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 that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Tax-Managed International Equity Fund
Approval of renewal of management agreement for GMO Tax-Managed International Equity Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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 and others at and apart from Board meetings. 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 13, 2021, 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 asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
156 |
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2021 (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 managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those of the Fund would 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 expenses and its expense ratio (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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
The Trustees also considered 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 discussed the advantages and disadvantages of various ways of 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 whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered whether 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 in the last few years. In addition, the Trustees 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 aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.
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 that Trustee 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 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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 and others at and apart from Board meetings. 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 13, 2021, 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
157 |
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2021 (Unaudited)
compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 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 managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those of the Fund would 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 expenses and its expense ratio (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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
The Trustees also considered 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 discussed the advantages and disadvantages of various ways of 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 whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered whether 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 in the last few years. In addition, the Trustees 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 aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.
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 that Trustee 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 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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”).
158 |
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2021 (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 and others at and apart from Board meetings. 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 13, 2021, 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 asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 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 managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those of the Fund would 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 expenses and its expense ratio (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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
The Trustees also considered 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 discussed the advantages and disadvantages of various ways of 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 whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered whether 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 in the last few years. In addition, the Trustees 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 aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.
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 that Trustee 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.
159 |
GMO Trust Funds
Liquidity Risk Management Program
August 31, 2021 (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 15, 2021 addressing the Program’s operation, adequacy and effectiveness.
160 |
GMO Trust Funds
August 31, 2021 (Unaudited)
Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2021.
As a shareholder of the Funds, you may incur two types of costs: (1) transaction cost, 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, 2021 through August 31, 2021.
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. 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, 2021 | Ending Account Value August 31, 2021 | Expenses Paid During the Period* | Beginning Account Value March 1, 2021 | Ending Account Value August 31, 2021 | Expenses Paid During the Period* | Annualized Expense Ratio | ||||||||||||||||||||||
Climate Change Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,058.80 | $4.00 | $1,000.00 | $1,021.32 | $3.92 | 0.77% | |||||||||||||||||||||
Class R6 | $1,000.00 | $1,058.80 | $4.00 | $1,000.00 | $1,021.32 | $3.92 | 0.77% | |||||||||||||||||||||
Class I | $1,000.00 | $1,058.10 | $4.51 | $1,000.00 | $1,020.82 | $4.43 | 0.87% | |||||||||||||||||||||
Emerging Domestic Opportunities Fund |
| |||||||||||||||||||||||||||
Class II | $1,000.00 | $961.40 | $5.14 | $1,000.00 | $1,019.96 | $5.30 | 1.04% | |||||||||||||||||||||
Class V | $1,000.00 | $962.60 | $4.45 | $1,000.00 | $1,020.67 | $4.58 | 0.90% | |||||||||||||||||||||
Class I | $1,000.00 | $961.80 | $5.29 | $1,000.00 | $1,019.81 | $5.45 | 1.07% | |||||||||||||||||||||
Emerging Markets Fund |
| |||||||||||||||||||||||||||
Class II | $1,000.00 | $1,016.10 | $4.68 | $1,000.00 | $1,020.57 | $4.69 | 0.92% | |||||||||||||||||||||
Class III | $1,000.00 | $1,016.30 | $4.42 | $1,000.00 | $1,020.82 | $4.43 | 0.87% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,017.00 | $3.76 | $1,000.00 | $1,021.48 | $3.77 | 0.74% | |||||||||||||||||||||
Class R6 | $1,000.00 | $1,016.20 | $4.68 | $1,000.00 | $1,020.57 | $4.69 | 0.92% | |||||||||||||||||||||
Class I | $1,000.00 | $1,016.00 | $4.93 | $1,000.00 | $1,020.32 | $4.94 | 0.97% | |||||||||||||||||||||
International Equity Fund |
| |||||||||||||||||||||||||||
Class II | $1,000.00 | $1,101.60 | $3.87 | $1,000.00 | $1,021.53 | $3.72 | 0.73% | |||||||||||||||||||||
Class III | $1,000.00 | $1,102.30 | $3.50 | $1,000.00 | $1,021.88 | $3.36 | 0.66% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,102.70 | $3.18 | $1,000.00 | $1,022.18 | $3.06 | 0.60% | |||||||||||||||||||||
Class I(a) | $1,000.00 | $983.30 | $2.21 | $1,000.00 | $1,021.07 | $4.18 | 0.82% | |||||||||||||||||||||
Japan Value Creation Fund |
| |||||||||||||||||||||||||||
Class VI | $1,000.00 | $1,042.30 | $2.93 | $1,000.00 | $1,022.33 | $2.91 | 0.57% | |||||||||||||||||||||
Class I(b) | $1,000.00 | $979.90 | $1.78 | $1,000.00 | $1,021.32 | $3.92 | 0.77% |
161 |
GMO Trust Funds
Fund Expenses — (Continued)
August 31, 2021 (Unaudited)
Actual | Hypothetical |
| ||||||||||||||||||||||||||
Beginning Account Value March 1, 2021 | Ending Account Value August 31, 2021 | Expenses Paid During the Period* | Beginning Account Value March 1, 2021 | Ending Account Value August 31, 2021 | Expenses Paid During the Period* | Annualized Expense Ratio | ||||||||||||||||||||||
Quality Cyclicals Fund (formerly Cyclical Focus Fund) |
| |||||||||||||||||||||||||||
Class VI | $1,000.00 | $1,082.70 | $2.10 | $1,000.00 | $1,023.19 | $2.04 | 0.40% | |||||||||||||||||||||
Class I(c) | $1,000.00 | $997.20 | $0.74 | $1,000.00 | $1,022.23 | $3.01 | 0.59% | |||||||||||||||||||||
Quality Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,197.60 | $2.66 | $1,000.00 | $1,022.79 | $2.45 | 0.48% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,197.90 | $2.44 | $1,000.00 | $1,022.99 | $2.24 | 0.44% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,198.50 | $2.16 | $1,000.00 | $1,023.24 | $1.99 | 0.39% | |||||||||||||||||||||
Class R6 | $1,000.00 | $1,197.60 | $2.66 | $1,000.00 | $1,022.79 | $2.45 | 0.48% | |||||||||||||||||||||
Class I | $1,000.00 | $1,197.40 | $3.21 | $1,000.00 | $1,022.28 | $2.96 | 0.58% | |||||||||||||||||||||
Resources Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,057.90 | $3.58 | $1,000.00 | $1,021.73 | $3.52 | 0.69% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,058.20 | $3.32 | $1,000.00 | $1,021.98 | $3.26 | 0.64% | |||||||||||||||||||||
Class R6 | $1,000.00 | $1,057.60 | $3.58 | $1,000.00 | $1,021.73 | $3.52 | 0.69% | |||||||||||||||||||||
Class I | $1,000.00 | $1,057.60 | $4.10 | $1,000.00 | $1,021.22 | $4.02 | 0.79% | |||||||||||||||||||||
Tax-Managed International Equities Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,097.50 | $5.34 | $1,000.00 | $1,020.11 | $5.14 | 1.01% | |||||||||||||||||||||
U.S. Equity Fund | ||||||||||||||||||||||||||||
Class III | $1,000.00 | $1,185.50 | $2.53 | $1,000.00 | $1,022.89 | $2.35 | 0.46% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,185.70 | $2.04 | $1,000.00 | $1,023.34 | $1.89 | 0.37% | |||||||||||||||||||||
U.S. Small Cap Value Fund |
| |||||||||||||||||||||||||||
Class VI | $1,000.00 | $1,107.90 | $2.23 | $1,000.00 | $1,023.09 | $2.14 | 0.42% |
* | Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2021, 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 May 24, 2021 (commencement of operations) through August 31, 2021, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2021, multiplied by the average account value over the period, multiplied by 99 days in the period, divided by 365 days in the year. |
(b) | For the period June 7, 2021 (commencement of operations) through August 31, 2021, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2021, multiplied by the average account value over the period, multiplied by 85 days in the period, divided by 365 days in the year. |
(c) | For the period July 16, 2021 (commencement of operations) through August 31, 2021, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2021, multiplied by the average account value over the period, multiplied by 46 days in the period, divided by 365 days in the year. |
162 |
SR-083121-EQ
GMO Trust
Semiannual Report
August 31, 2021
Asset Allocation Bond Fund
Emerging Country Debt Fund
High Yield Fund
Multi-Sector Fixed Income Fund
Opportunistic Income Fund
U.S. Treasury Fund
For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect), 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 | ||||
21 | ||||
22 | ||||
28 | ||||
29 | ||||
40 | ||||
41 | ||||
42 | ||||
43 | ||||
47 | ||||
49 | ||||
52 | ||||
63 | ||||
108 | ||||
115 | ||||
116 |
GMO Asset Allocation Bond Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2021 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Debt Obligations | 99.3 | % | ||
Mutual Funds | 0.4 | |||
Short-Term Investments | 0.3 | |||
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)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Par Value† / Shares | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 99.3% |
| |||||||||
U.S. Government — 99.3% | ||||||||||
34,800,000 | U.S. Treasury Note, 1.25%, due 04/30/28 | 35,271,703 | ||||||||
41,000,000 | U.S. Treasury Note, 1.13%, due 02/15/31 | 40,449,063 | ||||||||
|
| |||||||||
Total U.S. Government | 75,720,766 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $73,859,639) | 75,720,766 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 0.4% | ||||||||||
United States — 0.4% | ||||||||||
Affiliated Issuers — 0.4% | ||||||||||
61,837 | GMO U.S. Treasury Fund | 311,657 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $311,655) | 311,657 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.3% | ||||||||||
Money Market Funds — 0.3% | ||||||||||
190,223 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a) | 190,223 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $190,223) | 190,223 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $74,361,517) | 76,222,646 | |||||||||
Other Assets and Liabilities (net) — 0.00% | 26,375 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $76,249,021 | |||||||||
|
|
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, 2021. |
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 42.
2 | See accompanying notes to the financial statements. |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2021 (Unaudited)
Asset Class Summary† | % of Total Net Assets | |||
Debt Obligations | 94.3 | % | ||
Short-Term Investments | 2.1 | |||
Loan Assignments | 1.3 | |||
Loan Participations | 0.9 | |||
Rights/Warrants | 0.4 | |||
Swap Contracts | 0.1 | |||
Written Options/Credit Linked Options | 0.0 | ^ | ||
Forward Currency Contracts | (0.0 | )^ | ||
Reverse Repurchase Agreements | (0.4 | ) | ||
Other | 1.3 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary‡ | % of Investments | |||
Other Emerging | 17.0 | %* | ||
Mexico | 7.2 | |||
Turkey | 5.4 | |||
Saudi Arabia | 4.6 | |||
South Africa | 4.5 | |||
Indonesia | 4.1 | |||
Oman | 4.0 | |||
Egypt | 3.5 | |||
Ukraine | 3.3 | |||
Bahrain | 3.1 | |||
Brazil | 2.7 | |||
Dominican Republic | 2.7 | |||
Russia | 2.7 | |||
Argentina | 2.6 | |||
Chile | 2.6 | |||
Tunisia | 2.6 | |||
United Arab Emirates | 2.5 | |||
Qatar | 2.2 | |||
Peru | 2.1 | |||
Ecuador | 1.9 | |||
Jordan | 1.9 | |||
Panama | 1.7 | |||
Sri Lanka | 1.6 | |||
Colombia | 1.5 | |||
Kenya | 1.5 | |||
Ivory Coast | 1.5 | |||
Kazakhstan | 1.4 | |||
Costa Rica | 1.2 | |||
Other Developed | 1.2 | ¤ | ||
India | 1.1 | |||
Philippines | 1.1 | |||
El Salvador | 1.0 | |||
Nigeria | 1.0 | |||
Romania | 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. 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. Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using a reference security and applying the same methodology to that security. |
* | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments. |
¤ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments. |
^ | Rounds to 0.0%. |
3 |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 93.9% |
| |||||||||
Albania — 1.0% | ||||||||||
Foreign Government Obligations | ||||||||||
49,649,849 | Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b) | 45,854,980 | ||||||||
|
| |||||||||
Angola — 0.3% | ||||||||||
Foreign Government Obligations | ||||||||||
7,900,000 | Angolan Government International Bond, Reg S, 9.38%, due 05/08/48 | 8,382,888 | ||||||||
5,500,000 | Angolan Government International Bond, Reg S, 9.13%, due 11/26/49 | 5,727,906 | ||||||||
|
| |||||||||
Total Angola | 14,110,794 | |||||||||
|
| |||||||||
Argentina — 2.9% | ||||||||||
Foreign Government Obligations | ||||||||||
11,490,713 | Republic of Argentina, 1.00%, due 07/09/29 | 4,621,975 | ||||||||
25,333,493 | Republic of Argentina, Step Up, 0.50%, due 07/09/30 | 9,842,062 | ||||||||
JPY | 407,485,276 | Republic of Argentina, Variable Rate, 4.33%, due 12/31/33 (c) (d) | 1,000,055 | |||||||
56,547,942 | Republic of Argentina, Step Up, 1.13%, due 07/09/35 | 19,650,410 | ||||||||
72,008,994 | Republic of Argentina, Step Up, 2.00%, due 01/09/38 | 28,967,823 | ||||||||
JPY | 334,073,000 | Republic of Argentina, 0.67%, due 12/31/38 (c) (d) | 584,548 | |||||||
EUR | 6,760,000 | Republic of Argentina, Step Up, 1.50%, due 07/09/41 | 2,705,855 | |||||||
136,001,240 | Republic of Argentina, Step Up, 2.50%, due 07/09/41 | 53,040,484 | ||||||||
34,047,000 | Republic of Argentina, Step Up, 1.13%, due 07/09/46 | 11,865,379 | ||||||||
|
| |||||||||
Total Argentina | 132,278,591 | |||||||||
|
| |||||||||
Armenia — 0.6% | ||||||||||
Corporate Debt — 0.5% | ||||||||||
20,000,000 | Ardshinbank CJSC Via Dilijan Finance BV, Reg S, 6.50%, due 01/28/25 | 19,828,750 | ||||||||
|
| |||||||||
Foreign Government Obligations — 0.1% | ||||||||||
5,700,000 | Republic of Armenia International Bond, Reg S, 3.60%, due 02/02/31 | 5,417,850 | ||||||||
|
| |||||||||
Total Armenia | 25,246,600 | |||||||||
|
| |||||||||
Azerbaijan — 1.0% | ||||||||||
Foreign Government Agency — 0.5% | ||||||||||
11,388,000 | International Bank of Azerbaijan OJSC, Reg S, 3.50%, due 09/01/24 | 11,501,880 | ||||||||
8,750,000 | Petkim Petrokimya Holding AS, Reg S, 5.88%, due 01/26/23 | 8,957,812 | ||||||||
|
| |||||||||
20,459,692 | ||||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
Azerbaijan — continued | ||||||||||
Foreign Government Obligations — 0.5% | ||||||||||
20,300,000 | Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29 | 22,807,050 | ||||||||
|
| |||||||||
Total Azerbaijan | 43,266,742 | |||||||||
|
| |||||||||
Bahamas — 0.8% | ||||||||||
Foreign Government Obligations | ||||||||||
10,840,000 | Bahamas Government International Bond, Reg S, 6.00%, due 11/21/28 | 10,577,807 | ||||||||
15,600,000 | Bahamas Government International Bond, Reg S, 8.95%, due 10/15/32 | 16,958,175 | ||||||||
7,900,000 | Bahamas Government International Bond, Reg S, 7.13%, due 04/02/38 | 7,475,375 | ||||||||
|
| |||||||||
Total Bahamas | 35,011,357 | |||||||||
|
| |||||||||
Bahrain — 1.6% | ||||||||||
Foreign Government Obligations | ||||||||||
68,990,000 | Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47 | 72,711,148 | ||||||||
|
| |||||||||
Barbados — 0.3% | ||||||||||
Foreign Government Obligations | ||||||||||
14,000,000 | Barbados Government International Bond, Reg S, 6.50%, due 10/01/29 (e) | 14,072,625 | ||||||||
|
| |||||||||
Belarus — 0.4% | ||||||||||
Foreign Government Agency — 0.2% | ||||||||||
8,304,000 | Development Bank of the Republic of Belarus JSC, Reg S, 6.75%, due 05/02/24 | 7,722,720 | ||||||||
|
| |||||||||
Foreign Government Obligations — 0.2% | ||||||||||
9,800,000 | Republic of Belarus International Bond, Reg S, 6.20%, due 02/28/30 | 8,540,700 | ||||||||
|
| |||||||||
Total Belarus | 16,263,420 | |||||||||
|
| |||||||||
Belize — 0.5% | ||||||||||
Foreign Government Obligations | ||||||||||
53,485,866 | Republic of Belize, Reg S, 4.94%, due 02/20/34 | 20,892,916 | ||||||||
|
| |||||||||
Bermuda — 0.2% | ||||||||||
Foreign Government Obligations | ||||||||||
6,990,000 | Bermuda Government International Bond, Reg S, 4.75%, due 02/15/29 | 8,223,298 | ||||||||
|
| |||||||||
Bolivia — 0.2% | ||||||||||
Foreign Government Obligations | ||||||||||
9,200,000 | Bolivia Government International Bond, Reg S, 4.50%, due 03/20/28 (e) | 8,342,100 | ||||||||
|
|
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, 2021 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Bosnia & Herzegovina — 0.3% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 9,600,000 | Republic of Srpska Treasury Bond, Reg S, 4.75%, due 04/27/26 | 11,666,759 | |||||||
|
| |||||||||
Brazil — 2.3% | ||||||||||
Corporate Debt — 0.6% | ||||||||||
24,128,617 | MV24 Capital BV, Reg S, 6.75%, due 06/01/34 | 26,274,556 | ||||||||
|
| |||||||||
Foreign Government Agency — 1.4% | ||||||||||
57,439,000 | Petrobras Global Finance BV, 6.85%, due 06/05/2115 | 63,640,976 | ||||||||
|
| |||||||||
Foreign Government Obligations — 0.3% | ||||||||||
16,300,000 | Republic of Brazil, 4.75%, due 01/14/50 | 15,432,025 | ||||||||
|
| |||||||||
Total Brazil | 105,347,557 | |||||||||
|
| |||||||||
Cameroon — 0.2% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 7,500,000 | Republic of Cameroon International Bond, 144A, 5.95%, due 07/07/32 | 8,827,955 | |||||||
|
| |||||||||
Chile — 1.9% | ||||||||||
Corporate Debt — 1.0% | ||||||||||
20,411,000 | Enel Generacion Chile SA, 8.13%, due 02/01/97 (a) | 26,985,383 | ||||||||
17,200,000 | Inversiones Latin America Power Ltda, 144A, 5.13%, due 06/15/33 | 17,157,000 | ||||||||
|
| |||||||||
44,142,383 | ||||||||||
|
| |||||||||
Foreign Government Agency — 0.7% | ||||||||||
8,100,000 | Empresa Nacional del Petroleo, Reg S, 5.25%, due 11/06/29 | 9,132,750 | ||||||||
23,750,000 | Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47 | 24,556,016 | ||||||||
|
| |||||||||
33,688,766 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 0.2% | ||||||||||
7,500,000 | Chile Government International Bond, 3.10%, due 05/07/41 | 7,635,000 | ||||||||
|
| |||||||||
Total Chile | 85,466,149 | |||||||||
|
| |||||||||
China — 0.5% | ||||||||||
Corporate Debt — 0.2% | ||||||||||
7,500,000 | CNAC HK Finbridge Co., Ltd., Reg S, 3.00%, due 09/22/30 | 7,571,719 | ||||||||
|
| |||||||||
Foreign Government Agency — 0.3% | ||||||||||
14,200,000 | Lamar Funding Ltd., Reg S, 3.96%, due 05/07/25 | 14,176,037 | ||||||||
|
| |||||||||
Total China | 21,747,756 | |||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
Colombia — 2.7% | ||||||||||
Foreign Government Agency — 1.3% | ||||||||||
35,811,000 | Ecopetrol SA, 7.38%, due 09/18/43 | 43,796,853 | ||||||||
2,800,000 | Ecopetrol SA, 5.88%, due 05/28/45 | 2,993,830 | ||||||||
COP | 30,200,000,000 | Empresas Publicas de Medellin ESP, Reg S, 8.38%, due 11/08/27 | 7,606,788 | |||||||
COP | 26,700,000,000 | PA Autopista Rio Magdalena, 144A, 6.05%, due 06/15/36 | 6,800,472 | |||||||
|
| |||||||||
61,197,943 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 1.4% | ||||||||||
1,392,000 | Colombia Government International Bond, 8.38%, due 02/15/27 | 1,706,505 | ||||||||
3,800,000 | Colombia Government International Bond, 11.85%, due 03/09/28 (c) | 5,908,240 | ||||||||
26,100,000 | Colombia Government International Bond, 6.13%, due 01/18/41 | 30,468,488 | ||||||||
12,800,000 | Colombia Government International Bond, 4.13%, due 02/22/42 | 12,288,000 | ||||||||
12,900,000 | Colombia Government International Bond, 3.88%, due 02/15/61 | 11,261,700 | ||||||||
|
| |||||||||
61,632,933 | ||||||||||
|
| |||||||||
Total Colombia | 122,830,876 | |||||||||
|
| |||||||||
Congo Republic (Brazzaville) — 1.0% | ||||||||||
Foreign Government Obligations | ||||||||||
59,851,596 | Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29 (c) | 46,833,874 | ||||||||
|
| |||||||||
Costa Rica — 0.9% | ||||||||||
Foreign Government Agency — 0.1% | ||||||||||
3,798,000 | Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43 | 3,342,240 | ||||||||
|
| |||||||||
Foreign Government Obligations — 0.8% | ||||||||||
34,731,000 | Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45 | 36,213,580 | ||||||||
|
| |||||||||
Total Costa Rica | 39,555,820 | |||||||||
|
| |||||||||
Czech Republic — 0.2% | ||||||||||
Foreign Government Agency | ||||||||||
5,458,000 | CEZ AS, Reg S, 5.63%, due 04/03/42 | 6,940,061 | ||||||||
|
| |||||||||
Dominican Republic — 2.2% | ||||||||||
Asset-Backed Securities — 0.2% | ||||||||||
8,025,668 | Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24 | 8,271,454 | ||||||||
|
| |||||||||
Foreign Government Obligations — 2.0% | ||||||||||
16,587,000 | Dominican Republic International Bond, Reg S, 8.63%, due 04/20/27 | 20,280,718 | ||||||||
9,100,000 | Dominican Republic International Bond, Reg S, 5.30%, due 01/21/41 | 9,263,800 |
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, 2021 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Dominican Republic — continued | ||||||||||
Foreign Government Obligations — continued | ||||||||||
61,900,000 | Dominican Republic International Bond, Reg S, 5.88%, due 01/30/60 | 62,936,825 | ||||||||
|
| |||||||||
92,481,343 | ||||||||||
|
| |||||||||
Total Dominican Republic | 100,752,797 | |||||||||
|
| |||||||||
Ecuador — 3.1% | ||||||||||
Foreign Government Obligations | ||||||||||
1,000,000 | Ecuador Government International Bond, 5.00%, due 02/28/25 (c) | 900,000 | ||||||||
18,576,250 | Ecuador Government International Bond, Reg S, Step Up, 5.00%, due 07/31/30 | 16,625,744 | ||||||||
112,987,125 | Ecuador Government International Bond, Reg S, Step Up, 1.00%, due 07/31/35 | 81,491,964 | ||||||||
36,603,750 | Ecuador Government International Bond, Reg S, Step Up, 0.50%, due 07/31/40 | 23,426,400 | ||||||||
8,246,892 | Ecuador Government International Bond, Zero Coupon, Reg S, due 07/31/30 | 4,649,185 | ||||||||
16,931,372 | Ecuador Social Bond Sarl, Zero Coupon, Reg S, due 01/30/35 | 13,640,336 | ||||||||
|
| |||||||||
Total Ecuador | 140,733,629 | |||||||||
|
| |||||||||
Egypt — 2.3% | ||||||||||
Foreign Government Obligations | ||||||||||
26,800,000 | Egypt Government International Bond, Reg S, 7.90%, due 02/21/48 | 26,511,900 | ||||||||
23,500,000 | Egypt Government International Bond, Reg S, 8.70%, due 03/01/49 | 24,730,812 | ||||||||
38,364,000 | Egypt Government International Bond, Reg S, 8.15%, due 11/20/59 | 38,155,396 | ||||||||
15,200,000 | Egypt Government International Bond, Reg S, 7.50%, due 02/16/61 | 14,402,000 | ||||||||
|
| |||||||||
Total Egypt | 103,800,108 | |||||||||
|
| |||||||||
El Salvador — 0.6% | ||||||||||
Foreign Government Obligations | ||||||||||
9,775,000 | El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35 | 8,467,594 | ||||||||
22,100,000 | El Salvador Government International Bond, Reg S, 7.12%, due 01/20/50 | 18,039,125 | ||||||||
2,200,000 | El Salvador Government International Bond, Reg S, 9.50%, due 07/15/52 | 2,051,500 | ||||||||
|
| |||||||||
Total El Salvador | 28,558,219 | |||||||||
|
| |||||||||
Ethiopia — 0.1% | ||||||||||
Foreign Government Obligations | ||||||||||
4,090,000 | Ethiopia International Bond, Reg S, 6.63%, due 12/11/24 | 3,633,198 | ||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
Gabon — 0.6% | ||||||||||
Foreign Government Obligations | ||||||||||
24,600,000 | Gabon Government International Bond, Reg S, 6.63%, due 02/06/31 | 24,950,550 | ||||||||
|
| |||||||||
Ghana — 1.1% | ||||||||||
Foreign Government Agency — 0.3% | ||||||||||
11,235,530 | Saderea DAC, Reg S, 12.50%, due 11/30/26 | 12,134,373 | ||||||||
|
| |||||||||
Foreign Government Obligations — 0.8% | ||||||||||
13,000,000 | Republic of Ghana, Reg S, 8.95%, due 03/26/51 | 12,738,375 | ||||||||
26,900,000 | Republic of Ghana, Reg S, 8.75%, due 03/11/61 | 25,795,419 | ||||||||
|
| |||||||||
38,533,794 | ||||||||||
|
| |||||||||
Total Ghana | 50,668,167 | |||||||||
|
| |||||||||
Grenada — 0.2% | ||||||||||
Foreign Government Obligations | ||||||||||
10,351,125 | Grenada Government International Bond, Reg S, 7.00%, due 05/12/30 | 9,435,051 | ||||||||
|
| |||||||||
Guatemala — 0.4% | ||||||||||
Foreign Government Obligations | ||||||||||
1,965,000 | Republic of Guatemala, Reg S, 8.13%, due 10/06/34 | 2,731,350 | ||||||||
13,500,000 | Republic of Guatemala, Reg S, 6.13%, due 06/01/50 | 16,215,188 | ||||||||
|
| |||||||||
Total Guatemala | 18,946,538 | |||||||||
|
| |||||||||
Honduras — 0.4% | ||||||||||
Foreign Government Obligations | ||||||||||
16,100,000 | Honduras Government International Bond, Reg S, 5.63%, due 06/24/30 | 17,063,988 | ||||||||
|
| |||||||||
India — 1.4% | ||||||||||
Corporate Debt | ||||||||||
10,750,000 | Cliffton Ltd, Reg S, 6.25%, due 10/25/25 | 10,615,625 | ||||||||
29,700,000 | Delhi International Airport Ltd., Reg S, 6.45%, due 06/04/29 (e) | 29,217,078 | ||||||||
1,000,000 | GMR Hyderabad International Airport Ltd., Reg S, 4.75%, due 02/02/26 | 1,004,563 | ||||||||
21,140,000 | GMR Hyderabad International Airport Ltd., Reg S, 4.25%, due 10/27/27 | 20,371,032 | ||||||||
|
| |||||||||
Total India | 61,208,298 | |||||||||
|
|
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, 2021 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Indonesia — 3.6% | ||||||||||
Foreign Government Agency — 3.1% | ||||||||||
9,200,000 | Hutama Karya Persero PT, Reg S, 3.75%, due 05/11/30 | 10,035,475 | ||||||||
3,700,000 | Indonesia Asahan Aluminium Persero PT, Reg S, 5.45%, due 05/15/30 | 4,312,350 | ||||||||
20,900,000 | Indonesia Asahan Aluminium Persero PT, Reg S, 5.80%, due 05/15/50 | 24,985,950 | ||||||||
13,300,000 | Pertamina Persero PT, Reg S, 6.50%, due 05/27/41 | 17,550,181 | ||||||||
8,100,000 | Pertamina Persero PT, Reg S, 5.63%, due 05/20/43 | 9,789,863 | ||||||||
8,200,000 | Pertamina Persero PT, Reg S, 4.15%, due 02/25/60 | 8,419,350 | ||||||||
4,100,000 | Perusahaan Listrik Negara PT, Reg S, 6.15%, due 05/21/48 | 5,184,450 | ||||||||
14,200,000 | Perusahaan Listrik Negara PT, Reg S, 6.25%, due 01/25/49 | 18,285,162 | ||||||||
46,000,000 | Saka Energi Indonesia PT, Reg S, 4.45%, due 05/05/24 | 43,263,000 | ||||||||
|
| |||||||||
141,825,781 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 0.5% | ||||||||||
8,091,000 | Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37 | 11,323,860 | ||||||||
7,900,000 | Indonesia Government International Bond, Reg S, 5.25%, due 01/08/47 | 10,241,857 | ||||||||
|
| |||||||||
21,565,717 | ||||||||||
|
| |||||||||
Total Indonesia | 163,391,498 | |||||||||
|
| |||||||||
Israel — 0.4% | ||||||||||
Foreign Government Agency | ||||||||||
13,183,000 | Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96 | 19,156,011 | ||||||||
|
| |||||||||
Ivory Coast — 0.8% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 29,000,000 | Ivory Coast Government International Bond, Reg S, 6.63%, due 03/22/48 | 36,773,514 | |||||||
|
| |||||||||
Jamaica — 0.8% | ||||||||||
Corporate Debt — 0.1% | ||||||||||
6,582,391 | TransJamaican Highway Ltd., Reg S, 5.75%, due 10/10/36 | 6,589,796 | ||||||||
|
| |||||||||
Foreign Government Agency — 0.3% | ||||||||||
11,400,000 | National Road Operating & Construction Co., Ltd., Reg S, 9.38%, due 11/10/24 (c) | 13,366,500 | ||||||||
|
| |||||||||
Foreign Government Obligations — 0.4% | ||||||||||
11,375,000 | Jamaica Government International Bond, 7.88%, due 07/28/45 | 16,076,430 | ||||||||
|
| |||||||||
Total Jamaica | 36,032,726 | |||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
Jordan — 1.1% | ||||||||||
Foreign Government Obligations | ||||||||||
47,395,000 | Jordan Government International Bond, Reg S, 7.38%, due 10/10/47 | 50,840,024 | ||||||||
|
| |||||||||
Kazakhstan — 1.0% | ||||||||||
Foreign Government Agency | ||||||||||
9,000,000 | Kazakhstan Temir Zholy Finance BV, Reg S, 6.95%, due 07/10/42 | 12,598,875 | ||||||||
3,800,000 | KazMunayGas National Co JSC, Reg S, 5.75%, due 04/19/47 | 4,740,500 | ||||||||
19,900,000 | KazMunayGas National Co JSC, Reg S, 6.38%, due 10/24/48 | 26,135,864 | ||||||||
|
| |||||||||
Total Kazakhstan | 43,475,239 | |||||||||
|
| |||||||||
Kenya — 0.8% | ||||||||||
Foreign Government Obligations | ||||||||||
30,400,000 | Kenya Government International Bond, Reg S, 8.25%, due 02/28/48 | 34,367,200 | ||||||||
|
| |||||||||
Kuwait — 0.3% | ||||||||||
Corporate Debt | ||||||||||
4,100,000 | Equate Petrochemical BV, Reg S, 2.63%, due 04/28/28 | 4,161,500 | ||||||||
9,200,000 | MEGlobal Canada ULC, Reg S, 5.88%, due 05/18/30 | 11,447,100 | ||||||||
|
| |||||||||
Total Kuwait | 15,608,600 | |||||||||
|
| |||||||||
Lebanon — 0.4% | ||||||||||
Foreign Government Obligations | ||||||||||
20,400,000 | Lebanon Government International Bond, Reg S, 6.85%, due 03/23/27 (d) | 2,550,000 | ||||||||
5,547,000 | Lebanon Government International Bond, Reg S, 7.00%, due 03/20/28 (d) | 678,814 | ||||||||
53,605,000 | Lebanon Government International Bond, Reg S, 7.15%, due 11/20/31 (d) | 6,543,160 | ||||||||
21,000,000 | Lebanon Government International Bond, 8.20%, due 05/17/33 (d) | 2,583,000 | ||||||||
50,114,000 | Lebanon Government International Bond, 8.25%, due 05/17/34 (d) | 6,164,022 | ||||||||
|
| |||||||||
Total Lebanon | 18,518,996 | |||||||||
|
| |||||||||
Malaysia — 0.9% | ||||||||||
Foreign Government Agency | ||||||||||
16,700,000 | 1MDB Global Investments Ltd., Reg S, 4.40%, due 03/09/23 | 16,868,837 | ||||||||
6,000,000 | Dua Capital Ltd, Reg S, 2.78%, due 05/11/31 | 6,053,100 | ||||||||
8,400,000 | Petronas Capital Ltd, Reg S, 4.80%, due 04/21/60 | 11,377,044 | ||||||||
4,200,000 | Petronas Capital Ltd, Reg S, 3.40%, due 04/28/61 | 4,394,376 | ||||||||
|
| |||||||||
Total Malaysia | 38,693,357 | |||||||||
|
|
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, 2021 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Mexico — 5.9% | ||||||||||
Foreign Government Agency — 3.9% | ||||||||||
27,884,000 | Petroleos Mexicanos, 6.35%, due 02/12/48 | 23,489,482 | ||||||||
6,400,000 | Petroleos Mexicanos, Reg S, 6.63%, due 09/29/49 | 5,351,200 | ||||||||
131,800,000 | Petroleos Mexicanos, 7.69%, due 01/23/50 | 125,921,720 | ||||||||
22,986,000 | Petroleos Mexicanos, 6.95%, due 01/28/60 | 20,105,854 | ||||||||
|
| |||||||||
174,868,256 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 2.0% | ||||||||||
GBP | 56,796,000 | United Mexican States, 5.63%, due 03/19/2114 | 88,471,425 | |||||||
|
| |||||||||
Total Mexico | 263,339,681 | |||||||||
|
| |||||||||
Mongolia — 0.1% | ||||||||||
Foreign Government Obligations | ||||||||||
3,700,000 | Mongolia Government International Bond, 144A, 4.45%, due 07/07/31 | 3,640,282 | ||||||||
|
| |||||||||
Montenegro — 0.2% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 9,100,000 | Montenegro Government International Bond, 144A, 2.88%, due 12/16/27 | 10,288,174 | |||||||
|
| |||||||||
Morocco — 0.6% | ||||||||||
Foreign Government Agency | ||||||||||
14,500,000 | Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44 | 17,661,000 | ||||||||
10,500,000 | Office Cherifien des Phosphates SA, 144A, 5.13%, due 06/23/51 | 10,600,406 | ||||||||
|
| |||||||||
Total Morocco | 28,261,406 | |||||||||
|
| |||||||||
Mozambique — 0.2% | ||||||||||
Foreign Government Obligations | ||||||||||
9,276,000 | Mozambique International Bond, Reg S, Step Up, 5.00%, due 09/15/31 | 7,993,593 | ||||||||
|
| |||||||||
Nigeria — 0.8% | ||||||||||
Foreign Government Obligations | ||||||||||
10,700,000 | Nigeria Government International Bond, Reg S, 7.70%, due 02/23/38 | 10,952,787 | ||||||||
15,550,000 | Nigeria Government International Bond, Reg S, 7.63%, due 11/28/47 | 15,596,650 | ||||||||
7,600,000 | Nigeria Government International Bond, Reg S, 9.25%, due 01/21/49 | 8,720,050 | ||||||||
|
| |||||||||
Total Nigeria | 35,269,487 | |||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
Oman — 2.6% | ||||||||||
Foreign Government Agency — 0.2% | ||||||||||
7,300,000 | Oryx Funding Ltd., Reg S, 5.80%, due 02/03/31 | 7,719,750 | ||||||||
|
| |||||||||
Foreign Government Obligations — 2.4% | ||||||||||
4,600,000 | Oman Government International Bond, Reg S, 6.50%, due 03/08/47 | 4,610,925 | ||||||||
96,800,000 | Oman Government International Bond, Reg S, 6.75%, due 01/17/48 | 98,996,150 | ||||||||
5,400,000 | Oman Government International Bond, Reg S, 7.00%, due 01/25/51 | 5,616,000 | ||||||||
|
| |||||||||
109,223,075 | ||||||||||
|
| |||||||||
Total Oman | 116,942,825 | |||||||||
|
| |||||||||
Pakistan — 0.3% | ||||||||||
Foreign Government Obligations | ||||||||||
| 14,762,000 | Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36 | 14,681,732 | |||||||
|
| |||||||||
Panama — 1.7% | ||||||||||
Foreign Government Agency — 0.6% | ||||||||||
26,200,000 | Aeropuerto Internacional de Tocumen SA, 144A, 5.13%, due 08/11/61 | 27,772,000 | ||||||||
|
| |||||||||
Foreign Government Obligations — 1.1% | ||||||||||
12,651,000 | Panama Government International Bond, 8.13%, due 04/28/34 | 18,355,810 | ||||||||
9,000,000 | Panama Government International Bond, 4.30%, due 04/29/53 | 10,067,625 | ||||||||
16,800,000 | Panama Government International Bond, 4.50%, due 04/01/56 | 19,155,150 | ||||||||
|
| |||||||||
47,578,585 | ||||||||||
|
| |||||||||
Total Panama | 75,350,585 | |||||||||
|
| |||||||||
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 | 1,394,750 | ||||||||
|
| |||||||||
Peru — 2.1% | ||||||||||
Foreign Government Agency — 1.1% | ||||||||||
48,595,000 | Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47 | 50,479,271 | ||||||||
|
| |||||||||
Foreign Government Obligations — 1.0% | ||||||||||
PEN | 90,000,000 | Peru Government Bond, 6.15%, due 08/12/32 | 21,698,882 | |||||||
26,700,000 | Peruvian Government International Bond, 3.23%, due 07/28/2121 | 23,409,225 | ||||||||
|
| |||||||||
45,108,107 | ||||||||||
|
| |||||||||
Total Peru | 95,587,378 | |||||||||
|
|
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, 2021 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Philippines — 1.8% | ||||||||||
Foreign Government Agency — 1.5% | ||||||||||
4,700,000 | Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97 (c) | 8,695,000 | ||||||||
40,012,000 | Power Sector Assets & Liabilities Management Corp, 9.63%, due 05/15/28 | 58,617,580 | ||||||||
|
| |||||||||
67,312,580 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 0.3% | ||||||||||
13,500,000 | Philippine Government International Bond, 3.20%, due 07/06/46 | 13,889,610 | ||||||||
|
| |||||||||
Total Philippines | 81,202,190 | |||||||||
|
| |||||||||
Qatar — 1.6% | ||||||||||
Foreign Government Agency — 0.5% | ||||||||||
7,600,000 | Qatar Petroleum, 144A, 3.13%, due 07/12/41 | 7,818,500 | ||||||||
13,378,000 | QNB Finansbank AS, Reg S, 6.88%, due 09/07/24 | 14,597,070 | ||||||||
|
| |||||||||
22,415,570 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 1.1% | ||||||||||
38,200,000 | Qatar Government International Bond, Reg S, 4.40%, due 04/16/50 | 47,368,000 | ||||||||
|
| |||||||||
Total Qatar | 69,783,570 | |||||||||
Republic of North Macedonia — 0.2% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 7,800,000 | North Macedonia Government International Bond, Reg S, 1.63%, due 03/10/28 | 9,175,317 | |||||||
|
| |||||||||
Romania — 0.5% | ||||||||||
Foreign Government Obligations | ||||||||||
EUR | 7,100,000 | Romanian Government International Bond, Reg S, 4.63%, due 04/03/49 | 10,564,565 | |||||||
EUR | 10,900,000 | Romanian Government International Bond, Reg S, 3.38%, due 01/28/50 | 13,594,128 | |||||||
|
| |||||||||
Total Romania | 24,158,693 | |||||||||
|
| |||||||||
Russia — 2.5% | ||||||||||
Foreign Government Agency — 0.6% | ||||||||||
21,870,000 | GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27 | 23,045,512 | ||||||||
|
| |||||||||
5,200,000 | GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28 | 5,525,000 | ||||||||
|
| |||||||||
28,570,512 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 1.9% | ||||||||||
34,000,000 | Russian Foreign Bond, 144A, 5.10%, due 03/28/35 | 41,369,500 |
Par Value† | Description | Value ($) | ||||||||
Russia — continued | ||||||||||
Foreign Government Obligations — continued | ||||||||||
3,800,000 | Russian Foreign Bond, Reg S, 5.10%, due 03/28/35 | 4,623,650 | ||||||||
29,200,000 | Russian Foreign Bond, Reg S, 5.25%, due 06/23/47 | 37,782,975 | ||||||||
|
| |||||||||
83,776,125 | ||||||||||
|
| |||||||||
Total Russia | 112,346,637 | |||||||||
|
| |||||||||
Saudi Arabia — 2.8% | ||||||||||
Corporate Debt — 0.7% | ||||||||||
26,521,592 | ACWA Power Management And Investments One Ltd., Reg S, 5.95%, due 12/15/39 (e) | 31,428,086 | ||||||||
|
| |||||||||
Foreign Government Agency — 0.5% | ||||||||||
21,400,000 | Saudi Arabian Oil Co, Reg S, 3.50%, due 11/24/70 | 20,891,750 | ||||||||
|
| |||||||||
Foreign Government Obligations — 1.6% | ||||||||||
5,600,000 | Saudi Government International Bond, Reg S, 3.75%, due 01/21/55 | 5,965,050 | ||||||||
67,500,000 | Saudi Government International Bond, Reg S, 3.45%, due 02/02/61 | 67,837,500 | ||||||||
|
| |||||||||
73,802,550 | ||||||||||
|
| |||||||||
Total Saudi Arabia | 126,122,386 | |||||||||
|
| |||||||||
Senegal — 0.2% | ||||||||||
Foreign Government Obligations | ||||||||||
8,800,000 | Senegal Government International Bond, Reg S, 6.75%, due 03/13/48 | 9,142,650 | ||||||||
|
| |||||||||
South Africa — 3.4% | ||||||||||
Foreign Government Agency — 0.8% | ||||||||||
13,600,000 | Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25 | 14,346,300 | ||||||||
13,600,000 | Eskom Holdings SOC, Ltd., Reg S, 8.45%, due 08/10/28 | 15,463,200 | ||||||||
ZAR | 191,150,000 | Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32 | 2,742,717 | |||||||
ZAR | 27,300,000 | Transnet SOC, Ltd., 13.50%, due 04/18/28 | 2,261,617 | |||||||
|
| |||||||||
34,813,834 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 2.6% | ||||||||||
ZAR | 543,600,000 | Republic of South Africa Government International Bond, 6.50%, due 02/28/41 | 25,443,971 | |||||||
8,600,000 | Republic of South Africa Government International Bond, 6.30%, due 06/22/48 (e) | 9,262,738 | ||||||||
84,800,000 | Republic of South Africa Government International Bond, 5.75%, due 09/30/49 | 85,213,400 | ||||||||
|
| |||||||||
119,920,109 | ||||||||||
|
| |||||||||
Total South Africa | 154,733,943 | |||||||||
|
|
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, 2021 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Sri Lanka — 1.3% | ||||||||||
Foreign Government Obligations |
| |||||||||
7,280,000 | Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26 | 4,731,090 | ||||||||
11,644,000 | Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27 | 7,479,814 | ||||||||
34,500,000 | Sri Lanka Government International Bond, Reg S, 6.75%, due 04/18/28 | 22,043,344 | ||||||||
8,800,000 | Sri Lanka Government International Bond, Reg S, 7.85%, due 03/14/29 | 5,617,150 | ||||||||
27,900,000 | Sri Lanka Government International Bond, Reg S, 7.55%, due 03/28/30 | 17,730,450 | ||||||||
|
| |||||||||
Total Sri Lanka | 57,601,848 | |||||||||
|
| |||||||||
SupraNational — 0.4% | ||||||||||
Foreign Government Agency | ||||||||||
TRY | 263,000,000 | International Finance Corp., Zero Coupon, Reg S, due 02/15/29 | 10,323,932 | |||||||
BRL | 225,000,000 | International Finance Corp., Zero Coupon, due 02/25/41 | 9,077,192 | |||||||
|
| |||||||||
Total SupraNational | 19,401,124 | |||||||||
|
| |||||||||
Suriname — 0.5% | ||||||||||
Foreign Government Obligations | ||||||||||
14,000,000 | Republic of Suriname, Reg S, 12.88%, due 12/30/23 (d) | 9,003,750 | ||||||||
17,559,000 | Republic of Suriname, Reg S, 9.25%, due 10/26/26 (d) | 11,444,078 | ||||||||
|
| |||||||||
Total Suriname | 20,447,828 | |||||||||
|
| |||||||||
Tajikistan — 0.3% | ||||||||||
Foreign Government Obligations | ||||||||||
13,874,000 | Republic of Tajikistan International Bond, Reg S, 7.13%, due 09/14/27 | 12,558,571 | ||||||||
|
| |||||||||
Trinidad And Tobago — 1.0% | ||||||||||
Foreign Government Agency — 0.9% | ||||||||||
9,800,000 | Telecommunications Services of Trinidad & Tobago Ltd, Reg S, 8.88%, due 10/18/29 | 10,463,031 | ||||||||
6,127,000 | Trinidad Generation UnLtd., Reg S, 5.25%, due 11/04/27 | 6,291,663 | ||||||||
22,788,000 | Trinidad Petroleum Holdings Ltd., Reg S, 9.75%, due 06/15/26 | 25,556,742 | ||||||||
|
| |||||||||
42,311,436 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 0.1% | ||||||||||
3,800,000 | Trinidad & Tobago Government International Bond, Reg S, 4.50%, due 06/26/30 | 4,018,500 | ||||||||
|
| |||||||||
Total Trinidad And Tobago | 46,329,936 | |||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
Tunisia — 1.3% | ||||||||||
Foreign Government Agency | ||||||||||
JPY | 7,340,000,000 | Banque Centrale de Tunisie SA, 4.30%, due 08/02/30 (c) | 42,045,794 | |||||||
JPY | 2,500,000,000 | Banque Centrale de Tunisie SA, 4.20%, due 03/17/31 (c) | 13,639,049 | |||||||
JPY | 900,000,000 | Banque Centrale de Tunisie SA, 3.50%, due 02/03/33 | 4,294,869 | |||||||
|
| |||||||||
Total Tunisia | 59,979,712 | |||||||||
|
| |||||||||
Turkey — 3.6% | ||||||||||
Foreign Government Obligations |
| |||||||||
20,100,000 | Istanbul Metropolitan Municipality, Reg S, 6.38%, due 12/09/25 | 20,225,625 | ||||||||
10,002,000 | Republic of Turkey, 6.00%, due 01/14/41 | 9,241,223 | ||||||||
23,600,000 | Republic of Turkey, 6.63%, due 02/17/45 | 23,110,300 | ||||||||
125,313,000 | Republic of Turkey, 5.75%, due 05/11/47 | 111,199,623 | ||||||||
|
| |||||||||
Total Turkey | 163,776,771 | |||||||||
|
| |||||||||
Ukraine — 2.3% | ||||||||||
Foreign Government Agency — 0.6% | ||||||||||
EUR | 3,800,000 | NAK Naftogaz Ukraine via Kondor Finance Plc, Reg S, 7.13%, due 07/19/24 | 4,649,500 | |||||||
15,500,000 | NAK Naftogaz Ukraine via Kondor Finance Plc, Reg S, 7.63%, due 11/08/26 | 15,914,625 | ||||||||
7,500,000 | State Agency of Roads of Ukraine, 144A, 6.25%, due 06/24/28 | 7,526,250 | ||||||||
|
| |||||||||
28,090,375 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 1.7% | ||||||||||
10,019,000 | Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26 | 11,138,623 | ||||||||
3,869,000 | Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27 | 4,303,779 | ||||||||
30,200,000 | Ukraine Government International Bond, Reg S, 7.38%, due 09/25/32 | 32,272,475 | ||||||||
26,500,000 | Ukraine Government International Bond, Reg S, 7.25%, due 03/15/33 | 28,045,282 | ||||||||
|
| |||||||||
75,760,159 | ||||||||||
|
| |||||||||
Total Ukraine | 103,850,534 | |||||||||
|
| |||||||||
United Arab Emirates — 1.9% | ||||||||||
Foreign Government Agency — 0.5% | ||||||||||
4,500,000 | Abu Dhabi Crude Oil Pipeline LLC, Reg S, 4.60%, due 11/02/47 | 5,400,000 | ||||||||
6,000,000 | DAE Funding LLC, Reg S, 3.38%, due 03/20/28 | 6,210,000 |
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, 2021 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
United Arab Emirates — continued | ||||||||||
Foreign Government Agency — continued | ||||||||||
3,100,000 | DAE Sukuk Difc Ltd, Reg S, 3.75%, due 02/15/26 | 3,289,875 | ||||||||
6,300,000 | DP World Ltd., Reg S, 4.70%, due 09/30/49 | 7,015,837 | ||||||||
|
| |||||||||
21,915,712 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 1.4% | ||||||||||
10,700,000 | Abu Dhabi Government International Bond, Reg S, 3.13%, due 09/30/49 | 10,996,256 | ||||||||
9,100,000 | Abu Dhabi Government International Bond, Reg S, 2.70%, due 09/02/70 | 8,427,738 | ||||||||
18,700,000 | Finance Department Government of Sharjah, Reg S, 4.00%, due 07/28/50 | 16,993,625 | ||||||||
28,300,000 | Finance Department Government of Sharjah, Reg S, 4.38%, due 03/10/51 | 27,026,500 | ||||||||
|
| |||||||||
63,444,119 | ||||||||||
|
| |||||||||
Total United Arab Emirates | 85,359,831 | |||||||||
|
| |||||||||
United States — 8.1% | ||||||||||
Asset-Backed Securities — 0.3% | ||||||||||
1,475,991 | CWHEQ Revolving Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + 0.24%, 0.34%, due 12/15/35 | 1,425,011 | ||||||||
608,297 | CWHEQ Revolving Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + 0.24%, 0.34%, due 12/15/35 | 600,634 | ||||||||
1,075,098 | CWHEQ Revolving Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. LIBOR + 0.20%, 0.30%, due 05/15/36 | 1,023,843 | ||||||||
8,818,034 | Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.15%, 0.23%, due 11/25/36 | 3,990,230 | ||||||||
8,935,608 | Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.22%, 0.30%, due 11/25/36 | 4,090,699 | ||||||||
4,603,068 | Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + 0.36%, 0.44%, due 04/25/37 | 2,307,589 | ||||||||
|
| |||||||||
13,438,006 | ||||||||||
|
| |||||||||
Corporate Debt — 0.0% | ||||||||||
385,402 | AMBAC Assurance Corp., 144A, 5.10%, due 06/07/2169 | 543,417 | ||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
U.S. Government — 7.8% | ||||||||||
80,500,000 | U.S. Treasury Note, 0.13%, due 05/31/22 | 80,531,445 | ||||||||
183,600,000 | U.S. Treasury Note, 0.13%, due 11/30/22 | 183,643,032 | ||||||||
57,200,000 | U.S. Treasury Note, 0.13%, due 03/31/23 (f) | 57,170,953 | ||||||||
6,500,000 | U.S. Treasury Note, 1.63%, due 05/15/31 | 6,702,109 | ||||||||
20,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.10%, due 07/31/22 | 20,009,370 | ||||||||
|
| |||||||||
348,056,909 | ||||||||||
|
| |||||||||
Total United States | 362,038,332 | |||||||||
|
| |||||||||
Uruguay — 0.8% | ||||||||||
Foreign Government Obligations | ||||||||||
27,918,000 | Uruguay Government International Bond, 5.10%, due 06/18/50 | 37,275,765 | ||||||||
|
| |||||||||
Uzbekistan — 0.4% | ||||||||||
Foreign Government Obligations | ||||||||||
8,000,000 | Republic of Uzbekistan International Bond, Reg S, 5.38%, due 02/20/29 | 8,868,000 | ||||||||
7,600,000 | Republic of Uzbekistan International Bond, Reg S, 3.70%, due 11/25/30 | 7,554,400 | ||||||||
|
| |||||||||
Total Uzbekistan | 16,422,400 | |||||||||
|
| |||||||||
Venezuela — 1.0% | ||||||||||
Foreign Government Agency — 0.3% | ||||||||||
111,465,000 | Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18 (c) (d) | 2,229,300 | ||||||||
176,000,000 | Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 (c) (d) | 7,744,000 | ||||||||
61,967,000 | Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 (c) (d) | 2,726,548 | ||||||||
|
| |||||||||
12,699,848 | ||||||||||
|
| |||||||||
Foreign Government Obligations — 0.7% | ||||||||||
19,028,000 | Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19 (c) (d) | 1,902,800 | ||||||||
36,600,000 | Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20 (c) (d) | 3,660,000 | ||||||||
23,750,000 | Venezuela Government International Bond, Reg S, 12.75%, due 08/23/22 (c) (d) | 2,375,000 | ||||||||
172,793,000 | Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23 (c) (d) | 17,279,300 | ||||||||
68,700,000 | Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31 (c) (d) | 6,955,875 | ||||||||
7,000,000 | Venezuela Government International Bond, 9.38%, due 01/13/34 (c) (d) | 708,750 | ||||||||
|
| |||||||||
32,881,725 | ||||||||||
|
| |||||||||
Total Venezuela | 45,581,573 | |||||||||
|
|
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, 2021 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Vietnam — 0.7% | ||||||||||
Foreign Government Agency — 0.5% | ||||||||||
22,558,000 | Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25 | 20,405,121 | ||||||||
|
| |||||||||
Foreign Government Obligations — 0.2% | ||||||||||
9,918,000 | Socialist Republic of Vietnam, Series 30 Yr, Variable Rate, 6 mo. LIBOR + 0.81%, 1.06%, due 03/13/28 (c) | 9,322,920 | ||||||||
|
| |||||||||
Total Vietnam | 29,728,041 | |||||||||
|
| |||||||||
Zambia — 0.5% | ||||||||||
Foreign Government Obligations | ||||||||||
3,600,000 | Zambia Government International Bond, Reg S, 5.38%, due 09/20/22 (d) | 2,736,000 | ||||||||
27,572,000 | Zambia Government International Bond, Reg S, 8.97%, due 07/30/27 (d) | 21,575,090 | ||||||||
|
| |||||||||
Total Zambia | 24,311,090 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $4,420,326,416) | 4,226,177,721 | |||||||||
|
| |||||||||
LOAN ASSIGNMENTS — 1.4% | ||||||||||
Chad — 0.4% | ||||||||||
6,509,091 | Glencore UK (Chad) Loan Agreement, Tranche A, Variable Rate, 3 mo. LIBOR + 2.00%, 2.12%, due 09/30/25 (c) | 5,288,637 | ||||||||
20,227,267 | Glencore UK (Chad) Loan Agreement, Tranche B, Variable Rate, 3 mo. LIBOR + 2.25%, 2.37%, due 12/31/27 (c) | 13,299,428 | ||||||||
|
| |||||||||
Total Chad | 18,588,065 | |||||||||
|
| |||||||||
Kenya — 0.1% | ||||||||||
4,866,667 | Republic of Kenya Loan Agreement, 6 mo. LIBOR + 6.70%, 6.91%, due 04/10/25 (a) | 5,033,481 | ||||||||
|
| |||||||||
Turkey — 0.9% | ||||||||||
EUR | 31,700,000 | Meridiam Eastern Europe Investment S.à.r.l. Loan Agreement, 8.85%, due 06/23/28 (c) | 37,055,492 | |||||||
|
| |||||||||
TOTAL LOAN ASSIGNMENTS (COST $60,584,776) | 60,677,038 | |||||||||
|
| |||||||||
LOAN PARTICIPATIONS — 0.9% | ||||||||||
Angola — 0.6% | ||||||||||
585,000 | Republic of Angola Loan Agreement (Participation via Avenir II BV), Reg S, 6 mo. LIBOR + 4.50%, 4.66%, due 12/07/23 (c) | 576,225 | ||||||||
3,928,571 | Republic of Angola Loan Agreement (Participation via Avenir Issuer II Ireland DAC), Reg S, 6.93%, due 02/19/27 (c) | 3,653,571 |
Shares / Par Value† | Description | Value ($) | ||||||||
Angola — continued | ||||||||||
9,093,750 | Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.40%, due 12/13/23 (c) | 8,730,000 | ||||||||
5,202,981 | Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.40%, due 12/20/23 (c) | 4,994,862 | ||||||||
9,500,000 | Republic of Angola Loan Agreement (Participation with GE Capital EFS Financing, Inc), 7.50%, due 08/30/24 (c) | 9,215,000 | ||||||||
|
| |||||||||
Total Angola | 27,169,658 | |||||||||
|
| |||||||||
Egypt — 0.0% | ||||||||||
CHF | 577 | Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (a) | 541 | |||||||
|
| |||||||||
Iraq — 0.3% | ||||||||||
EUR | 727,635 | Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (c) | 716,649 | |||||||
JPY | 1,159,438,713 | Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c) | 8,180,043 | |||||||
JPY | 246,124,274 | Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c) | 1,740,173 | |||||||
JPY | 104,615,448 | Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c) | 739,663 | |||||||
|
| |||||||||
Total Iraq | 11,376,528 | |||||||||
|
| |||||||||
Russia — 0.0% | ||||||||||
EUR | 76,893,500 | Russian Foreign Trade Obligations (Participation with GML International Ltd.) (c) (d) | 3 | |||||||
|
| |||||||||
TOTAL LOAN PARTICIPATIONS (COST $54,422,723) | 38,546,730 | |||||||||
|
| |||||||||
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 $74,296,430) | 74,784,247 | |||||||||
|
| |||||||||
RIGHTS/WARRANTS — 0.4% | ||||||||||
Argentina — 0.1% | ||||||||||
EUR | 335,089,675 | Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (g) | 2,547,044 |
12 | See accompanying notes to the financial statements. |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares / Par Value† | Description | Value ($) | ||||||||
Argentina — continued | ||||||||||
JPY | 740,189,000 | Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (a) (g) | 21,656 | |||||||
|
| |||||||||
Total Argentina | 2,568,700 | |||||||||
|
| |||||||||
Ukraine — 0.3% | ||||||||||
14,446,000 | Government of Ukraine GDP Linked, Reg S, Variable Rate, Expires 05/31/40 (g) | 16,426,005 | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $49,378,719) | 18,994,705 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.8% | ||||||||||
Money Market Funds — 0.8% | ||||||||||
37,431,780 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (h) | 37,431,780 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $37,431,780) | 37,431,780 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.1% (Cost $4,696,440,844) | 4,456,612,221 | |||||||||
Other Assets and Liabilities (net) — 0.9% | 41,913,301 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $4,498,525,522 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2021 is as follows:
Forward Currency Contracts
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||||
10/26/2021 | JPM | COP | 65,583,000,000 | USD | 16,892,169 | (458,853 | ) | |||||||||||||||
10/21/2021 | MSCI | EUR | 100,499,300 | USD | 118,661,684 | (116,570 | ) | |||||||||||||||
10/21/2021 | MSCI | GBP | 66,311,000 | USD | 90,872,594 | (304,994 | ) | |||||||||||||||
11/19/2021 | BOA | JPY | 8,000,000,000 | USD | 73,282,232 | 519,198 | ||||||||||||||||
11/18/2021 | JPM | PEN | 73,900,000 | USD | 18,142,093 | 96,444 | ||||||||||||||||
11/18/2021 | MSCI | PEN | 10,600,000 | USD | 2,575,316 | (13,099 | ) | |||||||||||||||
10/29/2021 | JPM | ZAR | 230,000,000 | USD | 15,328,735 | (386,763 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | (664,637 | ) | ||||||||||||||||||||
|
|
Reverse Repurchase Agreements(i)
Face Value | Description | Value ($) | ||||||||
USD | 6,442,075 | J.P. Morgan Securities Plc, (0.50)%, dated 07/08/21, (collateral: Bolivia Government International Bond, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest. | (6,442,075 | ) | ||||||
USD | 9,431,514 | J.P. Morgan Securities Plc, (0.25)%, dated 07/22/21, (collateral: Republic of South Africa Government International Bond, 6.30%, due 06/22/48), to be repurchased on demand at face value plus accrued interest. | (9,431,514 | ) | ||||||
USD | 516,441 | J.P. Morgan Securities Plc, (0.25)%, dated 08/02/21, (collateral: Barbados Government International Bond, Reg S, 6.50%, due 10/01/29), to be repurchased on demand at face value plus accrued interest. | (516,441 | ) | ||||||
USD | 2,475,464 | J.P. Morgan Securities Plc, (0.25)%, dated 08/02/21, (collateral: Delhi International Airport Ltd., Reg S, 6.45%, due 06/04/29), to be repurchased on demand at face value plus accrued interest. | (2,475,464 | ) | ||||||
USD | 1,191,442 | J.P. Morgan Securities Plc, (0.05)%, dated 08/02/21, (collateral: ACWA Power Management And Investments One Ltd., Reg S, 5.95%, due 12/15/39), to be repurchased on demand at face value plus accrued interest. | (1,191,442 | ) | ||||||
|
| |||||||||
$ | (20,056,936 | ) | ||||||||
|
| |||||||||
Average balance outstanding | $ | (11,893,723 | ) | |||||||
Average interest rate (net) | 0.52 | % | ||||||||
Maximum balance outstanding | $ | (26,079,125 | ) |
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.
See accompanying notes to the financial statements. | 13 |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2021 (Unaudited)
Credit Linked Options
Principal / Notional Amount | Expiration Date | Description | Premiums Paid/ (Received) ($) | Value ($) | ||||||||||||||
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) | (105,176 | ) | 61,580 | |||||||||||
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) | (1,171,312 | ) | 290,959 | |||||||||||
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) | (3,936,778 | ) | 201,311 | |||||||||||
|
|
|
| |||||||||||||||
$ | (5,213,266 | ) | $ | 553,850 | ||||||||||||||
|
|
|
|
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% | 0.89% | N/A | 06/20/2024 | Quarterly | 4,376,875 | (411,776 | ) | (4,788,651 | ) | ||||||||||||||||||||||||||
CDX-EMS.35.V1-5Y | USD | 143,000,000 | 1.00% | 1.52% | N/A | 06/20/2026 | Quarterly | 4,242,750 | 3,404,401 | (838,349 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
$ | 8,619,625 | $ | 2,992,625 | $ | (5,627,000 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
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^: | ||||||||||||||||||||||||||||||||||||||||
Banque Centrale de Tunisie SA | JPM | USD | 19,500,000 | 1.00% | 7.41% | N/A | 06/20/2022 | Quarterly | 2,109,320 | 977,375 | (1,131,945 | ) | ||||||||||||||||||||||||||||
Republic of Ghana | JPM | USD | 3,700,000 | 5.00% | 4.35% | N/A | 06/20/2023 | Quarterly | (112,514 | ) | (41,382 | ) | 71,132 | |||||||||||||||||||||||||||
Republic of Ghana | JPM | USD | 3,700,000 | 5.00% | 4.35% | N/A | 06/20/2023 | Quarterly | (112,260 | ) | (41,381 | ) | 70,879 | |||||||||||||||||||||||||||
Republic of South Africa | CITI | USD | 35,900,000 | 1.00% | 0.79% | N/A | 06/20/2023 | Quarterly | 120,140 | (138,895 | ) | (259,035 | ) | |||||||||||||||||||||||||||
Petrobras Global Finance BV | CITI | USD | 13,000,000 | 1.00% | 1.10% | N/A | 06/20/2024 | Quarterly | 371,175 | 35,052 | (336,123 | ) | ||||||||||||||||||||||||||||
Petrobras Global Finance BV | CITI | USD | 37,000,000 | 1.00% | 1.10% | N/A | 06/20/2024 | Quarterly | 1,923,458 | 99,764 | (1,823,694 | ) | ||||||||||||||||||||||||||||
Republic of Ghana | JPM | USD | 7,500,000 | 5.00% | 5.06% | N/A | 06/20/2024 | Quarterly | 58,680 | 12,194 | (46,486 | ) | ||||||||||||||||||||||||||||
Commonwealth of Bahamas | DB | EUR | 37,970,815 | 1.00% | 3.65% | N/A | 06/20/2025 | Quarterly | 5,153,296 | 2,442,111 | (2,711,185 | ) | ||||||||||||||||||||||||||||
Republic of South Africa | GS | USD | 41,800,000 | 1.00% | 1.85% | N/A | 06/20/2026 | Quarterly | 2,604,622 | 1,640,315 | (964,307 | ) | ||||||||||||||||||||||||||||
Republic of Turkey | GS | USD | 17,000,000 | 1.00% | 3.63% | N/A | 06/20/2026 | Quarterly | 2,834,788 | 1,937,605 | (897,183 | ) | ||||||||||||||||||||||||||||
Republic of Turkey | MORD | USD | 15,000,000 | 1.00% | 3.63% | N/A | 06/20/2026 | Quarterly | 2,501,284 | 1,709,651 | (791,633 | ) | ||||||||||||||||||||||||||||
United States of Mexico | GS | USD | 20,000,000 | 1.00% | 1.33% | N/A | 06/20/2029 | Quarterly | 1,589,641 | 478,276 | (1,111,365 | ) | ||||||||||||||||||||||||||||
United States of Mexico | GS | USD | 20,000,000 | 1.00% | 1.51% | N/A | 09/20/2031 | Quarterly | 2,640,655 | 912,456 | (1,728,199 | ) | ||||||||||||||||||||||||||||
Sell Protection^: | ||||||||||||||||||||||||||||||||||||||||
Commonwealth of Bahamas | DB | USD | 3,487,000 | 1.00% | 3.48% | 3,487,000 USD | 06/20/2023 | Quarterly | (641,463 | ) | (154,116 | ) | 487,347 | |||||||||||||||||||||||||||
Commonwealth of Bahamas | DB | USD | 6,975,000 | 1.00% | 3.48% | 6,975,000 USD | 06/20/2023 | Quarterly | (1,263,915 | ) | (308,275 | ) | 955,640 | |||||||||||||||||||||||||||
Commonwealth of Bahamas | DB | USD | 50,827,085 | 1.00% | 3.64% | 50,827,085 USD | 06/20/2025 | Quarterly | (5,838,385 | ) | (2,730,482 | ) | 3,107,903 | |||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
$ | 13,938,522 | $ | 6,830,268 | $ | (7,108,254 | ) | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
14 | See accompanying notes to the financial statements. |
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2021 (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, 2021, 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) ($) | |||||||||||||||||||
0.48% | 6 Month EURIBOR | EUR | 34,600,000 | 06/14/2051 | Semi-Annually | 57,183 | (2,129,128 | ) | (2,186,311 | ) | ||||||||||||||||
0.90% | GBP — SONIA-COMPOUND | GBP | 24,000,000 | 06/10/2051 | Annually | 7,086 | (1,857,560 | ) | (1,864,646 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 64,269 | $ | (3,986,688 | ) | $ | (4,050,957 | ) | |||||||||||||||||||
|
|
|
|
|
|
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 J.P. Morgan EMBI Global Core IG Index Short Swap | 3 Month USD LIBOR minus a spread of 0.45% | JPM | USD | 18,860,000 | 10/13/2021 | At Maturity | $ | — | $ | (175,529 | ) | $ | (175,529 | ) | ||||||||||||||||
|
|
|
|
|
|
As of August 31, 2021, 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 collateral requirements on reverse repurchase agreements (Note 2). |
(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) | Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic (Note 2). |
(h) | The rate disclosed is the 7 day net yield as of August 31, 2021. |
(i) | Reverse repurchase agreements have an open maturity date and can be closed by either party on demand. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 42.
See accompanying notes to the financial statements. | 15 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2021 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Short-Term Investments | 64.2 | % | ||
Debt Obligations | 33.6 | |||
Swap Contracts | 2.5 | |||
Futures Contracts | 0.0 | ^ | ||
Forward Currency Contracts | 0.0 | ^ | ||
Written Options | (0.1 | ) | ||
Other | (0.2 | ) | ||
|
| |||
100.0 | % | |||
|
| |||
Industry Group Summary¤ | % of Investments | |||
Consumer Cyclical | 22.1 | % | ||
Communications | 14.1 | |||
Consumer Non-Cyclical | 14.0 | |||
Energy | 11.9 | |||
Basic Industry | 6.2 | |||
Capital Goods | 6.7 | |||
Finance Companies | 4.9 | |||
Technology | 4.6 | |||
Other Industrial | 3.9 | |||
REITS | 2.5 | |||
Transportation | 1.6 | |||
Other Utility | 1.6 | |||
Banking | 1.7 | |||
Insurance | 1.4 | |||
Electric | 1.0 | |||
Other Financial | 0.4 | |||
Brokerage/Asset Managers/Exchanges | 0.1 | |||
|
| |||
98.7 | % | |||
|
|
& | 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 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 |
GMO High Yield Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
| DEBT OBLIGATIONS — 33.6% | |||||||||
Corporate Debt — 33.5% | ||||||||||
Canada — 1.6% | ||||||||||
825,000 | Methanex Corp., 5.25%, due 12/15/29 | 899,935 | ||||||||
125,000 | Mountain Province Diamonds, Inc., 144A, 8.00%, due 12/15/22 | 110,000 | ||||||||
500,000 | Quebecor Media, Inc., 5.75%, due 01/15/23 | 530,625 | ||||||||
|
| |||||||||
Total Canada | 1,540,560 | |||||||||
|
| |||||||||
Luxembourg — 0.3% | ||||||||||
225,000 | ArcelorMittal SA, 7.00%, due 10/15/39 | 323,438 | ||||||||
|
| |||||||||
New Zealand — 0.2% | ||||||||||
175,035 | Trilogy International South Pacific LLC / TISP Finance, Inc., 144A, 8.88%, due 05/15/23 | 173,503 | ||||||||
|
| |||||||||
United Kingdom — 1.3% | ||||||||||
350,000 | Avon Products, Inc., 6.50%, due 03/15/23 | 372,750 | ||||||||
190,000 | Jaguar Land Rover Automotive Plc, 144A, 5.63%, due 02/01/23 | 190,950 | ||||||||
725,000 | Rolls-Royce Plc, 144A, 3.63%, due 10/14/25 | 737,833 | ||||||||
|
| |||||||||
Total United Kingdom | 1,301,533 | |||||||||
|
| |||||||||
United States — 30.1% | ||||||||||
125,000 | Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 144A, 3.50%, due 02/15/23 | 128,618 | ||||||||
375,000 | Ally Financial, Inc., 5.75%, due 11/20/25 | 429,616 | ||||||||
375,000 | Altera Infrastructure LP / Teekay Offshore Finance Corp., 144A, 8.50%, due 07/15/23 | 344,302 | ||||||||
250,000 | American Airlines Group, Inc., 144A, 5.00%, due 06/01/22 | 252,188 | ||||||||
250,000 | American Airlines Inc. / AAdvantage Loyalty IP Ltd, 144A, 5.75%, due 04/20/29 | 269,966 | ||||||||
373,000 | AmeriGas Partners LP / AmeriGas Finance Corp., 5.63%, due 05/20/24 | 407,969 | ||||||||
325,000 | Apache Corp., 5.35%, due 07/01/49 | 362,440 | ||||||||
625,000 | Arconic Corp., 144A, 6.00%, due 05/15/25 | 661,594 | ||||||||
250,000 | Bausch Health Cos Inc, 144A, 5.75%, due 08/15/27 | 262,500 | ||||||||
250,000 | Brinker International, Inc., 3.88%, due 05/15/23 | 257,625 | ||||||||
250,000 | Calumet Specialty Products Partners LP / Calumet Finance Corp., 7.75%, due 04/15/23 | 246,250 | ||||||||
80,000 | Carnival Corp., 144A, 11.50%, due 04/01/23 | 89,822 | ||||||||
375,000 | CDW LLC / CDW Finance Corp., 5.50%, due 12/01/24 | 414,637 | ||||||||
625,000 | CIT Group, Inc., 5.00%, due 08/15/22 | 649,812 | ||||||||
275,000 | Cleaver-Brooks, Inc., 144A, 7.88%, due 03/01/23 | 271,205 | ||||||||
250,000 | Cogent Communications Group, Inc., 144A, 3.50%, due 05/01/26 | 255,800 | ||||||||
375,000 | Crown Americas LLC / Crown Americas Capital Corp. IV, 4.50%, due 01/15/23 | 392,981 | ||||||||
625,000 | CSC Holdings LLC, 6.75%, due 11/15/21 | 631,500 |
Par Value† | Description | Value ($) | ||||||||
Corporate Debt — Continued | ||||||||||
United States — continued | ||||||||||
250,000 | CSC Holdings LLC, 5.88%, due 09/15/22 | 260,000 | ||||||||
425,000 | DISH DBS Corp., 5.88%, due 07/15/22 | 439,526 | ||||||||
125,000 | Downstream Development Authority of the Quapaw Tribe of Oklahoma, 144A, 10.50%, due 02/15/23 | 130,469 | ||||||||
400,000 | Enact Holdings, Inc., 144A, 6.50%, due 08/15/25 | 432,000 | ||||||||
675,000 | Fluor Corp., 3.50%, due 12/15/24 | 709,452 | ||||||||
1,050,000 | Ford Motor Credit Co. LLC, 4.13%, due 08/04/25 | 1,120,875 | ||||||||
1,177,000 | Ford Motor Credit Co. LLC, 3.82%, due 11/02/27 | 1,238,734 | ||||||||
250,000 | Freeport-McMoRan, Inc., 3.88%, due 03/15/23 | 258,437 | ||||||||
375,000 | G-III Apparel Group Ltd., 144A, 7.88%, due 08/15/25 | 405,469 | ||||||||
500,000 | Gap, Inc. (The), 144A, 8.88%, due 05/15/27 | 574,375 | ||||||||
670,000 | Hexcel Corp., 4.20%, due 02/15/27 | 733,897 | ||||||||
250,000 | iStar, Inc., REIT, 5.50%, due 02/15/26 | 261,875 | ||||||||
875,000 | JBS Finance Luxembourg Sarl, 144A, 3.63%, due 01/15/32 | 905,459 | ||||||||
500,000 | KB Home, 4.80%, due 11/15/29 | 553,750 | ||||||||
625,000 | Kraft Heinz Foods Co., 3.88%, due 05/15/27 | 688,878 | ||||||||
625,000 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 144A, REIT, 4.25%, due 02/01/27 | 628,125 | ||||||||
375,000 | LSB Industries, Inc., 144A, 9.63%, due 05/01/23 | 388,935 | ||||||||
750,000 | Lumen Technologies, Inc., 144A, 4.50%, due 01/15/29 | 733,125 | ||||||||
207,000 | Macy’s Retail Holdings LLC, 2.88%, due 02/15/23 | 210,623 | ||||||||
375,000 | Netflix, Inc., 4.38%, due 11/15/26 | 424,219 | ||||||||
525,000 | Newell Brands, Inc., 4.70%, due 04/01/26 | 586,687 | ||||||||
500,000 | Occidental Petroleum Corp., 4.30%, due 08/15/39 | 508,750 | ||||||||
775,000 | Occidental Petroleum Corp., 4.40%, due 08/15/49 | 781,053 | ||||||||
375,000 | Olin Corp., 144A, 9.50%, due 06/01/25 | 470,062 | ||||||||
375,000 | OneMain Finance Corp., 6.63%, due 01/15/28 | 432,836 | ||||||||
250,000 | OneMain Finance Corp., 6.88%, due 03/15/25 | 283,125 | ||||||||
375,000 | Ovintiv, Inc., 7.38%, due 11/01/31 | 502,170 | ||||||||
250,000 | Owens-Brockway Glass Container, Inc., 144A, 5.88%, due 08/15/23 | 265,625 | ||||||||
250,000 | PBF Logistics LP / PBF Logistics Finance Corp., 6.88%, due 05/15/23 | 242,613 | ||||||||
375,000 | Pilgrim’s Pride Corp., 144A, 5.88%, due 09/30/27 | 400,226 | ||||||||
375,000 | Prime Security Services Borrower LLC / Prime Finance, Inc., 144A, 5.75%, due 04/15/26 | 405,689 | ||||||||
250,000 | Quad/Graphics, Inc., 7.00%, due 05/01/22 | 254,687 | ||||||||
400,000 | Royal Caribbean Cruises Ltd., 144A, 10.88%, due 06/01/23 | 450,167 | ||||||||
625,000 | Sealed Air Corp., 144A, 5.25%, due 04/01/23 | 656,250 | ||||||||
250,000 | Sensata Technologies BV, 144A, 4.88%, due 10/15/23 | 267,527 | ||||||||
250,000 | Service Properties Trust, REIT, 4.50%, due 03/15/25 | 251,250 | ||||||||
600,000 | Service Properties Trust, REIT, 4.38%, due 02/15/30 | 576,333 | ||||||||
336,000 | Southwestern Energy Co., 6.45%, due 01/23/25 | 366,203 | ||||||||
800,000 | Spirit AeroSystems, Inc., 3.85%, due 06/15/26 | 850,000 | ||||||||
600,000 | Sprint Corp., 7.88%, due 09/15/23 | 679,770 |
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, 2021 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Corporate Debt — Continued | ||||||||||
United States — continued | ||||||||||
625,000 | Tenet Healthcare Corp., 6.75%, due 06/15/23 | 677,344 | ||||||||
251,250 | Transocean Guardian Ltd., 144A, 5.88%, due 01/15/24 | 238,688 | ||||||||
252,500 | Vericast Corp., 144A, 11.00%, due 09/15/26 | 267,650 | ||||||||
375,000 | W&T Offshore, Inc., 2018 Term Loan, 144A, 9.75%, due 11/01/23 | 351,094 | ||||||||
500,000 | Western Midstream Operating LP, 5.30%, due 02/01/30 | 560,305 | ||||||||
925,000 | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 144A, 4.25%, due 05/30/23 | 949,078 | ||||||||
|
| |||||||||
Total United States | 29,702,230 | |||||||||
|
| |||||||||
Total Corporate Debt | 33,041,264 | |||||||||
|
| |||||||||
U.S. Government — 0.1% | ||||||||||
150,000 | U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.20%, due 01/31/22 | 150,087 | ||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $31,538,715) | 33,191,351 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 64.2% |
| |||||||||
Foreign Government Obligations — 9.2% |
| |||||||||
JPY | 1,000,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 10/18/21 | 9,090,984 | |||||||
|
| |||||||||
Money Market Funds — 1.2% | ||||||||||
1,159,609 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a) | 1,159,609 | ||||||||
|
| |||||||||
U.S. Government — 53.8% | ||||||||||
27,700,000 | U.S. Treasury Bill, 0.04%, due 01/27/22 (b) | 27,695,160 | ||||||||
2,315,000 | U.S. Treasury Bill, 0.06%, due 02/24/22 (b) | 2,314,378 | ||||||||
3,000,000 | U.S. Treasury Bill, 0.06%, due 05/19/22 (b) | 2,998,808 | ||||||||
2,000,000 | U.S. Treasury Bill, 0.06%, due 07/14/22 (b) | 1,998,894 | ||||||||
18,100,000 | U.S. Treasury Bill, 0.07%, due 08/11/22 (b) (c) | 18,087,893 | ||||||||
|
| |||||||||
Total U.S. Government | 53,095,133 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $63,339,253) | 63,345,726 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 97.8% (Cost $94,877,968) | 96,537,077 | |||||||||
Other Assets and Liabilities (net) — 2.2% | 2,187,176 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $98,724,253 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2021 is as follows:
Forward Currency Contracts
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||||
10/18/2021 | MSCI | JPY | 1,000,000,000 | USD | 9,083,821 | $ | (9,318 | ) | ||||||||||||||
|
|
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||||
Buys | ||||||||||||||
80 | U.S. Treasury Note 10 Yr. (CBT) | December 2021 | 10,676,250 | 9,980 | ||||||||||
20 | U.S. Treasury Note 5 Yr. (CBT) | December 2021 | 2,474,375 | 5,299 | ||||||||||
17 | U.S. Treasury Note 2 Yr. (CBT) | December 2021 | 3,745,578 | 2,522 | ||||||||||
|
|
|
| |||||||||||
$ | 16,896,203 | $ | 17,801 | |||||||||||
|
|
|
| |||||||||||
Sales | ||||||||||||||
3 | U.S. Long Bond (CBT) | December 2021 | 488,906 | (206 | ) | |||||||||
44 | U.S. Treasury Note 5 Yr. (CBT) | December 2021 | 5,443,625 | (8,414 | ) | |||||||||
6 | U.S. Ultra Bond (CBT) | December 2021 | 1,183,687 | 3,059 | ||||||||||
|
|
|
| |||||||||||
$ | 7,116,218 | $ | (5,561 | ) | ||||||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
18 | See accompanying notes to the financial statements. |
GMO High Yield Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Written Options
Description | Counterparty | Exercise Rate | Expiration Date | Principal/Notional Amount | Floating Rate Index | Pay/Receive Floating Rate | Value ($) | |||||||||||||||||||
Written Options on Credit Default Swaps — Puts | ||||||||||||||||||||||||||
CDX.NA.HYS.36.V1-5Y | GS | 107.00% | 10/20/21 | USD | (28,930,000 | ) | Fixed Spread | Pay | $(82,538) | |||||||||||||||||
| TOTAL WRITTEN OPTIONS ON CREDIT DEFAULT SWAPS — PUTS (Premiums $181,391) | |||||||||||||||||||||||||
Swap Contracts
Centrally Cleared Credit Default Swaps
Reference Entity | Notional | Annual Premium | Implied Credit Spread(1) | Maximum Potential Amount of Future Payments by the Fund Under the Contract(2) | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||||||||||||
Buy Protection^: | ||||||||||||||||||||||||||||||||||||||
CDX.NA.HYS.36.V1-5Y | USD | 6,636,000 | 5.00% | 2.76% | N/A | 06/20/2026 | Quarterly | (611,589 | ) | (651,005 | ) | (39,416 | ) | |||||||||||||||||||||||||
Sell Protection^: | ||||||||||||||||||||||||||||||||||||||
CDX.NA.HYS.36.V1-5Y | USD | 26,096,000 | 5.00% | 2.76% | 26,096,000 USD | 06/20/2026 | Quarterly | 2,239,298 | 2,560,070 | 320,772 | ||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
$ | 1,627,709 | $ | 1,909,065 | $ | 281,356 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
^ | 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, 2021, 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. | 19 |
GMO High Yield Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
OTC Total Return Swaps
Fund Pays | Fund Receives | Counterparty | Notional | Expiration Date | Periodic | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||
3 Month USD LIBOR | Total Return on iShares iBoxx High Yield Corporate Bond ETF | MSCI | USD | 1,310,000 | 09/20/2021 | Quarterly | (215 | ) | 12,351 | 12,566 | ||||||||||||||||||
1 Month USD LIBOR minus a spread of 1.35% | Total Return on iShares iBoxx High Yield Corporate Bond ETF | GS | USD | 983,551 | 09/24/2021 | At Maturity | — | 3,585 | 3,585 | |||||||||||||||||||
3 Month USD LIBOR | Total Return on iShares iBoxx High Yield Corporate Bond ETF | BOA | USD | 400,002 | 09/20/2021 | Quarterly | — | 8,061 | 8,061 | |||||||||||||||||||
3 Month USD LIBOR | Total Return on iShares iBoxx High Yield Corporate Bond ETF | BOA | USD | 270,000 | 09/20/2021 | Quarterly | (61 | ) | 2,880 | 2,941 | ||||||||||||||||||
3 Month USD LIBOR | Total Return on iShares iBoxx High Yield Corporate Bond ETF | BCLY | USD | 2,199,999 | 09/20/2021 | Quarterly | — | 37,196 | 37,196 | |||||||||||||||||||
3 Month USD LIBOR | Total Return on iShares iBoxx High Yield Corporate Bond ETF | MORD | USD | 28,919,999 | 09/20/2021 | Quarterly | — | 516,223 | 516,223 | |||||||||||||||||||
3 Month USD LIBOR | Total Return on iShares iBoxx High Yield Corporate Bond ETF | MSCI | USD | 920,002 | 09/20/2021 | Quarterly | — | 19,325 | 19,325 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (276 | ) | $ | 599,621 | $ | 599,897 | ||||||||||||||||||||||
|
|
|
|
|
|
As of August 31, 2021, 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, 2021. |
(b) | The rate shown represents yield-to-maturity. |
(c) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 42.
20 | See accompanying notes to the financial statements. |
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2021 (Unaudited)
Asset Class Summary† | % of Total Net Assets | |||
Debt Obligations | 62.1 | % | ||
Investment Funds | 27.7 | |||
Short-Term Investments | 23.7 | |||
Loan Assignments | 0.1 | |||
Loan Participations | 0.0 | ^ | ||
Futures Contracts | 0.0 | ^ | ||
Rights/Warrants | 0.0 | ^ | ||
Written Options/Credit Linked Options | 0.0 | ^ | ||
Reverse Repurchase Agreements | | (0.0 | )^ | |
Securities Sold Short | (0.2 | ) | ||
Forward Currency Contracts | | (0.3 | ) | |
Swap Contracts | | (0.6 | ) | |
Other | | (12.5 | ) | |
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary‡ | % of Investments | |||
United States | 82.0 | % | ||
Canada | 19.7 | |||
Switzerland | 8.4 | |||
New Zealand | 6.4 | |||
Other Emerging | 4.8 | * | ||
Sweden | 4.0 | |||
Japan | 0.1 | |||
Australia | (1.3 | ) | ||
Euro Region | (4.5 | )§ | ||
United Kingdom | (19.6 | ) | ||
|
| |||
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. 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
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
| DEBT OBLIGATIONS — 42.9% | |||||||||
Brazil — 0.7% | ||||||||||
Corporate Debt | ||||||||||
400,000 | Fibria Overseas Finance Ltd., 5.50%, due 01/17/27 | 461,820 | ||||||||
300,000 | Suzano Austria GmbH, 6.00%, due 01/15/29 | 357,525 | ||||||||
200,000 | Suzano Austria GmbH, 5.00%, due 01/15/30 | 226,950 | ||||||||
300,000 | Suzano Austria GmbH, 3.75%, due 01/15/31 | 314,494 | ||||||||
|
| |||||||||
Total Brazil | 1,360,789 | |||||||||
|
| |||||||||
Canada — 0.3% | ||||||||||
Corporate Debt | ||||||||||
400,000 | Cenovus Energy, Inc., 5.40%, due 06/15/47 | 492,674 | ||||||||
|
| |||||||||
Chile — 0.5% | ||||||||||
Corporate Debt | ||||||||||
450,000 | Celulosa Arauco y Constitucion SA, 4.50%, due 08/01/24 | 485,392 | ||||||||
400,000 | Enel Americas SA, 4.00%, due 10/25/26 | 437,825 | ||||||||
|
| |||||||||
Total Chile | 923,217 | |||||||||
|
| |||||||||
Germany — 1.2% | ||||||||||
Corporate Debt | ||||||||||
1,250,000 | Deutsche Bank AG, 3.95%, due 02/27/23 | 1,310,506 | ||||||||
400,000 | Deutsche Bank AG, Variable Rate, 3.96%, due 11/26/25 | 434,180 | ||||||||
450,000 | Deutsche Bank AG, Variable Rate, 3.55%, due 09/18/31 | 486,715 | ||||||||
|
| |||||||||
Total Germany | 2,231,401 | |||||||||
|
| |||||||||
Ireland — 0.4% | ||||||||||
Corporate Debt | ||||||||||
200,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.88%, due 01/23/28 | 214,374 | ||||||||
400,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 6.50%, due 07/15/25 | 466,706 | ||||||||
|
| |||||||||
Total Ireland | 681,080 | |||||||||
|
| |||||||||
United Kingdom — 0.3% | ||||||||||
Corporate Debt | ||||||||||
200,000 | AstraZeneca Plc, 2.38%, due 06/12/22 | 203,000 | ||||||||
350,000 | CNH Industrial NV, 4.50%, due 08/15/23 | 375,232 | ||||||||
|
| |||||||||
Total United Kingdom | 578,232 | |||||||||
|
| |||||||||
United States — 39.5% | ||||||||||
Corporate Debt — 25.3% | ||||||||||
400,000 | Abbott Laboratories, 2.55%, due 03/15/22 | 404,997 | ||||||||
200,000 | Abbott Laboratories, 2.95%, due 03/15/25 | 214,258 | ||||||||
400,000 | Ally Financial, Inc., 4.13%, due 02/13/22 | 406,652 | ||||||||
450,000 | Alphabet, Inc., 0.45%, due 08/15/25 | 446,181 | ||||||||
450,000 | Alphabet, Inc., 0.80%, due 08/15/27 | 439,786 | ||||||||
100,000 | American Express Co., 4.05%, due 12/03/42 | 121,518 |
Par Value† | Description | Value ($) | ||||||||
United States — continued | ||||||||||
Corporate Debt — continued | ||||||||||
200,000 | American Financial Group Inc/OH, 4.50%, due 06/15/47 | 248,127 | ||||||||
400,000 | Apple, Inc., 2.50%, due 02/09/22 | 403,351 | ||||||||
450,000 | Apple, Inc., 0.75%, due 05/11/23 | 453,870 | ||||||||
350,000 | Ares Capital Corp., 2.15%, due 07/15/26 | 352,553 | ||||||||
400,000 | Avnet, Inc., 4.63%, due 04/15/26 | 448,642 | ||||||||
150,000 | Bank of America Corp., Variable Rate, 4.44%, due 01/20/48 | 189,396 | ||||||||
300,000 | Bank of America Corp., Variable Rate, 4.33%, due 03/15/50 | 375,005 | ||||||||
400,000 | Bank of America Corp., Variable Rate, 2.83%, due 10/24/51 | 393,753 | ||||||||
400,000 | Block Financial LLC, 3.88%, due 08/15/30 | 436,809 | ||||||||
350,000 | Boeing Co. (The), 5.04%, due 05/01/27 | 403,494 | ||||||||
200,000 | Boeing Co. (The), 5.71%, due 05/01/40 | 259,012 | ||||||||
450,000 | Brighthouse Financial, Inc., 4.70%, due 06/22/47 | 510,097 | ||||||||
400,000 | Caterpillar Financial Services Corp., 1.90%, due 09/06/22 | 406,466 | ||||||||
450,000 | Caterpillar Financial Services Corp., 0.45%, due 09/14/23 | 451,090 | ||||||||
300,000 | Caterpillar, Inc., 4.75%, due 05/15/64 | 437,193 | ||||||||
400,000 | CBRE Services, Inc., 4.88%, due 03/01/26 | 460,377 | ||||||||
250,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 6.83%, due 10/23/55 | 373,245 | ||||||||
150,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 6.48%, due 10/23/45 | 209,176 | ||||||||
350,000 | Cheniere Corpus Christi Holdings LLC, 5.88%, due 03/31/25 | 397,628 | ||||||||
350,000 | Cheniere Corpus Christi Holdings LLC, 7.00%, due 06/30/24 | 396,924 | ||||||||
400,000 | Cheniere Corpus Christi Holdings LLC, 5.13%, due 06/30/27 | 465,201 | ||||||||
200,000 | CNH Industrial Capital LLC, 1.45%, due 07/15/26 | 199,957 | ||||||||
450,000 | CNH Industrial Capital LLC, 1.95%, due 07/02/23 | 460,942 | ||||||||
400,000 | Constellation Brands, Inc., 4.25%, due 05/01/23 | 423,897 | ||||||||
350,000 | Corning, Inc., 5.45%, due 11/15/79 | 496,398 | ||||||||
350,000 | Deere & Co., 3.75%, due 04/15/50 | 428,714 | ||||||||
400,000 | DH Europe Finance II Sarl, 2.60%, due 11/15/29 | 421,187 | ||||||||
400,000 | DH Europe Finance II Sarl, 3.25%, due 11/15/39 | 435,649 | ||||||||
400,000 | DH Europe Finance II Sarl, 3.40%, due 11/15/49 | 445,392 | ||||||||
200,000 | Discover Bank, 2.45%, due 09/12/24 | 208,943 | ||||||||
350,000 | DuPont de Nemours, Inc., 5.32%, due 11/15/38 | 462,626 | ||||||||
300,000 | DuPont de Nemours, Inc., 5.42%, due 11/15/48 | 424,434 | ||||||||
400,000 | DXC Technology Co., 4.13%, due 04/15/25 | 438,818 | ||||||||
400,000 | Energy Transfer LP, 6.50%, due 02/01/42 | 523,391 | ||||||||
400,000 | Energy Transfer LP, 6.25%, due 04/15/49 | 529,545 | ||||||||
400,000 | Estee Lauder Cos, Inc. (The), 2.60%, due 04/15/30 | 425,663 | ||||||||
100,000 | Exelon Generation Co. LLC, 5.60%, due 06/15/42 | 119,183 | ||||||||
250,000 | Expedia Group, Inc., 3.25%, due 02/15/30 | 259,263 | ||||||||
400,000 | Expedia Group, Inc., 5.00%, due 02/15/26 | 452,684 |
22 | See accompanying notes to the financial statements. |
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
United States — continued | ||||||||||
Corporate Debt — continued | ||||||||||
450,000 | Expedia Group, Inc., 3.80%, due 02/15/28 | 486,889 | ||||||||
400,000 | FedEx Corp., 4.10%, due 04/15/43 | 461,277 | ||||||||
350,000 | FedEx Corp., 5.10%, due 01/15/44 | 458,554 | ||||||||
300,000 | FedEx Corp., 5.25%, due 05/15/50 | 413,420 | ||||||||
350,000 | Fortive Corp., 4.30%, due 06/15/46 | 420,990 | ||||||||
400,000 | FS KKR Capital Corp., 3.40%, due 01/15/26 | 417,304 | ||||||||
400,000 | GLP Capital LP / GLP Financing II, Inc., REIT, 4.00%, due 01/15/31 | 433,480 | ||||||||
400,000 | Halliburton Co., 4.85%, due 11/15/35 | 473,358 | ||||||||
300,000 | Halliburton Co., 5.00%, due 11/15/45 | 360,491 | ||||||||
350,000 | HCA, Inc., 4.75%, due 05/01/23 | 373,220 | ||||||||
300,000 | HCA, Inc., 5.50%, due 06/15/47 | 396,320 | ||||||||
350,000 | HCA, Inc., 4.50%, due 02/15/27 | 396,644 | ||||||||
350,000 | Hewlett Packard Enterprise Co., 6.35%, due 10/15/45 | 483,908 | ||||||||
200,000 | Host Hotels & Resorts LP, REIT, 3.38%, due 12/15/29 | 208,165 | ||||||||
450,000 | Host Hotels & Resorts LP, REIT, 3.50%, due 09/15/30 | 474,018 | ||||||||
350,000 | International Paper Co., 4.80%, due 06/15/44 | 451,113 | ||||||||
350,000 | Johnson & Johnson, 3.63%, due 03/03/37 | 411,988 | ||||||||
450,000 | Las Vegas Sands Corp., 3.50%, due 08/18/26 | 472,840 | ||||||||
450,000 | Las Vegas Sands Corp., 3.20%, due 08/08/24 | 467,601 | ||||||||
350,000 | Marathon Petroleum Corp., 6.50%, due 03/01/41 | 487,082 | ||||||||
400,000 | Marathon Petroleum Corp., 4.75%, due 09/15/44 | 471,776 | ||||||||
400,000 | Marriott International Inc/MD, 5.75%, due 05/01/25 | 459,532 | ||||||||
300,000 | Morgan Stanley, Variable Rate, 5.60%, due 03/24/51 | 451,842 | ||||||||
300,000 | Morgan Stanley, 6.38%, due 07/24/42 | 464,176 | ||||||||
350,000 | Mosaic Co. (The), 5.45%, due 11/15/33 | 443,781 | ||||||||
350,000 | Mosaic Co. (The), 5.63%, due 11/15/43 | 465,291 | ||||||||
350,000 | NIKE, Inc., 3.38%, due 03/27/50 | 402,415 | ||||||||
450,000 | Office Properties Income Trust, REIT, 4.50%, due 02/01/25 | 486,551 | ||||||||
400,000 | Old Republic International Corp., 3.85%, due 06/11/51 | 438,569 | ||||||||
250,000 | ONEOK, Inc., 4.95%, due 07/13/47 | 294,265 | ||||||||
700,000 | PacifiCorp, 4.15%, due 02/15/50 | 852,400 | ||||||||
350,000 | Plains All American Pipeline LP / PAA Finance Corp., 4.90%, due 02/15/45 | 378,896 | ||||||||
400,000 | Procter & Gamble Co. (The), 3.10%, due 08/15/23 | 422,588 | ||||||||
400,000 | Sabra Health Care LP, REIT, 5.13%, due 08/15/26 | 451,309 | ||||||||
450,000 | Santander Holdings USA, Inc., 3.24%, due 10/05/26 | 482,478 | ||||||||
450,000 | Santander Holdings USA, Inc., 3.45%, due 06/02/25 | 483,102 | ||||||||
250,000 | Simon Property Group LP, REIT, 4.75%, due 03/15/42 | 313,370 | ||||||||
300,000 | Simon Property Group LP, REIT, 4.25%, due 11/30/46 | 356,826 |
Par Value† | Description | Value ($) | ||||||
United States — continued | ||||||||
Corporate Debt — continued | ||||||||
300,000 | Simon Property Group LP, REIT, 3.80%, due 07/15/50 | 335,924 | ||||||
350,000 | Starbucks Corp., 4.45%, due 08/15/49 | 441,086 | ||||||
400,000 | Starbucks Corp., 3.50%, due 11/15/50 | 438,425 | ||||||
400,000 | Synchrony Financial, 4.38%, due 03/19/24 | 432,957 | ||||||
150,000 | Synchrony Financial, 5.15%, due 03/19/29 | 177,626 | ||||||
400,000 | Synchrony Financial, 2.85%, due 07/25/22 | 408,341 | ||||||
300,000 | Synchrony Financial, 4.25%, due 08/15/24 | 325,603 | ||||||
232,000 | Sysco Corp., 5.95%, due 04/01/30 | 299,022 | ||||||
272,000 | Sysco Corp., 6.60%, due 04/01/50 | 435,323 | ||||||
400,000 | Tapestry, Inc., 4.13%, due 07/15/27 | 437,848 | ||||||
300,000 | Tapestry, Inc., 4.25%, due 04/01/25 | 325,276 | ||||||
400,000 | Thermo Fisher Scientific, Inc., 4.13%, due 03/25/25 | 441,704 | ||||||
350,000 | Thermo Fisher Scientific, Inc., 4.50%, due 03/25/30 | 417,661 | ||||||
350,000 | Union Pacific Corp., 4.10%, due 09/15/67 | 422,150 | ||||||
350,000 | Union Pacific Corp., 144A, 3.80%, due 04/06/71 | 401,137 | ||||||
400,000 | United Parcel Service, Inc., 2.35%, due 05/16/22 | 405,389 | ||||||
300,000 | United Parcel Service, Inc., 5.20%, due 04/01/40 | 409,552 | ||||||
400,000 | United Parcel Service, Inc., 3.90%, due 04/01/25 | 441,615 | ||||||
350,000 | Verizon Communications, Inc., 4.33%, due 09/21/28 | 408,689 | ||||||
400,000 | VMware, Inc., 4.50%, due 05/15/25 | 446,377 | ||||||
400,000 | Walt Disney Co. (The), 1.75%, due 01/13/26 | 413,268 | ||||||
400,000 | Walt Disney Co. (The), 2.20%, due 01/13/28 | 416,744 | ||||||
400,000 | Walt Disney Co. (The), 2.65%, due 01/13/31 | 424,882 | ||||||
350,000 | Wells Fargo & Co., Variable Rate, 4.48%, due 04/04/31 | 414,600 | ||||||
400,000 | Wells Fargo & Co., 3.90%, due 05/01/45 | 477,696 | ||||||
350,000 | Wells Fargo & Co., Variable Rate, 5.01%, due 04/04/51 | 487,358 | ||||||
450,000 | Welltower, Inc., REIT, 2.80%, due 06/01/31 | 470,785 | ||||||
350,000 | Williams Cos, Inc. (The), 5.75%, due 06/24/44 | 467,503 | ||||||
400,000 | Williams Cos, Inc. (The), 5.10%, due 09/15/45 | 499,436 | ||||||
400,000 | Williams Cos, Inc. (The), 5.40%, due 03/04/44 | 509,594 | ||||||
|
| |||||||
46,362,887 | ||||||||
|
| |||||||
U.S. Government Agency — 14.2% | ||||||||
2,700,000 | Federal National Mortgage Association, TBA, 2.50%, due 09/16/36 | 2,823,430 | ||||||
5,600,000 | Federal National Mortgage Association, TBA, 2.00%, due 09/14/51 | 5,676,781 | ||||||
5,800,000 | Federal National Mortgage Association, TBA, 2.50%, due 09/14/51 | 6,023,844 | ||||||
6,200,000 | Federal National Mortgage Association, TBA, 3.00%, due 09/14/51 | 6,485,539 | ||||||
4,800,000 | Government National Mortgage Association, TBA, 3.00%, due 09/21/51 | 5,018,063 | ||||||
|
| |||||||
Total U.S. Government Agency | 26,027,657 | |||||||
|
|
See accompanying notes to the financial statements. | 23 |
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
U.S. Government Agency — continued | ||||||||||
Total United States | 72,390,544 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $77,094,375) | 78,657,937 | |||||||||
|
| |||||||||
INVESTMENT FUNDS — 27.7% | ||||||||||
United States — 27.7% | ||||||||||
USD | 112,100 | iShares Core S&P 500 ETF | 50,860,891 | |||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $42,720,499) | 50,860,891 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 26.0% | ||||||||||
United States — 26.0% | ||||||||||
Affiliated Issuers | ||||||||||
375,284 | GMO Emerging Country Debt Fund, Class VI | 9,843,700 | ||||||||
1,228,449 | GMO Opportunistic Income Fund, Class VI | 31,939,675 | ||||||||
1,169,898 | GMO U.S. Treasury Fund | 5,896,288 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $48,976,330) | 47,679,663 | |||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 17.4% | ||||||||||
Foreign Government Obligations — 13.5% | ||||||||||
JPY | 2,725,000,000 | Japan Treasury Discount Bill, Zero Coupon, due 10/04/21 | 24,771,807 | |||||||
Money Market Funds — 0.6% | ||||||||||
1,146,470 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a) | 1,146,470 | ||||||||
U.S. Government — 3.3% | ||||||||||
3,398,000 | U.S. Treasury Bill, 0.04%, due 12/02/21 (b) (c) | 3,397,631 | ||||||||
2,602,000 | U.S. Treasury Bill, 0.07%, due 08/11/22 (b) | 2,600,260 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $31,689,038) | 31,916,168 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 114.0% (Cost $200,480,244) | 209,114,659 | |||||||||
Other Assets and Liabilities (net) — (14.0%) | (25,705,901 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $ | 183,408,758 | ||||||||
|
|
A summary of outstanding financial instruments at August 31, 2021 is as follows:
Forward Currency Contracts
Settlement | Counter- | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||
11/09/2021 | JPM | AUD | 3,180,000 | USD | 2,344,650 | 17,499 | ||||||||||||
11/09/2021 | MSCI | AUD | 11,761,000 | USD | 8,707,750 | 100,951 | ||||||||||||
09/02/2021 | GS | BRL | 1,308,183 | USD | 250,000 | (2,994 | ) | |||||||||||
09/02/2021 | MSCI | BRL | 10,600,899 | USD | 2,041,402 | (8,745 | ) | |||||||||||
11/03/2021 | JPM | CAD | 3,611,975 | USD | 2,840,000 | (22,616 | ) | |||||||||||
10/13/2021 | MSCI | CHF | 11,395,687 | USD | 12,478,961 | 22,090 | ||||||||||||
11/18/2021 | MSCI | CLP | 137,205,500 | USD | 174,895 | (1,827 | ) | |||||||||||
10/26/2021 | JPM | COP | 355,455,000 | USD | 91,554 | (2,487 | ) | |||||||||||
10/26/2021 | MSCI | COP | 2,467,490,000 | USD | 630,000 | (22,813 | ) | |||||||||||
10/18/2021 | GS | CZK | 2,161,021 | USD | 100,000 | (312 | ) | |||||||||||
10/18/2021 | MSCI | CZK | 1,295,965 | USD | 59,987 | (170 | ) | |||||||||||
09/30/2021 | JPM | EUR | 600,000 | USD | 705,769 | (3,074 | ) | |||||||||||
10/13/2021 | BCLY | GBP | 1,370,000 | USD | 1,910,058 | 26,328 | ||||||||||||
10/13/2021 | JPM | GBP | 580,000 | USD | 803,464 | 5,972 | ||||||||||||
09/14/2021 | BCLY | HUF | 42,356,467 | USD | 148,862 | 5,609 | ||||||||||||
09/14/2021 | CITI | HUF | 70,561,944 | USD | 240,000 | 1,354 | ||||||||||||
09/14/2021 | DB | HUF | 225,908,403 | USD | 750,000 | (14,041 | ) | |||||||||||
09/13/2021 | JPM | INR | 11,243,400 | USD | 150,967 | (2,898 | ) | |||||||||||
09/09/2021 | JPM | JPY | 131,097,194 | USD | 1,190,000 | (1,690 | ) | |||||||||||
10/04/2021 | DB | JPY | 2,725,000,000 | USD | 24,503,135 | (273,039 | ) | |||||||||||
11/12/2021 | CITI | KRW | 385,904,400 | USD | 330,000 | (2,758 | ) | |||||||||||
11/12/2021 | MSCI | KRW | 679,251,287 | USD | 591,868 | 6,163 | ||||||||||||
10/21/2021 | BOA | MXN | 3,692,616 | USD | 180,000 | (2,661 | ) | |||||||||||
10/05/2021 | MSCI | NZD | 15,450,000 | USD | 10,824,038 | (62,726 | ) | |||||||||||
09/16/2021 | JPM | PHP | 21,057,880 | USD | 417,799 | (6,161 | ) | |||||||||||
10/29/2021 | JPM | RON | 4,665,686 | USD | 1,109,636 | (3,863 | ) |
Settlement | Counter- | Currency | Currency | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||
10/15/2021 | JPM | SGD | 555,494 | USD | 410,201 | (2,942 | ) | |||||||||||
10/18/2021 | MSCI | THB | 35,875,608 | USD | 1,097,113 | (15,743 | ) | |||||||||||
09/02/2021 | GS | USD | 254,347 | BRL | 1,308,183 | (1,352 | ) | |||||||||||
09/02/2021 | MSCI | USD | 2,016,983 | BRL | 10,600,899 | 33,164 | ||||||||||||
12/02/2021 | MSCI | USD | 871,132 | BRL | 4,646,358 | 14,859 | ||||||||||||
11/03/2021 | JPM | USD | 11,828,752 | CAD | 14,704,263 | (175,110 | ) | |||||||||||
11/18/2021 | MSCI | USD | 174,015 | CLP | 137,205,500 | 2,708 | ||||||||||||
09/30/2021 | BOA | USD | 576,848 | EUR | 490,000 | 2,041 | ||||||||||||
09/30/2021 | DB | USD | 4,187,914 | EUR | 3,509,000 | (42,366 | ) | |||||||||||
09/30/2021 | JPM | USD | 739,131 | EUR | 630,000 | 5,154 | ||||||||||||
10/13/2021 | JPM | USD | 1,092,958 | GBP | 800,000 | 7,031 | ||||||||||||
10/13/2021 | MSCI | USD | 8,201,695 | GBP | 5,931,000 | (46,655 | ) | |||||||||||
09/14/2021 | CITI | USD | 220,000 | HUF | 65,625,648 | 1,951 | ||||||||||||
09/14/2021 | DB | USD | 190,000 | HUF | 56,714,962 | 1,815 | ||||||||||||
11/08/2021 | CITI | USD | 160,000 | IDR | 2,318,544,000 | 2,039 | ||||||||||||
11/08/2021 | JPM | USD | 937,805 | IDR | 13,546,599,000 | 8,940 | ||||||||||||
10/29/2021 | BOA | USD | 220,000 | ILS | 709,162 | 1,169 | ||||||||||||
09/09/2021 | JPM | USD | 7,929,320 | JPY | 865,251,371 | (64,078 | ) | |||||||||||
10/21/2021 | MSCI | USD | 1,107,792 | MXN | 22,371,409 | (1,157 | ) | |||||||||||
09/14/2021 | BCLY | USD | 1,986,430 | NOK | 16,475,802 | (91,353 | ) | |||||||||||
09/14/2021 | JPM | USD | 4,090,000 | NOK | 35,840,167 | 32,403 | ||||||||||||
10/05/2021 | BCLY | USD | 1,110,535 | NZD | 1,570,000 | (4,242 | ) | |||||||||||
10/05/2021 | JPM | USD | 806,774 | NZD | 1,150,000 | 3,567 | ||||||||||||
11/18/2021 | JPM | USD | 329,319 | PEN | 1,341,450 | (1,751 | ) | |||||||||||
11/18/2021 | MSCI | USD | 150,000 | PEN | 610,500 | (922 | ) | |||||||||||
09/16/2021 | JPM | USD | 230,000 | PHP | 11,657,340 | 4,698 | ||||||||||||
11/18/2021 | MSCI | USD | 67,043 | PLN | 260,607 | 1,002 | ||||||||||||
11/10/2021 | CITI | USD | 1,258,606 | RUB | 93,928,520 | 11,207 | ||||||||||||
11/05/2021 | MSCI | USD | 11,239,683 | SEK | 96,517,182 | (50,008 | ) | |||||||||||
10/15/2021 | BOA | USD | 150,000 | SGD | 203,699 | 1,499 | ||||||||||||
10/15/2021 | DB | USD | 149,469 | SGD | 203,031 | 1,533 |
24 | See accompanying notes to the financial statements. |
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2021 (Unaudited)
Forward Currency Contracts — (continued)
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||
10/15/2021 | GS | USD | 110,000 | SGD | 148,764 | 641 | ||||||||||||||
10/18/2021 | CITI | USD | 450,000 | THB | 15,038,470 | 16,491 | ||||||||||||||
10/25/2021 | BCLY | USD | 710,000 | TRY | 6,480,677 | 48,228 | ||||||||||||||
10/25/2021 | DB | USD | 160,000 | TRY | 1,431,816 | 7,520 | ||||||||||||||
10/29/2021 | JPM | USD | 1,070,554 | ZAR | 16,063,120 | 27,011 | ||||||||||||||
10/29/2021 | CITI | ZAR | 3,676,495 | USD | 240,000 | (11,208 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (521,125 | ) | ||||||||||||||||||
|
|
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||||
Buys | ||||||||||||||
37 | U.S. Long Bond (CBT) | December 2021 | 6,029,844 | (323 | ) | |||||||||
66 | U.S. Treasury Note 10 Yr. (CBT) | December 2021 | 8,807,906 | 4,110 | ||||||||||
110 | U.S. Treasury Note 2 Yr. (CBT) | December 2021 | 24,236,094 | 16,317 | ||||||||||
211 | U.S. Treasury Note 5 Yr. (CBT) | December 2021 | 26,104,656 | 55,903 | ||||||||||
43 | U.S. Treasury Ultra 10 Yr. (CBT) | December 2021 | 6,364,672 | 5,160 | ||||||||||
75 | U.S. Ultra Bond (CBT) | December 2021 | 14,796,094 | (26,853 | ) | |||||||||
|
|
|
| |||||||||||
$ | 86,339,266 | $ | 54,314 | |||||||||||
|
|
|
| |||||||||||
Sales | ||||||||||||||
4 | U.S. Treasury Note 2 Yr. (CBT) | December 2021 | 881,312 | (603 | ) | |||||||||
26 | U.S. Ultra Bond (CBT) | December 2021 | 5,129,313 | 13,256 | ||||||||||
|
|
|
| |||||||||||
$ | 6,010,625 | $ | 12,653 | |||||||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
See accompanying notes to the financial statements. | 25 |
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2021 (Unaudited)
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) ($) | |||||||||||||||||||
(0.67)% | 6 Month CHF LIBOR | CHF | 5,120,000 | 09/15/2023 | Semi-Annually | — | 249 | 249 | ||||||||||||||||||
(0.60)% | 6 Month CHF LIBOR | CHF | 4,130,000 | 09/15/2023 | Semi-Annually | — | (5,592 | ) | (5,592 | ) | ||||||||||||||||
0.29% | 3 Month AUD BBSW | AUD | 7,320,000 | 12/15/2023 | Quarterly | — | 2,872 | 2,872 | ||||||||||||||||||
0.29% | 3 Month AUD BBSW | AUD | 28,060,000 | 12/15/2023 | Quarterly | — | 9,372 | 9,372 | ||||||||||||||||||
0.32% | 3 Month AUD BBSW | AUD | 430,000 | 12/15/2023 | Quarterly | 122 | (20 | ) | (142 | ) | ||||||||||||||||
0.32% | 3 Month AUD BBSW | AUD | 4,630,000 | 12/15/2023 | Quarterly | — | (212 | ) | (212 | ) | ||||||||||||||||
GBP – SONIA – COMPOUND | 0.35% | GBP | 41,990,000 | 12/15/2023 | Annually | (132 | ) | 14,293 | 14,425 | |||||||||||||||||
GBP – SONIA – COMPOUND | 0.32% | GBP | 37,430,000 | 12/15/2023 | Annually | — | (14,921 | ) | (14,921 | ) | ||||||||||||||||
3 Month NZD Bank Bill Rate | 1.36% | NZD | 8,090,000 | 12/15/2023 | Quarterly | — | (11,499 | ) | (11,499 | ) | ||||||||||||||||
3 Month NZD Bank Bill Rate | 1.37% | NZD | 29,770,000 | 12/15/2023 | Quarterly | — | (37,979 | ) | (37,979 | ) | ||||||||||||||||
3 Month NZD Bank Bill Rate | 1.45% | NZD | 4,820,000 | 12/15/2023 | Quarterly | — | (1,371 | ) | (1,371 | ) | ||||||||||||||||
3 Month NZD Bank Bill Rate | 1.45% | NZD | 20,140,000 | 12/15/2023 | Quarterly | (1,079 | ) | (4,333 | ) | (3,254 | ) | |||||||||||||||
0.08% | 3 Month SEK STIBOR | SEK | 38,700,000 | 12/15/2023 | Quarterly | — | 1,198 | 1,198 | ||||||||||||||||||
0.08% | 3 Month SEK STIBOR | SEK | 302,000,000 | 12/15/2023 | Quarterly | — | 10,748 | 10,748 | ||||||||||||||||||
0.08% | 3 Month SEK STIBOR | SEK | 108,700,000 | 12/15/2023 | Quarterly | — | 4,624 | 4,624 | ||||||||||||||||||
0.09% | 3 Month SEK STIBOR | SEK | 5,350,000 | 12/15/2023 | Quarterly | 18 | 66 | 48 | ||||||||||||||||||
0.98% | 3 Month CAD LIBOR | CAD | 34,850,000 | 12/18/2023 | Semi-Annually | 1,154 | (22,054 | ) | (23,208 | ) | ||||||||||||||||
(0.48)% | 6 Month EURIBOR | EUR | 1,570,000 | 12/20/2023 | Semi-Annually | 274 | 734 | 460 | ||||||||||||||||||
0.45% | 3 Month USD LIBOR | USD | 25,530,000 | 12/20/2023 | Quarterly | 3,631 | (21,754 | ) | (25,385 | ) | ||||||||||||||||
6 Month CHF LIBOR | 0.03% | CHF | 830,000 | 09/15/2031 | Semi-Annually | — | 11,551 | 11,551 | ||||||||||||||||||
6 Month CHF LIBOR | (0.04)% | CHF | 1,580,000 | 09/15/2031 | Semi-Annually | — | 8,689 | 8,689 | ||||||||||||||||||
6 Month CHF LIBOR | (0.03)% | CHF | 3,240,000 | 09/15/2031 | Semi-Annually | 1,077 | 22,515 | 21,438 | ||||||||||||||||||
6 Month CHF LIBOR | (0.09)% | CHF | 9,420,000 | 09/15/2031 | Semi-Annually | (3,259 | ) | 3,493 | 6,752 | |||||||||||||||||
6 Month CHF LIBOR | (0.12)% | CHF | 1,020,000 | 09/15/2031 | Semi-Annually | — | (3,375 | ) | (3,375 | ) | ||||||||||||||||
6 Month CHF LIBOR | (0.15)% | CHF | 1,470,000 | 09/15/2031 | Semi-Annually | — | (9,125 | ) | (9,125 | ) | ||||||||||||||||
1.28% | 6 Month AUD BBSW | AUD | 3,910,000 | 12/15/2031 | Semi-Annually | 9,440 | 25,880 | 16,440 | ||||||||||||||||||
6 Month AUD BBSW | 1.28% | AUD | 6,310,000 | 12/15/2031 | Semi-Annually | (17,308 | ) | (43,973 | ) | (26,665 | ) | |||||||||||||||
6 Month AUD BBSW | 1.30% | AUD | 770,000 | 12/15/2031 | Semi-Annually | — | (3,857 | ) | (3,857 | ) | ||||||||||||||||
6 Month AUD BBSW | 1.31% | AUD | 780,000 | 12/15/2031 | Semi-Annually | — | (3,307 | ) | (3,307 | ) | ||||||||||||||||
6 Month AUD BBSW | 1.37% | AUD | 980,000 | 12/15/2031 | Semi-Annually | — | (452 | ) | (452 | ) | ||||||||||||||||
3 Month CAD LIBOR | 1.77% | CAD | 7,790,000 | 12/15/2031 | Semi-Annually | (2,711 | ) | 7,954 | 10,665 | |||||||||||||||||
3 Month CAD LIBOR | 1.69% | CAD | 27,460,000 | 12/15/2031 | Semi-Annually | — | (133,355 | ) | (133,355 | ) | ||||||||||||||||
3 Month CAD LIBOR | 1.71% | CAD | 22,160,000 | 12/15/2031 | Semi-Annually | — | (71,346 | ) | (71,346 | ) | ||||||||||||||||
3 Month CAD LIBOR | 1.73% | CAD | 1,760,000 | 12/15/2031 | Semi-Annually | (1,179 | ) | (3,179 | ) | (2,000 | ) | |||||||||||||||
0.56% | GBP – SONIA – COMPOUND | GBP | 15,140,000 | 12/15/2031 | Annually | — | 198,941 | 198,941 | ||||||||||||||||||
0.56% | GBP – SONIA – COMPOUND | GBP | 7,700,000 | 12/15/2031 | Annually | — | 100,460 | 100,460 | ||||||||||||||||||
0.59% | GBP – SONIA – COMPOUND | GBP | 12,910,000 | 12/15/2031 | Annually | — | 111,100 | 111,100 | ||||||||||||||||||
0.60% | GBP – SONIA – COMPOUND | GBP | 790,000 | 12/15/2031 | Annually | 339 | 6,166 | 5,827 | ||||||||||||||||||
0.64% | GBP – SONIA – COMPOUND | GBP | 9,080,000 | 12/15/2031 | Annually | (2,358 | ) | 19,288 | 21,646 | |||||||||||||||||
0.64% | GBP – SONIA – COMPOUND | GBP | 540,000 | 12/15/2031 | Annually | 870 | 1,334 | 464 | ||||||||||||||||||
1.96% | 3 Month NZD Bank Bill Rate | NZD | 1,740,000 | 12/15/2031 | Quarterly | — | 7,520 | 7,520 | ||||||||||||||||||
1.97% | 3 Month NZD Bank Bill Rate | NZD | 1,040,000 | 12/15/2031 | Quarterly | — | 3,990 | 3,990 | ||||||||||||||||||
2.00% | 3 Month NZD Bank Bill Rate | NZD | 10,640,000 | 12/15/2031 | Quarterly | 8,492 | 16,740 | 8,248 | ||||||||||||||||||
3 Month NZD Bank Bill Rate | 1.96% | NZD | 1,620,000 | 12/15/2031 | Quarterly | 219 | (6,739 | ) | (6,958 | ) | ||||||||||||||||
3 Month NZD Bank Bill Rate | 2.00% | NZD | 850,000 | 12/15/2031 | Quarterly | — | (1,502 | ) | (1,502 | ) | ||||||||||||||||
3 Month NZD Bank Bill Rate | 2.00% | NZD | 16,470,000 | 12/15/2031 | Quarterly | (7,345 | ) | (23,782 | ) | (16,437 | ) | |||||||||||||||
3 Month SEK STIBOR | 0.56% | SEK | 7,900,000 | 12/15/2031 | Quarterly | — | (8,220 | ) | (8,220 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.56% | SEK | 61,870,000 | 12/15/2031 | Quarterly | — | (66,129 | ) | (66,129 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.59% | SEK | 22,150,000 | 12/15/2031 | Quarterly | — | (16,525 | ) | (16,525 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.64% | SEK | 70,470,000 | 12/15/2031 | Quarterly | (453 | ) | (11,866 | ) | (11,413 | ) | |||||||||||||||
3 Month SEK STIBOR | 0.64% | SEK | 2,760,000 | 12/15/2031 | Quarterly | (21 | ) | (465 | ) | (444 | ) | |||||||||||||||
(0.08)% | 6 Month EURIBOR | EUR | 7,980,000 | 12/17/2031 | Semi-Annually | 3,790 | 80,665 | 76,875 |
26 | See accompanying notes to the financial statements. |
GMO Multi-Sector Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2021 (Unaudited)
Fund Pays | Fund Receives | Notional | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||||
6 Month EURIBOR | (0.08)% | EUR | 380,000 | 12/17/2031 | Semi-Annually | (95 | ) | (3,795 | ) | (3,700 | ) | |||||||||||||||||
1.36% | 3 Month USD LIBOR | USD | 440,000 | 12/17/2031 | Quarterly | — | 438 | 438 | ||||||||||||||||||||
3 Month USD LIBOR | 1.42% | USD | 5,740,000 | 12/17/2031 | Quarterly | (620 | ) | 22,836 | 23,456 | |||||||||||||||||||
1.41% | 3 Month USD LIBOR | USD | 13,770,000 | 12/17/2031 | Quarterly | 8,005 | (48,198 | ) | (56,203 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 871 | $ | 114,791 | $ | 113,920 | |||||||||||||||||||||||
|
|
|
|
|
|
OTC Total Return Swaps
Fund Pays | Fund Receives | Counterparty | Notional Amount | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||
Total Return on iShares Core S&P 500 ETF | 1 Month USD LIBOR plus a spread of 0.17% | GS | USD | 22,942,422 | 09/01/2021 | At Maturity | — | (741,240 | ) | (741,240 | ) | |||||||||||||||||
Total Return on iShares Core S&P 500 ETF | 1 Month USD LIBOR plus a spread of 0.05% | GS | USD | 26,424,286 | 09/17/2021 | At Maturity | — | (752,943 | ) | (752,943 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | — | $ | (1,494,183 | ) | $ | (1,494,183 | ) | |||||||||||||||||||||
|
|
|
|
|
|
As of August 31, 2021, 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, 2021. |
(b) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
(c) | The rate 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 42.
See accompanying notes to the financial statements. | 27 |
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2021 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Debt Obligations | 77.2 | % | ||
Short-Term Investments | 20.0 | |||
Mutual Funds | 1.1 | |||
Swap Contracts | 1.0 | |||
Futures Contracts | 0.0 | ^ | ||
Forward Currency Contracts | 0.0 | ^ | ||
Written Options | 0.0 | ^ | ||
Securities Sold Short | (1.0 | ) | ||
Other | 1.7 | |||
|
| |||
100.0 | % | |||
|
| |||
Industry Sector Summary | % of Debt Obligations | |||
Commercial Mortgage-Backed Securities | 17.1 | % | ||
Student Loans – Private | 14.1 | |||
Collateralized Loan Obligations | 13.8 | |||
U.S. Government | 12.1 | |||
Small Balance Commercial Mortgages | 9.4 | |||
Student Loans – Federal Family Education Loan Program | 8.6 | |||
Residential Mortgage-Backed Securities – Other | 7.8 | |||
Residential Mortgage-Backed Securities –Prime | 5.6 | |||
Residential Mortgage-Backed Securities – Subprime | 3.2 | |||
U.S. Government Agency | 2.4 | |||
Collateralized Debt Obligations | 2.0 | |||
Residential Mortgage-Backed Securities – Alt-A | 1.7 | |||
Airlines | 1.1 | |||
CMBS Collateralized Debt Obligations | 0.6 | |||
Residential Mortgage-Backed Securities – Performing Loans | 0.5 | |||
|
| |||
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). |
^ | Rounds to 0.0%. |
28 |
GMO Opportunistic Income Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 77.2% |
| |||||||||
Asset-Backed Securities — 65.2% | ||||||||||
CMBS Collateralized Debt Obligations — 0.5% | ||||||||||
8,586,000 | ARCap Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42 | 3,935,822 | ||||||||
1,121,553 | GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.33%, due 03/21/46 | 1,005,472 | ||||||||
|
| |||||||||
Total CMBS Collateralized Debt Obligations | 4,941,294 | |||||||||
|
| |||||||||
Collateralized Debt Obligations — 1.5% | ||||||||||
4,320,000 | JFIN CLO Ltd., Series 12-1A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 2.48%, due 07/20/28 | 4,320,134 | ||||||||
11,149,005 | OZLM VII Ltd., Series 14-7RA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.01%, 1.14%, due 07/17/29 | 11,153,141 | ||||||||
|
| |||||||||
Total Collateralized Debt Obligations | 15,473,275 | |||||||||
|
| |||||||||
Collateralized Loan Obligations — 10.7% | ||||||||||
1,762,100 | 610 Funding CLO 3 Ltd., Series 18-3A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 1.65%, 1.78%, due 07/17/28 | 1,762,255 | ||||||||
1,905,000 | Apex Credit CLO II Ltd., Series 15-2A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 2.03%, due 10/17/26 | 1,905,114 | ||||||||
5,718,682 | Apex Credit CLO II Ltd., Series 15-2A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.20%, 3.33%, due 10/17/26 | 5,714,856 | ||||||||
3,146,741 | B&M CLO Ltd., Series 14-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.60%, 2.73%, due 04/16/26 | 3,147,037 | ||||||||
4,955,040 | Benefit Street Partners CLO XII Ltd., Series 17-12A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 1.38%, due 10/15/30 | 4,959,980 | ||||||||
801,470 | Catamaran CLO Ltd., Series 13-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 0.98%, due 01/27/28 | 801,544 | ||||||||
6,093,000 | Crestline Denali CLO XVI Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 1.25%, due 01/20/30 | 6,087,595 | ||||||||
1,443,676 | Flagship CLO VIII Ltd., Series 14-8A, Class BRR, 144A, Variable Rate, 3 mo. LIBOR + 1.40%, 1.53%, due 01/16/26 | 1,443,728 | ||||||||
9,210,627 | Gallatin CLO IX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.05%, 1.18%, due 01/21/28 | 9,211,908 | ||||||||
2,305,659 | Gallatin CLO VIII Ltd., Series 17-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.30%, 1.43%, due 07/15/27 | 2,306,572 | ||||||||
1,520,087 | Halcyon Loan Advisors Funding Ltd., Series 14-3A, Class B1R, 144A, Variable Rate, 3 mo. LIBOR + 1.70%, 1.84%, due 10/22/25 | 1,520,297 |
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued |
| |||||||||
Collateralized Loan Obligations — continued | ||||||||||
6,810,000 | Hull Street CLO Ltd., Series 14-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.70%, 2.83%, due 10/18/26 | 6,810,361 | ||||||||
1,327,600 | Jamestown CLO V Ltd., Series 14-5A, Class D, 144A, Variable Rate, 3 mo. LIBOR + 3.75%, 3.88%, due 01/17/27 | 1,328,754 | ||||||||
1,207,453 | Madison Park Funding XII Ltd., Series 14-12A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 2.48%, due 07/20/26 | 1,207,776 | ||||||||
4,161,000 | Man GLG US CLO, Series 18-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.14%, 1.27%, due 04/22/30 | 4,160,987 | ||||||||
3,906,000 | Northwoods Capital XVII Ltd., Series 18-17A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 1.20%, due 04/22/31 | 3,898,207 | ||||||||
1,991,025 | Saranac CLO III Ltd., Series 14-3A, Class ALR, 144A, Variable Rate, 3 mo. LIBOR + 1.60%, 1.73%, due 06/22/30 | 1,991,260 | ||||||||
2,000,000 | Telos CLO Ltd., Series 13-3A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.60%, 2.73%, due 07/17/26 | 2,000,028 | ||||||||
4,335,500 | Telos CLO Ltd., Series 14-5A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.15%, 2.28%, due 04/17/28 | 4,335,578 | ||||||||
7,737,500 | Telos CLO Ltd., Series 14-5A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 1.48%, 1.61%, due 04/17/28 | 7,737,570 | ||||||||
2,010,000 | Trinitas CLO III Ltd., Series 15-3A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 2.80%, 2.93%, due 07/15/27 | 2,006,772 | ||||||||
4,993,200 | Venture 32 CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 1.23%, due 07/18/31 | 4,991,497 | ||||||||
3,352,500 | Venture XVIII CLO Ltd., Series 14-18A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.22%, 1.35%, due 10/15/29 | 3,353,579 | ||||||||
1,141,198 | Voya CLO Ltd., Series 14-3A, Class A2A, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 2.03%, due 07/25/26 | 1,142,359 | ||||||||
4,919,467 | Wellfleet CLO Ltd., Series 15-1A, Class AR3,144A, Variable Rate, 3 mo. LIBOR + 1.28%, 1.41%, due 07/20/29 | 4,919,994 | ||||||||
4,057,600 | WhiteHorse VIII Ltd., Series 14-1A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.45%, 3.58%, due 05/01/26 | 4,053,011 | ||||||||
4,453,900 | Whitehorse XII Ltd., Series 18-12A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 1.38%, due 10/15/31 | 4,452,350 | ||||||||
6,750,000 | Zais CLO 1 Ltd., Series 14-1A, Class A1BR, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 1.63%, due 04/15/28 | 6,751,485 | ||||||||
3,878,665 | Zais CLO 1 Ltd., Series 14-1A, Class A1AR, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 1.28%, due 04/15/28 | 3,879,960 |
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, 2021 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued |
| |||||||||
140,810 | Zais CLO 2 Ltd., Series 14-2A, Class A2R, 144A, Variable Rate, 3 mo. LIBOR + 1.85%, 1.98%, due 07/25/26 | 140,848 | ||||||||
1,772,125 | Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.08%, due 04/15/29 | 1,771,579 | ||||||||
|
| |||||||||
Total Collateralized Loan Obligations | 109,794,841 | |||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities — 13.2% | ||||||||||
10,000,000 | BAMLL Commercial Mortgage Securities Trust, Series 19-BPR, Class ANM, 144A, 3.11%, due 11/05/32 | 10,417,134 | ||||||||
8,448,000 | Barclays Commercial Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.41%, due 08/05/38 | 7,570,336 | ||||||||
1,269,812 | Bear Stearns Commercial Mortgage Securities Trust, Series 06-PW13, Class D, 144A, Variable Rate, 5.75%, due 09/11/41 | 1,276,073 | ||||||||
5,055,490 | BX Commercial Mortgage Trust, Series 19-XL, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.92%, 1.02%, due 10/15/36 | 5,063,603 | ||||||||
8,000,000 | BX Commercial Mortgage Trust, Series 20-VIV4, Class A, 144A, 2.84%, due 03/09/44 | 8,466,574 | ||||||||
8,000,000 | BX Commercial Mortgage Trust, Series 20-VIVA, Class D, 144A, Variable Rate, 3.67%, due 03/11/44 | 8,318,169 | ||||||||
4,305,000 | BX Trust, Series 19-OC11, Class C, 144A, 3.86%, due 12/09/41 | 4,688,622 | ||||||||
5,000,000 | BX Trust, Series 19-OC11, Class E, 144A, Variable Rate, 4.08%, due 12/09/41 | 5,217,488 | ||||||||
151,245 | Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + 0.25%, 0.34%, due 04/15/37 | 151,204 | ||||||||
119,494 | Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37 | 119,876 | ||||||||
6,372,761 | CSAIL Commercial Mortgage Trust, Series 15-C3, Class A4, 3.72%, due 08/15/48 | 6,954,920 | ||||||||
5,783,937 | CSAIL Commercial Mortgage Trust, Series 16-C5, Class A5, 3.76%, due 11/15/48 | 6,345,575 | ||||||||
315,992 | LB Commercial Conduit Mortgage Trust, Series 98-C1, Class K, 144A, 6.30%, due 02/18/30 | 317,107 | ||||||||
1,057,146 | LB-UBS Commercial Mortgage Trust, Series 04-C6, Class K, 144A, Variable Rate, 6.52%, due 08/15/36 | 1,071,284 | ||||||||
1,897,699 | Merrill Lynch Mortgage Investors Trust, Series 98-C1, Class F, Variable Rate, 6.25%, due 11/15/26 | 1,922,928 | ||||||||
4,213,000 | MKT Mortgage Trust, Series 20-525M, Class E, 144A, Variable Rate, 3.04%, due 02/12/40 | 4,141,874 |
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, 3.04%, due 02/12/40 | 2,365,311 | ||||||||
3,710,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 13-C10, Class A4, Variable Rate, 4.22%, due 07/15/46 | 3,899,225 | ||||||||
5,500,000 | SLG Office Trust, Series 21-OVA, Class A, 144A, 2.59%, due 07/15/41 | 5,784,960 | ||||||||
5,268,100 | UBS Commercial Mortgage Trust, Series 18-C9, Class A4, Variable Rate, 4.12%, due 03/15/51 | 5,987,357 | ||||||||
15,433,000 | UBS Commercial Mortgage Trust, Series 18-C12, Class A5, 4.30%, due 08/15/51 | 17,787,276 | ||||||||
7,630,000 | Union Station District of Columbia, Series 2018-USDC, Class E, 144A, Variable Rate, 4.64%, due 05/13/38 | 6,634,750 | ||||||||
2,550,000 | WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 1.82%, due 11/23/43 | 2,520,335 | ||||||||
7,240,654 | WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 2.42%, due 03/23/45 | 7,257,415 | ||||||||
8,563,000 | Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class F, 144A, Variable Rate, 3.67%, due 04/16/35(a) | 8,284,702 | ||||||||
1,717,000 | Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class D, 144A, Variable Rate, 3.67%, due 04/16/35 | 1,728,548 | ||||||||
1,395,022 | Wells Fargo Commercial Mortgage Trust, Series 18-C47, Class A4, 4.44%, due 09/15/61 | 1,637,030 | ||||||||
|
| |||||||||
Total Commercial Mortgage-Backed Securities | 135,929,676 | |||||||||
|
| |||||||||
Residential Mortgage-Backed Securities — Other — 6.0% | ||||||||||
845,612 | ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + 0.28%, 0.36%, due 02/25/36 | 177,725 | ||||||||
17,961,174 | American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. LIBOR + 0.36%, 0.44%, due 02/25/36 | 654,140 | ||||||||
13,743,281 | BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25 | 6,160,254 | ||||||||
4,801,195 | BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29 | 4,603,372 | ||||||||
8,834,023 | BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29 | 1,886,066 | ||||||||
2,928,137 | BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30 | 736,895 |
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, 2021 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Residential Mortgage-Backed Securities — Other — continued | ||||||||||
285,793 | Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + 0.32%, 0.40%, due 02/25/37 | 264,614 | ||||||||
4,093,058 | Conseco Finance Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29 | 4,178,588 | ||||||||
2,709,915 | Conseco Finance Corp., Series 97-5, Class B1, Variable Rate, 6.97%, due 05/15/29 | 2,692,908 | ||||||||
2,908,350 | Conseco Finance Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30 | 2,872,222 | ||||||||
5,185,718 | Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33 | 5,154,481 | ||||||||
1,136,582 | Corevest American Finance Trust, Series 21-1, Class A, 144A, 1.57%, due 04/15/53 | 1,141,991 | ||||||||
950,704 | GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 0.58%, due 10/25/34 | 909,314 | ||||||||
4,645,613 | GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37 | 4,571,989 | ||||||||
4,360,392 | Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.61%, due 09/25/35 | 429,622 | ||||||||
28,777,084 | Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + 0.26%, 0.34%, due 06/25/36 | 918,507 | ||||||||
10,569,499 | Home Loan Trust, Series 06-HI4, Class A4, Step Up, 5.72%, due 09/25/36 | 5,844,172 | ||||||||
10,642,411 | Home Loan Trust, Series 07-HI1, Class A4, Step Up, 6.43%, due 03/25/37 | 3,544,980 | ||||||||
3,814,371 | Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + 0.32%, 0.40%, due 03/25/36 | 434,910 | ||||||||
329,170 | Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.34%, due 02/26/34 | 285,654 | ||||||||
13,799,464 | New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. LIBOR + 0.20%, 0.28%, due 03/25/36 | 648,179 | ||||||||
7,871,497 | New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. LIBOR + 0.34%, 0.42%, due 03/25/36 | 372,542 | ||||||||
20,986,277 | New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. LIBOR + 0.40%, 0.48%, due 03/25/36 | 993,029 | ||||||||
339,052 | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. LIBOR + 0.90%, 0.98%, due 08/25/35 | 638,899 |
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Residential Mortgage-Backed Securities — Other — continued | ||||||||||
1,565,643 | Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28 | 1,599,707 | ||||||||
1,564,780 | Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29 | 1,639,381 | ||||||||
4,228,275 | Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30 | 3,349,980 | ||||||||
10,304,352 | Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30 | 3,822,408 | ||||||||
1,037,783 | Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31 | 794,875 | ||||||||
634,865 | Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31 | 647,767 | ||||||||
|
| |||||||||
Total Residential Mortgage-Backed Securities — Other | 61,969,171 | |||||||||
|
| |||||||||
Residential Mortgage-Backed Securities — Performing Loans — 0.4% | ||||||||||
4,299,597 | Ajax Mortgage Loan Trust, Series 21-A, Class A1, 144A, Variable Rate, 1.07%, due 09/25/65 | 4,300,236 | ||||||||
|
| |||||||||
Residential Mortgage-Backed Securities — Prime — 4.3% | ||||||||||
8,522,165 | American Home Mortgage Assets Trust, Series 06-4, Class 1A12, Variable Rate, 1 mo. LIBOR + 0.21%, 0.29%, due 10/25/46 | 5,485,341 | ||||||||
718,190 | Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, U.S. Treasury Yield 1 Year CMT + 2.30%, 2.38%, due 10/25/35 | 733,596 | ||||||||
4,544,892 | CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37 | 3,609,847 | ||||||||
1,681,119 | IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.04%, due 12/25/36 | 1,596,312 | ||||||||
1,230,612 | IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.01%, due 03/25/37 | 1,159,139 | ||||||||
9,144,975 | IndyMac INDX Mortgage Loan Trust, Series 06-AR2, Class 1A1A, Variable Rate, 1 mo. LIBOR + 0.44%, 0.52%, due 04/25/46 | 8,745,974 | ||||||||
1,729,863 | Morgan Stanley Mortgage Loan Trust, Series 06-2, Class 6A, 6.50%, due 02/25/36 | 1,217,369 | ||||||||
463,705 | RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 3.10%, due 09/25/35 | 450,746 | ||||||||
6,065,112 | Structured Adjustable Rate Mortgage Loan Trust, Series 05-9, Class 2A2A, Variable Rate, 12 MTA + 1.40%, 1.50%, due 05/25/35 | 5,090,895 |
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, 2021 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Residential Mortgage-Backed Securities — Prime — continued | ||||||||||
965,270 | WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 2.91%, due 09/25/35 | 972,897 | ||||||||
1,296,399 | WaMu Mortgage Pass-Through Certificates, Series 06-AR19, Class 2A, Variable Rate, COFI + 1.25%, 1.53%, due 01/25/47 | 1,289,310 | ||||||||
2,778,060 | Washington Mutual Mortgage Pass-Through Certificates, Series 05-4, Class CB3, Variable Rate, 1 mo. LIBOR + 0.45%, 0.53%, due 06/25/35 | 2,343,436 | ||||||||
11,660,833 | Washington Mutual Mortgage Pass-Through Certificates, Series 07-5, Class A6, 6.00%, due 06/25/37 | 11,957,840 | ||||||||
|
| |||||||||
Total Residential Mortgage-Backed Securities — Prime | 44,652,702 | |||||||||
|
| |||||||||
Residential Mortgage-Backed Securities — Subprime — 2.4% | ||||||||||
1,728,763 | Asset Backed Funding Certificates, Series 05-AQ1, Class A5, Step Up, 4.56%, due 06/25/35 | 1,807,797 | ||||||||
2,003,526 | BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 0.25%, due 05/26/37 | 1,950,593 | ||||||||
4,012,257 | Bear Stearns Asset Backed Securities I Trust, Series 07-AQ1, Class A1, Variable Rate, 1 mo. LIBOR + 0.11%, 0.20%, due 04/25/31(a)(b) | 4,012,257 | ||||||||
3,038,888 | Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M4, Variable Rate, 1 mo. LIBOR + 1.88%, 1.96%, due 08/25/35 | 3,052,928 | ||||||||
9,026,544 | Bravo Mortgage Asset Trust, Series 06-1A, Class M1,144A, Variable Rate, 1 mo. LIBOR + 0.40%, 0.48%, due 07/25/36 | 8,722,878 | ||||||||
897,586 | Carrington Mortgage Loan Trust, Series 07-RFC1, Class A3, Variable Rate, 1 mo. LIBOR + 0.14%, 0.22%, due 12/25/36 | 872,876 | ||||||||
1,289,020 | CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 2.68%, due 11/20/34 | 1,332,174 | ||||||||
3,591,623 | First Franklin Mortgage Loan Trust, Series 06-FF12, Class A1, Variable Rate, 1 mo. LIBOR + 0.11%, 0.19%, due 09/25/36 | 3,409,693 | ||||||||
|
| |||||||||
Total Residential Mortgage-Backed Securities — Subprime | 25,161,196 | |||||||||
|
| |||||||||
Residential Mortgage-Backed Securities — Alt-A — 1.3% | ||||||||||
521,256 | Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34 | 544,902 | ||||||||
1,820,082 | Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.70%, 0.78%, due 05/25/36 | 838,936 |
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Residential Mortgage-Backed Securities — Alt-A — continued | ||||||||||
1,824,795 | Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + 0.70%, 0.78%, due 10/25/36 | 779,674 | ||||||||
| 2,108,743 | Bear Stearns ALT-A Trust, Series 04-11, Class 1M1, Variable Rate, 1 mo. LIBOR + 0.90%, 0.98%, due 11/25/34 | 2,109,988 | |||||||
2,539,479 | Bear Stearns Asset Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34 | 2,567,583 | ||||||||
4,317,875 | Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 2.75%, due 07/25/36 | 2,923,611 | ||||||||
359,690 | JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37 | 364,281 | ||||||||
3,092,884 | RBSSP Resecuritization Trust, Series 09-6, Class 12A4, 144A, Variable Rate, 5.50%, due 05/26/35 | 3,098,809 | ||||||||
|
| |||||||||
Total Residential Mortgage-Backed Securities — Alt-A | 13,227,784 | |||||||||
|
| |||||||||
Small Balance Commercial Mortgages — 7.3% | ||||||||||
2,366,076 | Bayview Commercial Asset Trust, Series 06-1A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.54%, 0.62%, due 04/25/36 | 2,247,452 | ||||||||
248,423 | Bayview Commercial Asset Trust, Series 04-1, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.84%, 0.92%, due 04/25/34 | 248,423 | ||||||||
224,984 | Bayview Commercial Asset Trust, Series 04-1, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 1.80%, 1.88%, due 04/25/34 | 224,984 | ||||||||
250,043 | Bayview Commercial Asset Trust, Series 04-1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 2.85%, 2.93%, due 04/25/34 | 250,043 | ||||||||
4,026,261 | Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.47%, 0.55%, due 08/25/35 | 3,862,132 | ||||||||
2,020,517 | Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.59%, 0.67%, due 01/25/36 | 1,949,369 | ||||||||
1,043,220 | Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.57%, 0.65%, due 04/25/36 | 973,024 | ||||||||
1,567,080 | Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.35%, 0.43%, due 07/25/36 | 1,504,821 |
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, 2021 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Small Balance Commercial Mortgages — continued | ||||||||||
3,205,482 | Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.42%, 0.50%, due 07/25/36 | 3,087,059 | ||||||||
3,815,237 | Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.33%, due 10/25/36 | 3,671,710 | ||||||||
11,529,529 | Bayview Commercial Asset Trust, Series 06-SP2, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.28%, 0.36%, due 01/25/37 | 11,203,339 | ||||||||
2,170,148 | Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.22%, 0.30%, due 03/25/37 | 2,110,328 | ||||||||
1,749,264 | Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.24%, 0.32%, due 07/25/37 | 1,690,136 | ||||||||
6,907,849 | Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 0.35%, due 07/25/37 | 6,625,891 | ||||||||
308,885 | Bayview Commercial Asset Trust, Series 07-6A, Class A3B, 144A, Variable Rate, 1 mo. LIBOR + 0.85%, 0.93%, due 12/25/37 | 308,780 | ||||||||
2,643,469 | Bayview Commercial Asset Trust, Series 07-6A, Class A3A, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 1.33%, due 12/25/37 | 2,645,056 | ||||||||
97,355,157 | FRESB Mortgage Trust, Series 20-SB76, Class X1, IO, Variable Rate, 1.31%, due 05/25/30 | 6,878,278 | ||||||||
41,898,840 | FRESB Mortgage Trust, Series 20-SB77, Class X1, IO, Variable Rate, 1.09%, due 06/25/40 | 2,468,567 | ||||||||
2,467,604 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.08%, due 09/25/30 | 2,439,027 | ||||||||
2,365,739 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.53%, 0.61%, due 04/25/31 | 2,358,098 | ||||||||
2,022,599 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.08%, due 04/25/31 | 1,990,063 | ||||||||
446,838 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-2A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 0.39%, 0.47%, due 09/25/36 | 445,355 | ||||||||
3,988,136 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.40%, 0.48%, due 06/25/37 | 3,908,856 |
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Small Balance Commercial Mortgages — continued | ||||||||||
1,728,620 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class AJ, 144A, Variable Rate, 4.29%, due 10/25/37 | 1,735,417 | ||||||||
3,300,000 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class M1, 144A, Variable Rate, 4.29%, due 10/25/37 | 3,365,667 | ||||||||
1,415,320 | Lehman XS Trust, Series 07-15N, Class 2A1, Variable Rate, 1 mo. LIBOR + 0.25%, 0.33%, due 08/25/37 | 1,377,176 | ||||||||
1,846,302 | WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class D, 144A, Variable Rate, 2.20%, due 12/27/49 | 1,855,717 | ||||||||
3,176,664 | WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 2.35%, due 12/27/49 | 3,166,122 | ||||||||
|
| |||||||||
Total Small Balance Commercial Mortgages | 74,590,890 | |||||||||
|
| |||||||||
Student Loans — Federal Family Education Loan Program — 6.7% | ||||||||||
| 3,678,471 | AccessLex Institute, Series 04-2, Class A3, Variable Rate, 3 mo. LIBOR + 0.19%, 0.32%, due 10/25/24 | 3,624,656 | |||||||
7,125,964 | AccessLex Institute, Series 04-2, Class B, Variable Rate, 3 mo. LIBOR + 0.70%, 0.83%, due 01/25/43 | 6,774,583 | ||||||||
5,777,068 | AccessLex Institute, Series 07-1, Class A4, Variable Rate, 3 mo. LIBOR + 0.06%, 0.19%, due 01/25/23 | 5,727,000 | ||||||||
3,646,650 | Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + 0.32%, 0.47%, due 03/28/35(c) | 3,239,455 | ||||||||
9,344,631 | SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 3 mo. LIBOR + 0.90%, 1.02%, due 06/15/21 | 9,207,144 | ||||||||
10,738,136 | SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 3 mo. LIBOR + 1.65%, 1.78%, due 07/25/22 | 10,835,168 | ||||||||
8,162,691 | SLM Student Loan Trust, Series 08-5, Class A4, Variable Rate, 3 mo. LIBOR + 1.70%, 1.83%, due 07/25/23 | 8,240,632 | ||||||||
20,643,556 | SLM Student Loan Trust, Series 08-9, Class A, Variable Rate, 3 mo. LIBOR + 1.50%, 1.63%, due 04/25/23 | 20,788,699 | ||||||||
|
| |||||||||
Total Student Loans — Federal Family Education Loan Program | 68,437,337 | |||||||||
|
| |||||||||
Student Loans — Private — 10.9% | ||||||||||
2,843,170 | Access Group Inc, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.80%, 0.93%, due 07/25/34 | 2,763,006 | ||||||||
8,561,112 | KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.48%, 0.63%, due 12/27/41 | 8,510,749 | ||||||||
1,790,530 | KeyCorp Student Loan Trust, Series 04-A, Class 2C, Variable Rate, 3 mo. LIBOR + 0.80%, 0.93%, due 04/28/42 | 1,784,264 |
See accompanying notes to the financial statements. | 33 |
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
5,622,500 | KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. LIBOR + 1.25%, 1.38%, due 07/28/42 | 5,262,513 | ||||||||
792,311 | L2L Education Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 0.50%, 0.60%, due 10/15/28 | 785,139 | ||||||||
8,775,000 | National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 7-DayAuc + 0.00%, due 03/31/38 (a) | 2,599,594 | ||||||||
7,625,000 | National Collegiate II Commutation Trust, Series 07-4, Class A3R7, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (a) | 2,201,719 | ||||||||
3,275,000 | National Collegiate II Commutation Trust, Series 07-4, Class A3R6, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (a) | 945,656 | ||||||||
6,569,050 | National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 0.39%, due 05/25/32 | 6,390,252 | ||||||||
4,477,961 | National Collegiate Student Loan Trust, Series 07-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.29%, 0.37%, due 01/25/33 | 4,258,442 | ||||||||
11,253,962 | National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. LIBOR + 0.35%, 0.43%, due 03/25/33 | 10,937,010 | ||||||||
6,887,742 | National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. LIBOR + 0.37%, 0.45%, due 06/25/33 | 6,613,800 | ||||||||
16,648,340 | National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 0.39%, due 10/25/33 | 15,816,888 | ||||||||
3,809,000 | National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. LIBOR + 0.54%, 0.62%, due 12/26/33 | 3,697,378 | ||||||||
25,000 | National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (c) | 20,000 | ||||||||
75,000 | National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (c) | 60,000 | ||||||||
4,714,933 | Nelnet Student Loan Trust, Series 21-A, Class APT1, 144A, 1.36%, due 04/20/62 | 4,729,552 | ||||||||
5,023,000 | SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 06/15/32 (a) | 5,023,000 | ||||||||
2,550,000 | SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 09/15/32 (a) | 2,550,000 | ||||||||
5,400,350 | SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. LIBOR + 1.60%, 1.72%, due 09/15/32 | 1,980,823 | ||||||||
9,080,000 | SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.43%, 0.55%, due 09/15/33 | 8,958,184 | ||||||||
562,111 | SLM Private Credit Student Loan Trust, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.28%, 0.40%, due 12/15/38 | 561,662 |
Par Value† | Description | Value ($) | ||||||||
Asset-Backed Securities — continued | ||||||||||
Student Loans — Private — continued | ||||||||||
3,709,992 | SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + 0.29%, 0.41%, due 06/15/39 | 3,638,102 | ||||||||
2,692,870 | SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.33%, 0.45%, due 06/15/39 | 2,642,801 | ||||||||
2,672,291 | SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. LIBOR + 0.39%, 0.51%, due 12/15/39 | 2,371,513 | ||||||||
6,989,400 | Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.05%, 1.13%, due 01/25/46 | 6,879,750 | ||||||||
|
| |||||||||
Total Student Loans — Private | 111,981,797 | |||||||||
|
| |||||||||
Total Asset-Backed Securities | 670,460,199 | |||||||||
|
| |||||||||
Corporate Debt — 0.9% | ||||||||||
Airlines — 0.9% | ||||||||||
2,734,375 | American Airlines Class AA Pass-Through Certificates, 3.65%, due 02/15/29 | 2,843,312 | ||||||||
1,557,998 | American Airlines Class AA Pass-Through Certificates, 3.35%, due 04/15/31 | 1,586,417 | ||||||||
3,958,974 | Hawaiian Airlines Pass-Through Certificates – Class A, 144A, 7.38%, due 09/15/27 | 4,485,902 | ||||||||
|
| |||||||||
Total Airlines | 8,915,631 | |||||||||
|
| |||||||||
Total Corporate Debt | 8,915,631 | |||||||||
|
| |||||||||
U.S. Government — 9.3% | ||||||||||
30,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.03%, 0.08%, due 04/30/23 (d) | 30,002,109 | ||||||||
30,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.10%, due 10/31/22 | 30,017,073 | ||||||||
36,000,000 | U.S. Treasury Note, 0.13%, due 11/30/22 | 36,008,437 | ||||||||
|
| |||||||||
Total U.S. Government | 96,027,619 | |||||||||
|
| |||||||||
U.S. Government Agency — 1.8% | ||||||||||
3,456,250 | Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR — 0.02%, 0.14%, due 02/01/25 (a) | 3,375,523 | ||||||||
4,125,000 | Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + 0.15%, 0.30%, due 10/29/26 (a) | 4,009,970 | ||||||||
1,410,000 | Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR + 0.00%, 0.15%, due 07/01/23 (a) | 1,391,533 | ||||||||
8,182,000 | Federal National Mortgage Association, TBA, 2.00%, due 01/02/51 | 8,294,183 | ||||||||
1,818,000 | Federal National Mortgage Association, TBA, 2.50%, due 01/02/51 | 1,888,163 | ||||||||
|
| |||||||||
Total U.S. Government Agency | 18,959,372 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $822,311,206) | 794,362,821 | |||||||||
|
|
34 | See accompanying notes to the financial statements. |
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Par Value† / Shares | Description | Value ($) | ||||||||
MUTUAL FUNDS — 1.1% |
| |||||||||
United States — 1.1% | ||||||||||
Affiliated Issuers — 1.1% | ||||||||||
2,183,242 | GMO U.S. Treasury Fund | 11,003,541 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $11,003,541) | 11,003,541 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 20.0% | ||||||||||
Money Market Funds — 0.6% | ||||||||||
6,380,540 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (e) | 6,380,540 | ||||||||
|
| |||||||||
U.S. Government — 19.4% | ||||||||||
97,000,000 | U.S. Treasury Bill, 0.04%, due 01/27/22 (f) | 96,983,052 | ||||||||
7,000,000 | U.S. Treasury Bill, 0.06%, due 02/24/22 (f) | 6,998,118 | ||||||||
7,000,000 | U.S. Treasury Bill, 0.05%, due 04/21/22 (f) | 6,997,857 | ||||||||
19,300,000 | U.S. Treasury Bill, 0.06%, due 06/16/22 (f) | 19,290,273 | ||||||||
12,600,000 | U.S. Treasury Bill, 0.06%, due 07/14/22 (f) | 12,593,032 | ||||||||
56,500,000 | U.S. Treasury Bill, 0.07%, due 08/11/22 (f) | 56,462,208 | ||||||||
|
| |||||||||
Total U.S. Government | 199,324,540 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $205,695,024) | 205,705,080 | |||||||||
|
|
Par Value† / Shares | Description | Value ($) | ||||||||
TOTAL INVESTMENTS — 98.3% (Cost $1,039,009,771) | 1,011,071,442 | |||||||||
|
| |||||||||
SECURITIES SOLD SHORT — (1.0)% |
| |||||||||
DEBT OBLIGATIONS — (1.0)% | ||||||||||
U.S. Government Agency — (1.0)% | ||||||||||
(10,000,000 | ) | Federal National Mortgage Association, TBA, 3.00%, due 01/05/49 | (10,462,109 | ) | ||||||
|
| |||||||||
TOTAL SECURITIES SOLD SHORT (PROCEEDS $10,464,063) | (10,462,109 | ) | ||||||||
|
| |||||||||
Other Assets and Liabilities (net) — 2.7% | 28,300,691 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $1,028,910,024 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2021 is as follows:
Forward Currency Contracts
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||
10/21/2021 | MSCI | EUR | 2,663,281 | USD | 3,144,593 | (3,089 | ) | |||||||||||||
10/21/2021 | MSCI | USD | 2,834,355 | EUR | 2,400,528 | 2,784 | ||||||||||||||
|
| |||||||||||||||||||
$ | (305 | ) | ||||||||||||||||||
|
|
Futures Contracts
Number of Contracts+ | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||||
Buys | ||||||||||||||
8 | U.S. Treasury Note 2 Yr. (CBT) | December 2021 | 1,762,625 | 1,204 | ||||||||||
215 | U.S. Treasury Note 5 Yr. (CBT) | December 2021 | 26,599,531 | 53,570 | ||||||||||
128 | U.S. Treasury Note 10 Yr. (CBT) | December 2021 | 17,082,000 | 31,816 |
Futures Contracts — (continued)
Number of Contracts+ | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||||
Buys (continued) | ||||||||||||||
82 | U.S. Treasury Ultra 10 Yr. (CBT) | December 2021 | 12,137,281 | 7,934 | ||||||||||
|
|
|
| |||||||||||
$ | 57,581,437 | $ | 94,524 | |||||||||||
|
|
|
| |||||||||||
Sales | ||||||||||||||
29 | U.S. Treasury Note 2 Yr. (CBT) | December 2021 | 6,389,516 | (4,370 | ) | |||||||||
39 | U.S. Treasury Note 5 Yr. (CBT) | December 2021 | 4,825,031 | (6,940 | ) | |||||||||
15 | U.S. Treasury Ultra 10 Yr. (CBT) | December 2021 | 2,220,234 | 106 | ||||||||||
2 | U.S. Ultra Bond (CBT) | December 2021 | 394,562 | 1,019 | ||||||||||
|
|
|
| |||||||||||
$ | 13,829,343 | $ | (10,185 | ) | ||||||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
See accompanying notes to the financial statements. | 35 |
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2021 (Unaudited)
Written Options
Description | Counterparty | Exercise Rate | Expiration | Principal/ Notional Amount | Floating Rate Index | Pay/Receive | Value | |||||||||||||
Written Options on Credit Default Swaps – Puts | ||||||||||||||||||||
CDX.NA.HYS.36.V1-5Y | GS | 106.00 | % | 09/15/21 USD | (15,902,400 | ) | Fixed Spread | Pay | $(6,205) | |||||||||||
| ||||||||||||||||||||
TOTAL WRITTEN OPTIONS ON CREDIT DEFAULT SWAPS — PUTS |
Swap Contracts
Centrally Cleared Credit Default Swaps
Reference Entity | Notional Amount | Annual Premium | Implied Credit Spread (1) | Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||||||||||
Buy Protection^: | ||||||||||||||||||||||||||||||||||||
ITRAXX.XOVERS.30.V3-5Y | EUR | 21,745,573 | 5.00% | 1.41% | N/A | 12/20/2023 | Quarterly | (2,273,176 | ) | (2,106,775 | ) | 166,401 | ||||||||||||||||||||||||
CDX.NA.IGS.33.V1-5Y | USD | 49,070,000 | 1.00% | 0.41% | N/A | 12/20/2024 | Quarterly | (417,805 | ) | (951,026 | ) | (533,221 | ) | |||||||||||||||||||||||
ITRAXX.EUROPES.32.V1-5Y | EUR | 29,470,000 | 1.00% | 0.33% | N/A | 12/20/2024 | Quarterly | (859,948 | ) | (776,141 | ) | 83,807 | ||||||||||||||||||||||||
ITRAXX.EUROPES.34.V1-5Y | EUR | 20,633,760 | 1.00% | 0.38% | N/A | 12/20/2025 | Quarterly | (648,690 | ) | (658,443 | ) | (9,753 | ) | |||||||||||||||||||||||
CDX.NA.HYS.36.V1-5Y | USD | 15,902,400 | 5.00% | 2.76% | N/A | 06/20/2026 | Quarterly | (1,439,962 | ) | (1,560,057 | ) | (120,095 | ) | |||||||||||||||||||||||
CDX.NA.IGS.36.V1-5Y | USD | 131,070,000 | 1.00% | 0.46% | N/A | 06/20/2026 | Quarterly | (3,095,309 | ) | (3,323,673 | ) | (228,364 | ) | |||||||||||||||||||||||
Sell Protection^: | ||||||||||||||||||||||||||||||||||||
CDX.NA.IGS.28.V1-5Y | USD | 17,200,000 | 1.00% | 0.23% | | 17,200,000 USD | | 06/20/2022 | Quarterly | 300,982 | 107,638 | (193,344 | ) | |||||||||||||||||||||||
CDX.NA.HYS.33.V3-5Y | USD | 2,300,650 | 5.00% | 2.07% | | 2,300,650 USD | | 12/20/2024 | Quarterly | 78,900 | 213,337 | 134,437 | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
$ | (8,355,008 | ) | $ | (9,055,140 | ) | $ | (700,132 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
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.HYS.27.V2-5Y | GS | USD | 4,458,000 | 5.00% | 0.07% | N/A | 12/20/2021 | Quarterly | 11,145 | (67,723 | ) | (78,868 | ) | |||||||||||||||||||||||||||
CDX.NA.HYS.27.V2-5Y | JPM | USD | 4,300,000 | 5.00% | 0.07% | N/A | 12/20/2021 | Quarterly | (11,825 | ) | (65,323 | ) | (53,498 | ) | ||||||||||||||||||||||||||
D.R. Horton, Inc. | BCLY | USD | 17,200,000 | 1.00% | 0.10% | N/A | 06/20/2022 | Quarterly | (165,250 | ) | (125,656 | ) | 39,594 | |||||||||||||||||||||||||||
CDX.NA.HYS.29.V1-5Y | JPM | USD | 6,425,250 | 5.00% | 1.59% | N/A | 12/20/2022 | Quarterly | (282,711 | ) | (287,694 | ) | (4,983 | ) | ||||||||||||||||||||||||||
CDX.NA.HYS.29.V1-5Y | MORD | USD | 3,450,800 | 5.00% | 1.59% | N/A | 12/20/2022 | Quarterly | (188,414 | ) | (154,511 | ) | 33,903 | |||||||||||||||||||||||||||
CDX.NA.HYS.29.V1-5Y | JPM | USD | 870,000 | 5.00% | 1.59% | N/A | 12/20/2022 | Quarterly | (51,765 | ) | (38,955 | ) | 12,810 | |||||||||||||||||||||||||||
Navient Corp. | GS | USD | 2,700,000 | 5.00% | 1.09% | N/A | 12/20/2022 | Quarterly | (277,471 | ) | (138,250 | ) | 139,221 | |||||||||||||||||||||||||||
Navient Corp. | BCLY | USD | 3,435,200 | 5.00% | 1.09% | N/A | 12/20/2022 | Quarterly | (264,646 | ) | (175,895 | ) | 88,751 | |||||||||||||||||||||||||||
Navient Corp. | BCLY | USD | 2,082,800 | 5.00% | 1.09% | N/A | 12/20/2022 | Quarterly | (160,628 | ) | (106,648 | ) | 53,980 | |||||||||||||||||||||||||||
Navient Corp. | GS | USD | 4,050,000 | 5.00% | 1.09% | N/A | 12/20/2022 | Quarterly | (421,122 | ) | (207,376 | ) | 213,746 | |||||||||||||||||||||||||||
CDX.NA.HYS.31.V14-5Y | CITI | USD | 3,941,000 | 5.00% | 3.50% | N/A | 12/20/2023 | Quarterly | (15,370 | ) | (134,432 | ) | (119,062 | ) | ||||||||||||||||||||||||||
ITRAXX.EUROPES.32.V1-5Y | BOA | EUR | 10,000,000 | 1.00% | 1.14% | N/A | 12/20/2024 | Quarterly | 748,704 | 54,969 | (693,735 | ) | ||||||||||||||||||||||||||||
ITRAXX.EUROPES.32.V1-5Y | GS | EUR | 2,000,000 | 1.00% | 1.14% | N/A | 12/20/2024 | Quarterly | 28,258 | 10,994 | (17,264 | ) | ||||||||||||||||||||||||||||
CMBX.NA.A.7 | GS | USD | 2,840,000 | 2.00% | 4.57% | N/A | 01/17/2047 | Monthly | 156,357 | 147,583 | (8,774 | ) | ||||||||||||||||||||||||||||
CMBX.NA.A.7 | CGMI | USD | 1,420,000 | 2.00% | 4.57% | N/A | 01/17/2047 | Monthly | 89,177 | 73,792 | (15,385 | ) | ||||||||||||||||||||||||||||
CMBX.NA.AA.7 | GS | USD | 5,000,000 | 1.50% | 2.16% | N/A | 01/17/2047 | Monthly | 7,975 | 68,580 | 60,605 |
36 | See accompanying notes to the financial statements. |
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2021 (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 | MORD | USD | 13,270,000 | 1.00% | 0.80% | N/A | 01/17/2047 | Monthly | 205,783 | (55,122 | ) | (260,905 | ) | |||||||||||||||||||||||||
CMBX.NA.AS.7 | DB | USD | 16,677,794 | 1.00% | 0.80% | N/A | 01/17/2047 | Monthly | 197,705 | (69,278 | ) | (266,983 | ) | |||||||||||||||||||||||||
CMBX.NA.AS.7 | BOA | USD | 4,505,000 | 1.00% | 0.80% | N/A | 01/17/2047 | Monthly | 47,352 | (18,713 | ) | (66,065 | ) | |||||||||||||||||||||||||
CMBX.NA.AS.7 | DB | USD | 7,608,000 | 1.00% | 0.80% | N/A | 01/17/2047 | Monthly | (119,899 | ) | (31,603 | ) | 88,296 | |||||||||||||||||||||||||
CMBX.NA.AS.7 | GS | USD | 4,400,000 | 1.00% | 0.80% | N/A | 01/17/2047 | Monthly | 112,812 | (18,277 | ) | (131,089 | ) | |||||||||||||||||||||||||
CMBX.NA.AA.11 | CGMI | USD | 4,626,000 | 1.50% | 1.14% | N/A | 11/18/2054 | Monthly | (63,740 | ) | (96,602 | ) | (32,862 | ) | ||||||||||||||||||||||||
CMBX.NA.AA.11 | MORD | USD | 4,624,500 | 1.50% | 1.14% | N/A | 11/18/2054 | Monthly | (61,372 | ) | (96,571 | ) | (35,199 | ) | ||||||||||||||||||||||||
CMBX.NA.AA.11 | MORD | USD | 4,624,500 | 1.50% | 1.14% | N/A | 11/18/2054 | Monthly | (67,280 | ) | (96,571 | ) | (29,291 | ) | ||||||||||||||||||||||||
CMBX.NA.BBB-.11 | GS | USD | 3,064,050 | 3.00% | 3.86% | N/A | 11/18/2054 | Monthly | 116,418 | 142,566 | 26,148 | |||||||||||||||||||||||||||
CMBX.NA.AA.8 | CSI | USD | 8,892,000 | 1.50% | 1.21% | N/A | 10/17/2057 | Monthly | 247,717 | (78,752 | ) | (326,469 | ) | |||||||||||||||||||||||||
CMBX.NA.AS.8 | MORD | USD | 3,384,000 | 1.00% | 0.75% | N/A | 10/17/2057 | Monthly | 140,432 | (25,764 | ) | (166,196 | ) | |||||||||||||||||||||||||
CMBX.NA.AS.8 | CGMI | USD | 8,892,000 | 1.00% | 0.75% | N/A | 10/17/2057 | Monthly | 73,095 | (67,698 | ) | (140,793 | ) | |||||||||||||||||||||||||
CMBX.NA.BBB-.8 | GS | USD | 6,889,000 | 3.00% | 7.81% | N/A | 10/17/2057 | Monthly | 1,034,609 | 910,621 | (123,988 | ) | ||||||||||||||||||||||||||
CMBX.NA.BBB-.8 | GS | USD | 4,224,000 | 3.00% | 7.81% | N/A | 10/17/2057 | Monthly | 400,908 | 558,348 | 157,440 | |||||||||||||||||||||||||||
CMBX.NA.AAA.9 | GS | USD | 10,000,000 | 0.50% | 0.26% | N/A | 09/17/2058 | Quarterly | (102,116 | ) | (95,225 | ) | 6,891 | |||||||||||||||||||||||||
CMBX.NA.AAA.9 | MORD | USD | 630,300 | 0.50% | 0.26% | N/A | 09/17/2058 | Monthly | (6,436 | ) | (6,002 | ) | 434 | |||||||||||||||||||||||||
CMBX.NA.BBB-.9 | MORD | USD | 2,585,000 | 3.00% | 5.15% | N/A | 09/17/2058 | Monthly | 63,490 | 205,216 | 141,726 | |||||||||||||||||||||||||||
CMBX.NA.BBB-.9 | MORD | USD | 5,116,800 | 3.00% | 5.15% | N/A | 09/17/2058 | Monthly | 584,727 | 406,208 | (178,519 | ) | ||||||||||||||||||||||||||
CMBX.NA.BBB-.9 | CGMI | USD | 3,425,200 | 3.00% | 5.15% | N/A | 09/17/2058 | Monthly | 955,105 | 271,917 | (683,188 | ) | ||||||||||||||||||||||||||
CMBX.NA.BBB-.9 | DB | USD | 4,263,000 | 3.00% | 5.15% | N/A | 09/17/2058 | Monthly | 517,160 | 338,427 | (178,733 | ) | ||||||||||||||||||||||||||
CMBX.NA.BBB-.9 | CGMI | USD | 2,500,000 | 3.00% | 5.15% | N/A | 09/17/2058 | Monthly | 290,110 | 198,468 | (91,642 | ) | ||||||||||||||||||||||||||
CMBX.NA.BBB-.9 | CGMI | USD | 1,500,000 | 3.00% | 5.15% | N/A | 09/17/2058 | Monthly | 175,119 | 119,080 | (56,039 | ) | ||||||||||||||||||||||||||
CMBX.NA.BBB-.12 | GS | USD | 2,949,240 | 3.00% | 3.81% | N/A | 08/17/2061 | Monthly | 116,575 | 144,977 | 28,402 | |||||||||||||||||||||||||||
CMBX.NA.AA.6 | GS | USD | 5,000,000 | 1.50% | 3.94% | N/A | 05/11/2063 | Monthly | 35,145 | 117,010 | 81,865 | |||||||||||||||||||||||||||
CMBX.NA.BBB-.6 | CGMI | USD | 4,274,000 | 3.00% | 35.05% | N/A | 05/11/2063 | Monthly | 1,357,351 | 1,169,723 | (187,628 | ) | ||||||||||||||||||||||||||
CMBX.NA.BB.13 | GS | USD | 1,360,000 | 5.00% | 6.54% | N/A | 12/16/2072 | Monthly | 134,090 | 128,596 | (5,494 | ) | ||||||||||||||||||||||||||
CMBX.NA.BB.13 | GS | USD | 5,000,000 | 5.00% | 6.54% | N/A | 12/16/2072 | Monthly | 491,910 | 472,779 | (19,131 | ) | ||||||||||||||||||||||||||
CMBX.NA.BB.13 | GS | USD | 3,000,000 | 5.00% | 6.54% | N/A | 12/16/2072 | Monthly | 295,146 | 283,667 | (11,479 | ) | ||||||||||||||||||||||||||
CMBX.NA.BBB-.13 | GS | USD | 3,600,000 | 3.00% | 3.77% | N/A | 12/16/2072 | Monthly | 133,325 | 188,924 | 55,599 | |||||||||||||||||||||||||||
Sell Protection^: | ||||||||||||||||||||||||||||||||||||||
CDX.NA.HYS.27.V2-5Y | GS | USD | 2,084,000 | 5.00% | 0.07% | 2,084,000 USD | 12/20/2021 | Quarterly | 268,315 | 31,659 | (236,656 | ) | ||||||||||||||||||||||||||
CDX.NA.HYS.27.V2-5Y | JPM | USD | 8,600,000 | 5.00% | 0.07% | 8,600,000 USD | 12/20/2021 | Quarterly | 1,143,800 | 130,646 | (1,013,154 | ) | ||||||||||||||||||||||||||
CDX.NA.HYS.27.V3-5Y | BOA | USD | 8,545,000 | 5.00% | 0.07% | 8,545,000 USD | 12/20/2021 | Quarterly | 1,369,764 | 129,811 | (1,239,953 | ) | ||||||||||||||||||||||||||
CDX.NA.HYS.27.V3-5Y | JPM | USD | 7,735,000 | 5.00% | 0.07% | 7,735,000 USD | 12/20/2021 | Quarterly | 1,096,050 | 117,506 | (978,544 | ) | ||||||||||||||||||||||||||
CDX.NA.HYS.29.V1-5Y | MORD | USD | 4,264,000 | 5.00% | 0.24% | 4,264,000 USD | 12/20/2022 | Quarterly | 644,717 | 267,459 | (377,258 | ) | ||||||||||||||||||||||||||
CDX.NA.HYS.29.V1-5Y | BOA | USD | 5,115,600 | 5.00% | 0.24% | 5,115,600 USD | 12/20/2022 | Quarterly | 742,274 | 320,876 | (421,398 | ) | ||||||||||||||||||||||||||
CDX.NA.HYS.29.V6-5Y | CITI | USD | 5,994,100 | 5.00% | 0.24% | 5,994,100 USD | 12/20/2022 | Quarterly | 229,274 | 375,979 | 146,705 | |||||||||||||||||||||||||||
CDX.NA.HYS.31.V14-5Y | CITI | USD | 4,657,000 | 5.00% | 0.55% | 4,657,000 USD | 12/20/2023 | Quarterly | 492,478 | 480,428 | (12,050 | ) | ||||||||||||||||||||||||||
CDX.NA.HYS.31.V14-5Y | CITI | USD | 2,866,000 | 5.00% | 0.55% | 2,866,000 USD | 12/20/2023 | Quarterly | 293,765 | 295,664 | 1,899 | |||||||||||||||||||||||||||
ITRAXX.XOVERS.30.V3-5Y | JPM | EUR | 655,580 | 5.00% | 27.98% | 655,580 EUR | 12/20/2023 | Quarterly | (487,841 | ) | (314,312 | ) | 173,529 | |||||||||||||||||||||||||
ITRAXX.XOVERS.30.V4-5Y | JPM | EUR | 158,684 | 5.00% | 27.98% | 158,684 EUR | 12/20/2023 | Quarterly | (110,801 | ) | (76,080 | ) | 34,721 | |||||||||||||||||||||||||
CDX.NA.HYS.33.V1-5Y | GS | USD | 25,938,066 | 5.00% | 0.18% | 25,938,066 USD | 12/20/2024 | Quarterly | 5,736,852 | 4,082,876 | (1,653,976 | ) | ||||||||||||||||||||||||||
CDX.NA.HYS.33.V12-5Y | JPM | USD | 10,540,000 | 5.00% | 0.18% | 10,540,000 USD | 12/20/2024 | Quarterly | 1,704,699 | 1,659,088 | (45,611 | ) | ||||||||||||||||||||||||||
CDX.NA.HYS.33.V12-5Y | MORD | USD | 2,840,000 | 5.00% | 0.18% | 2,840,000 USD | 12/20/2024 | Quarterly | 481,872 | 447,041 | (34,831 | ) | ||||||||||||||||||||||||||
CDX.NA.HYS.33.V12-5Y | CITI | USD | 10,746,000 | 5.00% | 0.18% | 10,746,000 USD | 12/20/2024 | Quarterly | 1,826,953 | 1,691,513 | (135,440 | ) | ||||||||||||||||||||||||||
CDX.NA.HYS.33.V3-5Y | CITI | USD | 4,185,325 | 5.00% | 0.18% | 4,185,325 USD | 12/20/2024 | Quarterly | 442,876 | 658,806 | 215,930 | |||||||||||||||||||||||||||
CDX.NA.IGS.33.V1-5Y | CITI | USD | 1,472,000 | 1.00% | 9.78% | 1,472,000 USD | 12/20/2024 | Quarterly | (820,051 | ) | (376,610 | ) | 443,441 | |||||||||||||||||||||||||
ITRAXX.EUROPES.32.V1-5Y | BOA | EUR | 25,000,000 | 1.00% | 0.45% | 25,000,000 EUR | 12/20/2024 | Quarterly | 114,434 | 547,665 | 433,231 | |||||||||||||||||||||||||||
ITRAXX.EUROPES.32.V1-5Y | GS | EUR | 58,940,000 | 1.00% | 0.10% | 58,940,000 EUR | 12/20/2024 | Quarterly | 2,667,689 | 2,106,250 | (561,439 | ) | ||||||||||||||||||||||||||
CDX.NA.HYS.35.V1-5Y | MSCI | USD | 4,810,000 | 5.00% | 3.00% | 4,810,000 USD | 12/20/2025 | Quarterly | 353,535 | 401,220 | 47,685 | |||||||||||||||||||||||||||
ITRAXX.EUROPES.34.V1-5Y | BOA | EUR | 36,846,000 | 1.00% | 0.14% | 36,846,000 USD | 12/20/2025 | Quarterly | 1,774,798 | 1,631,364 | (143,434 | ) | ||||||||||||||||||||||||||
CMBX.NA.A.9 | GS | USD | 6,822,400 | 2.00% | 2.00% | 6,822,400 USD | 09/17/2058 | Monthly | 89,488 | (919 | ) | (90,407 | ) | |||||||||||||||||||||||||
CMBX.NA.A.9 | CGMI | USD | 4,000,000 | 2.00% | 2.00% | 4,000,000 USD | 09/17/2058 | Monthly | (100,229 | ) | (539 | ) | 99,690 | |||||||||||||||||||||||||
CMBX.NA.A.9 | CGMI | USD | 2,500,000 | 2.00% | 2.00% | 2,500,000 USD | 09/17/2058 | Monthly | (74,374 | ) | (337 | ) | 74,037 |
See accompanying notes to the financial statements. | 37 |
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2021 (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.AAA.10 | GS | USD | 7,540,000 | 0.50% | 0.32% | 7,540,000 USD | 11/17/2059 | Monthly | 68,960 | 68,672 | (288 | ) | ||||||||||||||||||||||||||
CMBX.NA.AAA.13 | GS | USD | 5,650,000 | 0.50% | 0.47% | 5,650,000 USD | 12/16/2072 | Monthly | 13,230 | 14,257 | 1,027 | |||||||||||||||||||||||||||
CMBX.NA.AAA.13 | MORD | USD | 7,399,200 | 0.50% | 0.47% | 7,399,200 USD | 12/16/2072 | Monthly | 30,438 | 18,671 | (11,767 | ) | ||||||||||||||||||||||||||
CMBX.NA.AAA.13 | MORD | USD | 7,399,200 | 0.50% | 0.47% | 7,399,200 USD | 12/16/2072 | Monthly | 30,438 | 18,671 | (11,767 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
$ | 26,531,058 | $ | 18,481,129 | $ | (8,049,929 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
^ | 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, 2021, 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 | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||||
0.25% | 3 Month USD LIBOR | USD | 9,700,000 | 11/10/2022 | Quarterly | (4,539 | ) | (9,018 | ) | (4,479 | ) | |||||||||||||||||
0.30% | 3 Month USD LIBOR | USD | 9,750,000 | 08/17/2024 | Quarterly | — | 63,421 | 63,421 | ||||||||||||||||||||
0.33% | 3 Month USD LIBOR | USD | 6,880,000 | 10/20/2024 | Quarterly | 3,044 | 48,446 | 45,402 | ||||||||||||||||||||
0.35% | 3 Month USD LIBOR | USD | 10,840,000 | 04/19/2025 | Quarterly | 10 | 116,839 | 116,829 | ||||||||||||||||||||
0.40% | 3 Month USD LIBOR | USD | 26,300,000 | 10/08/2025 | Quarterly | (3,685 | ) | 347,323 | 351,008 | |||||||||||||||||||
0.82% | 3 Month USD LIBOR | USD | 5,480,000 | 01/12/2028 | Quarterly | — | 72,605 | 72,605 | ||||||||||||||||||||
1.14% | 3 Month USD LIBOR | USD | 16,400,000 | 03/04/2028 | Quarterly | 29,413 | (101,425 | ) | (130,838 | ) | ||||||||||||||||||
0.88% | 3 Month USD LIBOR | USD | 8,345,000 | 03/06/2028 | Quarterly | 22,934 | 86,657 | 63,723 | ||||||||||||||||||||
0.65% | 3 Month USD LIBOR | USD | 5,770,000 | 06/04/2028 | Quarterly | (29,478 | ) | 160,525 | 190,003 | |||||||||||||||||||
0.65% | 3 Month USD LIBOR | USD | 5,790,000 | 07/30/2028 | Quarterly | (25,114 | ) | 170,718 | 195,832 | |||||||||||||||||||
1.30% | 3 Month USD LIBOR | USD | 10,027,000 | 12/19/2029 | Quarterly | — | (76,712 | ) | (76,712 | ) | ||||||||||||||||||
0.75% | 3 Month USD LIBOR | USD | 5,100,000 | 02/11/2030 | Quarterly | (22,015 | ) | 194,683 | 216,698 | |||||||||||||||||||
0.95% | 3 Month USD LIBOR | USD | 7,160,000 | 12/11/2030 | Quarterly | 154,543 | 205,082 | 50,539 | ||||||||||||||||||||
1.02% | 3 Month USD LIBOR | USD | 7,200,000 | 01/08/2031 | Quarterly | 24,436 | 165,676 | 141,240 | ||||||||||||||||||||
1.47% | 3 Month USD LIBOR | USD | 5,230,000 | 06/17/2031 | Quarterly | — | (80,898 | ) | (80,898 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 149,549 | $ | 1,363,922 | $ | 1,214,373 | |||||||||||||||||||||||
|
|
|
|
|
|
38 | See accompanying notes to the financial statements. |
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2021 (Unaudited)
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 Markit iBoxx USD Liquid Leveraged Loans Index | 3 Month USD LIBOR | JPM | USD | 12,000,000 | 09/20/2021 | Quarterly | $ | — | $ | 55,248 | $ | 55,248 | ||||||||||||||||||
|
|
|
|
|
|
As of August 31, 2021, 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 in default. |
(c) | Investment valued using significant unobservable inputs (Note 2). |
(d) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
(e) | The rate disclosed is the 7 day net yield as of August 31, 2021. |
(f) | 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 42.
See accompanying notes to the financial statements. | 39 |
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2021 (Unaudited)
Asset Class Summary | % of Total Net Assets | |||
Short-Term Investments | 100.0 | % | ||
Other | 0.0 | ^ | ||
|
| |||
100.0 | % | |||
|
|
^ | Rounds to 0.0%. |
40 |
GMO U.S. Treasury Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Par Value† / Shares | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 100.0% | ||||||||||
U.S. Government — 97.8% | ||||||||||
32,800,000 | U.S. Treasury Bill, 0.07%, due 08/11/22 (a) | 32,778,060 | ||||||||
16,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.20%, due 01/31/22 | 16,009,268 | ||||||||
21,500,000 | U.S. Treasury Note, 0.13%, due 04/30/22 | 21,508,398 | ||||||||
29,000,000 | U.S. Treasury Note, 1.75%, due 05/15/22 | 29,344,375 | ||||||||
73,500,000 | U.S. Treasury Note, 0.13%, due 06/30/22 | 73,528,711 | ||||||||
45,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.10%, due 10/31/22 | 45,025,609 | ||||||||
35,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.05%, 0.09%, due 01/31/23 | 35,017,364 | ||||||||
43,300,000 | U.S. Treasury Note, 0.13%, due 06/30/23 | 43,267,863 | ||||||||
|
| |||||||||
Total U.S. Government | 296,479,648 | |||||||||
|
| |||||||||
U.S. Government Agency — 1.6% | ||||||||||
5,000,000 | Federal Home Loan Banks, Variable Rate, SOFR + 0.09%, 0.14%, due 09/10/21 | 5,000,077 | ||||||||
|
| |||||||||
Money Market Funds — 0.6% | ||||||||||
1,696,846 | State Street Institutional Treasury Plus Money Market Fund – Premier Class, 0.01% (b) | 1,696,846 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $303,123,673) | 303,176,571 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $303,123,673) | 303,176,571 | |||||||||
Other Assets and Liabilities (net) — 0.00% | 122,309 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $303,298,880 | |||||||||
|
|
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, 2021. |
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 42.
See accompanying notes to the financial statements. | 41 |
GMO Trust Funds
August 31, 2021 (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.
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
MTA – Monthly Treasury Average Index
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,
2021, 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
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
USD - United States Dollar
ZAR - South African Rand
42 | See accompanying notes to the financial statements. |
Statements of Assets and Liabilities — August 31, 2021 (Unaudited)
Asset Allocation Bond Fund | Emerging Country Debt Fund | High Yield Fund | ||||||||||
Assets: |
| |||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | 311,657 | $ | 74,784,247 | $ | — | ||||||
Investments in unaffiliated issuers, at value (Note 2)(b) | 75,910,989 | 4,381,827,974 | 96,537,077 | |||||||||
Foreign currency, at value (Note 2)(c) | 1 | 1,216,212 | — | |||||||||
Cash | — | 11,266,147 | — | |||||||||
Receivable for investments sold | — | 3,841,870 | 500 | |||||||||
Receivable for Fund shares sold | — | 58,992,500 | — | |||||||||
Dividends and interest receivable | 167,920 | 58,308,713 | 401,842 | |||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | — | 615,642 | — | |||||||||
Receivable for variation margin on open cleared swap contracts (Note 4) | — | 956,912 | — | |||||||||
Due from broker (Note 2) | — | 20,605,881 | 2,803,320 | |||||||||
Receivable for variation margin on open futures contracts (Note 4) | — | — | 1,680 | |||||||||
Receivable for open OTC swap contracts (Note 4) | — | 10,244,799 | 599,621 | |||||||||
Interest receivable for open OTC swap contracts (Note 4) | — | 122,578 | 69 | |||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 10,254 | — | 2,445 | |||||||||
Receivable for options (Note 4)(d) | — | 553,850 | — | |||||||||
Miscellaneous receivable | — | 9,262 | 270,000 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 76,400,821 | 4,623,346,587 | 100,616,554 | |||||||||
|
|
|
|
|
| |||||||
Liabilities: | ||||||||||||
Due to broker (Note 2) | — | 841,572 | — | |||||||||
Due to custodian | — | — | 134,367 | |||||||||
Payable for investments purchased | 34 | 38,046,982 | — | |||||||||
Payable for Fund shares repurchased | — | 58,000,000 | — | |||||||||
Payable to affiliate for (Note 5): | ||||||||||||
Management fee | 16,381 | 1,322,023 | 29,138 | |||||||||
Shareholder service fee | 6,614 | 376,708 | 4,579 | |||||||||
Payable to agents unaffiliated with GMO | 3 | 1,325 | 18 | |||||||||
Payable for variation margin on open cleared swap contracts (Note 4) | — | — | 1,540,969 | |||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | — | 1,280,279 | 9,318 | |||||||||
Interest payable for open OTC swap contracts (Note 4) | — | 677,068 | — | |||||||||
Payable for open OTC swap contracts (Note 4) | — | 3,590,060 | — | |||||||||
Payable for reverse repurchase agreements (Note 2) | — | 20,056,936 | — | |||||||||
Payable for options (Note 4)(d) | — | — | 82,538 | |||||||||
Payable to Trustees and related expenses | 1,907 | 28,217 | 1,492 | |||||||||
Accrued expenses | 126,861 | 599,895 | 89,882 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 151,800 | 124,821,065 | 1,892,301 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 76,249,021 | $ | 4,498,525,522 | $ | 98,724,253 | ||||||
|
|
|
|
|
| |||||||
(a) Cost of investments – affiliated issuers: | $ | 311,655 | $ | 74,296,430 | $ | — | ||||||
(b) Cost of investments – unaffiliated issuers: | $ | 74,049,862 | $ | 4,622,144,414 | $ | 94,877,968 | ||||||
(c) Cost of foreign currency: | $ | 1 | $ | 1,203,381 | $ | — | ||||||
(d) Premiums on options: | $ | — | $ | 5,213,266 | $ | 181,391 |
See accompanying notes to the financial statements. | 43 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2021 (Unaudited) — (Continued)
Asset Allocation Bond Fund | Emerging Country Debt Fund | High Yield Fund | ||||||||||
Net assets consist of: | ||||||||||||
Paid-in capital | $ | 119,675,303 | $ | 4,901,813,353 | $ | 93,045,856 | ||||||
Distributable earnings (accumulated loss) | (43,426,282 | ) | (403,287,831 | ) | 5,678,397 | |||||||
|
|
|
|
|
| |||||||
$ | 76,249,021 | $ | 4,498,525,522 | $ | 98,724,253 | |||||||
|
|
|
|
|
| |||||||
Net assets attributable to: | ||||||||||||
Class III | $ | 37,110,661 | $ | 1,009,375,057 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class IV | $ | — | $ | 2,365,034,998 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class VI | $ | 39,138,360 | $ | 1,124,115,467 | $ | 98,724,253 | ||||||
|
|
|
|
|
| |||||||
Shares outstanding: | ||||||||||||
Class III | 1,493,164 | 38,412,177 | — | |||||||||
|
|
|
|
|
| |||||||
Class IV | — | 90,167,214 | — | |||||||||
|
|
|
|
|
| |||||||
Class VI | 1,569,885 | 42,852,740 | 4,885,501 | |||||||||
|
|
|
|
|
| |||||||
Net asset value per share: | ||||||||||||
Class III | $ | 24.85 | $ | 26.28 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class IV | $ | — | $ | 26.23 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class VI | $ | 24.93 | $ | 26.23 | $ | 20.21 | ||||||
|
|
|
|
|
|
44 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2021 (Unaudited)
Multi-Sector Fixed Income Fund | Opportunistic Income Fund | U.S. Treasury Fund | ||||||||||
Assets: |
| |||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | 47,679,663 | $ | 11,003,541 | $ | — | ||||||
Investments in unaffiliated issuers, at value (Note 2)(b) | 161,434,996 | 1,000,067,901 | 303,176,571 | |||||||||
Foreign currency, at value (Note 2)(c) | — | 19 | — | |||||||||
Receivable for investments sold | — | 11,595,893 | — | |||||||||
Receivable for Fund shares sold | — | 648,980 | — | |||||||||
Dividends and interest receivable | 483,780 | 1,928,361 | 196,491 | |||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | 422,637 | 2,784 | — | |||||||||
Receivable for variation margin on open cleared swap contracts (Note 4) | 156,180 | — | — | |||||||||
Due from broker (Note 2) | 2,131,984 | 16,204,602 | — | |||||||||
Receivable for open OTC swap contracts (Note 4) | — | 21,563,815 | — | |||||||||
Interest receivable for open OTC swap contracts (Note 4) | 5,382 | 1,394,897 | — | |||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 41,555 | 31,714 | 10,448 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 212,356,177 | 1,064,442,507 | 303,383,510 | |||||||||
|
|
|
|
|
| |||||||
Liabilities: | ||||||||||||
Due to broker (Note 2) | — | 47 | — | |||||||||
Investments sold short, at value (Note 2)(d) | — | 10,462,109 | — | |||||||||
Due to custodian | 150,070 | 234,675 | — | |||||||||
Foreign currency due to custodian(c) | 2,175 | — | — | |||||||||
Payable for investments purchased | 26,065,969 | 11,822,812 | — | |||||||||
Payable for Fund shares repurchased | — | 913,804 | — | |||||||||
Payable to affiliate for (Note 5): | ||||||||||||
Management fee | 39,132 | 346,967 | 660 | |||||||||
Shareholder service fee | 16,393 | 92,503 | — | |||||||||
Payable to agents unaffiliated with GMO | 15 | 310 | 124 | |||||||||
Payable for variation margin on open futures contracts (Note 4) | 89,616 | 26,881 | — | |||||||||
Payable for variation margin on open cleared swap contracts (Note 4) | — | 7,852,848 | — | |||||||||
Dividend payable | — | — | 11,448 | |||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | 943,762 | 3,089 | — | |||||||||
Interest payable for open OTC swap contracts (Note 4) | — | 478,531 | — | |||||||||
Payable for open OTC swap contracts (Note 4) | 1,494,183 | 3,027,438 | — | |||||||||
Payable to Trustees and related expenses | 4,044 | 3,893 | 3,546 | |||||||||
Written options outstanding, at value (Note 4)(e) | — | 6,205 | — | |||||||||
Accrued expenses | 142,060 | 260,371 | 68,852 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 28,947,419 | 35,532,483 | 84,630 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 183,408,758 | $ | 1,028,910,024 | $ | 303,298,880 | ||||||
|
|
|
|
|
| |||||||
(a) Cost of investments – affiliated issuers: | $ | 48,976,330 | $ | 11,003,541 | $ | — | ||||||
(b) Cost of investments – unaffiliated issuers: | $ | 151,503,914 | $ | 1,028,006,230 | $ | 303,123,673 | ||||||
(c) Cost of foreign currency: | $ | 1,680 | $ | 3,831 | $ | — | ||||||
(d) Proceeds from securities sold short: | $ | — | $ | 10,464,063 | $ | — | ||||||
(e) Premiums on written options: | $ | — | $ | 84,442 | $ | — |
See accompanying notes to the financial statements. | 45 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2021 (Unaudited) — (Continued)
Multi-Sector Fixed Income Fund | Opportunistic Income Fund | U.S. Treasury Fund | ||||||||||
Net assets consist of: | ||||||||||||
Paid-in capital | $ | 208,126,766 | $ | 1,116,977,626 | $ | 303,038,422 | ||||||
Distributable earnings (accumulated loss) | (24,718,008 | ) | (88,067,602 | ) | 260,458 | |||||||
|
|
|
|
|
| |||||||
$ | 183,408,758 | $ | 1,028,910,024 | $ | 303,298,880 | |||||||
|
|
|
|
|
| |||||||
Net assets attributable to: | ||||||||||||
Core Class | $ | — | $ | — | $ | 303,298,880 | ||||||
|
|
|
|
|
| |||||||
Class III | $ | 16,882,382 | $ | 13,812,313 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class IV | $ | 166,526,376 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
Class VI | $ | — | $ | 463,819,477 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class R6 | $ | — | $ | 70,829,410 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class I | $ | — | $ | 480,448,824 | $ | — | ||||||
|
|
|
|
|
| |||||||
Shares outstanding: | ||||||||||||
Core Class | — | — | 60,225,378 | |||||||||
|
|
|
|
|
| |||||||
Class III | 840,078 | 532,932 | — | |||||||||
|
|
|
|
|
| |||||||
Class IV | 8,251,381 | — | — | |||||||||
|
|
|
|
|
| |||||||
Class VI | — | 17,839,156 | — | |||||||||
|
|
|
|
|
| |||||||
Class R6 | — | 2,732,097 | — | |||||||||
|
|
|
|
|
| |||||||
Class I | — | 18,518,658 | — | |||||||||
|
|
|
|
|
| |||||||
Net asset value per share: | ||||||||||||
Core Class | $ | — | $ | — | $ | 5.04 | ||||||
|
|
|
|
|
| |||||||
Class III | $ | 20.10 | $ | 25.92 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class IV | $ | 20.18 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
Class VI | $ | — | $ | 26.00 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class R6 | $ | — | $ | 25.92 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class I | $ | — | $ | 25.94 | $ | — | ||||||
|
|
|
|
|
|
46 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2021 (Unaudited)
Asset Allocation Bond Fund | Emerging Country Debt Fund | High Yield Fund | ||||||||||
Investment Income: | ||||||||||||
Interest | $ | 822,084 | $ | 125,644,097 | $ | 818,738 | ||||||
Dividends from unaffiliated issuers | — | 515 | 10,358 | |||||||||
Dividends from affiliated issuers (Note 10) | 599 | 28,999 | — | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 822,683 | 125,673,611 | 829,096 | |||||||||
|
|
|
|
|
| |||||||
Expenses: |
| |||||||||||
Management fee (Note 5) | 89,678 | 7,674,995 | 170,588 | |||||||||
Shareholder service fee – Class III (Note 5) | 27,451 | 753,798 | — | |||||||||
Shareholder service fee – Class IV (Note 5) | — | 1,588,238 | — | |||||||||
Shareholder service fee – Class VI (Note 5) | 9,664 | 56,147 | * | 26,807 | ||||||||
Audit and tax fees | 39,366 | 71,277 | 35,053 | |||||||||
Custodian, fund accounting agent and transfer agent fees | 15,356 | 371,440 | 20,769 | |||||||||
Legal fees | 3,210 | 70,958 | 3,898 | |||||||||
Registration fees | 5,429 | 57,679 | 3,577 | |||||||||
Trustees’ fees and related expenses (Note 5) | 1,821 | 74,163 | 2,206 | |||||||||
Interest expense (Note 2) | — | — | 2,224 | |||||||||
Miscellaneous | 2,777 | 49,314 | 6,067 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 194,752 | 10,768,009 | 271,189 | |||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (63,837 | ) | — | (17,632 | ) | |||||||
Indirectly incurred management fees waived or borne by GMO (Note 5) | (241 | ) | (6,392 | ) | — | |||||||
|
|
|
|
|
| |||||||
Net expenses | 130,674 | 10,761,617 | 253,557 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 692,009 | 114,911,994 | 575,539 | |||||||||
|
|
|
|
|
| |||||||
Realized and unrealized gain (loss): | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments in unaffiliated issuers | 10,127,516 | 40,006,992 | 567,319 | |||||||||
Investments in affiliated issuers | (597 | ) | — | — | ||||||||
Realized gain distributions from affiliated issuers (Note 10) | 819 | 37,095 | — | |||||||||
Futures contracts | — | — | 26,629 | |||||||||
Options | — | 637,313 | — | |||||||||
Swap contracts | — | (5,481,858 | ) | 1,618,115 | ||||||||
Forward currency contracts | — | 6,626,448 | 559,024 | |||||||||
Foreign currency and foreign currency related transactions | — | 65,434 | (55,136 | ) | ||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 10,127,738 | 41,891,424 | 2,715,951 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||
Investments in unaffiliated issuers | (7,740,252 | ) | 93,518,345 | 457,312 | ||||||||
Investments in affiliated issuers | 2 | — | — | |||||||||
Futures contracts | — | — | 72,297 | |||||||||
Options | — | (473,982 | ) | 98,853 | ||||||||
Swap contracts | — | (6,583,477 | ) | 534,406 | ||||||||
Forward currency contracts | — | (319,626 | ) | (273,716 | ) | |||||||
Foreign currency and foreign currency related transactions | — | 554,227 | — | |||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) | (7,740,250 | ) | 86,695,487 | 889,152 | ||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) | 2,387,488 | 128,586,911 | 3,605,103 | |||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | 3,079,497 | $ | 243,498,905 | $ | 4,180,642 | ||||||
|
|
|
|
|
|
* | Period from July 28, 2021 (commencement of operations) through August 31, 2021. |
See accompanying notes to the financial statements. | 47 |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2021 (Unaudited) — (Continued)
Multi-Sector Fixed Income Fund | Opportunistic Income Fund | U.S. Treasury Fund | ||||||||||
Investment Income: | ||||||||||||
Interest | $ | 665,749 | $ | 16,984,450 | $ | 165,608 | ||||||
Dividends from unaffiliated issuers | 337,576 | 360 | 3,290 | |||||||||
Dividends from affiliated issuers (Note 10) | 261,753 | 4,267 | — | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 1,265,078 | 16,989,077 | 168,898 | |||||||||
|
|
|
|
|
| |||||||
Expenses: |
| |||||||||||
Management fee (Note 5) | 242,861 | 1,934,276 | 134,904 | |||||||||
Shareholder service fee – Class III (Note 5) | 21,697 | 2,079 | * | — | ||||||||
Shareholder service fee – Class IV (Note 5) | 82,680 | — | — | |||||||||
Shareholder service fee – Class VI (Note 5) | — | 131,278 | — | |||||||||
Shareholder service fee – Class R6 (Note 5) | — | 26,946 | ** | — | ||||||||
Shareholder service fee – Class I (Note 5) | — | 338,298 | — | |||||||||
Audit and tax fees | 39,183 | 55,833 | 16,043 | |||||||||
Custodian, fund accounting agent and transfer agent fees | 80,010 | 316,585 | 31,938 | |||||||||
Legal fees | 5,872 | 41,766 | 5,493 | |||||||||
Registration fees | 3,675 | 45,929 | 2,152 | |||||||||
Trustees’ fees and related expenses (Note 5) | 4,779 | 14,910 | 6,245 | |||||||||
Interest expense (Note 2) | 120 | 8,800 | — | |||||||||
Miscellaneous | 4,005 | 19,022 | 3,059 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 484,882 | 2,935,722 | 199,834 | |||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (129,036 | ) | (220,054 | ) | (157,918 | ) | ||||||
Indirectly incurred management fees waived or borne by GMO (Note 5) | (83,462 | ) | (941 | ) | — | |||||||
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5) | (13,695 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Net expenses | 258,689 | 2,714,727 | 41,916 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 1,006,389 | 14,274,350 | 126,982 | |||||||||
|
|
|
|
|
| |||||||
Realized and unrealized gain (loss): | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments in unaffiliated issuers | 384,957 | 840,691 | 211,126 | |||||||||
Investments in affiliated issuers | (145,221 | ) | — | — | ||||||||
Investments in securities sold short | — | (764,942 | ) | — | ||||||||
Realized gain distributions from affiliated issuers (Note 10) | 178,327 | 5,458 | — | |||||||||
Futures contracts | 981,183 | 2,359,093 | — | |||||||||
Written options | — | 814,956 | — | |||||||||
Swap contracts | (6,665,826 | ) | (3,420,413 | ) | — | |||||||
Forward currency contracts | 2,510,668 | 10,523 | — | |||||||||
Foreign currency and foreign currency related transactions | (1,047 | ) | 30,859 | — | ||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | (2,756,959 | ) | (123,775 | ) | 211,126 | |||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||
Investments in unaffiliated issuers | 9,357,025 | (2,855,238 | ) | (114,217 | ) | |||||||
Investments in affiliated issuers | 613,194 | — | — | |||||||||
Investments in securities sold short | — | (35,741 | ) | — | ||||||||
Futures contracts | 254,406 | 381,137 | — | |||||||||
Written options | — | (14,894 | ) | — | ||||||||
Swap contracts | (1,817,325 | ) | (2,121,321 | ) | — | |||||||
Forward currency contracts | (1,559,028 | ) | 396 | — | ||||||||
Foreign currency and foreign currency related transactions | (34,764 | ) | (28,492 | ) | — | |||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) | 6,813,508 | (4,674,153 | ) | (114,217 | ) | |||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) | 4,056,549 | (4,797,928 | ) | 96,909 | ||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | 5,062,938 | $ | 9,476,422 | $ | 223,891 | ||||||
|
|
|
|
|
|
* | Period from July 21, 2021 (commencement of operations) through August 31, 2021. |
** | Period from May 19, 2021 (commencement of operations) through August 31, 2021. |
48 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets
Asset Allocation Bond Fund | Emerging Country Debt Fund | |||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | |||||||||||||
Increase (decrease) in net assets: |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income (loss) | $ | 692,009 | $ | 1,685,489 | $ | 114,911,994 | $ | 234,615,368 | ||||||||
Net realized gain (loss) | 10,127,738 | 11,202,659 | 41,891,424 | 112,641,594 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (7,740,250 | ) | (4,762,322 | ) | 86,695,487 | (230,763,388 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 3,079,497 | 8,125,826 | 243,498,905 | 116,493,574 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders: | ||||||||||||||||
Class III | — | (403,791 | ) | (26,980,825 | ) | (110,457,805 | ) | |||||||||
Class IV | — | — | (93,571,940 | ) | (299,019,091 | ) | ||||||||||
Class VI | — | (1,120,355 | ) | — | * | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | — | (1,524,146 | ) | (120,552,765 | ) | (409,476,896 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | (26,296,734 | ) | 18,928,517 | (29,225,774 | ) | (59,256,916 | ) | |||||||||
Class IV | — | — | (933,644,723 | ) | 222,010,887 | |||||||||||
Class VI | (20,989,814 | ) | (138,607,964 | ) | 1,109,223,343 | * | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (47,286,548 | ) | (119,679,447 | ) | 146,352,846 | 162,753,971 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchase premiums and redemption fees (Notes 2 and 9): | ||||||||||||||||
Class III | — | — | 232,571 | 1,428,115 | ||||||||||||
Class IV | — | — | 756,090 | 3,980,122 | ||||||||||||
Class VI | — | — | 16,491 | * | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from purchase premiums and redemption fees | — | — | 1,005,152 | 5,408,237 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | (47,286,548 | ) | (119,679,447 | ) | 147,357,998 | 168,162,208 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (44,207,051 | ) | (113,077,767 | ) | 270,304,138 | (124,821,114 | ) | |||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 120,456,072 | 233,533,839 | 4,228,221,384 | 4,353,042,498 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 76,249,021 | $ | 120,456,072 | $ | 4,498,525,522 | $ | 4,228,221,384 | ||||||||
|
|
|
|
|
|
|
|
* | Period from July 28, 2021 (commencement of operations) through August 31, 2021. |
See accompanying notes to the financial statements. | 49 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
High Yield Fund | Multi-Sector Fixed Income Fund | |||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | |||||||||||||
Increase (decrease) in net assets: |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income (loss) | $ | 575,539 | $ | 4,744,456 | $ | 1,006,389 | $ | 5,442,597 | ||||||||
Net realized gain (loss) | 2,715,951 | 4,870,688 | (2,756,959 | ) | 19,749,096 | |||||||||||
Change in net unrealized appreciation (depreciation) | 889,152 | 2,460,343 | 6,813,508 | (17,582,435 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 4,180,642 | 12,075,487 | 5,062,938 | 7,609,258 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders: | ||||||||||||||||
Class III | — | — | (771,747 | ) | (8,300,596 | ) | ||||||||||
Class IV | — | — | (4,376,860 | ) | (24,041,607 | ) | ||||||||||
Class VI | (7,273,321 | ) | (3,588,431 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (7,273,321 | ) | (3,588,431 | ) | (5,148,607 | ) | (32,342,203 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | — | — | (14,751,182 | ) | (42,133,243 | ) | ||||||||||
Class IV | — | — | 32,781,157 | (297,963,316 | ) | |||||||||||
Class VI | 7,271,601 | (75,391,205 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | 7,271,601 | (75,391,205 | ) | 18,029,975 | (340,096,559 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 4,178,922 | (66,904,149 | ) | 17,944,306 | (364,829,504 | ) | ||||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 94,545,331 | 161,449,480 | 165,464,452 | 530,293,956 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 98,724,253 | $ | 94,545,331 | $ | 183,408,758 | $ | 165,464,452 | ||||||||
|
|
|
|
|
|
|
|
50 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Opportunistic Income Fund | U.S. Treasury Fund | |||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | |||||||||||||
Increase (decrease) in net assets: |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income (loss) | $ | 14,274,350 | $ | 31,707,361 | $ | 126,982 | $ | 735,938 | ||||||||
Net realized gain (loss) | (123,775 | ) | 2,929,109 | 211,126 | 1,188,447 | |||||||||||
Change in net unrealized appreciation (depreciation) | (4,674,153 | ) | (12,603,709 | ) | (114,217 | ) | (507,093 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 9,476,422 | 22,032,761 | 223,891 | 1,417,292 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders: | ||||||||||||||||
Core Class | — | — | (284,624 | ) | (773,665 | ) | ||||||||||
Class VI | (2,003,094 | ) | (24,129,562 | ) | — | — | ||||||||||
Class R6 | (285,266 | )* | — | — | — | |||||||||||
Class I | (1,634,106 | ) | (5,867,931 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (3,922,466 | ) | (29,997,493 | ) | (284,624 | ) | (773,665 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Core Class | — | — | (79,095,085 | ) | 159,049,444 | |||||||||||
Class III | 13,800,000 | ** | — | — | — | |||||||||||
Class VI | (16,468,783 | ) | (337,486,350 | ) | — | — | ||||||||||
Class R6 | 70,679,914 | * | — | — | — | |||||||||||
Class I | 60,737,705 | 391,498,422 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | 128,748,836 | 54,012,072 | (79,095,085 | ) | 159,049,444 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 134,302,792 | 46,047,340 | (79,155,818 | ) | 159,693,071 | |||||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 894,607,232 | 848,559,892 | 382,454,698 | 222,761,627 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,028,910,024 | $ | 894,607,232 | $ | 303,298,880 | $ | 382,454,698 | ||||||||
|
|
|
|
|
|
|
|
* | Period from May 19, 2021 (commencement of operations) through August 31, 2021. |
** | Period from July 21, 2021 (commencement of operations) through August 31, 2021. |
See accompanying notes to the financial statements. | 51 |
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, 2021 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.82 | $ | 22.66 | $ | 21.61 | $ | 21.95 | $ | 22.15 | $ | 22.16 | $ | 23.88 | $ | 22.72 | $ | 21.67 | $ | 22.02 | $ | 22.23 | $ | 22.21 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.24 | 0.26 | 0.55 | 0.54 | 0.33 | 0.18 | 0.23 | 0.27 | 0.56 | 0.57 | 0.36 | 0.21 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.79 | 1.18 | 1.52 | 0.18 | (0.31 | ) | (0.19 | ) | 0.82 | 1.18 | 1.53 | 0.18 | (0.33 | ) | (0.19 | ) | ||||||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 1.03 | 1.44 | 2.07 | 0.72 | 0.02 | (0.01 | ) | 1.05 | 1.45 | 2.09 | 0.75 | 0.03 | 0.02 | |||||||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | — | (0.28 | ) | (1.02 | ) | (1.06 | ) | (0.22 | ) | — | — | (0.29 | ) | (1.04 | ) | (1.10 | ) | (0.24 | ) | — | ||||||||||||||||||||||||||||||||||||||||
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Total distributions | — | (0.28 | ) | (1.02 | ) | (1.06 | ) | (0.22 | ) | — | — | (0.29 | ) | (1.04 | ) | (1.10 | ) | (0.24 | ) | — | ||||||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 24.85 | $ | 23.82 | $ | 22.66 | $ | 21.61 | $ | 21.95 | $ | 22.15 | $ | 24.93 | $ | 23.88 | $ | 22.72 | $ | 21.67 | $ | 22.02 | $ | 22.23 | ||||||||||||||||||||||||||||||||||||
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Total Return(b) | 4.32 | %** | 6.33 | % | 9.74 | % | 3.37 | % | 0.07 | % | (0.05 | )% | 4.40 | %** | 6.39 | % | 9.83 | % | 3.48 | % | 0.12 | % | 0.09 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 37,111 | $ | 61,836 | $ | 41,124 | $ | 82,801 | $ | 207,008 | $ | 282,272 | $ | 39,138 | $ | 58,621 | $ | 192,410 | $ | 305,842 | $ | 1,019,135 | $ | 1,209,721 | ||||||||||||||||||||||||||||||||||||
Net operating expenses to average daily net assets | 0.41 | %(c)* | 0.41 | %(c) | 0.40 | %(c) | 0.41 | %(c) | 0.41 | % | 0.41 | %(c) | 0.32 | %(c)* | 0.31 | %(c) | 0.31 | %(c) | 0.31 | %(c) | 0.31 | % | 0.31 | %(c) | ||||||||||||||||||||||||||||||||||||
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e) | — | — | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | — | — | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | ||||||||||||||||||||||||||||||||||||||||
Total net expenses to average daily net assets | 0.41 | %(c)* | 0.41 | %(c) | 0.40 | %(c) | 0.41 | %(c) | 0.41 | % | 0.41 | %(c) | 0.32 | %(c)* | 0.31 | %(c) | 0.31 | %(c) | 0.31 | %(c) | 0.31 | % | 0.31 | %(c) | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.97 | %* | 1.11 | % | 2.49 | % | 2.48 | % | 1.50 | % | 0.81 | % | 1.89 | %* | 1.15 | % | 2.49 | % | 2.57 | % | 1.59 | % | 0.94 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 99 | %(f)** | 30 | %(f) | 16 | %(f) | 59 | %(f) | 89 | % | 130 | %(f) | 99 | %(f)** | 30 | %(f) | 16 | %(f) | 59 | %(f) | 89 | % | 130 | %(f) | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.18%(g)* | 0.08%(g) | 0.06%(g) | 0.04% | 0.02% | 0.02% | 0.18% | (g)* | 0.08%(g) | 0.06%(g) | 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) | 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, if any (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, securities sold short 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, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019 and February 28, 2017, including transactions in USTF, was 97%, 39%, 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. |
52 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
EMERGING COUNTRY DEBT FUND
Class III Shares | Class IV Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017(a) | 2021 | 2020 | 2019 | 2018 | 2017(a) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.54 | $ | 27.38 | $ | 26.82 | $ | 28.62 | $ | 28.99 | $ | 26.01 | $ | 25.50 | $ | 27.34 | $ | 26.77 | $ | 28.57 | $ | 28.95 | $ | 25.98 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.70 | 1.56 | 1.44 | 1.36 | 1.36 | 1.94 | 0.71 | 1.39 | 1.43 | 1.37 | 1.39 | 1.95 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.76 | (0.85 | ) | 0.91 | (1.19 | ) | 0.32 | 3.01 | (c) | 0.75 | (0.66 | ) | 0.94 | (1.19 | ) | 0.29 | 3.01 | (c) | ||||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 1.46 | 0.71 | 2.35 | 0.17 | 1.68 | 4.95 | 1.46 | 0.73 | 2.37 | 0.18 | 1.68 | 4.96 | ||||||||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.29 | ) | (1.93 | ) | (1.79 | ) | (1.97 | ) | (2.05 | ) | (1.97 | ) | (0.30 | ) | (1.95 | ) | (1.80 | ) | (1.98 | ) | (2.06 | ) | (1.99 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | (0.43 | ) | (0.62 | ) | — | — | — | — | (0.43 | ) | (0.62 | ) | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||
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Total distributions | (0.72 | ) | (2.55 | ) | (1.79 | ) | (1.97 | ) | (2.05 | ) | (1.97 | ) | (0.73 | ) | (2.57 | ) | (1.80 | ) | (1.98 | ) | (2.06 | ) | (1.99 | ) | ||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 26.28 | $ | 25.54 | $ | 27.38 | $ | 26.82 | $ | 28.62 | $ | 28.99 | $ | 26.23 | $ | 25.50 | $ | 27.34 | $ | 26.77 | $ | 28.57 | $ | 28.95 | ||||||||||||||||||||||||||||||||||||
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Total Return(d) | 5.75 | %** | 2.67 | % | 8.97 | % | 0.97 | % | 5.81 | % | 19.47 | % | 5.75 | %** | 2.73 | % | 9.08 | % | 1.02 | % | 5.83 | % | 19.50 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 1,009,375 | $ | 1,010,106 | $ | 1,133,945 | $ | 1,294,577 | $ | 1,273,188 | $ | 1,067,086 | $ | 2,365,035 | $ | 3,218,116 | $ | 3,219,098 | $ | 2,849,316 | $ | 2,862,977 | $ | 3,018,159 | ||||||||||||||||||||||||||||||||||||
Net operating expenses to average daily net assets(e) | 0.53 | %* | 0.54 | % | 0.53 | % | 0.52 | % | 0.53 | % | 0.54 | % | 0.48 | %* | 0.49 | % | 0.48 | % | 0.47 | % | 0.48 | % | 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) | 0.01 | % | 0.02 | % | 0.00 | %(g) | — | ||||||||||||||||||||||||||||||||||||||||
Total net expenses to average daily net assets(e) | 0.53 | %* | 0.54 | % | 0.54 | % | 0.54 | % | 0.53 | % | 0.54 | % | 0.48 | %* | 0.49 | % | 0.49 | % | 0.49 | % | 0.48 | % | 0.49 | % | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 5.36 | %* | 6.02 | % | 5.23 | % | 4.99 | % | 4.57 | % | 6.76 | % | 5.43 | %* | 5.38 | % | 5.22 | % | 5.04 | % | 4.67 | % | 6.81 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate(h) | 14 | %** | 56 | % | 41 | % | 15 | % | 34 | % | 21 | % | 14 | %** | 56 | % | 41 | % | 15 | % | 34 | % | 21 | % | ||||||||||||||||||||||||||||||||||||
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):† | $0.01 | $0.03 | $0.03 | $0.03 | $0.03 | $0.04(a) | $0.01 | $0.03 | $0.03 | $0.03 | $0.03 | $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, if any (Note 5). |
(f) | Interest and dividend expense and/or borrowing costs incurred as a result of entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(g) | 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, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 14%, 55%, 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. |
See accompanying notes to the financial statements. | 53 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout the period)
EMERGING COUNTRY DEBT FUND (continued)
Class VI Shares | |||||
Period from July 28, 2021 (commencement of operations) through August 31, 2021 (Unaudited) | |||||
Net asset value, beginning of period | $ | 25.89 | |||
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Income (loss) from investment operations: |
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Net investment income (loss)(a)† | 0.04 | ||||
Net realized and unrealized gain (loss) | 0.30 | ||||
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Total from investment operations | 0.34 | ||||
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Net asset value, end of period | $ | 26.23 | |||
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Total Return(b) | 1.31 | %** | |||
Ratios/Supplemental Data: |
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Net assets, end of period (000’s) | $ | 1,124,115 | |||
Net operating expenses to average daily net assets(c) | 0.44 | %* | |||
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d) | — | ||||
Total net expenses to average daily net assets(c) | 0.44 | %* | |||
Net investment income (loss) to average daily net assets(a) | 1.61 | %* | |||
Portfolio turnover rate(e) | 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, if any (Note 5). |
(d) | Interest and dividend expense and/or borrowing costs incurred as a result of entering into reverse repurchase agreements, securities sold short 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) | 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, 2021, including transactions in USTF, was 14%, of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
54 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
HIGH YIELD FUND
Class VI Shares | ||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | Year Ended February 29, 2020 | Period From June 25, 2018 (commencement of operations) through February 28, 2019 | |||||||||||||||||
Net asset value, beginning of period | $ | 20.90 | $ | 19.94 | $ | 20.21 | $ | 20.00 | ||||||||||||
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Income (loss) from investment operations: |
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Net investment income (loss)(a)† | 0.12 | 0.64 | 0.48 | 0.27 | ||||||||||||||||
Net realized and unrealized gain (loss) | 0.80 | 0.77 | 0.82 | 0.71 | ||||||||||||||||
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Total from investment operations | 0.92 | 1.41 | 1.30 | 0.98 | ||||||||||||||||
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Less distributions to shareholders: |
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From net investment income | (0.14 | ) | (0.40 | ) | (1.57 | ) | (0.61 | ) | ||||||||||||
From net realized gains | (1.47 | ) | (0.05 | ) | — | (0.16 | ) | |||||||||||||
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Total distributions | (1.61 | ) | (0.45 | ) | (1.57 | ) | (0.77 | ) | ||||||||||||
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Net asset value, end of period | $ | 20.21 | $ | 20.90 | $ | 19.94 | $ | 20.21 | ||||||||||||
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Total Return(b) | 4.46 | %** | 7.21 | % | 6.40 | % | 5.07 | %** | ||||||||||||
Ratios/Supplemental Data: |
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Net assets, end of period (000’s) | $ | 98,724 | $ | 94,545 | $ | 161,449 | $ | 212,762 | ||||||||||||
Net operating expenses to average daily net assets(c) | 0.52 | %* | 0.52 | %(d) | 0.52 | %(d) | 0.51 | %(d)* | ||||||||||||
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e) | 0.00 | %(f)* | 0.00 | %(f) | 0.03 | % | 0.04 | %* | ||||||||||||
Total net expenses to average daily net assets(c) | 0.52 | %* | 0.52 | %(d) | 0.55 | %(d) | 0.55 | %(d)* | ||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.18 | %* | 3.23 | % | 2.34 | % | 2.00 | %* | ||||||||||||
Portfolio turnover rate(g) | 25 | %** | 288 | % | 105 | % | 81 | %** | ||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04 | %* | 0.00 | %(f)(h) | 0.00 | %(f)(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, if any (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, securities sold short 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, 2021, and the years ended February 28, 2021, February 29, 2020 and February 28, 2019, including transactions in USTF, was 25%, 317%, 214% and 159%, 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. | 55 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
MULTI-SECTOR FIXED INCOME FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | Year Ended February 29, 2020 | Year Ended February 28, 2019 | Year Ended February 28, 2018 | Year Ended February 28, 2017(a) | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.13 | $ | 22.19 | $ | 20.88 | $ | 20.93 | $ | 21.10 | $ | 21.39 | ||||||||||||||||||
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Income (loss) from investment operations: Net investment income (loss)(b)† | 0.10 | 0.43 | 0.53 | 0.51 | 0.41 | 0.26 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.44 | (0.24 | )(c) | 2.01 | 0.49 | (0.06 | ) | 0.25 | ||||||||||||||||||||||
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Total from investment operations | 0.54 | 0.19 | 2.54 | 1.00 | 0.35 | 0.51 | ||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.93 | ) | (0.64 | ) | (1.05 | ) | (0.52 | ) | (0.80 | ) | |||||||||||||||||||
From net realized gains | (0.57 | ) | (1.32 | ) | (0.59 | ) | — | — | — | |||||||||||||||||||||
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Total distributions | (0.57 | ) | (2.25 | ) | (1.23 | ) | (1.05 | ) | (0.52 | ) | (0.80 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 20.10 | $ | 20.13 | $ | 22.19 | $ | 20.88 | $ | 20.93 | $ | 21.10 | ||||||||||||||||||
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Total Return(d) | 2.70 | %** | 0.59% | 12.38% | 4.88 | % | 1.61 | % | 2.44 | % | ||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 16,882 | $ | 31,602 | $ | 80,639 | $ | 84,163 | $ | 34,641 | $ | 22,172 | ||||||||||||||||||
Net operating expenses to average daily net assets(e) | 0.31 | %* | 0.30 | % | 0.29 | % | 0.29 | % | 0.29 | % | 0.35 | % | ||||||||||||||||||
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(f) | 0.00 | %(g)* | 0.00 | %(g) | 0.00 | %(g) | 0.00 | %(g) | 0.00 | %(g) | 0.00 | %(g) | ||||||||||||||||||
Total net expenses to average daily net assets(e) | 0.31 | %* | 0.30 | % | 0.29 | % | 0.29 | % | 0.29 | % | 0.35 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 1.03 | %* | 1.98 | % | 2.43 | % | 2.41 | % | 1.91 | % | 1.21 | % | ||||||||||||||||||
Portfolio turnover rate(h) | 122 | %** | 262 | % | 215 | % | 201 | % | 198 | % | 216 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(i) | 0.23 | %* | 0.19 | % | 0.16 | % | 0.16 | % | 0.14 | % | 0.30 | % |
(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 amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. |
(d) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(e) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5). |
(f) | Interest expense incurred as a result of entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(g) | 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, 2021, and the years ended August 31, 2021, February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 129%, 335%, 285%, 250%, 221% and 325%, 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. |
56 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
MULTI-SECTOR FIXED INCOME FUND (continued)
Class IV Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | Year Ended February 29, 2020 | Year Ended February 28, 2019 | Year Ended February 28, 2018 | Year Ended February 28, 2017(a) | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.20 | $ | 22.26 | $ | 20.94 | $ | 20.98 | $ | 21.15 | $ | 21.45 | ||||||||||||||||||
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Income (loss) from investment operations: | 0.11 | 0.35 | 0.54 | 0.48 | 0.46 | 0.24 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.44 | (0.16 | )(c) | 2.02 | 0.53 | (0.10 | ) | 0.29 | ||||||||||||||||||||||
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Total from investment operations | 0.55 | 0.19 | 2.56 | 1.01 | 0.36 | 0.53 | ||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.93 | ) | (0.65 | ) | (1.05 | ) | (0.53 | ) | (0.83 | ) | |||||||||||||||||||
From net realized gains | (0.57 | ) | (1.32 | ) | (0.59 | ) | — | — | — | |||||||||||||||||||||
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Total distributions | (0.57 | ) | (2.25 | ) | (1.24 | ) | (1.05 | ) | (0.53 | ) | (0.83 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 20.18 | $ | 20.20 | $ | 22.26 | $ | 20.94 | $ | 20.98 | $ | 21.15 | ||||||||||||||||||
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Total Return(d) | 2.74 | %** | 0.59 | % | 12.44 | % | 4.93 | % | 1.68 | % | 2.55 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 166,526 | $ | 133,862 | $ | 449,655 | $ | 580,456 | $ | 920,637 | $ | 566,433 | ||||||||||||||||||
Net operating expenses to average daily net assets(e) | 0.26 | %* | 0.24 | % | 0.24 | % | 0.24 | % | 0.24 | % | 0.30 | % | ||||||||||||||||||
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(f) | 0.00 | %(g)* | 0.00 | %(g) | 0.00 | %(g) | 0.00 | %(g) | 0.00 | %(g) | 0.00 | %(g) | ||||||||||||||||||
Total net expenses to average daily net assets(e) | 0.26 | %* | 0.24 | % | 0.24 | % | 0.24 | % | 0.24 | % | 0.30 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 1.04 | %* | 1.57 | % | 2.47 | % | 2.29 | % | 2.14 | % | 1.10 | % | ||||||||||||||||||
Portfolio turnover rate(h) | 122 | %** | 262 | % | 215 | % | 201 | % | 198 | % | 216 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(i) | 0.23 | %* | 0.19 | % | 0.16 | % | 0.15 | % | 0.14 | % | 0.26 | % |
(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 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 the Fund shares in relation to fluctuating market values of the investments of the Fund. |
(d) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(e) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5). |
(f) | Interest expense incurred as a result of entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(g) | 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, 2021, and the years ended August 31, 2021, February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 129%, 335%, 285%, 250%, 221% and 325%, 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. |
See accompanying notes to the financial statements. | 57 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout the period)
OPPORTUNISTIC INCOME FUND
Class III Shares | ||||
Period from July 21, 2021 (commencement of operations) through August 31, 2021 (Unaudited) | ||||
Net asset value, beginning of period | $ | 25.88 | ||
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Income (loss) from investment operations: | ||||
Net investment income (loss)(a)† | 0.13 | |||
Net realized and unrealized gain (loss) | (0.09 | ) | ||
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Total from investment operations | 0.04 | |||
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Net asset value, end of period | $ | 25.92 | ||
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Total Return(b) | 0.15 | %** | ||
Ratios/Supplemental Data: | ||||
Net assets, end of period (000’s) | $ | 13,812 | ||
Net operating expenses to average daily net assets(c) | 0.56 | %* | ||
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d) | 0.00 | %(e)* | ||
Total net expenses to average daily net assets(c) | 0.56 | %* | ||
Net investment income (loss) to average daily net assets(a) | 4.61 | %* | ||
Portfolio turnover rate(f) | 59 | %** | ||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 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, if any (Note 5). |
(d) | Interest expense incurred as a result of entering into reverse repurchase agreements, securities sold short 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, 2021, including transactions in USTF, was 58% of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
58 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
OPPORTUNISTIC INCOME FUND (continued)
Class VI Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | Year Ended February 29, 2020 | Year Ended February 28, 2019 | Year Ended February 28, 2018 | Year Ended February 28, 2017 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.84 | $ | 26.15 | $ | 26.21 | $ | 26.41 | $ | 25.78 | $ | 24.57 | ||||||||||||||||||
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Income (loss) from investment operations: |
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Net investment income (loss) (a)† | 0.41 | 1.06 | 1.46 | 1.32 | 1.15 | 0.96 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.14 | ) | (0.31 | ) | (0.06 | ) | (0.38 | ) | 0.18 | 0.89 | ||||||||||||||||||||
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Total from investment operations | 0.27 | 0.75 | 1.40 | 0.94 | 1.33 | 1.85 | ||||||||||||||||||||||||
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Less distributions to shareholders: |
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From net investment income | (0.11 | ) | (1.06 | ) | (1.46 | ) | (1.14 | ) | (0.70 | ) | (0.64 | ) | ||||||||||||||||||
From net realized gains | — | 0.00 | — | — | — | — | ||||||||||||||||||||||||
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Total distributions | (0.11 | ) | (1.06 | ) | (1.46 | ) | (1.14 | ) | (0.70 | ) | (0.64 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 26.00 | $ | 25.84 | $ | 26.15 | $ | 26.21 | $ | 26.41 | $ | 25.78 | ||||||||||||||||||
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Total Return(b) | 1.05 | %** | 2.95 | % | 5.45 | % | 3.58 | % | 5.18 | % | 7.62 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 463,819 | $ | 477,457 | $ | 825,876 | $ | 1,001,146 | $ | 1,205,954 | $ | 1,510,894 | ||||||||||||||||||
Net operating expenses to average daily net assets(c) | 0.47 | %* | 0.47 | % | 0.47 | % | 0.49 | % | 0.47 | % | 0.33 | % | ||||||||||||||||||
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) | 0.00 | %(e) | 0.00 | %(e) | ||||||||||||||||||
Total net expenses to average daily net assets(c) | 0.47 | %* | 0.47 | % | 0.47 | % | 0.49 | % | 0.47 | % | 0.33 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 3.16 | %* | 4.12 | % | 5.50 | % | 4.99 | % | 4.39 | % | 3.82 | % | ||||||||||||||||||
Portfolio turnover rate(f) | 59 | %** | 43 | % | 47 | % | 75 | % | 152 | % | 66 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.05 | %(g)* | 0.05 | %(g) | 0.04 | %(g) | 0.04 | % | 0.03 | % | 0.04 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | — | $ | — | $ | 0.01 | $ | 0.05 | $ | 0.04 | $ | 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, if any (Note 5). |
(d) | Interest expense incurred as a result of entering into reverse repurchase agreements, securities sold short 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, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 58%, 45%, 48%, 83%, 175% and 75%, 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. | 59 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout the period)
OPPORTUNISTIC INCOME FUND (continued)
Class R6 Shares | |||||
Period from May 19, 2021 (commencement of operations) through August 31, 2021 (Unaudited) | |||||
Net asset value, beginning of period | $ | 25.86 | |||
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Income (loss) from investment operations: |
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Net investment income (loss)(a)† | 0.23 | ||||
Net realized and unrealized gain (loss) | (0.05 | ) | |||
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Total from investment operations | 0.18 | ||||
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Less distributions to shareholders: |
| ||||
From net investment income | (0.12 | ) | |||
From net realized gains | — | ||||
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Total distributions | (0.12 | ) | |||
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Net asset value, end of period | $ | 25.92 | |||
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Total Return(b) | 0.68 | %** | |||
Ratios/Supplemental Data: | |||||
Net assets, end of period (000’s) | $ | 70,829 | |||
Net operating expenses to average daily net assets(c) | 0.56 | %* | |||
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d) | 0.00 | %(e)* | |||
Total net expenses to average daily net assets(c) | 0.56 | %* | |||
Net investment income (loss) to average daily net assets(a) | 3.07 | %* | |||
Portfolio turnover rate(f) | 59 | %** | |||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.05 | %* |
(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, if any (Note 5). |
(d) | Interest expense incurred as a result of entering into reverse repurchase agreements, securities sold short 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, 2021 including transactions in USTF, was 58% of the average value of its portfolio. |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
60 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
OPPORTUNISTIC INCOME FUND (continued)
Class I Shares | |||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | Period from November 5, 2019 (commencement of operations) through February 29, 2020 | |||||||||||||
Net asset value, beginning of period | $ | 25.80 | $ | 26.12 | $ | 26.85 | |||||||||
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Income (loss) from investment operations: |
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Net investment income (loss)(a)† | 0.35 | 0.89 | 0.54 | ||||||||||||
Net realized and unrealized gain (loss) | (0.12 | ) | (0.18 | ) | (0.08 | ) | |||||||||
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Total from investment operations | 0.23 | 0.71 | 0.46 | ||||||||||||
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Less distributions to shareholders: |
| ||||||||||||||
From net investment income | (0.09 | ) | (1.03 | ) | (1.19 | ) | |||||||||
From net realized gains | — | — | — | ||||||||||||
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Total distributions | (0.09 | ) | (1.03 | ) | (1.19 | ) | |||||||||
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Net asset value, end of period | $ | 25.94 | $ | 25.80 | $ | 26.12 | |||||||||
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Total Return(b) | 0.90 | %** | 2.79 | % | 1.80 | %** | |||||||||
Ratios/Supplemental Data: | |||||||||||||||
Net assets, end of period (000’s) | $ | 480,449 | $ | 417,150 | $ | 22,684 | |||||||||
Net operating expenses to average daily net assets(c) | 0.66 | %* | 0.68 | % | 0.66 | %* | |||||||||
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e) | 0.00 | %(d)* | 0.00 | %(d) | 0.00 | %(d)* | |||||||||
Total net expenses to average daily net assets(c) | 0.66 | %* | 0.68 | % | 0.66 | %* | |||||||||
Net investment income (loss) to average daily net assets(a) | 2.71 | %* | 3.47 | % | 6.55 | %* | |||||||||
Portfolio turnover rate(f) | 59 | %** | 43 | % | 47 | %** | |||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.05 | %(g)* | 0.07 | %(g) | 0.07 | %(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, if any (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, securities sold short 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, 2021, and the years ended February 28, 2021 and February 29, 2020, including transactions in USTF, was 58%, 45% and 48%, 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. | 61 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
U.S. TREASURY FUND
Core Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | Year Ended February 29, 2020 | Year Ended February 28, 2019(a) | Year Ended February 28, 2018(a) | Year Ended February 28, 2017(a) | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 5.04 | $ | 5.02 | $ | 5.00 | $ | 5.00 | $ | 5.01 | $ | 5.01 | ||||||||||||||||||
|
|
|
|
|
|
|
|
| �� |
|
| |||||||||||||||||||
Income (loss) from investment operations: |
| |||||||||||||||||||||||||||||
Net investment income (loss)† | 0.00 | (b) | 0.01 | 0.10 | 0.10 | 0.05 | 0.02 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.00 | (b) | 0.02 | 0.02 | 0.01 | (0.01 | ) | 0.00 | (b) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.00 | (b) | 0.03 | 0.12 | 0.11 | 0.04 | 0.02 | |||||||||||||||||||||||
|
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|
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|
|
|
|
|
|
| |||||||||||||||||||
Less distributions to shareholders: |
| |||||||||||||||||||||||||||||
From net investment income | (0.00 | )(b) | (0.01 | ) | (0.10 | ) | (0.11 | ) | (0.05 | ) | (0.02 | ) | ||||||||||||||||||
From net realized gains | (0.00 | )(b) | (0.00 | )(b) | — | — | — | (0.00 | )(b) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.00 | )(b) | (0.01 | ) | (0.10 | ) | (0.11 | ) | (0.05 | ) | (0.02 | ) | ||||||||||||||||||
|
|
|
|
|
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|
|
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|
| |||||||||||||||||||
Net asset value, end of period | $ | 5.04 | $ | 5.04 | $ | 5.02 | $ | 5.00 | $ | 5.00 | $ | 5.01 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(c) | 0.09 | %** | 0.63 | % | 2.47 | % | 2.16 | % | 0.96 | % | 0.54 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 303,299 | $ | 382,455 | $ | 222,762 | $ | 635,777 | $ | 2,324,706 | $ | 2,666,697 | ||||||||||||||||||
Net expenses to average daily net assets | 0.02 | %* | 0.08 | % | 0.06 | % | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | ||||||||||||||||||
Net investment income (loss) to average daily net assets | 0.08 | %* | 0.20 | % | 2.03 | % | 1.97 | % | 1.06 | % | 0.47 | % | ||||||||||||||||||
Portfolio turnover rate(e) | 0 | %** | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.09 | %* | 0.03 | % | 0.05 | % | 0.10 | % | 0.09 | % | 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. |
62 | See accompanying notes to the financial statements. |
GMO Trust Funds
August 31, 2021 (Unaudited)
1. | Organization |
Each of Asset Allocation Bond Fund, Emerging Country Debt Fund, High Yield Fund, Multi-Sector Fixed Income 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 | 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 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
63 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
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, 2021, 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
64 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
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, 2021:
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Asset Allocation Bond Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
U.S. Government | $ | 75,720,766 | $ | — | $ | — | $ | 75,720,766 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 75,720,766 | — | — | 75,720,766 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | 311,657 | — | — | 311,657 | ||||||||||||
Short-Term Investments | 190,223 | — | — | 190,223 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 76,222,646 | — | — | 76,222,646 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 76,222,646 | $ | — | $ | — | $ | 76,222,646 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Emerging Country Debt Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 21,709,460 | $ | — | $ | 21,709,460 | ||||||||
Corporate Debt | — | 186,210,222 | 26,985,383 | 213,195,605 | ||||||||||||
Foreign Government Agency | 6,053,100 | 1,051,228,662 | 90,446,191 | 1,147,727,953 | ||||||||||||
Foreign Government Obligations | — | 2,352,201,452 | 143,286,342 | 2,495,487,794 | ||||||||||||
U.S. Government | 348,056,909 | — | — | 348,056,909 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 354,110,009 | 3,611,349,796 | 260,717,916 | 4,226,177,721 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Loan Assignments | — | — | 60,677,038 | 60,677,038 | ||||||||||||
Loan Participations | — | — | 38,546,730 | 38,546,730 | ||||||||||||
Mutual Funds | 74,784,247 | — | — | 74,784,247 | ||||||||||||
Rights/Warrants | — | 18,973,049 | 21,656 | 18,994,705 | ||||||||||||
Short-Term Investments | 37,431,780 | — | — | 37,431,780 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 466,326,036 | 3,630,322,845 | 359,963,340 | 4,456,612,221 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 615,642 | — | 615,642 | ||||||||||||
Options | ||||||||||||||||
Credit Risk | — | — | 553,850 | 553,850 | ||||||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | 13,649,200 | — | 13,649,200 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 466,326,036 | $ | 3,644,587,687 | $ | 360,517,190 | $ | 4,471,430,913 | ||||||||
|
|
|
|
|
|
|
| |||||||||
65 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Emerging Country Debt Fund (continued) | ||||||||||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ |
| |||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (1,280,279 | ) | $ | — | $ | (1,280,279 | ) | ||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | (3,826,307 | ) | — | (3,826,307 | ) | ||||||||||
Interest Rate Risk | — | (4,162,217 | ) | — | (4,162,217 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (9,268,803 | ) | $ | — | $ | (9,268,803 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
Corporate Debt | $ | — | $ | 33,041,264 | $ | — | $ | 33,041,264 | ||||||||
U.S. Government | 150,087 | — | — | 150,087 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 150,087 | 33,041,264 | — | 33,191,351 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 54,254,742 | 9,090,984 | — | 63,345,726 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 54,404,829 | 42,132,248 | — | 96,537,077 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | $ | 20,860 | $ | — | $ | — | $ | 20,860 | ||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | 2,560,070 | — | 2,560,070 | ||||||||||||
Interest Rate Risk | — | 599,621 | — | 599,621 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 54,425,689 | $ | 45,291,939 | $ | — | $ | 99,717,628 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ |
| |||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (9,318 | ) | $ | — | $ | (9,318 | ) | ||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | (8,620 | ) | — | — | (8,620 | ) | ||||||||||
Written Options | ||||||||||||||||
Credit Risk | — | (82,538 | ) | — | (82,538 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | (651,005 | ) | — | (651,005 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (8,620 | ) | $ | (742,861 | ) | $ | — | $ | (751,481 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Multi-Sector Fixed Income Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
Corporate Debt | $ | — | $ | 52,630,280 | $ | — | $ | 52,630,280 | ||||||||
U.S. Government Agency | — | 26,027,657 | — | 26,027,657 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | — | 78,657,937 | — | 78,657,937 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | 50,860,891 | — | — | 50,860,891 | ||||||||||||
Mutual Funds | 47,679,663 | — | — | 47,679,663 | ||||||||||||
Short-Term Investments | 7,144,361 | 24,771,807 | — | 31,916,168 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 105,684,915 | 103,429,744 | — | 209,114,659 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
66 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Multi-Sector Fixed Income Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | 422,637 | $ | — | $ | 422,637 | ||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 94,746 | — | — | 94,746 | ||||||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | 693,716 | — | 693,716 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 105,779,661 | $ | 104,546,097 | $ | — | $ | 210,325,758 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ |
| |||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (943,762 | ) | $ | — | $ | (943,762 | ) | ||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | (27,779 | ) | — | — | (27,779 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Risk | — | (2,073,108 | ) | — | (2,073,108 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (27,779 | ) | $ | (3,016,870 | ) | $ | — | $ | (3,044,649 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Opportunistic Income Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 641,523,816 | $ | 28,936,383 | $ | 670,460,199 | ||||||||
Corporate Debt | — | 8,915,631 | — | 8,915,631 | ||||||||||||
U.S. Government | 96,027,619 | — | — | 96,027,619 | ||||||||||||
U.S. Government Agency | — | 10,182,346 | 8,777,026 | 18,959,372 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 96,027,619 | 660,621,793 | 37,713,409 | 794,362,821 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | 11,003,541 | — | — | 11,003,541 | ||||||||||||
Short-Term Investments | 205,705,080 | — | — | 205,705,080 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 312,736,240 | 660,621,793 | 37,713,409 | 1,011,071,442 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 2,784 | — | 2,784 | ||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 95,649 | — | — | 95,649 | ||||||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | 21,829,542 | — | 21,829,542 | ||||||||||||
Interest Rate Risk | — | 1,687,223 | — | 1,687,223 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 312,831,889 | $ | 684,141,342 | $ | 37,713,409 | $ | 1,034,686,640 | ||||||||
|
|
|
|
|
|
|
| |||||||||
67 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Opportunistic Income Fund (continued) | ||||||||||||||||
Liability Valuation Inputs | ||||||||||||||||
Debt Obligations |
| |||||||||||||||
U.S. Government Agency | $ | — | $ | (10,462,109 | ) | $ | — | $ | (10,462,109 | ) | ||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | (3,089 | ) | — | (3,089 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | (11,310 | ) | — | — | (11,310 | ) | ||||||||||
Written Options | ||||||||||||||||
Credit Risk | — | (6,205 | ) | — | (6,205 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | (12,403,553 | ) | — | (12,403,553 | ) | ||||||||||
Interest Rate Risk | — | (268,053 | ) | — | (268,053 | ) | ||||||||||
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Total | $ | (11,310 | ) | $ | (23,143,009 | ) | $ | — | $ | (23,154,319 | ) | |||||
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U.S. Treasury Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Short-Term Investments | $ | 303,176,571 | $ | — | $ | — | $ | 303,176,571 | ||||||||
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Total Investments | 303,176,571 | — | — | 303,176,571 | ||||||||||||
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Total | $ | 303,176,571 | $ | — | $ | — | $ | 303,176,571 | ||||||||
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The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.
^ | 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). 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 the average of a selection of comparable bonds 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 125 basis points for liquidity considerations and nine asset backed securities which were either adjusted for additional cashflow projections discounted for timing and likelihood of receipt or valued based on a comparable bond. There were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at August 31, 2021.
68 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (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 28, 2021 | 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, 2021 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2021 | |||||||||||||||||||||||||||||||
Emerging Country Debt Fund | ||||||||||||||||||||||||||||||||||||||||
Debt Obligations | ||||||||||||||||||||||||||||||||||||||||
Corporate Debt | $ | 27,230,315 | $ | — | $ | — | $ | (864 | ) | $ | — | $ | (244,068 | ) | $ | — | $ | — | $ | 26,985,383 | $ | (244,068 | ) | |||||||||||||||||
Foreign Government Agency | 91,338,775 | — | — | 9,218,435 | — | (10,111,019 | ) | — | — | 90,446,191 | (10,111,019 | ) | ||||||||||||||||||||||||||||
Foreign Government Obligations | 141,279,144 | 17,664 | (3,206,335 | ) | 11,744,159 | — | (6,548,290 | ) | — | — | 143,286,342 | (6,548,290 | ) | |||||||||||||||||||||||||||
Loan Assignments | 23,371,890 | 38,040,922 | (2,185,729 | ) | 765,029 | (181 | ) | 685,107 | — | — | 60,677,038 | 685,859 | ||||||||||||||||||||||||||||
Loan Participations | 39,866,840 | 3,975,000 | (13,206,897 | ) | 970,997 | 462,245 | 6,478,545 | — | — | 38,546,730 | 6,478,545 | |||||||||||||||||||||||||||||
Rights/Warrants | 34,800 | — | — | — | — | (13,144 | ) | — | — | 21,656 | (13,144 | ) | ||||||||||||||||||||||||||||
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Total Investments | 323,121,764 | 42,033,586 | (18,598,961 | ) | 22,697,756 | 462,064 | (9,752,869 | ) | — | — | 359,963,340 | (9,752,117 | ) | |||||||||||||||||||||||||||
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Derivatives | ||||||||||||||||||||||||||||||||||||||||
Options | 390,519 | — | — | — | 637,313 | (473,982 | ) | — | — | 553,850 | 408,882 | |||||||||||||||||||||||||||||
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Total | $ | 323,512,283 | $ | 42,033,586 | $ | (18,598,961 | )# | $ | 22,697,756 | $ | 1,099,377 | $ | (10,226,851 | ) | $ | — | $ | — | $ | 360,517,190 | $ | (9,343,235 | ) | |||||||||||||||||
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Opportunistic Income Fund | ||||||||||||||||||||||||||||||||||||||||
Debt Obligations | ||||||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 42,612,548 | $ | — | $ | (3,042,444 | ) | $ | 121,632 | $ | (84,260 | ) | $ | 1,474,589 | $ | — | $ | (12,145,682 | )‡ | $ | 28,936,383 | $ | 1,520,108 | |||||||||||||||||
U.S. Government Agency | 9,938,002 | — | (1,221,250 | ) | — | 16,405 | 43,869 | — | — | 8,777,026 | 43,869 | |||||||||||||||||||||||||||||
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Total | $ | 52,550,550 | $ | — | $ | (4,263,694 | )## | $ | 121,632 | $ | (67,855 | ) | $ | 1,518,458 | $ | — | $ | (12,145,682 | ) | $ | 37,713,409 | $ | 1,563,977 | |||||||||||||||||
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# | Includes $12,468,847 of proceeds received from partial calls and/or principal paydowns as applicable. |
## | Includes $4,263,695 of proceeds received from partial calls and/or principal paydowns as applicable. |
‡ | Financial assets transferred between levels were due to a change in observable and/or unobservable inputs. |
The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended August 31, 2021 for Funds with material Level 3 investments.
Quantitative information about Level 3 Fair Value Measurements*
Investment Type | Total Fair Value ($) | Valuation Methodology | Unobservable Inputs | Range (Weighted Average) | ||||||
Emerging Country Debt Fund | ||||||||||
Foreign Government Obligations | 45,854,980 | Fair Value | Discount for lack of liquidity/marketability | 1.40% (N/A) | ||||||
Corporate Debt | 26,985,383 | Fair Value | Discount for lack of liquidity/marketability | 2.00% (N/A) | ||||||
Loan Assignments and Participations | 8,180,584 | Fair Value | Discount for lack of liquidity/marketability | 5.00%-6.00% (5.00%) | ||||||
Warrants | 21,656 | Fair Value | Discount for lack of liquidity/marketability | 50% (N/A) | ||||||
Options | 553,850 | Fair Value | Probability of CDS threshold event | <5% (N/A) |
69 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Investment Type | Total Fair Value ($) | Valuation Methodology | Unobservable Inputs | Range (Weighted Average) | ||||||
Opportunistic Income Fund | ||||||||||
Asset-Backed Securities | — | Fair Value | Probability and timing of cash flow receipt | 10-90% (N/A) | ||||||
Asset-Backed Securities | 21,604,671 | Fair Value | Broker mark of comparable bond | N/A | ||||||
Government Agency | 8,777,026 | Fair Value | Discount for lack of liquidity/marketability | 1.25% (N/A) |
* | The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of August 31, 2021, the value of these securities and/or derivatives for Emerging Country Debt Fund and Opportunistic Income Fund was $278,920,737 and $7,331,712, 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.
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
70 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
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 generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. As of August 31, 2021, the Funds listed below had entered into reverse repurchase agreements.
Fund Name | Received from reverse repurchase agreements ($) | Market value of securities plus accrued interest ($) | ||||||
Emerging Country Debt Fund | 20,056,936 | 19,923,002 |
As of August 31, 2021, Emerging Country Debt Fund had investments in reverse repurchase agreements with J.P. Morgan Securities Plc with a gross value of $20,056,936. The value of related collateral on reverse repurchase agreements exceeded the value at period end. As of August 31, 2021, the reverse repurchase agreements held by Emerging Country Debt Fund had open maturity dates.
Reverse repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
The following is a summary of the gross value of reverse repurchase agreements categorized by class of collateral pledged and maturity date:
August 31, 2021 | ||||||||||||||||||||||||
Remaining Contractual Maturity of the Agreements | ||||||||||||||||||||||||
Overnight and Continuous | Up to 30 days | Between 30-90 days | Greater Than 90 days | On Demand | Total | |||||||||||||||||||
Emerging Country Debt Fund | ||||||||||||||||||||||||
Reverse Repurchase Agreements | ||||||||||||||||||||||||
Corporate Debt | $ | — | $ | — | $ | — | $ | — | $ | 3,666,906 | $ | 3,666,906 | ||||||||||||
Non-U.S. Government Debt Obligations | — | — | — | — | 16,390,030 | 16,390,030 | ||||||||||||||||||
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Total borrowings | $ | — | $ | — | $ | — | $ | — | $ | 20,056,936 | $ | 20,056,936 | ||||||||||||
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71 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Inflation-indexed bonds
The Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation/deflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation/deflation into the principal value of the bond. Many other issuers adjust the coupon accruals for inflation related changes.
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 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
72 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
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, 2021, 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 28, 2021, certain Funds elected to defer to March 1, 2021 late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:
Fund Name | Late-Year Ordinary Loss Deferral ($) | Post- October Capital Loss Deferral ($) | ||||||
Asset Allocation Bond Fund | (12,156) | (64,953) | ||||||
Emerging Country Debt Fund | — | — | ||||||
High Yield Fund | — | — | ||||||
Multi-Sector Fixed Income Fund | (2,819,162) | — | ||||||
Opportunistic Income Fund | — | — | ||||||
U.S. Treasury Fund | — | — |
As of February 28, 2021, 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 28, 2021, 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 | (26,085,292) | (29,810,774) | ||||||
Emerging Country Debt Fund | — | — | ||||||
High Yield Fund | — | — | ||||||
Multi-Sector Fixed Income Fund | (291,118) | (23,318,639) | ||||||
Opportunistic Income Fund | — | (59,208,878) | ||||||
U.S. Treasury Fund | — | — |
73 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
As of August 31, 2021, 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 | 74,361,519 | 1,861,127 | — | 1,861,127 | — | |||||||||||||||
Emerging Country Debt Fund | 4,877,186,175 | 277,925,196 | (698,499,150 | ) | (420,573,954 | ) | (16,730,219 | ) | ||||||||||||
High Yield Fund | 94,937,660 | 1,644,073 | (44,656 | ) | 1,599,417 | 983,028 | ||||||||||||||
Multi-Sector Fixed Income Fund | 201,645,566 | 10,124,839 | (2,655,746 | ) | 7,469,093 | (1,834,421 | ) | |||||||||||||
Opportunistic Income Fund | 1,034,693,647 | 20,866,497 | (54,950,811 | ) | (34,084,314 | ) | (7,318,169 | ) | ||||||||||||
U.S. Treasury Fund | 303,123,673 | 54,896 | (1,998 | ) | 52,898 | — |
The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. A Fund may recognize an income tax liability related to an uncertain tax position under U.S. GAAP when the uncertain tax position has a less than 50% probability that it would be sustained upon examination by the tax authorities, based on technical merits. 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. As of August 31, 2021, each Fund has determined that no tax liability is required to be accrued in its financial statements related to uncertain tax positions for any tax years which are subject to examination.
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
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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 (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 increase or decrease 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 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, 2021, 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 | Opportunistic Income Fund(2) | U.S. Treasury Fund | |||||||
Purchase Premium | — | 0.75% | — | — | — | — | ||||||
Redemption Fee | — | 0.75% | — | — | — | — |
(1) | For the periods from July 31, 2020 to May 18, 2021, 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 1.00%, 1.50%, 2.00%, 1.15% and 0.75%, respectively, 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. |
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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 | 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 | ||||||||||
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.
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Each Fund that invests in other GMO Funds or other investment companies (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund as a result of its investment in 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; 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 GMO’s view changes adversely (whether due to external events or otherwise) does not mean that a Fund’s existing transactions with that counterparty will 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
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what impact an insolvency of a clearing house would have on the financial system. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations or realization on collateral, could be stayed or eliminated under 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 (commonly 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 obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. The market price of a fixed income investment will normally decline as a result (and/or in anticipation) of the failure of an issuer, guarantor, or obligor to meet its payment obligations or a downgrading of the credit rating of the investment. This risk is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Fixed income investments also are subject to illiquidity risk. See “Illiquidity Risk.”
All fixed income investments are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending on 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 the particular security 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 on whether the securities are supported by the full faith and credit of the United States, supported by the ability of the obligor 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 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 often 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 in U.S. bonds.
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.”
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 investment 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.
• 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 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 any). 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 be able to do so only 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. The use of 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.
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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 valuations generated by GMO’s pricing models are different from amounts the Funds realize when they close or sell a 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, none of the Funds will be permitted to trade with that counterparty.
OTC 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. Since 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 those with respect to OTC derivatives (commonly referred to as “bilateral arrangements”), for example, by requiring that funds provide more margin for their cleared derivative positions. Also, as a general matter, in contrast to an OTC 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. 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 an 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
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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 OTC 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 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 will be executed successfully and others 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 OTC derivatives. Variation margin requirements became effective in March 2017 and initial margin requirements will become effective in 2021 or 2022. 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.
In October 2020, the SEC adopted Rule 18f-4 under the 1940 Act, which, once effective, will govern the use of derivative investments and certain financing transactions (e.g., reverse repurchase agreements) by registered investment companies. Among other things, Rule 18f-4 requires funds that invest in derivative instruments above a specified amount apply a value-at-risk based limit to their use of certain derivative instruments and financing transactions and to adopt and implement a derivatives risk management program. A Fund that uses derivative instruments in a limited amount will not be subject to the full requirements of Rule 18f-4. In connection with the adoption of Rule 18f-4, the Funds will no longer be required to comply with the asset segregation framework arising from prior SEC guidance for covering certain derivative instruments and related transactions. Compliance with Rule 18f-4 will not be required until August 2022. Rule 18f-4 could have an adverse impact on a Fund’s performance and ability to implement its investment strategies as it has historically.
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 OTC derivatives. The cost of derivatives transactions could 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. 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.
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
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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 exercise the option only on its expiration date). If a Fund writes a call option and does not hold the underlying security, the Fund’s potential loss is 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. These limits can 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 securities, 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 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 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 those fees and expenses.
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 those investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.
In October 2020, the SEC adopted regulatory changes and took other actions related to the ability of an investment company to invest in the securities of another investment company. These changes include, among other things, (i) the rescission of various SEC exemptive orders permitting investments in excess of the statutory limits (including the Trust’s exemptive order referred to above) and the withdrawal of related SEC staff no-action letters and (ii) the adoption of Rule 12d1-4 under the 1940 Act. Rule 12d1-4, which became effective on January 19, 2021, which permits the Funds to invest in other investment companies beyond the statutory limits, subject to various conditions. The rescission of the applicable exemptive orders and the withdrawal of the related no-action letters will be effective on January 19, 2022. After that date, an investment company will be subject to Rule 12d1-4 and other applicable rules under Section 12(d)(1). While the impact of these regulatory changes on the Funds is uncertain, the changes could reduce a Fund’s flexibility to make investments in other registered investment companies (including other Funds) and require a Fund to modify its investments.
• FUTURES CONTRACTS RISK. The 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 requires a liquid secondary market. A liquid secondary market may not exist for any particular futures contract at any particular time, and as a result a Fund may be unable when it wishes to effect closing transactions to terminate its exposure under that 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 subject to 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 and that could occur 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 an increase in the price of its positions.
The Commodity Futures Trading Commission (the “CFTC”) and 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 and its affiliated entities may trade on a particular day. An exchange may order the liquidation of positions found to be in violation of these limits, and it also may impose sanctions or restrictions. In addition, the CFTC recently adopted rules that, once effective, will expand materially the contracts subject to federal limits. As a result of those 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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Neither the contracts nor the foreign exchanges of futures contracts traded on exchanges outside the United States are subject to regulation by the CFTC or other U.S. regulators. U.S. regulators lack the power to compel enforcement of the rules of those exchanges or the laws of the country where they are located. In addition, foreign futures contracts may be less liquid and more volatile than U.S. futures 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 or at all. 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 or writing a put or closing a short position). If a Fund is unable to sell an illiquid asset, it could miss other investment opportunities, fail to meet redemption requests, or be unable to meet other cash needs. In addition, it may be required to sell other assets it would prefer to hold.
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 an investment will be less than the price it was valued when held by the Fund. Illiquidity risk also tends to be greater in times of financial stress, including the markets for securities in entire asset classes. 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 significantly changing their market value. 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 of 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 significantly depress the market price of the securities being sold.
A Fund’s ability to use options in 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. Moreover, the hours of trading for options on an exchange may not conform to the hours of trading of the underlying securities, creating a risk of significant changes in the prices of underlying securities that are not immediately reflected in the options markets. If a Fund receives a redemption request and is unable to close out an option it has sold, the Fund 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 separate 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 some of those separate accounts hold a substantial portion of the outstanding shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from 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. In some cases, a redemption of a large number of shares could disrupt the Fund’s operations or force the Fund’s liquidation. Further, from time to time a Fund may trade in anticipation of a purchase order or redemption request that ultimately is not received or differs in size
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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 (if any). 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, in relying on GMO to achieve its investment objective, it 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. In addition, GMO’s models rely on assumptions and data that are subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value and 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 reduced 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.
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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, corrupting, or preventing access to 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, interfere with the use of quantitative models, 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. In addition, the global spread of COVID-19 has caused the Funds and their service providers to implement business continuity plans, including widespread use of work-from-home arrangements, which may make the Funds and their service providers more susceptible to cyber-attacks. 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 the Funds or accurately pricing their securities. 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 the Funds’ service providers and counterparties and 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, sanctions and terrorism) will disrupt securities markets, adversely affect global economies and markets and exacerbate the effects of other risks to which the Funds are subject, 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 held by the Funds. Fraud and other deceptive practices committed by an issuer of securities held by a Fund, 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”), subject to a transition period. Before the end of the transition period, the United Kingdom and the European Union ratified the EU-UK Trade and Cooperation Agreement (the “TCA”), which lays out the terms of the United Kingdom’s future cooperation with the European Union. Notwithstanding the TCA, significant uncertainty remains in the market regarding the ramifications of Brexit, and the range and potential implications of possible political, regulatory, economic and market outcomes are difficult to predict. The impact of Brexit on the U.K. and European economies and the broader global economy could be significant, resulting in negative impacts on currency and financial markets generally, such as increased volatility and illiquidity, and potentially lower economic growth in markets in the United Kingdom, Europe, and globally, which may
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adversely affect the value of a Fund’s investments. 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 industry-specific restrictions, against non-U.S. governments, officials, institutions, and companies (including, in recent years, against countries such as China, Russia, and Venezuela. These sanctions, any additional sanctions or intergovernmental actions or even the threat of further sanctions could result, in a decline in the value and liquidity of securities of companies in such non-U.S. countries, a weakening of the currencies of those countries or other adverse consequences to their economies. Sanctions impair the ability of the Funds to buy, sell, receive or deliver the securities that are subject to the sanctions and may require the Funds to divest their holdings in those securities at inopportune times. 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 impossible 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 known as COVID-19 beginning in late 2019 (described below)), and systemic market dislocations (such as the kind surrounding the insolvency of Lehman Brothers in 2008), can adversely affect 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, by causing the Funds’ derivatives counterparties to discontinue or limit offering derivatives on some underlying commodities, securities, reference rates. 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.
A global outbreak of COVID-19 and subsequent efforts to contain its spread have resulted in, among other things, extreme volatility and reduced liquidity in financial markets; exchange trading suspensions and closures; higher default rates; travel restrictions and disruptions; significant disruptions to business operations and supply chains; lower consumer demand for goods and services; significant job losses and increasing unemployment; event and service cancellations and restrictions; significant challenges in healthcare service preparation and delivery; prolonged quarantines; as well as general concern and uncertainty. The impact of this pandemic and any other epidemic or pandemic that may arise in the future could adversely affect the economies of many nations or the entire global economy and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways. Extraordinary actions taken by governments and central banks to support local and global economies and the financial markets in response to the COVID-19 pandemic may not succeed or have the intended effect, and in some cases, have resulted in a large expansion of government deficits and debt, the long-term consequences of which are not known. This crisis or other public health crises may also exacerbate other pre-existing political, social, economic, market and financial risks. The duration of the COVID-19 pandemic and its effects cannot be determined with certainty. The effects of the COVID-19 pandemic or any other future epidemic or pandemic could impair a Fund’s ability to maintain operational standards (such as with respect to satisfying redemption requests), disrupt the operations of a Fund’s service providers, exacerbate other risks that apply to a Fund, and adversely affect the value and liquidity of a Fund’s investments.
• 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 on their payment obligations and the value of the principal payments they otherwise would have made 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.
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. A single financial institution may serve as a servicer for many asset-backed securities. As a result, a disruption in that institution’s business likely would have a material impact on the many asset-backed securities it services. The obligations underlying an asset-backed security, particularly a security backed by a pool 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 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.
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.
During periods of deteriorating economic conditions, such as recessions or periods of rising unemployment, delinquencies and losses generally increase, sometimes dramatically, with respect to securitizations involving loans, sales contracts, receivables and other obligations underlying asset-backed securities. The effects of the COVID-19 virus, and governmental responses to the effects of the virus, may result in increased delinquencies and losses and have other, potentially unanticipated, adverse effects on such investments and the markets for those investments.
Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as 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 that are characterized as relatively cyclical often are especially sensitive to economic cycles, which means they typically underperform non-cyclical equities during economic downturns. Performance of cyclical equities 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 as assessed by GMO and GMO’s assessment proves to be incorrect, the Fund runs the risk that the market price of the equity will not appreciate or will decline. 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.”
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 to near historically low levels. A substantial increase in interest rates could have a material adverse effect on the market value of 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. High Yield Fund and Multi-Sector Fixed Income 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 (particularly emerging 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 often fluctuate more than those of securities traded on U.S. securities markets. 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, recordkeeping, accounting, custody and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. The Public Company Accounting Oversight Board, which regulates auditors of U.S. public companies, is unable to inspect audit work papers in some non-U.S. countries. Investors in non-U.S. countries often have limited rights and few practical remedies to pursue shareholder claims, including class actions or fraud claims, and the ability of the SEC, the U.S. Department of Justice and other authorities to bring and enforce actions against non-U.S. issuers or non-U.S. persons is limited.
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.
GMO’s decision to seek a refund on behalf of a Fund 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 process of seeking a refund may take years, and the outcome of a Fund’s efforts to obtain a refund is inherently uncertain. Accordingly, a refund is not typically reflected in the Fund’s net asset value until GMO believes that the refund is collectible and free from significant contingencies. In some cases, the amount of such refunds could be material to a Fund’s net asset value. If you redeem your shares of a Fund before a potential refund is reflected in the Fund’s net asset value, you will not realize the benefit of that refund.
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 companies 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 and increased risk of currency devaluation and hyperinflation; 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; increased risk of market manipulation or fraudulent trade practices; controls on investment (including restrictions on foreign investment), capital controls and limitations on repatriation of invested
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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); lower trading volumes; unavailability of currency hedging techniques; less rigorous accounting, auditing, corporate governance, financial reporting, recordkeeping, and regulatory standards and practices; unavailability of reliable information about issuers; slower clearance and settlement; limitations on, or difficulties enforcing legal judgments, contractual rights, or other remedies, including those available to a Fund in respect of its portfolio holdings; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries often 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.
• 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.
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.
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
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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, 2021, the following table shows how the Fund used these derivatives (marked with an X):
Type of Derivative and Objective for Use | Emerging Country Debt Fund | High Yield Fund | Multi-Sector Fixed Income 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) | ||||||||||||||||
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 | 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 | ||||||||||||||
Hedge non-core equity exposure | X | |||||||||||||||
Adjust portfolio beta | X | |||||||||||||||
Generate long risk exposure to an index | X |
Forward currency contracts
The Funds (except U.S. Treasury Fund) may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market price of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked-to-market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was settled.
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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 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.
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In a credit linked option contract, one party makes payments to another party in exchange for the option to exercise a contract where the buyer has the right to receive a specified return if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities and a specified decrease in the value of the related collateral occurs. A writer of a credit linked option receives periodic payments in return for its obligation to pay an agreed-upon value to the other party if they exercise their option in the case of a credit event. If no credit event occurs, the seller has no payment obligation and will keep the premiums received.
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 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
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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, 2021 and the Statements of Operations for the period ended August 31, 2021^:
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 | Foreign Currency Contracts | Interest Rate Contracts | Total | |||||||||||||
Emerging Country Debt Fund | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | $ | — | $ | 615,642 | $ | — | $ | 615,642 | ||||||||
Options, at value | 553,850 | — | — | 553,850 | ||||||||||||
Swap Contracts, at value¤ | 13,649,200 | — | — | 13,649,200 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 14,203,050 | $ | 615,642 | $ | — | $ | 14,818,692 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | (1,280,279 | ) | $ | — | $ | (1,280,279 | ) | ||||||
Swap Contracts, at value¤ | (3,826,307 | ) | — | (4,162,217 | ) | (7,988,524 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (3,826,307 | ) | $ | (1,280,279 | ) | $ | (4,162,217 | ) | $ | (9,268,803 | ) | ||||
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| |||||||||
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Credit Contracts | Foreign Currency Contracts | Interest Rate Contracts | Total | |||||||||||||
Emerging Country Debt Fund (continued) | ||||||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 6,626,448 | $ | — | $ | 6,626,448 | ||||||||
Options | 637,313 | — | — | 637,313 | ||||||||||||
Swap Contracts | (5,553,053 | ) | — | 71,195 | (5,481,858 | ) | ||||||||||
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|
|
|
|
|
|
| |||||||||
Total | $ | (4,915,740 | ) | $ | 6,626,448 | $ | 71,195 | $ | 1,781,903 | |||||||
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|
|
| |||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | (319,626 | ) | $ | — | $ | (319,626 | ) | ||||||
Options | (473,982 | ) | — | — | (473,982 | ) | ||||||||||
Swap Contracts | (2,740,156 | ) | — | (3,843,321 | ) | (6,583,477 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (3,214,138 | ) | $ | (319,626 | ) | $ | (3,843,321 | ) | $ | (7,377,085 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Unrealized Appreciation on Futures Contracts¤ | $ | — | $ | — | $ | 20,860 | $ | 20,860 | ||||||||
Swap Contracts, at value¤ | 2,560,070 | — | 599,621 | 3,159,691 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,560,070 | $ | — | $ | 620,481 | $ | 3,180,551 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Unrealized Depreciation on Futures Contracts¤ | $ | — | $ | — | $ | (8,620 | ) | $ | (8,620 | ) | ||||||
Unrealized Depreciation on Forward Currency Contracts | — | (9,318 | ) | — | (9,318 | ) | ||||||||||
Written Options, at value | (82,538 | ) | — | — | (82,538 | ) | ||||||||||
Swap Contracts, at value¤ | (651,005 | ) | — | — | (651,005 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (733,543 | ) | $ | (9,318 | ) | $ | (8,620 | ) | $ | (751,481 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Net Realized Gain (Loss) on | ||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | 26,629 | $ | 26,629 | ||||||||
Forward Currency Contracts | — | 559,024 | — | 559,024 | ||||||||||||
Swap Contracts | 964,391 | — | 653,724 | 1,618,115 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 964,391 | $ | 559,024 | $ | 680,353 | $ | 2,203,768 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | (273,716 | ) | $ | — | $ | (273,716 | ) | ||||||
Futures Contracts | — | — | 72,297 | 72,297 | ||||||||||||
Written Options | 98,853 | — | — | 98,853 | ||||||||||||
Swap Contracts | (193,397 | ) | — | 727,803 | 534,406 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (94,544 | ) | $ | (273,716 | ) | $ | 800,100 | $ | 431,840 | ||||||
|
|
|
|
|
|
|
| |||||||||
Multi-Sector Fixed Income Fund | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | $ | — | $ | 422,637 | $ | — | $ | 422,637 | ||||||||
Unrealized Appreciation on Futures Contracts¤ | — | — | 94,746 | 94,746 | ||||||||||||
Swap Contracts, at value¤ | — | — | 693,716 | 693,716 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | 422,637 | $ | 788,462 | $ | 1,211,099 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | (943,762 | ) | $ | — | $ | (943,762 | ) | ||||||
Unrealized Depreciation on Futures Contracts¤ | — | — | (27,779 | ) | (27,779 | ) | ||||||||||
Swap Contracts, at value¤ | — | — | (2,073,108 | ) | (2,073,108 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (943,762 | ) | $ | (2,100,887 | ) | $ | (3,044,649 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
96 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Credit Contracts | Foreign Currency Contracts | Interest Rate Contracts | Total | |||||||||||||
Multi-Sector Fixed Income Fund (continued) | ||||||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | 981,183 | $ | 981,183 | ||||||||
Forward Currency Contracts | — | 2,510,668 | — | 2,510,668 | ||||||||||||
Swap Contracts | — | — | (6,665,826 | ) | (6,665,826 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | 2,510,668 | $ | (5,684,643 | ) | $ | (3,173,975 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | (1,559,028 | ) | $ | — | $ | (1,559,028 | ) | ||||||
Futures Contracts | — | — | 254,406 | 254,406 | ||||||||||||
Swap Contracts | — | — | (1,817,325 | ) | (1,817,325 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (1,559,028 | ) | $ | (1,562,919 | ) | $ | (3,121,947 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Opportunistic Income Fund | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | $ | — | $ | 2,784 | $ | — | $ | 2,784 | ||||||||
Unrealized Appreciation on Futures Contracts¤ | — | — | 95,649 | 95,649 | ||||||||||||
Swap Contracts, at value¤ | 21,829,542 | — | 1,687,223 | 23,516,765 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 21,829,542 | $ | 2,784 | $ | 1,782,872 | $ | 23,615,198 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | (3,089 | ) | $ | — | $ | (3,089 | ) | ||||||
Unrealized Depreciation on Futures Contracts¤ | — | — | (11,310 | ) | (11,310 | ) | ||||||||||
Swap Contracts, at value¤ | (12,403,553 | ) | — | (268,053 | ) | (12,671,606 | ) | |||||||||
Written Options, at value | (6,205 | ) | — | — | (6,205 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (12,409,758 | ) | $ | (3,089 | ) | $ | (279,363 | ) | $ | (12,692,210 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Net Realized Gain (Loss) on | ||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | 2,359,093 | $ | 2,359,093 | ||||||||
Written Options | 814,956 | — | — | 814,956 | ||||||||||||
Forward Currency Contracts | — | 10,523 | — | 10,523 | ||||||||||||
Swap Contracts | (3,189,418 | ) | — | (230,995 | ) | (3,420,413 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (2,374,462 | ) | $ | 10,523 | $ | 2,128,098 | $ | (235,841 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 396 | $ | — | $ | 396 | ||||||||
Futures Contracts | — | — | 381,137 | 381,137 | ||||||||||||
Written Options | (14,894 | ) | — | — | (14,894 | ) | ||||||||||
Swap Contracts | (756,728 | ) | — | (1,364,593 | ) | (2,121,321 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (771,622 | ) | $ | 396 | $ | (983,456 | ) | $ | (1,754,682 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
^ | 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 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
97 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
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, 2021, 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, 2021:
Emerging Country Debt Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/Liabilities Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 519,198 | $ | (519,198 | ) | $ | — | $ | — | * | ||||||
Citibank N.A. | 134,816 | — | (134,816 | ) | — | |||||||||||
Deutsche Bank AG | 2,995,961 | — | (2,995,961 | ) | — | |||||||||||
Goldman Sachs International | 4,968,652 | (4,819,231 | ) | — | 149,421 | |||||||||||
JPMorgan Chase Bank, N.A. | 1,086,013 | — | (1,086,013 | ) | — | |||||||||||
Morgan Stanley Capital Services LLC | 1,709,651 | (1,709,651 | ) | — | — | * | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 11,414,291 | $ | (7,048,080 | ) | $ | (4,216,790 | ) | $ | 149,421 | ||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative Assets/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Citibank N.A. | $ | (138,895 | ) | $ | — | $ | 134,816 | $ | (4,079 | ) | ||||||
Deutsche Bank AG | (3,192,873 | ) | 196,912 | 2,995,961 | — | * | ||||||||||
JPMorgan Chase Bank, N.A. | (1,103,908 | ) | — | 1,086,013 | (17,895 | ) | ||||||||||
Morgan Stanley & Co. International PLC | (434,663 | ) | 224,903 | — | (209,760 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (4,870,339 | ) | $ | 421,815 | $ | 4,216,790 | $ | (231,734 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
98 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
High Yield 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. | $ | 10,941 | $ | — | $ | — | $ | 10,941 | ||||||||
Barclays Bank PLC | 37,196 | — | — | 37,196 | ||||||||||||
Goldman Sachs International | 3,585 | — | (3,585 | ) | — | |||||||||||
Morgan Stanley & Co. International PLC | 31,676 | — | (9,318 | ) | 22,358 | |||||||||||
Morgan Stanley Capital Services LLC | 516,223 | (270,000 | ) | — | 246,223 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 599,621 | $ | (270,000 | ) | $ | (12,903 | ) | $ | 316,718 | ||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative Assets/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Goldman Sachs International | $ | (82,538 | ) | $ | — | $ | 3,585 | (78,953 | ) | |||||||
Morgan Stanley & Co. International PLC | (9,318 | ) | — | 9,318 | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (91,856 | ) | $ | — | $ | 12,903 | $ | (78,953 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Multi-Sector Fixed 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. | $ | 4,709 | $ | (2,048 | ) | $ | (2,661 | ) | $ | — | * | |||||
Barclays Bank PLC | 80,165 | — | (80,165 | ) | — | |||||||||||
Citibank N.A. | 33,042 | — | (13,966 | ) | 19,076 | |||||||||||
Deutsche Bank AG | 10,868 | — | (10,868 | ) | — | |||||||||||
Goldman Sachs International | 641 | — | (641 | ) | — | |||||||||||
JPMorgan Chase Bank, N.A. | 112,275 | — | (112,275 | ) | — | |||||||||||
Morgan Stanley & Co. International PLC | 180,937 | — | (180,937 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 422,637 | $ | (2,048 | ) | $ | (401,513 | ) | $ | 19,076 | ||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative Assets/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Bank of America, N.A. | $ | (2,661 | ) | $ | — | $ | 2,661 | $ | — | |||||||
Barclays Bank PLC | (95,595 | ) | — | 80,165 | (15,430 | ) | ||||||||||
Citibank N.A. | (13,966 | ) | — | 13,966 | — | |||||||||||
Deutsche Bank AG | (329,446 | ) | 318,578 | 10,868 | — | * | ||||||||||
Goldman Sachs International | (1,498,841 | ) | — | 641 | (1,498,200 | ) | ||||||||||
JPMorgan Chase Bank, N.A. | (286,670 | ) | 143,903 | 112,275 | (30,492 | ) | ||||||||||
Morgan Stanley & Co. International PLC | (210,766 | ) | — | 180,937 | (29,829 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (2,437,945 | ) | $ | 462,481 | $ | 401,513 | $ | (1,573,951 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
99 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Opportunistic Income Fund
Counterparty | Gross Derivative Assets Subject to Master Agreements | Collateral Received | Derivative Assets/Liabilities Available for Offset | Net Amount of Derivative Assets | ||||||||||||
Bank of America, N.A. | $ | 2,684,685 | $ | (2,665,972 | ) | $ | (18,713 | ) | $ | — | * | |||||
Citigroup Global Markets Inc. | 1,832,980 | (1,667,804 | ) | (165,176 | ) | — | * | |||||||||
Citibank N.A. | 3,502,390 | (2,991,348 | ) | (511,042 | ) | — | * | |||||||||
Deutsche Bank AG | 338,427 | (237,546 | ) | (100,881 | ) | — | * | |||||||||
Goldman Sachs International | 9,478,359 | (8,944,384 | ) | (533,975 | ) | — | * | |||||||||
JPMorgan Chase Bank, N.A. | 1,962,488 | (1,180,124 | ) | (782,364 | ) | — | * | |||||||||
Morgan Stanley & Co. International PLC | 404,004 | (376,024 | ) | (3,089 | ) | 24,891 | ||||||||||
Morgan Stanley Capital Services LLC | 1,363,266 | (928,725 | ) | (434,541 | ) | — | * | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 21,566,599 | $ | (18,991,927 | ) | $ | (2,549,781 | ) | $ | 24,891 | ||||||
|
|
|
|
|
|
|
| |||||||||
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. | $ | (18,713 | ) | $ | — | $ | 18,713 | $ | — | |||||||
Barclays Bank PLC | (408,199 | ) | 408,199 | — | — | * | ||||||||||
Citigroup Global Markets Inc. | (165,176 | ) | — | 165,176 | — | |||||||||||
Citibank N.A. | (511,042 | ) | — | 511,042 | — | |||||||||||
Credit Suisse International | (78,752 | ) | — | — | (78,752 | ) | ||||||||||
Deutsche Bank AG | (100,881 | ) | — | 100,881 | — | |||||||||||
Goldman Sachs International | (533,975 | ) | — | 533,975 | — | |||||||||||
JPMorgan Chase Bank, N.A. | (782,364 | ) | — | 782,364 | — | |||||||||||
Morgan Stanley & Co. International PLC | (3,089 | ) | — | 3,089 | — | |||||||||||
Morgan Stanley Capital Services LLC | (434,541 | ) | — | 434,541 | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (3,036,732 | ) | $ | 408,199 | $ | 2,549,781 | $ | (78,752 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
* | 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, 2021:
Fund Name | Forward Currency Contracts ($) | Futures Contracts ($) | Options (Principal) | Swap Contracts ($) | ||||||||||||
Emerging Country Debt Fund | 301,272,826 | — | 168,209,667 | 680,140,849 | ||||||||||||
High Yield Fund | 9,090,180 | 25,381,518 | 24,826,167 | 66,942,671 | ||||||||||||
Multi-Sector Fixed Income Fund | 153,095,642 | 95,107,145 | — | 563,473,820 | ||||||||||||
Opportunistic Income Fund | 6,072,966 | 105,891,076 | 113,916,433 | 958,981,390 |
100 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
5. | Fees and other transactions with affiliates |
GMO receives a management fee for the services it provides to each Fund. Management fees are paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:
Asset Allocation Bond Fund | Emerging Country | High Yield Fund | Multi-Sector Fixed Income 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) | Since April 9, 2021 and 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 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% | 0.055% | |||||||||||||||||||||
High Yield Fund | 0.15% | * | 0.10% | * | 0.085%* | 0.055% | 0.15%* | 0.15%* | ||||||||||||||||
Multi-Sector Fixed Income 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, 2021. |
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 for the benefit 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, “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 to recover the expenses.
For the period ended August 31, 2021, GMO did not recoup any previously recorded waivers and/or reimbursements.
101 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
On August 31, 2021, the waivers and/or reimbursements subject to possible future recoupment are as follows:
Expiring the year ending February 28, 2022 | Expiring the year ending February 28, 2023 | Expiring the year ending February 29, 2024 | Expiring the year ending February 28, 2025 | |||||||||||||
High Yield Fund, Class VI | $72,033 | $ — | $ — | $17,632 |
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.
These contractual waivers and reimbursements will continue through at least June 30, 2022 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 for the benefit of 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 for the benefit of 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 will be made by GMO out of its own resources and will not be an additional charge to a Fund or the holders of Class I shares. Any such payments will 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, 2021 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 ($) | ||||||
Asset Allocation Bond Fund | 1,821 | 220 | ||||||
Emerging Country Debt Fund | 74,163 | 7,460 | ||||||
High Yield Fund | 2,206 | 209 | ||||||
Multi-Sector Fixed Income Fund | 4,779 | 508 | ||||||
Opportunistic Income Fund | 14,910 | 1,528 | ||||||
U.S. Treasury Fund | 6,245 | 570 |
102 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the six month period ended August 31, 2021, the Funds below had indirect fees and expenses greater than 0.01% of the Fund’s average daily net assets.
Fund Name | Total Indirect Expenses | |||
Multi-Sector Fixed Income Fund | 0.103% |
The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the period ended August 31, 2021, the Funds did not engage in these transactions.
6. | Purchases and sales of securities |
Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the period ended August 31, 2021 are noted in the table below:
Purchases ($) | Purchases ($) | Sales ($) | Sales ($) | |||||||||||||
Fund Name | U.S. Government Securities | Investments (Non-U.S. Government Securities) | U.S. Government Securities | Investments (Non-U.S. Government Securities) | ||||||||||||
Asset Allocation Bond Fund | 74,289,270 | 231,417 | 116,457,903 | 4,920,000 | ||||||||||||
Emerging Country Debt Fund | 212,992,695 | 583,251,195 | 74,830,188 | 528,235,787 | ||||||||||||
High Yield Fund | – | 8,610,630 | – | 12,865,970 | ||||||||||||
Multi-Sector Fixed Income Fund | 156,042,855 | 88,827,254 | 155,339,742 | 76,498,385 | ||||||||||||
Opportunistic Income Fund | 362,927,286 | 171,485,375 | 287,806,075 | 126,259,296 | ||||||||||||
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.
103 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
8. | Principal shareholders as of August 31, 2021 |
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 | ||||||||
Asset Allocation Bond Fund | 3* | 97.50% | ||||||||
Emerging Country Debt Fund | 1 | 17.23% | ||||||||
High Yield Fund | 2 | 99.99% | ||||||||
Multi-Sector Fixed Income Fund | 3* | 76.25% | ||||||||
Opportunistic Income Fund | 4# | 67.49% | ||||||||
U.S. Treasury Fund | 3* | 50.81% |
* | 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, 2021 (Unaudited) | Year Ended February 28, 2021 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Asset Allocation Bond Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 231,090 | $ | 5,615,500 | 1,248,070 | $ | 29,430,309 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 16,888 | 403,791 | ||||||||||||
Shares repurchased | (1,334,111 | ) | (31,912,234 | ) | (483,688 | ) | (10,905,583 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,103,021 | ) | $ | (26,296,734 | ) | 781,270 | $ | 18,928,517 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI: | ||||||||||||||||
Shares sold | 620,376 | $ | 15,117,924 | 433,703 | $ | 10,053,052 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 33,513 | 802,127 | ||||||||||||
Shares repurchased | (1,504,870 | ) | (36,107,738 | ) | (6,482,285 | ) | (149,463,143 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (884,494 | ) | $ | (20,989,814 | ) | (6,015,069 | ) | $ | (138,607,964 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Emerging Country Debt Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 354,242 | $ | 9,187,605 | 11,064,651 | $ | 283,435,647 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 945,467 | 24,411,957 | 3,930,574 | 101,703,325 | ||||||||||||
Shares repurchased | (2,437,194 | ) | (62,825,336 | ) | (16,856,375 | ) | (444,395,888 | ) | ||||||||
Purchase premiums | — | 152,659 | — | 490,114 | ||||||||||||
Redemption fees | — | 79,912 | — | 938,001 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,137,485 | ) | $ | (28,993,203 | ) | (1,861,150 | ) | $ | (57,828,801 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
104 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Emerging Country Debt Fund (continued) | ||||||||||||||||
Class IV: | ||||||||||||||||
Shares sold | 19,348,127 | $ | 502,024,366 | 23,275,901 | $ | 606,562,660 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 3,226,269 | 83,140,959 | 10,246,489 | 264,614,402 | ||||||||||||
Shares repurchased | (58,630,318 | ) | (1,518,810,048 | ) | (25,052,203 | ) | (649,166,175 | ) | ||||||||
Purchase premiums | — | 499,782 | — | 1,390,217 | ||||||||||||
Redemption fees | — | 256,308 | — | 2,589,905 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (36,055,922 | ) | $ | (932,888,633 | ) | 8,470,187 | $ | 225,991,009 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI:(a) | ||||||||||||||||
Shares sold | 43,538,977 | $ | 1,127,223,343 | |||||||||||||
Shares repurchased | (686,237 | ) | (18,000,000 | ) | ||||||||||||
Purchase premiums | — | 7,857 | ||||||||||||||
Redemption fees | — | 8,634 | ||||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 42,852,740 | $ | 1,109,239,834 | |||||||||||||
|
|
|
| |||||||||||||
High Yield Fund | ||||||||||||||||
Class VI: | ||||||||||||||||
Shares sold | — | $ | — | 2,201,261 | $ | 42,312,765 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 362,854 | 7,271,601 | 178,442 | 3,585,146 | ||||||||||||
Shares repurchased | — | — | (5,954,398 | ) | (121,289,116 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 362,854 | $ | 7,271,601 | (3,574,695 | ) | $ | (75,391,205 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Multi-Sector Fixed Income Fund | ||||||||||||||||
Class III: | ||||||||||||||||
Shares sold | 198,808 | $ | 4,000,000 | 812,914 | $ | 17,690,556 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 38,703 | 771,747 | 382,203 | 8,066,426 | ||||||||||||
Shares repurchased | (967,731 | ) | (19,522,929 | ) | (3,258,411 | ) | (67,890,225 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (730,220 | ) | $ | (14,751,182 | ) | (2,063,294 | ) | $ | (42,133,243 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: | ||||||||||||||||
Shares sold | 2,554,018 | $ | 51,559,631 | 3,063,305 | $ | 64,755,408 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 193,216 | 3,868,185 | 1,036,159 | 22,030,270 | ||||||||||||
Shares repurchased | (1,121,714 | ) | (22,646,659 | ) | (17,672,884 | ) | (384,748,994 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,625,520 | $ | 32,781,157 | (13,573,420 | ) | $ | (297,963,316 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Opportunistic Income Fund | ||||||||||||||||
Class III:(b) | ||||||||||||||||
Shares sold | 532,932 | $ | 13,800,000 | |||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 532,932 | $ | 13,800,000 | |||||||||||||
|
|
|
| |||||||||||||
Class VI: |
| |||||||||||||||
Shares sold | 857,000 | $ | 22,158,879 | 2,091,345 | $ | 53,827,718 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 68,419 | 1,771,362 | 855,202 | 21,741,055 | ||||||||||||
Shares repurchased | (1,560,184 | ) | (40,399,024 | ) | (16,058,148 | ) | (413,055,123 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (634,765 | ) | $ | (16,468,783 | ) | (13,111,601 | ) | $ | (337,486,350 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
105 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Opportunistic Income Fund (continued) | ||||||||||||||||
Class R6:(c) |
| |||||||||||||||
Shares sold | 2,784,949 | $ | 72,048,075 | |||||||||||||
Shares issued to shareholders in reinvestment of distributions | 831 | 21,446 | ||||||||||||||
Shares repurchased | (53,683 | ) | (1,389,607 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 2,732,097 | $ | 70,679,914 | |||||||||||||
|
|
|
| |||||||||||||
Class I: |
| |||||||||||||||
Shares sold | 3,368,945 | $ | 87,161,418 | 16,150,520 | $ | 413,015,196 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 44,106 | 1,139,694 | 92,094 | 2,336,633 | ||||||||||||
Shares repurchased | (1,065,070 | ) | (27,563,407 | ) | (940,346 | ) | (23,853,407 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,347,981 | $ | 60,737,705 | 15,302,268 | $ | 391,498,422 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
U.S. Treasury Fund | ||||||||||||||||
Core Class: |
| |||||||||||||||
Shares sold | 159,552,843 | $ | 803,953,892 | 373,331,155 | $ | 1,880,713,417 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 28,144 | 141,686 | 72,372 | 364,660 | ||||||||||||
Shares repurchased | (175,283,465 | ) | (883,190,663 | ) | (341,823,451 | ) | (1,722,028,633 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (15,702,478 | ) | $ | (79,095,085 | ) | 31,580,076 | $ | 159,049,444 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) | The period under the heading “Six Months Ended August 31, 2021 (Unaudited)” represents the period from July 28, 2021 (commencement of operations) through August 31, 2021. |
(b) | The period under the heading “Six Months Ended August 31, 2021 (Unaudited)” represents the period from July 21, 2021 (commencement of operations) through August 31, 2021. |
(c) | The period under the heading “Six Months Ended August 31, 2021 (Unaudited)” represents the period from May 19, 2021 (commencement of operations) through August 31, 2021. |
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, 2021 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 | $ | 5,000,835 | $ | 231,417 | $ | 4,920,000 | $ | 599 | $ | 819 | $ | (597 | ) | $ | 2 | $ | 311,657 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Emerging Country Debt Fund | ||||||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 74,784,247 | $ | — | $ | — | $ | 28,999 | $ | 37,095 | $ | — | $ | — | $ | 74,784,247 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
106 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (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 | ||||||||||||||||||||||||
Multi-Sector Fixed Income Fund | ||||||||||||||||||||||||||||||||
GMO Emerging Country Debt Fund, Class IV | $ | 8,584,702 | $ | 2,000,000 | $ | 11,866,039 | $ | 123,288 | $ | 176,281 | $ | (145,567 | ) | $ | 1,426,904 | $ | — | |||||||||||||||
GMO Emerging Country Debt Fund, Class VI | — | 10,866,039 | — | — | — | — | (1,022,339 | ) | 9,843,700 | |||||||||||||||||||||||
GMO Opportunistic Income Fund, Class VI | 27,641,535 | 4,100,000 | — | 135,621 | — | — | 198,140 | 31,939,675 | ||||||||||||||||||||||||
GMO U.S. Treasury Fund | 14,825,453 | 15,510,000 | 24,450,000 | 2,844 | 2,046 | 346 | 10,489 | 5,896,288 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Totals | $ | 51,051,690 | $ | 32,476,039 | $ | 36,316,039 | $ | 261,753 | $ | 178,327 | $ | (145,221 | ) | $ | 613,194 | $ | 47,679,663 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Opportunistic Income Fund | ||||||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 11,003,541 | $ | — | $ | — | $ | 4,267 | $ | 5,458 | $ | — | $ | — | $ | 11,003,541 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
* | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2021 through August 31, 2021. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2022. |
107 |
GMO Trust Funds
Board Review of Investment Management Agreements
August 31, 2021 (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 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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 and others at and apart from Board meetings. 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 13, 2021, 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 asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 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 managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those of the Fund would 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 expenses and its expense ratio (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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
The Trustees also considered 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 discussed the advantages and disadvantages of various ways of 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 it receives from the Fund the management fees, shareholder servicing fees and most other expenses borne by those other funds.
The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered whether breakpoints were embedded in that fee.
108 |
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2021 (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 in the last few years. In addition, the Trustees 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 aspects of GMO’s business relevant to 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 that Trustee 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 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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 and others at and apart from Board meetings. 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 13, 2021, 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 asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 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 with investment strategies similar to those of the Fund would 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 expenses and its expense ratio (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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
The Trustees also considered 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 discussed the advantages and disadvantages of
109 |
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2021 (Unaudited)
various ways of 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 it receives from the Fund the management fees, shareholder servicing fees and most other expenses borne by those other funds.
The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered whether 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 in the last few years. In addition, the Trustees 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 aspects of GMO’s business relevant to 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 that Trustee 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 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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 and others at and apart from Board meetings. 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 13, 2021, 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 asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 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 managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those of the Fund would 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 expenses and its expense ratio (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
110 |
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2021 (Unaudited)
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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
The Trustees also considered 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 discussed the advantages and disadvantages of various ways of 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 whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered whether 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 in the last few years. In addition, the Trustees 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 aspects of GMO’s business relevant to 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 that Trustee 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 (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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 and others at and apart from Board meetings. 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 13, 2021, 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 asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 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 with investment strategies similar to those of the Fund would 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.
111 |
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2021 (Unaudited)
The Trustees considered the Fund’s expenses and its expense ratio (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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
The Trustees also considered 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 discussed the advantages and disadvantages of various ways of 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 it receives from the Fund the management fees, shareholder servicing fees and most other expenses borne by those other funds.
The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered whether 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 in the last few years. In addition, the Trustees 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 aspects of GMO’s business relevant to 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 that Trustee 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 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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 and others at and apart from Board meetings. 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 13, 2021, 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
112 |
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2021 (Unaudited)
Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 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 managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those of the Fund would 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 expenses and its expense ratio (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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
The Trustees also considered 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 discussed the advantages and disadvantages of various ways of 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 it receives from the Fund the management fees, shareholder servicing fees and most other expenses borne by those other funds.
The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered whether 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 in the last few years. In addition, the Trustees 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 aspects of GMO’s business relevant to 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 that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO U.S. Treasury Fund
Approval of renewal of management agreement for GMO U.S. Treasury Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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”).
113 |
GMO Trust Funds
Board Review of Investment Management Agreements — (Continued)
August 31, 2021 (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 and others at and apart from Board meetings. 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 13, 2021, 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 asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 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 with investment strategies similar to those of the Fund would 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 expenses and its expense ratio (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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
The Trustees also considered 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 discussed the advantages and disadvantages of various ways of 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 whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered whether 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 in the last few years. In addition, the Trustees 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 aspects of GMO’s business relevant to 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 that Trustee 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.
114 |
GMO Trust Funds
Liquidity Risk Management Program
August 31, 2021 (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 15, 2021 addressing the Program’s operation, adequacy and effectiveness.
115 |
GMO Trust Funds
August 31, 2021 (Unaudited)
Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2021.
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, 2021 through August 31, 2021.
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, 2021 | Ending Account Value August 31, 2021 | Expenses Paid During the Period* | Beginning Account Value March 1, 2021 | Ending Account Value August 31, 2021 | Expenses Paid During the Period* | Annualized Expense Ratio | ||||||||||||||||||||||
Asset Allocation Bond Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,043.20 | $2.11 | $1,000.00 | $1,023.14 | $2.09 | 0.41% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,044.00 | $1.65 | $1,000.00 | $1,023.59 | $1.63 | 0.32% | |||||||||||||||||||||
Emerging Country Debt Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,057.50 | $2.75 | $1,000.00 | $1,022.53 | $2.70 | 0.53% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,057.50 | $2.49 | $1,000.00 | $1,022.79 | $2.45 | 0.48% | |||||||||||||||||||||
Class VI(a) | $1,000.00 | $1,013.10 | $0.40 | $1,000.00 | $1,022.99 | $2.24 | 0.44% | |||||||||||||||||||||
High Yield Fund |
| |||||||||||||||||||||||||||
Class VI | $1,000.00 | $1,044.60 | $2.68 | $1,000.00 | $1,022.58 | $2.65 | 0.52% | |||||||||||||||||||||
Multi-Sector Fixed Income Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,027.00 | $2.09 | $1,000.00 | $1,023.14 | $2.09 | 0.41% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,027.40 | $1.84 | $1,000.00 | $1,023.39 | $1.84 | 0.36% | |||||||||||||||||||||
Opportunistic Income Fund |
| |||||||||||||||||||||||||||
Class III(b) | $1,000.00 | $1,001.50 | $0.63 | $1,000.00 | $1,022.38 | $2.85 | 0.56% | |||||||||||||||||||||
Class VI | $1,000.00 | $1,010.50 | $2.38 | $1,000.00 | $1,022.84 | $2.40 | 0.47% | |||||||||||||||||||||
Class R6(c) | $1,000.00 | $1,006.80 | $1.60 | $1,000.00 | $1,022.38 | $2.85 | 0.56% | |||||||||||||||||||||
Class I | $1,000.00 | $1,009.00 | $3.34 | $1,000.00 | $1,021.88 | $3.36 | 0.66% | |||||||||||||||||||||
U.S. Treasury Fund |
| |||||||||||||||||||||||||||
Core | $1,000.00 | $1,000.90 | $0.10 | $1,000.00 | $1,025.11 | $0.10 | 0.02% |
116 |
GMO Trust Funds
Fund Expenses
August 31, 2021 (Unaudited)
* | Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2021, 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 28, 2021 (commencement of operations) through August 31, 2021, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2021, multiplied by the average account value over the period, multiplied by 33 days in the period, divided by 365 days in the year. |
(b) | For the period July 21, 2021 (commencement of operations) through August 31, 2021, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2021, multiplied by the average account value over the period, multiplied by 41 days in the period, divided by 365 days in the year. |
(c) | For the period May 19, 2021 (commencement of operations) through August 31, 2021, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2021, multiplied by the average account value over the period, multiplied by 104 days in the period, divided by 365 days in the year. |
117 |
SR-083121-FI
GMO Trust
Semiannual Report
August 31, 2021
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
Strategic Opportunities Allocation Fund
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-equities, management and operational risk, market risk-asset backed securities, credit risk, non- U.S. investment risk, small company risk and derivatives risk.
The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.
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GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Investment Concentration Summary(a)
August 31, 2021 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 66.0 | % | ||
Debt Obligations | 23.0 | |||
Investment Funds | 1.5 | |||
Short-Term Investments | 0.4 | |||
Swap Contracts | 0.4 | |||
Preferred Stocks | 0.2 | |||
Rights/Warrants | 0.1 | |||
Purchased Options | 0.0 | ^ | ||
Written Options | (0.0 | )^ | ||
Forward Currency Contracts | (0.1 | ) | ||
Futures Contracts | (0.5 | ) | ||
Securities Sold Short | (42.6 | ) | ||
Other | 51.6 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | Debt Obligations as a % of Total Net Assets | |||
United States | 2.2 | % | ||
Other Developed | 0.0 | ^‡ | ||
|
| |||
2.2 | % | |||
|
| |||
Country/Region Summary¤ | Equity Investments as a % of Total Net Assets | |||
United States | 17.8 | % | ||
China | 2.1 | |||
Other Emerging | 2.7 | † | ||
Germany | 1.6 | |||
Canada | 1.3 | |||
Other Developed | 0.8 | ‡ | ||
|
| |||
26.3 | % | |||
|
|
(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. 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 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. |
^ | Rounds to 0.0% . |
1 |
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 66.5% |
| |||||||||
Australia — 1.0% | ||||||||||
3,942 | Afterpay Ltd * | 383,436 | ||||||||
126 | BHP Group Ltd | 4,169 | ||||||||
28,580 | BlueScope Steel Ltd | 522,509 | ||||||||
13,081 | Brambles Ltd | 115,627 | ||||||||
115 | Computershare Ltd | 1,382 | ||||||||
54,568 | Dexus (REIT) | 424,649 | ||||||||
21,960 | Fortescue Metals Group Ltd | 334,786 | ||||||||
123,772 | GPT Group (The) (REIT) | 438,185 | ||||||||
98,612 | Mirvac Group (REIT) | 224,577 | ||||||||
4,665 | Rio Tinto Ltd | 379,568 | ||||||||
117,936 | Scentre Group (REIT) | 245,292 | ||||||||
52,203 | Stockland (REIT) | 175,918 | ||||||||
|
| |||||||||
Total Australia | 3,250,098 | |||||||||
|
| |||||||||
Belgium — 0.2% | ||||||||||
8,759 | Ageas SA/NV (a) | 437,713 | ||||||||
3,102 | UCB SA | 354,897 | ||||||||
|
| |||||||||
Total Belgium | 792,610 | |||||||||
|
| |||||||||
Canada — 2.0% | ||||||||||
7,100 | Canadian Apartment Properties (REIT) | 343,900 | ||||||||
1,100 | Canadian Tire Corp Ltd – Class A | 167,400 | ||||||||
100 | Fairfax Financial Holdings Ltd (a) | 44,265 | ||||||||
3,700 | Imperial Oil Ltd | 97,922 | ||||||||
1,800 | Linamar Corp | 101,981 | ||||||||
5,900 | Magna International Inc | 465,911 | ||||||||
4,300 | Power Corp of Canada (a) | 148,394 | ||||||||
700 | RioCan Real Estate Investment Trust (REIT) | 12,434 | ||||||||
181,041 | Shaw Communications Inc – Class B | 5,327,985 | ||||||||
800 | West Fraser Timber Co Ltd | 61,773 | ||||||||
|
| |||||||||
Total Canada | 6,771,965 | |||||||||
|
| |||||||||
China — 1.2% | ||||||||||
64,000 | Agile Group Holdings Ltd | 73,394 | ||||||||
600 | Autohome Inc ADR | 26,556 | ||||||||
587,000 | Bank of Communications Co Ltd – Class H | 337,116 | ||||||||
26,000 | Beijing Enterprises Holdings Ltd | 89,477 | ||||||||
194,000 | China Communications Services Corp Ltd – Class H | 103,092 | ||||||||
4,506,000 | China Huarong Asset Management Co Ltd – Class H * (b) | 440,319 | ||||||||
151,000 | China Overseas Land & Investment Ltd | 347,857 | ||||||||
624,000 | China Railway Group Ltd – Class H | 298,849 | ||||||||
308,000 | China Zhongwang Holdings Ltd * | 66,841 | ||||||||
30,000 | Chongqing Rural Commercial Bank Co Ltd – Class H | 11,476 | ||||||||
84,000 | CITIC Ltd | 104,364 | ||||||||
396,000 | Dongfeng Motor Group Co Ltd – Class H | 433,616 |
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
44,000 | Fosun International Ltd | 55,656 | ||||||||
193,600 | Guangzhou R&F Properties Co Ltd – Class H | 165,065 | ||||||||
26,600 | Hello Group Inc Sponsored ADR | 349,524 | ||||||||
23,000 | Kingboard Holdings Ltd | 113,089 | ||||||||
38,000 | Seazen Group Ltd * | 33,656 | ||||||||
50,300 | Shanghai Pharmaceuticals Holding Co Ltd – Class H | 99,787 | ||||||||
110,500 | Shimao Group Holdings Ltd | 228,328 | ||||||||
93,600 | Sinopharm Group Co Ltd – Class H | 240,880 | ||||||||
246,000 | Skyworth Group Ltd * | 76,853 | ||||||||
57,000 | Sunac China Holdings Ltd | 145,739 | ||||||||
390,780 | Yuzhou Group Holdings Co Ltd | 75,317 | ||||||||
|
| |||||||||
Total China | 3,916,851 | |||||||||
|
| |||||||||
Denmark — 0.4% | ||||||||||
35 | AP Moller – Maersk A/S – Class A | 94,848 | ||||||||
44 | AP Moller – Maersk A/S – Class B | 125,345 | ||||||||
179 | Carlsberg A/S – Class B | 31,265 | ||||||||
27,432 | Danske Bank A/S | 460,323 | ||||||||
3,807 | Pandora A/S | 456,323 | ||||||||
|
| |||||||||
Total Denmark | 1,168,104 | |||||||||
|
| |||||||||
Finland — 0.1% | ||||||||||
74,786 | Nokia Oyj * | 449,249 | ||||||||
|
| |||||||||
France — 0.4% | ||||||||||
744 | ArcelorMittal SA | 24,954 | ||||||||
4,541 | BNP Paribas SA | 287,672 | ||||||||
12,187 | Orange SA | 138,556 | ||||||||
6,000 | Publicis Groupe SA | 393,900 | ||||||||
15,840 | Societe Generale SA | 498,550 | ||||||||
|
| |||||||||
Total France | 1,343,632 | |||||||||
|
| |||||||||
Germany — 2.4% | ||||||||||
7,150 | Bayer AG (Registered) | 397,760 | ||||||||
2,686 | Bayerische Motoren Werke AG | 254,952 | ||||||||
6,088 | Daimler AG (Registered) | 513,552 | ||||||||
49,604 | Dialog Semiconductor Plc * (a) | 3,942,799 | ||||||||
7,881 | Fresenius SE & Co KGaA | 409,759 | ||||||||
2,140 | SAP SE | 321,449 | ||||||||
14,429 | Siltronic AG (a) | 2,357,769 | ||||||||
|
| |||||||||
Total Germany | 8,198,040 | |||||||||
|
| |||||||||
Hong Kong — 0.3% | ||||||||||
65,500 | CK Hutchison Holdings Ltd | 477,502 | ||||||||
122,000 | First Pacific Co Ltd | 45,484 | ||||||||
54,000 | Kerry Properties Ltd | 183,719 | ||||||||
454,000 | PCCW Ltd | 236,766 | ||||||||
500 | Swire Pacific Ltd – Class A | 3,385 | ||||||||
|
| |||||||||
Total Hong Kong | 946,856 | |||||||||
|
|
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
India — 0.2% | ||||||||||
9,201 | Hindustan Petroleum Corp Ltd | 33,590 | ||||||||
21,314 | Indian Oil Corp Ltd | 32,328 | ||||||||
77,944 | NTPC Ltd | 123,449 | ||||||||
217,324 | Oil & Natural Gas Corp Ltd | 357,131 | ||||||||
66,616 | REC Ltd | 138,053 | ||||||||
|
| |||||||||
Total India | 684,551 | |||||||||
|
| |||||||||
Israel — 0.2% | ||||||||||
2,400 | Check Point Software Technologies Ltd * | 301,512 | ||||||||
43,900 | Teva Pharmaceutical Industries Ltd Sponsored ADR * | 413,538 | ||||||||
|
| |||||||||
Total Israel | 715,050 | |||||||||
|
| |||||||||
Italy — 0.4% | ||||||||||
5,396 | EXOR NV (a) | 450,207 | ||||||||
25,498 | Leonardo SPA * | 207,617 | ||||||||
289,452 | Telecom Italia SPA | 131,142 | ||||||||
833,317 | Telecom Italia SPA – RSP | 402,601 | ||||||||
|
| |||||||||
Total Italy | 1,191,567 | |||||||||
|
| |||||||||
Japan — 2.1% | ||||||||||
800 | Aisin Corp | 30,537 | ||||||||
46,800 | Asahi Kasei Corp | 482,512 | ||||||||
10,200 | Astellas Pharma Inc | 171,869 | ||||||||
6,500 | Daiwa House Industry Co Ltd | 198,209 | ||||||||
7,100 | Electric Power Development Co Ltd | 106,064 | ||||||||
15,700 | Honda Motor Co Ltd | 475,186 | ||||||||
74,300 | Inpex Corp | 510,507 | ||||||||
16,800 | ITOCHU Corp | 505,363 | ||||||||
100 | Kansai Electric Power Co Inc (The) | 1,005 | ||||||||
13,000 | KDDI Corp | 397,350 | ||||||||
100 | MEIJI Holdings Co Ltd | 6,150 | ||||||||
20,100 | Nippon Telegraph & Telephone Corp | 535,520 | ||||||||
55,700 | Obayashi Corp | 458,321 | ||||||||
27,800 | ORIX Corp (a) | 518,678 | ||||||||
24,800 | Sekisui House Ltd | 494,095 | ||||||||
35,100 | Shimizu Corp | 251,877 | ||||||||
2,600 | Subaru Corp | 48,120 | ||||||||
36,500 | Sumitomo Chemical Co Ltd | 185,041 | ||||||||
26,700 | Sumitomo Dainippon Pharma Co Ltd | 479,267 | ||||||||
2,100 | Suzuki Motor Corp | 90,743 | ||||||||
8,300 | Taisei Corp | 259,670 | ||||||||
14,500 | TIS Inc | 409,329 | ||||||||
145,000 | Tokyo Electric Power Co Holdings Inc * | 380,858 | ||||||||
11,500 | Tosoh Corp | 208,730 | ||||||||
|
| |||||||||
Total Japan | 7,205,001 | |||||||||
|
| |||||||||
Malaysia — 0.0% | ||||||||||
30,100 | Top Glove Corp Bhd | 28,961 | ||||||||
|
|
Shares | Description | Value ($) | ||||||||
Netherlands — 0.7% |
| |||||||||
693 | Aegon NV (a) | 3,422 | ||||||||
8,200 | AerCap Holdings NV * | 442,226 | ||||||||
39,013 | ING Groep NV | 538,160 | ||||||||
2,697 | JDE Peet’s NV | 92,687 | ||||||||
1 | Just Eat Takeaway.com NV Sponsored ADR * | 18 | ||||||||
14,040 | Koninklijke Ahold Delhaize NV | 473,674 | ||||||||
11,585 | Koninklijke KPN NV | 37,111 | ||||||||
7,705 | NN Group NV (a) | 399,679 | ||||||||
1,027 | Randstad NV | 75,635 | ||||||||
1,751 | Wolters Kluwer NV | 201,366 | ||||||||
|
| |||||||||
Total Netherlands | 2,263,978 | |||||||||
|
| |||||||||
New Zealand — 0.1% | ||||||||||
69,320 | Meridian Energy Ltd | 256,026 | ||||||||
|
| |||||||||
South Africa — 0.1% | ||||||||||
23,340 | Bidvest Group Ltd (The) | 329,098 | ||||||||
5,138 | Old Mutual Ltd | 5,431 | ||||||||
|
| |||||||||
Total South Africa | 334,529 | |||||||||
|
| |||||||||
South Korea — 0.0% | ||||||||||
665 | Kia Corp | 48,647 | ||||||||
|
| |||||||||
Spain — 0.3% | ||||||||||
79,722 | Banco Bilbao Vizcaya Argentaria SA * | 521,780 | ||||||||
140,139 | Banco Santander SA * | 516,728 | ||||||||
36 | Enagas SA | 819 | ||||||||
3,462 | Red Electrica Corp SA | 69,045 | ||||||||
|
| |||||||||
Total Spain | 1,108,372 | |||||||||
|
| |||||||||
Sweden — 0.1% | ||||||||||
11,259 | Investor AB – B Shares (a) | 269,300 | ||||||||
479 | Kinnevik AB – Class B * (a) | 18,768 | ||||||||
1,306 | Skanska AB – B Shares | 37,649 | ||||||||
1,280 | Svenska Cellulosa AB SCA – Class B | 22,622 | ||||||||
|
| |||||||||
Total Sweden | 348,339 | |||||||||
|
| |||||||||
Switzerland — 0.1% | ||||||||||
6,808 | Adecco Group AG (Registered) | 378,711 | ||||||||
9 | Swisscom AG (Registered) | 5,282 | ||||||||
|
| |||||||||
Total Switzerland | 383,993 | |||||||||
|
| |||||||||
Taiwan — 0.0% | ||||||||||
55,000 | Ruentex Development Co Ltd | 137,355 | ||||||||
|
| |||||||||
United Kingdom — 1.5% | ||||||||||
82 | AstraZeneca Plc Sponsored ADR | 4,779 | ||||||||
228,512 | Avast Plc | 1,879,340 | ||||||||
25,334 | Aviva Plc(a) | 140,809 |
See accompanying notes to the financial statements. | 3 |
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
7,350 | Berkeley Group Holdings Plc (The) | 488,221 | ||||||||
202,658 | BT Group Plc * | 473,734 | ||||||||
7,721 | Coca-Cola HBC AG * | 279,461 | ||||||||
67,601 | Kingfisher Plc | 325,500 | ||||||||
153,452 | M&G Plc (a) | 434,676 | ||||||||
58,947 | Micro Focus International Plc | 360,513 | ||||||||
1,715 | Smiths Group Plc | 34,038 | ||||||||
88,692 | Taylor Wimpey Plc | 223,263 | ||||||||
27,608 | WPP Plc | 374,333 | ||||||||
|
| |||||||||
Total United Kingdom | 5,018,667 | |||||||||
|
| |||||||||
United States — 52.7% | ||||||||||
227,193 | Aerojet Rocketdyne Holdings, Inc. | 9,433,053 | ||||||||
2,700 | Aflac, Inc. (a) | 153,036 | ||||||||
200 | Akamai Technologies, Inc. * | 22,650 | ||||||||
4,700 | Alliance Data Systems Corp. | 461,117 | ||||||||
8,100 | Ally Financial, Inc. (a) | 428,490 | ||||||||
1 | Analog Devices, Inc. | 111 | ||||||||
1,100 | Anthem, Inc. | 412,643 | ||||||||
100 | Archer-Daniels-Midland Co. | 6,000 | ||||||||
4,300 | Arrow Electronics, Inc. * | 521,246 | ||||||||
15,200 | AT&T, Inc. | 416,784 | ||||||||
123,508 | Athene Holding Ltd. – Class A * (a) | 8,271,331 | ||||||||
100 | Bank of New York Mellon Corp. (The) (a) | 5,522 | ||||||||
5,100 | Bed Bath & Beyond, Inc. * | 140,454 | ||||||||
1,700 | Best Buy Co., Inc. | 198,067 | ||||||||
300 | Bio-Rad Laboratories, Inc. – Class A * | 241,446 | ||||||||
1,400 | Biogen, Inc. * | 474,474 | ||||||||
300 | Booz Allen Hamilton Holding Corp. | 24,573 | ||||||||
7,700 | BorgWarner, Inc. | 328,636 | ||||||||
3,200 | Capital One Financial Corp. (a) | 531,104 | ||||||||
2,700 | Cardinal Health, Inc. | 141,723 | ||||||||
9,100 | Carrier Global Corp. | 524,160 | ||||||||
5,200 | CBRE Group, Inc. – Class A * | 500,760 | ||||||||
6,200 | Centene Corp. * | 390,476 | ||||||||
470,315 | Change Healthcare, Inc. * | 10,266,977 | ||||||||
2,300 | Cigna Corp. | 486,795 | ||||||||
7,600 | Citigroup, Inc. | 546,516 | ||||||||
8,400 | Citizens Financial Group, Inc. | 367,836 | ||||||||
5,300 | Cognizant Technology Solutions Corp. – Class A | 404,443 | ||||||||
31,116 | Coherent, Inc. * | 7,862,080 | ||||||||
9,200 | Comcast Corp. – Class A | 558,256 | ||||||||
100 | Consolidated Edison, Inc. | 7,545 | ||||||||
8,700 | Corteva, Inc. | 382,539 | ||||||||
2,300 | Coty Inc. – Class A * | 22,471 | ||||||||
6,600 | CVS Health Corp. | 570,174 | ||||||||
1,700 | Discover Financial Services (a) | 217,974 | ||||||||
700 | Discovery, Inc. – Class A * | 20,188 | ||||||||
12,200 | DISH Network Corp. – Class A * | 531,798 | ||||||||
5,300 | DR Horton, Inc. | 506,786 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
4,600 | eBay, Inc. | 353,004 | ||||||||
6,800 | Exelon Corp. | 333,336 | ||||||||
100 | Exxon Mobil Corp. | 5,452 | ||||||||
1,900 | Fidelity National Financial, Inc. (a) | 92,777 | ||||||||
17,891 | Five9, Inc. * | 2,830,893 | ||||||||
19,803 | Flagstar Bancorp, Inc. | 979,456 | ||||||||
1,200 | FleetCor Technologies, Inc. * | 315,936 | ||||||||
37,100 | Ford Motor Co. * | 483,413 | ||||||||
600 | Fortune Brands Home & Security, Inc. | 58,422 | ||||||||
2,900 | Fox Corp. – Class A | 108,576 | ||||||||
53,715 | Fox Corp. – Class B | 1,860,150 | ||||||||
2,100 | Franklin Resources, Inc. (a) | 68,124 | ||||||||
9,200 | General Motors Co. * | 450,892 | ||||||||
100 | General Mills, Inc. | 5,781 | ||||||||
6,700 | Gilead Sciences, Inc. | 487,626 | ||||||||
900 | Goldman Sachs Group, Inc. (The) (a) | 372,159 | ||||||||
100 | Hartford Financial Services Group, Inc. (The) (a) | 6,722 | ||||||||
15,300 | HP, Inc. | 455,022 | ||||||||
2,400 | IAC/InterActiveCorp * | 316,920 | ||||||||
130,460 | IHS Markit Ltd. | 15,733,476 | ||||||||
500 | Incyte Corp. * | 38,245 | ||||||||
8,600 | Intel Corp. (a) | 464,916 | ||||||||
100 | International Paper Co. | 6,009 | ||||||||
3,700 | International Business Machines Corp. | 519,258 | ||||||||
17,000 | Invesco Ltd. (a) | 430,440 | ||||||||
2,600 | Jazz Pharmaceuticals Plc * | 342,446 | ||||||||
31,978 | Kansas City Southern | 8,975,265 | ||||||||
30,200 | Kinder Morgan, Inc. | 491,354 | ||||||||
8,000 | Kohl’s Corp. | 459,200 | ||||||||
7,200 | Kraft Heinz Co. (The) | 259,128 | ||||||||
10,800 | Kroger Co. (The) | 497,124 | ||||||||
1,600 | Laboratory Corp. of America Holdings * | 485,408 | ||||||||
300 | Lear Corp. | 47,982 | ||||||||
2,800 | Leidos Holdings, Inc. | 274,708 | ||||||||
4,800 | Lennar Corp. – Class A | 515,088 | ||||||||
6,676 | Liberty Broadband Corp. – Class C * | 1,277,252 | ||||||||
7,700 | Lincoln National Corp. (a) | 528,605 | ||||||||
7,200 | LKQ Corp. * | 379,368 | ||||||||
36,600 | Lumen Technologies, Inc. | 450,180 | ||||||||
5,100 | LyondellBasell Industries NV – Class A | 511,785 | ||||||||
100 | Masco Corp. | 6,072 | ||||||||
1,000 | Medical Properties Trust, Inc. (REIT) | 20,480 | ||||||||
2,500 | Merck & Co., Inc. | 190,725 | ||||||||
8,600 | MetLife, Inc. (a) | 533,200 | ||||||||
5,800 | Micron Technology, Inc. * (a) | 427,460 | ||||||||
1,300 | Mohawk Industries, Inc. * | 257,088 | ||||||||
9,200 | Molson Coors Brewing Co. – Class B | 437,276 | ||||||||
206,806 | Nuance Communications, Inc. * | 11,384,670 | ||||||||
10 | NVR, Inc. * | 51,799 | ||||||||
700 | Omnicom Group, Inc. | 51,254 |
4 | 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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
6,000 | Oracle Corp. | 534,780 | ||||||||
1,400 | PACCAR, Inc. | 114,618 | ||||||||
95,720 | Pershing Square Tontine Holdings Ltd. – Class A * | 1,888,556 | ||||||||
400 | PG&E Corp. * | 3,668 | ||||||||
162,771 | PNM Resources, Inc. | 8,057,165 | ||||||||
167,506 | PPD, Inc. * | 7,757,203 | ||||||||
2,400 | PPL Corp. | 70,440 | ||||||||
1,700 | Principal Financial Group, Inc. (a) | 113,577 | ||||||||
5,000 | Prudential Financial, Inc. (a) | 529,400 | ||||||||
8,100 | PulteGroup, Inc. | 436,266 | ||||||||
2,900 | Quest Diagnostics, Inc. | 443,207 | ||||||||
32,700 | Qurate Retail, Inc. – Series A | 360,681 | ||||||||
100 | Raytheon Technologies Corp. | 8,476 | ||||||||
800 | Regeneron Pharmaceuticals, Inc. * | 538,720 | ||||||||
3,370 | Sanderson Farms, Inc. | 662,205 | ||||||||
500 | Snap-on, Inc. | 112,475 | ||||||||
4,700 | SS&C Technologies Holdings, Inc. | 355,602 | ||||||||
10,500 | Synchrony Financial (a) | 522,375 | ||||||||
300 | Synopsys, Inc. * | 99,672 | ||||||||
26 | Teledyne Technologies, Inc. * | 12,048 | ||||||||
5,400 | Textron, Inc. | 392,418 | ||||||||
6,000 | Tyson Foods, Inc. – Class A | 471,120 | ||||||||
100 | United Rentals, Inc. * | 35,265 | ||||||||
3,300 | Universal Health Services, Inc. – Class B | 514,008 | ||||||||
240,580 | VEREIT, Inc. (REIT) | 12,156,507 | ||||||||
7,600 | Verizon Communications, Inc. | 418,000 | ||||||||
10,600 | ViacomCBS, Inc. – Class B | 439,370 | ||||||||
28,700 | Viatris, Inc. | 419,881 | ||||||||
7,100 | VICI Properties, Inc. (REIT) | 219,461 | ||||||||
2,700 | VMware, Inc. – Class A * | 401,949 | ||||||||
19,990 | W R Grace & Co. | 1,392,104 | ||||||||
8,500 | Walgreens Boots Alliance, Inc. | 431,375 | ||||||||
100 | Wells Fargo & Co. | 4,570 | ||||||||
17,600 | Western Union Co. (The) | 380,864 | ||||||||
5,800 | Western Digital Corp. * | 366,560 | ||||||||
1,600 | Whirlpool Corp. | 354,448 | ||||||||
70,944 | Willis Towers Watson Plc (a) | 15,658,760 | ||||||||
115,560 | Xilinx, Inc. (a) | 17,979,980 | ||||||||
|
| |||||||||
Total United States | 176,669,930 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $214,480,849) | 223,232,371 | |||||||||
|
| |||||||||
PREFERRED STOCKS (c) — 0.1% | ||||||||||
Germany — 0.1% | ||||||||||
2,761 | Bayerische Motoren Werke AG | 231,145 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $214,693) | 231,145 | |||||||||
|
|
Shares / Par Value† | Description | Value ($) | ||||||||
RIGHTS/WARRANTS — 0.1% | ||||||||||
United States — 0.1% | ||||||||||
195,149 | Bristol-Myers Squibb Co., Expires 03/31/21 * (d) | 263,451 | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $284,429) | 263,451 | |||||||||
|
| |||||||||
INVESTMENT FUNDS — 1.5% | ||||||||||
United States — 1.5% | ||||||||||
720,005 | Altaba, Inc. (d) | 5,040,035 | ||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $4,914,097) | 5,040,035 | |||||||||
|
| |||||||||
DEBT OBLIGATIONS — 24.3% | ||||||||||
United States — 24.3% | ||||||||||
Asset-Backed Securities — 7.2% | ||||||||||
4,608,022 | Apidos CLO XXI, Series 15-21A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.93%, 1.06%, due 07/18/27 | 4,611,580 | ||||||||
422,753 | Catamaran CLO Ltd., Series 13-1A, Class AR, 144A, Variable Rate, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 0.98%, due 01/27/28 | 422,793 | ||||||||
1,711,041 | Denali Capital CLO X LLC, Series 13-1A, Class A1LR, 144A, Variable Rate, 3 mo. LIBOR + 1.05%, 1.18%, due 10/26/27 | 1,711,303 | ||||||||
2,077,699 | Oaktree CLO Ltd., Series 15-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.87%, 1.00%, due 10/20/27 | 2,077,983 | ||||||||
1,037,233 | Palmer Square Loan Funding Ltd., Series 18-4A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 1.02%, due 11/15/26 | 1,037,690 | ||||||||
2,760,440 | Palmer Square Loan Funding Ltd., Series 19-3A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 0.98%, due 08/20/27 | 2,761,135 | ||||||||
3,371,071 | TICP CLO III-2 Ltd., Series 18-3R, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.84%, 0.97%, due 04/20/28 | 3,371,580 | ||||||||
3,591,036 | Venture XX CLO Ltd., Series 15-20A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.82%, 0.95%, due 04/15/27 | 3,591,478 | ||||||||
4,619,240 | Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.08%, due 04/15/29 | 4,617,817 | ||||||||
|
| |||||||||
Total Asset-Backed Securities | 24,203,359 | |||||||||
|
| |||||||||
U.S. Government — 17.1% | ||||||||||
1,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.10%, due 10/31/22 | 1,000,569 | ||||||||
29,670,000 | U.S. Treasury Note, 0.13%, due 12/31/22 | 29,666,523 | ||||||||
16,600,000 | U.S. Treasury Note, Variable Rate, USBM + 0.05%, 0.09%, due 01/31/23 (a) | 16,608,235 |
See accompanying notes to the financial statements. | 5 |
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Par Value† / Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
U.S. Government — continued | ||||||||||
10,000,000 | U.S. Treasury Note, 0.13%, due 03/31/23 | 9,994,922 | ||||||||
|
| |||||||||
Total U.S. Government | 57,270,249 | |||||||||
|
| |||||||||
Total United States | 81,473,608 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $81,377,097) | 81,473,608 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 3.7% | ||||||||||
United States — 3.7% | ||||||||||
Affiliated Issuers — 3.7% | ||||||||||
340,657 | GMO Emerging Markets Fund, Class VI | 12,573,638 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $11,308,238) | 12,573,638 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 0.4% | ||||||||||
Money Market Funds — 0.4% | ||||||||||
1,140,056 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (e) | 1,140,056 | ||||||||
200,882 | State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.01% (f) | 200,882 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $1,340,938) | 1,340,938 | |||||||||
|
| |||||||||
PURCHASED OPTIONS — 0.1%
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Value ($) | |||||||||||||
Equity Options — Puts — 0.1% | ||||||||||||||||||
Canadian National Railway Co.(g) | 100.00 | 10/15/21 | 381 | USD | 4,481,703 | 32,385 | ||||||||||||
Canadian Pacific Railway Ltd. | 72.00 | 09/17/21 | 351 | USD | 2,414,529 | 136,890 |
|
| |||||||||
TOTAL PURCHASED OPTIONS (COST $246,436) | 169,275 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 96.7% (Cost $314,166,777) | 324,324,461 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
SECURITIES SOLD SHORT — (45.2)% |
| |||||||||
Common Stocks — (45.0)% | ||||||||||
Australia — (0.5)% |
| |||||||||
(4,916 | ) | Afterpay Ltd * | (478,176 | ) | ||||||
(59,794 | ) | APA Group | (400,385 | ) | ||||||
(3,426 | ) | ASX Ltd | (219,271 | ) | ||||||
(1,155 | ) | Cochlear Ltd | (196,184 | ) | ||||||
(10,264 | ) | Qantas Airways Ltd * | (38,005 | ) | ||||||
(9 | ) | Ramsay Health Care Ltd | (452 | ) | ||||||
(81,825 | ) | Sydney Airport * | (475,006 | ) | ||||||
|
| |||||||||
Total Australia | (1,807,479 | ) | ||||||||
|
| |||||||||
Austria — (0.2)% | ||||||||||
(5,326 | ) | Verbund AG | (583,425 | ) | ||||||
|
| |||||||||
Belgium — (0.0)% | ||||||||||
(1,094 | ) | Galapagos NV * | (64,710 | ) | ||||||
|
|
Shares | Description | Value ($) | ||||||||
Common Stocks — continued | ||||||||||
Canada — (0.7)% | ||||||||||
(5,200 | ) | AltaGas Ltd | (104,153 | ) | ||||||
(19,670 | ) | Canadian National Railway Co. (g) | (2,313,782 | ) | ||||||
|
| |||||||||
Total Canada | (2,417,935 | ) | ||||||||
|
| |||||||||
Denmark — (0.1)% | ||||||||||
(6,981 | ) | Ambu A/S – Class B | (220,781 | ) | ||||||
|
| |||||||||
France — (0.7)% | ||||||||||
(9,259 | ) | Accor SA * | (319,292 | ) | ||||||
(2,353 | ) | Aeroports de Paris * | (277,100 | ) | ||||||
(263 | ) | Eurazeo SE | (27,055 | ) | ||||||
(30,351 | ) | Getlink SE | (488,909 | ) | ||||||
(325 | ) | Hermes International | (478,338 | ) | ||||||
(291 | ) | Sartorius Stedim Biotech | (176,511 | ) | ||||||
(4,547 | ) | Ubisoft Entertainment SA * | (288,834 | ) | ||||||
(1,418 | ) | Wendel SE | (205,774 | ) | ||||||
(112 | ) | Worldline SA * | (9,973 | ) | ||||||
|
| |||||||||
Total France | (2,271,786 | ) | ||||||||
|
|
6 | See accompanying notes to the financial statements. |
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Common Stocks — continued | ||||||||||
Germany — (0.8)% | ||||||||||
(3,280 | ) | Delivery Hero SE * | (476,029 | ) | ||||||
(3 | ) | Deutsche Boerse AG | (517 | ) | ||||||
(171 | ) | MTU Aero Engines AG | (39,244 | ) | ||||||
(3,951 | ) | Puma SE | (479,710 | ) | ||||||
(3,424 | ) | QIAGEN NV * | (189,422 | ) | ||||||
(2,994 | ) | RWE AG | (116,909 | ) | ||||||
(1,089 | ) | Scout24 AG | (91,556 | ) | ||||||
(13 | ) | TeamViewer AG * | (433 | ) | ||||||
(177,641 | ) | Telefonica Deutschland Holding AG | (498,660 | ) | ||||||
(8,039 | ) | Uniper SE | (319,170 | ) | ||||||
(4,342 | ) | Zalando SE * | (481,418 | ) | ||||||
|
| |||||||||
Total Germany | (2,693,068 | ) | ||||||||
|
| |||||||||
Israel — (0.1)% |
| |||||||||
(1,000 | ) | CyberArk Software Ltd * | (167,940 | ) | ||||||
(1,500 | ) | Wix.com Ltd * | (333,120 | ) | ||||||
|
| |||||||||
Total Israel | (501,060 | ) | ||||||||
|
| |||||||||
Italy — (0.5)% | ||||||||||
(3,820 | ) | Amplifon SPA | (199,814 | ) | ||||||
(13,951 | ) | Atlantia SPA * | (261,325 | ) | ||||||
(2,232 | ) | Ferrari NV | (484,167 | ) | ||||||
(27,258 | ) | FinecoBank Banca Fineco SPA * | (502,148 | ) | ||||||
(8,629 | ) | Infrastrutture Wireless Italiane SPA | (102,663 | ) | ||||||
|
| |||||||||
Total Italy | (1,550,117 | ) | ||||||||
|
| |||||||||
Japan — (2.2)% | ||||||||||
(23,800 | ) | Acom Co Ltd | (91,983 | ) | ||||||
(4,200 | ) | ANA Holdings Inc * | (99,560 | ) | ||||||
(13,500 | ) | Asahi Intecc Co Ltd | (408,459 | ) | ||||||
(3,700 | ) | GMO Payment Gateway Inc | (485,435 | ) | ||||||
(1,400 | ) | Harmonic Drive Systems Inc | (77,300 | ) | ||||||
(14,600 | ) | Hitachi Metals Ltd * | (281,826 | ) | ||||||
(800 | ) | Ibiden Co Ltd | (43,045 | ) | ||||||
(23,400 | ) | Isetan Mitsukoshi Holdings Ltd | (156,716 | ) | ||||||
(4,000 | ) | Japan Airlines Co Ltd * | (85,219 | ) | ||||||
(5,500 | ) | Japan Airport Terminal Co Ltd * | (249,682 | ) | ||||||
(8,400 | ) | Japan Exchange Group Inc | (200,050 | ) | ||||||
(61 | ) | Japan Real Estate Investment Corp (REIT) | (376,988 | ) | ||||||
(17,500 | ) | JGC Holding Corp | (146,805 | ) | ||||||
(16,300 | ) | Keikyu Corp | (198,689 | ) | ||||||
(700 | ) | Keio Corp | (37,667 | ) | ||||||
(3,300 | ) | Kintetsu Group Holdings Co Ltd * | (112,715 | ) | ||||||
(2,200 | ) | Lasertec Corp | (478,520 | ) | ||||||
(4,600 | ) | Lion Corp | (78,273 | ) | ||||||
(11,100 | ) | LIXIL Corp | (323,029 | ) | ||||||
(5,900 | ) | M3 Inc | (395,698 | ) | ||||||
(100 | ) | McDonald’s Holdings Co Japan Ltd | (4,770 | ) | ||||||
(6,300 | ) | Mercari Inc * | (310,857 | ) |
Shares | Description | Value ($) | ||||||||
Common Stocks — continued | ||||||||||
Japan — continued | ||||||||||
(1,500 | ) | Mizuho Financial Group Inc | (21,018 | ) | ||||||
(19,000 | ) | MonotaRO Co Ltd | (421,093 | ) | ||||||
(600 | ) | Nidec Corp | (68,537 | ) | ||||||
(15,500 | ) | Nihon M&A Center Inc | (462,212 | ) | ||||||
(21,100 | ) | Nippon Paint Holdings Co Ltd | (262,045 | ) | ||||||
(4,000 | ) | Nissin Foods Holdings Co Ltd | (311,395 | ) | ||||||
(11,200 | ) | Odakyu Electric Railway Co Ltd | (260,956 | ) | ||||||
(2,500 | ) | ORIENTAL LAND CO LTD | (378,239 | ) | ||||||
(2,100 | ) | Shiseido Co Ltd | (139,186 | ) | ||||||
(1,800 | ) | Tokyu Corp | (24,751 | ) | ||||||
(400 | ) | Unicharm Corp | (17,833 | ) | ||||||
(1,000 | ) | West Japan Railway Co | (54,617 | ) | ||||||
(2,000 | ) | Yaskawa Electric Corp | (97,618 | ) | ||||||
|
| |||||||||
Total Japan | (7,162,786 | ) | ||||||||
|
| |||||||||
Netherlands — (0.3)% | ||||||||||
(184 | ) | Adyen NV * | (594,702 | ) | ||||||
(1,052 | ) | Heineken Holding NV | (97,585 | ) | ||||||
(4,232 | ) | Just Eat Takeaway.com NV * | (383,446 | ) | ||||||
|
| |||||||||
Total Netherlands | (1,075,733 | ) | ||||||||
|
| |||||||||
New Zealand — (0.0)% | ||||||||||
(1,016 | ) | Xero Ltd * | (112,373 | ) | ||||||
|
| |||||||||
Norway — (0.0)% | ||||||||||
(1,091 | ) | Schibsted ASA – B Shares | (50,692 | ) | ||||||
(1,602 | ) | Schibsted ASA – Class A | (85,469 | ) | ||||||
|
| |||||||||
Total Norway | (136,161 | ) | ||||||||
|
| |||||||||
Singapore — (0.1)% | ||||||||||
(12,700 | ) | Singapore Airlines Ltd * | (47,610 | ) | ||||||
(59,500 | ) | Singapore Exchange Ltd | (436,716 | ) | ||||||
|
| |||||||||
Total Singapore | (484,326 | ) | ||||||||
|
| |||||||||
Spain — (0.4)% | ||||||||||
(7,548 | ) | Cellnex Telecom SA | (516,647 | ) | ||||||
(17,241 | ) | Ferrovial SA | (499,291 | ) | ||||||
(12,413 | ) | Siemens Gamesa Renewable Energy SA | (368,064 | ) | ||||||
|
| |||||||||
Total Spain | (1,384,002 | ) | ||||||||
|
| |||||||||
Sweden — (0.2)% | ||||||||||
(8,030 | ) | Embracer Group AB * | (182,794 | ) | ||||||
(2,945 | ) | Evolution AB | (475,477 | ) | ||||||
(3,230 | ) | Sinch AB * | (72,615 | ) | ||||||
|
| |||||||||
Total Sweden | (730,886 | ) | ||||||||
|
| |||||||||
Switzerland — (0.3)% | ||||||||||
(7 | ) | Chocoladefabriken Lindt & Spruengli AG | (82,349 | ) | ||||||
(290 | ) | Partners Group Holding AG | (514,171 | ) |
See accompanying notes to the financial statements. | 7 |
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Common Stocks — continued | ||||||||||
Switzerland — continued | ||||||||||
(267 | ) | Straumann Holding AG (Registered) | (515,909 | ) | ||||||
|
| |||||||||
Total Switzerland | (1,112,429 | ) | ||||||||
|
| |||||||||
United Kingdom — (1.4)% | ||||||||||
(7,279 | ) | Admiral Group Plc | (361,665 | ) | ||||||
(12,816 | ) | Antofagasta Plc | (256,728 | ) | ||||||
(53,950 | ) | Auto Trader Group Plc | (466,539 | ) | ||||||
(76,113 | ) | ConvaTec Group Plc | (235,854 | ) | ||||||
(18,496 | ) | Entain Plc * | (491,546 | ) | ||||||
(5,174 | ) | Halma Plc | (213,664 | ) | ||||||
(21,942 | ) | Hargreaves Lansdown Plc | (455,682 | ) | ||||||
(65,373 | ) | Informa Plc * | (477,749 | ) | ||||||
(23,197 | ) | Land Securities Group Plc (REIT) | (226,557 | ) | ||||||
(4,054 | ) | London Stock Exchange Group Plc | (444,091 | ) | ||||||
(13,114 | ) | Melrose Industries Plc | (30,281 | ) | ||||||
(14,069 | ) | Ocado Group Plc * | (389,926 | ) | ||||||
(261,083 | ) | Rolls-Royce Holdings Plc * | (411,734 | ) | ||||||
(961 | ) | Spirax-Sarco Engineering Plc | (213,109 | ) | ||||||
|
| |||||||||
Total United Kingdom | (4,675,125 | ) | ||||||||
|
| |||||||||
United States — (36.5)% | ||||||||||
(199,157 | ) | Advanced Micro Devices, Inc. * | (22,050,663 | ) | ||||||
(13,400 | ) | AES Corp. (The) | (319,858 | ) | ||||||
(2,200 | ) | Airbnb, Inc. – Class A * | (340,978 | ) | ||||||
(1,900 | ) | American Tower Corp. (REIT) | (555,123 | ) | ||||||
(1 | ) | Analog Devices, Inc. | (163 | ) | ||||||
(76,577 | ) | Aon Plc – Class A | (21,966,878 | ) | ||||||
(132,950 | ) | Apollo Global Management, Inc. | (7,947,751 | ) | ||||||
(4,400 | ) | Aramark | (153,076 | ) | ||||||
(2,500 | ) | Arthur J Gallagher & Co. | (359,050 | ) | ||||||
(1,600 | ) | Autodesk, Inc. * | (496,144 | ) | ||||||
(3,000 | ) | Avalara, Inc. * | (539,100 | ) | ||||||
(100 | ) | Bio-Techne Corp. | (49,914 | ) | ||||||
(1,600 | ) | BioMarin Pharmaceutical, Inc. * | (134,736 | ) | ||||||
(100 | ) | Black Knight, Inc. * | (7,567 | ) | ||||||
(1,800 | ) | Boeing Co. (The) * | (395,100 | ) | ||||||
(1 | ) | Bristol-Myers Squibb Co. | (67 | ) | ||||||
(1,500 | ) | Burlington Stores, Inc. * | (449,235 | ) | ||||||
(3,700 | ) | Caesars Entertainment, Inc. * | (376,031 | ) | ||||||
(1,400 | ) | Carvana Co. * | (459,284 | ) | ||||||
(2,700 | ) | Catalent, Inc. * | (352,188 | ) | ||||||
(3,400 | ) | Ceridian HCM Holding, Inc. * | (381,990 | ) | ||||||
(1,466 | ) | Charter Communications, Inc. – Class A * | (1,197,224 | ) | ||||||
(300 | ) | Chipotle Mexican Grill, Inc. * | (570,999 | ) | ||||||
(6,600 | ) | Clarivate Plc * | (166,254 | ) | ||||||
(3,700 | ) | Cloudflare, Inc. – Class A * | (446,738 | ) | ||||||
(1,600 | ) | CME Group, Inc. | (322,752 | ) | ||||||
(3,000 | ) | Cognex Corp. | (265,860 | ) | ||||||
(300 | ) | CoStar Group, Inc. * | (25,422 | ) | ||||||
(1,800 | ) | Coupa Software, Inc. * | (440,658 | ) |
Shares | Description | Value ($) | ||||||||
Common Stocks — continued | ||||||||||
United States — continued | ||||||||||
(2,500 | ) | Crown Castle International Corp. (REIT) | (486,725 | ) | ||||||
(8,300 | ) | Delta Air Lines, Inc. * | (335,652 | ) | ||||||
(1,000 | ) | Dexcom, Inc. * | (529,420 | ) | ||||||
(1,700 | ) | DocuSign, Inc. * | (503,608 | ) | ||||||
(7,200 | ) | DraftKings Inc. – Class A * | (426,888 | ) | ||||||
(2,000 | ) | Dynatrace, Inc. * | (137,460 | ) | ||||||
(700 | ) | Equifax, Inc. | (190,582 | ) | ||||||
(600 | ) | Equinix, Inc. (REIT) | (506,070 | ) | ||||||
(6,000 | ) | Equity LifeStyle Properties, Inc. (REIT) | (510,420 | ) | ||||||
(300 | ) | Erie Indemnity Co. – Class A | (53,127 | ) | ||||||
(100 | ) | Essential Utilities, Inc. | (4,963 | ) | ||||||
(3,900 | ) | Exact Sciences Corp. * | (407,082 | ) | ||||||
(2,300 | ) | Expedia Group, Inc. * | (332,350 | ) | ||||||
(100 | ) | First Republic Bank | (19,894 | ) | ||||||
(35,971 | ) | Fox Corp. – Class A | (1,346,754 | ) | ||||||
(400 | ) | Gartner, Inc. * | (123,496 | ) | ||||||
(4,200 | ) | Guidewire Software, Inc. * | (497,532 | ) | ||||||
(2,000 | ) | Hess Corp. | (137,500 | ) | ||||||
(20,200 | ) | Host Hotels & Resorts, Inc. (REIT) * | (334,512 | ) | ||||||
(800 | ) | HubSpot, Inc. * | (547,576 | ) | ||||||
(700 | ) | IDEXX Laboratories, Inc. * | (471,632 | ) | ||||||
(28,317 | ) | II-VI, Inc. * | (1,783,405 | ) | ||||||
(2,700 | ) | Ingersoll Rand, Inc. * | (143,154 | ) | ||||||
(1,800 | ) | Insulet Corp. * | (536,058 | ) | ||||||
(1,100 | ) | Ionis Pharmaceuticals, Inc. * | (43,736 | ) | ||||||
(2,100 | ) | IQVIA Holdings, Inc. * | (545,433 | ) | ||||||
(4,600 | ) | Iron Mountain, Inc. (REIT) | (219,650 | ) | ||||||
(800 | ) | KKR & Co., Inc. | (51,432 | ) | ||||||
(6,500 | ) | Lamb Weston Holdings, Inc. | (423,475 | ) | ||||||
(1,200 | ) | Liberty Broadband Corp. – Class A * | (222,924 | ) | ||||||
(900 | ) | Liberty Broadband Corp. – Class C * | (172,188 | ) | ||||||
(10,600 | ) | Liberty Media Corp-Liberty Formula One – Class C * | (535,724 | ) | ||||||
(1,800 | ) | Liberty Media Corp-Liberty SiriusXM – Class A * | (89,100 | ) | ||||||
(1,700 | ) | Liberty Media Corp-Liberty SiriusXM – Class C * | (83,895 | ) | ||||||
(600 | ) | Linde Plc | (188,754 | ) | ||||||
(6,000 | ) | Live Nation Entertainment, Inc. * | (520,200 | ) | ||||||
(900 | ) | MarketAxess Holdings, Inc. | (428,328 | ) | ||||||
(700 | ) | Marriott International, Inc. – Class A * | (94,598 | ) | ||||||
(5,300 | ) | MGM Resorts International | (225,886 | ) | ||||||
(1,300 | ) | MongoDB, Inc. * | (509,379 | ) | ||||||
(700 | ) | Monolithic Power Systems, Inc. | (346,451 | ) | ||||||
(800 | ) | MSCI, Inc. | (507,664 | ) | ||||||
(79,512 | ) | New York Community Bancorp, Inc. | (995,490 | ) | ||||||
(2,800 | ) | NiSource, Inc. | (69,020 | ) | ||||||
(6,902 | ) | NortonLifeLock, Inc. | (183,317 | ) | ||||||
(2,700 | ) | Novocure Ltd. * | (362,367 | ) | ||||||
(2,500 | ) | Oak Street Health, Inc. * | (116,825 | ) | ||||||
(4,500 | ) | Occidental Petroleum Corp. | (115,605 | ) |
8 | 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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Common Stocks — continued | ||||||||||
United States — continued | ||||||||||
(2,000 | ) | Okta, Inc. * | (527,200 | ) | ||||||
(2,700 | ) | Palantir Technologies, Inc. – Class A * | (71,118 | ) | ||||||
(1,000 | ) | Paycom Software, Inc. * | (488,900 | ) | ||||||
(2,600 | ) | Peloton Interactive, Inc. – Class A * | (260,494 | ) | ||||||
(800 | ) | Public Storage (REIT) | (258,888 | ) | ||||||
(169,609 | ) | Realty Income Corp. (REIT) | (12,249,162 | ) | ||||||
(1,500 | ) | RingCentral, Inc. – Class A * | (378,390 | ) | ||||||
(1,300 | ) | Roku, Inc. * | (458,120 | ) | ||||||
(5,400 | ) | Rollins, Inc. | (210,168 | ) | ||||||
(4,700 | ) | Royal Caribbean Cruises Ltd. * | (388,831 | ) | ||||||
(37,025 | ) | S&P Global, Inc. | (16,432,436 | ) | ||||||
(7 | ) | salesforce.com, Inc. * | (1,857 | ) | ||||||
(5,000 | ) | Sarepta Therapeutics, Inc. * | (390,600 | ) | ||||||
(300 | ) | Seagen, Inc. * | (50,280 | ) | ||||||
(900 | ) | ServiceNow, Inc. * | (579,276 | ) | ||||||
(3,300 | ) | Simon Property Group, Inc. (REIT) | (443,685 | ) | ||||||
(6,700 | ) | Snap, Inc. – Class A * | (509,937 | ) | ||||||
(1,600 | ) | Snowflake, Inc. – Class A * | (486,960 | ) | ||||||
(3,000 | ) | Southwest Airlines Co. * | (149,340 | ) | ||||||
(4,264 | ) | Square, Inc. – Class A * | (1,143,050 | ) | ||||||
(2,400 | ) | Starbucks Corp. | (281,976 | ) | ||||||
(100 | ) | Sun Communities, Inc. (REIT) | (20,149 | ) | ||||||
(200 | ) | T-Mobile US, Inc. * | (27,404 | ) | ||||||
(2,500 | ) | Teladoc Health, Inc. * | (361,050 | ) | ||||||
(700 | ) | Tesla, Inc. * | (515,004 | ) | ||||||
(400 | ) | Trade Desk, Inc. (The) – Class A * | (32,020 | ) | ||||||
(1,400 | ) | Twilio, Inc. – Class A * | (499,744 | ) | ||||||
(5,300 | ) | Twitter, Inc. * | (341,850 | ) |
Shares | Description | Value ($) | ||||||||
Common Stocks — continued | ||||||||||
United States — continued | ||||||||||
(8,400 | ) | Uber Technologies, Inc. * | (328,776 | ) | ||||||
(9,100 | ) | UDR, Inc. (REIT) | (491,582 | ) | ||||||
(1,500 | ) | Vail Resorts, Inc. * | (457,275 | ) | ||||||
(4,400 | ) | Vistra Corp. | (83,996 | ) | ||||||
(700 | ) | Wayfair, Inc. – Class A * | (196,525 | ) | ||||||
(18,300 | ) | Williams Cos, Inc. (The) | (451,827 | ) | ||||||
(2,700 | ) | Zendesk, Inc. * | (333,720 | ) | ||||||
(1,900 | ) | Zillow Group, Inc. – Class A * | (181,640 | ) | ||||||
(3,088 | ) | Zillow Group, Inc. – Class C * | (295,738 | ) | ||||||
(9,850 | ) | Zoom Video Communications, Inc. – Class A * | (2,851,575 | ) | ||||||
(2,000 | ) | Zscaler, Inc. * | (556,679 | ) | ||||||
|
| |||||||||
Total United States | (121,975,326 | ) | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (PROCEEDS $132,214,748) | (150,959,508 | ) | ||||||||
|
| |||||||||
PREFERRED STOCKS (c) — (0.2)% | ||||||||||
Germany — (0.2)% | ||||||||||
(651 | ) | Sartorius AG | (428,887 | ) | ||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (PROCEEDS $308,236) | (428,887 | ) | ||||||||
|
| |||||||||
TOTAL SECURITIES SOLD SHORT (PROCEEDS $132,522,984) | (151,388,395 | ) | ||||||||
Other Assets and Liabilities (net) — 48.5% | 162,599,524 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $335,535,590 | |||||||||
|
|
A summary of outstanding financial instruments at August 31, 2021 is as follows:
Forward Currency Contracts
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||
10/18/2021 | DB | AUD | 14,680,525 | USD | 10,818,299 | 76,028 | ||||||||||||||
10/18/2021 | MSCI | AUD | 836,068 | USD | 609,463 | (2,318 | ) | |||||||||||||
11/09/2021 | JPM | AUD | 10,030,000 | USD | 7,395,104 | 55,066 | ||||||||||||||
11/09/2021 | MSCI | AUD | 35,789,000 | USD | 26,497,889 | 307,197 | ||||||||||||||
09/02/2021 | CITI | BRL | 1,328,683 | USD | 250,000 | (6,959 | ) | |||||||||||||
09/02/2021 | GS | BRL | 2,305,755 | USD | 450,000 | 4,082 | ||||||||||||||
09/09/2021 | GS | CAD | 331,295 | USD | 261,688 | (897 | ) | |||||||||||||
09/09/2021 | JPM | CAD | 843,982 | USD | 675,366 | 6,427 | ||||||||||||||
09/09/2021 | UBSA | CAD | 5,219,453 | USD | 4,159,414 | 22,480 | ||||||||||||||
11/03/2021 | JPM | CAD | 10,784,981 | USD | 8,480,000 | (67,475 | ) | |||||||||||||
11/12/2021 | BOA | CAD | 1,748,628 | USD | 1,397,163 | 11,334 | ||||||||||||||
11/12/2021 | JPM | CAD | 5,205,830 | USD | 4,158,765 | 33,022 | ||||||||||||||
11/12/2021 | MSCI | CAD | 256,203 | USD | 203,066 | 19 | ||||||||||||||
11/12/2021 | SSB | CAD | 121,500 | USD | 95,772 | (519 | ) | |||||||||||||
09/07/2021 | BCLY | CHF | 2,487,744 | USD | 2,693,089 | (23,869 | ) |
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||
09/07/2021 | GS | CHF | 271,749 | USD | 300,344 | 3,556 | ||||||||||||||
10/13/2021 | MSCI | CHF | 37,703,896 | USD | 41,288,027 | 73,087 | ||||||||||||||
11/18/2021 | MSCI | CLP | 427,439,500 | USD | 544,856 | (5,693 | ) | |||||||||||||
10/26/2021 | JPM | COP | 1,178,945,000 | USD | 303,660 | (8,248 | ) | |||||||||||||
10/26/2021 | MSCI | COP | 7,594,030,000 | USD | 1,940,000 | (69,122 | ) | |||||||||||||
10/18/2021 | GS | CZK | 6,915,267 | USD | 320,000 | (998 | ) | |||||||||||||
10/18/2021 | MSCI | CZK | 4,048,661 | USD | 187,402 | (532 | ) | |||||||||||||
09/07/2021 | JPM | EUR | 110,825 | USD | 130,131 | (738 | ) | |||||||||||||
09/07/2021 | UBSA | EUR | 3,359,435 | USD | 3,987,205 | 20,192 | ||||||||||||||
09/30/2021 | JPM | EUR | 1,810,000 | USD | 2,129,069 | (9,273 | ) | |||||||||||||
09/30/2021 | MSCI | EUR | 800,000 | USD | 952,134 | 7,010 | ||||||||||||||
10/21/2021 | MSCI | EUR | 6,300,211 | USD | 7,440,578 | (5,524 | ) | |||||||||||||
10/13/2021 | BCLY | GBP | 4,180,000 | USD | 5,827,768 | 80,329 | ||||||||||||||
10/13/2021 | GS | GBP | 1,400,000 | USD | 1,955,317 | 30,337 | ||||||||||||||
10/13/2021 | JPM | GBP | 1,700,000 | USD | 2,354,981 | 17,506 |
See accompanying notes to the financial statements. | 9 |
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2021 (Unaudited)
Forward Currency Contracts — continued
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||
10/21/2021 | UBSA | GBP | 337,753 | USD | 464,091 | (319 | ) | |||||||||||||
09/14/2021 | BCLY | HUF | 143,839,202 | USD | 505,524 | 19,048 | ||||||||||||||
09/14/2021 | CITI | HUF | 235,206,480 | USD | 800,000 | 4,512 | ||||||||||||||
09/14/2021 | DB | HUF | 729,044,453 | USD | 2,420,000 | (45,689 | ) | |||||||||||||
09/13/2021 | JPM | INR | 35,978,880 | USD | 483,094 | (9,272 | ) | |||||||||||||
09/07/2021 | JPM | JPY | 124,808,701 | USD | 1,136,226 | 1,715 | ||||||||||||||
09/07/2021 | MSCI | JPY | 84,893,207 | USD | 770,078 | (1,601 | ) | |||||||||||||
09/07/2021 | UBSA | JPY | 379,990,853 | USD | 3,455,692 | 1,577 | ||||||||||||||
09/09/2021 | GS | JPY | 153,193,880 | USD | 1,400,000 | 7,449 | ||||||||||||||
09/09/2021 | JPM | JPY | 417,542,448 | USD | 3,790,000 | (5,512 | ) | |||||||||||||
10/06/2021 | JPM | JPY | 209,799,140 | USD | 1,911,792 | 4,233 | ||||||||||||||
11/12/2021 | CITI | KRW | 1,157,777,500 | USD | 990,000 | (8,328 | ) | |||||||||||||
11/12/2021 | MSCI | KRW | 2,106,848,677 | USD | 1,835,810 | 19,117 | ||||||||||||||
10/21/2021 | BOA | MXN | 14,975,611 | USD | 730,000 | (10,791 | ) | |||||||||||||
09/14/2021 | BOA | NOK | 5,235,394 | USD | 600,000 | (2,185 | ) | |||||||||||||
10/05/2021 | MSCI | NZD | 47,090,000 | USD | 32,990,548 | (191,183 | ) | |||||||||||||
10/18/2021 | UBSA | NZD | 2,826,634 | USD | 1,986,985 | (4,598 | ) | |||||||||||||
09/16/2021 | JPM | PHP | 70,421,925 | USD | 1,397,205 | (20,604 | ) | |||||||||||||
10/29/2021 | JPM | RON | 15,253,957 | USD | 3,627,835 | (12,629 | ) | |||||||||||||
10/15/2021 | JPM | SGD | 1,832,981 | USD | 1,353,553 | (9,707 | ) | |||||||||||||
10/18/2021 | MSCI | THB | 117,103,563 | USD | 3,581,149 | (51,387 | ) | |||||||||||||
10/18/2021 | JPM | USD | 1,840,587 | AUD | 2,544,422 | 21,259 | ||||||||||||||
09/02/2021 | MSCI | USD | 3,937,194 | BRL | 21,052,569 | 134,240 | ||||||||||||||
12/02/2021 | MSCI | USD | 2,702,792 | BRL | 14,415,884 | 46,101 | ||||||||||||||
11/03/2021 | JPM | USD | 36,180,049 | CAD | 44,975,238 | (535,601 | ) | |||||||||||||
09/07/2021 | UBSA | USD | 381,025 | CHF | 349,313 | 473 | ||||||||||||||
10/13/2021 | BOA | USD | 2,700,000 | CHF | 2,441,600 | (31,034 | ) | |||||||||||||
11/18/2021 | MSCI | USD | 542,113 | CLP | 427,439,500 | 8,436 | ||||||||||||||
09/07/2021 | JPM | USD | 2,764,768 | EUR | 2,322,378 | (22,370 | ) | |||||||||||||
09/07/2021 | UBSA | USD | 8,762,283 | EUR | 7,382,590 | (44,496 | ) | |||||||||||||
09/21/2021 | SSB | USD | 9,304,446 | EUR | 7,871,682 | (6,507 | ) | |||||||||||||
09/30/2021 | BOA | USD | 1,777,632 | EUR | 1,510,000 | 6,289 | ||||||||||||||
09/30/2021 | DB | USD | 13,856,280 | EUR | 11,610,000 | (140,174 | ) | |||||||||||||
09/30/2021 | JPM | USD | 2,240,858 | EUR | 1,910,000 | 15,625 | ||||||||||||||
10/18/2021 | UBSA | USD | 463,313 | EUR | 394,356 | 2,742 | ||||||||||||||
10/21/2021 | SSB | USD | 8,279,565 | EUR | 7,000,000 | (6,395 | ) | |||||||||||||
10/21/2021 | UBSA | USD | 317,398 | EUR | 268,749 | 232 | ||||||||||||||
10/13/2021 | JPM | USD | 3,565,774 | GBP | 2,610,000 | 22,938 | ||||||||||||||
10/13/2021 | MSCI | USD | 26,683,512 | GBP | 19,296,000 | (151,789 | ) | |||||||||||||
09/14/2021 | CITI | USD | 650,000 | HUF | 193,893,960 | 5,765 | ||||||||||||||
09/14/2021 | DB | USD | 810,000 | HUF | 241,784,838 | 7,736 | ||||||||||||||
11/08/2021 | CITI | USD | 300,000 | IDR | 4,347,270,000 | 3,822 | ||||||||||||||
11/08/2021 | JPM | USD | 3,075,982 | IDR | 44,432,562,000 | 29,323 | ||||||||||||||
10/29/2021 | BOA | USD | 670,000 | ILS | 2,159,721 | 3,562 | ||||||||||||||
09/07/2021 | UBSA | USD | 6,315,308 | JPY | 704,330,557 | 87,052 | ||||||||||||||
09/09/2021 | JPM | USD | 25,721,002 | JPY | 2,806,688,610 | (207,854 | ) | |||||||||||||
10/06/2021 | BCLY | USD | 1,634,586 | JPY | 181,001,824 | 11,139 | ||||||||||||||
10/06/2021 | JPM | USD | 9,468,529 | JPY | 1,054,926,170 | 123,188 | ||||||||||||||
10/06/2021 | MSCI | USD | 839,645 | JPY | 92,132,014 | (1,952 | ) | |||||||||||||
10/06/2021 | UBSA | USD | 572,003 | JPY | 63,307,312 | 3,607 | ||||||||||||||
10/21/2021 | MSCI | USD | 3,591,554 | MXN | 72,529,991 | (3,752 | ) | |||||||||||||
09/14/2021 | BCLY | USD | 6,569,615 | NOK | 54,489,540 | (302,127 | ) | |||||||||||||
09/14/2021 | JPM | USD | 12,750,000 | NOK | 111,678,274 | 95,443 | ||||||||||||||
10/05/2021 | BCLY | USD | 3,395,266 | NZD | 4,800,000 | (12,970 | ) | |||||||||||||
10/05/2021 | JPM | USD | 2,287,030 | NZD | 3,260,000 | 10,112 | ||||||||||||||
11/18/2021 | JPM | USD | 1,007,917 | PEN | 4,105,650 | (5,358 | ) |
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||
11/18/2021 | MSCI | USD | 470,000 | PEN | 1,912,900 | (2,889 | ) | |||||||||||||
09/16/2021 | JPM | USD | 830,000 | PHP | 42,070,440 | 17,006 | ||||||||||||||
11/18/2021 | MSCI | USD | 202,150 | PLN | 785,789 | 3,022 | ||||||||||||||
11/10/2021 | CITI | USD | 5,607,129 | RUB | 418,454,450 | 49,929 | ||||||||||||||
11/05/2021 | MSCI | USD | 34,348,227 | SEK | 294,954,407 | (152,823 | ) | |||||||||||||
10/15/2021 | BOA | USD | 460,000 | SGD | 624,678 | 4,597 | ||||||||||||||
10/15/2021 | DB | USD | 451,465 | SGD | 613,247 | 4,631 | ||||||||||||||
10/15/2021 | GS | USD | 440,000 | SGD | 595,055 | 2,566 | ||||||||||||||
10/18/2021 | CITI | USD | 1,580,000 | THB | 52,824,872 | 58,620 | ||||||||||||||
10/25/2021 | BCLY | USD | 2,100,000 | TRY | 19,223,018 | 149,059 | ||||||||||||||
10/25/2021 | GS | USD | 570,000 | TRY | 5,100,846 | 26,790 | ||||||||||||||
10/29/2021 | JPM | USD | 3,794,632 | ZAR | 56,936,549 | 95,743 | ||||||||||||||
10/29/2021 | CITI | ZAR | 18,842,039 | USD | 1,230,000 | (57,444 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (405,135 | ) | ||||||||||||||||||
|
|
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Buys | ||||||||||||
62 | Australian Government Bond 10 Yr. | September 2021 | 6,613,324 | 232,557 | ||||||||
106 | CAC40 10 Euro | September 2021 | 8,366,029 | (103,708 | ) | |||||||
43 | Canadian Government Bond 10 Yr. | December 2021 | 4,980,454 | 796 | ||||||||
22 | DAX Index | September 2021 | 10,255,588 | 19,676 | ||||||||
87 | FTSE 100 Index | September 2021 | 8,489,691 | 4,303 | ||||||||
3 | Hang Seng Index | September 2021 | 496,451 | 3,013 | ||||||||
400 | Mini MSCI Emerging Markets | September 2021 | 25,984,000 | (1,215,368 | ) | |||||||
35 | MSCI Singapore | September 2021 | 913,120 | (17,741 | ) | |||||||
47 | S&P 500 E-Mini | September 2021 | 10,623,175 | 593,160 | ||||||||
5 | S&P/TSX 60 | September 2021 | 974,835 | 27,946 | ||||||||
103 | U.S. Treasury Note 10 Yr. (CBT) | December 2021 | 13,745,672 | 30,427 | ||||||||
|
|
|
| |||||||||
$ | 91,442,339 | $ | (424,939 | ) | ||||||||
|
|
|
|
10 | See accompanying notes to the financial statements. |
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2021 (Unaudited)
Futures Contracts — continued
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Sales | ||||||||||||
148 | E-mini Russell 2000 Index | September 2021 | $ | 16,806,880 | $ | 284,138 | ||||||
77 | Euro Bund | September 2021 | 15,951,526 | (305,992 | ) | |||||||
10 | Euro Bund | December 2021 | 2,037,267 | (125 | ) | |||||||
40 | FTSE Taiwan Index | September 2021 | 2,419,488 | (50,972 | ) | |||||||
60 | FTSE/JSE TOP 40 | September 2021 | 2,499,431 | 24,575 | ||||||||
3 | Japanese Government Bond 10 Yr. (OSE) | September 2021 | 4,149,252 | (19,305 | ) | |||||||
30 | NASDAQ 100 E-Mini | September 2021 | 9,349,500 | (957,649 | ) | |||||||
46 | SPI 200 Futures | September 2021 | 6,258,559 | (149,935 | ) | |||||||
27 | TOPIX Index | September 2021 | 4,816,936 | (82,126 | ) | |||||||
15 | UK Gilt Long Bond | December 2021 | 2,644,662 | 16,504 | ||||||||
|
|
|
| |||||||||
$ | 66,933,501 | $ | (1,240,887 | ) | ||||||||
|
|
|
|
+ | 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 ($) | |||||||||||||||||||
Index Options – Puts | ||||||||||||||||||||||||
S&P 500 Index | 4,465.00 | 09/03/21 | (12 | ) | USD | (5,427,216 | ) | (4,440 | ) | |||||||||||||||
S&P 500 Index | 4,440.00 | 09/10/21 | (13 | ) | USD | (5,879,484 | ) | (12,610 | ) | |||||||||||||||
S&P 500 Index | 4,510.00 | 09/17/21 | (12 | ) | USD | (5,427,216 | ) | (40,320 | ) | |||||||||||||||
|
| |||||||||||||||||||||||
Total Index Options — Puts | $ | (57,370 | ) | |||||||||||||||||||||
|
|
Description | Counterparty | Exercise Rate | Expiration Date | Principal / | Floating Rate Index | Pay/ | Value ($) | |||||||||||||||
Written Options on Credit Default Swaps – Puts | ||||||||||||||||||||||
CDX.NA.HYS.36.V1-5Y | GS | 106.00 | % | 09/15/21 | USD (7,115,000) | Fixed Spread | Pay | (2,776 | ) | |||||||||||||
CDX.NA.HYS.36.V1-5Y | GS | 107.00 | % | 10/20/21 | USD (10,000,000) | Fixed Spread | Pay | (28,531 | ) | |||||||||||||
|
| |||||||||||||||||||||
Total Written Options on Credit Default Swaps — Puts | (31,307 | ) | ||||||||||||||||||||
|
| |||||||||||||||||||||
| TOTAL WRITTEN OPTIONS (Premiums $275,646) | $ | (88,677 | ) | ||||||||||||||||||
|
|
See accompanying notes to the financial statements. | 11 |
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2021 (Unaudited)
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) ($) | |||||||||||||||||||||||||||||
Buy Protection^: |
| |||||||||||||||||||||||||||||||||||||
ITRAXX.EUROPES.34.V1-5Y | EUR | 9,968,000 | 1.00% | 0.38% | N/A | 12/20/2025 | Quarterly | (313,378 | ) | (318,090 | ) | (4,712 | ) | |||||||||||||||||||||||||
CDX.NA.HYS.36.V1-5Y | USD | 2,294,000 | 5.00% | 2.76% | N/A | 06/20/2026 | Quarterly | (209,788 | ) | (225,046 | ) | (15,258 | ) | |||||||||||||||||||||||||
CDX.NA.HYS.36.V1-5Y | USD | 7,115,000 | 5.00% | 2.76% | N/A | 06/20/2026 | Quarterly | (644,264 | ) | (697,996 | ) | (53,732 | ) | |||||||||||||||||||||||||
CDX.NA.IGS.36.V1-5Y | USD | 22,250,000 | 1.00% | 0.46% | N/A | 06/20/2026 | Quarterly | (519,824 | ) | (564,216 | ) | (44,392 | ) | |||||||||||||||||||||||||
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$ | (1,687,254 | ) | $ | (1,805,348 | ) | $ | (118,094 | ) | ||||||||||||||||||||||||||||||
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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^: |
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CDX.NA.HYS.31.V14-5Y | CITI | USD | 1,631,000 | 5.00% | 3.50% | N/A | 12/20/2023 | Quarterly | (6,361 | ) | (55,635 | ) | (49,274 | ) | ||||||||||||||||||||||||||
ITRAXX.EUROPES.32.V1-5Y | JPM | EUR | 9,600,000 | 1.00% | 1.14% | N/A | 12/20/2024 | Quarterly | 572,808 | 52,770 | (520,038 | ) | ||||||||||||||||||||||||||||
CMBX.NA.BBB-.11 | GS | USD | 1,440,000 | 3.00% | 3.86% | N/A | 11/18/2054 | Monthly | 54,713 | 67,002 | 12,289 | |||||||||||||||||||||||||||||
CMBX.NA.BBB-.9 | MLCS | USD | 2,750,000 | 3.00% | 5.15% | N/A | 09/17/2058 | Monthly | 221,087 | 218,314 | (2,773 | ) | ||||||||||||||||||||||||||||
CMBX.NA.BBB-.9 | CGMI | USD | 1,110,000 | 3.00% | 5.15% | N/A | 09/17/2058 | Monthly | 128,809 | 88,120 | (40,689 | ) | ||||||||||||||||||||||||||||
CMBX.NA.BBB-.9 | CGMI | USD | 666,000 | 3.00% | 5.15% | N/A | 09/17/2058 | Monthly | 77,753 | 52,872 | (24,881 | ) | ||||||||||||||||||||||||||||
CMBX.NA.BBB-.12 | GS | USD | 1,260,000 | 3.00% | 3.81% | N/A | 08/17/2061 | Monthly | 49,804 | 61,938 | 12,134 | |||||||||||||||||||||||||||||
CMBX.NA.BBB-.13 | CGMI | USD | 3,000,000 | 3.00% | 3.77% | N/A | 12/16/2072 | Monthly | 131,047 | 157,437 | 26,390 | |||||||||||||||||||||||||||||
Sell Protection^: |
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CDX.NA.HYS.31.V14-5Y | CITI | USD | 1,187,000 | 5.00% | 0.55% | 1,187,000 USD | 12/20/2023 | Quarterly | 121,668 | 122,454 | 786 | |||||||||||||||||||||||||||||
CDX.NA.HYS.31.V14-5Y | CITI | USD | 1,928,000 | 5.00% | 0.55% | 1,928,000 USD | 12/20/2023 | Quarterly | 203,886 | 198,897 | (4,989 | ) | ||||||||||||||||||||||||||||
CDX.NA.HYS.33.V12-5Y | CITI | USD | 4,450,000 | 5.00% | 0.18% | 4,450,000 USD | 12/20/2024 | Quarterly | 756,555 | 700,468 | (56,087 | ) | ||||||||||||||||||||||||||||
ITRAXX.EUROPES.32.V1-5Y | JPM | EUR | 20,000,000 | 1.00% | 0.45% | 20,000,000 EUR | 12/20/2024 | Quarterly | 116,938 | 438,132 | 321,194 | |||||||||||||||||||||||||||||
CDX.NA.HYS.35.V1-5Y | MSCI | USD | 2,160,000 | 5.00% | 3.00% | 2,160,000 USD | 12/20/2025 | Quarterly | 158,760 | 180,174 | 21,414 | |||||||||||||||||||||||||||||
ITRAXX.EUROPES.34.V1-5Y | BOA | EUR | 17,800,000 | 1.00% | 0.14% | 17,800,000 EUR | 12/20/2025 | Quarterly | 857,391 | 788,099 | (69,292 | ) | ||||||||||||||||||||||||||||
CMBX.NA.A.9 | MLCS | USD | 4,750,000 | 2.00% | 2.00% | 4,750,000 USD | 09/17/2058 | Monthly | 9,294 | (640 | ) | (9,934 | ) | |||||||||||||||||||||||||||
CMBX.NA.A.9 | CGMI | USD | 1,780,000 | 2.00% | 2.00% | 1,780,000 USD | 09/17/2058 | Monthly | (44,602 | ) | (240 | ) | 44,362 | |||||||||||||||||||||||||||
CMBX.NA.A.9 | CGMI | USD | 1,112,500 | 2.00% | 2.00% | 1,112,500 USD | 09/17/2058 | Monthly | (33,096 | ) | (150 | ) | 32,946 | |||||||||||||||||||||||||||
CMBX.NA.AAA.10 | GS | USD | 4,610,000 | 0.50% | 0.32% | 4,610,000 USD | 11/17/2059 | Monthly | 42,163 | 41,987 | (176 | ) | ||||||||||||||||||||||||||||
CMBX.NA.AAA.13 | GS | USD | 3,460,000 | 0.50% | 0.47% | 3,460,000 USD | 12/16/2072 | Monthly | 8,102 | 8,731 | 629 | |||||||||||||||||||||||||||||
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$ | 3,426,719 | $ | 3,120,730 | $ | (305,989 | ) | ||||||||||||||||||||||||||||||||||
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^ | 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, 2021, 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. |
12 | See accompanying notes to the financial statements. |
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2021 (Unaudited)
The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract. |
Centrally Cleared Interest Rate Swaps
Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||
(0.60)% | 6 Month CHF LIBOR | CHF | 13,730,000 | 09/15/2023 | Semi-Annually | — | (18,591 | ) | (18,591 | ) | ||||||||||||||||
(0.67)% | 6 Month CHF LIBOR | CHF | 16,150,000 | 09/15/2023 | Semi-Annually | — | 785 | 785 | ||||||||||||||||||
0.32% | 3 Month AUD BBSW | AUD | 1,320,000 | 12/15/2023 | Quarterly | 374 | (61 | ) | (435 | ) | ||||||||||||||||
0.32% | 3 Month AUD BBSW | AUD | 14,870,000 | 12/15/2023 | Quarterly | — | (680 | ) | (680 | ) | ||||||||||||||||
0.29% | 3 Month AUD BBSW | AUD | 23,290,000 | 12/15/2023 | Quarterly | — | 9,139 | 9,139 | ||||||||||||||||||
0.29% | 3 Month AUD BBSW | AUD | 85,610,000 | 12/15/2023 | Quarterly | — | 28,592 | 28,592 | ||||||||||||||||||
GBP - SONIA - COMPOUND | 0.32% | GBP | 113,270,000 | 12/15/2023 | Annually | — | (45,153 | ) | (45,153 | ) | ||||||||||||||||
GBP - SONIA - COMPOUND | 0.35% | GBP | 127,090,000 | 12/15/2023 | Annually | (401 | ) | 43,259 | 43,660 | |||||||||||||||||
3 Month NZD Bank Bill Rate | 1.36% | NZD | 26,120,000 | 12/15/2023 | Quarterly | — | (37,125 | ) | (37,125 | ) | ||||||||||||||||
3 Month NZD Bank Bill Rate | 1.37% | NZD | 90,510,000 | 12/15/2023 | Quarterly | — | (115,468 | ) | (115,468 | ) | ||||||||||||||||
3 Month NZD Bank Bill Rate | 1.45% | NZD | 15,810,000 | 12/15/2023 | Quarterly | — | (4,497 | ) | (4,497 | ) | ||||||||||||||||
3 Month NZD Bank Bill Rate | 1.45% | NZD | 61,220,000 | 12/15/2023 | Quarterly | (3,277 | ) | (13,171 | ) | (9,894 | ) | |||||||||||||||
0.08% | 3 Month SEK STIBOR | SEK | 120,400,000 | 12/15/2023 | Quarterly | — | 3,727 | 3,727 | ||||||||||||||||||
0.08% | 3 Month SEK STIBOR | SEK | 925,100,000 | 12/15/2023 | Quarterly | — | 32,924 | 32,924 | ||||||||||||||||||
0.08% | 3 Month SEK STIBOR | SEK | 333,100,000 | 12/15/2023 | Quarterly | — | 14,170 | 14,170 | ||||||||||||||||||
0.09% | 3 Month SEK STIBOR | SEK | 16,510,000 | 12/15/2023 | Quarterly | 56 | 205 | 149 | ||||||||||||||||||
0.98% | 3 Month CAD LIBOR | CAD | 106,880,000 | 12/18/2023 | Semi-Annually | 3,535 | (67,635 | ) | (71,170 | ) | ||||||||||||||||
(0.48)% | 6 Month EURIBOR | EUR | 4,460,000 | 12/20/2023 | Semi-Annually | 778 | 2,084 | 1,306 | ||||||||||||||||||
0.45% | 3 Month USD LIBOR | USD | 77,960,000 | 12/20/2023 | Quarterly | 11,088 | (66,429 | ) | (77,517 | ) | ||||||||||||||||
6 Month CHF LIBOR | (0.12)% | CHF | 3,220,000 | 09/15/2031 | Semi-Annually | — | (10,653 | ) | (10,653 | ) | ||||||||||||||||
6 Month CHF LIBOR | (0.15)% | CHF | 1,090,000 | 09/15/2031 | Semi-Annually | — | (6,766 | ) | (6,766 | ) | ||||||||||||||||
6 Month CHF LIBOR | 0.03% | CHF | 2,760,000 | 09/15/2031 | Semi-Annually | — | 38,412 | 38,412 | ||||||||||||||||||
6 Month CHF LIBOR | (0.04)% | CHF | 4,510,000 | 09/15/2031 | Semi-Annually | — | 24,803 | 24,803 | ||||||||||||||||||
6 Month CHF LIBOR | (0.03)% | CHF | 10,980,000 | 09/15/2031 | Semi-Annually | 3,652 | 76,301 | 72,649 | ||||||||||||||||||
6 Month CHF LIBOR | (0.09)% | CHF | 31,270,000 | 09/15/2031 | Semi-Annually | (10,819 | ) | 11,597 | 22,416 | |||||||||||||||||
6 Month AUD BBSW | 1.28% | AUD | 19,230,000 | 12/15/2031 | Semi-Annually | (52,746 | ) | (134,009 | ) | (81,263 | ) | |||||||||||||||
6 Month AUD BBSW | 1.30% | AUD | 2,460,000 | 12/15/2031 | Semi-Annually | — | (12,323 | ) | (12,323 | ) | ||||||||||||||||
6 Month AUD BBSW | 1.31% | AUD | 2,470,000 | 12/15/2031 | Semi-Annually | — | (10,472 | ) | (10,472 | ) | ||||||||||||||||
6 Month AUD BBSW | 1.37% | AUD | 3,150,000 | 12/15/2031 | Semi-Annually | — | (1,453 | ) | (1,453 | ) | ||||||||||||||||
1.28% | 6 Month AUD BBSW | AUD | 11,950,000 | 12/15/2031 | Semi-Annually | 28,851 | 79,097 | 50,246 | ||||||||||||||||||
3 Month CAD LIBOR | 1.69% | CAD | 85,270,000 | 12/15/2031 | Semi-Annually | — | (414,100 | ) | (414,100 | ) | ||||||||||||||||
3 Month CAD LIBOR | 1.71% | CAD | 67,450,000 | 12/15/2031 | Semi-Annually | — | (217,162 | ) | (217,162 | ) | ||||||||||||||||
3 Month CAD LIBOR | 1.73% | CAD | 5,240,000 | 12/15/2031 | Semi-Annually | (3,511 | ) | (9,464 | ) | (5,953 | ) | |||||||||||||||
3 Month CAD LIBOR | 1.77% | CAD | 23,960,000 | 12/15/2031 | Semi-Annually | (8,329 | ) | 24,464 | 32,793 | |||||||||||||||||
0.56% | GBP - SONIA - COMPOUND | GBP | 46,670,000 | 12/15/2031 | Annually | — | 613,247 | 613,247 | ||||||||||||||||||
0.56% | GBP - SONIA - COMPOUND | GBP | 23,310,000 | 12/15/2031 | Annually | — | 304,119 | 304,119 | ||||||||||||||||||
0.59% | GBP - SONIA - COMPOUND | GBP | 39,770,000 | 12/15/2031 | Annually | — | 342,249 | 342,249 | ||||||||||||||||||
0.60% | GBP - SONIA - COMPOUND | GBP | 2,620,000 | 12/15/2031 | Annually | 1,123 | 20,450 | 19,327 | ||||||||||||||||||
0.64% | GBP - SONIA - COMPOUND | GBP | 27,470,000 | 12/15/2031 | Annually | (7,108 | ) | 58,353 | 65,461 | |||||||||||||||||
0.64% | GBP - SONIA - COMPOUND | GBP | 1,670,000 | 12/15/2031 | Annually | 2,690 | 4,127 | 1,437 | ||||||||||||||||||
1.97% | 3 Month NZD Bank Bill Rate | NZD | 3,410,000 | 12/15/2031 | Quarterly | — | 13,083 | 13,083 | ||||||||||||||||||
2.00% | 3 Month NZD Bank Bill Rate | NZD | 32,450,000 | 12/15/2031 | Quarterly | 25,900 | 51,053 | 25,153 | ||||||||||||||||||
3 Month NZD Bank Bill Rate | 1.96% | NZD | 5,300,000 | 12/15/2031 | Quarterly | 719 | (22,046 | ) | (22,765 | ) | ||||||||||||||||
3 Month NZD Bank Bill Rate | 2.00% | NZD | 2,730,000 | 12/15/2031 | Quarterly | — | (4,825 | ) | (4,825 | ) | ||||||||||||||||
3 Month NZD Bank Bill Rate | 2.00% | NZD | 50,320,000 | 12/15/2031 | Quarterly | (22,431 | ) | (72,659 | ) | (50,228 | ) | |||||||||||||||
1.96% | 3 Month NZD Bank Bill Rate | NZD | 5,620,000 | 12/15/2031 | Quarterly | — | 24,289 | 24,289 | ||||||||||||||||||
3 Month SEK STIBOR | 0.56% | SEK | 24,600,000 | 12/15/2031 | Quarterly | — | (25,597 | ) | (25,597 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.56% | SEK | 189,900,000 | 12/15/2031 | Quarterly | — | (202,971 | ) | (202,971 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.59% | SEK | 67,960,000 | 12/15/2031 | Quarterly | — | (50,700 | ) | (50,700 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.64% | SEK | 218,450,000 | 12/15/2031 | Quarterly | (1,403 | ) | (36,783 | ) | (35,380 | ) | |||||||||||||||
3 Month SEK STIBOR | 0.64% | SEK | 8,490,000 | 12/15/2031 | Quarterly | (65 | ) | (1,430 | ) | (1,365 | ) | |||||||||||||||
(0.08)% | 6 Month EURIBOR | EUR | 24,580,000 | 12/17/2031 | Semi-Annually | 11,674 | 248,460 | 236,786 | ||||||||||||||||||
6 Month EURIBOR | (0.08)% | EUR | 1,230,000 | 12/17/2031 | Semi-Annually | (304 | ) | (12,285 | ) | (11,981 | ) |
See accompanying notes to the financial statements. | 13 |
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2021 (Unaudited)
Centrally Cleared Interest Rate Swaps — continued
Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||
1.36% | 3 Month USD LIBOR | USD | 1,460,000 | 12/17/2031 | Quarterly | — | 1,450 | 1,450 | ||||||||||||||||||
3 Month USD LIBOR | 1.42% | USD | 17,670,000 | 12/17/2031 | Quarterly | (1,909 | ) | 70,296 | 72,205 | |||||||||||||||||
1.41% | 3 Month USD LIBOR | USD | 42,230,000 | 12/17/2031 | Quarterly | 24,550 | (147,814 | ) | (172,364 | ) | ||||||||||||||||
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$ | 2,687 | $ | 378,413 | $ | 375,726 | |||||||||||||||||||||
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OTC Total Return Swaps
Fund Pays | Fund Receives | Counterparty | Notional | Expiration Date | Periodic | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||
Total Return on Bloomberg Commodity Index (f) | (0.15)% | MSCI | USD | 4,586,445 | 03/09/2022 | Monthly | — | (141,338 | ) | (141,338 | ) | |||||||||||||||||
1 Month Federal Funds Rate plus 0.10% | Total Return on MSCI Japan Value Net Total Return Local Index | GS | USD | 3,301,803 | 05/06/2022 | Monthly | — | 3,225 | 3,225 | |||||||||||||||||||
1 Month Federal Funds Rate plus 0.09% | Total Return on MSCI World Daily Total Return Net Growth Index | UBSA | USD | 3,894,348 | 05/12/2022 | Monthly | — | (43,992 | ) | (43,992 | ) | |||||||||||||||||
Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month Federal Funds Rate plus 0.10% | UBSA | USD | 4,170,868 | 05/12/2022 | Monthly | — | (32,457 | ) | (32,457 | ) | |||||||||||||||||
1 Month Federal Funds Rate plus 0.05% | Total Return on MSCI Japan Value Net Total Return Local Index | UBSA | USD | 2,665,221 | 05/20/2022 | Monthly | — | (30,063 | ) | (30,063 | ) | |||||||||||||||||
Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month Federal Funds Rate plus 0.05% | UBSA | USD | 2,808,315 | 05/20/2022 | Monthly | — | (21,912 | ) | (21,912 | ) | |||||||||||||||||
1 Month Federal Funds Rate plus 0.60% | Total Return on Equity Basket(h) | GS | USD | 105,842 | 05/24/2022 | Monthly | — | 4,778 | 4,778 | |||||||||||||||||||
Total Return on Equity Basket (h) | 1 Month FED Funds Rate minus 0.50% | GS | USD | 611,700 | 05/24/2022 | Monthly | — | 12,109 | 12,109 | |||||||||||||||||||
Total Return on Equity Basket (h) | 1 Month FED Funds Rate minus 0.50% | GS | USD | 55,598 | 05/24/2022 | Monthly | — | (1,771 | ) | (1,771 | ) | |||||||||||||||||
Total Return on Equity Basket (h) | 1 Month FED Funds Rate minus 0.75% | GS | USD | 56,104 | 05/24/2022 | Monthly | — | (2,756 | ) | (2,756 | ) | |||||||||||||||||
Total Return on Equity Basket (h) | 1 Month FED Funds Rate minus 0.50% | GS | USD | 3,158 | 05/24/2022 | Monthly | — | (235 | ) | (235 | ) | |||||||||||||||||
Total Return on Equity Basket (h) | 1 Month FED Funds Rate minus 0.75% | MORD | USD | 761,852 | 05/24/2022 | Monthly | — | (14,616 | ) | (14,616 | ) | |||||||||||||||||
Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month Federal Funds Rate minus 0.02% | GS | USD | 3,506,479 | 06/06/2022 | Monthly | — | (44,560 | ) | (44,560 | ) | |||||||||||||||||
1 Month Federal Funds Rate plus 0.95% | Total Return on Equity Basket(h) | MORD | USD | 103,721 | 10/18/2022 | Monthly | — | 7,922 | 7,922 | |||||||||||||||||||
Total Return on Equity Basket (i) | 1 Month FED Funds Rate minus 0.40% | MORD | USD | 3,642,794 | 10/18/2022 | Monthly | — | (95,944 | ) | (95,944 | ) | |||||||||||||||||
Total Return on Equity Basket (h) | 1 Month FED Funds Rate plus 0.10% | MORD | USD | 72,107 | 12/19/2022 | Monthly | — | (269 | ) | (269 | ) | |||||||||||||||||
Total Return on Equity Basket (h) | 1 Month FED Funds Rate minus 2.55% | MORD | USD | 1,205,169 | 06/20/2023 | Monthly | — | (16,904 | ) | (16,904 | ) | |||||||||||||||||
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$ | — | $ | (418,783 | ) | $ | (418,783 | ) | |||||||||||||||||||||
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As of August 31, 2021, 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.
14 | See accompanying notes to the financial statements. |
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2021 (Unaudited)
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
* | Non-income producing security. |
(a) | All or a portion of this 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) | 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) | Investment valued using significant unobservable inputs (Note 2). |
(e) | The rate disclosed is the 7 day net yield as of August 31, 2021. |
(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. |
(g) | All or a portion of this investment is held in connection with one or more holdings within the Fund. |
(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. |
(i) | The following table represents the individual short positions within the custom equity basket swap as of August 31, 2021: |
Shares | Description | % of Equity Basket | Value ($) | |||||||||||
1,900,000 | Alibaba Pictures Group Ltd | 5.4 | % | 202,503 | ||||||||||
717,000 | China Molybdenum Co Ltd – Class H | 15.0 | % | 559,379 | ||||||||||
38,000 | China Resources Beer Holdings Co Ltd | 8.4 | % | 312,488 | ||||||||||
164,000 | China Youzan Ltd | 0.6 | % | 22,959 | ||||||||||
400 | Fuyao Glass Industry Group Co Ltd – Class H | 0.1 | % | 2,461 | ||||||||||
13,000 | Galaxy Entertainment Group Ltd | 2.2 | % | 83,351 | ||||||||||
256,000 | Greentown Service Group Co Ltd | 7.3 | % | 273,763 | ||||||||||
3,000 | Haidilao International Holding Ltd | 0.3 | % | 12,243 | ||||||||||
7,800 | Hong Kong Exchanges and Clearing Ltd | 13.2 | % | 492,758 | ||||||||||
123,000 | Kingdee International Software Group Co Ltd | 12.0 | % | 447,889 | ||||||||||
14,000 | New World Development Co Ltd | 1.8 | % | 65,851 | ||||||||||
78,400 | Sands China Ltd | 6.8 | % | 251,868 | ||||||||||
117,000 | SJM Holdings Ltd | 2.7 | % | 101,815 | ||||||||||
6,000 | Venus Medtech Hangzhou Inc – Class H | 0.8 | % | 28,400 | ||||||||||
163,200 | Wynn Macau Ltd | 4.9 | % | 183,883 | ||||||||||
34,000 | Yihai International Holding Ltd. | 4.9 | % | 183,941 | ||||||||||
358,000 | Zijin Mining Group Co Ltd – Class H | 13.6 | % | 506,562 | ||||||||||
|
| |||||||||||||
TOTAL COMMON STOCKS | $ | 3,732,114 | ||||||||||||
|
|
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 97.
See accompanying notes to the financial statements. | 15 |
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2021 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 76.8 | % | ||
Debt Obligations | 18.9 | |||
Short-Term Investments | 1.7 | |||
Preferred Stocks | 1.1 | |||
Investment Funds | 0.5 | |||
Loan Assignments | 0.0 | ^ | ||
Rights/Warrants | 0.0 | ^ | ||
Loan Participations | 0.0 | ^ | ||
Purchased Options | 0.0 | ^ | ||
Swap Contracts | 0.0 | ^ | ||
Written/Credit Linked Options | 0.0 | ^ | ||
Reverse Repurchase Agreements | (0.0 | )^ | ||
Forward Currency Contracts | (0.0 | )^ | ||
Futures Contracts | (0.6 | ) | ||
Securities Sold Short | (24.5 | ) | ||
Other | 26.1 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | Debt Obligations as a % of Total Net Assets | |||
United States | 3.3 | % | ||
Other Emerging | 2.4 | † | ||
Other Developed | 0.2 | ‡ | ||
Euro Region | 0.0 | ^# | ||
|
| |||
5.9 | % | |||
|
| |||
Country/Region Summary¤ | Equity Investments as a % of Total Net Assets | |||
China | 10.0 | % | ||
Japan | 8.9 | |||
Other Developed | 6.8 | ‡ | ||
United States | 6.4 | |||
Taiwan | 4.2 | |||
Other Emerging | 3.9 | † | ||
Russia | 3.4 | |||
South Korea | 3.1 | |||
India | 2.1 | |||
United Kingdom | 1.9 | |||
Brazil | 1.4 | |||
Canada | 1.3 | |||
|
| |||
53.4 | % | |||
|
|
& | 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. Duration is 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 may not total to 100%. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets. |
# | “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country. |
^ | Rounds to 0.0%. |
16 |
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
MUTUAL FUNDS — 99.9% |
| |||||||||
Affiliated Issuers — 99.9% | ||||||||||
5,953,159 | GMO Emerging Country Debt Fund, Class VI | 156,151,350 | ||||||||
429,644,443 | GMO Implementation Fund | 5,568,191,979 | ||||||||
8,273,742 | GMO Opportunistic Income Fund, Class VI | 215,117,303 | ||||||||
5,617,366 | GMO SGM Major Markets Fund, Class VI | 167,116,627 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $6,179,195,008) | 6,106,577,259 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
Money Market Funds — 0.1% | ||||||||||
4,706,724 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a) | 4,706,724 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $4,706,724) | 4,706,724 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $6,183,901,732) | 6,111,283,983 | |||||||||
Other Assets and Liabilities (net) — (0.0%) | (2,912,156 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $ | 6,108,371,827 | ||||||||
|
|
Notes to Schedule of Investments:
(a) | The rate disclosed is the 7 day net yield as of August 31, 2021. |
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 97.
See accompanying notes to the financial statements. | 17 |
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2021 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 81.3 | % | ||
Debt Obligations | 18.9 | |||
Short-Term Investments | 1.7 | |||
Preferred Stocks | 1.2 | |||
Investment Funds | 0.1 | |||
Loan Assignments | 0.0 | ^ | ||
Loan Participations | 0.0 | ^ | ||
Swap Contracts | 0.0 | ^ | ||
Rights/Warrants | 0.0 | ^ | ||
Written/Credit Linked Options | | 0.0 | ^ | |
Reverse Repurchase Agreements | (0.0 | )^ | ||
Forward Currency Contracts | (0.0 | )^ | ||
Futures Contracts | (0.8 | ) | ||
Securities Sold Short | (20.2 | ) | ||
Other | 17.8 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | Debt Obligations as a % of Total Net Assets | |||
Other Emerging | 3.2 | %† | ||
United States | 2.4 | |||
Other Developed | 0.0 | ‡^ | ||
Euro Region | 0.0 | #^ | ||
|
| |||
5.6 | % | |||
|
| |||
Country/Region Summary¤ | Equity Investments as a % of Total Net Assets | |||
China | 13.0 | % | ||
Japan | 11.0 | |||
Other Developed | 7.2 | ‡ | ||
Taiwan | 5.7 | |||
Russia | 4.4 | |||
South Korea | 3.9 | |||
India | 2.7 | |||
United Kingdom | 2.5 | |||
Other Emerging | 2.4 | † | ||
United States | 1.9 | |||
Brazil | 1.8 | |||
Mexico | 1.3 | |||
Netherlands | 1.3 | |||
Canada | 1.3 | |||
South Africa | 1.1 | |||
|
| |||
61.5 | % | |||
|
|
& | 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. Duration is 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 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%. |
18 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 77.9% |
| |||||||||
Argentina — 0.0% | ||||||||||
15,000 | Banco BBVA Argentina SA ADR * | 65,250 | ||||||||
22,800 | Grupo Financiero Galicia SA ADR | 245,784 | ||||||||
|
| |||||||||
Total Argentina | 311,034 | |||||||||
|
| |||||||||
Australia — 1.5% | ||||||||||
113,700 | Accent Group Ltd | 178,218 | ||||||||
25,859 | Adairs Ltd (a) | 75,581 | ||||||||
60,850 | Australian Pharmaceutical Industries Ltd (a) | 59,804 | ||||||||
30,888 | Aventus Group (REIT) | 75,177 | ||||||||
161,506 | Bank of Queensland Ltd | 1,112,396 | ||||||||
545 | BHP Group Ltd (a) | 18,032 | ||||||||
180,298 | BlueScope Steel Ltd | 3,296,266 | ||||||||
104,520 | Brambles Ltd | 923,882 | ||||||||
13,033 | Codan Ltd | 142,919 | ||||||||
356,745 | Dexus (REIT) | 2,776,195 | ||||||||
353,113 | Fortescue Metals Group Ltd | 5,383,297 | ||||||||
39,768 | GDI Property Group (REIT) | 35,166 | ||||||||
149,150 | Genworth Mortgage Insurance Australia Ltd | 241,194 | ||||||||
952,999 | GPT Group (The) (REIT) | 3,373,861 | ||||||||
22,655 | McMillan Shakespeare Ltd | 206,035 | ||||||||
26,291 | Metcash Ltd (a) | 78,174 | ||||||||
5,691 | Mineral Resources Ltd | 226,386 | ||||||||
775,294 | Mirvac Group (REIT) | 1,765,644 | ||||||||
99,102 | Mount Gibson Iron Ltd | 44,028 | ||||||||
76,187 | Rio Tinto Ltd | 6,198,962 | ||||||||
136,209 | Sandfire Resources Ltd | 641,751 | ||||||||
795,757 | Scentre Group (REIT) (a) | 1,655,072 | ||||||||
24,820 | Southern Cross Media Group Ltd * | 40,378 | ||||||||
410,981 | Stockland (REIT) | 1,384,961 | ||||||||
9,792 | Super Retail Group Ltd | 87,760 | ||||||||
13,140 | Virtus Health Ltd (a) | 65,540 | ||||||||
|
| |||||||||
Total Australia | 30,086,679 | |||||||||
|
| |||||||||
Austria — 0.0% | ||||||||||
2,199 | Semperit AG Holding | 88,310 | ||||||||
2,078 | Vienna Insurance Group AG Wiener Versicherung Gruppe | 60,194 | ||||||||
|
| |||||||||
Total Austria | 148,504 | |||||||||
|
| |||||||||
Belgium — 0.5% | ||||||||||
107,012 | Ageas SA/NV (a) | 5,347,709 | ||||||||
6,073 | Bekaert SA | 289,131 | ||||||||
29,396 | bpost SA * | 284,131 | ||||||||
362 | Cie d’Entreprises CFE | 41,614 | ||||||||
1,705 | Groupe Bruxelles Lambert SA | 195,335 | ||||||||
2,423 | Orange Belgium SA | 57,079 | ||||||||
257 | Sofina SA | 113,611 | ||||||||
3,873 | Telenet Group Holding NV (b) | 147,365 |
Shares | Description | Value ($) | ||||||||
Belgium — continued | ||||||||||
32,902 | UCB SA | 3,764,283 | ||||||||
|
| |||||||||
Total Belgium | 10,240,258 | |||||||||
|
| |||||||||
Brazil — 1.4% | ||||||||||
234,900 | Ambev SA | 776,822 | ||||||||
1,087,040 | Banco Bradesco SA | 4,191,920 | ||||||||
134,900 | Banco do Brasil SA | 793,882 | ||||||||
137,400 | Blau Farmaceutica SA | 1,361,830 | ||||||||
137,600 | Camil Alimentos SA | 252,804 | ||||||||
74,200 | Cia Siderurgica Nacional SA | 500,234 | ||||||||
90,800 | Dimed SA Distribuidora da Medicamentos | 299,225 | ||||||||
115,100 | EDP – Energias do Brasil SA | 410,467 | ||||||||
62,700 | Fleury SA | 286,896 | ||||||||
59,300 | Mahle-Metal Leve SA | 453,684 | ||||||||
542,100 | Marfrig Global Foods SA | 2,148,145 | ||||||||
777,440 | Petrobras Distribuidora SA | 4,088,070 | ||||||||
113,800 | Petroleo Brasileiro SA Sponsored ADR | 1,233,592 | ||||||||
25,900 | Ser Educacional SA | 65,016 | ||||||||
87,000 | Telefonica Brasil SA | 735,768 | ||||||||
1,051,600 | TIM SA | 2,534,025 | ||||||||
415,200 | Vale SA Sponsored ADR | 7,917,864 | ||||||||
440,400 | Vamos Locacao de Caminhoes Maquinas e Equipamentos SA * | 1,295,444 | ||||||||
|
| |||||||||
Total Brazil | 29,345,688 | |||||||||
|
| |||||||||
Canada — 1.3% | ||||||||||
7,100 | AGF Management Ltd – Class B | 42,319 | ||||||||
19,200 | Bank of Montreal | 1,910,793 | ||||||||
31,700 | Bank of Nova Scotia (The) | 1,963,583 | ||||||||
42,140 | Brookfield Asset Management Inc – Class A | 2,340,877 | ||||||||
47,500 | Canaccord Genuity Group Inc | 567,372 | ||||||||
47,800 | Canadian Apartment Properties (REIT) | 2,315,268 | ||||||||
8,700 | Canadian Tire Corp Ltd – Class A | 1,323,981 | ||||||||
2,900 | Canadian Western Bank | 85,001 | ||||||||
50,300 | Canfor Corp * | 1,079,637 | ||||||||
42,600 | Cascades Inc | 529,440 | ||||||||
47,900 | Celestica Inc * (c) | 454,455 | ||||||||
17,400 | Celestica Inc * (c) | 165,300 | ||||||||
8,700 | Cenovus Energy Inc | 72,198 | ||||||||
5,103 | Cogeco Inc | 369,241 | ||||||||
116,400 | Corus Entertainment Inc – B Shares (b) | 576,626 | ||||||||
7,800 | Enerplus Corp | 46,121 | ||||||||
500 | Fairfax Financial Holdings Ltd | 221,325 | ||||||||
1,300 | Finning International Inc | 33,838 | ||||||||
8,300 | iA Financial Corp Inc | 460,245 | ||||||||
20,400 | Imperial Oil Ltd (a) (c) | 539,893 | ||||||||
16,500 | Imperial Oil Ltd (c) | 435,435 | ||||||||
16,500 | Interfor Corp | 350,363 | ||||||||
26,500 | Intertape Polymer Group Inc | 646,090 | ||||||||
3,700 | Laurentian Bank of Canada | 124,609 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Canada — continued | ||||||||||
20,000 | Linamar Corp | 1,133,119 | ||||||||
37,000 | Magna International Inc | 2,921,817 | ||||||||
3,000 | Morguard North American Residential Real Estate Investment Trust | 42,563 | ||||||||
3,200 | Mullen Group Ltd (a) | 33,607 | ||||||||
29,916 | Nutrien Ltd | 1,815,602 | ||||||||
65,700 | Power Corp of Canada | 2,267,331 | ||||||||
9,200 | Teck Resources Ltd – Class B | 207,460 | ||||||||
11,600 | Toronto-Dominion Bank (The) | 753,290 | ||||||||
9,600 | Tourmaline Oil Corp | 256,731 | ||||||||
15,000 | Transcontinental Inc – Class A (a) | 290,334 | ||||||||
5,500 | Wajax Corp | 104,058 | ||||||||
6,700 | West Fraser Timber Co Ltd | 517,350 | ||||||||
|
| |||||||||
Total Canada | 26,997,272 | |||||||||
|
| |||||||||
Chile — 0.0% | ||||||||||
13,003 | CAP SA | 184,834 | ||||||||
155,765 | Falabella SA | 616,945 | ||||||||
5,354 | Inversiones La Construccion SA | 25,357 | ||||||||
|
| |||||||||
Total Chile | 827,136 | |||||||||
|
| |||||||||
China — 12.0% | ||||||||||
7,000 | 360 DigiTech Inc ADR * | 159,600 | ||||||||
381,000 | 361 Degrees International Ltd * | 181,860 | ||||||||
1,585,668 | Agile Group Holdings Ltd | 1,818,424 | ||||||||
1,264,300 | Agricultural Bank of China Ltd – Class A | 578,958 | ||||||||
27,586,800 | Agricultural Bank of China Ltd – Class H | 9,248,141 | ||||||||
18,900 | Alibaba Group Holding Ltd * | 395,758 | ||||||||
18,500 | Alibaba Group Holding Ltd Sponsored ADR * | 3,089,315 | ||||||||
1,294,000 | Angang Steel Co Ltd – Class H (a) | 988,603 | ||||||||
16,599 | Anhui Conch Cement Co Ltd – Class A | 102,634 | ||||||||
554,500 | Anhui Conch Cement Co Ltd – Class H | 3,000,187 | ||||||||
11,000 | ANTA Sports Products Ltd | 225,949 | ||||||||
32,500 | Asia Cement China Holdings Corp | 23,954 | ||||||||
13,100 | Autohome Inc ADR (b) | 579,806 | ||||||||
3,819,500 | BAIC Motor Corp Ltd – Class H (a) | 1,394,348 | ||||||||
25,600 | Baidu Inc Sponsored ADR * (b) | 4,019,712 | ||||||||
2,450,500 | Bank of China Ltd – Class A | 1,148,767 | ||||||||
26,177,000 | Bank of China Ltd – Class H | 9,173,298 | ||||||||
11,986,000 | Bank of Communications Co Ltd – Class H | 6,883,593 | ||||||||
173,500 | Beijing Enterprises Holdings Ltd | 597,090 | ||||||||
468,000 | Beijing Enterprises Water Group Ltd * | 193,020 | ||||||||
339,500 | BYD Electronic International Co Ltd (a) | 1,553,008 | ||||||||
149,000 | China Aoyuan Group Ltd (a) | 89,083 | ||||||||
5,420,000 | China Cinda Asset Management Co Ltd – Class H | 961,292 | ||||||||
106,000 | China CITIC Bank Corp Ltd – Class H | 48,731 | ||||||||
4,145,357 | China Communications Services Corp Ltd – Class H | 2,202,843 | ||||||||
230,800 | China Construction Bank Corp – Class A | 208,787 |
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
11,019,000 | China Construction Bank Corp – Class H | 7,939,825 | ||||||||
2,302,000 | China Dongxiang Group Co Ltd | 272,186 | ||||||||
1,267,000 | China Everbright Bank Co Ltd – Class H | 454,121 | ||||||||
614,000 | China Everbright Environment Group Ltd | 424,498 | ||||||||
2,283,000 | China Feihe Ltd | 4,125,439 | ||||||||
81,600 | China Gas Holdings Ltd | 236,200 | ||||||||
1,058,000 | China Greenfresh Group Co Ltd * (d) | — | ||||||||
5,235,000 | China Hongqiao Group Ltd | 7,764,662 | ||||||||
22,799,000 | China Huarong Asset Management Co Ltd – Class H * (d) | 2,227,882 | ||||||||
75,000 | China International Marine Containers Group Co Ltd – Class A | 212,666 | ||||||||
1,507,000 | China Lesso Group Holdings Ltd | 3,225,499 | ||||||||
448,000 | China Lilang Ltd | 279,538 | ||||||||
2,317,645 | China Medical System Holdings Ltd | 4,548,981 | ||||||||
43,858 | China Merchants Bank Co Ltd – Class A | 332,242 | ||||||||
6,382,000 | China National Building Material Co Ltd – Class H | 8,715,254 | ||||||||
928,000 | China Oriental Group Co Ltd | 342,918 | ||||||||
211,000 | China Overseas Grand Oceans Group Ltd | 140,222 | ||||||||
1,437,500 | China Overseas Land & Investment Ltd | 3,311,550 | ||||||||
108,890 | China Pacific Insurance Group Co Ltd – Class A | 443,310 | ||||||||
170,400 | China Pacific Insurance Group Co Ltd – Class H | 480,250 | ||||||||
18,538 | China Petroleum & Chemical Corp ADR | 889,639 | ||||||||
14,366,000 | China Petroleum & Chemical Corp – Class H | 6,912,020 | ||||||||
145,000 | China Pioneer Pharma Holdings Ltd | 29,612 | ||||||||
471,400 | China Railway Group Ltd – Class A | 410,448 | ||||||||
12,077,042 | China Railway Group Ltd – Class H | 5,783,991 | ||||||||
365,832 | China Railway Signal & Communication Corp Ltd – Class A | 296,029 | ||||||||
1,341,000 | China Reinsurance Group Corp – Class H | 139,533 | ||||||||
70,000 | China Resources Gas Group Ltd | 424,332 | ||||||||
492,000 | China Resources Land Ltd | 1,827,445 | ||||||||
2,434,000 | China Resources Pharmaceutical Group Ltd | 1,265,821 | ||||||||
93,000 | China SCE Group Holdings Ltd | 37,246 | ||||||||
33,000 | China Shenhua Energy Co Ltd – Class A | 102,084 | ||||||||
105,979 | China Shenhua Energy Co Ltd – Class H | 234,352 | ||||||||
210,000 | China Shineway Pharmaceutical Group Ltd | 227,084 | ||||||||
1,156,000 | China South City Holdings Ltd | 106,947 | ||||||||
2,474,000 | China Traditional Chinese Medicine Holdings Co Ltd * | 1,177,556 | ||||||||
786,391 | China Vanke Co Ltd – Class A | 2,408,129 | ||||||||
330,125 | China Vanke Co Ltd – Class H | 890,729 | ||||||||
84,400 | China Yangtze Power Co Ltd – Class A | 252,489 | ||||||||
183,000 | China Yongda Automobiles Services Holdings Ltd | 306,633 | ||||||||
2,900 | China Yuchai International Ltd | 41,325 | ||||||||
1,776,400 | China Zhongwang Holdings Ltd * (a) | 385,506 | ||||||||
154,400 | Chinese Universe Publishing and Media Group Co Ltd – Class A | 247,637 | ||||||||
104,000 | CIMC Vehicles Group Co Ltd – Class H * | 88,827 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
3,021,000 | CITIC Ltd | 3,753,387 | ||||||||
1,827,604 | Country Garden Holdings Co Ltd | 2,020,050 | ||||||||
564,397 | CSG Holding Co Ltd – Class A | 1,024,691 | ||||||||
720,000 | CSPC Pharmaceutical Group Ltd | 913,393 | ||||||||
5,292,000 | Dongfeng Motor Group Co Ltd – Class H | 5,794,684 | ||||||||
1,613,000 | Dongyue Group Ltd (a) | 5,548,411 | ||||||||
94,200 | ENN Energy Holdings Ltd | 1,863,996 | ||||||||
108,400 | Everbright Securities Co Ltd – Class H (a) | 86,258 | ||||||||
2,447,398 | Fangda Special Steel Technology Co Ltd – Class A | 3,073,377 | ||||||||
1,015,500 | Fantasia Holdings Group Co Ltd * | 92,496 | ||||||||
1,895,500 | Fosun International Ltd | 2,397,611 | ||||||||
267,000 | Geely Automobile Holdings Ltd | 967,668 | ||||||||
537,000 | Genertec Universal Medical Group Co Ltd | 436,887 | ||||||||
157,000 | Greenland Hong Kong Holdings Ltd | 43,569 | ||||||||
732,000 | Guangdong Investment Ltd | 1,016,586 | ||||||||
168,200 | Guangdong Tapai Group Co Ltd – Class A | 268,438 | ||||||||
206,000 | Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H | 525,788 | ||||||||
1,198,400 | Guangzhou R&F Properties Co Ltd – Class H (a) | 1,021,768 | ||||||||
31,200 | Haier Smart Home Co Ltd – Class H | 117,531 | ||||||||
101,000 | Haitian International Holdings Ltd | 386,178 | ||||||||
207,500 | Hello Group Inc Sponsored ADR (b) | 2,726,550 | ||||||||
52,000 | Hengan International Group Co Ltd | 301,136 | ||||||||
484,287 | Hisense Home Appliances Group Co Ltd – Class A | 955,500 | ||||||||
359,000 | Hisense Home Appliances Group Co Ltd – Class H | 421,456 | ||||||||
24,600 | Hollysys Automation Technologies Ltd | 483,390 | ||||||||
318,100 | Hopson Development Holdings Ltd | 1,239,223 | ||||||||
8,483,000 | Industrial & Commercial Bank of China Ltd – Class H | 4,723,966 | ||||||||
551,398 | Inner Mongolia Eerduosi Resources Co Ltd – Class A | 3,097,660 | ||||||||
365,000 | Kingboard Holdings Ltd | 1,794,677 | ||||||||
310,000 | Kingboard Laminates Holdings Ltd | 609,605 | ||||||||
316,000 | Kunlun Energy Co Ltd | 334,214 | ||||||||
259,000 | KWG Group Holdings Ltd | 272,674 | ||||||||
37,800 | Lao Feng Xiang Co Ltd – Class A | 271,907 | ||||||||
346,500 | Legend Holdings Corp – Class H | 557,870 | ||||||||
2,864,000 | Lenovo Group Ltd | 3,159,085 | ||||||||
246,981 | Livzon Pharmaceutical Group Inc – Class H | 912,520 | ||||||||
226,000 | Logan Group Co Ltd | 269,383 | ||||||||
178,500 | Longfor Group Holdings Ltd | 772,426 | ||||||||
3,513,000 | Lonking Holdings Ltd | 1,101,309 | ||||||||
50,100 | Lufax Holding Ltd ADR * | 434,367 | ||||||||
3,760,000 | Metallurgical Corp of China Ltd – Class H | 1,495,555 | ||||||||
55,200 | NetEase Inc | 1,056,737 | ||||||||
14,600 | NetEase Inc ADR (b) | 1,422,332 | ||||||||
1,256,000 | Nexteer Automotive Group Ltd | 1,414,493 | ||||||||
1,816,000 | Nine Dragons Paper Holdings Ltd | 2,480,872 | ||||||||
1,070,000 | PAX Global Technology Ltd | 1,322,884 | ||||||||
27,500 | PetroChina Co Ltd ADR | 1,199,275 |
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
4,142,000 | PetroChina Co Ltd – Class H | 1,809,308 | ||||||||
4,696,000 | PICC Property & Casualty Co Ltd – Class H | 4,245,711 | ||||||||
97,100 | Ping An Insurance Group Co of China Ltd – Class A | 750,305 | ||||||||
745,000 | Poly Property Group Co Ltd | 197,127 | ||||||||
2,150,100 | Postal Savings Bank of China Co Ltd – Class A | 1,708,048 | ||||||||
158,000 | Postal Savings Bank of China Co Ltd – Class H | 113,827 | ||||||||
1,435,000 | Powerlong Real Estate Holdings Ltd | 1,165,781 | ||||||||
144,000 | Qingling Motors Co Ltd – Class H | 37,128 | ||||||||
124,000 | Road King Infrastructure Ltd | 140,874 | ||||||||
202,000 | Seazen Group Ltd * | 178,908 | ||||||||
298,000 | Shanghai Jin Jiang Capital Co Ltd – Class H | 58,534 | ||||||||
64,100 | Shanghai Mechanical and Electrical Industry Co Ltd – Class A | 154,773 | ||||||||
23,300 | Shanghai Pharmaceuticals Holding Co Ltd – Class A | 69,204 | ||||||||
1,209,500 | Shanghai Pharmaceuticals Holding Co Ltd – Class H | 2,399,441 | ||||||||
420,858 | Shenzhen Investment Ltd | 124,920 | ||||||||
39,300 | Shenzhou International Group Holdings Ltd | 851,872 | ||||||||
1,334,500 | Shimao Group Holdings Ltd | 2,757,502 | ||||||||
3,376,000 | Sihuan Pharmaceutical Holdings Group Ltd | 1,002,619 | ||||||||
1,228,000 | Sinopec Engineering Group Co Ltd – Class H | 650,674 | ||||||||
3,384,000 | Sinopharm Group Co Ltd – Class H | 8,708,740 | ||||||||
1,299,000 | Sinotruk Hong Kong Ltd | 2,559,373 | ||||||||
3,300,000 | Skyworth Group Ltd * | 1,030,961 | ||||||||
74,000 | Sun Art Retail Group Ltd (a) | 44,894 | ||||||||
448,000 | Sunac China Holdings Ltd | 1,145,454 | ||||||||
12,600 | Sunny Optical Technology Group Co Ltd | 381,296 | ||||||||
2,120,000 | TCL Electronics Holdings Ltd * | 1,123,078 | ||||||||
121,581 | Tencent Holdings Ltd | 7,509,181 | ||||||||
35,000 | Tencent Holdings Ltd ADR (b) | 2,158,100 | ||||||||
610,000 | Tianjin Port Development Holdings Ltd | 50,063 | ||||||||
1,686,000 | Tianneng Power International Ltd (a) | 2,256,463 | ||||||||
39,097 | Tsingtao Brewery Co Ltd – Class A | 522,088 | ||||||||
28,000 | Tsingtao Brewery Co Ltd – Class H | 229,108 | ||||||||
8,400 | Vipshop Holdings Ltd ADR * | 124,236 | ||||||||
38,000 | Want Want China Holdings Ltd | 25,823 | ||||||||
608,000 | Weichai Power Co Ltd – Class H | 1,534,196 | ||||||||
1,245,685 | Weifu High-Technology Group Co Ltd – Class A | 4,464,506 | ||||||||
2,160,000 | West China Cement Ltd | 344,464 | ||||||||
6,900 | Yum China Holdings Inc | 424,764 | ||||||||
2,978,596 | Yuzhou Group Holdings Co Ltd (a) | 574,082 | ||||||||
154,000 | Zhejiang Expressway Co Ltd – Class H | 135,046 | ||||||||
147,099 | Zhejiang Weixing New Building Materials Co Ltd – Class A | 449,546 | ||||||||
736,899 | Zhengzhou Coal Mining Machinery Group Co Ltd – Class A | 1,489,001 | ||||||||
491,500 | Zhongsheng Group Holdings Ltd | 4,109,430 | ||||||||
60,300 | Zhuzhou CRRC Times Electric Co Ltd – Class H * | 362,411 | ||||||||
|
| |||||||||
Total China | 245,186,111 | |||||||||
|
|
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Czech Republic — 0.0% | ||||||||||
7,952 | CEZ AS | 250,663 | ||||||||
2,291 | Komercni Banka AS * | 88,091 | ||||||||
122,633 | Moneta Money Bank AS * | 497,917 | ||||||||
58 | Philip Morris CR AS | 42,119 | ||||||||
|
| |||||||||
Total Czech Republic | 878,790 | |||||||||
|
| |||||||||
Denmark — 0.4% | ||||||||||
277 | AP Moller – Maersk A/S – Class A | 750,650 | ||||||||
349 | AP Moller – Maersk A/S – Class B | 994,217 | ||||||||
935 | Carlsberg A/S – Class B | 163,312 | ||||||||
176,900 | Danske Bank A/S | 2,968,472 | ||||||||
7,316 | Matas A/S | 151,533 | ||||||||
25,764 | Pandora A/S | 3,088,179 | ||||||||
26,761 | Scandinavian Tobacco Group A/S | 543,483 | ||||||||
|
| |||||||||
Total Denmark | 8,659,846 | |||||||||
|
| |||||||||
Egypt — 0.0% | ||||||||||
39,913 | Commercial International Bank Egypt SAE * | 117,425 | ||||||||
33,697 | Eastern Co SAE | 25,227 | ||||||||
|
| |||||||||
Total Egypt | 142,652 | |||||||||
|
| |||||||||
Finland — 0.3% | ||||||||||
2,416 | Aktia Bank Oyj | 34,619 | ||||||||
29,176 | Kesko Oyj – B Shares | 1,207,288 | ||||||||
32,188 | Neste Oyj | 1,960,633 | ||||||||
494,219 | Nokia Oyj * | 2,968,838 | ||||||||
5,810 | Tokmanni Group Corp | 167,617 | ||||||||
8,878 | UPM-Kymmene Oyj | 361,677 | ||||||||
6,956 | Uponor Oyj | 224,329 | ||||||||
|
| |||||||||
Total Finland | 6,925,001 | |||||||||
|
| |||||||||
France — 1.7% | ||||||||||
18,514 | ALD SA | 260,750 | ||||||||
1,514 | Amundi SA | 143,290 | ||||||||
12,992 | APERAM SA | 797,074 | ||||||||
33,427 | ArcelorMittal SA | 1,121,141 | ||||||||
839 | Axway Software SA (b) | 28,458 | ||||||||
97,703 | BNP Paribas SA | 6,189,471 | ||||||||
721 | Boiron SA | 35,773 | ||||||||
680 | Bonduelle SCA | 18,407 | ||||||||
274 | Christian Dior SE | 207,125 | ||||||||
46,956 | Cie de Saint-Gobain | 3,403,978 | ||||||||
115,482 | Credit Agricole SA | 1,666,834 | ||||||||
48,796 | Derichebourg SA * | 577,568 | ||||||||
658 | Fnac Darty SA | 44,827 | ||||||||
337 | Groupe Crit (a) | 26,686 | ||||||||
389 | HEXAOM | 23,155 | ||||||||
14,558 | IPSOS | 705,615 | ||||||||
2,731 | Kaufman & Broad SA | 127,192 |
Shares | Description | Value ($) | ||||||||
France — continued | ||||||||||
2,289 | Kering SA | 1,823,236 | ||||||||
2,920 | LVMH Moet Hennessy Louis Vuitton SE | 2,163,165 | ||||||||
1,440 | Maisons du Monde SA | 33,255 | ||||||||
23,776 | Metropole Television SA | 506,299 | ||||||||
7,408 | Nexity SA | 382,560 | ||||||||
82,321 | Orange SA | 935,924 | ||||||||
57,278 | Publicis Groupe SA (b) | 3,760,304 | ||||||||
19,038 | Quadient SA | 540,642 | ||||||||
1,204 | Rothschild & Co | 47,601 | ||||||||
21,948 | Safran SA | 2,753,280 | ||||||||
740 | SEB SA | 116,485 | ||||||||
3,225 | Societe BIC SA | 214,708 | ||||||||
133,748 | Societe Generale SA | 4,209,599 | ||||||||
695 | Synergie SE | 29,984 | ||||||||
58,885 | Television Francaise 1 | 591,097 | ||||||||
10,535 | TotalEnergies SE | 465,991 | ||||||||
4,488 | Vicat SA | 223,646 | ||||||||
369 | Vilmorin & Cie SA | 23,883 | ||||||||
|
| |||||||||
Total France | 34,199,003 | |||||||||
|
| |||||||||
Germany — 1.4% | ||||||||||
12,339 | ADVA Optical Networking SE * | 204,509 | ||||||||
137 | Amadeus Fire AG | 28,157 | ||||||||
45,211 | Bayer AG (Registered) | 2,515,127 | ||||||||
32,189 | Bayerische Motoren Werke AG | 3,055,339 | ||||||||
14,605 | Beiersdorf AG | 1,772,523 | ||||||||
37,461 | CECONOMY AG * | 175,568 | ||||||||
478 | Cewe Stiftung & Co KGaA | 71,362 | ||||||||
82,232 | Daimler AG (Registered) | 6,936,660 | ||||||||
1,712 | Deutsche Pfandbriefbank AG | 19,610 | ||||||||
12,837 | Deutsche Post AG (Registered) | 902,558 | ||||||||
6,949 | Deutz AG * | 63,462 | ||||||||
4,643 | Dialog Semiconductor Plc * | 369,051 | ||||||||
1,480 | Draegerwerk AG & Co KGaA | 125,700 | ||||||||
51,666 | Fresenius SE & Co KGaA (b) | 2,686,282 | ||||||||
4,219 | Hamburger Hafen und Logistik AG | 93,007 | ||||||||
30,139 | HeidelbergCement AG | 2,613,849 | ||||||||
1,895 | Hornbach Baumarkt AG | 75,819 | ||||||||
4,062 | Hornbach Holding AG & Co KGaA | 434,527 | ||||||||
45,353 | Kloeckner & Co SE * | 612,354 | ||||||||
3,509 | Merck KGaA | 833,727 | ||||||||
46,657 | ProSiebenSat.1 Media SE (b) | 890,761 | ||||||||
6,177 | RTL Group SA | 383,836 | ||||||||
1,623 | Salzgitter AG * | 61,179 | ||||||||
14,449 | SAP SE (b) | 2,170,384 | ||||||||
3,894 | Takkt AG | 64,871 | ||||||||
4,523 | Traton SE | 133,530 | ||||||||
5,643 | Volkswagen AG | 1,888,104 | ||||||||
|
| |||||||||
Total Germany | 29,181,856 | |||||||||
|
|
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Greece — 0.0% | ||||||||||
12,055 | FF Group * (d) | — | ||||||||
6,201 | Mytilineos SA | 116,414 | ||||||||
|
| |||||||||
Total Greece | 116,414 | |||||||||
|
| |||||||||
Hong Kong — 0.8% | ||||||||||
82,500 | Budweiser Brewing Co APAC Ltd | 206,145 | ||||||||
127,400 | Champion (REIT) | 72,538 | ||||||||
118,000 | Chow Sang Sang Holdings International Ltd | 179,502 | ||||||||
953,000 | CITIC Telecom International Holdings Ltd | 330,928 | ||||||||
4,000 | CK Asset Holdings Ltd | 26,048 | ||||||||
424,000 | CK Hutchison Holdings Ltd | 3,091,004 | ||||||||
550,000 | CSI Properties Ltd | 17,492 | ||||||||
100,500 | Dah Sing Banking Group Ltd | 96,647 | ||||||||
79,200 | Dah Sing Financial Holdings Ltd | 246,395 | ||||||||
1,820,000 | First Pacific Co Ltd | 678,529 | ||||||||
418,000 | Giordano International Ltd | 89,083 | ||||||||
75,000 | HKT Trust & HKT Ltd – Class SS | 102,269 | ||||||||
428,000 | IGG Inc | 408,783 | ||||||||
185,500 | Johnson Electric Holdings Ltd | 424,824 | ||||||||
113,000 | K Wah International Holdings Ltd | 49,550 | ||||||||
85,500 | Kerry Logistics Network Ltd | 271,696 | ||||||||
398,500 | Kerry Properties Ltd | 1,355,778 | ||||||||
24,800 | Luk Fook Holdings International Ltd | 68,855 | ||||||||
376,000 | Pacific Textiles Holdings Ltd | 200,557 | ||||||||
3,326,000 | PCCW Ltd | 1,734,549 | ||||||||
720,000 | Shun Tak Holdings Ltd * | 206,322 | ||||||||
60,500 | SmarTone Telecommunications Holdings Ltd | 34,085 | ||||||||
130,000 | Sun Hung Kai & Co Ltd | 71,184 | ||||||||
5,000 | Sun Hung Kai Properties Ltd | 70,520 | ||||||||
104,000 | Swire Pacific Ltd – Class A | 704,062 | ||||||||
180,000 | Texwinca Holdings Ltd | 38,870 | ||||||||
408,000 | VSTECS Holdings Ltd | 383,753 | ||||||||
126,500 | VTech Holdings Ltd | 1,228,733 | ||||||||
2,543,500 | WH Group Ltd (a) | 2,206,146 | ||||||||
159,000 | Xinyi Glass Holdings Ltd | 668,155 | ||||||||
355,500 | Yue Yuen Industrial Holdings Ltd * | 720,943 | ||||||||
|
| |||||||||
Total Hong Kong | 15,983,945 | |||||||||
|
| |||||||||
Hungary — 0.0% | ||||||||||
75,431 | Magyar Telekom Telecommunications Plc | 109,973 | ||||||||
9,885 | OTP Bank Nyrt * | 596,973 | ||||||||
|
| |||||||||
Total Hungary | 706,946 | |||||||||
|
| |||||||||
India — 2.5% | ||||||||||
191,629 | Apollo Tyres Ltd | 557,340 | ||||||||
61,691 | Arvind Ltd * | 76,391 | ||||||||
23,674 | Asian Paints Ltd | 1,036,637 | ||||||||
76,961 | Axis Bank Ltd * | 826,686 | ||||||||
6,380 | Bajaj Electricals Ltd * | 105,121 |
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
182,033 | Balrampur Chini Mills Ltd | 920,770 | ||||||||
9,635 | Bombay Burmah Trading Co | 156,642 | ||||||||
3,765 | Clean Science & Technology Ltd * | 78,567 | ||||||||
70,872 | Dhampur Sugar Mills Ltd | 302,655 | ||||||||
10,500 | Dr Reddy’s Laboratories Ltd ADR | 674,205 | ||||||||
93,685 | Firstsource Solutions Ltd | 232,200 | ||||||||
19,336 | GAIL India Ltd | 38,780 | ||||||||
44,323 | Glenmark Pharmaceuticals Ltd | 321,248 | ||||||||
646,209 | HCL Technologies Ltd | 10,420,953 | ||||||||
27,184 | HDFC Bank Ltd | 586,107 | ||||||||
141,504 | Hindalco Industries Ltd | 908,312 | ||||||||
74,449 | Hindustan Petroleum Corp Ltd | 271,790 | ||||||||
24,701 | Hindustan Unilever Ltd | 918,568 | ||||||||
23,498 | Housing Development Finance Corp Ltd | 896,310 | ||||||||
121,813 | ICICI Bank Ltd | 1,191,242 | ||||||||
505,780 | Indiabulls Housing Finance Ltd | 1,546,944 | ||||||||
173,068 | Indian Oil Corp Ltd | 262,503 | ||||||||
13,107 | Infosys Ltd | 307,084 | ||||||||
45,800 | Infosys Ltd Sponsored ADR (b) | 1,090,956 | ||||||||
377,848 | IRCON International Ltd | 222,160 | ||||||||
716,895 | ITC Ltd | 2,068,396 | ||||||||
127,481 | Jai Balaji Industries Ltd * | 101,334 | ||||||||
209,970 | Karnataka Bank Ltd (The) | 176,732 | ||||||||
288,603 | LT Foods Ltd | 265,021 | ||||||||
157,607 | Mahindra & Mahindra Ltd | 1,707,465 | ||||||||
21,215 | Mindtree Ltd | 1,051,776 | ||||||||
614,256 | NTPC Ltd | 972,866 | ||||||||
3,290,842 | Oil & Natural Gas Corp Ltd | 5,407,882 | ||||||||
1,677,073 | Power Finance Corp Ltd | 2,950,743 | ||||||||
356,414 | PTC India Ltd | 502,904 | ||||||||
56,068 | Rajesh Exports Ltd | 448,794 | ||||||||
2,633,422 | REC Ltd | 5,457,398 | ||||||||
53,858 | Redington India Ltd | 114,838 | ||||||||
29,934 | Tata Consultancy Services Ltd | 1,554,263 | ||||||||
780,914 | Tata Motors Ltd * | 3,078,563 | ||||||||
297,167 | Tata Motors Ltd – Class A * | 553,449 | ||||||||
29,542 | Titan Co Ltd | 775,431 | ||||||||
59,197 | Wipro Ltd | 518,948 | ||||||||
|
| |||||||||
Total India | 51,656,974 | |||||||||
|
| |||||||||
Indonesia — 0.4% | ||||||||||
412,500 | Astra International Tbk PT | 151,014 | ||||||||
1,264,300 | Bank Central Asia Tbk PT | 2,902,092 | ||||||||
1,654,800 | Bank Mandiri Persero Tbk PT | 707,412 | ||||||||
1,465,458 | Bank Negara Indonesia Persero Tbk PT | 553,744 | ||||||||
2,588,500 | Bank Pembangunan Daerah Jawa Timur Tbk PT | 129,701 | ||||||||
7,837,800 | Bank Rakyat Indonesia Persero Tbk PT | 2,155,434 | ||||||||
223,700 | Bank Tabungan Negara Persero Tbk PT * | 21,991 | ||||||||
2,535,200 | Bukit Asam Tbk PT | 374,913 | ||||||||
243,500 | Indo Tambangraya Megah Tbk PT | 272,983 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Indonesia — continued | ||||||||||
651,500 | Pakuwon Jati Tbk PT * | 20,884 | ||||||||
1,417,500 | Panin Financial Tbk PT * | 18,562 | ||||||||
1,911,200 | Ramayana Lestari Sentosa Tbk PT | 85,646 | ||||||||
1,353,600 | Telkom Indonesia Persero Tbk PT | 323,025 | ||||||||
43,600 | United Tractors Tbk PT | 61,287 | ||||||||
|
| |||||||||
Total Indonesia | 7,778,688 | |||||||||
|
| |||||||||
Ireland — 0.5% | ||||||||||
172,287 | AIB Group Plc * | 517,673 | ||||||||
306,876 | Bank of Ireland Group Plc * | 1,920,820 | ||||||||
3,941 | CRH Plc | 208,778 | ||||||||
19,840 | CRH Plc Sponsored ADR | 1,053,901 | ||||||||
11,519 | Dole Plc * | 184,880 | ||||||||
9,518 | Glanbia Plc | 169,925 | ||||||||
207,649 | Hibernia REIT Plc | 310,763 | ||||||||
4,107 | Kingspan Group Plc | 468,999 | ||||||||
20,810 | Origin Enterprises Plc | 82,116 | ||||||||
32,738 | Permanent TSB Group Holdings Plc * | 53,986 | ||||||||
114,409 | Ryanair Holdings Plc * | 2,140,185 | ||||||||
7,869 | Smurfit Kappa Group Plc (c) | 451,019 | ||||||||
42,073 | Smurfit Kappa Group Plc (c) | 2,411,367 | ||||||||
|
| |||||||||
Total Ireland | 9,974,412 | |||||||||
|
| |||||||||
Israel — 0.3% | ||||||||||
124,523 | Bank Leumi Le-Israel BM | 1,028,711 | ||||||||
18,700 | Check Point Software Technologies Ltd * | 2,349,281 | ||||||||
530 | Fox Wizel Ltd | 70,242 | ||||||||
37,750 | Isracard Ltd | 156,650 | ||||||||
458 | Israel Corp Ltd (The) * | 139,040 | ||||||||
1,604 | Mizrahi Tefahot Bank Ltd | 53,361 | ||||||||
477,592 | Oil Refineries Ltd * | 104,166 | ||||||||
283,200 | Teva Pharmaceutical Industries Ltd Sponsored ADR * | 2,667,744 | ||||||||
|
| |||||||||
Total Israel | 6,569,195 | |||||||||
|
| |||||||||
Italy — 1.1% | ||||||||||
146,383 | A2A SPA | 321,598 | ||||||||
4,639 | ACEA SPA | 110,779 | ||||||||
38,002 | Anima Holding SPA | 196,011 | ||||||||
12,361 | Banca IFIS SPA | 214,536 | ||||||||
10,462 | Banca Mediolanum SPA | 108,614 | ||||||||
130,970 | Banco BPM SPA (a) | 434,343 | ||||||||
72,812 | Buzzi Unicem SPA | 1,932,959 | ||||||||
15,485 | Cementir Holding NV | 175,384 | ||||||||
14,900 | CNH Industrial NV (c) | 245,701 | ||||||||
10,648 | CNH Industrial NV (c) | 176,020 | ||||||||
55,960 | Cofide SPA * | 32,245 | ||||||||
22,116 | Credito Emiliano SPA | 148,247 | ||||||||
5,887 | De’ Longhi SPA | 266,428 | ||||||||
6,488 | El.En. SPA (b) | 99,935 |
Shares | Description | Value ($) | ||||||||
Italy — continued | ||||||||||
42,164 | Enel SPA | 384,133 | ||||||||
8,873 | Esprinet SPA | 169,581 | ||||||||
94,420 | EXOR NV | 7,877,784 | ||||||||
61,401 | Italgas SPA | 407,064 | ||||||||
9,031 | La Doria SPA | 194,394 | ||||||||
184,464 | Leonardo SPA * | 1,501,994 | ||||||||
74,348 | Mediobanca Banca di Credito Finanziario SPA * | 876,452 | ||||||||
31,060 | Poste Italiane SPA | 421,109 | ||||||||
364 | Sesa SPA * | 72,613 | ||||||||
3,269,443 | Telecom Italia SPA | 1,481,284 | ||||||||
6,310,669 | Telecom Italia SPA – RSP | 3,048,881 | ||||||||
7,364 | Unieuro SPA | 192,415 | ||||||||
200,746 | Unipol Gruppo SPA | 1,190,643 | ||||||||
|
| |||||||||
Total Italy | 22,281,147 | |||||||||
|
| |||||||||
Japan — 13.5% | ||||||||||
5,400 | ADEKA Corp | 117,884 | ||||||||
400 | Advantest Corp | 34,461 | ||||||||
29,200 | Aeon Delight Co Ltd (a) | 944,756 | ||||||||
237,900 | Aeon Mall Co Ltd (a) | 3,623,006 | ||||||||
3,100 | AGC Inc | 149,757 | ||||||||
6,100 | Aichi Corp | 41,065 | ||||||||
8,600 | Aisin Corp | 328,275 | ||||||||
311,400 | Amada Co Ltd | 3,156,716 | ||||||||
85,800 | Amano Corp | 2,178,047 | ||||||||
6,600 | AOKI Holdings Inc | 37,521 | ||||||||
300 | Arata Corp | 12,158 | ||||||||
18,200 | Arcland Sakamoto Co Ltd | 253,428 | ||||||||
67,400 | Arcs Co Ltd (a) | 1,370,166 | ||||||||
362,000 | Asahi Kasei Corp | 3,732,248 | ||||||||
155,000 | Astellas Pharma Inc | 2,611,736 | ||||||||
3,600 | Bando Chemical Industries Ltd | 30,185 | ||||||||
86,000 | Brother Industries Ltd | 1,764,856 | ||||||||
5,600 | Bunka Shutter Co Ltd | 59,300 | ||||||||
2,500 | Canon Electronics Inc | 36,287 | ||||||||
11,000 | Canon Marketing Japan Inc | 250,810 | ||||||||
1,600 | Cawachi Ltd | 33,384 | ||||||||
3,400 | Central Glass Co Ltd | 68,591 | ||||||||
1,600 | Chiyoda Integre Co Ltd | 27,942 | ||||||||
98,200 | Chubu Electric Power Co Inc | 1,187,474 | ||||||||
142,500 | Chugoku Marine Paints Ltd | 1,171,225 | ||||||||
4,300 | CONEXIO Corp | 59,546 | ||||||||
2,600 | Credit Saison Co Ltd | 29,574 | ||||||||
5,400 | Dai Nippon Toryo Co Ltd | 41,789 | ||||||||
1,500 | Dai-Dan Co Ltd | 36,837 | ||||||||
38,400 | Daihen Corp | 1,671,940 | ||||||||
1,900 | Daiichi Jitsugyo Co Ltd | 81,314 | ||||||||
1,900 | Dainichiseika Color & Chemicals Manufacturing Co Ltd | 43,777 | ||||||||
55,000 | Daiwa House Industry Co Ltd | 1,677,155 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
2,000 | Daiwa Industries Ltd | 22,188 | ||||||||
318,300 | Daiwabo Holdings Co Ltd | 6,047,699 | ||||||||
111,200 | Denka Co Ltd | 3,897,590 | ||||||||
4,400 | DTS Corp (b) | 102,202 | ||||||||
69,100 | Ebara Corp | 3,434,753 | ||||||||
3,200 | Ehime Bank Ltd (The) | 22,739 | ||||||||
4,400 | Elecom Co Ltd | 71,188 | ||||||||
46,600 | Electric Power Development Co Ltd | 696,136 | ||||||||
8,500 | FAN Communications Inc | 31,710 | ||||||||
113,900 | Fuji Corp | 2,948,524 | ||||||||
700 | Fujimori Kogyo Co Ltd | 29,142 | ||||||||
10,700 | Fujitsu Ltd (b) | 1,969,729 | ||||||||
2,600 | Furuno Electric Co Ltd | 25,808 | ||||||||
3,000 | G-7 Holdings Inc (a) | 108,332 | ||||||||
1,000 | Hakuto Co Ltd | 16,381 | ||||||||
9,300 | Hanwa Co Ltd | 278,873 | ||||||||
288,200 | Haseko Corp | 3,985,824 | ||||||||
370,400 | Hazama Ando Corp | 2,762,739 | ||||||||
1,800 | Heiwado Co Ltd | 35,789 | ||||||||
97,100 | Hitachi Ltd | 5,366,377 | ||||||||
45,100 | Hogy Medical Co Ltd | 1,410,459 | ||||||||
10,300 | Hokuhoku Financial Group Inc | 78,946 | ||||||||
213,700 | Honda Motor Co Ltd | 6,467,976 | ||||||||
43,500 | Horiba Ltd | 3,108,753 | ||||||||
4,400 | Hyakujushi Bank Ltd (The) | 63,650 | ||||||||
49,100 | Iida Group Holdings Co Ltd | 1,246,509 | ||||||||
105,500 | Inabata & Co Ltd | 1,613,872 | ||||||||
1,500 | Information Services International-Dentsu Ltd (b) | 58,511 | ||||||||
575,500 | Inpex Corp | 3,954,198 | ||||||||
18,300 | Isuzu Motors Ltd | 231,335 | ||||||||
210,800 | ITOCHU Corp | 6,341,100 | ||||||||
16,400 | Itochu Enex Co Ltd | 147,025 | ||||||||
600 | Itochu-Shokuhin Co Ltd | 28,862 | ||||||||
29,700 | Itoham Yonekyu Holdings Inc | 200,511 | ||||||||
11,600 | Itoki Corp | 37,810 | ||||||||
6,800 | Jaccs Co Ltd | 169,973 | ||||||||
74,400 | JAFCO Group Co Ltd | 4,493,360 | ||||||||
9,000 | Japan Petroleum Exploration Co Ltd | 154,832 | ||||||||
42,674 | Japan Post Insurance Co Ltd | 774,963 | ||||||||
6,100 | Juroku Bank Ltd (The) | 128,760 | ||||||||
173,800 | JVCKenwood Corp | 328,617 | ||||||||
330,800 | K’s Holdings Corp | 3,615,878 | ||||||||
92,600 | Kadokawa Corp (b) | 4,246,713 | ||||||||
3,900 | Kaga Electronics Co Ltd | 102,633 | ||||||||
132,100 | Kajima Corp | 1,706,766 | ||||||||
3,500 | Kamei Corp | 37,336 | ||||||||
42,800 | Kanamoto Co Ltd | 978,026 | ||||||||
23,500 | Kandenko Co Ltd | 201,913 | ||||||||
152,000 | Kanematsu Corp | 1,954,789 | ||||||||
700 | Kansai Electric Power Co Inc (The) | 7,034 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
2,600 | Kato Sangyo Co Ltd | 79,516 | ||||||||
286,300 | KDDI Corp | 8,750,868 | ||||||||
22,900 | Kinden Corp | 387,722 | ||||||||
2,697 | Kohnan Shoji Co Ltd (a) | 88,916 | ||||||||
15,700 | Kokuyo Co Ltd | 274,702 | ||||||||
17,001 | Komeri Co Ltd | 389,838 | ||||||||
236,274 | Konica Minolta Inc | 1,199,115 | ||||||||
98,600 | Konoike Transport Co Ltd | 1,227,075 | ||||||||
4,200 | Kumagai Gumi Co Ltd | 102,560 | ||||||||
7,100 | Kyokuto Kaihatsu Kogyo Co Ltd | 106,560 | ||||||||
185,200 | Kyowa Exeo Corp | 4,647,552 | ||||||||
111,900 | Kyudenko Corp | 4,023,590 | ||||||||
2,400 | Macnica Fuji Electronics Holdings Inc | 57,733 | ||||||||
131,400 | Macromill Inc | 902,643 | ||||||||
86,300 | Mandom Corp | 1,305,489 | ||||||||
34,700 | Marubeni Corp | 276,084 | ||||||||
1,400 | Maruha Nichiro Corp | 32,307 | ||||||||
130,700 | Maruichi Steel Tube Ltd | 3,213,525 | ||||||||
2,100 | Maruzen Showa Unyu Co Ltd | 64,912 | ||||||||
2,000 | Matsuda Sangyo Co Ltd | 53,087 | ||||||||
128,700 | Maxell Holdings Ltd * | 1,513,032 | ||||||||
20,500 | MCJ Co Ltd | 228,426 | ||||||||
83,900 | Mebuki Financial Group Inc | 187,499 | ||||||||
2,400 | Megmilk Snow Brand Co Ltd | 50,303 | ||||||||
4,500 | Meidensha Corp | 100,450 | ||||||||
700 | Melco Holdings Inc | 33,031 | ||||||||
63,500 | Mitsubishi Gas Chemical Co Inc | 1,196,509 | ||||||||
2,000 | Mitsubishi Research Institute Inc (b) | 77,588 | ||||||||
1,516,800 | Mitsubishi UFJ Financial Group Inc | 8,229,308 | ||||||||
4,400 | Mitsuboshi Belting Ltd | 80,434 | ||||||||
17,600 | Mitsui & Co Ltd | 388,178 | ||||||||
21,500 | Mitsui Chemicals Inc | 742,232 | ||||||||
6,200 | Mitsui DM Sugar Holdings Co Ltd | 109,057 | ||||||||
16,695 | Mixi Inc (b) | 383,429 | ||||||||
106,800 | Morinaga & Co Ltd | 3,745,519 | ||||||||
134,500 | MS&AD Insurance Group Holdings Inc | 4,353,613 | ||||||||
20,300 | NEC Networks & System Integration Corp (b) | 386,959 | ||||||||
103,800 | NH Foods Ltd | 4,027,771 | ||||||||
4,700 | Nichias Corp | 124,652 | ||||||||
5,500 | Nichiha Corp | 161,834 | ||||||||
6,100 | Nichireki Co Ltd | 71,286 | ||||||||
12,400 | Nippn Corp | 182,235 | ||||||||
18,500 | Nippo Corp | 543,620 | ||||||||
2,200 | Nippon Soda Co Ltd | 70,361 | ||||||||
800 | Nippon Steel Trading Corp | 36,547 | ||||||||
258,700 | Nippon Telegraph & Telephone Corp | 6,892,488 | ||||||||
42,900 | Nippon Television Holdings Inc (b) | 457,466 | ||||||||
17,800 | Nishi-Nippon Financial Holdings Inc | 112,333 | ||||||||
1,500 | Nissin Corp | 20,750 | ||||||||
9,000 | Nojima Corp | 221,588 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
12,800 | Nomura Real Estate Holdings Inc | 327,798 | ||||||||
485,100 | Obayashi Corp | 3,991,587 | ||||||||
17,800 | Okamura Corp | 273,798 | ||||||||
600 | Okinawa Cellular Telephone Co | 28,385 | ||||||||
4,000 | Organo Corp | 230,923 | ||||||||
555,900 | ORIX Corp | 10,371,688 | ||||||||
40,900 | Osaka Gas Co Ltd | 766,669 | ||||||||
1,700 | Osaka Soda Co Ltd | 41,202 | ||||||||
136,000 | Pacific Industrial Co Ltd | 1,552,673 | ||||||||
250,000 | Penta-Ocean Construction Co Ltd | 1,586,744 | ||||||||
4,300 | Prima Meat Packers Ltd | 116,484 | ||||||||
5,700 | Proto Corp (b) | 76,725 | ||||||||
7,600 | Raito Kogyo Co Ltd | 132,763 | ||||||||
197,700 | Resona Holdings Inc | 764,534 | ||||||||
2,500 | Restar Holdings Corp | 43,707 | ||||||||
900 | Rion Co Ltd | 21,497 | ||||||||
20,900 | Rohm Co Ltd | 2,009,261 | ||||||||
2,800 | Roland DG Corp | 72,732 | ||||||||
1,300 | Ryobi Ltd | 15,376 | ||||||||
23,500 | San-A Co Ltd | 864,634 | ||||||||
9,200 | San-Ai Oil Co Ltd | 114,696 | ||||||||
14,000 | San-In Godo Bank Ltd (The) | 72,869 | ||||||||
12,700 | Sanki Engineering Co Ltd | 172,493 | ||||||||
72,200 | Sankyu Inc | 3,359,943 | ||||||||
8,300 | Sanwa Holdings Corp | 110,230 | ||||||||
19,100 | Sawai Group Holdings Co Ltd | 863,175 | ||||||||
45,300 | Secom Co Ltd | 3,435,223 | ||||||||
33,200 | Sega Sammy Holdings Inc | 447,789 | ||||||||
9,500 | Seiko Epson Corp | 176,935 | ||||||||
3,500 | Seiko Holdings Corp | 69,462 | ||||||||
19,700 | Sekisui Chemical Co Ltd | 337,150 | ||||||||
166,900 | Sekisui House Ltd | 3,325,182 | ||||||||
4,300 | Sekisui Jushi Corp | 85,400 | ||||||||
5,400 | Shimamura Co Ltd | 475,959 | ||||||||
355,200 | Shimizu Corp | 2,548,905 | ||||||||
600 | Shindengen Electric Manufacturing Co Ltd * | 22,112 | ||||||||
6,600 | Shizuoka Gas Co Ltd (a) | 76,766 | ||||||||
800 | Sinanen Holdings Co Ltd | 25,405 | ||||||||
7,400 | Sinko Industries Ltd | 146,841 | ||||||||
348,700 | SKY Perfect JSAT Holdings Inc | 1,292,820 | ||||||||
200,000 | Sojitz Corp | 587,190 | ||||||||
21,600 | Subaru Corp | 399,766 | ||||||||
816,800 | Sumitomo Chemical Co Ltd | 4,140,863 | ||||||||
237,800 | Sumitomo Dainippon Pharma Co Ltd | 4,268,530 | ||||||||
18,600 | Sumitomo Electric Industries Ltd | 248,414 | ||||||||
225,600 | Sumitomo Forestry Co Ltd | 4,402,178 | ||||||||
1,700 | Sumitomo Heavy Industries Ltd | 44,471 | ||||||||
111,000 | Sumitomo Mitsui Trust Holdings Inc | 3,625,615 | ||||||||
1,500 | Sumitomo Seika Chemicals Co Ltd | 48,017 | ||||||||
13,400 | Suzuki Motor Corp | 579,028 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
64,600 | T Hasegawa Co Ltd | 1,638,176 | ||||||||
4,000 | T-Gaia Corp | 71,484 | ||||||||
77,800 | Tachi-S Co Ltd | 958,993 | ||||||||
65,100 | Taisei Corp | 2,036,693 | ||||||||
155,700 | Takara Holdings Inc | 2,017,885 | ||||||||
32,900 | Takara Leben Co Ltd | 95,704 | ||||||||
13,200 | Takeuchi Manufacturing Co Ltd | 317,745 | ||||||||
146,700 | Takuma Co Ltd | 2,210,666 | ||||||||
3,000 | Tamron Co Ltd | 71,855 | ||||||||
272,100 | Teijin Ltd | 3,913,580 | ||||||||
115,200 | TIS Inc (b) | 3,252,051 | ||||||||
92,100 | Toho Holdings Co Ltd | 1,598,700 | ||||||||
965,200 | Tokyo Electric Power Co Holdings Inc * | 2,535,201 | ||||||||
97,600 | Tokyo Seimitsu Co Ltd | 4,263,282 | ||||||||
35,800 | Tokyu Construction Co Ltd | 244,039 | ||||||||
263,100 | Toppan Inc | 4,516,648 | ||||||||
31,700 | Toray Industries Inc | 213,744 | ||||||||
122,200 | Tosei Corp | 1,290,152 | ||||||||
278,784 | Tosoh Corp | 5,060,043 | ||||||||
1,000 | Totetsu Kogyo Co Ltd | 22,328 | ||||||||
8,300 | Towa Pharmaceutical Co Ltd | 222,497 | ||||||||
40,300 | Toyo Construction Co Ltd | 206,294 | ||||||||
24,500 | Toyota Boshoku Corp | 460,689 | ||||||||
45,500 | Toyota Industries Corp | 3,841,593 | ||||||||
13,800 | Toyota Tsusho Corp | 610,207 | ||||||||
2,200 | TPR Co Ltd | 29,701 | ||||||||
14,000 | TS Tech Co Ltd | 189,632 | ||||||||
82,200 | Tsumura & Co | 2,826,316 | ||||||||
4,500 | TV Asahi Holdings Corp (b) | 69,376 | ||||||||
5,300 | Wacoal Holdings Corp | 111,367 | ||||||||
13,400 | YAMABIKO Corp | 154,072 | ||||||||
69,900 | Yamada Holdings Co Ltd | 299,880 | ||||||||
39,500 | Yamaguchi Financial Group Inc | 230,338 | ||||||||
5,300 | Yamaha Motor Co Ltd | 134,841 | ||||||||
9,000 | Yamazen Corp | 89,528 | ||||||||
7,200 | Yellow Hat Ltd | 127,411 | ||||||||
60,500 | Yokogawa Bridge Holdings Corp | 1,230,859 | ||||||||
14,700 | Yokohama Rubber Co Ltd (The) | 250,732 | ||||||||
5,500 | Yuasa Trading Co Ltd | 148,479 | ||||||||
92,200 | Zenkoku Hosho Co Ltd | 4,385,761 | ||||||||
|
| |||||||||
Total Japan | 275,261,484 | |||||||||
|
| |||||||||
Kuwait — 0.2% | ||||||||||
31 | Gulf Bank KSCP | 25 | ||||||||
7,476 | Gulf Cable & Electrical Industries Co KSCP | 20,241 | ||||||||
18,005 | Humansoft Holding Co KSC | 203,943 | ||||||||
911,960 | Kuwait Finance House KSCP | 2,504,969 | ||||||||
38,023 | Kuwait Projects Holding KSCP | 19,463 | ||||||||
152,743 | Mobile Telecommunications Co KSCP | 310,099 | ||||||||
467,111 | National Bank of Kuwait SAKP | 1,453,489 | ||||||||
|
| |||||||||
Total Kuwait | 4,512,229 | |||||||||
|
|
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Luxembourg — 0.0% | ||||||||||
7,400 | Ternium SA Sponsored ADR | 402,412 | ||||||||
|
| |||||||||
Malaysia — 0.1% | ||||||||||
590,200 | DRB-Hicom Bhd | 237,392 | ||||||||
1,015,400 | MMC Corp Bhd | 449,789 | ||||||||
30,100 | Pharmaniaga Bhd | 6,512 | ||||||||
87,300 | Syarikat Takaful Malaysia Keluarga Bhd | 94,164 | ||||||||
246,400 | Top Glove Corp Bhd | 237,072 | ||||||||
98,700 | Westports Holdings Bhd | 104,357 | ||||||||
|
| |||||||||
Total Malaysia | 1,129,286 | |||||||||
|
| |||||||||
Mexico — 1.1% | ||||||||||
5,300 | America Movil SAB de CV – Class L Sponsored ADR | 103,668 | ||||||||
23,400 | Arca Continental SAB de CV | 150,730 | ||||||||
100,000 | Banco del Bajio SA | 190,599 | ||||||||
206,600 | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander | 241,122 | ||||||||
13,800 | Cemex SAB de CV Sponsored ADR * | 113,160 | ||||||||
3,200 | Coca-Cola Femsa SAB de CV Sponsored ADR | 185,280 | ||||||||
27,500 | Corp Inmobiliaria Vesta SAB de CV | 51,155 | ||||||||
107,200 | Credito Real SAB de CV SOFOM ER * | 81,558 | ||||||||
81,100 | El Puerto de Liverpool SAB de CV – Class C1 | 360,395 | ||||||||
222,800 | Fibra Uno Administracion SA de CV (REIT) | 251,155 | ||||||||
270,572 | Fomento Economico Mexicano SAB de CV | 2,351,002 | ||||||||
7,200 | Fomento Economico Mexicano SAB de CV Sponsored ADR | 624,312 | ||||||||
403,000 | Gentera SAB de CV * | 221,526 | ||||||||
21,372 | Grupo Aeroportuario del Centro Norte SAB de CV * | 128,813 | ||||||||
244,900 | Grupo Bimbo SAB de CV – Series A | 618,469 | ||||||||
997,900 | Grupo Financiero Banorte SAB de CV – Class O | 6,586,915 | ||||||||
80,800 | Grupo Financiero Inbursa SAB de CV – Class O * | 77,646 | ||||||||
49,942 | Grupo Herdez SAB de CV – Series * | 108,145 | ||||||||
1,602,289 | Grupo Mexico SAB de CV – Series B | 7,429,055 | ||||||||
4,600 | Infraestructura Energetica Nova SAB de CV * | 17,993 | ||||||||
51,700 | Kimberly-Clark de Mexico SAB de CV – Class A | 91,744 | ||||||||
199,000 | Nemak SAB de CV * | 63,810 | ||||||||
61,600 | Qualitas Controladora SAB de CV | 291,438 | ||||||||
29,400 | Regional SAB de CV | 180,142 | ||||||||
25,472 | Unifin Financiera SAB de CV SOFOM ENR * | 36,146 | ||||||||
759,600 | Wal-Mart de Mexico SAB de CV | 2,695,513 | ||||||||
|
| |||||||||
Total Mexico | 23,251,491 | |||||||||
|
| |||||||||
Netherlands — 1.6% | ||||||||||
77,748 | ABN AMRO Bank NV CVA * (a) | 1,083,164 | ||||||||
55,100 | AerCap Holdings NV * | 2,971,543 | ||||||||
26,650 | ASR Nederland NV (a) | 1,217,766 | ||||||||
11,846 | ForFarmers NV | 62,250 | ||||||||
277,407 | ING Groep NV | 3,826,656 | ||||||||
21,600 | JDE Peet’s NV | 742,322 |
Shares | Description | Value ($) | ||||||||
Netherlands — continued | ||||||||||
131,902 | Koninklijke Ahold Delhaize NV | 4,450,037 | ||||||||
329,237 | Koninklijke KPN NV | 1,054,667 | ||||||||
58,077 | NN Group NV | 3,012,613 | ||||||||
402,336 | PostNL NV | 2,105,383 | ||||||||
65,160 | Randstad NV | 4,798,784 | ||||||||
75,834 | Signify NV | 4,248,426 | ||||||||
102,796 | Stellantis NV | 2,060,617 | ||||||||
12,234 | Wolters Kluwer NV | 1,406,919 | ||||||||
|
| |||||||||
Total Netherlands | 33,041,147 | |||||||||
|
| |||||||||
New Zealand — 0.1% | ||||||||||
540,971 | Meridian Energy Ltd | 1,998,019 | ||||||||
|
| |||||||||
Norway — 0.5% | ||||||||||
53,880 | Aker Solutions ASA * | 99,643 | ||||||||
29,459 | Austevoll Seafood ASA | 378,344 | ||||||||
10,158 | Avance Gas Holding Ltd | 50,900 | ||||||||
45,705 | Bank Norwegian ASA | 540,456 | ||||||||
131,121 | BW LPG Ltd | 698,157 | ||||||||
3,961 | DNB Bank ASA | 83,604 | ||||||||
68,623 | Elkem ASA * | 292,138 | ||||||||
13,517 | Equinor ASA | 286,481 | ||||||||
76,548 | Europris ASA | 540,902 | ||||||||
533,132 | Norsk Hydro ASA | 3,680,339 | ||||||||
199,763 | Orkla ASA | 1,784,359 | ||||||||
14,029 | Sbanken ASA | 164,198 | ||||||||
11,817 | Selvaag Bolig ASA | 82,977 | ||||||||
16,786 | SpareBank 1 Nord Norge | 169,048 | ||||||||
19,287 | SpareBank 1 SMN | 276,736 | ||||||||
52,120 | SpareBank 1 SR-Bank ASA | 702,958 | ||||||||
6,320 | Veidekke ASA | 81,137 | ||||||||
1,030 | Wallenius Wilhelmsen ASA * | 4,077 | ||||||||
|
| |||||||||
Total Norway | 9,916,454 | |||||||||
|
| |||||||||
Pakistan — 0.1% | ||||||||||
34,810 | Engro Corp Ltd | 61,493 | ||||||||
488,454 | Engro Fertilizers Ltd | 226,827 | ||||||||
58,068 | Fauji Fertilizer Co Ltd | 36,979 | ||||||||
5,110 | Lucky Cement Ltd * | 25,483 | ||||||||
407,858 | Oil & Gas Development Co Ltd | 227,239 | ||||||||
54,623 | Pakistan Oilfields Ltd | 127,823 | ||||||||
277,068 | Pakistan Petroleum Ltd | 135,907 | ||||||||
23,700 | Pakistan State Oil Co Ltd | 30,828 | ||||||||
67,270 | United Bank Ltd | 49,038 | ||||||||
|
| |||||||||
Total Pakistan | 921,617 | |||||||||
|
| |||||||||
Peru — 0.0% | ||||||||||
3,600 | Credicorp Ltd * | 383,868 | ||||||||
6,800 | Southern Copper Corp | 425,612 | ||||||||
|
| |||||||||
Total Peru | 809,480 | |||||||||
|
|
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Philippines — 0.0% | ||||||||||
16,040 | GT Capital Holdings Inc | 173,870 | ||||||||
14,660 | Manila Electric Co | 83,062 | ||||||||
2,369,000 | Megaworld Corp | 134,176 | ||||||||
2,145,000 | Metro Pacific Investments Corp | 165,872 | ||||||||
76,600 | Puregold Price Club Inc | 64,208 | ||||||||
15,810 | Security Bank Corp | 35,947 | ||||||||
135,050 | Semirara Mining & Power Corp | 46,067 | ||||||||
|
| |||||||||
Total Philippines | 703,202 | |||||||||
|
| |||||||||
Poland — 0.4% | ||||||||||
20,978 | Asseco Poland SA | 459,651 | ||||||||
28,411 | Bank Polska Kasa Opieki SA * | 794,477 | ||||||||
3,461 | Budimex SA | 267,498 | ||||||||
4,254 | Dino Polska SA * | 360,587 | ||||||||
28,920 | Jastrzebska Spolka Weglowa SA * | 304,726 | ||||||||
156,212 | Polski Koncern Naftowy ORLEN SA | 3,028,728 | ||||||||
835,335 | Polskie Gornictwo Naftowe i Gazownictwo SA | 1,373,875 | ||||||||
169,574 | Powszechna Kasa Oszczednosci Bank Polski SA * | 1,861,439 | ||||||||
2,205 | Santander Bank Polska SA * | 174,004 | ||||||||
|
| |||||||||
Total Poland | 8,624,985 | |||||||||
|
| |||||||||
Portugal — 0.4% | ||||||||||
81,654 | Altri SGPS SA | 543,571 | ||||||||
7,090,582 | Banco Comercial Portugues SA – Class R * (a) | 1,096,751 | ||||||||
58,611 | CTT-Correios de Portugal SA (a) | 318,017 | ||||||||
356,059 | EDP – Energias de Portugal SA | 1,954,601 | ||||||||
235,835 | Galp Energia SGPS SA | 2,412,336 | ||||||||
1,566 | Greenvolt-Energias Renovaveis SA * | 9,874 | ||||||||
154,246 | Navigator Co SA (The) | 574,353 | ||||||||
52,529 | NOS SGPS SA | 221,444 | ||||||||
69,242 | REN – Redes Energeticas Nacionais SGPS SA | 202,798 | ||||||||
598,195 | Sonae SGPS SA | 651,353 | ||||||||
|
| |||||||||
Total Portugal | 7,985,098 | |||||||||
|
| |||||||||
Qatar — 0.1% | ||||||||||
114,022 | Doha Bank QPSC | 90,176 | ||||||||
46,534 | Masraf Al Rayan QSC | 58,156 | ||||||||
16,323 | Qatar Electricity & Water Co QSC | 74,441 | ||||||||
32,266 | Qatar Gas Transport Co Ltd | 27,425 | ||||||||
31,879 | Qatar Insurance Co SAQ * | 21,771 | ||||||||
183,248 | Qatar National Bank QPSC | 964,463 | ||||||||
45,376 | Qatar National Cement Co QSC | 62,405 | ||||||||
|
| |||||||||
Total Qatar | 1,298,837 | |||||||||
|
| |||||||||
Russia — 3.7% | ||||||||||
2,856,440 | Alrosa PJSC | 5,686,236 | ||||||||
95,600 | Credit Bank of Moscow PJSC * | 9,070 | ||||||||
86,780 | Detsky Mir PJSC | 164,329 | ||||||||
152,250,000 | Federal Grid Co Unified Energy System PJSC | 409,615 |
Shares | Description | Value ($) | ||||||||
Russia — continued | ||||||||||
68,395 | Fix Price Group Ltd GDR * (d) | 638,467 | ||||||||
13,740 | Gazprom Neft PJSC | 79,909 | ||||||||
2,752 | Gazprom Neft PJSC Sponsored ADR | 80,169 | ||||||||
1,041,790 | Gazprom PJSC | 4,343,899 | ||||||||
877,120 | Gazprom PJSC Sponsored ADR | 7,272,191 | ||||||||
31,659 | Globaltrans Investment Plc Sponsored GDR (Registered) | 260,377 | ||||||||
29,325,101 | Inter RAO UES PJSC | 1,847,830 | ||||||||
19,776 | LSR Group PJSC | 209,732 | ||||||||
1 | LSR Group PJSC GDR (Registered)(d) | 2 | ||||||||
42,067 | LUKOIL PJSC | 3,597,194 | ||||||||
19,076 | LUKOIL PJSC Sponsored ADR | 1,615,718 | ||||||||
4,165 | M.Video PJSC | 35,521 | ||||||||
3,470 | Magnit PJSC | 262,925 | ||||||||
42,471 | Magnit PJSC Sponsored GDR (Registered) | 646,443 | ||||||||
1,007,980 | Magnitogorsk Iron & Steel Works PJSC | 1,019,006 | ||||||||
34,180 | Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered) | 445,341 | ||||||||
126,140 | MMC Norilsk Nickel PJSC ADR | 4,150,606 | ||||||||
27,000 | Mobile TeleSystems PJSC Sponsored ADR | 253,260 | ||||||||
767,160 | Moscow Exchange MICEX-RTS PJSC | 1,919,514 | ||||||||
8,670 | Novatek PJSC Sponsored GDR (Registered) | 2,054,909 | ||||||||
262,040 | Novolipetsk Steel PJSC | 883,509 | ||||||||
111,915 | Novolipetsk Steel PJSC GDR | 3,737,464 | ||||||||
14,566 | PhosAgro PJSC GDR (Registered) | 286,666 | ||||||||
183,058 | Polymetal International Plc | 3,647,283 | ||||||||
3,088 | Polyus PJSC | 557,190 | ||||||||
19,932 | Polyus PJSC GDR (Registered) | 1,767,929 | ||||||||
1,352 | QIWI Plc Sponsored ADR (c) | 12,881 | ||||||||
50,200 | QIWI Plc Sponsored ADR (c) | 479,912 | ||||||||
19,230 | Raspadskaya OJSC | 100,804 | ||||||||
2,771 | Ros Agro Plc GDR (Registered) | 44,448 | ||||||||
5,872,000 | ROSSETI PJSC | 105,246 | ||||||||
10,592,000 | RusHydro PJSC | 119,103 | ||||||||
13,580 | Safmar Financial Investment * | 82,279 | ||||||||
1,348,100 | Sberbank of Russia PJSC | 6,049,189 | ||||||||
621,352 | Sberbank of Russia PJSC Sponsored ADR | 11,096,664 | ||||||||
14,117 | Severstal PJSC | 331,398 | ||||||||
88,572 | Severstal PJSC GDR (Registered) | 2,055,645 | ||||||||
4,327,100 | Surgutneftegas PJSC | 1,996,901 | ||||||||
376,758 | Surgutneftegas PJSC Sponsored ADR | 1,739,774 | ||||||||
42,180 | Tatneft PJSC Sponsored ADR | 1,679,364 | ||||||||
3,990 | TCS Group Holding Plc GDR (Registered) (c) | 352,890 | ||||||||
497 | TCS Group Holding Plc GDR (Registered) (c) | 44,110 | ||||||||
5,917,000 | Unipro PJSC | 227,581 | ||||||||
2,289 | X5 Retail Group NV GDR (Registered) (c) | 76,158 | ||||||||
25,760 | X5 Retail Group NV GDR (Registered) (c) | 853,494 | ||||||||
|
| |||||||||
Total Russia | 75,330,145 | |||||||||
|
|
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Singapore — 0.6% | ||||||||||
243,500 | Asian Pay Television Trust | 23,523 | ||||||||
62,100 | CapitaLand Integrated Commercial Trust (REIT) | 94,848 | ||||||||
93,594 | CapitaLand Ltd | 277,691 | ||||||||
532,300 | ComfortDelGro Corp Ltd | 639,673 | ||||||||
108,035 | DBS Group Holdings Ltd | 2,395,468 | ||||||||
187,200 | First Real Estate Investment Trust (a) | 36,868 | ||||||||
1,318,100 | Golden Agri-Resources Ltd | 224,901 | ||||||||
391,840 | Japfa Ltd | 206,836 | ||||||||
59,316 | Jardine Cycle & Carriage Ltd | 855,196 | ||||||||
90,100 | Keppel Corp Ltd | 347,341 | ||||||||
78,000 | Lendlease Global Commercial (REIT) | 51,563 | ||||||||
136,600 | Sasseur Real Estate Investment Trust | 92,906 | ||||||||
498,100 | Sembcorp Industries Ltd | 713,034 | ||||||||
329,700 | Silverlake Axis Ltd | 68,445 | ||||||||
700 | Singapore Exchange Ltd | 5,138 | ||||||||
142,200 | StarHub Ltd | 128,757 | ||||||||
14,300 | UOL Group Ltd | 74,214 | ||||||||
402,000 | Wilmar International Ltd | 1,234,542 | ||||||||
4,110,999 | Yangzijiang Shipbuilding Holdings Ltd | 5,006,080 | ||||||||
338,000 | Yanlord Land Group Ltd | 298,475 | ||||||||
|
| |||||||||
Total Singapore | 12,775,499 | |||||||||
|
| |||||||||
South Africa — 1.1% | ||||||||||
719,441 | Absa Group Ltd * | 7,791,439 | ||||||||
32,440 | Aspen Pharmacare Holdings Ltd * | 437,416 | ||||||||
38,354 | Astral Foods Ltd | 387,922 | ||||||||
12,719 | AVI Ltd | 66,603 | ||||||||
98,911 | Barloworld Ltd | 735,573 | ||||||||
167,575 | Bidvest Group Ltd (The) | 2,362,834 | ||||||||
260,527 | Blue Label Telecoms Ltd * | 105,150 | ||||||||
60,892 | Foschini Group Ltd (The) * | 626,497 | ||||||||
109,930 | Imperial Logistics Ltd | 474,340 | ||||||||
69,568 | Investec Ltd | 296,746 | ||||||||
70,671 | Kumba Iron Ore Ltd | 3,173,786 | ||||||||
57,204 | Lewis Group Ltd | 168,153 | ||||||||
31,586 | Metair Investments Ltd | 60,646 | ||||||||
126,354 | Motus Holdings Ltd | 806,456 | ||||||||
6,681 | Mr Price Group Ltd | 100,047 | ||||||||
160,306 | MTN Group Ltd * | 1,471,405 | ||||||||
7,681 | Naspers Ltd – N Shares | 1,325,272 | ||||||||
245,275 | Pepkor Holdings Ltd * | 389,884 | ||||||||
30,943 | Raubex Group Ltd | 62,863 | ||||||||
83,631 | Reunert Ltd | 299,382 | ||||||||
1,537,916 | RMB Holdings Ltd | 156,005 | ||||||||
352,069 | Telkom SA SOC Ltd * | 926,551 | ||||||||
120,703 | Truworths International Ltd | 555,543 | ||||||||
90,743 | Tsogo Sun Gaming Ltd * | 60,637 | ||||||||
19,936 | Wilson Bayly Holmes-Ovcon Ltd * | 164,428 | ||||||||
|
| |||||||||
Total South Africa | 23,005,578 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
South Korea — 3.4% | ||||||||||
167,866 | BNK Financial Group Inc | 1,120,210 | ||||||||
473 | CJ CheilJedang Corp | 184,954 | ||||||||
2,876 | Coway Co Ltd | 193,915 | ||||||||
21,097 | Daewoo Engineering & Construction Co Ltd * | 133,430 | ||||||||
2,167 | Daihan Pharmaceutical Co Ltd | 56,730 | ||||||||
5,533 | Daou Data Corp | 66,846 | ||||||||
5,788 | DB Insurance Co Ltd | 292,639 | ||||||||
154,454 | DGB Financial Group Inc | 1,208,932 | ||||||||
34,093 | Dongwon Development Co Ltd | 177,013 | ||||||||
1,634 | E-MART Inc | 251,758 | ||||||||
8,294 | GS Engineering & Construction Corp | 319,216 | ||||||||
16,225 | GS Retail Co Ltd | 479,096 | ||||||||
176,094 | Hana Financial Group Inc | 6,819,057 | ||||||||
1,177 | Handsome Co Ltd | 41,186 | ||||||||
45,229 | Hankook Tire & Technology Co Ltd | 1,814,559 | ||||||||
195,440 | Hanwha Life Insurance Co Ltd | 561,296 | ||||||||
10,720 | Hanyang Eng Co Ltd | 151,138 | ||||||||
17,544 | HDC Hyundai Development Co-Engineering & Construction | 450,985 | ||||||||
16,340 | Hyundai Engineering & Construction Co Ltd | 780,008 | ||||||||
8,420 | Hyundai Home Shopping Network Corp | 534,497 | ||||||||
1 | Hyundai Marine & Fire Insurance Co Ltd | 22 | ||||||||
3,601 | Hyundai Mobis Co Ltd | 859,569 | ||||||||
2,160 | Hyundai Motor Co GDR (Registered) | 94,255 | ||||||||
47,715 | JB Financial Group Co Ltd | 340,442 | ||||||||
51,506 | KB Financial Group Inc | 2,343,010 | ||||||||
6,100 | KB Financial Group Inc ADR | 277,611 | ||||||||
11,511 | KC Co Ltd | 240,105 | ||||||||
78,082 | Kia Corp | 5,711,942 | ||||||||
366 | Korea Petrochemical Ind Co Ltd | 72,836 | ||||||||
136,329 | KT&G Corp | 9,588,257 | ||||||||
1,056 | Kumho Petrochemical Co Ltd | 176,555 | ||||||||
33,545 | LF Corp | 531,292 | ||||||||
60,263 | LG Electronics Inc | 7,360,019 | ||||||||
259 | LG Household & Health Care Ltd | 326,290 | ||||||||
401 | Lotte Chemical Corp | 86,244 | ||||||||
502 | LOTTE Fine Chemical Co Ltd | 30,272 | ||||||||
15,026 | LOTTE Himart Co Ltd | 405,275 | ||||||||
1,628 | LX Semicon Co Ltd | 161,651 | ||||||||
21,590 | Mirae Asset Life Insurance Co Ltd | 80,412 | ||||||||
12,410 | NAVER Corp | 4,698,884 | ||||||||
443 | POSCO | 127,509 | ||||||||
16,843 | Samjin Pharmaceutical Co Ltd | 390,226 | ||||||||
145,893 | Samsung Electronics Co Ltd | 9,631,598 | ||||||||
120 | Samsung Electronics Co Ltd GDR (Registered) | 195,928 | ||||||||
5,298 | Samsung Engineering Co Ltd * | 101,794 | ||||||||
129,724 | Shinhan Financial Group Co Ltd | 4,321,577 | ||||||||
167 | SK Telecom Co Ltd | 42,937 | ||||||||
67,900 | SK Telecom Co Ltd Sponsored ADR | 1,954,841 | ||||||||
19,882 | SL Corp | 470,406 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Korea — continued | ||||||||||
37,424 | Woori Financial Group Inc | 362,068 | ||||||||
35,251 | Yuhan Corp | 1,896,964 | ||||||||
|
| |||||||||
Total South Korea | 68,518,256 | |||||||||
|
| |||||||||
Spain — 1.3% | ||||||||||
27,467 | Acerinox SA | 374,347 | ||||||||
61,381 | ACS Actividades de Construccion y Servicios SA | 1,657,053 | ||||||||
27,305 | Amadeus IT Group SA * (b) | 1,667,732 | ||||||||
41,700 | Atresmedia Corp de Medios de Comunicacion SA * (b) | 182,613 | ||||||||
930,233 | Banco Bilbao Vizcaya Argentaria SA * | 6,088,368 | ||||||||
2,135,860 | Banco de Sabadell SA * | 1,522,666 | ||||||||
1,880,931 | Banco Santander SA * | 6,935,469 | ||||||||
256,443 | Bankinter SA | 1,500,817 | ||||||||
27,882 | CaixaBank SA | 86,614 | ||||||||
31,175 | Cia de Distribucion Integral Logista Holdings SA (a) | 676,811 | ||||||||
3,167 | Ebro Foods SA (a) | 63,596 | ||||||||
6,120 | eDreams ODIGEO SA * (b) | 45,543 | ||||||||
705 | Enagas SA | 16,048 | ||||||||
43,720 | Gestamp Automocion SA * | 203,346 | ||||||||
6,937 | Grupo Catalana Occidente SA | 262,723 | ||||||||
31,534 | Iberdrola SA | 390,753 | ||||||||
52,531 | Industria de Diseno Textil SA | 1,794,533 | ||||||||
102,122 | Mediaset Espana Comunicacion SA * | 622,970 | ||||||||
52,271 | Red Electrica Corp SA | 1,042,468 | ||||||||
46,816 | Repsol SA | 537,221 | ||||||||
543,999 | Unicaja Banco SA | 501,907 | ||||||||
|
| |||||||||
Total Spain | 26,173,598 | |||||||||
|
| |||||||||
Sweden — 0.2% | ||||||||||
1,725 | Bufab AB | 65,977 | ||||||||
2,525 | Humana AB * | 21,068 | ||||||||
88,032 | Investor AB – B Shares | 2,105,606 | ||||||||
28,907 | Inwido AB | 566,966 | ||||||||
3,173 | Kinnevik AB – Class B * | 124,322 | ||||||||
1,701 | KNOW IT AB (b) | 65,968 | ||||||||
3,285 | New Wave Group AB – B Shares * | 51,866 | ||||||||
3,892 | Nobina AB | 35,704 | ||||||||
775 | Nordea Bank Abp | 9,102 | ||||||||
20,672 | Skanska AB – B Shares | 595,933 | ||||||||
11,062 | Svenska Cellulosa AB SCA – Class B | 195,503 | ||||||||
|
| |||||||||
Total Sweden | 3,838,015 | |||||||||
|
| |||||||||
Switzerland — 0.5% | ||||||||||
49,803 | Adecco Group AG (Registered) | 2,770,409 | ||||||||
500 | ALSO Holding AG (Registered) * | 160,927 | ||||||||
2,498 | BKW AG | 289,717 | ||||||||
1,108 | Bobst Group SA (Registered) * | 101,980 | ||||||||
892 | Credit Suisse Group AG (Registered) | 9,449 |
Shares | Description | Value ($) | ||||||||
Switzerland — continued | ||||||||||
1,058 | Huber + Suhner AG (Registered) | 94,915 | ||||||||
433 | Kardex Holding AG (Registered) | 115,786 | ||||||||
2,853 | Mobilezone Holding AG (Registered) | 40,244 | ||||||||
16,771 | Novartis AG (Registered) | 1,551,164 | ||||||||
9,921 | Roche Holding AG – Genusschein | 3,983,826 | ||||||||
23 | Schindler Holding AG (Registered) | 7,169 | ||||||||
195 | Swiss Life Holding AG (Registered) | 101,640 | ||||||||
37 | Swisscom AG (Registered) | 21,717 | ||||||||
2,124 | Zehnder Group AG – Class RG | 229,644 | ||||||||
|
| |||||||||
Total Switzerland | 9,478,587 | |||||||||
|
| |||||||||
Taiwan — 5.0% | ||||||||||
22,000 | Accton Technology Corp | 222,890 | ||||||||
107,000 | Acer Inc | 97,109 | ||||||||
5,207 | Acter Group Corp Ltd | 35,376 | ||||||||
26,333 | Amazing Microelectronic Corp | 153,993 | ||||||||
28,000 | Arcadyan Technology Corp | 93,255 | ||||||||
852,035 | Asustek Computer Inc | 9,946,474 | ||||||||
19,000 | Aten International Co Ltd | 56,307 | ||||||||
8,400 | Aurora Corp | 26,820 | ||||||||
960,000 | Catcher Technology Co Ltd | 5,773,950 | ||||||||
1,392,399 | Cathay Financial Holding Co Ltd | 2,990,286 | ||||||||
175,651 | Chailease Holding Co Ltd | 1,685,057 | ||||||||
79,000 | Chicony Electronics Co Ltd | 223,414 | ||||||||
502,000 | China Development Financial Holding Corp | 256,554 | ||||||||
174,000 | China Life Insurance Co Ltd | 181,071 | ||||||||
213,000 | Chipbond Technology Corp | 589,955 | ||||||||
29,000 | Chong Hong Construction Co Ltd * | 83,328 | ||||||||
96,000 | Chunghwa Telecom Co Ltd | 388,343 | ||||||||
616,000 | Coretronic Corp | 1,241,737 | ||||||||
987,000 | CTBC Financial Holding Co Ltd | 818,060 | ||||||||
92,000 | Delta Electronics Inc | 896,167 | ||||||||
96,000 | Elan Microelectronics Corp | 543,864 | ||||||||
107,000 | Elite Material Co Ltd | 901,091 | ||||||||
91,000 | Farglory Land Development Co Ltd | 209,106 | ||||||||
394,000 | FLEXium Interconnect Inc * | 1,644,366 | ||||||||
57,000 | Formosa Plastics Corp | 210,464 | ||||||||
243,000 | Foxconn Technology Co Ltd | 579,528 | ||||||||
1,833,000 | Fubon Financial Holding Co Ltd | 5,614,546 | ||||||||
19,000 | Fusheng Precision Co Ltd | 124,246 | ||||||||
17,000 | Getac Technology Corp | 32,038 | ||||||||
184,000 | Gigabyte Technology Co Ltd | 580,378 | ||||||||
972,000 | Grand Pacific Petrochemical | 1,064,470 | ||||||||
22,000 | Holiday Entertainment Co Ltd | 48,806 | ||||||||
4,899,318 | Hon Hai Precision Industry Co Ltd | 19,564,488 | ||||||||
78,000 | Huaku Development Co Ltd | 247,742 | ||||||||
70,820 | IEI Integration Corp | 118,576 | ||||||||
32,721 | Innodisk Corp | 273,162 | ||||||||
36,000 | International Games System Co Ltd | 860,624 | ||||||||
1,000 | Largan Precision Co Ltd | 96,415 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
247,000 | Lite-On Technology Corp | 544,638 | ||||||||
21,273 | Makalot Industrial Co Ltd | 182,658 | ||||||||
74,000 | MediaTek Inc | 2,399,614 | ||||||||
59,000 | Mega Financial Holding Co Ltd | 69,782 | ||||||||
51,000 | Merry Electronics Co Ltd | 176,953 | ||||||||
196,000 | Micro-Star International Co Ltd | 919,597 | ||||||||
8,000 | Nan Liu Enterprise Co Ltd | 37,164 | ||||||||
91,000 | Nan Ya Plastics Corp | 294,071 | ||||||||
72,000 | Nantex Industry Co Ltd | 278,938 | ||||||||
225,000 | Nanya Technology Corp | 536,530 | ||||||||
26,000 | Nichidenbo Corp | 47,715 | ||||||||
15,000 | Nien Made Enterprise Co Ltd | 223,645 | ||||||||
82,000 | Novatek Microelectronics Corp | 1,323,283 | ||||||||
73,000 | Pegatron Corp | 170,477 | ||||||||
86,000 | Phison Electronics Corp | 1,318,035 | ||||||||
2,779,000 | Pou Chen Corp | 3,300,775 | ||||||||
576,000 | Qisda Corp | 616,250 | ||||||||
250,000 | Quanta Computer Inc | 707,015 | ||||||||
1,048,000 | Radiant Opto-Electronics Corp | 3,738,325 | ||||||||
561,000 | Ruentex Development Co Ltd | 1,401,024 | ||||||||
119,000 | Ruentex Industries Ltd | 476,330 | ||||||||
72,000 | Sampo Corp * | 80,481 | ||||||||
7,000 | Shin Zu Shing Co Ltd | 26,761 | ||||||||
87,000 | Shinkong Insurance Co Ltd | 137,381 | ||||||||
41,900 | Simplo Technology Co Ltd | 476,432 | ||||||||
25,945 | Sinmag Equipment Corp | 98,574 | ||||||||
15,000 | Sitronix Technology Corp | 159,251 | ||||||||
17,000 | Standard Foods Corp | 32,006 | ||||||||
87,750 | Syncmold Enterprise Corp | 221,900 | ||||||||
505,000 | Taiwan Cement Corp | 881,725 | ||||||||
67,000 | Taiwan Sakura Corp | 173,943 | ||||||||
868,000 | Taiwan Semiconductor Manufacturing Co Ltd | 19,039,772 | ||||||||
85 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR | 10,116 | ||||||||
7,000 | TCI Co Ltd | 68,015 | ||||||||
70,000 | Teco Electric and Machinery Co Ltd | 78,750 | ||||||||
23,000 | Test Research Inc | 46,853 | ||||||||
175,681 | TOPBI International Holdings Ltd | 88,068 | ||||||||
40,000 | Transcend Information Inc | 99,973 | ||||||||
105,000 | Tripod Technology Corp | 433,248 | ||||||||
307,000 | Uni-President Enterprises Corp | 800,132 | ||||||||
77,624 | United Integrated Services Co Ltd | 556,268 | ||||||||
84,000 | Universal Inc | 155,218 | ||||||||
24,000 | Vanguard International Semiconductor Corp | 127,660 | ||||||||
6,000 | Yulon Nissan Motor Co Ltd | 54,954 | ||||||||
33,000 | Zeng Hsing Industrial Co Ltd | 180,691 | ||||||||
|
| |||||||||
Total Taiwan | 101,265,047 | |||||||||
|
| |||||||||
Thailand — 0.2% | ||||||||||
1,715,800 | AP Thailand Pcl NVDR | 446,841 | ||||||||
32,300 | CP ALL Pcl (Foreign Registered) | 65,118 |
Shares | Description | Value ($) | ||||||||
Thailand — continued | ||||||||||
67,300 | CP ALL Pcl NVDR | 135,679 | ||||||||
17,200 | Kasikornbank Pcl (Foreign Registered) | 65,481 | ||||||||
226,000 | Kasikornbank Pcl NVDR | 860,385 | ||||||||
101,100 | Land & Houses Pcl NVDR | 25,541 | ||||||||
193,900 | Origin Property Pcl NVDR | 59,152 | ||||||||
167,600 | Pruksa Holding Pcl NVDR | 68,615 | ||||||||
529,400 | PTG Energy Pcl NVDR | 300,209 | ||||||||
909,500 | Quality Houses Pcl NVDR | 62,661 | ||||||||
94,000 | Siam Cement Pcl NVDR (The) | 1,253,151 | ||||||||
131,100 | Siam Commercial Bank Pcl NVDR (The) | 432,498 | ||||||||
141,300 | Somboon Advance Technology Pcl NVDR | 92,016 | ||||||||
78,600 | SPCG Pcl NVDR | 44,127 | ||||||||
74,250 | Supalai Pcl (Foreign Registered) | 47,707 | ||||||||
305,075 | Supalai Pcl NVDR | 196,015 | ||||||||
20,700 | Thai Vegetable Oil Pcl NVDR | 20,882 | ||||||||
1,349,800 | TMBThanachart Bank Pcl NVDR | 44,738 | ||||||||
106,000 | TTW Pcl NVDR | 39,129 | ||||||||
|
| |||||||||
Total Thailand | 4,259,945 | |||||||||
|
| |||||||||
Turkey — 0.6% | ||||||||||
275,307 | Akbank TAS | 195,406 | ||||||||
291,359 | Aksa Akrilik Kimya Sanayii AS | 683,610 | ||||||||
776,346 | Arcelik AS | 3,002,216 | ||||||||
3,173,637 | Dogan Sirketler Grubu Holding AS | 981,161 | ||||||||
5,524 | Dogus Otomotiv Servis ve Ticaret AS | 18,649 | ||||||||
129,926 | Enerjisa Enerji AS | 173,481 | ||||||||
1,379,475 | Eregli Demir ve Celik Fabrikalari TAS | 3,120,491 | ||||||||
57,015 | Ford Otomotiv Sanayi AS | 1,178,015 | ||||||||
71,344 | Koza Altin Isletmeleri AS * | 887,251 | ||||||||
96,809 | Selcuk Ecza Deposu Ticaret ve Sanayi AS | 106,139 | ||||||||
46,214 | Turkcell Iletisim Hizmetleri AS | 91,383 | ||||||||
115,545 | Turkiye Garanti Bankasi AS | 137,050 | ||||||||
650,089 | Turkiye Is Bankasi AS – Class C | 450,027 | ||||||||
386,369 | Yapi ve Kredi Bankasi AS | 122,456 | ||||||||
|
| |||||||||
Total Turkey | 11,147,335 | |||||||||
|
| |||||||||
United Arab Emirates — 0.1% | ||||||||||
31,478 | Abu Dhabi Islamic Bank PJSC | 48,319 | ||||||||
170,272 | Dubai Islamic Bank PJSC | 236,293 | ||||||||
325,185 | Emaar Properties PJSC | 371,085 | ||||||||
14,015 | Emirates NBD Bank PJSC | 52,855 | ||||||||
43,249 | First Abu Dhabi Bank PJSC | 200,114 | ||||||||
|
| |||||||||
Total United Arab Emirates | 908,666 | |||||||||
|
| |||||||||
United Kingdom — 4.1% | ||||||||||
80,123 | 3i Group Plc | 1,473,549 | ||||||||
109,287 | Airtel Africa Plc | 139,737 | ||||||||
17,008 | Anglo American Plc | 718,341 | ||||||||
295,032 | Aviva Plc | 1,639,821 | ||||||||
5,111 | Bank of Georgia Group Plc * | 117,365 |
See accompanying notes to the financial statements. | 31 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
23,800 | Barclays Plc Sponsored ADR | 243,950 | ||||||||
405,450 | Barratt Developments Plc | 4,124,076 | ||||||||
31,937 | Bellway Plc | 1,547,792 | ||||||||
75,832 | Berkeley Group Holdings Plc (The) | 5,037,111 | ||||||||
38,200 | BP Plc Sponsored ADR | 934,372 | ||||||||
47,345 | British American Tobacco Plc | 1,776,070 | ||||||||
54,500 | British American Tobacco Plc Sponsored ADR | 2,054,105 | ||||||||
2,257,601 | BT Group Plc * | 5,277,377 | ||||||||
19,901 | Central Asia Metals Plc | 68,499 | ||||||||
11,654 | CMC Markets Plc | 67,062 | ||||||||
116,708 | Coca-Cola HBC AG * | 4,224,235 | ||||||||
133,852 | Compass Group Plc * (b) | 2,765,376 | ||||||||
13,199 | Computacenter Plc (b) | 533,932 | ||||||||
3,838 | Daily Mail & General Trust Plc – Class A (b) | 58,394 | ||||||||
1,723 | DCC Plc | 146,462 | ||||||||
4,765 | Electrocomponents Plc | 69,729 | ||||||||
4,137 | EMIS Group Plc (b) | 78,557 | ||||||||
44,605 | Evraz Plc | 362,827 | ||||||||
17,217 | Ferguson Plc | 2,488,514 | ||||||||
313,028 | Ferrexpo Plc | 1,640,628 | ||||||||
40,666 | Frasers Group Plc * | 374,352 | ||||||||
11,710 | Galliford Try Holdings Plc | 27,382 | ||||||||
4,800 | GlaxoSmithKline Plc Sponsored ADR | 195,552 | ||||||||
13,529 | Go-Ahead Group Plc (The) * | 175,325 | ||||||||
11,933 | Grafton Group Plc | 229,314 | ||||||||
66,636 | Halfords Group Plc | 333,483 | ||||||||
57,102 | IG Group Holdings Plc | 735,320 | ||||||||
15,471 | IMI Plc | 387,959 | ||||||||
127,082 | Indivior Plc * | 339,720 | ||||||||
32,655 | International Personal Finance Plc * | 66,471 | ||||||||
58,250 | Investec Plc | 245,035 | ||||||||
618,367 | ITV Plc * (b) | 985,543 | ||||||||
66,208 | JD Sports Fashion Plc | 919,380 | ||||||||
2,324 | Johnson Matthey Plc | 93,956 | ||||||||
7,644 | Jupiter Fund Management Plc | 28,043 | ||||||||
111,133 | Just Group Plc * | 142,618 | ||||||||
4,789 | Keller Group Plc | 65,830 | ||||||||
1,252,753 | Kingfisher Plc | 6,032,032 | ||||||||
683,503 | Legal & General Group Plc | 2,538,962 | ||||||||
1,563,629 | M&G Plc | 4,429,217 | ||||||||
405,956 | Micro Focus International Plc (b) | 2,482,780 | ||||||||
16,499 | Morgan Advanced Materials Plc | 91,090 | ||||||||
14,875 | Morgan Sindall Group Plc | 525,480 | ||||||||
61,622 | National Grid Plc | 797,032 | ||||||||
7,218 | Next Plc | 784,964 | ||||||||
12,349 | Numis Corp Plc | 63,606 | ||||||||
60,904 | OSB Group Plc | 427,276 | ||||||||
64,416 | Paragon Banking Group Plc | 497,831 | ||||||||
108,813 | Persimmon Plc | 4,403,819 | ||||||||
80,979 | Pets at Home Group Plc | 557,637 |
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
79,630 | Plus500 Ltd | 1,637,065 | ||||||||
216,530 | Premier Foods Plc | 360,402 | ||||||||
32,541 | QinetiQ Group Plc | 154,599 | ||||||||
84,757 | Reach Plc (b) | 476,967 | ||||||||
104,571 | Royal Dutch Shell Plc – B Shares | 2,057,707 | ||||||||
319,586 | Royal Mail Plc | 2,176,620 | ||||||||
8,370 | Schroders Plc | 435,159 | ||||||||
13,775 | Smiths Group Plc | 273,392 | ||||||||
50,256 | Spirent Communications Plc | 205,827 | ||||||||
42,943 | Stock Spirits Group Plc | 232,381 | ||||||||
256,272 | Tate & Lyle Plc | 2,488,944 | ||||||||
698,787 | Taylor Wimpey Plc | 1,759,047 | ||||||||
23,432 | Unilever Plc | 1,304,691 | ||||||||
12,980 | Vesuvius Plc | 100,314 | ||||||||
3,745 | Vistry Group Plc | 62,376 | ||||||||
210,102 | WPP Plc(b) | 2,848,741 | ||||||||
|
| |||||||||
Total United Kingdom | 83,139,122 | |||||||||
|
| |||||||||
United States — 12.9% | ||||||||||
18,700 | Aflac, Inc. | 1,059,916 | ||||||||
1,800 | Akamai Technologies, Inc. * (b) | 203,850 | ||||||||
30,000 | Alliance Data Systems Corp. (b) | 2,943,300 | ||||||||
50,700 | Ally Financial, Inc. | 2,682,030 | ||||||||
14,330 | American Express Co. | 2,378,207 | ||||||||
6,700 | Anthem, Inc. (b) | 2,513,371 | ||||||||
30,200 | Arrow Electronics, Inc. * | 3,660,844 | ||||||||
95,400 | AT&T, Inc. | 2,615,868 | ||||||||
52,600 | Athene Holding Ltd. – Class A * | 3,522,622 | ||||||||
34,500 | Bed Bath & Beyond, Inc. * | 950,130 | ||||||||
10,200 | Best Buy Co., Inc. | 1,188,402 | ||||||||
2,100 | Bio-Rad Laboratories, Inc. – Class A * | 1,690,122 | ||||||||
9,700 | Biogen, Inc. * | 3,287,427 | ||||||||
884 | Booking Holdings, Inc. * (b) | 2,032,908 | ||||||||
2,800 | Booz Allen Hamilton Holding Corp. | 229,348 | ||||||||
104,938 | BorgWarner, Inc. | 4,478,754 | ||||||||
22,700 | Capital One Financial Corp. | 3,767,519 | ||||||||
21,000 | Cardinal Health, Inc. (b) | 1,102,290 | ||||||||
71,300 | Carrier Global Corp. | 4,106,880 | ||||||||
40,600 | CBRE Group, Inc. – Class A * | 3,909,780 | ||||||||
40,100 | Centene Corp. * (b) | 2,525,498 | ||||||||
14,750 | Chevron Corp. | 1,427,358 | ||||||||
14,000 | Cigna Corp. (b) | 2,963,100 | ||||||||
50,200 | Citigroup, Inc. | 3,609,882 | ||||||||
61,900 | Citizens Financial Group, Inc. | 2,710,601 | ||||||||
32,615 | Coca-Cola Co. (The) | 1,836,551 | ||||||||
33,400 | Cognizant Technology Solutions Corp. – Class A (b) | 2,548,754 | ||||||||
59,600 | Comcast Corp. – Class A (b) | 3,616,528 | ||||||||
900 | Consolidated Edison, Inc. | 67,905 | ||||||||
58,700 | Corteva, Inc. | 2,581,039 |
32 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
41,100 | CVS Health Corp. (b) | 3,550,629 | ||||||||
12,800 | Discover Financial Services | 1,641,216 | ||||||||
4,900 | Discovery, Inc. – Class A * (b) | 141,316 | ||||||||
79,800 | DISH Network Corp. – Class A * (b) | 3,478,482 | ||||||||
37,000 | DR Horton, Inc. | 3,537,940 | ||||||||
36,300 | eBay, Inc. | 2,785,662 | ||||||||
30,223 | EOG Resources, Inc. | 2,040,657 | ||||||||
53,500 | Exelon Corp. | 2,622,570 | ||||||||
300 | Exxon Mobil Corp. | 16,356 | ||||||||
12,700 | Fidelity National Financial, Inc. | 620,141 | ||||||||
9,100 | FleetCor Technologies, Inc. * (b) | 2,395,848 | ||||||||
250,800 | Ford Motor Co. * | 3,267,924 | ||||||||
3,800 | Fortune Brands Home & Security, Inc. | 370,006 | ||||||||
39,900 | Fox Corp. – Class A (b) | 1,493,856 | ||||||||
73,200 | Fox Corp. – Class B (b) | 2,534,916 | ||||||||
11,000 | Franklin Resources, Inc. | 356,840 | ||||||||
59,200 | General Motors Co. * | 2,901,392 | ||||||||
40,800 | Gilead Sciences, Inc. | 2,969,424 | ||||||||
9,734 | Global Payments, Inc. (b) | 1,583,138 | ||||||||
6,900 | Goldman Sachs Group, Inc. (The) | 2,853,219 | ||||||||
17,005 | Green Plains, Inc. * | 596,876 | ||||||||
17,360 | Hasbro, Inc. | 1,706,662 | ||||||||
16,348 | Hilton Worldwide Holdings, Inc. * (b) | 2,041,211 | ||||||||
98,800 | HP, Inc. | 2,938,312 | ||||||||
19,600 | IAC/InterActiveCorp * (b) | 2,588,180 | ||||||||
3,700 | Incyte Corp. * | 283,013 | ||||||||
56,400 | Intel Corp. | 3,048,984 | ||||||||
16,421 | Intercontinental Exchange, Inc. | 1,962,802 | ||||||||
25,800 | International Business Machines Corp. (b) | 3,620,772 | ||||||||
132,400 | Invesco Ltd. | 3,352,368 | ||||||||
16,400 | Jazz Pharmaceuticals Plc * | 2,160,044 | ||||||||
194,300 | Kinder Morgan, Inc. | 3,161,261 | ||||||||
53,900 | Kohl’s Corp. | 3,093,860 | ||||||||
56,500 | Kraft Heinz Co. (The) | 2,033,435 | ||||||||
75,900 | Kroger Co. (The) | 3,493,677 | ||||||||
10,500 | Laboratory Corp. of America Holdings * (b) | 3,185,490 | ||||||||
28,730 | Las Vegas Sands Corp. * (b) | 1,281,645 | ||||||||
1,900 | Lear Corp. | 303,886 | ||||||||
22,300 | Leidos Holdings, Inc. | 2,187,853 | ||||||||
34,200 | Lennar Corp. – Class A | 3,670,002 | ||||||||
53,500 | Lincoln National Corp. | 3,672,775 | ||||||||
48,500 | LKQ Corp. * | 2,555,465 | ||||||||
247,100 | Lumen Technologies, Inc. | 3,039,330 | ||||||||
49,247 | Lyft, Inc. – Class A * | 2,344,650 | ||||||||
32,800 | LyondellBasell Industries NV – Class A | 3,291,480 | ||||||||
1,527 | Markel Corp. * | 1,939,672 | ||||||||
800 | Masco Corp. | 48,576 | ||||||||
8,600 | Medical Properties Trust, Inc. (REIT) | 176,128 | ||||||||
16,700 | Merck & Co., Inc. | 1,274,043 | ||||||||
55,400 | MetLife, Inc. | 3,434,800 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
37,700 | Micron Technology, Inc. * | 2,778,490 | ||||||||
8,200 | Mohawk Industries, Inc. * | 1,621,632 | ||||||||
62,000 | Molson Coors Brewing Co. – Class B | 2,946,860 | ||||||||
70 | NVR, Inc. * | 362,596 | ||||||||
4,300 | Omnicom Group, Inc. (b) | 314,846 | ||||||||
46,700 | Oracle Corp. (b) | 4,162,371 | ||||||||
9,300 | PACCAR, Inc. | 761,391 | ||||||||
200 | Phillips 66 | 14,218 | ||||||||
19,300 | PPL Corp. | 566,455 | ||||||||
10,700 | Principal Financial Group, Inc. | 714,867 | ||||||||
100 | Progressive Corp. (The) | 9,634 | ||||||||
35,000 | Prudential Financial, Inc. | 3,705,800 | ||||||||
50,700 | PulteGroup, Inc. | 2,730,702 | ||||||||
20,100 | Quest Diagnostics, Inc. (b) | 3,071,883 | ||||||||
199,600 | Qurate Retail, Inc. – Series A | 2,201,588 | ||||||||
24,378 | Raytheon Technologies Corp. | 2,066,279 | ||||||||
5,500 | Regeneron Pharmaceuticals, Inc. * | 3,703,700 | ||||||||
6,900 | Resolute Forest Products Inc | 84,496 | ||||||||
7,600 | Resolute Forest Products, Inc. | 93,100 | ||||||||
44,352 | Sensata Technologies Holding Plc * | 2,624,751 | ||||||||
3,200 | Snap-on, Inc. | 719,840 | ||||||||
36,700 | SS&C Technologies Holdings, Inc. (b) | 2,776,722 | ||||||||
71,000 | Synchrony Financial | 3,532,250 | ||||||||
1,900 | Synopsys, Inc. * (b) | 631,256 | ||||||||
37,600 | Textron, Inc. | 2,732,392 | ||||||||
37,000 | Tyson Foods, Inc. – Class A | 2,905,240 | ||||||||
700 | United Rentals, Inc. * | 246,855 | ||||||||
22,800 | Universal Health Services, Inc. – Class B (b) | 3,551,328 | ||||||||
45,483 | US Bancorp | 2,610,269 | ||||||||
46,400 | Verizon Communications, Inc. | 2,552,000 | ||||||||
50,908 | Verso Corp. – Class A | 969,797 | ||||||||
27,078 | VF Corp. | 2,070,655 | ||||||||
65,600 | ViacomCBS, Inc. – Class B (b) | 2,719,120 | ||||||||
179,600 | Viatris, Inc. | 2,627,548 | ||||||||
47,900 | VICI Properties, Inc. (REIT) | 1,480,589 | ||||||||
16,700 | VMware, Inc. – Class A * (b) | 2,486,129 | ||||||||
62,700 | Walgreens Boots Alliance, Inc. | 3,182,025 | ||||||||
47,722 | Wells Fargo & Co. | 2,180,895 | ||||||||
109,500 | Western Union Co. (The) (b) | 2,369,580 | ||||||||
39,600 | Western Digital Corp. * | 2,502,720 | ||||||||
11,100 | Whirlpool Corp. | 2,458,983 | ||||||||
200 | WP Carey, Inc. (REIT) | 15,624 | ||||||||
|
| |||||||||
Total United States | 263,717,044 | |||||||||
|
| |||||||||
Vietnam — 0.0% | ||||||||||
22,600 | PetroVietnam Gas JSC | 88,620 | ||||||||
154,100 | PetroVietnam Technical Services Corp | 175,145 | ||||||||
55,300 | Vietnam Dairy Products JSC | 212,117 |
See accompanying notes to the financial statements. | 33 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Vietnam — continued | ||||||||||
20,800 | Vinh Hoan Corp | 45,213 | ||||||||
|
| |||||||||
Total Vietnam | 521,095 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $1,395,832,270) | 1,592,131,224 | |||||||||
|
| |||||||||
PREFERRED STOCKS (e) — 1.1% | ||||||||||
Brazil — 0.3% | ||||||||||
695,000 | Banco Bradesco SA | 3,111,559 | ||||||||
192,031 | Bradespar SA | 2,345,238 | ||||||||
132,800 | Petroleo Brasileiro SA | 698,312 | ||||||||
13,100 | Petroleo Brasileiro SA ADR | 137,681 | ||||||||
|
| |||||||||
Total Brazil | 6,292,790 | |||||||||
|
| |||||||||
Colombia — 0.0% | ||||||||||
409,827 | Grupo Aval Acciones y Valores SA | 121,780 | ||||||||
|
| |||||||||
Germany — 0.2% | ||||||||||
26,613 | Bayerische Motoren Werke AG | 2,227,984 | ||||||||
5,100 | Draegerwerk AG & Co KGaA | 430,706 | ||||||||
516 | Jungheinrich AG | 27,867 | ||||||||
1,243 | Sixt SE | 97,695 | ||||||||
1,724 | Villeroy & Boch AG | 47,040 | ||||||||
6,341 | Volkswagen AG | 1,508,236 | ||||||||
|
| |||||||||
Total Germany | 4,339,528 | |||||||||
|
| |||||||||
Russia — 0.3% | ||||||||||
12,924 | Bashneft PJSC | 189,294 | ||||||||
56,000 | Nizhnekamskneftekhim PJSC | 91,508 | ||||||||
8,729,600 | Surgutneftegas PJSC | 4,604,780 | ||||||||
94 | Transneft PJSC | 202,741 | ||||||||
|
| |||||||||
Total Russia | 5,088,323 | |||||||||
|
| |||||||||
South Korea — 0.3% | ||||||||||
4,850 | Hyundai Motor Co Ltd-2nd Prf | 414,224 | ||||||||
14,564 | Hyundai Motor Co Ltd-Prf | 1,284,184 | ||||||||
4,881 | LG Electronics Inc | 293,304 | ||||||||
70,397 | Samsung Electronics Co Ltd | 4,291,856 | ||||||||
59 | Samsung Electronics Co Ltd GDR (Registered) | 88,952 | ||||||||
|
| |||||||||
Total South Korea | 6,372,520 | |||||||||
|
| |||||||||
Taiwan — 0.0% | ||||||||||
13,589 | Chailease Holding Co Ltd | 48,887 | ||||||||
20,463 | CTBC Financial Holding Co Ltd | 45,919 | ||||||||
|
| |||||||||
Total Taiwan | 94,806 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $18,585,258) | 22,309,747 | |||||||||
|
|
Shares / Par Value† | Description | Value ($) | ||||||||
INVESTMENT FUNDS — 0.1% | ||||||||||
United States — 0.1% | ||||||||||
17,411 | iShares Core MSCI Emerging Markets ETF | 1,115,871 | ||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $1,161,009) | 1,115,871 | |||||||||
|
| |||||||||
DEBT OBLIGATIONS — 8.1% | ||||||||||
United States — 8.1% | ||||||||||
Asset-Backed Securities — 0.0% | ||||||||||
43,597 | Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.88%, due 07/26/31 | 43,594 | ||||||||
13,396 | Bayview Commercial Asset Trust, Series 07-5A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.08%, due 10/25/37 | 13,393 | ||||||||
2,571,735 | Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35 (f) | 3 | ||||||||
71,333 | Elevation CLO Ltd, Series 16-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 0.93%, due 10/25/31 | 71,219 | ||||||||
115,733 | Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.88%, due 04/17/28 | 115,727 | ||||||||
55,109 | Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.88%, due 01/17/30 | 55,028 | ||||||||
|
| |||||||||
Total Asset-Backed Securities | 298,964 | |||||||||
|
| |||||||||
U.S. Government — 8.1% | ||||||||||
20,400,000 | U.S. Treasury Note, 0.13%, due 12/31/22 | 20,397,609 | ||||||||
25,000,000 | U.S. Treasury Note, 0.13%, due 01/31/23 | 24,996,094 | ||||||||
103,000,000 | U.S. Treasury Note, 0.13%, due 02/28/23 (b) | 102,959,766 | ||||||||
18,000,000 | U.S. Treasury Note, 0.13%, due 03/31/23 | 17,990,860 | ||||||||
|
| |||||||||
Total U.S. Government | 166,344,329 | |||||||||
|
| |||||||||
Total United States | 166,643,293 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $167,872,829) | 166,643,293 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 16.0% | ||||||||||
United States — 16.0% | ||||||||||
Affiliated Issuers — 16.0% | ||||||||||
2,542,679 | GMO Emerging Country Debt Fund, Class VI | 66,694,475 | ||||||||
2,024,190 | GMO Emerging Markets Fund, Class VI | 74,712,862 | ||||||||
4,132,885 | GMO Opportunistic Income Fund, Class VI | 107,455,000 | ||||||||
2,436,117 | GMO SGM Major Markets Fund, Class VI | 72,474,498 | ||||||||
1,069,842 | GMO U.S. Treasury Fund (g) | 5,392,003 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $322,287,453) | 326,728,838 | |||||||||
|
|
34 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 0.2% | ||||||||||
Money Market Funds — 0.2% | ||||||||||
4,187,688 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (h) | 4,187,688 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $4,187,688) | 4,187,688 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 103.4% (Cost $1,909,926,507) | 2,113,116,661 | |||||||||
|
| |||||||||
SECURITIES SOLD SHORT — (20.2)% | ||||||||||
Common Stocks — (20.0)% | ||||||||||
Australia — (0.6)% | ||||||||||
(32,906 | ) | Afterpay Ltd * | (3,200,747 | ) | ||||||
(422,900 | ) | APA Group | (2,831,768 | ) | ||||||
(21,119 | ) | ASX Ltd | (1,351,660 | ) | ||||||
(8,779 | ) | Cochlear Ltd | (1,491,170 | ) | ||||||
(82,707 | ) | Qantas Airways Ltd * | (306,239 | ) | ||||||
(219 | ) | Ramsay Health Care Ltd | (10,997 | ) | ||||||
(547,585 | ) | Sydney Airport * | (3,178,812 | ) | ||||||
|
| |||||||||
Total Australia | (12,371,393 | ) | ||||||||
|
| |||||||||
Austria — (0.2)% | ||||||||||
(33,251 | ) | Verbund AG | (3,642,410 | ) | ||||||
|
| |||||||||
Belgium — (0.0)% | ||||||||||
(6,274 | ) | Galapagos NV * | (371,108 | ) | ||||||
|
| |||||||||
Canada — (0.0)% | ||||||||||
(40,200 | ) | AltaGas Ltd | (805,179 | ) | ||||||
|
| |||||||||
Denmark — (0.1)% | ||||||||||
(52,624 | ) | Ambu A/S – Class B | (1,664,286 | ) | ||||||
|
| |||||||||
France — (0.8)% | ||||||||||
(70,025 | ) | Accor SA * | (2,414,775 | ) | ||||||
(17,639 | ) | Aeroports de Paris * | (2,077,249 | ) | ||||||
(3,045 | ) | Eurazeo SE | (313,246 | ) | ||||||
(199,731 | ) | Getlink SE | (3,217,363 | ) | ||||||
(2,480 | ) | Hermes International | (3,650,084 | ) | ||||||
(2,172 | ) | Sartorius Stedim Biotech | (1,317,467 | ) | ||||||
(34,430 | ) | Ubisoft Entertainment SA * | (2,187,060 | ) | ||||||
(9,430 | ) | Wendel SE | (1,368,441 | ) | ||||||
(828 | ) | Worldline SA * | (73,728 | ) | ||||||
|
| |||||||||
Total France | (16,619,413 | ) | ||||||||
|
| |||||||||
Germany — (0.9)% | ||||||||||
(20,152 | ) | Delivery Hero SE * | (2,924,675 | ) | ||||||
(70 | ) | Deutsche Boerse AG | (12,072 | ) | ||||||
(1,313 | ) | MTU Aero Engines AG | (301,330 | ) | ||||||
(29,528 | ) | Puma SE | (3,585,134 | ) |
Shares | Description | Value ($) | ||||||||
Common Stocks — continued | ||||||||||
Germany — continued | ||||||||||
(23,074 | ) | QIAGEN NV * | (1,276,498 | ) | ||||||
(22,905 | ) | RWE AG | (894,389 | ) | ||||||
(7,377 | ) | Scout24 AG | (620,207 | ) | ||||||
(923,563 | ) | Telefonica Deutschland Holding AG | (2,592,555 | ) | ||||||
(60,290 | ) | Uniper SE | (2,393,675 | ) | ||||||
(28,888 | ) | Zalando SE * | (3,202,951 | ) | ||||||
|
| |||||||||
Total Germany | (17,803,486 | ) | ||||||||
|
| |||||||||
Israel — (0.2)% | ||||||||||
(6,800 | ) | CyberArk Software Ltd * | (1,141,992 | ) | ||||||
(9,600 | ) | Wix.com Ltd * | (2,131,968 | ) | ||||||
|
| |||||||||
Total Israel | (3,273,960 | ) | ||||||||
|
| |||||||||
Italy — (0.5)% | ||||||||||
(24,965 | ) | Amplifon SPA | (1,305,853 | ) | ||||||
(94,074 | ) | Atlantia SPA * | (1,762,161 | ) | ||||||
(15,103 | ) | Ferrari NV | (3,276,151 | ) | ||||||
(199,293 | ) | FinecoBank Banca Fineco SPA * | (3,671,387 | ) | ||||||
(59,492 | ) | Infrastrutture Wireless Italiane SPA | (707,801 | ) | ||||||
|
| |||||||||
Total Italy | (10,723,353 | ) | ||||||||
|
| |||||||||
Japan — (2.4)% | ||||||||||
(145,800 | ) | Acom Co Ltd | (563,493 | ) | ||||||
(31,800 | ) | ANA Holdings Inc * | (753,808 | ) | ||||||
(90,200 | ) | Asahi Intecc Co Ltd | (2,729,108 | ) | ||||||
(100 | ) | Fast Retailing Co Ltd | (65,868 | ) | ||||||
(22,600 | ) | GMO Payment Gateway Inc | (2,965,091 | ) | ||||||
(11,100 | ) | Harmonic Drive Systems Inc | (612,875 | ) | ||||||
(97,800 | ) | Hitachi Metals Ltd * | (1,887,848 | ) | ||||||
(3,300 | ) | Ibiden Co Ltd | (177,561 | ) | ||||||
(183,500 | ) | Isetan Mitsukoshi Holdings Ltd | (1,228,949 | ) | ||||||
(31,000 | ) | Japan Airlines Co Ltd * | (660,445 | ) | ||||||
(42,100 | ) | Japan Airport Terminal Co Ltd * | (1,911,206 | ) | ||||||
(51,300 | ) | Japan Exchange Group Inc | (1,221,733 | ) | ||||||
(412 | ) | Japan Real Estate Investment Corp (REIT) | (2,546,214 | ) | ||||||
(120,000 | ) | JGC Holding Corp | (1,006,660 | ) | ||||||
(120,100 | ) | Keikyu Corp | (1,463,958 | ) | ||||||
(5,500 | ) | Keio Corp | (295,953 | ) | ||||||
(25,100 | ) | Kintetsu Group Holdings Co Ltd * | (857,321 | ) | ||||||
(14,600 | ) | Lasertec Corp | (3,175,633 | ) | ||||||
(31,200 | ) | Lion Corp | (530,895 | ) | ||||||
(84,000 | ) | LIXIL Corp | (2,444,544 | ) | ||||||
(39,000 | ) | M3 Inc | (2,615,631 | ) | ||||||
(600 | ) | McDonald’s Holdings Co Japan Ltd | (28,619 | ) | ||||||
(42,000 | ) | Mercari Inc * | (2,072,382 | ) | ||||||
(13,200 | ) | Mizuho Financial Group Inc | (184,956 | ) | ||||||
(114,300 | ) | MonotaRO Co Ltd | (2,533,208 | ) | ||||||
(3,800 | ) | Nidec Corp | (434,069 | ) | ||||||
(100,900 | ) | Nihon M&A Center Inc | (3,008,849 | ) |
See accompanying notes to the financial statements. | 35 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Common Stocks — continued | ||||||||||
Japan — continued | ||||||||||
(159,400 | ) | Nippon Paint Holdings Co Ltd | (1,979,621 | ) | ||||||
(30,300 | ) | Nissin Foods Holdings Co Ltd | (2,358,814 | ) | ||||||
(84,100 | ) | Odakyu Electric Railway Co Ltd | (1,959,502 | ) | ||||||
(18,500 | ) | ORIENTAL LAND CO LTD | (2,798,972 | ) | ||||||
(14,100 | ) | Shiseido Co Ltd | (934,535 | ) | ||||||
(5,300 | ) | Tobu Railway Co Ltd | (138,179 | ) | ||||||
(15,100 | ) | Tokyu Corp | (207,636 | ) | ||||||
(300 | ) | Unicharm Corp | (13,375 | ) | ||||||
(7,600 | ) | West Japan Railway Co | (415,087 | ) | ||||||
(15,000 | ) | Yaskawa Electric Corp | (732,137 | ) | ||||||
|
| |||||||||
Total Japan | (49,514,735 | ) | ||||||||
|
| |||||||||
Netherlands — (0.4)% | ||||||||||
(1,374 | ) | Adyen NV * | (4,440,871 | ) | ||||||
(7,223 | ) | Heineken Holding NV | (670,018 | ) | ||||||
(26,385 | ) | Just Eat Takeaway.com NV * | (2,390,649 | ) | ||||||
|
| |||||||||
Total Netherlands | (7,501,538 | ) | ||||||||
|
| |||||||||
New Zealand — (0.0)% | ||||||||||
(7,683 | ) | Xero Ltd * | (849,765 | ) | ||||||
|
| |||||||||
Norway — (0.0)% | ||||||||||
(8,129 | ) | Schibsted ASA – B Shares | (377,702 | ) | ||||||
(10,091 | ) | Schibsted ASA – Class A | (538,368 | ) | ||||||
|
| |||||||||
Total Norway | (916,070 | ) | ||||||||
|
| |||||||||
Russia — (0.0)% | ||||||||||
(9,104 | ) | Magnit PJSC Sponsored GDR (Registered) | (138,570 | ) | ||||||
|
| |||||||||
Singapore — (0.2)% | ||||||||||
(98,400 | ) | Singapore Airlines Ltd * | (368,885 | ) | ||||||
(421,800 | ) | Singapore Exchange Ltd | (3,095,912 | ) | ||||||
|
| |||||||||
Total Singapore | (3,464,797 | ) | ||||||||
|
| |||||||||
Spain — (0.5)% | ||||||||||
(56,413 | ) | Cellnex Telecom SA | (3,861,372 | ) | ||||||
(115,546 | ) | Ferrovial SA | (3,346,154 | ) | ||||||
(81,199 | ) | Siemens Gamesa Renewable Energy SA | (2,407,669 | ) | ||||||
|
| |||||||||
Total Spain | (9,615,195 | ) | ||||||||
|
| |||||||||
Sweden — (0.2)% | ||||||||||
(60,415 | ) | Embracer Group AB * | (1,375,276 | ) | ||||||
(19,663 | ) | Evolution AB | (3,174,637 | ) | ||||||
(22,380 | ) | Sinch AB * | (503,136 | ) | ||||||
|
| |||||||||
Total Sweden | (5,053,049 | ) | ||||||||
|
| |||||||||
Switzerland — (0.4)% | ||||||||||
(18 | ) | Chocoladefabriken Lindt & Spruengli AG | (211,755 | ) |
Shares | Description | Value ($) | ||||||||
Common Stocks — continued | ||||||||||
Switzerland — continued | ||||||||||
(2 | ) | Chocoladefabriken Lindt & Spruengli AG (Registered) | (244,279 | ) | ||||||
(1,912 | ) | Partners Group Holding AG | (3,389,983 | ) | ||||||
(33 | ) | Schindler Holding AG | (10,657 | ) | ||||||
(1,992 | ) | Straumann Holding AG (Registered) | (3,849,024 | ) | ||||||
|
| |||||||||
Total Switzerland | (7,705,698 | ) | ||||||||
|
| |||||||||
United Kingdom — (1.6)% | ||||||||||
(50,141 | ) | Admiral Group Plc | (2,491,313 | ) | ||||||
(86,321 | ) | Antofagasta Plc | (1,729,169 | ) | ||||||
(363,026 | ) | Auto Trader Group Plc | (3,139,310 | ) | ||||||
(514,122 | ) | ConvaTec Group Plc | (1,593,128 | ) | ||||||
(138,561 | ) | Entain Plc * | (3,682,373 | ) | ||||||
(1,367 | ) | Experian Plc | (60,299 | ) | ||||||
(36,946 | ) | Halma Plc | (1,525,714 | ) | ||||||
(151,134 | ) | Hargreaves Lansdown Plc | (3,138,689 | ) | ||||||
(447,908 | ) | Informa Plc * | (3,273,335 | ) | ||||||
(176,254 | ) | Land Securities Group Plc (REIT) | (1,721,412 | ) | ||||||
(27,207 | ) | London Stock Exchange Group Plc | (2,980,360 | ) | ||||||
(73,624 | ) | Melrose Industries Plc | (170,004 | ) | ||||||
(95,656 | ) | Ocado Group Plc * | (2,651,128 | ) | ||||||
(1,774,936 | ) | Rolls-Royce Holdings Plc * | (2,799,113 | ) | ||||||
(6,466 | ) | Spirax-Sarco Engineering Plc | (1,433,871 | ) | ||||||
|
| |||||||||
Total United Kingdom | (32,389,218 | ) | ||||||||
|
| |||||||||
United States — (11.0)% | ||||||||||
(101,300 | ) | AES Corp. (The) | (2,418,031 | ) | ||||||
(16,800 | ) | Airbnb, Inc. – Class A * | (2,603,832 | ) | ||||||
(13,100 | ) | American Tower Corp. (REIT) | (3,827,427 | ) | ||||||
(33,100 | ) | Aramark | (1,151,549 | ) | ||||||
(18,600 | ) | Arthur J Gallagher & Co. | (2,671,332 | ) | ||||||
(11,100 | ) | Autodesk, Inc. * | (3,441,999 | ) | ||||||
(20,200 | ) | Avalara, Inc. * | (3,629,940 | ) | ||||||
(600 | ) | Bio-Techne Corp. | (299,484 | ) | ||||||
(12,000 | ) | BioMarin Pharmaceutical, Inc. * | (1,010,520 | ) | ||||||
(11,800 | ) | Boeing Co. (The) * | (2,590,100 | ) | ||||||
(11,300 | ) | Burlington Stores, Inc. * | (3,384,237 | ) | ||||||
(28,200 | ) | Caesars Entertainment, Inc. * | (2,865,966 | ) | ||||||
(9,800 | ) | Carvana Co. * | (3,214,988 | ) | ||||||
(20,200 | ) | Catalent, Inc. * | (2,634,888 | ) | ||||||
(23,200 | ) | Ceridian HCM Holding, Inc. * | (2,606,520 | ) | ||||||
(2,000 | ) | Chipotle Mexican Grill, Inc. * | (3,806,660 | ) | ||||||
(49,900 | ) | Clarivate Plc * | (1,256,981 | ) | ||||||
(24,800 | ) | Cloudflare, Inc. – Class A * | (2,994,352 | ) | ||||||
(12,100 | ) | CME Group, Inc. | (2,440,812 | ) | ||||||
(22,500 | ) | Cognex Corp. | (1,993,950 | ) | ||||||
(2,100 | ) | CoStar Group, Inc. * | (177,954 | ) | ||||||
(11,700 | ) | Coupa Software, Inc. * | (2,864,277 | ) | ||||||
(16,700 | ) | Crown Castle International Corp. (REIT) | (3,251,323 | ) |
36 | 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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Common Stocks — continued | ||||||||||
United States — continued | ||||||||||
(300 | ) | Datadog, Inc. – Class A * | (41,340 | ) | ||||||
(62,700 | ) | Delta Air Lines, Inc. * | (2,535,588 | ) | ||||||
(7,300 | ) | Dexcom, Inc. * | (3,864,766 | ) | ||||||
(12,600 | ) | DocuSign, Inc. * | (3,732,624 | ) | ||||||
(48,600 | ) | DraftKings Inc. – Class A * | (2,881,494 | ) | ||||||
(13,700 | ) | Dynatrace, Inc. * | (941,601 | ) | ||||||
(5,500 | ) | Equifax, Inc. | (1,497,430 | ) | ||||||
(4,100 | ) | Equinix, Inc. (REIT) | (3,458,145 | ) | ||||||
(44,800 | ) | Equity LifeStyle Properties, Inc. (REIT) | (3,811,136 | ) | ||||||
(2,200 | ) | Erie Indemnity Co. – Class A | (389,598 | ) | ||||||
(24,200 | ) | Exact Sciences Corp. * | (2,525,996 | ) | ||||||
(15,600 | ) | Expedia Group, Inc. * | (2,254,200 | ) | ||||||
(200 | ) | Extra Space Storage, Inc. (REIT) | (37,382 | ) | ||||||
(100 | ) | Fidelity National Information Services, Inc. | (12,777 | ) | ||||||
(1,000 | ) | First Republic Bank | (198,940 | ) | ||||||
(200 | ) | Fortinet, Inc. * | (63,028 | ) | ||||||
(2,500 | ) | Gartner, Inc. * | (771,850 | ) | ||||||
(26,600 | ) | Guidewire Software, Inc. * | (3,151,036 | ) | ||||||
(13,200 | ) | Hess Corp. | (907,500 | ) | ||||||
(147,500 | ) | Host Hotels & Resorts, Inc. (REIT) * | (2,442,600 | ) | ||||||
(5,800 | ) | HubSpot, Inc. * | (3,969,926 | ) | ||||||
(5,000 | ) | IDEXX Laboratories, Inc. * | (3,368,800 | ) | ||||||
(20,300 | ) | Ingersoll Rand, Inc. * | (1,076,306 | ) | ||||||
(12,300 | ) | Insulet Corp. * | (3,663,063 | ) | ||||||
(7,800 | ) | Ionis Pharmaceuticals, Inc. * | (310,128 | ) | ||||||
(14,200 | ) | IQVIA Holdings, Inc. * | (3,688,166 | ) | ||||||
(34,700 | ) | Iron Mountain, Inc. (REIT) | (1,656,925 | ) | ||||||
(5,500 | ) | KKR & Co., Inc. | (353,595 | ) | ||||||
(40,400 | ) | Lamb Weston Holdings, Inc. | (2,632,060 | ) | ||||||
(8,700 | ) | Liberty Broadband Corp. – Class A * | (1,616,199 | ) | ||||||
(6,800 | ) | Liberty Broadband Corp. – Class C * | (1,300,976 | ) | ||||||
(71,200 | ) | Liberty Media Corp-Liberty Formula One – Class C * | (3,598,448 | ) | ||||||
(10,300 | ) | Liberty Media Corp-Liberty SiriusXM – Class A * | (509,850 | ) | ||||||
(11,900 | ) | Liberty Media Corp-Liberty SiriusXM – Class C * | (587,265 | ) | ||||||
(4,100 | ) | Linde Plc | (1,289,819 | ) | ||||||
(39,900 | ) | Live Nation Entertainment, Inc. * | (3,459,330 | ) | ||||||
(5,800 | ) | MarketAxess Holdings, Inc. | (2,760,336 | ) | ||||||
(5,700 | ) | Marriott International, Inc. – Class A * | (770,298 | ) | ||||||
(39,800 | ) | MGM Resorts International | (1,696,276 | ) | ||||||
(9,800 | ) | MongoDB, Inc. * | (3,839,934 | ) | ||||||
(5,000 | ) | Monolithic Power Systems, Inc. | (2,474,650 | ) | ||||||
(6,100 | ) | MSCI, Inc. | (3,870,938 | ) | ||||||
(19,000 | ) | NiSource, Inc. | (468,350 | ) | ||||||
(17,800 | ) | Novocure Ltd. * | (2,388,938 | ) | ||||||
(18,900 | ) | Oak Street Health, Inc. * | (883,197 | ) | ||||||
(31,900 | ) | Occidental Petroleum Corp. | (819,511 | ) | ||||||
(12,300 | ) | Okta, Inc. * | (3,242,280 | ) | ||||||
(18,600 | ) | Palantir Technologies, Inc. – Class A * | (489,924 | ) | ||||||
(6,900 | ) | Paycom Software, Inc. * | (3,373,410 | ) |
Shares | Description | Value ($) | ||||||||
Common Stocks — continued | ||||||||||
United States — continued | ||||||||||
(19,800 | ) | Peloton Interactive, Inc. – Class A * | (1,983,762 | ) | ||||||
(300 | ) | Pinterest, Inc. – Class A * | (16,671 | ) | ||||||
(5,400 | ) | Public Storage (REIT) | (1,747,494 | ) | ||||||
(9,800 | ) | RingCentral, Inc. – Class A * | (2,472,148 | ) | ||||||
(8,400 | ) | Roku, Inc. * | (2,960,160 | ) | ||||||
(36,400 | ) | Rollins, Inc. | (1,416,688 | ) | ||||||
(31,600 | ) | Royal Caribbean Cruises Ltd. * | (2,614,268 | ) | ||||||
(33,600 | ) | Sarepta Therapeutics, Inc. * | (2,624,832 | ) | ||||||
(2,700 | ) | Seagen, Inc. * | (452,520 | ) | ||||||
(6,100 | ) | ServiceNow, Inc. * | (3,926,204 | ) | ||||||
(22,400 | ) | Simon Property Group, Inc. (REIT) | (3,011,680 | ) | ||||||
(50,100 | ) | Snap, Inc. – Class A * | (3,813,111 | ) | ||||||
(10,500 | ) | Snowflake, Inc. – Class A * | (3,195,675 | ) | ||||||
(20,500 | ) | Southwest Airlines Co. * | (1,020,490 | ) | ||||||
(13,300 | ) | Square, Inc. – Class A * | (3,565,331 | ) | ||||||
(18,000 | ) | Starbucks Corp. | (2,114,820 | ) | ||||||
(900 | ) | Sun Communities, Inc. (REIT) | (181,341 | ) | ||||||
(1,700 | ) | T-Mobile US, Inc. * | (232,934 | ) | ||||||
(16,800 | ) | Teladoc Health, Inc. * | (2,426,256 | ) | ||||||
(4,800 | ) | Tesla, Inc. * | (3,531,456 | ) | ||||||
(3,000 | ) | Trade Desk, Inc. (The) – Class A * | (240,150 | ) | ||||||
(8,900 | ) | Twilio, Inc. – Class A * | (3,176,944 | ) | ||||||
(36,500 | ) | Twitter, Inc. * | (2,354,250 | ) | ||||||
(56,000 | ) | Uber Technologies, Inc. * | (2,191,840 | ) | ||||||
(68,000 | ) | UDR, Inc. (REIT) | (3,673,360 | ) | ||||||
(9,300 | ) | Vail Resorts, Inc. * | (2,835,105 | ) | ||||||
(33,600 | ) | Vistra Corp. | (641,424 | ) | ||||||
(4,800 | ) | Wayfair, Inc. – Class A * | (1,347,600 | ) | ||||||
(114,300 | ) | Williams Cos, Inc. (The) | (2,822,067 | ) | ||||||
(200 | ) | XPO Logistics, Inc. * | (17,382 | ) | ||||||
(18,000 | ) | Zendesk, Inc. * | (2,224,800 | ) | ||||||
(8,500 | ) | Zillow Group, Inc. – Class A * | (812,600 | ) | ||||||
(24,156 | ) | Zillow Group, Inc. – Class C * | (2,313,420 | ) | ||||||
(200 | ) | Zoetis, Inc. | (40,912 | ) | ||||||
(100 | ) | Zoom Video Communications, Inc. – Class A * | (28,950 | ) | ||||||
(15,300 | ) | Zscaler, Inc. * | (4,258,602 | ) | ||||||
|
| |||||||||
Total United States | (225,102,298 | ) | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (PROCEEDS $366,673,423) | (409,525,521 | ) | ||||||||
|
| |||||||||
PREFERRED STOCKS (e) — (0.2)% | ||||||||||
Germany — (0.2)% | ||||||||||
(4,807 | ) | Sartorius AG | (3,166,912 | ) | ||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (PROCEEDS $2,100,535) | (3,166,912 | ) | ||||||||
|
| |||||||||
TOTAL SECURITIES SOLD SHORT (PROCEEDS $368,773,958) | (412,692,433 | ) | ||||||||
Other Assets and Liabilities (net) — 16.8% | 343,223,132 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $ | 2,043,647,360 | ||||||||
|
|
See accompanying notes to the financial statements. | 37 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2021 (Unaudited)
A summary of outstanding financial instruments at August 31, 2021 is as follows:
Forward Currency Contracts
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||
10/21/2021 | GS | AUD | 18,810,100 | USD | 13,809,454 | 45,221 | ||||||||||||||
11/09/2021 | JPM | AUD | 7,290,000 | USD | 5,374,824 | 39,940 | ||||||||||||||
11/09/2021 | MSCI | AUD | 26,030,000 | USD | 19,272,404 | 223,430 | ||||||||||||||
09/02/2021 | GS | BRL | 717,346 | USD | 140,000 | 1,270 | ||||||||||||||
11/03/2021 | JPM | CAD | 7,821,632 | USD | 6,150,000 | (48,916 | ) | |||||||||||||
10/13/2021 | MSCI | CHF | 25,621,527 | USD | 28,057,108 | 49,666 | ||||||||||||||
11/18/2021 | MSCI | CLP | 315,080,000 | USD | 401,632 | (4,196 | ) | |||||||||||||
10/26/2021 | JPM | COP | 787,760,000 | USD | 202,903 | (5,512 | ) | |||||||||||||
10/26/2021 | MSCI | COP | 5,596,780,000 | USD | 1,430,000 | (50,717 | ) | |||||||||||||
10/18/2021 | GS | CZK | 5,186,450 | USD | 240,000 | (748 | ) | |||||||||||||
10/18/2021 | MSCI | CZK | 2,738,696 | USD | 126,767 | (360 | ) | |||||||||||||
09/30/2021 | JPM | EUR | 1,320,000 | USD | 1,552,691 | (6,763 | ) | |||||||||||||
10/21/2021 | DB | EUR | 56,305,734 | USD | 66,489,305 | (57,395 | ) | |||||||||||||
10/21/2021 | MSCI | EUR | 28,152,866 | USD | 33,240,694 | (32,655 | ) | |||||||||||||
10/13/2021 | BCLY | GBP | 3,030,000 | USD | 4,224,435 | 58,229 | ||||||||||||||
10/13/2021 | JPM | GBP | 1,230,000 | USD | 1,703,898 | 12,666 | ||||||||||||||
10/21/2021 | MSCI | GBP | 19,255,900 | USD | 26,388,285 | (88,567 | ) | |||||||||||||
10/21/2021 | GS | HKD | 66,779,900 | USD | 8,596,911 | 9,554 | ||||||||||||||
09/14/2021 | BCLY | HUF | 96,541,737 | USD | 339,296 | 12,784 | ||||||||||||||
09/14/2021 | CITI | HUF | 161,704,455 | USD | 550,000 | 3,102 | ||||||||||||||
09/14/2021 | DB | HUF | 494,030,831 | USD | 1,640,000 | (30,854 | ) | |||||||||||||
09/13/2021 | JPM | INR | 24,735,480 | USD | 332,127 | (6,375 | ) | |||||||||||||
09/09/2021 | JPM | JPY | 287,538,474 | USD | 2,610,000 | (3,761 | ) | |||||||||||||
10/21/2021 | SSB | JPY | 4,777,289,000 | USD | 43,618,921 | 177,376 | ||||||||||||||
11/12/2021 | CITI | KRW | 842,020,000 | USD | 720,000 | (6,056 | ) | |||||||||||||
11/12/2021 | MSCI | KRW | 1,531,227,314 | USD | 1,334,240 | 13,894 | ||||||||||||||
10/21/2021 | BOA | MXN | 7,590,378 | USD | 370,000 | (5,469 | ) | |||||||||||||
10/05/2021 | MSCI | NZD | 34,200,000 | USD | 23,960,007 | (138,850 | ) | |||||||||||||
09/16/2021 | JPM | PHP | 47,632,680 | USD | 945,055 | (13,936 | ) | |||||||||||||
10/29/2021 | JPM | RON | 10,373,309 | USD | 2,467,075 | (8,588 | ) | |||||||||||||
10/15/2021 | JPM | SGD | 1,244,808 | USD | 919,220 | (6,592 | ) | |||||||||||||
10/18/2021 | MSCI | THB | 79,565,649 | USD | 2,433,200 | (34,915 | ) | |||||||||||||
10/21/2021 | BOA | USD | 3,072,362 | AUD | 4,177,500 | (15,490 | ) | |||||||||||||
10/21/2021 | DB | USD | 402,261 | AUD | 560,800 | 8,103 | ||||||||||||||
10/21/2021 | SSB | USD | 3,263,836 | AUD | 4,423,400 | (27,027 | ) | |||||||||||||
09/02/2021 | MSCI | USD | 2,507,387 | BRL | 13,407,248 | 85,490 | ||||||||||||||
12/02/2021 | MSCI | USD | 1,964,437 | BRL | 10,477,720 | 33,507 | ||||||||||||||
11/03/2021 | JPM | USD | 26,299,622 | CAD | 32,692,929 | (389,333 | ) | |||||||||||||
11/18/2021 | MSCI | USD | 399,609 | CLP | 315,080,000 | 6,218 | ||||||||||||||
09/30/2021 | BOA | USD | 1,247,874 | EUR | 1,060,000 | 4,414 | ||||||||||||||
09/30/2021 | DB | USD | 9,422,509 | EUR | 7,895,000 | (95,321 | ) | |||||||||||||
09/30/2021 | JPM | USD | 1,642,514 | EUR | 1,400,000 | 11,453 |
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||
10/21/2021 | BBH | USD | 2,837,114 | EUR | 2,422,600 | 26,112 | ||||||||||||||
10/21/2021 | JPM | USD | 45,583,533 | EUR | 38,559,500 | (10,777 | ) | |||||||||||||
10/13/2021 | JPM | USD | 2,431,831 | GBP | 1,780,000 | 15,644 | ||||||||||||||
10/13/2021 | MSCI | USD | 18,136,104 | GBP | 13,115,000 | (103,167 | ) | |||||||||||||
10/21/2021 | BBH | USD | 721,210 | GBP | 527,100 | 3,552 | ||||||||||||||
10/21/2021 | GS | USD | 6,194,172 | GBP | 4,480,300 | (33,762 | ) | |||||||||||||
10/21/2021 | SSB | USD | 6,479,600 | GBP | 4,700,500 | (16,415 | ) | |||||||||||||
10/21/2021 | BBH | USD | 373,384 | HKD | 2,908,800 | 664 | ||||||||||||||
10/21/2021 | GS | USD | 2,280,913 | HKD | 17,747,900 | 1,324 | ||||||||||||||
10/21/2021 | SSB | USD | 2,455,027 | HKD | 19,089,000 | (336 | ) | |||||||||||||
09/14/2021 | CITI | USD | 470,000 | HUF | 140,200,248 | 4,169 | ||||||||||||||
09/14/2021 | DB | USD | 410,000 | HUF | 122,384,918 | 3,916 | ||||||||||||||
11/08/2021 | CITI | USD | 360,000 | IDR | 5,216,724,000 | 4,587 | ||||||||||||||
11/08/2021 | JPM | USD | 2,094,465 | IDR | 30,254,551,000 | 19,966 | ||||||||||||||
10/29/2021 | BOA | USD | 490,000 | ILS | 1,579,498 | 2,605 | ||||||||||||||
09/09/2021 | JPM | USD | 17,519,991 | JPY | 1,911,790,213 | (141,581 | ) | |||||||||||||
10/21/2021 | BOA | USD | 11,849,839 | JPY | 1,305,983,900 | 25,925 | ||||||||||||||
10/21/2021 | GS | USD | 2,123,807 | JPY | 232,895,400 | (6,008 | ) | |||||||||||||
10/21/2021 | JPM | USD | 11,438,218 | JPY | 1,256,444,800 | (12,930 | ) | |||||||||||||
10/21/2021 | MSCI | USD | 2,445,929 | MXN | 49,394,562 | (2,555 | ) | |||||||||||||
09/14/2021 | BCLY | USD | 4,463,036 | NOK | 37,017,199 | (205,249 | ) | |||||||||||||
09/14/2021 | JPM | USD | 9,140,000 | NOK | 80,095,047 | 72,681 | ||||||||||||||
10/05/2021 | BCLY | USD | 2,447,421 | NZD | 3,460,000 | (9,349 | ) | |||||||||||||
10/05/2021 | JPM | USD | 1,655,641 | NZD | 2,360,000 | 7,321 | ||||||||||||||
11/18/2021 | JPM | USD | 738,474 | PEN | 3,008,100 | (3,926 | ) | |||||||||||||
11/18/2021 | MSCI | USD | 330,000 | PEN | 1,343,100 | (2,028 | ) | |||||||||||||
09/16/2021 | JPM | USD | 530,000 | PHP | 26,862,840 | 10,831 | ||||||||||||||
11/18/2021 | MSCI | USD | 142,524 | PLN | 554,013 | 2,131 | ||||||||||||||
11/10/2021 | CITI | USD | 2,392,611 | RUB | 178,558,202 | 21,305 | ||||||||||||||
11/05/2021 | MSCI | USD | 24,977,189 | SEK | 214,483,621 | (111,129 | ) | |||||||||||||
10/15/2021 | BOA | USD | 340,000 | SGD | 461,719 | 3,398 | ||||||||||||||
10/15/2021 | DB | USD | 327,596 | SGD | 444,990 | 3,361 | ||||||||||||||
10/15/2021 | GS | USD | 250,000 | SGD | 338,099 | 1,458 | ||||||||||||||
10/18/2021 | CITI | USD | 980,000 | THB | 32,751,192 | 35,937 | ||||||||||||||
10/25/2021 | BCLY | USD | 1,570,000 | TRY | 14,330,109 | 106,596 | ||||||||||||||
10/25/2021 | GS | USD | 380,000 | TRY | 3,400,564 | 17,860 | ||||||||||||||
10/29/2021 | JPM | USD | 2,351,382 | ZAR | 35,281,309 | 59,328 | ||||||||||||||
10/29/2021 | CITI | ZAR | 7,506,178 | USD | 490,000 | (22,884 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (513,504 | ) | ||||||||||||||||||
|
|
38 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2021 (Unaudited)
Futures Contracts
Number of | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||||
Sales | ||||||||||||||
1,040 | Euro STOXX 50 | September 2021 | 51,358,617 | (665,036 | ) | |||||||||
134 | FTSE 100 Index | September 2021 | 13,076,077 | (53,904 | ) | |||||||||
21 | Hang Seng Index | September 2021 | 3,475,156 | (58,389 | ) | |||||||||
1,980 | Mini MSCI Emerging Markets | September 2021 | 128,620,800 | (1,643,900 | ) | |||||||||
903 | S&P 500 EMini | September 2021 | 204,100,575 | (12,814,807 | ) |
Number of | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Sales — continued | ||||||||||||
171 | SGX Nifty 50 | September 2021 | 5,841,264 | (158,643 | ) | |||||||
52 | SPI 200 Futures | September 2021 | 7,074,893 | (146,851 | ) | |||||||
103 | TOPIX Index | September 2021 | 18,375,718 | (58,623 | ) | |||||||
|
|
|
| |||||||||
$ | 431,923,100 | $ | (15,600,153 | ) | ||||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. |
Sales - Fund is short the futures contract. |
Swap Contracts
Centrally Cleared Interest Rate Swaps
Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||
(0.60)% | 6 Month CHF LIBOR | CHF | 9,360,000 | 09/15/2023 | Semi-Annually | — | (12,674 | ) | (12,674 | ) | ||||||||||||||||
(0.67)% | 6 Month CHF LIBOR | CHF | 10,990,000 | 09/15/2023 | Semi-Annually | — | 534 | 534 | ||||||||||||||||||
0.32% | 3 Month AUD BBSW | AUD | 960,000 | 12/15/2023 | Quarterly | 272 | (44 | ) | (316 | ) | ||||||||||||||||
0.32% | 3 Month AUD BBSW | AUD | 10,760,000 | 12/15/2023 | Quarterly | — | (492 | ) | (492 | ) | ||||||||||||||||
0.29% | 3 Month AUD BBSW | AUD | 17,010,000 | 12/15/2023 | Quarterly | — | 6,675 | 6,675 | ||||||||||||||||||
0.29% | 3 Month AUD BBSW | AUD | 62,230,000 | 12/15/2023 | Quarterly | — | 20,784 | 20,784 | ||||||||||||||||||
GBP - SONIA - COMPOUND | 0.32% | GBP | 82,310,000 | 12/15/2023 | Annually | — | (32,811 | ) | (32,811 | ) | ||||||||||||||||
GBP - SONIA - COMPOUND | 0.35% | GBP | 92,350,000 | 12/15/2023 | Annually | (291 | ) | 31,435 | 31,726 | |||||||||||||||||
3 Month NZD Bank Bill Rate | 1.36% | NZD | 19,150,000 | 12/15/2023 | Quarterly | — | (27,218 | ) | (27,218 | ) | ||||||||||||||||
3 Month NZD Bank Bill Rate | 1.37% | NZD | 65,930,000 | 12/15/2023 | Quarterly | — | (84,110 | ) | (84,110 | ) | ||||||||||||||||
3 Month NZD Bank Bill Rate | 1.45% | NZD | 11,410,000 | 12/15/2023 | Quarterly | — | (3,246 | ) | (3,246 | ) | ||||||||||||||||
3 Month NZD Bank Bill Rate | 1.45% | NZD | 44,600,000 | 12/15/2023 | Quarterly | (2,387 | ) | (9,595 | ) | (7,208 | ) | |||||||||||||||
0.08% | 3 Month SEK STIBOR | SEK | 89,100,000 | 12/15/2023 | Quarterly | — | 2,758 | 2,758 | ||||||||||||||||||
0.08% | 3 Month SEK STIBOR | SEK | 673,500,000 | 12/15/2023 | Quarterly | — | 23,970 | 23,970 | ||||||||||||||||||
0.08% | 3 Month SEK STIBOR | SEK | 242,400,000 | 12/15/2023 | Quarterly | — | 10,312 | 10,312 | ||||||||||||||||||
0.09% | 3 Month SEK STIBOR | SEK | 12,050,000 | 12/15/2023 | Quarterly | 41 | 150 | 109 | ||||||||||||||||||
0.98% | 3 Month CAD LIBOR | CAD | 77,980,000 | 12/18/2023 | Semi-Annually | 2,580 | (49,347 | ) | (51,927 | ) | ||||||||||||||||
(0.48)% | 6 Month EURIBOR | EUR | 3,580,000 | 12/20/2023 | Semi-Annually | 625 | 1,673 | 1,048 | ||||||||||||||||||
0.45% | 3 Month USD LIBOR | USD | 57,250,000 | 12/20/2023 | Quarterly | 8,143 | (48,782 | ) | (56,925 | ) | ||||||||||||||||
6 Month CHF LIBOR | (0.12)% | CHF | 2,190,000 | 09/15/2031 | Semi-Annually | — | (7,246 | ) | (7,246 | ) | ||||||||||||||||
6 Month CHF LIBOR | (0.15)% | CHF | 3,000,000 | 09/15/2031 | Semi-Annually | — | (18,622 | ) | (18,622 | ) | ||||||||||||||||
6 Month CHF LIBOR | 0.03% | CHF | 1,880,000 | 09/15/2031 | Semi-Annually | — | 26,165 | 26,165 | ||||||||||||||||||
6 Month CHF LIBOR | (0.04)% | CHF | 3,070,000 | 09/15/2031 | Semi-Annually | — | 16,884 | 16,884 | ||||||||||||||||||
6 Month CHF LIBOR | (0.03)% | CHF | 7,470,000 | 09/15/2031 | Semi-Annually | 2,481 | 51,909 | 49,428 | ||||||||||||||||||
6 Month CHF LIBOR | (0.09)% | CHF | 21,260,000 | 09/15/2031 | Semi-Annually | (7,356 | ) | 7,884 | 15,240 | |||||||||||||||||
6 Month AUD BBSW | 1.28% | AUD | 13,980,000 | 12/15/2031 | Semi-Annually | (38,345 | ) | (97,423 | ) | (59,078 | ) | |||||||||||||||
6 Month AUD BBSW | 1.30% | AUD | 1,800,000 | 12/15/2031 | Semi-Annually | — | (9,017 | ) | (9,017 | ) | ||||||||||||||||
6 Month AUD BBSW | 1.31% | AUD | 1,800,000 | 12/15/2031 | Semi-Annually | — | (7,632 | ) | (7,632 | ) | ||||||||||||||||
6 Month AUD BBSW | 1.37% | AUD | 2,280,000 | 12/15/2031 | Semi-Annually | — | (1,052 | ) | (1,052 | ) | ||||||||||||||||
1.28% | 6 Month AUD BBSW | AUD | 8,680,000 | 12/15/2031 | Semi-Annually | 20,955 | 57,452 | 36,497 | ||||||||||||||||||
3 Month CAD LIBOR | 1.69% | CAD | 62,090,000 | 12/15/2031 | Semi-Annually | — | (301,530 | ) | (301,530 | ) | ||||||||||||||||
3 Month CAD LIBOR | 1.71% | CAD | 48,990,000 | 12/15/2031 | Semi-Annually | — | (157,728 | ) | (157,728 | ) | ||||||||||||||||
3 Month CAD LIBOR | 1.73% | CAD | 3,850,000 | 12/15/2031 | Semi-Annually | (2,579 | ) | (6,953 | ) | (4,374 | ) | |||||||||||||||
3 Month CAD LIBOR | 1.77% | CAD | 17,430,000 | 12/15/2031 | Semi-Annually | (6,065 | ) | 17,797 | 23,862 |
See accompanying notes to the financial statements. | 39 |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2021 (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 ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||||
0.56% | GBP - SONIA - COMPOUND | GBP | 33,930,000 | 12/15/2031 | Annually | — | 445,843 | 445,843 | ||||||||||||||||||
0.56% | GBP - SONIA - COMPOUND | GBP | 16,950,000 | 12/15/2031 | Annually | — | 221,142 | 221,142 | ||||||||||||||||||
0.59% | GBP - SONIA - COMPOUND | GBP | 28,920,000 | 12/15/2031 | Annually | — | 248,877 | 248,877 | ||||||||||||||||||
0.60% | GBP - SONIA - COMPOUND | GBP | 1,940,000 | 12/15/2031 | Annually | 832 | 15,143 | 14,311 | ||||||||||||||||||
0.64% | GBP - SONIA - COMPOUND | GBP | 19,960,000 | 12/15/2031 | Annually | (5,149 | ) | 42,400 | 47,549 | |||||||||||||||||
0.64% | GBP - SONIA - COMPOUND | GBP | 1,210,000 | 12/15/2031 | Annually | 1,949 | 2,990 | 1,041 | ||||||||||||||||||
3 Month NZD Bank Bill Rate | 1.96% | NZD | 3,860,000 | 12/15/2031 | Quarterly | 522 | (16,058 | ) | (16,580 | ) | ||||||||||||||||
3 Month NZD Bank Bill Rate | 2.00% | NZD | 1,980,000 | 12/15/2031 | Quarterly | — | (3,499 | ) | (3,499 | ) | ||||||||||||||||
3 Month NZD Bank Bill Rate | 2.00% | NZD | 36,620,000 | 12/15/2031 | Quarterly | (16,325 | ) | (52,877 | ) | (36,552 | ) | |||||||||||||||
1.96% | 3 Month NZD Bank Bill Rate | NZD | 4,120,000 | 12/15/2031 | Quarterly | — | 17,806 | 17,806 | ||||||||||||||||||
1.97% | 3 Month NZD Bank Bill Rate | NZD | 2,460,000 | 12/15/2031 | Quarterly | — | 9,438 | 9,438 | ||||||||||||||||||
2.00% | 3 Month NZD Bank Bill Rate | NZD | 23,580,000 | 12/15/2031 | Quarterly | 18,820 | 37,098 | 18,278 | ||||||||||||||||||
3 Month SEK STIBOR | 0.56% | SEK | 18,200,000 | 12/15/2031 | Quarterly | — | (18,937 | ) | (18,937 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.56% | SEK | 138,000,000 | 12/15/2031 | Quarterly | — | (147,499 | ) | (147,499 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.59% | SEK | 49,380,000 | 12/15/2031 | Quarterly | — | (36,839 | ) | (36,839 | ) | ||||||||||||||||
3 Month SEK STIBOR | 0.64% | SEK | 158,830,000 | 12/15/2031 | Quarterly | (1,020 | ) | (26,744 | ) | (25,724 | ) | |||||||||||||||
3 Month SEK STIBOR | 0.64% | SEK | 6,180,000 | 12/15/2031 | Quarterly | (47 | ) | (1,041 | ) | (994 | ) | |||||||||||||||
6 Month EURIBOR | (0.08)% | EUR | 840,000 | 12/17/2031 | Semi-Annually | (208 | ) | (8,390 | ) | (8,182 | ) | |||||||||||||||
(0.08)% | 6 Month EURIBOR | EUR | 17,870,000 | 12/17/2031 | Semi-Annually | 8,487 | 180,634 | 172,147 | ||||||||||||||||||
1.41% | 3 Month USD LIBOR | USD | 30,720,000 | 12/17/2031 | Quarterly | 17,858 | (107,527 | ) | (125,385 | ) | ||||||||||||||||
1.36% | 3 Month USD LIBOR | USD | 1,070,000 | 12/17/2031 | Quarterly | — | 1,063 | 1,063 | ||||||||||||||||||
3 Month USD LIBOR | 1.42% | USD | 12,860,000 | 12/17/2031 | Quarterly | (1,390 | ) | 51,160 | 52,550 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 2,403 | $ | 255,043 | $ | 252,640 | |||||||||||||||||||||
|
|
|
|
|
|
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 8.50%) | Appreciation on Total Return on CSI 500 Index | GS | USD | 2,524,457 | 12/07/2021 | Monthly | — | 121,177 | 121,177 | |||||||||||||||||||
Total Return on Equity Basket (i) | 1 Month Federal Funds Rate minus 0.75% | GS | USD | 4,678,596 | 05/24/2022 | Monthly | — | (154,353 | ) | (154,353 | ) | |||||||||||||||||
Total Return on Equity Basket (i) | 1 Month Federal Funds Rate minus 0.75% | GS | USD | 150,314 | 05/24/2022 | Monthly | — | (14,574 | ) | (14,574 | ) | |||||||||||||||||
Total Return on Equity Basket (i) | 1 Month Federal Funds Rate minus 0.75% | GS | USD | 385,717 | 05/24/2022 | Monthly | — | (19,302 | ) | (19,302 | ) | |||||||||||||||||
Total Return on Equity Basket (i) | 1 Month Federal Funds Rate minus 0.50% | GS | USD | 4,501,775 | 05/24/2022 | Monthly | — | 87,761 | 87,761 | |||||||||||||||||||
Total Return on Equity Basket (i) | 1 Month Federal Funds Rate minus 1.00% | MORD | USD | 1 | 06/21/2022 | Monthly | — | — | — | |||||||||||||||||||
Total Return on Equity Basket (j) | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 23,416,452 | 10/18/2022 | Monthly | — | (734,961 | ) | (734,961 | ) | |||||||||||||||||
Total Return on Equity Basket (i) | 1 Month Federal Funds Rate minus 1.00% | MORD | USD | 1,290,698 | 10/18/2022 | Monthly | — | (5,159 | ) | (5,159 | ) | |||||||||||||||||
Total Return on Equity Basket (i) | 1 Month Federal Funds Rate minus 2.50% | MORD | USD | 8,843,985 | 05/18/2023 | Monthly | — | (139,873 | ) | (139,873 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | — | $ | (859,284 | ) | $ | (859,284 | ) | |||||||||||||||||||||
|
|
|
|
|
|
As of August 31, 2021, 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.
40 | See accompanying notes to the financial statements. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2021 (Unaudited)
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
* | Non-income producing security. |
(a) | All or a portion of this security is out on loan (Note 2). |
(b) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
(c) | Securities are traded on separate exchanges for the same entity. |
(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) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
(f) | Security is in default. |
(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, 2021. |
(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. |
(j) | The following table represents the individual short positions within the custom equity basket swap as of August 31, 2021: |
Shares | Description | % of Equity Basket | Value ($) | |||||||||
6,590,000 | Alibaba Pictures Group Ltd | 2.9 | % | 702,366 | ||||||||
3,897,000 | China Molybdenum Co Ltd – Class H | 12.6 | % | 3,040,309 | ||||||||
286,000 | China Resources Beer Holdings Co Ltd | 9.8 | % | 2,351,887 | ||||||||
1,144,000 | China Youzan Ltd | 0.7 | % | 160,153 | ||||||||
61,500 | Citic Securities Co Ltd – Class H | 0.6 | % | 155,766 | ||||||||
12,400 | Fuyao Glass Industry Group Co Ltd – Class H | 0.3 | % | 76,307 | ||||||||
99,000 | Galaxy Entertainment Group Ltd | 2.6 | % | 634,748 | ||||||||
1,362,000 | Greentown Service Group Co Ltd | 6.0 | % | 1,456,504 | ||||||||
18,000 | Haidilao International Holding Ltd | 0.3 | % | 73,461 | ||||||||
52,000 | Hong Kong Exchanges and Clearing Ltd | 13.6 | % | 3,285,050 | ||||||||
828,000 | Kingdee International Software Group Co Ltd | 12.5 | % | 3,015,057 | ||||||||
87,000 | New World Development Co Ltd | 1.7 | % | 409,216 | ||||||||
548,000 | Sands China Ltd | 7.3 | % | 1,760,504 | ||||||||
900,000 | SJM Holdings Ltd | 3.3 | % | 783,194 | ||||||||
50,000 | Venus Medtech Hangzhou Inc – Class H | 1.0 | % | 236,664 | ||||||||
1,218,800 | Wynn Macau Ltd | 5.7 | % | 1,373,263 | ||||||||
221,000 | Yihai International Holding Ltd. | 5.0 | % | 1,195,619 | ||||||||
2,400,000 | Zijin Mining Group Co Ltd – Class H | 14.1 | % | 3,395,944 | ||||||||
|
| |||||||||||
TOTAL COMMON STOCKS | $ | 24,106,012 | ||||||||||
|
|
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 97.
See accompanying notes to the financial statements. | 41 |
GMO Global Asset Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2021 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 69.5 | % | ||
Debt Obligations | 21.7 | |||
Short-Term Investments | 4.1 | |||
Investment Funds | 3.0 | |||
Preferred Stocks | 1.0 | |||
Swap Contracts | 0.1 | |||
Loan Assignments | 0.0 | ^ | ||
Loan Participations | 0.0 | ^ | ||
Rights/Warrants | 0.0 | ^ | ||
Purchased Options | 0.0 | ^ | ||
Written/Credit Linked Options | (0.0 | )^ | ||
Reverse Repurchase Agreements | (0.0 | )^ | ||
Forward Currency Contracts | (0.0 | )^ | ||
Futures Contracts | (0.2 | ) | ||
Securities Sold Short | (8.4 | ) | ||
Other | 9.2 | |||
|
| |||
100.0 | % | |||
|
|
Country/Region Summary¤ | Debt Obligations as a % of Total Net Assets | |||
United States | 8.8 | % | ||
Other Emerging | 3.4 | † | ||
Other Developed | 0.1 | ‡ | ||
Euro Region | 0.0 | ^# | ||
|
| |||
12.3 | % | |||
|
|
Country/Region Summary¤ | Equity Investments as a % of Total Net Assets | |||
United States | 23.2 | % | ||
Japan | 7.5 | |||
China | 5.6 | |||
Other Developed | 4.8 | ‡ | ||
Taiwan | 4.3 | |||
Other Emerging | 3.9 | † | ||
United Kingdom | 3.6 | |||
Russia | 3.1 | |||
Germany | 2.3 | |||
France | 1.9 | |||
South Korea | 1.4 | |||
Netherlands | 1.3 | |||
Switzerland | 1.1 | |||
Spain | 1.1 | |||
Euro Region | 0.0 | ^# | ||
|
| |||
65.1 | % | |||
|
|
& | 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. 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% . |
42 |
GMO Global Asset Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares / Par Value† | Description | Value ($) | ||||||||
MUTUAL FUNDS — 99.9% |
| |||||||||
Affiliated Issuers — 99.9% |
| |||||||||
7,049,035 | GMO Alternative Allocation Fund, Class VI | 127,658,024 | ||||||||
1,568,980 | GMO Asset Allocation Bond Fund, Class VI | 39,114,673 | ||||||||
791,885 | GMO Emerging Country Debt Fund, Class VI | 20,771,137 | ||||||||
3,193,643 | GMO Emerging Markets Fund, Class VI | 117,877,364 | ||||||||
4,610,315 | GMO International Equity Fund, Class IV | 116,272,139 | ||||||||
1,163,298 | GMO-Usonian Japan Value Creation Fund, Class VI | 26,511,566 | ||||||||
2,907,912 | GMO Multi-Sector Fixed Income Fund | 58,681,667 | ||||||||
748,819 | GMO Opportunistic Income Fund, Class VI | 19,469,286 | ||||||||
699,875 | GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund), Class VI | 19,862,444 | ||||||||
441,141 | GMO Quality Fund, Class VI | 13,476,847 | ||||||||
3,433,803 | GMO U.S. Equity Fund, Class VI | 54,425,777 | ||||||||
1,527,163 | GMO U.S. Small Cap Value Fund, Class VI | 39,629,874 | ||||||||
408 | GMO U.S. Treasury Fund | 2,057 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $630,909,987) | 653,752,855 | |||||||||
|
| |||||||||
DEBT OBLIGATIONS — 0.0% |
| |||||||||
Asset-Backed Securities — 0.0% | ||||||||||
19,260 | ACE Securities Corp Home Equity Loan Trust, Series 06-ASL1, Class A,Variable Rate, 1 mo. LIBOR + 0.28%, 0.36%, due 02/25/36 | 4,048 | ||||||||
8,649 | GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 0.58%, due 10/25/34 | 8,272 | ||||||||
8,755 | Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.34%, due 02/26/34 | 7,597 | ||||||||
|
| |||||||||
Total Asset-Backed Securities | 19,917 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $24,468) | 19,917 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 0.1% |
| |||||||||
Money Market Funds — 0.1% |
| |||||||||
404,409 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a) | 404,409 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $404,409) | 404,409 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $631,338,864) | 654,177,181 | |||||||||
Other Assets and Liabilities (net) — 0.00% | 151,426 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $654,328,607 | |||||||||
|
|
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, 2021. |
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 97.
See accompanying notes to the financial statements. | 43 |
GMO Global Developed Equity Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2021 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 96.3 | % | ||
Short-Term Investments | 2.5 | |||
Preferred Stocks | 1.1 | |||
Debt Obligations | 0.2 | |||
Investment Funds | 0.1 | |||
Swap Contracts | 0.0 | ^ | ||
Rights/Warrants | 0.0 | ^ | ||
Futures Contracts | (0.1 | ) | ||
Other | (0.1 | ) | ||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | % of Investments | |||
United States | 39.3 | % | ||
Japan | 12.3 | |||
United Kingdom | 8.5 | |||
Germany | 4.9 | |||
France | 4.8 | |||
Other Developed | 3.9 | ‡ | ||
Other Emerging | 3.7 | † | ||
China | 3.3 | |||
Switzerland | 3.1 | |||
Netherlands | 3.0 | |||
Taiwan | 2.8 | |||
Spain | 2.5 | |||
Italy | 1.9 | |||
Russia | 1.8 | |||
Singapore | 1.7 | |||
Australia | 1.5 | |||
Hong Kong | 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%. |
44 |
GMO Global Developed Equity Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
MUTUAL FUNDS — 99.9% |
| |||||||||
Affiliated Issuers — 99.9% |
| |||||||||
250,818 | GMO Emerging Markets Fund, Class VI | 9,257,678 | ||||||||
1,647,731 | GMO International Equity Fund, Class IV | 41,555,784 | ||||||||
161,367 | GMO-Usonian Japan Value Creation Fund, Class VI | 3,677,559 | ||||||||
175,107 | GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund), Class VI | 4,969,538 | ||||||||
425,403 | GMO Quality Fund, Class VI | 12,996,060 | ||||||||
1,052,398 | GMO U.S. Equity Fund, Class VI | 16,680,504 | ||||||||
358,517 | GMO U.S. Small Cap Value Fund, Class VI | 9,303,507 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $77,736,047) | 98,440,630 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.1% |
| |||||||||
Money Market Funds — 0.1% |
| |||||||||
59,647 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a) | 59,647 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $59,647) | 59,647 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $77,795,694) | 98,500,277 | |||||||||
Other Assets and Liabilities (net) — (0.0%) | (30,939 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $98,469,338 | |||||||||
|
|
Notes to Schedule of Investments:
(a) | The rate disclosed is the 7 day net yield as of August 31, 2021. |
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 97.
See accompanying notes to the financial statements. | 45 |
GMO Global Equity Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2021 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 95.7 | % | ||
Short-Term Investments | 2.3 | |||
Preferred Stocks | 1.5 | |||
Debt Obligations | 0.6 | |||
Investment Funds | 0.3 | |||
Swap Contracts | 0.0 | ^ | ||
Rights/Warrants | 0.0 | ^ | ||
Futures Contracts | (0.1 | ) | ||
Other | (0.3 | ) | ||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | % of Investments | |||
United States | 29.5 | % | ||
Japan | 10.9 | |||
China | 8.3 | |||
United Kingdom | 7.4 | |||
Taiwan | 6.6 | |||
Russia | 4.3 | |||
Other Developed | 4.2 | ‡ | ||
Germany | 4.1 | |||
France | 4.1 | |||
Other Emerging | 3.4 | † | ||
Switzerland | 2.6 | |||
Netherlands | 2.5 | |||
Korea | 2.4 | |||
Spain | 2.2 | |||
India | 1.7 | |||
Italy | 1.6 | |||
Singapore | 1.5 | |||
Mexico | 1.5 | |||
Australia | 1.2 | |||
|
| |||
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% . |
46 |
GMO Global Equity Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
MUTUAL FUNDS — 100.0% |
| |||||||||
Affiliated Issuers — 100.0% |
| |||||||||
11,477,889 | GMO Emerging Markets Fund, Class VI | 423,648,869 | ||||||||
24,041,974 | GMO International Equity Fund, Class IV | 606,338,595 | ||||||||
2,973,327 | GMO-Usonian Japan Value Creation Fund, Class VI | 67,762,112 | ||||||||
3,095,345 | GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund), Class VI | 87,845,889 | ||||||||
7,697,733 | GMO Quality Fund, Class VI | 235,165,737 | ||||||||
7,477,745 | GMO U.S. Equity Fund, Class VI | 118,522,265 | ||||||||
6,524,350 | GMO U.S. Small Cap Value Fund, Class VI | 169,306,883 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $1,483,894,954) | 1,708,590,350 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.0% |
| |||||||||
Money Market Funds — 0.0% |
| |||||||||
659,761 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a) | 659,761 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $659,761) | 659,761 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $1,484,554,715) | 1,709,250,111 | |||||||||
Other Assets and Liabilities (net) — (0.0%) | (88,816 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $1,709,161,295 | |||||||||
|
|
Notes to Schedule of Investments:
(a) | The rate disclosed is the 7 day net yield as of August 31, 2021. |
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 97.
See accompanying notes to the financial statements. | 47 |
(A Series of GMO Trust)
Consolidated Investment Concentration Summary (a)
August 31, 2021 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 84.3 | % | ||
Debt Obligations | 12.2 | |||
Preferred Stocks | 1.2 | |||
Short-Term Investments | 0.7 | |||
Investment Funds | 0.5 | |||
Mutual Funds | 0.2 | |||
Rights/Warrants | 0.0 | ^ | ||
Purchased Options | 0.0 | ^ | ||
Swap Contracts | (0.0 | )^ | ||
Forward Currency Contracts | (0.0 | )^ | ||
Futures Contracts | (0.6 | ) | ||
Securities Sold Short | (26.8 | ) | ||
Other | 28.3 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | Debt Obligations as a % of Total Net Assets | |||
United States | 2.8 | % | ||
Other Developed | 0.1 | ‡ | ||
Other Emerging | 0.1 | † | ||
Euro Region | 0.0 | ^§ | ||
|
| |||
3.0 | % | |||
|
| |||
Country/Region Summary¤ | Equity Investments as a % of Total Net Assets | |||
China | 11.0 | % | ||
Japan | 9.9 | |||
United States | 7.1 | |||
Other Developed | 6.2 | ‡ | ||
Taiwan | 4.6 | |||
Russia | 3.8 | |||
South Korea | 3.4 | |||
India | 2.3 | |||
Other Emerging | 2.1 | † | ||
United Kingdom | 2.1 | |||
Brazil | 1.5 | |||
Canada | 1.4 | |||
Mexico | 1.1 | |||
Netherlands | 1.1 | |||
South Africa | 1.1 | |||
|
| |||
58.7 | % | |||
|
|
Industry Group Summary | % of Equity Investments# | |||
Banks | 15.4 | % | ||
Materials | 12.7 | |||
Capital Goods | 10.1 | |||
Technology Hardware & Equipment | 8.8 | |||
Consumer Durables & Apparel | 5.9 | |||
Automobiles & Components | 5.7 | |||
Energy | 5.5 | |||
Food, Beverage & Tobacco | 4.7 | |||
Pharmaceuticals, Biotechnology & Life Sciences | 4.4 | |||
Insurance | 4.3 | |||
Commercial & Professional Services | 3.5 | |||
Semiconductors & Semiconductor Equipment | 3.4 | |||
Telecommunication Services | 3.1 | |||
Media & Entertainment | 2.8 | |||
Retailing | 2.4 | |||
Real Estate | 2.2 | |||
Utilities | 2.0 | |||
Health Care Equipment & Services | 1.9 | |||
Food & Staples Retailing | 1.6 | |||
Diversified Financials | 1.4 | |||
Transportation | 0.5 | |||
Household & Personal Products | 0.4 | |||
Software & Services | (0.3 | ) | ||
Consumer Services | (2.4 | ) | ||
|
| |||
100.0 | % | |||
|
|
(a) | GMO Implementation SPC Ltd. is a 100% owned subsidiary of GMO Implementation Fund. As such, the holdings of GMO Implementation SPC Ltd. have been included with GMO Implementation Fund. |
& | In the table, 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. Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security. The table is not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the table may not total to 100%. |
‡ | “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets. |
† | “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets. |
§ | “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country. |
# | 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%. |
48 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 84.3% |
| |||||||||
Argentina — 0.0% | ||||||||||
59,400 | Banco BBVA Argentina SA ADR * | 258,390 | ||||||||
59,700 | Grupo Financiero Galicia SA ADR | 643,566 | ||||||||
|
| |||||||||
Total Argentina | 901,956 | |||||||||
|
| |||||||||
Australia — 1.4% | ||||||||||
233,742 | Accent Group Ltd | 366,377 | ||||||||
120,256 | Adairs Ltd (a) | 351,484 | ||||||||
16,502 | Afterpay Ltd * (b) | 1,605,140 | ||||||||
94,352 | Australian Pharmaceutical Industries Ltd (a) | 92,730 | ||||||||
48,776 | Aventus Group (REIT) | 118,714 | ||||||||
360,696 | Bank of Queensland Ltd | 2,484,345 | ||||||||
533,033 | BlueScope Steel Ltd | 9,745,080 | ||||||||
242,004 | Brambles Ltd | 2,139,142 | ||||||||
22,781 | Codan Ltd | 249,815 | ||||||||
1,031,296 | Dexus (REIT) | 8,025,562 | ||||||||
844,604 | Fortescue Metals Group Ltd | 12,876,201 | ||||||||
82,845 | GDI Property Group (REIT) | 73,258 | ||||||||
328,387 | Genworth Mortgage Insurance Australia Ltd | 531,042 | ||||||||
2,303,959 | GPT Group (The) (REIT) | 8,156,607 | ||||||||
52,900 | McMillan Shakespeare Ltd | 481,096 | ||||||||
41,098 | Metcash Ltd (a) | 122,201 | ||||||||
10,601 | Mineral Resources Ltd | 421,704 | ||||||||
1,832,148 | Mirvac Group (REIT) | 4,172,508 | ||||||||
233,134 | Mount Gibson Iron Ltd | 103,574 | ||||||||
185,251 | Rio Tinto Ltd | 15,072,965 | ||||||||
321,672 | Sandfire Resources Ltd | 1,515,563 | ||||||||
2,193,361 | Scentre Group (REIT) | 4,561,909 | ||||||||
54,595 | Southern Cross Media Group Ltd * | 88,818 | ||||||||
968,808 | Stockland (REIT) | 3,264,777 | ||||||||
12,602 | Super Retail Group Ltd | 112,944 | ||||||||
33,424 | Virtus Health Ltd (a) | 166,713 | ||||||||
|
| |||||||||
Total Australia | 76,900,269 | |||||||||
|
| |||||||||
Austria — 0.0% | ||||||||||
5,489 | Semperit AG Holding | 220,433 | ||||||||
|
| |||||||||
Belgium — 0.5% | ||||||||||
275,925 | Ageas SA/NV (a) | 13,788,794 | ||||||||
15,143 | AGFA-Gevaert NV * | 77,155 | ||||||||
10,984 | Bekaert SA | 522,940 | ||||||||
57,505 | bpost SA * | 555,822 | ||||||||
850 | Cie d’Entreprises CFE | 97,713 | ||||||||
3,562 | Groupe Bruxelles Lambert SA | 408,084 | ||||||||
5,551 | Orange Belgium SA | 130,766 | ||||||||
517 | Sofina SA | 228,548 | ||||||||
6,212 | Telenet Group Holding NV (b) | 236,363 |
Shares | Description | Value ($) | ||||||||
Belgium — continued | ||||||||||
83,692 | UCB SA | 9,575,114 | ||||||||
|
| |||||||||
Total Belgium | 25,621,299 | |||||||||
|
| |||||||||
Brazil — 1.3% | ||||||||||
483,900 | Ambev SA | 1,600,273 | ||||||||
3,115,000 | Banco Bradesco SA | 12,012,280 | ||||||||
272,500 | Banco do Brasil SA | 1,603,654 | ||||||||
391,200 | Blau Farmaceutica SA | 3,877,350 | ||||||||
343,000 | Camil Alimentos SA | 630,173 | ||||||||
191,300 | Cia Siderurgica Nacional SA | 1,289,688 | ||||||||
216,300 | Dimed SA Distribuidora da Medicamentos | 712,801 | ||||||||
265,300 | EDP – Energias do Brasil SA | 946,107 | ||||||||
144,500 | Fleury SA | 661,188 | ||||||||
138,700 | Mahle-Metal Leve SA | 1,061,146 | ||||||||
1,220,600 | Marfrig Global Foods SA | 4,836,794 | ||||||||
1,775,000 | Petrobras Distribuidora SA | 9,333,614 | ||||||||
245,600 | Petroleo Brasileiro SA Sponsored ADR | 2,662,304 | ||||||||
59,500 | Ser Educacional SA | 149,360 | ||||||||
200,500 | Telefonica Brasil SA | 1,695,650 | ||||||||
2,447,600 | TIM SA | 5,897,945 | ||||||||
948,200 | Vale SA Sponsored ADR | 18,082,174 | ||||||||
1,373,000 | Vamos Locacao de Caminhoes Maquinas e Equipamentos SA * | 4,038,704 | ||||||||
|
| |||||||||
Total Brazil | 71,091,205 | |||||||||
|
| |||||||||
Canada — 1.6% | ||||||||||
29,700 | AGF Management Ltd – Class B | 177,025 | ||||||||
41,000 | Bank of Montreal | 4,080,339 | ||||||||
65,100 | Bank of Nova Scotia (The) | 4,032,469 | ||||||||
2,611,012 | Bombardier Inc – Class B * | 3,807,920 | ||||||||
99,568 | Brookfield Asset Management Inc – Class A | 5,531,002 | ||||||||
94,100 | Canaccord Genuity Group Inc | 1,123,994 | ||||||||
134,200 | Canadian Apartment Properties (REIT) | 6,500,188 | ||||||||
20,600 | Canadian Tire Corp Ltd – Class A | 3,134,942 | ||||||||
3,300 | Canadian Western Bank | 96,726 | ||||||||
104,600 | Canfor Corp * | 2,245,130 | ||||||||
8,200 | Canfor Pulp Products Inc * (a) | 42,441 | ||||||||
99,500 | Cascades Inc | 1,236,603 | ||||||||
39,700 | Celestica Inc * (c) | 377,150 | ||||||||
112,700 | Celestica Inc * (c) | 1,069,250 | ||||||||
29,300 | Cenovus Energy Inc | 243,151 | ||||||||
12,100 | Cogeco Inc | 875,527 | ||||||||
255,600 | Corus Entertainment Inc – B Shares (b) | 1,266,199 | ||||||||
7,900 | Enerplus Corp (a) | 46,712 | ||||||||
1,100 | Fairfax Financial Holdings Ltd | 486,916 | ||||||||
2,900 | Finning International Inc | 75,485 | ||||||||
18,900 | iA Financial Corp Inc | 1,048,028 | ||||||||
26,800 | Imperial Oil Ltd (c) | 707,252 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Canada — continued | ||||||||||
64,200 | Imperial Oil Ltd (a) (c) | 1,699,075 | ||||||||
29,300 | Interfor Corp | 622,159 | ||||||||
54,700 | Intertape Polymer Group Inc | 1,333,628 | ||||||||
7,100 | Laurentian Bank of Canada | 239,115 | ||||||||
53,100 | Linamar Corp | 3,008,432 | ||||||||
105,300 | Magna International Inc | 8,315,332 | ||||||||
6,100 | Morguard North American Residential Real Estate Investment Trust | 86,545 | ||||||||
6,600 | Mullen Group Ltd (a) | 69,314 | ||||||||
70,685 | Nutrien Ltd | 4,289,873 | ||||||||
139,700 | Power Corp of Canada | 4,821,098 | ||||||||
757,976 | Shaw Communications Inc – Class B (b) | 22,307,018 | ||||||||
1,300 | Stantec Inc | 62,803 | ||||||||
23,400 | Teck Resources Ltd – Class B | 527,670 | ||||||||
22,900 | Toronto-Dominion Bank (The) | 1,487,098 | ||||||||
16,700 | Tourmaline Oil Corp | 446,604 | ||||||||
11,800 | Transat AT Inc * (a) | 48,167 | ||||||||
39,720 | Transcontinental Inc – Class A | 768,805 | ||||||||
11,900 | Wajax Corp | 225,144 | ||||||||
15,500 | West Fraser Timber Co Ltd | 1,196,853 | ||||||||
|
| |||||||||
Total Canada | 89,759,182 | |||||||||
|
| |||||||||
Chile — 0.0% | ||||||||||
15,002 | CAP SA | 213,249 | ||||||||
350,476 | Falabella SA | 1,388,145 | ||||||||
9,603 | Inversiones La Construccion SA | 45,481 | ||||||||
|
| |||||||||
Total Chile | 1,646,875 | |||||||||
|
| |||||||||
China — 11.0% | ||||||||||
4,600 | 360 DigiTech Inc ADR * | 104,880 | ||||||||
5,338,000 | 361 Degrees International Ltd * | 2,547,948 | ||||||||
270,000 | 7Road Holdings Ltd * (d) | 87,137 | ||||||||
3,893,000 | Agile Group Holdings Ltd | 4,464,443 | ||||||||
1,231,300 | Agricultural Bank of China Ltd – Class A | 563,847 | ||||||||
69,540,000 | Agricultural Bank of China Ltd – Class H | 23,312,444 | ||||||||
65,700 | Alibaba Group Holding Ltd Sponsored ADR * | 10,971,243 | ||||||||
2,768,000 | Angang Steel Co Ltd – Class H (a) | 2,114,725 | ||||||||
39,895 | Anhui Conch Cement Co Ltd – Class A | 246,676 | ||||||||
1,319,500 | Anhui Conch Cement Co Ltd – Class H | 7,139,309 | ||||||||
43,000 | ANTA Sports Products Ltd | 883,257 | ||||||||
30,500 | Autohome Inc ADR (b) | 1,349,930 | ||||||||
9,271,500 | BAIC Motor Corp Ltd – Class H (a) | 3,384,656 | ||||||||
61,800 | Baidu Inc Sponsored ADR * (b) | 9,703,836 | ||||||||
11,196,200 | Bank of China Ltd – Class A | 5,248,652 | ||||||||
58,748,000 | Bank of China Ltd – Class H | 20,587,267 | ||||||||
30,566,000 | Bank of Communications Co Ltd – Class H | 17,554,138 |
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
475,500 | Beijing Enterprises Holdings Ltd | 1,636,404 | ||||||||
1,078,000 | Beijing Enterprises Water Group Ltd * | 444,606 | ||||||||
1,005,000 | BYD Electronic International Co Ltd (a) | 4,597,269 | ||||||||
403,000 | China Aoyuan Group Ltd (a) | 240,943 | ||||||||
11,555,000 | China Cinda Asset Management Co Ltd – Class H | 2,049,397 | ||||||||
789,000 | China CITIC Bank Corp Ltd – Class H | 362,723 | ||||||||
10,536,485 | China Communications Services Corp Ltd – Class H | 5,599,088 | ||||||||
29,344,803 | China Construction Bank Corp – Class H | 21,144,622 | ||||||||
3,283,000 | China Dongxiang Group Co Ltd | 388,178 | ||||||||
3,384,000 | China Everbright Bank Co Ltd – Class H | 1,212,901 | ||||||||
1,417,000 | China Everbright Environment Group Ltd | 979,664 | ||||||||
6,780,000 | China Feihe Ltd | 12,251,632 | ||||||||
237,200 | China Gas Holdings Ltd | 686,602 | ||||||||
3,659,000 | China Greenfresh Group Co Ltd * (e) | — | ||||||||
11,910,500 | China Hongqiao Group Ltd | 17,665,905 | ||||||||
68,332,000 | China Huarong Asset Management Co Ltd – Class H * (e) | 6,677,294 | ||||||||
254,400 | China International Marine Containers Group Co Ltd – Class A | 721,362 | ||||||||
3,398,000 | China Lesso Group Holdings Ltd | 7,272,891 | ||||||||
1,066,000 | China Lilang Ltd | 665,152 | ||||||||
140,000 | China Longyuan Power Group Corp Ltd – Class H | 285,341 | ||||||||
5,460,925 | China Medical System Holdings Ltd | 10,718,485 | ||||||||
537,719 | China Merchants Bank Co Ltd – Class A | 4,073,440 | ||||||||
14,736,000 | China National Building Material Co Ltd – Class H | 20,123,469 | ||||||||
1,630,000 | China Oriental Group Co Ltd | 602,324 | ||||||||
353,000 | China Overseas Grand Oceans Group Ltd | 234,589 | ||||||||
3,343,500 | China Overseas Land & Investment Ltd | 7,702,376 | ||||||||
314,290 | China Pacific Insurance Group Co Ltd – Class A | 1,279,530 | ||||||||
406,200 | China Pacific Insurance Group Co Ltd – Class H | 1,144,822 | ||||||||
12,600 | China Petroleum & Chemical Corp ADR | 604,674 | ||||||||
36,634,000 | China Petroleum & Chemical Corp – Class H | 17,625,987 | ||||||||
672,900 | China Railway Group Ltd – Class A | 585,894 | ||||||||
28,781,000 | China Railway Group Ltd – Class H | 13,783,925 | ||||||||
639,042 | China Railway Signal & Communication Corp Ltd – Class A | 517,109 | ||||||||
5,153,000 | China Reinsurance Group Corp – Class H | 536,176 | ||||||||
232,000 | China Resources Gas Group Ltd | 1,406,357 | ||||||||
1,656,000 | China Resources Land Ltd | 6,150,912 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
5,747,500 | China Resources Pharmaceutical Group Ltd | 2,989,034 | ||||||||
77,800 | China Shenhua Energy Co Ltd – Class A | 240,671 | ||||||||
510,000 | China Shineway Pharmaceutical Group Ltd | 551,490 | ||||||||
2,586,000 | China South City Holdings Ltd | 239,242 | ||||||||
38,500 | China Tian Lun Gas Holdings Ltd (a) | 39,466 | ||||||||
5,902,000 | China Traditional Chinese Medicine Holdings Co Ltd * | 2,809,190 | ||||||||
2,170,082 | China Vanke Co Ltd – Class A | 6,645,343 | ||||||||
22,900 | China Yangtze Power Co Ltd – Class A | 68,507 | ||||||||
326,000 | China Yongda Automobiles Services Holdings Ltd | 546,243 | ||||||||
24,300 | China Yuchai International Ltd | 346,275 | ||||||||
4,237,600 | China Zhongwang Holdings Ltd * (a) | 919,624 | ||||||||
284,800 | Chinese Universe Publishing and Media Group Co Ltd – Class A | 456,781 | ||||||||
127,000 | CIMC Vehicles Group Co Ltd – Class H * | 108,472 | ||||||||
7,039,000 | CITIC Ltd | 8,745,479 | ||||||||
4,051,506 | Country Garden Holdings Co Ltd | 4,478,128 | ||||||||
1,695,991 | CSG Holding Co Ltd – Class A | 3,079,155 | ||||||||
1,486,000 | CSPC Pharmaceutical Group Ltd | 1,885,142 | ||||||||
12,958,000 | Dongfeng Motor Group Co Ltd – Class H | 14,188,872 | ||||||||
3,771,000 | Dongyue Group Ltd (a) | 12,971,518 | ||||||||
283,000 | ENN Energy Holdings Ltd | 5,599,902 | ||||||||
242,200 | Everbright Securities Co Ltd – Class H (a) | 192,727 | ||||||||
5,334,396 | Fangda Special Steel Technology Co Ltd – Class A | 6,698,791 | ||||||||
2,878,500 | Fantasia Holdings Group Co Ltd * | 262,185 | ||||||||
4,353,000 | Fosun International Ltd | 5,506,093 | ||||||||
684,000 | Geely Automobile Holdings Ltd | 2,478,969 | ||||||||
1,068,000 | Genertec Universal Medical Group Co Ltd | 868,893 | ||||||||
641,000 | Greenland Hong Kong Holdings Ltd | 177,884 | ||||||||
1,932,000 | Guangdong Investment Ltd | 2,683,120 | ||||||||
282,400 | Guangdong Tapai Group Co Ltd – Class A | 450,696 | ||||||||
580,000 | Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H | 1,480,374 | ||||||||
3,602,400 | Guangzhou R&F Properties Co Ltd – Class H (a) | 3,071,444 | ||||||||
83,800 | Haier Smart Home Co Ltd – Class H | 315,675 | ||||||||
173,000 | Haitian International Holdings Ltd | 661,474 | ||||||||
495,000 | Hello Group Inc Sponsored ADR (b) | 6,504,300 | ||||||||
119,000 | Hengan International Group Co Ltd | 689,139 | ||||||||
2,901,844 | Hisense Home Appliances Group Co Ltd – Class A | 5,725,346 | ||||||||
1,000,000 | Hisense Home Appliances Group Co Ltd – Class H | 1,173,973 |
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
68,100 | Hollysys Automation Technologies Ltd | 1,338,165 | ||||||||
798,100 | Hopson Development Holdings Ltd | 3,109,161 | ||||||||
497,700 | Industrial & Commercial Bank of China Ltd – Class A | 355,551 | ||||||||
19,660,400 | Industrial & Commercial Bank of China Ltd – Class H | 10,948,374 | ||||||||
1,513,039 | Inner Mongolia Eerduosi Resources Co Ltd – Class A | 8,499,996 | ||||||||
891,500 | Kingboard Holdings Ltd | 4,383,437 | ||||||||
530,000 | Kingboard Laminates Holdings Ltd | 1,042,228 | ||||||||
488,000 | Kunlun Energy Co Ltd | 516,128 | ||||||||
339,000 | KWG Group Holdings Ltd | 356,897 | ||||||||
79,100 | Lao Feng Xiang Co Ltd – Class A | 568,990 | ||||||||
749,200 | Legend Holdings Corp – Class H | 1,206,224 | ||||||||
6,362,000 | Lenovo Group Ltd (a) | 7,017,492 | ||||||||
583,300 | Livzon Pharmaceutical Group Inc – Class H | 2,155,118 | ||||||||
652,000 | Logan Group Co Ltd | 777,159 | ||||||||
678,500 | Longfor Group Holdings Ltd | 2,936,084 | ||||||||
8,412,000 | Lonking Holdings Ltd | 2,637,122 | ||||||||
141,800 | Lufax Holding Ltd ADR * | 1,229,406 | ||||||||
9,624,000 | Metallurgical Corp of China Ltd – Class H | 3,827,983 | ||||||||
68,200 | NetEase Inc | 1,305,606 | ||||||||
38,700 | NetEase Inc ADR (b) | 3,770,154 | ||||||||
2,837,000 | Nexteer Automotive Group Ltd | 3,194,998 | ||||||||
4,054,000 | Nine Dragons Paper Holdings Ltd | 5,538,247 | ||||||||
2,486,000 | PAX Global Technology Ltd | 3,073,541 | ||||||||
49,700 | PetroChina Co Ltd ADR | 2,167,417 | ||||||||
10,374,000 | PetroChina Co Ltd – Class H | 4,531,570 | ||||||||
13,201,000 | PICC Property & Casualty Co Ltd – Class H | 11,935,184 | ||||||||
243,000 | Ping An Insurance Group Co of China Ltd – Class A | 1,877,696 | ||||||||
754,000 | Poly Property Group Co Ltd | 199,508 | ||||||||
6,393,021 | Postal Savings Bank of China Co Ltd – Class A | 5,078,642 | ||||||||
87,000 | Postal Savings Bank of China Co Ltd – Class H | 62,677 | ||||||||
2,985,000 | Powerlong Real Estate Holdings Ltd | 2,424,987 | ||||||||
287,000 | Road King Infrastructure Ltd | 326,056 | ||||||||
562,000 | Seazen Group Ltd * | 497,755 | ||||||||
1,108,000 | Shanghai Jin Jiang Capital Co Ltd – Class H | 217,638 | ||||||||
201,800 | Shanghai Mechanical and Electrical Industry Co Ltd – Class A | 487,259 | ||||||||
47,500 | Shanghai Pharmaceuticals Holding Co Ltd – Class A | 141,081 | ||||||||
3,041,700 | Shanghai Pharmaceuticals Holding Co Ltd – Class H | 6,034,212 | ||||||||
78,400 | Shenzhou International Group Holdings Ltd | 1,699,408 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
3,572,576 | Shimao Group Holdings Ltd | 7,382,080 | ||||||||
150,000 | Shougang Fushan Resources Group Ltd | 48,148 | ||||||||
7,089,000 | Sihuan Pharmaceutical Holdings Group Ltd | 2,105,321 | ||||||||
3,714,500 | Sinopec Engineering Group Co Ltd – Class H | 1,968,182 | ||||||||
7,949,200 | Sinopharm Group Co Ltd – Class H | 20,457,303 | ||||||||
2,947,000 | Sinotruk Hong Kong Ltd | 5,806,368 | ||||||||
7,924,000 | Skyworth Group Ltd * | 2,475,555 | ||||||||
176,000 | Sun Art Retail Group Ltd (a) | 106,775 | ||||||||
1,055,000 | Sunac China Holdings Ltd | 2,697,441 | ||||||||
21,300 | Sunny Optical Technology Group Co Ltd | 644,571 | ||||||||
5,146,000 | TCL Electronics Holdings Ltd * | 2,726,114 | ||||||||
404,337 | Tencent Holdings Ltd | 24,972,977 | ||||||||
34,300 | Tencent Holdings Ltd ADR (b) | 2,114,938 | ||||||||
914,000 | Tianjin Port Development Holdings Ltd | 75,013 | ||||||||
3,734,000 | Tianneng Power International Ltd (a) | 4,997,411 | ||||||||
90,894 | Tsingtao Brewery Co Ltd – Class A | 1,213,767 | ||||||||
66,000 | Tsingtao Brewery Co Ltd – Class H | 540,041 | ||||||||
65,000 | Want Want China Holdings Ltd | 44,171 | ||||||||
1,382,000 | Weichai Power Co Ltd – Class H | 3,487,268 | ||||||||
3,605,568 | Weifu High-Technology Group Co Ltd – Class A | 12,922,273 | ||||||||
3,476,000 | West China Cement Ltd | 554,332 | ||||||||
8,000 | Yum China Holdings Inc | 492,480 | ||||||||
9,265,167 | Yuzhou Group Holdings Co Ltd (a) | 1,785,729 | ||||||||
242,000 | Zhejiang Expressway Co Ltd – Class H | 212,216 | ||||||||
232,379 | Zhejiang Weixing New Building Materials Co Ltd – Class A | 710,168 | ||||||||
2,418,296 | Zhengzhou Coal Mining Machinery Group Co Ltd – Class A | 4,886,483 | ||||||||
1,233,000 | Zhongsheng Group Holdings Ltd | 10,309,109 | ||||||||
104,700 | Zhuzhou CRRC Times Electric Co Ltd – Class H * | 629,262 | ||||||||
|
| |||||||||
Total China | 611,920,695 | |||||||||
|
| |||||||||
Czech Republic — 0.0% | ||||||||||
11,199 | CEZ AS | 353,015 | ||||||||
1,388 | Komercni Banka AS * | 53,370 | ||||||||
366,110 | Moneta Money Bank AS * | 1,486,489 | ||||||||
220 | Philip Morris CR AS | 159,761 | ||||||||
|
| |||||||||
Total Czech Republic | 2,052,635 | |||||||||
|
| |||||||||
Denmark — 0.4% | ||||||||||
655 | AP Moller – Maersk A/S – Class A | 1,775,004 | ||||||||
826 | AP Moller – Maersk A/S – Class B | 2,353,075 | ||||||||
2,629 | Carlsberg A/S – Class B | 459,194 | ||||||||
511,554 | Danske Bank A/S | 8,584,136 | ||||||||
17,339 | Matas A/S | 359,135 | ||||||||
72,346 | Pandora A/S | 8,671,689 |
Shares | Description | Value ($) | ||||||||
Denmark — continued | ||||||||||
60,981 | Scandinavian Tobacco Group A/S | 1,238,450 | ||||||||
|
| |||||||||
Total Denmark | 23,440,683 | |||||||||
|
| |||||||||
Egypt — 0.0% | ||||||||||
75,397 | Commercial International Bank Egypt SAE * | 221,819 | ||||||||
147,213 | Eastern Co SAE | 110,212 | ||||||||
53,203 | ElSewedy Electric Co | 29,413 | ||||||||
221,375 | Medinet Nasr Housing | 43,435 | ||||||||
|
| |||||||||
Total Egypt | 404,879 | |||||||||
|
| |||||||||
Finland — 0.3% | ||||||||||
66,509 | Kesko Oyj – B Shares | 2,752,110 | ||||||||
76,052 | Neste Oyj | 4,632,474 | ||||||||
1,390,453 | Nokia Oyj * | 8,352,633 | ||||||||
5,821 | Sanoma Oyj (b) | 106,911 | ||||||||
10,460 | Tokmanni Group Corp | 301,767 | ||||||||
23,485 | UPM-Kymmene Oyj | 956,745 | ||||||||
17,130 | Uponor Oyj | 552,437 | ||||||||
|
| |||||||||
Total Finland | 17,655,077 | |||||||||
|
| |||||||||
France — 1.4% | ||||||||||
46,270 | ALD SA | 651,664 | ||||||||
3,411 | Amundi SA | 322,828 | ||||||||
27,444 | APERAM SA | 1,683,720 | ||||||||
68,589 | ArcelorMittal SA | 2,300,474 | ||||||||
2,133 | Axway Software SA (b) | 72,350 | ||||||||
213,986 | BNP Paribas SA | 13,555,983 | ||||||||
1,836 | Boiron SA (a) | 91,095 | ||||||||
909 | Caisse Regionale de Credit Agricole Mutuel Nord de France | 22,104 | ||||||||
681 | Christian Dior SE | 514,789 | ||||||||
98,865 | Cie de Saint-Gobain | 7,167,014 | ||||||||
236,007 | Credit Agricole SA | 3,406,458 | ||||||||
105,597 | Derichebourg SA * | 1,249,886 | ||||||||
2,480 | Fnac Darty SA | 168,952 | ||||||||
820 | Groupe Crit (a) | 64,933 | ||||||||
989 | HEXAOM | 58,870 | ||||||||
33,189 | IPSOS (b) | 1,608,646 | ||||||||
5,079 | Kaufman & Broad SA | 236,546 | ||||||||
5,388 | Kering SA | 4,291,653 | ||||||||
6,872 | LVMH Moet Hennessy Louis Vuitton SE | 5,090,847 | ||||||||
3,010 | Maisons du Monde SA | 69,511 | ||||||||
1,885 | Mersen SA | 73,538 | ||||||||
66,614 | Metropole Television SA | 1,418,514 | ||||||||
14,727 | Nexity SA | 760,523 | ||||||||
229,653 | Orange SA | 2,610,971 | ||||||||
147,780 | Publicis Groupe SA (b) | 9,701,765 | ||||||||
41,751 | Quadient SA | 1,185,648 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
France — continued | ||||||||||
2,190 | Rothschild & Co | 86,584 | ||||||||
51,857 | Safran SA | 6,505,232 | ||||||||
1,857 | SEB SA | 292,314 | ||||||||
7,094 | Societe BIC SA | 472,292 | ||||||||
311,710 | Societe Generale SA | 9,810,795 | ||||||||
1,769 | Synergie SE | 76,318 | ||||||||
147,200 | Television Francaise 1 | 1,477,618 | ||||||||
2,003 | TotalEnergies SE (c) | 88,236 | ||||||||
18,580 | TotalEnergies SE (c) | 821,842 | ||||||||
10,717 | Vicat SA | 534,049 | ||||||||
1,584 | Vilmorin & Cie SA | 102,521 | ||||||||
|
| |||||||||
Total France | 78,647,083 | |||||||||
|
| |||||||||
Germany — 1.7% | ||||||||||
21,598 | ADVA Optical Networking SE * | 357,970 | ||||||||
279 | Amadeus Fire AG | 57,341 | ||||||||
125,860 | Bayer AG (Registered) | 7,001,699 | ||||||||
75,359 | Bayerische Motoren Werke AG | 7,152,981 | ||||||||
34,377 | Beiersdorf AG | 4,172,133 | ||||||||
85,902 | CECONOMY AG * | 402,597 | ||||||||
933 | Cewe Stiftung & Co KGaA | 139,291 | ||||||||
196,492 | Daimler AG (Registered) | 16,575,033 | ||||||||
25,634 | Deutsche Post AG (Registered) | 1,802,303 | ||||||||
13,450 | Deutz AG * | 122,833 | ||||||||
223,355 | Dialog Semiconductor Plc * | 17,753,487 | ||||||||
3,472 | Draegerwerk AG & Co KGaA | 294,886 | ||||||||
142,273 | Fresenius SE & Co KGaA | 7,397,233 | ||||||||
887 | Grammer AG * | 25,722 | ||||||||
4,837 | Hamburger Hafen und Logistik AG | 106,631 | ||||||||
65,624 | HeidelbergCement AG | 5,691,338 | ||||||||
3,127 | Hornbach Baumarkt AG | 125,111 | ||||||||
9,501 | Hornbach Holding AG & Co KGaA | 1,016,357 | ||||||||
94,482 | Kloeckner & Co SE * | 1,275,692 | ||||||||
7,767 | Merck KGaA | 1,845,414 | ||||||||
94,271 | ProSiebenSat.1 Media SE (b) | 1,799,794 | ||||||||
11,900 | RTL Group SA | 739,460 | ||||||||
2,861 | Salzgitter AG * | 107,846 | ||||||||
39,868 | SAP SE (b) | 5,988,570 | ||||||||
47,652 | Siltronic AG | 7,786,568 | ||||||||
9,259 | Traton SE | 273,348 | ||||||||
12,833 | Volkswagen AG | 4,293,821 | ||||||||
813 | Wuestenrot & Wuerttembergische AG | 17,888 | ||||||||
|
| |||||||||
Total Germany | 94,323,347 | |||||||||
|
| |||||||||
Greece — 0.0% | ||||||||||
14,301 | Mytilineos SA | 268,480 | ||||||||
|
| |||||||||
Hong Kong — 0.7% | ||||||||||
232,700 | Budweiser Brewing Co APAC Ltd | 581,453 | ||||||||
277,000 | Chow Sang Sang Holdings International Ltd | 421,374 |
Shares | Description | Value ($) | ||||||||
Hong Kong — continued | ||||||||||
2,229,000 | CITIC Telecom International Holdings Ltd | 774,018 | ||||||||
7,500 | CK Asset Holdings Ltd | 48,841 | ||||||||
1,226,000 | CK Hutchison Holdings Ltd | 8,937,667 | ||||||||
1,170,000 | CSI Properties Ltd | 37,211 | ||||||||
274,400 | Dah Sing Banking Group Ltd | 263,881 | ||||||||
192,800 | Dah Sing Financial Holdings Ltd | 599,811 | ||||||||
5,016,000 | First Pacific Co Ltd | 1,870,055 | ||||||||
994,000 | Giordano International Ltd | 211,837 | ||||||||
102,000 | HKT Trust & HKT Ltd – Class SS | 139,086 | ||||||||
1,040,213 | I-CABLE Communications Ltd * | 9,632 | ||||||||
995,000 | IGG Inc | 950,324 | ||||||||
384,000 | Johnson Electric Holdings Ltd | 879,420 | ||||||||
443,000 | K Wah International Holdings Ltd | 194,252 | ||||||||
174,000 | Kerry Logistics Network Ltd (a) | 552,926 | ||||||||
940,000 | Kerry Properties Ltd | 3,198,071 | ||||||||
1,319,000 | Pacific Textiles Holdings Ltd | 703,549 | ||||||||
8,427,000 | PCCW Ltd | 4,394,781 | ||||||||
201,000 | Regal Real Estate Investment Trust | 39,819 | ||||||||
1,772,000 | Shun Tak Holdings Ltd * | 507,780 | ||||||||
350,000 | Singamas Container Holdings Ltd * | 52,202 | ||||||||
47,000 | SITC International Holdings Co Ltd | 204,736 | ||||||||
139,500 | SmarTone Telecommunications Holdings Ltd | 78,593 | ||||||||
332,000 | Sun Hung Kai & Co Ltd | 181,794 | ||||||||
11,500 | Sun Hung Kai Properties Ltd | 162,196 | ||||||||
227,500 | Swire Pacific Ltd – Class A | 1,540,136 | ||||||||
40,000 | TAI Cheung Holdings Ltd | 27,211 | ||||||||
1,062,000 | VSTECS Holdings Ltd | 998,888 | ||||||||
297,200 | VTech Holdings Ltd | 2,886,793 | ||||||||
5,239,000 | WH Group Ltd (a) | 4,544,131 | ||||||||
543,000 | Xinyi Glass Holdings Ltd | 2,281,813 | ||||||||
831,000 | Yue Yuen Industrial Holdings Ltd * | 1,685,242 | ||||||||
|
| |||||||||
Total Hong Kong | 39,959,523 | |||||||||
|
| |||||||||
Hungary — 0.0% | ||||||||||
18,474 | OTP Bank Nyrt * | 1,115,677 | ||||||||
|
| |||||||||
India — 2.4% | ||||||||||
362,378 | Apollo Tyres Ltd | 1,053,952 | ||||||||
142,260 | Arvind Ltd * | 176,158 | ||||||||
67,260 | Asian Paints Ltd | 2,945,180 | ||||||||
218,548 | Axis Bank Ltd * | 2,347,559 | ||||||||
14,712 | Bajaj Electricals Ltd * | 242,406 | ||||||||
445,278 | Balrampur Chini Mills Ltd | 2,252,333 | ||||||||
21,231 | Bombay Burmah Trading Co | 345,165 | ||||||||
10,424 | Clean Science & Technology Ltd * | 217,525 | ||||||||
171,314 | Dhampur Sugar Mills Ltd | 731,587 | ||||||||
22,375 | Dr Reddy’s Laboratories Ltd ADR | 1,436,699 | ||||||||
255,416 | Firstsource Solutions Ltd | 633,053 | ||||||||
97,993 | GAIL India Ltd | 196,532 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
77,288 | Glenmark Pharmaceuticals Ltd | 560,175 | ||||||||
1,561,272 | HCL Technologies Ltd | 25,177,523 | ||||||||
77,139 | HDFC Bank Ltd | 1,663,173 | ||||||||
367,562 | Hindalco Industries Ltd | 2,359,376 | ||||||||
166,924 | Hindustan Petroleum Corp Ltd | 609,387 | ||||||||
70,190 | Hindustan Unilever Ltd | 2,610,189 | ||||||||
66,764 | Housing Development Finance Corp Ltd | 2,546,651 | ||||||||
345,835 | ICICI Bank Ltd | 3,382,013 | ||||||||
1,398,683 | Indiabulls Housing Finance Ltd | 4,277,917 | ||||||||
385,620 | Indian Oil Corp Ltd | 584,894 | ||||||||
62,354 | Infosys Ltd | 1,460,891 | ||||||||
218,800 | Infosys Ltd Sponsored ADR (b) | 5,211,816 | ||||||||
944,221 | IRCON International Ltd | 555,165 | ||||||||
1,740,617 | ITC Ltd | 5,022,055 | ||||||||
239,470 | Jai Balaji Industries Ltd * | 190,353 | ||||||||
479,995 | Karnataka Bank Ltd (The) | 404,012 | ||||||||
288 | Larsen & Toubro Infotech Ltd | 21,012 | ||||||||
424,458 | LT Foods Ltd | 389,775 | ||||||||
363,441 | Mahindra & Mahindra Ltd | 3,937,405 | ||||||||
60,308 | Mindtree Ltd | 2,989,890 | ||||||||
1,927 | Narayana Hrudayalaya Ltd * | 14,145 | ||||||||
1,441,973 | NTPC Ltd | 2,283,815 | ||||||||
8,443,790 | Oil & Natural Gas Corp Ltd | 13,875,787 | ||||||||
3,978,694 | Power Finance Corp Ltd | 7,000,354 | ||||||||
657,619 | PTC India Ltd | 927,908 | ||||||||
110,122 | Rajesh Exports Ltd | 881,466 | ||||||||
6,154,843 | REC Ltd | 12,755,050 | ||||||||
124,196 | Redington India Ltd | 264,816 | ||||||||
85,182 | Tata Consultancy Services Ltd | 4,422,904 | ||||||||
1,875,768 | Tata Motors Ltd * | 7,394,758 | ||||||||
677,179 | Tata Motors Ltd – Class A * | 1,261,189 | ||||||||
83,910 | Titan Co Ltd | 2,202,506 | ||||||||
107,024 | Wipro Ltd | 938,221 | ||||||||
|
| |||||||||
Total India | 130,754,740 | |||||||||
|
| |||||||||
Indonesia — 0.4% | ||||||||||
3,894,300 | Bank Central Asia Tbk PT | 8,939,030 | ||||||||
5,460,700 | Bank Mandiri Persero Tbk PT | 2,334,398 | ||||||||
4,207,684 | Bank Negara Indonesia Persero Tbk PT | 1,589,933 | ||||||||
3,584,900 | Bank Pembangunan Daerah Jawa Timur Tbk PT | 179,627 | ||||||||
24,295,500 | Bank Rakyat Indonesia Persero Tbk PT | 6,681,382 | ||||||||
2,279,400 | Bukit Asam Tbk PT | 337,084 | ||||||||
2,540,600 | Gajah Tunggal Tbk PT | 137,138 | ||||||||
1,406,200 | Indo Tambangraya Megah Tbk PT | 1,576,465 | ||||||||
53,844,000 | Panin Financial Tbk PT * | 705,088 | ||||||||
8,045,700 | Ramayana Lestari Sentosa Tbk PT | 360,550 | ||||||||
3,910,500 | Telkom Indonesia Persero Tbk PT | 933,208 | ||||||||
|
| |||||||||
Total Indonesia | 23,773,903 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Ireland — 0.4% | ||||||||||
345,259 | AIB Group Plc * | 1,037,404 | ||||||||
714,753 | Bank of Ireland Group Plc * | 4,473,832 | ||||||||
1,924 | CRH Plc | 101,926 | ||||||||
45,600 | CRH Plc Sponsored ADR | 2,422,272 | ||||||||
27,458 | Dole Plc * | 440,701 | ||||||||
20,461 | Glanbia Plc | 365,291 | ||||||||
460,993 | Hibernia REIT Plc | 689,913 | ||||||||
7,809 | Kingspan Group Plc | 891,749 | ||||||||
49,568 | Origin Enterprises Plc | 195,594 | ||||||||
77,301 | Permanent TSB Group Holdings Plc * | 127,473 | ||||||||
270,317 | Ryanair Holdings Plc * | 5,056,669 | ||||||||
96,707 | Smurfit Kappa Group Plc (c) | 5,542,653 | ||||||||
14,978 | Smurfit Kappa Group Plc (c) | 858,477 | ||||||||
|
| |||||||||
Total Ireland | 22,203,954 | |||||||||
|
| |||||||||
Israel — 0.3% | ||||||||||
269,421 | Bank Leumi Le-Israel BM | 2,225,744 | ||||||||
44,300 | Check Point Software Technologies Ltd * | 5,565,409 | ||||||||
57,020 | Isracard Ltd | 236,614 | ||||||||
699 | Mizrahi Tefahot Bank Ltd | 23,254 | ||||||||
836,336 | Oil Refineries Ltd* | 182,411 | ||||||||
818,700 | Teva Pharmaceutical Industries Ltd Sponsored ADR * | 7,712,154 | ||||||||
|
| |||||||||
Total Israel | 15,945,586 | |||||||||
|
| |||||||||
Italy — 1.0% | ||||||||||
319,595 | A2A SPA | 702,137 | ||||||||
6,397 | ACEA SPA | 152,760 | ||||||||
67,014 | Anima Holding SPA | 345,652 | ||||||||
52,995 | Arnoldo Mondadori Editore SPA * (b) | 117,004 | ||||||||
24,095 | Banca IFIS SPA | 418,191 | ||||||||
16,981 | Banca Mediolanum SPA | 176,293 | ||||||||
17,247 | Banca Popolare di Sondrio SCPA | 78,489 | ||||||||
245,196 | Banco BPM SPA (a) | 813,157 | ||||||||
154,363 | Buzzi Unicem SPA | 4,097,913 | ||||||||
39,390 | Cementir Holding NV | 446,133 | ||||||||
22,100 | CNH Industrial NV | 364,429 | ||||||||
27,873 | CNH Industrial NV | 460,764 | ||||||||
60,403 | Credito Emiliano SPA | 404,890 | ||||||||
12,516 | De’ Longhi SPA | 566,437 | ||||||||
87,449 | Enel SPA | 796,699 | ||||||||
23,393 | Esprinet SPA | 447,088 | ||||||||
224,503 | EXOR NV | 18,731,054 | ||||||||
100,916 | IMMSI SPA * | 55,946 | ||||||||
161,267 | Italgas SPA | 1,069,136 | ||||||||
23,101 | La Doria SPA | 497,252 | ||||||||
515,491 | Leonardo SPA * | 4,197,375 | ||||||||
163,167 | Mediobanca Banca di Credito Finanziario SPA * | 1,923,496 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Italy — continued | ||||||||||
53,609 | Poste Italiane SPA | 726,827 | ||||||||
1,097 | Prima Industrie SPA * | 27,039 | ||||||||
1,858 | Sabaf SPA | 54,844 | ||||||||
669 | Sesa SPA * | 133,456 | ||||||||
18,596 | Snam SPA | 109,951 | ||||||||
8,333,843 | Telecom Italia SPA | 3,775,808 | ||||||||
17,596,935 | Telecom Italia SPA – RSP | 8,501,628 | ||||||||
13,005 | Unieuro SPA | 339,810 | ||||||||
405,374 | Unipol Gruppo SPA | 2,404,311 | ||||||||
|
| |||||||||
Total Italy | 52,935,969 | |||||||||
|
| |||||||||
Japan — 12.3% | ||||||||||
8,900 | ADEKA Corp | 194,291 | ||||||||
1,900 | Advantest Corp | 163,688 | ||||||||
78,800 | Aeon Delight Co Ltd (a) | 2,549,547 | ||||||||
605,000 | Aeon Mall Co Ltd (a) | 9,213,614 | ||||||||
4,800 | AGC Inc | 231,881 | ||||||||
15,500 | Aichi Corp | 104,346 | ||||||||
18,600 | Aisin Corp | 709,990 | ||||||||
792,600 | Amada Co Ltd | 8,034,724 | ||||||||
211,600 | Amano Corp | 5,371,500 | ||||||||
29,500 | AOKI Holdings Inc | 167,709 | ||||||||
34,100 | Arcland Sakamoto Co Ltd | 474,830 | ||||||||
178,600 | Arcs Co Ltd (a) | 3,630,736 | ||||||||
990,600 | Asahi Kasei Corp | 10,213,162 | ||||||||
376,000 | Astellas Pharma Inc | 6,335,566 | ||||||||
9,100 | Bando Chemical Industries Ltd | 76,300 | ||||||||
182,700 | Brother Industries Ltd | 3,749,293 | ||||||||
5,900 | Bunka Shutter Co Ltd | 62,477 | ||||||||
5,600 | Canon Electronics Inc | 81,283 | ||||||||
26,100 | Canon Marketing Japan Inc | 595,103 | ||||||||
4,800 | Central Glass Co Ltd | 96,834 | ||||||||
4,000 | Chiyoda Integre Co Ltd | 69,856 | ||||||||
225,700 | Chubu Electric Power Co Inc | 2,729,257 | ||||||||
383,900 | Chugoku Marine Paints Ltd | 3,155,322 | ||||||||
9,600 | CONEXIO Corp | 132,940 | ||||||||
5,900 | Credit Saison Co Ltd | 67,110 | ||||||||
13,700 | Dai Nippon Toryo Co Ltd | 106,020 | ||||||||
4,000 | Dai-Dan Co Ltd | 98,232 | ||||||||
103,600 | Daihen Corp | 4,510,756 | ||||||||
4,800 | Daiichi Jitsugyo Co Ltd | 205,424 | ||||||||
2,800 | Daito Pharmaceutical Co Ltd (a) | 91,812 | ||||||||
130,400 | Daiwa House Industry Co Ltd | 3,976,383 | ||||||||
6,200 | Daiwa Industries Ltd | 68,782 | ||||||||
791,000 | Daiwabo Holdings Co Ltd | 15,028,997 | ||||||||
278,800 | Denka Co Ltd | 9,772,014 | ||||||||
176,500 | Ebara Corp | 8,773,283 | ||||||||
114,300 | Electric Power Development Co Ltd | 1,707,476 | ||||||||
9,200 | FJ Next Co Ltd (a) | 85,916 | ||||||||
281,100 | Fuji Corp | 7,276,822 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
4,300 | Fuji Pharma Co Ltd | 45,103 | ||||||||
2,900 | Fujimori Kogyo Co Ltd | 120,732 | ||||||||
22,500 | Fujitsu Ltd (b) | 4,141,954 | ||||||||
6,800 | Furuno Electric Co Ltd | 67,499 | ||||||||
7,800 | Furyu Corp | 110,232 | ||||||||
7,400 | G-7 Holdings Inc (a) | 267,218 | ||||||||
3,400 | Hakuto Co Ltd | 55,695 | ||||||||
21,800 | Hanwa Co Ltd | 653,702 | ||||||||
739,494 | Haseko Corp | 10,227,248 | ||||||||
959,900 | Hazama Ando Corp | 7,159,700 | ||||||||
5,900 | Heiwado Co Ltd (a) | 117,309 | ||||||||
226,500 | Hitachi Ltd | 12,517,863 | ||||||||
2,700 | Hochiki Corp | 28,784 | ||||||||
122,000 | Hogy Medical Co Ltd | 3,815,432 | ||||||||
21,800 | Hokuhoku Financial Group Inc | 167,090 | ||||||||
517,400 | Honda Motor Co Ltd | 15,659,947 | ||||||||
111,800 | Horiba Ltd | 7,989,853 | ||||||||
1,900 | Hosokawa Micron Corp | 113,577 | ||||||||
10,100 | Hyakujushi Bank Ltd (The) | 146,105 | ||||||||
109,200 | Iida Group Holdings Co Ltd | 2,772,276 | ||||||||
284,800 | Inabata & Co Ltd | 4,356,689 | ||||||||
3,000 | Information Services International-Dentsu Ltd (b) | 117,022 | ||||||||
1,525,100 | Inpex Corp | 10,478,796 | ||||||||
33,600 | Isuzu Motors Ltd | 424,747 | ||||||||
524,800 | ITOCHU Corp | 15,786,571 | ||||||||
32,300 | Itochu Enex Co Ltd | 289,567 | ||||||||
1,600 | Itochu-Shokuhin Co Ltd | 76,965 | ||||||||
58,500 | Itoham Yonekyu Holdings Inc | 394,946 | ||||||||
29,400 | Itoki Corp | 95,828 | ||||||||
13,300 | Jaccs Co Ltd | 332,447 | ||||||||
190,200 | JAFCO Group Co Ltd | 11,487,057 | ||||||||
19,500 | Japan Petroleum Exploration Co Ltd | 335,469 | ||||||||
88,700 | Japan Post Insurance Co Ltd | 1,610,799 | ||||||||
15,000 | Juroku Bank Ltd (The) | 316,623 | ||||||||
450,700 | JVCKenwood Corp | 852,174 | ||||||||
821,100 | K’s Holdings Corp | 8,975,204 | ||||||||
237,100 | Kadokawa Corp | 10,873,603 | ||||||||
11,500 | Kaga Electronics Co Ltd | 302,637 | ||||||||
298,900 | Kajima Corp | 3,861,864 | ||||||||
13,800 | Kamei Corp | 147,212 | ||||||||
118,900 | Kanamoto Co Ltd | 2,716,993 | ||||||||
54,900 | Kandenko Co Ltd | 471,704 | ||||||||
396,200 | Kanematsu Corp | 5,095,313 | ||||||||
4,400 | Kato Sangyo Co Ltd | 134,566 | ||||||||
689,900 | KDDI Corp | 21,087,054 | ||||||||
53,500 | Kinden Corp | 905,812 | ||||||||
19,400 | Kitz Corp | 143,613 | ||||||||
1,879 | Kohnan Shoji Co Ltd (a) | 61,948 | ||||||||
29,500 | Kokuyo Co Ltd | 516,159 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
43,100 | Komeri Co Ltd | 988,295 | ||||||||
492,900 | Konica Minolta Inc | 2,501,519 | ||||||||
266,200 | Konoike Transport Co Ltd | 3,312,853 | ||||||||
1,700 | Krosaki Harima Corp | 75,870 | ||||||||
5,800 | Kumagai Gumi Co Ltd | 141,631 | ||||||||
11,300 | Kyokuto Kaihatsu Kogyo Co Ltd | 169,595 | ||||||||
13,600 | Kyosan Electric Manufacturing Co Ltd | 58,298 | ||||||||
474,000 | Kyowa Exeo Corp | 11,894,922 | ||||||||
285,500 | Kyudenko Corp | 10,265,727 | ||||||||
1,800 | Macnica Fuji Electronics Holdings Inc | 43,300 | ||||||||
354,700 | Macromill Inc | 2,436,588 | ||||||||
233,000 | Mandom Corp | 3,524,670 | ||||||||
62,000 | Marubeni Corp | 493,291 | ||||||||
3,100 | Maruha Nichiro Corp | 71,538 | ||||||||
336,600 | Maruichi Steel Tube Ltd | 8,275,994 | ||||||||
5,400 | Maruzen Showa Unyu Co Ltd | 166,917 | ||||||||
5,000 | Matsuda Sangyo Co Ltd | 132,717 | ||||||||
347,600 | Maxell Holdings Ltd * | 4,086,478 | ||||||||
43,200 | MCJ Co Ltd | 481,365 | ||||||||
196,500 | Mebuki Financial Group Inc | 439,137 | ||||||||
900 | Megmilk Snow Brand Co Ltd | 18,863 | ||||||||
8,900 | Meidensha Corp | 198,669 | ||||||||
1,600 | Melco Holdings Inc | 75,500 | ||||||||
136,100 | Mitsubishi Gas Chemical Co Inc | 2,564,485 | ||||||||
2,800 | Mitsubishi Research Institute Inc (b) | 108,624 | ||||||||
3,622,500 | Mitsubishi UFJ Financial Group Inc | 19,653,658 | ||||||||
11,100 | Mitsuboshi Belting Ltd | 202,913 | ||||||||
31,800 | Mitsui & Co Ltd | 701,367 | ||||||||
45,000 | Mitsui Chemicals Inc | 1,553,508 | ||||||||
12,600 | Mitsui DM Sugar Holdings Co Ltd | 221,631 | ||||||||
39,270 | Mixi Inc (b) | 901,901 | ||||||||
13,900 | Modec Inc | 204,822 | ||||||||
273,100 | Morinaga & Co Ltd | 9,577,728 | ||||||||
343,400 | MS&AD Insurance Group Holdings Inc | 11,115,470 | ||||||||
13,800 | MTI Ltd (a) | 89,251 | ||||||||
43,900 | NEC Networks & System Integration Corp (b) | 836,824 | ||||||||
267,000 | NH Foods Ltd | 10,360,450 | ||||||||
12,400 | Nichias Corp | 328,870 | ||||||||
16,000 | Nichiha Corp | 470,790 | ||||||||
8,400 | Nichireki Co Ltd | 98,164 | ||||||||
27,800 | Nippn Corp | 408,559 | ||||||||
48,800 | Nippo Corp | 1,433,981 | ||||||||
1,900 | Nippon Steel Trading Corp | 86,798 | ||||||||
643,700 | Nippon Telegraph & Telephone Corp | 17,149,959 | ||||||||
102,300 | Nippon Television Holdings Inc (b) | 1,090,881 | ||||||||
48,200 | Nishi-Nippon Financial Holdings Inc | 304,182 | ||||||||
7,100 | Nisshin Oillio Group Ltd (The) | 197,423 | ||||||||
3,800 | Nissin Corp | 52,567 | ||||||||
20,600 | Nojima Corp | 507,190 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
24,900 | Nomura Real Estate Holdings Inc | 637,670 | ||||||||
1,322,100 | Obayashi Corp | 10,878,742 | ||||||||
41,700 | Okamura Corp | 641,425 | ||||||||
1,500 | Okinawa Cellular Telephone Co | 70,962 | ||||||||
12,000 | Organo Corp | 692,769 | ||||||||
1,386,700 | ORIX Corp | 25,872,315 | ||||||||
86,300 | Osaka Gas Co Ltd | 1,617,691 | ||||||||
3,700 | Osaka Soda Co Ltd | 89,676 | ||||||||
7,700 | Osaki Electric Co Ltd | 39,157 | ||||||||
367,300 | Pacific Industrial Co Ltd | 4,193,358 | ||||||||
616,800 | Penta-Ocean Construction Co Ltd | 3,914,815 | ||||||||
9,100 | Prima Meat Packers Ltd | 246,513 | ||||||||
8,000 | Proto Corp (b) | 107,684 | ||||||||
10,900 | Raito Kogyo Co Ltd | 190,411 | ||||||||
461,700 | Resona Holdings Inc | 1,785,460 | ||||||||
51,600 | Rohm Co Ltd | 4,960,664 | ||||||||
5,700 | Ryoden Corp | 92,488 | ||||||||
63,500 | San-A Co Ltd | 2,336,351 | ||||||||
18,800 | San-Ai Oil Co Ltd | 234,378 | ||||||||
29,800 | San-In Godo Bank Ltd (The) | 155,106 | ||||||||
21,600 | Sanki Engineering Co Ltd | 293,374 | ||||||||
185,200 | Sankyu Inc | 8,618,579 | ||||||||
19,000 | Sanwa Holdings Corp | 252,334 | ||||||||
49,200 | Sawai Group Holdings Co Ltd | 2,223,466 | ||||||||
116,100 | Secom Co Ltd | 8,804,181 | ||||||||
85,500 | Sega Sammy Holdings Inc | 1,153,192 | ||||||||
9,100 | Seikitokyu Kogyo Co Ltd | 69,616 | ||||||||
16,300 | Seiko Epson Corp | 303,584 | ||||||||
36,500 | Sekisui Chemical Co Ltd | 624,668 | ||||||||
474,500 | Sekisui House Ltd | 9,453,558 | ||||||||
7,500 | Sekisui Jushi Corp | 148,954 | ||||||||
11,000 | Shimamura Co Ltd | 969,547 | ||||||||
841,200 | Shimizu Corp | 6,036,426 | ||||||||
6,900 | Shin-Etsu Polymer Co Ltd | 60,726 | ||||||||
800 | Shindengen Electric Manufacturing Co Ltd * | 29,483 | ||||||||
6,000 | Shinnihon Corp | 46,991 | ||||||||
6,600 | Shizuoka Gas Co Ltd | 76,766 | ||||||||
2,000 | Sinanen Holdings Co Ltd | 63,512 | ||||||||
12,700 | Sinko Industries Ltd | 252,012 | ||||||||
942,600 | SKY Perfect JSAT Holdings Inc | 3,494,730 | ||||||||
406,700 | Sojitz Corp | 1,194,051 | ||||||||
48,100 | Subaru Corp | 890,220 | ||||||||
1,792,300 | Sumitomo Chemical Co Ltd | 9,086,273 | ||||||||
622,200 | Sumitomo Dainippon Pharma Co Ltd | 11,168,543 | ||||||||
32,200 | Sumitomo Electric Industries Ltd | 430,050 | ||||||||
578,200 | Sumitomo Forestry Co Ltd | 11,282,533 | ||||||||
3,900 | Sumitomo Heavy Industries Ltd | 102,022 | ||||||||
286,700 | Sumitomo Mitsui Trust Holdings Inc | 9,364,538 | ||||||||
1,500 | Sumitomo Seika Chemicals Co Ltd | 48,017 | ||||||||
32,700 | Suzuki Motor Corp | 1,413,000 | ||||||||
174,700 | T Hasegawa Co Ltd | 4,430,176 | ||||||||
210,500 | Tachi-S Co Ltd | 2,594,706 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
154,100 | Taisei Corp | 4,821,112 | ||||||||
384,100 | Takara Holdings Inc | 4,977,968 | ||||||||
75,800 | Takara Leben Co Ltd | 220,497 | ||||||||
27,200 | Takeuchi Manufacturing Co Ltd | 654,746 | ||||||||
374,100 | Takuma Co Ltd | 5,637,424 | ||||||||
4,200 | Tamron Co Ltd | 100,596 | ||||||||
697,200 | Teijin Ltd | 10,027,740 | ||||||||
269,400 | TIS Inc (b) | 7,605,056 | ||||||||
249,100 | Toho Holdings Co Ltd | 4,323,954 | ||||||||
2,500 | Token Corp | 237,990 | ||||||||
2,743,100 | Tokyo Electric Power Co Holdings Inc * | 7,205,046 | ||||||||
248,900 | Tokyo Seimitsu Co Ltd | 10,872,242 | ||||||||
54,300 | Tokyu Construction Co Ltd | 370,149 | ||||||||
9,800 | Toli Corp | 20,834 | ||||||||
674,000 | Toppan Inc | 11,570,583 | ||||||||
56,600 | Toray Industries Inc | 381,638 | ||||||||
329,900 | Tosei Corp | 3,482,989 | ||||||||
696,749 | Tosoh Corp | 12,646,279 | ||||||||
3,700 | Totetsu Kogyo Co Ltd | 82,614 | ||||||||
19,900 | Towa Pharmaceutical Co Ltd | 533,456 | ||||||||
93,000 | Toyo Construction Co Ltd | 476,063 | ||||||||
2,500 | Toyo Ink SC Holdings Co Ltd | 45,955 | ||||||||
49,800 | Toyota Boshoku Corp | 936,420 | ||||||||
116,800 | Toyota Industries Corp | 9,861,496 | ||||||||
28,200 | Toyota Tsusho Corp | 1,246,946 | ||||||||
31,300 | TS Tech Co Ltd | 423,964 | ||||||||
203,600 | Tsumura & Co | 7,000,463 | ||||||||
4,500 | TV Asahi Holdings Corp (b) | 69,376 | ||||||||
10,600 | Unipres Corp | 87,868 | ||||||||
8,000 | Vital KSK Holdings Inc | 59,083 | ||||||||
8,900 | Wacoal Holdings Corp | 187,012 | ||||||||
9,100 | Warabeya Nichiyo Holdings Co Ltd | 199,128 | ||||||||
26,000 | YAMABIKO Corp | 298,947 | ||||||||
136,000 | Yamada Holdings Co Ltd | 583,458 | ||||||||
91,600 | Yamaguchi Financial Group Inc | 534,152 | ||||||||
12,200 | Yamaha Motor Co Ltd | 310,389 | ||||||||
23,300 | Yamazen Corp | 231,778 | ||||||||
19,300 | Yellow Hat Ltd | 341,533 | ||||||||
161,900 | Yokogawa Bridge Holdings Corp | 3,293,819 | ||||||||
28,200 | Yokohama Rubber Co Ltd (The) | 480,997 | ||||||||
7,200 | Yuasa Trading Co Ltd | 194,372 | ||||||||
236,500 | Zenkoku Hosho Co Ltd | 11,249,809 | ||||||||
|
| |||||||||
Total Japan | 686,039,114 | |||||||||
|
| |||||||||
Kuwait — 0.2% | ||||||||||
16,615 | Gulf Cable & Electrical Industries Co KSCP | 44,985 | ||||||||
46,939 | Humansoft Holding Co KSC | 531,678 | ||||||||
2,799,920 | Kuwait Finance House KSCP | 7,690,813 | ||||||||
333,258 | Kuwait Projects Holding KSCP | 170,589 | ||||||||
99,972 | Mobile Telecommunications Co KSCP | 202,963 | ||||||||
1,173,659 | National Bank of Kuwait SAKP | 3,652,023 | ||||||||
36,684 | Qurain Petrochemical Industries Co | 46,710 | ||||||||
|
| |||||||||
Total Kuwait | 12,339,761 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Luxembourg — 0.0% | ||||||||||
15,500 | Ternium SA Sponsored ADR | 842,890 | ||||||||
|
| |||||||||
Malaysia — 0.0% | ||||||||||
1,365,900 | DRB-Hicom Bhd | 549,397 | ||||||||
2,137,900 | MMC Corp Bhd | 947,019 | ||||||||
252,900 | Pharmaniaga Bhd | 54,717 | ||||||||
543,900 | Top Glove Corp Bhd | 523,309 | ||||||||
258,300 | Westports Holdings Bhd | 273,104 | ||||||||
|
| |||||||||
Total Malaysia | 2,347,546 | |||||||||
|
| |||||||||
Mexico — 1.1% | ||||||||||
44,000 | Arca Continental SAB de CV | 283,424 | ||||||||
301,700 | Banco del Bajio SA | 575,039 | ||||||||
1,201,900 | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander | 1,402,735 | ||||||||
62,000 | Cemex SAB de CV Sponsored ADR * | 508,400 | ||||||||
6,600 | Coca-Cola Femsa SAB de CV Sponsored ADR | 382,140 | ||||||||
27,600 | Concentradora Fibra Danhos SA de CV (REIT) | 34,328 | ||||||||
713,300 | Credito Real SAB de CV SOFOM ER * | 542,682 | ||||||||
136,100 | El Puerto de Liverpool SAB de CV – Class C1 | 604,806 | ||||||||
498,700 | Fibra Uno Administracion SA de CV (REIT) | 562,167 | ||||||||
635,645 | Fomento Economico Mexicano SAB de CV | 5,523,123 | ||||||||
19,100 | Fomento Economico Mexicano SAB de CV Sponsored ADR | 1,656,161 | ||||||||
22,552 | Grupo Aeroportuario del Centro Norte SAB de CV * | 135,925 | ||||||||
519,500 | Grupo Bimbo SAB de CV – Series A | 1,311,942 | ||||||||
3,088,200 | Grupo Financiero Banorte SAB de CV – Class O | 20,384,519 | ||||||||
119,600 | Grupo Financiero Inbursa SAB de CV – Class O * | 114,931 | ||||||||
114,813 | Grupo Herdez SAB de CV – Series * | 248,617 | ||||||||
4,009,444 | Grupo Mexico SAB de CV – Series B | 18,589,894 | ||||||||
19,900 | Industrias Bachoco SAB de CV – Series B | 72,341 | ||||||||
7,500 | Infraestructura Energetica Nova SAB de CV * | 29,337 | ||||||||
70,900 | Kimberly-Clark de Mexico SAB de CV – Class A | 125,815 | ||||||||
130,400 | Qualitas Controladora SAB de CV | 616,939 | ||||||||
135,100 | Regional SAB de CV | 827,794 | ||||||||
321,246 | Unifin Financiera SAB de CV SOFOM ENR * | 455,861 | ||||||||
1,597,100 | Wal-Mart de Mexico SAB de CV | 5,667,462 | ||||||||
|
| |||||||||
Total Mexico | 60,656,382 | |||||||||
|
| |||||||||
Netherlands — 1.4% | ||||||||||
165,285 | ABN AMRO Bank NV CVA * | 2,302,705 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Netherlands — continued | ||||||||||
153,100 | AerCap Holdings NV * | 8,256,683 | ||||||||
58,560 | ASR Nederland NV (a) | 2,675,887 | ||||||||
16,510 | Evander Gold Mines Ltd (d) | 195 | ||||||||
44,285 | ForFarmers NV | 232,715 | ||||||||
726,216 | ING Groep NV | 10,017,696 | ||||||||
49,826 | JDE Peet’s NV | 1,712,359 | ||||||||
1 | Just Eat Takeaway.com NV Sponsored ADR * | 18 | ||||||||
342,203 | Koninklijke Ahold Delhaize NV | 11,545,056 | ||||||||
713,815 | Koninklijke KPN NV | 2,286,612 | ||||||||
162,674 | NN Group NV | 8,438,346 | ||||||||
845,936 | PostNL NV | 4,426,695 | ||||||||
147,210 | Randstad NV | 10,841,451 | ||||||||
162,913 | Signify NV | 9,126,828 | ||||||||
211,382 | Stellantis NV | 4,237,298 | ||||||||
32,485 | Wolters Kluwer NV | 3,735,799 | ||||||||
|
| |||||||||
Total Netherlands | 79,836,343 | |||||||||
|
| |||||||||
New Zealand — 0.1% | ||||||||||
1,290,355 | Meridian Energy Ltd | 4,765,790 | ||||||||
|
| |||||||||
Norway — 0.4% | ||||||||||
122,098 | Aker Solutions ASA * | 225,802 | ||||||||
57,608 | Austevoll Seafood ASA | 739,862 | ||||||||
27,001 | Avance Gas Holding Ltd | 135,298 | ||||||||
104,945 | Bank Norwegian ASA | 1,240,962 | ||||||||
304,272 | BW LPG Ltd | 1,620,103 | ||||||||
158,282 | Elkem ASA * | 673,829 | ||||||||
28,284 | Equinor ASA | 599,455 | ||||||||
182,537 | Europris ASA | 1,289,840 | ||||||||
1,141,728 | Norsk Hydro ASA | 7,881,623 | ||||||||
423,428 | Orkla ASA | 3,782,220 | ||||||||
36,490 | Sbanken ASA | 427,085 | ||||||||
27,627 | Selvaag Bolig ASA | 193,993 | ||||||||
31,165 | SpareBank 1 Nord Norge | 313,856 | ||||||||
48,779 | SpareBank 1 SMN | 699,897 | ||||||||
112,237 | SpareBank 1 SR-Bank ASA | 1,513,775 | ||||||||
13,007 | Veidekke ASA | 166,986 | ||||||||
6,984 | Wallenius Wilhelmsen ASA * | 27,646 | ||||||||
|
| |||||||||
Total Norway | 21,532,232 | |||||||||
|
| |||||||||
Pakistan — 0.1% | ||||||||||
150,733 | Engro Corp Ltd | 266,274 | ||||||||
2,256,558 | Engro Fertilizers Ltd | 1,047,892 | ||||||||
582,113 | Fauji Fertilizer Co Ltd | 370,703 | ||||||||
1,860,954 | Oil & Gas Development Co Ltd | 1,036,833 | ||||||||
281,224 | Pakistan Oilfields Ltd | 658,090 | ||||||||
1,124,569 | Pakistan Petroleum Ltd | 551,622 | ||||||||
355,374 | United Bank Ltd | 259,059 | ||||||||
|
| |||||||||
Total Pakistan | 4,190,473 | |||||||||
|
| |||||||||
Peru — 0.0% | ||||||||||
3,600 | Credicorp Ltd * | 383,868 |
Shares | Description | Value ($) | ||||||||
Peru — continued | ||||||||||
12,900 | Southern Copper Corp | 807,411 | ||||||||
|
| |||||||||
Total Peru | 1,191,279 | |||||||||
|
| |||||||||
Philippines — 0.1% | ||||||||||
45,070 | GT Capital Holdings Inc | 488,549 | ||||||||
209,360 | Manila Electric Co | 1,186,204 | ||||||||
16,554,600 | Megaworld Corp | 937,622 | ||||||||
6,053,000 | Metro Pacific Investments Corp | 468,077 | ||||||||
354,500 | Puregold Price Club Inc | 297,151 | ||||||||
35,730 | Security Bank Corp | 81,238 | ||||||||
1,146,125 | Semirara Mining & Power Corp | 390,958 | ||||||||
|
| |||||||||
Total Philippines | 3,849,799 | |||||||||
|
| |||||||||
Poland — 0.4% | ||||||||||
53,749 | Asseco Poland SA | 1,177,699 | ||||||||
56,262 | Bank Polska Kasa Opieki SA * | 1,573,295 | ||||||||
14,931 | Budimex SA | 1,154,006 | ||||||||
9,809 | Dino Polska SA * | 831,453 | ||||||||
58,477 | Jastrzebska Spolka Weglowa SA * | 616,164 | ||||||||
20,445 | Lubelski Wegiel Bogdanka SA * | 136,816 | ||||||||
363,020 | Polski Koncern Naftowy ORLEN SA | 7,038,440 | ||||||||
1,783,423 | Polskie Gornictwo Naftowe i Gazownictwo SA | 2,933,195 | ||||||||
367,692 | Powszechna Kasa Oszczednosci Bank Polski SA* | 4,036,209 | ||||||||
194,615 | Powszechny Zaklad Ubezpieczen SA * | 2,062,449 | ||||||||
5,086 | Santander Bank Polska SA * | 401,354 | ||||||||
|
| |||||||||
Total Poland | 21,961,080 | |||||||||
|
| |||||||||
Portugal — 0.3% | ||||||||||
190,945 | Altri SGPS SA | 1,271,122 | ||||||||
15,986,159 | Banco Comercial Portugues SA – Class R * (a) | 2,472,693 | ||||||||
134,675 | CTT-Correios de Portugal SA (a) | 730,731 | ||||||||
757,480 | EDP – Energias de Portugal SA | 4,158,220 | ||||||||
514,807 | Galp Energia SGPS SA | 5,265,917 | ||||||||
3,471 | Greenvolt-Energias Renovaveis SA * | 21,885 | ||||||||
322,743 | Navigator Co SA (The) (a) | 1,201,771 | ||||||||
115,542 | NOS SGPS SA | 487,085 | ||||||||
165,158 | REN – Redes Energeticas Nacionais SGPS SA | 483,721 | ||||||||
1,275,811 | Sonae SGPS SA | 1,389,184 | ||||||||
|
| |||||||||
Total Portugal | 17,482,329 | |||||||||
|
| |||||||||
Qatar — 0.1% | ||||||||||
577,173 | Doha Bank QPSC | 456,468 | ||||||||
104,061 | Qatar Electricity & Water Co QSC | 474,572 | ||||||||
1,238,429 | Qatar National Bank QPSC | 6,518,047 | ||||||||
444,065 | Qatar National Cement Co QSC | 610,721 | ||||||||
|
| |||||||||
Total Qatar | 8,059,808 | |||||||||
|
| |||||||||
Russia — 3.5% | ||||||||||
10,611,120 | Alrosa PJSC | 21,123,263 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Russia — continued | ||||||||||
118,750 | Detsky Mir PJSC | 224,868 | ||||||||
19,735 | Etalon Group Plc GDR (Registered) | 33,111 | ||||||||
398,270,000 | Federal Grid Co Unified Energy System PJSC | 1,071,511 | ||||||||
214,678 | Fix Price Group Ltd GDR * (e) | 2,004,020 | ||||||||
8,710 | Gazprom Neft PJSC | 50,656 | ||||||||
2,303,010 | Gazprom PJSC | 9,602,745 | ||||||||
2,074,357 | Gazprom PJSC Sponsored ADR | 17,198,467 | ||||||||
205,275 | Globaltrans Investment Plc Sponsored GDR (Registered) | 1,688,268 | ||||||||
68,844,300 | Inter RAO UES PJSC | 4,338,009 | ||||||||
91,239 | LSR Group PJSC | 967,623 | ||||||||
4 | LSR Group PJSC GDR (Registered) (e) | 8 | ||||||||
95,719 | LUKOIL PJSC | 8,185,033 | ||||||||
48,990 | LUKOIL PJSC Sponsored ADR | 4,149,403 | ||||||||
68,013 | M.Video PJSC | 580,049 | ||||||||
2,447 | Magnit PJSC | 185,411 | ||||||||
89,804 | Magnit PJSC Sponsored GDR (Registered) | 1,366,889 | ||||||||
2,912,560 | Magnitogorsk Iron & Steel Works PJSC | 2,944,420 | ||||||||
116,953 | Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered) | 1,523,813 | ||||||||
237,343 | MMC Norilsk Nickel PJSC ADR | 7,809,714 | ||||||||
76,700 | Mobile TeleSystems PJSC Sponsored ADR | 719,445 | ||||||||
2,878,580 | Moscow Exchange MICEX-RTS PJSC | 7,202,508 | ||||||||
20,485 | Novatek PJSC Sponsored GDR (Registered) | 4,855,227 | ||||||||
558,520 | Novolipetsk Steel PJSC | 1,883,137 | ||||||||
350,666 | Novolipetsk Steel PJSC GDR | 11,710,686 | ||||||||
25,344 | PhosAgro PJSC GDR (Registered) | 498,782 | ||||||||
438,110 | Polymetal International Plc | 8,728,988 | ||||||||
3,842 | Polyus PJSC | 693,239 | ||||||||
69,207 | Polyus PJSC GDR (Registered) | 6,138,526 | ||||||||
155,892 | QIWI Plc Sponsored ADR (c) | 1,490,328 | ||||||||
4,500 | QIWI Plc Sponsored ADR (c) | 42,872 | ||||||||
22,430 | Raspadskaya OJSC | 117,578 | ||||||||
5,842 | Ros Agro Plc GDR (Registered) | 93,709 | ||||||||
22,749,000 | RusHydro PJSC | 255,804 | ||||||||
30,090 | Safmar Financial Investment * | 182,310 | ||||||||
2,543,540 | Sberbank of Russia PJSC | 11,413,362 | ||||||||
1,570,540 | Sberbank of Russia PJSC Sponsored ADR | 28,048,118 | ||||||||
41,638 | Severstal PJSC | 977,458 | ||||||||
261,426 | Severstal PJSC GDR (Registered) | 6,067,370 | ||||||||
271,500 | Surgutneftegas PJSC | 125,294 | ||||||||
2,815,715 | Surgutneftegas PJSC Sponsored ADR | 13,002,268 | ||||||||
95,840 | Tatneft PJSC Sponsored ADR | 3,815,795 | ||||||||
6,334 | TCS Group Holding Plc GDR (Registered) | 560,202 | ||||||||
17,667,000 | Unipro PJSC | 679,512 | ||||||||
376,156 | VTB Bank PJSC GDR (Registered) | 523,554 | ||||||||
60,226 | X5 Retail Group NV GDR (Registered) | 1,995,441 | ||||||||
|
| |||||||||
Total Russia | 196,868,794 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
Singapore — 0.5% | ||||||||||
648,700 | Asian Pay Television Trust | 62,668 | ||||||||
81,400 | CapitaLand Integrated Commercial Trust (REIT) | 124,325 | ||||||||
171,573 | CapitaLand Ltd | 509,053 | ||||||||
1,106,100 | ComfortDelGro Corp Ltd (a) | 1,329,218 | ||||||||
222,924 | DBS Group Holdings Ltd | 4,942,910 | ||||||||
512,600 | First Real Estate Investment Trust | 100,952 | ||||||||
3,114,200 | Golden Agri-Resources Ltd | 531,361 | ||||||||
940,299 | Japfa Ltd (a) | 496,344 | ||||||||
144,900 | Jardine Cycle & Carriage Ltd | 2,089,114 | ||||||||
181,600 | Keppel Corp Ltd | 700,079 | ||||||||
242,500 | Sasseur Real Estate Investment Trust | 164,933 | ||||||||
1,178,100 | Sembcorp Industries Ltd | 1,686,459 | ||||||||
954,100 | Silverlake Axis Ltd (a) | 198,069 | ||||||||
279,000 | StarHub Ltd | 252,625 | ||||||||
16,000 | UOL Group Ltd | 83,036 | ||||||||
848,200 | Wilmar International Ltd | 2,604,822 | ||||||||
9,629,477 | Yangzijiang Shipbuilding Holdings Ltd | 11,726,088 | ||||||||
866,500 | Yanlord Land Group Ltd | 765,174 | ||||||||
|
| |||||||||
Total Singapore | 28,367,230 | |||||||||
|
| |||||||||
South Africa — 1.1% | ||||||||||
1,883,762 | Absa Group Ltd * | 20,400,862 | ||||||||
39,427 | AECI Ltd | 277,837 | ||||||||
74,807 | Aspen Pharmacare Holdings Ltd * | 1,008,686 | ||||||||
89,728 | Astral Foods Ltd | 907,533 | ||||||||
199,033 | Barloworld Ltd | 1,480,151 | ||||||||
434,471 | Bidvest Group Ltd (The) | 6,126,111 | ||||||||
717,831 | Blue Label Telecoms Ltd * | 289,720 | ||||||||
118,327 | Foschini Group Ltd (The) * | 1,217,426 | ||||||||
313,258 | Imperial Logistics Ltd | 1,351,687 | ||||||||
215,861 | Investec Ltd | 920,766 | ||||||||
164,368 | Kumba Iron Ore Ltd | 7,381,655 | ||||||||
350,319 | Lewis Group Ltd | 1,029,773 | ||||||||
312,605 | Motus Holdings Ltd | 1,995,205 | ||||||||
14,981 | Mr Price Group Ltd | 224,338 | ||||||||
340,181 | MTN Group Ltd * | 3,122,428 | ||||||||
19,074 | Naspers Ltd – N Shares | 3,291,009 | ||||||||
570,943 | Pepkor Holdings Ltd * | 907,559 | ||||||||
204,636 | Reunert Ltd | 732,555 | ||||||||
2,194,305 | RMB Holdings Ltd | 222,589 | ||||||||
38,560 | Santam Ltd * | 660,312 | ||||||||
856,601 | Telkom SA SOC Ltd * | 2,254,344 | ||||||||
276,103 | Truworths International Ltd | 1,270,781 | ||||||||
267,529 | Tsogo Sun Gaming Ltd * | 178,769 | ||||||||
133,757 | Wilson Bayly Holmes-Ovcon Ltd * | 1,103,197 | ||||||||
|
| |||||||||
Total South Africa | 58,355,293 | |||||||||
|
| |||||||||
South Korea — 2.9% | ||||||||||
391,646 | BNK Financial Group Inc | 2,613,547 | ||||||||
526 | CJ CheilJedang Corp | 205,678 | ||||||||
5,609 | Coway Co Ltd | 378,189 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Korea — continued | ||||||||||
157,779 | Daewoo Engineering & Construction Co Ltd * | 997,887 | ||||||||
5,118 | Daihan Pharmaceutical Co Ltd | 133,985 | ||||||||
2,091 | Daou Data Corp | 25,262 | ||||||||
10,638 | DB Insurance Co Ltd | 537,854 | ||||||||
374,949 | DGB Financial Group Inc | 2,934,775 | ||||||||
1,747 | DL Holdings Co Ltd | 108,645 | ||||||||
289,917 | Dongwon Development Co Ltd | 1,505,268 | ||||||||
2,178 | E-MART Inc | 335,575 | ||||||||
32,660 | GS Engineering & Construction Corp | 1,257,006 | ||||||||
36,925 | GS Retail Co Ltd | 1,090,330 | ||||||||
400,126 | Hana Financial Group Inc | 15,494,464 | ||||||||
105,304 | Hankook Tire & Technology Co Ltd | 4,224,730 | ||||||||
411,437 | Hanwha Life Insurance Co Ltd | 1,181,631 | ||||||||
15,462 | Hanyang Eng Co Ltd | 217,993 | ||||||||
66,395 | HDC Hyundai Development Co-Engineering & Construction | 1,706,745 | ||||||||
59,104 | Hyundai Engineering & Construction Co Ltd | 2,821,393 | ||||||||
19,416 | Hyundai Home Shopping Network Corp | 1,232,518 | ||||||||
7,523 | Hyundai Mobis Co Ltd | 1,795,762 | ||||||||
5,895 | Hyundai Motor Co GDR (Registered) | 257,239 | ||||||||
110,705 | JB Financial Group Co Ltd | 789,870 | ||||||||
118,264 | KB Financial Group Inc | 5,379,833 | ||||||||
7,100 | KB Financial Group Inc ADR | 323,121 | ||||||||
19,900 | KC Co Ltd | 415,090 | ||||||||
181,081 | Kia Corp | 13,246,640 | ||||||||
1,861 | Korea Petrochemical Ind Co Ltd | 370,349 | ||||||||
358,544 | KT&G Corp | 25,217,026 | ||||||||
8,382 | Kumho Petrochemical Co Ltd | 1,401,405 | ||||||||
66,087 | LF Corp | 1,046,698 | ||||||||
133,063 | LG Electronics Inc | 16,251,202 | ||||||||
723 | LG Household & Health Care Ltd | 910,840 | ||||||||
773 | Lotte Chemical Corp | 166,252 | ||||||||
36,546 | LOTTE Himart Co Ltd | 985,703 | ||||||||
1,315 | LX Semicon Co Ltd | 130,572 | ||||||||
28,523 | Mirae Asset Life Insurance Co Ltd | 106,234 | ||||||||
28,064 | NAVER Corp | 10,626,066 | ||||||||
554 | POSCO | 159,458 | ||||||||
39,544 | Samjin Pharmaceutical Co Ltd | 916,172 | ||||||||
332,017 | Samsung Electronics Co Ltd | 21,919,174 | ||||||||
11,449 | Samsung Engineering Co Ltd * | 219,978 | ||||||||
1,588 | Samsung SDS Co Ltd | 235,714 | ||||||||
294,908 | Shinhan Financial Group Co Ltd | 9,824,455 | ||||||||
152,241 | SK Telecom Co Ltd Sponsored ADR | 4,383,018 | ||||||||
42,832 | SL Corp | 1,013,401 | ||||||||
180 | Taekwang Industrial Co Ltd | 171,451 | ||||||||
96,189 | Woori Financial Group Inc | 930,616 | ||||||||
85,941 | Yuhan Corp | 4,624,749 | ||||||||
|
| |||||||||
Total South Korea | 162,821,563 | |||||||||
|
| |||||||||
Spain — 1.1% | ||||||||||
56,178 | Acerinox SA | 765,648 |
Shares | Description | Value ($) | ||||||||
Spain — continued | ||||||||||
139,691 | ACS Actividades de Construccion y Servicios SA | 3,771,125 | ||||||||
64,516 | Amadeus IT Group SA * (b) | 3,940,500 | ||||||||
96,182 | Atresmedia Corp de Medios de Comunicacion SA * (b) | 421,201 | ||||||||
2,316,390 | Banco Bilbao Vizcaya Argentaria SA * | 15,160,754 | ||||||||
4,279,995 | Banco de Sabadell SA * | 3,051,231 | ||||||||
4,627,947 | Banco Santander SA * | 17,064,414 | ||||||||
578,989 | Bankinter SA | 3,388,499 | ||||||||
46,925 | CaixaBank SA | 145,770 | ||||||||
63,198 | Cia de Distribucion Integral Logista Holdings SA (a) | 1,372,032 | ||||||||
2,559 | Ebro Foods SA (a) | 51,387 | ||||||||
16,846 | eDreams ODIGEO SA * (b) | 125,364 | ||||||||
1,386 | Faes Farma SA | 5,415 | ||||||||
79,624 | Gestamp Automocion SA * | 370,339 | ||||||||
15,879 | Grupo Catalana Occidente SA | 601,380 | ||||||||
81,611 | Iberdrola SA | 1,011,280 | ||||||||
124,120 | Industria de Diseno Textil SA | 4,240,113 | ||||||||
248,169 | Mediaset Espana Comunicacion SA * | 1,513,894 | ||||||||
124,733 | Red Electrica Corp SA | 2,487,617 | ||||||||
96,482 | Repsol SA | 1,107,146 | ||||||||
1,126,762 | Unicaja Banco SA | 1,039,579 | ||||||||
|
| |||||||||
Total Spain | 61,634,688 | |||||||||
|
| |||||||||
Sweden — 0.2% | ||||||||||
4,371 | Bufab AB | 167,179 | ||||||||
7,965 | Humana AB * | 66,458 | ||||||||
209,237 | Investor AB – B Shares | 5,004,665 | ||||||||
63,547 | Inwido AB | 1,246,376 | ||||||||
8,618 | Kinnevik AB – Class B * | 337,663 | ||||||||
14,090 | New Wave Group AB – B Shares * | 222,465 | ||||||||
48,578 | Skanska AB – B Shares | 1,400,408 | ||||||||
23,057 | Svenska Cellulosa AB SCA – Class B | 407,496 | ||||||||
|
| |||||||||
Total Sweden | 8,852,710 | |||||||||
|
| |||||||||
Switzerland — 0.4% | ||||||||||
132,745 | Adecco Group AG (Registered) | 7,384,253 | ||||||||
532 | ALSO Holding AG (Registered) | 171,226 | ||||||||
4,728 | BKW AG | 548,351 | ||||||||
1,909 | Bobst Group SA (Registered) * | 175,704 | ||||||||
2,568 | Huber + Suhner AG (Registered) | 230,379 | ||||||||
916 | Kardex Holding AG (Registered) | 244,942 | ||||||||
5,037 | Mobilezone Holding AG (Registered) | 71,051 | ||||||||
33,866 | Novartis AG (Registered) | 3,132,296 | ||||||||
700 | Novartis AG Sponsored ADR | 64,673 | ||||||||
20,729 | Roche Holding AG – Genusschein | 8,323,831 | ||||||||
318 | Swiss Life Holding AG (Registered) | 165,751 | ||||||||
7,245 | Zehnder Group AG – Class RG | 783,321 | ||||||||
|
| |||||||||
Total Switzerland | 21,295,778 | |||||||||
|
| |||||||||
Taiwan — 4.7% | ||||||||||
302,000 | Ability Enterprise Co Ltd | 165,565 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
7,000 | Accton Technology Corp | 70,919 | ||||||||
118,000 | Acer Inc | 107,092 | ||||||||
16,788 | Acter Group Corp Ltd | 114,056 | ||||||||
62,000 | AmTRAN Technology Co Ltd * | 37,816 | ||||||||
73,000 | Arcadyan Technology Corp | 243,128 | ||||||||
2,087,672 | Asustek Computer Inc | 24,371,035 | ||||||||
63,000 | Aten International Co Ltd | 186,703 | ||||||||
3,202,000 | Catcher Technology Co Ltd | 19,258,528 | ||||||||
2,083,000 | Cathay Financial Holding Co Ltd | 4,473,406 | ||||||||
683,451 | Chailease Holding Co Ltd | 6,556,490 | ||||||||
152,660 | Chicony Electronics Co Ltd | 431,727 | ||||||||
229,000 | China Life Insurance Co Ltd | 238,306 | ||||||||
491,000 | Chipbond Technology Corp | 1,359,944 | ||||||||
356,000 | Chong Hong Construction Co Ltd * | 1,022,929 | ||||||||
206,000 | Chunghwa Telecom Co Ltd | 833,319 | ||||||||
1,674,000 | Coretronic Corp | 3,374,459 | ||||||||
3,143,000 | CTBC Financial Holding Co Ltd | 2,605,028 | ||||||||
137,000 | Delta Electronics Inc | 1,334,510 | ||||||||
61,000 | Depo Auto Parts Ind Co Ltd | 126,156 | ||||||||
2,000 | Eclat Textile Co Ltd | 40,159 | ||||||||
191,000 | Elan Microelectronics Corp | 1,082,064 | ||||||||
141,000 | Elite Material Co Ltd | 1,187,418 | ||||||||
374,000 | Farglory Land Development Co Ltd | 859,402 | ||||||||
17,000 | Feng Hsin Steel Co Ltd | 48,474 | ||||||||
1,394,000 | FLEXium Interconnect Inc * | 5,817,884 | ||||||||
244,000 | Formosa Advanced Technologies Co Ltd | 337,824 | ||||||||
103,000 | Formosa Plastics Corp | 380,313 | ||||||||
334,000 | Foxconn Technology Co Ltd | 796,553 | ||||||||
4,394,000 | Fubon Financial Holding Co Ltd | 13,458,982 | ||||||||
245,000 | Gigabyte Technology Co Ltd | 772,785 | ||||||||
2,100,000 | Grand Pacific Petrochemical | 2,299,782 | ||||||||
107,000 | Holiday Entertainment Co Ltd | 237,375 | ||||||||
11,023,406 | Hon Hai Precision Industry Co Ltd | 44,019,860 | ||||||||
404,000 | Huaku Development Co Ltd | 1,283,178 | ||||||||
350,980 | IEI Integration Corp | 587,656 | ||||||||
88,000 | International Games System Co Ltd | 2,103,748 | ||||||||
159,000 | Kung Long Batteries Industrial Co Ltd | 794,218 | ||||||||
3,000 | Largan Precision Co Ltd | 289,246 | ||||||||
705,000 | Lite-On Technology Corp | 1,554,533 | ||||||||
149,000 | MediaTek Inc | 4,831,656 | ||||||||
1,204,615 | Mercuries Life Insurance Co Ltd * | 403,138 | ||||||||
75,000 | Merry Electronics Co Ltd | 260,225 | ||||||||
597,000 | Micro-Star International Co Ltd | 2,801,018 | ||||||||
19,000 | Nan Liu Enterprise Co Ltd | 88,265 | ||||||||
187,000 | Nan Ya Plastics Corp | 604,300 | ||||||||
255,000 | Nantex Industry Co Ltd | 987,905 | ||||||||
432,000 | Nanya Technology Corp | 1,030,138 | ||||||||
123,000 | Novatek Microelectronics Corp | 1,984,924 | ||||||||
168,000 | Phison Electronics Corp | 2,574,767 | ||||||||
7,106,566 | Pou Chen Corp | 8,440,869 | ||||||||
1,286,000 | Qisda Corp | 1,375,863 | ||||||||
698,000 | Quanta Computer Inc | 1,973,986 | ||||||||
5,857,020 | Radiant Opto-Electronics Corp | 20,892,601 | ||||||||
1,321,000 | Ruentex Development Co Ltd | 3,299,023 |
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
260,000 | Ruentex Industries Ltd | 1,040,721 | ||||||||
13,000 | Shin Zu Shing Co Ltd | 49,699 | ||||||||
188,000 | Shinkong Insurance Co Ltd | 296,870 | ||||||||
119,000 | Simplo Technology Co Ltd | 1,353,113 | ||||||||
15,000 | Sitronix Technology Corp | 159,251 | ||||||||
17,000 | Standard Foods Corp | 32,006 | ||||||||
481,000 | Syncmold Enterprise Corp | 1,216,339 | ||||||||
35,400 | Tah Hsin Industrial Corp | 81,438 | ||||||||
794,000 | Taiwan Cement Corp | 1,386,316 | ||||||||
21,000 | Taiwan PCB Techvest Co Ltd | 34,870 | ||||||||
1,913,000 | Taiwan Semiconductor Manufacturing Co Ltd | 41,962,078 | ||||||||
62,650 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR | 7,455,976 | ||||||||
13,000 | TCI Co Ltd | 126,313 | ||||||||
582,733 | TOPBI International Holdings Ltd | 292,120 | ||||||||
483,000 | Transcend Information Inc | 1,207,177 | ||||||||
317,000 | Tripod Technology Corp | 1,307,995 | ||||||||
694,000 | Uni-President Enterprises Corp | 1,808,767 | ||||||||
200,681 | United Integrated Services Co Ltd | 1,438,118 | ||||||||
242,000 | Universal Inc | 447,176 | ||||||||
408,000 | Youngtek Electronics Corp | 1,284,258 | ||||||||
10,000 | Yulon Nissan Motor Co Ltd | 91,590 | ||||||||
|
| |||||||||
Total Taiwan | 259,483,439 | |||||||||
|
| |||||||||
Thailand — 0.2% | ||||||||||
3,561,900 | AP Thailand Pcl NVDR | 927,616 | ||||||||
149,600 | CP ALL Pcl (Foreign Registered) | 301,598 | ||||||||
130,400 | CP ALL Pcl NVDR | 262,890 | ||||||||
79,800 | Kasikornbank Pcl (Foreign Registered) | 303,800 | ||||||||
465,900 | Kasikornbank Pcl NVDR | 1,773,688 | ||||||||
58,300 | Land & Houses Pcl NVDR | 14,729 | ||||||||
363,200 | Pruksa Holding Pcl (Foreign Registered) | 148,694 | ||||||||
1,409,500 | Pruksa Holding Pcl NVDR | 577,050 | ||||||||
724,600 | PTG Energy Pcl NVDR | 410,902 | ||||||||
849,700 | SC Asset Corp Pcl (Foreign Registered) | 84,308 | ||||||||
194,600 | Siam Cement Pcl NVDR (The) | 2,594,289 | ||||||||
35,200 | Siam Commercial Bank Pcl NVDR (The) | 116,124 | ||||||||
207,800 | Somboon Advance Technology Pcl NVDR | 135,321 | ||||||||
110,200 | SPCG Pcl NVDR | 61,867 | ||||||||
850,225 | Supalai Pcl (Foreign Registered) | 546,281 | ||||||||
1,742,800 | TMBThanachart Bank Pcl NVDR | 57,764 | ||||||||
|
| |||||||||
Total Thailand | 8,316,921 | |||||||||
|
| |||||||||
Turkey — 0.5% | ||||||||||
483,815 | Akbank TAS | 343,399 | ||||||||
619,389 | Aksa Akrilik Kimya Sanayii AS | 1,453,261 | ||||||||
2,033,057 | Arcelik AS | 7,862,056 | ||||||||
7,411,395 | Dogan Sirketler Grubu Holding AS | 2,291,306 | ||||||||
45,528 | Dogus Otomotiv Servis ve Ticaret AS | 153,701 | ||||||||
304,035 | Enerjisa Enerji AS | 405,956 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Turkey — continued | ||||||||||
3,425,656 | Eregli Demir ve Celik Fabrikalari TAS | 7,749,129 | ||||||||
140,998 | Ford Otomotiv Sanayi AS | 2,913,229 | ||||||||
202,430 | Koza Altin Isletmeleri AS * | 2,517,467 | ||||||||
1,279,388 | Turkiye Is Bankasi AS – Class C | 885,662 | ||||||||
311,285 | Yapi ve Kredi Bankasi AS | 98,659 | ||||||||
|
| |||||||||
Total Turkey | 26,673,825 | |||||||||
|
| |||||||||
United Arab Emirates — 0.0% | ||||||||||
423,245 | Dubai Islamic Bank PJSC | 587,354 | ||||||||
728,290 | Emaar Properties PJSC | 831,088 | ||||||||
|
| |||||||||
Total United Arab Emirates | 1,418,442 | |||||||||
|
| |||||||||
United Kingdom — 3.7% | ||||||||||
168,640 | 3i Group Plc | 3,101,472 | ||||||||
200,821 | Airtel Africa Plc | 256,775 | ||||||||
33,728 | Anglo American Plc | 1,424,519 | ||||||||
956,726 | Avast Plc | 7,868,357 | ||||||||
715,709 | Aviva Plc | 3,977,992 | ||||||||
11,845 | Bank of Georgia Group Plc * | 271,999 | ||||||||
41,000 | Barclays Plc Sponsored ADR | 420,250 | ||||||||
891,165 | Barratt Developments Plc | 9,064,576 | ||||||||
72,184 | Bellway Plc | 3,498,318 | ||||||||
206,965 | Berkeley Group Holdings Plc (The) | 13,747,569 | ||||||||
76,700 | BP Plc Sponsored ADR | 1,876,082 | ||||||||
65,118 | British American Tobacco Plc | 2,442,795 | ||||||||
146,000 | British American Tobacco Plc Sponsored ADR | 5,502,740 | ||||||||
5,789,025 | BT Group Plc * | 13,532,448 | ||||||||
34,096 | Central Asia Metals Plc | 117,359 | ||||||||
261,917 | Coca-Cola HBC AG * | 9,480,061 | ||||||||
316,263 | Compass Group Plc * (b) | 6,533,978 | ||||||||
27,518 | Computacenter Plc (b) | 1,113,171 | ||||||||
9,199 | Daily Mail & General Trust Plc – Class A (b) | 139,959 | ||||||||
3,443 | DCC Plc | 292,669 | ||||||||
3,715 | Electrocomponents Plc | 54,364 | ||||||||
12,098 | EMIS Group Plc | 229,729 | ||||||||
65,695 | Evraz Plc | 534,377 | ||||||||
38,026 | Ferguson Plc | 5,496,210 | ||||||||
729,720 | Ferrexpo Plc | 3,824,574 | ||||||||
92,672 | Frasers Group Plc * | 853,094 | ||||||||
7,900 | GlaxoSmithKline Plc Sponsored ADR | 321,846 | ||||||||
31,612 | Go-Ahead Group Plc (The) * | 409,667 | ||||||||
19,354 | Grafton Group Plc | 371,921 | ||||||||
168,080 | Halfords Group Plc | 841,164 | ||||||||
125,387 | IG Group Holdings Plc | 1,614,648 | ||||||||
30,632 | IMI Plc | 768,144 | ||||||||
324,723 | Indivior Plc * | 868,061 | ||||||||
83,066 | International Personal Finance Plc * | 169,086 | ||||||||
101,092 | Investec Plc | 425,254 | ||||||||
1,467,553 | ITV Plc * (b) | 2,338,960 | ||||||||
138,791 | JD Sports Fashion Plc | 1,927,286 | ||||||||
7,057 | Johnson Matthey Plc | 285,306 | ||||||||
335,753 | Just Group Plc * | 430,875 |
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
11,440 | Keller Group Plc | 157,256 | ||||||||
3,004,604 | Kingfisher Plc | 14,467,231 | ||||||||
1,458,134 | Legal & General Group Plc | 5,416,431 | ||||||||
4,269,872 | M&G Plc | 12,095,061 | ||||||||
1,142,447 | Micro Focus International Plc (b) | 6,987,074 | ||||||||
44,825 | Morgan Sindall Group Plc | 1,583,506 | ||||||||
184,839 | National Grid Plc | 2,390,748 | ||||||||
14,650 | Next Plc | 1,593,202 | ||||||||
21,125 | Numis Corp Plc | 108,808 | ||||||||
122,553 | OSB Group Plc | 859,778 | ||||||||
150,678 | Paragon Banking Group Plc | 1,164,496 | ||||||||
245,339 | Persimmon Plc | 9,929,223 | ||||||||
168,054 | Pets at Home Group Plc | 1,157,251 | ||||||||
179,271 | Plus500 Ltd | 3,685,524 | ||||||||
546,153 | Premier Foods Plc | 909,041 | ||||||||
76,705 | QinetiQ Group Plc | 364,417 | ||||||||
175,623 | Reach Plc (b) | 988,311 | ||||||||
247,079 | Royal Dutch Shell Plc – B Shares | 4,861,924 | ||||||||
695,919 | Royal Mail Plc | 4,739,729 | ||||||||
18,652 | Schroders Plc | 969,723 | ||||||||
28,866 | Smiths Group Plc | 572,903 | ||||||||
101,487 | Spirent Communications Plc | 415,648 | ||||||||
76,732 | Stock Spirits Group Plc | 415,226 | ||||||||
597,456 | Tate & Lyle Plc | 5,802,563 | ||||||||
1,631,689 | Taylor Wimpey Plc | 4,107,428 | ||||||||
66,690 | Unilever Plc | 3,713,292 | ||||||||
42,325 | Vesuvius Plc | 327,104 | ||||||||
551,885 | WPP Plc (b) | 7,482,925 | ||||||||
|
| |||||||||
Total United Kingdom | 203,693,478 | |||||||||
|
| |||||||||
United States — 24.2% | ||||||||||
951,206 | Aerojet Rocketdyne Holdings, Inc. | 39,494,073 | ||||||||
49,500 | Aflac, Inc. | 2,805,660 | ||||||||
3,900 | Akamai Technologies, Inc. * (b) | 441,675 | ||||||||
86,800 | Alliance Data Systems Corp. (b) | 8,515,948 | ||||||||
143,300 | Ally Financial, Inc. | 7,580,570 | ||||||||
33,860 | American Express Co. | 5,619,406 | ||||||||
1 | Analog Devices, Inc. | 147 | ||||||||
19,400 | Anthem, Inc. | 7,277,522 | ||||||||
102,918 | Apollo Investment Corp. | 1,415,123 | ||||||||
33,839 | Ares Capital Corp. | 673,396 | ||||||||
79,300 | Arrow Electronics, Inc. * | 9,612,746 | ||||||||
268,900 | AT&T, Inc. | 7,373,237 | ||||||||
623,646 | Athene Holding Ltd. – Class A * | 41,765,573 | ||||||||
65,318 | Barings BDC, Inc. | 704,781 | ||||||||
88,600 | Bed Bath & Beyond, Inc. * | 2,440,044 | ||||||||
29,100 | Best Buy Co., Inc. | 3,390,441 | ||||||||
5,800 | Bio-Rad Laboratories, Inc. – Class A * | 4,667,956 | ||||||||
26,400 | Biogen, Inc. * | 8,947,224 | ||||||||
2,089 | Booking Holdings, Inc. * (b) | 4,804,011 | ||||||||
6,200 | Booz Allen Hamilton Holding Corp. | 507,842 | ||||||||
249,003 | BorgWarner, Inc. | 10,627,448 | ||||||||
78 | Bristol-Myers Squibb Co. | 5,215 | ||||||||
99,576 | Bruin Blocker (d) | 57,226 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
59,400 | Capital One Financial Corp. | 9,858,618 | ||||||||
49,200 | Cardinal Health, Inc. | 2,582,508 | ||||||||
170,100 | Carrier Global Corp. | 9,797,760 | ||||||||
96,900 | CBRE Group, Inc. – Class A * | 9,331,470 | ||||||||
115,800 | Centene Corp. * | 7,293,084 | ||||||||
1,999,484 | Change Healthcare, Inc. * | 43,648,736 | ||||||||
240,568 | Chatham Lodging Trust (REIT) * | 2,886,816 | ||||||||
34,850 | Chevron Corp. | 3,372,434 | ||||||||
41,600 | Cigna Corp. | 8,804,640 | ||||||||
155,721 | Citigroup, Inc. | 11,197,897 | ||||||||
165,293 | Citizens Financial Group, Inc. | 7,238,180 | ||||||||
76,824 | Coca-Cola Co. (The) | 4,325,959 | ||||||||
98,000 | Cognizant Technology Solutions Corp. – Class A (b) | 7,478,380 | ||||||||
130,278 | Coherent, Inc. * | 32,917,342 | ||||||||
172,400 | Comcast Corp. – Class A (b) | 10,461,232 | ||||||||
1,500 | Consolidated Edison, Inc. | 113,175 | ||||||||
164,200 | Corteva, Inc. | 7,219,874 | ||||||||
123,800 | CVS Health Corp. | 10,695,082 | ||||||||
25,853 | Denbury, Inc. * | 1,818,241 | ||||||||
30,300 | Discover Financial Services | 3,885,066 | ||||||||
13,300 | Discovery, Inc. – Class A * (b) | 383,572 | ||||||||
228,000 | DISH Network Corp. – Class A * (b) | 9,938,520 | ||||||||
98,700 | DR Horton, Inc. | 9,437,694 | ||||||||
86,100 | eBay, Inc. | 6,607,314 | ||||||||
71,409 | EOG Resources, Inc. | 4,821,536 | ||||||||
1,288,200 | ESC NII Holdings, Inc. (d) | 2,898,450 | ||||||||
126,800 | Exelon Corp. | 6,215,736 | ||||||||
33,200 | Fidelity National Financial, Inc. | 1,621,156 | ||||||||
74,909 | Five9, Inc. * (b) | 11,852,851 | ||||||||
85,422 | Flagstar Bancorp, Inc. | 4,224,972 | ||||||||
21,400 | FleetCor Technologies, Inc. * (b) | 5,634,192 | ||||||||
693,500 | Ford Motor Co. * | 9,036,305 | ||||||||
9,200 | Fortune Brands Home & Security, Inc. | 895,804 | ||||||||
105,500 | Fox Corp. – Class A (b) | 3,949,920 | ||||||||
374,836 | Fox Corp. – Class B (b) | 12,980,571 | ||||||||
28,700 | Franklin Resources, Inc. | 931,028 | ||||||||
47,549 | Frontier Communications Parent, Inc. * | 1,400,318 | ||||||||
171,300 | General Motors Co. * | 8,395,413 | ||||||||
118,400 | Gilead Sciences, Inc. | 8,617,152 | ||||||||
22,795 | Global Payments, Inc. (b) | 3,707,379 | ||||||||
17,000 | Goldman Sachs Group, Inc. (The) | 7,029,670 | ||||||||
40,178 | Green Plains, Inc. * | 1,410,248 | ||||||||
11,342 | Gulfport Energy Operating Corp. * | 758,326 | ||||||||
41,017 | Hasbro, Inc. | 4,032,381 | ||||||||
38,628 | Hilton Worldwide Holdings, Inc. * (b) | 4,823,092 | ||||||||
285,600 | HP, Inc. | 8,493,744 | ||||||||
46,400 | IAC/InterActiveCorp * (b) | 6,127,120 | ||||||||
550,193 | IHS Markit Ltd. | 66,353,276 | ||||||||
8,400 | Incyte Corp. * | 642,516 | ||||||||
163,200 | Intel Corp. | 8,822,592 | ||||||||
38,778 | Intercontinental Exchange, Inc. | 4,635,134 | ||||||||
69,000 | International Business Machines Corp. (b) | 9,683,460 | ||||||||
315,200 | Invesco Ltd. | 7,980,864 | ||||||||
46,600 | Jazz Pharmaceuticals Plc * | 6,137,686 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
138,664 | Kansas City Southern | 38,918,825 | ||||||||
545,500 | Kinder Morgan, Inc. | 8,875,285 | ||||||||
150,900 | Kohl’s Corp. | 8,661,660 | ||||||||
133,700 | Kraft Heinz Co. (The) | 4,811,863 | ||||||||
201,200 | Kroger Co. (The) | 9,261,236 | ||||||||
30,000 | Laboratory Corp. of America Holdings * | 9,101,400 | ||||||||
67,883 | Las Vegas Sands Corp. * (b) | 3,028,261 | ||||||||
4,700 | Lear Corp. | 751,718 | ||||||||
51,100 | Leidos Holdings, Inc. | 5,013,421 | ||||||||
90,000 | Lennar Corp. – Class A | 9,657,900 | ||||||||
27,700 | Liberty Broadband Corp. – Class C * | 5,299,564 | ||||||||
142,900 | Lincoln National Corp. | 9,810,085 | ||||||||
134,000 | LKQ Corp. * | 7,060,460 | ||||||||
683,300 | Lumen Technologies, Inc. | 8,404,590 | ||||||||
116,359 | Lyft, Inc. – Class A * | 5,539,852 | ||||||||
95,000 | LyondellBasell Industries NV – Class A | 9,533,250 | ||||||||
63,800 | Macquarie Infrastructure Corp. | 2,542,430 | ||||||||
3,607 | Markel Corp. * | 4,581,792 | ||||||||
1,300 | Masco Corp. | 78,936 | ||||||||
14,148 | Masonite International Corp. * | 1,693,233 | ||||||||
18,600 | Medical Properties Trust, Inc. (REIT) | 380,928 | ||||||||
46,700 | Merck & Co., Inc. | 3,562,743 | ||||||||
160,500 | MetLife, Inc. | 9,951,000 | ||||||||
122,135 | MGM Growth Properties LLC – Class A (REIT) | 5,063,717 | ||||||||
109,100 | Micron Technology, Inc. * | 8,040,670 | ||||||||
22,700 | Mohawk Industries, Inc. * | 4,489,152 | ||||||||
176,200 | Molson Coors Brewing Co. – Class B | 8,374,786 | ||||||||
865,848 | Nuance Communications, Inc. * (b) | 47,664,932 | ||||||||
170 | NVR, Inc. * | 880,590 | ||||||||
10,200 | Omnicom Group, Inc. (b) | 746,844 | ||||||||
111,400 | Oracle Corp. (b) | 9,929,082 | ||||||||
24,000 | PACCAR, Inc. | 1,964,880 | ||||||||
400,760 | Pershing Square Tontine Holdings Ltd. – Class A * | 7,906,995 | ||||||||
194,711 | PG&E Corp. * | 1,785,500 | ||||||||
683,145 | PNM Resources, Inc. | 33,815,677 | ||||||||
701,310 | PPD, Inc. * | 32,477,666 | ||||||||
44,700 | PPL Corp. | 1,311,945 | ||||||||
31,800 | Principal Financial Group, Inc. | 2,124,558 | ||||||||
93,600 | Prudential Financial, Inc. | 9,910,368 | ||||||||
143,300 | PulteGroup, Inc. | 7,718,138 | ||||||||
55,500 | Quest Diagnostics, Inc. | 8,482,065 | ||||||||
576,700 | Qurate Retail, Inc. – Series A | 6,361,001 | ||||||||
57,128 | Raytheon Technologies Corp. | 4,842,169 | ||||||||
15,300 | Regeneron Pharmaceuticals, Inc. * | 10,303,020 | ||||||||
15,600 | Resolute Forest Products Inc | 191,036 | ||||||||
14,200 | Resolute Forest Products, Inc. | 173,950 | ||||||||
80,154 | Retail Value, Inc. (REIT) | 2,003,850 | ||||||||
14,240 | Sanderson Farms, Inc. | 2,798,160 | ||||||||
104,795 | Sensata Technologies Holding Plc * | 6,201,768 | ||||||||
114,350 | Skillsoft Corp. * | 1,106,908 | ||||||||
8,200 | Snap-on, Inc. | 1,844,590 | ||||||||
281,375 | Southeastern Grocers, Inc. * (e) | 6,190,250 | ||||||||
87,100 | SS&C Technologies Holdings, Inc. (b) | 6,589,986 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
199,000 | Synchrony Financial | 9,900,250 | ||||||||
1,507,100 | Syncora Holdings Ltd. * | 309,106 | ||||||||
4,600 | Synopsys, Inc. *(b) | 1,528,304 | ||||||||
54,030 | Tempur Sealy International, Inc. | 2,415,141 | ||||||||
101,500 | Textron, Inc. | 7,376,005 | ||||||||
1,888,723 | The Oneida Group (e) | 2,228,694 | ||||||||
160,204 | TRU TAJ (e) | 1,308,386 | ||||||||
5,869 | TRU TAJ Liquidation Unit Trust (d) | 58,690 | ||||||||
106,100 | Tyson Foods, Inc. – Class A | 8,330,972 | ||||||||
1,500 | United Rentals, Inc. * | 528,975 | ||||||||
61,400 | Universal Health Services, Inc. – Class B | 9,563,664 | ||||||||
107,466 | US Bancorp | 6,167,474 | ||||||||
1,007,255 | VEREIT, Inc. (REIT) | 50,896,595 | ||||||||
134,200 | Verizon Communications, Inc. | 7,381,000 | ||||||||
130,687 | Verso Corp. – Class A | 2,489,587 | ||||||||
63,980 | VF Corp. | 4,892,551 | ||||||||
187,600 | ViacomCBS, Inc. – Class B (b) | 7,776,020 | ||||||||
506,800 | Viatris, Inc. | 7,414,484 | ||||||||
121,100 | VICI Properties, Inc. (REIT) | 3,743,201 | ||||||||
48,300 | VMware, Inc. – Class A * (b) | 7,190,421 | ||||||||
84,739 | W R Grace & Co. | 5,901,224 | ||||||||
148,800 | Walgreens Boots Alliance, Inc. | 7,551,600 | ||||||||
133,158 | Wells Fargo & Co. | 6,085,321 | ||||||||
309,700 | Western Union Co. (The) (b) | 6,701,908 | ||||||||
110,700 | Western Digital Corp. * | 6,996,240 | ||||||||
107,060 | Westmoreland Mining Holdings LLC (e) | 535 | ||||||||
30,700 | Whirlpool Corp. | 6,800,971 | ||||||||
306,077 | Willis Towers Watson Plc | 67,557,315 | ||||||||
483,823 | Xilinx, Inc. | 75,278,021 | ||||||||
|
| |||||||||
Total United States | 1,346,321,090 | |||||||||
|
| |||||||||
Vietnam — 0.0% | ||||||||||
86,100 | Hoa Phat Group JSC | 186,287 | ||||||||
43,700 | Petrovietnam Fertilizer & Chemicals JSC | 70,525 | ||||||||
40,100 | PetroVietnam Gas JSC | 157,242 | ||||||||
46,300 | PetroVietnam Nhon Trach 2 Power JSC | 41,847 | ||||||||
102,000 | PetroVietnam Technical Services Corp | 115,930 | ||||||||
62,500 | Pha Lai Thermal Power JSC | 67,872 | ||||||||
99,000 | Vietnam Dairy Products JSC | 379,738 | ||||||||
96,500 | Vinh Hoan Corp | 209,761 | ||||||||
|
| |||||||||
Total Vietnam | 1,229,202 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $4,398,346,806) | 4,691,970,729 | |||||||||
|
|
Shares | Description | Value ($) | ||||||||
PREFERRED STOCKS (f) — 1.2% | ||||||||||
Brazil — 0.2% | ||||||||||
1,037,700 | Banco Bradesco SA | 4,645,849 | ||||||||
453,725 | Bradespar SA | 5,541,257 | ||||||||
315,600 | Petroleo Brasileiro SA | 1,659,543 | ||||||||
33,100 | Petroleo Brasileiro SA ADR | 347,881 | ||||||||
|
| |||||||||
Total Brazil | 12,194,530 | |||||||||
|
| |||||||||
Colombia — 0.0% | ||||||||||
5,809 | Banco Davivienda SA | 50,243 | ||||||||
1,417,796 | Grupo Aval Acciones y Valores SA | 421,297 | ||||||||
|
| |||||||||
Total Colombia | 471,540 | |||||||||
|
| |||||||||
Germany — 0.2% | ||||||||||
65,347 | Bayerische Motoren Werke AG | 5,470,713 | ||||||||
10,261 | Draegerwerk AG & Co KGaA | 866,565 | ||||||||
1,294 | Jungheinrich AG | 69,883 | ||||||||
3,796 | Villeroy & Boch AG | 103,576 | ||||||||
12,043 | Volkswagen AG | 2,864,482 | ||||||||
|
| |||||||||
Total Germany | 9,375,219 | |||||||||
|
| |||||||||
Russia — 0.3% | ||||||||||
15,222 | Bashneft PJSC | 222,952 | ||||||||
79,750 | Nizhnekamskneftekhim PJSC | 130,318 | ||||||||
27,591,600 | Surgutneftegas PJSC | 14,554,303 | ||||||||
168 | Transneft PJSC | 362,345 | ||||||||
|
| |||||||||
Total Russia | 15,269,918 | |||||||||
|
| |||||||||
South Korea — 0.5% | ||||||||||
23,133 | Hyundai Motor Co Ltd-Prf | 2,039,757 | ||||||||
20,951 | Hyundai Motor Co Ltd-2nd Prf | 1,789,362 | ||||||||
37,422 | LG Electronics Inc | 2,248,727 | ||||||||
277,666 | Samsung Electronics Co Ltd | 16,928,315 | ||||||||
1,774 | Samsung Electronics Co Ltd GDR (Registered) | 2,674,577 | ||||||||
|
| |||||||||
Total South Korea | 25,680,738 | |||||||||
|
| |||||||||
Taiwan — 0.0% | ||||||||||
97,864 | Chailease Holding Co Ltd | 352,071 | ||||||||
216,277 | CTBC Financial Holding Co Ltd | 485,329 | ||||||||
|
| |||||||||
Total Taiwan | 837,400 | |||||||||
|
| |||||||||
United States — 0.0% | ||||||||||
38 | Gulfport Energy Operating Corp. (d) | 180,500 | ||||||||
5,413 | Murray Energy Corp. (d) | 703,690 | ||||||||
|
| |||||||||
Total United States | 884,190 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $53,944,531) | 64,713,535 | |||||||||
|
|
64 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares / Par Value† | Description | Value ($) | ||||||||
RIGHTS/WARRANTS — 0.0% | ||||||||||
United States — 0.0% | ||||||||||
408,963 | Bristol-Myers Squibb Co. CVR * (d) | 552,100 | ||||||||
222,285 | Contra Clementia Pharma CVR * (d) | 300,085 | ||||||||
2,616,810 | Media General, Inc. CVR*(d) | 130,840 | ||||||||
|
| |||||||||
TOTAL RIGHTS/WARRANTS (COST $1,183,901) | 983,025 | |||||||||
|
| |||||||||
INVESTMENT FUNDS — 0.5% | ||||||||||
United States — 0.5% | ||||||||||
3,128,309 | Altaba, Inc. (d) | 21,898,163 | ||||||||
101,866 | iShares Core MSCI Emerging Markets ETF | 6,528,592 | ||||||||
|
| |||||||||
Total United States | 28,426,755 | |||||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (COST $26,005,268) | 28,426,755 | |||||||||
|
| |||||||||
DEBT OBLIGATIONS — 12.2% | ||||||||||
Brazil — 0.1% | ||||||||||
Corporate Debt — 0.1% | ||||||||||
2,307,000 | Oi SA, PIK, 10.00%, due 07/27/25 | 2,259,707 | ||||||||
|
| |||||||||
Canada — 0.0% | ||||||||||
Corporate Debt — 0.0% | ||||||||||
259,350 | Air Canada Pass-Through Trust – Class A, 144A, 3.60%, due 09/15/28 | 265,378 | ||||||||
1,620,000 | Bombardier Inc, 144A, 7.88%, due 04/15/27 | 1,698,489 | ||||||||
|
| |||||||||
Total Canada | 1,963,867 | |||||||||
|
| |||||||||
Israel — 0.1% | ||||||||||
Corporate Debt — 0.1% | ||||||||||
5,496,000 | Teva Pharmaceutical Finance Co. LLC, 6.15%, due 02/01/36 | 6,098,197 | ||||||||
|
| |||||||||
Luxembourg — 0.1% | ||||||||||
Bank Loans — 0.1% | ||||||||||
2,460,000 | Delta 2 (LUX) S.a.r.l., 2018 USD Term Loan, Variable Rate, 3 mo. LIBOR plus 2.50%, 3.50%, due 02/01/24 (d) | 2,450,775 | ||||||||
|
| |||||||||
Netherlands — 0.0% | ||||||||||
Corporate Debt — 0.0% | ||||||||||
EUR | 538,288 | Evander Gold Mines Ltd, 10.00%, due 04/19/26 (e) | 118,091 | |||||||
|
|
Par Value† | Description | Value ($) | ||||||||
United States — 11.9% | ||||||||||
Asset-Backed Securities — 0.2% | ||||||||||
5,267,534 | Alaska Airlines Pass-Through Trust, Series 20-1, Class B, 144A, 8.00%, due 02/15/27 | 5,928,807 | ||||||||
119,742 | Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.88%, due 07/26/31 | 119,733 | ||||||||
40,448 | Bayview Commercial Asset Trust, Series 07-5A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.08%, due 10/25/37 | 40,441 | ||||||||
7,063,382 | Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35 (g) | 7 | ||||||||
4,013,589 | JetBlue Pass-Through Trust, Series 20-1, Class B, 7.75%, due 05/15/30 | 4,727,824 | ||||||||
317,867 | Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.88%, due 04/17/28 | 317,850 | ||||||||
150,980 | Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.88%, due 01/17/30 | 150,759 | ||||||||
|
| |||||||||
Total Asset-Backed Securities | 11,285,421 | |||||||||
|
| |||||||||
Bank Loans — 0.4% | ||||||||||
2,762,947 | American Consolidated Natural Resources, Inc., 2020 Exit Term Loan, 1 mo. LIBOR plus 13.00%, 14.00%, due 09/16/25 (d) | 2,762,947 | ||||||||
1,921,007 | Envision Healthcare Corp., 2018 1st Lien Term Loan, 3.75%, due 10/10/25 (d) | 1,690,486 | ||||||||
2,460,000 | Frontier Communications Corp., 2021 DIP Term Loan B, 4.50%, due 05/01/28 (d) | 2,455,400 | ||||||||
4,015,517 | Quorum Health Corporation, 2020 Term Loan, Variable Rate, 3 mo. LIBOR plus 8.25%, 9.25%, due 04/29/25 (d) | 4,020,536 | ||||||||
10,625,996 | SeaWorld Parks & Entertainment, Inc., 2021 Term Loan B, 3.50%, due 08/12/28 (d) | 10,533,019 | ||||||||
3,293,865 | Serta Simmons Bedding, LLC, 2020 Super Priority Second Out Term Loan, Variable Rate, 1 mo. LIBOR plus 7.50%1 mo. LIBOR plus 7.50%, 8.50%, due 08/10/23 (d) | 3,137,406 | ||||||||
|
| |||||||||
Total Bank Loans | 24,599,794 | |||||||||
|
| |||||||||
Corporate Debt — 2.6% | ||||||||||
1,451,035 | American Airlines Pass-Through Trust – Class B, 4.38%, due 04/01/24 | 1,442,718 | ||||||||
2,155,069 | American Airlines Pass-Through Trust – Class B, 3.70%, due 11/01/24 | 2,118,461 |
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, 2021 (Unaudited)
Par Value† | Description | Value ($) | ||||||||
United States — continued | ||||||||||
Corporate Debt — continued | ||||||||||
5,206,815 | American Airlines Pass-Through Trust – Class B, 4.40%, due 03/22/25 | 5,093,726 | ||||||||
2,289,941 | American Airlines Pass-Through Trust – Class B, 5.25%, due 07/15/25 | 2,263,019 | ||||||||
2,073,575 | American Airlines Pass-Through Trust – Class B, 144A, 4.38%, due 12/15/25 | 2,038,023 | ||||||||
3,097,872 | American Airlines Pass-Through Trust – Class B, 4.95%, due 08/15/26 | 3,053,089 | ||||||||
4,124,354 | American Airlines Pass-Through Trust – Class B, 3.70%, due 04/15/27 | 3,984,578 | ||||||||
3,092,903 | American Airlines Pass-Through Trust – Class B, 3.75%, due 04/15/27 | 2,997,820 | ||||||||
2,755,570 | American Airlines Pass-Through Trust – Class B, 3.85%, due 08/15/29 | 2,639,922 | ||||||||
1,140,000 | Antero Midstream Partners LP / Antero Midstream Finance Corp., 144A, 5.75%, due 01/15/28 | 1,187,025 | ||||||||
944,000 | Boeing Co. (The), 5.81%, due 05/01/50 | 1,282,146 | ||||||||
5,927,000 | Boeing Co. (The), 5.93%, due 05/01/60 | 8,238,130 | ||||||||
6,270,000 | Carnival Corp, 144A, 7.63%, due 03/01/26 | 6,662,533 | ||||||||
4,280,000 | Carnival Corp, 144A, 5.75%, due 03/01/27 | 4,375,572 | ||||||||
3,579,000 | Carnival Corp, 6.65%, due 01/15/28 | 3,854,440 | ||||||||
3,615,000 | CEC Entertainment LLC, 144A, 6.75%, due 05/01/26 | 3,582,194 | ||||||||
6,700,000 | Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Op, 6.50%, due 10/01/28 | 7,260,924 | ||||||||
2,514,000 | Cooper-Standard Automotive, Inc., 144A, 5.63%, due 11/15/26 | 2,114,903 | ||||||||
768,000 | Cumulus Media New Holdings, Inc., 144A, 6.75%, due 07/01/26 | 797,606 | ||||||||
6,070,000 | Dave & Buster’s, Inc., 144A, 7.63%, due 11/01/25 | 6,434,200 | ||||||||
1,610,000 | Endo Dac / Endo Finance LLC / Endo Finco Inc, 144A, 9.50%, due 07/31/27 | 1,581,825 | ||||||||
2,010,000 | EnLink Midstream Partners LP, 5.60%, due 04/01/44 | 1,909,500 | ||||||||
1,818,000 | EnLink Midstream Partners LP, 5.05%, due 04/01/45 | 1,668,297 | ||||||||
3,133,000 | Envision Healthcare Corp., 144A, 8.75%, due 10/15/26 | 2,647,385 | ||||||||
1,400,000 | Esc Cb Gulfport Energy, 6.38%, due 01/15/26 (d) (g) | 56,000 | ||||||||
1,340,000 | Ford Motor Credit Co. LLC, 5.58%, due 03/18/24 | 1,450,550 | ||||||||
290,000 | Ford Motor Credit Co. LLC, 4.27%, due 01/09/27 | 310,300 | ||||||||
2,690,000 | Ford Motor Credit Co. LLC, 5.11%, due 05/03/29 | 3,039,700 | ||||||||
330,563 | Frontier Communications Holdings LLC, 5.88%, due 11/01/29 | 336,097 |
Par Value† | Description | Value ($) | ||||||||
United States — continued | ||||||||||
Corporate Debt — continued | ||||||||||
860,000 | Goldman Sachs Group, Inc. (The), Variable Rate, 5 year CMT + 3.22%, 4.95%, due 12/31/99 | 922,350 | ||||||||
4,040,000 | Guitar Center, Inc., 144A, 8.50%, due 01/15/26 | 4,302,600 | ||||||||
2,241,534 | Hawaiian Airlines Pass-Through Certificates – Class A, 144A, 7.38%, due 09/15/27 | 2,539,875 | ||||||||
2,534,100 | JPMorgan Chase & Co., Variable Rate, SOFR + 2.75%, 4.00%, due 12/31/99 | 2,575,102 | ||||||||
4,673,000 | Marriott Ownership Resorts, Inc., 4.75%, due 01/15/28 | 4,743,095 | ||||||||
8,000,000 | NCL Finance Ltd., 144A, 6.13%, due 03/15/28 | 8,040,000 | ||||||||
1,454,000 | Owens & Minor, Inc., 4.38%, due 12/15/24 | 1,526,700 | ||||||||
1,300,000 | Redfin Corp., Zero Coupon, 144A, due 10/15/25 | 1,278,576 | ||||||||
6,996,000 | Royal Caribbean Cruises Ltd, 7.50%, due 10/15/27 | 8,122,636 | ||||||||
6,020,000 | Royal Caribbean Cruises Ltd, 3.70%, due 03/15/28 | 5,695,251 | ||||||||
2,967,000 | SeaWorld Parks & Entertainment, Inc., 144A, 8.75%, due 05/01/25 | 3,208,069 | ||||||||
206,073 | Spirit Airlines Pass-Through Trust, 4.10%, due 10/01/29 | 216,133 | ||||||||
4,442,175 | Spirit Airlines Pass-Through Trust, 3.65%, due 08/15/31 | 4,376,206 | ||||||||
2,180,000 | Travel + Leisure Co., 144A, 6.63%, due 07/31/26 | 2,483,238 | ||||||||
1,620,000 | Triumph Group, Inc., 144A, 6.25%, due 09/15/24 | 1,638,063 | ||||||||
1,300,000 | Uber Technologies, Inc., 144A, 8.00%, due 11/01/26 | 1,384,500 | ||||||||
7,689,600 | Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, 144A, REIT, 6.50%, due 02/15/29 | 8,013,947 | ||||||||
278,000 | XHR LP, 144A, REIT, 4.88%, due 06/01/29 | 286,340 | ||||||||
|
| |||||||||
Total Corporate Debt | 145,773,364 | |||||||||
|
| |||||||||
U.S. Government — 8.7% | ||||||||||
33,000,000 | U.S. Treasury Note, 0.13%, due 01/31/23 | 32,994,844 | ||||||||
415,000,000 | U.S. Treasury Note, 0.13%, due 02/28/23 (b) | 414,837,893 | ||||||||
35,000,000 | U.S. Treasury Note, 0.13%, due 03/31/23 | 34,982,226 | ||||||||
|
| |||||||||
Total U.S. Government | 482,814,963 | |||||||||
|
| |||||||||
Total United States | 664,473,542 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $669,439,391) | 677,364,179 | |||||||||
|
|
66 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
MUTUAL FUNDS — 0.2% | ||||||||||
United States — 0.2% | ||||||||||
Affiliated Issuers — 0.2% |
| |||||||||
2,300,903 | GMO U.S. Treasury Fund (h) | 11,596,552 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $11,580,814) | 11,596,552 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.7% | ||||||||||
Money Market Funds — 0.4% | ||||||||||
23,630,079 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (i) | 23,630,079 | ||||||||
49,922 | State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.01% (j) | 49,922 | ||||||||
|
| |||||||||
Total Money Market Funds | 23,680,001 | |||||||||
|
|
Par Value† | Description | Value ($) | ||||||||
U.S. Government — 0.3% | ||||||||||
1,130,000 | U.S. Treasury Bill, 0.06%, due 05/19/22 (j) (k) | 1,129,551 | ||||||||
2,450,000 | U.S. Treasury Bill, 0.06%, due 06/16/22 (j) (k) | 2,448,765 | ||||||||
10,520,000 | U.S. Treasury Bill, 0.06%, due 07/14/22 (b) (j) (k) | 10,514,182 | ||||||||
2,300,000 | U.S. Treasury Bill, 0.07%, due 08/11/22 (j) (k) | 2,298,462 | ||||||||
|
| |||||||||
Total U.S. Government | 16,390,960 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $40,070,658) | 40,070,961 | |||||||||
|
|
PURCHASED OPTIONS — 0.0%
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Value ($) | |||||||||||||||||
Equity Options — Puts — 0.0% | ||||||||||||||||||||||
Canadian National Railway Co. (l) | 100.00 | 10/15/21 | 1,653 | USD | 19,444,239 | 140,505 | ||||||||||||||||
Canadian Pacific Railway Ltd. | 72.00 | 09/17/21 | 1,524 | USD | 10,483,596 | 594,360 | ||||||||||||||||
|
|
TOTAL PURCHASED OPTIONS (COST $1,069,428) | 734,865 | |||||||||||||
|
| |||||||||||||
TOTAL INVESTMENTS — 99.1% (Cost $5,201,640,797) | 5,515,860,601 | |||||||||||||
|
|
Shares | Description | Value ($) | ||||||||||||
SECURITIES SOLD SHORT — (26.9)% |
| |||||||||||||
Common Stocks — (26.7)% | ||||||||||||||
Australia — (0.6)% | ||||||||||||||
(91,981 | ) | Afterpay Ltd * | (8,946,937 | ) | ||||||||||
(1,114,362 | ) | APA Group | (7,461,846 | ) | ||||||||||
(58,074 | ) | ASX Ltd | (3,716,857 | ) | ||||||||||
(21,504 | ) | Cochlear Ltd | (3,652,594 | ) | ||||||||||
(188,676 | ) | Qantas Airways Ltd * | (698,611 | ) | ||||||||||
(1,530,906 | ) | Sydney Airport * | (8,887,135 | ) | ||||||||||
|
| |||||||||||||
Total Australia | (33,363,980 | ) | ||||||||||||
|
| |||||||||||||
Austria — (0.2)% | ||||||||||||||
(99,621 | ) | Verbund AG | (10,912,769 | ) | ||||||||||
|
| |||||||||||||
Belgium — (0.0)% | ||||||||||||||
(16,081 | ) | Galapagos NV * | (951,192 | ) | ||||||||||
|
|
Shares | Description | Value ($) | ||||||||
Common Stocks — continued | ||||||||||
Canada — (0.2)% | ||||||||||
(97,200 | ) | AltaGas Ltd | (1,946,850 | ) | ||||||
(85,166 | ) | Canadian National Railway Co. (l) | (10,018,077 | ) | ||||||
|
| |||||||||
Total Canada | (11,964,927 | ) | ||||||||
|
| |||||||||
Denmark — (0.1)% | ||||||||||
(130,028 | ) | Ambu A/S – Class B | (4,112,264 | ) | ||||||
|
| |||||||||
France — (0.8)% | ||||||||||
(173,387 | ) | Accor SA * | (5,979,158 | ) | ||||||
(43,835 | ) | Aeroports de Paris * | (5,162,209 | ) | ||||||
(6,865 | ) | Eurazeo SE | (706,217 | ) | ||||||
(574,587 | ) | Getlink SE | (9,255,727 | ) | ||||||
(6,061 | ) | Hermes International | (8,920,630 | ) | ||||||
(5,411 | ) | Sartorius Stedim Biotech | (3,282,143 | ) | ||||||
(85,064 | ) | Ubisoft Entertainment SA * | (5,403,429 | ) | ||||||
(26,402 | ) | Wendel SE | (3,831,344 | ) | ||||||
(2,013 | ) | Worldline SA * | (179,243 | ) | ||||||
|
| |||||||||
Total France | (42,720,100 | ) | ||||||||
|
|
See accompanying notes to the financial statements. | 67 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Common Stocks — continued | ||||||||||
Germany — (0.9)% | ||||||||||
(61,353 | ) | Delivery Hero SE * | (8,904,206 | ) | ||||||
(3,142 | ) | MTU Aero Engines AG | (721,079 | ) | ||||||
(73,648 | ) | Puma SE | (8,941,955 | ) | ||||||
(64,143 | ) | QIAGEN NV * | (3,548,513 | ) | ||||||
(55,612 | ) | RWE AG | (2,171,523 | ) | ||||||
(16,245 | ) | Scout24 AG | (1,365,768 | ) | ||||||
(3,322,667 | ) | Telefonica Deutschland Holding AG | (9,327,136 | ) | ||||||
(149,755 | ) | Uniper SE | (5,945,675 | ) | ||||||
(81,444 | ) | Zalando SE * | (9,030,086 | ) | ||||||
|
| |||||||||
Total Germany | (49,955,941 | ) | ||||||||
|
| |||||||||
Israel — (0.2)% | ||||||||||
(17,800 | ) | CyberArk Software Ltd * | (2,989,332 | ) | ||||||
(26,700 | ) | Wix.com Ltd * | (5,929,536 | ) | ||||||
|
| |||||||||
Total Israel | (8,918,868 | ) | ||||||||
|
| |||||||||
Italy — (0.5)% | ||||||||||
(65,484 | ) | Amplifon SPA | (3,425,296 | ) | ||||||
(260,787 | ) | Atlantia SPA * | (4,884,970 | ) | ||||||
(41,857 | ) | Ferrari NV | (9,079,644 | ) | ||||||
(508,092 | ) | FinecoBank Banca Fineco SPA * | (9,360,101 | ) | ||||||
(143,581 | ) | Infrastrutture Wireless Italiane SPA | (1,708,242 | ) | ||||||
|
| |||||||||
Total Italy | (28,458,253 | ) | ||||||||
|
| |||||||||
Japan — (2.3)% | ||||||||||
(395,000 | ) | Acom Co Ltd | (1,526,610 | ) | ||||||
(77,800 | ) | ANA Holdings Inc * | (1,844,223 | ) | ||||||
(251,700 | ) | Asahi Intecc Co Ltd | (7,615,483 | ) | ||||||
(68,500 | ) | GMO Payment Gateway Inc | (8,987,111 | ) | ||||||
(26,700 | ) | Harmonic Drive Systems Inc | (1,474,212 | ) | ||||||
(272,800 | ) | Hitachi Metals Ltd * | (5,265,899 | ) | ||||||
(8,200 | ) | Ibiden Co Ltd | (441,212 | ) | ||||||
(435,100 | ) | Isetan Mitsukoshi Holdings Ltd | (2,913,982 | ) | ||||||
(74,500 | ) | Japan Airlines Co Ltd * | (1,587,199 | ) | ||||||
(102,200 | ) | Japan Airport Terminal Co Ltd * | (4,639,554 | ) | ||||||
(141,200 | ) | Japan Exchange Group Inc | (3,362,743 | ) | ||||||
(1,088 | ) | Japan Real Estate Investment Corp (REIT) | (6,723,981 | ) | ||||||
(284,600 | ) | JGC Holding Corp | (2,387,462 | ) | ||||||
(302,700 | ) | Keikyu Corp | (3,689,759 | ) | ||||||
(12,600 | ) | Keio Corp | (678,002 | ) | ||||||
(61,000 | ) | Kintetsu Group Holdings Co Ltd * | (2,083,529 | ) | ||||||
(40,700 | ) | Lasertec Corp | (8,852,620 | ) | ||||||
(73,300 | ) | Lion Corp | (1,247,264 | ) | ||||||
(207,800 | ) | LIXIL Corp | (6,047,336 | ) | ||||||
(110,000 | ) | M3 Inc | (7,377,421 | ) | ||||||
(1,100 | ) | McDonald’s Holdings Co Japan Ltd | (52,469 | ) | ||||||
(117,400 | ) | Mercari Inc * | (5,792,801 | ) | ||||||
(27,700 | ) | Mizuho Financial Group Inc | (388,128 | ) | ||||||
(341,800 | ) | MonotaRO Co Ltd | (7,575,246 | ) | ||||||
(9,000 | ) | Nidec Corp | (1,028,058 | ) |
Shares | Description | Value ($) | ||||||||
Common Stocks — continued | ||||||||||
Japan — continued | ||||||||||
(281,500 | ) | Nihon M&A Center Inc | (8,394,362 | ) | ||||||
(393,500 | ) | Nippon Paint Holdings Co Ltd | (4,886,958 | ) | ||||||
(74,900 | ) | Nissin Foods Holdings Co Ltd | (5,830,864 | ) | ||||||
(207,900 | ) | Odakyu Electric Railway Co Ltd | (4,844,001 | ) | ||||||
(45,800 | ) | ORIENTAL LAND CO LTD | (6,929,347 | ) | ||||||
(38,700 | ) | Shiseido Co Ltd | (2,565,001 | ) | ||||||
(10,800 | ) | Tobu Railway Co Ltd | (281,572 | ) | ||||||
(33,400 | ) | Tokyu Corp | (459,273 | ) | ||||||
(18,000 | ) | West Japan Railway Co | (983,100 | ) | ||||||
(36,700 | ) | Yaskawa Electric Corp | (1,791,294 | ) | ||||||
|
| |||||||||
Total Japan | (130,548,076 | ) | ||||||||
|
| |||||||||
Netherlands — (0.4)% | ||||||||||
(3,428 | ) | Adyen NV * | (11,079,552 | ) | ||||||
(18,782 | ) | Heineken Holding NV | (1,742,250 | ) | ||||||
(79,053 | ) | Just Eat Takeaway.com NV * | (7,162,706 | ) | ||||||
|
| |||||||||
Total Netherlands | (19,984,508 | ) | ||||||||
|
| |||||||||
New Zealand — (0.0)% | ||||||||||
(18,881 | ) | Xero Ltd * | (2,088,301 | ) | ||||||
|
| |||||||||
Norway — (0.0)% | ||||||||||
(24,518 | ) | Schibsted ASA – B Shares | (1,139,193 | ) | ||||||
(26,008 | ) | Schibsted ASA – Class A | (1,387,561 | ) | ||||||
|
| |||||||||
Total Norway | (2,526,754 | ) | ||||||||
|
| |||||||||
Russia — (0.0)% | ||||||||||
(22,914 | ) | Magnit PJSC Sponsored GDR (Registered) | (348,769 | ) | ||||||
|
| |||||||||
Singapore — (0.2)% | ||||||||||
(234,800 | ) | Singapore Airlines Ltd * | (880,226 | ) | ||||||
(1,109,300 | ) | Singapore Exchange Ltd | (8,141,998 | ) | ||||||
|
| |||||||||
Total Singapore | (9,022,224 | ) | ||||||||
|
| |||||||||
Spain — (0.5)% | ||||||||||
(140,703 | ) | Cellnex Telecom SA | (9,630,875 | ) | ||||||
(323,432 | ) | Ferrovial SA | (9,366,429 | ) | ||||||
(232,208 | ) | Siemens Gamesa Renewable Energy SA | (6,885,306 | ) | ||||||
|
| |||||||||
Total Spain | (25,882,610 | ) | ||||||||
|
| |||||||||
Sweden — (0.2)% | ||||||||||
(149,451 | ) | Embracer Group AB * | (3,402,076 | ) | ||||||
(54,975 | ) | Evolution AB | (8,875,842 | ) | ||||||
(60,120 | ) | Sinch AB * | (1,351,587 | ) | ||||||
|
| |||||||||
Total Sweden | (13,629,505 | ) | ||||||||
|
|
68 | 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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Common Stocks — continued | ||||||||||
Switzerland — (0.4)% | ||||||||||
(10 | ) | Chocoladefabriken Lindt & Spruengli AG (Registered) | (1,221,394 | ) | ||||||
(5,411 | ) | Partners Group Holding AG | (9,593,723 | ) | ||||||
(4,969 | ) | Straumann Holding AG (Registered) | (9,601,305 | ) | ||||||
|
| |||||||||
Total Switzerland | (20,416,422 | ) | ||||||||
|
| |||||||||
United Kingdom — (1.6)% | ||||||||||
(137,554 | ) | Admiral Group Plc | (6,834,529 | ) | ||||||
(242,410 | ) | Antofagasta Plc | (4,855,921 | ) | ||||||
(64 | ) | AstraZeneca Plc Sponsored ADR | (3,730 | ) | ||||||
(1,017,233 | ) | Auto Trader Group Plc | (8,796,641 | ) | ||||||
(1,439,535 | ) | ConvaTec Group Plc | (4,460,737 | ) | ||||||
(348,082 | ) | Entain Plc * | (9,250,567 | ) | ||||||
(98,523 | ) | Halma Plc | (4,068,585 | ) | ||||||
(412,986 | ) | Hargreaves Lansdown Plc | (8,576,724 | ) | ||||||
(1,231,734 | ) | Informa Plc * | (9,001,577 | ) | ||||||
(439,307 | ) | Land Securities Group Plc (REIT) | (4,290,560 | ) | ||||||
(76,453 | ) | London Stock Exchange Group Plc | (8,374,958 | ) | ||||||
(160,138 | ) | Melrose Industries Plc | (369,771 | ) | ||||||
(265,499 | ) | Ocado Group Plc * | (7,358,365 | ) | ||||||
(4,924,526 | ) | Rolls-Royce Holdings Plc * | (7,766,085 | ) | ||||||
(16,966 | ) | Spirax-Sarco Engineering Plc | (3,762,303 | ) | ||||||
|
| |||||||||
Total United Kingdom | (87,771,053 | ) | ||||||||
|
| |||||||||
United States — (17.6)% | ||||||||||
(833,821 | ) | Advanced Micro Devices, Inc. * | (92,320,661 | ) | ||||||
(250,700 | ) | AES Corp. (The) | (5,984,209 | ) | ||||||
(41,800 | ) | Airbnb, Inc. – Class A * | (6,478,582 | ) | ||||||
(34,800 | ) | American Tower Corp. (REIT) | (10,167,516 | ) | ||||||
(1 | ) | Analog Devices, Inc. | (163 | ) | ||||||
(330,342 | ) | Aon Plc – Class A | (94,761,906 | ) | ||||||
(556,629 | ) | Apollo Global Management, Inc. | (33,275,282 | ) | ||||||
(81,000 | ) | Aramark | (2,817,990 | ) | ||||||
(46,300 | ) | Arthur J Gallagher & Co. | (6,649,606 | ) | ||||||
(29,400 | ) | Autodesk, Inc. * | (9,116,646 | ) | ||||||
(56,800 | ) | Avalara, Inc. * | (10,206,960 | ) | ||||||
(1,400 | ) | Bio-Techne Corp. | (698,796 | ) | ||||||
(29,100 | ) | BioMarin Pharmaceutical, Inc. * | (2,450,511 | ) | ||||||
(33,000 | ) | Boeing Co. (The) * | (7,243,500 | ) | ||||||
(28,100 | ) | Burlington Stores, Inc. * | (8,415,669 | ) | ||||||
(69,800 | ) | Caesars Entertainment, Inc. * | (7,093,774 | ) | ||||||
(27,000 | ) | Carvana Co. * | (8,857,620 | ) | ||||||
(50,000 | ) | Catalent, Inc. * | (6,522,000 | ) | ||||||
(64,400 | ) | Ceridian HCM Holding, Inc. * | (7,235,340 | ) | ||||||
(6,500 | ) | Charter Communications, Inc. – Class A * | (5,308,290 | ) | ||||||
(5,100 | ) | Chipotle Mexican Grill, Inc. * | (9,706,983 | ) | ||||||
(122,100 | ) | Clarivate Plc * | (3,075,699 | ) |
Shares | Description | Value ($) | ||||||||
Common Stocks — continued | ||||||||||
United States — continued | ||||||||||
(69,400 | ) | Cloudflare, Inc. – Class A * | (8,379,356 | ) | ||||||
(29,900 | ) | CME Group, Inc. | (6,031,428 | ) | ||||||
(56,500 | ) | Cognex Corp. | (5,007,030 | ) | ||||||
(5,400 | ) | CoStar Group, Inc. * | (457,596 | ) | ||||||
(32,700 | ) | Coupa Software, Inc. * | (8,005,287 | ) | ||||||
(46,800 | ) | Crown Castle International Corp. (REIT) | (9,111,492 | ) | ||||||
(156,000 | ) | Delta Air Lines, Inc. * | (6,308,640 | ) | ||||||
(18,300 | ) | Dexcom, Inc. * | (9,688,386 | ) | ||||||
(31,400 | ) | DocuSign, Inc. * | (9,301,936 | ) | ||||||
(135,600 | ) | DraftKings Inc. – Class A * | (8,039,724 | ) | ||||||
(38,000 | ) | Dynatrace, Inc. * | (2,611,740 | ) | ||||||
(13,200 | ) | Equifax, Inc. | (3,593,832 | ) | ||||||
(11,600 | ) | Equinix, Inc. (REIT) | (9,784,020 | ) | ||||||
(111,700 | ) | Equity LifeStyle Properties, Inc. (REIT) | (9,502,319 | ) | ||||||
(4,700 | ) | Erie Indemnity Co. – Class A | (832,323 | ) | ||||||
(73,400 | ) | Exact Sciences Corp. * | (7,661,492 | ) | ||||||
(43,400 | ) | Expedia Group, Inc. * | (6,271,300 | ) | ||||||
(2,000 | ) | First Republic Bank | (397,880 | ) | ||||||
(155,323 | ) | Fox Corp. – Class A | (5,815,293 | ) | ||||||
(7,000 | ) | Gartner, Inc. * | (2,161,180 | ) | ||||||
(79,300 | ) | Guidewire Software, Inc. * | (9,393,878 | ) | ||||||
(34,500 | ) | Hess Corp. | (2,371,875 | ) | ||||||
(377,100 | ) | Host Hotels & Resorts, Inc. (REIT) * | (6,244,776 | ) | ||||||
(14,400 | ) | HubSpot, Inc. * | (9,856,368 | ) | ||||||
(13,900 | ) | IDEXX Laboratories, Inc. * | (9,365,264 | ) | ||||||
(118,553 | ) | II-VI, Inc. * | (7,466,468 | ) | ||||||
(49,600 | ) | Ingersoll Rand, Inc. * | (2,629,792 | ) | ||||||
(33,600 | ) | Insulet Corp. * | (10,006,416 | ) | ||||||
(21,200 | ) | Ionis Pharmaceuticals, Inc. * | (842,912 | ) | ||||||
(38,500 | ) | IQVIA Holdings, Inc. * | (9,999,605 | ) | ||||||
(85,400 | ) | Iron Mountain, Inc. (REIT) | (4,077,850 | ) | ||||||
(15,000 | ) | KKR & Co., Inc. | (964,350 | ) | ||||||
(121,100 | ) | Lamb Weston Holdings, Inc. | (7,889,665 | ) | ||||||
(25,400 | ) | Liberty Broadband Corp. – Class A * | (4,718,558 | ) | ||||||
(14,600 | ) | Liberty Broadband Corp. – Class C * | (2,793,272 | ) | ||||||
(199,300 | ) | Liberty Media Corp-Liberty Formula One – Class C * | (10,072,622 | ) | ||||||
(26,900 | ) | Liberty Media Corp-Liberty SiriusXM – Class A * | (1,331,550 | ) | ||||||
(31,000 | ) | Liberty Media Corp-Liberty SiriusXM – Class C * | (1,529,850 | ) | ||||||
(11,300 | ) | Linde Plc | (3,554,867 | ) | ||||||
(112,100 | ) | Live Nation Entertainment, Inc. * | (9,719,070 | ) | ||||||
(17,400 | ) | MarketAxess Holdings, Inc. | (8,281,008 | ) | ||||||
(13,700 | ) | Marriott International, Inc. – Class A * | (1,851,418 | ) | ||||||
(13 | ) | Marvell Technology, Inc. | (796 | ) | ||||||
(98,100 | ) | MGM Resorts International | (4,181,022 | ) | ||||||
(25,000 | ) | MongoDB, Inc. * | (9,795,750 | ) | ||||||
(12,400 | ) | Monolithic Power Systems, Inc. | (6,137,132 | ) |
See accompanying notes to the financial statements. | 69 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Common Stocks — continued | ||||||||||
United States — continued | ||||||||||
(15,300 | ) | MSCI, Inc. | (9,709,074 | ) | ||||||
(342,978 | ) | New York Community Bancorp, Inc. | (4,294,085 | ) | ||||||
(52,000 | ) | NiSource, Inc. | (1,281,800 | ) | ||||||
(28,894 | ) | NortonLifeLock, Inc. | (767,425 | ) | ||||||
(50,000 | ) | Novocure Ltd. * | (6,710,500 | ) | ||||||
(46,300 | ) | Oak Street Health, Inc. * | (2,163,599 | ) | ||||||
(83,300 | ) | Occidental Petroleum Corp. | (2,139,977 | ) | ||||||
(37,600 | ) | Okta, Inc. * | (9,911,360 | ) | ||||||
(50,000 | ) | Palantir Technologies, Inc. – Class A * | (1,317,000 | ) | ||||||
(18,000 | ) | Paycom Software, Inc. * | (8,800,200 | ) | ||||||
(49,000 | ) | Peloton Interactive, Inc. – Class A * | (4,909,310 | ) | ||||||
(15,000 | ) | Public Storage (REIT) | (4,854,150 | ) | ||||||
(710,115 | ) | Realty Income Corp. (REIT) | (51,284,505 | ) | ||||||
(27,300 | ) | RingCentral, Inc. – Class A * | (6,886,698 | ) | ||||||
(23,600 | ) | Roku, Inc. * | (8,316,640 | ) | ||||||
(101,250 | ) | Rollins, Inc. | (3,940,650 | ) | ||||||
(88,300 | ) | Royal Caribbean Cruises Ltd. * | (7,305,059 | ) | ||||||
(156,145 | ) | S&P Global, Inc. | (69,300,274 | ) | ||||||
(14 | ) | salesforce.com, Inc. * | (3,714 | ) | ||||||
(93,700 | ) | Sarepta Therapeutics, Inc. * | (7,319,844 | ) | ||||||
(6,300 | ) | Seagen, Inc. * | (1,055,880 | ) | ||||||
(16,500 | ) | ServiceNow, Inc. * | (10,620,060 | ) | ||||||
(61,400 | ) | Simon Property Group, Inc. (REIT) | (8,255,230 | ) | ||||||
(125,100 | ) | Snap, Inc. – Class A * | (9,521,361 | ) | ||||||
(29,300 | ) | Snowflake, Inc. – Class A * | (8,917,455 | ) | ||||||
(56,900 | ) | Southwest Airlines Co. * | (2,832,482 | ) | ||||||
(44,000 | ) | Square, Inc. – Class A * | (11,795,080 | ) | ||||||
(44,600 | ) | Starbucks Corp. | (5,240,054 | ) | ||||||
(2,000 | ) | Sun Communities, Inc. (REIT) | (402,980 | ) | ||||||
(3,800 | ) | T-Mobile US, Inc. * | (520,676 | ) | ||||||
(46,900 | ) | Teladoc Health, Inc. * | (6,773,298 | ) | ||||||
(110 | ) | Teledyne Technologies, Inc. * | (50,972 | ) | ||||||
(13,700 | ) | Tesla, Inc. * | (10,079,364 | ) | ||||||
(8,000 | ) | Trade Desk, Inc. (The) – Class A * | (640,400 | ) | ||||||
(25,900 | ) | Twilio, Inc. – Class A * | (9,245,264 | ) | ||||||
(98,300 | ) | Twitter, Inc. * | (6,340,350 | ) | ||||||
(156,600 | ) | Uber Technologies, Inc. * | (6,129,324 | ) | ||||||
(170,000 | ) | UDR, Inc. (REIT) | (9,183,400 | ) | ||||||
(28,200 | ) | Vail Resorts, Inc. * | (8,596,770 | ) | ||||||
(80,800 | ) | Vistra Corp. | (1,542,472 | ) | ||||||
(13,500 | ) | Wayfair, Inc. – Class A * | (3,790,125 | ) | ||||||
(342,400 | ) | Williams Cos, Inc. (The) | (8,453,856 | ) | ||||||
(50,400 | ) | Zendesk, Inc. * | (6,229,440 | ) | ||||||
(18,400 | ) | Zillow Group, Inc. – Class A * | (1,759,040 | ) | ||||||
(72,949 | ) | Zillow Group, Inc. – Class C * | (6,986,326 | ) | ||||||
(41,497 | ) | Zoom Video Communications, Inc. – Class A * | (12,013,382 | ) | ||||||
(38,000 | ) | Zscaler, Inc. * | (10,576,920 | ) | ||||||
|
| |||||||||
Total United States | (981,193,916 | ) | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (PROCEEDS $1,288,513,386) | (1,484,770,432 | ) | ||||||||
|
|
Shares | Description | Value ($) | ||||||||
PREFERRED STOCKS (f) — (0.2)% | ||||||||||
Germany — (0.2)% | ||||||||||
(12,124 | ) | Sartorius AG | (7,987,445 | ) | ||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (PROCEEDS $5,270,612) | (7,987,445 | ) | ||||||||
|
| |||||||||
INVESTMENT FUNDS — (0.0)% | ||||||||||
United States — (0.0)% | ||||||||||
(7,539 | ) | SPDR S&P Oil & Gas Exploration & Production ETF | (620,663 | ) | ||||||
|
| |||||||||
TOTAL INVESTMENT FUNDS (PROCEEDS $612,199) | (620,663 | ) | ||||||||
|
| |||||||||
TOTAL SECURITIES SOLD SHORT (PROCEEDS $1,294,396,197) | (1,493,378,540 | ) | ||||||||
Other Assets and Liabilities (net) — 27.8% | 1,545,159,888 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $5,567,641,949 | |||||||||
|
|
70 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2021 (Unaudited)
A summary of outstanding financial instruments at August 31, 2021 is as follows:
Forward Currency Contracts
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Apprecia- tion (Deprecia- tion) ($) | ||||||||||||||||
10/18/2021 | DB | AUD | 58,436,701 | USD | 43,062,881 | 302,632 | ||||||||||||||
10/18/2021 | MSCI | AUD | 3,732,308 | USD | 2,720,718 | (10,347 | ) | |||||||||||||
10/21/2021 | GS | AUD | 40,305,000 | USD | 29,589,956 | 96,897 | ||||||||||||||
11/09/2021 | JPM | AUD | 44,390,000 | USD | 32,727,991 | 243,014 | ||||||||||||||
11/09/2021 | MSCI | AUD | 158,690,050 | USD | 117,492,843 | 1,362,127 | ||||||||||||||
09/02/2021 | GS | BRL | 4,406,554 | USD | 860,000 | 7,800 | ||||||||||||||
09/02/2021 | MSCI | BRL | 21,001,571 | USD | 3,927,656 | (133,915 | ) | |||||||||||||
12/02/2021 | MSCI | BRL | 3,986,370 | USD | 747,393 | (12,748 | ) | |||||||||||||
09/09/2021 | GS | CAD | 1,454,312 | USD | 1,148,751 | (3,936 | ) | |||||||||||||
09/09/2021 | JPM | CAD | 3,256,156 | USD | 2,605,604 | 24,778 | ||||||||||||||
09/09/2021 | UBSA | CAD | 20,744,136 | USD | 16,535,729 | 93,944 | ||||||||||||||
11/03/2021 | JPM | CAD | 47,679,968 | USD | 37,490,000 | (298,041 | ) | |||||||||||||
11/12/2021 | BOA | CAD | 14,360,779 | USD | 11,476,737 | 95,480 | ||||||||||||||
11/12/2021 | JPM | CAD | 17,695,220 | USD | 14,136,125 | 112,245 | ||||||||||||||
11/12/2021 | MSCI | CAD | 625,847 | USD | 495,147 | (851 | ) | |||||||||||||
09/07/2021 | BCLY | CHF | 8,670,385 | USD | 9,386,062 | (83,190 | ) | |||||||||||||
09/07/2021 | GS | CHF | 1,106,997 | USD | 1,223,480 | 14,487 | ||||||||||||||
10/13/2021 | MSCI | CHF | 156,181,896 | USD | 171,028,542 | 302,751 | ||||||||||||||
11/18/2021 | MSCI | CLP | 1,895,246,500 | USD | 2,415,865 | (25,241 | ) | |||||||||||||
10/26/2021 | JPM | COP | 4,866,415,000 | USD | 1,253,439 | (34,048 | ) | |||||||||||||
10/26/2021 | MSCI | COP | 33,975,170,000 | USD | 8,680,000 | (308,668 | ) | |||||||||||||
10/18/2021 | GS | CZK | 32,631,414 | USD | 1,510,000 | (4,708 | ) | |||||||||||||
10/18/2021 | MSCI | CZK | 16,049,427 | USD | 742,886 | (2,108 | ) | |||||||||||||
09/07/2021 | JPM | EUR | 972,555 | USD | 1,141,973 | (6,476 | ) | |||||||||||||
09/30/2021 | JPM | EUR | 8,040,000 | USD | 9,457,299 | (41,192 | ) | |||||||||||||
10/21/2021 | DB | EUR | 121,855,867 | USD | 143,894,969 | (124,215 | ) | |||||||||||||
10/21/2021 | MSCI | EUR | 82,362,991 | USD | 97,247,753 | (95,533 | ) | |||||||||||||
10/13/2021 | BCLY | GBP | 18,480,000 | USD | 25,764,871 | 355,136 | ||||||||||||||
10/13/2021 | JPM | GBP | 7,500,000 | USD | 10,389,622 | 77,230 | ||||||||||||||
10/21/2021 | MSCI | GBP | 36,689,700 | USD | 50,279,565 | (168,752 | ) | |||||||||||||
10/21/2021 | UBSA | GBP | 1,338,553 | USD | 1,839,244 | (1,266 | ) | |||||||||||||
10/21/2021 | GS | HKD | 139,242,600 | USD | 17,925,397 | 19,920 | ||||||||||||||
09/14/2021 | BCLY | HUF | 587,807,222 | USD | 2,065,852 | 77,839 | ||||||||||||||
09/14/2021 | CITI | HUF | 981,987,054 | USD | 3,340,000 | 18,839 | ||||||||||||||
09/14/2021 | DB | HUF | 3,021,632,281 | USD | 10,030,000 | (189,411 | ) | |||||||||||||
09/13/2021 | JPM | INR | 148,412,880 | USD | 1,992,761 | (38,248 | ) | |||||||||||||
09/07/2021 | JPM | JPY | 1,368,752,229 | USD | 12,466,227 | 24,277 | ||||||||||||||
09/07/2021 | MSCI | JPY | 332,652,113 | USD | 3,017,532 | (6,274 | ) | |||||||||||||
09/07/2021 | UBSA | JPY | 1,165,454,532 | USD | 10,615,837 | 21,862 | ||||||||||||||
09/09/2021 | JPM | JPY | 1,748,369,070 | USD | 15,870,000 | (22,892 | ) | |||||||||||||
10/21/2021 | SSB | JPY | 10,103,461,100 | USD | 92,249,405 | 375,131 | ||||||||||||||
11/12/2021 | CITI | KRW | 5,145,584,900 | USD | 4,400,000 | (36,933 | ) | |||||||||||||
11/12/2021 | MSCI | KRW | 9,348,629,235 | USD | 8,145,960 | 84,828 | ||||||||||||||
10/21/2021 | BOA | MXN | 45,747,415 | USD | 2,230,000 | (32,963 | ) | |||||||||||||
10/05/2021 | MSCI | NZD | 208,420,000 | USD | 146,015,926 | (846,176 | ) | |||||||||||||
10/18/2021 | UBSA | NZD | 11,287,887 | USD | 7,934,831 | (18,362 | ) | |||||||||||||
09/16/2021 | JPM | PHP | 292,090,365 | USD | 5,795,214 | (85,458 | ) | |||||||||||||
10/29/2021 | JPM | RON | 63,304,553 | USD | 15,055,665 | (52,410 | ) | |||||||||||||
10/15/2021 | JPM | SGD | 7,537,175 | USD | 5,565,777 | (39,913 | ) | |||||||||||||
10/18/2021 | MSCI | THB | 484,621,222 | USD | 14,820,221 | (212,661 | ) | |||||||||||||
10/18/2021 | JPM | USD | 7,560,358 | AUD | 10,451,419 | 87,324 | ||||||||||||||
10/21/2021 | BOA | USD | 7,043,598 | AUD | 9,577,200 | (35,511 | ) | |||||||||||||
10/21/2021 | DB | USD | 934,111 | AUD | 1,271,300 | (3,841 | ) | |||||||||||||
10/21/2021 | SSB | USD | 7,475,081 | AUD | 10,130,800 | (61,899 | ) | |||||||||||||
09/02/2021 | CITI | USD | 1,598,209 | BRL | 8,054,567 | (40,506 | ) | |||||||||||||
09/02/2021 | GS | USD | 1,361,262 | BRL | 6,943,114 | (18,507 | ) | |||||||||||||
09/02/2021 | JPM | USD | 400,000 | BRL | 2,017,520 | (9,824 | ) | |||||||||||||
09/02/2021 | MSCI | USD | 15,268,704 | BRL | 81,643,285 | 520,591 |
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Apprecia- tion (Deprecia- tion) ($) | ||||||||||||||||
12/02/2021 | MSCI | USD | 11,952,857 | BRL | 63,752,955 | 203,877 | ||||||||||||||
11/03/2021 | JPM | USD | 160,285,867 | CAD | 199,250,560 | (2,372,834 | ) | |||||||||||||
11/12/2021 | GS | USD | 527,416 | CAD | 676,477 | 8,708 | ||||||||||||||
09/07/2021 | UBSA | USD | 166,410 | CHF | 152,560 | 207 | ||||||||||||||
11/18/2021 | MSCI | USD | 2,403,701 | CLP | 1,895,246,500 | 37,405 | ||||||||||||||
09/07/2021 | JPM | USD | 10,234,346 | EUR | 8,596,751 | (82,807 | ) | |||||||||||||
09/07/2021 | UBSA | USD | 48,514,719 | EUR | 40,875,811 | (246,206 | ) | |||||||||||||
09/21/2021 | SSB | USD | 20,600,550 | EUR | 17,428,332 | (14,407 | ) | |||||||||||||
09/30/2021 | BOA | USD | 7,628,514 | EUR | 6,480,000 | 26,987 | ||||||||||||||
09/30/2021 | DB | USD | 57,395,551 | EUR | 48,091,000 | (580,631 | ) | |||||||||||||
09/30/2021 | JPM | USD | 10,007,601 | EUR | 8,530,000 | 69,779 | ||||||||||||||
10/18/2021 | UBSA | USD | 2,695,986 | EUR | 2,294,728 | 15,956 | ||||||||||||||
10/21/2021 | JPM | USD | 105,153,449 | EUR | 88,949,800 | (25,335 | ) | |||||||||||||
10/21/2021 | SSB | USD | 26,765,249 | EUR | 22,671,700 | 30,012 | ||||||||||||||
10/21/2021 | UBSA | USD | 1,865,538 | EUR | 1,579,600 | 1,362 | ||||||||||||||
10/13/2021 | JPM | USD | 14,795,914 | GBP | 10,830,000 | 95,181 | ||||||||||||||
10/13/2021 | MSCI | USD | 110,576,580 | GBP | 79,962,700 | (629,014 | ) | |||||||||||||
10/21/2021 | GS | USD | 14,309,514 | GBP | 10,350,200 | (77,994 | ) | |||||||||||||
10/21/2021 | JPM | USD | 2,052,642 | GBP | 1,480,600 | (16,817 | ) | |||||||||||||
10/21/2021 | SSB | USD | 14,760,337 | GBP | 10,707,600 | (37,393 | ) | |||||||||||||
10/21/2021 | CITI | USD | 627,277 | HKD | 4,881,000 | 381 | ||||||||||||||
10/21/2021 | GS | USD | 5,231,029 | HKD | 40,702,900 | 3,036 | ||||||||||||||
10/21/2021 | SSB | USD | 5,641,766 | HKD | 43,867,400 | (772 | ) | |||||||||||||
09/14/2021 | CITI | USD | 2,920,000 | HUF | 871,031,328 | 25,900 | ||||||||||||||
09/14/2021 | DB | USD | 2,510,000 | HUF | 749,234,498 | 23,973 | ||||||||||||||
11/08/2021 | CITI | USD | 2,220,000 | IDR | 32,169,798,000 | 28,284 | ||||||||||||||
11/08/2021 | JPM | USD | 12,748,617 | IDR | 184,153,779,400 | 121,529 | ||||||||||||||
10/29/2021 | BOA | USD | 3,000,000 | ILS | 9,670,395 | 15,947 | ||||||||||||||
09/07/2021 | UBSA | USD | 30,293,902 | JPY | 3,378,603,193 | 417,581 | ||||||||||||||
09/09/2021 | JPM | USD | 106,759,117 | JPY | 11,649,608,191 | (862,733 | ) | |||||||||||||
10/06/2021 | BCLY | USD | 6,365,156 | JPY | 704,829,639 | 43,375 | ||||||||||||||
10/06/2021 | JPM | USD | 28,949,321 | JPY | 3,224,781,587 | 371,398 | ||||||||||||||
10/06/2021 | MSCI | USD | 3,609,832 | JPY | 396,097,435 | (8,391 | ) | |||||||||||||
10/06/2021 | UBSA | USD | 2,984,253 | JPY | 330,287,028 | 18,819 | ||||||||||||||
10/21/2021 | BOA | USD | 31,619,395 | JPY | 3,485,837,000 | 78,530 | ||||||||||||||
10/21/2021 | JPM | USD | 26,537,001 | JPY | 2,914,988,700 | (29,998 | ) | |||||||||||||
10/21/2021 | MSCI | USD | 14,901,108 | MXN | 300,921,913 | (15,565 | ) | |||||||||||||
09/14/2021 | BCLY | USD | 27,224,223 | NOK | 225,802,470 | (1,252,004 | ) | |||||||||||||
09/14/2021 | JPM | USD | 55,690,000 | NOK | 488,024,103 | 443,437 | ||||||||||||||
10/05/2021 | BCLY | USD | 14,882,581 | NZD | 21,040,000 | (56,851 | ) | |||||||||||||
10/05/2021 | JPM | USD | 10,088,188 | NZD | 14,380,000 | 44,606 | ||||||||||||||
11/18/2021 | JPM | USD | 4,480,741 | PEN | 18,251,850 | (23,820 | ) | |||||||||||||
11/18/2021 | MSCI | USD | 2,050,000 | PEN | 8,343,500 | (12,600 | ) | |||||||||||||
09/16/2021 | JPM | USD | 3,280,000 | PHP | 166,243,440 | 66,989 | ||||||||||||||
11/18/2021 | MSCI | USD | 903,188 | PLN | 3,510,827 | 13,502 | ||||||||||||||
11/10/2021 | CITI | USD | 14,511,010 | RUB | 1,082,942,154 | 129,213 | ||||||||||||||
11/05/2021 | MSCI | USD | 152,250,879 | SEK | 1,307,405,702 | (677,398 | ) | |||||||||||||
10/15/2021 | BOA | USD | 2,060,000 | SGD | 2,797,472 | 20,588 | ||||||||||||||
10/15/2021 | DB | USD | 1,975,968 | SGD | 2,684,058 | 20,270 | ||||||||||||||
10/15/2021 | GS | USD | 1,520,000 | SGD | 2,055,645 | 8,863 | ||||||||||||||
10/18/2021 | CITI | USD | 5,990,000 | THB | 200,185,088 | 219,713 | ||||||||||||||
10/25/2021 | BCLY | USD | 9,510,000 | TRY | 86,812,451 | 646,899 | ||||||||||||||
10/25/2021 | GS | USD | 2,340,000 | TRY | 20,940,315 | 109,979 | ||||||||||||||
10/29/2021 | JPM | USD | 14,354,292 | ZAR | 215,378,980 | 362,176 | ||||||||||||||
10/29/2021 | CITI | ZAR | 46,875,317 | USD | 3,060,000 | (142,908 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (2,229,908 | ) | ||||||||||||||||||
|
|
See accompanying notes to the financial statements. | 71 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2021 (Unaudited)
Futures Contracts
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/ Net Unrealized Apprecia- tion (Deprecia -tion) ($) | ||||||||
Buys | ||||||||||||
247 | Australian Government Bond 10 Yr. | September 2021 | 26,346,630 | 928,246 | ||||||||
421 | CAC40 10 Euro | September 2021 | 33,227,341 | (414,765 | ) | |||||||
171 | Canadian Government Bond 10 Yr. | December 2021 | 19,805,992 | 1,083 | ||||||||
500 | Corn (j) | December 2021 | 13,356,250 | (552,011 | ) | |||||||
88 | DAX Index | September 2021 | 41,022,353 | 74,721 | ||||||||
344 | FTSE 100 Index | September 2021 | 33,568,435 | 17,793 | ||||||||
15 | Hang Seng Index | September 2021 | 2,482,254 | 15,064 | ||||||||
141 | MSCI Singapore | September 2021 | 3,678,568 | (71,470 | ) | |||||||
22 | S&P/TSX 60 | September 2021 | 4,289,272 | 122,965 | ||||||||
168 | Silver (j) | December 2021 | 20,165,040 | 227,827 | ||||||||
251 | Soybean (j) | November 2021 | 16,220,875 | (1,054,964 | ) | |||||||
409 | U.S. Treasury Note 10 Yr. (CBT) | December 2021 | 54,582,328 | 121,147 | ||||||||
198 | WTI Crude (j) | September 2021 | 13,563,000 | 111,419 | ||||||||
|
|
|
| |||||||||
$ | 282,308,338 | $ | (472,945 | ) | ||||||||
|
|
|
|
Number of Contracts + | Type | Expiration Date | Notional Amount ($) | Value/ Net Unrealized Apprecia- tion (Deprecia -tion) ($) | ||||||||
Sales | ||||||||||||
593 | E-mini Russell 2000 Index | September 2021 | $ | 67,341,080 | $ | 1,123,833 | ||||||
307 | Euro Bund | September 2021 | 63,598,939 | (1,235,554 | ) | |||||||
37 | Euro Bund | December 2021 | 7,537,887 | (464 | ) | |||||||
2,116 | Euro STOXX 50 | September 2021 | 104,495,033 | (1,345,412 | ) | |||||||
200 | FTSE 100 Index | September 2021 | 19,516,532 | (80,454 | ) | |||||||
150 | FTSE Taiwan Index | September 2021 | 9,073,079 | (191,473 | ) | |||||||
240 | FTSE/JSE TOP 40 | September 2021 | 9,997,724 | 86,425 | ||||||||
81 | Gold 100 OZ (j) | December 2021 | 14,726,610 | (106,509 | ) | |||||||
38 | Hang Seng Index | September 2021 | 6,288,378 | (105,656 | ) | |||||||
11 | Japanese Government Bond 10 Yr. (OSE) | September 2021 | 15,213,926 | (70,785 | ) | |||||||
1,946 | Mini MSCI Emerging Markets | September 2021 | 126,412,160 | (3,823,912 | ) | |||||||
121 | NASDAQ 100 E-Mini | September 2021 | 37,709,650 | (3,834,417 | ) | |||||||
1,757 | S&P 500 EMini | September 2021 | 397,125,925 | (23,549,644 | ) | |||||||
405 | SGX Nifty 50 | September 2021 | 13,834,573 | (383,366 | ) | |||||||
287 | SPI 200 Futures | September 2021 | 39,047,968 | (893,584 | ) | |||||||
298 | TOPIX Index | September 2021 | 53,164,698 | (456,294 | ) | |||||||
37 | U.S. Ultra Bond (CBT) | December 2021 | 7,299,406 | 18,741 | ||||||||
56 | UK Gilt Long Bond | December 2021 | 9,873,404 | 62,066 | ||||||||
|
|
|
| |||||||||
$ | 1,002,256,972 | $ | (34,786,459 | ) | ||||||||
|
|
|
|
+ | Buys - Fund is long the futures contract. Sales - Fund is short the futures contract. |
72 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2021 (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% | 0.65% | N/A | 12/20/2024 | Quarterly | 96,637 | (13,004 | ) | (109,641 | ) | |||||||||||||||||||||||||||
HCA, Inc. | BCLY | USD | 1,140,000 | 5.00% | 0.52% | N/A | 12/20/2024 | Quarterly | (139,584 | ) | (168,395 | ) | (28,811 | ) | ||||||||||||||||||||||||||
Tenet Healthcare Corp. | JPM | USD | 570,000 | 5.00% | 1.9% | N/A | 12/20/2024 | Quarterly | 14,842 | (56,644 | ) | (71,486 | ) | |||||||||||||||||||||||||||
Tenet Healthcare Corp. | JPM | USD | 1,140,000 | 5.00% | 1.9% | N/A | 12/20/2024 | Quarterly | 142,500 | (113,289 | ) | (255,789 | ) | |||||||||||||||||||||||||||
United Rentals North America, Inc. | CSI | USD | 1,140,000 | 5.00% | 0.66% | N/A | 12/20/2024 | Quarterly | (96,605 | ) | (162,498 | ) | (65,893 | ) | ||||||||||||||||||||||||||
United Rentals North America, Inc. | JPM | USD | 1,140,000 | 5.00% | 0.66% | N/A | 12/20/2024 | Quarterly | (51,323 | ) | (162,498 | ) | (111,175 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
$ | (33,533 | ) | $ | (676,328 | ) | $ | (642,795 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
^ | 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, 2021, 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 Payment Frequency | Premiums | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||
(0.67)% | 6 Month CHF LIBOR | CHF | 66,860,000 | 09/15/2023 | Semi-Annually | — | 3,250 | 3,250 | ||||||||||||||
(0.60)% | 6 Month CHF LIBOR | CHF | 57,030,000 | 09/15/2023 | Semi-Annually | — | (77,223 | ) | (77,223 | ) | ||||||||||||
0.29% | 3 Month AUD BBSW | AUD | 103,390,000 | 12/15/2023 | Quarterly | — | 40,570 | 40,570 | ||||||||||||||
0.29% | 3 Month AUD BBSW | AUD | 379,370,000 | 12/15/2023 | Quarterly | — | 126,704 | 126,704 | ||||||||||||||
0.32% | 3 Month AUD BBSW | AUD | 5,870,000 | 12/15/2023 | Quarterly | 1,669 | (268 | ) | (1,937 | ) | ||||||||||||
0.32% | 3 Month AUD BBSW | AUD | 65,750,000 | 12/15/2023 | Quarterly | — | (3,005 | ) | (3,005 | ) | ||||||||||||
GBP - SONIA - COMPOUND | 0.35% | GBP | 562,880,000 | 12/15/2023 | Annually | (1,774) | 191,595 | 193,369 | ||||||||||||||
GBP - SONIA - COMPOUND | 0.32% | GBP | 501,680,000 | 12/15/2023 | Annually | — | (199,984 | ) | (199,984 | ) | ||||||||||||
3 Month NZD Bank Bill Rate | 1.36% | NZD | 116,630,000 | 12/15/2023 | Quarterly | — | (165,769 | ) | (165,769 | ) | ||||||||||||
3 Month NZD Bank Bill Rate | 1.37% | NZD | 401,930,000 | 12/15/2023 | Quarterly | — | (512,762 | ) | (512,762 | ) | ||||||||||||
3 Month NZD Bank Bill Rate | 1.45% | NZD | 69,590,000 | 12/15/2023 | Quarterly | — | (19,796 | ) | (19,796 | ) | ||||||||||||
3 Month NZD Bank Bill Rate | 1.45% | NZD | 271,870,000 | 12/15/2023 | Quarterly | (14,689) | (58,490 | ) | (43,801 | ) | ||||||||||||
0.08% | 3 Month SEK STIBOR | SEK | 541,600,000 | 12/15/2023 | Quarterly | — | 16,765 | 16,765 | ||||||||||||||
0.08% | 3 Month SEK STIBOR | SEK | 4,105,600,000 | 12/15/2023 | Quarterly | — | 146,117 | 146,117 | ||||||||||||||
0.08% | 3 Month SEK STIBOR | SEK | 1,478,000,000 | 12/15/2023 | Quarterly | — | 62,876 | 62,876 | ||||||||||||||
0.09% | 3 Month SEK STIBOR | SEK | 73,300,000 | 12/15/2023 | Quarterly | 249 | 910 | 661 | ||||||||||||||
0.98% | 3 Month CAD LIBOR | CAD | 475,710,000 | 12/18/2023 | Semi-Annually | 15,621 | (301,035 | ) | (316,656 | ) | ||||||||||||
(0.48)% | 6 Month EURIBOR | EUR | 21,110,000 | 12/20/2023 | Semi-Annually | 3,697 | 9,865 | 6,168 | ||||||||||||||
0.45% | 3 Month USD LIBOR | USD | 349,050,000 | 12/20/2023 | Quarterly | 49,646 | (297,422 | ) | (347,068 | ) | ||||||||||||
6 Month CHF LIBOR | 0.03% | CHF | 11,460,000 | 09/15/2031 | Semi-Annually | — | 159,494 | 159,494 | ||||||||||||||
6 Month CHF LIBOR | (0.04)% | CHF | 18,740,000 | 09/15/2031 | Semi-Annually | — | 103,062 | 103,062 |
See accompanying notes to the financial statements. | 73 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2021 (Unaudited)
Centrally Cleared Interest Rate Swaps — continued
Fund Pays | Fund Receives | Notional | Expiration Date | Periodic Payment Frequency | Premiums | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | |||||||||||||||||
6 Month CHF LIBOR | (0.03)% | CHF | 45,540,000 | 09/15/2031 | Semi-Annually | 15,074 | 316,459 | 301,385 | ||||||||||||||||
6 Month CHF LIBOR | (0.09)% | CHF | 129,550,000 | 09/15/2031 | Semi-Annually | (45,011) | 48,042 | 93,053 | ||||||||||||||||
6 Month CHF LIBOR | (0.12)% | CHF | 13,330,000 | 09/15/2031 | Semi-Annually | — | (44,102 | ) | (44,102 | ) | ||||||||||||||
6 Month CHF LIBOR | (0.15)% | CHF | 18,240,000 | 09/15/2031 | Semi-Annually | — | (113,222 | ) | (113,222 | ) | ||||||||||||||
1.28% | 6 Month AUD BBSW | AUD | 52,950,000 | 12/15/2031 | Semi-Annually | 129,121 | 350,469 | 221,348 | ||||||||||||||||
6 Month AUD BBSW | 1.28% | AUD | 85,250,000 | 12/15/2031 | Semi-Annually | (236,187) | (594,083 | ) | (357,896 | ) | ||||||||||||||
6 Month AUD BBSW | 1.30% | AUD | 10,950,000 | 12/15/2031 | Semi-Annually | — | (54,854 | ) | (54,854 | ) | ||||||||||||||
6 Month AUD BBSW | 1.31% | AUD | 10,930,000 | 12/15/2031 | Semi-Annually | — | (46,341 | ) | (46,341 | ) | ||||||||||||||
6 Month AUD BBSW | 1.37% | AUD | 13,930,000 | 12/15/2031 | Semi-Annually | — | (6,426 | ) | (6,426 | ) | ||||||||||||||
3 Month CAD LIBOR | 1.77% | CAD | 106,280,000 | 12/15/2031 | Semi-Annually | (36,732) | 108,515 | 145,247 | ||||||||||||||||
3 Month CAD LIBOR | 1.69% | CAD | 378,380,000 | 12/15/2031 | Semi-Annually | — | (1,837,541 | ) | (1,837,541 | ) | ||||||||||||||
3 Month CAD LIBOR | 1.71% | CAD | 298,680,000 | 12/15/2031 | Semi-Annually | — | (961,631 | ) | (961,631 | ) | ||||||||||||||
3 Month CAD LIBOR | 1.73% | CAD | 23,400,000 | 12/15/2031 | Semi-Annually | (15,682) | (42,261 | ) | (26,579 | ) | ||||||||||||||
0.56% | GBP - SONIA - COMPOUND | GBP | 206,830,000 | 12/15/2031 | Annually | — | 2,717,761 | 2,717,761 | ||||||||||||||||
0.56% | GBP - SONIA - COMPOUND | GBP | 103,300,000 | 12/15/2031 | Annually | — | 1,347,726 | 1,347,726 | ||||||||||||||||
0.59% | GBP - SONIA - COMPOUND | GBP | 176,250,000 | 12/15/2031 | Annually | — | 1,516,756 | 1,516,756 | ||||||||||||||||
0.60% | GBP - SONIA - COMPOUND | GBP | 11,750,000 | 12/15/2031 | Annually | 5,039 | 91,715 | 86,676 | ||||||||||||||||
0.64% | GBP - SONIA - COMPOUND | GBP | 121,720,000 | 12/15/2031 | Annually | (31,448) | 258,562 | 290,010 | ||||||||||||||||
0.64% | GBP - SONIA - COMPOUND | GBP | 7,400,000 | 12/15/2031 | Annually | 11,920 | 18,285 | 6,365 | ||||||||||||||||
3 Month NZD Bank Bill Rate | 1.96% | NZD | 23,580,000 | 12/15/2031 | Quarterly | 3,214 | (98,096 | ) | (101,310 | ) | ||||||||||||||
3 Month NZD Bank Bill Rate | 2.00% | NZD | 12,060,000 | 12/15/2031 | Quarterly | — | (21,313 | ) | (21,313 | ) | ||||||||||||||
3 Month NZD Bank Bill Rate | 2.00% | NZD | 223,110,000 | 12/15/2031 | Quarterly | (100,385) | (322,157 | ) | (221,772 | ) | ||||||||||||||
1.96% | 3 Month NZD Bank Bill Rate | NZD | 25,090,000 | 12/15/2031 | Quarterly | — | 108,434 | 108,434 | ||||||||||||||||
1.97% | 3 Month NZD Bank Bill Rate | NZD | 15,010,000 | 12/15/2031 | Quarterly | — | 57,590 | 57,590 | ||||||||||||||||
2.00% | 3 Month NZD Bank Bill Rate | NZD | 143,720,000 | 12/15/2031 | Quarterly | 115,773 | 226,111 | 110,338 | ||||||||||||||||
3 Month SEK STIBOR | 0.56% | SEK | 110,600,000 | 12/15/2031 | Quarterly | — | (115,081 | ) | (115,081 | ) | ||||||||||||||
3 Month SEK STIBOR | 0.56% | SEK | 841,270,000 | 12/15/2031 | Quarterly | — | (899,177 | ) | (899,177 | ) | ||||||||||||||
3 Month SEK STIBOR | 0.59% | SEK | 301,040,000 | 12/15/2031 | Quarterly | — | (224,585 | ) | (224,585 | ) | ||||||||||||||
3 Month SEK STIBOR | 0.64% | SEK | 968,370,000 | 12/15/2031 | Quarterly | (6,267) | (163,054 | ) | (156,787 | ) | ||||||||||||||
3 Month SEK STIBOR | 0.64% | SEK | 37,630,000 | 12/15/2031 | Quarterly | (285) | (6,336 | ) | (6,051 | ) | ||||||||||||||
6 Month EURIBOR | (0.08)% | EUR | 5,100,000 | 12/17/2031 | Semi-Annually | (1,267) | (50,937 | ) | (49,670 | ) | ||||||||||||||
(0.08)% | 6 Month EURIBOR | EUR | 108,940,000 | 12/17/2031 | Semi-Annually | 51,938 | 1,101,191 | 1,049,253 | ||||||||||||||||
1.41% | 3 Month USD LIBOR | USD | 187,230,000 | 12/17/2031 | Quarterly | 108,845 | (655,345 | ) | (764,190 | ) | ||||||||||||||
1.36% | 3 Month USD LIBOR | USD | 6,490,000 | 12/17/2031 | Quarterly | — | 6,447 | 6,447 | ||||||||||||||||
3 Month USD LIBOR | 1.42% | USD | 78,350,000 | 12/17/2031 | Quarterly | (8,465) | 311,696 | 320,161 | ||||||||||||||||
|
|
|
| |||||||||||||||||||||
$13,614 | $ | 1,554,671 | $ | 1,541,057 | ||||||||||||||||||||
|
|
|
|
OTC Total Return Swaps
Fund Pays | Fund Receives | Counterparty | Notional | Expiration Date | Periodic | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||
Depreciation of Total Return on CSI 500 Index + (1 Month USD LIBOR minus 8.50%) | Appreciation of Total Return on CSI 500 Index | GS | USD | 12,493,265 | 12/07/2021 | Monthly | — | 599,692 | 599,692 | |||||||||||||||||||
1 Month Federal Funds Rate plus 0.10% | Total Return on MSCI World Daily Total Return Net Value Index | GS | USD | 10,453,985 | 05/06/2022 | Monthly | — | 10,209 | 10,209 | |||||||||||||||||||
1 Month Federal Funds Rate minus 0.09% | Total Return on MSCI World Daily Total Return Net Value Index | UBSA | USD | 12,340,207 | 05/12/2022 | Monthly | — | (139,400 | ) | (139,400 | ) | |||||||||||||||||
Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month Federal Funds Rate plus 0.10% | UBSA | USD | 13,216,532 | 05/12/2022 | Monthly | — | (102,848 | ) | (102,848 | ) |
74 | See accompanying notes to the financial statements. |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2021 (Unaudited)
OTC Total Return Swaps — continued
Fund Pays | Fund Receives | Counterparty | Notional | Expiration Date | Periodic | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||
1 Month Federal Funds Rate plus 0.05% | Total Return on MSCI World Daily Total Return Net Value Index | UBSA | USD | 11,527,007 | 05/20/2022 | Monthly | — | (130,021 | ) | (130,021 | ) | |||||||||||||||||
Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month Federal Funds Rate plus 0.05% | UBSA | USD | 12,146,028 | 05/20/2022 | Monthly | — | (94,771 | ) | (94,771 | ) | |||||||||||||||||
Total Return on Equity Basket(m) | 1 Month Federal Funds Rate minus 0.75% | GS | USD | 11,795,600 | 05/24/2022 | Monthly | — | (369,027 | ) | (369,027 | ) | |||||||||||||||||
Total Return on Equity Basket(m) | 1 Month Federal Funds Rate minus 0.75% | GS | USD | 313,904 | 05/24/2022 | Monthly | — | (30,436 | ) | (30,436 | ) | |||||||||||||||||
Total Return on Equity Basket(m) | 1 Month Federal Funds Rate minus 0.75% | GS | USD | 1,048,448 | 05/24/2022 | Monthly | — | (51,766 | ) | (51,766 | ) | |||||||||||||||||
Total Return on Equity Basket(m) | 1 Month Federal Funds Rate minus 0.50% | GS | USD | 11,102,084 | 05/24/2022 | Monthly | — | 225,238 | 225,238 | |||||||||||||||||||
Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month Federal Funds Rate minus 0.02% | GS | USD | 11,097,034 | 05/06/2022 | Monthly | — | (141,020 | ) | (141,020 | ) | |||||||||||||||||
Total Return on Equity Basket(n) | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 67,893,867 | 10/18/2022 | Monthly | — | (1,803,134 | ) | (1,803,134 | ) | |||||||||||||||||
Total Return on Equity Basket(m) | 1 Month Federal Funds Rate minus 1.00% | MORD | USD | 3,668,297 | 10/18/2022 | Monthly | — | (14,845 | ) | (14,845 | ) | |||||||||||||||||
Total Return on Equity Basket(m) | 1 Month Federal Funds Rate minus 2.66% | MORD | USD | 24,088,785 | 05/18/2023 | Monthly | — | (369,872 | ) | (369,872 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | — | $ | (2,412,001 | ) | $ | (2,412,001 | ) | |||||||||||||||||||||
|
|
|
|
|
|
As of August 31, 2021, 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) | 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). |
(c) | Securities are traded on separate exchanges for the same entity. |
(d) | Investment valued using significant unobservable inputs (Note 2). |
(e) | 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). |
(f) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
(g) | Security is in default. |
(h) | All or a portion of this security is purchased with collateral from securities loaned (Note 2). |
(i) | The rate disclosed is the 7 day net yield as of August 31, 2021. |
(j) | All or a portion of this security or derivative is owned by GMO Implementation SPC Ltd., which is a 100% owned subsidiary of GMO Implementation Fund. |
(k) | The rate shown represents yield-to-maturity. |
(l) | All or a portion of this investment is held in connection with one or more holdings within the Fund. |
See accompanying notes to the financial statements. | 75 |
GMO Implementation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2021 (Unaudited)
(m) | 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. |
(n) | The following table represents the individual short positions within the custom equity basket swap as of August 31, 2021: |
Shares | Description | % of Equity Basket | Value ($) | |||||||||||
35,330,000 | Alibaba Pictures Group Ltd | 5.4 | % | 3,765,491 | ||||||||||
13,416,000 | China Molybdenum Co Ltd – Class H | 15.1 | % | 10,466,714 | ||||||||||
708,000 | China Resources Beer Holdings Co Ltd | 8.4 | % | 5,822,153 | ||||||||||
2,648,000 | China Youzan Ltd | 0.5 | % | 370,703 | ||||||||||
130,000 | Citic Securities Co Ltd – Class H | 0.5 | % | 329,261 | ||||||||||
237,000 | Galaxy Entertainment Group Ltd | 2.2 | % | 1,519,548 | ||||||||||
4,792,000 | Greentown Service Group Co Ltd | 7.4 | % | 5,124,498 | ||||||||||
40,000 | Haidilao International Holding Ltd | 0.2 | % | 163,247 | ||||||||||
144,500 | Hong Kong Exchanges and Clearing Ltd | 13.1 | % | 9,128,650 | ||||||||||
2,300,000 | Kingdee International Software Group Co Ltd | 12.0 | % | 8,375,159 | ||||||||||
234,000 | New World Development Co Ltd | 1.6 | % | 1,100,651 | ||||||||||
1,523,200 | Sands China Ltd | 7.0 | % | 4,893,431 | ||||||||||
2,176,000 | SJM Holdings Ltd | 2.7 | % | 1,893,589 | ||||||||||
114,500 | Venus Medtech Hangzhou Inc – Class H | 0.8 | % | 541,960 | ||||||||||
3,039,600 | Wynn Macau Ltd | 4.9 | % | 3,424,821 | ||||||||||
583,000 | Yihai International Holding Ltd. | 4.5 | % | 3,154,053 | ||||||||||
6,714,000 | Zijin Mining Group Co Ltd – Class H | 13.7 | % | 9,500,153 | ||||||||||
|
| |||||||||||||
TOTAL COMMON STOCKS | $ | 69,574,082 | ||||||||||||
|
|
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 97.
76 | See accompanying notes to the financial statements. |
GMO International Developed Equity Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2021 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 95.9 | % | ||
Short-Term Investments | 3.7 | |||
Preferred Stocks | 1.7 | |||
Debt Obligations | 0.2 | |||
Investment Funds | 0.1 | |||
Swap Contracts | 0.0 | ^ | ||
Futures Contracts | (0.0 | )^ | ||
Other | (1.6 | ) | ||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | % of Investments | |||
Japan | 22.0 | % | ||
United Kingdom | 15.5 | |||
Germany | 9.2 | |||
France | 8.3 | |||
Netherlands | 6.4 | |||
Switzerland | 5.5 | |||
Spain | 4.9 | |||
Italy | 4.0 | |||
Singapore | 3.5 | |||
Australia | 3.1 | |||
Other Emerging | 2.7 | † | ||
China | 2.6 | |||
Hong Kong | 2.1 | |||
Taiwan | 1.9 | |||
Portugal | 1.9 | |||
Norway | 1.5 | |||
Ireland | 1.3 | |||
Russia | 1.3 | |||
Belgium | 1.2 | |||
Other Developed | 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%. |
77 |
GMO International Developed Equity Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
MUTUAL FUNDS — 100.0% |
| |||||||||
Affiliated Issuers — 100.0% | ||||||||||
532,166 | GMO Emerging Markets Fund, Class VI | 19,642,259 | ||||||||
8,894,284 | GMO International Equity Fund, Class IV | 224,313,831 | ||||||||
448,029 | GMO-Usonian Japan Value Creation Fund, Class VI | 10,210,580 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $232,050,817) | 254,166,670 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.0% | ||||||||||
Money Market Funds — 0.0% | ||||||||||
89,564 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a) | 89,564 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $89,564) | 89,564 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $232,140,381) | 254,256,234 | |||||||||
Other Assets and Liabilities (net) — (0.0%) | (21,692 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $254,234,542 | |||||||||
|
|
Notes to Schedule of Investments:
(a) | The rate disclosed is the 7 day net yield as of August 31, 2021. |
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 97.
78 | See accompanying notes to the financial statements. |
GMO International Equity Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2021 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 94.8 | % | ||
Short-Term Investments | 2.7 | |||
Preferred Stocks | 2.2 | |||
Debt Obligations | 0.8 | |||
Investment Funds | 0.4 | |||
Swap Contracts | 0.0 | ^ | ||
Futures Contracts | (0.2 | ) | ||
Other | (0.7 | ) | ||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | % of Investments | |||
Japan | 15.3 | % | ||
China | 12.3 | |||
United Kingdom | 10.1 | |||
Taiwan | 9.1 | |||
Russia | 6.1 | |||
Germany | 5.9 | |||
France | 5.3 | |||
Netherlands | 4.0 | |||
Other Emerging | 3.9 | † | ||
Switzerland | 3.5 | |||
Korea | 3.5 | |||
Spain | 3.1 | |||
Italy | 2.5 | |||
India | 2.5 | |||
Singapore | 2.4 | |||
Other Developed | 2.3 | ‡ | ||
Australia | 1.9 | |||
Mexico | 1.7 | |||
Hong Kong | 1.4 | |||
Portugal | 1.2 | |||
Indonesia | 1.0 | |||
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%. |
79 |
GMO International Equity Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
MUTUAL FUNDS — 100.0% |
| |||||||||
Affiliated Issuers — 100.0% | ||||||||||
8,604,267 | GMO Emerging Markets Fund, Class VI | 317,583,484 | ||||||||
19,482,362 | GMO International Equity Fund, Class IV | 491,345,160 | ||||||||
1,502,767 | GMO-Usonian Japan Value Creation Fund, Class VI | 34,248,068 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $746,899,017) | 843,176,712 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.0% | ||||||||||
Money Market Funds — 0.0% | ||||||||||
321,937 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a) | 321,937 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $321,937) | 321,937 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.0% (Cost $747,220,954) | 843,498,649 | |||||||||
Other Assets and Liabilities (net) — (0.0%) | (55,392 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $843,443,257 | |||||||||
|
|
Notes to Schedule of Investments:
(a) | The rate disclosed is the 7 day net yield as of August 31, 2021. |
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 97.
80 | See accompanying notes to the financial statements. |
(A Series of GMO Trust)
Consolidated Investment Concentration Summary (a)
August 31, 2021 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Debt Obligations | 97.8 | % | ||
Short-Term Investments | 2.5 | |||
Forward Currency Contracts | 0.3 | |||
Swap Contracts | (0.2 | ) | ||
Futures Contracts | (1.1 | )# | ||
Other | 0.7 | |||
|
| |||
100.0 | % | |||
|
|
(a) | GMO Alternative Asset SPC Ltd. is a 100% owned subsidiary of GMO SGM Major Markets Fund. As such, the holdings of GMO Alternative Asset SPC Ltd. have been included with GMO SGM Major Markets Fund. |
& | In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). The exposure the Fund has to futures contracts based on notional amounts is 42.9% of net assets. |
# | Some or all is comprised of commodity exposure. See the Consolidated Schedule of Investments. |
81 |
GMO SGM Major Markets Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Par Value† / Shares | Description | Value ($) | ||||||
DEBT OBLIGATIONS — 97.8% | ||||||||
United States — 97.8% | ||||||||
U.S. Government — 97.8% | ||||||||
30,000,000 | U.S. Treasury Note, 1.50%, due 01/31/22 | 30,178,125 | ||||||
14,500,000 | U.S. Treasury Note, 0.13%, due 04/30/22 | 14,505,664 | ||||||
45,000,000 | U.S. Treasury Note, 0.13%, due 11/30/22 | 45,010,547 | ||||||
10,000,000 | U.S. Treasury Note, 0.13%, due 12/31/22 (a) | 9,998,828 | ||||||
20,000,000 | U.S. Treasury Note, 0.13%, due 01/31/23 | 19,996,875 | ||||||
35,000,000 | U.S. Treasury Note, 0.13%, due 03/31/23 | 34,982,227 | ||||||
31,000,000 | U.S. Treasury Note, 0.13%, due 06/30/23 | 30,976,992 | ||||||
20,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.10%, due 10/31/22 | 20,011,382 | ||||||
75,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.05%, 0.09%, due 01/31/23 (a) (b) | 75,037,207 | ||||||
30,000,000 | U.S. Treasury Note, Variable Rate, USBM + 0.03%, 0.08%, due 04/30/23 (b) | 30,002,109 | ||||||
|
| |||||||
Total U.S. Government | 310,699,956 | |||||||
|
| |||||||
Total United States | 310,699,956 | |||||||
|
| |||||||
TOTAL DEBT OBLIGATIONS (COST $310,585,287) | 310,699,956 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 2.5% | ||||||||
Money Market Funds — 1.0% | ||||||||
2,680,376 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (c) | 2,680,376 | ||||||
575,502 | State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.01% (a) | 575,502 | ||||||
|
| |||||||
Total Money Market Funds | 3,255,878 | |||||||
|
| |||||||
U.S. Government — 1.5% | ||||||||
2,100,000 | U.S. Treasury Bill, 0.06%, due 05/19/22 (a) (d) | 2,099,166 | ||||||
1,200,000 | U.S. Treasury Bill, 0.06%, due 07/14/22 (a) (d) | 1,199,336 | ||||||
1,400,000 | U.S. Treasury Bill, 0.07%, due 08/11/22 (a) (d) | 1,399,064 | ||||||
|
| |||||||
Total U.S. Government | 4,697,566 | |||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (COST $7,953,409) | 7,953,444 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.3% (Cost $318,538,696) | 318,653,400 | |||||||
Other Assets and Liabilities (net) — (0.3%) | (920,914 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS — 100.0% | $317,732,486 | |||||||
|
|
A summary of outstanding financial instruments at August 31, 2021 is as follows:
Forward Currency Contracts
Settlement | Counter- party | Currency Sold | Currency Purchased | Net Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||||
10/18/2021 | DB | AUD | 44,325,501 | USD | 32,664,127 | 229,553 | ||||||||||||||||
10/18/2021 | MSCI | AUD | 1,872,839 | USD | 1,365,496 | (4,928 | ) | |||||||||||||||
09/09/2021 | GS | CAD | 1,390,209 | USD | 1,098,116 | (3,762 | ) | |||||||||||||||
09/09/2021 | JPM | CAD | 1,825,241 | USD | 1,463,586 | 16,901 | ||||||||||||||||
09/09/2021 | UBSA | CAD | 18,343,010 | USD | 14,622,000 | 83,346 | ||||||||||||||||
09/07/2021 | BCLY | CHF | 7,383,845 | USD | 7,993,327 | (70,846 | ) | |||||||||||||||
09/07/2021 | GS | EUR | 4,528,963 | USD | 5,316,290 | (31,771 | ) | |||||||||||||||
09/07/2021 | JPM | EUR | 1,694,031 | USD | 1,989,130 | (11,280 | ) | |||||||||||||||
09/07/2021 | UBSA | EUR | 14,987,071 | USD | 17,779,912 | 82,315 | ||||||||||||||||
10/21/2021 | UBSA | GBP | 929,177 | USD | 1,276,739 | (879 | ) | |||||||||||||||
09/07/2021 | JPM | JPY | 1,485,525,384 | USD | 13,530,487 | 27,069 | ||||||||||||||||
09/07/2021 | MSCI | JPY | 604,843,196 | USD | 5,486,614 | (11,407 | ) | |||||||||||||||
09/07/2021 | UBSA | JPY | 674,307,193 | USD | 6,133,185 | 3,736 | ||||||||||||||||
10/06/2021 | GS | JPY | 258,183,661 | USD | 2,342,282 | (5,204 | ) | |||||||||||||||
10/06/2021 | UBSA | JPY | 193,266,470 | USD | 1,771,707 | 14,468 | ||||||||||||||||
10/18/2021 | UBSA | NZD | 8,561,761 | USD | 6,018,498 | (13,927 | ) | |||||||||||||||
10/18/2021 | GS | USD | 2,189,395 | AUD | 2,980,927 | (8,143 | ) | |||||||||||||||
10/18/2021 | JPM | USD | 5,289,041 | AUD | 7,311,556 | 61,089 | ||||||||||||||||
09/09/2021 | GS | USD | 1,151,657 | CAD | 1,441,665 | (8,994 | ) | |||||||||||||||
09/09/2021 | UBSA | USD | 1,718,713 | CAD | 2,146,239 | (17,605 | ) | |||||||||||||||
09/07/2021 | JPM | USD | 5,157,849 | EUR | 4,332,543 | (41,733 | ) | |||||||||||||||
09/07/2021 | UBSA | USD | 48,362,209 | EUR | 40,746,962 | (245,850 | ) | |||||||||||||||
09/21/2021 | SSB | USD | 16,601,108 | EUR | 14,044,752 | (11,610 | ) | |||||||||||||||
10/18/2021 | UBSA | USD | 8,504,277 | EUR | 7,238,539 | 50,331 | ||||||||||||||||
10/21/2021 | SSB | USD | 16,559,130 | EUR | 14,000,000 | (12,790 | ) | |||||||||||||||
10/21/2021 | UBSA | USD | 1,304,782 | EUR | 1,104,793 | 953 | ||||||||||||||||
09/07/2021 | UBSA | USD | 25,408,105 | JPY | 2,833,702,446 | 350,234 | ||||||||||||||||
10/06/2021 | BCLY | USD | 3,040,316 | JPY | 336,661,770 | 20,718 | ||||||||||||||||
10/06/2021 | JPM | USD | 28,461,975 | JPY | 3,171,001,067 | 369,755 | ||||||||||||||||
10/06/2021 | MSCI | USD | 2,509,585 | JPY | 275,370,228 | (5,833 | ) | |||||||||||||||
10/06/2021 | UBSA | USD | 1,690,704 | JPY | 187,121,357 | 10,662 | ||||||||||||||||
|
| |||||||||||||||||||||
$ | 814,568 | |||||||||||||||||||||
|
|
82 | See accompanying notes to the financial statements. |
GMO SGM Major Markets Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2021 (Unaudited)
Futures Contracts
Number | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Buys | ||||||||||||
172 | Australian Government Bond 10 Yr. | September 2021 | 18,346,641 | 647,334 | ||||||||
293 | CAC40 10 Euro | September 2021 | 23,124,967 | (286,928 | ) | |||||||
119 | Canadian Government Bond 10 Yr. | December 2021 | 13,783,117 | 1,131 | ||||||||
342 | Corn (a) | December 2021 | 9,135,675 | (374,745 | ) | |||||||
61 | DAX Index | September 2021 | 28,435,949 | 48,691 | ||||||||
239 | FTSE 100 Index | September 2021 | 23,322,256 | 36,306 | ||||||||
10 | Hang Seng Index | September 2021 | 1,654,836 | 10,043 | ||||||||
1,108 | Mini MSCI Emerging Markets | September 2021 | 71,975,680 | (3,486,287 | ) | |||||||
98 | MSCI Singapore | September 2021 | 2,556,735 | (49,674 | ) | |||||||
281 | S&P 500 E-Mini | September 2021 | 63,513,025 | 3,885,080 | ||||||||
17 | S&P/TSX 60 | September 2021 | 3,314,437 | 95,018 | ||||||||
117 | Silver (a) | December 2021 | 14,043,510 | 156,220 | ||||||||
174 | Soybean (a) | November 2021 | 11,244,750 | (786,001 | ) | |||||||
284 | U.S. Treasury Note 10 Yr. (CBT) | December 2021 | 37,900,688 | 84,507 | ||||||||
137 | WTI Crude (a) | September 2021 | 9,384,500 | 82,948 | ||||||||
|
|
|
| |||||||||
$ | 331,736,766 | $ | 63,643 | |||||||||
|
|
|
|
Number | Type | Expiration Date | Notional Amount ($) | Value/Net Unrealized Appreciation (Depreciation) ($) | ||||||||
Sales | ||||||||||||
411 | E-mini Russell 2000 Index | September 2021 | 46,673,160 | 779,494 | ||||||||
213 | Euro Bund | September 2021 | 44,125,649 | (825,038 | ) | |||||||
26 | Euro Bund | December 2021 | 5,296,894 | (326 | ) | |||||||
109 | FTSE Taiwan Index | September 2021 | 6,593,104 | (139,041 | ) | |||||||
166 | FTSE/JSE TOP 40 | September 2021 | 6,915,093 | 49,242 | ||||||||
57 | Gold 100 OZ (a) | December 2021 | 10,363,170 | (75,260 | ) | |||||||
8 | Japanese Government Bond 10 Yr. (OSE) | September 2021 | 11,064,673 | (51,480 | ) | |||||||
84 | NASDAQ 100 E-Mini | September 2021 | 26,178,600 | (2,625,214 | ) | |||||||
131 | SPI 200 Futures | September 2021 | 17,823,288 | (436,366 | ) | |||||||
74 | TOPIX Index | September 2021 | 13,201,972 | (297,474 | ) | |||||||
40 | UK Gilt Long Bond | December 2021 | 7,052,431 | 44,382 | ||||||||
|
|
|
| |||||||||
$ | 195,288,034 | $ | (3,577,081 | ) | ||||||||
|
|
|
|
+ | 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 | Expiration Date | Periodic | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||
1 Month Federate Funds Rate plus 0.10% | Total Return on MSCI Japan Value Net Total Return Local Index | GS | USD | 8,849,660 | 05/06/2022 | Monthly | — | 8,643 | 8,643 | |||||||||||||||||||
1 Month Federal Funds Rate plus 0.09% | Total Return on MSCI Japan Value Net Total Return Local Index | UBSA | USD | 10,441,762 | 05/12/2022 | Monthly | — | (117,954 | ) | (117,954 | ) | |||||||||||||||||
Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month Federal Funds Rate plus 0.10% | UBSA | USD | 11,183,180 | 05/12/2022 | Monthly | — | (87,025 | ) | (87,025 | ) | |||||||||||||||||
1 Month Federal Funds Rate plus 0.05% | Total Return on MSCI Japan Value Net Total Return Local Index | UBSA | USD | 9,838,988 | 05/20/2022 | Monthly | — | (110,981 | ) | (110,981 | ) | |||||||||||||||||
Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month Federal Funds Rate plus 0.05% | UBSA | USD | 10,367,384 | 05/20/2022 | Monthly | — | (80,893 | ) | (80,893 | ) | |||||||||||||||||
Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month JPY LIBOR minus 0.02% | GS | USD | 9,384,686 | 06/06/2022 | Monthly | — | (119,260 | ) | (119,260 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | — | $ | (507,470 | ) | $ | (507,470 | ) | |||||||||||||||||||||
|
|
|
|
|
|
As of August 31, 2021, 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. | 83 |
GMO SGM Major Markets Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
August 31, 2021 (Unaudited)
Notes to Schedule of Investments:
† | Denominated in U.S. Dollar, unless otherwise indicated. |
(a) | All or a portion of this security or derivative is owned by GMO Alternative Asset SPC Ltd., which is a 100% owned subsidiary of GMO SGM Major Markets Fund. |
(b) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4). |
(c) | The rate disclosed is the 7 day net yield as of August 31, 2021. |
(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 97.
84 | See accompanying notes to the financial statements. |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2021 (Unaudited)
Asset Class Summary& | % of Total Net Assets | |||
Common Stocks | 91.2 | % | ||
Debt Obligations | 5.8 | |||
Short-Term Investments | 2.2 | |||
Preferred Stocks | 1.1 | |||
Investment Funds | 0.2 | |||
Loan Assignments | 0.0 | ^ | ||
Loan Participations | 0.0 | ^ | ||
Rights/Warrants | 0.0 | ^ | ||
Swap Contracts | 0.0 | ^ | ||
Written Options | | 0.0 | ^ | |
Forward Currency Contracts | (0.0 | )^ | ||
Reverse Repurchase Agreements | (0.0 | )^ | ||
Futures Contracts | (0.1 | ) | ||
Securities Sold Short | (18.6 | ) | ||
Other | 18.2 | |||
|
| |||
100.0 | % | |||
|
| |||
Country/Region Summary¤ | Debt Obligations as a % of Total Net Assets | |||
Other Emerging | 3.3 | †% | ||
United States | 0.5 | |||
Other Developed | 0.0 | ^‡ | ||
Euro Region | 0.0 | ^# | ||
|
| |||
3.8 | % | |||
|
| |||
Country/Region Summary¤ | Equity Investments as a % of Total Net Assets | |||
United States | 18.6 | % | ||
Japan | 11.2 | |||
China | 7.3 | |||
Other Developed | 6.1 | ‡ | ||
Taiwan | 5.1 | |||
United Kingdom | 4.8 | |||
Russia | 3.6 | |||
Other Emerging | 2.4 | † | ||
Netherlands | 2.1 | |||
France | 1.9 | |||
Germany | 1.7 | |||
South Korea | 1.6 | |||
India | 1.5 | |||
Spain | 1.4 | |||
Australia | 1.2 | |||
Mexico | 1.2 | |||
Italy | 1.1 | |||
Hong Kong | 1.1 | |||
Euro Region | 0.0 | ^# | ||
|
| |||
73.9 | % | |||
|
|
& | 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. 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%. |
85 |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 40.3% |
| |||||||||
Australia — 1.2% | ||||||||||
25,718 | Accent Group Ltd | 40,311 | ||||||||
48,596 | Australian Pharmaceutical Industries Ltd | 47,760 | ||||||||
46,860 | Bank of Queensland Ltd | 322,755 | ||||||||
33,668 | BlueScope Steel Ltd | 615,529 | ||||||||
16,615 | Brambles Ltd | 146,865 | ||||||||
135 | Computershare Ltd (a) | 1,622 | ||||||||
774 | CSR Ltd | 3,073 | ||||||||
61,460 | Dexus (REIT) | 478,283 | ||||||||
57,713 | Fortescue Metals Group Ltd | 879,849 | ||||||||
31,008 | Genworth Mortgage Insurance Australia Ltd | 50,144 | ||||||||
155,452 | GPT Group (The) (REIT) | 550,340 | ||||||||
9,532 | McMillan Shakespeare Ltd | 86,688 | ||||||||
8,603 | Metcash Ltd | 25,580 | ||||||||
1,949 | Mineral Resources Ltd | 77,531 | ||||||||
109,356 | Mirvac Group (REIT) | 249,046 | ||||||||
5,255 | Rio Tinto Ltd | 427,573 | ||||||||
28,526 | Sandfire Resources Ltd | 134,401 | ||||||||
147,509 | Scentre Group (REIT) | 306,800 | ||||||||
63,092 | Stockland (REIT) | 212,613 | ||||||||
2,666 | Super Retail Group Ltd | 23,894 | ||||||||
|
| |||||||||
Total Australia | 4,680,657 | |||||||||
|
| |||||||||
Belgium — 0.4% | ||||||||||
21,315 | Ageas SA/NV | 1,065,174 | ||||||||
1,460 | Bekaert SA | 69,510 | ||||||||
7,184 | bpost SA * | 69,438 | ||||||||
582 | Telenet Group Holding NV (a) | 22,145 | ||||||||
3,505 | UCB SA | 401,003 | ||||||||
|
| |||||||||
Total Belgium | 1,627,270 | |||||||||
|
| |||||||||
Canada — 1.0% | ||||||||||
8,170 | Brookfield Asset Management Inc – Class A | 453,844 | ||||||||
6,300 | Canaccord Genuity Group Inc | 75,252 | ||||||||
8,400 | Canadian Apartment Properties (REIT) | 406,867 | ||||||||
1,400 | Canadian Tire Corp Ltd – Class A | 213,054 | ||||||||
10,800 | Canfor Corp * | 231,811 | ||||||||
11,900 | Cascades Inc | 147,895 | ||||||||
11,758 | Celestica Inc * | 111,555 | ||||||||
1,100 | Cogeco Inc | 79,593 | ||||||||
24,000 | Corus Entertainment Inc – B Shares (a) | 118,892 | ||||||||
100 | Fairfax Financial Holdings Ltd | 44,265 | ||||||||
2,000 | iA Financial Corp Inc | 110,902 | ||||||||
3,600 | Imperial Oil Ltd | 95,275 | ||||||||
1,300 | Interfor Corp | 27,604 | ||||||||
6,500 | Intertape Polymer Group Inc | 158,475 | ||||||||
3,900 | Linamar Corp | 220,958 | ||||||||
6,200 | Magna International Inc | 489,602 | ||||||||
5,800 | Nutrien Ltd | 352,002 |
Shares | Description | Value ($) | ||||||||
Canada — continued | ||||||||||
5,400 | Power Corp of Canada | 186,356 | ||||||||
600 | RioCan Real Estate Investment Trust (REIT) | 10,658 | ||||||||
1,800 | Transcontinental Inc – Class A | 34,840 | ||||||||
1,100 | West Fraser Timber Co Ltd | 84,938 | ||||||||
|
| |||||||||
Total Canada | 3,654,638 | |||||||||
|
| |||||||||
China — 1.3% | ||||||||||
62,000 | Agile Group Holdings Ltd | 71,101 | ||||||||
800 | Autohome Inc ADR (a) | 35,408 | ||||||||
663,000 | Bank of Communications Co Ltd – Class H | 380,763 | ||||||||
31,000 | Beijing Enterprises Holdings Ltd | 106,685 | ||||||||
26,000 | China Aoyuan Group Ltd | 15,545 | ||||||||
206,000 | China Communications Services Corp Ltd – Class H | 109,468 | ||||||||
4,716,000 | China Huarong Asset Management Co Ltd – Class H * (b) | 460,840 | ||||||||
190,000 | China Overseas Land & Investment Ltd | 437,700 | ||||||||
804,000 | China Railway Group Ltd – Class H | 385,055 | ||||||||
286,000 | China Zhongwang Holdings Ltd * | 62,066 | ||||||||
128,000 | CITIC Ltd | 159,031 | ||||||||
514,000 | Dongfeng Motor Group Co Ltd – Class H | 562,825 | ||||||||
46,000 | Fosun International Ltd | 58,185 | ||||||||
209,200 | Guangzhou R&F Properties Co Ltd – Class H | 178,366 | ||||||||
6,200 | Haier Smart Home Co Ltd – Class H | 23,355 | ||||||||
33,400 | Hello Group Inc Sponsored ADR (a) | 438,876 | ||||||||
24,500 | Kingboard Holdings Ltd | 120,465 | ||||||||
38,000 | Seazen Group Ltd * | 33,656 | ||||||||
57,900 | Shanghai Pharmaceuticals Holding Co Ltd – Class H | 114,864 | ||||||||
139,000 | Shimao Group Holdings Ltd | 287,218 | ||||||||
104,000 | Sinopharm Group Co Ltd – Class H | 267,645 | ||||||||
346,000 | Skyworth Group Ltd * | 108,095 | ||||||||
72,000 | Sunac China Holdings Ltd | 184,091 | ||||||||
4,201 | Tencent Holdings Ltd | 259,465 | ||||||||
515,995 | Yuzhou Group Holdings Co Ltd | 99,451 | ||||||||
|
| |||||||||
Total China | 4,960,219 | |||||||||
|
| |||||||||
Denmark — 0.4% | ||||||||||
44 | AP Moller – Maersk A/S – Class A | 119,237 | ||||||||
56 | AP Moller – Maersk A/S – Class B | 159,530 | ||||||||
231 | Carlsberg A/S – Class B | 40,348 | ||||||||
30,289 | Danske Bank A/S | 508,265 | ||||||||
4,504 | Pandora A/S | 539,868 | ||||||||
4,737 | Scandinavian Tobacco Group A/S | 96,203 | ||||||||
|
| |||||||||
Total Denmark | 1,463,451 | |||||||||
|
| |||||||||
Finland — 0.3% | ||||||||||
1,802 | Kesko Oyj – B Shares | 74,566 | ||||||||
6,240 | Neste Oyj | 380,091 | ||||||||
83,149 | Nokia Oyj * | 499,487 | ||||||||
1,095 | Tokmanni Group Corp | 31,590 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Finland — continued | ||||||||||
1,067 | UPM-Kymmene Oyj | 43,468 | ||||||||
2,184 | Uponor Oyj | 70,433 | ||||||||
|
| |||||||||
Total Finland | 1,099,635 | |||||||||
|
| |||||||||
France — 1.2% | ||||||||||
5,235 | ALD SA | 73,729 | ||||||||
532 | Amundi SA | 50,350 | ||||||||
3,542 | APERAM SA | 217,306 | ||||||||
954 | ArcelorMittal SA | 31,997 | ||||||||
5,362 | BNP Paribas SA | 339,682 | ||||||||
10,144 | Derichebourg SA * | 120,068 | ||||||||
2,665 | IPSOS (a) | 129,171 | ||||||||
441 | Kering SA | 351,266 | ||||||||
573 | LVMH Moet Hennessy Louis Vuitton SE | 424,484 | ||||||||
5,872 | Metropole Television SA (a) | 125,041 | ||||||||
1,758 | Nexity SA | 90,786 | ||||||||
14,419 | Orange SA | 163,933 | ||||||||
11,652 | Publicis Groupe SA (a) | 764,954 | ||||||||
3,784 | Quadient SA | 107,458 | ||||||||
4,255 | Safran SA | 533,771 | ||||||||
710 | Societe BIC SA | 47,269 | ||||||||
19,742 | Societe Generale SA | 621,362 | ||||||||
11,892 | Television Francaise 1 (a) | 119,374 | ||||||||
1,504 | Vicat SA | 74,947 | ||||||||
|
| |||||||||
Total France | 4,386,948 | |||||||||
|
| |||||||||
Germany — 0.9% | ||||||||||
2,009 | ADVA Optical Networking SE * | 33,298 | ||||||||
7,521 | Bayer AG (Registered) | 418,400 | ||||||||
3,060 | Bayerische Motoren Werke AG | 290,451 | ||||||||
2,813 | Beiersdorf AG | 341,397 | ||||||||
6,897 | Daimler AG (Registered) | 581,795 | ||||||||
387 | Draegerwerk AG & Co KGaA (a) | 32,869 | ||||||||
8,913 | Fresenius SE & Co KGaA (a) | 463,416 | ||||||||
5,528 | HeidelbergCement AG | 479,424 | ||||||||
1,287 | Hornbach Baumarkt AG | 51,493 | ||||||||
794 | Hornbach Holding AG & Co KGaA | 84,937 | ||||||||
9,186 | Kloeckner & Co SE * | 124,029 | ||||||||
9,068 | ProSiebenSat.1 Media SE (a) | 173,123 | ||||||||
2,559 | SAP SE (a) | 384,387 | ||||||||
|
| |||||||||
Total Germany | 3,459,019 | |||||||||
|
| |||||||||
Hong Kong — 0.6% | ||||||||||
19,000 | Chow Sang Sang Holdings International Ltd | 28,903 | ||||||||
243,000 | CITIC Telecom International Holdings Ltd | 84,382 | ||||||||
73,000 | CK Hutchison Holdings Ltd | 532,178 | ||||||||
20,400 | Dah Sing Financial Holdings Ltd | 63,465 | ||||||||
406,000 | First Pacific Co Ltd | 151,364 | ||||||||
20,000 | HKT Trust & HKT Ltd – Class SS | 27,272 | ||||||||
36,500 | Johnson Electric Holdings Ltd | 83,591 |
Shares | Description | Value ($) | ||||||||
Hong Kong — continued | ||||||||||
56,000 | K Wah International Holdings Ltd | 24,556 | ||||||||
64,000 | Kerry Properties Ltd | 217,741 | ||||||||
154,000 | Pacific Textiles Holdings Ltd | 82,143 | ||||||||
575,000 | PCCW Ltd | 299,869 | ||||||||
210,000 | Shun Tak Holdings Ltd * | 60,177 | ||||||||
60,000 | Sun Hung Kai & Co Ltd | 32,854 | ||||||||
24,500 | Swire Pacific Ltd – Class A | 165,861 | ||||||||
102,000 | VSTECS Holdings Ltd | 95,938 | ||||||||
26,800 | VTech Holdings Ltd | 260,316 | ||||||||
94,500 | Yue Yuen Industrial Holdings Ltd * | 191,643 | ||||||||
|
| |||||||||
Total Hong Kong | 2,402,253 | |||||||||
|
| |||||||||
India — 0.4% | ||||||||||
11,738 | Hindustan Petroleum Corp Ltd | 42,852 | ||||||||
89,393 | Indiabulls Housing Finance Ltd | 273,411 | ||||||||
27,232 | Indian Oil Corp Ltd | 41,304 | ||||||||
98,303 | NTPC Ltd | 155,694 | ||||||||
384,278 | Oil & Natural Gas Corp Ltd | 631,489 | ||||||||
167,374 | REC Ltd | 346,859 | ||||||||
|
| |||||||||
Total India | 1,491,609 | |||||||||
|
| |||||||||
Ireland — 0.5% | ||||||||||
42,546 | AIB Group Plc * | 127,838 | ||||||||
67,710 | Bank of Ireland Group Plc * | 423,815 | ||||||||
3,026 | Dole Plc * | 48,567 | ||||||||
2,710 | Glanbia Plc | 48,382 | ||||||||
62,269 | Hibernia REIT Plc | 93,191 | ||||||||
9,692 | Origin Enterprises Plc | 38,244 | ||||||||
22,180 | Ryanair Holdings Plc * | 414,909 | ||||||||
9,904 | Smurfit Kappa Group Plc | 567,637 | ||||||||
|
| |||||||||
Total Ireland | 1,762,583 | |||||||||
|
| |||||||||
Israel — 0.3% | ||||||||||
34,470 | Bank Leumi Le-Israel BM | 284,764 | ||||||||
3,000 | Check Point Software Technologies Ltd * | 376,890 | ||||||||
11,916 | Isracard Ltd | 49,447 | ||||||||
48,900 | Teva Pharmaceutical Industries Ltd Sponsored ADR * | 460,638 | ||||||||
|
| |||||||||
Total Israel | 1,171,739 | |||||||||
|
| |||||||||
Italy — 1.0% | ||||||||||
31,796 | A2A SPA | 69,855 | ||||||||
1,262 | ACEA SPA | 30,136 | ||||||||
3,839 | Ascopiave SPA | 16,205 | ||||||||
1,751 | Banca IFIS SPA | 30,390 | ||||||||
18,053 | Buzzi Unicem SPA | 479,258 | ||||||||
3,639 | Cementir Holding NV | 41,215 | ||||||||
4,544 | Credito Emiliano SPA | 30,459 | ||||||||
15,646 | EXOR NV | 1,305,399 | ||||||||
14,321 | Italgas SPA | 94,943 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Italy — continued | ||||||||||
1,690 | La Doria SPA | 36,378 | ||||||||
34,964 | Leonardo SPA * | 284,694 | ||||||||
9,979 | Mediobanca Banca di Credito Finanziario SPA * | 117,638 | ||||||||
1,879 | Poste Italiane SPA | 25,475 | ||||||||
229 | Sesa SPA * | 45,682 | ||||||||
306,947 | Telecom Italia SPA | 139,068 | ||||||||
1,344,215 | Telecom Italia SPA – RSP | 649,432 | ||||||||
37,333 | Unipol Gruppo SPA | 221,425 | ||||||||
|
| |||||||||
Total Italy | 3,617,652 | |||||||||
|
| |||||||||
Japan — 10.5% | ||||||||||
2,100 | ADEKA Corp | 45,844 | ||||||||
5,700 | Aeon Delight Co Ltd | 184,422 | ||||||||
28,900 | Aeon Mall Co Ltd | 440,121 | ||||||||
800 | AGC Inc | 38,647 | ||||||||
1,000 | Aisin Corp | 38,172 | ||||||||
38,100 | Amada Co Ltd | 386,226 | ||||||||
7,500 | Amano Corp | 190,389 | ||||||||
600 | Arata Corp | 24,316 | ||||||||
5,000 | Arcland Sakamoto Co Ltd | 69,623 | ||||||||
13,200 | Arcs Co Ltd | 268,341 | ||||||||
52,100 | Asahi Kasei Corp | 537,155 | ||||||||
12,100 | Astellas Pharma Inc | 203,884 | ||||||||
15,800 | Brother Industries Ltd | 324,241 | ||||||||
2,600 | Canon Marketing Japan Inc | 59,282 | ||||||||
27,200 | Chubu Electric Power Co Inc | 328,913 | ||||||||
26,000 | Chugoku Marine Paints Ltd | 213,697 | ||||||||
400 | Credit Saison Co Ltd | 4,550 | ||||||||
200 | Dai Nippon Toryo Co Ltd | 1,548 | ||||||||
6,800 | Daihen Corp | 296,073 | ||||||||
400 | Daiichi Jitsugyo Co Ltd | 17,119 | ||||||||
900 | Daishi Hokuetsu Financial Group Inc | 22,153 | ||||||||
7,300 | Daiwa House Industry Co Ltd | 222,604 | ||||||||
52,100 | Daiwabo Holdings Co Ltd | 989,900 | ||||||||
13,200 | Denka Co Ltd | 462,664 | ||||||||
8,100 | Ebara Corp | 402,627 | ||||||||
300 | Eizo Corp | 11,584 | ||||||||
7,300 | Electric Power Development Co Ltd | 109,051 | ||||||||
1,000 | ESPEC Corp | 19,931 | ||||||||
9,900 | Fuji Corp | 256,281 | ||||||||
2,600 | Hanwa Co Ltd | 77,964 | ||||||||
33,300 | Haseko Corp | 460,541 | ||||||||
50,100 | Hazama Ando Corp | 373,686 | ||||||||
5,800 | Hitachi Ltd | 320,546 | ||||||||
8,400 | Hogy Medical Co Ltd (a) | 262,702 | ||||||||
4,500 | Hokuhoku Financial Group Inc | 34,491 | ||||||||
27,600 | Honda Motor Co Ltd | 835,359 | ||||||||
5,700 | Horiba Ltd | 407,354 | ||||||||
12,300 | Iida Group Holdings Co Ltd | 312,262 | ||||||||
20,300 | Inabata & Co Ltd | 310,536 | ||||||||
107,100 | Inpex Corp | 735,872 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
5,000 | Isuzu Motors Ltd | 63,206 | ||||||||
18,700 | ITOCHU Corp | 562,517 | ||||||||
3,000 | Itochu Enex Co Ltd | 26,895 | ||||||||
7,400 | Itoham Yonekyu Holdings Inc | 49,959 | ||||||||
2,100 | Jaccs Co Ltd | 52,492 | ||||||||
9,500 | JAFCO Group Co Ltd | 573,749 | ||||||||
2,900 | Japan Petroleum Exploration Co Ltd | 49,890 | ||||||||
8,700 | Japan Post Insurance Co Ltd | 157,993 | ||||||||
2,400 | Juroku Bank Ltd (The) | 50,660 | ||||||||
40,400 | JVCKenwood Corp | 76,387 | ||||||||
50,600 | K’s Holdings Corp | 553,094 | ||||||||
12,200 | Kadokawa Corp (a) | 559,502 | ||||||||
34,400 | Kajima Corp | 444,457 | ||||||||
8,500 | Kanamoto Co Ltd | 194,234 | ||||||||
6,700 | Kandenko Co Ltd | 57,567 | ||||||||
29,300 | Kanematsu Corp | 376,811 | ||||||||
700 | Kanematsu Electronics Ltd (a) | 24,438 | ||||||||
200 | Kansai Electric Power Co Inc (The) | 2,010 | ||||||||
22,700 | KDDI Corp | 693,834 | ||||||||
6,300 | Kinden Corp | 106,666 | ||||||||
900 | Kissei Pharmaceutical Co Ltd | 19,817 | ||||||||
1,100 | Kohnan Shoji Co Ltd | 36,265 | ||||||||
4,300 | Kokuyo Co Ltd | 75,237 | ||||||||
4,000 | Komeri Co Ltd | 91,721 | ||||||||
57,400 | Konica Minolta Inc | 291,311 | ||||||||
20,000 | Konoike Transport Co Ltd | 248,900 | ||||||||
1,000 | Kumagai Gumi Co Ltd | 24,419 | ||||||||
24,000 | Kyowa Exeo Corp | 602,275 | ||||||||
13,300 | Kyudenko Corp | 478,228 | ||||||||
25,300 | Macromill Inc | 173,797 | ||||||||
15,700 | Mandom Corp | 237,499 | ||||||||
17,800 | Maruichi Steel Tube Ltd | 437,649 | ||||||||
500 | Maruzen Showa Unyu Co Ltd | 15,455 | ||||||||
26,100 | Maxell Holdings Ltd * | 306,839 | ||||||||
29,100 | Mebuki Financial Group Inc | 65,033 | ||||||||
2,100 | Meidensha Corp | 46,877 | ||||||||
15,100 | Mitsubishi Gas Chemical Co Inc | 284,524 | ||||||||
140,000 | Mitsubishi UFJ Financial Group Inc | 759,562 | ||||||||
1,000 | Mitsuboshi Belting Ltd | 18,280 | ||||||||
5,200 | Mitsui Chemicals Inc | 179,516 | ||||||||
1,200 | Mitsui DM Sugar Holdings Co Ltd | 21,108 | ||||||||
5,700 | Mixi Inc (a) | 130,910 | ||||||||
13,700 | Morinaga & Co Ltd | 480,465 | ||||||||
17,300 | MS&AD Insurance Group Holdings Inc | 559,981 | ||||||||
4,200 | NEC Networks & System Integration Corp (a) | 80,061 | ||||||||
14,400 | NH Foods Ltd | 558,766 | ||||||||
1,500 | Nichiha Corp | 44,137 | ||||||||
3,800 | Nippo Corp | 111,662 | ||||||||
1,500 | Nippon Soda Co Ltd | 47,974 | ||||||||
300 | Nippon Steel Trading Corp | 13,705 | ||||||||
23,600 | Nippon Telegraph & Telephone Corp | 628,770 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
11,900 | Nippon Television Holdings Inc (a) | 126,896 | ||||||||
7,700 | Nishi-Nippon Financial Holdings Inc | 48,593 | ||||||||
2,600 | Nojima Corp | 64,014 | ||||||||
3,500 | Nomura Real Estate Holdings Inc | 89,632 | ||||||||
800 | Obara Group Inc | 28,147 | ||||||||
101,900 | Obayashi Corp | 838,472 | ||||||||
4,800 | Okamura Corp | 73,833 | ||||||||
1,700 | Organo Corp | 98,142 | ||||||||
80,100 | ORIX Corp | 1,494,463 | ||||||||
10,700 | Osaka Gas Co Ltd | 200,571 | ||||||||
600 | Osaka Soda Co Ltd | 14,542 | ||||||||
26,300 | Pacific Industrial Co Ltd | 300,259 | ||||||||
21,700 | Penta-Ocean Construction Co Ltd | 137,729 | ||||||||
2,000 | Proto Corp | 26,921 | ||||||||
1,400 | Raito Kogyo Co Ltd | 24,456 | ||||||||
2,000 | Raiznext Corp | 20,135 | ||||||||
56,000 | Resona Holdings Inc | 216,560 | ||||||||
1,800 | Rohm Co Ltd | 173,046 | ||||||||
4,400 | San-A Co Ltd | 161,889 | ||||||||
2,200 | San-Ai Oil Co Ltd | 27,427 | ||||||||
4,300 | Sanki Engineering Co Ltd | 58,403 | ||||||||
9,800 | Sankyu Inc | 456,059 | ||||||||
2,400 | Sanwa Holdings Corp | 31,874 | ||||||||
5,100 | Sawai Group Holdings Co Ltd | 230,481 | ||||||||
6,100 | Secom Co Ltd | 462,580 | ||||||||
4,600 | Sega Sammy Holdings Inc | 62,043 | ||||||||
2,000 | Seiko Epson Corp | 37,250 | ||||||||
1,000 | Sekisui Chemical Co Ltd | 17,114 | ||||||||
27,600 | Sekisui House Ltd | 549,880 | ||||||||
600 | Sekisui Jushi Corp | 11,916 | ||||||||
1,400 | Shimamura Co Ltd | 123,397 | ||||||||
63,700 | Shimizu Corp | 457,109 | ||||||||
1,600 | Shizuoka Gas Co Ltd | 18,610 | ||||||||
1,500 | Sinko Industries Ltd | 29,765 | ||||||||
66,800 | SKY Perfect JSAT Holdings Inc (a) | 247,664 | ||||||||
8,300 | Sojitz Corp | 24,368 | ||||||||
3,400 | Subaru Corp | 62,926 | ||||||||
119,600 | Sumitomo Chemical Co Ltd | 606,326 | ||||||||
47,300 | Sumitomo Dainippon Pharma Co Ltd | 849,039 | ||||||||
1,700 | Sumitomo Electric Industries Ltd | 22,705 | ||||||||
26,200 | Sumitomo Forestry Co Ltd | 511,246 | ||||||||
15,400 | Sumitomo Mitsui Trust Holdings Inc | 503,013 | ||||||||
500 | Sumitomo Seika Chemicals Co Ltd | 16,006 | ||||||||
2,200 | Suzuki Motor Corp | 95,064 | ||||||||
11,800 | T Hasegawa Co Ltd | 299,233 | ||||||||
16,600 | Tachi-S Co Ltd | 204,618 | ||||||||
10,400 | Taisei Corp | 325,370 | ||||||||
12,700 | Takara Holdings Inc | 164,593 | ||||||||
7,900 | Takara Leben Co Ltd | 22,981 | ||||||||
4,300 | Takeuchi Manufacturing Co Ltd | 103,508 | ||||||||
18,300 | Takuma Co Ltd | 275,768 |
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
2,600 | Tamron Co Ltd | 62,274 | ||||||||
35,900 | Teijin Ltd | 516,345 | ||||||||
18,200 | TIS Inc (a) | 513,779 | ||||||||
18,400 | Toho Holdings Co Ltd (a) | 319,393 | ||||||||
168,500 | Tokyo Electric Power Co Holdings Inc * | 442,583 | ||||||||
12,100 | Tokyo Seimitsu Co Ltd | 528,542 | ||||||||
7,000 | Tokyu Construction Co Ltd | 47,717 | ||||||||
1,200 | Toppan Forms Co Ltd | 11,244 | ||||||||
34,000 | Toppan Inc | 583,679 | ||||||||
8,600 | Toray Industries Inc | 57,987 | ||||||||
23,500 | Tosei Corp | 248,106 | ||||||||
39,200 | Tosoh Corp | 711,496 | ||||||||
1,700 | Totetsu Kogyo Co Ltd | 37,958 | ||||||||
500 | Towa Pharmaceutical Co Ltd | 13,403 | ||||||||
4,600 | Toyo Construction Co Ltd | 23,547 | ||||||||
6,700 | Toyota Boshoku Corp | 125,984 | ||||||||
6,000 | Toyota Industries Corp | 506,584 | ||||||||
6,600 | Tsumura & Co | 226,931 | ||||||||
2,800 | YAMABIKO Corp | 32,194 | ||||||||
16,900 | Yamada Holdings Co Ltd | 72,503 | ||||||||
13,800 | Yamaguchi Financial Group Inc | 80,473 | ||||||||
1,500 | Yamaha Motor Co Ltd | 38,163 | ||||||||
2,800 | Yamazen Corp | 27,853 | ||||||||
3,100 | Yellow Hat Ltd | 54,858 | ||||||||
13,000 | Yokogawa Bridge Holdings Corp | 264,482 | ||||||||
2,900 | Yokohama Rubber Co Ltd (The) | 49,464 | ||||||||
900 | Yuasa Trading Co Ltd | 24,296 | ||||||||
12,200 | Zenkoku Hosho Co Ltd | 580,328 | ||||||||
|
| |||||||||
Total Japan | 39,296,577 | |||||||||
|
| |||||||||
Malaysia — 0.0% | ||||||||||
38,600 | Top Glove Corp Bhd | 37,139 | ||||||||
|
| |||||||||
Malta — 0.0% | ||||||||||
125,500 | BGP Holdings Plc * (b) | — | ||||||||
|
| |||||||||
Mexico — 0.3% | ||||||||||
47,667 | Fomento Economico Mexicano SAB de CV | 414,179 | ||||||||
115,408 | Grupo Mexico SAB de CV – Series B | 535,092 | ||||||||
|
| |||||||||
Total Mexico | 949,271 | |||||||||
|
| |||||||||
Netherlands — 1.3% | ||||||||||
21,198 | ABN AMRO Bank NV CVA * | 295,325 | ||||||||
338 | Aegon NV | 1,669 | ||||||||
9,500 | AerCap Holdings NV * | 512,335 | ||||||||
2,131 | ASR Nederland NV | 97,375 | ||||||||
48,164 | ING Groep NV | 664,392 | ||||||||
3,429 | JDE Peet’s NV | 117,844 | ||||||||
15,878 | Koninklijke Ahold Delhaize NV | 535,683 | ||||||||
80,016 | Koninklijke KPN NV | 256,321 | ||||||||
11,485 | NN Group NV | 595,758 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Netherlands — continued | ||||||||||
40,344 | PostNL NV | 211,116 | ||||||||
9,852 | Randstad NV | 725,562 | ||||||||
13,478 | Signify NV | 755,074 | ||||||||
2,264 | Wolters Kluwer NV | 260,362 | ||||||||
|
| |||||||||
Total Netherlands | 5,028,816 | |||||||||
|
| |||||||||
New Zealand — 0.1% | ||||||||||
87,063 | Meridian Energy Ltd | 321,558 | ||||||||
|
| |||||||||
Norway — 0.5% | ||||||||||
3,911 | Austevoll Seafood ASA | 50,229 | ||||||||
7,849 | Bank Norwegian ASA | 92,813 | ||||||||
26,493 | BW LPG Ltd | 141,063 | ||||||||
22,351 | Elkem ASA * | 95,151 | ||||||||
17,702 | Europris ASA | 125,086 | ||||||||
82,484 | Norsk Hydro ASA | 569,407 | ||||||||
53,142 | Orkla ASA | 474,684 | ||||||||
2,138 | Sbanken ASA | 25,023 | ||||||||
4,925 | SpareBank 1 Nord Norge | 49,599 | ||||||||
4,533 | SpareBank 1 SMN | 65,041 | ||||||||
11,251 | SpareBank 1 SR-Bank ASA | 151,746 | ||||||||
|
| |||||||||
Total Norway | 1,839,842 | |||||||||
|
| |||||||||
Portugal — 0.3% | ||||||||||
21,320 | Altri SGPS SA | 141,927 | ||||||||
1,537,426 | Banco Comercial Portugues SA – Class R * | 237,805 | ||||||||
18,619 | CTT-Correios de Portugal SA | 101,025 | ||||||||
28,293 | Galp Energia SGPS SA | 289,407 | ||||||||
387 | Greenvolt-Energias Renovaveis SA * | 2,440 | ||||||||
31,786 | Mota-Engil SGPS SA * | 50,642 | ||||||||
40,264 | Navigator Co SA (The) | 149,928 | ||||||||
14,299 | NOS SGPS SA | 60,279 | ||||||||
24,142 | REN – Redes Energeticas Nacionais SGPS SA | 70,708 | ||||||||
137,734 | Sonae SGPS SA | 149,973 | ||||||||
|
| |||||||||
Total Portugal | 1,254,134 | |||||||||
|
| |||||||||
Russia — 0.2% | ||||||||||
3,698 | LUKOIL PJSC Sponsored ADR | 313,217 | ||||||||
1,681 | Novatek PJSC Sponsored GDR (Registered) | 398,420 | ||||||||
|
| |||||||||
Total Russia | 711,637 | |||||||||
|
| |||||||||
Singapore — 0.4% | ||||||||||
16,900 | CapitaLand Integrated Commercial Trust (REIT) | 25,812 | ||||||||
2,100 | CapitaLand Ltd | 6,231 | ||||||||
145,100 | ComfortDelGro Corp Ltd | 174,369 | ||||||||
311,900 | Golden Agri-Resources Ltd | 53,218 | ||||||||
39,000 | Japfa Ltd | 20,586 | ||||||||
15,000 | Jardine Cycle & Carriage Ltd | 216,264 | ||||||||
20,300 | Keppel Corp Ltd | 78,258 |
Shares | Description | Value ($) | ||||||||
Singapore — continued | ||||||||||
121,400 | Sembcorp Industries Ltd | 173,785 | ||||||||
68,000 | StarHub Ltd | 61,572 | ||||||||
544,400 | Yangzijiang Shipbuilding Holdings Ltd | 662,931 | ||||||||
58,400 | Yanlord Land Group Ltd | 51,571 | ||||||||
|
| |||||||||
Total Singapore | 1,524,597 | |||||||||
|
| |||||||||
South Africa — 0.1% | ||||||||||
29,313 | Bidvest Group Ltd (The) | 413,318 | ||||||||
|
| |||||||||
South Korea — 0.0% | ||||||||||
844 | Kia Corp | 61,741 | ||||||||
|
| |||||||||
Spain — 1.0% | ||||||||||
17,270 | ACS Actividades de Construccion y Servicios SA | 466,224 | ||||||||
5,294 | Amadeus IT Group SA * (a) | 323,346 | ||||||||
10,871 | Atresmedia Corp de Medios de Comunicacion SA * (a) | 47,607 | ||||||||
87,877 | Banco Bilbao Vizcaya Argentaria SA * | 575,154 | ||||||||
330,855 | Banco de Sabadell SA * | 235,868 | ||||||||
164,226 | Banco Santander SA * | 605,543 | ||||||||
67,271 | Bankinter SA | 393,700 | ||||||||
6,442 | Cia de Distribucion Integral Logista Holdings SA | 139,856 | ||||||||
1,122 | Ebro Foods SA | 22,531 | ||||||||
72 | Enagas SA | 1,639 | ||||||||
9,275 | Gestamp Automocion SA * | 43,139 | ||||||||
2,417 | Grupo Catalana Occidente SA | 91,538 | ||||||||
10,184 | Industria de Diseno Textil SA | 347,900 | ||||||||
21,753 | Mediaset Espana Comunicacion SA * | 132,699 | ||||||||
13,171 | Red Electrica Corp SA | 262,676 | ||||||||
12,754 | Repsol SA | 146,354 | ||||||||
116,120 | Unicaja Banco SA | 107,135 | ||||||||
|
| |||||||||
Total Spain | 3,942,909 | |||||||||
|
| |||||||||
Sweden — 0.2% | ||||||||||
14,142 | Investor AB – B Shares | 338,258 | ||||||||
7,159 | Inwido AB | 140,413 | ||||||||
565 | Kinnevik AB – Class B * | 22,137 | ||||||||
70 | Nordea Bank Abp | 822 | ||||||||
5,117 | Skanska AB – B Shares | 147,513 | ||||||||
1,688 | Svenska Cellulosa AB SCA – Class B | 29,833 | ||||||||
|
| |||||||||
Total Sweden | 678,976 | |||||||||
|
| |||||||||
Switzerland — 0.2% | ||||||||||
7,935 | Adecco Group AG (Registered) | 441,403 | ||||||||
681 | BKW AG | 78,982 | ||||||||
81 | Credit Suisse Group AG (Registered) | 858 | ||||||||
48 | Schindler Holding AG (Registered) | 14,962 | ||||||||
4 | Swisscom AG (Registered) | 2,348 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Switzerland — continued | ||||||||||
393 | Zehnder Group AG – Class RG | 42,490 | ||||||||
|
| |||||||||
Total Switzerland | 581,043 | |||||||||
|
| |||||||||
Taiwan — 0.1% | ||||||||||
49,000 | Hon Hai Precision Industry Co Ltd | 195,672 | ||||||||
2,000 | Pou Chen Corp | 2,376 | ||||||||
87,000 | Ruentex Development Co Ltd | 217,271 | ||||||||
|
| |||||||||
Total Taiwan | 415,319 | |||||||||
|
| |||||||||
United Kingdom — 3.3% | ||||||||||
6,082 | 3i Group Plc | 111,855 | ||||||||
23,212 | Aviva Plc | 129,015 | ||||||||
1,294 | Bank of Georgia Group Plc * | 29,714 | ||||||||
65,547 | Barratt Developments Plc | 666,718 | ||||||||
6,874 | Bellway Plc | 333,141 | ||||||||
13,917 | Berkeley Group Holdings Plc (The) | 924,431 | ||||||||
239,706 | BT Group Plc * | 560,338 | ||||||||
7,431 | Central Asia Metals Plc | 25,578 | ||||||||
20,158 | Coca-Cola HBC AG * | 729,617 | ||||||||
25,949 | Compass Group Plc * (a) | 536,105 | ||||||||
2,345 | Computacenter Plc (a) | 94,861 | ||||||||
406 | DCC Plc | 34,512 | ||||||||
5,016 | Evraz Plc | 40,801 | ||||||||
2,868 | Ferguson Plc | 414,536 | ||||||||
64,381 | Ferrexpo Plc | 337,431 | ||||||||
14,826 | Frasers Group Plc * | 136,481 | ||||||||
4,488 | Go-Ahead Group Plc (The) * | 58,161 | ||||||||
1,751 | Grafton Group Plc | 33,649 | ||||||||
19,096 | Halfords Group Plc | 95,567 | ||||||||
15,670 | IG Group Holdings Plc | 201,788 | ||||||||
4,648 | IMI Plc | 116,556 | ||||||||
29,866 | Indivior Plc * | 79,839 | ||||||||
13,449 | Investec Plc | 56,575 | ||||||||
150,673 | ITV Plc * (a) | 240,140 | ||||||||
37,651 | Just Group Plc * | 48,318 | ||||||||
202,341 | Kingfisher Plc | 974,276 | ||||||||
326,922 | M&G Plc | 926,056 | ||||||||
73,036 | Micro Focus International Plc (a) | 446,680 | ||||||||
4,384 | Morgan Sindall Group Plc | 154,871 | ||||||||
12,145 | National Grid Plc | 157,086 | ||||||||
4,001 | Numis Corp Plc | 20,608 | ||||||||
16,664 | OSB Group Plc | 116,907 | ||||||||
16,757 | Paragon Banking Group Plc | 129,504 | ||||||||
14,660 | Persimmon Plc | 593,311 | ||||||||
14,450 | Pets at Home Group Plc | 99,505 | ||||||||
15,981 | Plus500 Ltd | 328,544 | ||||||||
75,954 | Premier Foods Plc | 126,421 | ||||||||
18,553 | Reach Plc (a) | 104,406 | ||||||||
20,273 | Royal Dutch Shell Plc – B Shares | 398,924 | ||||||||
54,150 | Royal Mail Plc | 368,802 |
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
2,001 | Schroders Plc | 104,033 | ||||||||
1,985 | Smiths Group Plc | 39,396 | ||||||||
7,940 | Stock Spirits Group Plc | 42,966 | ||||||||
53,990 | Tate & Lyle Plc | 524,357 | ||||||||
97,413 | Taylor Wimpey Plc | 245,216 | ||||||||
36,141 | WPP Plc (a) | 490,030 | ||||||||
|
| |||||||||
Total United Kingdom | 12,427,626 | |||||||||
|
| |||||||||
United States — 12.3% | ||||||||||
3,500 | Aflac, Inc. | 198,380 | ||||||||
300 | Akamai Technologies, Inc. * (a) | 33,975 | ||||||||
5,200 | Alliance Data Systems Corp. (a) | 510,172 | ||||||||
8,500 | Ally Financial, Inc. | 449,650 | ||||||||
2,778 | American Express Co. | 461,037 | ||||||||
1,200 | Anthem, Inc. (a) | 450,156 | ||||||||
5,100 | Arrow Electronics, Inc. * | 618,222 | ||||||||
16,100 | AT&T, Inc. | 441,462 | ||||||||
9,200 | Athene Holding Ltd. – Class A * | 616,124 | ||||||||
6,300 | Bed Bath & Beyond, Inc. * | 173,502 | ||||||||
1,900 | Best Buy Co., Inc. | 221,369 | ||||||||
400 | Bio-Rad Laboratories, Inc. – Class A * | 321,928 | ||||||||
1,700 | Biogen, Inc. * | 576,147 | ||||||||
171 | Booking Holdings, Inc. * (a) | 393,244 | ||||||||
400 | Booz Allen Hamilton Holding Corp. | 32,764 | ||||||||
18,013 | BorgWarner, Inc. | 768,795 | ||||||||
4,000 | Capital One Financial Corp. | 663,880 | ||||||||
3,400 | Cardinal Health, Inc. (a) | 178,466 | ||||||||
11,300 | Carrier Global Corp. | 650,880 | ||||||||
6,500 | CBRE Group, Inc. – Class A * | 625,950 | ||||||||
6,900 | Centene Corp. * (a) | 434,562 | ||||||||
100 | CenterPoint Energy, Inc. | 2,509 | ||||||||
2,859 | Chevron Corp. | 276,665 | ||||||||
2,500 | Cigna Corp. (a) | 529,125 | ||||||||
8,600 | Citigroup, Inc. | 618,426 | ||||||||
10,000 | Citizens Financial Group, Inc. | 437,900 | ||||||||
6,255 | Coca-Cola Co. (The) | 352,219 | ||||||||
6,300 | Cognizant Technology Solutions Corp. – Class A (a) | 480,753 | ||||||||
10,300 | Comcast Corp. – Class A (a) | 625,004 | ||||||||
100 | Consolidated Edison, Inc. | 7,545 | ||||||||
10,300 | Corteva, Inc. | 452,891 | ||||||||
2,000 | Coty Inc. – Class A * | 19,540 | ||||||||
7,400 | CVS Health Corp. (a) | 639,286 | ||||||||
1,900 | Discover Financial Services | 243,618 | ||||||||
900 | Discovery, Inc. – Class A * (a) | 25,956 | ||||||||
14,600 | DISH Network Corp. – Class A * (a) | 636,414 | ||||||||
6,200 | DR Horton, Inc. | 592,844 | ||||||||
5,800 | eBay, Inc. | 445,092 | ||||||||
5,859 | EOG Resources, Inc. | 395,600 | ||||||||
8,600 | Exelon Corp. | 421,572 | ||||||||
2,400 | Fidelity National Financial, Inc. | 117,192 |
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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
1,400 | FleetCor Technologies, Inc. * (a) | 368,592 | ||||||||
44,400 | Ford Motor Co. * | 578,532 | ||||||||
700 | Fortune Brands Home & Security, Inc. | 68,159 | ||||||||
2,900 | Fox Corp. – Class A (a) | 108,576 | ||||||||
16,400 | Fox Corp. – Class B (a) | 567,932 | ||||||||
1,400 | Franklin Resources, Inc. | 45,416 | ||||||||
10,200 | General Motors Co. * | 499,902 | ||||||||
7,100 | Gilead Sciences, Inc. | 516,738 | ||||||||
1,908 | Global Payments, Inc. (a) | 310,317 | ||||||||
1,100 | Goldman Sachs Group, Inc. (The) | 454,861 | ||||||||
3,297 | Green Plains, Inc. * | 115,725 | ||||||||
3,365 | Hasbro, Inc. | 330,813 | ||||||||
3,169 | Hilton Worldwide Holdings, Inc. * (a) | 395,681 | ||||||||
17,000 | HP, Inc. | 505,580 | ||||||||
2,900 | IAC/InterActiveCorp * (a) | 382,945 | ||||||||
600 | Incyte Corp. * | 45,894 | ||||||||
9,700 | Intel Corp. | 524,382 | ||||||||
3,184 | Intercontinental Exchange, Inc. | 380,584 | ||||||||
4,500 | International Business Machines Corp. (a) | 631,530 | ||||||||
21,500 | Invesco Ltd. | 544,380 | ||||||||
2,800 | Jazz Pharmaceuticals Plc * | 368,788 | ||||||||
35,300 | Kinder Morgan, Inc. | 574,331 | ||||||||
9,600 | Kohl’s Corp. | 551,040 | ||||||||
9,100 | Kraft Heinz Co. (The) | 327,509 | ||||||||
13,100 | Kroger Co. (The) | 602,993 | ||||||||
1,800 | Laboratory Corp. of America Holdings * (a) | 546,084 | ||||||||
5,570 | Las Vegas Sands Corp. * (a) | 248,478 | ||||||||
300 | Lear Corp. | 47,982 | ||||||||
3,500 | Leidos Holdings, Inc. | 343,385 | ||||||||
5,900 | Lennar Corp. – Class A | 633,129 | ||||||||
9,300 | Lincoln National Corp. | 638,445 | ||||||||
8,000 | LKQ Corp. * | 421,520 | ||||||||
43,800 | Lumen Technologies, Inc. | 538,740 | ||||||||
9,547 | Lyft, Inc. – Class A * | 454,533 | ||||||||
5,700 | LyondellBasell Industries NV – Class A | 571,995 | ||||||||
296 | Markel Corp. * | 375,994 | ||||||||
100 | Masco Corp. | 6,072 | ||||||||
1,300 | Medical Properties Trust, Inc. (REIT) | 26,624 | ||||||||
2,900 | Merck & Co., Inc. | 221,241 | ||||||||
9,700 | MetLife, Inc. | 601,400 | ||||||||
6,500 | Micron Technology, Inc. * | 479,050 | ||||||||
1,400 | Mohawk Industries, Inc. * | 276,864 | ||||||||
11,000 | Molson Coors Brewing Co. – Class B | 522,830 | ||||||||
10 | NVR, Inc. * | 51,799 | ||||||||
800 | Omnicom Group, Inc. (a) | 58,576 | ||||||||
7,500 | Oracle Corp. (a) | 668,475 | ||||||||
1,700 | PACCAR, Inc. | 139,179 | ||||||||
3,100 | PPL Corp. | 90,985 | ||||||||
2,300 | Principal Financial Group, Inc. | 153,663 | ||||||||
6,200 | Prudential Financial, Inc. | 656,456 | ||||||||
8,600 | PulteGroup, Inc. | 463,196 |
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
3,600 | Quest Diagnostics, Inc. (a) | 550,188 | ||||||||
37,000 | Qurate Retail, Inc. – Series A | 408,110 | ||||||||
4,687 | Raytheon Technologies Corp. | 397,270 | ||||||||
900 | Regeneron Pharmaceuticals, Inc. * | 606,060 | ||||||||
8,598 | Sensata Technologies Holding Plc * | 508,830 | ||||||||
600 | Snap-on, Inc. | 134,970 | ||||||||
5,900 | SS&C Technologies Holdings, Inc. (a) | 446,394 | ||||||||
12,400 | Synchrony Financial | 616,900 | ||||||||
300 | Synopsys, Inc. * (a) | 99,672 | ||||||||
6,500 | Textron, Inc. | 472,355 | ||||||||
6,300 | Tyson Foods, Inc. – Class A | 494,676 | ||||||||
100 | United Rentals, Inc. * | 35,265 | ||||||||
4,100 | Universal Health Services, Inc. – Class B (a) | 638,616 | ||||||||
8,818 | US Bancorp | 506,065 | ||||||||
8,600 | Verizon Communications, Inc. | 473,000 | ||||||||
10,608 | Verso Corp. – Class A | 202,082 | ||||||||
5,250 | VF Corp. | 401,467 | ||||||||
12,000 | ViacomCBS, Inc. – Class B (a) | 497,400 | ||||||||
30,300 | Viatris, Inc. | 443,289 | ||||||||
7,600 | VICI Properties, Inc. (REIT) | 234,916 | ||||||||
2,900 | VMware, Inc. – Class A * (a) | 431,723 | ||||||||
10,100 | Walgreens Boots Alliance, Inc. | 512,575 | ||||||||
9,252 | Wells Fargo & Co. | 422,816 | ||||||||
18,500 | Western Union Co. (The) (a) | 400,340 | ||||||||
6,900 | Western Digital Corp. * | 436,080 | ||||||||
2,000 | Whirlpool Corp. | 443,060 | ||||||||
|
| |||||||||
Total United States | 45,992,830 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $131,696,358) | 151,255,006 | |||||||||
|
| |||||||||
PREFERRED STOCKS (c) — 0.2% | ||||||||||
Brazil — 0.1% | ||||||||||
37,228 | Bradespar SA | 454,658 | ||||||||
|
| |||||||||
Germany — 0.1% | ||||||||||
3,303 | Bayerische Motoren Werke AG | 276,520 | ||||||||
1,038 | Draegerwerk AG & Co KGaA (a) | 87,662 | ||||||||
|
| |||||||||
Total Germany | 364,182 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $586,878) | 818,840 | |||||||||
|
| |||||||||
MUTUAL FUNDS — 60.0% | ||||||||||
United States — 60.0% | ||||||||||
Affiliated Issuers — 60.0% | ||||||||||
479,901 | GMO Emerging Country Debt Fund, Class VI | 12,587,808 | ||||||||
2,138,759 | GMO Emerging Markets Fund, Class VI | 78,941,603 | ||||||||
2,183,811 | GMO International Equity Fund, Class IV | 55,075,710 | ||||||||
386,173 | GMO Opportunistic Income Fund, Class VI | 10,040,489 |
92 | See accompanying notes to the financial statements. |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
Affiliated Issuers — continued | ||||||||||
656,014 | GMO Quality Fund, Class VI | 20,041,237 | ||||||||
1,260,147 | GMO U.S. Equity Fund, Class VI | 19,973,333 | ||||||||
1,021,862 | GMO U.S. Small Cap Value Fund, Class VI | 26,517,311 | ||||||||
394,081 | GMO U.S. Treasury Fund | 1,986,169 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUNDS (COST $190,295,391) | 225,163,660 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.2% | ||||||||||
Money Market Funds — 0.2% | ||||||||||
605,280 | State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (d) | 605,280 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $605,280) | 605,280 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.7% (Cost $323,183,907) | 377,842,786 | |||||||||
|
| |||||||||
SECURITIES SOLD SHORT — (18.6)% | ||||||||||
Common Stocks — (18.5)% | ||||||||||
Australia — (0.6)% | ||||||||||
(5,742 | ) | Afterpay Ltd * | (558,521 | ) | ||||||
(74,638 | ) | APA Group | (499,781 | ) | ||||||
(3,528 | ) | ASX Ltd | (225,799 | ) | ||||||
(1,415 | ) | Cochlear Ltd | (240,347 | ) | ||||||
(12,977 | ) | Qantas Airways Ltd * | (48,050 | ) | ||||||
(90,317 | ) | Sydney Airport * | (524,304 | ) | ||||||
|
| |||||||||
Total Australia | (2,096,802 | ) | ||||||||
|
| |||||||||
Austria — (0.2)% | ||||||||||
(5,895 | ) | Verbund AG | (645,755 | ) | ||||||
|
| |||||||||
Belgium — (0.0)% | ||||||||||
(1,100 | ) | Galapagos NV * | (65,065 | ) | ||||||
|
| |||||||||
Canada — (0.0)% | ||||||||||
(6,500 | ) | AltaGas Ltd | (130,191 | ) | ||||||
|
| |||||||||
Denmark — (0.1)% | ||||||||||
(8,566 | ) | Ambu A/S – Class B | (270,908 | ) | ||||||
|
| |||||||||
France — (0.7)% | ||||||||||
(10,822 | ) | Accor SA * | (373,191 | ) | ||||||
(2,881 | ) | Aeroports de Paris * | (339,280 | ) | ||||||
(270 | ) | Eurazeo SE | (27,775 | ) | ||||||
(35,316 | ) | Getlink SE | (568,887 | ) | ||||||
(398 | ) | Hermes International | (585,780 | ) | ||||||
(355 | ) | Sartorius Stedim Biotech | (215,332 | ) | ||||||
(5,309 | ) | Ubisoft Entertainment SA * | (337,238 | ) |
Shares | Description | Value ($) | ||||||||
Common Stocks — continued | ||||||||||
France — continued | ||||||||||
(1,645 | ) | Wendel SE | (238,715 | ) | ||||||
(138 | ) | Worldline SA * | (12,288 | ) | ||||||
|
| |||||||||
Total France | (2,698,486 | ) | ||||||||
|
| |||||||||
Germany — (0.9)% | ||||||||||
(3,605 | ) | Delivery Hero SE * | (523,196 | ) | ||||||
(10 | ) | Deutsche Boerse AG | (1,725 | ) | ||||||
(211 | ) | MTU Aero Engines AG | (48,424 | ) | ||||||
(5,022 | ) | Puma SE | (609,745 | ) | ||||||
(4,014 | ) | QIAGEN NV * | (222,062 | ) | ||||||
(3,698 | ) | RWE AG | (144,398 | ) | ||||||
(1,280 | ) | Scout24 AG | (107,613 | ) | ||||||
(621 | ) | TeamViewer AG * | (20,690 | ) | ||||||
(196,604 | ) | Telefonica Deutschland Holding AG | (551,892 | ) | ||||||
(9,839 | ) | Uniper SE | (390,635 | ) | ||||||
(5,210 | ) | Zalando SE * | (577,658 | ) | ||||||
|
| |||||||||
Total Germany | (3,198,038 | ) | ||||||||
|
| |||||||||
Israel — (0.2)% | ||||||||||
(1,200 | ) | CyberArk Software Ltd * | (201,528 | ) | ||||||
(1,700 | ) | Wix.com Ltd * | (377,536 | ) | ||||||
|
| |||||||||
Total Israel | (579,064 | ) | ||||||||
|
| |||||||||
Italy — (0.5)% | ||||||||||
(4,390 | ) | Amplifon SPA | (229,629 | ) | ||||||
(16,306 | ) | Atlantia SPA * | (305,438 | ) | ||||||
(2,677 | ) | Ferrari NV | (580,697 | ) | ||||||
(34,425 | ) | FinecoBank Banca Fineco SPA * | (634,179 | ) | ||||||
(8,522 | ) | Infrastrutture Wireless Italiane SPA | (101,390 | ) | ||||||
|
| |||||||||
Total Italy | (1,851,333 | ) | ||||||||
|
| |||||||||
Japan — (2.2)% | ||||||||||
(28,600 | ) | Acom Co Ltd | (110,534 | ) | ||||||
(5,200 | ) | ANA Holdings Inc * | (123,264 | ) | ||||||
(15,700 | ) | Asahi Intecc Co Ltd | (475,022 | ) | ||||||
(4,100 | ) | GMO Payment Gateway Inc | (537,915 | ) | ||||||
(1,800 | ) | Harmonic Drive Systems Inc | (99,385 | ) | ||||||
(16,200 | ) | Hitachi Metals Ltd * | (312,711 | ) | ||||||
(600 | ) | Ibiden Co Ltd | (32,284 | ) | ||||||
(28,500 | ) | Isetan Mitsukoshi Holdings Ltd | (190,872 | ) | ||||||
(5,000 | ) | Japan Airlines Co Ltd * | (106,523 | ) | ||||||
(6,700 | ) | Japan Airport Terminal Co Ltd * | (304,159 | ) | ||||||
(8,600 | ) | Japan Exchange Group Inc | (204,813 | ) | ||||||
(72 | ) | Japan Real Estate Investment Corp (REIT) | (444,969 | ) | ||||||
(20,400 | ) | JGC Holding Corp | (171,132 | ) | ||||||
(21,700 | ) | Keikyu Corp | (264,512 | ) | ||||||
(900 | ) | Keio Corp | (48,429 | ) | ||||||
(4,100 | ) | Kintetsu Group Holdings Co Ltd * | (140,040 | ) | ||||||
(2,400 | ) | Lasertec Corp | (522,022 | ) | ||||||
(5,900 | ) | Lion Corp | (100,394 | ) |
See accompanying notes to the financial statements. | 93 |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Common Stocks — continued | ||||||||||
Japan — continued | ||||||||||
(13,000 | ) | LIXIL Corp | (378,322 | ) | ||||||
(6,900 | ) | M3 Inc | (462,766 | ) | ||||||
(100 | ) | McDonald’s Holdings Co Japan Ltd | (4,770 | ) | ||||||
(7,300 | ) | Mercari Inc * | (360,200 | ) | ||||||
(2,000 | ) | Mizuho Financial Group Inc | (28,024 | ) | ||||||
(20,300 | ) | MonotaRO Co Ltd | (449,905 | ) | ||||||
(500 | ) | Nidec Corp | (57,114 | ) | ||||||
(17,800 | ) | Nihon M&A Center Inc | (530,798 | ) | ||||||
(25,900 | ) | Nippon Paint Holdings Co Ltd | (321,657 | ) | ||||||
(4,700 | ) | Nissin Foods Holdings Co Ltd | (365,889 | ) | ||||||
(13,700 | ) | Odakyu Electric Railway Co Ltd | (319,205 | ) | ||||||
(3,000 | ) | ORIENTAL LAND CO LTD | (453,887 | ) | ||||||
(2,400 | ) | Shiseido Co Ltd | (159,070 | ) | ||||||
(2,300 | ) | Tokyu Corp | (31,627 | ) | ||||||
(1,200 | ) | West Japan Railway Co | (65,540 | ) | ||||||
(2,400 | ) | Yaskawa Electric Corp | (117,142 | ) | ||||||
|
| |||||||||
Total Japan | (8,294,896 | ) | ||||||||
|
| |||||||||
Netherlands — (0.3)% | ||||||||||
(225 | ) | Adyen NV * | (727,217 | ) | ||||||
(1,267 | ) | Heineken Holding NV | (117,529 | ) | ||||||
(4,675 | ) | Just Eat Takeaway.com NV * | (423,585 | ) | ||||||
|
| |||||||||
Total Netherlands | (1,268,331 | ) | ||||||||
|
| |||||||||
New Zealand — (0.0)% | ||||||||||
(1,248 | ) | Xero Ltd * | (138,033 | ) | ||||||
|
| |||||||||
Norway — (0.0)% | ||||||||||
(1,455 | ) | Schibsted ASA – B Shares | (67,604 | ) | ||||||
(1,818 | ) | Schibsted ASA – Class A | (96,993 | ) | ||||||
|
| |||||||||
Total Norway | (164,597 | ) | ||||||||
|
| |||||||||
Russia — (0.0)% | ||||||||||
(1,779 | ) | Magnit PJSC Sponsored GDR (Registered) | (27,078 | ) | ||||||
|
| |||||||||
Singapore — (0.2)% | ||||||||||
(15,800 | ) | Singapore Airlines Ltd * | (59,232 | ) | ||||||
(75,600 | ) | Singapore Exchange Ltd | (554,886 | ) | ||||||
|
| |||||||||
Total Singapore | (614,118 | ) | ||||||||
|
| |||||||||
Spain — (0.4)% | ||||||||||
(9,520 | ) | Cellnex Telecom SA | (651,627 | ) | ||||||
(20,162 | ) | Ferrovial SA | (583,881 | ) | ||||||
(13,737 | ) | Siemens Gamesa Renewable Energy SA | (407,323 | ) | ||||||
|
| |||||||||
Total Spain | (1,642,831 | ) | ||||||||
|
| |||||||||
Sweden — (0.2)% | ||||||||||
(9,840 | ) | Embracer Group AB * | (223,996 | ) | ||||||
(3,156 | ) | Evolution AB | (509,543 | ) | ||||||
(3,850 | ) | Sinch AB * | (86,554 | ) | ||||||
|
| |||||||||
Total Sweden | (820,093 | ) | ||||||||
|
|
Shares | Description | Value ($) | ||||||||
Common Stocks — continued | ||||||||||
Switzerland — (0.4)% | ||||||||||
(6 | ) | Chocoladefabriken Lindt & Spruengli AG | (70,585 | ) | ||||||
(347 | ) | Partners Group Holding AG | (615,232 | ) | ||||||
(50 | ) | Schindler Holding AG | (16,146 | ) | ||||||
(326 | ) | Straumann Holding AG (Registered) | (629,911 | ) | ||||||
|
| |||||||||
Total Switzerland | (1,331,874 | ) | ||||||||
|
| |||||||||
United Kingdom — (1.4)% | ||||||||||
(8,248 | ) | Admiral Group Plc | (409,811 | ) | ||||||
(15,915 | ) | Antofagasta Plc | (318,807 | ) | ||||||
(63,397 | ) | Auto Trader Group Plc | (548,233 | ) | ||||||
(89,716 | ) | ConvaTec Group Plc | (278,006 | ) | ||||||
(22,806 | ) | Entain Plc * | (606,088 | ) | ||||||
(204 | ) | Experian Plc | (8,998 | ) | ||||||
(5,828 | ) | Halma Plc | (240,672 | ) | ||||||
(25,844 | ) | Hargreaves Lansdown Plc | (536,718 | ) | ||||||
(72,715 | ) | Informa Plc * | (531,405 | ) | ||||||
(27,030 | ) | Land Securities Group Plc (REIT) | (263,993 | ) | ||||||
(4,565 | ) | London Stock Exchange Group Plc | (500,068 | ) | ||||||
(10,490 | ) | Melrose Industries Plc | (24,222 | ) | ||||||
(16,564 | ) | Ocado Group Plc * | (459,075 | ) | ||||||
(307,251 | ) | Rolls-Royce Holdings Plc * | (484,542 | ) | ||||||
(1,004 | ) | Spirax-Sarco Engineering Plc | (222,642 | ) | ||||||
|
| |||||||||
Total United Kingdom | (5,433,280 | ) | ||||||||
|
| |||||||||
United States — (10.2)% | ||||||||||
(15,600 | ) | AES Corp. (The) | (372,372 | ) | ||||||
(2,700 | ) | Airbnb, Inc. – Class A * | (418,473 | ) | ||||||
(2,300 | ) | American Tower Corp. (REIT) | (671,991 | ) | ||||||
(5,400 | ) | Aramark | (187,866 | ) | ||||||
(3,000 | ) | Arthur J Gallagher & Co. | (430,860 | ) | ||||||
(1,900 | ) | Autodesk, Inc. * | (589,171 | ) | ||||||
(3,500 | ) | Avalara, Inc. * | (628,950 | ) | ||||||
(100 | ) | Bio-Techne Corp. | (49,914 | ) | ||||||
(1,900 | ) | BioMarin Pharmaceutical, Inc. * | (159,999 | ) | ||||||
(2,000 | ) | Boeing Co. (The) * | (439,000 | ) | ||||||
(1,900 | ) | Burlington Stores, Inc. * | (569,031 | ) | ||||||
(4,400 | ) | Caesars Entertainment, Inc. * | (447,172 | ) | ||||||
(100 | ) | Carnival Corp * | (2,414 | ) | ||||||
(1,700 | ) | Carvana Co. * | (557,702 | ) | ||||||
(3,300 | ) | Catalent, Inc. * | (430,452 | ) | ||||||
(4,000 | ) | Ceridian HCM Holding, Inc. * | (449,400 | ) | ||||||
(300 | ) | Chipotle Mexican Grill, Inc. * | (570,999 | ) | ||||||
(8,100 | ) | Clarivate Plc * | (204,039 | ) | ||||||
(4,300 | ) | Cloudflare, Inc. – Class A * | (519,182 | ) | ||||||
(2,000 | ) | CME Group, Inc. | (403,440 | ) | ||||||
(3,900 | ) | Cognex Corp. | (345,618 | ) | ||||||
(400 | ) | CoStar Group, Inc. * | (33,896 | ) | ||||||
(2,000 | ) | Coupa Software, Inc. * | (489,620 | ) | ||||||
(2,800 | ) | Crown Castle International Corp. (REIT) | (545,132 | ) | ||||||
(9,700 | ) | Delta Air Lines, Inc. * | (392,268 | ) |
94 | 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, 2021 (Unaudited)
Shares | Description | Value ($) | ||||||||
Common Stocks — continued | ||||||||||
United States — continued | ||||||||||
(1,200 | ) | Dexcom, Inc. * | (635,304 | ) | ||||||
(2,100 | ) | DocuSign, Inc. * | (622,104 | ) | ||||||
(8,900 | ) | DraftKings Inc. – Class A * | (527,681 | ) | ||||||
(2,400 | ) | Dynatrace, Inc. * | (164,952 | ) | ||||||
(900 | ) | Equifax, Inc. | (245,034 | ) | ||||||
(700 | ) | Equinix, Inc. (REIT) | (590,415 | ) | ||||||
(7,300 | ) | Equity LifeStyle Properties, Inc. (REIT) | (621,011 | ) | ||||||
(300 | ) | Erie Indemnity Co. – Class A | (53,127 | ) | ||||||
(4,300 | ) | Exact Sciences Corp. * | (448,834 | ) | ||||||
(2,700 | ) | Expedia Group, Inc. * | (390,150 | ) | ||||||
(100 | ) | First Republic Bank | (19,894 | ) | ||||||
(400 | ) | Gartner, Inc. * | (123,496 | ) | ||||||
(4,700 | ) | Guidewire Software, Inc. * | (556,762 | ) | ||||||
(2,300 | ) | Hess Corp. | (158,125 | ) | ||||||
(25,800 | ) | Host Hotels & Resorts, Inc. (REIT) * | (427,248 | ) | ||||||
(900 | ) | HubSpot, Inc. * | (616,023 | ) | ||||||
(900 | ) | IDEXX Laboratories, Inc. * | (606,384 | ) | ||||||
(3,300 | ) | Ingersoll Rand, Inc. * | (174,966 | ) | ||||||
(2,000 | ) | Insulet Corp. * | (595,620 | ) | ||||||
(1,400 | ) | Ionis Pharmaceuticals, Inc. * | (55,664 | ) | ||||||
(2,500 | ) | IQVIA Holdings, Inc. * | (649,325 | ) | ||||||
(5,600 | ) | Iron Mountain, Inc. (REIT) | (267,400 | ) | ||||||
(1,000 | ) | KKR & Co., Inc. | (64,290 | ) | ||||||
(7,200 | ) | Lamb Weston Holdings, Inc. | (469,080 | ) | ||||||
(1,500 | ) | Liberty Broadband Corp. – Class A * | (278,655 | ) | ||||||
(1,000 | ) | Liberty Broadband Corp. – Class C * | (191,320 | ) | ||||||
(12,800 | ) | Liberty Media Corp-Liberty Formula One – Class C * | (646,912 | ) | ||||||
(1,800 | ) | Liberty Media Corp-Liberty SiriusXM – Class A * | (89,100 | ) | ||||||
(2,100 | ) | Liberty Media Corp-Liberty SiriusXM – Class C * | (103,635 | ) | ||||||
(700 | ) | Linde Plc | (220,213 | ) | ||||||
(6,600 | ) | Live Nation Entertainment, Inc. * | (572,220 | ) | ||||||
(1,000 | ) | MarketAxess Holdings, Inc. | (475,920 | ) | ||||||
(900 | ) | Marriott International, Inc. – Class A * | (121,626 | ) | ||||||
(6,500 | ) | MGM Resorts International | (277,030 | ) | ||||||
(1,700 | ) | MongoDB, Inc. * | (666,111 | ) | ||||||
(800 | ) | Monolithic Power Systems, Inc. | (395,944 | ) | ||||||
(1,000 | ) | MSCI, Inc. | (634,580 | ) | ||||||
(3,300 | ) | NiSource, Inc. | (81,345 | ) | ||||||
(3,000 | ) | Novocure Ltd. * | (402,630 | ) | ||||||
(3,100 | ) | Oak Street Health, Inc. * | (144,863 | ) | ||||||
(5,600 | ) | Occidental Petroleum Corp. | (143,864 | ) | ||||||
(2,200 | ) | Okta, Inc. * | (579,920 | ) | ||||||
(3,200 | ) | Palantir Technologies, Inc. – Class A * | (84,288 | ) | ||||||
(1,200 | ) | Paycom Software, Inc. * | (586,680 | ) | ||||||
(3,200 | ) | Peloton Interactive, Inc. – Class A * | (320,608 | ) | ||||||
(900 | ) | Public Storage (REIT) | (291,249 | ) | ||||||
(1,700 | ) | RingCentral, Inc. – Class A * | (428,842 | ) | ||||||
(1,500 | ) | Roku, Inc. * | (528,600 | ) |
Shares | Description | Value ($) | ||||||||
Common Stocks — continued | ||||||||||
United States — continued | ||||||||||
(6,300 | ) | Rollins, Inc. | (245,196 | ) | ||||||
(5,500 | ) | Royal Caribbean Cruises Ltd. * | (455,015 | ) | ||||||
(5,800 | ) | Sarepta Therapeutics, Inc. * | (453,096 | ) | ||||||
(400 | ) | Seagen, Inc. * | (67,040 | ) | ||||||
(1,100 | ) | ServiceNow, Inc. * | (708,004 | ) | ||||||
(3,600 | ) | Simon Property Group, Inc. (REIT) | (484,020 | ) | ||||||
(8,200 | ) | Snap, Inc. – Class A * | (624,102 | ) | ||||||
(1,900 | ) | Snowflake, Inc. – Class A * | (578,265 | ) | ||||||
(3,600 | ) | Southwest Airlines Co. * | (179,208 | ) | ||||||
(2,300 | ) | Square, Inc. – Class A * | (616,561 | ) | ||||||
(2,800 | ) | Starbucks Corp. | (328,972 | ) | ||||||
(100 | ) | Sun Communities, Inc. (REIT) | (20,149 | ) | ||||||
(300 | ) | T-Mobile US, Inc. * | (41,106 | ) | ||||||
(2,900 | ) | Teladoc Health, Inc. * | (418,818 | ) | ||||||
(900 | ) | Tesla, Inc. * | (662,148 | ) | ||||||
(500 | ) | Trade Desk, Inc. (The) – Class A * | (40,025 | ) | ||||||
(1,600 | ) | Twilio, Inc. – Class A * | (571,136 | ) | ||||||
(5,800 | ) | Twitter, Inc. * | (374,100 | ) | ||||||
(9,800 | ) | Uber Technologies, Inc. * | (383,572 | ) | ||||||
(11,200 | ) | UDR, Inc. (REIT) | (605,024 | ) | ||||||
(1,700 | ) | Vail Resorts, Inc. * | (518,245 | ) | ||||||
(5,400 | ) | Vistra Corp. | (103,086 | ) | ||||||
(800 | ) | Wayfair, Inc. – Class A * | (224,600 | ) | ||||||
(20,200 | ) | Williams Cos, Inc. (The) | (498,738 | ) | ||||||
(3,000 | ) | Zendesk, Inc. * | (370,800 | ) | ||||||
(1,200 | ) | Zillow Group, Inc. – Class A * | (114,720 | ) | ||||||
(4,342 | ) | Zillow Group, Inc. – Class C * | (415,833 | ) | ||||||
(2,500 | ) | Zscaler, Inc. * | (695,850 | ) | ||||||
|
| |||||||||
Total United States | (38,055,434 | ) | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (PROCEEDS $62,777,742) | (69,326,207 | ) | ||||||||
|
| |||||||||
PREFERRED STOCKS (c) — (0.1)% |
| |||||||||
Germany — (0.1)% | ||||||||||
(831 | ) | Sartorius AG | (547,473 | ) | ||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (PROCEEDS $362,834) | (547,473 | ) | ||||||||
|
| |||||||||
TOTAL SECURITIES SOLD SHORT (PROCEEDS $63,140,576) | (69,873,680 | ) | ||||||||
Other Assets and Liabilities (net) — 17.9% | 67,353,199 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $375,322,305 | |||||||||
|
|
See accompanying notes to the financial statements. | 95 |
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
August 31, 2021 (Unaudited)
A summary of outstanding financial instruments at August 31, 2021 is as follows:
Swap Contracts
OTC Total Return Swaps
Fund Pays | Fund Receives | Counterparty | Notional Amount | Expiration | Periodic Payment Frequency | Premiums Paid/ (Received) ($) | Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) | ||||||||||||||||||||||
Total Return on Equity Basket (e) | 1 Month Federal Funds Rate minus 0.75% | GS | USD | 658,026 | 05/24/2022 | Monthly | ��� | (24,163 | ) | (24,163 | ) | |||||||||||||||||||
Total Return on Equity Basket (e) | 1 Month Federal Funds Rate minus 0.75% | GS | USD | 66,624 | 05/24/2022 | Monthly | — | (3,302 | ) | (3,302 | ) | |||||||||||||||||||
Total Return on Equity Basket (e) | 1 Month Federal Funds Rate minus 0.50% | GS | USD | 734,255 | 05/24/2022 | Monthly | — | 14,631 | 14,631 | |||||||||||||||||||||
Total Return on Equity Basket (e) | 1 Month Federal Funds Rate minus 0.63% | GS | USD | 91,171 | 05/24/2022 | Monthly | — | (4,325 | ) | (4,325 | ) | |||||||||||||||||||
Total Return on Equity Basket (e) | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 3,107 | 10/18/2022 | Monthly | — | (286 | ) | (286 | ) | |||||||||||||||||||
Total Return on Equity Basket (f) | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 4,244,200 | 10/18/2022 | Monthly | — | (108,959 | ) | (108,959 | ) | |||||||||||||||||||
Total Return on Equity Basket (e) | 1 Month Federal Funds Rate minus 1.00% | MORD | USD | 314,807 | 10/18/2022 | Monthly | — | (1,272 | ) | (1,272 | ) | |||||||||||||||||||
Total Return on Equity Basket (e) | 1 Month Federal Funds Rate minus 2.50% | MORD | USD | 1,413,211 | 05/18/2023 | Monthly | — | (20,112 | ) | (20,112 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | — | $ | (147,788 | ) | $ | (147,788 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
As of August 31, 2021, 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) | 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) | 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, 2021. |
(e) | 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. |
(f) | The following table represents the individual short positions within the custom equity basket swap as of August 31, 2021: |
Shares | Description | % of Equity Basket | Value ($) | |||||||||
2,320,000 | Alibaba Pictures Group Ltd | 5.7 | % | 247,267 | ||||||||
792,000 | China Molybdenum Co Ltd – Class H | 14.2 | % | 617,892 | ||||||||
46,000 | China Resources Beer Holdings Co Ltd | 8.7 | % | 378,275 | ||||||||
200,000 | China Youzan Ltd | 0.6 | % | 27,999 | ||||||||
16,000 | �� | Galaxy Entertainment Group Ltd | 2.4 | % | 102,585 | |||||||
284,000 | Greentown Service Group Co Ltd | 7.0 | % | 303,706 | ||||||||
3,000 | Haidilao International Holding Ltd | 0.3 | % | 12,244 | ||||||||
9,400 | Hong Kong Exchanges and Clearing Ltd | 13.7 | % | 593,836 | ||||||||
136,000 | Kingdee International Software Group Co Ltd | 11.4 | % | 495,227 | ||||||||
14,000 | New World Development Co Ltd | 1.5 | % | 65,851 | ||||||||
94,800 | Sands China Ltd | 7.0 | % | 304,554 | ||||||||
145,000 | SJM Holdings Ltd | 2.9 | % | 126,181 | ||||||||
8,000 | Venus Medtech Hangzhou Inc – Class H | 0.9 | % | 37,866 | ||||||||
199,600 | Wynn Macau Ltd | 5.2 | % | 224,896 | ||||||||
39,000 | Yihai International Holding Ltd. | 4.8 | % | 210,992 | ||||||||
420,000 | Zijin Mining Group Co Ltd – Class H | 13.7 | % | 594,290 | ||||||||
|
| |||||||||||
TOTAL COMMON STOCKS | $ | 4,343,661 | ||||||||||
|
|
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 97.
96 | See accompanying notes to the financial statements. |
GMO Trust Funds
August 31, 2021 (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
CVA - Certificaaten van aandelen (Share Certificates)
CVR - Contingent Value Right
ETF - Exchange-Traded Fund
EURIBOR - Euro Interbank Offered Rate
Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.
FSA - Insured as to the payment of principal and interest by Financial Security Assurance.
GDR - Global Depositary Receipt
JSC - Joint-Stock Company
JPY LIBOR - London Interbank Offered Rate denominated in Japanese Yen.
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
PIK - Payment In Kind
PJSC - Private Joint-Stock Company
QPSC - Qatar Private Stock Company
QSC - Qatari Shareholding Company
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
SONIA - Sterling Overnight Interbank Average 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, 2021, which are subject to change based on the terms of the security.
Counterparty Abbreviations:
BBH - Brown Brothers Harriman & Co.
BCLY - Barclays Bank PLC
BOA - Bank of America, N.A.
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.
MLCS - Merrill Lynch Capital Services, Inc.
MORD - Morgan Stanley Capital Services LLC
MSCI - Morgan Stanley & Co. International PLC
SSB - State Street Bank and Trust Company
UBSA - UBS AG
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
USD - United States Dollar
ZAR - South African Rand
See accompanying notes to the financial statements. | 97 |
Statements of Assets and Liabilities — August 31, 2021 (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) | $ | 12,573,638 | $ | 6,106,577,259 | $ | 326,728,838 | $ | 653,752,855 | ||||||||
Investments in unaffiliated issuers, at value (Note 2)(b)(c) | 311,750,823 | 4,706,724 | 1,786,387,823 | 424,326 | ||||||||||||
Foreign currency, at value (Note 2)(d) | 61,387 | — | 870,424 | — | ||||||||||||
Cash | 2,790,532 | — | — | — | ||||||||||||
Receivable for investments sold | 2,296,908 | 15,030,000 | 12,660,912 | 400,000 | ||||||||||||
Collateral on investments sold short (Note 2) | 149,570,100 | — | 413,129,000 | — | ||||||||||||
Receivable for Fund shares sold | 1,333,104 | 827,471 | — | 75,000 | ||||||||||||
Dividends and interest receivable | 249,416 | 21 | 3,525,908 | 5 | ||||||||||||
Dividend withholding tax receivable | 15,487 | — | 346,037 | — | ||||||||||||
Foreign capital gains tax refund receivable (Note 2) | — | — | 115,370 | — | ||||||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | 1,856,370 | — | 1,246,988 | — | ||||||||||||
Receivable for variation margin on open cleared swap contracts (Note 4) | 568,869 | — | 226,694 | — | ||||||||||||
Due from broker (Note 2) | 8,397,360 | — | 4,960,891 | — | ||||||||||||
Receivable for variation margin on open futures contracts (Note 4) | 333,719 | — | 149,699 | — | ||||||||||||
Receivable for open OTC swap contracts (Note 4) | 3,205,429 | — | 208,938 | — | ||||||||||||
Interest receivable for open OTC swap contracts (Note 4) | 190,271 | — | — | — | ||||||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 40,044 | 294,729 | 125,752 | 13,256 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 495,233,457 | 6,127,436,204 | 2,550,683,274 | 654,665,442 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Investments sold short, at value (Note 2)(e) | 151,388,395 | — | 412,692,433 | — | ||||||||||||
Due to custodian | — | — | 335,079 | — | ||||||||||||
Due to broker (Note 2) | — | — | 3 | — | ||||||||||||
Payable for cash collateral from securities loaned (Note 2) | — | — | 5,348,116 | — | ||||||||||||
Payable for investments purchased | 4,626,672 | 12,000,000 | 11,004,269 | — | ||||||||||||
Payable for Fund shares repurchased | 14,615 | 2,770,633 | 71,448,397 | 247,000 | ||||||||||||
Accrued foreign capital gains tax payable (Note 2) | 13 | — | 512,955 | — | ||||||||||||
Payable to affiliate for (Note 5): |
| |||||||||||||||
Management fee | 204,975 | 3,401,481 | — | — | ||||||||||||
Supplemental support fee – Class MF | — | 135,608 | — | — | ||||||||||||
Shareholder service fee | 38,312 | 493,140 | — | — | ||||||||||||
Payable to agents unaffiliated with GMO | 163 | 1,712 | 611 | 103 | ||||||||||||
Payable for variation margin on open futures contracts (Note 4) | 120,845 | — | 1,704,980 | — | ||||||||||||
Payable for closed swap contracts (Note 4) | 16,513 | — | — | — | ||||||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | 2,261,505 | — | 1,760,492 | — | ||||||||||||
Interest payable for open OTC swap contracts (Note 4) | 44,946 | — | — | — | ||||||||||||
Interest and dividend payable for short sales | 189,028 | — | 223,820 | — | ||||||||||||
Payable for open OTC swap contracts (Note 4) | 503,482 | — | 1,068,222 | — | ||||||||||||
Payable to Trustees and related expenses | 1,330 | 60,797 | 17,104 | 11,776 | ||||||||||||
Written options outstanding, at value (Note 4)(f) | 88,677 | — | — | — | ||||||||||||
Accrued expenses | 198,396 | 201,006 | 919,433 | 77,956 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 159,697,867 | 19,064,377 | 507,035,914 | 336,835 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 335,535,590 | $ | 6,108,371,827 | $ | 2,043,647,360 | $ | 654,328,607 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments – affiliated issuers: | $ | 11,308,238 | $ | 6,179,195,008 | $ | 322,287,453 | $ | 630,909,987 | ||||||||
(b) Cost of investments – unaffiliated issuers: | $ | 302,858,539 | $ | 4,706,724 | $ | 1,587,639,054 | $ | 428,877 | ||||||||
(c) Includes securities on loan at value (Note 2): | $ | — | $ | — | $ | 24,350,984 | $ | — | ||||||||
(d) Cost of foreign currency: | $ | 68,001 | $ | — | $ | 867,662 | $ | — | ||||||||
(e) Proceeds from securities sold short: | $ | 132,522,984 | $ | — | $ | 368,773,958 | $ | — | ||||||||
(f) Premiums on written options: | $ | 275,646 | $ | — | $ | — | $ | — |
98 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2021 (Unaudited) — (Continued)
Consolidated | Benchmark-Free Allocation Fund | Benchmark- Free Fund | Global Asset Allocation Fund | |||||||||||||
Net assets consist of: | ||||||||||||||||
Paid-in capital | $ | 370,777,397 | $ | 6,380,556,426 | $ | 2,248,331,727 | $ | 811,294,228 | ||||||||
Distributable earnings (accumulated loss) | (35,241,807 | ) | (272,184,599 | ) | (204,684,367 | ) | (156,965,621 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 335,535,590 | $ | 6,108,371,827 | $ | 2,043,647,360 | $ | 654,328,607 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets attributable to: | ||||||||||||||||
Class III | $ | — | $ | 1,792,736,803 | $ | 2,043,647,360 | $ | 608,880,734 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | — | $ | 2,102,452,630 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | 166,985,093 | $ | — | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class MF | $ | — | $ | 1,586,436,893 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | $ | 3,565 | $ | 283,345,299 | $ | — | $ | 31,934,852 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | $ | 168,546,932 | $ | 343,400,202 | $ | — | $ | 13,513,021 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding: | ||||||||||||||||
Class III | — | 67,925,099 | 103,105,792 | 16,666,024 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | — | 79,654,501 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | 9,220,899 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class MF | — | 60,041,900 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | 196 | 10,743,242 | — | 874,588 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | 9,330,792 | 13,026,636 | — | 369,901 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share: | ||||||||||||||||
Class III | $ | — | $ | 26.39 | $ | 19.82 | $ | 36.53 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class IV | $ | — | $ | 26.39 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI | $ | 18.11 | $ | — | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class MF | $ | — | $ | 26.42 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | $ | 18.21 | $ | 26.37 | $ | — | $ | 36.51 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | $ | 18.06 | $ | 26.36 | $ | — | $ | 36.53 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 99 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2021 (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) | $ | 98,440,630 | $ | 1,708,590,350 | $ | 11,596,552 | $ | 254,166,670 | ||||||||
Investments in unaffiliated issuers, at value (Note 2)(b)(c) | 59,647 | 659,761 | 5,504,264,049 | 89,564 | ||||||||||||
Foreign currency, at value (Note 2)(d) | — | — | 2,267,540 | — | ||||||||||||
Receivable for investments sold | — | 10,000,000 | 27,281,894 | — | ||||||||||||
Collateral on investments sold short (Note 2) | — | — | 1,104,864,000 | — | ||||||||||||
Receivable for Fund shares sold | — | 140 | 12,000,000 | — | ||||||||||||
Dividends and interest receivable | — | 3 | 13,153,292 | — | ||||||||||||
Dividend withholding tax receivable | — | — | 898,401 | — | ||||||||||||
Foreign capital gains tax refund receivable (Note 2) | — | — | 7,095 | — | ||||||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | — | — | 8,043,594 | — | ||||||||||||
Receivable for variation margin on open cleared swap contracts (Note 4) | — | — | 1,511,299 | — | ||||||||||||
Due from broker (Note 2) | — | — | 478,348,220 | — | ||||||||||||
Receivable for variation margin on open futures contracts (Note 4) | — | — | 214,587 | — | ||||||||||||
Receivable for open OTC swap contracts (Note 4) | — | — | 835,139 | — | ||||||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 2,961 | 12,043 | 299,042 | 5,159 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 98,503,238 | 1,719,262,297 | 7,165,584,704 | 254,261,393 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Investments sold short, at value (Note 2)(e) | — | — | 1,493,378,540 | — | ||||||||||||
Due to custodian | — | — | 2,332,141 | — | ||||||||||||
Due to broker (Note 2) | — | — | 5,137,546 | — | ||||||||||||
Payable for cash collateral from securities loaned (Note 2) | — | — | 11,494,916 | — | ||||||||||||
Payable for investments purchased | — | 10,000,000 | 60,367,891 | — | ||||||||||||
Payable for Fund shares repurchased | — | — | 3,030,000 | — | ||||||||||||
Accrued foreign capital gains tax payable (Note 2) | — | — | 2,195,646 | — | ||||||||||||
Payable to agents unaffiliated with GMO | 32 | 578 | 1,711 | 67 | ||||||||||||
Payable for variation margin on open futures contracts (Note 4) | — | — | 2,542,861 | — | ||||||||||||
Payable for variation margin on open cleared swap contracts (Note 4) | — | — | 1,996 | — | ||||||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | — | — | 10,273,502 | — | ||||||||||||
Interest payable for open OTC swap contracts (Note 4) | — | — | 53,580 | — | ||||||||||||
Interest and dividend payable for short sales | — | — | 1,113,702 | — | ||||||||||||
Payable for open OTC swap contracts (Note 4) | — | — | 3,923,468 | — | ||||||||||||
Payable to Trustees and related expenses | 309 | 7,901 | 47,289 | 1,899 | ||||||||||||
Accrued expenses | 33,559 | 92,523 | 2,047,966 | 24,885 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 33,900 | 10,101,002 | 1,597,942,755 | 26,851 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 98,469,338 | $ | 1,709,161,295 | $ | 5,567,641,949 | $ | 254,234,542 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments – affiliated issuers: | $ | 77,736,047 | $ | 1,483,894,954 | $ | 11,580,814 | $ | 232,050,817 | ||||||||
(b) Cost of investments – unaffiliated issuers: | $ | 59,647 | $ | 659,761 | $ | 5,190,059,983 | $ | 89,564 | ||||||||
(c) Includes securities on loan at value (Note 2): | $ | — | $ | — | $ | 64,871,709 | $ | — | ||||||||
(d) Cost of foreign currency: | $ | — | $ | — | $ | 2,255,249 | $ | — | ||||||||
(e) Proceeds from securities sold short: | $ | — | $ | — | $ | 1,294,396,197 | $ | — |
100 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2021 (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 | $ | 78,892,313 | $ | 1,514,265,521 | $ | 6,478,863,096 | $ | 393,467,612 | ||||||||
Distributable earnings (accumulated loss) | 19,577,025 | 194,895,774 | (911,221,147 | ) | (139,233,070 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 98,469,338 | $ | 1,709,161,295 | $ | 5,567,641,949 | $ | 254,234,542 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets attributable to: | ||||||||||||||||
Core Class | $ | — | $ | — | $ | 5,567,641,949 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | $ | 98,469,338 | $ | 1,699,029,082 | $ | — | $ | 245,025,278 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | $ | — | $ | 7,504,692 | $ | — | $ | 9,209,264 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | $ | — | $ | 2,627,521 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding: | ||||||||||||||||
Core Class | — | — | 429,644,443 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | 3,453,695 | 51,950,369 | — | 13,274,936 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | — | 229,457 | — | 498,987 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | — | 80,371 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share: | ||||||||||||||||
Core Class | $ | — | $ | — | $ | 12.96 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class III | $ | 28.51 | $ | 32.70 | $ | — | $ | 18.46 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | $ | — | $ | 32.71 | $ | — | $ | 18.46 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | $ | — | $ | 32.69 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to the financial statements. | 101 |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2021 (Unaudited) — (Continued)
International Equity Allocation Fund | Consolidated SGM Major Markets Fund | Strategic Opportunities Allocation Fund | ||||||||||
Assets: | ||||||||||||
Investments in affiliated issuers, at value (Notes 2 and 10)(a) | $ | 843,176,712 | $ | — | $ | 225,163,660 | ||||||
Investments in unaffiliated issuers, at value (Note 2)(b) | 321,937 | 318,653,400 | 152,679,126 | |||||||||
Foreign currency, at value (Note 2)(c) | — | 41 | 124,781 | |||||||||
Receivable for investments sold | — | — | 5,099,015 | |||||||||
Collateral on investments sold short (Note 2) | — | — | 69,981,001 | |||||||||
Receivable for Fund shares sold | 23 | — | — | |||||||||
Dividends and interest receivable | 2 | 128,326 | 307,858 | |||||||||
Dividend withholding tax receivable | — | — | 41,914 | |||||||||
Foreign capital gains tax refund receivable (Note 2) | — | — | 64 | |||||||||
Unrealized appreciation on open forward currency contracts (Note 4) | — | 1,321,130 | — | |||||||||
Due from broker (Note 2) | — | 1,763,725 | 85 | |||||||||
Receivable for variation margin on open futures contracts (Note 4) | — | 595,559 | — | |||||||||
Receivable for open OTC swap contracts (Note 4) | — | 8,643 | 14,631 | |||||||||
Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 10,813 | 31,814 | 52,461 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 843,509,487 | 322,502,638 | 453,464,596 | |||||||||
|
|
|
|
|
| |||||||
Liabilities: | ||||||||||||
Investments sold short, at value (Note 2)(d) | — | — | 69,873,680 | |||||||||
Due to custodian | — | — | 1,185 | |||||||||
Payable for investments purchased | — | — | 52,585 | |||||||||
Payable for Fund shares repurchased | — | 2,857,379 | 7,760,000 | |||||||||
Accrued foreign capital gains tax payable (Note 2) | — | — | 42,253 | |||||||||
Payable to affiliate for (Note 5): | ||||||||||||
Management fee | — | 240,168 | — | |||||||||
Shareholder service fee | — | 20,145 | — | |||||||||
Payable to agents unaffiliated with GMO | 275 | 73 | 91 | |||||||||
Payable for variation margin on open futures contracts (Note 4) | — | 411,511 | — | |||||||||
Unrealized depreciation on open forward currency contracts (Note 4) | — | 506,562 | — | |||||||||
Interest and dividend payable for short sales | — | — | 37,895 | |||||||||
Payable for open OTC swap contracts (Note 4) | — | 516,113 | 162,419 | |||||||||
Payable to Trustees and related expenses | 4,600 | 4,525 | 6,291 | |||||||||
Accrued expenses | 61,355 | 213,676 | 205,892 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 66,230 | 4,770,152 | 78,142,291 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 843,443,257 | $ | 317,732,486 | $ | 375,322,305 | ||||||
|
|
|
|
|
| |||||||
(a) Cost of investments – affiliated issuers: | $ | 746,899,017 | $ | — | $ | 190,295,391 | ||||||
(b) Cost of investments – unaffiliated issuers: | $ | 321,937 | $ | 318,538,696 | $ | 132,888,516 | ||||||
(c) Cost of foreign currency: | $ | — | $ | 41 | $ | 124,438 | ||||||
(d) Proceeds from securities sold short: | $ | — | $ | — | $ | 63,140,576 |
102 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Assets and Liabilities — August 31, 2021 (Unaudited) — (Continued)
International Equity Allocation Fund | Consolidated SGM Major Markets Fund | Strategic Opportunities Allocation Fund | ||||||||||
Net assets consist of: | ||||||||||||
Paid-in capital | $ | 876,848,179 | $ | 381,690,193 | $ | 294,940,752 | ||||||
Distributable earnings (accumulated loss) | (33,404,922 | ) | (63,957,707 | ) | 80,381,553 | |||||||
|
|
|
|
|
| |||||||
$ | 843,443,257 | $ | 317,732,486 | $ | 375,322,305 | |||||||
|
|
|
|
|
| |||||||
Net assets attributable to: | ||||||||||||
Class III | $ | 570,867,711 | $ | 30,591,930 | $ | 375,322,305 | ||||||
|
|
|
|
|
| |||||||
Class VI | $ | — | $ | 260,579,978 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class R6 | $ | 272,575,546 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
Class I | $ | — | $ | 26,560,578 | $ | — | ||||||
|
|
|
|
|
| |||||||
Shares outstanding: | ||||||||||||
Class III | 16,649,292 | 1,026,953 | 16,530,377 | |||||||||
|
|
|
|
|
| |||||||
Class VI | — | 8,759,080 | — | |||||||||
|
|
|
|
|
| |||||||
Class R6 | 7,951,925 | — | — | |||||||||
|
|
|
|
|
| |||||||
Class I | — | 892,885 | — | |||||||||
|
|
|
|
|
| |||||||
Net asset value per share: | ||||||||||||
Class III | $ | 34.29 | $ | 29.79 | $ | 22.71 | ||||||
|
|
|
|
|
| |||||||
Class VI | $ | — | $ | 29.75 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class R6 | $ | 34.28 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
Class I | $ | — | $ | 29.75 | $ | — | ||||||
|
|
|
|
|
|
See accompanying notes to the financial statements. | 103 |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2021 (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) | $ | 2,729,885 | $ | — | $ | 38,232,058 | $ | 32 | ||||||||
Dividends from affiliated issuers (Note 10) | 40,947 | 6,804,590 | 3,158,185 | 4,039,966 | ||||||||||||
Interest | 241,393 | — | 84,642 | 358 | ||||||||||||
Securities lending income from affiliated issuers (net) | — | — | 76,990 | — | ||||||||||||
Securities lending income (net) | — | — | 126,638 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 3,012,225 | 6,804,590 | 41,678,513 | 4,040,356 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Management fee (Note 5) | 1,488,908 | 21,147,777 | — | — | ||||||||||||
Shareholder service fee – Class III (Note 5) | — | 1,535,285 | — | — | ||||||||||||
Shareholder service fee – Class IV (Note 5) | — | 1,058,424 | — | — | ||||||||||||
Shareholder service fee – Class VI (Note 5) | 52,731 | — | — | — | ||||||||||||
Shareholder service fee – Class R6 (Note 5) | 406 | 234,261 | — | — | ||||||||||||
Shareholder service fee – Class I (Note 5) | 237,382 | 257,975 | — | — | ||||||||||||
Supplemental support fee – Class MF (Note 5) | — | 843,399 | — | — | ||||||||||||
Audit and tax fees | 56,724 | 15,904 | 67,297 | 14,989 | ||||||||||||
Custodian, fund accounting agent and transfer agent fees | 224,064 | 223,754 | 788,406 | 48,026 | ||||||||||||
Dividend expense on short sales | 1,051,767 | — | 2,755,438 | — | ||||||||||||
Legal fees | 18,181 | 60,929 | 37,163 | 9,152 | ||||||||||||
Registration fees | 35,501 | 48,347 | 421 | 26,637 | ||||||||||||
Trustees’ fees and related expenses (Note 5) | 7,692 | 119,685 | 39,465 | 18,534 | ||||||||||||
Interest expense and borrowing costs for investments sold short (Note 2) | 265,507 | — | 639,215 | — | ||||||||||||
Miscellaneous | 37,195 | 27,491 | 77,387 | * | 6,911 | ** | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 3,476,058 | 25,573,231 | 4,404,792 | 124,249 | ||||||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (181,504 | ) | (195,916 | ) | (634,812 | ) | (95,361 | ) | ||||||||
Indirectly incurred management fees waived or borne by GMO (Note 5) | (60,877 | ) | (1,486,951 | ) | — | — | ||||||||||
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5) | (1,873 | ) | (186,889 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 3,231,804 | 23,703,475 | 3,769,980 | 28,888 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | (219,579 | ) | (16,898,885 | ) | 37,908,533 | 4,011,468 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b) | 13,622,993 | — | 116,900,960 | 805 | ||||||||||||
Investments in affiliated issuers | 2,580,654 | (18,904,176 | ) | 209,866 | 29,451,442 | |||||||||||
Investments in securities sold short | 793,193 | — | (20,996,423 | ) | — | |||||||||||
Realized gain distributions from affiliated issuers (Note 10) | — | 9,111,658 | 3,821,673 | 14,537,656 | ||||||||||||
Futures contracts | (2,907,149 | ) | — | (67,368,890 | ) | — | ||||||||||
Written options | 2,509,731 | — | — | — | ||||||||||||
Swap contracts | (5,050,372 | ) | — | 9,051,596 | — | |||||||||||
Forward currency contracts | 299,584 | — | 7,850,441 | — | ||||||||||||
Foreign currency and foreign currency related transactions | (135,696 | ) | — | (109,855 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 11,712,938 | (9,792,518 | ) | 49,359,368 | 43,989,903 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c) | (12,195,251 | ) | — | (23,147,561 | ) | (923 | ) | |||||||||
Investments in affiliated issuers | (1,959,720 | ) | 140,892,659 | (1,711,145 | ) | (5,010,025 | ) | |||||||||
Investments in securities sold short | (1,354,417 | ) | — | (13,165,571 | ) | — | ||||||||||
Futures contracts | (469,008 | ) | — | 663,647 | — | |||||||||||
Written options | 393,538 | — | — | — | ||||||||||||
Swap contracts | 3,424,912 | — | (3,717,146 | ) | — | |||||||||||
Forward currency contracts | (262,480 | ) | — | (704,922 | ) | — | ||||||||||
Foreign currency and foreign currency related transactions | (141,466 | ) | — | 56,126 | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) | (12,563,892 | ) | 140,892,659 | (41,726,572 | ) | (5,010,948 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | (850,954 | ) | 131,100,141 | 7,632,796 | 38,978,955 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | (1,070,533 | ) | $ | 114,201,256 | $ | 45,541,329 | $ | 42,990,423 | |||||||
|
|
|
|
|
|
|
| |||||||||
(a) Withholding tax: | $ | 83,668 | $ | — | $ | 3,474,438 | $ | — | ||||||||
(b) Foreign capital gains tax on net realized gain (loss): | $ | — | $ | — | $ | 42 | $ | — | ||||||||
(c) Foreign capital gains tax on change in net unrealized appreciation (depreciation): | $ | 13 | $ | — | $ | 512,955 | $ | — | ||||||||
* Includes $66,708 of pricing expenses. |
| |||||||||||||||
** Includes $2,616 of printing expenses. |
|
104 | See accompanying notes to the financial statements. |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2021 (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) | $ | — | $ | 21 | $ | 104,207,349 | $ | — | ||||||||
Dividends from affiliated issuers (Note 10) | 1,031,171 | 16,058,175 | — | 4,211,991 | ||||||||||||
Interest | 2 | — | 9,125,092 | — | ||||||||||||
Securities lending income from affiliated issuers (net) | — | — | 168,852 | — | ||||||||||||
Securities lending income (net) | — | — | 344,351 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 1,031,173 | 16,058,196 | 113,845,644 | 4,211,991 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Audit and tax fees | 11,267 | 11,696 | 120,838 | 12,977 | ||||||||||||
Custodian, fund accounting agent and transfer agent fees | 4,965 | 40,770 | 1,481,674 | 13,197 | ||||||||||||
Dividend expense on short sales | — | — | 9,654,418 | — | ||||||||||||
Legal fees | 607 | 12,798 | 63,585 | 2,156 | ||||||||||||
Registration fees | 2,445 | 41,651 | 843 | 25,754 | ||||||||||||
Trustees’ fees and related expenses (Note 5) | 1,445 | 28,127 | 105,381 | 4,030 | ||||||||||||
Interest expense and borrowing costs for investments sold short (Note 2) | — | — | 2,107,313 | — | ||||||||||||
Miscellaneous | 2,249 | * | 7,522 | ** | 106,839 | *** | 3,165 | **** | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 22,978 | 142,564 | 13,640,891 | 61,279 | ||||||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (21,376 | ) | (110,260 | ) | (1,672,724 | ) | (56,791 | ) | ||||||||
Indirectly incurred management fees waived or borne by GMO (Note 5) | — | — | (2,889 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 1,602 | 32,304 | 11,965,278 | 4,488 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 1,029,571 | 16,025,892 | 101,880,366 | 4,207,503 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b) | — | — | 335,704,486 | — | ||||||||||||
Investments in affiliated issuers | 380,386 | 33,518,688 | 4,075 | 447,369 | ||||||||||||
Investments in securities sold short | — | — | (85,017,878 | ) | — | |||||||||||
Realized gain distributions from affiliated issuers (Note 10) | 2,271,624 | 30,571,857 | — | 323,532 | ||||||||||||
Futures contracts | — | — | (166,112,264 | ) | — | |||||||||||
Written options | — | — | (107,440 | ) | — | |||||||||||
Swap contracts | — | — | 19,573,750 | — | ||||||||||||
Forward currency contracts | — | — | 22,085,975 | — | ||||||||||||
Foreign currency and foreign currency related transactions | — | — | (606,010 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 2,652,010 | 64,090,545 | 125,524,694 | 770,901 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) on: |
| |||||||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c) | — | — | | (33,451,162 | ) | — | ||||||||||
Investments in affiliated issuers | 6,652,779 | 74,134,015 | 15,738 | 15,745,176 | ||||||||||||
Investments in securities sold short | — | — | (69,993,925 | ) | — | |||||||||||
Futures contracts | — | — | 4,999,776 | — | ||||||||||||
Swap contracts | — | — | (29,784 | ) | — | |||||||||||
Forward currency contracts | — | — | (3,235,320 | ) | — | |||||||||||
Foreign currency and foreign currency related transactions | — | — | (27,940 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) | 6,652,779 | 74,134,015 | (101,722,617 | ) | 15,745,176 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | 9,304,789 | 138,224,560 | 23,802,077 | 16,516,077 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | 10,334,360 | $ | 154,250,452 | $ | 125,682,443 | $ | 20,723,580 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Withholding tax: | $ | — | $ | — | $ | 9,048.242 | $ | — | ||||||||
(b) Foreign capital gains tax on net realized gain (loss): | $ | — | $ | — | $ | (7,488 | ) | $ | — | |||||||
(c) Foreign capital gains tax on change in net unrealized appreciation (depreciation): | $ | — | $ | — | $ | 1,764,595 | $ | — | ||||||||
* Includes $1,821 of printing expenses. | ||||||||||||||||
** Includes $2,763 of printing expenses. | ||||||||||||||||
*** Includes $76,780 of pricing expenses. | ||||||||||||||||
**** Includes $2,062 of printing expenses. |
See accompanying notes to the financial statements. | 105 |
GMO Trust Funds
Statements of Operations — Six Months Ended August 31, 2021 (Unaudited) — (Continued)
International Equity Allocation Fund | Consolidated SGM Major Markets Fund | Strategic Opportunities Allocation Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends from unaffiliated issuers (Net of withholding tax)(Note 2)(a) | $ | 9 | $ | 243 | $ | 3,163,853 | ||||||
Dividends from affiliated issuers (Note 10) | 10,618,158 | — | 1,490,187 | |||||||||
Interest | — | 442,327 | — | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 10,618,167 | 442,570 | 4,654,040 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management fee (Note 5) | — | 1,630,506 | — | |||||||||
Shareholder service fee – Class III (Note 5) | — | 23,757 | — | |||||||||
Shareholder service fee – Class VI (Note 5) | — | 91,424 | — | |||||||||
Shareholder service fee – Class I (Note 5) | — | 14,640 | — | |||||||||
Audit and tax fees | 11,391 | 39,495 | 23,155 | |||||||||
Custodian, fund accounting agent and transfer agent fees | 33,103 | 60,868 | 191,351 | |||||||||
Dividend expense on short sales | — | — | 537,977 | |||||||||
Legal fees | 6,576 | 6,326 | 9,324 | |||||||||
Registration fees | 25,470 | 49,472 | 2,790 | |||||||||
Trustees’ fees and related expenses (Note 5) | 14,124 | 6,416 | 10,502 | |||||||||
Interest expense and borrowing costs for investments sold short (Note 2) | — | — | 121,027 | |||||||||
Miscellaneous | 4,238 | * | 25,252 | 34,683 | ** | |||||||
|
|
|
|
|
| |||||||
Total expenses | 94,902 | 1,948,156 | 930,809 | |||||||||
Fees and expenses reimbursed and/or waived by GMO (Note 5) | (78,996 | ) | (167,574 | ) | (248,752 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 15,906 | 1,780,582 | 682,057 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 10,602,261 | (1,338,012 | ) | 3,971,983 | ||||||||
|
|
|
|
|
| |||||||
Realized and unrealized gain (loss): | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b) | — | 86,781 | 27,220,657 | |||||||||
Investments in affiliated issuers | 9,841,084 | — | 16,965,473 | |||||||||
Investments in securities sold short | — | — | (6,506,206 | ) | ||||||||
Realized gain distributions from affiliated issuers (Note 10) | 1,085,180 | — | 3,421,388 | |||||||||
Futures contracts | — | 1,018,042 | — | |||||||||
Swap contracts | — | (1,601,614 | ) | 2,371,717 | ||||||||
Forward currency contracts | — | (4,419,338 | ) | — | ||||||||
Foreign currency and foreign currency related transactions | — | 1,812 | (22,386 | ) | ||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 10,926,264 | (4,914,317 | ) | 43,450,643 | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c) | — | (273,599 | ) | (11,418,405 | ) | |||||||
Investments in affiliated issuers | 32,107,502 | — | (472,997 | ) | ||||||||
Investments in securities sold short | — | — | 828,147 | |||||||||
Futures contracts | — | 254,302 | — | |||||||||
Swap contracts | — | (507,470 | ) | (1,229,771 | ) | |||||||
Forward currency contracts | — | 2,395,246 | — | |||||||||
Foreign currency and foreign currency related transactions | — | (29,962 | ) | (14,171 | ) | |||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) | 32,107,502 | 1,838,517 | (12,307,197 | ) | ||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) | 43,033,766 | (3,075,800 | ) | 31,143,446 | ||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | 53,636,027 | $ | (4,413,812 | ) | $ | 35,115,429 | |||||
|
|
|
|
|
| |||||||
(a) Withholding tax: | $ | — | $ | — | $ | 246,369 | ||||||
(b) Foreign capital gains tax on net realized gain (loss): | $ | — | $ | — | $ | 50,533 | ||||||
(c) Foreign capital gains tax on change in net unrealized appreciation (depreciation): | $ | — | $ | — | $ | (61,076 | ) | |||||
* Includes $1,699 of printing expenses. | ||||||||||||
** Includes $30,317 of pricing expenses. |
106 | 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, 2021 (Unaudited) | Year Ended February 28, 2021 | Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | |||||||||||||
Increase (decrease) in net assets: |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income (loss) | $ | (219,579 | ) | $ | (994,645 | ) | $ | (16,898,885 | ) | $ | 114,142,597 | |||||
Net realized gain (loss) | 11,712,938 | (7,143,588 | ) | (9,792,518 | ) | 60,048,306 | ||||||||||
Change in net unrealized appreciation (depreciation) | (12,563,892 | ) | 4,116,009 | 140,892,659 | 80,415,746 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | (1,070,533 | ) | (4,022,224 | ) | 114,201,256 | 254,606,649 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders: |
| |||||||||||||||
Class III | — | — | — | (104,307,810 | ) | |||||||||||
Class IV | — | — | — | (71,760,959 | ) | |||||||||||
Class VI | (5,640,719 | ) | (5,356,980 | ) | — | — | ||||||||||
Class MF | — | — | — | (69,378,466 | ) | |||||||||||
Class R6 | (15,158 | ) | (9,953 | )* | — | (1,488,297 | )** | |||||||||
Class I | (5,263,713 | ) | (4,350,593 | ) | — | (4,256,750 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (10,919,590 | ) | (9,717,526 | ) | — | (251,192,282 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): |
| |||||||||||||||
Class III | — | — | (476,870,687 | ) | (1,549,777,251 | ) | ||||||||||
Class IV | — | — | 105,835,085 | (144,019,491 | ) | |||||||||||
Class VI | (56,256,403 | ) | 37,929,124 | — | — | |||||||||||
Class MF | — | — | (160,683,562 | ) | (1,092,603,160 | ) | ||||||||||
Class R6 | (463,449 | ) | 487,583 | * | (32,888,969 | ) | 308,687,885 | ** | ||||||||
Class I | (95,091,442 | ) | 239,618,890 | 13,780,869 | 222,508,366 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (151,811,294 | ) | 278,035,597 | (550,827,264 | ) | (2,255,203,651 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (163,801,417 | ) | 264,295,847 | (436,626,008 | ) | (2,251,789,284 | ) | |||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 499,337,007 | 235,041,160 | 6,544,997,835 | 8,796,787,119 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 335,535,590 | $ | 499,337,007 | $ | 6,108,371,827 | $ | 6,544,997,835 | ||||||||
|
|
|
|
|
|
|
|
* | Period from July 31, 2020 (commencement of operations) through February 28, 2021. |
** | Period from May 1, 2020 (commencement of operations) through February 28, 2021. |
See accompanying notes to the financial statements. | 107 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Benchmark-Free Fund | Global Asset Allocation Fund | |||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 37,908,533 | $ | 64,891,218 | $ | 4,011,468 | $ | 33,047,243 | ||||||||
Net realized gain (loss) | 49,359,368 | (174,343,234 | ) | 43,989,903 | 38,313,845 | |||||||||||
Change in net unrealized appreciation (depreciation) | (41,726,572 | ) | 239,716,675 | (5,010,948 | ) | 72,475,821 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 45,541,329 | 130,264,659 | 42,990,423 | 143,836,909 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders: |
| |||||||||||||||
Class III | (5,008,479 | ) | (71,248,951 | ) | (4,217,957 | ) | (38,839,616 | ) | ||||||||
Class R6 | — | — | (225,884 | ) | (1,148,742 | ) | ||||||||||
Class I | — | — | (90,510 | ) | — | * | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (5,008,479 | ) | (71,248,951 | ) | (4,534,351 | ) | (39,988,358 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | (155,381,532 | ) | (484,449,320 | ) | (113,442,962 | ) | (950,346,978 | ) | ||||||||
Class R6 | — | — | (158,950,648 | ) | 164,512,376 | |||||||||||
Class I | — | — | (7,863,464 | ) | 20,705,602 | * | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (155,381,532 | ) | (484,449,320 | ) | (280,257,074 | ) | (765,129,000 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (114,848,682 | ) | (425,433,612 | ) | (241,801,002 | ) | (661,280,449 | ) | ||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 2,158,496,042 | 2,583,929,654 | 896,129,609 | 1,557,410,058 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 2,043,647,360 | $ | 2,158,496,042 | $ | 654,328,607 | $ | 896,129,609 | ||||||||
|
|
|
|
|
|
|
|
* | Period from January 6, 2021 (commencement of operations) through February 28, 2021. |
108 | 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, 2021 (Unaudited) | Year Ended February 28, 2021 | Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 1,029,571 | $ | 2,465,589 | $ | 16,025,892 | $ | 51,214,464 | ||||||||
Net realized gain (loss) | 2,652,010 | 1,263,773 | 64,090,545 | 77,284,915 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 6,652,779 | 14,596,077 | 74,134,015 | 249,758,702 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 10,334,360 | 18,325,439 | 154,250,452 | 378,258,081 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders: |
| |||||||||||||||
Class III | (1,023,034 | ) | (2,967,463 | ) | (2,074,073 | ) | (58,232,912 | ) | ||||||||
Class R6 | — | — | (9,052 | ) | (227,894 | )* | ||||||||||
Class I | — | — | (2,140 | ) | (64,254 | )** | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (1,023,034 | ) | (2,967,463 | ) | (2,085,265 | ) | (58,525,060 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | 1,004,489 | (587,343 | ) | (91,147,608 | ) | (135,640,442 | ) | |||||||||
Class R6 | — | — | 80,547 | 5,755,476 | * | |||||||||||
Class I | — | — | 182,059 | 1,969,305 | ** | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | 1,004,489 | (587,343 | ) | (90,885,002 | ) | (127,915,661 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 10,315,815 | 14,770,633 | 61,280,185 | 191,817,360 | ||||||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 88,153,523 | 73,382,890 | 1,647,881,110 | 1,456,063,750 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 98,469,338 | $ | 88,153,523 | $ | 1,709,161,295 | $ | 1,647,881,110 | ||||||||
|
|
|
|
|
|
|
|
* | Period from July 15, 2020 (commencement of operations) through February 28 , 2021. |
** | Period from August 17, 2020 (commencement of operations) through February 28, 2021. |
See accompanying notes to the financial statements. | 109 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Consolidated Implementation Fund | International Developed Equity Allocation Fund | |||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 101,880,366 | $ | 175,368,048 | $ | 4,207,503 | $ | 9,596,314 | ||||||||
Net realized gain (loss) | 125,524,694 | (653,822,989 | ) | 770,901 | 1,580,267 | |||||||||||
Change in net unrealized appreciation (depreciation) | (101,722,617 | ) | 511,939,039 | 15,745,176 | 30,626,653 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 125,682,443 | 33,484,098 | 20,723,580 | 41,803,234 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders: |
| |||||||||||||||
Core Class | — | (132,218,180 | ) | — | — | |||||||||||
Class III | — | — | (517,683 | ) | (9,649,537 | ) | ||||||||||
Class R6 | — | — | (19,637 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | — | (132,218,180 | ) | (537,320 | ) | (9,649,537 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Core Class | (528,407,715 | ) | (1,045,204,818 | ) | — | — | ||||||||||
Class III | — | — | 8,444,981 | (112,552,246 | ) | |||||||||||
Class R6 | — | — | 220,357 | 8,318,148 | * | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net share transactions | (528,407,715 | ) | (1,045,204,818 | ) | 8,665,338 | (104,234,098 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (402,725,272 | ) | (1,143,938,900 | ) | 28,851,598 | (72,080,401 | ) | |||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 5,970,367,221 | 7,114,306,121 | 225,382,944 | 297,463,345 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 5,567,641,949 | $ | 5,970,367,221 | $ | 254,234,542 | $ | 225,382,944 | ||||||||
|
|
|
|
|
|
|
|
* | Period from January 22, 2021 (commencement of operations) through February 28, 2021. |
110 | 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, 2021 (Unaudited) | Year Ended February 28, 2021 | Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 10,602,261 | $ | 33,987,418 | $ | (1,338,012 | ) | $ | (717,925 | ) | ||||||
Net realized gain (loss) | 10,926,264 | (20,360,817 | ) | (4,914,317 | ) | 53,389,439 | ||||||||||
Change in net unrealized appreciation (depreciation) | 32,107,502 | 133,302,879 | 1,838,517 | (19,979,166 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 53,636,027 | 146,929,480 | (4,413,812 | ) | 32,692,348 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders: |
| |||||||||||||||
Class III | (1,693,254 | ) | (23,516,204 | ) | (1,971,844 | ) | (605,875 | ) | ||||||||
Class VI | — | — | (21,079,946 | ) | (7,340,475 | ) | ||||||||||
Class R6 | (805,193 | ) | (10,144,475 | ) | — | — | ||||||||||
Class I | — | — | (1,334,753 | ) | (170,853 | )* | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (2,498,447 | ) | (33,660,679 | ) | (24,386,543 | ) | (8,117,203 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (Note 9): | ||||||||||||||||
Class III | (63,170,446 | ) | (121,597,130 | ) | 2,794,734 | 11,338,628 | ||||||||||
Class VI | — | — | (28,542,111 | ) | (542,443,992 | ) | ||||||||||
Class R6 | (6,078,049 | ) | 13,037,294 | — | — | |||||||||||
Class I | — | — | 14,224,889 | 14,188,676 | * | |||||||||||
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Increase (decrease) in net assets resulting from net share transactions | (69,248,495 | ) | (108,559,836 | ) | (11,522,488 | ) | (516,916,688 | ) | ||||||||
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Total increase (decrease) in net assets | (18,110,915 | ) | 4,708,965 | (40,322,843 | ) | (492,341,543 | ) | |||||||||
Net assets: |
| |||||||||||||||
Beginning of period | 861,554,172 | 856,845,207 | 358,055,329 | 850,396,872 | ||||||||||||
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End of period | $ | 843,443,257 | $ | 861,554,172 | $ | 317,732,486 | $ | 358,055,329 | ||||||||
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* | Period from September 23, 2020 (commencement of operations) through February 28, 2021. |
See accompanying notes to the financial statements. | 111 |
GMO Trust Funds
Statements of Changes in Net Assets — (Continued)
Strategic Opportunities Allocation Fund | ||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | |||||||
Increase (decrease) in net assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 3,971,983 | $ | 18,754,742 | ||||
Net realized gain (loss) | 43,450,643 | 14,588,170 | ||||||
Change in net unrealized appreciation (depreciation) | (12,307,197 | ) | 66,489,403 | |||||
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| |||||
Net increase (decrease) in net assets from operations | 35,115,429 | 99,832,315 | ||||||
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Distributions to shareholders: | ||||||||
Class III | (8,042,552 | ) | (26,956,390 | ) | ||||
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Total distributions | (8,042,552 | ) | (26,956,390 | ) | ||||
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Net share transactions (Note 9): | ||||||||
Class III | (231,546,876 | ) | (266,517,298 | ) | ||||
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Increase (decrease) in net assets resulting from net share transactions | (231,546,876 | ) | (266,517,298 | ) | ||||
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Total increase (decrease) in net assets | (204,473,999 | ) | (193,641,373 | ) | ||||
Net assets: |
| |||||||
Beginning of period | 579,796,304 | 773,437,677 | ||||||
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End of period | $ | 375,322,305 | $ | 579,796,304 | ||||
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112 | See accompanying notes to the financial statements. |
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, 2021 (Unaudited) | Year Ended February 28, 2021 | Period from May 1, 2019 (commencement of operations) through February 29, 2020 | Six Months Ended August 31, 2021 (Unaudited) | Period from July 31, 2020 (commencement of operations) through February 28, 2021 | Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | Period from September 4, 2019 (commencement of operations) through February 29, 2020 | |||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 18.99 | $ | 19.45 | $ | 20.00 | $ | 18.95 | $ | 19.33 | $ | 18.96 | $ | 19.44 | $ | 20.18 | ||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.00 | (b) | (0.02 | ) | 0.15 | (0.01 | ) | (0.03 | ) | (0.02 | ) | (0.09 | ) | 0.10 | ||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.26 | ) | 0.03 | (c) | (0.18 | ) | (0.11 | ) | 0.07 | (c) | (0.26 | ) | 0.04 | (b) | (0.33 | ) | ||||||||||||||||||||||||
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Total from investment operations | (0.26 | ) | 0.01 | (0.03 | ) | (0.12 | ) | 0.04 | (0.28 | ) | (0.05 | ) | (0.23 | ) | ||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||
From net investment income | — | (0.47 | ) | (0.06 | ) | — | (0.42 | ) | — | (0.43 | ) | (0.05 | ) | |||||||||||||||||||||||||||
From net realized gains | (0.62 | ) | — | (0.46 | ) | (0.62 | ) | — | (0.62 | ) | — | (0.46 | ) | |||||||||||||||||||||||||||
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Total distributions | (0.62 | ) | (0.47 | ) | (0.52 | ) | (0.62 | ) | (0.42 | ) | (0.62 | ) | (0.43 | ) | (0.51 | ) | ||||||||||||||||||||||||
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Net asset value, end of period | $ | 18.11 | $ | 18.99 | $ | 19.45 | $ | 18.21 | $ | 18.95 | $ | 18.06 | $ | 18.96 | $ | 19.44 | ||||||||||||||||||||||||
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Total Return(d) | (1.43 | )%** | 0.01 | % | (0.21 | )%** | (0.67 | )%** | 0.16 | %** | (1.54 | )%** | (0.30 | )% | (1.20 | )%** | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 166,985 | $ | 230,386 | $ | 200,812 | $ | 4 | $ | 478 | $ | 168,547 | $ | 268,473 | $ | 34,229 | ||||||||||||||||||||||||
Net operating expenses to average daily net assets(e) | 0.80 | %* | 0.76 | % | 0.77 | %* | 0.96 | %* | 0.93 | %* | 1.06 | %* | 1.02 | % | 1.02 | %* | ||||||||||||||||||||||||
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(f) | 0.66 | %* | 0.49 | % | 0.29 | %* | 0.60 | %* | 0.53 | %* | 0.64 | %* | 0.51 | % | 0.23 | %* | ||||||||||||||||||||||||
Total net expenses to average daily net assets(e) | 1.46 | %* | 1.25 | % | 1.05 | %* | 1.56 | %* | 1.46 | %* | 1.70 | %* | 1.53 | % | 1.25 | %* | ||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 0.00 | %(g)* | (0.10 | )% | 0.88 | %* | (0.06 | )%* | (0.26 | )%* | (0.20 | )%* | (0.44 | ) % | 0.98 | %* | ||||||||||||||||||||||||
Portfolio turnover rate(h) | 281 | %** | 410 | % | 243 | %** | 281 | %** | 410 | %** | 281 | %** | 410 | % | 243 | %** | ||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(i) | 0.12 | %* | 0.15 | % | 0.27 | %* | 0.12 | %* | 0.16 | %* | 0.12 | %* | 0.15 | % | 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) | Rounds to less than $0.01. |
(c) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of the Fund shares in relation to fluctuating market values of the investments of the Fund. |
(d) | The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. |
(e) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5). |
(f) | Interest and dividend expense and/or borrowing costs incurred as a result of entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(g) | 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, 2021, and the years ended February 28, 2021 and February 29, 2020, including transactions in USTF, was 281%, 411% and 250%, 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. |
See accompanying notes to the financial statements. | 113 |
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, 2021 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.97 | $ | 25.53 | $ | 26.36 | $ | 27.76 | $ | 25.78 | $ | 23.46 | $ | 25.96 | $ | 25.53 | $ | 26.35 | $ | 27.75 | $ | 25.78 | $ | 23.46 | ||||||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | (0.07 | ) | 0.40 | 0.83 | 0.82 | 0.52 | 0.37 | (0.07 | ) | 0.43 | 0.83 | 0.88 | 0.58 | 0.40 | ||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.49 | 0.98 | (0.75 | ) | (1.30 | ) | 2.12 | 2.35 | 0.50 | 0.96 | (0.73 | ) | (1.35 | ) | 2.06 | 2.33 | ||||||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 0.42 | 1.38 | 0.08 | (0.48 | ) | 2.64 | 2.72 | 0.43 | 1.39 | 0.10 | (0.47 | ) | 2.64 | 2.73 | ||||||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | — | (0.78 | ) | (0.90 | ) | (0.90 | ) | (0.66 | ) | (0.40 | ) | — | (0.80 | ) | (0.91 | ) | (0.91 | ) | (0.67 | ) | (0.41 | ) | ||||||||||||||||||||||||||||||||||||||
From net realized gains | — | (0.16 | ) | (0.01 | ) | (0.02 | ) | — | — | — | (0.16 | ) | (0.01 | ) | (0.02 | ) | — | — | ||||||||||||||||||||||||||||||||||||||||||
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Total distributions | — | (0.94 | ) | (0.91 | ) | (0.92 | ) | (0.66 | ) | (0.40 | ) | — | (0.96 | ) | (0.92 | ) | (0.93 | ) | (0.67 | ) | (0.41 | ) | ||||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 26.39 | $ | 25.97 | $ | 25.53 | $ | 26.36 | $ | 27.76 | $ | 25.78 | $ | 26.39 | $ | 25.96 | $ | 25.53 | $ | 26.35 | $ | 27.75 | $ | 25.78 | ||||||||||||||||||||||||||||||||||||
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Total Return(b) | 1.62 | %** | 5.60 | % | 0.11 | % | (1.55 | )% | 10.28 | % | 11.66 | % | 1.66 | %** | 5.61 | % | 0.21 | % | (1.50 | )% | 10.30 | % | 11.71 | % | ||||||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 1,792,737 | $ | 2,227,712 | $ | 3,785,568 | $ | 4,642,211 | $ | 5,162,084 | $ | 5,248,863 | $ | 2,102,453 | $ | 1,965,528 | $ | 2,085,324 | $ | 2,737,619 | $ | 2,756,005 | $ | 2,663,418 | ||||||||||||||||||||||||||||||||||||
Net operating expenses to average daily net assets(c) | 0.75 | % | 0.70 | % | 0.66 | % | 0.65 | % | 0.65 | % | 0.65 | % | 0.70 | %* | 0.66 | % | 0.61 | % | 0.60 | % | 0.60 | % | 0.60 | % | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | (0.55 | )%* | 1.59 | % | 3.12 | % | 3.07 | % | 1.93 | % | 1.46 | % | (0.49 | )%* | 1.73 | % | 3.12 | % | 3.29 | % | 2.13 | % | 1.61 | % | ||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 2 | %** | 20 | % | 10 | % | 18 | % | 9 | % | 7 | % | 2 | %** | 20 | % | 10 | % | 18 | % | 9 | % | 7 | % | ||||||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(d) | 0.06 | %* | 0.11 | % | 0.15 | % | 0.15 | % | 0.16 | % | 0.15 | % | 0.06 | %* | 0.10 | % | 0.15 | % | 0.15 | % | 0.16 | % | 0.15 | % | ||||||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | — | $ | — | $ | — | $ | 0.00 | (d) | $ | 0.01 | $ | 0.02 | $ | — | $ | — | $ | — | $ | 0.00 | (d) | $ | 0.01 | $ | 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, if any (Note 5). |
(d) | 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 ALLOCATION FUND (continued)
Class MF Shares | Class R6 Shares | Class I Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2021 (Unaudited) | Period from May 1, 2020 (commencement of operations) through February 28, 2021) | Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | Period from August 8, 2019 (commencement of operations) through February 29, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.99 | $ | 25.55 | $ | 26.38 | $ | 27.77 | $ | 25.80 | $ | 23.47 | $ | 25.95 | $ | 23.95 | $ | 25.95 | $ | 25.52 | $ | 26.24 | |||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | (0.07 | ) | 0.38 | 0.83 | 0.77 | 0.56 | 0.35 | (0.07 | ) | 0.24 | (0.09 | ) | 0.33 | 1.10 | |||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.50 | 1.01 | (0.74 | ) | (1.23 | ) | 2.08 | 2.39 | 0.49 | 2.72 | 0.50 | 1.02 | (0.93 | ) | |||||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 0.43 | 1.39 | 0.09 | (0.46 | ) | 2.64 | 2.74 | 0.42 | 2.96 | 0.41 | 1.35 | 0.17 | |||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | — | (0.79 | ) | (0.91 | ) | (0.91 | ) | (0.67 | ) | (0.41 | ) | — | (0.80 | ) | — | (0.76 | ) | (0.89 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gains | — | (0.16 | ) | (0.01 | ) | (0.02 | ) | — | — | — | (0.16 | ) | — | (0.16 | ) | — | |||||||||||||||||||||||||||||||||||||||
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Total distributions | — | (0.95 | ) | (0.92 | ) | (0.93 | ) | (0.67 | ) | (0.41 | ) | — | (0.96 | ) | — | (0.92 | ) | (0.89 | ) | ||||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 26.42 | $ | 25.99 | $ | 25.55 | $ | 26.38 | $ | 27.77 | $ | 25.80 | $ | 26.37 | $ | 25.95 | $ | 26.36 | $ | 25.95 | $ | 25.52 | |||||||||||||||||||||||||||||||||
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Total Return(b) | 1.65 | %** | 5.64 | % | 0.16 | % | (1.47 | )% | 10.29 | % | 11.76 | % | 1.62 | %** | 12.55 | %** | 1.58 | %** | 5.47 | % | 0.48 | %** | |||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 1,586,437 | $ | 1,716,252 | $ | 2,827,442 | $ | 3,926,518 | $ | 5,622,091 | $ | 5,858,177 | $ | 283,345 | $ | 310,687 | $ | 343,400 | $ | 324,819 | $ | 98,453 | |||||||||||||||||||||||||||||||||
Net operating expenses to average daily net assets(c) | 0.70 | %* | 0.65 | % | 0.61 | % | 0.60 | % | 0.60 | % | 0.60 | %(d) | 0.75 | %* | 0.74 | %* | 0.85 | %* | 0.81 | % | 0.74 | %* | |||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | (0.49 | )%* | 1.54 | % | 3.12 | % | 2.88 | % | 2.06 | % | 1.38 | % | (0.55 | )%* | 1.16 | %* | (0.63 | )%* | 1.30 | % | 7.22 | %* | |||||||||||||||||||||||||||||||||
Portfolio turnover rate | 2 | %** | 20 | % | 10 | % | 18 | % | 9 | % | 7 | % | 2 | %** | 20 | %** | 2 | %** | 20 | % | 10 | %** | |||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(e) | 0.06 | %* | 0.11 | % | 0.15 | % | 0.15 | % | 0.16 | % | 0.16 | % | 0.06 | %* | 0.08 | %* | 0.06 | %* | 0.10 | % | 0.15 | %* | |||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | — | $ | — | $ | — | $ | 0.00 | (f) | $ | 0.01 | $ | 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, if any (Note 5). |
(d) | Class MF net expenses include a supplemental support fee reduction (Note 5). |
(e) | Ratios include 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. | 115 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
BENCHMARK-FREE FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.48 | $ | 18.88 | $ | 19.56 | $ | 20.91 | $ | 18.95 | $ | 17.00 | ||||||||||||||||||
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| |||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.35 | 0.52 | 0.72 | 0.58 | 0.46 | 0.43 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.04 | 0.71 | (0.59 | ) | (1.21 | ) | 2.10 | 2.01 | ||||||||||||||||||||||
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| |||||||||||||||||||
Total from investment operations | 0.39 | 1.23 | 0.13 | (0.63 | ) | 2.56 | 2.44 | |||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.05 | ) | (0.63 | ) | (0.81 | ) | (0.72 | ) | (0.60 | ) | (0.49 | ) | ||||||||||||||||||
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Total distributions | (0.05 | ) | (0.63 | ) | (0.81 | ) | (0.72 | ) | (0.60 | ) | (0.49 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 19.82 | $ | 19.48 | $ | 18.88 | $ | 19.56 | $ | 20.91 | $ | 18.95 | ||||||||||||||||||
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Total Return(b) | 1.99 | %** | 6.64 | % | 0.41 | % | (2.80 | )% | 13.59 | % | 14.52 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 2,043,647 | $ | 2,158,496 | $ | 2,583,930 | $ | 3,165,731 | $ | 4,486,489 | $ | 4,394,260 | ||||||||||||||||||
Net operating expenses to average daily net assets(c) | 0.03 | %* | 0.04 | % | 0.02 | % | 0.02 | % | 0.02 | % | 0.01 | % | ||||||||||||||||||
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e) | 0.31 | %* | 0.08 | % | 0.03 | % | 0.04 | % | 0.00 | %(d) | 0.00 | %(d) | ||||||||||||||||||
Total net expenses to average daily net assets(c) | 0.34 | %* | 0.12 | % | 0.05 | % | 0.06 | % | 0.02 | % | 0.01 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 3.45 | %* | 2.86 | % | 3.64 | % | 2.92 | % | 2.29 | % | 2.37 | % | ||||||||||||||||||
Portfolio turnover rate(f) | 57 | %** | 145 | % | 50 | % | 59 | % | 78 | % | 83 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.06 | %* | 0.05 | % | 0.04 | % | 0.03 | % | 0.03 | % | 0.04 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | — | $ | — | $ | — | $ | 0.00 | (g) | $ | 0.01 | $ | 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, if any (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, securities sold short 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, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 61%, 151%, 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. |
116 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
GLOBAL ASSET ALLOCATION FUND
Class III Shares | Class R6 Shares | Class I Shares | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | Period from September 30, 2019 (commencement of operations) through February 29, 2020 | Six Months Ended August 31, 2021 (Unaudited) | Period from January 6, 2021 (commencement of operations) through February 28, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017(a) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 34.92 | $ | 31.50 | $ | 31.47 | $ | 33.31 | $ | 30.48 | $ | 27.60 | $ | 34.93 | $ | 31.50 | $ | 32.56 | $ | 34.92 | $ | 34.71 | |||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.22 | 0.88 | 1.08 | 1.02 | 0.73 | 0.61 | 0.08 | 0.93 | 0.86 | 0.18 | (0.01 | ) | |||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.64 | 3.91 | 0.29 | (1.74 | ) | 2.93 | 3.00 | 1.75 | 3.87 | (0.71 | ) | 1.67 | 0.22 | ||||||||||||||||||||||||||||||||||||||||||
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| ||||||||||||||||||||||||||||||||||
Total from investment operations | 1.86 | 4.79 | 1.37 | (0.72 | ) | 3.66 | 3.61 | 1.83 | 4.80 | 0.15 | 1.85 | 0.21 | |||||||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.25 | ) | (1.37 | ) | (1.34 | ) | (1.12 | ) | (0.83 | ) | (0.73 | ) | (0.25 | ) | (1.37 | ) | (1.21 | ) | (0.24 | ) | — | ||||||||||||||||||||||||||||||||||
From net realized gains | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||
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Total distributions | (0.25 | ) | (1.37 | ) | (1.34 | ) | (1.12 | ) | (0.83 | ) | (0.73 | ) | (0.25 | ) | (1.37 | ) | (1.21 | ) | (0.24 | ) | — | ||||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 36.53 | $ | 34.92 | $ | 31.50 | $ | 31.47 | $ | 33.31 | $ | 30.48 | $ | 36.51 | $ | 34.93 | $ | 31.50 | $ | 36.53 | $ | 34.92 | |||||||||||||||||||||||||||||||||
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| ||||||||||||||||||||||||||||||||||
Total Return(c) | 5.34 | %** | 15.39 | % | 4.12 | % | (1.96 | )% | 12.04 | % | 13.21 | % | 5.25 | %** | 15.42 | % | 0.22 | %** | 5.29 | %** | 0.61 | %** | |||||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 608,881 | $ | 692,580 | $ | 1,539,522 | $ | 1,909,728 | $ | 2,475,605 | $ | 2,423,945 | $ | 31,935 | $ | 183,052 | $ | 17,888 | $ | 13,513 | $ | 20,497 | |||||||||||||||||||||||||||||||||
Net operating expenses to average daily net assets(d) | 0.01 | %* | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.01 | %* | 0.01 | % | 0.00 | %(e) | 0.11 | % | 0.11 | % | |||||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 1.18 | %* | 2.78 | % | 3.32 | % | 3.17 | % | 2.24 | % | 2.06 | % | 0.47 | %* | 2.78 | % | 6.23 | %* | 1.00 | %* | (0.10 | )%* | |||||||||||||||||||||||||||||||||
Portfolio turnover rate | 13 | %(f)** | 30 | %(f) | 27 | %(f) | 21 | %(f) | 20 | %(f) | 19 | %(f) | 13 | %(f)** | 30 | %(f) | 27 | %(f)** | 13 | %(f)** | 30 | %(f)** | |||||||||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.03 | %* | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.02 | %* | 0.02 | % | 0.01 | %* | 0.03 | %* | 0.02 | %* | |||||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | — | $ | — | $ | — | $ | 0.00 | (g) | $ | 0.01 | $ | 0.02 | $ | — | $ | — | $ | — | $ | — | $ | — |
(a) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the 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, if any (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, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 16%, 41%, 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. |
See accompanying notes to the financial statements. | 117 |
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, 2021 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.79 | $ | 20.87 | $ | 21.20 | $ | 22.88 | $ | 19.60 | $ | 17.40 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.30 | 0.75 | 0.25 | 0.57 | 0.42 | 0.52 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 2.72 | 5.12 | 0.42 | (1.67 | ) | 3.55 | 2.87 | |||||||||||||||||||||||
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Total from investment operations | 3.02 | 5.87 | 0.67 | (1.10 | ) | 3.97 | 3.39 | |||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.06 | ) | (0.95 | ) | (0.74 | ) | (0.58 | ) | (0.69 | ) | (0.55 | ) | ||||||||||||||||||
From net realized gains | (0.24 | ) | — | (0.26 | ) | — | — | (0.64 | ) | |||||||||||||||||||||
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Total distributions | (0.30 | ) | (0.95 | ) | (1.00 | ) | (0.58 | ) | (0.69 | ) | (1.19 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 28.51 | $ | 25.79 | $ | 20.87 | $ | 21.20 | $ | 22.88 | $ | 19.60 | ||||||||||||||||||
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Total Return(b) | 11.72 | %** | 28.41 | % | 2.87 | % | (4.58 | )% | 20.39 | % | 20.03 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 98,469 | $ | 88,154 | $ | 73,383 | $ | 447,874 | $ | 469,283 | $ | 992,260 | ||||||||||||||||||
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) | 2.12 | %* | 3.39 | % | 1.16 | % | 2.62 | % | 1.99 | % | 2.78 | % | ||||||||||||||||||
Portfolio turnover rate | 1 | %** | 25 | % | 21 | % | 6 | % | 5 | % | 29 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04 | %* | 0.06 | % | 0.03 | % | 0.02 | % | 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 |
(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, if any (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. |
118 | See accompanying notes to the financial statements. |
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, 2021 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2021 (Unaudited) | Period from July 15, 2020 (commencement of operations) through February 28, 2021 | Six Months Ended August 31, 2021 (Unaudited) | Period from August 17, 2020 (commencement of operations) through February 28, 2021 (Unaudited) | |||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017(a) | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 29.91 | $ | 24.37 | $ | 24.63 | $ | 26.86 | $ | 22.84 | $ | 19.71 | $ | 29.91 | $ | 25.19 | $ | 29.91 | $ | 26.14 | ||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.30 | 0.88 | 0.83 | 0.65 | 0.68 | 0.57 | 0.30 | 0.81 | 0.29 | 0.90 | ||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 2.53 | 5.75 | (0.16 | ) | (2.18 | ) | 4.11 | 3.67 | 2.54 | 4.96 | 2.52 | 3.91 | ||||||||||||||||||||||||||||||||||||||
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Total from investment operations | 2.83 | 6.63 | 0.67 | (1.53 | ) | 4.79 | 4.24 | 2.84 | 5.77 | 2.81 | 4.81 | |||||||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.04 | ) | (1.09 | ) | (0.93 | ) | (0.70 | ) | (0.77 | ) | (0.70 | ) | (0.04 | ) | (1.05 | ) | (0.03 | ) | (1.04 | ) | ||||||||||||||||||||||||||||||
From net realized gains | — | — | — | — | — | (0.41 | ) | — | — | — | — | |||||||||||||||||||||||||||||||||||||||
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Total distributions | (0.04 | ) | (1.09 | ) | (0.93 | ) | (0.70 | ) | (0.77 | ) | (1.11 | ) | (0.04 | ) | (1.05 | ) | (0.03 | ) | (1.04 | ) | ||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 32.70 | $ | 29.91 | $ | 24.37 | $ | 24.63 | $ | 26.86 | $ | 22.84 | $ | 32.71 | $ | 29.91 | $ | 32.69 | $ | 29.91 | ||||||||||||||||||||||||||||||
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Total Return(c) | 9.46 | %** | 27.51 | % | 2.36 | % | (5.43 | )% | 21.06 | % | 21.93 | % | 9.49 | %** | 23.14 | %** | 9.39 | %** | 18.64 | %** | ||||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 1,699,029 | $ | 1,638,868 | $ | 1,456,064 | $ | 1,637,744 | $ | 2,328,921 | $ | 2,206,818 | $ | 7,505 | $ | 6,781 | $ | 2,628 | $ | 2,233 | ||||||||||||||||||||||||||||||
Net expenses to average daily net assets(d) | 0.00 | %(e)* | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e)* | 0.00 | %(e)* | 0.10 | %* | 0.10 | %* | ||||||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 1.85 | %* | 3.44 | % | 3.26 | % | 2.56 | % | 2.67 | % | 2.63 | % | 1.87 | %* | 4.70 | %* | 1.79 | %* | 5.95 | %* | ||||||||||||||||||||||||||||||
Portfolio turnover rate | 7 | %** | 20 | % | 20 | % | 11 | % | 14 | % | 27 | % | 7 | %** | 20 | %** | 7 | %** | 20 | %** | ||||||||||||||||||||||||||||||
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 | %* | 0.01 | %* | 0.01 | %* | ||||||||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | — | $ | — | $ | — | $ | 0.00 | (f) | $ | 0.01 | $ | 0.02 | (a) | $ | — | $ | — | $ | — | $ | — |
(a) | Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016. |
(b) | Net investment income is affected by the timing of the declaration of dividends by the 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, if any (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. | 119 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
CONSOLIDATED IMPLEMENTATION FUND
Core Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.70 | $ | 12.74 | $ | 13.22 | $ | 14.09 | $ | 13.06 | $ | 11.80 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)† | 0.23 | (a) | 0.35 | (a) | 0.49 | (a) | 0.40 | 0.33 | 0.27 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.03 | (0.11 | ) | (0.43 | ) | (0.69 | ) | 1.11 | 1.24 | |||||||||||||||||||||
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Total from investment operations | 0.26 | 0.24 | 0.06 | (0.29 | ) | 1.44 | 1.51 | |||||||||||||||||||||||
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Less distributions to shareholders:(b) | ||||||||||||||||||||||||||||||
From net investment income | — | (0.28 | ) | (0.54 | ) | (0.58 | ) | (0.41 | ) | (0.25 | ) | |||||||||||||||||||
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Total distributions | — | (0.28 | ) | (0.54 | ) | (0.58 | ) | (0.41 | ) | (0.25 | ) | |||||||||||||||||||
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Net asset value, end of period | $ | 12.96 | $ | 12.70 | $ | 12.74 | $ | 13.22 | $ | 14.09 | $ | 13.06 | ||||||||||||||||||
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Total Return(c) | 2.05 | %* | 1.95 | % | 0.25 | % | (1.88 | )% | 11.12 | % | 12.88 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 5,567,642 | $ | 5,970,367 | $ | 7,114,306 | $ | 8,965,578 | $ | 11,505,699 | $ | 11,226,684 | ||||||||||||||||||
Net operating expenses to average daily net assets | 0.00 | %(d)(e)* | 0.01 | %(e) | 0.00 | %(d)(e) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | ||||||||||||||||||
Interest and/or dividend expenses to average daily net assets(f) | 0.40 | %* | 0.15 | % | 0.06 | % | 0.10 | % | 0.04 | % | 0.05 | % | ||||||||||||||||||
Total net expenses to average daily net assets | 0.40 | %(e)* | 0.16 | %(e) | 0.06 | %(e) | 0.10 | % | 0.04 | % | 0.05 | % | ||||||||||||||||||
Net investment income (loss) to average daily net assets | 3.43 | %(a)* | 2.89 | %(a) | 3.65 | %(a) | 2.95 | % | 2.44 | % | 2.11 | % | ||||||||||||||||||
Portfolio turnover rate | 89 | %** | 189 | %(g) | 97 | %(g) | 112 | % | 146 | % | 142 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.06 | %(h)* | 0.06 | %(h) | 0.05 | %(h) | 0.04 | % | 0.04 | % | 0.05 | % | ||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | — | $ | — | $ | — | $ | 0.00 | (i) | $ | 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) | Ratio is less than 0.01%. |
(e) | Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5). |
(f) | Interest and dividend expense and/or borrowing costs incurred as a result of entering into repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. |
(g) | The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2021, and the years ended February 28, 2021 and February 29, 2020, including transactions in USTF, was 92%, 196% 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. |
120 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
INTERNATIONAL DEVELOPED EQUITY ALLOCATION FUND
Class III Shares | Class R6 Shares | |||||||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2021 (Unaudited) | Period from January 22, 2021 (commencement of operations) through February 28, 2021 | |||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.95 | $ | 14.52 | $ | 14.75 | $ | 17.32 | $ | 14.72 | $ | 13.05 | $ | 16.95 | $ | 17.08 | ||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.31 | 0.61 | 0.49 | 0.51 | 0.53 | 0.45 | 0.31 | (0.00 | )(e) | |||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.24 | 2.56 | (0.12 | ) | (2.56 | ) | 2.61 | 1.79 | 1.24 | (0.13 | ) | |||||||||||||||||||||||||||||
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Total from investment operations | 1.55 | 3.17 | 0.37 | (2.05 | ) | 3.14 | 2.24 | 1.55 | (0.13 | ) | ||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.02 | ) | (0.74 | ) | (0.60 | ) | (0.52 | ) | (0.54 | ) | (0.57 | ) | (0.02 | ) | — | |||||||||||||||||||||||||
From net realized gains | (0.02 | ) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | (0.02 | ) | — | ||||||||||||||||||||||||||||||
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Total distributions | (0.04 | ) | (0.74 | ) | (0.60 | ) | (0.52 | ) | (0.54 | ) | (0.57 | ) | (0.04 | ) | — | |||||||||||||||||||||||||
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Net asset value, end of period | $ | 18.46 | $ | 16.95 | $ | 14.52 | $ | 14.75 | $ | 17.32 | $ | 14.72 | $ | 18.46 | $ | 16.95 | ||||||||||||||||||||||||
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Total Return(b) | 9.14 | %** | 22.02 | % | 2.14 | % | (11.57 | )% | 21.41 | % | 17.37 | % | 9.14 | %** | (0.76 | )%** | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 245,025 | $ | 217,129 | $ | 297,463 | $ | 572,830 | $ | 664,867 | $ | 601,792 | $ | 9,209 | $ | 8,254 | ||||||||||||||||||||||||
Net expenses to average daily net assets(c)(d)(e) | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | %* | 0.01 | %* | ||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 3.38 | %* | 4.20 | % | 3.25 | % | 3.25 | % | 3.20 | % | 3.14 | % | 3.38 | %* | (0.01 | )%* | ||||||||||||||||||||||||
Portfolio turnover rate | 3 | %** | 17 | % | 11 | % | 8 | % | 5 | % | 10 | % | 3 | %** | 17 | %** | ||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.05 | %* | 0.03 | % | 0.02 | % | 0.02 | % | 0.01 | % | 0.01 | % | 0.05 | %* | 0.05 | %* | ||||||||||||||||||||||||
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $ | — | $ | — | $ | — | $ | 0.00 | (e) | $ | 0.00 | (e) | $ | 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) | 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, if any (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. | 121 |
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, 2021 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | Period from August 30, 2019 (commencement of operations) through February 29, 2020 | |||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017(a) | |||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 32.31 | $ | 27.45 | $ | 28.09 | $ | 32.62 | $ | 27.49 | $ | 23.40 | $ | 32.30 | $ | 27.44 | $ | 27.07 | |||||||||||||||||||||||||||
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Income (loss) from investment operations: | |||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(b)† | 0.42 | 1.24 | 1.02 | 0.91 | 0.93 | 0.84 | 0.43 | 1.29 | 1.14 | ||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.66 | 4.91 | (0.46 | ) | (4.47 | ) | 5.19 | 4.15 | 1.65 | 4.86 | 0.33 | ||||||||||||||||||||||||||||||||||
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Total from investment operations | 2.08 | 6.15 | 0.56 | (3.56 | ) | 6.12 | 4.99 | 2.08 | 6.15 | 1.47 | |||||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | |||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.10 | ) | (1.29 | ) | (1.20 | ) | (0.97 | ) | (0.99 | ) | (0.90 | ) | (0.10 | ) | (1.29 | ) | (1.10 | ) | |||||||||||||||||||||||||||
From net realized gains | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||
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Total distributions | (0.10 | ) | (1.29 | ) | (1.20 | ) | (0.97 | ) | (0.99 | ) | (0.90 | ) | (0.10 | ) | (1.29 | ) | (1.10 | ) | |||||||||||||||||||||||||||
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Net asset value, end of period | $ | 34.29 | $ | 32.31 | $ | 27.45 | $ | 28.09 | $ | 32.62 | $ | 27.49 | $ | 34.28 | $ | 32.30 | $ | 27.44 | |||||||||||||||||||||||||||
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Total Return(c) | 6.44 | %** | 22.67 | % | 1.62 | % | (10.69 | )% | 22.38 | % | 21.57 | % | 6.44 | %** | 22.68 | % | 5.04 | %** | |||||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 570,868 | $ | 598,701 | $ | 646,622 | $ | 929,967 | $ | 1,151,327 | $ | 1,085,803 | $ | 272,576 | $ | 262,853 | $ | 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 | % | 0.00 | %* | |||||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(b) | 2.45 | %* | 4.40 | % | 3.55 | % | 3.09 | % | 3.00 | % | 3.20 | % | 2.49 | %* | 4.56 | % | 7.83 | %* | |||||||||||||||||||||||||||
Portfolio turnover rate | 5 | %** | 16 | % | 7 | % | 8 | % | 12 | % | 7 | % | 5 | %** | 16 | % | 7 | %** | |||||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.02 | %* | 0.02 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.02 | %* | 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 | $ | — | $ | — | $ | — |
(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, if any (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. |
122 | See accompanying notes to the financial statements. |
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, 2021 (Unaudited) | Year Ended February 28/29, | Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 32.07 | $ | 31.13 | $ | 32.17 | $ | 31.87 | $ | 32.68 | $ | 33.25 | $ | 32.03 | $ | 31.07 | $ | 32.11 | $ | 31.78 | $ | 32.57 | $ | 33.26 | ||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | (0.12 | ) | (0.09 | ) | 0.27 | 0.31 | 0.24 | (0.21 | ) | (0.11 | ) | (0.06 | ) | 0.25 | 0.33 | 0.05 | (0.16 | ) | ||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.28 | ) | 1.81 | (0.83 | ) | 0.11 | (b) | 0.23 | 1.87 | (0.27 | ) | 1.80 | (0.77 | ) | 0.13 | (b) | 0.44 | 1.85 | ||||||||||||||||||||||||||||||
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Total from investment operations | (0.40 | ) | 1.72 | (0.56 | ) | 0.42 | 0.47 | 1.66 | (0.38 | ) | 1.74 | (0.52 | ) | 0.46 | 0.49 | 1.69 | ||||||||||||||||||||||||||||||||
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Less distributions to shareholders: | ||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.71 | ) | (0.03 | ) | (0.48 | ) | (0.12 | ) | — | (1.01 | ) | (0.73 | ) | (0.03 | ) | (0.52 | ) | (0.13 | ) | — | (1.16 | ) | ||||||||||||||||||||||||||
From net realized gains | (1.17 | ) | (0.75 | ) | — | — | (1.28 | ) | (1.22 | ) | (1.17 | ) | (0.75 | ) | — | — | (1.28 | ) | (1.22 | ) | ||||||||||||||||||||||||||||
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Total distributions | (1.88 | ) | (0.78 | ) | (0.48 | ) | (0.12 | ) | (1.28 | ) | (2.23 | ) | (1.90 | ) | (0.78 | ) | (0.52 | ) | (0.13 | ) | (1.28 | ) | (2.38 | ) | ||||||||||||||||||||||||
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Net asset value, end of period | $ | 29.79 | $ | 32.07 | $ | 31.13 | $ | 32.17 | $ | 31.87 | $ | 32.68 | $ | 29.75 | $ | 32.03 | $ | 31.07 | $ | 32.11 | $ | 31.78 | $ | 32.57 | ||||||||||||||||||||||||
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| |||||||||||||||||||||||||
Total Return(c) | (1.25 | )%** | 5.48 | % | (1.74 | )% | 1.32 | % | 1.44 | % | 5.12 | % | (1.20 | )%** | 5.56 | % | (1.65 | )% | 1.47 | % | 1.50 | % | 5.22 | % | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 30,592 | $ | 30,126 | $ | 18,527 | $ | 45,409 | $ | 26,630 | $ | 6,117 | $ | 260,580 | $ | 314,087 | $ | 831,870 | $ | 1,161,238 | $ | 1,843,748 | $ | 1,446,445 | ||||||||||||||||||||||||
Net expenses to average daily net assets(d) | 1.01 | %* | 1.01 | % | 1.01 | % | 1.00 | % | 1.00 | % | 1.00 | % | 0.91 | %* | 0.91 | % | 0.91 | % | 0.91 | % | 0.91 | % | 0.91 | % | ||||||||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | (0.78 | )%* | (0.27 | )% | 0.85 | % | 0.97 | % | 0.75 | % | (0.61 | )% | (0.68 | )%* | (0.17 | )% | 0.79 | % | 1.04 | % | 0.16 | % | (0.47 | )% | ||||||||||||||||||||||||
Portfolio turnover rate | 52 | %** | 76 | % | 46 | % | 49 | %(e) | 106 | %(e) | 15 | %(e) | 52 | %** | 76 | % | 46 | % | 49 | %(e) | 106 | %(e) | 15 | %(e) | ||||||||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.09 | %* | 0.07 | % | 0.05 | % | 0.04 | % | 0.03 | % | 0.04 | % | 0.08 | %* | 0.07 | % | 0.04 | % | 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) | 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, if any (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 years 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. |
See accompanying notes to the financial statements. | 123 |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
CONSOLIDATED SGM MAJOR MARKETS FUND (continued)
Class I Shares | ||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Period from September 23, 2020 (commencement of operations) through February 28, 2021 | |||||||||
Net asset value, beginning of period | $ | 32.06 | $ | 32.37 | ||||||
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|
| |||||||
Income (loss) from investment operations: | ||||||||||
Net investment income (loss)(a)† | (0.14 | ) | (0.04 | ) | ||||||
Net realized and unrealized gain (loss) | (0.28 | ) | 0.48 | |||||||
|
|
|
| |||||||
Total from investment operations | (0.42 | ) | 0.44 | |||||||
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| |||||||
Less distributions to shareholders: | ||||||||||
From net investment income | (0.72 | ) | — | |||||||
From net realized gains | (1.17 | ) | (0.75 | ) | ||||||
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|
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| |||||||
Total distributions | (1.89 | ) | (0.75 | ) | ||||||
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| |||||||
Net asset value, end of period | $ | 29.75 | $ | 32.06 | ||||||
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| |||||||
Total Return(b) | (1.30 | )%** | 1.30 | %** | ||||||
Ratios/Supplemental Data: | ||||||||||
Net assets, end of period (000’s) | $ | 26,561 | $ | 13,842 | ||||||
Net expenses to average daily net assets(c) | 1.11 | %* | 1.11 | %* | ||||||
Net investment income (loss) to average daily net assets(a) | (0.89 | )%* | (0.28 | )%* | ||||||
Portfolio turnover rate | 52 | %** | 76 | %** | ||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.14 | %* | 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, if any (Note 5). |
† | Calculated using average shares outstanding throughout the period. |
* | Annualized. |
** | Not annualized. |
124 | See accompanying notes to the financial statements. |
GMO Trust Funds
Financial Highlights
(For a share outstanding throughout each period)
STRATEGIC OPPORTUNITIES ALLOCATION FUND
Class III Shares | ||||||||||||||||||||||||||||||
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28/29, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 21.56 | $ | 18.98 | $ | 19.48 | $ | 22.08 | $ | 19.76 | $ | 17.43 | ||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)(a)† | 0.21 | 0.54 | 0.67 | 0.62 | 0.58 | 0.51 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.24 | 2.93 | (0.11 | ) | (1.45 | ) | 2.39 | 2.36 | ||||||||||||||||||||||
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| |||||||||||||||||||
Total from investment operations | 1.45 | 3.47 | 0.56 | (0.83 | ) | 2.97 | 2.87 | |||||||||||||||||||||||
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| |||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.05 | ) | (0.71 | ) | (0.77 | ) | (0.67 | ) | (0.63 | ) | (0.53 | ) | ||||||||||||||||||
From net realized gains | (0.25 | ) | (0.18 | ) | (0.29 | ) | (1.10 | ) | (0.02 | ) | (0.01 | ) | ||||||||||||||||||
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| |||||||||||||||||||
Total distributions | (0.30 | ) | (0.89 | ) | (1.06 | ) | (1.77 | ) | (0.65 | ) | (0.54 | ) | ||||||||||||||||||
|
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| |||||||||||||||||||
Net asset value, end of period | $ | 22.71 | $ | 21.56 | $ | 18.98 | $ | 19.48 | $ | 22.08 | $ | 19.76 | ||||||||||||||||||
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| |||||||||||||||||||
Total Return(b) | 6.71 | %** | 18.66 | % | 2.57 | % | (3.45 | )% | 15.10 | % | 16.60 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s) | $ | 375,322 | $ | 579,796 | $ | 773,438 | $ | 915,148 | $ | 1,302,441 | $ | 2,016,999 | ||||||||||||||||||
Net operating expenses to average daily net assets(c) | 0.01 | %* | 0.01 | % | 0.01 | % | 0.01 | % | 0.00 | %(d) | 0.00 | %(d) | ||||||||||||||||||
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e) | 0.30 | %* | 0.07 | % | 0.03 | % | 0.03 | % | — | — | ||||||||||||||||||||
Total net expenses to average daily net assets(c) | 0.31 | %* | 0.08 | % | 0.04 | % | 0.04 | % | 0.00 | %(d) | 0.00 | %(d) | ||||||||||||||||||
Net investment income (loss) to average daily net assets(a) | 1.81 | %* | 2.85 | % | 3.35 | % | 3.01 | % | 2.73 | % | 2.69 | % | ||||||||||||||||||
Portfolio turnover rate(f) | 37 | %** | 61 | % | 36 | % | 35 | % | 20 | % | 28 | % | ||||||||||||||||||
Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.11 | %* | 0.07 | % | 0.03 | % | 0.03 | % | 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) |
(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, if any (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, securities sold short 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, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018, and February 28, 2017, including transactions in USTF, was 51%, 80%, 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. |
See accompanying notes to the financial statements. | 125 |
GMO Trust Funds
August 31, 2021 (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 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 and SGM Major Markets Fund may also invest in GMO Alternative Allocation SPC Ltd., GMO Implementation 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 | ||
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 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 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
126 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
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, Implementation Fund and SGM Major Markets Fund
Alternative Allocation Fund, Implementation 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. 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 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, 2021, 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.
127 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
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.
The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2021:
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Consolidated Alternative Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 3,250,098 | $ | — | $ | 3,250,098 | ||||||||
Belgium | — | 792,610 | — | 792,610 | ||||||||||||
Canada | 6,771,965 | — | — | 6,771,965 | ||||||||||||
China | 376,080 | 3,100,452 | 440,319 | 3,916,851 | ||||||||||||
Denmark | — | 1,168,104 | — | 1,168,104 | ||||||||||||
Finland | — | 449,249 | — | 449,249 | ||||||||||||
France | — | 1,343,632 | — | 1,343,632 | ||||||||||||
Germany | — | 8,198,040 | — | 8,198,040 | ||||||||||||
128 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Consolidated Alternative Allocation Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Common Stocks (continued) | ||||||||||||||||
Hong Kong | $ | — | $ | 946,856 | $ | — | $ | 946,856 | ||||||||
India | — | 684,551 | — | 684,551 | ||||||||||||
Israel | 715,050 | — | — | 715,050 | ||||||||||||
Italy | — | 1,191,567 | — | 1,191,567 | ||||||||||||
Japan | — | 7,205,001 | — | 7,205,001 | ||||||||||||
Malaysia | — | 28,961 | — | 28,961 | ||||||||||||
Netherlands | 442,244 | 1,821,734 | — | 2,263,978 | ||||||||||||
New Zealand | — | 256,026 | — | 256,026 | ||||||||||||
South Africa | — | 334,529 | — | 334,529 | ||||||||||||
South Korea | — | 48,647 | — | 48,647 | ||||||||||||
Spain | — | 1,108,372 | — | 1,108,372 | ||||||||||||
Sweden | — | 348,339 | — | 348,339 | ||||||||||||
Switzerland | — | 383,993 | — | 383,993 | ||||||||||||
Taiwan | — | 137,355 | — | 137,355 | ||||||||||||
United Kingdom | 4,779 | 5,013,888 | — | 5,018,667 | ||||||||||||
United States | 176,669,930 | — | — | 176,669,930 | ||||||||||||
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|
|
|
| |||||||||
TOTAL COMMON STOCKS | 184,980,048 | 37,812,004 | 440,319 | 223,232,371 | ||||||||||||
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| |||||||||
Preferred Stocks | ||||||||||||||||
Germany | — | 231,145 | — | 231,145 | ||||||||||||
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|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 231,145 | — | 231,145 | ||||||||||||
|
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|
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|
|
| |||||||||
Rights/Warrants | ||||||||||||||||
United States | — | — | 263,451 | 263,451 | ||||||||||||
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|
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|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | — | — | 263,451 | 263,451 | ||||||||||||
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|
|
|
| |||||||||
Investment Funds | ||||||||||||||||
United States | — | — | 5,040,035 | 5,040,035 | ||||||||||||
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|
|
|
|
|
| |||||||||
TOTAL INVESTMENT FUNDS | — | — | 5,040,035 | 5,040,035 | ||||||||||||
|
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|
|
|
|
|
| |||||||||
Debt Obligations | ||||||||||||||||
United States | 57,270,249 | 24,203,359 | — | 81,473,608 | ||||||||||||
|
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|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 57,270,249 | 24,203,359 | — | 81,473,608 | ||||||||||||
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|
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| |||||||||
Mutual Funds | ||||||||||||||||
United States | 12,573,638 | — | — | 12,573,638 | ||||||||||||
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|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 12,573,638 | — | — | 12,573,638 | ||||||||||||
|
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|
|
|
|
|
| |||||||||
Short-Term Investments | 1,140,056 | 200,882 | — | 1,340,938 | ||||||||||||
Purchased Options | 169,275 | — | — | 169,275 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 256,133,266 | 62,447,390 | 5,743,805 | 324,324,461 | ||||||||||||
|
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|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 1,856,370 | — | 1,856,370 | ||||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | 905,244 | 51,567 | — | 956,811 | ||||||||||||
Interest Rate Risk | 280,284 | — | — | 280,284 | ||||||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | 3,177,395 | — | 3,177,395 | ||||||||||||
Equity Risk | — | 28,034 | — | 28,034 | ||||||||||||
Interest Rate Risk | — | 2,140,735 | — | 2,140,735 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 257,318,794 | $ | 69,701,491 | $ | 5,743,805 | $ | 332,764,090 | ||||||||
|
|
|
|
|
|
|
| |||||||||
129 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Consolidated Alternative Allocation Fund (continued) | ||||||||||||||||
Liability Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | (1,807,479 | ) | $ | — | $ | (1,807,479 | ) | ||||||
Austria | — | (583,425 | ) | — | (583,425 | ) | ||||||||||
Belgium | — | (64,710 | ) | — | (64,710 | ) | ||||||||||
Canada | (2,417,935 | ) | — | — | (2,417,935 | ) | ||||||||||
Denmark | — | (220,781 | ) | — | (220,781 | ) | ||||||||||
France | — | (2,271,786 | ) | — | (2,271,786 | ) | ||||||||||
Germany | — | (2,693,068 | ) | — | (2,693,068 | ) | ||||||||||
Israel | (501,060 | ) | — | — | (501,060 | ) | ||||||||||
Italy | — | (1,550,117 | ) | — | (1,550,117 | ) | ||||||||||
Japan | — | (7,162,786 | ) | — | (7,162,786 | ) | ||||||||||
Netherlands | — | (1,075,733 | ) | — | (1,075,733 | ) | ||||||||||
New Zealand | — | (112,373 | ) | — | (112,373 | ) | ||||||||||
Norway | — | (136,161 | ) | — | (136,161 | ) | ||||||||||
Singapore | — | (484,326 | ) | — | (484,326 | ) | ||||||||||
Spain | — | (1,384,002 | ) | — | (1,384,002 | ) | ||||||||||
Sweden | — | (730,886 | ) | — | (730,886 | ) | ||||||||||
Switzerland | — | (1,112,429 | ) | — | (1,112,429 | ) | ||||||||||
United Kingdom | — | (4,675,125 | ) | — | (4,675,125 | ) | ||||||||||
United States | (121,975,326 | ) | — | — | (121,975,326 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | (124,894,321 | ) | (26,065,187 | ) | — | (150,959,508 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Germany | — | (428,887 | ) | — | (428,887 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | (428,887 | ) | — | (428,887 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | (2,261,505 | ) | — | (2,261,505 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | (2,173,017 | ) | (404,482 | ) | — | (2,577,499 | ) | |||||||||
Interest Rate Risk | (325,422 | ) | — | — | (325,422 | ) | ||||||||||
Written Options | ||||||||||||||||
Credit Risk | — | (31,307 | ) | — | (31,307 | ) | ||||||||||
Equity Risk | (57,370 | ) | — | — | (57,370 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | (1,862,013 | ) | — | (1,862,013 | ) | ||||||||||
Equity Risk | — | (446,817 | ) | — | (446,817 | ) | ||||||||||
Interest Rate Risk | — | (1,762,322 | ) | — | (1,762,322 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (127,450,130 | ) | $ | (33,262,520 | ) | $ | — | $ | (160,712,650 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Benchmark-Free Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 6,106,577,259 | $ | — | $ | — | $ | 6,106,577,259 | ||||||||
Short-Term Investments | 4,706,724 | — | — | 4,706,724 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 6,111,283,983 | — | — | 6,111,283,983 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 6,111,283,983 | $ | — | $ | — | $ | 6,111,283,983 | ||||||||
|
|
|
|
|
|
|
| |||||||||
130 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Benchmark-Free Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Argentina | $ | 311,034 | $ | — | $ | — | $ | 311,034 | ||||||||
Australia | — | 30,086,679 | — | 30,086,679 | ||||||||||||
Austria | — | 148,504 | — | 148,504 | ||||||||||||
Belgium | — | 10,240,258 | — | 10,240,258 | ||||||||||||
Brazil | 9,151,456 | 20,194,232 | — | 29,345,688 | ||||||||||||
Canada | 26,997,272 | — | — | 26,997,272 | ||||||||||||
Chile | — | 827,136 | — | 827,136 | ||||||||||||
China | 17,752,411 | 225,205,818 | 2,227,882 | 245,186,111 | ||||||||||||
Czech Republic | — | 878,790 | — | 878,790 | ||||||||||||
Denmark | — | 8,659,846 | — | 8,659,846 | ||||||||||||
Egypt | — | 142,652 | — | 142,652 | ||||||||||||
Finland | — | 6,925,001 | — | 6,925,001 | ||||||||||||
France | — | 34,199,003 | — | 34,199,003 | ||||||||||||
Germany | — | 29,181,856 | — | 29,181,856 | ||||||||||||
Greece | — | 116,414 | 0 | § | 116,414 | |||||||||||
Hong Kong | — | 15,983,945 | — | 15,983,945 | ||||||||||||
Hungary | — | 706,946 | — | 706,946 | ||||||||||||
India | 1,765,161 | 49,891,813 | — | 51,656,974 | ||||||||||||
Indonesia | — | 7,778,688 | — | 7,778,688 | ||||||||||||
Ireland | 1,238,781 | 8,735,631 | — | 9,974,412 | ||||||||||||
Israel | 5,017,025 | 1,552,170 | — | 6,569,195 | ||||||||||||
Italy | 245,701 | 22,035,446 | — | 22,281,147 | ||||||||||||
Japan | — | 275,261,484 | — | 275,261,484 | ||||||||||||
Kuwait | — | 4,512,229 | — | 4,512,229 | ||||||||||||
Luxembourg | 402,412 | — | — | 402,412 | ||||||||||||
Malaysia | — | 1,129,286 | — | 1,129,286 | ||||||||||||
Mexico | 23,251,491 | — | — | 23,251,491 | ||||||||||||
Netherlands | 2,971,543 | 30,069,604 | — | 33,041,147 | ||||||||||||
New Zealand | — | 1,998,019 | — | 1,998,019 | ||||||||||||
Norway | — | 9,916,454 | — | 9,916,454 | ||||||||||||
Pakistan | — | 921,617 | — | 921,617 | ||||||||||||
Peru | 809,480 | — | — | 809,480 | ||||||||||||
Philippines | — | 703,202 | — | 703,202 | ||||||||||||
Poland | — | 8,624,985 | — | 8,624,985 | ||||||||||||
Portugal | — | 7,985,098 | — | 7,985,098 | ||||||||||||
Qatar | — | 1,298,837 | — | 1,298,837 | ||||||||||||
Russia | 733,172 | 73,958,504 | 638,469 | 75,330,145 | ||||||||||||
Singapore | — | 12,775,499 | — | 12,775,499 | ||||||||||||
South Africa | — | 23,005,578 | — | 23,005,578 | ||||||||||||
South Korea | 2,232,452 | 66,285,804 | — | 68,518,256 | ||||||||||||
Spain | — | 26,173,598 | — | 26,173,598 | ||||||||||||
Sweden | — | 3,838,015 | — | 3,838,015 | ||||||||||||
Switzerland | — | 9,478,587 | — | 9,478,587 | ||||||||||||
Taiwan | 10,116 | 101,254,931 | — | 101,265,047 | ||||||||||||
Thailand | — | 4,259,945 | — | 4,259,945 | ||||||||||||
Turkey | — | 11,147,335 | — | 11,147,335 | ||||||||||||
United Arab Emirates | — | 908,666 | — | 908,666 | ||||||||||||
United Kingdom | 3,427,979 | 79,711,143 | — | 83,139,122 | ||||||||||||
United States | 263,717,044 | — | — | 263,717,044 | ||||||||||||
Vietnam | — | 521,095 | — | 521,095 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 360,034,530 | 1,229,230,343 | 2,866,351 | 1,592,131,224 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
131 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Benchmark-Free Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Preferred Stocks | ||||||||||||||||
Brazil | $ | 137,681 | $ | 6,155,109 | $ | — | $ | 6,292,790 | ||||||||
Colombia | 121,780 | — | — | 121,780 | ||||||||||||
Germany | — | 4,339,528 | — | 4,339,528 | ||||||||||||
Russia | — | 5,088,323 | — | 5,088,323 | ||||||||||||
South Korea | — | 6,372,520 | — | 6,372,520 | ||||||||||||
Taiwan | — | 94,806 | — | 94,806 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 259,461 | 22,050,286 | — | 22,309,747 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | ||||||||||||||||
United States | 1,115,871 | — | — | 1,115,871 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENT FUNDS | 1,115,871 | — | — | 1,115,871 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Debt Obligations | ||||||||||||||||
United States | 166,344,329 | 298,964 | — | 166,643,293 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 166,344,329 | 298,964 | — | 166,643,293 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 326,728,838 | — | — | 326,728,838 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 326,728,838 | — | — | 326,728,838 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 4,187,688 | — | — | 4,187,688 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 858,670,717 | 1,251,579,593 | 2,866,351 | 2,113,116,661 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 1,246,988 | — | 1,246,988 | ||||||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | — | 208,938 | — | 208,938 | ||||||||||||
Interest Rate Risk | — | 1,549,976 | — | 1,549,976 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 858,670,717 | $ | 1,254,585,495 | $ | 2,866,351 | $ | 2,116,122,563 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | (12,371,393 | ) | $ | — | $ | (12,371,393 | ) | ||||||
Austria | — | (3,642,410 | ) | — | (3,642,410 | ) | ||||||||||
Belgium | — | (371,108 | ) | — | (371,108 | ) | ||||||||||
Canada | (805,179 | ) | — | — | (805,179 | ) | ||||||||||
Denmark | — | (1,664,286 | ) | — | (1,664,286 | ) | ||||||||||
France | — | (16,619,413 | ) | — | (16,619,413 | ) | ||||||||||
Germany | — | (17,803,486 | ) | — | (17,803,486 | ) | ||||||||||
Israel | (3,273,960 | ) | — | — | (3,273,960 | ) | ||||||||||
Italy | — | (10,723,353 | ) | — | (10,723,353 | ) | ||||||||||
Japan | — | (49,514,735 | ) | — | (49,514,735 | ) | ||||||||||
Netherlands | — | (7,501,538 | ) | — | (7,501,538 | ) | ||||||||||
New Zealand | — | (849,765 | ) | — | (849,765 | ) | ||||||||||
Norway | — | (916,070 | ) | — | (916,070 | ) | ||||||||||
Russia | — | (138,570 | ) | — | (138,570 | ) | ||||||||||
Singapore | — | (3,464,797 | ) | — | (3,464,797 | ) | ||||||||||
Spain | — | (9,615,195 | ) | — | (9,615,195 | ) | ||||||||||
Sweden | — | (5,053,049 | ) | — | (5,053,049 | ) | ||||||||||
Switzerland | — | (7,705,698 | ) | — | (7,705,698 | ) | ||||||||||
United Kingdom | — | (32,389,218 | ) | — | (32,389,218 | ) | ||||||||||
United States | (225,102,298 | ) | — | — | (225,102,298 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | (229,181,437 | ) | (180,344,084 | ) | — | (409,525,521 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
132 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Benchmark-Free Fund (continued) | ||||||||||||||||
Liability Valuation Inputs (continued) | ||||||||||||||||
Preferred Stocks | ||||||||||||||||
Germany | $ | — | $ | (3,166,912 | ) | $ | — | $ | (3,166,912 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | (3,166,912 | ) | — | (3,166,912 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | (1,760,492 | ) | — | (1,760,492 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | (14,458,707 | ) | (1,141,446 | ) | — | (15,600,153 | ) | |||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | — | (1,068,222 | ) | — | (1,068,222 | ) | ||||||||||
Interest Rate Risk | — | (1,294,933 | ) | — | (1,294,933 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (243,640,144 | ) | $ | (188,776,089 | ) | $ | — | $ | (432,416,233 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Global Asset Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 653,752,855 | $ | — | $ | — | $ | 653,752,855 | ||||||||
Debt Obligations | ||||||||||||||||
Asset-Backed Securities | — | 19,917 | — | 19,917 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | — | 19,917 | — | 19,917 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 404,409 | — | — | 404,409 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 654,157,264 | 19,917 | — | 654,177,181 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 654,157,264 | $ | 19,917 | $ | — | $ | 654,177,181 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global Developed Equity Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 98,440,630 | $ | — | $ | — | $ | 98,440,630 | ||||||||
Short-Term Investments | 59,647 | — | — | 59,647 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 98,500,277 | — | — | 98,500,277 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 98,500,277 | $ | — | $ | — | $ | 98,500,277 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global Equity Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 1,708,590,350 | $ | — | $ | — | $ | 1,708,590,350 | ||||||||
Short-Term Investments | 659,761 | — | — | 659,761 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,709,250,111 | — | — | 1,709,250,111 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,709,250,111 | $ | — | $ | — | $ | 1,709,250,111 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Consolidated Implementation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Argentina | $ | 901,956 | $ | — | $ | — | $ | 901,956 | ||||||||
Australia | — | 76,900,269 | — | 76,900,269 | ||||||||||||
Austria | — | 220,433 | — | 220,433 | ||||||||||||
Belgium | — | 25,621,299 | — | 25,621,299 | ||||||||||||
Brazil | 20,744,478 | 50,346,727 | — | 71,091,205 | ||||||||||||
Canada | 89,759,182 | — | — | �� | 89,759,182 | |||||||||||
Chile | — | 1,646,875 | — | 1,646,875 | ||||||||||||
133 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Consolidated Implementation Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Common Stocks (continued) | ||||||||||||||||
China | $ | 40,697,698 | $ | 564,458,566 | $ | 6,764,431 | $ | 611,920,695 | ||||||||
Czech Republic | — | 2,052,635 | — | 2,052,635 | ||||||||||||
Denmark | — | 23,440,683 | — | 23,440,683 | ||||||||||||
Egypt | — | 404,879 | — | 404,879 | ||||||||||||
Finland | — | 17,655,077 | — | 17,655,077 | ||||||||||||
France | — | 78,647,083 | — | 78,647,083 | ||||||||||||
Germany | — | 94,323,347 | — | 94,323,347 | ||||||||||||
Greece | — | 268,480 | — | 268,480 | ||||||||||||
Hong Kong | — | 39,959,523 | — | 39,959,523 | ||||||||||||
Hungary | — | 1,115,677 | — | 1,115,677 | ||||||||||||
India | 6,648,515 | 124,106,225 | — | 130,754,740 | ||||||||||||
Indonesia | — | 23,773,903 | — | 23,773,903 | ||||||||||||
Ireland | 2,862,973 | 19,340,981 | — | 22,203,954 | ||||||||||||
Israel | 13,277,563 | 2,668,023 | — | 15,945,586 | ||||||||||||
Italy | 364,429 | 52,571,540 | — | 52,935,969 | ||||||||||||
Japan | — | 686,039,114 | — | 686,039,114 | ||||||||||||
Kuwait | — | 12,339,761 | — | 12,339,761 | ||||||||||||
Luxembourg | 842,890 | — | — | 842,890 | ||||||||||||
Malaysia | — | 2,347,546 | — | 2,347,546 | ||||||||||||
Mexico | 60,656,382 | — | — | 60,656,382 | ||||||||||||
Netherlands | 8,256,701 | 71,579,447 | 195 | 79,836,343 | ||||||||||||
New Zealand | — | 4,765,790 | — | 4,765,790 | ||||||||||||
Norway | — | 21,532,232 | — | 21,532,232 | ||||||||||||
Pakistan | — | 4,190,473 | — | 4,190,473 | ||||||||||||
Peru | 1,191,279 | — | — | 1,191,279 | ||||||||||||
Philippines | — | 3,849,799 | — | 3,849,799 | ||||||||||||
Poland | — | 21,961,080 | — | 21,961,080 | ||||||||||||
Portugal | — | 17,482,329 | — | 17,482,329 | ||||||||||||
Qatar | — | 8,059,808 | — | 8,059,808 | ||||||||||||
Russia | 2,209,773 | 192,654,993 | 2,004,028 | 196,868,794 | ||||||||||||
Singapore | — | 28,367,230 | — | 28,367,230 | ||||||||||||
South Africa | — | 58,355,293 | — | 58,355,293 | ||||||||||||
South Korea | 4,706,139 | 158,115,424 | — | 162,821,563 | ||||||||||||
Spain | — | 61,634,688 | — | 61,634,688 | ||||||||||||
Sweden | — | 8,852,710 | — | 8,852,710 | ||||||||||||
Switzerland | 64,673 | 21,231,105 | — | 21,295,778 | ||||||||||||
Taiwan | 7,455,976 | 252,027,463 | — | 259,483,439 | ||||||||||||
Thailand | — | 8,316,921 | — | 8,316,921 | ||||||||||||
Turkey | — | 26,673,825 | — | 26,673,825 | ||||||||||||
United Arab Emirates | — | 1,418,442 | — | 1,418,442 | ||||||||||||
United Kingdom | 8,120,918 | 195,572,560 | — | 203,693,478 | ||||||||||||
United States | 1,333,578,859 | — | 12,742,231 | 1,346,321,090 | ||||||||||||
Vietnam | — | 1,229,202 | — | 1,229,202 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 1,602,340,384 | 3,068,119,460 | 21,510,885 | 4,691,970,729 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | 347,881 | 11,846,649 | — | 12,194,530 | ||||||||||||
Colombia | 471,540 | — | — | 471,540 | ||||||||||||
Germany | — | 9,375,219 | — | 9,375,219 | ||||||||||||
Russia | — | 15,269,918 | — | 15,269,918 | ||||||||||||
South Korea | — | 25,680,738 | — | 25,680,738 | ||||||||||||
Taiwan | — | 837,400 | — | 837,400 | ||||||||||||
United States | — | — | 884,190 | 884,190 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | 819,421 | 63,009,924 | 884,190 | 64,713,535 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
134 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Consolidated Implementation Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Rights/Warrants | ||||||||||||||||
United States | $ | — | $ | — | $ | 983,025 | $ | 983,025 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL RIGHTS/WARRANTS | — | — | 983,025 | 983,025 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | ||||||||||||||||
United States | 6,528,592 | — | 21,898,163 | 28,426,755 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENT FUNDS | 6,528,592 | — | 21,898,163 | 28,426,755 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Debt Obligations | ||||||||||||||||
Brazil | — | 2,259,707 | — | 2,259,707 | ||||||||||||
Canada | — | 1,963,867 | — | 1,963,867 | ||||||||||||
Israel | — | 6,098,197 | — | 6,098,197 | ||||||||||||
Luxembourg | — | — | 2,450,775 | 2,450,775 | ||||||||||||
Netherlands | — | — | 118,091 | 118,091 | ||||||||||||
United States | 482,814,963 | 157,002,785 | 24,655,794 | 664,473,542 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 482,814,963 | 167,324,556 | 27,224,660 | 677,364,179 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 11,596,552 | — | — | 11,596,552 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 11,596,552 | — | — | 11,596,552 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 40,021,039 | 49,922 | — | 40,070,961 | ||||||||||||
Purchased Options | 734,865 | — | — | 734,865 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 2,144,855,816 | 3,298,503,862 | 72,500,923 | 5,515,860,601 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 8,043,594 | — | 8,043,594 | ||||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | 1,246,798 | 194,003 | — | 1,440,801 | ||||||||||||
Interest Rate Risk | 1,131,283 | — | — | 1,131,283 | ||||||||||||
Physical Commodity Contract Risk | 339,246 | — | — | 339,246 | ||||||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | — | 835,139 | — | 835,139 | ||||||||||||
Interest Rate Risk | — | 9,446,967 | — | 9,446,967 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,147,573,143 | $ | 3,317,023,565 | $ | 72,500,923 | $ | 5,537,097,631 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | (33,363,980 | ) | $ | — | $ | (33,363,980 | ) | ||||||
Austria | — | (10,912,769 | ) | — | (10,912,769 | ) | ||||||||||
Belgium | — | (951,192 | ) | — | (951,192 | ) | ||||||||||
Canada | (11,964,927 | ) | — | — | (11,964,927 | ) | ||||||||||
Denmark | — | (4,112,264 | ) | — | (4,112,264 | ) | ||||||||||
France | — | (42,720,100 | ) | — | (42,720,100 | ) | ||||||||||
Germany | — | (49,955,941 | ) | — | (49,955,941 | ) | ||||||||||
Israel | (8,918,868 | ) | — | — | (8,918,868 | ) | ||||||||||
Italy | — | (28,458,253 | ) | — | (28,458,253 | ) | ||||||||||
Japan | — | (130,548,076 | ) | — | (130,548,076 | ) | ||||||||||
Netherlands | — | (19,984,508 | ) | — | (19,984,508 | ) | ||||||||||
New Zealand | — | (2,088,301 | ) | — | (2,088,301 | ) | ||||||||||
Norway | — | (2,526,754 | ) | — | (2,526,754 | ) | ||||||||||
Russia | — | (348,769 | ) | — | (348,769 | ) | ||||||||||
Singapore | — | (9,022,224 | ) | — | (9,022,224 | ) | ||||||||||
135 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Consolidated Implementation Fund (continued) | ||||||||||||||||
Liability Valuation Inputs (continued) | ||||||||||||||||
Common Stocks (continued) | ||||||||||||||||
Spain | $ | — | $ | (25,882,610 | ) | $ | — | $ | (25,882,610 | ) | ||||||
Sweden | — | (13,629,505 | ) | — | (13,629,505 | ) | ||||||||||
Switzerland | — | (20,416,422 | ) | — | (20,416,422 | ) | ||||||||||
United Kingdom | (3,730 | ) | (87,767,323 | ) | — | (87,771,053 | ) | |||||||||
United States | (981,193,916 | ) | — | — | (981,193,916 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | (1,002,081,441 | ) | (482,688,991 | ) | — | (1,484,770,432 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Germany | — | (7,987,445 | ) | — | (7,987,445 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | (7,987,445 | ) | — | (7,987,445 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Funds | ||||||||||||||||
United States | (620,663 | ) | — | — | (620,663 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENT FUNDS | (620,663 | ) | — | — | (620,663 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | (10,273,502 | ) | — | (10,273,502 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | (31,207,973 | ) | (3,942,474 | ) | — | (35,150,447 | ) | |||||||||
Interest Rate Risk | (1,306,803 | ) | — | — | (1,306,803 | ) | ||||||||||
Physical Commodity Contract Risk | (1,713,484 | ) | — | — | (1,713,484 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Credit Risk | — | (676,328 | ) | — | (676,328 | ) | ||||||||||
Equity Risk | — | (3,247,140 | ) | — | (3,247,140 | ) | ||||||||||
Interest Rate Risk | — | (7,892,296 | ) | — | (7,892,296 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (1,036,930,364 | ) | $ | (516,708,176 | ) | $ | — | $ | (1,553,638,540 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
International Developed Equity Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 254,166,670 | $ | — | $ | — | $ | 254,166,670 | ||||||||
Short-Term Investments | 89,564 | — | — | 89,564 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 254,256,234 | — | — | 254,256,234 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 254,256,234 | $ | — | $ | — | $ | 254,256,234 | ||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Mutual Funds | $ | 843,176,712 | $ | — | $ | — | $ | 843,176,712 | ||||||||
Short-Term Investments | 321,937 | — | — | 321,937 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 843,498,649 | — | — | 843,498,649 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 843,498,649 | $ | — | $ | — | $ | 843,498,649 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Consolidated SGM Major Markets Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Debt Obligations | ||||||||||||||||
U.S. Government | $ | 310,699,956 | $ | — | $ | — | $ | 310,699,956 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL DEBT OBLIGATIONS | 310,699,956 | — | — | 310,699,956 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 7,377,942 | 575,502 | — | 7,953,444 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 318,077,898 | 575,502 | — | 318,653,400 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
136 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Consolidated SGM Major Markets Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | 1,321,130 | $ | — | $ | 1,321,130 | ||||||||
Futures Contracts | ||||||||||||||||
Equity Risk | 4,759,592 | 144,282 | — | 4,903,874 | ||||||||||||
Interest Rate Risk | 777,354 | — | — | 777,354 | ||||||||||||
Physical Commodity Contract Risk | 239,168 | — | — | 239,168 | ||||||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | — | 8,643 | — | 8,643 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 323,854,012 | $ | 2,049,557 | $ | — | $ | 325,903,569 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Derivatives^ |
| |||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (506,562 | ) | $ | — | $ | (506,562 | ) | ||||||
Futures Contracts | ||||||||||||||||
Equity Risk | (6,111,501 | ) | (1,209,483 | ) | — | (7,320,984 | ) | |||||||||
Interest Rate Risk | (876,844 | ) | — | — | (876,844 | ) | ||||||||||
Physical Commodity Contract Risk | (1,236,006 | ) | — | — | (1,236,006 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | — | (516,113 | ) | — | (516,113 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (8,224,351 | ) | $ | (2,232,158 | ) | $ | — | $ | (10,456,509 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Strategic Opportunities Allocation Fund | ||||||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 4,680,657 | $ | — | $ | 4,680,657 | ||||||||
Belgium | — | 1,627,270 | — | 1,627,270 | ||||||||||||
Canada | 3,654,638 | — | — | 3,654,638 | ||||||||||||
China | 474,284 | 4,025,095 | 460,840 | 4,960,219 | ||||||||||||
Denmark | — | 1,463,451 | — | 1,463,451 | ||||||||||||
Finland | — | 1,099,635 | — | 1,099,635 | ||||||||||||
France | — | 4,386,948 | — | 4,386,948 | ||||||||||||
Germany | — | 3,459,019 | — | 3,459,019 | ||||||||||||
Hong Kong | — | 2,402,253 | — | 2,402,253 | ||||||||||||
India | — | 1,491,609 | — | 1,491,609 | ||||||||||||
Ireland | 48,567 | 1,714,016 | — | 1,762,583 | ||||||||||||
Israel | 837,528 | 334,211 | — | 1,171,739 | ||||||||||||
Italy | — | 3,617,652 | — | 3,617,652 | ||||||||||||
Japan | — | 39,296,577 | — | 39,296,577 | ||||||||||||
Malaysia | — | 37,139 | — | 37,139 | ||||||||||||
Malta | — | — | 0 | § | 0 | § | ||||||||||
Mexico | 949,271 | — | — | 949,271 | ||||||||||||
Netherlands | 512,335 | 4,516,481 | — | 5,028,816 | ||||||||||||
New Zealand | — | 321,558 | — | 321,558 | ||||||||||||
Norway | — | 1,839,842 | — | 1,839,842 | ||||||||||||
Portugal | — | 1,254,134 | — | 1,254,134 | ||||||||||||
Russia | — | 711,637 | — | 711,637 | ||||||||||||
Singapore | — | 1,524,597 | — | 1,524,597 | ||||||||||||
South Africa | — | 413,318 | — | 413,318 | ||||||||||||
South Korea | — | 61,741 | — | 61,741 | ||||||||||||
Spain | — | 3,942,909 | — | 3,942,909 | ||||||||||||
137 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Strategic Opportunities Allocation Fund (continued) | ||||||||||||||||
Asset Valuation Inputs (continued) | ||||||||||||||||
Common Stocks (continued) | ||||||||||||||||
Sweden | $ | — | $ | 678,976 | $ | — | $ | 678,976 | ||||||||
Switzerland | — | 581,043 | — | 581,043 | ||||||||||||
Taiwan | — | 415,319 | — | 415,319 | ||||||||||||
United Kingdom | — | 12,427,626 | — | 12,427,626 | ||||||||||||
United States | 45,992,830 | — | — | 45,992,830 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | 52,469,453 | 98,324,713 | 460,840 | 151,255,006 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | — | 454,658 | — | 454,658 | ||||||||||||
Germany | — | 364,182 | — | 364,182 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | 818,840 | — | 818,840 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mutual Funds | ||||||||||||||||
United States | 225,163,660 | — | — | 225,163,660 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL MUTUAL FUNDS | 225,163,660 | — | — | 225,163,660 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 605,280 | — | — | 605,280 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 278,238,393 | 99,143,553 | 460,840 | 377,842,786 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Derivatives^ | ||||||||||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | — | 14,631 | — | 14,631 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 278,238,393 | $ | 99,158,184 | $ | 460,840 | $ | 377,857,417 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | (2,096,802 | ) | $ | — | $ | (2,096,802 | ) | ||||||
Austria | — | (645,755 | ) | — | (645,755 | ) | ||||||||||
Belgium | — | (65,065 | ) | — | (65,065 | ) | ||||||||||
Canada | (130,191 | ) | — | — | (130,191 | ) | ||||||||||
Denmark | — | (270,908 | ) | — | (270,908 | ) | ||||||||||
France | — | (2,698,486 | ) | — | (2,698,486 | ) | ||||||||||
Germany | — | (3,198,038 | ) | — | (3,198,038 | ) | ||||||||||
Israel | (579,064 | ) | — | — | (579,064 | ) | ||||||||||
Italy | — | (1,851,333 | ) | — | (1,851,333 | ) | ||||||||||
Japan | — | (8,294,896 | ) | — | (8,294,896 | ) | ||||||||||
Netherlands | — | (1,268,331 | ) | — | (1,268,331 | ) | ||||||||||
New Zealand | — | (138,033 | ) | — | (138,033 | ) | ||||||||||
Norway | — | (164,597 | ) | — | (164,597 | ) | ||||||||||
Russia | — | (27,078 | ) | — | (27,078 | ) | ||||||||||
Singapore | — | (614,118 | ) | — | (614,118 | ) | ||||||||||
Spain | — | (1,642,831 | ) | — | (1,642,831 | ) | ||||||||||
Sweden | — | (820,093 | ) | — | (820,093 | ) | ||||||||||
Switzerland | — | (1,331,874 | ) | — | (1,331,874 | ) | ||||||||||
United Kingdom | — | (5,433,280 | ) | — | (5,433,280 | ) | ||||||||||
United States | (38,055,434 | ) | — | — | (38,055,434 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL COMMON STOCKS | (38,764,689 | ) | (30,561,518 | ) | — | (69,326,207 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Germany | — | (547,473 | ) | — | (547,473 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL PREFERRED STOCKS | — | (547,473 | ) | — | (547,473 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
138 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Strategic Opportunities Allocation Fund (continued) | ||||||||||||||||
Liability Valuation Inputs (continued) | ||||||||||||||||
Derivatives^ | ||||||||||||||||
Swap Contracts | ||||||||||||||||
Equity Risk | $ | — | $ | (162,419 | ) | $ | — | $ | (162,419 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (38,764,689 | ) | $ | (31,271,410 | ) | $ | — | $ | (70,036,099 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
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). 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, 2021. |
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 include three 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, 2021.
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 28, 2021 | 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, 2021 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2021 | |||||||||||||||||||||||||||||||
Consolidated Alternative Allocation Fund | ||||||||||||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
China | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 440,319 | ‡ | $ | — | $ | 440,319 | $ | — | |||||||||||||||||||
Investment Funds | ||||||||||||||||||||||||||||||||||||||||
United States | 10,681,155 | 4,344,956 | (9,892,825 | ) | — | 849,312 | (942,563 | ) | — | — | 5,040,035 | (942,563 | ) | |||||||||||||||||||||||||||
Rights/Warrants | ||||||||||||||||||||||||||||||||||||||||
United States | 146,362 | 13,648 | — | — | — | 103,441 | — | — | 263,451 | 103,441 | ||||||||||||||||||||||||||||||
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Total Investments | $ | 10,827,517 | $ | 4,358,604 | $ | (9,892,825 | ) | $ | — | $ | 849,312 | $ | (839,122 | ) | $ | 440,319 | $ | — | $ | 5,743,805 | $ | (839,122 | ) | |||||||||||||||||
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139 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Balances as of February 28, 2021 | 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, 2021 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2021 | |||||||||||||||||||||||||||||||
Benchmark-Free Fund | ||||||||||||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
China | $ | 11,049 | $ | — | $ | — | $ | — | $ | — | $ | (11,049 | ) | $ | 2,227,882 | ‡ | $ | — | $ | 2,227,882 | $ | — | ||||||||||||||||||
Russia | — | 666,851 | — | — | — | (28,384 | ) | 2 | ‡ | — | 638,469 | (28,384 | ) | |||||||||||||||||||||||||||
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Total Investments | $ | 11,049 | $ | 666,851 | $ | — | $ | — | $ | — | $ | (39,433 | ) | $ | 2,227,884 | $ | — | $ | 2,866,351 | $ | (28,384 | ) | ||||||||||||||||||
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Consolidated Implementation Fund | ||||||||||||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
China | $ | 38,211 | $ | — | $ | — | $ | — | $ | — | $ | (38,211 | ) | $ | 6,764,431 | ‡ | $ | — | $ | 6,764,431 | $ | — | ||||||||||||||||||
Netherlands | 199 | — | — | — | — | (4 | ) | — | — | 195 | (4 | ) | ||||||||||||||||||||||||||||
Russia | — | 2,093,111 | — | — | — | (89,091 | ) | 8 | ‡ | — | 2,004,028 | (89,091 | ) | |||||||||||||||||||||||||||
United States | 13,767,769 | 1,868,694 | (6,659,439 | ) | — | 228,311 | 3,536,896 | — | — | 12,742,231 | 4,346,016 | |||||||||||||||||||||||||||||
Preferred Stocks | ||||||||||||||||||||||||||||||||||||||||
United States | 881,040 | 38,000 | (644,037 | ) | — | 588,037 | 21,150 | — | — | 884,190 | 21,150 | |||||||||||||||||||||||||||||
Rights/Warrants | ||||||||||||||||||||||||||||||||||||||||
United States | 737,648 | 28,602 | — | — | — | 216,775 | — | — | 983,025 | 216,775 | ||||||||||||||||||||||||||||||
Investment Funds | ||||||||||||||||||||||||||||||||||||||||
United States | 22,494,300 | 23,120,431 | (23,399,751 | ) | — | — | (316,817 | ) | — | — | 21,898,163 | (316,817 | ) | |||||||||||||||||||||||||||
Debt Obligations | ||||||||||||||||||||||||||||||||||||||||
Bank Loans | ||||||||||||||||||||||||||||||||||||||||
Jamaica | 6,415,674 | — | (6,479,715 | ) | 35,081 | 275,177 | (246,217 | ) | — | — | — | — | ||||||||||||||||||||||||||||
Luxembourg | 2,478,466 | 2,542,992 | (2,569,793 | ) | 537 | 5,931 | (7,358 | ) | — | — | 2,450,775 | 3,075 | ||||||||||||||||||||||||||||
United States | 32,146,412 | 17,017,404 | (21,340,335 | ) | 2,097,253 | (8,870,946 | ) | 3,550,006 | — | — | 24,599,794 | (383,987 | ) | |||||||||||||||||||||||||||
Corporate Debt | ||||||||||||||||||||||||||||||||||||||||
Netherlands | 304,846 | 29,851 | (189,715 | ) | 47,458 | 35,652 | (110,001 | ) | — | — | 118,091 | (110,001 | ) | |||||||||||||||||||||||||||
United States | — | 42,000 | — | 950 | — | 13,050 | — | — | 56,000 | 13,050 | ||||||||||||||||||||||||||||||
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Total Investments | $ | 79,264,565 | $ | 46,781,085 | $ | (61,282,785 | )# | $ | 2,181,279 | $ | (7,737,838 | ) | $ | 6,530,178 | $ | 6,764,439 | $ | — | $ | 72,500,923 | $ | 3,700,166 | ||||||||||||||||||
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Strategic Opportunities Allocation Fund | ||||||||||||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
China | $ | — | $ | — | $ | — | $ | 460,840 | $ | — | $ | — | $ | — | $ | — | $ | 460,840 | $ | — | ||||||||||||||||||||
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Total Investments | $ | — | $ | — | $ | — | $ | 460,840 | $ | — | $ | — | $ | — | $ | — | $ | 460,840 | $ | — | ||||||||||||||||||||
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‡ | Financial assets transferred between levels were due to a change in observable and/or unobservable inputs. |
# | Includes $19,666,230 of proceeds received from partial calls and/or principal paydowns as applicable. |
The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended August 31, 2021 for Funds with material Level 3 investments.
140 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Quantitative information about Level 3 Fair Value Measurements*
Investment Type | Total Fair Value ($) | Valuation Methodology | Unobservable Inputs | Range (Weighted Average) | ||||||
Consolidated Alternative Allocation Fund | ||||||||||
Common Stock | 440,319 | Fair Value | Discount rate | 20% (N/A) | ||||||
Benchmark-Free Fund | ||||||||||
Common Stock | 2,227,882 | Fair Value | Discount rate | 20% (N/A) | ||||||
Common Stock | 638,469 | Fair Value | Price of comparable equity | (N/A) | ||||||
Common Stock | — | Fair Value | Discount for lack of liquidity/marketability | $0 (N/A) | ||||||
Consolidated Implementation Fund | ||||||||||
Common Stock | 8,905,987 | Fair Value | Discount rate | 20-30% (22.50%) | ||||||
Common Stock | 7,499,171 | Fair Value | Most relevant broker quote | $0.005-$22.00 ($19.58) | ||||||
Common Stock | 1,071,511 | Fair Value | Price of comparable equity | (N/A) | ||||||
Common Stock | — | Fair Value | Discount for lack of liquidity/marketability | $0 (N/A) | ||||||
Debt Obligation | 195 | Fair Value | Expected payment | (N/A) | ||||||
Strategic Opportunities Allocation Fund | ||||||||||
Common Stock | 460,840 | Fair Value | Discount Rate | 20% (N/A) | ||||||
Common Stock | — | Fair Value | Discount for lack of liquidity/marketability | $0 (N/A) |
* | The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of August 31, 2021, the value of these securities and/or derivatives for Consolidated Alternative Allocation Fund and Consolidated Implementation Fund was $5,303,486 and $55,024,059, 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.
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
141 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
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 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 in an amount equal to the securities loaned (marked to market daily). Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this
142 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
occurs, the collateral is adjusted and settled on the following business day. 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, 2021, 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 | 24,350,984 | 5,348,116 | 20,369,196 | 25,717,312 | ||||||||||||
Consolidated Implementation Fund | 64,871,709 | 11,494,916 | 55,691,241 | 67,186,157 |
* | 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. |
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. For its participation in the enhanced custody program, the Fund will pay the custodian a securities borrow fee and a financing charge.
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.
143 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Trade claims
Certain Funds may purchase trade claims against companies, including companies in bankruptcy or reorganization proceedings. Trade claims generally include claims of suppliers for goods delivered and not paid, claims for unpaid services rendered, claims for contract rejection damages and claims related to litigation. Trade claims are illiquid instruments which generally do not pay interest and there can be no guarantee that the debtor will ever be able to satisfy the obligation on the trade claim. Such claims are typically unsecured and may be subordinated to other unsecured obligations of a debtor, and generally are subject to defenses of the debtor with respect to the underlying transaction giving rise to the trade claim. Trade claims outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.
Taxes and distributions
Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.
Alternative Allocation SPC Ltd., Alternative Asset SPC Ltd. and Implementation SPC Ltd. are wholly-owned subsidiaries of Alternative Allocation Fund, SGM Major Markets Fund and Implementation 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, 2021, 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.
144 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
As of February 28, 2021, certain Funds elected to defer to March 1, 2021, 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 ($) | ||||||
Consolidated Alternative Allocation Fund | (21,162,317) | — | ||||||
Benchmark-Free Allocation Fund | (4,557,293) | (565,098) | ||||||
Benchmark-Free Fund | (3,085,266) | (55,466,289) | ||||||
Global Asset Allocation Fund | (125,045) | — | ||||||
Global Developed Equity Allocation Fund | (662) | — | ||||||
Global Equity Allocation Fund | (14,626) | — | ||||||
Consolidated Implementation Fund | (30,905,794) | — | ||||||
International Developed Equity Allocation Fund | (1,759) | — | ||||||
International Equity Allocation Fund | (7,154) | (780,593) | ||||||
Consolidated SGM Major Markets Fund | — | — | ||||||
Strategic Opportunities Allocation Fund | — | — |
As of February 28, 2021, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2021, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:
Fund Name | Short-Term ($) | Long-Term ($) | ||||||
Consolidated Alternative Allocation Fund | — | — | ||||||
Benchmark-Free Allocation Fund | (996,401) | (52,557,698) | ||||||
Benchmark-Free Fund | (140,587,068) | (199,185,975) | ||||||
Global Asset Allocation Fund | (3,820,536) | (205,298,377) | ||||||
Global Developed Equity Allocation Fund | — | — | ||||||
Global Equity Allocation Fund | — | (48,705,418) | ||||||
Consolidated Implementation Fund | (697,632,617) | (413,359,841) | ||||||
International Developed Equity Allocation Fund | — | (136,147,272) | ||||||
International Equity Allocation Fund | — | (119,898,416) | ||||||
Consolidated SGM Major Markets Fund | — | — | ||||||
Strategic Opportunities Allocation Fund | — | — |
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August 31, 2021 (Unaudited)
As of August 31, 2021, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments for U.S. federal income tax purposes were as follows:
Total Investments | Outstanding Financial Instruments | |||||||||||||||||||
Fund Name | Aggregate Cost ($) | Gross Unrealized Appreciation ($) | Gross Unrealized (Depreciation) ($) | Net Unrealized Appreciation (Depreciation) ($) | Net Unrealized Appreciation (Depreciation) ($) | |||||||||||||||
Consolidated Alternative Allocation Fund | 194,101,975 | 6,502,223 | (27,668,132) | (21,165,909) | (2,209,794) | |||||||||||||||
Benchmark-Free Allocation Fund | 6,299,331,593 | — | (188,047,610) | (188,047,610) | — | |||||||||||||||
Benchmark-Free Fund | 1,572,677,184 | 252,385,113 | (124,638,069) | 127,747,044 | (16,720,301) | |||||||||||||||
Global Asset Allocation Fund | 640,401,401 | 32,034,227 | (18,258,447) | 13,775,780 | — | |||||||||||||||
Global Developed Equity Allocation Fund | 82,529,258 | 15,971,019 | — | 15,971,019 | — | |||||||||||||||
Global Equity Allocation Fund | 1,534,260,744 | 174,989,367 | — | 174,989,367 | — | |||||||||||||||
Consolidated Implementation Fund | 3,982,572,537 | 583,737,796 | (543,828,272) | 39,909,524 | (37,628,813) | |||||||||||||||
International Developed Equity Allocation Fund | 262,167,422 | — | (7,911,188) | (7,911,188) | — | |||||||||||||||
International Equity Allocation Fund | 777,511,154 | 65,987,495 | — | 65,987,495 | — | |||||||||||||||
Consolidated SGM Major Markets Fund | 384,575,361 | 94,116 | (66,016,077) | (65,921,961) | (2,209,502) | |||||||||||||||
Strategic Opportunities Allocation Fund | 267,621,438 | 53,346,973 | (12,999,305) | 40,347,668 | (147,788) |
The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. A Fund may recognize an income tax liability related to an uncertain tax position under U.S. GAAP when the uncertain tax position has a less than 50% probability that it would be sustained upon examination by the tax authorities, based on technical merits. 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. As of August 31, 2021, each Fund has determined that no tax liability is required to be accrued in its financial statements related to uncertain tax positions for any tax years which are subject to examination.
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, 2021 (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 increase or decrease 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 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, 2021, 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 and June 30, 2015 to June 30, 2016, the premium on cash purchases and the fee on cash redemptions were each 0.20% and 0.18%, respectively, of the amount invested or redeemed. | |
Benchmark-Free Fund | For the periods from June 30, 2016 to June 30, 2018 and June 30, 2015 to June 30, 2016, the premium on cash purchases and the fee on cash redemptions were each 0.25% and 0.18%, respectively, of the amount invested or redeemed. | |
Global Asset Allocation Fund | For the periods from June 30, 2016 to June 30, 2018 and June 30, 2015 to June 30, 2016, the premium on cash purchases and the fee on cash redemptions were each 0.15% and 0.14%, 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 periods from June 30, 2016 to June 30, 2018 and June 30, 2015 to June 30, 2016, the premium on cash purchases and the fee on cash redemptions were each 0.18% and 0.19%, 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. |
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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 periods from June 30, 2016 to June 30, 2018 and June 30, 2015 to June 30, 2016, the premium on cash purchases and the fee on cash redemptions were each 0.25% and 0.27%, respectively, of the amount invested or redeemed. | |
Strategic Opportunities Allocation Fund | For the periods from June 30, 2016 to June 30, 2018 and June 30, 2015 to June 30, 2016, the premium on cash purchases and the fee on cash redemptions were each 0.20% and 0.14%, respectively, of the amount invested or redeemed. |
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 | Strategic Opportunities Allocation Fund | ||||||||||||
Commodities Risk | X | X | X | X | X | X | X | |||||||||||||||
Counterparty Risk | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Credit Risk | X | X | X | X | X | X | X | X | X | X | X | |||||||||||
Currency Risk | 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 | |||||||||||
Event-Driven Risk | X | X | X | X | ||||||||||||||||||
Focused Investment Risk | 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 | |||||||||||
Futures Contracts Risk | X | X | X | X | 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 | 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 – Asset-Backed Securities | 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 | X | X | X | X | X | X | X | X | X | |||||||||||
Non-Diversified Funds | 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 | |||||||||||
Smaller Company Risk | X | X | X | X | X | X | X | X | X | X |
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Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
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 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 as a result of its investment in 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; 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 GMO’s view changes adversely (whether due to external events or otherwise) does not mean that a Fund’s existing transactions with that counterparty will 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.
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August 31, 2021 (Unaudited)
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 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 (commonly 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 obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. The market price of a fixed income investment will normally decline as a result (and/or in anticipation) of the failure of an issuer, guarantor, or obligor to meet its payment obligations or a downgrading of the credit rating of the investment. This risk is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Fixed income investments also are subject to illiquidity risk. See “Illiquidity Risk.”
All fixed income investments are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending on 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 the particular security 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 on whether the securities are supported by the full faith and credit of the United States, supported by the ability of the obligor 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 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 often 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 in U.S. bonds.
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.”
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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 investment 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 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 are permitted to lend their portfolio securities. A Fund that lends its portfolio securities bears the risk of delay in the recovery of loaned securities, resulting among other things in the Fund’s ability to vote the securities or realize on its 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 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 any). 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 be able to do so only 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. The use of 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
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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 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 valuations generated by GMO’s pricing models are different from amounts the Funds realize when they close or sell a 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, none of the Funds will be permitted to trade with that counterparty.
OTC 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. Since 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 those with respect to OTC derivatives (commonly referred to as “bilateral arrangements”), for example, by requiring that funds provide more margin for their cleared
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derivative positions. Also, as a general matter, in contrast to an OTC 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. 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 an 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 OTC 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 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 will be executed successfully and others 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 OTC derivatives. Variation margin requirements became effective in March 2017 and initial margin requirements will become effective in 2021 or 2022. 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.
In October 2020, the SEC adopted Rule 18f-4 under the 1940 Act, which, once effective, will govern the use of derivative investments and certain financing transactions (e.g., reverse repurchase agreements) by registered investment companies. Among other things, Rule 18f-4 requires funds that invest in derivative instruments above a specified amount apply a value-at-risk based limit to their use of certain derivative instruments and financing transactions and to adopt and implement a derivatives risk management program. A Fund that uses derivative instruments in a limited amount will not be subject to the full requirements of Rule 18f-4. In connection with the adoption of Rule 18f-4, the Funds will no longer be required to comply with the asset segregation framework arising from prior SEC guidance for covering certain derivative instruments and related transactions. Compliance with Rule 18f-4 will not be required until August 2022. Rule 18f-4 could have an adverse impact on a Fund’s performance and ability to implement its investment strategies as it has historically.
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 OTC derivatives. The cost of derivatives transactions could 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. While
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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.
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 exercise the option only on its expiration date). If a Fund writes a call option and does not hold the underlying security, the Fund’s potential loss is 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. These limits can 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 securities, 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 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.
• EVENT-DRIVEN RISK. While implementing an event-driven strategy, a Fund may purchase securities at prices below the value of the consideration GMO expects the Fund to receive upon consummation of a proposed merger, acquisition, exchange offer, tender offer or other similar transaction (“event-driven transactions”). The purchase price paid by the Fund may substantially exceed the consideration received upon the closing of the transaction, resulting in losses to the Fund.
If a Fund utilizes an event-driven strategy and the transaction (such as a merger) later appears likely to be delayed or unlikely to be
consummated or, in fact, is not consummated or is delayed, the market price of the securities purchased by the Fund may decline sharply, resulting in losses to the Fund. The risk/reward payout of event-driven strategies (such as merger arbitrage strategies) typically is asymmetric, with the losses in failed transactions often far exceeding the gains in successful transactions. A proposed transaction can fail to be consummated for many reasons, including regulatory and antitrust restrictions, industry weakness, company specific events, failed financings and general market declines.
Event-driven 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 an event-driven strategy 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
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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 participation in event-driven transactions could result in tax inefficiencies.
• 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 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.
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 those fees and expenses.
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 those investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.
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In October 2020, the SEC adopted regulatory changes and took other actions related to the ability of an investment company to invest in the securities of another investment company. These changes include, among other things, (i) the rescission of various SEC exemptive orders permitting investments in excess of the statutory limits (including the Trust’s exemptive order referred to above) and the withdrawal of related SEC staff no-action letters and (ii) the adoption of Rule 12d1-4 under the 1940 Act. Rule 12d1-4, which became effective on January 19, 2021, which permits the Funds to invest in other investment companies beyond the statutory limits, subject to various conditions. The rescission of the applicable exemptive orders and the withdrawal of the related no-action letters will be effective on January 19, 2022. After that date, an investment company will be subject to Rule 12d1-4 and other applicable rules under Section 12(d)(1). While the impact of these regulatory changes on the Funds is uncertain, the changes could reduce a Fund’s flexibility to make investments in other registered investment companies (including other Funds) and require a Fund to modify its investments.
• FUTURES CONTRACTS RISK. The 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 requires a liquid secondary market. A liquid secondary market may not exist for any particular futures contract at any particular time, and as a result a Fund may be unable when it wishes to effect closing transactions to terminate its exposure under that 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 subject to 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 and that could occur 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 an increase in the price of its positions.
The Commodity Futures Trading Commission (the “CFTC”) and 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 and its affiliated entities may trade on a particular day. An exchange may order the liquidation of positions found to be in violation of these limits, and it also may impose sanctions or restrictions. In addition, the CFTC recently adopted rules that, once effective, will expand materially the contracts subject to federal limits. As a result of those 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.
Neither the contracts nor the foreign exchanges of futures contracts traded on exchanges outside the United States are subject to regulation by the CFTC or other U.S. regulators. U.S. regulators lack the power to compel enforcement of the rules of those exchanges or the laws of the country where they are located. In addition, foreign futures contracts may be less liquid and more volatile than U.S. futures 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 or at all. 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 or writing a put or closing a short position). If a Fund is unable to sell an illiquid asset, it could miss other investment opportunities, fail to meet redemption requests, or be unable to meet other cash needs. In addition, it may be required to sell other assets it would prefer to hold.
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 an investment will be less than the price it was valued when held by the Fund. Illiquidity risk also tends to be greater in times of financial stress, including the markets for securities in entire asset classes. For example, inflation-protected securities issued by the U.S. Treasury (“TIPS”) have experienced periods of greatly reduced liquidity during disruptions in
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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 significantly changing their market value. 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 of 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 significantly depress the market price of the securities being sold.
A Fund’s ability to use options in 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. Moreover, the hours of trading for options on an exchange may not conform to the hours of trading of the underlying securities, creating a risk of significant changes in the prices of underlying securities that are not immediately reflected in the options markets. If a Fund receives a redemption request and is unable to close out an option it has sold, the Fund 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 separate 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 some of those separate accounts hold a substantial portion of the outstanding shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from 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. In some cases, a redemption of a large number of shares could disrupt the Fund’s operations or force the Fund’s liquidation. Further, from time to time a Fund may trade in anticipation of a purchase order or redemption request 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 (if any). 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
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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, in relying on GMO to achieve its investment objective, it 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. In addition, GMO’s models rely on assumptions and data that are subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value and 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 reduced 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, corrupting, or preventing access to 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, interfere with the use of quantitative models, 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. In addition, the global spread of COVID-19 has caused the Funds and their service providers to implement business continuity plans, including widespread use of work-from-home arrangements, which may make the Funds and their service providers more susceptible to cyber-attacks. 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 the Funds or accurately pricing their securities. The Funds cannot
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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 the Funds’ service providers and counterparties and 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, sanctions and terrorism) will disrupt securities markets, adversely affect global economies and markets and exacerbate the effects of other risks to which the Funds are subject, 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 held by the Funds. Fraud and other deceptive practices committed by an issuer of securities held by a Fund, 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”), subject to a transition period. Before the end of the transition period, the United Kingdom and the European Union ratified the EU-UK Trade and Cooperation Agreement (the “TCA”), which lays out the terms of the United Kingdom’s future cooperation with the European Union. Notwithstanding the TCA, significant uncertainty remains in the market regarding the ramifications of Brexit, and the range and potential implications of possible political, regulatory, economic and market outcomes are difficult to predict. The impact of Brexit on the U.K. and European economies and the broader global economy could be significant, resulting in negative impacts on currency and financial markets generally, such as increased volatility and illiquidity, and potentially lower economic growth in markets in the United Kingdom, Europe, and globally, which may adversely affect the value of a Fund’s investments. 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 industry-specific restrictions, against non-U.S. governments, officials, institutions, and companies (including, in recent years, against countries such as China, Russia, and Venezuela). These sanctions, any additional sanctions or intergovernmental actions or even the threat of further sanctions could result, in a decline in the value and liquidity of securities of companies in such non-U.S. countries, a weakening of the currencies of those countries or other adverse consequences to their economies. Sanctions impair the ability of the Funds to buy, sell, receive or deliver the securities that are subject to the sanctions and may require the Funds to divest their holdings in those securities at inopportune times. 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 impossible 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 known as COVID-19 beginning in late 2019 (described below)), and systemic market dislocations
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(such as the kind surrounding the insolvency of Lehman Brothers in 2008), can adversely affect 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, by causing the Funds’ derivatives counterparties to discontinue or limit offering derivatives on some underlying commodities, securities, reference rates. 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.
A global outbreak of COVID-19 and subsequent efforts to contain its spread have resulted in, among other things, extreme volatility and reduced liquidity in financial markets; exchange trading suspensions and closures; higher default rates; travel restrictions and disruptions; significant disruptions to business operations and supply chains; lower consumer demand for goods and services; significant job losses and increasing unemployment; event and service cancellations and restrictions; significant challenges in healthcare service preparation and delivery; prolonged quarantines; as well as general concern and uncertainty. The impact of this pandemic and any other epidemic or pandemic that may arise in the future could adversely affect the economies of many nations or the entire global economy and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways. Extraordinary actions taken by governments and central banks to support local and global economies and the financial markets in response to the COVID-19 pandemic may not succeed or have the intended effect, and in some cases, have resulted in a large expansion of government deficits and debt, the long-term consequences of which are not known. This crisis or other public health crises may also exacerbate other pre-existing political, social, economic, market and financial risks. The duration of the COVID-19 pandemic and its effects cannot be determined with certainty. The effects of the COVID-19 pandemic or any other future epidemic or pandemic could impair a Fund’s ability to maintain operational standards (such as with respect to satisfying redemption requests), disrupt the operations of a Fund’s service providers, exacerbate other risks that apply to a Fund, and adversely affect the value and liquidity of a Fund’s investments.
• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market price of their holdings will decline. Market risks include:
Asset-Backed Securities — Investments in asset-backed securities not only are subject to all of the market risks described under “Market Risk — Fixed Income” but to other market risks as well.
Asset-backed securities are often exposed to greater risk of severe credit downgrades, illiquidity, and defaults than many other types of fixed income investments. These risks become particularly acute during periods of adverse market conditions, such as those that occurred in 2008.
As described under “Market Risk — Fixed Income,” the market price of asset-backed securities, like that of other fixed income investments with complex structures, can decline for a variety of reasons, including market uncertainty about their credit quality and the reliability of their payment streams. Payment of interest on asset-backed securities and repayment of principal largely depend on the cash flow generated by the assets backing the securities, as well as the deal structure (e.g., the amount of underlying assets or other support available to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support and the credit quality of the credit-support provider, if any, and the performance of other service providers with access to the payment stream. A problem in any of these factors can lead to a reduction in the payment stream GMO expected a Fund to receive when the Fund purchased the asset-backed security. Principal repayments of asset-backed securities are at risk if obligors of the underlying obligations default on their payment obligations and the value of the principal payments they otherwise would have made 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.
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. A single financial institution may serve as a servicer for many asset-backed securities. As a result, a disruption in that institution’s business likely would have a material impact on the many asset-backed
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securities it services. The obligations underlying an asset-backed security, particularly a security backed by a pool 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.
During periods of deteriorating economic conditions, such as recessions or periods of rising unemployment, delinquencies and losses generally increase, sometimes dramatically, with respect to securitizations involving loans, sales contracts, receivables and other obligations underlying asset-backed securities. The effects of the COVID-19 virus, and governmental responses to the effects of the virus, may result in increased delinquencies and losses and have other, potentially unanticipated, adverse effects on such investments and the markets for those investments.
Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as 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 that are characterized as relatively cyclical often are especially sensitive to economic cycles, which means they typically underperform non-cyclical equities during economic downturns. Performance of cyclical equities 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 as assessed by GMO and GMO’s assessment proves to be incorrect, the Fund runs the risk that the market price of the equity will not appreciate or will decline. The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.
Fixed Income — Funds that invest in fixed income investments (including bonds, notes, bills, synthetic debt instruments, and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity due, 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
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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.”
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 to near historically low levels. A substantial increase in interest rates could have a material adverse effect on the market value of 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. 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 |
• | SGM Major Markets 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 (particularly emerging 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 often fluctuate more than those of securities traded on U.S. securities markets. 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, recordkeeping, accounting, custody and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. The Public Company Accounting Oversight Board, which regulates auditors of U.S. public companies, is unable to inspect audit work papers in some non-U.S. countries. Investors in non-U.S. countries often have limited rights and few practical remedies to pursue shareholder claims, including class actions or fraud claims, and the ability of the SEC, the U.S. Department of Justice and other authorities to bring and enforce actions against non-U.S. issuers or non-U.S. persons is limited.
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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GMO’s decision to seek a refund on behalf of a Fund 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 process of seeking a refund may take years, and the outcome of a Fund’s efforts to obtain a refund is inherently uncertain. Accordingly, a refund is not typically reflected in the Fund’s net asset value until GMO believes that the refund is collectible and free from significant contingencies. In some cases, the amount of such refunds could be material to a Fund’s net asset value. If you redeem your shares of a Fund before a potential refund is reflected in the Fund’s net asset value, you will not realize the benefit of that refund. 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 companies 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 and increased risk of currency devaluation and hyperinflation; 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; increased risk of market manipulation or fraudulent trade practices; controls on investment (including restrictions on foreign 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); lower trading volumes; unavailability of currency hedging techniques; less rigorous accounting, auditing, corporate governance, financial reporting, recordkeeping, and regulatory standards and practices; unavailability of reliable information about issuers; slower clearance and settlement; limitations on, or difficulties enforcing legal judgments, contractual rights, or other remedies, including those available to a Fund in respect of its portfolio holdings; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries often 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.
• 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.
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4. | Derivative financial instruments |
During the period ended August 31, 2021, 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 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.
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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, 2021, 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 | 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 | ||||||||||||||||
Manage against anticipated currency exchange rate changes | X | X | ||||||||||||||||||
Futures contracts | ||||||||||||||||||||
Adjust exposure to certain securities markets | 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 | ||||||||||||||||
Options (Purchased) | ||||||||||||||||||||
Substitute for direct equity investment | X | X | ||||||||||||||||||
Options (Written) | ||||||||||||||||||||
Substitute for direct equity investment | X | X | ||||||||||||||||||
Swap contracts | ||||||||||||||||||||
Adjust exposure to certain markets | X | |||||||||||||||||||
Adjust interest rate exposure | X | X | X | X | ||||||||||||||||
Substitute for direct investment in securities | X | X | X | X | ||||||||||||||||
Achieve exposure to a reference entity’s credit | 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 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
166 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
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, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap
167 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
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.
168 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
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.
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, 2021 and the Statements of Operations for the period ended August 31, 2021^:
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 | Total | |||||||||||||||||||
Consolidated Alternative Allocation Fund | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Investments, at value (purchased options) | $ | — | $ | — | $ | 169,275 | $ | — | $ | — | $ | 169,275 | ||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | — | 1,856,370 | — | 1,856,370 | ||||||||||||||||||
Unrealized Appreciation on Futures Contracts¤ | — | — | 956,811 | — | 280,284 | 1,237,095 | ||||||||||||||||||
Swap Contracts, at value¤ | 3,177,395 | — | 28,034 | — | 2,140,735 | 5,346,164 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 3,177,395 | $ | — | $ | 1,154,120 | $ | 1,856,370 | $ | 2,421,019 | $ | 8,608,904 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
169 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Credit Contracts | Commodity Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Total | |||||||||||||||||||
Consolidated Alternative Allocation Fund (continued) | ||||||||||||||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Unrealized Depreciation on Futures Contracts¤ | $ | — | $ | — | $ | (2,577,499 | ) | $ | — | $ | (325,422 | ) | $ | (2,902,921 | ) | |||||||||
Unrealized Depreciation on Forward Currency Contracts | — | — | — | (2,261,505 | ) | — | (2,261,505 | ) | ||||||||||||||||
Written Options, at value | (31,307 | ) | — | (57,370 | ) | — | — | (88,677 | ) | |||||||||||||||
Swap Contracts, at value¤ | (1,862,013 | ) | — | (446,817 | ) | — | (1,762,322 | ) | (4,071,152 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (1,893,320 | ) | $ | — | $ | (3,081,686 | ) | $ | (2,261,505 | ) | $ | (2,087,744 | ) | $ | (9,324,255 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | 91,425 | $ | — | $ | (43,170 | ) | $ | 48,255 | |||||||||||
Forward Currency Contracts | — | — | — | 299,584 | — | 299,584 | ||||||||||||||||||
Futures Contracts | — | — | (2,723,568 | ) | — | (183,581 | ) | (2,907,149 | ) | |||||||||||||||
Written Options | 328,844 | — | 2,180,887 | — | — | 2,509,731 | ||||||||||||||||||
Swap Contracts | 53,985 | (1,919,100 | ) | (1,607,456 | ) | — | (1,577,801 | ) | (5,050,372 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 382,829 | $ | (1,919,100 | ) | $ | (2,058,712 | ) | $ | 299,584 | $ | (1,804,552 | ) | $ | (5,099,951 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | (77,161 | ) | $ | — | $ | 18,880 | $ | (58,281 | ) | ||||||||||
Forward Currency Contracts | — | — | — | (262,480 | ) | — | (262,480 | ) | ||||||||||||||||
Futures Contracts | — | — | (1,663,067 | ) | — | 1,194,059 | (469,008 | ) | ||||||||||||||||
Written Options | 15,473 | — | 378,065 | — | — | 393,538 | ||||||||||||||||||
Swap Contracts | (409,123 | ) | — | (1,143,168 | ) | — | 4,977,203 | 3,424,912 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (393,650 | ) | $ | — | $ | (2,505,331 | ) | $ | (262,480 | ) | $ | 6,190,142 | $ | 3,028,681 | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Benchmark-Free Fund | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | 1,246,988 | $ | — | $ | 1,246,988 | ||||||||||||
Swap Contracts, at value¤ | — | — | 208,938 | — | 1,549,976 | 1,758,914 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | 208,938 | $ | 1,246,988 | $ | 1,549,976 | $ | 3,005,902 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (1,760,492 | ) | $ | — | $ | (1,760,492 | ) | ||||||||||
Unrealized Depreciation on Futures Contracts¤ | — | — | (15,600,153 | ) | — | — | (15,600,153 | ) | ||||||||||||||||
Swap Contracts, at value¤ | — | — | (1,068,222 | ) | — | (1,294,933 | ) | (2,363,155 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | (16,668,375 | ) | $ | (1,760,492 | ) | $ | (1,294,933 | ) | $ | (19,723,800 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | — | $ | 7,850,441 | $ | — | $ | 7,850,441 | ||||||||||||
Futures Contracts | — | — | (67,368,890 | ) | — | — | (67,368,890 | ) | ||||||||||||||||
Swap Contracts | — | — | 9,016,567 | — | 35,029 | 9,051,596 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | (58,352,323 | ) | $ | 7,850,441 | $ | 35,029 | $ | (50,466,853 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (704,922 | ) | $ | — | $ | (704,922 | ) | ||||||||||
Futures Contracts | — | — | 663,647 | — | — | 663,647 | ||||||||||||||||||
Swap Contracts | — | — | (5,207,453 | ) | — | 1,490,307 | (3,717,146 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | (4,543,806 | ) | $ | (704,922 | ) | $ | 1,490,307 | $ | (3,758,421 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Consolidated Implementation Fund | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Investments, at value (purchased options) | $ | — | $ | — | $ | 734,865 | $ | — | $ | — | $ | 734,865 | ||||||||||||
Unrealized Appreciation on Forward Currency Contracts | — | — | — | 8,043,594 | — | 8,043,594 | ||||||||||||||||||
Unrealized Appreciation on Futures Contracts¤ | — | 339,246 | 1,440,801 | — | 1,131,283 | 2,911,330 | ||||||||||||||||||
Swap Contracts, at value¤ | — | — | 835,139 | — | 9,446,967 | 10,282,106 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 339,246 | $ | 3,010,805 | $ | 8,043,594 | $ | 10,578,250 | $ | 21,971,895 | ||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||
170 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Credit Contracts | Commodity Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Total | |||||||||||||||||||
Consolidated Implementation Fund (continued) | ||||||||||||||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (10,273,502 | ) | $ | — | $ | (10,273,502 | ) | ||||||||||
Unrealized Depreciation on Futures Contracts¤ | — | (1,713,484 | ) | (35,150,447 | ) | — | (1,306,803 | ) | (38,170,734 | ) | ||||||||||||||
Swap Contracts, at value¤ | (676,328 | ) | — | (3,247,140 | ) | — | (7,892,296 | ) | (11,815,764 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (676,328 | ) | $ | (1,713,484 | ) | $ | (38,397,587 | ) | $ | (10,273,502 | ) | $ | (9,199,099 | ) | $ | (60,260,000 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | 405,096 | $ | — | $ | — | $ | 405,096 | ||||||||||||
Forward Currency Contracts | — | — | — | 22,085,975 | — | 22,085,975 | ||||||||||||||||||
Futures Contracts | — | (3,449,600 | ) | (162,472,795 | ) | — | (189,869 | ) | (166,112,264 | ) | ||||||||||||||
Written Options | — | — | (107,440 | ) | — | — | (107,440 | ) | ||||||||||||||||
Swap Contracts | (136,926 | ) | — | 23,297,549 | — | (3,586,873 | ) | 19,573,750 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (136,926 | ) | $ | (3,449,600 | ) | $ | (138,877,590 | ) | $ | 22,085,975 | $ | (3,776,742 | ) | $ | (124,154,883 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||
Investments (purchased options) | $ | — | $ | — | $ | (334,563 | ) | $ | — | $ | — | $ | (334,563 | ) | ||||||||||
Forward Currency Contracts | — | — | — | (3,235,320 | ) | — | (3,235,320 | ) | ||||||||||||||||
Futures Contracts | — | 1,551,304 | 475,110 | — | 2,973,362 | 4,999,776 | ||||||||||||||||||
Swap Contracts | 15,783 | — | (12,512,004 | ) | — | 12,466,437 | (29,784 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 15,783 | $ | 1,551,304 | $ | (12,371,457 | ) | $ | (3,235,320 | ) | $ | 15,439,799 | $ | 1,400,109 | ||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Consolidated SGM Major Markets Fund | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Unrealized Appreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | 1,321,130 | $ | — | $ | 1,321,130 | ||||||||||||
Unrealized Appreciation on Futures Contracts¤ | — | 239,168 | 4,903,874 | — | 777,354 | 5,920,396 | ||||||||||||||||||
Swap Contracts, at value¤ | — | — | 8,643 | — | — | 8,643 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 239,168 | $ | 4,912,517 | $ | 1,321,130 | $ | 777,354 | $ | 7,250,169 | ||||||||||||
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|
|
|
|
| |||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Unrealized Depreciation on Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (506,562 | ) | $ | — | $ | (506,562 | ) | ||||||||||
Unrealized Depreciation on Futures Contracts¤ | — | (1,236,006 | ) | (7,320,984 | ) | — | (876,844 | ) | (9,433,834 | ) | ||||||||||||||
Swap Contracts, at value¤ | — | — | (516,113 | ) | — | — | (516,113 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (1,236,006 | ) | $ | (7,837,097 | ) | $ | (506,562 | ) | $ | (876,844 | ) | $ | (10,456,509 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | — | $ | (4,419,338 | ) | $ | — | $ | (4,419,338 | ) | ||||||||||
Futures Contracts | — | (2,496,649 | ) | 3,084,396 | — | 430,295 | 1,018,042 | |||||||||||||||||
Swap Contracts | — | — | (1,601,614 | ) | — | — | (1,601,614 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (2,496,649 | ) | $ | 1,482,782 | $ | (4,419,338 | ) | $ | 430,295 | $ | (5,002,910 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | — | $ | 2,395,246 | $ | — | $ | 2,395,246 | ||||||||||||
Futures Contracts | — | 1,219,856 | (3,268,099 | ) | — | 2,302,545 | 254,302 | |||||||||||||||||
Swap Contracts | — | — | (507,470 | ) | — | — | (507,470 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | 1,219,856 | $ | (3,775,569 | ) | $ | 2,395,246 | $ | 2,302,545 | $ | 2,142,078 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Strategic Opportunities Allocation Fund | ||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Swap Contracts, at value¤ | $ | — | $ | — | $ | 14,631 | $ | — | $ | — | $ | 14,631 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | 14,631 | $ | — | $ | — | $ | 14,631 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Swap Contracts, at value¤ | $ | — | $ | — | $ | (162,419 | ) | $ | — | $ | — | $ | (162,419 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | (162,419 | ) | $ | — | $ | — | $ | (162,419 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
171 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Credit Contracts | Commodity Contracts | Equity Contracts | Foreign Currency Contracts | Interest Rate Contracts | Total | |||||||||||||||||||
Strategic Opportunities Allocation Fund (continued) | ||||||||||||||||||||||||
Net Realized Gain (Loss) on | ||||||||||||||||||||||||
Swap Contracts | $ | — | $ | — | $ | 2,371,717 | $ | — | $ | — | $ | 2,371,717 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | 2,371,717 | $ | — | $ | — | $ | 2,371,717 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in Net Appreciation (Depreciation) on | ||||||||||||||||||||||||
Swap Contracts | $ | — | $ | — | $ | (1,229,771 | ) | $ | — | $ | — | $ | (1,229,771 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | — | $ | (1,229,771 | ) | $ | — | $ | — | $ | (1,229,771 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
^ | 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, 2021, if any.
172 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (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, 2021:
Consolidated 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. | $ | 813,881 | $ | (769,871 | ) | $ | (44,010 | ) | $ | — | * | |||||
Barclays Bank PLC | 259,575 | — | (259,575 | ) | — | |||||||||||
Citibank N.A. | 1,144,467 | (1,016,101 | ) | (128,366 | ) | — | * | |||||||||
Citigroup Global Markets Inc. | 298,429 | — | (390 | ) | 298,039 | |||||||||||
Deutsche Bank AG | 88,395 | — | (88,395 | ) | — | |||||||||||
Goldman Sachs International | 274,550 | — | (82,524 | ) | 192,026 | |||||||||||
JPMorgan Chase Bank, N.A. | 1,039,508 | (124,867 | ) | (914,641 | ) | — | * | |||||||||
Merrill Lynch Capital Services, Inc. | 218,314 | — | (640 | ) | 217,674 | |||||||||||
Morgan Stanley & Co. International PLC | 778,403 | — | (778,403 | ) | — | |||||||||||
Morgan Stanley Capital Services LLC | 7,922 | — | (7,922 | ) | — | |||||||||||
Morgan Stanley & Co. LLC | 169,275 | — | (57,370 | ) | 111,905 | |||||||||||
UBS AG | 138,355 | — | (138,355 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 5,231,074 | $ | (1,910,839 | ) | $ | (2,500,591 | ) | $ | 819,644 | ||||||
|
|
|
|
|
|
|
| |||||||||
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. | $ | (44,010 | ) | $ | — | $ | 44,010 | $ | — | |||||||
Barclays Bank PLC | (338,966 | ) | 79,391 | 259,575 | — | * | ||||||||||
Citibank N.A. | (128,366 | ) | — | 128,366 | — | |||||||||||
Citigroup Global Markets Inc. | (390 | ) | — | 390 | — | |||||||||||
Deutsche Bank AG | (185,863 | ) | 97,468 | 88,395 | — | * | ||||||||||
Goldman Sachs International | (82,524 | ) | — | 82,524 | — | |||||||||||
JPMorgan Chase Bank, N.A. | (914,641 | ) | — | 914,641 | — | |||||||||||
Merrill Lynch Capital Services, Inc. | (640 | ) | — | 640 | — | |||||||||||
Morgan Stanley & Co. International PLC | (781,903 | ) | 3,500 | 778,403 | — | * | ||||||||||
Morgan Stanley Capital Services LLC | (127,733 | ) | — | 7,922 | (119,811 | ) | ||||||||||
Morgan Stanley & Co. LLC | (57,370 | ) | — | 57,370 | — | |||||||||||
State Street Bank and Trust Company | (13,421 | ) | — | — | (13,421 | ) | ||||||||||
UBS AG | (177,837 | ) | — | 138,355 | (39,482 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (2,853,664 | ) | $ | 180,359 | $ | 2,500,591 | $ | (172,714 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
173 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (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. | $ | 36,342 | $ | — | $ | (20,959 | ) | $ | 15,383 | |||||||
Barclays Bank PLC | 177,609 | — | (177,609 | ) | — | |||||||||||
Brown Brothers Harriman & Co. | 30,328 | — | — | 30,328 | ||||||||||||
Citibank N.A. | 69,100 | — | (28,940 | ) | 40,160 | |||||||||||
Deutsche Bank AG | 15,380 | — | (15,380 | ) | — | |||||||||||
Goldman Sachs International | 285,625 | (56,878 | ) | (228,747 | ) | — | * | |||||||||
JPMorgan Chase Bank, N.A. | 249,830 | — | (249,830 | ) | — | |||||||||||
Morgan Stanley & Co. International PLC | 414,336 | — | (414,336 | ) | — | |||||||||||
State Street Bank and Trust Company | 177,376 | — | (43,778 | ) | 133,598 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,455,926 | $ | (56,878 | ) | $ | (1,179,579 | ) | $ | 219,469 | ||||||
|
|
|
|
|
|
|
| |||||||||
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. | $ | (20,959 | ) | $ | — | $ | 20,959 | $ | — | |||||||
Barclays Bank PLC | (214,598 | ) | 36,989 | 177,609 | — | * | ||||||||||
Citibank N.A. | (28,940 | ) | — | 28,940 | — | |||||||||||
Deutsche Bank AG | (183,570 | ) | — | 15,380 | (168,190 | ) | ||||||||||
Goldman Sachs International | (228,747 | ) | — | 228,747 | — | |||||||||||
JPMorgan Chase Bank, N.A. | (658,990 | ) | 346,892 | 249,830 | (62,268 | ) | ||||||||||
Morgan Stanley & Co. International PLC | (569,139 | ) | — | 414,336 | (154,803 | ) | ||||||||||
Morgan Stanley Capital Services LLC | (879,993 | ) | 521837 | — | (358,156 | ) | ||||||||||
State Street Bank and Trust Company | (43,778 | ) | — | 43,778 | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (2,828,714 | ) | $ | 905,718 | $ | 1,179,579 | $ | (743,417 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
174 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (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. | $ | 237,532 | $ | — | $ | (81,478 | ) | $ | 156,054 | |||||||
Barclays Bank PLC | 1,123,249 | — | (1,123,249 | ) | — | |||||||||||
Citibank N.A. | 422,330 | (130,000 | ) | (220,347 | ) | 71,983 | ||||||||||
Deutsche Bank AG | 346,875 | — | (346,875 | ) | — | |||||||||||
Goldman Sachs International | 1,104,829 | (407,435 | ) | (697,394 | ) | — | * | |||||||||
JPMorgan Chase Bank, N.A. | 2,143,963 | — | (2,143,963 | ) | — | |||||||||||
Morgan Stanley & Co. International PLC | 2,525,081 | — | (2,525,081 | ) | — | |||||||||||
Morgan Stanley & Co. LLC | 734,865 | — | — | 734,865 | ||||||||||||
State Street Bank and Trust Company | 405,143 | — | (114,471 | ) | 290,672 | |||||||||||
UBS AG | 569,731 | — | (569,731 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 9,613,598 | $ | (537,435 | ) | $ | (7,822,589 | ) | $ | 1,253,574 | ||||||
|
|
|
|
|
|
|
| |||||||||
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. | $ | (81,478 | ) | $ | — | $ | 81,478 | $ | — | |||||||
Barclays Bank PLC | (1,560,440 | ) | 437,191 | 1,123,249 | — | * | ||||||||||
Citibank N.A. | (220,347 | ) | — | 220,347 | — | |||||||||||
Credit Suisse International | (162,498 | ) | — | — | (162,498 | ) | ||||||||||
Deutsche Bank AG | (898,098 | ) | 397,876 | 346,875 | (153,347 | ) | ||||||||||
Goldman Sachs International | (697,394 | ) | — | 697,394 | — | |||||||||||
JPMorgan Chase Bank, N.A. | (4,375,277 | ) | 1,850,422 | 2,143,963 | (380,892 | ) | ||||||||||
Morgan Stanley & Co. International PLC | (3,166,242 | ) | 60,981 | 2,525,081 | (580,180 | ) | ||||||||||
Morgan Stanley Capital Services LLC | (2,187,851 | ) | 1,163,636 | — | (1,024,215 | ) | ||||||||||
State Street Bank and Trust Company | (114,471 | ) | — | 114,471 | — | |||||||||||
UBS AG | (732,874 | ) | — | 569,731 | (163,143 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (14,196,970 | ) | $ | 3,910,106 | $ | 7,822,589 | $ | (2,464,275 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
175 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (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 | $ | 20,718 | $ | — | $ | (20,718 | ) | $ | — | |||||||
Deutsche Bank AG | 229,553 | (229,553 | ) | — | — | * | ||||||||||
Goldman Sachs International | 8,643 | — | (8,643 | ) | — | |||||||||||
JPMorgan Chase Bank, N.A. | 474,814 | (229,145 | ) | (53,013 | ) | 192,656 | ||||||||||
UBS AG | 596,045 | — | (596,045 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,329,773 | $ | (458,698 | ) | $ | (678,419 | ) | $ | 192,656 | ||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative Assets/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Barclays Bank PLC | $ | (70,846 | ) | $ | 30,007 | $ | 20,718 | $ | (20,121 | ) | ||||||
Goldman Sachs International | (177,134 | ) | 168,491 | 8,643 | — | * | ||||||||||
JPMorgan Chase Bank, N.A. | (53,013 | ) | — | 53,013 | — | |||||||||||
Morgan Stanley & Co. International PLC | (22,168 | ) | — | — | (22,168 | ) | ||||||||||
State Street Bank and Trust Company | (24,400 | ) | 24,400 | — | — | * | ||||||||||
UBS AG | (675,114 | ) | — | 596,045 | (79,069 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (1,022,675 | ) | $ | 222,898 | $ | 678,419 | $ | (121,358 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
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 | ||||||||||||
Goldman Sachs International | $ | 14,631 | $ | — | $ | (14,631 | ) | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 14,631 | $ | — | $ | (14,631 | ) | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Derivative Liabilities Subject to Master Agreements | Collateral Pledged | Derivative Assets/Liabilities Available for Offset | Net Amount of Derivative Liabilities | ||||||||||||
Goldman Sachs International | $ | (31,790 | ) | $ | — | $ | 14,631 | $ | (17,159 | ) | ||||||
Morgan Stanley Capital Services LLC | (130,629 | ) | — | — | (130,629 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (162,419 | ) | $ | — | $ | 14,631 | $ | (147,788 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
* | The actual collateral received and/or pledged is more than the amount shown. |
176 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (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, 2021:
Fund Name | Forward Currency Contracts ($) | Futures Contracts ($) | Options (Principal) | Options (Contracts) | Swap Contracts ($) | |||||||||||||||
Consolidated Alternative Allocation Fund | 697,718,477 | 218,003,037 | 31,570,833 | 466 | 2,063,793,769 | |||||||||||||||
Benchmark-Free Fund | 553,477,541 | 485,664,510 | — | — | 1,125,048,081 | |||||||||||||||
Consolidated Implementation Fund | 2,691,640,547 | 1,911,108,073 | — | 1,598 | 6,826,514,478 | |||||||||||||||
Consolidated SGM Major Markets Fund | 281,994,425 | 676,974,712 | — | — | 51,172,721 | |||||||||||||||
Strategic Opportunities Allocation Fund | — | — | — | — | 7,496,928 |
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 | Strategic Opportunities Allocation Fund | ||||||||||||||||||
Management Fee | 0.73% | 0.65% | — | — | — | — | — | — | — | 0.85% | — |
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, 2021 (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% |
* | Class is offered but has no shareholders as of August 31,2021. |
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, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below).
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 for the benefit 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 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 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 each Fund, other than Benchmark-Free Allocation Fund, that pays GMO a management fee, GMO has contractually agreed to waive or reduce that fee, but not below zero, to the extent necessary to offset the management fees paid to GMO that are directly or indirectly borne by the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
For each Fund, other than Benchmark-Free Allocation Fund, that charges a shareholder service fee, GMO has contractually agreed to waive or reduce the shareholder service fee charged to holders of each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly borne by the class of shares of the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.
These contractual waivers and reimbursements will continue through at least June 30, 2022 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
178 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
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, 2022, 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 for the benefit of 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 for the benefit of 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 will be made by GMO out of its own resources and will not be an additional charge to a Fund or the holders of Class I shares. Any such payments will 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, 2021 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 | 7,692 | 676 | ||||||
Benchmark-Free Allocation Fund | 119,685 | 12,540 | ||||||
Benchmark-Free Fund | 39,465 | 4,082 | ||||||
Global Asset Allocation Fund | 18,534 | 1,816 | ||||||
Global Developed Equity Allocation Fund | 1,445 | 156 | ||||||
Global Equity Allocation Fund | 28,127 | 2,839 | ||||||
Consolidated Implementation Fund | 105,381 | 10,922 | ||||||
International Developed Equity Allocation Fund | 4,030 | 453 | ||||||
International Equity Allocation Fund | 14,124 | 1,459 | ||||||
Consolidated SGM Major Markets Fund | 6,416 | 840 | ||||||
Strategic Opportunities Allocation Fund | 10,502 | 999 |
179 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2021, 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 | |||
Consolidated Alternative Allocation Fund | 0.034% | |||
Benchmark-Free Allocation Fund | 0.421% | * | ||
Benchmark-Free Fund | 0.093% | |||
Global Asset Allocation Fund | 0.714% | * | ||
Global Developed Equity Allocation Fund | 0.518% | |||
Global Equity Allocation Fund | 0.563% | |||
International Developed Equity Allocation Fund | 0.608% | |||
International Equity Allocation Fund | 0.653% | |||
Strategic Opportunities Allocation Fund | 0.341% |
* | 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, 2021, 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, 2021 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 | 62,285,723 | 512,667,224 | 85,022,466 | 596,198,541 | ||||||||||||
Benchmark-Free Allocation Fund | — | 129,822,576 | — | 688,856,345 | ||||||||||||
Benchmark-Free Fund | 205,930,786 | 847,339,680 | 166,610,438 | 959,692,202 | ||||||||||||
Global Asset Allocation Fund | — | 110,904,998 | — | 377,293,412 | ||||||||||||
Global Developed Equity Allocation Fund | — | 4,644,486 | — | 1,367,000 | ||||||||||||
Global Equity Allocation Fund | — | 111,517,403 | — | 157,913,875 | ||||||||||||
Consolidated Implementation Fund | 684,746,767 | 3,136,428,128 | 682,220,691 | 3,467,381,439 | ||||||||||||
International Developed Equity Allocation Fund | — | 19,783,343 | — | 7,108,650 | ||||||||||||
International Equity Allocation Fund | — | 45,647,542 | — | 105,758,585 | ||||||||||||
Consolidated SGM Major Markets Fund | 179,920,868 | — | 159,212,769 | — | ||||||||||||
Strategic Opportunities Allocation Fund | — | 174,826,714 | — | 362,222,599 |
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
180 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
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 as of August 31, 2021 |
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 | ||||||
Alternative Allocation Fund | 3 | ‡ | 80.44% | |||||
Benchmark-Free Allocation Fund | 1 | 25.95% | ||||||
Benchmark-Free Fund | 1 | 11.68% | ||||||
Global Asset Allocation Fund | 2 | 28.93% | ||||||
Global Developed Equity Allocation Fund | 2 | 82.86% | ||||||
Global Equity Allocation Fund | 3 | 65.13% | ||||||
Implementation Fund | 1 | ‡ | 100.00% | |||||
International Developed Equity Allocation Fund | 2 | 95.33% | ||||||
International Equity Allocation Fund | 4 | 75.74% | ||||||
SGM Major Markets Fund | 2 | # | 75.41% | |||||
Strategic Opportunities Allocation Fund | 3 | 67.68% |
‡ | 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, 2021 (Unaudited) | Year Ended February 28, 2021 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Alternative Allocation Fund | ||||||||||||||||
Class VI: |
| |||||||||||||||
Shares sold | 277,596 | $ | 5,293,898 | 6,069,438 | $ | 120,301,372 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 305,399 | 5,640,719 | 277,343 | 5,356,980 | ||||||||||||
Shares repurchased | (3,495,544 | ) | (67,191,020 | ) | (4,536,437 | ) | (87,729,228 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,912,549 | ) | $ | (56,256,403 | ) | 1,810,344 | $ | 37,929,124 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6:(a) |
| |||||||||||||||
Shares sold | 1,034 | $ | 19,741 | 26,831 | $ | 519,188 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 823 | 15,158 | 516 | 9,953 | ||||||||||||
Shares repurchased | (26,894 | ) | (498,348 | ) | (2,114 | ) | (41,558 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (25,037 | ) | $ | (463,449 | ) | 25,233 | $ | 487,583 | ||||||||
|
|
|
|
|
|
|
| |||||||||
181 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Alternative Allocation Fund (Continued) | ||||||||||||||||
Class I: |
| |||||||||||||||
Shares sold | 4,304,838 | $ | 81,361,671 | 15,492,543 | $ | 298,991,109 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 162,345 | 2,992,023 | 80,844 | 1,560,033 | ||||||||||||
Shares repurchased | (9,292,745 | ) | (179,445,136 | ) | (3,178,089 | ) | (60,932,252 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (4,825,562 | ) | $ | (95,091,442 | ) | 12,395,298 | $ | 239,618,890 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Benchmark-Free Allocation Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 1,638,541 | $ | 44,228,354 | 3,785,990 | $ | 92,615,446 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 4,019,280 | 100,605,473 | ||||||||||||
Shares repurchased | (19,502,299 | ) | (521,099,041 | ) | (52,416,850 | ) | (1,279,526,091 | ) | ||||||||
Shares repurchased in connection with reorganization(b) | — | — | (17,852,866 | ) | (463,472,079 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (17,863,758 | ) | $ | (476,870,687 | ) | (62,464,446 | ) | $ | (1,549,777,251 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class IV: |
| |||||||||||||||
Shares sold | 6,864,690 | $ | 183,783,076 | 4,395,247 | $ | 107,395,880 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 2,254,813 | 56,425,045 | ||||||||||||
Shares repurchased | (2,915,903 | ) | (77,947,991 | ) | (12,628,848 | ) | (307,840,416 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 3,948,787 | $ | 105,835,085 | (5,978,788 | ) | $ | (144,019,491 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class MF: |
| |||||||||||||||
Shares sold | 661,053 | $ | 17,581,904 | 863,586 | $ | 22,063,346 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 2,769,815 | 69,378,466 | ||||||||||||
Shares repurchased | (6,655,265 | ) | (178,265,466 | ) | (48,245,572 | ) | (1,184,044,972 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (5,994,212 | ) | $ | (160,683,562 | ) | (44,612,171 | ) | $ | (1,092,603,160 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R6:(c) |
| |||||||||||||||
Shares sold | 1,356,856 | $ | 36,281,295 | 2,363,878 | $ | 59,336,390 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 59,411 | 1,488,297 | ||||||||||||
Shares issued to shareholders in connection with reorganization(b) | — | — | 9,884,492 | 256,421,515 | ||||||||||||
Shares repurchased | (2,586,547 | ) | (69,170,264 | ) | (334,848 | ) | (8,558,317 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,229,691 | ) | $ | (32,888,969 | ) | 11,972,933 | $ | 308,687,885 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I: |
| |||||||||||||||
Shares sold | 1,784,947 | $ | 47,749,321 | 3,200,275 | $ | 79,569,402 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 159,203 | 3,981,436 | ||||||||||||
Shares issued to shareholders in connection with reorganization(b) | — | — | 8,138,329 | 211,141,897 | ||||||||||||
Shares repurchased | (1,276,021 | ) | (33,968,452 | ) | (2,838,085 | ) | (72,184,369 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 508,926 | $ | 13,780,869 | 8,659,722 | $ | 222,508,366 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Benchmark-Free Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | — | $ | — | 3,380,765 | $ | 56,376,837 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 246,565 | 4,914,048 | 3,731,306 | 69,942,505 | ||||||||||||
Shares repurchased | (7,963,291 | ) | (160,295,580 | ) | (33,134,537 | ) | (610,768,662 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (7,716,726 | ) | $ | (155,381,532 | ) | (26,022,466 | ) | $ | (484,449,320 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
182 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Global Asset Allocation Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 580,347 | $ | 21,297,722 | 1,216,073 | $ | 38,212,261 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 102,177 | 3,726,410 | 976,697 | 32,629,383 | ||||||||||||
Shares repurchased | (3,847,731 | ) | (138,467,094 | ) | (26,333,561 | ) | (848,073,134 | ) | ||||||||
Shares repurchased in connection with reorganization(b) | — | — | (4,904,836 | ) | (173,115,488 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (3,165,207 | ) | $ | (113,442,962 | ) | (29,045,627 | ) | $ | (950,346,978 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R6:(d) |
| |||||||||||||||
Shares sold | 69,585 | $ | 2,504,577 | 609,510 | $ | 20,452,550 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 2,613 | 95,251 | 15,573 | 521,472 | ||||||||||||
Shares issued to shareholders in connection with reorganization | — | — | 4,380,291 | 154,608,023 | ||||||||||||
Shares repurchased(b) | (4,438,297 | ) | (161,550,476 | ) | (332,593 | ) | (11,069,669 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (4,366,099 | ) | $ | (158,950,648 | ) | 4,672,781 | $ | 164,512,376 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I:(e) |
| |||||||||||||||
Shares sold | 35,550 | $ | 1,307,564 | 75,778 | $ | 2,667,247 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 2,482 | 90,510 | — | — | ||||||||||||
Shares issued to shareholders in connection with reorganization(b) | — | — | 554,741 | 19,578,025 | ||||||||||||
Shares repurchased | (255,074 | ) | (9,261,538 | ) | (43,576 | ) | (1,539,670 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (217,042 | ) | $ | (7,863,464 | ) | 586,943 | $ | 20,705,602 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global Developed Equity Allocation Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | — | $ | — | 219,276 | $ | 5,622,223 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 35,607 | 1,004,489 | 85,417 | 2,073,187 | ||||||||||||
Shares repurchased | — | — | (403,077 | ) | (8,282,753 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 35,607 | $ | 1,004,489 | (98,384 | ) | $ | (587,343 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global Equity Allocation Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 1,623 | $ | 50,000 | 1,378,390 | $ | 33,559,963 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 59,646 | 1,939,106 | 1,927,822 | 54,272,843 | ||||||||||||
Shares repurchased | (2,897,803 | ) | (93,136,714 | ) | (8,268,761 | ) | (223,473,248 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,836,534 | ) | $ | (91,147,608 | ) | (4,962,549 | ) | $ | (135,640,442 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R6:(f) |
| |||||||||||||||
Shares sold | 17,993 | $ | 581,453 | 246,021 | $ | 6,259,686 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 278 | 9,052 | 8,041 | 227,894 | ||||||||||||
Shares repurchased | (15,489 | ) | (509,958 | ) | (27,387 | ) | (732,104 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,782 | $ | 80,547 | 226,675 | $ | 5,755,476 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I:(g) |
| |||||||||||||||
Shares sold | 8,167 | $ | 262,198 | 72,846 | $ | 1,917,462 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 66 | 2,140 | 2,267 | 64,254 | ||||||||||||
Shares repurchased | (2,517 | ) | (82,279 | ) | (458 | ) | (12,411 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 5,716 | $ | 182,059 | 74,655 | $ | 1,969,305 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
183 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Implementation Fund | ||||||||||||||||
Core Class: |
| |||||||||||||||
Shares sold | 8,605,461 | $ | 113,906,329 | 86,220,208 | $ | 1,048,235,578 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 10,748,813 | 132,218,180 | ||||||||||||
Shares repurchased | (48,895,510 | ) | (642,314,044 | ) | (185,451,038 | ) | (2,225,658,576 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (40,290,049 | ) | $ | (528,407,715 | ) | (88,482,017 | ) | $ | (1,045,204,818 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
International Developed Equity Allocation Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 663,605 | $ | 12,080,896 | 2,334,558 | $ | 33,800,999 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 16,481 | 304,561 | 386,519 | 6,277,230 | ||||||||||||
Shares repurchased | (216,131 | ) | (3,940,476 | ) | (9,909,526 | ) | (144,296,950 | ) | ||||||||
Shares repurchased in connection with reorganization(b) | — | — | (487,958 | ) | (8,333,525 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 463,955 | $ | 8,444,981 | (7,676,407 | ) | $ | (112,552,246 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6:(h) |
| |||||||||||||||
Shares sold | 27,059 | $ | 495,016 | 6,577 | $ | 112,468 | ||||||||||
$Shares issued to shareholders in reinvestment of distributions | 1,063 | 19,636 | — | — | ||||||||||||
Shares issued to shareholders in connection with reorganization(b) | — | — | 492,914 | 8,418,168 | ||||||||||||
Shares repurchased | (16,181 | ) | (294,295 | ) | (12,445 | ) | (212,488 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 11,941 | $ | 220,357 | 487,046 | $ | 8,318,148 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Allocation Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 156,678 | $ | 5,258,094 | 165,164 | $ | 4,658,164 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 49,139 | 1,689,410 | 767,681 | 23,461,457 | ||||||||||||
Shares repurchased | (2,087,363 | ) | (70,117,950 | ) | (5,584,470 | ) | (137,383,719 | ) | ||||||||
Shares repurchased in connection with reorganization(b) | — | — | (376,439 | ) | (12,333,032 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,881,546 | ) | $ | (63,170,446 | ) | (5,028,064 | ) | $ | (121,597,130 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R6: |
| |||||||||||||||
Shares sold | 87,986 | $ | 2,998,171 | 315,758 | $ | 7,840,712 | ||||||||||
$Shares issued to shareholders in reinvestment of distributions | 23,427 | 805,193 | 331,970 | 10,144,475 | ||||||||||||
Shares issued to shareholders in connection with reorganization(b) | — | — | 380,466 | 12,461,474 | ||||||||||||
Shares repurchased | (297,516 | ) | (9,881,413 | ) | (551,315 | ) | (17,409,367 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (186,103 | ) | $ | (6,078,049 | ) | 476,879 | $ | 13,037,294 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SGM Major Markets Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 217,692 | $ | 6,755,873 | 384,363 | $ | 12,641,912 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,047 | 31,210 | 515 | 16,796 | ||||||||||||
Shares repurchased | (131,252 | ) | (3,992,349 | ) | (40,476 | ) | (1,320,080 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 87,487 | $ | 2,794,734 | 344,402 | $ | 11,338,628 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class VI: |
| |||||||||||||||
Shares sold | 1,951,297 | $ | 61,018,485 | 3,231,526 | $ | 104,242,857 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 653,512 | 19,455,064 | 200,949 | 6,549,429 | ||||||||||||
Shares repurchased | (3,651,293 | ) | (109,015,660 | ) | (20,403,300 | ) | (653,236,278 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,046,484 | ) | $ | (28,542,111 | ) | (16,970,825 | ) | $ | (542,443,992 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
184 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Six Months Ended August 31, 2021 (Unaudited) | Year Ended February 28, 2021 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
SGM Major Markets Fund (continued) | ||||||||||||||||
Class I:(i) |
| |||||||||||||||
Shares sold | 478,528 | $ | 14,804,711 | 438,717 | $ | 14,414,202 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 32,794 | 976,620 | 2,797 | 91,322 | ||||||||||||
Shares repurchased | (50,254 | ) | (1,556,442 | ) | (9,697 | ) | (316,848 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 461,068 | $ | 14,224,889 | 431,817 | $ | 14,188,676 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Opportunities Allocation Fund | ||||||||||||||||
Class III: |
| |||||||||||||||
Shares sold | 221,141 | $ | 5,000,000 | 1,900,987 | $ | 32,587,762 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 311,379 | 6,938,059 | 1,193,465 | 23,704,892 | ||||||||||||
Shares repurchased | (10,888,667 | ) | (243,484,935 | ) | (16,950,871 | ) | (322,809,952 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (10,356,147 | ) | $ | (231,546,876 | ) | (13,856,419 | ) | $ | (266,517,298 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
(a) | The period under the heading “Year Ended February 28, 2021” represents the period from July 31, 2020 (commencement of operations) through February 28, 2021. |
(b) | A plan of reorganization was completed on January 22, 2021. |
(c) | The period under the heading “Year Ended February 28, 2021” represents the period from May 1, 2020 (commencement of operations) through February 28, 2021. |
(d) | The period under the heading “Year Ended February 28, 2021” represents the period from September 30, 2019 (commencement of operations) through February 29, 2020. |
(e) | The period under the heading “Year Ended February 28, 2021” represents the period from January 6, 2021 (commencement of operations) through February 28, 2021. |
(f) | The period under the heading “Year Ended February 28, 2021 “represents the period from July 15, 2020 (commencement of operations) through February 28, 2021. |
(g) | The period under the heading “Year Ended February 28, 2021 “represents the period from August 17, 2020 (commencement of operations) through February 28, 2021. |
(h) | The period under the heading “Year Ended February 28, 2021” represents the period from January 22, 2021 (commencement of operations) through February 28, 2021. |
(i) | The period under the heading “Year Ended February 28, 2021” represents the period from September 23, 2020 (commencement of operations) through February 28, 2021. |
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, 2021 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 | $ | 29,192,704 | $ | — | $ | 17,240,000 | $ | 40,947 | $ | — | $ | 2,580,654 | $ | (1,959,720 | ) | $ | 12,573,638 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
| |||||||||||||||||
185 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (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 | ||||||||||||||||||||||||
Benchmark-Free Allocation Fund |
| |||||||||||||||||||||||||||||||
GMO Emerging Country Debt Fund, Class IV | $ | 161,366,088 | $ | 4,512,052 | $ | 174,494,031 | $ | 1,856,950 | $ | 2,655,102 | $ | (136,976 | ) | $ | 8,752,867 | $ | — | |||||||||||||||
GMO Emerging Country Debt Fund, Class VI | — | 172,094,031 | 12,000,000 | — | — | (544,633 | ) | (3,398,048 | ) | 156,151,350 | ||||||||||||||||||||||
GMO Implementation Fund | 5,968,168,051 | 113,906,328 | 642,314,044 | — | — | (17,711,135 | ) | 146,142,779 | 5,568,191,979 | |||||||||||||||||||||||
GMO Opportunistic Income Fund, Class VI | 237,695,110 | 948,914 | 24,915,678 | 948,914 | — | 523,246 | 865,711 | 215,117,303 | ||||||||||||||||||||||||
GMO SGM Major Markets Fund, Class VI | 176,393,296 | 10,455,282 | 7,226,623 | 3,998,726 | 6,456,556 | (1,034,678 | ) | (11,470,650 | ) | 167,116,627 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Totals | $ | 6,543,622,545 | $ | 301,916,607 | $ | 860,950,376 | $ | 6,804,590 | $ | 9,111,658 | $ | (18,904,176 | ) | $ | 140,892,659 | $ | 6,106,577,259 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Benchmark-Free Fund |
| |||||||||||||||||||||||||||||||
GMO Emerging Country Debt Fund, Class IV | $ | 68,079,210 | $ | 1,931,848 | $ | 73,642,006 | $ | 795,058 | $ | 1,136,790 | $ | — | $ | 3,630,948 | $ | — | ||||||||||||||||
GMO Emerging Country Debt Fund, Class VI | — | 73,642,006 | 5,300,000 | — | — | 204,079 | (1,851,610 | ) | 66,694,475 | |||||||||||||||||||||||
GMO Emerging Markets Fund, Class VI | 73,462,563 | 242,521 | — | 242,521 | — | — | 1,007,778 | 74,712,862 | ||||||||||||||||||||||||
GMO Opportunistic Income Fund, Class VI | 95,150,641 | 11,654,333 | — | 454,333 | — | — | 650,026 | 107,455,000 | ||||||||||||||||||||||||
GMO SGM Major Markets Fund, Class VI | 53,275,871 | 24,347,706 | — | 1,662,823 | 2,684,883 | — | (5,149,079 | ) | 72,474,498 | |||||||||||||||||||||||
GMO U.S. Treasury Fund | 15,629,132 | 69,699,579 | 79,943,287 | 3,450 | ** | — | 5,787 | 792 | 5,392,003 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Totals | $ | 305,597,417 | $ | 181,517,993 | $ | 158,885,293 | $ | 3,158,185 | $ | 3,821,673 | $ | 209,866 | $ | (1,711,145 | ) | $ | 326,728,838 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Global Asset Allocation Fund |
| |||||||||||||||||||||||||||||||
GMO Alternative Allocation Fund, Class VI | $ | 178,571,877 | $ | 8,202,742 | $ | 53,786,020 | $ | — | $ | 4,192,845 | $ | (1,747,470 | ) | $ | (3,583,105 | ) | $ | 127,658,024 | ||||||||||||||
GMO Asset Allocation Bond Fund, Class VI | 58,588,962 | 15,117,924 | 36,107,738 | — | — | 2,221,562 | (706,037 | ) | 39,114,673 | |||||||||||||||||||||||
GMO Emerging Country Debt Fund, Class IV | 26,636,433 | 557,358 | 29,196,240 | 229,383 | 327,975 | (428,933 | ) | 2,431,382 | — | |||||||||||||||||||||||
GMO Emerging Country Debt Fund, Class VI | — | 22,196,240 | | — | | — | — | — | (1,425,103 | ) | 20,771,137 | |||||||||||||||||||||
GMO Emerging Markets Fund, Class VI | 175,044,536 | 3,641,162 | 63,464,828 | 407,792 | — | 7,355,477 | (4,698,983 | ) | 117,877,364 | |||||||||||||||||||||||
GMO International Equity Fund, Class IV | 143,733,654 | 15,333,994 | 53,606,134 | 1,916,915 | — | 5,518,298 | 5,292,327 | 116,272,139 | ||||||||||||||||||||||||
GMO-Usonian Japan Value Creation Fund, Class VI | 35,718,441 | 2,366,688 | 11,406,000 | 910,021 | 842,505 | 2,121,103 | (2,288,666 | ) | 26,511,566 | |||||||||||||||||||||||
GMO Multi-Sector Fixed Income Fund, Class IV | 49,437,917 | 31,917,803 | 22,632,203 | — | 1,638,831 | (140,358 | ) | 98,508 | 58,681,667 | |||||||||||||||||||||||
GMO Opportunistic Income Fund, Class VI | 26,706,075 | 83,369 | 7,448,346 | 83,369 | — | (68,492 | ) | 196,680 | 19,469,286 | |||||||||||||||||||||||
GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund), Class VI | 26,821,332 | 1,999,803 | 9,200,000 | 220,945 | 1,778,858 | 3,366,138 | (3,124,829 | ) | 19,862,444 | |||||||||||||||||||||||
GMO Quality Fund, Class VI | 18,091,344 | 366,983 | 7,585,000 | 26,360 | 226,459 | 1,839,291 | 764,229 | 13,476,847 | ||||||||||||||||||||||||
GMO U.S. Equity Fund, Class VI | 73,489,034 | 4,502,869 | 31,312,154 | 160,235 | 3,161,757 | 2,196,762 | 5,549,266 | 54,425,777 | ||||||||||||||||||||||||
GMO U.S. Small Cap Value Fund, Class VI | 58,149,527 | 4,313,247 | 26,535,270 | 83,054 | 2,368,425 | 7,218,064 | (3,515,694 | ) | 39,629,874 | |||||||||||||||||||||||
GMO U.S. Treasury Fund | 24,707,179 | 22,501,057 | 47,206,179 | 1,892 | 1 | — | — | 2,057 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Totals | $ | 895,696,311 | $ | 133,101,239 | $ | 399,486,112 | $ | 4,039,966 | $ | 14,537,656 | $ | 29,451,442 | $ | (5,010,025 | ) | $ | 653,752,855 | |||||||||||||||
|
|
|
|
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|
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|
|
|
|
| |||||||||||||||||
186 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (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 Developed Equity Allocation Fund |
| |||||||||||||||||||||||||||||||
GMO Emerging Markets Fund, Class VI | $ | 8,499,013 | $ | 647,343 | $ | — | $ | 29,866 | $ | — | $ | — | $ | 111,322 | $ | 9,257,678 | ||||||||||||||||
GMO International Equity Fund, Class IV | 37,111,417 | 1,328,757 | — | 728,758 | — | — | 3,115,610 | 41,555,784 | ||||||||||||||||||||||||
GMO-Usonian Japan Value Creation Fund, Class VI | 3,494,510 | 275,804 | — | 125,025 | 115,749 | — | (92,755 | ) | 3,677,559 | |||||||||||||||||||||||
GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund), Class VI | 4,589,809 | 500,347 | — | 55,280 | 445,066 | — | (120,618 | ) | 4,969,538 | |||||||||||||||||||||||
GMO Quality Fund, Class VI | 10,925,424 | 238,778 | 95,000 | 24,895 | 213,883 | 27,495 | 1,899,363 | 12,996,060 | ||||||||||||||||||||||||
GMO U.S. Equity Fund, Class VI | 14,166,705 | 999,623 | 112,000 | 48,217 | 951,406 | 14,404 | 1,611,772 | 16,680,504 | ||||||||||||||||||||||||
GMO U.S. Small Cap Value Fund, Class VI | 9,343,101 | 653,834 | 1,160,000 | 19,130 | 545,520 | 338,487 | 128,085 | 9,303,507 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Totals | $ | 88,129,979 | $ | 4,644,486 | $ | 1,367,000 | $ | 1,031,171 | $ | 2,271,624 | $ | 380,386 | $ | 6,652,779 | $ | 98,440,630 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Global Equity Allocation Fund |
| |||||||||||||||||||||||||||||||
GMO Emerging Markets Fund, Class VI | $ | 451,468,804 | $ | 8,472,980 | $ | 42,679,854 | $ | 1,472,979 | $ | — | $ | 8,675,295 | $ | (2,288,356 | ) | $ | 423,648,869 | |||||||||||||||
GMO International Equity Fund, Class IV | 546,831,021 | 49,258,148 | 35,373,535 | 10,128,388 | — | 4,446,639 | 41,176,322 | 606,338,595 | ||||||||||||||||||||||||
GMO-Usonian Japan Value Creation Fund, Class VI | 65,011,818 | 4,479,361 | — | 2,325,966 | 2,153,395 | — | (1,729,067 | ) | 67,762,112 | |||||||||||||||||||||||
GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund), Class VI | 81,133,477 | 8,844,554 | — | 977,175 | 7,867,379 | — | (2,132,142 | ) | 87,845,889 | |||||||||||||||||||||||
GMO Quality Fund, Class VI | 220,601,446 | 13,081,254 | 36,968,481 | 477,651 | 4,103,602 | 10,206,919 | 28,244,599 | 235,165,737 | ||||||||||||||||||||||||
GMO U.S. Equity Fund, Class VI | 104,407,865 | 16,807,034 | 14,570,639 | 322,170 | 6,357,036 | 2,029,422 | 9,848,583 | 118,522,265 | ||||||||||||||||||||||||
GMO U.S. Small Cap Value Fund, Class VI | 177,879,688 | 10,574,072 | 28,321,366 | 353,846 | 10,090,445 | 8,160,413 | 1,014,076 | 169,306,883 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Totals | $ | 1,647,334,119 | $ | 111,517,403 | $ | 157,913,875 | $ | 16,058,175 | $ | 30,571,857 | $ | 33,518,688 | $ | 74,134,015 | $ | 1,708,590,350 | ||||||||||||||||
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|
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|
|
|
|
| |||||||||||||||||
Consolidated Implementation Fund |
| |||||||||||||||||||||||||||||||
GMO U.S. Treasury Fund | $ | 35,272,723 | $ | 150,927,266 | $ | 174,623,250 | $ | — | ** | $ | — | $ | 4,075 | $ | 15,738 | $ | 11,596,552 | |||||||||||||||
|
|
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|
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||
International Developed Equity Allocation Fund |
| |||||||||||||||||||||||||||||||
GMO Emerging Markets Fund, Class VI | $ | 22,008,788 | $ | 3,310,845 | $ | 5,977,971 | $ | 80,440 | $ | — | $ | 365,002 | $ | (64,405 | ) | $ | 19,642,259 | |||||||||||||||
GMO International Equity Fund, Class IV | 194,337,465 | 14,919,501 | 1,130,679 | 3,782,091 | — | 82,367 | 16,105,177 | 224,313,831 | ||||||||||||||||||||||||
GMO-Usonian Japan Value Creation Fund, Class VI | 8,953,179 | 1,552,997 | — | 349,460 | 323,532 | — | (295,596 | ) | 10,210,580 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Totals | $ | 225,299,432 | $ | 19,783,343 | $ | 7,108,650 | $ | 4,211,991 | $ | 323,532 | $ | 447,369 | $ | 15,745,176 | $ | 254,166,670 | ||||||||||||||||
|
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|
|
|
|
|
|
| |||||||||||||||||
International Equity Allocation Fund |
| |||||||||||||||||||||||||||||||
GMO Emerging Markets Fund, Class VI | $ | 354,876,079 | $ | 9,423,453 | $ | 51,809,922 | $ | 1,085,850 | $ | — | $ | 10,736,491 | $ | (5,642,617 | ) | $ | 317,583,484 | |||||||||||||||
GMO International Equity Fund, Class IV | 470,885,277 | 33,833,722 | 50,948,663 | 8,360,163 | — | (1,468,223 | ) | 39,043,047 | 491,345,160 | |||||||||||||||||||||||
GMO-Usonian Japan Value Creation Fund, Class VI | 35,577,814 | 2,390,366 | 3,000,000 | 1,172,145 | 1,085,180 | 572,816 | (1,292,928 | ) | 34,248,068 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Totals | $ | 861,339,170 | $ | 45,647,541 | $ | 105,758,585 | $ | 10,618,158 | $ | 1,085,180 | $ | 9,841,084 | $ | 32,107,502 | $ | 843,176,712 | ||||||||||||||||
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| |||||||||||||||||
187 |
GMO Trust Funds
Notes to Financial Statements — (Continued)
August 31, 2021 (Unaudited)
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income* | Distributions of Realized Gains* | Net Realized Gain (Loss) | Net Increase/ Decrease in Unrealized Appreciation/ Depreciation | Value, end of period | ||||||||||||||||||||||||
Strategic Opportunities Allocation Fund |
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GMO Emerging Country Debt Fund, Class IV | $ | 19,111,645 | $ | 356,555 | $ | 19,908,093 | $ | 146,741 | $ | 209,814 | $ | (739,750 | ) | $ | 1,179,643 | $ | — | |||||||||||||||
GMO Emerging Country Debt Fund, Class VI | — | 13,408,093 | 700,000 | — | — | (56,385 | ) | (63,900 | ) | 12,587,808 | ||||||||||||||||||||||
GMO Emerging Markets Fund, Class VI | 132,412,873 | 289,741 | 55,450,000 | 289,741 | — | 6,118,014 | (4,429,025 | ) | 78,941,603 | |||||||||||||||||||||||
GMO International Equity Fund, Class IV | 68,841,799 | 8,844,225 | 27,500,000 | 844,225 | — | 2,666,929 | 2,222,757 | 55,075,710 | ||||||||||||||||||||||||
GMO Opportunistic Income Fund, Class VI | 16,234,952 | 45,158 | 6,305,000 | 45,158 | — | 223,211 | (157,832 | ) | 10,040,489 | |||||||||||||||||||||||
GMO Quality Fund, Class VI | 31,416,895 | 412,831 | 15,960,000 | 43,044 | 369,787 | 2,956,241 | 1,215,270 | 20,041,237 | ||||||||||||||||||||||||
GMO U.S. Equity Fund, Class VI | 29,319,352 | 1,333,102 | 13,700,000 | 64,302 | 1,268,800 | 982,045 | 2,038,834 | 19,973,333 | ||||||||||||||||||||||||
GMO U.S. Small Cap Value Fund, Class VI | 41,144,715 | 1,625,477 | 18,600,000 | 55,070 | 1,570,407 | 4,825,863 | (2,478,744 | ) | 26,517,311 | |||||||||||||||||||||||
GMO U.S. Treasury Fund | 2,500,173 | 50,113,864 | 50,617,173 | 1,906 | 2,580 | (10,695 | ) | — | 1,986,169 | |||||||||||||||||||||||
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Totals | $ | 340,982,404 | $ | 76,429,046 | $ | 208,740,266 | $ | 1,490,187 | $ | 3,421,388 | $ | 16,965,473 | $ | (472,997 | ) | $ | 225,163,660 | |||||||||||||||
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* | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2021 through August 31, 2021. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2022. |
** | 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 $76,990 and $159,916 in Benchmark-Free Fund and Consolidated Implementation Fund, respectively, during the period. |
11. | Subsequent events |
Effective October 1, 2021, John Thorndike has been added as a portfolio manager of GMO Alternative Allocation Fund.
Subsequent to August 31, 2021, GMO Strategic Opportunities Allocation Fund received notification from shareholders of their intent to redeem approximately 26% of the Fund at the end of October.
188 |
GMO Trust Funds
Board Review of Investment Management Agreement
August 31, 2021 (Unaudited)
GMO Alternative Allocation Fund
Approval of renewal of management agreement for GMO Alternative Allocation Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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 and others at and apart from Board meetings. 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 13, 2021, 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 asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 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 managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those of the Fund would 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 expenses and its expense ratio (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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
The Trustees also considered 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 discussed the advantages and disadvantages of various ways of 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 it receives from the Fund the management fees, shareholder servicing fees and most other expenses borne by those other funds.
The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered whether 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 in the last
189 |
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2021 (Unaudited)
few years. In addition, the Trustees 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 aspects of GMO’s business relevant to 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 that Trustee 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 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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 and others at and apart from Board meetings. 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 13, 2021, 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 asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 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 managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those of the Fund would 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 expenses and its expense ratio (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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
190 |
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2021 (Unaudited)
The Trustees also considered 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 discussed the advantages and disadvantages of various ways of 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 it receives from the Fund the management fees, shareholder servicing fees and most other expenses borne by those other funds.
The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered whether 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 in the last few years. In addition, the Trustees 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 aspects of GMO’s business relevant to 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 that Trustee 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 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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 and others at and apart from Board meetings. 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 13, 2021, 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 asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 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 managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those of the Fund would 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 expenses and its expense ratio (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
191 |
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2021 (Unaudited)
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 to the Fund and that the Fund does not directly bear any shareholder servicing and supplemental support fees as a result of fee waivers, instead bearing those fees indirectly as a result of the 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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
The Trustees also considered 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 discussed the advantages and disadvantages of various ways of 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 whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.
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 in the last few years. In addition, the Trustees 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 aspects of GMO’s business relevant to 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 that Trustee 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 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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 and others at and apart from Board meetings. 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 13, 2021, 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 asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.
192 |
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2021 (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 managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those of the Fund would 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 expenses and its expense ratio (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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
The Trustees also considered 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 discussed the advantages and disadvantages of various ways of 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 whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.
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 in the last few years. In addition, the Trustees 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 aspects of GMO’s business relevant to 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 that Trustee 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 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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 and others at and apart from Board meetings. In deciding whether to approve the
193 |
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2021 (Unaudited)
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 13, 2021, 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 asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 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 managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those of the Fund would 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 expenses and its expense ratio (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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
The Trustees also considered 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 discussed the advantages and disadvantages of various ways of 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 whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.
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 in the last few years. In addition, the Trustees 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 aspects of GMO’s business relevant to 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 that Trustee 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.
194 |
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2021 (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 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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 and others at and apart from Board meetings. 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 13, 2021, 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 asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 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 managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those of the Fund would 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 expenses and its expense ratio (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 other pooled investment vehicle with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund and to that other vehicle. 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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
The Trustees also considered 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 discussed the advantages and disadvantages of various ways of 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 whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.
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 in the last
195 |
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2021 (Unaudited)
few years. In addition, the Trustees 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 aspects of GMO’s business relevant to 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 that Trustee 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 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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 and others at and apart from Board meetings. 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 13, 2021, 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 asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 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 managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those of the Fund would 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 expenses and its expense ratio (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 account with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund and to that account. 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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
196 |
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2021 (Unaudited)
The Trustees also considered 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 discussed the advantages and disadvantages of various ways of 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 whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.
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 in the last few years. In addition, the Trustees 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 aspects of GMO’s business relevant to 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 that Trustee 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 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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 and others at and apart from Board meetings. 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 13, 2021, 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 asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 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 managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those of the Fund would 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 expenses and its expense ratio (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.
197 |
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2021 (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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
The Trustees also considered 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 discussed the advantages and disadvantages of various ways of 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 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 in the last few years. In addition, the Trustees 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 aspects of GMO’s business relevant to 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 that Trustee 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 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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 and others at and apart from Board meetings. 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 13, 2021, 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 asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 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 managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those of the Fund would 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 expenses and its expense ratio (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.
198 |
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2021 (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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
The Trustees also considered 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 discussed the advantages and disadvantages of various ways of 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 whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.
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 in the last few years. In addition, the Trustees 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 aspects of GMO’s business relevant to 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 that Trustee 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 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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 and others at and apart from Board meetings. 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 13, 2021, 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 asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 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 with investment strategies similar to those of the Fund would 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
199 |
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2021 (Unaudited)
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 expenses and its expense ratio (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-investment advisory services to a third-party managed fund with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund and to the third-party fund, as well as the business and other risks borne by GMO in managing the Fund as compared to the risks borne by GMO in providing sub-investment advisory services to the third-party fund. 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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
The Trustees also considered 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 discussed the advantages and disadvantages of various ways of 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 whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered whether 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 in the last few years. In addition, the Trustees 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 aspects of GMO’s business relevant to 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 that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.
GMO Strategic Opportunities Allocation Fund
Approval of renewal of management agreement for GMO Strategic Opportunities Allocation Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 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 and others at and apart from Board meetings. 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.
200 |
GMO Trust Funds
Board Review of Investment Management Agreement — (Continued)
August 31, 2021 (Unaudited)
At a meeting on May 13, 2021, 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 asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 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 managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those of the Fund would 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 expenses and its expense ratio (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, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.
The Trustees also considered 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 discussed the advantages and disadvantages of various ways of 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 whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.
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 in the last few years. In addition, the Trustees 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 aspects of GMO’s business relevant to 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 that Trustee 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.
201 |
GMO Trust Funds
Liquidity Risk Management Program
August 31, 2021 (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 15, 2021 addressing the Program’s operation, adequacy and effectiveness.
202 |
GMO Trust Funds
August 31, 2021 (Unaudited)
Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2021.
As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, 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, 2021 through August 31, 2021.
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. 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, 2021 | Ending Account Value August 31, 2021 | Expenses Paid During the Period* | Beginning Account Value March 1, 2021 | Ending Account Value August 31, 2021 | Expenses Paid During the Period* | Annualized Expense Ratio | ||||||||||||||||||||||
Alternative Allocation Fund |
| |||||||||||||||||||||||||||
Class VI | $1,000.00 | $985.70 | $7.46 | $1,000.00 | $1,017.69 | $7.58 | 1.49% | |||||||||||||||||||||
Class R6 | $1,000.00 | $993.30 | $7.99 | $1,000.00 | $1,017.19 | $8.08 | 1.59% | |||||||||||||||||||||
Class I | $1,000.00 | $984.60 | $8.65 | $1,000.00 | $1,016.48 | $8.79 | 1.73% | |||||||||||||||||||||
Benchmark-Free Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,016.20 | $5.95 | $1,000.00 | $1,019.31 | $5.96 | 1.17% | |||||||||||||||||||||
Class IV | $1,000.00 | $1,016.60 | $5.69 | $1,000.00 | $1,019.56 | $5.70 | 1.12% | |||||||||||||||||||||
Class MF | $1,000.00 | $1,016.50 | $5.69 | $1,000.00 | $1,019.56 | $5.70 | 1.12% | |||||||||||||||||||||
Class R6 | $1,000.00 | $1,016.20 | $5.95 | $1,000.00 | $1,019.31 | $5.96 | 1.17% | |||||||||||||||||||||
Class I | $1,000.00 | $1,015.80 | $6.45 | $1,000.00 | $1,018.80 | $6.46 | 1.27% | |||||||||||||||||||||
Benchmark-Free Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,019.90 | $2.19 | $1,000.00 | $1,023.04 | $2.19 | 0.43% | |||||||||||||||||||||
Global Asset Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,053.40 | $3.73 | $1,000.00 | $1,021.58 | $3.67 | 0.72% | |||||||||||||||||||||
Class R6 | $1,000.00 | $1,052.50 | $3.72 | $1,000.00 | $1,021.58 | $3.67 | 0.72% | |||||||||||||||||||||
Class I | $1,000.00 | $1,052.90 | $4.24 | $1,000.00 | $1,021.07 | $4.18 | 0.82% | |||||||||||||||||||||
Global Developed Equity Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,117.20 | $2.77 | $1,000.00 | $1,022.58 | $2.65 | 0.52% | |||||||||||||||||||||
Global Equity Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,094.60 | $2.96 | $1,000.00 | $1,022.38 | $2.85 | 0.56% | |||||||||||||||||||||
Class R6 | $1,000.00 | $1,094.90 | $2.96 | $1,000.00 | $1,022.38 | $2.85 | 0.56% | |||||||||||||||||||||
Class I | $1,000.00 | $1,093.90 | $3.48 | $1,000.00 | $1,021.88 | $3.36 | 0.66% |
203 |
GMO Trust Funds
Fund Expenses — (Continued)
August 31, 2021 (Unaudited)
Actual | Hypothetical |
| ||||||||||||||||||||||||||
Beginning Account Value March 1, 2021 | Ending Account Value August 31, 2021 | Expenses Paid During the Period* | Beginning Account Value March 1, 2021 | Ending Account Value August 31, 2021 | Expenses Paid During the Period* | Annualized Expense Ratio | ||||||||||||||||||||||
Implementation Fund |
| |||||||||||||||||||||||||||
Core | $1,000.00 | $1,020.50 | $2.04 | $1,000.00 | $1,023.19 | $2.04 | 0.40% | |||||||||||||||||||||
International Developed Equity Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,091.40 | $3.22 | $1,000.00 | $1,022.13 | $3.11 | 0.61% | |||||||||||||||||||||
Class R6 | $1,000.00 | $1,091.40 | $3.22 | $1,000.00 | $1,022.13 | $3.11 | 0.61% | |||||||||||||||||||||
International Equity Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,064.40 | $3.38 | $1,000.00 | $1,021.93 | $3.31 | 0.65% | |||||||||||||||||||||
Class R6 | $1,000.00 | $1,064.40 | $3.38 | $1,000.00 | $1,021.93 | $3.31 | 0.65% | |||||||||||||||||||||
SGM Major Markets Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $987.50 | $5.06 | $1,000.00 | $1,020.11 | $5.14 | 1.01% | |||||||||||||||||||||
Class VI | $1,000.00 | $988.00 | $4.56 | $1,000.00 | $1,020.62 | $4.63 | 0.91% | |||||||||||||||||||||
Class I | $1,000.00 | $987.00 | $5.56 | $1,000.00 | $1,019.61 | $5.65 | 1.11% | |||||||||||||||||||||
Strategic Opportunities Allocation Fund |
| |||||||||||||||||||||||||||
Class III | $1,000.00 | $1,067.10 | $3.39 | $1,000.00 | $1,021.93 | $3.31 | 0.65% |
* | Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2021, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year. |
204 |
SR-083121-AA
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.
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/ Tara Pari | |||
Tara Pari, Chief Executive Officer | ||||
Date: | November 1, 2021 |
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/ Tara Pari | |||
Tara Pari, Principal Executive Officer | ||||
Date: | November 1, 2021 | |||
By (Signature and Title): | /s/ Betty Maganzini | |||
Betty Maganzini, Principal Financial Officer | ||||
Date: | November 1, 2021 |